N-CSRS 1 a_masterintermed.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: | 100 Federal Street, Boston, Massachusetts 02110

| Name and address of agent for service: | Robert T. Burns, Vice President 100 Federal Street Boston, Massachusetts 02110

| Copy to: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036

| Registrant's telephone number, including area code: | (617) 292–1000

| Date of fiscal year end: | September 30, 2020

| Date of reporting period: | October 1, 2019 — March 31, 2020

| 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 | 20

Message from the Trustees | 1 |  |  |
About the fund | 2 |  |  |
Interview with your fund’s portfolio manager | 5 |  |  |
Your fund’s performance | 11 |  |  |
Consider these risks before investing | 13 |  |  |
Terms and definitions | 14 |  |  |
Other information for shareholders | 16 |  |  |
Summary of dividend reinvestment plans | 17 |  |  |
Financial statements | 19 |  |  |
Shareholder meeting results | 116 |  |  |

IMPORTANT NOTICE: Delivery of paper fund reports

In accordance with regulations adopted by the Securities and Exchange Commission, beginning on January 1, 2021, reports like this one will no longer be sent by mail unless you specifically request it. Instead, they will be on Putnam’s website, and you will be notified by mail whenever a new one is available, and provided with a website link to access the report.

If you wish to stop receiving paper reports sooner, or if you wish to continue to receive paper reports free of charge after January 1, 2021, please see the back cover or insert for instructions. If you invest through a bank or broker, your choice will apply to all funds held in your account. If you invest directly with Putnam, your choice will apply to all Putnam funds in your account.

If you already receive these reports electronically, no action is required.

Message from the Trustees

May 14, 2020

Dear Fellow Shareholder:

After a period of gains and relative tranquility, global financial markets encountered considerable challenges in early 2020 as COVID-19, the disease caused by the coronavirus, spread around the world. By mid-March, major U.S. indexes had fallen into bear market territory, defined as a 20% drop from a previous high. As often happens when stocks decline sharply, bonds generally provided better results. As investors rushed to safe havens, the yield on the benchmark 10-year U.S. Treasury note fell to historic lows.

Central banks and governments worldwide have enacted measures to inject liquidity into the markets and restore confidence. It is still unclear what the costs will be and how long the effects of the COVID-19 pandemic will last, but history has shown that markets recover from downturns. For investors, we believe the most important course of action is to remember your long-term goals and consult with your financial advisor. At Putnam, our investment professionals remain focused on actively managing fund portfolios with a research-intensive approach that includes risk management strategies.

We would like to take this opportunity to announce the arrival of Mona K. Sutphen to your fund’s Board of Trustees. Ms. Sutphen brings extensive professional and directorship experience to her role as a Trustee, and we are pleased to welcome her.

Thank you for investing with Putnam.

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

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

A veteran portfolio management team

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

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Allocations are shown as a percentage of the fund’s net assets as of 3/31/20. 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.

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

† 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 3/31/20. See above and pages 11–12 for additional fund performance information. Index descriptions can be found on pages 14–15.

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Bill, what was the fund’s investment environment like during the reporting period?

For much of the period, the environment was generally favorable for corporate and mortgage credit, and risk assets overall. The U.S. Federal Reserve [Fed] followed its August 2019 interest-rate cut with additional reductions in September and October. Sentiment toward global trade improved as the United States and China agreed to cooperate on an initial round of trade measures. And uncertainty over Brexit was alleviated when U.K. Prime Minister Boris Johnson’s Conservative party won a parliamentary majority.

The market environment changed dramatically in late February. Rapidly growing concerns about the economic impact of a coronavirus outbreak sparked a global sell-off in risk assets. The sharp turn in sentiment reverberated across markets, as global equities fell, developed-market government-bond yields declined, and credit spreads widened. A dispute between Russia and Saudi Arabia over oil production levels further unnerved investors. Due to heightened oil market uncertainty, U.S. crude prices dropped more than 66% during

Master Intermediate Income Trust 5

Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/20. 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.

the first quarter of 2020 to $20.48 per barrel on March 31. The rapid decline in oil prices added considerable pressure across corporate supply chains.

An escalating economic crisis elicited unprecedented measures from policy makers. The Trump administration signed a $2 trillion stimulus package into law — the largest economic relief package in U.S. history. The Fed quickly unveiled six new lending facilities designed to help corporations facing a cash flow crisis avoid defaulting on their debt. These programs also provide support for money market funds and commercial debt markets. Dozens of other central banks across Europe, Asia, and elsewhere also announced emergency stimulus measures. Markets that were most directly influenced by this policy support stabilized during the final week of March. Investors were hopeful that massive government stimulus programs would help reduce the severity and duration of an economic recession.

A flight-to-safety pushed the yields on U.S. Treasuries lower. The benchmark 10-year Treasury yield plunged to a closing low of 0.54% on March 9 and ended the six-month period at 0.70%, after beginning the period at 1.65%. The spreads on investment-grade bonds, or the risk premiums investors demand to hold these securities rather than U.S. Treasuries, widened to levels not seen since the financial crisis.

Which holdings and strategies hampered the fund’s performance?

Mortgage-credit investments were the biggest detractor for the period. Our exposure to commercial mortgage-backed securities [CMBS] — both cash bonds and synthetic exposure to the BBB-rated tranche within CMBX — performed poorly as spreads widened substantially. [Bond prices fall as spreads widen and rise as spreads tighten.] CMBX is an index

6 Master Intermediate Income Trust

that references a basket of CMBS issued in a particular year. Investors became increasingly concerned that the escalating coronavirus pandemic could severely impact cash flows in various segments of the market, particularly retail and lodging. Public health policies that curtail shopping and travel for millions of people have been constraining the revenues for many malls and travel destinations.

In the residential mortgage market, our positions in agency credit-risk transfer securities [CRTs] struggled amid growing uncertainty about the effect of mortgage-payment forbearance on CRT cash flows.

Our corporate-credit holdings also worked against performance this period. As market sentiment soured, high-yield bond prices fell and spreads more than doubled, ending the period at about 9.6 percentage points over U.S. Treasuries. This was the highest spread level since early 2016 and was well above the 20-year average of 6.1 percentage points. Smaller allocations to convertible securities and investment-grade credit modestly detracted, as spreads also widened in those markets.

It was a similar story with emerging-market debt, as our positions in Mexico, Argentina, and Egypt were further notable detractors. The sector declined along with other risk assets.

Strategies targeting prepayment risk also dampened performance this period. Lower interest rates and indiscriminate selling by investors proved to be material headwinds for our positions in agency interest-only collateralized mortgage obligations [IO CMOs], inverse IO securities, and reverse-mortgage IOs. The negative result here was partially offset by favorable tactical mortgage basis positioning. Mortgage basis is a strategy that seeks to exploit the yield differential between 30-year agency pass-throughs and 30-year U.S. Treasuries.

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 3/31/20. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.

Master Intermediate Income Trust 7

How did the fund’s interest-rate and yield-curve positioning fare during the period?

Our strategy here was the lone contributor for the period. During the fourth quarter of 2019, we shifted the portfolio’s duration to close to zero, then moved it to modestly positive during the first quarter of 2020. This positioning aided results as rates fell sharply across the curve during the latter part of the period.

How did you use derivatives during the period?

We used credit default swaps to gain exposure to CMBS via CMBX, and also to hedge the fund’s credit and market risks. We used bond futures and interest-rate swaps to take tactical positions at various points along the yield curve, and to hedge the risk associated with the fund’s curve positioning. We 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 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. Lastly, we used currency forward contracts to hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.

What is your near-term outlook?

As the period concluded, the number of coronavirus infections was still rising worldwide. We think greater clarity regarding the trajectory of coronavirus infections and deaths is needed before the economic effects can be more clearly assessed. We will continue to monitor the impact of the pandemic on global supply chains and demand dynamics.

Given the overwhelming policy responses and dramatic actions by the Fed, we think U.S.

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

Allocations may not total 100% because the 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

Treasury yields will remain low across the curve for an extended period. We also believe low oil prices will exert significant disinflationary pressure on the economy.

We plan to take a cautious approach to increasing portfolio risk over the near term. That said, given the compelling valuations resulting from substantially wider yield spreads, we will seek to capitalize on what we believe will be attractive investment opportunities once markets show signs of stabilizing.

How was the fund positioned as of March 31?

Prior to this period, we took steps to reduce risk in the portfolio on the view that volatility was likely to rise and valuations in certain sectors, particularly corporate credit, were becoming increasingly unattractive.

Reflecting the fund’s relatively cautious overall positioning, we continue to hold securities across sectors that have less price sensitivity to changes in yield spreads.

Within corporate credit, high yield remained the fund’s largest allocation. We also have modest allocations in investment-grade credit and convertible securities.

In CMBS, we continue to have exposure to CMBX tranches referencing bonds rated A and BBB-. In our view, hotel and retail properties will be negatively affected by the coronavirus and the public health measures intended to contain its spread. However, the portfolio’s CMBS exposure is diversified by property type, and we believe CMBX continues to offer the fund a unique investment opportunity.

Within prepayment-sensitive areas of the market, we plan to maintain the fund’s positions in agency IO CMOs and inverse

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

IOs backed by more seasoned loans. We believe this segment of these markets will have less sensitivity to refinancing risk in a low-interest-rate 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. Statements in the Q&A concerning the fund’s performance or portfolio composition relative to those of the fund’s Lipper peer group may reference information produced by Lipper Inc. or through a third party.

HOW CLOSED-END FUNDS DIFFER

FROM OPEN-END FUNDS

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

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

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

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

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

10 Master Intermediate Income Trust

Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2020, 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 3/31/20 |  |  |  |
| 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 | 5.67% | 37.71% | 3.25% | 7.06% | 1.37% | 0.25% | 0.08% | –7.37% | –11.14%
Market price | 5.90 | 31.39 | 2.77 | 17.54 | 3.29 | 7.17 | 2.34 | –2.85 | –7.57

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 3/31/20 |  |  |  |
| 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
ICE BofA |  |  |  |  |  |  |  |  |
U.S. Treasury | — | 6.90% | 0.67% | 6.26% | 1.22% | 5.69% | 1.86% | 2.38% | 1.13%
Bill Index* |  |  |  |  |  |  |  |  |
Bloomberg |  |  |  |  |  |  |  |  |
Barclays |  |  |  |  |  |  |  |  |
Government/ | 6.30% | 50.10 | 4.15 | 19.01 | 3.54 | 16.33 | 5.17 | 9.82 | 3.36
Credit Bond Index |  |  |  |  |  |  |  |  |
FTSE Non-U.S. |  |  |  |  |  |  |  |  |
World Government | — | 14.71 | 1.38 | 12.55 | 2.39 | 9.72 | 3.14 | 1.79 | –1.95
Bond Index |  |  |  |  |  |  |  |  |
JPMorgan Global |  |  |  |  |  |  |  |  |
High Yield Index† | — | 72.03 | 5.58 | 13.91 | 2.64 | 0.17 | 0.06 | –8.95 | –12.40
Lipper Closed-end |  |  |  |  |  |  |  |  |
General Bond |  |  |  |  |  |  |  |  |
Funds category | 6.53 | 89.30 | 6.25 | 13.14 | 2.41 | –0.54 | –0.26 | –10.44 | –14.16
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 fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.

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

‡ Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/20, there were 49, 46, 30, 25, 15, and 4 funds, respectively, in this Lipper category.

Master Intermediate Income Trust 11

Fund price and distribution information For the six-month period ended 3/31/20
Distributions |
Number | 6
Income | $0.180
Capital gains | —
Total | $0.180
Share value | NAV | Market price
9/30/19 | $4.83 | $4.59
3/31/20 | 4.13 | 4.08
Current rate (end of period) | NAV | Market price
Current dividend rate* | 8.72% | 8.82%

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

Consider these risks before investing

Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions or geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. International investing involves currency, economic, and political risks. 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.

Master Intermediate Income Trust 13

Terms and definitions

Important terms

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

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

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

Fixed-income terms

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

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

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

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

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

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

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

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

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

Comparative indexes

Bloomberg 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.

14 Master Intermediate Income Trust

CMBX Index tracks the performance of a basket of CMBS issued in a particular year.

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

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

JPMorgan Global High Yield Index is an unmanaged index that is designed to mirror the investable universe of the U.S. dollar global high-yield corporate debt market, including domestic (U.S.) and international (non-U.S.) issues. International issues comprise 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.

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

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

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.

Master Intermediate Income Trust 15

Other information for shareholders

Important notice regarding share repurchase program

In September 2019, 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 356 days beginning October 10, 2019, up to 10% of the fund’s common shares outstanding as of October 9, 2019.

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, 2019, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

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

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

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of March 31, 2020, Putnam employees had approximately $402,000,000 and the Trustees had approximately $66,000,000 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.

16 Master Intermediate Income Trust

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

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

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

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

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

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

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

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

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

Master Intermediate Income Trust 17

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

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

About taxes and Plan amendments

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

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

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

18 Master Intermediate Income Trust

Financial statements

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

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

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

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

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal 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 19

The fund’s portfolio 3/31/20 (Unaudited) |  |
U.S. GOVERNMENT AND AGENCY | Principal |
MORTGAGE OBLIGATIONS (103.6%)* | amount | Value
U.S. Government Guaranteed Mortgage Obligations (4.9%) |  |
Government National Mortgage Association Pass-Through Certificates |  |
5.50%, 5/20/49 | $81,378 | $90,646
5.00%, with due dates from 5/20/49 to 3/20/50 | 249,714 | 276,554
4.50%, TBA, 4/1/50 | 4,000,000 | 4,240,625
4.00%, TBA, 4/1/50 | 4,000,000 | 4,249,375
3.50%, with due dates from 9/20/49 to 3/20/50 | 1,318,780 | 1,409,998
3.00%, 11/20/49 i | 14,841 | 15,782
|  | 10,282,980
U.S. Government Agency Mortgage Obligations (98.7%) |  |
Federal National Mortgage Association Pass-Through Certificates |  |
5.00%, with due dates from 1/1/49 to 8/1/49 | 155,279 | 171,268
4.50%, 5/1/49 | 66,829 | 73,250
Uniform Mortgage-Backed Securities |  |
5.50%, TBA, 4/1/50 | 3,000,000 | 3,284,766
4.50%, TBA, 4/1/50 | 1,000,000 | 1,075,156
4.00%, TBA, 4/1/50 | 29,000,000 | 30,943,905
3.50%, TBA, 4/1/50 | 42,000,000 | 44,401,875
3.00%, TBA, 4/1/50 | 16,000,000 | 16,770,000
2.50%, TBA, 4/1/50 | 108,000,000 | 111,864,370
|  | 208,584,590
Total U.S. government and agency mortgage obligations (cost $215,189,848) | $218,867,570
| Principal |
U.S. TREASURY OBLIGATIONS (1.1%)*i | amount | Value
U.S. Treasury Bonds |  |
3.00%, 11/15/45 | $255,000 | $350,105
2.75%, 8/15/47 | 8,000 | 10,558
U.S. Treasury Inflation Index Notes 1.125%, 1/15/21 | 112,004 | 111,293
U.S. Treasury Notes |  |
2.25%, 4/30/21 | 149,000 | 153,728
2.625%, 5/15/21 | 242,000 | 251,046
2.00%, 2/15/25 | 147,000 | 158,626
1.875%, 2/28/22 | 139,000 | 143,490
1.75%, 2/28/22 | 218,000 | 224,424
1.625%, 9/30/26 | 227,000 | 242,606
1.625%, 10/31/23 | 286,000 | 301,127
1.625%, 11/15/22 | 168,000 | 174,829
1.375%, 6/30/23 | 168,000 | 174,179
Total U.S. treasury obligations (cost $2,296,011) |  | $2,296,011
| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* | amount | Value
Agency collateralized mortgage obligations (22.4%) |  |
Federal Home Loan Mortgage Corporation |  |
REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) |  |
+ 25.79%), 22.958%, 4/15/37 | $31,092 | $56,557
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) |  |
+ 23.80%), 21.213%, 11/15/35 | 53,532 | 93,922

20 Master Intermediate Income Trust

| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* cont. | amount | Value
Agency collateralized mortgage obligations cont. |  |
Federal Home Loan Mortgage Corporation |  |
REMICs IFB Ser. 3249, Class PS, ((-3.3 x 1 Month US LIBOR) |  |
+ 22.28%), 19.95%, 12/15/36 | $29,492 | $47,008
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.65%), 5.945%, 4/15/40 | 1,560,975 | 168,841
REMICs Ser. 4813, IO, 5.50%, 8/15/48 | 2,119,244 | 425,381
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.20%), 5.495%, 12/15/47 | 2,871,353 | 350,879
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.10%), 5.395%, 8/15/56 | 3,998,080 | 859,587
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.10%), 5.395%, 4/15/47 | 985,647 | 171,621
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 | 1,630,082 | 255,590
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 | 811,293 | 112,710
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 | 433,691 | 58,133
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 | 1,605,375 | 142,006
REMICs Ser. 4425, IO, 4.00%, 1/15/45 | 2,022,569 | 201,064
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 | 1,647,198 | 255,658
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 983,599 | 97,657
REMICs Ser. 4062, Class DI, IO, 4.00%, 9/15/39 | 1,311,709 | 31,496
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 | 4,361,274 | 290,286
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 | 2,475,345 | 177,826
REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 | 1,930,269 | 58,318
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 | 619,723 | 48,416
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 | 608,518 | 41,646
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 | 2,802,924 | 201,166
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 | 1,284,048 | 74,090
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 | 561,570 | 19,085
REMICs Ser. 4510, Class HI, IO, 3.00%, 3/15/40 | 2,283,986 | 55,665
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, |  |
0.375%, 7/25/43 W | 1,152,963 | 11,530
REMICs Ser. 3326, Class WF, zero %, 10/15/35 W | 994 | 895
Federal National Mortgage Association |  |
REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) |  |
+ 39.90%), 34.22%, 7/25/36 | 45,523 | 88,021
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) |  |
+ 24.20%), 20.729%, 6/25/37 | 43,143 | 74,959
REMICs IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) |  |
+ 23.28%), 19.812%, 2/25/38 | 32,600 | 44,338
REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) |  |
+ 20.25%), 17.41%, 8/25/35 | 29,265 | 42,077
REMICs IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) |  |
+ 17.39%), 14.933%, 11/25/34 | 42,047 | 50,637
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 2,030,179 | 417,645
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 | 1,654,718 | 307,261
REMICs Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 | 590,097 | 16,112
REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.45%), 5.503%, 4/25/42 | 879,152 | 170,646
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 | 72,155 | 11,396
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 | 2,668,672 | 503,712

Master Intermediate Income Trust 21

| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* cont. | amount | Value
Agency collateralized mortgage obligations cont. |  |
Federal National Mortgage Association |  |
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.40%), 5.453%, 4/25/40 | $656,726 | $128,958
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.25%), 5.303%, 3/25/48 | 3,616,540 | 623,853
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.15%), 5.203%, 5/25/47 | 8,189,707 | 1,346,224
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.15%), 5.203%, 10/25/41 | 632,599 | 36,320
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.10%), 5.153%, 12/25/46 | 2,571,559 | 528,494
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.10%), 5.153%, 5/25/39 | 8,005,390 | 1,461,424
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.05%), 5.103%, 8/25/49 | 4,178,434 | 602,637
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) |  |
+ 5.95%), 5.003%, 2/25/43 | 1,768,571 | 362,591
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 | 217,191 | 32,980
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) |  |
+ 5.90%), 4.953%, 10/25/41 | 2,016,474 | 313,044
Interest Strip Ser. 366, Class 22, IO, 4.50%, 10/25/35 | 1,179 | 11
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 | 347,204 | 58,921
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 | 1,727,470 | 107,236
REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 | 1,324,355 | 125,563
REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 | 951,301 | 38,540
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 | 1,314,008 | 93,696
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 | 3,140,456 | 421,862
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 | 844,478 | 89,194
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 | 724,466 | 68,909
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 | 726,808 | 73,077
REMICs Ser. 16-102, Class JI, IO, 3.50%, 2/25/46 | 1,938,987 | 137,015
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 | 681,021 | 28,002
REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 | 925,369 | 43,317
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 | 968,933 | 56,111
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 | 579,660 | 17,737
REMICs Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 | 2,783,298 | 71,230
REMICs Ser. 99-51, Class N, PO, zero %, 9/17/29 | 4,426 | 4,038
Government National Mortgage Association |  |
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), |  |
5.407%, 4/20/44 | 3,959,077 | 777,922
IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), |  |
5.377%, 1/20/49 | 4,826,498 | 744,063
IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), |  |
5.377%, 11/20/43 | 2,528,736 | 475,616
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), |  |
5.377%, 9/20/43 | 421,997 | 80,707
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), |  |
5.327%, 8/20/49 | 6,971,447 | 1,058,823
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), |  |
5.327%, 7/20/49 | 7,062,895 | 957,870

22 Master Intermediate Income Trust

| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* cont. | amount | Value
Agency collateralized mortgage obligations cont. |  |
Government National Mortgage Association |  |
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.277%, 1/20/50 | $3,200,566 | $611,121
IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.277%, 12/20/49 | 4,313,307 | 626,590
IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.277%, 9/20/49 | 7,105,797 | 1,023,649
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.277%, 8/20/49 | 259,203 | 33,363
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.277%, 6/20/49 | 391,667 | 50,842
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.277%, 12/2/21 | 872,977 | 111,549
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 | 781,415 | 135,771
Ser. 16-42, IO, 5.00%, 2/20/46 | 2,088,627 | 363,626
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 | 2,519,007 | 310,251
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 | 3,631,607 | 671,705
Ser. 14-76, IO, 5.00%, 5/20/44 | 836,021 | 153,960
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 | 609,438 | 112,725
Ser. 12-146, IO, 5.00%, 12/20/42 | 532,649 | 97,208
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 816,163 | 149,574
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 576,775 | 106,922
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 2,552,131 | 470,596
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 1,322,374 | 236,374
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 | 2,603,108 | 475,889
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 | 457,704 | 84,772
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), |  |
4.827%, 8/20/44 | 2,022,205 | 344,105
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 | 3,330,073 | 415,368
Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 | 1,004,258 | 143,585
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 | 2,306,055 | 259,431
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 | 1,681,743 | 145,904
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 | 786,130 | 137,699
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 | 1,191,241 | 198,503
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 | 1,512,308 | 173,855
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 | 1,144,091 | 157,225
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 | 257,523 | 22,876
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 | 1,022,961 | 187,144
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 1,101,232 | 104,705
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 | 1,926,384 | 302,211
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 1,030,608 | 161,564
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 | 1,126,561 | 150,617
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 | 709,245 | 116,028
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 | 610,238 | 114,420
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 | 1,074,427 | 76,727
Ser. 16-29, IO, 4.00%, 2/16/46 | 1,008,489 | 147,281
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 | 2,928,489 | 388,025
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 1,617,184 | 289,969
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 | 1,846,260 | 196,688

Master Intermediate Income Trust 23

| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* cont. | amount | Value
Agency collateralized mortgage obligations cont. |  |
Government National Mortgage Association |  |
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 | $1,889,622 | $211,411
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 | 4,534,568 | 573,433
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 | 3,433,329 | 227,845
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 | 613,183 | 84,060
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 | 2,441,807 | 175,937
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 560,388 | 71,691
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 475,731 | 71,039
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 | 1,181,730 | 163,023
Ser. 17-165, Class IM, IO, 3.50%, 11/20/47 | 1,322,845 | 62,506
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 | 987,733 | 37,652
Ser. 16-48, Class MI, IO, 3.50%, 4/16/46 | 1,378,936 | 147,105
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 | 2,777,662 | 229,049
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 | 2,341,072 | 160,229
Ser. 13-76, IO, 3.50%, 5/20/43 | 1,976,655 | 208,774
Ser. 13-28, IO, 3.50%, 2/20/43 | 596,782 | 59,608
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 | 958,217 | 91,031
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 | 1,440,991 | 136,001
Ser. 13-14, IO, 3.50%, 12/20/42 | 3,261,476 | 244,611
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 | 628,943 | 58,177
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 | 1,375,844 | 195,633
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 | 1,718,225 | 228,074
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 | 1,963,025 | 290,517
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 | 858,663 | 144,390
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 | 2,004,738 | 124,025
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 2,430,205 | 186,112
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 | 1,183,692 | 44,159
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 | 3,406,597 | 243,119
Ser. 16-H18, Class QI, IO, 3.072%, 6/20/66 W | 3,020,397 | 326,420
Ser. 15-H10, Class BI, IO, 2.807%, 4/20/65 W | 2,722,448 | 232,758
Ser. 16-H09, Class BI, IO, 2.775%, 4/20/66 W | 4,843,385 | 451,026
Ser. 15-H15, Class BI, IO, 2.721%, 6/20/65 W | 2,545,995 | 211,236
Ser. 16-H17, Class KI, IO, 2.718%, 7/20/66 W | 2,865,006 | 289,409
Ser. 17-H16, Class FI, IO, 2.527%, 8/20/67 W | 3,298,236 | 353,432
Ser. 16-H23, Class NI, IO, 2.51%, 10/20/66 W | 11,026,494 | 946,073
Ser. 18-H15, Class KI, IO, 2.482%, 8/20/68 W | 3,784,168 | 451,542
Ser. 17-H16, Class JI, IO, 2.469%, 8/20/67 W | 8,734,218 | 1,117,919
Ser. 17-H02, Class BI, IO, 2.466%, 1/20/67 W | 2,782,973 | 290,729
Ser. 16-H22, Class AI, IO, 2.431%, 10/20/66 W | 4,202,327 | 420,111
Ser. 17-H06, Class BI, IO, 2.409%, 2/20/67 W | 4,353,788 | 464,143
Ser. 16-H16, Class EI, IO, 2.403%, 6/20/66 W | 4,267,101 | 351,182
Ser. 18-H02, Class EI, IO, 2.375%, 1/20/68 W | 6,282,381 | 730,327
Ser. 15-H20, Class CI, IO, 2.371%, 8/20/65 W | 4,248,458 | 379,719
Ser. 15-H24, Class AI, IO, 2.347%, 9/20/65 W | 3,426,386 | 287,827
Ser. 16-H06, Class DI, IO, 2.33%, 7/20/65 | 5,528,868 | 388,784
Ser. 18-H03, Class XI, IO, 2.319%, 2/20/68 W | 4,474,338 | 429,984
Ser. 17-H12, Class QI, IO, 2.169%, 5/20/67 W | 3,865,960 | 404,147
Ser. 17-H19, Class MI, IO, 2.053%, 4/20/67 W | 2,236,341 | 173,987
Ser. 17-H16, Class IG, IO, 2.041%, 7/20/67 W | 7,966,174 | 678,511

24 Master Intermediate Income Trust

| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* cont. | amount | Value
Agency collateralized mortgage obligations cont. |  |
Government National Mortgage Association |  |
Ser. 16-H03, Class DI, IO, 2.019%, 12/20/65 W | $3,821,334 | $279,275
Ser. 17-H16, Class IH, IO, 2.005%, 7/20/67 W | 5,846,363 | 475,151
Ser. 15-H25, Class EI, IO, 1.924%, 10/20/65 W | 3,048,710 | 217,373
Ser. 15-H20, Class AI, IO, 1.893%, 8/20/65 W | 3,666,004 | 252,588
Ser. 17-H11, Class DI, IO, 1.884%, 5/20/67 W | 4,110,738 | 427,204
FRB Ser. 15-H08, Class CI, IO, 1.862%, 3/20/65 W | 2,092,811 | 153,979
Ser. 17-H09, IO, 1.818%, 4/20/67 W | 5,370,345 | 484,163
Ser. 15-H23, Class BI, IO, 1.81%, 9/20/65 W | 3,882,565 | 245,766
Ser. 16-H03, Class AI, IO, 1.778%, 1/20/66 W | 3,565,792 | 312,567
Ser. 16-H24, Class CI, IO, 1.758%, 10/20/66 W | 2,648,739 | 182,117
Ser. 16-H14, IO, 1.745%, 6/20/66 W | 3,806,702 | 255,662
Ser. 16-H10, Class AI, IO, 1.741%, 4/20/66 W | 9,379,207 | 636,417
Ser. 17-H08, Class NI, IO, 1.715%, 3/20/67 W | 5,743,015 | 466,907
Ser. 13-H08, Class CI, IO, 1.706%, 2/20/63 W | 3,579,160 | 154,978
Ser. 16-H06, Class CI, IO, 1.656%, 2/20/66 W | 5,144,132 | 328,118
Ser. 14-H21, Class BI, IO, 1.598%, 10/20/64 W | 5,559,556 | 301,328
Ser. 16-H02, Class HI, IO, 1.573%, 1/20/66 W | 4,839,958 | 334,925
Ser. 18-H05, Class BI, IO, 1.364%, 2/20/68 W | 4,413,158 | 513,030
Ser. 18-H05, Class AI, IO, 1.329%, 2/20/68 W | 2,152,310 | 252,896
Ser. 15-H26, Class CI, IO, 0.335%, 8/20/65 W | 7,178,006 | 81,829
Ser. 06-36, Class OD, PO, zero %, 7/16/36 | 1,527 | 1,364
|  | 47,266,353
Commercial mortgage-backed securities (8.1%) |  |
Bear Stearns Commercial Mortgage Securities Trust |  |
FRB Ser. 07-T26, Class AJ, 5.437%, 1/12/45 W | 1,279,000 | 895,300
Ser. 05-PWR7, Class B, 5.117%, 2/11/41 W | 202,868 | 200,839
Ser. 05-PWR7, Class D, 5.117%, 2/11/41 W | 441,000 | 396,900
Bear Stearns Commercial Mortgage Securities Trust 144A |  |
FRB Ser. 06-PW11, Class B, 5.749%, 3/11/39 W | 457,768 | 228,884
FRB Ser. 06-PW14, Class XW, IO, 0.283%, 12/11/38 W | 458,544 | 1,710
CFCRE Commercial Mortgage Trust 144A |  |
FRB Ser. 11-C2, Class E, 5.744%, 12/15/47 W | 409,000 | 372,009
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 W | 1,025,000 | 848,537
COMM Mortgage Trust 144A |  |
FRB Ser. 14-CR17, Class E, 4.848%, 5/10/47 W | 647,000 | 518,506
FRB Ser. 12-CR3, Class E, 4.752%, 10/15/45 W | 297,000 | 222,750
Ser. 12-LC4, Class E, 4.25%, 12/10/44 | 392,000 | 305,629
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, |  |
IO, 0.675%, 12/15/39 W | 948,230 | 4,253
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, |  |
Class C, 5.719%, 9/15/39 W | 12,160 | 12,014
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8.00%, 12/28/38 |  |
(Cayman Islands) | 96,751 | 97,078
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, |  |
3.771%, 4/15/50 W | 527,000 | 439,387
Federal National Mortgage Association 144A Multifamily |  |
Connecticut Avenue Securities Trust FRB Ser. 20-01, Class M10, |  |
4.65%, 3/25/50 | 701,000 | 493,016

