N-CSRS 1 a_masterintermedinc.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, 2021

| Date of reporting period: | October 1, 2020 — March 31, 2021

| 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 | 21

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 | 120 |  |

Message from the Trustees

May 14, 2021

Dear Fellow Shareholder:

As society continues to grapple with the Covid-19 pandemic, optimism remains tempered by concern about newer, more aggressive strains of the virus. After infection rates dropped early in the year, they began to rise again in some areas during March. At the same time, the pace of vaccinations accelerated, and several states eased restrictions on consumer activity.

Markets appear to expect an improving economy. The S&P 500 Index crossed the 4,000 threshold as the calendar turned to April. In addition, yields rose in the bond market. This is typically a sign that fixed-income investors anticipate both higher gross domestic product (GDP) growth and the risk of inflation.

No matter how markets move, Putnam’s portfolio managers and analysts keep their focus on researching new opportunities and potential risks. This active approach is intended to serve you through changing conditions.

As always, 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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Fund allocations are shown as a percentage of the fund’s net assets as of 3/31/21. 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. For more information on current fund holdings, see pages 20–99.

Master Intermediate Income Trust 3

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.

† Source: Lipper, a Refinitiv company.

‡ 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 3/31/21. See above and pages 11–12 for additional fund performance information. Index descriptions can be found on pages 14–15.

* Source: Bloomberg Index Services Limited.

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

As 2020 came to a close, news of multiple Covid-19 vaccines fueled hopes of returning to more normalcy in the economy, markets, and society. In the early months of the new year, widespread vaccine distribution bolstered investor optimism about the strength of the economic recovery in 2021. A $1.9 trillion aid package signed into law by President Biden in early March provided a further boost to market sentiment.

Against this backdrop, rising prices for stocks and commodities helped lift the overall market environment. Credit performed well with yield spreads tightening across the quality spectrum. [Spreads are the yield advantage credit-sensitive bonds offer over comparable-maturity U.S. Treasuries. Bond prices rise as spreads tighten and fall as spreads widen.] However, concerns about the potential inflationary impact of additional stimulus on top of an already-recovering economy led to an exodus from government bonds. This drove longer-term interest rates higher and placed a degree of pressure on the credit market. After

Master Intermediate Income Trust 5

Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/21. 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.

beginning the period at 0.68%, the yield on the benchmark 10-year U.S. Treasury note reached 1.74% by March 31. Similarly, the 30-year Treasury rose from 1.45% to 2.41%.

Within this environment, ascending bond yields weighed on investment-grade [IG] debt despite spread tightening. Convertible bonds and high-yield credit, meanwhile, posted strong gains, aided by better-than-expected corporate earnings and higher oil prices.

Which holdings and strategies drove the fund’s performance?

Reflecting strong investor demand for risk, our corporate credit holdings provided a major boost to results during most of the period. Convertible bonds led the way, as this equity-sensitive sector was particularly strong at the end of 2020. High-yield bonds also added considerable value. Positions in investment-grade credit helped, albeit more modestly.

Our mortgage-credit holdings provided a further meaningful boost. The commercial mortgage sector continued to heal following the dramatic downturn that occurred during the first quarter of 2020. Investor concerns that the Covid-19 pandemic might permanently impair cash flows in certain segments of the commercial mortgage-backed securities [CMBS] market waned as U.S. vaccine distribution increased.

Agency credit-risk transfer securities [CRTs] also performed well. CRTs benefited from stabilization in the residential mortgage market amid falling delinquencies and fewer people participating in the government’s mortgage forbearance program. Strength in the housing market fueled by robust demand and limited supply provided a further tailwind for the sector.

Investments in emerging-market [EM] debt also contributed, primarily during the first half of the period. At the end of 2020, investor optimism about the prospects for a global recovery as vaccine distribution began fueled a

6 Master Intermediate Income Trust

rally in EM bonds. Positions in the Ivory Coast, the Dominican Republic, Senegal, Mexico, and Egypt added the most value.

What about detractors?

The fund’s interest-rate and yield-curve positioning was the only material detractor. Duration has been a very good risk diversifier over time, and normally benefits during risk-off periods when interest rates decline. During the six-month period, however, our positioning suffered amid rising interest rates.

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 holdings of collateralized mortgage obligations [CMOs], 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 economy reopens amid widespread distribution of Covid-19 vaccines, we believe gross domestic product growth will be robust, particularly in the second and third quarters of 2021. We’re also anticipating a strong recovery in corporate earnings growth. Since, in our

Top holdings

| % of fund’s | Coupon | Maturity
| net assets | (%) | date
Government Sector |  |  |
Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS | 1.26% | 6.25% | 2024
Ghana (Republic of) sr. unsec. bonds Ser. REGS | 0.76% | 8.125% | 2032
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS | 0.71% | 5.25% | 2030
Securitized Sector |  |  |
Federal National Mortgage Association REMICs Ser. 20-75, | 0.86% | 4.00% | 2050
Class MI, IO |  |  |
Countrywide Alternative Loan Trust FRB Ser. 06-OA10, Class 4A1, | 0.81% | 0.489% | 2046
(1 Month US LIBOR + 0.38%) |  |  |
Federal Home Loan Mortgage Corporation REMICs IFB Ser. 5011, | 0.65% | 6.25% | 2050
Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%) |  |  |
Credit Sector |  |  |
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB | 0.60% | 5.95% | 2031
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds | 0.49% | 5.375% | 2029
Pertamina Persero PT 144A sr. unsec. unsub. notes | 0.42% | 5.875% | 2022

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 3/31/21. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.

Master Intermediate Income Trust 7

view, growth expectations are already reflected in current market prices, we are cautiously watching for economic data surprises in the coming months.

In light of expectations for sturdier growth, we believe U.S. Treasury yields could rise further this year. That said, we think the trend toward higher rates will be gradual, as bond investors adjust their growth and inflation outlooks, leading to periods of market volatility.

In addition to interest rates and Covid-19 vaccine progress, we are also monitoring inflation metrics. Given base effects from the prior year and an expected demand surge as the economy fully reopens, we believe any uptick in inflation will be temporary.

We believe today’s monetary and fiscal policies are more closely aligned for economic stimulus than they’ve been in the past 20 years. As a result, we will be alert to signs that we think may cause the U.S. Federal Reserve to shift from its dovish posture sooner than currently expected.

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

Looking first at high-yield bonds, we have a constructive intermediate-term view of corporate fundamentals and the market’s supply-and-demand backdrop, although we expect the ongoing global health crisis to have an effect. Also, even though bond spreads retightened following their sizable widening in March 2020, and compressed further on favorable vaccine news, we think valuations remain relatively attractive.

In IG credit, we believe that a significant amount of anticipated good news has been priced in by the market. As of period end, IG corporate spreads had tightened considerably, making valuations in this sector less attractive. Consequently, security selection and sector rotation will be of utmost importance

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

as we navigate this market. That said, we think U.S. IG credit is still more attractive to foreign investors compared with bonds from Europe or the United Kingdom, after adjusting for foreign-exchange hedging costs.

Within the CMBS market, while there continues to be a degree of negative sentiment toward certain property types, we continue to have conviction in the fund’s CMBX exposure. [CMBX is a group of tradeable indexes that each reference a basket of 25 CMBS issued in a particular year.] We believe current valuations fairly compensate investors for existing risk levels and provide an attractive risk premium.

While some parts of the CMBS market will likely continue to struggle, there are CMBS backed by what we consider to be strong underlying collateral that have suffered amid widespread fear of the sector. We think many of these bonds represent attractive investment opportunities.

Within residential mortgage credit, against the backdrop of robust home sales and a rebound in mortgage originations, we continue to find value across numerous market segments.

In prepayment-sensitive areas of the market, we continue to find value in agency interest-only [IO] CMOs, as well as inverse IOs backed by jumbo loans and more seasoned collateral. Overall, we view prepayment-related opportunities as attractive sources of diversification for the fund.

In non-U.S. sovereign debt in both developed and emerging markets, we think the economic recovery will be strongest in countries with large service sectors and effective vaccine distribution. We also prefer countries that can

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

contain government expenditures despite political pressures to raise them.

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.

Of special interest

Due to a reduced level of portfolio income, the fund decreased its targeted distribution rate in December 2020. The fund currently expects to make monthly distributions of $0.022 per share, down from $0.030 per share. The fund’s targeted distribution rate may change from time to time or be discontinued, depending on market conditions and other factors.

HOW CLOSED-END FUNDS DIFFER FROM OPEN-END FUNDS

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

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

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

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

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

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Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2021, 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 3/31/21

| 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 | 5.99% | 41.59% | 3.54% | 32.60% | 5.81% | 9.72% | 3.14% | 16.69% | 7.47%
Market price | 6.15 | 43.73 | 3.69 | 39.95 | 6.95 | 14.66 | 4.67 | 14.41 | 8.85

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 3/31/21

| 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 | — | 6.79% | 0.66% | 6.20% | 1.21% | 4.72% | 1.55% | 0.12% | 0.06%
Bill Index* |  |  |  |  |  |  |  |  |
Bloomberg |  |  |  |  |  |  |  |  |
Barclays |  |  |  |  |  |  |  |  |
Government/ | 6.13% | 43.83 | 3.70 | 17.98 | 3.36 | 15.74 | 4.99 | 0.86 | –3.50
Credit Bond Index |  |  |  |  |  |  |  |  |
FTSE Non-U.S. |  |  |  |  |  |  |  |  |
World Government | 5.03 | 11.68 | 1.11 | 10.36 | 1.99 | 2.65 | 0.88 | 5.65 | –1.91
Bond Index |  |  |  |  |  |  |  |  |
JPMorgan Global |  |  |  |  |  |  |  |  |
High Yield Index† | — | 88.52 | 6.55 | 48.04 | 8.16 | 20.23 | 6.33 | 25.46 | 7.92
Lipper Closed-end |  |  |  |  |  |  |  |  |
General Bond |  |  |  |  |  |  |  |  |
Funds category | 7.02 | 119.53 | 7.85 | 54.45 | 8.95 | 20.20 | 6.30 | 28.39 | 9.75
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.

Source: Bloomberg Index Services Limited.

* 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 3/31/21 , there were 63, 56, 36, 27, 17, and 4 funds, respectively, in this Lipper category.

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Fund price and distribution information For the six-month period ended 3/31/21

Distributions |  |
Number | 6
Income | $0.148
Capital gains | —
Total | $0.148
Share value | NAV | Market price
9/30/20 | $4.30 | $4.11
3/31/21 | 4.47 | 4.32
Current rate (end of period) | NAV | Market price
Current dividend rate* | 5.91% | 6.11%

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. The fund’s investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund’s concentration in an industry group comprising privately issued residential and commercial mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund’s net asset value more susceptible to economic, market, political, and other developments affecting the housing or real estate markets and the servicing of mortgage loans secured by real estate properties. The fund currently has significant investment exposure to commercial mortgage-backed securities, which, during periods of difficult economic conditions, may experience an increase in delinquencies and losses as a result of the effects of those conditions on commercial real estate markets, the ability of commercial tenants to make loan payments, and the ability of a property to attract and retain commercial tenants. International investing involves currency, economic, and political risks. 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. Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund.

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Terms and definitions

Important terms

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

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

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

Fixed-income terms

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

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

• Agency credit-risk transfer 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.

BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or limited, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

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

Master Intermediate Income Trust 15

Other information for shareholders

Important notice regarding share repurchase program

In September 2020, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal allows your fund to repurchase, in the 365 days beginning October 1, 2020, up to 10% of the fund’s common shares outstanding as of September 30, 2020.

Important notice regarding delivery of shareholder documents

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

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2020, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

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

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

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of March 31, 2021, Putnam employees had approximately $559,000,000 and the Trustees had approximately $79,000,000 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 3/31/21 (Unaudited)

U.S. GOVERNMENT AND AGENCY | Principal |
MORTGAGE OBLIGATIONS (74.9%)* | amount | Value
U.S. Government Guaranteed Mortgage Obligations (2.5%) |  |
Government National Mortgage Association Pass-Through Certificates |  |
5.50%, 5/20/49 | $68,566 | $78,699
5.00%, with due dates from 5/20/49 to 3/20/50 | 231,328 | 260,067
4.00%, TBA, 4/1/51 | 4,000,000 | 4,270,004
3.50%, with due dates from 9/20/49 to 3/20/50 | 1,069,139 | 1,156,529
|  | 5,765,299
U.S. Government Agency Mortgage Obligations (72.4%) |  |
Federal National Mortgage Association Pass-Through Certificates |  |
5.00%, with due dates from 1/1/49 to 8/1/49 | 102,898 | 115,057
4.50%, 5/1/49 | 27,385 | 30,138
Uniform Mortgage-Backed Securities |  |
5.50%, TBA, 4/1/51 | 3,000,000 | 3,353,441
4.50%, TBA, 4/1/51 | 4,000,000 | 4,355,312
4.00%, TBA, 5/1/51 | 14,000,000 | 15,040,157
4.00%, TBA, 4/1/51 | 29,000,000 | 31,120,625
3.50%, TBA, 5/1/51 | 20,000,000 | 21,145,312
3.50%, TBA, 4/1/51 | 24,000,000 | 25,348,126
3.00%, TBA, 5/1/51 | 8,000,000 | 8,332,187
3.00%, TBA, 4/1/51 | 22,000,000 | 22,909,218
2.50%, TBA, 5/1/51 | 10,000,000 | 10,232,422
2.50%, TBA, 4/1/51 | 18,000,000 | 18,457,031
2.00%, TBA, 5/1/51 | 1,000,000 | 995,234
2.00%, TBA, 4/1/51 | 4,000,000 | 3,987,812
|  | 165,422,072
Total U.S. government and agency mortgage obligations (cost $171,631,751) | $171,187,371
| Principal |
U.S. TREASURY OBLIGATIONS (0.7%)* | amount | Value
U.S. Treasury Bonds |  |
3.00%, 2/15/49 i | $734,000 | $828,466
2.25%, 8/15/46 i | 173,000 | 168,592
U.S. Treasury Inflation Index Notes 0.125%, 1/15/22 i | 58,926 | 60,325
U.S. Treasury Notes |  |
1.875%, 6/30/26 i | 108,000 | 113,376
0.375%, 12/31/25 i | 323,000 | 315,720
0.125%, 8/31/22 i | 152,000 | 152,015
Total U.S. treasury obligations (cost $1,638,494) |  | $1,638,494
| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* | amount | Value
Agency collateralized mortgage obligations (22.5%) |  |
Federal Home Loan Mortgage Corporation |  |
REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) |  |
+ 25.79%), 25.367%, 4/15/37 | $25,359 | $46,913
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) |  |
+ 23.80%), 23.408%, 11/15/35 | 44,230 | 78,730
REMICs IFB Ser. 3249, Class PS, ((-3.3 x 1 Month US LIBOR) |  |
+ 22.28%), 21.925%, 12/15/36 | 25,191 | 41,061

20 Master Intermediate Income Trust

| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* cont. | amount | Value
Agency collateralized mortgage obligations cont. |  |
Federal Home Loan Mortgage Corporation |  |
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.65%), 6.544%, 4/15/40 | $1,002,976 | $104,871
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.25%), 6.141%, 9/25/50 | 6,669,955 | 1,489,268
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.20%), 6.094%, 12/15/47 | 1,527,308 | 183,277
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.10%), 5.994%, 8/15/56 | 3,362,042 | 787,995
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.10%), 5.994%, 4/15/47 | 763,415 | 151,222
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.05%), 5.941%, 1/25/50 | 5,329,052 | 933,979
REMICs Ser. 4813, IO, 5.50%, 8/15/48 | 1,718,421 | 367,631
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 | 1,113,507 | 167,026
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 | 4,878,415 | 922,247
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 | 562,497 | 72,369
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 | 287,988 | 33,399
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 | 946,195 | 131,801
REMICs Ser. 4425, IO, 4.00%, 1/15/45 | 1,297,608 | 188,919
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 | 1,144,797 | 178,813
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 734,393 | 97,478
REMICs Ser. 4062, Class DI, IO, 4.00%, 9/15/39 | 288,332 | 2,400
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 | 2,044,376 | 225,045
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 | 1,119,651 | 68,132
REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 | 631,062 | 18,745
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 | 453,352 | 34,859
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 | 416,550 | 25,718
REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51 | 7,369,324 | 994,859
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50 | 10,001,097 | 1,431,741
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 | 1,893,238 | 178,218
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 | 806,851 | 51,235
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 | 282,710 | 8,156
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, |  |
0.379%, 7/25/43 W | 1,031,813 | 10,318
REMICs Ser. 3326, Class WF, zero %, 10/15/35 | 994 | 876
Federal National Mortgage Association |  |
REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) |  |
+ 39.90%), 39.248%, 7/25/36 | 35,974 | 69,069
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) |  |
+ 24.20%), 23.802%, 6/25/37 | 32,192 | 56,659
REMICs IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) |  |
+ 23.28%), 22.885%, 2/25/38 | 24,486 | 32,507
REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) |  |
+ 20.25%), 19.924%, 8/25/35 | 21,742 | 29,518
REMICs IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) |  |
+ 17.39%), 17.112%, 11/25/34 | 25,342 | 30,411
REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.45%), 6.341%, 4/25/42 | 529,875 | 80,640

Master Intermediate Income Trust 21

| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* 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%), 6.291%, 4/25/40 | $483,715 | $99,491
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.25%), 6.141%, 3/25/48 | 2,633,042 | 478,424
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.20%), 6.091%, 6/25/48 | 5,772,704 | 906,840
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.15%), 6.041%, 5/25/47 | 5,717,295 | 1,053,926
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.15%), 6.041%, 10/25/41 | 185,195 | 10,136
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 1,622,161 | 348,199
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 | 1,309,881 | 259,008
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.10%), 5.991%, 12/25/46 | 2,092,065 | 388,080
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.10%), 5.991%, 5/25/39 | 6,518,936 | 1,083,714
REMICs FRB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.05%), 5.941%, 3/25/50 | 3,882,340 | 774,177
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.05%), 5.941%, 8/25/49 | 2,996,757 | 492,567
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x 1 Month US LIBOR) |  |
+ 6.00%), 5.891%, 11/25/49 | 6,131,985 | 858,478
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) |  |
+ 5.95%), 5.841%, 2/25/43 | 1,418,754 | 289,867
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) |  |
+ 5.90%), 5.791%, 10/25/41 | 1,342,619 | 236,456
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 | 59,180 | 10,217
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 | 2,050,983 | 402,095
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 | 174,185 | 29,723
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 | 7,497,904 | 1,266,847
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 | 249,677 | 47,248
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 | 887,213 | 35,489
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50 | 11,159,883 | 1,976,527
REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 | 804,229 | 116,608
REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 | 337,799 | 21,899
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 | 612,126 | 70,775
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 | 2,157,822 | 332,133
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 | 594,557 | 76,270
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 | 467,326 | 55,500
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 | 449,844 | 35,988
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 | 442,157 | 23,484
REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 | 546,394 | 27,343
REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 | 657,723 | 48,265
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 | 308,900 | 6,564
REMICs Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 | 943,060 | 7,660
REMICs Ser. 99-51, Class N, PO, zero %, 9/17/29 | 2,691 | 2,449

22 Master Intermediate Income Trust

| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* cont. | amount | Value
Agency collateralized mortgage obligations cont. |  |
Government National Mortgage Association |  |
IFB Ser. 20-133, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), |  |
6.189%, 9/20/50 | $4,777,693 | $951,826
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), |  |
6.069%, 4/20/44 | 2,811,409 | 583,345
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), |  |
6.039%, 7/20/50 | 4,303,285 | 718,779
IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), |  |
6.039%, 1/20/49 | 3,397,410 | 536,345
IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), |  |
6.039%, 11/20/43 | 1,790,987 | 348,085
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), |  |
6.039%, 9/20/43 | 306,414 | 60,195
IFB Ser. 20-63, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.10%), |  |
5.989%, 5/20/50 | 4,383,095 | 753,108
IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), |  |
5.989%, 4/20/50 | 5,110,232 | 1,034,061
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), |  |
5.989%, 8/20/49 | 5,023,676 | 832,423
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), |  |
5.989%, 7/20/49 | 4,743,859 | 726,569
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.939%, 2/20/50 | 513,491 | 63,668
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.939%, 1/20/50 | 2,731,984 | 466,347
IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.939%, 12/20/49 | 2,969,826 | 459,339
IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.939%, 9/20/49 | 4,837,110 | 806,879
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.939%, 8/20/49 | 177,326 | 26,119
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), |  |
5.939%, 6/20/49 | 237,325 | 30,473
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), |  |
5.489%, 8/20/44 | 1,414,443 | 245,417
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 | 577,885 | 113,294
Ser. 16-42, IO, 5.00%, 2/20/46 | 1,505,270 | 282,769
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 | 1,428,369 | 212,013
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 | 2,602,475 | 520,417
Ser. 14-76, IO, 5.00%, 5/20/44 | 606,010 | 109,236
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 | 430,737 | 76,456
Ser. 12-146, IO, 5.00%, 12/20/42 | 387,567 | 78,665
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 569,153 | 113,881
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 411,291 | 80,273
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 1,849,975 | 376,359
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 951,696 | 190,415
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 | 1,891,481 | 375,575
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 | 324,432 | 62,892
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 | 2,341,703 | 382,722
Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 | 1,205,646 | 189,226
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 | 790,127 | 83,524

Master Intermediate Income Trust 23

| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* cont. | amount | Value
Agency collateralized mortgage obligations cont. |  |
Government National Mortgage Association |  |
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 | $614,897 | $122,260
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 | 835,111 | 152,549
Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 | 987,717 | 123,810
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 | 792,848 | 136,605
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 | 170,254 | 15,057
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 | 706,150 | 128,939
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 736,305 | 68,417
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 | 1,345,024 | 241,997
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 704,774 | 125,030
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 | 784,066 | 132,564
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 | 487,030 | 74,905
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 | 476,808 | 90,889
Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 | 473,247 | 41,141
Ser. 16-29, IO, 4.00%, 2/16/46 | 693,081 | 119,885
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 | 1,982,119 | 321,242
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 1,253,211 | 225,578
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 | 1,282,891 | 190,820
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 | 1,217,480 | 147,291
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 | 3,127,404 | 461,346
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 | 2,130,577 | 134,135
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 | 411,666 | 69,195
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 | 1,437,763 | 118,152
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 370,284 | 57,906
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 329,322 | 54,323
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 | 824,214 | 129,743
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 | 5,101,011 | 694,165
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 | 280,030 | 12,187
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 | 1,172,348 | 122,452
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 | 1,001,684 | 83,291
Ser. 13-76, IO, 3.50%, 5/20/43 | 1,080,019 | 158,244
Ser. 13-28, IO, 3.50%, 2/20/43 | 312,807 | 33,805
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 | 488,360 | 56,581
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 | 753,548 | 91,368
Ser. 13-14, IO, 3.50%, 12/20/42 | 1,793,705 | 174,474
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 | 329,221 | 38,993
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 | 1,043,374 | 171,722
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 | 1,344,848 | 211,944
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 | 1,412,241 | 213,704
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 | 658,184 | 116,007
Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 | 1,236,303 | 82,536
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 1,464,227 | 95,175
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 | 585,940 | 13,426
Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 | 2,320,505 | 150,670
Ser. 15-H10, Class BI, IO, 2.993%, 4/20/65 W | 2,458,445 | 175,041
Ser. 16-H09, Class BI, IO, 2.965%, 4/20/66 W | 4,339,167 | 340,191
Ser. 16-H18, Class QI, IO, 2.957%, 6/20/66 W | 2,718,891 | 240,986
Ser. 15-H15, Class BI, IO, 2.598%, 6/20/65 W | 2,246,853 | 164,245
Ser. 16-H17, Class KI, IO, 2.521%, 7/20/66 W | 2,524,028 | 205,771

24 Master Intermediate Income Trust

| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* cont. | amount | Value
Agency collateralized mortgage obligations cont. |  |
Government National Mortgage Association |  |
Ser. 18-H15, Class KI, IO, 2.497%, 8/20/68 W | $3,291,625 | $310,466
Ser. 16-H16, Class EI, IO, 2.488%, 6/20/66 W | 3,799,171 | 318,371
Ser. 17-H16, Class JI, IO, 2.473%, 8/20/67 W | 7,946,005 | 802,117
Ser. 17-H02, Class BI, IO, 2.47%, 1/20/67 W | 2,442,920 | 224,622
Ser. 17-H16, Class FI, IO, 2.469%, 8/20/67 W | 2,890,068 | 243,404
Ser. 17-H06, Class BI, IO, 2.407%, 2/20/67 W | 3,840,781 | 296,797
Ser. 17-H12, Class QI, IO, 2.395%, 5/20/67 W | 3,383,484 | 290,222
Ser. 18-H02, Class EI, IO, 2.378%, 1/20/68 W | 5,534,833 | 556,943
Ser. 16-H23, Class NI, IO, 2.361%, 10/20/66 W | 9,788,837 | 833,030
Ser. 18-H03, Class XI, IO, 2.333%, 2/20/68 W | 4,010,816 | 400,279
Ser. 16-H22, Class AI, IO, 2.319%, 10/20/66 W | 3,656,577 | 318,817
Ser. 15-H20, Class CI, IO, 2.183%, 8/20/65 W | 3,978,451 | 339,362
Ser. 16-H06, Class DI, IO, 2.167%, 7/20/65 W | 5,036,688 | 302,342
Ser. 15-H24, Class AI, IO, 2.136%, 9/20/65 W | 3,069,955 | 222,431
Ser. 17-H09, IO, 2.119%, 4/20/67 W | 4,789,562 | 351,707
Ser. 17-H19, Class MI, IO, 2.064%, 4/20/67 W | 1,862,325 | 165,747
Ser. 16-H03, Class DI, IO, 2.03%, 12/20/65 W | 3,617,834 | 240,090
Ser. 17-H16, Class IH, IO, 1.931%, 7/20/67 W | 5,179,748 | 358,123
Ser. 17-H16, Class IG, IO, 1.89%, 7/20/67 W | 7,232,399 | 484,093
Ser. 17-H11, Class DI, IO, 1.89%, 5/20/67 W | 3,591,919 | 313,093
Ser. 15-H25, Class EI, IO, 1.857%, 10/20/65 W | 2,698,392 | 194,284
Ser. 15-H20, Class AI, IO, 1.816%, 8/20/65 W | 3,321,010 | 241,437
FRB Ser. 15-H08, Class CI, IO, 1.791%, 3/20/65 W | 1,878,752 | 119,113
Ser. 15-H23, Class BI, IO, 1.75%, 9/20/65 W | 3,520,999 | 233,442
Ser. 16-H03, Class AI, IO, 1.732%, 1/20/66 W | 3,311,855 | 228,955
Ser. 16-H10, Class AI, IO, 1.718%, 4/20/66 W | 8,468,603 | 464,638
Ser. 16-H24, Class CI, IO, 1.697%, 10/20/66 W | 2,354,414 | 149,270
Ser. 16-H14, IO, 1.683%, 6/20/66 W | 3,282,609 | 194,160
Ser. 13-H08, Class CI, IO, 1.625%, 2/20/63 W | 2,914,903 | 117,762
Ser. 16-H06, Class CI, IO, 1.61%, 2/20/66 W | 4,581,176 | 239,183
Ser. 14-H21, Class BI, IO, 1.532%, 10/20/64 W | 4,898,435 | 271,863
Ser. 16-H02, Class HI, IO, 1.529%, 1/20/66 W | 4,352,871 | 266,831
Ser. 17-H08, Class NI, IO, 1.489%, 3/20/67 W | 4,859,623 | 412,096
Ser. 18-H05, Class BI, IO, 0.914%, 2/20/68 W | 3,980,996 | 405,564
Ser. 18-H05, Class AI, IO, 0.903%, 2/20/68 W | 1,990,969 | 202,830
Ser. 15-H26, Class CI, IO, 0.486%, 8/20/65 W | 5,423,954 | 72,139
Ser. 06-36, Class OD, PO, zero %, 7/16/36 | 1,004 | 904
|  | 51,406,531
Commercial mortgage-backed securities (8.2%) |  |
BANK 144A Ser. 17-BNK9, Class D, 2.80%, 11/15/54 | 374,000 | 320,368
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, |  |
3.25%, 8/15/52 | 359,000 | 287,488
Bear Stearns Commercial Mortgage Securities Trust |  |
FRB Ser. 07-T26, Class AJ, 5.432%, 1/12/45 W | 1,319,000 | 1,078,283
Ser. 05-PWR7, Class B, 4.965%, 2/11/41 W | 199,694 | 198,696
Ser. 05-PWR7, Class D, 4.965%, 2/11/41 W | 441,000 | 339,570
Bear Stearns Commercial Mortgage Securities Trust 144A FRB |  |
Ser. 06-PW14, Class XW, IO, 0.467%, 12/11/38 W | 228,933 | 1,628

Master Intermediate Income Trust 25

| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* cont. | amount | Value
Commercial mortgage-backed securities cont. |  |
CFCRE Commercial Mortgage Trust 144A |  |
FRB Ser. 11-C2, Class E, 5.758%, 12/15/47 W | $409,000 | $398,524
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 W | 1,025,000 | 953,092
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 4.907%, 4/10/47 W | 336,000 | 357,679
COMM Mortgage Trust 144A |  |
FRB Ser. 14-CR17, Class E, 4.847%, 5/10/47 W | 647,000 | 504,660
FRB Ser. 14-UBS3, Class D, 4.769%, 6/10/47 W | 344,000 | 346,464
FRB Ser. 12-CR3, Class E, 4.751%, 10/15/45 W | 297,000 | 137,203
Ser. 12-LC4, Class E, 4.25%, 12/10/44 | 392,000 | 270,179
Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, |  |
IO, 0.685%, 12/15/39 W | 714,351 | 7
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, |  |
Class C, 5.719%, 9/15/39 W | 12,160 | 12,147
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, |  |
3.764%, 4/15/50 W | 527,000 | 375,311
DBUBS Mortgage Trust 144A FRB Ser. 11-LC2A, Class D, |  |
5.615%, 7/10/44 W | 272,000 | 268,376
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, |  |
4.403%, 2/10/46 W | 622,000 | 558,430
GS Mortgage Securities Trust 144A |  |
Ser. 11-GC3, Class E, 5.00%, 3/10/44 W | 160,000 | 132,545
FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47 W | 1,270,000 | 786,751
FRB Ser. 13-GC13, Class D, 4.084%, 7/10/46 W | 531,000 | 241,816
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, |  |
Class C, 4.105%, 7/15/45 W | 266,000 | 274,687
JPMBB Commercial Mortgage Securities Trust 144A |  |
FRB Ser. 14-C18, Class D, 4.806%, 2/15/47 W | 1,183,000 | 567,498
FRB Ser. C14, Class D, 4.702%, 8/15/46 W | 515,000 | 352,772
FRB Ser. 14-C18, Class E, 4.306%, 2/15/47 W | 407,000 | 171,676
FRB Ser. 14-C23, Class D, 3.972%, 9/15/47 W | 244,000 | 243,391
Ser. 13-C14, Class F, 3.598%, 8/15/46 W | 1,500,000 | 1,004,833
Ser. 14-C25, Class E, 3.332%, 11/15/47 W | 788,000 | 390,345
JPMorgan Chase Commercial Mortgage Securities Trust |  |
FRB Ser. 13-LC11, Class D, 4.168%, 4/15/46 W | 581,000 | 457,136
Ser. 13-LC11, Class B, 3.499%, 4/15/46 | 221,000 | 225,794
JPMorgan Chase Commercial Mortgage Securities Trust 144A |  |
FRB Ser. 07-CB20, Class E, 5.947%, 2/12/51 W | 398,000 | 59,700
FRB Ser. 11-C3, Class F, 5.789%, 2/15/46 W | 410,000 | 95,016
FRB Ser. 11-C4, Class C, 5.419%, 7/15/46 W | 234,000 | 233,042
FRB Ser. 12-C6, Class E, 5.142%, 5/15/45 W | 363,000 | 177,870
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W | 841,000 | 546,428
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, |  |
Class XCL, IO, 0.688%, 9/15/39 W | 784,080 | 1,730
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, |  |
IO, 5.704%, 12/15/49 W | 13,487 | —
ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, |  |
5.324%, 12/12/49 W | 50,951 | 50,951
Morgan Stanley Bank of America Merrill Lynch Trust 144A |  |
FRB Ser. 13-C11, Class D, 4.353%, 8/15/46 W | 900,000 | 81,000
FRB Ser. 13-C11, Class F, 4.353%, 8/15/46 W | 496,000 | 163,680

