Putnam Capital Manager

Putnam Diversified Income 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 seeks income from three sectors: U.S. corporate and government investment-grade bonds, foreign bonds, and higher-yielding, lower-rated corporate bonds. The benchmark allocation for each sector is typically one-third of total assets. The management team can adjust the weightings and may allocate from 15%-65% of assets to each sector. By diversifying its assets, the subaccount seeks to reduce the risk of overexposure to any one sector.

Sales story

Offering a diversified portfolio of income opportunities Diverse income opportunities: The fund provides exposure to bonds in all sectors of the expanding global fixed-income market and across the complete credit spectrum.Multiple strategies: Putnam's bond specialists employ 70-80 active investment strategies to pursue a diverse range of opportunities for performance.Active risk management: In today's complex bond market, the fund's experienced managers actively manage risk with the goal of superior risk-adjusted performance over time.

Management team

Lipper ranking ‡ as of 06/30/19

Category: General Bond Funds

  Percentile ranking Rank/Funds in category
10 yrs. 36% 5/13
1 yr. 95% 32/33
3 yrs. 8% 2/27
5 yrs. 69% 15/21

Risk characteristics as of 06/30/19

Avg. Eff. Maturity 3.78
Avg. Eff. Duration 3.48
Avg. Coupon 4.84
Avg. Yield to Maturity 4.86
Alpha (%) --
Beta --
R squared --
Standard deviation (3 yrs.) 3.41

Maturity details

0 to 1 yr. 9.99%
1 to 5 yrs. 53.67%
5 to 10 yrs. 30.73%
10 to 15 yrs. 3.11%
Over 15 yrs. 2.50%

Quality ratings

AAA 38.95%
AA 1.62%
A 1.46%
BBB 9.33%
BB 23.35%
B 10.94%
CCC and Below 4.97%
Not Rated 9.38%

Maturity detail includes only cash bonds and cash equivalents.

International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. Lower rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities 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 1405
Turnover (fiscal year end) 790%
Net Assets $207M
Inception Date 09/15/93

Holdings

Top 10 holdings as of 06/30/19

Fnma Fn30 Tba Umbs 03.5000 08/01/2049 13.33%
Fnma Fn30 Tba Umbs 04.0000 08/01/2049 5.49%
Fnma Fn30 Tba Umbs 02.5000 08/01/2049 3.83%
Fnma Fn30 Tba Umbs 04.0000 07/01/2049 3.49%
Gnma Gii30 Tba 04.5000 07/01/2049 3.02%
Fnma Fn30 Tba Umbs 05.5000 08/01/2049 1.55%
Gnma Gii30 Tba 04.0000 07/01/2049 1.50%
United Mexican States Usd 05.5500 01/21/2045 1.03%
Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
Cas 2016-C03 2m2 08.3044 10/25/2028 0.75%
Top 10 holdings, total: 34.90%

