08/29/2024 | Press release | Distributed by Public on 08/29/2024 13:39
UNITED STATES SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
FORM N-CSR |
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES |
Investment Company Act file number: | (811-05346) |
Exact name of registrant as specified in charter: | Putnam Variable Trust |
Address of principal executive offices: | 100 Federal Street, Boston, Massachusetts 02110 |
Name and address of agent for service: |
Stephen Tate, Vice President 100 Federal Street Boston, Massachusetts 02110 |
Copy to: |
Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
James E. Thomas, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199 |
Registrant's telephone number, including area code: | (617) 292-1000 |
Date of fiscal year end: | December 31, 2024 |
Date of reporting period: | January 1, 2024 - June 30, 2024 |
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Item 1. Report to Stockholders: |
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The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: |
Putnam VT Mortgage Securities Fund
|
|
Class IA
|
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Semi-Annual Shareholder Report | June 30, 2024
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Class Name
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Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment*,†
|
Class IA1
|
$25
|
0.50%
|
* | Reflects fee waivers and/or expense reimbursements, without which expenses would have been higher. |
† | Annualized. |
1 | Does not reflect expenses incurred from investing through variable annuity or variable life insurance products. |
Total Net Assets
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$33,728,424
|
Total Number of Portfolio Holdings*
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449
|
Portfolio Turnover Rate
|
784%
|
* | Includes derivatives, if applicable. |
Cash and Equivalents, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Allocations may not total 100% because the chart 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. Holdings and allocations may vary over time. |
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
|
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Additional information is available on https://www.franklintempleton.com/regulatory-fund-documents, including its:
|
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• prospectus • proxy voting information • financial information • holdings • tax information
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Putnam VT Mortgage Securities Fund | PAGE 1 | 38988-STSIA-0824 |
Putnam VT Mortgage Securities Fund
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|
Class IB
|
|
Semi-Annual Shareholder Report | June 30, 2024
|
|
Class Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment*,†
|
Class IB1
|
$38
|
0.75%
|
* | Reflects fee waivers and/or expense reimbursements, without which expenses would have been higher. |
† | Annualized. |
1 | Does not reflect expenses incurred from investing through variable annuity or variable life insurance products. |
Total Net Assets
|
$33,728,424
|
Total Number of Portfolio Holdings*
|
449
|
Portfolio Turnover Rate
|
784%
|
* | Includes derivatives, if applicable. |
Cash and Equivalents, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Allocations may not total 100% because the chart 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. Holdings and allocations may vary over time. |
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
|
|
Additional information is available on https://www.franklintempleton.com/regulatory-fund-documents, including its:
|
|
• prospectus • proxy voting information • financial information • holdings • tax information
|
Putnam VT Mortgage Securities Fund | PAGE 1 | 38988-STSIB-0824 |
Item 2. Code of Ethics: |
Not applicable |
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Item 3. Audit Committee Financial Expert: |
Not applicable |
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Item 4. Principal Accountant Fees and Services: |
Not applicable |
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Item 5. Audit Committee of Listed Registrants |
Not applicable |
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Item 6. Investments: |
The registrant's schedule of investments in unaffiliated issuers is included in the Financial Statements and Other Important Information in Item 7 below. |
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Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies. |
Putnam
VT Mortgage Securities Fund
Financial Statements and Other Important Information
Semiannual | June 30, 2024
Table of Contents
The fund's portfolio | 1 |
Financial statements | 13 |
Financial highlights | 16 |
Notes to financial statements | 17 |
Changes in and disagreements with accountants | 25 |
Results of any shareholder votes | 25 |
Remuneration paid to directors, officers, and others | 25 |
Board approval of management and subadvisory agreements | 26 |
Financial Statements and Other Important Information-Semiannual | franklintempleton.com |
The fund's portfolio 6/30/24 (Unaudited) | ||
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (220.3%)* |
Principal amount | Value |
U.S. Government Guaranteed Mortgage Obligations (24.0%) | ||
Government National Mortgage Association Pass-Through Certificates | ||
6.50%, with due dates from 4/15/28 to 7/20/36 | $13,248 | $13,700 |
6.00%, with due dates from 4/15/28 to 11/20/38 | 32,866 | 33,947 |
5.50%, TBA, 7/1/54 | 1,000,000 | 992,150 |
5.50%, 4/20/38 | 45,784 | 46,531 |
4.50%, TBA, 7/1/54 | 1,000,000 | 950,571 |
4.50%, with due dates from 5/20/48 to 5/20/48 | 64,077 | 61,767 |
4.00%, TBA, 7/1/54 | 1,000,000 | 924,136 |
3.50%, TBA, 7/1/54 | 1,000,000 | 898,783 |
3.00%, TBA, 7/1/54 | 1,000,000 | 871,987 |
2.50%, TBA, 7/1/54 | 2,000,000 | 1,681,979 |
2.00%, TBA, 7/1/54 | 2,000,000 | 1,619,472 |
8,095,023 | ||
U.S. Government Agency Mortgage Obligations (196.3%) | ||
Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||
7.50%, with due dates from 9/1/30 to 7/1/31 | 5,285 | 5,527 |
7.00%, with due dates from 11/1/26 to 4/1/32 | 27,619 | 28,658 |
Federal National Mortgage Association Pass-Through Certificates | ||
7.50%, with due dates from 9/1/30 to 11/1/30 | 2,432 | 2,511 |
7.00%, with due dates from 12/1/28 to 12/1/35 | 107,556 | 112,917 |
6.50%, 9/1/36 | 5,682 | 5,903 |
Uniform Mortgage-Backed Securities | ||
6.00%, TBA, 7/1/54 | 16,000,000 | 16,045,010 |
3.00%, TBA, 7/1/54 | 2,000,000 | 1,701,876 |
2.50%, TBA, 7/1/54 | 5,000,000 | 4,082,225 |
6.00%, TBA, 7/1/54 | 6,000,000 | 4,691,718 |
5.50%, TBA, 7/1/54 | 7,000,000 | 6,904,023 |
5.00%, TBA, 7/1/54 | 7,000,000 | 6,765,115 |
4.50%, TBA, 8/1/54 | 2,000,000 | 1,885,781 |
4.50%, TBA, 7/1/54 | 2,000,000 | 1,885,234 |
4.00%, TBA, 8/1/54 | 2,000,000 | 1,830,625 |
4.00%, TBA, 7/1/54 | 2,000,000 | 1,829,688 |
3.50%, TBA, 8/1/54 | 3,000,000 | 2,655,468 |
3.50%, TBA, 7/1/54 | 3,000,000 | 2,655,232 |
3.00%, TBA, 8/1/54 | 2,000,000 | 1,703,126 |
2.50%, TBA, 8/1/54 | 5,000,000 | 4,087,305 |
2.50%, TBA, 7/1/39 | 1,000,000 | 903,047 |
2.00%, TBA, 8/1/54 | 6,000,000 | 4,697,344 |
2.00%, TBA, 7/1/39 | 1,000,000 | 878,984 |
1.50%, TBA, 7/1/39 | 1,000,000 | 854,731 |
66,212,048 | ||
Total U.S. government and agency mortgage obligations (cost $74,548,847) | $74,307,071 | |
U.S. TREASURY OBLIGATIONS (0.1%)* | Principal amount | Value |
U.S. Treasury Notes 3.625%, 05/15/26 i | $20,000 | $19,680 |
Total U.S. treasury obligations (cost $19,680) | $19,680 | |
MORTGAGE-BACKED SECURITIES (75.7%)* | Principal amount | Value | |
Agency collateralized mortgage obligations (30.7%) | |||
Federal Home Loan Mortgage Corporation | |||
Strips FRB Ser. 406, Class F30, (US 30 Day Average SOFR + 1.15%), 6.485%, 10/25/53 | $90,583 | $91,033 | |
REMICs Ser. 5125, Class IL, IO, 4.50%, 11/15/47 | 1,086,580 | 240,407 | |
REMICs Ser. 4018, Class DI, IO, 4.50%, 7/15/41 | 34,682 | 1,654 | |
REMICs Ser. 4953, Class AI, IO, 4.00%, 2/25/50 | 663,465 | 139,056 | |
REMICs Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46 | 281,309 | 57,389 | |
REMICs Ser. 4019, Class JI, IO, 4.00%, 5/15/41 | 65,542 | 3,931 | |
REMICs IFB Ser. 3408, Class EK, ((-4.024 x US 30 Day Average SOFR) + 25.33%), 3.873%, 4/15/37 | 9,206 | 10,060 | |
REMICs IFB Ser. 3065, Class DC, ((-3 x US 30 Day Average SOFR) + 19.52%), 3.517%, 3/15/35 | 62,550 | 63,647 |
Putnam VT Mortgage Securities Fund 1 |
MORTGAGE-BACKED SECURITIES (75.7%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Federal Home Loan Mortgage Corporation | |||
REMICs Ser. 5050, Class IM, IO, 3.50%, 10/25/50 | $524,860 | $102,587 | |
REMICs Ser. 4136, Class IQ, IO, 3.50%, 11/15/42 | 180,188 | 24,294 | |
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 | 23,453 | 603 | |
REMICs Ser. 5071, Class IV, IO, 3.00%, 12/25/50 | 1,008,719 | 179,986 | |
REMICs IFB Ser. 5003, Class DS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.65%, 8/25/50 | 586,890 | 64,549 | |
REMICs IFB Ser. 4915, Class SD, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.60%, 9/25/49 | 418,922 | 38,527 | |
REMICs Ser. 3391, PO, zero %, 4/15/37 | 2,324 | 1,943 | |
Federal National Mortgage Association | |||
REMICs Ser. 15-58, Class KI, IO, 6.00%, 3/25/37 | 256,272 | 42,914 | |
Trust FRB Ser. 03-W8, Class 3F2, (US 30 Day Average SOFR + 0.46%), 5.80%, 5/25/42 | 1,545 | 1,538 | |
REMICs Ser. 15-86, Class MI, IO, 5.50%, 11/25/45 | 217,895 | 35,323 | |
REMICs Ser. 18-51, Class BI, IO, 5.50%, 7/25/38 | 213,427 | 15,744 | |
REMICs Ser. 17-19, Class IH, IO, 5.00%, 3/25/47 | 234,816 | 34,001 | |
REMICs Ser. 20-31, IO, 4.50%, 5/25/50 | 1,094,791 | 219,999 | |
REMICs Ser. 12-104, Class HI, IO, 4.00%, 9/25/27 | 49,878 | 1,533 | |
REMICs Ser. 21-67, Class GI, IO, 3.50%, 10/25/51 | 1,234,314 | 215,984 | |
REMICs Ser. 21-25, Class IJ, IO, 3.50%, 5/25/51 | 427,994 | 83,557 | |
REMICs Ser. 20-62, Class MI, IO, 3.50%, 5/25/49 | 1,047,313 | 195,222 | |
REMICs Ser. 23-49, Class IB, IO, 3.50%, 3/25/47 | 561,914 | 88,987 | |
REMICs IFB Ser. 08-24, Class SP, ((-3.667 x US 30 Day Average SOFR) + 22.86%), 3.301%, 2/25/38 | 13,027 | 12,924 | |
REMICs Ser. 20-96, IO, 3.00%, 1/25/51 | 780,567 | 133,578 | |
REMICs Ser. 23-49, Class IA, IO, 3.00%, 8/25/46 | 538,594 | 64,935 | |
REMICs Ser. 21-12, Class NI, IO, 2.50%, 3/25/51 | 667,871 | 110,539 | |
REMICs Ser. 21-3, Class IB, IO, 2.50%, 2/25/51 | 693,409 | 114,184 | |
REMICs ((-1 x US 30 Day Average SOFR) + 6.90%), 1.565%, 12/25/53 | 2,746,151 | 181,438 | |
REMICs IFB Ser. 11-123, Class KS, IO, ((-1 x US 30 Day Average SOFR) + 6.49%), 1.15%, 10/25/41 | 14,157 | 837 | |
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.80%, 3/25/48 | 306,080 | 19,840 | |
REMICs IFB Ser. 18-38, Class SP, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.75%, 6/25/48 | 637,016 | 68,092 | |