26 Master Intermediate Income Trust

| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* cont. | amount | Value
Commercial mortgage-backed securities cont. |  |
Morgan Stanley Bank of America Merrill Lynch Trust 144A |  |
FRB Ser. 15-C23, Class D, 4.145%, 7/15/50 W | $546,000 | $536,546
FRB Ser. 13-C9, Class D, 4.115%, 5/15/46 W | 350,000 | 318,500
FRB Ser. 13-C10, Class D, 4.082%, 7/15/46 W | 485,000 | 230,689
FRB Ser. 13-C10, Class E, 4.082%, 7/15/46 W | 1,316,000 | 1,000,756
FRB Ser. 13-C10, Class F, 4.082%, 7/15/46 W | 975,000 | 312,000
Ser. 14-C17, Class E, 3.50%, 8/15/47 | 443,000 | 269,311
Morgan Stanley Capital I Trust |  |
Ser. 07-HQ11, Class C, 5.558%, 2/12/44 W | 171,039 | 46,696
Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W | 434,023 | 427,388
Multifamily Connecticut Avenue Securities Trust 144A FRB |  |
Ser. 20-01, Class M10, (1 Month US LIBOR + 3.75%), 3.859%, 3/25/50 | 701,000 | 723,196
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, |  |
12/28/38 (In default) † | 558,952 | 6
UBS-Barclays Commercial Mortgage Trust 144A |  |
Ser. 12-C2, Class F, 5.00%, 5/10/63 W | 622,000 | 163,912
Ser. 13-C6, Class B, 3.875%, 4/10/46 W | 297,000 | 303,003
Wells Fargo Commercial Mortgage Trust FRB Ser. 20-C56, Class C, |  |
3.75%, 6/15/53 W | 281,000 | 286,229
Wells Fargo Commercial Mortgage Trust 144A |  |
FRB Ser. 13-LC12, Class D, 4.274%, 7/15/46 W | 188,000 | 93,975
Ser. 14-LC16, Class D, 3.938%, 8/15/50 | 889,000 | 205,138
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, |  |
4.50%, 6/15/45 W | 2,524,000 | 1,209,115
|  | 18,793,226
Residential mortgage-backed securities (non-agency) (13.6%) |  |
American Home Mortgage Investment Trust FRB Ser. 07-1, |  |
Class GA1C, (1 Month US LIBOR + 0.19%), 0.299%, 5/25/47 | 463,585 | 266,551
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, |  |
2.613%, 11/27/36 W | 730,745 | 584,596
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (1 Month |  |
US LIBOR + 0.50%), 0.609%, 1/25/36 | 77,673 | 95,725
Chevy Chase Funding, LLC Mortgage-Backed Certificates |  |
144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), |  |
0.298%, 11/25/47 | 277,190 | 220,324
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, |  |
(1 Month US LIBOR + 0.35%), 0.459%, 3/25/37 | 962,279 | 887,900
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, |  |
3.698%, 3/25/65 W | 1,000,000 | 1,039,800
Countrywide Alternative Loan Trust |  |
FRB Ser. 06-OA7, Class 1A1, 2.289%, 6/25/46 W | 301,590 | 274,658
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), |  |
1.759%, 9/25/35 | 291,647 | 272,282
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), |  |
1.219%, 8/25/46 | 112,136 | 107,733
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), |  |
1.199%, 6/25/46 | 337,253 | 304,780
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), |  |
0.809%, 9/25/35 | 358,876 | 323,758
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), |  |
0.771%, 11/20/35 | 410,905 | 377,395

Master Intermediate Income Trust 27

| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* cont. | amount | Value
Residential mortgage-backed securities (non-agency) cont. |  |
Countrywide Alternative Loan Trust |  |
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), |  |
0.489%, 8/25/46 | $326,425 | $300,074
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), |  |
0.489%, 8/25/46 | 2,089,236 | 1,850,855
Federal Home Loan Mortgage Corporation |  |
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, |  |
(1 Month US LIBOR + 10.50%), 10.609%, 5/25/28 | 266,562 | 295,739
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, |  |
(1 Month US LIBOR + 10.00%), 10.109%, 7/25/28 | 888,800 | 1,003,896
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, |  |
(1 Month US LIBOR + 9.35%), 9.459%, 4/25/28 | 571,019 | 667,207
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, |  |
(1 Month US LIBOR + 9.20%), 9.309%, 10/25/27 | 395,502 | 452,466
Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA1, |  |
Class B, (1 Month US LIBOR + 8.80%), 8.909%, 3/25/28 | 385,535 | 416,247
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, |  |
(1 Month US LIBOR + 7.55%), 7.659%, 12/25/27 | 683,698 | 736,058
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, |  |
(1 Month US LIBOR + 3.85%), 3.959%, 3/25/29 | 250,000 | 258,789
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, |  |
(1 Month US LIBOR + 2.30%), 2.409%, 9/25/30 | 602,935 | 602,935
Federal Home Loan Mortgage Corporation 144A |  |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, |  |
Class B2, (US 30 Day Average SOFR + 11.50%), 11.517%, 10/25/50 | 176,000 | 209,880
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, |  |
(1 Month US LIBOR + 11.25%), 11.368%, 4/25/49 | 106,000 | 118,646
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, |  |
(1 Month US LIBOR + 11.00%), 11.109%, 10/25/48 | 448,000 | 510,158
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, |  |
(1 Month US LIBOR + 10.75%), 10.859%, 1/25/49 | 141,000 | 153,879
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, |  |
(1 Month US LIBOR + 10.50%), 10.618%, 3/25/49 | 118,000 | 131,744
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, |  |
Class B2, (1 Month US LIBOR + 10.00%), 10.118%, 8/25/50 | 609,000 | 695,783
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, |  |
Class B2, (1 Month US LIBOR + 10.00%), 10.109%, 7/25/50 | 430,000 | 481,600
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, |  |
(1 Month US LIBOR + 8.15%), 8.268%, 7/25/49 | 135,000 | 139,325
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, |  |
(1 Month US LIBOR + 7.75%), 7.859%, 9/25/48 | 174,000 | 177,253
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, |  |
Class B1, (1 Month US LIBOR + 5.75%), 5.859%, 7/25/50 | 298,000 | 312,520
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, |  |
4.75%, 8/25/58 W | 307,000 | 321,322
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, |  |
4.50%, 2/25/59 W | 636,000 | 660,276
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, |  |
(1 Month US LIBOR + 4.25%), 4.359%, 10/25/48 | 380,000 | 385,225
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, |  |
(1 Month US LIBOR + 3.90%), 4.009%, 9/25/48 | 190,000 | 192,023

28 Master Intermediate Income Trust

| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* cont. | amount | Value
Residential mortgage-backed securities (non-agency) cont. |  |
Federal Home Loan Mortgage Corporation 144A |  |
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, |  |
(1 Month US LIBOR + 3.70%), 3.809%, 12/25/30 | $260,000 | $260,661
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, |  |
Class M2, (1 Month US LIBOR + 3.10%), 3.218%, 3/25/50 | 367,000 | 370,556
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, |  |
(1 Month US LIBOR + 2.65%), 2.759%, 1/25/49 | 148,965 | 149,806
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, |  |
(1 Month US LIBOR + 2.45%), 2.568%, 3/25/49 | 121,504 | 121,656
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, |  |
(1 Month US LIBOR + 2.35%), 2.459%, 2/25/49 | 147,680 | 147,857
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, |  |
(1 Month US LIBOR + 2.30%), 2.409%, 10/25/48 | 120,000 | 119,885
Federal National Mortgage Association |  |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, |  |
(1 Month US LIBOR + 12.75%), 12.859%, 10/25/28 | 89,557 | 108,379
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, |  |
(1 Month US LIBOR + 12.25%), 12.359%, 9/25/28 | 1,113,108 | 1,364,252
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, |  |
(1 Month US LIBOR + 11.75%), 11.859%, 10/25/28 | 566,382 | 685,079
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, |  |
(1 Month US LIBOR + 11.75%), 11.859%, 8/25/28 | 367,357 | 441,039
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, |  |
(1 Month US LIBOR + 10.75%), 10.859%, 1/25/29 | 119,560 | 137,463
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, |  |
(1 Month US LIBOR + 9.25%), 9.359%, 4/25/29 | 19,873 | 22,363
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, |  |
(1 Month US LIBOR + 5.90%), 6.009%, 10/25/28 | 561,451 | 593,756
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, |  |
(1 Month US LIBOR + 5.70%), 5.809%, 4/25/28 | 1,027,235 | 1,089,618
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, |  |
(1 Month US LIBOR + 5.55%), 5.659%, 4/25/28 | 35,981 | 37,909
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, |  |
(1 Month US LIBOR + 5.50%), 5.609%, 9/25/29 | 477,000 | 513,511
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, |  |
(1 Month US LIBOR + 5.00%), 5.109%, 7/25/25 | 83,827 | 84,830
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, |  |
(1 Month US LIBOR + 4.85%), 4.959%, 10/25/29 | 1,170,000 | 1,247,781
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, |  |
(1 Month US LIBOR + 4.50%), 4.609%, 12/25/30 | 283,000 | 292,360
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, |  |
(1 Month US LIBOR + 4.45%), 4.559%, 5/25/30 | 82,000 | 84,384
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, |  |
(1 Month US LIBOR + 4.45%), 4.559%, 2/25/30 | 60,000 | 61,500
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, |  |
(1 Month US LIBOR + 4.00%), 4.109%, 5/25/25 | 11,075 | 11,197
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, |  |
(1 Month US LIBOR + 3.60%), 3.709%, 1/25/30 | 182,000 | 185,108
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, |  |
(1 Month US LIBOR + 3.55%), 3.659%, 7/25/30 | 457,000 | 454,715
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, |  |
(1 Month US LIBOR + 3.00%), 3.109%, 10/25/29 | 477,293 | 487,199

Master Intermediate Income Trust 29

| Principal |
MORTGAGE-BACKED SECURITIES (44.3%)* cont. | amount | Value
Residential mortgage-backed securities (non-agency) cont. |  |
Federal National Mortgage Association |  |
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, |  |
(1 Month US LIBOR + 2.50%), 2.609%, 5/25/30 | $246,169 | $247,235
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, |  |
(1 Month US LIBOR + 2.25%), 2.359%, 7/25/30 | 46,973 | 46,973
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, |  |
(1 Month US LIBOR + 2.10%), 2.209%, 3/25/31 | 67,803 | 67,429
Federal National Mortgage Association 144A |  |
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, |  |
(1 Month US LIBOR + 4.10%), 4.209%, 9/25/31 | 556,000 | 563,354
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, |  |
Class 1M2, (1 Month US LIBOR + 3.65%), 3.759%, 2/25/40 | 504,000 | 504,520
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, |  |
(1 Month US LIBOR + 2.45%), 2.559%, 7/25/31 | 43,660 | 43,741
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month |  |
US LIBOR + 0.36%), 0.469%, 5/25/36 | 526,818 | 185,962
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month |  |
US LIBOR + 0.31%), 0.419%, 5/25/37 | 283,171 | 237,446
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month |  |
US LIBOR + 0.52%), 0.37%, 5/19/35 | 283,907 | 142,896
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, |  |
(1 Month US LIBOR + 0.20%), 0.318%, 6/25/37 | 492,764 | 258,538
Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, |  |
4.25%, 1/25/59 | 330,000 | 329,670
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, |  |
(1 Month US LIBOR + 0.23%), 0.648%, 2/26/37 | 301,354 | 283,585
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR |  |
+ 0.80%), 0.904%, 8/25/35 | 76,307 | 74,861
Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month |  |
US LIBOR + 2.85%), 2.959%, 7/25/28 (Bermuda) | 800,000 | 799,466
Pretium Mortgage Credit Partners, LLC 144A FRB Ser. 20-RPL1, |  |
Class A1, 3.819%, 5/27/60 | 234,370 | 235,868
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR |  |
+ 2.70%), 2.809%, 3/25/28 (Bermuda) | 794,000 | 795,272
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, |  |
(1 Month US LIBOR + 0.43%), 0.539%, 5/25/46 | 248,050 | 220,765
Structured Asset Mortgage Investments II Trust |  |
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), |  |
0.319%, 8/25/36 | 325,653 | 309,370
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), |  |
0.229%, 8/25/36 | 270,638 | 256,069
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, |  |
3.75%, 12/25/58 W | 216,000 | 229,854
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, |  |
Class A1C3, (1 Month US LIBOR + 0.98%), 1.089%, 10/25/45 | 162,144 | 161,194
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR5, |  |
Class 1A1, 2.871%, 4/25/36 W | 177,108 | 177,799
|  | 31,074,133
Total mortgage-backed securities (cost $109,361,959) |  | $101,273,890

30 Master Intermediate Income Trust

| Principal |
CORPORATE BONDS AND NOTES (21.8%)* | amount | Value
Basic materials (1.4%) |  |
Allegheny Technologies, Inc. sr. unsec. unsub. notes |  |
7.875%, 8/15/23 | $151,000 | $163,080
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes |  |
4.50%, 11/15/26 | 38,000 | 39,045
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. |  |
notes 4.875%, 11/1/25 | 87,000 | 88,958
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes |  |
6.625%, 1/31/29 | 115,000 | 125,313
Boise Cascade Co. 144A company guaranty sr. unsec. notes |  |
4.875%, 7/1/30 | 90,000 | 94,275
Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 | 82,000 | 87,945
Coeur Mining, Inc. 144A company guaranty sr. unsec. notes |  |
5.125%, 2/15/29 | 120,000 | 114,714
Compass Minerals International, Inc. 144A company guaranty sr. |  |
unsec. notes 6.75%, 12/1/27 | 175,000 | 187,250
Compass Minerals International, Inc. 144A company guaranty sr. |  |
unsec. notes 4.875%, 7/15/24 | 63,000 | 65,126
Core & Main LP 144A sr. unsec. notes 6.125%, 8/15/25 | 100,000 | 102,634
FMG Resources August 2006 Pty, Ltd. 144A company guaranty sr. |  |
unsec. bonds 4.375%, 4/1/31 (Australia) | 120,000 | 122,250
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds |  |
4.625%, 8/1/30 (Indonesia) | 60,000 | 65,294
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes |  |
4.375%, 8/1/28 (Indonesia) | 60,000 | 63,645
GCP Applied Technologies, Inc. 144A sr. unsec. notes |  |
5.50%, 4/15/26 | 203,000 | 208,826
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 | 179,000 | 188,621
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes |  |
4.50%, 4/1/26 (Canada) | 45,000 | 46,519
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes |  |
6.125%, 4/1/29 (Canada) | 30,000 | 32,025
Ingevity Corp. 144A company guaranty sr. unsec. notes |  |
3.875%, 11/1/28 | 95,000 | 91,913
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging Ltd |  |
Co-Issuer, LL 144A sr. notes 6.00%, 9/15/28 (Canada) | 25,000 | 25,813
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 | 160,000 | 155,600
Mauser Packaging Solutions Holding Co. 144A sr. notes |  |
8.50%, 4/15/24 | 35,000 | 36,313
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) | 121,000 | 124,025
Mercer International, Inc. 144A sr. unsec. notes 5.125%, |  |
2/1/29 (Canada) | 70,000 | 72,520
Novelis Corp. 144A company guaranty sr. unsec. bonds |  |
5.875%, 9/30/26 | 145,000 | 151,786
Novelis Corp. 144A company guaranty sr. unsec. notes |  |
4.75%, 1/30/30 | 80,000 | 82,409
Taseko Mines, Ltd. 144A company guaranty sr. notes 7.00%, |  |
2/15/26 (Canada) | 105,000 | 106,890
Trinseo Materials Operating SCA/Trinseo Materials Finance, |  |
Inc. 144A company guaranty sr. unsec. notes 5.125%, |  |
4/1/29 (Luxembourg) | 120,000 | 123,750

Master Intermediate Income Trust 31

| Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. | amount | Value
Basic materials cont. |  |
Tronox Finance PLC 144A company guaranty sr. unsec. notes |  |
5.75%, 10/1/25 (United Kingdom) | $147,000 | $153,340
Tronox, Inc. 144A company guaranty sr. notes 6.50%, 5/1/25 | 20,000 | 21,450
Tronox, Inc. 144A company guaranty sr. unsec. notes |  |
4.625%, 3/15/29 | 90,000 | 90,113
U.S. Concrete, Inc. 144A company guaranty sr. unsec. notes |  |
5.125%, 3/1/29 | 45,000 | 46,350
W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes |  |
5.625%, 10/1/24 | 121,000 | 132,798
W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes |  |
4.875%, 6/15/27 | 80,000 | 82,816
|  | 3,293,406
Capital goods (2.1%) |  |
Allison Transmission, Inc. 144A company guaranty sr. unsec. |  |
bonds 3.75%, 1/30/31 | 60,000 | 58,125
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes |  |
4.75%, 10/1/27 | 234,000 | 248,695
American Axle & Manufacturing, Inc. company guaranty sr. unsec. |  |
notes 6.875%, 7/1/28 | 10,000 | 10,484
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. |  |
notes 5.625%, 7/1/27 | 115,000 | 122,044
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 | 35,000 | 35,438
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A |  |
company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) | 330,000 | 338,762
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 | 80,000 | 85,576
Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 | 45,000 | 47,773
Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 | 80,000 | 84,400
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds |  |
7.375%, 12/15/26 | 150,000 | 180,563
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes |  |
4.00%, 8/1/28 (Canada) | 45,000 | 43,538
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) | 115,000 | 121,181
Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 |  |
(Canada) ‡‡ | 150,000 | 163,125
MasTec, Inc. 144A company guaranty sr. unsec. notes |  |
4.50%, 8/15/28 | 49,000 | 50,838
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. |  |
unsec. notes 6.625%, 5/13/27 | 45,000 | 48,921
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A |  |
company guaranty sr. notes 6.25%, 5/15/26 | 177,000 | 187,981
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A |  |
company guaranty sr. unsec. notes 8.50%, 5/15/27 | 125,000 | 134,595
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes |  |
6.625%, 4/15/27 | 171,000 | 172,710
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes |  |
4.875%, 12/15/25 | 190,000 | 193,857
Sensata Technologies BV 144A company guaranty sr. unsec. notes |  |
4.00%, 4/15/29 | 120,000 | 122,100
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 | 352,000 | 371,360
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes |  |
6.125%, 10/1/26 | 208,000 | 222,746

32 Master Intermediate Income Trust

| Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. | amount | Value
Capital goods cont. |  |
Tennant Co. company guaranty sr. unsec. unsub. notes |  |
5.625%, 5/1/25 | $70,000 | $72,100
Tenneco, Inc. 144A company guaranty sr. notes 7.875%, 1/15/29 | 10,000 | 11,244
Tenneco, Inc. 144A company guaranty sr. notes 5.125%, 4/15/29 | 94,000 | 92,679
Terex Corp. 144A company guaranty sr. unsec. notes |  |
5.00%, 5/15/29 | 60,000 | 62,112
TransDigm, Inc. company guaranty sr. unsec. sub. notes |  |
6.375%, 6/15/26 | 86,000 | 88,903
TransDigm, Inc. company guaranty sr. unsec. sub. notes |  |
5.50%, 11/15/27 | 148,000 | 152,995
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 672,000 | 712,253
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes |  |
4.625%, 1/15/29 | 80,000 | 78,783
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 | 223,000 | 228,296
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. |  |
notes 7.25%, 6/15/28 | 115,000 | 128,685
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. |  |
notes 7.125%, 6/15/25 | 55,000 | 60,143
|  | 4,733,005
Communication services (2.2%) |  |
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company |  |
guaranty sr. unsec. bonds 5.50%, 5/1/26 | 266,000 | 274,326
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. |  |
bonds 5.375%, 6/1/29 | 1,045,000 | 1,120,731
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. |  |
bonds 4.50%, 8/15/30 | 55,000 | 56,056
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. |  |
notes 5.00%, 2/1/28 | 199,000 | 210,472
CommScope Technologies, LLC 144A company guaranty sr. unsec. |  |
notes 6.00%, 6/15/25 | 82,000 | 83,644
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 120,000 | 129,450
DISH DBS Corp. company guaranty sr. unsec. unsub. notes |  |
5.875%, 11/15/24 | 245,000 | 256,405
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27 R | 84,000 | 90,334
Frontier Communications Corp. 144A company guaranty sr. notes |  |
5.875%, 10/15/27 | 90,000 | 95,400
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 | 105,000 | 110,744
Intelsat Jackson Holdings SA 144A company guaranty sr. notes |  |
8.00%, 2/15/24 (Luxembourg) | 6,000 | 6,210
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes |  |
5.25%, 3/15/26 | 264,000 | 271,920
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes |  |
4.625%, 9/15/27 | 85,000 | 87,479
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes |  |
4.25%, 7/1/28 | 40,000 | 40,452
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. |  |
notes 3.625%, 1/15/29 | 55,000 | 53,281
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, |  |
1/15/23 (Canada) | 40,000 | 42,750
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes |  |
6.875%, 11/15/28 | 260,000 | 327,852

Master Intermediate Income Trust 33

|  | Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. |  | amount | Value
Communication services cont. |  |  |
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 |  | $125,000 | $153,117
Sprint Corp. company guaranty sr. unsec. sub. notes |  |  |
7.875%, 9/15/23 |  | 433,000 | 494,703
Sprint Corp. company guaranty sr. unsec. sub. notes |  |  |
7.25%, 9/15/21 |  | 190,000 | 194,769
T-Mobile USA, Inc. company guaranty sr. unsec. bonds |  |  |
2.875%, 2/15/31 |  | 80,000 | 77,320
T-Mobile USA, Inc. company guaranty sr. unsec. notes |  |  |
5.375%, 4/15/27 |  | 19,000 | 20,142
T-Mobile USA, Inc. company guaranty sr. unsec. notes |  |  |
4.00%, 4/15/22 |  | 45,000 | 45,788
T-Mobile USA, Inc. company guaranty sr. unsec. notes |  |  |
2.625%, 2/15/29 |  | 55,000 | 53,407
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds |  |  |
4.75%, 2/1/28 |  | 148,000 | 158,160
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes |  |  |
4.50%, 2/1/26 |  | 55,000 | 56,272
T-Mobile USA, Inc. 144A company guaranty sr. notes |  |  |
3.875%, 4/15/30 |  | 50,000 | 54,487
T-Mobile USA, Inc. 144A company guaranty sr. notes |  |  |
3.75%, 4/15/27 |  | 125,000 | 136,630
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, |  |  |
4/15/27 (Canada) |  | 75,000 | 79,266
Virgin Media Secured Finance PLC 144A company guaranty sr. |  |  |
bonds 5.00%, 4/15/27 (United Kingdom) | GBP | 115,000 | 165,684
Zayo Group Holdings, Inc. 144A sr. notes 4.00%, 3/1/27 |  | $55,000 | 54,120
|  |  | 5,001,371
Consumer cyclicals (4.7%) |  |  |
American Builders & Contractors Supply Co., Inc. 144A sr. notes |  |  |
4.00%, 1/15/28 |  | 60,000 | 60,000
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, |  |  |
4/1/27 ‡‡ |  | 105,000 | 108,938
Boyd Gaming Corp. company guaranty sr. unsec. notes |  |  |
6.00%, 8/15/26 |  | 60,000 | 62,471
Boyd Gaming Corp. company guaranty sr. unsec. notes |  |  |
4.75%, 12/1/27 |  | 55,000 | 56,058
Brookfield Residential Properties, Inc./Brookfield Residential |  |  |
US Corp. 144A company guaranty sr. unsec. notes 6.25%, |  |  |
9/15/27 (Canada) |  | 55,000 | 57,406
Carnival Corp. 144A sr. notes 11.50%, 4/1/23 |  | 50,000 | 57,313
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 |  | 55,000 | 57,613
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 |  | 110,000 | 112,063
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes |  |  |
4.875%, 6/1/23 |  | 190,000 | 188,851
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 |  | 25,000 | 27,375
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. |  |  |
notes 5.125%, 8/15/27 |  | 80,000 | 80,524
Cornerstone Building Brands, Inc. 144A company guaranty sr. |  |  |
unsec. sub. notes 8.00%, 4/15/26 |  | 6,000 | 6,248
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. |  |  |
unsec. notes 5.25%, 10/15/25 |  | 320,000 | 320,000

34 Master Intermediate Income Trust

|  | Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. |  | amount | Value
Consumer cyclicals cont. |  |  |
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. |  |  |
notes 5.375%, 8/15/26 |  | $144,000 | $103,645
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. |  |  |
unsec. notes 6.625%, 8/15/27 |  | 92,000 | 48,300
Entercom Media Corp. 144A company guaranty notes |  |  |
6.75%, 3/31/29 |  | 120,000 | 124,731
Entercom Media Corp. 144A company guaranty notes |  |  |
6.50%, 5/1/27 |  | 244,000 | 252,235
Ford Motor Co. sr. unsec. unsub. notes 9.00%, 4/22/25 |  | 152,000 | 184,089
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 |  | 200,000 | 215,796
Gap, Inc. (The) 144A sr. notes 8.625%, 5/15/25 |  | 45,000 | 50,400
Gap, Inc. (The) 144A sr. notes 8.375%, 5/15/23 |  | 78,000 | 89,090
Gartner, Inc. 144A company guaranty sr. unsec. bonds |  |  |
3.75%, 10/1/30 |  | 45,000 | 44,438
Gartner, Inc. 144A company guaranty sr. unsec. notes |  |  |
4.50%, 7/1/28 |  | 25,000 | 25,781
Gray Television, Inc. 144A company guaranty sr. unsec. notes |  |  |
4.75%, 10/15/30 |  | 60,000 | 59,475
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 |  | 200,000 | 217,250
Hanesbrands, Inc. 144A company guaranty sr. unsec. notes |  |  |
5.375%, 5/15/25 |  | 45,000 | 47,616
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes |  |  |
4.625%, 5/15/24 |  | 125,000 | 132,613
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. |  |  |
company guaranty sr. unsec. notes 4.875%, 4/1/27 |  | 88,000 | 91,850
iHeartCommunications, Inc. company guaranty sr. notes |  |  |
6.375%, 5/1/26 |  | 130,811 | 138,823
iHeartCommunications, Inc. company guaranty sr. unsec. notes |  |  |
8.375%, 5/1/27 |  | 271,721 | 290,402
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 |  |  |
(United Kingdom) |  | 65,000 | 74,831
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 |  |  |
(United Kingdom) |  | 150,000 | 168,000
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds |  |  |
5.25%, 3/15/28 R |  | 194,000 | 201,518
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes |  |  |
4.875%, 9/15/27 R |  | 268,000 | 273,360
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes |  |  |
4.875%, 12/15/27 |  | 65,000 | 67,213
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes |  |  |
4.625%, 12/15/25 |  | 70,000 | 70,875
JELD-WEN, Inc. 144A sr. notes 6.25%, 5/15/25 |  | 31,000 | 32,938
L Brands, Inc. company guaranty sr. unsec. notes 7.50%, |  |  |
perpetual maturity |  | 128,000 | 145,600
L Brands, Inc. 144A company guaranty sr. notes 6.875%, 7/1/25 |  | 30,000 | 33,336
L Brands, Inc. 144A company guaranty sr. unsec. notes |  |  |
9.375%, 7/1/25 |  | 25,000 | 31,125
L Brands, Inc. 144A company guaranty sr. unsec. unsub. bonds |  |  |
6.625%, 10/1/30 |  | 55,000 | 62,322
La Financiere Atalian SASU company guaranty sr. unsec. notes |  |  |
Ser. REGS, 4.00%, 5/15/24 (France) | EUR | 100,000 | 111,092

Master Intermediate Income Trust 35

|  | Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. |  | amount | Value
Consumer cyclicals cont. |  |  |
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 |  | $57,000 | $55,005
LHMC Finco SARL sr. notes Ser. REGS, 6.25%, |  |  |
12/20/23 (Luxembourg) | EUR | 100,000 | 118,820
Lions Gate Capital Holdings, LLC 144A company guaranty sr. |  |  |
unsec. notes 5.875%, 11/1/24 |  | $181,000 | 186,318
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes |  |  |
6.375%, 2/1/24 |  | 115,000 | 118,666
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. |  |  |
notes 4.875%, 11/1/24 |  | 46,000 | 46,814
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. |  |  |
sub. notes 5.625%, 3/15/26 |  | 99,000 | 102,821
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 |  | 60,000 | 66,526
Masonite International Corp. 144A company guaranty sr. unsec. |  |  |
notes 5.375%, 2/1/28 |  | 45,000 | 47,756
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, |  |  |
12/15/27 (Canada) |  | 160,000 | 167,400
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, |  |  |
3/1/30 (Canada) |  | 125,000 | 124,160
Mattel, Inc. 144A company guaranty sr. unsec. notes |  |  |
5.875%, 12/15/27 |  | 170,000 | 186,629
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 |  | 195,000 | 197,301
Mattel, Inc. 144A company guaranty sr. unsec. notes |  |  |
3.375%, 4/1/26 |  | 25,000 | 25,811
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 |  | 180,000 | 183,825
Meredith Corp. 144A company guaranty sr. unsec. notes |  |  |
6.50%, 7/1/25 |  | 110,000 | 117,975
Motion Bondco DAC company guaranty sr. notes Ser. REGS, 4.50%, |  |  |
11/15/27 (Ireland) | EUR | 110,000 | 126,402
MPH Acquisition Holdings, LLC 144A company guaranty sr. unsec. |  |  |
notes 5.75%, 11/1/28 |  | $60,000 | 58,836
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 |  | 110,000 | 114,128
NESCO Holdings II, Inc. 144A company guaranty notes |  |  |
5.50%, 4/15/29 ## |  | 90,000 | 92,295
Nexstar Broadcasting, Inc. 144A sr. unsec. notes 4.75%, 11/1/28 |  | 55,000 | 55,579
Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 |  | 160,000 | 168,198
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. |  |  |
unsec. notes 5.00%, 2/1/25 (Luxembourg) |  | 183,000 | 187,118
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty |  |  |
sr. unsec. notes 5.625%, 10/1/28 |  | 80,000 | 84,100
Nordstrom, Inc. 144A sr. notes 8.75%, 5/15/25 |  | 115,000 | 130,139
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. |  |  |
unsec. bonds 4.625%, 3/15/30 |  | 36,000 | 34,650
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28 |  | 170,000 | 181,475
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A |  |  |
company guaranty sr. notes 3.375%, 8/31/27 |  | 55,000 | 53,350
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A |  |  |
notes 6.25%, 1/15/28 |  | 115,000 | 119,714
QVC, Inc. company guaranty sr. notes 4.375%, 9/1/28 |  | 100,000 | 100,793
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 |  | 278,000 | 331,515
Scientific Games International, Inc. 144A company guaranty sr. |  |  |
notes 5.00%, 10/15/25 |  | 65,000 | 67,321

