0000869392-23-002601.txt : 20231121 0000869392-23-002601.hdr.sgml : 20231121 20231121145316 ACCESSION NUMBER: 0000869392-23-002601 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20230930 FILED AS OF DATE: 20231121 DATE AS OF CHANGE: 20231121 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: 231427083 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 2023-09-30 N 1082421785.96618 670773805.54618 411647979.99 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 2576885.97 USD N CWABS ASSET-BACKED CERTIFICATES TRUST 2007-10 N/A 23246BAE1 3754661.36 PA USD 3474194.16 0.843972114253 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.614 N N N 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N N N N JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11 N/A 46639YAX5 2891000 PA USD 1781516.02 0.432776572848 Long ABS-MBS CORP US N 2 2046-04-15 Variable 4.261 N N N N N N COMM 2013-CCRE7 MORTGAGE TRUST 549300FVY7JUBJ0PIH53 12625FBA3 846616.78 PA USD 732323.51 0.177900425995 Long ABS-MBS CORP US N 2 2046-03-10 Variable 4.398 N N N N N N JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14 N/A 46640LAN2 4088000 PA USD 2123444.97 0.515840007293 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.385 N N N N N N COMM 2013-LC13 MORTGAGE TRUST N/A 12626GAT0 2546000 PA USD 2222301.56 0.539854843950 Long ABS-MBS CORP US N 2 2046-08-10 Variable 5.387 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12 N/A 61762XAC1 479000 PA USD 397221.53 0.096495440111 Long ABS-MBS CORP US N 2 2046-10-15 Variable 5.074 N N N N N N COMM 2013-CCRE12 MORTGAGE TRUST 549300MGZ5FI5VFL1177 12591KAG0 1570000 PA USD 1366936.51 0.332064427969 Long ABS-MBS CORP US N 2 2046-10-10 Fixed 4.3 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N 2 2048-10-10 Variable 3.614 N N N N N N MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25 N/A 61765TAM5 1824000 PA USD 1598008.59 0.388197845654 Long ABS-MBS CORP US N 2 2048-10-15 Variable 4.668 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31 N/A 94989WAZ0 1373000 PA USD 1208916.61 0.293677284662 Long ABS-MBS CORP US N 2 2048-11-15 Variable 4.748 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31 N/A 94989WBB2 1248000 PA USD 938876.76 0.228077582215 Long ABS-MBS CORP US N 2 2048-11-15 Fixed 3.852 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1 549300ZJL46M82UL2Z22 94989QBA7 2091000 PA USD 1828925.98 0.444293685115 Long ABS-MBS CORP US N 2 2048-09-15 Variable 4.601 N N N N N N COMM 2013-LC6 MORTGAGE TRUST N/A 20048EAG6 701000 PA USD 549994.79 0.133608038114 Long ABS-MBS CORP US N 2 2046-01-10 Fixed 3.5 N N N N N N WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55 N/A 95002EAA5 1820000 PA USD 901524.44 0.219003732272 Long ABS-MBS CORP US N 2 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E57ODZWZ7FF32TWEFA76 2042-02-13 0 USD 0 USD 23191700 USD 1 1.99 USD 2032-02-11 XXXX -991445.18 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 53614900 NC USD 2023426.33 0.491542878468 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 2023426.33 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 53614900 NC USD -2005733.41 -0.487244808064 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 -2005733.41 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 21231500 NC USD -784291.61 -0.190524829010 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 -784291.61 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 21231500 NC USD 713166.09 0.173246590453 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 713166.09 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 39112600 NC USD 1066209.48 0.259010011424 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 1066209.48 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 39112600 NC USD -1124878.38 -0.273262213027 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 -1124878.38 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 4715100 NC USD 157390.04 0.038234133933 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 157390.04 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 4715100 NC USD -126836.19 -0.030811809159 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 -126836.19 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 9034500 NC USD -804160.85 -0.195351584142 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 -804160.85 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 9034500 NC USD 921519 0.223860930891 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 921519 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 24704500 NC USD 839705.96 0.203986415777 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 839705.96 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 24704500 NC USD -746075.9 -0.181241239182 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 -746075.9 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 12352300 NC USD -1053280.62 -0.255869255092 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 -1053280.62 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 12352300 NC USD 1146664.01 0.278554509129 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 1146664.01 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 32653500 NC USD -1111525.14 -0.270018363755 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 -1111525.14 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 32653500 NC USD 1373732.74 0.333715408984 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 1373732.74 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 31673900 NC USD -1059808.69 -0.257455093069 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 -1059808.69 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 31673900 NC USD 1358810.31 0.330090362652 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 1358810.31 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 700 NC USD 15.46 0.000003755636 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 700 USD 1 3.343 USD 2025-12-29 XXXX 15.46 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 700 NC USD -23.41 -0.000005686898 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 700 USD 1 3.343 USD 2025-12-29 XXXX -23.41 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 19485700 NC USD 284686.08 0.069157652615 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2033-02-09 0 USD 0 USD 19485700 USD 1 3.03 USD 2028-02-07 XXXX 284686.08 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 19485700 NC USD -497275.06 -0.120801044624 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2033-02-09 0 USD 0 USD 19485700 USD 1 3.03 USD 2028-02-07 XXXX -497275.06 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 68872500 NC USD 1275518.7 0.309856664432 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2035-03-15 0 USD 0 USD 68872500 USD 1 2.98 USD 2030-03-13 XXXX 1275518.7 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 68872500 NC USD -1584067.5 -0.384811192330 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2035-03-15 0 USD 0 USD 68872500 USD 1 2.98 USD 2030-03-13 XXXX -1584067.5 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 13402000 NC USD -414791.9 -0.100763739934 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2043-03-16 0 USD 0 USD 13402000 USD 1 3.0925 USD 2033-03-14 XXXX -414791.9 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 13402000 NC USD 374451.88 0.090964099960 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2043-03-16 0 USD 0 USD 13402000 USD 1 3.0925 USD 2033-03-14 XXXX 374451.88 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 64065500 NC USD 671406.44 0.163102085431 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2026-03-18 0 USD 0 USD 64065500 USD 1 3.63 USD 2024-03-14 XXXX 671406.44 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 64065500 NC USD -488179.11 -0.118591401812 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2026-03-18 0 USD 0 USD 64065500 USD 1 3.63 USD 2024-03-14 XXXX -488179.11 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 18773300 NC USD 521334.54 0.126645718027 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2043-03-16 0 USD 0 USD 18773300 USD 1 3.115 USD 2033-03-14 XXXX 521334.54 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 18773300 NC USD -561133.94 -0.136314027343 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2043-03-16 0 USD 0 USD 18773300 USD 1 3.115 USD 2033-03-14 XXXX -561133.94 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 30797700 NC USD 1040654.28 0.252801988734 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2037-03-17 0 USD 0 USD 30797700 USD 1 3.1625 USD 2027-03-15 XXXX 1040654.28 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 30797700 NC USD -1080999.27 -0.262602836051 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2037-03-17 0 USD 0 USD 30797700 USD 1 3.1625 USD 2027-03-15 XXXX -1080999.27 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 12807700 NC USD -447501.04 -0.108709640701 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2036-03-18 0 USD 0 USD 12807700 USD 1 3.095 USD 2026-03-16 XXXX -447501.04 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 12807700 NC USD 495914.14 0.120470441762 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Written BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2036-03-18 0 USD 0 USD 12807700 USD 1 3.095 USD 2026-03-16 XXXX 495914.14 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 13654800 NC USD -519155.5 -0.126116372541 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2036-03-18 0 USD 0 USD 13654800 USD 1 3.03 USD 2026-03-16 XXXX -519155.5 