REMICs IFB Ser. 20-41, Class SE, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.65%, 6/25/50 | 1,166,773 | 124,878 | |
REMICs IFB Ser. 16-50, Class SM, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.65%, 8/25/46 | 460,160 | 25,970 | |
REMICs Ser. 08-53, Class DO, PO, zero %, 7/25/38 | 11,411 | 9,198 | |
Government National Mortgage Association | |||
Ser. 16-75, Class LI, IO, 6.00%, 1/20/40 | 142,068 | 23,186 | |
Ser. 23-70, Class JI, IO, 5.50%, 6/20/52 | 237,460 | 46,660 | |
Ser. 22-125, Class CI, IO, 5.00%, 6/20/52 | 610,370 | 111,639 | |
Ser. 20-167, Class IT, IO, 5.00%, 9/20/47 | 406,461 | 82,407 | |
Ser. 15-89, Class LI, IO, 5.00%, 12/20/44 | 254,340 | 52,020 | |
Ser. 14-76, IO, 5.00%, 5/20/44 | 141,716 | 27,775 | |
Ser. 13-51, Class QI, IO, 5.00%, 2/20/43 | 100,737 | 13,005 | |
Ser. 13-6, Class OI, IO, 5.00%, 1/20/43 | 45,837 | 8,625 | |
Ser. 21-89, Class IL, IO, 4.50%, 5/20/51 | 632,595 | 141,436 | |
Ser. 18-1, IO, 4.50%, 1/20/48 | 241,443 | 52,040 | |
Ser. 13-34, Class HI, IO, 4.50%, 3/20/43 | 153,274 | 27,494 | |
Ser. 13-39, Class IJ, IO, 4.50%, 3/20/43 | 426,072 | 78,317 | |
Ser. 09-121, Class CI, IO, 4.50%, 12/16/39 | 210,099 | 37,983 | |
Ser. 21-214, Class AI, IO, 4.00%, 12/20/51 | 1,172,404 | 224,227 | |
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 178,783 | 34,737 | |
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 | 92,430 | 4,832 | |
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 45,467 | 6,888 | |
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 141,191 | 23,725 | |
Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 | 562,125 | 98,855 | |
Ser. 14-182, Class BI, IO, 4.00%, 1/20/39 | 219,116 | 16,574 | |
Ser. 21-197, Class BI, IO, 3.50%, 11/20/51 | 718,865 | 90,327 | |
Ser. 21-177, Class IG, IO, 3.50%, 10/20/51 | 1,325,772 | 201,940 | |
Ser. 20-175, Class JI, IO, 3.50%, 11/20/50 | 1,453,637 | 248,937 | |
Ser. 15-168, Class IG, IO, 3.50%, 3/20/43 | 87,290 | 11,002 | |
Ser. 12-136, IO, 3.50%, 11/20/42 | 229,166 | 31,382 | |
Ser. 14-102, Class IG, IO, 3.50%, 3/16/41 | 24,359 | 837 | |
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 70,862 | 3,409 | |
Ser. 21-176, Class GI, IO, 3.00%, 10/20/51 | 813,794 | 124,071 |
2 Putnam VT Mortgage Securities Fund |
MORTGAGE-BACKED SECURITIES (75.7%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Government National Mortgage Association | |||
Ser. 21-188, Class IU, IO, 3.00%, 10/20/51 | $578,301 | $105,470 | |
Ser. 21-188, Class IW, IO, 3.00%, 10/20/51 | 576,775 | 90,690 | |
Ser. 21-116, Class EI, IO, 3.00%, 7/20/51 | 1,953,268 | 231,340 | |
Ser. 21-76, Class NI, IO, 3.00%, 8/20/50 | 1,171,871 | 183,281 | |
Ser. 14-174, Class AI, IO, 3.00%, 11/16/29 | 109,770 | 4,424 | |
Ser. 16-H13, Class IK, IO, 2.68%, 6/20/66 W | 453,739 | 38,781 | |
Ser. 21-7, Class MI, IO, 2.50%, 1/20/51 | 986,259 | 130,957 | |
Ser. 21-8, Class IP, IO, 2.50%, 1/20/51 | 1,219,296 | 176,777 | |
Ser. 20-162, Class UI, IO, 2.50%, 10/20/50 | 874,287 | 121,870 | |
Ser. 20-138, Class IB, IO, 2.50%, 9/20/50 | 1,043,481 | 140,849 | |
Ser. 16-H04, Class HI, IO, 2.334%, 7/20/65 W | 145,544 | 4,308 | |
Ser. 16-H07, Class PI, IO, 2.265%, 3/20/66 W | 1,084,912 | 67,069 | |
Ser. 16-H24, IO, 2.157%, 9/20/66 W | 541,484 | 38,609 | |
IFB Ser. 23-66, Class PS, IO, ((-2.5 x US 30 Day Average SOFR) + 15.38%), 2.043%, 5/20/53 | 187,899 | 183,462 | |
Ser. 15-H23, Class TI, IO, 1.944%, 9/20/65 W | 516,294 | 17,812 | |
Ser. 14-H25, Class BI, IO, 1.674%, 12/20/64 W | 493,549 | 11,337 | |
IFB Ser. 23-20, Class SP, IO, ((-1 x US 30 Day Average SOFR) + 7.00%), 1.667%, 2/20/53 | 3,480,782 | 217,743 | |
IFB Ser. 24-4, Class ES, IO, ((-1 x US 30 Day Average SOFR) + 6.95%), 1.617%, 1/20/54 | 3,386,262 | 222,530 | |
IFB Ser. 23-173, Class ES, IO, ((-1 x US 30 Day Average SOFR) + 6.95%), 1.617%, 11/20/53 | 2,823,389 | 155,000 | |
Ser. 15-H14, Class AI, IO, 1.591%, 6/20/65 W | 894,090 | 35,212 | |
Ser. 17-H14, Class LI, IO, 1.582%, 6/20/67 W | 368,685 | 16,003 | |
IFB Ser. 23-7, Class AS, IO, ((-1 x US 30 Day Average SOFR) + 6.90%), 1.567%, 1/20/53 | 2,801,491 | 169,387 | |
Ser. 16-H18, Class QI, IO, 1.556%, 6/20/66 W | 495,053 | 27,412 | |
Ser. 17-H08, Class GI, IO, 1.541%, 2/20/67 W | 471,898 | 40,489 | |
Ser. 17-H04, Class BI, IO, 1.435%, 2/20/67 W | 443,795 | 18,687 | |
Ser. 17-H08, Class NI, IO, 1.341%, 3/20/67 W | 441,933 | 15,324 | |
Ser. 15-H13, Class AI, IO, 1.302%, 6/20/65 W | 520,278 | 22,302 | |
IFB Ser. 13-182, Class SP, IO, ((-1 x CME Term SOFR 1 Month) + 6.59%), 1.247%, 12/20/43 | 112,117 | 11,150 | |
Ser. 17-H06, Class MI, IO, 1.239%, 2/20/67 W | 686,704 | 26,668 | |
Ser. 18-H02, Class IM, IO, 1.234%, 2/20/68 W | 483,703 | 29,367 | |
Ser. 17-H09, IO, 1.219%, 4/20/67 W | 461,769 | 13,148 | |
IFB Ser. 11-156, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.49%), 1.147%, 4/20/38 | 1,480,926 | 154,083 | |
Ser. 17-H10, Class MI, IO, 1.068%, 4/20/67 W | 506,306 | 15,009 | |
IFB Ser. 24-11, Class S, IO, ((-1 x US 30 Day Average SOFR) + 6.40%), 1.067%, 1/20/54 | 4,348,892 | 207,956 | |
Ser. 17-H03, Class KI, IO, 1.065%, 1/20/67 W | 719,256 | 57,109 | |
Ser. 15-H10, Class HI, IO, 0.941%, 4/20/65 W | 920,348 | 39,299 | |
Ser. 18-H01, Class XI, IO, 0.93%, 1/20/68 W | 714,347 | 46,549 | |
IFB Ser. 23-13, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 6.25%), 0.917%, 1/20/53 | 1,305,913 | 75,117 | |
FRB Ser. 15-H16, Class XI, IO, 0.867%, 7/20/65 W | 365,544 | 19,922 | |
FRB Ser. 16-H19, Class AI, IO, 0.852%, 9/20/66 W | 843,206 | 36,325 | |
IFB Ser. 21-98, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.847%, 6/20/51 | 820,964 | 94,895 | |
IFB Ser. 20-112, Class MS, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.847%, 8/20/50 | 1,346,765 | 155,715 | |
IFB Ser. 23-56, Class AS, IO, ((-1 x US 30 Day Average SOFR) + 6.16%), 0.827%, 4/20/53 | 4,112,216 | 235,066 | |
Ser. 16-H23, Class NI, IO, 0.793%, 10/20/66 W | 823,190 | 33,416 | |
Ser. 16-H24, Class JI, IO, 0.754%, 11/20/66 W | 304,340 | 15,053 | |
IFB Ser. 13-87, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.747%, 6/20/43 | 523,653 | 44,547 | |
Ser. 16-H27, Class GI, IO, 0.709%, 12/20/66 W | 795,188 | 41,069 | |
IFB Ser. 19-158, Class AS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.707%, 9/16/43 | 505,237 | 43,831 | |
IFB Ser. 19-56, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.697%, 5/20/49 | 372,069 | 35,728 | |
IFB Ser. 23-181, Class DS, IO, ((-1 x US 30 Day Average SOFR) + 6.00%), 0.667%, 11/20/53 | 4,542,452 | 189,410 | |
IFB Ser. 23-101, Class HS, IO, ((-1 x US 30 Day Average SOFR) + 6.00%), 0.667%, 7/20/53 | 4,515,429 | 252,455 | |
IFB Ser. 23-82, Class ES, IO, ((-1 x US 30 Day Average SOFR) + 6.00%), 0.667%, 6/20/53 | 3,754,601 | 148,071 | |
Ser. 16-H24, Class BI, IO, 0.657%, 11/20/66 W | 1,595,332 | 58,930 | |
Ser. 16-H06, Class DI, IO, 0.653%, 7/20/65 W | 549,960 | 15,239 | |
Ser. 17-H25, Class CI, IO, 0.613%, 12/20/67 W | 839,094 | 51,556 | |
IFB Ser. 23-19, Class S, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.597%, 11/20/49 | 2,013,092 | 192,388 | |
IFB Ser. 19-125, Class SG, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.597%, 10/20/49 | 588,715 | 65,224 | |
IFB Ser. 19-110, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.597%, 9/20/49 | 607,040 | 60,447 | |
Ser. 15-H20, Class CI, IO, 0.594%, 8/20/65 W | 711,103 | 37,831 | |
IFB Ser. 19-121, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.547%, 10/20/49 | 240,026 | 27,019 |
Putnam VT Mortgage Securities Fund 3 |
MORTGAGE-BACKED SECURITIES (75.7%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Government National Mortgage Association | |||
IFB Ser. 20-47, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.547%, 5/20/44 | $425,478 | $33,574 | |
Ser. 16-H03, Class AI, IO, 0.474%, 1/20/66 W | 629,271 | 22,243 | |
Ser. 15-H22, Class AI, IO, 0.427%, 9/20/65 W | 749,801 | 36,440 | |
Ser. 17-H20, Class AI, IO, 0.408%, 10/20/67 W | 1,133,604 | 53,813 | |
Ser. 16-H10, Class AI, IO, 0.356%, 4/20/66 W | 589,037 | 12,612 | |
IFB Ser. 23-40, Class SP, IO, ((-1 x US 30 Day Average SOFR) + 5.65%), 0.317%, 3/20/53 | 3,059,560 | 102,054 | |
IFB Ser. 23-43, Class S, IO, ((-1 x US 30 Day Average SOFR) + 5.60%), 0.267%, 3/20/53 | 3,822,679 | 114,489 | |
IFB Ser. 22-209, Class SG, IO, ((-1 x US 30 Day Average SOFR) + 5.60%), 0.267%, 12/20/52 | 4,902,880 | 250,204 | |
Ser. 17-H25, IO, 0.262%, 11/20/67 W | 515,772 | 18,919 | |
Ser. 15-H04, Class AI, IO, 0.239%, 12/20/64 W | 472,000 | 14,270 | |
Ser. 14-H21, Class AI, IO, 0.145%, 10/20/64 W | 694,320 | 23,020 | |
10,343,566 | |||
Commercial mortgage-backed securities (22.9%) | |||
BANK FRB Ser. 20-BN26, Class XA, IO, 1.321%, 3/15/63 W | 996,102 | 48,302 | |
BANK 144A Ser. 18-BN11, Class D, 3.00%, 3/15/61 | 59,000 | 39,905 | |
Barclays Commercial Mortgage Trust 144A | |||
Ser. 19-C4, Class E, 3.25%, 8/15/52 | 111,000 | 67,893 | |
FRB Ser. 19-C5, Class F, 2.734%, 11/15/52 W | 80,000 | 43,455 | |
BDS, Ltd. 144A FRB Ser. 21-FL9, Class A, (CME Term SOFR 1 Month + 1.18%), 6.516%, 11/16/38 (Cayman Islands) | 98,219 | 97,552 | |
Benchmark Mortgage Trust | |||
FRB Ser. 18-B1, Class C, 4.315%, 1/15/51 W | 59,000 | 44,439 | |
Ser. 19-B15, Class XA, IO, 0.926%, 12/15/72 W | 1,146,769 | 35,504 | |
Benchmark Mortgage Trust 144A | |||
FRB Ser. 18-B3, Class D, 3.166%, 4/10/51 W | 129,000 | 81,130 | |
Ser. 19-B11, Class D, 3.00%, 5/15/52 | 115,000 | 75,150 | |
Ser. 18-B1, Class E, 3.00%, 1/15/51 W | 108,000 | 48,317 | |
Ser. 19-B13, Class D, 2.50%, 8/15/57 | 105,000 | 61,499 | |
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 5.029%, 2/10/44 W | 138,000 | 86,330 | |
CD Commercial Mortgage Trust | |||
FRB Ser. 17-CD3, Class C, 4.689%, 2/10/50 W | 134,000 | 52,357 | |
Ser. 17-CD3, Class B, 3.984%, 2/10/50 W | 60,000 | 41,415 | |
Ser. 17-CD4, Class B, 3.947%, 5/10/50 W | 94,000 | 84,023 | |
CD Commercial Mortgage Trust 144A | |||
Ser. 17-CD3, Class D, 3.25%, 2/10/50 | 140,000 | 32,196 | |
Ser. 19-CD8, Class D, 3.00%, 8/15/57 | 84,000 | 46,127 | |
Citigroup Commercial Mortgage Trust | |||
FRB Ser. 15-GC27, Class C, 4.566%, 2/10/48 W | 116,000 | 110,952 | |
FRB Ser. 15-P1, Class C, 4.514%, 9/15/48 W | 68,000 | 64,225 | |
Citigroup Commercial Mortgage Trust 144A | |||
FRB Ser. 15-GC27, Class D, 4.566%, 2/10/48 W | 70,000 | 65,212 | |
Ser. 15-P1, Class D, 3.225%, 9/15/48 | 45,000 | 39,831 | |
Ser. 15-GC27, Class E, 3.00%, 2/10/48 | 150,000 | 107,830 | |
COMM Mortgage Trust | |||
FRB Ser. 13-CR13, Class C, 5.113%, 11/10/46 W | 27,444 | 25,824 | |
FRB Ser. 14-CR16, Class C, 5.053%, 4/10/47 W | 119,000 | 110,610 | |
FRB Ser. 14-CR17, Class C, 4.837%, 5/10/47 W | 148,000 | 134,115 | |
FRB Ser. 14-CR21, Class C, 4.562%, 12/10/47 W | 43,000 | 40,730 | |
Ser. 14-LC17, Class B, 4.49%, 10/10/47 W | 73,000 | 72,037 | |
FRB Ser. 15-CR23, Class C, 4.413%, 5/10/48 W | 72,000 | 67,639 | |
Ser. 14-CR17, Class B, 4.377%, 5/10/47 | 71,000 | 66,696 | |
Ser. 13-CR12, Class AM, 4.30%, 10/10/46 | 104,687 | 96,154 | |
Ser. 15-DC1, Class B, 4.035%, 2/10/48 W | 85,000 | 78,619 | |
