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| UNITED STATES
SECURITIES AND EXCHANGE COMMISSION |
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| CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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| Investment Company Act file number: | (811–05346) |
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| Exact name of registrant as specified in charter: | Putnam Variable Trust |
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| Address of principal executive offices: | 100 Federal Street, Boston, Massachusetts 02110 |
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| Name and address of agent for service: | Robert T. Burns, Vice President
100 Federal Street
Boston, Massachusetts 02110 |
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| Copy to: | Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036 |
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| Registrant's telephone number, including area code: | (617) 292–1000 |
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| Date of fiscal year end: | December 31, 2019 |
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| Date of reporting period: | January 1, 2019 — December 31, 2019 |
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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: | |
IMPORTANT NOTICE: Delivery of paper fund reports
In accordance with regulations adopted by the Securities and Exchange Commission, beginning on or after January 1, 2021, at the election of your insurance provider, you may not receive paper reports like this one in the mail from the insurance provider that offers your variable annuity contract or variable life insurance policy unless you specifically request it. Instead, they will be available on a website, and your insurance provider will notify you by mail whenever a new one is available, and provide you with a website link to access the report.
If you wish to continue to receive paper reports free of charge after January 1, 2021, please contact your insurance provider.
If you already receive these reports electronically, no action is required.
Message from the Trustees
February 12, 2020
Dear Shareholder:
Global financial markets overcame a number of uncertainties in 2019. Both stock and bond markets experienced bouts of volatility, but performance recovered despite macroeconomic headwinds and risks. Stock markets worldwide delivered solid returns for the calendar year, with all three major U.S. equity indexes reaching record highs in December. The year was also beneficial for bond investors, as global fixed-income markets posted strong returns, thanks in part to policy easing from central banks.
Although no one can predict the direction of the markets in the months ahead, Putnam’s experienced investment professionals actively seek to position their fund portfolios for all types of conditions. They take a research-intensive approach to investing that includes risk management strategies designed to serve investors through changing markets. In all environments, we believe investors should remain focused on time-tested approaches, such as maintaining a well-diversified portfolio, thinking about long-term goals, and speaking regularly with a financial advisor.
Thank you for investing with Putnam.
Performance summary(as of 12/31/19)
Investment objective
Positive total return
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| Net asset valueDecember 31, 2019 |
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| Class IA: $10.18 | Class IB: $10.03 |
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| Total return at net asset value | | | |
| | | | | Bloomberg | |
| | | | | Barclays | |
| | | | ICE BofA | U.S. | |
| | | | U.S. | Aggregate | |
| (as of | Class IA | Class IB | Treasury | Bond | S&P 500 |
| 12/31/19) | shares* | shares* | Bill Index | Index | Index |
| 1 year | 5.93% | 5.91% | 2.35% | 8.72% | 31.49% |
| 5 years | 5.69 | 4.59 | 5.60 | 16.20 | 73.86 |
| Annualized | 1.11 | 0.90 | 1.10 | 3.05 | 11.70 |
| Life | 15.76 | 13.39 | 5.95 | 33.32 | 184.23 |
| Annualized | 1.70 | 1.46 | 0.67 | 3.37 | 12.80 |
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
* Class inception date: May 2, 2011.
Before April 30, 2018, the fund was managed with a materially different investment strategy and may have achieved materially different performance results under its current investment strategy from that shown for periods before this date.
The S&P 500 Index is an unmanaged index of common stock performance. The ICE BofA U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.
Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gainor a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. All total return figures are at net asset value and exclude contract charges and expenses, which are added to the variable annuity contracts to determine total return at unit value. Had these charges and expenses been reflected, performance would have been lower. For more recent performance, contact your variable annuity provider who can provide you with performance that reflects the charges and expenses at your contract level.
Allocations are shown as a percentage of the fund’s net assets. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Allocations may not total 100% because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
Negative weights may result from timing differences between trade and settlement dates of securities, such as TBAs, or from the use of derivatives.
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| Putnam VT Multi-Asset Absolute Return Fund1 |
Report from your fund’s managers
How was the investment environment for the 12-month reporting period?
Global financial markets gained during the 12-month period as the Federal Reserve lowered interest rates and China and the United States reached an initial trade deal. The S&P 500 Index, a broad measure of U.S. stocks, rallied 31.49% and the MSCI World Index [ND] rose 27.67% for the 12-month reporting period.
Markets had experienced bouts of volatility in 2019 as U.S.–China trade tensions escalated and global growth cooled. In response, the Fed cut rates three times in 2019 to guard the U.S. economy from the effects of the trade conflict and the global slowdown. In December, the Fed held rates steady and noted a favorable economic outlook for 2020. Elsewhere, the European Central Bank left its key interest rate on hold at minus 0.5% in December, after unveiling a sweeping package of interest-rate cuts and bond purchases. China and the United States, the world’s two largest economies, signed the first phase of a trade agreement on January 15, 2020.
The continued willingness of central banks to prop up global growth played a large role in strong stock market performance for 2019, but also resulted in positive performance for bond markets. The Bloom-berg Barclays U.S. Aggregate Bond Index returned 8.72% for the reporting period. Credit-sensitive fixed-income returns, as defined by the performance of high-yield bonds, were also positive with the JPMorgan Developed High Yield Index returning 14.60% for the reporting period.
How did Putnam VT Multi-Asset Absolute Return Fund perform?
For the 12-month period, the fund’s class IA shares rose 5.93%, outperforming the benchmark ICE BofA U.S. Treasury Bill Index, which returned 2.35%.
What strategies influenced the fund’s performance?
The fund seeks to achieve risk-and-return characteristics by dynamically allocating assets using a combination of directional [or market sensitive] and non-directional [or market neutral] strategies.
For the reporting period, the directional component had a significantly positive impact on performance. Directional equity, credit, rates, and inflation were all additive. Early in 2019, tactical overweight positioning to equity and commodities drove strong returns. A good year for the directional exposures was partially offset by weakness within non-directional strategies. This weakness is almost entirely driven by equity selection alpha strategies. A quantitatively driven U.S. strategy, a quantitatively driven emerging markets equity strategy, and a global long short strategy were all negative. The forensic accounting strategy, which seeks to identify companies that utilize aggressive accounting practices and profit from their stock price movements, also underperformed. Although this explains most of the portfolio return, fixed-income selection alpha, regional fixed-income long shorts, alternative beta, and commodity alpha strategies finished positive to varying degrees and offset some of this weakness in 2019.
How did the fund use derivatives during the reporting period?
We purchased and wrote options as a means to hedge duration and convexity; isolate prepayment risk; gain exposure to interest rates; hedge against changes in the value of securities owned or expected-to-be-owned in the portfolio; mitigate prepayment risk; generate additional income for the portfolio; gain exposure to securities; manage downside risks; and enhance returns on a security or securities owned. Futures were used to help manage the portfolio’s exposure to market risk, increase its exposure to interest rates, equitize cash, and hedge interest-rate and prepayment risks. Forward currency contracts were used to hedge foreign exchange risk and gain exposure to currencies. Additionally, total return swaps were deployed to hedge sector exposure; increase the fund’s exposure to specific markets, countries, sectors, industries, or basket of securities; and manage exposure to specific securities, sectors, and industries. We also used interest-rate swaps to hedge interest-rate and prepayment risks and gain exposure to interest rates. Lastly, credit default swaps were used to hedge credit and market risks, as well as gain exposure to individual issuers and/or baskets of securities.
What is your outlook for 2020?
Overall, our tactically conservative positioning in directional strategies remains in place. During the fourth quarter of 2019, we decreased our outlook for equity risk and credit risk, and slightly increased our outlook for commodities/inflation.
Our current positioning includes slight underweights to equity risk and credit risk, as well as neutral weightings in rate risk and inflation risk. The equity risk position stems from our concern about the continued gradual slowdown in global economic growth. Our caution increased as equity markets advanced rapidly in the fourth quarter in spite of a concerning global macro environment and what we view as a deteriorating economic picture. Our decision to downgrade credit risk to underweight is based on similar reasons, along with late-market-cycle dynamics that may be negative for credit.
We still believe that U.S. rates could move higher over the next several years. However, we recognize that U.S. rates continue to be weighed down by the low or even negative rates seen in other global government bonds. Meanwhile, we upgraded the fund’s inflation positioning, expressed through commodities, to neutral. We believe it is possible that global demand for oil will slow, but the declining number of drilling rigs and signs of slowing supply should bring the oil market into balance. At current levels, the upside and downside risks appear to us to be symmetrical.
Overall portfolio risk is generally balanced between directional and non-directional strategies, with a tilt toward non-directional strategies. At the start of the year, equity selection alpha strategies made up the largest portion of non-directional risk.
The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice. Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future.
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| 2Putnam VT Multi-Asset Absolute Return Fund |
Consider these risks before investing:Allocation of assets among asset classes may hurt performance. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, asset class, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund’s efforts to produce lower-volatility returns may not be successful. The fund may not achieve its goal, and it is not intended to be a complete investment program. You can lose money by investing in the fund. The fund’s prospectus lists additional risks.
Your fund’s managers also manage other accounts advised by Putnam Management or an affiliate, including retail mutual fund counterparts to the funds in Putnam Variable Trust.
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which isderivedfrom an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.
For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates. In other examples, the managers may use options and futures contracts to hedge against a variety of risks by establishing a combination of long and short exposures to specific equity markets or sectors.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
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| Putnam VT Multi-Asset Absolute Return Fund3 |
Understanding your fund’s expenses
As an investor in a variable annuity product that invests in a registered investment company, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay onetime transaction expenses, which are not shown in this section and would result in higher total expenses. Charges and expenses at the insurance company separate account level are not reflected. For more information, see your fund’s prospectus or talk to your financial representative.
Review your fund’s expenses
The two left-hand columns of the Expenses per $1,000 table show the expenses you would have paid on a $1,000 investment in your fund from 7/1/19 to 12/31/19. They also show how much a $1,000 investment would be worth at the close of the period,assuming actual returns and expenses.To estimate the ongoing expenses you paid over the period, divide your account value by $1,000, then multiply the result by the number in the first line for the class of shares you own.
Compare your fund’s expenses with those of other funds
The two right-hand columns of the Expenses per $1,000 table show your fund’s expenses based on a $1,000 investment,assuming a hypothetical 5% annualized return.You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All shareholder reports of mutual funds and funds serving as variable annuity vehicles will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
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| Expense ratios | | |
| | Class IA | Class IB |
| Net expenses for the fiscal year ended | | |
| 12/31/18* | 0.94% | 1.19% |
| Total annual operating expenses for the fiscal | | |
| year ended 12/31/18 | 1.54% | 1.79% |
| Annualized expense ratio for the six-month | | |
| period ended 12/31/19† | 0.90% | 1.15% |
Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Prospectus expense information also includes the impact of acquired fund fees and expenses of 0.04%, which is not included in the financial highlights or annualized expense ratios. Expenses are shown as a percentage of average net assets.
*Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 4/30/20.
†For the fund’s most recent fiscal half year; may differ from expense ratios based on one-year data in the financial highlights.
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| Expenses per $1,000 | | | | |
| | | | | Expenses and value for a |
| | Expenses and value for a | | $1,000 investment, assuming |
| | $1,000 investment, assuming | | a hypothetical 5% annualized |
| | actual returns for the | | return for the 6 months |
| | 6 months ended 12/31/19 | | ended 12/31/19 | |
| | Class IA | Class IB | | Class IA | Class IB |
| Expenses paid | | | | | |
| per $1,000*† | $4.49 | $5.74 | | $4.58 | $5.85 |
| Ending value | | | | | |
| (after | | | | | |
| expenses) | $979.80 | $980.40 | | $1,020.67 | $1,019.41 |
*Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 12/31/19. The expense ratio may differ for each share class.
†Expenses based on actual returns are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year. Expenses based on a hypothetical 5% return are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.
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| 4Putnam VT Multi-Asset Absolute Return Fund |
Report of Independent Registered Public Accounting Firm
To the Trustees of Putnam Variable Trust
and Shareholders of Putnam VT Multi-Asset Absolute Return Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the fund’s portfolio, of Putnam VT Multi-Asset Absolute Return Fund (one of the funds constituting Putnam Variable Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 12, 2020
We have served as the auditor of one or more investment companies in the Putnam Investments family of mutual funds since at least 1957. We have not been able to determine the specific year we began serving as auditor.
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| Putnam VT Multi-Asset Absolute Return Fund5 |
The fund’s portfolio12/31/19
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| COMMON STOCKS (23.5%)* | Shares | Value |
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| Basic materials (2.6%) | | |
| Anglo American Platinum, Ltd. (South Africa) | 888 | $82,887 |
| Anhui Conch Cement Co., Ltd. (China) | 19,500 | 142,490 |
| China Resources Cement Holdings, Ltd. (China) | 26,000 | 33,120 |
| Evraz PLC (Russia) | 14,780 | 79,093 |
| Impala Platinum Holdings, Ltd. (South Africa) † | 2,575 | 26,386 |
| Korea Zinc Co., Ltd. (South Korea) | 98 | 36,076 |
| Kumba Iron Ore, Ltd. (South Africa) | 1,422 | 42,342 |
| MMC Norilsk Nickel PJSC ADR (Russia) | 1,069 | 32,658 |
| Novolipetsk Steel PJSC (Russia) | 1,117 | 25,736 |
| PETRONAS Chemicals Group (PCG) Bhd (Malaysia) | 18,400 | 33,065 |
| Severstal PJSC (Russia) | 1,325 | 20,002 |
| Soulbrain Co., Ltd. (South Korea) | 463 | 33,778 |
| Tekfen Holding AS (Turkey) | 6,869 | 22,308 |
| Vale SA (Brazil) † | 6,400 | 84,799 |
| | | 694,740 |
| Capital goods (0.9%) | | |
| Daelim Industrial Co., Ltd. (South Korea) | 398 | 31,044 |
| Hyundai Mobis Co., Ltd. (South Korea) | 596 | 131,796 |
| Samsung Engineering Co., Ltd. (South Korea) † | 1,929 | 31,945 |
| Weichai Power Co., Ltd. Class H (China) | 24,000 | 50,779 |
| | | 245,564 |
| Communication services (0.8%) | | |
| Advanced Info Service PCL (Thailand) | 13,600 | 96,709 |
| China Mobile, Ltd. (China) | 10,000 | 84,438 |
| KT Corp. (South Korea) | 262 | 6,118 |
| PLDT, Inc. (Philippines) | 290 | 5,634 |
| TIM Participacoes SA (Brazil) | 6,600 | 25,710 |
| | | 218,609 |
| Consumer cyclicals (2.5%) | | |
| Astro Malaysia Holdings Bhd (Malaysia) | 10,900 | 3,401 |
| Clicks Group, Ltd. (South Africa) | 1,357 | 24,860 |
| Com7 PCL (Thailand) | 20,600 | 18,225 |
| Feng Tay Enterprise Co., Ltd. (Taiwan) | 2,000 | 13,015 |
| Ford Otomotiv Sanayi AS (Turkey) | 1,283 | 15,280 |
| Fosun International, Ltd. (China) | 36,000 | 52,606 |