Master Intermediate Income Trust 25

| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* cont. | amount | Value
Commercial mortgage-backed securities cont. |  |
GS Mortgage Securities Trust 144A |  |
Ser. 11-GC3, Class E, 5.00%, 3/10/44 W | $160,000 | $152,571
FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47 W | 1,270,000 | 873,152
JPMBB Commercial Mortgage Securities Trust 144A |  |
FRB Ser. 14-C18, Class D, 4.804%, 2/15/47 W | 1,183,000 | 810,457
FRB Ser. C14, Class D, 4.702%, 8/15/46 W | 515,000 | 447,032
FRB Ser. 14-C18, Class E, 4.304%, 2/15/47 W | 407,000 | 250,200
Ser. 13-C14, Class F, 3.598%, 8/15/46 W | 1,500,000 | 1,017,110
Ser. 14-C25, Class E, 3.332%, 11/15/47 W | 788,000 | 377,353
JPMorgan Chase Commercial Mortgage Securities Trust FRB |  |
Ser. 13-LC11, Class D, 4.168%, 4/15/46 W | 581,000 | 472,843
JPMorgan Chase Commercial Mortgage Securities Trust 144A |  |
FRB Ser. 07-CB20, Class E, 6.059%, 2/12/51 W | 398,000 | 199,000
FRB Ser. 11-C3, Class F, 5.664%, 2/15/46 W | 410,000 | 371,975
FRB Ser. 12-C6, Class E, 5.157%, 5/15/45 W | 363,000 | 290,872
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W | 841,000 | 554,830
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, |  |
Class XCL, IO, 0.685%, 9/15/39 W | 812,016 | 5,343
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, |  |
IO, 5.395%, 12/15/49 W | 127,594 | 1
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, |  |
5.324%, 12/12/49 W | 451,465 | 349,813
Morgan Stanley Bank of America Merrill Lynch Trust 144A |  |
FRB Ser. 13-C11, Class D, 4.353%, 8/15/46 W | 900,000 | 467,428
FRB Ser. 13-C11, Class F, 4.353%, 8/15/46 W | 496,000 | 112,294
FRB Ser. 13-C10, Class D, 4.083%, 7/15/46 W | 485,000 | 415,172
FRB Ser. 13-C10, Class E, 4.083%, 7/15/46 W | 1,316,000 | 932,081
FRB Ser. 13-C10, Class F, 4.083%, 7/15/46 W | 975,000 | 689,843
Ser. 14-C17, Class E, 3.50%, 8/15/47 | 443,000 | 247,144
Morgan Stanley Capital I Trust |  |
Ser. 07-HQ11, Class C, 5.558%, 2/12/44 W | 286,388 | 57,278
Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W | 486,239 | 479,393
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, |  |
12/28/38 (In default) † | 558,952 | 13,527
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, |  |
4.888%, 5/10/63 W | 622,000 | 111,236
Wells Fargo Commercial Mortgage Trust 144A |  |
FRB Ser. 13-LC12, Class D, 4.283%, 7/15/46 W | 188,000 | 136,147
Ser. 14-LC16, Class D, 3.938%, 8/15/50 | 889,000 | 547,212
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, |  |
4.50%, 6/15/45 W | 2,524,000 | 1,626,092
|  | 17,044,211
Residential mortgage-backed securities (non-agency) (11.3%) |  |
American Home Mortgage Investment Trust FRB Ser. 07-1, |  |
Class GA1C, (1 Month US LIBOR + 0.19%), 1.817%, 5/25/47 | 521,238 | 264,330
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 3.76%, 11/27/36 W | 923,592 | 738,873
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (1 Month |  |
US LIBOR + 0.50%), 1.447%, 1/25/36 | 101,880 | 106,974
Bellemeade Re, Ltd. 144A FRB Ser. 19-4A, Class B1, (1 Month |  |
US LIBOR + 3.85%), 4.797%, 10/25/29 (Bermuda) | 382,000 | 259,377

26 Master Intermediate Income Trust

| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* cont. | amount | Value
Residential mortgage-backed securities (non-agency) cont. |  |
Chevy Chase Funding, LLC Mortgage-Backed Certificates |  |
144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), |  |
1.127%, 11/25/47 | $342,746 | $257,116
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, |  |
(1 Month US LIBOR + 0.35%), 1.297%, 3/25/37 | 1,081,805 | 878,667
Countrywide Alternative Loan Trust |  |
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), |  |
3.466%, 9/25/35 | 394,298 | 322,392
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), |  |
2.926%, 8/25/46 | 129,027 | 110,270
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), |  |
2.906%, 6/25/46 | 397,662 | 325,401
FRB Ser. 06-OA7, Class 1A1, 2.852%, 6/25/46 W | 319,835 | 247,329
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.35%), |  |
1.297%, 9/25/35 | 480,344 | 394,298
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.19%), |  |
1.137%, 8/25/46 | 381,195 | 297,332
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.19%), |  |
1.137%, 8/25/46 | 2,457,635 | 2,008,702
FRB Ser. 07-OA8, Class 2A1, (1 Month US LIBOR + 0.18%), |  |
1.127%, 6/25/47 | 476,134 | 362,481
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.33%), |  |
1.103%, 11/20/35 | 284,078 | 231,001
CSMC Trust 144A FRB Ser. 10-18R, Class 6A4, 3.894%, 9/28/36 W | 1,136,788 | 1,122,014
Federal Home Loan Mortgage Corporation |  |
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, |  |
(1 Month US LIBOR + 10.50%), 11.447%, 5/25/28 | 266,422 | 173,874
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, |  |
(1 Month US LIBOR + 10.00%), 10.947%, 7/25/28 | 890,969 | 574,771
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, |  |
(1 Month US LIBOR + 9.35%), 10.297%, 4/25/28 | 573,031 | 371,108
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, |  |
(1 Month US LIBOR + 7.55%), 8.497%, 12/25/27 | 685,558 | 446,155
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, |  |
(1 Month US LIBOR + 3.85%), 4.797%, 3/25/29 | 250,000 | 237,723
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, |  |
(1 Month US LIBOR + 2.30%), 3.247%, 9/25/30 | 764,677 | 648,518
Federal Home Loan Mortgage Corporation 144A |  |
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, |  |
(1 Month US LIBOR + 11.25%), 12.197%, 4/25/49 | 106,000 | 41,818
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, |  |
(1 Month US LIBOR + 11.00%), 11.947%, 10/25/48 | 327,000 | 189,866
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, |  |
(1 Month US LIBOR + 10.75%), 11.697%, 1/25/49 | 141,000 | 80,865
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, |  |
(1 Month US LIBOR + 10.50%), 11.447%, 3/25/49 | 118,000 | 66,988
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, |  |
(1 Month US LIBOR + 8.15%), 9.097%, 7/25/49 | 135,000 | 71,297
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, |  |
(1 Month US LIBOR + 7.75%), 8.697%, 9/25/48 | 174,000 | 62,957

Master Intermediate Income Trust 27

| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* cont. | amount | Value
Residential mortgage-backed securities (non-agency) cont. |  |
Federal Home Loan Mortgage Corporation 144A |  |
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, |  |
(1 Month US LIBOR + 4.25%), 5.197%, 10/25/48 | $90,000 | $45,100
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, |  |
(1 Month US LIBOR + 3.90%), 4.847%, 9/25/48 | 190,000 | 90,446
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, |  |
4.75%, 8/25/58 W | 307,000 | 237,578
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, |  |
(1 Month US LIBOR + 3.70%), 4.647%, 12/25/30 | 650,000 | 312,101
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, |  |
4.50%, 2/25/59 W | 636,000 | 686,829
Structured Agency Credit Risk Debt FRN Ser. 19-HQA3, Class B1, |  |
(1 Month US LIBOR + 3.00%), 3.947%, 9/25/49 | 106,000 | 47,227
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, |  |
(1 Month US LIBOR + 2.65%), 3.597%, 1/25/49 | 168,000 | 147,838
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, |  |
(1 Month US LIBOR + 2.45%), 3.397%, 3/25/49 | 181,417 | 138,862
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, |  |
(1 Month US LIBOR + 2.35%), 3.297%, 2/25/49 | 202,516 | 169,507
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, |  |
(1 Month US LIBOR + 2.30%), 3.247%, 10/25/48 | 120,000 | 98,642
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class M2, |  |
(1 Month US LIBOR + 2.15%), 3.097%, 12/25/30 | 341,000 | 280,977
Federal National Mortgage Association |  |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, |  |
(1 Month US LIBOR + 12.75%), 13.697%, 10/25/28 | 89,510 | 58,960
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, |  |
(1 Month US LIBOR + 12.25%), 13.197%, 9/25/28 | 1,115,144 | 734,733
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, |  |
(1 Month US LIBOR + 11.75%), 12.697%, 10/25/28 | 567,583 | 370,158
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, |  |
(1 Month US LIBOR + 11.75%), 12.697%, 8/25/28 | 368,465 | 241,991
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, |  |
(1 Month US LIBOR + 10.75%), 11.697%, 1/25/29 | 119,691 | 75,922
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, |  |
(1 Month US LIBOR + 9.25%), 10.197%, 4/25/29 | 19,949 | 10,477
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, |  |
(1 Month US LIBOR + 5.90%), 6.847%, 10/25/28 | 865,147 | 848,326
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, |  |
(1 Month US LIBOR + 5.70%), 6.647%, 4/25/28 | 1,361,865 | 1,344,517
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, |  |
(1 Month US LIBOR + 5.55%), 6.497%, 4/25/28 | 50,596 | 45,725
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, |  |
(1 Month US LIBOR + 5.50%), 6.447%, 9/25/29 | 477,000 | 268,032
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, |  |
(1 Month US LIBOR + 5.00%), 5.947%, 7/25/25 | 652,725 | 620,044
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, |  |
(1 Month US LIBOR + 5.00%), 5.947%, 7/25/25 | 210,599 | 190,897
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, |  |
(1 Month US LIBOR + 4.85%), 5.797%, 10/25/29 | 1,170,000 | 644,208

28 Master Intermediate Income Trust

| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* cont. | amount | Value
Residential mortgage-backed securities (non-agency) cont. |  |
Federal National Mortgage Association |  |
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, |  |
(1 Month US LIBOR + 4.45%), 5.397%, 5/25/30 | $82,000 | $43,102
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, |  |
(1 Month US LIBOR + 4.45%), 5.397%, 2/25/30 | 60,000 | 32,280
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, |  |
(1 Month US LIBOR + 4.00%), 4.947%, 5/25/25 | 17,718 | 17,131
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, |  |
(1 Month US LIBOR + 3.60%), 4.547%, 1/25/30 | 140,000 | 73,873
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, |  |
(1 Month US LIBOR + 3.55%), 4.497%, 7/25/30 | 804,000 | 391,116
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2M2, |  |
(1 Month US LIBOR + 2.55%), 3.497%, 12/25/30 | 4,416 | 3,621
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, |  |
(1 Month US LIBOR + 2.50%), 3.447%, 5/25/30 | 364,273 | 291,015
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, |  |
(1 Month US LIBOR + 2.25%), 3.197%, 7/25/30 | 65,000 | 55,987
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, |  |
(1 Month US LIBOR + 2.10%), 3.047%, 3/25/31 | 96,639 | 81,176
Federal National Mortgage Association 144A |  |
Connecticut Avenue Securities Trust FRB Ser. 19-R04, Class 2B1, |  |
(1 Month US LIBOR + 5.25%), 6.197%, 6/25/39 | 253,000 | 115,290
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, |  |
(1 Month US LIBOR + 4.10%), 5.047%, 9/25/31 | 251,000 | 121,146
Connecticut Avenue Securities Trust FRB Ser. 19-R06, Class 2B1, |  |
(1 Month US LIBOR + 3.75%), 4.697%, 9/25/39 | 190,000 | 80,395
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, |  |
(1 Month US LIBOR + 2.45%), 3.397%, 7/25/31 | 71,712 | 55,308
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month |  |
US LIBOR + 0.18%), 1.127%, 5/25/36 | 570,205 | 195,189
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month |  |
US LIBOR + 0.31%), 1.257%, 5/25/37 | 326,816 | 254,954
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month |  |
US LIBOR + 0.52%), 1.27%, 5/19/35 | 317,050 | 158,700
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, |  |
(1 Month US LIBOR + 0.20%), 1.147%, 6/25/37 | 540,438 | 230,617
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, |  |
4.25%, 1/25/59 | 330,000 | 257,400
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, |  |
(1 Month US LIBOR + 0.23%), 3.065%, 2/26/37 | 345,332 | 295,147
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR |  |
+ 0.80%), 1.742%, 8/25/35 | 98,095 | 87,246
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month |  |
US LIBOR + 2.85%), 3.797%, 7/25/28 (Bermuda) | 800,000 | 597,269
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR |  |
+ 2.70%), 3.647%, 3/25/28 (Bermuda) | 620,000 | 481,495
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, |  |
(1 Month US LIBOR + 0.22%), 1.162%, 5/25/46 | 278,406 | 257,526

Master Intermediate Income Trust 29

| Principal |
MORTGAGE-BACKED SECURITIES (41.8%)* cont. | amount | Value
Residential mortgage-backed securities (non-agency) cont. |  |
Structured Asset Mortgage Investments II Trust |  |
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), |  |
1.157%, 8/25/36 | $384,033 | $330,269
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), |  |
1.067%, 8/25/36 | 320,233 | 263,877
WaMu Mortgage Pass-Through Certificates Trust |  |
FRB Ser. 05-AR10, Class 1A3, 4.121%, 9/25/35 W | 14395 | 12672
FRB Ser. 05-AR14, Class 1A2, 3.835%, 12/25/35 W | 124,260 | 113,412
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.49%), |  |
1.437%, 10/25/45 | 214,908 | 195,098
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR5, |  |
Class 1A1, 4.208%, 4/25/36 W | 245,800 | 254,403
|  | 23,948,308
Total mortgage-backed securities (cost $103,642,178) |  | $88,258,872
| Principal |
CORPORATE BONDS AND NOTES (25.2%)* | amount | Value
Basic materials (2.5%) |  |
Allegheny Technologies, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 | $10,000 | $8,325
Allegheny Technologies, Inc. sr. unsec. unsub. notes |  |
7.875%, 8/15/23 | 206,000 | 198,730
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. |  |
unsub. notes 4.875%, 8/15/24 | 300,000 | 288,000
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes |  |
4.50%, 11/15/26 | 45,000 | 41,526
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. |  |
notes 4.875%, 11/1/25 | 97,000 | 87,543
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. |  |
notes 7.25%, 9/1/25 | 226,000 | 205,660
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 | 263,000 | 253,795
Boise Cascade Co. 144A company guaranty sr. unsec. notes |  |
5.625%, 9/1/24 | 242,000 | 229,295
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 | 77,000 | 75,460
Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, |  |
4/1/24 (Mexico) | 318,000 | 273,480
Chemours Co. (The) company guaranty sr. unsec. notes |  |
5.375%, 5/15/27 | 38,000 | 29,064
Chemours Co. (The) company guaranty sr. unsec. unsub. notes |  |
7.00%, 5/15/25 | 63,000 | 52,448
Compass Minerals International, Inc. 144A company guaranty sr. |  |
unsec. notes 6.75%, 12/1/27 | 175,000 | 157,981
Compass Minerals International, Inc. 144A company guaranty sr. |  |
unsec. notes 4.875%, 7/15/24 | 63,000 | 59,220
GCP Applied Technologies, Inc. 144A sr. unsec. notes |  |
5.50%, 4/15/26 | 265,000 | 246,450
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 | 179,000 | 171,679
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 | 207,000 | 193,545
James Hardie International Finance DAC 144A sr. unsec. bonds |  |
5.00%, 1/15/28 (Ireland) | 200,000 | 189,000
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 | 66,000 | 61,380

30 Master Intermediate Income Trust

| Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. | amount | Value
Basic materials cont. |  |
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A |  |
company guaranty sr. unsec. notes 7.00%, 4/15/25 | $36,000 | $31,860
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes |  |
4.875%, 9/15/24 | 124,000 | 106,950
Mauser Packaging Solutions Holding Co. 144A sr. notes |  |
5.50%, 4/15/24 | 55,000 | 50,600
Mercer International, Inc. sr. unsec. notes 7.375%, 1/15/25 (Canada) | 19,000 | 15,818
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) | 69,000 | 58,650
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) | 75,000 | 56,989
Novelis Corp. 144A company guaranty sr. unsec. bonds |  |
5.875%, 9/30/26 | 145,000 | 142,298
Novelis Corp. 144A company guaranty sr. unsec. notes |  |
4.75%, 1/30/30 | 80,000 | 71,200
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 | 203,000 | 182,700
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes |  |
6.125%, 11/1/26 | 80,000 | 69,800
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. |  |
unsub. notes 7.50%, 11/20/25 (Ireland) | 234,000 | 279,630
Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes |  |
8.00%, 10/1/26 (Netherlands) | 150,000 | 131,813
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes |  |
5.50%, 10/1/24 | 50,000 | 48,605
Syngenta Finance NV 144A company guaranty sr. unsec. unsub. |  |
notes 5.182%, 4/24/28 (Switzerland) | 305,000 | 260,238
TopBuild Corp. 144A company guaranty sr. unsec. notes |  |
5.625%, 5/1/26 | 160,000 | 147,200
Tronox Finance PLC 144A company guaranty sr. unsec. notes |  |
5.75%, 10/1/25 (United Kingdom) | 100,000 | 89,250
Tronox, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/15/26 | 40,000 | 36,000
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes |  |
6.375%, 6/1/24 | 145,000 | 130,863
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes |  |
5.125%, 12/1/27 | 200,000 | 182,000
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes |  |
4.25%, 2/15/30 | 145,000 | 135,923
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes |  |
5.625%, 10/1/24 | 121,000 | 119,149
Zekelman Industries, Inc. 144A company guaranty sr. notes |  |
9.875%, 6/15/23 | 88,000 | 85,360
|  | 5,255,477
Capital goods (2.5%) |  |
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes |  |
4.75%, 10/1/27 | 339,000 | 311,880
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. |  |
notes 5.625%, 7/1/27 | 115,000 | 111,885
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 | 115,000 | 102,638
ARD Finance SA 144A sr. notes Ser. REGS, 6.50%, 6/30/27 |  |
(Luxembourg) ‡‡ | 200,000 | 171,780
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A |  |
company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) | 330,000 | 328,350
Berry Global Escrow Corp. 144A notes 5.625%, 7/15/27 | 55,000 | 56,822

Master Intermediate Income Trust 31

| Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. | amount | Value
Capital goods cont. |  |
Berry Global Escrow Corp. 144A sr. notes 4.875%, 7/15/26 | $135,000 | $136,350
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 | 105,000 | 103,429
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 | 192,000 | 192,422
Berry Global, Inc. 144A notes 4.50%, 2/15/26 | 39,000 | 37,635
Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 | 45,000 | 41,850
Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 | 80,000 | 78,312
Crown Americas, LLC/Crown Americas Capital Corp. VI company |  |
guaranty sr. unsec. notes 4.75%, 2/1/26 | 265,000 | 271,546
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds |  |
7.375%, 12/15/26 | 150,000 | 153,750
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) | 115,000 | 112,125
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. |  |
notes 8.00%, 5/15/22 | 177,000 | 173,238
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 |  |
(Canada) ‡‡ | 150,000 | 110,172
Moog, Inc. 144A company guaranty sr. unsec. notes |  |
4.25%, 12/15/27 | 45,000 | 40,613
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A |  |
company guaranty sr. notes 6.25%, 5/15/26 | 207,000 | 195,615
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A |  |
company guaranty sr. unsec. notes 8.50%, 5/15/27 | 110,000 | 95,964
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes |  |
6.625%, 4/15/27 | 171,000 | 135,161
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes |  |
4.875%, 12/15/25 | 300,000 | 280,500
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 | 260,000 | 229,775
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes |  |
6.125%, 10/1/26 | 310,000 | 306,254
Tennant Co. company guaranty sr. unsec. unsub. notes |  |
5.625%, 5/1/25 | 105,000 | 101,063
TransDigm, Inc. company guaranty sr. unsec. sub. notes |  |
6.375%, 6/15/26 | 113,000 | 108,198
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 637,000 | 634,611
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes |  |
5.50%, 11/15/27 | 175,000 | 157,063
Trivium Packaging Finance BV 144A company guaranty sr. notes |  |
5.50%, 8/15/26 (Netherlands) | 230,000 | 228,850
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 | 223,000 | 206,899
|  | 5,214,750
Communication services (2.7%) |  |
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company |  |
guaranty sr. unsec. bonds 5.50%, 5/1/26 | 366,000 | 371,490
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. |  |
bonds 5.375%, 6/1/29 | 1,045,000 | 1,073,842
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. |  |
bonds 4.50%, 8/15/30 | 55,000 | 53,900
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. |  |
notes 5.00%, 2/1/28 | 199,000 | 199,498
CommScope Technologies, LLC 144A company guaranty sr. unsec. |  |
notes 6.00%, 6/15/25 | 94,000 | 86,029
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 120,000 | 120,299

32 Master Intermediate Income Trust

|  | Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. |  | amount | Value
Communication services cont. |  |  |
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 |  | $360,000 | $370,800
DISH DBS Corp. company guaranty sr. unsec. unsub. notes |  |  |
5.875%, 11/15/24 |  | 140,000 | 136,150
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27 R |  | 84,000 | 83,068
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26 R |  | 40,000 | 40,815
Front Range BidCo., Inc. 144A sr. notes 4.00%, 3/1/27 |  | 25,000 | 23,906
Front Range BidCo., Inc. 144A sr. unsec. notes 6.125%, 3/1/28 |  | 85,000 | 80,750
Frontier Communications Corp. 144A company guaranty notes |  |  |
8.50%, 4/1/26 |  | 51,000 | 46,793
Intelsat Jackson Holdings SA 144A company guaranty sr. notes |  |  |
8.00%, 2/15/24 (Luxembourg) |  | 6,000 | 5,797
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes |  |  |
5.625%, 2/1/23 |  | 66,000 | 65,670
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes |  |  |
5.25%, 3/15/26 |  | 264,000 | 263,835
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes |  |  |
4.625%, 9/15/27 |  | 120,000 | 119,268
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, |  |  |
1/15/23 (Canada) |  | 40,000 | 40,400
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes |  |  |
6.875%, 11/15/28 |  | 260,000 | 296,972
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 |  | 125,000 | 141,475
Sprint Corp. company guaranty sr. unsec. sub. notes |  |  |
7.875%, 9/15/23 |  | 538,000 | 590,498
Sprint Corp. company guaranty sr. unsec. sub. notes |  |  |
7.25%, 9/15/21 |  | 190,000 | 195,833
Sprint Corp. 144A company guaranty sr. unsec. notes |  |  |
7.25%, 2/1/28 |  | 135,000 | 135,675
T-Mobile USA, Inc. company guaranty sr. unsec. notes |  |  |
6.375%, 3/1/25 |  | 200,000 | 204,256
T-Mobile USA, Inc. company guaranty sr. unsec. notes |  |  |
6.00%, 3/1/23 |  | 156,000 | 156,860
T-Mobile USA, Inc. company guaranty sr. unsec. notes |  |  |
5.375%, 4/15/27 |  | 19,000 | 19,570
T-Mobile USA, Inc. company guaranty sr. unsec. notes |  |  |
4.00%, 4/15/22 |  | 45,000 | 45,113
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds |  |  |
4.75%, 2/1/28 |  | 148,000 | 154,186
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes |  |  |
4.50%, 2/1/26 |  | 55,000 | 56,238
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, |  |  |
7/15/22 (Canada) |  | 363,000 | 363,000
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, |  |  |
4/15/27 (Canada) |  | 75,000 | 75,000
Virgin Media Secured Finance PLC 144A company guaranty sr. |  |  |
bonds 5.00%, 4/15/27 (United Kingdom) | GBP | 115,000 | 135,167
|  |  | 5,752,153
Consumer cyclicals (4.7%) |  |  |
American Builders & Contractors Supply Co., Inc. 144A company |  |  |
guaranty sr. unsec. notes 5.875%, 5/15/26 |  | $38,000 | 36,195
American Builders & Contractors Supply Co., Inc. 144A sr. notes |  |  |
4.00%, 1/15/28 |  | 60,000 | 54,600

Master Intermediate Income Trust 33

|  | Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. |  | amount | Value
Consumer cyclicals cont. |  |  |
Boyd Gaming Corp. company guaranty sr. unsec. notes |  |  |
6.00%, 8/15/26 |  | $60,000 | $51,600
Boyd Gaming Corp. 144A company guaranty sr. unsec. notes |  |  |
4.75%, 12/1/27 |  | 55,000 | 45,375
Brookfield Residential Properties, Inc./Brookfield Residential |  |  |
US Corp. 144A company guaranty sr. unsec. notes 6.25%, |  |  |
9/15/27 (Canada) |  | 55,000 | 47,707
Brookfield Residential Properties, Inc./Brookfield Residential |  |  |
US Corp. 144A company guaranty sr. unsec. notes 4.875%, |  |  |
2/15/30 (Canada) |  | 35,000 | 26,590
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 |  | 55,000 | 53,900
Cinemark USA, Inc. company guaranty sr. unsec. notes |  |  |
5.125%, 12/15/22 |  | 72,000 | 56,880
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes |  |  |
4.875%, 6/1/23 |  | 190,000 | 142,025
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. |  |  |
notes 5.125%, 8/15/27 |  | 80,000 | 75,700
Codere Finance 2 Luxembourg SA company guaranty sr. notes |  |  |
Ser. REGS, 6.75%, 11/1/21 (Luxembourg) | EUR | 100,000 | 36,947
Cornerstone Building Brands, Inc. 144A company guaranty sr. |  |  |
unsec. sub. notes 8.00%, 4/15/26 |  | $121,000 | 104,816
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. |  |  |
unsec. notes 5.25%, 10/15/25 |  | 215,000 | 155,273
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. |  |  |
notes 5.375%, 8/15/26 |  | 144,000 | 117,003
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. |  |  |
unsec. notes 6.625%, 8/15/27 |  | 247,000 | 165,181
Eldorado Resorts, Inc. company guaranty sr. unsec. notes |  |  |
6.00%, 9/15/26 |  | 20,000 | 18,050
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes |  |  |
7.00%, 8/1/23 |  | 85,000 | 76,288
Entercom Media Corp. 144A company guaranty notes |  |  |
6.50%, 5/1/27 |  | 281,000 | 243,768
Entercom Media Corp. 144A company guaranty sr. unsec. notes |  |  |
7.25%, 11/1/24 |  | 102,000 | 85,170
Gartner, Inc. 144A company guaranty sr. unsec. notes |  |  |
5.125%, 4/1/25 |  | 235,000 | 229,713
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 |  | 232,000 | 230,840
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, |  |  |
11/1/27 (Canada) |  | 85,000 | 75,982
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes |  |  |
4.625%, 5/15/24 |  | 145,000 | 143,550
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. |  |  |
company guaranty sr. unsec. notes 4.875%, 4/1/27 |  | 188,000 | 178,600
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 |  | 174,000 | 168,345
iHeartCommunications, Inc. company guaranty sr. notes |  |  |
6.375%, 5/1/26 |  | 96,811 | 91,608
iHeartCommunications, Inc. company guaranty sr. unsec. notes |  |  |
8.375%, 5/1/27 |  | 271,721 | 236,566
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 |  |  |
(United Kingdom) |  | 65,000 | 67,275

34 Master Intermediate Income Trust

| Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. | amount | Value
Consumer cyclicals cont. |  |
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 |  |
(United Kingdom) | $265,000 | $272,950
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, |  |
3/1/26 (United Kingdom) | 35,000 | 33,775
Installed Building Products, Inc. 144A company guaranty sr. unsec. |  |
notes 5.75%, 2/1/28 | 25,000 | 23,750
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds |  |
5.25%, 3/15/28 R | 194,000 | 191,633
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes |  |
4.875%, 9/15/27 R | 268,000 | 259,960
JC Penney Corp., Inc. 144A company guaranty sr. notes |  |
5.875%, 7/1/23 | 100,000 | 37,000
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes |  |
4.875%, 12/15/27 | 75,000 | 66,188
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes |  |
4.625%, 12/15/25 | 85,000 | 74,800
L Brands, Inc. company guaranty sr. unsec. notes 7.50%, |  |
perpetual maturity | 128,000 | 100,979
Lennar Corp. company guaranty sr. unsec. sub. notes |  |
5.875%, 11/15/24 | 74,000 | 74,851
Lions Gate Capital Holdings, LLC 144A company guaranty sr. |  |
unsec. notes 5.875%, 11/1/24 | 181,000 | 154,755
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes |  |
6.375%, 2/1/24 | 115,000 | 101,200
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. |  |
notes 4.875%, 11/1/24 | 141,000 | 128,361
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. |  |
sub. notes 5.625%, 3/15/26 | 129,000 | 119,970
Masonite International Corp. 144A company guaranty sr. unsec. |  |
notes 5.375%, 2/1/28 | 45,000 | 44,226
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, |  |
12/15/27 (Canada) | 170,000 | 158,100
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, |  |
3/1/30 (Canada) | 135,000 | 116,100
Mattel, Inc. 144A company guaranty sr. unsec. notes |  |
5.875%, 12/15/27 | 170,000 | 174,726
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 | 120,000 | 105,276
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 | 238,000 | 198,135
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. |  |
notes 5.625%, 8/1/24 | 85,000 | 80,005
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 | 160,000 | 156,400
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. |  |
unsec. notes 5.00%, 2/1/25 (Luxembourg) | 183,000 | 169,733
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty |  |
sr. unsec. sub. notes 5.00%, 4/15/22 | 215,000 | 198,191
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. |  |
unsec. bonds 4.625%, 3/15/30 | 36,000 | 32,040
Outfront Media Capital, LLC/Outfront Media Capital Corp. |  |
company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 | 150,000 | 144,000
Owens Corning company guaranty sr. unsec. notes 4.20%, 12/1/24 | 129,000 | 131,500
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. |  |
notes 5.75%, 10/1/22 | 192,000 | 177,600

