N-CSRS 1 a_masterinter.htm PUTNAM MASTER INTERMEDIATE INCOME TRUST a_masterinter.htm


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: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
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, 2017
Date of reporting period: October 1, 2016 — March 31, 2017



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 | 17

 

Consider these risks before investing: International investing involves currency, economic, and political risks. 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 greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about changes in monetary policy or interest rates), changes in government intervention, and factors related to a specific issuer or industry.  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. You can lose money by investing in the fund. The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value.


Message from the Trustees

May 18, 2017

Dear Fellow Shareholder:

The early months of 2017 have been generally positive for investor sentiment and financial market performance. Many market indexes have achieved new record highs with relatively low volatility, in contrast to the bouts of uncertainty and turbulence that tested global financial markets in 2016. It is worth noting, however, that the exuberance that greeted the new year calmed somewhat as investors reconsidered a number of ongoing macroeconomic and political risks. In addition, many bond investors remained cautious as the potential for inflation increased.

As always, we believe investors should continue to focus on time-tested strategies: maintain a well-diversified portfolio, keep a long-term view, and do not overreact to short-term market fluctuations. To help ensure that your portfolio is aligned with your goals, we also believe it is a good idea to speak regularly with your financial advisor. In the following pages, you will find an overview of your fund’s performance for the reporting period as well as an outlook for the coming months.

We would like to take this opportunity to announce the arrival of Catharine Bond Hill and Manoj P. Singh to your fund’s Board of Trustees. Dr. Hill and Mr. Singh bring extensive professional and directorship experience to their role as Trustees, and we are pleased to welcome them.

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 more than 25 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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Diversified holdings across a wide range of security types and market sectors


Allocations are shown as a percentage of the fund’s net assets as of 3/31/17. 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 table 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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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 the six-month period are not annualized, but cumulative.


This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/17. See above and pages 11–12 for additional fund performance information. Index descriptions can be found on pages 13–14.

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Bill Kohli is Chief Investment Officer, Fixed Income, at Putnam. He has an M.B.A. from the Haas School of Business, University of California, Berkeley, and a B.A. from the University of California, San Diego. Bill joined Putnam in 1994 and has been in the investment industry since 1988.

In addition to Bill, your fund’s portfolio managers are Michael J. Atkin; Robert L. Davis, CFA; Brett S. Kozlowski, CFA; Michael V. Salm; and Paul D. Scanlon, CFA.

Bill, what was the fund’s investment environment like during the six-month reporting period ended March 31, 2017?

The environment was generally supportive for riskier assets, but with interest rates rising, it was challenging for U.S. Treasuries and other rate-sensitive categories.

In the months immediately after the U.S. presidential election, investors were optimistic about the potential for tax cuts and increases in infrastructure and defense spending under the incoming Trump administration. Later in the period, however, the administration delayed a vote on a bill that could have repealed and replaced the Affordable Care Act. This delay triggered uncertainty about the administration’s ability to get its tax-reform and fiscal-stimulus plans passed by Congress.

Economic data in both the United States and globally were positive overall during the reporting period. In particular, fourth-quarter U.S. gross domestic product [GDP] was revised upward from a 1.9% to a 2.1% annual rate, according to the Commerce Department. This follows growth of 3.5% in the third quarter. In February, the Federal Reserve’s [Fed] preferred inflation gauge, the Personal Consumption Expenditures Price Index, rose 2.1% from a year earlier, the first time inflation exceeded the central bank’s target in nearly five years. The

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Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/17. 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.


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 3/31/17. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.

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jobless rate in the 19-country eurozone declined to 9.5% in February, the lowest level since 2009.

The Fed increased its target for short-term interest rates by a quarter percentage point twice during the period, raising the federal funds rate to a range of 0.75% to 1%. At the central bank’s mid-March policy meeting, Fed Chair Janet Yellen expressed confidence in the economy and reaffirmed that the board may implement two more interest rate increases this year.

After reaching a 14-year high in early January, the U.S. dollar declined by 3.5% in the first quarter of 2017, reflecting increased investor caution toward the currency amid uncertainties surrounding the Trump administration’s policy platform.

The fund topped its benchmark by a sizable margin during the six-month period, and also outpaced its Lipper peer group average. What factors bolstered its relative performance?

With respect to relative performance, I think it’s important to point out that the fund’s benchmark comprises a mix of U.S. Treasury, government-agency, and investment-grade corporate securities. U.S. Treasuries and other government securities were hampered by rising interest rates during the period. Meanwhile, the fund’s interest-rate and yield-curve strategies, along with out-of-benchmark credit holdings, performed well and fueled its strong performance. In fact, all of the fund’s major strategy segments contributed to results — there were no detractors on an absolute basis.

Looking at individual strategies, our interest-rate and yield-curve positioning in the United States and overseas was the biggest contributor to performance. We continued our efforts to de-emphasize interest-rate risk by keeping the fund’s duration — a key measure of interest-rate sensitivity — below zero. This strategy was particularly helpful in November when intermediate- and long-term U.S. Treasury yields rose sharply in response to the U.S. presidential election outcome and President-elect Trump’s proposed fiscal policy.

Internationally, rates also rose in Europe, particularly in the United Kingdom, so our negative-duration positioning aided performance there. Our holding of Greek government debt provided a further boost. The country’s bonds rallied on increased investor optimism that the securities might be included in the European Central Bank’s bond purchase program.

Our mortgage-credit strategies were another leading contributor. In January, our positions in mezzanine commercial mortgage-backed securities [CMBS] that were issued before the 2008 financial crisis performed particularly well. However, gains from the sector were pared in February when headlines concerning retail store closures prompted some investors to express a bearish view on certain parts of the CMBS market due to the sector’s exposure to retail properties. Although we agree that retailers face challenges amid evolving shopper preferences and a shift from traditional brick-and-mortar to online commerce, we believe the CMBS held by the fund have enough credit protection to withstand the changes that are occurring in retail.

Within non-agency residential mortgage-backed securities [RMBS], our investments in agency credit risk-transfer securities [CRTs] aided results, as did pay-option adjustable-rate mortgage-backed securities [pay-option ARMs]. With CRTs, a combination of relatively high yields and high-quality collateral continued to attract investors to this growing market. Furthermore, CRTs provided investors with a productive alternative to deploy their capital as other parts of the non-agency RMBS market continued to shrink. Pay-option ARMs benefited from the generally favorable risk environment during the period, as well as the fact that there was no new supply of these bonds coming to market.

How did the fund’s allocation to corporate credit influence performance during the period?

An out-of-benchmark stake in high-yield bonds was another bright spot, despite modest spread widening in March [bond prices decline as yield spreads widen]. After a strong 2016, the asset

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class continued to post positive returns in the early months of 2017, as the search for yield continued. Optimistic sentiment toward the asset class was fueled by investor expectations that economic growth could potentially accelerate if the Trump administration is successful at implementing tax cuts and more-robust fiscal policy. Relatively stable global oil prices during most of the period also provided a tailwind.

What about the fund’s holdings of emerging-market debt?

They also contributed during the period. Positions in Russia, Venezuela, Brazil, and Mexico were the most productive, partly helped by stable oil prices and persistent investor demand for high-yielding securities. Brazil’s bonds also received a boost when the country’s central bank cut its benchmark interest rate by more than investors were expecting, as Brazil continued its efforts to recover from a deep recession.

Elsewhere, our active-currency and prepayment strategies were modest contributors for the period.

How did you use derivatives during the period?

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 employed interest-rate swaps to gain exposure to rates in various countries. We also utilized options to hedge the fund’s interest-rate risk, to isolate the prepayment risk associated with our CMO [collaterized mortgage obligations] holdings, and to help manage overall downside risk. In addition, we used total return swaps as a hedging tool, and to help manage the portfolio’s sector exposure, as well as its inflation risk. We employed credit default swaps to hedge the fund’s credit and market risks, and to gain exposure to specific sectors and securities. Lastly, we used currency forward contracts to


This chart shows how the fund’s sector 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 table 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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hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.

What is your outlook for the coming months?

As we look at the world today, we see economic activity picking up and inflation levels beginning to rise. Higher commodity prices appear to be leading to fairly persistent pricing pressures in the United States and elsewhere. In our view, global economies appear to be normalizing, and we think this is particularly true in the United States. Given this normalization, we think the level of interest rates remains too low.

Within this environment, we think the Fed’s tone has changed somewhat. For some time now, the central bank has emphasized that its policy was data-dependent — particularly data related to employment and inflation levels. After years of employing stimulative monetary policy in an effort to ward off deflation, we believe the Fed has now shifted its focus to inflation. This new phase of monetary policy is driven, in our view, by a central bank that is becoming more concerned with the possibility that the economy could outperform forecasts. Consequently, we expect the Fed to increase rates at least twice more this year, and these increases could occur sooner than the market is currently forecasting.

We also believe the Fed could soon begin the process of reducing its holdings of U.S. Treasuries and mortgage-backed securities. In our view, the central bank may want to move toward a smaller portfolio for several reasons. For one, the economy appears to be on stronger footing, which may lead the Fed to see less need for support from a large bond portfolio. Additionally, the Fed’s reduction of its bond portfolio could relieve pressure on possible new

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.

Master Intermediate Income Trust 9 

 


leadership in 2018, when Janet Yellen’s term ends. Finally, Fed officials may want room to ramp the portfolio back up in a crisis if needed.

How do you plan to position the fund in light of this outlook?

Despite positive duration positioning in the U.S., our non-U.S., quantitatively driven, negative-duration strategies have kept the fund’s total duration close to zero. We plan to keep these strategies in place for now. We also extended our strategy of seeking to capitalize on potentially steeper global yield curves. We think this overall positioning could benefit the fund if interest rates continue to trend higher in the months ahead.

We plan to continue seeking opportunities in corporate and mortgage credit that we believe offer relative value. Within those market areas, we continue to have a constructive outlook for high-yield bonds, based on what we think is a generally supportive fundamental and technical backdrop for the asset class. We also continue to like CMBS due to what we believe are attractive spreads available there.

We plan to maintain the fund’s exposure to select emerging-market countries, seeking to benefit from the relatively high income levels available in markets in which we believe we’re being adequately compensated for risk.

Lastly, we will seek to maintain a sufficient cash allocation to provide a cushion against bouts of market volatility, as well as any disruptions in the global market’s supply/demand environment.

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

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.

HOW CLOSED-END FUNDS DIFFER FROM OPEN-END FUNDS

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, 2017, 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.

Fund performance Total return for periods ended 3/31/17

  Annual                 
  average                 
  Life of                 
  fund (since    Annual    Annual    Annual     
  4/29/88)  10 years  average  5 years  average  3 years  average  1 year  6 months 
NAV  6.27%  56.50%  4.58%  23.88%  4.38%  5.65%  1.85%  13.35%  6.79% 
Market price  6.28  64.85  5.13  25.64  4.67  11.03  3.55  14.14  9.73 

 

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

Performance includes the deduction of management fees and administrative expenses.

Comparative index returns For periods ended 3/31/17

  Annual                 
  average                 
  Life of                 
  fund (since    Annual    Annual    Annual     
  4/29/88)  10 years  average  5 years  average  3 years  average  1 year  6 months 
Bloomberg Barclays                   
Government/Credit  6.42%  52.98%  4.34%  12.95%  2.46%  8.30%  2.69%  0.54%  –2.46% 
Bond Index                   
Citigroup Non-U.S.                   
World Government  5.21  29.71  2.64  –7.30  –1.50  –7.49  –2.56  –4.79  –9.03 
Bond Index                   
JPMorgan Global                   
High Yield Index*  —  108.80  7.64  39.66  6.91  15.03  4.78  17.80  5.35 
Lipper Closed-end                   
General Bond Funds  7.23  110.99  7.31  44.70  7.39  18.70  5.80  17.43  5.94 
category average†                   

 

Index and Lipper results should be compared with 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.

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

† Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/17, there were 36, 36, 28, 23, 18, and 4 funds, respectively, in this Lipper category.

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Fund price and distribution information For the six-month period ended 3/31/17

Distributions       
Number    6   
Income    $0.156000   
Capital gains    —   
Total    $0.156000   
Share value  NAV    Market price 
9/30/16  $4.86    $4.42 
3/31/17  5.03    4.69 
Current rate (end of period)  NAV    Market price 
Current dividend rate*  6.20%    6.65% 

 

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

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

BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.

Citigroup 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 that is designed to mirror the investable universe of the U.S. dollar global high-yield corporate debt market, including

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domestic (U.S.) and international (non-U.S.) issues. International issues are composed of both developed and emerging markets.

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.

Lipper 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.

Other information for shareholders

Important notice regarding share repurchase program

In September 2016, 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 12 months beginning October 8, 2016, up to 10% of the fund’s common shares outstanding as of October 7, 2016.

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single 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, 2016, 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-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.

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, 2017, Putnam employees had approximately $486,000,000 and the Trustees had approximately $137,000,000 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 High Income Securities Fund, 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

Master Intermediate Income Trust 15 

 


common shares are held. Each participant will 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.

16 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 year.

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 17 

 


The fund’s portfolio 3/31/17 (Unaudited)

U.S. GOVERNMENT AND AGENCY  Principal   
MORTGAGE OBLIGATIONS (88.9%)*  amount  Value 
U.S. Government Agency Mortgage Obligations (88.9%)     
Federal National Mortgage Association Pass-Through Certificates     
5.50%, TBA, 4/1/47  $3,000,000  $3,332,813 
4.50%, TBA, 4/1/47  3,000,000  3,217,266 
4.00%, TBA, 4/1/47  9,000,000  9,440,860 
3.50%, TBA, 5/1/47  67,000,000  68,400,193 
3.50%, TBA, 4/1/47  81,000,000  82,860,473 
3.00%, TBA, 4/1/47  73,000,000  72,384,063 
Total U.S. government and agency mortgage obligations (cost $239,096,562)  $239,635,668 
 
  Principal   
MORTGAGE-BACKED SECURITIES (50.9%)*  amount  Value 
Agency collateralized mortgage obligations (21.0%)     
Federal Home Loan Mortgage Corporation     
IFB Ser. 3408, Class EK, 22.122%, 4/15/37  $53,263  $81,410 
IFB Ser. 2979, Class AS, 20.929%, 3/15/34  520  522 
IFB Ser. 3072, Class SM, 20.452%, 11/15/35  87,347  125,709 
IFB Ser. 3249, Class PS, 19.265%, 12/15/36  52,699  73,436 
IFB Ser. 3852, Class SC, IO, 5.738%, 4/15/40  3,241,746  461,949 
Ser. 4077, Class IK, IO, 5.00%, 7/15/42  3,351,758  697,427 
Ser. 4122, Class TI, IO, 4.50%, 10/15/42  1,398,399  296,600 
Ser. 4000, Class PI, IO, 4.50%, 1/15/42  773,963  144,112 
Ser. 4546, Class TI, IO, 4.00%, 12/15/45  3,101,380  550,495 
Ser. 4462, IO, 4.00%, 4/15/45  1,307,636  263,162 
Ser. 4425, IO, 4.00%, 1/15/45  4,130,469  801,104 
Ser. 4452, Class QI, IO, 4.00%, 11/15/44  2,624,539  576,086 
Ser. 4193, Class PI, IO, 4.00%, 3/15/43  2,036,858  328,614 
Ser. 4062, Class DI, IO, 4.00%, 9/15/39  3,765,191  397,320 
Ser. 4604, Class QI, IO, 3.50%, 7/15/46  6,806,562  1,142,974 
Ser. 4580, Class ID, IO, 3.50%, 8/15/45  4,144,053  691,642 
Ser. 4501, Class BI, IO, 3.50%, 10/15/43  3,732,332  550,332 
Ser. 4122, Class AI, IO, 3.50%, 10/15/42  2,537,659  336,636 
Ser. 4122, Class CI, IO, 3.50%, 10/15/42  2,317,355  307,411 
Ser. 4105, Class HI, IO, 3.50%, 7/15/41  1,244,881  146,180 
Ser. 304, Class C37, IO, 3.50%, 12/15/27  1,430,273  142,841 
Ser. 4165, Class TI, IO, 3.00%, 12/15/42  5,262,745  546,273 
Ser. 4183, Class MI, IO, 3.00%, 2/15/42  2,290,156  227,871 
Ser. 4210, Class PI, IO, 3.00%, 12/15/41  1,432,294  106,079 
Ser. 4510, Class HI, IO, 3.00%, 3/15/40  4,230,486  393,858 
Ser. 3990, Class KQ 3.000%, 08/15/31 i   189,001  195,219 
FRB Ser. 57, Class 1AX, IO, 0.372%, 7/25/43  1,685,144  18,461 
Ser. 3326, Class WF, zero %, 10/15/35  1,123  845 
Federal National Mortgage Association     
IFB Ser. 06-62, Class PS, 34.01%, 7/25/36  82,072  148,500 
IFB Ser. 07-53, Class SP, 20.601%, 6/25/37  75,138  109,722 
IFB Ser. 08-24, Class SP, 19.684%, 2/25/38  70,232  95,928 
IFB Ser. 05-75, Class GS, 17.305%, 8/25/35  57,695  74,786 

 

18 Master Intermediate Income Trust 

 


  Principal   
MORTGAGE-BACKED SECURITIES (50.9%)* cont.  amount  Value 
Agency collateralized mortgage obligations cont.     
Federal National Mortgage Association     
IFB Ser. 05-83, Class QP, 14.842%, 11/25/34  $87,618  $108,107 
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46  3,476,462  836,207 
Ser. 11-59, Class BI, IO, 6.00%, 8/25/40  3,302,358  315,937 
Ser. 374, Class 6, IO, 5.50%, 8/25/36  128,305  24,802 
IFB Ser. 12-36, Class SN, IO, 5.468%, 4/25/42  1,614,109  299,094 
IFB Ser. 13-18, Class SB, IO, 5.168%, 10/25/41  1,247,086  161,872 
Ser. 378, Class 19, IO, 5.00%, 6/25/35  388,404  70,884 
IFB Ser. 11-101, Class SA, IO, 4.918%, 10/25/41  4,050,006  622,688 
Ser. 15-16, Class MI, IO, 4.50%, 4/25/45  2,128,391  454,944 
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42  601,832  143,404 
Ser. 12-30, Class HI, IO, 4.50%, 12/25/40  3,792,457  478,570 
Ser. 366, Class 22, IO, 4.50%, 10/25/35  77,622  3,290 
Ser. 17-7, Class JI, IO, 4.00%, 2/25/47  2,142,387  393,664 
Ser. 17-15, Class LI, IO, 4.00%, 6/25/46  2,009,484  331,565 
Ser. 15-88, Class QI, IO, 4.00%, 10/25/44  2,435,243  380,110 
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43  1,586,384  268,067 
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43  1,246,918  195,513 
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42  1,250,745  216,783 
Ser. 12-96, Class PI, IO, 4.00%, 7/25/41  1,051,880  164,714 
Ser. 16-102, Class JI, IO, 3.50%, 2/25/46  3,085,634  478,890 
Ser. 12-145, Class TI, IO, 3.00%, 11/25/42  2,144,181  166,603 
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42  2,031,941  172,715 
Ser. 13-53, Class JI, IO, 3.00%, 12/25/41  1,787,888  193,807 
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41  1,825,167  127,725 
Ser. 16-97, Class KI, IO, 3.00%, 6/25/40  4,431,659  541,840 
Ser. 99-51, Class N, PO, zero %, 9/17/29  10,541  8,960 
Government National Mortgage Association     
IFB Ser. 13-129, Class SN, IO, 5.172%, 9/20/43  812,219  128,274 
IFB Ser. 14-20, Class SQ, IO, 5.122%, 7/20/43  3,185,472  483,794 
Ser. 16-168, Class AI, IO, 5.00%, 7/20/45  2,182,364  229,148 
Ser. 14-122, Class IC, IO, 5.00%, 8/20/44  1,115,258  219,583 
Ser. 14-76, IO, 5.00%, 5/20/44  1,549,842  318,294 
Ser. 15-187, Class KI, IO, 5.00%, 6/20/43  3,823,387  429,236 
Ser. 13-22, Class IE, IO, 5.00%, 2/20/43  2,402,068  503,353 
Ser. 13-22, Class OI, IO, 5.00%, 1/20/43  2,121,148  449,756 
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43  1,116,667  236,833 
Ser. 13-6, Class IC, IO, 5.00%, 1/20/43  973,786  204,836 
Ser. 12-146, IO, 5.00%, 12/20/42  975,769  208,649 
Ser. 13-6, Class CI, IO, 5.00%, 12/20/42  711,847  136,283 
Ser. 13-130, Class IB, IO, 5.00%, 12/20/40  552,045  37,923 
Ser. 13-16, Class IB, IO, 5.00%, 10/20/40  240,985  14,148 
Ser. 11-41, Class BI, IO, 5.00%, 5/20/40  340,068  27,339 
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40  336,450  71,117 
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40  1,053,389  220,716 
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40  4,731,221  1,005,640 
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39  2,440,244  520,846 
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39  865,431  184,937 
IFB Ser. 14-119, Class SA, IO, 4.622%, 8/20/44  3,755,526  582,107 

 

Master Intermediate Income Trust 19 

 


  Principal   
MORTGAGE-BACKED SECURITIES (50.9%)* cont.  amount  Value 
Agency collateralized mortgage obligations cont.     
Government National Mortgage Association     
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46  $1,708,948  $369,560 
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46  6,691,891  855,291 
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45  1,332,074  303,460 
Ser. 14-147, Class IJ, IO, 4.50%, 2/20/44  2,107,817  339,232 
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43  2,197,081  447,655 
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43  2,990,906  507,766 
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43  2,082,101  434,112 
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42  540,607  93,741 
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41  1,887,000  385,021 
Ser. 11-140, Class BI, IO, 4.50%, 12/20/40  168,668  9,948 
Ser. 11-18, Class PI, IO, 4.50%, 8/20/40  122,356  16,781 
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40  2,005,628  396,473 
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40  3,516,420  714,537 
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40  1,875,434  377,710 
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40  2,099,872  420,136 
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40  1,286,902  257,724 
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39  981,645  231,491 
Ser. 10-168, Class PI, IO, 4.50%, 11/20/39  411,755  43,975 
Ser. 10-158, Class IP, IO, 4.50%, 6/20/39  1,243,528  108,038 
Ser. 10-98, Class PI, IO, 4.50%, 10/20/37  170,722  2,988 
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46  2,748,694  415,740 
Ser. 16-29, IO, 4.00%, 2/16/46  1,729,310  335,054 
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45  5,560,678  973,119 
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45  2,516,444  551,157 
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45  3,540,873  641,943 
Ser. 15-40, IO, 4.00%, 3/20/45  2,739,776  582,844 
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44  3,347,064  615,692 
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44  1,087,773  200,036 
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43  4,986,359  675,103 
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43  978,920  170,538 
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42  850,675  154,156 
Ser. 12-38, Class MI, IO, 4.00%, 3/20/42  2,858,460  570,469 
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42  2,111,748  372,472 
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46  2,240,092  404,057 
Ser. 15-95, Class PI, IO, 3.50%, 7/20/45  3,163,840  494,350 
Ser. 15-64, Class PI, IO, 3.50%, 5/20/45  3,005,303  471,803 
Ser. 13-76, IO, 3.50%, 5/20/43  3,527,285  590,679 
Ser. 13-28, IO, 3.50%, 2/20/43  1,103,439  163,231 
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43  1,707,193  273,543 
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43  2,389,392  384,453 
Ser. 13-14, IO, 3.50%, 12/20/42  5,875,519  844,606 
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42  1,777,621  287,192 
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42  2,203,285  431,183 
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42  2,624,863  539,690 
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42  1,369,104  296,014 
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42  4,122,381  554,914 
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40  4,446,780  633,035 
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39  2,538,798  256,926 

