Putnam Capital Manager

Putnam Income Subaccount

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

Putnam Income Subaccount

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 05/31/22

Category: Core Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 15% 12/83
1 yr. 93% 107/115
3 yrs. 100% 112/112
5 yrs. 64% 67/105

Risk characteristics as of 05/31/22

Avg. Eff. Maturity 9.58
Avg. Eff. Duration 6.39
Avg. Coupon 5.07
Avg. Yield to Maturity 9.49
Alpha (%) --
Beta 1.01
R squared 0.74
Standard deviation (3 yrs.) 5.23

Maturity details

0 to 1 yr. -13.22%
1 to 5 yrs. 45.07%
5 to 10 yrs. 59.23%
10 to 15 yrs. 3.24%
Over 15 yrs. 5.68%

Quality ratings

AAA 76.92%
AA 6.08%
A 14.32%
BBB 23.05%
BB 4.66%
B 3.30%
CCC and Below 2.41%
Not Rated -30.74%

‡ 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 05/31/22

Fiscal Year End December
Asset Class Putnam Capital Manager
Subaccount Status Open to new investors
Number of issues 1321
Turnover (fiscal year end) 800%
Net Assets $184M
Inception Date 02/01/88

Holdings

Fnma Fn30 Tba Umbs 04.5000 07/01/2052 11.06%
Fnma Fn30 Tba Umbs 04.5000 06/01/2052 9.98%
Fnma Fn30 Tba Umbs 03.0000 07/01/2052 7.26%
Fnma Fn30 Tba Umbs 04.0000 06/01/2052 3.82%
Fnma Fn30 Tba Umbs 04.0000 07/01/2052 3.26%
Gnma Gii30 Tba 03.5000 06/01/2052 3.24%
Fnma Fn30 Tba Umbs 05.0000 07/01/2052 1.68%
Fnma Fn30 Tba Umbs 02.0000 06/01/2052 1.45%
Bf0101 03.5000 06/01/2056 0.80%
Banco Santander Usd 05.1790 11/19/2025 0.78%
Top 10 holdings, total: 43.32%

Top 10 holdings as of 05/31/22
1: Fnma Fn30 Tba Umbs 04.5000 07/01/2052 11.06%
2: Fnma Fn30 Tba Umbs 04.5000 06/01/2052 9.98%
3: Fnma Fn30 Tba Umbs 03.0000 07/01/2052 7.26%
4: Fnma Fn30 Tba Umbs 04.0000 06/01/2052 3.82%
5: Fnma Fn30 Tba Umbs 04.0000 07/01/2052 3.26%
6: Gnma Gii30 Tba 03.5000 06/01/2052 3.24%
7: Fnma Fn30 Tba Umbs 05.0000 07/01/2052 1.68%
8: Fnma Fn30 Tba Umbs 02.0000 06/01/2052 1.45%
9: Bf0101 03.5000 06/01/2056 0.80%
10: Banco Santander Usd 05.1790 11/19/2025 0.78%
Holdings represent 43.32% of portfolio
Top 10 holdings as of 04/30/22
1: Fnma Fn30 Tba Umbs 04.5000 06/01/2052 22.23%
2: Fnma Fn30 Tba Umbs 03.0000 06/01/2052 7.05%
3: Fnma Fn30 Tba Umbs 04.0000 06/01/2052 6.90%
4: Gnma Gii30 Tba 03.5000 05/01/2052 3.14%
5: Fnma Fn30 Tba Umbs 02.0000 06/01/2052 1.41%
6: Bf0101 03.5000 06/01/2056 0.78%
7: Banco Santander Usd 05.1790 11/19/2025 0.78%
8: Trk 2019-2 A2 04.2128 09/25/2022 0.60%
9: Cas 2022-R02 2m2 03.2887 01/25/2042 0.57%
10: Fnma Fn30 Tba Umbs 06.0000 05/01/2052 0.56%
Holdings represent 44.04% of portfolio
Top 10 holdings as of 03/31/22
1: Fnma Fn30 Tba Umbs 04.0000 05/01/2052 14.60%
2: Fnma Fn30 Tba Umbs 03.0000 05/01/2052 6.01%
3: Fnma Fn30 Tba Umbs 03.0000 06/01/2052 4.99%
4: Fnma Fn30 Tba Umbs 03.5000 05/01/2052 4.61%
5: Gnma Gii30 Tba 03.5000 04/01/2052 3.09%
6: Fnma Fn30 Tba Umbs 02.0000 05/01/2052 2.38%
7: Fnma Fn30 Tba Umbs 04.5000 05/01/2052 2.12%
8: Fnr 2021-77 I Io 04.0000 11/25/2051 0.81%
9: Bf0101 03.5000 06/01/2056 0.80%
10: Fnr 2020-70 Sd Io 05.7934 10/25/2050 0.58%
Holdings represent 39.99% of portfolio
Top 10 holdings as of 02/28/22
1: Fnma Fn30 Tba Umbs 03.0000 03/01/2052 13.94%
2: Fnma Fn30 Tba Umbs 04.0000 03/01/2052 7.72%
3: Fnma Fn30 Tba Umbs 03.5000 03/01/2052 6.60%
4: Gnma Gii30 Tba 03.5000 03/01/2052 3.05%
5: Fnma Fn30 Tba Umbs 02.0000 03/01/2052 2.36%
6: Fnma Fn30 Tba Umbs 04.5000 03/01/2052 2.08%
7: Bf0101 03.5000 06/01/2056 0.80%
8: Fnr 2021-77 I Io 04.0000 11/25/2051 0.75%
9: Fnr 2020-70 Sd Io 06.0631 10/25/2050 0.58%
10: Trk 2019-2 A2 04.2128 09/25/2022 0.55%
Holdings represent 38.43% of portfolio

Sector Weightings as of 05/31/22

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 7.39% 0.39 40.39% 1.95 47.78% 2.34
Investment-grade corporate bonds 29.56% 2.05 0.00% 0.00 29.56% 2.05
Commercial MBS 16.73% 0.43 5.63% 0.02 22.36% 0.45
Net cash 15.39% 0.00 0.00% 0.00 15.39% 0.00
Agency CMO 13.37% 0.52 0.00% 0.00 13.37% 0.52
Residential MBS (non-agency) 10.84% 0.23 0.00% 0.00 10.84% 0.23
Collateralized loan obligations 2.51% 0.10 0.00% 0.00 2.51% 0.10
High-yield corporate bonds 2.13% 0.12 0.00% 0.00 2.13% 0.12
Asset-backed securities (ABS) 2.08% 0.02 0.00% 0.00 2.08% 0.02
Interest rate swaps 0.00% 0.00 0.00% -0.56 0.00% -0.56
U.S. Treasury/agency 0.00% 0.00 0.00% 1.50 0.00% 1.50

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 certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.

Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are also subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). The fund may have to invest the proceeds from prepaid investments, including mortgage-backed investments, in other investments with less attractive terms and yields. Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund. 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 the fund's net assets. A bond rated BBB or higher (A-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. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time. Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.

Country Allocation as of 05/31/22

United States 90.63%
Cayman Islands 2.51%
Bermuda 1.02%
Canada 0.99%
Spain 0.89%
France 0.87%
Switzerland 0.84%
United Kingdom 0.49%
Australia 0.35%
 
Other		 1.41%
Germany 0.33%
Ireland 0.31%
Netherlands 0.24%
Japan 0.22%
Italy 0.19%
Luxembourg 0.12%