N-CSRS 1 a_vtdiversifiedincome.htm PUTNAM VARIABLE TRUST a_vtdiversifiedincome.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES



Investment Company Act file number: (811-05346)
Exact name of registrant as specified in charter: Putnam Variable Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: December 31, 2015
Date of reporting period: January 1, 2015 – June 30, 2015



Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:



Message from the Trustees

Dear Shareholder:

Looking back on the first half of 2015, we can highlight some transitions in the financial markets. The U.S. economy has rallied from a brief dip during the first quarter, and bond yields have risen on a sustained basis in recent months. Firmer data on employment growth, wage gains, and consumer prices underscore this progress.

The Federal Reserve is monitoring these and other indicators as it considers raising interest rates, an action it has not taken since 2006. Higher interest rates can pose a risk to fixed-income investments, while also having a less direct impact on stocks by adding to business financing costs, among other effects.

Through mid-2015, U.S. stock market averages have continued near record-high levels. Although gains have been modest this year, the U.S. market has been more placid than China’s market, in which a dizzying advance gave way to a sharp pullback in June, and European markets that were caught up in Greece’s debt crisis. Global market conditions, we believe, call for a well-crafted and flexible strategy.

With the possibility that markets could move in different directions from here, it might be a prudent time to consult your financial advisor and determine whether any adjustments or additions to your portfolio are warranted.

In the following pages, your portfolio managers provide a perspective for your consideration. Putnam’s disciplined fundamental research promotes a culture of thinking proactively about risks. We share with Putnam’s managers a deep conviction that an active, research-driven approach can play a valuable role in your portfolio.

As always, thank you for investing with Putnam. We would also like to extend our thanks to Charles Curtis, who has retired from the Board of Trustees, for his many years of dedicated service.



Performance summary (as of 6/30/15)

Investment objective

As high a level of current income as Putnam Investment Management, LLC (Putnam Management) believes is consistent with preservation of capital

Net asset value June 30, 2015

Class IA: $6.35  Class IB: $6.36 

 

Total return at net asset value

 

          Citigroup 
        JPMorgan  Non-U.S. 
      Barclays U.S.  Developed  World 
(as of  Class IA  Class IB  Aggregate  High Yield  Government 
6/30/15)  shares*  shares†  Bond Index  Index  Bond Index 
6 months  –0.11%  –0.14%  –0.10%  2.86%  –5.83% 
1 year  –3.02  –3.18  1.86  –0.65  –13.49 
5 years  25.19  23.78  17.90  54.08  1.64 
Annualized  4.60  4.36  3.35  9.03  0.33 
10 years  59.50  57.64  54.38  118.55  29.60 
Annualized  4.78  4.66  4.44  8.13  2.63 
Life  224.92  213.60  223.42  —‡  163.20 
Annualized  5.56  5.39  5.53  —‡  4.55 

 

For a portion of the periods, the fund had expense limitations, without which returns would have been lower.

* Class inception date: September 15, 1993.

† Class inception date: April 6, 1998.

‡ The fund’s secondary benchmark, the JPMorgan Developed High Yield Index, was introduced on 12/31/94, which post-dates the inception of the fund’s class IA shares.

The Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities. The Citigroup Non-U.S. World Government Bond Index is an unmanaged index generally considered to be representative of the world bond market, excluding the United States. The JPMorgan Developed High Yield Index is an unmanaged index of high-yield fixed-income securities issued in developed countries.

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 gain or 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. Performance of class IB shares before their inception is derived from the historical performance of class IA shares, adjusted to reflect the higher operating expenses applicable to such shares. 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, and the use of different classifications of securities for presentation purposes. Allocations may not total 100% because the table includes the notional value of derivatives (the economic value for purposes of calculating period payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time. Holdings and allocations may vary over time.


Credit qualities are shown as a percentage of the fund’s net assets. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds or derivatives not rated by Moody’s but rated by Standard & Poor’s (S&P) or, if unrated by S&P, by Fitch ratings, and then included in the closest equivalent Moody’s rating based on analysis of these agencies’ respective ratings criteria. Moody’s ratings are used in recognition of its prominence among rating agencies and breadth of coverage of rated securities. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time.

Derivative instruments, including forward currency contracts, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. Derivative offset values are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.

Putnam VT Diversified Income Fund  1 

 


Report from your fund’s managers

What was the bond market environment like during the six-month reporting period ended June 30, 2015?

Early in the period, the combination of a stock market pullback, weaker-than-expected U.S. economic growth, and continued worries about deflation in Europe fueled investors’ appetite for government bonds. As a result, the yield on the benchmark 10-year U.S. Treasury fell from 2.17% at the beginning of January to 1.68% at the end, which would be its low mark for the period. In February, however, concern that the Federal Reserve might start raising its target for short-term interest rates in June hampered Treasuries, causing prices to fall and yields to move higher. However, not all areas of the bond market suffered: High-yield corporate bonds rose as investors gravitated toward their higher yields and improved valuations following a late 2014 selloff. During March, dovish comments by Fed Chair Janet Yellen reassured investors that the central bank was likely to take a cautious approach toward raising rates, which helped Treasuries modestly rebound.

As we moved into April and May, economic indicators signaled an improving growth outlook in both the United States and the eurozone. Worries over deflation risks in the eurozone diminished amid the European Central Bank’s stimulative bond-buying program. As a result, investor demand for securities considered to be global safe havens waned.

Uncertainty over Greece caused broad swings in global financial markets in June, and bonds suffered across the board. On the last day of the quarter, Greece requested a new bailout that eurozone officials dismissed as insufficient to meet creditors’ demands. The country subsequently defaulted on a $1.7 billion repayment to the International Monetary Fund. Greek and European policymakers have been engaged in negotiations about a new aid package for Greece with some concern about the future of its membership in the eurozone.

Within this environment, bond yields were volatile but rose during the period, with the yield on the 10-year Treasury reaching 2.49% on June 30. The yield on the 10-year German bund continued to decline until late April, when it reached 0.08%, then trended higher over the balance of the period to end at 0.77%. U.S. investment-grade bond prices modestly declined, as measured by the –0.10% return of the broad Barclays U.S. Aggregate Bond Index. Foreign bonds, as measured by the Citigroup Non-U.S. World Government Bond Index, fared considerably worse returning –5.83% due to U.S.-dollar strength.

Which holdings and strategies had the biggest influence on the portfolio’s performance?

Our interest-rate and yield-curve positioning outside the United States hampered the portfolio’s return and was the reason the fund’s relative performance was negative for the period. The fund’s exposure to Greece and Germany detracted from relative performance, as yield spreads widened and bond prices declined across Europe due to the financial turmoil in Greece.

On the positive side, positions in emerging-market debt, most notably bonds issued by Venezuela, Russia, and Argentina, were the biggest contributors for the period. Venezuelan and Russian government bonds were bolstered by recovering oil prices. In Argentina, with elections scheduled for later this year, investors began to anticipate that a new government might be able to reach a settlement with the country’s holdout creditors. As a result, bonds that had fallen to undervalued price levels rallied during the period.

The fund’s allocation to high-yield bonds also aided the fund’s relative performance. The asset class rallied strongly in February and April as rising oil prices reduced the pressure on energy companies that were at the greatest risk of defaulting when prices were lower. Underlying fundamentals, such as improving employment trends, also supported high-yield bonds.

Our mortgage credit and prepayment strategies provided a further boost to relative performance. Within mortgage credit, investments in subordinated mezzanine commercial mortgage-backed securities [CMBS] were the most additive. Subordinated mezzanine CMBS benefited from improving commercial real estate fundamentals, along with persistent investor demand for higher-yielding bonds. As for our prepayment strategies, as interest rates rose during the period, mortgage refinancing became less attractive, resulting in slower prepayment speeds on the agency interest-only collateralized mortgage obligations [IO CMOs] held by the fund, which aided their performance.

How did you use derivatives during the period?

We used bond futures and interest-rate swaps to take tactical positions at various points along the yield curve, to gain exposure to currency rates in various countries, and to hedge term-structure risk. In addition, we used options for hedging duration and convexity, isolating prepayment risk, and managing potential downside. We also utilized total return swaps as a hedging tool, and to help manage the portfolio’s sector exposure, as well as its inflation risk. Lastly, we used currency forward contracts to hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.

What is your outlook for the months ahead, and how are you positioning the portfolio?

The Fed has indicated that it no longer wishes to give specific guidance on the timing of policy changes and has instead described its approach as being “data dependent.” With the U.S. economy appearing to rebound in the second quarter and core inflation showing signs of reemerging, we think it’s likely that the central bank may implement its first rate increase in September. If the economy continues on a trajectory broadly similar to what we expect, we believe the Fed could hike rates again before year-end. While this is our current view, we believe there are possible factors that could cause the Fed to delay, such as renewed dollar strength, coupled with volatility in Europe and Asia. In any event, when the Fed does begin raising rates, we think it will proceed cautiously in an effort to avoid stoking excessive volatility in the financial markets.

2  Putnam VT Diversified Income Fund 

 


As for Greece, we believe it is in the best interests of both Greece and the European Union [EU] for the country to remain in the EU, and we think this is the most likely outcome of current negotiations.

Within this environment, we plan to maintain our diversified mortgage, corporate, and sovereign credit exposure primarily through allocations to subordinated mezzanine CMBS, high-yield bonds, and peripheral European sovereign bonds, respectively. As for prepayment risk, we expect to retain our holdings of IO CMOs. We should note that we are cognizant of a risk emanating from a recently enacted Federal Housing Administration policy that reduces the mortgage insurance premiums charged to certain borrowers. While we acknowledge that this policy could accelerate refinancing to some extent, we believe it is unlikely to have a major impact on the overall pace of residential refinancing. What’s more, we continue to find prepayment risk attractive, given our view that there is a likelihood of higher interest rates as the U.S. economic recovery matures.

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.

Consider these risks before investing: International investing involves currency, economic, and political risks. Emerging-market securities carry illiquidity and volatility risks. 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 and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. 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 greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over extended periods of time for a variety of reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility and reduced liquidity in the bond markets. You can lose money by investing in the fund.

Your fund’s managers


Portfolio Manager D. William Kohli is a Co-Head of Fixed Income at Putnam. He joined Putnam in 1994 and has been in the investment industry since 1986.

In addition to Bill, your fund’s portfolio managers are Michael J. Atkin; Kevin F. Murphy; Michael V. Salm; and Paul D. Scanlon, CFA.

Your fund’s managers may 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 is derived from 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.

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.

Putnam VT Diversified Income Fund  3 

 


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. 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 one-time 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 Expense per $1,000 table show the expenses you would have paid on a $1,000 investment in your fund from January 1, 2015, to June 30, 2015. 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 Expense 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.

Expense ratios

  Class IA  Class IB 
Total annual operating expenses for the fiscal year     
ended 12/31/14*  0.73%  0.98% 
Annualized expense ratio for the six-month period     
ended 6/30/15  0.75%  1.00% 

 

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.

Expenses are shown as a percentage of average net assets.

*Restated to reflect current fees.

Expense per $1,000

  Expenses and value for a  Expenses and value for a 
  $1,000 investment, assuming  $1,000 investment, assuming a 
  actual returns for the 6 months  hypothetical 5% annualized return 
  ended 6/30/15    for the 6 months ended 6/30/15 
  Class IA  Class IB  Class IA  Class IB 
Expenses paid         
per $1,000*†  $3.72  $4.96  $3.76  $5.01 
Ending value         
(after expenses)  $998.90  $998.60  $1,021.08  $1,019.84 

 

*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 June 30, 2015. 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.

4  Putnam VT Diversified Income Fund 

 


The fund’s portfolio 6/30/15 (Unaudited)

MORTGAGE-BACKED SECURITIES (45.1%)*  Principal amount  Value 
 
Agency collateralized mortgage obligations (15.4%)   
Federal Home Loan Mortgage Corporation     
IFB Ser. 3182, Class SP, 27.858s, 2032  $151,871  $216,085 
IFB Ser. 3408, Class EK, 25.047s, 2037  54,889  85,453 
IFB Ser. 2979, Class AS, 23.593s, 2034  11,573  13,871 
IFB Ser. 3072, Class SM, 23.116s, 2035  146,956  219,895 
IFB Ser. 3072, Class SB, 22.97s, 2035  150,624  224,512 
IFB Ser. 3249, Class PS, 21.663s, 2036  115,092  168,204 
IFB Ser. 3065, Class DC, 19.304s, 2035  295,288  425,188 
IFB Ser. 319, Class S2, IO, 5.815s, 2043  1,228,101  297,397 
IFB Ser. 317, Class S3, IO, 5.795s, 2043  3,335,793  823,114 
IFB Ser. 323, Class S1, IO, 5.765s, 2044  3,270,419  770,190 
IFB Ser. 310, Class S4, IO, 5.765s, 2043  3,427,051  840,724 
IFB Ser. 308, Class S1, IO, 5.765s, 2043  2,545,292  626,116 
IFB Ser. 314, Class AS, IO, 5.705s, 2043  2,658,025  638,999 
Ser. 4122, Class TI, IO, 4 1/2s, 2042  2,535,552  547,172 
Ser. 4000, Class PI, IO, 4 1/2s, 2042  1,235,976  275,623 
Ser. 4024, Class PI, IO, 4 1/2s, 2041  2,891,090  586,330 
Ser. 4462, IO, 4s, 2045  1,399,832  310,637 
Ser. 4220, Class IE, IO, 4s, 2028  1,838,065  221,064 
Ser. 311, IO, 3 1/2s, 2043  1,978,227  450,039 
Ser. 4122, Class CI, IO, 3 1/2s, 2042  3,812,312  514,666 
Ser. 4105, Class HI, IO, 3 1/2s, 2041  1,727,005  243,404 
Ser. 304, IO, 3 1/2s, 2027  3,249,925  365,617 
Ser. 304, Class C37, IO, 3 1/2s, 2027  2,412,632  264,521 
Ser. 4210, Class PI, IO, 3s, 2041  2,780,180  283,448 
Ser. 4437, Class DI, IO, 3s, 2032  2,998,411  415,790 
Ser. 304, Class C45, IO, 3s, 2027  2,775,828  290,502 
FRB Ser. T-57, Class 1AX, IO, 0.387s, 2043  1,463,075  15,146 
Ser. 3300, PO, zero %, 2037  43,644  37,411 
Ser. 3326, Class WF, zero %, 2035  1,223  998 
Federal National Mortgage Association     
IFB Ser. 06-62, Class PS, 38.778s, 2036  73,195  134,469 
IFB Ser. 06-8, Class HP, 23.881s, 2036  223,362  342,265 
IFB Ser. 07-53, Class SP, 23.514s, 2037  139,120  210,553 
IFB Ser. 08-24, Class SP, 22.598s, 2038  173,538  253,522 
IFB Ser. 05-122, Class SE, 22.446s, 2035  213,011  307,773 
IFB Ser. 05-83, Class QP, 16.908s, 2034  169,828  222,691 
IFB Ser. 13-103, Class SK, IO, 5.733s, 2043  1,680,436  420,510 
IFB Ser. 13-128, Class CS, IO, 5.713s, 2043  2,862,856  682,390 
Ser. 374, Class 6, IO, 5 1/2s, 2036  278,128  55,003 
Ser. 12-132, Class PI, IO, 5s, 2042  6,299,063  1,287,907 
Ser. 10-13, Class EI, IO, 5s, 2038  21,110  101 
Ser. 378, Class 19, IO, 5s, 2035  867,856  180,080 
Ser. 12-127, Class BI, IO, 4 1/2s, 2042  747,534  180,186 
Ser. 12-30, Class HI, IO, 4 1/2s, 2040  4,890,023  832,869 
Ser. 409, Class 81, IO, 4 1/2s, 2040  3,649,350  796,784 
Ser. 409, Class 82, IO, 4 1/2s, 2040  2,398,528  527,971 
Ser. 366, Class 22, IO, 4 1/2s, 2035  301,035  19,098 
Ser. 12-75, Class AI, IO, 4 1/2s, 2027  1,703,601  211,911 
Connecticut Avenue Securities FRB Ser. 15-C02,     
Class 1M2, 4.187s, 2025  904,000  878,313 
Connecticut Avenue Securities FRB Ser. 15-C02,     
Class 2M2, 4.187s, 2025  299,000  290,506 
Ser. 418, Class C24, IO, 4s, 2043  2,142,916  469,566 
Ser. 13-41, Class IP, IO, 4s, 2043  2,294,333  376,316 
Ser. 13-44, Class PI, IO, 4s, 2043  2,160,386  338,995 
Ser. 12-96, Class PI, IO, 4s, 2041  998,117  169,899 
Ser. 406, Class 2, IO, 4s, 2041  2,242,342  395,773 
Ser. 406, Class 1, IO, 4s, 2041  1,575,319  344,365 

 

MORTGAGE-BACKED SECURITIES (45.1%)* cont.  Principal amount  Value 
 
Agency collateralized mortgage obligations cont.     
Federal National Mortgage Association     
Ser. 409, Class C16, IO, 4s, 2040  $2,726,876  $548,994 
Ser. 418, Class C15, IO, 3 1/2s, 2043  4,671,050  1,033,616 
Ser. 13-35, Class IP, IO, 3s, 2042  2,881,729  316,540 
Ser. 13-53, Class JI, IO, 3s, 2041  3,114,264  393,892 
Ser. 13-23, Class PI, IO, 3s, 2041  3,348,478  307,893 
FRB Ser. 03-W10, Class 1, IO, 0.905s, 2043  453,330  9,686 
FRB Ser. 00-T6, IO, 0.715s, 2030  1,316,526  27,976 
Ser. 99-51, Class N, PO, zero %, 2029  13,780  12,402 
Government National Mortgage Association     
IFB Ser. 13-129, Class SN, IO, 5.963s, 2043  1,773,481  309,260 
IFB Ser. 13-182, Class LS, IO, 5.953s, 2043  1,639,996  371,314 
IFB Ser. 13-99, Class VS, IO, 5.915s, 2043  1,079,268  222,059 
IFB Ser. 12-77, Class MS, IO, 5.913s, 2042  1,786,494  434,368 
IFB Ser. 11-70, Class SM, IO, 5.705s, 2041  3,062,788  532,588 
IFB Ser. 11-70, Class SH, IO, 5.705s, 2041  3,256,468  575,483 
Ser. 13-22, Class OI, IO, 5s, 2043  2,304,396  458,059 
Ser. 13-3, Class IT, IO, 5s, 2043  2,056,325  451,339 
Ser. 13-6, Class IC, IO, 5s, 2043  1,350,095  273,678 
Ser. 12-146, IO, 5s, 2042  3,174,589  652,156 
Ser. 13-130, Class IB, IO, 5s, 2040  1,505,201  179,190 
Ser. 13-16, Class IB, IO, 5s, 2040  1,838,226  132,209 
Ser. 11-41, Class BI, IO, 5s, 2040  1,429,918  164,243 
Ser. 10-35, Class UI, IO, 5s, 2040  1,852,666  379,797 
Ser. 10-20, Class UI, IO, 5s, 2040  1,612,314  316,272 
Ser. 10-9, Class UI, IO, 5s, 2040  7,190,203  1,484,719 
Ser. 09-121, Class UI, IO, 5s, 2039  3,419,009  694,913 
Ser. 15-79, Class GI, IO, 5s, 2039  1,461,456  320,607 
Ser. 13-34, Class IH, IO, 4 1/2s, 2043  4,657,368  908,173 
Ser. 13-24, Class IC, IO, 4 1/2s, 2043  947,085  178,696 
Ser. 13-24, Class IK, IO, 4 1/2s, 2043  2,739,568  517,559 
Ser. 13-183, Class JI, IO, 4 1/2s, 2043  2,165,788  335,693 
Ser. 14-108, Class IP, IO, 4 1/2s, 2042  574,297  98,946 
Ser. 11-18, Class PI, IO, 4 1/2s, 2040  310,158  45,764 
Ser. 10-35, Class AI, IO, 4 1/2s, 2040  3,208,799  620,614 
Ser. 10-35, Class QI, IO, 4 1/2s, 2040  3,288,633  651,386 
Ser. 13-151, Class IB, IO, 4 1/2s, 2040  3,312,076  683,798 
Ser. 10-9, Class QI, IO, 4 1/2s, 2040  1,602,062  311,401 
Ser. 09-121, Class BI, IO, 4 1/2s, 2039  1,215,376  279,828 
Ser. 10-168, Class PI, IO, 4 1/2s, 2039  755,649  85,872 
Ser. 10-158, Class IP, IO, 4 1/2s, 2039  3,497,444  363,489 
Ser. 10-98, Class PI, IO, 4 1/2s, 2037  848,508  56,214 
Ser. 15-40, IO, 4s, 2045  3,669,636  920,492 
Ser. 14-174, IO, 4s, 2044  1,890,535  384,431 
Ser. 13-165, Class IL, IO, 4s, 2043  1,685,901  292,403 
Ser. 12-47, Class CI, IO, 4s, 2042  3,137,611  623,099 
Ser. 13-102, Class IP, IO, 3 1/2s, 2043  2,544,526  273,537 
Ser. 13-76, IO, 3 1/2s, 2043  6,028,422  794,425 
Ser. 13-28, IO, 3 1/2s, 2043  2,113,099  289,973 
Ser. 13-54, Class JI, IO, 3 1/2s, 2043  2,745,847  397,352 
Ser. 13-37, Class JI, IO, 3 1/2s, 2043  4,444,941  613,491 
Ser. 13-27, Class PI, IO, 3 1/2s, 2042  3,034,847  444,969 
Ser. 12-140, Class IC, IO, 3 1/2s, 2042  2,583,985  555,552 
Ser. 15-69, Class IK, IO, 3 1/2s, 2038  3,236,863  529,745 
Ser. 13-H08, Class CI, IO, 1.667s, 2063  6,142,133  499,048 
Ser. 06-36, Class OD, PO, zero %, 2036  3,765  3,285 
    42,464,420 
Commercial mortgage-backed securities (17.7%)     
Banc of America Commercial Mortgage Trust     
Ser. 06-4, Class AJ, 5.695s, 2046  697,000  713,382 
Banc of America Commercial Mortgage Trust 144A     
FRB Ser. 07-5, Class XW, IO, 0.497s, 2051  27,597,643  204,857 

 

Putnam VT Diversified Income Fund  5 

 


MORTGAGE-BACKED SECURITIES (45.1%)* cont.  Principal amount  Value 
 
Commercial mortgage-backed securities cont.     
Banc of America Merrill Lynch Commercial     
Mortgage, Inc.     
FRB Ser. 05-6, Class G, 5.328s, 2047  $829,000  $826,289 
Ser. 05-4, Class C, 5.147s, 2045  927,000  936,270 
Banc of America Merrill Lynch Commercial     
Mortgage, Inc. 144A Ser. 01-1, Class K, 6 1/8s, 2036  16,868  16,504 
Bear Stearns Commercial Mortgage Securities Trust     
FRB Ser. 06-PW11, Class AJ, 5.597s, 2039  155,000  157,373 
Ser. 05-PWR7, Class B, 5.214s, 2041  923,000  927,615 
Ser. 05-PWR9, Class C, 5.055s, 2042  499,000  498,207 
Bear Stearns Commercial Mortgage Securities Trust     
144A FRB Ser. 06-PW11, Class B, 5.597s, 2039  673,000  672,731 
CD Mortgage Trust 144A     
FRB Ser. 07-CD5, Class E, 6.327s, 2044  578,000  574,942 
FRB Ser. 07-CD5, Class XS, IO, 0.164s, 2044  21,188,781  65,519 
CFCRE Commercial Mortgage Trust 144A     
FRB Ser. 11-C2, Class E, 5.76s, 2047  426,000  451,845 
FRB Ser. 11-C2, Class F, 5 1/4s, 2047  822,000  797,677 
Citigroup Commercial Mortgage Trust Ser. 06-C5,     
Class AJ, 5.482s, 2049  779,000  776,640 
COMM Mortgage Trust Ser. 06-C8, Class AJ, 5.377s, 2046  1,297,000  1,311,254 
COMM Mortgage Trust 144A     
FRB Ser. 13-LC6, Class D, 4.43s, 2046  224,000  212,602 
Ser. 13-LC13, Class E, 3.719s, 2046  566,000  430,847 
Ser. 14-CR18, Class E, 3.6s, 2047  493,000  369,613 
FRB Ser. 07-C9, Class AJFL, 7/8s, 2049  254,000  246,718 
Credit Suisse Commercial Mortgage Trust FRB     
Ser. 06-C5, Class AX, IO, 0.918s, 2039  23,130,138  180,908 
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038     
(Cayman Islands)  536,427  268,214 
CSAIL Commercial Mortgage Trust 144A FRB     
Ser. 15-C1, Class D, 3.945s, 2050  329,000  286,448 
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A,     
Class D, 5.586s, 2044  240,000  251,105 
FFCA Secured Franchise Loan Trust 144A FRB     
Ser. 00-1, Class X, IO, 0.973s, 2020  1,820,711  27,820 
First Union Commercial Mortgage Trust 144A     
Ser. 99-C1, Class G, 5.35s, 2035  351,000  283,039 
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG3,     
Class D, 4.986s, 2042  1,053,000  1,056,893 
GMAC Commercial Mortgage Securities, Inc. Trust     
Ser. 04-C3, Class B, 4.965s, 2041  300,626  310,303 
GS Mortgage Securities Corp. II 144A     
FRB Ser. 13-GC10, Class D, 4.561s, 2046  699,000  666,818 
FRB Ser. 05-GG4, Class XC, IO, 0.781s, 2039  9,224,603  3,981 
GS Mortgage Securities Trust 144A     
FRB Ser. 14-GC18, Class D, 5.113s, 2047  900,000  846,036 
Ser. 11-GC3, Class E, 5s, 2044  528,000  508,871 
JPMBB Commercial Mortgage Securities Trust 144A     
FRB Ser. 14-C18, Class E, 4.47s, 2047  381,000  307,734 
Ser. 14-C25, Class E, 0.033s, 2047  656,000  467,760 
JPMorgan Chase Commercial Mortgage     
Securities Trust     
FRB Ser. 07-CB20, Class AJ, 6.284s, 2051  556,500  577,730 
FRB Ser. 06-LDP6, Class B, 5.682s, 2043  790,000  791,546 
Ser. 06-LDP8, Class B, 5.52s, 2045  203,000  203,581 
FRB Ser. 05-LDP3, Class D, 5.325s, 2042  1,173,000  1,173,235 
FRB Ser. 05-LDP2, Class E, 4.981s, 2042  807,000  809,350 

 