| Geely Automobile Holdings, Ltd. (China) | 11,000 | 21,575 |
| Genting Bhd (Malaysia) | 12,700 | 18,801 |
| Genting Malaysia Bhd (Malaysia) | 30,500 | 24,537 |
| Home Product Center PCL (Thailand) | 87,900 | 46,952 |
| Kia Motors Corp. (South Korea) | 3,143 | 119,721 |
| Pou Chen Corp. (Taiwan) | 9,000 | 11,772 |
| President Chain Store Corp. (Taiwan) | 3,000 | 30,456 |
| Qualicorp SA (Brazil) | 7,094 | 65,426 |
| Sinotruk Hong Kong, Ltd. (China) | 20,000 | 42,677 |
| Sun Art Retail Group, Ltd. (China) | 9,500 | 11,529 |
| Teco Electric and Machinery Co., Ltd. (Taiwan) | 8,000 | 6,993 |
| Wal-Mart de Mexico SAB de CV (Mexico) | 33,528 | 96,253 |
| Zhongsheng Group Holdings, Ltd. (China) | 10,500 | 42,703 |
| | | 666,782 |
| Consumer staples (1.7%) | | |
| Charoen Pokphand Foods PCL (Thailand) | 12,200 | 11,201 |
| Cia Cervecerias Unidas SA ADR (Chile) | 378 | 7,171 |
| Estacio Participacoes SA (Brazil) | 1,000 | 11,808 |
| Hanjaya Mandala Sampoerna Tbk PT (Indonesia) | 103,900 | 15,644 |
| Indofood Sukses Makmur Tbk PT (Indonesia) | 30,100 | 17,177 |
| KT&G Corp. (South Korea) | 986 | 79,931 |
| | |
| COMMON STOCKS (23.5%)*cont. | Shares | Value |
| | | |
| Consumer staplescont. | | |
| Nestle Malaysia Bhd (Malaysia) | 100 | $3,594 |
| Sime Darby Bhd (Malaysia) | 20,900 | 11,352 |
| Uni-President Enterprises Corp. (Taiwan) | 32,000 | 79,207 |
| Vipshop Holdings, Ltd. ADR (China) † | 3,614 | 51,210 |
| Want Want China Holdings, Ltd. (China) | 39,000 | 36,522 |
| Yum China Holdings, Inc. (China) | 2,877 | 138,125 |
| | | 462,942 |
| Energy (1.3%) | | |
| China Petroleum & Chemical Corp. (Sinopec) (China) | 128,000 | 77,153 |
| Ecopetrol SA ADR (Colombia) | 1,964 | 39,201 |
| Lukoil PJSC ADR (Russia) | 964 | 95,610 |
| Petronas Gas Bhd (Malaysia) | 1,000 | 4,057 |
| PTT Exploration & Production PCL (Foreign | | |
| depository shares) (Thailand) | 17,400 | 72,322 |
| Sao Martinho SA (Brazil) | 2,200 | 12,972 |
| Surgutneftegas OJSC (Russia) | 55,132 | 33,486 |
| | | 334,801 |
| Financials (5.8%) | | |
| Banco BBVA Argentina SA ADR (Argentina) | 3,807 | 21,205 |
| Banco BTG Pactual SA (Units) (Brazil) | 1,200 | 22,710 |
| Banco de Chile ADR (Chile) | 800 | 16,792 |
| Banco do Brasil SA (Brazil) | 10,835 | 142,269 |
| Banco Macro SA ADR (Argentina) | 2,243 | 81,309 |
| Banco Santander (Brasil) S.A. (Units) (Brazil) | 7,087 | 87,242 |
| Banco Santander Chile ADR (Chile) | 687 | 15,849 |
| Banco Santander Mexico SA Institucion de Banca | | |
| Multiple Grupo Financiero Santand Class B (Mexico) | 13,512 | 18,438 |
| Bank Central Asia Tbk PT (Indonesia) | 22,000 | 52,852 |
| Bank of China, Ltd. (China) | 17,000 | 7,279 |
| Bank Tabungan Pensiunan Nasional Syariah Tbk PT | | |
| (Indonesia) † | 56,600 | 17,309 |
| BB Seguridade Participacoes SA (Brazil) | 6,100 | 57,168 |
| Capitec Bank Holdings, Ltd. (South Africa) | 446 | 46,051 |
| Chailease Holding Co., Ltd. (Taiwan) | 5,000 | 23,055 |
| China Minsheng Banking Corp., Ltd. Class H (China) | 31,500 | 23,856 |
| Fubon Financial Holding Co., Ltd. (Taiwan) | 29,000 | 44,929 |
| Industrial & Commercial Bank of China, Ltd. (China) | 132,000 | 101,891 |
| IRB Brasil Resseguros SA (Brazil) | 12,900 | 124,905 |
| Korea Investment Holdings Co., Ltd. (South Korea) | 172 | 10,745 |
| Logan Property Holdings Co., Ltd. (China) | 18,000 | 30,280 |
| OTP Bank Nyrt (Hungary) | 763 | 39,901 |
| Ping An Insurance (Group) Co. of China, Ltd. | | |
| Class H (China) | 17,500 | 207,315 |
| Powszechny Zaklad Ubezpieczen SA (Poland) | 2,691 | 28,393 |
| Qualitas Controladora SAB de CV (Mexico) | 1,482 | 6,242 |
| Qudian, Inc. ADR (China) † | 10,335 | 48,678 |
| RHB Bank Bhd (Malaysia) | 13,000 | 18,370 |
| Sberbank of Russia PJSC ADR (Russia) | 5,640 | 92,722 |
| Shinhan Financial Group Co., Ltd. (South Korea) | 1,064 | 39,793 |
| Taishin Financial Holding Co., Ltd. (Taiwan) | 49,000 | 23,701 |
| Tisco Financial Group PCL (Thailand) | 10,100 | 33,466 |
| Yuanta Financial Holding Co., Ltd. (Taiwan) | 54,000 | 36,398 |
| | | 1,521,113 |
| Health care (0.7%) | | |
| Guangzhou Baiyunshan Pharmaceutical Holdings Co. , | |
| Ltd. (China) | 4,000 | 13,678 |
| Hypermarcas SA (Brazil) | 5,682 | 50,412 |
| Sino Biopharmaceutical, Ltd. (China) | 78,000 | 109,266 |
| | | 173,356 |
| |
| 6Putnam VT Multi-Asset Absolute Return Fund |
| | |
| COMMON STOCKS (23.5%)*cont. | Shares | Value |
| | | |
| Technology (6.1%) | | |
| Alibaba Group Holding, Ltd. ADR (China) † | 1,263 | $267,882 |
| Globalwafers Co., Ltd. (Taiwan) | 3,000 | 38,314 |
| Lite-On technology Corp. (Taiwan) | 25,000 | 41,187 |
| Radiant Opto-Electronics Corp. (Taiwan) | 12,000 | 48,063 |
| Samsung Electronics Co., Ltd. (South Korea) | 8,960 | 431,732 |
| Samsung SDS Co., Ltd. (South Korea) | 281 | 47,188 |
| SK Hynix, Inc. (South Korea) | 581 | 47,219 |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR | | |
| (Taiwan) | 4,327 | 251,399 |
| Tencent Holdings, Ltd. (China) | 4,600 | 221,897 |
| Tripod Technology Corp. (Taiwan) | 7,000 | 29,362 |
| United Microelectronics Corp. (Taiwan) | 112,000 | 61,551 |
| WNS Holdings, Ltd. ADR (India) † | 322 | 21,300 |
| Xhen Ding Technology Holding, Ltd. (Taiwan) | 20,000 | 95,640 |
| | | 1,602,734 |
| Transportation (0.3%) | | |
| AirAsia Bhd (Malaysia) | 12,200 | 5,072 |
| Grupo Aeroportuario del Centro Norte SAB de CV | | |
| (Mexico) | 2,532 | 18,957 |
| Malaysia Airports Holdings Bhd (Malaysia) | 3,100 | 5,760 |
| MISC Bhd (Malaysia) | 16,800 | 34,408 |
| Westports Holdings Bhd (Malaysia) | 5,400 | 5,580 |
| | | 69,777 |
| Utilities and power (0.8%) | | |
| Cia de Saneamento Basico do Estado de Sao Paulo | | |
| (Brazil) | 2,100 | 31,615 |
| Electricity Generating PCL (Thailand) | 4,200 | 45,991 |
| Enel Americas SA ADR (Chile) | 4,935 | 54,186 |
| Federal Grid Co. Unified Energy System PJSC | | |
| (Russia) | 3,045,324 | 9,836 |
| Glow Energy PCL (Thailand)F | 700 | — |
| Inter RAO UES PJSC (Russia) | 813,510 | 66,037 |
| Manila Electric Co. (Philippines) | 890 | 5,559 |
| | | 213,224 |
| | | |
| Total common stocks (cost $5,236,732) | | $6,203,642 |
| | |
| U.S. GOVERNMENT AND AGENCY | | |
| MORTGAGE OBLIGATIONS (11.7%)* | Principal amount | Value |
| | |
| U.S. Government Agency Mortgage Obligations (11.7%) | |
| Uniform Mortgage-Backed Securities | | |
| 4.00%, TBA, 1/1/50 | $1,000,000 | $1,040,234 |
| 3.50%, TBA, 1/1/50 | 1,000,000 | 1,028,828 |
| 3.00%, TBA, 1/1/50 | 1,000,000 | 1,014,375 |
| | | 3,083,437 |
| | |
| Total U.S. government and agency mortgage | | |
| obligations (cost $3,081,094) | | $3,083,437 |
| |
| INVESTMENT COMPANIES (9.8%)* | Shares | Value |
| | | |
| Consumer Discretionary Select Sector SPDR Fund | 3,108 | $389,805 |
| Financial Select Sector SPDR FundS | 13,781 | 424,179 |
| iShares MSCI India ETF (India)S | 6,501 | 228,510 |
| Real Estate Select Sector SPDR Fund | 18,632 | 720,499 |
| Technology Select Sector SPDR Fund | 4,318 | 395,831 |
| Utility Select Sector SPDR FundS | 6,719 | 434,182 |
| Total investment companies (cost $2,354,685) | | $2,593,006 |
| | |
| COMMODITY LINKED NOTES (8.0%)* ††† Principal amount | Value |
| | | |
| Bank of America Corp. 144A sr. unsec. | | |
| unsub. notes 1-month LIBOR less 0.16%, 2021 | | |
| (Indexed to the BofA Merrill Lynch Commodity | | |
| MLBX4SX6 Excess Return Strategy multiplied by 3) | $300,000 | $310,039 |
| Bank of America Corp. 144A sr. unsec. | | |
| unsub. notes 1-month LIBOR less 0.12%, 2020 | | |
| (Indexed to the BofA Merrill Lynch Commodity | | |
| MLBX4SX6 Excess Return Strategy multiplied by 3) | 110,000 | 110,591 |
| Citigroup Global Markets Holdings, Inc. | | |
| sr. notes Ser. N, 1-month USD LIBOR less 0.16%, | | |
| 2021 (Indexed to the Citi Commodities F3 vs | | |
| F0 -4x Leveraged Index multiplied by 3) | 376,000 | 394,410 |
| Citigroup Global Markets Holdings, Inc. 144A | | |
| sr. notes 1-month USD LIBOR less 0.13%, 2020 | | |
| (Indexed to the Citi Cross-Asset Trend Index | | |
| multiplied by 3) | 343,000 | 304,492 |
| UBS AG/London 144A sr. notes 1-month LIBOR less | | |
| 0.25%, 2020 (Indexed to the UBSIF3AT Index | | |
| multiplied by 3) (United Kingdom) | 121,000 | 124,693 |
| Goldman Sachs International 144A notes zero %, | | |
| 2019 (Indexed to the S&P GSCI Excess Return | | |
| Index multiplied by 3) | 67,000 | 97,792 |
| UBS AG/London 144A sr. notes 1-month LIBOR less | | |
| 0.25%, 2020 (Indexed to the S&P GSCI Total | | |
| Return Index multiplied by 3) (United Kingdom) | 186,000 | 229,702 |
| Bank of America Corp. sr. notes, 1-month LIBOR | | |
| less 0.16%, 2020 (Indexed to the S&P GSCI Total | | |
| Return Index multiplied by 3) | 480,000 | 536,343 |
| Total commodity Linked Notes (cost $1,983,000) | | $2,108,062 |
| |
| MORTGAGE-BACKED SECURITIES (6.1%)* Principal amount | Value |
| | |
| Agency collateralized mortgage obligations (4.5%) | |
| Federal Home Loan Mortgage Corporation | | |
| REMICs IFB Ser. 3747, Class SA, IO, ((-1 x | | |
| 1 Month US LIBOR) + 6.50%), 4.76%, 10/15/40 | $19,535 | $3,419 |
| REMICs IFB Ser. 4752, Class PS, IO, ((-1 x | | |
| 1 Month US LIBOR) + 6.20%), 4.46%, 11/15/47 | 99,912 | 15,302 |
| REMICs IFB Ser. 4073, Class AS, IO, ((-1 x | | |
| 1 Month US LIBOR) + 6.05%), 4.31%, 8/15/38 | 74,335 | 3,456 |
| REMICs Ser. 4568, Class MI, IO, 4.00%, 4/15/46 | 59,993 | 8,099 |
| REMICs Ser. 4259, Class DI, IO, 4.00%, 6/15/43 | 104,248 | 12,038 |
| REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 28,514 | 3,398 |
| REMICs Ser. 4097, Class PI, IO, 3.50%, 11/15/40 | 66,043 | 5,221 |
| REMICs Ser. 4099, Class BI, IO, 3.50%, 6/15/39 | 61,337 | 3,220 |
| REMICs Ser. 4801, Class IG, IO, 3.00%, 6/15/48 | 91,043 | 10,496 |
| REMICs Ser. 4134, Class PI, IO, 3.00%, 11/15/42 | 133,062 | 12,060 |
| REMICs Ser. 4206, Class IP, IO, 3.00%, 12/15/41 | 53,762 | 3,644 |
| Federal National Mortgage Association | | |
| REMICs Ser. 18-51, Class IO, IO, 6.50%, 7/25/48 | 160,685 | 30,632 |
| REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 47,636 | 10,306 |
| REMICs Ser. 16-3, Class MI, IO, 5.50%, 2/25/46 | 189,979 | 38,144 |
| REMICs Ser. 15-30, IO, 5.50%, 5/25/45 | 168,635 | 33,976 |
| REMICs IFB Ser. 13-130, Class SD, IO, ((-1 x | | |
| 1 Month US LIBOR) + 6.60%), 4.808%, 1/25/44 | 78,690 | 14,998 |
| REMICs Ser. 17-32, Class IP, IO, 4.50%, 5/25/47 | 91,543 | 18,070 |
| REMICs IFB Ser. 17-108, Class SA, IO, ((-1 x | | |
| 1 Month US LIBOR) + 6.15%), 4.358%, 1/25/48 | 101,084 | 19,469 |
| REMICs IFB Ser. 17-8, Class SB, IO, ((-1 x | | |
| 1 Month US LIBOR) + 6.10%), 4.308%, 2/25/47 | 108,445 | 20,872 |
| REMICs IFB Ser. 16-65, Class CS, IO, ((-1 x | | |
| 1 Month US LIBOR) + 6.10%), 4.308%, 9/25/46 | 77,510 | 13,090 |
| REMICs IFB Ser. 16-88, Class SK, IO, ((-1 x | | |
| 1 Month US LIBOR) + 6.00%), 4.208%, 12/25/46 | 120,215 | 22,710 |
| |
| Putnam VT Multi-Asset Absolute Return Fund7 |
| | | |
| MORTGAGE-BACKED | | | |
| SECURITIES (6.1%)*cont. | Principal amount | Value |
| | | |
| Agency collateralized mortgage obligationscont. | | |
| Federal National Mortgage Association | | | |
| REMICs IFB Ser. 12-19, Class S, IO, ((-1 x | | |
| 1 Month US LIBOR) + 5.95%), 4.158%, 3/25/42 | $92,336 | $17,006 |
| REMICs Ser. 17-2, Class KI, IO, 4.00%, 2/25/47 | 76,587 | 10,940 |
| REMICs IFB Ser. 17-74, Class SA, IO, ((-1 x | | |
| 1 Month US LIBOR) + 5.75%), 3.958%, 10/25/47 | 333,324 | 52,547 |
| REMICs Ser. 12-136, Class PI, IO, 3.50%, 11/25/42 | 33,178 | 2,066 |
| REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 | 37,668 | 3,273 |
| REMICs Ser. 13-35, Class PI, IO, 3.00%, 2/25/42 | 119,506 | 5,355 |
| REMICs Ser. 13-31, Class NI, IO, 3.00%, 6/25/41 | 36,756 | 1,210 |
| Government National Mortgage Association | | |
| Ser. 14-184, Class DI, IO, 5.50%, 12/16/44 | 155,763 | 35,729 |
| Ser. 16-150, Class I, IO, 5.00%, 11/20/46 | 98,295 | 18,519 |
| Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 | 63,917 | 9,630 |
| Ser. 14-146, Class EI, IO, 5.00%, 10/20/44 | 47,996 | 9,580 |
| Ser. 14-163, Class NI, IO, 5.00%, 2/20/44 | 34,918 | 6,228 |
| Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 | 512 | 38 |
| Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 32,494 | 6,787 |
| Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 46,183 | 9,574 |
| Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 33,768 | 6,883 |
| Ser. 15-105, Class LI, IO, 5.00%, 10/20/39 | 50,331 | 10,656 |
| IFB Ser. 10-125, Class SD, ((-1 x 1 Month US | | |
| LIBOR) + 6.68%), 4.94%, 1/16/40 | | 196,754 | 27,546 |
| IFB Ser. 10-68, Class SD, IO, ((-1 x 1 Month US | | |
| LIBOR) + 6.58%), 4.815%, 6/20/40 | | 99,337 | 19,506 |
| Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 | 57,917 | 9,774 |
| Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 | 67,579 | 12,881 |
| Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 | 126,345 | 13,571 |
| Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 | 48,373 | 10,196 |
| Ser. 13-20, Class QI, IO, 4.50%, 12/16/42 | 51,890 | 7,369 |
| Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 13,171 | 2,406 |
| IFB Ser. 18-91, Class SJ, IO, ((-1 x 1 Month US | | |
| LIBOR) + 6.25%), 4.485%, 7/20/48 | | 129,556 | 18,786 |
| IFB Ser. 18-104, Class SD, IO, ((-1 x 1 Month US | | |
| LIBOR) + 6.20%), 4.435%, 8/20/48 | | 95,569 | 14,165 |
| IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US | | |
| LIBOR) + 6.15%), 4.385%, 9/20/43 | | 21,282 | 3,781 |
| IFB Ser. 19-121, Class DS, IO, ((-1 x 1 Month US | | |
| LIBOR) + 6.10%), 4.335%, 8/20/49 | | 114,206 | 17,709 |
| IFB Ser. 16-51, Class MS, IO, ((-1 x 1 Month US | | |
| LIBOR) + 6.05%), 4.285%, 4/20/46 | | 89,429 | 15,985 |
| IFB Ser. 11-17, Class S, IO, ((-1 x 1 Month US | | |
| LIBOR) + 6.05%), 4.285%, 2/20/41 | | 47,119 | 8,387 |
| IFB Ser. 10-134, Class ES, IO, ((-1 x 1 Month US | | |
| LIBOR) + 6.00%), 4.235%, 11/20/39 | | 68,469 | 4,692 |
| Ser. 16-135, Class PI, IO, 4.00%, 5/20/46 | 165,123 | 24,950 |
| Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 | 28,486 | 3,078 |
| Ser. 17-57, Class AI, IO, 4.00%, 6/20/45 | 71,207 | 9,391 |
| Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 57,317 | 11,234 |
| Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 | 75,108 | 12,651 |
| Ser. 13-24, Class PI, IO, 4.00%, 11/20/42 | 32,253 | 4,663 |
| Ser. 14-133, Class AI, IO, 4.00%, 10/20/36 | 59,028 | 2,578 |
| Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 | 74,465 | 9,627 |
| Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 | 72,614 | 9,644 |
| Ser. 15-24, Class IA, IO, 3.50%, 2/20/45 | 51,510 | 6,047 |
| Ser. 13-102, Class IP, IO, 3.50%, 6/20/43 | 26,519 | 1,918 |
| Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 | 27,905 | 3,178 |
| Ser. 12-141, Class WI, IO, 3.50%, 11/20/41 | 24,195 | 1,895 |
| Ser. 13-157, Class IA, IO, 3.50%, 4/20/40 | 55,023 | 3,183 |
| Ser. 13-90, Class HI, IO, 3.50%, 4/20/40 | 9,804 | 147 |
| Ser. 13-79, Class XI, IO, 3.50%, 11/20/39 | 45,517 | 4,125 |
| Ser. 13-6, Class AI, IO, 3.50%, 8/20/39 | 110,221 | 11,160 |
| | | |
| MORTGAGE-BACKED | | | |
| SECURITIES (6.1%)*cont. | Principal amount | Value |
| | | |
| Agency collateralized mortgage obligationscont. | | |
| Government National Mortgage Association | | |
| Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 | $107,799 | $5,390 |
| Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 | 44,425 | 2,358 |
| Ser. 15-82, Class GI, IO, 3.50%, 12/20/38 | 65,963 | 2,200 |
| Ser. 13-23, Class IK, IO, 3.00%, 9/20/37 | 38,098 | 2,526 |
| Ser. 15-H22, Class GI, IO, 2.584%, 9/20/65W | 106,846 | 12,116 |
| Ser. 15-H09, Class AI, IO, 2.543%, 4/20/65W | 181,419 | 13,692 |
| Ser. 16-H03, Class AI, IO, 2.538%, 1/20/66W | 130,559 | 10,934 |
| FRB Ser. 16-H16, Class DI, IO, 2.468%, 6/20/66W | 86,874 | 8,796 |
| FRB Ser. 15-H16, Class XI, IO, 2.426%, 7/20/65W | 84,776 | 8,367 |
| Ser. 17-H06, Class BI, IO, 2.313%, 2/20/67W | 105,443 | 11,356 |
| Ser. 18-H05, Class AI, IO, 2.283%, 2/20/68W | 119,767 | 16,056 |
| Ser. 17-H02, Class BI, IO, 2.258%, 1/20/67W | 131,720 | 15,156 |
| Ser. 17-H11, Class NI, IO, 2.227%, 5/20/67W | 203,581 | 21,134 |
| Ser. 16-H04, Class KI, IO, 2.148%, 2/20/66W | 94,043 | 6,348 |
| Ser. 15-H20, Class CI, IO, 2.118%, 8/20/65W | 148,721 | 14,404 |
| Ser. 15-H24, Class HI, IO, 2.037%, 9/20/65W | 359,497 | 23,868 |
| Ser. 15-H15, Class JI, IO, 2.012%, 6/20/65W | 228,556 | 20,821 |
| Ser. 15-H19, Class NI, IO, 1.944%, 7/20/65W | 158,666 | 13,312 |
| Ser. 15-H18, Class IA, IO, 1.869%, 6/20/65W | 72,923 | 4,288 |
| Ser. 15-H10, Class CI, IO, 1.846%, 4/20/65W | 134,801 | 10,974 |
| Ser. 15-H26, Class GI, IO, 1.834%, 10/20/65W | 178,099 | 14,515 |
| Ser. 15-H25, Class BI, IO, 1.778%, 10/20/65W | 232,602 | 20,539 |
| Ser. 17-H14, Class DI, IO, 1.738%, 6/20/67W | 278,540 | 17,713 |
| Ser. 15-H09, Class BI, IO, 1.73%, 3/20/65W | 183,138 | 12,814 |
| Ser. 15-H24, Class BI, IO, 1.655%, 8/20/65W | 347,810 | 13,091 |
| Ser. 15-H10, Class EI, IO, 1.654%, 4/20/65W | 102,273 | 4,460 |
| Ser. 15-H25, Class AI, IO, 1.645%, 9/20/65W | 238,627 | 17,635 |
| Ser. 16-H02, Class BI, IO, 1.614%, 11/20/65W | 271,020 | 23,892 |
| Ser. 11-H15, Class AI, IO, 1.553%, 6/20/61W | 82,962 | 3,941 |
| Ser. 16-H08, Class GI, IO, 1.462%, 4/20/66W | 188,538 | 9,294 |
| Ser. 14-H21, Class AI, IO, 1.449%, 10/20/64W | 171,068 | 12,636 |
| | | | 1,189,490 |
| Commercial mortgage-backed securities (0.6%) | | |
| Bear Stearns Commercial Mortgage Securities Trust | | |
| 144A FRB Ser. 06-PW11, Class C, 5.775%, | | | |
| 3/11/39 (In default) †W | | 12,260 | 613 |
| GE Capital Commercial Mortgage Corp. FRB | | |
| Ser. 05-C1, Class D, 4.408%, 6/10/48W | | 12,788 | 7,673 |
| GMAC Commercial Mortgage Securities, Inc. Trust | | |
| 144A FRB Ser. 04-C3, Class X1, IO, 0.838%, | | |
| 12/10/41W | | 7,000 | 51 |
| GS Mortgage Securities Trust 144A FRB | | | |
| Ser. 14-GC24, Class D, 4.532%, 9/10/47W | | 27,000 | 22,727 |
| JPMBB Commercial Mortgage Securities Trust 144A | | |
| FRB Ser. 13-C14, Class E, 4.702%, 8/15/46W | 16,000 | 14,517 |
| JPMorgan Chase Commercial Mortgage Securities | | |
| Trust Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 | 10,987 | 10,149 |
| ML-CFC Commercial Mortgage Trust 144A FRB | | |
| Ser. 06-4, Class XC, IO, 0.558%, 12/12/49W | 15,226 | 59 |
| UBS-Barclays Commercial Mortgage Trust 144A | | |
| Ser. 12-C2, Class F, 4.89%, 5/10/63W | | 17,000 | 5,105 |
| WF-RBS Commercial Mortgage Trust 144A | | |
| Ser. 11-C3, Class E, 5.00%, 3/15/44W | | 30,000 | 20,542 |
| Ser. 12-C7, Class F, 4.50%, 6/15/45W | | 100,000 | 75,696 |
| | | | 157,132 |
| Residential mortgage-backed securities (non-agency) (1.0%) | |
| Citigroup Mortgage Loan Trust FRB Ser. 07-AR5, | | |
| Class 1A1A, 4.443%, 4/25/37W | | 33,419 | 33,233 |
| Countrywide Home Loans Mortgage Pass-Through | | |
| Trust FRB Ser. 05-3, Class 1A1, (1 Month US | | |
| LIBOR + 0.62%), 2.412%, 4/25/35 | | 8,253 | 7,313 |
| |
| 8Putnam VT Multi-Asset Absolute Return Fund |
| | |
| MORTGAGE-BACKED | | |
| SECURITIES (6.1%)*cont. | Principal amount | Value |
| |
| Residential mortgage-backed securities (non-agency)cont. | |
