UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES




Investment Company Act file number: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust
Address of principal executive offices: 100 Federal Street, Boston, Massachusetts 02110
Name and address of agent for service: Stephen Tate, Vice President
100 Federal Street
Boston, Massachusetts 02110
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2022
Date of reporting period: October 1, 2021 – March 31, 2022



Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:



 

Putnam
Master Intermediate
Income Trust

Semiannual report
3 | 31 | 22

Message from the Trustees  1 
About the fund  2 
Interview with your fund’s portfolio manager  5 
Your fund’s performance  11 
Consider these risks before investing  13 
Terms and definitions  14 
Other information for shareholders  16 
Summary of dividend reinvestment plans  17 
Financial statements  19 
Shareholder meeting results  107 

 


 

Message from the Trustees

May 19, 2022

Dear Fellow Shareholder:

Financial markets have been bumpy in recent months. Investors are weighing the risks of higher inflation, interest-rate increases by the Federal Reserve, and the global impact of Russia’s attack on Ukraine. Regional surges in Covid-19 infections are also complicating global trade.

In times like these, it’s worth remembering the benefits of staying focused on your long-term financial goals. At Putnam, professional, active investors are working for you. They are monitoring risks while looking for strong potential investments for your fund. Learn more in the interview with your fund manager(s) in the following pages.

Thank you for investing with Putnam.



 


When Putnam Master Intermediate Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds was considered innovative.

In the more than 30 years since then, the fixed income landscape has undergone a dramatic transformation, but the spirit of ingenuity that helped launch the fund is still with it today.

A veteran portfolio management team

The fund’s managers strive to build a well-diversified portfolio that carefully balances risk and return, targeting opportunities in interest rates, credit, mortgages, and currencies from across the full spectrum of the global bond markets.

 

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Allocations are shown as a percentage of the fund’s net assets as of 3/31/22. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding.

Allocations may not total 100% because the charts include the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.

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Data are historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. See below and pages 11–12 for additional performance information, including fund returns at market price. Index and Lipper results should be compared with fund performance at NAV.

Returns for periods of less than one year are not annualized.

Lipper peer group average is provided by Lipper, a Refinitiv company.

* The fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.


This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/22. See above and pages 11–12 for additional fund performance information. Index descriptions can be found on pages 14–15.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

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Mike, what was the fund’s investment environment like during the six months ended March 31, 2022?

After posting relatively subdued returns during the first half of the period, fixed income markets became volatile during the second half. Hawkish policy pivots from the U.S. Federal Reserve and the European Central Bank in the face of rapidly rising inflation, combined with Russia’s invasion of Ukraine, fueled a flight from risk.

Within this environment, credit spreads widened and interest rates rose. [Spreads are the yield advantage credit-sensitive bonds offer over comparable-maturity U.S. Treasuries. Bond prices rise as yield spreads tighten and decline as spreads widen.] The yield on the benchmark 10-year U.S. Treasury rose from 1.48% on October 1, 2021, to 2.32% on March 31, 2022. In anticipation of Fed policy changes, short-term yields rose even more, causing the yield curve to flatten materially.

On March 16, the Fed approved a 0.25% interest-rate hike, its first increase since December 2018. Fed Chair Jerome Powell signaled an aggressive approach going forward, indicating that additional hikes could occur

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Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/22. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time.

Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.


at each of the remaining six policy meetings in 2022.

Which holdings and strategies hampered the fund’s performance?

First off, I think it’s important to highlight that the fund continued to invest outside the constraints of traditional fixed income benchmarks, seeking what we view as the best investment opportunities based on risk rather than asset class. These risks include interest rate, credit, prepayment, and liquidity. During the period, the fund underperformed its T-bill benchmark, but its emphasis on diversification helped it outpace the broad investment-grade fixed income market, as measured by the Bloomberg U.S. Aggregate Bond Index.

In terms of specific strategies, our interest-rate and yield curve strategy was the primary detractor this period. The portfolio was positioned to benefit if inflation declined and real interest rates rose. [Real interest rates adjust for the effects of inflation by subtracting the actual or expected rate of inflation from nominal interest rates.] Rising inflation hurt our strategy, but the portfolio benefited from an increase in real interest rates during the first quarter of 2022. This benefit partially offset the negative outcome of our broader term structure strategy.

Strategies targeting prepayment risk also proved negative overall. Yield spreads on our agency interest-only [IO] and inverse IO collateralized mortgage obligations [CMOs] widened during the fourth quarter of 2021 due to broader market volatility. Our mortgage basis positioning helped offset some of this performance drag. This strategy received a boost early in 2022, following the release of the minutes from the Fed’s December 2021 policy meeting. The minutes indicated the central bank might sell its holdings of government agency mortgage-backed securities [MBS] more rapidly than investors originally anticipated, which could cause MBS yields to rise more quickly. By

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way of explanation, our mortgage basis strategy seeks to capitalize on the difference between longer-term U.S. Treasury yields and the interest rates on 30-year home mortgages.

Elsewhere, our active currency strategy was a further detractor, primarily because our long exposure to the Japanese yen weakened significantly versus the U.S. dollar during March.

Holdings of emerging market [EM] debt also worked against performance. The turmoil resulting from Russia’s invasion of Ukraine hit EM bonds particularly hard in February. EM debt rebounded a bit in March but not enough to fully offset earlier weakness.

What about contributors?

Mortgage credit holdings added considerable value this period, led by an allocation to commercial mortgage-backed securities [CMBS]. Our investments consisted of cash bonds along with synthetic exposure via CMBX. CMBX is a group of tradeable indexes that each reference a basket of 25 CMBS issued in a particular year. Despite broader market volatility, the continued reopening of the economy and the success of vaccines helped many types of property recover, which, in turn, boosted our CMBS positions.

How did you use derivatives during the period?

We used credit default swaps to gain exposure to CMBS via CMBX, and also to hedge the fund’s credit and market risks. We used bond futures and interest-rate swaps to take tactical positions at various points along the yield curve, and to hedge the risk associated with the fund’s curve positioning. We also employed interest-rate swaps to gain exposure to rates in various countries. We utilized options to hedge the fund’s interest-rate risk, to isolate the prepayment risk associated with our holdings of CMOs, and to help manage overall downside


This table shows the fund’s top holdings across three key sectors and the percentage of the fund’s net assets that each represented as of 3/31/22. Short-term investments, to-be-announced (TBA) commitments, and derivatives, if any, are excluded. Holdings may vary over time. 

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risk. We used total return swaps as a hedging tool and to help manage the portfolio’s sector exposure, as well as its inflation risk. Lastly, we used currency forward contracts to hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.

What are your current views on the major sectors in which the fund invests?

Overall, we have a cautiously optimistic outlook but recognize that geopolitical tensions and monetary policy decisions will likely continue to influence fixed income markets.

Looking first at high-yield corporate credit, our view is moderately constructive. We have a positive outlook for high-yield market fundamentals and the overall supply-and-demand backdrop. That said, we anticipate continued bouts of volatility given the conflict in Ukraine, the pace of Fed rate hikes, and potentially negative effects on energy supplies from sanctions on Russia. Our view on valuations is more neutral, given the relative tightness of yield spreads in the market as of March 31. Spreads widened during the period but remain tight by historical standards.

We believe the fundamental environment will continue to improve in the CMBS market as workers return to offices, consumer traffic increases at retailers, and hotels welcome back business and leisure travelers. Our emphasis on investment opportunities in the U.S. helps to minimize the impact of geopolitical risk on the fund’s portfolio, in our view. Moreover, with real assets serving as collateral, along with the potential for rent adjustments, CMBS have historically performed well during periods of rising inflation. Consistent with risk markets generally, CMBS spreads widened during the quarter. The increased liquidity premium enhanced the appeal of select market segments.


This chart shows how the fund’s security type weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding.

Allocations may not total 100% because the chart includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.

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Within residential mortgage credit, we believe continued high demand and low inventory of available homes is likely to push prices even higher. Given that home prices have already risen substantially and mortgage rates have moved up, we are aware that affordability has become a constraint for many prospective buyers. Consequently, we think the pace of home price appreciation is likely to moderate during 2022. Wider spreads have created better value among mid-tier and lower-rated securities. As a result, we are finding attractive investment opportunities in that area of the market, as well as among higher-rated securities.

We believe the Fed’s shift toward tighter monetary policy may cause it to accelerate sales of MBS that it currently holds. A faster pace of MBS tapering may reduce home price inflation, helping to boost the Fed’s inflation-fighting mandate. Against this backdrop, we believe many prepayment-sensitive securities may offer attractive risk-adjusted returns from current price levels and may offer meaningful upside potential if mortgage prepayment speeds slow. We think the fund’s prepayment-related strategies provide an important source of diversification in the portfolio. In our view, prepayment strategies could benefit from an economic slowdown, a shift to supportive fiscal policies, or a sustained increase in mortgage rates.

Thanks for your time and for bringing us up to date, Mike.

ABOUT DERIVATIVES

Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.

For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.

Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.

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The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.

Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk. Statements in the Q&A concerning the fund’s performance or portfolio composition relative to those of the fund’s Lipper peer group may reference information produced by Lipper Inc. or through a third party.

Of special interest

The fund had minimal exposure to securities in Russia at the end of the period. Holdings in Russian securities generally experienced sharp declines in value in late February and in March 2022 and have been subject to liquidity and settlement constraints, as well as, in certain cases, U.S. and other governmental sanctions. We are closely monitoring governmental actions, including the issuance of sanctions, and related market developments.

HOW CLOSED-END FUNDS DIFFER FROM OPEN-END FUNDS

Closed-end funds and open-end funds share many common characteristics but also have some key differences that you should understand as you consider your portfolio strategies.

More assets at work Open-end funds are subject to ongoing sales and redemptions that can generate transaction costs for long-term shareholders. Closed-end funds, however, are typically fixed pools of capital that do not need to hold cash in connection with sales and redemptions, allowing the funds to keep more assets actively invested.

Traded like stocks Closed-end fund shares are traded on stock exchanges and, as a result, their prices fluctuate because of the influence of several factors.

They have a market price Like an open-end fund, a closed-end fund has a per-share net asset value (NAV). However, closed-end funds also have a “market price” for their shares —which is how much you pay when you buy shares of the fund, and how much you receive when you sell them.

When looking at a closed-end fund’s performance, you will usually see that the NAV and the market price differ. The market price can be influenced by several factors that cause it to vary from the NAV, including fund distributions, changes in supply and demand for the fund’s shares, changing market conditions, and investor perceptions of the fund or its investment manager. A fund’s performance at market price typically differs from its results at NAV.

 

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Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2022, the end of the first half of its current fiscal year. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.

Annualized fund performance Total return for periods ended 3/31/22

  Life of           
  fund (since           
  4/29/88)  10 years  5 years  3 years  1 year  6 months 
Net asset value  5.53%  2.88%  1.40%  –0.32%  –8.35%  –2.66% 
Market price  5.58  3.15  1.66  –0.53  –11.46  –8.93 

 

Returns for periods of less than one year are not annualized.

Performance assumes reinvestment of distributions and does not account for taxes.

Performance includes the deduction of management fees and administrative expenses.

Comparative annualized index returns For periods ended 3/31/22

  Life of           
  fund (since           
  4/29/88)  10 years  5 years  3 years  1 year  6 months 
ICE BofA U.S. Treasury             
Bill Index*    0.65%  1.14%  0.82%  0.00%  –0.02% 
Bloomberg Government/             
Credit Bond Index  5.82%  2.45  2.44  2.12  –3.85  –6.16 
FTSE Non-U.S. World             
Government Bond Index  4.54  –0.37  0.77  –1.21  –10.36  –8.96 
JPMorgan Global High             
Yield Index    5.68  4.46  4.17  –1.03  –4.19 
Lipper Closed-end             
General Bond Funds             
category average  7.63  6.28  5.30  4.64  3.04  –1.77 

 

Index and Lipper results should be compared to fund performance at net asset value. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund’s monthly reinvestment net asset value.

Returns for periods of less than one year are not annualized.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

Lipper peer group average is provided by Lipper, a Refinitiv company.

* The fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.

The JPMorgan Global High Yield Index was introduced on 12/31/93, which post-dates the inception of the fund.

Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/22, there were 70, 64, 48, 30, 21, and 5 funds, respectively, in this Lipper category.

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Fund price and distribution information For the six-month period ended 3/31/22

Distributions     
Number  6 
Income  $0.132 
Capital gains   
Total  $0.132 
Share value  NAV  Market price 
9/30/21  $4.08  $4.07 
3/31/22  3.84  3.58 
Current rate (end of period)  NAV  Market price 
Current dividend rate  6.88%  7.37% 

 

The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.

Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by NAV or market price at end of period.

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Consider these risks before investing

Emerging market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments).

Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions or geopolitical events or changes, and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. The fund’s investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund’s concentration in an industry group comprising privately issued residential and commercial mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund’s net asset value more susceptible to economic, market, political, and other developments affecting the housing or real estate markets and the servicing of mortgage loans secured by real estate properties. The fund currently has significant investment exposure to commercial mortgage-backed securities, which, during periods of difficult economic conditions, may experience an increase in delinquencies and losses as a result of the effects of those conditions on commercial real estate markets, the ability of commercial tenants to make loan payments, and the ability of a property to attract and retain commercial tenants. International investing involves currency, economic, and political risks. The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value.

Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund.

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Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Net asset value (NAV) is the value of all your fund’s assets, minus any liabilities, divided by the number of outstanding shares.

Market price is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange.

Fixed-income terms

Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.

Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:

Agency credit risk transfer (CRT) security is backed by a reference pool of agency mortgages. Unlike a regular agency pass-through, the principal invested in a CRT is not backed by a U.S. government agency. To compensate investors for this risk, a CRT typically offers a higher yield than conventional pass-through securities. Similar to a CMBS, a CRT is structured into various tranches for investors, offering different levels of risk and yield based on the underlying reference pool.

Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).

Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.

° Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.

Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.

Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.

Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.

Comparative indexes

Bloomberg Government/Credit Bond Index is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.

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Bloomberg U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

CMBX Index is an unmanaged index that tracks the performance of a basket of CMBS issued in a particular year.

ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.

FTSE® Non-U.S. World Government Bond Index is an unmanaged index generally considered to be representative of the world bond market, excluding the United States.

JPMorgan Global High Yield Index is an unmanaged index of global high-yield fixed-income securities.

S&P 500® Index is an unmanaged index of common stock performance.

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

BLOOMBERG®  is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

FTSE® Russell is the source and owner of the trademarks, service marks, and copyrights related to the FTSE Indexes. FTSE® is a trademark of FTSE Russell.

ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.

Lipper, a Refinitiv company, is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.

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Other information for shareholders

Important notice regarding share repurchase program

In September 2021, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal allows your fund to repurchase, in the 365 days beginning October 1, 2021, up to 10% of the fund’s common shares outstanding as of September 30, 2021.

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2021, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.

Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of March 31, 2022, Putnam employees had approximately $530,000,000 and the Trustees had approximately $77,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

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Summary of Putnam closed-end funds’ amended and restated dividend reinvestment plans

Putnam Managed Municipal Income Trust, Putnam Master Intermediate Income Trust, Putnam Municipal Opportunities Trust and Putnam Premier Income Trust (each, a “Fund” and collectively, the “Funds”) each offer a dividend reinvestment plan (each, a “Plan” and collectively, the “Plans”). If you participate in a Plan, all income dividends and capital gain distributions are automatically reinvested in Fund shares by the Fund’s agent, Putnam Investor Services, Inc. (the “Agent”). If you are not participating in a Plan, every month you will receive all dividends and other distributions in cash, paid by check and mailed directly to you.

Upon a purchase (or, where applicable, upon registration of transfer on the shareholder records of a Fund) of shares of a Fund by a registered shareholder, each such shareholder will be deemed to have elected to participate in that Fund’s Plan. Each such shareholder will have all distributions by a Fund automatically reinvested in additional shares, unless such shareholder elects to terminate participation in a Plan by instructing the Agent to pay future distributions in cash. Shareholders who were not participants in a Plan as of January 31, 2010, will continue to receive distributions in cash but may enroll in a Plan at any time by contacting the Agent.

If you participate in a Fund’s Plan, the Agent will automatically reinvest subsequent distributions, and the Agent will send you a confirmation in the mail telling you how many additional shares were issued to your account.

To change your enrollment status or to request additional information about the Plans, you may contact the Agent either in writing, at P.O. Box 8383, Boston, MA 02266-8383, or by telephone at 1-800-225-1581 during normal East Coast business hours.

How you acquire additional shares through a Plan If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is greater than or equal to their net asset value per share on the payment date for a distribution, you will be issued shares of the Fund at a value equal to the higher of the net asset value per share on that date or 95% of the market price per share on that date.

If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is less than their net asset value per share on the payment date for a distribution, the Agent will buy Fund shares for participating accounts in the open market. The Agent will aggregate open-market purchases on behalf of all participants, and the average price (including brokerage commissions) of all shares purchased by the Agent will be the price per share allocable to each participant. The Agent will generally complete these open-market purchases within five business days following the payment date. If, before the Agent has completed open-market purchases, the market price per share (plus estimated brokerage commissions) rises to exceed the net asset value per share on the payment date, then the purchase price may exceed the net asset value per share, potentially resulting in the acquisition of fewer shares than if the distribution had been paid in newly issued shares.

How to withdraw from a Plan Participants may withdraw from a Fund’s Plan at any time by notifying the Agent, either in writing or by telephone. Such withdrawal will be effective immediately if notice is received by the Agent with sufficient time prior to any distribution record date; otherwise, such withdrawal will be effective with respect to any subsequent distribution following notice of withdrawal. There is no penalty for withdrawing from or not participating in a Plan.

Plan administration The Agent will credit all shares acquired for a participant under a Plan to the account in which the participant’s common shares are held. Each participant will

Master Intermediate Income Trust 17 

 


 

be sent reasonably promptly a confirmation by the Agent of each acquisition made for his or her account.

About brokerage fees Each participant pays a proportionate share of any brokerage commissions incurred if the Agent purchases additional shares on the open market, in accordance with the Plans. There are no brokerage charges applied to shares issued directly by the Funds under the Plans.

About taxes and Plan amendments Reinvesting dividend and capital gain distributions in shares of the Funds does not relieve you of tax obligations, which are the same as if you had received cash distributions. The Agent supplies tax information to you and to the IRS annually. Each Fund reserves the right to amend or terminate its Plan upon 30 days’ written notice. However, the Agent may assign its rights, and delegate its duties, to a successor agent with the prior consent of a Fund and without prior notice to Plan participants.

If your shares are held in a broker or nominee name If your shares are held in the name of a broker or nominee offering a dividend reinvestment service, consult your broker or nominee to ensure that an appropriate election is made on your behalf. If the broker or nominee holding your shares does not provide a reinvestment service, you may need to register your shares in your own name in order to participate in a Plan.

In the case of record shareholders such as banks, brokers or nominees that hold shares for others who are the beneficial owners of such shares, the Agent will administer the Plan on the basis of the number of shares certified by the record shareholder as representing the total amount registered in such shareholder’s name and held for the account of beneficial owners who are to participate in the Plan.

18 Master Intermediate Income Trust 

 


 

Financial statements

These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal period.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

Master Intermediate Income Trust 19 

 


 

The fund’s portfolio 3/31/22 (Unaudited)

U.S. GOVERNMENT AND AGENCY
MORTGAGE OBLIGATIONS (81.9%)*
Principal
amount
Value
U.S. Government Guaranteed Mortgage Obligations (0.5%)
Government National Mortgage Association Pass-Through Certificates    
5.50%, 5/20/49 $42,119 $44,985
5.00%, with due dates from 5/20/49 to 3/20/50 164,187 174,193
3.50%, with due dates from 9/20/49 to 3/20/50 861,367 871,574
1,090,752
U.S. Government Agency Mortgage Obligations (81.4%)
Federal National Mortgage Association Pass-Through Certificates    
5.00%, with due dates from 1/1/49 to 8/1/49 65,248 68,719
4.50%, 5/1/49 13,810 14,485
Uniform Mortgage-Backed Securities    
5.50%, TBA, 4/1/52 1,000,000 1,058,700
4.50%, TBA, 5/1/52 4,000,000 4,133,126
4.50%, TBA, 4/1/52 4,000,000 4,149,376
4.00%, TBA, 5/1/52 42,000,000 42,705,491
4.00%, TBA, 4/1/52 38,000,000 38,780,801
3.50%, TBA, 5/1/52 7,000,000 6,986,328
3.50%, TBA, 4/1/52 36,000,000 36,064,688
3.00%, TBA, 5/1/52 6,000,000 5,856,563
3.00%, TBA, 4/1/52 14,000,000 13,697,032
2.00%, TBA, 4/1/52 5,000,000 4,640,703
158,156,012
Total U.S. government and agency mortgage obligations (cost $161,310,087) $159,246,764

U.S. TREASURY OBLIGATIONS (0.1%)* Principal
amount
Value
U.S. Treasury Notes 1.25%, 6/30/28 i $120,000 $112,000
Total U.S. treasury obligations (cost $112,000) $112,000

MORTGAGE-BACKED SECURITIES (48.4%)* Principal
amount
Value
Agency collateralized mortgage obligations (26.0%)
Federal Home Loan Mortgage Corporation      
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 6.253%, 4/15/40   $553,093 $26,398
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.803%, 12/15/47   823,814 117,641
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.793%, 9/25/50   4,747,094 851,344
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.703%, 8/15/56   2,663,291 490,099
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.703%, 4/15/47   560,159 96,622
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 7/25/50   4,250,462 665,387
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 1/25/50   3,158,218 428,071
REMICs Ser. 4813, IO, 5.50%, 8/15/48   1,311,535 271,140
REMICs Ser. 4991, Class IE, IO, 5.00%, 7/25/50   8,119,025 1,451,601


20 Master Intermediate Income Trust



MORTGAGE-BACKED SECURITIES (48.4%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Federal Home Loan Mortgage Corporation      
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42   $530,945 $93,340
REMICs Ser. 5179, Class BI, IO, 4.50%, 1/25/52   5,803,995 910,946
REMICs Ser. 5152, Class MI, IO, 4.50%, 10/25/51   4,855,233 962,774
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51   3,292,333 517,559
REMICs Ser. 5049, Class AI, IO, 4.50%, 12/25/50   2,806,401 555,185
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50   2,404,826 438,363
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50   3,041,065 588,493
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50   4,375,501 810,940
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50   3,158,398 614,888
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42   372,161 66,211
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42   204,076 28,876
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51   4,596,296 775,239
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45   757,308 118,964
REMICs Ser. 4425, IO, 4.00%, 1/15/45   796,202 113,459
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44   844,759 159,458
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43   564,846 76,029
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46   1,056,127 133,663
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45   580,628 64,769
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41   319,960 22,625
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27   263,164 12,312
REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51   6,046,654 912,924
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50   7,876,282 1,050,646
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42   1,416,971 113,283
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42   590,949 36,582
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41   136,226 2,024
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.394%, 7/25/43 W   855,125 11,801
Federal National Mortgage Association      
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46   1,251,134 236,644
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40   997,485 195,490
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 5.943%, 4/25/40   349,504 55,558
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.793%, 3/25/48   1,851,004 288,499
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.743%, 6/25/48   3,314,507 448,277
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.693%, 5/25/47   3,852,374 542,799
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.693%, 10/25/41   98,283 3,112
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 12/25/46   1,653,480 216,674
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 5/25/39   5,057,606 658,950
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 3/25/50   2,747,677 426,852
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 8/25/49   1,742,965 203,890


Master Intermediate Income Trust 21



MORTGAGE-BACKED SECURITIES (48.4%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Federal National Mortgage Association      
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.543%, 11/25/49   $3,430,935 $497,486
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36   43,189 7,228
REMICs Ser. 15-30, IO, 5.50%, 5/25/45   1,590,883 284,370
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.493%, 2/25/43   1,074,788 173,445
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.443%, 10/25/41   834,291 108,407
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35   131,738 21,052
REMICs Ser. 20-45, Class EI, IO, 5.00%, 7/25/50   1,989,786 360,480
REMICs Ser. 21-77, Class BI, IO, 4.50%, 11/25/51   5,644,401 980,324
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51   2,236,283 455,754
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50   4,841,783 821,458
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42   164,216 32,088
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40   211,369 3,868
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50   7,556,191 1,339,670
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44   293,154 17,104
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43   1,473,050 241,673
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43   454,753 63,329
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43   353,222 40,795
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42   270,411 28,988
REMICs Ser. 20-85, Class PI, IO, 3.00%, 12/25/50   6,034,597 973,079
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42   279,067 11,750
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41   112,808 1,107
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51   7,531,132 921,110
REMICs Ser. 21-43, Class IO, IO, 2.50%, 6/25/51   7,072,145 1,073,615
Government National Mortgage Association      
IFB Ser. 21-98, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 6/20/51   4,197,286 590,894
IFB Ser. 21-77, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 5/20/51   3,909,304 570,597
IFB Ser. 21-59, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 4/20/51   2,785,878 350,042
IFB Ser. 20-133, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 9/20/50   3,629,092 599,675
FRB Ser. 21-116, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.769%, 11/20/47   3,580,732 782,837
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), 5.731%, 4/20/44   2,091,881 315,811
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 7/20/50   2,433,897 409,626
IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 1/20/49   2,026,501 250,885
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 9/20/43   223,453 32,025
IFB Ser. 20-63, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 5/20/50   2,580,949 327,921
IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 4/20/50   3,314,776 493,685