MORTGAGE-BACKED SECURITIES (45.1%)* cont.  Principal amount  Value 
 
Commercial mortgage-backed securities cont.     
JPMorgan Chase Commercial Mortgage Securities     
Trust 144A     
FRB Ser. 07-CB20, Class C, 6.384s, 2051  $1,004,000  $964,141 
FRB Ser. 11-C3, Class E, 5.753s, 2046  528,000  562,649 
FRB Ser. 11-C3, Class F, 5.753s, 2046  401,000  404,056 
FRB Ser. 13-C13, Class D, 4.191s, 2046  305,000  284,805 
Ser. 13-C13, Class E, 3.986s, 2046  818,000  667,910 
Ser. 13-C10, Class E, 3 1/2s, 2047  833,000  671,648 
FRB Ser. 13-LC11, Class E, 3 1/4s, 2046  558,000  430,274 
FRB Ser. 07-CB20, Class X1, IO, 0.451s, 2051  39,062,579  264,336 
LB Commercial Mortgage Trust 144A     
Ser. 99-C1, Class G, 6.41s, 2031  426,255  451,831 
Ser. 98-C4, Class J, 5.6s, 2035  379,000  397,761 
LB-UBS Commercial Mortgage Trust     
FRB Ser. 06-C3, Class C, 5.935s, 2039  406,000  407,523 
Ser. 06-C3, Class AJ, 5.72s, 2039  731,000  746,833 
Ser. 06-C6, Class E, 5.541s, 2039  900,000  892,053 
FRB Ser. 06-C6, Class C, 5.482s, 2039  631,000  616,209 
LSTAR Commercial Mortgage Trust 144A FRB     
Ser. 15-3, Class C, 3.447s, 2048  413,000  360,929 
Merrill Lynch Mortgage Investors Trust FRB     
Ser. 96-C2, Class JS, IO, 0.775s, 2028  4,828  1 
Merrill Lynch Mortgage Trust     
FRB Ser. 08-C1, Class AJ, 6.475s, 2051  575,000  623,024 
FRB Ser. 07-C1, Class A3, 6.029s, 2050  10,026  10,075 
Ser. 05-MCP1, Class D, 5.023s, 2043  454,000  453,224 
Mezz Cap Commercial Mortgage Trust 144A FRB     
Ser. 07-C5, Class X, IO, 5.894s, 2049  876,813  98,641 
ML-CFC Commercial Mortgage Trust Ser. 06-3,     
Class AJ, 5.485s, 2046  937,000  952,245 
Morgan Stanley Bank of America Merrill Lynch     
Trust 144A     
Ser. 14-C17, Class D, 4.855s, 2047  465,000  430,187 
FRB Ser. 13-C11, Class D, 4.562s, 2046  132,000  124,265 
Ser. 14-C15, Class F, 4s, 2047  440,000  336,679 
Ser. 14-C17, Class E, 3 1/2s, 2047  602,000  439,396 
Ser. 14-C19, Class D, 3 1/4s, 2047  550,000  446,535 
Morgan Stanley Capital I Trust     
Ser. 06-HQ9, Class D, 5.862s, 2044  368,000  374,900 
Ser. 06-HQ9, Class C, 5.842s, 2044  1,320,000  1,363,068 
FRB Ser. 06-HQ8, Class D, 5.681s, 2044  513,000  511,004 
Ser. 07-HQ11, Class C, 5.558s, 2044  986,000  986,177 
Ser. 07-HQ11, Class BI, 5.538s, 2044  556,000  563,726 
Morgan Stanley Capital I Trust 144A FRB     
Ser. 08-T29, Class E, 6.46s, 2043  435,000  437,958 
Morgan Stanley Capital I, Inc. 144A FRB     
Ser. 04-RR, Class F7, 6s, 2039  864,995  816,884 
Morgan Stanley Re-REMIC Trust 144A FRB     
Ser. 10-C30A, Class A3B, 5.246s, 2043  980,689  984,611 
STRIPS III, Ltd. 144A FRB Ser. 03-1A, Class N,     
5s, 2018 (Cayman Islands)  158,000  31,600 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E,     
8s, 2038  495,434  123,859 
Wachovia Bank Commercial Mortgage Trust     
FRB Ser. 06-C26, Class AJ, 6.201s, 2045  2,115,000  2,123,608 
FRB Ser. 06-C25, Class AJ, 5.896s, 2043  565,000  577,656 
FRB Ser. 05-C20, Class B, 5.363s, 2042  1,423,000  1,425,183 
FRB Ser. 07-C34, IO, 0.463s, 2046  11,828,795  88,716 

 

6  Putnam VT Diversified Income Fund 

 


MORTGAGE-BACKED SECURITIES (45.1%)* cont.  Principal amount  Value 
 
Commercial mortgage-backed securities cont.     
Wells Fargo Commercial Mortgage Trust 144A     
FRB Ser. 12-LC5, Class E, 4.937s, 2045  $479,000  $450,979 
FRB Ser. 13-LC12, Class D, 4.436s, 2046  742,000  699,465 
WF-RBS Commercial Mortgage Trust 144A     
FRB Ser. 14-C19, Class E, 5.137s, 2047  1,128,000  949,918 
Ser. 12-C6, Class E, 5s, 2045  525,000  455,863 
Ser. 11-C4, Class F, 5s, 2044  1,270,000  1,204,015 
FRB Ser. 13-UBS1, Class E, 4.785s, 2046  555,000  486,363 
Ser. 12-C7, Class F, 4 1/2s, 2045  2,626,000  2,353,684 
Ser. 14-C19, Class D, 4.234s, 2047  629,000  566,457 
    48,825,181 
Residential mortgage-backed securities (non-agency) (12.0%)   
Banc of America Funding Trust FRB Ser. 14-R7,     
Class 3A2, 2.621s, 2036  148,000  118,400 
Banc of America Funding Trust 144A FRB     
Ser. 15-R2, Class 7A2, 0.467s, 2036  400,611  304,464 
BCAP, LLC 144A FRB Ser. 13-RR1, Class 9A4,     
5.719s, 2036  310,000  313,565 
BCAP, LLC Trust     
FRB Ser. 15-RR5, Class 2A3, 1.216s, 2046  580,000  449,094 
FRB Ser. 12-RR5, Class 4A8, 0.355s, 2035  375,000  341,953 
BCAP, LLC Trust 144A     
FRB Ser. 12-RR2, Class 5A12, 6.148s, 2036  800,000  762,000 
FRB Ser. 09-RR5, Class 7A2, 5 1/2s, 2035  825,000  710,738 
FRB Ser. 12-RR12, Class 4A7, 2.779s, 2036  520,000  482,404 
FRB Ser. 12-RR10, Class 9A2, 2.708s, 2035  1,270,000  1,206,500 
FRB Ser. 11-RR2, Class 2A7, 2.627s, 2036  807,956  557,490 
FRB Ser. 15-RR2, Class 26A2, 2.62s, 2036  143,000  126,970 
FRB Ser. 09-RR11, Class 2A2, 2.41s, 2035  1,060,000  964,600 
FRB Ser. 11-RR3, Class 3A6, 2.185s, 2036  637,478  364,956 
Bear Stearns Asset Backed Securities I Trust     
FRB Ser. 04-FR3, Class M6, 5.06s, 2034  33,576  22,447 
FRB Ser. 05-HE5, Class M3, 1.265s, 2035  800,000  656,000 
Citigroup Mortgage Loan Trust FRB Ser. 07-WFH2,     
Class M1, 0.587s, 2037 F  1,440,000  1,160,208 
Citigroup Mortgage Loan Trust 144A     
FRB Ser. 12-4, Class 3A2, 2.65s, 2036  701,861  621,182 
FRB Ser. 09-9, Class 7A2, 2.487s, 2036  700,000  658,875 
Countrywide Alternative Loan Trust     
FRB Ser. 05-38, Class A1, 1.658s, 2035  411,580  374,414 
FRB Ser. 05-76, Class 2A1, 1.158s, 2036 F  457,387  405,016 
FRB Ser. 05-38, Class A3, 0.537s, 2035  1,157,912  1,002,983 
FRB Ser. 05-59, Class 1A1, 0.517s, 2035  851,409  691,770 
FRB Ser. 06-OC2, Class 2A3, 0.477s, 2036  299,312  261,808 
Countrywide Asset-Backed Certificates Trust     
Ser. 05-3, Class MF1, 5.277s, 2035  321,844  296,097 
Ser. 05-1, Class MF1, 5.251s, 2035 F  707,059  685,890 
Ser. 04-15, Class MF2, 5.213s, 2035  444,683  411,332 
FRB Ser. 05-14, Class M3, 0.677s, 2036 F  535,000  374,500 
Countrywide Home Loans Mortgage Pass-Through     
Trust FRB Ser. 06-OA5, Class 1A1, 0.387s, 2046 F  406,300  343,730 
CSMC Trust 144A     
FRB Ser. 11-6R, Class 3A6, 3.033s, 2036  1,050,000  972,563 
FRB Ser. 13-2R, Class 4A2, 2.436s, 2036  927,352  739,563 
FRB Ser. 09-13R, Class 3A2, 2.185s, 2036  530,532  320,972 
Federal Home Loan Mortgage Corporation Structured     
Agency Credit Risk Debt Notes     
FRB Ser. 15-DN1, Class B, 11.687s, 2025  1,047,000  1,256,296 
FRB Ser. 15-DNA1, Class B, 9.387s, 2027  290,000  344,425 
FRB Ser. 15-DNA2, Class B, 7.737s, 2027  600,000  609,660 

 

MORTGAGE-BACKED SECURITIES (45.1%)* cont.    Principal amount  Value 
 
Residential mortgage-backed securities (non-agency) cont.   
First Franklin Mortgage Loan Trust FRB       
Ser. 05-FF4, Class M4, 0.837s, 2035 F    $650,000  $501,719 
Granite Mortgages PLC       
FRB Ser. 03-2, Class 3C, 3.07s, 2043       
(United Kingdom)  GBP  328,968  525,368 
FRB Ser. 03-2, Class 2C1, 2.852s, 2043       
(United Kingdom)  EUR  880,000  988,916 
Green Tree Home Improvement Loan Trust       
Ser. 95-F, Class B2, 7.1s, 2021    $975  974 
GreenPoint Mortgage Funding Trust FRB       
Ser. 05-HY1, Class M1, 0.737s, 2035    500,000  365,450 
GSAA Trust FRB Ser. 05-8, Class M1, 0.677s, 2035  800,000  600,000 
GSAMP Trust FRB Ser. 06-NC1, Class M1, 0.547s, 2036  550,000  400,125 
JPMorgan Mortgage Acquisition Trust FRB       
Ser. 06-CH1, Class M3, 0.505s, 2036    800,000  557,920 
Morgan Stanley Resecuritization Trust 144A       
Ser. 15-R4, Class CB2, 0.598s, 2047    410,000  295,200 
Ser. 15-R4, Class CB3, 0.598s, 2047 ##    80,000  39,328 
MortgageIT Trust       
FRB Ser. 05-3, Class M2, 0.717s, 2035    357,015  316,851 
FRB Ser. 05-3, Class M1, 0.657s, 2035    351,987  315,908 
FRB Ser. 05-3, Class A2, 0.537s, 2035    502,838  451,096 
Nationstar HECM Loan Trust 144A Ser. 15-1A,       
Class A, 3.844s, 2018    289,295  289,295 
Nomura Resecuritization Trust 144A FRB       
Ser. 14-7R, Class 2A3, 0.385s, 2035    498,143  418,440 
Residential Asset Mortgage Products Trust FRB       
Ser. 05-EFC2, Class M6, 0.897s, 2035    350,000  279,993 
Structured Asset Securities Corp. Mortgage Loan     
Trust FRB Ser. 05-WF3, Class M3, 0.767s, 2035 F  1,025,867  777,095 
WaMu Mortgage Pass-Through Certificates Trust     
FRB Ser. 05-AR19, Class A1C3, 0.687s, 2045  2,037,291  1,792,756 
FRB Ser. 05-AR8, Class 2AC2, 0.647s, 2045    1,254,297  1,126,986 
FRB Ser. 05-AR13, Class A1B2, 0.617s, 2045  918,940  824,749 
FRB Ser. 05-AR17, Class A1B2, 0.597s, 2045  766,176  662,742 
FRB Ser. 05-AR19, Class A1C4, 0.587s, 2045  688,632  602,828 
FRB Ser. 05-AR8, Class 2AC3, 0.577s, 2045    447,195  399,122 
FRB Ser. 05-AR17, Class A1B3, 0.537s, 2045  1,188,479  1,035,462 
FRB Ser. 05-AR6, Class 2A1C, 0.527s, 2045    567,241  507,681 
      32,988,869 
 
Total mortgage-backed securities (cost $117,987,425)    $124,278,470 
 
U.S. GOVERNMENT AND AGENCY       
MORTGAGE OBLIGATIONS (39.1%)*    Principal amount  Value 
 
Federal National Mortgage Association       
Pass-Through Certificates       
5 1/2s, TBA, July 1, 2045    $3,000,000  $3,369,844 
4 1/2s, TBA, July 1, 2045    6,000,000  6,487,031 
4s, TBA, July 1, 2045    2,000,000  2,118,750 
3 1/2s, TBA, July 1, 2045    33,000,000  34,002,890 
3s, TBA, July 1, 2045    62,000,000  61,748,125 
Total U.S. government and agency mortgage       
obligations (cost $108,879,727)      $107,726,640 
 
U.S. TREASURY OBLIGATIONS (—%)*    Principal amount  Value 
 
U.S. Treasury Inflation Protected Securities       
2.125%, February 15, 2041 i    $110,187  $137,583 
Total U.S. treasury obligations (cost $137,583)    $137,583 

 

Putnam VT Diversified Income Fund  7 

 


CORPORATE BONDS AND NOTES (32.3%)*  Principal amount  Value 
 
Basic materials (2.7%)     
A Schulman, Inc. 144A company guaranty sr. unsec.     
unsub. notes 6 7/8s, 2023  $209,000  $213,180 
ArcelorMittal SA sr. unsec. bonds 10.6s, 2019     
(France)  160,000  191,200 
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s,     
2025 (France)  86,000  86,000 
ArcelorMittal SA sr. unsec. unsub. notes 7 3/4s,     
2039 (France)  66,000  65,670 
Boise Cascade Co. company guaranty sr. unsec.     
notes 6 3/8s, 2020  292,000  307,330 
Celanese US Holdings, LLC company     
guaranty sr. unsec. unsub. notes 4 5/8s, 2022     
(Germany)  135,000  133,650 
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021     
(Germany)  265,000  283,550 
Cemex SAB de CV 144A company     
guaranty sr. notes 6 1/2s, 2019 (Mexico)  205,000  215,189 
Chemours Co. (The) 144A sr. unsec. notes 7s, 2025  60,000  58,200 
Chemours Co. (The) 144A sr. unsec. notes 6 5/8s, 2023  119,000  115,281 
Compass Minerals International, Inc. 144A company     
guaranty sr. unsec. notes 4 7/8s, 2024  195,000  191,588 
CPG Merger Sub, LLC 144A company     
guaranty sr. unsec. unsub. notes 8s, 2021  276,000  285,246 
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s,     
2020 (Canada)  8,000  7,919 
First Quantum Minerals, Ltd. 144A company     
guaranty sr. unsec. notes 7s, 2021 (Canada)  227,000  216,785 
HD Supply, Inc. company guaranty sr. unsec.     
notes 7 1/2s, 2020  284,000  300,330 
HD Supply, Inc. company guaranty sr. unsec.     
unsub. notes 11 1/2s, 2020  158,000  182,490 
Hexion U.S. Finance Corp. company     
guaranty sr. notes 6 5/8s, 2020  172,000  157,810 
HudBay Minerals, Inc. company guaranty sr. unsec.     
notes 9 1/2s, 2020 (Canada)  270,000  288,225 
Huntsman International, LLC company     
guaranty sr. unsec. unsub. notes 4 7/8s, 2020  260,000  259,350 
Huntsman International, LLC 144A company     
guaranty sr. unsec. unsub. notes 5 1/8s, 2022  112,000  110,320 
JMC Steel Group, Inc. 144A sr. unsec.     
notes 8 1/4s, 2018  81,000  74,115 
Louisiana-Pacific Corp. company     
guaranty sr. unsec. unsub. notes 7 1/2s, 2020  256,000  272,640 
Mercer International, Inc. company     
guaranty sr. unsec. notes 7 3/4s, 2022 (Canada)  149,000  160,175 
Momentive Performance Materials, Inc. company     
guaranty sr. notes 3.88s, 2021  200,000  179,500 
Momentive Performance Materials, Inc. escrow     
company guaranty sr. notes 8 7/8s, 2020 F  200,000  2 
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022     
(Canada)  119,000  117,215 
Norbord, Inc. 144A company     
guaranty sr. notes 6 1/4s, 2023 (Canada)  130,000  131,312 
NOVA Chemicals Corp. 144A sr. unsec. notes 5s,     
2025 (Canada)  40,000  40,150 
Perstorp Holding AB 144A company     
guaranty sr. notes 8 3/4s, 2017 (Sweden)  215,000  223,600 
Platform Specialty Products Corp. 144A sr. unsec.     
notes 6 1/2s, 2022  145,000  150,438 
PQ Corp. 144A sr. notes 8 3/4s, 2018  170,000  173,400 

 

CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Basic materials cont.     
Roofing Supply Group, LLC/Roofing Supply     
Finance, Inc. 144A company guaranty sr. unsec.     
notes 10s, 2020  $128,000  $130,880 
Ryerson, Inc./Joseph T Ryerson & Son, Inc.     
company guaranty sr. notes 9s, 2017  225,000  226,688 
SBA Communications Corp. sr. sub. unsec.     
notes 4 7/8s, 2022  179,000  174,301 
Sealed Air Corp. 144A company guaranty sr. unsec.     
notes 6 7/8s, 2033  216,000  218,160 
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025  45,000  45,338 
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020  35,000  38,588 
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023  170,000  170,638 
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022  54,000  53,190 
Smurfit Kappa Treasury Funding, Ltd. company     
guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland)  109,000  134,615 
Steel Dynamics, Inc. company guaranty sr. unsec.     
unsub. notes 6 3/8s, 2022  40,000  41,850 
Steel Dynamics, Inc. company guaranty sr. unsec.     
unsub. notes 5 1/2s, 2024  50,000  50,000 
Steel Dynamics, Inc. company guaranty sr. unsec.     
unsub. notes 5 1/4s, 2023  25,000  24,813 
Steel Dynamics, Inc. company guaranty sr. unsec.     
unsub. notes 5 1/8s, 2021  30,000  30,060 
TMS International Corp. 144A company     
guaranty sr. unsec. notes 7 5/8s, 2021  120,000  117,000 
TPC Group, Inc. 144A company     
guaranty sr. notes 8 3/4s, 2020  140,000  129,500 
Univar, Inc. 144A sr. unsec. notes 6 3/4s, 2023  50,000  50,500 
USG Corp. 144A company guaranty sr. unsec.     
notes 5 7/8s, 2021  130,000  136,663 
USG Corp. 144A company guaranty sr. unsec.     
notes 5 1/2s, 2025  73,000  72,726 
Weekley Homes, LLC/Weekley Finance Corp.     
sr. unsec. bonds 6s, 2023  70,000  66,150 
WR Grace & Co.- Conn. 144A company     
guaranty sr. unsec. notes 5 5/8s, 2024  198,000  200,475 
WR Grace & Co.- Conn. 144A company     
guaranty sr. unsec. notes 5 1/8s, 2021  227,000  228,703 
    7,532,698 
Capital goods (2.1%)     
ADS Waste Holdings, Inc. company     
guaranty sr. unsec. notes 8 1/4s, 2020  470,000  486,450 
American Axle & Manufacturing, Inc. company     
guaranty sr. unsec. notes 7 3/4s, 2019  508,000  574,040 
Amstead Industries, Inc. 144A company     
guaranty sr. unsec. notes 5 3/8s, 2024  120,000  119,100 
Amstead Industries, Inc. 144A company     
guaranty sr. unsec. notes 5s, 2022  113,000  112,859 
ATS Automation Tooling Systems, Inc. 144A     
sr. unsec. notes 6 1/2s, 2023 (Canada)  125,000  127,500 
Belden, Inc. 144A company guaranty sr. unsec.     
sub. notes 5 1/4s, 2024  87,000  84,390 
Berry Plastics Corp. company     
guaranty notes 5 1/2s, 2022  105,000  105,394 
Bombardier, Inc. 144A sr. unsec. notes 7 1/2s,     
2025 (Canada)  231,000  209,633 
Briggs & Stratton Corp. company     
guaranty sr. unsec. notes 6 7/8s, 2020  247,000  267,995 
Crown Americas, LLC/Crown Americas Capital Corp.     
IV company guaranty sr. unsec. notes 4 1/2s, 2023  96,000  90,660 
Crown Cork & Seal Co., Inc. sr. unsec.     
bonds 7 3/8s, 2026  100,000  112,250 

 

8  Putnam VT Diversified Income Fund 

 


CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Capital goods cont.     
DH Services Luxembourg Sarl 144A company     
guaranty sr. unsec. notes 7 3/4s, 2020     
(Luxembourg)  $250,000  $259,375 
Gates Global, LLC/Gates Global Co. 144A     
sr. unsec. notes 6s, 2022  195,000  176,231 
Huntington Ingalls Industries, Inc. 144A company     
guaranty sr. unsec. notes 5s, 2021  85,000  86,488 
KLX, Inc. 144A company guaranty sr. unsec.     
unsub. notes 5 7/8s, 2022  237,000  239,344 
Manitowoc Co., Inc. (The) company     
guaranty sr. unsec. notes 5 7/8s, 2022  305,000  328,638 
MasTec, Inc. company guaranty sr. unsec.     
unsub. notes 4 7/8s, 2023  306,000  279,225 
Moog, Inc. 144A company guaranty sr. unsec.     
notes 5 1/4s, 2022  70,000  71,225 
Novelis, Inc. company guaranty sr. unsec.     
notes 8 3/4s, 2020  155,000  163,913 
Omega US Sub, LLC 144A sr. unsec. notes 8 3/4s, 2023  150,000  149,625 
Oshkosh Corp. company guaranty sr. sub. unsec.     
notes 5 3/8s, 2025  85,000  85,000 
Oshkosh Corp. company guaranty sr. unsec.     
notes 5 3/8s, 2022  389,000  397,753 
Owens-Brockway Glass Container, Inc. 144A company     
guaranty sr. unsec. notes 5 3/8s, 2025  150,000  146,625 
Pittsburgh Glass Works, LLC 144A company     
guaranty sr. notes 8s, 2018  264,000  277,860 
Terex Corp. company guaranty sr. unsec.     
unsub. notes 6s, 2021  270,000  271,350 
TransDigm, Inc. company guaranty sr. unsec.     
sub. notes 7 1/2s, 2021  50,000  53,750 
TransDigm, Inc. company guaranty sr. unsec.     
sub. notes 6 1/2s, 2024  85,000  83,938 
TransDigm, Inc. company guaranty sr. unsec.     
sub. notes 5 1/2s, 2020  114,000  113,288 
ZF North America Capital, Inc. 144A company     
guaranty sr. unsec. unsub. notes 4 3/4s, 2025  215,000  208,148 
ZF North America Capital, Inc. 144A company     
guaranty sr. unsec. unsub. notes 4 1/2s, 2022  150,000  146,933 
    5,828,980 
Communication services (3.6%)     
Altice Financing SA 144A company     
guaranty sr. notes 6 5/8s, 2023 (Luxembourg)  200,000  198,500 
Altice SA 144A company guaranty sr. notes 7 3/4s,     
2022 (Luxembourg)  400,000  387,500 
Altice SA 144A company guaranty sr. unsec.     
notes 7 5/8s, 2025 (Luxembourg)  200,000  188,000 
Cablevision Systems Corp. sr. unsec.     
unsub. notes 8s, 2020  66,000  71,610 
Cablevision Systems Corp. sr. unsec.     
unsub. notes 7 3/4s, 2018  13,000  14,040 
CCO Holdings, LLC/CCO Holdings Capital Corp.     
company guaranty sr. unsec. notes 6 1/2s, 2021  499,000  521,455 
CCO Holdings, LLC/CCO Holdings Capital Corp.     
company guaranty sr. unsec. notes 5 1/4s, 2022  35,000  34,475 
CCO Holdings, LLC/CCO Holdings Capital Corp.     
company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023  85,000  82,556 
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023  175,000  175,547 
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020  50,000  50,063 
Crown Castle International Corp. sr. unsec.     
notes 5 1/4s, 2023 R  257,000  258,863 
Crown Castle International Corp. sr. unsec.     
unsub. notes 4 7/8s, 2022 R  90,000  90,450 

 

CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Communication services cont.       
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024  $254,000  $243,840 
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021  200,000  211,000 
Digicel, Ltd. 144A company guaranty sr. unsec.       
notes 6 3/4s, 2023 (Jamaica)    200,000  195,500 
DISH DBS Corp. company guaranty sr. unsec.       
unsub. notes 5 7/8s, 2024    180,000  172,913 
Frontier Communications Corp. sr. unsec.       
notes 6 1/4s, 2021    20,000  18,200 
Frontier Communications Corp. sr. unsec.       
unsub. notes 7 5/8s, 2024    60,000  53,250 
Intelsat Jackson Holdings SA company       
guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda)  105,000  95,550 
Intelsat Jackson Holdings SA company       
guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda)  189,000  186,874 
Intelsat Luxembourg SA company       
guaranty sr. unsec. bonds 8 1/8s, 2023       
(Luxembourg)    154,000  127,820 
Intelsat Luxembourg SA company       
guaranty sr. unsec. bonds 7 3/4s, 2021       
(Luxembourg)    284,000  237,140 
Level 3 Communications, Inc. sr. unsec.       
unsub. notes 5 3/4s, 2022    60,000  59,550 
Level 3 Financing, Inc. company       
guaranty sr. unsec. unsub. notes 7s, 2020    26,000  27,593 
Level 3 Financing, Inc. company       
guaranty sr. unsec. unsub. notes 6 1/8s, 2021    65,000  68,166 
Level 3 Financing, Inc. company       
guaranty sr. unsec. unsub. notes 5 3/8s, 2022    130,000  131,300 
Numericable Group SA 144A sr. bonds 6 1/4s, 2024     
(France)    200,000  196,000 
Numericable Group SA 144A sr. notes 6s, 2022       
(France)    600,000  589,500 
Numericable-SFR 144A sr. bonds 5 5/8s, 2024       
(France)  EUR  100,000  112,600 
Quebecor Media, Inc. sr. unsec.       
unsub. notes 5 3/4s, 2023 (Canada)    $221,000  220,448 
SBA Telecommunications, Inc. company       
guaranty sr. unsec. unsub. notes 5 3/4s, 2020    70,000  72,625 
Sprint Capital Corp. company guaranty 6 7/8s, 2028  182,000  156,520 
Sprint Communications, Inc. 144A company       
guaranty sr. unsec. notes 9s, 2018    363,000  409,921 
Sprint Corp. company guaranty sr. unsec.       
notes 7 7/8s, 2023    418,000  407,675 
Sprint Corp. company guaranty sr. unsec.       
notes 7 1/4s, 2021    175,000  170,625 
T-Mobile USA, Inc. company guaranty sr. unsec.     
unsub. notes 6 5/8s, 2023    297,000  308,138 
T-Mobile USA, Inc. company guaranty sr. unsec.     
unsub. notes 6.464s, 2019    85,000  87,550 
T-Mobile USA, Inc. company guaranty sr. unsec.     
unsub. notes 6 3/8s, 2025    135,000  138,038 
T-Mobile USA, Inc. company guaranty sr. unsec.     
unsub. notes 6 1/4s, 2021    258,000  264,450 
T-Mobile USA, Inc. company guaranty sr. unsec.     
unsub. notes 6 1/8s, 2022    240,000  246,600 
T-Mobile USA, Inc. company guaranty sr. unsec.     
unsub. notes 6s, 2023    120,000  122,850 
Telenet Finance V Luxembourg SCA 144A       
sr. notes 6 3/4s, 2024 (Luxembourg)  EUR  365,000  443,495 
Telenet Finance V Luxembourg SCA 144A       
sr. notes 6 1/4s, 2022 (Luxembourg)  EUR  110,000  132,291 

