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

| 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

Message from the Trustees | 1 |  |
About the fund | 2 |  |
Interview with your fund’s portfolio manager | 5 |  |
Your fund’s performance | 11 |  |
Terms and definitions | 13 |  |
Other information for shareholders | 14 |  |
Summary of dividend reinvestment plans | 15 |  |
Financial statements | 17 |  |
Shareholder meeting results | 84 |  |

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.

8 Master Intermediate Income Trust

hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.

What is your outlook for the coming months?

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

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

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

ABOUT DERIVATIVES

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

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

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

Master Intermediate Income Trust 9

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

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

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

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

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

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

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

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

Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.

HOW CLOSED-END FUNDS DIFFER FROM OPEN-END FUNDS

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

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

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

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

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Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2017, the end of the first half of its current fiscal year. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.

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

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

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

Performance includes the deduction of management fees and administrative expenses.

Comparative index returns For periods ended 3/31/17

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

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

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

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

Master Intermediate Income Trust 11

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.

12 Master Intermediate Income Trust

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.

14 Master Intermediate Income Trust

Summary of Putnam Closed-End Funds’ Amended and Restated Dividend Reinvestment Plans

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

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

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

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

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

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

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

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

Master Intermediate Income Trust 15

common shares are held. Each participant will be sent reasonably promptly a confirmation by the Agent of each acquisition made for his or her account.

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

About taxes and Plan amendments

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

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

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

16 Master Intermediate Income Trust

Financial statements

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

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

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

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

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

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

Master Intermediate Income Trust 17

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

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

18 Master Intermediate Income Trust

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

Master Intermediate Income Trust 19

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

20 Master Intermediate Income Trust

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

Master Intermediate Income Trust 21

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

22 Master Intermediate Income Trust

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

Master Intermediate Income Trust 23

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

24 Master Intermediate Income Trust

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

Master Intermediate Income Trust 25

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

26 Master Intermediate Income Trust

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

Master Intermediate Income Trust 27

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

28 Master Intermediate Income Trust

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

Master Intermediate Income Trust 29

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

30 Master Intermediate Income Trust

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

Master Intermediate Income Trust 31

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

32 Master Intermediate Income Trust

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

Master Intermediate Income Trust 33

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

34 Master Intermediate Income Trust

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

Master Intermediate Income Trust 35

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

36 Master Intermediate Income Trust

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

Master Intermediate Income Trust 37

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

38 Master Intermediate Income Trust

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

Master Intermediate Income Trust 39

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

40 Master Intermediate Income Trust

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

Master Intermediate Income Trust 41

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

42 Master Intermediate Income Trust

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

Master Intermediate Income Trust 43

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

44 Master Intermediate Income Trust

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

Master Intermediate Income Trust 45

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

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

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

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

Key to holding’s currency abbreviations

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

46 Master Intermediate Income Trust

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

Key to holding’s abbreviations

FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the
| market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is
| the current interest rate at the close of the reporting period.
IO | Interest Only
OAO | Open Joint Stock Company
OJSC | Open Joint Stock Company
PO | Principal Only
REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except
| pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the
| Securities Act of 1933.
TBA | To Be Announced Commitments

Notes to the fund’s portfolio

Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from October 1, 2016 through March 31, 2017 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.

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

† This security is non-income-producing.

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

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

# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.

∆ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.

§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.

c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).

F This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).

i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).

Master Intermediate Income Trust 47

L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

P This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period (Note 1).

R Real Estate Investment Trust.

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

Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.

Debt obligations are considered secured unless otherwise indicated.

144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

See Note 1 to the financial statements regarding TBA commitments.

The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY

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

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

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

48 Master Intermediate Income Trust

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

Master Intermediate Income Trust 49

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

50 Master Intermediate Income Trust

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

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

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

Master Intermediate Income Trust 51

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

52 Master Intermediate Income Trust

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

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

Master Intermediate Income Trust 53

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

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

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

54 Master Intermediate Income Trust

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

Master Intermediate Income Trust 55

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

56 Master Intermediate Income Trust

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

E Extended effective date.

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

Master Intermediate Income Trust 57

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

58 Master Intermediate Income Trust

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

Master Intermediate Income Trust 59

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

60 Master Intermediate Income Trust

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

Master Intermediate Income Trust 61

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

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

62 Master Intermediate Income Trust

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

Master Intermediate Income Trust 63

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

* Payments related to the referenced debt are made upon a credit default event.

** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2017. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.

64 Master Intermediate Income Trust

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

* Payments related to the referenced debt are made upon a credit default event.

** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2017. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.

Master Intermediate Income Trust 65

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

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

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

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

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

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

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

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

At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.

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

66 Master Intermediate Income Trust

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

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

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

Master Intermediate Income Trust 67

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

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

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

68 Master Intermediate Income Trust

Statement of changes in net assets

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

* Unaudited.

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

Master Intermediate Income Trust 69

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

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

* Not annualized.

** Unaudited.

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

b Total return assumes dividend reinvestment.

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

d Portfolio turnover includes TBA purchase and sales commitments.

e Portfolio turnover excludes TBA purchase and sales commitments. Including TBA purchase and sale commitments to conform with current year presentation, the portfolio turnover would have been the following:

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

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

70 Master Intermediate Income Trust

Notes to financial statements 3/31/17 (Unaudited)

Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from October 1, 2016 through March 31, 2017.

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

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

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

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

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

Note 1: Significant accounting policies

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

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

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

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

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

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

Master Intermediate Income Trust 75

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 Kozlowski | 2017+ | * |  |  | 2016 | * |  | Robert Davis | 2017+ | * |  |  | 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