Master Intermediate Income Trust 35

| Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. | amount | Value
Consumer cyclicals cont. |  |
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. |  |
notes 5.50%, 5/15/26 | $107,000 | $97,605
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. |  |
notes 5.375%, 12/1/24 | 124,000 | 102,140
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A |  |
notes 6.25%, 1/15/28 | 115,000 | 99,188
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes |  |
5.50%, 3/1/26 | 320,000 | 314,709
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes |  |
6.25%, 5/15/26 | 98,000 | 101,185
Scientific Games International, Inc. 144A company guaranty sr. |  |
unsec. notes 7.25%, 11/15/29 | 85,000 | 53,125
Scientific Games International, Inc. 144A company guaranty sr. |  |
notes 5.00%, 10/15/25 | 65,000 | 56,550
Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes |  |
4.50%, 10/15/29 | 168,000 | 160,020
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. |  |
bonds 5.50%, 3/1/30 | 115,000 | 95,163
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.50%, 7/1/29 | 135,000 | 137,700
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 367,000 | 369,753
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. |  |
bonds 5.50%, 4/15/27 | 299,000 | 251,908
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds |  |
5.00%, 10/1/29 | 55,000 | 46,750
Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 | 203,000 | 199,508
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 | 244,000 | 235,460
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 10,000 | 9,210
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 115,000 | 93,150
Univision Communications, Inc. 144A company guaranty sr. notes |  |
5.125%, 5/15/23 | 220,000 | 194,700
Univision Communications, Inc. 144A company guaranty sr. sub. |  |
notes 5.125%, 2/15/25 | 95,000 | 80,988
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes |  |
6.00%, 2/1/23 | 190,000 | 178,600
WMG Acquisition Corp. 144A company guaranty sr. notes |  |
5.00%, 8/1/23 | 123,000 | 122,078
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. |  |
bonds 5.00%, 9/1/26 | 101,000 | 96,354
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. |  |
notes 5.375%, 4/15/26 | 110,000 | 95,700
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company |  |
guaranty sr. unsec. sub. notes 5.25%, 5/15/27 | 150,000 | 135,750
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. |  |
unsec. bonds 5.125%, 10/1/29 | 145,000 | 131,950
|  | 10,000,995
Consumer staples (1.5%) |  |
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty |  |
notes 5.00%, 10/15/25 (Canada) | 175,000 | 168,875
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty |  |
notes 4.375%, 1/15/28 (Canada) | 77,000 | 71,140
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. |  |
notes 3.875%, 1/15/28 (Canada) | 100,000 | 95,000

36 Master Intermediate Income Trust

|  | Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. |  | amount | Value
Consumer staples cont. |  |  |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, |  |  |
LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 |  | $35,000 | $34,913
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, |  |  |
LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 |  | 215,000 | 213,925
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes |  |  |
7.75%, 1/15/27 |  | 10,000 | 10,337
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. |  |  |
notes 6.375%, 7/15/26 |  | 45,000 | 45,450
Europcar Mobility Group notes Ser. REGS, 4.125%, |  |  |
11/15/24 (France) | EUR | 100,000 | 49,079
Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company |  |  |
guaranty sr. unsec. notes 5.25%, 12/1/27 |  | $55,000 | 55,506
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes |  |  |
8.75%, 10/1/25 |  | 103,000 | 52,530
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 |  | 227,000 | 142,985
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 |  | 326,000 | 309,700
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 | 129,818
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 | 127,400
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC |  |  |
144A company guaranty sr. unsec. notes 4.75%, 6/1/27 |  | 110,000 | 103,400
Kraft Heinz Co. (The) company guaranty sr. unsec. notes |  |  |
3.00%, 6/1/26 |  | 171,000 | 166,140
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. |  |  |
unsub. notes 4.875%, 11/1/26 |  | 157,000 | 159,729
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. |  |  |
unsub. notes 4.625%, 11/1/24 |  | 37,000 | 36,445
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 |  | 351,000 | 335,205
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 |  | 120,000 | 123,600
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 |  | 60,000 | 65,382
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 |  | 230,000 | 245,755
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 |  | 60,000 | 62,259
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 |  | 35,000 | 35,530
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 |  | 105,000 | 103,089
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes |  |  |
5.125%, 1/15/28 |  | 25,000 | 24,758
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 |  | 55,000 | 51,700
Yum! Brands, Inc. 144A sr. unsec. notes 7.75%, 4/1/25 ### |  | 25,000 | 26,250
|  |  | 3,045,900
Energy (3.6%) |  |  |
Aker BP ASA 144A sr. unsec. notes 6.00%, 7/1/22 (Norway) |  | 150,000 | 135,000
Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) |  | 189,000 | 167,236
Aker BP ASA 144A sr. unsec. notes 3.75%, 1/15/30 (Norway) |  | 150,000 | 112,153
Antero Resources Corp. company guaranty sr. unsec. sub. notes |  |  |
5.375%, 11/1/21 |  | 182,000 | 132,405
Antero Resources Corp. company guaranty sr. unsec. sub. notes |  |  |
5.125%, 12/1/22 |  | 72,000 | 37,440
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 |  | 145,000 | 111,650
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. |  |  |
unsec. notes 10.00%, 4/1/22 |  | 118,000 | 69,030

Master Intermediate Income Trust 37

| Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. | amount | Value
Energy cont. |  |
California Resources Corp. 144A company guaranty notes |  |
8.00%, 12/15/22 | $53,000 | $795
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes |  |
5.875%, 3/31/25 | 48,000 | 40,206
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes |  |
5.125%, 6/30/27 | 440,000 | 390,768
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes |  |
7.50%, 5/15/25 | 66,000 | 42,900
Denbury Resources, Inc. 144A company guaranty notes |  |
9.25%, 3/31/22 | 12,000 | 2,880
Denbury Resources, Inc. 144A company guaranty notes |  |
9.00%, 5/15/21 | 275,000 | 80,438
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. |  |
notes 5.375%, 5/31/25 | 152,000 | 112,069
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. |  |
bonds 5.75%, 1/30/28 | 226,000 | 153,680
Hess Midstream Operations LP 144A company guaranty sr. unsec. |  |
sub. notes 5.625%, 2/15/26 | 267,000 | 188,519
Hess Midstream Operations LP 144A sr. unsec. notes |  |
5.125%, 6/15/28 | 102,000 | 71,686
Holly Energy Partners LP/Holly Energy Finance Corp. 144A |  |
company guaranty sr. unsec. notes 5.00%, 2/1/28 | 55,000 | 46,063
Indigo Natural Resources, LLC 144A sr. unsec. notes |  |
6.875%, 2/15/26 | 71,000 | 46,860
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, |  |
3/31/24 (Canada) | 13,000 | 5,996
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) | 196,000 | 123,970
MEG Energy Corp. 144A sr. unsec. notes 7.125%, 2/1/27 (Canada) | 87,000 | 42,988
Nabors Industries, Inc. company guaranty sr. unsec. notes |  |
5.75%, 2/1/25 | 179,000 | 39,380
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes |  |
7.50%, 1/15/28 | 140,000 | 44,800
Nabors Industries, Ltd. 144A company guaranty sr. unsec. notes |  |
7.25%, 1/15/26 | 55,000 | 18,700
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 | 96,000 | 65,360
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 | 55,000 | 13,756
Noble Holding International, Ltd. company guaranty sr. unsec. |  |
unsub. notes 7.75%, 1/15/24 | 56,000 | 5,040
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes |  |
6.875%, 3/15/22 | 55,000 | 10,863
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 | 96,000 | 15,360
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, |  |
5/3/22 (Indonesia) | 925,000 | 924,998
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, |  |
5/20/23 (Indonesia) | 200,000 | 198,992
Petrobras Global Finance BV company guaranty sr. unsec. unsub. |  |
bonds 7.375%, 1/17/27 (Brazil) | 879,000 | 900,782
Petrobras Global Finance BV company guaranty sr. unsec. unsub. |  |
notes 6.125%, 1/17/22 (Brazil) | 222,000 | 219,780
Petrobras Global Finance BV company guaranty sr. unsec. unsub. |  |
notes 5.999%, 1/27/28 (Brazil) | 169,000 | 160,973

38 Master Intermediate Income Trust

| Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. | amount | Value
Energy cont. |  |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. |  |
notes 5.299%, 1/27/25 (Brazil) | $409,000 | $384,460
Petroleos de Venezuela SA company guaranty sr. unsec. bonds |  |
Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default) † | 399,000 | 23,940
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. |  |
notes 5.375%, 4/12/27 (Venezuela) (In default) † | 824,000 | 57,680
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds |  |
6.50%, 1/23/29 (Mexico) | 432,000 | 310,818
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. |  |
notes 5.95%, 1/28/31 (Mexico) | 1,420,000 | 984,798
Precision Drilling Corp. 144A company guaranty sr. unsec. notes |  |
7.125%, 1/15/26 (Canada) | 51,000 | 16,830
Regency Energy Partners LP/Regency Energy Finance Corp. |  |
company guaranty sr. unsec. notes 5.00%, 10/1/22 | 85,000 | 77,404
Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 | 175,000 | 162,043
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 | 136,000 | 39,585
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 | 67,000 | 22,110
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 49,000 | 14,700
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 | 96,000 | 40,620
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A |  |
company guaranty sr. unsec. notes 5.50%, 1/15/28 | 186,000 | 96,720
Targa Resources Partners LP/Targa Resources Partners Finance |  |
Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 | 35,000 | 28,175
Targa Resources Partners LP/Targa Resources Partners Finance |  |
Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 | 185,000 | 157,713
Targa Resources Partners LP/Targa Resources Partners Finance |  |
Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 | 44,000 | 35,467
Targa Resources Partners LP/Targa Resources Partners Finance |  |
Corp. 144A sr. unsec. bonds 5.50%, 3/1/30 | 35,000 | 27,034
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, |  |
8/1/25 (Cayman Islands) | 68,470 | 55,461
Transocean Poseidon, Ltd. 144A company guaranty sr. notes |  |
6.875%, 2/1/27 | 88,000 | 71,280
Valaris PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) | 54,000 | 4,995
Viper Energy Partners LP 144A company guaranty sr. unsec. notes |  |
5.375%, 11/1/27 | 35,000 | 29,400
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 | 27,000 | 19,845
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 | 101,000 | 57,570
WPX Energy, Inc. sr. unsec. notes 4.50%, 1/15/30 | 45,000 | 24,435
WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 | 99,000 | 54,450
|  | 7,531,049
Financials (2.9%) |  |
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 | 105,000 | 88,200
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A |  |
sr. unsec. notes 6.75%, 10/15/27 | 85,000 | 79,594
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 899,000 | 879,402
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) | 200,000 | 204,307
CBRE Services, Inc. company guaranty sr. unsec. notes |  |
5.25%, 3/15/25 | 75,000 | 80,746
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 | 94,000 | 89,770
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 | 242,000 | 235,950

Master Intermediate Income Trust 39

|  | Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. |  | amount | Value
Financials cont. |  |  |
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 |  | $34,000 | $32,980
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 |  | 100,000 | 97,028
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 |  | 304,000 | 316,350
Commerzbank AG 144A unsec. sub. notes 8.125%, |  |  |
9/19/23 (Germany) |  | 200,000 | 209,086
Credit Acceptance Corp. company guaranty sr. unsec. notes |  |  |
6.625%, 3/15/26 |  | 55,000 | 52,234
Credit Acceptance Corp. 144A sr. unsec. notes 5.125%, 12/31/24 |  | 55,000 | 50,050
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes |  |  |
5.25%, 5/1/25 R |  | 100,000 | 84,000
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, |  |  |
4/17/28 (Canada) |  | 75,000 | 81,296
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 |  | 53,000 | 42,696
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. |  |  |
notes 5.25%, 6/1/25 |  | 115,000 | 106,375
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. |  |  |
unsub. notes 5.375%, 4/15/26 |  | 79,000 | 70,026
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, |  |  |
12/1/24 (Canada) |  | 115,000 | 107,203
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company |  |  |
guaranty sr. unsec. notes 6.75%, 2/1/24 |  | 95,000 | 91,675
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company |  |  |
guaranty sr. unsec. notes 6.25%, 5/15/26 |  | 104,000 | 98,280
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company |  |  |
guaranty sr. unsec. notes 5.25%, 5/15/27 |  | 70,000 | 64,663
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company |  |  |
guaranty sr. unsec. notes 4.75%, 9/15/24 ### |  | 65,000 | 59,781
International Lease Finance Corp. sr. unsec. unsub. notes |  |  |
5.875%, 8/15/22 |  | 15,000 | 13,500
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) |  | 200,000 | 204,500
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R |  | 156,000 | 131,040
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R |  | 158,000 | 129,939
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22 R |  | 55,000 | 50,738
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance |  |  |
Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R |  | 115,000 | 90,850
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes |  |  |
5.75%, 9/15/25 |  | 230,000 | 220,800
MGM Growth Properties Operating Partnership LP/MGP Finance |  |  |
Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28 R |  | 50,000 | 42,500
Miller Homes Group Holdings PLC company guaranty sr. notes |  |  |
Ser. REGS, 5.50%, 10/15/24 (United Kingdom) | GBP | 100,000 | 109,564
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. |  |  |
unsec. notes 9.125%, 7/15/26 |  | $125,000 | 113,438
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. |  |  |
unsec. notes 8.125%, 7/15/23 |  | 100,000 | 97,750
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. |  |  |
unsec. notes 6.00%, 1/15/27 |  | 60,000 | 51,000
Provident Funding Associates LP/PFG Finance Corp. 144A sr. |  |  |
unsec. notes 6.375%, 6/15/25 |  | 135,000 | 113,400
Royal Bank of Scotland Group PLC sr. unsec. unsub. FRN 4.269%, |  |  |
3/22/25 (United Kingdom) |  | 570,000 | 593,728

40 Master Intermediate Income Trust

|  | Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. |  | amount | Value
Financials cont. |  |  |
Royal Bank of Scotland Group PLC unsec. sub. bonds 5.125%, |  |  |
5/28/24 (United Kingdom) |  | $100,000 | $102,411
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes |  |  |
7.125%, 3/15/26 |  | 60,000 | 59,400
Springleaf Finance Corp. company guaranty sr. unsec. unsub. |  |  |
notes 6.875%, 3/15/25 |  | 269,000 | 270,915
Springleaf Finance Corp. company guaranty sr. unsec. unsub. |  |  |
notes 5.375%, 11/15/29 |  | 120,000 | 109,800
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25 R |  | 150,000 | 132,000
Stearns Holdings, LLC/Stearns Co-Issuer, Inc. 144A notes |  |  |
5.00%, 11/5/24 |  | 2,447 | 1,603
Taylor Morrison Communities, Inc. 144A sr. unsec. notes |  |  |
5.75%, 1/15/28 |  | 55,000 | 49,110
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes |  |  |
11.125%, 4/1/23 |  | 83,000 | 62,458
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, |  |  |
10/17/22 (Russia) |  | 200,000 | 198,500
|  |  | 6,170,636
Health care (2.6%) |  |  |
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 |  | 150,000 | 156,750
Bausch Health Cos., Inc. company guaranty sr. unsec. notes |  |  |
Ser. REGS, 4.50%, 5/15/23 | EUR | 100,000 | 105,273
Bausch Health Cos., Inc. 144A company guaranty sr. notes |  |  |
5.50%, 11/1/25 |  | $220,000 | 222,266
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. bonds |  |  |
5.25%, 1/30/30 |  | 45,000 | 42,550
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes |  |  |
7.25%, 5/30/29 |  | 105,000 | 108,969
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes |  |  |
7.00%, 1/15/28 |  | 55,000 | 56,452
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes |  |  |
6.125%, 4/15/25 |  | 160,000 | 157,600
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes |  |  |
5.00%, 1/30/28 |  | 45,000 | 42,602
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes |  |  |
7.00%, 3/15/24 |  | 160,000 | 162,998
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes |  |  |
6.50%, 3/15/22 |  | 125,000 | 126,250
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 |  | 130,000 | 130,650
Centene Corp. 144A sr. unsec. bonds 4.625%, 12/15/29 |  | 250,000 | 251,250
Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 |  | 45,000 | 45,900
Centene Corp. 144A sr. unsec. notes 5.25%, 4/1/25 |  | 75,000 | 75,375
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 |  | 60,000 | 61,807
CHS/Community Health Systems, Inc. company guaranty sr. notes |  |  |
6.25%, 3/31/23 |  | 401,000 | 380,699
CHS/Community Health Systems, Inc. company guaranty sr. |  |  |
unsec. notes 6.875%, 2/1/22 |  | 105,000 | 78,750
CHS/Community Health Systems, Inc. 144A company guaranty sr. |  |  |
notes 8.00%, 3/15/26 |  | 305,000 | 289,750
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.65%, 8/28/28 |  | 130,000 | 137,066
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 |  | 363,000 | 380,703

Master Intermediate Income Trust 41

| Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. | amount | Value
Health care cont. |  |
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | $245,000 | $252,350
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 | 55,000 | 49,897
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. |  |
notes 12.50%, 11/1/21 | 105,000 | 104,738
Molina Healthcare, Inc. company guaranty sr. unsec. notes |  |
5.375%, 11/15/22 | 120,000 | 117,000
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes |  |
4.875%, 6/15/25 | 30,000 | 29,250
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 155,000 | 158,100
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 45,000 | 45,000
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 | 498,000 | 506,715
Tenet Healthcare Corp. company guaranty sr. notes |  |
4.625%, 7/15/24 | 240,000 | 229,200
Tenet Healthcare Corp. 144A company guaranty notes |  |
6.25%, 2/1/27 | 55,000 | 53,625
Tenet Healthcare Corp. 144A company guaranty sr. notes |  |
5.125%, 11/1/27 | 235,000 | 223,838
Tenet Healthcare Corp. 144A company guaranty sr. notes |  |
4.875%, 1/1/26 | 339,000 | 322,898
Teva Pharmaceutical Finance Netherlands III BV company |  |
guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) | 200,000 | 190,500
Teva Pharmaceutical Finance Netherlands III BV company |  |
guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) | 200,000 | 196,498
|  | 5,493,269
Technology (1.0%) |  |
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 70,000 | 69,895
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 | 105,000 | 106,260
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A |  |
company guaranty sr. notes 6.02%, 6/15/26 | 570,000 | 588,287
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A |  |
company guaranty sr. unsec. notes 7.125%, 6/15/24 | 221,000 | 228,183
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 | 55,000 | 57,200
Nutanix, Inc. cv. sr. unsec. notes zero %, 1/15/23 | 71,000 | 57,821
Plantronics, Inc. 144A company guaranty sr. unsec. notes |  |
5.50%, 5/31/23 | 365,000 | 265,538
Qorvo, Inc. company guaranty sr. unsec. unsub. notes |  |
5.50%, 7/15/26 | 95,000 | 99,299
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes |  |
5.50%, 9/30/27 | 263,000 | 274,178
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. |  |
unsec. notes 6.75%, 6/1/25 | 85,000 | 77,780
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes |  |
5.625%, 10/1/25 | 279,000 | 234,360
Western Digital Corp. company guaranty sr. unsec. notes |  |
4.75%, 2/15/26 | 94,000 | 95,410
|  | 2,154,211
Transportation (0.1%) |  |
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. |  |
unsec. notes 6.375%, 4/1/23 | 229,000 | 223,275
|  | 223,275

42 Master Intermediate Income Trust

|  | Principal |
CORPORATE BONDS AND NOTES (25.2%)* cont. |  | amount | Value
Utilities and power (1.1%) |  |  |
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 |  | $665,000 | $648,375
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 |  | 60,000 | 60,149
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.875%, 5/15/23 |  | 60,000 | 57,900
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23 |  | 60,000 | 58,800
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 |  | 29,000 | 23,771
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 |  | 45,000 | 36,900
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 |  | 86,000 | 81,700
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 |  | 170,000 | 164,773
NRG Energy, Inc. company guaranty sr. unsec. notes |  |  |
7.25%, 5/15/26 |  | 94,000 | 98,465
NRG Energy, Inc. company guaranty sr. unsec. notes |  |  |
6.625%, 1/15/27 |  | 27,000 | 28,080
NRG Energy, Inc. company guaranty sr. unsec. notes |  |  |
5.75%, 1/15/28 |  | 145,000 | 147,900
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 |  | 145,000 | 146,701
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 |  | 170,000 | 168,025
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 |  | 117,000 | 120,510
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. |  |  |
escrow company guaranty sr. notes 11.50%, 10/1/20 F |  | 90,000 | 135
Vistra Energy Corp. 144A company guaranty sr. unsec. notes |  |  |
8.125%, 1/30/26 |  | 78,000 | 81,023
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes |  |  |
5.00%, 7/31/27 |  | 75,000 | 76,125
Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 |  | 50,000 | 44,331
Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 |  | 30,000 | 28,195
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 |  | 68,000 | 70,125
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 |  | 168,000 | 173,040
|  |  | 2,315,023
Total corporate bonds and notes (cost $59,328,304) |  |  | $53,156,738
FOREIGN GOVERNMENT AND AGENCY |  | Principal |
BONDS AND NOTES (9.9%)* |  | amount | Value
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, |  |  |
1/13/28 (Brazil) |  | $2,125,000 | $2,234,191
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, |  |  |
7.875%, 6/15/27 (Argentina) |  | 400,000 | 101,600
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, |  |  |
6.50%, 2/15/23 (Argentina) |  | 75,000 | 18,900
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates |  |  |
BADLAR + 3.83%), 33.929%, 5/31/22 (Argentina) | ARS | 7,745,000 | 65,031
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, |  |  |
6/15/27 (Argentina) |  | $2,140,000 | 543,560
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, |  |  |
1/26/21 (Argentina) |  | 341,333 | 101,404
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, |  |  |
3/16/24 (Argentina) |  | 1,635,000 | 416,108
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, |  |  |
9/1/24 (Argentina) |  | 1,460,000 | 576,700
Cordoba (Province of) 144A sr. unsec. unsub. notes 7.125%, |  |  |
6/10/21 (Argentina) |  | 547,000 | 354,872

Master Intermediate Income Trust 43

FOREIGN GOVERNMENT AND AGENCY |  | Principal |
BONDS AND NOTES (9.9%)* cont. |  | amount | Value
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 |  |  |
(Dominican Republic) |  | $113,333 | $113,333
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, |  |  |
4/20/27 (Dominican Republic) |  | 235,000 | 244,400
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, |  |  |
1/29/26 (Dominican Republic) |  | 661,000 | 647,780
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, |  |  |
7/19/28 (Dominican Republic) |  | 330,000 | 310,203
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, |  |  |
1/25/27 (Dominican Republic) |  | 134,000 | 124,620
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, |  |  |
1/27/25 (Dominican Republic) |  | 380,000 | 357,200
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 |  |  |
(Dominican Republic) |  | 260,000 | 226,200
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, |  |  |
1/27/25 (Dominican Republic) |  | 725,000 | 681,500
Ecuador (Republic of) 144A sr. unsec. notes 9.50%, |  |  |
3/27/30 (Ecuador) |  | 646,000 | 188,724
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, |  |  |
3/1/29 (Egypt) |  | 1,400,000 | 1,239,970
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, |  |  |
6/11/25 (Egypt) |  | 600,000 | 536,280
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, |  |  |
1/18/27 (El Salvador) |  | 378,000 | 330,750
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, |  |  |
1/30/25 (El Salvador) |  | 300,000 | 263,250
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, |  |  |
2/14/30 (Indonesia) |  | 379,000 | 367,618
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, |  |  |
1/8/26 (Indonesia) |  | 1,020,000 | 1,064,594
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, |  |  |
1/15/25 (Indonesia) |  | 360,000 | 368,544
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, |  |  |
1/8/26 (Indonesia) |  | 200,000 | 211,497
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, |  |  |
1/8/27 (Indonesia) |  | 650,000 | 674,385
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, |  |  |
4/15/23 (Indonesia) |  | 560,000 | 559,306
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, |  |  |
3/22/30 (Ivory Coast) | EUR | 1,345,000 | 1,265,310
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, |  |  |
3/3/28 (Ivory Coast) |  | $375,000 | 344,059
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, |  |  |
7/23/24 (Ivory Coast) |  | 1,300,000 | 1,174,875
Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, |  |  |
8/1/29 (Oman) |  | 499,000 | 357,404
Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.25%, |  |  |
7/30/24 (Senegal) | EUR | 2,670,000 | 2,509,800
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 |  |  |
(South Africa) |  | $670,000 | 642,698
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 |  |  |
(South Africa) |  | 360,000 | 314,095

44 Master Intermediate Income Trust

FOREIGN GOVERNMENT AND AGENCY | Principal |
BONDS AND NOTES (9.9%)* cont. | amount | Value
United Mexican States sr. unsec. unsub. bonds 3.25%, |  |
4/16/30 (Mexico) | $1,209,000 | $1,136,460
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) |  |
(In default) † | 798,000 | 79,800
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 |  |
(Venezuela) (In default) † | 371,000 | 37,100
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 |  |
(Venezuela) (In default) † | 1,292,000 | 129,200
Total foreign government and agency bonds and notes (cost $28,432,907) |  | $20,913,321

PURCHASED SWAP OPTIONS OUTSTANDING (5.3%)* |  |  |  |
Counterparty |  |  | Notional/ |
Fixed right % to receive or (pay)/ | Expiration |  | Contract |
Floating rate index/Maturity date | date/strike |  | amount | Value
Bank of America N.A. |  |  |  |
(1.465)/3 month USD-LIBOR-BBA/Apr-50 | Apr-20/1.465 |  | $2,590,100 | $181
Citibank, N.A. |  |  |  |
1.629/3 month USD-LIBOR-BBA/Jan-26 | Jan-21/1.629 |  | 7,362,900 | 407,316
1.996/3 month USD-LIBOR-BBA/Jan-26 | Jan-21/1.996 |  | 7,362,900 | 388,614
1.316/3 month USD-LIBOR-BBA/Oct-21 | Oct-20/1.316 |  | 37,998,200 | 381,122
(1.996)/3 month USD-LIBOR-BBA/Jan-26 | Jan-21/1.996 |  | 7,362,900 | 21,279
(1.629)/3 month USD-LIBOR-BBA/Jan-26 | Jan-21/1.629 |  | 7,362,900 | 4,712
(1.316)/3 month USD-LIBOR-BBA/Oct-21 | Oct-20/1.316 |  | 37,998,200 | 38
Goldman Sachs International |  |  |  |
2.988/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 |  | 3,156,500 | 622,714
(2.988)/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 |  | 3,156,500 | 52,272
(2.983)/3 month USD-LIBOR-BBA/May-52 | May-22/2.983 |  | 5,508,200 | 35,638
JPMorgan Chase Bank N.A. |  |  |  |
2.795/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 |  | 3,169,000 | 575,269
2.7575/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 |  | 3,169,000 | 565,698
(1.042)/3 month USD-LIBOR-BBA/Sep-50 | Sep-20/1.042 |  | 7,158,300 | 368,581
1.101/3 month USD-LIBOR-BBA/Mar-31 | Mar-21/1.101 |  | 7,275,100 | 356,844
1.33/3 month USD-LIBOR-BBA/Oct-21 | Oct-20/1.33 |  | 29,451,700 | 300,407
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 |  | 3,169,000 | 54,475
(2.795)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 |  | 3,169,000 | 52,986
Morgan Stanley & Co. International PLC |  |  |  |
3.00/3 month USD-LIBOR-BBA/Apr-72 | Apr-47/3.00 |  | 3,150,300 | 1,516,932
3.00/3 month USD-LIBOR-BBA/Feb-73 | Feb-48/3.00 |  | 3,150,300 | 1,509,466
2.75/3 month USD-LIBOR-BBA/May-73 | May-48/2.75 |  | 3,150,300 | 1,345,934
2.7725/3 month USD-LIBOR-BBA/Feb-31 | Feb-21/2.7725 |  | 5,944,600 | 1,179,171
1.613/3 month USD-LIBOR-BBA/Aug-34 | Aug-24/1.613 |  | 3,902,100 | 356,184
(1.613)/3 month USD-LIBOR-BBA/Aug-34 | Aug-24/1.613 |  | 3,902,100 | 111,171
(0.01)/6 month EUR-EURIBOR-Reuters/Apr-30 | Apr-20/0.01 | EUR | 2,941,500 | 26,148
(2.904)/3 month USD-LIBOR-BBA/May-51 | May-21/2.904 |  | $2,360,700 | 5,571
(2.7725)/3 month USD-LIBOR-BBA/Feb-31 | Feb-21/2.7725 |  | 5,944,600 | 2,735
(1.719)/3 month USD-LIBOR-BBA/Apr-50 | Apr-20/1.719 |  | 1,405,400 | 675
Toronto-Dominion Bank |  |  |  |
(1.04)/3 month USD-LIBOR-BBA/Mar-55 (Canada) | Mar-25/1.04 |  | 588,000 | 78,710
(1.12625)/3 month USD-LIBOR-BBA/Apr-30 (Canada) | Apr-20/1.12625 |  | 6,840,100 | 6,635

Master Intermediate Income Trust 45

PURCHASED SWAP OPTIONS OUTSTANDING (5.3%)* cont. |  |  |
Counterparty |  |  | Notional/ |
Fixed right % to receive or (pay)/ | Expiration |  | Contract |
Floating rate index/Maturity date | date/strike |  | amount | Value
UBS AG |  |  |  |
1.5025/3 month USD-LIBOR-BBA/Oct-21 | Oct-20/1.5025 |  | $39,518,100 | $470,264
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 5,920,000 | 153,566
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 5,920,000 | 149,779
(0.895)/3 month USD-LIBOR-BBA/Apr-30 | Apr-20/0.895 |  | $2,843,000 | 8,557
(1.5025)/3 month USD-LIBOR-BBA/Oct-21 | Oct-20/1.5025 |  | 39,518,100 | 40
Total purchased swap options outstanding (cost $5,388,388) |  |  | $11,109,684