 

Putnam VT Diversified Income Fund  9 

 


CORPORATE BONDS AND NOTES (32.3%)* cont.    Principal amount  Value 
 
Communication services cont.       
Unitymedia Hessen GmbH & Co. KG/Unitymedia     
NRW GmbH company guaranty sr. notes       
5 5/8s, 2023 (Germany)  EUR  93,600  $112,698 
Unitymedia Hessen GmbH & Co. KG/Unitymedia     
NRW GmbH company guaranty sr. notes Ser.       
REGS, 5 3/4s, 2023 (Germany)  EUR  98,100  117,569 
Videotron, Ltd. company guaranty sr. unsec.       
unsub. notes 5s, 2022 (Canada)    $201,000  200,498 
Virgin Media Secured Finance PLC 144A       
sr. notes 6s, 2021 (United Kingdom)  GBP  261,000  426,594 
West Corp. 144A company guaranty sr. unsec.       
notes 5 3/8s, 2022    $239,000  224,063 
WideOpenWest Finance, LLC/WideOpenWest       
Capital Corp. company guaranty sr. unsec.       
notes 10 1/4s, 2019    379,000  404,583 
Wind Acquisition Finance SA 144A company       
guaranty sr. notes 4s, 2020 (Luxembourg)  EUR  125,000  139,281 
Windstream Holdings, Inc. company       
guaranty sr. unsec. unsub. notes 7 3/4s, 2021    $149,000  136,335 
Windstream Holdings, Inc. company       
guaranty sr. unsec. unsub. notes 6 3/8s, 2023    145,000  117,994 
      9,860,696 
Consumer cyclicals (5.5%)       
AMC Entertainment, Inc. company       
guaranty sr. unsec. sub. notes 5 7/8s, 2022    115,000  116,725 
AMC Entertainment, Inc. 144A company       
guaranty sr. unsec. unsub. notes 5 3/4s, 2025    95,000  93,100 
American Tire Distributors, Inc. 144A sr. unsec.       
sub. notes 10 1/4s, 2022    157,000  167,598 
Bon-Ton Department Stores, Inc. (The) company     
guaranty notes 10 5/8s, 2017    231,000  229,268 
Bon-Ton Department Stores, Inc. (The) company     
guaranty notes 8s, 2021    97,000  74,205 
Boyd Gaming Corp. company guaranty sr. unsec.     
sub. notes 6 7/8s, 2023    109,000  111,725 
Brookfield Residential Properties, Inc. 144A       
company guaranty sr. unsec. notes 6 1/2s, 2020     
(Canada)    250,000  248,855 
Brookfield Residential Properties, Inc./Brookfield     
Residential US Corp. 144A company guaranty sr.     
unsec. notes 6 1/8s, 2022 (Canada)    125,000  124,050 
Building Materials Corp. of America 144A       
sr. unsec. notes 6 3/4s, 2021    150,000  156,375 
Building Materials Corp. of America 144A       
sr. unsec. notes 5 3/8s, 2024    323,000  317,138 
Cedar Fair LP/Canada’s Wonderland Co./Magnum     
Management Corp. company guaranty sr. unsec.     
notes 5 3/8s, 2024    45,000  45,504 
Cedar Fair LP/Canada’s Wonderland Co./Magnum     
Management Corp. company guaranty sr. unsec.     
notes 5 1/4s, 2021    120,000  123,300 
Cinemark USA, Inc. company guaranty sr. unsec.     
notes 5 1/8s, 2022    67,000  66,414 
Cinemark USA, Inc. company guaranty sr. unsec.     
notes 4 7/8s, 2023    65,000  62,481 
Cinemark USA, Inc. company guaranty sr. unsec.     
sub. notes 7 3/8s, 2021    50,000  52,875 
Clear Channel Worldwide Holdings, Inc. company     
guaranty sr. unsec. notes 7 5/8s, 2020    162,000  168,885 
Clear Channel Worldwide Holdings, Inc. company     
guaranty sr. unsec. unsub. notes 6 1/2s, 2022    395,000  411,294 

 

CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.       
Cumulus Media Holdings, Inc. company       
guaranty sr. unsec. unsub. notes 7 3/4s, 2019    $133,000  $122,028 
Dana Holding Corp. sr. unsec. notes 5 1/2s, 2024  95,000  93,813 
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023  383,000  399,517 
Family Tree Escrow, LLC 144A sr. unsec.       
unsub. notes 5 3/4s, 2023    60,000  62,700 
Family Tree Escrow, LLC 144A sr. unsec.       
unsub. notes 5 1/4s, 2020    45,000  47,081 
FCA US, LLC/CG Co-Issuer, Inc. company       
guaranty notes 8 1/4s, 2021    410,000  446,900 
Gannett Co., Inc. company guaranty sr. unsec.       
bonds 5 1/8s, 2019    3,000  3,090 
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045  33,000  32,685 
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018  150,000  152,813 
GLP Capital LP/GLP Financing II, Inc. company       
guaranty sr. unsec. notes 4 7/8s, 2020    180,000  183,150 
GLP Capital LP/GLP Financing II, Inc. company       
guaranty sr. unsec. notes 4 3/8s, 2018    70,000  71,838 
Gray Television, Inc. company guaranty sr. unsec.     
notes 7 1/2s, 2020    258,000  273,480 
Great Canadian Gaming Corp. 144A       
company guaranty sr. unsec. notes       
6 5/8s, 2022 (Canada)  CAD  335,000  278,273 
Grupo Televisa SAB sr. unsec. unsub. notes       
Ser. EMTN, 7 1/4s, 2043 (Mexico)  MXN  3,500,000  188,333 
Howard Hughes Corp. (The) 144A sr. unsec.       
notes 6 7/8s, 2021    $157,000  166,420 
Igloo Holdings Corp. 144A sr. unsec.       
unsub. notes 8 1/4s, 2017 ‡‡    105,000  106,313 
iHeartCommunications, Inc. company       
guaranty sr. notes 9s, 2021    268,000  242,540 
iHeartCommunications, Inc. company       
guaranty sr. notes 9s, 2019    305,000  290,665 
Interactive Data Corp. 144A company       
guaranty sr. unsec. notes 5 7/8s, 2019    42,000  42,210 
Isle of Capri Casinos, Inc. company       
guaranty sr. unsec. notes 5 7/8s, 2021    105,000  107,888 
JC Penney Corp, Inc. company guaranty sr. unsec.     
bonds 8 1/8s, 2019    24,000  23,760 
JC Penney Corp, Inc. company guaranty sr. unsec.     
notes 5 3/4s, 2018    44,000  43,065 
JC Penney Corp, Inc. company guaranty sr. unsec.     
unsub. notes 5.65s, 2020    29,000  26,173 
Jo-Ann Stores Holdings, Inc. 144A sr. unsec.       
notes 9 3/4s, 2019 ‡‡    115,000  102,925 
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019  248,000  233,430 
L Brands, Inc. company guaranty sr. unsec.       
notes 6 5/8s, 2021    246,000  272,138 
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022    105,000  110,513 
Lamar Media Corp. company       
guaranty sr. sub. notes 5 7/8s, 2022    70,000  72,450 
Lamar Media Corp. company guaranty sr. unsec.     
notes 5 3/8s, 2024    84,000  84,945 
Lender Processing Services, Inc./Black Knight       
Lending Solutions, Inc. company       
guaranty sr. unsec. unsub. notes 5 3/4s, 2023    157,000  166,420 
Lennar Corp. company guaranty sr. unsec.       
unsub. notes 4 3/4s, 2022    243,000  238,748 
Masonite International Corp. 144A company       
guaranty sr. unsec. notes 5 5/8s, 2023    65,000  66,056 
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s,     
2020 (Canada)    310,000  299,150 

 

10  Putnam VT Diversified Income Fund 

 


CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.     
Media General Financing Sub, Inc. 144A sr. unsec.     
notes 5 7/8s, 2022  $118,000  $119,475 
MGM Resorts International company     
guaranty sr. unsec. notes 6 3/4s, 2020  210,000  222,600 
MGM Resorts International company     
guaranty sr. unsec. notes 5 1/4s, 2020  168,000  169,260 
MGM Resorts International company     
guaranty sr. unsec. unsub. notes 6 5/8s, 2021  181,000  189,145 
MTR Gaming Group, Inc. company     
guaranty notes 11 1/2s, 2019  691,867  735,974 
Navistar International Corp. sr. notes 8 1/4s, 2021  31,000  29,605 
Neiman Marcus Group, LLC (The) company     
guaranty sr. notes 7 1/8s, 2028  125,000  125,625 
Neiman Marcus Group, Ltd. 144A company     
guaranty sr. unsec. notes 8 3/4s, 2021 ‡‡  244,000  261,995 
Neiman Marcus Group, Ltd. 144A company     
guaranty sr. unsec. notes 8s, 2021  100,000  105,250 
Nielsen Co. Luxembourg Sarl (The) 144A company     
guaranty sr. unsec. notes 5 1/2s, 2021     
(Luxembourg)  253,000  254,581 
Nortek, Inc. company guaranty sr. unsec.     
notes 8 1/2s, 2021  77,000  82,198 
Outfront Media Capital, LLC/Outfront Media     
Capital Corp. company guaranty sr. unsec.     
notes 5 7/8s, 2025  125,000  129,375 
Outfront Media Capital, LLC/Outfront Media     
Capital Corp. company guaranty sr. unsec.     
notes 5 5/8s, 2024  203,000  208,583 
Owens Corning company guaranty sr. unsec.     
unsub. notes 4.2s, 2024  165,000  161,688 
Penn National Gaming, Inc. sr. unsec.     
notes 5 7/8s, 2021  200,000  201,500 
Penske Automotive Group, Inc. company     
guaranty sr. unsec. sub. notes 5 3/4s, 2022  200,000  208,000 
Penske Automotive Group, Inc. company     
guaranty sr. unsec. sub. notes 5 3/8s, 2024  140,000  141,750 
Petco Animal Supplies, Inc. 144A company     
guaranty sr. unsec. notes 9 1/4s, 2018  140,000  145,075 
Regal Entertainment Group sr. unsec.     
notes 5 3/4s, 2023  183,000  181,170 
Regal Entertainment Group sr. unsec.     
notes 5 3/4s, 2022  35,000  35,392 
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh     
Finance Corp. 144A sr. notes 9 1/2s, 2019  48,000  50,340 
Sabre GLBL, Inc. 144A company     
guaranty sr. notes 5 3/8s, 2023  145,000  142,825 
Scientific Games Corp. company     
guaranty sr. unsec. sub. notes 8 1/8s, 2018  51,000  48,195 
Scientific Games International, Inc. company     
guaranty sr. unsec. notes 10s, 2022  285,000  272,888 
Scientific Games International, Inc. company     
guaranty sr. unsec. sub. notes 6 1/4s, 2020  45,000  34,988 
Scientific Games International, Inc. 144A company     
guaranty sr. notes 7s, 2022  145,000  149,713 
Sinclair Television Group, Inc. company     
guaranty sr. unsec. notes 6 3/8s, 2021  87,000  89,828 
Sinclair Television Group, Inc. company     
guaranty sr. unsec. notes 5 3/8s, 2021  38,000  38,285 
Sinclair Television Group, Inc. sr. unsec.     
notes 6 1/8s, 2022  32,000  32,880 
Sinclair Television Group, Inc. 144A company     
guaranty sr. unsec. notes 5 5/8s, 2024  213,000  208,208 

 

CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Consumer cyclicals cont.       
Sirius XM Radio, Inc. 144A company       
guaranty sr. unsec. notes 6s, 2024    $150,000  $151,125 
Sirius XM Radio, Inc. 144A sr. unsec.       
bonds 5 7/8s, 2020    184,000  189,520 
Sirius XM Radio, Inc. 144A sr. unsec.       
notes 5 1/4s, 2022    25,000  26,125 
Six Flags Entertainment Corp. 144A company     
guaranty sr. unsec. unsub. notes 5 1/4s, 2021  301,000  307,773 
Spectrum Brands, Inc. company guaranty sr. unsec.     
notes 6 5/8s, 2022    15,000  15,975 
Spectrum Brands, Inc. company guaranty sr. unsec.     
notes 6 3/8s, 2020    15,000  15,863 
Spectrum Brands, Inc. company guaranty sr. unsec.     
unsub. notes 6 3/4s, 2020    85,000  89,505 
Spectrum Brands, Inc. 144A company       
guaranty sr. unsec. notes 5 3/4s, 2025    95,000  96,425 
Standard Pacific Corp. company       
guaranty sr. unsec. notes 6 1/4s, 2021    140,000  148,400 
Standard Pacific Corp. company       
guaranty sr. unsec. notes 5 7/8s, 2024    80,000  82,400 
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse     
HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021  169,000  160,550 
Taylor Morrison Communities, Inc./Monarch     
Communities, Inc. 144A company       
guaranty sr. unsec. notes 5 5/8s, 2024    70,000  67,375 
Taylor Morrison Communities, Inc./Monarch     
Communities, Inc. 144A company       
guaranty sr. unsec. notes 5 1/4s, 2021    300,000  295,500 
TEGNA, Inc. company guaranty sr. unsec.       
bonds 5 1/8s, 2020    120,000  122,850 
TEGNA, Inc. 144A company guaranty sr. unsec.     
notes 4 7/8s, 2021    63,000  62,528 
Thomas Cook Finance PLC 144A company       
guaranty sr. unsec. bonds 6 3/4s, 2021       
(United Kingdom)  EUR  335,000  386,236 
Tri Pointe Holdings, Inc. sr. unsec.       
notes 5 7/8s, 2024    $150,000  147,000 
Tribune Co. 144A company guaranty sr. unsec.     
notes 5 7/8s, 2022    130,000  130,975 
Univision Communications, Inc. 144A company     
guaranty sr. unsec. notes 8 1/2s, 2021    107,000  112,618 
      15,006,436 
Consumer staples (2.1%)       
Ashtead Capital, Inc. 144A company       
guaranty notes 5 5/8s, 2024    200,000  199,500 
Ashtead Capital, Inc. 144A company       
guaranty sr. notes 6 1/2s, 2022    250,000  265,000 
Avis Budget Car Rental, LLC/Avis Budget       
Finance, Inc. company guaranty sr. unsec.       
unsub. notes 5 1/2s, 2023    195,000  192,563 
BC ULC/New Red Finance, Inc. 144A company     
guaranty sr. notes 4 5/8s, 2022 (Canada)    70,000  69,038 
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022     
(Canada)    340,000  349,350 
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019  225,000  231,188 
CEC Entertainment, Inc. company       
guaranty sr. unsec. notes 8s, 2022    104,000  103,220 
Ceridian HCM Holding, Inc. 144A sr. unsec.       
notes 11s, 2021    375,000  396,563 
Constellation Brands, Inc. company       
guaranty sr. unsec. unsub. notes 6s, 2022    115,000  125,375 
Constellation Brands, Inc. company       
guaranty sr. unsec. notes 4 1/4s, 2023    60,000  59,100 

 

Putnam VT Diversified Income Fund  11 

 


CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Consumer staples cont.     
Constellation Brands, Inc. company     
guaranty sr. unsec. notes 3 3/4s, 2021  $285,000  $279,300 
Corrections Corp. of America company     
guaranty sr. unsec. notes 4 5/8s, 2023 R  233,000  228,340 
Corrections Corp. of America company     
guaranty sr. unsec. notes 4 1/8s, 2020 R  50,000  49,750 
Dean Foods Co. 144A sr. unsec. notes 6 1/2s, 2023  135,000  137,194 
Elizabeth Arden, Inc. sr. unsec.     
unsub. notes 7 3/8s, 2021  394,000  319,140 
ESAL GmbH 144A company guaranty sr. unsec.     
notes 6 1/4s, 2023 (Brazil)  200,000  197,250 
JBS USA, LLC/JBS USA Finance, Inc. 144A     
sr. unsec. notes 8 1/4s, 2020 (Brazil)  83,000  87,980 
JBS USA, LLC/JBS USA Finance, Inc. 144A     
sr. unsec. notes 7 1/4s, 2021 (Brazil)  460,000  484,725 
Landry’s Holdings II, Inc. 144A sr. unsec.     
notes 10 1/4s, 2018  60,000  62,250 
Landry’s, Inc. 144A sr. unsec. notes 9 3/8s, 2020  414,000  444,015 
Pilgrim’s Pride Corp. 144A company     
guaranty sr. unsec. notes 5 3/4s, 2025  80,000  80,800 
Prestige Brands, Inc. 144A sr. unsec.     
notes 5 3/8s, 2021  145,000  145,000 
Revlon Consumer Products Corp. company     
guaranty sr. unsec. notes 5 3/4s, 2021  290,000  284,200 
Rite Aid Corp. 144A company guaranty sr. unsec.     
notes 6 1/8s, 2023  175,000  180,250 
United Rentals North America, Inc. company     
guaranty sr. unsec. notes 7 5/8s, 2022  55,000  59,538 
United Rentals North America, Inc. company     
guaranty sr. unsec. notes 5 3/4s, 2024  143,000  140,855 
United Rentals North America, Inc. company     
guaranty sr. unsec. notes 5 1/2s, 2025  125,000  121,094 
United Rentals North America, Inc. company     
guaranty sr. unsec. unsub. notes 6 1/8s, 2023  328,000  334,970 
Vander Intermediate Holding II Corp. 144A     
sr. unsec. notes 9 3/4s, 2019 ‡‡  165,000  162,525 
WhiteWave Foods Co. (The) company     
guaranty sr. unsec. unsub. notes 5 3/8s, 2022  85,000  89,675 
    5,879,748 
Energy (5.5%)     
Alpha Natural Resources, Inc. company     
guaranty sr. unsec. notes 6 1/4s, 2021  165,000  9,900 
Antero Resources Corp. company     
guaranty sr. unsec. notes 5 1/8s, 2022  135,000  127,575 
Antero Resources Corp. 144A company     
guaranty sr. unsec. notes 5 5/8s, 2023  95,000  91,794 
Antero Resources Finance Corp. company     
guaranty sr. unsec. notes 5 3/8s, 2021  150,000  144,000 
Baytex Energy Corp. 144A company     
guaranty sr. unsec. notes 5 5/8s, 2024 (Canada)  110,000  102,025 
Baytex Energy Corp. 144A company     
guaranty sr. unsec. notes 5 1/8s, 2021 (Canada)  18,000  16,920 
California Resources Corp. company     
guaranty sr. unsec. notes 6s, 2024  313,000  269,180 
California Resources Corp. company     
guaranty sr. unsec. notes 5s, 2020  100,000  88,000 
Chaparral Energy, Inc. company     
guaranty sr. unsec. notes 9 7/8s, 2020  195,000  158,925 
CHC Helicopter SA company     
guaranty sr. notes 9 1/4s, 2020 (Canada)  283,500  206,246 
Chesapeake Energy Corp. company     
guaranty sr. unsec. unsub. notes 6 1/8s, 2021  61,000  57,340 

 

CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Energy cont.     
Chesapeake Energy Corp. company     
guaranty sr. unsec. notes 5 3/4s, 2023  $115,000  $104,075 
Chesapeake Energy Corp. company     
guaranty sr. unsec. notes 4 7/8s, 2022  95,000  82,413 
Concho Resources, Inc. company     
guaranty sr. unsec. notes 6 1/2s, 2022  300,000  312,750 
Concho Resources, Inc. company     
guaranty sr. unsec. unsub. notes 5 1/2s, 2023  207,000  207,000 
Concho Resources, Inc. company     
guaranty sr. unsec. unsub. notes 5 1/2s, 2022  116,000  115,420 
CONSOL Energy, Inc. company guaranty sr. unsec.     
unsub. notes 5 7/8s, 2022  90,000  76,500 
Denbury Resources, Inc. company     
guaranty sr. unsec. sub. notes 6 3/8s, 2021  43,000  41,280 
Denbury Resources, Inc. company     
guaranty sr. unsec. sub. notes 5 1/2s, 2022  170,000  152,150 
EXCO Resources, Inc. company guaranty sr. unsec.     
notes 7 1/2s, 2018  135,000  85,388 
Exterran Partners LP/EXLP Finance Corp. company     
guaranty sr. unsec. notes 6s, 2022  160,000  152,000 
Freeport-McMoran Oil & Gas, LLC/FCX Oil &     
Gas, Inc. company guaranty sr. unsec.     
notes 6 3/4s, 2022  82,000  86,920 
Freeport-McMoran Oil & Gas, LLC/FCX Oil &     
Gas, Inc. company guaranty sr. unsec.     
unsub. notes 6 7/8s, 2023  21,000  22,523 
FTS International, Inc. 144A company     
guaranty sr. FRN 7.783s, 2020  75,000  74,632 
Gazprom OAO Via Gaz Capital SA sr. unsec.     
notes Ser. REGS, EMTN, 7.288s, 2037 (Russia)  335,000  331,650 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec.     
notes 7.288s, 2037 (Russia)  240,000  236,400 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec.     
unsub. notes 9 1/4s, 2019 (Russia)  690,000  766,763 
Gulfport Energy Corp. company guaranty sr. unsec.     
unsub. notes 7 3/4s, 2020  404,000  423,190 
Halcon Resources Corp. company     
guaranty sr. unsec. unsub. notes 9 3/4s, 2020  150,000  100,875 
Halcon Resources Corp. company     
guaranty sr. unsec. unsub. notes 8 7/8s, 2021  382,000  251,165 
Hiland Partners LP/Hiland Partners Finance Corp.     
144A company guaranty sr. notes 7 1/4s, 2020  180,000  194,400 
Hiland Partners LP/Hiland Partners Finance Corp.     
144A company guaranty sr. unsec. notes 5 1/2s, 2022  45,000  46,913 
Hilcorp Energy I LP/Hilcorp Finance Co. 144A     
sr. unsec. notes 5s, 2024  70,000  65,639 
Key Energy Services, Inc. company guaranty unsec.     
unsub. notes 6 3/4s, 2021  158,000  93,220 
Lightstream Resources, Ltd. 144A sr. unsec.     
notes 8 5/8s, 2020 (Canada)  206,000  132,355 
Linn Energy, LLC/Linn Energy Finance Corp.     
company guaranty sr. unsec. notes 6 1/2s, 2021  94,000  70,500 
Linn Energy, LLC/Linn Energy Finance Corp.     
company guaranty sr. unsec. notes 6 1/2s, 2019  120,000  96,900 
Linn Energy, LLC/Linn Energy Finance Corp.     
company guaranty sr. unsec. notes 6 1/4s, 2019  315,000  246,488 
Lone Pine Resources Canada, Ltd. escrow company     
guaranty sr. unsec. unsub. notes 10 3/8s, 2017     
(Canada) F  104,000  6 
Lukoil International Finance BV 144A company     
guaranty sr. unsec. unsub. bonds 6.656s, 2022     
(Russia)  430,000  444,083 

 

12  Putnam VT Diversified Income Fund 

 


CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Energy cont.     
Milagro Oil & Gas, Inc. company     
guaranty notes 10 1/2s, 2016 (In default) †  $300,000  $60,000 
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022  100,000  102,000 
Newfield Exploration Co. sr. unsec.     
unsub. notes 5 3/8s, 2026  95,000  94,050 
Oasis Petroleum, Inc. company guaranty sr. unsec.     
notes 6 7/8s, 2023  110,000  109,725 
Oasis Petroleum, Inc. company guaranty sr. unsec.     
unsub. notes 6 7/8s, 2022  155,000  157,325 
Offshore Group Investment, Ltd. company     
guaranty sr. notes 7 1/2s, 2019 (Cayman Islands)  250,000  152,345 
Offshore Group Investment, Ltd. company     
guaranty sr. notes 7 1/8s, 2023 (Cayman Islands)  113,000  68,930 
Paragon Offshore PLC 144A company     
guaranty sr. unsec. notes 6 3/4s, 2022  85,000  28,050 
Paragon Offshore PLC 144A company     
guaranty sr. unsec. unsub. notes 7 1/4s, 2024  284,000  92,300 
Pertamina Persero PT 144A sr. unsec.     
notes 4 7/8s, 2022 (Indonesia)  200,000  201,750 
Pertamina Persero PT 144A sr. unsec.     
unsub. notes 4.3s, 2023 (Indonesia)  285,000  272,888 
Petrobras Global Finance BV company     
guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil)  52,000  46,234 
Petroleos de Venezuela SA company     
guaranty sr. unsec. notes 5 1/4s, 2017     
(Venezuela)  3,220,000  1,610,000 
Petroleos de Venezuela SA company     
guaranty sr. unsec. unsub. notes 5 3/8s, 2027     
(Venezuela)  1,065,000  361,035 
Petroleos de Venezuela SA sr. unsec.     
notes 5 1/8s, 2016 (Venezuela)  711,000  469,616 
Petroleos de Venezuela SA sr. unsec.     
sub. bonds 5s, 2015 (Venezuela)  413,000  402,262 
Petroleos de Venezuela SA 144A company     
guaranty sr. notes 8 1/2s, 2017 (Venezuela)  1,270,000  869,950 
Petroleos de Venezuela SA 144A company     
guaranty sr. unsec. notes 6s, 2026 (Venezuela)  760,000  267,900 
Petroleos Mexicanos company guaranty sr. unsec.     
unsub. bonds 6 5/8s, 2035 (Mexico)  380,000  405,650 
Petroleos Mexicanos 144A company     
guaranty sr. unsec. notes 4 1/2s, 2026 (Mexico)  85,000  83,229 
Petroleos Mexicanos 144A company     
guaranty sr. unsec. unsub. notes 5 5/8s, 2046     
(Mexico)  475,000  445,470 
Petroleos Mexicanos 144A company     
guaranty sr. unsec. unsub. notes 3 1/2s, 2020     
(Mexico)  220,000  222,642 
Rose Rock Midstream LP/Rose Rock Finance Corp.     
company guaranty sr. unsec. notes 5 5/8s, 2022  60,000  58,650 
Rose Rock Midstream LP/Rose Rock Finance Corp.     
144A company guaranty sr. unsec. notes 5 5/8s, 2023  95,000  91,913 
Sabine Pass Liquefaction, LLC company     
guaranty sr. notes 5 5/8s, 2023  100,000  99,656 
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022  100,000  104,000 
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024  100,000  99,625 
Sabine Pass LNG LP company     
guaranty sr. notes 6 1/2s, 2020  95,000  98,325 
Samson Investment Co. company guaranty sr. unsec.     
unsub. notes 9 3/4s, 2020  535,000  30,763 
SandRidge Energy, Inc. 144A company     
guaranty notes 8 3/4s, 2020  185,000  167,888 