22 Master Intermediate Income Trust



MORTGAGE-BACKED SECURITIES (48.4%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association      
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 8/20/49   $2,655,596 $326,346
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 7/20/49   2,431,237 288,904
IFB Ser. 19-89, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 7/20/49   3,128,995 369,933
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 2/20/50   267,289 27,228
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 1/20/50   1,932,301 260,006
IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 12/20/49   1,696,010 222,511
IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 9/20/49   2,625,955 302,986
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 8/20/49   112,490 13,101
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 6/20/49   143,145 14,925
IFB Ser. 20-63, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.551%, 8/20/43   2,795,314 377,764
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.151%, 8/20/44   966,616 116,915
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47   431,972 85,349
Ser. 16-42, IO, 5.00%, 2/20/46   1,083,286 195,648
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45   1,722,731 244,793
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44   1,887,309 362,892
Ser. 14-76, IO, 5.00%, 5/20/44   435,313 82,782
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43   315,983 64,081
Ser. 12-146, IO, 5.00%, 12/20/42   285,601 57,589
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40   413,919 79,568
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40   301,359 57,007
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40   1,328,884 263,279
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39   685,692 136,096
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39   1,374,777 255,240
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39   235,476 44,124
Ser. 20-61, IO, 4.50%, 5/20/50   6,056,857 1,106,517
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48   1,296,517 199,518
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45   459,888 91,062
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43   607,256 101,326
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43   575,139 94,586
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42   91,664 6,273
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41   509,035 92,319
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40   523,049 80,781
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40   934,544 168,582
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40   481,468 82,842
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40   558,080 89,033
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40   335,737 60,332
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39   361,821 68,221
Ser. 20-78, Class DI, IO, 4.00%, 6/20/50   4,568,446 501,681


Master Intermediate Income Trust 23



MORTGAGE-BACKED SECURITIES (48.4%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association      
Ser. 16-29, IO, 4.00%, 2/16/46   $469,104 $75,855
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45   1,336,442 215,969
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45   1,005,480 192,449
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45   861,063 123,655
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44   801,778 93,648
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44   2,153,041 302,703
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44   811,313 34,646
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44   285,933 46,239
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43   764,436 49,237
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43   250,630 37,463
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42   233,282 39,239
Ser. 21-156, IO, 3.50%, 7/20/51   4,781,163 817,472
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50   2,895,711 416,021
Ser. 20-138, Class IC, IO, 3.50%, 8/20/50   6,474,842 1,021,083
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46   64,666 1,932
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45   500,314 48,511
Ser. 13-76, IO, 3.50%, 5/20/43   647,120 85,795
Ser. 13-28, IO, 3.50%, 2/20/43   171,610 16,996
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43   260,422 27,863
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43   429,205 46,861
Ser. 13-14, IO, 3.50%, 12/20/42   1,114,717 123,399
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42   178,586 20,600
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42   797,433 126,880
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42   1,071,822 163,755
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42   1,068,275 162,302
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42   518,963 85,651
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40   800,824 57,579
Ser. 21-59, Class IM, IO, 3.00%, 4/20/51   3,712,864 457,176
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51   4,394,265 537,946
Ser. 21-67, Class PI, IO, 3.00%, 4/20/51   7,573,582 924,355
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51   3,548,398 381,502
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50   3,272,269 501,034
Ser. 18-H05, Class BI, IO, 2.374%, 2/20/68 W   2,969,352 205,999
Ser. 17-H16, Class FI, IO, 2.348%, 8/20/67 W   2,333,559 125,429
Ser. 17-H16, Class JI, IO, 2.331%, 8/20/67 W   6,528,998 446,828
Ser. 17-H08, Class NI, IO, 2.33%, 3/20/67 W   3,891,331 201,571
Ser. 18-H15, Class KI, IO, 2.29%, 8/20/68 W   2,598,422 159,153
Ser. 18-H05, Class AI, IO, 2.261%, 2/20/68 W   1,553,450 107,771
Ser. 17-H12, Class QI, IO, 2.251%, 5/20/67 W   2,471,790 123,614
Ser. 17-H06, Class BI, IO, 2.245%, 2/20/67 W   3,027,402 198,101
Ser. 16-H16, Class EI, IO, 2.199%, 6/20/66 W   2,968,927 175,167
Ser. 18-H03, Class XI, IO, 2.135%, 2/20/68 W   3,225,647 206,119
Ser. 16-H22, Class AI, IO, 2.13%, 10/20/66 W   2,770,161 141,419
Ser. 18-H02, Class EI, IO, 2.123%, 1/20/68 W   4,276,432 299,350
Ser. 17-H02, Class BI, IO, 2.11%, 1/20/67 W   2,021,838 108,682
Ser. 16-H23, Class NI, IO, 2.097%, 10/20/66 W   7,674,114 386,775
Ser. 17-H19, Class MI, IO, 2.06%, 4/20/67 W   1,377,020 88,542
Ser. 16-H18, Class QI, IO, 2.06%, 6/20/66 W   2,036,291 125,486


24 Master Intermediate Income Trust



MORTGAGE-BACKED SECURITIES (48.4%)* cont. Principal
amount
Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association      
Ser. 16-H03, Class DI, IO, 2.04%, 12/20/65 W   $3,077,743 $162,062
Ser. 16-H17, Class KI, IO, 1.887%, 7/20/66 W   1,917,564 106,065
Ser. 15-H15, Class BI, IO, 1.872%, 6/20/65 W   1,918,952 109,956
Ser. 17-H11, Class DI, IO, 1.846%, 5/20/67 W   2,799,090 171,882
Ser. 15-H25, Class EI, IO, 1.844%, 10/20/65 W   2,209,109 114,211
Ser. 17-H09, IO, 1.835%, 4/20/67 W   3,762,021 165,969
Ser. 15-H20, Class AI, IO, 1.826%, 8/20/65 W   2,848,571 148,411
Ser. 15-H10, Class BI, IO, 1.814%, 4/20/65 W   1,995,260 115,126
Ser. 15-H20, Class CI, IO, 1.811%, 8/20/65 W   3,289,130 223,661
FRB Ser. 15-H08, Class CI, IO, 1.793%, 3/20/65 W   1,575,377 78,611
Ser. 16-H09, Class BI, IO, 1.756%, 4/20/66 W   3,508,289 228,740
Ser. 15-H23, Class BI, IO, 1.751%, 9/20/65 W   2,988,505 143,149
Ser. 15-H24, Class AI, IO, 1.75%, 9/20/65 W   2,522,662 109,050
Ser. 16-H03, Class AI, IO, 1.727%, 1/20/66 W   2,593,388 97,657
Ser. 17-H16, Class IG, IO, 1.704%, 7/20/67 W   5,794,047 251,679
Ser. 16-H24, Class CI, IO, 1.691%, 10/20/66 W   1,970,610 98,728
Ser. 16-H14, IO, 1.675%, 6/20/66 W   2,697,638 113,687
Ser. 13-H08, Class CI, IO, 1.602%, 2/20/63 W   2,139,649 70,822
Ser. 16-H06, Class DI, IO, 1.592%, 7/20/65 W   4,298,576 147,157
Ser. 16-H10, Class AI, IO, 1.548%, 4/20/66 W   6,843,367 219,214
Ser. 16-H02, Class HI, IO, 1.539%, 1/20/66 W   3,541,428 110,847
Ser. 14-H21, Class BI, IO, 1.53%, 10/20/64 W   4,179,859 168,030
Ser. 16-H06, Class CI, IO, 1.406%, 2/20/66 W   3,693,195 92,729
50,623,984
Commercial mortgage-backed securities (8.6%)
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52   359,000 281,153
Bear Stearns Commercial Mortgage Securities Trust      
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 W   398,197 19,910
Ser. 05-PWR7, Class B, 4.883%, 2/11/41 W   105,873 104,942
Ser. 05-PWR7, Class D, 4.883%, 2/11/41 W   441,000 309,141
Benchmark Mortgage Trust 144A Ser. 19-B13, Class D, 2.50%, 8/15/57   320,000 269,677
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44 W   590,000 479,577
CD Commercial Mortgage Trust 144A      
Ser. 17-CD3, Class D, 3.25%, 2/10/50   514,000 397,430
Ser. 19-CD8, Class D, 3.00%, 8/15/57   264,000 210,989
CFCRE Commercial Mortgage Trust 144A      
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 W   1,025,000 1,019,978
FRB Ser. 11-C2, Class E, 5.124%, 12/15/47 W   409,000 407,201
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 4.911%, 4/10/47 W   203,000 200,806
COMM Mortgage Trust 144A      
FRB Ser. 14-CR17, Class E, 4.848%, 5/10/47 W   647,000 478,457
FRB Ser. 14-UBS3, Class D, 4.768%, 6/10/47 W   144,000 133,581
Ser. 12-LC4, Class E, 4.25%, 12/10/44   392,000 87,965
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.761%, 4/15/50 W   527,000 415,817


Master Intermediate Income Trust 25



MORTGAGE-BACKED SECURITIES (48.4%)* cont. Principal
amount
Value
Commercial mortgage-backed securities cont.
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.402%, 2/10/46 W   $638,000 $599,169
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47 W   294,000 273,625
GS Mortgage Securities Trust 144A      
FRB Ser. 14-GC24, Class D, 4.533%, 9/10/47 W   1,127,000 775,171
FRB Ser. 13-GC13, Class D, 4.065%, 7/10/46 W   531,000 223,568
JPMBB Commercial Mortgage Securities Trust 144A      
FRB Ser. 14-C18, Class D, 4.794%, 2/15/47 W   963,000 566,231
FRB Ser. C14, Class D, 4.549%, 8/15/46 W   515,000 331,281
FRB Ser. 14-C18, Class E, 4.294%, 2/15/47 W   407,000 165,229
FRB Ser. 14-C23, Class D, 3.98%, 9/15/47 W   244,000 226,296
FRB Ser. 14-C25, Class D, 3.942%, 11/15/47 W   200,000 151,546
Ser. 13-C14, Class F, 3.598%, 8/15/46 W   1,500,000 166,654
Ser. 14-C25, Class E, 3.332%, 11/15/47 W   788,000 423,694
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.39%, 9/15/50 W   268,000 239,581
JPMorgan Chase Commercial Mortgage Securities Trust      
FRB Ser. 13-LC11, Class D, 4.165%, 4/15/46 W   581,000 476,578
Ser. 13-LC11, Class B, 3.499%, 4/15/46   221,000 218,654
JPMorgan Chase Commercial Mortgage Securities Trust 144A      
FRB Ser. 11-C3, Class F, 5.525%, 2/15/46 W   410,000 61,418
FRB Ser. 11-C4, Class C, 5.398%, 7/15/46 W   95,521 96,818
FRB Ser. 12-C6, Class E, 5.27%, 5/15/45 W   263,000 222,984
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W   841,000 624,335
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39 W   462,989 56
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 5.704%, 12/15/49 W   13,487
Morgan Stanley Bank of America Merrill Lynch Trust FRB Ser. 15-C22, Class C, 4.21%, 4/15/48 W   237,000 223,124
Morgan Stanley Bank of America Merrill Lynch Trust 144A      
FRB Ser. 13-C11, Class D, 4.352%, 8/15/46 W   900,000 63,284
FRB Ser. 13-C11, Class F, 4.352%, 8/15/46 W   496,000 4,608
FRB Ser. 15-C23, Class D, 4.144%, 7/15/50 W   690,000 642,282
FRB Ser. 13-C9, Class D, 4.108%, 5/15/46 W   350,000 326,274
FRB Ser. 13-C10, Class D, 4.075%, 7/15/46 W   485,000 301,514
FRB Ser. 13-C10, Class E, 4.075%, 7/15/46 W   1,006,000 336,105
FRB Ser. 13-C10, Class F, 4.075%, 7/15/46 W   975,000 215,135
Ser. 14-C17, Class E, 3.50%, 8/15/47   443,000 294,402
Ser. 14-C19, Class D, 3.25%, 12/15/47   602,000 548,273
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W   168,221 159,037
Multifamily Connecticut Avenue Securities Trust 144A      
FRB Ser. 20-01, Class M10, 4.207%, 3/25/50   701,000 674,340
FRB Ser. 19-01, Class M10, 3.707%, 10/15/49   602,000 569,519
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)   558,952 6
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63 W   622,000 13,373


26 Master Intermediate Income Trust



MORTGAGE-BACKED SECURITIES (48.4%)* cont. Principal
amount
Value
Commercial mortgage-backed securities cont.
Wells Fargo Commercial Mortgage Trust FRB Ser. 16-NXS5, Class D, 4.984%, 1/15/59 W   $451,000 $429,221
Wells Fargo Commercial Mortgage Trust 144A      
FRB Ser. 13-LC12, Class D, 4.305%, 7/15/46 W   188,000 107,105
Ser. 14-LC16, Class D, 3.938%, 8/15/50   889,000 125,405
Ser. 16-C33, Class D, 3.123%, 3/15/59   679,000 591,139
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, 4.50%, 6/15/45 W   2,524,000 336,954
16,620,612
Residential mortgage-backed securities (non-agency) (13.8%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.647%, 5/25/47   406,459 241,331
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.729%, 11/27/36 W   606,384 485,108
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (1 Month US LIBOR + 0.50%), 0.957%, 1/25/36   63,071 91,583
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.637%, 11/25/47   214,935 191,400
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.807%, 3/25/37   818,151 752,429
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65 W   1,000,000 1,002,470
Countrywide Alternative Loan Trust      
FRB Ser. 06-OA7, Class 1A1, 2.206%, 6/25/46 W   267,435 287,626
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 1.641%, 9/25/35   247,661 229,587
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), 1.157%, 9/25/35   304,751 275,974
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 1.107%, 11/20/35   326,576 314,942
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.101%, 8/25/46   87,548 84,831
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.081%, 6/25/46   258,114 238,684
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46   267,679 256,033
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46   1,758,698 1,567,900
Federal Home Loan Mortgage Corporation      
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.957%, 5/25/28   266,324 281,227
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.457%, 7/25/28   887,907 976,944
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.807%, 4/25/28   570,372 575,986
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (1 Month US LIBOR + 9.20%), 9.657%, 10/25/27   395,081 426,161
Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA1, Class B, (1 Month US LIBOR + 8.80%), 9.257%, 3/25/28   385,200 396,722


Master Intermediate Income Trust 27



MORTGAGE-BACKED SECURITIES (48.4%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation      
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 8.007%, 12/25/27   $683,001 $701,558
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 2.757%, 9/25/30   582,692 582,976
Federal Home Loan Mortgage Corporation 144A      
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (1 Month US LIBOR + 11.25%), 11.707%, 4/25/49   106,000 113,933
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 11.599%, 10/25/50   176,000 211,640
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.457%, 10/25/48   649,000 709,661
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 11.207%, 1/25/49   141,000 151,370
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.957%, 3/25/49   118,000 124,737
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (1 Month US LIBOR + 10.00%), 10.457%, 8/25/50   609,000 733,464
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (1 Month US LIBOR + 10.00%), 10.457%, 7/25/50   430,000 511,700
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.607%, 7/25/49   135,000 138,481
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 8.207%, 9/25/48   174,000 177,498
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (1 Month US LIBOR + 5.75%), 6.207%, 7/25/50   174,000 178,874
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58 W   307,000 295,281
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.707%, 10/25/48   380,000 384,275
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59 W   636,000 615,922
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (1 Month US LIBOR + 3.90%), 4.357%, 9/25/48   190,000 190,717
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 4.157%, 12/25/30   260,000 259,039
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.557%, 3/25/50   198,194 198,946
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 3.107%, 1/25/49   135,086 135,429
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.907%, 3/25/49   115,136 115,136
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 2.807%, 2/25/49   147,680 148,917
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.757%, 10/25/48   120,000 119,710
Federal National Mortgage Association      
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 13.207%, 10/25/28   89,563 99,808
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.707%, 9/25/28   1,111,957 1,249,158


28 Master Intermediate Income Trust



MORTGAGE-BACKED SECURITIES (48.4%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Federal National Mortgage Association      
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 12.207%, 10/25/28   $566,378 $637,107
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 12.207%, 8/25/28   366,890 402,290
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 11.207%, 1/25/29   119,476 128,473
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.707%, 4/25/29   19,828 20,772
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 6.157%, 4/25/28   885,118 946,789
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 6.007%, 4/25/28   34,342 35,619
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.957%, 9/25/29   477,000 511,102
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.457%, 7/25/25   1,333 1,335
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 5.307%, 10/25/29   1,170,000 1,224,130
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 4.957%, 12/25/30   283,000 290,122
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.907%, 5/25/30   82,000 83,740
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.907%, 2/25/30   60,000 62,250
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.457%, 5/25/25   6,027 6,098
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 4.057%, 1/25/30   182,000 182,177
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 4.007%, 7/25/30   457,000 452,430
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.457%, 10/25/29   380,393 387,936
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 2.957%, 5/25/30   238,842 241,255
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.707%, 7/25/30   40,816 41,171
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.557%, 3/25/31   65,876 66,111
Federal National Mortgage Association 144A      
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 4.599%, 1/25/42   180,000 169,875
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.557%, 9/25/31   556,000 560,786
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (1 Month US LIBOR + 3.65%), 4.107%, 2/25/40   504,000 496,148
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.907%, 7/25/31   13,019 13,056
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.36%), 0.817%, 5/25/36   488,605 150,455


Master Intermediate Income Trust 29




MORTGAGE-BACKED SECURITIES (48.4%)* cont. Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.767%, 5/25/37   $221,600 $177,752
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.969%, 5/19/35   256,964 104,917
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 4.249%, 1/25/34 (Bermuda)   150,000 144,827
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.857%, 6/25/37   438,010 208,775
LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 9/25/26 W   133,000 127,454
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 0.648%, 2/26/37   228,303 214,342
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 1.252%, 8/25/35   50,470 49,049
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 3.157%, 3/25/28 (Bermuda)   794,000 784,661
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.43%), 0.887%, 5/25/46   213,012 185,321
Structured Asset Mortgage Investments II Trust      
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.877%, 8/25/36   271,600 252,588
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 0.577%, 8/25/36   225,703 215,450
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58 W   216,000 214,658
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.437%, 10/25/45   118,127 116,839
26,733,028
Total mortgage-backed securities (cost $108,340,142) $93,977,624

CORPORATE BONDS AND NOTES (21.8%)* Principal
amount
Value
Basic materials (1.5%)
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26   $38,000 $37,744
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29   92,000 96,528
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30   90,000 87,395
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32   75,000 69,844
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25   120,000 118,933
Coeur Mining, Inc. 144A company guaranty sr. unsec. notes 5.125%, 2/15/29   10,000 8,682
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27   113,000 114,424
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24   63,000 62,370
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia)   60,000 61,350


30 Master Intermediate Income Trust



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Basic materials cont.
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia)   $60,000 $60,278
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26   203,000 205,538
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg)   200,000 179,346
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada)   25,000 24,625
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) EUR 120,000 99,280
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29   $160,000 148,037
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29   115,000 106,990
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24   35,000 35,613
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada)   121,000 121,908
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada)   90,000 86,850
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31   115,000 105,186
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30   80,000 77,669
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28   160,000 150,800
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29   205,000 200,900
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg)   225,000 207,614
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29   90,000 84,263
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24   121,000 122,597
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27   280,000 273,966
2,948,730
Capital goods (1.8%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31   160,000 145,144
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27   234,000 230,198
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27   115,000 115,288
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30   35,000 33,171
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland)   330,000 317,930
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25   72,000 74,558
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26   150,000 169,267
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada)   20,000 18,900
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada)   23,000 21,160
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada)   115,000 115,978


Master Intermediate Income Trust 31



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Capital goods cont.
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29   $50,000 $47,750
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28   40,000 36,866
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27   125,000 129,688
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28   99,000 97,280
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29   125,000 116,563
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29   320,000 303,200
Staples, Inc. 144A sr. notes 7.50%, 4/15/26   352,000 341,829
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26   208,000 214,808
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29   60,000 57,508
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26   86,000 86,776
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27   148,000 146,890
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29   120,000 112,472
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29   80,000 74,798
Vertical US Newco, Inc. 144A company guaranty sr. notes 5.25%, 7/15/27   200,000 197,806
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28   25,000 22,815
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26   223,000 210,753
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28   115,000 122,146
3,561,542
Communication services (2.7%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26   133,000 134,867
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29   847,000 847,000
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30   60,000 57,614
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30   55,000 51,606
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28   199,000 196,911
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31   45,000 40,838
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25   82,000 77,663
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24   120,000 120,152
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.375%, 2/1/28   225,000 218,376
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27   89,000 87,554
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26   130,000 129,155


32 Master Intermediate Income Trust



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Communication services cont.
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 7.375%, 7/1/28   $120,000 $113,700
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29   79,000 67,276
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28   65,000 61,506
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26   35,000 33,338
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27   190,000 188,727
Frontier Communications Corp. 144A notes 6.75%, 5/1/29   110,000 105,600
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria)   740,000 693,750
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26   264,000 264,425
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27   61,000 57,421
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28   66,000 60,589
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28   260,000 301,259
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26   125,000 141,101
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23   433,000 460,063
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30   50,000 50,192
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27   125,000 125,731
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31   80,000 72,074
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27   19,000 19,509
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29   55,000 50,200
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28   148,000 150,427
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 115,000 152,550
5,131,174
Consumer cyclicals (3.7%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29   $70,000 65,013
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28   60,000 57,641
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29   55,000 51,288
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32   5,000 4,648
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29   15,000 13,969
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity   328,000 353,830
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25   15,000 17,121
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30   55,000 57,750


Master Intermediate Income Trust 33



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Consumer cyclicals cont.
Block, Inc. 144A sr. unsec. bonds 3.50%, 6/1/31   $75,000 $68,625
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27   55,000 54,725
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A sr. unsec. notes 5.00%, 6/15/29 (Canada)   80,000 72,641
Caesars Entertainment, Inc. 144A sr. notes 6.25%, 7/1/25   100,000 103,244
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29   110,000 102,850
Carnival Corp. 144A sr. unsec. notes 7.625%, 3/1/26   13,000 13,085
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27   105,000 100,135
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30   46,000 46,460
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24   110,000 109,725
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25   25,000 26,156
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28   85,000 79,380
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27   80,000 79,135
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26   144,000 55,800
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29   120,000 112,050
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27   244,000 228,935
Ford Motor Co. sr. unsec. unsub. bonds 7.45%, 7/16/31   100,000 118,000
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25   200,000 204,000
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30   200,000 188,340
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28   120,000 122,700
Gap, Inc. (The) 144A company guaranty sr. unsec. bonds 3.875%, 10/1/31   115,000 100,177
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30   135,000 126,731
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29   20,000 18,750
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31   60,000 57,373
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24   125,000 126,875
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27   186,721 192,789
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27   65,000 62,238
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25   31,000 31,814
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) EUR 100,000 100,539
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31   $57,000 52,198
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26   99,000 100,856
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27   60,000 63,901
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28   45,000 45,338


34 Master Intermediate Income Trust



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Consumer cyclicals cont.
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30   $55,000 $49,431
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada)   160,000 157,934
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada)   125,000 117,414
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27   170,000 177,837
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29   195,000 187,633
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26   25,000 24,477
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28   95,000 90,608
NCL Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27   30,000 29,550
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29   190,000 186,675
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32   9,000 9,048
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29   90,000 85,050
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg)   58,000 58,290
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28   80,000 80,576
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29   40,000 39,900
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27   55,000 50,319
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28   115,000 112,538
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26   25,000 24,013
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26   26,000 25,267
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25   278,000 308,201
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25   65,000 66,625
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29   168,000 157,500
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32   40,000 35,424
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26   100,000 97,250
Signal Parent, Inc. 144A sr. unsec. notes 6.125%, 4/1/29   110,000 89,648
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30   60,000 53,500
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31   111,000 101,010
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28   125,000 118,750
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25   115,000 120,031
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29   55,000 51,740
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31   45,000 39,375