PURCHASED OPTIONS | Expiration |  |  |  |
OUTSTANDING (1.6%)* | date/strike | Notional |  | Contract |
Counterparty | price | amount |  | amount | Value
Bank of America N.A. |  |  |  |  |
USD/JPY (Put) | Jun-20/JPY 108.00 | $3,805,875 |  | $3,805,875 | $92,574
USD/JPY (Put) | Apr-20/JPY 106.00 | 3,805,875 |  | 3,805,875 | 28,103
Barclays Bank PLC |  |  |  |  |
GBP/USD (Call) | Apr-20/1.34 | 3,957,206 | GBP | 3,185,900 | 4
Citibank, N.A. |  |  |  |  |
USD/CHF (Put) | Jun-20/CHF 0.91 | 4,160,850 |  | $4,160,850 | 12,953
USD/JPY (Put) | Jun-20/JPY 108.00 | 3,805,875 |  | 3,805,875 | 92,574
Goldman Sachs International |  |  |  |  |
EUR/NOK (Put) | Apr-20/NOK 9.60 | 6,255,539 | EUR | 5,671,900 | 6
USD/CHF (Put) | Jun-20/CHF 0.94 | 4,160,850 |  | $4,160,850 | 30,158
USD/JPY (Put) | Jun-20/JPY 108.00 | 3,805,875 |  | 3,805,875 | 92,574
JPMorgan Chase Bank N.A. |  |  |  |  |
Uniform Mortgage-Backed |  |  |  |  |
Securities 30 yr 2.50% TBA |  |  |  |  |
commitments (Call) | May-20/$102.81 | 75,000,000 |  | 75,000,000 | 539,325
Uniform Mortgage-Backed |  |  |  |  |
Securities 30 yr 3.00% TBA |  |  |  |  |
commitments (Call) | Apr-20/103.00 | 74,000,000 |  | 74,000,000 | 1,352,350
Uniform Mortgage-Backed |  |  |  |  |
Securities 30 yr 3.00% TBA |  |  |  |  |
commitments (Call) | Apr-20/102.94 | 15,000,000 |  | 15,000,000 | 283,500
Uniform Mortgage-Backed |  |  |  |  |
Securities 30 yr 3.50% TBA |  |  |  |  |
commitments (Call) | Apr-20/103.13 | 30,000,000 |  | 30,000,000 | 782,550
Uniform Mortgage-Backed |  |  |  |  |
Securities 30 yr 3.50% TBA |  |  |  |  |
commitments (Put) | Apr-20/104.03 | 9,000,000 |  | 9,000,000 | 9
UBS AG |  |  |  |  |
GBP/USD (Call) | Apr-20/1.34 | 3,957,206 | GBP | 3,185,900 | 166
Total purchased options outstanding (cost $1,093,516) |  |  |  | $3,306,846

| Principal |
CONVERTIBLE BONDS AND NOTES (3.5%)* | amount | Value
Capital goods (0.1%) |  |
Fortive Corp. cv. company guaranty sr. unsec. notes |  |
0.875%, 2/15/22 | $150,000 | $139,031
II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 | 98,000 | 89,744
|  | 228,775

46 Master Intermediate Income Trust

| Principal |
CONVERTIBLE BONDS AND NOTES (3.5%)* cont. | amount | Value
Communication services (0.3%) |  |
8x8, Inc. cv. sr. unsec. notes 0.50%, 2/1/24 | $86,000 | $74,907
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | 113,000 | 91,739
GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 | 134,000 | 168,675
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 | 38,000 | 35,910
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds |  |
2.75%, 12/1/49 | 168,000 | 143,328
Vonage Holdings Corp. 144A cv. sr. unsec. notes 1.75%, 6/1/24 | 90,000 | 72,611
|  | 587,170
Consumer cyclicals (0.4%) |  |
FTI Consulting, Inc. cv. sr. unsec. notes 2.00%, 8/15/23 | 97,000 | 126,516
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 | 21,000 | 16,354
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 | 64,000 | 60,397
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 | 190,000 | 180,580
Marriott Vacations Worldwide Corp. cv. sr. unsec. notes |  |
1.50%, 9/15/22 | 116,000 | 90,625
Priceline Group, Inc. (The) cv. sr. unsec. bonds 0.90%, 9/15/21 | 135,000 | 134,582
RH 144A cv. sr. unsec. notes zero %, 9/15/24 | 123,000 | 89,747
Square, Inc. 144A cv. sr. unsec. notes 0.125%, 3/1/25 | 66,000 | 57,038
Winnebago Industries, Inc. 144A cv. sr. unsec. notes 1.50%, 4/1/25 | 57,000 | 42,714
|  | 798,553
Consumer staples (0.3%) |  |
Chegg, Inc. 144A cv. sr. unsec. notes 0.125%, 3/15/25 | 71,000 | 67,131
Etsy, Inc. 144A cv. sr. unsec. notes 0.125%, 10/1/26 | 161,000 | 132,525
IAC Financeco 2, Inc. 144A cv. company guaranty sr. unsec. notes |  |
0.875%, 6/15/26 | 219,000 | 201,496
Wayfair, Inc. cv. sr. unsec. notes 1.125%, 11/1/24 | 103,000 | 70,416
Zillow Group, Inc. 144A cv. sr. unsec. sub. notes 1.375%, 9/1/26 | 158,000 | 161,230
|  | 632,798
Energy (—%) |  |
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20 |  |
(acquired 2/2/17, cost $24,845) (Cayman Islands) | 35,887 | 7,177
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 | 35,000 | 5,277
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes |  |
0.50%, 1/30/23 | 96,000 | 33,366
|  | 45,820
Financials (0.2%) |  |
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes |  |
4.75%, 3/15/23 R | 79,000 | 62,015
Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. |  |
notes 3.25%, 3/15/22 | 82,000 | 72,032
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes |  |
3.50%, 1/15/22 R | 77,000 | 82,023
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. |  |
unsec. notes 0.25%, 5/1/23 | 116,000 | 108,170
Redfin Corp. cv. sr. unsec. notes 1.75%, 7/15/23 | 50,000 | 45,246
|  | 369,486
Health care (0.4%) |  |
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes |  |
0.599%, 8/1/24 | 99,000 | 103,745
CONMED Corp. cv. sr. unsec. notes 2.625%, 2/1/24 | 63,000 | 58,317

Master Intermediate Income Trust 47

| Principal |
CONVERTIBLE BONDS AND NOTES (3.5%)* cont. | amount | Value
Health care cont. |  |
DexCom, Inc. cv. sr. unsec. unsub. notes 0.75%, 12/1/23 | $43,000 | $74,720
Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 | 267,000 | 224,340
Illumina, Inc. cv. sr. unsec. notes zero %, 8/15/23 | 40,000 | 38,282
Insulet Corp. 144A cv. sr. unsec. notes 0.375%, 9/1/26 | 23,000 | 23,238
Integra LifeSciences Holdings Corp. 144A cv. sr. unsec. notes |  |
0.50%, 8/15/25 | 50,000 | 44,179
Ironwood Pharmaceuticals, Inc. 144A cv. sr. unsec. notes |  |
1.50%, 6/15/26 | 56,000 | 56,314
Ironwood Pharmaceuticals, Inc. 144A cv. sr. unsec. notes |  |
0.75%, 6/15/24 | 52,000 | 52,910
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes |  |
1.50%, 8/15/24 (Ireland) | 98,000 | 85,674
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 | 41,000 | 52,339
Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes |  |
2.375%, 4/1/22 | 70,000 | 67,460
Tabula Rasa HealthCare, Inc. 144A cv. sr. unsec. sub. notes |  |
1.75%, 2/15/26 | 70,000 | 68,469
|  | 949,987
Technology (1.7%) |  |
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 | 193,000 | 215,393
Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.375%, 9/1/27 | 111,000 | 110,551
Blackline, Inc. 144A cv. sr. unsec. notes 0.125%, 8/1/24 | 93,000 | 90,994
Cree, Inc. cv. sr. unsec. notes 0.875%, 9/1/23 | 99,000 | 90,327
CyberArk Software, Ltd. 144A cv. sr. unsec. notes zero %, |  |
11/15/24 (Israel) | 75,000 | 64,978
DocuSign, Inc. cv. sr. unsec. notes 0.50%, 9/15/23 | 85,000 | 119,397
Envestnet, Inc. cv. sr. unsec. notes 1.75%, 6/1/23 | 102,000 | 104,248
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 | 64,000 | 61,663
Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 | 48,000 | 70,021
j2 Global, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 | 75,000 | 68,438
LivePerson, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/24 | 48,000 | 44,000
Lumentum Holdings, Inc. 144A cv. sr. unsec. notes 0.50%, 12/15/26 | 219,000 | 222,833
Microchip Technology, Inc. cv. sr. unsec. sub. notes |  |
1.625%, 2/15/27 | 61,000 | 62,830
New Relic, Inc. cv. sr. unsec. notes 0.50%, 5/1/23 | 69,000 | 58,072
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 | 198,000 | 213,204
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. |  |
notes 1.625%, 10/15/23 | 102,000 | 101,309
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.75%, 7/1/23 | 268,000 | 258,672
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 | 50,000 | 43,695
Pluralsight, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/24 | 74,000 | 54,501
Proofpoint, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 8/15/24 | 123,000 | 115,466
Q2 Holdings, Inc. 144A cv. sr. unsec. unsub. notes 0.75%, 6/1/26 | 83,000 | 73,940
RingCentral, Inc. 144A cv. sr. unsec. notes zero %, 3/1/25 | 132,000 | 122,285
SailPoint Technologies Holding, Inc. 144A cv. sr. unsec. notes |  |
0.125%, 9/15/24 | 59,000 | 50,298
Silicon Laboratories, Inc. cv. sr. unsec. notes 1.375%, 3/1/22 | 47,000 | 51,999
Snap, Inc. 144A cv. sr. unsec. notes 0.75%, 8/1/26 | 187,000 | 164,285
Splunk, Inc. cv. sr. unsec. notes 1.125%, 9/15/25 | 312,000 | 344,760

48 Master Intermediate Income Trust

| Principal |
CONVERTIBLE BONDS AND NOTES (3.5%)* cont. | amount | Value
Technology cont. |  |
Twilio, Inc. cv. sr. unsec. notes 0.25%, 6/1/23 (acquired 12/20/19, |  |
cost $51,661) | $33,000 | $46,044
Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 | 151,000 | 142,704
Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21 | 88,000 | 84,846
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 | 48,000 | 50,607
Wix.com, Ltd. cv. sr. unsec. notes zero %, 7/1/23 (Israel) | 65,000 | 64,124
Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 | 77,000 | 85,278
Zendesk, Inc. cv. sr. unsec. notes 0.25%, 3/15/23 | 63,000 | 74,428
Zynga, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/24 | 96,000 | 98,451
|  | 3,624,641
Transportation (—%) |  |
Air Transport Services Group, Inc. cv. sr. unsec. notes |  |
1.125%, 10/15/24 | 78,000 | 65,910
|  | 65,910
Utilities and power (0.1%) |  |
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds |  |
2.75%, 6/1/48 | 125,000 | 119,063
|  | 119,063
Total convertible bonds and notes (cost $8,452,783) |  | $7,422,203
| Principal |
SENIOR LOANS (3.0%)*c | amount | Value
Basic materials (0.3%) |  |
Alpha 3 BV bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month |  |
+ 3.00%), 4.45%, 1/31/24 | $128,523 | $116,956
Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month |  |
+ 3.00%), 4.777%, 9/6/24 | 30,663 | 22,998
Messer Industries USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 2.50%), 3.95%, 3/1/26 | 106,994 | 94,958
Pisces Midco, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 3.75%), 4.561%, 4/12/25 | 54,583 | 46,942
PQ Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 2.25%), |  |
3.627%, 2/7/27 | 35,839 | 31,807
Solenis International, LLC bank term loan FRN (BBA LIBOR USD |  |
3 Month + 4.00%), 5.612%, 6/26/25 | 144,823 | 113,686
Solenis International, LLC bank term loan FRN (BBA LIBOR USD |  |
3 Month + 8.50%), 10.831%, 6/26/26 ### | 58,000 | 38,280
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (1 Month |  |
US LIBOR + 3.00%), 4.629%, 10/1/25 | 116,049 | 104,444
|  | 570,071
Capital goods (0.8%) |  |
Berry Global, Inc. bank term loan FRN Ser. Y, (BBA LIBOR USD |  |
3 Month + 2.00%), 3.899%, 7/1/26 | 198,500 | 185,201
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month |  |
+ 3.25%), 5.084%, 4/3/24 | 354,963 | 288,407
Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 2.75%), 3.75%, 3/31/24 | 79,734 | 70,564
GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 3.00%), 3.991%, 5/31/25 | 309,119 | 298,686
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR |  |
USD 3 Month + 3.00%), 4.463%, 2/5/23 | 139,935 | 132,064

Master Intermediate Income Trust 49

| Principal |
SENIOR LOANS (3.0%)*c cont. | amount | Value
Capital goods cont. |  |
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month |  |
+ 5.00%), 6.515%, 4/12/26 | $178,650 | $140,910
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN |  |
Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.45%, 3/28/25 | 222,455 | 185,750
Vertiv Group Corp. bank term loan FRN Ser. B, (1 Month US LIBOR |  |
+ 3.00%), 4.655%, 3/2/27 | 410,000 | 366,950
|  | 1,668,532
Communication services (0.4%) |  |
Asurion, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month |  |
+ 3.00%), 3.989%, 11/3/24 | 151,558 | 140,444
Front Range BidCo, Inc. bank term loan FRN (1 Month US LIBOR |  |
+ 3.00%), 4.668%, 3/9/27 | 65,000 | 60,125
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, |  |
(BBA LIBOR USD 3 Month + 3.75%), 5.682%, 11/27/23 | 275,000 | 250,938
Sprint Communications, Inc. bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.00%), 4.00%, 2/3/24 | 381,476 | 375,436
|  | 826,943
Consumer cyclicals (1.0%) |  |
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.50%), 4.489%, 8/21/26 | 84,575 | 75,483
CPG International, Inc. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 3.75%), 4.719%, 5/5/24 | 172,596 | 142,392
Diamond Sports Group, LLC bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.25%), 4.18%, 8/24/26 | 99,500 | 76,615
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 4.75%), 6.69%, 10/23/26 | 82,448 | 77,501
Golden Nugget, Inc. bank term loan FRN Ser. B, (1 Month US LIBOR |  |
+ 2.50%), 4.081%, 10/4/23 | 85,764 | 66,038
Gray Television, Inc. bank term loan FRN Ser. C, (BBA LIBOR USD |  |
3 Month + 2.50%), 4.015%, 11/2/25 | 81,122 | 77,066
iHeartCommunications, Inc. bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.00%), 4.66%, 4/29/26 | 49,875 | 42,070
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month |  |
+ 9.25%), 10.25%, 5/21/24 | 196,985 | 24,623
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month |  |
+ 5.00%), 6.00%, 10/16/23 | 76,811 | 28,996
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month |  |
+ 3.50%), 4.28%, 11/6/24 | 439,723 | 378,162
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 2.75%), 3.735%, 9/19/26 | 139,291 | 129,366
PetSmart, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month |  |
+ 4.00%), 5.00%, 3/11/22 | 92,294 | 88,487
Refinitiv US Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 3.25%), 4.239%, 10/1/25 | 322,913 | 308,920
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 8.00%), 9.00%, 2/28/26 | 100,000 | 55,000
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 3.25%), 4.25%, 2/28/25 | 228,891 | 137,335
Scientific Games International, Inc. bank term loan FRN Ser. B5, |  |
(BBA LIBOR USD 3 Month + 2.75%), 4.246%, 8/14/24 | 64,506 | 51,766

50 Master Intermediate Income Trust

| Principal |
SENIOR LOANS (3.0%)*c cont. | amount | Value
Consumer cyclicals cont. |  |
Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 7.00%), 8.45%, 11/28/22 | $100,007 | $75,006
Terrier Media Buyer, Inc. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 4.25%), 5.99%, 12/17/26 | 99,750 | 85,037
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 4.00%), 5.00%, 7/24/24 | 107,903 | 93,875
|  | 2,013,738
Consumer staples (0.4%) |  |
Ascend Learning, LLC bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 3.00%), 4.00%, 7/12/24 | 271,495 | 240,273
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR |  |
USD 3 Month + 4.25%), 6.085%, 6/21/24 | 393,585 | 314,868
CEC Entertainment, Inc. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 6.50%), 7.572%, 8/30/26 | 273,625 | 145,021
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 2.75%), 4.41%, 2/5/25 | 98,990 | 76,222
Revlon Consumer Products Corp. bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.50%), 5.113%, 9/7/23 | 92,091 | 34,995
|  | 811,379
Energy (—%) |  |
California Resources Corp. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 4.75%), 6.363%, 12/31/22 | 43,000 | 11,610
Lower Cadence Holdings, LLC bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 4.00%), 4.989%, 5/22/26 | 74,280 | 45,063
|  | 56,673
Financials (—%) |  |
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 4.00%), 5.927%, 4/25/25 | 44,888 | 41,297
|  | 41,297
Health care (—%) |  |
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.25%), 4.932%, 4/28/22 | 48,256 | 43,833
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 1.75%), 3.404%, 2/4/27 ### | 65,000 | 61,588
|  | 105,421
Technology (0.1%) |  |
Kronos, Inc./MA bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 3.00%), 4.763%, 11/1/23 | 49,857 | 45,588
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 2.50%), 3.459%, 7/2/25 | 166,373 | 127,553
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 3.00%), 4.763%, 11/3/23 | 63,094 | 56,469
|  | 229,610
Transportation (—%) |  |
Genesee & Wyoming, Inc. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 2.00%), 3.774%, 11/5/26 | 65,000 | 61,994
|  | 61,994
Total senior loans (cost $7,750,348) |  | $6,385,658

Master Intermediate Income Trust 51

| Principal |
ASSET-BACKED SECURITIES (2.4%)* | amount | Value
Mello Warehouse Securitization Trust 144A |  |
FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), |  |
1.797%, 11/25/51 | $136,000 | $136,000
FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), |  |
1.747%, 6/25/52 | 164,000 | 164,000
MRA Issuance Trust 144A FRB Ser. 20-2, Class A, (1 Month US LIBOR |  |
+ 1.15%), 2.731%, 10/22/20 | 1,078,000 | 1,078,079
Station Place Securitization Trust 144A |  |
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.83%), |  |
1.755%, 3/26/21 | 569,000 | 569,000
FRB Ser. 19-11, Class A, (1 Month US LIBOR + 0.75%), |  |
1.679%, 10/24/20 | 518,000 | 518,000
FRB Ser. 19-7, Class A, (1 Month US LIBOR + 0.70%), |  |
1.629%, 9/24/20 | 1,222,000 | 1,222,000
FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), |  |
1.629%, 6/24/20 | 1,244,000 | 1,244,000
FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.65%), |  |
1.597%, 8/25/52 | 230,667 | 230,667
Total asset-backed securities (cost $5,161,667) |  | $5,161,746
COMMON STOCKS (0.0%)* | Shares | Value
Advanz Pharma Corp., Ltd. (Canada) † | 985 | $3,792
CHC Group, LLC (acquired 3/23/17, cost $10,107) (Cayman Islands) † | 697 | 174
Clear Channel Outdoor Holdings, Inc. † | 15,306 | 9,796
iHeartMedia, Inc. Class A † | 6,510 | 47,588
MWO Holdings, LLC (Units) F | 73 | —
Nine Point Energy F | 648 | —
Tervita Corp. (Canada) † | 191 | 471
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 9,820 | 10,802
Tribune Media Co. Class 1C | 40,066 | 22,036
Total common stocks (cost $602,627) |  | $94,659

| Expiration | Strike |  |
WARRANTS (0.0%)* † | date | price | Warrants | Value
Stearns Holdings, LLC Class B F | 11/5/39 | $0.01 | 6,844 | $6,844
Total warrants (cost $6,844) |  |  |  | $6,844
CONVERTIBLE PREFERRED STOCKS (—%)* |  |  | Shares | Value
Nine Point Energy 6.75% cv. pfd. F |  |  | $13 | $—
Total convertible preferred stocks (cost $13,000) |  |  | $—

| Principal amount/ |
SHORT-TERM INVESTMENTS (16.3%)* |  | shares | Value
Putnam Short Term Investment Fund 0.92% L | Shares | 5,451,980 | $5,451,980
State Street Institutional U.S. Government Money Market Fund, |  |  |
Premier Class 0.32% P | Shares | 6,939,000 | 6,939,000
U.S. Treasury Bills 1.625%, 4/16/20 # § |  | $71,000 | 70,998
U.S. Treasury Bills 0.502%, 5/5/20 # ∆ § |  | 2,773,000 | 2,772,833
U.S. Treasury Bills 0.168%, 7/9/20 # ∆ |  | 1,130,000 | 1,129,762
U.S. Treasury Bills 0.310%, 7/23/20 ∆ § |  | 1,507,000 | 1,506,616
U.S. Treasury Bills 0.011%, 8/6/20 ∆ |  | 1,249,000 | 1,248,624

52 Master Intermediate Income Trust

| Principal amount/ |
SHORT-TERM INVESTMENTS (16.3%)* cont. | shares | Value
U.S. Treasury Bills 0.005%, 9/10/20 ∆ | 1,024,000 | $1,023,475
U.S. Treasury Bills zero%, 8/13/20 ∆ § ⦶ | 1,441,000 | 1,440,583
U.S. Treasury Bills zero%, 8/20/20 ∆ § ⦶ | 1,513,000 | 1,512,481
U.S. Treasury Bills 0.595%, 4/7/20 ∆ § | 734,000 | 733,992
U.S. Treasury Bills 1.628%, 4/9/20 ∆ § | 888,000 | 887,982
U.S. Treasury Bills 0.430%, 4/28/20 ∆ § | 1,212,000 | 1,211,968
U.S. Treasury Bills 1.564%, 5/7/20 ∆ § | 993,000 | 992,937
U.S. Treasury Bills 1.562%, 6/4/20 ∆ § | 544,000 | 543,930
U.S. Treasury Bills 1.651%, 4/2/20 § ⦶ | 4,155,000 | 4,155,000
U.S. Treasury Bills 0.478%, 6/11/20 § ⦶ | 677,000 | 676,878
U.S. Treasury Bills 1.581%, 6/18/20 § | 581,000 | 580,883
U.S. Treasury Bills 0.164%, 6/25/20 § | 226,000 | 225,965
U.S. Treasury Bills 0.035%, 9/3/20 ⦶ | 1,063,000 | 1,062,558
U.S. Treasury Bills 0.066%, 9/24/20 ⦶ | 330,000 | 329,848
Total short-term investments (cost $34,491,748) |  | $34,498,293
TOTAL INVESTMENTS |  |
Total investments (cost $471,850,169) |  | $451,478,445

Key to holding’s currency abbreviations
ARS | Argentine Peso
AUD | Australian Dollar
CAD | Canadian Dollar
CHF | Swiss Franc
CZK | Czech Koruna
EUR | Euro
GBP | British Pound
JPY | Japanese Yen
NOK | Norwegian Krone
NZD | New Zealand Dollar
SEK | Swedish Krona
Key to holding’s abbreviations
DAC | Designated Activity Company
FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may
| be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the
| close of the reporting period.
FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period.
| Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in
| place at the close of the reporting period.
IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the
| market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is
| the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO | Interest Only
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

Master Intermediate Income Trust 53

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, 2019 through March 31, 2020 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.

* Percentages indicated are based on net assets of $211,190,271.

† This security is non-income-producing.

∆∆ This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $53,395, or less than 0.1% of net assets.

‡‡ Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.

# This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $84,998 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).

∆ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $8,005,574 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).

⦶ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $1,884,418 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).

§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $5,452,593 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).

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

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

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

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

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

R Real Estate Investment Trust.

W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.

### When-issued security (Note 1).

At the close of the reporting period, the fund maintained liquid assets totaling $185,398,464 to cover certain derivative contracts and delayed delivery securities.

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

Debt obligations are considered secured unless otherwise indicated.

54 Master Intermediate Income Trust

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

See Note 1 to the financial statements regarding TBA commitments.

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

FORWARD CURRENCY CONTRACTS at 3/31/20 (aggregate face value $102,512,183) (Unaudited)
|  |  |  |  |  | Unrealized
|  | Contract | Delivery |  | Aggregate | appreciation/
Counterparty | Currency | type* | date | Value | face value | (depreciation)
Bank of America N.A. |  |  |  |  |
| Australian Dollar | Buy | 4/15/20 | $425,494 | $476,226 | $(50,732)
| Canadian Dollar | Sell | 4/15/20 | 701,813 | 749,903 | 48,090
| Chinese Yuan (Offshore) | Buy | 5/20/20 | 12,443 | 8,275 | 4,168
| Czech Koruna | Buy | 6/17/20 | 291,578 | 306,574 | (14,996)
| Hong Kong Dollar | Sell | 5/20/20 | 1,059,435 | 1,056,830 | (2,605)
| Japanese Yen | Sell | 5/20/20 | 807,477 | 796,367 | (11,110)
| Mexican Peso | Buy | 4/15/20 | 847,592 | 1,054,315 | (206,723)
| Mexican Peso | Sell | 4/15/20 | 847,592 | 1,044,758 | 197,166
| New Taiwan Dollar | Sell | 5/20/20 | 16,092 | 156 | (15,936)
| New Zealand Dollar | Buy | 4/15/20 | 486,244 | 525,472 | (39,228)
| Norwegian Krone | Buy | 6/17/20 | 996,052 | 1,161,684 | (165,632)
| Swedish Krona | Sell | 6/17/20 | 228,027 | 288,871 | 60,844
Barclays Bank PLC |  |  |  |  |
| Australian Dollar | Sell | 4/15/20 | 307,202 | 335,585 | 28,383
| British Pound | Buy | 6/17/20 | 332,331 | 295,169 | 37,162
| Canadian Dollar | Sell | 4/15/20 | 513,123 | 530,732 | 17,609
| Euro | Sell | 6/17/20 | 3,383,683 | 3,381,287 | (2,396)
| Hong Kong Dollar | Buy | 5/20/20 | 294,836 | 294,326 | 510
| Japanese Yen | Buy | 5/20/20 | 1,374,136 | 1,483,828 | (109,692)
| New Zealand Dollar | Buy | 4/15/20 | 756,154 | 793,392 | (37,238)
| Norwegian Krone | Buy | 6/17/20 | 582,945 | 483,103 | 99,842
| Swedish Krona | Sell | 6/17/20 | 907,510 | 910,913 | 3,403
| Swiss Franc | Sell | 6/17/20 | 133,887 | 137,658 | 3,771
Citibank, N.A. |  |  |  |  |  |
| Australian Dollar | Buy | 4/15/20 | 245,810 | 209,235 | 36,575
| Canadian Dollar | Sell | 4/15/20 | 84,289 | 117,978 | 33,689
| Euro | Sell | 6/17/20 | 318,116 | 291,345 | (26,771)
| Japanese Yen | Buy | 5/20/20 | 296,203 | 286,578 | 9,625
| Mexican Peso | Buy | 4/15/20 | 423,796 | 526,649 | (102,853)
| Mexican Peso | Sell | 4/15/20 | 423,796 | 521,865 | 98,069
| New Zealand Dollar | Sell | 4/15/20 | 721,610 | 791,951 | 70,341
| Norwegian Krone | Sell | 6/17/20 | 289,981 | 255,862 | (34,119)
| Swedish Krona | Buy | 6/17/20 | 1,002,700 | 962,895 | 39,805
| Swiss Franc | Sell | 6/17/20 | 687,160 | 681,904 | (5,256)
Credit Suisse International |  |  |  |  |
| Australian Dollar | Buy | 4/15/20 | 675,791 | 703,699 | (27,908)
| Australian Dollar | Sell | 7/15/20 | 244,888 | 262,031 | 17,143
| British Pound | Buy | 6/17/20 | 230,219 | 213,092 | 17,127

Master Intermediate Income Trust 55

FORWARD CURRENCY CONTRACTS at 3/31/20 (aggregate face value $102,512,183) (Unaudited) cont.
|  |  |  |  |  | Unrealized
|  | Contract | Delivery |  | Aggregate | appreciation/
Counterparty | Currency | type* | date | Value | face value | (depreciation)
Credit Suisse International cont. |  |  |  |  |
| Canadian Dollar | Sell | 7/15/20 | $438,404 | $436,922 | $(1,482)
| Euro | Sell | 6/17/20 | 315,350 | 314,069 | (1,281)
| New Zealand Dollar | Buy | 4/15/20 | 435,949 | 423,959 | 11,990
| Norwegian Krone | Sell | 6/17/20 | 994,753 | 896,488 | (98,265)
| Swedish Krona | Buy | 6/17/20 | 422,406 | 405,563 | 16,843
Goldman Sachs International |  |  |  |  |
| Australian Dollar | Buy | 4/15/20 | 1,327,537 | 1,284,143 | 43,394
| British Pound | Buy | 6/17/20 | 674,862 | 656,229 | 18,633
| Canadian Dollar | Buy | 4/15/20 | 2,288,373 | 2,273,729 | 14,644
| Chinese Yuan (Offshore) | Buy | 5/20/20 | 12,457 | 8,719 | 3,738
| Euro | Sell | 6/17/20 | 708,349 | 698,769 | (9,580)
| Japanese Yen | Sell | 5/20/20 | 702,767 | 683,140 | (19,627)
| New Taiwan Dollar | Buy | 5/20/20 | 1,045,044 | 1,059,472 | (14,428)
| New Taiwan Dollar | Sell | 5/20/20 | 1,045,044 | 1,043,070 | (1,974)
| New Zealand Dollar | Sell | 4/15/20 | 454,145 | 541,138 | 86,993
| Norwegian Krone | Buy | 6/17/20 | 1,115,339 | 1,429,886 | (314,547)
| Russian Ruble | Buy | 6/17/20 | 864,227 | 1,067,561 | (203,334)
| Russian Ruble | Sell | 6/17/20 | 864,227 | 1,036,946 | 172,719
| Swedish Krona | Buy | 6/17/20 | 1,181,506 | 1,102,588 | 78,918
| Swiss Franc | Buy | 6/17/20 | 1,029,280 | 1,052,077 | (22,797)
HSBC Bank USA, National Association |  |  |  |  |
| Australian Dollar | Sell | 4/15/20 | 550,244 | 591,196 | 40,952
| Australian Dollar | Buy | 7/15/20 | 439,700 | 438,148 | 1,552
| British Pound | Buy | 6/17/20 | 361,311 | 356,452 | 4,859
| Canadian Dollar | Buy | 4/15/20 | 262,816 | 197,864 | 64,952
| Canadian Dollar | Sell | 7/15/20 | 438,475 | 437,085 | (1,390)
| Euro | Buy | 6/17/20 | 1,034,097 | 1,064,926 | (30,829)
| Hong Kong Dollar | Sell | 5/20/20 | 1,070,719 | 1,066,887 | (3,832)
| Japanese Yen | Sell | 5/20/20 | 114,117 | 90,312 | (23,805)
| New Zealand Dollar | Buy | 4/15/20 | 268,896 | 242,225 | 26,671
| New Zealand Dollar | Sell | 7/15/20 | 866,917 | 871,819 | 4,902
| Norwegian Krone | Sell | 6/17/20 | 157,542 | 75,341 | (82,201)
| Swedish Krona | Sell | 6/17/20 | 1,859,218 | 1,928,377 | 69,159
| Swiss Franc | Sell | 6/17/20 | 83,001 | 83,267 | 266
JPMorgan Chase Bank N.A. |  |  |  |  |
| Australian Dollar | Buy | 4/15/20 | 23,806 | 77,397 | (53,591)
| British Pound | Buy | 6/17/20 | 520,636 | 469,529 | 51,107
| Canadian Dollar | Sell | 4/15/20 | 493,437 | 528,911 | 35,474
| Euro | Buy | 6/17/20 | 7,371,299 | 7,485,914 | (114,615)
| Japanese Yen | Buy | 5/20/20 | 296,203 | 286,555 | 9,648
| Japanese Yen | Sell | 5/20/20 | 648,647 | 630,136 | (18,511)
| New Zealand Dollar | Buy | 4/15/20 | 1,442,802 | 1,517,663 | (74,861)
| New Zealand Dollar | Sell | 4/15/20 | 1,431,526 | 1,532,140 | 100,614
| Norwegian Krone | Sell | 6/17/20 | 574,257 | 338,967 | (235,290)