 

CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Energy cont.       
Seven Generations Energy, Ltd. 144A sr. unsec.     
notes 8 1/4s, 2020 (Canada)    $170,000  $180,625 
Seventy Seven Energy, Inc. sr. unsec.       
notes 6 1/2s, 2022    20,000  12,600 
Shelf Drilling Holdings, Ltd. 144A       
sr. notes 8 5/8s, 2018    194,000  172,660 
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023  130,000  133,250 
Tervita Corp. 144A company guaranty       
sr. notes 9s, 2018 (Canada)  CAD  50,000  35,629 
Tervita Corp. 144A sr. notes 8s, 2018 (Canada)  $60,000  54,600 
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018     
(Canada)    45,000  31,455 
Triangle USA Petroleum Corp. 144A sr. unsec.     
notes 6 3/4s, 2022    30,000  23,250 
Unit Corp. company       
guaranty sr. sub. notes 6 5/8s, 2021    220,000  213,400 
Whiting Petroleum Corp. company       
guaranty sr. unsec. unsub. notes 5 3/4s, 2021  210,000  206,325 
Williams Partners LP/ACMP Finance Corp. company     
guaranty sr. unsec. unsub. notes 6 1/8s, 2022  165,000  175,313 
Williams Partners LP/ACMP Finance Corp. company     
guaranty sr. unsec. unsub. notes 4 7/8s, 2023  305,000  300,806 
      15,099,587 
Financials (5.1%)       
Alliance Data Systems Corp. 144A company     
guaranty sr. unsec. notes 5 3/8s, 2022    165,000  162,525 
Ally Financial, Inc. company guaranty sr. unsec.     
unsub. notes 8s, 2031    293,000  350,868 
American International Group, Inc. jr. sub. FRB     
8.175s, 2058    72,000  95,328 
Baggot Securities, Ltd. 144A jr.       
sub. notes 10.24s, perpetual maturity (Ireland) EUR  630,000  723,089 
Banco do Brasil SA/Cayman 144A unsec.       
sub. notes 5 7/8s, 2022 (Brazil)    $1,295,000  1,279,854 
Bank of America Corp. jr. unsec. sub. FRN       
Ser. AA, 6.1s, perpetual maturity    175,000  172,375 
Bank of America Corp. jr. unsec. sub. FRN Ser. Z,     
6 1/2s, perpetual maturity    80,000  82,800 
BBVA International Preferred SAU company     
guaranty jr. unsec. sub. FRB 5.919s, perpetual     
maturity (Spain)    39,000  39,975 
CBRE Services, Inc. company guaranty sr. unsec.     
notes 5 1/4s, 2025    75,000  77,625 
CBRE Services, Inc. company guaranty sr. unsec.     
unsub. notes 5s, 2023    99,000  99,990 
CIT Group, Inc. sr. unsec. notes 5s, 2023    125,000  124,688 
CIT Group, Inc. sr. unsec. notes 5s, 2022    325,000  321,750 
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020  175,000  182,438 
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019  70,000  69,475 
CNO Financial Group, Inc. sr. unsec.       
unsub. notes 5 1/4s, 2025    85,000  86,377 
CNO Financial Group, Inc. sr. unsec.       
unsub. notes 4 1/2s, 2020    90,000  91,350 
Community Choice Financial, Inc. company     
guaranty sr. notes 10 3/4s, 2019    118,000  60,328 
Credit Acceptance Corp. company       
guaranty sr. unsec. bonds 6 1/8s, 2021    134,000  134,335 
DFC Finance Corp. 144A company       
guaranty sr. notes 10 1/2s, 2020    160,000  121,200 
Dresdner Funding Trust I jr. unsec.       
sub. notes 8.151s, 2031    250,000  312,188 

 

Putnam VT Diversified Income Fund  13 

 


CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Financials cont.       
E*Trade Financial Corp. sr. unsec.       
unsub. notes 5 3/8s, 2022    $115,000  $117,875 
E*Trade Financial Corp. sr. unsec.       
unsub. notes 4 5/8s, 2023    150,000  148,125 
Genworth Holdings, Inc. company guaranty jr.       
unsec. sub. FRB 6.15s, 2066    78,000  47,580 
HSBC Capital Funding LP/Jersey bank guaranty jr.     
unsec. sub. FRB 5.13s, perpetual maturity       
(Jersey)  EUR  208,000  236,526 
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A     
sr. unsec. notes 8 1/8s, 2019 ‡‡    $53,000  52,735 
HUB International, Ltd. 144A sr. unsec.       
notes 7 7/8s, 2021    220,000  224,400 
Icahn Enterprises LP/Icahn Enterprises       
Finance Corp. company guaranty sr. unsec.       
notes 5 7/8s, 2022    195,000  198,656 
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018 R  145,000  151,888 
iStar Financial, Inc. sr. unsec. notes 5s, 2019 R    10,000  9,863 
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN     
6.657s, perpetual maturity (United Kingdom)    125,000  140,156 
MPT Operating Partnership LP/MPT Finance Corp.     
company guaranty sr. unsec. notes 6 7/8s, 2021 R  102,000  107,738 
MPT Operating Partnership LP/MPT Finance Corp.     
company guaranty sr. unsec. unsub. notes 6 3/8s,     
2022 R    265,000  283,219 
Nationstar Mortgage, LLC/Nationstar Capital Corp.     
company guaranty sr. unsec. notes 7 7/8s, 2020    100,000  99,750 
Nationstar Mortgage, LLC/Nationstar Capital Corp.     
company guaranty sr. unsec. unsub. notes 6 1/2s, 2021  270,000  251,438 
Ocwen Financial Corp. 144A company       
guaranty sr. unsec. notes 7 1/8s, 2019    101,000  94,435 
OneMain Financial Holdings, Inc. 144A company       
guaranty sr. unsec. notes 6 3/4s, 2019    109,000  113,633 
OneMain Financial Holdings, Inc. 144A company       
guaranty sr. unsec. unsub. notes 7 1/4s, 2021    100,000  103,750 
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019    102,000  107,865 
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021    60,000  58,875 
Provident Funding Associates LP/PFG Finance Corp.     
144A company guaranty sr. unsec. notes 6 3/4s, 2021  245,000  232,750 
Royal Bank of Scotland Group PLC jr. sub. unsec.       
FRN Ser. U, 7.64s, perpetual maturity       
(United Kingdom)    300,000  321,750 
Royal Bank of Scotland Group PLC jr. unsec.       
sub. FRB 7.092s, perpetual maturity       
(United Kingdom)  EUR  400,000  477,156 
Royal Bank of Scotland Group PLC unsec.       
sub. notes 5 1/8s, 2024 (United Kingdom)    $105,000  104,872 
Russian Agricultural Bank OJSC Via RSHB Capital       
SA 144A sr. unsec. notes 7 3/4s, 2018 (Russia)    900,000  928,800 
Sberbank of Russia Via SB Capital SA 144A       
sr. notes 6 1/8s, 2022 (Russia)    250,000  241,875 
Societe Generale SA 144A jr. unsec. sub. FRB       
7 7/8s, perpetual maturity (France)    200,000  202,000 
Springleaf Finance Corp. company       
guaranty sr. unsec. unsub. notes Ser. MTN, 6.9s, 2017  175,000  185,500 
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019  155,000  152,869 
Springleaf Finance Corp. sr. unsec.       
unsub. notes 6s, 2020    230,000  232,576 
State Bank of India/London 144A sr. unsec.       
notes 4 1/2s, 2015 (India)    215,000  215,408 
TMX Finance, LLC/TitleMax Finance Corp. 144A       
sr. notes 8 1/2s, 2018    25,000  20,500 

 

CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Financials cont.       
UBS AG/Jersey jr. unsec. sub. FRN Ser. EMTN,     
7.152s, perpetual maturity (Jersey)  EUR  200,000  $246,382 
Ukreximbank Via Biz Finance PLC sr. unsec.       
unsub. bonds 8 3/8s, 2015 (Ukraine)    $250,000  191,250 
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021  299,000  303,485 
Vnesheconombank Via VEB Finance PLC 144A     
sr. unsec. unsub. notes 6.8s, 2025 (Russia)    255,000  228,863 
VTB Bank OJSC 144A jr. unsec. sub. FRN 9 1/2s,     
perpetual maturity (Russia)    1,000,000  902,500 
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec.     
notes 6 7/8s, 2018 (Russia)    1,548,000  1,565,446 
Walter Investment Management Corp. company     
guaranty sr. unsec. unsub. notes 7 7/8s, 2021  140,000  129,850 
      14,020,897 
Health care (2.5%)       
Acadia Healthcare Co., Inc. company       
guaranty sr. unsec. notes 6 1/8s, 2021    225,000  231,750 
Acadia Healthcare Co., Inc. company       
guaranty sr. unsec. notes 5 1/8s, 2022    85,000  84,363 
Capsugel SA 144A sr. unsec. notes 7s, 2019     
(Luxembourg) ‡‡    50,000  50,881 
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022  135,000  139,050 
CHS/Community Health Systems, Inc. company     
guaranty sr. notes 5 1/8s, 2021    30,000  30,563 
CHS/Community Health Systems, Inc. company     
guaranty sr. notes 5 1/8s, 2018    42,000  43,050 
CHS/Community Health Systems, Inc. company     
guaranty sr. unsec. notes 6 7/8s, 2022    40,000  42,200 
Concordia Healthcare Corp. 144A company     
guaranty sr. unsec. notes 7s, 2023 (Canada)  125,000  125,000 
Crimson Merger Sub, Inc. 144A sr. unsec.       
notes 6 5/8s, 2022    245,000  214,988 
DaVita HealthCare Partners, Inc. company       
guaranty sr. unsec. notes 5 1/8s, 2024    66,000  64,886 
DPx Holdings BV 144A sr. unsec. notes 7 1/2s,     
2022 (Netherlands)    212,000  221,010 
Endo Finance, LLC 144A company       
guaranty sr. unsec. notes 5 3/4s, 2022    277,000  280,463 
Endo Finance, LLC/Endo Finco, Inc. 144A company     
guaranty sr. unsec. unsub. notes 5 3/8s, 2023  158,000  156,025 
Endo Finance, LLC/Endo, Ltd./Endo Finco, Inc.     
144A company guaranty sr. unsec. notes 6s, 2025  200,000  203,250 
Endo Finance, LLC/Endo, Ltd./Endo Finco, Inc.     
144A company guaranty sr. unsec. notes 6s, 2023  200,000  204,500 
Fresenius US Finance II, Inc. 144A sr. unsec.     
notes 9s, 2015    225,000  225,360 
Halyard Health, Inc. 144A sr. unsec.       
notes 6 1/4s, 2022    156,000  163,410 
HCA, Inc. company guaranty sr. unsec.       
bonds 5 3/8s, 2025    50,000  50,815 
HCA, Inc. sr. notes 6 1/2s, 2020    497,000  555,398 
HCA, Inc. sr. unsec. notes 7 1/2s, 2022    74,000  85,008 
Hologic, Inc. 144A sr. unsec. notes 5 1/4s, 2022  100,000  102,125 
Jaguar Holding Co. I 144A sr. unsec.       
notes 9 3/8s, 2017 ‡‡    140,000  142,968 
Jaguar Holding Co. II/Jaguar Merger Sub, Inc.     
144A sr. unsec. notes 9 1/2s, 2019    190,000  202,350 
Kinetic Concepts, Inc./KCI USA, Inc. company     
guaranty notes 10 1/2s, 2018    242,000  257,730 
Mallinckrodt International Finance       
SA/Mallinckrodt CB, LLC 144A company       
guaranty sr. unsec. unsub. notes 5 1/2s, 2025     
(Luxembourg)    132,000  128,370 

 

14  Putnam VT Diversified Income Fund 

 


CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Health care cont.     
Omega Healthcare Investors, Inc. company     
guaranty sr. unsec. notes 4.95s, 2024 R  $135,000  $138,081 
Omnicare, Inc. sr. unsec. notes 4 3/4s, 2022  48,000  51,360 
Service Corporation International sr. unsec.     
unsub. notes 5 3/8s, 2024  378,000  395,010 
Service Corporation International sr. unsec.     
unsub. notes 5 3/8s, 2022  279,000  292,950 
Sterigenics-Nordion Holdings, LLC 144A sr. unsec.     
notes 6 1/2s, 2023  109,000  110,635 
Teleflex, Inc. company guaranty sr. unsec.     
notes 5 1/4s, 2024  50,000  50,635 
Tenet Healthcare Corp. company     
guaranty sr. bonds 4 1/2s, 2021  42,000  41,580 
Tenet Healthcare Corp. company     
guaranty sr. bonds 4 3/8s, 2021  117,000  114,368 
Tenet Healthcare Corp. company     
guaranty sr. notes 6 1/4s, 2018  342,000  372,780 
Tenet Healthcare Corp. company     
guaranty sr. notes 6s, 2020  164,000  174,865 
Tenet Healthcare Corp. company     
guaranty sr. notes 4 3/4s, 2020  35,000  35,547 
Tenet Healthcare Corp. 144A company     
guaranty sr. FRN 3.786s, 2020  155,000  156,356 
Valeant Pharmaceuticals International 144A     
company guaranty sr. unsec. notes 7s, 2020  40,000  41,600 
Valeant Pharmaceuticals International 144A     
company guaranty sr. unsec. notes 6 3/8s, 2020  160,000  168,400 
Valeant Pharmaceuticals International, Inc. 144A     
company guaranty sr. unsec. notes 5 1/2s, 2023  80,000  80,600 
Valeant Pharmaceuticals International, Inc. 144A     
sr. unsec. notes 6 1/8s, 2025  150,000  154,500 
Valeant Pharmaceuticals International, Inc. 144A     
sr. unsec. notes 5 7/8s, 2023  167,000  171,175 
Valeant Pharmaceuticals International, Inc. 144A     
sr. unsec. notes 5 3/8s, 2020  158,000  162,345 
WellCare Health Plans, Inc. sr. unsec.     
notes 5 3/4s, 2020  265,000  275,600 
    6,993,900 
Technology (1.2%)     
ACI Worldwide, Inc. 144A company     
guaranty sr. unsec. unsub. notes 6 3/8s, 2020  85,000  89,463 
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021  148,000  122,100 
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019  463,000  452,583 
CommScope Technologies Finance, LLC 144A     
sr. unsec. notes 6s, 2025  70,000  69,738 
First Data Corp. company guaranty sr. unsec.     
notes 12 5/8s, 2021  79,000  91,245 
First Data Corp. company guaranty sr. unsec.     
notes 11 1/4s, 2021  78,000  86,580 
First Data Corp. company guaranty sr. unsec.     
sub. notes 11 3/4s, 2021  160,000  180,000 
First Data Corp. 144A company     
guaranty notes 8 1/4s, 2021  139,000  146,645 
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022  115,000  121,900 
Infor US, Inc. 144A sr. unsec. notes 6 1/2s, 2022  245,000  249,288 
Iron Mountain, Inc. company guaranty sr. unsec.     
unsub. notes 6s, 2023 R  210,000  219,450 
Micron Technology, Inc. sr. unsec. bonds 5 7/8s, 2022  181,000  184,168 
Micron Technology, Inc. 144A sr. unsec.     
notes 5 1/4s, 2023  214,000  205,173 
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020     
(Japan)  430,000  431,613 

 

CORPORATE BONDS AND NOTES (32.3%)* cont.  Principal amount  Value 
 
Technology cont.       
SunGard Data Systems, Inc. company       
guaranty sr. unsec. sub. notes 6 5/8s, 2019    $145,000  $149,713 
Techem Energy Metering Service GmbH 144A       
sr. sub. bonds 7 7/8s, 2020 (Germany)  EUR  230,000  278,031 
Zebra Technologies Corp. 144A sr. unsec.       
unsub. notes 7 1/4s, 2022    $213,000  230,573 
      3,308,263 
Transportation (0.2%)       
Air Medical Merger Sub Corp. 144A sr. unsec.       
notes 6 3/8s, 2023    190,000  180,025 
Watco Cos., LLC/Watco Finance Corp. 144A company     
guaranty sr. unsec. notes 6 3/8s, 2023    268,000  271,350 
      451,375 
Utilities and power (1.8%)       
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025  390,000  378,300 
AES Corp./Virginia (The) sr. unsec.       
unsub. notes 7 3/8s, 2021    180,000  197,325 
AES Corp./Virginia (The) sr. unsec.       
unsub. notes 4 7/8s, 2023    85,000  80,963 
Calpine Corp. sr. unsec. notes 5 3/4s, 2025    335,000  325,788 
Calpine Corp. 144A company guaranty sr. notes 6s, 2022  50,000  52,875 
Calpine Corp. 144A company       
guaranty sr. notes 5 7/8s, 2024    40,000  42,400 
Colorado Interstate Gas Co., LLC sr. unsec.       
debs. 6.85s, 2037    290,000  310,394 
Dynegy, Inc. 144A company guaranty sr. unsec.     
notes 7 3/8s, 2022    20,000  20,950 
Dynegy, Inc. 144A company guaranty sr. unsec.     
notes 6 3/4s, 2019    468,000  486,954 
Dynegy, Inc. 144A company guaranty sr. unsec.     
unsub. notes 7 5/8s, 2024    10,000  10,575 
El Paso Natural Gas Co., LLC sr. unsec.       
debs. 8 5/8s, 2022    345,000  425,538 
Energy Future Intermediate Holding Co., LLC/EFIH     
Finance, Inc. 144A notes 11 3/4s,       
2022 (In default) †    134,882  153,597 
Energy Transfer Equity LP company       
guaranty sr. unsec. notes 7 1/2s, 2020    201,000  226,628 
EP Energy, LLC/Everest Acquisition Finance, Inc.     
company guaranty sr. unsec. unsub. notes 7 3/4s, 2022  70,000  73,500 
EP Energy, LLC/Everest Acquisition Finance, Inc.     
sr. unsec. notes 9 3/8s, 2020    345,000  369,581 
EP Energy, LLC/Everest Acquisition Finance, Inc.     
144A company guaranty sr. unsec. notes 6 3/8s, 2023  70,000  70,175 
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020  261,000  265,568 
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018  65,000  66,300 
NRG Energy, Inc. company guaranty sr. unsec.       
notes 7 7/8s, 2021    400,000  426,000 
NRG Yield Operating, LLC 144A company       
guaranty sr. unsec. notes 5 3/8s, 2024    85,000  85,638 
Regency Energy Partners LP/Regency Energy       
Finance Corp. company guaranty sr. unsec.       
unsub. notes 5 7/8s, 2022    175,000  186,290 
Regency Energy Partners LP/Regency Energy       
Finance Corp. company guaranty sr. unsec.       
unsub. notes 5 1/2s, 2023    155,000  157,759 
Regency Energy Partners LP/Regency Energy       
Finance Corp. company guaranty sr. unsec.       
unsub. notes 5s, 2022    85,000  86,343 
Regency Energy Partners LP/Regency Energy       
Finance Corp. company guaranty sr. unsec.       
unsub. notes 4 1/2s, 2023    69,000  66,585 

 

Putnam VT Diversified Income Fund  15 

 


CORPORATE BONDS AND NOTES (32.3%)* cont.    Principal amount  Value 
 
Utilities and power cont.       
Southern Star Central Corp. 144A sr. unsec.       
notes 5 1/8s, 2022    $199,000  $201,985 
Texas Competitive Electric Holdings Co., LLC/TCEH     
Finance, Inc. 144A company       
guaranty sr. notes 11 1/2s, 2020 (In default) †    119,000  72,590 
      4,840,601 
 
Total corporate bonds and notes (cost $93,571,205)  $88,823,181 
 
FOREIGN GOVERNMENT AND AGENCY       
BONDS AND NOTES (7.7%)*    Principal amount  Value 
 
Argentina (Republic of) sr. unsec. bonds 8.28s,       
2033 (Argentina) (In default) †    $672,978  $634,282 
Argentina (Republic of) sr. unsec. bonds 7s, 2017     
(Argentina)    2,270,000  2,215,520 
Argentina (Republic of) sr. unsec.       
unsub. notes Ser. 1, 8 3/4s, 2017       
(Argentina) (In default) †    150,000  141,000 
Argentina (Republic of) sr. unsec.       
unsub. notes Ser. LOC, 8.28s, 2033 (Argentina)    1,017,880  863,162 
Argentina (Republic of) sr. unsec.       
unsub. notes Ser. NY, 8.28s, 2033       
(Argentina) (In default) †    1,770,774  1,702,599 
Brazil (Federal Republic of) unsec. notes 10s,       
2017 (Brazil) (units)  BRL  1,350  412,524 
Buenos Aires (Province of) 144A sr. unsec.       
unsub. notes 10 7/8s, 2021 (Argentina)    $425,000  425,000 
Chile (Republic of) notes 5 1/2s, 2020 (Chile)  CLP  235,500,000  391,922 
Costa Rica (Republic of) 144A unsec. notes 7s,       
2044 (Costa Rica)    $200,000  193,500 
Croatia (Republic of) 144A sr. unsec. bonds 6s,       
2024 (Croatia)    400,000  422,000 
Croatia (Republic of) 144A sr. unsec.       
unsub. notes 6 3/8s, 2021 (Croatia)    360,000  388,350 
Egypt (Government of) 144A sr. unsec.       
notes 5 7/8s, 2025 (Egypt)    200,000  195,000 
Ghana (Republic of) 144A unsec. notes 8 1/2s,       
2017 (Ghana)    274,000  282,220 
Ghana (Republic of) 144A unsec. notes 7 7/8s,       
2023 (Ghana)    947,185  864,306 
Hellenic (Republic of) sr. unsec. bonds 4 3/4s,       
2019 (Greece)  EUR  2,280,000  1,394,971 
Hellenic (Republic of) sr. unsec. notes 3 3/8s,       
2017 (Greece)  EUR  2,186,000  1,364,048 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2038 (Greece) ††  EUR  562,543  234,962 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2037 (Greece) ††  EUR  50,102  21,002 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2036 (Greece) ††  EUR  452,051  188,646 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2035 (Greece) ††  EUR  396,222  164,676 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2034 (Greece) ††  EUR  204,967  85,071 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2033 (Greece) ††  EUR  171,524  71,168 

 

FOREIGN GOVERNMENT AND AGENCY       
BONDS AND NOTES (7.7%)* cont.    Principal amount  Value 
 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2032 (Greece) ††  EUR  246,577  $102,811 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2031 (Greece) ††  EUR  84,480  35,555 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2030 (Greece) ††  EUR  1,075,053  454,612 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2029 (Greece) ††  EUR  127,387  54,620 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2028 (Greece) ††  EUR  1,070,533  463,979 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2027 (Greece) ††  EUR  408,920  179,618 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2026 (Greece) ††  EUR  1,119,402  498,400 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2025 (Greece) ††  EUR  2,672,753  1,238,311 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2024 (Greece) ††  EUR  393,427  185,384 
Hellenic (Republic of) sr. unsec.       
unsub. bonds Ser. PSI, stepped-coupon 3s       
(3.65s, 2/24/20), 2023 (Greece) ††  EUR  1,173,192  570,259 
Indonesia (Republic of) 144A sr. unsec.       
unsub. bonds 6 5/8s, 2037 (Indonesia)    $575,000  649,750 
Iraq (Republic of) 144A bonds 5.8s, 2028 (Iraq)    695,000  558,606 
Kenya (Republic of) 144A sr. unsec. notes 6 7/8s,     
2024 (Kenya)    200,000  203,540 
Russia (Federation of) 144A sr. notes 5 5/8s,       
2042 (Russia)    200,000  187,500 
Russia (Federation of) 144A sr. unsec.       
notes 4 1/2s, 2022 (Russia)    235,000  230,006 
Turkey (Republic of) unsec. bonds 6s, 2041       
(Turkey)    975,000  1,031,063 
Ukraine (Government of) 144A sr. unsec.       
notes 9 1/4s, 2017 (Ukraine)    1,805,000  864,144 
United Mexican States sr. unsec. notes 5 3/4s,       
2110 (Mexico)    220,000  216,150 
Venezuela (Bolivarian Republic of) sr. unsec.       
bonds 7s, 2038 (Venezuela)    265,000  94,340 
Venezuela (Bolivarian Republic of) 144A       
sr. unsec. unsub. bonds 13 5/8s, 2018       
(Venezuela)    1,215,000  789,750 
Total foreign government and agency bonds       
and notes (cost $28,410,949)      $21,264,327 
 
SENIOR LOANS (2.5%)* c    Principal amount  Value 
 
Basic materials (—%)       
Atkore International, Inc. bank term loan FRN       
4 1/2s, 2021    $103,950  $100,312 
      100,312 
Capital goods (0.1%)       
Gates Global, LLC/Gates Global Co. bank term loan     
FRN 4 1/4s, 2021    125,125  123,092 
TransDigm, Inc. bank term loan FRN Ser. E,       
3 1/2s, 2022    39,905  39,392 
      162,484 

 

16  Putnam VT Diversified Income Fund 

 


SENIOR LOANS (2.5%)* c cont.  Principal amount  Value 
 
Communication services (0.2%)     
Asurion, LLC bank term loan FRN 8 1/2s, 2021  $148,000  $150,072 
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019  162,543  162,655 
Level 3 Financing, Inc. bank term loan FRN     
Ser. B1, 4s, 2020  80,000  79,375 
Level 3 Financing, Inc. bank term loan FRN     
Ser. B2, 5s, 2022  125,000  124,024 
    516,126 
Consumer cyclicals (1.3%)     
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022  230,000  229,713 
Caesars Entertainment Operating Co., Inc. bank     
term loan FRN Ser. B6, 11s, 2017  994,505  889,549 
Caesars Entertainment Operating Co., Inc. bank     
term loan FRN Ser. B7, 11 1/2s, 2017  69,650  60,561 
Caesars Growth Properties Holdings, LLC bank term     
loan FRN 6 1/4s, 2021  262,350  221,686 
CPG International, Inc. bank term loan FRN     
Ser. B, 4 3/4s, 2020  98,916  97,927 
Getty Images, Inc. bank term loan FRN Ser. B,     
4 3/4s, 2019  225,946  167,482 
iHeartCommunications, Inc. bank term loan FRN     
Ser. D, 6.935s, 2019  319,000  293,945 
JC Penney Corp., Inc. bank term loan FRN 5s, 2019  134,075  133,672 
Jeld-Wen, Inc. bank term loan FRN Ser. B, 5s, 2022  95,000  95,000 
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017  65,367  65,367 
Neiman Marcus Group, Ltd., Inc. bank term loan     
FRN 4 1/4s, 2020  284,429  282,554 
ROC Finance, LLC bank term loan FRN 5s, 2019  482,970  472,103 
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021  55,000  53,900 
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020  109,722  106,979 
Univision Communications, Inc. bank term loan FRN     
4s, 2020  296,753  294,527 
Visteon Corp. bank term loan FRN Class B, 3 1/2s, 2021  58,333  58,242 
    3,523,207 
Consumer staples (0.2%)     
CEC Entertainment, Inc. bank term loan FRN     
Ser. B, 4s, 2021  147,138  142,907 
Libbey Glass, Inc. bank term loan FRN Ser. B,     
3 3/4s, 2021  89,100  89,044 
Restaurant Brands International, Inc. bank term     
loan FRN Ser. B, 3 3/4s, 2021 (Canada)  148,510  148,325 
Revlon Consumer Products Corp. bank term loan FRN     
Ser. B, 4s, 2019  169,360  169,201 
    549,477 
Health care (0.2%)     
Grifols Worldwide Operations USA, Inc. bank term     
loan FRN 3.185s, 2021  232,063  231,917 
Ortho-Clinical Diagnostics, Inc. bank term loan     
FRN Ser. B, 4 3/4s, 2021  79,200  77,495 
Par Pharmaceutical Cos., Inc. bank term loan FRN     
Class B2, 4s, 2019  89,183  89,015 
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s,     
2021 (Netherlands)  123,750  122,866 
Valeant Pharmaceuticals International, Inc. bank     
term loan FRN Ser. E, 3 1/2s, 2020  119,410  118,963 
    640,256 
Technology (0.4%)     
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018  140,056  139,131 
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020  217,708  210,043 
Dell International, LLC bank term loan FRN     
Ser. B2, 4s, 2020  180,492  180,267 
First Data Corp. bank term loan FRN 4.187s, 2021  12,896  12,917 