Master Intermediate Income Trust 35



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Consumer cyclicals cont.
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28   $10,000 $9,563
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28   115,000 109,076
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25   105,000 103,425
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28   104,000 104,390
Victoria’s Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29   155,000 139,888
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28   110,000 104,235
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27   70,000 67,725
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29   122,000 114,833
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25   35,000 36,318
7,121,892
Consumer staples (1.8%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada)   80,000 72,163
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada)   77,000 73,920
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada)   100,000 94,750
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30   35,000 34,081
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27   260,000 251,346
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29   395,000 356,476
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29   18,000 16,539
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27   130,000 131,820
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25   60,000 62,400
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27   110,000 111,650
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26   104,000 102,527
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28   85,000 85,000
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30   85,000 79,050
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27   33,000 32,840
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31   35,000 31,305
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30   155,000 145,246
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28   60,000 58,125
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26   50,000 47,472
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28   120,000 125,851
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28   246,000 271,166


36 Master Intermediate Income Trust



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Consumer staples cont.
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29   $60,000 $64,950
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30   19,000 20,267
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25   66,000 68,128
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26   105,000 105,656
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25   59,000 60,944
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 3.75%, 1/15/32   605,000 564,163
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25   65,000 68,250
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27   115,000 120,463
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29   40,000 38,075
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32   25,000 25,057
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31   55,000 50,151
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30   55,000 53,934
3,423,765
Energy (4.7%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26   65,000 70,338
Antero Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26   10,000 11,025
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28   306,000 311,808
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25   55,000 58,300
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27   90,000 90,459
ChampionX Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26   42,000 42,840
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29   570,000 572,850
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31   90,000 87,245
Cheniere Energy Partners LP 144A company guaranty sr. unsec. unsub. bonds 3.25%, 1/31/32   10,000 9,100
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25   23,000 23,345
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30   80,000 78,824
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28   117,000 118,615
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23   105,000 106,260
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31   127,000 138,913
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32   125,000 111,469
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27   56,000 58,380
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28   248,000 255,264


Master Intermediate Income Trust 37



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Energy cont.
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28   $196,000 $202,615
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25   59,000 61,213
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28   51,000 52,020
EQT Corp. sr. unsec. notes 5.00%, 1/15/29   10,000 10,323
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28   102,000 101,933
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30   30,000 28,308
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26   132,000 135,425
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28   195,000 185,004
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25   70,097 73,006
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26   40,000 41,000
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30   200,000 229,500
Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31   550,000 618,750
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31   195,000 239,056
PBF Holding Co., LLC/PBF Finance Corp. 144A company guaranty sr. notes 9.25%, 5/15/25   295,000 303,915
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil)   169,000 177,450
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil)   879,000 889,988
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil)   409,000 427,201
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico)   816,000 753,176
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico)   1,034,000 982,300
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada)   51,000 52,020
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada)   20,000 20,300
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25   80,000 81,200
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29   46,000 46,043
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27   51,000 52,283
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26   49,000 50,385
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28   197,000 203,290
SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25   30,000 32,750
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32   179,000 178,776
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30   337,000 342,463


38 Master Intermediate Income Trust



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Energy cont.
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29   $230,000 $232,875
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands)   35,055 34,967
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27   82,500 81,675
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27   35,000 35,651
9,101,896
Financials (2.5%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28   105,000 105,000
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27   30,000 28,856
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29   30,000 28,801
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) EUR 105,000 109,109
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom)   $200,000 204,215
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29   100,000 105,200
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29   188,000 161,210
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. bonds 3.625%, 10/1/31   35,000 29,838
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28   40,000 35,450
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany)   200,000 211,250
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24   53,000 52,801
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27   40,000 37,089
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada)   35,000 34,738
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada)   70,000 66,238
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26   104,000 106,080
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27   25,000 24,536
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29   64,000 58,720
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22   15,000 15,148
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy)   200,000 201,569
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26 R   190,000 192,375
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R   156,000 157,275
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R   122,000 120,018
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil)   930,000 881,175
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 R   172,000 162,218
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25 R   25,000 24,906


Master Intermediate Income Trust 39



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Financials cont.
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R   $115,000 $109,681
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31   210,000 200,279
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28   93,000 89,401
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/15/30   35,000 32,375
NatWest Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 (United Kingdom)   570,000 576,611
OneMain Finance Corp. company guaranty sr. unsec. notes 8.875%, 6/1/25   45,000 47,410
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26   60,000 64,133
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29   161,000 156,423
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25   110,000 108,900
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26   105,000 98,175
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25   235,000 231,066
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25 R   41,000 43,011
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia)   200,000 20,000
4,931,280
Health care (1.7%)
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27   51,000 51,191
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29   105,000 89,558
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29   80,000 65,600
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/15/29   50,000 38,950
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28   65,000 62,238
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30   55,000 50,516
Centene Corp. sr. unsec. notes 4.625%, 12/15/29   250,000 252,500
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31   60,000 56,475
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29   55,000 51,838
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26   305,000 317,633
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29   10,000 10,125
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27   45,000 45,788
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28   105,000 95,240


40 Master Intermediate Income Trust



CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Health care cont.
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28   $130,000 $139,428
Endo Luxembourg Finance Co. I SARL/Endo US, Inc. 144A company guaranty sr. notes 6.125%, 4/1/29 (Luxembourg)   45,000 40,838
Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25   55,000 54,588
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26   245,000 257,250
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30   55,000 53,134
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland)   200,000 193,750
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) EUR 110,000 113,155
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg)   $105,000 99,225
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29   20,000 18,750
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29   60,000 57,300
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29   155,000 157,726
Service Corp. International sr. unsec. notes 3.375%, 8/15/30   40,000 36,035
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31   40,000 37,213
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24   99,000 99,426
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27   28,000 28,745
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27   235,000 236,106
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26   249,000 251,179
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29   95,000 91,081
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel)   200,000 209,650
3,362,231
Technology (0.6%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28   40,000 37,314
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28   35,000 32,352
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26   20,000 20,232
Condor Merger Sub., Inc. 144A sr. unsec. notes 7.375%, 2/15/30   130,000 124,701
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29   80,000 73,400
Diebold Nixdorf, Inc. 144A company guaranty sr. notes 9.375%, 7/15/25   54,000 54,857
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29   131,000 126,148
Microchip Technology, Inc. company guaranty sr. unsec. notes 4.25%, 9/1/25   119,000 120,420
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25   45,000 45,394
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29   90,000 83,250
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31   65,000 60,419
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29   320,000 301,600


Master Intermediate Income Trust 41




CORPORATE BONDS AND NOTES (21.8%)* cont. Principal
amount
Value
Technology cont.
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29   $125,000 $114,253
1,194,340
Transportation (0.3%)
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29   120,000 119,550
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26   120,000 120,900
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28   170,000 171,302
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29   45,000 42,793
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26   45,000 44,265
498,810
Utilities and power (0.5%)
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26   29,000 28,340
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28   45,000 43,108
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26   29,000 29,145
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28   170,000 165,832
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31   25,000 22,750
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29   10,000 9,200
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27   8,000 8,244
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24   170,000 169,886
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32   80,000 70,400
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29   49,000 47,884
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26   110,000 104,526
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27   30,000 28,791
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29   50,000 48,262
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26   168,000 168,919
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27   75,000 73,786
1,019,073
Total corporate bonds and notes (cost $43,702,883) $42,294,733

FOREIGN GOVERNMENT AND AGENCY
BONDS AND NOTES (9.8%)*
Principal
amount
Value
Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, 5/14/30 (Bahrain)   $960,000 $1,039,228
Cote d’Ivoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Cote d’Ivoire) EUR 1,345,000 1,374,096
Cote d’Ivoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Cote d’Ivoire)   $1,025,000 1,045,500
Cote d’Ivoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d’Ivoire)   1,300,000 1,288,625


42 Master Intermediate Income Trust




FOREIGN GOVERNMENT AND AGENCY
BONDS AND NOTES (9.8%)*
cont.
Principal
amount
Value
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia)   $340,000 $342,550
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic)   325,000 293,719
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic)   336,000 358,680
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic)   180,000 182,702
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic)   284,000 291,810
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic)   380,000 394,250
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic)   260,000 238,553
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic)   725,000 750,375
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt)   360,000 314,100
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt)   840,000 795,917
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana)   1,510,000 1,272,175
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia)   379,000 372,486
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia)   1,020,000 1,083,740
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia)   360,000 372,154
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia)   200,000 212,499
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia)   650,000 690,625
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia)   560,000 566,998
Kenya (Republic of) sr. unsec. notes Ser. REGS, 7.00%, 5/22/27 (Kenya)   485,000 466,348
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia)   270,000 265,612
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal)   2,240,000 2,105,600
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia)   760,000 509,200
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey)   430,000 426,347
United Mexican States sr. unsec. unsub. bonds 3.25%, 4/16/30 (Mexico)   1,009,000 971,233
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam)   910,000 941,861
Total foreign government and agency bonds and notes (cost $19,414,292) $18,966,983


Master Intermediate Income Trust 43



CONVERTIBLE BONDS AND NOTES (6.0%)* Principal
amount
Value
Capital goods (0.1%)
John Bean Technologies Corp. 144A cv. sr. unsec. notes 0.25%, 5/15/26   $103,000 $98,932
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25   42,000 57,829
156,761
Communication services (0.4%)
Cable One, Inc. cv. company guaranty sr. unsec. notes 1.125%, 3/15/28   196,000 175,224
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26   357,000 321,122
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23   38,000 53,561
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50   79,000 112,101
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49   188,000 187,199
849,207
Consumer cyclicals (1.0%)
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26   63,000 53,235
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27   97,000 87,846
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26   80,000 73,948
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25   121,000 174,603
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25   88,000 100,485
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28   82,000 58,917
Expedia Group, Inc. cv. company guaranty sr. unsec. unsub. notes zero %, 2/15/26   166,000 201,906
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26   234,000 276,588
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51   95,000 77,863
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23   72,000 127,037
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25   37,000 56,795
NCL Corp., Ltd. cv. company guaranty sr. unsec. notes 5.375%, 8/1/25   37,000 53,465
NCL Corp., Ltd. 144A cv. company guaranty sr. unsec. notes 2.50%, 2/15/27   73,000 69,679
Royal Caribbean Cruises, Ltd. cv. sr. unsec. notes 2.875%, 11/15/23   219,000 264,771
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25   109,000 114,123
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26   168,000 162,706
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25   74,000 80,697
2,034,664
Consumer staples (0.6%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26   142,000 137,270
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26   82,000 74,394
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26   103,000 92,185
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26   111,000 90,687
Etsy, Inc. 144A cv. sr. unsec. notes 0.25%, 6/15/28   180,000 159,930
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25   70,000 86,695
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28   112,000 89,880
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25   80,000 71,600
Upwork, Inc. 144A cv. sr. unsec. notes 0.25%, 8/15/26   106,000 86,549


44 Master Intermediate Income Trust



CONVERTIBLE BONDS AND NOTES (6.0%)* cont. Principal
amount
Value
Consumer staples cont.
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25   $210,000 $172,410
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25   40,000 45,140
1,106,740
Energy (0.4%)
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28   174,000 180,786
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25   136,000 322,932
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25 (Israel)   72,000 98,028
Sunrun, Inc. cv. sr. unsec. notes zero %, 2/1/26   62,000 49,321
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23   96,000 90,019
741,086
Financials (0.2%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23 R   108,000 109,188
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23   109,000 119,355
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26   79,000 63,745
292,288
Health care (0.8%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27   65,000 65,084
DexCom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25   161,000 183,842
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28   243,000 213,597
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27   123,000 98,658
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27   150,000 130,688
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26   58,000 76,879
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26   77,000 90,745
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland)   152,000 155,040
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28   130,000 84,581
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24   42,000 55,020
Omnicell, Inc. cv. sr. unsec. notes 0.25%, 9/15/25   72,000 101,484
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25   135,000 167,231
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25   53,000 65,932
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27   101,000 85,194
1,573,975
Technology (2.1%)
3D Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26   57,000 47,823
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27   170,000 195,415
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25   93,000 122,202
Avalara, Inc. 144A cv. sr. unsec. notes 0.25%, 8/1/26   83,000 70,799
Bentley Systems, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 7/1/27   153,000 132,804
Bill.com Holdings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 4/1/27   104,000 99,190
Blackline, Inc. cv. sr. unsec. notes zero %, 3/15/26   106,000 89,570
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26   131,000 165,322
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26   94,000 81,968
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26   157,000 131,723


Master Intermediate Income Trust 45




CONVERTIBLE BONDS AND NOTES (6.0%)* cont. Principal
amount
Value
Technology cont.
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel)   $90,000 $111,546
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25   33,000 58,410
DigitalOcean Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26   58,000 45,994
Envestnet, Inc. 144A cv. company guaranty sr. unsec. notes 0.75%, 8/15/25   93,000 90,326
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26   120,000 101,850
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25   47,000 50,925
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25   107,000 111,901
Impinj, Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27   57,000 53,473
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26   138,000 159,925
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26   33,000 71,462
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26   194,000 189,150
ON Semiconductor Corp. 144A cv. sr. unsec. notes zero %, 5/1/27   109,000 147,477
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25   86,000 181,116
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25   72,000 67,644
Perficient, Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26   34,000 30,379
Rapid7, Inc. cv. sr. unsec. notes 0.25%, 3/15/27   103,000 128,081
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25   122,000 106,079
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25   76,000 104,356
Snap, Inc. 144A cv. sr. unsec. notes zero %, 5/1/27   133,000 113,316
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27   298,000 284,590
Spotify USA, Inc. cv. company guaranty sr. unsec. notes zero %, 3/15/26   68,000 57,945
Twitter, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26   264,000 221,628
Unity Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26   92,000 75,486
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24   49,000 63,547
Wolfspeed, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 2/15/28   60,000 67,988
Zendesk, Inc. cv. sr. unsec. notes 0.625%, 6/15/25   86,000 108,403
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26   71,000 80,053
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25   37,000 62,956
4,082,822
Transportation (0.2%)
American Airlines Group, Inc. cv. company guaranty notes 6.50%, 7/1/25   93,000 127,224
JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26   124,000 115,374
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25   170,000 230,690
473,288
Utilities and power (0.2%)
NextEra Energy Partners LP 144A cv. company guaranty sr. unsec. notes zero %, 11/15/25   145,000 164,048
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48   129,000 141,382
305,430
Total convertible bonds and notes (cost $11,680,646) $11,616,261


46 Master Intermediate Income Trust



SENIOR LOANS (3.1%)*c Principal
amount
Value
Basic materials (0.2%)
Klockner-Pentaplast of America, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.554%, 2/4/26   $29,700 $26,971
PQ Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.25%, 6/9/28   19,850 19,569
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 10/1/25   167,405 164,685
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.522%, 5/3/26   257,578 251,782
463,007
Capital goods (0.6%)
Adient US, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.707%, 4/1/28   74,438 73,135
American Axle and Manufacturing, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.25%), 3.00%, 4/6/24   20,819 20,663
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.705%, 4/3/24   347,663 342,302
Filtration Group Corp. bank term loan FRN (1 Month US LIBOR + 3.50%), 4.00%, 10/19/28   9,950 9,826
GFL Environmental, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.50%, 5/31/25   194,815 193,841
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.317%, 4/9/26   87,623 82,630
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 3/28/25   217,914 212,857
TK Elevator US Newco, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 7/31/27   207,274 205,073
1,140,327
Communication services (0.1%)
Asurion, LLC bank term loan FRN Ser. B9, (BBA LIBOR USD 3 Month + 3.25%), 3.707%, 7/31/27   29,774 29,132
DIRECTV Financing, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.75%, 7/22/27   76,400 76,231
105,363
Consumer cyclicals (0.9%)
AppleCaramel Buyer, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 0.00%), 4.25%, 10/19/27   212,622 209,875
Cengage Learning, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 5.75%, 6/29/26   174,125 172,493
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.799%, 8/21/26   230,976 226,819
Cornerstone Building Brands, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 4/12/28   152,488 147,277
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 5/5/24   100,227 99,275
Diamond Sports Group, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 3.25%), 3.79%, 8/24/26   97,506 32,970
Fertitta Entertainment, LLC/NV bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 4.00%), 4.50%, 1/12/29   84,085 83,559
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 4.71%, 10/30/26   82,448 81,359


Master Intermediate Income Trust 47



SENIOR LOANS (3.1%)*c cont. Principal
amount
Value
Consumer cyclicals cont.
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 5/1/26   $71,328 $70,838
iHeartCommunications, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.457%, 5/1/26   44,355 44,028
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 2.955%, 6/19/26   125,098 124,495
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26   100,000 75,000
Scientific Games International, Inc. bank term loan FRN Ser. B5, (BBA LIBOR USD 3 Month + 2.75%), 3.207%, 8/14/24   63,190 62,914
Terrier Media Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 3.957%, 12/17/26   122,327 120,319
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 7/24/24   184,656 182,656
1,733,877
Consumer staples (0.2%)
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/21/24   385,490 367,126
IRB Holding Corp. bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 3.00%), 3.75%, 12/15/27   39,500 39,237
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/25   96,970 96,121
502,484
Energy (0.1%)
CQP Holdco LP bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.756%, 6/4/28   94,288 93,713
Southwestern Energy Co. bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 2.50%), 3.301%, 6/8/27   64,838 64,675
158,388
Financials (0.1%)
Forest City Enterprises LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.957%, 12/7/25   91,429 90,693
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 4/25/25   43,993 43,673
134,366
Health care (0.3%)
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 1.981%, 2/4/27   61,394 60,339
Enterprise Merger Sub, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.207%, 10/10/25   103,397 68,415
Global Medical Response, Inc. bank term loan FRN (1 Month US LIBOR + 4.25%), 5.25%, 10/2/25   232,063 230,104
Jazz Financing Lux SARL bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 5/31/28   130,018 129,417
One Call Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 5.50%), 6.25%, 4/22/27   133,988 123,938
Ortho-Clinical Diagnostics, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.278%, 6/30/25   26,679 26,554
Quorum Health Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 7.75%), 8.748%, 4/29/25   87,648 77,130
715,897


48 Master Intermediate Income Trust




SENIOR LOANS (3.1%)*c cont. Principal
amount
Value
Technology (0.5%)
Arches Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 12/6/27   $183,145 $179,841
Boxer Parent Co., Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.756%, 10/2/25   182,354 181,101
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 7/30/27   93,575 92,723
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.545%, 12/1/27   178,200 177,755
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 2.709%, 7/2/25   151,476 150,104
Polaris Newco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 6/3/28   89,550 88,811
Rocket Software, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 4.75%, 11/28/25   59,550 58,657
928,992
Transportation (0.1%)
American Airlines, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.50%, 4/20/28   55,000 55,636
United Airlines, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.50%, 4/21/28   113,850 112,332
167,968
Total senior loans (cost $6,219,502) $6,050,669

PURCHASED SWAP OPTIONS OUTSTANDING (2.8%)*
Counterparty
Fixed right % to receive or (pay)/
Floating rate index/Maturity date
Expiration
date/strike
Notional/
Contract
amount
Value
Bank of America N.A.
0.485/3 month USD-LIBOR-BBA/Jan-25 Jan-24/0.485 $18,054,200 $10,110
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 302,487
(2.988)/3 month USD-LIBOR-BBA/Feb-39 Feb-29/2.988 3,156,500 147,156
JPMorgan Chase Bank N.A.
2.795/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 270,506
2.7575/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 264,612
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.7575 3,169,000 159,115
(2.795)/3 month USD-LIBOR-BBA/Dec-37 Dec-27/2.795 3,169,000 155,598
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Feb-73 Feb-48/3.00 3,150,300 630,501
3.00/3 month USD-LIBOR-BBA/Apr-72 Apr-47/3.00 3,150,300 611,820
2.75/3 month USD-LIBOR-BBA/May-73 May-48/2.75 3,150,300 545,348
(1.613)/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 334,137
1.613/3 month USD-LIBOR-BBA/Aug-34 Aug-24/1.613 3,902,100 94,470
NatWest Markets PLC
(0.52)/Sterling Overnight Index Average/Sep-23 Sep-22/0.52 GBP 41,615,900 893,287
UBS AG
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 409,051
(0.925)/6 month EUR-EURIBOR-Reuters/Mar-57 Mar-27/0.925 EUR 1,425,000 243,791
0.925/6 month EUR-EURIBOR-Reuters/Mar-57 Mar-27/0.925 EUR 1,425,000 243,050
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 Sep-24/0.153 EUR 5,920,000 47,742
Total purchased swap options outstanding (cost $3,442,341) $5,362,781


Master Intermediate Income Trust 49




PURCHASED OPTIONS
OUTSTANDING (0.0%)*
Counterparty
Expiration
date/strike
price
Notional
amount
Contract
amount
Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Call) Apr-22/$102.47 $25,044,923 $25,000,000 $25
Total purchased options outstanding (cost $—) $25

ASSET-BACKED SECURITIES (0.3%)* Principal
amount
Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24   $594,000 $592,515
Total asset-backed securities (cost $594,000) $592,515

COMMON STOCKS (0.1%)* Shares Value
iHeartMedia, Inc. Class A 6,510 $123,234
Oasis Petroleum, Inc. 378 55,301
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 9,820 12,570
Tribune Media Co. Class 1C 40,066 401
Total common stocks (cost $183,633) $191,506

WARRANTS (0.0%)* Expiration
date
Strike
price
Warrants Value
Guaranteed Rate, Inc. F 3/1/23 $0.01 33 $2
Total warrants (cost $2) $2

SHORT-TERM INVESTMENTS (17.9%)* Principal amount/
shares
Value
Putnam Short Term Investment Fund Class P 0.39% L Shares 11,362,599 $11,362,599
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25% P Shares 970,000 970,000
U.S. Treasury Bills 0.043%, 4/21/22 # ∆ Φ § $1,900,000 1,899,871
U.S. Treasury Bills 0.053%, 5/19/22 # ∆ Φ § 2,200,000 2,199,269
U.S. Treasury Bills 0.418%, 6/16/22 § 300,000 299,737
U.S. Treasury Bills 0.053%, 4/7/22 ∆ Φ § 4,416,000 4,415,893
U.S. Treasury Bills 0.348%, 6/2/22 # ∆ Φ § 3,900,000 3,897,807
U.S. Treasury Bills 0.391%, 6/9/22 # ∆ Φ § 2,400,000 2,398,275
U.S. Treasury Bills 0.172%, 4/26/22 ∆ § 900,000 899,918
U.S. Treasury Cash Management Bills 0.359%, 6/7/22 # ∆ Φ § 4,200,000 4,197,174
U.S. Treasury Cash Management Bills 0.401%, 6/14/22 ∆ § 2,300,000 2,298,109
Total short-term investments (cost $34,839,286) $34,838,652

TOTAL INVESTMENTS
Total investments (cost $389,838,814) $373,250,515
Key to holding’s currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
CZK Czech Koruna
EUR Euro


50 Master Intermediate Income Trust




GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona

Key to holding’s abbreviations
DAC Designated Activity Company
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
OJSC Open Joint Stock Company
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SOFR Secured Overnight Financing Rate
TBA To Be Announced Commitments
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from October 1, 2021 through March 31, 2022 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.
* Percentages indicated are based on net assets of $194,355,353.
This security is non-income-producing.
# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $317,854 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $15,554,544 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
Φ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $1,255,384 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $4,430,839 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).


