0000869392-21-002349.txt : 20211123 0000869392-21-002349.hdr.sgml : 20211123 20211123144343 ACCESSION NUMBER: 0000869392-21-002349 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20210930 FILED AS OF DATE: 20211123 PERIOD START: 20210930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM MORTGAGE SECURITIES FUND CENTRAL INDEX KEY: 0000732337 IRS NUMBER: 042811119 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-03897 FILM NUMBER: 211437491 BUSINESS ADDRESS: STREET 1: 100 FEDERAL STREET CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 6172921000 MAIL ADDRESS: STREET 1: 100 FEDERAL STREET CITY: BOSTON STATE: MA ZIP: 02110 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM U S GOVERNMENT INCOME TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM U S GOVERNMENT GUARANTEED SECURITIES INCOME TRUST DATE OF NAME CHANGE: 19910102 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM UNITED STATES GOVERNMENT SECURITIES INCOME FUND DATE OF NAME CHANGE: 19840806 0000732337 S000006570 PUTNAM MORTGAGE SECURITIES FUND C000017922 Class A Shares PGSIX C000017923 Class B Shares PGSBX C000017924 Class C Shares PGVCX C000017926 Class R Shares PGVRX C000017927 Class Y Shares PUSYX C000200295 Class R6 Shares NPORT-P 1 primary_doc.xml NPORT-P false 0000732337 XXXXXXXX S000006570 C000200295 C000017927 C000017926 C000017922 C000017923 C000017924 Putnam Mortgage Securities Fund 811-03897 0000732337 V36NQTUWG8SKLKSHZZ27 100 FEDERAL STREET BOSTON 02110 1-800-225-1581 Putnam Mortgage Securities Fund S000006570 V36NQTUWG8SKLKSHZZ27 2021-09-30 2021-09-30 N 1263737415.04 559290860.45 704446554.55 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1356157.2 USD N COUNTRYWIDE ASSET-BACKED CERTIFICATES N/A 23246BAE1 5266394.84 PA USD 5081612.84 0.721362437956 Long ABS-MBS CORP US N 2 2047-06-25 Floating .266 N N N N N N CARRINGTON MORTGAGE LOAN TRUST 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3140JXZG6 50744.85 PA USD 56171.2 0.007973805768 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3140JKL87 33443.27 PA USD 36988.14 0.005250666606 Long ABS-MBS USGSE US N 2 2049-01-01 Fixed 5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138Y7CJ9 1061039.6 PA USD 1155336.52 0.164006270247 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138Y7CV2 271605.35 PA USD 295573.76 0.041958294507 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138Y7C34 1083378.64 PA USD 1178983.77 0.167363125334 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.5 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 3138YGXW7 17310.24 PA USD 19028.2 0.002701155947 Long ABS-MBS USGSE US N 2 2045-04-01 Fixed 4 N N N N N N FANNIE MAE POOL B1V7KEBTPIMZEU4LTD58 31416LGA8 53331.42 PA USD 59131.21 0.008393995203 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 4.5 N N N N N N FANNIE MAE 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0.647030615816 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 6.014 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B2RW4 6169535.21 PA USD 1293381.36 0.18360248221 Long ABS-MBS USGSE US N 2 2048-07-25 Floating 6.164 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136B2KV3 7715377.81 PA USD 1043122.94 0.148076945407 Long ABS-MBS USGSE US N 2 2038-07-25 Fixed 5.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136ARGB8 4839288.66 PA USD 868410.35 0.123275547931 Long ABS-MBS USGSE US N 2 2046-02-25 Fixed 5.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AQKF6 1920964.22 PA USD 228625.71 0.03245465657 Long ABS-MBS USGSE US N 2 2043-10-25 Fixed 4 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AYCL5 5555068.45 PA USD 821221.88 0.116576889289 Long ABS-MBS USGSE US N 2 2047-09-25 Fixed 4.5 N N N N N N FANNIE MAE REMICS B1V7KEBTPIMZEU4LTD58 3136AT5N0 17323594.46 PA USD 3366109.53 0.477837460948 Long ABS-MBS USGSE US N 2 2046-11-25 Floating 6.064 N N N N N N 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PT3QB789TSUIDF371261 N/A 14355800 NC USD 178011.92 0.025269755221 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Put Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2033-02-03 0 USD 0 USD 14355800 USD 1 1.5 USD 2023-02-01 XXXX 178011.92 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2871200 NC USD -101525.63 -0.014412112508 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased UBS AG BFM8T61CT2L1QCEMIK50 2053-02-03 0 USD 0 USD 2871200 USD 1 1.715 USD 2023-02-01 XXXX -101525.63 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2871200 NC USD 33593.04 0.004768713791 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 2053-02-03 0 USD 0 USD 2871200 USD 1 1.715 USD 2023-02-01 XXXX 33593.04 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 20098200 NC USD 207815.39 0.029500519047 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Put Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2029-02-06 0 USD 0 USD 20098200 USD 1 1.405 USD 2024-02-02 XXXX 207815.39 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 5742300 NC USD -26357.16 -0.003741541474 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Call Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2036-02-04 0 USD 0 USD 5742300 USD 1 1.937 USD 2026-02-02 XXXX -26357.16 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 5742300 NC USD 40081.25 0.005689750307 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Put Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2036-02-04 0 USD 0 USD 5742300 USD 1 1.937 USD 2026-02-02 XXXX 40081.25 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 20098200 NC USD -146515.88 -0.020798721926 