FRB Ser. 15-CR26, Class D, 3.613%, 10/10/48 W | 85,000 | 67,714 | |
COMM Mortgage Trust 144A | |||
FRB Ser. 13-LC13, Class D, 5.571%, 8/10/46 W | 101,000 | 83,845 | |
FRB Ser. 14-CR17, Class D, 4.901%, 5/10/47 W | 144,000 | 117,431 | |
FRB Ser. 14-CR17, Class E, 4.901%, 5/10/47 W | 124,000 | 87,308 | |
FRB Ser. 15-LC19, Class E, 4.352%, 2/10/48 W | 115,000 | 88,036 | |
FRB Ser. 13-CR6, Class D, 3.988%, 3/10/46 W | 117,000 | 88,334 |
4 Putnam VT Mortgage Securities Fund |
MORTGAGE-BACKED SECURITIES (75.7%)* cont. | Principal amount | Value | |
Commercial mortgage-backed securities cont. | |||
COMM Mortgage Trust 144A | |||
Ser. 12-CR4, Class B, 3.703%, 10/15/45 | $123,000 | $78,098 | |
Ser. 17-COR2, Class D, 3.00%, 9/10/50 | 113,000 | 83,620 | |
FRB Ser. 18-COR3, Class D, 2.966%, 5/10/51 W | 112,000 | 65,319 | |
Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 8.472%, 9/9/24 | 111,000 | 111,599 | |
CSAIL Commercial Mortgage Trust | |||
FRB Ser. 15-C3, Class C, 4.493%, 8/15/48 W | 56,000 | 48,300 | |
FRB Ser. 15-C1, Class C, 4.385%, 4/15/50 W | 124,000 | 112,444 | |
FRB Ser. 15-C2, Class C, 4.311%, 6/15/57 W | 69,000 | 60,711 | |
FRB Ser. 15-C2, Class D, 4.311%, 6/15/57 W | 156,000 | 113,738 | |
Ser. 15-C1, Class B, 4.044%, 4/15/50 W | 88,000 | 84,231 | |
CSAIL Commercial Mortgage Trust 144A Ser. 19-C17, Class D, 2.50%, 9/15/52 | 138,000 | 90,047 | |
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.533%, 8/10/44 W | 117,391 | 109,595 | |
Federal Home Loan Mortgage Corporation Multifamily Structured Credit Risk FRB Ser. 21-MN1, Class M2, 9.085%, 1/25/51 | 85,000 | 85,558 | |
Federal Home Loan Mortgage Corporation 144A | |||
Multifamily Structured Credit Risk FRB | |||
Ser. 21-MN3, Class M2, 9.335%, 11/25/51 | 148,000 | 149,709 | |
Ser. 21-MN1, Class M1, 7.335%, 1/25/51 | 58,182 | 57,822 | |
Government National Mortgage Association FRB Ser. 24-32, IO, 0.706%, 6/16/63 | 1,262,199 | 62,261 | |
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.688%, 2/10/46 W | 137,000 | 128,890 | |
GS Mortgage Securities Trust 144A | |||
FRB Ser. 14-GC24, Class D, 4.60%, 9/10/47 W | 157,000 | 90,611 | |
FRB Ser. 13-GC13, Class D, 3.976%, 7/10/46 W | 105,000 | 64,290 | |
Ser. 17-GS5, Class D, 3.509%, 3/10/50 W | 61,000 | 29,648 | |
JPMBB Commercial Mortgage Securities Trust FRB Ser. 14-C22, Class C, 4.694%, 9/15/47 W | 73,000 | 66,653 | |
JPMBB Commercial Mortgage Securities Trust 144A FRB Ser. C14, Class D, 4.248%, 8/15/46 W | 155,000 | 110,090 | |
JPMDB Commercial Mortgage Securities Trust | |||
FRB Ser. 18-C8, Class C, 4.917%, 6/15/51 W | 53,000 | 42,980 | |
Ser. 17-C5, Class C, 4.512%, 3/15/50 W | 66,000 | 45,556 | |
JPMDB Commercial Mortgage Securities Trust 144A FRB Ser. 16-C2, Class D, 3.477%, 6/15/49 W | 157,000 | 87,875 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
FRB Ser. 13-LC11, Class D, 4.297%, 4/15/46 W | 62,000 | 15,493 | |
FRB Ser. 13-C10, Class C, 4.21%, 12/15/47 W | 68,001 | 63,899 | |
Ser. 13-LC11, Class B, 3.499%, 4/15/46 | 49,000 | 36,938 | |
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 11-C3, Class D, 5.709%, 2/15/46 W | 145,000 | 110,780 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
FRB Ser. 13-C12, Class C, 4.965%, 10/15/46 W | 52,438 | 48,614 | |
FRB Ser. 15-C25, Class C, 4.668%, 10/15/48 W | 122,000 | 107,823 | |
FRB Ser. 15-C24, Class C, 4.466%, 5/15/48 W | 104,000 | 95,027 | |
FRB Ser. 14-C16, Class B, 4.42%, 6/15/47 W | 56,365 | 53,181 | |
FRB Ser. 15-C22, Class C, 4.339%, 4/15/48 W | 98,000 | 91,274 | |
FRB Ser. 17-C34, Class C, 4.311%, 11/15/52 W | 60,000 | 50,295 | |
Ser. 14-C19, Class C, 4.00%, 12/15/47 | 69,000 | 65,413 | |
FRB Ser. 13-C9, Class C, 3.851%, 5/15/46 W | 58,000 | 50,569 | |
Morgan Stanley Bank of America Merrill Lynch Trust 144A | |||
FRB Ser. 12-C5, Class E, 4.792%, 8/15/45 W | 63,000 | 57,539 | |
FRB Ser. 12-C6, Class E, 4.505%, 11/15/45 W | 124,000 | 54,547 | |
FRB Ser. 15-C24, Class E, 4.466%, 5/15/48 W | 104,000 | 79,362 | |
FRB Ser. 15-C23, Class D, 4.275%, 7/15/50 W | 69,000 | 64,061 | |
FRB Ser. 13-C10, Class F, 4.116%, 7/15/46 W | 141,000 | 8,737 | |
Morgan Stanley Capital I Trust | |||
FRB Ser. 18-H3, Class C, 5.012%, 7/15/51 W | 125,000 | 112,100 | |
FRB Ser. 15-MS1, Class C, 4.157%, 5/15/48 W | 94,000 | 82,410 | |
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class E, 5.108%, 7/15/49 W | 47,497 | 46,234 | |
Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 19-01, Class M10, 8.70%, 10/25/49 | 252,951 | 252,952 | |
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 7.812%, 6/25/37 | 53,803 | 54,139 | |
Shelter Growth CRE Issuer, Ltd. 144A FRB Ser. 23-FL5, Class A, 8.093%, 5/19/38 (Bermuda) | 77,000 | 77,101 | |
UBS Commercial Mortgage Trust | |||
FRB Ser. 18-C13, Class C, 5.124%, 10/15/51 W | 54,000 | 47,350 | |
FRB Ser. 18-C11, Class C, 5.044%, 6/15/51 W | 117,000 | 96,161 | |
FRB Ser. 17-C3, Class C, 4.53%, 8/15/50 W | 156,000 | 130,531 |
Putnam VT Mortgage Securities Fund 5 |
MORTGAGE-BACKED SECURITIES (75.7%)* cont. | Principal amount | Value | |
Commercial mortgage-backed securities cont. | |||
UBS Commercial Mortgage Trust 144A | |||
FRB Ser. 12-C1, Class E, 5.00%, 5/10/45 W | $74,969 | $69,314 | |
FRB Ser. 18-C11, Class D, 3.00%, 6/15/51 W | 136,000 | 71,483 | |
Wells Fargo Commercial Mortgage Trust | |||
FRB Ser. 16-NXS5, Class D, 5.142%, 1/15/59 W | 51,000 | 38,812 | |
FRB Ser. 18-C46, Class C, 5.132%, 8/15/51 W | 51,000 | 43,849 | |
FRB Ser. 15-SG1, Class B, 4.60%, 9/15/48 W | 72,000 | 67,034 | |
FRB Ser. 15-C29, Class D, 4.359%, 6/15/48 W | 99,000 | 87,976 | |
FRB Ser. 20-C57, Class C, 4.157%, 8/15/53 W | 23,000 | 20,170 | |
FRB Ser. 13-LC12, Class B, 4.083%, 7/15/46 W | 106,859 | 98,095 | |
Ser. 15-C31, Class D, 3.852%, 11/15/48 | 104,000 | 85,045 | |
Ser. 16-BNK1, Class C, 3.071%, 8/15/49 W | 65,000 | 40,543 | |
Wells Fargo Commercial Mortgage Trust 144A | |||
FRB Ser. 15-C31, Class E, 4.747%, 11/15/48 W | 118,000 | 77,327 | |
FRB Ser. 15-C30, Class D, 4.642%, 9/15/58 W | 98,000 | 85,372 | |
Ser. 17-RB1, Class D, 3.401%, 3/15/50 | 82,000 | 44,572 | |
Ser. 16-C33, Class D, 3.123%, 3/15/59 | 122,000 | 96,173 | |
Ser. 20-C55, Class D, 2.50%, 2/15/53 | 100,000 | 64,786 | |
WF-RBS Commercial Mortgage Trust | |||
FRB Ser. 12-C10, Class C, 4.477%, 12/15/45 W | 57,000 | 44,773 | |
Ser. 14-C21, Class C, 4.234%, 8/15/47 W | 118,000 | 115,077 | |
WF-RBS Commercial Mortgage Trust 144A FRB Ser. 11-C4, Class C, 5.144%, 6/15/44 W | 38,153 | 35,257 | |
7,716,569 | |||
Residential mortgage-backed securities (non-agency) (22.1%) | |||
A&D Mortgage Trust 144A | |||
Ser. 23-NQM4, Class A1, 7.472%, 9/25/68 | 220,444 | 224,540 | |
Ser. 23-NQM5, Class A1, 7.049%, 11/25/68 | 129,733 | 131,031 | |
Ser. 24-NQM1, Class A1, 6.195%, 2/25/69 | 133,673 | 133,158 | |
Ser. 23-NQM2, Class A1, 6.132%, 5/25/68 | 126,376 | 124,760 | |
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 5.65%, 5/25/47 | 368,809 | 211,349 | |
Bayview Financial Mortgage Pass-Through Trust Ser. 06-C, Class 1A3, 6.528%, 11/28/36 | 143,546 | 136,118 | |
BRAVO Residential Funding Trust 144A Ser. 24-NQM2, Class A1, stepped-coupon 6.285% (7.285%, 2/1/28), 2/25/64 †† | 148,597 | 149,159 | |
Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (CME Term SOFR 1 Month + 0.59%), 5.94%, 6/25/36 | 325,439 | 309,166 | |
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (CME Term SOFR 1 Month + 0.29%), 5.64%, 11/25/47 | 120,651 | 90,231 | |
COLT Mortgage Loan Trust 144A Ser. 23-3, Class A1, 7.18%, 9/25/68 | 186,405 | 188,886 | |
Countrywide Alternative Loan Trust FRB Ser. 06-OA19, Class A1, (CME Term SOFR 1 Month + 0.29%), 5.633%, 2/20/47 | 152,042 | 116,367 | |
Countrywide Asset-Backed Certificates FRB Ser. 07-10, Class 1A1, (CME Term SOFR 1 Month + 0.29%), 5.64%, 6/25/47 | 190,331 | 178,445 | |
CSMC Trust 144A FRB Ser. 20-RPL2, Class A12, 3.641%, 2/25/60 W | 242,764 | 246,765 | |
Federal Home Loan Mortgage Corporation | |||
Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (US 30 Day Average SOFR + 8.91%), 14.25%, 3/25/28 | 246,340 | 256,011 | |
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (US 30 Day Average SOFR + 5.11%), 10.45%, 12/25/28 | 111,452 | 118,257 | |
Seasoned Credit Risk Transfer Trust Ser. 19-3, Class M, 4.75%, 10/25/58 W | 50,000 | 47,364 | |
Federal Home Loan Mortgage Corporation 144A | |||
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (US 30 Day Average SOFR + 12.36%), 17.70%, 2/25/49 | 222,000 | 282,106 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 16.835%, 10/25/50 | 56,000 | 78,216 | |
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (US 30 Day Average SOFR + 11.11%), 16.45%, 10/25/48 | 413,000 | 524,975 | |
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (US 30 Day Average SOFR + 10.86%), 16.20%, 1/25/49 | 32,000 | 40,703 | |
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (US 30 Day Average SOFR + 10.61%), 15.95%, 3/25/49 | 114,000 | 138,136 |
6 Putnam VT Mortgage Securities Fund |
MORTGAGE-BACKED SECURITIES (75.7%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal Home Loan Mortgage Corporation 144A | |||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (US 30 Day Average SOFR + 10.11%), 15.45%, 8/25/50 | $65,000 | $88,197 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (US 30 Day Average SOFR + 10.11%), 15.45%, 7/25/50 | 64,000 | 86,520 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA3, Class B2, (US 30 Day Average SOFR + 9.75%), 15.085%, 4/25/42 | 50,000 | 57,119 | |
Structured Agency Credit Risk Trust FRB Ser. 19-FTR1, Class B2, (US 30 Day Average SOFR + 8.46%), 13.80%, 1/25/48 | 200,000 | 241,000 | |
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (US 30 Day Average SOFR + 7.86%), 13.20%, 9/25/48 | 431,000 | 504,286 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA4, Class B1, (US 30 Day Average SOFR + 5.36%), 10.70%, 9/25/50 | 37,884 | 42,420 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B1, (US 30 Day Average SOFR + 4.80%), 10.135%, 10/25/50 | 205,000 | 234,853 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class B1, (US 30 Day Average SOFR + 4.21%), 9.55%, 3/25/50 | 124,000 | 140,173 | |
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58 W | 69,000 | 65,105 | |
Seasoned Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56 W | 138,000 | 131,717 | |
Seasoned Credit Risk Transfer Trust FRB Ser. 18-3, Class 3, 4.75%, 8/25/57 W | 70,000 | 65,414 | |
Federal National Mortgage Association | |||
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.20%, 10/25/28 | 154,293 | 178,851 | |
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (US 30 Day Average SOFR + 10.36%), 15.70%, 1/25/29 | 196,352 | 225,117 | |
Federal National Mortgage Association 144A | |||
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.835%, 1/25/42 | 35,000 | 37,252 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R05, Class 1B1, (US 30 Day Average SOFR + 4.21%), 9.55%, 7/25/39 | 68,854 | 72,138 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (US 30 Day Average SOFR + 4.21%), 9.55%, 9/25/31 | 56,311 | 60,137 | |