 

20 Master Intermediate Income Trust 

 


  Principal   
MORTGAGE-BACKED SECURITIES (50.9%)* cont.  amount  Value 
Agency collateralized mortgage obligations cont.     
Government National Mortgage Association     
Ser. 15-124, Class DI, IO, 3.50%, 1/20/38  $2,344,308  $302,088 
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28  7,482,628  794,152 
Ser. 16-H23, Class NI, IO, 2.591%, 10/20/66  12,132,589  1,684,003 
Ser. 16-H03, Class AI, IO, 2.371%, 1/20/66  4,691,568  504,344 
Ser. 16-H17, Class KI, IO, 2.197%, 7/20/66  3,385,221  412,574 
Ser. 16-H16, Class EI, IO, 2.175%, 6/20/66  4,872,537  619,787 
Ser. 15-H20, Class CI, IO, 2.17%, 8/20/65  5,375,648  631,649 
Ser. 15-H15, Class BI, IO, 2.147%, 6/20/65  3,194,686  364,264 
Ser. 15-H24, Class AI, IO, 2.141%, 9/20/65  4,726,599  479,277 
Ser. 16-H02, Class HI, IO, 2.136%, 1/20/66  6,262,350  607,448 
Ser. 16-H03, Class DI, IO, 2.036%, 12/20/65  5,121,062  499,304 
Ser. 16-H10, Class AI, IO, 2.014%, 4/20/66  11,992,066  991,744 
Ser. 15-H10, Class BI, IO, 2.008%, 4/20/65  3,251,425  354,389 
Ser. 16-H09, Class BI, IO, 1.94%, 4/20/66  6,193,716  709,490 
Ser. 16-H06, Class DI, IO, 1.917%, 7/20/65  6,837,934  626,355 
Ser. 16-H06, Class CI, IO, 1.906%, 2/20/66  6,348,942  490,138 
Ser. 16-H18, Class QI, IO, 1.87%, 6/20/66  3,470,682  445,983 
Ser. 15-H25, Class EI, IO, 1.833%, 10/20/65  4,548,976  420,780 
Ser. 15-H20, Class AI, IO, 1.821%, 8/20/65  4,924,586  470,298 
FRB Ser. 15-H08, Class CI, IO, 1.78%, 3/20/65  2,692,193  249,642 
Ser. 15-H23, Class BI, IO, 1.715%, 9/20/65  4,993,381  447,906 
Ser. 16-H24, Class CI, IO, 1.689%, 10/20/66  3,586,564  332,051 
Ser. 13-H08, Class CI, IO, 1.663%, 2/20/63  5,094,877  334,224 
Ser. 16-H14, IO, 1.66%, 6/20/66  5,169,078  426,449 
Ser. 14-H21, Class BI, IO, 1.536%, 10/20/64  7,080,313  527,483 
Ser. 15-H26, Class CI, IO, 0.648%, 8/20/65  14,878,894  263,356 
Ser. 06-36, Class OD, PO, zero %, 7/16/36  2,688  2,254 
    56,598,141 
Commercial mortgage-backed securities (18.2%)     
Banc of America Commercial Mortgage Trust     
FRB Ser. 07-3, Class AJ, 5.761%, 6/10/49  378,000  383,670 
Ser. 06-4, Class AJ, 5.695%, 7/10/46  180,658  180,305 
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5,     
Class XW, IO, 0.339%, 2/10/51  60,849,224  76,828 
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB     
Ser. 05-5, Class D, 5.394%, 10/10/45  167,587  167,461 
Bear Stearns Commercial Mortgage Securities Trust     
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45  2,133,000  2,069,010 
Ser. 05-PWR7, Class D, 5.304%, 2/11/41  441,000  432,154 
Ser. 05-PWR7, Class B, 5.214%, 2/11/41  604,384  604,988 
Ser. 05-PWR9, Class C, 5.055%, 9/11/42  389,674  393,540 
Bear Stearns Commercial Mortgage Securities Trust 144A     
FRB Ser. 06-PW11, Class B, 5.693%, 3/11/39  626,014  598,225 
FRB Ser. 06-PW14, Class XW, IO, 0.556%, 12/11/38  1,894,302  6,630 
CD Mortgage Trust 144A     
FRB Ser. 07-CD5, Class E, 6.159%, 11/15/44  507,000  492,015 
FRB Ser. 07-CD5, Class XS, IO, 0.151%, 11/15/44  17,129,511  2,153 

 

Master Intermediate Income Trust 21 

 


  Principal   
MORTGAGE-BACKED SECURITIES (50.9%)* cont.  amount  Value 
Commercial mortgage-backed securities cont.     
CFCRE Commercial Mortgage Trust 144A     
FRB Ser. 11-C2, Class E, 5.755%, 12/15/47  $409,000  $406,926 
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47  1,025,000  915,633 
Citigroup Commercial Mortgage Trust 144A     
FRB Ser. 13-GC17, Class D, 5.104%, 11/10/46  777,000  728,598 
FRB Ser. 12-GC8, Class D, 4.877%, 9/10/45  998,000  932,531 
FRB Ser. 14-GC21, Class D, 4.836%, 5/10/47  1,191,000  983,885 
FRB Ser. 13-GC11, Class E, 4.456%, 4/10/46  396,000  287,773 
COBALT CMBS Commercial Mortgage Trust     
FRB Ser. 07-C3, Class AJ, 5.88%, 5/15/46  351,000  354,137 
Ser. 07-C2, Class AJFX, 5.568%, 4/15/47  835,000  835,501 
COMM Mortgage Trust     
FRB Ser. 07-C9, Class F, 5.808%, 12/10/49  962,000  958,284 
Ser. 06-C8, Class AJ, 5.377%, 12/10/46  519,127  519,491 
COMM Mortgage Trust 144A     
FRB Ser. 14-CR18, Class D, 4.737%, 7/15/47  432,000  349,920 
FRB Ser. 13-CR9, Class D, 4.256%, 7/10/45  962,000  845,021 
Ser. 12-LC4, Class E, 4.25%, 12/10/44  392,000  296,705 
Ser. 13-LC13, Class E, 3.719%, 8/10/46  574,000  394,625 
Ser. 14-CR18, Class E, 3.60%, 7/15/47  592,000  377,637 
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX,     
IO, 0.652%, 12/15/39  2,388,753  8,361 
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38     
(Cayman Islands)  674,745  687,902 
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D,     
3.80%, 4/15/50  1,090,000  918,833 
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D,     
4.411%, 6/10/48  2,437,955  2,461,603 
GMAC Commercial Mortgage Securities, Inc. Trust Ser. 04-C3,     
Class B, 4.965%, 12/10/41  65,106  65,341 
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB     
Ser. 04-C3, Class X1, IO, 0.913%, 12/10/41  3,802,970  65,415 
GS Mortgage Securities Corp. II 144A     
FRB Ser. 13-GC10, Class D, 4.41%, 2/10/46  174,000  162,760 
FRB Ser. 13-GC10, Class E, 4.41%, 2/10/46  583,000  449,843 
FRB Ser. 05-GG4, Class XC, IO, 1.477%, 7/10/39  419,958  546 
GS Mortgage Securities Trust 144A     
FRB Ser. 13-GC16, Class E, 5.321%, 11/10/46  662,000  531,189 
Ser. 11-GC3, Class E, 5.00%, 3/10/44  577,000  533,263 
FRB Ser. 14-GC18, Class D, 4.945%, 1/10/47  698,000  587,766 
JPMBB Commercial Mortgage Securities Trust 144A     
FRB Ser. 13-C15, Class D, 5.047%, 11/15/45  737,000  697,156 
FRB Ser. 14-C18, Class D, 4.814%, 2/15/47  990,000  849,519 
FRB Ser. C14, Class D, 4.564%, 8/15/46  526,000  480,644 
FRB Ser. 14-C18, Class E, 4.314%, 2/15/47  407,000  285,022 
FRB Ser. 14-C25, Class D, 3.948%, 11/15/47  767,000  588,903 
FRB Ser. 14-C26, Class D, 3.926%, 1/15/48  1,105,000  899,787 
Ser. 13-C14, Class F, 3.598%, 8/15/46  1,500,000  1,030,313 
Ser. 14-C25, Class E, 3.332%, 11/15/47  788,000  481,232 

 

22 Master Intermediate Income Trust 

 


  Principal   
MORTGAGE-BACKED SECURITIES (50.9%)* cont.  amount  Value 
Commercial mortgage-backed securities cont.     
JPMorgan Chase Commercial Mortgage Securities Corp. 144A FRB     
Ser. 12-LC9, Class E, 4.413%, 12/15/47  $813,318  $744,918 
JPMorgan Chase Commercial Mortgage Securities Trust     
FRB Ser. 07-CB20, Class AJ, 6.178%, 2/12/51  63,500  65,030 
Ser. 06-LDP8, Class B, 5.52%, 5/15/45  148,073  149,801 
JPMorgan Chase Commercial Mortgage Securities Trust 144A     
FRB Ser. 07-CB20, Class B, 6.278%, 2/12/51  488,000  458,378 
FRB Ser. 07-CB20, Class C, 6.278%, 2/12/51  534,000  469,920 
FRB Ser. 11-C3, Class F, 5.622%, 2/15/46  410,000  416,560 
FRB Ser. 12-C6, Class E, 5.153%, 5/15/45  363,000  339,841 
FRB Ser. 13-C16, Class D, 4.975%, 12/15/46  337,000  315,832 
FRB Ser. 12-C8, Class E, 4.677%, 10/15/45  345,000  316,334 
Ser. 13-C13, Class E, 3.986%, 1/15/46  763,000  524,257 
Ser. 13-C10, Class E, 3.50%, 12/15/47  943,000  687,447 
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46  541,000  364,905 
FRB Ser. 07-CB20, Class X1, IO, 0.346%, 2/12/51  33,215,777  26,818 
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G,     
6.41%, 6/15/31  153,757  157,689 
LB-UBS Commercial Mortgage Trust     
FRB Ser. 06-C3, Class C, 5.547%, 3/15/39  1,039,868  1,024,582 
FRB Ser. 06-C6, Class C, 5.482%, 9/15/39  1,219,000  367,870 
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6,     
Class XCL, IO, 0.433%, 9/15/39  2,559,163  14,083 
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C,     
3.229%, 4/20/48  443,000  369,435 
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ,     
6.301%, 2/12/51  184,000  187,367 
Merrill Lynch Mortgage Trust 144A FRB Ser. 08-C1, Class D,     
6.301%, 2/12/51  304,000  307,496 
Mezz Cap Commercial Mortgage Trust 144A     
FRB Ser. 04-C1, Class X, IO, 9.321%, 1/15/37  18,067  1,313 
FRB Ser. 07-C5, Class X, IO, 4.546%, 12/15/49  622,081  3,732 
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class AJFX,     
5.147%, 12/12/49  13,072  13,094 
Morgan Stanley Bank of America Merrill Lynch Trust 144A     
Ser. 14-C17, Class D, 4.698%, 8/15/47  1,323,000  1,108,940 
FRB Ser. 13-C11, Class F, 4.37%, 8/15/46  496,000  346,406 
FRB Ser. 13-C10, Class D, 4.084%, 7/15/46  654,000  578,343 
FRB Ser. 13-C10, Class E, 4.084%, 7/15/46  1,064,000  869,714 
Ser. 14-C17, Class E, 3.50%, 8/15/47  723,000  452,237 
Ser. 15-C24, Class D, 3.257%, 5/15/48  484,000  334,949 
Morgan Stanley Capital I Trust     
FRB Ser. 07-T27, Class AJ, 5.791%, 6/11/42  187,000  193,395 
Ser. 07-HQ11, Class C, 5.558%, 2/12/44  1,102,000  486,280 
Ser. 06-HQ10, Class B, 5.448%, 11/12/41  700,000  699,309 
FRB Ser. 06-HQ8, Class C, 5.399%, 3/12/44  550,000  550,000 
FRB Ser. 06-HQ8, Class D, 5.399%, 3/12/44  823,000  332,764 
Morgan Stanley Capital I Trust 144A     
FRB Ser. 08-T29, Class F, 6.301%, 1/11/43  369,000  366,085 
FRB Ser. 04-RR, Class F7, 6.00%, 4/28/39  487,985  479,294 

 

Master Intermediate Income Trust 23 

 


  Principal   
MORTGAGE-BACKED SECURITIES (50.9%)* cont.  amount  Value 
Commercial mortgage-backed securities cont.     
STRIPS CDO 144A Ser. 03-1A, Class N, IO, 5.00%, 3/24/18     
(Cayman Islands)  $193,000  $4,343 
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E,     
8.00%, 12/28/38  568,223  42,617 
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F,     
4.885%, 5/10/63  608,000  436,848 
Wachovia Bank Commercial Mortgage Trust     
FRB Ser. 06-C26, Class AJ, 6.087%, 6/15/45  1,460,000  1,089,744 
Ser. 07-C30, Class AJ, 5.413%, 12/15/43  824,593  828,161 
FRB Ser. 07-C34, IO, 0.40%, 5/15/46  9,235,692  13,854 
Wells Fargo Commercial Mortgage Trust 144A     
Ser. 12-LC5, Class E, 4.777%, 10/15/45  462,000  368,676 
FRB Ser. 13-LC12, Class D, 4.296%, 7/15/46  188,000  170,677 
Ser. 14-LC18, Class D, 3.957%, 12/15/47  756,000  600,944 
Ser. 14-LC16, Class D, 3.938%, 8/15/50  956,000  794,052 
WF-RBS Commercial Mortgage Trust 144A     
Ser. 12-C6, Class E, 5.00%, 4/15/45  534,000  421,166 
FRB Ser. 13-C16, Class D, 4.982%, 9/15/46  399,000  370,232 
FRB Ser. 14-C19, Class E, 4.97%, 3/15/47  946,000  693,986 
Ser. 12-C7, Class F, 4.50%, 6/15/45  2,524,000  1,845,044 
FRB Ser. 13-C15, Class D, 4.48%, 8/15/46  296,000  261,202 
Ser. 14-C19, Class D, 4.234%, 3/15/47  223,000  186,895 
Ser. 13-C12, Class E, 3.50%, 3/15/48  510,000  387,345 
    49,019,248 
Residential mortgage-backed securities (non-agency) (11.7%)     
BCAP, LLC Trust 144A     
FRB Ser. 11-RR3, Class 3A6, 3.072%, 11/27/36  1,185,229  805,956 
FRB Ser. 12-RR5, Class 4A8, 0.948%, 6/26/35  151,338  146,110 
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 3.907%, 4/25/34  300,963  300,410 
Bear Stearns Asset Backed Securities I Trust FRB Ser. 04-FR3,     
Class M6, 5.857%, 9/25/34  43,061  20,064 
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 5.282%,     
7/25/25 (Bermuda)  442,005  450,845 
Countrywide Alternative Loan Trust     
FRB Ser. 06-OA7, Class 1A1, 2.28%, 6/25/46  324,067  308,026 
FRB Ser. 05-38, Class A1, 2.138%, 9/25/35  449,940  431,116 
FRB Ser. 06-OA10, Class 1A1, 1.598%, 8/25/46  295,402  260,634 
FRB Ser. 06-OA7, Class 1A2, 1.578%, 6/25/46  797,515  701,136 
FRB Ser. 05-38, Class A3, 1.332%, 9/25/35  1,064,464  924,549 
FRB Ser. 05-59, Class 1A1, 1.306%, 11/20/35  575,432  509,026 
FRB Ser. 06-OA10, Class 4A1, 1.172%, 8/25/46  4,235,217  3,599,935 
CSMC Trust 144A FRB Ser. 10-18R, Class 6A4, 3.261%, 9/28/36  2,000,000  1,755,040 
Federal Home Loan Mortgage Corporation     
Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class B,     
12.482%, 1/25/25  982,186  1,261,425 
Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class B,     
11.482%, 10/25/28  249,974  295,066 
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B,     
10.982%, 7/25/28  899,740  1,043,428 

 

24 Master Intermediate Income Trust 

 


  Principal   
MORTGAGE-BACKED SECURITIES (50.9%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Federal Home Loan Mortgage Corporation     
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B,     
10.332%, 4/25/28  $663,819  $771,817 
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B,     
8.532%, 12/25/27  590,328  665,567 
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3,     
6.132%, 11/25/28  490,000  543,656 
Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2,     
5.232%, 11/25/23  570,000  615,372 
Federal National Mortgage Association     
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B,     
13.232%, 9/25/28  840,000  1,086,091 
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B,     
13.232%, 9/25/28  190,000  245,609 
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B,     
12.732%, 10/25/28  570,000  715,821 
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B,     
12.732%, 8/25/28  800,000  1,007,985 
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B,     
11.232%, 1/25/29  1,019,916  1,183,507 
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2,     
6.882%, 10/25/28  1,690,000  1,923,155 
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2,     
6.682%, 4/25/28  1,744,330  1,971,952 
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2,     
6.532%, 4/25/28  100,000  111,413 
Connecticut Avenue Securities FRB Ser. 13-C01, Class M2,     
6.232%, 10/25/23  350,000  398,995 
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2,     
5.982%, 7/25/25  1,176,000  1,292,933 
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2,     
5.982%, 7/25/25  640,000  698,333 
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2,     
5.982%, 7/25/25  80,000  87,292 
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2,     
5.532%, 2/25/25  296,242  314,580 
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2,     
5.232%, 4/25/29  100,000  105,710 
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2,     
5.232%, 1/25/29  520,000  549,536 
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2,     
4.982%, 5/25/25  59,901  63,023 
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2,     
4.982%, 5/25/25  129,621  136,201 
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2,     
4.627%, 9/25/29  260,000  261,676 
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, 1.162%, 5/25/36  720,812  368,047 
MortgageIT Trust FRB Ser. 05-3, Class M2, 1.512%, 8/25/35  219,025  192,464 
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7,     
Class A1BG, 1.102%, 8/25/36  489,051  401,022 

 

Master Intermediate Income Trust 25 

 


  Principal   
MORTGAGE-BACKED SECURITIES (50.9%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
WaMu Mortgage Pass-Through Certificates Trust     
FRB Ser. 05-AR10, Class 1A3, 2.784%, 9/25/35  $164,561  $162,801 
FRB Ser. 05-AR19, Class A1C3, 1.482%, 12/25/45  802,508  731,245 
FRB Ser. 05-AR13, Class A1C3, 1.472%, 10/25/45  1,959,296  1,828,568 
FRB Ser. 05-AR19, Class A1C4, 1.382%, 12/25/45  418,212  363,238 
    31,610,375 
Total mortgage-backed securities (cost $136,979,715)    $137,227,764 
 
 
  Principal   
CORPORATE BONDS AND NOTES (33.5%)*  amount  Value 
Basic materials (4.0%)     
A Schulman, Inc. company guaranty sr. unsec. unsub. notes     
6.875%, 6/1/23  $89,000  $92,338 
Allegheny Technologies, Inc. sr. unsec. unsub. notes     
9.375%, 6/1/19  196,000  214,620 
Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec.     
notes 6.25%, 2/1/25 (Netherlands)  200,000  201,500 
ArcelorMittal SA sr. unsec. unsub. bonds 10.60%, 6/1/19 (France)  256,000  303,360 
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France)  86,000  95,353 
Axalta Coating Systems, LLC 144A company guaranty sr. unsec.     
unsub. notes 4.875%, 8/15/24  300,000  307,500 
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub.     
notes 6.375%, 10/1/23  228,000  242,820 
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes     
9.75%, 10/15/23  93,000  111,368 
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24  278,000  282,865 
Boise Cascade Co. 144A company guaranty sr. unsec. notes     
5.625%, 9/1/24  291,000  295,365 
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes     
10.75%, 8/15/23  392,000  455,700 
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes     
5.625%, 9/1/24  80,000  81,200 
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24  160,000  161,301 
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25  205,000  205,000 
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%,     
4/1/24 (Mexico)  490,000  515,235 
Chemours Co. (The) company guaranty sr. unsec. unsub. notes     
7.00%, 5/15/25  82,000  88,273 
Chemours Co. (The) company guaranty sr. unsec. unsub. notes     
6.625%, 5/15/23  200,000  212,000 
Compass Minerals International, Inc. 144A company guaranty sr.     
unsec. notes 4.875%, 7/15/24  339,000  331,796 
Constellium NV 144A company guaranty sr. unsec. notes 5.75%,     
5/15/24 (Netherlands)  250,000  230,625 
Coveris Holdings SA 144A company guaranty sr. unsec. notes     
7.875%, 11/1/19 (Luxembourg)  305,000  300,425 
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes     
8.00%, 10/1/21  99,000  103,703 
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec.     
notes 7.25%, 5/15/22 (Canada)  238,000  245,438 

 

26 Master Intermediate Income Trust 

 


  Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.  amount  Value 
Basic materials cont.     
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec.     
notes 7.00%, 2/15/21 (Canada)  $125,000  $128,750 
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25  219,000  223,730 
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes     
3.55%, 3/1/22 (Indonesia)  16,000  14,840 
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. notes     
6.75%, 2/1/22 (Indonesia)  93,000  95,325 
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. unsub.     
notes 6.875%, 2/15/23 (Indonesia)  150,000  154,875 
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec.     
notes 9.50%, 2/1/23  345,000  391,575 
Grinding Media, Inc./MC Grinding Media Canada, Inc. 144A sr. sub.     
notes 7.375%, 12/15/23  45,000  47,250 
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes     
7.625%, 1/15/25 (Canada)  80,000  86,800 
Huntsman International, LLC company guaranty sr. unsec. notes     
5.125%, 11/15/22  46,000  48,070 
Huntsman International, LLC company guaranty sr. unsec. unsub.     
notes 4.875%, 11/15/20  178,000  185,565 
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22  183,000  205,875 
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A     
company guaranty sr. unsec. notes 10.50%, 4/15/23  95,000  109,013 
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A     
company guaranty sr. unsec. notes 7.00%, 4/15/25  123,000  124,691 
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes     
4.875%, 9/15/24  183,000  183,915 
Mercer International, Inc. company guaranty sr. unsec. notes     
7.75%, 12/1/22 (Canada)  281,000  300,754 
Mercer International, Inc. 144A sr. unsec. notes 6.50%,     
2/1/24 (Canada)  138,000  138,345 
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes     
6.25%, 11/15/22 (Canada)  116,000  116,435 
Norbord, Inc. 144A company guaranty sr. notes 6.25%,     
4/15/23 (Canada)  140,000  147,700 
Novelis Corp. 144A company guaranty sr. unsec. bonds     
5.875%, 9/30/26  25,000  25,531 
Novelis Corp. 144A company guaranty sr. unsec. notes     
6.25%, 8/15/24  420,000  436,800 
Olin Corp. sr. unsec. bonds 5.125%, 9/15/27  75,000  76,268 
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27  20,000  22,300 
Platform Specialty Products Corp. 144A sr. unsec. notes     
10.375%, 5/1/21  26,000  28,925 
PQ Corp. 144A company guaranty sr. notes 6.75%, 11/15/22  45,000  47,813 
Sealed Air Corp. 144A company guaranty sr. unsec. notes     
5.25%, 4/1/23  110,000  115,088 
Sealed Air Corp. 144A company guaranty sr. unsec. notes     
5.125%, 12/1/24  60,000  62,325 
Sealed Air Corp. 144A company guaranty sr. unsec. notes     
4.875%, 12/1/22  54,000  56,261 
Sealed Air Corp. 144A sr. unsec. bonds 5.50%, 9/15/25  45,000  47,700 

 

Master Intermediate Income Trust 27 

 


    Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.    amount  Value 
Basic materials cont.       
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec.       
unsub. notes 7.50%, 11/20/25 (Ireland)    $159,000  $186,428 
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes       
6.375%, 8/15/22    125,000  130,156 
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes       
5.50%, 10/1/24    50,000  52,250 
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes       
5.25%, 4/15/23    20,000  20,750 
Steel Dynamics, Inc. 144A sr. unsec. bonds 5.00%, 12/15/26    55,000  55,688 
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes       
4.75%, 1/15/22 (Canada)    66,000  68,158 
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes       
3.75%, 2/1/23 (Canada)    59,000  57,304 
TMS International Corp. 144A company guaranty sr. unsec. sub.       
notes 7.625%, 10/15/21    221,000  222,934 
Tronox Finance, LLC company guaranty sr. unsec. notes       
6.375%, 8/15/20    120,000  120,450 
Tronox Finance, LLC 144A company guaranty sr. unsec. notes       
7.50%, 3/15/22    139,000  143,865 
U.S. Concrete, Inc. 144A company guaranty sr. unsec. unsub. notes       
6.375%, 6/1/24    75,000  77,625 
Univar USA, Inc. 144A company guaranty sr. unsec. notes       
6.75%, 7/15/23    135,000  140,063 
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25    115,000  119,600 
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes       
6.00%, 2/1/23    55,000  53,350 
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes       
5.625%, 10/1/24    354,000  373,028 
Zekelman Industries, Inc. 144A company guaranty sr. notes       
9.875%, 6/15/23    220,000  245,850 
      10,767,803 
Capital goods (2.2%)       
Advanced Disposal Services, Inc. 144A sr. unsec. notes       
5.625%, 11/15/24    285,000  287,850 
American Axle & Manufacturing, Inc. company guaranty sr. unsec.       
notes 7.75%, 11/15/19    218,000  239,800 
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub.       
notes 5.00%, 3/15/22    190,000  190,950 
ARD Finance SA sr. notes Ser. REGS, 6.625%, 9/15/23       
(Luxembourg) ‡‡  EUR  100,000  109,902 
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A       
company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland)    $280,000  299,250 
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%,       
6/15/23 (Canada)    185,000  192,400 
Belden, Inc. 144A company guaranty sr. unsec. sub. notes       
5.25%, 7/15/24    255,000  254,363 
Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22    70,000  74,025 
Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22    105,000  109,069 
Berry Plastics Corp. company guaranty unsub. notes       
5.125%, 7/15/23    67,000  68,675 
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada)    213,000  233,768 

 

28 Master Intermediate Income Trust 

 


    Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.    amount  Value 
Capital goods cont.       
Briggs & Stratton Corp. company guaranty sr. unsec. notes       
6.875%, 12/15/20    $235,000  $257,325 
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds       
7.375%, 12/15/26    143,000  164,093 
Gates Global, LLC/Gates Global Co. 144A company guaranty sr.       
unsec. notes 6.00%, 7/15/22    424,000  431,950 
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22    234,000  241,313 
MasTec, Inc. company guaranty sr. unsec. unsub. notes       
4.875%, 3/15/23    270,000  266,625 
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22    165,000  169,125 
Novafives SAS sr. sub. notes Ser. REGS, 4.50%, 6/30/21 (France)  EUR  100,000  103,450 
Oshkosh Corp. company guaranty sr. unsec. sub. notes       
5.375%, 3/1/25    $95,000  98,088 
Oshkosh Corp. company guaranty sr. unsec. sub. notes       
5.375%, 3/1/22    402,000  417,578 
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds       
Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes       
7.00%, 7/15/24    144,000  154,170 
Tenneco, Inc. company guaranty sr. unsec. unsub. notes       
5.375%, 12/15/24    215,000  220,777 
Tenneco, Inc. company guaranty sr. unsec. unsub. notes       
5.00%, 7/15/26    17,000  16,649 
TI Group Automotive Systems, LLC 144A sr. unsec. notes       
8.75%, 7/15/23    345,000  365,986 
TransDigm, Inc. company guaranty sr. unsec. unsub. notes       
6.50%, 7/15/24    175,000  177,406 
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes       
6.50%, 5/15/25    55,000  55,481 
Welbilt, Inc. sr. unsec. notes 9.50%, 2/15/24    337,000  388,393 
ZF North America Capital, Inc. 144A company guaranty sr. unsec.       
unsub. notes 4.75%, 4/29/25    235,000  243,225 
ZF North America Capital, Inc. 144A company guaranty sr. unsec.       
unsub. notes 4.50%, 4/29/22    150,000  156,188 
      5,987,874 
Communication services (4.3%)       
Altice Financing SA 144A company guaranty sr. notes 6.625%,       
2/15/23 (Luxembourg)    200,000  208,000 
Altice Financing SA 144A company guaranty sr. unsub. notes       
7.50%, 5/15/26 (Luxembourg)    200,000  212,500 
Altice SA 144A company guaranty sr. unsec. notes 7.75%,       
5/15/22 (Luxembourg)    280,000  296,800 
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20    150,000  166,125 
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty       
sr. unsec. notes 5.25%, 9/30/22    198,000  204,435 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company       
guaranty sr. unsec. bonds 5.50%, 5/1/26    276,000  285,660 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company       
guaranty sr. unsec. notes 5.875%, 4/1/24    249,000  262,695 
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec.       
notes 5.75%, 2/15/26    49,000  51,450 

 

Master Intermediate Income Trust 29 

 


  Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.  amount  Value 
Communication services cont.     
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec.     
unsub. notes 5.125%, 5/1/23  $360,000  $370,800 
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23  152,000  158,460 
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20  40,000  41,936 
Cequel Communications Holdings I, LLC/Cequel Capital Corp.     
144A sr. unsec. unsub. notes 5.125%, 12/15/21  245,000  248,675 
Cequel Communications Holdings I, LLC/Cequel Capital Corp.     
144A sr. unsec. unsub. notes 5.125%, 12/15/21  210,000  212,888 
CommScope Technologies Finance, LLC 144A sr. unsec. notes     
6.00%, 6/15/25  261,000  273,398 
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24  365,000  363,631 
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21  120,000  129,900 
CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23  340,000  394,400 
Digicel Group, Ltd. 144A sr. unsec. notes 8.25%, 9/30/20 (Jamaica)  200,000  171,880 
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%,     
3/1/23 (Jamaica)  415,000  370,906 
DISH DBS Corp. company guaranty sr. unsec. unsub. notes     
5.875%, 11/15/24  132,000  138,633 
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25  76,000  73,910 
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22  200,000  202,500 
Frontier Communications Corp. sr. unsec. notes 8.875%, 9/15/20  63,000  66,465 
Frontier Communications Corp. sr. unsec. unsub. notes     
7.625%, 4/15/24  45,000  38,475 
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes     
7.50%, 4/1/21 (Bermuda)  117,000  105,154 
Intelsat Jackson Holdings SA 144A company guaranty sr. notes     
8.00%, 2/15/24 (Bermuda)  6,000  6,360 
Intelsat Luxembourg SA company guaranty sr. unsec. bonds     
7.75%, 6/1/21 (Luxembourg)  83,000  49,800 
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds     
8.125%, 6/1/23 (Luxembourg)  243,000  146,863 
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%,     
1/15/23 (Canada)  40,000  41,700 
SFR Group SA 144A company guaranty sr. notes 7.375%,     
5/1/26 (France)  200,000  206,000 
SFR Group SA 144A company guaranty sr. notes 6.00%,     
5/15/22 (France)  600,000  621,750 
SFR Group SA 144A sr. bonds 6.25%, 5/15/24 (France)  200,000  201,500 
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20  105,000  112,875 
Sprint Communications, Inc. 144A company guaranty sr. unsec.     
notes 9.00%, 11/15/18  266,000  289,608 
Sprint Corp. company guaranty sr. unsec. sub. notes     
7.875%, 9/15/23  883,000  977,923 
Sprint Corp. company guaranty sr. unsec. sub. notes     
7.25%, 9/15/21  290,000  313,055 
T-Mobile USA, Inc. company guaranty sr. unsec. notes     
6.625%, 4/1/23  492,000  523,980 
T-Mobile USA, Inc. company guaranty sr. unsec. notes     
6.375%, 3/1/25  345,000  371,738 
T-Mobile USA, Inc. company guaranty sr. unsec. notes     
6.00%, 3/1/23  156,000  166,577 

 

30 Master Intermediate Income Trust 

 


    Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.    amount  Value 
Communication services cont.       
T-Mobile USA, Inc. company guaranty sr. unsec. notes       
5.375%, 4/15/27    $80,000  $82,600 
T-Mobile USA, Inc. company guaranty sr. unsec. notes       
4.00%, 4/15/22    45,000  45,731 
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes       
6.125%, 1/15/22    190,000  199,975 
Telenet Finance V Luxembourg SCA 144A sr. notes 6.75%,       
8/15/24 (Luxembourg)  EUR  295,000  346,343 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH       
company guaranty sr. notes 5.625%, 4/15/23 (Germany)  EUR  84,000  94,936 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH       
company guaranty sr. notes Ser. REGS, 5.75%, 1/15/23 (Germany)  EUR  90,720  101,928 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A       
company guaranty sr. notes 5.125%, 1/21/23 (Germany)  EUR  190,350  212,077 
Videotron Ltd./Videotron Ltee. 144A sr. unsec. bonds 5.125%,       
4/15/27 (Canada)    $75,000  75,750 
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%,       
7/15/22 (Canada)    363,000  378,428 
Virgin Media Secured Finance PLC 144A company guaranty sr.       
bonds 5.00%, 4/15/27 (United Kingdom)  GBP  115,000  145,209 
West Corp. 144A company guaranty sr. unsec. sub. notes       
5.375%, 7/15/22    $286,000  280,995 
WideOpenWest Finance, LLC/WideOpenWest Capital Corp.       
company guaranty sr. unsec. sub. notes 10.25%, 7/15/19    156,000  162,435 
Wind Acquisition Finance SA 144A company guaranty sr. notes       
4.00%, 7/15/20 (Luxembourg)  EUR  125,000  135,517 
Windstream Services, LLC company guaranty sr. unsec. notes       
6.375%, 8/1/23    $425,000  377,188 
      11,718,517 
Consumer cyclicals (5.3%)       
ADT Corp. (The) company guaranty sr. unsub. notes       
4.125%, 6/15/23    54,000  51,570 
AMC Entertainment Holdings, Inc. company guaranty sr. unsec.       
sub. notes 5.875%, 2/15/22    68,000  70,975 
AMC Entertainment Holdings, Inc. company guaranty sr. unsec.       
sub. notes 5.75%, 6/15/25    155,000  158,875 
AMC Entertainment Holdings, Inc. 144A company guaranty sr.       
unsec. sub. bonds 6.125%, 5/15/27    54,000  54,473 
AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds       
5.875%, 11/15/26    55,000  55,550 
American Builders & Contractors Supply Co., Inc. 144A sr. unsec.       
notes 5.75%, 12/15/23    164,000  170,150 
American Tire Distributors, Inc. 144A sr. unsec. sub. notes       
10.25%, 3/1/22    225,000  228,938 
Bon-Ton Department Stores, Inc. (The) company guaranty notes       
8.00%, 6/15/21    98,000  39,200 
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes       
6.875%, 5/15/23    150,000  161,625 
Brookfield Residential Properties, Inc. 144A company guaranty sr.       
unsec. notes 6.50%, 12/15/20 (Canada)    235,000  242,931 

 

Master Intermediate Income Trust 31 

 


    Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.    amount  Value 
Consumer cyclicals cont.       
Brookfield Residential Properties, Inc./Brookfield Residential       
US Corp. 144A company guaranty sr. unsec. notes 6.125%,       
7/1/22 (Canada)    $120,000  $124,224 
Caesars Growth Properties Holdings, LLC/Caesars Growth       
Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22    165,000  177,375 
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes       
6.25%, 12/15/21    243,000  265,478 
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes       
5.875%, 11/15/24    85,000  89,250 
CBS Radio, Inc. 144A company guaranty sr. unsec. notes       
7.25%, 11/1/24    50,000  52,500 
CCM Merger, Inc. 144A sr. unsec. notes 6.00%, 3/15/22    55,000  56,100 
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management       
Corp. company guaranty sr. unsec. notes 5.25%, 3/15/21    100,000  102,500 
Cinemark USA, Inc. company guaranty sr. unsec. notes       
5.125%, 12/15/22    72,000  73,440 
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes       
4.875%, 6/1/23    25,000  25,263 
Cirsa Funding Luxembourg SA company guaranty sr. unsec. notes       
Ser. REGS, 5.875%, 5/15/23 (Luxembourg)  EUR  100,000  112,347 
Clear Channel Worldwide Holdings, Inc. company guaranty sr.       
unsec. sub. notes 7.625%, 3/15/20    $84,000  84,630 
Clear Channel Worldwide Holdings, Inc. company guaranty sr.       
unsec. unsub. notes 6.50%, 11/15/22    127,000  132,080 
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23    235,000  245,575 
Diamond Resorts International, Inc. 144A sr. unsec. notes       
10.75%, 9/1/24    95,000  98,800 
Eagle II Acquisition Co., LLC 144A sr. unsec. unsub. notes       
6.00%, 4/1/25    45,000  46,350 
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes       
7.00%, 8/1/23    230,000  246,675 
EMI Music Publishing Group North America Holdings, Inc. 144A sr.       
unsec. notes 7.625%, 6/15/24    145,000  158,050 
Gartner, Inc. 144A company guaranty sr. unsec. notes       
5.125%, 4/1/25    85,000  86,594 
General Motors Financial Co., Inc. company guaranty sr. unsec.       
notes 4.00%, 10/6/26    125,000  123,190 
General Motors Financial Co., Inc. company guaranty sr. unsec.       
unsub. notes 3.45%, 4/10/22    136,000  137,040 
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec.       
sub. notes 4.875%, 11/1/20    175,000  183,173 
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec.       
unsub. notes 5.375%, 4/15/26    70,000  72,275 
Gray Television, Inc. 144A company guaranty sr. unsec. notes       
5.875%, 7/15/26    80,000  81,400 
Great Canadian Gaming Corp. 144A company guaranty sr. unsec.       
notes 6.625%, 7/25/22 (Canada)  CAD  260,000  202,109 
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes       
4.625%, 5/15/24    $145,000  143,006 
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp.       
144A sr. unsec. bonds 4.875%, 4/1/27    170,000  171,700 

 

32 Master Intermediate Income Trust 

 


    Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.    amount  Value 
Consumer cyclicals cont.       
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25    $145,000  $143,550 
iHeartCommunications, Inc. company guaranty sr. notes       
9.00%, 12/15/19    288,000  246,384 
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes       
5.875%, 3/15/21    110,000  113,454 
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company       
guaranty notes 10.25%, 11/15/22    290,000  310,935 
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company       
guaranty sr. notes 6.75%, 11/15/21    330,000  341,550 
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24    55,000  56,581 
JC Penney Corp., Inc. company guaranty sr. unsec. bonds       
8.125%, 10/1/19    173,000  186,840 
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. notes       
5.65%, 6/1/20    31,000  30,690 
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%,       
10/15/19 ‡‡    120,000  116,100 
Lamar Media Corp. company guaranty sr. unsec. sub. notes       
5.875%, 2/1/22    55,000  56,832 
Lamar Media Corp. company guaranty sr. unsec. sub. notes       
5.375%, 1/15/24    140,000  144,550 
Lennar Corp. company guaranty sr. unsec. unsub. notes       
4.75%, 11/15/22    89,000  91,670 
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes       
5.875%, 11/1/24    159,000  164,764 
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec.       
notes 4.875%, 11/1/24    75,000  75,000 
Masonite International Corp. 144A company guaranty sr. unsec.       
notes 5.625%, 3/15/23    210,000  214,303 
Matalan Finance PLC sub. notes Ser. REGS 6.875%, 6/1/19       
(United Kingdom)  GBP  100,000  105,895 
Mattamy Group Corp. 144A sr. unsec. notes 6.875%,       
12/15/23 (Canada)    $40,000  41,500 
Mattamy Group Corp. 144A sr. unsec. notes 6.50%,       
11/15/20 (Canada)    234,000  238,680 
MGM Resorts International company guaranty sr. unsec. notes       
6.75%, 10/1/20    175,000  192,500 
MGM Resorts International company guaranty sr. unsec. notes       
5.25%, 3/31/20    28,000  29,470 
MGM Resorts International company guaranty sr. unsec. unsub.       
notes 6.625%, 12/15/21    147,000  162,803 
Navistar International Corp. company guaranty sr. unsec. notes       
8.25%, 11/1/21    476,000  476,000 
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub.       
notes 8.75%, 10/15/21 ‡‡    169,000  95,063 
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub.       
notes 8.00%, 10/15/21    95,000  57,201 
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec.       
notes 5.625%, 8/1/24    155,000  157,325 
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr.       
unsec. notes 5.00%, 2/1/25 (Luxembourg)    85,000  84,681 

 

Master Intermediate Income Trust 33 

 


  Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.  amount  Value 
Consumer cyclicals cont.     
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr.     
unsec. sub. notes 5.50%, 10/1/21 (Luxembourg)  $90,000  $93,150 
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty     
sr. unsec. sub. notes 5.00%, 4/15/22  110,000  112,475 
Outfront Media Capital, LLC/Outfront Media Capital Corp.     
company guaranty sr. unsec. sub. notes 5.875%, 3/15/25  135,000  141,413 
Outfront Media Capital, LLC/Outfront Media Capital Corp.     
company guaranty sr. unsec. sub. notes 5.625%, 2/15/24  94,000  97,055 
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24  129,000  133,047 
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27  110,000  109,175 
Penske Automotive Group, Inc. company guaranty sr. unsec. sub.     
notes 5.75%, 10/1/22  192,000  198,720 
Penske Automotive Group, Inc. company guaranty sr. unsec. sub.     
notes 5.50%, 5/15/26  107,000  104,860 
Penske Automotive Group, Inc. company guaranty sr. unsec. sub.     
notes 5.375%, 12/1/24  124,000  124,310 
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes     
5.50%, 3/1/26  180,000  186,300 
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25  180,000  186,750 
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23  134,000  138,858 
Ritchie Bros Auctioneers, Inc. 144A company guaranty sr. unsec.     
notes 5.375%, 1/15/25 (Canada)  30,000  30,675 
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.     
144A sr. notes 6.125%, 8/15/21  195,000  197,925 
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23  155,000  158,488 
Scientific Games International, Inc. company guaranty sr. unsec.     
notes 10.00%, 12/1/22  584,000  622,690 
Scientific Games International, Inc. company guaranty sr. unsec.     
sub. notes 6.25%, 9/1/20  50,000  47,375 
Scientific Games International, Inc. 144A company guaranty sr.     
notes 7.00%, 1/1/22  241,000  257,268 
Sinclair Television Group, Inc. 144A company guaranty sr. unsec.     
sub. notes 5.625%, 8/1/24  360,000  364,500 
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes     
6.00%, 7/15/24  117,000  125,483 
Six Flags Entertainment Corp. 144A company guaranty sr. unsec.     
bonds 5.50%, 4/15/27  195,000  194,513 
Six Flags Entertainment Corp. 144A company guaranty sr. unsec.     
unsub. notes 4.875%, 7/31/24  245,000  242,550 
Spectrum Brands, Inc. company guaranty sr. unsec. notes     
5.75%, 7/15/25  105,000  111,038 
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes     
6.625%, 11/15/22  10,000  10,513 
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25  45,000  46,463 
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24  220,000  222,886 
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming     
Finance Corp. 144A sr. notes 6.375%, 6/1/21  183,000  184,373 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.     
144A company guaranty sr. unsec. notes 5.25%, 4/15/21  326,000  335,780 
Taylor Morrison Communities, Inc./Monarch Communities, Inc.     
144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24  70,000  72,363 

 

34 Master Intermediate Income Trust 

 


    Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.    amount  Value 
Consumer cyclicals cont.       
Tempur Sealy International, Inc. company guaranty sr. unsec.       
unsub. bonds 5.50%, 6/15/26    $50,000  $49,300 
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes       
6.50%, 4/1/23    54,000  53,933 
Tribune Media Co. company guaranty sr. unsec. notes       
5.875%, 7/15/22    185,000  192,863 
Univision Communications, Inc. 144A company guaranty sr. notes       
5.125%, 5/15/23    220,000  217,250 
Univision Communications, Inc. 144A company guaranty sr. sub.       
notes 5.125%, 2/15/25    95,000  93,456 
WMG Acquisition Corp. 144A company guaranty sr. notes       
5.00%, 8/1/23    123,000  124,230 
Wolverine World Wide, Inc. 144A company guaranty sr. unsec.       
bonds 5.00%, 9/1/26    101,000  94,940 
      14,136,700 
Consumer staples (1.6%)       
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty       
notes 6.00%, 4/1/22 (Canada)    340,000  352,750 
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr.       
notes 4.625%, 1/15/22 (Canada)    125,000  127,656 
Ashtead Capital, Inc. 144A company guaranty notes       
6.50%, 7/15/22    455,000  473,200 
Ashtead Capital, Inc. 144A company guaranty notes       
5.625%, 10/1/24    200,000  210,000 
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A       
company guaranty sub. notes 9.25%, 3/15/24    319,000  326,576 
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes       
8.00%, 2/15/22    105,000  109,331 
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21    482,000  507,883 
Dean Foods Co. 144A company guaranty sr. unsec. notes       
6.50%, 3/15/23    145,000  151,525 
Europcar Groupe SA sub. notes Ser. REGS, 5.75%, 6/15/22 (France)  EUR  100,000  111,712 
Fresh Market, Inc. (The) 144A company guaranty sr. notes       
9.75%, 5/1/23    $120,000  96,900 
High Ridge Brands Co. 144A company guaranty sr. unsec. notes       
8.875%, 3/15/25    138,000  140,760 
JBS USA Lux SA/JBS USA Finance, Inc. 144A sr. unsec. notes 8.25%,       
2/1/20 (Brazil)    67,000  68,675 
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC       
144A company guaranty sr. unsec. notes 5.25%, 6/1/26    130,000  132,275 
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC       
144A company guaranty sr. unsec. notes 5.00%, 6/1/24    130,000  132,763 
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec.       
unsub. notes 4.875%, 11/1/26    157,000  160,140 
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec.       
unsub. notes 4.625%, 11/1/24    37,000  37,740 
Landry’s, Inc. 144A sr. unsec. notes 6.75%, 10/15/24    95,000  98,563 
Pilgrim’s Pride Corp. 144A company guaranty sr. unsec. notes       
5.75%, 3/15/25    86,000  86,645 
Pizzaexpress Financing 2 PLC company guaranty sr. notes       
Ser. REGS, 6.625%, 8/1/21 (United Kingdom)  GBP  100,000  128,494 

 

Master Intermediate Income Trust 35 

 


  Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.  amount  Value 
Consumer staples cont.     
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes     
5.375%, 12/15/21  $100,000  $101,750 
Revlon Consumer Products Corp. company guaranty sr. unsec.     
notes 6.25%, 8/1/24  73,000  72,818 
Revlon Consumer Products Corp. company guaranty sr. unsec.     
sub. notes 5.75%, 2/15/21  240,000  239,700 
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes     
6.125%, 4/1/23  265,000  262,681 
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes     
5.375%, 10/1/22  195,000  211,819 
    4,342,356 
Energy (7.2%)     
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A     
company guaranty sr. unsec. notes 7.875%, 12/15/24  481,000  501,443 
Antero Resources Corp. company guaranty sr. unsec. notes     
5.625%, 6/1/23  78,000  79,755 
Antero Resources Corp. company guaranty sr. unsec. sub. notes     
5.125%, 12/1/22  90,000  91,181 
Antero Resources Finance Corp. company guaranty sr. unsec. sub.     
notes 5.375%, 11/1/21  192,000  197,201 
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr.     
unsec. notes 10.00%, 4/1/22  87,000  90,045 
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes     
5.625%, 6/1/24 (Canada)  93,000  81,840 
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes     
5.125%, 6/1/21 (Canada)  18,000  16,223 
California Resources Corp. company guaranty sr. unsec. sub. notes     
5.00%, 1/15/20  88,000  72,490 
California Resources Corp. 144A company guaranty notes     
8.00%, 12/15/22  316,000  256,750 
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr.     
notes 5.875%, 3/31/25  334,000  348,195 
Chesapeake Energy Corp. company guaranty sr. unsec. notes     
5.75%, 3/15/23  26,000  23,660 
Chesapeake Energy Corp. 144A company guaranty notes     
8.00%, 12/15/22  223,000  233,593 
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes     
8.00%, 1/15/25  122,000  122,000 
Concho Resources, Inc. company guaranty sr. unsec. notes     
5.50%, 4/1/23  255,000  263,925 
Concho Resources, Inc. company guaranty sr. unsec. notes     
4.375%, 1/15/25  80,000  80,500 
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes     
5.50%, 10/1/22  88,000  90,970 
Continental Resources, Inc. company guaranty sr. unsec. notes     
3.80%, 6/1/24  498,000  463,140 
Continental Resources, Inc. company guaranty sr. unsec. unsub.     
notes 4.50%, 4/15/23  84,000  81,742 
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes     
6.375%, 8/15/21  35,000  28,700 

 

36 Master Intermediate Income Trust 

 


  Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.  amount  Value 
Energy cont.     
Denbury Resources, Inc. 144A company guaranty notes     
9.00%, 5/15/21  $185,000  $195,175 
Diamondback Energy, Inc. 144A company guaranty sr. unsec.     
notes 5.375%, 5/31/25  232,000  237,800 
Diamondback Energy, Inc. 144A company guaranty sr. unsec.     
notes 4.75%, 11/1/24  65,000  65,384 
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec.     
notes 8.125%, 9/15/23  183,000  194,438 
EP Energy, LLC/Everest Acquisition Finance, Inc. company     
guaranty sr. unsec. sub. notes 9.375%, 5/1/20  447,000  421,298 
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company     
guaranty notes 8.00%, 2/15/25  165,000  153,450 
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company     
guaranty sr. notes 8.00%, 11/29/24  99,000  103,950 
FTS International, Inc. company guaranty sr. notes 6.25%, 5/1/22  54,000  47,250 
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes     
9.25%, 4/23/19 (Russia)  647,000  727,066 
Holly Energy Partners LP/Holly Energy Finance Corp. 144A     
company guaranty sr. unsec. notes 6.00%, 8/1/24  227,000  238,350 
Laredo Petroleum, Inc. company guaranty sr. unsec. notes     
7.375%, 5/1/22  189,000  196,088 
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes     
5.625%, 1/15/22  140,000  139,650 
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%,     
3/31/24 (Canada)  68,000  60,860 
MEG Energy Corp. 144A company guaranty sr. unsec. notes     
6.375%, 1/30/23 (Canada)  88,000  78,650 
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada)  50,000  50,000 
Murray Energy Corp. 144A notes 11.25%, 4/15/21  54,000  41,715 
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22  254,000  269,558 
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26  170,000  177,548 
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes     
6.875%, 1/15/23  86,000  87,290 
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes     
6.875%, 3/15/22  201,000  206,025 
Parsley Energy LLC/Parsley Finance Corp. 144A company guaranty     
sr. unsec. sub. notes 5.375%, 1/15/25  55,000  55,688 
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%,     
5/3/22 (Indonesia)  925,000  979,406 
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%,     
5/20/23 (Indonesia)  200,000  206,073 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
bonds 7.375%, 1/17/27 (Brazil)  350,000  370,020 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 8.75%, 5/23/26 (Brazil)  428,000  495,410 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 8.375%, 5/23/21 (Brazil)  151,000  170,555 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 6.25%, 3/17/24 (Brazil)  1,478,000  1,516,798 
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 6.125%, 1/17/22 (Brazil)  180,000  189,000 

 

Master Intermediate Income Trust 37 

 


  Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.  amount  Value 
Energy cont.     
Petrobras Global Finance BV company guaranty sr. unsec. unsub.     
notes 5.375%, 1/27/21 (Brazil)  $625,000  $641,563 
Petroleos de Venezuela SA company guaranty sr. unsec. bonds     
Ser. REGS, 6.00%, 11/15/26 (Venezuela)  727,000  254,523 
Petroleos de Venezuela SA company guaranty sr. unsec. unsub.     
notes Ser. REGS, 9.00%, perpetual maturity (Venezuela)  2,032,000  988,060 
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes     
8.00%, 5/3/19 (Mexico)  1,535,000  1,693,412 
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes     
4.50%, 1/23/26 (Mexico)  2,285,000  2,190,173 
Precision Drilling Corp. company guaranty sr. unsec. notes 5.25%,     
11/15/24 (Canada)  6,000  5,685 
Precision Drilling Corp. 144A company guaranty sr. unsec. notes     
7.75%, 12/15/23 (Canada)  60,000  63,150 
Range Resources Corp. 144A company guaranty sr. unsec. sub.     
notes 5.75%, 6/1/21  270,000  276,750 
Rose Rock Midstream LP/Rose Rock Finance Corp. company     
guaranty sr. unsec. sub. notes 5.625%, 11/15/23  84,000  82,320 
Rose Rock Midstream LP/Rose Rock Finance Corp. company     
guaranty sr. unsec. sub. notes 5.625%, 7/15/22  26,000  25,691 
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24  175,000  190,715 
Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27  53,000  55,403 
SemGroup Corp. 144A company guaranty sr. unsec. notes     
6.375%, 3/15/25  165,000  162,113 
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%,     
5/15/20 (Canada)  122,000  127,490 
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22     
(In default) † F  20,000  2 
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21  211,000  216,275 
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24  91,000  85,995 
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23  39,000  39,683 
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22  235,000  236,763 
Targa Resources Partners LP/Targa Resources Partners Finance     
Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27  95,000  98,325 
Targa Resources Partners LP/Targa Resources Partners Finance     
Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25  45,000  46,350 
Tesoro Logistics LP/Tesoro Logistics Finance Corp. company     
guaranty sr. unsec. notes 5.25%, 1/15/25  55,000  57,475 
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec.     
notes 6.75%, 7/15/22 (In default) †  30,000  8,700 
Weatherford International Ltd. company guaranty sr. unsec.     
unsub. notes 8.25%, 6/15/23  33,000  35,888 
Weatherford International Ltd. 144A company guaranty sr. unsec.     
sub. notes 9.875%, 2/15/24  60,000  69,450 
Whiting Petroleum Corp. company guaranty sr. unsec. unsub.     
notes 5.75%, 3/15/21  120,000  119,250 
Whiting Petroleum Corp. company guaranty sr. unsec. unsub.     
notes 5.00%, 3/15/19  55,000  54,863 
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23  48,000  53,400 
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20  199,000  210,940 
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22  449,000  456,858 
    19,345,113 

 

38 Master Intermediate Income Trust 

 


  Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.  amount  Value 
Financials (3.7%)     
Alliance Data Systems Corp. 144A company guaranty sr. unsec.     
notes 5.375%, 8/1/22  $336,000  $338,520 
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes     
8.25%, 8/1/23  91,000  95,493 
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25  489,000  500,614 
CBRE Services, Inc. company guaranty sr. unsec. notes     
5.25%, 3/15/25  75,000  79,596 
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23  160,000  167,000 
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22  130,000  136,093 
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19  165,000  173,456 
CNG Holdings, Inc./OH 144A sr. notes 9.375%, 5/15/20  54,000  49,275 
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25  294,000  301,535 
Commerzbank AG 144A unsec. sub. notes 8.125%,     
9/19/23 (Germany)  200,000  234,224 
Credit Acceptance Corp. company guaranty sr. unsec. notes     
6.125%, 2/15/21  344,000  343,140 
DFC Finance Corp. 144A company guaranty sr. notes     
10.50%, 6/15/20  125,000  76,875 
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes     
5.25%, 5/1/25 R   160,000  161,299 
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub.     
notes 8.125%, 7/15/19 ‡‡  68,000  68,000 
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21  205,000  213,713 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company     
guaranty sr. unsec. notes 6.00%, 8/1/20  23,000  23,805 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company     
guaranty sr. unsec. notes 5.875%, 2/1/22  215,000  218,225 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr.     
unsec. notes 6.75%, 2/1/24  95,000  97,969 
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr.     
unsec. notes 6.25%, 2/1/22  95,000  96,425 
Intelsat Connect Finance SA 144A company guaranty sr. unsec.     
sub. notes 12.50%, 4/1/22 (Luxembourg)  4,000  3,570 
International Lease Finance Corp. sr. unsec. unsub. notes     
5.875%, 8/15/22  15,000  16,706 
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy)  200,000  188,146 
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22 R   60,000  60,900 
iStar, Inc. sr. unsec. notes 5.00%, 7/1/19 R   55,000  55,344 
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes     
5.75%, 9/15/25  155,000  156,550 
Nationstar Mortgage, LLC/Nationstar Capital Corp. company     
guaranty sr. unsec. unsub. notes 7.875%, 10/1/20  80,000  82,950 
Nationstar Mortgage, LLC/Nationstar Capital Corp. company     
guaranty sr. unsec. unsub. notes 6.50%, 7/1/21  213,000  215,663 
OneMain Financial Holdings, LLC 144A company guaranty sr.     
unsec. sub. notes 6.75%, 12/15/19  77,000  80,465 
OneMain Financial Holdings, LLC 144A company guaranty sr.     
unsec. unsub. notes 7.25%, 12/15/21  92,000  95,910 
Provident Funding Associates LP/PFG Finance Corp. 144A     
company guaranty sr. unsec. notes 6.75%, 6/15/21  245,000  249,900 

 

Master Intermediate Income Trust 39 

 


  Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.  amount  Value 
Financials cont.     
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%,     
5/28/24 (United Kingdom)  $100,000  $101,121 
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr.     
unsec. unsub. notes 7.75%, 5/29/18 (Russia)  2,750,000  2,908,472 
Sberbank of Russia Via SB Capital SA 144A sr. unsec. notes 6.125%,     
2/7/22 (Russia)  325,000  355,875 
Springleaf Finance Corp. company guaranty sr. unsec. unsub.     
notes 8.25%, 12/15/20  60,000  65,550 
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19  55,000  55,481 
Stearns Holdings, Inc. 144A company guaranty sr. notes     
9.375%, 8/15/20  239,000  241,390 
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty     
sr. notes 8.50%, 9/15/18  70,000  64,400 
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty     
sr. unsec. unsub. notes 5.875%, 6/15/24  156,000  160,680 
USI, Inc./NY 144A sr. unsec. notes 7.75%, 1/15/21  199,000  202,483 
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6.875%,     
5/29/18 (Russia)  979,000  1,026,705 
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%,     
10/17/22 (Russia)  200,000  217,250 
    9,980,768 
Health care (2.1%)     
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec.     
notes 7.875%, 9/1/23  142,000  134,545 
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24  175,000  187,906 
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25  42,000  42,236 
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22  130,000  133,575 
CHS/Community Health Systems, Inc. company guaranty sr.     
unsec. notes 6.875%, 2/1/22  303,000  260,580 
CHS/Community Health Systems, Inc. company guaranty sr.     
unsec. unsub. notes 8.00%, 11/15/19  21,000  20,606 
CHS/Community Health Systems, Inc. company guaranty sr.     
unsec. unsub. notes 7.125%, 7/15/20  53,000  48,561 
Concordia International Corp. 144A company guaranty sr. unsec.     
notes 7.00%, 4/15/23 (Canada)  274,000  53,430 
Concordia International Corp. 144A sr. notes 9.00%,     
4/1/22 (Canada)  30,000  21,450 
DPx Holdings BV 144A sr. unsec. sub. notes 7.50%,     
2/1/22 (Netherlands)  208,000  219,570 
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr.     
unsec. unsub. notes 5.375%, 1/15/23  165,000  141,900 
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company     
guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland)  400,000  350,000 
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes     
6.25%, 10/15/22  158,000  162,740 
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26  113,000  118,933 
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20  398,000  434,815 
HCA, Inc. company guaranty sr. unsec. unsub. notes     
7.50%, 2/15/22  55,000  63,044 
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC     
144A company guaranty sr. unsec. notes 6.375%, 8/1/23  160,000  166,800 

 

40 Master Intermediate Income Trust 

 


  Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.  amount  Value 
Health care cont.     
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub.     
notes 12.50%, 11/1/21  $134,000  $148,405 
Mallinckrodt International Finance SA/Mallinckrodt CB,     
LLC 144A company guaranty sr. unsec. unsub. notes 5.50%,     
4/15/25 (Luxembourg)  143,000  131,560 
Molina Healthcare, Inc. company guaranty sr. unsec. notes     
5.375%, 11/15/22  120,000  124,424 
Omega Healthcare Investors, Inc. company guaranty sr. unsec.     
unsub. notes 4.95%, 4/1/24 R   84,000  86,462 
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics     
SA 144A sr. unsec. notes 6.625%, 5/15/22  240,000  223,200 
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22  249,000  257,093 
Service Corp. International/US sr. unsec. unsub. notes     
5.375%, 5/15/24  498,000  518,094 
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes     
6.50%, 5/15/23  96,000  98,160 
Tenet Healthcare Corp. company guaranty sr. FRN 4.631%, 6/15/20  170,000  170,850 
Tenet Healthcare Corp. company guaranty sr. notes     
6.25%, 11/1/18  355,000  372,306 
Tenet Healthcare Corp. company guaranty sr. sub. notes     
6.00%, 10/1/20  231,000  244,283 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsec. notes 6.125%, 4/15/25  160,000  123,200 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsec. notes 5.875%, 5/15/23  202,000  156,803 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsec. notes 5.625%, 12/1/21  35,000  28,175 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsec. notes 5.50%, 3/1/23  85,000  65,450 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsec. notes 5.375%, 3/15/20  149,000  133,355 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsub. notes 7.00%, 3/15/24  160,000  164,200 
Valeant Pharmaceuticals International, Inc. 144A company     
guaranty sr. unsub. notes 6.50%, 3/15/22  55,000  56,581 
    5,663,292 
Technology (1.7%)     
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19     
(In default) †  520,000  410,800 
Black Knight InfoServ, LLC/Black Knight Lending Solutions, Inc.     
company guaranty sr. unsec. notes 5.75%, 4/15/23  161,000  168,849 
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A     
company guaranty sr. unsec. notes 7.125%, 6/15/24  901,000  996,037 
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes     
5.45%, 6/15/23  195,000  210,408 
First Data Corp. 144A company guaranty sr. unsec. unsub. notes     
7.00%, 12/1/23  200,000  214,500 
First Data Corp. 144A notes 5.75%, 1/15/24  190,000  195,985 
First Data Corp. 144A sr. notes 5.375%, 8/15/23  165,000  171,806 
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec.     
notes 8.625%, 11/15/24  193,000  203,364 

 

Master Intermediate Income Trust 41 

 


    Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.    amount  Value 
Technology cont.       
Infor Software Parent LLC/Infor Software Parent, Inc. 144A       
company guaranty sr. unsec. notes 7.125%, 5/1/21 ‡‡    $324,000  $331,290 
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22    228,000  234,293 
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20    57,000  59,263 
Iron Mountain, Inc. company guaranty sr. unsec. notes       
6.00%, 8/15/23 R     185,000  194,713 
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes       
5.875%, 2/15/22    185,000  193,325 
Solera, LLC/Solera Finance, Inc. 144A sr. unsec. notes       
10.50%, 3/1/24    233,000  266,203 
Techem Energy Metering Service GmbH & Co. KG 144A company       
guaranty sr. unsec. sub. notes 7.875%, 10/1/20 (Germany)  EUR  200,000  222,082 
Trionista TopCo GmbH 144A company guaranty sr. unsec. sub.       
notes 6.875%, 4/30/21 (Germany)  EUR  265,000  293,445 
Zebra Technologies Corp. sr. unsec. unsub. bonds 7.25%, 10/15/22    $217,000  234,631 
      4,600,994 
Transportation (0.2%)       
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23    205,000  197,825 
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr.       
unsec. notes 6.375%, 4/1/23    291,000  295,365 
      493,190 
Utilities and power (1.2%)       
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25    665,000  674,975 
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23    70,000  69,475 
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21    135,000  152,550 
Boardwalk Pipelines LP company guaranty sr. unsec. unsub.       
bonds 5.95%, 6/1/26    60,000  66,444 
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25    340,000  337,875 
Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22    45,000  47,081 
Calpine Corp. 144A company guaranty sr. sub. notes       
5.875%, 1/15/24    35,000  36,969 
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22    243,000  240,570 
Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19    131,000  134,603 
Dynegy, Inc. company guaranty sr. unsec. unsub. notes       
7.625%, 11/1/24    146,000  139,430 
Energy Transfer Equity LP company guaranty sr. notes       
7.50%, 10/15/20    185,000  206,275 
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24    90,000  95,625 
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20    142,000  92,655 
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A       
company guaranty sr. unsec. sub. notes 5.50%, 5/15/22    45,000  46,800 
NRG Energy, Inc. company guaranty sr. unsec. notes       
7.25%, 5/15/26    122,000  125,355 
NRG Energy, Inc. company guaranty sr. unsec. sub. notes       
7.875%, 5/15/21    138,000  141,795 
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds       
6.625%, 1/15/27    230,000  229,425 
Regency Energy Partners LP/Regency Energy Finance Corp.       
company guaranty sr. unsec. notes 5.00%, 10/1/22    85,000  90,387 
Regency Energy Partners LP/Regency Energy Finance Corp.       
company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22    170,000  186,845 

 

42 Master Intermediate Income Trust 

 


    Principal   
CORPORATE BONDS AND NOTES (33.5%)* cont.    amount  Value 
Utilities and power cont.       
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22    $199,000  $199,498 
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc.       
escrow company guaranty sr. notes 11.50%, 10/1/20    90,000  675 
      3,315,307 
Total corporate bonds and notes (cost $89,343,815)      $90,351,914 
 
 
FOREIGN GOVERNMENT AND AGENCY    Principal   
BONDS AND NOTES (7.3%)*    amount  Value 
Argentina (Republic of) 144A sr. unsec. unsub. notes 6.875%,       
1/26/27 (Argentina)    $750,000  $760,592 
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.875%,       
1/22/21 (Brazil)    420,000  442,050 
Brazil (Federal Republic of) unsec. notes Ser. NTNF, 10.00%, 1/1/23       
(Brazil) (Units)  BRL  3,000  984,550 
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%,       
6/15/27 (Argentina)    $550,000  554,125 
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%,       
3/16/24 (Argentina)    2,291,000  2,539,764 
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 6.50%,       
2/15/23 (Argentina)    180,000  180,396 
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%,       
1/26/21 (Argentina)    1,399,000  1,601,855 
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%,       
6/10/21 (Argentina)    1,067,000  1,105,828 
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.375%,       
3/24/21 (Croatia)    265,000  292,825 
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.25%,       
4/27/17 (Croatia)    225,000  225,401 
Croatia (Republic of) 144A sr. unsec. unsub. notes 6.00%,       
1/26/24 (Croatia)    200,000  221,250 
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%,       
1/27/25 (Dominican Republic)    725,000  736,781 
Egypt (Government of) 144A sr. unsec. notes 6.125%,       
1/31/22 (Egypt)    550,000  571,365 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece) ††  EUR  351,000  280,060 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/24 (Greece) ††  EUR  5,003,761  4,308,576 
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI,       
stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece) ††  EUR  2,802,822  2,459,645 
Indonesia (Republic of) 144A sr. unsec. notes 4.75%,       
1/8/26 (Indonesia)    $200,000  213,250 
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%,       
4/15/23 (Indonesia)    560,000  559,300 
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia)    200,000  212,119 
Russia (Federation of) 144A sr. unsec. unsub. bonds 12.75%,       
6/24/28 (Russia)    750,000  1,320,000 
Ukraine (Government of) 144A unsec. notes 7.75%,       
9/1/27 (Ukraine)    168,000  154,140 
Total foreign government and agency bonds and notes (cost $20,202,522)    $19,723,872 

 

Master Intermediate Income Trust 43 

 


  Principal   
SENIOR LOANS (2.0%)*c  amount  Value 
Academy, Ltd. bank term loan FRN Ser. B, 5.055%, 7/2/22  $232,551  $171,507 
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B,     
4.25%, 4/28/22  49,873  49,780 
Asurion, LLC bank term loan FRN 8.50%, 3/3/21  194,000  195,879 
Avaya, Inc. bank term loan FRN Ser. B6, 6.532%, 3/31/18     
(In default) †  136,799  107,969 
Avaya, Inc. bank term loan FRN Ser. B7, 6.282%, 5/29/20     
(In default) †  219,132  174,155 
BWAY Corp. bank term loan FRN Ser. B, 3.25%, 3/22/24  65,000  64,865 
Caesars Entertainment Operating Co., Inc. bank term loan FRN     
Ser. B6, 11.75%, 3/1/18 (In default) †  501,414  578,296 
Caesars Growth Properties Holdings, LLC bank term loan FRN     
6.25%, 5/8/21  391,779  393,493 
Capital Automotive LP bank term loan FRN 7.00%, 3/24/25  54,000  54,540 
Casella Waste Systems, Inc. bank term loan FRN Ser. B,     
4.00%, 10/17/23  438,900  441,917 
Chesapeake Energy Corp. bank term loan FRN 8.553%, 8/23/21  280,000  296,800 
CPG International, Inc. bank term loan FRN Ser. B, 4.897%, 9/30/20  36,369  36,506 
DPx Holdings BV bank term loan FRN Ser. B, 4.25%, 3/10/21  116,700  116,700 
Forterra Finance, LLC bank term loan FRN 6.50%, 10/25/23  99,500  100,122 
FTS International, Inc. bank term loan FRN Ser. B, 5.75%, 4/16/21  175,000  151,703 
Gates Global, LLC/Gates Global Co. bank term loan FRN     
4.397%, 7/6/21  112,849  112,958 
Getty Images, Inc. bank term loan FRN Ser. B, 4.75%, 10/18/19  260,528  227,311 
iHeartCommunications, Inc. bank term loan FRN Ser. D,     
7.732%, 1/30/19  323,000  277,242 
Kraton Polymers, LLC/Kraton Polymers Capital Corp. bank term     
loan FRN Ser. B, 5%, 1/6/22  103,991  104,901 
Kronos, Inc./MA bank term loan FRN 9.284%, 11/1/24  95,000  97,791 
Kronos, Inc./MA bank term loan FRN 5.034%, 11/1/23  157,605  158,368 
MEG Energy Corp. bank term loan FRN 4.54%, 12/31/23  95,000  94,949 
Navistar, Inc. bank term loan FRN Ser. B, 5.00%, 8/7/20  162,938  164,567 
Neiman Marcus Group, Ltd., Inc. bank term loan FRN     
4.25%, 10/25/20  187,949  150,712 
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B,     
4.75%, 6/30/21  77,920  77,209 
Rackspace Hosting, Inc. bank term loan FRN Ser. B,     
4.535%, 11/3/23  57,855  58,241 
Revlon Consumer Products Corp. bank term loan FRN Ser. B,     
4.482%, 9/7/23  184,075  184,049 
Reynolds Group Holdings, Inc. bank term loan FRN 3.982%, 2/5/23  144,276  144,839 
Solenis International LP bank term loan FRN 7.804%, 7/31/22  38,000  37,449 
Solenis International LP bank term loan FRN 4.304%, 7/31/21  172,566  172,863 
Talbots, Inc. (The) bank term loan FRN 9.50%, 3/19/21  59,961  50,967 
Talbots, Inc. (The) bank term loan FRN 5.5%, 3/19/20  117,546  104,812 
Valeant Pharmaceuticals International, Inc. bank term loan FRN     
Ser. BF1, 5.74%, 4/1/22  54,000  54,120 
Valeant Pharmaceuticals International, Inc. bank term loan FRN     
Ser. BF3, 5.75%, 4/1/22  108,366  108,607 
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B,     
5.03%, 11/30/23  72,575  73,210 
Total senior loans (cost $5,539,777)    $5,389,397 

 

44 Master Intermediate Income Trust 

 


PURCHASED SWAP OPTIONS OUTSTANDING (0.4%)*       
Counterparty         
Fixed right % to receive or (pay)/  Expiration    Contract   
Floating rate index/Maturity date  date/strike    amount  Value 
Bank of America N.A.         
2.3125/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.3125    $24,653,000  $41,664 
1.54/3 month USD-LIBOR-BBA/Jun-18  Jun-17/1.54    36,979,500  33,282 
(1.495)/3 month USD-LIBOR-BBA/Jul-18  Jul-17/1.495    36,979,500  31,063 
1.495/3 month USD-LIBOR-BBA/Jul-18  Jul-17/1.495    36,979,500  20,339 
1.698/3 month USD-LIBOR-BBA/Jun-18  Jun-17/1.698    36,979,500  8,875 
2.265/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.265    18,489,800  8,505 
Barclays Bank PLC         
2.62/3 month USD-LIBOR-BBA/May-37  May-17/2.62    12,326,500  139,659 
(0.51)/3 month GBP-LIBOR-BBA/Sep-18  Sep-17/0.51  GBP  30,000,000  24,056 
1.425/3 month USD-LIBOR-BBA/Apr-18  Apr-17/1.425    $36,979,500  13,682 
(2.60)/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.60    18,489,800  5,547 
Citibank, N.A.         
2.25/3 month USD-LIBOR-BBA/Sep-27  Sep-17/2.25    24,653,000  228,287 
1.6125/3 month USD-LIBOR-BBA/Aug-18  Aug-17/1.6125    49,306,000  54,237 
2.297/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.297    18,489,800  25,331 
(1.34)/3 month USD-LIBOR-BBA/Apr-18  Apr-17/1.34    36,979,500  18,120 
2.163/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.163    18,489,800  8,136 
1.34/3 month USD-LIBOR-BBA/Apr-18  Apr-17/1.34    36,979,500  37 
Credit Suisse International         
(2.58)/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.58    24,653,000  3,698 
Goldman Sachs International         
1.86375/3 month USD-LIBOR-BBA/Apr-18  Apr-17/1.86375    36,979,500  10,354 
JPMorgan Chase Bank N.A.         
2.4427/3 month USD-LIBOR-BBA/May-27  May-17/2.4427    12,326,500  110,692 
2.9498/3 month USD-LIBOR-BBA/May-27  May-17/2.9498    12,326,500  85,423 
0.843/6 month EUR-EURIBOR-Reuters/Jun-27  Jun-17/0.843  EUR  4,225,300  53,144 
2.3525/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.3525    $12,326,500  34,268 
1.426/3 month USD-LIBOR-BBA/Apr-18  Apr-17/1.426    36,979,500  12,573 
Total purchased swap options outstanding (cost $2,214,001)      $970,972 
 
 
  Expiration       
  date/strike    Contract   
PURCHASED OPTIONS OUTSTANDING (0.4%)*  price    amount  Value 
Federal National Mortgage Association 30 yr 2.50% TBA       
commitments (Call)  Apr-17/$94.23    $15,000,000  $169,635 
Federal National Mortgage Association 30 yr 3.00% TBA       
commitments (Call)  Jun-17/98.51    14,000,000  133,756 
Federal National Mortgage Association 30 yr 3.00% TBA       
commitments (Call)  Jun-17/98.63    14,000,000  123,970 
Federal National Mortgage Association 30 yr 3.00% TBA       
commitments (Call)  Jun-17/98.76    14,000,000  114,632 
Federal National Mortgage Association 30 yr 3.00% TBA       
commitments (Call)  May-17/98.95    61,000,000  362,462 
Federal National Mortgage Association 30 yr 3.50% TBA       
commitments (Put)  May-17/100.95    14,000,000  20,398 
Federal National Mortgage Association 30 yr 3.50% TBA       
commitments (Put)  May-17/100.83    14,000,000  17,514 

 

Master Intermediate Income Trust 45 

 


  Expiration     
  date/strike  Contract   
PURCHASED OPTIONS OUTSTANDING (0.4%)* cont.  price  amount  Value 
Federal National Mortgage Association 30 yr 3.50% TBA       
commitments (Put)  May-17/$100.71  $14,000,000  $14,980 
EUR/JPY (Call)  Jun-17/JPY 127.50  5,130,600  6,907 
USD/MXN (Put)  Apr-17/MXN 19.00  $5,406,700  96,477 
Total purchased options outstanding (cost $1,230,957)      $1,060,731 

 

COMMON STOCKS (0.1%)*  Shares  Value 
CHC Group, LLC (Units) †  697  $8,364 
Halcon Resources Corp. †  11,307  87,064 
Milagro Oil & Gas, Inc. (Units) F   73  5,913 
SandRidge Energy, Inc. †  3,589  66,361 
Tervita Corp. Class A (Canada)  191  1,400 
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) F   9,820  12,766 
Tribune Media Co. Class 1C F   40,066  10,017 
Total common stocks (cost $252,215)    $191,885 
 
 
  Principal   
CONVERTIBLE BONDS AND NOTES (0.0%)*  amount  Value 
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 9/15/20     
(Cayman Islands)  $35,887  $64,597 
Total convertible bonds and notes (cost $24,969)    $64,597 

 

  Expiration  Strike     
WARRANTS (0.0%)* †  date  price  Warrants  Value 
Halcon Resources Corp.  9/9/20  $14.04  3,071  $5,405 
Total warrants (cost $—)        $5,405 

 

  Principal amount/   
SHORT-TERM INVESTMENTS (7.8%)*    shares  Value 
Putnam Short Term Investment Fund 0.87% L   Shares   11,163,802  $11,163,802 
State Street Institutional U.S. Government Money Market Fund,       
Premier Class 0.62% P     480,000  480,000 
U.S. Treasury Bills 0.773%, 7/13/17 # ∆ §     6,676,000  6,661,486 
U.S. Treasury Bills 0.523%, 5/18/17 ∆ §     682,000  681,384 
U.S. Treasury Bills 0.509%, 5/11/17 §     322,000  321,756 
U.S. Treasury Bills 0.509%, 5/4/17    39,000  38,977 
U.S. Treasury Bills 0.566%, 4/6/17 ∆ §     1,625,000  1,624,917 
Total short-term investments (cost $20,972,494)      $20,972,322 
 
TOTAL INVESTMENTS       
Total investments (cost $515,857,027)      $515,594,527 

 

Key to holding’s currency abbreviations

 

AUD  Australian Dollar 
BRL  Brazilian Real 
CAD  Canadian Dollar 
CHF  Swiss Franc 
EUR  Euro 

 

46 Master Intermediate Income Trust 

 


GBP  British Pound 
HUF  Hungarian Forint 
JPY  Japanese Yen 
MXN  Mexican Peso 
NOK  Norwegian Krone 
NZD  New Zealand Dollar 
SEK  Swedish Krona 
ZAR  South African Rand 

 

Key to holding’s abbreviations

 

FRB  Floating Rate Bonds: the rate shown is the current interest rate 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 
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. 
IO  Interest Only 
OAO  Open Joint Stock Company 
OJSC  Open Joint Stock Company 
PO  Principal Only 
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. 
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, 2016 through March 31, 2017 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.

* Percentages indicated are based on net assets of $269,452,068.

† This security is non-income-producing.

†† The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.

‡‡ Income may be received in cash or additional securities at the discretion of the issuer.

# 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.

∆ 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.

§ 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.

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).

F This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or 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).

Master Intermediate Income Trust 47 

 


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 (Note 1).

R Real Estate Investment Trust.

At the close of the reporting period, the fund maintained liquid assets totaling $204,528,813 to cover certain derivative contracts, delayed delivery securities and the settlement of certain 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.

DIVERSIFICATION BY COUNTRY 

 

Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):

 

United States  90.5%  Mexico  0.9% 
Greece  1.4  Canada  0.8 
Russia  1.3  Other  2.9 
Argentina  1.3  Total  100.0% 
Brazil  0.9     

 

FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $191,891,955) (Unaudited) 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Bank of America N.A.           
  Australian Dollar  Buy  4/19/17  $1,652,080  $1,567,860  $84,220 
  Brazilian Real  Buy  4/3/17  1,383,569  1,333,559  50,010 
  Brazilian Real  Sell  4/3/17  1,383,569  1,397,226  13,657 
  Brazilian Real  Buy  7/3/17  2,695,311  2,708,804  (13,493) 
  British Pound  Buy  6/21/17  8,536  8,407  129 
  Canadian Dollar  Buy  4/19/17  1,645,464  1,629,408  16,056 
  Canadian Dollar  Sell  4/19/17  1,645,464  1,646,174  710 
  Chilean Peso  Buy  7/19/17  2,697,170  2,690,429  6,741 
  Euro  Buy  6/21/17  1,485,218  1,462,781  22,437 
  Hong Kong Dollar  Sell  5/17/17  289,587  289,971  384 
  Indian Rupee  Buy  5/17/17  1,409,000  1,354,406  54,594 
  Japanese Yen  Buy  5/17/17  39,473  46,826  (7,353) 
  Mexican Peso  Buy  7/19/17  1,335,059  1,325,730  9,329 
  New Zealand Dollar  Sell  4/19/17  399,064  393,673  (5,391) 
  Norwegian Krone  Sell  6/21/17  1,435,179  1,457,631  22,452 
  Singapore Dollar  Sell  5/17/17  1,380,612  1,348,045  (32,567) 
  Swedish Krona  Buy  6/21/17  1,406,318  1,394,632  11,686 

 

48 Master Intermediate Income Trust 

 


FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $191,891,955) (Unaudited) cont. 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Barclays Bank PLC           
  Australian Dollar  Buy  4/19/17  $2,890,723  $2,882,489  $8,234 
  British Pound  Buy  6/21/17  36,653  24,014  12,639 
  Canadian Dollar  Buy  4/19/17  658,727  652,185  6,542 
  Canadian Dollar  Sell  4/19/17  658,727  659,091  364 
  Euro  Buy  6/21/17  810,119  816,608  (6,489) 
  Japanese Yen  Sell  5/17/17  1,138,365  1,100,154  (38,211) 
  New Zealand Dollar  Sell  4/19/17  791,261  773,206  (18,055) 
  Swedish Krona  Buy  6/21/17  1,369,699  1,357,915  11,784 
  Swiss Franc  Buy  6/21/17  131,189  130,097  1,092 
Citibank, N.A.             
  Australian Dollar  Buy  4/19/17  390,221  302,229  87,992 
  Brazilian Real  Buy  4/3/17  1,764,426  1,755,531  8,895 
  Brazilian Real  Sell  4/3/17  1,349,997  1,265,461  (84,536) 
  British Pound  Sell  6/21/17  1,314,738  1,291,252  (23,486) 
  Canadian Dollar  Buy  4/19/17  2,134,658  2,153,185  (18,527) 
  Canadian Dollar  Sell  4/19/17  2,134,658  2,111,727  (22,931) 
  Euro  Sell  6/21/17  1,183,270  1,173,270  (10,000) 
  Indonesian Rupiah  Buy  5/17/17  1,336,634  1,327,453  9,181 
  Japanese Yen  Buy  5/17/17  59,155  58,129  1,026 
  Mexican Peso  Buy  4/19/17  356,106  317,445  38,661 
  New Zealand Dollar  Sell  4/19/17  2,887,556  2,912,145  24,589 
  Norwegian Krone  Sell  6/21/17  1,964,369  2,003,797  39,428 
  South African Rand  Buy  4/19/17  1,385,222  1,357,410  27,812 
  South African Rand  Sell  7/19/17  2,632,846  2,659,571  26,725 
  Swedish Krona  Buy  6/21/17  2,724,196  2,674,208  49,988 
Credit Suisse International           
  Australian Dollar  Buy  4/19/17  2,696,262  2,687,774  8,488 
  Canadian Dollar  Buy  4/19/17  1,285,939  1,273,003  12,936 
  Canadian Dollar  Sell  4/19/17  1,285,939  1,286,609  670 
  Euro  Sell  6/21/17  1,374,504  1,367,114  (7,390) 
  Hong Kong Dollar  Buy  5/17/17  357,221  357,770  (549) 
  New Zealand Dollar  Sell  4/19/17  1,999,315  2,034,469  35,154 
  Norwegian Krone  Sell  6/21/17  1,321,138  1,335,310  14,172 
  Swedish Krona  Buy  6/21/17  1,378,459  1,366,607  11,852 
Goldman Sachs International           
  Australian Dollar  Buy  4/19/17  5,178,662  5,142,123  36,539 
  Australian Dollar  Sell  4/19/17  5,178,662  5,103,015  (75,647) 
  British Pound  Sell  6/21/17  35,021  34,461  (560) 
  Canadian Dollar  Buy  4/19/17  490,623  466,886  23,737 
  Euro  Sell  6/21/17  1,377,609  1,366,105  (11,504) 
  Indian Rupee  Buy  5/17/17  2,763,159  2,694,196  68,963 
  Japanese Yen  Sell  5/17/17  1,536,608  1,525,994  (10,614) 
  New Zealand Dollar  Sell  4/19/17  3,301,265  3,318,585  17,320 
  Norwegian Krone  Sell  6/21/17  366,555  372,597  6,042 

 

Master Intermediate Income Trust 49 

 


FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $191,891,955) (Unaudited) cont. 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
Goldman Sachs International cont.           
  South African Rand  Sell  7/19/17  $1,250,783  $1,291,366  $40,583 
  South Korean Won  Sell  5/17/17  57,221  12,853  (44,368) 
  Swedish Krona  Buy  6/21/17  3,392,674  3,357,750  34,924 
HSBC Bank USA, National Association           
  Australian Dollar  Buy  4/19/17  1,408,888  1,412,255  (3,367) 
  Australian Dollar  Sell  4/19/17  1,408,890  1,383,861  (25,029) 
  Canadian Dollar  Buy  4/19/17  2,004,011  1,991,157  12,854 
  Canadian Dollar  Sell  4/19/17  2,004,011  2,004,398  387 
  Euro  Sell  6/21/17  690,089  684,308  (5,781) 
  Hong Kong Dollar  Buy  5/17/17  50,388  50,553  (165) 
JPMorgan Chase Bank N.A.           
  Australian Dollar  Buy  4/19/17  5,549,177  5,438,529  110,648 
  Brazilian Real  Buy  4/3/17  1,381,908  1,318,628  63,280 
  Brazilian Real  Sell  4/3/17  1,383,066  1,360,328  (22,738) 
  British Pound  Sell  6/21/17  202,094  198,893  (3,201) 
  Canadian Dollar  Buy  4/19/17  1,817,028  1,799,043  17,985 
  Canadian Dollar  Sell  4/19/17  1,817,028  1,819,079  2,051 
  Czech Koruna  Buy  7/19/17  1,374,660  1,384,371  (9,711) 
  Czech Koruna  Sell  7/19/17  1,374,660  1,364,311  (10,349) 
  Euro  Buy  6/21/17  1,792,273  1,789,051  3,222 
  Euro  Sell  7/19/17  4,707,886  4,688,155  (19,731) 
  Hong Kong Dollar  Buy  5/17/17  21,445  21,704  (259) 
  Indonesian Rupiah  Buy  5/17/17  1,337,600  1,325,296  12,304 
  Indonesian Rupiah  Sell  5/17/17  1,339,371  1,322,373  (16,998) 
  Japanese Yen  Sell  5/17/17  178,352  156,824  (21,528) 
  New Zealand Dollar  Sell  4/19/17  3,167,987  3,180,859  12,872 
  Norwegian Krone  Buy  6/21/17  507,743  515,930  (8,187) 
  South Korean Won  Buy  5/17/17  89,267  175,679  (86,412) 
  Swedish Krona  Buy  6/21/17  2,052,929  2,073,301  (20,372) 
  Swiss Franc  Buy  6/21/17  64,993  64,538  455 
Royal Bank of Scotland PLC (The)           
  Australian Dollar  Buy  4/19/17  1,321,054  1,253,701  67,353 
  British Pound  Buy  6/21/17  215,902  195,249  20,653 
  Canadian Dollar  Buy  4/19/17  683,999  691,637  (7,638) 
  Czech Koruna  Buy  7/19/17  1,374,660  1,383,806  (9,146) 
  Czech Koruna  Sell  7/19/17  1,374,660  1,365,677  (8,983) 
  Euro  Sell  6/21/17  1,534,579  1,521,552  (13,027) 
  Euro  Buy  7/19/17  1,363,978  1,360,067  3,911 
  Euro  Sell  7/19/17  1,363,978  1,369,959  5,981 
  Japanese Yen  Sell  5/17/17  1,352,962  1,344,221  (8,741) 
  New Zealand Dollar  Sell  4/19/17  604,377  540,766  (63,611) 
  Norwegian Krone  Buy  6/21/17  654,572  665,308  (10,736) 
  Swedish Krona  Buy  6/21/17  2,067,649  2,057,467  10,182 

 

50 Master Intermediate Income Trust 

 