Master Intermediate Income Trust 51




F This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).
i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
P This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
R Real Estate Investment Trust.
W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $155,242,060 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
See Note 1 to the financial statements regarding TBA commitments.
The dates shown on debt obligations are the original maturity dates.
FORWARD CURRENCY CONTRACTS at 3/31/22 (aggregate face value $38,572,368) (Unaudited)
Counterparty Currency Contract
type*
Delivery
date
Value Aggregate
face value
Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 4/20/22 $6,586 $6,265 $321
British Pound Buy 6/15/22 4,202 4,216 (14)
Canadian Dollar Buy 4/20/22 344,571 338,617 5,954
Japanese Yen Sell 5/18/22 355 376 21
New Zealand Dollar Buy 4/20/22 3,465 3,396 69
Norwegian Krone Buy 6/15/22 7,981 8,055 (74)
Barclays Bank PLC
British Pound Sell 6/15/22 167,573 169,127 1,554
Canadian Dollar Sell 4/20/22 143,411 141,422 (1,989)
Norwegian Krone Buy 6/15/22 1,090 1,069 21
Swiss Franc Buy 6/15/22 978,949 984,524 (5,575)
Citibank, N.A.
British Pound Sell 6/15/22 519,923 529,672 9,749
Chilean Peso Buy 4/20/22 52,307 49,210 3,097
Goldman Sachs International
Brazilian Real Buy 4/4/22 87,523 74,278 13,245
Brazilian Real Sell 4/4/22 87,523 83,181 (4,342)
Brazilian Real Buy 7/5/22 57,069 54,821 2,248
Canadian Dollar Buy 4/20/22 72,545 71,081 1,464
New Zealand Dollar Buy 4/20/22 77,882 74,442 3,440
Norwegian Krone Sell 6/15/22 166,688 164,820 (1,868)


52 Master Intermediate Income Trust



FORWARD CURRENCY CONTRACTS at 3/31/22 (aggregate face value $38,572,368) (Unaudited) cont.
Counterparty Currency Contract
type*
Delivery
date
Value Aggregate
face value
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
Polish Zloty Buy 6/15/22 $269,409 $262,274 $7,135
Swedish Krona Sell 6/15/22 225,947 218,873 (7,074)
Swiss Franc Buy 6/15/22 1,694,574 1,703,530 (8,956)
HSBC Bank USA, National Association
British Pound Sell 6/15/22 2,033,860 2,072,373 38,513
JPMorgan Chase Bank N.A.
Australian Dollar Sell 4/20/22 2,320 2,249 (71)
British Pound Buy 6/15/22 5,253 5,251 2
Canadian Dollar Sell 4/20/22 36,793 36,470 (323)
Euro Sell 6/15/22 468,431 465,882 (2,549)
Norwegian Krone Buy 6/15/22 2,850 2,851 (1)
Swedish Krona Buy 6/15/22 15,566 15,776 (210)
Morgan Stanley & Co. International PLC
Australian Dollar Buy 4/20/22 123,417 118,659 4,758
British Pound Buy 6/15/22 193,313 192,893 420
Canadian Dollar Buy 4/20/22 23,515 22,489 1,026
Euro Buy 6/15/22 271,653 268,252 3,401
New Zealand Dollar Sell 4/20/22 1,701,484 1,673,813 (27,671)
Norwegian Krone Sell 6/15/22 149,658 147,654 (2,004)
Swedish Krona Sell 6/15/22 165,387 156,802 (8,585)
NatWest Markets PLC
British Pound Buy 6/15/22 126,336 127,198 (862)
Swedish Krona Buy 6/15/22 4,059 4,055 4
Swiss Franc Buy 6/15/22 2,171 2,146 25
State Street Bank and Trust Co.
Australian Dollar Sell 4/20/22 1,945,788 1,865,231 (80,557)
British Pound Buy 6/15/22 11,951 12,086 (135)
Canadian Dollar Sell 4/20/22 1,721,171 1,688,705 (32,466)
Euro Sell 6/15/22 6,184,333 6,190,585 6,252
Japanese Yen Sell 5/18/22 2,438,971 2,444,072 5,101
Mexican Peso Buy 4/20/22 146,358 144,225 2,133
New Zealand Dollar Buy 4/20/22 116,822 114,953 1,869
Norwegian Krone Sell 6/15/22 591,377 585,432 (5,945)
Swedish Krona Sell 6/15/22 1,227,456 1,187,708 (39,748)
Swiss Franc Buy 6/15/22 2,551,521 2,527,565 23,956
Toronto-Dominion Bank
Canadian Dollar Sell 4/20/22 1,554,965 1,526,221 (28,744)
Japanese Yen Buy 5/18/22 2,673,109 2,813,965 (140,856)
Norwegian Krone Sell 6/15/22 339,779 336,020 (3,759)
UBS AG
Australian Dollar Sell 4/20/22 3,518 3,336 (182)
British Pound Buy 6/15/22 6,304 6,311 (7)
Canadian Dollar Sell 4/20/22 6,558 6,450 (108)
Czech Koruna Buy 6/15/22 143,571 135,323 8,248


Master Intermediate Income Trust 53




FORWARD CURRENCY CONTRACTS at 3/31/22 (aggregate face value $38,572,368) (Unaudited) cont.
Counterparty Currency Contract
type*
Delivery
date
Value Aggregate
face value
Unrealized
appreciation/
(depreciation)
UBS AG cont.
Euro Buy 6/15/22 $7,543 $7,585 $(42)
Japanese Yen Buy 5/18/22 5,520,431 5,881,866 (361,435)
New Zealand Dollar Sell 4/20/22 91,186 91,356 170
Norwegian Krone Buy 6/15/22 216,994 213,896 3,098
Swedish Krona Buy 6/15/22 335,378 317,337 18,041
Swiss Franc Sell 6/15/22 214,372 214,078 (294)
Unrealized appreciation 165,335
Unrealized (depreciation) (766,446)
Total $(601,111)
* The exchange currency for all contracts listed is the United States Dollar.

FUTURES CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Number of
contracts
Notional
amount
Value Expiration
date
Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short) 51 $10,808,016 $10,808,016 Jun-22 $134,955
U.S. Treasury Note 5 yr (Long) 129 14,794,688 14,794,688 Jun-22 (351,954)
U.S. Treasury Note Ultra 10 yr (Long) 71 9,618,281 9,618,281 Jun-22 (134,527)
Unrealized appreciation 134,955
Unrealized (depreciation) (486,481)
Total $(351,526)

WRITTEN OPTIONS OUTSTANDING at 3/31/22 (premiums $319,336) (Unaudited)
Counterparty Expiration
date/strike price
Notional
amount
Contract
amount
Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Put) Apr-22/$102.47 $25,044,923   $25,000,000 $568,325
Total $568,325

WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/22 (premiums $6,909,962) (Unaudited)
Counterparty
Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date
Expiration
date/strike
Notional/Contract
amount
Value
Bank of America N.A.
0.985/3 month USD-LIBOR-BBA/Jan-25 Jan-24/0.985 $18,054,200 $347,724
Citibank, N.A.
(1.865)/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 185,316
1.865/3 month USD-LIBOR-BBA/Oct-39 Oct-29/1.865 3,799,800 329,025
2.395/3 month USD-LIBOR-BBA/Nov-33 Nov-23/2.395 16,650,600 715,476
Goldman Sachs International
1.448/Sterling Overnight Index Average/Feb-39 Feb-29/1.448 GBP 2,049,600 181,525
(1.448)/Sterling Overnight Index Average/Feb-39 Feb-29/1.448 GBP 2,049,600 191,218


54 Master Intermediate Income Trust




WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/22 (premiums $6,909,962) (Unaudited) cont.
Counterparty
Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date
Expiration
date/strike
Notional/Contract
amount
Value
JPMorgan Chase Bank N.A.
(0.968)/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 $1,653,100 $24,631
(1.07)/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 2,639,000 41,036
1.07/3 month USD-LIBOR-BBA/Mar-32 Mar-27/1.07 2,639,000 173,936
0.968/3 month USD-LIBOR-BBA/Mar-35 Mar-25/0.968 1,653,100 211,415
3.229/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 11,760,300 222,505
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 236,446
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 Feb-26/1.667 EUR 4,509,200 342,098
(3.229)/3 month USD-LIBOR-BBA/Nov-33 Nov-23/3.229 $11,760,300 1,073,010
Morgan Stanley & Co. International PLC
(1.512)/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 10,380
3.01/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 58,999
2.97/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 60,329
(2.97)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/2.97 1,621,300 148,657
(3.01)/3 month USD-LIBOR-BBA/Feb-36 Feb-26/3.01 1,621,300 152,467
1.512/3 month USD-LIBOR-BBA/Aug-32 Aug-22/1.512 3,902,100 333,200
(3.00)/3 month USD-LIBOR-BBA/Apr-48 Apr-23/3.00 3,150,300 483,067
(2.75)/3 month USD-LIBOR-BBA/May-49 May-25/2.75 3,150,300 490,061
(3.00)/3 month USD-LIBOR-BBA/Jan-49 Jan-24/3.00 3,150,300 545,758
NatWest Markets PLC
0.84/Sterling Overnight Index Average/Sep-23 Sep-22/0.84 GBP 41,615,900 727,641
0.68/Sterling Overnight Index Average/Sep-23 Sep-22/0.68 GBP 41,615,900 810,191
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 $241,000 10,276
1.17/3 month USD-LIBOR-BBA/Mar-55 Mar-25/1.17 482,100 119,783
UBS AG
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 4,407,800 212,588
1.9875/3 month USD-LIBOR-BBA/Oct-36 Oct-26/1.9875 4,407,800 330,761
Total $8,769,519

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/
Maturity date
Expiration
date/strike
Notional/
Contract
amount
Premium
receivable/
(payable)
Unrealized
appreciation/
(depreciation)
Bank of America N.A.
(0.305)/3 month USD-LIBOR-BBA/May-23 (Purchased) May-22/0.305   $29,403,000 $(35,284) $498,381
(1.39)/SOFR/Dec-26 (Purchased) Dec-24/1.39   42,445,300 (488,121) 491,092
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925   4,191,700 (300,126) 311,527
2.35/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35   6,660,800 (865,904) 232,862
(2.485)/3 month USD-LIBOR-BBA/Oct-54 (Purchased) Oct-24/2.485   7,702,700 (464,858) 183,093


Master Intermediate Income Trust 55



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/
Maturity date
Expiration
date/strike
Notional/
Contract
amount
Premium
receivable/
(payable)
Unrealized
appreciation/
(depreciation)
Bank of America N.A. cont.
(0.85)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85   $2,134,700 $(155,833) $165,354
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275   2,128,300 (277,211) 160,708
(1.76)/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76   17,405,100 (112,480) 90,332
(1.405)/SOFR/Dec-58 (Purchased) Dec-28/1.405   927,600 (142,271) 47,447
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (347,036) 36,079
(2.2875)/3 month USD-LIBOR-BBA/May-32 (Purchased) May-22/2.2875   $5,880,600 (76,448) 30,756
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.304 EUR 2,141,400 (173,518) 30,346
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) 25,607
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075   $1,596,200 (36,113) 17,143
1.76/3 month USD-LIBOR-BBA/Jan-29 (Purchased) Jan-28/1.76   17,405,100 (112,480) 15,839
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) Jun-24/1.053 EUR 1,132,450 (258,281) 12,678
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275   $25,327,500 (233,646) (760)
2.29/3 month USD-LIBOR-BBA/Mar-34 (Purchased) Mar-24/2.29   5,120,200 (251,841) (21,505)
1.405/SOFR/Dec-58 (Purchased) Dec-28/1.405   927,600 (142,271) (23,236)
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.85   2,134,700 (155,833) (79,219)
(2.35)/3 month USD-LIBOR-BBA/Apr-56 (Purchased) Apr-26/2.35   6,660,800 (865,904) (83,060)
1.39/SOFR/Dec-26 (Purchased) Dec-24/1.39   42,445,300 (488,121) (96,775)
2.17/3 month USD-LIBOR-BBA/Apr-34 (Purchased) Apr-24/2.17   14,629,100 (706,586) (100,063)
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) Mar-30/1.275   2,128,300 (277,211) (114,652)
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased) Mar-30/0.925   4,191,700 (300,126) (145,033)
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) May-22/2.2275   25,327,500 (233,646) (215,030)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) Jun-22/2.3075   1,596,200 (750,495) (681,450)
(1.085)/3 month USD-LIBOR-BBA/Apr-34 (Written) Apr-24/1.085   29,258,100 401,567 53,542
(1.115)/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115   17,405,100 73,319 20,886
(1.29)/3 month USD-LIBOR-BBA/Mar-34 (Written) Mar-24/1.29   7,314,500 114,106 9,655


56 Master Intermediate Income Trust



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/
Maturity date
Expiration
date/strike
Notional/
Contract
amount
Premium
receivable/
(payable)
Unrealized
appreciation/
(depreciation)
Bank of America N.A. cont.
1.7875/3 month USD-LIBOR-BBA/May-32 (Written) May-22/1.7875   $2,940,300 $82,328 $(82,270)
1.115/3 month USD-LIBOR-BBA/Jan-26 (Written) Jan-25/1.115   17,405,100 73,319 (200,855)
2.415/3 month USD-LIBOR-BBA/Oct-33 (Written) Oct-23/2.415   23,878,400 504,431 (494,760)
0.805/3 month USD-LIBOR-BBA/May-23 (Written) May-22/0.805   58,806,000 19,112 (758,597)
Citibank, N.A.
(1.752)/3 month USD-LIBOR-BBA/Dec-31 (Purchased) Dec-26/1.752   15,721,800 (512,531) 277,804
(1.648)/SOFR/Sep-32 (Purchased) Sep-22/1.648   7,636,200 (186,705) 240,540
(1.75)/SOFR/Mar-53 (Purchased) Mar-23/1.75   4,059,800 (303,876) 128,168
(1.724)/SOFR/Mar-53 (Purchased) Mar-23/1.724   3,532,900 (266,557) 122,097
(1.826)/SOFR/Jan-42 (Purchased) Jan-32/1.826   6,632,800 (489,832) 120,518
(1.735)/SOFR/Mar-53 (Purchased) Mar-23/1.735   3,458,300 (255,655) 119,865
(2.194)/3 month USD-LIBOR-BBA/Sep-52 (Purchased) Sep-22/2.194   2,947,300 (72,290) 112,263
(1.102)/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102   866,600 (27,536) 77,890
(1.90)/3 month USD-LIBOR-BBA/Jun-28 (Purchased) Jun-26/1.90   10,644,300 (141,889) 74,084
2.31/SOFR/Jun-32 (Purchased) Jun-22/2.31   12,257,500 (262,923) 63,862
(1.625)/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625   1,936,700 (285,663) 32,595
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689   934,000 (120,253) 24,144
2.427/3 month USD-LIBOR-BBA/Jun-41 (Purchased) Jun-31/2.427   2,053,700 (149,612) 19,284
1.90/3 month USD-LIBOR-BBA/Jun-28 (Purchased) Jun-26/1.90   10,644,300 (141,889) 13,412
2.194/SOFR/Apr-32 (Purchased) Apr-22/2.194   7,807,200 (87,441) 11,711
(2.427)/3 month USD-LIBOR-BBA/Jun-41 (Purchased) Jun-31/2.427   2,053,700 (149,612) 10,761
1.625/3 month USD-LIBOR-BBA/Jan-61 (Purchased) Jan-41/1.625   1,936,700 (285,663) 8,560
1.826/SOFR/Jan-42 (Purchased) Jan-32/1.826   6,632,800 (489,832) (19,036)
1.102/3 month USD-LIBOR-BBA/Nov-32 (Purchased) Nov-22/1.102   866,600 (27,536) (25,478)
(2.194)/SOFR/Apr-32 (Purchased) Apr-22/2.194   7,807,200 (87,441) (35,913)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.689   934,000 (120,253) (52,295)
1.752/3 month USD-LIBOR-BBA/Dec-31 (Purchased) Dec-26/1.752   15,721,800 (512,531) (56,598)
1.735/SOFR/Mar-53 (Purchased) Mar-23/1.735   3,458,300 (255,655) (84,106)
1.724/SOFR/Mar-53 (Purchased) Mar-23/1.724   3,532,900 (266,557) (94,788)


Master Intermediate Income Trust 57



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/
Maturity date
Expiration
date/strike
Notional/
Contract
amount
Premium
receivable/
(payable)
Unrealized
appreciation/
(depreciation)
Citibank, N.A. cont.
1.75/SOFR/Mar-53 (Purchased) Mar-23/1.75   $4,059,800 $(303,876) $(98,207)
(2.31)/SOFR/Jun-32 (Purchased) Jun-22/2.31   12,257,500 (262,923) (109,214)
1.458/SOFR/Apr-27 (Purchased) Apr-22/1.458   14,654,000 (117,232) (116,792)
1.648/SOFR/Sep-32 (Purchased) Sep-22/1.648   7,636,200 (186,705) (130,579)
0.555/6 month EUR-EURIBOR-Reuters/Mar-25 (Purchased) Mar-24/0.555 EUR 49,535,200 (312,472) (167,135)
1.5625/SOFR/Jun-32 (Purchased) Jun-22/1.5625   $33,447,000 (647,199) (585,991)
(1.3125)/SOFR/Jun-32 (Written) Jun-22/1.3125   33,447,000 334,470 313,733
(0.055)/6 month EUR-EURIBOR-Reuters/Mar-25 (Written) Mar-24/0.055 EUR 99,070,400 317,859 183,026
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245   $17,729,300 162,223 160,273
(1.194)/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-23/1.194   10,644,300 80,684 65,143
(1.208)/SOFR/Apr-27 (Written) Apr-22/1.208   14,654,000 48,358 48,358
(1.177)/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177   818,000 62,004 26,642
(1.918)/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918   2,331,200 278,812 19,419
1.177/3 month USD-LIBOR-BBA/Jul-40 (Written) Jul-30/1.177   818,000 62,004 (46,626)
1.918/3 month USD-LIBOR-BBA/Jan-51 (Written) Jan-31/1.918   2,331,200 278,812 (68,234)
1.194/3 month USD-LIBOR-BBA/Jun-25 (Written) Jun-23/1.194   10,644,300 80,684 (284,841)
1.708/SOFR/Apr-27 (Written) Apr-22/1.708   14,654,000 51,289 (349,205)
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) Aug-22/1.245   17,729,300 162,223 (401,746)
1.7075/3 month USD-LIBOR-BBA/Sep-27 (Written) Sep-22/1.7075   14,147,000 74,979 (550,884)
1.8125/SOFR/Jun-32 (Written) Jun-22/1.8125   33,447,000 334,470 (905,076)
Deutsche Bank AG
(1.724)/SOFR/Jan-47 (Purchased) Jan-37/1.724   8,291,000 (684,422) 103,969
1.724/SOFR/Jan-47 (Purchased) Jan-37/1.724   8,291,000 (684,422) (8,540)
2.135/SOFR/Mar-42 (Written) Mar-32/2.135   7,500,200 630,392 16,800
(2.135)/SOFR/Mar-42 (Written) Mar-32/2.135   7,500,200 630,392 (11,775)
Goldman Sachs International
(-0.197)/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) Jun-23/-0.197 EUR 14,945,400 (66,400) 440,118
(1.769)/SOFR/May-32 (Purchased) May-22/1.769   $6,099,700 (94,484) 131,693
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727   1,382,700 (206,714) 34,927
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175   739,600 (93,375) 28,186
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/1.727   1,382,700 (126,794) (15,625)


58 Master Intermediate Income Trust



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/
Maturity date
Expiration
date/strike
Notional/
Contract
amount
Premium
receivable/
(payable)
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175   $739,600 $(93,375) $(32,335)
-0.197/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) Jun-23/-0.197 EUR 14,945,400 (66,400) (49,765)
1.769/SOFR/May-32 (Purchased) May-22/1.769   $6,099,700 (94,484) (82,529)
(0.555)/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 1,746,550 263,750 54,351
(0.26)/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) Jun-26/0.26 EUR 14,945,400 166,667 31,083
0.555/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) Mar-30/0.555 EUR 1,746,550 263,750 (90,462)
2.41/3 month USD-LIBOR-BBA/Aug-33 (Written) Aug-23/2.41   $6,792,100 99,165 (179,040)
2.07/3 month USD-LIBOR-BBA/Aug-33 (Written) Aug-23/2.07   5,740,400 118,826 (207,630)
0.26/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) Jun-26/0.26 EUR 14,945,400 166,667 (289,995)
JPMorgan Chase Bank N.A.
(1.805)/3 month USD-LIBOR-BBA/Dec-36 (Purchased) Dec-26/1.805   $4,305,400 (255,310) 133,252
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) 132,358
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) 112,295
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) 106,325
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) 96,905
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 2,376,500 (147,789) 84,844
(1.905)/SOFR/Jan-42 (Purchased) Jan-32/1.905   $3,368,100 (245,871) 53,351
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50   1,556,600 (89,971) 36,658
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032   1,589,500 (183,587) 30,709
(1.544)/SOFR/Jan-62 (Purchased) Jan-32/1.544   1,263,000 (212,184) 29,264
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902   934,000 (144,396) 26,507
1.905/SOFR/Jan-42 (Purchased) Jan-32/1.905   3,368,100 (245,871) 1,751
1.544/SOFR/Jan-62 (Purchased) Jan-32/1.544   1,263,000 (212,184) (6,277)
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased) Jan-25/2.032   1,589,500 (183,587) (11,715)
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) Nov-26/2.495 AUD 2,376,500 (147,789) (35,353)
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) Jan-25/1.692 AUD 1,387,400 (43,285) (36,783)


Master Intermediate Income Trust 59



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/
Maturity date
Expiration
date/strike
Notional/
Contract
amount
Premium
receivable/
(payable)
Unrealized
appreciation/
(depreciation)
JPMorgan Chase Bank N.A. cont.
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) Nov-29/2.50   $1,556,600 $(161,886) $(40,814)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.902   934,000 (100,218) (44,935)
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) Jul-25/1.441 AUD 929,600 (54,979) (46,224)
1.805/3 month USD-LIBOR-BBA/Dec-36 (Purchased) Dec-26/1.805   $4,305,400 (255,310) (46,498)
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) Mar-30/1.445 AUD 1,940,600 (72,744) (48,821)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) Oct-28/1.921 EUR 1,230,800 (157,399) (56,859)
(1.232)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232   $2,822,300 181,333 81,762
(1.168)/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168   2,588,400 166,564 78,739
(1.204)/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204   2,238,000 166,843 69,378
(2.50)/6 month AUD-BBR-BBSW/Nov-42 (Written) Nov-22/2.50 AUD 1,473,400 53,182 40,463
(1.70)/SOFR/Jan-29 (Written) Jan-24/1.70   $9,935,900 212,007 31,596
(1.81)/SOFR/Jan-37 (Written) Jan-27/1.81   1,633,300 96,528 1,633
1.81/SOFR/Jan-37 (Written) Jan-27/1.81   1,633,300 96,528 (32,699)
2.50/6 month AUD-BBR-BBSW/Nov-42 (Written) Nov-22/2.50 AUD 1,473,400 53,182 (68,314)
1.204/3 month USD-LIBOR-BBA/Jun-40 (Written) Jun-30/1.204   $2,238,000 166,843 (126,626)
1.168/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.168   2,588,400 166,564 (162,163)
1.232/3 month USD-LIBOR-BBA/Jun-37 (Written) Jun-27/1.232   2,822,300 181,333 (166,459)
1.70/SOFR/Jan-29 (Written) Jan-24/1.70   9,935,900 212,007 (185,901)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27   1,191,600 (135,962) 165,501
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505   934,000 (100,498) 23,117
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) Nov-24/2.505   934,000 (143,089) (61,915)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) Oct-23/3.27   1,191,600 (135,962) (102,799)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39   8,236,000 433,625 29,732
2.02/SOFR/Mar-56 (Written) Mar-26/2.02   2,194,400 288,015 20,145
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) Jun-24/2.39   8,236,000 433,625 2,471
(2.02)/SOFR/Mar-56 (Written) Mar-26/2.02   2,194,400 288,015 (61,509)


60 Master Intermediate Income Trust



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/
Maturity date
Expiration
date/strike
Notional/
Contract
amount
Premium
receivable/
(payable)
Unrealized
appreciation/
(depreciation)
Toronto-Dominion Bank
(1.50)/3 month USD-LIBOR-BBA/Feb-33 (Purchased) Feb-23/1.50   $4,379,600 $(150,549) $245,958
(1.937)/3 month USD-LIBOR-BBA/Feb-36 (Purchased) Feb-26/1.937   1,751,900 (91,624) 46,425
2.405/3 month USD-LIBOR-BBA/Mar-41 (Purchased) Mar-31/2.405   713,100 (49,739) 7,659
(2.405)/3 month USD-LIBOR-BBA/Mar-41 (Purchased) Mar-31/2.405   713,100 (49,739) 5,855
1.937/3 month USD-LIBOR-BBA/Feb-36 (Purchased) Feb-26/1.937   1,751,900 (91,624) (7,130)
1.50/3 month USD-LIBOR-BBA/Feb-33 (Purchased) Feb-23/1.50   4,379,600 (150,549) (119,826)
(2.095)/3 month USD-LIBOR-BBA/Feb-56 (Written) Feb-26/2.095   756,700 99,506 (2,770)
2.095/3 month USD-LIBOR-BBA/Feb-56 (Written) Feb-26/2.095   756,700 99,506 (7,037)
UBS AG
(0.271)/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) Jan-26/0.271 EUR 2,804,800 (146,695) 253,375
(0.8925)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925   $2,786,300 (59,070) 162,107
(0.44)/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) Feb-31/0.44 EUR 2,103,600 (165,032) 133,809
(0.45)/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) Jan-31/0.45 EUR 1,682,900 (132,385) 105,726
(0.902)/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902   $1,114,500 (62,356) 89,517
(0.87)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87   9,287,700 (62,646) 89,441
(0.90)/Sterling Overnight Index Average/Jan-40 (Purchased) Jan-30/0.90 GBP 1,981,900 (187,075) 80,006
(0.296)/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) Jan-31/0.296 EUR 701,200 (106,103) 59,349
(0.983)/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983   $3,715,100 (58,884) 58,736
(1.715)/3 month USD-LIBOR-BBA/Feb-53 (Purchased) Feb-23/1.715   875,900 (79,050) 50,811
(0.4879)/Sterling Overnight Index Average/Aug-39 (Purchased) Aug-29/0.4879 GBP 848,500 (87,456) 50,080
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 2,078,300 (110,618) 32,208
(1.87)/3 month USD-LIBOR-BBA/Jul-46 (Purchased) Jul-41/1.87   $3,893,200 (181,034) 29,277
1.87/3 month USD-LIBOR-BBA/Jul-46 (Purchased) Jul-41/1.87   3,893,200 (181,034) 7,163
0.70/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) Mar-34/0.70 EUR 712,500 (163,238) 4,690