36 Master Intermediate Income Trust

| Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. | amount | Value
Consumer cyclicals cont. |  |
Scientific Games International, Inc. 144A company guaranty sr. |  |
unsec. notes 8.25%, 3/15/26 | $105,000 | $112,613
Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes |  |
4.50%, 10/15/29 | 168,000 | 173,200
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A |  |
company guaranty sr. unsec. notes 4.625%, 11/1/26 | 120,000 | 124,800
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. |  |
bonds 5.50%, 3/1/30 | 95,000 | 92,625
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30 | 60,000 | 57,750
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 367,000 | 383,515
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes |  |
7.00%, 7/1/25 | 115,000 | 124,455
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds |  |
5.00%, 10/1/29 | 55,000 | 58,025
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 | 95,000 | 90,013
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 10,000 | 10,366
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 115,000 | 114,425
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds |  |
5.125%, 8/1/30 | 125,000 | 132,813
Taylor Morrison Communities, Inc. 144A sr. unsec. notes |  |
5.75%, 1/15/28 | 50,000 | 55,078
TRI Pointe Group, Inc. sr. unsec. notes 5.70%, 6/15/28 | 55,000 | 60,787
Univision Communications, Inc. 144A company guaranty sr. notes |  |
9.50%, 5/1/25 | 65,000 | 71,175
Univision Communications, Inc. 144A company guaranty sr. notes |  |
6.625%, 6/1/27 | 115,000 | 122,811
Univision Communications, Inc. 144A company guaranty sr. sub. |  |
notes 5.125%, 2/15/25 | 54,000 | 54,540
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 | 10,000 | 10,353
Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes |  |
4.25%, 2/15/30 | 60,000 | 61,200
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes |  |
4.875%, 9/15/28 | 25,000 | 25,625
WMG Acquisition Corp. 144A company guaranty sr. bonds |  |
3.00%, 2/15/31 | 75,000 | 71,273
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. |  |
bonds 5.00%, 9/1/26 | 101,000 | 102,389
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. |  |
notes 6.375%, 5/15/25 | 70,000 | 74,550
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company |  |
guaranty sr. unsec. sub. notes 5.25%, 5/15/27 | 150,000 | 156,975
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. |  |
unsec. bonds 5.125%, 10/1/29 | 145,000 | 148,408
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. |  |
unsec. notes 7.75%, 4/15/25 | 35,000 | 37,943
|  | 10,762,751
Consumer staples (1.4%) |  |
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, |  |
10/15/30 (Canada) | 80,000 | 77,200
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty |  |
notes 4.375%, 1/15/28 (Canada) | 77,000 | 77,363

Master Intermediate Income Trust 37

|  | Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. |  | amount | Value
Consumer staples cont. |  |  |
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. |  |  |
notes 3.875%, 1/15/28 (Canada) |  | $100,000 | $100,500
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, |  |  |
LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 |  | 35,000 | 35,980
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, |  |  |
LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 |  | 260,000 | 269,476
Avient Corp. 144A sr. unsec. notes 5.75%, 5/15/25 |  | 35,000 | 37,188
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes |  |  |
3.25%, 2/15/29 |  | 18,000 | 17,775
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 |  | 227,000 | 229,270
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 |  | 60,000 | 64,587
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 | 133,975
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 | 115,500
Kraft Heinz Foods Co. company guaranty sr. unsec. notes |  |  |
3.00%, 6/1/26 |  | 159,000 | 167,641
Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes |  |  |
3.875%, 5/15/27 |  | 17,000 | 18,596
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. |  |  |
notes 4.875%, 5/15/28 |  | 85,000 | 91,308
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. |  |  |
unsub. notes 4.875%, 11/1/26 |  | 157,000 | 162,495
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. |  |  |
unsub. notes 4.625%, 11/1/24 |  | 37,000 | 38,396
Loxam SAS notes 3.75%, 7/15/26 (France) | EUR | 100,000 | 117,819
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 |  | $130,000 | 130,365
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 |  | 118,000 | 123,605
Match Group, Inc. 144A sr. unsec. unsub. notes 4.625%, 6/1/28 |  | 60,000 | 61,306
Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 |  | 60,000 | 74,400
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 |  | 120,000 | 136,429
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 |  | 230,000 | 278,201
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 |  | 60,000 | 70,953
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 |  | 35,000 | 40,304
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 |  | 66,000 | 72,848
Newell Brands, Inc. sr. unsec. unsub. notes 4.70%, 4/1/26 |  | 105,000 | 116,115
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes |  |  |
5.125%, 1/15/28 |  | 95,000 | 99,616
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes |  |  |
7.00%, 7/15/25 |  | 59,000 | 63,809
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 |  | 55,000 | 52,882
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 |  | 55,000 | 58,152
Yum! Brands, Inc. 144A sr. unsec. notes 7.75%, 4/1/25 |  | 25,000 | 27,375
|  |  | 3,161,429
Energy (3.8%) |  |  |
Antero Resources Corp. 144A company guaranty sr. unsec. notes |  |  |
8.375%, 7/15/26 |  | 15,000 | 16,538
Apache Corp. sr. unsec. unsub. notes 4.875%, 11/15/27 |  | 35,000 | 35,875
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 |  | 36,000 | 35,892
Callon Petroleum Co. company guaranty sr. unsec. unsub. notes |  |  |
6.25%, 4/15/23 |  | 90,000 | 80,100

38 Master Intermediate Income Trust

| Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. | amount | Value
Energy cont. |  |
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25 | $43,000 | $43,618
ChampionX corp. company guaranty sr. unsec. notes |  |
6.375%, 5/1/26 | 129,000 | 135,128
Cheniere Energy Partners LP 144A company guaranty sr. unsec. |  |
bonds 4.00%, 3/1/31 | 90,000 | 91,575
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes |  |
7.50%, 5/15/25 | 23,000 | 23,863
Continental Resources, Inc. company guaranty sr. unsec. notes |  |
4.375%, 1/15/28 | 135,000 | 142,567
Continental Resources, Inc. company guaranty sr. unsec. unsub. |  |
notes 4.50%, 4/15/23 | 105,000 | 108,748
Continental Resources, Inc. 144A company guaranty sr. unsec. |  |
bonds 5.75%, 1/15/31 | 127,000 | 143,492
DCP Midstream Operating LP company guaranty sr. unsec. notes |  |
5.625%, 7/15/27 | 56,000 | 60,620
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 | 60,000 | 81,300
Double Eagle III Midco 1 LLC/Double Eagle Finance Corp. 144A sr. |  |
unsec. notes 7.75%, 12/15/25 | 130,000 | 138,804
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. |  |
bonds 5.75%, 1/30/28 | 196,000 | 207,039
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. |  |
notes 6.625%, 7/15/25 | 115,000 | 122,905
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes |  |
5.625%, 1/15/28 | 105,000 | 101,533
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 | 10,000 | 10,700
Global Partners LP/GLP Finance Corp. company guaranty sr. |  |
unsec. notes 6.875%, 1/15/29 | 20,000 | 21,465
Hess Midstream Operations LP 144A company guaranty sr. unsec. |  |
notes 5.125%, 6/15/28 | 102,000 | 103,122
Hess Midstream Operations LP 144A company guaranty sr. unsec. |  |
sub. notes 5.625%, 2/15/26 | 217,000 | 224,253
Holly Energy Partners LP/Holly Energy Finance Corp. 144A |  |
company guaranty sr. unsec. notes 5.00%, 2/1/28 | 195,000 | 197,496
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) | 196,000 | 202,458
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes |  |
9.00%, 2/1/25 | 70,097 | 71,849
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 | 96,000 | 99,144
Newfield Exploration Co. sr. unsec. unsub. notes 5.625%, 7/1/24 | 25,000 | 27,469
Northriver Midstream Finance LP 144A sr. notes 5.625%, |  |
2/15/26 (Canada) | 62,000 | 63,860
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds |  |
7.375%, 11/1/31 | 40,000 | 50,820
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, |  |
5/3/22 (Indonesia) | 925,000 | 961,073
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, |  |
5/20/23 (Indonesia) | 200,000 | 211,791
Petrobras Global Finance BV company guaranty sr. unsec. unsub. |  |
notes 5.999%, 1/27/28 (Brazil) | 169,000 | 186,323
Petrobras Global Finance BV company guaranty sr. unsec. unsub. |  |
notes 5.60%, 1/3/31 (Brazil) | 879,000 | 926,290
Petrobras Global Finance BV company guaranty sr. unsec. unsub. |  |
notes 5.299%, 1/27/25 (Brazil) | 409,000 | 451,945

Master Intermediate Income Trust 39

|  | Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. |  | amount | Value
Energy cont. |  |  |
Petroleos de Venezuela SA company guaranty sr. unsec. bonds |  |  |
Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default) † |  | $399,000 | $16,958
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. |  |  |
notes 5.375%, 4/12/27 (Venezuela) (In default) † |  | 824,000 | 35,020
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds |  |  |
6.50%, 1/23/29 (Mexico) |  | 432,000 | 437,513
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB |  |  |
5.95%, 1/28/31 (Mexico) |  | 1,420,000 | 1,363,200
Precision Drilling Corp. 144A company guaranty sr. unsec. notes |  |  |
7.125%, 1/15/26 (Canada) |  | 51,000 | 49,343
Rattler Midstream LP 144A company guaranty sr. unsec. notes |  |  |
5.625%, 7/15/25 |  | 80,000 | 83,530
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 |  | 136,000 | 125,800
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 |  | 67,000 | 62,813
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 |  | 49,000 | 45,276
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 |  | 96,000 | 94,080
SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25 |  | 30,000 | 33,750
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A |  |  |
company guaranty sr. unsec. notes 5.50%, 1/15/28 |  | 130,000 | 126,100
Targa Resources Partners LP/Targa Resources Partners Finance |  |  |
Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 |  | 35,000 | 38,560
Targa Resources Partners LP/Targa Resources Partners Finance |  |  |
Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 |  | 185,000 | 201,036
Targa Resources Partners LP/Targa Resources Partners Finance |  |  |
Corp. company guaranty sr. unsec. notes 5.50%, 3/1/30 |  | 35,000 | 36,750
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, |  |  |
8/1/25 (Cayman Islands) |  | 41,325 | 38,846
Transocean Poseidon, Ltd. 144A company guaranty sr. notes |  |  |
6.875%, 2/1/27 |  | 88,000 | 81,339
Viper Energy Partners LP 144A company guaranty sr. unsec. notes |  |  |
5.375%, 11/1/27 |  | 35,000 | 36,400
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 |  | 101,000 | 105,767
WPX Energy, Inc. sr. unsec. notes 4.50%, 1/15/30 |  | 29,000 | 31,227
WPX Energy, Inc. sr. unsec. sub. notes 5.875%, 6/15/28 |  | 117,000 | 128,957
WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 |  | 64,000 | 68,193
|  |  | 8,620,113
Financials (2.6%) |  |  |
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 |  | 105,000 | 109,856
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A |  |  |
sr. notes 4.25%, 10/15/27 |  | 30,000 | 30,273
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes |  |  |
Ser. EMTN, 2.625%, 4/28/25 (Italy) | EUR | 105,000 | 125,840
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) |  | $200,000 | 222,819
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 |  | 4,000 | 4,340
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 |  | 242,000 | 272,553
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 |  | 100,000 | 115,175
Commerzbank AG 144A unsec. sub. notes 8.125%, |  |  |
9/19/23 (Germany) |  | 200,000 | 228,810
Diversified Healthcare Trust company guaranty sr. unsec. notes |  |  |
9.75%, 6/15/25 R |  | 230,000 | 258,121

40 Master Intermediate Income Trust

| Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. | amount | Value
Financials cont. |  |
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes |  |
5.25%, 5/1/25 R | $45,000 | $45,900
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 | 53,000 | 54,921
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. |  |
notes 5.25%, 6/1/25 | 115,000 | 128,924
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, |  |
12/1/24 (Canada) | 115,000 | 119,169
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company |  |
guaranty sr. unsec. notes 6.75%, 2/1/24 | 95,000 | 96,900
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company |  |
guaranty sr. unsec. notes 6.25%, 5/15/26 | 104,000 | 108,940
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A |  |
company guaranty sr. unsec. notes 4.375%, 2/1/29 | 64,000 | 62,541
International Lease Finance Corp. sr. unsec. unsub. notes |  |
5.875%, 8/15/22 | 15,000 | 16,004
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) | 200,000 | 218,277
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26 R | 90,000 | 91,575
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R | 156,000 | 162,303
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R | 122,000 | 122,842
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB |  |
3.875%, 4/15/31 (Brazil) | 930,000 | 902,100
Ladder Capital Finance Holdings, LLLP/Ladder Capital |  |
Finance Corp. 144A company guaranty sr. unsec. unsub. notes |  |
5.25%, 10/1/25 R | 160,000 | 160,000
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance |  |
Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R | 115,000 | 113,275
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. |  |
unsec. notes 6.00%, 1/15/27 | 60,000 | 62,250
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. |  |
unsec. notes 5.50%, 8/15/28 | 93,000 | 93,377
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. |  |
unsec. notes 5.125%, 12/15/30 | 35,000 | 34,395
NatWest Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 |  |
(United Kingdom) | 570,000 | 622,079
PennyMac Financial Services, Inc. 144A company guaranty sr. |  |
unsec. notes 5.375%, 10/15/25 | 110,000 | 114,021
PHH Mortgage Corp. 144A company guaranty sr. notes |  |
7.875%, 3/15/26 | 105,000 | 107,625
Provident Funding Associates LP/PFG Finance Corp. 144A sr. |  |
unsec. notes 6.375%, 6/15/25 | 235,000 | 234,427
Service Properties Trust company guaranty sr. unsec. unsub. |  |
notes 7.50%, 9/15/25 R | 41,000 | 46,577
Springleaf Finance Corp. company guaranty sr. unsec. notes |  |
8.875%, 6/1/25 | 45,000 | 49,851
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes |  |
7.125%, 3/15/26 | 60,000 | 69,201
Springleaf Finance Corp. company guaranty sr. unsec. unsub. |  |
notes 6.875%, 3/15/25 | 269,000 | 305,967
Springleaf Finance Corp. company guaranty sr. unsec. unsub. |  |
notes 5.375%, 11/15/29 | 120,000 | 127,650
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25 R | 150,000 | 155,742

Master Intermediate Income Trust 41

| Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. | amount | Value
Financials cont. |  |
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes |  |
11.125%, 4/1/23 | $83,000 | $84,245
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, |  |
10/17/22 (Russia) | 200,000 | 212,000
|  | 6,090,865
Health care (1.8%) |  |
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 | 150,000 | 166,500
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes |  |
7.25%, 5/30/29 | 105,000 | 117,206
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes |  |
7.00%, 1/15/28 | 55,000 | 59,705
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes |  |
6.25%, 2/15/29 | 80,000 | 84,900
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes |  |
6.125%, 4/15/25 | 160,000 | 164,032
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes |  |
5.00%, 2/15/29 | 50,000 | 49,375
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes |  |
7.00%, 3/15/24 | 144,000 | 147,312
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 | 55,000 | 54,909
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 250,000 | 269,375
Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 | 89,000 | 93,886
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 | 82,000 | 85,747
Charles River Laboratories International, Inc. 144A company |  |
guaranty sr. unsec. notes 4.00%, 3/15/31 | 60,000 | 60,825
Charles River Laboratories International, Inc. 144A company |  |
guaranty sr. unsec. notes 3.75%, 3/15/29 | 55,000 | 55,000
CHS/Community Health Systems, Inc. 144A company guaranty sr. |  |
notes 8.00%, 3/15/26 | 305,000 | 329,797
CHS/Community Health Systems, Inc. 144A company guaranty sr. |  |
notes 6.00%, 1/15/29 | 10,000 | 10,575
CHS/Community Health Systems, Inc. 144A company guaranty sr. |  |
notes 5.625%, 3/15/27 | 45,000 | 47,025
CHS/Community Health Systems, Inc. 144A company guaranty sr. |  |
unsec. sub. notes 6.875%, 4/1/28 | 105,000 | 95,573
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.90%, 8/28/28 | 130,000 | 147,388
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 144A company |  |
guaranty sr. notes 6.125%, 4/1/29 (Luxembourg) | 45,000 | 45,450
Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25 | 55,000 | 56,925
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 245,000 | 276,238
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 | 55,000 | 55,635
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A |  |
company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) | 55,000 | 54,725
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 | 60,000 | 60,300
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 155,000 | 166,346
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 | 40,000 | 39,042
Tenet Healthcare Corp. company guaranty sr. notes |  |
4.625%, 7/15/24 | 240,000 | 244,020
Tenet Healthcare Corp. 144A company guaranty notes |  |
6.25%, 2/1/27 | 28,000 | 29,564

42 Master Intermediate Income Trust

| Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. | amount | Value
Health care cont. |  |
Tenet Healthcare Corp. 144A company guaranty sr. notes |  |
7.50%, 4/1/25 | $30,000 | $32,390
Tenet Healthcare Corp. 144A company guaranty sr. notes |  |
5.125%, 11/1/27 | 235,000 | 245,740
Tenet Healthcare Corp. 144A company guaranty sr. notes |  |
4.875%, 1/1/26 | 339,000 | 352,343
Teva Pharmaceutical Finance Netherlands III BV company |  |
guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) | 200,000 | 224,700
Teva Pharmaceutical Finance Netherlands III BV company |  |
guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) | 200,000 | 213,000
|  | 4,135,548
Technology (0.9%) |  |
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 20,000 | 21,119
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 | 105,000 | 108,281
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes |  |
3.00%, 2/15/29 | 55,000 | 53,774
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A |  |
company guaranty sr. notes 6.02%, 6/15/26 | 260,000 | 307,670
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A |  |
company guaranty sr. unsec. notes 7.125%, 6/15/24 | 152,000 | 156,465
Diebold Nixdorf, Inc. company guaranty sr. unsec. sub. notes |  |
8.50%, 4/15/24 | 105,000 | 107,258
Diebold Nixdorf, Inc. 144A company guaranty sr. notes |  |
9.375%, 7/15/25 | 54,000 | 60,143
Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 | 33,000 | 35,234
Microchip Technology, Inc. 144A company guaranty sr. unsec. |  |
notes 4.25%, 9/1/25 | 119,000 | 124,309
Plantronics, Inc. 144A company guaranty sr. unsec. notes |  |
5.50%, 5/31/23 | 280,000 | 281,186
Plantronics, Inc. 144A company guaranty sr. unsec. notes |  |
4.75%, 3/1/29 | 155,000 | 152,288
Qorvo, Inc. 144A company guaranty sr. unsec. bonds |  |
3.375%, 4/1/31 | 55,000 | 53,894
SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes |  |
5.50%, 9/30/27 | 203,000 | 215,180
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A |  |
company guaranty sr. notes 5.75%, 6/1/25 | 45,000 | 47,531
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes |  |
4.00%, 3/1/29 | 90,000 | 88,650
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 | 170,000 | 173,631
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 | 120,000 | 121,480
Western Digital Corp. company guaranty sr. unsec. notes |  |
4.75%, 2/15/26 | 44,000 | 48,508
|  | 2,156,601
Transportation (0.2%) |  |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company |  |
guaranty sr. notes 5.75%, 4/20/29 | 120,000 | 127,896
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company |  |
guaranty sr. notes 5.50%, 4/20/26 | 120,000 | 125,100
Delta Air Lines Inc/SkyMiles IP, Ltd. 144A company guaranty sr. |  |
notes 4.75%, 10/20/28 | 170,000 | 184,769
|  | 437,765

Master Intermediate Income Trust 43

| Principal |
CORPORATE BONDS AND NOTES (21.8%)* cont. | amount | Value
Utilities and power (0.7%) |  |
AES Corp. (The) 144A sr. unsec. notes 3.30%, 7/15/25 | $40,000 | $42,434
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 | 29,000 | 28,665
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 | 45,000 | 45,113
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 | 58,000 | 59,731
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 | 170,000 | 171,428
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 | 25,000 | 24,370
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 | 10,000 | 9,743
NRG Energy, Inc. company guaranty sr. unsec. notes |  |
7.25%, 5/15/26 | 94,000 | 97,760
NRG Energy, Inc. company guaranty sr. unsec. notes |  |
6.625%, 1/15/27 | 27,000 | 28,080
NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 | 102,000 | 110,753
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | 170,000 | 181,789
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 | 49,000 | 52,430
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. |  |
notes 2.95%, 3/1/26 | 110,000 | 113,265
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27 | 30,000 | 31,267
PG&E Corp. sr. sub. notes 5.00%, 7/1/28 | 105,000 | 110,930
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. |  |
escrow company guaranty sr. notes 11.50%, 10/1/21 F | 90,000 | 72
Vistra Operations Co., LLC 144A company guaranty sr. notes |  |
4.30%, 7/15/29 | 50,000 | 52,810
Vistra Operations Co., LLC 144A company guaranty sr. notes |  |
3.55%, 7/15/24 | 30,000 | 31,390
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes |  |
5.625%, 2/15/27 | 68,000 | 70,678
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes |  |
5.50%, 9/1/26 | 168,000 | 174,090
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. |  |
notes 5.00%, 7/31/27 | 75,000 | 77,348
|  | 1,514,146
Total corporate bonds and notes (cost $48,626,764) |  | $49,907,000
FOREIGN GOVERNMENT AND AGENCY | Principal |
BONDS AND NOTES (12.7%)* | amount | Value
Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, |  |
5/14/30 (Bahrain) | $960,000 | $1,065,593
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, |  |
6.50%, 2/15/23 (Argentina) (In default) † | 75,000 | 27,692
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, |  |
6/15/27 (Argentina) (In default) † | 2,140,000 | 801,934
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, |  |
1/26/22 (Argentina) (In default) † | 341,333 | 137,415
Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 3.00%, |  |
6/1/27 (Argentina) | 1,477,524 | 868,717
Cordoba (Province of) 144A sr. unsec. unsub. notes 3.00%, |  |
12/10/25 (Argentina) | 556,786 | 380,012
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, |  |
7.25%, 10/23/23 (Mongolia) | 340,000 | 367,200
Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 |  |
(Dominican Republic) | 56,667 | 56,808

44 Master Intermediate Income Trust

FOREIGN GOVERNMENT AND AGENCY |  | Principal |
BONDS AND NOTES (12.7%)* cont. |  | amount | Value
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, |  |  |
1/29/26 (Dominican Republic) |  | $661,000 | $763,455
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, |  |  |
7/19/28 (Dominican Republic) |  | 180,000 | 202,770
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, |  |  |
1/25/27 (Dominican Republic) |  | 284,000 | 316,660
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, |  |  |
1/27/25 (Dominican Republic) |  | 380,000 | 417,050
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 |  |  |
(Dominican Republic) |  | 260,000 | 262,600
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, |  |  |
1/27/25 (Dominican Republic) |  | 725,000 | 795,688
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, |  |  |
3/1/29 (Egypt) |  | 1,400,000 | 1,490,971
Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, |  |  |
6/11/25 (Egypt) |  | 600,000 | 633,744
Egypt (Arab Republic of) 144A sr. unsec. bonds 5.875%, |  |  |
2/16/31 (Egypt) |  | 720,000 | 673,992
Egypt (Arab Republic of) 144A sr. unsec. notes 5.75%, |  |  |
5/29/24 (Egypt) |  | 520,000 | 545,158
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, |  |  |
1/18/27 (El Salvador) |  | 378,000 | 373,842
El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, |  |  |
1/30/25 (El Salvador) |  | 300,000 | 300,000
Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.125%, |  |  |
3/26/32 (Ghana) |  | 1,800,000 | 1,734,750
Ghana (Republic of) 144A sr. unsec. notes 7.75%, 4/7/29 (Ghana) |  | 550,000 | 544,500
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, |  |  |
2/14/30 (Indonesia) |  | 379,000 | 385,831
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, |  |  |
1/8/26 (Indonesia) |  | 1,020,000 | 1,153,885
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, |  |  |
1/15/25 (Indonesia) |  | 360,000 | 394,647
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, |  |  |
1/8/26 (Indonesia) |  | 200,000 | 226,248
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, |  |  |
1/8/27 (Indonesia) |  | 650,000 | 728,016
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, |  |  |
4/15/23 (Indonesia) |  | 560,000 | 588,703
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, |  |  |
3/22/30 (Ivory Coast) | EUR | 1,345,000 | 1,626,982
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, |  |  |
3/3/28 (Ivory Coast) |  | $1,025,000 | 1,109,583
Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, |  |  |
7/23/24 (Ivory Coast) |  | 1,300,000 | 1,387,750
Kenya (Republic of) sr. unsec. notes Ser. REGS, 7.00%, |  |  |
5/22/27 (Kenya) |  | 710,000 | 754,375
Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, |  |  |
6/24/24 (Kenya) |  | 340,000 | 374,000
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, |  |  |
4/7/26 (Mongolia) |  | 270,000 | 287,552
Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, |  |  |
8/1/29 (Oman) |  | 499,000 | 518,940

Master Intermediate Income Trust 45

FOREIGN GOVERNMENT AND AGENCY | Principal |
BONDS AND NOTES (12.7%)* cont. | amount | Value
Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.25%, |  |
7/30/24 (Senegal) | $2,670,000 | $2,870,250
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 |  |
(South Africa) | 670,000 | 738,836
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 |  |
(South Africa) | 360,000 | 371,704
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, |  |
8/10/24 (Turkey) | 430,000 | 430,538
United Mexican States sr. unsec. unsub. bonds 3.25%, |  |
4/16/30 (Mexico) | 1,009,000 | 1,016,568
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
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, |  |
11/19/24 (Vietnam) | 910,000 | 1,017,965
Total foreign government and agency bonds and notes (cost $30,483,641) |  | $28,989,024
| Principal |
CONVERTIBLE BONDS AND NOTES (7.9%)* | amount | Value
Capital goods (0.1%) |  |
Middleby Corp. (The) 144A cv. sr. unsec. unsub. notes 1.00%, 9/1/25 | $165,000 | $232,547
|  | 232,547
Communication services (0.4%) |  |
Cable One, Inc. 144A company guaranty cv. sr. unsec. notes |  |
1.125%, 3/15/28 | 163,000 | 164,222
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | 363,000 | 348,952
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 | 38,000 | 48,381
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 | 79,000 | 91,403
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds |  |
2.75%, 12/1/49 | 188,000 | 194,956
|  | 847,914
Consumer cyclicals (1.6%) |  |
Alarm.com Holdings, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 | 110,000 | 102,025
Booking Holdings, Inc. 144A cv. sr. unsec. notes 0.75%, 5/1/25 | 257,000 | 377,790
Burlington Stores, Inc. 144A cv. sr. unsec. notes 2.25%, 4/15/25 | 185,000 | 277,847
Carnival Corp. 144A cv. company guaranty notes 5.75%, 4/1/23 | 10,000 | 28,060
Cinemark Holdings, Inc. 144A cv. sr. unsec. notes 4.50%, 8/15/25 | 50,000 | 83,313
DraftKings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 3/15/28 | 165,000 | 163,268
Expedia Group, Inc. 144A company guaranty cv. sr. unsec. unsub. |  |
notes zero %, 2/15/26 | 166,000 | 181,189
Ford Motor Co. 144A cv. sr. unsec. notes zero %, 3/15/26 | 218,000 | 220,180
FTI Consulting, Inc. cv. sr. unsec. notes 2.00%, 8/15/23 | 131,000 | 190,998
Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 | 21,000 | 20,051
Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 | 100,000 | 126,800
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 | 192,000 | 268,205
National Vision Holdings, Inc. 144A cv. sr. unsec. notes |  |
2.50%, 5/15/25 | 108,000 | 169,155
NCL Corp, Ltd. 144A cv. company guaranty notes 5.375%, 8/1/25 | 153,000 | 264,767

46 Master Intermediate Income Trust

| Principal |
CONVERTIBLE BONDS AND NOTES (7.9%)* cont. | amount | Value
Consumer cyclicals cont. |  |
Penn National Gaming, Inc. cv. sr. unsec. notes 2.75%, 5/15/26 | $5,000 | $22,550
RH cv. sr. unsec. notes zero %, 9/15/24 (acquired 3/18/21, cost |  |
$13,344) ∆∆ | 13,000 | 36,688
Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. notes |  |
2.875%, 11/15/23 | 312,000 | 405,288
Sabre GLBL, Inc. 144A cv. company guaranty sr. unsec. notes |  |
4.00%, 4/15/25 | 22,000 | 45,694
Shift4 Payments, Inc. 144A cv. sr. unsec. sub. notes |  |
zero %, 12/15/25 | 109,000 | 136,315
Square, Inc. 144A cv. sr. unsec. sub. notes 0.25%, 11/1/27 | 80,000 | 90,350
Square, Inc. 144A cv. sr. unsec. sub. notes zero %, 5/1/26 | 80,000 | 89,152
Vail Resorts, Inc. 144A cv. sr. unsec. sub. notes zero %, 1/1/26 | 146,000 | 149,396
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 | 83,000 | 114,955
|  | 3,564,036
Consumer staples (0.5%) |  |
Airbnb, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 | 160,000 | 167,040
Bloomin’ Brands, Inc. 144A cv. sr. unsec. notes 5.00%, 5/1/25 | 11,000 | 26,551
Chegg, Inc. 144A cv. sr. unsec. notes zero %, 9/1/26 | 111,000 | 119,325
Etsy, Inc. 144A cv. sr. unsec. notes 0.125%, 9/1/27 | 107,000 | 139,969
Lyft, Inc. 144A cv. sr. unsec. notes 1.50%, 5/15/25 | 137,000 | 242,490
Shake Shack, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 | 84,000 | 83,528
Uber Technologies, Inc. 144A cv. sr. unsec. notes zero %, 12/15/25 | 91,000 | 95,607
Wayfair, Inc. 144A cv. sr. unsec. notes 0.625%, 10/1/25 | 189,000 | 201,758
|  | 1,076,268
Energy (0.3%) |  |
Enphase energy, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 | 156,000 | 143,906
Pioneer Natural Resources Co. 144A cv. sr. unsec. notes |  |
0.25%, 5/15/25 | 251,000 | 393,066
SolarEdge Technologies, Inc. 144A cv. sr. unsec. notes zero %, |  |
9/15/25 (Israel) | 72,000 | 91,944
Sunrun, Inc. 144A cv. sr. unsec. notes zero %, 2/1/26 | 87,000 | 78,141
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes |  |
0.50%, 1/30/23 | 96,000 | 71,837
|  | 778,894
Financials (0.3%) |  |
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes |  |
4.75%, 3/15/23 R | 108,000 | 110,570
Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. |  |
notes 3.25%, 3/15/22 | 82,000 | 89,022
IH Merger Sub, LLC cv. company guaranty sr. unsec. notes |  |
3.50%, 1/15/22 R | 96,000 | 135,720
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. |  |
unsec. notes 0.25%, 5/1/23 | 109,000 | 120,718
LendingTree, Inc. 144A cv. sr. unsec. notes 0.50%, 7/15/25 | 97,000 | 87,967
Redfin Corp. 144A cv. sr. unsec. notes zero %, 10/15/25 | 135,000 | 157,866
|  | 701,863
Health care (1.2%) |  |
1Life Healthcare, Inc. 144A cv. sr. unsec. notes 3.00%, 6/15/25 | 122,000 | 145,558
BioMarin Pharmaceutical, Inc. 144A cv. sr. unsec. sub. notes |  |
1.25%, 5/15/27 | 91,000 | 89,235