FORWARD CURRENCY CONTRACTS at 3/31/17 (aggregate face value $191,891,955) (Unaudited) cont. 
            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
State Street Bank and Trust Co.           
  Australian Dollar  Buy  4/19/17  $1,766,345  $1,772,487  $(6,142) 
  British Pound  Sell  6/21/17  1,370,597  1,348,107  (22,490) 
  Canadian Dollar  Buy  4/19/17  1,370,856  1,357,504  13,352 
  Canadian Dollar  Sell  4/19/17  1,370,856  1,364,041  (6,815) 
  Euro  Sell  6/21/17  2,648,144  2,647,374  (770) 
  Japanese Yen  Buy  5/17/17  532,014  549,118  (17,104) 
  New Zealand Dollar  Sell  4/19/17  1,895,887  1,882,952  (12,935) 
  Singapore Dollar  Sell  5/17/17  1,380,683  1,351,096  (29,587) 
  Swedish Krona  Buy  6/21/17  2,802,610  2,779,109  23,501 
UBS AG             
  Australian Dollar  Buy  4/19/17  2,751,255  2,731,071  20,184 
  Australian Dollar  Sell  4/19/17  2,751,255  2,756,718  5,463 
  British Pound  Sell  6/21/17  1,679,135  1,652,167  (26,968) 
  Canadian Dollar  Buy  4/19/17  3,412,324  3,426,458  (14,134) 
  Canadian Dollar  Sell  4/19/17  3,412,324  3,383,012  (29,312) 
  Euro  Sell  6/21/17  6,331,475  6,275,198  (56,277) 
  Japanese Yen  Buy  5/17/17  664,389  671,163  (6,774) 
  New Zealand Dollar  Sell  4/19/17  3,936,194  3,921,010  (15,184) 
  Norwegian Krone  Buy  6/21/17  1,326,092  1,347,864  (21,772) 
  Swedish Krona  Buy  6/21/17  4,044,046  4,011,668  32,378 
WestPac Banking Corp.           
  Australian Dollar  Buy  4/19/17  7,944  17,128  (9,184) 
  Canadian Dollar  Buy  4/19/17  1,245,324  1,246,108  (784) 
  Canadian Dollar  Sell  4/19/17  1,245,324  1,237,940  (7,384) 
  Euro  Sell  6/21/17  1,346,771  1,335,331  (11,440) 
  New Zealand Dollar  Sell  4/19/17  1,319,609  1,345,776  26,167 
Total            $321,483 

 

FUTURES CONTRACTS OUTSTANDING at 3/31/17 (Unaudited)     
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Euro-OAT 10 yr (Short)  17  $2,666,658  Jun-17  $(34,670) 
Total         $(34,670) 

 

WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/17 (premiums $3,314,802) (Unaudited)   
Counterparty       
Fixed Obligation % to receive or (pay)/  Expiration  Contract   
Floating rate index/Maturity date  date/strike  amount  Value 
Bank of America N.A.       
2.8625/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.8625  $18,489,800  $18 
(1.728)/3 month USD-LIBOR-BBA/Jul-20  Jul-17/1.728  12,326,500  17,011 
(2.6475)/3 month USD-LIBOR-BBA/Apr-22  Apr-17/2.6475  24,653,000  17,997 
2.082/3 month USD-LIBOR-BBA/Jul-20  Jul-17/2.082  12,326,500  18,983 

 

Master Intermediate Income Trust 51 

 


WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/17 (premiums $3,314,802) (Unaudited) cont.   
Counterparty         
Fixed Obligation % to receive or (pay)/  Expiration    Contract   
Floating rate index/Maturity date  date/strike    amount  Value 
Bank of America N.A. cont.         
(2.01)/3 month USD-LIBOR-BBA/Apr-22  Apr-17/2.01    $24,653,000  $30,323 
(1.993)/3 month USD-LIBOR-BBA/Jun-18  Jun-17/1.993    36,979,500  50,662 
Barclays Bank PLC         
2.83/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.83    18,489,800  74 
2.715/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.715    18,489,800  740 
(2.13975)/3 month USD-LIBOR-BBA/Apr-18  Apr-17/2.13975    36,979,500  1,109 
1.736/3 month USD-LIBOR-BBA/Sep-18  Sep-17/1.736    36,972,000  22,183 
(2.905)/3 month USD-LIBOR-BBA/May-27  May-17/2.905    12,326,500  63,358 
(2.40)/3 month USD-LIBOR-BBA/May-27  May-17/2.40    12,326,500  83,204 
(2.435)/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.435    18,489,800  118,889 
Citibank, N.A.         
1.942/3 month USD-LIBOR-BBA/Apr-20  Apr-17/1.942    12,326,500  12 
(1.652)/3 month USD-LIBOR-BBA/Apr-20  Apr-17/1.652    12,326,500  12 
2.8945/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.8945    18,489,800  370 
2.7655/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.7655    18,489,800  1,479 
(2.0625)/3 month USD-LIBOR-BBA/Aug-18  Aug-17/2.0625    49,306,000  49,799 
(2.206)/3 month USD-LIBOR-BBA/Jun-27  Jun-17/2.206    24,653,000  96,640 
Credit Suisse International         
2.81/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.81    24,653,000  25 
2.695/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.695    24,653,000  247 
(2.43)/3 month USD-LIBOR-BBA/Apr-27  Apr-17/2.43    24,653,000  136,331 
Goldman Sachs International         
(1.63875)/3 month USD-LIBOR-BBA/Apr-18  Apr-17/1.63875    36,979,500  37 
(1.75125)/3 month USD-LIBOR-BBA/Apr-18  Apr-17/1.75125    36,979,500  740 
JPMorgan Chase Bank N.A.         
(2.06)/3 month USD-LIBOR-BBA/Apr-18  Apr-17/2.06    36,979,500  8,135 
(2.69)/3 month USD-LIBOR-BBA/Apr-22  Apr-17/2.69    12,326,500  14,545 
(2.05)/3 month USD-LIBOR-BBA/Apr-22  Apr-17/2.05    12,326,500  24,160 
(1.389)/6 month EUR-EURIBOR-Reuters/Jun-47  Jun-17/1.389  EUR  1,626,800  49,305 
(2.6657)/3 month USD-LIBOR-BBA/May-37  May-17/2.6657    12,326,500  191,061 
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18  Mar-18/6.00    6,568,000  309,524 
Total        $1,306,973 
 
 
WRITTEN OPTIONS OUTSTANDING at 3/31/17 (premiums $1,179,685) (Unaudited)   
  Expiration    Contract   
  date/strike price  amount  Value 
Federal National Mortgage Association 30 yr 2.50%         
TBA commitments (Put)  Apr-17/$94.23    $15,000,000  $315 
Federal National Mortgage Association 30 yr 3.00%         
TBA commitments (Call)  Jun-17/99.20    14,000,000  85,428 
Federal National Mortgage Association 30 yr 3.00%         
TBA commitments (Call)  Jun-17/99.32    14,000,000  78,092 
Federal National Mortgage Association 30 yr 3.00%         
TBA commitments (Call)  Jun-17/99.45    14,000,000  71,204 

 

52 Master Intermediate Income Trust 

 


WRITTEN OPTIONS OUTSTANDING at 3/31/17 (premiums $1,179,685) (Unaudited) cont.   
  Expiration  Contract   
  date/strike price  amount  Value 
Federal National Mortgage Association 30 yr 3.00%     
TBA commitments (Call)  Jun-17/$99.88  $14,000,000  $50,442 
Federal National Mortgage Association 30 yr 3.00%     
TBA commitments (Call)  Jun-17/100.01  14,000,000  45,416 
Federal National Mortgage Association 30 yr 3.00%     
TBA commitments (Call)  Jun-17/100.13  14,000,000  40,782 
Federal National Mortgage Association 30 yr 3.00%     
TBA commitments (Put)  May-17/98.95  61,000,000  338,672 
Federal National Mortgage Association 30 yr 3.50%     
TBA commitments (Put)  May-17/100.38  14,000,000  9,926 
Federal National Mortgage Association 30 yr 3.50%     
TBA commitments (Put)  May-17/100.26  14,000,000  8,414 
Federal National Mortgage Association 30 yr 3.50%     
TBA commitments (Put)  May-17/100.13  14,000,000  7,112 
Federal National Mortgage Association 30 yr 3.50%     
TBA commitments (Put)  May-17/99.81  14,000,000  4,592 
Federal National Mortgage Association 30 yr 3.50%     
TBA commitments (Put)  May-17/99.69  14,000,000  3,850 
Federal National Mortgage Association 30 yr 3.50%     
TBA commitments (Put)  May-17/99.56  14,000,000  3,234 
EUR/JPY (Put)  Jun-17/JPY 115.30  5,130,600  $54,717 
USD/MXN (Put)  Apr-17/MXN 18.25  5,406,700  12,581 
Total      $814,777 

 

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/17 (Unaudited)   
Counterparty         
Fixed right or obligation % to receive      Premium  Unrealized 
or (pay)/Floating rate index/  Expiration  Contract  receivable/  appreciation/ 
Maturity date  date/strike  amount  (payable)  (depreciation) 
Bank of America N.A.         
(2.785)/3 month USD-LIBOR-BBA/         
Jan-47 (Purchased)  Jan-27/2.785  $3,698,000  $(396,795)  $(7,506) 
2.5925/3 month USD-LIBOR-BBA/         
Jan-27 (Purchased)  Jan-19/2.5925  3,698,000  (130,355)  (14,200) 
(2.5925)/3 month USD-LIBOR-BBA/         
Jan-27 (Purchased)  Jan-19/2.5925  3,698,000  (130,355)  (16,641) 
2.785/3 month USD-LIBOR-BBA/         
Jan-47 (Purchased)  Jan-27/2.785  3,698,000  (396,795)  (32,868) 
(2.7175)/3 month USD-LIBOR-BBA/         
Jan-47 (Written)  Jan-19/2.7175  3,698,000  334,114  47,667 
2.7175/3 month USD-LIBOR-BBA/         
Jan-47 (Written)  Jan-19/2.7175  3,698,000  334,114  24,111 
Barclays Bank PLC         
2.43/3 month USD-LIBOR-BBA/         
Feb-22 (Purchased)  Feb-19/2.43  3,698,000  (51,587)  (851) 
(2.43)/3 month USD-LIBOR-BBA/         
Feb-22 (Purchased)  Feb-19/2.43  3,698,000  (51,587)  (10,243) 

 

Master Intermediate Income Trust 53 

 


FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.   
Counterparty         
Fixed right or obligation % to receive      Premium  Unrealized 
or (pay)/Floating rate index/  Expiration  Contract  receivable/  appreciation/ 
Maturity date  date/strike  amount  (payable)  (depreciation) 
Goldman Sachs International         
(2.8175)/3 month USD-LIBOR-BBA/         
Mar-47 (Purchased)  Mar-27/2.8175  $739,600  $(93,375)  $1,109 
2.8175/3 month USD-LIBOR-BBA/         
Mar-47 (Purchased)  Mar-27/2.8175  739,600  (93,375)  (1,058) 
JPMorgan Chase Bank N.A.         
2.8325/3 month USD-LIBOR-BBA/         
Feb-52 (Purchased)  Feb-22/2.8325  3,698,000  (516,333)  (12,721) 
(2.8325)/3 month USD-LIBOR-BBA/         
Feb-52 (Purchased)  Feb-22/2.8325  3,698,000  (516,333)  (40,456) 
2.79/3 month USD-LIBOR-BBA/         
Feb-49 (Written)  Feb-19/2.79  3,698,000  351,125  49,886 
(2.79)/3 month USD-LIBOR-BBA/         
Feb-49 (Written)  Feb-19/2.79  3,698,000  351,125  15,901 
Total      $(1,006,412)  $2,130 

 

TBA SALE COMMITMENTS OUTSTANDING at 3/31/17 (proceeds receivable $225,993,477) (Unaudited) 
  Principal  Settlement   
Agency  amount  date  Value 
Federal National Mortgage Association, 3.50%, 4/1/47  $81,000,000  4/12/17  $82,860,472 
Federal National Mortgage Association, 3.00%, 5/1/47  73,000,000  5/11/17  72,252,889 
Federal National Mortgage Association, 3.00%, 4/1/47  73,000,000  4/12/17  72,384,063 
Total      $227,497,424 

 

OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited)   
    Upfront    Payments  Payments  Unrealized 
Swap counterparty/  premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
JPMorgan Chase Bank N. A.         
MXN  37,435,000  $—  1/1/26  1 month MXN-TIIE-  6.16%  $(163,854) 
        BANXICO     
MXN  40,660,000  —  10/6/21  1 month MXN-TIIE-  5.93%  (107,370) 
        BANXICO     
MXN  16,432,000  —  10/8/21  1 month MXN-TIIE-  5.895%  (44,631) 
        BANXICO     
MXN  17,033,000  —  10/26/21  1 month MXN-TIIE-  6.09%  (39,764) 
        BANXICO     
Total    $—        $(355,619) 
 
 
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) 
    Upfront    Payments  Payments  Unrealized 
    premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
  $227,010,200 E  $(13,330)  6/21/19  1.75%  3 month USD-  $(107,765) 
          LIBOR-BBA   
  34,224,500 E  23,737  6/21/22  2.20%  3 month USD-  (107,480) 
          LIBOR-BBA   

 

54 Master Intermediate Income Trust 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. 
    Upfront    Payments  Payments  Unrealized 
    premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
  $5,404,300 E  $3,709  6/21/27  2.50%  3 month USD-  $(30,343) 
          LIBOR-BBA   
  9,039,100 E  64,328  6/21/47  3 month USD-  2.70%  123,155 
        LIBOR-BBA     
  558,000 E  (1,323)  6/21/27  3 month USD-  2.65%  9,760 
        LIBOR-BBA     
  15,737,000 E  104,583  6/21/22  2.30%  3 month USD-  (30,819) 
          LIBOR-BBA   
  6,155,500 E  (82)  4/4/27  3 month USD-  2.39859%  4,098 
        LIBOR-BBA     
AUD  3,652,000 E  (10)  2/13/20  3 month AUD-BBR-  2.388%  1,357 
        BBSW     
AUD  3,657,000 E  (10)  2/15/20  3 month AUD-BBR-  2.446%  2,870 
        BBSW     
AUD  3,652,000 E  (10)  2/15/20  3 month AUD-BBR-  2.475%  3,645 
        BBSW     
AUD  3,657,000 E  (9)  2/16/20  3 month AUD-BBR-  2.516%  4,685 
        BBSW     
AUD  16,515,000 E  (13,747)  6/28/22  2.60%  6 month AUD-  (21,999) 
          BBR-BBSW   
AUD  2,529,000 E  (4,232)  6/28/27  3.00%  6 month AUD-  (3,479) 
          BBR-BBSW   
CAD  11,902,000 E  (14,571)  6/21/22  3 month CAD-BA-  1.70%  66,551 
        CDOR     
CAD  5,792,000 E  (48,672)  6/21/27  3 month CAD-BA-  2.15%  30,369 
        CDOR     
CHF  2,955,000 E  52,381  6/21/27  6 month CHF-  0.10%  33,105 
        LIBOR-BBA     
CHF  3,643,000 E  35,708  6/21/22  0.40%  6 month CHF-  16,163 
          LIBOR-BBA   
EUR  1,922,000 E  (40)  1/24/32  6 month EUR-  1.665%  5,002 
        EURIBOR-REUTERS     
EUR  3,849,000 E  (15)  2/18/20  1 Day Euribor rate  0.124%  1,089 
EUR  3,849,000 E  (15)  2/18/20  1 Day Euribor rate  0.104%  252 
EUR  42,227,000 E  (423)  6/21/22  0.40%  6 month EUR-  (370,851) 
          EURIBOR-   
          REUTERS   
EUR  47,000 E  (284)  6/21/27  6 month EUR-  1.00%  617 
        EURIBOR-REUTERS     
EUR  15,396,000 E  (62)  3/22/20  0.028%  1 Day Euribor rate  (19,147) 
GBP  1,747,000 E  (32)  1/19/32  1.912%  6 month GBP-  (49,863) 
          LIBOR-BBA   
GBP  3,234,000 E  (15)  2/11/20  0.918%  6 month GBP-  (3,107) 
          LIBOR-BBA   
GBP  3,234,000 E  (15)  2/14/20  0.955%  6 month GBP-  (4,541) 
          LIBOR-BBA   
GBP  10,330,000 E  (98,537)  6/21/22  0.80%  6 month GBP-  (41,616) 
          LIBOR-BBA   
GBP  8,000 E  46  6/21/27  6 month GBP-  1.25%  71 
        LIBOR-BBA     

 

Master Intermediate Income Trust 55 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. 
    Upfront    Payments  Payments  Unrealized 
    premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
HUF  262,700,000  $(12)  2/28/27  6 month HUF-  2.65%  $11,498 
        BUBOR-NATIONAL     
        BANK OF HUNGARY     
HUF  1,214,100,000  (16)  2/28/19  0.715%  6 month  (21,562) 
          HUF-BUBOR-   
          NATIONAL BANK   
          OF HUNGARY   
HUF  752,300,000  (10)  3/1/19  0.69%  6 month  (11,986) 
          HUF-BUBOR-   
          NATIONAL BANK   
          OF HUNGARY   
HUF  170,860,000  (8)  3/1/27  6 month HUF-  2.60%  4,633 
        BUBOR-NATIONAL     
        BANK OF HUNGARY     
HUF  574,530,000  (7)  3/20/19  0.745%  6 month  (10,950) 
          HUF-BUBOR-   
          NATIONAL BANK   
          OF HUNGARY   
HUF  127,810,000  (6)  3/20/27  6 month HUF-  2.905%  14,755 
        BUBOR-NATIONAL     
        BANK OF HUNGARY     
JPY  511,900,000  (30)  2/19/20  6 month JPY-  1.3975%  184,547 
        LIBOR-BBA     
MXN  13,775,000  (10)  12/3/26  7.715%  1 month MXN-  (17,478) 
          TIIE-BANXICO   
MXN  9,710,000  (6)  12/24/26  8.12%  1 month MXN-  (27,422) 
          TIIE-BANXICO   
MXN  11,645,000  (7)  1/7/27  8.20%  1 month MXN-  (36,923) 
          TIIE-BANXICO   
MXN  15,135,000  (16)  3/9/32  1 month MXN-  7.67%  3,052 
        TIIE-BANXICO     
MXN  7,370,000  (8)  3/12/32  1 month MXN-  7.67%  1,432 
        TIIE-BANXICO     
NOK  559,000 E  (142)  6/21/22  6 month NOK-  1.75%  531 
        NIBOR-NIBR     
NOK  22,920,000 E  6,466  6/21/27  6 month NOK-  2.10%  43,672 
        NIBOR-NIBR     
NZD  10,370,000 E  (28)  2/13/20  3 month NZD-  3.14%  11,065 
        BBR-FRA     
NZD  11,733,000 E  (76)  6/21/22  3 month NZD-  3.20%  74,983 
        BBR-FRA     
NZD  10,592,000 E  (80,742)  6/21/27  3 month NZD-  3.75%  75,436 
        BBR-FRA     
NZD  10,370,000 E  (27)  3/29/20  3 month NZD-  3.0475%  1,514 
        BBR-FRA     
SEK  25,880,000 E  (2,206)  6/21/22  0.55%  3 month SEK-  (22,599) 
          STIBOR-SIDE   
SEK  33,360,000 E  (19,512)  6/21/27  3 month SEK-  1.35%  46,079 
        STIBOR-SIDE     
SEK  74,671,000 E  (32)  3/22/20  3 month SEK-  0.513%  14,018 
        STIBOR-SIDE     

 

56 Master Intermediate Income Trust 

 


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont. 
    Upfront    Payments  Payments  Unrealized 
    premium  Termination  made by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  fund per annum  (depreciation) 
ZAR  7,487,000  $(7)  10/11/26  8.32625%  3 month ZAR-  $(9,119) 
          JIBAR-SAFEX   
ZAR  29,770,000  (9)  3/9/19  3 month ZAR-  7.305%  (2,011) 
        JIBAR-SAFEX     
ZAR  60,200,000  (18)  3/24/19  3 month ZAR-  7.11%  (19,320) 
        JIBAR-SAFEX     
ZAR  13,790,000  (15)  3/24/27  7.785%  3 month ZAR-  26,088 
          JIBAR-SAFEX   
Total    $(7,426)        $(154,288) 

 

E Extended effective date.

