N-CSRS 1 a_masterintermediate.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: | Stephen Tate, 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, 2022

| Date of reporting period: | October 1, 2021 – March 31, 2022

| 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 | 22

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 | 107 |  |

Message from the Trustees

May 19, 2022

Dear Fellow Shareholder:

Financial markets have been bumpy in recent months. Investors are weighing the risks of higher inflation, interest-rate increases by the Federal Reserve, and the global impact of Russia’s attack on Ukraine. Regional surges in Covid-19 infections are also complicating global trade.

In times like these, it’s worth remembering the benefits of staying focused on your long-term financial goals. At Putnam, professional, active investors are working for you. They are monitoring risks while looking for strong potential investments for your fund. Learn more in the interview with your fund manager(s) in the following pages.

Thank you for investing with Putnam.

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

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

A veteran portfolio management team

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

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Allocations are shown as a percentage of the fund’s net assets as of 3/31/22. 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 charts include the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.

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Data are historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. See below and pages 11–12 for additional performance information, including fund returns at market price. Index and Lipper results should be compared with fund performance at NAV.

Returns for periods of less than one year are not annualized.

Lipper peer group average is provided by Lipper, a Refinitiv company.

* 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.

This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/22. See above and pages 11–12 for additional fund performance information. Index descriptions can be found on pages 14–15.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

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Mike, what was the fund’s investment environment like during the six months ended March 31, 2022?

After posting relatively subdued returns during the first half of the period, fixed income markets became volatile during the second half. Hawkish policy pivots from the U.S. Federal Reserve and the European Central Bank in the face of rapidly rising inflation, combined with Russia’s invasion of Ukraine, fueled a flight from risk.

Within this environment, credit spreads widened and interest rates rose. [Spreads are the yield advantage credit-sensitive bonds offer over comparable-maturity U.S. Treasuries. Bond prices rise as yield spreads tighten and decline as spreads widen.] The yield on the benchmark 10-year U.S. Treasury rose from 1.48% on October 1, 2021, to 2.32% on March 31, 2022. In anticipation of Fed policy changes, short-term yields rose even more, causing the yield curve to flatten materially.

On March 16, the Fed approved a 0.25% interest-rate hike, its first increase since December 2018. Fed Chair Jerome Powell signaled an aggressive approach going forward, indicating that additional hikes could occur

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Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/22. 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.

at each of the remaining six policy meetings in 2022.

Which holdings and strategies hampered the fund’s performance?

First off, I think it’s important to highlight that the fund continued to invest outside the constraints of traditional fixed income benchmarks, seeking what we view as the best investment opportunities based on risk rather than asset class. These risks include interest rate, credit, prepayment, and liquidity. During the period, the fund underperformed its T-bill benchmark, but its emphasis on diversification helped it outpace the broad investment-grade fixed income market, as measured by the Bloomberg U.S. Aggregate Bond Index.

In terms of specific strategies, our interest-rate and yield curve strategy was the primary detractor this period. The portfolio was positioned to benefit if inflation declined and real interest rates rose. [Real interest rates adjust for the effects of inflation by subtracting the actual or expected rate of inflation from nominal interest rates.] Rising inflation hurt our strategy, but the portfolio benefited from an increase in real interest rates during the first quarter of 2022. This benefit partially offset the negative outcome of our broader term structure strategy.

Strategies targeting prepayment risk also proved negative overall. Yield spreads on our agency interest-only [IO] and inverse IO collateralized mortgage obligations [CMOs] widened during the fourth quarter of 2021 due to broader market volatility. Our mortgage basis positioning helped offset some of this performance drag. This strategy received a boost early in 2022, following the release of the minutes from the Fed’s December 2021 policy meeting. The minutes indicated the central bank might sell its holdings of government agency mortgage-backed securities [MBS] more rapidly than investors originally anticipated, which could cause MBS yields to rise more quickly. By

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way of explanation, our mortgage basis strategy seeks to capitalize on the difference between longer-term U.S. Treasury yields and the interest rates on 30-year home mortgages.

Elsewhere, our active currency strategy was a further detractor, primarily because our long exposure to the Japanese yen weakened significantly versus the U.S. dollar during March.

Holdings of emerging market [EM] debt also worked against performance. The turmoil resulting from Russia’s invasion of Ukraine hit EM bonds particularly hard in February. EM debt rebounded a bit in March but not enough to fully offset earlier weakness.

What about contributors?

Mortgage credit holdings added considerable value this period, led by an allocation to commercial mortgage-backed securities [CMBS]. Our investments consisted of cash bonds along with synthetic exposure via CMBX. CMBX is a group of tradeable indexes that each reference a basket of 25 CMBS issued in a particular year. Despite broader market volatility, the continued reopening of the economy and the success of vaccines helped many types of property recover, which, in turn, boosted our CMBS positions.

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 also employed interest-rate swaps to gain exposure to rates in various countries. We utilized options to hedge the fund’s interest-rate risk, to isolate the prepayment risk associated with our holdings of CMOs, and to help manage overall downside

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 3/31/22. Short-term investments, to-be-announced (TBA) commitments, and derivatives, if any, are excluded. Holdings may vary over time.

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risk. 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 are your current views on the major sectors in which the fund invests?

Overall, we have a cautiously optimistic outlook but recognize that geopolitical tensions and monetary policy decisions will likely continue to influence fixed income markets.

Looking first at high-yield corporate credit, our view is moderately constructive. We have a positive outlook for high-yield market fundamentals and the overall supply-and-demand backdrop. That said, we anticipate continued bouts of volatility given the conflict in Ukraine, the pace of Fed rate hikes, and potentially negative effects on energy supplies from sanctions on Russia. Our view on valuations is more neutral, given the relative tightness of yield spreads in the market as of March 31. Spreads widened during the period but remain tight by historical standards.

We believe the fundamental environment will continue to improve in the CMBS market as workers return to offices, consumer traffic increases at retailers, and hotels welcome back business and leisure travelers. Our emphasis on investment opportunities in the U.S. helps to minimize the impact of geopolitical risk on the fund’s portfolio, in our view. Moreover, with real assets serving as collateral, along with the potential for rent adjustments, CMBS have historically performed well during periods of rising inflation. Consistent with risk markets generally, CMBS spreads widened during the quarter. The increased liquidity premium enhanced the appeal of select market segments.

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 chart includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.

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Within residential mortgage credit, we believe continued high demand and low inventory of available homes is likely to push prices even higher. Given that home prices have already risen substantially and mortgage rates have moved up, we are aware that affordability has become a constraint for many prospective buyers. Consequently, we think the pace of home price appreciation is likely to moderate during 2022. Wider spreads have created better value among mid-tier and lower-rated securities. As a result, we are finding attractive investment opportunities in that area of the market, as well as among higher-rated securities.

We believe the Fed’s shift toward tighter monetary policy may cause it to accelerate sales of MBS that it currently holds. A faster pace of MBS tapering may reduce home price inflation, helping to boost the Fed’s inflation-fighting mandate. Against this backdrop, we believe many prepayment-sensitive securities may offer attractive risk-adjusted returns from current price levels and may offer meaningful upside potential if mortgage prepayment speeds slow. We think the fund’s prepayment-related strategies provide an important source of diversification in the portfolio. In our view, prepayment strategies could benefit from an economic slowdown, a shift to supportive fiscal policies, or a sustained increase in mortgage rates.

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

ABOUT DERIVATIVES

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

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

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

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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

The fund had minimal exposure to securities in Russia at the end of the period. Holdings in Russian securities generally experienced sharp declines in value in late February and in March 2022 and have been subject to liquidity and settlement constraints, as well as, in certain cases, U.S. and other governmental sanctions. We are closely monitoring governmental actions, including the issuance of sanctions, and related market developments.

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, 2022, 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.

Annualized fund performance Total return for periods ended 3/31/22

| Life of |  |  |  |  |
| fund (since |  |  |  |  |
| 4/29/88) | 10 years | 5 years | 3 years | 1 year | 6 months
Net asset value | 5.53% | 2.88% | 1.40% | –0.32% | –8.35% | –2.66%
Market price | 5.58 | 3.15 | 1.66 | –0.53 | –11.46 | –8.93

Returns for periods of less than one year are not annualized.

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

Performance includes the deduction of management fees and administrative expenses.

Comparative annualized index returns For periods ended 3/31/22

| Life of |  |  |  |  |
| fund (since |  |  |  |  |
| 4/29/88) | 10 years | 5 years | 3 years | 1 year | 6 months
ICE BofA U.S. Treasury |  |  |  |  |  |
Bill Index* | — | 0.65% | 1.14% | 0.82% | 0.00% | –0.02%
Bloomberg Government/ |  |  |  |  |  |
Credit Bond Index | 5.82% | 2.45 | 2.44 | 2.12 | –3.85 | –6.16
FTSE Non-U.S. World |  |  |  |  |  |
Government Bond Index | 4.54 | –0.37 | 0.77 | –1.21 | –10.36 | –8.96
JPMorgan Global High |  |  |  |  |  |
Yield Index† | — | 5.68 | 4.46 | 4.17 | –1.03 | –4.19
Lipper Closed-end |  |  |  |  |  |
General Bond Funds |  |  |  |  |  |
category average‡ | 7.63 | 6.28 | 5.30 | 4.64 | 3.04 | –1.77

Index and Lipper results should be compared to 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.

Returns for periods of less than one year are not annualized.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

Lipper peer group average is provided by Lipper, a Refinitiv company.

* 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 inception of the fund.

‡ Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/22, there were 70, 64, 48, 30, 21, and 5 funds, respectively, in this Lipper category.

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Fund price and distribution information For the six-month period ended 3/31/22

Distributions |  |
Number | 6
Income | $0.132
Capital gains | —
Total | $0.132
Share value | NAV | Market price
9/30/21 | $4.08 | $4.07
3/31/22 | 3.84 | 3.58
Current rate (end of period) | NAV | Market price
Current dividend rate | 6.88% | 7.37%

The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.

Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by NAV or market price at end of period.

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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. 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 (CRT) security 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 Government/Credit Bond Index is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.

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

CMBX Index is an unmanaged index that 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 of global high-yield fixed-income securities.

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”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, 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.

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.

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.

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.

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Other information for shareholders

Important notice regarding share repurchase program

In September 2021, 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, 2021, up to 10% of the fund’s common shares outstanding as of September 30, 2021.

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, 2021, 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, 2022, Putnam employees had approximately $530,000,000 and the Trustees had approximately $77,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

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Summary of Putnam closed-end funds’ amended and restated dividend reinvestment plans

Putnam 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 period.

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 3/31/22 (Unaudited) |  |

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (81.9%)* | Principal amount | Value
U.S. Government Guaranteed Mortgage Obligations (0.5%) |  |
Government National Mortgage Association Pass-Through Certificates |  |
5.50%, 5/20/49 | $42,119 | $44,985
5.00%, with due dates from 5/20/49 to 3/20/50 | 164,187 | 174,193
3.50%, with due dates from 9/20/49 to 3/20/50 | 861,367 | 871,574
|  | 1,090,752
U.S. Government Agency Mortgage Obligations (81.4%) |  |
Federal National Mortgage Association Pass-Through Certificates |  |
5.00%, with due dates from 1/1/49 to 8/1/49 | 65,248 | 68,719
4.50%, 5/1/49 | 13,810 | 14,485
Uniform Mortgage-Backed Securities |  |
5.50%, TBA, 4/1/52 | 1,000,000 | 1,058,700
4.50%, TBA, 5/1/52 | 4,000,000 | 4,133,126
4.50%, TBA, 4/1/52 | 4,000,000 | 4,149,376
4.00%, TBA, 5/1/52 | 42,000,000 | 42,705,491
4.00%, TBA, 4/1/52 | 38,000,000 | 38,780,801
3.50%, TBA, 5/1/52 | 7,000,000 | 6,986,328
3.50%, TBA, 4/1/52 | 36,000,000 | 36,064,688
3.00%, TBA, 5/1/52 | 6,000,000 | 5,856,563
3.00%, TBA, 4/1/52 | 14,000,000 | 13,697,032
2.00%, TBA, 4/1/52 | 5,000,000 | 4,640,703
|  | 158,156,012
Total U.S. government and agency mortgage obligations (cost $161,310,087) | $159,246,764

U.S. TREASURY OBLIGATIONS (0.1%)* | Principal amount | Value
U.S. Treasury Notes 1.25%, 6/30/28 i | $120,000 | $112,000
Total U.S. treasury obligations (cost $112,000) | $112,000

MORTGAGE-BACKED SECURITIES (48.4%)* | Principal amount | Value
Agency collateralized mortgage obligations (26.0%)
Federal Home Loan Mortgage Corporation |  |  |
REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.65%), 6.253%, 4/15/40 |  | $553,093 | $26,398
REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.803%, 12/15/47 |  | 823,814 | 117,641
REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.793%, 9/25/50 |  | 4,747,094 | 851,344
REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.703%, 8/15/56 |  | 2,663,291 | 490,099
REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.703%, 4/15/47 |  | 560,159 | 96,622
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 7/25/50 |  | 4,250,462 | 665,387
REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 1/25/50 |  | 3,158,218 | 428,071
REMICs Ser. 4813, IO, 5.50%, 8/15/48 |  | 1,311,535 | 271,140
REMICs Ser. 4991, Class IE, IO, 5.00%, 7/25/50 |  | 8,119,025 | 1,451,601

20 Master Intermediate Income Trust

MORTGAGE-BACKED SECURITIES (48.4%)* cont. | Principal amount | Value
Agency collateralized mortgage obligations cont.
Federal Home Loan Mortgage Corporation |  |  |
REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 |  | $530,945 | $93,340
REMICs Ser. 5179, Class BI, IO, 4.50%, 1/25/52 |  | 5,803,995 | 910,946
REMICs Ser. 5152, Class MI, IO, 4.50%, 10/25/51 |  | 4,855,233 | 962,774
REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 |  | 3,292,333 | 517,559
REMICs Ser. 5049, Class AI, IO, 4.50%, 12/25/50 |  | 2,806,401 | 555,185
REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 |  | 2,404,826 | 438,363
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50 |  | 3,041,065 | 588,493
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 |  | 4,375,501 | 810,940
REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 |  | 3,158,398 | 614,888
REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 |  | 372,161 | 66,211
REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 |  | 204,076 | 28,876
REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 |  | 4,596,296 | 775,239
REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 |  | 757,308 | 118,964
REMICs Ser. 4425, IO, 4.00%, 1/15/45 |  | 796,202 | 113,459
REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 |  | 844,759 | 159,458
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 |  | 564,846 | 76,029
REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 |  | 1,056,127 | 133,663
REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 |  | 580,628 | 64,769
REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 |  | 319,960 | 22,625
Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 |  | 263,164 | 12,312
REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51 |  | 6,046,654 | 912,924
REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50 |  | 7,876,282 | 1,050,646
REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 |  | 1,416,971 | 113,283
REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 |  | 590,949 | 36,582
REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 |  | 136,226 | 2,024
Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, 0.394%, 7/25/43 W |  | 855,125 | 11,801
Federal National Mortgage Association |  |  |
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 |  | 1,251,134 | 236,644
REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 |  | 997,485 | 195,490
REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.40%), 5.943%, 4/25/40 |  | 349,504 | 55,558
REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.793%, 3/25/48 |  | 1,851,004 | 288,499
REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.743%, 6/25/48 |  | 3,314,507 | 448,277
REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.693%, 5/25/47 |  | 3,852,374 | 542,799
REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.693%, 10/25/41 |  | 98,283 | 3,112
REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 12/25/46 |  | 1,653,480 | 216,674
REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.643%, 5/25/39 |  | 5,057,606 | 658,950
REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 3/25/50 |  | 2,747,677 | 426,852
REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.593%, 8/25/49 |  | 1,742,965 | 203,890

Master Intermediate Income Trust 21

MORTGAGE-BACKED SECURITIES (48.4%)* cont. | Principal amount | Value
Agency collateralized mortgage obligations cont.
Federal National Mortgage Association |  |  |
REMICs FRB Ser. 19-61, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.543%, 11/25/49 |  | $3,430,935 | $497,486
Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 |  | 43,189 | 7,228
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 |  | 1,590,883 | 284,370
REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) + 5.95%), 5.493%, 2/25/43 |  | 1,074,788 | 173,445
REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.443%, 10/25/41 |  | 834,291 | 108,407
Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 |  | 131,738 | 21,052
REMICs Ser. 20-45, Class EI, IO, 5.00%, 7/25/50 |  | 1,989,786 | 360,480
REMICs Ser. 21-77, Class BI, IO, 4.50%, 11/25/51 |  | 5,644,401 | 980,324
REMICs Ser. 21-15, Class IJ, IO, 4.50%, 4/25/51 |  | 2,236,283 | 455,754
REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 |  | 4,841,783 | 821,458
REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 |  | 164,216 | 32,088
REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 |  | 211,369 | 3,868
REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50 |  | 7,556,191 | 1,339,670
REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 |  | 293,154 | 17,104
REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 |  | 1,473,050 | 241,673
REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 |  | 454,753 | 63,329
REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 |  | 353,222 | 40,795
REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 |  | 270,411 | 28,988
REMICs Ser. 20-85, Class PI, IO, 3.00%, 12/25/50 |  | 6,034,597 | 973,079
REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 |  | 279,067 | 11,750
REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 |  | 112,808 | 1,107
REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 |  | 7,531,132 | 921,110
REMICs Ser. 21-43, Class IO, IO, 2.50%, 6/25/51 |  | 7,072,145 | 1,073,615
Government National Mortgage Association |  |  |
IFB Ser. 21-98, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 6/20/51 |  | 4,197,286 | 590,894
IFB Ser. 21-77, Class SM, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 5/20/51 |  | 3,909,304 | 570,597
IFB Ser. 21-59, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 4/20/51 |  | 2,785,878 | 350,042
IFB Ser. 20-133, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 9/20/50 |  | 3,629,092 | 599,675
FRB Ser. 21-116, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.769%, 11/20/47 |  | 3,580,732 | 782,837
IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), 5.731%, 4/20/44 |  | 2,091,881 | 315,811
IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 7/20/50 |  | 2,433,897 | 409,626
IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 1/20/49 |  | 2,026,501 | 250,885
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.701%, 9/20/43 |  | 223,453 | 32,025
IFB Ser. 20-63, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 5/20/50 |  | 2,580,949 | 327,921
IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 4/20/50 |  | 3,314,776 | 493,685

22 Master Intermediate Income Trust

MORTGAGE-BACKED SECURITIES (48.4%)* cont. | Principal amount | Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association |  |  |
IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 8/20/49 |  | $2,655,596 | $326,346
IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 7/20/49 |  | 2,431,237 | 288,904
IFB Ser. 19-89, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.651%, 7/20/49 |  | 3,128,995 | 369,933
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 2/20/50 |  | 267,289 | 27,228
IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 1/20/50 |  | 1,932,301 | 260,006
IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 12/20/49 |  | 1,696,010 | 222,511
IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 9/20/49 |  | 2,625,955 | 302,986
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 8/20/49 |  | 112,490 | 13,101
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.601%, 6/20/49 |  | 143,145 | 14,925
IFB Ser. 20-63, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.551%, 8/20/43 |  | 2,795,314 | 377,764
IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), 5.151%, 8/20/44 |  | 966,616 | 116,915
Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 |  | 431,972 | 85,349
Ser. 16-42, IO, 5.00%, 2/20/46 |  | 1,083,286 | 195,648
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 |  | 1,722,731 | 244,793
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 |  | 1,887,309 | 362,892
Ser. 14-76, IO, 5.00%, 5/20/44 |  | 435,313 | 82,782
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 |  | 315,983 | 64,081
Ser. 12-146, IO, 5.00%, 12/20/42 |  | 285,601 | 57,589
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 |  | 413,919 | 79,568
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 |  | 301,359 | 57,007
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 |  | 1,328,884 | 263,279
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 |  | 685,692 | 136,096
Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 |  | 1,374,777 | 255,240
Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 |  | 235,476 | 44,124
Ser. 20-61, IO, 4.50%, 5/20/50 |  | 6,056,857 | 1,106,517
Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 |  | 1,296,517 | 199,518
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 |  | 459,888 | 91,062
Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 |  | 607,256 | 101,326
Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 |  | 575,139 | 94,586
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 |  | 91,664 | 6,273
Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 |  | 509,035 | 92,319
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 |  | 523,049 | 80,781
Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 |  | 934,544 | 168,582
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 |  | 481,468 | 82,842
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 |  | 558,080 | 89,033
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 |  | 335,737 | 60,332
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 |  | 361,821 | 68,221
Ser. 20-78, Class DI, IO, 4.00%, 6/20/50 |  | 4,568,446 | 501,681

Master Intermediate Income Trust 23

MORTGAGE-BACKED SECURITIES (48.4%)* cont. | Principal amount | Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association |  |  |
Ser. 16-29, IO, 4.00%, 2/16/46 |  | $469,104 | $75,855
Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 |  | 1,336,442 | 215,969
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 |  | 1,005,480 | 192,449
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 |  | 861,063 | 123,655
Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 |  | 801,778 | 93,648
Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 |  | 2,153,041 | 302,703
Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 |  | 811,313 | 34,646
Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 |  | 285,933 | 46,239
Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 |  | 764,436 | 49,237
Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 |  | 250,630 | 37,463
Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 |  | 233,282 | 39,239
Ser. 21-156, IO, 3.50%, 7/20/51 |  | 4,781,163 | 817,472
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 |  | 2,895,711 | 416,021
Ser. 20-138, Class IC, IO, 3.50%, 8/20/50 |  | 6,474,842 | 1,021,083
Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 |  | 64,666 | 1,932
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 |  | 500,314 | 48,511
Ser. 13-76, IO, 3.50%, 5/20/43 |  | 647,120 | 85,795
Ser. 13-28, IO, 3.50%, 2/20/43 |  | 171,610 | 16,996
Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 |  | 260,422 | 27,863
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 |  | 429,205 | 46,861
Ser. 13-14, IO, 3.50%, 12/20/42 |  | 1,114,717 | 123,399
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 |  | 178,586 | 20,600
Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 |  | 797,433 | 126,880
Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 |  | 1,071,822 | 163,755
Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 |  | 1,068,275 | 162,302
Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 |  | 518,963 | 85,651
Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 |  | 800,824 | 57,579
Ser. 21-59, Class IM, IO, 3.00%, 4/20/51 |  | 3,712,864 | 457,176
Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 |  | 4,394,265 | 537,946
Ser. 21-67, Class PI, IO, 3.00%, 4/20/51 |  | 7,573,582 | 924,355
Ser. 21-55, Class PI, IO, 3.00%, 3/20/51 |  | 3,548,398 | 381,502
Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 |  | 3,272,269 | 501,034
Ser. 18-H05, Class BI, IO, 2.374%, 2/20/68 W |  | 2,969,352 | 205,999
Ser. 17-H16, Class FI, IO, 2.348%, 8/20/67 W |  | 2,333,559 | 125,429
Ser. 17-H16, Class JI, IO, 2.331%, 8/20/67 W |  | 6,528,998 | 446,828
Ser. 17-H08, Class NI, IO, 2.33%, 3/20/67 W |  | 3,891,331 | 201,571
Ser. 18-H15, Class KI, IO, 2.29%, 8/20/68 W |  | 2,598,422 | 159,153
Ser. 18-H05, Class AI, IO, 2.261%, 2/20/68 W |  | 1,553,450 | 107,771
Ser. 17-H12, Class QI, IO, 2.251%, 5/20/67 W |  | 2,471,790 | 123,614
Ser. 17-H06, Class BI, IO, 2.245%, 2/20/67 W |  | 3,027,402 | 198,101
Ser. 16-H16, Class EI, IO, 2.199%, 6/20/66 W |  | 2,968,927 | 175,167
Ser. 18-H03, Class XI, IO, 2.135%, 2/20/68 W |  | 3,225,647 | 206,119
Ser. 16-H22, Class AI, IO, 2.13%, 10/20/66 W |  | 2,770,161 | 141,419
Ser. 18-H02, Class EI, IO, 2.123%, 1/20/68 W |  | 4,276,432 | 299,350
Ser. 17-H02, Class BI, IO, 2.11%, 1/20/67 W |  | 2,021,838 | 108,682
Ser. 16-H23, Class NI, IO, 2.097%, 10/20/66 W |  | 7,674,114 | 386,775
Ser. 17-H19, Class MI, IO, 2.06%, 4/20/67 W |  | 1,377,020 | 88,542
Ser. 16-H18, Class QI, IO, 2.06%, 6/20/66 W |  | 2,036,291 | 125,486