Prior top 10 holdings

Top 10 holdings as of 06/30/19
1: Fnma Fn30 Tba Umbs 03.5000 08/01/2049 13.33%
2: Fnma Fn30 Tba Umbs 04.0000 08/01/2049 5.49%
3: Fnma Fn30 Tba Umbs 02.5000 08/01/2049 3.83%
4: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 3.49%
5: Gnma Gii30 Tba 04.5000 07/01/2049 3.02%
6: Fnma Fn30 Tba Umbs 05.5000 08/01/2049 1.55%
7: Gnma Gii30 Tba 04.0000 07/01/2049 1.50%
8: United Mexican States Usd 05.5500 01/21/2045 1.03%
9: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
10: Cas 2016-C03 2m2 08.3044 10/25/2028 0.75%
Holdings represent 34.90% of portfolio
Top 10 holdings as of 05/31/19
1: Umbs Fn30 Tba 03.5000 06/01/2049 13.47%
2: Umbs Fn30 Tba 04.0000 06/01/2049 4.55%
3: Fnma Fn30 Tba Umbs 04.0000 07/01/2049 4.54%
4: Fnma Fn30 Tba Umbs 02.5000 07/01/2049 3.85%
5: Gnma Gii30 Tba 04.5000 06/01/2049 3.05%
6: Umbs Fn30 Tba 05.5000 06/01/2049 1.57%
7: Gnma Gii30 Tba 04.0000 06/01/2049 1.52%
8: United Mexican States Usd 05.5500 01/21/2045 0.98%
9: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
10: Cas 2016-C03 2m2 08.3298 10/25/2028 0.79%
Holdings represent 35.23% of portfolio
Top 10 holdings as of 04/30/19
1: Umbs Fn30 Tba 03.5000 06/01/2049 13.24%
2: Umbs Fn30 Tba 04.0000 06/01/2049 8.98%
3: Gnma Gii30 Tba 04.5000 05/01/2049 3.03%
4: Fnma Fn30 Tba 05.5000 05/01/2049 1.56%
5: Gnma Gii30 Tba 04.0000 05/01/2049 1.50%
6: Fnma Fn30 Tba 02.5000 05/01/2049 1.40%
7: United Mexican States Usd 05.5500 01/21/2045 0.97%
8: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.89%
9: Cas 2016-C03 2m2 08.3766 10/25/2028 0.80%
10: Cas 2015-C03 1m2 07.4766 07/25/2025 0.73%
Holdings represent 33.10% of portfolio
Top 10 holdings as of 03/31/19
1: Fnma Fn30 Tba 03.5000 04/01/2049 13.18%
2: Fnma Fn30 Tba 04.0000 04/01/2049 9.26%
3: Gnma Gii30 Tba 04.5000 04/01/2049 3.12%
4: Fnma Fn30 Tba 05.5000 04/01/2049 1.60%
5: Gnma Gii30 Tba 04.0000 04/01/2049 1.55%
6: United Mexican States Usd 05.5500 01/21/2045 0.99%
7: Wfrbs 2012-C7 F P/P 144a 04.5000 06/15/2045 0.91%
8: Cas 2016-C03 2m2 08.3855 10/25/2028 0.83%
9: Cas 2015-C03 1m2 07.4855 07/25/2025 0.76%
10: Argentine Republic Usd 07.5000 04/22/2026 0.75%
Holdings represent 32.95% 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
Net cash 23.38% 0.00 0.00% 0.00 23.38% 0.00
Agency pass-through 0.60% 0.02 22.47% 0.86 23.07% 0.88
Commercial MBS 8.92% 0.32 12.78% 0.31 21.70% 0.63
Agency CMO 17.55% 0.64 0.56% 0.03 18.11% 0.67
High-yield corporate bonds 16.52% 0.49 -3.92% -0.18 12.60% 0.31
Residential MBS (non-agency) 11.02% 0.53 0.00% 0.00 11.02% 0.53
Emerging-market bonds 9.90% 0.57 0.00% 0.00 9.90% 0.57
Convertible securities 4.06% 0.08 0.00% 0.00 4.06% 0.08
International Treasury/agency 3.50% 0.22 0.00% -0.05 3.50% 0.17
Investment-grade corporate bonds 1.89% 0.10 0.00% 0.00 1.89% 0.10
Bank loans 1.63% 0.07 0.00% 0.00 1.63% 0.07
Asset-backed securities (ABS) 0.82% 0.02 0.00% 0.00 0.82% 0.02
Equity investments 0.21% 0.00 0.00% 0.00 0.21% 0.00
Interest rate swaps 0.00% 0.00 0.00% 2.19 0.00% 2.19
U.S. Treasury/agency 0.00% 0.00 0.00% 0.11 0.00% 0.11

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.

International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging market securities, including illiquidity and volatility. Lower rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities 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.

Country Allocation as of 06/30/19

United States 84.34%
Greece 3.50%
Argentina 2.40%
Brazil 2.01%
Mexico 1.41%
Indonesia 1.29%
Canada 0.85%
Ivory Coast 0.64%
Dominican Republic 0.59%
 
Other
2.97%
United Kingdom 0.53%
Egypt 0.50%
Venezuela 0.36%
Luxembourg 0.35%
Norway 0.29%
Russia 0.27%
Bermuda 0.26%
Germany 0.20%
Israel 0.19%
Ireland 0.16%
France 0.15%
Sweden 0.15%
South Africa 0.14%
Cayman Islands 0.13%
El Salvador 0.12%
Italy 0.10%
Senegal 0.10%
Netherlands 0.08%
Jamaica 0.06%
Spain 0.06%
Switzerland 0.04%
Czech Republic -0.05%
Australia -0.09%
New Zealand -0.09%
Japan -0.18%
European Community -0.86%