 

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited)   
  Upfront    Payments  Total return  Unrealized 
Swap counterparty/  premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Barclays Bank PLC           
$300,876  $—  1/12/42  4.00% (1 month  Synthetic TRS Index  $(2,316) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
111,244  —  1/12/40  4.00% (1 month  Synthetic MBX Index  1,134 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
277,265  —  1/12/39  6.00% (1 month  Synthetic TRS Index  (541) 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
264,577  —  1/12/40  4.00% (1 month  Synthetic MBX Index  2,697 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
31,840  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (104) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
139,313  —  1/12/41  5.00% (1 month  Synthetic MBX Index  576 
      USD-LIBOR)  5.00% 30 year Ginnie   
        Mae II pools   
660,204  —  1/12/40  4.00% (1 month  Synthetic MBX Index  6,730 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
518,232  —  1/12/40  4.50% (1 month  Synthetic MBX Index  4,522 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
311,034  —  1/12/39  (6.00%) 1 month  Synthetic MBX Index  (1,248) 
      USD-LIBOR  6.00% 30 year Fannie   
        Mae pools   
400,146  —  1/12/41  5.00% (1 month  Synthetic TRS Index  (3,493) 
      USD-LIBOR)  5.00% 30 year Ginnie   
        Mae II pools   
241,018  —  1/12/41  5.00% (1 month  Synthetic TRS Index  (2,104) 
      USD-LIBOR)  5.00% 30 year Ginnie   
        Mae II pools   

 

Master Intermediate Income Trust 57 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.   
    Upfront    Payments  Total return  Unrealized 
Swap counterparty/  premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Barclays Bank PLC cont.           
  $305,518  $—  1/12/41  5.00% (1 month  Synthetic TRS Index  $(2,667) 
        USD-LIBOR)  5.00% 30 year Ginnie   
          Mae II pools   
  477,083  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (1,556) 
        USD-LIBOR)  6.50% 30 year Fannie   
          Mae pools   
  68,435  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (223) 
        USD-LIBOR)  6.50% 30 year Fannie   
          Mae pools   
  1,146,799  —  1/12/41  (5.00%) 1 month  Synthetic TRS Index  8,582 
        USD-LIBOR  5.00% 30 year Fannie   
          Mae pools   
  972,718  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  7,182 
        USD-LIBOR  4.00% 30 year Fannie   
          Mae pools   
  1,949,755  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  14,396 
        USD-LIBOR  4.00% 30 year Fannie   
          Mae pools   
  170,473  —  1/12/43  (3.50%) 1 month  Synthetic TRS Index  1,515 
        USD-LIBOR  3.50% 30 year Fannie   
          Mae pools   
  1,027,086  —  1/12/40  5.00% (1 month  Synthetic MBX Index  4,404 
        USD-LIBOR)  5.00% 30 year Fannie   
          Mae pools   
  8,471,599  —  1/12/41  5.00% (1 month  Synthetic MBX Index  74,688 
        USD-LIBOR)  5.00% 30 year Fannie   
          Mae pools   
  5,156,797  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (26,041) 
        USD-LIBOR  6.50% 30 year Fannie   
          Mae pools   
EUR  2,881,000  —  9/15/17  (0.4975%)  Eurostat Eurozone  12,586 
          HICP excluding   
          tobacco   
EUR  1,441,000  —  9/15/17  (0.46%)  Eurostat Eurozone  7,454 
          HICP excluding   
          tobacco   
EUR  2,049,000  —  9/15/17  (0.435%)  Eurostat Eurozone  11,699 
          HICP excluding   
          tobacco   
GBP  2,120,000  —  11/3/26  3.4531%  GBP Non-revised UK  (12,205) 
          Retail Price Index   
Citibank, N.A.           
  526,359  —  1/12/41  5.00% (1 month  Synthetic MBX Index  4,641 
        USD-LIBOR)  5.00% 30 year Fannie   
          Mae pools   
  1,128,073  —  1/12/41  5.00% (1 month  Synthetic MBX Index  9,945 
        USD-LIBOR)  5.00% 30 year Fannie   
          Mae pools   
  105,362  —  1/12/41  5.00% (1 month  Synthetic MBX Index  929 
        USD-LIBOR)  5.00% 30 year Fannie   
          Mae pools   

 

58 Master Intermediate Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.   
  Upfront    Payments  Total return  Unrealized 
Swap counterparty/  premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Credit Suisse International         
$451,229  $—  1/12/41  5.00% (1 month  Synthetic MBX Index  $3,978 
      USD-LIBOR)  5.00% 30 year Fannie   
        Mae pools   
348,936  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (1,762) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
673,313  —  1/12/41  5.00% (1 month  Synthetic TRS Index  (5,877) 
      USD-LIBOR)  5.00% 30 year Ginnie   
        Mae II pools   
715,198  —  1/12/41  (5.00%) 1 month  Synthetic TRS Index  5,352 
      USD-LIBOR  5.00% 30 year Fannie   
        Mae pools   
792,809  —  1/12/41  (5.00%) 1 month  Synthetic TRS Index  5,933 
      USD-LIBOR  5.00% 30 year Fannie   
        Mae pools   
700,609  —  1/12/41  5.00% (1 month  Synthetic MBX Index  (6,115) 
      USD-LIBOR)  5.00% 30 year Ginnie   
        Mae II pools   
264,016  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (1,949) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
228,730  —  1/12/44  3.50% (1 month  Synthetic TRS Index  (1,712) 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
601,886  —  1/12/43  3.50% (1 month  Synthetic TRS Index  (5,351) 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
201,326  —  1/12/43  3.50% (1 month  Synthetic TRS Index  (1,790) 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
368,139  —  1/12/43  3.50% (1 month  Synthetic TRS Index  (3,273) 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
2,575,593  —  1/12/45  4.00% (1 month  Synthetic TRS Index  (22,639) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
665,723  —  1/12/45  4.00% (1 month  Synthetic TRS Index  (5,852) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
664,818  —  1/12/45  3.50% (1 month  Synthetic TRS Index  (7,675) 
      USD-LIBOR)  3.50% 30 year Fannie   
        Mae pools   
1,275,866  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  9,420 
      USD-LIBOR  4.00% 30 year Fannie   
        Mae pools   
Deutsche Bank AG           
348,936  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (1,762) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   

 

Master Intermediate Income Trust 59 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.   
  Upfront    Payments  Total return  Unrealized 
Swap counterparty/  premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Goldman Sachs International         
$382,720  $—  1/12/39  6.00% (1 month  Synthetic TRS Index  $(747) 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
157,414  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (513) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
746,881  —  1/12/42  4.00% (1 month  Synthetic TRS Index  (5,749) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
746,881  —  1/12/42  4.00% (1 month  Synthetic TRS Index  (5,749) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
239,763  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (1,211) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
90,069  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (455) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
679,298  —  1/12/41  4.50% (1 month  Synthetic TRS Index  (4,518) 
      USD-LIBOR)  4.50% 30 year Fannie   
        Mae pools   
20,651  —  1/12/39  6.00% (1 month  Synthetic TRS Index  (40) 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
176,041  —  1/12/39  6.00% (1 month  Synthetic TRS Index  (344) 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
467,425  —  1/12/40  4.00% (1 month  Synthetic TRS Index  (2,132) 
      USD-LIBOR)  4.00% 30 year Fannie   
        Mae pools   
185,055  —  1/12/39  6.00% (1 month  Synthetic TRS Index  (361) 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
370,109  —  1/12/39  6.00% (1 month  Synthetic TRS Index  (722) 
      USD-LIBOR)  6.00% 30 year Fannie   
        Mae pools   
11,820  —  1/12/38  6.50% (1 month  Synthetic TRS Index  (39) 
      USD-LIBOR)  6.50% 30 year Fannie   
        Mae pools   
169,234  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (855) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
328,436  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (1,659) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   
203,037  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (1,025) 
      USD-LIBOR  6.50% 30 year Fannie   
        Mae pools   

 

60 Master Intermediate Income Trust 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.   
    Upfront    Payments  Total return  Unrealized 
Swap counterparty/  premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Goldman Sachs International cont.         
  $15,615  $—  1/12/38  (6.50%) 1 month  Synthetic MBX Index  $(79) 
        USD-LIBOR  6.50% 30 year Fannie   
          Mae pools   
  41,611  —  1/12/38  (6.50%) 1 month  Synthetic MBX Index  (210) 
        USD-LIBOR  6.50% 30 year Fannie   
          Mae pools   
  1,742,507  —  1/12/42  4.00% (1 month  Synthetic TRS Index  (13,414) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  1,517,896  —  1/12/42  4.00% (1 month  Synthetic TRS Index  (11,685) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  1,139,579  —  1/12/41  (5.00%) 1 month  Synthetic TRS Index  8,528 
        USD-LIBOR  5.00% 30 year Fannie   
          Mae pools   
  1,633,699  —  1/12/44  3.50% (1 month  Synthetic TRS Index  (12,225) 
        USD-LIBOR)  3.50% 30 year Fannie   
          Mae pools   
  1,290,917  —  1/12/44  3.50% (1 month  Synthetic TRS Index  (9,660) 
        USD-LIBOR)  3.50% 30 year Fannie   
          Mae pools   
  597,206  —  1/12/44  3.50% (1 month  Synthetic TRS Index  (4,469) 
        USD-LIBOR)  3.50% 30 year Fannie   
          Mae pools   
  660,654  —  1/12/45  4.00% (1 month  Synthetic TRS Index  (5,807) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  750,397  —  1/12/43  (3.50%) 1 month  Synthetic TRS Index  6,671 
        USD-LIBOR  3.50% 30 year Fannie   
          Mae pools   
  3,494,764  —  1/12/45  4.00% (1 month  Synthetic TRS Index  (30,718) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  1,182,693  —  1/12/44  (3.00%) 1 month  Synthetic TRS Index  8,776 
        USD-LIBOR  3.00% 30 year Fannie   
          Mae pools   
  2,900,112  —  1/12/41  (4.00%) 1 month  Synthetic TRS Index  21,412 
        USD-LIBOR  4.00% 30 year Fannie   
          Mae pools   
EUR  10,371,000  —  8/10/17  (0.63%)  Eurostat Eurozone  9,769 
          HICP excluding   
          tobacco   
EUR  3,424,000  —  8/11/17  (0.63%)  Eurostat Eurozone  3,225 
          HICP excluding   
          tobacco   
EUR  2,881,000  —  8/31/17  (0.27%)  Eurostat Eurozone  24,978 
          HICP excluding   
          tobacco   

 

Master Intermediate Income Trust 61 

 


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.   
    Upfront    Payments  Total return  Unrealized 
Swap counterparty/  premium  Termination  received (paid) by  received by  appreciation/ 
Notional amount  received (paid)  date  fund per annum  or paid by fund  (depreciation) 
Goldman Sachs International cont.         
EUR  2,881,000  $—  9/1/17  (0.37%)  Eurostat Eurozone  $18,800 
          HICP excluding   
          tobacco   
GBP  1,060,000  —  11/10/26  3.56%  GBP Non-revised UK  11,695 
          Retail Price Index   
GBP  1,060,000  —  11/18/26  3.52%  GBP Non-revised UK  5,017 
          Retail Price Index   
JPMorgan Chase Bank N.A.         
  $2,285,175  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (16,872) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  1,306,867  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (9,649) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  2,001,847  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (14,780) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  1,240,545  —  1/12/41  4.00% (1 month  Synthetic TRS Index  (9,159) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  1,139,579  —  1/12/41  (5.00%) 1 month  Synthetic TRS Index  8,533 
        USD-LIBOR  5.00% 30 year Fannie   
          Mae pools   
JPMorgan Securities LLC         
  1,615,267  —  1/12/44  4.00% (1 month  Synthetic TRS Index  (11,924) 
        USD-LIBOR)  4.00% 30 year Fannie   
          Mae pools   
  250,481  —  1/12/43  (3.50%) 1 month  Synthetic TRS Index  2,227 
        USD-LIBOR  3.50% 30 year Fannie   
          Mae pools   
  5,055,040  —  1/12/42  (4.00%) 1 month  Synthetic TRS Index  38,913 
        USD-LIBOR  4.00% 30 year Fannie   
          Mae pools   
Total    $—        $71,882 

 

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited)     
    Upfront      Payments   
    premium    Termi-  received  Unrealized 
Swap counterparty/    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Bank of America N.A.             
CMBX NA BBB– Index  BBB–/P  $4,375  $64,000  5/11/63  300 bp  $(3,774) 
CMBX NA BBB– Index  BBB–/P  8,497  141,000  5/11/63  300 bp  (9,455) 
CMBX NA BBB– Index  BBB–/P  17,409  282,000  5/11/63  300 bp  (18,494) 
CMBX NA BBB– Index  BBB–/P  16,587  291,000  5/11/63  300 bp  (20,462) 

 

62 Master Intermediate Income Trust 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.     
    Upfront      Payments   
    premium    Termi-  received  Unrealized 
Swap counterparty/    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Credit Suisse International             
CMBX NA BBB– Index  —  $(17,851)  $265,000  1/17/47  (300 bp)  $6,189 
CMBX NA BB Index  —  (72,135)  514,000  1/17/47  (500 bp)  17,932 
CMBX NA BB Index  —  (47,639)  2,699,000  5/11/63  (500 bp)  500,603 
CMBX NA BB Index  —  (88,569)  541,000  1/17/47  (500 bp)  6,229 
CMBX NA BB Index  —  (1,359)  140,000  1/17/47  (500 bp)  23,173 
CMBX NA BB Index  —  (26,174)  138,000  1/17/47  (500 bp)  (1,992) 
CMBX NA BBB– Index  BBB–/P  3,573  73,000  5/11/63  300 bp  (5,721) 
CMBX NA BBB– Index  BBB–/P  16,378  177,000  5/11/63  300 bp  (6,157) 
CMBX NA BBB– Index  BBB–/P  26,552  201,000  5/11/63  300 bp  961 
CMBX NA BBB– Index  BBB–/P  19,904  253,000  5/11/63  300 bp  (12,307) 
CMBX NA BBB– Index  BBB–/P  22,044  265,000  5/11/63  300 bp  (11,695) 
CMBX NA BBB– Index  BBB–/P  36,946  303,000  5/11/63  300 bp  (1,757) 
CMBX NA BBB– Index  BBB–/P  37,500  308,000  5/11/63  300 bp  (1,714) 
CMBX NA BBB– Index  BBB–/P  43,743  358,000  5/11/63  300 bp  (1,836) 
CMBX NA BBB– Index  BBB–/P  49,135  531,000  5/11/63  300 bp  (18,471) 
CMBX NA BBB– Index  BBB–/P  70,756  834,000  5/11/63  300 bp  (35,426) 
CMBX NA BBB– Index  BBB–/P  73,145  1,491,000  5/11/63  300 bp  (116,684) 
CMBX NA BBB– Index  BBB–/P  68,630  1,045,000  1/17/47  300 bp  (26,169) 
CMBX NA BBB– Index  BBB–/P  997,481  13,495,000  1/17/47  300 bp  (226,740) 
Goldman Sachs International           
CMBX NA BB Index  —  (125,419)  1,226,000  5/11/63  (500 bp)  123,616 
CMBX NA BB Index  —  (32,233)  213,000  1/17/47  (500 bp)  5,091 
CMBX NA BB Index  —  (8,913)  61,000  5/11/63  (500 bp)  3,478 
CMBX NA BB Index  —  (75,236)  445,000  1/17/47  (500 bp)  2,740 
CMBX NA BB Index  —  (25,381)  125,000  1/17/47  (500 bp)  (3,478) 
CMBX NA BBB– Index  BBB–/P  6,758  78,000  5/11/63  300 bp  (3,173) 
CMBX NA BBB– Index  BBB–/P  10,295  122,000  5/11/63  300 bp  (5,237) 
CMBX NA BBB– Index  BBB–/P  9,733  123,000  5/11/63  300 bp  (5,927) 
CMBX NA BBB– Index  BBB–/P  15,274  181,000  5/11/63  300 bp  (7,770) 
CMBX NA BBB– Index  BBB–/P  15,166  183,000  5/11/63  300 bp  (8,133) 
CMBX NA BBB– Index  BBB–/P  11,095  226,000  5/11/63  300 bp  (17,679) 
CMBX NA BBB– Index  BBB–/P  16,691  245,000  5/11/63  300 bp  (14,502) 
CMBX NA BBB– Index  BBB–/P  22,538  261,000  5/11/63  300 bp  (10,692) 
CMBX NA BBB– Index  BBB–/P  13,442  271,000  5/11/63  300 bp  (21,061) 
CMBX NA BBB– Index  BBB–/P  13,211  271,000  5/11/63  300 bp  (21,292) 
CMBX NA BBB– Index  BBB–/P  14,449  277,000  5/11/63  300 bp  (20,818) 
CMBX NA BBB– Index  BBB–/P  36,039  296,000  5/11/63  300 bp  (1,647) 
CMBX NA BBB– Index  BBB–/P  37,011  765,000  5/11/63  300 bp  (60,386) 
CMBX NA BBB– Index  —  (24,863)  369,000  1/17/47  (300 bp)  8,611 
CMBX NA BBB– Index  —  (17,723)  261,000  1/17/47  (300 bp)  5,954 
CMBX NA BBB– Index  —  (14,964)  184,000  1/17/47  (300 bp)  1,728 
CMBX NA BBB– Index  —  (16,199)  156,000  1/17/47  (300 bp)  (2,048) 
CMBX NA BBB– Index  —  (9,453)  137,000  1/17/47  (300 bp)  2,975 
CMBX NA BBB– Index  BBB–/P  51,111  600,000  1/17/47  300 bp  (3,319) 

 

Master Intermediate Income Trust 63 

 


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited) cont.     
    Upfront      Payments   
    premium    Termi-  received  Unrealized 
Swap counterparty/    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
Goldman Sachs International cont.           
CMBX NA BBB– Index  BBB–/P  $56,109  $805,000  1/17/47  300 bp  $(16,918) 
CMBX NA BBB– Index  BBB–/P  90,359  1,040,000  1/17/47  300 bp  (3,986) 
CMBX NA BBB– Index  BBB–/P  206,370  2,792,000  1/17/47  300 bp  (46,911) 
JPMorgan Securities LLC             
CMBX NA BB Index  —  (83,798)  596,000  5/11/63  (500 bp)  37,266 
CMBX NA BB Index  —  (53,936)  372,000  5/11/63  (500 bp)  21,628 
CMBX NA BB Index  —  (37,251)  259,000  5/11/63  (500 bp)  15,359 
CMBX NA BB Index  —  (15,954)  120,000  5/11/63  (500 bp)  8,421 
CMBX NA BB Index  —  (89,046)  570,000  1/17/47  (500 bp)  10,833 
CMBX NA BB Index  —  (63,627)  387,000  1/17/47  (500 bp)  4,186 
CMBX NA BB Index  —  (59,921)  375,000  1/17/47  (500 bp)  5,789 
CMBX NA BB Index  —  (14,429)  95,000  1/17/47  (500 bp)  2,217 
CMBX NA BBB– Index  BBB–/P  8,358  58,000  5/11/63  300 bp  974 
CMBX NA BBB– Index  BBB–/P  14,611  118,000  5/11/63  300 bp  (461) 
CMBX NA BBB– Index  BBB–/P  8,493  123,000  5/11/63  300 bp  (7,167) 
CMBX NA BBB– Index  BBB–/P  9,499  154,000  5/11/63  300 bp  (10,107) 
CMBX NA BBB– Index  BBB–/P  13,220  155,000  5/11/63  300 bp  (6,514) 
CMBX NA BBB– Index  BBB–/P  22,776  156,000  5/11/63  300 bp  2,915 
CMBX NA BBB– Index  BBB–/P  6,936  157,000  5/11/63  300 bp  (13,053) 
CMBX NA BBB– Index  BBB–/P  15,579  183,000  5/11/63  300 bp  (7,720) 
CMBX NA BBB– Index  BBB–/P  19,653  307,000  5/11/63  300 bp  (19,433) 
CMBX NA BBB– Index  BBB–/P  16,411  308,000  5/11/63  300 bp  (22,803) 
CMBX NA BBB– Index  BBB–/P  15,686  308,000  5/11/63  300 bp  (23,527) 
CMBX NA BBB– Index  BBB–/P  30,622  312,000  5/11/63  300 bp  (9,100) 
CMBX NA BBB– Index  BBB–/P  36,385  320,000  5/11/63  300 bp  (4,356) 
CMBX NA BBB– Index  BBB–/P  43,710  353,000  5/11/63  300 bp  (1,380) 
CMBX NA BBB– Index  BBB–/P  30,123  368,000  5/11/63  300 bp  (16,730) 
CMBX NA BBB– Index  BBB–/P  46,308  395,000  5/11/63  300 bp  (3,982) 
CMBX NA BBB– Index  BBB–/P  56,090  1,014,000  5/11/63  300 bp  (73,009) 
CMBX NA BBB– Index  BBB–/P  90,887  1,159,000  5/11/63  300 bp  (56,669) 
CMBX NA BBB– Index  —  (118,259)  1,284,000  1/17/47  (300 bp)  (1,781) 
CMBX NA BBB– Index  —  (42,678)  513,000  1/17/47  (300 bp)  3,860 
CMBX NA BBB– Index  —  (18,115)  229,000  1/17/47  (300 bp)  2,659 
CMBX NA BBB– Index  —  (8,285)  154,000  1/17/47  (300 bp)  5,686 
Total    $1,414,243        $240,550 

 

* 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 are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. 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, 2017. 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.

64 Master Intermediate Income Trust 

 


CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/17 (Unaudited)   
    Upfront      Payments   
    premium    Termi-  received  Unrealized 
    received  Notional  nation  (paid) by fund  appreciation/ 
Referenced debt*  Rating***  (paid)**  amount  date  per annum  (depreciation) 
NA HY Series 27 Index  B+/P  $1,064,362  $15,051,960  12/20/21  500 bp  $(144,532) 
Total    $1,064,362        $(144,532) 

 

* 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 are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. 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, 2017. 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.

Master Intermediate Income Trust 65 

 


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  $—­  $—­  $10,017 
Energy  153,425  1,400  5,913 
Health care  —­  8,364  —­ 
Utilities and power  —­  12,766  —­ 
Total common stocks  153,425  22,530  15,930 
 
Convertible bonds and notes  —­  64,597  —­ 
Corporate bonds and notes  —­  90,351,912  2­ 
Foreign government and agency bonds and notes    19,723,872   
Mortgage-backed securities  —­  137,227,764  —­ 
Purchased options outstanding  —­  1,060,731  —­ 
Purchased swap options outstanding  —­  970,972  —­ 
Senior loans  —­  5,389,397  —­ 
U.S. government and agency mortgage obligations  —­  239,635,668  —­ 
Warrants  5,405  —­  —­ 
Short-term investments  11,643,802  9,328,520  —­ 
Totals by level  $11,802,632  $503,775,963  $15,932 
 
    Valuation inputs  
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  $—­  $321,483  $—­ 
Futures contracts  (34,670)  —­  —­ 
Written options outstanding  —­  (814,777)  —­ 
Written swap options outstanding  —­  (1,306,973)  —­ 
Forward premium swap option contracts  —­  2,130  —­ 
TBA sale commitments  —­  (227,497,424)  —­ 
Interest rate swap contracts  —­  (502,481)  —­ 
Total return swap contracts  —­  71,882  —­ 
Credit default contracts  —­  (2,863,687)  —­ 
Totals by level  $(34,670)  $(232,589,847)  $—­ 

 

* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.

During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund’s net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.

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.