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (US 30 Day Average SOFR + 3.76%), 9.10%, 2/25/40 | 79,000 | 83,867 | |
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2B1, (US 30 Day Average SOFR + 3.11%), 8.45%, 1/25/40 | 35,000 | 35,978 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.335%, 1/25/42 | 292,000 | 300,395 | |
JPMorgan Alternative Loan Trust FRB Ser. 06-A6, Class 1A1, (CME Term SOFR 1 Month + 0.43%), 5.78%, 11/25/36 | 61,423 | 50,092 | |
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE9, Class M2, (CME Term SOFR 1 Month + 1.04%), 6.39%, 11/25/34 | 3,079 | 2,835 | |
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (CME Term SOFR 1 Month + 0.34%), 4.303%, 2/26/37 | 58,163 | 50,280 | |
Morgan Stanley Residential Mortgage Loan Trust 144A Ser. 24-NQM2, Class A1, stepped-coupon 6.386% (7.386%, 5/1/28), 5/25/69 †† | 249,193 | 250,827 | |
PRMI Securitization Trust 144A FRB Ser. 24-CMG1, Class A1, (US 30 Day Average SOFR + 1.45%), 6.786%, 7/25/54 | 149,000 | 148,509 | |
Saluda Grade Alternative Mortgage Trust 144A Ser. 24-RTL5, Class A1, stepped-coupon 7.762% (9.262%, 9/1/26), 4/25/30 †† | 170,000 | 171,603 | |
Structured Asset Mortgage Investments II Trust | |||
FRB Ser. 07-AR7, Class 1A1, (CME Term SOFR 1 Month + 0.96%), 6.31%, 5/25/47 | 355,469 | 274,734 | |
FRB Ser. 06-AR7, Class A1BG, (CME Term SOFR 1 Month + 0.23%), 5.58%, 8/25/36 | 20,756 | 17,934 | |
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58 W | 102,000 | 89,143 | |
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR8, Class 2AC2, (CME Term SOFR 1 Month + 1.03%), 6.38%, 7/25/45 | 56,427 | 50,006 | |
7,482,245 | |||
Total mortgage-backed securities (cost $26,944,254) | $25,542,380 | ||
ASSET-BACKED SECURITIES (0.3%)* | Principal amount | Value | |
Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class D, (CME Term SOFR 1 Month + 2.11%), 7.46%, 10/22/24 | $94,000 | $93,863 | |
Total asset-backed securities (cost $89,886) | $93,863 | ||
Putnam VT Mortgage Securities Fund 7 |
SHORT-TERM INVESTMENTS (20.8%)* |
Principal amount/ shares |
Value | |
Putnam Short Term Investment Fund Class P 5.48% L | Shares | 5,681,279 | $5,681,279 |
State Street Institutional U.S. Government Money Market Fund, Premier Class 5.25% P | Shares | 341,000 | 341,000 |
U.S. Treasury Bills 5.381%, 7/23/24 # ∆ | $1,000,000 | 996,792 | |
Total short-term investments (cost $7,019,080) | $7,019,071 | ||
TOTAL INVESTMENTS | |
Total investments (cost $108,621,747) | $106,982,065 |
Key to holding's abbreviations | |
CME | Chicago Mercantile Exchange |
FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. |
IO | Interest Only |
PO | Principal Only |
REMICs | Real Estate Mortgage Investment Conduits |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced Commitments |
Notes to the fund's portfolio | |||
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from January 1, 2024 through June 30, 2024 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Franklin Resources, Inc., and references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures. | |||
* | Percentages indicated are based on net assets of $33,728,424. | ||
†† | The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate. | ||
# | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $383,614 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8). | ||
∆ | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $103,626 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8). | ||
i | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1). | ||
L | Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | ||
P | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | ||
W | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | ||
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | |||
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||
See Note 1 to the financial statements regarding TBA commitments. | |||
The dates shown on debt obligations are the original maturity dates. | |||
FUTURES CONTRACTS OUTSTANDING at 6/30/24 (Unaudited) | |||||
Number of contracts |
Notional amount |
Value |
Expiration date |
Unrealized appreciation/ (depreciation) |
|
U.S. Treasury Note 2 yr (Short) | 77 | $15,724,844 | $15,724,844 | Sep-24 | $(32,601) |
U.S. Treasury Note Ultra 10 yr (Short) | 104 | 11,807,250 | 11,807,250 | Sep-24 | (125,369) |
Unrealized appreciation | - | ||||
Unrealized (depreciation) | (157,970) | ||||
Total | $(157,970) | ||||
8 Putnam VT Mortgage Securities Fund |
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/24 (Unaudited) | |||||
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date |
Expiration date/strike |
Notional/ Contract amount |
Premium receivable/ (payable) |
Unrealized appreciation/ (depreciation) |
|
Bank of America N.A. | |||||
3.977/US SOFR/May-44 (Written) | May-34/3.977 | $1,943,700 | $162,007 | $(175) | |
(3.977)/US SOFR/May-44 (Written) | May-34/3.977 | 1,943,700 | 162,007 | (8,902) | |
(4.225)/US SOFR/Nov-36 (Purchased) | Nov-26/4.225 | 1,304,300 | (66,780) | (15,404) | |
3.725/US SOFR/Nov-36 (Purchased) | Nov-26/3.725 | 1,304,300 | (63,780) | 143 | |
(3.925)/US SOFR/Apr-37 (Written) | Apr-27/3.925 | 601,100 | 51,924 | (2,380) | |
3.925/US SOFR/Apr-37 (Written) | Apr-27/3.925 | 601,100 | 51,924 | 2,531 | |
3.685/US SOFR/May-59 (Purchased) | May-29/3.685 | 534,600 | (71,690) | 10,029 | |
(3.685)/US SOFR/May-59 (Purchased) | May-29/3.685 | 534,600 | (71,690) | (3,844) | |
Barclays Bank PLC | |||||
3.00/US SOFR/Dec-48 (Purchased) | Dec-38/3.00 | 3,929,100 | (260,499) | 3,340 | |
(1.945)/US SOFR/Jun-51 (Purchased) | Jun-31/1.945 | 2,648,900 | (561,567) | 134,882 | |
1.945/US SOFR/Jun-51 (Purchased) | Jun-31/1.945 | 2,648,900 | (142,776) | (39,363) | |
Citibank, N.A. | |||||
(3.85)/US SOFR/Sep-34 (Purchased) | Sep-24/3.85 | 3,745,000 | (58,094) | 9,924 | |
3.75/US SOFR/Sep-34 (Written) | Sep-24/3.75 | 3,745,000 | 62,729 | (24,230) | |
3.85/US SOFR/Sep-34 (Purchased) | Sep-24/3.85 | 3,745,000 | (58,094) | (9,999) | |
(3.75)/US SOFR/Sep-34 (Written) | Sep-24/3.75 | 3,745,000 | 62,729 | 25,915 | |
3.45/US SOFR/Mar-37 (Purchased) | Mar-27/3.45 | 2,319,100 | (102,968) | (6,818) | |
(3.95)/US SOFR/Mar-37 (Purchased) | Mar-27/3.95 | 2,319,100 | (107,954) | 7,978 | |
Deutsche Bank AG | |||||
(2.98)/US SOFR/Mar-35 (Written) | Mar-30/2.98 | 1,137,900 | 233,759 | 19,731 | |
2.98/US SOFR/Mar-35 (Written) | Mar-30/2.98 | 1,137,900 | 233,759 | (15,919) | |
3.6375/US SOFR/Apr-59 (Purchased) | Apr-29/3.6375 | 274,900 | (38,665) | 2,177 | |
(3.6375)/US SOFR/Apr-59 (Purchased) | Apr-29/3.6375 | 274,900 | (38,665) | (2,877) | |
JPMorgan Chase Bank N.A. | |||||
3.0925/US SOFR/Mar-43 (Written) | Mar-33/3.0925 | 691,100 | 58,052 | (17,105) | |
(3.0925)/US SOFR/Mar-43 (Written) | Mar-33/3.0925 | 691,100 | 58,052 | 16,621 | |
Unrealized appreciation | 233,271 | ||||
Unrealized (depreciation) | (147,016) | ||||
Total | $86,255 | ||||
TBA SALE COMMITMENTS OUTSTANDING at 6/30/24 (proceeds receivable $23,910,332) (Unaudited) | |||
Agency |
Principal amount |
Settlement date |
Value |
Uniform Mortgage-Backed Securities, 6.50%, 7/1/54 | $1,000,000 | 7/15/24 | $1,017,734 |
Uniform Mortgage-Backed Securities 6.00%, 7/1/54 | 5,000,000 | 7/15/24 | 5,014,066 |
Uniform Mortgage-Backed Securities, 3.00%, 7/1/54 | 2,000,000 | 7/15/24 | 1,701,876 |
Uniform Mortgage-Backed Securities, 2.50%, 7/1/54 | 5,000,000 | 7/15/24 | 4,082,225 |
Uniform Mortgage-Backed Securities, 6.00%, 7/1/54 | 6,000,000 | 7/15/24 | 4,691,718 |
Uniform Mortgage-Backed Securities, 5.50%, 7/1/54 | 1,000,000 | 7/15/24 | 986,289 |
Uniform Mortgage-Backed Securities, 4.50%, 7/1/54 | 2,000,000 | 7/15/24 | 1,885,234 |
Uniform Mortgage-Backed Securities, 4.00%, 7/1/54 | 2,000,000 | 7/15/24 | 1,829,688 |
Uniform Mortgage-Backed Securities, 3.50%, 7/1/54 | 3,000,000 | 7/15/24 | 2,655,232 |
Total | $23,864,062 | ||
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/24 (Unaudited) | |||||||
Notional amount | Value |
Upfront premium received (paid) |
Termination date |
Payments made by fund |
Payments received by fund |
Unrealized appreciation/ (depreciation) |
|
$246,300 | $810 E | $(4) | 3/18/36 | 3.757% - Annually | US SOFR - Annually | $807 | |
261,600 | 1,373 E | (9) | 2/20/59 | 3.485% - Annually | US SOFR - Annually | 1,365 | |
4,075,500 | 19,644 | (15) | 3/18/26 | US SOFR - Annually | 4.413% - Annually | (29,059) | |
149,400 | 965 E | (2) | 4/17/35 | 3.919% - Annually | US SOFR - Annually | (967) | |
615,800 | 5,394 E | (9) | 4/17/35 | 3.948% - Annually | US SOFR - Annually | (5,403) | |
57,600 | 336 E | (1) | 3/31/38 | US SOFR - Annually | 3.93% - Annually | 335 |
Putnam VT Mortgage Securities Fund 9 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/24 (Unaudited) cont. | |||||||
Notional amount | Value |
Upfront premium received (paid) |
Termination date |
Payments made by fund |
Payments received by fund |
Unrealized appreciation/ (depreciation) |
|
$72,600 | $775 E | $(2) | 12/18/58 | 3.455% - Annually | US SOFR - Annually | $772 | |
35,122,000 | 62,868 E | 121,354 | 9/18/26 | 4.50% - Annually | US SOFR - Annually | 58,486 | |
6,230,000 | 85,849 E | 113,490 | 9/18/29 | 4.30% - Annually | US SOFR - Annually | 27,640 | |
1,140,000 | 17,100 E | (17,017) | 9/18/34 | US SOFR - Annually | 4.10% - Annually | 83 | |
2,213,000 | 70,019 E | (109,314) | 9/18/54 | US SOFR - Annually | 3.90% - Annually | (39,294) | |
7,898,000 | 21,562 E | 29,054 | 9/18/26 | 4.55% - Annually | US SOFR - Annually | 7,492 | |
1,765,000 | 28,222 E | (33,976) | 9/18/29 | US SOFR - Annually | 4.35% - Annually | (5,754) | |
10,000 | 191 E | 276 | 9/18/34 | 4.15% - Annually | US SOFR - Annually | 85 | |
234,000 | 9,454 E | (14,364) | 9/18/54 | US SOFR - Annually | 3.95% - Annually | (4,911) | |
4,434,800 | 10,865 E | (42) | 7/25/29 | 3.99% - Annually | US SOFR - Annually | 12,176 | |
Total | $89,419 | ||||||
E Extended effective date. | |||||||
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING - PROTECTION SOLD at 6/30/24 (Unaudited) | ||||||||
Swap counterparty/ Referenced debt* |
Rating*** |
Upfront premium received (paid)** |
Notional amount |
Value |
Termi- nation date |
Payments received by fund |
Unrealized appreciation/ (depreciation) |
|
Citigroup Global Markets, Inc. | ||||||||
CMBX NA BB.11 Index | B+/P | $402 | $1,000 | $292 | 11/18/54 | 500 bp - Monthly | $111 | |
CMBX NA BB.13 Index | BB−/P | 91,070 | 213,000 | 76,467 | 12/16/72 | 500 bp - Monthly | 14,780 | |
CMBX NA BB.6 Index | CCC-/P | 16,692 | 49,730 | 12,910 | 5/11/63 | 500 bp - Monthly | 3,823 | |
CMBX NA BB.7 Index | CCC/P | 4,233 | 13,307 | 4,351 | 1/17/47 | 500 bp - Monthly | (109) | |
CMBX NA BB.9 Index | B-/P | 34,073 | 81,000 | 31,857 | 9/17/58 | 500 bp - Monthly | 2,284 | |
CMBX NA BBB−.11 Index | BBB−/P | 3,150 | 15,000 | 2,067 | 11/18/54 | 300 bp - Monthly | 1,090 | |