56 Master Intermediate Income Trust

FORWARD CURRENCY CONTRACTS at 3/31/20 (aggregate face value $102,512,183) (Unaudited) cont.
|  |  |  |  |  | Unrealized
|  | Contract | Delivery |  | Aggregate | appreciation/
Counterparty | Currency | type* | date | Value | face value | (depreciation)
JPMorgan Chase Bank N.A. cont. |  |  |  |  |
| Singapore Dollar | Buy | 5/20/20 | $2,024,249 | $2,071,135 | $(46,886)
| Singapore Dollar | Sell | 5/20/20 | 2,013,265 | 2,096,413 | 83,148
| Swedish Krona | Sell | 6/17/20 | 340,136 | 393,487 | 53,351
| Swiss Franc | Buy | 6/17/20 | 1,010,302 | 1,047,856 | (37,554)
| Swiss Franc | Sell | 6/17/20 | 1,016,246 | 1,025,830 | 9,584
NatWest Markets PLC |  |  |  |  |
| Australian Dollar | Buy | 4/15/20 | 526,500 | 545,363 | (18,863)
| Canadian Dollar | Buy | 4/15/20 | 368,923 | 338,261 | 30,662
| Euro | Sell | 6/17/20 | 729,144 | 715,947 | (13,197)
| New Zealand Dollar | Buy | 4/15/20 | 570,785 | 607,981 | (37,196)
| Norwegian Krone | Buy | 6/17/20 | 152,750 | 254,404 | (101,654)
| Swedish Krona | Sell | 6/17/20 | 31,379 | 62,224 | 30,845
State Street Bank and Trust Co. |  |  |  |  |
| Australian Dollar | Sell | 4/15/20 | 2,699,795 | 2,880,328 | 180,533
| British Pound | Sell | 6/17/20 | 649,986 | 700,084 | 50,098
| Canadian Dollar | Sell | 4/15/20 | 5,694,390 | 6,094,764 | 400,374
| Euro | Sell | 6/17/20 | 2,858,947 | 2,863,988 | 5,041
| Hong Kong Dollar | Sell | 5/20/20 | 2,118,895 | 2,113,423 | (5,472)
| Japanese Yen | Sell | 5/20/20 | 3,392,662 | 3,355,902 | (36,760)
| New Zealand Dollar | Buy | 4/15/20 | 814,504 | 922,294 | (107,790)
| Norwegian Krone | Buy | 6/17/20 | 1,569,193 | 1,740,163 | (170,970)
| Swedish Krona | Sell | 6/17/20 | 2,900,921 | 3,072,085 | 171,164
| Swiss Franc | Sell | 6/17/20 | 137,223 | 135,100 | (2,123)
Toronto-Dominion Bank |  |  |  |  |
| Australian Dollar | Buy | 4/15/20 | 227,172 | 215,848 | 11,324
| British Pound | Buy | 6/17/20 | 346,510 | 327,746 | 18,764
| Canadian Dollar | Sell | 4/15/20 | 388,822 | 444,529 | 55,707
| Euro | Sell | 6/17/20 | 485,027 | 470,320 | (14,707)
| Hong Kong Dollar | Sell | 5/20/20 | 529,704 | 528,246 | (1,458)
| New Zealand Dollar | Buy | 4/15/20 | 215,379 | 217,430 | (2,051)
| Norwegian Krone | Sell | 6/17/20 | 227,817 | 213,605 | (14,212)
| Swedish Krona | Buy | 6/17/20 | 130,923 | 83,990 | 46,933
UBS AG |  |  |  |  |  |
| Australian Dollar | Sell | 4/15/20 | 540,032 | 709,858 | 169,826
| British Pound | Sell | 6/17/20 | 201,240 | 209,143 | 7,903
| Canadian Dollar | Sell | 4/15/20 | 82,157 | 114,757 | 32,600
| Euro | Buy | 6/17/20 | 987,198 | 1,019,224 | (32,026)
| Hong Kong Dollar | Sell | 5/20/20 | 718,764 | 716,558 | (2,206)
| Japanese Yen | Sell | 5/20/20 | 129,414 | 127,850 | (1,564)
| Mexican Peso | Buy | 4/15/20 | 423,792 | 528,490 | (104,698)
| Mexican Peso | Sell | 4/15/20 | 423,792 | 521,560 | 97,768
| New Zealand Dollar | Buy | 4/15/20 | 1,186,853 | 1,293,492 | (106,639)
| Swedish Krona | Sell | 6/17/20 | 858,027 | 877,986 | 19,959

Master Intermediate Income Trust 57

FORWARD CURRENCY CONTRACTS at 3/31/20 (aggregate face value $102,512,183) (Unaudited) cont.
|  |  |  |  |  | Unrealized
|  | Contract | Delivery |  | Aggregate | appreciation/
Counterparty | Currency | type* | date | Value | face value | (depreciation)
WestPac Banking Corp. |  |  |  |  |
| Australian Dollar | Buy | 4/15/20 | $227,418 | $212,819 | $14,599
| British Pound | Sell | 6/17/20 | 504,840 | 524,654 | 19,814
| Canadian Dollar | Sell | 4/15/20 | 219,037 | 217,613 | (1,424)
| Euro | Buy | 6/17/20 | 422,974 | 422,045 | 929
| Japanese Yen | Sell | 5/20/20 | 296,094 | 286,455 | (9,639)
| New Zealand Dollar | Buy | 4/15/20 | 484,275 | 524,846 | (40,571)
Unrealized appreciation |  |  |  |  | 3,192,276
Unrealized (depreciation) |  |  |  |  | (3,089,095)
Total |  |  |  |  |  | $103,181

* The exchange currency for all contracts listed is the United States Dollar.

FUTURES CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) |  |  |
|  |  |  |  | Unrealized
| Number of | Notional |  | Expiration | appreciation/
| contracts | amount | Value | date | (depreciation)
Euro-Schatz 2 yr (Short) | 37 | $4,578,171 | $4,578,169 | Jun-20 | $8,904
U.S. Treasury Bond Ultra 30 yr (Long) | 9 | 1,996,875 | 1,996,875 | Jun-20 | 171,574
U.S. Treasury Note 2 yr (Short) | 482 | 106,224,515 | 106,224,515 | Jun-20 | 25,275
U.S. Treasury Note 5 yr (Short) | 78 | 9,778,031 | 9,778,031 | Jun-20 | (297,621)
Unrealized appreciation |  |  |  |  | 205,753
Unrealized (depreciation) |  |  |  |  | (297,621)
Total |  |  |  |  | $(91,868)

WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/20 (premiums $7,025,587) (Unaudited) |
Counterparty |  |  | Notional/ |
Fixed Obligation % to receive or (pay)/ | Expiration |  | Contract |
Floating rate index/Maturity date | date/strike |  | amount | Value
Bank of America N.A. |  |  |  |
1.17/3 month USD-LIBOR-BBA/Apr-25 | Apr-20/1.17 |  | $13,370,000 | $13
Citibank, N.A. |  |  |  |
1.805/3 month USD-LIBOR-BBA/Jan-31 | Jan-21/1.805 |  | 7,362,900 | 20,984
1.865/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 |  | 3,799,800 | 146,862
(1.865)/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 |  | 3,799,800 | 437,737
(1.805)/3 month USD-LIBOR-BBA/Jan-31 | Jan-21/1.805 |  | 7,362,900 | 787,462
Goldman Sachs International |  |  |  |
2.823/3 month USD-LIBOR-BBA/May-27 | May-22/2.823 |  | 22,032,800 | 18,067
1.722/3 month GBP-LIBOR-BBA/Feb-39 | Feb-29/1.722 | GBP | 2,049,600 | 83,070
(1.722)/3 month GBP-LIBOR-BBA/Feb-39 | Feb-29/1.722 | GBP | 2,049,600 | 327,620
JPMorgan Chase Bank N.A. |  |  |  |
1.333/3 month USD-LIBOR-BBA/Jan-24 | Jan-23/1.333 |  | $4,270,500 | 4,698
(1.333)/3 month USD-LIBOR-BBA/Jan-24 | Jan-23/1.333 |  | 4,270,500 | 38,904
1.07/3 month USD-LIBOR-BBA/Mar-32 | Mar-27/1.07 |  | 2,639,000 | 79,460
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 4,509,200 | 87,280
(1.07)/3 month USD-LIBOR-BBA/Mar-32 | Mar-27/1.07 |  | $2,639,000 | 87,905

58 Master Intermediate Income Trust

WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/20 (premiums $7,025,587) (Unaudited) cont. |
Counterparty |  |  | Notional/ |
Fixed Obligation % to receive or (pay)/ | Expiration |  | Contract |
Floating rate index/Maturity date | date/strike |  | amount | Value
JPMorgan Chase Bank N.A. cont. |  |  |  |
(0.968)/3 month USD-LIBOR-BBA/Mar-35 | Mar-25/0.968 |  | $1,653,100 | $89,962
0.968/3 month USD-LIBOR-BBA/Mar-35 | Mar-25/0.968 |  | 1,653,100 | 91,069
(0.83)/3 month USD-LIBOR-BBA/Oct-21 | Oct-20/0.83 |  | 29,451,700 | 155,505
(0.442)/3 month USD-LIBOR-BBA/Sep-50 | Sep-20/0.442 |  | 7,158,300 | 180,389
(0.7785)/3 month USD-LIBOR-BBA/Mar-31 | Mar-21/0.7785 |  | 14,550,100 | 428,646
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 4,509,200 | 736,431
Morgan Stanley & Co. International PLC |  |  |  |
1.529/3 month USD-LIBOR-BBA/Apr-30 | Apr-20/1.529 |  | $3,595,100 | 431
2.664/3 month USD-LIBOR-BBA/May-26 | May-21/2.664 |  | 9,442,600 | 1,322
0.4285/6 month EUR-EURIBOR-Reuters/Apr-50 | Apr-20/0.4285 | EUR | 1,013,200 | 12,951
3.01/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 |  | $1,621,300 | 16,862
2.97/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 |  | 1,621,300 | 17,315
1.512/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 |  | 3,902,100 | 72,774
(2.97)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 |  | 1,621,300 | 319,380
(1.512)/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 |  | 3,902,100 | 320,284
(3.01)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 |  | 1,621,300 | 324,795
(2.75)/3 month USD-LIBOR-BBA/May-49 | May-25/2.75 |  | 3,150,300 | 1,267,523
(3.00)/3 month USD-LIBOR-BBA/Jan-49 | Jan-24/3.00 |  | 3,150,300 | 1,485,935
(3.00)/3 month USD-LIBOR-BBA/Apr-48 | Apr-23/3.00 |  | 3,150,300 | 1,495,636
Toronto-Dominion Bank |  |  |  |
0.92/3 month USD-LIBOR-BBA/Apr-22 | Apr-20/0.92 |  | 32,832,300 | 33
(1.17)/3 month USD-LIBOR-BBA/Mar-55 | Mar-25/1.17 |  | 241,000 | 42,375
1.17/3 month USD-LIBOR-BBA/Mar-55 | Mar-25/1.17 |  | 482,100 | 57,167
1.05/3 month USD-LIBOR-BBA/Mar-27 | Mar-25/1.05 |  | 7,756,000 | 70,347
UBS AG |  |  |  |
(0.895)/3 month USD-LIBOR-BBA/Apr-30 | Apr-20/0.895 |  | 2,843,000 | 59,305
(0.7275)/3 month USD-LIBOR-BBA/Apr-30 | Apr-20/0.7275 |  | 7,050,000 | 70,007
1.9875/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 |  | 4,407,800 | 122,405
0.385/6 month EUR-EURIBOR-Reuters/Sep-34 | Sep-24/0.385 | EUR | 2,960,000 | 158,365
(0.385)/6 month EUR-EURIBOR-Reuters/Sep-34 | Sep-24/0.385 | EUR | 2,960,000 | 177,234
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 |  | $4,407,800 | 526,688
Total |  |  |  | $10,421,198

WRITTEN OPTIONS OUTSTANDING at 3/31/20 (premiums $843,600) (Unaudited) |
| Expiration | Notional | Contract |
Counterparty | date/strike price | amount | amount | Value
Bank of America N.A. |  |  |  |
USD/JPY (Put) | Apr-20/JPY 103.00 | $3,805,875 | $3,805,875 | $11,003
USD/JPY (Put) | Jun-20/JPY 105.00 | 3,805,875 | 3,805,875 | 55,672
Citibank, N.A. |  |  |  |
USD/JPY (Put) | Jun-20/JPY 105.00 | 3,805,875 | 3,805,875 | 55,672
Goldman Sachs International |  |  |  |
USD/CHF (Put) | Jun-20/CHF 0.91 | 8,321,750 | 8,321,750 | 25,906
USD/JPY (Put) | Jun-20/JPY 105.00 | 3,805,875 | 3,805,875 | 55,672

Master Intermediate Income Trust 59

WRITTEN OPTIONS OUTSTANDING at 3/31/20 (premiums $843,600) (Unaudited) cont. |
| Expiration | Notional | Contract |
Counterparty | date/strike price | amount | amount | Value
JPMorgan Chase Bank N.A. |  |  |  |
Uniform Mortgage-Backed |  |  |  |
Securities 30 yr 2.50% TBA |  |  |  |
commitments (Put) | May-20/$102.81 | $75,000,000 | $75,000,000 | $94,875
Uniform Mortgage-Backed |  |  |  |
Securities 30 yr 3.00% TBA |  |  |  |
commitments (Put) | Apr-20/103.00 | 74,000,000 | 74,000,000 | 74
Uniform Mortgage-Backed |  |  |  |
Securities 30 yr 3.00% TBA |  |  |  |
commitments (Put) | Apr-20/102.94 | 15,000,000 | 15,000,000 | 15
Uniform Mortgage-Backed |  |  |  |
Securities 30 yr 3.50% TBA |  |  |  |
commitments (Call) | Apr-20/104.03 | 9,000,000 | 9,000,000 | 153,225
Uniform Mortgage-Backed |  |  |  |
Securities 30 yr 3.50% TBA |  |  |  |
commitments (Put) | Apr-20/103.13 | 30,000,000 | 30,000,000 | 30
Total |  |  |  | $452,144

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) |
Counterparty |  |  |  |  |
Fixed right or obligation % to receive |  |  | Notional/ | Premium | Unrealized
or (pay)/Floating rate index/ | Expiration |  | Contract | receivable/ | appreciation/
Maturity date | date/strike |  | amount | (payable) | (depreciation)
Bank of America N.A. |  |  |  |  |
2.2275/3 month USD-LIBOR-BBA/ |  |  |  |  |
May-24 (Purchased) | May-22/2.2275 |  | $25,327,500 | $(233,646) | $649,144
1.304/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 2,141,400 | (347,036) | 533,047
1.053/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 1,132,450 | (258,281) | 260,674
1.275/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-50 (Purchased) | Mar-30/1.275 |  | $2,128,300 | (277,211) | 59,273
(0.925)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/0.925 |  | 4,191,700 | (300,126) | 22,258
(0.85)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/0.85 |  | 2,134,700 | (155,833) | 15,925
(0.003)/6 month JPY-LIBOR-BBA/ |  |  |  |  |
Feb-31 (Purchased) | Feb-21/0.003 | JPY | 119,698,500 | (9,424) | 2,894
0.003/6 month JPY-LIBOR-BBA/ |  |  |  |  |
Feb-31 (Purchased) | Feb-21/0.003 | JPY | 119,698,500 | (9,424) | (345)
(2.3075)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-52 (Purchased) | Jun-22/2.3075 |  | $1,596,200 | (36,113) | (8,795)
0.925/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/0.925 |  | 4,191,700 | (300,126) | (18,192)
0.85/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/0.85 |  | 2,134,700 | (155,833) | (19,298)
(1.275)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-50 (Purchased) | Mar-30/1.275 |  | 2,128,300 | (277,211) | (44,779)
(1.053)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 1,132,450 | (258,281) | (60,863)

60 Master Intermediate Income Trust

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont. |
Counterparty |  |  |  |  |
Fixed right or obligation % to receive |  |  | Notional/ | Premium | Unrealized
or (pay)/Floating rate index/ | Expiration |  | Contract | receivable/ | appreciation/
Maturity date | date/strike |  | amount | (payable) | (depreciation)
Bank of America N.A. cont. |  |  |  |  |
(1.304)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 2,141,400 | $(173,518) | $(79,001)
2.3075/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-52 (Purchased) | Jun-22/2.3075 |  | $1,596,200 | (750,495) | (126,994)
(2.2275)/3 month USD-LIBOR-BBA/ |  |  |  |  |
May-24 (Purchased) | May-22/2.2275 |  | 25,327,500 | (233,646) | (224,402)
Barclays Bank PLC |  |  |  |  |
1.11125/6 month JPY-LIBOR-BBA/ |  |  |  |  |
Aug-43 (Purchased) | Aug-23/1.11125 | JPY | 119,084,000 | (60,235) | 155,360
(1.11125)/6 month JPY-LIBOR-BBA/ |  |  |  |  |
Aug-43 (Purchased) | Aug-23/1.11125 | JPY | 119,084,000 | (60,235) | (58,941)
Citibank, N.A. |  |  |  |  |
1.765/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-25 (Purchased) | Jun-20/1.765 |  | $23,744,500 | (318,176) | 1,189,837
2.689/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-49 (Purchased) | Nov-24/2.689 |  | 934,000 | (120,253) | 259,783
(2.689)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-49 (Purchased) | Nov-24/2.689 |  | 934,000 | (120,253) | (100,508)
(1.765)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-25 (Purchased) | Jun-20/1.765 |  | 23,744,500 | (318,176) | (318,176)
1.245/3 month USD-LIBOR-BBA/ |  |  |  |  |
Aug-24 (Written) | Aug-22/1.245 |  | 17,729,300 | 162,223 | 122,687
(1.245)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Aug-24 (Written) | Aug-22/1.245 |  | 17,729,300 | 162,223 | (126,410)
Goldman Sachs International |  |  |  |  |
1.755/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-25 (Purchased) | Jun-20/1.755 |  | 23,744,500 | (319,364) | 1,176,777
1.727/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-55 (Purchased) | Jan-25/1.727 |  | 1,382,700 | (126,794) | 250,849
2.8175/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-47 (Purchased) | Mar-27/2.8175 |  | 739,600 | (93,375) | 169,036
(2.13)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Dec-30 (Purchased) | Dec-20/2.13 |  | 3,771,900 | (53,278) | (49,223)
(2.8175)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-47 (Purchased) | Mar-27/2.8175 |  | 739,600 | (93,375) | (73,309)
(1.727)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-55 (Purchased) | Jan-25/1.727 |  | 1,382,700 | (206,714) | (111,916)
(1.755)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-25 (Purchased) | Jun-20/1.755 |  | 23,744,500 | (319,364) | (319,126)
0.555/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Mar-40 (Written) | Mar-30/0.555 | EUR | 3,493,100 | 263,750 | 4,315
(0.445)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Mar-40 (Written) | Mar-30/0.445 | EUR | 1,746,500 | 136,699 | 1,445
0.445/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Mar-40 (Written) | Mar-30/0.445 | EUR | 1,746,500 | 136,699 | (6,010)
(0.555)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Mar-40 (Written) | Mar-30/0.555 | EUR | 3,493,100 | 263,750 | (24,810)

Master Intermediate Income Trust 61

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont. |
Counterparty |  |  |  |  |
Fixed right or obligation % to receive |  |  | Notional/ | Premium | Unrealized
or (pay)/Floating rate index/ | Expiration |  | Contract | receivable/ | appreciation/
Maturity date | date/strike |  | amount | (payable) | (depreciation)
JPMorgan Chase Bank N.A. |  |  |  |  |
3.162/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-33 (Purchased) | Nov-20/3.162 |  | $11,760,300 | $(1,670,315) | $1,831,902
2.8325/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-52 (Purchased) | Feb-22/2.8325 |  | 3,698,000 | (516,333) | 1,422,769
2.032/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-55 (Purchased) | Jan-25/2.032 |  | 1,589,500 | (183,587) | 349,722
1.921/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 1,230,800 | (157,399) | 332,141
2.902/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-49 (Purchased) | Nov-24/2.902 |  | $934,000 | (144,396) | 276,847
2.50/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-39 (Purchased) | Nov-29/2.50 |  | 1,556,600 | (89,971) | 162,307
1.692/6 month AUD-BBR-BBSW/ |  |  |  |  |
Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1,387,400 | (43,285) | 22,726
1.445/6 month AUD-BBR-BBSW/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/1.445 | AUD | 1,940,600 | (72,744) | 15,613
(1.692)/6 month AUD-BBR-BBSW/ |  |  |  |  |
Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1,387,400 | (43,285) | (12,886)
(3.162)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-33 (Purchased) | Nov-20/3.162 |  | $11,760,300 | (14,348) | (13,407)
(1.445)/6 month AUD-BBR-BBSW/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/1.445 | AUD | 1,940,600 | (72,744) | (15,124)
(2.902)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-49 (Purchased) | Nov-24/2.902 |  | $934,000 | (100,218) | (84,536)
(2.032)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-55 (Purchased) | Jan-25/2.032 |  | 1,589,500 | (183,587) | (105,257)
(1.921)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 1,230,800 | (157,399) | (116,048)
(2.50)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-39 (Purchased) | Nov-29/2.50 |  | $1,556,600 | (161,886) | (116,371)
(2.8325)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-52 (Purchased) | Feb-22/2.8325 |  | 3,698,000 | (516,333) | (490,873)
3.229/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-33 (Written) | Nov-23/3.229 |  | 11,760,300 | 129,010 | 83,145
2.975/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-23 (Written) | Nov-20/2.975 |  | 11,760,300 | 1,176 | 1,176
(2.975)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-23 (Written) | Nov-20/2.975 |  | 11,760,300 | 453,712 | (456,770)
(3.229)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-33 (Written) | Nov-23/3.229 |  | 11,760,300 | 1,334,794 | (1,313,743)
Morgan Stanley & Co. International PLC |  |  |  |  |
3.27/3 month USD-LIBOR-BBA/ |  |  |  |  |
Oct-53 (Purchased) | Oct-23/3.27 |  | 1,191,600 | (135,962) | 616,021
1.5775/3 month USD-LIBOR-BBA/ |  |  |  |  |
Sep-22 (Purchased) | Sep-20/1.5775 |  | 18,278,700 | (100,716) | 353,876
2.505/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-49 (Purchased) | Nov-24/2.505 |  | 934,000 | (100,498) | 244,736

62 Master Intermediate Income Trust

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont. |
Counterparty |  |  |  |  |
Fixed right or obligation % to receive |  |  | Notional/ | Premium | Unrealized
or (pay)/Floating rate index/ | Expiration |  | Contract | receivable/ | appreciation/
Maturity date | date/strike |  | amount | (payable) | (depreciation)
Morgan Stanley & Co. International PLC cont. |  |  |  |
2.764/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-31 (Purchased) | Feb-21/2.764 |  | $5,944,600 | $(1,160,277) | $15,694
(2.764)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-31 (Purchased) | Feb-21/2.764 |  | 5,944,600 | (9,745) | (7,252)
(1.5775)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Sep-22 (Purchased) | Sep-20/1.5775 |  | 18,278,700 | (100,716) | (100,716)
(2.505)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-49 (Purchased) | Nov-24/2.505 |  | 934,000 | (143,089) | (118,945)
(3.27)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Oct-53 (Purchased) | Oct-23/3.27 |  | 1,191,600 | (135,962) | (125,201)
2.39/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-34 (Written) | Jun-24/2.39 |  | 8,236,000 | 433,625 | 330,511
(2.39)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-34 (Written) | Jun-24/2.39 |  | 8,236,000 | 433,625 | (806,223)
UBS AG |  |  |  |  |
1.6125/3 month USD-LIBOR-BBA/ |  |  |  |  |
Aug-34 (Purchased) | Aug-24/1.6125 |  | 3,902,100 | (107,035) | 249,149
1.175/3 month GBP-LIBOR-BBA/ |  |  |  |  |
Jan-40 (Purchased) | Jan-30/1.175 | GBP | 1,981,900 | (180,164) | 75,526
0.762/3 month GBP-LIBOR-BBA/ |  |  |  |  |
Aug-39 (Purchased) | Aug-29/0.762 | GBP | 848,500 | (78,254) | (1,939)
(0.762)/3 month GBP-LIBOR-BBA/ |  |  |  |  |
Aug-39 (Purchased) | Aug-29/0.762 | GBP | 848,500 | (78,254) | (8,558)
(1.175)/3 month GBP-LIBOR-BBA/ |  |  |  |  |
Jan-40 (Purchased) | Jan-30/1.175 | GBP | 1,981,900 | (180,164) | (38,698)
(1.6125)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Aug-34 (Purchased) | Aug-24/1.6125 |  | $3,902,100 | (285,341) | (173,800)
1.30/3 month USD-LIBOR-BBA/ |  |  |  |  |
Aug-26 (Written) | Aug-21/1.30 |  | 8,291,900 | 246,318 | 212,521
1.01/6 month EUR-EURIBOR-Reuters/ |  |  |  |  |
Jan-40 (Written) | Jan-30/1.01 | EUR | 2,378,300 | 167,582 | 40,473
(0.43)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Aug-39 (Written) | Aug-29/0.43 | EUR | 789,300 | 63,277 | 5,058
0.43/6 month EUR-EURIBOR-Reuters/ |  |  |  |  |
Aug-39 (Written) | Aug-29/0.43 | EUR | 789,300 | 63,277 | 9
(1.01)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jan-40 (Written) | Jan-30/1.01 | EUR | 2,378,300 | 167,582 | (101,826)
(1.30)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Aug-26 (Written) | Aug-21/1.30 |  | $8,291,900 | 66,286 | (257,215)
Unrealized appreciation |  |  |  |  | 11,515,226
Unrealized (depreciation) |  |  |  |  | (6,236,486)
Total |  |  |  |  | $5,278,740

Master Intermediate Income Trust 63

TBA SALE COMMITMENTS OUTSTANDING at 3/31/20 (proceeds receivable $123,333,594) (Unaudited)
| Principal | Settlement |
Agency | amount | date | Value
Government National Mortgage Association, 3.50%, 4/1/50 | $1,000,000 | 4/21/20 | $1,054,453
Uniform Mortgage-Backed Securities, 3.50%, 4/1/50 | 30,000,000 | 4/15/20 | 31,715,625
Uniform Mortgage-Backed Securities, 3.00%, 4/1/50 | 15,000,000 | 4/15/20 | 15,721,875
Uniform Mortgage-Backed Securities, 2.50%, 4/1/50 | 75,000,000 | 4/15/20 | 77,683,590
Total |  |  | $126,175,543

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited)
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$1,976,000 | $1,253,203 | $(67) | 11/8/48 | 3 month USD- | 3.312% — | $1,274,277
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
11,760,300 | 2,423,798 | (167) | 1/3/29 | 3.065% — | 3 month USD- | (2,456,591)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
6,491,700 | 1,367,223 | (92) | 3/4/29 | 3 month USD- | 3.073% — | 1,375,763
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
9,408,200 | 2,132,538 | (207,693) | 12/3/29 | 3 month USD- | 3.096% — | 2,009,233
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,011,100 | 42,478 E | (6) | 2/2/24 | 3 month USD- | 2.5725% — | 42,473
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
2,617,100 | 107,631 E | (15) | 2/2/24 | 2.528% — | 3 month USD- | (107,645)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,693,500 | 295,013 | (22) | 2/13/29 | 2.6785% — | 3 month USD- | (297,228)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
4,323,400 | 839,271 | 88,032 | 2/20/30 | 2.7225% — | 3 month USD- | (756,301)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
4,323,400 | 839,475 | 88,302 | 3/2/30 | 2.715% — | 3 month USD- | (754,934)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
5,478,300 | 352,156 E | (1,109) | 12/2/23 | 3 month USD- | 2.536% — | 351,047
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,893,900 | 79,472 E | (324) | 2/2/24 | 3 month USD- | 2.57% — | 79,148
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
527,084 | 107,296 | (7) | 3/5/30 | 3 month USD- | 2.806% — | 107,837
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,418,100 | 269,216 | (20) | 3/16/30 | 2.647% — | 3 month USD- | (270,334)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

64 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$1,105,300 | $519,471 E | $(38) | 3/28/52 | 2.67% — | 3 month USD- | $(519,509)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,412,200 | 125,344 E | (19) | 2/2/24 | 3 month USD- | 2.3075% — | 125,325
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
5,008,800 | 184,900 E | (28) | 2/9/24 | 3 month USD- | 2.32% — | 184,872
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,338,000 | 657,576 E | (46) | 11/29/53 | 2.793% — | 3 month USD- | (657,622)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
902,800 | 127,026 E | (20) | 11/20/39 | 3 month USD- | 2.55% — | 127,006
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
3,186,100 | 449,097 E | (45) | 12/7/30 | 2.184% — | 3 month USD- | (449,142)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,087,500 | 137,566 E | (23) | 6/5/29 | 3 month USD- | 2.2225% — | 137,543
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
174,600 | 64,612 E | (6) | 6/22/52 | 2.3075% — | 3 month USD- | (64,618)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,880,300 | 513,166 E | (55) | 6/22/30 | 2.0625% — | 3 month USD- | (513,221)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,011,300 | 124,218 E | (14) | 7/6/30 | 1.9665% — | 3 month USD- | (124,232)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
831,700 | 294,573 E | (28) | 7/5/52 | 2.25% — | 3 month USD- | (294,602)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
6,347,600 | 160,232 E | (35) | 2/7/24 | 1.733% — | 3 month USD- | (160,268)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
911,300 | 114,247 E | (13) | 1/22/31 | 2.035% — | 3 month USD- | (114,260)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,107,800 | 1,115,209 E | (106) | 7/22/52 | 2.2685% — | 3 month USD- | (1,115,315)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,368,300 | 361,237 E | (47) | 8/8/52 | 1.9185% — | 3 month USD- | (361,283)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
5,436,500 | 231,568 | (51) | 9/18/24 | 1.43125% — | 3 month USD- | (232,549)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

