0000869392-22-002591.txt : 20221128 0000869392-22-002591.hdr.sgml : 20221128 20221128152019 ACCESSION NUMBER: 0000869392-22-002591 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20220930 FILED AS OF DATE: 20221128 DATE AS OF CHANGE: 20221128 PERIOD START: 20220930 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: 221424899 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 C000017924 C000017922 C000017923 C000017926 C000017927 Putnam Mortgage Securities Fund 811-03897 0000732337 V36NQTUWG8SKLKSHZZ27 100 FEDERAL STREET BOSTON 02110 1-800-225-1581 Putnam Mortgage Securities Fund S000006570 V36NQTUWG8SKLKSHZZ27 2022-09-30 2022-09-30 N 1318506227.94 834652869.94 483853357.6 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 0 USD N CWABS ASSET-BACKED CERTIFICATES TRUST 2007-10 N/A 23246BAE1 4250847.89 PA USD 3965346.49 0.819534767655 Long ABS-MBS CORP US N 2 2047-06-25 Floating 3.264 N N N N N N CARRINGTON 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INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Y 2063-05-11 0 USD 67200 USD 121564.12 USD 18531.37 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 100000000 NC USD 100 0.000020667419 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased FNMA FN30 TBA UMBS 04.5000 10/01/2052 FNMA TBA 1 99.59375 USD 2022-10-06 XXXX -624900 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 195000000 NC USD 7189260 1.485834475896 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written FNMA FN30 TBA UMBS 05.0000 10/01/2052 FNMA TBA 1 101 USD 2022-10-06 XXXX -6092385 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 195000000 NC USD 195 0.000040301467 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased FNMA FN30 TBA UMBS 05.0000 10/01/2052 FNMA TBA 1 101 USD 2022-10-06 XXXX -1096680 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 100000000 NC USD 4436700 0.916951371797 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written FNMA FN30 TBA UMBS 04.5000 10/01/2052 FNMA TBA 1 99.59375 USD 2022-10-06 XXXX -3811700 N N N State Street Institutional U.S. Government Money Market Fund, Premier Class N/A N/A 5700000 NS USD 5700000 1.178042874038 Long STIV RF US N 1 N N N PUTNAM INVESTMENT FUNDS-PUTNAM GOVERNMENT MONEY MARKET FUND 549300SEUI2XMME8T893 74680A869 10000 NS USD 10000 0.002066741884 Long STIV PF US N 1 N N N PUTNAM SHORT TERM INVESTMENT FUND 5493003MK0Q7JP8CPP42 74676P664 8479918 NS USD 8479918 1.752580170583 Long STIV PF US N 2 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 48722600 NC USD -878468.48 -0.181556760163 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2037-08-26 0 USD 0 USD 48722600 USD 1 2.94 USD 2027-08-24 XXXX -878468.48 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 47846000 NC USD 1129644.06 0.233468269313 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2032-11-14 0 USD 0 USD 47846000 USD 1 3.102 USD 2022-11-09 XXXX 1129644.06 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 47846000 NC USD 355495.78 0.073471801821 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Written CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2032-11-14 0 USD 0 USD 47846000 USD 1 2.842 USD 2022-11-09 XXXX 355495.78 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 47846000 NC USD -766492.92 -0.158414302177 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Written CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2032-11-14 0 USD 0 USD 47846000 USD 1 3.362 USD 2022-11-09 XXXX -766492.92 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2820300 NC USD 136248.69 0.028159087430 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Put Purchased TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2041-03-05 0 USD 0 USD 2820300 USD 1 2.405 USD 2031-03-03 XXXX 136248.69 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2820300 NC USD -53754.92 -0.011109754465 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 -53754.92 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 28930400 NC USD 339064.29 0.070075836961 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2034-03-20 0 USD 0 USD 28930400 USD 1 1.29 USD 2024-03-18 XXXX 339064.29 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 20251300 NC USD -724794.03 -0.149796217927 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2034-03-20 0 USD 0 USD 20251300 USD 1 2.29 USD 2024-03-18 XXXX -724794.03 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 8587600 NC USD 96610.5 0.019966896681 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2051-03-28 0 USD 0 USD 8587600 USD 1 2.285 USD 2041-03-26 XXXX 96610.5 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 8587600 NC USD 5753.69 0.001189139211 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2051-03-28 0 USD 0 USD 8587600 USD 1 2.285 USD 2041-03-26 XXXX 5753.69 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 57860800 NC USD -2047693.71 -0.423205435663 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2034-05-01 0 USD 0 USD 57860800 USD 1 2.17 USD 2024-04-29 XXXX -2047693.71 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 115721600 NC USD 1198875.78 0.247776678857 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2034-05-01 