CMBX NA BBB−.13 Index | BBB−/P | 25,196 | 88,000 | 20,302 | 12/16/72 | 300 bp - Monthly | 4,938 | |
CMBX NA BBB−.16 Index | BBB−/P | 18,640 | 82,000 | 14,284 | 4/17/65 | 300 bp - Monthly | 4,396 | |
Goldman Sachs International | ||||||||
CMBX NA BB.6 Index | CCC-/P | 3,298 | 9,842 | 2,555 | 5/11/63 | 500 bp - Monthly | 752 | |
CMBX NA BB.7 Index | CCC/P | 1,124 | 3,502 | 1,145 | 1/17/47 | 500 bp - Monthly | (18) | |
CMBX NA BB.7 Index | CCC/P | 16,284 | 39,920 | 13,054 | 1/17/47 | 500 bp - Monthly | 3,264 | |
CMBX NA BBB−.16 Index | BBB−/P | 1,848 | 9,000 | 1,568 | 4/17/65 | 300 bp - Monthly | 285 | |
JPMorgan Securities LLC | ||||||||
CMBX NA A.13 Index | A-/P | 81 | 1,000 | 76 | 12/16/72 | 200 bp - Monthly | 5 | |
CMBX NA BB.10 Index | B-/P | 2,006 | 25,000 | 10,240 | 5/11/63 | 500 bp - Monthly | (8,213) | |
CMBX NA BB.7 Index | CCC/P | 1,370 | 2,801 | 916 | 1/17/47 | 500 bp - Monthly | 456 | |
CMBX NA BB.7 Index | CCC/P | 30,848 | 44,122 | 14,428 | 1/17/47 | 500 bp - Monthly | 16,457 | |
CMBX NA BBB−.8 Index | B+/P | 6,549 | 42,000 | 4,175 | 10/17/57 | 300 bp - Monthly | 2,396 | |
Merrill Lynch International | ||||||||
CMBX NA A.13 Index | A-/P | 11,581 | 87,000 | 6,569 | 12/16/72 | 200 bp - Monthly | 5,042 | |
CMBX NA A.13 Index | A-/P | 11,339 | 87,000 | 6,569 | 12/16/72 | 200 bp - Monthly | 4,800 | |
CMBX NA A.15 Index | A-/P | 65 | 4,000 | 287 | 11/18/64 | 200 bp - Monthly | (221) | |
CMBX NA BB.6 Index | CCC-/P | 335 | 1,554 | 403 | 5/11/63 | 500 bp - Monthly | (67) | |
CMBX NA BB.7 Index | CCC/P | 1,452 | 8,404 | 2,748 | 1/17/47 | 500 bp - Monthly | (1,289) | |
Morgan Stanley & Co. International PLC | ||||||||
CMBX NA BB.13 Index | BB−/P | 23,002 | 51,000 | 18,309 | 12/16/72 | 500 bp - Monthly | 4,735 | |
CMBX NA BB.6 Index | CCC-/P | 25,456 | 74,077 | 19,230 | 5/11/63 | 500 bp - Monthly | 6,287 | |
CMBX NA BB.7 Index | CCC/P | 10,583 | 24,512 | 8,015 | 1/17/47 | 500 bp - Monthly | 2,588 | |
CMBX NA BBB−.16 Index | BBB−/P | 1,591 | 7,000 | 1,219 | 4/17/65 | 300 bp - Monthly | 375 | |
CMBX NA BBB−.7 Index | B-/P | 34,154 | 121,384 | 21,449 | 1/17/47 | 300 bp - Monthly | 12,766 | |
CMBX NA BBB−.9 Index | BB−/P | 194 | 2,000 | 340 | 9/17/58 | 300 bp - Monthly | (145) | |
Upfront premium received | 376,616 | Unrealized appreciation | 91,630 | |||||
Upfront premium (paid) | - | Unrealized (depreciation) | (10,062) | |||||
Total | $376,616 | Total | $81,568 | |||||
* Payments related to the referenced debt are made upon a credit default event. | ||||||||
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at June 30, 2024. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications. | ||||||||
10 Putnam VT Mortgage Securities Fund |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING - PROTECTION PURCHASED at 6/30/24 (Unaudited) | ||||||||
Swap counterparty/ Referenced debt* |
Upfront premium received (paid)** |
Notional amount |
Value |
Termi- nation date |
Payments (paid) by fund |
Unrealized appreciation/ (depreciation) |
||
Citigroup Global Markets, Inc. | ||||||||
CMBX NA BB.10 Index | $(37,125) | $80,000 | $32,768 | 11/17/59 | (500 bp) - Monthly | $(4,424) | ||
CMBX NA BB.10 Index | (9,672) | 24,000 | 9,830 | 11/17/59 | (500 bp) - Monthly | 138 | ||
CMBX NA BB.10 Index | (9,672) | 24,000 | 9,830 | 11/17/59 | (500 bp) - Monthly | 138 | ||
CMBX NA BB.10 Index | (5,239) | 13,000 | 5,325 | 11/17/59 | (500 bp) - Monthly | 75 | ||
CMBX NA BB.7 Index | (57,908) | 136,567 | 44,658 | 1/17/47 | (500 bp) - Monthly | (13,364) | ||
CMBX NA BB.8 Index | (15,155) | 33,661 | 12,118 | 10/17/57 | (500 bp) - Monthly | (3,065) | ||
CMBX NA BBB−.10 Index | (13,826) | 46,000 | 8,754 | 11/17/59 | (300 bp) - Monthly | (5,095) | ||
CMBX NA BBB−.12 Index | (86,840) | 306,000 | 64,168 | 8/17/61 | (300 bp) - Monthly | (22,825) | ||
CMBX NA BBB−.7 Index | (2,566) | 9,373 | 1,656 | 1/17/47 | (300 bp) - Monthly | (915) | ||
CMBX NA BBB−.8 Index | (35,544) | 184,000 | 18,290 | 10/17/57 | (300 bp) - Monthly | (17,347) | ||
CMBX NA BBB−.9 Index | (473) | 2,000 | 340 | 9/17/58 | (300 bp) - Monthly | (134) | ||
Goldman Sachs International | ||||||||
CMBX NA BB.8 Index | (5,308) | 12,503 | 4,501 | 10/17/57 | (500 bp) - Monthly | (817) | ||
CMBX NA BBB−.12 Index | (6,593) | 25,000 | 5,243 | 8/17/61 | (300 bp) - Monthly | (1,363) | ||
JPMorgan Securities LLC | ||||||||
CMBX NA A.15 Index | (364) | 4,000 | 287 | 11/18/64 | (200 bp) - Monthly | (78) | ||
CMBX NA BB.11 Index | (5,148) | 5,180 | 1,345 | 5/11/63 | (500 bp) - Monthly | (3,808) | ||
CMBX NA BB.11 Index | (545) | 1,000 | 292 | 11/18/54 | (500 bp) - Monthly | (254) | ||
CMBX NA BBB−.7 Index | (56,108) | 112,011 | 19,792 | 1/17/47 | (300 bp) - Monthly | (36,372) | ||
Morgan Stanley & Co. International PLC | ||||||||
CMBX NA BB.8 Index | (2,635) | 5,770 | 2,077 | 10/17/57 | (500 bp) - Monthly | (563) | ||
CMBX NA BB.9 Index | (34,305) | 81,000 | 31,857 | 9/17/58 | (500 bp) - Monthly | (2,516) | ||
CMBX NA BBB−.10 Index | (70,816) | 219,000 | 41,676 | 11/17/59 | (300 bp) - Monthly | (29,250) | ||
CMBX NA BBB−.11 Index | (3,659) | 15,000 | 2,067 | 11/18/54 | (300 bp) - Monthly | (1,599) | ||
CMBX NA BBB−.12 Index | (10,179) | 32,000 | 6,710 | 8/17/61 | (300 bp) - Monthly | (3,485) | ||
CMBX NA BBB−.13 Index | (6,362) | 20,000 | 4,614 | 12/16/72 | (300 bp) - Monthly | (1,758) | ||
CMBX NA BBB−.8 Index | (25,527) | 124,000 | 12,326 | 10/17/57 | (300 bp) - Monthly | (13,421) | ||
Upfront premium received | - | Unrealized appreciation | 351 | |||||
Upfront premium (paid) | (501,569) | Unrealized (depreciation) | (162,453) | |||||
Total | $(501,569) | Total | $(162,102) | |||||
* Payments related to the referenced debt are made upon a credit default event. | ||||||||
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||
Putnam VT Mortgage Securities Fund 11 |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
Valuation inputs | |||
Investments in securities: | Level 1 | Level 2 | Level 3 |
Asset-backed securities | $- | $93,863 | $- |
Mortgage-backed securities | - | 25,542,380 | - |
U.S. government and agency mortgage obligations | - | 74,307,071 | - |
U.S. treasury obligations | - | 19,680 | - |
Short-term investments | 341,000 | 6,678,071 | - |
Totals by level | $341,000 | $106,641,065 | $- |
Valuation inputs | |||
Other financial instruments: | Level 1 | Level 2 | Level 3 |
Futures contracts | $(157,970) | $- | $- |
Forward premium swap option contracts | - | 86,255 | - |
TBA sale commitments | - | (23,864,062) | - |
Interest rate swap contracts | - | (65,566) | - |
Credit default contracts | - | 44,419 | - |
Totals by level | $(157,970) | $(23,798,954) | $- |
The accompanying notes are an integral part of these financial statements.
12 Putnam VT Mortgage Securities Fund |
Financial Statements
Statement of assets and liabilities
6/30/24 (Unaudited)
Assets | |
Investment in securities, at value (Notes 1 and 8): | |
Unaffiliated issuers (identified cost $102,940,468) | $101,300,786 |
Affiliated issuers (identified cost $5,681,279) (Notes 1 and 5) | 5,681,279 |
Cash | 66,949 |
Interest and other receivables | 359,291 |
Receivable for shares of the fund sold | 33,391 |
Receivable for sales of TBA securities (Note 1) | 8,446,631 |
Receivable for variation margin on futures contracts (Note 1) | 52,198 |
Receivable for variation margin on centrally cleared swap contracts (Note 1) | 84,804 |
Unrealized appreciation on forward premium swap option contracts (Note 1) | 233,271 |
Unrealized appreciation on OTC swap contracts (Note 1) | 91,981 |
Premium paid on OTC swap contracts (Note 1) | 501,569 |
Deposits with broker (Note 1) | 911,625 |
Receivable from broker (Note 1) | 54,575 |
Total assets | 117,818,350 |
Liabilities | |
Payable for investments purchased | 91,921 |
Payable for purchases of TBA securities (Note 1) | 58,854,593 |
Payable for shares of the fund repurchased | 9,119 |
Payable for compensation of Manager (Note 2) | 7,575 |
Payable for custodian fees (Note 2) | 11,272 |
Payable for investor servicing fees (Note 2) | 5,934 |
Payable for Trustee compensation and expenses (Note 2) | 43,548 |
Payable for administrative services (Note 2) | 78 |
Payable for distribution fees (Note 2) | 8,135 |
Payable for variation margin on centrally cleared swap contracts (Note 1) | 100,253 |
Unrealized depreciation on forward premium swap option contracts (Note 1) | 147,016 |
Unrealized depreciation on OTC swap contracts (Note 1) | 172,515 |
Premium received on OTC swap contracts (Note 1) | 376,616 |
TBA sale commitments, at value (proceeds receivable $23,910,332) (Note 1) | 23,864,062 |
Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 8) | 360,680 |
Other accrued expenses | 36,609 |
Total liabilities | 84,089,926 |
Net assets | $33,728,424 |
Represented by | |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $62,909,194 |
Total distributable earnings (Note 1) | (29,180,770) |
Total - Representing net assets applicable to capital shares outstanding | $33,728,424 |
Computation of net asset value Class IA | |
Net assets | $14,398,785 |
Number of shares outstanding | 2,370,451 |
Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) | $6.07 |
Computation of net asset value Class IB | |
Net assets | $19,329,639 |
Number of shares outstanding | 3,195,164 |
Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) | $6.05 |
The accompanying notes are an integral part of these financial statements.
Putnam VT Mortgage Securities Fund 13
Statement of operations
Six months ended 6/30/24 (Unaudited)
Investment income | |
Interest (including interest income of $162,509 from investments in affiliated issuers) (Note 5) | $1,328,353 |
Total investment income | 1,328,353 |
Expenses | |
Compensation of Manager (Note 2) | 61,010 |
Investor servicing fees (Note 2) | 11,246 |
Custodian fees (Note 2) | 26,460 |
Trustee compensation and expenses (Note 2) | 810 |
Distribution fees (Note 2) | 21,895 |
Administrative services (Note 2) | 221 |
Auditing and tax fees | 27,343 |
Other | 5,231 |
Fees waived and reimbursed by Manager (Note 2) | (52,199) |
Total expenses | 102,017 |
Expense reduction (Note 2) | (687) |
Net expenses | 101,330 |
Net investment income | 1,227,023 |
Realized and unrealized gain (loss) | |
Net realized gain (loss) on: | |
Securities from unaffiliated issuers (Notes 1 and 3) | (833,060) |
Futures contracts (Note 1) | 250,761 |
Swap contracts (Note 1) | 167,963 |
Written options (Note 1) | 142,671 |
Total net realized loss | (271,665) |
Change in net unrealized appreciation (depreciation) on: | |
Securities from unaffiliated issuers and TBA sale commitments | (735,342) |
Futures contracts | 610,727 |
Swap contracts | 83,870 |
Written options | (123,911) |
Total change in net unrealized depreciation | (164,656) |
Net loss on investments | (436,321) |
Net increase in net assets resulting from operations | $790,702 |
The accompanying notes are an integral part of these financial statements.
