| 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 |
| James E. Thomas, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199 |
| Registrant’s telephone number, including area code: | (617) 292-1000 |
| Date of fiscal year end: | September 30, 2024 |
| Date of reporting period: | October 1, 2023 – March 31, 2024 |
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 | 24
Message from the Trustees
May 16, 2024
Dear Fellow Shareholder:
We are pleased to report that on January 1, 2024, Franklin Resources, Inc., a leading global asset management firm operating as Franklin Templeton, acquired Putnam Investments. With complementary capabilities and an established infrastructure serving over 150 countries, Franklin Templeton enhances Putnam’s investment, risk management, operations, and technology platforms. Together, our firms are committed to delivering strong fund performance and more choices for our investors.
We are also excited to welcome Jane E. Trust as an interested trustee to your Board of Trustees. Ms. Trust contributes over 30 years of investment management experience to The Putnam Funds, and has served as Senior Vice President, Fund Board Management, at Franklin Templeton since 2020.
As we enter this new chapter, you can rest assured that your fund continues to be actively managed by the same experienced professionals. Your investment team is exploring new and attractive opportunities for your fund while monitoring changing market conditions.
Thank you for investing with Putnam.
Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/24. 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. Ratings and portfolio credit quality will vary over time. Due to rounding, percentages may not equal 100%.
Cash and net other assets, if any, represent the market value weights of cash, derivatives, and short-term securities in the portfolio. The fund itself has not been rated by an independent rating agency.
| 2 Master Intermediate Income Trust |
Other information for shareholders
Important notice regarding share repurchase program
In September 2023, 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, 2023, up to 10% of the fund’s common shares outstanding as of September 30, 2023.
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 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, 2023, 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.
| Master Intermediate Income Trust 3 |
Important notice regarding Putnam’s privacy policy
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.
| 4 Master Intermediate Income Trust |
Summary of Putnam closed-end funds’ amended and restated dividend reinvestment plans
Putnam Managed Municipal Income Trust, Putnam Master Intermediate Income Trust, Putnam Municipal Opportunities Trust and Putnam Premier Income Trust (each, a “Fund” and collectively, the “Funds”) each offer a dividend reinvestment plan (each, a “Plan” and collectively, the “Plans”). If you participate in a Plan, all income dividends and capital gain distributions are automatically reinvested in Fund shares by the Fund’s agent, Putnam Investor Services, Inc. (the “Agent”). If you are not participating in a Plan, every month you will receive all dividends and other distributions in cash, paid by check and mailed directly to you or your intermediary.
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 5 |
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.
| 6 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, which is calculated separately for each class of shares. (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 (not required for money market funds) 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 7 |
| The fund’s portfolio 3/31/24 (Unaudited) | ||
| MORTGAGE-BACKED SECURITIES (35.3%)* | Principal amount |
Value | |
| Agency collateralized mortgage obligations (13.9%) | |||
| Federal Home Loan Mortgage Corporation | |||
| REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 | $396,988 | $79,959 | |
| REMICs Ser. 5091, Class IL, IO, 4.50%, 3/25/51 | 2,327,361 | 521,133 | |
| REMICs Ser. 5093, Class YI, IO, 4.50%, 12/25/50 | 1,760,015 | 396,144 | |
| REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 | 4,300,646 | 957,375 | |
| REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 | 2,332,585 | 535,321 | |
| REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 | 138,463 | 20,046 | |
| REMICs Ser. 5134, Class IC, IO, 4.00%, 8/25/51 | 3,434,162 | 670,520 | |
| REMICs Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46 | 1,999,582 | 413,633 | |
| REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 413,545 | 59,095 | |
| REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 | 196,058 | 13,081 | |
| Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 | 82,533 | 2,335 | |
| REMICs IFB Ser. 5011, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.815%, 9/25/50 | 3,635,433 | 438,506 | |
| REMICs IFB Ser. 4742, Class S, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.767%, 12/15/47 | 606,756 | 67,634 | |
| REMICs IFB Ser. 4839, Class WS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.667%, 8/15/56 | 2,189,241 | 260,410 | |
| REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.665%, 7/25/50 | 3,248,908 | 346,884 | |
| REMICs IFB Ser. 4945, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.615%, 1/25/50 | 2,281,447 | 221,274 | |
| Federal National Mortgage Association | |||
| REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 856,092 | 144,093 | |
| Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 | 31,993 | 5,198 | |
| REMICs Ser. 15-30, IO, 5.50%, 5/25/45 | 1,069,958 | 170,648 | |
| Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 | 89,927 | 12,314 | |
| REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 | 3,369,681 | 736,800 | |
| REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 | 121,120 | 24,646 | |
| REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 | 1,145,061 | 207,392 | |
| REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 | 333,218 | 52,598 | |
| REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 | 254,612 | 33,599 | |
| REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 | 181,984 | 20,251 | |
| REMICs Ser. 21-56, Class WI, IO, 2.50%, 9/25/51 | 6,566,492 | 864,760 | |
| REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x US 30 Day Average SOFR) + 6.29%), 0.965%, 4/25/40 | 258,532 | 25,910 | |
| REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.815%, 3/25/48 | 1,372,782 | 104,743 | |
| REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.765%, 6/25/48 | 2,376,817 | 256,949 | |
| REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.715%, 5/25/47 | 2,965,058 | 280,050 | |
| REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.715%, 10/25/41 | 8,401 | 5 | |
| REMICs IFB Ser. 20-12, Class SK, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.615%, 3/25/50 | 2,003,979 | 202,743 | |
| REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.615%, 8/25/49 | 1,328,243 | 120,354 | |
8 Master Intermediate Income Trust | |
| MORTGAGE-BACKED SECURITIES (35.3%)* cont. | Principal amount |
Value | |
| Agency collateralized mortgage obligations cont. | |||
| Federal National Mortgage Association | |||
| REMICs FRB Ser. 19-61, Class S, IO, ((-1 x US 30 Day Average SOFR) + 5.89%), 0.565%, 11/25/49 | $2,689,154 | $310,282 | |
| REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.79%), 0.465%, 10/25/41 | 597,791 | 46,571 | |
| Government National Mortgage Association | |||
| Ser. 16-42, IO, 5.00%, 2/20/46 | 798,410 | 148,269 | |
| Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 | 1,418,292 | 336,830 | |
| Ser. 14-76, IO, 5.00%, 5/20/44 | 328,446 | 64,601 | |
| Ser. 12-146, IO, 5.00%, 12/20/42 | 215,796 | 41,329 | |
| Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 | 1,035,794 | 201,716 | |
| Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 | 176,127 | 34,588 | |
| Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 | 940,202 | 193,448 | |
| Ser. 21-122, Class GI, IO, 4.50%, 11/20/47 | 3,352,815 | 675,382 | |
| Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 | 440,106 | 85,210 | |
| Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 | 389,884 | 77,364 | |
| Ser. 22-36, IO, 4.00%, 2/20/52 | 2,877,714 | 513,427 | |
| Ser. 20-13, Class AI, 4.00%, 3/20/46 | 4,483,760 | 637,260 | |
| Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 | 1,005,326 | 179,109 | |
| Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 771,622 | 139,781 | |
| Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 | 577,943 | 75,762 | |
| Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 | 1,659,272 | 242,745 | |
| Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 | 272,301 | 7,915 | |
| Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 | 217,871 | 35,771 | |
| Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 | 395,087 | 21,561 | |
| Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 189,023 | 28,812 | |
| Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 178,923 | 30,202 | |
| Ser. 21-156, IO, 3.50%, 7/20/51 | 4,007,099 | 666,769 | |
| Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 | 2,342,985 | 439,003 | |
| Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 | 378,309 | 58,066 | |
| Ser. 13-28, IO, 3.50%, 2/20/43 | 125,083 | 16,705 | |
| Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 | 205,069 | 25,545 | |
| Ser. 13-14, IO, 3.50%, 12/20/42 | 789,792 | 97,642 | |
| Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 | 832,220 | 135,952 | |
| Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 | 815,512 | 126,929 | |
| Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 | 395,984 | 62,882 | |
| Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 373,942 | 19,962 | |
| Ser. 21-59, Class IP, IO, 3.00%, 4/20/51 | 3,304,764 | 527,870 | |
| Ser. 20-175, Class NI, IO, 3.00%, 11/20/50 | 2,672,853 | 414,362 | |
| Ser. 17-H19, Class MI, IO, 2.076%, 4/20/67 W | 1,024,156 | 52,744 | |
| Ser. 16-H03, Class DI, IO, 2.047%, 12/20/65 W | 2,221,454 | 86,907 | |
| Ser. 15-H25, Class EI, IO, 1.854%, 10/20/65 W | 1,466,139 | 52,928 | |
| Ser. 15-H20, Class AI, IO, 1.828%, 8/20/65 W | 2,159,974 | 66,095 | |
| FRB Ser. 15-H08, Class CI, IO, 1.799%, 3/20/65 W | 1,062,320 | 30,489 | |
| Ser. 15-H23, Class BI, IO, 1.749%, 9/20/65 W | 2,081,381 | 56,614 | |
| Ser. 16-H14, IO, 1.674%, 6/20/66 W | 1,710,923 | 44,022 | |
| Ser. 16-H24, Class CI, IO, 1.671%, 10/20/66 W | 1,467,144 | 41,227 | |
| Ser. 13-H08, Class CI, IO, 1.629%, 2/20/63 W | 879,588 | 28,675 | |
| Ser. 14-H21, Class BI, IO, 1.544%, 10/20/64 W | 2,730,994 | 75,649 | |
Master Intermediate Income Trust 9 | |
| MORTGAGE-BACKED SECURITIES (35.3%)* cont. | Principal amount |
Value | |
| Agency collateralized mortgage obligations cont. | |||
| Government National Mortgage Association | |||
| Ser. 18-H05, Class AI, IO, 1.451%, 2/20/68 W | $1,243,080 | $54,794 | |
| Ser. 18-H05, Class BI, IO, 1.447%, 2/20/68 W | 2,343,558 | 103,332 | |
| Ser. 17-H06, Class BI, IO, 1.293%, 2/20/67 W | 2,227,663 | 66,115 | |
| Ser. 18-H02, Class EI, IO, 1.28%, 1/20/68 W | 3,391,204 | 164,857 | |
| Ser. 18-H03, Class XI, IO, 1.246%, 2/20/68 W | 2,512,133 | 120,080 | |
| IFB Ser. 23-35, Class SH, IO, ((-1 x US 30 Day Average SOFR) + 6.45%), 1.131%, 2/20/53 | 6,689,936 | 478,809 | |
| Ser. 16-H18, Class QI, IO, 1.105%, 6/20/66 W | 1,292,785 | 67,737 | |
| Ser. 17-H02, Class BI, IO, 0.962%, 1/20/67 W | 1,427,820 | 48,170 | |
| IFB Ser. 21-98, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.857%, 6/20/51 | 4,984,726 | 587,649 | |
| IFB Ser. 21-77, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.857%, 5/20/51 | 2,961,075 | 343,941 | |
| IFB Ser. 21-59, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.857%, 4/20/51 | 6,037,457 | 584,190 | |
| IFB Ser. 21-59, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.857%, 4/20/51 | 2,000,608 | 226,489 | |
| IFB Ser. 20-133, Class CS, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.857%, 9/20/50 | 2,833,056 | 326,433 | |
| Ser. 16-H22, Class AI, IO, 0.772%, 10/20/66 W | 1,947,007 | 71,640 | |
| FRB Ser. 21-116, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.759%, 11/20/47 | 2,988,366 | 340,892 | |
| IFB Ser. 14-60, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 6.07%), 0.737%, 4/20/44 | 1,577,976 | 157,971 | |
| Ser. 16-H23, Class NI, IO, 0.735%, 10/20/66 W | 5,346,081 | 221,862 | |
| IFB Ser. 20-97, Class QS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.707%, 7/20/50 | 1,821,852 | 235,129 | |
| IFB Ser. 19-5, Class SB, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.707%, 1/20/49 | 1,394,892 | 140,295 | |
| Ser. 16-H16, Class EI, IO, 0.68%, 6/20/66 W | 2,072,719 | 78,763 | |
| IFB Ser. 20-63, Class SP, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.657%, 5/20/50 | 2,016,401 | 209,985 | |
| IFB Ser. 20-63, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.657%, 4/20/50 | 2,558,402 | 273,797 | |
| IFB Ser. 19-96, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.657%, 8/20/49 | 1,965,889 | 200,206 | |
| IFB Ser. 19-83, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.657%, 7/20/49 | 1,784,628 | 174,001 | |
| IFB Ser. 19-89, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.657%, 7/20/49 | 2,291,082 | 218,784 | |
| IFB Ser. 19-152, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.607%, 12/20/49 | 1,212,698 | 119,304 | |
| IFB Ser. 19-110, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.607%, 9/20/49 | 1,906,111 | 186,560 | |
| Ser. 17-H12, Class QI, IO, 0.598%, 5/20/67 W | 1,798,890 | 68,043 | |
| Ser. 17-H08, Class NI, IO, 0.597%, 3/20/67 W | 2,773,138 | 95,396 | |
| Ser. 17-H11, Class DI, IO, 0.583%, 5/20/67 W | 1,935,047 | 102,358 | |
| IFB Ser. 20-63, Class AS, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.557%, 8/20/43 | 2,100,987 | 180,790 | |
| Ser. 15-H20, Class CI, IO, 0.513%, 8/20/65 W | 2,347,258 | 128,395 | |
10 Master Intermediate Income Trust | |
| MORTGAGE-BACKED SECURITIES (35.3%)* cont. | Principal amount |
Value | |
| Agency collateralized mortgage obligations cont. | |||
| Government National Mortgage Association | |||
| Ser. 17-H16, Class JI, IO, 0.453%, 8/20/67 W | $5,233,416 | $257,729 | |
| Ser. 16-H03, Class AI, IO, 0.432%, 1/20/66 W | 1,755,342 | 60,472 | |
| Ser. 16-H17, Class KI, IO, 0.367%, 7/20/66 W | 1,279,070 | 56,891 | |
| Ser. 15-H24, Class AI, IO, 0.363%, 9/20/65 W | 1,864,831 | 57,017 | |
| Ser. 18-H15, Class KI, IO, 0.302%, 8/20/68 W | 1,986,401 | 83,441 | |
| Ser. 15-H15, Class BI, IO, 0.256%, 6/20/65 W | 1,283,829 | 51,482 | |
| IFB Ser. 14-119, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.49%), 0.157%, 8/20/44 | 730,153 | 56,659 | |
| Ser. 16-H09, Class BI, IO, 0.105%, 4/20/66 W | 2,760,940 | 139,427 | |
| Ser. 15-H10, Class BI, IO, 0.048%, 4/20/65 W | 1,405,808 | 64,948 | |
| Ser. 16-H10, Class AI, IO, 0.032%, 4/20/66 W | 4,764,585 | 96,664 | |
| Ser. 16-H06, Class DI, IO, 0.023%, 7/20/65 W | 2,527,962 | 64,716 | |
| Ser. 17-H09, IO, 0.014%, 4/20/67 W | 2,895,396 | 85,052 | |
| Ser. 17-H16, Class IG, IO, 0.009%, 7/20/67 W | 4,476,646 | 123,234 | |
| Ser. 16-H06, Class CI, IO, 0.002%, 2/20/66 W | 2,482,418 | 47,114 | |
| 23,142,988 | |||
| Commercial mortgage-backed securities (8.5%) | |||
| Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 | 359,000 | 216,079 | |
| Benchmark Mortgage Trust 144A FRB Ser. 18-B3, Class D, 3.021%, 4/10/51 W | 277,000 | 170,342 | |
| BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44 W | 590,000 | 367,158 | |
| CD Commercial Mortgage Trust 144A Ser. 19-CD8, Class D, 3.00%, 8/15/57 | 378,000 | 198,382 | |
| CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.249%, 12/15/47 W | 409,000 | 354,330 | |
| Citigroup Commercial Mortgage Trust 144A Ser. 15-GC27, Class E, 3.00%, 2/10/48 | 391,000 | 295,285 | |
| COMM Mortgage Trust | |||
| FRB Ser. 14-CR16, Class C, 4.899%, 4/10/47 W | 441,000 | 410,094 | |
| Ser. 13-CR12, Class AM, 4.30%, 10/10/46 | 220,331 | 196,192 | |
| Ser. 15-DC1, Class B, 4.035%, 2/10/48 W | 447,000 | 417,052 | |
| COMM Mortgage Trust 144A | |||
| FRB Ser. 14-CR17, Class D, 4.784%, 5/10/47 W | 290,000 | 249,095 | |
| FRB Ser. 14-UBS3, Class D, 4.76%, 6/10/47 W | 144,000 | 78,754 | |
| Ser. 12-LC4, Class E, 4.25%, 12/10/44 | 392,000 | 72,520 | |
| FRB Ser. 13-CR7, Class D, 4.243%, 3/10/46 W | 129,370 | 120,767 | |
| Credit Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 8.468%, 9/9/24 | 252,000 | 252,704 | |
| Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 9.32%, 11/25/51 | 797,000 | 781,817 | |
| Government National Mortgage Association FRB Ser. 24-32, IO, 0.706%, 6/16/63 | 6,888,166 | 335,798 | |
| GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.537%, 2/10/46 W | 456,000 | 417,364 | |
| GS Mortgage Securities Trust 144A | |||
| FRB Ser. 14-GC24, Class D, 4.521%, 9/10/47 W | 474,000 | 258,243 | |
| FRB Ser. 13-GC13, Class D, 3.84%, 7/10/46 W | 531,000 | 259,621 | |
| Ser. 19-GC38, Class D, 3.00%, 2/10/52 | 500,000 | 375,380 | |
Master Intermediate Income Trust 11 | |
| MORTGAGE-BACKED SECURITIES (35.3%)* cont. | Principal amount |
Value | |
| Commercial mortgage-backed securities cont. | |||
| JPMBB Commercial Mortgage Securities Trust Ser. 14-C21, Class AS, 3.997%, 8/15/47 | $340,000 | $331,672 | |
| JPMBB Commercial Mortgage Securities Trust 144A | |||
| FRB Ser. 14-C18, Class D, 4.694%, 2/15/47 W | 232,000 | 188,500 | |
| FRB Ser. 14-C19, Class C19, 4.657%, 4/15/47 W | 300,000 | 296,853 | |
| FRB Ser. C14, Class D, 4.111%, 8/15/46 W | 257,000 | 171,901 | |
| FRB Ser. 14-C23, Class D, 3.98%, 9/15/47 W | 252,000 | 225,684 | |
| Ser. 13-C14, Class F, 3.598%, 8/15/46 W | 1,500,000 | 119,713 | |
| JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.383%, 9/15/50 W | 268,000 | 192,536 | |
| JPMDB Commercial Mortgage Securities Trust FRB Ser. 18-C8, Class C, 4.761%, 6/15/51 W | 270,000 | 218,609 | |
| JPMorgan Chase Commercial Mortgage Securities Trust | |||
| FRB Ser. 13-LC11, Class D, 4.116%, 4/15/46 W | 194,000 | 80,029 | |
| Ser. 13-LC11, Class B, 3.499%, 4/15/46 | 221,000 | 187,808 | |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A | |||
| FRB Ser. 11-C3, Class F, 5.526%, 2/15/46 W | 410,000 | 98,404 | |
| FRB Ser. 12-C6, Class E, 4.964%, 5/15/45 W | 163,000 | 147,332 | |
| FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 (In default) † W | 647,000 | 161,419 | |
| LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39 W | 462,989 | 1,891 | |
| Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, IO, 6.138%, 12/15/49 W | 13,487 | — | |
| Morgan Stanley Bank of America Merrill Lynch Trust | |||
| FRB Ser. 15-C25, Class C, 4.518%, 10/15/48 W | 253,000 | 222,013 | |
| FRB Ser. 15-C22, Class C, 4.193%, 4/15/48 W | 575,000 | 524,889 | |
| Ser. 14-C19, Class C, 4.00%, 12/15/47 | 211,000 | 200,257 | |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A | |||
| FRB Ser. 13-C12, Class D, 6.049%, 10/15/46 W | 416,000 | 347,870 | |
| FRB Ser. 14-C17, Class D, 4.653%, 8/15/47 W | 213,000 | 194,677 | |
| FRB Ser. 12-C6, Class E, 4.252%, 11/15/45 W | 258,000 | 123,807 | |
| FRB Ser. 13-C10, Class D, 3.942%, 7/15/46 W | 350,000 | 199,599 | |
| FRB Ser. 13-C10, Class F, 3.942%, 7/15/46 W | 975,000 | 60,591 | |
| FRB Ser. 13-C9, Class D, 3.815%, 5/15/46 W | 422,000 | 355,546 | |
| Ser. 14-C17, Class E, 3.50%, 8/15/47 | 186,000 | 162,462 | |
| Ser. 14-C18, Class D, 3.389%, 10/15/47 | 343,000 | 294,193 | |
| Morgan Stanley Capital I Trust | |||
| Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W | 168,221 | 139,239 | |
| FRB Ser. 18-H3, Class C, 4.85%, 7/15/51 W | 284,000 | 250,761 | |
| Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class D, 5.164%, 3/15/45 W | 134,554 | 125,976 | |
| Multifamily Connecticut Avenue Securities Trust 144A | |||
| FRB Ser. 20-01, Class M10, 9.185%, 3/25/50 | 698,530 | 689,843 | |
| FRB Ser. 19-01, Class M10, 8.685%, 10/25/49 | 552,570 | 543,768 | |
| Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 7.796%, 6/25/37 | 340,035 | 340,505 | |
| TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default) † | 558,952 | 6 | |
| UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.386%, 8/15/50 W | 247,000 | 204,810 | |
12 Master Intermediate Income Trust | |
| MORTGAGE-BACKED SECURITIES (35.3%)* cont. | Principal amount |
Value | |
| Commercial mortgage-backed securities cont. | |||
| Wells Fargo Commercial Mortgage Trust | |||
| FRB Ser. 16-NXS5, Class D, 4.977%, 1/15/59 W | $216,000 | $159,008 | |
| FRB Ser. 15-SG1, Class B, 4.452%, 9/15/48 W | 273,000 | 253,114 | |
| Wells Fargo Commercial Mortgage Trust 144A | |||
| FRB Ser. 15-C30, Class D, 4.494%, 9/15/58 W | 121,000 | 101,922 | |
| FRB Ser. 13-LC12, Class D, 3.949%, 7/15/46 W | 188,000 | 48,751 | |
| Ser. 14-LC16, Class D, 3.938%, 8/15/50 | 315,122 | 20,483 | |
| WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47 W | 177,000 | 165,320 | |
| WF-RBS Commercial Mortgage Trust 144A FRB Ser. 13-C15, Class D, 4.189%, 8/15/46 W | 624,000 | 247,228 | |
| 14,225,966 | |||
| Residential mortgage-backed securities (non-agency) (12.9%) | |||
| A&D Mortgage Trust 144A Ser. 24-NQM1, Class A1, 6.195%, 2/25/69 | 817,505 | 814,644 | |
| American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 5.634%, 5/25/47 | 357,983 | 204,306 | |
| BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, 5.865%, 11/27/36 W | 452,842 | 307,224 | |
| Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (CME Term SOFR 1 Month + 0.61%), 5.944%, 1/25/36 | 42,483 | 38,384 | |
| Chevy Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (CME Term SOFR 1 Month + 0.29%), 5.624%, 11/25/47 | 161,461 | 120,275 | |
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (CME Term SOFR 1 Month + 0.46%), 5.794%, 3/25/37 | 680,164 | 559,031 | |
| COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65 W | 1,000,000 | 935,908 | |
| Countrywide Alternative Loan Trust | |||
| FRB Ser. 05-38, Class A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 1.50%), 6.589%, 9/25/35 | 193,428 | 170,039 | |
| FRB Ser. 05-38, Class A3, (CME Term SOFR 1 Month + 0.81%), 6.144%, 9/25/35 | 238,017 | 208,165 | |
| FRB Ser. 05-59, Class 1A1, (CME Term SOFR 1 Month + 0.77%), 6.103%, 11/20/35 | 255,701 | 230,061 | |
| FRB Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 6.049%, 8/25/46 | 71,535 | 61,335 | |
| FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 6.029%, 6/25/46 | 186,981 | 156,697 | |
| FRB Ser. 06-OA10, Class 3A1, (CME Term SOFR 1 Month + 0.49%), 5.824%, 8/25/46 | 223,433 | 202,257 | |
| FRB Ser. 06-OA10, Class 4A1, (CME Term SOFR 1 Month + 0.49%), 5.824%, 8/25/46 | 1,454,121 | 1,249,038 | |
| FRB Ser. 06-OA7, Class 1A1, 3.522%, 6/25/46 W | 225,850 | 200,579 | |
| Federal Home Loan Mortgage Corporation | |||
| Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (US 30 Day Average SOFR + 10.61%), 15.935%, 5/25/28 | 266,070 | 293,038 | |
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (US 30 Day Average SOFR + 10.11%), 15.435%, 7/25/28 | 1,272,612 | 1,418,018 | |
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (US 30 Day Average SOFR + 9.46%), 14.785%, 4/25/28 | 567,904 | 621,754 | |
Master Intermediate Income Trust 13 | |
| MORTGAGE-BACKED SECURITIES (35.3%)* cont. | Principal amount |
Value | |
| Residential mortgage-backed securities (non-agency) cont. | |||
| Federal Home Loan Mortgage Corporation | |||
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (US 30 Day Average SOFR + 9.31%), 14.635%, 10/25/27 | $394,570 | $420,781 | |
| Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (US 30 Day Average SOFR + 8.91%), 14.235%, 3/25/28 | 384,243 | 402,728 | |
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (US 30 Day Average SOFR + 7.66%), 12.985%, 12/25/27 | 571,855 | 603,694 | |
| Federal Home Loan Mortgage Corporation 144A | |||
| Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (US 30 Day Average SOFR + 12.36%), 17.685%, 2/25/49 | 85,000 | 106,818 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 16.82%, 10/25/50 | 176,000 | 236,039 | |
| Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (US 30 Day Average SOFR + 11.36%), 16.685%, 4/25/49 | 106,000 | 129,723 | |
| Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (US 30 Day Average SOFR + 11.11%), 16.435%, 10/25/48 | 649,000 | 827,729 | |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (US 30 Day Average SOFR + 10.86%), 16.185%, 1/25/49 | 141,000 | 177,974 | |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (US 30 Day Average SOFR + 10.61%), 15.935%, 3/25/49 | 118,000 | 142,430 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (US 30 Day Average SOFR + 10.11%), 15.435%, 8/25/50 | 609,000 | 819,105 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (US 30 Day Average SOFR + 10.11%), 15.435%, 7/25/50 | 430,000 | 565,423 | |
| Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (US 30 Day Average SOFR + 7.86%), 13.185%, 9/25/48 | 174,000 | 204,504 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA3, Class B2, (US 30 Day Average SOFR + 6.25%), 11.57%, 10/25/33 | 225,000 | 259,956 | |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA4, Class B1, (US 30 Day Average SOFR + 5.36%), 10.685%, 9/25/50 | 276,224 | 304,832 | |
| Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58 W | 307,000 | 284,978 | |
| Seasoned Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56 W | 405,000 | 383,224 | |
| Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59 W | 636,000 | 561,059 | |
| Federal National Mortgage Association | |||
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (US 30 Day Average SOFR + 12.86%), 18.185%, 10/25/28 | 89,495 | 105,181 | |
| Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (US 30 Day Average SOFR + 12.36%), 17.685%, 9/25/28 | 1,110,505 | 1,299,538 | |
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.185%, 10/25/28 | 563,991 | 654,705 | |
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.185%, 8/25/28 | 365,432 | 421,011 | |
| Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, (US 30 Day Average SOFR + 10.86%), 16.185%, 1/25/29 | 119,414 | 136,976 | |
| Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (US 30 Day Average SOFR + 9.36%), 14.685%, 4/25/29 | 19,800 | 22,629 | |
14 Master Intermediate Income Trust | |
| MORTGAGE-BACKED SECURITIES (35.3%)* cont. | Principal amount |
Value | |
| Residential mortgage-backed securities (non-agency) cont. | |||
| Federal National Mortgage Association 144A | |||
| Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.82%, 1/25/42 | $180,000 | $189,563 | |
| Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (US 30 Day Average SOFR + 4.21%), 9.535%, 9/25/31 | 517,427 | 548,694 | |
| Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (US 30 Day Average SOFR + 3.76%), 9.085%, 2/25/40 | 504,000 | 529,790 | |
| Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.32%, 1/25/42 | 400,000 | 411,250 | |
| Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (US 30 Day Average SOFR + 2.56%), 7.885%, 7/25/31 | 1,662 | 1,669 | |
| GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (CME Term SOFR 1 Month + 0.47%), 5.804%, 5/25/36 | 475,455 | 109,081 | |
| GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (CME Term SOFR 1 Month + 0.42%), 5.754%, 5/25/37 | 185,206 | 102,252 | |
| HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (CME Term SOFR 1 Month + 0.63%), 5.961%, 5/19/35 | 239,548 | 74,776 | |
| Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 9.47%, 1/25/34 (Bermuda) | 150,000 | 149,000 | |
| Lehman XS Trust FRB Ser. 06-17, Class 1A4A, (CME Term SOFR 1 Month + 0.45%), 5.784%, 8/25/46 | 1,295,128 | 1,180,279 | |
| LHOME Mortgage Trust 144A Ser. 23-RTL2, Class A1, 8.00%, 6/25/28 | 254,000 | 253,028 | |
| Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (CME Term SOFR 1 Month + 0.34%), 3.409%, 2/26/37 | 185,649 | 159,078 | |
| MortgageIT Trust FRB Ser. 05-3, Class M2, (CME Term SOFR 1 Month + 0.91%), 6.239%, 8/25/35 | 31,116 | 29,171 | |
| