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

Master Intermediate Income Trust 7 

 



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.

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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   

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

Master Intermediate Income Trust 71 

 



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

72 Master Intermediate Income Trust 

 



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.

Master Intermediate Income Trust 73 

 



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

74 Master Intermediate Income Trust 

 



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:

76 Master Intermediate Income Trust 

 



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.

Master Intermediate Income Trust 77 

 



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