Master Intermediate Income Trust 61



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/
Maturity date
Expiration
date/strike
Notional/
Contract
amount
Premium
receivable/
(payable)
Unrealized
appreciation/
(depreciation)
UBS AG cont.
0.70/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) Mar-34/0.70 EUR 712,500 (165,624) 2,530
(0.70)/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) Mar-34/0.70 EUR 712,500 (163,238) (5,202)
(0.70)/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) Mar-34/0.70 EUR 712,500 (165,624) (7,362)
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) Sep-36/2.00 AUD 2,078,300 (110,618) (14,821)
0.983/3 month USD-LIBOR-BBA/Apr-32 (Purchased) Apr-30/0.983   $3,715,100 $(58,884) $(20,656)
0.87/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-27/0.87   9,287,700 (62,646) (22,198)
0.90/Sterling Overnight Index Average/Jan-40 (Purchased) Jan-30/0.90 GBP 1,981,900 (187,075) (27,259)
0.296/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) Jan-31/0.296 EUR 701,200 (106,103) (30,555)
0.4879/Sterling Overnight Index Average/Aug-39 (Purchased) Aug-29/0.4879 GBP 848,500 (87,456) (34,275)
0.902/3 month USD-LIBOR-BBA/Apr-35 (Purchased) Apr-25/0.902   $1,114,500 (62,356) (42,318)
0.45/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) Jan-31/0.45 EUR 1,682,900 (132,385) (42,521)
0.44/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) Feb-31/0.44 EUR 2,103,600 (165,032) (53,361)
0.8925/3 month USD-LIBOR-BBA/Apr-28 (Purchased) Apr-23/0.8925   $2,786,300 (59,070) (53,664)
1.715/3 month USD-LIBOR-BBA/Feb-53 (Purchased) Feb-23/1.715   875,900 (79,050) (53,798)
0.271/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) Jan-26/0.271 EUR 2,804,800 (146,695) (81,356)
0.32/6 month EUR-EURIBOR-Reuters/Sep-52 (Purchased) Sep-22/0.32 EUR 4,156,500 (252,651) (189,167)
(0.16)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written) Sep-22/0.16 EUR 4,156,500 166,270 123,092
(0.00)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written) Sep-22/0.00 EUR 4,156,500 107,780 78,214
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 32,045
(0.958)/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958   $2,229,000 59,236 31,384
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) Aug-29/0.43 EUR 789,300 63,277 (45,317)
0.958/3 month USD-LIBOR-BBA/May-30 (Written) May-25/0.958   $2,229,000 59,236 (97,296)


62 Master Intermediate Income Trust




FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/
Maturity date
Expiration
date/strike
Notional/
Contract
amount
Premium
receivable/
(payable)
Unrealized
appreciation/
(depreciation)
Wells Fargo Bank, N.A.
(1.405)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.405   $6,131,500 $(125,542) $221,592
(1.3875)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.3875   4,379,600 (89,891) 160,644
(1.96)/3 month USD-LIBOR-BBA/Jan-41 (Purchased) Jan-31/1.96   3,664,100 (248,060) 97,831
(1.8225)/SOFR/Jan-42 (Purchased) Jan-32/1.8225   2,487,300 (183,563) 45,642
(2.16)/3 month USD-LIBOR-BBA/Feb-35 (Purchased) Feb-25/2.16   2,591,000 (129,226) 33,890
2.16/3 month USD-LIBOR-BBA/Feb-35 (Purchased) Feb-25/2.16   2,591,000 (129,226) (207)
1.8225/SOFR/Jan-42 (Purchased) Jan-32/1.8225   2,487,300 (183,563) (7,313)
1.96/3 month USD-LIBOR-BBA/Jan-41 (Purchased) Jan-31/1.96   3,664,100 (248,060) (13,997)
1.3875/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.3875   4,379,600 (89,891) (44,628)
1.405/3 month USD-LIBOR-BBA/Feb-29 (Purchased) Feb-24/1.405   6,131,500 (125,542) (61,008)
(1.62)/SOFR/Jan-27 (Written) Jan-25/1.62   19,069,300 209,762 (4,577)
1.62/SOFR/Jan-27 (Written) Jan-25/1.62   19,069,300 209,762 (179,250)
Unrealized appreciation 9,276,418
Unrealized (depreciation) (10,859,238)
Total $(1,582,820)

TBA SALE COMMITMENTS OUTSTANDING at 3/31/22 (proceeds receivable $142,035,215) (Unaudited)
Agency Principal
amount
Settlement
date
Value
Government National Mortgage Association, 3.50%, 4/1/52 $1,000,000 4/21/22 $1,005,881
Uniform Mortgage-Backed Securities, 4.50%, 4/1/52 4,000,000 4/13/22 4,149,376
Uniform Mortgage-Backed Securities, 4.00%, 4/1/52 38,000,000 4/13/22 38,780,801
Uniform Mortgage-Backed Securities, 3.50%, 5/1/52 4,000,000 5/12/22 3,992,188
Uniform Mortgage-Backed Securities, 3.50%, 4/1/52 36,000,000 4/13/22 36,064,688
Uniform Mortgage-Backed Securities, 3.00%, 5/1/52 1,000,000 4/12/22 976,094
Uniform Mortgage-Backed Securities, 3.00%, 4/1/52 14,000,000 4/13/22 13,697,032
Uniform Mortgage-Backed Securities, 2.50%, 4/1/52 29,000,000 4/13/22 27,672,344
Uniform Mortgage-Backed Securities, 2.00%, 5/1/52 5,000,000 4/12/22 4,632,305
Uniform Mortgage-Backed Securities, 2.00%, 4/1/52 10,000,000 4/13/22 9,281,406
Total $140,252,115


Master Intermediate Income Trust 63



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
  $10,525,000 $265,651 $509 12/23/23 0.695% — Annually Secured Overnight Financing Rate — Annually $248,131
  9,137,000 479,418 785 12/23/26 1.085% — Annually Secured Overnight Financing Rate — Annually 454,751
  3,751,000 274,686 453 12/23/31 1.285% — Annually Secured Overnight Financing Rate — Annually 262,627
  1,989,000 242,678 (3,542) 12/23/51 Secured Overnight Financing Rate — Annually 1.437% — Annually (238,753)
  17,549,000 442,410 (1,786) 12/24/23 0.697% — Annually Secured Overnight Financing Rate — Annually 410,652
  2,253,000 117,133 (302) 12/24/26 1.096% — Annually Secured Overnight Financing Rate — Annually 110,539
  4,722,000 345,839 (2,108) 12/24/31 1.285% — Annually Secured Overnight Financing Rate — Annually 328,108
  8,061,000 987,069 (4,356) 12/24/51 1.435% — Annually Secured Overnight Financing Rate — Annually 939,206
  3,679,000 376,730 (600) 12/31/51 1.525% — Annually Secured Overnight Financing Rate — Annually 362,616
  1,496,000 75,354 (198) 12/31/26 Secured Overnight Financing Rate — Annually 1.135% — Annually (71,513)
  392,000 26,338 7,059 12/31/31 Secured Overnight Financing Rate — Annually 1.355% — Annually (18,190)
  16,450,000 655,204 (133) 1/12/27 Secured Overnight Financing Rate — Annually 1.372% — Annually (608,506)


64 Master Intermediate Income Trust



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
  $994,900 $12,377 E $(22) 1/15/47 1.724% — Annually Secured Overnight Financing Rate — Annually $12,354
  2,639,000 179,505 (90) 1/21/52 1.679% — Annually Secured Overnight Financing Rate — Annually 171,134
  1,659,000 132,488 (57) 1/19/52 Secured Overnight Financing Rate — Annually 1.626% — Annually (127,362)
  1,097,000 80,575 (37) 2/1/52 1.6545% — Annually Secured Overnight Financing Rate — Annually 77,709
  11,495,000 354,851 (2,796) 2/15/29 Secured Overnight Financing Rate — Annually 1.681% — Annually (334,853)
  4,024,900 110,323 (137) 2/24/52 Secured Overnight Financing Rate — Annually 1.86% — Annually (103,272)
  2,096,000 100,818 (72) 2/29/52 1.7674% — Annually Secured Overnight Financing Rate — Annually 97,609
  1,764,000 57,753 (23) 2/29/32 Secured Overnight Financing Rate — Annually 1.75% — Annually (55,164)
  11,852,000 311,945 (96) 2/28/27 1.675% — Annually Secured Overnight Financing Rate — Annually 295,081
  19,510,000 275,286 (74) 2/29/24 Secured Overnight Financing Rate — Annually 1.47709% — Annually (251,435)
  7,250,000 199,085 (83) 3/1/29 Secured Overnight Financing Rate — Annually 1.7355% — Annually (188,682)
  1,854,000 70,582 (25) 3/7/32 3 month USD-LIBOR-BBA — Quarterly 1.9575% — Semiannually (68,938)
  8,064,200 411,194 (107) 3/9/32 1.5475% — Annually Secured Overnight Financing Rate — Annually 403,611


Master Intermediate Income Trust 65



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
  $8,361,800 $430,884 $(111) 3/9/32 1.5415% — Annually Secured Overnight Financing Rate — Annually $423,104
  4,408,000 149,872 (58) 3/11/32 1.737% — Annually Secured Overnight Financing Rate — Annually 145,613
  1,856,000 64,941 E 4,858 6/15/32 Secured Overnight Financing Rate — Annually 1.762% — Annually (60,084)
  4,510,000 51,143 (52) 3/21/29 Secured Overnight Financing Rate — Annually 1.986% — Annually (48,579)
  120,701,000 1,605,323 E (1,753,649) 6/15/24 1.80% — Annually Secured Overnight Financing Rate — Annually (148,326)
  71,592,000 1,514,887 E (1,677,771) 6/15/27 1.85% — Annually Secured Overnight Financing Rate — Annually (162,884)
  12,926,000 234,090 E 342,669 6/15/32 Secured Overnight Financing Rate — Annually 1.95% — Annually 108,579
  10,054,000 130,501 E 155,764 6/15/52 Secured Overnight Financing Rate — Annually 2.05% — Annually 286,265
  3,579,000 48,424 (47) 3/30/32 2.2655% — Annually Secured Overnight Financing Rate — Annually (48,894)
  3,579,000 46,670 (47) 3/30/32 2.26% — Annually Secured Overnight Financing Rate — Annually (47,139)
  3,615,000 20,425 (29) 3/30/27 2.3535% — Annually Secured Overnight Financing Rate — Annually (20,899)
  12,257,500 197,591 E (163) 4/7/32 2.298% — Annually Secured Overnight Financing Rate — Annually (197,753)


66 Master Intermediate Income Trust



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
  $2,530,000 $12,271 $(20) 3/31/27 Secured Overnight Financing Rate — Annually 2.3365% — Annually $12,414
  23,920,000 28,704 (90) 3/31/24 2.307% — Annually Secured Overnight Financing Rate — Annually (30,327)
  17,660,000 45,033 (143) 3/31/27 Secured Overnight Financing Rate — Annually 2.288% — Annually 46,013
  5,481,000 3,069 (44) 4/1/27 2.247% — Annually Secured Overnight Financing Rate — Annually (3,114)
  3,317,000 4,843 (44) 4/4/32 2.116% — Annually Secured Overnight Financing Rate — Annually (4,887)
  388,000 43 (1) 4/4/24 Secured Overnight Financing Rate — Annually 2.243% — Annually 42
  496,000 104 (7) 4/4/32 Secured Overnight Financing Rate — Annually 2.0975% — Annually (111)
AUD 79,300 7,642 E (1) 1/30/35 1.692% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 7,641
AUD 266,900 29,145 E (3) 3/5/35 1.47% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 29,143
AUD 99,100 11,198 E (1) 3/25/35 1.4025% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 11,198
AUD 155,200 13,629 E (2) 3/28/40 1.445% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 13,627
AUD 579,100 59,151 E (7) 4/1/40 1.1685% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 59,144
AUD 37,200 6,343 E (1) 7/2/45 1.441% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 6,343
AUD 1,800,000 130,855 (20) 4/6/31 6 month AUD-BBR-BBSW — Semiannually 1.87% — Semiannually (119,262)


Master Intermediate Income Trust 67



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
AUD 591,000 $19,017 E $(12,699) 6/15/32 2.67% — Semiannually 6 month AUD-BBR-BBSW — Semiannually $6,318
CAD 2,879,000 122,493 E (11,458) 6/15/32 2.325% — Semiannually 3 month CAD-BA-CDOR — Semiannually 111,035
CHF 3,547,000 130,817 E 40,969 6/15/32 Swiss Average Rate Overnight — Annually 0.565% — Annually (89,850)
CZK 18,600,000 2,326 E (8) 6/15/27 6 month CZK-PRIBOR — Semiannually 4.460% — Annually 2,319
EUR 512,400 83,995 E (20) 11/29/58 1.484% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (84,014)
EUR 696,900 54,807 (27) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 1.354% — Annually 56,340
EUR 770,000 42,838 (29) 3/11/50 1.267% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (43,673)
EUR 778,400 31,783 (30) 3/12/50 1.2115% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (32,487)
EUR 898,100 13,075 (34) 3/26/50 1.113% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (13,245)
EUR 802,800 101,190 E (30) 11/29/58 6 month EUR-EURIBOR-REUTERS — Semiannually 1.343% — Annually 101,159
EUR 929,000 2,312 (36) 2/19/50 1.051% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 543
EUR 741,300 8,758 E (28) 6/7/54 1.054% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually (8,787)
EUR 676,400 28,397 (26) 2/19/50 0.9035% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 27,231


68 Master Intermediate Income Trust



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
EUR 395,500 $27,560 $(15) 2/21/50 0.80% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually $26,928
EUR 1,468,500 211,709 E (56) 8/8/54 0.49% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 211,653
EUR 906,000 203,960 E (34) 6/6/54 6 month EUR-EURIBOR-REUTERS — Semiannually 0.207% — Annually (203,995)
EUR 1,215,200 269,172 (46) 2/19/50 0.233% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 268,081
EUR 4,960,100 617,958 (187) 2/19/50 6 month EUR-EURIBOR-REUTERS — Semiannually 0.595% — Annually (611,671)
EUR 574,000 142,618 E (21) 3/4/54 0.134% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 142,597
EUR 260,400 91,012 E (10) 3/13/54 0.2275% plus 6 month EUR-EURIBOR-REUTERS — Semiannually 91,002
EUR 1,696,600 183,126 E (36) 5/13/40 6 month EUR-EURIBOR-REUTERS — Semiannually 0.276% — Annually (183,162)
EUR 833,300 86,266 E (18) 6/24/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 86,247
EUR 1,129,700 119,712 E (26) 1/16/40 0.315% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 119,686
EUR 388,100 40,628 E (9) 3/28/40 0.3175% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 40,619
EUR 1,055,800 152,456 (43) 5/21/51 6 month EUR-EURIBOR-REUTERS — Semiannually 0.516% — Annually (144,789)


Master Intermediate Income Trust 69



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
EUR 1,088,000 $104,990 $(19) 6/14/31 0.171% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually $101,272
EUR 924,200 99,500 (16) 7/15/31 0.0675% — Annually 6 month EUR-EURIBOR-REUTERS — Semiannually 97,840
EUR 311,700 58,516 E (13) 9/14/52 6 month EUR-EURIBOR-REUTERS — Semiannually 0.374% — Annually (58,528)
EUR 2,980,000 182,369 (48) 3/7/32 6 month EUR-EURIBOR-REUTERS — Semiannually 0.60% — Annually (180,003)
EUR 8,548,000 286,145 E 62,430 6/15/32 6 month EUR-EURIBOR-REUTERS — Semiannually 0.915% — Annually (223,718)
GBP 703,500 71,446 (14) 5/19/31 Sterling Overnight Index Average — Annually 0.754% — Annually (65,998)
GBP 16,646,400 238,356 E (86) 9/15/23 1.065% — Annually Sterling Overnight Index Average — Annually 238,270
GBP 1,640,000 43,174 E (4,588) 6/15/32 1.455% — Annually Sterling Overnight Index Average — Annually 38,586
JPY 49,618,300 14,408 E (14) 8/29/43 0.8084% — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually (14,422)
JPY 63,267,700 36,826 E (18) 8/29/43 0.2529% — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually 36,808
JPY 119,698,500 14,404 (14) 2/25/31 0.0619% — Semiannually Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually 14,330


70 Master Intermediate Income Trust




CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount Value Upfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
JPY 122,290,000 $53,983 E $(35) 8/29/43 Bank of Japan Unsecured Overnight Call Rate Expected Index — Annually 0.343% — Annually $(54,018)
NOK 26,683,000 106,140 E (7,454) 6/15/32 2.355% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 98,686
NZD 3,688,000 69,420 E (2,700) 6/15/32 3.10% — Semiannually 3 month NZD-BBR-FRA — Quarterly 66,720
SEK 9,896,000 41,753 E 36,178 6/15/32 3 month SEK-STIBOR-SIDE — Quarterly 1.497% — Annually (5,574)
Total $(2,837,226) $2,330,663
E Extended effective date.

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Swap counterparty/
Notional amount
Value Upfront
premium
received
(paid)
Termination
date
Payments
received (paid)
by fund
Total return
received by
or paid by fund
Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC
  $1,075,356 $972,502 $— 9/29/25 (0.165%) — Annually Ephesus Funding DAC, 3.80%, Series 2020−01, 9/22/2025 — Annually $(81,719)
  1,032,736 998,356 7/17/24 3.825% (3 month USD-LIBOR-BBA minus 0.12%) — Quarterly Pera Funding DAC, 3.825%, Series 2019−01, 07/10/24 — Quarterly (33,796)
Upfront premium received Unrealized appreciation
Upfront premium (paid) Unrealized (depreciation) (115,515)
Total $— Total $(115,515)

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited)
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB−.6 Index B+/P $4,375   $61,215 $14,943 5/11/63 300 bp — Monthly $(10,532)
CMBX NA BBB−.6 Index B+/P 8,497   134,864 32,920 5/11/63 300 bp — Monthly (24,344)
CMBX NA BBB−.6 Index B+/P 17,409   269,727 65,840 5/11/63 300 bp — Monthly (48,274)
CMBX NA BBB−.6 Index B+/P 16,587   278,335 67,942 5/11/63 300 bp — Monthly (51,192)


Master Intermediate Income Trust 71



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index BBB+/P $5,372   $41,768 $3,383 5/11/63 200 bp — Monthly $2,005
CMBX NA A.6 Index BBB+/P 5,963   43,624 3,534 5/11/63 200 bp — Monthly 2,447
CMBX NA A.6 Index BBB+/P 7,354   49,194 3,985 5/11/63 200 bp — Monthly 3,388
CMBX NA A.6 Index BBB+/P 10,961   65,901 5,338 5/11/63 200 bp — Monthly 5,648
CMBX NA A.6 Index BBB+/P 12,898   71,470 5,789 5/11/63 200 bp — Monthly 7,136
CMBX NA A.6 Index BBB+/P 11,798   72,398 5,864 5/11/63 200 bp — Monthly 5,961
CMBX NA A.6 Index BBB+/P 28,477   149,437 12,104 5/11/63 200 bp — Monthly 16,431
CMBX NA A.6 Index BBB+/P 20,798   164,288 13,307 5/11/63 200 bp — Monthly 7,554
CMBX NA A.6 Index BBB+/P 48,213   269,172 21,803 5/11/63 200 bp — Monthly 26,514
CMBX NA BB.11 Index BB−/P 77,970   138,000 14,711 11/18/54 500 bp — Monthly 63,393
CMBX NA BB.13 Index BB−/P 6,698   67,000 8,543 12/16/72 500 bp — Monthly (1,779)
CMBX NA BB.13 Index BB−/P 16,037   176,000 22,440 12/16/72 500 bp — Monthly (6,232)
CMBX NA BB.13 Index BB−/P 26,330   279,000 35,573 12/16/72 500 bp — Monthly (8,971)
CMBX NA BB.13 Index BB−/P 48,322   530,000 67,575 12/16/72 500 bp — Monthly (18,738)
CMBX NA BB.14 Index BB/P 13,266   121,000 11,277 12/16/72 500 bp — Monthly 2,107
CMBX NA BB.6 Index CCC+/P 114,187   271,067 114,092 5/11/63 500 bp — Monthly 170
CMBX NA BB.6 Index CCC+/P 119,351   791,325 333,069 5/11/63 500 bp — Monthly (212,948)
CMBX NA BB.7 Index B/P 64,660   1,267,000 393,784 1/17/47 500 bp — Monthly (327,892)
CMBX NA BB.9 Index B/P 3,258   16,000 3,789 9/17/58 500 bp — Monthly (516)
CMBX NA BB.9 Index B/P 32,267   158,000 37,414 9/17/58 500 bp — Monthly (4,994)
CMBX NA BBB−.10 Index BB+/P 12,532   101,000 11,251 11/17/59 300 bp — Monthly 1,340
CMBX NA BBB−.10 Index BB+/P 20,182   185,000 20,609 11/17/59 300 bp — Monthly (319)
CMBX NA BBB−.11 Index BBB−/P 3,883   62,000 4,954 11/18/54 300 bp — Monthly (1,034)


72 Master Intermediate Income Trust



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BBB−.12 Index BBB−/P $2,419   $58,000 $5,185 8/17/61 300 bp — Monthly $(2,732)
CMBX NA BBB−.12 Index BBB−/P 8,250   140,000 12,516 8/17/61 300 bp — Monthly (4,184)
CMBX NA BBB−.12 Index BBB−/P 43,751   276,000 24,674 8/17/61 300 bp — Monthly 19,238
CMBX NA BBB−.14 Index BBB−/P 976   22,000 2,132 12/16/72 300 bp — Monthly (1,143)
CMBX NA BBB−.14 Index BBB−/P 829   27,000 2,616 12/16/72 300 bp — Monthly (1,772)
CMBX NA BBB−.14 Index BBB−/P 1,028   33,000 3,198 12/16/72 300 bp — Monthly (2,150)
CMBX NA BBB−.14 Index BBB−/P 1,930   39,000 3,779 12/16/72 300 bp — Monthly (1,827)
CMBX NA BBB−.14 Index BBB−/P 1,626   50,000 4,845 12/16/72 300 bp — Monthly (3,190)
CMBX NA BBB−.14 Index BBB−/P 4,400   88,000 8,527 12/16/72 300 bp — Monthly (4,076)
CMBX NA BBB−.14 Index BBB−/P 4,741   104,000 10,078 12/16/72 300 bp — Monthly (5,276)
CMBX NA BBB−.14 Index BBB−/P 9,966   305,000 29,555 12/16/72 300 bp — Monthly (19,411)
CMBX NA BBB−.15 Index BBB−/P 5,223   50,000 4,785 11/18/64 300 bp — Monthly 467
CMBX NA BBB−.6 Index B+/P 1,199   14,347 3,502 5/11/63 300 bp — Monthly (2,295)
CMBX NA BBB−.6 Index B+/P 36,513   121,473 29,652 5/11/63 300 bp — Monthly 6,932
CMBX NA BBB−.6 Index B+/P 36,513   121,473 29,652 5/11/63 300 bp — Monthly 6,932
CMBX NA BBB−.6 Index B+/P 74,771   242,946 59,303 5/11/63 300 bp — Monthly 15,610
CMBX NA BBB−.6 Index B+/P 17,107   248,685 60,704 5/11/63 300 bp — Monthly (43,452)
CMBX NA BBB−.6 Index B+/P 21,761   315,638 77,047 5/11/63 300 bp — Monthly (55,102)
CMBX NA BBB−.6 Index B+/P 23,964   336,681 82,184 5/11/63 300 bp — Monthly (58,024)
CMBX NA BBB−.6 Index B+/P 85,330   1,281,682 312,859 5/11/63 300 bp — Monthly (226,781)
Credit Suisse International
CMBX NA BB.7 Index B/P 30,497   228,000 70,862 1/17/47 500 bp — Monthly (40,143)
CMBX NA BBB−.6 Index B+/P 52,816   457,197 111,602 5/11/63 300 bp — Monthly (58,519)
CMBX NA BBB−.6 Index B+/P 129,498   1,120,994 273,635 5/11/63 300 bp — Monthly (143,483)


