NPORT-EX 2 PMSF.htm PART F
Not
FDIC
Insured
May
Lose
Value
No
Bank
Guarantee
38913-Q3PH
1
Schedule
of
Investments
(unaudited)
Putnam
Mortgage
Securities
Fund
2
Notes
to
Schedule
of
Investments
15
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited),
June
30,
2025
Quarterly
Schedule
of
Investments
See
Notes
to
Schedule
of
Investments
2
a
a
Principal
Amount
a
Value
a
a
a
a
a
U.S.
Government
and
Agency
Securities
0.1%
a
U.S.
Treasury
Notes
,
0.25%,
10/31/25
...................................................
$
236,000
$
232,884
2.375%,
5/15/27
...................................................
114,000
111,199
Total
U.S.
Government
and
Agency
Securities
(Cost
$344,083)
....................
344,083
Asset-Backed
Securities
2.3%
Financial
Services
2.3%
Bayview
Financial
Mortgage
Pass-Through
Trust
,
2006-C
,
1A3
,
6.528
%
,
11/28/36
...
1,665,347
1,633,950
b
Bayview
Opportunity
Master
Fund
VII
Trust
,
2023-1A
,
A
,
144A,
6.93
%
,
10/28/60
....
358,383
366,047
b,c
BDS
Ltd.
,
2021-FL9
,
A
,
144A,
FRN
,
5.499
%
,
(
1-month
SOFR
+
1.184
%
),
11/16/38
..
249,311
249,696
c
Carrington
Mortgage
Loan
Trust
,
2006-NC2
,
A4
,
FRN
,
4.914
%
,
(
1-month
SOFR
+
0.594
%
),
6/25/36
..................................................
2,151,621
2,024,936
c
CWABS,
Inc.
Asset-Backed
Certificates
Trust
,
2007-10
,
1A1
,
FRN
,
4.614
%
,
(
1-month
SOFR
+
0.294
%
),
6/25/47
...........................................
2,924,149
2,776,635
b
HTAP
Trust
,
2024-1
,
A
,
144A,
7
%
,
4/25/37
................................
1,030,252
1,034,762
c
Morgan
Stanley
ABS
Capital
I,
Inc.
Trust
,
2004-HE9
,
M2
,
FRN
,
5.364
%
,
(
1-month
SOFR
+
1.044
%
),
11/25/34
..........................................
19,476
18,795
b,c
PFP
Ltd.
,
2022-9
,
AS
,
144A,
FRN
,
7.095
%
,
(
1-month
SOFR
+
2.783
%
),
8/19/35
....
687,000
689,554
b,c
PRMI
Securitization
Trust
,
2024-CMG1
,
A1
,
144A,
FRN
,
5.763
%
,
(
30-day
SOFR
Average
+
1.45
%
),
7/25/54
...........................................
640,015
641,137
c
Wells
Fargo
Home
Equity
Asset-Backed
Securities
Trust
,
2007-2
,
A3
,
FRN
,
4.894
%
,
(
1-month
SOFR
+
0.574
%
),
4/25/37
....................................
393,546
387,834
9,823,346
a
a
a
a
a
Total
Asset-Backed
Securities
(Cost
$9,741,965)
................................
9,823,346
Commercial
Mortgage-Backed
Securities
30.0%
Financial
Services
30.0%
BANK
,
b
2018-BN11,
D,
144A,
3%,
3/15/61
.....................................
839,000
641,651
d,e
2024-BNK48,
XA,
IO,
FRN,
1.352%,
10/15/57
............................
9,732,800
809,950
d,e
BANK5
,
2024-5YR10
,
XA
,
IO,
FRN
,
1.402
%
,
10/15/57
.......................
14,900,042
660,637
b
Barclays
Commercial
Mortgage
Trust
,
2019-C4,
E,
144A,
3.25%,
8/15/52
.....................................
2,034,000
1,065,779
e
2019-C5,
F,
144A,
FRN,
2.701%,
11/15/52
...............................
1,001,000
582,373
d,e
BBCMS
Mortgage
Trust
,
2024-5C29,
XA,
IO,
FRN,
1.822%,
9/15/57
...............................
19,363,371
1,129,369
2025-C32,
XA,
IO,
FRN,
1.356%,
2/15/62
................................
9,294,746
794,945
Benchmark
Mortgage
Trust
,
e
2018-B1,
C,
FRN,
4.343%,
1/15/51
....................................
718,000
594,573
b,e
2018-B3,
D,
144A,
FRN,
3.198%,
4/10/51
...............................
1,141,000
775,323
b
2019-B11,
D,
144A,
3%,
5/15/52
......................................
1,556,000
785,854
b,e
2018-B1,
E,
144A,
FRN,
3%,
1/15/51
...................................
1,840,000
851,418
d,e
2024-V10,
XA,
IO,
FRN,
1.522%,
9/15/57
................................
12,778,381
615,042
d,e
2024-V11,
XA,
IO,
FRN,
0.773%,
11/15/57
...............................
23,289,000
528,700
d,e
2019-B15,
XA,
IO,
FRN,
0.917%,
12/15/72
...............................
13,517,058
374,712
d,e
BMO
Mortgage
Trust
,
2024-5C6
,
XA
,
IO,
FRN
,
1.575
%
,
9/15/57
................
11,396,608
547,180
b,e
BWAY
Mortgage
Trust
,
2022-26BW
,
F
,
144A,
FRN
,
5.029
%
,
2/10/44
.............
2,305,000
1,362,610
CD
Mortgage
Trust
,
e
2017-CD3,
B,
FRN,
3.984%,
2/10/50
...................................
826,000
549,492
e
2017-CD4,
B,
FRN,
3.947%,
5/10/50
...................................
1,408,000
1,336,431
e
2017-CD3,
C,
FRN,
4.682%,
2/10/50
...................................
1,638,000
766,165
b
2017-CD3,
D,
144A,
3.25%,
2/10/50
....................................
2,287,000
494,064
b
2019-CD8,
D,
144A,
3%,
8/15/57
......................................
1,450,000
894,931
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
See
Notes
to
Schedule
of
Investments
Quarterly
Schedule
of
Investments
3
a
a
Principal
Amount
a
Value
a
a
a
a
a
Commercial
Mortgage-Backed
Securities
(continued)
Financial
Services
(continued)
CFCRE
Commercial
Mortgage
Trust
,
2016-C7,
A3,
3.839%,
12/10/54
.......................................
$
624,000
$
615,390
b,e
2011-C2,
E,
144A,
FRN,
5.08%,
12/15/47
................................
603,000
561,939
Citigroup
Commercial
Mortgage
Trust
,
b,e
2012-GC8,
C,
144A,
FRN,
5.295%,
9/10/45
..............................
1,387,488
1,307,610
e
2015-P1,
C,
FRN,
4.497%,
9/15/48
....................................
973,000
952,250
b,e
2015-GC27,
D,
144A,
FRN,
4.543%,
2/10/48
.............................
2,107,208
2,034,494
b
2015-GC27,
E,
144A,
3%,
2/10/48
.....................................
2,035,000
1,730,334
COMM
Mortgage
Trust
,
2012-CR4,
AM,
3.251%,
10/15/45
.....................................
1,721,000
1,556,886
2013-CR12,
AM,
4.3%,
10/10/46
......................................
1,425,983
1,346,963
2014-UBS3,
AM,
4.012%,
6/10/47
.....................................
785,154
753,663
e
2014-UBS5,
AM,
FRN,
4.193%,
9/10/47
.................................
571,625
565,546
b
2012-CR4,
B,
144A,
3.703%,
10/15/45
..................................
1,848,000
1,228,543
2014-CR17,
B,
4.377%,
5/10/47
.......................................
618,222
597,169
e
2015-DC1,
B,
FRN,
4.035%,
2/10/48
...................................
1,285,000
1,225,569
e
2013-CR13,
C,
FRN,
5.109%,
11/10/46
.................................
233,261
219,063
e
2014-CR16,
C,
FRN,
4.937%,
4/10/47
..................................
1,741,904
1,645,224
e
2014-CR17,
C,
FRN,
4.941%,
5/10/47
..................................
1,360,000
1,247,256
e
2014-UBS3,
C,
FRN,
4.742%,
6/10/47
..................................
409,000
292,668
e
2014-UBS4,
C,
FRN,
4.803%,
8/10/47
..................................
397,060
295,214
b,e
2012-LC4,
D,
144A,
FRN,
5.69%,
12/10/44
..............................
2,266,000
1,663,287
b,e
2013-CR7,
D,
144A,
FRN,
4.385%,
3/10/46
..............................
691,855
661,206
b,e
2013-LC13,
D,
144A,
FRN,
5.549%,
8/10/46
.............................
2,497,790
2,291,429
b,e
2013-CR13,
D,
144A,
FRN,
5.109%,
11/10/46
............................
2,536,000
1,449,096
b,e
2014-CR17,
D,
144A,
FRN,
5.005%,
5/10/47
.............................
1,959,000
1,572,106
b,e
2014-CR19,
D,
144A,
FRN,
4.661%,
8/10/47
.............................
347,599
334,912
b,e
2014-UBS4,
D,
144A,
FRN,
4.865%,
8/10/47
.............................
757,000
169,534
b
2015-LC19,
D,
144A,
2.867%,
2/10/48
..................................
1,240,000
1,128,321
e
2015-CR26,
D,
FRN,
3.668%,
10/10/48
.................................
1,351,375
1,104,169
b
2017-COR2,
D,
144A,
3%,
9/10/50
.....................................
882,000
775,018
b,e
2018-COR3,
D,
144A,
FRN,
2.966%,
5/10/51
.............................
499,000
193,976
b
2013-LC6,
E,
144A,
3.5%,
1/10/46
.....................................
701,000
648,088
b,e
2015-LC19,
E,
144A,
FRN,
4.242%,
2/10/48
..............................
1,436,000
1,129,141
CSAIL
Commercial
Mortgage
Trust
,
e
2015-C1,
B,
FRN,
3.959%,
4/15/50
....................................
1,109,000
1,061,980
e
2015-C2,
B,
FRN,
4.208%,
6/15/57
....................................
1,269,000
1,228,014
e
2015-C3,
C,
FRN,
4.419%,
8/15/48
....................................
1,033,000
886,552
e
2015-C1,
C,
FRN,
3.959%,
4/15/50
....................................