| Federal Home Loan Mortgage Corporation 144A | |
| Seasoned Credit Risk Transfer Trust Ser. 19-4, | |
| Class M, 4.50%, 2/25/59W | $29,000 | $28,845 |
| Federal National Mortgage Association | | |
| Connecticut Avenue Securities FRB Ser. 16-C02, | |
| Class 1B, (1 Month US LIBOR + 12.25%), 14.042%, | |
| 9/25/28 | 59,762 | 86,141 |
| Connecticut Avenue Securities FRB Ser. 15-C04, | |
| Class 1M2, (1 Month US LIBOR + 5.70%), 7.492%, | |
| 4/25/28 | 15,922 | 17,655 |
| Connecticut Avenue Securities FRB Ser. 17-C02, | |
| Class 2B1, (1 Month US LIBOR + 5.50%), 7.292%, | |
| 9/25/29 | 10,000 | 11,737 |
| Connecticut Avenue Securities FRB Ser. 15-C02, | |
| Class 2M2, (1 Month US LIBOR + 4.00%), 5.792%, | |
| 5/25/25 | 2,669 | 2,770 |
| Connecticut Avenue Securities FRB Ser. 17-C02, | |
| Class 2M2, (1 Month US LIBOR + 3.65%), 5.442%, | |
| 9/25/29 | 10,000 | 10,502 |
| Connecticut Avenue Securities FRB Ser. 17-C06, | |
| Class 2M2, (1 Month US LIBOR + 2.80%), 4.592%, | |
| 2/25/30 | 9,357 | 9,608 |
| Connecticut Avenue Securities FRB Ser. 18-C05, | |
| Class 1M2, (1 Month US LIBOR + 2.35%), 4.142%, | |
| 1/25/31 | 10,000 | 10,141 |
| Federal National Mortgage Association 144A | |
| Connecticut Avenue Securities Trust FRB | |
| Ser. 19-R04, Class 2M2, (1 Month US LIBOR | |
| + 2.10%), 3.892%, 6/25/39 | 30,000 | 30,211 |
| WaMu Mortgage Pass-Through Certificates Trust FRB | |
| Ser. 04-AR12, Class A2B, (1 Month US LIBOR | |
| + 0.92%), 2.712%, 10/25/44 | 17,267 | 16,846 |
| | | 265,002 |
| | |
| Total mortgage-backed securities (cost $1,703,323) | $1,611,624 |
| | | | |
| | Expiration | | | |
| WARRANTS (2.2%)* † | date | Strike price | Warrants | Value |
| Bank of Jiangsu Co. , | | | | |
| Ltd. 144A Class A, (China) | 9/7/20 | $0.00 | 48,100 | $50,024 |
| Bank of Shanghai Co. , | | | | |
| Ltd. 144A (China) | 12/2/20 | 0.00 | 79,250 | 107,780 |
| China Resources Sanjiu | | | | |
| Medical & Pharmaceutical | | | |
| Co., Ltd. 144A (China) | 2/25/20 | 0.00 | 8,900 | 40,477 |
| Gree Electric Appliances, | | | | |
| Inc. of Zhuhai 144A | | | | |
| (China) | 8/24/20 | 0.00 | 13,404 | 125,864 |
| HLA Corp., Ltd. 144A | | | | |
| (China) | 10/8/20 | 0.00 | 19,200 | 21,120 |
| Kweichow Moutai Co., | | | | |
| Ltd 144A Class A, (China) | 9/7/20 | 0.00 | 600 | 101,933 |
| Seazen Holdings Co. , | | | | |
| Ltd. 144A (China) | 4/17/20 | 0.00 | 4,100 | 22,714 |
| Shanghai Pudong | | | | |
| Development Bank Co., | | | | |
| Ltd. 144A (China) | 11/11/20 | 0.00 | 20,400 | 36,108 |
| Shenzhen Mindray | | | | |
| Bio-Medical Electronics | | | | |
| Co., Ltd. 144A (China) | 11/11/20 | 0.00 | 2,700 | 70,308 |
| Total warrants (cost $518,434) | | | $576,328 |
| | | |
| FOREIGN GOVERNMENT AND AGENCY | | | |
| BONDS AND NOTES (0.6%)* | Principal amount | Value |
| |
| Buenos Aires (Province of) unsec. FRN | | | |
| (Argentina Deposit Rates BADLAR + 3.83%), | | | |
| 45.979%, 5/31/22 (Argentina) | ARS | 195,000 | $2,019 |
| Buenos Aires (Province of) 144A sr. unsec. | | | |
| unsub. notes 10.875%, 1/26/21 (Argentina) | | $66,667 | 41,333 |
| Mexico (Government of) sr. unsec. bonds 5.55%, | | |
| 1/21/45 (Mexico) | | 39,000 | 47,866 |
| Uruguay (Republic of) sr. unsec. | | | |
| unsub. notes 4.375%, 10/27/27 (Uruguay) | | 70,000 | 77,263 |
| Venezuela (Republic of) sr. unsec. notes 7.65%, | | |
| 4/21/25 (Venezuela) (In default) † | | 12,000 | 1,380 |
| Total foreign government and agency bonds | | |
| and notes (cost $181,269) | | | $169,861 |
| |
| ASSET-BACKED SECURITIES (0.5%)* | Principal amount | Value |
| |
| Mello Warehouse Securitization Trust 144A FRB | | |
| Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), | | |
| 2.592%, 6/25/52 | | $29,000 | $29,000 |
| Station Place Securitization Trust 144A | | | |
| FRB Ser. 19-11, Class A, (1 Month US LIBOR | | |
| + 0.75%), 2.53%, 10/24/20 | | 27,000 | 27,000 |
| FRB Ser. 19-7, Class A, (1 Month US LIBOR | | | |
| + 0.70%), 2.48%, 9/24/20 | | 28,000 | 28,000 |
| FRB Ser. 19-3, Class A, (1 Month US LIBOR | | | |
| + 0.70%), 2.48%, 6/24/20 | | 27,000 | 27,000 |
| FRB Ser. 19-WL1, Class A, (1 Month US LIBOR | | |
| + 0.65%), 2.442%, 8/25/52 | | 25,000 | 25,000 |
| Total asset-backed securities (cost $136,000) | | $136,000 |
| |
| CORPORATE BONDS AND NOTES (0.4%)* | Principal amount | Value |
| |
| Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, | | |
| 12/1/26 (Canada) | | $20,000 | $22,034 |
| Petrobras Global Finance BV company | | | |
| guaranty sr. unsec. unsub. notes 8.75%, 5/23/26 | | |
| (Brazil) | | 10,000 | 12,840 |
| Petrobras Global Finance BV company | | | |
| guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 | | |
| (Brazil) | | 21,000 | 23,573 |
| Petrobras Global Finance BV company | | | |
| guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 | | |
| (Brazil) | | 12,000 | 12,840 |
| Petrobras Global Finance BV company | | | |
| guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 | | |
| (Brazil) | | 10,000 | 11,413 |
| Petrobras Global Finance BV 144A company | | | |
| guaranty sr. unsec. bonds 5.093%, 1/15/30 | | | |
| (Brazil) | | 18,000 | 19,287 |
| Petroleos de Venezuela SA company | | | |
| guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 | |
| (Venezuela) (In default) † | | 26,000 | 2,015 |
| Petroleos Mexicanos 144A company | | | |
| guaranty sr. unsec. bonds 6.375%, 1/23/45 | | | |
| (Mexico) | | 10,000 | 8,581 |
| Total corporate bonds and notes (cost $111,579) | $112,583 |
| |
| PREFERRED STOCKS (0.2%)* | | Shares | Value |
| |
| Telefonica Brasil S.A. $0.00 | | | |
| (Preference shares) (Brazil) | | 3,600 | $51,888 |
| Total preferred stocks (cost $48,336) | | | $51,888 |
| |
| Putnam VT Multi-Asset Absolute Return Fund | 9 |
| | | |
| PURCHASED SWAP OPTIONS OUTSTANDING(0.0%)* | | |
| Counterparty | Notional/ | |
| Fixed right % to receive or (pay)/ | Expiration | Contract | |
| Floating rate index/Maturity date | date/strike | amount | Value |
| |
| Bank of America N.A. | | | |
| 2.785/3 month USD- | | | |
| LIBOR-BBA/Jan-47 | Jan-27/2.785 | $8,600 | $1,160 |
| (2.785)/3 month USD- | | | |
| LIBOR-BBA/Jan-47 | Jan-27/2.785 | 8,600 | 431 |
| 2.3075/3 month USD- | | | |
| LIBOR-BBA/Jun-52 | Jun-22/2.3075 | 3,700 | 376 |
| (2.3075)/3 month USD- | | | |
| LIBOR-BBA/Jun-52 | Jun-22/2.3075 | 3,700 | 220 |
| Total purchased swap options outstanding (cost $2,468) | $2,187 |
| | | | |
| PURCHASED OPTIONS | | | | |
| OUTSTANDING (0.2%)* | Expiration | Notional | Contract | |
| Counterparty | date/strike price | amount | amount | Value |
| | | | | |
| Bank of America N.A. | | | | |
| SPDR S&P 500 ETF | | | | |
| Trust (Put) | Nov-20/$265.00 | $745,106 | $2,315 | $12,882 |
| SPDR S&P 500 ETF | | | | |
| Trust (Put) | Oct-20/255.00 | 565,186 | 1,756 | 6,205 |
| Citibank, N.A. | | | | |
| AUD/JPY (Put) | Feb-20/JPY 70.00 | 649,119 | AUD 925,000 | 288 |
| SPDR S&P 500 ETF | | | | |
| Trust (Put) | Jul-20/255.00 | 818,490 | $2,543 | 5,156 |
| SPDR S&P 500 ETF | | | | |
| Trust (Put) | Aug-20/245.00 | 837,802 | 2,603 | 4,852 |
| Goldman Sachs International | | | |
| AUD/JPY (Put) | Feb-20/JPY 70.00 | 649,119 | AUD 925,000 | 288 |
| EUR/NOK (Put) | Jan-20/NOK 9.85 | 459,336 | EUR 409,500 | 2,427 |
| JPMorgan Chase Bank N.A. | | | |
| SPDR S&P 500 ETF | | | | |
| Trust (Put) | Dec-20/$275.00 | 772,464 | $2,400 | 18,180 |
| SPDR S&P 500 ETF | | | | |
| Trust (Put) | Sep-20/255.00 | 813,018 | 2,526 | 7,607 |
| Total purchased options outstanding (cost $139,494) | | $57,885 |
| | | |
| | Principal amount/ | |
| SHORT-TERM INVESTMENTS (54.5%)* | | shares | Value |
| |
| Interest in $363,710,000 joint tri-party | | | |
| repurchase agreement dated 12/31/19 | | | |
| with Citigroup Global Markets, Inc. due 1/2/20 — | | |
| maturity value of $2,412,210 for an effective | | | |
| yield of 1.570% (collateralized by various | | | |
| mortgage backed securities and a U.S. Treasury | | |
| bond with coupon rates ranging from 2.500% | | |
| to 6.500% and due dates ranging from 8/15/24 | | |
| to 12/1/49, valued at $370,984,200) | $2,412,000 | $2,412,000 |
| Putnam Cash Collateral Pool, LLC 1.81%d | Shares | 991,420 | 991,420 |
| Putnam Short Term Investment | | | |
| Fund 1.72%L | Shares | 6,315,849 | 6,315,849 |
| Australia & New Zealand Banking Group, Ltd. | | |
| commercial paper 1.828%, 2/27/20 | | $250,000 | 249,271 |
| Barclays Bank PLC CCP asset backed commercial | | |
| paper 1.909%, 2/7/20 | | 250,000 | 249,497 |
| BPCE SA commercial paper 1.880%, 3/2/20 | 250,000 | 249,202 |
| Canadian Imperial Bank of Commerce/New York, NY | | |
| certificates of deposit 2.000%, 1/13/20 | | 250,000 | 250,022 |
| Chariot Funding, LLC asset backed commercial | | |
| paper 1.849%, 3/2/20 | | 250,000 | 249,223 |
| DNB Bank ASA commercial paper 1.879%, 1/21/20 | 250,000 | 249,771 |
| | |
| | Principal amount/ | |
| SHORT-TERM INVESTMENTS (54.5%)*cont. | shares | Value |
| | | |
| Federal Home Loan Banks unsec. discount | | |
| notes commercial paper 1.652%, 1/22/20 | $250,000 | $249,790 |
| Gotham Funding Corp. asset backed commercial | |
| paper 1.825%, 1/13/20 | 250,000 | 249,845 |
| ING (U.S.) Funding LLC commercial paper 1.900%, | |
| 2/3/20 | 250,000 | 249,597 |
| Liberty Street Funding, LLC asset backed | | |
| commercial paper 1.827%, 2/6/20 | 250,000 | 249,524 |
| Manhattan Asset Funding Co., LLC asset backed | |
| commercial paper 1.857%, 2/6/20 | 250,000 | 249,535 |
| Matchpoint Finance PLC asset backed commercial | |
| paper 1.856%, 2/3/20 | 250,000 | 249,576 |
| National Bank of Canada commercial paper 1.909%, | |
| 1/21/20 | 250,000 | 249,759 |
| Regency Markets No. 1, LLC asset backed | | |
| commercial paper 2.003%, 1/16/20 | 250,000 | 249,802 |
| Societe Generale SA commercial paper 1.859%, | |
| 3/2/20 | 250,000 | 249,203 |
| U.S. Treasury Bills 1.557%, 4/23/20 # § | 218,000 | 216,960 |
| U.S. Treasury Bills 1.569%, 6/18/20 Δ § | 189,000 | 187,641 |
| U.S. Treasury Bills 1.562%, 6/4/20 Δ § | 187,000 | 185,771 |
| U.S. Treasury Bills 1.908%, 3/12/20 # Δ § | 119,000 | 118,652 |
| U.S. Treasury Bills 1.908%, 1/2/20 | 102,000 | 102,000 |
| U.S. Treasury Bills 1.610%, 4/16/20 # § | 62,000 | 61,725 |
| U.S. Treasury Bills 1.565%, 5/7/20 § | 56,000 | 55,701 |
| U.S. Treasury Bills 1.636%, 4/2/20 # § | 27,000 | 26,896 |
| Total short-term investments (cost $14,418,042) | $14,418,232 |
| | | |
| Total investments (cost $29,914,456) | | $31,124,735 |
| |
| Key to holding’s currency abbreviations |
| | |
| ARS | Argentine Peso |
| AUD | Australian Dollar |
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
| |
| Key to holding’s abbreviations |
| |
| ADR | American Depository Receipts: represents ownership of foreign |
| | securities on deposit with a custodian bank |
| ETF | Exchange Traded Fund |
| 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 |
| OJSC | Open Joint Stock Company |
| PJSC | Public Joint Stock Company |
| PO | Principal Only |
| SPDR | S&P Depository Receipts |
| TBA | To Be Announced Commitments |
| |
| 10Putnam VT Multi-Asset Absolute Return Fund |
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, 2019 through December 31, 2019 (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 Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820Fair Value Measurements and Disclosures.
* Percentages indicated are based on net assets of $26,451,797.
†††The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note’s value relative to the change in the underlying index.
† This security is non-income-producing.
# 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 $311,712 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8).
ΔThis 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 $302,880 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 the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $184,029 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 8).
dAffiliated company. See Notes 1 and 5 to the financial statements regarding securities lending. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
FThis security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities’ valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio (Note 1).
LAffiliated 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.
SSecurity on loan, in part or in entirety, at the close of the reporting period (Note 1).
WThe rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $6,314,855 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
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.
| | | | | | |
| FORWARD CURRENCY CONTRACTS at 12/31/19 (aggregate face value $4,981,653) | | | | Unrealized |
| | | Contract | Delivery | | Aggregate | appreciation/ |
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Bank of America N.A. | | | | | | |
| | Australian Dollar | Buy | 1/15/20 | $18,602 | $18,057 | $545 |
| | Australian Dollar | Sell | 1/15/20 | 18,602 | 18,634 | 32 |
| | Brazilian Real | Sell | 2/4/20 | 8,146 | 5,839 | (2,307) |
| | British Pound | Buy | 3/18/20 | 37,298 | 36,420 | 878 |
| | Canadian Dollar | Buy | 1/15/20 | 18,176 | 17,982 | 194 |
| | Canadian Dollar | Sell | 1/15/20 | 18,176 | 17,945 | (231) |
| | Euro | Sell | 3/18/20 | 13,636 | 13,295 | (341) |
| | Japanese Yen | Sell | 2/19/20 | 125,139 | 125,185 | 46 |
| | Mexican Peso | Buy | 1/15/20 | 80,139 | 75,586 | 4,553 |
| | Mexican Peso | Sell | 1/15/20 | 80,139 | 77,491 | (2,648) |
| | Norwegian Krone | Buy | 3/18/20 | 39,294 | 37,596 | 1,698 |
| | Swedish Krona | Buy | 3/18/20 | 214 | 208 | 6 |
| Barclays Bank PLC | | | | | | |
| | Canadian Dollar | Sell | 1/15/20 | 14,710 | 13,063 | (1,647) |
| | New Zealand Dollar | Buy | 1/15/20 | 76,956 | 76,943 | 13 |
| | New Zealand Dollar | Sell | 1/15/20 | 76,956 | 71,404 | (5,552) |
| | Norwegian Krone | Sell | 3/18/20 | 55,779 | 54,994 | (785) |
| | Swedish Krona | Sell | 3/18/20 | 18,398 | 18,309 | (89) |
| Citibank, N.A. | | | | | | |
| | Brazilian Real | Sell | 2/4/20 | 3,328 | 3,214 | (114) |
| | Canadian Dollar | Buy | 1/15/20 | 76,014 | 75,127 | 887 |
| | Canadian Dollar | Sell | 1/15/20 | 76,014 | 74,695 | (1,319) |
| | Norwegian Krone | Buy | 3/18/20 | 37,084 | 35,475 | 1,609 |
| Credit Suisse International | | | | | | |
| | Australian Dollar | Buy | 1/15/20 | 6,669 | 6,364 | 305 |
| | Australian Dollar | Sell | 1/15/20 | 6,669 | 6,648 | (21) |
| | Euro | Buy | 3/18/20 | 18,370 | 18,190 | 180 |
| |
| Putnam VT Multi-Asset Absolute Return Fund11 |
| | | | | | |
| FORWARD CURRENCY CONTRACTS at 12/31/19 (aggregate face value $4,981,653)cont. | | | | Unrealized |
| | | Contract | Delivery | | Aggregate | appreciation/ |
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| Goldman Sachs International | | | | | | |
| | Australian Dollar | Buy | 1/15/20 | $62,615 | $62,436 | $179 |
| | Australian Dollar | Sell | 1/15/20 | 62,615 | 60,560 | (2,055) |
| | Brazilian Real | Buy | 2/4/20 | 79,004 | 75,912 | 3,092 |
| | Brazilian Real | Sell | 2/4/20 | 78,284 | 76,237 | (2,047) |
| | British Pound | Sell | 3/18/20 | 62,516 | 61,151 | (1,365) |
| | Chilean Peso | Buy | 1/15/20 | 74,048 | 78,122 | (4,074) |
| | Chilean Peso | Sell | 1/15/20 | 74,048 | 77,897 | 3,849 |
| | New Zealand Dollar | Buy | 1/15/20 | 165,896 | 164,773 | 1,123 |
| | New Zealand Dollar | Sell | 1/15/20 | 165,896 | 154,923 | (10,973) |
| | Norwegian Krone | Buy | 3/18/20 | 300,570 | 287,609 | 12,961 |
| | Swedish Krona | Sell | 3/18/20 | 131,206 | 128,759 | (2,447) |
| HSBC Bank USA, National Association | | | | | | |
| | Australian Dollar | Buy | 1/15/20 | 114,280 | 111,873 | 2,407 |
| | Australian Dollar | Sell | 1/15/20 | 114,280 | 112,047 | (2,233) |
| | British Pound | Sell | 3/18/20 | 80,967 | 79,271 | (1,696) |
| | New Zealand Dollar | Buy | 1/15/20 | 18,651 | 18,362 | 289 |
| | New Zealand Dollar | Sell | 1/15/20 | 18,650 | 18,644 | (6) |
| | Norwegian Krone | Sell | 3/18/20 | 37,346 | 36,648 | (698) |
| | Swedish Krona | Sell | 3/18/20 | 91,517 | 89,572 | (1,945) |
| JPMorgan Chase Bank N.A. | | | | | | |
| | Canadian Dollar | Buy | 1/15/20 | 1,771 | 1,752 | 19 |
| | Canadian Dollar | Sell | 1/15/20 | 1,771 | 1,735 | (36) |
| | Japanese Yen | Sell | 2/19/20 | 18,438 | 18,283 | (155) |
| | New Zealand Dollar | Buy | 1/15/20 | 200,031 | 194,795 | 5,236 |
| | New Zealand Dollar | Sell | 1/15/20 | 200,031 | 185,611 | (14,420) |
| | Swedish Krona | Sell | 3/18/20 | 22,073 | 21,734 | (339) |
| | Swiss Franc | Sell | 3/18/20 | 33,130 | 32,520 | (610) |
| NatWest Markets PLC | | | | | | |
| | Australian Dollar | Buy | 1/15/20 | 193,041 | 184,287 | 8,754 |
| | Australian Dollar | Sell | 1/15/20 | 193,041 | 192,051 | (990) |
| | British Pound | Buy | 3/18/20 | 37,167 | 36,289 | 878 |
| | Euro | Buy | 3/18/20 | 18,144 | 18,041 | 103 |
| | New Zealand Dollar | Buy | 1/15/20 | 18,650 | 18,054 | 596 |
| | New Zealand Dollar | Sell | 1/15/20 | 18,650 | 18,645 | (5) |
| | Norwegian Krone | Buy | 3/18/20 | 117,087 | 112,091 | 4,996 |
| | Swedish Krona | Sell | 3/18/20 | 79,077 | 77,855 | (1,222) |
| State Street Bank and Trust Co. | | | | | | |
| | Australian Dollar | Sell | 1/15/20 | 140,815 | 132,631 | (8,184) |
| | British Pound | Sell | 3/18/20 | 106,584 | 105,226 | (1,358) |
| | Canadian Dollar | Sell | 1/15/20 | 18,484 | 17,694 | (790) |
| | Euro | Buy | 3/18/20 | 165,439 | 163,991 | 1,448 |
| | Japanese Yen | Sell | 2/19/20 | 280,983 | 280,709 | (274) |
| | New Zealand Dollar | Buy | 1/15/20 | 18,313 | 14,773 | 3,540 |
| | Norwegian Krone | Buy | 3/18/20 | 76,834 | 72,493 | 4,341 |
| | Swedish Krona | Sell | 3/18/20 | 177,259 | 175,140 | (2,119) |
| Toronto-Dominion Bank | | | | | | |
| | Canadian Dollar | Sell | 1/15/20 | 37,121 | 35,459 | (1,662) |
| | Euro | Buy | 3/18/20 | 18,482 | 18,303 | 179 |
| | Swedish Krona | Sell | 3/18/20 | 37,235 | 36,630 | (605) |
| UBS AG | | | | | | |
| | Australian Dollar | Sell | 1/15/20 | 18,322 | 24,225 | 5,903 |
| | British Pound | Sell | 3/18/20 | 18,583 | 18,369 | (214) |
| |
| 12Putnam VT Multi-Asset Absolute Return Fund |
| | | | | | |
| FORWARD CURRENCY CONTRACTS at 12/31/19 (aggregate face value $4,981,653)cont. | | | | Unrealized |
| | | Contract | Delivery | | Aggregate | appreciation/ |
| Counterparty | Currency | type* | date | Value | face value | (depreciation) |
| UBS AGcont. | | | | | | |
| | Japanese Yen | Sell | 2/19/20 | $18,415 | $18,304 | $(111) |
| | New Zealand Dollar | Buy | 1/15/20 | 37,301 | 32,211 | 5,090 |
| | Swedish Krona | Sell | 3/18/20 | 36,892 | 36,327 | (565) |
| WestPac Banking Corp. | | | | | | |
| | Australian Dollar | Buy | 1/15/20 | 18,743 | 18,688 | 55 |
| | Australian Dollar | Sell | 1/15/20 | 18,743 | 18,212 | (531) |
| | British Pound | Sell | 3/18/20 | 18,583 | 18,318 | (265) |
| | Euro | Buy | 3/18/20 | 18,482 | 18,287 | 195 |
| | Euro | Sell | 3/18/20 | 18,482 | 18,460 | (22) |
| Unrealized appreciation | | | | | | 76,179 |
| Unrealized (depreciation) | | | | | | (79,070) |
| Total | | | | | | $(2,891) |
* The exchange currency for all contracts listed is the United States Dollar.
