Putnam Capital Manager

Putnam Mortgage Securities Subaccount

The subaccount seeks as high a level of current income as Putnam Management believes is consistent with preservation of capital.

Fund description

The subaccount typically divides its assets between U.S. Treasury securities and Government National Mortgage Association certificates (Ginnie Maes). The fund takes a slightly more aggressive approach to total return by investing in longer-term securities. Investors should have an investment horizon of at least three years to give their investment the full potential to benefit from a typical interest-rate cycle.

Sales story

Seeking opportunities through mortgage-backed securitiesBroad securitized opportunities:The fund invests in mortgage sectors, including agency MBS and CMOs, and non-agency RMBS and CMBS, and ABS.Higher potential returns: By investing in mortgage-backed bonds, the fund can offer the potential for higher returns than an investment strategy focused only on agency MBS.Leading research: The fund's portfolio managers use proprietary models to assist in the evaluation of mortgage-backed bonds and to manage the fund's interest-rate risk.

Management team

Lipper ranking ‡ as of 06/30/19

Category: U.S. Mortgage Funds

  Percentile ranking Rank/Funds in category
10 yrs. 26% 2/7
1 yr. 51% 8/15
3 yrs. 43% 6/13
5 yrs. 86% 12/13

Risk characteristics as of 06/30/19

Avg. Eff. Maturity 6.97
Avg. Eff. Duration 2.89
Avg. Coupon 6.58
Avg. Yield to Maturity 5.93
Alpha (%) --
Beta 0.70
R squared 0.68
Standard deviation (3 yrs.) 2.48

Maturity details

0 to 1 yr. -47.00%
1 to 5 yrs. 83.13%
5 to 10 yrs. 53.51%
10 to 15 yrs. 10.25%
Over 15 yrs. 0.11%

Quality ratings

AAA 116.30%
AA 8.32%
A 9.13%
BBB 7.17%
BB 3.92%
B 5.59%
CCC and Below 2.95%
Not Rated -53.38%

Maturity detail includes only cash bonds and cash equivalents.

Mutual funds that invest in government securities are not guaranteed. Mortgage backed securities are subject to prepayment 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.

The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.

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 06/30/19

Fiscal Year End December
Asset Class Putnam Capital Manager
Subaccount Status Open to new investors
Number of issues 703
Turnover (fiscal year end) 1,142%
Net Assets $57M
Inception Date 02/01/00

Holdings

Top 10 holdings as of 06/30/19

Fnma Fn30 Tba Umbs 03.0000 08/01/2049 26.69%
Gnma Gii30 Tba 03.5000 07/01/2049 9.12%
Gnma Gii30 Tba 03.0000 07/01/2049 9.02%
Gnma Gii30 Tba 04.5000 07/01/2049 5.52%
Gnma Gii30 Tba 04.0000 07/01/2049 5.49%
Fnr 2007-95 A3 02.6798 08/27/2036 3.17%
Gnma Gii30 626947 04.0000 05/20/2045 2.17%
Fnma Fn30 Tba Umbs 04.5000 07/01/2049 1.85%
Gnma Gii30 Tba 05.0000 07/01/2049 1.85%
Fnma Fn30 Tba Umbs 04.0000 07/01/2049 1.83%
Top 10 holdings, total: 66.71%