644,000
587,812
e
2015-C2,
C,
FRN,
4.245%,
6/15/57
....................................
763,000
699,296
b
2019-C17,
D,
144A,
2.5%,
9/15/52
.....................................
798,000
410,578
e
2015-C2,
D,
FRN,
4.245%,
6/15/57
....................................
838,000
652,352
b,e
DBUBS
Mortgage
Trust
,
2011-LC3A
,
D
,
144A,
FRN
,
5.53
%
,
8/10/44
.............
1,290,794
1,240,408
FHLMC
,
2.09
%
,
2/20/49
..............................................
20,855,000
2,117,054
e
GS
Mortgage
Securities
Trust
,
2014-GC24,
B,
FRN,
4.521%,
9/10/47
..................................
1,608,000
1,514,096
b
2010-C1,
D,
144A,
FRN,
6.576%,
8/10/43
...............................
742,000
709,621
b
2014-GC24,
D,
144A,
FRN,
4.542%,
9/10/47
.............................
1,892,000
1,206,132
b
2017-GS5,
D,
144A,
FRN,
3.509%,
3/10/50
..............................
1,021,000
151,036
J.P.
Morgan
Chase
Commercial
Mortgage
Securities
Trust
,
2013-LC11,
B,
3.499%,
4/15/46
.......................................
287,956
272,182
e
2013-C10,
C,
FRN,
4.117%,
12/15/47
...................................
354,617
333,890
b,e
2011-C3,
D,
144A,
FRN,
5.71%,
2/15/46
................................
1,123,000
1,005,509
e
2013-LC11,
D,
FRN,
4.296%,
4/15/46
...................................
933,000
205,727
b,e
2013-C16,
D,
144A,
FRN,
5.046%,
12/15/46
.............................
936,689
886,435
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
Quarterly
Schedule
of
Investments
See
Notes
to
Schedule
of
Investments
4
a
a
Principal
Amount
a
Value
a
a
a
a
a
Commercial
Mortgage-Backed
Securities
(continued)
Financial
Services
(continued)
J.P.
Morgan
Chase
Commercial
Mortgage
Securities
Trust,
(continued)
b,e
2012-LC9,
D,
144A,
FRN,
3.69%,
12/15/47
..............................
$
1,408,000
$
1,339,476
e
JPMBB
Commercial
Mortgage
Securities
Trust
,
2014-C18,
B,
FRN,
4.652%,
2/15/47
...................................
738,920
717,216
2014-C25,
B,
FRN,
4.347%,
11/15/47
...................................
1,497,000
1,397,288
2014-C22,
C,
FRN,
4.658%,
9/15/47
...................................
1,124,000
1,039,050
2013-C12,
D,
FRN,
4.071%,
7/15/45
...................................
1,408,000
1,294,832
b
2013-C14,
D,
144A,
FRN,
4.172%,
8/15/46
..............................
1,732,000
1,341,382
b
2014-C23,
D,
144A,
FRN,
4.2%,
9/15/47
................................
726,000
624,791
b
2013-C12,
E,
144A,
FRN,
4.071%,
7/15/45
...............................
1,235,000
849,063
b,e
JPMCC
Commercial
Mortgage
Securities
Trust
,
2017-JP7
,
D
,
144A,
FRN
,
4.571
%
,
9/15/50
.........................................................
859,000
536,890
JPMDB
Commercial
Mortgage
Securities
Trust
,
2018-C8,
B,
4.522%,
6/15/51
.........................................
636,000
600,184
e
2017-C5,
C,
FRN,
4.512%,
3/15/50
....................................
590,000
393,954
e
2018-C8,
C,
FRN,
4.915%,
6/15/51
....................................
835,000
752,126
b,e
2016-C2,
D,
144A,
FRN,
3.472%,
6/15/49
...............................
2,330,000
1,125,816
b
LSTAR
Commercial
Mortgage
Trust
,
2017-5
,
A5
,
144A,
3.549
%
,
3/10/50
..........
796,000
776,376
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust
,
e
2013-C9,
B,
FRN,
3.708%,
5/15/46
....................................
1,034,233
1,004,298
e
2013-C10,
B,
FRN,
4.112%,
7/15/46
....................................
947,228
894,594
e
2013-C9,
C,
FRN,
3.839%,
5/15/46
....................................
1,398,000
1,311,662
e
2015-C22,
C,
FRN,
4.191%,
4/15/48
...................................
1,616,000
1,404,941
e
2015-C25,
C,
FRN,
4.66%,
10/15/48
...................................
1,824,000
1,753,116
e
2017-C34,
C,
FRN,
4.309%,
11/15/52
...................................
751,000
656,379
b,e
2013-C9,
D,
144A,
FRN,
3.927%,
5/15/46
...............................
1,122,000
1,033,223
b,e
2013-C12,
D,
144A,
FRN,
4.861%,
10/15/46
.............................
800,000
745,910
b
2014-C19,
D,
144A,
3.25%,
12/15/47
...................................
954,000
850,800
b
2015-C24,
D,
144A,
3.257%,
5/15/48
...................................
903,000
835,037
b,e
2015-C23,
D,
144A,
FRN,
4.311%,
7/15/50
...............................
924,000
879,004
b,e
2012-C6,
E,
144A,
FRN,
4.489%,
11/15/45
...............................
1,677,000
874,136
b,e
2013-C12,
E,
144A,
FRN,
4.861%,
10/15/46
..............................
1,232,618
949,345
b,e
2015-C24,
E,
144A,
FRN,
4.449%,
5/15/48
...............................
1,239,000
1,080,384
b,e
2013-C10,
F,
144A,
FRN,
4.112%,
7/15/46
...............................
2,316,000
205,660
b,e
2012-C6,
G,
144A,
FRN,
4.5%,
11/15/45
................................
1,288,000
74,991
e
Morgan
Stanley
Capital
I
Trust
,
2016-UB11,
C,
FRN,
3.691%,
8/15/49
..................................
1,920,000
1,859,007
b
2011-C3,
E,
144A,
FRN,
5.106%,
7/15/49
................................
2,070,838
2,017,027
b,c
Multi-family
Connecticut
Avenue
Securities
Trust
,
2019-01
,
M10
,
144A,
FRN
,
7.67
%
,
(
30-day
SOFR
Average
+
3.364
%
),
10/25/49
.............................
2,892,493
2,941,230
b,c
PFP
Ltd.
,
2023-10
,
AS
,
144A,
FRN
,
7.338
%
,
(
1-month
SOFR
+
3.025
%
),
9/16/38
...
507,000
508,246
b
PRET
LLC
,
2024-NPL9,
A1,
144A,
5.851%,
12/25/54
................................
801,988
803,504
2025-NPL4,
A1,
144A,
6.368%,
4/25/55
.................................
1,225,343
1,232,509
e
UBS
Commercial
Mortgage
Trust
,
2017-C3,
C,
FRN,
4.503%,
8/15/50
....................................
1,405,000
1,331,017
2018-C11,
C,
FRN,
5.027%,
6/15/51
...................................
986,000
911,622
b
2018-C11,
D,
144A,
FRN,
3%,
6/15/51
..................................
1,695,000
1,015,356
b
2012-C1,
E,
144A,
FRN,
5%,
5/10/45
...................................
1,132,786
1,030,704
Wells
Fargo
Commercial
Mortgage
Trust
,
2015-C31,
A4,
3.695%,
11/15/48
......................................
603,000
600,537
2015-NXS3,
A4,
3.617%,
9/15/57
......................................
508,000
505,981
e
2015-SG1,
B,
FRN,
4.568%,
9/15/48
...................................
1,072,000
1,035,945
e
2015-C31,
C,
FRN,
4.79%,
11/15/48
...................................
1,373,000
1,345,512
e
2016-BNK1,
C,
FRN,
3.071%,
8/15/49
..................................
790,000
560,509
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
See
Notes
to
Schedule
of
Investments
Quarterly
Schedule
of
Investments
5
a
a
Principal
Amount
a
Value
a
a
a
a
a
Commercial
Mortgage-Backed
Securities
(continued)
Financial
Services
(continued)
Wells
Fargo
Commercial
Mortgage
Trust,
(continued)
e
2018-C46,
C,
FRN,
5.118%,
8/15/51
...................................
$
868,000
$
811,019
e
2020-C57,
C,
FRN,
4.157%,
8/15/53
...................................
418,000
384,610
e
2015-C29,
D,
FRN,
4.361%,
6/15/48
...................................
1,407,000
1,342,964
2015-C31,
D,
3.852%,
11/15/48
.......................................
2,056,000
1,784,603
b
2017-RB1,
D,
144A,
3.401%,
3/15/50
...................................
991,000
558,617
b,e
2015-C30,
D,
144A,
FRN,
4.644%,
9/15/58
..............................
522,500
507,839
e
2016-NXS5,
D,
FRN,
5.119%,
1/15/59
..................................
1,174,000
1,059,688
b
2016-C33,
D,
144A,
3.123%,
3/15/59
...................................
1,206,000
1,106,043
b,e
2015-C31,
E,
144A,
FRN,
4.79%,
11/15/48
...............................
1,550,000
1,097,478
e
WFRBS
Commercial
Mortgage
Trust
,
2014-C21,
B,
FRN,
4.213%,
8/15/47
...................................
1,577,636
1,533,142
2014-C23,
B,
FRN,
4.372%,
10/15/57
...................................
842,000
789,922
2013-C11,
C,
FRN,
4.145%,
3/15/45
...................................
1,104,500
1,057,233
2013-C15,
C,
FRN,
4.286%,
8/15/46
...................................
985,000
863,352
2014-C21,
C,
FRN,
4.234%,
8/15/47
...................................
1,353,000
1,287,931
b
2013-C11,
D,
144A,
FRN,
4.201%,
3/15/45
...............................
1,406,000
1,200,360
b
2011-C4,
E,
144A,
FRN,
5.149%,
6/15/44
................................
1,066,568
1,006,851
b
2012-C9,
E,
144A,
FRN,
4.876%,
11/15/45
...............................
666,927
662,092
124,720,311
a
a
a
a
a
Total
Commercial
Mortgage-Backed
Securities
(Cost
$137,493,971)
...............
124,720,311
Mortgage-Backed
Securities
136.5%
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
104.7%
f
Uniform
Mortgage-Backed
Securities,
1.5%,
TBA,
7/25/40
.....................