| | | | | |
| FUTURES | | | | | |
| CONTRACTS | Number | | | | Unrealized |
| OUTSTANDING | of | Notional | | Expiration | appreciation/ |
| at 12/31/19 | contracts | amount | Value | date | (depreciation) |
| S&P 500 Index | | | | | |
| E-Mini (Short) | 17 | $2,746,163 | $2,746,435 | Mar-20 | $(51,162) |
| S&P Mid Cap | | | | | |
| 400 Index | | | | | |
| E-Mini (Long) | 23 | 4,744,946 | 4,749,040 | Mar-20 | 55,473 |
| U.S. Treasury | | | | | |
| Note 10 yr | | | | | |
| (Long) | 100 | 12,842,188 | 12,842,188 | Mar-20 | (117,421) |
| U.S. Treasury | | | | | |
| Note Ultra 10 yr | | | | | |
| (Long) | 18 | 2,532,656 | 2,532,656 | Mar-20 | (31,400) |
| Unrealized appreciation | | | | 55,473 |
| Unrealized (depreciation) | | | (199,983) |
| Total | | | | | $(144,510) |
| | | | |
| WRITTEN OPTIONS OUTSTANDING at 12/31/19 (premiums $2,301) | |
| | Expiration | | | |
| | date/strike | Notional | Contract | |
| Counterparty | price | Amount | amount | Value |
| Citibank, N.A. | | | | |
| SPDR S&P 500 ETF | | | | |
| Trust (Call) | Jan-20/$333.00 | $926,313 | $2,878 | $1,643 |
| JPMorgan Chase Bank N.A. | | | |
| SPDR S&P 500 ETF | | | | |
| Trust (Call) | Jan-20/331.00 | 925,026 | 2,874 | 669 |
| Total | | | | $2,312 |
| | | | |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/19 | | | | |
| Counterparty | | | Premium | Unrealized |
| Fixed right or obligation % to receive or (pay)/ | Expiration | Contract | receivable/ | appreciation/ |
| Floating rate index/Maturity date | date/strike | amount | (payable) | (depreciation) |
| Goldman Sachs International | | | | |
| 2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) | Mar-27/2.8175 | $1,700 | $(215) | $43 |
| (2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) | Mar-27/2.8175 | 1,700 | (215) | (108) |
| JPMorgan Chase Bank N.A. | | | | |
| 2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) | Feb-22/2.8325 | 8,600 | (1,201) | 388 |
| (2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) | Feb-22/2.8325 | 8,600 | (1,201) | (988) |
| Unrealized appreciation | | | | 431 |
| Unrealized (depreciation) | | | | (1,096) |
| Total | | | | $(665) |
| | | | | | |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/19 | | |
| | | Upfront | | | | Unrealized |
| | | premium | Termination | Payments | Payments | appreciation/ |
| Notional amount | Value | received (paid) | date | made by fund | received by fund | (depreciation) |
| $5,065,900 | $4,878E | $(4,319) | 3/18/22 | 1.60% — Semiannually | 3 month USD-LIBOR- | $559 |
| | | | | | BBA — Quarterly | |
| 1,415,500 | 7,094E | (4,066) | 3/18/25 | 1.625% — Semiannually | 3 month USD-LIBOR- | 3,028 |
| | | | | | BBA — Quarterly | |
| 1,768,000 | 16,421E | 1,881 | 3/18/30 | 1.80% — Semiannually | 3 month USD-LIBOR- | 18,302 |
| | | | | | BBA — Quarterly | |
| 111,000 | 692 | (1) | 12/17/29 | 1.8252% — Semiannually | 3 month USD-LIBOR- | 699 |
| | | | | | BBA — Quarterly | |
| |
| Putnam VT Multi-Asset Absolute Return Fund13 |
| | | | | | | |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/19cont. | | |
| | | | Upfront | | | | Unrealized |
| | | | premium | Termination | Payments | Payments | appreciation/ |
| Notional amount | | Value | received (paid) | date | made by fund | received by fund | (depreciation) |
| | $4,300 | $96E | $— | 12/7/30 | 2.184% — Semiannually | 3 month USD-LIBOR- | $(96) |
| | | | | | | BBA — Quarterly | |
| | 400 | 15E | — | 6/22/52 | 2.3075% — Semiannually | 3 month USD-LIBOR- | (15) |
| | | | | | | BBA — Quarterly | |
| | 1,700 | 203E | — | 3/28/52 | 2.67% — Semiannually | 3 month USD-LIBOR- | (203) |
| | | | | | | BBA — Quarterly | |
| | 434,000 | 617E | (1,710) | 3/18/25 | 3 month USD-LIBOR-BBA — | 1.70% — Semiannually | (2,327) |
| | | | | | Quarterly | | |
| | 1,089,500 | 15,123E | 8,183 | 3/18/30 | 3 month USD-LIBOR-BBA — | 1.75% — Semiannually | (6,940) |
| | | | | | Quarterly | | |
| | 132,000 | 1,196 | (2) | 12/18/29 | 3 month USD-LIBOR-BBA — | 1.7945% — Semiannually | (1,209) |
| | | | | | Quarterly | | |
| | 101,300 | 2,182E | 1,152 | 3/18/50 | 3 month USD-LIBOR-BBA — | 2.00% — Semiannually | (1,029) |
| | | | | | Quarterly | | |
| | 4,900 | 43E | — | 6/5/29 | 3 month USD-LIBOR-BBA — | 2.2225% — Semiannually | 43 |
| | | | | | Quarterly | | |
| | 3,000 | 820 | — | 11/8/48 | 3 month USD-LIBOR-BBA — | 3.312% — Semiannually | 826 |
| | | | | | Quarterly | | |
| | 620,000 | 242 | (2) | 12/5/20 | Federal funds effective rate | Secured overnight | (269) |
| | | | | | US — Quarterly | funding rate — Quarterly | |
| AUD | 1,000 | 10E | (4) | 3/18/30 | 6 month AUD-BBR-BBSW — | 1.40% — Semiannually | (14) |
| | | | | | Semiannually | | |
| AUD | 5,000 | 35E | (1) | 3/18/25 | 1.00% — Semiannually | 6 month AUD-BBR- | 34 |
| | | | | | | BBSW — Semiannually | |
| CAD | 164,000 | 880E | 879 | 3/18/30 | 2.10% — Semiannually | 3 month CAD-BA-CDOR — | 1,759 |
| | | | | | | Semiannually | |
| CAD | 2,531,000 | 5,668E | (2,907) | 3/18/25 | 3 month CAD-BA-CDOR — | 2.00% — Semiannually | (8,574) |
| | | | | | Semiannually | | |
| CHF | 645,000 | 401E | (2,771) | 3/18/25 | 0.40% plus 6 month CHF- | — | (2,370) |
| | | | | | LIBOR-BBA — Semiannually | | |
| CHF | 85,000 | 106E | (636) | 3/18/30 | 0.10% plus 6 month CHF- | — | (742) |
| | | | | | LIBOR-BBA — Semiannually | | |
| EUR | 1,130,000 | 4,492E | 10,370 | 3/18/30 | 0.20% — Annually | 6 month EUR-EURIBOR- | 14,862 |
| | | | | | | REUTERS — Semiannually | |
| EUR | 387,000 | 293E | 1,562 | 3/18/25 | — | 0.10% plus 6 month EUR- | 1,854 |
| | | | | | | EURIBOR-REUTERS — | |
| | | | | | | Semiannually | |
| GBP | 1,176,000 | 531E | (1,202) | 3/18/25 | 6 month GBP-LIBOR-BBA — | 0.90% — Semiannually | (671) |
| | | | | | Semiannually | | |
| GBP | 1,000 | 9E | (14) | 3/18/30 | 6 month GBP-LIBOR-BBA — | 1.10% — Semiannually | (5) |
| | | | | | Semiannually | | |
| NOK | 2,003,000 | 595E | (105) | 3/18/25 | 1.95% — Annually | 6 month NOK-NIBOR- | 490 |
| | | | | | | NIBR — Semiannually | |
| NOK | 3,871,000 | 2,754E | 170 | 3/18/30 | 2.00% — Annually | 6 month NOK-NIBOR- | 2,924 |
| | | | | | | NIBR — Semiannually | |
| NZD | 958,000 | 2,110E | (1,841) | 3/18/25 | 1.40% — Semiannually | 3 month NZD-BBR-FRA — | 271 |
| | | | | | | Quarterly | |
| NZD | 620,000 | 2,197E | (1,752) | 3/18/30 | 1.75% — Semiannually | 3 month NZD-BBR-FRA — | 444 |
| | | | | | | Quarterly | |
| SEK | 6,919,000 | 2,296E | (262) | 3/18/25 | 0.35% — Annually | 3 month SEK-STIBOR- | 2,033 |
| | | | | | | SIDE — Quarterly | |
| SEK | 4,672,000 | 3,058E | 911 | 3/18/30 | 0.65% — Annually | 3 month SEK-STIBOR- | 3,969 |
| | | | | | | SIDE — Quarterly | |
| Total | | | $3,513 | | | | $27,633 |
EExtended effective date.
| |
| 14Putnam VT Multi-Asset Absolute Return Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/19 | | | | |
| | | Upfront | | Payments | Total return | Unrealized |
| Swap counterparty/ | | premium | Termination | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Bank of America N.A. | | | | | | |
| $11,301,587 | $11,320,675 | $— | 6/20/23 | (3 month USD-LIBOR- | A basket (MLFCF15) | $19,414 |
| | | | | BBA plus 0.10%) — | of common stocks — | |
| | | | | Quarterly | Quarterly* | |
| 11,442,804 | 11,478,237 | — | 6/20/23 | 3 month USD-LIBOR- | Russell 1000 Total Return | (28,423) |
| | | | | BBA minus 0.07% — | Index — Quarterly | |
| | | | | Quarterly | | |
| 1,150 | 1,136 | — | 1/12/41 | 4.00% (1 month USD- | Synthetic TRS Index | (2) |
| | | | | LIBOR) — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 1,150 | 1,136 | — | 1/12/41 | 4.00% (1 month USD- | Synthetic TRS Index | (2) |
| | | | | LIBOR) — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| Barclays Bank PLC | | | | | | |
| 2,761 | 2,738 | — | 1/12/43 | (3.50%) 1 month USD- | Synthetic TRS Index | (4) |
| | | | | LIBOR — Monthly | 3.50% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 531 | 524 | — | 1/12/41 | 4.00% (1 month USD- | Synthetic TRS Index | (1) |
| | | | | LIBOR) — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 1,444 | 1,443 | — | 1/12/38 | 6.50% (1 month USD- | Synthetic TRS Index | 16 |
| | | | | LIBOR) — Monthly | 6.50% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| Citibank, N.A. | | | | | | |
| 10,894,905 | 11,118,481 | — | 11/25/20 | (3 month USD-LIBOR- | A basket (CGPUTQL2) | 233,433 |
| | | | | BBA plus 0.34%) — | of common stocks — | |
| | | | | Quarterly | Quarterly* | |
| 27,254 | 28,641 | — | 7/5/22 | 1 month USD-LIBOR- | ACI Worldwide, Inc. — | (1,363) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 203,726 | 235,812 | — | 7/5/22 | 1 month USD-LIBOR- | Advanced Micro Devices — | (31,868) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 31,242 | 30,603 | — | 7/5/22 | 1 month USD-LIBOR- | Allscripts Healthcare | 666 |
| | | | | BBA minus 0.35% — | Solutions, Inc. — Monthly | |
| | | | | Monthly | | |
| 19,311 | 17,997 | — | 7/5/22 | 1 month USD-LIBOR- | Appian Corp. — Monthly | 1,325 |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 90,807 | 91,380 | — | 7/5/22 | 1 month USD-LIBOR- | Axon Enterprise, Inc. — | (495) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 16,356 | 17,446 | — | 7/5/22 | 1 month USD-LIBOR- | B&G Foods, Inc. — Monthly | (1,579) |
| | | | | BBA minus 1.85% — | | |
| | | | | Monthly | | |
| 26,812 | 32,055 | — | 7/5/22 | 1 month USD-LIBOR- | Blackberry, Ltd. — Monthly | (5,219) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 32,218 | 32,876 | — | 7/5/22 | 1 month USD-LIBOR- | Bruker Corp — Monthly | (656) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 47,053 | 48,733 | — | 7/5/22 | 1 month USD-LIBOR- | BWX Technologies, Inc. — | (1,772) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 73,458 | 68,312 | — | 7/5/22 | 1 month USD-LIBOR- | Canada Goose Holdings, | 5,172 |
| | | | | BBA minus 0.85% — | Inc. — Monthly | |
| | | | | Monthly | | |
| 24,264 | 22,121 | — | 7/5/22 | 1 month USD-LIBOR- | Cantel Medical Corp. — | 2,165 |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| |
| Putnam VT Multi-Asset Absolute Return Fund15 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/19cont. | | | |
| | | Upfront | | Payments | Total return | Unrealized |
| Swap counterparty/ | | premium | Termination | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Citibank, N.A.cont. | | | | | | |
| $42,260 | $46,110 | $— | 7/5/22 | 1 month USD-LIBOR- | Catalent, Inc. — Monthly | $(3,813) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 271,965 | 272,260 | — | 7/5/22 | 1 month USD-LIBOR- | Citrix Systems, Inc. — | (918) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 194,301 | 204,265 | — | 7/5/22 | 1 month USD-LIBOR- | Corning, Inc. — Monthly | (11,199) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 11,739 | 16,685 | — | 7/5/22 | 1 month USD-LIBOR- | Diebold Nixdorf, Inc. — | (4,935) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 147,164 | 150,709 | — | 7/5/22 | 1 month USD-LIBOR- | Domino’s Pizza, Inc. — | (3,750) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 21,224 | 21,656 | — | 7/5/22 | 1 month USD-LIBOR- | Dorman Products Inc. — | (413) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 31,676 | 29,610 | — | 7/5/22 | 1 month USD-LIBOR- | Dycom Industries, Inc. — | 2,094 |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 12,707 | 12,696 | — | 7/5/22 | 1 month USD-LIBOR- | Ebix, Inc. — Monthly | (8) |
| | | | | BBA minus 1.25% — | | |
| | | | | Monthly | | |
| 22,857 | 22,725 | — | 7/5/22 | 1 month USD-LIBOR- | Edgewell Personal Care — | 153 |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 74,233 | 72,066 | — | 7/5/22 | 1 month USD-LIBOR- | Energizer Holdings, Inc. — | 1,801 |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 132,928 | 122,742 | — | 7/5/22 | 1 month USD-LIBOR- | Everbridge, Inc. — Monthly | 10,302 |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 154,040 | 156,917 | — | 7/5/22 | 1 month USD-LIBOR- | FMC Corp — Monthly | (3,435) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 127,086 | 116,905 | — | 7/5/22 | 1 month USD-LIBOR- | Guidewire Software, Inc. — | 10,291 |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 55,041 | 55,004 | — | 7/5/22 | 1 month USD-LIBOR- | Hanesbrands, Inc. — | 85 |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 14,794 | 15,413 | — | 7/5/22 | 1 month USD-LIBOR- | Home BancShares — | (607) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 68,434 | 73,026 | — | 7/5/22 | 1 month USD-LIBOR- | ICON PLC — Monthly | (4,532) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 249,452 | 258,757 | — | 7/5/22 | 1 month USD-LIBOR- | Illumina, Inc. — Monthly | (9,089) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 10,265 | 9,771 | — | 7/5/22 | 1 month USD-LIBOR- | Inogen, Inc. — Monthly | 502 |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 37,324 | 36,881 | — | 7/5/22 | 1 month USD-LIBOR- | Instructure Inc — Monthly | 476 |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 62,014 | 65,467 | — | 7/5/22 | 1 month USD-LIBOR- | Jabil, Inc. — Monthly | (3,399) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| |
| 16Putnam VT Multi-Asset Absolute Return Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/19cont. | | | |
| | | Upfront | | Payments | Total return | Unrealized |
| Swap counterparty/ | | premium | Termination | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Citibank, N.A.cont. | | | | | | |
| $285,158 | $299,947 | $— | 7/5/22 | 1 month USD-LIBOR- | Kellogg Co. — Monthly | $(17,012) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 16,968 | 18,278 | — | 7/5/22 | 1 month USD-LIBOR- | Kulicke & Soffa | (1,376) |
| | | | | BBA minus 0.35% — | Industries — Monthly | |
| | | | | Monthly | | |
| 52,730 | 54,691 | — | 7/5/22 | 1 month USD-LIBOR- | LHC Group, Inc. — Monthly | (1,915) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 374,711 | 377,912 | — | 9/18/20 | 3 month USD-LIBOR- | MSCI Daily TR NET | (2,963) |
| | | | | BBA — Quarterly | Emerging Markets USD — | |
| | | | | | Quarterly | |
| 816,564 | 824,439 | — | 3/19/20 | 3 month USD-LIBOR- | MSCI Emerging Markets TR | (7,282) |
| | | | | BBA plus 0.11% — | Net USD — Quarterly | |
| | | | | Quarterly | | |
| 25,083 | 26,917 | — | 7/5/22 | 1 month USD-LIBOR- | National Vision Holdings, | (1,813) |
| | | | | BBA minus 0.35% — | Inc. — Monthly | |
| | | | | Monthly | | |
| 19,367 | 19,695 | — | 7/5/22 | 1 month USD-LIBOR- | Omnicell, Inc. — Monthly | (311) |
| | | | | BBA minus 0.35% — | | �� |
| | | | | Monthly | | |
| 69,592 | 73,448 | — | 7/5/22 | 1 month USD-LIBOR- | Oshkosh Corp. — Monthly | (3,796) |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 54,027 | 56,512 | — | 7/5/22 | 1 month USD-LIBOR- | PerkinElmer, Inc. — | (2,438) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 29,597 | 31,428 | — | 7/5/22 | 1 month USD-LIBOR- | Prestige Brands Holdings, | (1,806) |
| | | | | BBA minus 0.35% — | Inc. — Monthly | |
| | | | | Monthly | | |
| 30,877 | 30,013 | — | 7/5/22 | 1 month USD-LIBOR- | Qualys, Inc. — Monthly | 891 |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 146,367 | 155,592 | — | 7/5/22 | 1 month USD-LIBOR- | Quintiles IMS Holdings, | (9,097) |
| | | | | BBA minus 0.35% — | Inc. — Monthly | |
| | | | | Monthly | | |
| 166,857 | 174,541 | — | 7/5/22 | 1 month USD-LIBOR- | Ralph Lauren Corp. — | (8,562) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 5,475,984 | 5,635,522 | — | 11/25/20 | 3 month USD-LIBOR- | Russell 1000 Total Return | (149,480) |
| | | | | BBA plus 0.09% — | Index — Quarterly | |
| | | | | Quarterly | | |
| 51,381 | 53,016 | — | 7/5/22 | 1 month USD-LIBOR- | Sterling BANCORP/ DE — | (1,590) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 737 | 728 | — | 1/12/41 | 4.00% (1 month USD- | Synthetic TRS Index | (1) |
| | | | | LIBOR) — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 356,139 | 450,960 | — | 7/5/22 | 1 month USD-LIBOR- | Tesla, Inc. — Monthly | (94,512) |
| | | | | BBA minus 1.30% — | | |
| | | | | Monthly | | |
| 94,977 | 94,195 | — | 7/5/22 | 1 month USD-LIBOR- | Textron Inc — Monthly | 821 |
| | | | | BBA minus 0.35% — | | |
| | | | | Monthly | | |
| 76,878 | 69,012 | — | 7/5/22 | 1 month USD-LIBOR- | Triumph Group, Inc. — | 7,823 |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 7,740 | 8,631 | — | 7/5/22 | 1 month USD-LIBOR- | Under Armour, Inc. | (885) |
| | | | | BBA minus 0.35% — | Class C — Monthly | |
| | | | | Monthly | | |
| |
| Putnam VT Multi-Asset Absolute Return Fund17 |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/19cont. | | | |
| | | Upfront | | Payments | Total return | Unrealized |
| Swap counterparty/ | | premium | Termination | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Citibank, N.A.cont. | | | | | | |
| $106,650 | $108,780 | $— | 7/5/22 | 1 month USD-LIBOR- | Varian Medical Systems, | $(2,037) |
| | | | | BBA minus 0.35% — | Inc. — Monthly | |
| | | | | Monthly | | |
| 24,368 | 27,020 | — | 7/5/22 | 1 month USD-LIBOR- | Winnebago Industries — | (2,631) |
| | | | | BBA minus 0.35% — | Monthly | |
| | | | | Monthly | | |
| 50,977 | 52,938 | — | 7/5/22 | 1 month USD-LIBOR- | Wolverine World Wide | (2,074) |
| | | | | BBA minus 0.35% — | Inc. — Monthly | |
| | | | | Monthly | | |
| Credit Suisse International | | | | | | |
| 3,872,942 | 4,043,551 | — | 2/12/20 | 1 month USD-LIBOR- | MSCI Emerging Markets TR | (166,401) |
| | | | | BBA plus 0.22% — | Net USD — Monthly | |