14 Putnam VT Mortgage Securities Fund
Statement of changes in net assets
Six months ended 6/30/24* | Year ended 12/31/23 | |
Increase (decrease) in net assets | ||
Operations: | ||
Net investment income | $1,227,023 | $2,015,655 |
Net realized loss on investments | (271,665) | (218,740) |
Change in net unrealized depreciation of investments | (164,656) | (327,760) |
Net increase in net assets resulting from operations | 790,702 | 1,469,155 |
Distributions to shareholders (Note 1): | ||
From ordinary income | ||
Net investment income | ||
Class IA | (1,002,273) | (2,466,239) |
Class IB | (1,100,133) | (2,261,936) |
Increase from capital share transactions (Note 4) | 6,185,611 | 1,432,098 |
Total increase (decrease) in net assets | 4,873,907 | (1,826,922) |
Net assets: | ||
Beginning of period | 28,854,517 | 30,681,439 |
End of period | $33,728,424 | $28,854,517 |
* Unaudited. |
The accompanying notes are an integral part of these financial statements.
Putnam VT Mortgage Securities Fund 15
Financial highlights
(For a common share outstanding throughout the period)
INVESTMENT OPERATIONS: | LESS DISTRIBUTIONS: | RATIOS AND SUPPLEMENTAL DATA: | ||||||||||||
Period ended | Net asset value, beginning of period | Net investment income (loss)a | Net realized and unrealized gain (loss) on investments | Total from investment operations | From net investment income | From net realized gain on investments | From return of capital | Total distributions | Net asset value, end of period | Total return at net asset value (%)b,c | Net assets, end of period (in thousands) | Ratio of expenses to average net assets (%)b,d,e | Ratio of net investment income (loss) to average net assets (%)e | Portfolio turnover (%)f |
Class IA | ||||||||||||||
6/30/24 † | $6.37 | .24 | (.10) | .14 | (.44) | - | - | (.44) | $6.07 | 2.28* | $14,399 | .25* | 3.86* | 784* |
12/31/23 | 7.17 | .44 | (.10) | .34 | (1.14) | - | - | (1.14) | 6.37 | 5.58 | 14,760 | .50 | 7.01 | 1,865 |
12/31/22 | 8.74 | .42 | (1.23) | (.81) | (.76) | - | - | (.76) | 7.17 | (9.95) | 16,054 | .50 | 5.41 | 1,110 |
12/31/21 | 9.05 | .40 | (.71) | (.31) | - | - | - | - | 8.74 | (3.43) | 20,386 | .50 | 4.44 | 904 |
12/31/20 | 10.18 | .35 | (.57) | (.22) | (.87) | (.02) | (.02) | (.91) | 9.05 | (1.29) | 26,269 | .50 | 3.89 | 895 |
12/31/19 | 9.21 | .36 | .85 | 1.21 | (.24) | - | - | (.24) | 10.18 | 13.36 | 31,822 | .50 | 3.68 | 1,171 |
Class IB | ||||||||||||||
6/30/24† | $6.34 | .23 | (.09) | .14 | (.43) | - | - | (.43) | $6.05 | 2.22* | $19,330 | .37* | 3.78* | 784* |
12/31/23 | 7.14 | .43 | (.11) | .32 | (1.12) | - | - | (1.12) | 6.34 | 5.27 | 14,095 | .75 | 6.76 | 1,865 |
12/31/22 | 8.69 | .40 | (1.21) | (.81) | (.74) | - | - | (.74) | 7.14 | (10.07) | 14,627 | .75 | 5.16 | 1,110 |
12/31/21 | 9.02 | .38 | (.71) | (.33) | - | - | - | - | 8.69 | (3.66) | 20,425 | .75 | 4.19 | 904 |
12/31/20 | 10.16 | .33 | (.58) | (.25) | (.85) | (.02) | (.02) | (.89) | 9.02 | (1.68) | 20,478 | .75 | 3.64 | 895 |
12/31/19 | 9.18 | .33 | .86 | 1.19 | (.21) | - | - | (.21) | 10.16 | 13.20 | 26,965 | .75 | 3.44 | 1,171 |
* Not annualized.
† Unaudited.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b The charges and expenses at the insurance company separate account level are not reflected.
c Total return assumes dividend reinvestment.
d Includes amounts paid through expense offset arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
e Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect the following reductions as a percentage of average net assets.
Percentage of average net assets | |
June 30, 2024 | 0.16% |
December 31, 2023 | 0.53 |
December 31, 2022 | 0.43 |
December 31, 2021 | 0.28 |
December 31, 2020 | 0.24 |
December 31, 2019 | 0.22 |
f Portfolio turnover includes TBA purchase and sale commitments.
The accompanying notes are an integral part of these financial statements.
16 Putnam VT Mortgage Securities Fund
Notes to financial statements 6/30/24 (Unaudited)
Unless otherwise noted, the "reporting period" represents the period from January 1, 2024 through June 30, 2024. The following table defines commonly used references within the Notes to financial statements:
References to | Represent |
1940 Act | Investment Company Act of 1940, as amended |
Franklin Advisers | Franklin Advisers, Inc., a wholly-owned subsidiary of Franklin Templeton |
Franklin Templeton | Franklin Resources, Inc. |
Franklin Templeton Services | Franklin Templeton Services, LLC, a wholly-owned subsidiary of Franklin Templeton and an affiliate of Putnam Management |
JPMorgan | JPMorgan Chase Bank, N.A. |
OTC | Over-the-counter |
PIL | Putnam Investments Limited, an affiliate of Putnam Management |
Putnam Management | Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Franklin Templeton |
SEC | Securities and Exchange Commission |
State Street | State Street Bank and Trust Company |
Putnam VT Mortgage Securities Fund (the fund) is a diversified series of Putnam Variable Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek as high a level of current income as Putnam Management believes is consistent with preservation of capital. The fund invests mainly in mortgages, mortgage-related fixed income securities and related derivatives that are either investment-grade or below-investment-grade in quality (sometimes referred to as "junk bonds"). Under normal circumstances, the fund invests at least 80% of its net assets (plus any borrowings for investment purposes) in mortgages, mortgage-related fixed income securities and related derivatives (i.e., derivatives used to acquire exposure to, or whose underlying securities are, mortgages or mortgage-related securities). The fund generally uses the net unrealized gain or loss, or market value, of mortgage-related derivatives for purposes of this policy but may use the notional value of a derivative if that is determined to be a more appropriate measure of the fund's investment exposure. This policy may be changed only after 60 days' notice to shareholders.
The fund expects to invest in mortgage-backed investments that are obligations of U.S. government agencies and instrumentalities and accordingly are backed by the full faith and credit of the United States (e.g., Ginnie Mae mortgage-backed bonds) as well as in mortgage-backed investments that are backed by only the credit of a federal agency or government-sponsored entity (e.g., Fannie Mae and Freddie Mac mortgage-backed bonds), and that have short- to long-term maturities. The fund currently has significant investment exposure to commercial mortgage-backed securities.
The fund also expects to invest in lower-rated, higher-yielding mortgage-backed securities, including non-agency residential mortgage-backed securities (which may be backed by non-qualified or "sub-prime" mortgages), commercial mortgage-backed securities, and collateralized mortgage obligations (including interest only, principal only, and other prepayment derivatives). Non-agency (i.e., privately issued) securities typically are lower-rated and higher yielding than securities issued or backed by agencies such as Ginnie Mae, Fannie Mae or Freddie Mac. While the fund's emphasis will be on mortgage-backed securities, it may also invest to a lesser extent in other types of asset-backed securities.
Putnam Management may consider, among other factors, credit, interest rate, prepayment and liquidity risks, as well as general market conditions, when deciding whether to buy or sell investments. The fund typically uses to a significant extent derivatives, including credit default swaps, interest rate swaps, total return swaps, to-be-announced (TBA) commitments, futures, options and swaptions, including on mortgage-backed securities and indices, for both hedging and non-hedging purposes, including to obtain or adjust exposure to mortgage-backed investments.
The fund offers class IA and class IB shares of beneficial interest. Class IA shares are offered at net asset value and are not subject to a distribution fee. Class IB shares are offered at net asset value and pay an ongoing distribution fee, which is identified in Note 2.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund's management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund's Agreement and Declaration of Trust, any claims asserted by a shareholder against or on behalf of the Trust (or its series), including claims against Trustees and Officers, must be brought in courts located within the Commonwealth of Massachusetts.
Note 1: Significant accounting policies
The fund follows the accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946) and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP), including, but not limited to, ASC 946. The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees (Trustees). The Trustees have formed a Pricing Committee to oversee the implementation of these procedures. Under compliance policies and procedures approved by the Trustees, the Trustees have designated the fund's investment manager as the valuation designee and has responsibility for oversight of valuation. The investment manager is assisted by the fund's administrator in performing this responsibility, including leading the cross-functional Valuation Committee (VC). The VC is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Trustees.
Investments, including mortgage backed securities and short-term investments with remaining maturities of 60 days or less, are valued on the basis of valuations provided by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such service providers use information with respect to transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities in determining value. These securities will generally be categorized as Level 2.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index
Putnam VT Mortgage Securities Fund 17
levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, if any, is recorded on the accrual basis. Amortization and accretion of premiums and discounts on debt securities, if any, is recorded on the accrual basis.
Securities purchased or sold on a delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts The fund uses options contracts for hedging duration and convexity, for isolating prepayment risk and for managing downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
Written option contracts outstanding at period end, if any, are listed after the fund's portfolio.
Futures contracts The fund uses futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin."
Futures contracts outstanding at period end, if any, are listed after the fund's portfolio.
Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk and for yield curve positioning.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund's portfolio.
At the close of the reporting period, the fund has deposited cash valued at $911,625 in a segregated account to cover margin requirements on open centrally cleared interest rate swap contracts.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for hedging market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation,
18 Putnam VT Mortgage Securities Fund
net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund's portfolio.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund's portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund's portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral pledged to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $51,643 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $103,626 and may include amounts related to unsettled agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund's investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $320 million syndicated unsecured committed line of credit, provided by State Street ($160 million) and JPMorgan ($160 million), and a $235.5 million unsecured uncommitted line of credit, provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund's borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds and a $75,000 fee has been paid by the participating funds to State Street as agent of the syndicated committed line of credit. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At December 31, 2023, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:
Loss carryover | ||
Short-term | Long-term | Total |
$21,520,103 | $3,133,166 | $24,653,269 |
Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be
Putnam VT Mortgage Securities Fund 19
realized and distributed to shareholders. The aggregate identified cost on a tax basis is $88,438,224, resulting in gross unrealized appreciation and depreciation of $1,664,645 and $7,077,728, respectively, or net unrealized depreciation of $5,413,083.
Distributions to shareholders Distributions to shareholders from net investment income, if any, are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund's fiscal year. Reclassifications are made to the fund's capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
Beneficial interest At the close of the reporting period, insurance companies or their separate accounts were record owners of all but a de minimis number of the shares of the fund. Approximately 25.4% of the fund is owned by accounts of one insurance company.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund's average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid "double counting" of those assets). Such annual rates may vary as follows:
0.550% | of the first $5 billion, |
0.500% | of the next $5 billion, |
0.450% | of the next $10 billion, |
0.400% | of the next $10 billion, |
0.350% | of the next $50 billion, |
0.330% | of the next $50 billion, |
0.320% | of the next $100 billion and |
0.315% | of any excess thereafter. |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.190% of the fund's average net assets.
Effective July 15, 2024, Putnam Management transferred its management contract with the fund to Franklin Advisers. As a result of the transfer, Franklin Advisers replaced Putnam Management as the investment adviser of the fund. In addition, effective July 15, 2024, Franklin Advisers has retained Putnam Management as a sub-adviser for the fund pursuant to a new sub-advisory agreement between Franklin Advisers and Putnam Management.
Putnam Management has contractually agreed, through April 30, 2026, to waive fees and/or reimburse the fund's expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund's investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund's average net assets over such fiscal year-to-date period. During the reporting period, the fund's expenses were reduced by $27,900 as a result of this limit.
Putnam Management has also contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through April 30, 2026, to the extent that total expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, payments under distribution plans, extraordinary expenses and acquired fund fees and expenses) would exceed an annual rate of 0.50% of the fund's average net assets. During the reporting period, the fund's expenses were reduced by $24,299 as a result of this limit.
PIL is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.20% of the average net assets of the portion of the fund managed by PIL. Effective July 15, 2024, Putnam Management transferred its sub-management contract with PIL in respect of the fund to Franklin Advisers.
Effective June 1, 2024, under an agreement with Putnam Management, Franklin Templeton Services provides certain administrative services to the fund. The fee for those services is paid by Putnam Management based on the fund's average daily net assets and is not an additional expense of the fund.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund's assets are provided by State Street. Custody fees are based on the fund's asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. was paid a monthly fee for investor servicing at an annual rate of 0.07% of the fund's average daily net assets. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
Class IA | $5,080 |
Class IB | 6,166 |
Total | $11,246 |
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.'s and State Street's fees are reduced by credits allowed on cash balances. For the reporting period, the fund's expenses were reduced by $687 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $24, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable from July 1, 1995 through December 31, 2023. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee's average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee's lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted a distribution plan (the Plan) with respect to its class IB shares pursuant to Rule 12b-1 under the 1940 Act. The purpose of the Plan is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Franklin Templeton, for services provided and expenses incurred in distributing shares of the fund. Effective August 2, 2024, Franklin Distributors, LLC, an indirect wholly-owned subsidiary of Franklin Templeton, will replace Putnam Retail Management Limited Partnership as the fund's distributor and principal underwriter. The Plan provides for payment by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35% of the average net assets attributable to the fund's class IB shares. The Trustees have approved payment by the fund at an annual rate of 0.25% of the average net assets attributable to the fund's class IB shares. The expenses related to distribution fees during the reporting period are included in Distribution fees in the Statement of operations.