Master Intermediate Income Trust 65

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$5,436,500 | $230,056 | $(51) | 9/18/24 | 1.425% — | 3 month USD- | $(231,025)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,417,500 | 261,503 E | (48) | 9/12/52 | 1.626% — | 3 month USD- | (261,552)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
23,744,500 | 1,065,938 | (192) | 9/30/24 | 1.50% — | 3 month USD- | (1,065,306)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
23,744,500 | 1,094,978 | (192) | 10/1/24 | 1.53% — | 3 month USD- | (1,163,472)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
4,569,000 | 248,782 | (37) | 12/13/24 | 1.6445% — | 3 month USD- | (269,497)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
252,158,200 | 5,919,918 | (214,992) | 3/18/22 | 1.60% — | 3 month USD- | (6,193,387)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
10,253,500 | 3,096,906 | (108,785) | 3/18/50 | 3 month USD- | 2.00% — | 2,991,979
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
49,147,300 | 4,999,165 | 369,148 | 3/18/30 | 3 month USD- | 1.75% — | 5,382,373
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
5,651,000 | 606,652 | (75) | 12/17/29 | 1.8252% — | 3 month USD- | (634,538)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
4,569,000 | 246,018 | (37) | 12/17/24 | 1.632% — | 3 month USD- | (265,991)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,266,500 | 121,199 | 29,330 | 3/18/25 | 1.58% — | 3 month USD- | (92,378)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
5,126,100 | 1,520,150 | 219,790 | 3/18/50 | 1.98% — | 3 month USD- | (1,302,252)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,187,700 | 118,484 | 2,652 | 3/18/30 | 3 month USD- | 1.73% — | 121,467
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
6,236,000 | 650,764 | (83) | 12/18/29 | 3 month USD- | 1.7945% — | 680,542
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
4,569,000 | 256,371 | (37) | 12/18/24 | 1.6815% — | 3 month USD- | (276,809)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
118,785,700 | 6,616,126 | (333,464) | 3/18/25 | 1.625% — | 3 month USD- | (6,978,209)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

66 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$1,131,600 | $125,483 E | $(16) | 12/21/30 | 3 month USD- | 1.88% — | $125,467
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
2,591,200 | 255,381 | (34) | 1/8/30 | 1.744% — | 3 month USD- | (254,514)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
7,072,300 | 666,897 | (15,181) | 1/28/30 | 3 month USD- | 1.698% — | 650,157
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
174,200 | 49,613 E | (6) | 1/16/55 | 2.032% — | 3 month USD- | (49,619)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,861,000 | 289,599 | (953) | 1/16/30 | 1.771% — | 3 month USD- | (289,978)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
5,267,900 | 523,645 | (70) | 1/31/30 | 1.7505% — | 3 month USD- | (523,221)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
4,139,100 | 410,437 | (55) | 1/31/30 | 1.748% — | 3 month USD- | (410,087)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
9,407,000 | 878,238 | (15,176) | 1/31/30 | 3 month USD- | 1.688% — | 861,200
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
37,871,990 | 2,908,569 | (175,117) | 3/18/27 | 3 month USD- | 1.70% — | 2,743,602
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
3,854,000 | 397,436 | (51) | 1/21/30 | 3 month USD- | 1.79% — | 396,972
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
10,903,000 | 227,349 | (41) | 1/21/22 | 1.646% — | 3 month USD- | (223,169)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
83,000 | 22,419 E | (3) | 1/24/55 | 3 month USD- | 1.977% — | 22,416
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
5,186,500 | 378,796 | (35,207) | 2/18/30 | 1.4765% — | 3 month USD- | (412,670)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
129,600,000 | 2,534,198 | 58,084 | 3/18/22 | 3 month USD- | 1.40% — | 2,612,978
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
2,864,000 | 232,826 | (38) | 2/18/30 | 3 month USD- | 1.5615% — | 232,342
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
6,875,000 | 127,112 | (26) | 2/18/22 | 1.4735% — | 3 month USD- | (125,346)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

Master Intermediate Income Trust 67

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$582,800 | $52,425 E | $(20) | 3/4/52 | 1.265% — | 3 month USD- | $(52,445)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
970,000 | 32,178 E | (14) | 3/4/31 | 3 month USD- | 1.101% — | 32,164
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
35,681,600 | 128,561 E | (135) | 9/8/21 | 0.68% — | 3 month USD- | (128,695)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
77,168,200 | 198,785 E | (291) | 10/15/21 | 0.571% — | 3 month USD- | (199,076)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,705,700 | 181,009 E | (126) | 1/27/47 | 3 month USD- | 1.27% — | 180,882
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
313,000 | 15,041 E | (11) | 3/7/50 | 1.275% — | 3 month USD- | (15,052)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,537,000 | 80,647 | (121) | 3/10/50 | 0.8155% — | 3 month USD- | 80,781
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
697,700 | 11,465 E | (24) | 3/10/52 | 0.8725% — | 3 month USD- | 11,442
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,683,000 | 357 | (36) | 3/11/30 | 0.70792% — | 3 month USD- | 468
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,683,000 | 1,892 | (36) | 3/11/30 | 0.7165% — | 3 month USD- | (1,793)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
762,900 | 44,673 E | (26) | 3/11/52 | 0.717% — | 3 month USD- | 44,647
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,771,000 | 172,572 | (129) | 3/12/50 | 0.73081% — | 3 month USD- | 172,632
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,214,000 | 74,771 | (41) | 3/16/50 | 0.6725% — | 3 month USD- | 74,789
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
809,000 | 44,287 E | (28) | 4/16/50 | 0.7025% — | 3 month USD- | 44,260
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
6,089,000 | 90,403 | (81) | 3/16/30 | 0.86% — | 3 month USD- | (90,662)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,167,000 | 11,102 | (40) | 3/16/50 | 0.8625% — | 3 month USD- | 11,027
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

68 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$13,000 | $134 E | $(21) | 6/17/25 | 3 month USD- | 0.70% — | $113
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
4,929,000 | 40,477 E | (7,507) | 6/17/30 | 0.80% — | 3 month USD- | (47,984)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
4,323,000 | 52,914 | (35) | 3/17/25 | 0.744% — | 3 month USD- | (52,681)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
4,323,000 | 56,649 | (35) | 3/17/25 | 0.7615% — | 3 month USD- | (56,445)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,442,000 | 17,721 | (12) | 3/17/25 | 0.745% — | 3 month USD- | (17,644)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,295,000 | 37,546 | (30) | 3/17/30 | 0.8775% — | 3 month USD- | (37,554)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,295,000 | 37,209 | (30) | 3/17/30 | 0.876% — | 3 month USD- | (37,215)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,138,200 | 21,256 E | (16) | 3/17/32 | 3 month USD- | 1.03% — | 21,240
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
4,323,000 | 54,085 | (35) | 3/17/25 | 0.7495% — | 3 month USD- | (53,861)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
4,323,000 | 56,541 | (35) | 3/17/25 | 0.761% — | 3 month USD- | (56,336)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
4,323,000 | 59,316 | (35) | 3/17/25 | 0.774% — | 3 month USD- | (59,133)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
95,192,000 | 107,377 E | (134,427) | 6/17/22 | 3 month USD- | 0.40% — | (27,051)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
3,603,000 | 18,959 | (29) | 3/18/25 | 0.6045% — | 3 month USD- | (18,528)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,539,000 | 98,856 | (87) | 3/19/50 | 3 month USD- | 0.7575% — | (99,266)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
2,539,000 | 86,671 | (87) | 3/19/50 | 3 month USD- | 0.775% — | (87,066)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
2,539,000 | 53,601 | (87) | 3/19/50 | 3 month USD- | 0.8225% — | (53,956)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |

Master Intermediate Income Trust 69

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$3,986,000 | $47,704 | $(32) | 3/19/25 | 0.747% — | 3 month USD- | $(47,215)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
11,386,000 | 118,118 | (92) | 3/20/25 | 0.717% — | 3 month USD- | (116,470)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
11,386,000 | 123,743 | (92) | 3/20/25 | 0.727% — | 3 month USD- | (122,130)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,064,400 | 119,600 | (41) | 3/27/30 | 3 month USD- | 1.1175% — | 119,401
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
3,064,300 | 111,326 | (41) | 3/27/30 | 1.09% — | 3 month USD- | (111,199)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
91,200 | 3,091 | (1) | 4/2/30 | 3 month USD- | 1.07% — | 3,090
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
2,129,000 | 63,008 | (28) | 3/23/30 | 1.02% — | 3 month USD- | (62,882)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,129,000 | 58,831 | (28) | 3/23/30 | 1.00% — | 3 month USD- | (58,696)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,129,000 | 54,654 | (28) | 3/23/30 | 0.98% — | 3 month USD- | (54,509)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
475,000 | 1,162 E | (6) | 3/24/32 | 3 month USD- | 1.07% — | 1,156
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
268,600 | 122 E | (4) | 3/24/35 | 3 month USD- | 0.968% — | (126)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
3,561,000 | 16,975 | (29) | 3/26/25 | 0.609% — | 3 month USD- | (16,574)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
7,566,000 | 12,726 | (100) | 3/27/30 | 3 month USD- | 0.73705% — | 11,914
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
3,783,000 | 2,050 | (50) | 3/27/30 | 3 month USD- | 0.71439% — | (2,466)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
3,783,000 | 783 | (50) | 3/27/30 | 3 month USD- | 0.7178% — | (1,179)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,842,000 | 32,064 | (63) | 3/30/50 | 3 month USD- | 0.8385% — | (32,224)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |

70 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium |  |  |  | Unrealized
|  |  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
| $3,604,000 | $24,659 | $(48) | 3/31/30 | 3 month USD- | 0.655% — | $(24,852)
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 1,887,000 | 79,579 E | (64) | 5/1/50 | 3 month USD- | 0.7475% — | (79,643)
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 6,759,000 | 4,616 | (25) | 4/1/22 | 3 month USD- | 0.495% — | 4,591
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 6,518,000 | 4,080 | (25) | 4/1/22 | 3 month USD- | 0.4921% — | 4,056
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 5,673,000 | 11,573 | (46) | 4/1/25 | 3 month USD- | 0.4825% — | (11,619)
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 3,288,000 | 3,420 | (44) | 4/2/30 | 0.71% — | 3 month USD- | 3,376
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Quarterly |
| 3,211,000 | 5,170 | (43) | 4/2/30 | 0.70418% — | 3 month USD- | 5,127
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Quarterly |
| 3,364,000 | 4,676 | (45) | 4/2/30 | 0.7065% — | 3 month USD- | 4,631
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Quarterly |
AUD | 11,541,000 | 47,349 | (30) | 10/30/21 | 0.80% — | 3 month AUD- | (46,240)
|  |  |  |  | Quarterly | BBR-BBSW — |
|  |  |  |  |  | Quarterly |
AUD | 2,393,000 | 59,184 | (22) | 10/30/29 | 6 month AUD- | 1.305% — | 60,777
|  |  |  |  | BBR-BBSW — | Semiannually |
|  |  |  |  | Semiannually |  |
AUD | 11,572,000 | 48,601 | (30) | 10/30/21 | 0.81% — | 3 month AUD- | (47,616)
|  |  |  |  | Quarterly | BBR-BBSW — |
|  |  |  |  |  | Quarterly |
AUD | 2,393,000 | 61,943 | (22) | 10/30/29 | 6 month AUD- | 1.325% — | 63,673
|  |  |  |  | BBR-BBSW — | Semiannually |
|  |  |  |  | Semiannually |  |
AUD | 79,300 | 2,060 E | (1) | 1/30/35 | 1.692% — | 6 month AUD- | (2,061)
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |
AUD | 266,900 | 3,489 E | (3) | 3/5/35 | 1.47% — | 6 month AUD- | (3,492)
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |
AUD | 4,003,000 | 69,204 E | (2,534) | 6/17/30 | 6 month AUD- | 1.20% — | 66,669
|  |  |  |  | BBR-BBSW — | Semiannually |
|  |  |  |  | Semiannually |  |
AUD | 73,000 | 707 E | 86 | 6/17/25 | 6 month AUD- | 0.90% — | 793
|  |  |  |  | BBR-BBSW — | Semiannually |
|  |  |  |  | Semiannually |  |

Master Intermediate Income Trust 71

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium |  |  |  | Unrealized
|  |  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
AUD | 99,100 | $906 E | $(1) | 3/25/35 | 1.4025% — | 6 month AUD- | $(907)
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |
AUD | 155,200 | 2,490 E | (2) | 3/28/40 | 1.445% — | 6 month AUD- | (2,492)
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |
AUD | 579,100 | 669 E | (7) | 4/1/40 | 1.1685% — | 6 month AUD- | (676)
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |
CAD | 21,605,000 | 176,856 | (61) | 8/15/21 | 3 month CAD- | 1.61 % — | 170,229
|  |  |  |  | BA-CDOR — | Semiannually |
|  |  |  |  | Semiannually |  |
CAD | 2,269,000 | 54,275 | (23) | 8/15/29 | 1.4925% — | 3 month CAD- | (53,379)
|  |  |  |  | Semiannually | BA-CDOR — |
|  |  |  |  |  | Semiannually |
CAD | 7,222,500 | 158,045 | (51) | 9/18/24 | 3 month CAD- | 1.638% — | 158,357
|  |  |  |  | BA-CDOR — | Semiannually |
|  |  |  |  | Semiannually |  |
CAD | 7,222,500 | 156,228 | (51) | 9/18/24 | 3 month CAD- | 1.63 % — | 156,525
|  |  |  |  | BA-CDOR — | Semiannually |
|  |  |  |  | Semiannually |  |
CAD | 1,119,000 | 41,691 | (11) | 10/9/29 | 1.6875% — | 3 month CAD- | (40,371)
|  |  |  |  | Semiannually | BA-CDOR — |
|  |  |  |  |  | Semiannually |
CAD | 10,617,000 | 116,506 | (30) | 2/24/22 | 3 month CAD- | 1.621% — | 113,979
|  |  |  |  | BA-CDOR — | Semiannually |
|  |  |  |  | Semiannually |  |
CAD | 2,237,000 | 69,997 | (22) | 2/24/30 | 1.60% — | 3 month CAD- | (71,175)
|  |  |  |  | Semiannually | BA-CDOR — |
|  |  |  |  |  | Semiannually |
CAD | 2,075,000 | 137,808 | (51) | 3/11/50 | 3 month CAD- | 1.134% — | (137,659)
|  |  |  |  | BA-CDOR — | Semiannually |
|  |  |  |  | Semiannually |  |
CAD | 1,006,000 | 9,477 E | (2,119) | 6/17/30 | 3 month CAD- | 1.00% — | (11,595)
|  |  |  |  | BA-CDOR — | Semiannually |
|  |  |  |  | Semiannually |  |
CAD | 802,000 | 1,512 E | (2,858) | 6/17/25 | 0.90% — | 3 month CAD- | (1,346)
|  |  |  |  | Semiannually | BA-CDOR — |
|  |  |  |  |  | Semiannually |
CHF | 3,196,000 | 46,853 | (26) | 8/9/24 | 0.8475% plus | — | (61,719)
|  |  |  |  | 6 month CHF- |  |
|  |  |  |  | LIBOR-BBA — |  |
|  |  |  |  | Semiannually |  |
CHF | 1,553,000 | 16,463 | (13) | 9/13/24 | 0.765% plus 6 | — | (22,467)
|  |  |  |  | month CHF- |  |
|  |  |  |  | LIBOR-BBA — |  |
|  |  |  |  | Semiannually |  |

72 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium |  |  |  | Unrealized
|  |  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
CHF | 1,942,000 | $15,304 E | $1,910 | 6/17/25 | 0.60% plus 6 | — | $(13,394)
|  |  |  |  | month CHF- |  |
|  |  |  |  | LIBOR-BBA — |  |
|  |  |  |  | Semiannually |  |
CHF | 1,774,000 | 24,716 E | (5,322) | 6/17/30 | 0.30% plus 6 | — | (30,038)
|  |  |  |  | month CHF- |  |
|  |  |  |  | LIBOR-BBA — |  |
|  |  |  |  | Semiannually |  |
CZK | 96,784,000 | 396,679 | (56) | 3/19/29 | 1.948% — | 6 month CZK- | (396,898)
|  |  |  |  | Annually | PRIBOR — |
|  |  |  |  |  | Semiannually |
CZK | 92,437,000 | 70,839 | (32) | 8/9/24 | 6 month CZK- | 1.28 % — | 91,859
|  |  |  |  | PRIBOR — | Annually |
|  |  |  |  | Semiannually |  |
EUR | 512,400 | 218,414 E | (20) | 11/29/58 | 1.484% — | 6 month EUR- | (218,434)
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 696,900 | 268,051 | (27) | 2/19/50 | 6 month | 1.354% — | 269,552
|  |  |  |  | EUR-EURIBOR- | Annually |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 770,000 | 275,020 | (29) | 3/11/50 | 1.267% — | 6 month EUR- | (275,852)
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 778,400 | 263,938 | (30) | 3/12/50 | 1.2115% — | 6 month EUR- | (264,721)
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 898,100 | 275,185 | (34) | 3/26/50 | 1.113% — | 6 month EUR- | (275,423)
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 802,800 | 305,083 E | (30) | 11/29/58 | 6 month | 1.343% — | 305,053
|  |  |  |  | EUR-EURIBOR- | Annually |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 929,000 | 264,659 | (36) | 2/19/50 | 1.051% — | 6 month EUR- | (266,369)
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 741,300 | 204,747 E | (28) | 6/7/54 | 1.054% — | 6 month EUR- | (204,775)
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 676,400 | 159,853 | (26) | 2/19/50 | 0.9035% — | 6 month EUR- | (160,971)
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |

Master Intermediate Income Trust 73

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium |  |  |  | Unrealized
|  |  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
EUR | 395,500 | $79,994 | $(15) | 2/21/50 | 0.80% — | 6 month EUR- | $(80,567)
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 1,468,500 | 132,826 E | (56) | 8/8/54 | 0.49% — | 6 month EUR- | (132,882)
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 906,000 | 2,454 E | (34) | 6/6/54 | 6 month | 0.207% — | (2,488)
|  |  |  |  | EUR-EURIBOR- | Annually |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 1,215,200 | 18,958 | (46) | 2/19/50 | 0.233% — | 6 month EUR- | (19,918)
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 4,794,000 | 38,317 | (42) | 10/11/24 | — | 0.4047 plus | 38,622
|  |  |  |  |  | 6 month EUR- |
|  |  |  |  |  | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 4,960,100 | 668,478 | (187) | 2/19/50 | 6 month | 0.595% — | 674,330
|  |  |  |  | EUR-EURIBOR- | Annually |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 5,613,000 | 51,679 E | (70) | 1/27/30 | 6 month | 0.352% — | 51,609
|  |  |  |  | EUR-EURIBOR- | Annually |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 574,000 | 15,306 E | (21) | 3/4/54 | 0.134% — | 6 month EUR- | 15,284
|  |  |  |  | Annually | EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 260,400 | 37,950 E | (10) | 3/13/54 | — | 0.2275% | 37,940
|  |  |  |  |  | plus 6 month |
|  |  |  |  |  | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 11,368,000 | 54,966 E | 68,483 | 6/17/25 | 0.30% plus | — | 13,518
|  |  |  |  | 6 month |  |
|  |  |  |  | EUR-EURIBOR- |  |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 2,738,000 | 47,664 E | 74,128 | 6/17/30 | 0.15% plus | — | 26,463
|  |  |  |  | 6 month |  |
|  |  |  |  | EUR-EURIBOR- |  |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |

74 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium |  |  |  | Unrealized
|  |  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
GBP | 6,527,000 | $56,094 E | $(47) | 1/10/24 | 6 month GBP- | 0.855% — | $56,046
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Semiannually |  |
GBP | 6,590,000 | 55,776 E | (60) | 1/10/26 | 0.965% — | 6 month GBP- | (55,835)
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Semiannually |
GBP | 12,297,000 | 87,460 E | (89) | 1/13/24 | 6 month GBP- | 0.795% — | 87,370
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Semiannually |  |
GBP | 12,486,000 | 93,301 E | (113) | 1/15/26 | 0.926% — | 6 month GBP- | (93,414)
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Semiannually |
GBP | 2,623,000 | 8,992 E | (3,376) | 6/17/25 | Sterling | 0.30% — | 5,616
|  |  |  |  | Overnight Index | Annually |
|  |  |  |  | Average — |  |
|  |  |  |  | Annually |  |
GBP | 1,668,000 | 18,854 E | (12,762) | 6/17/30 | Sterling | 0.40% — | 6,092
|  |  |  |  | Overnight Index | Annually |
|  |  |  |  | Average — |  |
|  |  |  |  | Annually |  |
JPY | 49,618,300 | 52,326 E | (14) | 8/29/43 | 0.7495% — | 6 month JPY- | (52,341)
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Semiannually |
JPY | 739,000,000 | 57,849 E | (76) | 1/16/30 | 6 month JPY- | 0.245% — | 57,773
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Semiannually |  |
JPY | 379,000,000 | 114,974 E | (67) | 1/16/40 | 0.565% — | 6 month JPY- | (115,042)
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Semiannually |
JPY | 63,267,700 | 1,762 E | (19) | 8/29/43 | 0.194% — | 6 month JPY- | (1,781)
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Semiannually |
NOK | 60,138,000 | 217,762 | (57) | 7/1/24 | 1.735% — | 6 month NOK- | (272,074)
|  |  |  |  | Annually | NIBOR-NIBR — |
|  |  |  |  |  | Semiannually |
NOK | 31,542,000 | 209,771 | (49) | 7/1/29 | 6 month NOK- | 1.82% — | 240,383
|  |  |  |  | NIBOR-NIBR — | Annually |
|  |  |  |  | Semiannually |  |
NOK | 146,622,000 | 175,174 E | (61) | 1/25/22 | 1.8075% — | 3 month NOK- | (175,236)
|  |  |  |  | Annually | NIBOR-NIBR — |
|  |  |  |  |  | Quarterly |
NOK | 3,607,000 | 8,251 E | (3,775) | 6/17/30 | 6 month NOK- | 1.30% — | 4,476
|  |  |  |  | NIBOR-NIBR — | Annually |
|  |  |  |  | Semiannually |  |
NOK | 32,515,000 | 60,048 E | 12,503 | 6/17/25 | 1.20% — | 6 month NOK- | (47,545)
|  |  |  |  | Annually | NIBOR-NIBR — |
|  |  |  |  |  | Semiannually |

Master Intermediate Income Trust 75

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium |  |  |  | Unrealized
|  |  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
NOK | 17,139,000 | $23,030 | $(22) | 3/19/30 | 6 month NOK- | 1.195% — | $22,968
|  |  |  |  | NIBOR-NIBR — | Annually |
|  |  |  |  | Semiannually |  |
NZD | 5,250,000 | 107,883 | (28) | 12/13/24 | 3 month NZD- | 1.3625% — | 120,214
|  |  |  |  | BBR-FRA — | Semiannually |
|  |  |  |  | Quarterly |  |
NZD | 5,250,000 | 113,606 | (28) | 12/17/24 | 3 month NZD- | 1.39% — | 126,307
|  |  |  |  | BBR-FRA — | Semiannually |
|  |  |  |  | Quarterly |  |
NZD | 5,250,000 | 109,139 | (28) | 12/18/24 | 3 month NZD- | 1.36% — | 121,457
|  |  |  |  | BBR-FRA — | Semiannually |
|  |  |  |  | Quarterly |  |
NZD | 1,839,000 | 15,915 E | (5,869) | 6/17/30 | 3 month NZD- | 1.10% — | 10,047
|  |  |  |  | BBR-FRA — | Semiannually |
|  |  |  |  | Quarterly |  |
NZD | 3,231,000 | 24,930 E | 7,198 | 6/17/25 | 0.90% — | 3 month NZD- | (17,732)
|  |  |  |  | Semiannually | BBR-FRA — |
|  |  |  |  |  | Quarterly |
SEK | 74,099,000 | 9,580 E | (29) | 1/21/22 | 3 month SEK- | 0.24% — | 9,551
|  |  |  |  | STIBOR-SIDE — | Annually |
|  |  |  |  | Quarterly |  |
SEK | 148,198,000 | 20,299 E | (58) | 1/25/22 | 3 month SEK- | 0.2475% — | 20,241
|  |  |  |  | STIBOR-SIDE — | Annually |
|  |  |  |  | Quarterly |  |
SEK | 90,382,000 | 10,553 E | (36) | 1/28/22 | 3 month SEK- | 0.2275% — | 10,517
|  |  |  |  | STIBOR-SIDE — | Annually |
|  |  |  |  | Quarterly |  |
SEK | 15,483,000 | 10,671 | (21) | 3/2/30 | 0.3125% — | 3 month SEK- | 9,558
|  |  |  |  | Annually | STIBOR-SIDE — |
|  |  |  |  |  | Quarterly |
SEK | 76,985,000 | 7,642 | (30) | 3/2/22 | 3 month SEK- | 0.07% — | (3,779)
|  |  |  |  | STIBOR-SIDE — | Annually |
|  |  |  |  | Quarterly |  |
SEK | 15,483,000 | 14,745 | (21) | 3/3/30 | 0.286% — | 3 month SEK- | 13,702
|  |  |  |  | Annually | STIBOR-SIDE — |
|  |  |  |  |  | Quarterly |
SEK | 76,985,000 | 9,082 | (30) | 3/3/22 | 3 month SEK- | 0.06% — | (5,412)
|  |  |  |  | STIBOR-SIDE — | Annually |
|  |  |  |  | Quarterly |  |
SEK | 46,000 | 68 E | (12) | 6/17/30 | 0.25% — | 3 month SEK- | 57
|  |  |  |  | Annually | STIBOR-SIDE — |
|  |  |  |  |  | Quarterly |
SEK | 39,021,000 | 19,292 E | (5,592) | 6/17/25 | 0.10% — | 3 month SEK- | 13,695
|  |  |  |  | Annually | STIBOR-SIDE — |
|  |  |  |  |  | Quarterly |
Total |  |  | $(281,597) |  |  |  | $(9,173,909)

E Extended effective date.

76 Master Intermediate Income Trust

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) |
|  | Upfront |  |  |  |
|  | premium | Termina | Payments | Total return | Unrealized
Swap counterparty/ |  | received | tion | received (paid) | received by | appreciation/
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)
Barclays Bank PLC |  |  |  |  |  |
$427,971 | $429,718 | $— | 1/12/40 | 4.00% (1 month | Synthetic MBX | $2,397
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
72,113 | 72,407 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX | 404
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
48,040 | 48,236 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX | 269
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
326,331 | 325,536 | — | 1/12/40 | 4.50% (1 month | Synthetic MBX | (231)
|  |  |  | USD-LIBOR) — | Index 4.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
5,161,715 | 5,111,679 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | (40,116)
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
628,290 | 622,189 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX | (4,891)
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
82,272 | 82,201 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 91
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
189,696 | 190,056 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX | (796)
|  |  |  | USD-LIBOR — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
3,255,974 | 3,295,131 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (47,034)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
18,418 | 15,232 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | 2,988
|  |  |  | USD-LIBOR — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
32,242 | 27,752 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | (4,110)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
102,347 | 87,377 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | 13,745
|  |  |  | USD-LIBOR — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

Master Intermediate Income Trust 77

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont. |
|  | Upfront |  |  |  |
|  | premium | Termina | Payments | Total return | Unrealized
Swap counterparty/ |  | received | tion | received (paid) | received by | appreciation/
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)
Barclays Bank PLC cont. |  |  |  |  |
$205,149 | $175,141 | $— | 1/12/41 | (4.00%) 1 month | Synthetic TRS | $27,551
|  |  |  | USD-LIBOR — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
121,627 | 105,135 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | 14,889
|  |  |  | USD-LIBOR — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
45,601 | 40,888 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (4,161)
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
34,817 | 31,219 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (3,177)
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
27,466 | 24,628 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (2,506)
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
37,262 | 33,269 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | (3,544)
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
70,090 | 64,853 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (4,404)
|  |  |  | USD-LIBOR) — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
10,054 | 9,303 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (632)
|  |  |  | USD-LIBOR) — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
4,678 | 4,328 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (294)
|  |  |  | USD-LIBOR) — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
Citibank, N.A. |  |  |  |  |  |
687,331 | 680,668 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | (5,342)
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
320,708 | 317,600 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | (2,492)
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
64,197 | 63,574 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | (499)
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

78 Master Intermediate Income Trust

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont. |
|  | Upfront |  |  |  |
|  | premium | Termina | Payments | Total return | Unrealized
Swap counterparty/ |  | received | tion | received (paid) | received by | appreciation/
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)
Credit Suisse International |  |  |  |  |
$274,932 | $272,267 | $— | 1/12/41 | 5.00% (1 month | Synthetic MBX | $(2,137)
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
79,841 | 71,590 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | (7,285)
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
65,028 | 53,778 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (10,549)
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
62,348 | 48,210 | — | 1/12/45 | 3.50% (1 month | Synthetic TRS | (13,413)
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
39,774 | 32,893 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (6,452)
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
23,986 | 20,065 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS | (3,657)
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
21,751 | 17,988 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | (3,528)
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
242,363 | 191,364 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (48,005)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
62,645 | 49,462 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (12,408)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
27,779 | 23,716 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (3,731)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
134,244 | 114,607 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | 18,028
|  |  |  | USD-LIBOR — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
75,852 | 65,567 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | 9,285
|  |  |  | USD-LIBOR — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

Master Intermediate Income Trust 79

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont. |
|  | Upfront |  |  |  |
|  | premium | Termina | Payments | Total return | Unrealized
Swap counterparty/ |  | received | tion | received (paid) | received by | appreciation/
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)
Credit Suisse International cont. |  |  |  |  |
$84,084 | $72,682 | $— | 1/12/41 | (5.00%) 1 month | Synthetic TRS | $10,293
|  |  |  | USD-LIBOR — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
76,731 | 68,801 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | (7,001)
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
Deutsche Bank AG |  |  |  |  |  |
220,316 | 222,966 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (3,183)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
Goldman Sachs International |  |  |  |  |
9,859 | 9,978 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (142)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
26,273 | 26,589 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (380)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
56,869 | 57,553 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (822)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
106,853 | 108,139 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (1,544)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
128,197 | 129,738 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (1,852)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
151,385 | 153,206 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (2,187)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
207,373 | 209,867 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (2,996)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
121,934 | 96,365 | — | 1/12/44 | (3.00%) 1 month | Synthetic TRS | 24,322
|  |  |  | USD-LIBOR — | Index 3.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

80 Master Intermediate Income Trust

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont. |
|  | Upfront |  |  |  |
|  | premium | Termina | Payments | Total return | Unrealized
Swap counterparty/ |  | received | tion | received (paid) | received by | appreciation/
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)
Goldman Sachs International cont. |  |  |  |
$171,316 | $143,316 | $— | 1/12/44 | 3.50% (1 month | Synthetic TRS | $(26,119)
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
135,371 | 113,245 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS | (20,639)
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
62,625 | 52,390 | — | 1/12/44 | 3.50% (1 month | Synthetic TRS | (9,548)
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
81,073 | 67,047 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | 13,151
|  |  |  | USD-LIBOR — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
328,857 | 259,657 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (65,137)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
186,727 | 160,727 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | (23,803)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
162,657 | 140,009 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | (20,735)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
80,036 | 68,891 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | (10,203)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
80,036 | 68,891 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | (10,203)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
62,168 | 49,086 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | (12,314)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
48,196 | 42,232 | — | 1/12/40 | 4.00% (1 month | Synthetic TRS | (5,389)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
305,144 | 260,509 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | 40,979
|  |  |  | USD-LIBOR — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

Master Intermediate Income Trust 81

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont. |
|  | Upfront |  |  |  |
|  | premium | Termina | Payments | Total return | Unrealized
Swap counterparty/ |  | received | tion | received (paid) | received by | appreciation/
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)
Goldman Sachs International cont. |  |  |  |
$71,455 | $60,342 | $— | 1/12/41 | 4.50% (1 month | Synthetic TRS | $(10,201)
|  |  |  | USD-LIBOR) — | Index 4.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
120,861 | 104,473 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | 14,795
|  |  |  | USD-LIBOR — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
51,434 | 45,923 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | (4,892)
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
49,739 | 44,410 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | (4,731)
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
24,870 | 22,205 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | (2,365)
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
23,658 | 21,123 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | (2,250)
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
2,775 | 2,478 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | (264)
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
23,126 | 21,398 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (1,453)
|  |  |  | USD-LIBOR) — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
1,737 | 1,607 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | (109)
|  |  |  | USD-LIBOR) — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
JPMorgan Chase Bank N.A. |  |  |  |  |
240,441 | 205,271 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (32,290)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
210,630 | 179,820 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (28,287)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
137,506 | 117,392 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | (18,466)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

82 Master Intermediate Income Trust

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont. |
|  | Upfront |  |  |  |
|  | premium | Termina | Payments | Total return | Unrealized
Swap counterparty/ |  | received | tion | received (paid) | received by | appreciation/
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)
JPMorgan Chase Bank N.A. cont. |  |  |  |  |
$130,528 | $111,435 | $— | 1/12/41 | 4.00% (1 month | Synthetic TRS | $(17,529)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
120,861 | 104,473 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | 14,795
|  |  |  | USD-LIBOR — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
JPMorgan Securities LLC |  |  |  |  |
172,286 | 154,481 | — | 1/12/41 | (5.00%) 1 month | Synthetic MBX Index | 15,719
|  |  |  | USD-LIBOR — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
27,062 | 22,380 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | 4,390
|  |  |  | USD-LIBOR — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
393,298 | 329,016 | — | 1/12/44 | (3.50%) 1 month | Synthetic TRS | 59,962
|  |  |  | USD-LIBOR — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
164,454 | 141,709 | — | 1/12/44 | 4.00% (1 month | Synthetic TRS | (20,792)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
541,697 | 466,271 | — | 1/12/42 | (4.00%) 1 month | Synthetic TRS | 69,053
|  |  |  | USD-LIBOR — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
Upfront premium received | — |  | Unrealized appreciation | 357,106
Upfront premium (paid) | — |  | Unrealized (depreciation) | (603,220)
Total |  | $— |  | Total |  | $(246,114)

CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited)
|  |  | Upfront |  |  |  |
|  |  | premium | Termina | Payments | Total return | Unrealized
|  |  | received | tion | received (paid) | received by | appreciation/
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)
EUR | 4,998,000 | $1,081,396 | $(121) | 8/15/37 | 1.7138% — At | Eurostat Eurozone | $1,081,276
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 1,979,000 | 432,350 | — | 7/15/37 | 1.71% — At | Eurostat Eurozone | 432,350
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |

Master Intermediate Income Trust 83

CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium | Termina- | Payments | Total return | Unrealized
|  |  | received | tion | received (paid) | received by | appreciation/
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)
EUR | 1,979,000 | $187,748 | $— | 7/15/27 | (1.40%) — At | Eurostat Eurozone | $(187,748)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 6,434,000 | 407,754 | (75) | 9/15/23 | (1.4375%) — At | Eurostat Eurozone | (407,829)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 6,434,000 | 409,187 | (75) | 9/15/23 | (1.44125%) — At | Eurostat Eurozone | (409,262)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 6,434,000 | 409,663 | (76) | 9/15/23 | (1.4425%) — At | Eurostat Eurozone | (409,739)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 6,434,000 | 410,145 | (76) | 9/15/23 | (1.44375%) — At | Eurostat Eurozone | (410,221)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 4,998,000 | 479,233 | (64) | 8/15/27 | (1.4275%) — At | Eurostat Eurozone | (479,298)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
GBP | 4,004,000 | 323,453 | (86) | 12/15/28 | 3.665% — At | GBP Non-revised UK | 323,367
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 4,484,000 | 134,951 | (106) | 3/15/28 | 3.34% — At | GBP Non-revised UK | 134,845
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 3,123,000 | 125,911 | (72) | 3/15/28 | 3.4025% — At | GBP Non-revised UK | 125,839
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 4,253,000 | 109,266 | (56) | 11/15/24 | 3.385% — At | GBP Non-revised UK | 109,211
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 2,402,000 | 80,030 | (56) | 2/15/28 | 3.34% — At | GBP Non-revised UK | 79,974
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 2,127,000 | 54,049 | (28) | 11/15/24 | 3.381% — At | GBP Non-revised UK | 54,021
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 2,127,000 | 49,167 | — | 12/15/24 | 3.42% — At | GBP Non-revised UK | 49,167
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 1,121,000 | 42,440 | (26) | 3/15/28 | 3.3875% — At | GBP Non-revised UK | 42,414
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |

84 Master Intermediate Income Trust

CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/20 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium | Termina | Payments | Total return | Unrealized
|  |  | received | tion | received (paid) | received by | appreciation/
Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation)
GBP | 1,204,000 | $654,487 | $(63) | 7/15/49 | (3.4425%) — At | GBP Non-revised UK | $(654,550)
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
| $12,337,000 | 87,950 | (207) | 3/11/30 | 1.165% — At | USA Non Revised | 87,743
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 3,084,000 | 23,478 | (31) | 3/18/25 | (0.41%) — At | USA Non Revised | 23,447
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 3,084,000 | 46,926 | (52) | 3/18/30 | 0.95% — At | USA Non Revised | (46,978)
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 12,337,000 | 126,713 | (125) | 3/11/25 | (0.77%) — At | USA Non Revised | (126,838)
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 3,060,000 | 163,254 | (31) | 11/29/24 | (1.703%) — At | USA Non Revised | (163,285)
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 3,060,000 | 175,503 | (31) | 12/10/24 | (1.7625%) — At | USA Non Revised | (175,534)
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 6,119,000 | 328,529 | (61) | 11/21/24 | (1.71%) — At | USA Non Revised | (328,591)
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
Total |  |  | $(1,518) |  |  |  | $(1,256,219)

Master Intermediate Income Trust 85

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/20 (Unaudited)
|  | Upfront |  |  |  |  |
|  | premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ |  | received | Notional |  | nation | received | appreciation/
Referenced debt * | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation)
Bank of America N.A. |  |  |  |  |  |
CMBX NA BBB–.6 | BBB–/P | $4,375 | $64,000 | $14,163 | 5/11/63 | 300 bp — | $(9,751)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 8,497 | 141,000 | 31,203 | 5/11/63 | 300 bp — | (22,624)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 17,409 | 282,000 | 62,407 | 5/11/63 | 300 bp — | (44,833)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 16,587 | 291,000 | 64,398 | 5/11/63 | 300 bp — | (47,642)
Index |  |  |  |  |  | Monthly |
Citigroup Global Markets, Inc. |  |  |  |  |  |
CMBX NA BB.6 | BB–/P | 139,721 | 974,000 | 380,444 | 5/11/63 | 500 bp — | (239,776)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.7 | BB/P | 64,660 | 1,267,000 | 425,205 | 1/17/47 | 500 bp — | (359,314)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 1,199 | 15,000 | 3,320 | 5/11/63 | 300 bp — | (2,112)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 17,107 | 260,000 | 57,538 | 5/11/63 | 300 bp — | (40,279)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 21,761 | 330,000 | 73,029 | 5/11/63 | 300 bp — | (51,076)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 23,964 | 352,000 | 77,898 | 5/11/63 | 300 bp — | (53,729)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 362,524 | 5,693,000 | 1,259,861 | 5/11/63 | 300 bp — | (894,016)
Index |  |  |  |  |  | Monthly |
Credit Suisse International |  |  |  |  |  |
CMBX NA BB.7 | BB/P | 30,497 | 228,000 | 76,517 | 1/17/47 | 500 bp — | (45,798)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 52,816 | 478,000 | 105,781 | 5/11/63 | 300 bp — | (52,687)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 129,498 | 1,172,000 | 259,364 | 5/11/63 | 300 bp — | (129,182)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 1,151,228 | 12,252,000 | 2,711,368 | 5/11/63 | 300 bp — | (1,552,993)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.7 | BBB–/P | 51,226 | 780,000 | 141,024 | 1/17/47 | 300 bp — | (89,343)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.7 | BBB–/P | 136,373 | 1,845,000 | 333,576 | 1/17/47 | 300 bp — | (196,127)
Index |  |  |  |  |  | Monthly |
Goldman Sachs International |  |  |  |  |  |
CMBX NA BB.6 | BB–/P | 5,506 | 46,000 | 17,968 | 5/11/63 | 500 bp — | (12,417)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | BB–/P | 17,531 | 150,000 | 58,590 | 5/11/63 | 500 bp — | (40,913)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | BB–/P | 34,572 | 299,000 | 116,789 | 5/11/63 | 500 bp — | (81,927)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 682 | 9,000 | 1,992 | 5/11/63 | 300 bp — | (1,304)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 811 | 11,000 | 2,434 | 5/11/63 | 300 bp — | (1,617)
Index |  |  |  |  |  | Monthly |

86 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/20 (Unaudited) cont.
|  | Upfront |  |  |  |  |
|  | premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ |  | received | Notional |  | nation | received | appreciation/
Referenced debt * | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation)
Goldman Sachs International cont. |  |  |  |  |
CMBX NA BBB–.6 | BBB–/P | $806 | $11,000 | $2,434 | 5/11/63 | 300 bp — | $(1,622)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 1,042 | 13,000 | 2,877 | 5/11/63 | 300 bp — | (1,827)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 1,771 | 26,000 | 5,754 | 5/11/63 | 300 bp — | (3,967)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 2,354 | 28,000 | 6,196 | 5/11/63 | 300 bp — | (3,827)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 2,430 | 32,000 | 7,082 | 5/11/63 | 300 bp — | (4,633)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 4,415 | 44,000 | 9,737 | 5/11/63 | 300 bp — | (5,297)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 6,450 | 46,000 | 10,180 | 5/11/63 | 300 bp — | (3,703)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 8,034 | 60,000 | 13,278 | 5/11/63 | 300 bp — | (5,209)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 7,985 | 60,000 | 13,278 | 5/11/63 | 300 bp — | (5,258)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 5,664 | 64,000 | 14,163 | 5/11/63 | 300 bp — | (8,462)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 6,945 | 66,000 | 14,606 | 5/11/63 | 300 bp — | (7,622)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 8,625 | 78,000 | 17,261 | 5/11/63 | 300 bp — | (8,591)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 6,758 | 78,000 | 17,261 | 5/11/63 | 300 bp — | (10,458)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 7,858 | 91,000 | 20,138 | 5/11/63 | 300 bp — | (12,227)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 5,285 | 102,000 | 22,573 | 5/11/63 | 300 bp — | (17,228)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 14,022 | 103,000 | 22,794 | 5/11/63 | 300 bp — | (8,712)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 12,871 | 115,000 | 25,450 | 5/11/63 | 300 bp — | (12,511)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 10,295 | 122,000 | 26,999 | 5/11/63 | 300 bp — | (16,632)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 9,733 | 123,000 | 27,220 | 5/11/63 | 300 bp — | (17,415)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 14,645 | 131,000 | 28,990 | 5/11/63 | 300 bp — | (14,269)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 6,818 | 135,000 | 29,876 | 5/11/63 | 300 bp — | (22,978)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 7,018 | 137,000 | 30,318 | 5/11/63 | 300 bp — | (23,220)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 22,777 | 137,000 | 30,318 | 5/11/63 | 300 bp — | (7,462)
Index |  |  |  |  |  | Monthly |

Master Intermediate Income Trust 87

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/20 (Unaudited) cont.
|  | Upfront |  |  |  |  |
|  | premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ |  | received | Notional |  | nation | received | appreciation/
Referenced debt * | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation)
Goldman Sachs International cont. |  |  |  |  |
CMBX NA BBB–.6 | BBB–/P | $23,502 | $157,000 | $34,744 | 5/11/63 | 300 bp — | $(11,150)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 23,233 | 158,000 | 34,965 | 5/11/63 | 300 bp — | (11,640)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 18,496 | 166,000 | 36,736 | 5/11/63 | 300 bp — | (18,143)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 18,286 | 169,000 | 37,400 | 5/11/63 | 300 bp — | (19,015)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 18,357 | 169,000 | 37,400 | 5/11/63 | 300 bp — | (18,944)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 20,534 | 175,000 | 38,728 | 5/11/63 | 300 bp — | (18,091)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 15,274 | 181,000 | 40,055 | 5/11/63 | 300 bp — | (24,676)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 15,166 | 183,000 | 40,498 | 5/11/63 | 300 bp — | (25,225)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 10,015 | 192,000 | 42,490 | 5/11/63 | 300 bp — | (32,363)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 24,103 | 216,000 | 47,801 | 5/11/63 | 300 bp — | (23,572)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 24,103 | 216,000 | 47,801 | 5/11/63 | 300 bp — | (23,572)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 11,095 | 226,000 | 50,014 | 5/11/63 | 300 bp — | (38,787)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 12,285 | 252,000 | 55,768 | 5/11/63 | 300 bp — | (43,336)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 40,089 | 266,000 | 58,866 | 5/11/63 | 300 bp — | (18,622)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 13,442 | 271,000 | 59,972 | 5/11/63 | 300 bp — | (46,372)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 36,039 | 296,000 | 65,505 | 5/11/63 | 300 bp — | (29,293)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 33,021 | 305,000 | 67,497 | 5/11/63 | 300 bp — | (34,298)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 32,527 | 324,000 | 71,701 | 5/11/63 | 300 bp — | (38,986)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 47,211 | 452,000 | 100,028 | 5/11/63 | 300 bp — | (52,553)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 50,821 | 461,000 | 102,019 | 5/11/63 | 300 bp — | (50,930)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 71,741 | 605,000 | 133,887 | 5/11/63 | 300 bp — | (61,792)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 71,494 | 605,000 | 133,887 | 5/11/63 | 300 bp — | (62,039)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 37,011 | 765,000 | 169,295 | 5/11/63 | 300 bp — | (131,837)
Index |  |  |  |  |  | Monthly |

88 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/20 (Unaudited) cont.
|  | Upfront |  |  |  |  |
|  | premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ |  | received | Notional |  | nation | received | appreciation/
Referenced debt * | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation)
Goldman Sachs International cont. |  |  |  |  |
CMBX NA BBB–.6 | BBB–/P | $155,865 | $1,042,000 | $230,595 | 5/11/63 | 300 bp — | $(74,122)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.7 | BBB–/P | 9,270 | 133,000 | 24,046 | 1/17/47 | 300 bp — | (14,699)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.7 | BBB–/P | 51,111 | 600,000 | 108,480 | 1/17/47 | 300 bp — | (57,019)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.7 | BBB–/P | 61,571 | 833,000 | 150,606 | 1/17/47 | 300 bp — | (88,549)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.7 | BBB–/P | 90,359 | 1,040,000 | 188,032 | 1/17/47 | 300 bp — | (97,066)
Index |  |  |  |  |  | Monthly |
JPMorgan Securities LLC |  |  |  |  |  |
CMBX NA BB.10 | BB–/P | 23,991 | 299,000 | 137,899 | 5/11/63 | 500 bp — | (113,617)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | BB–/P | 4,564 | 32,000 | 12,499 | 5/11/63 | 500 bp — | (7,904)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.7 | BB/P | 12,519 | 241,000 | 80,880 | 1/17/47 | 500 bp — | (68,126)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.7 | BB/P | 87,382 | 281,000 | 94,304 | 1/17/47 | 500 bp — | (6,648)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 4,054 | 47,000 | 10,401 | 5/11/63 | 300 bp — | (6,320)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 5,566 | 64,000 | 14,163 | 5/11/63 | 300 bp — | (8,560)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 1,078,805 | 17,385,000 | 3,847,301 | 5/11/63 | 300 bp — | (2,758,354)
Index |  |  |  |  |  | Monthly |
Merrill Lynch International |  |  |  |  |  |
CMBX NA BB.6 | BB–/P | 24,488 | 219,000 | 85,541 | 5/11/63 | 500 bp — | (60,840)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 718 | 10,000 | 2,213 | 5/11/63 | 300 bp — | (1,489)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 885 | 12,000 | 2,656 | 5/11/63 | 300 bp — | (1,764)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 4,231 | 58,000 | 12,835 | 5/11/63 | 300 bp — | (8,571)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 5,636 | 64,000 | 14,163 | 5/11/63 | 300 bp — | (8,490)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 10,285 | 160,000 | 35,408 | 5/11/63 | 300 bp — | (25,030)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 16,195 | 179,000 | 39,613 | 5/11/63 | 300 bp — | (23,313)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 16,247 | 213,000 | 47,137 | 5/11/63 | 300 bp — | (30,766)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 132,865 | 1,488,000 | 329,294 | 5/11/63 | 300 bp — | (195,562)
Index |  |  |  |  |  | Monthly |

Master Intermediate Income Trust 89

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/20 (Unaudited) cont.
|  | Upfront |  |  |  |  |
|  | premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ |  | received | Notional |  | nation | received | appreciation/
Referenced debt * | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation)
Morgan Stanley & Co. International PLC |  |  |  |  |
CMBX NA A.6 | A/P | $(31) | $4,000 | $422 | 5/11/63 | 200 bp — | $(451)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | BB–/P | 4,741 | 39,000 | 15,233 | 5/11/63 | 500 bp — | (10,455)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | BB–/P | 8,676 | 48,000 | 18,749 | 5/11/63 | 500 bp — | (10,026)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | BB–/P | 48,378 | 197,000 | 76,948 | 5/11/63 | 500 bp — | (28,379)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | BB–/P | 97,086 | 394,000 | 153,896 | 5/11/63 | 500 bp — | (56,427)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 752 | 9,000 | 1,992 | 5/11/63 | 300 bp — | (1,235)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 1,541 | 21,000 | 4,647 | 5/11/63 | 300 bp — | (3,094)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 3,126 | 39,000 | 8,631 | 5/11/63 | 300 bp — | (5,482)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 3,446 | 46,000 | 10,180 | 5/11/63 | 300 bp — | (6,707)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 9,375 | 142,000 | 31,425 | 5/11/63 | 300 bp — | (21,967)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 9,454 | 144,000 | 31,867 | 5/11/63 | 300 bp — | (22,329)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BBB–/P | 562,324 | 8,488,000 | 1,878,394 | 5/11/63 | 300 bp — | (1,311,115)
Index |  |  |  |  |  | Monthly |
Upfront premium received | 5,676,496 | Unrealized appreciation |  | —
Upfront premium (paid) | (31) | Unrealized (depreciation) |  | (10,162,302)
Total |  | $5,676,465 | Total |  |  |  | $(10,162,302)

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

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

*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2020. 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.

90 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/20 (Unaudited)
| Upfront |  |  |  |  |
| premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ | received | Notional |  | nation | (paid) | appreciation/
Referenced debt * | (paid)** | amount | Value | date | by fund | (depreciation)
Citigroup Global Markets, Inc. |  |  |  |  |  |
CMBX NA A.6 Index | $34 | $4,000 | $422 | 5/11/63 | (200 bp) — | $454
|  |  |  |  | Monthly |
CMBX NA BB.10 Index | (14,611) | 140,000 | 64,568 | 11/17/59 | (500 bp) — | 49,821
|  |  |  |  | Monthly |
CMBX NA BB.10 Index | (12,500) | 114,000 | 52,577 | 11/17/59 | (500 bp) — | 39,966
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (54,156) | 418,000 | 200,724 | 11/18/54 | (500 bp) — | 146,161
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (10,687) | 148,000 | 71,070 | 11/18/54 | (500 bp) — | 60,239
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (13,574) | 144,000 | 69,149 | 11/18/54 | (500 bp) — | 55,435
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (3,942) | 76,000 | 36,495 | 11/18/54 | (500 bp) — | 32,479
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (3,877) | 76,000 | 36,495 | 11/18/54 | (500 bp) — | 32,545
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (5,018) | 73,000 | 35,055 | 11/18/54 | (500 bp) — | 29,965
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (5,407) | 63,000 | 30,971 | 8/17/61 | (500 bp) — | 25,503
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (5,407) | 63,000 | 30,971 | 8/17/61 | (500 bp) — | 25,503
|  |  |  |  | Monthly |
CMBX NA BB.8 Index | (8,940) | 72,000 | 34,258 | 10/17/57 | (500 bp) — | 25,248
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (210,878) | 2,043,000 | 813,931 | 9/17/58 | (500 bp) — | 601,067
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (19,033) | 295,000 | 117,528 | 9/17/58 | (500 bp) — | 98,208
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (11,328) | 281,000 | 111,950 | 9/17/58 | (500 bp) — | 100,349
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (8,581) | 133,000 | 52,987 | 9/17/58 | (500 bp) — | 44,277
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (3,140) | 80,000 | 31,872 | 9/17/58 | (500 bp) — | 28,654
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (2,755) | 76,000 | 30,278 | 9/17/58 | (500 bp) — | 27,449
|  |  |  |  | Monthly |
Credit Suisse International |  |  |  |  |  |
CMBX NA BB.10 Index | (38,693) | 290,000 | 133,748 | 11/17/59 | (500 bp) — | 94,773
|  |  |  |  | Monthly |
CMBX NA BB.10 Index | (34,367) | 289,000 | 133,287 | 11/17/59 | (500 bp) — | 98,639
|  |  |  |  | Monthly |
CMBX NA BB.10 Index | (18,893) | 152,000 | 70,102 | 11/17/59 | (500 bp) — | 51,061
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (5,383) | 305,000 | 119,133 | 5/11/63 | (500 bp) — | 113,453
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (61,796) | 335,000 | 112,426 | 1/17/47 | (500 bp) — | 50,304
|  |  |  |  | Monthly |

Master Intermediate Income Trust 91

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/20 (Unaudited) cont.
| Upfront |  |  |  |  |
| premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ | received | Notional |  | nation | (paid) | appreciation/
Referenced debt * | (paid)** | amount | Value | date | by fund | (depreciation)
Credit Suisse International cont. |  |  |  |  |
CMBX NA BB.7 Index | $(4,770) | $29,000 | $9,732 | 1/17/47 | (500 bp) — | $4,934
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (119,494) | 1,192,000 | 474,893 | 9/17/58 | (500 bp) — | 354,240
|  |  |  |  | Monthly |
Goldman Sachs International |  |  |  |  |  |
CMBX NA BB.6 Index | (12,481) | 122,000 | 47,653 | 5/11/63 | (500 bp) — | 35,054
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (32,233) | 213,000 | 71,483 | 1/17/47 | (500 bp) — | 39,043
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (19,406) | 53,000 | 26,055 | 8/17/61 | (500 bp) — | 6,597
|  |  |  |  | Monthly |
CMBX NA BB.6 Index | (11,509) | 93,000 | 36,326 | 5/11/63 | (500 bp) — | 24,727
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (38,667) | 236,000 | 79,202 | 1/17/47 | (500 bp) — | 40,305
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (25,361) | 150,000 | 50,340 | 1/17/47 | (500 bp) — | 24,834
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (25,381) | 125,000 | 41,950 | 1/17/47 | (500 bp) — | 16,447
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (18,621) | 102,000 | 34,231 | 1/17/47 | (500 bp) — | 15,511
|  |  |  |  | Monthly |
CMBX NA BB.8 Index | (2,606) | 23,000 | 10,943 | 10/17/57 | (500 bp) — | 8,315
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (2,524) | 65,000 | 25,896 | 9/17/58 | (500 bp) — | 23,308
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (4,617) | 29,000 | 11,554 | 9/17/58 | (500 bp) — | 6,909
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (2,212) | 14,000 | 5,578 | 9/17/58 | (500 bp) — | 3,352
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (2,236) | 14,000 | 5,578 | 9/17/58 | (500 bp) — | 3,328
|  |  |  |  | Monthly |
JPMorgan Securities LLC |  |  |  |  |  |
CMBX NA BB.11 Index | (13,907) | 204,000 | 97,961 | 11/18/54 | (500 bp) — | 83,855
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (9,271) | 136,000 | 65,307 | 11/18/54 | (500 bp) — | 55,904
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (9,137) | 124,000 | 59,545 | 11/18/54 | (500 bp) — | 50,287
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (3,695) | 73,000 | 35,055 | 11/18/54 | (500 bp) — | 31,288
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (3,504) | 62,000 | 29,772 | 11/18/54 | (500 bp) — | 26,208
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (27,265) | 299,000 | 146,988 | 8/17/61 | (500 bp) — | 119,433
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (2,964) | 32,000 | 15,731 | 8/17/61 | (500 bp) — | 12,736
|  |  |  |  | Monthly |

92 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/20 (Unaudited) cont.
| Upfront |  |  |  |  |
| premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ | received | Notional |  | nation | (paid) | appreciation/
Referenced debt * | (paid)** | amount | Value | date | by fund | (depreciation)
JPMorgan Securities LLC cont. |  |  |  |  |  |
CMBX NA BB.6 Index | $(34,768) | $76,000 | $29,686 | 5/11/63 | (500 bp) — | $(5,156)
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (194,127) | 1,534,000 | 514,810 | 1/17/47 | (500 bp) — | 319,192
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (8,513) | 201,000 | 80,078 | 9/17/58 | (500 bp) — | 71,370
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (9,802) | 170,000 | 67,728 | 9/17/58 | (500 bp) — | 57,761
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (13,587) | 96,000 | 38,246 | 9/17/58 | (500 bp) — | 24,566
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (2,795) | 62,000 | 24,701 | 9/17/58 | (500 bp) — | 21,846
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (7,626) | 54,000 | 21,514 | 9/17/58 | (500 bp) — | 13,835
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (6,945) | 44,000 | 17,530 | 9/17/58 | (500 bp) — | 10,542
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (3,432) | 22,000 | 8,765 | 9/17/58 | (500 bp) — | 5,311
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (460) | 3,000 | 1,195 | 9/17/58 | (500 bp) — | 732
|  |  |  |  | Monthly |
CMBX NA BBB–.6 Index | (11,805) | 48,000 | 10,622 | 5/11/63 | (300 bp) — | (1,211)
|  |  |  |  | Monthly |
CMBX NA BBB–.7 Index | (52,324) | 1,379,000 | 249,323 | 1/17/47 | (300 bp) — | 196,194
|  |  |  |  | Monthly |
CMBX NA BBB–.7 Index | (16,083) | 340,000 | 61,472 | 1/17/47 | (300 bp) — | 45,190
|  |  |  |  | Monthly |
CMBX NA BBB–.7 Index | (4,864) | 134,000 | 24,227 | 1/17/47 | (300 bp) — | 19,285
|  |  |  |  | Monthly |
Merrill Lynch International |  |  |  |  |  |
CMBX NA BB.10 Index | (15,875) | 279,000 | 128,675 | 11/17/59 | (500 bp) — | 112,529
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (14,206) | 265,000 | 127,253 | 11/18/54 | (500 bp) — | 112,790
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (53,644) | 1,377,000 | 548,597 | 9/17/58 | (500 bp) — | 493,614
|  |  |  |  | Monthly |
CMBX NA BBB–.7 Index | (32,451) | 396,000 | 71,597 | 1/17/47 | (300 bp) — | 38,915
|  |  |  |  | Monthly |
Morgan Stanley & Co. International PLC |  |  |  |  |
CMBX NA BBB–.7 Index | (17,831) | 175,000 | 31,640 | 1/17/47 | (300 bp) — | 13,707
|  |  |  |  | Monthly |
CMBX NA BB.10 Index | (14,683) | 140,000 | 64,568 | 11/17/59 | (500 bp) — | 49,749
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (3,049) | 32,000 | 15,366 | 11/18/54 | (500 bp) — | 12,286
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (10,868) | 152,000 | 74,723 | 8/17/61 | (500 bp) — | 63,708
|  |  |  |  | Monthly |

Master Intermediate Income Trust 93

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/20 (Unaudited) cont.
| Upfront |  |  |  |  |
| premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ | received | Notional |  | nation | (paid) | appreciation/
Referenced debt * | (paid)** | amount | Value | date | by fund | (depreciation)
Morgan Stanley & Co. International PLC cont. |  |  |  |  |
CMBX NA BB.12 Index | $(7,605) | $144,000 | $70,790 | 8/17/61 | (500 bp) — | $63,045
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (7,667) | 105,000 | 51,618 | 8/17/61 | (500 bp) — | 43,849
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (3,668) | 52,000 | 25,563 | 8/17/61 | (500 bp) — | 21,844
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (2,777) | 34,000 | 16,714 | 9/17/58 | (500 bp) — | 13,904
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (39,014) | 194,000 | 65,106 | 1/17/47 | (500 bp) — | 25,903
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (33,495) | 179,000 | 60,072 | 1/17/47 | (500 bp) — | 26,404
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (17,547) | 91,000 | 30,540 | 1/17/47 | (500 bp) — | 12,904
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (6,055) | 30,000 | 10,068 | 1/17/47 | (500 bp) — | 3,984
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (9,164) | 149,000 | 59,362 | 9/17/58 | (500 bp) — | 50,052
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (9,059) | 149,000 | 59,362 | 9/17/58 | (500 bp) — | 50,158
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (5,010) | 142,000 | 56,573 | 9/17/58 | (500 bp) — | 51,425
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (5,628) | 140,000 | 55,776 | 9/17/58 | (500 bp) — | 50,012
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (10,218) | 136,000 | 54,182 | 9/17/58 | (500 bp) — | 43,833
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (8,310) | 135,000 | 53,784 | 9/17/58 | (500 bp) — | 45,343
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (5,353) | 108,000 | 43,027 | 9/17/58 | (500 bp) — | 37,569
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (5,238) | 97,000 | 38,645 | 9/17/58 | (500 bp) — | 33,313
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (10,229) | 71,000 | 28,286 | 9/17/58 | (500 bp) — | 17,989
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (8,785) | 66,000 | 26,294 | 9/17/58 | (500 bp) — | 17,445
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (8,830) | 65,000 | 25,896 | 9/17/58 | (500 bp) — | 17,003
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (9,506) | 63,000 | 25,099 | 9/17/58 | (500 bp) — | 15,532
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (8,614) | 63,000 | 25,099 | 9/17/58 | (500 bp) — | 16,424
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (2,385) | 61,000 | 24,302 | 9/17/58 | (500 bp) — | 21,858
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (4,572) | 52,000 | 20,717 | 9/17/58 | (500 bp) — | 16,094
|  |  |  |  | Monthly |

94 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/20 (Unaudited) cont.
| Upfront |  |  |  |  |
| premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ | received | Notional |  | nation | (paid) | appreciation/
Referenced debt * | (paid)** | amount | Value | date | by fund | (depreciation)
Morgan Stanley & Co. International PLC cont. |  |  |  |  |
CMBX NA BB.9 Index | $(4,105) | $48,000 | $19,123 | 9/17/58 | (500 bp) — | $14,975
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (5,715) | 38,000 | 15,139 | 9/17/58 | (500 bp) — | 9,387
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (4,541) | 30,000 | 11,952 | 9/17/58 | (500 bp) — | 7,382
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (4,541) | 30,000 | 11,952 | 9/17/58 | (500 bp) — | 7,382
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (3,579) | 23,000 | 9,163 | 9/17/58 | (500 bp) — | 5,561
|  |  |  |  | Monthly |
CMBX NA BBB–.7 Index | (14,538) | 229,000 | 41,403 | 1/17/47 | (300 bp) — | 26,730
|  |  |  |  | Monthly |
Upfront premium received | 34 | Unrealized appreciation |  | 5,268,594
Upfront premium (paid) | (1,740,313) | Unrealized (depreciation) |  | (6,367)
Total | $(1,740,279) | Total |  |  |  | $5,262,227

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

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

Master Intermediate Income Trust 95

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 * : |  |  |
Capital goods | $471 | $— | $—
Consumer cyclicals | 57,384 | 22,036 | —
Energy | — | 174 | —
Health care | 3,792 | — | —
Utilities and power | — | 10,802 | —
Total common stocks | 61,647 | 33,012 | —
Asset-backed securities | — | 5,161,746 | —
Convertible bonds and notes | — | 7,422,203 | —
Convertible preferred stocks | — | — | —
Corporate bonds and notes | — | 53,156,603 | 135
Foreign government and agency bonds and notes |  | 20,913,321 |
Mortgage-backed securities | — | 88,258,872 | —
Purchased options outstanding | — | 3,306,846 | —
Purchased swap options outstanding | — | 11,109,684 | —
Senior loans | — | 6,385,658 | —
U.S. government and agency mortgage obligations | — | 218,867,570 | —
U.S. treasury obligations | — | 2,296,011 | —
Warrants | — | — | 6,844
Short-term investments | 12,390,980 | 22,107,313 | —
Totals by level | $12,452,627 | $439,018,839 | $6,979
|  | Valuation inputs
Other financial instruments: | Level 1 | Level 2 | Level 3
Forward currency contracts | $— | $103,181 | $—
Futures contracts | (91,868) | — | —
Written options outstanding | — | (452,144) | —
Written swap options outstanding | — | (10,421,198) | —
Forward premium swap option contracts | — | 5,278,740 | —
TBA sale commitments | — | (126,175,543) | —
Interest rate swap contracts | — | (8,892,312) | —
Total return swap contracts | — | (1,500,815) | —
Credit default contracts | — | (8,836,261) | —
Totals by level | $(91,868) | $(150,896,352) | $—

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

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

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

96 Master Intermediate Income Trust

Statement of assets and liabilities 3/31/20 (Unaudited) |
ASSETS |
Investment in securities, at value (Notes 1 and 9): |
Unaffiliated issuers (identified cost $466,398,189) | $446,026,465
Affiliated issuers (identified cost $5,451,980) (Notes 1 and 5) | 5,451,980
Cash | 115,342
Foreign currency (cost $3,226) (Note 1) | 2,842
Dividends, interest and other receivables | 2,562,313
Receivable for investments sold | 359,450
Receivable for sales of TBA securities (Note 1) | 55,622,819
Receivable for variation margin on futures contracts (Note 1) | 2,470
Receivable for variation margin on centrally cleared swap contracts (Note 1) | 3,270,562
Unrealized appreciation on forward premium swap option contracts (Note 1) | 11,515,226
Unrealized appreciation on forward currency contracts (Note 1) | 3,192,276
Unrealized appreciation on OTC swap contracts (Note 1) | 5,625,700
Premium paid on OTC swap contracts (Note 1) | 1,740,344
Prepaid assets | 37,827
Total assets | 535,525,616
LIABILITIES |
Payable for investments purchased | 794,112
Payable for purchases of TBA securities (Note 1) | 145,591,961
Payable for compensation of Manager (Note 2) | 455,408
Payable for custodian fees (Note 2) | 126,612
Payable for investor servicing fees (Note 2) | 19,932
Payable for Trustee compensation and expenses (Note 2) | 119,627
Payable for administrative services (Note 2) | 408
Payable for variation margin on centrally cleared swap contracts (Note 1) | 3,436,144
Distributions payable to shareholders | 1,543,174
Unrealized depreciation on OTC swap contracts (Note 1) | 10,771,889
Premium received on OTC swap contracts (Note 1) | 5,676,530
Unrealized depreciation on forward currency contracts (Note 1) | 3,089,095
Unrealized depreciation on forward premium swap option contracts (Note 1) | 6,236,486
Written options outstanding, at value (premiums $7,869,187) (Note 1) | 10,873,342
TBA sale commitments, at value (proceeds receivable $123,333,594) (Note 1) | 126,175,543
Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9) | 9,250,793
Other accrued expenses | 174,289
Total liabilities | 324,335,345
Net assets | $211,190,271
REPRESENTED BY |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $334,988,814
Total distributable earnings (Note 1) | (123,798,543)
Total — Representing net assets applicable to capital shares outstanding | $211,190,271
COMPUTATION OF NET ASSET VALUE |
Net asset value per share |
($211,190,271 divided by 51,191,061 shares) | $4.13

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

Master Intermediate Income Trust 97

Statement of operations Six months ended 3/31/20 (Unaudited) |
INVESTMENT INCOME |
Interest (including interest income of $103,922 from investments in affiliated issuers) (Note 5) | $6,278,024
Total investment income | 6,278,024
EXPENSES |
Compensation of Manager (Note 2) | 929,268
Investor servicing fees (Note 2) | 61,826
Custodian fees (Note 2) | 63,755
Trustee compensation and expenses (Note 2) | 2,051
Administrative services (Note 2) | 3,911
Auditing and tax fees | 99,828
Other | 102,627
Total expenses | 1,263,266
Net expenses | 1,263,266
Net investment income | 5,014,758
REALIZED AND UNREALIZED GAIN (LOSS) |
Net realized gain (loss) on: |
Securities from unaffiliated issuers (Notes 1 and 3) | 2,369,444
Foreign currency transactions (Note 1) | (5,431)
Forward currency contracts (Note 1) | (683,861)
Futures contracts (Note 1) | 350,119
Swap contracts (Note 1) | 1,455,157
Written options (Note 1) | 947,053
Total net realized gain | 4,432,481
Change in net unrealized appreciation (depreciation) on: |
Securities from unaffiliated issuers and TBA sale commitments | (18,478,327)
Assets and liabilities in foreign currencies | 21,024
Forward currency contracts | 191,775
Futures contracts | 161,074
Swap contracts | (14,896,103)
Written options | (3,579,726)
Total change in net unrealized depreciation | (36,580,283)
Net loss on investments | (32,147,802)
Net decrease in net assets resulting from operations | $(27,133,044)

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

98 Master Intermediate Income Trust

Statement of changes in net assets |  |
DECREASE IN NET ASSETS | Six months ended 3/31/20* | Year ended 9/30/19
Operations |  |
Net investment income | $5,014,758 | $12,280,509
Net realized gain (loss) on investments |  |
and foreign currency transactions | 4,432,481 | (4,185,597)
Change in net unrealized appreciation (depreciation) |  |
of investments and assets and liabilities |  |
in foreign currencies | (36,580,283) | 3,257,250
Net increase (decrease) in net assets resulting |  |
from operations | (27,133,044) | 11,352,162
Distributions to shareholders (Note 1): |  |
From ordinary income |  |
Net investment income | (9,307,857) | (17,889,147)
Decrease from capital share transactions (Note 4) | (2,329,812) | (6,011,177)
Total decrease in net assets | (38,770,713) | (12,548,162)
NET ASSETS |  |
Beginning of period | 249,960,984 | 262,509,146
End of period | $211,190,271 | $249,960,984
NUMBER OF FUND SHARES |  |
Shares outstanding at beginning of period | 51,795,725 | 53,153,364
Shares repurchased (Note 5) | (604,664) | (1,357,639)
Shares outstanding at end of period | 51,191,061 | 51,795,725

* Unaudited.

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

Master Intermediate Income Trust 99

Financial highlights (For a common share outstanding throughout the period)
PER-SHARE OPERATING PERFORMANCE |  |  |  |  |  |
Six months ended** |  |  | Year ended |
| 3/31/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15
Net asset value, beginning of period | $4.83 | $4.94 | $5.03 | $4.86 | $5.03 | $5.65
Investment operations: |  |  |  |  |  |
Net investment income a | .10 | .24 | .26 | .26 | .28 | .25
Net realized and unrealized |  |  |  |  |  |
gain (loss) on investments | (.62) | (.02) | (.06) | .21 | (.15) | (.58)
Total from investment operations | (.52) | .22 | .20 | .47 | .13 | (.33)
Less distributions: |  |  |  |  |  |
From net investment income | (.18) | (.34) | (.29) | (.31) | (.31) | (.31)
Total distributions | (.18) | (.34) | (.29) | (.31) | (.31) | (.31)
Increase from shares repurchased | — e | .01 | — e | .01 | .01 | .02
Net asset value, end of period | $4.13 | $4.83 | $4.94 | $5.03 | $4.86 | $5.03
Market value, end of period | $4.08 | $4.59 | 4.52 | $4.73 | $4.42 | $4.51
Total return at market value (%) b | (11.14) * | 9.48 | 1.66 | 14.32 | 5.08 | (4.37)
RATIOS AND SUPPLEMENTAL DATA |  |  |  |  |  |
Net assets, end of period |  |  |  |  |  |
(in thousands) | $211,190 | $249,961 | $262,509 | $269,544 | $263,234 | $278,071
Ratio of expenses to average |  |  |  |  |  |
net assets (%) c | .51 * | 1.02 | 1.00 | .99 | 1.00 | .96
Ratio of net investment income |  |  |  |  |  |
to average net assets (%) | 2.03 * | 4.90 | 5.11 | 5.24 | 5.82 | 4.58
Portfolio turnover (%) d | 437 * | 899 | 715 | 976 | 823 | 724

* 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 Amount represents less than $0.01 per share

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

Master Intermediate Income Trust 100

Notes to financial statements 3/31/20 (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, 2019 through March 31, 2020.

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

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

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

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

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

Note 1: Significant accounting policies

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

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

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

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

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

Master Intermediate Income Trust 101

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

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

Securities purchased or sold on a 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

102 Master Intermediate Income Trust

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

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

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

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

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

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

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

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

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

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

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

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

Master Intermediate Income Trust 103

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

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

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

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

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

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

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

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

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

104 Master Intermediate Income Trust

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, for hedging market risk and for gaining exposure to specific sectors.

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

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

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

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

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

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

Master Intermediate Income Trust 105

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 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 $7,333,762 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $8,005,574 and may include amounts related to unsettled agreements.

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

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

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

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

Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either

106 Master Intermediate Income Trust

short-term or long-term capital losses. At September 30, 2019, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:

| Loss carryover |
Short-term | Long-term | Total
$39,282,240 | $33,781,015 | $73,063,255

Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $349,658,825, resulting in gross unrealized appreciation and depreciation of $56,280,690 and $105,449,290, respectively, or net unrealized depreciation of $49,168,600.

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

Note 2: Management fee, administrative services and other transactions

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

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

For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.376% 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.

Master Intermediate Income Trust 107

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

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

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

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were not reduced under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $172, 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) | $1,447,617,760 | $1,459,517,834
U.S. government securities (Long-term) | — | —
Total | $1,447,617,760 | $1,459,517,834

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

Note 4: Shares repurchased

In September 2019, 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 356 day period ending September 30, 2020 (based on shares outstanding as of October 9, 2019). 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 9, 2019 (based on shares outstanding as of October 9, 2018). 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 604,664 common shares for an aggregate purchase price of $2,329,812, which reflects a weighted-average discount from net asset value per share of 9.46%. The weighted-average discount reflects the payment of commissions by the fund to execute repurchase trades.

108 Master Intermediate Income Trust

For the previous fiscal year, the fund repurchased 1,357,639 common shares for an aggregate purchase price of $6,011,177, which reflected a weighted-average discount from net asset value per share of 8.30%. The weighted-average discount reflected the payment of commissions by the fund to execute repurchase trades.

At the close of the reporting period, Putnam Investments, LLC owned approximately 1,864 shares of the fund (0.004% of the fund’s shares outstanding), valued at $7,698 based on net asset value.

Note 5: Affiliated transactions

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

|  |  |  |  | Shares
|  |  |  |  | outstanding
|  |  |  |  | and fair
| Fair value as | Purchase | Sale | Investment | value as
Name of affiliate | of 9/30/19 | cost | proceeds | income | of 3/31/20
Short-term investments |  |  |  |  |
Putnam Short Term |  |  |  |  |
Investment Fund* | $11,984,818 | $52,630,840 | $59,163,678 | $103,922 | $5,451,980
Total Short-term |  |  |  |  |
investments | $11,984,818 | $52,630,840 | $59,163,678 | $103,922 | $5,451,980

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

Note 6: Market, credit and other risks

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

The fund may invest 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.

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

On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.

Master Intermediate Income Trust 109

Note 7: Senior loan commitments

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

Note 8: Summary of derivative activity

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

Purchased equity option contracts (contract amount) | $—*
Purchased TBA commitment option contracts (contract amount) | $144,000,000
Purchased currency option contracts (contract amount) | $30,500,000
Purchased swap option contracts (contract amount) | $621,100,000
Written equity option contracts (contract amount) | $—*
Written TBA commitment option contracts (contract amount) | $153,600,000
Written currency option contracts (contract amount) | $3,600,000
Written swap option contracts (contract amount) | $260,000,000
Futures contracts (number of contracts) | 400
Forward currency contracts (contract amount) | $156,800,000
Centrally cleared interest rate swap contracts (notional) | $1,271,400,000
OTC total return swap contracts (notional) | $19,300,000
Centrally cleared total return swap contracts (notional) | $101,900,000
OTC credit default contracts (notional) | $85,600,000
Centrally cleared credit default contracts (notional) | $1,400,000
Warrants (number of warrants) | 3,000

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

110 Master Intermediate Income Trust

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

Fair value of derivative instruments as of the close of the reporting period |
| ASSET DERIVATIVES | LIABILITY DERIVATIVES
Derivatives not |  |  |  |
accounted for as | Statement of |  | Statement of |
hedging instruments | assets and |  | assets and |
under ASC 815 | liabilities location | Fair value | liabilities location | Fair value
| Receivables, Net |  |  |
| assets — Unrealized |  | Payables, Net assets — |
Credit contracts | appreciation | $7,002,506 | Unrealized depreciation | $15,838,767
Foreign exchange |  |  |  |
contracts | Investments, Receivables | 3,541,388 | Payables | 3,293,020
Equity contracts | Investments | 6,844 | Payables | —
| Investments, |  |  |
| Receivables, Net |  |  |
| assets — Unrealized |  | Payables, Net assets — |
Interest rate contracts | appreciation | 55,607,889 * | Unrealized depreciation | 57,416,143*
Total |  | $66,158,627 |  | $76,547,930

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

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

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments |
Derivatives not accounted |  |  | Forward |  |
for as hedging instruments |  |  | currency |  |
under ASC 815 | Options | Futures | contracts | Swaps | Total
Credit contracts | $— | $— | $— | $2,528,922 | $2,528,922
Foreign exchange contracts | (102,207) | — | (683,861) | — | (786,068)
Interest rate contracts | 5,400,428 | 350,119 | — | (1,073,765) | 4,676,782
Total | $5,298,221 | $350,119 | $(683,861) | $1,455,157 | $6,419,636
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss)
on investments |  |  |  |  |
Derivatives not accounted |  |  | Forward |  |
for as hedging instruments |  |  | currency |  |
under ASC 815 | Options | Futures | contracts | Swaps | Total
Credit contracts | $— | $— | $— | $(6,458,127) | $(6,458,127)
Foreign exchange contracts | (120,091) | — | 191,775 | — | 71,684
Interest rate contracts | 5,671,948 | 161,074 | — | (8,437,976) | (2,604,954)
Total | $5,551,857 | $161,074 | $191,775 | $(14,896,103) | $(8,991,397)

Master Intermediate Income Trust 111

Note 9: Offsetting of financial and derivative assets and liabilities

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

| Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche BankAG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto- Dominion Bank | UBS AG | Wells Fargo Bank, N.A. | WestPac Banking Corp. | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
interest rate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap contracts§ | $— | $— | $3,270,562 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $3,270,562
OTC Total return |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap contracts*# | — | 62,334 | — | — | — | — | 37,606 | — | 93,247 | — | 14,795 | 149,124 | — | — | — | — | — | — | — | — | 357,106
OTC Credit default |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
protection |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
purchased*# | — | — | — | — | — | 1,817,123 | 1,050,800 | — | 445,584 | — | — | 1,596,042 | 874,024 | 1,218,933 | — | — | — | — | — | — | 7,002,506
Futures contracts§ | — | — | — | — | — | — | — | — | — | — | — | 2,470 | — | — | — | — | — | — | — | — | 2,470
Forward currency |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts # | 310,268 | 190,680 | — | — | 288,104 | — | 63,103 | — | 419,039 | 213,313 | 342,926 | — | — | — | 61,507 | 807,210 | 132,728 | 328,056 | — | 35,342 | 3,192,276
Forward premium |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap option |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts # | 1,543,215 | 155,360 | — | — | 1,572,307 | — | — | — | 1,602,422 | — | 4,498,348 | — | — | 1,560,838 | — | — | — | 582,736 | — | — | 11,515,226
Purchased swap |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
options **# | 181 | — | — | — | 1,203,081 | — | — | — | 710,624 | — | 2,274,260 | — | — | 6,053,987 | — | — | 85,345 | 782,206 | — | — | 11,109,684
Purchased |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
options **# | 120,677 | 4 | — | — | 105,527 | — | — | — | 122,738 | — | 2,957,734 | — | — | — | — | — | — | 166 | — | — | 3,306,846
Total Assets | $1,974,341 | $408,378 | $3,270,562 | $— | $3,169,019 | $1,817,123 | $1,151,509 | $— | $3,393,654 | $213,313 | $10,088,063 | $1,747,636 | $874,024 | $8,833,758 | $61,507 | $807,210 | $218,073 | $1,693,164 | $— | $35,342 | $39,756,676
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
interest rate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap contracts§ | — | — | 3,436,144 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 3,436,144
OTC Total return |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap contracts*# | — | 115,896 | — | — | 8,333 | — | 118,166 | 3,183 | 240,278 | — | 96,572 | 20,792 | — | — | — | — | — | — | — | — | 603,220
OTC Credit default |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
protection sold *# | 171,718 | — | — | — | — | 2,271,238 | 3,617,768 | — | 2,797,723 | — | — | 4,186,410 | 567,375 | 2,226,535 | — | — | — | — | — | — | 15,838,767
Futures contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | —
Forward currency |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts # | 506,962 | 149,326 | — | — | 168,999 | — | 128,936 | — | 586,287 | 142,057 | 581,308 | — | — | — | 170,910 | 323,115 | 32,428 | 247,133 | — | 51,634 | 3,089,095
Forward premium |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap option |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts # | 582,669 | 58,941 | — | — | 545,094 | — | — | — | 584,394 | — | 2,725,015 | — | — | 1,158,337 | — | — | — | 582,036 | — | — | 6,236,486
Written swap |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
options # | 13 | — | — | — | 1,393,045 | — | — | — | 428,757 | — | 1,980,249 | — | — | 5,335,208 | — | — | 169,922 | 1,114,004 | — | — | 10,421,198
Written options # | 66,675 | — | — | — | 55,672 | — | — | — | 81,578 | — | 248,219 | — | — | — | — | — | — | — | — | — | 452,144
Total Liabilities | $1,328,037 | $324,163 | $3,436,144 | $— | $2,171,143 | $2,271,238 | $3,864,870 | $3,183 | $4,719,017 | $142,057 | $5,631,363 | $4,207,202 | $567,375 | $8,720,080 | $170,910 | $323,115 | $202,350 | $1,943,173 | $— | $51,634 | $40,077,054

112 Master Intermediate Income Trust | Master Intermediate Income Trust 113

| Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche BankAG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto- Dominion Bank | UBS AG | Wells Fargo Bank, N.A. | WestPac Banking Corp. | Total
Total Financial |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
and Derivative |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net Assets | $646,304 | $84,215 | $(165,582) | $— | $997,876 | $(454,115) | $(2,713,361) | $(3,183) | $(1,325,363) | $71,256 | $4,456,700 | $(2,459,566) | $306,649 | $113,678 | $(109,403) | $484,095 | $15,723 | $(250,009) | $— | $(16,292) | $(320,378)
Total collateral |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
received |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(pledged)†## | $646,304 | $84,215 | $— | $— | $956,000 | $(454,115) | $(2,713,361) | $— | $(1,325,363) | $71,256 | $4,456,700 | $(2,459,566) | $306,649 | $(103,969) | $(109,403) | $484,095 | $10,000 | $(250,009) | $— | $— |
Net amount | $— | $— | $(165,582) | $— | $41,876 | $— | $— | $(3,183) | $— | $— | $— | $— | $— | $217,647 | $— | $— | $5,723 | $— | $— | $(16,292) |
Controlled collateral |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
received (including |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
TBA commitments)** | $810,504 | $121,851 | $— | $430,000 | $956,000 | $— | $— | $— | $— | $158,626 | $5,543,000 | $— | $349,008 | $— | $— | $620,758 | $10,000 | $— | $251,046 | $— | $9,250,793
Uncontrolled |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
collateral received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $—
Collateral (pledged) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(including TBA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
commitments)** | $— | $— | $— | $— | $— | $(477,959) | $(2,844,405) | $— | $(1,432,626) | $— | $— | $(4,606,096) | $— | $(103,969) | $(120,976) | $— | $— | $(303,961) | $— | $— | $(9,889,992)

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

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

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

# Covered by master netting agreement (Note 1).

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

§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $84,998 and $5,452,593, respectively.

Note 10: Change in independent accountants

On March 20, 2020, the Audit, Compliance and Distributions Committee of the Trustees of the Putnam Funds approved and recommended the decision to change the Fund’s independent accountant and to not retain KPMG LLP, and on April 3, 2020, upon request of the Putnam Funds, KPMG LLP provided a letter of resignation. During the two previous fiscal years, KPMG LLP audit reports contained no adverse opinion or disclaimer of opinion; nor were its reports qualified or modified as to uncertainty, audit scope, or accounting principle. Further, in connection with its audits for the two previous fiscal years and the subsequent interim period through April 3, 2020: (i) there were no disagreements with KPMG LLP on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements if not resolved to the satisfaction of KPMG LLP would have caused it to make reference to the subject matter of the disagreements in its report on the Fund’s financial statements for such years, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended.

On April 17, 2020, the Audit, Compliance and Distributions Committee of the Trustees of the Putnam Funds approved and recommended the decision to appoint PricewaterhouseCoopers LLP as the Fund’s independent accountant.

Note 11: New accounting pronouncements

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities held at a premium, to be amortized to the earliest call date. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. The adoption of these amendments is not material to the financial statements.

114 Master Intermediate Income Trust | Master Intermediate Income Trust 115

Shareholder meeting results (Unaudited)

April 24, 2020 annual meeting

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

Votes for | Votes against | Abstentions
42,965,525 | 588,952 | 528,526

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

| Votes for | Votes withheld
Liaquat Ahamed | 42,909,321 | 1,169,767
Ravi Akhoury | 41,745,109 | 2,336,163
Barbara M. Baumann | 41,855,946 | 2,229,134
Katinka Domotorffy | 41,835,848 | 2,244,750
Catharine Bond Hill | 42,940,865 | 1,145,311
Paul L. Joskow | 42,882,986 | 1,194,020
Kenneth R. Leibler | 42,970,984 | 1,110,908
Robert L. Reynolds | 42,969,835 | 1,112,281
George Putnam, III | 42,994,718 | 1,090,615
Manoj Singh | 41,650,797 | 2,431,113
Mona K. Sutphen | 42,830,680 | 1,250,762

All tabulations are rounded to the nearest whole number.

116 Master Intermediate Income Trust

Fund information

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

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

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) During the period, Albert Chan was added as a Portfolio Manager 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.

| D. William Kohli | 2002 | Putnam Management 1994-Present | Chief Investment Officer, Fixed Income, Previously, Co-Head Fixed Income
| Michael Atkin | 2007 | Putnam Management 1997-Present | Portfolio Manager
| Albert Chan | 2020 | Putnam Management 2002-Present | Portfolio Manager, Previously, Analyst
| Robert Davis | 2017 | Putnam Management 1999-Present | Portfolio Manager Previously, Analyst
| Brett Kozlowski | 2017 | Putnam Management 2008-Present | Portfolio Manager
| Michael Salm | 2011 | Putnam Management 1997-Present | Co-Head of Fixed Income

| (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 the fund's Portfolio Managers managed as of the fund's most recent fiscal year-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
| D. William Kohli | 14* | $6,919,200,000 | 17 | $3,992,400,000 | 17** | $12,076,000,000
| Michael Salm | 31*** | $26,674,500,000 | 35 | $11,191,700,000 | 28** | $4,601,000,000
| Michael Atkin | 5 | $4,002,900,000 | 5 | $2,499,600,000 | 8** | $1,246,000,000
| Paul Scanlon | 21*** | $9,048,300,000 | 26 | $9,053,600,000 | 26 | $11,780,000,000
| Brett Kozlowski | 22**** | $11,591,000,000 | 22 | $6,706,300,000 | 16 | $3,014,100,000
| Rob Davis | 12+ | $4,251,500,000 | 10 | $2,486,200,000 | 14** | $969,000,000
| Albert Chan | 14* | $7,140,900,000 | 14 | $2,422,400,000 | 6 | $704,500,000

* | 3 accounts, with total assets of $2,104,700,000 pay an advisory fee based on account performance.

** | 1 account, with total assets of $505,400,000 pay an advisory fee based on account performance.

*** | 2 accounts, with total assets of $750,800,000 pay an advisory fee based on account performance.

**** | 2 accounts, with total assets of $1,595,800,000 pay an advisory fee based on account performance.

+ | 1 account, with total assets of $241,800,000 pay an advisory fee based on account performance

| Potential conflicts of interest in managing multiple accounts. Like other investment professionals with multiple clients, the fund's Portfolio Managers may face certain potential conflicts of interest in connection with managing both the fund and the other accounts listed under “Other Accounts Managed by the Fund's Portfolio Managers” at the same time. The paragraphs below describe some of these potential conflicts, which Putnam Management believes are faced by investment professionals at most major financial firms. As described below, Putnam Management and the Trustees of the Putnam funds have adopted compliance policies and procedures that attempt to address certain of these potential conflicts.

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

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

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

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

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

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

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

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

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

|  | • | Front running is strictly prohibited.

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

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

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

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

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

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

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

| (a)(3) Compensation of portfolio managers. Portfolio managers are evaluated and compensated across the group of specified products they manage, in part, based on their performance relative to peers or performance ahead of the applicable benchmark, depending on the product, based on a blend of 3-year and 4-year performance. In addition, evaluations take into account individual contributions and a subjective component.

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

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

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

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

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

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

* | : Assets in the fund

** | : Period endMarch 31, 2020

|  | 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
| William Kohli | 2020** | * |  |  |
|  | 2019 | * |  |  |  |  |  |
| Michael Atkin | 2020** | *
|  | 2019 | *
| Robert Davis | 2020** | * |  |  |
|  | 2019 | * |  |  |
| Brett Kozlowski | 2020** | *
|  | 2019 | *
| Michael Salm | 2020** | * |  |  |  |  |
|  | 2019 | * |  |  |  |  |
| Paul Scanlon | 2020** | *
|  | 2019 | *
| Albert Chan | 2020** | *
|  | 2019 | *

| 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 9, 2019 | — | — | — | 3,957,697
| October 10 — October 31, 2019 | — | — | — | 5,179,573
| November 1 — November 30, 2019 | — | — | — | 5,179,573
| December 1 — December 31, 2019 | — | — | — | 5,179,573
| January 1 — January 31, 2020 | — | — | — | 5,179,573
| February 1 — February 28, 2020 | — | — | — | 5,179,573
| March 1 — March 31, 2020 | 604,664 | $3.85 | 604,664 | 4,574,909

* | 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 2018, which was in effect between October 10, 2018 and October 9, 2019, allowed the fund to repurchase up to 5,315,336 of its shares. The program renewed by the Board in September 2019, which is in effect between October 10, 2019 and September 30, 2020, allows the fund to repurchase up to 5,179,573 of its shares.

** | Information prior to October 10, 2019 is based on the total number of shares eligible for repurchase under the program, as amended through September 2018. Information from October 10, 2019 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2019. |  |  |

| 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 180 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.

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

| Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies:

| Not Applicable

| Item 13. Exhibits:

| (a)(1) Not applicable

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

| (a)(4) Change in registrant's independent public accountant.

| (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 27, 2020

| 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 27, 2020

| By (Signature and Title):

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

| Date: May 27, 2020