| | | | | Monthly | | |
| 163,833 | 163,642 | — | 1/12/41 | 4.50% (1 month USD- | Synthetic MBX Index | 14 |
| | | | | LIBOR) — Monthly | 4.50% 30 year Ginnie Mae II | |
| | | | | | pools — Monthly | |
| 6,651 | 6,597 | — | 1/12/43 | 3.50% (1 month USD- | Synthetic TRS Index | 10 |
| | | | | LIBOR) — Monthly | 3.50% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 3,485 | 3,449 | — | 1/12/45 | 3.50% (1 month USD- | Synthetic TRS Index | (1) |
| | | | | LIBOR) — Monthly | 3.50% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 565 | 560 | — | 1/12/43 | 3.50% (1 month USD- | Synthetic TRS Index | 1 |
| | | | | LIBOR) — Monthly | 3.50% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 7,563 | 7,490 | — | 1/12/45 | 4.00% (1 month USD- | Synthetic TRS Index | 9 |
| | | | | LIBOR) — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 3,509 | 3,475 | — | 1/12/45 | 4.00% (1 month USD- | Synthetic TRS Index | 4 |
| | | | | LIBOR) — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 4,510 | 4,455 | — | 1/12/41 | (4.00%) 1 month USD- | Synthetic TRS Index | 6 |
| | | | | LIBOR — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| Goldman Sachs International | | | | | | |
| 10,027,032 | 10,050,118 | — | 12/15/20 | (1 month USD-LIBOR- | A basket (GSGLPW2L) | 37,696 |
| | | | | BBA plus 0.45%) — | of common stocks — | |
| | | | | Monthly | Monthly* | |
| 10,039,039 | 10,030,450 | — | 12/15/20 | 1 month USD-LIBOR- | A basket (GSGLPW2S) | (2,923) |
| | | | | BBA minus 0.15% — | of common stocks — | |
| | | | | Monthly | Monthly* | |
| 10,738,616 | 10,776,745 | — | 12/15/20 | (1 month USD-LIBOR- | A basket (GSGLPWDL) | 45,465 |
| | | | | BBA plus 0.50%) — | of common stocks — | |
| | | | | Monthly | Monthly* | |
| 10,048,606 | 10,113,487 | — | 12/15/20 | 1 month USD-LIBOR- | A basket (GSGLPWDS) | (70,904) |
| | | | | BBA minus 0.15% — | of common stocks — | |
| | | | | Monthly | Monthly* | |
| 900,301 | 862,927 | — | 12/15/20 | (0.20%) — Monthly | Goldman Sachs Cross | (37,454) |
| | | | | | Asset Trend Series 27 | |
| | | | | | Excess Return Strategy — | |
| | | | | | Monthly ††† | |
| 384,563 | 383,545 | — | 12/15/20 | (0.45%) — Monthly | Goldman Sachs Volatility | (1,096) |
| | | | | | Carry US Enhanced 3x | |
| | | | | | Excess Return Strategy — | |
| | | | | | Monthly †† | |
| 1,130,386 | 1,127,387 | — | 12/15/20 | (0.45%) — Monthly | Goldman Sachs Volatility | (3,225) |
| | | | | | Carry US Series 85 | |
| | | | | | Excess Return Strategy — | |
| | | | | | Monthly †† | |
| |
| 18Putnam VT Multi-Asset Absolute Return Fund |
| | | | | | |
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/19cont. | | | |
| | | Upfront | | Payments | Total return | Unrealized |
| Swap counterparty/ | | premium | Termination | received (paid) | received by | appreciation/ |
| Notional amount | Value | received (paid) | date | by fund | or paid by fund | (depreciation) |
| Goldman Sachs Internationalcont. | | | | | |
| $178,897 | $180,153 | $— | 12/15/20 | (0.30%) — Monthly | Goldman Sachs Volatility | $1,232 |
| | | | | | of Volatility Carry Excess | |
| | | | | | Return Strategy — | |
| | | | | | Monthly † | |
| 553,070 | 556,376 | — | 12/15/20 | (0.30%) — Monthly | Goldman Sachs Volatility | 3,232 |
| | | | | | of Volatility Carry Series 69 | |
| | | | | | Excess Return Strategy — | |
| | | | | | Monthly † | |
| 152,168 | 158,871 | — | 12/14/20 | 1 month USD-LIBOR- | MSCI Emerging Markets TR | (6,569) |
| | | | | BBA plus 0.25% — | Net USD — Monthly | |
| | | | | Monthly | | |
| 3,655 | 3,568 | — | 1/12/44 | (3.00%) 1 month USD- | Synthetic TRS Index | 54 |
| | | | | LIBOR — Monthly | 3.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 4,455 | 4,419 | — | 1/12/43 | (3.50%) 1 month USD- | Synthetic TRS Index | (7) |
| | | | | LIBOR — Monthly | 3.50% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 3,509 | 3,475 | — | 1/12/45 | 4.00% (1 month USD- | Synthetic TRS Index | 4 |
| | | | | LIBOR) — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| JPMorgan Chase Bank N.A. | | | | | | |
| 943 | 932 | — | 1/12/41 | 4.00% (1 month USD- | Synthetic TRS Index | (1) |
| | | | | LIBOR) — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| JPMorgan Securities LLC | | | | | | |
| 4,374 | 4,332 | — | 1/12/45 | (4.00%) 1 month USD- | Synthetic TRS Index | (5) |
| | | | | LIBOR — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| 10,207 | 10,108 | — | 1/12/45 | (4.00%) 1 month USD- | Synthetic TRS Index | (13) |
| | | | | LIBOR — Monthly | 4.00% 30 year Fannie Mae | |
| | | | | | pools — Monthly | |
| UBS AG | | | | | | |
| 362,958 | 371,747 | — | 2/12/20 | (3 month USD-LIBOR- | MSCI Daily TR Net | 7,377 |
| | | | | BBA plus 0.90%) — | Emerging Markets India — | |
| | | | | Quarterly | Quarterly | |
| 2,138,207 | 2,148,714 | — | 8/20/20 | 1 month USD-LIBOR- | MSCI Daily TR Net | (9,616) |
| | | | | BBA minus 0.12% — | Emerging Markets USD — | |
| | | | | Monthly | Monthly | |
| Upfront premium received | | — | | Unrealized appreciation | | 392,534 |
| Upfront premium (paid) | | — | | Unrealized (depreciation) | | (727,278) |
| Total | | $— | | Total | | $(334,744) |
† Replicates exposure to the difference between the implied and the realized volatility risk premium in the CBOE Volatility Index option market, with a delta hedge overlay.
Replicates exposure to the difference between the implied and the realized volatility risk premium on the S&P500 Index, with a delta hedge overlay.
Provides synthetic exposure to assets in several asset classes (equity, credit, foreign exchange and interest rates). The Strategy is calculated on an “excess return” basis and does not include any synthetic interest rate return on a notional cash amount.
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.
| | | | |
| A BASKET (MLFCF15) OF COMMON STOCKS | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| Amazon.com, Inc. | Consumer cyclicals | 221 | $408,902 | 3.61% |
| Apple, Inc. | Technology | 1,388 | 407,451 | 3.60% |
| Alphabet, Inc. Class A | Technology | 289 | 387,094 | 3.42% |
| JPMorgan Chase & Co. | Financials | 2,505 | 349,133 | 3.08% |
| Microsoft Corp. | Technology | 1,899 | 299,509 | 2.65% |
| Verizon Communications, Inc. | Communication services | 4,073 | 250,054 | 2.21% |
| Citigroup, Inc. | Financials | 3,061 | 244,558 | 2.16% |
| Chevron Corp. | Energy | 2,028 | 244,396 | 2.16% |
| Cisco Systems, Inc. | Technology | 5,018 | 240,660 | 2.13% |
| |
| Putnam VT Multi-Asset Absolute Return Fund19 |
| | | | |
| A BASKET (MLFCF15) OF COMMON STOCKScont. | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| Adobe, Inc. | Technology | 653 | $215,235 | 1.90% |
| Procter & Gamble Co. (The) | Consumer staples | 1,670 | 208,616 | 1.84% |
| PayPal Holdings, Inc. | Consumer cyclicals | 1,880 | 203,352 | 1.80% |
| Oracle Corp. | Technology | 3,677 | 194,800 | 1.72% |
| Coca-Cola Co. (The) | Consumer staples | 3,400 | 188,173 | 1.66% |
| Comcast Corp. Class A | Communication services | 4,077 | 183,323 | 1.62% |
| Medtronic PLC | Health care | 1,461 | 165,739 | 1.46% |
| Johnson & Johnson | Health care | 1,037 | 151,207 | 1.34% |
| PepsiCo, Inc. | Consumer staples | 994 | 135,837 | 1.20% |
| Merck & Co., Inc. | Health care | 1,468 | 133,551 | 1.18% |
| Amgen, Inc. | Health care | 538 | 129,576 | 1.14% |
| Lockheed Martin Corp. | Capital goods | 327 | 127,191 | 1.12% |
| Honeywell International, Inc. | Capital goods | 707 | 125,223 | 1.11% |
| Booking Holdings, Inc. | Consumer cyclicals | 59 | 121,362 | 1.07% |
| Qualcomm, Inc. | Technology | 1,336 | 117,909 | 1.04% |
| ConocoPhillips | Energy | 1,777 | 115,558 | 1.02% |
| Starbucks Corp. | Consumer staples | 1,312 | 115,376 | 1.02% |
| Intuit, Inc. | Technology | 426 | 111,568 | 0.99% |
| Northrop Grumman Corp. | Capital goods | 310 | 106,572 | 0.94% |
| Walmart, Inc. | Consumer cyclicals | 888 | 105,533 | 0.93% |
| Lam Research Corp. | Technology | 336 | 98,129 | 0.87% |
| Union Pacific Corp. | Transportation | 530 | 95,853 | 0.85% |
| Mondelez International, Inc. Class A | Consumer staples | 1,733 | 95,430 | 0.84% |
| Abbott Laboratories | Health care | 1,082 | 93,977 | 0.83% |
| Delta Air Lines, Inc. | Transportation | 1,599 | 93,497 | 0.83% |
| MetLife, Inc. | Financials | 1,806 | 92,073 | 0.81% |
| Morgan Stanley | Financials | 1,789 | 91,463 | 0.81% |
| S&P Global, Inc. | Consumer cyclicals | 328 | 89,643 | 0.79% |
| Phillips 66 | Energy | 723 | 80,557 | 0.71% |
| Lowe’s Cos., Inc. | Consumer cyclicals | 666 | 79,812 | 0.71% |
| Exelon Corp. | Utilities and power | 1,731 | 78,905 | 0.70% |
| International Business Machines Corp. | Technology | 573 | 76,787 | 0.68% |
| Biogen, Inc. | Health care | 256 | 75,982 | 0.67% |
| Danaher Corp. | Conglomerates | 478 | 73,437 | 0.65% |
| eBay, Inc. | Technology | 2,023 | 73,054 | 0.65% |
| Ingersoll-Rand PLC | Capital goods | 526 | 69,929 | 0.62% |
| Cummins, Inc. | Capital goods | 390 | 69,766 | 0.62% |
| Kinder Morgan, Inc. | Utilities and power | 3,252 | 68,839 | 0.61% |
| Capital One Financial Corp. | Financials | 648 | 66,725 | 0.59% |
| Broadcom, Inc. | Technology | 205 | 64,840 | 0.57% |
| Waste Management, Inc. | Capital goods | 558 | 63,600 | 0.56% |
| |
| A BASKET (CGPUTQL2) OF COMMON STOCKS | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| Apple, Inc. | Technology | 1,068 | $313,607 | 2.82% |
| JPMorgan Chase & Co. | Financials | 2,113 | 294,497 | 2.65% |
| Microsoft Corp. | Technology | 1,745 | 275,261 | 2.48% |
| Alphabet, Inc. Class A | Technology | 203 | 272,029 | 2.45% |
| Verizon Communications, Inc. | Communication services | 4,164 | 255,644 | 2.30% |
| Medtronic PLC | Health care | 1,968 | 223,235 | 2.01% |
| Honeywell International, Inc. | Capital goods | 1,196 | 211,657 | 1.90% |
| Starbucks Corp. | Consumer staples | 2,282 | 200,634 | 1.80% |
| Texas Instruments, Inc. | Technology | 1,550 | 198,904 | 1.79% |
| Fidelity National Information Services, Inc. | Technology | 1,420 | 197,489 | 1.78% |
| Lockheed Martin Corp. | Capital goods | 506 | 197,167 | 1.77% |
| TJX Cos., Inc. (The) | Consumer cyclicals | 3,156 | 192,732 | 1.73% |
| |
| 20Putnam VT Multi-Asset Absolute Return Fund |
| | | | |
| A BASKET (CGPUTQL2) OF COMMON STOCKScont. | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| Automatic Data Processing, Inc. | Consumer cyclicals | 1,125 | $191,814 | 1.73% |
| Mondelez International, Inc. Class A | Consumer staples | 3,462 | 190,681 | 1.71% |
| U.S. Bancorp | Financials | 3,212 | 190,441 | 1.71% |
| Kinder Morgan, Inc. | Utilities and power | 8,387 | 177,559 | 1.60% |
| Walt Disney Co. (The) | Consumer cyclicals | 1,208 | 174,715 | 1.57% |
| Sysco Corp. | Consumer staples | 2,042 | 174,670 | 1.57% |
| Intuit, Inc. | Technology | 637 | 166,859 | 1.50% |
| Johnson & Johnson | Health care | 1,121 | 163,555 | 1.47% |
| Allstate Corp. (The) | Financials | 1,402 | 157,609 | 1.42% |
| Exelon Corp. | Utilities and power | 3,298 | 150,335 | 1.35% |
| Annaly Capital Management, Inc. | Financials | 15,879 | 149,582 | 1.35% |
| Waste Management, Inc. | Capital goods | 1,272 | 144,913 | 1.30% |
| Leidos Holdings, Inc. | Technology | 1,454 | 142,303 | 1.28% |
| DTE Energy Co. | Utilities and power | 1,095 | 142,148 | 1.28% |
| Intercontinental Exchange, Inc. | Financials | 1,526 | 141,196 | 1.27% |
| Omnicom Group, Inc. | Consumer cyclicals | 1,636 | 132,556 | 1.19% |
| Exxon Mobil Corp. | Energy | 1,893 | 132,062 | 1.19% |
| Amazon.com, Inc. | Consumer cyclicals | 70 | 130,100 | 1.17% |
| Cisco Systems, Inc. | Technology | 2,645 | 126,832 | 1.14% |
| Cognizant Technology Solutions Corp. Class A | Technology | 2,045 | 126,829 | 1.14% |
| Hershey Co. (The) | Consumer staples | 783 | 115,142 | 1.04% |
| Ross Stores, Inc. | Consumer cyclicals | 988 | 115,080 | 1.04% |
| Baxter International, Inc. | Health care | 1,332 | 111,386 | 1.00% |
| Merck & Co., Inc. | Health care | 1,209 | 109,969 | 0.99% |
| VICI Properties, Inc. | Financials | 4,255 | 108,710 | 0.98% |
| Pfizer, Inc. | Health care | 2,761 | 108,173 | 0.97% |
| Garmin, Ltd. | Technology | 1,095 | 106,868 | 0.96% |
| eBay, Inc. | Technology | 2,907 | 104,982 | 0.94% |
| AGNC Investment Corp. | Financials | 5,880 | 103,964 | 0.94% |
| Ingersoll-Rand PLC | Capital goods | 774 | 102,835 | 0.92% |
| Delta Air Lines, Inc. | Transportation | 1,755 | 102,625 | 0.92% |
| Procter & Gamble Co. (The) | Consumer staples | 805 | 100,501 | 0.90% |
| Take-Two Interactive Software, Inc. | Technology | 817 | 100,029 | 0.90% |
| Western Union Co. (The) | Technology | 3,734 | 99,998 | 0.90% |
| AutoZone, Inc. | Consumer cyclicals | 81 | 96,873 | 0.87% |
| Charter Communications, Inc. Class A | Communication services | 197 | 95,389 | 0.86% |
| Bristol-Myers Squibb Co. | Health care | 1,470 | 94,329 | 0.85% |
| Hologic, Inc. | Health care | 1,682 | 87,827 | 0.79% |
| |
| A BASKET (GSGLPW2L) OF COMMON STOCKS | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| 3i Group PLC (United Kingdom) | Financials | 5,528 | $80,412 | 0.80% |
| Enel SpA (Italy) | Utilities and power | 9,875 | 78,393 | 0.78% |
| Aristocrat Leisure, Ltd. (Australia) | Consumer cyclicals | 3,274 | 77,493 | 0.77% |
| Allianz SE (Germany) | Financials | 312 | 76,587 | 0.76% |
| Arkema SA (France) | Basic materials | 710 | 75,492 | 0.75% |
| Hitachi, Ltd. (Japan) | Capital goods | 1,761 | 74,959 | 0.75% |
| Shin-Etsu Chemical Co., Ltd. (Japan) | Basic materials | 664 | 73,742 | 0.73% |
| Shionogi & Co., Ltd. (Japan) | Health care | 1,184 | 73,722 | 0.73% |
| Partners Group Holding AG (Switzerland) | Financials | 80 | 73,123 | 0.73% |
| Hoya Corp. (Japan) | Technology | 759 | 72,947 | 0.73% |
| Aurizon Holdings, Ltd. (Australia) | Transportation | 19,266 | 70,829 | 0.70% |
| CSL, Ltd. (Australia) | Health care | 365 | 70,662 | 0.70% |
| Porsche Automobil Holding SE (Preference) (Germany) | Consumer cyclicals | 940 | 70,328 | 0.70% |
| Legal & General Group PLC (United Kingdom) | Financials | 17,406 | 69,868 | 0.70% |
| Rio Tinto PLC (United Kingdom) | Basic materials | 1,146 | 68,350 | 0.68% |
| |
| Putnam VT Multi-Asset Absolute Return Fund21 |
| | | | |
| A BASKET (GSGLPW2L) OF COMMON STOCKScont. | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| Roche Holding AG (Switzerland) | Health care | 208 | $67,470 | 0.67% |
| Swiss Life Holding AG (Switzerland) | Financials | 133 | 66,902 | 0.67% |
| Santos, Ltd. (Australia) | Energy | 11,607 | 66,743 | 0.66% |
| Coca-Cola HBC AG (Switzerland) | Consumer staples | 1,941 | 65,955 | 0.66% |
| Shinhan Financial Group Co., Ltd. (South Korea) | Financials | 1,756 | 65,828 | 0.65% |
| Cheung Kong Property Holdings, Ltd. (Hong Kong) | Financials | 8,970 | 64,757 | 0.64% |
| Peugeot SA (France) | Consumer cyclicals | 2,692 | 64,352 | 0.64% |
| Ashtead Group PLC (United Kingdom) | Consumer staples | 2,012 | 64,343 | 0.64% |
| Kering SA (France) | Consumer cyclicals | 98 | 64,050 | 0.64% |
| Telstra Corp., Ltd. (Australia) | Communication services | 25,369 | 63,129 | 0.63% |
| Dassault Systemes SA (France) | Technology | 383 | 62,957 | 0.63% |
| Legrand SA (France) | Capital goods | 763 | 62,231 | 0.62% |
| KDDI Corp. (Japan) | Communication services | 2,067 | 61,864 | 0.62% |
| Deutsche Boerse AG (Germany) | Financials | 393 | 61,809 | 0.62% |
| GlaxoSmithKline PLC (United Kingdom) | Health care | 2,575 | 60,693 | 0.60% |
| Hermes International (France) | Consumer cyclicals | 81 | 60,497 | 0.60% |
| Wolters Kluwer NV (Netherlands) | Consumer cyclicals | 828 | 60,444 | 0.60% |
| Goodman Group (Australia) | Financials | 6,396 | 60,114 | 0.60% |
| Samsung Electronics Co., Ltd. (South Korea) | Technology | 1,242 | 59,927 | 0.60% |
| Namco Bandai Holdings, Inc. (Japan) | Consumer cyclicals | 981 | 59,842 | 0.60% |
| BHP Billiton PLC (United Kingdom) | Basic materials | 2,533 | 59,630 | 0.59% |
| Obayashi Corp. (Japan) | Capital goods | 5,292 | 59,264 | 0.59% |
| Sandvik AB (Sweden) | Capital goods | 3,001 | 58,551 | 0.58% |
| West Japan Railway Co. (Japan) | Transportation | 669 | 58,132 | 0.58% |
| Carlsberg A/S Class B (Denmark) | Consumer staples | 388 | 57,856 | 0.58% |
| Unilever PLC (United Kingdom) | Consumer staples | 999 | 57,566 | 0.57% |
| Sumitomo Mitsui Trust Holdings, Inc. (Japan) | Financials | 1,428 | 56,983 | 0.57% |
| Persimmon PLC (United Kingdom) | Financials | 1,585 | 56,588 | 0.56% |
| Coca-Cola Amatil, Ltd. (Australia) | Consumer staples | 7,127 | 55,408 | 0.55% |
| Berkeley Group Holdings PLC (The) (United Kingdom) | Consumer cyclicals | 851 | 54,788 | 0.55% |
| Deutsche Telekom AG (Germany) | Communication services | 3,340 | 54,622 | 0.54% |
| Tosoh Corp. (Japan) | Basic materials | 3,500 | 54,595 | 0.54% |
| Koninklijke Ahold Delhaize NV (Netherlands) | Consumer staples | 2,161 | 54,093 | 0.54% |
| Sumitomo Mitsui Financial Group, Inc. (Japan) | Financials | 1,450 | 53,859 | 0.54% |
| Baloise Holding AG (Switzerland) | Financials | 297 | 53,706 | 0.53% |
| |
| A BASKET (GSGLPW2S) OF COMMON STOCKS | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| British Land Co., PLC (The) (United Kingdom) | Financials | 10,167 | $86,041 | 0.86% |
| St. James’s Place PLC (United Kingdom) | Financials | 5,466 | 84,323 | 0.84% |
| Galenica AG (Switzerland) | Health care | 454 | 82,871 | 0.83% |
| Accor SA (France) | Consumer cyclicals | 1,755 | 82,241 | 0.82% |
| Barclays PLC (United Kingdom) | Financials | 33,231 | 79,083 | 0.79% |