20 Putnam VT Mortgage Securities Fund
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
Cost of purchases | Proceeds from sales | |
Investments in securities, including TBA commitments (Long-term) | $554,259,682 | $532,484,225 |
U.S. government securities (Long-term) | - | - |
Total | $554,259,682 | $532,484,225 |
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund's transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund's total cost of purchases and/or total proceeds from sales.
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Subscriptions and redemptions are presented at the omnibus level. Transactions in capital shares were as follows:
Class IA shares | Class IB shares | |||||||
Six months ended 6/30/24 | Year ended 12/31/23 | Six months ended 6/30/24 | Year ended 12/31/23 | |||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |
Shares sold | 23,407 | $143,445 | 36,406 | $231,631 | 1,169,115 | $7,128,227 | 300,411 | $2,025,080 |
Shares issued in connection with reinvestment of distributions | 167,046 | 1,002,273 | 407,643 | 2,466,239 | 183,969 | 1,100,133 | 375,114 | 2,261,936 |
190,453 | 1,145,718 | 444,049 | 2,697,870 | 1,353,084 | 8,228,360 | 675,525 | 4,287,016 | |
Shares repurchased | (138,439) | (848,275) | (364,014) | (2,298,655) | (382,396) | (2,340,192) | (499,992) | (3,254,133) |
Net increase | 52,014 | $297,443 | 80,035 | $399,215 | 970,688 | $5,888,168 | 175,533 | $1,032,883 |
Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
Name of affiliate | Fair value as of 12/31/23 | Purchase cost | Sale proceeds | Investment income | Shares outstanding and fair value as of 6/30/24 |
Short-term investments | |||||
Putnam Short Term Investment Fund Class P* | $2,743,853 | $13,682,195 | $10,744,769 | $162,509 | $5,681,279 |
Total Short-term investments | $2,743,853 | $13,682,195 | $10,744,769 | $162,509 | $5,681,279 |
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. |
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market's perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
Note 7: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
Purchased swap option contracts (contract amount) | $29,000,000 |
Written swap option contracts (contract amount) | $13,700,000 |
Futures contracts (number of contracts) | 200 |
Centrally cleared interest rate swap contracts (notional) | $51,800,000 |
OTC credit default contracts (notional) | $2,900,000 |
Putnam VT Mortgage Securities Fund 21
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
Fair value of derivative instruments as of the close of the reporting period | ||||
Asset derivatives | Liability derivatives | |||
Derivatives not accounted for as hedging instruments under ASC 815 | Statement of assets and liabilities location | Fair value | Statement of assets and liabilities location | Fair value |
Credit contracts | Receivables | $339,467 | Payables | $295,048 |
Interest rate contracts | Receivables, Net assets - Unrealized appreciation | 373,579 * | Payables, Net assets - Unrealized depreciation | 510,860 * |
Total | $713,046 | $805,908 | ||
* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund's portfolio. Only current day's variation margin is reported within the Statement of assets and liabilities. |
The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (see Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | ||||
Derivatives not accounted for as hedging instruments under ASC 815 | Options | Futures | Swaps | Total |
Credit contracts | $- | $- | $7,571 | $7,571 |
Interest rate contracts | 30,727 | 250,761 | 160,392 | $441,880 |
Total | $30,727 | $250,761 | $167,963 | $449,451 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments | ||||
Derivatives not accounted for as hedging instruments under ASC 815 | Options | Futures | Swaps | Total |
Credit contracts | $- | $- | $(24,732) | $(24,732) |
Interest rate contracts | (72,922) | 610,727 | 108,602 | $646,407 |
Total | $(72,922) | $610,727 | $83,870 | $621,675 |
22 Putnam VT Mortgage Securities Fund
Note 8: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | Citibank, N.A. | Citigroup Global Markets, Inc. | Deutsche Bank AG | Goldman Sachs International | JPMorgan Chase Bank N.A. | |
Assets: | ||||||||
Centrally cleared interest rate swap contracts§ | $- | $- | $84,804 | $- | $- | $- | $- | $- |
OTC Credit default contracts - protection sold*# | - | - | - | - | - | - | - | - |
OTC Credit default contracts - protection purchased*# | - | - | - | - | 207,202 | - | 9,721 | - |
Futures contracts§ | - | - | - | - | - | - | - | - |
Forward premium swap option contracts# | 12,703 | 138,222 | - | 43,817 | - | 21,908 | - | 16,621 |
Total Assets | $12,703 | $138,222 | $84,804 | $43,817 | $207,202 | $21,908 | $9,721 | $16,621 |
Liabilities: | ||||||||
Centrally cleared interest rate swap contracts§ | - | - | 100,253 | - | - | - | - | - |
OTC Credit default contracts - protection sold*# | - | - | - | - | 162,143 | - | 18,271 | - |
OTC Credit default contracts - protection purchased*# | - | - | - | - | - | - | - | - |
Futures contracts§ | - | - | - | - | - | - | - | - |
Forward premium swap option contracts# | 30,705 | 39,363 | - | 41,047 | - | 18,796 | - | 17,105 |
Total Liabilities | $30,705 | $39,363 | $100,253 | $41,047 | $162,143 | $18,796 | $18,271 | $17,105 |
Total Financial and Derivative Net Assets | $(18,002) | $98,859 | $(15,449) | $2,770 | $45,059 | $3,112 | $(8,550) | $(484) |
Total collateral received (pledged)†## | $- | $98,859 | $- | $- | $45,059 | $- | $(8,550) | $- |
Net amount | $(18,002) | $- | $(15,449) | $2,770 | $- | $3,112 | $- | $(484) |
Controlled collateral received (including TBA commitments)** | $- | $110,000 | $- | $- | $228,000 | $- | $- | $- |
Uncontrolled collateral received | $- | $- | $- | $- | $- | $- | $- | $- |
Collateral (pledged) (including TBA commitments)** | $- | $- | $- | $- | $- | $- | $(103,626) | $- |
Putnam VT Mortgage Securities Fund 23
Note 8: Offsetting of financial and derivative assets and liabilities cont.
JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | Wells Fargo Bank, N.A. | Total | |
Assets: | |||||
Centrally cleared interest rate swap contracts§ | $- | $- | $- | $- | $84,804 |
OTC Credit default contracts - protection sold*# | - | - | - | - | - |
OTC Credit default contracts - protection purchased*# | 21,653 | - | 100,891 | - | 339,467 |
Futures contracts§ | 52,198 | - | - | - | 52,198 |
Forward premium swap option contracts# | - | - | - | - | 233,271 |
Total Assets | $73,851 | $- | $100,891 | $- | $709,740 |
Liabilities: | |||||
Centrally cleared interest rate swap contracts§ | - | - | - | - | 100,253 |
OTC Credit default contracts - protection sold*# | 29,753 | 16,507 | 68,374 | - | 295,048 |
OTC Credit default contracts - protection purchased*# | - | - | - | - | - |
Futures contracts§ | - | - | - | - | - |
Forward premium swap option contracts# | - | - | - | - | 147,016 |
Total Liabilities | $29,753 | $16,507 | $68,374 | $- | $542,317 |
Total Financial and Derivative Net Assets | $44,098 | $(16,507) | $32,517 | $- | $167,423 |
Total collateral received (pledged)†## | $- | $- | $- | $- | |
Net amount | $44,098 | $(16,507) | $32,517 | $- | |
Controlled collateral received (including TBA commitments)** | $3,000 | $- | $- | $19,680 | $360,680 |
Uncontrolled collateral received | $- | $- | $- | $- | $- |
Collateral (pledged) (including TBA commitments)** | $- | $- | $- | $- | $(103,626) |
* | Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities. |
** | Included with Investments in securities on the Statement of assets and liabilities. |
† | Additional collateral may be required from certain brokers based on individual agreements. |
# | Covered by master netting agreement (Note 1). |
## | Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements. |
§ | Includes current day's variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $383,614 and $911,625, respectively. |
24 Putnam VT Mortgage Securities Fund
Changes in and disagreements with accountants
Not applicable
Results of any shareholder votes
Not applicable
Remuneration paid to directors, officers, and others
Remuneration paid to directors, officers, and others is included in the Notes to financial statements above.
Putnam VT Mortgage Securities Fund 25 |
Board approval of management and subadvisory agreements (Unaudited)
At its meeting on June 28, 2024, the Board of Trustees of your fund, including all of the Trustees who are not "interested persons" (as this term is defined in the Investment Company Act of 1940, as amended (the "1940 Act")) of the Putnam mutual funds, closed-end funds and exchange-traded funds (collectively, the "funds") (the "Independent Trustees"), approved a New Management Contract (defined below) between your fund and Franklin Advisers, Inc. ("Franklin Advisers"), a new Sub-Management Contract (defined below) for your fund between Franklin Advisers and its affiliate, Putnam Investments Limited ("PIL"), and a new subadvisory agreement (the "New Subadvisory Agreement") for your fund between Franklin Advisers and Putnam Investment Management, LLC ("Putnam Management") (collectively, the "New Advisory Contracts"). Franklin Advisers, Putnam Management, and PIL are each indirect, wholly owned subsidiaries of Franklin Resources, Inc. ("Franklin Templeton").
The Trustees considered the proposed New Advisory Contracts in connection with an internal reorganization (the "Reorganization") whereby the fixed income and Investment Solutions investment operations of Putnam Management, your fund's investment adviser prior to the Reorganization, were combined with those of Franklin Advisers. As part of the Reorganization, Franklin Advisers assumed the role of investment adviser for your fund and the other Putnam fixed income and Investment Solutions mutual funds, exchange-traded funds and closed-end funds (collectively, the "FI/IS Funds"), which was accomplished through a transfer by Putnam Management of all of its rights and obligations under the previous management contracts between Putnam Management and the FI/IS Funds (the "Previous Management Contracts") and the previous sub-management contract between Putnam Management and its affiliate, PIL, with respect to the FI/IS Funds (the "Previous Sub-Management Contract," and, together with the Previous Management Contracts, the "Previous Contracts") to Franklin Advisers (the "Contract Transfers") by means of assignment and assumption agreements (the Previous Management Contracts and the Previous Sub-Management Contract, as modified by the terms of the related assignment and assumption agreements, are hereinafter referred to as the "New Management Contracts" and the "New Sub-Management Contract," respectively). (Because PIL is an affiliate of Franklin Advisers and Franklin Advisers remains fully responsible for all services provided by PIL, the Trustees did not attempt to evaluate PIL as a separate entity.)
In addition to the New Management Contracts and New Sub-Management Contract, the Board of Trustees of your fund considered and approved the New Subadvisory Agreement pursuant to which Franklin Advisers retained Putnam Management as sub-adviser for each FI/IS Fund so that, following the Reorganization, Putnam Management's equity team, which was not part of the Reorganization, could continue to provide certain services that it had historically provided to the FI/IS Funds, including, as applicable, the management of the equity portion of a FI/IS Fund's portfolio, including equity trade execution services, the provision of derivatives and other investment trading facilities for a transitional period, and the provision of proxy voting services for a transitional period (the "Services").
In connection with the review process, the Independent Trustees' independent legal counsel (as that term is defined in Rule 0-1(a)(6)(i) under the 1940 Act) met with representatives of Putnam Management and Franklin Templeton to discuss the contract review materials that would be furnished to the Contract Committee. The Board of Trustees, with the assistance of its Contract Committee (which consists solely of Independent Trustees) and its independent legal counsel, requested and evaluated all information it deemed reasonably necessary under the circumstances in connection with its review of the New Management Contracts. Over the course of several months ending in June 2024, the Contract Committee met on a number of occasions with representatives of Putnam Management and Franklin Templeton, and separately in executive session, to consider the information provided. Throughout this process, the Contract Committee was assisted by the members of the Board of Trustees' independent staff and by independent legal counsel for the Independent Trustees.
At the Board of Trustees' June 2024 meeting, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the approval of the New Advisory Contracts. At that meeting, the Contract Committee also met in executive session with the other Independent Trustees to discuss its observations and recommendations.
The Trustees noted that Franklin Templeton viewed the Reorganization as a further step in the integration of the legacy Putnam Management and Franklin Advisers fixed income and Investment Solutions organizations, offering potential operational efficiencies and enhanced investment resources for the FI/IS Funds. The Trustees also considered, among other factors, that:
• The Contract Transfers would not result in a change in the senior management at Franklin Templeton, so that the same management will be in place before and after the Contract Transfers, which contemplate no reduction in the nature and level of the advisory and administrative services provided to the FI/IS Funds;
• The portfolio managers who are responsible for the day-to-day management of the FI/IS Funds would be the same immediately prior to, and immediately after, the Contract Transfers, and these investment personnel would have access to the same research and other resources to support their respective investment management functions both before and immediately after the Contract Transfers; and
• The Contract Transfers would not result in an increase in the advisory fee rates payable by each FI/IS Fund and that, other than an acknowledgment by Franklin Advisers and Putnam Management that for purposes of the New Management Contracts, each applicable FI/IS Fund will continue to be "an open-end fund sponsored by Putnam Management," for purposes of calculating the advisory fee rates, and updating the parties to the agreements, the terms of the New Management Contracts and New Sub-Management Contract were substantially identical to those under the Previous Contracts (including with respect to the term of the New Management Contracts and New Sub-Management Contract, which run through June 30, 2025, unless the contracts are sooner terminated or continued pursuant to their terms).