Master Intermediate Income Trust 73



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Credit Suisse International cont.
CMBX NA BBB−.6 Index B+/P $1,073,427   $10,926,820 $2,667,237 5/11/63 300 bp — Monthly $(1,587,436)
CMBX NA BBB−.7 Index BB−/P 51,226   780,000 140,244 1/17/47 300 bp — Monthly (88,563)
Goldman Sachs International
CMBX NA BB.9 Index B/P 4,448   11,000 2,605 9/17/58 500 bp — Monthly 1,854
CMBX NA BBB−.13 Index BBB−/P 1,900   12,000 1,145 12/16/72 300 bp — Monthly 762
CMBX NA BBB−.13 Index BBB−/P 1,906   32,000 3,053 12/16/72 300 bp — Monthly (1,128)
CMBX NA BBB−.13 Index BBB−/P 2,443   38,000 3,625 12/16/72 300 bp — Monthly (1,161)
CMBX NA BBB−.13 Index BBB−/P 2,484   42,000 4,007 12/16/72 300 bp — Monthly (1,498)
CMBX NA BBB−.13 Index BBB−/P 7,522   48,000 4,579 12/16/72 300 bp — Monthly 2,971
CMBX NA BBB−.13 Index BBB−/P 4,148   66,000 6,296 12/16/72 300 bp — Monthly (2,110)
CMBX NA BBB−.13 Index BBB−/P 5,981   130,000 12,402 12/16/72 300 bp — Monthly (6,345)
CMBX NA BBB−.14 Index BBB−/P 800   18,000 1,744 12/16/72 300 bp — Monthly (934)
CMBX NA BBB−.15 Index BBB−/P 3,479   56,000 5,359 11/18/64 300 bp — Monthly (1,848)
CMBX NA BBB−.15 Index BBB−/P 8,411   91,000 8,709 11/18/64 300 bp — Monthly (244)
CMBX NA BBB−.15 Index BBB−/P 8,103   91,000 8,709 11/18/64 300 bp — Monthly (553)
CMBX NA BBB−.6 Index B+/P 205   3,826 934 5/11/63 300 bp — Monthly (653)
CMBX NA BBB−.6 Index B+/P 682   8,608 2,101 5/11/63 300 bp — Monthly (1,414)
CMBX NA BBB−.6 Index B+/P 811   10,521 2,568 5/11/63 300 bp — Monthly (1,751)
CMBX NA BBB−.6 Index B+/P 806   10,521 2,568 5/11/63 300 bp — Monthly (1,756)
CMBX NA BBB−.6 Index B+/P 1,042   12,434 3,035 5/11/63 300 bp — Monthly (1,986)
CMBX NA BBB−.6 Index B+/P 2,354   26,781 6,537 5/11/63 300 bp — Monthly (4,168)
CMBX NA BBB−.6 Index B+/P 2,430   30,607 7,471 5/11/63 300 bp — Monthly (5,024)
CMBX NA BBB−.6 Index B+/P 3,086   37,303 9,106 5/11/63 300 bp — Monthly (5,998)
CMBX NA BBB−.6 Index B+/P 4,415   42,085 10,273 5/11/63 300 bp — Monthly (5,834)


74 Master Intermediate Income Trust



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
CMBX NA BBB−.6 Index B+/P $6,450   $43,998 $10,740 5/11/63 300 bp — Monthly $(4,265)
CMBX NA BBB−.6 Index B+/P 15,221   51,650 12,608 5/11/63 300 bp — Monthly 2,644
CMBX NA BBB−.6 Index B+/P 15,221   51,650 12,608 5/11/63 300 bp — Monthly 2,644
CMBX NA BBB−.6 Index B+/P 8,034   57,389 14,009 5/11/63 300 bp — Monthly (5,941)
CMBX NA BBB−.6 Index B+/P 7,985   57,389 14,009 5/11/63 300 bp — Monthly (5,991)
CMBX NA BBB−.6 Index B+/P 5,664   61,215 14,943 5/11/63 300 bp — Monthly (9,243)
CMBX NA BBB−.6 Index B+/P 6,945   63,128 15,409 5/11/63 300 bp — Monthly (8,428)
CMBX NA BBB−.6 Index B+/P 8,625   74,605 18,211 5/11/63 300 bp — Monthly (9,543)
CMBX NA BBB−.6 Index B+/P 6,758   74,605 18,211 5/11/63 300 bp — Monthly (11,410)
CMBX NA BBB−.6 Index B+/P 7,858   87,040 21,246 5/11/63 300 bp — Monthly (13,338)
CMBX NA BBB−.6 Index B+/P 16,293   93,735 22,881 5/11/63 300 bp — Monthly (6,533)
CMBX NA BBB−.6 Index B+/P 5,285   97,561 23,815 5/11/63 300 bp — Monthly (18,473)
CMBX NA BBB−.6 Index B+/P 14,022   98,517 24,048 5/11/63 300 bp — Monthly (9,968)
CMBX NA BBB−.6 Index B+/P 12,297   105,213 25,682 5/11/63 300 bp — Monthly (13,324)
CMBX NA BBB−.6 Index B+/P 12,871   109,995 26,850 5/11/63 300 bp — Monthly (13,915)
CMBX NA BBB−.6 Index B+/P 10,295   116,690 28,484 5/11/63 300 bp — Monthly (18,121)
CMBX NA BBB−.6 Index B+/P 10,295   116,690 28,484 5/11/63 300 bp — Monthly (18,121)
CMBX NA BBB−.6 Index B+/P 6,818   129,125 31,519 5/11/63 300 bp — Monthly (24,626)
CMBX NA BBB−.6 Index B+/P 23,502   150,167 36,656 5/11/63 300 bp — Monthly (13,066)
CMBX NA BBB−.6 Index B+/P 23,233   151,124 36,889 5/11/63 300 bp — Monthly (13,568)
CMBX NA BBB−.6 Index B+/P 18,496   158,776 38,757 5/11/63 300 bp — Monthly (20,168)
CMBX NA BBB−.6 Index B+/P 18,286   161,645 39,458 5/11/63 300 bp — Monthly (21,077)
CMBX NA BBB−.6 Index B+/P 18,357   161,645 39,458 5/11/63 300 bp — Monthly (21,006)


Master Intermediate Income Trust 75



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
CMBX NA BBB−.6 Index B+/P $8,581   $165,471 $40,391 5/11/63 300 bp — Monthly $(31,714)
CMBX NA BBB−.6 Index B+/P 20,534   167,384 40,858 5/11/63 300 bp — Monthly (20,226)
CMBX NA BBB−.6 Index B+/P 15,166   175,036 42,726 5/11/63 300 bp — Monthly (27,458)
CMBX NA BBB−.6 Index B+/P 51,191   178,862 43,660 5/11/63 300 bp — Monthly 7,635
CMBX NA BBB−.6 Index B+/P 10,015   183,644 44,828 5/11/63 300 bp — Monthly (34,705)
CMBX NA BBB−.6 Index B+/P 9,848   193,209 47,162 5/11/63 300 bp — Monthly (37,202)
CMBX NA BBB−.6 Index B+/P 24,103   206,600 50,431 5/11/63 300 bp — Monthly (26,208)
CMBX NA BBB−.6 Index B+/P 24,103   206,600 50,431 5/11/63 300 bp — Monthly (26,208)
CMBX NA BBB−.6 Index B+/P 21,986   209,469 51,131 5/11/63 300 bp — Monthly (29,024)
CMBX NA BBB−.6 Index B+/P 59,234   213,295 52,065 5/11/63 300 bp — Monthly 7,294
CMBX NA BBB−.6 Index B+/P 11,095   216,164 52,766 5/11/63 300 bp — Monthly (41,545)
CMBX NA BBB−.6 Index B+/P 40,089   254,424 62,105 5/11/63 300 bp — Monthly (21,868)
CMBX NA BBB−.6 Index B+/P 36,039   283,118 69,109 5/11/63 300 bp — Monthly (32,905)
CMBX NA BBB−.6 Index B+/P 17,562   347,202 84,752 5/11/63 300 bp — Monthly (66,987)
CMBX NA BBB−.6 Index B+/P 47,211   432,329 105,531 5/11/63 300 bp — Monthly (58,068)
CMBX NA BBB−.6 Index B+/P 50,821   440,937 107,633 5/11/63 300 bp — Monthly (56,555)
CMBX NA BBB−.6 Index B+/P 71,741   578,670 141,253 5/11/63 300 bp — Monthly (69,175)
CMBX NA BBB−.6 Index B+/P 71,494   578,670 141,253 5/11/63 300 bp — Monthly (69,422)
CMBX NA BBB−.6 Index B+/P 155,865   996,651 243,283 5/11/63 300 bp — Monthly (86,837)
CMBX NA BBB−.7 Index BB−/P 26,578   312,000 56,098 1/17/47 300 bp — Monthly (29,338)
CMBX NA BBB−.7 Index BB−/P 90,359   1,040,000 186,992 1/17/47 300 bp — Monthly (96,026)
JPMorgan Securities LLC
CMBX NA BB.10 Index B+/P 9,629   120,000 33,480 5/11/63 500 bp — Monthly (23,735)
CMBX NA BBB−.12 Index BBB−/P 269   5,000 447 8/17/61 300 bp — Monthly (175)


76 Master Intermediate Income Trust



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
JPMorgan Securities LLC cont.
CMBX NA BBB−.12 Index BBB−/P $3,102   $49,000 $4,381 8/17/61 300 bp — Monthly $(1,250)
CMBX NA BBB−.13 Index BBB−/P 887   15,000 1,431 12/16/72 300 bp — Monthly (535)
CMBX NA BBB−.13 Index BBB−/P 5,046   55,000 5,247 12/16/72 300 bp — Monthly (169)
CMBX NA BBB−.13 Index BBB−/P 10,381   57,000 5,438 12/16/72 300 bp — Monthly 4,977
CMBX NA BBB−.6 Index B+/P 3,128,927   9,361,063 2,285,036 5/11/63 300 bp — Monthly 849,352
Merrill Lynch International
CMBX NA BB.6 Index CCC+/P 13,977   118,889 50,040 5/11/63 500 bp — Monthly (35,947)
CMBX NA BBB−.6 Index B+/P 1,391   4,782 1,167 5/11/63 300 bp — Monthly 226
CMBX NA BBB−.6 Index B+/P 384,502   1,364,896 333,171 5/11/63 300 bp — Monthly 52,127
Morgan Stanley & Co. International PLC
CMBX NA BB.13 Index BB−/P 182   2,000 255 12/16/72 500 bp — Monthly (71)
CMBX NA BB.13 Index BB−/P 4,929   53,000 6,758 12/16/72 500 bp — Monthly (1,776)
CMBX NA BB.13 Index BB−/P 6,326   66,000 8,415 12/16/72 500 bp — Monthly (2,024)
CMBX NA BB.13 Index BB−/P 7,574   82,000 10,455 12/16/72 500 bp — Monthly (2,801)
CMBX NA BB.13 Index BB−/P 25,708   280,000 35,700 12/16/72 500 bp — Monthly (9,720)
CMBX NA BB.6 Index CCC+/P 4,741   37,093 15,613 5/11/63 500 bp — Monthly (10,836)
CMBX NA BB.6 Index CCC+/P 8,676   45,653 19,216 5/11/63 500 bp — Monthly (10,495)
CMBX NA BB.6 Index CCC+/P 63,000   142,667 60,048 5/11/63 500 bp — Monthly 3,090
CMBX NA BB.6 Index CCC+/P 116,279   260,605 109,688 5/11/63 500 bp — Monthly 6,844
CMBX NA BBB−.12 Index BBB−/P 3,418   58,000 5,185 8/17/61 300 bp — Monthly (1,733)
CMBX NA BBB−.12 Index BBB−/P 9,660   225,000 20,115 8/17/61 300 bp — Monthly (10,323)
CMBX NA BBB−.14 Index BBB−/P 927   19,000 1,841 12/16/72 300 bp — Monthly (903)
CMBX NA BBB−.14 Index BBB−/P 1,708   35,000 3,392 12/16/72 300 bp — Monthly (1,663)
CMBX NA BBB−.15 Index BBB−/P 3,046   54,000 5,168 11/18/64 300 bp — Monthly (2,090)


Master Intermediate Income Trust 77




OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating*** Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BBB−.6 Index B+/P $752   $8,608 $2,101 5/11/63 300 bp — Monthly $(1,344)
CMBX NA BBB−.6 Index B+/P 1,541   20,086 4,903 5/11/63 300 bp — Monthly (3,350)
CMBX NA BBB−.6 Index B+/P 3,126   37,303 9,106 5/11/63 300 bp — Monthly (5,958)
CMBX NA BBB−.6 Index B+/P 3,446   43,998 10,740 5/11/63 300 bp — Monthly (7,268)
CMBX NA BBB−.6 Index B+/P 9,375   135,820 33,154 5/11/63 300 bp — Monthly (23,700)
CMBX NA BBB−.6 Index B+/P 9,454   137,733 33,621 5/11/63 300 bp — Monthly (24,086)
CMBX NA BBB−.6 Index B+/P 48,941   177,905 43,427 5/11/63 300 bp — Monthly 5,618
CMBX NA BBB−.6 Index B+/P 56,378   203,730 49,731 5/11/63 300 bp — Monthly 6,767
CMBX NA BBB−.6 Index B+/P 183,195   507,891 123,976 5/11/63 300 bp — Monthly 59,515
CMBX NA BBB−.6 Index B+/P 240,187   3,467,716 846,469 5/11/63 300 bp — Monthly (605,551)
CMBX NA BBB−.9 Index BB+/P 874   9,000 919 9/17/58 300 bp — Monthly (40)
Upfront premium received 8,058,842 Unrealized appreciation 1,207,593
Upfront premium (paid) Unrealized (depreciation) (5,040,868)
Total $8,058,842 Total $(3,833,275)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2022. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited)
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.10 Index   $(95,717)   $397,000 $110,763 11/17/59 (500 bp) — Monthly $14,660
CMBX NA BB.10 Index   (65,025)   255,000 71,145 11/17/59 (500 bp) — Monthly 5,872
CMBX NA BB.10 Index   (14,611)   140,000 39,060 11/17/59 (500 bp) — Monthly 24,313
CMBX NA BB.10 Index   (12,500)   114,000 31,806 11/17/59 (500 bp) — Monthly 19,195


78 Master Intermediate Income Trust



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BB.11 Index   $(13,993)   $108,000 $11,513 11/18/54 (500 bp) — Monthly $(2,585)
CMBX NA BB.11 Index   (1,556)   30,000 3,198 11/18/54 (500 bp) — Monthly 1,613
CMBX NA BB.8 Index   (36,522)   102,429 36,065 10/17/57 (500 bp) — Monthly (557)
CMBX NA BB.8 Index   (8,940)   69,575 24,497 10/17/57 (500 bp) — Monthly 15,490
CMBX NA BBB−.10 Index   (47,799)   278,000 30,969 11/17/59 (300 bp) — Monthly (16,991)
CMBX NA BBB−.10 Index   (55,015)   237,000 26,402 11/17/59 (300 bp) — Monthly (28,751)
CMBX NA BBB−.10 Index   (28,062)   221,000 24,619 11/17/59 (300 bp) — Monthly (3,572)
CMBX NA BBB−.10 Index   (21,532)   176,000 19,606 11/17/59 (300 bp) — Monthly (2,028)
CMBX NA BBB−.10 Index   (38,410)   161,000 17,935 11/17/59 (300 bp) — Monthly (20,569)
CMBX NA BBB−.10 Index   (24,448)   112,000 12,477 11/17/59 (300 bp) — Monthly (12,037)
CMBX NA BBB−.10 Index   (23,069)   106,000 11,808 11/17/59 (300 bp) — Monthly (11,323)
CMBX NA BBB−.10 Index   (6,246)   49,000 5,459 11/17/59 (300 bp) — Monthly (816)
CMBX NA BBB−.10 Index   (4,717)   37,000 4,122 11/17/59 (300 bp) — Monthly (616)
CMBX NA BBB−.12 Index   (68,500)   205,000 18,327 8/17/61 (300 bp) — Monthly (50,293)
CMBX NA BBB−.12 Index   (67,433)   194,000 17,344 8/17/61 (300 bp) — Monthly (50,203)
CMBX NA BBB−.12 Index   (13,080)   190,000 16,986 8/17/61 (300 bp) — Monthly 3,795
CMBX NA BBB−.12 Index   (51,320)   146,000 13,052 8/17/61 (300 bp) — Monthly (38,353)
CMBX NA BBB−.12 Index   (240)   4,000 358 8/17/61 (300 bp) — Monthly 115
CMBX NA BBB−.13 Index   (6,199)   106,000 10,112 12/16/72 (300 bp) — Monthly 3,851
CMBX NA BBB−.13 Index   (2,546)   50,000 4,770 12/16/72 (300 bp) — Monthly 2,195
CMBX NA BBB−.13 Index   (2,521)   50,000 4,770 12/16/72 (300 bp) — Monthly 2,220
CMBX NA BBB−.13 Index   (1,971)   36,000 3,434 12/16/72 (300 bp) — Monthly 1,442
CMBX NA BBB−.8 Index   (28,028)   202,000 26,260 10/17/57 (300 bp) — Monthly (1,885)


Master Intermediate Income Trust 79



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BBB−.8 Index   $(31,297)   $198,000 $25,740 10/17/57 (300 bp) — Monthly $(5,672)
CMBX NA BBB−.8 Index   (31,421)   198,000 25,740 10/17/57 (300 bp) — Monthly (5,796)
CMBX NA BBB−.8 Index   (23,031)   173,000 22,490 10/17/57 (300 bp) — Monthly (642)
CMBX NA BBB−.8 Index   (21,875)   140,000 18,200 10/17/57 (300 bp) — Monthly (3,757)
CMBX NA BBB−.8 Index   (14,014)   101,000 13,130 10/17/57 (300 bp) — Monthly (943)
CMBX NA BBB−.8 Index   (12,452)   87,000 11,310 10/17/57 (300 bp) — Monthly (1,193)
CMBX NA BBB−.8 Index   (9,703)   62,000 8,060 10/17/57 (300 bp) — Monthly (1,679)
CMBX NA BBB−.9 Index   (4,495)   19,000 1,940 9/17/58 (300 bp) — Monthly (2,566)
Credit Suisse International
CMBX NA BB.10 Index   (38,693)   290,000 80,910 11/17/59 (500 bp) — Monthly 41,935
CMBX NA BB.10 Index   (34,367)   289,000 80,631 11/17/59 (500 bp) — Monthly 45,983
CMBX NA BB.10 Index   (18,893)   152,000 42,408 11/17/59 (500 bp) — Monthly 23,367
CMBX NA BB.7 Index   (61,796)   335,000 104,118 1/17/47 (500 bp) — Monthly 41,996
CMBX NA BB.7 Index   (4,770)   29,000 9,013 1/17/47 (500 bp) — Monthly 4,215
Goldman Sachs International
CMBX NA A.6 Index   (13,345)   126,233 10,225 5/11/63 (200 bp) — Monthly (3,169)
CMBX NA A.6 Index   (7,995)   76,111 6,165 5/11/63 (200 bp) — Monthly (1,860)
CMBX NA A.6 Index   (7,359)   69,614 5,639 5/11/63 (200 bp) — Monthly (1,748)
CMBX NA A.6 Index   (4,240)   59,404 4,812 5/11/63 (200 bp) — Monthly 549
CMBX NA A.6 Index   (5,333)   49,194 3,985 5/11/63 (200 bp) — Monthly (1,368)
CMBX NA A.6 Index   (4,747)   45,481 3,684 5/11/63 (200 bp) — Monthly (1,081)
CMBX NA A.6 Index   (4,263)   40,840 3,308 5/11/63 (200 bp) — Monthly (970)
CMBX NA A.6 Index   (4,263)   40,840 3,308 5/11/63 (200 bp) — Monthly (970)
CMBX NA A.6 Index   (4,246)   39,912 3,233 5/11/63 (200 bp) — Monthly (1,029)


80 Master Intermediate Income Trust



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
CMBX NA A.6 Index   $(4,246)   $39,912 $3,233 5/11/63 (200 bp) — Monthly $(1,029)
CMBX NA A.6 Index   (3,758)   34,343 2,782 5/11/63 (200 bp) — Monthly (989)
CMBX NA A.6 Index   (2,934)   27,845 2,255 5/11/63 (200 bp) — Monthly (690)
CMBX NA A.6 Index   (2,934)   27,845 2,255 5/11/63 (200 bp) — Monthly (690)
CMBX NA A.6 Index   (1,789)   16,707 1,353 5/11/63 (200 bp) — Monthly (442)
CMBX NA A.6 Index   (174)   1,856 150 5/11/63 (200 bp) — Monthly (25)
CMBX NA A.6 Index   (86)   928 75 5/11/63 (200 bp) — Monthly (11)
CMBX NA A.6 Index   (96)   928 75 5/11/63 (200 bp) — Monthly (21)
CMBX NA BB.6 Index   (1,023)   9,511 4,003 5/11/63 (500 bp) — Monthly 2,971
CMBX NA BB.7 Index   (38,667)   236,000 73,349 1/17/47 (500 bp) — Monthly 34,452
CMBX NA BB.7 Index   (18,621)   102,000 31,702 1/17/47 (500 bp) — Monthly 12,982
CMBX NA BB.7 Index   (19,493)   96,000 29,837 1/17/47 (500 bp) — Monthly 10,251
CMBX NA BB.7 Index   (10,442)   69,000 21,445 1/17/47 (500 bp) — Monthly 10,937
CMBX NA BB.8 Index   (69,403)   191,330 67,367 10/17/57 (500 bp) — Monthly (2,222)
CMBX NA BB.8 Index   (69,523)   191,330 67,367 10/17/57 (500 bp) — Monthly (2,341)
CMBX NA BB.8 Index   (65,945)   172,970 60,903 10/17/57 (500 bp) — Monthly (5,210)
CMBX NA BB.8 Index   (51,833)   139,149 48,994 10/17/57 (500 bp) — Monthly (2,974)
CMBX NA BB.8 Index   (46,277)   131,419 46,272 10/17/57 (500 bp) — Monthly (132)
CMBX NA BB.8 Index   (2,606)   22,225 7,825 10/17/57 (500 bp) — Monthly 5,198
CMBX NA BBB−.10 Index   (10,061)   46,000 5,124 11/17/59 (300 bp) — Monthly (4,964)
CMBX NA BBB−.12 Index   (8,968)   46,000 4,112 8/17/61 (300 bp) — Monthly (4,882)
CMBX NA BBB−.12 Index   (5,404)   16,000 1,430 8/17/61 (300 bp) — Monthly (3,982)
CMBX NA BBB−.13 Index   (9,245)   122,000 11,639 12/16/72 (300 bp) — Monthly 2,323


Master Intermediate Income Trust 81



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
CMBX NA BBB−.6 Index   $(60,768)   $213,295 $52,065 5/11/63 (300 bp) — Monthly $(8,827)
CMBX NA BBB−.8 Index   (12,938)   100,000 13,000 10/17/57 (300 bp) — Monthly 4
CMBX NA BBB−.8 Index   (8,938)   57,000 7,410 10/17/57 (300 bp) — Monthly (1,562)
JPMorgan Securities LLC
CMBX NA A.6 Index   (8,256)   77,967 6,315 5/11/63 (200 bp) — Monthly (1,971)
CMBX NA A.6 Index   (5,789)   52,906 4,285 5/11/63 (200 bp) — Monthly (1,524)
CMBX NA BB.17 Index   (320,235)   654,000 203,263 1/17/47 (500 bp) — Monthly (117,607)
CMBX NA BB.8 Index   (52,536)   102,429 36,065 10/17/57 (500 bp) — Monthly (16,570)
CMBX NA BBB−.10 Index   (29,298)   104,000 11,586 11/17/59 (300 bp) — Monthly (17,773)
CMBX NA BBB−.10 Index   (10,885)   66,000 7,352 11/17/59 (300 bp) — Monthly (3,571)
CMBX NA BBB−.10 Index   (15,790)   53,000 5,904 11/17/59 (300 bp) — Monthly (9,917)
CMBX NA BBB−.11 Index   (16,029)   51,000 4,075 11/18/54 (300 bp) — Monthly (11,984)
CMBX NA BBB−.11 Index   (4,080)   13,000 1,039 11/18/54 (300 bp) — Monthly (3,049)
CMBX NA BBB−.12 Index   (1,446)   37,000 3,308 8/17/61 (300 bp) — Monthly 1,841
CMBX NA BBB−.14 Index   (4,389)   72,000 6,977 12/16/72 (300 bp) — Monthly 2,546
CMBX NA BBB−.6 Index   (260,375)   977,522 238,613 5/11/63 (300 bp) — Monthly (22,332)
CMBX NA BBB−.7 Index   (214,338)   913,000 164,157 1/17/47 (300 bp) — Monthly (50,714)
CMBX NA BBB−.8 Index   (31,080)   224,000 29,120 10/17/57 (300 bp) — Monthly (2,091)
Merrill Lynch International
CMBX NA BB.10 Index   (15,875)   279,000 77,841 11/17/59 (500 bp) — Monthly 61,695
CMBX NA BBB−.10 Index   (20,367)   94,000 10,472 11/17/59 (300 bp) — Monthly (9,950)
CMBX NA BBB−.7 Index   (32,451)   396,000 71,201 1/17/47 (300 bp) — Monthly 38,519
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index   (7,508)   71,470 5,789 5/11/63 (200 bp) — Monthly (1,746)
CMBX NA A.6 Index   (1,458)   13,923 1,128 5/11/63 (200 bp) — Monthly (335)