Prior top 10 holdings

Top 10 holdings as of 06/30/19
1: Fnma Fn30 Tba Umbs 03.0000 08/01/2049 26.69%
2: Gnma Gii30 Tba 03.5000 07/01/2049 9.12%
3: Gnma Gii30 Tba 03.0000 07/01/2049 9.02%
4: Gnma Gii30 Tba 04.5000 07/01/2049 5.52%
5: Gnma Gii30 Tba 04.0000 07/01/2049 5.49%
6: Fnr 2007-95 A3 02.6798 08/27/2036 3.17%
7: Gnma Gii30 626947 04.0000 05/20/2045 2.17%
8: Fnma Fn30 Tba Umbs 04.5000 07/01/2049 1.85%
9: Gnma Gii30 Tba 05.0000 07/01/2049 1.85%
10: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 1.83%
Holdings represent 66.71% of portfolio
Top 10 holdings as of 05/31/19
1: Umbs Fn30 Tba 03.0000 06/01/2049 26.64%
2: Gnma Gii30 Tba 03.5000 06/01/2049 9.09%
3: Gnma Gii30 Tba 03.0000 06/01/2049 8.98%
4: Gnma Gii30 Tba 04.5000 06/01/2049 5.52%
5: Gnma Gii30 Tba 04.0000 06/01/2049 5.49%
6: Fnr 2007-95 A3 02.6798 08/27/2036 3.18%
7: Gnma Gii30 626947 04.0000 05/20/2045 2.17%
8: Umbs Fn30 Tba 04.5000 06/01/2049 1.85%
9: Gnma Gii30 Tba 05.0000 06/01/2049 1.85%
10: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 1.83%
Holdings represent 66.60% of portfolio
Top 10 holdings as of 04/30/19
1: Umbs Fn30 Tba 03.0000 05/01/2049 26.49%
2: Gnma Gii30 Tba 03.5000 05/01/2049 9.08%
3: Gnma Gii30 Tba 03.0000 05/01/2049 8.91%
4: Gnma Gii30 Tba 04.5000 05/01/2049 5.56%
5: Gnma Gii30 Tba 04.0000 05/01/2049 5.52%
6: Fnr 2007-95 A3 02.7266 08/27/2036 3.21%
7: Gnma Gii30 626947 04.0000 05/20/2045 2.19%
8: Gnma Gii30 Tba 05.0000 05/01/2049 1.86%
9: Umbs Fn30 Tba 04.5000 05/01/2049 1.86%
10: Umbs Fn30 Tba 04.0000 06/01/2049 1.83%
Holdings represent 66.51% of portfolio
Top 10 holdings as of 03/31/19
1: Fnma Fn30 Tba 03.0000 05/01/2049 26.94%
2: Gnma Gii30 Tba 03.5000 05/01/2049 9.22%
3: Gnma Gii30 Tba 03.0000 05/01/2049 9.07%
4: Gnma Gii30 Tba 04.5000 05/01/2049 5.62%
5: Gnma Gii30 Tba 04.0000 05/01/2049 5.59%
6: Fnr 2007-95 A3 02.7355 08/27/2036 3.23%
7: Gnma Gii30 626947 04.0000 05/20/2045 2.23%
8: Fnma Fn30 Tba 04.5000 05/01/2049 1.88%
9: Gnma Gii30 Tba 05.0000 05/01/2049 1.88%
10: Fnma Fn30 Tba 04.0000 05/01/2049 1.86%
Holdings represent 67.52% of portfolio

Sector Weightings as of 06/30/19

Cash Investment Non-Cash Investment Total Portfolio
Weight Spread Duration Weight Spread Duration Weight Spread Duration
Agency pass-through 23.51% 1.43 58.68% 2.30 82.19% 3.73
Commercial MBS 6.46% 0.22 36.18% 0.96 42.64% 1.18
Agency CMO 39.39% 1.56 0.64% 0.03 40.03% 1.59
Residential MBS (non-agency) 19.26% 1.01 0.00% 0.00 19.26% 1.01
Net cash 9.86% 0.00 0.00% 0.00 9.86% 0.00
Asset-backed securities (ABS) 1.52% 0.01 0.00% 0.00 1.52% 0.01
Interest rate swaps 0.00% 0.00 0.00% -0.11 0.00% -0.11
U.S. Treasury/agency 0.00% 0.00 0.00% 0.15 0.00% 0.15

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. Mutual funds that invest in government securities are not guaranteed. Mortgage backed securities are subject to prepayment 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.

The use of derivatives involves additional risks, such as the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations.

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.

Any given fund may not achieve its goal, and is not intended as a complete investment program. All funds have risk. The value and/or returns of a portfolio will flu ctuate with market conditions. You may have more or less than the original amount invested when you redeem your shares.