24 Master Intermediate Income Trust

MORTGAGE-BACKED SECURITIES (48.4%)* cont. | Principal amount | Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association |  |  |
Ser. 16-H03, Class DI, IO, 2.04%, 12/20/65 W |  | $3,077,743 | $162,062
Ser. 16-H17, Class KI, IO, 1.887%, 7/20/66 W |  | 1,917,564 | 106,065
Ser. 15-H15, Class BI, IO, 1.872%, 6/20/65 W |  | 1,918,952 | 109,956
Ser. 17-H11, Class DI, IO, 1.846%, 5/20/67 W |  | 2,799,090 | 171,882
Ser. 15-H25, Class EI, IO, 1.844%, 10/20/65 W |  | 2,209,109 | 114,211
Ser. 17-H09, IO, 1.835%, 4/20/67 W |  | 3,762,021 | 165,969
Ser. 15-H20, Class AI, IO, 1.826%, 8/20/65 W |  | 2,848,571 | 148,411
Ser. 15-H10, Class BI, IO, 1.814%, 4/20/65 W |  | 1,995,260 | 115,126
Ser. 15-H20, Class CI, IO, 1.811%, 8/20/65 W |  | 3,289,130 | 223,661
FRB Ser. 15-H08, Class CI, IO, 1.793%, 3/20/65 W |  | 1,575,377 | 78,611
Ser. 16-H09, Class BI, IO, 1.756%, 4/20/66 W |  | 3,508,289 | 228,740
Ser. 15-H23, Class BI, IO, 1.751%, 9/20/65 W |  | 2,988,505 | 143,149
Ser. 15-H24, Class AI, IO, 1.75%, 9/20/65 W |  | 2,522,662 | 109,050
Ser. 16-H03, Class AI, IO, 1.727%, 1/20/66 W |  | 2,593,388 | 97,657
Ser. 17-H16, Class IG, IO, 1.704%, 7/20/67 W |  | 5,794,047 | 251,679
Ser. 16-H24, Class CI, IO, 1.691%, 10/20/66 W |  | 1,970,610 | 98,728
Ser. 16-H14, IO, 1.675%, 6/20/66 W |  | 2,697,638 | 113,687
Ser. 13-H08, Class CI, IO, 1.602%, 2/20/63 W |  | 2,139,649 | 70,822
Ser. 16-H06, Class DI, IO, 1.592%, 7/20/65 W |  | 4,298,576 | 147,157
Ser. 16-H10, Class AI, IO, 1.548%, 4/20/66 W |  | 6,843,367 | 219,214
Ser. 16-H02, Class HI, IO, 1.539%, 1/20/66 W |  | 3,541,428 | 110,847
Ser. 14-H21, Class BI, IO, 1.53%, 10/20/64 W |  | 4,179,859 | 168,030
Ser. 16-H06, Class CI, IO, 1.406%, 2/20/66 W |  | 3,693,195 | 92,729
|  |  | 50,623,984
Commercial mortgage-backed securities (8.6%)
Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 |  | 359,000 | 281,153
Bear Stearns Commercial Mortgage Securities Trust |  |  |
FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 W |  | 398,197 | 19,910
Ser. 05-PWR7, Class B, 4.883%, 2/11/41 W |  | 105,873 | 104,942
Ser. 05-PWR7, Class D, 4.883%, 2/11/41 W |  | 441,000 | 309,141
Benchmark Mortgage Trust 144A Ser. 19-B13, Class D, 2.50%, 8/15/57 |  | 320,000 | 269,677
BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44 W |  | 590,000 | 479,577
CD Commercial Mortgage Trust 144A |  |  |
Ser. 17-CD3, Class D, 3.25%, 2/10/50 |  | 514,000 | 397,430
Ser. 19-CD8, Class D, 3.00%, 8/15/57 |  | 264,000 | 210,989
CFCRE Commercial Mortgage Trust 144A |  |  |
FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 W |  | 1,025,000 | 1,019,978
FRB Ser. 11-C2, Class E, 5.124%, 12/15/47 W |  | 409,000 | 407,201
COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 4.911%, 4/10/47 W |  | 203,000 | 200,806
COMM Mortgage Trust 144A |  |  |
FRB Ser. 14-CR17, Class E, 4.848%, 5/10/47 W |  | 647,000 | 478,457
FRB Ser. 14-UBS3, Class D, 4.768%, 6/10/47 W |  | 144,000 | 133,581
Ser. 12-LC4, Class E, 4.25%, 12/10/44 |  | 392,000 | 87,965
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.761%, 4/15/50 W |  | 527,000 | 415,817

Master Intermediate Income Trust 25

MORTGAGE-BACKED SECURITIES (48.4%)* cont. | Principal amount | Value
Commercial mortgage-backed securities cont.
GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.402%, 2/10/46 W |  | $638,000 | $599,169
GS Mortgage Securities Trust Ser. 14-GC18, Class B, 4.885%, 1/10/47 W |  | 294,000 | 273,625
GS Mortgage Securities Trust 144A |  |  |
FRB Ser. 14-GC24, Class D, 4.533%, 9/10/47 W |  | 1,127,000 | 775,171
FRB Ser. 13-GC13, Class D, 4.065%, 7/10/46 W |  | 531,000 | 223,568
JPMBB Commercial Mortgage Securities Trust 144A |  |  |
FRB Ser. 14-C18, Class D, 4.794%, 2/15/47 W |  | 963,000 | 566,231
FRB Ser. C14, Class D, 4.549%, 8/15/46 W |  | 515,000 | 331,281
FRB Ser. 14-C18, Class E, 4.294%, 2/15/47 W |  | 407,000 | 165,229
FRB Ser. 14-C23, Class D, 3.98%, 9/15/47 W |  | 244,000 | 226,296
FRB Ser. 14-C25, Class D, 3.942%, 11/15/47 W |  | 200,000 | 151,546
Ser. 13-C14, Class F, 3.598%, 8/15/46 W |  | 1,500,000 | 166,654
Ser. 14-C25, Class E, 3.332%, 11/15/47 W |  | 788,000 | 423,694
JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.39%, 9/15/50 W |  | 268,000 | 239,581
JPMorgan Chase Commercial Mortgage Securities Trust |  |  |
FRB Ser. 13-LC11, Class D, 4.165%, 4/15/46 W |  | 581,000 | 476,578
Ser. 13-LC11, Class B, 3.499%, 4/15/46 |  | 221,000 | 218,654
JPMorgan Chase Commercial Mortgage Securities Trust 144A |  |  |
FRB Ser. 11-C3, Class F, 5.525%, 2/15/46 W |  | 410,000 | 61,418
FRB Ser. 11-C4, Class C, 5.398%, 7/15/46 W |  | 95,521 | 96,818
FRB Ser. 12-C6, Class E, 5.27%, 5/15/45 W |  | 263,000 | 222,984
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W |  | 841,000 | 624,335
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39 W |  | 462,989 | 56
Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 5.704%, 12/15/49 W |  | 13,487 | —
Morgan Stanley Bank of America Merrill Lynch Trust FRB Ser. 15-C22, Class C, 4.21%, 4/15/48 W |  | 237,000 | 223,124
Morgan Stanley Bank of America Merrill Lynch Trust 144A |  |  |
FRB Ser. 13-C11, Class D, 4.352%, 8/15/46 W |  | 900,000 | 63,284
FRB Ser. 13-C11, Class F, 4.352%, 8/15/46 W |  | 496,000 | 4,608
FRB Ser. 15-C23, Class D, 4.144%, 7/15/50 W |  | 690,000 | 642,282
FRB Ser. 13-C9, Class D, 4.108%, 5/15/46 W |  | 350,000 | 326,274
FRB Ser. 13-C10, Class D, 4.075%, 7/15/46 W |  | 485,000 | 301,514
FRB Ser. 13-C10, Class E, 4.075%, 7/15/46 W |  | 1,006,000 | 336,105
FRB Ser. 13-C10, Class F, 4.075%, 7/15/46 W |  | 975,000 | 215,135
Ser. 14-C17, Class E, 3.50%, 8/15/47 |  | 443,000 | 294,402
Ser. 14-C19, Class D, 3.25%, 12/15/47 |  | 602,000 | 548,273
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W |  | 168,221 | 159,037
Multifamily Connecticut Avenue Securities Trust 144A |  |  |
FRB Ser. 20-01, Class M10, 4.207%, 3/25/50 |  | 701,000 | 674,340
FRB Ser. 19-01, Class M10, 3.707%, 10/15/49 |  | 602,000 | 569,519
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 | 13,373

26 Master Intermediate Income Trust

MORTGAGE-BACKED SECURITIES (48.4%)* cont. | Principal amount | Value
Commercial mortgage-backed securities cont.
Wells Fargo Commercial Mortgage Trust FRB Ser. 16-NXS5, Class D, 4.984%, 1/15/59 W |  | $451,000 | $429,221
Wells Fargo Commercial Mortgage Trust 144A |  |  |
FRB Ser. 13-LC12, Class D, 4.305%, 7/15/46 W |  | 188,000 | 107,105
Ser. 14-LC16, Class D, 3.938%, 8/15/50 |  | 889,000 | 125,405
Ser. 16-C33, Class D, 3.123%, 3/15/59 |  | 679,000 | 591,139
WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, 4.50%, 6/15/45 W |  | 2,524,000 | 336,954
|  |  | 16,620,612
Residential mortgage-backed securities (non-agency) (13.8%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.647%, 5/25/47 |  | 406,459 | 241,331
BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 2.729%, 11/27/36 W |  | 606,384 | 485,108
Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (1 Month US LIBOR + 0.50%), 0.957%, 1/25/36 |  | 63,071 | 91,583
Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), 0.637%, 11/25/47 |  | 214,935 | 191,400
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 0.807%, 3/25/37 |  | 818,151 | 752,429
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65 W |  | 1,000,000 | 1,002,470
Countrywide Alternative Loan Trust |  |  |
FRB Ser. 06-OA7, Class 1A1, 2.206%, 6/25/46 W |  | 267,435 | 287,626
FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), 1.641%, 9/25/35 |  | 247,661 | 229,587
FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), 1.157%, 9/25/35 |  | 304,751 | 275,974
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 1.107%, 11/20/35 |  | 326,576 | 314,942
FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 1.101%, 8/25/46 |  | 87,548 | 84,831
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.081%, 6/25/46 |  | 258,114 | 238,684
FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46 |  | 267,679 | 256,033
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 0.837%, 8/25/46 |  | 1,758,698 | 1,567,900
Federal Home Loan Mortgage Corporation |  |  |
Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (1 Month US LIBOR + 10.50%), 10.957%, 5/25/28 |  | 266,324 | 281,227
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.457%, 7/25/28 |  | 887,907 | 976,944
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 9.807%, 4/25/28 |  | 570,372 | 575,986
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (1 Month US LIBOR + 9.20%), 9.657%, 10/25/27 |  | 395,081 | 426,161
Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA1, Class B, (1 Month US LIBOR + 8.80%), 9.257%, 3/25/28 |  | 385,200 | 396,722

Master Intermediate Income Trust 27

MORTGAGE-BACKED SECURITIES (48.4%)* cont. | Principal amount | Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation |  |  |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 8.007%, 12/25/27 |  | $683,001 | $701,558
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 2.757%, 9/25/30 |  | 582,692 | 582,976
Federal Home Loan Mortgage Corporation 144A |  |  |
Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (1 Month US LIBOR + 11.25%), 11.707%, 4/25/49 |  | 106,000 | 113,933
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 11.599%, 10/25/50 |  | 176,000 | 211,640
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (1 Month US LIBOR + 11.00%), 11.457%, 10/25/48 |  | 649,000 | 709,661
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (1 Month US LIBOR + 10.75%), 11.207%, 1/25/49 |  | 141,000 | 151,370
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (1 Month US LIBOR + 10.50%), 10.957%, 3/25/49 |  | 118,000 | 124,737
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (1 Month US LIBOR + 10.00%), 10.457%, 8/25/50 |  | 609,000 | 733,464
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (1 Month US LIBOR + 10.00%), 10.457%, 7/25/50 |  | 430,000 | 511,700
Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, (1 Month US LIBOR + 8.15%), 8.607%, 7/25/49 |  | 135,000 | 138,481
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (1 Month US LIBOR + 7.75%), 8.207%, 9/25/48 |  | 174,000 | 177,498
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (1 Month US LIBOR + 5.75%), 6.207%, 7/25/50 |  | 174,000 | 178,874
Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58 W |  | 307,000 | 295,281
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (1 Month US LIBOR + 4.25%), 4.707%, 10/25/48 |  | 380,000 | 384,275
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59 W |  | 636,000 | 615,922
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, (1 Month US LIBOR + 3.90%), 4.357%, 9/25/48 |  | 190,000 | 190,717
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 4.157%, 12/25/30 |  | 260,000 | 259,039
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (1 Month US LIBOR + 3.10%), 3.557%, 3/25/50 |  | 198,194 | 198,946
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 3.107%, 1/25/49 |  | 135,086 | 135,429
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 2.907%, 3/25/49 |  | 115,136 | 115,136
Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, (1 Month US LIBOR + 2.35%), 2.807%, 2/25/49 |  | 147,680 | 148,917
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.757%, 10/25/48 |  | 120,000 | 119,710
Federal National Mortgage Association |  |  |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (1 Month US LIBOR + 12.75%), 13.207%, 10/25/28 |  | 89,563 | 99,808
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.707%, 9/25/28 |  | 1,111,957 | 1,249,158

28 Master Intermediate Income Trust

MORTGAGE-BACKED SECURITIES (48.4%)* cont. | Principal amount | Value
Residential mortgage-backed securities (non-agency) cont.
Federal National Mortgage Association |  |  |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 12.207%, 10/25/28 |  | $566,378 | $637,107
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 12.207%, 8/25/28 |  | 366,890 | 402,290
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (1 Month US LIBOR + 10.75%), 11.207%, 1/25/29 |  | 119,476 | 128,473
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (1 Month US LIBOR + 9.25%), 9.707%, 4/25/29 |  | 19,828 | 20,772
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 6.157%, 4/25/28 |  | 885,118 | 946,789
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 6.007%, 4/25/28 |  | 34,342 | 35,619
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 5.957%, 9/25/29 |  | 477,000 | 511,102
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.457%, 7/25/25 |  | 1,333 | 1,335
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 5.307%, 10/25/29 |  | 1,170,000 | 1,224,130
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 4.957%, 12/25/30 |  | 283,000 | 290,122
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (1 Month US LIBOR + 4.45%), 4.907%, 5/25/30 |  | 82,000 | 83,740
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (1 Month US LIBOR + 4.45%), 4.907%, 2/25/30 |  | 60,000 | 62,250
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.457%, 5/25/25 |  | 6,027 | 6,098
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 4.057%, 1/25/30 |  | 182,000 | 182,177
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, (1 Month US LIBOR + 3.55%), 4.007%, 7/25/30 |  | 457,000 | 452,430
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, (1 Month US LIBOR + 3.00%), 3.457%, 10/25/29 |  | 380,393 | 387,936
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 2.957%, 5/25/30 |  | 238,842 | 241,255
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.707%, 7/25/30 |  | 40,816 | 41,171
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.557%, 3/25/31 |  | 65,876 | 66,111
Federal National Mortgage Association 144A |  |  |
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 4.599%, 1/25/42 |  | 180,000 | 169,875
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (1 Month US LIBOR + 4.10%), 4.557%, 9/25/31 |  | 556,000 | 560,786
Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (1 Month US LIBOR + 3.65%), 4.107%, 2/25/40 |  | 504,000 | 496,148
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 2.907%, 7/25/31 |  | 13,019 | 13,056
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month US LIBOR + 0.36%), 0.817%, 5/25/36 |  | 488,605 | 150,455

Master Intermediate Income Trust 29

MORTGAGE-BACKED SECURITIES (48.4%)* cont. | Principal amount | Value
Residential mortgage-backed securities (non-agency) cont.
GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month US LIBOR + 0.31%), 0.767%, 5/25/37 |  | $221,600 | $177,752
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 0.969%, 5/19/35 |  | 256,964 | 104,917
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 4.249%, 1/25/34 (Bermuda) |  | 150,000 | 144,827
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 0.857%, 6/25/37 |  | 438,010 | 208,775
LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 9/25/26 W |  | 133,000 | 127,454
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (1 Month US LIBOR + 0.23%), 0.648%, 2/26/37 |  | 228,303 | 214,342
MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.80%), 1.252%, 8/25/35 |  | 50,470 | 49,049
Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR + 2.70%), 3.157%, 3/25/28 (Bermuda) |  | 794,000 | 784,661
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.43%), 0.887%, 5/25/46 |  | 213,012 | 185,321
Structured Asset Mortgage Investments II Trust |  |  |
FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 0.877%, 8/25/36 |  | 271,600 | 252,588
FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), 0.577%, 8/25/36 |  | 225,703 | 215,450
Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58 W |  | 216,000 | 214,658
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.437%, 10/25/45 |  | 118,127 | 116,839
|  |  | 26,733,028
Total mortgage-backed securities (cost $108,340,142) | $93,977,624

CORPORATE BONDS AND NOTES (21.8%)* | Principal amount | Value
Basic materials (1.5%)
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 |  | $38,000 | $37,744
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 |  | 92,000 | 96,528
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 |  | 90,000 | 87,395
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 |  | 75,000 | 69,844
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 |  | 120,000 | 118,933
Coeur Mining, Inc. 144A company guaranty sr. unsec. notes 5.125%, 2/15/29 |  | 10,000 | 8,682
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 |  | 113,000 | 114,424
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 |  | 63,000 | 62,370
Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds 4.625%, 8/1/30 (Indonesia) |  | 60,000 | 61,350

30 Master Intermediate Income Trust

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Basic materials cont.
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 4.375%, 8/1/28 (Indonesia) |  | $60,000 | $60,278
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 |  | 203,000 | 205,538
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg) |  | 200,000 | 179,346
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) |  | 25,000 | 24,625
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) | EUR | 120,000 | 99,280
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 |  | $160,000 | 148,037
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 |  | 115,000 | 106,990
Mauser Packaging Solutions Holding Co. 144A sr. notes 8.50%, 4/15/24 |  | 35,000 | 35,613
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) |  | 121,000 | 121,908
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) |  | 90,000 | 86,850
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 |  | 115,000 | 105,186
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 |  | 80,000 | 77,669
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 |  | 160,000 | 150,800
Sylvamo Corp. 144A company guaranty sr. unsec. notes 7.00%, 9/1/29 |  | 205,000 | 200,900
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) |  | 225,000 | 207,614
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 |  | 90,000 | 84,263
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 |  | 121,000 | 122,597
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 |  | 280,000 | 273,966
|  |  | 2,948,730
Capital goods (1.8%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 |  | 160,000 | 145,144
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 |  | 234,000 | 230,198
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 |  | 115,000 | 115,288
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 |  | 35,000 | 33,171
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) |  | 330,000 | 317,930
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 |  | 72,000 | 74,558
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 |  | 150,000 | 169,267
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) |  | 20,000 | 18,900
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) |  | 23,000 | 21,160
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) |  | 115,000 | 115,978

Master Intermediate Income Trust 31

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Capital goods cont.
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 |  | $50,000 | $47,750
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 |  | 40,000 | 36,866
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 |  | 125,000 | 129,688
PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28 |  | 99,000 | 97,280
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 |  | 125,000 | 116,563
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 |  | 320,000 | 303,200
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 |  | 352,000 | 341,829
Stevens Holding Co., Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 |  | 208,000 | 214,808
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 |  | 60,000 | 57,508
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 |  | 86,000 | 86,776
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 |  | 148,000 | 146,890
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 |  | 120,000 | 112,472
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 |  | 80,000 | 74,798
Vertical US Newco, Inc. 144A company guaranty sr. notes 5.25%, 7/15/27 |  | 200,000 | 197,806
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 |  | 25,000 | 22,815
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 |  | 223,000 | 210,753
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 |  | 115,000 | 122,146
|  |  | 3,561,542
Communication services (2.7%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 |  | 133,000 | 134,867
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 |  | 847,000 | 847,000
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 |  | 60,000 | 57,614
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.50%, 8/15/30 |  | 55,000 | 51,606
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.00%, 2/1/28 |  | 199,000 | 196,911
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31 |  | 45,000 | 40,838
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 |  | 82,000 | 77,663
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 |  | 120,000 | 120,152
CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 |  | 225,000 | 218,376
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 |  | 89,000 | 87,554
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26 |  | 130,000 | 129,155

32 Master Intermediate Income Trust

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Communication services cont.
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 7.375%, 7/1/28 |  | $120,000 | $113,700
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 |  | 79,000 | 67,276
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 |  | 65,000 | 61,506
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 |  | 35,000 | 33,338
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 |  | 190,000 | 188,727
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 |  | 110,000 | 105,600
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) |  | 740,000 | 693,750
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 |  | 264,000 | 264,425
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 |  | 61,000 | 57,421
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 |  | 66,000 | 60,589
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 |  | 260,000 | 301,259
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 |  | 125,000 | 141,101
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 |  | 433,000 | 460,063
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 |  | 50,000 | 50,192
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 |  | 125,000 | 125,731
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 |  | 80,000 | 72,074
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 |  | 19,000 | 19,509
T-Mobile USA, Inc. company guaranty sr. unsec. notes 2.625%, 2/15/29 |  | 55,000 | 50,200
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 |  | 148,000 | 150,427
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) | GBP | 115,000 | 152,550
|  |  | 5,131,174
Consumer cyclicals (3.7%)
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 |  | $70,000 | 65,013
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 |  | 60,000 | 57,641
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 |  | 55,000 | 51,288
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32 |  | 5,000 | 4,648
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29 |  | 15,000 | 13,969
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity |  | 328,000 | 353,830
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 |  | 15,000 | 17,121
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 |  | 55,000 | 57,750

Master Intermediate Income Trust 33

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Consumer cyclicals cont.
Block, Inc. 144A sr. unsec. bonds 3.50%, 6/1/31 |  | $75,000 | $68,625
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 |  | 55,000 | 54,725
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A sr. unsec. notes 5.00%, 6/15/29 (Canada) |  | 80,000 | 72,641
Caesars Entertainment, Inc. 144A sr. notes 6.25%, 7/1/25 |  | 100,000 | 103,244
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 |  | 110,000 | 102,850
Carnival Corp. 144A sr. unsec. notes 7.625%, 3/1/26 |  | 13,000 | 13,085
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 |  | 105,000 | 100,135
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 |  | 46,000 | 46,460
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 |  | 110,000 | 109,725
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 |  | 25,000 | 26,156
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 |  | 85,000 | 79,380
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 |  | 80,000 | 79,135
Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A company guaranty notes 5.375%, 8/15/26 |  | 144,000 | 55,800
Entercom Media Corp. 144A company guaranty notes 6.75%, 3/31/29 |  | 120,000 | 112,050
Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 |  | 244,000 | 228,935
Ford Motor Co. sr. unsec. unsub. bonds 7.45%, 7/16/31 |  | 100,000 | 118,000
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 |  | 200,000 | 204,000
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 |  | 200,000 | 188,340
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 |  | 120,000 | 122,700
Gap, Inc. (The) 144A company guaranty sr. unsec. bonds 3.875%, 10/1/31 |  | 115,000 | 100,177
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 |  | 135,000 | 126,731
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 |  | 20,000 | 18,750
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31 |  | 60,000 | 57,373
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 |  | 125,000 | 126,875
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 |  | 186,721 | 192,789
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 |  | 65,000 | 62,238
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25 |  | 31,000 | 31,814
La Financiere Atalian SASU company guaranty sr. unsec. notes Ser. REGS, 4.00%, 5/15/24 (France) | EUR | 100,000 | 100,539
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 |  | $57,000 | 52,198
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 |  | 99,000 | 100,856
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 |  | 60,000 | 63,901
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 |  | 45,000 | 45,338

34 Master Intermediate Income Trust

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Consumer cyclicals cont.
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 |  | $55,000 | $49,431
Mattamy Group Corp. 144A sr. unsec. notes 5.25%, 12/15/27 (Canada) |  | 160,000 | 157,934
Mattamy Group Corp. 144A sr. unsec. notes 4.625%, 3/1/30 (Canada) |  | 125,000 | 117,414
Mattel, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/15/27 |  | 170,000 | 177,837
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 |  | 195,000 | 187,633
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 |  | 25,000 | 24,477
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 |  | 95,000 | 90,608
NCL Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27 |  | 30,000 | 29,550
NESCO Holdings II, Inc. 144A company guaranty notes 5.50%, 4/15/29 |  | 190,000 | 186,675
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 |  | 9,000 | 9,048
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 |  | 90,000 | 85,050
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) |  | 58,000 | 58,290
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 5.625%, 10/1/28 |  | 80,000 | 80,576
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 4.50%, 7/15/29 |  | 40,000 | 39,900
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 |  | 55,000 | 50,319
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 |  | 115,000 | 112,538
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26 |  | 25,000 | 24,013
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26 |  | 26,000 | 25,267
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 |  | 278,000 | 308,201
Scientific Games International, Inc. 144A company guaranty sr. notes 5.00%, 10/15/25 |  | 65,000 | 66,625
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 |  | 168,000 | 157,500
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32 |  | 40,000 | 35,424
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 |  | 100,000 | 97,250
Signal Parent, Inc. 144A sr. unsec. notes 6.125%, 4/1/29 |  | 110,000 | 89,648
Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30 |  | 60,000 | 53,500
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 |  | 111,000 | 101,010
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 |  | 125,000 | 118,750
Six Flags Theme Parks, Inc. 144A company guaranty sr. notes 7.00%, 7/1/25 |  | 115,000 | 120,031
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 |  | 55,000 | 51,740
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 |  | 45,000 | 39,375

Master Intermediate Income Trust 35

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Consumer cyclicals cont.
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 |  | $10,000 | $9,563
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 |  | 115,000 | 109,076
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 |  | 105,000 | 103,425
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 |  | 104,000 | 104,390
Victoria’s Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 |  | 155,000 | 139,888
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 |  | 110,000 | 104,235
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 |  | 70,000 | 67,725
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 |  | 122,000 | 114,833
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. notes 7.75%, 4/15/25 |  | 35,000 | 36,318
|  |  | 7,121,892
Consumer staples (1.8%)
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) |  | 80,000 | 72,163
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) |  | 77,000 | 73,920
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) |  | 100,000 | 94,750
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 |  | 35,000 | 34,081
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 |  | 260,000 | 251,346
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 |  | 395,000 | 356,476
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 |  | 18,000 | 16,539
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 |  | 130,000 | 131,820
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 |  | 60,000 | 62,400
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 |  | 110,000 | 111,650
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 |  | 104,000 | 102,527
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 |  | 85,000 | 85,000
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 |  | 85,000 | 79,050
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 |  | 33,000 | 32,840
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 |  | 35,000 | 31,305
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 |  | 155,000 | 145,246
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 |  | 60,000 | 58,125
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26 |  | 50,000 | 47,472
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 |  | 120,000 | 125,851
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 |  | 246,000 | 271,166