82 Master Intermediate Income Trust



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA A.6 Index   $(388)   $3,713 $301 5/11/63 (200 bp) — Monthly $(88)
CMBX NA A.6 Index   (195)   1,856 150 5/11/63 (200 bp) — Monthly (45)
CMBX NA A.6 Index   (193)   1,856 150 5/11/63 (200 bp) — Monthly (43)
CMBX NA A.6 Index   (86)   928 75 5/11/63 (200 bp) — Monthly (11)
CMBX NA A.6 Index   (91)   928 75 5/11/63 (200 bp) — Monthly (16)
CMBX NA A.6 Index   (96)   928 75 5/11/63 (200 bp) — Monthly (21)
CMBX NA BB.10 Index   (33,114)   141,000 39,339 11/17/59 (500 bp) — Monthly 6,088
CMBX NA BB.10 Index   (14,683)   140,000 39,060 11/17/59 (500 bp) — Monthly 24,241
CMBX NA BB.7 Index   (23,127)   115,000 35,742 1/17/47 (500 bp) — Monthly 12,503
CMBX NA BB.7 Index   (17,547)   91,000 28,283 1/17/47 (500 bp) — Monthly 10,647
CMBX NA BB.7 Index   (11,040)   59,000 18,337 1/17/47 (500 bp) — Monthly 7,240
CMBX NA BB.7 Index   (6,055)   30,000 9,324 1/17/47 (500 bp) — Monthly 3,240
CMBX NA BB.8 Index   (34,059)   93,732 33,003 10/17/57 (500 bp) — Monthly (1,147)
CMBX NA BB.8 Index   (32,587)   90,833 31,982 10/17/57 (500 bp) — Monthly (692)
CMBX NA BB.8 Index   (30,651)   59,911 21,095 10/17/57 (500 bp) — Monthly (9,615)
CMBX NA BB.8 Index   (17,394)   46,383 16,331 10/17/57 (500 bp) — Monthly (1,107)
CMBX NA BB.8 Index   (15,519)   42,518 14,971 10/17/57 (500 bp) — Monthly (590)
CMBX NA BB.8 Index   (7,760)   21,259 7,485 10/17/57 (500 bp) — Monthly (295)
CMBX NA BB.9 Index   (3,952)   65,000 15,392 9/17/58 (500 bp) — Monthly 11,377
CMBX NA BB.9 Index   (7,997)   53,000 12,550 9/17/58 (500 bp) — Monthly 4,502
CMBX NA BB.9 Index   (4,238)   31,000 7,341 9/17/58 (500 bp) — Monthly 3,072
CMBX NA BB.9 Index   (743)   19,000 4,499 9/17/58 (500 bp) — Monthly 3,738
CMBX NA BB.9 Index   (1,968)   13,000 3,078 9/17/58 (500 bp) — Monthly 1,098


Master Intermediate Income Trust 83



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BB.9 Index   $(246)   $4,000 $947 9/17/58 (500 bp) — Monthly $697
CMBX NA BBB−.10 Index   (51,248)   304,000 33,866 11/17/59 (300 bp) — Monthly (17,559)
CMBX NA BBB−.10 Index   (19,485)   225,000 25,065 11/17/59 (300 bp) — Monthly 5,448
CMBX NA BBB−.10 Index   (19,495)   158,000 17,601 11/17/59 (300 bp) — Monthly (1,986)
CMBX NA BBB−.10 Index   (17,456)   136,000 15,150 11/17/59 (300 bp) — Monthly (2,385)
CMBX NA BBB−.10 Index   (27,435)   116,000 12,922 11/17/59 (300 bp) — Monthly (14,581)
CMBX NA BBB−.10 Index   (24,867)   102,000 11,363 11/17/59 (300 bp) — Monthly (13,563)
CMBX NA BBB−.10 Index   (10,907)   86,000 9,580 11/17/59 (300 bp) — Monthly (1,377)
CMBX NA BBB−.10 Index   (8,751)   69,000 7,687 11/17/59 (300 bp) — Monthly (1,105)
CMBX NA BBB−.10 Index   (7,908)   66,000 7,352 11/17/59 (300 bp) — Monthly (594)
CMBX NA BBB−.10 Index   (13,546)   59,000 6,573 11/17/59 (300 bp) — Monthly (7,008)
CMBX NA BBB−.10 Index   (12,006)   55,000 6,127 11/17/59 (300 bp) — Monthly (5,911)
CMBX NA BBB−.10 Index   (4,987)   23,000 2,562 11/17/59 (300 bp) — Monthly (2,438)
CMBX NA BBB−.10 Index   (4,325)   20,000 2,228 11/17/59 (300 bp) — Monthly (2,109)
CMBX NA BBB−.11 Index   (4,681)   15,000 1,199 11/18/54 (300 bp) — Monthly (3,492)
CMBX NA BBB−.12 Index   (277)   5,000 447 8/17/61 (300 bp) — Monthly 167
CMBX NA BBB−.13 Index   (8,074)   131,000 12,497 12/16/72 (300 bp) — Monthly 4,347
CMBX NA BBB−.7 Index   (17,831)   175,000 31,465 1/17/47 (300 bp) — Monthly 13,532
CMBX NA BBB−.7 Index   (14,539)   229,000 41,174 1/17/47 (300 bp) — Monthly 26,501
CMBX NA BBB−.8 Index   (21,949)   173,000 22,490 10/17/57 (300 bp) — Monthly 440
CMBX NA BBB−.8 Index   (22,003)   173,000 22,490 10/17/57 (300 bp) — Monthly 386
CMBX NA BBB−.8 Index   (21,469)   150,000 19,500 10/17/57 (300 bp) — Monthly (2,056)
CMBX NA BBB−.8 Index   (19,123)   141,000 18,330 10/17/57 (300 bp) — Monthly (875)


84 Master Intermediate Income Trust




OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
Value Termi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BBB−.8 Index   $(19,211)   $141,000 $18,330 10/17/57 (300 bp) — Monthly $(964)
CMBX NA BBB−.8 Index   (16,646)   107,000 13,910 10/17/57 (300 bp) — Monthly (2,798)
CMBX NA BBB−.8 Index   (15,432)   99,000 12,870 10/17/57 (300 bp) — Monthly (2,620)
CMBX NA BBB−.8 Index   (8,987)   58,000 7,540 10/17/57 (300 bp) — Monthly (1,480)
CMBX NA BBB−.8 Index   (9,063)   58,000 7,540 10/17/57 (300 bp) — Monthly (1,556)
CMBX NA BBB−.8 Index   (8,463)   54,000 7,020 10/17/57 (300 bp) — Monthly (1,480)
Upfront premium received Unrealized appreciation 575,789
Upfront premium (paid) (3,374,848) Unrealized (depreciation) (688,756)
Total $(3,374,848) Total $(112,967)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.


Master Intermediate Income Trust 85



ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:

Level 1: Valuations based on quoted prices for identical securities in active markets.

Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.

The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Consumer cyclicals $123,234 $401 $—
Energy 55,301
Utilities and power 12,570
Total common stocks 178,535 12,971
Asset-backed securities 592,515
Convertible bonds and notes 11,616,261
Corporate bonds and notes 42,294,733
Foreign government and agency bonds and notes 18,966,983
Mortgage-backed securities 93,977,624
Purchased options outstanding 25
Purchased swap options outstanding 5,362,781
Senior loans 6,050,669
U.S. government and agency mortgage obligations 159,246,764
U.S. treasury obligations 112,000
Warrants 2
Short-term investments 970,000 33,868,652
Totals by level $1,148,535 $372,101,978 $2
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(601,111) $—
Futures contracts (351,526)
Written options outstanding (568,325)
Written swap options outstanding (8,769,519)
Forward premium swap option contracts (1,582,820)
TBA sale commitments (140,252,115)
Interest rate swap contracts 5,167,889
Total return swap contracts (115,515)
Credit default contracts (8,630,236)
Totals by level $(351,526) $(155,351,752) $—
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.


The accompanying notes are an integral part of these financial statements.


86 Master Intermediate Income Trust



Statement of assets and liabilities 3/31/22 (Unaudited)

ASSETS   
Investment in securities, at value (Notes 1 and 9):   
Unaffiliated issuers (identified cost $378,476,215)  $361,887,916 
Affiliated issuers (identified cost $11,362,599) (Note 5)  11,362,599 
Cash  282,302 
Foreign currency (cost $6,342) (Note 1)  6,128 
Dividends, interest and other receivables  2,251,270 
Receivable for investments sold  452,590 
Receivable for sales of TBA securities (Note 1)  87,997,224 
Receivable for variation margin on futures contracts (Note 1)  46,920 
Receivable for variation margin on centrally cleared swap contracts (Note 1)  947,331 
Unrealized appreciation on forward premium swap option contracts (Note 1)  9,276,418 
Unrealized appreciation on forward currency contracts (Note 1)  165,335 
Unrealized appreciation on OTC swap contracts (Note 1)  1,783,382 
Premium paid on OTC swap contracts (Note 1)  3,374,848 
Total assets  479,834,263 
 
LIABILITIES   
Payable for investments purchased  38,285 
Payable for purchases of TBA securities (Note 1)  106,086,534 
Payable for shares of the fund repurchased  136,293 
Payable for compensation of Manager (Note 2)  376,398 
Payable for custodian fees (Note 2)  38,561 
Payable for investor servicing fees (Note 2)  16,465 
Payable for Trustee compensation and expenses (Note 2)  121,828 
Payable for administrative services (Note 2)  577 
Payable for variation margin on futures contracts (Note 1)  8,367 
Payable for variation margin on centrally cleared swap contracts (Note 1)  1,211,863 
Distributions payable to shareholders  1,122,059 
Unrealized depreciation on OTC swap contracts (Note 1)  5,845,139 
Premium received on OTC swap contracts (Note 1)  8,058,842 
Unrealized depreciation on forward currency contracts (Note 1)  766,446 
Unrealized depreciation on forward premium swap option contracts (Note 1)  10,859,238 
Written options outstanding, at value (premiums $7,229,298) (Note 1)  9,337,844 
TBA sale commitments, at value (proceeds receivable $142,035,215) (Note 1)  140,252,115 
Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9)  1,082,000 
Other accrued expenses  120,056 
Total liabilities  285,478,910 
 
Net assets  $194,355,353 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $312,493,773 
Total distributable earnings (Note 1)  (118,138,420) 
Total — Representing net assets applicable to capital shares outstanding  $194,355,353 
 
COMPUTATION OF NET ASSET VALUE   
Net asset value per share   
($194,355,353 divided by 50,623,132 shares)  $3.84 

 

The accompanying notes are an integral part of these financial statements.

Master Intermediate Income Trust 87 

 


 

Statement of operations Six months ended 3/31/22 (Unaudited)

INVESTMENT INCOME   
Interest (including interest income of $6,501 from investments in affiliated issuers)   
(net of foreign tax of $1,963) (Note 5)  $5,920,024 
Total investment income  5,920,024 
 
EXPENSES   
Compensation of Manager (Note 2)  753,531 
Investor servicing fees (Note 2)  50,290 
Custodian fees (Note 2)  59,253 
Trustee compensation and expenses (Note 2)  3,746 
Administrative services (Note 2)  3,219 
Auditing and tax fees  67,784 
Other  96,821 
Total expenses  1,034,644 
Expense reduction (Note 2)  (54) 
Net expenses  1,034,590 
 
Net investment income  4,885,434 
 
REALIZED AND UNREALIZED GAIN (LOSS)   
Net realized gain (loss) on:   
Securities from unaffiliated issuers (Notes 1 and 3)  (9,009,062) 
Net increase from payments by affiliates (Note 2)  58,887 
Foreign currency transactions (Note 1)  2,070 
Forward currency contracts (Note 1)  (686,562) 
Futures contracts (Note 1)  1,350,590 
Swap contracts (Note 1)  (1,352,891) 
Written options (Note 1)  (2,021,184) 
Total net realized loss  (11,658,152) 
Change in net unrealized appreciation (depreciation) on:   
Securities from unaffiliated issuers and TBA sale commitments  (640,110) 
Assets and liabilities in foreign currencies  2,284 
Forward currency contracts  (66,892) 
Futures contracts  (545,317) 
Swap contracts  8,175,755 
Written options  (5,831,833) 
Total change in net unrealized appreciation  1,093,887 
 
Net loss on investments  (10,564,265) 
 
Net decrease in net assets resulting from operations  $(5,678,831) 

 

The accompanying notes are an integral part of these financial statements.

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Statement of changes in net assets

DECREASE IN NET ASSETS  Six months ended 3/31/22*  Year ended 9/30/21 
Operations     
Net investment income  $4,885,434  $9,697,452 
Net realized loss on investments     
and foreign currency transactions  (11,658,152)  (4,421,140) 
Change in net unrealized appreciation (depreciation)     
of investments and assets and liabilities     
in foreign currencies  1,093,887  (2,120,289) 
Net increase (decrease) in net assets resulting     
from operations  (5,678,831)  3,156,023 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income  (6,751,680)  (1,569,668) 
From return of capital    (12,762,903) 
Increase in capital share transactions from reinvestment     
of distributions (Note 4)  211,673  53,869 
Decrease from capital share transactions (Note 4)  (2,169,041)  (225,056) 
Total decrease in net assets  (14,387,879)  (11,347,735) 
 
NET ASSETS     
Beginning of period  208,743,232  220,090,967 
End of period  $194,355,353  $208,743,232 
 
NUMBER OF FUND SHARES     
Shares outstanding at beginning of period  51,186,687  51,227,679 
Shares issued in connection with reinvestment     
of distributions  53,198  12,981 
Shares repurchased (Note 4)  (616,753)  (53,973) 
Shares outstanding at end of period  50,623,132  51,186,687 

 

* Unaudited.

The accompanying notes are an integral part of these financial statements.

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Financial highlights
(For a common share outstanding throughout the period)

PER-SHARE OPERATING PERFORMANCE             
  Six months ended**  Year ended 
    3/31/22  9/30/21  9/30/20  9/30/19  9/30/18  9/30/17 
Net asset value, beginning of period  $4.08  $4.30  $4.83  $4.94  $5.03  $4.86 
Investment operations:               
Net investment incomea    .10  .19  .18  .24  .26  .26 
Net realized and unrealized               
gain (loss) on investments    (.21)  (.13)  (.35)  (.02)  (.06)  .21 
Total from investment operations  (.11)  .06  (.17)  .22  .20  .47 
Less distributions:               
From net investment income  (.13)  (.03)  (.21)  (.34)  (.29)  (.31) 
From return of capital      (.25)  (.15)       
Total distributions    (.13)  (.28)  (.36)  (.34)  (.29)  (.31) 
Increase from shares repurchased  e  e  e  .01  e  .01 
Net asset value, end of period  $3.84  $4.08  $4.30  $4.83  $4.94  $5.03 
Market value, end of period  $3.58  $4.07  $4.11  $4.59  $4.52  $4.73 
Total return at market value (%)b  (8.93)*  5.82  (2.85)  9.48  1.66  14.32 
 
RATIOS AND SUPPLEMENTAL DATA             
Net assets, end of period               
(in thousands)    $194,355  $208,743  $220,091  $249,961  $262,509  $269,544 
Ratio of expenses to average             
net assets (%)c    .51*  1.01  1.01  1.02  1.00  .99 
Ratio of net investment income             
to average net assets (%)    2.43*  4.35  3.98  4.90  5.11  5.24 
Portfolio turnover (%)d    653*  1,073  995  899  715  976 

 

* Not annualized.

** Unaudited.

a Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period.

b Total return assumes dividend reinvestment.

c Includes amounts paid through expense offset arrangements, if any (Note 2).

d Portfolio turnover includes TBA purchase and sales commitments.

e Amount represents less than $0.01 per share

The accompanying notes are an integral part of these financial statements.

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Notes to financial statements 3/31/22 (Unaudited)

Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from October 1, 2021 through March 31, 2022.

Putnam Master Intermediate Income Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a closed-end management investment company. The goal of the fund is to seek with equal emphasis high current income and relative stability of net asset value by allocating its investments among the U.S. investment grade sector, high-yield sector, and international sector.

The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value.

In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.

The fund has entered into contractual arrangements with an investment adviser, administrator, transfer agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.

Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.

Note 1: Significant accounting policies

The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.

Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.

Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.

Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various

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relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.

Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.

Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income, net of any applicable withholding taxes, if any, and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.

The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.

Securities purchased or sold on a forward commitment or delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.

Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.

Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange

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rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

Options contracts The fund uses options contracts for hedging duration and convexity, to isolate prepayment risk and to manage downside risks.

The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.

Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.

Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.

Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Futures contracts The fund uses futures contracts for hedging treasury term structure risk and for yield curve positioning.

The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”

Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used for hedging currency exposures and for gaining exposure to currencies.

The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts

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are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.

Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.

An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.

The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

Total return swap contracts The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.

To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

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Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts for hedging market risk and for gaining exposure to specific sectors.

In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.

OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.

The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.

TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.

Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as

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an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.

TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral pledged to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.

Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.

With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.

At the close of the reporting period, the fund had a net liability position of $16,012,514 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled$15,554,544 and may include amounts related to unsettled agreements.

Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.

Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.

The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.

Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At September 30, 2021, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:

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  Loss carryover   
Short-term  Long-term  Total 
$36,377,445  $39,152,900  $75,530,345 

 

Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $244,618,423, resulting in gross unrealized appreciation and depreciation of $23,793,335 and $50,864,520, respectively, or net unrealized depreciation of $27,071,185.

Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The fund uses targeted distribution rates, whose principal source of the distribution is ordinary income. However,the balance of the distribution, if any, comes first from capital gain and then will constitute a return of capital. A return of capital is not taxable; rather it reduces a shareholder’s tax basis in their shares of the fund. The fund may make return of capital distributions to achieve the targeted distribution rates. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management for management and investment advisory services quarterly based on the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the fund. The fee is based on the following annual rates:

  of the first $500 million of average    of the next $5 billion of average 
0.750%  net assets,  0.480%  net assets, 
  of the next $500 million of average    of the next $5 billion of average 
0.650%  net assets,  0.470%  net assets, 
  of the next $500 million of average    of the next $5 billion of average 
0.600%  net assets,  0.460%  net assets, 
  of the next $5 billion of average    of the next $5 billion of average 
0.550%  net assets,  0.450%  net assets, 
  of the next $5 billion of average    of the next $5 billion of average 
0.525%  net assets,  0.440%  net assets, 
  of the next $5 billion of average    of the next $8.5 billion of average net 
0.505%  net assets,  0.430%  assets and 
  of the next $5 billion of average  0.420%  of any excess thereafter. 
0.490%  net assets,     

 

For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.375% of the fund’s average net assets.

Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the portion of the fund managed by PIL.

Putnam Management voluntarily reimbursed the fund $58,887 for a trading error which occurred during the reporting period. The effect of the loss incurred and the reimbursement by Putnam Management of such amounts had no material impact on total return.

Master Intermediate Income Trust 97 

 


 

The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.

Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.

Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. was paid a monthly fee for investor servicing at an annual rate of 0.05% of the fund’s average daily net assets. The amounts incurred for investor servicing agent functions during the reporting period are included in Investor servicing fees in the Statement of operations.

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $54 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $136, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.

The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.

The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.

Note 3: Purchases and sales of securities

During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:

  Cost of purchases  Proceeds from sales 
Investments in securities, including TBA commitments (Long-term)  $1,606,173,438  $1,669,398,757 
U.S. government securities (Long-term)     
Total  $1,606,173,438  $1,669,398,757 

 

The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.

Note 4: Shares repurchased

In September 2021, the Trustees approved the renewal of the repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 365 day period ending September 30, 2022 (based on shares outstanding as of September 30, 2021). Prior to this renewal, the Trustees had approved a repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 365 day period ending September 30, 2021 (based on shares outstanding as of September 30, 2020). Repurchases are made when the fund’s shares are trading at less than net asset value and in accordance with procedures approved by the fund’s Trustees. At Putnam’s recommendation, the share repurchase program was temporarily suspended on March 24, 2020 and reinstated July 1, 2020.

For the reporting period, the fund repurchased 616,753 common shares for an aggregate purchase price of $2,169,041, which reflects a weighted-average discount from net asset value per share of 8.51%. The weighted-average discount reflects the payment of commissions by the fund to execute repurchase trades.

98 Master Intermediate Income Trust 

 


 

For the previous fiscal year, the fund repurchased 53,973 common shares for an aggregate purchase price of $225,056, which reflected a weighted-average discount from net asset value per share of 6.97%, The weighted-average discount reflected the payment of commissions by the fund to execute repurchase trades.

At the close of the reporting period, Putnam Investments, LLC owned approximately 2,259 shares of the fund (0.004% of the fund’s shares outstanding), valued at $8,675 based on net asset value.

Note 5: Affiliated transactions

Transactions during the reporting period with any company which is under common ownership or control were as follows:

          Shares 
          outstanding 
          and fair 
  Fair value as  Purchase  Sale  Investment  value as 
Name of affiliate  of 9/30/21  cost  proceeds  income  of 3/31/22 
Short-term investments           
Putnam Short Term           
Investment Fund*  $9,916,837  $43,940,614  $42,494,852  $6,501  $11,362,599 
Total Short-term           
investments  $9,916,837  $43,940,614  $42,494,852  $6,501  $11,362,599 

 

* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.

Note 6: Market, credit and other risks

In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations.

The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. ICE Benchmark Administration, the administrator of LIBOR, ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis after June 30, 2023. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021.LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. Various financial industry groups have been planning for the transition away from LIBOR, but there are obstacles to converting certain longer-term securities and transactions to new reference rates. Markets are developing slowly and questions around liquidity in these rates and how to appropriately adjust these rates to mitigate any economic value transfer at the time of transition remain a significant concern. Neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets that rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of related transactions, such as hedges. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur at any time.

Master Intermediate Income Trust 99 

 


 

Beginning in January 2020, global financial markets have experienced, and may continue to experience, significant volatility resulting from the spread of a virus known as Covid–19. The outbreak of Covid–19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and general market uncertainty. The effects of Covid–19 have adversely affected, and may continue to adversely affect, the global economy, the economies of certain nations, and individual issuers, all of which may negatively impact the fund’s performance.

Note 7: Senior loan commitments

Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

Note 8: Summary of derivative activity

The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:

Purchased equity option contracts (contract amount)  $—* 
Purchased TBA commitment option contracts (contract amount)  $10,700,000 
Purchased currency option contracts (contract amount)  $7,400,000 
Purchased swap option contracts (contract amount)  $850,800,000 
Written equity option contracts (contract amount)  $—* 
Written TBA commitment option contracts (contract amount)  $10,700,000 
Written currency option contracts (contract amount)  $7,400,000 
Written swap option contracts (contract amount)  $848,000,000 
Futures contracts (number of contracts)  600 
Forward currency contracts (contract amount)  $236,700,000 
Centrally cleared interest rate swap contracts (notional)  $557,600,000 
OTC total return swap contracts (notional)  $2,100,000 
Centrally cleared total return swap contracts (notional)  $26,100,000 
OTC credit default contracts (notional)  $74,000,000 
Warrants (number of warrants)  30 

 

* For the reporting period there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.

