0000869392-23-001202.txt : 20230526 0000869392-23-001202.hdr.sgml : 20230526 20230526085246 ACCESSION NUMBER: 0000869392-23-001202 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20230331 FILED AS OF DATE: 20230526 DATE AS OF CHANGE: 20230526 PERIOD START: 20230930 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: 23963226 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 2023-09-30 2023-03-31 N 3007898001.34 2554108511.77 453789489.13 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 88921.8 USD N CWABS ASSET-BACKED CERTIFICATES TRUST 2007-10 N/A 23246BAE1 4068713.33 PA USD 3755247.45 0.827530725139 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.025 N N N N N N 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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 -15751.76 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 219200 NC USD -10705.73 -0.002359184216 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 -10705.73 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 219200 NC USD -15479.9 -0.003411251334 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 -15479.9 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 12942000 NC USD -1102399.56 -0.242931929101 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2050-03-07 0 USD 0 USD 12942000 USD 1 1.275 USD 2030-03-05 XXXX -1102399.56 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 12942000 NC USD 1813562.46 0.399648406021 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2050-03-07 0 USD 0 USD 12942000 USD 1 1.275 USD 2030-03-05 XXXX 1813562.46 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 14080100 NC USD -477737.79 -0.105277403167 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2061-01-24 0 USD 0 USD 14080100 USD 1 1.625 USD 2041-01-22 XXXX -477737.79 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 14080100 NC USD 545603.88 0.120232815671 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2061-01-24 0 USD 0 USD 14080100 USD 1 1.625 USD 2041-01-22 XXXX 545603.88 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 7647900 NC USD -243738.57 -0.053711814804 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 -243738.57 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 7647900 NC USD 482888.41 0.106412427253 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 482888.41 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 10707100 NC USD -331170.6 -0.072978904962 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 -331170.6 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 10707100 NC USD 653882.6 0.144093817874 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 653882.6 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2820300 NC USD 119778.14 0.026395089104 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 119778.14 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2820300 NC USD -69238.36 -0.015257814837 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 -69238.36 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 28930400 NC USD 391139.01 0.086193933392 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 391139.01 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 20251300 NC USD -792028.34 -0.174536510645 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 -792028.34 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 8587600 NC USD 107001.5 0.023579545706 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 107001.5 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 8587600 NC USD -89654.54 -0.019756856901 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 -89654.54 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 57860800 NC USD -2227640.8 -0.490897399204 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 -2227640.8 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 115721600 NC USD 1375929.82 0.303208834263 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 1375929.82 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 6879800 NC USD 268243.4 0.059111858345 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 268243.4 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 6879800 NC USD -178599.61 -0.039357370384 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 -178599.61 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 12539500 NC USD -578070.95 -0.127387470148 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 -578070.95 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 12539500 NC USD 704092.92 0.155158490196 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 704092.92 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 176037200 NC USD -1278030.07 -0.281635009319 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 -1278030.07 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 176037200 NC USD 3489057.3 0.768871334303 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 3489057.3 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 2526100 NC USD 301212.16 0.066377068490 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 301212.16 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 2526100 NC USD -224317.68 -0.049432101310 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 -224317.68 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 27464600 NC USD -1163125.81 -0.256313960076 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 -1163125.81 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 27464600 NC USD 466623.55 0.102828197034 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 466623.55 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 4234200 NC USD 139347.52 0.030707524819 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 139347.52 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 4234200 NC USD -255110.55 -0.056217818198 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 -255110.55 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 17079100 NC USD -536283.74 -0.118178969070 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 -536283.74 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 17079100 NC USD 896652.75 0.197592225355 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 896652.75 