Putnam Capital Manager

Putnam Income Subaccount

The subaccount seeks high current income consistent with what Putnam Management believes to be prudent risk.

Fund description

The subaccount takes a flexible approach to pursuing high current income by diversifying across a range of fixed-income sectors. These sectors include, but are not limited to, investment-grade corporate bonds, mortgage-backed securities, U.S. Treasuries, and high-yield corporate bonds. The subaccount seeks to capitalize on those market sectors and maturities

Sales story

Pursuing income with an all-weather bond portfolioDiverse opportunities: The fund invests across all sectors of the U.S. bond market, including mortgage-backed, corporate, and government bonds.A flexible strategy: The portfolio managers pursue an attractive level of income, adjusting the portfolio to favor attractive sectors as interest rates and market conditions change.Leading research: The managers, supported by Putnam's fixed-income research division, analyze a range of bonds to build a competitive portfolio.

Management team

Lipper ranking ‡ as of 01/31/20

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 7% 5/75
1 yr. 5% 5/115
3 yrs. 2% 2/105
5 yrs. 3% 2/98

Risk characteristics as of 01/31/20

Avg. Eff. Maturity 8.33
Avg. Eff. Duration 5.63
Avg. Coupon 4.50
Avg. Yield to Maturity 3.21
Alpha (%) --
Beta 0.95
R squared 0.86
Standard deviation (3 yrs.) 3.08

Maturity details

0 to 1 yr. -4.31%
1 to 5 yrs. 67.01%
5 to 10 yrs. 29.92%
10 to 15 yrs. 0.62%
Over 15 yrs. 6.76%

Quality ratings

AAA 61.65%
AA 4.99%
A 13.92%
BBB 20.01%
BB 2.91%
B 3.62%
CCC and Below 0.89%
Not Rated -7.99%

Maturity detail includes only cash bonds and cash equivalents.

Lower rated bonds may offer higher yields in return for more risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

‡ Lipper is an industry research firm whose rankings are based on total return performance, vary over time, and do not reflect the effects of sales charges. Past performance is not indicative of future results.

Quick facts as of 01/31/20

Fiscal Year End December
Asset Class Putnam Capital Manager
Subaccount Status Open to new investors
Number of issues 1147
Turnover (fiscal year end) 566%
Net Assets $260M
Inception Date 02/01/88

Holdings

Fnma Fn30 Tba Umbs 03.0000 02/01/2050 9.05%
Fnma Fn30 Tba Umbs 03.5000 03/01/2050 5.95%
Fnma Fn30 Tba Umbs 03.0000 03/01/2050 5.50%
Fnma Fn30 Tba Umbs 04.0000 02/01/2050 4.42%
Gnma Gii30 Tba 03.5000 02/01/2050 2.38%
Gnma Gii30 Tba 04.0000 02/01/2050 1.59%
Swptn Liability 6yx30y R 3.195 Usd 11/28/2025 Ba 1.46%
Fnma Fn30 Tba Umbs 04.5000 02/01/2050 1.22%
Gnma Gii30 Tba 04.5000 02/01/2050 1.21%
Bf0101 03.5000 06/01/2056 0.88%
Top 10 holdings, total: 33.66%