0 USD 0 USD 115721600 USD 1 1.085 USD 2024-04-29 XXXX 1198875.78 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 6879800 NC USD 306976.68 0.063444156205 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2041-06-05 0 USD 0 USD 6879800 USD 1 2.427 USD 2031-06-03 XXXX 306976.68 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 6879800 NC USD -139315.95 -0.028793010901 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2041-06-05 0 USD 0 USD 6879800 USD 1 2.427 USD 2031-06-03 XXXX -139315.95 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 12539500 NC USD -414430.48 -0.085652083114 N/A DIR CORP US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2051-06-11 0 USD 0 USD 12539500 USD 1 2.232 USD 2031-06-09 XXXX -414430.48 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 12539500 NC USD 703716.74 0.145440086122 N/A DIR CORP US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2051-06-11 0 USD 0 USD 12539500 USD 1 2.232 USD 2031-06-09 XXXX 703716.74 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 71961800 NC USD -3640547.46 -0.752407191728 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Written CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2025-06-26 0 USD 0 USD 71961800 USD 1 1.194 USD 2023-06-22 XXXX -3640547.46 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 71961800 NC USD 516685.72 0.106785601853 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Written CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2025-06-26 0 USD 0 USD 71961800 USD 1 1.194 USD 2023-06-22 XXXX 516685.72 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 71961800 NC USD -436088.51 -0.090128238887 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2028-06-24 0 USD 0 USD 71961800 USD 1 1.9 USD 2026-06-22 XXXX -436088.51 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 71961800 NC USD 1705494.66 0.352481724723 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2028-06-24 0 USD 0 USD 71961800 USD 1 1.9 USD 2026-06-22 XXXX 1705494.66 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 25975700 NC USD -3090329.03 -0.638691244250 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2033-08-23 0 USD 0 USD 25975700 USD 1 2.07 USD 2023-08-21 XXXX -3090329.03 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 23512000 NC USD -2353316.08 -0.486369690948 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2033-09-01 0 USD 0 USD 23512000 USD 1 2.41 USD 2023-08-30 XXXX -2353316.08 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 64497800 NC USD -6010549.98 -1.242225539121 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2033-10-10 0 USD 0 USD 64497800 USD 1 2.415 USD 2023-10-05 XXXX -6010549.98 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 20805700 NC USD 2344802.39 0.484610130977 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2054-10-09 0 USD 0 USD 20805700 USD 1 2.485 USD 2024-10-07 XXXX 2344802.39 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 176037200 NC USD -1286831.93 -0.265954944776 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2026-12-11 0 USD 0 USD 176037200 USD 1 1.39 USD 2024-12-09 XXXX -1286831.93 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 176037200 NC USD 5333927.16 1.102385066925 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2026-12-11 0 USD 0 USD 176037200 USD 1 1.39 USD 2024-12-09 XXXX 5333927.16 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 86001300 NC USD 4566669.03 0.943812615593 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2031-12-16 0 USD 0 USD 86001300 USD 1 1.752 USD 2026-12-14 XXXX 4566669.03 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 86001300 NC USD -1474922.3 -0.304828369346 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2031-12-16 0 USD 0 USD 86001300 USD 1 1.752 USD 2026-12-14 XXXX -1474922.3 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 2526100 NC USD 304698.18 0.062973249067 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2058-12-18 0 USD 0 USD 2526100 USD 1 1.405 USD 2028-12-14 XXXX 304698.18 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 2526100 NC USD -183445.38 -0.037913425032 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2058-12-18 0 USD 0 USD 2526100 USD 1 1.405 USD 2028-12-14 XXXX -183445.38 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 27464600 NC USD -1757185.11 -0.363164806526 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2029-01-16 0 USD 0 USD 27464600 USD 1 1.7 USD 2024-01-11 XXXX -1757185.11 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 27464600 NC USD 446025.1 0.092181875561 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2029-01-16 0 USD 0 USD 27464600 USD 1 1.7 USD 2024-01-11 XXXX 446025.1 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 4234200 NC USD 125671.06 0.025972964334 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2037-01-14 0 USD 0 USD 4234200 USD 1 1.81 USD 2027-01-12 XXXX 125671.06 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 4234200 NC USD -326075.74 -0.067391438930 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2037-01-14 0 USD 0 USD 4234200 USD 1 1.81 USD 2027-01-12 XXXX -326075.74 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 