 

SENIOR LOANS (2.5%)* c cont.  Principal amount  Value 
 
Technology cont.     
First Data Corp. bank term loan FRN Ser. B,     
3.687s, 2018  $121,183  $120,729 
Freescale Semiconductor, Inc. bank term loan FRN     
Ser. B5, 5s, 2021  319,313  320,288 
    983,375 
Utilities and power (0.1%)     
Texas Competitive Electric Holdings Co., LLC bank     
term loan FRN 4.671s, 2017  499,637  286,042 
Texas Competitive Electric Holdings Co., LLC bank     
term loan FRN 4.671s, 2017  5,128  2,936 
    288,978 
 
Total senior loans (cost $7,148,204)    $6,764,215 

 

PURCHASED SWAP OPTIONS OUTSTANDING (1.3%)*     
Counterparty       
Fixed right % to receive or (pay)/  Expiration  Contract   
Floating rate index/Maturity date  date/strike  amount  Value 
 
Bank of America N.A.       
(2.0875)/3 month USD-LIBOR-       
BBA/Jul-25  Jul-15/2.0875  $9,472,600  $322,637 
(2.685)/3 month USD-LIBOR-       
BBA/Sep-25  Sep-15/2.685  18,736,500  175,561 
2.474/3 month USD-LIBOR-BBA/Jul-25  Jul-15/2.474  16,840,900  124,623 
(1.548)/3 month USD-LIBOR-       
BBA/Dec-17  Dec-15/1.548  84,204,500  112,834 
2.434/3 month USD-LIBOR-BBA/Jul-25  Jul-15/2.434  16,840,900  93,972 
2.391/3 month USD-LIBOR-BBA/Jul-25  Jul-15/2.391  33,681,800  90,267 
2.2575/3 month USD-LIBOR-BBA/Jul-25   Jul-15/2.2575  17,008,900  25,173 
2.1325/3 month USD-LIBOR-BBA/Jul-25   Jul-15/2.1325  17,008,900  6,633 
2.151/3 month USD-LIBOR-BBA/Jul-25  Jul-15/2.151  33,681,800  34 
Citibank, N.A.       
2.493/3 month USD-LIBOR-BBA/Jul-25  Jul-15/2.493  16,881,600  178,439 
2.403/3 month USD-LIBOR-BBA/Jul-25  Jul-15/2.403  16,881,600  113,107 
(2.087)/3 month USD-LIBOR-       
BBA/May-18  May-16/2.087  34,590,200  83,708 
2.368/3 month USD-LIBOR-BBA/Jul-25  Jul-15/2.368  16,840,900  34,524 
2.268/3 month USD-LIBOR-BBA/Jul-25  Jul-15/2.268  16,840,900  8,589 
Credit Suisse International       
(2.915)/3 month USD-LIBOR-       
BBA/Apr-47  Apr-17/2.915  3,749,700  402,415 
2.44375/3 month USD-LIBOR-       
BBA/Aug-25  Aug-15/2.44375  33,763,200  315,686 
2.43375/3 month USD-LIBOR-       
BBA/Jul-25  Jul-15/2.43375  33,763,200  266,392 
(3.315)/3 month USD-LIBOR-       
BBA/Apr-47  Apr-17/3.315  3,749,700  255,186 
(2.70125)/3 month USD-LIBOR-       
BBA/Jul-25  Jul-15/2.70125  33,763,200  85,083 
Goldman Sachs International       
2.4575/3 month USD-LIBOR-BBA/Jul-25  Jul-15/2.4575  33,763,200  317,712 
(2.82)/3 month USD-LIBOR-BBA/Jan-46  Jan-16/2.82  3,603,400  266,111 
(2.7475)/3 month USD-LIBOR-       
BBA/Jul-25  Jul-15/2.7475  33,763,200  81,707 
(2.18625)/3 month USD-LIBOR-       
BBA/Jun-18  Jun-16/2.18625  34,590,200  71,602 
(2.5705)/3 month USD-LIBOR-       
BBA/Jul-25  Jul-15/2.5705  33,681,800  45,134 
2.06625/3 month USD-LIBOR-       
BBA/Jul-25  Jul-15/2.06625  35,649,000  2,139 

 

Putnam VT Diversified Income Fund  17 

 


PURCHASED SWAP OPTIONS OUTSTANDING (1.3%)* cont.     
Counterparty       
Fixed right % to receive or (pay)/  Expiration  Contract   
Floating rate index/Maturity date  date/strike  amount  Value 
 
JPMorgan Chase Bank N.A.       
0.98/3 month USD-LIBOR-BBA/Sep-17  Sep-15/0.98  $43,170,500  $62,166 
Total purchased swap options outstanding (cost $3,566,722)  $3,541,434 
 
PURCHASED OPTIONS  Expiration  Contract   
OUTSTANDING (0.1%)*  date/Strike price  amount  Value 
 
Federal National Mortgage Association       
30 yr 3.0s TBA commitments (Call)  Aug-15/$99.02  $14,400,000  $137,837 
Federal National Mortgage Association       
30 yr 3.0s TBA commitments (Call)  Jul-15/101.86  18,000,000  648 
Federal National Mortgage Association       
30 yr 3.0s TBA commitments (Call)  Jul-15/103.42  18,000,000  18 
Federal National Mortgage Association       
30 yr 3.0s TBA commitments (Put)  Sep-15/99.13  17,000,000  185,351 
Total purchased options outstanding (cost $589,219)    $323,854 

 

PREFERRED STOCKS (0.2%)*  Shares  Value 
 
Ally Financial, Inc. 144A 7.00% cum. pfd.  219  $221,293 
GMAC Capital Trust I Ser. 2, $2.031 cum. ARP  6,980  181,340 
M/I Homes, Inc. Ser. A, $2.438 pfd.  5,132  135,895 
Total preferred stocks (cost $496,592)    $538,528 
 
CONVERTIBLE BONDS AND NOTES (0.1%)*  Principal amount  Value 
 
iStar Financial, Inc. cv. sr. unsec.     
unsub. notes 3s, 2016 R  $125,000  $150,625 
Total convertible bonds and notes (cost $129,913)    $150,625 
 
COMMON STOCKS (—%)*  Shares  Value 
Connacher Oil and Gas, Ltd. (Canada) †  7,894  $12,325 
Connacher Oil and Gas, Ltd. (Canada) †  1,837  3,035 
Lone Pine Resources Canada, Ltd. (Canada) † F  12,972  519 
Lone Pine Resources, Inc. Class A (Canada) † F  12,972  519 
Tribune Co. Class 1C F  55,356  13,839 
Total common stocks (cost $431,747)    $30,237 

 

SHORT-TERM INVESTMENTS (12.8%)*  Principal amount/shares  Value 
 
Putnam Short Term Investment Fund 0.10% L  Shares  22,453,051  $22,453,051 
SSgA Prime Money Market Fund Class N 0.04% P  Shares  370,000  370,000 
U.S. Treasury Bills 0.08%, July 23, 2015 # ∆ §    $2,802,000  2,801,864 
U.S. Treasury Bills 0.03%, November 12, 2015 §    590,000  589,934 
U.S. Treasury Bills 0.02%, September 10, 2015 §    30,000  30,001 
U.S. Treasury Bills 0.02%, August 20, 2015 ∆ §    470,000  469,990 
U.S. Treasury Bills 0.02%, August 13, 2015 # ∆ §    4,470,000  4,469,909 
U.S. Treasury Bills 0.02%, July 2, 2015 §    100,000  100,000 
U.S. Treasury Bills 0.01%, November 5, 2015 # ∆ §    455,000  454,968 
U.S. Treasury Bills 0.01%, October 15, 2015 ∆ §    525,000  524,969 
U.S. Treasury Bills 0.01%, October 1, 2015 # §    770,000  769,965 
U.S. Treasury Bills 0.01%, July 9, 2015 # ∆ §    2,300,000  2,299,997 
Total short-term investments (cost $35,334,696)    $35,334,648 
 
Total investments (cost $396,683,982)      $388,913,742 

 

Key to holding’s currency abbreviations

AUD  Australian Dollar 
BRL  Brazilian Real 
CAD  Canadian Dollar 
CHF  Swiss Franc 
CLP  Chilean Peso 
EUR  Euro 
GBP  British Pound 
ILS  Israeli Shekel 
JPY  Japanese Yen 
KRW  South Korean Won 
MXN  Mexican Peso 
NOK  Norwegian Krone 
NZD  New Zealand Dollar 
PLN  Polish Zloty 
SEK  Swedish Krona 
USD/$  United States Dollar 
ZAR  South African Rand 

 

Key to holding’s abbreviations

 

ARP  Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period 
bp  Basis Points 
EMTN  Euro Medium Term Notes 
FRB  Floating Rate Bonds: the rate shown is the current interest rate 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 
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. 
IO  Interest Only 
MTN  Medium Term Notes 
OAO  Open Joint Stock Company 
OJSC  Open Joint Stock Company 
OTC  Over-the-counter 
PO  Principal Only 
REGS  Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemp- 
  tion from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. 
TBA  To Be Announced Commitments 

 

Notes to the fund’s portfolio

Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from January 1, 2015 through June 30, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.

* Percentages indicated are based on net assets of $275,405,518.

† This security is non-income-producing.

†† The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.

‡‡ Income may be received in cash or additional securities at the discretion of the issuer.

# 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.

∆ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.

18  Putnam VT Diversified Income Fund 

 


§ 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.

## Forward commitment, in part or in entirety (Note 1).

c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 6).

F This security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).

i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).

L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

P This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period (Note 1).

R Real Estate Investment Trust.

At the close of the reporting period, the fund maintained liquid assets totaling $170,597,469 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 under 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.

DIVERSIFICATION BY COUNTRY 

 

Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):

 

United States  86.8%  United Kingdom  0.9% 
  
Greece  1.9  Luxembourg  0.7 
  
Russia  1.6  Brazil  0.6 
  
Argentina  1.5  Mexico  0.5 
  
Venezuela  1.3  Other  3.1 
  
Canada  1.1  Total  100.0% 
  

 

FORWARD CURRENCY CONTRACTS at 6/30/15 (aggregate face value $126,480,663) (Unaudited)      Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America N.A.             
  Australian Dollar  Buy  7/15/15  $1,304,670  $1,284,752  $19,918 
  British Pound  Buy  9/16/15  995,943  966,880  29,063 
  Canadian Dollar  Buy  7/15/15  80,531  134,308  (53,777) 
  Chilean Peso  Sell  7/15/15  408,133  422,149  14,016 
  Euro  Sell  9/16/15  101,224  99,601  (1,623) 
  Mexican Peso  Buy  7/15/15  1,364,614  1,403,557  (38,943) 
  New Zealand Dollar  Sell  7/15/15  1,331,141  1,385,141  54,000 
  Norwegian Krone  Buy  9/16/15  126,033  126,741  (708) 
  Swedish Krona  Sell  9/16/15  1,417,522  1,410,501  (7,021) 
Barclays Bank PLC             
  Australian Dollar  Buy  7/15/15  1,254,016  1,294,369  (40,353) 
  British Pound  Buy  9/16/15  53,550  24,092  29,458 
  Canadian Dollar  Buy  7/15/15  38,904  47,039  (8,135) 
  Euro  Sell  9/16/15  2,134,412  2,123,221  (11,191) 
  Japanese Yen  Buy  8/19/15  51,468  52,339  (871) 
  Mexican Peso  Buy  7/15/15  1,350,814  1,397,586  (46,772) 
  New Zealand Dollar  Sell  7/15/15  3,281,080  3,549,945  268,865 
  Norwegian Krone  Buy  9/16/15  1,331,875  1,336,769  (4,894) 
  Singapore Dollar  Sell  8/19/15  1,462,950  1,483,806  20,856 
  South Korean Won  Sell  8/19/15  7,662  7,891  229 
  Swedish Krona  Sell  9/16/15  2,919,799  2,887,613  (32,186) 
  Swiss Franc  Buy  9/16/15  392,299  388,334  3,965 
Citibank, N.A.             
  Australian Dollar  Sell  7/15/15  177,714  176,885  (829) 
  Brazilian Real  Buy  7/2/15  151,748  154,032  (2,284) 
  Brazilian Real  Sell  7/2/15  151,748  143,156  (8,592) 
  Brazilian Real  Sell  10/2/15  146,850  149,115  2,265 
  British Pound  Buy  9/16/15  576,334  567,898  8,436 
  Canadian Dollar  Buy  7/15/15  117,674  165,880  (48,206) 

 

Putnam VT Diversified Income Fund  19 

 


FORWARD CURRENCY CONTRACTS at 6/30/15 (aggregate face value $126,480,663) (Unaudited) cont.      Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Citibank, N.A. cont.             
  Chilean Peso  Buy  7/15/15  $52,156  $54,671  $(2,515) 
  Danish Krone  Buy  9/16/15  30,642  30,622  20 
  Euro  Buy  9/16/15  1,167,817  1,196,497  (28,680) 
  Japanese Yen  Sell  8/19/15  616,269  629,313  13,044 
  Mexican Peso  Buy  7/15/15  1,241,171  1,284,232  (43,061) 
  New Zealand Dollar  Sell  7/15/15  879,530  960,944  81,414 
  Norwegian Krone  Buy  9/16/15  713,651  716,906  (3,255) 
  Philippine Peso  Buy  8/19/15  695,929  702,826  (6,897) 
  Swedish Krona  Sell  9/16/15  729,512  716,489  (13,023) 
  Swiss Franc  Buy  9/16/15  1,307,126  1,294,143  12,983 
Credit Suisse International             
  Australian Dollar  Buy  7/15/15  1,374,522  1,429,775  (55,253) 
  British Pound  Buy  9/16/15  1,638,232  1,609,229  29,003 
  Canadian Dollar  Buy  7/15/15  54,754  144,172  (89,418) 
  Euro  Buy  9/16/15  154,236  183,421  (29,185) 
  Indian Rupee  Buy  8/19/15  1,286,938  1,269,632  17,306 
  Japanese Yen  Sell  8/19/15  54  55  1 
  New Zealand Dollar  Sell  7/15/15  1,196,172  1,277,986  81,814 
  Norwegian Krone  Buy  9/16/15  903,993  909,237  (5,244) 
  Singapore Dollar  Sell  8/19/15  1,446,702  1,467,315  20,613 
  Swedish Krona  Sell  9/16/15  3,969,762  3,954,844  (14,918) 
  Swiss Franc  Buy  9/16/15  672,711  665,826  6,885 
Deutsche Bank AG             
  Australian Dollar  Sell  7/15/15  93,059  65,589  (27,470) 
  British Pound  Buy  9/16/15  695,998  669,232  26,766 
  Canadian Dollar  Sell  7/15/15  766,162  683,217  (82,945) 
  Euro  Sell  9/16/15  1,235,225  1,215,123  (20,102) 
  New Zealand Dollar  Buy  7/15/15  196,090  304,439  (108,349) 
  Norwegian Krone  Sell  9/16/15  514,600  517,227  2,627 
  Polish Zloty  Sell  9/16/15  705,138  716,956  11,818 
  Swedish Krona  Sell  9/16/15  12,420  12,193  (227) 
  Turkish Lira  Sell  9/16/15  29,097  28,919  (178) 
Goldman Sachs International             
  Australian Dollar  Buy  7/15/15  651,025  640,081  10,944 
  British Pound  Buy  9/16/15  757,557  735,289  22,268 
  Canadian Dollar  Sell  7/15/15  1,415,850  1,377,913  (37,937) 
  Euro  Sell  9/16/15  1,202,971  1,181,318  (21,653) 
  Japanese Yen  Buy  8/19/15  3,938  4,022  (84) 
  New Zealand Dollar  Buy  7/15/15  1,338,586  1,463,226  (124,640) 
  New Zealand Dollar  Sell  7/15/15  1,408,778  1,447,656  38,878 
  Norwegian Krone  Sell  9/16/15  631,746  635,134  3,388 
  South African Rand  Buy  7/15/15  16,804  16,645  159 
  Swedish Krona  Sell  9/16/15  171,154  168,169  (2,985) 
HSBC Bank USA, National Association             
  Australian Dollar  Sell  7/15/15  108,710  106,868  (1,842) 
  British Pound  Buy  9/16/15  734,472  712,817  21,655 
  Canadian Dollar  Sell  7/15/15  1,324,112  1,306,985  (17,127) 
  Euro  Sell  9/16/15  2,348,244  2,270,762  (77,482) 
  Japanese Yen  Sell  8/19/15  1,754,858  1,749,153  (5,705) 
  New Zealand Dollar  Buy  7/15/15  637,954  697,054  (59,100) 
  Swedish Krona  Sell  9/16/15  302,799  297,415  (5,384) 

 

20  Putnam VT Diversified Income Fund 

 


FORWARD CURRENCY CONTRACTS at 6/30/15 (aggregate face value $126,480,663) (Unaudited) cont.      Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
JPMorgan Chase Bank N.A.             
  Australian Dollar  Buy  7/15/15  $984,169  $971,840  $12,329 
  British Pound  Buy  9/16/15  108,514  78,074  30,440 
  Canadian Dollar  Sell  7/15/15  709,005  638,805  (70,200) 
  Euro  Sell  9/16/15  1,882,524  1,852,985  (29,539) 
  Indian Rupee  Buy  8/19/15  154,947  153,275  1,672 
  Japanese Yen  Sell  8/19/15  167,757  166,647  (1,110) 
  Mexican Peso  Buy  7/15/15  1,333,003  1,378,817  (45,814) 
  New Zealand Dollar  Sell  7/15/15  2,345,234  2,499,594  154,360 
  Norwegian Krone  Buy  9/16/15  1,818,974  1,827,949  (8,975) 
  Philippine Peso  Buy  8/19/15  695,929  700,557  (4,628) 
  Singapore Dollar  Sell  8/19/15  1,451,450  1,462,904  11,454 
  South African Rand  Buy  7/15/15  359,532  360,274  (742) 
  South Korean Won  Sell  8/19/15  55,745  57,352  1,607 
  Swedish Krona  Sell  9/16/15  2,532,788  2,511,835  (20,953) 
  Swiss Franc  Buy  9/16/15  99,550  98,530  1,020 
Royal Bank of Scotland PLC (The)             
  Australian Dollar  Buy  7/15/15  1,780,371  1,815,733  (35,362) 
  British Pound  Buy  9/16/15  411,600  379,342  32,258 
  Canadian Dollar  Buy  7/15/15  2,055,772  2,104,733  (48,961) 
  Canadian Dollar  Sell  7/15/15  2,093,876  2,066,481  (27,395) 
  Euro  Sell  9/16/15  3,038,288  3,010,846  (27,442) 
  Japanese Yen  Sell  8/19/15  1,357,819  1,394,750  36,931 
  New Zealand Dollar  Sell  7/15/15  1,941,817  2,063,040  121,223 
  Norwegian Krone  Buy  9/16/15  881,789  883,539  (1,750) 
  Singapore Dollar  Sell  8/19/15  1,123,069  1,112,856  (10,213) 
  Swedish Krona  Sell  9/16/15  2,089,137  2,068,577  (20,560) 
State Street Bank and Trust Co.             
  Australian Dollar  Buy  7/15/15  1,111,306  1,117,953  (6,647) 
  Brazilian Real  Buy  7/2/15  1,406,195  1,399,712  6,483 
  Brazilian Real  Sell  7/2/15  1,406,195  1,427,825  21,630 
  Brazilian Real  Buy  10/2/15  1,360,807  1,382,888  (22,081) 
  British Pound  Sell  9/16/15  144,005  139,778  (4,227) 
  Canadian Dollar  Sell  7/15/15  932,426  877,650  (54,776) 
  Chilean Peso  Buy  7/15/15  1,397,057  1,414,889  (17,832) 
  Euro  Sell  9/16/15  669,062  657,941  (11,121) 
  Hungarian Forint  Buy  9/16/15  1,359,406  1,375,039  (15,633) 
  Japanese Yen  Sell  8/19/15  861,680  888,228  26,548 
  New Zealand Dollar  Sell  7/15/15  1,225,277  1,261,150  35,873 
  Norwegian Krone  Buy  9/16/15  13,432  13,532  (100) 
  Singapore Dollar  Sell  8/19/15  3,023,761  3,030,293  6,532 
  Swedish Krona  Sell  9/16/15  452,556  460,622  8,066 
  Swiss Franc  Buy  9/16/15  1,828,689  1,810,164  18,525 
  Turkish Lira  Sell  9/16/15  129,678  128,868  (810) 
UBS AG             
  Australian Dollar  Buy  7/15/15  1,804,735  1,830,380  (25,645) 
  British Pound  Buy  9/16/15  473,316  459,337  13,979 
  Canadian Dollar  Sell  7/15/15  1,038,572  982,840  (55,732) 
  Chilean Peso  Buy  7/15/15  1,716  1,788  (72) 
  Euro  Sell  9/16/15  2,494,445  2,488,699  (5,746) 
  Israeli Shekel  Buy  7/15/15  1,443,290  1,426,715  16,575 
  Israeli Shekel  Sell  7/15/15  1,452,961  1,413,451  (39,510) 
  Japanese Yen  Buy  8/19/15  747,358  763,265  (15,907) 

 

Putnam VT Diversified Income Fund  21 

 


FORWARD CURRENCY CONTRACTS at 6/30/15 (aggregate face value $126,480,663) (Unaudited) cont.      Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
UBS AG cont.             
  New Zealand Dollar  Buy  7/15/15  $529,518  $655,373  $(125,855) 
  Norwegian Krone  Buy  9/16/15  19,149  19,229  (80) 
  Swedish Krona  Buy  9/16/15  13,109  12,856  253 
WestPac Banking Corp.             
  Australian Dollar  Sell  7/15/15  144,791  112,557  (32,234) 
  Canadian Dollar  Sell  7/15/15  713,248  703,636  (9,612) 
  Euro  Sell  9/16/15  2,398,131  2,359,619  (38,512) 
  New Zealand Dollar  Buy  7/15/15  1,372,363  1,499,914  (127,551) 
Total            $(743,956) 

 

FUTURES CONTRACTS         
OUTSTANDING        Unrealized 
at 6/30/15  Number of    Expiration  appreciation/ 
(Unaudited)  contracts  Value  date  (depreciation) 
Euro-Bund 10 yr (Long)  80  $13,556,571  Sep-15  $88,318 
U.S. Treasury Bond 30 yr         
(Short)  12  1,810,125  Sep-15  (2,461) 
U.S. Treasury Bond Ultra         
30 yr (Long)  22  3,389,375  Sep-15  (99,096) 
U.S. Treasury Note 10 yr         
(Short)  141  17,790,234  Sep-15  123,977 
Total        $110,738 

 

WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/15 (premiums $4,739,301) (Unaudited) 
Counterparty       
Fixed Obligation % to receive or (pay)/  Expiration  Contract   
Floating rate index/Maturity date  date/strike  amount  Value 
Bank of America N.A.       
(2.281)/3 month USD-LIBOR-BBA/       
Jul-25  Jul-15/2.281  $16,840,900  $674 
1.798/3 month USD-LIBOR-BBA/       
Dec-17  Dec-15/1.798  84,204,500  49,681 
1.278/3 month USD-LIBOR-BBA/       
Dec-17  Dec-15/1.278  21,051,125  62,311 
(2.3825)/3 month USD-LIBOR-BBA/       
Jul-25  Jul-15/2.3825  17,008,900  73,478 
2.955/3 month USD-LIBOR-BBA/       
Sep-25  Sep-15/2.955  37,473,000  131,156 
1.66/3 month USD-LIBOR-BBA/       
Jul-20  Jul-15/1.66  18,945,200  144,552 
(2.541)/3 month USD-LIBOR-BBA/       
Jul-25  Jul-15/2.541  16,840,900  170,093 
(2.604)/3 month USD-LIBOR-BBA/       
Jul-25  Jul-15/2.604  16,840,900  259,855 
Citibank, N.A.       
2.587/3 month USD-LIBOR-BBA/       
May-18  May-16/2.587  34,590,200  32,515 
2.387/3 month USD-LIBOR-BBA/       
May-18  May-16/2.387  34,590,200  47,734 
(2.468)/3 month USD-LIBOR-BBA/       
Jul-25  Jul-15/2.468  16,840,900  97,172 
(2.583)/3 month USD-LIBOR-BBA/       
Jul-25  Jul-15/2.583  16,881,600  263,015 

 

WRITTEN SWAP OPTIONS OUTSTANDING at 6/30/15 (premiums $4,739,301)   
(Unaudited) cont.       
Counterparty       
Fixed Obligation % to receive or (pay)/  Expiration  Contract   
Floating rate index/Maturity date  date/strike  amount  Value 
Credit Suisse International       
2.5675/3 month USD-LIBOR-BBA/       
Jul-25  Jul-15/2.5675  $16,881,600  $95,719 
(2.5675)/3 month USD-LIBOR-BBA/       
Jul-25  Jul-15/2.5675  16,881,600  247,147 
(2.60)/3 month USD-LIBOR-BBA/       
Aug-25  Aug-15/2.60  16,881,600  292,558 
2.515/3 month USD-LIBOR-BBA/       
Apr-47  Apr-17/2.515  3,749,700  582,231 
Goldman Sachs International       
(1.885)/3 month USD-LIBOR-BBA/       
Jan-46  Jan-16/1.885  3,603,400  10,990 
2.58625/3 month USD-LIBOR-BBA/       
Jun-18  Jun-16/2.58625  69,180,400  67,105 
2.6025/3 month USD-LIBOR-BBA/       
Jul-25  Jul-15/2.6025  16,881,600  93,186 
(2.6025)/3 month USD-LIBOR-BBA/       
Jul-25  Jul-15/2.6025  16,881,600  288,844 
JPMorgan Chase Bank N.A.       
(0.83)/3 month USD-LIBOR-BBA/       
Sep-17  Sep-15/0.83  43,170,500  20,722 
(0.905)/3 month USD-LIBOR-BBA/       
Sep-17  Sep-15/0.905  43,170,500  37,991 
(6.00 Floor)/3 month       
USD-LIBOR-BBA/Mar-18  Mar-18/6.00  8,886,000  1,202,009 
Total      $4,270,738 