With respect to the New Subadvisory Agreement, the Trustees considered that, under the agreement, Putnam Management would provide any necessary Services to the applicable FI/IS Fund under generally the same terms and conditions related to the FI/IS Fund as such Services were previously provided by Putnam Management under the FI/IS Fund's Previous Management Contract. The Trustees also considered that Franklin Advisers would be responsible for overseeing the Services provided to the FI/IS Funds by Putnam Management under the New Subadvisory Agreement and would compensate Putnam Management for such services out of the fees it receives under the New Management Contracts. The Trustees further noted Franklin Advisers' and Putnam
26 Putnam VT Mortgage Securities Fund |
Management's representations that Putnam Management's appointment as sub-adviser to the FI/IS Funds would not result in any material change in the nature or level of investment advisory services provided to the FI/IS Funds.
The Trustees also considered that, prior to the Reorganization, counsel to Franklin Advisers and Putnam Management had provided a legal opinion that the Contract Transfers would not result in an "assignment" under the 1940 Act of the Previous Contracts or a material amendment of those contracts, and, therefore, the New Management Contracts and New Sub-Management Contract did not require shareholder approval. In addition, the Trustees considered that counsel to Franklin Advisers and Putnam Management had provided a legal opinion that shareholder approval of the New Subadvisory Agreement was not required under the 1940 Act.
General conclusions
In addition to the above considerations, the Independent Trustees' approvals were based on the following conclusions:
• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds and the application of certain reductions and waivers noted below; and
• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Franklin Advisers of any economies of scale as may exist in the management of the fund at current asset levels.
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees' deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. The considerations and conclusions discussed herein were also informed by the fact that there would be continuity in the management of the FI/IS Funds, including your fund, immediately following the Reorganization (i.e., the same portfolio managers that managed the fund prior to the Reorganization would be in place immediately following the Reorganization). The Trustees also considered that the FI/IS Funds had no operating history with Franklin Templeton or its affiliates prior to 2024.
Management fee schedules and total expenses
Under its Previous Management Contract and under its New Management Contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with reduced fee levels as assets under management in the Putnam family of funds increase ("Fund Family Breakpoints"). The Trustees considered that breakpoints in a fund's management fee schedule, such as the Fund Family Breakpoints in place for your fund, were one way in which economies of scale in managing a fund can be shared with the fund's shareholders. The Trustees reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (Two mutual funds and each of the exchange-traded funds have implemented so-called "all-in" or unitary management fees covering substantially all routine fund operating costs.)
As in the past, the Trustees also focused on the competitiveness of each fund's total expense ratio. The Trustees, Putnam Management and the funds' investor servicing agent, Putnam Investor Services, Inc. ("PSERV"), have implemented expense limitations. These expense limitations were: (i) a contractual expense limitation applicable to specified mutual funds, including your fund, of 25 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified mutual funds, including your fund, of 20 basis points on so-called "other expenses" (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for the funds. Most funds had sufficiently low expenses that these expense limitations were not operative during their fiscal years ending in 2023. However, in the case of your fund, the second expense limitation applied during its fiscal year ending in 2023. Franklin Advisers, who now serves as your fund's investment adviser following the Reorganization, and PSERV have agreed to maintain these expense limitations until at least April 30, 2026. In addition, Franklin Advisers contractually agreed to waive fees and/or reimburse expenses of your fund to the extent that expenses of the fund (excluding payments under the fund's distribution plans, brokerage, interest, taxes, investment-related expenses, extraordinary expenses, and acquired fund fees and expenses) would exceed an annual rate of 0.50% of its average net assets through at least April 30, 2026. During its fiscal year ending in 2023, your fund's expenses were reduced as a result of this expense limitation. Franklin Advisers' and PSERV's commitment to these expense limitation arrangements, which were intended to support an effort to have fund expenses meet competitive standards, was an important factor in the Trustees' decision to approve your fund's New Advisory Contracts.
The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. ("Broadridge"). This comparative information included your fund's percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fees), which provides a general indication of your fund's relative standing. In the custom peer group, your fund ranked in the first quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the second quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2023. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2023 reflected the most recent fiscal year-end data available in Broadridge's database at that time.
In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included year-over-year data with respect to revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds, as applicable. In this regard, the Trustees also reviewed an analysis of the revenues, expenses and profitability of Putnam Management and its affiliates, allocated on a fund-by-fund basis, with respect to (as applicable) the funds' management, distribution and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability in 2023 for each of the applicable agreements separately and for the agreements taken together on a combined basis. The Trustees also reviewed the revenues, expenses and profitability of Franklin Templeton's global investment management business and its U.S. registered investment company business, which includes the financial results of Franklin Advisers. Because the FI/IS Funds had no operating history with Franklin Templeton or its affiliates, the Trustees did not review fund-by-fund profitability information for Franklin
Putnam VT Mortgage Securities Fund 27 |
Templeton. The Trustees concluded that, at current asset levels, the fee schedules in place for each of the funds, including the fee schedule for your fund, represented reasonable compensation for the services to be provided by Franklin Advisers (which are substantially identical to those historically provided by Putnam Management) and represented an appropriate sharing between fund shareholders and Franklin Advisers of any economies of scale as may exist in the management of the funds at that time.
The information examined by the Trustees in connection with their review of the New Advisory Contracts included information regarding services provided and fees charged by Putnam Management and its affiliates to other clients, including collective investment trusts offered in the defined contribution retirement plan market, sub-advised mutual funds, private funds sponsored by affiliates of Putnam Management, model-only separately managed accounts and Putnam Management's manager-traded separately managed account programs. This information included, in cases where a product's investment strategy corresponds with a FI/IS Fund's strategy, comparisons of those fees with fees charged to the funds, as well as an assessment of the differences in the services provided to these clients as compared to the services provided to the funds. The Trustees also considered information regarding services provided and fees charged by Franklin Advisers and its other Franklin Templeton affiliates to other clients, including U.S. registered mutual funds, funds organized outside of the United States (i.e., offshore funds), separate accounts (including separately managed accounts), collective investment trusts and sub-advised funds, which included, where applicable, the specific fees charged to strategies that are comparable to those of the FI/IS Funds. The Trustees observed that the differences in fee rates between these clients and the funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate marketplaces. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for 1940 Act-registered funds than for other clients, and the Trustees also considered the differences between the services that Putnam Management historically provided and that Franklin Advisers will provide to the FI/IS Funds as investment adviser and those that they provide to their other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
The quality of the investment process provided by Putnam Management represented a major factor in the Trustees' evaluation of the quality of services provided by Putnam Management under your fund's Previous Management Contract and was also a significant factor in considering approval of your fund's New Management Contract, since the portfolio managers of your fund that were employed by Putnam Management prior to the Reorganization would continue to serve as portfolio managers of your fund immediately following the Reorganization as employees of Franklin Advisers. The Trustees were assisted in their review of Putnam Management's investment process and performance by the work of the investment oversight committees of the Trustees and the full Board of Trustees, which met on a regular basis with individual portfolio managers and with senior management of Putnam Management's Investment Division throughout the year. The Trustees concluded that Putnam Management generally provided a high-quality investment process - based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them and in general Putnam Management's ability to attract and retain high-quality personnel - but also recognized that this does not guarantee favorable investment results for every fund in every time period. In addition to Putnam Management's investment process and performance, the Trustees considered aggregate performance information for Franklin Advisers' fixed income and Investment Solutions investment strategies, and also met with senior investment leadership at Franklin Advisers, including the respective heads of the fixed income and Investment Solutions teams and the Head of Public Market Investments.
The Trustees considered that, in the aggregate, peer-relative and benchmark-relative Putnam fund performance was generally strong in 2023 against a backdrop of largely solid fixed income markets and strong but volatile equity markets, which were characterized by a concentration of performance among large-cap growth stocks. The Trustees also noted that corporate earnings and employment figures continued to generally show strength, underpinning market rallies in 2023, while inflation concerns, Federal Reserve actions to reduce inflation and geopolitical tensions continued to be a focus of investors. For the one-year period ended December 31, 2023, the Trustees considered that the Putnam funds, on an asset-weighted basis, ranked in the 32nd percentile of their peers as determined by LSEG Lipper ("Lipper") and, on an asset-weighted-basis, outperformed their benchmarks by 2.8% gross of fees over the one-year period. The Committee also noted that the funds' aggregate performance over longer-term periods continued to be strong, with the funds, on an asset-weighted basis, ranking in the 31st, 21st, and 22nd percentiles of their Lipper peers over the three-year, five-year and ten-year periods ended December 31, 2023, respectively. The Trustees further noted that the funds, in the aggregate, outperformed their benchmarks on a gross basis for each of the three-year, five-year and ten-year periods. The Trustees also considered the Morningstar, Inc. ratings assigned to the funds, noting that 45 funds were rated four or five stars at the end of 2023, which represented an increase of 5 funds year-over-year. The Trustees also considered that 18 funds were five-star rated at the end of 2023, which was a year-over-year increase of 11 funds, and that 90% of the funds' aggregate assets were in four- or five-star rated funds at year end.
In addition to the performance of the individual Putnam funds, the Trustees considered, as they had in prior years, the performance of The Putnam Fund complex versus competitor fund complexes, as reported in the Barron's/Lipper Fund Families survey (the "Survey"). The Trustees noted that the Survey ranks mutual fund companies based on their performance across a variety of asset types, and that The Putnam Fund complex had performed exceptionally well in 2023. In this regard, the Trustees considered that The Putnam Fund complex had ranked 1st out of 49 fund companies, 1st out of 47 fund companies and 5th out of 46 fund companies for the one-year, five-year and ten-year periods, respectively. The Trustees also noted that 2023 had marked the seventh year in a row that The Putnam Fund complex had ranked in the top ten fund companies. They also noted, however, the disappointing investment performance of some Putnam funds for periods ended December 31, 2023 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and, where relevant, actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor the performance of those funds.
For purposes of the Trustees' evaluation of the Putnam funds' investment performance, the Trustees generally focus on a competitive industry
28 Putnam VT Mortgage Securities Fund |
ranking of each fund's total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and comparisons of those returns to the returns of selected investment benchmarks. In the case of your fund, the Trustees considered that its class IA share cumulative total return performance at net asset value was in the following quartiles of its Lipper peer group (Lipper VP (Underlying Funds) - U.S. Mortgage Funds) for the one-year, three-year and five-year periods ended December 31, 2023 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):
One-year period |
Three-year period |
Five-year period |
1st |
2nd |
2nd |
Over each of the one-year, three-year and five-year periods ended December 31, 2023, there were 13 funds in your fund's Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)
Brokerage and soft-dollar allocations and other benefits; distribution
The Trustees considered various potential benefits that Franklin Advisers and Putnam Management may receive in connection with the services provided under the New Advisory Contracts your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Franklin Advisers and Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that would enhance Franklin Advisers' and Putnam Management's investment capabilities and supplement their internal research efforts. The Trustees intend to continue to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee. In addition, with the assistance of their Brokerage Committee, the Trustees intend to continue to monitor the allocation of the funds' brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process. Your fund is not expected to generate a significant amount of soft-dollar credits.
The Trustees also considered other potential benefits that Franklin Advisers and Putnam Management may receive in connection with the services provided under the New Advisory Contracts your fund. These potential benefits included, among others, Franklin Advisers' and Putnam Management's registered fund businesses aiding in the growth of their non-registered fund businesses and the use of an affiliated transfer agent's services (in the case of your fund, PSERV, which is affiliated with Franklin Advisers and Putnam Management), where the fees for those services are paid by the fund.
Franklin Advisers may also receive benefits from payments made to Franklin Advisers' affiliates by the mutual funds for distribution services. In connection with the planned consolidation of Putnam Retail Management Limited Partnership ("PRM") with Franklin Distributors, LLC ("FD"), which is expected to take place in August 2024 (the "Consolidation"), the Trustees appointed FD as principal underwriter of the mutual funds, effective on or around the time of the Consolidation. Both PRM and FD are affiliates of Franklin Advisers and Putnam Management. In approving the continuation of your fund's distribution plans, the Trustees concluded that the fees payable by the mutual funds to PRM, prior to FD succeeding PRM as principal underwriter for the mutual funds, and to be paid to FD, once it assumes the role of principal underwriter, for distribution services were fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds and the costs incurred by PRM and FD, as applicable, in providing such services
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Putnam VT Mortgage Securities Fund 29 |
© 2024 Franklin Templeton. All rights reserved. | 38988-SFSOI 08/24 |
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies. |
Included in Item 7 above. |
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Item 9. Proxy Disclosure for Open-End Management Investment Companies. |
Included in Item 7 above. |
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Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies. |
Included in Item 7 above. |
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Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract. |
Included in Item 7 above. |
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Item 12. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
Not applicable |
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Item 13. Portfolio Managers of Closed-End Investment Companies |
Not Applicable |
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Item 14. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
Not applicable |
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Item 15. Submission of Matters to a Vote of Security Holders: |
Not applicable |
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Item 16. Controls and Procedures: |
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms. |
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(b) Changes in internal control over financial reporting: Not applicable |
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Item 17. Disclosures of Securities Lending Activities for Closed-End Investment Companies: |
Not Applicable |
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Item 18. Recovery of Erroneously Awarded Compensation. |
Not Applicable |
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Item 19. Exhibits: |
(a)(1) Not applicable |
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(a)(2) Not applicable |
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(a)(3) A separate certification for each principal executive and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), are filed herewith. |
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(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
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SIGNATURES |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
Putnam Variable Trust |
By (Signature and Title): |
/s/ Jeffrey White Jeffrey White Principal Accounting Officer |
Date: August 29, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
By (Signature and Title): |
/s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
Date: August 29, 2024 |
By (Signature and Title): |
/s/ Jeffrey White Jeffrey White Principal Financial Officer |
Date: August 29, 2024 |