66 Master Intermediate Income Trust 

 


Statement of assets and liabilities 3/31/17 (Unaudited)

ASSETS   
Investment in securities, at value (Note 1):   
Unaffiliated issuers (identified cost $504,693,225)  $504,430,725 
Affiliated issuers (identified cost $11,163,802) (Notes 1 and 5)  11,163,802 
Cash  99,191 
Foreign currency (cost $231,753) (Note 1)  231,811 
Dividends, interest and other receivables  3,458,689 
Receivable for investments sold  2,930,405 
Receivable for sales of delayed delivery securities (Note 1)  167,485,903 
Receivable for variation margin (Note 1)  1,161,770 
Unrealized appreciation on forward premium swap option contracts (Note 1)  138,674 
Unrealized appreciation on forward currency contracts (Note 1)  1,423,920 
Unrealized appreciation on OTC swap contracts (Note 1)  1,197,980 
Premium paid on OTC swap contracts (Note 1)  1,209,410 
Prepaid assets  39,122 
Total assets  694,971,402 
 
LIABILITIES   
Payable for investments purchased  5,539,811 
Payable for purchases of delayed delivery securities (Note 1)  180,512,999 
Payable for compensation of Manager (Note 2)  502,205 
Payable for custodian fees (Note 2)  74,010 
Payable for investor servicing fees (Note 2)  22,507 
Payable for Trustee compensation and expenses (Note 2)  169,501 
Payable for administrative services (Note 2)  1,009 
Payable for variation margin (Note 1)  1,254,740 
Distributions payable to shareholders  1,397,216 
Unrealized depreciation on OTC swap contracts (Note 1)  1,722,267 
Premium received on OTC swap contracts (Note 1)  2,623,653 
Unrealized depreciation on forward currency contracts (Note 1)  1,102,437 
Unrealized depreciation on forward premium swap option contracts (Note 1)  136,544 
Written options outstanding, at value (premiums $4,494,487) (Notes 1 and 3)  2,121,750 
TBA sale commitments, at value (proceeds receivable $225,993,477) (Note 1)  227,497,424 
Collateral on certain derivative contracts, at value (Note 1)  675,219 
Other accrued expenses  166,042 
Total liabilities  425,519,334 
 
Net assets  $269,452,068 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $419,350,288 
Undistributed net investment income (Note 1)  1,003,109 
Accumulated net realized loss on investments and foreign currency transactions (Note 1)  (150,973,942) 
Net unrealized appreciation of investments and assets and liabilities in foreign currencies  72,613 
Total — Representing net assets applicable to capital shares outstanding  $269,452,068 
 
COMPUTATION OF NET ASSET VALUE   
Net asset value per share   
($269,452,068 divided by 53,551,623 shares)  $5.03 

 

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

 

Master Intermediate Income Trust 67 

 


Statement of operations Six months ended 3/31/17 (Unaudited)

INVESTMENT INCOME   
Interest (including interest income of $32,134 from investments in affiliated issuers) (Note 5)  $8,158,607 
Dividends  22,782 
Total investment income  8,181,389 
 
EXPENSES   
Compensation of Manager (Note 2)  996,449 
Investor servicing fees (Note 2)  66,947 
Custodian fees (Note 2)  46,629 
Trustee compensation and expenses (Note 2)  6,952 
Administrative services (Note 2)  4,716 
Auditing and tax fees  79,090 
Other  110,799 
Total expenses  1,311,582 
Expense reduction (Note 2)  (301) 
Net expenses  1,311,281 
 
Net investment income  6,870,108 
 
Net realized loss on investments (Notes 1 and 3)  (4,185,013) 
Net realized gain on swap contracts (Note 1)  8,034,863 
Net realized gain on futures contracts (Note 1)  21,220 
Net realized gain on foreign currency transactions (Note 1)  2,186,462 
Net realized loss on written options (Notes 1 and 3)  (1,507,913) 
Net unrealized depreciation of assets and liabilities in foreign currencies during the period  (480,104) 
Net unrealized appreciation of investments, futures contracts, swap contracts, written options   
and TBA sale commitments during the period  6,370,664 
Net gain on investments  10,440,179 
 
Net increase in net assets resulting from operations  $17,310,287 

 

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

 

68 Master Intermediate Income Trust 

 


Statement of changes in net assets

INCREASE (DECREASE) IN NET ASSETS  Six months ended 3/31/17*  Year ended 9/30/16 
Operations     
Net investment income  $6,870,108  $15,350,484 
Net realized gain (loss) on investments     
and foreign currency transactions  4,549,619  (18,656,701) 
Net unrealized appreciation of investments and assets     
and liabilities in foreign currencies  5,890,560  10,365,885 
Net increase in net assets resulting from operations  17,310,287  7,059,668 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income  (8,378,917)  (16,980,534) 
Decrease from shares repurchased (Note 4)  (2,713,320)  (4,916,584) 
Total increase (decrease) in net assets  6,218,050  (14,837,450) 
 
NET ASSETS     
Beginning of period  263,234,018  278,071,468 
End of period (including undistributed net investment     
income of $1,003,109 and $2,511,918, respectively)  $269,452,068  $263,234,018 
 
NUMBER OF FUND SHARES     
Shares outstanding at beginning of period  54,159,566  55,281,859 
Shares repurchased (Note 4)  (607,943)  (1,122,293) 
Shares outstanding at end of period  53,551,623  54,159,566 

 

* Unaudited.

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

Master Intermediate Income Trust 69 

 


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

PER-SHARE OPERATING PERFORMANCE           
  Six months           
  ended**      Year ended     
  3/31/17  9/30/16  9/30/15  9/30/14  9/30/13  9/30/12 
Net asset value, beginning of period  $4.86  $5.03  $5.65  $5.50  $5.42  $5.34 
Investment operations:             
Net investment incomea  .13  .28  .25  .29  .30  .27 
Net realized and unrealized             
gain (loss) on investments  .19  (.15)  (.58)  .12  .06  .15 
Total from investment operations  .32  .13  (.33)  .41  .36  .42 
Less distributions:             
From net investment income  (.16)  (.31)  (.31)  (.31)  (.31)  (.09) 
From return of capital  —  —  —  —  —  (.25) 
Total distributions  (.16)  (.31)  (.31)  (.31)  (.31)  (.34) 
Increase from shares repurchased  .01  .01  .02  .05  .03  — 
Net asset value, end of period  $5.03  $4.86  $5.03  $5.65  $5.50  $5.42 
Market value, end of period  $4.69  $4.42  $4.51  $5.03  $4.88  $5.18 
Total return at market value (%)b  9.73*  5.08  (4.37)  9.56  0.15  9.56 
 
RATIOS AND SUPPLEMENTAL DATA             
Net assets, end of period             
(in thousands)  $269,452  $263,234  $278,071  $326,567  $345,144  $356,296 
Ratio of expenses to average             
net assets (%)c  .49*  1.00  .96  .99  .94  .96 
Ratio of net investment income             
to average net assets (%)  2.56*  5.82  4.58  5.21  5.31  4.94 
Portfolio turnover (%)e  470*d  823 d  724d  389d  244e  157e 

 

* Not annualized.

** Unaudited.

a Per share net investment income has been determined on the basis of 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 Portfolio turnover excludes TBA purchase and sales commitments. Including TBA purchase and sale commitments to conform with current year presentation, the portfolio turnover would have been the following:

  Portfolio turnover % 
September 30, 2013  642% 
September 30, 2012  472 

 

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

 

70 Master Intermediate Income Trust 

 


Notes to financial statements 3/31/17 (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, 2016 through March 31, 2017.

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 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, 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. All premiums/discounts are amortized/accreted on a yield-to-maturity basis. The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.

Securities purchased or sold on a 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 rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting

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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 closed forward currency contracts, 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 open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

Options contracts The fund uses options contracts to hedge 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 to gain 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 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.

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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 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 total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC 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 is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

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

Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, 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

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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 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

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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 posted 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 $2,157,167 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,338,273 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.

At September 30, 2016, the fund had a capital loss carryover of $147,245,538 available to the extent allowed by the Code to offset future net capital gain, if any. For any carryover, the amount of the carryover and that carryover’s expiration date is:

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Loss carryover 
Short-term  Long-term  Total  Expiration 
$40,338,097  $32,717,568  $73,055,665  * 
28,970,279  N/A  28,970,279  September 30, 2017 
45,219,594  N/A  45,219,594  September 30, 2018 

 

* Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

The aggregate identified cost on a tax basis is $524,167,799, resulting in gross unrealized appreciation and depreciation of $4,655,489 and $13,228,761, respectively, or net unrealized depreciation of $8,573,272.

Distributions to shareholders Income dividends are recorded daily by the fund and are paid monthly. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. 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:

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

 

For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.370% 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.

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.

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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 $301 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $208, 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)  $1,453,127,740  $1,524,038,889 
U.S. government securities (Long-term)  —  — 
Total  $1,453,127,740  $1,524,038,889 

 

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.

Written option transactions during the reporting period are summarized as follows:

  Written swap       
  option contract  Written swap  Written option  Written option 
  amounts  option premiums  contract amounts  premiums 
Written options outstanding at the         
beginning of the reporting period  $375,102,000  $2,542,378  $76,000,000  $251,094 
Options opened  1,817,314,800  5,437,803  895,816,600  4,684,632 
Options exercised  (67,795,800)  (329,340)  —  — 
Options expired  (667,491,000)  (1,558,657)  —  — 
Options closed  (793,172,400)  (2,777,382)  (717,279,300)  (3,756,041) 
Written options outstanding at the         
end of the reporting period  $663,957,600  $3,314,802  $254,537,300  $1,179,685 

 

78 Master Intermediate Income Trust 

 


Note 4: Shares repurchased

In September 2016, 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 12-month period ending October 7, 2017 (based on shares outstanding as of October 7, 2016). 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 12-month period ending October 7, 2016 (based on shares outstanding as of October 7, 2015). 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.

For the reporting period, the fund repurchased 607,943 common shares for an aggregate purchase price of $2,713,320, which reflects a weighted-average discount from net asset value per share of 9.25%. The weighted-average discount reflects the payment of commissions by the fund to execute repurchase trades. At the close of the reporting period, Putnam Investments, LLC owned approximately 1,357 shares of the fund (0.003% of the fund’s shares outstanding), valued at $6,826 based on net asset value.

For the previous fiscal year, the fund repurchased 1,122,293 common shares for an aggregate purchase price of $4,916,584, which reflected a weighted-average discount from net asset value per share of 9.25%. The weighted-average discount reflected the payment of commissions by the fund to execute repurchase trades.

Note 5: Affiliated transactions

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

  Fair value at the        Fair value at 
  beginning of the      Investment  the end of the 
Name of affiliate  reporting period  Purchase cost  Sale proceeds  income  reporting period 
Putnam Short Term           
Investment Fund*  $9,455,363  $59,864,354  $58,155,915  $32,134  $11,163,802 
Totals  $9,455,363  $59,864,354  $58,155,915  $32,134  $11,163,802 

 

* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

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 in higher-yielding, lower-rated bonds that may have a higher rate of default. 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.

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.

Master Intermediate Income Trust 79 

 


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 TBA commitment option contracts (contract amount)  $121,000,000 
Purchased currency options (contract amount)  $6,900,000 
Purchased swap option contracts (contract amount)  $988,800,000 
Written TBA commitment option contracts (contract amount) (Note 3)  $166,000,000 
Written currency options (contract amount) (Note 3)  $6,800,000 
Written swap option contracts (contract amount) (Note 3)  $444,000,000 
Futures contracts (number of contracts)  30 
Forward currency contracts (contract amount)  $234,900,000 
OTC interest rate swap contracts (notional)  $5,300,000 
Centrally cleared interest rate swap contracts (notional)  $538,100,000 
OTC total return swap contracts (notional)  $112,400,000 
OTC credit default contracts (notional)  $43,100,000 
Centrally cleared credit default contracts (notional)  $6,500,000 
Warrants (number of warrants)  3,000 

 

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 
  Receivables, Net assets —    Payables, Net assets —   
Credit contracts  Unrealized appreciation  $2,026,334  Unrealized depreciation  $4,890,021* 
Foreign exchange         
contracts  Investments, Receivables  1,527,304  Payables  1,169,735 
  Investments, Receivables,       
  Net assets — Unrealized    Payables, Net assets —   
Equity contracts  appreciation  5,405  Unrealized depreciation  — 
  Investments, Receivables,       
  Net assets — Unrealized    Payables, Net assets —   
Interest rate contracts  appreciation  3,353,253*  Unrealized depreciation  3,942,525* 
Total    $6,912,296    $10,002,281 

 

* 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.

 

80 Master Intermediate Income Trust 

 


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 for as        Forward     
hedging instruments        currency     
under ASC 815  Warrants  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $161,700  $161,700 
Foreign exchange             
contracts  —  338,821  —  2,195,835  —  2,534,656 
Equity contracts  2,516  —  —  —  —  2,516 
Interest rate contracts  —  (3,951,109)  21,220  —  7,873,163  3,943,274 
Total  $2,516  $(3,612,288)  $21,220  $2,195,835  $8,034,863  $6,642,146 
 
 
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments 
 
Derivatives not             
accounted for as        Forward     
hedging instruments        currency     
under ASC 815  Warrants  Options  Futures  contracts  Swaps  Total 
Credit contracts  $—  $—  $—  $—  $(488,442)  $(488,442) 
Foreign exchange             
contracts  —  (15,186)  —  (483,910)  —  (499,096) 
Equity contracts  (1,344)  —  —  —  —  (1,344) 
Interest rate contracts  —  119,442  98,907  —  (13,090)  205,259 
Total  $(1,344)  $104,256  $98,907  $(483,910)  $(501,532)  $(783,623) 

 

Note 9: New pronouncements

In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Putnam Management is currently evaluating the amendments and their impact, if any, on the fund’s financial statements.

Note 10: 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.

Master Intermediate Income Trust 81 

 


  Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG GoldmanSachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp. Total
Assets:                                 
OTC Interest rate                                 
swap contracts*#  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $— 
Centrally cleared interest rate  —  —  1,154,828  —  —  —  —  —  —  —  —  —  —  —  —  1,154,828 
swap contracts§                                 
OTC Total return  —  158,165  —  15,515  24,683  —  118,871  —  8,533  41,140  —  —  —  —  —  366,907 
swap contracts*#                                 
OTC Credit default contracts*#  —  —  —  —  805,861  —  499,051  —  —  721,422  —  —  —  —  —  2,026,334 
Centrally cleared credit                                 
default contracts§  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  — 
Futures contracts§  —  —  —  —  —  —  —  —  —  —  6,942  —  —  —  —  6,942 
Forward currency contracts #  292,405  40,655  —  314,297  83,272  —  228,108  13,241  222,817  —  —  108,080  36,853  58,025  26,167  1,423,920 
Forward premium swap                                 
option contracts #  71,778  —  —  —  —  —  1,109  —  65,787  —  —  —  —  —  —  138,674 
Purchased swap options**#  143,728  182,944  —  334,148  3,698  —  10,354  —  296,100  —  —  —  —  —  —  970,972 
Purchased options**#  6,907  —  —  —  —  —  96,477  —  957,347  —  —  —  —  —  —  1,060,731 
Total Assets  $514,818  $381,764  $1,154,828  $663,960  $917,514  $—  $953,970  $13,241  $1,550,584  $762,562  $6,942  $108,080  $36,853  $58,025  $26,167  $7,149,308 
Liabilities:                                 
OTC Interest rate                                 
swap contracts*#  —  —  —  —  —  —  —  —  355,619  —  —  —  —  —  —  355,619 
Centrally cleared interest rate  —  —  1,254,538  —  —  —  —  —  —  —  —  —  —  —  —  1,254,538 
swap contracts§                                 
OTC Total return  —  52,498  —  —  63,995  1,762  114,386  —  50,460  11,924  —  —  —  —  —  295,025 
swap contracts*#                                 
OTC Credit default contracts*#  99,053  —  —  —  1,929,503  —  895,102  —  —  757,469  —  —  —  —  —  3,681,127 
Centrally cleared credit                                 
default contracts§  —  —  202  —  —  —  —  —  —  —  —  —  —  —  —  202 
Futures contracts§  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  — 
Forward currency contracts #  58,804  62,755  —  159,480  7,939  —  142,693  34,342  219,486  —  —  121,882  95,843  170,421  28,792  1,102,437 
Forward premium swap                                 
option contracts #  71,215  11,094  —  —  —  —  1,058  —  53,177  —  —  —  —  —  —  136,544 
Written swap options #  134,994  289,557  —  148,312  136,603  —  777  —  596,730  —  —  —  —  —  —  1,306,973 
Written options #  54,717  —  —  —  —  —  12,581  —  747,479  —  —  —  —  —  —  814,777 
Total Liabilities  $418,783  $415,904  $1,254,740  $307,792  $2,138,040  $1,762  $1,166,597  $34,342  $2,022,951  $769,393  $—  $121,882  $95,843  $170,421  $28,792  $8,947,242 
Total Financial and  $96,035  $(34,140)  $(99,912)  $356,168  $(1,220,526)  $(1,762)  $(212,627)  $(21,101)  $(472,367)  $(6,831)  $6,942  $(13,802)  $(58,990)  $(112,396)  $(2,625)  $(1,797,934) 
Derivative Net Assets                                 
Total collateral                                 
received (pledged)†##  $96,035  $(34,140)  $—  $356,168  $(1,220,526)  $—  $(160,630)  $—  $(472,367)  $—  $—  $—  $—  $(109,747)  $—   
Net amount  $—  $—  $(99,912)  $—  $—  $(1,762)  $(51,997)  $(21,101)  $—  $(6,831)  $6,942  $(13,802)  $(58,990)  $(2,649)  $(2,625)   

 

82 Master Intermediate Income Trust  Master Intermediate Income Trust 83 

 


* 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.

Shareholder meeting results (Unaudited)

April 28, 2017 annual meeting

At the meeting, a proposal to fix the number of Trustees at 12 was approved as follows:

Votes for  Votes against  Abstentions 
44,971,302  1,444,069  918,214 

 

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

 

  Votes for  Votes withheld 
Liaquat Ahamed  45,305,030  2,028,559 
Ravi Akhoury  45,252,475  2,081,113 
Barbara M. Baumann  45,437,938  1,895,650 
Jameson A. Baxter  46,172,434  1,161,154 
Katinka Domotorffy  45,434,091  1,899,497 
Catharine Bond Hill  45,427,436  1,906,151 
Paul L. Joskow  45,378,003  1,955,584 
Kenneth R. Leibler  45,429,051  1,904,537 
Robert E. Patterson  45,397,426  1,936,162 
George Putnam, III  46,170,126  1,163,462 
Robert L. Reynolds  45,443,931  1,889,657 
Manoj P. Singh  45,265,860  2,067,729 

 

All tabulations are rounded to the nearest whole number.

 

84 Master Intermediate Income Trust 

 


Fund information

Founded over 75 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 over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.

Investment Manager  Trustees  James F. Clark 
Putnam Investment  Jameson A. Baxter, Chair  Vice President and 
Management, LLC  Kenneth R. Leibler, Vice Chair  Chief Compliance Officer 
One Post Office Square  Liaquat Ahamed   
Boston, MA 02109  Ravi Akhoury  Michael J. Higgins 
  Barbara M. Baumann  Vice President, Treasurer, 
Investment Advisor  Robert J. Darretta  and Clerk 
Putnam Investments Limited  Katinka Domotorffy 
57–59 St James’s Street  Catharine Bond Hill  Janet C. Smith 
London, England SW1A 1LD  John A. Hill  Vice President, 
Paul L. Joskow  Principal Financial Officer, 
Marketing Services  Robert E. Patterson  Principal Accounting Officer, 
Putnam Retail Management  George Putnam, III  and Assistant Treasurer 
One Post Office Square  Robert L. Reynolds   
Boston, MA 02109  Manoj P. Singh  Susan G. Malloy 
  W. Thomas Stephens  Vice President and 
Custodian  Assistant Treasurer 
State Street Bank  Officers   
and Trust Company  Robert L. Reynolds  Mark C. Trenchard 
  President  Vice President and 
Legal Counsel  BSA Compliance Officer 
Ropes & Gray LLP  Jonathan S. Horwitz   
Executive Vice President,  Nancy E. Florek 
  Principal Executive Officer,  Vice President, Director of 
  and Compliance Liaison  Proxy Voting and Corporate 
  Governance, Assistant Clerk, 
  Robert T. Burns  and Associate Treasurer 
  Vice President and   
  Chief Legal Officer   

 

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) Not applicable
(b) Effective February 28, 2017, Robert Davis and Brett Koslowski were added as portfolio managers of the fund.

(a)(1) Portfolio Managers. The officers of Putnam Management identified below are primarily responsible for the day-to-day management of the fund's portfolio as of the filing date of this report.


Portfolio managers Joined Fund Employer Positions Over Past Five Years
Robert Davis 2017 Putnam Management 1999-Present Portfolio Manager Previously, Analyst
Brett Kozlowski 2017 Putnam Management 2008-Present Portfolio Manager Previously, Structured Credit Specialist

(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 Davis and Brett Kozlowski managed as of the fund's most recent fiscal period-end. 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)
Number of accounts Assets Number of accounts Assets Number of accounts Assets
Brett Kozlowski 18* $7,731,300,000 16 $4,746,700,000 14 $3,086,800,000
Rob Davis 15*** $5,014,900,000 13 $1,891,700,000 10** $2,295,600,000


*   4 accounts, with total assets of $1,166,400,000 pay an advisory fee based on account performance.

**   1 account, with total assets of $462,800,000 pay an advisory fee based on account performance.

***   2 accounts, with total assets of $468,900,000 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. Putnam's goal for our products and investors is to deliver strong performance versus peers or performance ahead of the applicable benchmark, depending on the product, over a rolling 3-year period. Portfolio managers are evaluated and compensated, in part, based on their performance relative to this goal across the products they manage. In addition to their individual performance, evaluations take into account the performance of their group 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 individual, group, and subjective performance, and may also reflect the performance of Putnam as a firm. Typically, performance is measured over the lesser of three years or the length of time a portfolio manager has managed a product.

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 this fund, the peer group Putnam compares fund performance against is its broad investment category as determined by Lipper Inc. and identified in the shareholder report included in Item 1.

(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-$10,000$10,001-$50,000$50,001-$100,000$100,001-$500,000$500,001-$1,000,000$1,000,001 and over
Brett Kozlowski2017+*
2016*
Robert Davis2017+*
2016*
+ For the semi-annual period ended 3/31/17.

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 7, 2016 — — — 4,405,893
October 8 — October 31, 2016 151,599 $4.43 151,599 5,264,358
November 1 — November 30, 2016 258,789 $4.42 258,789 5,005,569
December 1 — December 31, 2016 180,735 $4.53 180,735 4,824,834
January 1 — January 31, 2017 16,820 $4.61 16,820 4,808,014
February 1 — February 28, 2017 — — — 4,808,014
March 1 — March 31, 2017 — — — 4,808,014


*   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 2015, which was in effect between October 8, 2015 and October 7, 2016, allowed the fund to repurchase up to 5,528,186 of its shares. The program renewed by the Board in September 2016, which is in effect between October 8, 2016 and October 7, 2017, allows the fund to repurchase up to 5,415,957 of its shares.
** Information prior to October 7, 2016 is based on the total number of shares eligible for repurchase under the program, as amended through September 2015. Information from October 8, 2016 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2016.

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. 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 26, 2017
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 26, 2017
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer

Date: May 26, 2017