11,000,000
9,777,981
f
Uniform
Mortgage-Backed
Securities,
2%,
TBA,
7/25/40
......................
18,000,000
16,452,441
f
Uniform
Mortgage-Backed
Securities,
2%,
TBA,
7/25/55
......................
81,000,000
64,140,364
f
Uniform
Mortgage-Backed
Securities,
2.5%,
TBA,
7/25/40
.....................
9,000,000
8,405,386
f
Uniform
Mortgage-Backed
Securities,
2.5%,
TBA,
7/25/55
.....................
73,000,000
60,537,669
f
Uniform
Mortgage-Backed
Securities,
3%,
TBA,
7/25/40
......................
4,000,000
3,814,603
f
Uniform
Mortgage-Backed
Securities,
3%,
TBA,
7/25/55
......................
33,000,000
28,559,950
f
Uniform
Mortgage-Backed
Securities,
3.5%,
TBA,
7/25/40
.....................
2,000,000
1,930,256
f
Uniform
Mortgage-Backed
Securities,
3.5%,
TBA,
7/25/55
.....................
33,000,000
29,714,512
f
Uniform
Mortgage-Backed
Securities,
4%,
TBA,
7/25/55
......................
24,000,000
22,319,069
f
Uniform
Mortgage-Backed
Securities,
4.5%,
TBA,
7/25/55
-
8/25/55
..............
2,000,000
1,900,718
f
Uniform
Mortgage-Backed
Securities,
5%,
TBA,
7/25/55
......................
8,000,000
7,841,076
f
Uniform
Mortgage-Backed
Securities,
5.5%,
TBA,
7/25/55
.....................
107,000,000
106,992,239
f
Uniform
Mortgage-Backed
Securities,
6%,
TBA,
7/25/55
......................
72,000,000
73,172,095
435,558,359
g
Government
National
Mortgage
Association
(GNMA)
Adjustable
Rate
0.0%
†
GNMA
II,
4.625%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
7/20/26
................
459
460
Government
National
Mortgage
Association
(GNMA)
Fixed
Rate
31.8%
GNMA
I,
Single-family,
30
Year,
5.5%,
8/15/35
..............................
63
64
f
GNMA
II,
Single-family,
30
Year,
2%,
7/15/55
...............................
18,000,000
14,664,039
f
GNMA
II,
Single-family,
30
Year,
2.5%,
7/15/55
.............................
18,000,000
15,295,534
f
GNMA
II,
Single-family,
30
Year,
3%,
7/15/55
...............................
19,000,000
16,808,764
f
GNMA
II,
Single-family,
30
Year,
3.5%,
7/15/55
.............................
14,000,000
12,729,750
f
GNMA
II,
Single-family,
30
Year,
4%,
7/15/55
...............................
13,000,000
12,089,126
f
GNMA
II,
Single-family,
30
Year,
4.5%,
7/15/55
.............................
28,000,000
26,806,374
f
GNMA
II,
Single-family,
30
Year,
5%,
7/15/55
...............................
10,000,000
9,824,597
f
GNMA
II,
Single-family,
30
Year,
5.5%,
7/15/55
.............................
12,000,000
12,019,498
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
Quarterly
Schedule
of
Investments
See
Notes
to
Schedule
of
Investments
6
a
a
Principal
Amount
a
Value
a
a
a
a
a
Mortgage-Backed
Securities
(continued)
Government
National
Mortgage
Association
(GNMA)
Fixed
Rate
(continued)
f
GNMA
II,
Single-family,
30
Year,
6%,
7/15/55
...............................
$
12,000,000
$
12,179,037
132,416,783
Total
Mortgage-Backed
Securities
(Cost
$559,147,609)
...........................
567,975,602
Residential
Mortgage-Backed
Securities
18.4%
Financial
Services
18.4%
b
A&D
Mortgage
Trust
,
2023-NQM2,
A1,
144A,
6.132%,
5/25/68
................................
1,396,437
1,400,449
2023-NQM4,
A1,
144A,
7.472%,
9/25/68
................................
1,269,387
1,291,125
2023-NQM5,
A1,
144A,
7.049%,
11/25/68
...............................
1,622,038
1,645,004
2024-NQM1,
A1,
144A,
6.195%,
2/25/69
................................
1,484,155
1,493,196
c
Alternative
Loan
Trust
,
2006-OA19
,
A1
,
FRN
,
4.612
%
,
(
1-month
SOFR
+
0.294
%
),
2/20/47
.........................................................
1,632,071
1,311,058
c
American
Home
Mortgage
Investment
Trust
,
2007-1
,
GA1C
,
FRN
,
4.624
%
,
(
1-month
SOFR
+
0.304
%
),
5/25/47
...........................................
4,792,803
2,818,496
b,e
Arroyo
Mortgage
Trust
,
2019-3
,
M1
,
144A,
FRN
,
4.204
%
,
10/25/48
..............
750,000
687,334
Bear
Stearns
ALT-A
Trust
,
c
2005-10,
11A1,
FRN,
4.934%,
(1-month
SOFR
+
0.614%),
1/25/36
.............
156,861
148,255
e
2005-8,
21A1,
FRN,
5.326%,
10/25/35
..................................
268,657
223,818
b,e
CAFL
Issuer
LLC
,
2023-RTL1
,
A1
,
144A,
FRN
,
7.553
%
,
12/28/30
...............
526,000
530,855
b
COLT
Mortgage
Loan
Trust
,
2023-3
,
A1
,
144A,
7.18
%
,
9/25/68
.................
2,050,792
2,082,639
b,c
Connecticut
Avenue
Securities
Trust
,
2020-R01,
1B1,
144A,
FRN,
7.67%,
(30-day
SOFR
Average
+
3.364%),
1/25/40
...
347,000
355,864
2020-SBT1,
1B1,
144A,
FRN,
11.17%,
(30-day
SOFR
Average
+
6.864%),
2/25/40
.
3,455,000
3,680,834
2020-SBT1,
1M2,
144A,
FRN,
8.07%,
(30-day
SOFR
Average
+
3.764%),
2/25/40
.
1,887,000
1,961,974
2020-R02,
2B1,
144A,
FRN,
7.42%,
(30-day
SOFR
Average
+
3.114%),
1/25/40
...
311,000
318,428
2022-R02,
2M2,
144A,
FRN,
7.305%,
(30-day
SOFR
Average
+
3%),
1/25/42
.....
3,048,000
3,119,366
b
Cross
Mortgage
Trust
,
2024-H1
,
A1
,
144A,
6.085
%
,
12/25/68
..................
1,783,925
1,796,015
Deutsche
Alt-B
Securities
Mortgage
Loan
Trust
,
2006-AB4
,
A4B
,
6.5
%
,
10/25/36
....
1,763,397
1,541,737
b,e
FHLMC
Seasoned
Credit
Risk
Transfer
Trust
,
2019-1
,
M
,
144A,
FRN
,
4.75
%
,
7/25/58
31
30
c
FHLMC
STACR
Debt
Notes
,
2015-DNA3
,
B
,
FRN
,
13.77
%
,
(
30-day
SOFR
Average
+
9.464
%
),
4/25/28
..................................................
1,567,371
1,601,431
b,c
FHLMC
STACR
REMIC
Trust
,
2022-DNA3,
B2,
144A,
FRN,
14.055%,
(30-day
SOFR
Average
+
9.75%),
4/25/42
.
350,000
391,567
2020-HQA2,
B2,
144A,
FRN,
12.02%,
(30-day
SOFR
Average
+
7.714%),
3/25/50
.
1,000,000
1,214,077
2020-HQA3,
B2,
144A,
FRN,
14.42%,
(30-day
SOFR
Average
+
10.114%),
7/25/50
916,000
1,211,698
2020-DNA4,
B2,
144A,
FRN,
14.42%,
(30-day
SOFR
Average
+
10.114%),
8/25/50
2,647,000
3,511,435
2021-DNA1,
B2,
144A,
FRN,
9.055%,
(30-day
SOFR
Average
+
4.75%),
1/25/51
..
1,330,000
1,470,962
b,c
FHLMC
STACR
Trust
,
2019-FTR3,
B2,
144A,
FRN,
9.22%,
(30-day
SOFR
Average
+
4.914%),
9/25/47
..
371,000
405,558
2019-FTR1,
B2,
144A,
FRN,
12.77%,
(30-day
SOFR
Average
+
8.464%),
1/25/48
.
2,681,000
3,194,430
2018-HQA2,
B2,
144A,
FRN,
15.42%,
(30-day
SOFR
Average
+
11.114%),
10/25/48
2,108,000
2,618,402
2019-DNA1,
B2,
144A,
FRN,
15.17%,
(30-day
SOFR
Average
+
10.864%),
1/25/49
4,520,000
5,597,110
2019-DNA2,
B2,
144A,
FRN,
14.92%,
(30-day
SOFR
Average
+
10.614%),
3/25/49
282,000
337,350
2019-HQA2,
B2,
144A,
FRN,
15.67%,
(30-day
SOFR
Average
+
11.364%),
4/25/49
637,000
770,931
2019-DNA4,
B2,
144A,
FRN,
10.67%,
(30-day
SOFR
Average
+
6.364%),
10/25/49
1,070,000
1,205,200
e
FHLMC,
Structured
Pass-Through
Certificates
,
T-57,
2A1,
FRN,
4.827%,
7/25/43
......................................
8,859
8,555
T-59,
2A1,
FRN,
4.053%,
10/25/43
.....................................
4,516
3,734
FNMA
,
e
2003-W3,
1A4,
FRN,
4.691%,
8/25/42
..................................
12,824
12,382
e
2004-W2,
4A,
FRN,
4.79%,
2/25/44
....................................
2,172
2,141
d,e
2001-79,
BI,
IO,
FRN,
0.244%,
3/25/45
.................................
442,099
2,198
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
See
Notes
to
Schedule
of
Investments
Quarterly
Schedule
of
Investments
7
a
a
Principal
Amount
a
Value
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Financial
Services
(continued)
FNMA,
(continued)
2003-34,
P1,
Strip,
4/25/43
...........................................
$
29,105
$
26,500
c
FNMA
Connecticut
Avenue
Securities
,
2016-C03,
1B,
FRN,
16.17%,
(30-day
SOFR
Average
+
11.864%),
10/25/28
......