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 13654800 NC USD 551380.82 0.133944740847 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2036-03-18 0 USD 0 USD 13654800 USD 1 3.03 USD 2026-03-16 XXXX 551380.82 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 5166700 NC USD -179232.82 -0.043540313256 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2040-03-27 0 USD 0 USD 5166700 USD 1 3.1525 USD 2030-03-25 XXXX -179232.82 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 5166700 NC USD 159341.03 0.038708080143 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2040-03-27 0 USD 0 USD 5166700 USD 1 3.1525 USD 2030-03-25 XXXX 159341.03 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 5530300 NC USD -207607.46 -0.050433251247 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2038-03-31 0 USD 0 USD 5530300 USD 1 3.19 USD 2028-03-29 XXXX -207607.46 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 5530300 NC USD 161540.06 0.039242281719 N/A DIR CORP US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2038-03-31 0 USD 0 USD 5530300 USD 1 3.19 USD 2028-03-29 XXXX 161540.06 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2820300 NC USD -29697.76 -0.007214358249 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 2.118 USD 2031-03-03 XXXX -29697.76 N N N TORONTO-DOMINION BANK/THE PT3QB789TSUIDF371261 N/A 2820300 NC USD 116506.59 0.028302480678 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 2.118 USD 2031-03-03 XXXX 116506.59 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 12539500 NC USD -233861.68 -0.056811084074 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 1.945 USD 2031-06-09 XXXX -233861.68 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 12539500 NC USD 759141.33 0.184415171919 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 1.945 USD 2031-06-09 XXXX 759141.33 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 4497500 NC USD -132946.1 -0.032296065197 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2047-03-25 0 USD 0 USD 4497500 USD 1 2.525 USD 2027-03-23 XXXX -132946.1 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 4497500 NC USD 342979.35 0.083318603922 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2047-03-25 0 USD 0 USD 4497500 USD 1 2.525 USD 2027-03-23 XXXX 342979.35 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 18355000 NC USD -142618.35 -0.034645706267 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2041-02-05 0 USD 0 USD 18355000 USD 1 1.75 USD 2031-02-03 XXXX -142618.35 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 18355000 NC USD 784676.25 0.190618268069 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Purchased JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 2041-02-05 0 USD 0 USD 18355000 USD 1 1.75 USD 2031-02-03 XXXX 784676.25 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 6879800 NC USD -96317.2 -0.023397952785 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 2.14 USD 2031-06-03 XXXX -96317.2 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 14080100 NC USD -236686.48 -0.057497301458 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 1.34 USD 2041-01-22 XXXX -236686.48 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 8587600 NC USD -108804.89 -0.026431537452 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 USD 2041-03-26 XXXX -108804.89 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 6879800 NC USD 292253.9 0.070996072908 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 2.14 USD 2031-06-03 XXXX 292253.9 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 14080100 NC USD 525046.93 0.127547554105 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 1.34 USD 2041-01-22 XXXX 525046.93 N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912796YT0 7480000 PA USD 7445926.51 1.808809194249 Long DBT UST US N 2 2023-11-02 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912797FK8 5200000 PA USD 5165582.51 1.254854332123 Long DBT UST US N 2 2023-11-16 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912797FC6 1000000 PA USD 996477.78 0.242070367994 Long DBT UST US N 2 2023-10-26 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 912797FT9 400000 PA USD 396102.33 0.096223557324 Long DBT UST US N 2 2023-12-07 Fixed 0 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 91282CCB5 1249000 PA USD 1021657.02 0.248187060222 Long DBT UST US N 2 2031-05-15 Fixed 1.625 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 91282CBE0 153000 PA USD 150756.87618 0.036622765933 Long DBT UST US N 2 2024-01-15 Fixed .125 N N N N N N UNITED STATES OF AMERICA 254900HROIFWPRGM1V77 91282CAE1 405000 PA USD 311161.5 0.075589220675 Long DBT UST US N 2 2030-08-15 Fixed .625 N N N N N N 2023-11-21 Putnam Investments Inc Janet C. Smith NPORT Principal Financial Officer