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Call Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2029-02-06 0 USD 0 USD 20098200 USD 1 1.405 USD 2024-02-02 XXXX -146515.88 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 10707100 NC USD -31907.16 -0.004529394004 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2041-02-05 0 USD 0 USD 10707100 USD 1 2.031 USD 2031-02-03 XXXX -31907.16 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 10707100 NC USD 55569.85 0.007888440882 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2041-02-05 0 USD 0 USD 10707100 USD 1 2.031 USD 2031-02-03 XXXX 55569.85 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 14355800 NC USD 154899.08 0.021988762526 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Put Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2029-02-06 0 USD 0 USD 14355800 USD 1 1.3875 USD 2024-02-02 XXXX 154899.08 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 14355800 NC USD -110252.54 -0.015650944602 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Call Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2029-02-06 0 USD 0 USD 14355800 USD 1 1.3875 USD 2024-02-02 XXXX -110252.54 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 8493000 NC USD 45692.34 0.006486274893 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Call Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2035-02-21 0 USD 0 USD 8493000 USD 1 2.16 USD 2025-02-19 XXXX 45692.34 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 N/A 8493000 NC USD -59790.72 -0.008487616216 N/A DIR CORP US N 2 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 Put Purchased WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 2035-02-21 0 USD 0 USD 8493000 USD 1 2.16 USD 2025-02-19 XXXX -59790.72 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2480200 NC USD 54837.22 0.007784440089 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Put Written TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2056-03-02 0 USD 0 USD 2480200 USD 1 2.095 USD 2026-02-26 XXXX 54837.22 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2480200 NC USD -13641.1 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BANK/THE PT3QB789TSUIDF371261 2041-03-05 0 USD 0 USD 2820300 USD 1 2.405 USD 2031-03-03 XXXX -27356.91 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2820300 NC USD 34435.86 0.004888356651 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Call Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2041-03-05 0 USD 0 USD 2820300 USD 1 2.405 USD 2031-03-03 XXXX 34435.86 N N N BANK OF AMERICA N.A. 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B4TYDEB6GKMZO031MB27 N/A 232589600 NC USD 32562.54 0.004622428741 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2023-05-11 0 USD 0 USD 232589600 USD 1 .805 USD 2022-05-09 XXXX 32562.54 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 11629500 NC USD 137111.8 0.019463761887 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2032-05-11 0 USD 0 USD 11629500 USD 1 1.7875 USD 2022-05-09 XXXX 137111.8 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 23259000 NC USD -180955.02 -0.025687544191 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2032-05-11 0 USD 0 USD 23259000 USD 1 2.2875 USD 2022-05-09 XXXX -180955.02 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 6879800 NC USD -87098.27 -0.012364070693 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. 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INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2049-11-15 0 USD 0 USD 4579000 USD 1 2.505 USD 2024-11-13 XXXX 214114.04 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 4579000 NC USD -442468.77 -0.062810835988 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2049-11-15 0 USD 0 USD 4579000 USD 1 2.505 USD 2024-11-13 XXXX -442468.77 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 219200 NC USD 46108.72 0.006545382287 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2053-10-19 0 USD 0 USD 219200 USD 1 3.27 USD 2023-10-17 XXXX 46108.72 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 219200 NC USD -21672.3 -0.003076500248 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2053-10-19 0 USD 0 USD 219200 USD 1 3.27 USD 2023-10-17 XXXX -21672.3 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 18291600 NC USD 1902143.48 0.270019559002 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2036-02-19 0 USD 935920.2 USD 18291600 USD 1 2.97 USD 2026-02-17 XXXX -966223.28 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 18291600 NC USD 448692.95 0.063694392016 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2036-02-19 0 USD 935920.2 USD 18291600 USD 1 2.97 USD 2026-02-17 XXXX 487227.25 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 18291600 NC USD 436803.41 0.062006607482 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. 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B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2038-11-29 -8243729.68 USD 0 USD 73288200 USD 1 3.312 USD 2028-11-27 XXXX 988384.87 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 21626000 NC USD 5366059.38 0.761741163377 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2059-04-26 0 USD 4586634.31 USD 21626000 USD 1 2.7875 USD 2029-04-24 XXXX -779425.07 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 21626000 NC USD 1428181.04 0.202738026153 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY AND CO. 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Smith NPORT Principal Financial Officer XXXX