2,811,287
3,024,967
2016-C04,
1B,
FRN,
14.67%,
(30-day
SOFR
Average
+
10.364%),
1/25/29
.......
776,740
840,991
2016-C06,
1B,
FRN,
13.67%,
(30-day
SOFR
Average
+
9.364%),
4/25/29
.......
502,172
545,677
2016-C03,
2B,
FRN,
17.17%,
(30-day
SOFR
Average
+
12.864%),
10/25/28
......
464,934
504,571
b
2021-R02,
2M2,
144A,
FRN,
6.305%,
(30-day
SOFR
Average
+
2%),
11/25/41
....
397,532
400,454
e
FNMA
REMIC
Trust
,
2003-W14,
2A,
FRN,
4.915%,
1/25/43
..................................
5,594
5,504
2003-W11,
A1,
FRN,
7.527%,
6/25/33
..................................
206
209
2004-W7,
A2,
FRN,
7.972%,
3/25/34
...................................
2,099
2,115
b
GS
Mortgage-Backed
Securities
Trust
,
2024-RPL4
,
A1
,
144A,
3.9
%
,
9/25/61
.......
588,173
572,272
c
HarborView
Mortgage
Loan
Trust
,
2005-2
,
1A
,
FRN
,
4.952
%
,
(
1-month
SOFR
+
0.634
%
),
5/19/35
..................................................
950,145
264,483
b,c
Home
RE
Ltd.
,
2021-2
,
B1
,
144A,
FRN
,
8.455
%
,
(
30-day
SOFR
Average
+
4.15
%
),
1/25/34
.........................................................
1,000,000
1,020,513
b
HOMES
Trust
,
2024-NQM1
,
A1
,
144A,
5.915
%
,
7/25/69
......................
172,717
173,871
c
J.P.
Morgan
Alternative
Loan
Trust
,
2006-A6
,
1A1
,
FRN
,
4.754
%
,
(
1-month
SOFR
+
0.434
%
),
11/25/36
.................................................
942,676
804,779
b
J.P.
Morgan
Mortgage
Trust
,
2024-VIS2,
A1,
144A,
5.853%,
11/25/64
.................................
1,631,888
1,643,183
c
2024-9,
A11,
144A,
FRN,
5.655%,
(30-day
SOFR
Average
+
1.35%),
2/25/55
.....
2,530,297
2,542,500
b
LHOME
Mortgage
Trust
,
2023-RTL2,
A1,
144A,
8%,
6/25/28
....................................
641,000
643,410
2023-RTL4,
A1,
144A,
7.628%,
11/25/28
................................
781,000
788,775
MFA
Trust
,
2024-NPL1,
A1,
6.33%,
9/25/54
.......................................
593,042
595,079
b
2023-NQM3,
A1,
144A,
6.617%,
7/25/68
................................
360,144
363,029
b,c
Morgan
Stanley
Residential
Mortgage
Loan
Trust
,
2024-3,
AF,
144A,
FRN,
5.655%,
(30-day
SOFR
Average
+
1.35%),
7/25/54
......
1,267,982
1,272,632
2024-4,
AF,
144A,
FRN,
5.655%,
(30-day
SOFR
Average
+
1.35%),
9/25/54
......
1,474,839
1,480,516
b
Saluda
Grade
Alternative
Mortgage
Trust
,
2024-RTL5,
A1,
144A,
7.762%,
4/25/30
.................................
2,609,000
2,627,973
2024-RTL6,
A1,
144A,
7.439%,
7/25/30
.................................
509,000
511,856
b,c
Station
Place
Securitization
Trust
,
2024-5,
A,
144A,
FRN,
5.22%,
(1-month
SOFR
+
0.9%),
8/04/25
..............
1,510,000
1,510,980
2024-10,
A,
144A,
FRN,
5.22%,
(1-month
SOFR
+
0.9%),
10/27/25
............
1,500,000
1,507,969
2025-1,
A,
144A,
FRN,
5.221%,
(1-month
SOFR
+
0.9%),
7/23/26
.............
1,458,000
1,473,958
c
Structured
Asset
Mortgage
Investments
II
Trust
,
2006-AR7
,
A1BG
,
FRN
,
4.554
%
,
(
1-month
SOFR
+
0.234
%
),
8/25/36
....................................
193,181
170,311
b,e
Towd
Point
Mortgage
Trust
,
2019-2
,
A2
,
144A,
FRN
,
3.75
%
,
12/25/58
............
862,000
779,478
c
WaMu
Mortgage
Pass-Through
Certificates
Trust
,
2005-AR8
,
2AC2
,
FRN
,
5.354
%
,
(
1-month
SOFR
+
1.034
%
),
7/25/45
....................................
460,082
443,676
76,507,869
a
a
a
a
a
Total
Residential
Mortgage-Backed
Securities
(Cost
$75,724,715)
.................
76,507,869
Agency
Commercial
Mortgage-Backed
Securities
31.6%
Financial
Services
31.6%
FHLMC
,
3391,
Strip,
4/15/37
................................................
19,400
16,848
e
3117,
AF,
FRN,
Zero
Cpn.,
2/15/36
.....................................
9,880
8,634
d
4953,
AI,
IO,
4%,
2/25/50
............................................
3,989,861
832,076
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
Quarterly
Schedule
of
Investments
See
Notes
to
Schedule
of
Investments
8
a
a
Principal
Amount
a
Value
a
a
a
a
a
Agency
Commercial
Mortgage-Backed
Securities
(continued)
Financial
Services
(continued)
FHLMC,
(continued)
3369,
BO,
Strip,
9/15/37
.............................................
$
1,067
$
903
d
304,
C37,
IO,
3.5%,
12/15/27
.........................................
51,833
1,062
c
3065,
DC,
FRN,
6.605%,
(30-day
SOFR
Average
+
19.517%),
3/15/35
..........
783,226
812,798
d
4018,
DI,
IO,
4.5%,
7/15/41
..........................................
195,391
3,797
c,d
5003,
DS,
IO,
FRN,
1.68%,
(30-day
SOFR
Average
+
5.986%),
8/25/50
.........
6,185,405
840,344
d
5529,
EI,
IO,
4.5%,
11/25/51
.........................................
3,541,442
787,903
c
3408,
EK,
FRN,
8.014%,
(30-day
SOFR
Average
+
25.332%),
4/15/37
..........
100,813
117,356
c
406,
F30,
FRN,
5.455%,
(30-day
SOFR
Average
+
1.15%),
10/25/53
...........
644,834
648,016
c
5391,
FC,
FRN,
5.405%,
(30-day
SOFR
Average
+
1.1%),
3/25/54
.............
486,921
488,523
c,d
4326,
GS,
IO,
FRN,
1.632%,
(30-day
SOFR
Average
+
5.936%),
4/15/44
........
7,325,902
764,525
d
5349,
IB,
IO,
4%,
12/15/46
...........................................
4,383,937
958,030
d
5050,
IM,
IO,
3.5%,
10/25/50
.........................................
8,993,021
1,783,135
d
4136,
IQ,
IO,
3.5%,
11/15/42
.........................................
2,631,797
274,382
d
5071,
IV,
IO,
3%,
12/25/50
...........................................
16,691,984
2,742,737
d
5121,
KI,
IO,
4%,
6/25/51
............................................
6,468,694
1,440,475
c,d
4915,
SD,
IO,
FRN,
1.63%,
(30-day
SOFR
Average
+
5.936%),
9/25/49
.........
7,346,431
830,552
c,d
5558,
SG,
IO,
FRN,
2.09%,
(30-day
SOFR
Average
+
6.4%),
7/25/55
...........
20,855,000
2,145,458
b,c
FHLMC,
Multi-family
Structured
Pass-Through
Certificates
,
2021-MN1,
M2,
144A,
FRN,
8.055%,
(30-day
SOFR
Average
+
3.75%),
1/25/51
...
1,051,000
1,080,017
2021-MN3,
M2,
144A,
FRN,
8.305%,
(30-day
SOFR
Average
+
4%),
11/25/51
....
2,289,000
2,366,250
FNMA
,
d
2020-31,
IO,
4.5%,
5/25/50
..........................................
8,639,046
1,616,572
d
2020-96,
IO,
3%,
1/25/51
............................................
7,127,938
1,178,299
d
2018-51,
BI,
IO,
5.5%,
7/25/38
........................................
1,930,362
112,533
d
2021-14,
CI,
IO,
4.5%,
11/25/49
.......................................
3,902,778
847,923
2008-53,
DO,
Strip,
7/25/38
..........................................
65,920
57,018
c
2024-105,
FC,
FRN,
5.305%,
(30-day
SOFR
Average
+
1%),
1/25/55
...........
2,040,467
2,038,051
d
2012-104,
HI,
IO,
4%,
9/25/27
........................................
329,756
6,850
d
2023-49,
IA,
IO,
3%,
8/25/46
.........................................
7,819,611
994,487
d
2023-49,
IB,
IO,
3.5%,
3/25/47
........................................
6,361,090
998,026
d
2021-3,
IB,
IO,
2.5%,
2/25/51
.........................................
5,657,415
984,257
d
2021-25,
IJ,
IO,
3.5%,
5/25/51
........................................
18,759,975
3,635,353
d
2020-20,
IK,
IO,
3.5%,
3/25/50
........................................
5,408,876
798,968
d
2015-58,
KI,
IO,
6%,
3/25/37
.........................................
3,309,215
554,309
2007-14,
KO,
Strip,
3/25/37
..........................................
1,930
1,624
c,d
2011-123,
KS,
IO,
FRN,
2.18%,
(30-day
SOFR
Average
+
6.486%),
10/25/41
.....
188,053
13,402
d
2020-62,
MI,
IO,
3.5%,
5/25/49
........................................
24,879,159
4,534,466
2006-84,
OT,
Strip,
9/25/36
..........................................
644
538
c,d
2019-83,
QS,
IO,
FRN,
1.53%,
(30-day
SOFR
Average
+
5.836%),
1/25/50
.......
13,176,382
1,852,698
c,d
2019-51,
SA,
IO,
FRN,
1.63%,
(30-day
SOFR
Average
+
5.936%),
9/25/49
.......