17079100 NC USD -428002.25 -0.088457017664 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2042-01-15 0 USD 0 USD 17079100 USD 1 1.826 USD 2032-01-13 XXXX -428002.25 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 17079100 NC USD 965310.73 0.199504811703 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2042-01-15 0 USD 0 USD 17079100 USD 1 1.826 USD 2032-01-13 XXXX 965310.73 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 23191700 NC USD 1061020.28 0.219285505274 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2042-02-13 0 USD 0 USD 23191700 USD 1 1.99 USD 2032-02-11 XXXX 1061020.28 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 23191700 NC USD -587677.68 -0.121457807571 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2042-02-13 0 USD 0 USD 23191700 USD 1 1.99 USD 2032-02-11 XXXX -587677.68 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 9762800 NC USD -700773.78 -0.144831852253 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2053-03-06 0 USD 0 USD 9762800 USD 1 1.724 USD 2023-03-02 XXXX -700773.78 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 9762800 NC USD 1685742.68 0.348399500287 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2053-03-06 0 USD 0 USD 9762800 USD 1 1.724 USD 2023-03-02 XXXX 1685742.68 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 5918800 NC USD 997672.93 0.206193243124 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2053-03-06 0 USD 0 USD 5918800 USD 1 1.75 USD 2023-03-02 XXXX 997672.93 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 5918800 NC USD -420353.18 -0.086876152330 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2053-03-06 0 USD 0 USD 5918800 USD 1 1.75 USD 2023-03-02 XXXX -420353.18 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 8812200 NC USD -618087.71 -0.127742775841 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2053-03-07 0 USD 0 USD 8812200 USD 1 1.735 USD 2023-03-03 XXXX -618087.71 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 8812200 NC USD 1517196.47 0.313565349123 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2053-03-07 0 USD 0 USD 8812200 USD 1 1.735 USD 2023-03-03 XXXX 1517196.47 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 85627700 NC USD 1150836.29 0.237848156249 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2025-05-01 0 USD 0 USD 85627700 USD 1 2.94 USD 2023-04-27 XXXX 1150836.29 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 171255500 NC USD -1388882.1 -0.287046080839 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2025-05-01 0 USD 0 USD 171255500 USD 1 3.69 USD 2023-04-27 XXXX -1388882.1 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 5015800 NC USD -12288.71 -0.002539759166 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2059-06-11 0 USD 0 USD 5015800 USD 1 2.46 USD 2029-06-07 XXXX -12288.71 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 5015800 NC USD -112604.71 -0.023272487052 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2059-06-11 0 USD 0 USD 5015800 USD 1 2.46 USD 2029-06-07 XXXX -112604.71 N N N BANK OF AMERICA N.A. 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B4TYDEB6GKMZO031MB27 2050-03-07 0 USD 0 USD 12942000 USD 1 1.275 USD 2030-03-05 XXXX 1750923.18 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 794600 NC USD 8986.93 0.001857366464 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Call Written TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2055-03-17 0 USD 105946.67 USD 794600 USD 1 1.17 USD 2025-03-13 XXXX 96959.74 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 1589200 NC USD 565294.33 0.116831746876 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Put Written TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2055-03-17 0 USD 242794.44 USD 1589200 USD 1 1.17 USD 2025-03-13 XXXX -322499.89 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 9579400 NC USD 59775.46 0.012354044683 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2032-03-24 0 USD 310372.56 USD 9579400 USD 1 1.07 USD 2027-03-22 XXXX 250597.1 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 9579400 NC USD 974224.98 0.201347157087 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2032-03-24 0 USD 310372.56 USD 9579400 USD 1 1.07 USD 2027-03-22 XXXX -663852.42 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 3148600 NC USD -147763.8 -0.030538963444 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased UBS AG BFM8T61CT2L1QCEMIK50 2035-04-04 0 USD 0 USD 3148600 USD 1 .902 USD 2025-04-02 XXXX -147763.8 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 3148600 NC USD 501697.92 0.103688010452 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 2035-04-04 0 USD 0 USD 3148600 USD 1 .902 USD 2025-04-02 XXXX 501697.92 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 10495200 NC USD 297643.87 0.061515305273 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 2032-04-04 0 USD 0 USD 10495200 USD 1 .983 USD 2030-04-02 XXXX 297643.87 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 10495200 NC USD -87215.11 -0.018025112078 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased UBS AG BFM8T61CT2L1QCEMIK50 2032-04-04 0 USD 0 