Master Intermediate Income Trust 47

| Principal |
CONVERTIBLE BONDS AND NOTES (7.9%)* cont. | amount | Value
Health care cont. |  |
CONMED Corp. cv. sr. unsec. notes 2.625%, 2/1/24 | $93,000 | $145,370
DexCom, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 11/15/25 | 141,000 | 138,444
Envista Holdings Corp. 144A cv. sr. unsec. notes 2.375%, 6/1/25 | 29,000 | 59,343
Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 | 315,000 | 430,763
Guardant Health, Inc. 144A cv. sr. unsec. sub. notes |  |
zero %, 11/15/27 | 169,000 | 216,743
Halozyme Therapeutics, Inc. 144A cv. sr. unsec. notes |  |
0.25%, 3/1/27 | 156,000 | 142,058
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 | 118,000 | 156,804
Integra LifeSciences Holdings Corp. cv. sr. unsec. notes 0.50%, |  |
8/15/25 (acquired 2/16/21, cost $50,000) ∆∆ | 114,000 | 126,757
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 | 77,000 | 86,913
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 0.75%, 6/15/24 | 77,000 | 84,552
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes |  |
1.50%, 8/15/24 (Ireland) | 152,000 | 164,255
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28 | 115,000 | 115,704
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 | 42,000 | 56,464
Nevro Corp. cv. sr. unsec. unsub. notes 1.75%, 6/1/21 | 50,000 | 72,981
Novocure, Ltd. 144A cv. sr. unsec. notes zero %, 11/1/25 (Jersey) | 66,000 | 73,054
Omnicell, Inc. 144A cv. sr. unsec. notes 0.25%, 9/15/25 | 72,000 | 102,600
Pacira Pharmaceuticals, Inc. 144A cv. sr. unsec. notes |  |
0.75%, 8/1/25 | 135,000 | 163,526
Revance Therapeutics, Inc. cv. sr. unsec. notes 1.75%, 2/15/27 |  |
(acquired 2/16/21, cost $72,760) ∆∆ | 73,000 | 81,808
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 | 64,000 | 70,118
Teladoc Health, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 6/1/27 | 104,000 | 115,575
|  | 2,838,625
Technology (2.8%) |  |
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 | 315,000 | 341,578
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 | 111,000 | 134,241
Bentley Systems, Inc. 144A cv. sr. unsec. notes 0.125%, 1/15/26 | 84,000 | 86,819
Bill.com Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/25 | 153,000 | 182,070
Blackline, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 | 179,000 | 173,742
Box, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 | 110,000 | 124,506
Ceridian HCM Holding, Inc. 144A cv. sr. unsec. notes 0.25%, 3/15/26 | 163,000 | 156,888
Coupa Software, Inc. 144A cv. sr. unsec. notes 0.375%, 6/15/26 | 164,000 | 185,320
Cree, Inc. 144A cv. sr. unsec. unsub. notes 1.75%, 5/1/26 | 20,000 | 47,238
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel) | 90,000 | 97,029
Datadog, Inc. 144A cv. sr. unsec. notes 0.125%, 6/15/25 | 126,000 | 148,759
Envestnet, Inc. 144A cv. company guaranty sr. unsec. notes |  |
0.75%, 8/15/25 | 93,000 | 92,651
Everbridge, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 | 120,000 | 117,000
Five9, Inc. 144A cv. sr. unsec. notes 0.50%, 6/1/25 | 86,000 | 114,810
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 | 107,000 | 120,375
HubSpot, Inc. 144A cv. sr. unsec. notes 0.375%, 6/1/25 | 53,000 | 90,994
Inphi Corp. 144A cv. sr. unsec. notes 0.75%, 4/15/25 | 101,000 | 153,583
j2 Global, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 | 92,000 | 107,813
LivePerson, Inc. 144A cv. sr. unsec. notes zero %, 12/15/26 | 89,000 | 89,668
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 | 276,000 | 321,016

48 Master Intermediate Income Trust

| Principal |
CONVERTIBLE BONDS AND NOTES (7.9%)* cont. | amount | Value
Technology cont. |  |
Microchip Technology, Inc. cv. sr. unsec. sub. notes |  |
1.625%, 2/15/27 | $23,000 | $52,325
Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 | 13,000 | 29,588
Okta, Inc. 144A cv. sr. unsec. notes 0.375%, 6/15/26 | 151,000 | 176,104
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. |  |
notes 1.625%, 10/15/23 | 79,000 | 163,777
Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.375%, 6/1/25 | 584,000 | 721,240
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25, |  |
(acquired 3/1/21, cost $50,000) ∆∆ | 72,000 | 78,570
Proofpoint, Inc. cv. sr. unsec. notes 0.25%, 8/15/24 | 140,000 | 149,363
Q2 Holdings, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/1/26 | 59,000 | 76,883
Rapid7, Inc. 144A cv. sr. unsec. notes 2.25%, 5/1/25 | 62,000 | 87,848
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 (acquired |  |
3/11/21, cost $132,000) ∆∆ | 168,000 | 184,065
Silicon Laboratories, Inc. 144A cv. sr. unsec. notes 0.625%, 6/15/25 | 76,000 | 99,659
Snap, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/26 | 10,000 | 23,581
Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 6/15/27 | 337,000 | 319,518
Synaptics, Inc. cv. sr. unsec. notes 0.50%, 6/15/22 | 32,000 | 58,960
Twilio, Inc. cv. sr. unsec. notes 0.25%, 6/1/23 | 8,000 | 38,344
Twitter, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 | 379,000 | 358,155
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 | 116,000 | 152,613
Zendesk, Inc. 144A cv. sr. unsec. notes 0.625%, 6/15/25 | 199,000 | 274,739
Zscaler, Inc. 144A cv. sr. unsec. notes 0.125%, 7/1/25 | 165,000 | 219,945
Zynga, Inc. 144A cv. sr. unsec. unsub. notes zero %, 12/15/26 | 234,000 | 248,186
|  | 6,399,563
Transportation (0.6%) |  |
Air Transport Services Group, Inc. cv. sr. unsec. notes |  |
1.125%, 10/15/24 | 78,000 | 87,165
American Airlines Group, Inc. cv. company guaranty notes |  |
6.50%, 7/1/25 | 232,000 | 398,460
JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26 | 149,000 | 163,721
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 | 375,000 | 643,828
|  | 1,293,174
Utilities and power (0.1%) |  |
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. |  |
notes zero %, 11/15/25 | 125,000 | 133,984
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds |  |
2.75%, 6/1/48 | 129,000 | 150,263
|  | 284,247
Total convertible bonds and notes (cost $15,951,312) |  | $18,017,131
| Principal |
SENIOR LOANS (3.4%)*c | amount | Value
Basic materials (0.4%) |  |
Alpha 3 BV bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month |  |
+ 2.50%), 3.00%, 3/5/28 | $70,000 | $69,738
Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month |  |
+ 3.00%), 3.109%, 9/6/24 | 30,350 | 30,170
Messer Industries USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 2.50%), 2.703%, 3/1/26 | 103,485 | 102,580

Master Intermediate Income Trust 49

| Principal |
SENIOR LOANS (3.4%)*c cont. | amount | Value
Basic materials cont. |  |
Pisces Midco, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 3.75%), 3.856%, 4/12/25 | $54,028 | $53,879
PQ Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month |  |
+ 2.25%), 2.462%, 2/7/27 | 24,149 | 23,951
Solenis International, LLC bank term loan FRN (BBA LIBOR USD |  |
3 Month + 8.50%), 8.69%, 6/26/26 | 85,000 | 85,035
Solenis International, LLC bank term loan FRN (BBA LIBOR USD |  |
3 Month + 4.00%), 4.19%, 6/26/25 | 142,127 | 141,594
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 2.75%), 2.86%, 10/1/25 | 214,846 | 211,354
TAMKO Building Products, Inc. bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.25%), 3.365%, 5/31/26 | 145,000 | 144,184
W.R. Grace & Co./CT bank term loan FRN Ser. B3, (1 Month |  |
US LIBOR + 2.00%), 2.107%, 3/30/28 | 135,000 | 133,988
|  | 996,473
Capital goods (0.8%) |  |
American Axle and Manufacturing, Inc. bank term loan FRN |  |
(BBA LIBOR USD 3 Month + 2.25%), 3.00%, 4/6/24 | 24,953 | 24,756
Berry Global Group, Inc. bank term loan FRN Ser. BZ, (BBA LIBOR |  |
USD 3 Month + 1.75%), 1.898%, 7/1/26 | 124,688 | 123,480
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month |  |
+ 3.25%), 3.443%, 4/3/24 | 351,313 | 343,094
Filtration Group Corp. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 3.75%), 4.50%, 3/29/25 | 69,650 | 69,528
Gates Global, LLC bank term loan FRN (BBA LIBOR USD 3 Month |  |
+ 2.75%), 3.50%, 3/31/27 | 59,850 | 59,663
GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 3.00%), 3.50%, 5/31/25 | 196,788 | 196,718
Harsco Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month |  |
+ 2.25%), 2.75%, 3/5/28 | 100,000 | 99,125
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR |  |
USD 3 Month + 2.75%), 2.859%, 2/5/23 | 52,847 | 52,665
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month |  |
+ 5.00%), 5.205%, 4/12/26 | 88,524 | 86,394
Titan Acquisition, Ltd./United Kingdom bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.00%), 3.267%, 3/28/25 | 220,184 | 215,551
Vertical US Newco, Inc. bank term loan FRN Ser. B, (1 Month |  |
US LIBOR + 4.25%), 4.478%, 7/31/27 | 208,951 | 209,213
Vertiv Group Corp. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 2.75%), 2.869%, 3/2/27 | 405,908 | 402,737
|  | 1,882,924
Communication services (0.2%) |  |
Asurion, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month |  |
+ 3.00%), 3.109%, 11/3/24 | 150,016 | 149,360
Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, |  |
(BBA LIBOR USD 3 Month + 3.75%), 8.00%, 11/27/23 | 275,000 | 279,010
Zayo Group Holdings, Inc. bank term loan FRN (1 Month US LIBOR |  |
+ 3.00%), 3.109%, 3/9/27 | 57,901 | 57,384
|  | 485,754

50 Master Intermediate Income Trust

| Principal |
SENIOR LOANS (3.4%)*c cont. | amount | Value
Consumer cyclicals (0.9%) |  |
AppleCaramel Buyer, LLC bank term loan FRN (BBA LIBOR USD |  |
3 Month + 4.00%), 4.50%, 10/19/27 | $89,775 | $89,538
Cengage Learning, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 4.25%), 5.25%, 6/7/23 | 75,000 | 74,170
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.50%), 3.712%, 8/21/26 | 233,725 | 224,459
Cornerstone Building Brands, Inc. bank term loan FRN Ser. B, |  |
(1 Month US LIBOR + 3.25%), 3.449%, 4/12/28 | 100,000 | 99,563
CPG International, Inc. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 2.50%), 3.25%, 5/5/24 | 100,227 | 100,076
Diamond Sports Group, LLC bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.25%), 3.36%, 8/24/26 | 98,500 | 68,868
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 4.75%), 5.75%, 10/30/26 | 82,448 | 82,418
Golden Nugget, LLC bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 2.50%), 3.25%, 10/4/23 | 84,804 | 83,426
Gray Television, Inc. bank term loan FRN Ser. C, (BBA LIBOR USD |  |
3 Month + 2.50%), 2.615%, 11/2/25 | 81,122 | 80,463
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 4.00%), 4.75%, 5/1/26 | 79,400 | 78,259
iHeartCommunications, Inc. bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.00%), 3.109%, 5/1/26 | 49,375 | 48,749
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month |  |
+ 3.50%), 3.62%, 11/6/24 | 345,477 | 345,218
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 2.50%), 2.615%, 9/19/26 | 125,098 | 124,048
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 8.00%), 9.00%, 2/28/26 | 100,000 | 85,750
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 3.50%), 4.50%, 2/28/25 | 158,260 | 148,171
Scientific Games International, Inc. bank term loan FRN Ser. B5, |  |
(BBA LIBOR USD 3 Month + 2.75%), 2.859%, 8/14/24 | 63,848 | 62,531
Terrier Media Buyer, Inc. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 3.50%), 3.609%, 12/17/26 | 123,565 | 122,349
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 4.00%), 5.00%, 7/24/24 | 186,589 | 185,190
|  | 2,103,246
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 | 268,711 | 267,703
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR |  |
USD 3 Month + 4.25%), 5.25%, 6/21/24 | 389,537 | 382,903
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 3.25%), 4.25%, 12/15/27 | 39,900 | 39,772
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 2.75%), 2.953%, 2/5/25 | 97,980 | 97,105
|  | 787,483

Master Intermediate Income Trust 51

| Principal |
SENIOR LOANS (3.4%)*c cont. | amount | Value
Financials (0.1%) |  |
Forest City Enterprises LP bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 3.50%), 3.609%, 12/7/25 | $125,000 | $122,000
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 3.25%), 4.00%, 4/25/25 | 44,439 | 44,387
|  | 166,387
Health care (0.3%) |  |
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR |  |
USD 3 Month + 1.75%), 1.865%, 2/4/27 | 63,108 | 62,218
Enterprise Merger Sub, Inc. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 3.75%), 3.859%, 10/10/25 | 104,733 | 89,998
Global Medical Response, Inc. bank term loan FRN (BBA LIBOR |  |
USD 3 Month + 4.75%), 5.75%, 10/2/25 | 234,413 | 233,533
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, |  |
(BBA LIBOR USD 3 Month + 3.25%), 3.359%, 6/30/25 | 126,435 | 126,158
Quorum Health Corp. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 8.25%), 9.25%, 4/29/25 | 104,645 | 106,214
|  | 618,121
Technology (0.2%) |  |
Boxer Parent Co., Inc. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 3.75%), 3.859%, 10/2/25 | 184,471 | 183,527
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 3.25%), 4.00%, 7/30/27 | 94,525 | 94,200
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR |  |
USD 3 Month + 4.00%), 4.75%, 10/8/27 | 90,000 | 89,933
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD |  |
3 Month + 2.50%), 2.615%, 7/2/25 | 154,455 | 152,221
|  | 519,881
Transportation (0.1%) |  |
Aadvantage Loyalty LP, Ltd. bank term loan FRN (1 Month US LIBOR |  |
+ 4.75%), 5.50%, 3/10/28 (Cayman Islands) | 55,000 | 56,208
Genesee & Wyoming, Inc. bank term loan FRN (BBA LIBOR USD |  |
3 Month + 2.00%), 2.203%, 11/5/26 | 64,350 | 64,109
|  | 120,317
Total senior loans (cost $7,707,080) |  | $7,680,586

PURCHASED SWAP OPTIONS OUTSTANDING (3.3%)* |  |  |
Counterparty |  | Notional/ |
Fixed right % to receive or (pay)/ | Expiration | contract |
Floating rate index/Maturity date | date/strike | amount | Value
Bank of America N.A. |  |  |
(1.185)/3 month USD-LIBOR-BBA/Dec-25 | Dec-23/1.185 | $18,054,200 | $267,924
0.485/3 month USD-LIBOR-BBA/Jan-25 | Jan-24/0.485 | 18,054,200 | 14,082
Barclays Bank PLC |  |  |
(1.08)/3 month USD-LIBOR-BBA/Jun-26 |  |  |
(United Kingdom) | Jun-21/1.08 | 89,742,200 | 771,783
Citibank, N.A. |  |  |
(2.023)/3 month USD-LIBOR-BBA/Jun-51 | Jun-21/2.023 | 1,426,100 | 85,209
(1.736)/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.736 | 5,913,900 | 57,838
1.736/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.736 | 5,913,900 | 29,806
(0.271)/3 month USD-LIBOR-BBA/Jun-23 | Jun-21/0.271 | 17,113,400 | 27,724

52 Master Intermediate Income Trust

PURCHASED SWAP OPTIONS OUTSTANDING (3.3%)* cont. |  |  |
Counterparty |  |  | Notional/ |
Fixed right % to receive or (pay)/ | Expiration |  | contract |
Floating rate index/Maturity date | date/strike |  | amount | Value
Citibank, N.A. cont. |  |  |  |
0.915/3 month USD-LIBOR-BBA/Jul-31 | Jul-21/0.915 |  | $5,802,300 | $1,218
1.13/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.13 |  | 11,836,600 | 237
Goldman Sachs International |  |  |  |
2.988/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 |  | 3,156,500 | 238,537
(2.988)/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 |  | 3,156,500 | 155,142
(1.62)/3 month USD-LIBOR-BBA/Aug-31 | Aug-21/1.62 |  | 4,365,200 | 140,603
(2.983)/3 month USD-LIBOR-BBA/May-52 | May-22/2.983 |  | 5,508,200 | 132,748
1.065/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.065 |  | 11,604,600 | 12
JPMorgan Chase Bank N.A. |  |  |  |
(1.167)/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.167 |  | 40,484,000 | 2,351,716
2.795/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 |  | 3,169,000 | 207,284
2.7575/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 |  | 3,169,000 | 202,024
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 |  | 3,169,000 | 177,274
(2.795)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 |  | 3,169,000 | 172,869
Morgan Stanley & Co. International PLC |  |  |  |
3.00/3 month USD-LIBOR-BBA/Apr-72 | Apr-47/3.00 |  | 3,150,300 | 538,827
3.00/3 month USD-LIBOR-BBA/Feb-73 | Feb-48/3.00 |  | 3,150,300 | 532,117
2.75/3 month USD-LIBOR-BBA/May-73 | May-48/2.75 |  | 3,150,300 | 444,318
(1.613)/3 month USD-LIBOR-BBA/Aug-34 | Aug-24/1.613 |  | 3,902,100 | 385,879
1.613/3 month USD-LIBOR-BBA/Aug-34 | Aug-24/1.613 |  | 3,902,100 | 76,520
(2.904)/3 month USD-LIBOR-BBA/May-51 | May-21/2.904 |  | 2,360,700 | 2,172
Toronto-Dominion Bank |  |  |  |
(1.04)/3 month USD-LIBOR-BBA/Mar-55 (Canada) | Mar-25/1.04 |  | 588,000 | 191,035
UBS AG |  |  |  |
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 5,920,000 | 142,666
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 5,920,000 | 120,659
Total purchased swap options outstanding (cost $4,886,947) |  |  | $7,468,223

PURCHASED OPTIONS | Expiration |  |  |
OUTSTANDING (0.2%)* | date/strike | Notional | Contract |
Counterparty | price | amount | amount | Value
JPMorgan Chase Bank N.A. |  |  |  |
Uniform Mortgage-Backed |  |  |  |
Securities 30 yr 2.00% TBA |  |  |  |
commitments (Call) | May-21/$99.97 | $56,000,000 | $56,000,000 | $285,096
Uniform Mortgage-Backed |  |  |  |
Securities 30 yr 2.50% TBA |  |  |  |
commitments (Call) | May-21/102.78 | 21,000,000 | 21,000,000 | 75,936
Total purchased options outstanding (cost $448,438) |  |  | $361,032

| Principal |
ASSET-BACKED SECURITIES (0.9%)* | amount | Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, |  |
(BBA LIBOR USD 3 Month + 2.90%), 3.088%, 7/25/24 | $594,000 | $594,000
CarMax Auto Owner Trust Ser. 20-2, Class D, 6.87%, 5/17/27 | 800,000 | 893,168
LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, |  |
2.09%, 9/25/26 W | 133,000 | 132,987

Master Intermediate Income Trust 53

| Principal |
ASSET-BACKED SECURITIES (0.9%)* cont. | amount | Value
Mello Warehouse Securitization Trust 144A FRB Ser. 19-1, Class A, |  |
(1 Month US LIBOR + 0.80%), 0.909%, 6/25/52 | $164,000 | $163,898
RMF Buyout Issuance Trust 144A Ser. 20-2, Class M3, |  |
4.571%, 6/25/30 W | 209,000 | 211,006
Total asset-backed securities (cost $1,899,981) |  | $1,995,059
COMMON STOCKS (0.1%)* | Shares | Value
Advanz Pharma Corp., Ltd. (Canada) † | 985 | $16,745
CHC Group, LLC † | 5,182 | 104
iHeartMedia, Inc. Class A † | 6,510 | 118,157
MWO Holdings, LLC (Units) F | 73 | 186
Oasis Petroleum, Inc. | 378 | 22,449
Stearns Holdings, LLC Class B F | 6,776 | 16,195
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 9,820 | 10,311
Tribune Media Co. Class 1C | 40,066 | 4,007
Total common stocks (cost $560,418) |  | $188,154

| Principal amount/ |
SHORT-TERM INVESTMENTS (16.1%)* |  | shares | Value
Putnam Short Term Investment Fund 0.09% L | Shares | 14,963,287 | $14,963,287
State Street Institutional U.S. Government Money Market Fund, |  |  |
Premier Class 0.04% P | Shares | 330,000 | 330,000
U.S. Treasury Bills zero%, 5/20/21 i |  | $613,000 | 613,000
U.S. Treasury Bills zero%, 7/29/21 i |  | 302,000 | 301,970
U.S. Treasury Cash Management Bills 0.007%, 7/6/21 # ∆ § |  | 900,000 | 899,969
U.S. Treasury Bills 0.083%, 5/13/21 # ∆ § |  | 4,200,000 | 4,199,890
U.S. Treasury Bills 0.088%, 5/6/21 # ∆ |  | 1,843,000 | 1,842,969
U.S. Treasury Bills 0.079%, 4/15/21 # ∆ |  | 2,700,000 | 2,699,984
U.S. Treasury Bills 0.037%, 6/3/21 ∆ § |  | 5,000,000 | 4,999,847
U.S. Treasury Bills 0.039%, 6/10/21 ∆ § |  | 2,100,000 | 2,099,933
U.S. Treasury Cash Management Bills 0.041%, 6/1/21 ∆ § |  | 1,600,000 | 1,599,959
U.S. Treasury Bills 0.056%, 5/25/21 ∆ |  | 1,300,000 | 1,299,966
U.S. Treasury Cash Management Bills 0.023%, 7/20/21 ∆ |  | 800,000 | 799,956
U.S. Treasury Cash Management Bills 0.019%, 7/27/21 ∆ |  | 100,000 | 99,994
Total short-term investments (cost $36,749,846) |  |  | $36,750,724
TOTAL INVESTMENTS |  |  |
Total investments (cost $429,946,631) |  |  | $425,456,688

Key to holding’s currency abbreviations

AUD | Australian Dollar
CAD | Canadian Dollar
CHF | Swiss Franc
EUR | Euro
GBP | British Pound
JPY | Japanese Yen
NOK | Norwegian Krone
NZD | New Zealand Dollar
SEK | Swedish Krona

54 Master Intermediate Income Trust

Key to holding’s abbreviations

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

Notes to the fund’s portfolio

Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from October 1, 2020 through March 31, 2021 (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 $228,536,872.

† 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 $405,631, or 0.18% 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 $506,991 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 $16,379,840 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 $3,220,989 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).

## Forward commitment, in part or in entirety (Note 1).

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).

Master Intermediate Income Trust 55

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

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

R Real Estate Investment Trust.

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

At the close of the reporting period, the fund maintained liquid assets totaling $191,805,812 to cover certain derivative contracts, delayed delivery securities and the settlement of certain securities.

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

Debt obligations are considered secured unless otherwise indicated.

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

See Note 1 to the financial statements regarding TBA commitments.

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

FORWARD CURRENCY CONTRACTS at 3/31/21 (aggregate face value $158,279,212) (Unaudited)
|  |  |  |  |  | Unrealized
|  | Contract | Delivery |  | Aggregate | appreciation/
Counterparty | Currency | type* | date | Value | face value | (depreciation)
Bank of America N.A. |  |  |  |  |
| Australian Dollar | Sell | 4/21/21 | $1,423,682 | $1,430,299 | $6,617
| Canadian Dollar | Buy | 4/21/21 | 375,048 | 377,473 | (2,425)
| Euro | Buy | 6/16/21 | 2,161,938 | 2,190,736 | (28,798)
| Hong Kong Dollar | Sell | 5/20/21 | 1,056,837 | 1,059,956 | 3,119
| Japanese Yen | Buy | 5/19/21 | 1,396,537 | 1,473,625 | (77,088)
| New Zealand Dollar | Sell | 4/21/21 | 413,235 | 429,468 | 16,233
| Norwegian Krone | Buy | 6/16/21 | 387,550 | 389,879 | (2,329)
| Swiss Franc | Buy | 6/16/21 | 471,630 | 474,896 | (3,266)
Barclays Bank PLC |  |  |  |  |  |
| British Pound | Sell | 6/16/21 | 269,850 | 273,772 | 3,922
| Canadian Dollar | Sell | 4/21/21 | 963,363 | 955,296 | (8,067)
| Euro | Sell | 6/16/21 | 4,076,771 | 4,131,887 | 55,116
| Japanese Yen | Buy | 5/19/21 | 1,332,156 | 1,405,410 | (73,254)
| New Zealand Dollar | Sell | 4/21/21 | 151,340 | 157,296 | 5,956
Citibank, N.A. |  |  |  |  |  |
| Australian Dollar | Sell | 4/21/21 | 740,403 | 757,130 | 16,727
| British Pound | Sell | 6/16/21 | 2,875,411 | 2,917,206 | 41,795
| Canadian Dollar | Buy | 4/21/21 | 747,470 | 749,823 | (2,353)
| Euro | Sell | 6/16/21 | 2,124,003 | 2,152,699 | 28,696
| Hong Kong Dollar | Sell | 5/20/21 | 251,274 | 252,013 | 739
| Japanese Yen | Buy | 5/19/21 | 576,833 | 608,799 | (31,966)
| New Zealand Dollar | Sell | 4/21/21 | 536,431 | 567,729 | 31,298
Credit Suisse International |  |  |  |  |
| Australian Dollar | Buy | 4/21/21 | 734,098 | 753,610 | (19,512)
| British Pound | Sell | 6/16/21 | 1,292,163 | 1,309,906 | 17,743
| Canadian Dollar | Sell | 4/21/21 | 1,135,171 | 1,122,865 | (12,306)

56 Master Intermediate Income Trust

FORWARD CURRENCY CONTRACTS at 3/31/21 (aggregate face value $158,279,212) (Unaudited) cont.
|  |  |  |  |  | Unrealized
|  | Contract | Delivery |  | Aggregate | appreciation/
Counterparty | Currency | type* | date | Value | face value | (depreciation)
Credit Suisse International cont. |  |  |  |  |
| Euro | Sell | 6/16/21 | $1,284,972 | $1,304,025 | $19,053
| New Zealand Dollar | Buy | 4/21/21 | 237,312 | 246,676 | (9,364)
Goldman Sachs International |  |  |  |  |
| Australian Dollar | Buy | 4/21/21 | 483,119 | 530,996 | (47,877)
| British Pound | Sell | 6/16/21 | 342,655 | 342,037 | (618)
| Canadian Dollar | Buy | 4/21/21 | 6,186,422 | 6,155,733 | 30,689
| Euro | Sell | 6/16/21 | 1,469,362 | 1,497,075 | 27,713
| Japanese Yen | Sell | 5/19/21 | 2,075,955 | 2,120,803 | 44,848
| New Zealand Dollar | Sell | 4/21/21 | 4,305,201 | 4,485,011 | 179,810
| Norwegian Krone | Buy | 6/16/21 | 3,179,209 | 3,191,925 | (12,716)
| Swedish Krona | Buy | 6/16/21 | 305,485 | 307,263 | (1,778)
| Swiss Franc | Sell | 6/16/21 | 463,149 | 477,299 | 14,150
HSBC Bank USA, National Association |  |  |  |  |
| Australian Dollar | Buy | 4/21/21 | 1,018,272 | 1,043,941 | (25,669)
| British Pound | Buy | 6/16/21 | 206,421 | 209,257 | (2,836)
| Canadian Dollar | Buy | 4/21/21 | 768,160 | 765,367 | 2,793
| Euro | Buy | 6/16/21 | 2,232,288 | 2,259,625 | (27,337)
| Hong Kong Dollar | Sell | 5/20/21 | 1,939,280 | 1,944,983 | 5,703
| Japanese Yen | Buy | 5/19/21 | 1,488,838 | 1,570,977 | (82,139)
| New Zealand Dollar | Sell | 4/21/21 | 657,321 | 683,132 | 25,811
JPMorgan Chase Bank N.A. |  |  |  |  |
| Australian Dollar | Buy | 4/21/21 | 737,061 | 747,307 | (10,246)
| British Pound | Sell | 6/16/21 | 820,857 | 832,792 | 11,935
| Canadian Dollar | Sell | 4/21/21 | 2,229,678 | 2,195,117 | (34,561)
| Euro | Buy | 6/16/21 | 2,512,161 | 2,546,495 | (34,334)
| Japanese Yen | Buy | 5/19/21 | 338,393 | 346,587 | (8,194)
| New Zealand Dollar | Sell | 4/21/21 | 1,783,329 | 1,834,394 | 51,065
| Norwegian Krone | Buy | 6/16/21 | 312,084 | 311,161 | 923
| Swedish Krona | Sell | 6/16/21 | 188,113 | 194,904 | 6,791
| Swiss Franc | Buy | 6/16/21 | 2,968 | 3,887 | (919)
Morgan Stanley & Co. International PLC |  |  |  |
| Australian Dollar | Buy | 4/21/21 | 3,544,089 | 3,634,201 | (90,112)
| British Pound | Buy | 6/16/21 | 519,430 | 522,327 | (2,897)
| Canadian Dollar | Buy | 4/21/21 | 1,191,273 | 1,190,826 | 447
| Euro | Buy | 6/16/21 | 2,350,086 | 2,383,311 | (33,225)
| Japanese Yen | Buy | 5/19/21 | 4,343,889 | 4,540,512 | (196,623)
| New Zealand Dollar | Buy | 4/21/21 | 1,335,245 | 1,388,084 | (52,839)
| Swedish Krona | Sell | 6/16/21 | 2,012,189 | 2,074,010 | 61,821
| Swiss Franc | Buy | 6/16/21 | 54,382 | 56,052 | (1,670)
NatWest Markets PLC |  |  |  |  |
| Australian Dollar | Buy | 4/21/21 | 757,723 | 806,676 | (48,953)
| British Pound | Buy | 6/16/21 | 1,723,758 | 1,749,314 | (25,556)
| Canadian Dollar | Sell | 4/21/21 | 1,334,671 | 1,301,148 | (33,523)
| Euro | Buy | 6/16/21 | 206,235 | 211,269 | (5,034)
| Japanese Yen | Sell | 5/19/21 | 25,411 | 25,329 | (82)
| New Zealand Dollar | Sell | 4/21/21 | 2,767,216 | 2,867,546 | 100,330