5,752,321
763,415
c,d
2018-20,
SB,
IO,
FRN,
1.83%,
(30-day
SOFR
Average
+
6.136%),
3/25/48
.......
3,855,132
380,192
c,d
2023-57,
SC,
IO,
FRN,
1.58%,
(30-day
SOFR
Average
+
5.886%),
10/25/49
......
5,395,409
568,926
c
2008-24,
SP,
FRN,
7.078%,
(30-day
SOFR
Average
+
22.864%),
2/25/38
........
7,965
8,010
c,d
2023-58,
SP,
IO,
FRN,
2.595%,
(30-day
SOFR
Average
+
6.9%),
12/25/53
.......
26,901,155
2,472,251
GNMA
,
d
2012-136,
IO,
3.5%,
11/20/42
.........................................
4,514,172
601,150
d
2014-76,
IO,
5%,
5/20/44
............................................
1,714,930
360,324
d,e
2024-32,
IO,
FRN,
0.7%,
6/16/63
......................................
16,888,648
868,862
d,e
2016-H24,
IO,
FRN,
2.098%,
9/20/66
...................................
7,136,359
467,424
d,e
2017-H09,
IO,
FRN,
1.893%,
4/20/67
...................................
6,312,403
188,305
d
2014-174,
AI,
IO,
3%,
11/16/29
........................................
724,699
20,307
d,e
2014-H21,
AI,
IO,
FRN,
2.189%,
10/20/64
...............................
8,656,956
287,688
d,e
2015-H04,
AI,
IO,
FRN,
1.615%,
12/20/64
...............................
7,174,595
208,469
d,e
2015-H13,
AI,
IO,
FRN,
2.049%,
6/20/65
................................
5,606,458
279,301
d,e
2015-H14,
AI,
IO,
FRN,
2.317%,
6/20/65
................................
13,793,711
646,856
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
See
Notes
to
Schedule
of
Investments
Quarterly
Schedule
of
Investments
9
a
a
Principal
Amount
a
Value
a
a
a
a
a
Agency
Commercial
Mortgage-Backed
Securities
(continued)
Financial
Services
(continued)
GNMA,
(continued)
d,e
2015-H22,
AI,
IO,
FRN,
2.788%,
9/20/65
................................
$
10,387,193
$
494,441
d,e
2016-H03,
AI,
IO,
FRN,
1.973%,
1/20/66
................................
5,739,027
220,132
d,e
2016-H10,
AI,
IO,
FRN,
1.788%,
4/20/66
................................
10,666,709
263,990
d,e
2016-H19,
AI,
IO,
FRN,
3.198%,
9/20/66
................................
9,082,225
382,934
c,d
2019-158,
AS,
IO,
FRN,
1.724%,
(1-month
SOFR
+
6.036%),
9/16/43
...........
4,433,939
459,707
c,d
2023-7,
AS,
IO,
FRN,
2.598%,
(30-day
SOFR
Average
+
6.9%),
1/20/53
.........
27,631,224
2,159,601
c,d
2023-56,
AS,
IO,
FRN,
1.858%,
(30-day
SOFR
Average
+
6.16%),
4/20/53
.......
28,630,303
2,123,338
d
2014-182,
BI,
IO,
4%,
1/20/39
........................................
3,248,459
196,953
d,e
2017-H04,
BI,
IO,
FRN,
2.501%,
2/20/67
................................
6,095,002
246,411
d,e
2017-H23,
BI,
IO,
FRN,
1.902%,
11/20/67
...............................
5,122,548
176,047
d,e
2020-H05,
BI,
IO,
FRN,
2.615%,
3/20/70
................................
2,490,487
123,929
d
2009-121,
CI,
IO,
4.5%,
12/16/39
......................................
2,684,480
447,940
d
2022-125,
CI,
IO,
5%,
6/20/52
........................................
8,479,213
1,658,099
d,e
2015-H20,
CI,
IO,
FRN,
2.939%,
8/20/65
................................
8,879,255
423,194
d,e
2016-H06,
DI,
IO,
FRN,
2.059%,
7/20/65
................................
4,513,123
161,344
d,e
2020-H18,
DI,
IO,
FRN,
2.669%,
11/20/70
...............................
1,864,592
103,733
c,d
2023-181,
DS,
IO,
FRN,
1.698%,
(30-day
SOFR
Average
+
6%),
11/20/53
.......
28,260,915
1,786,420
c,d
2023-173,
ES,
IO,
FRN,
2.648%,
(30-day
SOFR
Average
+
6.95%),
11/20/53
.....
9,301,577
656,169
c,d
2024-4,
ES,
IO,
FRN,
2.648%,
(30-day
SOFR
Average
+
6.95%),
1/20/54
........
12,460,834
1,032,071
c
2023-152,
FB,
FRN,
5.452%,
(30-day
SOFR
Average
+
1.15%),
4/20/51
.........
931,078
946,474
d
2021-176,
GI,
IO,
3%,
10/20/51
.......................................
6,700,030
1,025,050
d
2024-4,
GI,
IO,
5%,
2/20/53
..........................................
3,304,283
810,230
d,e
2016-H27,
GI,
IO,
FRN,
2.359%,
12/20/66
...............................
11,570,822
641,741
d,e
2017-H08,
GI,
IO,
FRN,
2.534%,
2/20/67
................................
6,575,817
595,953
d
2013-34,
HI,
IO,
4.5%,
3/20/43
........................................
2,868,417
481,452
d,e
2015-H10,
HI,
IO,
FRN,
2.04%,
4/20/65
.................................
6,669,162
336,839
c,d
2024-51,
HS,
IO,
FRN,
1.698%,
(30-day
SOFR
Average
+
6%),
3/20/54
.........
13,906,692
865,941
d
2020-138,
IB,
IO,
2.5%,
9/20/50
.......................................
21,817,040
3,125,998
d
2014-102,
IG,
IO,
3.5%,
3/16/41
.......................................
283,259
5,855
d
2021-177,
IG,
IO,
3.5%,
10/20/51
......................................
12,968,282
2,043,603
d
2024-4,
IG,
IO,
5%,
12/20/52
.........................................
5,208,131
921,052
d
2013-39,
IJ,
IO,
4.5%,
3/20/43
........................................
3,801,959
593,926
d,e
2016-H13,
IK,
IO,
FRN,
2.655%,
6/20/66
................................
5,331,643
469,078
d
2021-89,
IL,
IO,
4.5%,
5/20/51
........................................
6,403,347
1,499,034
d
2021-8,
IP,
IO,
2.5%,
1/20/51
.........................................
23,820,541
3,459,074
d
2021-188,
IW,
IO,
3%,
10/20/51
.......................................
7,237,621
1,258,454
d
2020-175,
JI,
IO,
3.5%,
11/20/50
......................................
9,591,354
1,810,708
d,e
2016-H24,
JI,
IO,
FRN,
2.758%,
11/20/66
................................
3,037,058
165,474
d,e
2018-H19,
JI,
IO,
FRN,
2.634%,
10/20/68
................................
8,029,465
300,342
c
2023-140,
JS,
FRN,
5.345%,
(30-day
SOFR
Average
+
16.05%),
9/20/53
........
909,781
929,851
d
2015-52,
KI,
IO,
3.5%,
11/20/40
.......................................
779,972
34,576
d,e
2017-H03,
KI,
IO,
FRN,
2.571%,
1/20/67
................................
8,377,421
650,456
c,d
2020-96,
KS,
IO,
FRN,
1.718%,
(1-month
SOFR
+
6.036%),
7/20/50
...........
12,405,510
1,675,257
d
2016-75,
LI,
IO,
6%,
1/20/40
.........................................
2,054,560
301,530
d
2015-89,
LI,
IO,
5%,
12/20/44
.........................................
3,029,045
556,878
c,d
2024-126,
LS,
IO,
FRN,
2.348%,
(30-day
SOFR
Average
+
6.65%),
8/20/54
......
28,932,913
2,426,820
d
2012-38,
MI,
IO,
4%,
3/20/42
.........................................
4,667,105
836,681
d
2015-53,
MI,
IO,
4%,
4/16/45
.........................................
2,648,017
528,758
d
2021-7,
MI,
IO,
2.5%,
1/20/51
.........................................
10,900,196
1,643,466
d,e
2017-H06,
MI,
IO,
FRN,
2.273%,
2/20/67
................................
8,533,942
357,555
d,e
2017-H10,
MI,
IO,
FRN,
1.904%,
4/20/67
................................
6,606,442
193,199
c,d
2020-112,
MS,
IO,
FRN,
1.868%,
(1-month
SOFR
+
6.186%),
8/20/50
..........
4,419,079
651,320
d
2021-97,
NI,
IO,
2.5%,
8/20/49
........................................
8,578,016
1,040,354
d
2020-123,
NI,
IO,
2.5%,
8/20/50
.......................................
13,660,194
2,018,023
d
2021-76,
NI,
IO,
3%,
8/20/50
.........................................
9,534,869
1,614,380
d,e
2016-H23,
NI,
IO,
FRN,
2.998%,
10/20/66
...............................
9,942,521
437,759
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
Quarterly
Schedule
of
Investments
See
Notes
to
Schedule
of
Investments
10
a
a
Principal
Amount
a
Value
a
a
a
a
a
Agency
Commercial
Mortgage-Backed
Securities
(continued)
Financial
Services
(continued)
GNMA,
(continued)
d,e
2017-H08,
NI,
IO,
FRN,
2.267%,
3/20/67
................................
$
5,455,765
$
176,061
c,d
2024-4,
NS,
IO,
FRN,
1.448%,
(30-day
SOFR
Average
+
5.75%),
1/20/54
........
14,960,857
937,326
d
2013-6,
OI,
IO,
5%,
1/20/43
..........................................
4,890,037
986,520
d,e
2016-H07,
PI,
IO,
FRN,
2.249%,
3/20/66
................................
10,353,608
578,684
c
2023-66,
PS,
FRN,
4.62%,
(30-day
SOFR
Average
+
15.375%),
5/20/53
.........
2,491,444
2,626,478
d
2013-51,
QI,
IO,
5%,
2/20/43
.........................................
1,959,391
213,852
d,e
2016-H18,
QI,
IO,
FRN,
3.107%,
6/20/66
................................
5,517,767
308,493
c,d
2024-64,
QS,
IO,
FRN,
1.698%,
(30-day
SOFR
Average
+
6%),
4/20/54
.........