Top 10 holdings as of 01/31/20
1: Fnma Fn30 Tba Umbs 03.0000 02/01/2050 9.05%
2: Fnma Fn30 Tba Umbs 03.5000 03/01/2050 5.95%
3: Fnma Fn30 Tba Umbs 03.0000 03/01/2050 5.50%
4: Fnma Fn30 Tba Umbs 04.0000 02/01/2050 4.42%
5: Gnma Gii30 Tba 03.5000 02/01/2050 2.38%
6: Gnma Gii30 Tba 04.0000 02/01/2050 1.59%
7: Swptn Liability 6yx30y R 3.195 Usd 11/28/2025 Ba 1.46%
8: Fnma Fn30 Tba Umbs 04.5000 02/01/2050 1.22%
9: Gnma Gii30 Tba 04.5000 02/01/2050 1.21%
10: Bf0101 03.5000 06/01/2056 0.88%
Holdings represent 33.66% of portfolio
Top 10 holdings as of 12/31/19
1: Fnma Fn30 Tba Umbs 03.0000 01/01/2050 8.52%
2: Fnma Fn30 Tba Umbs 03.0000 02/01/2050 6.49%
3: Fnma Fn30 Tba Umbs 03.5000 01/01/2050 6.17%
4: Fnma Fn30 Tba Umbs 04.0000 01/01/2050 4.58%
5: Gnma Gii30 Tba 03.5000 01/01/2050 2.47%
6: Gnma Gii30 Tba 04.0000 01/01/2050 1.66%
7: Swptn Liability 6yx30y R 3.195 Usd 11/28/2025 Ba 1.51%
8: Fnma Fn30 Tba Umbs 04.5000 01/01/2050 1.26%
9: Gnma Gii30 Tba 04.5000 01/01/2050 1.25%
10: Bf0101 03.5000 06/01/2056 0.92%
Holdings represent 34.83% of portfolio
Top 10 holdings as of 11/30/19
1: Fnma Fn30 Tba Umbs 03.0000 01/01/2050 14.94%
2: Fnma Fn30 Tba Umbs 03.5000 01/01/2050 6.13%
3: Fnma Fn30 Tba Umbs 04.0000 12/01/2049 4.55%
4: Gnma Gii30 Tba 03.5000 12/01/2049 2.47%
5: Gnma Gii30 Tba 04.0000 01/01/2050 1.65%
6: Fnma Fn30 Tba Umbs 04.5000 12/01/2049 1.26%
7: Gnma Gii30 Tba 04.5000 12/01/2049 1.25%
8: Bf0101 03.5000 06/01/2056 0.92%
9: Fnma Fn30 Tba Umbs 06.0000 12/01/2049 0.88%
10: Fnma Fn30 Tba Umbs 05.5000 12/01/2049 0.86%
Holdings represent 34.91% of portfolio
Top 10 holdings as of 10/31/19
1: Fnma Fn30 Tba Umbs 03.0000 12/01/2049 14.13%
2: Fnma Fn30 Tba Umbs 03.5000 11/01/2049 6.13%
3: Fnma Fn30 Tba Umbs 04.0000 11/01/2049 4.54%
4: Gnma Gii30 Tba 03.5000 11/01/2049 2.48%
5: Gnma Gii30 Tba 04.0000 11/01/2049 1.65%
6: Fnma Fn30 Tba Umbs 04.5000 11/01/2049 1.25%
7: Gnma Gii30 Tba 04.5000 11/01/2049 1.25%
8: Comcast Corp 03.4500 02/01/2050 1.06%
9: Bf0101 03.5000 06/01/2056 0.94%
10: Fnma Fn30 Tba Umbs 06.0000 11/01/2049 0.88%
Holdings represent 34.31% of portfolio


Sector Weightings as of 01/31/20

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 10.64% 0.52 33.41% 1.22 44.05% 1.74
Net cash 26.70% 0.00 0.00% 0.00 26.70% 0.00
Commercial MBS 11.77% 0.32 13.96% 0.26 25.73% 0.58
Investment-grade corporate bonds 25.14% 2.14 0.00% 0.00 25.14% 2.14
Agency CMO 12.32% 0.43 0.35% 0.01 12.67% 0.44
Residential MBS (non-agency) 11.19% 0.31 0.00% 0.00 11.19% 0.31
Asset-backed securities (ABS) 1.49% 0.02 0.00% 0.00 1.49% 0.02
High-yield corporate bonds 0.75% 0.03 0.00% 0.00 0.75% 0.03
Interest rate swaps 0.00% 0.00 0.00% 0.79 0.00% 0.79
U.S. Treasury/agency 0.00% 0.00 0.00% 1.71 0.00% 1.71

Spread duration is displayed in years and reflects the contribution by sector to the portfolio's total spread duration with the exception of the Treasury and Interest-rate swap sectors where effective duration is displayed. Spread duration estimates the price sensitivity of a specific sector or asset class to a 100 basis-point movement, 1%, (either widening or narrowing) in its yield spread relative to Treasuries. Effective duration provides a measure of a portfolio's interest-rate sensitivity. The longer a portfolio's duration, the more sensitive the portfolio is to shifts in the interest rates. Allocations may not total 100% of net assets because the table includes the notional value of derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Portfolio allocations will vary over time. The unclassified sector (where applicable) includes exchange traded funds and other securities not able to be classified by sector.

Maturity detail includes only cash bonds and cash equivalents.

Lower rated bonds may offer higher yields in return for more risk. Variable annuities are long-term investments designed for retirement purposes. Withdrawals prior to age 59 1/2 may be subject to a 10% IRS penalty.

Credit qualities are shown as a percentage of net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor's, Moody's and Fitch. Short-term cash bonds rated A-1+ are included in the AAA-rating category. Ratings and portfolio credit quality will vary over time. Credit quality includes the fixed-income portion of the portfolio. Derivative instruments, including currency forwards, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. The fund itself has not been rated by an independent rating agency.

Country Allocation as of 01/31/20

United States 94.49%
Canada 1.23%
Bermuda 1.15%
United Kingdom 0.90%
France 0.58%
Netherlands 0.43%
Spain 0.27%
Luxembourg 0.21%
Switzerland 0.21%
 
Other
0.53%
Japan 0.17%
Australia 0.16%
Ireland 0.11%
Germany 0.09%