 

22  Putnam VT Diversified Income Fund 

 


WRITTEN OPTIONS       
OUTSTANDING at 6/30/15  Expiration  Contract   
(premiums $596,719) (Unaudited)  date/strike price  amount  Value 
Federal National Mortgage Association       
30 yr 3.0s TBA commitments (Call)  Jul-15/$102.64  $36,000,000  $36 
Federal National Mortgage Association       
30 yr 3.0s TBA commitments (Put)  Sep-15/97.13  34,000,000  120,360 
Federal National Mortgage Association       
30 yr 3.0s TBA commitments (Put)  Sep-15/96.13  17,000,000  35,037 
Federal National Mortgage Association       
30 yr 3.0s TBA commitments (Put)  Jul-15/99.86  9,000,000  51,498 
Federal National Mortgage Association       
30 yr 3.5s TBA commitments (Call)  Aug-15/102.48  18,000,000  138,978 
Total      $345,909 

 

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)       
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) 
Bank of America N.A.         
(2.594)/3 month USD-LIBOR-BBA/Jul-25 (Purchased)  Jul-15/2.594  $33,763,200  $(151,934)  $25,660 
2.454/3 month USD-LIBOR-BBA/Jul-25 (Written)  Jul-15/2.454  16,881,600  149,824  (28,192) 
JPMorgan Chase Bank N.A.         
(3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased)  Feb-17/3.035  4,684,125  (124,635)  34,100 
(3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased)  Feb-17/3.117  4,684,125  (131,156)  12,600 
1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased)  Apr-17/1.00  8,512,300  (56,283)  (37,880) 
2.2325/3 month USD-LIBOR-BBA/Aug-25 (Purchased)  Aug-15/2.2325  16,840,900  (92,625)  (44,797) 
2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased)  Feb-17/2.117  4,684,125  (114,775)  (49,324) 
2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased)  Feb-17/2.035  4,684,125  (119,019)  (60,894) 
2.3675/3 month USD-LIBOR-BBA/Aug-25 (Purchased)  Aug-15/2.3675  16,840,900  (166,725)  (62,985) 
1.963/3 month USD-LIBOR-BBA/Jul-25 (Purchased)  Jul-15/1.963  17,824,500  (78,428)  (78,428) 
1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased)  Apr-17/1.00  17,024,600  (119,598)  (81,548) 
2.079/3 month USD-LIBOR-BBA/Jul-25 (Purchased)  Jul-15/2.079  17,824,500  (131,901)  (131,899) 
(2.195)/3 month USD-LIBOR-BBA/Jul-25 (Written)  Jul-15/2.195  17,824,500  207,655  207,655 
(2.5025)/3 month USD-LIBOR-BBA/Aug-25 (Written)  Aug-15/2.5025  16,840,900  259,350  62,817 
(1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written)  Apr-17/1.00  34,049,200  108,957  50,597 
2.655/3 month USD-LIBOR-BBA/Feb-19 (Written)  Feb-17/2.655  20,516,500  135,922  42,592 
2.56/3 month USD-LIBOR-BBA/Feb-19 (Written)  Feb-17/2.56  20,516,500  131,156  26,959 
(1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written)  Apr-17/1.00  17,024,600  52,129  23,324 
(1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written)  Feb-17/1.56  20,516,500  118,120  21,747 
(1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written)  Feb-17/1.655  20,516,500  116,944  5,950 
Total      $(7,022)  $(61,946) 

 

TBA SALE COMMITMENTS OUTSTANDING       
at 6/30/15 (proceeds receivable       
$1,030,938) (Unaudited)  Principal  Settlement   
Agency  amount  date  Value 
Federal National Mortgage Association,       
3 1/2s, July 1, 2045  $1,000,000  7/14/15  $1,030,391 
Total      $1,030,391 

 

OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)       
    Upfront        Unrealized 
Swap counterparty/  premium  Termination  Payments made by  Payments received by  appreciation/ 
Notional amount    received (paid)  date  fund per annum  fund per annum  (depreciation) 
Deutsche Bank AG           
BRL  23,054,400  $—  1/2/17  Brazil Cetip Interbank Deposit Rate Over  0.00%  $(71,482) 
ILS  1,070,000  —  6/26/25  2.39%  3 month TELBOR03  725 
ILS  1,070,000  —  6/29/25  2.404%  3 month TELBOR03  465 
ILS  3,210,000  —  7/1/25  2.4517%  3 month TELBOR03  (2,114) 
ILS  4,280,000  —  7/2/25  2.45625%  3 month TELBOR03  3,179 
PLN  10,159,000  —  3/17/24  4.1072%  6 month PLN-WIBOR-  (268,023) 
          WIBO   

 

Putnam VT Diversified Income Fund  23 

 


OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited) cont.     
    Upfront        Unrealized 
Swap counterparty/  premium  Termination  Payments made by  Payments received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
Deutsche Bank AG cont.           
PLN  5,065,000  $—  3/18/24  4.12875%  6 month PLN-WIBOR-  $(135,876) 
          WIBO   
PLN  4,320,000  —  3/27/24  4.045%  6 month PLN-WIBOR-  (110,853) 
          WIBO   
PLN  1,150,000  —  6/26/25  6 month PLN-WIBOR-WIBO  2.89%  (2,428) 
PLN  1,150,000  —  6/29/25  6 month PLN-WIBOR-WIBO  2.88%  (2,734) 
PLN  3,450,000  —  6/30/25  6 month PLN-WIBOR-WIBO  2.87%  (9,020) 
PLN  3,450,000  —  7/1/25  6 month PLN-WIBOR-WIBO  3.0266%  3,349 
PLN  3,450,000  —  7/2/25  6 month PLN-WIBOR-WIBO  3.00%  1,191 
ZAR  19,118,000  —  1/26/25  3 month ZAR-JIBAR-SAFEX  7.09%  (119,643) 
ZAR  12,745,000  —  1/23/25  3 month ZAR-JIBAR-SAFEX  7.08%  (80,188) 
Goldman Sachs International           
KRW  1,442,000,000  —  11/6/19  3 month KRW-CD-KSDA-BLOOMBERG  2.17%  13,191 
JPMorgan Chase Bank N.A.           
BRL  23,286,507  —  1/2/17  Brazil Cetip Interbank Deposit Rate Over  0.00%  (133,019) 
BRL  10,063,108  —  1/2/17  Brazil Cetip Interbank Deposit Rate Over  0.00%  (1,877) 
PLN  492,000  —  3/12/25  6 month PLN-WIBOR-WIBO  2.4199%  (5,743) 
ZAR  13,223,000  —  1/22/25  3 month ZAR-JIBAR-SAFEX  7.14%  (78,705) 
ZAR  39,669,000  —  1/23/25  3 month ZAR-JIBAR-SAFEX  7.0633%  (253,284) 
ZAR  81,000  —  3/10/25  7.9101%  3 month ZAR-JIBAR-  163 
          SAFEX   
Total    $—        $(1,252,726) 

 

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)     
  Upfront        Unrealized 
  premium  Termination  Payments made by  Payments received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
$14,349,000 E  $(116)  12/16/18  2.3795%  3 month  $(348,552) 
        USD-LIBOR-BBA   
4,783,000 E  (39)  12/16/18  2.337%  3 month  (110,196) 
        USD-LIBOR-BBA   
8,639,000 E  (70)  12/16/18  2.0025%  3 month  (113,906) 
        USD-LIBOR-BBA   
18,855,000 E  (10,438)  12/16/18  1.9525%  3 month  (231,136) 
        USD-LIBOR-BBA   
9,705,000 E  (78)  12/16/18  1.813%  3 month  (73,788) 
        USD-LIBOR-BBA   
47,104,000  210,825  6/17/20  1.80%  3 month  96,407 
        USD-LIBOR-BBA   
19,120,000 E  (154)  12/16/18  3 month USD-LIBOR-BBA  1.41%  (81,911) 
12,308,800 E  52,094  4/20/19  3 month USD-LIBOR-BBA  1.85%  (6,214) 
3,081,500 E  (104,085)  4/20/27  2.415%  3 month  33,061 
        USD-LIBOR-BBA   
18,409,000  (132,788)  7/1/25  2.2125%  3 month  254,335 
        USD-LIBOR-BBA   
18,409,000  (81,243)  7/1/25  2.325%  3 month  116,967 
        USD-LIBOR-BBA   
18,409,000  213,301  7/1/25  3 month USD-LIBOR-BBA  2.10%  (362,735) 
9,486,700 E  (78,897)  9/16/25  3 month USD-LIBOR-BBA  2.60%  (964) 
107,814,000 E  277,552  9/16/20  2.00%  3 month  (367,176) 
        USD-LIBOR-BBA   
8,172,000  (108)  6/30/25  3 month USD-LIBOR-BBA  2.54249%  75,522 
277,936,000 E  313,187  9/16/17  1.25%  3 month  (789,386) 
        USD-LIBOR-BBA   
8,892,800 E  (359,741)  9/16/45  3 month USD-LIBOR-BBA  3.10%  (83,229) 
88,985,000  78,788  6/18/17  0.955%  3 month  (50,657) 
        USD-LIBOR-BBA   

 

24  Putnam VT Diversified Income Fund 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited) cont.     
    Upfront        Unrealized 
    premium  Termination  Payments made by  Payments received by  appreciation/ 
Notional amount    received (paid)  date  fund per annum  fund per annum  (depreciation) 
  $43,938,000  $(165)  6/30/17  0.93813%  3 month  $(39,675) 
          USD-LIBOR-BBA   
  8,172,136  (108)  6/30/25  3 month USD-LIBOR-BBA  2.54563%  77,870 
  43,938,000  (165)  6/30/17  0.93999%  3 month  (41,303) 
          USD-LIBOR-BBA   
  6,476,000  (85)  7/2/25  2.46033%  3 month  (8,517) 
          USD-LIBOR-BBA   
AUD  1,721,000  (17)  3/23/25  6 month AUD-BBR-BBSW  2.765%  (62,977) 
AUD  2,272,000  (23)  3/30/25  2.77%  6 month AUD-BBR-  82,384 
          BBSW   
AUD  1,718,000  (18)  5/19/25  6 month AUD-BBR-BBSW  3.1575%  (20,065) 
AUD  1,095,000  (11)  5/22/25  3.215%  6 month AUD-BBR-  8,664 
          BBSW   
AUD  1,338,000  (13)  6/1/25  3.045%  6 month AUD-BBR-  26,366 
          BBSW   
AUD  1,250,000  (13)  6/5/25  3.325%  6 month AUD-BBR-  1,252 
          BBSW   
AUD  1,372,000  (14)  6/11/25  3.385%  6 month AUD-BBR-  (3,752) 
          BBSW   
AUD  2,634,000  (27)  6/16/25  3.373%  6 month AUD-BBR-  (4,653) 
          BBSW   
AUD  1,317,000  (13)  6/19/25  3.26%  6 month AUD-BBR-  7,765 
          BBSW   
AUD  1,366,000  (14)  7/1/25  3.305%  6 month AUD-BBR-  4,167 
          BBSW   
CAD  1,923,000  (20)  3/20/25  1.7775%  3 month CAD-BA-  46,995 
          CDOR   
CAD  9,359,000  (99)  3/26/25  3 month CAD-BA-CDOR  1.865%  (170,475) 
CAD  1,161,000  (12)  4/1/25  3 month CAD-BA-CDOR  1.77%  (29,756) 
CAD  1,452,000  (15)  4/8/25  1.83%  3 month CAD-BA-  31,134 
          CDOR   
CAD  19,544,000  (58)  6/17/17  0.92%  3 month CAD-BA-  (3,323) 
          CDOR   
CAD  22,247,000  (166)  6/17/20  3 month CAD-BA-CDOR  1.24%  (83,611) 
CAD  851,000  (9)  4/17/25  1.89%  3 month CAD-BA-  14,785 
          CDOR   
CAD  3,404,000  (36)  4/17/25  1.91875%  3 month CAD-BA-  51,814 
          CDOR   
CAD  3,022,000  (33)  4/17/25  1.89375%  3 month CAD-BA-  51,654 
          CDOR   
CAD  7,609,000  (89)  6/17/25  2.253%  3 month CAD-BA-  (50,762) 
          CDOR   
CAD  1,255,000  (14)  5/19/25  3 month CAD-BA-CDOR  2.195%  4,723 
CAD  3,639,000  (39)  5/21/25  3 month CAD-BA-CDOR  2.1875%  11,375 
CAD  1,375,000  (15)  6/9/25  2.3075%  3 month CAD-BA-  (15,332) 
          CDOR   
CAD  1,448,000  (16)  5/26/25  2.1925%  3 month CAD-BA-  (4,725) 
          CDOR   
CAD  1,189,000  (13)  5/28/25  2.093%  3 month CAD-BA-  5,061 
          CDOR   
CAD  1,407,000  (15)  6/1/25  2.03%  3 month CAD-BA-  12,924 
          CDOR   
CAD  1,421,000  (15)  6/12/25  2.28625%  3 month CAD-BA-  (13,368) 
          CDOR   
CAD  1,427,000  (15)  6/15/25  2.21375%  3 month CAD-BA-  (5,456) 
          CDOR   
CAD  1,277,000  (14)  6/24/25  3 month CAD-BA-CDOR  2.247%  7,460 

 

Putnam VT Diversified Income Fund  25 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited) cont.     
    Upfront        Unrealized 
    premium  Termination  Payments made by  Payments received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
CAD  2,258,000  $(24)  6/29/25  3 month CAD-BA-CDOR  2.255%  $13,946 
CAD  1,380,000  (15)  6/29/25  3 month CAD-BA-CDOR  2.27%  10,068 
CHF  1,137,000  (15)  3/20/25  6 month CHF-LIBOR-BBA  0.1775%  (20,627) 
CHF  770,000  (10)  3/23/25  6 month CHF-LIBOR-BBA  0.1675%  (15,007) 
CHF  583,000  (8)  3/26/25  6 month CHF-LIBOR-BBA  0.1525%  (12,387) 
CHF  3,312,000  (45)  4/2/25  6 month CHF-LIBOR-BBA  0.182%  (60,786) 
CHF  1,235,000  (17)  4/10/25  0.16875%  6 month  24,962 
          CHF-LIBOR-BBA   
CHF  13,110,000  (52)  5/5/17  6 month CHF-LIBOR-BBA  0.60875%  (46,394) 
CHF  2,590,000  (36)  5/5/25  6 month CHF-LIBOR-BBA  0.22%  (42,188) 
CHF  2,590,000  (37)  5/19/25  0.29%  6 month  24,827 
          CHF-LIBOR-BBA   
CHF  13,110,000  (54)  5/19/17  0.63%  6 month  39,122 
          CHF-LIBOR-BBA   
CHF  1,326,000  (19)  5/26/25  0.28%  6 month  14,721 
          CHF-LIBOR-BBA   
CHF  1,288,000  (18)  5/26/25  0.2725%  6 month  15,337 
          CHF-LIBOR-BBA   
CHF  640,000  (9)  5/28/25  6 month CHF-LIBOR-BBA  0.2425%  (9,745) 
CHF  742,000  (10)  6/2/25  6 month CHF-LIBOR-BBA  0.2475%  (11,097) 
CHF  727,000  (10)  6/11/25  6 month CHF-LIBOR-BBA  0.46%  5,300 
CHF  669,000  (10)  6/17/25  0.40%  6 month  (371) 
          CHF-LIBOR-BBA   
CHF  629,000  (9)  6/24/25  6 month CHF-LIBOR-BBA  0.45%  3,505 
CHF  729,000  (10)  6/26/25  6 month CHF-LIBOR-BBA  0.39%  (748) 
CHF  629,000  (9)  7/2/25  0.40875%  6 month  (426) 
          CHF-LIBOR-BBA   
EUR  1,977,000 E  7,620  9/16/45  6 month EUR-EURIBOR-Telerate  1.75%  27,370 
EUR  1,728,000 E  2,639  9/16/17  0.25%  6 month  (1,188) 
          EUR-EURIBOR-Telerate   
EUR  22,872,000 E  208,121  9/16/20  6 month EUR-EURIBOR-Telerate  0.50%  137,974 
EUR  15,678,000 E  (30,610)  9/16/25  1.25%  6 month  (110,417) 
          EUR-EURIBOR-Telerate   
EUR  9,209,000 E  (4,679)  9/16/35  1.75%  6 month  (152,816) 
          EUR-EURIBOR-Telerate   
GBP  3,000 E  342  9/16/45  2.75%  6 month  (63) 
          GBP-LIBOR-BBA   
GBP  7,000 E  120  9/16/20  2.00%  6 month  4 
          GBP-LIBOR-BBA   
GBP  1,988,000 E  19,525  9/16/25  2.25%  6 month  2,751 
          GBP-LIBOR-BBA   
JPY  33,102,000  (11)  3/24/44  6 month JPY-LIBOR-BBA  1.80%  23,391 
JPY  64,818,000  (22)  3/24/44  6 month JPY-LIBOR-BBA  1.79625%  45,301 
JPY  1,817,500,000  (71)  3/14/19  6 month JPY-LIBOR-BBA  0.3175%  66,411 
JPY  397,700,000  (69)  3/14/44  1.795%  6 month  (278,514) 
          JPY-LIBOR-BBA   
JPY  32,090,000  (6)  3/24/44  6 month JPY-LIBOR-BBA  1.80125%  22,764 
JPY  37,000,000  (11)  11/7/44  6 month JPY-LIBOR-BBA  1.5025%  2,300 
JPY  219,000,000  (66)  11/7/44  6 month JPY-LIBOR-BBA  1.495%  10,185 
JPY  1,143,000,000  (81)  11/7/19  0.2475%  6 month  (1,341) 
          JPY-LIBOR-BBA   
JPY  674,500,000  (48)  11/7/19  0.25%  6 month  (1,407) 
          JPY-LIBOR-BBA   
JPY  11,690,000  (4)  11/7/44  6 month JPY-LIBOR-BBA  1.4975%  605 

 

26  Putnam VT Diversified Income Fund 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited) cont.     
    Upfront        Unrealized 
    premium  Termination  Payments made by  Payments received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
JPY  36,112,000  $(4)  5/1/25  0.51%  6 month  $3,133 
          JPY-LIBOR-BBA   
JPY  1,165,852,000  (70)  5/20/25  0.583%  6 month  38,250 
          JPY-LIBOR-BBA   
JPY  932,896,000  (55)  5/26/25  6 month JPY-LIBOR-BBA  0.595%  (23,543) 
JPY  339,074,000  (37)  5/26/25  0.614%  6 month  3,305 
          JPY-LIBOR-BBA   
JPY  284,877,000  (16)  6/4/25  6 month JPY-LIBOR-BBA  0.619%  (2,235) 
JPY  281,503,000  (30)  6/8/25  0.6725%  6 month  (9,625) 
          JPY-LIBOR-BBA   
JPY  307,534,000  (32)  6/10/25  0.674%  6 month  (10,769) 
          JPY-LIBOR-BBA   
JPY  306,324,000  (33)  6/12/25  0.6775%  6 month  (11,432) 
          JPY-LIBOR-BBA   
JPY  869,439,000  (51)  6/17/25  6 month JPY-LIBOR-BBA  0.689%  39,194 
JPY  264,881,000  (15)  6/25/25  0.622%  6 month  2,929 
          JPY-LIBOR-BBA   
JPY  932,895,000  (55)  7/2/25  6 month JPY-LIBOR-BBA  0.6325%  (1,163) 
NOK  5,905,000  (10)  6/25/25  2.3775%  6 month NOK-NIBOR-  653 
          NIBR   
NOK  5,635,000  (9)  6/29/25  6 month NOK-NIBOR-NIBR  2.37%  (1,244) 
NOK  5,668,000  (9)  7/2/25  6 month NOK-NIBOR-NIBR  2.375%  (929) 
NZD  4,325,000  (44)  4/23/25  3 month NZD-BBR-FRA  3.7275%  (39,280) 
NZD  1,648,000  (16)  4/8/25  3 month NZD-BBR-FRA  3.675%  (19,572) 
NZD  9,823,000  (99)  4/9/25  3.675%  3 month  116,459 
          NZD-BBR-FRA   
NZD  1,492,000  (15)  4/10/25  3.7275%  3 month  13,242 
          NZD-BBR-FRA   
NZD  4,380,000  (44)  4/22/25  3 month NZD-BBR-FRA  3.705%  (45,306) 
NZD  1,115,000  (11)  5/22/25  3 month NZD-BBR-FRA  4.0075%  7,240 
NZD  3,501,000  (34)  5/25/25  3.985%  3 month  (18,015) 
          NZD-BBR-FRA   
NZD  1,098,000  (10)  6/12/25  4.1425%  3 month  (15,362) 
          NZD-BBR-FRA   
NZD  920,000  (8)  6/26/25  3 month NZD-BBR-FRA  3.975%  3,925 
NZD  1,144,000  (10)  7/2/25  3.9025%  3 month  (172) 
          NZD-BBR-FRA   
NZD  898,000  (9)  5/29/25  3 month NZD-BBR-FRA  3.99%  4,823 
NZD  886,000  (8)  6/16/25  3 month NZD-BBR-FRA  4.045%  7,429 
NZD  1,392,000  (13)  6/17/25  3 month NZD-BBR-FRA  4.025%  10,087 
NZD  2,292,000  (21)  6/17/25  3 month NZD-BBR-FRA  4.02%  15,961 
NZD  1,219,000  (11)  6/22/25  3 month NZD-BBR-FRA  3.895%  (183) 
NZD  882,000  (8)  6/25/25  3.955%  3 month  (2,787) 
          NZD-BBR-FRA   
NZD  970,000  (9)  7/2/25  3.905%  3 month  (283) 
          NZD-BBR-FRA   
NZD  2,287,000  (21)  7/2/25  3.9525%  3 month  (6,800) 
          NZD-BBR-FRA   
SEK  11,498,000  (18)  5/19/25  3 month SEK-STIBOR-SIDE  1.3225%  (33,402) 
SEK  17,580,000  (29)  6/23/25  1.5525%  3 month SEK-STIBOR-  10,757 
          SIDE   
Total    $578,019        $(2,394,308) 

 

E Extended effective date.

 

Putnam VT Diversified Income Fund  27 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)       
  Upfront    Payments  Total return  Unrealized 
Swap counterparty/  premium  Termination  received (paid) by  received by or  appreciation/ 
Notional amount  received (paid)  date  fund per annum  paid by fund  (depreciation) 
Barclays Bank PLC           
$325,670  $—  1/12/40  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  $365 
        30 year Fannie Mae pools   
884,340  —  1/12/42  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  465 
        30 year Fannie Mae pools   
626,289  —  1/12/40  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  702 
        30 year Fannie Mae pools   
579,683  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  831 
        30 year Fannie Mae pools   
2,004,107  —  1/12/41  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  741 
        30 year Fannie Mae pools   
1,747,297  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (7,156) 
        30 year Fannie Mae pools   
225,075  —  1/12/40  4.00% (1 month USD-LIBOR)  Synthetic MBX Index 4.00%  416 
        30 year Fannie Mae pools   
356,947  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  512 
        30 year Fannie Mae pools   
2,498,632  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  3,583 
        30 year Fannie Mae pools   
534,412  —  1/12/39  6.00% (1 month USD-LIBOR)  Synthetic TRS Index 6.00%  259 
        30 year Fannie Mae pools   
1,524,168  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (6,242) 
        30 year Fannie Mae pools   
1,907,884  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  2,736 
        30 year Fannie Mae pools   
580,387  —  1/12/40  4.00% (1 month USD-LIBOR)  Synthetic MBX Index 4.00%  1,073 
        30 year Fannie Mae pools   
73,757  —  1/12/38  6.50% (1 month USD-LIBOR)  Synthetic TRS Index 6.50%  159 
        30 year Fannie Mae pools   
243,081  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  349 
        30 year Fannie Mae pools   
286,970  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  322 
        30 year Ginnie Mae II pools   
1,784,737  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  2,559 
        30 year Fannie Mae pools   
1,188,854  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (4,869) 
        30 year Fannie Mae pools   
1,292,047  —  1/12/40  4.00% (1 month USD-LIBOR)  Synthetic MBX Index 4.00%  2,389 
        30 year Fannie Mae pools   
255,526  —  1/12/40  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  287 
        30 year Fannie Mae pools   
1,973,813  —  1/12/40  4.50% (1 month USD-LIBOR)  Synthetic MBX Index 4.50%  1,390 
        30 year Fannie Mae pools   
8,174,453  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  11,722 
        30 year Fannie Mae pools   
1,693,002  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  2,428 
        30 year Fannie Mae pools   
285,349  —  1/12/40  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  320 
        30 year Fannie Mae pools   
925,238  —  1/12/40  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  1,038 
        30 year Fannie Mae pools   
670,905  —  1/12/40  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  753 
        30 year Fannie Mae pools   
3,639,973  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (14,907) 
        30 year Fannie Mae pools   
708,240  —  1/12/39  (6.00%) 1 month USD-LIBOR  Synthetic MBX Index 6.00%  (3,490) 
        30 year Fannie Mae pools   
540,946  —  1/12/39  (5.50%) 1 month USD-LIBOR  Synthetic MBX Index 5.50%  96 
        30 year Fannie Mae pools   

 

28  Putnam VT Diversified Income Fund 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited) cont.       
  Upfront    Payments  Total return  Unrealized 
Swap counterparty/  premium  Termination  received (paid) by  received by or  appreciation/ 
Notional amount  received (paid)  date  fund per annum  paid by fund  (depreciation) 
Barclays Bank PLC cont.           
$270,507  $—  1/12/39  (5.50%) 1 month USD-LIBOR  Synthetic MBX Index 5.50%  $48 
        30 year Fannie Mae pools   
270,507  —  1/12/39  (5.50%) 1 month USD-LIBOR  Synthetic MBX Index 5.50%  48 
        30 year Fannie Mae pools   
542,849  —  1/12/39  (5.50%) 1 month USD-LIBOR  Synthetic MBX Index 5.50%  97 
        30 year Fannie Mae pools   
1,409,900  —  1/12/39  (5.50%) 1 month USD-LIBOR  Synthetic MBX Index 5.50%  251 
        30 year Fannie Mae pools   
542,849  —  1/12/39  (5.50%) 1 month USD-LIBOR  Synthetic MBX Index 5.50%  97 
        30 year Fannie Mae pools   
310,384  —  1/12/41  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  115 
        30 year Fannie Mae pools   
838,579  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic TRS Index 5.00%  884 
        30 year Ginnie Mae II pools   
504,614  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic TRS Index 5.00%  532 
        30 year Ginnie Mae II pools   
534,350  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  766 
        30 year Fannie Mae pools   
640,266  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic TRS Index 5.00%  675 
        30 year Ginnie Mae II pools   
1,156,142  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (4,735) 
        30 year Fannie Mae pools   
828,610  —  1/12/38  6.50% (1 month USD-LIBOR)  Synthetic TRS Index 6.50%  1,785 
        30 year Fannie Mae pools   
118,865  —  1/12/38  6.50% (1 month USD-LIBOR)  Synthetic TRS Index 6.50%  256 
        30 year Fannie Mae pools   
1,083,864  —  1/12/39  (5.50%) 1 month USD-LIBOR  Synthetic MBX Index 5.50%  193 
        30 year Fannie Mae pools   
291,928  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (1,196) 
        30 year Fannie Mae pools   
1,689,075  —  1/12/41  (5.00%) 1 month USD-LIBOR  Synthetic TRS Index 5.00%  2,973 
        30 year Fannie Mae pools   
425,124  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  610 
        30 year Fannie Mae pools   
1,595,927  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (6,536) 
        30 year Fannie Mae pools   
3,063,108  —  1/12/41  (4.00%) 1 month USD-LIBOR  Synthetic TRS Index 4.00%  (1,133) 
        30 year Fannie Mae pools   
762,200  —  1/12/43  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  1,510 
        30 year Fannie Mae pools   
Citibank, N.A.           
1,086,191  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  1,558 
        30 year Fannie Mae pools   
2,498,632  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  3,583 
        30 year Fannie Mae pools   
1,699,784  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  2,437 
        30 year Fannie Mae pools   
Credit Suisse International           
713,895  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  1,024 
        30 year Fannie Mae pools   
757,539  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (3,102) 
        30 year Fannie Mae pools   
1,166,211  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic TRS Index 5.00%  1,229 
        30 year Ginnie Mae II pools   
1,188,992  —  1/12/41  (5.00%) 1 month USD-LIBOR  Synthetic TRS Index 5.00%  2,093 
        30 year Fannie Mae pools   
1,309,997  —  1/12/41  (5.00%) 1 month USD-LIBOR  Synthetic TRS Index 5.00%  2,306 
        30 year Fannie Mae pools   