 

100 Master Intermediate Income Trust 

 


 

The following is a summary of the fair value of derivative instruments as of the close of the reporting period:

Fair value of derivative instruments as of the close of the reporting period   
  ASSET DERIVATIVES  LIABILITY DERIVATIVES 
Derivatives not         
accounted for as  Statement of    Statement of   
hedging instruments  assets and    assets and   
under ASC 815  liabilities location  Fair value  liabilities location  Fair value 
Credit contracts  Receivables  $3,261,881  Payables  $12,007,632 
Foreign exchange         
contracts  Receivables  165,335  Payables  766,446 
Equity contracts  Investments  2  Payables   
  Investments,       
  Receivables, Net       
  assets —    Payables, Net   
  Unrealized    assets — Unrealized   
Interest rate contracts  appreciation  24,985,127*  depreciation  25,726,622 
Total    $28,412,345    $38,500,700 

 

* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.

The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments   
Derivatives not accounted      Forward     
for as hedging instruments      currency     
under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $(337,906)  $(337,906) 
Foreign exchange contracts  (158,347)    (686,562)    (844,909) 
Interest rate contracts  (800,879)  1,350,590    (1,014,985)  (465,274) 
Total  $(959,226)  $1,350,590  $(686,562)  $(1,352,891)  $(1,648,089) 

 

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) 
on investments           
Derivatives not accounted      Forward     
for as hedging instruments      currency     
under ASC 815  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $3,085,210  $3,085,210 
Foreign exchange contracts  (6,284)    (66,892)    (73,176) 
Interest rate contracts  (2,544,674)  (545,317)    5,090,545  2,000,554 
Total  $(2,550,958)  $(545,317)  $(66,892)  $8,175,755  $5,012,588 

 

Master Intermediate Income Trust 101 

 


 

Note 9: Offsetting of financial and derivative assets and liabilities

The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

  Bank of
 America N.A.
Barclays Bank
PLC
Barclays
Capital, Inc.
 (clearing
broker)
BofA
Securities,
Inc.
Citibank, N.A. Citigroup
Global
Markets, Inc.
Credit Suisse
 International
Deutsche
Bank AG
Goldman
Sachs
International
HSBC Bank
 USA, National
 Association
JPMorgan
Chase Bank
 N.A.
JPMorgan
Securities LLC
Merrill Lynch
 International
Morgan
Stanley & Co.
 International
PLC
NatWest
Markets PLC
State Street
 Bank and
 Trust Co.
Toronto-
Dominion
Bank
UBS AG Wells Fargo
 Bank, N.A.
Total
Assets:                                         
Centrally cleared                                         
interest rate                                         
swap contracts§  $—  $—  $947,331  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $947,331 
OTC Total                                         
return swap                                         
contracts*#                                         
OTC Credit                                         
default                                         
contracts —                                         
protection                                         
sold*#                                         
OTC Credit                                         
default                                         
contracts —                                         
protection                                         
purchased*#            720,222  316,015    608,442      719,810  158,957  738,435            3,261,881 
Futures                                         
contracts§                        46,920                46,920 
Forward                                         
currency                                         
contracts#  6,365  1,575      12,846        27,532  38,513  2      9,605  29  39,311    29,557    165,335 
Forward                                         
premium                                         
swap option                                         
contracts#  2,433,327        2,274,152      120,769  720,358    1,147,790      240,966      305,897  1,473,560  559,599  9,276,418 
Purchased swap                                         
options**#  10,110                449,643    849,831      2,216,276  893,287      943,634    5,362,781 
Purchased                                         
options**#                      25                  25 
Total Assets  $2,449,802  $1,575  $947,331  $—  $2,286,998  $720,222  $316,015  $120,769  $1,805,975  $38,513  $1,997,648  $766,730  $158,957  $3,205,282  $893,316  $39,311  $305,897  $2,446,751  $559,599  $19,060,691 
Liabilities:                                         
Centrally cleared                                         
interest rate                                         
swap contracts§      1,211,863                                  1,211,863 
OTC Total                                         
return swap                                         
contracts*#                            115,515            115,515 

 

102 Master Intermediate Income Trust  Master Intermediate Income Trust 103 

 


 

  Bank of
America N.A.
Barclays Bank
PLC
Barclays
Capital, Inc.
 (clearing
broker)
BofA
Securities,
Inc.
Citibank, N.A. Citigroup
Global
Markets, Inc.
Credit Suisse
 International
Deutsche
Bank AG
Goldman
Sachs
International
HSBC Bank
 USA, National
 Association
JPMorgan
Chase Bank
 N.A.
JPMorgan
Securities LLC
Merrill Lynch
 International
Morgan
Stanley & Co.
 International
PLC
NatWest
Markets PLC
State Street
 Bank and
Trust Co.
Toronto-
Dominion
Bank
UBS AG Wells Fargo
 Bank, N.A.
Total
OTC Credit                                         
default                                         
contracts —                                         
protection                                         
sold*#  $181,210  $—  $—  $—  $—  $1,914,639  $3,255,608  $—  $2,370,079  $—  $—  $2,329,776  $383,464  $1,457,341  $—  $—  $—  $—  $—  $11,892,117 
OTC Credit                                         
default                                         
contracts —                                         
protection                                         
purchased*#                                         
Futures                                         
contracts§                        8,367                8,367 
Forward                                         
currency                                         
contracts#  88  7,564              22,240    3,154      38,260  862  158,851  173,359  362,068    766,446 
Forward                                         
premium                                         
swap option                                         
contracts#  3,097,265        4,182,744      20,315  947,381    1,116,441      226,223      136,763  821,126  310,980  10,859,238 
Written swap                                         
options#  347,724        1,229,817        372,743    2,325,077      2,282,918  1,537,832    130,059  543,349    8,769,519 
Written options#                      568,325                  568,325 
Total Liabilities  $3,626,287  $7,564  $1,211,863  $—  $5,412,561  $1,914,639  $3,255,608  $20,315  $3,712,443  $—  $4,012,997  $2,338,143  $383,464  $4,120,257  $1,538,694  $158,851  $440,181  $1,726,543  $310,980  $34,191,390 
Total Financial                                         
and Derivative                                         
Net Assets  $(1,176,485)  $(5,989)  $(264,532)  $—  $(3,125,563)  $(1,194,417)  $(2,939,593)  $100,454  $(1,906,468)  $38,513  $(2,015,349)  $(1,571,413)  $(224,507)  $(914,975)  $(645,378)  $(119,540)  $(134,284)  $720,208  $248,619  $(15,130,699) 
Total collateral                                         
received                                         
(pledged)†##  $(1,141,123)  $—  $—  $—  $(2,453,386)  $(1,143,898)  $(2,939,593)  $100,454  $(1,906,468)  $—  $(2,015,349)  $(1,571,413)  $(224,507)  $(881,555)  $(645,378)  $(119,540)  $(110,933)  $720,208  $212,000   
Net amount  $(35,362)  $(5,989)  $(264,532)  $—  $(672,177)  $(50,519)  $—  $—  $—  $38,513  $—  $—  $—  $(33,420)  $—  $—  $(23,351)  $—  $36,619   
Controlled                                         
collateral                                         
received                                         
(including TBA                                         
commitments)**  $—  $—  $—  $—  $—  $—  $—  $110,000  $—  $—  $—  $—  $—  $—  $—  $—  $—  $760,000  $212,000  $1,082,000 
Uncontrolled                                         
collateral                                         
received  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $— 
Collateral                                         
(pledged)                                         
(including TBA                                         
commitments)**  $(1,141,123)  $—  $—  $(741,661)  $(2,453,386)  $(1,143,898)  $(2,982,814)  $—  $(1,961,591)  $—  $(2,164,974)  $(2,155,701)  $(282,899)  $(881,555)  $(658,498)  $(130,895)  $(110,933)  $—  $—  $(16,809,928) 

 

* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.

** Included with Investments in securities on the Statement of assets and liabilities.

Additional collateral may be required from certain brokers based on individual agreements.

# Covered by master netting agreement (Note 1).

## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.

§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $317,854 and $4,430,839, respectively.

104 Master Intermediate Income Trust  Master Intermediate Income Trust 105 

 


 

Note 10: New accounting pronouncements

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020–04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020–04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. The discontinuation of LIBOR was subsequently extended to June 30, 2023.ASU 2020–04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management expects that the adoption of the guidance will not have a material impact on the fund’s financial statements.

106 Master Intermediate Income Trust 

 


 

Shareholder meeting results (Unaudited)

April 22, 2022 annual meeting

At the meeting, a proposal to fix the number of Trustees at 11 was approved as follows:

Votes for  Votes against  Abstentions 
27,651,550  694,338  704,669 

 

At the meeting, each of the nominees for Trustees was elected as follows:

 

  Votes for  Votes withheld 
Liaquat Ahamed  27,678,168  1,372,398 
Ravi Akhoury  27,547,768  1,502,798 
Barbara M. Baumann  27,786,173  1,264,392 
Katinka Domotorffy  27,623,699  1,426,866 
Catharine Bond Hill  27,771,209  1,279,357 
Paul L. Joskow  27,575,909  1,474,657 
Kenneth R. Leibler  27,789,851  1,260,715 
Jennifer Williams Murphy††  27,806,388  1,244,177 
Marie Pillai††  27,860,332  1,190,233 
George Putnam, III  27,673,895  1,376,670 
Robert L. Reynolds  27,768,636  1,281,930 
Manoj P. Singh  27,572,309  1,478,257 
Mona K. Sutphen  27,850,571  1,199,995 

 

All tabulations are rounded to the nearest whole number.

Mr. Akhoury and Dr. Joskow will each serve until his retirement on June 30, 2022.

†† Mses. Murphy and Pillai have been elected to your fund’s Board and will serve as Trustees beginning July 1, 2022.

Master Intermediate Income Trust 107 

 


 

Fund information

Founded over 80 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.

Investment Manager  Trustees  Richard T. Kircher 
Putnam Investment  Kenneth R. Leibler, Chair  Vice President and 
Management, LLC  Liaquat Ahamed  BSA Compliance Officer 
100 Federal Street  Ravi Akhoury   
Boston, MA 02110  Barbara M. Baumann  Martin Lemaire 
  Katinka Domotorffy  Vice President and 
Investment Sub-Advisor  Catharine Bond Hill  Derivatives Risk Manager 
Putnam Investments Limited  Paul L. Joskow   
16 St James’s Street  George Putnam, III  Susan G. Malloy 
London, England SW1A 1ER  Robert L. Reynolds  Vice President and 
  Manoj P. Singh  Assistant Treasurer 
Marketing Services  Mona K. Sutphen   
Putnam Retail Management    Alan G. McCormack 
Limited Partnership  Officers  Vice President and 
100 Federal Street  Robert L. Reynolds  Derivatives Risk Manager 
Boston, MA 02110  President   
    Denere P. Poulack 
Custodian  James F. Clark  Assistant Vice President, 
State Street Bank  Vice President, Chief Compliance  Assistant Clerk, and 
and Trust Company  Officer, and Chief Risk Officer  Assistant Treasurer 
     
Legal Counsel  Nancy E. Florek  Janet C. Smith 
Ropes & Gray LLP  Vice President, Director of  Vice President, 
  Proxy Voting and Corporate  Principal Financial Officer, 
  Governance, Assistant Clerk,  Principal Accounting Officer, 
  and Assistant Treasurer  and Assistant Treasurer 
     
  Michael J. Higgins  Stephen J. Tate 
  Vice President, Treasurer,  Vice President and 
  and Clerk  Chief Legal Officer 
     
  Jonathan S. Horwitz  Mark C. Trenchard 
  Executive Vice President,  Vice President 
Principal Executive Officer,   
  and Compliance Liaison   

 

108 Master Intermediate Income Trust 

 


 

Call 1-800-225-1581 Monday through Friday between 8:00 a.m. and 8:00 p.m. Eastern Time, or visit putnam.com anytime for up-to-date information about the fund’s NAV.


 


Item 2. Code of Ethics:
Not Applicable

Item 3. Audit Committee Financial Expert:
Not Applicable

Item 4. Principal Accountant Fees and Services:
Not Applicable

Item 5. Audit Committee
Not Applicable

Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:
Not applicable

Item 8. Portfolio Managers of Closed-End Management Investment Companies
(a)(1) Portfolio Managers. Effective March 31, 2022, Robert Salvin was named a Portfolio Manager of the fund following the retirement of Paul D. Scanlon.


Portfolio Managers Joined Fund Employer Positions Over Past Five Years

Robert Salvin 2022 Putnam Management
2000 – Present
Head of Corporate and Tax-exempt Credit Previously, Portfolio Manager

(a)(2) Other Accounts Managed by the Fund’s Portfolio Managers.

The following table shows the number and approximate assets of other investment accounts (or portions of investment accounts) that Robert Salvin managed as of March 31, 2022. Unless noted, none of the other accounts pays a fee based on the account’s performance.


Portfolio Leader or Member
Other SEC-registered open-end and closed-end funds
Other accounts that pool assets from more than one client
Other accounts (including separate accounts, managed account programs and single-sponsor defined contribution plan offerings)

Robert Salvin
16*
$5,752,000,000
10
$902,600,000
13
$2,227,100,000


*   1 accounts, with total assets of $163,800,000 pay an advisory fee based on account performance.
Potential conflicts of interest in managing multiple accounts. Like other investment professionals with multiple clients, the fund’s Portfolio Managers may face certain potential conflicts of interest in connection with managing both the fund and the other accounts listed under “Other Accounts Managed by the Fund’s Portfolio Managers” at the same time. The paragraphs below describe some of these potential conflicts, which Putnam Management believes are faced by investment professionals at most major financial firms. As described below, Putnam Management and the Trustees of the Putnam funds have adopted compliance policies and procedures that attempt to address certain of these potential conflicts.

The management of accounts with different advisory fee rates and/or fee structures, including accounts that pay advisory fees based on account performance (“performance fee accounts”), may raise potential conflicts of interest by creating an incentive to favor higher-fee accounts. These potential conflicts may include, among others:


The most attractive investments could be allocated to higher-fee accounts or performance fee accounts.

The trading of higher-fee accounts could be favored as to timing and/or execution price. For example, higher-fee accounts could be permitted to sell securities earlier than other accounts when a prompt sale is desirable or to buy securities at an earlier and more opportune time.

The trading of other accounts could be used to benefit higher-fee accounts (front-running).

The investment management team could focus their time and efforts primarily on higher-fee accounts due to a personal stake in compensation.

Putnam Management attempts to address these potential conflicts of interest relating to higher-fee accounts through various compliance policies that are generally intended to place all accounts, regardless of fee structure, on the same footing for investment management purposes. For example, under Putnam Management’s policies:


Performance fee accounts must be included in all standard trading and allocation procedures with all other accounts.

All accounts must be allocated to a specific category of account and trade in parallel with allocations of similar accounts based on the procedures generally applicable to all accounts in those groups (e.g., based on relative risk budgets of accounts).

All trading must be effected through Putnam’s trading desks and normal queues and procedures must be followed (i.e., no special treatment is permitted for performance fee accounts or higher-fee accounts based on account fee structure).

Front running is strictly prohibited.

The fund’s Portfolio Manager(s) may not be guaranteed or specifically allocated any portion of a performance fee.

As part of these policies, Putnam Management has also implemented trade oversight and review procedures in order to monitor whether particular accounts (including higher-fee accounts or performance fee accounts) are being favored over time.

Potential conflicts of interest may also arise when the Portfolio Manager(s) have personal investments in other accounts that may create an incentive to favor those accounts. As a general matter and subject to limited exceptions, Putnam Management’s investment professionals do not have the opportunity to invest in client accounts, other than the Putnam funds. However, in the ordinary course of business, Putnam Management or related persons may from time to time establish “pilot” or “incubator” funds for the purpose of testing proposed investment strategies and products prior to offering them to clients. These pilot accounts may be in the form of registered investment companies, private funds such as partnerships or separate accounts established by Putnam Management or an affiliate. Putnam Management or an affiliate supplies the funding for these accounts. Putnam employees, including the fund’s Portfolio Manager(s), may also invest in certain pilot accounts. Putnam Management, and to the extent applicable, the Portfolio Manager(s) will benefit from the favorable investment performance of those funds and accounts. Pilot funds and accounts may, and frequently do, invest in the same securities as the client accounts. Putnam Management’s policy is to treat pilot accounts in the same manner as client accounts for purposes of trading allocation – neither favoring nor disfavoring them except as is legally required. For example, pilot accounts are normally included in Putnam Management’s daily block trades to the same extent as client accounts (except that pilot accounts do not participate in initial public offerings).

A potential conflict of interest may arise when the fund and other accounts purchase or sell the same securities. On occasions when the Portfolio Manager(s) consider the purchase or sale of a security to be in the best interests of the fund as well as other accounts, Putnam Management’s trading desk may, to the extent permitted by applicable laws and regulations, aggregate the securities to be sold or purchased in order to obtain the best execution and lower brokerage commissions, if any. Aggregation of trades may create the potential for unfairness to the fund or another account if one account is favored over another in allocating the securities purchased or sold – for example, by allocating a disproportionate amount of a security that is likely to increase in value to a favored account. Putnam Management’s trade allocation policies generally provide that each day’s transactions in securities that are purchased or sold by multiple accounts are, insofar as possible, averaged as to price and allocated between such accounts (including the fund) in a manner which in Putnam Management’s opinion is equitable to each account and in accordance with the amount being purchased or sold by each account. Certain exceptions exist for specialty, regional or sector accounts. Trade allocations are reviewed on a periodic basis as part of Putnam Management’s trade oversight procedures in an attempt to ensure fairness over time across accounts.

“Cross trades,” in which one Putnam account sells a particular security to another account (potentially saving transaction costs for both accounts), may also pose a potential conflict of interest. Cross trades may be seen to involve a potential conflict of interest if, for example, one account is permitted to sell a security to another account at a higher price than an independent third party would pay, or if such trades result in more attractive investments being allocated to higher-fee accounts. Putnam Management and the fund’s Trustees have adopted compliance procedures that provide that any transactions between the fund and another Putnam-advised account are to be made at an independent current market price, as required by law.

Another potential conflict of interest may arise based on the different investment objectives and strategies of the fund and other accounts. For example, another account may have a shorter-term investment horizon or different investment objectives, policies or restrictions than the fund. Depending on another account’s objectives or other factors, the Portfolio Manager(s) may give advice and make decisions that may differ from advice given, or the timing or nature of decisions made, with respect to the fund. In addition, investment decisions are the product of many factors in addition to basic suitability for the particular account involved. Thus, a particular security may be bought or sold for certain accounts even though it could have been bought or sold for other accounts at the same time. More rarely, a particular security may be bought for one or more accounts managed by the Portfolio Manager(s) when one or more other accounts are selling the security (including short sales). There may be circumstances when purchases or sales of portfolio securities for one or more accounts may have an adverse effect on other accounts. As noted above, Putnam Management has implemented trade oversight and review procedures to monitor whether any account is systematically favored over time.

The fund’s Portfolio Manager(s) may also face other potential conflicts of interest in managing the fund, and the description above is not a complete description of every conflict that could be deemed to exist in managing both the fund and other accounts.

(a)(3) Compensation of portfolio managers. Portfolio managers are evaluated and compensated across the group of specified products they manage, in part, based on their performance relative to peers or performance ahead of the applicable benchmark, depending on the product, based on a blend of 3-year and 5-year performance. In addition, evaluations take into account individual contributions and a subjective component.

Each portfolio manager is assigned an industry-competitive incentive compensation target consistent with this goal and evaluation framework. Actual incentive compensation may be higher or lower than the target, based on group, individual, and subjective performance, and may also reflect the performance of Putnam as a firm.

Incentive compensation includes a cash bonus and may also include grants of deferred cash, stock or options. In addition to incentive compensation, portfolio managers receive fixed annual salaries typically based on level of responsibility and experience.

For Putnam Managed Municipal Income Trust and Putnam Municipal Opportunities Trust, Putnam evaluates performance based on the fund’s peer ranking in the fund’s Lipper category. This peer ranking is based on pre-tax performance.

For Putnam Master Intermediate Income Trust and Putnam Premier Income Trust, Putnam evaluates performance based on the peer ranking of related products managed by Putnam Management with similar strategies in those products’ Lipper categories. This peer ranking is based on pre-tax performance.

One or more of the portfolio managers of Putnam Master Intermediate Income Trust and Putnam Premier Income Trust receive a portion of the performance fee payable by several private funds managed by Putnam (the “Private Funds”) in connection with their service as members of the Private Funds’ portfolio management team. See “Other Accounts Managed by the Fund’s Portfolio Managers — Potential conflicts of interest in managing multiple accounts” in (a)(2) above for information on how Putnam Management addresses potential conflicts of interest resulting from an individual’s management of more than one account.

(a)(4) Fund ownership. The following table shows the dollar ranges of shares of the fund owned by the professionals listed above at the end of the fund’s last two fiscal years, including investments by their immediate family members and amounts invested through retirement and deferred compensation plans.


* : Assets in the fund
  Year  $0  $0-  $10,001-  $50,001-  $100,001-  $500,001-  $1,000,001 
      $10,000  $50,000  $100,000  $500,000  $1,000,000  and over 
Robert Salvin  2022+  *             

+ Named Portfolio Manager effective March 31, 2022.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:

Registrant Purchase of Equity Securities

Maximum
Total Number Number (or
of Shares Approximate
Purchased Dollar Value)
as Part of Shares
of Publicly that May Yet Be
Total Number Average Announced Purchased
of Shares Price Paid Plans or under the Plans
Period Purchased per Share Programs* or Programs**
October 1 - October 31, 2021 5,118,668
November 1 - November 30, 2021 5,118,668
December 1 - December 31, 2021 5,118,668
January 1 - January 31, 2022 5,118,668
February 1 - February 28, 2022 171,828 $3.56 171,828 4,946,840
March 1 - March 31, 2022 444,925 $3.50 444,925 4,501,915


*   In October 2005, the Board of Trustees of the Putnam Funds initiated the closed-end fund share repurchase program, which, as subsequently amended, authorized the fund to repurchase of up to 10% of its fund’s outstanding common shares over the two-years ending October 5, 2007. The Trustees have subsequently renewed the program on an annual basis. The program renewed by the Board in September 2020, which was in effect between October 1, 2020 and September 30, 2021, allowed the fund to repurchase up to 5,122,767 of its shares. The program renewed by the Board in September 2021, which is in effect between October 1, 2021 and September 30, 2022, allows the fund to repurchase up to 5,118,668 of its shares.

**   Information prior to October 1, 2021, is based on the total number of shares eligible for repurchase under the program, as amended through September 2020. Information from October 1, 2021 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2021.

Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable

Item 11. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable

Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies:
Not Applicable

Item 13. Exhibits:
(a)(1) Not applicable

(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer

Date: May 23, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer

Date: May 23, 2022
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer

Date: May 23, 2022

b_074certifications.htm

Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;

b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of each report based on such evaluation; and

d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by the registrant’s report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions):

a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting.

Date: May 23, 2022

/s/ Jonathan S. Horwitz
_______________________
Jonathan S. Horwitz
Principal Executive Officer














Certifications

I, Janet C. Smith, the Principal Financial Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;

b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of each report based on such evaluation; and

d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by the registrant’s report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions):

a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and

b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting.

Date: May 23, 2022

/s/ Janet C. Smith
_______________________
Janet C. Smith
Principal Financial Officer















Attachment A

Period (s) ended March 31, 2022

               Putnam California Tax Exempt Income Fund
               Putnam Diversified Income Trust
               Putnam Dynamic Asset Allocation Balanced Fund
               Putnam Dynamic Asset Allocation Growth Fund
               Putnam Dynamic Asset Allocation Conservative Fund
               Putnam Government Money Market Fund
               Putnam Master Intermediate Income Trust
               Putnam Money Market Fund
               Putnam Mortgage Securities Fund
               Putnam Tax Exempt Income Fund

c_074noscertification.htm

Section 906 Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the Funds listed on Attachment A, certify that, to my knowledge:

1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2022 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2022 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.

Date: May 23, 2022

/s/ Jonathan S. Horwitz
______________________
Jonathan S. Horwitz
Principal Executive Officer














Section 906 Certifications

I, Janet C. Smith, the Principal Financial Officer of the Funds listed on Attachment A, certify that, to my knowledge:

1. The form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2022 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended March 31, 2022 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.

Date: May 23, 2022

/s/ Janet C. Smith
______________________
Janet C. Smith
Principal Financial Officer















Attachment A

Period (s) ended March 31, 2022

               Putnam California Tax Exempt Income Fund
               Putnam Diversified Income Trust
               Putnam Dynamic Asset Allocation Balanced Fund
               Putnam Dynamic Asset Allocation Growth Fund
               Putnam Dynamic Asset Allocation Conservative Fund
               Putnam Government Money Market Fund
               Putnam Master Intermediate Income Trust
               Putnam Money Market Fund
               Putnam Mortgage Securities Fund
               Putnam Tax Exempt Income Fund