37,941,415
2,955,887
c,d
2023-19,
S,
IO,
FRN,
1.618%,
(1-month
SOFR
+
5.936%),
11/20/49
............
22,541,243
2,620,138
c,d
2024-11,
S,
IO,
FRN,
2.098%,
(30-day
SOFR
Average
+
6.4%),
1/20/54
.........
9,858,984
617,031
c,d
2013-87,
SA,
IO,
FRN,
1.768%,
(1-month
SOFR
+
6.086%),
6/20/43
...........
5,617,206
618,519
c,d
2020-47,
SA,
IO,
FRN,
1.568%,
(1-month
SOFR
+
5.886%),
5/20/44
...........
8,996,225
1,000,773
c,d
2014-119,
SA,
IO,
FRN,
1.168%,
(1-month
SOFR
+
5.486%),
8/20/44
...........
2,566,328
236,586
c,d
2024-7,
SA,
IO,
FRN,
2.098%,
(30-day
SOFR
Average
+
6.4%),
1/20/54
.........
9,416,817
647,992
c,d
2010-20,
SC,
IO,
FRN,
1.718%,
(1-month
SOFR
+
6.036%),
2/20/40
...........
356,908
40,214
c,d
2016-80,
SD,
IO,
FRN,
1.668%,
(1-month
SOFR
+
5.986%),
6/20/46
...........
5,536,960
693,437
c,d
2019-121,
SD,
IO,
FRN,
1.568%,
(1-month
SOFR
+
5.886%),
10/20/49
.........
6,960,329
870,853
c,d
2019-125,
SG,
IO,
FRN,
1.618%,
(1-month
SOFR
+
5.936%),
10/20/49
.........
7,152,403
856,692
c,d
2022-209,
SG,
IO,
FRN,
1.298%,
(30-day
SOFR
Average
+
5.6%),
12/20/52
......
30,990,981
2,225,354
c,d
2022-120,
SH,
IO,
FRN,
1.748%,
(30-day
SOFR
Average
+
6.05%),
7/20/52
......
14,874,954
1,331,441
c,d
2011-156,
SK,
IO,
FRN,
2.168%,
(1-month
SOFR
+
6.486%),
4/20/38
...........
4,832,697
675,973
c,d
2021-98,
SK,
IO,
FRN,
1.868%,
(1-month
SOFR
+
6.186%),
6/20/51
...........
8,007,442
1,094,313
c,d
2023-103,
SK,
IO,
FRN,
1.698%,
(30-day
SOFR
Average
+
6%),
7/20/53
........
14,117,115
978,226
c,d
2023-13,
SL,
IO,
FRN,
1.948%,
(30-day
SOFR
Average
+
6.25%),
1/20/53
.......
14,867,032
1,195,069
c,d
2021-59,
SM,
IO,
FRN,
1.868%,
(1-month
SOFR
+
6.186%),
4/20/51
...........
3,692,727
494,719
c,d
2021-77,
SM,
IO,
FRN,
1.868%,
(1-month
SOFR
+
6.186%),
5/20/51
...........
11,401,904
1,565,392
c,d
2013-182,
SP,
IO,
FRN,
2.268%,
(1-month
SOFR
+
6.586%),
12/20/43
..........
2,296,442
307,424
c,d
2023-20,
SP,
IO,
FRN,
2.698%,
(30-day
SOFR
Average
+
7%),
2/20/53
.........
12,659,432
1,022,459
c,d
2019-110,
SQ,
IO,
FRN,
1.618%,
(1-month
SOFR
+
5.936%),
9/20/49
..........
4,921,289
568,813
c,d
2023-24,
SQ,
IO,
FRN,
1.948%,
(30-day
SOFR
Average
+
6.25%),
2/20/53
.......
6,460,445
520,116
c,d
2024-30,
SU,
IO,
FRN,
1.548%,
(30-day
SOFR
Average
+
5.85%),
2/20/54
.......
19,963,722
1,488,279
d
2021-182,
TI,
IO,
3.5%,
10/20/51
......................................
4,149,554
819,429
d,e
2015-H23,
TI,
IO,
FRN,
1.958%,
9/20/65
................................
5,360,920
181,269
d
2020-162,
UI,
IO,
2.5%,
10/20/50
......................................
7,200,664
1,000,815
c,d
2024-30,
WS,
IO,
FRN,
1.498%,
(30-day
SOFR
Average
+
5.8%),
2/20/54
.......
18,404,493
1,193,776
d,e
2015-H16,
XI,
IO,
FRN,
2.828%,
7/20/65
................................
3,167,762
176,460
131,485,132
a
a
a
a
a
Total
Agency
Commercial
Mortgage-Backed
Securities
(Cost
$123,423,111)
........
131,485,132
Total
Long
Term
Investments
(Cost
$905,875,454)
...............................
910,856,343
a
a
a
a
a
Short
Term
Investments
12.3%
U.S.
Government
and
Agency
Securities
3.4%
h,i
U.S.
Treasury
Bills,
4.22%,
10/02/25
.....................................
14,000,000
13,847,354
Total
U.S.
Government
and
Agency
Securities
(Cost
$13,853,409)
.................
13,847,354
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
See
Notes
to
Schedule
of
Investments
Quarterly
Schedule
of
Investments
11
Short
Term
Investments
(continued)
a
a
Shares
a
Value
a
Money
Market
Funds
8.9%
j,k
Putnam
Short
Term
Investment
Fund,
Class
P,
4.581%
.......................
37,146,774
$
37,146,774
Total
Money
Market
Funds
(Cost
$37,146,774)
..................................
37,146,774
Total
Short
Term
Investments
(Cost
$51,000,183)
................................
50,994,128
a
Total
Investments
(Cost
$956,875,637)
231.2%
..................................
$961,850,471
TBA
Sale
Commitments
(0.2)%
................................................
(944,531)
Other
Assets,
less
Liabilities
(131.0)%
.........................................
(544,822,280)
Net
Assets
100.0%
...........................................................
$416,083,660
Principal
Amount
a
a
a
a
TBA
Sale
Commitments
(0.2)%
Mortgage-Backed
Securities
(0.2)%
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
(0.2)%
l
Uniform
Mortgage-Backed
Securities,
TBA,
4.5%,
7/25/55
.....................
(1,000,000)
(944,531)
Total
TBA
Sale
Commitments
(Cost
$(940,117))
.................................
$(944,531)
†
Rounds
to
less
than
0.1%
of
net
assets.
a
This
security
was
pledged,
or
purchased
with
cash
that
was
pledged,
to
the
Fund
for
collateral
on
certain
derivative
contracts.
b
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
June
30,
2025,
the
aggregate
value
of
these
securities
was
$129,785,561,
representing
31.2%
of
net
assets.
c
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
d
Investment
in
an
interest-only
security
entitles
holders
to
receive
only
the
interest
payment
on
the
underlying
instruments.
The
principal
amount
shown
is
the
notional
amount
of
the
underlying
instruments.
e
Adjustable
rate
security
with
an
interest
rate
that
is
not
based
on
a
published
reference
index
and
spread.
The
rate
is
based
on
the
structure
of
the
agreement
and
current
market
conditions.
The
coupon
rate
shown
represents
the
rate
at
period
end.
f
Security
purchased
on
a
to-be-announced
(TBA)
basis.
g
Adjustable
Rate
Mortgage-Backed
Security
(ARM);
the
rate
shown
is
the
effective
rate
at
period
end.
ARM
rates
are
not
based
on
a
published
reference
rate
and
spread;
they
are
based
on
the
weighted
average
rates
of
the
underlying
mortgage
loans,
less
the
applicable
servicing
and
guarantee
fees
(MBS
margin).
h
The
rate
shown
represents
the
yield
at
period
end.
i
A
portion
or
all
of
the
security
has
been
segregated
as
collateral
for
certain
derivative
contracts.
At
June
30,
2025,
the
value
of
this
security
pledged
amounted
to
$4,163,109,
representing
1.0%
net
assets.
j
See
Note
3
regarding
investments
in
affiliated
management
investment
companies.
k
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
l
Security
sold
on
a
to-be-announced
(TBA)
basis
resulting
in
a
short
position.
As
such,
the
Fund
is
not
subject
to
fees
and
expenses
associated
with
short
sale
transactions.
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
Quarterly
Schedule
of
Investments
See
Notes
to
Schedule
of
Investments
12
At
June
30,
2025,
the
Fund
had
the
following futures
contracts
outstanding.
At
June
30,
2025,
the
Fund
had
the
following forward
premium
swap
options contracts
outstanding. 
Futures
Contracts
Description
Type
Number
of
Contracts
Notional
Amount
*
Expiration
Date
Value/
Unrealized
Appreciation
(Depreciation)
Interest
rate
contracts
U.S.
Treasury
2
Year
Notes
.....................
Short
257
$
53,462,024
9/30/25
$
(207,172)
Total
Futures
Contracts
......................................................................
$(207,172)
*
As
of
period
end.
