N-Q 1 a_vtcapitalopps.htm PUTNAM VARIABLE TRUST a_vtcapitalopps.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



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, 2018
Date of reporting period: March 31, 2018



Item 1. Schedule of Investments:













Putnam VT Capital Opportunities Fund

The fund's portfolio
3/31/18 (Unaudited)
COMMON STOCKS (97.7%)(a)
Shares Value
Aerospace and defense (1.4%)
L3 Technologies, Inc. 1,880 $391,040
391,040
Banks (6.9%)
East West Bancorp, Inc. 5,935 371,175
First Republic Bank 2,177 201,612
Old National Bancorp 9,855 166,550
PacWest Bancorp 2,778 137,594
Peoples Bancorp, Inc. 9,803 347,516
Popular, Inc. (Puerto Rico) 3,698 153,911
Texas Capital Bancshares, Inc.(NON) 1,765 158,674
Umpqua Holdings Corp. 15,365 328,965
1,865,997
Beverages (0.9%)
Craft Brew Alliance, Inc.(NON) 10,555 196,323
Dr. Pepper Snapple Group, Inc. 485 57,414
253,737
Biotechnology (4.5%)
Alexion Pharmaceuticals, Inc.(NON) 1,555 173,320
Array BioPharma, Inc.(NON) 5,158 84,179
Atara Biotherapeutics, Inc.(NON)(S) 4,925 192,075
Bluebird Bio, Inc.(NON) 355 60,616
Clovis Oncology, Inc.(NON) 5,859 309,355
Mirati Therapeutics, Inc.(NON) 11,266 345,866
TG Therapeutics, Inc.(NON)(S) 4,665 66,243
1,231,654
Building products (3.7%)
AO Smith Corp. 4,570 290,606
JELD-WEN Holding, Inc.(NON) 9,499 290,859
Owens Corning 5,370 431,748
1,013,213
Capital markets (5.4%)
E*Trade Financial Corp.(NON) 4,265 236,324
Evercore, Inc. Class A 1,360 118,592
Hamilton Lane, Inc. Class A 10,805 402,270
Investment Technology Group, Inc. 20,419 403,071
PJT Partners, Inc. Class A 2,835 142,034
St. James's Place PLC (United Kingdom) 10,890 166,253
1,468,544
Chemicals (3.3%)
Orion Engineered Carbons SA (Luxembourg) 20,741 562,081
W.R. Grace & Co. 5,250 321,458
883,539
Construction and engineering (0.7%)
Valmont Industries, Inc. 1,370 200,431
200,431
Construction materials (3.0%)
Summit Materials, Inc. Class A 26,485 801,959
801,959
Containers and packaging (4.0%)
Ball Corp. 9,620 382,010
Graphic Packaging Holding Co. 21,160 324,806
RPC Group PLC (United Kingdom) 34,517 375,552
1,082,368
Diversified consumer services (1.4%)
Service Corp. International(S) 10,163 383,552
383,552
Electric utilities (1.9%)
ALLETE, Inc. 2,135 154,254
Hawaiian Electric Industries, Inc. 3,060 105,203
IDACORP, Inc. 1,185 104,600
OGE Energy Corp. 4,950 162,212
526,269
Electronic equipment, instruments, and components (0.8%)
ePlus, Inc.(NON) 2,685 208,625
208,625
Energy equipment and services (0.9%)
Oceaneering International, Inc. 1,877 34,800
Oil States International, Inc.(NON) 1,695 44,409
Select Energy Services, Inc. Class A(NON)(S) 8,036 101,414
Superior Energy Services, Inc.(NON) 5,245 44,215
US Silica Holdings, Inc. 785 20,033
244,871
Equity real estate investment trusts (REITs) (5.9%)
Easterly Government Properties, Inc. 22,394 456,838
Gaming and Leisure Properties, Inc. 13,113 438,892
SBA Communications Corp.(NON) 2,345 400,807
WP Carey, Inc. 4,905 304,061
1,600,598
Food products (1.3%)
Sanderson Farms, Inc. 1,188 141,396
Simply Good Foods Co. (The)(NON) 14,745 202,449
343,845
Gas utilities (0.8%)
ONE Gas, Inc. 3,158 208,491
208,491
Health-care equipment and supplies (1.1%)
GenMark Diagnostics, Inc.(NON) 16,936 92,132
Penumbra, Inc.(NON) 1,865 215,687
307,819
Health-care providers and services (1.0%)
Diplomat Pharmacy, Inc.(NON)(S) 8,370 168,656
WellCare Health Plans, Inc.(NON) 495 95,847
264,503
Hotels, restaurants, and leisure (1.7%)
Dave & Buster's Entertainment, Inc.(NON) 6,095 254,405
Wyndham Worldwide Corp. 1,820 208,263
462,668
Independent power and renewable electricity producers (0.7%)
NRG Energy, Inc. 6,135 187,302
187,302
Insurance (1.9%)
Assured Guaranty, Ltd. 6,510 235,662
Employers Holdings, Inc. 6,807 275,343
511,005
Internet software and services (9.0%)
Bandwidth, Inc. Class A(NON) 4,502 147,035
GoDaddy, Inc. Class A(NON) 9,930 609,901
GTT Communications, Inc.(NON) 6,175 350,123
Instructure, Inc.(NON) 13,327 561,733
LogMeIn, Inc. 4,610 532,686
Rightmove PLC (United Kingdom) 4,003 244,337
SendGrid, Inc.(NON) 263 7,401
2,453,216
IT Services (2.3%)
DXC Technology Co. 6,075 610,720
610,720
Leisure products (2.9%)
Brunswick Corp. 6,915 410,682
Callaway Golf Co. 3,945 64,540
Malibu Boats, Inc. Class A(NON) 9,538 316,757
791,979
Life sciences tools and services (0.7%)
Bio-Rad Laboratories, Inc. Class A(NON) 725 181,308
181,308
Machinery (4.7%)
John Bean Technologies Corp. (JBT) 4,755 539,217
Oshkosh Corp. 6,110 472,120
Proto Labs, Inc.(NON) 2,115 248,618
1,259,955
Media (4.2%)
Discovery Communications, Inc. Class A(NON)(S) 7,295 156,332
Discovery Communications, Inc. Class C(NON) 12,085 235,899
Liberty Media Corp.-Liberty Formula One Class C(NON) 6,715 207,158
Liberty Media Corp.-Liberty SiriusXM Class C(NON) 7,995 326,596
Live Nation Entertainment, Inc.(NON) 4,763 200,713
1,126,698
Metals and mining (1.1%)
Alcoa Corp.(NON) 6,680 300,333
300,333
Oil, gas, and consumable fuels (3.1%)
Encana Corp. (Canada) 12,180 133,980
HollyFrontier Corp. 1,050 51,303
NuVista Energy, Ltd. (Canada)(NON) 17,010 93,213
Parsley Energy, Inc. Class A(NON) 5,530 160,315
Seven Generations Energy, Ltd. Class A (Canada)(NON) 21,483 266,797
Targa Resources Corp. 440 19,360
WPX Energy, Inc.(NON) 8,225 121,566
846,534
Personal products (0.4%)
Edgewell Personal Care Co.(NON)(S) 1,987 97,005
97,005
Pharmaceuticals (3.9%)
Cymabay Therapeutics, Inc.(NON) 8,185 106,323
Jazz Pharmaceuticals PLC(NON) 2,192 330,970
Medicines Co. (The)(NON) 11,460 377,492
Nektar Therapeutics(NON) 1,350 143,451
Pacira Pharmaceuticals, Inc.(NON) 2,795 87,064
1,045,300
Semiconductors and semiconductor equipment (1.9%)
Brooks Automation, Inc. 8,090 219,077
Cavium, Inc.(NON) 3,778 299,898
518,975
Software (5.2%)
Ellie Mae, Inc.(NON)(S) 3,615 332,363
Everbridge, Inc.(NON) 17,405 637,023
QAD, Inc. Class A 10,030 417,750
SailPoint Technologies Holding, Inc.(NON) 420 8,690
1,395,826
Specialty retail (3.1%)
At Home Group, Inc.(NON)(S) 5,767 184,775
Burlington Stores, Inc.(NON) 3,733 497,049
Party City Holdco, Inc.(NON) 10,555 164,658
846,482
Thrifts and mortgage finance (2.0%)
Radian Group, Inc. 28,031 533,710
533,710
Total common stocks (cost $23,657,899) $26,450,071