| Ferrovial SA (Spain) | Basic materials | 2,612 | 79,080 | 0.79% |
| Daimler AG (Germany) | Consumer cyclicals | 1,360 | 75,392 | 0.75% |
| Canon, Inc. (Japan) | Capital goods | 2,712 | 74,527 | 0.74% |
| EssilorLuxottica SA (France) | Health care | 489 | 74,510 | 0.74% |
| Takeda Pharmaceutical Co., Ltd. (Japan) | Health care | 1,823 | 72,668 | 0.72% |
| Weir Group PLC (The) (United Kingdom) | Capital goods | 3,633 | 72,659 | 0.72% |
| Japan Tobacco, Inc. (Japan) | Consumer staples | 3,217 | 72,011 | 0.72% |
| National Australia Bank, Ltd. (Australia) | Financials | 4,037 | 69,897 | 0.70% |
| Yaskawa Electric Corp. (Japan) | Technology | 1,798 | 68,974 | 0.69% |
| Deutsche Bank AG (Germany) | Financials | 8,883 | 68,968 | 0.69% |
| Commonwealth Bank of Australia (Australia) | Financials | 1,195 | 67,145 | 0.67% |
| Worldline SA (France) | Technology | 942 | 66,770 | 0.67% |
| MS&AD Insurance Group Holdings (Japan) | Financials | 1,997 | 66,340 | 0.66% |
| |
| 22Putnam VT Multi-Asset Absolute Return Fund |
| | | | |
| A BASKET (GSGLPW2S) OF COMMON STOCKScont. | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| Bunzl PLC (United Kingdom) | Consumer staples | 2,404 | $65,771 | 0.66% |
| Westpac Banking Corp. (Australia) | Financials | 3,854 | 65,641 | 0.65% |
| Intesa Sanpaolo SpA (Italy) | Financials | 24,353 | 64,199 | 0.64% |
| Air Liquide SA (France) | Basic materials | 441 | 62,479 | 0.62% |
| Compagnie Financiere Richemont SA (Switzerland) | Consumer cyclicals | 793 | 62,326 | 0.62% |
| RSA Insurance Group PLC (United Kingdom) | Financials | 8,234 | 61,699 | 0.62% |
| LafargeHolcim, Ltd. (Switzerland) | Basic materials | 1,090 | 60,463 | 0.60% |
| Siemens AG (Germany) | Conglomerates | 453 | 59,298 | 0.59% |
| Aeon Co., Ltd. (Japan) | Consumer cyclicals | 2,788 | 57,871 | 0.58% |
| Nissan Motor Co., Ltd. (Japan) | Consumer cyclicals | 9,819 | 57,473 | 0.57% |
| S-Oil Corp. (South Korea) | Energy | 689 | 56,744 | 0.57% |
| Julius Baer Group, Ltd. (Switzerland) | Financials | 1,096 | 56,517 | 0.56% |
| Assicurazioni Generali SpA (Italy) | Financials | 2,726 | 56,281 | 0.56% |
| Check Point Software Technologies, Ltd. (Israel) | Technology | 500 | 55,521 | 0.55% |
| Chunghwa Telecom Co., Ltd. (Taiwan) | Communication services | 15,025 | 55,133 | 0.55% |
| Nidec Corp. (Japan) | Technology | 399 | 55,099 | 0.55% |
| Hyundai Heavy Industries Co., Ltd. (South Korea) | Capital goods | 502 | 54,900 | 0.55% |
| Hong Kong & China Gas Co., Ltd. (Hong Kong) | Utilities and power | 28,003 | 54,699 | 0.55% |
| Odakyu Electric Railway Co., Ltd. (Japan) | Transportation | 2,326 | 54,589 | 0.54% |
| FANUC Corp. (Japan) | Technology | 291 | 54,368 | 0.54% |
| Swiss Prime Site AG (Switzerland) | Financials | 465 | 53,777 | 0.54% |
| LG Chemical, Ltd. (South Korea) | Basic materials | 195 | 53,632 | 0.53% |
| Yamato Holdings Co., Ltd. (Japan) | Transportation | 3,052 | 52,430 | 0.52% |
| Seiko Epson Corp. (Japan) | Technology | 3,409 | 51,916 | 0.52% |
| Nippon Steel Corp. (Japan) | Basic materials | 3,373 | 51,339 | 0.51% |
| voestalpine AG (Austria) | Basic materials | 1,832 | 51,117 | 0.51% |
| Transurban Group (Units) (Australia) | Transportation | 4,797 | 50,279 | 0.50% |
| Pernod Ricard SA (France) | Consumer staples | 280 | 50,065 | 0.50% |
| Kansai Paint Co., Ltd. (Japan) | Basic materials | 2,030 | 50,013 | 0.50% |
| Yamaha Motor Co., Ltd. (Japan) | Consumer cyclicals | 2,463 | 49,934 | 0.50% |
| AIA Group, Ltd. (Hong Kong) | Financials | 4,738 | 49,741 | 0.50% |
| Danone SA (France) | Consumer staples | 598 | 49,589 | 0.49% |
| |
| A BASKET (GSGLPWDL) OF COMMON STOCKS | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| National Bank of Canada (Canada) | Financials | 1,306 | $72,480 | 0.67% |
| Muenchener Rueckversicherungs-Gesellschaft AG in | Financials | 244 | 71,869 | 0.67% |
| Muenchen (Germany) | | | | |
| Partners Group Holding AG (Switzerland) | Financials | 78 | 71,335 | 0.66% |
| Xcel Energy, Inc. | Utilities and power | 1,113 | 70,687 | 0.66% |
| AMETEK, Inc. | Conglomerates | 707 | 70,559 | 0.65% |
| OGE Energy Corp. | Utilities and power | 1,584 | 70,426 | 0.65% |
| Paychex, Inc. | Technology | 824 | 70,075 | 0.65% |
| Omnicom Group, Inc. | Consumer cyclicals | 862 | 69,848 | 0.65% |
| Mitsubishi UFJ Financial Group, Inc. (Japan) | Financials | 12,694 | 69,303 | 0.64% |
| Aena SME SA (Spain) | Transportation | 362 | 69,266 | 0.64% |
| Ingersoll-Rand PLC | Capital goods | 520 | 69,119 | 0.64% |
| Citrix Systems, Inc. | Technology | 621 | 68,885 | 0.64% |
| Swisscom AG (Switzerland) | Communication services | 130 | 68,881 | 0.64% |
| WEC Energy Group, Inc. | Utilities and power | 741 | 68,366 | 0.63% |
| Ageas (Belgium) | Financials | 1,155 | 68,224 | 0.63% |
| Sumitomo Mitsui Financial Group, Inc. (Japan) | Financials | 1,828 | 67,935 | 0.63% |
| Swiss Life Holding AG (Switzerland) | Financials | 133 | 66,751 | 0.62% |
| Porsche Automobil Holding SE (Preference) (Germany) | Consumer cyclicals | 888 | 66,373 | 0.62% |
| Toronto-Dominion Bank (Canada) | Financials | 1,177 | 66,030 | 0.61% |
| Royal Bank of Canada (Canada) | Financials | 829 | 65,589 | 0.61% |
| |
| Putnam VT Multi-Asset Absolute Return Fund23 |
| | | | |
| A BASKET (GSGLPWDL) OF COMMON STOCKScont. | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| Eni SpA (Italy) | Utilities and power | 4,193 | $65,118 | 0.60% |
| Canadian Imperial Bank of Commerce (Canada) | Financials | 782 | 65,045 | 0.60% |
| Mitsubishi Heavy Industries, Ltd. (Japan) | Capital goods | 1,652 | 64,593 | 0.60% |
| Cummins, Inc. | Capital goods | 355 | 63,454 | 0.59% |
| Givaudan SA (Switzerland) | Basic materials | 20 | 62,386 | 0.58% |
| Diageo PLC (United Kingdom) | Consumer staples | 1,465 | 62,121 | 0.58% |
| Comcast Corp. Class A | Communication services | 1,374 | 61,808 | 0.57% |
| Sun Life Financial, Inc. (Canada) | Financials | 1,338 | 60,987 | 0.57% |
| Expeditors International of Washington, Inc. | Transportation | 778 | 60,675 | 0.56% |
| Raymond James Financial, Inc. | Financials | 669 | 59,885 | 0.56% |
| Automatic Data Processing, Inc. | Consumer cyclicals | 351 | 59,869 | 0.56% |
| Mizuho Financial Group, Inc. (Japan) | Financials | 38,183 | 59,144 | 0.55% |
| MTU Aero Engines AG (Germany) | Capital goods | 202 | 57,677 | 0.54% |
| Roper Technologies, Inc. | Capital goods | 163 | 57,580 | 0.53% |
| Sumitomo Mitsui Trust Holdings, Inc. (Japan) | Financials | 1,430 | 57,084 | 0.53% |
| NN Group NV (Netherlands) | Financials | 1,467 | 55,649 | 0.52% |
| Halma PLC (United Kingdom) | Technology | 1,985 | 55,633 | 0.52% |
| Red Electrica Corporacion SA (Spain) | Utilities and power | 2,746 | 55,207 | 0.51% |
| CGI Group, Inc. Class A (Canada) | Technology | 655 | 54,849 | 0.51% |
| Endesa SA (Spain) | Utilities and power | 2,055 | 54,827 | 0.51% |
| Repsol SA (Spain) | Energy | 3,467 | 54,173 | 0.50% |
| Expedia, Inc. | Consumer cyclicals | 501 | 54,128 | 0.50% |
| Booking Holdings, Inc. | Consumer cyclicals | 26 | 53,745 | 0.50% |
| Baloise Holding AG (Switzerland) | Financials | 296 | 53,577 | 0.50% |
| Air Liquide SA (France) | Basic materials | 377 | 53,371 | 0.50% |
| Rio Tinto PLC (United Kingdom) | Basic materials | 876 | 52,229 | 0.48% |
| Legrand SA (France) | Capital goods | 638 | 52,021 | 0.48% |
| People’s United Financial, Inc. | Financials | 3,024 | 51,109 | 0.47% |
| Hershey Co. (The) | Consumer staples | 345 | 50,709 | 0.47% |
| AGNC Investment Corp. | Financials | 2,840 | 50,213 | 0.47% |
| |
| A BASKET (GSGLPWDS) OF COMMON STOCKS | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| Fortis, Inc. (Canada) | Utilities and power | 1,546 | $64,159 | 0.63% |
| American Tower Corp. | Communication services | 278 | 63,839 | 0.63% |
| Zurich Insurance Group AG (Switzerland) | Financials | 155 | 63,488 | 0.63% |
| AIA Group, Ltd. (Hong Kong) | Financials | 5,964 | 62,612 | 0.62% |
| DBS Group Holdings, Ltd. (Singapore) | Financials | 3,251 | 62,560 | 0.62% |
| Markel Corp. | Financials | 54 | 61,654 | 0.61% |
| ABB, Ltd. (Switzerland) | Capital goods | 2,476 | 59,791 | 0.59% |
| Camden Property Trust | Financials | 561 | 59,482 | 0.59% |
| Daimler AG (Germany) | Consumer cyclicals | 1,069 | 59,190 | 0.59% |
| Autodesk, Inc. | Technology | 319 | 58,517 | 0.58% |
| Credit Agricole SA (France) | Financials | 4,001 | 58,005 | 0.57% |
| Panasonic Corp. (Japan) | Consumer cyclicals | 6,061 | 57,432 | 0.57% |
| Liberty Media Corp.-Liberty Formula One Class C | Consumer cyclicals | 1,238 | 56,892 | 0.56% |
| American Express Co. | Financials | 456 | 56,791 | 0.56% |
| Alexandria Real Estate Equities, Inc. | Financials | 346 | 55,944 | 0.55% |
| Fidelity National Information Services, Inc. | Technology | 398 | 55,313 | 0.55% |
| International Business Machines Corp. | Technology | 409 | 54,787 | 0.54% |
| ANA Holdings, Inc. (Japan) | Transportation | 1,629 | 54,615 | 0.54% |
| Accor SA (France) | Consumer cyclicals | 1,165 | 54,557 | 0.54% |
| Crown Castle International Corp. | Communication services | 383 | 54,452 | 0.54% |
| Credit Suisse Group AG (Switzerland) | Financials | 3,937 | 53,314 | 0.53% |
| Entergy Corp. | Utilities and power | 440 | 52,767 | 0.52% |
| Waste Connections, Inc. | Capital goods | 581 | 52,726 | 0.52% |
| |
| 24Putnam VT Multi-Asset Absolute Return Fund |
| | | | |
| A BASKET (GSGLPWDS) OF COMMON STOCKScont. | | | | |
| | | | | Percentage |
| Common stocks | Sector | Shares | Value | value |
| Svenska Handelsbanken AB (Sweden) | Financials | 4,770 | $51,384 | 0.51% |
| NiSource, Inc. | Utilities and power | 1,817 | 50,597 | 0.50% |
| FirstEnergy Corp. | Utilities and power | 1,040 | 50,524 | 0.50% |
| Microchip Technology, Inc. | Technology | 478 | 50,033 | 0.49% |
| Prologis, Inc. | Financials | 545 | 48,601 | 0.48% |
| Wells Fargo & Co. | Financials | 898 | 48,299 | 0.48% |
| Alliant Energy Corp. | Utilities and power | 878 | 48,019 | 0.47% |
| Becton Dickinson and Co. | Health care | 173 | 47,174 | 0.47% |
| Delivery Hero Holding GmbH (Germany) | Consumer staples | 596 | 47,155 | 0.47% |
| Archer-Daniels-Midland Co. | Basic materials | 1,014 | 47,016 | 0.46% |
| MS&AD Insurance Group Holdings (Japan) | Financials | 1,413 | 46,974 | 0.46% |
| SBA Communications Corp. | Communication services | 194 | 46,696 | 0.46% |
| Sensata Technologies Holding PLC | Technology | 866 | 46,646 | 0.46% |
| Xylem, Inc. | Capital goods | 591 | 46,543 | 0.46% |
| Macquarie Group, Ltd. (Australia) | Financials | 475 | 45,930 | 0.45% |
| Abbott Laboratories | Health care | 526 | 45,710 | 0.45% |
| Coca-Cola Co. (The) | Consumer staples | 823 | 45,535 | 0.45% |
| Equinix, Inc. | Communication services | 78 | 45,417 | 0.45% |
| AstraZeneca PLC (United Kingdom) | Health care | 448 | 45,126 | 0.45% |
| Caterpillar, Inc. | Capital goods | 304 | 44,861 | 0.44% |
| Equifax, Inc. | Consumer cyclicals | 319 | 44,656 | 0.44% |
| Southern Co. (The) | Utilities and power | 701 | 44,645 | 0.44% |
| Arthur J. Gallagher & Co. | Financials | 468 | 44,548 | 0.44% |
| Nordea Bank ABP (Finland) | Financials | 5,483 | 44,276 | 0.44% |
| Boston Scientific Corp. | Health care | 977 | 44,160 | 0.44% |
| Telefonica SA (Spain) | Communication services | 6,240 | 43,585 | 0.43% |
| GoDaddy, Inc. Class A | Technology | 638 | 43,315 | 0.43% |
| | | | | | | |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/19 | | | | |
| | | Upfront | | | | | |
| | | premium | | | Termi- | | Unrealized |
| Swap counterparty/ | | received | Notional | | nation | Payments | appreciation/ |
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | received by fund | (depreciation) |
| Bank of America N.A. | | | | | | | |
| CMBX NA BBB–.6 Index | BBB–/P | $68 | $1,000 | $51 | 5/11/63 | 300 bp — Monthly | $18 |
| CMBX NA BBB–.6 Index | BBB–/P | 121 | 2,000 | 102 | 5/11/63 | 300 bp — Monthly | 20 |
| CMBX NA BBB–.6 Index | BBB–/P | 247 | 4,000 | 204 | 5/11/63 | 300 bp — Monthly | 45 |
| CMBX NA BBB–.6 Index | BBB–/P | 228 | 4,000 | 204 | 5/11/63 | 300 bp — Monthly | 26 |
| Barclays Bank PLC | | | | | | | |
| CMBX NA BBB–.6 Index | BBB–/P | 887 | 8,000 | 409 | 5/11/63 | 300 bp — Monthly | 483 |
| CMBX NA BBB–.7 Index | BBB–/P | 141 | 25,000 | 115 | 1/17/47 | 300 bp — Monthly | 270 |
| Citigroup Global Markets, Inc. | | | | | | | |
| CMBX NA BB.6 Index | BB–/P | 3,570 | 17,000 | 1,924 | 5/11/63 | 500 bp — Monthly | 1,662 |
| CMBX NA BB.7 Index | BB/P | 1,087 | 9,000 | 346 | 1/17/47 | 500 bp — Monthly | 750 |
| CMBX NA BBB–.6 Index | BBB–/P | 1,403 | 15,000 | 767 | 5/11/63 | 300 bp — Monthly | 645 |
| CMBX NA BBB–.6 Index | BBB–/P | 36,169 | 382,000 | 19,520 | 5/11/63 | 300 bp — Monthly | 16,872 |
| Credit Suisse International | | | | | | | |
| CMBX NA A.6 Index | A/P | (32) | 29,000 | 450 | 5/11/63 | 200 bp — Monthly | 429 |
| CMBX NA BBB–.6 Index | BBB–/P | 74,418 | 792,000 | 40,471 | 5/11/63 | 300 bp — Monthly | 34,409 |
| CMBX NA BBB–.7 Index | BBB–/P | 12,861 | 174,000 | 800 | 1/17/47 | 300 bp — Monthly | 13,763 |
| CMBX NA BBB–.7 Index | BBB–/P | 3,952 | 50,000 | 230 | 1/17/47 | 300 bp — Monthly | 4,211 |
| Goldman Sachs International | | | | | | | |
| CMBX NA A.6 Index | A/P | 3,977 | 62,000 | 961 | 5/11/63 | 200 bp — Monthly | 4,962 |
| CMBX NA A.6 Index | A/P | 1,018 | 20,000 | 310 | 5/11/63 | 200 bp — Monthly | 1,336 |
| CMBX NA A.6 Index | A/P | 419 | 8,000 | 124 | 5/11/63 | 200 bp — Monthly | 546 |
| CMBX NA A.6 Index | A/P | 309 | 6,000 | 93 | 5/11/63 | 200 bp — Monthly | 404 |
| CMBX NA BBB–.6 Index | BBB–/P | 260 | 3,000 | 153 | 5/11/63 | 300 bp — Monthly | 108 |
| |
| Putnam VT Multi-Asset Absolute Return Fund25 |
| | | | | | | |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/19cont. | | | | |
| | | Upfront | | | | | |
| | | premium | | | Termi- | | Unrealized |
| Swap counterparty/ | | received | Notional | | nation | Payments | appreciation/ |
| Referenced debt* | Rating*** | (paid)** | amount | Value | date | received by fund | (depreciation) |
| Goldman Sachs Internationalcont. | | | | | | |
| CMBX NA BBB–.6 Index | BBB–/P | $259 | $3,000 | $153 | 5/11/63 | 300 bp — Monthly | $108 |
| CMBX NA BBB–.6 Index | BBB–/P | 422 | 5,000 | 256 | 5/11/63 | 300 bp — Monthly | 169 |
| CMBX NA BBB–.6 Index | BBB–/P | 661 | 6,000 | 307 | 5/11/63 | 300 bp — Monthly | 358 |
| CMBX NA BBB–.6 Index | BBB–/P | 365 | 7,000 | 358 | 5/11/63 | 300 bp — Monthly | 12 |
| CMBX NA BBB–.6 Index | BBB–/P | 591 | 7,000 | 358 | 5/11/63 | 300 bp — Monthly | 237 |
| CMBX NA BBB–.6 Index | BBB–/P | 633 | 8,000 | 409 | 5/11/63 | 300 bp — Monthly | 229 |
| CMBX NA BBB–.6 Index | BBB–/P | 435 | 9,000 | 460 | 5/11/63 | 300 bp — Monthly | (19) |
| CMBX NA BBB–.6 Index | BBB–/P | 990 | 9,000 | 460 | 5/11/63 | 300 bp — Monthly | 536 |
| CMBX NA BBB–.6 Index | BBB–/P | 1,218 | 10,000 | 511 | 5/11/63 | 300 bp — Monthly | 712 |
| CMBX NA BBB–.6 Index | BBB–/P | 1,160 | 14,000 | 715 | 5/11/63 | 300 bp — Monthly | 453 |
| CMBX NA BBB–.6 Index | BBB–/P | 1,671 | 15,000 | 767 | 5/11/63 | 300 bp — Monthly | 914 |
| CMBX NA BBB–.6 Index | BBB–/P | 2,221 | 16,000 | 818 | 5/11/63 | 300 bp — Monthly | 1,413 |
| CMBX NA BBB–.6 Index | BBB–/P | 1,090 | 16,000 | 818 | 5/11/63 | 300 bp — Monthly | 282 |
| CMBX NA BBB–.6 Index | BBB–/P | 878 | 18,000 | 920 | 5/11/63 | 300 bp — Monthly | (32) |
| CMBX NA BBB–.6 Index | BBB–/P | 2,923 | 27,000 | 1,380 | 5/11/63 | 300 bp — Monthly | 1,559 |
| CMBX NA BBB–.6 Index | BBB–/P | 3,376 | 36,000 | 1,840 | 5/11/63 | 300 bp — Monthly | 1,558 |
| CMBX NA BBB–.6 Index | BBB–/P | 4,360 | 58,000 | 2,964 | 5/11/63 | 300 bp — Monthly | 1,430 |
| CMBX NA BBB–.7 Index | BBB–/P | 1,478 | 20,000 | 92 | 1/17/47 | 300 bp — Monthly | 1,582 |
| CMBX NA BBB–.7 Index | BBB–/P | 1,448 | 17,000 | 78 | 1/17/47 | 300 bp — Monthly | 1,536 |
| CMBX NA BBB–.7 Index | BBB–/P | 695 | 8,000 | 37 | 1/17/47 | 300 bp — Monthly | 737 |
| JPMorgan Securities LLC | | | | | | | |
| CMBX NA BBB–.6 Index | BBB–/P | 100,016 | 756,000 | 38,632 | 5/11/63 | 300 bp — Monthly | 61,824 |
| Merrill Lynch International | | | | | | | |
| CMBX NA BBB–.6 Index | BBB–/P | 17,055 | 191,000 | 9,760 | 5/11/63 | 300 bp — Monthly | 7,406 |
| Morgan Stanley & Co. International PLC | | | | | | |
| CMBX NA BBB–.6 Index | BBB–/P | 5,256 | 38,000 | 1,942 | 5/11/63 | 300 bp — Monthly | 3,337 |
| CMBX NA BBB–.6 Index | BBB–/P | 229 | 2,000 | 102 | 5/11/63 | 300 bp — Monthly | 128 |
| CMBX NA BBB–.6 Index | BBB–/P | 1,720 | 12,000 | 613 | 5/11/63 | 300 bp — Monthly | 1,114 |
| CMBX NA BBB–.6 Index | BBB–/P | 1,379 | 13,000 | 664 | 5/11/63 | 300 bp — Monthly | 722 |
| Upfront premium received | | 293,664 | Unrealized appreciation | | | 169,315 |
| Upfront premium (paid) | | (32) | Unrealized (depreciation) | | | (51) |
| Total | | $293,632 | Total | | | | $169,264 |
* 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 December 31, 2019. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| | | | | | |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/19 | | | | |
| | Upfront | | | | | |
| | premium | | | Termi- | Payments | Unrealized |
| Swap counterparty/ | received | Notional | | nation | (paid) | appreciation/ |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc. | | | | | | |
| CMBX NA BB.10 Index | $(329) | $3,000 | $176 | 11/17/59 | (500 bp) — Monthly | $(156) |
| CMBX NA BB.10 Index | (313) | 3,000 | 176 | 11/17/59 | (500 bp) — Monthly | (140) |