Forward
Premium
Swap
Option
Contracts
Fixed
right
or
obligation
to
receive
or
(pay)/
Floating
rate
index/Maturity
date
Counter
par
t
y
Expiration
date/strike
Notional/
Contract
amount
*
Premium
receivable/
(payable)
Unrealized
appreciation/
(depreciation)
a
a
a
a
a
(3.833%)/1
day
SOFR/Sep-35/(Purchased)
BNDP
9/08/25
/
3.833%
13,289,300
$
316,950
$
(208,480)
3.833%/1
day
SOFR/Sep-35/(Purchased)
BNDP
9/08/25
/
3.833%
13,289,300
316,950
(44,069)
3.3%/1
day
SOFR/Feb-27/(Written)
BNDP
2/05/26
/
3.3%
180,000,000
(396,000)
(169,672)
3.85%/1
day
SOFR/Feb-27/(Purchased)
BNDP
2/05/26
/
3.85%
120,000,000
498,000
282,082
(3.56%)/1
day
SOFR/Nov-27/(Purchased)
BOFA
11/24/25
/
3.56%
213,943,700
1,234,291
(717,507)
3.55%/1
day
SOFR/Nov-27/(Written)
BOFA
11/24/25
/
3.55%
213,943,700
(1,256,179)
(452,769)
3.725%/1
day
SOFR/Nov-36/(Purchased)
BOFA
11/23/26
/
3.725%
26,602,700
1,300,872
(348,257)
(4.225%)/1
day
SOFR/Nov-36/(Purchased)
BOFA
11/23/26
/
4.225%
26,602,700
1,362,058
(721,384)
3.428%/1
day
SOFR/Aug-37/(Purchased)
BOFA
8/13/27
/
3.428%
23,866,000
1,373,488
(647,397)
(3.428%)/1
day
SOFR/Aug-37/(Purchased)
BOFA
8/13/27
/
3.428%
23,866,000
1,373,488
180,795
3.61%/1
day
SOFR/Oct-34/(Purchased)
BOFA
10/09/29
/
3.61%
17,140,800
672,777
(157,840)
(3.61%)/1
day
SOFR/Oct-34/(Purchased)
BOFA
10/09/29
/
3.61%
17,140,800
672,776
46,366
3.04%/1
day
SOFR/Oct-35/(Written)
CITI
10/03/25
/
3.04%
19,064,700
(190,647)
150,707
3.54%/1
day
SOFR/Oct-35/(Purchased)
CITI
10/03/25
/
3.54%
19,064,700
480,431
(278,794)
(4%)/1
day
SOFR/Dec-30/(Purchased)
CITI
12/08/25
/
4%
21,637,500
244,504
(180,321)
(4.608%)/1
day
SOFR/May-56/(Purchased)
CITI
5/26/26
/
4.608%
2,873,200
104,297
(44,376)
3.965%/1
day
SOFR/Mar-38/(Purchased)
DBAB
3/06/28
/
3.965%
11,892,700
648,152
(30,711)
(3.965%)/1
day
SOFR/Mar-38/(Purchased)
DBAB
3/06/28
/
3.965%
11,892,700
648,152
(46,584)
4.33%/1
day
SOFR/May-52/(Purchased)
DBAB
5/19/32
/
4.33%
3,640,400
455,960
18,951
(4.33%)/1
day
SOFR/May-52/(Purchased)
DBAB
5/19/32
/
4.33%
3,640,400
455,960
(33,172)
3.15%/1
day
SOFR/Jul-35/(Written)
GSCO
7/03/25
/
3.15%
31,456,700
(110,098)
109,993
3.85%/1
day
SOFR/Jul-35/(Written)
GSCO
7/03/25
/
3.85%
31,456,700
(511,958)
89,432
3.7%/1
day
SOFR/Jul-35/(Purchased)
GSCO
7/03/25
/
3.7%
62,913,400
754,961
(562,242)
2.35%/1
day
SOFR/Mar-59/(Purchased)
GSCO
3/12/29
/
2.35%
13,681,500
797,632
(424,882)
2.85%/1
day
SOFR/Oct-30/(Purchased)
MCML
10/09/25
/
2.85%
21,637,500
145,676
(93,606)
(4.5%)/1
day
SOFR/Oct-30/(Written)
MCML
10/09/25
/
4.5%
21,637,500
(70,448)
64,661
(4.01%)/1
day
SOFR/Mar-52/(Purchased)
MCML
3/29/32
/
4.01%
4,626,600
554,729
41,814
4.01%/1
day
SOFR/Mar-52/(Purchased)
MCML
3/29/32
/
4.01%
4,626,600
554,729
(47,771)
(4.825%)/1
day
SOFR/May-57/(Purchased)
NATW
4/30/27
/
4.825%
12,604,500
456,283
(31,260)
Unrealized
appreciation
984,801
Unrealized
(depreciation)
(5,241,094)
Total
$(4,256,293)
*
In
U.S.
dollars
unless
otherwise
indicated.
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
See
Notes
to
Schedule
of
Investments
Quarterly
Schedule
of
Investments
13
At
June
30,
2025,
the
Fund
had
the
following credit
default
swap
contracts outstanding.
Credit
Default
Swap
Contracts
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
OTC
Swap
Contracts
Contracts
to
Buy
Protection
(c)
Traded
Index
CMBX.NA.BB.10
(5.00)%
Monthly
CITI
11/17/59
711,000
$
377,202
$
286,537
$
90,665
CMBX.NA.BB.10
(5.00)%
Monthly
MLCO
11/17/59
31,000
16,446
1,764
14,682
CMBX.NA.BB.13
(5.00)%
Monthly
GSCO
12/16/72
3,448,000
1,275,406
1,281,422
(6,016)
CMBX.NA.BB.6
.
(5.00)%
Monthly
JPHQ
5/11/63
216,000
17,475
111,197
(93,722)
CMBX.NA.BB.8
.
(5.00)%
Monthly
CITI
10/17/57
65,000
29,314
28,145
1,169
CMBX.NA.BB.8
.
(5.00)%
Monthly
GSCO
10/17/57
130,000
58,628
53,080
5,548
CMBX.NA.BB.8
.
(5.00)%
Monthly
MSCO
10/17/57
2,165,000
976,379
950,911
25,468
CMBX.
NA.BBB-.10
..
(3.00)%
Monthly
CITI
11/17/59
2,354,000
443,337
707,526
(264,189)
CMBX.
NA.BBB-.10
..
(3.00)%
Monthly
MSCO
11/17/59
1,792,000
337,493
579,466
(241,973)
CMBX.
NA.BBB-.11
..
(3.00)%
Monthly
GSCO
11/18/54
3,086,000
365,383
385,335
(19,952)
CMBX.
NA.BBB-.12
..
(3.00)%
Monthly
CITI
8/17/61
4,531,000
784,324
1,285,860
(501,536)
CMBX.
NA.BBB-.12
..
(3.00)%
Monthly
GSCO
8/17/61
1,017,000
176,045
184,586
(8,541)
CMBX.
NA.BBB-.13
..
(3.00)%
Monthly
GSCO
12/16/72
2,034,000
405,274
426,461
(21,187)
CMBX.NA.BBB-.8
(3.00)%
Monthly
CITI
10/17/57
784,000
127,714
151,449
(23,735)
CMBX.NA.BBB-.8
(3.00)%
Monthly
MSCO
10/17/57
1,274,000
207,536
262,257
(54,721)
CMBX.NA.BBB-.9
(3.00)%
Monthly
MSCO
9/17/58
1,017,000
173,483
182,679
(9,196)
Contracts
to
Sell
Protection
(c)(d)
Traded
Index
CMBX.NA.A.13
.
2.00%
Monthly
MLCO
12/16/72
2,026,000
(126,274)
(266,877)
140,603
Investment
Grade
CMBX.NA.BB.10
5.00%
Monthly
JPHQ
11/17/59
360,000
(190,988)
(28,886)
(162,102)
Below
Investment
Grade
CMBX.NA.BB.13
5.00%
Monthly
CITI
12/16/72
2,413,000
(892,562)
(1,031,696)
139,134
Below
Investment
Grade
CMBX.NA.BB.6
.
5.00%
Monthly
CITI
5/11/63
1,462,000
(118,279)
(254,204)
135,925
Below
Investment
Grade
CMBX.NA.BB.6
.
5.00%
Monthly
GSCO
5/11/63
37,000
(2,993)
(6,423)
3,430
Below
Investment
Grade
CMBX.NA.BB.6
.
5.00%
Monthly
MLCO
5/11/63
1,670,000
(135,107)
(186,736)
51,629
Below
Investment
Grade
CMBX.
NA.BBB-.16
..
3.00%
Monthly
CITI
4/17/65
140,000
(21,551)
(31,824)
10,273
Investment
Grade
CMBX.
NA.BBB-.16
..
3.00%
Monthly
GSCO
4/17/65
141,000
(21,705)
(28,955)
7,250
Investment
Grade
CMBX.
NA.BBB-.16
..
3.00%
Monthly
MSCO
4/17/65
69,000
(10,622)
(15,685)
5,063
Investment
Grade
Total
OTC
Swap
Contracts
..............................................
$4,251,358
$5,027,389
$(776,031)
Putnam
Mortgage
Securities
Fund
Schedule
of
Investments
(unaudited)
Quarterly
Schedule
of
Investments
See
Notes
to
Schedule
of
Investments
14
At
June
30,
2025,
the
Fund
had
the
following interest
rate swap
contracts
outstanding.
See
A
bbreviations
on
page
17
.
Credit
Default
Swap
Contracts
(continued)
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
OTC
Swap
Contracts
(continued)
Contracts
to
Sell
Protection
(c)(d)
(continued)
Traded
Index
(continued)
Total
Credit
Default
Swap
Contracts
....................................
$4,251,358
$
5,027,389
$(776,031)
(a)
In
U.S.
dollars
unless
otherwise
indicated.
For
contracts
to
sell
protection,
the
notional
amount
is
equal
to
the
maximum
potential
amount
of
the
future
payments
and
no
recourse
provisions
have
been
entered
into
in
association
with
the
contracts.
(b)
Based
on
Standard
and
Poor's
(S&P)
Rating
for
single
name
swaps
and
internal
ratings
for
index
swaps.
Internal
ratings
based
on
mapping
into
equivalent
ratings
from
external
vendors.
(c)
Performance
triggers
for
settlement
of
contract
include
default,
bankruptcy
or
restructuring
for
single
name
swaps,
and
failure
to
pay
or
bankruptcy
of
the
underlying
securities
for
traded
index
swaps.
(d)
The
fund
enters
contracts
to
sell
protection
to
create
a
long
credit
position.
Interest
Rate
Swap
Contracts
Description
Payment
Frequency
Maturity
Date
Notional
Amount
*
Value
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
aa
aa
aa
aa
Centrally
Cleared
Swap
Contracts
Receive
Floating
1-day
SOFR
..............
Annual
Pay
Fixed
3.58%
....
Annual
9/17/27
775,226,000
$
(3,390,946)
$
(1,013,598)
$
(2,377,348)
Receive
Fixed
3.63%
..
Annual
Pay
Floating
1-day
SOFR
............
Annual
9/17/30
342,839,000
3,768,486
1,121,663
2,646,823
Receive
Floating
1-day
SOFR
..............
Annual
Pay
Fixed
3.88%
....
Annual
9/17/35
245,202,000
(4,009,123)
(748,047)
(3,261,076)
Receive
Fixed
4.03%
..
Annual
Pay
Floating
1-day
SOFR
............
Annual
9/17/55
11,402,000
242,866
169,282
73,584
Total
Interest
Rate
Swap
Contracts
.................................
