Putnam Securitised Credit Fund (Class I)

Investing in U.S. securitised debt that offers low correlation to other fixed income sectors

Highlights

Objective

The fund seeks to achieve an average annual total return, gross of fees, that exceeds the 1-Month USD LIBOR (100% hedged to and reported in the relevant currency of the unit class, where applicable) by 3.0%-5.0%, as measured over a full market cycle (generally at least three years or more).

Strategy and process

  • Securitised exposure The fund invests across the spectrum of securitised products, which includes agency MBS and CMOs (including IOs/POs and other mortgage prepayment derivatives), non-agency RMBS and CMBS (both cash and synthetics), and asset-backed securities.
  • Diversification potential Securitised credit sectors offer diversification potential due to low historic correlation with investment-grade and high yield corporate credit, emerging market debt, and other risk assets.
  • Experienced management The portfolio management team has a 10-year institutional track record managing securitised credit portfolios.

Fund price

Prior close 52-week high 52-week low
Net asset value $9.06
-0.22% | $-0.02
$9.79
04/02/2022
$8.85
01/07/2022
(Optional)

Fund facts as of 30/11/2022

Total net assets
$17.18M
Dividend frequency
Semi-Annually
Number of holdings
186
Fiscal year-end
June
CUSIP / Fund code
-- / TM2
Inception date
11/07/2018
Category
Fixed Income
Open to new investors

The Fund does not currently intend to distribute net income to class E2 Unitholders.

Management team

Chief Investment Officer, Fixed Income
Co-Head of Structured Credit
Co-Head of Structured Credit


Literature


Performance

  • Total return (%) as of 30/09/2022

  • Annual performance as of 30/09/2022

Annualized Total return (%) as of 30/09/2022

Annualized performance 1 yr. 3 yrs. 5 yrs. Life (inception: 11/07/2018 )
Before sales charge -7.26% -4.13% -- -1.41%
ICE BofA U.S. Dollar 1-month Constant Maturity Index 0.71%0.64%1.22%--

Data is historical. Past performance is not a guarantee of future results. More recent returns may be more or less than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your units. Performance assumes reinvestment of distributions at net asset value (NAV) and reflects fund operating expenses such as management fees but does not account for any taxes or sales charges. The payment of any sales charges will reduce performance. Performance for each class of Units is denominated in the currency of the respective class. 

Performance snapshot

  Before sales charge
1 mt. as of 30/11/2022 0.67%
YTD as of 06/12/2022 or prior close -6.11%

The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.


Holdings

Fnma Fn30 Tba Umbs 05.5000 12/01/2052 24.25%
Fnma Fn30 Tba Umbs 05.0000 12/01/2052 17.79%
Fnma Fn30 Tba Umbs 05.0000 11/01/2052 11.87%
Gnma Gii30 Tba 03.0000 11/01/2052 10.71%
Csmc 2016-Nxsr B 04.2506 12/15/2049 7.67%
Gnma Gii30 Tba 04.0000 11/01/2052 5.67%
Gsms 2014-Gc18 B 04.8850 01/10/2047 5.08%
Cgcmt 2013-Gc17 D 144a 05.1009 11/10/2046 3.65%
Wfrbs 2013-C13 D 144a 04.1471 05/15/2045 3.00%
Stacr 2019-Ftr2 B2 10.9856 11/25/2048 2.87%
Top 10 holdings, percent of portfolio 92.55%



Unitholders may obtain more recent information about certain Funds' portfolio holdings from time to time by contacting the Manager. Portfolio holdings information will only be provided for legitimate purposes as determined by the Manager, and will be subject to a reasonable delay intended to protect the Funds.

The number of issues can be found in the fact sheet.

Fixed income statistics as of 31/10/2022

Average effective maturity 9.38 yrs.
Average effective duration -0.03 yrs.
Average yield to maturity 6.49%
Average coupon 6.16%

Sector weightings as of 31/10/2022

  Cash investments Non-cash investments Total portfolio
  Weight Spread duration Weight Spread duration Weight Spread duration
Agency pass-through 0.00% 0.00 65.43% 3.12 65.43% 3.12
Commercial MBS 44.79% 1.27 -8.48% -0.18 36.31% 1.10
Agency CMO 34.62% 1.27 0.00% 0.00 34.62% 1.27
Residential MBS (non-agency) 4.73% 0.20 0.00% 0.00 4.73% 0.20
Interest rate swaps 0.00% 0.00 0.00% -10.35 0.00% -10.35
Net cash 15.86% 0.00 0.00% 0.00 15.86% 0.00

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.

Maturity detail as of 31/10/2022

0 - 1 yr. -47.43%
1 - 5 yrs. 49.11%
5 - 10 yrs. 102.56%
10 - 15 yrs. -4.24%

Quality rating as of 31/10/2022

AAA 31.79%
AA 10.90%
A 6.86%
BBB 15.01%
BB 8.54%
B 2.14%
CCC and Below 1.73%
Not Rated 7.17%
Net cash 15.86%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage- and asset-backed securities are 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. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. The fund’s investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund’s exposure to privately issued mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund’s net asset value more susceptible to economic, market, political, and other developments affecting the housing or real estate markets. 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). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Default risk is generally higher for non-qualified mortgages.

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 (such as a region of the United States), industry, or sector, such as the housing or real estate markets. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings or in relevant markets.

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.

Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings and portfolio credit quality will vary over time. Net cash represent the market value weights of cash, derivatives, and short-term securities in the portfolio. The fund itself has not been rated by an independent rating agency. Data in the chart reflect a new calculation methodology put into effect 6/30/22.

Country allocation as of 31/10/2022

United States 100.00%

Expenses

Expense ratio

Class E Class E2 Class I Class S
Total expense ratio 0.70% 0.70% 0.70% 0.70%

The ICE BofA U.S. Dollar 1-month Constant Maturity Index tracks the performance of a synthetic asset paying Libor to a stated maturity. You cannot directly invest in an index.

Consider these risks before investing: Funds that invest in government securities are not guaranteed. Mortgage- and asset-backed securities are 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. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. The fund’s investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund’s exposure to privately issued mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund’s net asset value more susceptible to economic, market, political, and other developments affecting the housing or real estate markets. 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). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Default risk is generally higher for non-qualified mortgages.

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 (such as a region of the United States), industry, or sector, such as the housing or real estate markets. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings or in relevant markets.

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.

Credit qualities are shown as a percentage of the fund's net assets. A bond rated BBB or higher is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings and portfolio credit quality will vary over time. Net cash represent the market value weights of cash, derivatives, and short-term securities in the portfolio. The fund itself has not been rated by an independent rating agency. Data in the chart reflect a new calculation methodology put into effect 6/30/22.