| CMBX NA BB.11 Index | (1,166) | 9,000 | 484 | 11/18/54 | (500 bp) — Monthly | (691) |
| CMBX NA BB.11 Index | (283) | 3,000 | 161 | 11/18/54 | (500 bp) — Monthly | (124) |
| CMBX NA BB.8 Index | (176) | 1,000 | 114 | 10/17/57 | (500 bp) — Monthly | (62) |
| CMBX NA BB.9 Index | (3,716) | 36,000 | 1,498 | 9/17/58 | (500 bp) — Monthly | (2,253) |
| Credit Suisse International | | | | | | |
| CMBX NA BB.10 Index | (801) | 6,000 | 352 | 11/17/59 | (500 bp) — Monthly | (455) |
| CMBX NA BB.10 Index | (714) | 6,000 | 352 | 11/17/59 | (500 bp) — Monthly | (368) |
| CMBX NA BB.7 Index | (300) | 17,000 | 1,924 | 5/11/63 | (500 bp) — Monthly | 1,608 |
| |
| 26Putnam VT Multi-Asset Absolute Return Fund |
| | | | | | |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/19cont. | | | | |
| | Upfront | | | | | |
| | premium | | | Termi- | Payments | Unrealized |
| Swap counterparty/ | received | Notional | | nation | (paid) | appreciation/ |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| Credit Suisse Internationalcont. | | | | | | |
| CMBX NA BB.8 Index | $(175) | $1,000 | $114 | 10/17/57 | (500 bp) — Monthly | $(62) |
| CMBX NA BB.9 Index | (1,504) | 15,000 | 624 | 9/17/58 | (500 bp) — Monthly | (894) |
| Goldman Sachs International | | | | | | |
| CMBX NA BB.7 Index | (605) | 4,000 | 154 | 1/17/47 | (500 bp) — Monthly | (456) |
| CMBX NA BB.7 Index | (10,144) | 60,000 | 2,304 | 1/17/47 | (500 bp) — Monthly | (7,899) |
| CMBX NA BB.7 Index | (3,286) | 18,000 | 691 | 1/17/47 | (500 bp) — Monthly | (2,612) |
| CMBX NA BB.9 Index | (357) | 3,000 | 125 | 9/17/58 | (500 bp) — Monthly | (235) |
| CMBX NA BB.9 Index | (361) | 3,000 | 125 | 9/17/58 | (500 bp) — Monthly | (239) |
| JPMorgan Securities LLC | | | | | | |
| CMBX NA BB.7 Index | (127) | 1,000 | 38 | 1/17/47 | (500 bp) — Monthly | (89) |
| CMBX NA BBB–.7 Index | (7,171) | 189,000 | 869 | 1/17/47 | (300 bp) — Monthly | (8,152) |
| Merrill Lynch International | | | | | | |
| CMBX NA BB.10 Index | (316) | 3,000 | 176 | 11/17/59 | (500 bp) — Monthly | (143) |
| CMBX NA BB.10 Index | (357) | 3,000 | 176 | 11/17/59 | (500 bp) — Monthly | (184) |
| CMBX NA BB.9 Index | (19) | 9,000 | 374 | 9/17/58 | (500 bp) — Monthly | 346 |
| Morgan Stanley & Co. International PLC | | | | | | |
| CMBX NA BBB–.7 Index | (3,870) | 38,000 | 175 | 1/17/47 | (300 bp) — Monthly | (4,069) |
| CMBX NA BB.10 Index | (315) | 3,000 | 176 | 11/17/59 | (500 bp) — Monthly | (142) |
| CMBX NA BB.9 Index | (728) | 6,000 | 250 | 9/17/58 | (500 bp) — Monthly | (484) |
| CMBX NA BB.9 Index | (364) | 3,000 | 125 | 9/17/58 | (500 bp) — Monthly | (242) |
| Upfront premium received | — | | Unrealized appreciation | | 1,954 |
| Upfront premium (paid) | (37,497) | | Unrealized (depreciation) | (30,151) |
| Total | $(37,497) | | Total | | | $(28,197) |
* 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.
| | | | | | |
| CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/19 | | |
| |
| | Upfront | | | | | |
| | premium | | | Termi- | Payments | Unrealized |
| | received | Notional | | nation | (paid) | appreciation/ |
| Referenced debt* | (paid)** | amount | Value | date | by fund | (depreciation) |
| NA HY Series 33 Index | $109,487 | $1,625,580 | $156,600 | 12/20/24 | (500 bp) — Quarterly | $(49,824) |
| |
| Total | $109,487 | | | | | $(49,824) |
* 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 Multi-Asset Absolute Return Fund27 |
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 |
| Common stocks*: | | | |
| Basic materials | $416,211 | $278,529 | $— |
| Capital goods | — | 245,564 | — |
| Communication services | 122,419 | 96,190 | — |
| Consumer cyclicals | 266,996 | 399,786 | — |
| Consumer staples | 219,515 | 243,427 | — |
| Energy | 253,591 | 81,210 | — |
| Financials | 883,340 | 637,773 | — |
| Health care | 50,412 | 122,944 | — |
| Technology | 540,581 | 1,062,153 | — |
| Transportation | 18,957 | 50,820 | — |
| Utilities and power | 207,665 | 5,559 | — |
| Total common stocks | 2,979,687 | 3,223,955 | — |
| Asset-backed securities | — | 136,000 | — |
| Commodity linked notes | — | 2,108,062 | — |
| Corporate bonds and notes | — | 112,583 | — |
| Foreign government and agency bonds and notes | — | 169,861 | — |
| Investment companies | 2,593,006 | — | — |
| Mortgage-backed securities | — | 1,611,624 | — |
| Preferred stocks | 51,888 | — | — |
| Purchased options outstanding | — | 57,885 | — |
| Purchased swap options outstanding | — | 2,187 | — |
| U.S. government and agency mortgage obligations | — | 3,083,437 | — |
| Warrants | — | 576,328 | — |
| Short-term investments | 6,315,849 | 8,102,383 | — |
| Totals by level | $11,940,430 | $19,184,305 | $— |
| |
| | | Valuation inputs | |
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
| Forward currency contracts | $— | $(2,891) | $— |
| Futures contracts | (144,510) | — | — |
| Written options outstanding | — | (2,312) | — |
| Forward premium swap option contracts | — | (665) | — |
| Interest rate swap contracts | — | 24,120 | — |
| Total return swap contracts | — | (334,744) | — |
| Credit default contracts | — | (274,379) | — |
| Totals by level | $(144,510) | $(590,871) | $— |
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
The accompanying notes are an integral part of these financial statements.
| |
| 28Putnam VT Multi-Asset Absolute Return Fund |
Statement of assets and liabilities
12/31/19
| |
| Assets | |
| Investment in securities, at value, including $973,262 of securities on loan (Notes 1 and 8): | |
| Unaffiliated issuers (identified cost $20,195,187) | $21,405,466 |
| Affiliated issuers (identified cost $7,307,269) (Notes 1 and 5) | 7,307,269 |
| Repurchase agreements (identified cost $2,412,000) | 2,412,000 |
| Cash | 1,058 |
| Foreign currency (cost $1,046) (Note 1) | 1,070 |
| Dividends, interest and other receivables | 106,639 |
| Receivable for shares of the fund sold | 5,372 |
| Receivable for investments sold | 1,007 |
| Receivable from Manager (Note 2) | 18,035 |
| Receivable for variation margin on futures contracts (Note 1) | 4,370 |
| Unrealized appreciation on forward premium swap option contracts (Note 1) | 431 |
| Unrealized appreciation on forward currency contracts (Note 1) | 76,179 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 563,803 |
| Premium paid on OTC swap contracts (Note 1) | 37,529 |
| Total assets | 31,940,228 |
| |
| Liabilities | |
| Payable for purchases of TBA securities (Note 1) | 3,084,885 |
| Payable for shares of the fund repurchased | 90,197 |
| Payable for custodian fees (Note 2) | 67,239 |
| Payable for investor servicing fees (Note 2) | 3,091 |
| Payable for Trustee compensation and expenses (Note 2) | 3,065 |
| Payable for administrative services (Note 2) | 257 |
| Payable for distribution fees (Note 2) | 5,584 |
| Payable for variation margin on futures contracts (Note 1) | 20,588 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 757,480 |
| Premium received on OTC swap contracts (Note 1) | 293,664 |
| Unrealized depreciation on forward currency contracts (Note 1) | 79,070 |
| Unrealized depreciation on forward premium swap option contracts (Note 1) | 1,096 |
| Written options outstanding, at value (premiums $2,301) (Note 1) | 2,312 |
| Collateral on securities loaned, at value (Note 1) | 991,420 |
| Other accrued expenses | 88,483 |
| Total liabilities | 5,488,431 |
| | |
| Net assets | $26,451,797 |
| |
| Represented by | |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $26,073,514 |
| Total distributable earnings (Note 1) | 378,283 |
| Total — Representing net assets applicable to capital shares outstanding | $26,451,797 |
| | |
| Computation of net asset value Class IA | |
| Net assets | $69,279 |
| Number of shares outstanding | 6,807 |
| Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) | $10.18 |
| | |
| Computation of net asset value Class IB | |
| Net assets | $26,382,518 |
| Number of shares outstanding | 2,631,489 |
| Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) | $10.03 |
The accompanying notes are an integral part of these financial statements.
| |
| Putnam VT Multi-Asset Absolute Return Fund29 |
Statement of operations
Year ended 12/31/19
| |
| Investment income | |
| Interest (net of foreign tax of $17 ) (including interest income of $140,453 from investments in affiliated issuers) (Note 5) | $481,584 |
| Dividends (net of foreign tax of $28,016) | 309,084 |
| Securities lending (net of expenses) (Notes 1 and 5) | 3,006 |
| Total investment income | 793,674 |
| |
| Expenses | |
| Compensation of Manager (Note 2) | 198,872 |
| Investor servicing fees (Note 2) | 19,343 |
| Custodian fees (Note 2) | 51,220 |
| Trustee compensation and expenses (Note 2) | 1,227 |
| Distribution fees (Note 2) | 69,041 |
| Administrative services (Note 2) | 789 |
| Auditing and tax fees | 81,579 |
| Other | 20,640 |
| Fees waived and reimbursed by Manager (Note 2) | (124,616) |
| Total expenses | 318,095 |
| | |
| Expense reduction (Note 2) | (1,718) |
| Net expenses | 316,377 |
| | |
| Net investment income | 477,297 |
| | |
| Realized and unrealized gain (loss) | |
| Net realized gain (loss) on: | |
| Securities from unaffiliated issuers (Notes 1 and 3) | 211,682 |
| Foreign currency transactions (Note 1) | (3,938) |
| Forward currency contracts (Note 1) | (91,135) |
| Futures contracts (Note 1) | 812,291 |
| Swap contracts (Note 1) | (192,088) |
| Written options (Note 1) | (282) |
| Total net realized gain | 736,530 |
| Change in net unrealized appreciation (depreciation) on: | |
| Securities from unaffiliated issuers | 1,198,240 |
| Assets and liabilities in foreign currencies | (33) |
| Forward currency contracts | 69,681 |
| Futures contracts | (419,290) |
| Swap contracts | (459,029) |
| Written options | (3,732) |
| Total change in net unrealized appreciation | 385,837 |
| | |
| Net gain on investments | 1,122,367 |
| | |
| Net increase in net assets resulting from operations | $1,599,664 |
The accompanying notes are an integral part of these financial statements.
| |
| 30Putnam VT Multi-Asset Absolute Return Fund |
| | |
| Statement of changes in net assets | | |
| | Year ended | Year ended |
| | 12/31/19 | 12/31/18 |
| Decrease in net assets | | |
| Operations: | | |
| Net investment income | $477,297 | $372,406 |
| Net realized gain (loss) on investments and foreign currency transactions | 736,530 | (2,434,710) |
| Change in net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies | 385,837 | (343,233) |
| Net increase (decrease) in net assets resulting from operations | 1,599,664 | (2,405,537) |
| Distributions to shareholders (Note 1): | | |
| From ordinary income | | |
| Net investment income | | |
| Class IA | — | (103) |
| Class IB | — | (98,131) |
| From net realized long-term gain on investments | | |
| Class IA | — | (723) |
| Class IB | — | (1,185,023) |
| From return of capital | | |
| Class IA | — | (36) |
| Class IB | — | (45,771) |
| Decrease from capital share transactions (Note 4) | (2,519,447) | (2,133,707) |
| Total decrease in net assets | (919,783) | (5,869,031) |
| Net assets: | | |
| Beginning of year | 27,371,580 | 33,240,611 |
| End of year | $26,451,797 | $27,371,580 |
The accompanying notes are an integral part of these financial statements.
| |
| Putnam VT Multi-Asset Absolute Return Fund31 |
| | | | | | | | | | | | | | |
| 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 | | | | | | | | | | | | | | |
| 12/31/19 | $9.61 | .22 | .35 | .57 | — | — | — | — | $10.18 | 5.93 | $69 | .90 | 2.17 | 476 |
| 12/31/18 | 10.88 | .15 | (.95) | (.80) | (.06) | (.39) | (.02) | (.47) | 9.61 | (7.57) | 12 | .90 | 1.45 | 449 |
| 12/31/17 | 10.15 | .10 | .63 | .73 | — | — | — | — | 10.88 | 7.19 | 20 | .90 | .98 | 576 |
| 12/31/16 | 10.46 | .09 | — | .09 | (.38) | — | (.02) | (.40) | 10.15 | .93 | 11 | .90 | .86 | 503 |
| 12/31/15 | 10.78 | .06 | (.08) | (.02) | (.04) | (.26) | — | (.30) | 10.46 | (.22) | 21 | .90 | .58 | 520 |
| Class IB | | | | | | | | | | | | | | |
| 12/31/19 | $9.47 | .17 | .39 | .56 | — | — | — | — | $10.03 | 5.91 | $26,383 | 1.15 | 1.73 | 476 |
| 12/31/18 | 10.73 | .12 | (.94) | (.82) | (.03) | (.39) | (.02) | (.44) | 9.47 | (7.84) | 27,359 | 1.15 | 1.22 | 449 |
| 12/31/17 | 10.03 | .08 | .62 | .70 | — | — | — | — | 10.73 | 6.98 | 33,221 | 1.15 | .76 | 576 |
| 12/31/16 | 10.35 | .06 | (.01) | .05 | (.35) | — | (.02) | (.37) | 10.03 | .60 | 31,034 | 1.15 | .61 | 503 |
| 12/31/15 | 10.67 | .03 | (.07) | (.04) | (.02) | (.26) | — | (.28) | 10.35 | (.44) | 33,818 | 1.15 | .33 | 520 |
Before April 30, 2018, the fund was managed with a materially different investment strategy and may have achieved materially different performance results under its current investment strategy from that shown for periods before this date.
aPer share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
bThe charges and expenses at the insurance company separate account level are not reflected.
cTotal return assumes dividend reinvestment.
dIncludes amounts paid through expense offset and brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
eReflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation and/or waivers, the expenses of each class reflect a reduction of the following amounts (Note 2):
| | | | |
| | Percentage of average | | | |
| | net assets | | | |
| 12/31/19 | 0.45% | | | |
| 12/31/18 | 0.60 | | | |
| 12/31/17 | 0.45 | | | |
| 12/31/16 | 0.51 | | | |
| 12/31/15 | 0.44 | | | |
fPortfolio turnover includes TBA purchase and sale commitments.
The accompanying notes are an integral part of these financial statements.
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| 32Putnam VT Multi-Asset Absolute Return Fund |
Notes to financial statements12/31/19
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from January 1, 2019 through December 31, 2019.
Putnam VT Multi-Asset Absolute Return 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 positive total return. In pursuing a positive total return, the fund’s strategies are generally intended to produce lower volatility over a reasonable period of time than has been historically associated with traditional asset classes that have earned similar levels of return over long historical periods. The Fund aims to accomplish this objective by combining “directional” strategies and “non-directional” strategies. The directional strategies seek efficient, diversified exposure to investment markets. They also seek to balance risk and provide positive total return by investing, without limit, in many different asset classes, including U.S., international, and emerging markets equity securities (growth or value stocks or both) and fixed-income securities; mortgage- and asset-backed securities; below-investment-grade securities (sometimes referred to as “junk bonds”); inflation-protected securities; commodities; and real estate investment trusts (REITs). The non-directional strategies aim to provide positive returns that have minimal correlation with traditional asset classes, such as equities or equity-like investments. The non-directional strategies are generally implemented using paired long and short positions in an effort to capitalize on long-term market inefficiencies and short-term opportunities. The non-directional strategies may involve the use of active trading strategies, currency transactions and options transactions.
Putnam Management may consider, among other factors, a company’s valuation, financial strength, growth potential, competitive position in its industry, projected future earnings, cash flows and dividends when deciding whether to buy or sell equity investments, and, among other factors, credit, interest rate and prepayment risks when deciding whether to buy or sell fixed-income investments. Putnam Management may also take into account general market conditions when making investment decisions. The fund typically uses derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, to a significant extent for hedging purposes and to increase the fund’s exposure to the asset classes and strategies mentioned above, which may create investment leverage.
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 Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Note 1 — Significant accounting policies
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 decreasesin 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 valuationPortfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820Fair Value Measurements and Disclosures(ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
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.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. 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 levels, convexity exposures, recovery rates, sales and other multiples and resale
| |
| Putnam VT Multi-Asset Absolute Return Fund33 |
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.
Joint trading accountPursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.
Repurchase agreementsThe fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $2,460,240 at the end of the reporting period, is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
Security transactions and related investment incomeSecurity 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 and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.
Stripped securitiesThe 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.