SHORT-TERM INVESTMENTS (8.0%)(a)
Principal amount/shares Value
Putnam Cash Collateral Pool, LLC 1.89%(AFF) Shares 1,406,555 $1,406,555
Putnam Short Term Investment Fund 1.82%(AFF) Shares 735,210 735,210
U.S. Treasury Bills 1.677%, 4/19/18(SEG) $23,000 22,982
U.S. Treasury Bills 1.450%, 5/24/18(SEG) 2,000 1,995
U.S. Treasury Bills 1.425%, 4/26/18(SEG) 6,000 5,994
Total short-term investments (cost $2,172,736) $2,172,736

TOTAL INVESTMENTS
Total investments (cost $25,830,635) $28,622,807













FUTURES CONTRACTS OUTSTANDING at 3/31/18 (Unaudited)


Number of contracts Notional amount Value Expiration date Unrealized appreciation/
(depreciation)
Russell 2000 Index E-Mini (Long) 2 $152,943 $153,120 Jun-18 $1,644
Unrealized appreciation 1,644
Unrealized (depreciation) —
Total $1,644












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, 2018 through March 31, 2018 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $27,083,200.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:

Name of affiliate Fair value as of 12/31/17 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 3/31/18
Short-term investments
Putnam Cash Collateral Pool, LLC*# $2,124,535 $3,606,623 $4,324,603 $7,459 $1,406,555
Putnam Short Term Investment Fund** 772,097 2,065,616 2,102,503 1,891 735,210
Total Short-term investments $2,896,632 $5,672,239 $6,427,106 $9,350 $2,141,765
* No management fees are charged to Putnam Cash Collateral Pool, LLC. There were no realized or unrealized gains or losses during the period.
# The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund's agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund received cash collateral of $1,406,555, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $1,387,128.
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $30,966.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
The dates shown on debt obligations are the original maturity dates.

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 ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale 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. 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.
Futures contracts: The fund used futures contracts to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. 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".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Consumer discretionary $3,611,379 $— $—
    Consumer staples 694,587 — —
    Energy 1,091,405 — —
    Financials 4,213,003 166,253 —
    Health care 3,030,584 — —
    Industrials 2,864,639 — —
    Information technology 4,943,025 244,337 —
    Materials 2,692,647 375,552 —
    Real estate 1,600,598 — —
    Utilities 922,062 — —
Total common stocks 25,663,929 786,142 —
Short-term investments 735,210 1,437,526 —
Totals by level $26,399,139 $2,223,668 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $1,644 $— $—
Totals by level $1,644 $— $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.

During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Equity contracts $1,644 $—
Total $1,644 $—
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Futures contracts (number of contracts)2

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



Item 2. 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 3. Exhibits:
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.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Variable Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: May 29, 2018

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: May 29, 2018

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: May 29, 2018