Master Intermediate Income Trust 57

FORWARD CURRENCY CONTRACTS at 3/31/21 (aggregate face value $158,279,212) (Unaudited) cont.
|  |  |  |  |  | Unrealized
|  | Contract | Delivery |  | Aggregate | appreciation/
Counterparty | Currency | type* | date | Value | face value | (depreciation)
State Street Bank and Trust Co. |  |  |  |  |
| Australian Dollar | Sell | 4/21/21 | $5,054,748 | $5,142,168 | $87,420
| British Pound | Sell | 6/16/21 | 6,239,503 | 6,349,144 | 109,641
| Canadian Dollar | Sell | 4/21/21 | 1,663,484 | 1,543,279 | (120,205)
| Euro | Sell | 6/16/21 | 8,398,298 | 8,502,784 | 104,486
| Hong Kong Dollar | Sell | 5/20/21 | 4,137,579 | 4,149,580 | 12,001
| Japanese Yen | Sell | 5/19/21 | 6,078,889 | 6,388,006 | 309,117
| New Zealand Dollar | Sell | 4/21/21 | 2,430,663 | 2,507,971 | 77,308
| Norwegian Krone | Sell | 6/16/21 | 380,056 | 384,446 | 4,390
| Swedish Krona | Sell | 6/16/21 | 318,719 | 322,992 | 4,273
| Swiss Franc | Buy | 6/16/21 | 1,104,498 | 1,145,327 | (40,829)
Toronto-Dominion Bank |  |  |  |  |
| Australian Dollar | Buy | 4/21/21 | 739,263 | 758,016 | (18,753)
| British Pound | Buy | 6/16/21 | 117,757 | 119,127 | (1,370)
| Canadian Dollar | Buy | 4/21/21 | 421,362 | 443,806 | (22,444)
| Euro | Sell | 6/16/21 | 4,847,684 | 4,913,330 | 65,646
| Hong Kong Dollar | Sell | 5/20/21 | 234,292 | 234,974 | 682
| Japanese Yen | Buy | 5/19/21 | 814,036 | 862,556 | (48,520)
| New Zealand Dollar | Buy | 4/21/21 | 7,543 | 7,839 | (296)
| Norwegian Krone | Buy | 6/16/21 | 1,149,240 | 1,152,602 | (3,362)
| Swiss Franc | Sell | 6/16/21 | 375,586 | 382,593 | 7,007
UBS AG |  |  |  |  |  |
| Australian Dollar | Sell | 4/21/21 | 3,033,472 | 3,106,137 | 72,665
| British Pound | Sell | 6/16/21 | 526,325 | 545,280 | 18,955
| Canadian Dollar | Buy | 4/21/21 | 866,120 | 869,014 | (2,894)
| Euro | Buy | 6/16/21 | 3,678,630 | 3,726,709 | (48,079)
| Hong Kong Dollar | Sell | 5/20/21 | 957,457 | 960,236 | 2,779
| Japanese Yen | Buy | 5/19/21 | 4,976,237 | 5,163,219 | (186,982)
| New Zealand Dollar | Sell | 4/21/21 | 3,009,975 | 3,119,823 | 109,848
| Norwegian Krone | Buy | 6/16/21 | 55,685 | 58,205 | (2,520)
| Swedish Krona | Buy | 6/16/21 | 2,748,987 | 2,823,724 | (74,737)
| Swiss Franc | Sell | 6/16/21 | 1,119,339 | 1,133,422 | 14,083
WestPac Banking Corp. |  |  |  |  |
| Australian Dollar | Buy | 4/21/21 | 107,259 | 108,757 | (1,498)
| British Pound | Sell | 6/16/21 | 106,864 | 108,458 | 1,594
| Canadian Dollar | Buy | 4/21/21 | 1,111,298 | 1,124,971 | (13,673)
| Euro | Sell | 6/16/21 | 770,913 | 770,885 | (28)
| Japanese Yen | Sell | 5/19/21 | 192,940 | 207,962 | 15,022
| New Zealand Dollar | Sell | 4/21/21 | 2,236,653 | 2,300,723 | 64,070
Unrealized appreciation |  |  |  |  | 1,892,830
Unrealized (depreciation) |  |  |  |  | (1,636,656)
Total |  |  |  |  |  | $256,174

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

58 Master Intermediate Income Trust

FUTURES CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) |  |  |
|  |  |  |  | Unrealized
| Number of | Notional |  | Expiration | appreciation/
| contracts | amount | Value | date | (depreciation)
Euro-Bund 10 yr (Long) | 1 | $200,860 | $200,860 | Jun-21 | $(471)
U.S. Treasury Note 2 yr (Short) | 812 | 179,229,968 | 179,229,968 | Jun-21 | 169,759
U.S. Treasury Note 5 yr (Short) | 232 | 28,628,438 | 28,628,438 | Jun-21 | 37,795
U.S. Treasury Note Ultra 10 yr (Short) | 2 | 287,375 | 287,375 | Jun-21 | 10,496
Unrealized appreciation |  |  |  |  | 218,050
Unrealized (depreciation) |  |  |  |  | (471)
Total |  |  |  |  | $217,579

WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/21 (premiums $8,395,121) (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. |  |  |  |
0.985/3 month USD-LIBOR-BBA/Jan-25 | Jan-24/0.985 |  | $18,054,200 | $134,865
2.074/3 month USD-LIBOR-BBA/Dec-53 | Dec-23/2.074 |  | 1,444,300 | 205,986
Barclays Bank PLC |  |  |  |
(1.08)/3 month USD-LIBOR-BBA/Jun-26 | Jun-21/1.08 |  | 89,742,200 | 489,992
Citibank, N.A. |  |  |  |
(1.242)/3 month USD-LIBOR-BBA/Apr-51 | Apr-21/1.242 |  | 1,267,300 | 1
(0.93)/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/0.93 |  | 11,836,600 | 12
1.722/3 month USD-LIBOR-BBA/Jun-31 | Jun-21/1.722 |  | 7,130,600 | 130,490
(1.865)/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 |  | 3,799,800 | 134,361
1.415/3 month USD-LIBOR-BBA/Jul-31 | Jul-21/1.415 |  | 5,802,300 | 253,096
1.242/3 month USD-LIBOR-BBA/Apr-51 | Apr-21/1.242 |  | 1,267,300 | 281,746
1.865/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 |  | 3,799,800 | 367,289
Goldman Sachs International |  |  |  |
(1.165)/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.165 |  | 5,802,300 | 6
2.823/3 month USD-LIBOR-BBA/May-27 | May-22/2.823 |  | 22,032,800 | 70,725
1.722/6 month GBP-LIBOR-BBA/Feb-39 | Feb-29/1.722 | GBP | 2,049,600 | 145,206
1.465/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.465 |  | $5,802,300 | 174,417
1.564/3 month USD-LIBOR-BBA/May-31 | May-21/1.564 |  | 6,984,400 | 177,124
(1.722)/6 month GBP-LIBOR-BBA/Feb-39 | Feb-29/1.722 | GBP | 2,049,600 | 192,281
JPMorgan Chase Bank N.A. |  |  |  |
(1.167)/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.167 |  | $40,484,000 | 40
1.333/3 month USD-LIBOR-BBA/Jan-24 | Jan-23/1.333 |  | 4,270,500 | 6,918
(0.968)/3 month USD-LIBOR-BBA/Mar-35 | Mar-25/0.968 |  | 1,653,100 | 16,300
(1.07)/3 month USD-LIBOR-BBA/Mar-32 | Mar-27/1.07 |  | 2,639,000 | 21,323
(1.333)/3 month USD-LIBOR-BBA/Jan-24 | Jan-23/1.333 |  | 4,270,500 | 28,143
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 4,509,200 | 92,539
1.07/3 month USD-LIBOR-BBA/Mar-32 | Mar-27/1.07 |  | $2,639,000 | 203,441
3.229/3 month USD-LIBOR-BBA/Nov-33 | Nov-23/3.229 |  | 11,760,300 | 237,088
0.968/3 month USD-LIBOR-BBA/Mar-35 | Mar-25/0.968 |  | 1,653,100 | 247,172
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 4,509,200 | 631,010
(3.229)/3 month USD-LIBOR-BBA/Nov-33 | Nov-23/3.229 |  | $11,760,300 | 1,107,585

Master Intermediate Income Trust 59

WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/21 (premiums $8,395,121) (Unaudited) cont. |
Counterparty |  | Notional/ |
Fixed Obligation % to receive or (pay)/ | Expiration | contract |
Floating rate index/Maturity date | date/strike | amount | Value
Morgan Stanley & Co. International PLC |  |  |
2.664/3 month USD-LIBOR-BBA/May-26 | May-21/2.664 | $9,442,600 | $94
(1.512)/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 | 3,902,100 | 51,157
3.01/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 | 1,621,300 | 67,916
2.97/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 | 1,621,300 | 69,732
(2.97)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 | 1,621,300 | 117,236
(3.01)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 | 1,621,300 | 120,576
1.512/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 | 3,902,100 | 274,396
(2.75)/3 month USD-LIBOR-BBA/May-49 | May-25/2.75 | 3,150,300 | 391,519
(3.00)/3 month USD-LIBOR-BBA/Jan-49 | Jan-24/3.00 | 3,150,300 | 487,509
(3.00)/3 month USD-LIBOR-BBA/Apr-48 | Apr-23/3.00 | 3,150,300 | 491,195
Toronto-Dominion Bank |  |  |
(1.17)/3 month USD-LIBOR-BBA/Mar-55 | Mar-25/1.17 | 241,000 | 7,244
1.17/3 month USD-LIBOR-BBA/Mar-55 | Mar-25/1.17 | 482,100 | 145,392
1.05/3 month USD-LIBOR-BBA/Mar-27 | Mar-25/1.05 | 7,756,000 | 199,872
UBS AG |  |  |
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 | 4,407,800 | 147,617
1.9875/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 | 4,407,800 | 391,986
Total |  |  | $8,312,597

WRITTEN OPTIONS OUTSTANDING at 3/31/21 (premiums $448,438) (Unaudited) |
| Expiration | Notional | Contract |
Counterparty | date/strike price | amount | amount | Value
JPMorgan Chase Bank N.A. |  |  |  |
Uniform Mortgage-Backed |  |  |  |
Securities 30 yr 2.00% TBA |  |  |  |
commitments (Put) | May-21/$99.97 | $56,000,000 | $56,000,000 | $525,672
Uniform Mortgage-Backed |  |  |  |
Securities 30 yr 2.50% TBA |  |  |  |
commitments (Put) | May-21/102.78 | 21,000,000 | 21,000,000 | 168,609
Total |  |  |  | $694,281

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (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) | $531,878
(0.925)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/0.925 |  | 4,191,700 | (300,126) | 367,570
1.304/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 2,141,400 | (347,036) | 266,692
(1.275)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-50 (Purchased) | Mar-30/1.275 |  | $2,128,300 | (277,211) | 211,979

60 Master Intermediate Income Trust

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (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. |  |  |  |  |
(0.85)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/0.85 |  | $2,134,700 | $(155,833) | $194,706
(0.765)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Sep-31 (Purchased) | Sep-21/0.765 |  | 2,347,000 | (55,624) | 193,933
1.053/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 1,132,450 | (258,281) | 126,016
(1.76)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-29 (Purchased) | Jan-28/1.76 |  | $17,405,100 | (112,480) | 99,209
(2.3075)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-52 (Purchased) | Jun-22/2.3075 |  | 1,596,200 | (36,113) | 84,678
1.76/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-29 (Purchased) | Jan-28/1.76 |  | 17,405,100 | (112,480) | (34,462)
2.29/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-34 (Purchased) | Mar-24/2.29 |  | 5,120,200 | (251,841) | (43,010)
0.765/3 month USD-LIBOR-BBA/ |  |  |  |  |
Sep-31 (Purchased) | Sep-21/0.765 |  | 2,347,000 | (55,624) | (54,474)
(1.053)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 1,132,450 | (258,281) | (56,746)
(1.304)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 2,141,400 | (173,518) | (75,136)
0.85/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/0.85 |  | $2,134,700 | (155,833) | (100,971)
1.275/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-50 (Purchased) | Mar-30/1.275 |  | 2,128,300 | (277,211) | (157,090)
0.925/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/0.925 |  | 4,191,700 | (300,126) | (188,920)
(2.2275)/3 month USD-LIBOR-BBA/ |  |  |  |  |
May-24 (Purchased) | May-22/2.2275 |  | 25,327,500 | (233,646) | (226,428)
2.3075/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-52 (Purchased) | Jun-22/2.3075 |  | 1,596,200 | (750,495) | (627,913)
(1.115)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-26 (Written) | Jan-25/1.115 |  | 17,405,100 | 73,319 | 37,421
(1.29)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-34 (Written) | Mar-24/1.29 |  | 7,314,500 | 114,106 | 22,017
1.115/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-26 (Written) | Jan-25/1.115 |  | 17,405,100 | 73,319 | (114,526)
Barclays Bank PLC |  |  |  |  |
1.11125/6 month JPY-LIBOR-BBA/ |  |  |  |  |
Aug-43 (Purchased) | Aug-23/1.11125 | JPY | 119,084,000 | (60,235) | 66,218
(1.11125)/6 month JPY-LIBOR-BBA/ |  |  |  |  |
Aug-43 (Purchased) | Aug-23/1.11125 | JPY | 119,084,000 | (60,235) | (55,248)
Citibank, N.A. |  |  |  |  |
(1.46)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-51 (Purchased) | Apr-21/1.46 |  | $1,700,000 | (61,710) | 229,449
(0.462)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-26 (Purchased) | Jun-21/0.462 |  | 6,471,000 | (62,688) | 154,204

Master Intermediate Income Trust 61

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (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)
Citibank, N.A. cont. |  |  |  |
(1.007)/3 month USD-LIBOR-BBA/ |  |  |  |
Jun-31 (Purchased) | Jun-21/1.007 | $1,805,400 | $(29,202) | $110,003
(1.541)/3 month USD-LIBOR-BBA/ |  |  |  |
Apr-31 (Purchased) | Apr-21/1.541 | 5,802,300 | (52,801) | 80,884
(1.102)/3 month USD-LIBOR-BBA/ |  |  |  |
Nov-32 (Purchased) | Nov-22/1.102 | 866,600 | (27,536) | 64,839
(1.625)/3 month USD-LIBOR-BBA/ |  |  |  |
Jan-61 (Purchased) | Jan-41/1.625 | 1,936,700 | (285,663) | 57,714
(1.665)/3 month USD-LIBOR-BBA/ |  |  |  |
Apr-31 (Purchased) | Apr-21/1.665 | 5,730,300 | (50,713) | 38,450
2.689/3 month USD-LIBOR-BBA/ |  |  |  |
Nov-49 (Purchased) | Nov-24/2.689 | 934,000 | (120,253) | (6,305)
1.102/3 month USD-LIBOR-BBA/ |  |  |  |
Nov-32 (Purchased) | Nov-22/1.102 | 866,600 | (27,536) | (21,682)
1.007/3 month USD-LIBOR-BBA/ |  |  |  |
Jun-31 (Purchased) | Jun-21/1.007 | 1,805,400 | (29,202) | (28,959)
1.665/3 month USD-LIBOR-BBA/ |  |  |  |
Apr-31 (Purchased) | Apr-21/1.665 | 5,730,300 | (50,713) | (29,626)
(2.689)/3 month USD-LIBOR-BBA/ |  |  |  |
Nov-49 (Purchased) | Nov-24/2.689 | 934,000 | (120,253) | (40,750)
1.541/3 month USD-LIBOR-BBA/ |  |  |  |
Apr-31 (Purchased) | Apr-21/1.541 | 5,802,300 | (51,640) | (49,900)
1.625/3 month USD-LIBOR-BBA/ |  |  |  |
Jan-61 (Purchased) | Jan-41/1.625 | 1,936,700 | (285,663) | (53,492)
1.46/3 month USD-LIBOR-BBA/ |  |  |  |
Apr-51 (Purchased) | Apr-21/1.46 | 1,700,000 | (61,710) | (61,710)
0.462/3 month USD-LIBOR-BBA/ |  |  |  |
Jun-26 (Purchased) | Jun-21/0.462 | 6,471,000 | (62,688) | (61,927)
1.245/3 month USD-LIBOR-BBA/ |  |  |  |
Aug-24 (Written) | Aug-22/1.245 | 17,729,300 | 162,223 | 107,085
(1.918)/3 month USD-LIBOR-BBA/ |  |  |  |
Jan-51 (Written) | Jan-31/1.918 | 2,331,200 | 278,812 | 77,722
(0.991)/3 month USD-LIBOR-BBA/ |  |  |  |
Apr-31 (Written) | Apr-21/0.991 | 4,250,000 | 50,979 | 50,958
(1.177)/3 month USD-LIBOR-BBA/ |  |  |  |
Jul-40 (Written) | Jul-30/1.177 | 818,000 | 62,004 | 36,107
(1.245)/3 month USD-LIBOR-BBA/ |  |  |  |
Aug-24 (Written) | Aug-22/1.245 | 17,729,300 | 162,223 | (15,779)
1.177/3 month USD-LIBOR-BBA/ |  |  |  |
Jul-40 (Written) | Jul-30/1.177 | 818,000 | 62,004 | (55,395)
1.918/3 month USD-LIBOR-BBA/ |  |  |  |
Jan-51 (Written) | Jan-31/1.918 | 2,331,200 | 278,812 | (107,398)
0.991/3 month USD-LIBOR-BBA/ |  |  |  |
Apr-31 (Written) | Apr-21/0.991 | 4,250,000 | 50,979 | (264,775)

62 Master Intermediate Income Trust

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (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)
Goldman Sachs International |  |  |  |  |
(1.727)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-55 (Purchased) | Jan-25/1.727 |  | $1,382,700 | $(206,714) | $85,548
(0.955)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-26 (Purchased) | Apr-21/0.955 |  | 11,604,600 | (55,412) | 1,973
2.8175/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-47 (Purchased) | Mar-27/2.8175 |  | 739,600 | (93,375) | (318)
1.869/3 month USD-LIBOR-BBA/ |  |  |  |  |
Sep-31 (Purchased) | Sep-21/1.869 |  | 22,526,900 | (476,819) | (21,851)
(2.8175)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-47 (Purchased) | Mar-27/2.8175 |  | 739,600 | (93,375) | (28,556)
1.727/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-55 (Purchased) | Jan-25/1.727 |  | 1,382,700 | (126,794) | (47,938)
0.955/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-26 (Purchased) | Apr-21/0.955 |  | 11,604,600 | (55,412) | (51,176)
(0.555)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Mar-40 (Written) | Mar-30/0.555 | EUR | 1,746,550 | 263,750 | 41,066
(1.519)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Sep-31 (Written) | Sep-21/1.519 |  | $22,526,900 | 174,583 | (3,830)
0.555/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Mar-40 (Written) | Mar-30/0.555 | EUR | 1,746,550 | 263,750 | (23,575)
2.317/3 month USD-LIBOR-BBA/ |  |  |  |  |
Dec-31 (Written) | Dec-21/2.317 |  | $22,526,900 | 295,666 | (27,708)
JPMorgan Chase Bank N.A. |  |  |  |  |
1.921/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 1,230,800 | (157,399) | 222,826
(1.445)/6 month AUD-BBR-BBSW/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/1.445 | AUD | 1,940,600 | (72,744) | 111,920
(1.441)/6 month AUD-BBR-BBSW/ |  |  |  |  |
Jul-45 (Purchased) | Jul-25/1.441 | AUD | 929,600 | (54,979) | 97,276
(2.032)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-55 (Purchased) | Jan-25/2.032 |  | $1,589,500 | (183,587) | 80,842
(1.692)/6 month AUD-BBR-BBSW/ |  |  |  |  |
Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1,387,400 | (43,285) | 72,069
2.8325/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-52 (Purchased) | Feb-22/2.8325 |  | $3,698,000 | (516,333) | 40,049
2.50/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-39 (Purchased) | Nov-29/2.50 |  | 1,556,600 | (89,971) | 6,896
2.902/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-49 (Purchased) | Nov-24/2.902 |  | 934,000 | (144,396) | (8,602)
1.692/6 month AUD-BBR-BBSW/ |  |  |  |  |
Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1,387,400 | (43,285) | (35,460)
(2.902)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-49 (Purchased) | Nov-24/2.902 |  | $934,000 | (100,218) | (36,286)
(2.50)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-39 (Purchased) | Nov-29/2.50 |  | 1,556,600 | (161,886) | (38,355)
1.441/6 month AUD-BBR-BBSW/ |  |  |  |  |
Jul-45 (Purchased) | Jul-25/1.441 | AUD | 929,600 | (54,979) | (48,253)

Master Intermediate Income Trust 63

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (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. cont. |  |  |  |  |
1.445/6 month AUD-BBR-BBSW/ |  |  |  |  |
Mar-40 (Purchased) | Mar-30/1.445 | AUD | $1,940,600 | $(72,744) | $(58,561)
2.032/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-55 (Purchased) | Jan-25/2.032 |  | 1,589,500 | (183,587) | (59,129)
(1.921)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 1,230,800 | (157,399) | (109,681)
(2.8325)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-52 (Purchased) | Feb-22/2.8325 |  | $3,698,000 | (516,333) | (427,637)
(1.232)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-37 (Written) | Jun-27/1.232 |  | 2,822,300 | 181,333 | 118,452
(1.168)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-37 (Written) | Jun-27/1.168 |  | 2,588,400 | 166,564 | 111,379
(1.204)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-40 (Written) | Jun-30/1.204 |  | 2,238,000 | 166,843 | 95,563
1.204/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-40 (Written) | Jun-30/1.204 |  | 2,238,000 | 166,843 | (150,483)
1.168/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-37 (Written) | Jun-27/1.168 |  | 2,588,400 | 166,564 | (205,933)
1.232/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-37 (Written) | Jun-27/1.232 |  | 2,822,300 | 181,333 | (212,801)
Morgan Stanley & Co. International PLC |  |  |  |  |
3.27/3 month USD-LIBOR-BBA/ |  |  |  |  |
Oct-53 (Purchased) | Oct-23/3.27 |  | 1,191,600 | (135,962) | 133,841
2.505/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-49 (Purchased) | Nov-24/2.505 |  | 934,000 | (100,498) | (5,053)
(2.505)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Nov-49 (Purchased) | Nov-24/2.505 |  | 934,000 | (143,089) | (49,026)
(3.27)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Oct-53 (Purchased) | Oct-23/3.27 |  | 1,191,600 | (135,962) | (93,112)
(2.39)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-34 (Written) | Jun-24/2.39 |  | 8,236,000 | 433,625 | 62,099
2.39/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jun-34 (Written) | Jun-24/2.39 |  | 8,236,000 | 433,625 | (5,765)
Toronto-Dominion Bank |  |  |  |  |
(1.50)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-33 (Purchased) | Feb-23/1.50 |  | 4,379,600 | (150,549) | 204,878
(1.937)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-36 (Purchased) | Feb-26/1.937 |  | 1,751,900 | (91,624) | 68,377
(2.405)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-41 (Purchased) | Mar-31/2.405 |  | 713,100 | (49,739) | 7,794
2.405/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-41 (Purchased) | Mar-31/2.405 |  | 713,100 | (49,739) | (4,165)
1.937/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-36 (Purchased) | Feb-26/1.937 |  | 1,751,900 | (91,624) | (34,442)
1.50/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-33 (Purchased) | Feb-23/1.50 |  | 4,379,600 | (150,549) | (89,475)

64 Master Intermediate Income Trust

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (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)
Toronto-Dominion Bank cont. |  |  |  |  |
(2.095)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-56 (Written) | Feb-26/2.095 |  | $756,700 | $99,506 | $27,953
(1.775)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-32 (Written) | Mar-22/1.775 |  | 1,854,000 | 50,522 | 15,685
1.775/3 month USD-LIBOR-BBA/ |  |  |  |  |
Mar-32 (Written) | Mar-22/1.775 |  | 1,854,000 | 50,522 | (24,769)
2.095/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-56 (Written) | Feb-26/2.095 |  | 756,700 | 99,506 | (28,187)
UBS AG |  |  |  |  |
(0.902)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-35 (Purchased) | Apr-25/0.902 |  | 1,114,500 | (62,356) | 111,417
(1.6125)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Aug-34 (Purchased) | Aug-24/1.6125 |  | 3,902,100 | (285,341) | 100,752
(0.87)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-28 (Purchased) | Apr-27/0.87 |  | 9,287,700 | (62,646) | 100,121
(0.8925)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-28 (Purchased) | Apr-23/0.8925 |  | 2,786,300 | (59,070) | 88,967
(0.271)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jan-36 (Purchased) | Jan-26/0.271 | EUR | 2,804,800 | (146,695) | 88,677
(1.715)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-53 (Purchased) | Feb-23/1.715 |  | $875,900 | (79,050) | 78,603
(0.983)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-32 (Purchased) | Apr-30/0.983 |  | 3,715,100 | (58,884) | 73,299
(0.44)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2,103,600 | (165,032) | 65,151
(0.45)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jan-41 (Purchased) | Jan-31/0.45 | EUR | 1,682,900 | (132,385) | 50,562
(0.296)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 701,200 | (106,103) | 35,679
(1.175)/6 month GBP-LIBOR-BBA/ |  |  |  |  |
Jan-40 (Purchased) | Jan-30/1.175 | GBP | 1,981,900 | (180,164) | 33,771
(0.762)/6 month GBP-LIBOR-BBA/ |  |  |  |  |
Aug-39 (Purchased) | Aug-29/0.762 | GBP | 848,500 | (78,254) | 30,495
0.296/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 701,200 | (106,103) | (29,808)
1.6125/3 month USD-LIBOR-BBA/ |  |  |  |  |
Aug-34 (Purchased) | Aug-24/1.6125 |  | $3,902,100 | (107,035) | (30,553)
0.45/6 month EUR-EURIBOR-Reuters/ |  |  |  |  |
Jan-41 (Purchased) | Jan-31/0.45 | EUR | 1,682,900 | (132,385) | (33,116)
0.983/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-32 (Purchased) | Apr-30/0.983 |  | $3,715,100 | (58,884) | (35,108)
0.271/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Jan-36 (Purchased) | Jan-26/0.271 | EUR | 2,804,800 | (146,695) | (40,457)
0.44/6 month EUR-EURIBOR-Reuters/ |  |  |  |  |
Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2,103,600 | (165,032) | (41,912)
0.87/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-28 (Purchased) | Apr-27/0.87 |  | $9,287,700 | (62,646) | (44,395)

Master Intermediate Income Trust 65

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (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)
UBS AG cont. |  |  |  |  |
1.715/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-53 (Purchased) | Feb-23/1.715 |  | $875,900 | $(79,050) | $(46,107)
0.762/6 month GBP-LIBOR-BBA/ |  |  |  |  |
Aug-39 (Purchased) | Aug-29/0.762 | GBP | 848,500 | (78,254) | (47,421)
1.175/6 month GBP-LIBOR-BBA/ |  |  |  |  |
Jan-40 (Purchased) | Jan-30/1.175 | GBP | 1,981,900 | (180,164) | (48,470)
0.8925/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-28 (Purchased) | Apr-23/0.8925 |  | $2,786,300 | (59,070) | (48,816)
0.902/3 month USD-LIBOR-BBA/ |  |  |  |  |
Apr-35 (Purchased) | Apr-25/0.902 |  | 1,114,500 | (62,356) | (50,665)
1.30/3 month USD-LIBOR-BBA/ |  |  |  |  |
Aug-26 (Written) | Aug-21/1.30 |  | 8,291,900 | 246,318 | 183,500
(0.958)/3 month USD-LIBOR-BBA/ |  |  |  |  |
May-30 (Written) | May-25/0.958 |  | 2,229,000 | 59,236 | 45,427
(0.43)/6 month EUR-EURIBOR- |  |  |  |  |
Reuters/Aug-39 (Written) | Aug-29/0.43 | EUR | 789,300 | 63,277 | 27,352
0.43/6 month EUR-EURIBOR-Reuters/ |  |  |  |  |
Aug-39 (Written) | Aug-29/0.43 | EUR | 789,300 | 63,277 | (12,357)
(1.30)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Aug-26 (Written) | Aug-21/1.30 |  | $8,291,900 | 66,286 | (30,100)
0.958/3 month USD-LIBOR-BBA/ |  |  |  |  |
May-30 (Written) | May-25/0.958 |  | 2,229,000 | 59,236 | (109,765)
Wells Fargo Bank, N.A. |  |  |  |  |
(1.405)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-29 (Purchased) | Feb-24/1.405 |  | 6,131,500 | (125,542) | 164,202
(1.3875)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-29 (Purchased) | Feb-24/1.3875 |  | 4,379,600 | (89,891) | 119,651
(1.96)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-41 (Purchased) | Jan-31/1.96 |  | 3,664,100 | (248,060) | 118,790
(2.16)/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-35 (Purchased) | Feb-25/2.16 |  | 2,591,000 | (129,226) | 57,831
2.16/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-35 (Purchased) | Feb-25/2.16 |  | 2,591,000 | (129,226) | (33,061)
1.3875/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-29 (Purchased) | Feb-24/1.3875 |  | 4,379,600 | (89,891) | (49,708)
1.96/3 month USD-LIBOR-BBA/ |  |  |  |  |
Jan-41 (Purchased) | Jan-31/1.96 |  | 3,664,100 | (248,060) | (67,016)
1.405/3 month USD-LIBOR-BBA/ |  |  |  |  |
Feb-29 (Purchased) | Feb-24/1.405 |  | 6,131,500 | (125,542) | (67,814)
Unrealized appreciation |  |  |  |  | 6,390,465
Unrealized (depreciation) |  |  |  |  | (5,329,398)
Total |  |  |  |  | $1,061,067