Foreign currency translationThe accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contractsThe fund uses options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhancereturns on securities owned, to gain exposure to securities, and to manage 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 contractsThe fund uses futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates, and to equitize cash.
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.
Forward currency contractsThe fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk, and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. 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 when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Interest rate swap contractsThe 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, to hedge interest rate risk, to gain exposure on interest rates, and to hedge prepayment risk.
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| 34Putnam VT Multi-Asset Absolute Return Fund |
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.
Total return swap contractsThe fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the coun-terparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return 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 received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return 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 in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. 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 total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return 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/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contractsThe fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk, and to gain exposure on individual names and/or baskets of securities.
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 obligationsof 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, 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 coun-terparty 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 commitmentsThe 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.
| |
| Putnam VT Multi-Asset Absolute Return Fund35 |
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 agreementsThe 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 posted 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 $444,925 on open derivative contracts subject to the Master Agreements.Collateral posted by the fund at period end for these agreements totaled $302,880 and may include amounts related to unsettled agreements.
Securities lendingThe fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending, net of expenses, is included in investment income on the Statement of operations. Cash collateral is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. At the close of the reporting period, the fund received cash collateral of $991,420 and the value of securities loaned amounted to $973,262.
Interfund lendingThe 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 creditThe fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both 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 LIBOR for the committed line of credit and the Federal Funds rate plus 1.30% 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. 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 taxesIt 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. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740Income 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.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
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, 2019, 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 |
| $626,175 | $— | $626,175 |
Distributions to shareholdersDistributions to shareholders from net investment income 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. These differences include temporary and/or permanent differences from losses on wash sale transactions, from foreign currency gains and losses, from unrealized gains and losses on certain futures contracts, from realized gains and losses on certain futures contracts, from unrealized gains and losses on passive foreign investment companies, from net operating loss, from income on swap contracts, from interest-only securities, and from real estate mortgage investment conduits. 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. At the close of the reporting period, the fund reclassified $60,262 to decrease undistributed net investment income, $243,804 to decrease paid-in capital and $304,066 to decrease accumulated net realized loss.
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 realized and distributed to shareholders. The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:
| |
| Unrealized appreciation | $2,647,777 |
| Unrealized depreciation | (1,639,350) |
| Net unrealized appreciation | 1,008,427 |
| Capital loss carryforward | 626,175 |
| Cost for federal income tax purposes | $29,380,795 |
Expenses of the TrustExpenses 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 interestAt 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 55.2% of the fund is owned by accounts of one insurance company.
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| 36Putnam VT Multi-Asset Absolute Return Fund |
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:
| | | | |
| 0.880% | of the first $5 billion, | | | |
| 0.830% | of the next $5 billion, | | | |
| 0.780% | of the next $10 billion, | | | |
| 0.730% | of the next $10 billion, | | | |
| 0.680% | of the next $50 billion, | | | |
| 0.660% | of the next $50 billion, | | | |
| 0.650% | of the next $100 billion and | | | |
| 0.645% | 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 0.719% of the fund’s average net assets.
Putnam Management has contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through April 30, 2021, 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 0.90% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $24,727 as a result of this limit.
Putnam Management has also contractually agreed, through April 30, 2021, 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 $99,889 as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, 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 0.35% of the average net assets of the portion of the fund managed by PIL.
The Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. PAC did not manage any portion of the assets of the fund during the reporting period. If Putnam Management or PIL were to engage the services of PAC, Putnam Management or PIL, as applicable, would pay a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.
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’saverage daily net assets. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| |
| Class IA | $12 |
| Class IB | 19,331 |
| Total | $19,343 |
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. The fund also reduced expenses through brokerage/service arrangements. For the reporting period, the fund’s expenses were reduced by $773 under the expense offset arrangements and by $945 under the brokerage/service arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $19, 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 on or after July 1, 1995. 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 Investment Company Act of 1940. The purpose of the Plan is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. 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.
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 | Proceeds |
| | purchases | from sales |
| Investments in securities (Long-term) | $75,640,556 | $72,690,932 |
| U.S. government securities | | |
| (Long-term) | — | — |
| Total | $75,640,556 | $72,690,932 |
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.
| |
| Putnam VT Multi-Asset Absolute Return Fund37 |
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 | |
| | Year ended 12/31/19 | Year ended 12/31/18 | Year ended 12/31/19 | Year ended 12/31/18 |
| | Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount |
| Shares sold | 5,546 | $56,404 | — | $— | 326,667 | $3,295,049 | 349,480 | $3,511,771 |
| Shares issued in connection with | | | | | | | | |
| reinvestment of distributions | — | — | 85 | 862 | — | — | 133,025 | 1,328,925 |
| | 5,546 | 56,404 | 85 | 862 | 326,667 | 3,295,049 | 482,505 | 4,840,696 |
| Shares repurchased | (6) | (63) | (654) | (6,593) | (584,875) | (5,870,837) | (689,651) | (6,968,672) |
| Net increase (decrease) | 5,540 | $56,341 | (569) | $(5,731) | (258,208) | $(2,575,788) | (207,146) | $(2,127,976) |
At the close of the reporting period, Putnam Investments, LLC owned the following shares of the fund:
| | | | | |
| | | Percentage | | | |
| | Shares owned | of ownership | Value | | |
| Class A | 1,134 | 16.66% | $11,544 | | |
Note 5 — Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
| | | | | |
| | | | | | Shares outstanding |
| | Fair value as of | | | | and fair value as of |
| Name of affiliate | 12/31/18 | Purchase cost | Sale proceeds | Investment income | 12/31/19 |
| Short-term investments | | | | | |
| Putnam Cash Collateral Pool, LLC* | $42,600 | $23,357,760 | $22,408,940 | $23,991 | $991,420 |
| Putnam Short Term Investment | | | | | |
| Fund** | 6,110,990 | 2,416,304 | 2,211,445 | 140,453 | 6,315,849 |
| Total Short-term investments | $6,153,590 | $25,774,064 | $24,620,385 | $164,444 | $7,307,269 |
*No management fees are charged to Putnam Cash Collateral Pool, LLC (Note 1). Investment income shown is included in securities lending income on the Statement of operations. There were no realized or unrealized gains or losses during the period.
**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. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations.
The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of 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 equity option contracts (contract amount) | $15,000 |
| Purchased currency option contracts (contract amount) | $1,600,000 |
| Purchased swap option contracts (contract amount) | $61,000 |
| Written equity option contracts (contract amount) | $6,000 |
| Written currency option contracts (contract amount) | $1,300,000 |
| Written swap option contracts (contract amount) | $38,000 |
| Futures contracts (number of contracts) | 100 |
| Forward currency contracts (contract amount) | $12,200,000 |
| Centrally cleared interest rate swap contracts (notional) | $22,700,000 |
| OTC total return swap contracts (notional) | $92,700,000 |
| OTC credit default contracts (notional) | $3,400,000 |
| Centrally cleared credit default contracts (notional) | $4,300,000 |
| Warrants (number of warrants) | 130,000 |
| |
| 38Putnam VT Multi-Asset Absolute Return Fund |
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 | Statement of assets and | | Statement of assets and | |
| instruments under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
| | Receivables, Net assets — | | Payables, Net assets — | |
| Credit contracts | Unrealized appreciation | $13,990 | Unrealized depreciation | $288,369* |
| Foreign exchange contracts | Investments, Receivables | 79,182 | Payables | 79,070 |
| | Investments, Receivables, | | | |
| | Net assets — Unrealized | | Payables, Net assets — | |
| Equity contracts | appreciation | 1,079,099* | Unrealized depreciation | 780,715* |
| | Investments, Receivables, | | | |
| | Net assets — Unrealized | | Payables, Net assets — | |
| Interest rate contracts | appreciation | 52,348* | Unrealized depreciation | 175,446* |
| Total | | $1,224,619 | | $1,323,600 |
*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 (Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments
| | | | | | |
| | | | | Forward | | |
| Derivatives not accounted for as hedging | | | | currency | | |
| instruments under ASC 815 | Warrants | Options | Futures | contracts | Swaps | Total |
| Credit contracts | $— | $— | $— | $— | $138,941 | $138,941 |
| Foreign exchange contracts | — | 22,525 | — | (91,135) | — | (68,610) |
| Equity contracts | 15,853 | (163,250) | 71,635 | — | (572,339) | (648,101) |
| Interest rate contracts | — | 123 | 740,656 | — | 241,310 | 982,089 |
| Total | $15,853 | $(140,602) | $812,291 | $(91,135) | $(192,088) | $404,319 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments
| | | | | | |
| | | | | Forward | | |
| Derivatives not accounted for as hedging | | | | currency | | |
| instruments under ASC 815 | Warrants | Options | Futures | contracts | Swaps | Total |
| Credit contracts | $— | $— | $— | $— | $196,260 | $196,260 |
| Foreign exchange contracts | — | (24,708) | — | 69,681 | — | 44,973 |
| Equity contracts | 72,928 | (144,401) | 108,187 | — | (682,652) | (645,938) |
| Interest rate contracts | — | (570) | (527,477) | — | 27,363 | (500,684) |
| Total | $72,928 | $(169,679) | $(419,290) | $69,681 | $(459,029) | $(905,389) |
| |
| Putnam VT Multi-Asset Absolute Return Fund39 |
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 | BofA Securities, Inc. | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto - Dominion Bank | UBS AG | WestPac Banking Corp. | Total |
| Assets: | | | | | | | | | | | | | | | | | | |
| Centrally cleared interest rate | | | | | | | | | | | | | | | | | | |
| swap contracts§ | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
| OTC Total return | | | | | | | | | | | | | | | | | | |
| swap contracts*# | 19,414 | 16 | — | 278,000 | — | 44 | 87,683 | — | — | — | — | — | — | — | — | 7,377 | — | 392,534 |
| OTC Credit default contracts — | | | | | | | | | | | | | | | | | | |
| protection sold*# | — | 129 | — | — | — | 1,622 | 1,759 | — | — | — | — | — | — | — | — | — | — | 3,510 |
| OTC Credit default contracts — | | | | | | | | | | | | | | | | | | |
| protection purchased*# | — | — | — | — | 2,557 | 3,323 | 3,312 | — | — | 38 | 711 | 539 | — | — | — | — | — | 10,480 |
| Futures contracts§ | — | �� | 4,370 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 4,370 |
| Forward currency contracts# | 7,952 | 13 | — | 2,496 | — | 485 | 21,204 | 2,696 | 5,255 | — | — | — | 15,327 | 9,329 | 179 | 10,993 | 250 | 76,179 |
| Forward premium swap | | | | | | | | | | | | | | | | | | |
| option contracts# | — | — | — | — | — | — | 43 | — | 388 | — | — | — | — | — | — | — | — | 431 |
| Purchased swap options**# | 2,187 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 2,187 |
| Purchased options**# | 19,087 | — | — | 10,296 | — | — | 2,715 | — | 25,787 | — | — | — | — | — | — | — | — | 57,885 |
| Repurchase agreements** | — | — | — | — | 2,412,000 | — | — | — | — | — | — | — | — | — | — | — | — | 2,412,000 |
| Total Assets | $48,640 | $158 | $4,370 | $290,792 | $2,414,557 | $5,474 | $116,716 | $2,696 | $31,430 | $38 | $711 | $539 | $15,327 | $9,329 | $179 | $18,370 | $250 | $2,959,576 |
| Liabilities: | | | | | | | | | | | | | | | | | | |
| Centrally cleared interest rate | | | | | | | | | | | | | | | | | | |
| swap contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| OTC Total return | | | | | | | | | | | | | | | | | | |
| swap contracts*# | 28,427 | 5 | — | 400,631 | — | 166,402 | 122,178 | — | 1 | 18 | — | — | — | — | — | 9,616 | — | 727,278 |
| OTC Credit default contracts — | | | | | | | | | | | | | | | | | | |
| protection sold*# | 555 | 404 | — | — | 22,300 | 40,009 | 13,486 | — | — | 38,192 | 9,649 | 3,283 | — | — | — | — | — | 127,878 |
| OTC Credit default contracts — | | | | | | | | | | | | | | | | | | |
| protection purchased*# | — | — | — | — | — | — | — | — | — | 981 | — | 199 | — | — | — | — | — | 1,180 |
| Futures contracts§ | — | — | 6,545 | — | — | — | — | — | — | 14,043 | — | — | — | — | — | — | — | 20,588 |
| Forward currency contracts# | 5,527 | 8,073 | — | 1,433 | — | 21 | 22,961 | 6,578 | 15,560 | — | — | — | 2,217 | 12,725 | 2,267 | 890 | 818 | 79,070 |
| Forward premium swap | | | | | | | | | | | | | | | | | | |
| option contracts# | — | — | — | — | — | — | 108 | — | 988 | — | — | — | — | — | — | — | — | 1,096 |
| Written swap options# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Written options# | — | — | — | 1,643 | — | — | — | — | 669 | — | — | — | — | — | — | — | — | 2,312 |
| Reverse repurchase agreements | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Total Liabilities | $34,509 | $8,482 | $6,545 | $403,707 | $22,300 | $206,432 | $158,733 | $6,578 | $17,218 | $53,234 | $9,649 | $3,482 | $2,217 | $12,725 | $2,267 | $10,506 | $818 | $959,402 |
| Total Financial and Derivative | | | | | | | | | | | | | | | | | | |
| Net Assets | $14,131 | $(8,324) | $(2,175) | $(112,915) | $2,392,257 | $(200,958) | $(42,017) | $(3,882) | $14,212 | $(53,196) | $(8,938) | $(2,943) | $13,110 | $(3,396) | $(2,088) | $7,864 | $(568) | $2,000,174 |
| Total collateral received | | | | | | | | | | | | | | | | | | |
| (pledged)†## | $— | $— | $— | $(112,915) | $2,392,257 | $(150,964) | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | |
| Net amount | $14,131 | $(8,324) | $(2,175) | $— | $— | $(49,994) | $(42,017) | $(3,882) | $14,212 | $(53,196) | $(8,938) | $(2,943) | $13,110 | $(3,396) | $(2,088) | $7,864 | $(568) | |
| Controlled collateral received | | | | | | | | | | | | | | | | | | |
| (including TBA commitments)** | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
| Uncontrolled collateral received | $— | $— | $— | $— | $2,460,240 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $2,460,240 |
| Collateral (pledged) (including | | | | | | | | | | | | | | | | | | |
| TBA commitments)** | $— | $— | $— | $(151,916) | $— | $(150,964) | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $(302,880) |
* 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 $311,712 and $184,029, respectively.
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| 40 Putnam VT Multi-Asset Absolute Return Fund | Putnam VT Multi-Asset Absolute Return Fund41 |
Note 9 — New accounting pronouncements
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017–08,Receivables — Nonrefundable Fees and Other Costs(Subtopic 310–20):Premium Amortization on Purchased Callable Debt Securities.The amendments in the ASU shorten the amortization period for certain callable debt securities held at a premium, to be amortized to the earliest call date. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. The adoption of these amendments is not material to the financial statements.
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| 42Putnam VT Multi-Asset Absolute Return Fund |
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| Putnam VT Multi-Asset Absolute Return Fund43 |
*Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund and Putnam Investments. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.
The address of each Trustee is 100 Federal Street, Boston, MA 02110.
As of December 31, 2019, there were 91 Putnam funds. All Trustees serve as Trustees of all Putnam funds.
Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.
Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
| | |
| Robert T. Burns(Born 1961) | Michael J. Higgins(Born 1976) | Denere P. Poulack(Born 1968) |
| Vice President and Chief Legal Officer | Vice President, Treasurer, and Clerk | Assistant Vice President, Assistant Clerk, and |
| Since 2011 | Since 2010 | Assistant Treasurer |
| General Counsel, Putnam Investments, Putnam | | Since 2004 |
| Management, and Putnam Retail Management | Jonathan S. Horwitz(Born 1955) | |
| | Executive Vice President, Principal Executive | Janet C. Smith(Born 1965) |
| James F. Clark(Born 1974) | Officer, and Compliance Liaison | Vice President, Principal Financial Officer, |
| Vice President and Chief Compliance Officer | Since 2004 | Principal Accounting Officer, and Assistant |
| Since 2016 | | Treasurer |
| Chief Compliance Officer and Chief Risk Officer, | Richard T. Kircher(Born 1962) | Since 2007 |
| Putnam Investments and Chief Compliance | Vice President and BSA Compliance Officer | Head of Fund Administration Services, Putnam |
| Officer, Putnam Management | Since 2019 | Investments and Putnam Management |
| | Assistant Director, Operational Compliance, | |
| Nancy E. Florek(Born 1957) | Putnam Investments and Putnam | Mark C. Trenchard(Born 1962) |
| Vice President, Director of Proxy Voting and | Retail Management | Vice President |
| Corporate Governance, Assistant Clerk, and | | Since 2002 |
| Assistant Treasurer | Susan G. Malloy(Born 1957) | Director of Operational Compliance,Putnam |
| Since 2000 | Vice President and Assistant Treasurer | Investments and Putnam Retail Management |
| | Since 2007 | |
| Head of Accounting and Middle Office Services, | |
| Putnam Investments and Putnam Management | |
The principal occupations of the officers for the past five years have been with the employers as shown above, although in some cases they have held different positions with such employers. The address of each officer is 100 Federal Street, Boston, MA 02110.
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| 44Putnam VT Multi-Asset Absolute Return Fund |
Other important information
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2019, are available in the Individual Investors section of putnam.com and on the Securities and Exchange Commission’s (SEC) website at www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT from the SEC’s website at www.sec.gov.
Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
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| Fund information | | |
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| Investment Manager | Investor Servicing Agent | Trustees |
| Putnam Investment Management, LLC | Putnam Investments | Kenneth R. Leibler,Chair |
| 100 Federal Street | Mailing address: | Liaquat Ahamed |
| Boston, MA 02110 | P.O. Box 219697 | Ravi Akhoury |
| | Kansas City, MO 64121-9697 | Barbara M. Baumann |
| Investment Sub-Advisors | 1-800-225-1581 | Katinka Domotorffy |
| Putnam Investments Limited | | Catharine Bond Hill |
| 16 St James’s Street | Custodian | Paul L. Joskow |
| London, England SW1A 1ER | State Street Bank and Trust Company | Robert E. Patterson |
| | | George Putnam, III |
| The Putnam Advisory Company, LLC | Legal Counsel | Robert L. Reynolds |
| 100 Federal Street | Ropes & Gray LLP | Manoj P. Singh |
| Boston, MA 02110 | | |
| | Independent Registered | |
| Marketing Services | Public Accounting Firm | |
| Putnam Retail Management | PricewaterhouseCoopers LLP | |
| 100 Federal Street | | |
| Boston, MA 02110 | | |
The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
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| Putnam VT Multi-Asset Absolute Return Fund45 |
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| This report has been prepared for the shareholders | |
| of Putnam VT Multi-Asset Absolute Return Fund. | VTAN110 319818 2/20 |
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| (a) The fund's principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund's investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers. |
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| (c) In October 2019, the Code of Ethics of Putnam Investments was amended. The key changes to the Code of Ethics are as follows: (i) Employee notification to the Code of Ethics Officer before acting as a public official for any government entity (ii) Clarifying changes to the Insider Trading provisions and to the rules for trading in securities issued by Great-West Lifeco. |
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| Item 3. Audit Committee Financial Expert: |
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| The Funds' Audit, Compliance and Distributions Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each of the members of the Audit, Compliance and Distributions Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Patterson, Ms. Baumann and Mr. Singh qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education. The SEC has stated, and the funds' amended and restated agreement and Declaration of Trust provides, that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit, Compliance and Distribution Committee and the Board of Trustees in the absence of such designation or identification. |
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| Item 4. Principal Accountant Fees and Services: |
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| The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund's independent auditor: |
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| Fiscal year ended | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
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| | | | | |
| December 31, 2019 | $70,912 | $ — | $10,676 | $ — |
| December 31, 2018 | $73,326 | $81* | $18,445 | $ — |
| * | Fees billed to the fund for services relating to a review of certain trading activity that was the subject of a settlement between Putnam Investment Management, LLC and the Securities and Exchange Commission. |
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| For the fiscal years ended December 31, 2019 and December 31, 2018, the fund's independent auditor billed aggregate non-audit fees in the amounts of $168,351 and $635,009 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund. |
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| Audit Fees represent fees billed for the fund's last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements. |
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| Audit-Related Fees represent fees billed in the fund's last two fiscal years for services traditionally performed by the fund's auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation. |
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| Tax Fees represent fees billed in the fund's last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities. |
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| Pre-Approval Policies of the Audit, Compliance and Distributions Committee. The Audit, Compliance and Distributions Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds' independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures. |
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| The Audit, Compliance and Distributions Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds' independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm. |
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| The following table presents fees billed by the fund's independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2–01 of Regulation S-X. |
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| Fiscal year ended | Audit-Related Fees | Tax Fees | All Other Fees | Total Non-Audit Fees |
|
|
| December 31, 2019 | $ — | $157,675 | $ — | $ — |
| December 31, 2018 | $ — | $616,482 | $ — | $ — |
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| Item 5. Audit Committee of Listed Registrants |
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Item 6. Schedule of Investments: |
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| The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
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| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
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Item 8. Portfolio Managers of Closed-End Investment Companies |
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Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
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Item 10. Submission of Matters to a Vote of Security Holders: |
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Item 11. Controls and Procedures: |
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(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 180 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 12. Disclosures of Securities Lending Activities for Closed-End Management Investment Companies: |
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(a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith. |
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| 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. |
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| By (Signature and Title): |
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| /s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
|
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| 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. |
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| By (Signature and Title): |
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| /s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
|
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| By (Signature and Title): |
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| /s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
|