 

Putnam VT Diversified Income Fund  29 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited) cont.       
  Upfront    Payments  Total return  Unrealized 
Swap counterparty/  premium  Termination  received (paid) by  received by or  appreciation/ 
Notional amount  received (paid)  date  fund per annum  paid by fund  (depreciation) 
Credit Suisse International cont.           
$1,140,214  $—  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  $1,202 
        30 year Ginnie Mae II pools   
2,174,772  —  1/12/41  5.00% (1 month USD-LIBOR)  Synthetic MBX Index 5.00%  2,292 
        30 year Ginnie Mae II pools   
1,586,028  —  1/12/44  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  4,628 
        30 year Fannie Mae pools   
836,300  —  1/12/44  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  2,440 
        30 year Fannie Mae pools   
418,570  —  1/12/44  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  1,221 
        30 year Fannie Mae pools   
3,423,366  —  1/12/44  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  9,990 
        30 year Fannie Mae pools   
753,755  —  1/12/43  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  1,493 
        30 year Fannie Mae pools   
1,448,391  —  1/12/43  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  2,869 
        30 year Fannie Mae pools   
994,449  —  1/12/43  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  1,970 
        30 year Fannie Mae pools   
1,450,502  —  1/12/43  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  2,873 
        30 year Fannie Mae pools   
Deutsche Bank AG           
757,539  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (3,102) 
        30 year Fannie Mae pools   
Goldman Sachs International           
981,388  —  1/12/39  6.00% (1 month USD-LIBOR)  Synthetic TRS Index 6.00%  476 
        30 year Fannie Mae pools   
343,716  —  1/12/38  6.50% (1 month USD-LIBOR)  Synthetic TRS Index 6.50%  740 
        30 year Fannie Mae pools   
2,194,981  —  1/12/42  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  1,153 
        30 year Fannie Mae pools   
2,194,981  —  1/12/42  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  1,153 
        30 year Fannie Mae pools   
530,553  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (2,173) 
        30 year Fannie Mae pools   
199,302  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (816) 
        30 year Fannie Mae pools   
143,525  —  1/12/39  6.00% (1 month USD-LIBOR)  Synthetic TRS Index 6.00%  70 
        30 year Fannie Mae pools   
1,472,933  —  1/12/40  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  86 
        30 year Fannie Mae pools   
376,500  —  1/12/39  6.00% (1 month USD-LIBOR)  Synthetic TRS Index 6.00%  183 
        30 year Fannie Mae pools   
752,930  —  1/12/39  6.00% (1 month USD-LIBOR)  Synthetic TRS Index 6.00%  365 
        30 year Fannie Mae pools   
370,436  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (1,517) 
        30 year Fannie Mae pools   
726,824  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (2,977) 
        30 year Fannie Mae pools   
444,469  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (1,820) 
        30 year Fannie Mae pools   
34,089  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (140) 
        30 year Fannie Mae pools   
90,836  —  1/12/38  (6.50%) 1 month USD-LIBOR  Synthetic MBX Index 6.50%  (372) 
        30 year Fannie Mae pools   
24,379  —  1/12/38  6.50% (1 month USD-LIBOR)  Synthetic TRS Index 6.50%  53 
        30 year Fannie Mae pools   
466,162  —  1/12/38  6.50% (1 month USD-LIBOR)  Synthetic TRS Index 6.50%  1,004 
        30 year Fannie Mae pools   

 

30  Putnam VT Diversified Income Fund 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/15 (Unaudited) cont.       
    Upfront    Payments  Total return  Unrealized 
Swap counterparty/  premium  Termination  received (paid) by  received by or  appreciation/ 
Notional amount  received (paid)  date  fund per annum  paid by fund  (depreciation) 
Goldman Sachs International cont.           
  $2,858,118  $—  1/12/42  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  $1,502 
          30 year Fannie Mae pools   
  384,493  —  1/12/39  6.00% (1 month USD-LIBOR)  Synthetic TRS Index 6.00%  187 
          30 year Fannie Mae pools   
  2,470,657  —  1/12/42  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  1,298 
          30 year Fannie Mae pools   
  379,777  —  1/12/41  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  140 
          30 year Fannie Mae pools   
  1,739,048  —  1/12/41  (5.00%) 1 month USD-LIBOR  Synthetic TRS Index 5.00%  3,061 
          30 year Fannie Mae pools   
  2,535,036  —  1/12/43  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  5,022 
          30 year Fannie Mae pools   
  3,144,000  —  2/24/25  (2.01%)  USA Non Revised  7,363 
          Consumer Price   
          Index-Urban (CPI-U)   
  1,725,551  —  1/12/44  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  5,035 
          30 year Fannie Mae pools   
  1,377,583  —  1/12/44  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  4,020 
          30 year Fannie Mae pools   
  845,545  —  1/12/44  3.50% (1 month USD-LIBOR)  Synthetic TRS Index 3.50%  2,467 
          30 year Fannie Mae pools   
  699,000  —  3/12/25  (1.925%)  USA Non Revised  8,444 
          Consumer Price   
          Index-Urban (CPI-U)   
GBP  1,821,000  —  2/20/25  (2.895%)  GBP Non-revised UK Retail  (59,485) 
          Price Index   
GBP  405,000  —  3/10/25  (2.8675%)  GBP Non-revised UK Retail  (18,155) 
          Price Index   
JPMorgan Chase Bank N.A.           
  $3,503,604  —  1/12/41  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  1,295 
          30 year Fannie Mae pools   
  2,659,948  —  1/12/41  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  983 
          30 year Fannie Mae pools   
  552,506  —  1/12/41  4.00% (1 month USD-LIBOR)  Synthetic TRS Index 4.00%  204 
          30 year Fannie Mae pools   
  1,739,048  —  1/12/41  (5.00%) 1 month USD-LIBOR  Synthetic TRS Index 5.00%  3,061 
          30 year Fannie Mae pools   
EUR  5,102,000  —  5/25/20  (1.115%)  Eurostat Eurozone HICP  41,869 
          excluding tobacco   
EUR  5,023,000  —  5/25/25  1.445%  Eurostat Eurozone HICP  (58,640) 
          excluding tobacco   
Total    $—        $(19,786) 

 

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/15 (Unaudited)         
          Payments  Unrealized 
Swap counterparty/    Upfront premium  Notional  Termination  received (paid) by  appreciation/ 
Referenced debt*  Rating***  received (paid)**  amount  date  fund per annum  (depreciation) 
Bank of America N.A.             
CMBX NA BBB– Index  BBB–/P  $5,468  $80,000  5/11/63  300 bp  $4,956 
CMBX NA BBB– Index  BBB–/P  10,546  175,000  5/11/63  300 bp  9,426 
CMBX NA BBB– Index  BBB–/P  21,545  349,000  5/11/63  300 bp  19,312 
CMBX NA BBB– Index  BBB–/P  20,577  361,000  5/11/63  300 bp  18,267 
Barclays Bank PLC             
CMBX NA BBB– Index  BBB–/P  35,810  323,000  5/11/63  300 bp  33,736 
CMBX NA BBB– Index  —  (178)  17,000  1/17/47  (300 bp)  291 
Credit Suisse International             
CMBX NA BBB– Index  BBB–/P  32  14,000  5/11/63  300 bp  (58) 
CMBX NA BBB– Index  BBB–/P  88  15,000  5/11/63  300 bp  (8) 

 

Putnam VT Diversified Income Fund  31 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/15 (Unaudited) cont.         
          Payments  Unrealized 
Swap counterparty/    Upfront premium  Notional  Termination  received (paid) by  appreciation/ 
Referenced debt*  Rating***  received (paid)**  amount  date  fund per annum  (depreciation) 
Credit Suisse International cont.             
CMBX NA BBB– Index  BBB–/P  $96  $21,000  5/11/63  300 bp  $(39) 
CMBX NA BBB– Index  BBB–/P  127  39,000  5/11/63  300 bp  (122) 
CMBX NA BBB– Index  BBB–/P  89  39,000  5/11/63  300 bp  (160) 
CMBX NA BBB– Index  BBB–/P  62  48,000  5/11/63  300 bp  (245) 
CMBX NA BBB– Index  BBB–/P  (49)  75,000  5/11/63  300 bp  (529) 
CMBX NA BBB– Index  BBB–/P  (345)  81,000  5/11/63  300 bp  (864) 
CMBX NA BBB– Index  BBB–/P  (1,567)  100,000  5/11/63  300 bp  (2,207) 
CMBX NA BBB– Index  BBB–/P  1,797  102,000  5/11/63  300 bp  1,144 
CMBX NA BBB– Index  BBB–/P  (1,391)  109,000  5/11/63  300 bp  (2,089) 
CMBX NA BBB– Index  BBB–/P  (2,087)  125,000  5/11/63  300 bp  (2,887) 
CMBX NA BBB– Index  BBB–/P  2,947  154,000  5/11/63  300 bp  1,961 
CMBX NA BBB– Index  BBB–/P  3,111  268,000  5/11/63  300 bp  1,396 
CMBX NA BBB– Index  BBB–/P  23,720  298,000  5/11/63  300 bp  21,813 
CMBX NA BBB– Index  BBB–/P  25,423  349,000  5/11/63  300 bp  23,189 
CMBX NA BBB– Index  BBB–/P  41,918  371,000  5/11/63  300 bp  39,544 
CMBX NA BBB– Index  BBB–/P  5,900  384,000  5/11/63  300 bp  3,442 
CMBX NA BBB– Index  BBB–/P  30,800  386,000  5/11/63  300 bp  28,330 
CMBX NA BBB– Index  BBB–/P  30,042  388,000  5/11/63  300 bp  27,558 
CMBX NA BBB– Index  BBB–/P  25,590  389,000  5/11/63  300 bp  23,100 
CMBX NA BBB– Index  BBB–/P  11,988  394,000  5/11/63  300 bp  9,467 
CMBX NA BBB– Index  BBB–/P  32,648  426,000  5/11/63  300 bp  29,921 
CMBX NA BBB– Index  BBB–/P  33,609  819,000  5/11/63  300 bp  28,368 
CMBX NA BBB– Index  BBB–/P  99  4,000  1/17/47  300 bp  (11) 
CMBX NA BBB– Index  BBB–/P  247  14,000  1/17/47  300 bp  (139) 
CMBX NA BBB– Index  BBB–/P  512  21,000  1/17/47  300 bp  (68) 
CMBX NA BBB– Index  BBB–/P  733  31,000  1/17/47  300 bp  (122) 
CMBX NA BBB– Index  BBB–/P  1,568  40,000  1/17/47  300 bp  464 
CMBX NA BBB– Index  BBB–/P  574  65,000  1/17/47  300 bp  (1,220) 
CMBX NA BBB– Index  BBB–/P  843  79,000  1/17/47  300 bp  (1,338) 
CMBX NA BBB– Index  BBB–/P  1,087  80,000  1/17/47  300 bp  (1,121) 
CMBX NA BBB– Index  BBB–/P  320  100,000  1/17/47  300 bp  (2,440) 
CMBX NA BBB– Index  BBB–/P  320  100,000  1/17/47  300 bp  (2,440) 
CMBX NA BBB– Index  BBB–/P  696  109,000  1/17/47  300 bp  (2,312) 
CMBX NA BBB– Index  BBB–/P  542  109,000  1/17/47  300 bp  (2,466) 
CMBX NA BBB– Index  BBB–/P  2,409  119,000  1/17/47  300 bp  (875) 
CMBX NA BBB– Index  BBB–/P  453  181,000  1/17/47  300 bp  (4,542) 
CMBX NA BBB– Index  BBB–/P  583  182,000  1/17/47  300 bp  (4,440) 
CMBX NA BBB– Index  BBB–/P  390  182,000  1/17/47  300 bp  (4,634) 
CMBX NA BBB– Index  BBB–/P  325  182,000  1/17/47  300 bp  (4,698) 
CMBX NA BBB– Index  BBB–/P  563  197,000  1/17/47  300 bp  (4,874) 
CMBX NA BBB– Index  BBB–/P  633  197,000  1/17/47  300 bp  (4,804) 
CMBX NA BBB– Index  BBB–/P  357  201,000  1/17/47  300 bp  (5,190) 
CMBX NA BBB– Index  BBB–/P  1,581  202,000  1/17/47  300 bp  (3,994) 
CMBX NA BBB– Index  BBB–/P  1,438  202,000  1/17/47  300 bp  (4,137) 
CMBX NA BBB– Index  BBB–/P  1,309  306,000  1/17/47  300 bp  (7,136) 
CMBX NA BBB– Index  BBB–/P  2,100  420,000  1/17/47  300 bp  (9,492) 
CMBX NA BBB– Index  BBB–/P  2,100  420,000  1/17/47  300 bp  (9,492) 
CMBX NA BBB– Index  BBB–/P  5  543,000  1/17/47  300 bp  (14,981) 
CMBX NA BBB– Index  BBB–/P  2,260  634,000  1/17/47  300 bp  (15,238) 
CMBX NA BB Index  —  (2,126)  407,000  5/11/63  (500 bp)  180 
CMBX NA BB Index  —  (5,257)  301,000  5/11/63  (500 bp)  (3,551) 
CMBX NA BB Index  —  4,806  182,000  5/11/63  (500 bp)  5,837 

 

32  Putnam VT Diversified Income Fund 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/15 (Unaudited) cont.         
          Payments  Unrealized 
Swap counterparty/    Upfront premium  Notional  Termination  received (paid) by  appreciation/ 
Referenced debt*  Rating***  received (paid)**  amount  date  fund per annum  (depreciation) 
Credit Suisse International cont.             
CMBX NA BB Index  —  $2,799  $181,000  5/11/63  (500 bp)  $3,825 
CMBX NA BB Index  —  (1,241)  136,000  5/11/63  (500 bp)  (470) 
CMBX NA BB Index  —  (1,037)  135,000  5/11/63  (500 bp)  (272) 
CMBX NA BB Index  —  (1,293)  135,000  5/11/63  (500 bp)  (528) 
CMBX NA BB Index  —  1,820  91,000  5/11/63  (500 bp)  2,335 
CMBX NA BB Index  —  (295)  81,000  5/11/63  (500 bp)  164 
CMBX NA BB Index  —  434  80,000  5/11/63  (500 bp)  887 
CMBX NA BB Index  —  (546)  68,000  5/11/63  (500 bp)  (104) 
CMBX NA BB Index  —  (428)  68,000  5/11/63  (500 bp)  (5) 
CMBX NA BB Index  —  239  16,000  5/11/63  (500 bp)  330 
CMBX NA BB Index  —  (1,136)  117,000  1/17/47  (500 bp)  1,703 
CMBX NA BB Index  —  (5,799)  299,000  5/11/63  (500 bp)  (4,105) 
CMBX NA BBB– Index  BBB–/P  259  6,000  5/11/63  300 bp  221 
CMBX NA BBB– Index  BBB–/P  (639)  106,000  5/11/63  300 bp  (1,317) 
CMBX NA BBB– Index  BBB–/P  (1,040)  109,000  5/11/63  300 bp  (1,737) 
CMBX NA BBB– Index  BBB–/P  1,341  182,000  5/11/63  300 bp  85 
CMBX NA BBB– Index  BBB–/P  (1,741)  208,000  5/11/63  300 bp  (3,072) 
CMBX NA BBB– Index  BBB–/P  2,491  209,000  5/11/63  300 bp  1,153 
CMBX NA BBB– Index  BBB–/P  2,078  209,000  5/11/63  300 bp  740 
CMBX NA BBB– Index  BBB–/P  (707)  212,000  5/11/63  300 bp  (2,064) 
CMBX NA BBB– Index  BBB–/P  (709)  212,000  5/11/63  300 bp  (2,065) 
CMBX NA BBB– Index  BBB–/P  (2,144)  214,000  5/11/63  300 bp  (3,513) 
CMBX NA BBB– Index  BBB–/P  (2,013)  215,000  5/11/63  300 bp  (3,389) 
CMBX NA BBB– Index  BBB–/P  591  219,000  5/11/63  300 bp  (811) 
CMBX NA BBB– Index  BBB–/P  (745)  220,000  5/11/63  300 bp  (2,153) 
CMBX NA BBB– Index  BBB–/P  10,529  220,000  5/11/63  300 bp  9,121 
CMBX NA BBB– Index  BBB–/P  (4,462)  247,000  5/11/63  300 bp  (6,043) 
CMBX NA BBB– Index  BBB–/P  176  254,000  5/11/63  300 bp  (1,449) 
CMBX NA BBB– Index  BBB–/P  880  254,000  5/11/63  300 bp  (746) 
CMBX NA BBB– Index  BBB–/P  1,554  256,000  5/11/63  300 bp  (85) 
CMBX NA BBB– Index  BBB–/P  1,191  257,000  5/11/63  300 bp  (454) 
CMBX NA BBB– Index  BBB–/P  6,163  259,000  5/11/63  300 bp  4,505 
CMBX NA BBB– Index  BBB–/P  174  262,000  5/11/63  300 bp  (1,502) 
CMBX NA BBB– Index  BBB–/P  (3,194)  318,000  5/11/63  300 bp  (5,230) 
CMBX NA BBB– Index  BBB–/P  1,482  320,000  5/11/63  300 bp  (566) 
CMBX NA BBB– Index  BBB–/P  609  459,000  5/11/63  300 bp  (2,328) 
CMBX NA BBB– Index  BBB–/P  (9,506)  491,000  5/11/63  300 bp  (12,648) 
CMBX NA BBB– Index  BBB–/P  (7,494)  497,000  5/11/63  300 bp  (10,674) 
CMBX NA BBB– Index  BBB–/P  (6,149)  499,000  5/11/63  300 bp  (9,343) 
CMBX NA BBB– Index  BBB–/P  520  74,000  1/17/47  300 bp  (1,523) 
CMBX NA BBB– Index  BBB–/P  1,378  280,000  1/17/47  300 bp  (6,350) 
Goldman Sachs International             
CMBX NA BBB– Index  BBB–/P  (59)  13,000  5/11/63  300 bp  (143) 
CMBX NA BBB– Index  BBB–/P  55  21,000  5/11/63  300 bp  (80) 
CMBX NA BBB– Index  BBB–/P  (2,220)  321,000  5/11/63  300 bp  (4,274) 
CMBX NA BBB– Index  BBB–/P  458  46,000  1/17/47  300 bp  (811) 
CMBX NA BBB– Index  BBB–/P  360  101,000  1/17/47  300 bp  (2,427) 
CMBX NA BBB– Index  BBB–/P  360  101,000  1/17/47  300 bp  (2,427) 
CMBX NA BBB– Index  BBB–/P  934  120,000  1/17/47  300 bp  (2,378) 
CMBX NA BBB– Index  BBB–/P  902  211,000  1/17/47  300 bp  (4,922) 
CMBX NA BBB– Index  BBB–/P  752  211,000  1/17/47  300 bp  (5,071) 
CMBX NA BBB– Index  BBB–/P  752  211,000  1/17/47  300 bp  (5,071) 

 

Putnam VT Diversified Income Fund  33 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/15 (Unaudited) cont.         
          Payments  Unrealized 
Swap counterparty/    Upfront premium  Notional  Termination  received (paid) by  appreciation/ 
Referenced debt*  Rating***  received (paid)**  amount  date  fund per annum  (depreciation) 
Goldman Sachs International cont.             
CMBX NA BBB– Index  BBB–/P  $2,738  $323,000  1/17/47  300 bp  $(6,177) 
CMBX NA BBB– Index  BBB–/P  1,271  324,000  1/17/47  300 bp  (7,671) 
CMBX NA BBB– Index  BBB–/P  393  364,000  1/17/47  300 bp  (9,653) 
CMBX NA BB Index  —  (1,941)  183,000  5/11/63  (500 bp)  (904) 
CMBX NA BB Index  —  (1,297)  135,000  5/11/63  (500 bp)  (532) 
CMBX NA BB Index  —  2,058  91,000  5/11/63  (500 bp)  2,573 
CMBX NA BB Index  —  707  42,000  5/11/63  (500 bp)  945 
CMBX NA BB Index  —  390  38,000  5/11/63  (500 bp)  605 
CMBX NA BB Index  —  46  38,000  5/11/63  (500 bp)  261 
CMBX NA BB Index  —  (1,210)  117,000  1/17/47  (500 bp)  1,629 
CMBX NA BB Index  —  (124)  62,000  1/17/47  (500 bp)  1,381 
CMBX NA BBB– Index  BBB–/P  (83)  31,000  5/11/63  300 bp  (281) 
CMBX NA BBB– Index  BBB–/P  (1,189)  109,000  5/11/63  300 bp  (1,887) 
CMBX NA BBB– Index  BBB–/P  (1,671)  208,000  5/11/63  300 bp  (3,002) 
CMBX NA BBB– Index  BBB–/P  (851)  212,000  5/11/63  300 bp  (2,208) 
CMBX NA BBB– Index  BBB–/P  1,271  213,000  5/11/63  300 bp  (92) 
CMBX NA BBB– Index  BBB–/P  (1,993)  213,000  5/11/63  300 bp  (3,356) 
CMBX NA BBB– Index  BBB–/P  (2,136)  213,000  5/11/63  300 bp  (3,499) 
CMBX NA BBB– Index  BBB–/P  (2,136)  213,000  5/11/63  300 bp  (3,499) 
CMBX NA BBB– Index  BBB–/P  2,719  238,000  5/11/63  300 bp  1,196 
CMBX NA BBB– Index  BBB–/P  (4,116)  247,000  5/11/63  300 bp  (5,697) 
CMBX NA BBB– Index  BBB–/P  5,449  182,000  1/17/47  300 bp  335 
CMBX NA BBB– Index  BBB–/P  3,203  416,000  1/17/47  300 bp  (8,279) 
Total    $367,968        $71,846 

 

*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 are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at June 30, 2015. Securities rated by Putnam are indicated by “/P.”

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.

34  Putnam VT Diversified Income Fund 

 


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*:       
Consumer cyclicals  $—  $—  $13,839 
Energy  15,360  —  1,038 
Total common stocks  15,360  —  14,877 
Convertible bonds and notes  —  150,625  — 
Corporate bonds and notes  —  88,823,173  8 
Foreign government and agency bonds and notes  —  21,264,327  — 
Mortgage-backed securities  —  119,767,249  4,511,221 
Preferred stocks  181,340  357,188  — 
Purchased options outstanding  —  323,854  — 
Purchased swap options outstanding  —  3,541,434  — 
Senior loans  —  6,764,215  — 
U.S. government and agency mortgage obligations  —  107,726,640  — 
U.S. treasury obligations  —  137,583  — 
Short-term investments  22,823,051  12,511,597  — 
Totals by level  $23,019,751  $361,367,885  $4,526,106 
    Valuation inputs   
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $—  $(743,956)  $— 
Futures contracts  110,738  —  — 
Written options outstanding  —  (345,909)  — 
Written swap options outstanding  —  (4,270,738)  — 
Forward premium swap option contracts  —  (61,946)  — 
TBA sale commitments  —  (1,030,391)  — 
Interest rate swap contracts  —  (4,225,053)  — 
Total return swap contracts  —  (19,786)  — 
Credit default contracts  —  (296,122)  — 
Totals by level  $110,738  $(10,993,901)  $— 

 

* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.

The following is a reconciliation of Level 3 assets as of the close of the reporting period:

        Change in net         
  Balance as of  Accrued    unrealized      Net transfers in  Balance as of 
Investments in  December 31,  discounts/  Realized  appreciation/      and/or out of  June 30, 
securities:  2014  premiums  gain/(loss)  (depreciation)#  Purchases  Sales  Level 3†  2015 
Common stocks*:                 
Consumer cyclicals  $13,839  $—  $—  $—  $—  $—  $—  $13,839 
Energy  $1,038  —  —  —  —  —  —  $1,038 
Total common stocks  $14,877  —  —  —  —  —  —  $14,877 
Corporate bonds                 
and notes  $8    —  —  —  —  —  $8 
Mortgage-                 
backed securities  $—  —  —  —  —  —  4,511,221  $4,511,221 
Totals:  $14,885  $—  $—  $—  $—  $—  $4,511,221  $4,526,106 

 

* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.

† Transfers during the reporting period are accounted for using the end of period market value and include valuations provided by a single broker quote. Such valuations involve certain inputs and estimates that were unobservable at the end of the reporting period.

# Includes $— related to Level 3 securities still held at period end. Total change in unrealized appreciation/(depreciation) for securities (including Level 1 and Level 2) can be found in the Statement of operations.

During the reporting period, transfers between level 1 and level 2 within the fair value hierarchy, if any, (other than certain transfers involving non-U.S. equity securities as described in Note 1) did not represent, in the aggregate, more than 1% of the fund’s net assets measured as of the end of the period.

Level 3 securities, which are fair valued, are not material to the fund.

The accompanying notes are an integral part of these financial statements.