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 23191700 NC USD 955034.21 0.210457543173 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 955034.21 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 23191700 NC USD -737032.23 -0.162417210547 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 -737032.23 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 53614900 NC USD 310966.42 0.068526580595 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2037-06-16 0 USD 0 USD 53614900 USD 1 3.073 USD 2027-06-14 XXXX 310966.42 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 53614900 NC USD 380129.64 0.083767837093 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2037-06-16 0 USD 0 USD 53614900 USD 1 3.073 USD 2027-06-14 XXXX 380129.64 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 21231500 NC USD 84713.68 0.018668056892 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2039-06-15 0 USD 0 USD 21231500 USD 1 3.101 USD 2029-06-13 XXXX 84713.68 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 21231500 NC USD 98089.53 0.021615646098 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2039-06-15 0 USD 0 USD 21231500 USD 1 3.101 USD 2029-06-13 XXXX 98089.53 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 22133600 NC USD -85657.03 -0.018875939627 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2033-10-03 0 USD 0 USD 22133600 USD 1 2.394 USD 2023-09-29 XXXX -85657.03 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 39112600 NC USD -418113.69 -0.092138249126 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2039-10-11 0 USD 0 USD 39112600 USD 1 3.32 USD 2029-10-09 XXXX -418113.69 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 39112600 NC USD 137676.35 0.030339254940 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2039-10-11 0 USD 0 USD 39112600 USD 1 3.32 USD 2029-10-09 XXXX 137676.35 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 4715100 NC USD -5893.88 -0.001298813688 N/A DIR CORP US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2042-12-06 0 USD 0 USD 4715100 USD 1 3.09 USD 2032-12-02 XXXX -5893.88 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 4715100 NC USD -6789.74 -0.001496231218 N/A DIR CORP US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2042-12-06 0 USD 0 USD 4715100 USD 1 3.09 USD 2032-12-02 XXXX -6789.74 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 9034500 NC USD -311419.22 -0.068626362545 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2057-12-10 0 USD 0 USD 9034500 USD 1 2.47 USD 2027-12-08 XXXX -311419.22 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 9034500 NC USD 27193.84 0.005992611255 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2057-12-10 0 USD 0 USD 9034500 USD 1 2.47 USD 2027-12-08 XXXX 27193.84 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 24704500 NC USD -32362.9 -0.007131698899 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2042-12-13 0 USD 0 USD 24704500 USD 1 3.0175 USD 2032-12-09 XXXX -32362.9 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 24704500 NC USD -148968.13 -0.032827584942 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2042-12-13 0 USD 0 USD 24704500 USD 1 3.0175 USD 2032-12-09 XXXX -148968.13 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 12352300 NC USD -328077.09 -0.072297199001 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2057-12-13 0 USD 0 USD 12352300 USD 1 2.558 USD 2027-12-09 XXXX -328077.09 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 12352300 NC USD -52373.75 -0.011541419811 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2057-12-13 0 USD 0 USD 12352300 USD 1 2.558 USD 2027-12-09 XXXX -52373.75 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 32653500 NC USD -262860.68 -0.057925687196 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-17 0 USD 0 USD 32653500 USD 1 2.67 USD 2025-12-15 XXXX -262860.68 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 32653500 NC USD -75103.05 -0.016550196027 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-17 0 USD 0 USD 32653500 USD 1 3.17 USD 2025-12-15 XXXX -75103.05 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 31673900 NC USD -229319.04 -0.050534233492 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-17 0 USD 0 USD 31673900 USD 1 2.68 USD 2025-12-15 XXXX -229319.04 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 31673900 NC USD -40225.85 -0.008864429645 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-17 0 USD 0 USD 31673900 USD 1 3.18 USD 2025-12-15 XXXX -40225.85 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 19953000 NC USD -376114.05 -0.082882935592 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-31 0 USD 0 USD 19953000 USD 1 3.343 USD 2025-12-29 XXXX -376114.05 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 19953000 NC USD 164213.19 0.036187085407 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2035-12-31 0 USD 0 USD 19953000 USD 1 3.343 USD 2025-12-29 XXXX 164213.19 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 12385200 NC USD -169801.09 -0.037418471355 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2036-01-07 0 USD 0 USD 12385200 USD 1 3.187 USD 2026-01-05 XXXX -169801.09 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 12385200 NC USD 13623.72 0.003002211450 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2036-01-07 0 USD 0 USD 12385200 USD 1 3.187 USD 2026-01-05 XXXX 13623.72 N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796Z93 5100000 PA USD 5099349.05 1.123725686061 Long DBT UST US N 2 2023-04-04 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796CU1 7700000 PA USD 7685386.02 1.693601593711 Long DBT UST US N 2 2023-04-18 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912797FF9 1000000 PA USD 993626.74 0.218962043811 Long DBT UST US N 2 2023-05-23 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796CW7 8300000 PA USD 8269317.47 1.822280521714 Long DBT UST US N 2 2023-05-02 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 91282CCB5 1926000 PA USD 1685635.2 0.371457523891 Long DBT UST US N 2 2031-05-15 Fixed 1.625 N N N N N N 2023-05-25 Putnam Investments Inc Janet C. Smith NPORT Principal Financial Officer