USD 10495200 USD 1 .983 USD 2030-04-02 XXXX -87215.11 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 26238100 NC USD 496424.85 0.102598202989 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 2028-04-08 0 USD 0 USD 26238100 USD 1 .87 USD 2027-04-06 XXXX 496424.85 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 26238100 NC USD -109937.64 -0.022721272525 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased UBS AG BFM8T61CT2L1QCEMIK50 2028-04-08 0 USD 0 USD 26238100 USD 1 .87 USD 2027-04-06 XXXX -109937.64 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 7871400 NC USD 925912.78 0.191362272361 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased UBS AG BFM8T61CT2L1QCEMIK50 2028-04-13 0 USD 0 USD 7871400 USD 1 .8925 USD 2023-04-11 XXXX 925912.78 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 7871400 NC USD -162780.55 -0.033642538063 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased UBS AG BFM8T61CT2L1QCEMIK50 2028-04-13 0 USD 0 USD 7871400 USD 1 .8925 USD 2023-04-11 XXXX -162780.55 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 6297100 NC USD 129972.14 0.026861886553 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written UBS AG BFM8T61CT2L1QCEMIK50 2030-05-08 0 USD 0 USD 6297100 USD 1 .958 USD 2025-05-06 XXXX 129972.14 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 6297100 NC USD -567368.71 -0.117260467679 N/A DIR CORP US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written UBS AG BFM8T61CT2L1QCEMIK50 2030-05-08 0 USD 0 USD 6297100 USD 1 .958 USD 2025-05-06 XXXX -567368.71 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 6477800 NC USD 283857.2 0.058665956439 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2037-06-28 0 USD 0 USD 6477800 USD 1 1.168 USD 2027-06-24 XXXX 283857.2 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 6477800 NC USD -812769.57 -0.167978491258 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2037-06-28 0 USD 0 USD 6477800 USD 1 1.168 USD 2027-06-24 XXXX -812769.57 N N N CITIBANK N.A. 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B4TYDEB6GKMZO031MB27 N/A 51153500 NC USD 1556089.47 0.321603528333 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2025-01-31 0 USD 109980.03 USD 51153500 USD 1 .985 USD 2024-01-29 XXXX -1446109.44 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 7647900 NC USD -199686.67 -0.041270080462 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2041-01-31 0 USD 0 USD 7647900 USD 1 1.985 USD 2031-01-29 XXXX -199686.67 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 7647900 NC USD 519674.8 0.107403367536 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2041-01-31 0 USD 0 USD 7647900 USD 1 1.985 USD 2031-01-29 XXXX 519674.8 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2871200 NC USD -254302.18 -0.052557696667 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 -254302.18 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2871200 NC USD 608493.42 0.125759883742 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 608493.42 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 5742300 NC USD -178815.22 -0.036956490472 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 -178815.22 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 5742300 NC USD 524961.07 0.108495903098 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 524961.07 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 10707100 NC USD -269711.85 -0.055742477708 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 -269711.85 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 10707100 NC USD 706454.46 0.146005902182 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 706454.46 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2480200 NC USD -243679.65 -0.050362293900 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 -243679.65 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2480200 NC USD 170513.75 0.035240790897 N/A DIR CORP CA N 2 TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 Call Written TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 2056-03-02 0 USD 0 USD 2480200 USD 1 2.095 USD 2026-02-26 XXXX 170513.75 N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796P94 9300000 PA USD 9255684.85 1.912911154716 Long DBT UST US N 2 2022-12-01 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796W62 13800000 PA USD 13750837.5 2.841943180514 Long DBT UST US N 2 2022-11-17 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796W70 9749000 PA USD 9708615.06 2.006520138282 Long DBT UST US N 2 2022-11-25 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796YR4 14400000 PA USD 14341325.04 2.963981713620 Long DBT UST US N 2 2022-11-22 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796YP8 9328000 PA USD 9302732.79 1.922634749533 Long DBT UST US N 2 2022-11-08 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796YQ6 13300000 PA USD 13255002.64 2.739466913229 Long DBT UST US N 2 2022-11-15 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796YC7 11628000 PA USD 11627219.53 2.403046160034 Long DBT UST US N 2 2022-10-04 Fixed 0 N N N N N N 2022-11-28 Putnam Investments Inc Janet C. Smith NPORT Principal Financial Officer