Putnam VT Diversified Income Fund  35 

 


Statement of assets and liabilities
6/30/15 (Unaudited)

Assets   
Investment in securities, at value (Note 1):   
Unaffiliated issuers (identified cost $374,230,931)  $366,460,691 
Affiliated issuers (identified cost $22,453,051) (Note 5)  22,453,051 
Cash  2,535,450 
Foreign currency (cost $72) (Note 1)  72 
Interest and other receivables  3,313,667 
Receivable for shares of the fund sold  25,773 
Receivable for investments sold  2,857,508 
Receivable for sales of delayed delivery securities (Note 1)  1,947,488 
Receivable for variation margin (Note 1)  561,255 
Unrealized appreciation on forward premium swap option contracts (Note 1)  514,001 
Unrealized appreciation on forward currency contracts (Note 1)  1,410,415 
Unrealized appreciation on OTC swap contracts (Note 1)  570,736 
Premium paid on OTC swap contracts (Note 1)  86,344 
Total assets  402,736,451 
 
Liabilities   
Payable for investments purchased  3,843,096 
Payable for purchases of delayed delivery securities (Note 1)  110,395,375 
Payable for shares of the fund repurchased  1,019,060 
Payable for compensation of Manager (Note 2)  123,568 
Payable for custodian fees (Note 2)  38,346 
Payable for investor servicing fees (Note 2)  32,723 
Payable for Trustee compensation and expenses (Note 2)  139,594 
Payable for administrative services (Note 2)  861 
Payable for distribution fees (Note 2)  37,692 
Payable for variation margin (Note 1)  468,384 
Unrealized depreciation on OTC swap contracts (Note 1)  1,771,402 
Premium received on OTC swap contracts (Note 1)  454,312 
Unrealized depreciation on forward currency contracts (Note 1)  2,154,371 
Unrealized depreciation on forward premium swap option contracts (Note 1)  575,947 
Written options outstanding, at value (premiums $5,336,020) (Notes 1 and 3)  4,616,647 
TBA sale commitments, at value (proceeds receivable $1,030,938) (Note 1)  1,030,391 
Collateral on certain derivative contracts, at value (Note 1)  507,583 
Other accrued expenses  121,581 
Total liabilities  127,330,933 
 
Net assets  $275,405,518 
 
Represented by   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $370,344,889 
Undistributed net investment income (Note 1)  2,666,303 
Accumulated net realized loss on investments and foreign currency transactions (Note 1)  (86,260,553) 
Net unrealized depreciation of investments and assets and liabilities in foreign currencies  (11,345,121) 
Total — Representing net assets applicable to capital shares outstanding  $275,405,518 
 
Computation of net asset value Class IA   
Net assets  $94,972,508 
Number of shares outstanding  14,961,352 
Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding)  $6.35 
 
Computation of net asset value Class IB   
Net assets  $180,433,010 
Number of shares outstanding  28,374,040 
Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding)  $6.36 

 

The accompanying notes are an integral part of these financial statements.

 

36  Putnam VT Diversified Income Fund 

 


Statement of operations
Six months ended 6/30/15 (Unaudited)

Investment income   
Interest (net of foreign tax of $434 ) (including interest income of $5,347 from investments in affiliated issuers) (Note 5)  $7,910,352 
Dividends  27,056 
Total investment income  7,937,408 
 
Expenses   
Compensation of Manager (Note 2)  755,088 
Investor servicing fees (Note 2)  99,255 
Custodian fees (Note 2)  56,096 
Trustee compensation and expenses (Note 2)  8,292 
Distribution fees (Note 2)  228,561 
Administrative services (Note 2)  2,839 
Auditing and tax fees  78,682 
Other  54,398 
Total expenses  1,283,211 
 
Expense reduction (Note 2)  — 
Net expenses  1,283,211 
 
Net investment income  6,654,197 
 
Net realized gain on investments (Notes 1 and 3)  2,036,372 
Net realized loss on swap contracts (Note 1)  (1,253,306) 
Net realized loss on futures contracts (Note 1)  (3,122,986) 
Net realized gain on foreign currency transactions (Note 1)  4,885,424 
Net realized gain on written options (Notes 1 and 3)  2,422,144 
Net unrealized depreciation of assets and liabilities in foreign currencies during the period  (3,105,359) 
Net unrealized depreciation of investments, futures contracts, swap contracts, written options and TBA sale commitments during the period  (8,981,252) 
Net loss on investments  (7,118,963) 
 
Net decrease in net assets resulting from operations  $(464,766) 

 

Statement of changes in net assets

  Six months ended  Year ended 
  6/30/15*  12/31/14 
Decrease in net assets     
Operations:     
Net investment income  $6,654,197  $16,950,021 
Net realized gain on investments and foreign currency transactions  4,967,648  4,757,634 
Net unrealized depreciation of investments and assets and liabilities in foreign currencies  (12,086,611)  (19,186,130) 
Net increase (decrease) in net assets resulting from operations  (464,766)  2,521,525 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class IA  (9,358,571)  (9,571,123) 
Class IB  (16,632,738)  (17,778,297) 
Increase (decrease) from capital share transactions (Note 4)  9,190,591  (42,316,456) 
Total decrease in net assets  (17,265,484)  (67,144,351) 
Net assets:     
Beginning of period  292,671,002  359,815,353 
End of period (including undistributed net investment income of $2,666,303 and $22,003,415, respectively)  $275,405,518  $292,671,002 

 

* Unaudited.

The accompanying notes are an integral part of these financial statements.

Putnam VT Diversified Income Fund  37 

 


Financial highlights (For a common share outstanding throughout the period)

          LESS                 
INVESTMENT OPERATIONS:      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 Total distributions Non-recurring reimbursements 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 Ratio of net investment income (loss) to average net assets (%) Portfolio turnover (%)
Class IA                           
6/30/15†  $7.02  .16  (.17)  (.01)  (.66)  (.66)  —  $6.35  (.11)*  $94,973  .37*  2.43*  440*e 
12/31/14  7.58  .38  (.32)  .06  (.62)  (.62)  —  7.02  .68  103,063  .76  5.27  408e 
12/31/13  7.26  .42  .16  .58  (.26)  (.26)  —  7.58  8.08  121,877  .75  5.71  234f 
12/31/12  6.88  .37  .43  .80  (.42)  (.42)  —  7.26  11.97  132,669  .77  5.24  170f 
12/31/11  7.85  .41  (.60)  (.19)  (.78)  (.78)  —g,h  6.88  (3.17)  134,507  .76  5.55  155f 
12/31/10  8.11  .72  .23  .95  (1.21)  (1.21)  —  7.85  13.02  163,545  .74i  9.41  115f 
Class IB                           
6/30/15†  $7.01  .15  (.16)  (.01)  (.64)  (.64)  —  $6.36  (.14)*  $180,433  .50*  2.30*  440*e 
12/31/14  7.57  .36  (.32)  .04  (.60)  (.60)  —  7.01  .35  189,608  1.01  5.02  408e 
12/31/13  7.25  .40  .16  .56  (.24)  (.24)  —  7.57  7.81  237,938  1.00  5.45  234f 
12/31/12  6.87  .35  .43  .78  (.40)  (.40)  —  7.25  11.69  314,873  1.02  4.99  170f 
12/31/11  7.84  .39  (.60)  (.21)  (.76)  (.76)  —g,h  6.87  (3.43)  301,565  1.01  5.30  155f 
12/31/10  8.10  .70  .23  .93  (1.19)  (1.19)  —  7.84  12.81  362,084  .99 i  9.13  115f 

 

* Not annualized.

† Unaudited.

a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

b The charges and expenses at the insurance company separate account level are not reflected.

c Total return assumes dividend reinvestment.

d Includes amounts paid through expense offset and/or brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.

e Portfolio turnover includes TBA purchase and sale commitments.

f Portfolio turnover excludes TBA purchase and sale commitments. Including TBA purchase and sale commitments to conform with current year presentation, the portfolio turnover would have been the following:

  Portfolio turnover % 
December 31, 2013  586% 
December 31, 2012  546 
December 31, 2011  416 
December 31, 2010  176 

 

g Amount represents less than $0.01 per share.

h Reflects a non-recurring reimbursement related to restitution amounts in connection with a distribution plan approved by the Securities and Exchange Commission (the SEC) which amounted to less than $0.01 per share outstanding on July 21, 2011. Also reflects a non-recurring reimbursement related to short-term trading related lawsuits, which amounted to less than $0.01 per share outstanding on May 11, 2011.

i Excludes the impact of a reduction to interest expense related to the resolution of certain terminated derivatives contracts, which amounted to 0.01% of average net assets for the period ended December 31, 2010.

The accompanying notes are an integral part of these financial statements.

38  Putnam VT Diversified Income Fund 

 


Notes to financial statements 6/30/15 (Unaudited)

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, 2015 through June 30, 2015.

Putnam VT Diversified Income Fund (the fund) is a diversified series of Putnam Variable Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek as high a level of current income as Putnam Management believes is consistent with preservation of capital. The fund invests mainly in bonds that are securitized debt instruments (such as mortgage-backed investments) and other obligations of companies and governments worldwide, are either investment-grade or below-investment-grade in quality (sometimes referred to as “junk bonds”) and have intermediate- to long-term maturities (three years or longer). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments.

The fund offers class IA and class IB shares of beneficial interest. Class IA shares are offered at net asset value and are not subject to a distribution fee. Class IB shares are offered at net asset value and pay an ongoing distribution fee, which is identified in Note 2.

In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.

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 decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.

Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.

Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. 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 820 Fair 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 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. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.

Many securities markets and exchanges outside the U.S. close prior to the 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 close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value 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. These 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. 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 restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.

Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income, net of any applicable withholding taxes, 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.

All premiums/discounts are amortized/accreted on a yield-to-maturity basis.

The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.

Putnam VT Diversified Income Fund  39 

 


Securities purchased or sold on a forward commitment or delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.

Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.

Foreign currency translation The 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 closed forward currency contracts, 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 open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

Options contracts The fund uses options contracts to hedge duration and convexity, to isolate prepayment risk 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 contracts The fund uses futures contracts for hedging treasury term structure risk and for yield curve positioning.

The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”

Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Forward currency contracts The 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 for hedging currency exposures 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 contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.

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 contracts The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a

40  Putnam VT Diversified Income Fund 

 


periodic payment, both based on a notional principal amount, to hedge sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.

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 counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC 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 is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

OTC total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.

In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.

OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.

The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.

TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.

Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.

TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral 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 posted to the fund which cannot be sold or repledged totaled $201,370 at the close of the reporting period.

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.

Putnam VT Diversified Income Fund  41 

 


At the close of the reporting period, the fund had a net liability position of $3,487,181 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,326,985 and may include amounts related to unsettled agreements.

Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.

Lines of credit The fund participates, along with other Putnam funds, in a $392.5 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 the Federal Funds rate plus 1.25% 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 0.11% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.

Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies.

The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

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.

At December 31, 2014, the fund had a capital loss carryover of $86,361,798 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:

Loss carryover 
Short-term  Long-term  Total  Expiration 
$21,159,573  $11,403,807  $32,563,380  * 
19,568,782  N/A  19,568,782  12/31/16 
34,229,636  N/A  34,229,636  12/31/17 

 

* Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

The aggregate identified cost on a tax basis is $401,765,598, resulting in gross unrealized appreciation and depreciation of $8,808,317 and $21,660,173, respectively, or net unrealized depreciation of $12,851,856.

Distributions to shareholders Distributions 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. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.

Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.

Beneficial interest At the close of the reporting period, insurance companies or their separate accounts were record owners of all but a de minimis number of the shares of the fund. Approximately 50.5% of the fund is owned by accounts of one insurance company.

Note 2 — Management fee, administrative services and other transactions

The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:

0.700%  of the first $5 billion, 
0.650%  of the next $5 billion, 
0.600%  of the next $10 billion, 
0.550%  of the next $10 billion, 
0.500%  of the next $50 billion, 
0.480%  of the next $50 billion, 
0.470%  of the next $100 billion and 
0.465%  of any excess thereafter. 

 

Putnam Management has contractually agreed, through April 30, 2017, to waive fees 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 not reduced 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. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets of the portion of the fund managed by PIL.

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% (0.10% prior to January 1, 2015) of the fund’s average daily net assets. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:

Class IA  $34,729 
Class IB  64,526 
Total  $99,255 

 

42  Putnam VT Diversified Income Fund 

 


The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were not reduced under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $163, 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. During the reporting period, the class specific expenses related to distribution fees were as follows:

Class IB  $228,561 

 

Note 3 — Purchases and sales of securities

During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:

  Cost of purchases  Proceeds from sales 
Investments in securities, including TBA     
commitments (Long-term)  $1,624,908,319  $1,592,961,275 
U.S. government securities (Long-term)  —  — 
Total  $1,624,908,319  $1,592,961,275 

 

Written option transactions during the reporting period are summarized as follows:

 

  Written swap option  Written swap  Written option  Written option 
  contract amounts  option premiums  contract amounts  premiums 
Written options outstanding at the beginning of         
the reporting period  $180,764,300  $3,165,717  $128,000,000  $655,469 
Options opened  1,805,826,345  9,570,457  234,000,000  1,517,578 
Options exercised  (76,292,150)  (645,819)  —  — 
Options expired  (300,546,575)  (1,477,721)  (128,000,000)  (655,469) 
Options closed  (836,788,295)  (5,873,333)  (120,000,000)  (920,859) 
Written options outstanding at the end of the         
reporting period  $772,963,625  $4,739,301  $114,000,000  $596,719 

 

Note 4 — Capital shares

At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Subscriptions and redemptions are presented at the omnibus level. Transactions in capital shares were as follows:

    Class IA shares      Class IB shares   
  Six months ended 6/30/15  Year ended 12/31/14  Six months ended 6/30/15  Year ended 12/31/14 
 
  Shares  Amount  Shares  Amount  Shares  Amount  Shares  Amount 
Shares sold  72,721  $488,517  176,758  $1,294,479  2,124,320  $14,020,409  3,800,480  $27,633,237 
Shares issued in connection with                 
reinvestment of distributions  1,471,473  9,358,571  1,340,493  9,571,123  2,607,012  16,632,738  2,486,475  17,778,297 
  1,544,194  9,847,088  1,517,251  10,865,602  4,731,332  30,653,147  6,286,955  45,411,534 
Shares repurchased  (1,274,582)  (8,519,585)  (2,908,159)  (21,157,431)  (3,393,654)  (22,790,059)  (10,680,744)  (77,436,161) 
Net increase (decrease)  269,612  $1,327,503  (1,390,908)  $(10,291,829)  1,337,678  $7,863,088  (4,393,789)  $(32,024,627) 

 

Note 5 — Affiliated transactions

Transactions during the reporting period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:

  Fair value at the beginning of        Fair value at the end of the 
Name of affiliate  the reporting period  Purchase cost  Sale proceeds  Investment income  reporting period 
Putnam Short Term Investment Fund*  $6,212,821  $87,890,650  $71,650,420  $5,347  $22,453,051 
Total  $6,212,821  $87,890,650  $71,650,420  $5,347  $22,453,051 

 

* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

 

Putnam VT Diversified Income Fund  43 

 


Note 6 — Senior loan commitments

Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

Note 7 — 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 8 — 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 as follows based on an average of the holdings at the end of each fiscal quarter:

Purchased TBA commitment option contracts (contract amount)  $47,000,000 
Purchased swap option contracts (contract amount)  $606,200,000 
Written TBA commitment option contracts (contract amount) (Note 3)  $85,100,000 
Written swap option contracts (contract amount) (Note 3)  $579,300,000 
Futures contracts (number of contracts)  500 
Forward currency contracts (contract amount)  $270,400,000 
OTC interest rate swap contracts (notional)  $90,800,000 
Centrally cleared interest rate swap contracts (notional)  $1,346,200,000 
OTC total return swap contracts (notional)  $147,800,000 
OTC credit default contracts (notional)  $22,300,000 

 

The following is a summary of the fair value of derivative instruments as of the close of the reporting period:

Fair value of derivative instruments as of the close of the reporting period

  Asset derivatives    Liability derivatives   
Derivatives not accounted         
for as hedging instruments  Statement of assets and    Statement of assets and   
under ASC 815  liabilities location  Fair value  liabilities location  Fair value 
Credit contracts  Receivables  $23,084  Payables  $319,206 
Foreign exchange contracts  Receivables  1,410,415  Payables  2,154,371 
Interest rate contracts  Investments, Receivables, Net assets —    Payables, Net assets —   
  Unrealized appreciation  7,016,650*  Unrealized depreciation  11,964,056* 
Total    $8,450,149    $14,437,633 

 

* 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 on the Statement of operations for the reporting period (see Note 1):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments

Derivatives not accounted for as hedging      Forward currency     
instruments under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $232,306  $232,306 
Foreign exchange contracts  —  —  4,966,581  —  $4,966,581 
Interest rate contracts  844,263  (3,122,986)  —  (1,485,612)  $(3,764,335) 
Total  $844,263  $(3,122,986)  $4,966,581  $(1,253,306)  $1,434,552 

 

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments

 

Derivatives not accounted for as hedging      Forward currency     
instruments under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $(311,335)  $(311,335) 
Foreign exchange contracts  —  —  (3,120,585)  —  $(3,120,585) 
Interest rate contracts  757,919  431,751  —  (2,051,559)  $(861,889) 
Total  $757,919  $431,751  $(3,120,585)  $(2,362,894)  $(4,293,809) 

 

44  Putnam VT Diversified Income Fund 

 


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Putnam VT Diversified Income Fund  45 

 


Note 9 — Offsetting of financial and derivative assets and liabilities

The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

  Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp. Total
Assets:                               
OTC Interest rate swap contracts*#  $—  $—  $—  $—  $—  $8,909  $13,191  $—  $163  $—  $—  $—  $—  $—  $22,263 
Centrally cleared interest rate                               
swap contracts§  —  —  540,526  —  —  —  —  —  —  —  —  —  —  —  540,526 
OTC Total return swap contracts*#  —  46,335  —  7,578  37,630  —  43,822  —  47,412  —  —  —  —  —  182,777 
OTC Credit default contracts*#  —  469  —  —  15,286  —  7,329  —  —  —  —  —  —  —  23,084 
Futures contracts§  —  —  —  —  —  —  —  —  —  20,729  —  —  —  —  20,729 
Forward currency contracts#  116,997  323,373  —  118,162  155,622  41,211  75,637  21,655  212,882  —  190,412  123,657  30,807  —  1,410,415 
Forward premium swap                               
option contracts #  25,660  —  —  —  —  —  —  —  488,341  —  —  —  —  —  514,001 
Purchased swap options** #  951,734  —  —  418,367  1,324,762  —  784,405  —  62,166  —  —  —  —  —  3,541,434 
Purchased options** #  —  —  —  —  —  —  —  —  323,854  —  —  —  —  —  323,854 
Total Assets  $1,094,391  $370,177  $540,526  $544,107  $1,533,300  $50,120  $924,384  $21,655  $1,134,818  $20,729  $190,412  $123,657  $30,807  $—  $6,579,083 
Liabilities:                               
OTC Interest rate swap contracts*#  $—  $—  $—  $—  $—  $802,361  $—  $—  $472,628  $—  $—  $—  $—  $—  $1,274,989 
Centrally cleared interest rate                               
swap contracts§  —  —  468,384  —  —  —  —  —  —  —  —  —  —  —  468,384 
OTC Total return swap contracts*#  —  50,264  —  —  3,102  3,102  87,455  —  58,640  —  —  —  —  —  202,563 
OTC Credit default contracts*#  6,175  2,074  —  —  224,420  —  86,537  —  —  —  —  —  —  —  319,206 
Futures contracts§  —  —  —  —  —  —  —  —  —  —  —  —  —  —  — 
Forward currency contracts#  102,072  144,402  —  157,342  194,018  239,271  187,299  166,640  181,961  —  171,683  133,227  268,547  207,909  2,154,371 
Forward premium swap                               
option contracts #  28,192  —  —  —  —  —  —  —  547,755  —  —  —  —  —  575,947 
Written swap options #  891,800  —  —  440,436  1,217,655  —  460,125  —  1,260,722  —  —  —  —  —  4,270,738 
Written options #  —  —  —  —  —  —  —  —  345,909  —  —  —  —  —  345,909 
Total Liabilities  $1,028,239  $196,740  $468,384  $597,778  $1,639,195  $1,044,734  $821,416  $166,640  $2,867,615  $—  $171,683  $133,227  $268,547  $207,909  $9,612,107 
Total Financial and Derivative                               
Net Assets  $66,152  $173,437  $72,142  $(53,671)  $(105,895)  $(994,614)  $102,968  $(144,985)  $(1,732,797)  $20,729  $18,729  $(9,570)  $(237,740)  $(207,909)  $(3,033,024) 
Total collateral received (pledged)† ##  $66,152  $137,583  $—  $(53,671)  $—  $(994,614)  $102,968  $(144,985)  $(1,732,797)  $—  $—  $—  $(215,000)  $—   
Net amount  $—  $35,854  $72,142  $—  $(105,895)  $—  $—  $—  $—  $20,729  $18,729  $(9,570)  $(22,740)  $(207,909)   

 

* 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.

46  Putnam VT Diversified Income Fund  Putnam VT Diversified Income Fund  47 

 


Trustee approval of management contract

General conclusions

The Board of Trustees of The Putnam Funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of The Putnam Funds (“Independent Trustees”).

At the outset of the review process, members of the Board’s independent staff and independent legal counsel met with representatives of Putnam Management to review the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and to discuss possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2015, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided, as well as supplemental information provided in response to additional requests made by the Contract Committee. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.

In May 2015, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 19, 2015 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee then recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2015. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not attempted to evaluate PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)

The Independent Trustees’ approval was based on the following conclusions:

• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, the costs incurred by Putnam Management in providing services to the fund, and the continued application of certain reductions and waivers noted below; and

• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.

These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with some minor exceptions, the funds’ current fee arrangements were implemented at the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders.

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to shareholders.

In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment style, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund.

Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with economies of scale in the form of reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders and Putnam Management.

As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to support the effort to have fund expenses meet competitive standards, the Trustees and Putnam Management have implemented certain expense limitations. These expense limitations were: (i) a contractual expense limitation applicable to all retail open-end funds of 32 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to your fund and all but two of the other open-end funds of 20 basis points on so-called “other expenses” (i.e., all expenses

48  Putnam VT Diversified Income Fund 

 


exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for funds with large numbers of small shareholder accounts and funds with relatively small net assets. Most funds, including your fund, had sufficiently low expenses that these expense limitations were not operative. Putnam Management’s support for these expense limitation arrangements was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-management contracts.

The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Lipper Inc. (“Lipper”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the first quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the third quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2014 (the first quintile representing the least expensive funds and the fifth quintile the most expensive funds). The fee and expense data reported by Lipper as of December 31, 2014 reflected the most recent fiscal year-end data available in Lipper’s database at that time.

In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing of such economies of scale as may exist in the management of the Putnam funds at that time.

The information examined by the Trustees as part of their annual contract review for the Putnam funds has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, and the like. This information included comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these different types of clients. The Trustees observed that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are

higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its institutional clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officer and other senior members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.

The Trustees considered that 2014 was a year of strong competitive performance for many of the Putnam funds, with generally strong results for the U.S. equity, money market and global asset allocation funds, but relatively mixed results for the international and global equity and fixed income funds. They noted that the longer-term performance of the Putnam funds continued to be strong, exemplified by the fact that the Putnam funds were recognized by Barron’s as the sixth-best performing mutual fund complex for the five-year period ended December 31, 2014. They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2014 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional actions to address areas of underperformance are warranted.

For purposes of evaluating investment performance, the Trustees generally focus on competitive industry rankings for the one-year, three-year and five-year periods. For a number of Putnam funds with relatively unique investment mandates for which meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on comparisons of fund returns with the returns of selected investment benchmarks. In the case of your fund, the Trustees considered that its class IA share cumulative total return performance at net asset value was in the following quartiles of its Lipper peer group (Lipper VP (Underlying Funds) — General Bond Funds) for the one-year, three-year and five-year periods ended December 31, 2014 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds):

One-year period  Three-year period  Five-year period 
4th  1st  3rd 

 

Putnam VT Diversified Income Fund  49 

 


For the three-year period ended December 31, 2014, your fund’s performance was in the top decile of its Lipper peer group. Over the one-year, three-year and five-year periods ended December 31, 2014, there were 58, 41 and 37 funds, respectively, in your fund’s Lipper peer group. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)

The Trustees expressed concern about your fund’s fourth quartile performance over the one-year period ended December 31, 2014 and considered the circumstances that may have contributed to this disappointing performance. The Trustees considered Putnam Management’s view that the fund’s underperformance over the one-year period was due in significant part to the fund’s positioning to take advantage of flat or rising interest rates in the United States at a time when interest rates at the long end of the yield curve declined, as well as the fund’s exposure to Greek bonds, which declined during the period as concerns about the country’s political stability resurfaced.

The Trustees observed that, although the fund had not performed well in 2014, the fund ranked in the top decile for the three-year period ended December 31, 2014 and that Putnam Management remained confident in the portfolio manager and his investment process. The Trustees also considered Putnam Management’s continued efforts to support fund performance through initiatives including structuring compensation for portfolio managers and research analysts to enhance accountability for fund performance, emphasizing accountability in the portfolio management process, and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management continued to strengthen its fundamental research capabilities by adding new investment personnel.

As a general matter, the Trustees believe that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance issues that may arise from time to time. The Trustees noted that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds’ Trustees, to make appropriate decisions regarding the management of the funds. Based on past responsiveness of Putnam Management to Trustee concerns about investment performance, the Trustees concluded that it is preferable to seek change within Putnam Management to address performance shortcomings. In the Trustees’ view, the alternative of engaging a new investment adviser for an underperforming fund would entail significant disruptions and would not likely provide any greater assurance of improved investment performance.

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used primarily to acquire brokerage and research services that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft dollars continues to be used to pay fund expenses. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services.

50  Putnam VT Diversified Income Fund 

 


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52  Putnam VT Diversified Income 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, 2015, are available in the Individual Investors section of putnam.com and on the SEC’s website, 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

Each Putnam VT 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-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.

Fund information

Investment Manager  Investor Servicing Agent  Trustees 
Putnam Investment Management, LLC  Putnam Investor Services, Inc.  Jameson A. Baxter, Chair 
One Post Office Square  Mailing address:  Liaquat Ahamed 
Boston, MA 02109  P.O. Box 8383  Ravi Akhoury 
  Boston, MA 02266-8383  Barbara M. Baumann 
Investment Sub-Manager  1-800-225-1581  Robert J. Darretta 
Putnam Investments Limited    Katinka Domotorffy 
57–59 St James’s Street  Custodian  John A. Hill 
London, England SW1A 1LD  State Street Bank and Trust Company  Paul L. Joskow 
    Kenneth R. Leibler 
Marketing Services  Legal Counsel  Robert E. Patterson 
Putnam Retail Management  Ropes & Gray LLP  George Putnam, III 
One Post Office Square    Robert L. Reynolds 
Boston, MA 02109    W. Thomas Stephens 

 

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.

 

Putnam VT Diversified Income Fund  53 

 


 
This report has been prepared for the shareholders  H502 
of Putnam VT Diversified Income Fund.  VTSA028 295643   8/15 

 

Item 2. Code of Ethics:
Not applicable
Item 3. Audit Committee Financial Expert:
Not applicable
Item 4. Principal Accountant Fees and Services:
Not applicable
Item 5. Audit Committee of Listed Registrants
Not applicable
Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:

Not applicable
Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:

Not applicable
Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable
Item 11. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 12. Exhibits:
(a)(1) Not applicable
(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

Putnam Variable Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer

Date: August 28, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer

Date: August 28, 2015
By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer

Date: August 28, 2015