$(3,388,717)
$
(470,700)
$(2,918,017)
*
In
U.S.
dollars
unless
otherwise
indicated.
Putnam
Mortgage
Securities
Fund
15
Quarterly
Schedule
of
Investments
Notes
to
Schedule
of
Investments
(unaudited)
1.
Organization
Putnam
Mortgage
Securities
Fund (Fund)
is
registered under
the
Investment
Company
Act
of
1940
(1940
Act)
as
an
open-end
management
investment
company.
The
Fund
follows
the
accounting
and
reporting
guidance
in
Financial
Accounting
Standards
Board
(FASB)
Accounting
Standards
Codification
Topic
946,
Financial
Services
–
Investment
Companies
(ASC
946)
and
applies
the
specialized
accounting
and
reporting
guidance
in
U.S.
Generally
Accepted
Accounting
Principles
(U.S.
GAAP),
including,
but
not
limited
to,
ASC
946.
2. Financial
Instrument
Valuation
The
Fund's investments
in
financial
instruments
are
carried
at
fair
value
daily.
Fair
value
is
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
on
the
measurement
date.
The
Fund
calculates the
net
asset
value
(NAV)
per
share
each
business
day
as
of
4
p.m.
Eastern
time
or
the
regularly
scheduled
close
of
the
New
York
Stock
Exchange
(NYSE),
whichever
is
earlier.
Under
compliance
policies
and
procedures
approved
by
the Fund's
Board
of
Trustees
(the
Board),
the
Board
has
designated
the
Fund's
investment
manager
as
the
valuation
designee
and
has
responsibility
for
oversight
of
valuation.
The
investment
manager
is
assisted
by
the
Fund's administrator
in
performing
this responsibility,
including
leading
the
cross-functional
Valuation
Committee
(VC).
The
Fund
may
utilize
independent
pricing
services,
quotations
from
securities
and
financial
instrument
dealers,
and
other
market
sources
to
determine
fair
value.
Debt
securities
generally
trade
in
the
OTC market
rather
than
on
a
securities
exchange.
The Fund's
pricing
services
use
multiple
valuation
techniques
to
determine
fair
value.
In
instances
where
sufficient
market
activity
exists,
the
pricing
services
may
utilize
a
market-based
approach
through
which
quotes
from
market
makers
are
used
to
determine
fair
value.
In
instances
where
sufficient
market
activity
may
not
exist
or
is
limited,
the
pricing
services
also
utilize
proprietary
valuation
models
which
may
consider
market
characteristics
such
as
benchmark
yield
curves,
credit
spreads,
estimated
default
rates,
anticipated
market
interest
rate
volatility,
coupon
rates,
anticipated
timing
of
principal
repayments,
underlying
collateral,
and
other
unique
security
features
in
order
to
estimate
the
relevant
cash
flows,
which
are
then
discounted
to
calculate
the
fair
value.
Investments
in
open-end
mutual
funds
are
valued
at
the
closing
NAV.
Derivative
financial
instruments
listed
on
an
exchange
are
valued
at
the
official
closing
price
of
the
day.
Certain
derivative
financial
instruments
are
centrally
cleared
or trade
in
the
OTC
market.
The Fund’s
pricing
services
use
various
techniques
including
industry
standard
option
pricing
models
and
proprietary
discounted
cash
flow
models
to
determine
the
fair
value
of
those
instruments.
The Fund’s
net
benefit
or
obligation
under
the
derivative
contract,
as
measured
by
the
fair
value
of
the
contract,
is
included
in
net
assets.
The
Fund
has procedures
to
determine
the
fair
value
of
financial
instruments
for
which
market
prices
are
not
reliable
or
readily
available.
Under
these
procedures,
the
Fund
primarily employs
a
market-based
approach
which
may
use
related
or
comparable
assets
or
liabilities,
recent
transactions,
market
multiples,
and
other
relevant
information
for
the
investment
to
determine
the
fair
value
of
the
investment.
An
income-based
valuation
approach
may
also
be
used
in
which
the
anticipated
future
cash
flows
of
the
investment
are
discounted
to
calculate
fair
value.
Discounts
may
also
be
applied
due
to
the
nature
or
duration
of
any
restrictions
on
the
disposition
of
the
investments.
Due
to
the
inherent
uncertainty
of
valuations
of
such
investments,
the
fair
values
may
differ
significantly
from
the
values
that
would
have
been
used
had
an
active
market
existed. 
3.
Investments
in
Affiliated
Management
Investment
Companies
The
Fund
invests
in
one
or
more
affiliated
management
investment
companies.
As
defined
in
the
1940
Act,
an
investment
is
deemed
to
be
a
"Controlled
Affiliate"
of
a
fund
when
a
fund
owns,
either
directly
or
indirectly,
25%
or
more
of
the
affiliated
fund's
outstanding
shares
or
has
the
power
to
exercise
control
over
management
or
policies
of
such
fund.
The
Fund
does
not
invest
for
purposes
of
exercising
a
controlling
influence
over
the
management
or
policies.
During
the
period
ended
June
30,
2025,
the
Fund
held
investments
in
affiliated
management
investment
companies
as
follows:
Putnam
Mortgage
Securities
Fund
Notes
to
Schedule
of
Investments
(unaudited)
16
Quarterly
Schedule
of
Investments
4. Fair
Value
Measurements
The Fund
follows a
fair
value
hierarchy
that
distinguishes
between
market
data
obtained
from
independent
sources
(observable
inputs)
and
the Fund's
own
market
assumptions
(unobservable
inputs).
These
inputs
are
used
in
determining
the
value
of
the
Fund's
financial
instruments
and
are
summarized
in
the
following
fair
value
hierarchy:
• Level
1
–
quoted
prices
in
active
markets
for
identical
financial
instruments
• Level
2
–
other
significant
observable
inputs
(including
quoted
prices
for
similar
financial
instruments,
interest
rates,
prepayment
speed,
credit
risk,
etc.)
• Level
3
–
significant
unobservable
inputs
(including
the
Fund's
own
assumptions
in
determining
the
fair
value
of
financial
instruments)
The
input
levels
are
not
necessarily
an
indication
of
the
risk
or
liquidity
associated
with
financial
instruments
at
that
level.
A
summary
of
inputs
used
as
of
June
30,
2025,
in
valuing
the Fund's
assets
and
liabilities carried
at
fair
value,
is
as
follows:  
    aa
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares
Held
at
End
of
Period
Investment
Income
a      
a  
a  
a  
a  
a  
a  
a  
Putnam
Mortgage
Securities
Fund
Non-Controlled
Affiliates
Dividends
Putnam
Short
Term
Investment
Fund,
Class
P,
4.581%
......
$64,764,753
$178,132,396
$(205,750,375)
$—
$—
$37,146,774
37,146,774
$1,305,041
Total
Affiliated
Securities
...
$64,764,753
$178,132,396
$(205,750,375)
$—
$—
$37,146,774
$1,305,041
Level
1
Level
2
Level
3
Total
Putnam
Mortgage
Securities
Fund
Assets:
Investments
in
Securities:
U.S.
Government
and
Agency
Securities
.......
$
—
$
344,083
$
—
$
344,083
Asset-Backed
Securities
...................
—
9,823,346
—
9,823,346
Commercial
Mortgage-Backed
Securities
......
—
124,720,311
—
124,720,311
Mortgage-Backed
Securities
................
—
567,975,602
—
567,975,602
Residential
Mortgage-Backed
Securities
.......
—
76,507,869
—
76,507,869
Agency
Commercial
Mortgage-Backed
Securities
—
131,485,132
—
131,485,132
Short
Term
Investments
...................
37,146,774
13,847,354
—
50,994,128
Total
Investments
in
Securities
...........
$37,146,774
$924,703,697
$—
$961,850,471
Other
Financial
Instruments:
Forward
Premium
Swap
Option
Contracts
.....
$—
$984,801
$—
$984,801
Swap
Contracts
.........................
—
3,351,246
—
3,351,246
Total
Other
Financial
Instruments
.........
$—
$4,336,047
$—
$4,336,047
Liabilities:
Other
Financial
Instruments:
TBA
Sale
Commitments
...................
$
—
$
944,531
$
—
$
944,531
Forward
Premium
Swap
Option
Contracts
......
—
5,241,094
—
5,241,094
Futures
Contracts
........................
207,172
—
—
207,172
Swap
Contracts
.........................
—
7,045,294
—
7,045,294
Total
Other
Financial
Instruments
.........
$207,172
$13,230,919
$—
$13,438,091
3.
Investments
in
Affiliated
Management
Investment
Companies
(continued)
Putnam
Mortgage
Securities
Fund
Notes
to
Schedule
of
Investments
(unaudited)
17
Quarterly
Schedule
of
Investments
Abbreviations
Counterparty
BNDP
BNP
Paribas
SA
BOFA
Bank
of
America
NA
CITI
Citibank
NA
DBAB
Deutsche
Bank
AG
GSCO
Goldman
Sachs
Group,
Inc.
JPHQ
JPMorgan
Chase
Bank
NA
MCML
Mizuho
Capital
Markets
LLC
MLCO
Merrill
Lynch
International
&
Co.
MSCO
Morgan
Stanley
NATW
Natwest
Markets
plc
Cu
r
rency
USD
United
States
Dollar
Index
CMBX.NA.
Series
number
CMBX
North
America
Index
Selected
Portfolio
CMT
Constant
Monthly
U.S.
Treasury
Securities
Yield
Curve
Rate
Index
FHLMC
Federal
Home
Loan
Mortgage
Corp.
FNMA
Federal
National
Mortgage
Association
FRN
Floating
Rate
Note
GNMA
Government
National
Mortgage
Association
MBS
Mortgage-Backed
Security
REMIC
Real
Estate
Mortgage
Investment
Conduit
SOFR
Secured
Overnight
Financing
Rate
STACR
Structured
Agency
Credit
Risk
TBA
To-Be-Announced
T-Note
Treasury
Note
The
following
reference
rates,
and
their
values
as
of
period
end,
are
used
for
security
descriptions:
Reference
Index
Reference
Rate
1-day
SOFR
........................
4.45%
For
additional
information
on
the
Fund's
significant
accounting
policies,
please
refer
to
the Fund's
most
recent
semiannual
or
annual
shareholder
report.