36 Master Intermediate Income Trust

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Consumer staples cont.
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 |  | $60,000 | $64,950
Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 |  | 19,000 | 20,267
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 |  | 66,000 | 68,128
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 |  | 105,000 | 105,656
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 |  | 59,000 | 60,944
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 3.75%, 1/15/32 |  | 605,000 | 564,163
Univision Communications, Inc. 144A company guaranty sr. notes 9.50%, 5/1/25 |  | 65,000 | 68,250
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 |  | 115,000 | 120,463
Univision Communications, Inc. 144A company guaranty sr. notes 4.50%, 5/1/29 |  | 40,000 | 38,075
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32 |  | 25,000 | 25,057
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 |  | 55,000 | 50,151
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 |  | 55,000 | 53,934
|  |  | 3,423,765
Energy (4.7%)
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 |  | 65,000 | 70,338
Antero Resources Corp. 144A company guaranty sr. unsec. notes 8.375%, 7/15/26 |  | 10,000 | 11,025
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 |  | 306,000 | 311,808
Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25 |  | 55,000 | 58,300
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 |  | 90,000 | 90,459
ChampionX Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 |  | 42,000 | 42,840
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 |  | 570,000 | 572,850
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 |  | 90,000 | 87,245
Cheniere Energy Partners LP 144A company guaranty sr. unsec. unsub. bonds 3.25%, 1/31/32 |  | 10,000 | 9,100
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 |  | 23,000 | 23,345
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 |  | 80,000 | 78,824
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 |  | 117,000 | 118,615
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 |  | 105,000 | 106,260
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 |  | 127,000 | 138,913
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 |  | 125,000 | 111,469
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 |  | 56,000 | 58,380
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 |  | 248,000 | 255,264

Master Intermediate Income Trust 37

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Energy cont.
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 |  | $196,000 | $202,615
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 6.625%, 7/15/25 |  | 59,000 | 61,213
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 |  | 51,000 | 52,020
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 |  | 10,000 | 10,323
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 |  | 102,000 | 101,933
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 |  | 30,000 | 28,308
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 |  | 132,000 | 135,425
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 |  | 195,000 | 185,004
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 9.00%, 2/1/25 |  | 70,097 | 73,006
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 |  | 40,000 | 41,000
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 |  | 200,000 | 229,500
Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31 |  | 550,000 | 618,750
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 |  | 195,000 | 239,056
PBF Holding Co., LLC/PBF Finance Corp. 144A company guaranty sr. notes 9.25%, 5/15/25 |  | 295,000 | 303,915
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) |  | 169,000 | 177,450
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) |  | 879,000 | 889,988
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) |  | 409,000 | 427,201
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) |  | 816,000 | 753,176
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) |  | 1,034,000 | 982,300
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) |  | 51,000 | 52,020
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) |  | 20,000 | 20,300
Rattler Midstream LP 144A company guaranty sr. unsec. notes 5.625%, 7/15/25 |  | 80,000 | 81,200
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 |  | 46,000 | 46,043
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 |  | 51,000 | 52,283
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 |  | 49,000 | 50,385
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 |  | 197,000 | 203,290
SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25 |  | 30,000 | 32,750
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 |  | 179,000 | 178,776
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 |  | 337,000 | 342,463

38 Master Intermediate Income Trust

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Energy cont.
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 |  | $230,000 | $232,875
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) |  | 35,055 | 34,967
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 |  | 82,500 | 81,675
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 |  | 35,000 | 35,651
|  |  | 9,101,896
Financials (2.5%)
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 |  | 105,000 | 105,000
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. notes 4.25%, 10/15/27 |  | 30,000 | 28,856
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29 |  | 30,000 | 28,801
Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes Ser. EMTN, 2.625%, 4/28/25 (Italy) | EUR | 105,000 | 109,109
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) |  | $200,000 | 204,215
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 |  | 100,000 | 105,200
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 |  | 188,000 | 161,210
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. bonds 3.625%, 10/1/31 |  | 35,000 | 29,838
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 10/1/28 |  | 40,000 | 35,450
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) |  | 200,000 | 211,250
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 |  | 53,000 | 52,801
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27 |  | 40,000 | 37,089
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) |  | 35,000 | 34,738
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) |  | 70,000 | 66,238
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 |  | 104,000 | 106,080
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 |  | 25,000 | 24,536
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 |  | 64,000 | 58,720
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 |  | 15,000 | 15,148
Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) |  | 200,000 | 201,569
iStar, Inc. sr. unsec. notes 5.50%, 2/15/26 R |  | 190,000 | 192,375
iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R |  | 156,000 | 157,275
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R |  | 122,000 | 120,018
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) |  | 930,000 | 881,175
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 R |  | 172,000 | 162,218
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25 R |  | 25,000 | 24,906

Master Intermediate Income Trust 39

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Financials cont.
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R |  | $115,000 | $109,681
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 |  | 210,000 | 200,279
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 |  | 93,000 | 89,401
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/15/30 |  | 35,000 | 32,375
NatWest Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 (United Kingdom) |  | 570,000 | 576,611
OneMain Finance Corp. company guaranty sr. unsec. notes 8.875%, 6/1/25 |  | 45,000 | 47,410
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 |  | 60,000 | 64,133
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 |  | 161,000 | 156,423
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 |  | 110,000 | 108,900
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 |  | 105,000 | 98,175
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 |  | 235,000 | 231,066
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25 R |  | 41,000 | 43,011
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) |  | 200,000 | 20,000
|  |  | 4,931,280
Health care (1.7%)
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27 |  | 51,000 | 51,191
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/30/29 |  | 105,000 | 89,558
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/15/29 |  | 80,000 | 65,600
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/15/29 |  | 50,000 | 38,950
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 |  | 65,000 | 62,238
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 |  | 55,000 | 50,516
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 |  | 250,000 | 252,500
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 |  | 60,000 | 56,475
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 |  | 55,000 | 51,838
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 |  | 305,000 | 317,633
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 |  | 10,000 | 10,125
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 |  | 45,000 | 45,788
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 |  | 105,000 | 95,240

40 Master Intermediate Income Trust

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Health care cont.
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.40%, 8/28/28 |  | $130,000 | $139,428
Endo Luxembourg Finance Co. I SARL/Endo US, Inc. 144A company guaranty sr. notes 6.125%, 4/1/29 (Luxembourg) |  | 45,000 | 40,838
Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25 |  | 55,000 | 54,588
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 |  | 245,000 | 257,250
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 |  | 55,000 | 53,134
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) |  | 200,000 | 193,750
Laboratoire Eimer Selarl company guaranty sr. unsec. notes Ser. REGS, 5.00%, 2/1/29 (France) | EUR | 110,000 | 113,155
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) |  | $105,000 | 99,225
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29 |  | 20,000 | 18,750
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 |  | 60,000 | 57,300
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 |  | 155,000 | 157,726
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 |  | 40,000 | 36,035
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 |  | 40,000 | 37,213
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 |  | 99,000 | 99,426
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 |  | 28,000 | 28,745
Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 |  | 235,000 | 236,106
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 |  | 249,000 | 251,179
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.25%, 6/1/29 |  | 95,000 | 91,081
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) |  | 200,000 | 209,650
|  |  | 3,362,231
Technology (0.6%)
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 |  | 40,000 | 37,314
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28 |  | 35,000 | 32,352
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 |  | 20,000 | 20,232
Condor Merger Sub., Inc. 144A sr. unsec. notes 7.375%, 2/15/30 |  | 130,000 | 124,701
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 |  | 80,000 | 73,400
Diebold Nixdorf, Inc. 144A company guaranty sr. notes 9.375%, 7/15/25 |  | 54,000 | 54,857
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 |  | 131,000 | 126,148
Microchip Technology, Inc. company guaranty sr. unsec. notes 4.25%, 9/1/25 |  | 119,000 | 120,420
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A company guaranty sr. notes 5.75%, 6/1/25 |  | 45,000 | 45,394
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 |  | 90,000 | 83,250
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 |  | 65,000 | 60,419
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 |  | 320,000 | 301,600

Master Intermediate Income Trust 41

CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal amount | Value
Technology cont.
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 |  | $125,000 | $114,253
|  |  | 1,194,340
Transportation (0.3%)
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 |  | 120,000 | 119,550
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 |  | 120,000 | 120,900
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 |  | 170,000 | 171,302
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 |  | 45,000 | 42,793
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 |  | 45,000 | 44,265
|  |  | 498,810
Utilities and power (0.5%)
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 |  | 29,000 | 28,340
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 |  | 45,000 | 43,108
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 |  | 29,000 | 29,145
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 |  | 170,000 | 165,832
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 |  | 25,000 | 22,750
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 |  | 10,000 | 9,200
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 |  | 8,000 | 8,244
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 |  | 170,000 | 169,886
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 |  | 80,000 | 70,400
NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 |  | 49,000 | 47,884
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 |  | 110,000 | 104,526
Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27 |  | 30,000 | 28,791
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 |  | 50,000 | 48,262
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 |  | 168,000 | 168,919
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 |  | 75,000 | 73,786
|  |  | 1,019,073
Total corporate bonds and notes (cost $43,702,883) | $42,294,733

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.8%)* | Principal amount | Value
Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, 5/14/30 (Bahrain) |  | $960,000 | $1,039,228
Cote d’Ivoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Cote d’Ivoire) | EUR | 1,345,000 | 1,374,096
Cote d’Ivoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, 3/3/28 (Cote d’Ivoire) |  | $1,025,000 | 1,045,500
Cote d’Ivoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d’Ivoire) |  | 1,300,000 | 1,288,625

42 Master Intermediate Income Trust

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (9.8%)* cont. | Principal amount | Value
Development Bank of Mongolia, LLC unsec. notes Ser. REGS, 7.25%, 10/23/23 (Mongolia) |  | $340,000 | $342,550
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) |  | 325,000 | 293,719
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) |  | 336,000 | 358,680
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) |  | 180,000 | 182,702
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) |  | 284,000 | 291,810
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, 1/27/25 (Dominican Republic) |  | 380,000 | 394,250
Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 (Dominican Republic) |  | 260,000 | 238,553
Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, 1/27/25 (Dominican Republic) |  | 725,000 | 750,375
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) |  | 360,000 | 314,100
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) |  | 840,000 | 795,917
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) |  | 1,510,000 | 1,272,175
Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, 2/14/30 (Indonesia) |  | 379,000 | 372,486
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) |  | 1,020,000 | 1,083,740
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, 1/15/25 (Indonesia) |  | 360,000 | 372,154
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) |  | 200,000 | 212,499
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) |  | 650,000 | 690,625
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) |  | 560,000 | 566,998
Kenya (Republic of) sr. unsec. notes Ser. REGS, 7.00%, 5/22/27 (Kenya) |  | 485,000 | 466,348
Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) |  | 270,000 | 265,612
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) |  | 2,240,000 | 2,105,600
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) |  | 760,000 | 509,200
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey) |  | 430,000 | 426,347
United Mexican States sr. unsec. unsub. bonds 3.25%, 4/16/30 (Mexico) |  | 1,009,000 | 971,233
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) |  | 910,000 | 941,861
Total foreign government and agency bonds and notes (cost $19,414,292) | $18,966,983

Master Intermediate Income Trust 43

CONVERTIBLE BONDS AND NOTES (6.0%)* | Principal amount | Value
Capital goods (0.1%)
John Bean Technologies Corp. 144A cv. sr. unsec. notes 0.25%, 5/15/26 |  | $103,000 | $98,932
Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 |  | 42,000 | 57,829
|  |  | 156,761
Communication services (0.4%)
Cable One, Inc. cv. company guaranty sr. unsec. notes 1.125%, 3/15/28 |  | 196,000 | 175,224
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 |  | 357,000 | 321,122
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 |  | 38,000 | 53,561
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 |  | 79,000 | 112,101
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 |  | 188,000 | 187,199
|  |  | 849,207
Consumer cyclicals (1.0%)
Alarm.com Holdings, Inc. cv. sr. unsec. notes zero %, 1/15/26 |  | 63,000 | 53,235
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 |  | 97,000 | 87,846
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 |  | 80,000 | 73,948
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 |  | 121,000 | 174,603
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 |  | 88,000 | 100,485
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 |  | 82,000 | 58,917
Expedia Group, Inc. cv. company guaranty sr. unsec. unsub. notes zero %, 2/15/26 |  | 166,000 | 201,906
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 |  | 234,000 | 276,588
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 |  | 95,000 | 77,863
Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 |  | 72,000 | 127,037
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 |  | 37,000 | 56,795
NCL Corp., Ltd. cv. company guaranty sr. unsec. notes 5.375%, 8/1/25 |  | 37,000 | 53,465
NCL Corp., Ltd. 144A cv. company guaranty sr. unsec. notes 2.50%, 2/15/27 |  | 73,000 | 69,679
Royal Caribbean Cruises, Ltd. cv. sr. unsec. notes 2.875%, 11/15/23 |  | 219,000 | 264,771
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 |  | 109,000 | 114,123
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 |  | 168,000 | 162,706
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 |  | 74,000 | 80,697
|  |  | 2,034,664
Consumer staples (0.6%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 |  | 142,000 | 137,270
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 |  | 82,000 | 74,394
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 |  | 103,000 | 92,185
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 |  | 111,000 | 90,687
Etsy, Inc. 144A cv. sr. unsec. notes 0.25%, 6/15/28 |  | 180,000 | 159,930
Lyft, Inc. cv. sr. unsec. notes 1.50%, 5/15/25 |  | 70,000 | 86,695
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 |  | 112,000 | 89,880
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 |  | 80,000 | 71,600
Upwork, Inc. 144A cv. sr. unsec. notes 0.25%, 8/15/26 |  | 106,000 | 86,549

44 Master Intermediate Income Trust

CONVERTIBLE BONDS AND NOTES (6.0%)* cont. | Principal amount | Value
Consumer staples cont.
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 |  | $210,000 | $172,410
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 |  | 40,000 | 45,140
|  |  | 1,106,740
Energy (0.4%)
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 |  | 174,000 | 180,786
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 |  | 136,000 | 322,932
SolarEdge Technologies, Inc. cv. sr. unsec. notes zero %, 9/15/25 (Israel) |  | 72,000 | 98,028
Sunrun, Inc. cv. sr. unsec. notes zero %, 2/1/26 |  | 62,000 | 49,321
Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 |  | 96,000 | 90,019
|  |  | 741,086
Financials (0.2%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23 R |  | 108,000 | 109,188
JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 |  | 109,000 | 119,355
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 |  | 79,000 | 63,745
|  |  | 292,288
Health care (0.8%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 |  | 65,000 | 65,084
DexCom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 |  | 161,000 | 183,842
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 |  | 243,000 | 213,597
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27 |  | 123,000 | 98,658
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 |  | 150,000 | 130,688
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 |  | 58,000 | 76,879
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 |  | 77,000 | 90,745
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) |  | 152,000 | 155,040
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28 |  | 130,000 | 84,581
Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 |  | 42,000 | 55,020
Omnicell, Inc. cv. sr. unsec. notes 0.25%, 9/15/25 |  | 72,000 | 101,484
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 |  | 135,000 | 167,231
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 |  | 53,000 | 65,932
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 |  | 101,000 | 85,194
|  |  | 1,573,975
Technology (2.1%)
3D Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26 |  | 57,000 | 47,823
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 |  | 170,000 | 195,415
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 |  | 93,000 | 122,202
Avalara, Inc. 144A cv. sr. unsec. notes 0.25%, 8/1/26 |  | 83,000 | 70,799
Bentley Systems, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 7/1/27 |  | 153,000 | 132,804
Bill.com Holdings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 4/1/27 |  | 104,000 | 99,190
Blackline, Inc. cv. sr. unsec. notes zero %, 3/15/26 |  | 106,000 | 89,570
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 |  | 131,000 | 165,322
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 |  | 94,000 | 81,968
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 |  | 157,000 | 131,723

Master Intermediate Income Trust 45

CONVERTIBLE BONDS AND NOTES (6.0%)* cont. | Principal amount | Value
Technology cont.
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel) |  | $90,000 | $111,546
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 |  | 33,000 | 58,410
DigitalOcean Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26 |  | 58,000 | 45,994
Envestnet, Inc. 144A cv. company guaranty sr. unsec. notes 0.75%, 8/15/25 |  | 93,000 | 90,326
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 |  | 120,000 | 101,850
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 |  | 47,000 | 50,925
Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 |  | 107,000 | 111,901
Impinj, Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27 |  | 57,000 | 53,473
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 |  | 138,000 | 159,925
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 |  | 33,000 | 71,462
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 |  | 194,000 | 189,150
ON Semiconductor Corp. 144A cv. sr. unsec. notes zero %, 5/1/27 |  | 109,000 | 147,477
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 |  | 86,000 | 181,116
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 |  | 72,000 | 67,644
Perficient, Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26 |  | 34,000 | 30,379
Rapid7, Inc. cv. sr. unsec. notes 0.25%, 3/15/27 |  | 103,000 | 128,081
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 |  | 122,000 | 106,079
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 |  | 76,000 | 104,356
Snap, Inc. 144A cv. sr. unsec. notes zero %, 5/1/27 |  | 133,000 | 113,316
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 |  | 298,000 | 284,590
Spotify USA, Inc. cv. company guaranty sr. unsec. notes zero %, 3/15/26 |  | 68,000 | 57,945
Twitter, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 |  | 264,000 | 221,628
Unity Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26 |  | 92,000 | 75,486
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 |  | 49,000 | 63,547
Wolfspeed, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 2/15/28 |  | 60,000 | 67,988
Zendesk, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 |  | 86,000 | 108,403
Ziff Davis, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 |  | 71,000 | 80,053
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 |  | 37,000 | 62,956
|  |  | 4,082,822
Transportation (0.2%)
American Airlines Group, Inc. cv. company guaranty notes 6.50%, 7/1/25 |  | 93,000 | 127,224
JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26 |  | 124,000 | 115,374
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 |  | 170,000 | 230,690
|  |  | 473,288
Utilities and power (0.2%)
NextEra Energy Partners LP 144A cv. company guaranty sr. unsec. notes zero %, 11/15/25 |  | 145,000 | 164,048
NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 |  | 129,000 | 141,382
|  |  | 305,430
Total convertible bonds and notes (cost $11,680,646) | $11,616,261

46 Master Intermediate Income Trust

SENIOR LOANS (3.1%)*c | Principal amount | Value
Basic materials (0.2%)
Klockner-Pentaplast of America, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.554%, 2/4/26 |  | $29,700 | $26,971
PQ Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.25%, 6/9/28 |  | 19,850 | 19,569
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 10/1/25 |  | 167,405 | 164,685
TAMKO Building Products, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.522%, 5/3/26 |  | 257,578 | 251,782
|  |  | 463,007
Capital goods (0.6%)
Adient US, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.707%, 4/1/28 |  | 74,438 | 73,135
American Axle and Manufacturing, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.25%), 3.00%, 4/6/24 |  | 20,819 | 20,663
BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 3.705%, 4/3/24 |  | 347,663 | 342,302
Filtration Group Corp. bank term loan FRN (1 Month US LIBOR + 3.50%), 4.00%, 10/19/28 |  | 9,950 | 9,826
GFL Environmental, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.50%, 5/31/25 |  | 194,815 | 193,841
Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.317%, 4/9/26 |  | 87,623 | 82,630
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 3/28/25 |  | 217,914 | 212,857
TK Elevator US Newco, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 7/31/27 |  | 207,274 | 205,073
|  |  | 1,140,327
Communication services (0.1%)
Asurion, LLC bank term loan FRN Ser. B9, (BBA LIBOR USD 3 Month + 3.25%), 3.707%, 7/31/27 |  | 29,774 | 29,132
DIRECTV Financing, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 5.75%, 7/22/27 |  | 76,400 | 76,231
|  |  | 105,363
Consumer cyclicals (0.9%)
AppleCaramel Buyer, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 0.00%), 4.25%, 10/19/27 |  | 212,622 | 209,875
Cengage Learning, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 5.75%, 6/29/26 |  | 174,125 | 172,493
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.799%, 8/21/26 |  | 230,976 | 226,819
Cornerstone Building Brands, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 4/12/28 |  | 152,488 | 147,277
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.50%), 3.25%, 5/5/24 |  | 100,227 | 99,275
Diamond Sports Group, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 3.25%), 3.79%, 8/24/26 |  | 97,506 | 32,970
Fertitta Entertainment, LLC/NV bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 4.00%), 4.50%, 1/12/29 |  | 84,085 | 83,559
Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 4.71%, 10/30/26 |  | 82,448 | 81,359

Master Intermediate Income Trust 47

SENIOR LOANS (3.1%)*c cont. | Principal amount | Value
Consumer cyclicals cont.
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 5/1/26 |  | $71,328 | $70,838
iHeartCommunications, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 3.457%, 5/1/26 |  | 44,355 | 44,028
Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 2.955%, 6/19/26 |  | 125,098 | 124,495
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.00%, 2/28/26 |  | 100,000 | 75,000
Scientific Games International, Inc. bank term loan FRN Ser. B5, (BBA LIBOR USD 3 Month + 2.75%), 3.207%, 8/14/24 |  | 63,190 | 62,914
Terrier Media Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 3.957%, 12/17/26 |  | 122,327 | 120,319
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.00%, 7/24/24 |  | 184,656 | 182,656
|  |  | 1,733,877
Consumer staples (0.2%)
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.25%, 6/21/24 |  | 385,490 | 367,126
IRB Holding Corp. bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 3.00%), 3.75%, 12/15/27 |  | 39,500 | 39,237
IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.75%, 2/5/25 |  | 96,970 | 96,121
|  |  | 502,484
Energy (0.1%)
CQP Holdco LP bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.756%, 6/4/28 |  | 94,288 | 93,713
Southwestern Energy Co. bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 2.50%), 3.301%, 6/8/27 |  | 64,838 | 64,675
|  |  | 158,388
Financials (0.1%)
Forest City Enterprises LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 3.957%, 12/7/25 |  | 91,429 | 90,693
HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 4/25/25 |  | 43,993 | 43,673
|  |  | 134,366
Health care (0.3%)
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 1.981%, 2/4/27 |  | 61,394 | 60,339
Enterprise Merger Sub, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 4.207%, 10/10/25 |  | 103,397 | 68,415
Global Medical Response, Inc. bank term loan FRN (1 Month US LIBOR + 4.25%), 5.25%, 10/2/25 |  | 232,063 | 230,104
Jazz Financing Lux SARL bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 4.00%, 5/31/28 |  | 130,018 | 129,417
One Call Corp. bank term loan FRN Ser. B, (1 Month US LIBOR + 5.50%), 6.25%, 4/22/27 |  | 133,988 | 123,938
Ortho-Clinical Diagnostics, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.278%, 6/30/25 |  | 26,679 | 26,554
Quorum Health Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 7.75%), 8.748%, 4/29/25 |  | 87,648 | 77,130
|  |  | 715,897

48 Master Intermediate Income Trust

SENIOR LOANS (3.1%)*c cont. | Principal amount | Value
Technology (0.5%)
Arches Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.75%, 12/6/27 |  | $183,145 | $179,841
Boxer Parent Co., Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.756%, 10/2/25 |  | 182,354 | 181,101
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.00%, 7/30/27 |  | 93,575 | 92,723
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.545%, 12/1/27 |  | 178,200 | 177,755
Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 2.709%, 7/2/25 |  | 151,476 | 150,104
Polaris Newco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 4.50%, 6/3/28 |  | 89,550 | 88,811
Rocket Software, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 4.75%, 11/28/25 |  | 59,550 | 58,657
|  |  | 928,992
Transportation (0.1%)
American Airlines, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.50%, 4/20/28 |  | 55,000 | 55,636
United Airlines, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.50%, 4/21/28 |  | 113,850 | 112,332
|  |  | 167,968
Total senior loans (cost $6,219,502) | $6,050,669

PURCHASED SWAP OPTIONS OUTSTANDING (2.8%)*
Counterparty Fixed right % to receive or (pay)/ Floating rate index/Maturity date | Expiration date/strike |  | Notional/ Contract amount | Value
Bank of America N.A.
0.485/3 month USD-LIBOR-BBA/Jan-25 | Jan-24/0.485 |  | $18,054,200 | $10,110
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 |  | 3,156,500 | 302,487
(2.988)/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 |  | 3,156,500 | 147,156
JPMorgan Chase Bank N.A.
2.795/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 |  | 3,169,000 | 270,506
2.7575/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 |  | 3,169,000 | 264,612
(2.7575)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 |  | 3,169,000 | 159,115
(2.795)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 |  | 3,169,000 | 155,598
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Feb-73 | Feb-48/3.00 |  | 3,150,300 | 630,501
3.00/3 month USD-LIBOR-BBA/Apr-72 | Apr-47/3.00 |  | 3,150,300 | 611,820
2.75/3 month USD-LIBOR-BBA/May-73 | May-48/2.75 |  | 3,150,300 | 545,348
(1.613)/3 month USD-LIBOR-BBA/Aug-34 | Aug-24/1.613 |  | 3,902,100 | 334,137
1.613/3 month USD-LIBOR-BBA/Aug-34 | Aug-24/1.613 |  | 3,902,100 | 94,470
NatWest Markets PLC
(0.52)/Sterling Overnight Index Average/Sep-23 | Sep-22/0.52 | GBP | 41,615,900 | 893,287
UBS AG
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 5,920,000 | 409,051
(0.925)/6 month EUR-EURIBOR-Reuters/Mar-57 | Mar-27/0.925 | EUR | 1,425,000 | 243,791
0.925/6 month EUR-EURIBOR-Reuters/Mar-57 | Mar-27/0.925 | EUR | 1,425,000 | 243,050
0.153/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 5,920,000 | 47,742
Total purchased swap options outstanding (cost $3,442,341) | $5,362,781

Master Intermediate Income Trust 49

PURCHASED OPTIONS OUTSTANDING (0.0%)* Counterparty | Expiration date/strike price | Notional amount |  | Contract amount | Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Call) | Apr-22/$102.47 | $25,044,923 |  | $25,000,000 | $25
Total purchased options outstanding (cost $—) | $25

ASSET-BACKED SECURITIES (0.3%)* | Principal amount | Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 |  | $594,000 | $592,515
Total asset-backed securities (cost $594,000) | $592,515

COMMON STOCKS (0.1%)* | Shares | Value
iHeartMedia, Inc. Class A † | 6,510 | $123,234
Oasis Petroleum, Inc. | 378 | 55,301
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 9,820 | 12,570
Tribune Media Co. Class 1C | 40,066 | 401
Total common stocks (cost $183,633) | $191,506

WARRANTS (0.0%)* † | Expiration date | Strike price | Warrants | Value
Guaranteed Rate, Inc. F | 3/1/23 | $0.01 | 33 | $2
Total warrants (cost $2) | $2

SHORT-TERM INVESTMENTS (17.9%)* | Principal amount/ shares | Value
Putnam Short Term Investment Fund Class P 0.39% L | Shares | 11,362,599 | $11,362,599
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25% P | Shares | 970,000 | 970,000
U.S. Treasury Bills 0.043%, 4/21/22 # ∆ Φ § |  | $1,900,000 | 1,899,871
U.S. Treasury Bills 0.053%, 5/19/22 # ∆ Φ § |  | 2,200,000 | 2,199,269
U.S. Treasury Bills 0.418%, 6/16/22 § |  | 300,000 | 299,737
U.S. Treasury Bills 0.053%, 4/7/22 ∆ Φ § |  | 4,416,000 | 4,415,893
U.S. Treasury Bills 0.348%, 6/2/22 # ∆ Φ § |  | 3,900,000 | 3,897,807
U.S. Treasury Bills 0.391%, 6/9/22 # ∆ Φ § |  | 2,400,000 | 2,398,275
U.S. Treasury Bills 0.172%, 4/26/22 ∆ § |  | 900,000 | 899,918
U.S. Treasury Cash Management Bills 0.359%, 6/7/22 # ∆ Φ § |  | 4,200,000 | 4,197,174
U.S. Treasury Cash Management Bills 0.401%, 6/14/22 ∆ § |  | 2,300,000 | 2,298,109
Total short-term investments (cost $34,839,286) | $34,838,652

TOTAL INVESTMENTS
Total investments (cost $389,838,814) | $373,250,515

Key to holding’s currency abbreviations
AUD | Australian Dollar
CAD | Canadian Dollar
CHF | Swiss Franc
CZK | Czech Koruna
EUR | Euro

50 Master Intermediate Income Trust

GBP | British Pound
JPY | Japanese Yen
NOK | Norwegian Krone
NZD | New Zealand Dollar
SEK | Swedish Krona

Key to holding’s abbreviations
DAC | Designated Activity Company
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
LIBOR | London Interbank Offered Rate
OJSC | Open Joint Stock Company
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.
SOFR | Secured Overnight Financing Rate
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, 2021 through March 31, 2022 (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 $194,355,353.
† | This security is non-income-producing.
# | 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 $317,854 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 $15,554,544 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
Φ | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $1,255,384 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 $4,430,839 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
c | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).

Master Intermediate Income Trust 51

F | This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).
i | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
L | Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
P | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. 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 $155,242,060 to cover certain derivative contracts and delayed delivery securities.
| Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
| Debt obligations are considered secured unless otherwise indicated.
| 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 3/31/22 (aggregate face value $38,572,368) (Unaudited)
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation)
Bank of America N.A.
| Australian Dollar | Buy | 4/20/22 | $6,586 | $6,265 | $321
| British Pound | Buy | 6/15/22 | 4,202 | 4,216 | (14)
| Canadian Dollar | Buy | 4/20/22 | 344,571 | 338,617 | 5,954
| Japanese Yen | Sell | 5/18/22 | 355 | 376 | 21
| New Zealand Dollar | Buy | 4/20/22 | 3,465 | 3,396 | 69
| Norwegian Krone | Buy | 6/15/22 | 7,981 | 8,055 | (74)
Barclays Bank PLC
| British Pound | Sell | 6/15/22 | 167,573 | 169,127 | 1,554
| Canadian Dollar | Sell | 4/20/22 | 143,411 | 141,422 | (1,989)
| Norwegian Krone | Buy | 6/15/22 | 1,090 | 1,069 | 21
| Swiss Franc | Buy | 6/15/22 | 978,949 | 984,524 | (5,575)
Citibank, N.A.
| British Pound | Sell | 6/15/22 | 519,923 | 529,672 | 9,749
| Chilean Peso | Buy | 4/20/22 | 52,307 | 49,210 | 3,097
Goldman Sachs International
| Brazilian Real | Buy | 4/4/22 | 87,523 | 74,278 | 13,245
| Brazilian Real | Sell | 4/4/22 | 87,523 | 83,181 | (4,342)
| Brazilian Real | Buy | 7/5/22 | 57,069 | 54,821 | 2,248
| Canadian Dollar | Buy | 4/20/22 | 72,545 | 71,081 | 1,464
| New Zealand Dollar | Buy | 4/20/22 | 77,882 | 74,442 | 3,440
| Norwegian Krone | Sell | 6/15/22 | 166,688 | 164,820 | (1,868)

52 Master Intermediate Income Trust

FORWARD CURRENCY CONTRACTS at 3/31/22 (aggregate face value $38,572,368) (Unaudited) cont.
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation)
Goldman Sachs International cont.
| Polish Zloty | Buy | 6/15/22 | $269,409 | $262,274 | $7,135
| Swedish Krona | Sell | 6/15/22 | 225,947 | 218,873 | (7,074)
| Swiss Franc | Buy | 6/15/22 | 1,694,574 | 1,703,530 | (8,956)
HSBC Bank USA, National Association
| British Pound | Sell | 6/15/22 | 2,033,860 | 2,072,373 | 38,513
JPMorgan Chase Bank N.A.
| Australian Dollar | Sell | 4/20/22 | 2,320 | 2,249 | (71)
| British Pound | Buy | 6/15/22 | 5,253 | 5,251 | 2
| Canadian Dollar | Sell | 4/20/22 | 36,793 | 36,470 | (323)
| Euro | Sell | 6/15/22 | 468,431 | 465,882 | (2,549)
| Norwegian Krone | Buy | 6/15/22 | 2,850 | 2,851 | (1)
| Swedish Krona | Buy | 6/15/22 | 15,566 | 15,776 | (210)
Morgan Stanley & Co. International PLC
| Australian Dollar | Buy | 4/20/22 | 123,417 | 118,659 | 4,758
| British Pound | Buy | 6/15/22 | 193,313 | 192,893 | 420
| Canadian Dollar | Buy | 4/20/22 | 23,515 | 22,489 | 1,026
| Euro | Buy | 6/15/22 | 271,653 | 268,252 | 3,401
| New Zealand Dollar | Sell | 4/20/22 | 1,701,484 | 1,673,813 | (27,671)
| Norwegian Krone | Sell | 6/15/22 | 149,658 | 147,654 | (2,004)
| Swedish Krona | Sell | 6/15/22 | 165,387 | 156,802 | (8,585)
NatWest Markets PLC
| British Pound | Buy | 6/15/22 | 126,336 | 127,198 | (862)
| Swedish Krona | Buy | 6/15/22 | 4,059 | 4,055 | 4
| Swiss Franc | Buy | 6/15/22 | 2,171 | 2,146 | 25
State Street Bank and Trust Co.
| Australian Dollar | Sell | 4/20/22 | 1,945,788 | 1,865,231 | (80,557)
| British Pound | Buy | 6/15/22 | 11,951 | 12,086 | (135)
| Canadian Dollar | Sell | 4/20/22 | 1,721,171 | 1,688,705 | (32,466)
| Euro | Sell | 6/15/22 | 6,184,333 | 6,190,585 | 6,252
| Japanese Yen | Sell | 5/18/22 | 2,438,971 | 2,444,072 | 5,101
| Mexican Peso | Buy | 4/20/22 | 146,358 | 144,225 | 2,133
| New Zealand Dollar | Buy | 4/20/22 | 116,822 | 114,953 | 1,869
| Norwegian Krone | Sell | 6/15/22 | 591,377 | 585,432 | (5,945)
| Swedish Krona | Sell | 6/15/22 | 1,227,456 | 1,187,708 | (39,748)
| Swiss Franc | Buy | 6/15/22 | 2,551,521 | 2,527,565 | 23,956
Toronto-Dominion Bank
| Canadian Dollar | Sell | 4/20/22 | 1,554,965 | 1,526,221 | (28,744)
| Japanese Yen | Buy | 5/18/22 | 2,673,109 | 2,813,965 | (140,856)
| Norwegian Krone | Sell | 6/15/22 | 339,779 | 336,020 | (3,759)
UBS AG
| Australian Dollar | Sell | 4/20/22 | 3,518 | 3,336 | (182)
| British Pound | Buy | 6/15/22 | 6,304 | 6,311 | (7)
| Canadian Dollar | Sell | 4/20/22 | 6,558 | 6,450 | (108)
| Czech Koruna | Buy | 6/15/22 | 143,571 | 135,323 | 8,248

Master Intermediate Income Trust 53

FORWARD CURRENCY CONTRACTS at 3/31/22 (aggregate face value $38,572,368) (Unaudited) cont.
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation)
UBS AG cont.
| Euro | Buy | 6/15/22 | $7,543 | $7,585 | $(42)
| Japanese Yen | Buy | 5/18/22 | 5,520,431 | 5,881,866 | (361,435)
| New Zealand Dollar | Sell | 4/20/22 | 91,186 | 91,356 | 170
| Norwegian Krone | Buy | 6/15/22 | 216,994 | 213,896 | 3,098
| Swedish Krona | Buy | 6/15/22 | 335,378 | 317,337 | 18,041
| Swiss Franc | Sell | 6/15/22 | 214,372 | 214,078 | (294)
Unrealized appreciation | 165,335
Unrealized (depreciation) | (766,446)
Total | $(601,111)
* The exchange currency for all contracts listed is the United States Dollar.

FUTURES CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
| Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation/ (depreciation)
U.S. Treasury Note 2 yr (Short) | 51 | $10,808,016 | $10,808,016 | Jun-22 | $134,955
U.S. Treasury Note 5 yr (Long) | 129 | 14,794,688 | 14,794,688 | Jun-22 | (351,954)
U.S. Treasury Note Ultra 10 yr (Long) | 71 | 9,618,281 | 9,618,281 | Jun-22 | (134,527)
Unrealized appreciation |  |  |  | 134,955
Unrealized (depreciation) |  |  |  | (486,481)
Total | $(351,526)

WRITTEN OPTIONS OUTSTANDING at 3/31/22 (premiums $319,336) (Unaudited)
Counterparty | Expiration date/strike price | Notional amount |  | Contract amount | Value
JPMorgan Chase Bank N.A.
Uniform Mortgage-Backed Securities 30 yr 3.50% TBA commitments (Put) | Apr-22/$102.47 | $25,044,923 |  | $25,000,000 | $568,325
Total | $568,325

WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/22 (premiums $6,909,962) (Unaudited)
Counterparty Fixed Obligation % to receive or (pay)/ Floating rate index/Maturity date | Expiration date/strike |  | Notional/Contract amount | Value
Bank of America N.A.
0.985/3 month USD-LIBOR-BBA/Jan-25 | Jan-24/0.985 |  | $18,054,200 | $347,724
Citibank, N.A.
(1.865)/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 |  | 3,799,800 | 185,316
1.865/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 |  | 3,799,800 | 329,025
2.395/3 month USD-LIBOR-BBA/Nov-33 | Nov-23/2.395 |  | 16,650,600 | 715,476
Goldman Sachs International
1.448/Sterling Overnight Index Average/Feb-39 | Feb-29/1.448 | GBP | 2,049,600 | 181,525
(1.448)/Sterling Overnight Index Average/Feb-39 | Feb-29/1.448 | GBP | 2,049,600 | 191,218

54 Master Intermediate Income Trust

WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/22 (premiums $6,909,962) (Unaudited) cont.
Counterparty Fixed Obligation % to receive or (pay)/ Floating rate index/Maturity date | Expiration date/strike |  | Notional/Contract amount | Value
JPMorgan Chase Bank N.A.
(0.968)/3 month USD-LIBOR-BBA/Mar-35 | Mar-25/0.968 |  | $1,653,100 | $24,631
(1.07)/3 month USD-LIBOR-BBA/Mar-32 | Mar-27/1.07 |  | 2,639,000 | 41,036
1.07/3 month USD-LIBOR-BBA/Mar-32 | Mar-27/1.07 |  | 2,639,000 | 173,936
0.968/3 month USD-LIBOR-BBA/Mar-35 | Mar-25/0.968 |  | 1,653,100 | 211,415
3.229/3 month USD-LIBOR-BBA/Nov-33 | Nov-23/3.229 |  | 11,760,300 | 222,505
1.667/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 4,509,200 | 236,446
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 4,509,200 | 342,098
(3.229)/3 month USD-LIBOR-BBA/Nov-33 | Nov-23/3.229 |  | $11,760,300 | 1,073,010
Morgan Stanley & Co. International PLC
(1.512)/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 |  | 3,902,100 | 10,380
3.01/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 |  | 1,621,300 | 58,999
2.97/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 |  | 1,621,300 | 60,329
(2.97)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 |  | 1,621,300 | 148,657
(3.01)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 |  | 1,621,300 | 152,467
1.512/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 |  | 3,902,100 | 333,200
(3.00)/3 month USD-LIBOR-BBA/Apr-48 | Apr-23/3.00 |  | 3,150,300 | 483,067
(2.75)/3 month USD-LIBOR-BBA/May-49 | May-25/2.75 |  | 3,150,300 | 490,061
(3.00)/3 month USD-LIBOR-BBA/Jan-49 | Jan-24/3.00 |  | 3,150,300 | 545,758
NatWest Markets PLC
0.84/Sterling Overnight Index Average/Sep-23 | Sep-22/0.84 | GBP | 41,615,900 | 727,641
0.68/Sterling Overnight Index Average/Sep-23 | Sep-22/0.68 | GBP | 41,615,900 | 810,191
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-BBA/Mar-55 | Mar-25/1.17 |  | $241,000 | 10,276
1.17/3 month USD-LIBOR-BBA/Mar-55 | Mar-25/1.17 |  | 482,100 | 119,783
UBS AG
(1.9875)/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 |  | 4,407,800 | 212,588
1.9875/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 |  | 4,407,800 | 330,761
Total | $8,769,519

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike |  | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation)
Bank of America N.A.
(0.305)/3 month USD-LIBOR-BBA/May-23 (Purchased) | May-22/0.305 |  | $29,403,000 | $(35,284) | $498,381
(1.39)/SOFR/Dec-26 (Purchased) | Dec-24/1.39 |  | 42,445,300 | (488,121) | 491,092
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased) | Mar-30/0.925 |  | 4,191,700 | (300,126) | 311,527
2.35/3 month USD-LIBOR-BBA/Apr-56 (Purchased) | Apr-26/2.35 |  | 6,660,800 | (865,904) | 232,862
(2.485)/3 month USD-LIBOR-BBA/Oct-54 (Purchased) | Oct-24/2.485 |  | 7,702,700 | (464,858) | 183,093

Master Intermediate Income Trust 55

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike |  | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (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) | $165,354
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased) | Mar-30/1.275 |  | 2,128,300 | (277,211) | 160,708
(1.76)/3 month USD-LIBOR-BBA/Jan-29 (Purchased) | Jan-28/1.76 |  | 17,405,100 | (112,480) | 90,332
(1.405)/SOFR/Dec-58 (Purchased) | Dec-28/1.405 |  | 927,600 | (142,271) | 47,447
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 2,141,400 | (347,036) | 36,079
(2.2875)/3 month USD-LIBOR-BBA/May-32 (Purchased) | May-22/2.2875 |  | $5,880,600 | (76,448) | 30,756
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 2,141,400 | (173,518) | 30,346
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 1,132,450 | (258,281) | 25,607
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased) | Jun-22/2.3075 |  | $1,596,200 | (36,113) | 17,143
1.76/3 month USD-LIBOR-BBA/Jan-29 (Purchased) | Jan-28/1.76 |  | 17,405,100 | (112,480) | 15,839
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 1,132,450 | (258,281) | 12,678
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased) | May-22/2.2275 |  | $25,327,500 | (233,646) | (760)
2.29/3 month USD-LIBOR-BBA/Mar-34 (Purchased) | Mar-24/2.29 |  | 5,120,200 | (251,841) | (21,505)
1.405/SOFR/Dec-58 (Purchased) | Dec-28/1.405 |  | 927,600 | (142,271) | (23,236)
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased) | Mar-30/0.85 |  | 2,134,700 | (155,833) | (79,219)
(2.35)/3 month USD-LIBOR-BBA/Apr-56 (Purchased) | Apr-26/2.35 |  | 6,660,800 | (865,904) | (83,060)
1.39/SOFR/Dec-26 (Purchased) | Dec-24/1.39 |  | 42,445,300 | (488,121) | (96,775)
2.17/3 month USD-LIBOR-BBA/Apr-34 (Purchased) | Apr-24/2.17 |  | 14,629,100 | (706,586) | (100,063)
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased) | Mar-30/1.275 |  | 2,128,300 | (277,211) | (114,652)
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased) | Mar-30/0.925 |  | 4,191,700 | (300,126) | (145,033)
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased) | May-22/2.2275 |  | 25,327,500 | (233,646) | (215,030)
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased) | Jun-22/2.3075 |  | 1,596,200 | (750,495) | (681,450)
(1.085)/3 month USD-LIBOR-BBA/Apr-34 (Written) | Apr-24/1.085 |  | 29,258,100 | 401,567 | 53,542
(1.115)/3 month USD-LIBOR-BBA/Jan-26 (Written) | Jan-25/1.115 |  | 17,405,100 | 73,319 | 20,886
(1.29)/3 month USD-LIBOR-BBA/Mar-34 (Written) | Mar-24/1.29 |  | 7,314,500 | 114,106 | 9,655

56 Master Intermediate Income Trust

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike |  | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation)
Bank of America N.A. cont.
1.7875/3 month USD-LIBOR-BBA/May-32 (Written) | May-22/1.7875 |  | $2,940,300 | $82,328 | $(82,270)
1.115/3 month USD-LIBOR-BBA/Jan-26 (Written) | Jan-25/1.115 |  | 17,405,100 | 73,319 | (200,855)
2.415/3 month USD-LIBOR-BBA/Oct-33 (Written) | Oct-23/2.415 |  | 23,878,400 | 504,431 | (494,760)
0.805/3 month USD-LIBOR-BBA/May-23 (Written) | May-22/0.805 |  | 58,806,000 | 19,112 | (758,597)
Citibank, N.A.
(1.752)/3 month USD-LIBOR-BBA/Dec-31 (Purchased) | Dec-26/1.752 |  | 15,721,800 | (512,531) | 277,804
(1.648)/SOFR/Sep-32 (Purchased) | Sep-22/1.648 |  | 7,636,200 | (186,705) | 240,540
(1.75)/SOFR/Mar-53 (Purchased) | Mar-23/1.75 |  | 4,059,800 | (303,876) | 128,168
(1.724)/SOFR/Mar-53 (Purchased) | Mar-23/1.724 |  | 3,532,900 | (266,557) | 122,097
(1.826)/SOFR/Jan-42 (Purchased) | Jan-32/1.826 |  | 6,632,800 | (489,832) | 120,518
(1.735)/SOFR/Mar-53 (Purchased) | Mar-23/1.735 |  | 3,458,300 | (255,655) | 119,865
(2.194)/3 month USD-LIBOR-BBA/Sep-52 (Purchased) | Sep-22/2.194 |  | 2,947,300 | (72,290) | 112,263
(1.102)/3 month USD-LIBOR-BBA/Nov-32 (Purchased) | Nov-22/1.102 |  | 866,600 | (27,536) | 77,890
(1.90)/3 month USD-LIBOR-BBA/Jun-28 (Purchased) | Jun-26/1.90 |  | 10,644,300 | (141,889) | 74,084
2.31/SOFR/Jun-32 (Purchased) | Jun-22/2.31 |  | 12,257,500 | (262,923) | 63,862
(1.625)/3 month USD-LIBOR-BBA/Jan-61 (Purchased) | Jan-41/1.625 |  | 1,936,700 | (285,663) | 32,595
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.689 |  | 934,000 | (120,253) | 24,144
2.427/3 month USD-LIBOR-BBA/Jun-41 (Purchased) | Jun-31/2.427 |  | 2,053,700 | (149,612) | 19,284
1.90/3 month USD-LIBOR-BBA/Jun-28 (Purchased) | Jun-26/1.90 |  | 10,644,300 | (141,889) | 13,412
2.194/SOFR/Apr-32 (Purchased) | Apr-22/2.194 |  | 7,807,200 | (87,441) | 11,711
(2.427)/3 month USD-LIBOR-BBA/Jun-41 (Purchased) | Jun-31/2.427 |  | 2,053,700 | (149,612) | 10,761
1.625/3 month USD-LIBOR-BBA/Jan-61 (Purchased) | Jan-41/1.625 |  | 1,936,700 | (285,663) | 8,560
1.826/SOFR/Jan-42 (Purchased) | Jan-32/1.826 |  | 6,632,800 | (489,832) | (19,036)
1.102/3 month USD-LIBOR-BBA/Nov-32 (Purchased) | Nov-22/1.102 |  | 866,600 | (27,536) | (25,478)
(2.194)/SOFR/Apr-32 (Purchased) | Apr-22/2.194 |  | 7,807,200 | (87,441) | (35,913)
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.689 |  | 934,000 | (120,253) | (52,295)
1.752/3 month USD-LIBOR-BBA/Dec-31 (Purchased) | Dec-26/1.752 |  | 15,721,800 | (512,531) | (56,598)
1.735/SOFR/Mar-53 (Purchased) | Mar-23/1.735 |  | 3,458,300 | (255,655) | (84,106)
1.724/SOFR/Mar-53 (Purchased) | Mar-23/1.724 |  | 3,532,900 | (266,557) | (94,788)

Master Intermediate Income Trust 57

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike |  | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation)
Citibank, N.A. cont.
1.75/SOFR/Mar-53 (Purchased) | Mar-23/1.75 |  | $4,059,800 | $(303,876) | $(98,207)
(2.31)/SOFR/Jun-32 (Purchased) | Jun-22/2.31 |  | 12,257,500 | (262,923) | (109,214)
1.458/SOFR/Apr-27 (Purchased) | Apr-22/1.458 |  | 14,654,000 | (117,232) | (116,792)
1.648/SOFR/Sep-32 (Purchased) | Sep-22/1.648 |  | 7,636,200 | (186,705) | (130,579)
0.555/6 month EUR-EURIBOR-Reuters/Mar-25 (Purchased) | Mar-24/0.555 | EUR | 49,535,200 | (312,472) | (167,135)
1.5625/SOFR/Jun-32 (Purchased) | Jun-22/1.5625 |  | $33,447,000 | (647,199) | (585,991)
(1.3125)/SOFR/Jun-32 (Written) | Jun-22/1.3125 |  | 33,447,000 | 334,470 | 313,733
(0.055)/6 month EUR-EURIBOR-Reuters/Mar-25 (Written) | Mar-24/0.055 | EUR | 99,070,400 | 317,859 | 183,026
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written) | Aug-22/1.245 |  | $17,729,300 | 162,223 | 160,273
(1.194)/3 month USD-LIBOR-BBA/Jun-25 (Written) | Jun-23/1.194 |  | 10,644,300 | 80,684 | 65,143
(1.208)/SOFR/Apr-27 (Written) | Apr-22/1.208 |  | 14,654,000 | 48,358 | 48,358
(1.177)/3 month USD-LIBOR-BBA/Jul-40 (Written) | Jul-30/1.177 |  | 818,000 | 62,004 | 26,642
(1.918)/3 month USD-LIBOR-BBA/Jan-51 (Written) | Jan-31/1.918 |  | 2,331,200 | 278,812 | 19,419
1.177/3 month USD-LIBOR-BBA/Jul-40 (Written) | Jul-30/1.177 |  | 818,000 | 62,004 | (46,626)
1.918/3 month USD-LIBOR-BBA/Jan-51 (Written) | Jan-31/1.918 |  | 2,331,200 | 278,812 | (68,234)
1.194/3 month USD-LIBOR-BBA/Jun-25 (Written) | Jun-23/1.194 |  | 10,644,300 | 80,684 | (284,841)
1.708/SOFR/Apr-27 (Written) | Apr-22/1.708 |  | 14,654,000 | 51,289 | (349,205)
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written) | Aug-22/1.245 |  | 17,729,300 | 162,223 | (401,746)
1.7075/3 month USD-LIBOR-BBA/Sep-27 (Written) | Sep-22/1.7075 |  | 14,147,000 | 74,979 | (550,884)
1.8125/SOFR/Jun-32 (Written) | Jun-22/1.8125 |  | 33,447,000 | 334,470 | (905,076)
Deutsche Bank AG
(1.724)/SOFR/Jan-47 (Purchased) | Jan-37/1.724 |  | 8,291,000 | (684,422) | 103,969
1.724/SOFR/Jan-47 (Purchased) | Jan-37/1.724 |  | 8,291,000 | (684,422) | (8,540)
2.135/SOFR/Mar-42 (Written) | Mar-32/2.135 |  | 7,500,200 | 630,392 | 16,800
(2.135)/SOFR/Mar-42 (Written) | Mar-32/2.135 |  | 7,500,200 | 630,392 | (11,775)
Goldman Sachs International
(-0.197)/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) | Jun-23/-0.197 | EUR | 14,945,400 | (66,400) | 440,118
(1.769)/SOFR/May-32 (Purchased) | May-22/1.769 |  | $6,099,700 | (94,484) | 131,693
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) | Jan-25/1.727 |  | 1,382,700 | (206,714) | 34,927
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) | Mar-27/2.8175 |  | 739,600 | (93,375) | 28,186
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased) | Jan-25/1.727 |  | 1,382,700 | (126,794) | (15,625)

58 Master Intermediate Income Trust

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike |  | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation)
Goldman Sachs International cont.
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) | Mar-27/2.8175 |  | $739,600 | $(93,375) | $(32,335)
-0.197/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased) | Jun-23/-0.197 | EUR | 14,945,400 | (66,400) | (49,765)
1.769/SOFR/May-32 (Purchased) | May-22/1.769 |  | $6,099,700 | (94,484) | (82,529)
(0.555)/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) | Mar-30/0.555 | EUR | 1,746,550 | 263,750 | 54,351
(0.26)/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) | Jun-26/0.26 | EUR | 14,945,400 | 166,667 | 31,083
0.555/6 month EUR-EURIBOR-Reuters/Mar-40 (Written) | Mar-30/0.555 | EUR | 1,746,550 | 263,750 | (90,462)
2.41/3 month USD-LIBOR-BBA/Aug-33 (Written) | Aug-23/2.41 |  | $6,792,100 | 99,165 | (179,040)
2.07/3 month USD-LIBOR-BBA/Aug-33 (Written) | Aug-23/2.07 |  | 5,740,400 | 118,826 | (207,630)
0.26/6 month EUR-EURIBOR-Reuters/Jun-28 (Written) | Jun-26/0.26 | EUR | 14,945,400 | 166,667 | (289,995)
JPMorgan Chase Bank N.A.
(1.805)/3 month USD-LIBOR-BBA/Dec-36 (Purchased) | Dec-26/1.805 |  | $4,305,400 | (255,310) | 133,252
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 1,230,800 | (157,399) | 132,358
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 1,940,600 | (72,744) | 112,295
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 929,600 | (54,979) | 106,325
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1,387,400 | (43,285) | 96,905
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2,376,500 | (147,789) | 84,844
(1.905)/SOFR/Jan-42 (Purchased) | Jan-32/1.905 |  | $3,368,100 | (245,871) | 53,351
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased) | Nov-29/2.50 |  | 1,556,600 | (89,971) | 36,658
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased) | Jan-25/2.032 |  | 1,589,500 | (183,587) | 30,709
(1.544)/SOFR/Jan-62 (Purchased) | Jan-32/1.544 |  | 1,263,000 | (212,184) | 29,264
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.902 |  | 934,000 | (144,396) | 26,507
1.905/SOFR/Jan-42 (Purchased) | Jan-32/1.905 |  | 3,368,100 | (245,871) | 1,751
1.544/SOFR/Jan-62 (Purchased) | Jan-32/1.544 |  | 1,263,000 | (212,184) | (6,277)
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased) | Jan-25/2.032 |  | 1,589,500 | (183,587) | (11,715)
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2,376,500 | (147,789) | (35,353)
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1,387,400 | (43,285) | (36,783)

Master Intermediate Income Trust 59

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike |  | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation)
JPMorgan Chase Bank N.A. cont.
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased) | Nov-29/2.50 |  | $1,556,600 | $(161,886) | $(40,814)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.902 |  | 934,000 | (100,218) | (44,935)
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 929,600 | (54,979) | (46,224)
1.805/3 month USD-LIBOR-BBA/Dec-36 (Purchased) | Dec-26/1.805 |  | $4,305,400 | (255,310) | (46,498)
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 1,940,600 | (72,744) | (48,821)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 1,230,800 | (157,399) | (56,859)
(1.232)/3 month USD-LIBOR-BBA/Jun-37 (Written) | Jun-27/1.232 |  | $2,822,300 | 181,333 | 81,762
(1.168)/3 month USD-LIBOR-BBA/Jun-37 (Written) | Jun-27/1.168 |  | 2,588,400 | 166,564 | 78,739
(1.204)/3 month USD-LIBOR-BBA/Jun-40 (Written) | Jun-30/1.204 |  | 2,238,000 | 166,843 | 69,378
(2.50)/6 month AUD-BBR-BBSW/Nov-42 (Written) | Nov-22/2.50 | AUD | 1,473,400 | 53,182 | 40,463
(1.70)/SOFR/Jan-29 (Written) | Jan-24/1.70 |  | $9,935,900 | 212,007 | 31,596
(1.81)/SOFR/Jan-37 (Written) | Jan-27/1.81 |  | 1,633,300 | 96,528 | 1,633
1.81/SOFR/Jan-37 (Written) | Jan-27/1.81 |  | 1,633,300 | 96,528 | (32,699)
2.50/6 month AUD-BBR-BBSW/Nov-42 (Written) | Nov-22/2.50 | AUD | 1,473,400 | 53,182 | (68,314)
1.204/3 month USD-LIBOR-BBA/Jun-40 (Written) | Jun-30/1.204 |  | $2,238,000 | 166,843 | (126,626)
1.168/3 month USD-LIBOR-BBA/Jun-37 (Written) | Jun-27/1.168 |  | 2,588,400 | 166,564 | (162,163)
1.232/3 month USD-LIBOR-BBA/Jun-37 (Written) | Jun-27/1.232 |  | 2,822,300 | 181,333 | (166,459)
1.70/SOFR/Jan-29 (Written) | Jan-24/1.70 |  | 9,935,900 | 212,007 | (185,901)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased) | Oct-23/3.27 |  | 1,191,600 | (135,962) | 165,501
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.505 |  | 934,000 | (100,498) | 23,117
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased) | Nov-24/2.505 |  | 934,000 | (143,089) | (61,915)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased) | Oct-23/3.27 |  | 1,191,600 | (135,962) | (102,799)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written) | Jun-24/2.39 |  | 8,236,000 | 433,625 | 29,732
2.02/SOFR/Mar-56 (Written) | Mar-26/2.02 |  | 2,194,400 | 288,015 | 20,145
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written) | Jun-24/2.39 |  | 8,236,000 | 433,625 | 2,471
(2.02)/SOFR/Mar-56 (Written) | Mar-26/2.02 |  | 2,194,400 | 288,015 | (61,509)

60 Master Intermediate Income Trust

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike |  | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation)
Toronto-Dominion Bank
(1.50)/3 month USD-LIBOR-BBA/Feb-33 (Purchased) | Feb-23/1.50 |  | $4,379,600 | $(150,549) | $245,958
(1.937)/3 month USD-LIBOR-BBA/Feb-36 (Purchased) | Feb-26/1.937 |  | 1,751,900 | (91,624) | 46,425
2.405/3 month USD-LIBOR-BBA/Mar-41 (Purchased) | Mar-31/2.405 |  | 713,100 | (49,739) | 7,659
(2.405)/3 month USD-LIBOR-BBA/Mar-41 (Purchased) | Mar-31/2.405 |  | 713,100 | (49,739) | 5,855
1.937/3 month USD-LIBOR-BBA/Feb-36 (Purchased) | Feb-26/1.937 |  | 1,751,900 | (91,624) | (7,130)
1.50/3 month USD-LIBOR-BBA/Feb-33 (Purchased) | Feb-23/1.50 |  | 4,379,600 | (150,549) | (119,826)
(2.095)/3 month USD-LIBOR-BBA/Feb-56 (Written) | Feb-26/2.095 |  | 756,700 | 99,506 | (2,770)
2.095/3 month USD-LIBOR-BBA/Feb-56 (Written) | Feb-26/2.095 |  | 756,700 | 99,506 | (7,037)
UBS AG
(0.271)/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) | Jan-26/0.271 | EUR | 2,804,800 | (146,695) | 253,375
(0.8925)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) | Apr-23/0.8925 |  | $2,786,300 | (59,070) | 162,107
(0.44)/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2,103,600 | (165,032) | 133,809
(0.45)/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) | Jan-31/0.45 | EUR | 1,682,900 | (132,385) | 105,726
(0.902)/3 month USD-LIBOR-BBA/Apr-35 (Purchased) | Apr-25/0.902 |  | $1,114,500 | (62,356) | 89,517
(0.87)/3 month USD-LIBOR-BBA/Apr-28 (Purchased) | Apr-27/0.87 |  | 9,287,700 | (62,646) | 89,441
(0.90)/Sterling Overnight Index Average/Jan-40 (Purchased) | Jan-30/0.90 | GBP | 1,981,900 | (187,075) | 80,006
(0.296)/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 701,200 | (106,103) | 59,349
(0.983)/3 month USD-LIBOR-BBA/Apr-32 (Purchased) | Apr-30/0.983 |  | $3,715,100 | (58,884) | 58,736
(1.715)/3 month USD-LIBOR-BBA/Feb-53 (Purchased) | Feb-23/1.715 |  | 875,900 | (79,050) | 50,811
(0.4879)/Sterling Overnight Index Average/Aug-39 (Purchased) | Aug-29/0.4879 | GBP | 848,500 | (87,456) | 50,080
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2,078,300 | (110,618) | 32,208
(1.87)/3 month USD-LIBOR-BBA/Jul-46 (Purchased) | Jul-41/1.87 |  | $3,893,200 | (181,034) | 29,277
1.87/3 month USD-LIBOR-BBA/Jul-46 (Purchased) | Jul-41/1.87 |  | 3,893,200 | (181,034) | 7,163
0.70/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) | Mar-34/0.70 | EUR | 712,500 | (163,238) | 4,690

Master Intermediate Income Trust 61

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike |  | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation)
UBS AG cont.
0.70/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) | Mar-34/0.70 | EUR | 712,500 | (165,624) | 2,530
(0.70)/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) | Mar-34/0.70 | EUR | 712,500 | (163,238) | (5,202)
(0.70)/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased) | Mar-34/0.70 | EUR | 712,500 | (165,624) | (7,362)
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2,078,300 | (110,618) | (14,821)
0.983/3 month USD-LIBOR-BBA/Apr-32 (Purchased) | Apr-30/0.983 |  | $3,715,100 | $(58,884) | $(20,656)
0.87/3 month USD-LIBOR-BBA/Apr-28 (Purchased) | Apr-27/0.87 |  | 9,287,700 | (62,646) | (22,198)
0.90/Sterling Overnight Index Average/Jan-40 (Purchased) | Jan-30/0.90 | GBP | 1,981,900 | (187,075) | (27,259)
0.296/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 701,200 | (106,103) | (30,555)
0.4879/Sterling Overnight Index Average/Aug-39 (Purchased) | Aug-29/0.4879 | GBP | 848,500 | (87,456) | (34,275)
0.902/3 month USD-LIBOR-BBA/Apr-35 (Purchased) | Apr-25/0.902 |  | $1,114,500 | (62,356) | (42,318)
0.45/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased) | Jan-31/0.45 | EUR | 1,682,900 | (132,385) | (42,521)
0.44/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2,103,600 | (165,032) | (53,361)
0.8925/3 month USD-LIBOR-BBA/Apr-28 (Purchased) | Apr-23/0.8925 |  | $2,786,300 | (59,070) | (53,664)
1.715/3 month USD-LIBOR-BBA/Feb-53 (Purchased) | Feb-23/1.715 |  | 875,900 | (79,050) | (53,798)
0.271/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased) | Jan-26/0.271 | EUR | 2,804,800 | (146,695) | (81,356)
0.32/6 month EUR-EURIBOR-Reuters/Sep-52 (Purchased) | Sep-22/0.32 | EUR | 4,156,500 | (252,651) | (189,167)
(0.16)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written) | Sep-22/0.16 | EUR | 4,156,500 | 166,270 | 123,092
(0.00)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written) | Sep-22/0.00 | EUR | 4,156,500 | 107,780 | 78,214
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) | Aug-29/0.43 | EUR | 789,300 | 63,277 | 32,045
(0.958)/3 month USD-LIBOR-BBA/May-30 (Written) | May-25/0.958 |  | $2,229,000 | 59,236 | 31,384
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written) | Aug-29/0.43 | EUR | 789,300 | 63,277 | (45,317)
0.958/3 month USD-LIBOR-BBA/May-30 (Written) | May-25/0.958 |  | $2,229,000 | 59,236 | (97,296)

62 Master Intermediate Income Trust

FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/ Maturity date | Expiration date/strike |  | Notional/ Contract amount | Premium receivable/ (payable) | Unrealized appreciation/ (depreciation)
Wells Fargo Bank, N.A.
(1.405)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) | Feb-24/1.405 |  | $6,131,500 | $(125,542) | $221,592
(1.3875)/3 month USD-LIBOR-BBA/Feb-29 (Purchased) | Feb-24/1.3875 |  | 4,379,600 | (89,891) | 160,644
(1.96)/3 month USD-LIBOR-BBA/Jan-41 (Purchased) | Jan-31/1.96 |  | 3,664,100 | (248,060) | 97,831
(1.8225)/SOFR/Jan-42 (Purchased) | Jan-32/1.8225 |  | 2,487,300 | (183,563) | 45,642
(2.16)/3 month USD-LIBOR-BBA/Feb-35 (Purchased) | Feb-25/2.16 |  | 2,591,000 | (129,226) | 33,890
2.16/3 month USD-LIBOR-BBA/Feb-35 (Purchased) | Feb-25/2.16 |  | 2,591,000 | (129,226) | (207)
1.8225/SOFR/Jan-42 (Purchased) | Jan-32/1.8225 |  | 2,487,300 | (183,563) | (7,313)
1.96/3 month USD-LIBOR-BBA/Jan-41 (Purchased) | Jan-31/1.96 |  | 3,664,100 | (248,060) | (13,997)
1.3875/3 month USD-LIBOR-BBA/Feb-29 (Purchased) | Feb-24/1.3875 |  | 4,379,600 | (89,891) | (44,628)
1.405/3 month USD-LIBOR-BBA/Feb-29 (Purchased) | Feb-24/1.405 |  | 6,131,500 | (125,542) | (61,008)
(1.62)/SOFR/Jan-27 (Written) | Jan-25/1.62 |  | 19,069,300 | 209,762 | (4,577)
1.62/SOFR/Jan-27 (Written) | Jan-25/1.62 |  | 19,069,300 | 209,762 | (179,250)
Unrealized appreciation | 9,276,418
Unrealized (depreciation) | (10,859,238)
Total | $(1,582,820)

TBA SALE COMMITMENTS OUTSTANDING at 3/31/22 (proceeds receivable $142,035,215) (Unaudited)
Agency | Principal amount | Settlement date | Value
Government National Mortgage Association, 3.50%, 4/1/52 | $1,000,000 | 4/21/22 | $1,005,881
Uniform Mortgage-Backed Securities, 4.50%, 4/1/52 | 4,000,000 | 4/13/22 | 4,149,376
Uniform Mortgage-Backed Securities, 4.00%, 4/1/52 | 38,000,000 | 4/13/22 | 38,780,801
Uniform Mortgage-Backed Securities, 3.50%, 5/1/52 | 4,000,000 | 5/12/22 | 3,992,188
Uniform Mortgage-Backed Securities, 3.50%, 4/1/52 | 36,000,000 | 4/13/22 | 36,064,688
Uniform Mortgage-Backed Securities, 3.00%, 5/1/52 | 1,000,000 | 4/12/22 | 976,094
Uniform Mortgage-Backed Securities, 3.00%, 4/1/52 | 14,000,000 | 4/13/22 | 13,697,032
Uniform Mortgage-Backed Securities, 2.50%, 4/1/52 | 29,000,000 | 4/13/22 | 27,672,344
Uniform Mortgage-Backed Securities, 2.00%, 5/1/52 | 5,000,000 | 4/12/22 | 4,632,305
Uniform Mortgage-Backed Securities, 2.00%, 4/1/52 | 10,000,000 | 4/13/22 | 9,281,406
Total | $140,252,115

Master Intermediate Income Trust 63

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation)
| $10,525,000 | $265,651 | $509 | 12/23/23 | 0.695% — Annually | Secured Overnight Financing Rate — Annually | $248,131
| 9,137,000 | 479,418 | 785 | 12/23/26 | 1.085% — Annually | Secured Overnight Financing Rate — Annually | 454,751
| 3,751,000 | 274,686 | 453 | 12/23/31 | 1.285% — Annually | Secured Overnight Financing Rate — Annually | 262,627
| 1,989,000 | 242,678 | (3,542) | 12/23/51 | Secured Overnight Financing Rate — Annually | 1.437% — Annually | (238,753)
| 17,549,000 | 442,410 | (1,786) | 12/24/23 | 0.697% — Annually | Secured Overnight Financing Rate — Annually | 410,652
| 2,253,000 | 117,133 | (302) | 12/24/26 | 1.096% — Annually | Secured Overnight Financing Rate — Annually | 110,539
| 4,722,000 | 345,839 | (2,108) | 12/24/31 | 1.285% — Annually | Secured Overnight Financing Rate — Annually | 328,108
| 8,061,000 | 987,069 | (4,356) | 12/24/51 | 1.435% — Annually | Secured Overnight Financing Rate — Annually | 939,206
| 3,679,000 | 376,730 | (600) | 12/31/51 | 1.525% — Annually | Secured Overnight Financing Rate — Annually | 362,616
| 1,496,000 | 75,354 | (198) | 12/31/26 | Secured Overnight Financing Rate — Annually | 1.135% — Annually | (71,513)
| 392,000 | 26,338 | 7,059 | 12/31/31 | Secured Overnight Financing Rate — Annually | 1.355% — Annually | (18,190)
| 16,450,000 | 655,204 | (133) | 1/12/27 | Secured Overnight Financing Rate — Annually | 1.372% — Annually | (608,506)

64 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation)
| $994,900 | $12,377 E | $(22) | 1/15/47 | 1.724% — Annually | Secured Overnight Financing Rate — Annually | $12,354
| 2,639,000 | 179,505 | (90) | 1/21/52 | 1.679% — Annually | Secured Overnight Financing Rate — Annually | 171,134
| 1,659,000 | 132,488 | (57) | 1/19/52 | Secured Overnight Financing Rate — Annually | 1.626% — Annually | (127,362)
| 1,097,000 | 80,575 | (37) | 2/1/52 | 1.6545% — Annually | Secured Overnight Financing Rate — Annually | 77,709
| 11,495,000 | 354,851 | (2,796) | 2/15/29 | Secured Overnight Financing Rate — Annually | 1.681% — Annually | (334,853)
| 4,024,900 | 110,323 | (137) | 2/24/52 | Secured Overnight Financing Rate — Annually | 1.86% — Annually | (103,272)
| 2,096,000 | 100,818 | (72) | 2/29/52 | 1.7674% — Annually | Secured Overnight Financing Rate — Annually | 97,609
| 1,764,000 | 57,753 | (23) | 2/29/32 | Secured Overnight Financing Rate — Annually | 1.75% — Annually | (55,164)
| 11,852,000 | 311,945 | (96) | 2/28/27 | 1.675% — Annually | Secured Overnight Financing Rate — Annually | 295,081
| 19,510,000 | 275,286 | (74) | 2/29/24 | Secured Overnight Financing Rate — Annually | 1.47709% — Annually | (251,435)
| 7,250,000 | 199,085 | (83) | 3/1/29 | Secured Overnight Financing Rate — Annually | 1.7355% — Annually | (188,682)
| 1,854,000 | 70,582 | (25) | 3/7/32 | 3 month USD-LIBOR-BBA — Quarterly | 1.9575% — Semiannually | (68,938)
| 8,064,200 | 411,194 | (107) | 3/9/32 | 1.5475% — Annually | Secured Overnight Financing Rate — Annually | 403,611

Master Intermediate Income Trust 65

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation)
| $8,361,800 | $430,884 | $(111) | 3/9/32 | 1.5415% — Annually | Secured Overnight Financing Rate — Annually | $423,104
| 4,408,000 | 149,872 | (58) | 3/11/32 | 1.737% — Annually | Secured Overnight Financing Rate — Annually | 145,613
| 1,856,000 | 64,941 E | 4,858 | 6/15/32 | Secured Overnight Financing Rate — Annually | 1.762% — Annually | (60,084)
| 4,510,000 | 51,143 | (52) | 3/21/29 | Secured Overnight Financing Rate — Annually | 1.986% — Annually | (48,579)
| 120,701,000 | 1,605,323 E | (1,753,649) | 6/15/24 | 1.80% — Annually | Secured Overnight Financing Rate — Annually | (148,326)
| 71,592,000 | 1,514,887 E | (1,677,771) | 6/15/27 | 1.85% — Annually | Secured Overnight Financing Rate — Annually | (162,884)
| 12,926,000 | 234,090 E | 342,669 | 6/15/32 | Secured Overnight Financing Rate — Annually | 1.95% — Annually | 108,579
| 10,054,000 | 130,501 E | 155,764 | 6/15/52 | Secured Overnight Financing Rate — Annually | 2.05% — Annually | 286,265
| 3,579,000 | 48,424 | (47) | 3/30/32 | 2.2655% — Annually | Secured Overnight Financing Rate — Annually | (48,894)
| 3,579,000 | 46,670 | (47) | 3/30/32 | 2.26% — Annually | Secured Overnight Financing Rate — Annually | (47,139)
| 3,615,000 | 20,425 | (29) | 3/30/27 | 2.3535% — Annually | Secured Overnight Financing Rate — Annually | (20,899)
| 12,257,500 | 197,591 E | (163) | 4/7/32 | 2.298% — Annually | Secured Overnight Financing Rate — Annually | (197,753)

66 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation)
| $2,530,000 | $12,271 | $(20) | 3/31/27 | Secured Overnight Financing Rate — Annually | 2.3365% — Annually | $12,414
| 23,920,000 | 28,704 | (90) | 3/31/24 | 2.307% — Annually | Secured Overnight Financing Rate — Annually | (30,327)
| 17,660,000 | 45,033 | (143) | 3/31/27 | Secured Overnight Financing Rate — Annually | 2.288% — Annually | 46,013
| 5,481,000 | 3,069 | (44) | 4/1/27 | 2.247% — Annually | Secured Overnight Financing Rate — Annually | (3,114)
| 3,317,000 | 4,843 | (44) | 4/4/32 | 2.116% — Annually | Secured Overnight Financing Rate — Annually | (4,887)
| 388,000 | 43 | (1) | 4/4/24 | Secured Overnight Financing Rate — Annually | 2.243% — Annually | 42
| 496,000 | 104 | (7) | 4/4/32 | Secured Overnight Financing Rate — Annually | 2.0975% — Annually | (111)
AUD | 79,300 | 7,642 E | (1) | 1/30/35 | 1.692% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 7,641
AUD | 266,900 | 29,145 E | (3) | 3/5/35 | 1.47% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 29,143
AUD | 99,100 | 11,198 E | (1) | 3/25/35 | 1.4025% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 11,198
AUD | 155,200 | 13,629 E | (2) | 3/28/40 | 1.445% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 13,627
AUD | 579,100 | 59,151 E | (7) | 4/1/40 | 1.1685% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 59,144
AUD | 37,200 | 6,343 E | (1) | 7/2/45 | 1.441% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | 6,343
AUD | 1,800,000 | 130,855 | (20) | 4/6/31 | 6 month AUD-BBR-BBSW — Semiannually | 1.87% — Semiannually | (119,262)

Master Intermediate Income Trust 67

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation)
AUD | 591,000 | $19,017 E | $(12,699) | 6/15/32 | 2.67% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | $6,318
CAD | 2,879,000 | 122,493 E | (11,458) | 6/15/32 | 2.325% — Semiannually | 3 month CAD-BA-CDOR — Semiannually | 111,035
CHF | 3,547,000 | 130,817 E | 40,969 | 6/15/32 | Swiss Average Rate Overnight — Annually | 0.565% — Annually | (89,850)
CZK | 18,600,000 | 2,326 E | (8) | 6/15/27 | 6 month CZK-PRIBOR — Semiannually | 4.460% — Annually | 2,319
EUR | 512,400 | 83,995 E | (20) | 11/29/58 | 1.484% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | (84,014)
EUR | 696,900 | 54,807 | (27) | 2/19/50 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 1.354% — Annually | 56,340
EUR | 770,000 | 42,838 | (29) | 3/11/50 | 1.267% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | (43,673)
EUR | 778,400 | 31,783 | (30) | 3/12/50 | 1.2115% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | (32,487)
EUR | 898,100 | 13,075 | (34) | 3/26/50 | 1.113% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | (13,245)
EUR | 802,800 | 101,190 E | (30) | 11/29/58 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 1.343% — Annually | 101,159
EUR | 929,000 | 2,312 | (36) | 2/19/50 | 1.051% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 543
EUR | 741,300 | 8,758 E | (28) | 6/7/54 | 1.054% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | (8,787)
EUR | 676,400 | 28,397 | (26) | 2/19/50 | 0.9035% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 27,231

68 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation)
EUR | 395,500 | $27,560 | $(15) | 2/21/50 | 0.80% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | $26,928
EUR | 1,468,500 | 211,709 E | (56) | 8/8/54 | 0.49% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 211,653
EUR | 906,000 | 203,960 E | (34) | 6/6/54 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.207% — Annually | (203,995)
EUR | 1,215,200 | 269,172 | (46) | 2/19/50 | 0.233% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 268,081
EUR | 4,960,100 | 617,958 | (187) | 2/19/50 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.595% — Annually | (611,671)
EUR | 574,000 | 142,618 E | (21) | 3/4/54 | 0.134% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 142,597
EUR | 260,400 | 91,012 E | (10) | 3/13/54 | — | 0.2275% plus 6 month EUR-EURIBOR-REUTERS — Semiannually | 91,002
EUR | 1,696,600 | 183,126 E | (36) | 5/13/40 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.276% — Annually | (183,162)
EUR | 833,300 | 86,266 E | (18) | 6/24/40 | 0.315% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 86,247
EUR | 1,129,700 | 119,712 E | (26) | 1/16/40 | 0.315% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 119,686
EUR | 388,100 | 40,628 E | (9) | 3/28/40 | 0.3175% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 40,619
EUR | 1,055,800 | 152,456 | (43) | 5/21/51 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.516% — Annually | (144,789)

Master Intermediate Income Trust 69

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation)
EUR | 1,088,000 | $104,990 | $(19) | 6/14/31 | 0.171% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | $101,272
EUR | 924,200 | 99,500 | (16) | 7/15/31 | 0.0675% — Annually | 6 month EUR-EURIBOR-REUTERS — Semiannually | 97,840
EUR | 311,700 | 58,516 E | (13) | 9/14/52 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.374% — Annually | (58,528)
EUR | 2,980,000 | 182,369 | (48) | 3/7/32 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.60% — Annually | (180,003)
EUR | 8,548,000 | 286,145 E | 62,430 | 6/15/32 | 6 month EUR-EURIBOR-REUTERS — Semiannually | 0.915% — Annually | (223,718)
GBP | 703,500 | 71,446 | (14) | 5/19/31 | Sterling Overnight Index Average — Annually | 0.754% — Annually | (65,998)
GBP | 16,646,400 | 238,356 E | (86) | 9/15/23 | 1.065% — Annually | Sterling Overnight Index Average — Annually | 238,270
GBP | 1,640,000 | 43,174 E | (4,588) | 6/15/32 | 1.455% — Annually | Sterling Overnight Index Average — Annually | 38,586
JPY | 49,618,300 | 14,408 E | (14) | 8/29/43 | 0.8084% — Semiannually | Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually | (14,422)
JPY | 63,267,700 | 36,826 E | (18) | 8/29/43 | 0.2529% — Semiannually | Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually | 36,808
JPY | 119,698,500 | 14,404 | (14) | 2/25/31 | 0.0619% — Semiannually | Bank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually | 14,330

70 Master Intermediate Income Trust

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited) cont.
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation)
JPY | 122,290,000 | $53,983 E | $(35) | 8/29/43 | Bank of Japan Unsecured Overnight Call Rate Expected Index — Annually | 0.343% — Annually | $(54,018)
NOK | 26,683,000 | 106,140 E | (7,454) | 6/15/32 | 2.355% — Annually | 6 month NOK-NIBOR-NIBR — Semiannually | 98,686
NZD | 3,688,000 | 69,420 E | (2,700) | 6/15/32 | 3.10% — Semiannually | 3 month NZD-BBR-FRA — Quarterly | 66,720
SEK | 9,896,000 | 41,753 E | 36,178 | 6/15/32 | 3 month SEK-STIBOR-SIDE — Quarterly | 1.497% — Annually | (5,574)
Total | $(2,837,226) | $2,330,663
E Extended effective date.

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/22 (Unaudited)
Swap counterparty/ Notional amount | Value | Upfront premium received (paid) | Termination date | Payments received (paid) by fund | Total return received by or paid by fund | Unrealized appreciation/ (depreciation)
Morgan Stanley & Co. International PLC
| $1,075,356 | $972,502 | $— | 9/29/25 | (0.165%) — Annually | Ephesus Funding DAC, 3.80%, Series 2020−01, 9/22/2025 — Annually | $(81,719)
| 1,032,736 | 998,356 | — | 7/17/24 | 3.825% (3 month USD-LIBOR-BBA minus 0.12%) — Quarterly | Pera Funding DAC, 3.825%, Series 2019−01, 07/10/24 — Quarterly | (33,796)
Upfront premium received | — |  | Unrealized appreciation | —
Upfront premium (paid) | — |  | Unrealized (depreciation) | (115,515)
Total | $— |  | Total | $(115,515)

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited)
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation)
Bank of America N.A.
CMBX NA BBB−.6 Index | B+/P | $4,375 |  | $61,215 | $14,943 | 5/11/63 | 300 bp — Monthly | $(10,532)
CMBX NA BBB−.6 Index | B+/P | 8,497 |  | 134,864 | 32,920 | 5/11/63 | 300 bp — Monthly | (24,344)
CMBX NA BBB−.6 Index | B+/P | 17,409 |  | 269,727 | 65,840 | 5/11/63 | 300 bp — Monthly | (48,274)
CMBX NA BBB−.6 Index | B+/P | 16,587 |  | 278,335 | 67,942 | 5/11/63 | 300 bp — Monthly | (51,192)

Master Intermediate Income Trust 71

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index | BBB+/P | $5,372 |  | $41,768 | $3,383 | 5/11/63 | 200 bp — Monthly | $2,005
CMBX NA A.6 Index | BBB+/P | 5,963 |  | 43,624 | 3,534 | 5/11/63 | 200 bp — Monthly | 2,447
CMBX NA A.6 Index | BBB+/P | 7,354 |  | 49,194 | 3,985 | 5/11/63 | 200 bp — Monthly | 3,388
CMBX NA A.6 Index | BBB+/P | 10,961 |  | 65,901 | 5,338 | 5/11/63 | 200 bp — Monthly | 5,648
CMBX NA A.6 Index | BBB+/P | 12,898 |  | 71,470 | 5,789 | 5/11/63 | 200 bp — Monthly | 7,136
CMBX NA A.6 Index | BBB+/P | 11,798 |  | 72,398 | 5,864 | 5/11/63 | 200 bp — Monthly | 5,961
CMBX NA A.6 Index | BBB+/P | 28,477 |  | 149,437 | 12,104 | 5/11/63 | 200 bp — Monthly | 16,431
CMBX NA A.6 Index | BBB+/P | 20,798 |  | 164,288 | 13,307 | 5/11/63 | 200 bp — Monthly | 7,554
CMBX NA A.6 Index | BBB+/P | 48,213 |  | 269,172 | 21,803 | 5/11/63 | 200 bp — Monthly | 26,514
CMBX NA BB.11 Index | BB−/P | 77,970 |  | 138,000 | 14,711 | 11/18/54 | 500 bp — Monthly | 63,393
CMBX NA BB.13 Index | BB−/P | 6,698 |  | 67,000 | 8,543 | 12/16/72 | 500 bp — Monthly | (1,779)
CMBX NA BB.13 Index | BB−/P | 16,037 |  | 176,000 | 22,440 | 12/16/72 | 500 bp — Monthly | (6,232)
CMBX NA BB.13 Index | BB−/P | 26,330 |  | 279,000 | 35,573 | 12/16/72 | 500 bp — Monthly | (8,971)
CMBX NA BB.13 Index | BB−/P | 48,322 |  | 530,000 | 67,575 | 12/16/72 | 500 bp — Monthly | (18,738)
CMBX NA BB.14 Index | BB/P | 13,266 |  | 121,000 | 11,277 | 12/16/72 | 500 bp — Monthly | 2,107
CMBX NA BB.6 Index | CCC+/P | 114,187 |  | 271,067 | 114,092 | 5/11/63 | 500 bp — Monthly | 170
CMBX NA BB.6 Index | CCC+/P | 119,351 |  | 791,325 | 333,069 | 5/11/63 | 500 bp — Monthly | (212,948)
CMBX NA BB.7 Index | B/P | 64,660 |  | 1,267,000 | 393,784 | 1/17/47 | 500 bp — Monthly | (327,892)
CMBX NA BB.9 Index | B/P | 3,258 |  | 16,000 | 3,789 | 9/17/58 | 500 bp — Monthly | (516)
CMBX NA BB.9 Index | B/P | 32,267 |  | 158,000 | 37,414 | 9/17/58 | 500 bp — Monthly | (4,994)
CMBX NA BBB−.10 Index | BB+/P | 12,532 |  | 101,000 | 11,251 | 11/17/59 | 300 bp — Monthly | 1,340
CMBX NA BBB−.10 Index | BB+/P | 20,182 |  | 185,000 | 20,609 | 11/17/59 | 300 bp — Monthly | (319)
CMBX NA BBB−.11 Index | BBB−/P | 3,883 |  | 62,000 | 4,954 | 11/18/54 | 300 bp — Monthly | (1,034)

72 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BBB−.12 Index | BBB−/P | $2,419 |  | $58,000 | $5,185 | 8/17/61 | 300 bp — Monthly | $(2,732)
CMBX NA BBB−.12 Index | BBB−/P | 8,250 |  | 140,000 | 12,516 | 8/17/61 | 300 bp — Monthly | (4,184)
CMBX NA BBB−.12 Index | BBB−/P | 43,751 |  | 276,000 | 24,674 | 8/17/61 | 300 bp — Monthly | 19,238
CMBX NA BBB−.14 Index | BBB−/P | 976 |  | 22,000 | 2,132 | 12/16/72 | 300 bp — Monthly | (1,143)
CMBX NA BBB−.14 Index | BBB−/P | 829 |  | 27,000 | 2,616 | 12/16/72 | 300 bp — Monthly | (1,772)
CMBX NA BBB−.14 Index | BBB−/P | 1,028 |  | 33,000 | 3,198 | 12/16/72 | 300 bp — Monthly | (2,150)
CMBX NA BBB−.14 Index | BBB−/P | 1,930 |  | 39,000 | 3,779 | 12/16/72 | 300 bp — Monthly | (1,827)
CMBX NA BBB−.14 Index | BBB−/P | 1,626 |  | 50,000 | 4,845 | 12/16/72 | 300 bp — Monthly | (3,190)
CMBX NA BBB−.14 Index | BBB−/P | 4,400 |  | 88,000 | 8,527 | 12/16/72 | 300 bp — Monthly | (4,076)
CMBX NA BBB−.14 Index | BBB−/P | 4,741 |  | 104,000 | 10,078 | 12/16/72 | 300 bp — Monthly | (5,276)
CMBX NA BBB−.14 Index | BBB−/P | 9,966 |  | 305,000 | 29,555 | 12/16/72 | 300 bp — Monthly | (19,411)
CMBX NA BBB−.15 Index | BBB−/P | 5,223 |  | 50,000 | 4,785 | 11/18/64 | 300 bp — Monthly | 467
CMBX NA BBB−.6 Index | B+/P | 1,199 |  | 14,347 | 3,502 | 5/11/63 | 300 bp — Monthly | (2,295)
CMBX NA BBB−.6 Index | B+/P | 36,513 |  | 121,473 | 29,652 | 5/11/63 | 300 bp — Monthly | 6,932
CMBX NA BBB−.6 Index | B+/P | 36,513 |  | 121,473 | 29,652 | 5/11/63 | 300 bp — Monthly | 6,932
CMBX NA BBB−.6 Index | B+/P | 74,771 |  | 242,946 | 59,303 | 5/11/63 | 300 bp — Monthly | 15,610
CMBX NA BBB−.6 Index | B+/P | 17,107 |  | 248,685 | 60,704 | 5/11/63 | 300 bp — Monthly | (43,452)
CMBX NA BBB−.6 Index | B+/P | 21,761 |  | 315,638 | 77,047 | 5/11/63 | 300 bp — Monthly | (55,102)
CMBX NA BBB−.6 Index | B+/P | 23,964 |  | 336,681 | 82,184 | 5/11/63 | 300 bp — Monthly | (58,024)
CMBX NA BBB−.6 Index | B+/P | 85,330 |  | 1,281,682 | 312,859 | 5/11/63 | 300 bp — Monthly | (226,781)
Credit Suisse International
CMBX NA BB.7 Index | B/P | 30,497 |  | 228,000 | 70,862 | 1/17/47 | 500 bp — Monthly | (40,143)
CMBX NA BBB−.6 Index | B+/P | 52,816 |  | 457,197 | 111,602 | 5/11/63 | 300 bp — Monthly | (58,519)
CMBX NA BBB−.6 Index | B+/P | 129,498 |  | 1,120,994 | 273,635 | 5/11/63 | 300 bp — Monthly | (143,483)

Master Intermediate Income Trust 73

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation)
Credit Suisse International cont.
CMBX NA BBB−.6 Index | B+/P | $1,073,427 |  | $10,926,820 | $2,667,237 | 5/11/63 | 300 bp — Monthly | $(1,587,436)
CMBX NA BBB−.7 Index | BB−/P | 51,226 |  | 780,000 | 140,244 | 1/17/47 | 300 bp — Monthly | (88,563)
Goldman Sachs International
CMBX NA BB.9 Index | B/P | 4,448 |  | 11,000 | 2,605 | 9/17/58 | 500 bp — Monthly | 1,854
CMBX NA BBB−.13 Index | BBB−/P | 1,900 |  | 12,000 | 1,145 | 12/16/72 | 300 bp — Monthly | 762
CMBX NA BBB−.13 Index | BBB−/P | 1,906 |  | 32,000 | 3,053 | 12/16/72 | 300 bp — Monthly | (1,128)
CMBX NA BBB−.13 Index | BBB−/P | 2,443 |  | 38,000 | 3,625 | 12/16/72 | 300 bp — Monthly | (1,161)
CMBX NA BBB−.13 Index | BBB−/P | 2,484 |  | 42,000 | 4,007 | 12/16/72 | 300 bp — Monthly | (1,498)
CMBX NA BBB−.13 Index | BBB−/P | 7,522 |  | 48,000 | 4,579 | 12/16/72 | 300 bp — Monthly | 2,971
CMBX NA BBB−.13 Index | BBB−/P | 4,148 |  | 66,000 | 6,296 | 12/16/72 | 300 bp — Monthly | (2,110)
CMBX NA BBB−.13 Index | BBB−/P | 5,981 |  | 130,000 | 12,402 | 12/16/72 | 300 bp — Monthly | (6,345)
CMBX NA BBB−.14 Index | BBB−/P | 800 |  | 18,000 | 1,744 | 12/16/72 | 300 bp — Monthly | (934)
CMBX NA BBB−.15 Index | BBB−/P | 3,479 |  | 56,000 | 5,359 | 11/18/64 | 300 bp — Monthly | (1,848)
CMBX NA BBB−.15 Index | BBB−/P | 8,411 |  | 91,000 | 8,709 | 11/18/64 | 300 bp — Monthly | (244)
CMBX NA BBB−.15 Index | BBB−/P | 8,103 |  | 91,000 | 8,709 | 11/18/64 | 300 bp — Monthly | (553)
CMBX NA BBB−.6 Index | B+/P | 205 |  | 3,826 | 934 | 5/11/63 | 300 bp — Monthly | (653)
CMBX NA BBB−.6 Index | B+/P | 682 |  | 8,608 | 2,101 | 5/11/63 | 300 bp — Monthly | (1,414)
CMBX NA BBB−.6 Index | B+/P | 811 |  | 10,521 | 2,568 | 5/11/63 | 300 bp — Monthly | (1,751)
CMBX NA BBB−.6 Index | B+/P | 806 |  | 10,521 | 2,568 | 5/11/63 | 300 bp — Monthly | (1,756)
CMBX NA BBB−.6 Index | B+/P | 1,042 |  | 12,434 | 3,035 | 5/11/63 | 300 bp — Monthly | (1,986)
CMBX NA BBB−.6 Index | B+/P | 2,354 |  | 26,781 | 6,537 | 5/11/63 | 300 bp — Monthly | (4,168)
CMBX NA BBB−.6 Index | B+/P | 2,430 |  | 30,607 | 7,471 | 5/11/63 | 300 bp — Monthly | (5,024)
CMBX NA BBB−.6 Index | B+/P | 3,086 |  | 37,303 | 9,106 | 5/11/63 | 300 bp — Monthly | (5,998)
CMBX NA BBB−.6 Index | B+/P | 4,415 |  | 42,085 | 10,273 | 5/11/63 | 300 bp — Monthly | (5,834)

74 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation)
Goldman Sachs International cont.
CMBX NA BBB−.6 Index | B+/P | $6,450 |  | $43,998 | $10,740 | 5/11/63 | 300 bp — Monthly | $(4,265)
CMBX NA BBB−.6 Index | B+/P | 15,221 |  | 51,650 | 12,608 | 5/11/63 | 300 bp — Monthly | 2,644
CMBX NA BBB−.6 Index | B+/P | 15,221 |  | 51,650 | 12,608 | 5/11/63 | 300 bp — Monthly | 2,644
CMBX NA BBB−.6 Index | B+/P | 8,034 |  | 57,389 | 14,009 | 5/11/63 | 300 bp — Monthly | (5,941)
CMBX NA BBB−.6 Index | B+/P | 7,985 |  | 57,389 | 14,009 | 5/11/63 | 300 bp — Monthly | (5,991)
CMBX NA BBB−.6 Index | B+/P | 5,664 |  | 61,215 | 14,943 | 5/11/63 | 300 bp — Monthly | (9,243)
CMBX NA BBB−.6 Index | B+/P | 6,945 |  | 63,128 | 15,409 | 5/11/63 | 300 bp — Monthly | (8,428)
CMBX NA BBB−.6 Index | B+/P | 8,625 |  | 74,605 | 18,211 | 5/11/63 | 300 bp — Monthly | (9,543)
CMBX NA BBB−.6 Index | B+/P | 6,758 |  | 74,605 | 18,211 | 5/11/63 | 300 bp — Monthly | (11,410)
CMBX NA BBB−.6 Index | B+/P | 7,858 |  | 87,040 | 21,246 | 5/11/63 | 300 bp — Monthly | (13,338)
CMBX NA BBB−.6 Index | B+/P | 16,293 |  | 93,735 | 22,881 | 5/11/63 | 300 bp — Monthly | (6,533)
CMBX NA BBB−.6 Index | B+/P | 5,285 |  | 97,561 | 23,815 | 5/11/63 | 300 bp — Monthly | (18,473)
CMBX NA BBB−.6 Index | B+/P | 14,022 |  | 98,517 | 24,048 | 5/11/63 | 300 bp — Monthly | (9,968)
CMBX NA BBB−.6 Index | B+/P | 12,297 |  | 105,213 | 25,682 | 5/11/63 | 300 bp — Monthly | (13,324)
CMBX NA BBB−.6 Index | B+/P | 12,871 |  | 109,995 | 26,850 | 5/11/63 | 300 bp — Monthly | (13,915)
CMBX NA BBB−.6 Index | B+/P | 10,295 |  | 116,690 | 28,484 | 5/11/63 | 300 bp — Monthly | (18,121)
CMBX NA BBB−.6 Index | B+/P | 10,295 |  | 116,690 | 28,484 | 5/11/63 | 300 bp — Monthly | (18,121)
CMBX NA BBB−.6 Index | B+/P | 6,818 |  | 129,125 | 31,519 | 5/11/63 | 300 bp — Monthly | (24,626)
CMBX NA BBB−.6 Index | B+/P | 23,502 |  | 150,167 | 36,656 | 5/11/63 | 300 bp — Monthly | (13,066)
CMBX NA BBB−.6 Index | B+/P | 23,233 |  | 151,124 | 36,889 | 5/11/63 | 300 bp — Monthly | (13,568)
CMBX NA BBB−.6 Index | B+/P | 18,496 |  | 158,776 | 38,757 | 5/11/63 | 300 bp — Monthly | (20,168)
CMBX NA BBB−.6 Index | B+/P | 18,286 |  | 161,645 | 39,458 | 5/11/63 | 300 bp — Monthly | (21,077)
CMBX NA BBB−.6 Index | B+/P | 18,357 |  | 161,645 | 39,458 | 5/11/63 | 300 bp — Monthly | (21,006)

Master Intermediate Income Trust 75

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation)
Goldman Sachs International cont.
CMBX NA BBB−.6 Index | B+/P | $8,581 |  | $165,471 | $40,391 | 5/11/63 | 300 bp — Monthly | $(31,714)
CMBX NA BBB−.6 Index | B+/P | 20,534 |  | 167,384 | 40,858 | 5/11/63 | 300 bp — Monthly | (20,226)
CMBX NA BBB−.6 Index | B+/P | 15,166 |  | 175,036 | 42,726 | 5/11/63 | 300 bp — Monthly | (27,458)
CMBX NA BBB−.6 Index | B+/P | 51,191 |  | 178,862 | 43,660 | 5/11/63 | 300 bp — Monthly | 7,635
CMBX NA BBB−.6 Index | B+/P | 10,015 |  | 183,644 | 44,828 | 5/11/63 | 300 bp — Monthly | (34,705)
CMBX NA BBB−.6 Index | B+/P | 9,848 |  | 193,209 | 47,162 | 5/11/63 | 300 bp — Monthly | (37,202)
CMBX NA BBB−.6 Index | B+/P | 24,103 |  | 206,600 | 50,431 | 5/11/63 | 300 bp — Monthly | (26,208)
CMBX NA BBB−.6 Index | B+/P | 24,103 |  | 206,600 | 50,431 | 5/11/63 | 300 bp — Monthly | (26,208)
CMBX NA BBB−.6 Index | B+/P | 21,986 |  | 209,469 | 51,131 | 5/11/63 | 300 bp — Monthly | (29,024)
CMBX NA BBB−.6 Index | B+/P | 59,234 |  | 213,295 | 52,065 | 5/11/63 | 300 bp — Monthly | 7,294
CMBX NA BBB−.6 Index | B+/P | 11,095 |  | 216,164 | 52,766 | 5/11/63 | 300 bp — Monthly | (41,545)
CMBX NA BBB−.6 Index | B+/P | 40,089 |  | 254,424 | 62,105 | 5/11/63 | 300 bp — Monthly | (21,868)
CMBX NA BBB−.6 Index | B+/P | 36,039 |  | 283,118 | 69,109 | 5/11/63 | 300 bp — Monthly | (32,905)
CMBX NA BBB−.6 Index | B+/P | 17,562 |  | 347,202 | 84,752 | 5/11/63 | 300 bp — Monthly | (66,987)
CMBX NA BBB−.6 Index | B+/P | 47,211 |  | 432,329 | 105,531 | 5/11/63 | 300 bp — Monthly | (58,068)
CMBX NA BBB−.6 Index | B+/P | 50,821 |  | 440,937 | 107,633 | 5/11/63 | 300 bp — Monthly | (56,555)
CMBX NA BBB−.6 Index | B+/P | 71,741 |  | 578,670 | 141,253 | 5/11/63 | 300 bp — Monthly | (69,175)
CMBX NA BBB−.6 Index | B+/P | 71,494 |  | 578,670 | 141,253 | 5/11/63 | 300 bp — Monthly | (69,422)
CMBX NA BBB−.6 Index | B+/P | 155,865 |  | 996,651 | 243,283 | 5/11/63 | 300 bp — Monthly | (86,837)
CMBX NA BBB−.7 Index | BB−/P | 26,578 |  | 312,000 | 56,098 | 1/17/47 | 300 bp — Monthly | (29,338)
CMBX NA BBB−.7 Index | BB−/P | 90,359 |  | 1,040,000 | 186,992 | 1/17/47 | 300 bp — Monthly | (96,026)
JPMorgan Securities LLC
CMBX NA BB.10 Index | B+/P | 9,629 |  | 120,000 | 33,480 | 5/11/63 | 500 bp — Monthly | (23,735)
CMBX NA BBB−.12 Index | BBB−/P | 269 |  | 5,000 | 447 | 8/17/61 | 300 bp — Monthly | (175)

76 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation)
JPMorgan Securities LLC cont.
CMBX NA BBB−.12 Index | BBB−/P | $3,102 |  | $49,000 | $4,381 | 8/17/61 | 300 bp — Monthly | $(1,250)
CMBX NA BBB−.13 Index | BBB−/P | 887 |  | 15,000 | 1,431 | 12/16/72 | 300 bp — Monthly | (535)
CMBX NA BBB−.13 Index | BBB−/P | 5,046 |  | 55,000 | 5,247 | 12/16/72 | 300 bp — Monthly | (169)
CMBX NA BBB−.13 Index | BBB−/P | 10,381 |  | 57,000 | 5,438 | 12/16/72 | 300 bp — Monthly | 4,977
CMBX NA BBB−.6 Index | B+/P | 3,128,927 |  | 9,361,063 | 2,285,036 | 5/11/63 | 300 bp — Monthly | 849,352
Merrill Lynch International
CMBX NA BB.6 Index | CCC+/P | 13,977 |  | 118,889 | 50,040 | 5/11/63 | 500 bp — Monthly | (35,947)
CMBX NA BBB−.6 Index | B+/P | 1,391 |  | 4,782 | 1,167 | 5/11/63 | 300 bp — Monthly | 226
CMBX NA BBB−.6 Index | B+/P | 384,502 |  | 1,364,896 | 333,171 | 5/11/63 | 300 bp — Monthly | 52,127
Morgan Stanley & Co. International PLC
CMBX NA BB.13 Index | BB−/P | 182 |  | 2,000 | 255 | 12/16/72 | 500 bp — Monthly | (71)
CMBX NA BB.13 Index | BB−/P | 4,929 |  | 53,000 | 6,758 | 12/16/72 | 500 bp — Monthly | (1,776)
CMBX NA BB.13 Index | BB−/P | 6,326 |  | 66,000 | 8,415 | 12/16/72 | 500 bp — Monthly | (2,024)
CMBX NA BB.13 Index | BB−/P | 7,574 |  | 82,000 | 10,455 | 12/16/72 | 500 bp — Monthly | (2,801)
CMBX NA BB.13 Index | BB−/P | 25,708 |  | 280,000 | 35,700 | 12/16/72 | 500 bp — Monthly | (9,720)
CMBX NA BB.6 Index | CCC+/P | 4,741 |  | 37,093 | 15,613 | 5/11/63 | 500 bp — Monthly | (10,836)
CMBX NA BB.6 Index | CCC+/P | 8,676 |  | 45,653 | 19,216 | 5/11/63 | 500 bp — Monthly | (10,495)
CMBX NA BB.6 Index | CCC+/P | 63,000 |  | 142,667 | 60,048 | 5/11/63 | 500 bp — Monthly | 3,090
CMBX NA BB.6 Index | CCC+/P | 116,279 |  | 260,605 | 109,688 | 5/11/63 | 500 bp — Monthly | 6,844
CMBX NA BBB−.12 Index | BBB−/P | 3,418 |  | 58,000 | 5,185 | 8/17/61 | 300 bp — Monthly | (1,733)
CMBX NA BBB−.12 Index | BBB−/P | 9,660 |  | 225,000 | 20,115 | 8/17/61 | 300 bp — Monthly | (10,323)
CMBX NA BBB−.14 Index | BBB−/P | 927 |  | 19,000 | 1,841 | 12/16/72 | 300 bp — Monthly | (903)
CMBX NA BBB−.14 Index | BBB−/P | 1,708 |  | 35,000 | 3,392 | 12/16/72 | 300 bp — Monthly | (1,663)
CMBX NA BBB−.15 Index | BBB−/P | 3,046 |  | 54,000 | 5,168 | 11/18/64 | 300 bp — Monthly | (2,090)

Master Intermediate Income Trust 77

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BBB−.6 Index | B+/P | $752 |  | $8,608 | $2,101 | 5/11/63 | 300 bp — Monthly | $(1,344)
CMBX NA BBB−.6 Index | B+/P | 1,541 |  | 20,086 | 4,903 | 5/11/63 | 300 bp — Monthly | (3,350)
CMBX NA BBB−.6 Index | B+/P | 3,126 |  | 37,303 | 9,106 | 5/11/63 | 300 bp — Monthly | (5,958)
CMBX NA BBB−.6 Index | B+/P | 3,446 |  | 43,998 | 10,740 | 5/11/63 | 300 bp — Monthly | (7,268)
CMBX NA BBB−.6 Index | B+/P | 9,375 |  | 135,820 | 33,154 | 5/11/63 | 300 bp — Monthly | (23,700)
CMBX NA BBB−.6 Index | B+/P | 9,454 |  | 137,733 | 33,621 | 5/11/63 | 300 bp — Monthly | (24,086)
CMBX NA BBB−.6 Index | B+/P | 48,941 |  | 177,905 | 43,427 | 5/11/63 | 300 bp — Monthly | 5,618
CMBX NA BBB−.6 Index | B+/P | 56,378 |  | 203,730 | 49,731 | 5/11/63 | 300 bp — Monthly | 6,767
CMBX NA BBB−.6 Index | B+/P | 183,195 |  | 507,891 | 123,976 | 5/11/63 | 300 bp — Monthly | 59,515
CMBX NA BBB−.6 Index | B+/P | 240,187 |  | 3,467,716 | 846,469 | 5/11/63 | 300 bp — Monthly | (605,551)
CMBX NA BBB−.9 Index | BB+/P | 874 |  | 9,000 | 919 | 9/17/58 | 300 bp — Monthly | (40)
Upfront premium received | 8,058,842 |  |  | Unrealized appreciation | 1,207,593
Upfront premium (paid) | — |  |  | Unrealized (depreciation) | (5,040,868)
Total | $8,058,842 |  |  | Total | $(3,833,275)
* 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, 2022. 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 3/31/22 (Unaudited)
Swap counterparty/ Referenced debt* |  | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.10 Index |  | $(95,717) |  | $397,000 | $110,763 | 11/17/59 | (500 bp) — Monthly | $14,660
CMBX NA BB.10 Index |  | (65,025) |  | 255,000 | 71,145 | 11/17/59 | (500 bp) — Monthly | 5,872
CMBX NA BB.10 Index |  | (14,611) |  | 140,000 | 39,060 | 11/17/59 | (500 bp) — Monthly | 24,313
CMBX NA BB.10 Index |  | (12,500) |  | 114,000 | 31,806 | 11/17/59 | (500 bp) — Monthly | 19,195

78 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* |  | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BB.11 Index |  | $(13,993) |  | $108,000 | $11,513 | 11/18/54 | (500 bp) — Monthly | $(2,585)
CMBX NA BB.11 Index |  | (1,556) |  | 30,000 | 3,198 | 11/18/54 | (500 bp) — Monthly | 1,613
CMBX NA BB.8 Index |  | (36,522) |  | 102,429 | 36,065 | 10/17/57 | (500 bp) — Monthly | (557)
CMBX NA BB.8 Index |  | (8,940) |  | 69,575 | 24,497 | 10/17/57 | (500 bp) — Monthly | 15,490
CMBX NA BBB−.10 Index |  | (47,799) |  | 278,000 | 30,969 | 11/17/59 | (300 bp) — Monthly | (16,991)
CMBX NA BBB−.10 Index |  | (55,015) |  | 237,000 | 26,402 | 11/17/59 | (300 bp) — Monthly | (28,751)
CMBX NA BBB−.10 Index |  | (28,062) |  | 221,000 | 24,619 | 11/17/59 | (300 bp) — Monthly | (3,572)
CMBX NA BBB−.10 Index |  | (21,532) |  | 176,000 | 19,606 | 11/17/59 | (300 bp) — Monthly | (2,028)
CMBX NA BBB−.10 Index |  | (38,410) |  | 161,000 | 17,935 | 11/17/59 | (300 bp) — Monthly | (20,569)
CMBX NA BBB−.10 Index |  | (24,448) |  | 112,000 | 12,477 | 11/17/59 | (300 bp) — Monthly | (12,037)
CMBX NA BBB−.10 Index |  | (23,069) |  | 106,000 | 11,808 | 11/17/59 | (300 bp) — Monthly | (11,323)
CMBX NA BBB−.10 Index |  | (6,246) |  | 49,000 | 5,459 | 11/17/59 | (300 bp) — Monthly | (816)
CMBX NA BBB−.10 Index |  | (4,717) |  | 37,000 | 4,122 | 11/17/59 | (300 bp) — Monthly | (616)
CMBX NA BBB−.12 Index |  | (68,500) |  | 205,000 | 18,327 | 8/17/61 | (300 bp) — Monthly | (50,293)
CMBX NA BBB−.12 Index |  | (67,433) |  | 194,000 | 17,344 | 8/17/61 | (300 bp) — Monthly | (50,203)
CMBX NA BBB−.12 Index |  | (13,080) |  | 190,000 | 16,986 | 8/17/61 | (300 bp) — Monthly | 3,795
CMBX NA BBB−.12 Index |  | (51,320) |  | 146,000 | 13,052 | 8/17/61 | (300 bp) — Monthly | (38,353)
CMBX NA BBB−.12 Index |  | (240) |  | 4,000 | 358 | 8/17/61 | (300 bp) — Monthly | 115
CMBX NA BBB−.13 Index |  | (6,199) |  | 106,000 | 10,112 | 12/16/72 | (300 bp) — Monthly | 3,851
CMBX NA BBB−.13 Index |  | (2,546) |  | 50,000 | 4,770 | 12/16/72 | (300 bp) — Monthly | 2,195
CMBX NA BBB−.13 Index |  | (2,521) |  | 50,000 | 4,770 | 12/16/72 | (300 bp) — Monthly | 2,220
CMBX NA BBB−.13 Index |  | (1,971) |  | 36,000 | 3,434 | 12/16/72 | (300 bp) — Monthly | 1,442
CMBX NA BBB−.8 Index |  | (28,028) |  | 202,000 | 26,260 | 10/17/57 | (300 bp) — Monthly | (1,885)

Master Intermediate Income Trust 79

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* |  | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BBB−.8 Index |  | $(31,297) |  | $198,000 | $25,740 | 10/17/57 | (300 bp) — Monthly | $(5,672)
CMBX NA BBB−.8 Index |  | (31,421) |  | 198,000 | 25,740 | 10/17/57 | (300 bp) — Monthly | (5,796)
CMBX NA BBB−.8 Index |  | (23,031) |  | 173,000 | 22,490 | 10/17/57 | (300 bp) — Monthly | (642)
CMBX NA BBB−.8 Index |  | (21,875) |  | 140,000 | 18,200 | 10/17/57 | (300 bp) — Monthly | (3,757)
CMBX NA BBB−.8 Index |  | (14,014) |  | 101,000 | 13,130 | 10/17/57 | (300 bp) — Monthly | (943)
CMBX NA BBB−.8 Index |  | (12,452) |  | 87,000 | 11,310 | 10/17/57 | (300 bp) — Monthly | (1,193)
CMBX NA BBB−.8 Index |  | (9,703) |  | 62,000 | 8,060 | 10/17/57 | (300 bp) — Monthly | (1,679)
CMBX NA BBB−.9 Index |  | (4,495) |  | 19,000 | 1,940 | 9/17/58 | (300 bp) — Monthly | (2,566)
Credit Suisse International
CMBX NA BB.10 Index |  | (38,693) |  | 290,000 | 80,910 | 11/17/59 | (500 bp) — Monthly | 41,935
CMBX NA BB.10 Index |  | (34,367) |  | 289,000 | 80,631 | 11/17/59 | (500 bp) — Monthly | 45,983
CMBX NA BB.10 Index |  | (18,893) |  | 152,000 | 42,408 | 11/17/59 | (500 bp) — Monthly | 23,367
CMBX NA BB.7 Index |  | (61,796) |  | 335,000 | 104,118 | 1/17/47 | (500 bp) — Monthly | 41,996
CMBX NA BB.7 Index |  | (4,770) |  | 29,000 | 9,013 | 1/17/47 | (500 bp) — Monthly | 4,215
Goldman Sachs International
CMBX NA A.6 Index |  | (13,345) |  | 126,233 | 10,225 | 5/11/63 | (200 bp) — Monthly | (3,169)
CMBX NA A.6 Index |  | (7,995) |  | 76,111 | 6,165 | 5/11/63 | (200 bp) — Monthly | (1,860)
CMBX NA A.6 Index |  | (7,359) |  | 69,614 | 5,639 | 5/11/63 | (200 bp) — Monthly | (1,748)
CMBX NA A.6 Index |  | (4,240) |  | 59,404 | 4,812 | 5/11/63 | (200 bp) — Monthly | 549
CMBX NA A.6 Index |  | (5,333) |  | 49,194 | 3,985 | 5/11/63 | (200 bp) — Monthly | (1,368)
CMBX NA A.6 Index |  | (4,747) |  | 45,481 | 3,684 | 5/11/63 | (200 bp) — Monthly | (1,081)
CMBX NA A.6 Index |  | (4,263) |  | 40,840 | 3,308 | 5/11/63 | (200 bp) — Monthly | (970)
CMBX NA A.6 Index |  | (4,263) |  | 40,840 | 3,308 | 5/11/63 | (200 bp) — Monthly | (970)
CMBX NA A.6 Index |  | (4,246) |  | 39,912 | 3,233 | 5/11/63 | (200 bp) — Monthly | (1,029)

80 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* |  | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation)
Goldman Sachs International cont.
CMBX NA A.6 Index |  | $(4,246) |  | $39,912 | $3,233 | 5/11/63 | (200 bp) — Monthly | $(1,029)
CMBX NA A.6 Index |  | (3,758) |  | 34,343 | 2,782 | 5/11/63 | (200 bp) — Monthly | (989)
CMBX NA A.6 Index |  | (2,934) |  | 27,845 | 2,255 | 5/11/63 | (200 bp) — Monthly | (690)
CMBX NA A.6 Index |  | (2,934) |  | 27,845 | 2,255 | 5/11/63 | (200 bp) — Monthly | (690)
CMBX NA A.6 Index |  | (1,789) |  | 16,707 | 1,353 | 5/11/63 | (200 bp) — Monthly | (442)
CMBX NA A.6 Index |  | (174) |  | 1,856 | 150 | 5/11/63 | (200 bp) — Monthly | (25)
CMBX NA A.6 Index |  | (86) |  | 928 | 75 | 5/11/63 | (200 bp) — Monthly | (11)
CMBX NA A.6 Index |  | (96) |  | 928 | 75 | 5/11/63 | (200 bp) — Monthly | (21)
CMBX NA BB.6 Index |  | (1,023) |  | 9,511 | 4,003 | 5/11/63 | (500 bp) — Monthly | 2,971
CMBX NA BB.7 Index |  | (38,667) |  | 236,000 | 73,349 | 1/17/47 | (500 bp) — Monthly | 34,452
CMBX NA BB.7 Index |  | (18,621) |  | 102,000 | 31,702 | 1/17/47 | (500 bp) — Monthly | 12,982
CMBX NA BB.7 Index |  | (19,493) |  | 96,000 | 29,837 | 1/17/47 | (500 bp) — Monthly | 10,251
CMBX NA BB.7 Index |  | (10,442) |  | 69,000 | 21,445 | 1/17/47 | (500 bp) — Monthly | 10,937
CMBX NA BB.8 Index |  | (69,403) |  | 191,330 | 67,367 | 10/17/57 | (500 bp) — Monthly | (2,222)
CMBX NA BB.8 Index |  | (69,523) |  | 191,330 | 67,367 | 10/17/57 | (500 bp) — Monthly | (2,341)
CMBX NA BB.8 Index |  | (65,945) |  | 172,970 | 60,903 | 10/17/57 | (500 bp) — Monthly | (5,210)
CMBX NA BB.8 Index |  | (51,833) |  | 139,149 | 48,994 | 10/17/57 | (500 bp) — Monthly | (2,974)
CMBX NA BB.8 Index |  | (46,277) |  | 131,419 | 46,272 | 10/17/57 | (500 bp) — Monthly | (132)
CMBX NA BB.8 Index |  | (2,606) |  | 22,225 | 7,825 | 10/17/57 | (500 bp) — Monthly | 5,198
CMBX NA BBB−.10 Index |  | (10,061) |  | 46,000 | 5,124 | 11/17/59 | (300 bp) — Monthly | (4,964)
CMBX NA BBB−.12 Index |  | (8,968) |  | 46,000 | 4,112 | 8/17/61 | (300 bp) — Monthly | (4,882)
CMBX NA BBB−.12 Index |  | (5,404) |  | 16,000 | 1,430 | 8/17/61 | (300 bp) — Monthly | (3,982)
CMBX NA BBB−.13 Index |  | (9,245) |  | 122,000 | 11,639 | 12/16/72 | (300 bp) — Monthly | 2,323

Master Intermediate Income Trust 81

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* |  | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation)
Goldman Sachs International cont.
CMBX NA BBB−.6 Index |  | $(60,768) |  | $213,295 | $52,065 | 5/11/63 | (300 bp) — Monthly | $(8,827)
CMBX NA BBB−.8 Index |  | (12,938) |  | 100,000 | 13,000 | 10/17/57 | (300 bp) — Monthly | 4
CMBX NA BBB−.8 Index |  | (8,938) |  | 57,000 | 7,410 | 10/17/57 | (300 bp) — Monthly | (1,562)
JPMorgan Securities LLC
CMBX NA A.6 Index |  | (8,256) |  | 77,967 | 6,315 | 5/11/63 | (200 bp) — Monthly | (1,971)
CMBX NA A.6 Index |  | (5,789) |  | 52,906 | 4,285 | 5/11/63 | (200 bp) — Monthly | (1,524)
CMBX NA BB.17 Index |  | (320,235) |  | 654,000 | 203,263 | 1/17/47 | (500 bp) — Monthly | (117,607)
CMBX NA BB.8 Index |  | (52,536) |  | 102,429 | 36,065 | 10/17/57 | (500 bp) — Monthly | (16,570)
CMBX NA BBB−.10 Index |  | (29,298) |  | 104,000 | 11,586 | 11/17/59 | (300 bp) — Monthly | (17,773)
CMBX NA BBB−.10 Index |  | (10,885) |  | 66,000 | 7,352 | 11/17/59 | (300 bp) — Monthly | (3,571)
CMBX NA BBB−.10 Index |  | (15,790) |  | 53,000 | 5,904 | 11/17/59 | (300 bp) — Monthly | (9,917)
CMBX NA BBB−.11 Index |  | (16,029) |  | 51,000 | 4,075 | 11/18/54 | (300 bp) — Monthly | (11,984)
CMBX NA BBB−.11 Index |  | (4,080) |  | 13,000 | 1,039 | 11/18/54 | (300 bp) — Monthly | (3,049)
CMBX NA BBB−.12 Index |  | (1,446) |  | 37,000 | 3,308 | 8/17/61 | (300 bp) — Monthly | 1,841
CMBX NA BBB−.14 Index |  | (4,389) |  | 72,000 | 6,977 | 12/16/72 | (300 bp) — Monthly | 2,546
CMBX NA BBB−.6 Index |  | (260,375) |  | 977,522 | 238,613 | 5/11/63 | (300 bp) — Monthly | (22,332)
CMBX NA BBB−.7 Index |  | (214,338) |  | 913,000 | 164,157 | 1/17/47 | (300 bp) — Monthly | (50,714)
CMBX NA BBB−.8 Index |  | (31,080) |  | 224,000 | 29,120 | 10/17/57 | (300 bp) — Monthly | (2,091)
Merrill Lynch International
CMBX NA BB.10 Index |  | (15,875) |  | 279,000 | 77,841 | 11/17/59 | (500 bp) — Monthly | 61,695
CMBX NA BBB−.10 Index |  | (20,367) |  | 94,000 | 10,472 | 11/17/59 | (300 bp) — Monthly | (9,950)
CMBX NA BBB−.7 Index |  | (32,451) |  | 396,000 | 71,201 | 1/17/47 | (300 bp) — Monthly | 38,519
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index |  | (7,508) |  | 71,470 | 5,789 | 5/11/63 | (200 bp) — Monthly | (1,746)
CMBX NA A.6 Index |  | (1,458) |  | 13,923 | 1,128 | 5/11/63 | (200 bp) — Monthly | (335)

82 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* |  | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA A.6 Index |  | $(388) |  | $3,713 | $301 | 5/11/63 | (200 bp) — Monthly | $(88)
CMBX NA A.6 Index |  | (195) |  | 1,856 | 150 | 5/11/63 | (200 bp) — Monthly | (45)
CMBX NA A.6 Index |  | (193) |  | 1,856 | 150 | 5/11/63 | (200 bp) — Monthly | (43)
CMBX NA A.6 Index |  | (86) |  | 928 | 75 | 5/11/63 | (200 bp) — Monthly | (11)
CMBX NA A.6 Index |  | (91) |  | 928 | 75 | 5/11/63 | (200 bp) — Monthly | (16)
CMBX NA A.6 Index |  | (96) |  | 928 | 75 | 5/11/63 | (200 bp) — Monthly | (21)
CMBX NA BB.10 Index |  | (33,114) |  | 141,000 | 39,339 | 11/17/59 | (500 bp) — Monthly | 6,088
CMBX NA BB.10 Index |  | (14,683) |  | 140,000 | 39,060 | 11/17/59 | (500 bp) — Monthly | 24,241
CMBX NA BB.7 Index |  | (23,127) |  | 115,000 | 35,742 | 1/17/47 | (500 bp) — Monthly | 12,503
CMBX NA BB.7 Index |  | (17,547) |  | 91,000 | 28,283 | 1/17/47 | (500 bp) — Monthly | 10,647
CMBX NA BB.7 Index |  | (11,040) |  | 59,000 | 18,337 | 1/17/47 | (500 bp) — Monthly | 7,240
CMBX NA BB.7 Index |  | (6,055) |  | 30,000 | 9,324 | 1/17/47 | (500 bp) — Monthly | 3,240
CMBX NA BB.8 Index |  | (34,059) |  | 93,732 | 33,003 | 10/17/57 | (500 bp) — Monthly | (1,147)
CMBX NA BB.8 Index |  | (32,587) |  | 90,833 | 31,982 | 10/17/57 | (500 bp) — Monthly | (692)
CMBX NA BB.8 Index |  | (30,651) |  | 59,911 | 21,095 | 10/17/57 | (500 bp) — Monthly | (9,615)
CMBX NA BB.8 Index |  | (17,394) |  | 46,383 | 16,331 | 10/17/57 | (500 bp) — Monthly | (1,107)
CMBX NA BB.8 Index |  | (15,519) |  | 42,518 | 14,971 | 10/17/57 | (500 bp) — Monthly | (590)
CMBX NA BB.8 Index |  | (7,760) |  | 21,259 | 7,485 | 10/17/57 | (500 bp) — Monthly | (295)
CMBX NA BB.9 Index |  | (3,952) |  | 65,000 | 15,392 | 9/17/58 | (500 bp) — Monthly | 11,377
CMBX NA BB.9 Index |  | (7,997) |  | 53,000 | 12,550 | 9/17/58 | (500 bp) — Monthly | 4,502
CMBX NA BB.9 Index |  | (4,238) |  | 31,000 | 7,341 | 9/17/58 | (500 bp) — Monthly | 3,072
CMBX NA BB.9 Index |  | (743) |  | 19,000 | 4,499 | 9/17/58 | (500 bp) — Monthly | 3,738
CMBX NA BB.9 Index |  | (1,968) |  | 13,000 | 3,078 | 9/17/58 | (500 bp) — Monthly | 1,098

Master Intermediate Income Trust 83

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* |  | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BB.9 Index |  | $(246) |  | $4,000 | $947 | 9/17/58 | (500 bp) — Monthly | $697
CMBX NA BBB−.10 Index |  | (51,248) |  | 304,000 | 33,866 | 11/17/59 | (300 bp) — Monthly | (17,559)
CMBX NA BBB−.10 Index |  | (19,485) |  | 225,000 | 25,065 | 11/17/59 | (300 bp) — Monthly | 5,448
CMBX NA BBB−.10 Index |  | (19,495) |  | 158,000 | 17,601 | 11/17/59 | (300 bp) — Monthly | (1,986)
CMBX NA BBB−.10 Index |  | (17,456) |  | 136,000 | 15,150 | 11/17/59 | (300 bp) — Monthly | (2,385)
CMBX NA BBB−.10 Index |  | (27,435) |  | 116,000 | 12,922 | 11/17/59 | (300 bp) — Monthly | (14,581)
CMBX NA BBB−.10 Index |  | (24,867) |  | 102,000 | 11,363 | 11/17/59 | (300 bp) — Monthly | (13,563)
CMBX NA BBB−.10 Index |  | (10,907) |  | 86,000 | 9,580 | 11/17/59 | (300 bp) — Monthly | (1,377)
CMBX NA BBB−.10 Index |  | (8,751) |  | 69,000 | 7,687 | 11/17/59 | (300 bp) — Monthly | (1,105)
CMBX NA BBB−.10 Index |  | (7,908) |  | 66,000 | 7,352 | 11/17/59 | (300 bp) — Monthly | (594)
CMBX NA BBB−.10 Index |  | (13,546) |  | 59,000 | 6,573 | 11/17/59 | (300 bp) — Monthly | (7,008)
CMBX NA BBB−.10 Index |  | (12,006) |  | 55,000 | 6,127 | 11/17/59 | (300 bp) — Monthly | (5,911)
CMBX NA BBB−.10 Index |  | (4,987) |  | 23,000 | 2,562 | 11/17/59 | (300 bp) — Monthly | (2,438)
CMBX NA BBB−.10 Index |  | (4,325) |  | 20,000 | 2,228 | 11/17/59 | (300 bp) — Monthly | (2,109)
CMBX NA BBB−.11 Index |  | (4,681) |  | 15,000 | 1,199 | 11/18/54 | (300 bp) — Monthly | (3,492)
CMBX NA BBB−.12 Index |  | (277) |  | 5,000 | 447 | 8/17/61 | (300 bp) — Monthly | 167
CMBX NA BBB−.13 Index |  | (8,074) |  | 131,000 | 12,497 | 12/16/72 | (300 bp) — Monthly | 4,347
CMBX NA BBB−.7 Index |  | (17,831) |  | 175,000 | 31,465 | 1/17/47 | (300 bp) — Monthly | 13,532
CMBX NA BBB−.7 Index |  | (14,539) |  | 229,000 | 41,174 | 1/17/47 | (300 bp) — Monthly | 26,501
CMBX NA BBB−.8 Index |  | (21,949) |  | 173,000 | 22,490 | 10/17/57 | (300 bp) — Monthly | 440
CMBX NA BBB−.8 Index |  | (22,003) |  | 173,000 | 22,490 | 10/17/57 | (300 bp) — Monthly | 386
CMBX NA BBB−.8 Index |  | (21,469) |  | 150,000 | 19,500 | 10/17/57 | (300 bp) — Monthly | (2,056)
CMBX NA BBB−.8 Index |  | (19,123) |  | 141,000 | 18,330 | 10/17/57 | (300 bp) — Monthly | (875)

84 Master Intermediate Income Trust

OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/22 (Unaudited) cont.
Swap counterparty/ Referenced debt* |  | Upfront premium received (paid)** |  | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BBB−.8 Index |  | $(19,211) |  | $141,000 | $18,330 | 10/17/57 | (300 bp) — Monthly | $(964)
CMBX NA BBB−.8 Index |  | (16,646) |  | 107,000 | 13,910 | 10/17/57 | (300 bp) — Monthly | (2,798)
CMBX NA BBB−.8 Index |  | (15,432) |  | 99,000 | 12,870 | 10/17/57 | (300 bp) — Monthly | (2,620)
CMBX NA BBB−.8 Index |  | (8,987) |  | 58,000 | 7,540 | 10/17/57 | (300 bp) — Monthly | (1,480)
CMBX NA BBB−.8 Index |  | (9,063) |  | 58,000 | 7,540 | 10/17/57 | (300 bp) — Monthly | (1,556)
CMBX NA BBB−.8 Index |  | (8,463) |  | 54,000 | 7,020 | 10/17/57 | (300 bp) — Monthly | (1,480)
Upfront premium received | — |  |  | Unrealized appreciation | 575,789
Upfront premium (paid) | (3,374,848) |  |  | Unrealized (depreciation) | (688,756)
Total | $(3,374,848) |  |  | Total | $(112,967)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

Master Intermediate Income Trust 85

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 | $123,234 | $401 | $—
Energy | 55,301 | — | —
Utilities and power | — | 12,570 | —
Total common stocks | 178,535 | 12,971 | —
Asset-backed securities | — | 592,515 | —
Convertible bonds and notes | — | 11,616,261 | —
Corporate bonds and notes | — | 42,294,733 | —
Foreign government and agency bonds and notes | — | 18,966,983 | —
Mortgage-backed securities | — | 93,977,624 | —
Purchased options outstanding | — | 25 | —
Purchased swap options outstanding | — | 5,362,781 | —
Senior loans | — | 6,050,669 | —
U.S. government and agency mortgage obligations | — | 159,246,764 | —
U.S. treasury obligations | — | 112,000 | —
Warrants | — | — | 2
Short-term investments | 970,000 | 33,868,652 | —
Totals by level | $1,148,535 | $372,101,978 | $2

|  | Valuation inputs
Other financial instruments: | Level 1 | Level 2 | Level 3
Forward currency contracts | $— | $(601,111) | $—
Futures contracts | (351,526) | — | —
Written options outstanding | — | (568,325) | —
Written swap options outstanding | — | (8,769,519) | —
Forward premium swap option contracts | — | (1,582,820) | —
TBA sale commitments | — | (140,252,115) | —
Interest rate swap contracts | — | 5,167,889 | —
Total return swap contracts | — | (115,515) | —
Credit default contracts | — | (8,630,236) | —
Totals by level | $(351,526) | $(155,351,752) | $—
* 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.

86 Master Intermediate Income Trust

Statement of assets and liabilities 3/31/22 (Unaudited)

ASSETS |
Investment in securities, at value (Notes 1 and 9): |
Unaffiliated issuers (identified cost $378,476,215) | $361,887,916
Affiliated issuers (identified cost $11,362,599) (Note 5) | 11,362,599
Cash | 282,302
Foreign currency (cost $6,342) (Note 1) | 6,128
Dividends, interest and other receivables | 2,251,270
Receivable for investments sold | 452,590
Receivable for sales of TBA securities (Note 1) | 87,997,224
Receivable for variation margin on futures contracts (Note 1) | 46,920
Receivable for variation margin on centrally cleared swap contracts (Note 1) | 947,331
Unrealized appreciation on forward premium swap option contracts (Note 1) | 9,276,418
Unrealized appreciation on forward currency contracts (Note 1) | 165,335
Unrealized appreciation on OTC swap contracts (Note 1) | 1,783,382
Premium paid on OTC swap contracts (Note 1) | 3,374,848
Total assets | 479,834,263
LIABILITIES |
Payable for investments purchased | 38,285
Payable for purchases of TBA securities (Note 1) | 106,086,534
Payable for shares of the fund repurchased | 136,293
Payable for compensation of Manager (Note 2) | 376,398
Payable for custodian fees (Note 2) | 38,561
Payable for investor servicing fees (Note 2) | 16,465
Payable for Trustee compensation and expenses (Note 2) | 121,828
Payable for administrative services (Note 2) | 577
Payable for variation margin on futures contracts (Note 1) | 8,367
Payable for variation margin on centrally cleared swap contracts (Note 1) | 1,211,863
Distributions payable to shareholders | 1,122,059
Unrealized depreciation on OTC swap contracts (Note 1) | 5,845,139
Premium received on OTC swap contracts (Note 1) | 8,058,842
Unrealized depreciation on forward currency contracts (Note 1) | 766,446
Unrealized depreciation on forward premium swap option contracts (Note 1) | 10,859,238
Written options outstanding, at value (premiums $7,229,298) (Note 1) | 9,337,844
TBA sale commitments, at value (proceeds receivable $142,035,215) (Note 1) | 140,252,115
Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9) | 1,082,000
Other accrued expenses | 120,056
Total liabilities | 285,478,910
Net assets | $194,355,353
REPRESENTED BY |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $312,493,773
Total distributable earnings (Note 1) | (118,138,420)
Total — Representing net assets applicable to capital shares outstanding | $194,355,353
COMPUTATION OF NET ASSET VALUE |
Net asset value per share |
($194,355,353 divided by 50,623,132 shares) | $3.84

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

Master Intermediate Income Trust 87

Statement of operations Six months ended 3/31/22 (Unaudited)

INVESTMENT INCOME |
Interest (including interest income of $6,501 from investments in affiliated issuers) |
(net of foreign tax of $1,963) (Note 5) | $5,920,024
Total investment income | 5,920,024
EXPENSES |
Compensation of Manager (Note 2) | 753,531
Investor servicing fees (Note 2) | 50,290
Custodian fees (Note 2) | 59,253
Trustee compensation and expenses (Note 2) | 3,746
Administrative services (Note 2) | 3,219
Auditing and tax fees | 67,784
Other | 96,821
Total expenses | 1,034,644
Expense reduction (Note 2) | (54)
Net expenses | 1,034,590
Net investment income | 4,885,434
REALIZED AND UNREALIZED GAIN (LOSS) |
Net realized gain (loss) on: |
Securities from unaffiliated issuers (Notes 1 and 3) | (9,009,062)
Net increase from payments by affiliates (Note 2) | 58,887
Foreign currency transactions (Note 1) | 2,070
Forward currency contracts (Note 1) | (686,562)
Futures contracts (Note 1) | 1,350,590
Swap contracts (Note 1) | (1,352,891)
Written options (Note 1) | (2,021,184)
Total net realized loss | (11,658,152)
Change in net unrealized appreciation (depreciation) on: |
Securities from unaffiliated issuers and TBA sale commitments | (640,110)
Assets and liabilities in foreign currencies | 2,284
Forward currency contracts | (66,892)
Futures contracts | (545,317)
Swap contracts | 8,175,755
Written options | (5,831,833)
Total change in net unrealized appreciation | 1,093,887
Net loss on investments | (10,564,265)
Net decrease in net assets resulting from operations | $(5,678,831)

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

88 Master Intermediate Income Trust

Statement of changes in net assets

DECREASE IN NET ASSETS | Six months ended 3/31/22* | Year ended 9/30/21
Operations |  |
Net investment income | $4,885,434 | $9,697,452
Net realized loss on investments |  |
and foreign currency transactions | (11,658,152) | (4,421,140)
Change in net unrealized appreciation (depreciation) |  |
of investments and assets and liabilities |  |
in foreign currencies | 1,093,887 | (2,120,289)
Net increase (decrease) in net assets resulting |  |
from operations | (5,678,831) | 3,156,023
Distributions to shareholders (Note 1): |  |
From ordinary income |  |
Net investment income | (6,751,680) | (1,569,668)
From return of capital | — | (12,762,903)
Increase in capital share transactions from reinvestment |  |
of distributions (Note 4) | 211,673 | 53,869
Decrease from capital share transactions (Note 4) | (2,169,041) | (225,056)
Total decrease in net assets | (14,387,879) | (11,347,735)
NET ASSETS |  |
Beginning of period | 208,743,232 | 220,090,967
End of period | $194,355,353 | $208,743,232
NUMBER OF FUND SHARES |  |
Shares outstanding at beginning of period | 51,186,687 | 51,227,679
Shares issued in connection with reinvestment |  |
of distributions | 53,198 | 12,981
Shares repurchased (Note 4) | (616,753) | (53,973)
Shares outstanding at end of period | 50,623,132 | 51,186,687

* Unaudited.

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

Master Intermediate Income Trust 89

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

PER-SHARE OPERATING PERFORMANCE |  |  |  |  |  |
| Six months ended** | Year ended
|  | 3/31/22 | 9/30/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17
Net asset value, beginning of period | $4.08 | $4.30 | $4.83 | $4.94 | $5.03 | $4.86
Investment operations: |  |  |  |  |  |  |
Net investment income a |  | .10 | .19 | .18 | .24 | .26 | .26
Net realized and unrealized |  |  |  |  |  |  |
gain (loss) on investments |  | (.21) | (.13) | (.35) | (.02) | (.06) | .21
Total from investment operations | (.11) | .06 | (.17) | .22 | .20 | .47
Less distributions: |  |  |  |  |  |  |
From net investment income | (.13) | (.03) | (.21) | (.34) | (.29) | (.31)
From return of capital |  | — | (.25) | (.15) | — | — | —
Total distributions |  | (.13) | (.28) | (.36) | (.34) | (.29) | (.31)
Increase from shares repurchased | —e | —e | —e | .01 | —e | .01
Net asset value, end of period | $3.84 | $4.08 | $4.30 | $4.83 | $4.94 | $5.03
Market value, end of period | $3.58 | $4.07 | $4.11 | $4.59 | $4.52 | $4.73
Total return at market value (%)b | (8.93)* | 5.82 | (2.85) | 9.48 | 1.66 | 14.32
RATIOS AND SUPPLEMENTAL DATA |  |  |  |  |  |
Net assets, end of period |  |  |  |  |  |  |
(in thousands) |  | $194,355 | $208,743 | $220,091 | $249,961 | $262,509 | $269,544
Ratio of expenses to average |  |  |  |  |  |
net assets (%)c |  | .51* | 1.01 | 1.01 | 1.02 | 1.00 | .99
Ratio of net investment income |  |  |  |  |  |
to average net assets (%) |  | 2.43* | 4.35 | 3.98 | 4.90 | 5.11 | 5.24
Portfolio turnover (%)d |  | 653* | 1,073 | 995 | 899 | 715 | 976

* Not annualized.

** Unaudited.

a Per share net investment income has been determined on the basis of the 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.

90 Master Intermediate Income Trust

Notes to financial statements 3/31/22 (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, 2021 through March 31, 2022.

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 91

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. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.

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

Securities purchased or sold on a 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

92 Master Intermediate Income Trust

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

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

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

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

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

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

Futures contracts The fund uses futures contracts for hedging treasury term structure risk and 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

Master Intermediate Income Trust 93

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

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

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

94 Master Intermediate Income Trust

Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts for hedging market risk and for gaining exposure to specific sectors.

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

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

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

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

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

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

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

Master Intermediate Income Trust 95

an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.

TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral 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 $16,012,514 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled$15,554,544 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, 2021, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:

96 Master Intermediate Income Trust

| Loss carryover |
Short-term | Long-term | Total
$36,377,445 | $39,152,900 | $75,530,345

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 $244,618,423, resulting in gross unrealized appreciation and depreciation of $23,793,335 and $50,864,520, respectively, or net unrealized depreciation of $27,071,185.

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

Note 2: Management fee, administrative services and other transactions

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

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

For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.375% 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.

Putnam Management voluntarily reimbursed the fund $58,887 for a trading error which occurred during the reporting period. The effect of the loss incurred and the reimbursement by Putnam Management of such amounts had no material impact on total return.

Master Intermediate Income Trust 97

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

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

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

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $54 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $136, 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) | $1,606,173,438 | $1,669,398,757
U.S. government securities (Long-term) | — | —
Total | $1,606,173,438 | $1,669,398,757

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 2021, 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, 2022 (based on shares outstanding as of September 30, 2021). 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 365 day period ending September 30, 2021 (based on shares outstanding as of September 30, 2020). 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 616,753 common shares for an aggregate purchase price of $2,169,041, which reflects a weighted-average discount from net asset value per share of 8.51%. The weighted-average discount reflects the payment of commissions by the fund to execute repurchase trades.

98 Master Intermediate Income Trust

For the previous fiscal year, the fund repurchased 53,973 common shares for an aggregate purchase price of $225,056, which reflected a weighted-average discount from net asset value per share of 6.97%, 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 2,259 shares of the fund (0.004% of the fund’s shares outstanding), valued at $8,675 based on net asset value.

Note 5: Affiliated transactions

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

|  |  |  |  | Shares
|  |  |  |  | outstanding
|  |  |  |  | and fair
| Fair value as | Purchase | Sale | Investment | value as
Name of affiliate | of 9/30/21 | cost | proceeds | income | of 3/31/22
Short-term investments |  |  |  |  |
Putnam Short Term |  |  |  |  |
Investment Fund* | $9,916,837 | $43,940,614 | $42,494,852 | $6,501 | $11,362,599
Total Short-term |  |  |  |  |
investments | $9,916,837 | $43,940,614 | $42,494,852 | $6,501 | $11,362,599

* 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 its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. ICE Benchmark Administration, the administrator of LIBOR, ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis after June 30, 2023. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021.LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. Various financial industry groups have been planning for the transition away from LIBOR, but there are obstacles to converting certain longer-term securities and transactions to new reference rates. Markets are developing slowly and questions around liquidity in these rates and how to appropriately adjust these rates to mitigate any economic value transfer at the time of transition remain a significant concern. Neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets that 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 related transactions, such as hedges. 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 at any time.

Master Intermediate Income Trust 99

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.

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) | $10,700,000
Purchased currency option contracts (contract amount) | $7,400,000
Purchased swap option contracts (contract amount) | $850,800,000
Written equity option contracts (contract amount) | $—*
Written TBA commitment option contracts (contract amount) | $10,700,000
Written currency option contracts (contract amount) | $7,400,000
Written swap option contracts (contract amount) | $848,000,000
Futures contracts (number of contracts) | 600
Forward currency contracts (contract amount) | $236,700,000
Centrally cleared interest rate swap contracts (notional) | $557,600,000
OTC total return swap contracts (notional) | $2,100,000
Centrally cleared total return swap contracts (notional) | $26,100,000
OTC credit default contracts (notional) | $74,000,000
Warrants (number of warrants) | 30

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

100 Master Intermediate Income Trust

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

Fair value of derivative instruments as of the close of the reporting period |
| ASSET DERIVATIVES | LIABILITY DERIVATIVES
Derivatives not |  |  |  |
accounted for as | Statement of |  | Statement of |
hedging instruments | assets and |  | assets and |
under ASC 815 | liabilities location | Fair value | liabilities location | Fair value
Credit contracts | Receivables | $3,261,881 | Payables | $12,007,632
Foreign exchange |  |  |  |
contracts | Receivables | 165,335 | Payables | 766,446
Equity contracts | Investments | 2 | Payables | —
| Investments, |  |  |
| Receivables, Net |  |  |
| assets — |  | Payables, Net |
| Unrealized |  | assets — Unrealized |
Interest rate contracts | appreciation | 24,985,127* | depreciation | 25,726,622
Total |  | $28,412,345 |  | $38,500,700

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

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

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments |
Derivatives not accounted |  |  | Forward |  |
for as hedging instruments |  |  | currency |  |
under ASC 815 | Options | Futures | contracts | Swaps | Total
Credit contracts | $— | $— | $— | $(337,906) | $(337,906)
Foreign exchange contracts | (158,347) | — | (686,562) | — | (844,909)
Interest rate contracts | (800,879) | 1,350,590 | — | (1,014,985) | (465,274)
Total | $(959,226) | $1,350,590 | $(686,562) | $(1,352,891) | $(1,648,089)

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 | $— | $— | $— | $3,085,210 | $3,085,210
Foreign exchange contracts | (6,284) | — | (66,892) | — | (73,176)
Interest rate contracts | (2,544,674) | (545,317) | — | 5,090,545 | 2,000,554
Total | $(2,550,958) | $(545,317) | $(66,892) | $8,175,755 | $5,012,588

Master Intermediate Income Trust 101

Note 9: Offsetting of financial and derivative assets and liabilities

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

| Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche 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. | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
interest rate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap contracts§ | $— | $— | $947,331 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $947,331
OTC Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
return swap |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | —
OTC Credit |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
default |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
protection |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
sold*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | —
OTC Credit |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
default |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
protection |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
purchased*# | — | — | — | — | — | 720,222 | 316,015 | — | 608,442 | — | — | 719,810 | 158,957 | 738,435 | — | — | — | — | — | 3,261,881
Futures |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts§ | — | — | — | — | — | — | — | — | — | — | — | 46,920 | — | — | — | — | — | — | — | 46,920
Forward |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
currency |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts# | 6,365 | 1,575 | — | — | 12,846 | — | — | — | 27,532 | 38,513 | 2 | — | — | 9,605 | 29 | 39,311 | — | 29,557 | — | 165,335
Forward |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
premium |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap option |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts# | 2,433,327 | — | — | — | 2,274,152 | — | — | 120,769 | 720,358 | — | 1,147,790 | — | — | 240,966 | — | — | 305,897 | 1,473,560 | 559,599 | 9,276,418
Purchased swap |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
options**# | 10,110 | — | — | — | — | — | — | — | 449,643 | — | 849,831 | — | — | 2,216,276 | 893,287 | — | — | 943,634 | — | 5,362,781
Purchased |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
options**# | — | — | — | — | — | — | — | — | — | — | 25 | — | — | — | — | — | — | — | — | 25
Total Assets | $2,449,802 | $1,575 | $947,331 | $— | $2,286,998 | $720,222 | $316,015 | $120,769 | $1,805,975 | $38,513 | $1,997,648 | $766,730 | $158,957 | $3,205,282 | $893,316 | $39,311 | $305,897 | $2,446,751 | $559,599 | $19,060,691
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
interest rate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap contracts§ | — | — | 1,211,863 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 1,211,863
OTC Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
return swap |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts*# | — | — | — | — | — | — | — | — | — | — | — | — | — | 115,515 | — | — | — | — | — | 115,515

102 Master Intermediate Income Trust | Master Intermediate Income Trust 103

| Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche 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. | Total
OTC Credit |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
default |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
protection |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
sold*# | $181,210 | $— | $— | $— | $— | $1,914,639 | $3,255,608 | $— | $2,370,079 | $— | $— | $2,329,776 | $383,464 | $1,457,341 | $— | $— | $— | $— | $— | $11,892,117
OTC Credit |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
default |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts — |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
protection |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
purchased*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | —
Futures |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts§ | — | — | — | — | — | — | — | — | — | — | — | 8,367 | — | — | — | — | — | — | — | 8,367
Forward |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
currency |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts# | 88 | 7,564 | — | — | — | — | — | — | 22,240 | — | 3,154 | — | — | 38,260 | 862 | 158,851 | 173,359 | 362,068 | — | 766,446
Forward |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
premium |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
swap option |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
contracts# | 3,097,265 | — | — | — | 4,182,744 | — | — | 20,315 | 947,381 | — | 1,116,441 | — | — | 226,223 | — | — | 136,763 | 821,126 | 310,980 | 10,859,238
Written swap |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
options# | 347,724 | — | — | — | 1,229,817 | — | — | — | 372,743 | — | 2,325,077 | — | — | 2,282,918 | 1,537,832 | — | 130,059 | 543,349 | — | 8,769,519
Written options# | — | — | — | — | — | — | — | — | — | — | 568,325 | — | — | — | — | — | — | — | — | 568,325
Total Liabilities | $3,626,287 | $7,564 | $1,211,863 | $— | $5,412,561 | $1,914,639 | $3,255,608 | $20,315 | $3,712,443 | $— | $4,012,997 | $2,338,143 | $383,464 | $4,120,257 | $1,538,694 | $158,851 | $440,181 | $1,726,543 | $310,980 | $34,191,390
Total Financial |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
and Derivative |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net Assets | $(1,176,485) | $(5,989) | $(264,532) | $— | $(3,125,563) | $(1,194,417) | $(2,939,593) | $100,454 | $(1,906,468) | $38,513 | $(2,015,349) | $(1,571,413) | $(224,507) | $(914,975) | $(645,378) | $(119,540) | $(134,284) | $720,208 | $248,619 | $(15,130,699)
Total collateral |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
received |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(pledged)†## | $(1,141,123) | $— | $— | $— | $(2,453,386) | $(1,143,898) | $(2,939,593) | $100,454 | $(1,906,468) | $— | $(2,015,349) | $(1,571,413) | $(224,507) | $(881,555) | $(645,378) | $(119,540) | $(110,933) | $720,208 | $212,000 |
Net amount | $(35,362) | $(5,989) | $(264,532) | $— | $(672,177) | $(50,519) | $— | $— | $— | $38,513 | $— | $— | $— | $(33,420) | $— | $— | $(23,351) | $— | $36,619 |
Controlled |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
collateral |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
received |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(including TBA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
commitments)** | $— | $— | $— | $— | $— | $— | $— | $110,000 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $760,000 | $212,000 | $1,082,000
Uncontrolled |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
collateral |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $—
Collateral |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(pledged) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(including TBA |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
commitments)** | $(1,141,123) | $— | $— | $(741,661) | $(2,453,386) | $(1,143,898) | $(2,982,814) | $— | $(1,961,591) | $— | $(2,164,974) | $(2,155,701) | $(282,899) | $(881,555) | $(658,498) | $(130,895) | $(110,933) | $— | $— | $(16,809,928)

* 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 $317,854 and $4,430,839, respectively.

104 Master Intermediate Income Trust | Master Intermediate Income Trust 105

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 expects that the adoption of the guidance will not have a material impact on the fund’s financial statements.

106 Master Intermediate Income Trust

Shareholder meeting results (Unaudited)

April 22, 2022 annual meeting

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

Votes for | Votes against | Abstentions
27,651,550 | 694,338 | 704,669

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

| Votes for | Votes withheld
Liaquat Ahamed | 27,678,168 | 1,372,398
Ravi Akhoury† | 27,547,768 | 1,502,798
Barbara M. Baumann | 27,786,173 | 1,264,392
Katinka Domotorffy | 27,623,699 | 1,426,866
Catharine Bond Hill | 27,771,209 | 1,279,357
Paul L. Joskow† | 27,575,909 | 1,474,657
Kenneth R. Leibler | 27,789,851 | 1,260,715
Jennifer Williams Murphy†† | 27,806,388 | 1,244,177
Marie Pillai†† | 27,860,332 | 1,190,233
George Putnam, III | 27,673,895 | 1,376,670
Robert L. Reynolds | 27,768,636 | 1,281,930
Manoj P. Singh | 27,572,309 | 1,478,257
Mona K. Sutphen | 27,850,571 | 1,199,995

All tabulations are rounded to the nearest whole number.

† Mr. Akhoury and Dr. Joskow will each serve until his retirement on June 30, 2022.

†† Mses. Murphy and Pillai have been elected to your fund’s Board and will serve as Trustees beginning July 1, 2022.

Master Intermediate Income Trust 107

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

108 Master Intermediate Income Trust

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)(1) Portfolio Managers. Effective March 31, 2022, Robert Salvin was named a Portfolio Manager of the fund following the retirement of Paul D. Scanlon.

| Portfolio Managers | Joined Fund | Employer | Positions Over Past Five Years
| Robert Salvin | 2022 | Putnam Management 2000 – Present | Head of Corporate and Tax-exempt Credit Previously, Portfolio Manager

| (a)(2) Other Accounts Managed by the Fund’s Portfolio Managers.

| The following table shows the number and approximate assets of other investment accounts (or portions of investment accounts) that Robert Salvin managed as of March 31, 2022. Unless noted, none of the other accounts pays a fee based on the account’s performance.

| Portfolio Leader or Member | Other SEC-registered open-end and closed-end funds | Other accounts that pool assets from more than one client | Other accounts (including separate accounts, managed account programs and single-sponsor defined contribution plan offerings)
| Robert Salvin | 16* | $5,752,000,000 | 10 | $902,600,000 | 13 | $2,227,100,000

* | 1 accounts, with total assets of $163,800,000 pay an advisory fee based on account performance.

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

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

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

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

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

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

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

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

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

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

|  | • | Front running is strictly prohibited.

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

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

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

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

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

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

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

| (a)(3) Compensation of portfolio managers. Portfolio managers are evaluated and compensated across the group of specified products they manage, in part, based on their performance relative to peers or performance ahead of the applicable benchmark, depending on the product, based on a blend of 3-year and 5-year performance. In addition, evaluations take into account individual contributions and a subjective component.

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

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

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

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

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

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

| * : Assets in the fund

|  | Year | $0 | $0- | $10,001- | $50,001- | $100,001- | $500,001- | $1,000,001
|  |  |  | $10,000 | $50,000 | $100,000 | $500,000 | $1,000,000 | and over
| Robert Salvin | 2022+ | * |  |  |  |  |  |

| + Named Portfolio Manager effective March 31, 2022.

| 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, 2021 | — | — | — | 5,118,668
| November 1 - November 30, 2021 | — | — | — | 5,118,668
| December 1 - December 31, 2021 | — | — | — | 5,118,668
| January 1 - January 31, 2022 | — | — | — | 5,118,668
| February 1 - February 28, 2022 | 171,828 | $3.56 | 171,828 | 4,946,840
| March 1 - March 31, 2022 | 444,925 | $3.50 | 444,925 | 4,501,915

* | 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 2020, which was in effect between October 1, 2020 and September 30, 2021, allowed the fund to repurchase up to 5,122,767 of its shares. The program renewed by the Board in September 2021, which is in effect between October 1, 2021 and September 30, 2022, allows the fund to repurchase up to 5,118,668 of its shares.

** | Information prior to October 1, 2021, is based on the total number of shares eligible for repurchase under the program, as amended through September 2020. Information from October 1, 2021 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2021.

| Item 10. Submission of Matters to a Vote of Security Holders:

| Not applicable

| Item 11. Controls and Procedures:

| (a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

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

| Item 12. 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 23, 2022

| 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 23, 2022

| By (Signature and Title):

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

| Date: May 23, 2022