66 Master Intermediate Income Trust

TBA SALE COMMITMENTS OUTSTANDING at 3/31/21 (proceeds receivable $67,924,453) (Unaudited)
| Principal | Settlement |
Agency | amount | date | Value
Government National Mortgage Association, 3.50%, 4/1/51 | $1,000,000 | 3/11/21 | $1,055,000
Uniform Mortgage-Backed Securities, 4.00%, 4/1/51 | 14,000,000 | 3/5/21 | 15,023,750
Uniform Mortgage-Backed Securities, 3.50%, 4/1/51 | 20,000,000 | 3/11/21 | 21,123,438
Uniform Mortgage-Backed Securities, 3.00%, 4/1/51 | 8,000,000 | 3/5/21 | 8,330,625
Uniform Mortgage-Backed Securities, 2.50%, 4/1/51 | 10,000,000 | 3/10/21 | 10,253,906
Uniform Mortgage-Backed Securities, 2.00%, 5/1/51 | 8,000,000 | 3/31/21 | 7,961,875
Uniform Mortgage-Backed Securities, 2.00%, 4/1/51 | 4,000,000 | 3/29/21 | 3,987,812
Total |  |  | $67,736,406

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) |
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$1,011,100 | $40,430 E | $(6) | 2/2/24 | 3 month USD- | 2.5725% — | $40,424
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
2,617,100 | 102,326 E | (15) | 2/2/24 | 2.528% — | 3 month USD- | (102,341)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
5,944,600 | 556,236 | (179,227) | 3/2/31 | 3 month USD- | 2.7725% — | 389,352
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
5,478,300 | 309,984 | (1,109) | 12/2/23 | 3 month USD- | 2.536% — | 353,939
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,893,900 | 75,635 E | (324) | 2/2/24 | 3 month USD- | 2.57% — | 75,311
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
3,412,200 | 118,417 E | (19) | 2/2/24 | 3 month USD- | 2.3075% — | 118,398
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
5,008,800 | 174,176 E | (28) | 2/9/24 | 3 month USD- | 2.32% — | 174,148
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,338,000 | 109,343 E | (46) | 11/29/53 | 2.793% — | 3 month USD- | (109,388)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
902,800 | 7,918 E | (20) | 11/20/39 | 3 month USD- | 2.55% — | (7,939)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
3,186,100 | 125,644 | (45) | 12/7/30 | 2.184% — | 3 month USD- | (147,351)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,087,500 | 8,150 E | (23) | 6/5/29 | 3 month USD- | 2.2225% — | (8,173)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
174,600 | 320 E | (6) | 6/22/52 | 2.3075% — | 3 month USD- | 314
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

Master Intermediate Income Trust 67

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$831,700 | $12,870 E | $(28) | 7/5/52 | 2.25% — | 3 month USD- | $12,841
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
6,347,600 | 146,782 E | (35) | 2/7/24 | 1.733% — | 3 month USD- | (145,374)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
911,300 | 22,746 | (13) | 1/22/31 | 2.035% — | 3 month USD- | (25,925)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,368,300 | 125,421 E | (47) | 8/8/52 | 1.9185% — | 3 month USD- | 125,374
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,417,500 | 225,093 E | (48) | 9/12/52 | 1.626% — | 3 month USD- | 225,045
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
37,998,200 | 230,345 | (106,487) | 10/15/21 | 3 month USD- | 1.316% — | 335,087
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
39,518,100 | 288,047 | (105,427) | 10/21/21 | 3 month USD- | 1.5025% — | 429,330
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
7,362,900 | 26,749 | 161,886 | 1/19/31 | 1.805% — | 3 month USD- | 111,846
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
7,362,900 | 217,647 | (82,892) | 1/19/26 | 3 month USD- | 1.629% — | 155,454
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
7,362,900 | 188,652 E | (82,915) | 1/20/31 | 3 month USD- | 1.996% — | (271,568)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
174,200 | 15,728 E | (6) | 1/16/55 | 2.032% — | 3 month USD- | 15,722
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
83,000 | 8,469 E | (3) | 1/24/55 | 3 month USD- | 1.977% — | (8,472)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
29,451,700 | 111,269 | 16,127 | 11/3/21 | 0.83% — | 3 month USD- | (186,521)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
29,451,700 | 197,974 | (54,704) | 11/3/21 | 3 month USD- | 1.331% — | 295,189
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
582,800 | 135,302 E | (20) | 3/4/52 | 1.265% — | 3 month USD- | 135,282
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
970,000 | 61,338 | (14) | 3/4/31 | 3 month USD- | 1.101% — | (60,689)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
35,681,600 | 77,465 | (135) | 9/8/21 | 0.68% — | 3 month USD- | (88,492)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

68 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$77,168,200 | $158,040 | $(291) | 10/15/21 | 0.571% — | 3 month USD- | $(322,209)
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,705,700 | 721,919 E | (126) | 1/27/47 | 3 month USD- | 1.27% — | (722,045)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
313,000 | 54,995 E | (11) | 3/7/50 | 1.275% — | 3 month USD- | 54,984
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
697,700 | 224,175 E | (24) | 3/10/52 | 0.8725% — | 3 month USD- | 224,151
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
762,900 | 271,997 E | (26) | 3/11/52 | 0.717% — | 3 month USD- | 271,971
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,138,200 | 105,414 E | (16) | 3/17/32 | 3 month USD- | 1.03% — | (105,431)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
5,944,600 | 550,553 | (792,726) | 2/18/31 | 3 month USD- | 2.764% — | (223,812)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
475,000 | 32,975 E | (6) | 3/24/32 | 3 month USD- | 1.07% — | (32,981)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
268,600 | 37,690 E | (4) | 3/24/35 | 3 month USD- | 0.968% — | (37,694)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,504,600 | 176,052 E | (21) | 4/25/32 | 0.7925% — | 3 month USD- | 176,030
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
298,100 | 35,286 E | (6) | 6/21/37 | 3 month USD- | 1.232% — | (35,292)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
238,500 | 26,601 E | (5) | 6/20/40 | 3 month USD- | 1.204% — | (26,606)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
245,900 | 30,397 E | (5) | 6/28/37 | 3 month USD- | 1.168% — | (30,402)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
66,900 | 7,591 E | (1) | 7/3/40 | 3 month USD- | 1.177% — | (7,592)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
12,039,900 | 291,655 | (97) | 7/14/25 | 3 month USD- | 0.30% — | (290,046)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
5,556,900 | 525,977 | (74) | 7/15/30 | 3 month USD- | 0.645% — | (521,314)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
5,481,300 | 142,382 | (52) | 8/31/25 | 0.3084% — | 3 month USD- | 141,716
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

Master Intermediate Income Trust 69

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund (depreciation) | (depreciation)
$8,543,200 | $94,155 E | $(48) | 7/5/24 | 0.2429% — | 3 month USD- | $94,107
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
8,566,800 | 227,800 | (69) | 8/12/25 | 3 month USD- | 0.277% — | (226,934)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
2,570,000 | 659,503 E | 202,186 | 9/2/52 | 3 month USD- | 1.188% — | (457,317)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
10,951,700 | 291,929 | (103) | 10/13/25 | 0.344% — | 3 month USD- | 279,571
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
18,839,700 | 4,145 | (71) | 9/16/22 | 3 month USD- | 0.214% — | (4,123)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
11,576,800 | 274,278 | (94) | 10/13/25 | 0.41% — | 3 month USD- | 257,665
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
16,067,000 | 411,058 | 8,250 | 10/16/25 | 3 month USD- | 0.37% — | (382,740)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
12,206,000 | 1,095,257 | (8,312) | 10/16/30 | 0.75% — | 3 month USD- | 1,050,439
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
8,169,000 | 1,958,199 | (22,012) | 10/16/50 | 1.16% — | 3 month USD- | 1,896,405
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,810,400 | 406,724 | (75,601) | 1/29/51 | 1.232% — | 3 month USD- | 327,942
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,504,400 | 264,603 | — | 12/7/30 | 3 month USD- | 0.932% — | (254,671)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
2,873,600 | 233,066 | — | 12/7/30 | 0.871% — | 3 month USD- | 225,477
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
11,576,800 | 260,119 | (94) | 11/16/25 | 0.471% — | 3 month USD- | 242,319
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,010,900 | 209,690 | (34) | 12/17/50 | 1.305% — | 3 month USD- | 205,921
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
9,929,800 | 76,459 E | (55) | 7/5/24 | 3 month USD- | 0.41% — | (76,515)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
306,800 | 66,734 | (213) | 12/1/50 | 3 month USD- | 1.26% — | (65,709)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
12,410,300 | 38,472 | (78) | 12/2/23 | 0.300% — | 3 month USD- | 28,035
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

70 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$13,474,000 | $1,472,169 | $(257) | 12/2/33 | 3 month USD- | 1.02% — | $(1,429,112)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
11,836,700 | 305,079 | (96) | 12/16/25 | 3 month USD- | 0.428% — | (291,396)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,657,300 | 130,580 E | (23) | 6/22/31 | 3 month USD- | 1.0025% — | (130,604)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
204,000 | 32,831 | (7) | 1/8/51 | 3 month USD- | 1.509% — | (32,239)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
204,000 | 31,099 | (7) | 1/8/51 | 3 month USD- | 1.546% — | (30,489)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
746,000 | 114,924 | (25) | 1/8/51 | 3 month USD- | 1.539% — | (112,704)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
11,140,400 | 231,798 | (90) | 1/13/26 | 0.5615% — | 3 month USD- | 223,574
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,175,000 | 152,776 | (40) | 1/14/51 | 3 month USD- | 1.644% — | (149,272)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
2,158,500 | 127,740 E | (31) | 4/15/31 | 1.165% — | 3 month USD- | 127,709
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,088,800 | 135,584 E | (30) | 7/15/31 | 1.165% — | 3 month USD- | 135,554
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
905,000 | 127,758 | (31) | 1/19/51 | 3 month USD- | 1.5955% — | (125,305)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,700,000 | 109,387 | (23) | 1/27/31 | 1.075% — | 3 month USD- | 106,758
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
12,637,900 | 102,885 E | (70) | 1/31/25 | 0.735% — | 3 month USD- | 102,815
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
946,000 | 54,319 | (13) | 2/4/31 | 1.153% — | 3 month USD- | 52,863
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
903,000 | 119,452 | (31) | 2/4/51 | 3 month USD- | 1.635% — | (117,416)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
5,838,000 | 293,990 | (77) | 2/9/31 | 3 month USD- | 1.231% — | (285,265)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
11,604,600 | 247,538 | (26,494) | 3/9/26 | 0.5996% — | 3 month USD- | 218,166
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

Master Intermediate Income Trust 71

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont.
|  | Upfront |  |  |  |
|  | premium |  |  |  | Unrealized
|  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
$2,344,100 | $49,153 | $(19) | 2/10/26 | 0.584% — | 3 month USD- | $47,831
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
1,917,100 | 100,481 | (25) | 2/16/31 | 1.212% — | 3 month USD- | 98,005
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
279,400 | 13,341 E | (4) | 8/16/31 | 1.37% — | 3 month USD- | 13,337
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,465,000 | 128,163 | (46) | 2/18/31 | 3 month USD- | 1.377% — | (123,273)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
3,598,000 | 137,472 | (48) | 2/22/31 | 1.3659% — | 3 month USD- | 132,793
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
3,110,000 | 101,498 | (41) | 2/24/31 | 1.4255% — | 3 month USD- | 97,446
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
5,426,000 | 174,289 | (72) | 2/24/31 | 1.431% — | 3 month USD- | 167,188
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,713,000 | 83,970 | (36) | 2/24/31 | 1.4435% — | 3 month USD- | 80,385
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,185,000 | 68,841 | (29) | 2/25/31 | 1.438% — | 3 month USD- | 66,068
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,734,000 | 84,858 | (36) | 2/25/31 | 1.443% — | 3 month USD- | 81,375
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
2,724,000 | 82,126 | (36) | 2/25/31 | 1.4525% — | 3 month USD- | 78,630
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
63,199,000 | 38,804 E | 2,124 | 6/16/23 | 3 month USD- | 0.30% — | (36,681)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
11,814,000 | 110,485 E | (61,644) | 6/16/26 | 0.95% — | 3 month USD- | 48,840
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
15,372,000 | 267,826 E | (191,488) | 6/16/31 | 1.65% — | 3 month USD- | 76,339
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
6,259,000 | 327,671 E | 275,115 | 6/16/51 | 3 month USD- | 2.00% — | (52,556)
|  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  | Quarterly |  |
1,089,000 | 26,161 | (14) | 3/2/31 | 1.51882% — | 3 month USD- | 24,985
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |
5,124,000 | 108,152 | (68) | 3/5/31 | 1.5505% — | 3 month USD- | 103,091
|  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  | Quarterly |

72 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium |  |  |  | Unrealized
|  |  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
| $5,005,000 | $104,935 | $(66) | 3/5/31 | 1.552% — | 3 month USD- | $99,986
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Quarterly |
| 6,800,000 | 155,081 | (90) | 3/5/31 | 3 month USD- | 1.5324% — | (148,633)
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 2,082,000 | 43,895 E | 1,347 | 6/16/31 | 1.35% — | Secured | 45,242
|  |  |  |  | Annually | Overnight |
|  |  |  |  |  | Financing Rate — |
|  |  |  |  |  | Annually |
| 5,802,300 | 138,170 | (77) | 3/15/31 | 1.525% — | 3 month USD- | 134,664
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Quarterly |
| 1,228,800 | 19,075 E | (19) | 3/20/34 | 2.29% — | 3 month USD- | 19,056
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Quarterly |
| 3,257,000 | 18,412 | (43) | 3/23/31 | 3 month USD- | 1.7200% — | (17,370)
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 3,220,750 | 19,576 | (43) | 3/23/31 | 3 month USD- | 1.7155% — | (18,549)
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 5,959,500 | 32,205 | (56) | 4/1/26 | 0.94375% — | 3 month USD- | 32,149
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Quarterly |
| 905,400 | 2,040 E | (5) | 7/5/24 | 0.6840% — | 3 month USD- | 2,035
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Quarterly |
| 3,915,200 | 14,905 E | (37) | 7/1/26 | 3 month USD- | 1.08% — | (14,942)
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 2,783,000 | 4,305 | (37) | 4/1/31 | 3 month USD- | 1.766% — | (4,342)
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 2,783,000 | 9,170 | (37) | 4/1/31 | 3 month USD- | 1.7475% — | (9,207)
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
| 912,000 | 3,901 | (12) | 4/1/31 | 3 month USD- | 1.7371% — | (3,913)
|  |  |  |  | LIBOR-BBA — | Semiannually |
|  |  |  |  | Quarterly |  |
AUD | 79,300 | 6,163 E | (1) | 1/30/35 | 1.692% — | 6 month AUD- | 6,163
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |
AUD | 266,900 | 24,859 E | (3) | 3/5/35 | 1.47% — | 6 month AUD- | 24,857
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |
AUD | 99,100 | 9,718 E | (1) | 3/25/35 | 1.4025% — | 6 month AUD- | 9,717
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |

Master Intermediate Income Trust 73

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium |  |  |  | Unrealized
|  |  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
AUD | 155,200 | $14,274 E | $(2) | 3/28/40 | 1.445% — | 6 month AUD- | $14,272
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |
AUD | 579,100 | 62,431 E | (7) | 4/1/40 | 1.1685% — | 6 month AUD- | 62,424
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |
AUD | 37,200 | 5,982 E | (1) | 7/2/45 | 1.441% — | 6 month AUD- | 5,981
|  |  |  |  | Semiannually | BBR-BBSW — |
|  |  |  |  |  | Semiannually |
AUD | 1,800,000 | 2,721 E | (20) | 4/6/31 | 6 month AUD- | 1.87% — | 2,701
|  |  |  |  | BBR-BBSW — | Semiannually |
|  |  |  |  | Semiannually |  |
AUD | 3,573,000 | 37,791 E | 17,943 | 6/16/31 | 6 month AUD- | 1.76% — | (19,848)
|  |  |  |  | BBR-BBSW — | Semiannually |
|  |  |  |  | Semiannually |  |
CAD | 4,633,000 | 81,674 E | 19,231 | 6/16/31 | 3 month CAD- | 1.91% — | (62,443)
|  |  |  |  | BA-CDOR — | Semiannually |
|  |  |  |  | Semiannually |  |
CHF | 2,148,000 | 47,276 E | (46,311) | 6/16/31 | — | 0.16% plus | 964
|  |  |  |  |  | 6 month CHF- |
|  |  |  |  |  | LIBOR-BBA — |
|  |  |  |  |  | Semiannually |
EUR | 512,400 | 148,308 E | (20) | 11/29/58 | 1.484% — | 6 month | (148,327)
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 696,900 | 200,080 | (27) | 2/19/50 | 6 month | 1.354% — | 201,867
|  |  |  |  | EUR-EURIBOR- | Annually |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 770,000 | 199,490 | (29) | 3/11/50 | 1.267% — | 6 month | (200,440)
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 778,400 | 187,521 | (30) | 3/12/50 | 1.2115% — | 6 month | (188,409)
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 898,100 | 187,503 | (34) | 3/26/50 | 1.113% — | 6 month | (187,792)
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 802,800 | 195,184 E | (30) | 11/29/58 | 6 month | 1.343% — | 195,153
|  |  |  |  | EUR-EURIBOR- | Annually |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 929,000 | 174,271 | (36) | 2/19/50 | 1.051% — | 6 month | (176,331)
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |

74 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium |  |  |  | Unrealized
|  |  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
EUR | 741,300 | $121,296 E | $(28) | 6/7/54 | 1.054% — | 6 month | $(121,324)
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 676,400 | 94,120 | (26) | 2/19/50 | 0.9035% — | 6 month | (95,480)
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 395,500 | 41,584 | (15) | 2/21/50 | 0.80% — | 6 month | (42,268)
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 1,468,500 | 39,598 E | (56) | 8/8/54 | 0.49% — | 6 month | 39,542
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 906,000 | 109,393 E | (34) | 6/6/54 | 6 month | 0.207% — | (109,427)
|  |  |  |  | EUR-EURIBOR- | Annually |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 1,215,200 | 98,502 | (46) | 2/19/50 | 0.233% — | 6 month | 97,198
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 4,960,100 | 187,641 | (187) | 2/19/50 | 6 month | 0.595% — | 195,102
|  |  |  |  | EUR-EURIBOR- | Annually |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 574,000 | 82,322 E | (21) | 3/4/54 | 0.134% — | 6 month | 82,301
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 260,400 | 69,031 E | (10) | 3/13/54 | — | 0.2275% | 69,021
|  |  |  |  |  | plus 6 month |
|  |  |  |  |  | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 1,696,600 | 114,713 E | (36) | 5/13/40 | 6 month | 0.276% — | (114,749)
|  |  |  |  | EUR-EURIBOR- | Annually |
|  |  |  |  | REUTERS — |  |
|  |  |  |  | Semiannually |  |
EUR | 833,300 | 52,685 E | (18) | 6/24/40 | 0.315% — | 6 month | 52,667
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 1,129,700 | 70,894 E | (26) | 1/16/40 | 0.315% — | 6 month | 70,868
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |

Master Intermediate Income Trust 75

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont.
|  |  | Upfront |  |  |  |
|  |  | premium |  |  |  | Unrealized
|  |  | received | Termination | Payments | Payments | appreciation/
Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation)
EUR | 388,100 | $24,348 E | $(9) | 3/28/40 | 0.3175% — | 6 month | $24,339
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
EUR | 11,918,000 | 53,892 E | 7,428 | 6/16/31 | 0.05% — | 6 month | 61,320
|  |  |  |  | Annually | EUR-EURIBOR- |
|  |  |  |  |  | REUTERS — |
|  |  |  |  |  | Semiannually |
GBP | 27,000 | 362 E | 540 | 6/16/31 | 0.93% — | Sterling | 179
|  |  |  |  | Annually | Overnight |
|  |  |  |  |  | Index Average — |
|  |  |  |  |  | Annually |
JPY | 49,618,300 | 18,591 E | (14) | 8/29/43 | 0.7495% — | 6 month JPY- | (18,605)
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Semiannually |
JPY | 119,698,500 | 16,050 | (9,439) | 2/25/31 | 0.003% — | 6 month JPY- | 6,559
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Semiannually |
JPY | 63,267,700 | 37,848 E | (19) | 8/29/43 | 0.194% — | 6 month JPY- | 37,829
|  |  |  |  | Semiannually | LIBOR-BBA — |
|  |  |  |  |  | Semiannually |
NOK | 10,560,000 | 8,172 E | 2,983 | 6/16/31 | 6 month NOK- | 1.82% — | (5,189)
|  |  |  |  | NIBOR-NIBR — | Annually |
|  |  |  |  | Semiannually |  |
NZD | 1,291,000 | 5,300 E | 6,193 | 6/16/31 | 3 month NZD- | 1.96% — | 893
|  |  |  |  | BBR-FRA — | Semiannually |
|  |  |  |  | Quarterly |  |
SEK | 27,938,000 | 14,315 E | (12,669) | 6/16/31 | 0.77% — | 3 month SEK- | 1,648
|  |  |  |  | Annually | STIBOR-SIDE — |
|  |  |  |  |  | Quarterly |
Total |  |  | $(1,143,242) |  |  |  | $2,540,672

E Extended effective date.

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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 |  |  |  |  |  |
$298,052 | $297,159 | $— | 1/12/40 | 4.00% (1 month | Synthetic MBX | $(336)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
50,222 | 50,071 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX | (57)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
33,456 | 33,356 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX | (38)
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

76 Master Intermediate Income Trust

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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. |  |  |  |  |
$3,862,261 | $3,862,261 | $— | 1/12/41 | 5.00% (1 month | Synthetic MBX | $8,643
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
475,156 | 475,091 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX | 1,009
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
157,720 | 157,326 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX | (17)
|  |  |  | USD-LIBOR — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
2,750,661 | 2,743,349 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (171)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
11,672 | 12,014 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | (482)
|  |  |  | USD-LIBOR — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
20,736 | 21,172 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | 703
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
64,556 | 65,994 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | (2,280)
|  |  |  | USD-LIBOR — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
129,398 | 132,282 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | (4,570)
|  |  |  | USD-LIBOR — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
81,191 | 82,257 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | (2,262)
|  |  |  | USD-LIBOR — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
31,533 | 31,845 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 714
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
24,076 | 24,314 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 545
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
18,993 | 19,181 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 430
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |

Master Intermediate Income Trust 77

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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. |  |  |  |  |  |
$29,761 | $29,779 | $— | 1/12/39 | 6.00% (1 month | Synthetic TRS | $391
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
57,435 | 57,725 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 994
|  |  |  | USD-LIBOR) — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
8,239 | 8,280 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 143
|  |  |  | USD-LIBOR) — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
3,833 | 3,853 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 66
|  |  |  | USD-LIBOR) — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
Citibank, N.A. |  |  |  |  |  |
514,296 | 514,296 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 1,151
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
239,971 | 239,971 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 537
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
48,035 | 48,035 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 107
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
Credit Suisse International |  |  |  |  |
205,718 | 205,718 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 460
|  |  |  | USD-LIBOR) — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
55,211 | 55,756 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 1,251
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
41,208 | 42,419 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | 1,702
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
25,205 | 25,945 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | 1,041
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
13,784 | 14,189 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | 569
|  |  |  | USD-LIBOR) — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

78 Master Intermediate Income Trust

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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. |  |  |  |  |
$141,545 | $145,201 | $— | 1/12/45 | 4.00% (1 month | Synthetic TRS | $5,623
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
36,586 | 37,531 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | 1,453
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
17,522 | 17,912 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | 619
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
17,522 | 17,912 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | (619)
|  |  |  | USD-LIBOR — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
50,634 | 51,299 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | (1,411)
|  |  |  | USD-LIBOR — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
56,129 | 56,866 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | (1,564)
|  |  |  | USD-LIBOR — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
53,060 | 53,584 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 1,202
|  |  |  | USD-LIBOR) — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
Deutsche Bank AG |  |  |  |  |  |
186,124 | 185,630 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (12)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
Goldman Sachs International |  |  |  |  |
8,329 | 8,307 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (1)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
22,195 | 22,136 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (1)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
48,043 | 47,916 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (3)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
90,270 | 90,030 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (6)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

Master Intermediate Income Trust 79

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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. |  |  |  |  |
$108,301 | $108,013 | $— | 1/12/38 | (6.50%) 1 month | Synthetic MBX | $(7)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
127,891 | 127,551 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (8)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
175,189 | 174,724 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (11)
|  |  |  | USD-LIBOR — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
77,073 | 80,722 | — | 1/12/44 | (3.00%) 1 month | Synthetic TRS | (4,546)
|  |  |  | USD-LIBOR — | Index 3.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
51,376 | 52,886 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | (2,122)
|  |  |  | USD-LIBOR — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
192,060 | 197,020 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | 7,630
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
120,091 | 122,617 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | 4,070
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
104,611 | 106,811 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | 3,545
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
51,474 | 52,557 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | 1,744
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
51,474 | 52,557 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | 1,744
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
36,307 | 37,245 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | 1,442
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
192,470 | 196,759 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | (6,798)
|  |  |  | USD-LIBOR — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

80 Master Intermediate Income Trust

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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. |  |  |  |  |
$47,420 | $48,338 | $— | 1/12/41 | 4.50% (1 month | Synthetic TRS | $1,579
|  |  |  | USD-LIBOR) — | Index 4.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
80,679 | 81,739 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | (2,248)
|  |  |  | USD-LIBOR — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
41,080 | 41,105 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 540
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
39,726 | 39,751 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 522
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
19,863 | 19,875 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 261
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
18,896 | 18,907 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 248
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
2,217 | 2,218 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 29
|  |  |  | USD-LIBOR) — | Index 6.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
18,951 | 19,046 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 328
|  |  |  | USD-LIBOR) — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
1,423 | 1,430 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 25
|  |  |  | USD-LIBOR) — | Index 6.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
JPMorgan Chase Bank N.A. |  |  |  |  |
151,659 | 155,039 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | 5,357
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
132,855 | 135,816 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | 4,692
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
86,732 | 88,665 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | 3,063
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |

Master Intermediate Income Trust 81

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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. |  |  |  |  |
$15,178 | $15,516 | $— | 1/12/41 | 4.00% (1 month | Synthetic TRS | $536
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
80,679 | 81,739 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | (2,248)
|  |  |  | USD-LIBOR — | Index 5.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
JPMorgan Securities LLC |  |  |  |  |  |
119,138 | 120,315 | — | 1/12/41 | (5.00%) 1 month | Synthetic MBX Index | (2,699)
|  |  |  | USD-LIBOR — | 5.00% 30 year Ginnie |
|  |  |  | Monthly | Mae II pools — |
|  |  |  |  | Monthly |
17,149 | 17,653 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | (708)
|  |  |  | USD-LIBOR — | Index 3.50% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
105,457 | 108,158 | — | 1/12/44 | 4.00% (1 month | Synthetic TRS | 4,047
|  |  |  | USD-LIBOR) — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
348,386 | 355,713 | — | 1/12/42 | (4.00%) 1 month | Synthetic TRS | (11,807)
|  |  |  | USD-LIBOR — | Index 4.00% 30 year |
|  |  |  | Monthly | Fannie Mae pools — |
|  |  |  |  | Monthly |
Morgan Stanley & Co. International PLC |  |  |  |
1,032,736 | 1,027,525 | — | 7/17/24 | 3.825% (3 month | Pera Funding DAC, | (4,620)
|  |  |  | USD-LIBOR-BBA | 3.825%, Series |
|  |  |  | minus 0.12%) — | 2019–01, 07/10/24 — |
|  |  |  | Quarterly | Quarterly |
Upfront premium received | — |  | Unrealized appreciation | 70,755
Upfront premium (paid) |  | — |  | Unrealized (depreciation) | (51,652)
Total |  | $— |  | Total |  | $19,103

CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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 | 7,000,000 | $603,239 | $(129) | 5/15/30 | (.655%) — At | Eurostat Eurozone | $603,110
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 7,000,000 | 596,615 | (129) | 5/15/30 | (.6625%) — At | Eurostat Eurozone | 596,485
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |

82 Master Intermediate Income Trust

CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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 | 3,497,000 | $591,904 | $(125) | 5/15/40 | (.961%) — At | Eurostat Eurozone | $591,779
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 1,979,000 | 144,691 | — | 7/15/37 | 1.71% — At | Eurostat Eurozone | 144,691
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 1,979,000 | 47,339 | — | 7/15/27 | (1.40%) — At | Eurostat Eurozone | (47,339)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 6,434,000 | 174,572 | (75) | 9/15/23 | (1.4375%) — At | Eurostat Eurozone | (174,648)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 6,434,000 | 176,089 | (75) | 9/15/23 | (1.44125%) — At | Eurostat Eurozone | (176,164)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 6,434,000 | 176,594 | (76) | 9/15/23 | (1.4425%) — At | Eurostat Eurozone | (176,670)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 6,434,000 | 177,100 | (76) | 9/15/23 | (1.44375%) — At | Eurostat Eurozone | (177,176)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 3,497,000 | 903,899 | (165) | 5/15/50 | 1.13% — At | Eurostat Eurozone | (904,064)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 7,000,000 | 1,232,985 | (248) | 5/15/40 | 0.935% — At | Eurostat Eurozone | (1,233,233)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
EUR | 7,000,000 | 1,242,220 | (248) | 5/15/40 | 0.93% — At | Eurostat Eurozone | (1,242,468)
|  |  |  |  | maturity | HICP excluding |
|  |  |  |  |  | tobacco — At |
|  |  |  |  |  | maturity |
GBP | 4,004,000 | 263,190 | (86) | 12/15/28 | 3.665% — At | GBP Non-revised UK | 263,104
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 4,253,000 | 121,673 | (56) | 11/15/24 | 3.385% — At | GBP Non-revised UK | 121,617
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 3,123,000 | 86,245 | (72) | 3/15/28 | 3.4025% — At | GBP Non-revised UK | 86,173
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 4,484,000 | 73,970 | (106) | 3/15/28 | 3.34% — At | GBP Non-revised UK | 73,864
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |

Master Intermediate Income Trust 83

CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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 | 2,127,000 | $60,188 | $(28) | 11/15/24 | 3.381% — At | GBP Non-revised UK | $60,160
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 2,127,000 | 54,499 | — | 12/15/24 | 3.42% — At | GBP Non-revised UK | 54,499
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 2,402,000 | 50,486 | (56) | 2/15/28 | 3.34% — At | GBP Non-revised UK | 50,430
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 1,121,000 | 27,960 | (26) | 3/15/28 | 3.3875% — At | GBP Non-revised UK | 27,933
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
GBP | 1,204,000 | 122,466 | (63) | 7/15/49 | (3.4425%) — At | GBP Non-revised UK | (122,529)
|  |  |  |  | maturity | Retail Price Index — |
|  |  |  |  |  | At maturity |
| $3,060,000 | 104,967 | (31) | 11/29/24 | (1.703%) — At | USA Non Revised | 104,936
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 3,060,000 | 93,768 | (31) | 12/10/24 | (1.7625%) — At | USA Non Revised | 93,737
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 2,817,250 | 20,780 | (47) | 3/23/31 | (2.4275%) — At | USA Non Revised | 20,733
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 2,853,000 | 14,225 | (48) | 3/23/31 | (2.45%) — At | USA Non Revised | 14,177
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 802,000 | 2,479 | (13) | 4/1/31 | (2.466%) — At | USA Non Revised | 2,466
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 9,720,000 | 1,040 | (98) | 4/1/26 | 2.53% — At | USA Non Revised | 942
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |
| 1,621,000 | 2,744 | (16) | 4/1/26 | 2.496% — At | USA Non Revised | (2,761)
|  |  |  |  | maturity | Consumer Price |
|  |  |  |  |  | Index-Urban |
|  |  |  |  |  | (CPI-U) — At |
|  |  |  |  |  | maturity |

84 Master Intermediate Income Trust

CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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)
$2,434,000 | $3,897 | $(41) | 4/1/31 | (2.51%) — At | USA Non Revised | $(3,938)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
2,434,000 | 5,197 | (41) | 4/1/31 | (2.515%) — At | USA Non Revised | (5,237)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
5,702,000 | 6,489 | (58) | 3/23/26 | 2.51% — At | USA Non Revised | (6,546)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
5,638,500 | 25,813 | — | 3/23/26 | 2.445% — At | USA Non Revised | (25,813)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
1,910,000 | 45,231 | (32) | 2/25/31 | 2.28% — At | USA Non Revised | (45,263)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
2,400,000 | 56,731 | (40) | 2/24/31 | 2.281% — At | USA Non Revised | (56,772)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
2,400,000 | 57,338 | (40) | 2/25/31 | 2.278% — At | USA Non Revised | (57,379)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
2,400,000 | 59,981 | (40) | 2/25/31 | 2.2675% — At | USA Non Revised | (60,021)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
4,362,000 | 69,234 | (73) | 3/5/31 | 2.351% — At | USA Non Revised | (69,307)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
4,409,000 | 70,447 | (74) | 3/5/31 | 2.35% — At | USA Non Revised | (70,521)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |

Master Intermediate Income Trust 85

CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (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)
$4,800,000 | $110,942 | $(80) | 2/24/31 | 2.286% — At | USA Non Revised | $(111,024)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
10,332,500 | 1,070,323 | 17,727 | 6/30/30 | 1.586% — At | USA Non Revised | (1,052,596)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
11,110,000 | 1,078,448 | 56,016 | 7/10/30 | 1.6625% — At | USA Non Revised | (1,022,427)
|  |  |  | maturity | Consumer Price |
|  |  |  |  | Index-Urban |
|  |  |  |  | (CPI-U) — At |
|  |  |  |  | maturity |
Total |  | $71,101 |  |  |  | $(3,933,060)

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (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 | BB–/P | $4,375 | $64,000 | $17,274 | 5/11/63 | 300 bp — | $(12,862)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 8,497 | 141,000 | 38,056 | 5/11/63 | 300 bp — | (29,477)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 17,409 | 282,000 | 76,112 | 5/11/63 | 300 bp — | (58,538)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 16,587 | 291,000 | 78,541 | 5/11/63 | 300 bp — | (61,784)
Index |  |  |  |  |  | Monthly |
Citigroup Global Markets, Inc. |  |  |  |  |  |
CMBX NA A.6 | A-/P | 5,963 | 47,000 | 3,718 | 5/11/63 | 200 bp — | 2,264
Index |  |  |  |  |  | Monthly |
CMBX NA A.6 | A-/P | 6,566 | 55,000 | 4,351 | 5/11/63 | 200 bp — | 2,237
Index |  |  |  |  |  | Monthly |
CMBX NA A.6 | A-/P | 11,798 | 78,000 | 6,170 | 5/11/63 | 200 bp — | 5,658
Index |  |  |  |  |  | Monthly |
CMBX NA A.6 | A-/P | 19,430 | 116,000 | 9,176 | 5/11/63 | 200 bp — | 10,300
Index |  |  |  |  |  | Monthly |
CMBX NA A.6 | A-/P | 18,176 | 131,000 | 10,362 | 5/11/63 | 200 bp — | 7,865
Index |  |  |  |  |  | Monthly |
CMBX NA A.6 | A-/P | 26,553 | 172,000 | 13,605 | 5/11/63 | 200 bp — | 13,014
Index |  |  |  |  |  | Monthly |
CMBX NA A.6 | A-/P | 20,798 | 177,000 | 14,001 | 5/11/63 | 200 bp — | 6,866
Index |  |  |  |  |  | Monthly |
CMBX NA A.6 | A-/P | 33,606 | 190,000 | 15,029 | 5/11/63 | 200 bp — | 18,651
Index |  |  |  |  |  | Monthly |
CMBX NA A.6 | A-/P | 61,014 | 367,000 | 29,030 | 5/11/63 | 200 bp — | 32,127
Index |  |  |  |  |  | Monthly |

86 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) cont.
|  | Upfront |  |  |  |  |
|  | premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ |  | received | Notional |  | nation | received | appreciation/
Referenced debt * | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation)
Citigroup Global Markets, Inc. cont. |  |  |  |  |
CMBX NA BB.11 | BB–/P | $77,970 | $138,000 | $21,211 | 11/18/54 | 500 bp — | $56,894
Index |  |  |  |  |  | Monthly |
CMBX NA BB.13 | BB–/P | 15,196 | 152,000 | 14,318 | 12/16/72 | 500 bp — | 941
Index |  |  |  |  |  | Monthly |
CMBX NA BB.13 | BB–/P | 26,330 | 279,000 | 26,282 | 12/16/72 | 500 bp — | 48
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | B/P | 119,351 | 832,000 | 381,139 | 5/11/63 | 500 bp — | (260,979)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.7 | B+/P | 64,660 | 1,267,000 | 462,328 | 1/17/47 | 500 bp — | (396,437)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 43,751 | 276,000 | 18,409 | 8/17/61 | 300 bp — | 25,503
.12 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 10,436 | 119,000 | 8,723 | 12/16/72 | 300 bp — | 1,783
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 27,669 | 294,000 | 21,550 | 12/16/72 | 300 bp — | 6,290
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 1,028 | 33,000 | 1,587 | 12/16/72 | 300 bp — | (540)
.14 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 10,128 | 330,000 | 15,873 | 12/16/72 | 300 bp — | (5,552)
.14 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 12,318 | 377,000 | 18,134 | 12/16/72 | 300 bp — | (5,595)
.14 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– .6 | BB–/P | 32,585 | 133,000 | 35,897 | 5/11/63 | 300 bp — | (3,234)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.11 | BBB–/P | 3,883 | 62,000 | 3,664 | 11/18/54 | 300 bp — | 255
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.14 | BBB–/P | 6,901 | 138,000 | 6,638 | 12/16/72 | 300 bp — | 297
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.14 | BBB–/P | 10,394 | 228,000 | 10,967 | 12/16/72 | 300 bp — | (439)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 1,199 | 15,000 | 4,049 | 5/11/63 | 300 bp — | (2,841)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 17,107 | 260,000 | 70,174 | 5/11/63 | 300 bp — | (52,915)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 21,761 | 330,000 | 89,067 | 5/11/63 | 300 bp — | (67,114)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 23,964 | 352,000 | 95,005 | 5/11/63 | 300 bp — | (70,836)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 275,984 | 4,334,000 | 1,169,747 | 5/11/63 | 300 bp — | (891,234)
Index |  |  |  |  |  | Monthly |
Credit Suisse International |  |  |  |  |  |
CMBX NA BB.7 | B+/P | 30,497 | 228,000 | 83,197 | 1/17/47 | 500 bp — | (52,478)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 52,816 | 478,000 | 129,012 | 5/11/63 | 300 bp — | (75,918)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 129,498 | 1,172,000 | 316,323 | 5/11/63 | 300 bp — | (186,141)
Index |  |  |  |  |  | Monthly |

Master Intermediate Income Trust 87

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) cont.
|  | Upfront |  |  |  |  |
|  | premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ |  | received | Notional |  | nation | received | appreciation/
Referenced debt * | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation)
Credit Suisse International cont. |  |  |  |  |
CMBX NA BBB–.6 | BB–/P | $1,151,228 | $12,252,000 | $3,306,815 | 5/11/63 | 300 bp — | $(2,148,440)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.7 | BB+/P | 51,226 | 780,000 | 153,894 | 1/17/47 | 300 bp — | (102,213)
Index |  |  |  |  |  | Monthly |
Goldman Sachs International |  |  |  |  |  |
CMBX NA A.6 | A-/P | 19,238 | 162,000 | 12,814 | 5/11/63 | 200 bp — | 6,486
Index |  |  |  |  |  | Monthly |
CMBX NA BB.13 | BB–/P | 11,732 | 122,000 | 11,492 | 12/16/72 | 500 bp — | 240
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | B/P | 70,315 | 164,000 | 75,128 | 5/11/63 | 500 bp — | (4,654)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.9 | B+/P | 4,448 | 11,000 | 2,958 | 9/17/58 | 500 bp — | 1,501
Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 736 | 7,000 | 513 | 12/16/72 | 300 bp — | 227
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 1,895 | 32,000 | 2,346 | 12/16/72 | 300 bp — | (432)
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 1,906 | 32,000 | 2,346 | 12/16/72 | 300 bp — | (421)
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 3,946 | 54,000 | 3,958 | 12/16/72 | 300 bp — | 20
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 14,721 | 86,000 | 6,304 | 12/16/72 | 300 bp — | 8,468
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 14,558 | 86,000 | 6,304 | 12/16/72 | 300 bp — | 8,304
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 14,089 | 89,000 | 6,524 | 12/16/72 | 300 bp — | 7,617
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 5,678 | 96,000 | 7,037 | 12/16/72 | 300 bp — | (1,303)
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 15,671 | 100,000 | 7,330 | 12/16/72 | 300 bp — | 8,399
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.14 | BBB–/P | 3,689 | 83,000 | 3,992 | 12/16/72 | 300 bp — | (255)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.14 | BBB–/P | 7,625 | 166,000 | 7,985 | 12/16/72 | 300 bp — | (263)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 682 | 9,000 | 2,429 | 5/11/63 | 300 bp — | (1,742)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 806 | 11,000 | 2,969 | 5/11/63 | 300 bp — | (2,156)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 811 | 11,000 | 2,969 | 5/11/63 | 300 bp — | (2,152)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 1,042 | 13,000 | 3,509 | 5/11/63 | 300 bp — | (2,459)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 1,771 | 26,000 | 7,017 | 5/11/63 | 300 bp — | (5,231)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 2,354 | 28,000 | 7,557 | 5/11/63 | 300 bp — | (5,187)
Index |  |  |  |  |  | Monthly |

88 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (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 | BB–/P | $2,430 | $32,000 | $8,637 | 5/11/63 | 300 bp — | $(6,188)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 3,086 | 39,000 | 10,526 | 5/11/63 | 300 bp — | (7,417)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 4,415 | 44,000 | 11,876 | 5/11/63 | 300 bp — | (7,435)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 6,450 | 46,000 | 12,415 | 5/11/63 | 300 bp — | (5,939)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 7,985 | 60,000 | 16,194 | 5/11/63 | 300 bp — | (8,174)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 8,034 | 60,000 | 16,194 | 5/11/63 | 300 bp — | (8,125)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 5,664 | 64,000 | 17,274 | 5/11/63 | 300 bp — | (11,572)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 6,945 | 66,000 | 17,813 | 5/11/63 | 300 bp — | (10,830)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 8,625 | 78,000 | 21,052 | 5/11/63 | 300 bp — | (12,382)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 6,758 | 78,000 | 21,052 | 5/11/63 | 300 bp — | (14,249)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 7,858 | 91,000 | 24,561 | 5/11/63 | 300 bp — | (16,650)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 5,285 | 102,000 | 27,530 | 5/11/63 | 300 bp — | (22,185)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 14,022 | 103,000 | 27,800 | 5/11/63 | 300 bp — | (13,717)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 12,297 | 110,000 | 29,689 | 5/11/63 | 300 bp — | (17,327)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 12,871 | 115,000 | 31,039 | 5/11/63 | 300 bp — | (18,100)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 10,295 | 122,000 | 32,928 | 5/11/63 | 300 bp — | (22,561)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 10,295 | 122,000 | 32,928 | 5/11/63 | 300 bp — | (22,561)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 6,818 | 135,000 | 36,437 | 5/11/63 | 300 bp — | (29,539)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 22,777 | 137,000 | 36,976 | 5/11/63 | 300 bp — | (14,120)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 7,018 | 137,000 | 36,976 | 5/11/63 | 300 bp — | (29,878)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 23,502 | 157,000 | 42,374 | 5/11/63 | 300 bp — | (18,780)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 23,233 | 158,000 | 42,644 | 5/11/63 | 300 bp — | (19,319)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 18,496 | 166,000 | 44,803 | 5/11/63 | 300 bp — | (26,210)
Index |  |  |  |  |  | Monthly |

Master Intermediate Income Trust 89

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (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 | BB–/P | $18,357 | $169,000 | $45,613 | 5/11/63 | 300 bp — | $(27,158)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 18,286 | 169,000 | 45,613 | 5/11/63 | 300 bp — | (27,229)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 20,534 | 175,000 | 47,233 | 5/11/63 | 300 bp — | (26,596)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 15,166 | 183,000 | 49,392 | 5/11/63 | 300 bp — | (34,119)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 10,015 | 192,000 | 51,821 | 5/11/63 | 300 bp — | (41,694)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 24,103 | 216,000 | 58,298 | 5/11/63 | 300 bp — | (34,070)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 24,103 | 216,000 | 58,298 | 5/11/63 | 300 bp — | (34,070)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 11,095 | 226,000 | 60,997 | 5/11/63 | 300 bp — | (49,771)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 12,285 | 252,000 | 68,015 | 5/11/63 | 300 bp — | (55,583)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 40,089 | 266,000 | 71,793 | 5/11/63 | 300 bp — | (31,550)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 13,442 | 271,000 | 73,143 | 5/11/63 | 300 bp — | (59,543)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 36,039 | 296,000 | 79,890 | 5/11/63 | 300 bp — | (43,679)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 33,021 | 305,000 | 82,320 | 5/11/63 | 300 bp — | (49,121)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 32,527 | 324,000 | 87,448 | 5/11/63 | 300 bp — | (54,732)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 47,211 | 452,000 | 121,995 | 5/11/63 | 300 bp — | (74,520)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 50,821 | 461,000 | 124,424 | 5/11/63 | 300 bp — | (73,334)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 71,741 | 605,000 | 163,290 | 5/11/63 | 300 bp — | (91,195)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 71,494 | 605,000 | 163,290 | 5/11/63 | 300 bp — | (91,442)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 37,011 | 765,000 | 206,474 | 5/11/63 | 300 bp — | (169,016)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 155,865 | 1,042,000 | 281,236 | 5/11/63 | 300 bp — | (124,763)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.7 | BB+/P | 26,578 | 312,000 | 61,558 | 1/17/47 | 300 bp — | (34,798)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.7 | BB+/P | 90,359 | 1,040,000 | 205,192 | 1/17/47 | 300 bp — | (114,226)
Index |  |  |  |  |  | Monthly |

90 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) cont.
|  | Upfront |  |  |  |  |
|  | premium |  |  | Termi- | Payments | Unrealized
Swap counterparty/ |  | received | Notional |  | nation | received | appreciation/
Referenced debt * | Rating*** | (paid)** | amount | Value | date | by fund | (depreciation)
JPMorgan Securities LLC |  |  |  |  |  |
CMBX NA BB.10 | BB–/P | $9,629 | $120,000 | $36,468 | 5/11/63 | 500 bp — | $(26,723)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 5,046 | 55,000 | 4,032 | 12/16/72 | 300 bp — | 1,047
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 11,879 | 59,000 | 4,325 | 12/16/72 | 300 bp — | 7,588
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 3,548 | 60,000 | 4,398 | 12/16/72 | 300 bp — | (815)
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 13,532 | 86,000 | 6,304 | 12/16/72 | 300 bp — | 7,279
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 19,852 | 109,000 | 7,990 | 12/16/72 | 300 bp — | 11,926
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 24,217 | 121,000 | 8,869 | 12/16/72 | 300 bp — | 15,418
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 11,072 | 187,000 | 13,707 | 12/16/72 | 300 bp — | (2,526)
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 35,551 | 367,000 | 26,901 | 12/16/72 | 300 bp — | 8,864
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 48,740 | 516,000 | 37,823 | 12/16/72 | 300 bp — | 11,218
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 5,416,717 | 16,943,000 | 4,572,916 | 5/11/63 | 300 bp — | 853,685
Index |  |  |  |  |  | Monthly |
Merrill Lynch International |  |  |  |  |  |
CMBX NA BB.6 | B/P | 13,977 | 125,000 | 57,263 | 5/11/63 | 500 bp — | (43,164)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB– .6 | BB–/P | 574,463 | 2,132,000 | 575,427 | 5/11/63 | 300 bp — | 280
Index |  |  |  |  |  | Monthly |
Morgan Stanley & Co. International PLC |  |  |  |  |
CMBX NA BB.13 | BB–/P | 6,326 | 66,000 | 6,217 | 12/16/72 | 500 bp — | 173
Index |  |  |  |  |  | Monthly |
CMBX NA BB.13 | BB–/P | 8,078 | 84,000 | 7,913 | 12/16/72 | 500 bp — | 165
Index |  |  |  |  |  | Monthly |
CMBX NA BB.13 | BB–/P | 18,969 | 201,000 | 18,934 | 12/16/72 | 500 bp — | 35
Index |  |  |  |  |  | Monthly |
CMBX NA BB.13 | BB–/P | 27,518 | 286,000 | 26,941 | 12/16/72 | 500 bp — | 855
Index |  |  |  |  |  | Monthly |
CMBX NA BB.13 | BB–/P | 33,160 | 359,000 | 33,818 | 12/16/72 | 500 bp — | (358)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | B/P | 4,741 | 39,000 | 17,866 | 5/11/63 | 500 bp — | (13,087)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | B/P | 8,676 | 48,000 | 21,989 | 5/11/63 | 500 bp — | (13,266)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | B/P | 48,378 | 197,000 | 90,246 | 5/11/63 | 500 bp — | (41,677)
Index |  |  |  |  |  | Monthly |

Master Intermediate Income Trust 91

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (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 cont. |  |  |  |  |
CMBX NA BB.6 | B/P | $135,240 | $322,000 | $147,508 | 5/11/63 | 500 bp — | $(11,955)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | B/P | 142,166 | 335,000 | 153,464 | 5/11/63 | 500 bp — | (10,972)
Index |  |  |  |  |  | Monthly |
CMBX NA BB.6 | B/P | 97,086 | 394,000 | 180,491 | 5/11/63 | 500 bp — | (83,022)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 273 | 4,000 | 293 | 12/16/72 | 300 bp — | (18)
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 5,890 | 29,000 | 2,126 | 12/16/72 | 300 bp — | 3,782
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 1,951 | 33,000 | 2,419 | 12/16/72 | 300 bp — | (448)
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 3,456 | 37,000 | 2,712 | 12/16/72 | 300 bp — | 766
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 5,420 | 59,000 | 4,325 | 12/16/72 | 300 bp — | 1,130
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 11,844 | 63,000 | 4,618 | 12/16/72 | 300 bp — | 7,263
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 13,244 | 81,000 | 5,937 | 12/16/72 | 300 bp — | 7,354
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 5,112 | 92,000 | 6,744 | 12/16/72 | 300 bp — | (1,578)
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 15,735 | 100,000 | 7,330 | 12/16/72 | 300 bp — | 8,464
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 26,771 | 170,000 | 12,461 | 12/16/72 | 300 bp — | 14,409
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 27,786 | 304,000 | 22,283 | 12/16/72 | 300 bp — | 5,680
.13 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 608 | 20,000 | 962 | 12/16/72 | 300 bp — | (342)
.14 Index |  |  |  |  |  | Monthly |
CMBX NA BBB– | BBB–/P | 3,241 | 115,000 | 5,532 | 12/16/72 | 300 bp — | (2,223)
.14 Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 752 | 9,000 | 2,429 | 5/11/63 | 300 bp — | (1,672)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 1,541 | 21,000 | 5,668 | 5/11/63 | 300 bp — | (4,115)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 3,126 | 39,000 | 10,526 | 5/11/63 | 300 bp — | (7,377)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 3,446 | 46,000 | 12,415 | 5/11/63 | 300 bp — | (8,943)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 9,375 | 142,000 | 38,326 | 5/11/63 | 300 bp — | (28,868)
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 9,454 | 144,000 | 38,866 | 5/11/63 | 300 bp — | (29,327)
Index |  |  |  |  |  | Monthly |

92 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (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 cont. |  |  |  |  |
CMBX NA BBB–.6 | BB–/P | $183,195 | $531,000 | $143,317 | 5/11/63 | 300 bp — | $40,188
Index |  |  |  |  |  | Monthly |
CMBX NA BBB–.6 | BB–/P | 519,928 | 7,848,000 | 2,118,175 | 5/11/63 | 300 bp — | (1,593,635)
Index |  |  |  |  |  | Monthly |
Upfront premium received | 11,332,375 |  | Unrealized appreciation |  |  | 1,239,824
Upfront premium (paid) | — |  | Unrealized (depreciation) |  |  | (8,143,400)
Total |  | $11,332,375 |  | Total |  |  | $(6,903,576)

* 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, 2021. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (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 BB.10 Index | $(14,611) | $140,000 | $42,546 | 11/17/59 | (500 bp) — | $27,799
|  |  |  |  | Monthly |
CMBX NA BB.10 Index | (12,500) | 114,000 | 34,645 | 11/17/59 | (500 bp) — | 22,034
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (42,884) | 331,000 | 50,875 | 11/18/54 | (500 bp) — | 7,668
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (13,574) | 144,000 | 22,133 | 11/18/54 | (500 bp) — | 8,419
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (3,877) | 76,000 | 11,681 | 11/18/54 | (500 bp) — | 7,731
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (2,231) | 43,000 | 6,609 | 11/18/54 | (500 bp) — | 4,337
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (13,050) | 40,000 | 5,492 | 8/17/61 | (500 bp) — | (7,597)
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (3,675) | 7,000 | 961 | 8/17/61 | (500 bp) — | (2,721)
|  |  |  |  | Monthly |
CMBX NA BB.8 Index | (8,940) | 69,501 | 24,777 | 10/17/57 | (500 bp) — | 15,770
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (48,410) | 469,000 | 126,114 | 9/17/58 | (500 bp) — | 77,248
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (6,258) | 97,000 | 26,083 | 9/17/58 | (500 bp) — | 19,731
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (3,140) | 80,000 | 21,512 | 9/17/58 | (500 bp) — | 18,294
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (2,755) | 76,000 | 20,436 | 9/17/58 | (500 bp) — | 17,607
|  |  |  |  | Monthly |

Master Intermediate Income Trust 93

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (Unaudited) cont.
| 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. cont. |  |  |  |  |
CMBX NA BB.9 Index | $(1,854) | $46,000 | $12,369 | 9/17/58 | (500 bp) — | $10,470
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (189,131) | 1,100,000 | 137,940 | 11/17/59 | (300 bp) — | (51,832)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (55,015) | 237,000 | 29,720 | 11/17/59 | (300 bp) — | (25,433)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (28,062) | 221,000 | 27,713 | 11/17/59 | (300 bp) — | (478)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (38,410) | 161,000 | 20,189 | 11/17/59 | (300 bp) — | (18,315)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (24,448) | 112,000 | 14,045 | 11/17/59 | (300 bp) — | (10,469)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (23,069) | 106,000 | 13,292 | 11/17/59 | (300 bp) — | (9,839)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (17,963) | 73,000 | 9,154 | 11/17/59 | (300 bp) — | (8,851)
|  |  |  |  | Monthly |
CMBX NA BBB– .12 Index | (16,522) | 240,000 | 16,008 | 8/17/61 | (300 bp) — | (654)
|  |  |  |  | Monthly |
CMBX NA BBB–.10 Index | (47,966) | 161,000 | 20,189 | 11/17/59 | (300 bp) — | (27,870)
|  |  |  |  | Monthly |
CMBX NA BBB–.10 Index | (6,246) | 49,000 | 6,145 | 11/17/59 | (300 bp) — | (114)
|  |  |  |  | Monthly |
CMBX NA BBB–.10 Index | (4,717) | 37,000 | 4,640 | 11/17/59 | (300 bp) — | (86)
|  |  |  |  | Monthly |
CMBX NA BBB–.11 Index | (32,967) | 103,000 | 6,087 | 11/18/54 | (300 bp) — | (26,940)
|  |  |  |  | Monthly |
CMBX NA BBB–.11 Index | (15,684) | 48,000 | 2,837 | 11/18/54 | (300 bp) — | (12,875)
|  |  |  |  | Monthly |
CMBX NA BBB–.11 Index | (1,312) | 4,000 | 236 | 11/18/54 | (300 bp) — | (1,078)
|  |  |  |  | Monthly |
CMBX NA BBB–.12 Index | (71,841) | 215,000 | 14,341 | 8/17/61 | (300 bp) — | (57,626)
|  |  |  |  | Monthly |
CMBX NA BBB–.12 Index | (67,433) | 194,000 | 12,940 | 8/17/61 | (300 bp) — | (54,606)
|  |  |  |  | Monthly |
CMBX NA BBB–.12 Index | (61,865) | 176,000 | 11,739 | 8/17/61 | (300 bp) — | (50,229)
|  |  |  |  | Monthly |
CMBX NA BBB–.12 Index | (48,986) | 139,000 | 9,271 | 8/17/61 | (300 bp) — | (39,795)
|  |  |  |  | Monthly |
CMBX NA BBB–.13 Index | (21,142) | 279,000 | 20,451 | 12/16/72 | (300 bp) — | (691)
|  |  |  |  | Monthly |
CMBX NA BBB–.8 Index | (31,297) | 198,000 | 30,987 | 10/17/57 | (300 bp) — | (425)
|  |  |  |  | Monthly |
CMBX NA BBB–.8 Index | (31,421) | 198,000 | 30,987 | 10/17/57 | (300 bp) — | (549)
|  |  |  |  | Monthly |
CMBX NA BBB–.8 Index | (9,703) | 62,000 | 9,703 | 10/17/57 | (300 bp) — | (36)
|  |  |  |  | Monthly |
CMBX NA BBB–.9 Index | (27,445) | 116,000 | 12,795 | 9/17/58 | (300 bp) — | (14,717)
|  |  |  |  | Monthly |

94 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (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 |  |  |  |  |  |
CMBX NA BB.10 Index | $(38,693) | $290,000 | $88,131 | 11/17/59 | (500 bp) — | $49,156
|  |  |  |  | Monthly |
CMBX NA BB.10 Index | (34,367) | 289,000 | 87,827 | 11/17/59 | (500 bp) — | 53,179
|  |  |  |  | Monthly |
CMBX NA BB.10 Index | (18,893) | 152,000 | 46,193 | 11/17/59 | (500 bp) — | 27,152
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (61,796) | 335,000 | 122,242 | 1/17/47 | (500 bp) — | 60,120
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (4,770) | 29,000 | 10,582 | 1/17/47 | (500 bp) — | 5,784
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (103,355) | 1,031,000 | 277,236 | 9/17/58 | (500 bp) — | 172,879
|  |  |  |  | Monthly |
Goldman Sachs International |  |  |  |  |  |
CMBX NA BB.6 Index | (12,481) | 122,000 | 55,888 | 5/11/63 | (500 bp) — | 43,289
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (32,233) | 213,000 | 77,724 | 1/17/47 | (500 bp) — | 45,284
|  |  |  |  | Monthly |
CMBX NA A .6 Index | (4,240) | 64,000 | 5,062 | 5/11/63 | (200 bp) — | 798
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (19,406) | 53,000 | 7,277 | 8/17/61 | (500 bp) — | (12,181)
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (38,667) | 236,000 | 86,116 | 1/17/47 | (500 bp) — | 47,220
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (25,361) | 150,000 | 54,735 | 1/17/47 | (500 bp) — | 29,229
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (25,381) | 125,000 | 45,613 | 1/17/47 | (500 bp) — | 20,110
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (18,621) | 102,000 | 37,220 | 1/17/47 | (500 bp) — | 18,500
|  |  |  |  | Monthly |
CMBX NA BB.8 Index | (2,606) | 22,202 | 7,915 | 10/17/57 | (500 bp) — | 5,288
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (4,617) | 29,000 | 7,798 | 9/17/58 | (500 bp) — | 3,153
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (2,212) | 14,000 | 3,765 | 9/17/58 | (500 bp) — | 1,539
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (10,061) | 46,000 | 5,768 | 11/17/59 | (300 bp) — | (4,320)
|  |  |  |  | Monthly |
CMBX NA BBB– .12 Index | (8,968) | 46,000 | 3,068 | 8/17/61 | (300 bp) — | (5,927)
|  |  |  |  | Monthly |
CMBX NA BBB–.12 Index | (5,404) | 16,000 | 1,067 | 8/17/61 | (300 bp) — | (4,346)
|  |  |  |  | Monthly |
CMBX NA BBB–.13 Index | (9,245) | 122,000 | 8,943 | 12/16/72 | (300 bp) — | (302)
|  |  |  |  | Monthly |
CMBX NA BBB–.8 Index | (8,938) | 57,000 | 8,921 | 10/17/57 | (300 bp) — | (51)
|  |  |  |  | Monthly |

Master Intermediate Income Trust 95

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (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 |  |  |  |  |  |
CMBX NA BB.11 Index | $(326,686) | $599,000 | $92,066 | 11/18/54 | (500 bp) — | $(235,202)
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (160,920) | 293,000 | 40,229 | 8/17/61 | (500 bp) — | (120,976)
|  |  |  |  | Monthly |
CMBX NA BB.17 Index | (495,531) | 1,012,000 | 369,279 | 1/17/47 | (500 bp) — | (127,236)
|  |  |  |  | Monthly |
CMBX NA BB.8 Index | (52,536) | 102,321 | 36,477 | 10/17/57 | (500 bp) — | (16,158)
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (48,926) | 99,000 | 26,621 | 9/17/58 | (500 bp) — | (22,401)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (10,885) | 66,000 | 8,276 | 11/17/59 | (300 bp) — | (2,647)
|  |  |  |  | Monthly |
CMBX NA BBB–.10 Index | (29,298) | 104,000 | 13,042 | 11/17/59 | (300 bp) — | (16,317)
|  |  |  |  | Monthly |
CMBX NA BBB–.10 Index | (15,790) | 53,000 | 6,646 | 11/17/59 | (300 bp) — | (9,175)
|  |  |  |  | Monthly |
CMBX NA BBB–.11 Index | (31,430) | 100,000 | 5,910 | 11/18/54 | (300 bp) — | (25,579)
|  |  |  |  | Monthly |
CMBX NA BBB–.11 Index | (26,401) | 84,000 | 4,964 | 11/18/54 | (300 bp) — | (21,486)
|  |  |  |  | Monthly |
CMBX NA BBB–.11 Index | (13,218) | 41,000 | 2,423 | 11/18/54 | (300 bp) — | (10,819)
|  |  |  |  | Monthly |
CMBX NA BBB–.11 Index | (5,650) | 18,000 | 1,064 | 11/18/54 | (300 bp) — | (4,596)
|  |  |  |  | Monthly |
CMBX NA BBB–.7 Index | (214,338) | 913,000 | 180,135 | 1/17/47 | (300 bp) — | (34,736)
|  |  |  |  | Monthly |
Merrill Lynch International |  |  |  |  |  |
CMBX NA BB.10 Index | (15,875) | 279,000 | 84,788 | 11/17/59 | (500 bp) — | 68,642
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (101,812) | 206,000 | 31,662 | 11/18/54 | (500 bp) — | (70,351)
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (36,425) | 935,000 | 251,422 | 9/17/58 | (500 bp) — | 214,088
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (20,367) | 94,000 | 11,788 | 11/17/59 | (300 bp) — | (8,634)
|  |  |  |  | Monthly |
CMBX NA BBB–.7 Index | (32,451) | 396,000 | 78,131 | 1/17/47 | (300 bp) — | 45,449
|  |  |  |  | Monthly |
Morgan Stanley & Co. International PLC |  |  |  |  |
CMBX NA BBB–.7 Index | (17,831) | 175,000 | 34,528 | 1/17/47 | (300 bp) — | 16,595
|  |  |  |  | Monthly |
CMBX NA BB.10 Index | (14,683) | 140,000 | 42,546 | 11/17/59 | (500 bp) — | 27,727
|  |  |  |  | Monthly |
CMBX NA BB.11 Index | (3,049) | 32,000 | 4,918 | 11/18/54 | (500 bp) — | 1,838
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (10,868) | 152,000 | 20,870 | 8/17/61 | (500 bp) — | 9,854
|  |  |  |  | Monthly |

96 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (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 | $19,771 | 8/17/61 | (500 bp) — | $12,026
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (7,667) | 105,000 | 14,417 | 8/17/61 | (500 bp) — | 6,648
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (40,800) | 68,000 | 9,336 | 8/17/61 | (500 bp) — | (31,530)
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (3,668) | 52,000 | 7,140 | 8/17/61 | (500 bp) — | 3,421
|  |  |  |  | Monthly |
CMBX NA BB.12 Index | (2,777) | 34,000 | 4,668 | 9/17/58 | (500 bp) — | 1,858
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (39,014) | 194,000 | 70,791 | 1/17/47 | (500 bp) — | 31,588
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (17,547) | 91,000 | 33,206 | 1/17/47 | (500 bp) — | 15,570
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (11,040) | 59,000 | 21,529 | 1/17/47 | (500 bp) — | 10,432
|  |  |  |  | Monthly |
CMBX NA BB.7 Index | (6,055) | 30,000 | 10,947 | 1/17/47 | (500 bp) — | 4,863
|  |  |  |  | Monthly |
CMBX NA BB.8 Index | (30,651) | 59,848 | 21,336 | 10/17/57 | (500 bp) — | (9,374)
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (5,010) | 142,000 | 38,184 | 9/17/58 | (500 bp) — | 33,036
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (5,782) | 94,000 | 25,277 | 9/17/58 | (500 bp) — | 19,404
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (8,785) | 66,000 | 17,747 | 9/17/58 | (500 bp) — | 8,898
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (8,830) | 65,000 | 17,479 | 9/17/58 | (500 bp) — | 8,586
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (3,952) | 65,000 | 17,479 | 9/17/58 | (500 bp) — | 13,464
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (9,506) | 63,000 | 16,941 | 9/17/58 | (500 bp) — | 7,374
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (8,614) | 63,000 | 16,941 | 9/17/58 | (500 bp) — | 8,266
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (1,876) | 48,000 | 12,907 | 9/17/58 | (500 bp) — | 10,984
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (1,685) | 34,000 | 9,143 | 9/17/58 | (500 bp) — | 7,424
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (4,541) | 30,000 | 8,067 | 9/17/58 | (500 bp) — | 3,497
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (4,541) | 30,000 | 8,067 | 9/17/58 | (500 bp) — | 3,497
|  |  |  |  | Monthly |
CMBX NA BB.9 Index | (352) | 4,000 | 1,076 | 9/17/58 | (500 bp) — | 720
|  |  |  |  | Monthly |
CMBX NA BBB– . 8 Index | (16,646) | 107,000 | 16,746 | 10/17/57 | (300 bp) — | 38
|  |  |  |  | Monthly |

Master Intermediate Income Trust 97

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (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 BBB– . 8 Index | $(8,468) | $54,000 | $8,451 | 10/17/57 | (300 bp) — | $(49)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (51,248) | 304,000 | 38,122 | 11/17/59 | (300 bp) — | (13,303)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (17,456) | 136,000 | 17,054 | 11/17/59 | (300 bp) — | (481)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (27,435) | 116,000 | 14,546 | 11/17/59 | (300 bp) — | (12,957)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (24,867) | 102,000 | 12,791 | 11/17/59 | (300 bp) — | (12,135)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (7,908) | 66,000 | 8,276 | 11/17/59 | (300 bp) — | 330
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (13,546) | 59,000 | 7,399 | 11/17/59 | (300 bp) — | (6,182)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (12,006) | 55,000 | 6,897 | 11/17/59 | (300 bp) — | (5,141)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (4,987) | 23,000 | 2,884 | 11/17/59 | (300 bp) — | (2,116)
|  |  |  |  | Monthly |
CMBX NA BBB– .10 Index | (4,325) | 20,000 | 2,508 | 11/17/59 | (300 bp) — | (1,829)
|  |  |  |  | Monthly |
CMBX NA BBB–.10 Index | (19,495) | 158,000 | 19,813 | 11/17/59 | (300 bp) — | 226
|  |  |  |  | Monthly |
CMBX NA BBB–.10 Index | (10,907) | 86,000 | 10,784 | 11/17/59 | (300 bp) — | (166)
|  |  |  |  | Monthly |
CMBX NA BBB–.10 Index | (8,751) | 69,000 | 8,653 | 11/17/59 | (300 bp) — | (133)
|  |  |  |  | Monthly |
CMBX NA BBB–.11 Index | (9,675) | 31,000 | 1,832 | 11/18/54 | (300 bp) — | (7,861)
|  |  |  |  | Monthly |
CMBX NA BBB–.11 Index | (5,697) | 18,000 | 1,064 | 11/18/54 | (300 bp) — | (4,644)
|  |  |  |  | Monthly |
CMBX NA BBB–.7 Index | (14,539) | 229,000 | 45,182 | 1/17/47 | (300 bp) — | 30,509
|  |  |  |  | Monthly |
CMBX NA BBB–.8 Index | (15,432) | 99,000 | 15,494 | 10/17/57 | (300 bp) — | 4
|  |  |  |  | Monthly |
CMBX NA BBB–.8 Index | (8,987) | 58,000 | 9,077 | 10/17/57 | (300 bp) — | 57
|  |  |  |  | Monthly |
Upfront premium received | — |  | Unrealized appreciation |  |  | 1,446,701
Upfront premium (paid) | (3,738,362) |  | Unrealized (depreciation) |  |  | (1,285,167)
Total | $(3,738,362) |  | Total |  |  | $161,534

* 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.

98 Master Intermediate Income Trust

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

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

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

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

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

|  |  | Valuation inputs |
Investments in securities: | Level 1 | Level 2 | Level 3
Common stocks *: |  |  |
Consumer cyclicals | $118,157 | $4,007 | $—
Energy | 22,449 | 104 | 186
Financials | — | — | 16,195
Health care | 16,745 | — | —
Utilities and power | — | 10,311 | —
Total common stocks | 157,351 | 14,422 | 16,381
Asset-backed securities | — | 1,995,059 | —
Convertible bonds and notes | — | 18,017,131 | —
Corporate bonds and notes | — | 49,906,928 | 72
Foreign government and agency bonds and notes | — | 28,989,024 | —
Mortgage-backed securities | — | 101,273,890 | —
Purchased options outstanding | — | 361,032 | —
Purchased swap options outstanding | — | 7,468,223 | —
Senior loans | — | 7,680,586 | —
U.S. government and agency mortgage obligations | — | 171,187,371 | —
U.S. treasury obligations | — | 1,638,494 | —
Short-term investments | 330,000 | 36,420,724 | —
Totals by level | $487,351 | $424,952,884 | $16,453
|  |  | Valuation inputs |
Other financial instruments: | Level 1 | Level 2 | Level 3
Forward currency contracts | $— | $256,174 | $—
Futures contracts | 217,579 | — | —
Written options outstanding | — | (694,281) | —
Written swap options outstanding | — | (8,312,597) | —
Forward premium swap option contracts | — | 1,061,067 | —
TBA sale commitments | — | (67,736,406) | —
Interest rate swap contracts | — | 3,683,914 | —
Total return swap contracts | — | (3,985,058) | —
Credit default contracts | — | (14,336,055) | —
Totals by level | $217,579 | $(90,063,242) | $—

* 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.

Master Intermediate Income Trust 99

Statement of assets and liabilities 3/31/21 (Unaudited)

ASSETS |
Investment in securities, at value (Notes 1 and 9): |
Unaffiliated issuers (identified cost $414,983,344) | $410,493,401
Affiliated issuers (identified cost $14,963,287) (Notes 1 and 5) | 14,963,287
Cash | 1,815,539
Foreign currency (cost $4,661) (Note 1) | 4,239
Interest and other receivables | 2,394,164
Receivable for investments sold | 978,540
Receivable for sales of TBA securities (Note 1) | 39,699,500
Receivable for variation margin on futures contracts (Note 1) | 76,943
Receivable for variation margin on centrally cleared swap contracts (Note 1) | 2,728,864
Unrealized appreciation on forward premium swap option contracts (Note 1) | 6,390,465
Unrealized appreciation on forward currency contracts (Note 1) | 1,892,830
Unrealized appreciation on OTC swap contracts (Note 1) | 2,757,280
Premium paid on OTC swap contracts (Note 1) | 3,738,362
Prepaid assets | 37,374
Total assets | 487,970,788
LIABILITIES |
Payable for investments purchased | 5,301,591
Payable for purchases of delayed delivery securities (Note 1) | 90,000
Payable for purchases of TBA securities (Note 1) | 141,933,906
Payable for compensation of Manager (Note 2) | 430,508
Payable for custodian fees (Note 2) | 78,376
Payable for investor servicing fees (Note 2) | 19,248
Payable for Trustee compensation and expenses (Note 2) | 132,239
Payable for administrative services (Note 2) | 701
Payable for variation margin on centrally cleared swap contracts (Note 1) | 2,750,445
Distributions payable to shareholders | 1,148,441
Unrealized depreciation on OTC swap contracts (Note 1) | 9,480,219
Premium received on OTC swap contracts (Note 1) | 11,332,375
Unrealized depreciation on forward currency contracts (Note 1) | 1,636,656
Unrealized depreciation on forward premium swap option contracts (Note 1) | 5,329,398
Written options outstanding, at value (premiums $8,843,559) (Note 1) | 9,006,878
TBA sale commitments, at value (proceeds receivable $67,924,453) (Note 1) | 67,736,406
Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9) | 2,883,464
Other accrued expenses | 143,065
Total liabilities | 259,433,916
Net assets | $228,536,872

(Continued on next page)

100 Master Intermediate Income Trust

Statement of assets and liabilities cont.

REPRESENTED BY |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $327,158,222
Total distributable earnings (Note 1) | (98,621,350)
Total — Representing net assets applicable to capital shares outstanding | $228,536,872
COMPUTATION OF NET ASSET VALUE |
Net asset value per share ($228,536,872 divided by 51,173,706 shares) | $4.47

*Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

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

Master Intermediate Income Trust 101

Statement of operations Six months ended 3/31/21 (Unaudited)

INVESTMENT INCOME |
Interest (net of foreign tax of $1,141) (including interest income of $8,049 from investments |
in affiliated issuers) (Note 5) | $5,820,722
Total investment income | 5,820,722
EXPENSES |
Compensation of Manager (Note 2) | 848,511
Investor servicing fees (Note 2) | 57,027
Custodian fees (Note 2) | 63,072
Trustee compensation and expenses (Note 2) | 5,133
Administrative services (Note 2) | 3,872
Auditing and tax fees | 76,111
Other | 121,176
Total expenses | 1,174,902
Expense reduction (Note 2) | (844)
Net expenses | 1,174,058
Net investment income | 4,646,664
REALIZED AND UNREALIZED GAIN (LOSS) |
Net realized gain (loss) on: |
Securities from unaffiliated issuers (Notes 1 and 3) | 3,993,732
Foreign currency transactions (Note 1) | (20,994)
Forward currency contracts (Note 1) | (149,922)
Futures contracts (Note 1) | (129,684)
Swap contracts (Note 1) | (1,407,185)
Written options (Note 1) | 208,473
Total net realized gain | 2,494,420
Change in net unrealized appreciation (depreciation) on: |
Securities from unaffiliated issuers and TBA sale commitments | 190,072
Assets and liabilities in foreign currencies | (533)
Forward currency contracts | 19,013
Futures contracts | 395,115
Swap contracts | 4,763,183
Written options | 3,740,097
Total change in net unrealized appreciation | 9,106,947
Net gain on investments | 11,601,367
Net increase in net assets resulting from operations | $16,248,031

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

102 Master Intermediate Income Trust

Statement of changes in net assets

INCREASE (DECREASE) IN NET ASSETS | Six months ended 3/31/21* | Year ended 9/30/20
Operations |  |
Net investment income | $4,646,664 | $9,287,584
Net realized gain on investments |  |
and foreign currency transactions | 2,494,420 | 1,763,066
Change in net unrealized appreciation (depreciation) |  |
of investments and assets and liabilities |  |
in foreign currencies | 9,106,947 | (20,218,710)
Net increase (decrease) in net assets resulting |  |
from operations | 16,248,031 | (9,168,060)
Distributions to shareholders (Note 1): |  |
From ordinary income |  |
Net investment income | (7,577,070) | (10,765,727)
From return of capital | — | (7,761,471)
Decrease from capital share transactions (Note 5) | (225,056) | (2,329,812)
Increase in capital share transactions from reinvestment |  |
of distributions | — | 155,053
Total increase (decrease) in net assets | 8,445,905 | (29,870,017)
NET ASSETS |  |
Beginning of period | 220,090,967 | 249,960,984
End of period | $228,536,872 | $220,090,967
NUMBER OF FUND SHARES |  |
Shares outstanding at beginning of period | 51,227,679 | 51,795,725
Shares repurchased (Note 5) | (53,973) | (604,664)
Shares issued in connection with reinvestment |  |
of distributions | — | 36,618
Shares outstanding at end of period | 51,173,706 | 51,227,679

*Unaudited.

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

Master Intermediate Income Trust 103

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

PER-SHARE OPERATING PERFORMANCE |  |  |  |  |  |
Six months ended** |  |  | Year ended |  |
| 3/31/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16
Net asset value, beginning of period | $4.30 | $4.83 | $4.94 | $5.03 | $4.86 | $5.03
Investment operations: |  |  |  |  |  |
Net investment income a | .09 | .18 | .24 | .26 | .26 | .28
Net realized and unrealized |  |  |  |  |  |
gain (loss) on investments | .23 | (.35) | (.02) | (.06) | .21 | (.15)
Total from investment operations | .32 | (.17) | .22 | .20 | .47 | .13
Less distributions: |  |  |  |  |  |
From net investment income | (.15) | (.21) | (.34) | (.29) | (.31) | (.31)
From return of capital | — | (.15) | — | — | — | —
Total distributions | (.15) | (.36) | (.34) | (.29) | (.31) | (.31)
Increase from shares repurchased | —e | —e | .01 | —e | .01 | .01
Net asset value, end of period | $4.47 | $4.30 | $4.83 | $4.94 | $5.03 | $4.86
Market value, end of period | $4.32 | $4.11 | $4.59 | 4.52 | $4.73 | $4.42
Total return at market value (%) b | 8.85* | (2.85) | 9.48 | 1.66 | 14.32 | 5.08
RATIOS AND SUPPLEMENTAL DATA |  |  |  |  |  |
Net assets, end of period |  |  |  |  |  |
(in thousands) | $228,537 | $220,091 | $249,961 | $262,509 | $269,544 | $263,234
Ratio of expenses to average |  |  |  |  |  |
net assets (%) c | .52* | 1.01 | 1.02 | 1.00 | .99 | 1.00
Ratio of net investment income |  |  |  |  |  |
to average net assets (%) | 2.04* | 3.98 | 4.90 | 5.11 | 5.24 | 5.82
Portfolio turnover (%) d | 577* | 995 | 899 | 715 | 976 | 823

* 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.

104 Master Intermediate Income Trust

Notes to financial statements 3/31/21 (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, 2020 through March 1, 2021.

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 105

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

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

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

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

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

Interest income, net of any applicable withholding taxes, if any, and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis.

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

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

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

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

106 Master Intermediate Income Trust

gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

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

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

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

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

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

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

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

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

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

Master Intermediate Income Trust 107

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

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

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

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

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

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

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

Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts for hedging market 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

108 Master Intermediate Income Trust

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

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

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

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

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

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

Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as 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 Intermediate Income Trust 109

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

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

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

At the close of the reporting period, the fund had a net liability position of $15,504,832 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $16,379,840 and may include amounts related to unsettled agreements.

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

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

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

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

Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At September 30, 2020, 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
$38,403,528 | $30,892,679 | $69,296,207

110 Master Intermediate Income Trust

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 $351,396,048, resulting in gross unrealized appreciation and depreciation of $37,690,491 and $53,475,514, respectively, or net unrealized depreciation of $15,785,023.

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 established 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 0.372% of the fund’s average net assets.

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

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

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.

Master Intermediate Income Trust 111

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $844 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $157, 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) | $1,824,812,673 | $1,790,952,350
U.S. government securities (Long-term) | — | —
Total | $1,824,812,673 | $1,790,952,350

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 2020, the Trustees approved the renewal of the repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 365 day period ending September 30, 2021 (based on shares outstanding as of September 30, 2020). 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 356 day period ending September 30, 2020 (based on shares outstanding as of October 9, 2019). Repurchases are made when the fund’s shares are trading at less than net asset value and in accordance with procedures approved by the fund’s Trustees. At Putnam’s recommendation, the share repurchase program was temporarily suspended on March 24, 2020 and reinstated July 1, 2020.

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

For the previous fiscal year, the fund repurchased 604,664 common shares for an aggregate purchase price of $2,329,812, which reflected a weighted-average discount from net asset value per share of 9.46%. The weighted-average discount reflected the payment of commissions by the fund to execute repurchase trades.

At the close of the reporting period, Putnam Investments, LLC owned approximately 2,069 shares of the fund (0.004% of the fund’s shares outstanding), valued at $9,248 based on net asset value.

112 Master Intermediate Income Trust

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 9/30/20 | cost | proceeds | income | of 3/31/21
Short-term investments |  |  |  |  |
Putnam Short Term |  |  |  |  |
Investment Fund* | $12,804,784 | $36,365,434 | $34,206,931 | $8,049 | $14,963,287
Total Short-term |  |  |  |  |
investments | $12,804,784 | $36,365,434 | $34,206,931 | $8,049 | $14,963,287

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

Note 6: Market, credit and other risks

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

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

On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. In November 2020, this date was extended until June 30, 2023 for certain widely followed tenors (overnight and one-, three-, six-, and 12-month U.S. dollar LIBOR). 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 June 30, 2023.

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

Note 7: Senior loan commitments

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

Master Intermediate Income Trust 113

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) | $112,000,000
Purchased currency option contracts (contract amount) | $42,000,000
Purchased swap option contracts (contract amount) | $600,400,000
Written equity option contracts (contract amount) | $—*
Written TBA commitment option contracts (contract amount) | $109,100,000
Written currency option contracts (contract amount) | $42,500,000
Written swap option contracts (contract amount) | $490,100,000
Futures contracts (number of contracts) | 1,000
Forward currency contracts (contract amount) | $250,500,000
Centrally cleared interest rate swap contracts (notional) | $821,500,000
OTC total return swap contracts (notional) | $14,200,000
Centrally cleared total return swap contracts (notional) | $170,100,000
OTC credit default contracts (notional) | $90,000,000
Warrants (number of warrants) | 4,000

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

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

Fair value of derivative instruments as of the close of the reporting period |
| ASSET DERIVATIVES | LIABILITY DERIVATIVES
Derivatives not |  |  |  |
accounted for as | Statement of |  | Statement of |
hedging instruments | assets and |  | assets and |
under ASC 815 | liabilities location | Fair value | liabilities location | Fair value
Credit contracts | Receivables | $3,899,896 | Payables | $18,240,571
Foreign exchange |  |  |  |
contracts | Receivables | 1,892,830 | Payables | 1,636,656
| Investments, |  |  |
| Receivables, Net |  |  |
| assets — Unrealized |  | Payables, Net assets — |
Interest rate contracts | appreciation | 31,004,226* | Unrealized depreciation | 31,199,727*
Total |  | $36,796,952 |  | $51,076,954

* 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.

114 Master Intermediate Income Trust

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

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 | $— | $— | $— | $(631,791) | $(631,791)
Foreign exchange contracts | 750,533 | — | (149,922) | — | 600,611
Interest rate contracts | 1,984,464 | (129,684) | — | (775,394) | 1,079,386
Total | $2,734,997 | $(129,684) | $(149,922) | $(1,407,185) | $1,048,206
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss)
on investments |  |  |  |  |
Derivatives not accounted |  |  | Forward |  |
for as hedging instruments |  |  | currency |  |
under ASC 815 | Options | Futures | contracts | Swaps | Total
Credit contracts | $— | $— | $— | $3,087,560 | $3,087,560
Foreign exchange contracts | 159,899 | — | 19,013 | — | 178,912
Interest rate contracts | (1,499,870) | 395,115 | — | 1,675,623 | 570,868
Total | $(1,339,971) | $395,115 | $19,013 | $4,763,183 | $3,837,340

Master Intermediate Income Trust 115

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) | Citibank, N. A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N. A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto - Dominion Bank | UBS AG | Wells Fargo Bank, N. A. | WestPac Banking Corp. | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
interest rate swap |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts§ | $— | $— | $2,728,864 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $2,728,864
OTC Total return |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap contracts*# | — | 13,638 | — | 1,795 | — | 13,920 | — | 23,707 | — | 13,648 | 4,047 | — | — | — | — | — | — | — | — | 70,755
OTC Credit default |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
protection sold *# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | —
OTC Credit default |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
protection |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
purchased*# | — | — | — | — | 863,686 | 630,144 | — | 415,724 | — | — | 784,281 | 456,124 | 749,937 | — | — | — | — | — | — | 3,899,896
Futures contracts§ | — | — | — | — | — | — | — | — | — | — | 76,943 | — | — | — | — | — | — | — | — | 76,943
Forward currency |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts# | 25,969 | 64,994 | — | 119,255 | — | 36,796 | — | 297,210 | 34,307 | 70,714 | — | — | 62,268 | 100,330 | 708,636 | 73,335 | 218,330 | — | 80,686 | 1,892,830
Forward premium |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap option |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts# | 2,136,099 | 66,218 | — | 1,007,415 | — | — | — | 128,587 | — | 957,272 | — | — | 195,940 | — | — | 324,687 | 1,113,773 | 460,474 | — | 6,390,465
Purchased swap |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
options **# | 282,006 | 771,783 | — | 202,032 | — | — | — | 667,042 | — | 3,111,167 | — | — | 1,979,833 | — | — | 191,035 | 263,325 | — | — | 7,468,223
Purchased |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
options **# | — | — | — | — | — | — | — | — | — | 361,032 | — | — | — | — | — | — | — | — | — | 361,032
Total Assets | $2,444,074 | $916,633 | $2,728,864 | $1,330,497 | $863,686 | $680,860 | $— | $1,532,270 | $34,307 | $4,513,833 | $865,271 | $456,124 | $2,987,978 | $100,330 | $708,636 | $589,057 | $1,595,428 | $460,474 | $80,686 | $22,889,008
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
interest rate swap |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts§ | — | — | 2,750,445 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 2,750,445
OTC Total return |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap contracts*# | — | 10,213 | — | — | — | 3,594 | 12 | 15,751 | — | 2,248 | 15,214 | — | 4,620 | — | — | — | — | — | — | 51,652
OTC Credit default |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
protection sold *# | 209,529 | — | — | — | 2,573,242 | 3,980,455 | — | 2,983,474 | — | — | 4,712,822 | 631,324 | 3,145,105 | — | — | — | — | — | — | 18,235,951
OTC Credit default |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
protection |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
purchased*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | —
Futures contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | —
Forward currency |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts# | 113,906 | 81,321 | — | 34,319 | — | 41,182 | — | 62,989 | 137,981 | 88,254 | — | — | 377,366 | 113,148 | 161,034 | 94,745 | 315,212 | — | 15,199 | 1,636,656

116 Master Intermediate Income Trust | Master Intermediate Income Trust 117

| Bank of America N. A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | Citibank, N. A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N. A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto - Dominion Bank | UBS AG | Wells Fargo Bank, N. A. | WestPac Banking Corp. | Total
Forward premium |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap option |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts# | $1,679,676 | $55,248 | $— | $797,698 | $— | $— | $— | $204,952 | $— | $1,391,181 | $— | $— | $152,956 | $— | $— | $181,038 | $649,050 | $217,599 | $— | $5,329,398
Written swap |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
options # | 340,851 | 489,992 | — | 1,166,995 | — | — | — | 759,759 | — | 2,591,559 | — | — | 2,071,330 | — | — | 352,508 | 539,603 | — | — | 8,312,597
Written options # | — | — | — | — | — | — | — | — | — | 694,281 | — | — | — | — | — | — | — | — | — | 694,281
Total Liabilities | $2,343,962 | $636,774 | $2,750,445 | $1,999,012 | $2,573,242 | $4,025,231 | $12 | $4,026,925 | $137,981 | $4,767,523 | $4,728,036 | $631,324 | $5,751,377 | $113,148 | $161,034 | $628,291 | $1,503,865 | $217,599 | $15,199 | $37,010,980
Total Financial |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
and Derivative |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net Assets | $100,112 | $279,859 | $(21,581) | $(668,515) | $(1,709,556) | $(3,344,371) | $(12) | $(2,494,655) | $(103,674) | $(253,690) | $(3,862,765) | $(175,200) | $(2,763,399) | $(12,818) | $547,602 | $(39,234) | $91,563 | $242,875 | $65,487 | $(14,121,972)
Total collateral |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
received |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(pledged)†## | $(242,000) | $279,859 | $— | $(668,515) | $(1,709,556) | $(3,328,938) | $— | $(2,464,984) | $(99,990) | $(253,690) | $(3,862,765) | $(122,000) | $(2,763,399) | $— | $547,602 | $— | $91,563 | $210,000 | $— |
Net amount | $342,112 | $— | $(21,581) | $— | $— | $(15,433) | $(12) | $(29,671) | $(3,684) | $— | $— | $(53,200) | $— | $(12,818) | $— | $(39,234) | $— | $32,875 | $65,487 |
Controlled |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
collateral received |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(including TBA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
commitments)** | $— | $1,972,353 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $581,111 | $— | $120,000 | $210,000 | $— | $2,883,464
Uncontrolled |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
collateral received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $—
Collateral |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(pledged) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(including TBA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
commitments)** | $(242,000) | $— | $— | $(685,000) | $(1,728,989) | $(3,328,938) | $— | $(2,464,984) | $(99,990) | $(946,973) | $(3,920,966) | $(122,000) | $(2,840,000) | $— | $— | $— | $— | $— | $— | $(16,379,840)

* 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 $506,991 and $3,220,989, respectively.

118 Master Intermediate Income Trust | Master Intermediate Income Trust 119

Note 10: New accounting pronouncements

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020–04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020–04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. The discontinuation of LIBOR was subsequently extended to June 30, 2023. ASU 2020–04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this provision.

Shareholder meeting results (Unaudited)

April 20, 2021 annual meeting

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

Votes for | Votes against | Abstentions
28,546,176 | 761,190 | 568,094

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

| Votes for | Votes withheld
Liaquat Ahamed | 28,756,433 | 1,119,032
Ravi Akhoury | 28,321,620 | 1,553,845
Barbara M. Baumann | 26,208,965 | 3,666,500
Katinka Domotorffy | 28,361,671 | 1,513,794
Catharine Bond Hill | 28,391,828 | 1,483,637
Paul L. Joskow | 26,077,335 | 3,798,230
Kenneth R. Leibler | 26,270,558 | 3,604,907
Robert L. Reynolds | 26,295,517 | 3,579,948
George Putnam, III | 28,799,714 | 1,075,751
Manoj P. Singh | 28,171,596 | 1,703,869
Mona K. Sutphen | 28,719,687 | 1,155,778

All tabulations are rounded to the nearest whole number.

120 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 | George Putnam, III |
London, England SW1A 1ER | Robert L. Reynolds | Richard T. Kircher
| Manoj P. Singh | Vice President and BSA
Marketing Services | Mona K. Sutphen | Compliance Officer
Putnam Retail Management |  |
100 Federal Street | Officers | Susan G. Malloy
Boston, MA 02110 | Robert L. Reynolds | Vice President and
| President | Assistant Treasurer
Custodian |  |
State Street Bank | Robert T. Burns | Denere P. Poulack
and Trust Company | Vice President and | Assistant Vice President, Assistant
| Chief Legal Officer | Clerk, and Assistant Treasurer
Legal Counsel |  |
Ropes & Gray LLP | James F. Clark | Janet C. Smith
| Vice President, Chief Compliance | Vice President,
| Officer, and Chief Risk Officer | Principal Financial Officer,
|  | Principal Accounting Officer,
| Nancy E. Florek | and Assistant Treasurer
| Vice President, Director of |
| Proxy Voting and Corporate | Mark C. Trenchard
| Governance, Assistant Clerk, | Vice President
| 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) There have been no changes to the list of the registrant's identified portfolio managers included in the registrant's report on Form N-CSR for the most recent completed fiscal year.

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

| Registrant Purchase of Equity Securities

|  |  |  |  | Maximum
|  |  |  | Total Number | Number (or
|  |  |  | of Shares | Approximate
|  |  |  | Purchased | Dollar Value)
|  |  |  | as Part | of Shares
|  |  |  | of Publicly | that May Yet Be
|  | Total Number | Average | Announced | Purchased
|  | of Shares | Price Paid | Plans or | under the Plans
| Period | Purchased | per Share | Programs* | or Programs**
| October 1 — October 31, 2020 | — | — | — | 5,122,767
| November 1 — November 30, 2020 | — | — | — | 5,122,767
| December 1 — December 31, 2020 | 52,112 | $4.17 | 52,112 | 5,070,655
| January 1 — January 31, 2021 | — | — | — | 5,070,655
| February 1 — February 28, 2021 | 1,861 | $4.22 | 1,861 | 5,068,794
| March 1 — March 31, 2021 | — | — | — | 5,068,794

| * 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 2019, which was in effect between October 10, 2019 and September 30, 2020, allowed the fund to repurchase up to 5,179,573 of its shares. The program renewed by the Board in September 2020, which is in effect between October 1, 2020 and September 30, 2021, allows the fund to repurchase up to 5,122,767 of its shares

| ** Information prior to October 1, 2020 is based on the total number of shares eligible for repurchase under the program, as amended through September 2019. Information from October 1, 2020 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2020.

| 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.

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

| SIGNATURES

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

| Putnam Master Intermediate Income Trust

| By (Signature and Title):

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

| Date: May 26, 2021

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

| By (Signature and Title):

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

| Date: May 26, 2021

| By (Signature and Title):

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

| Date: May 26, 2021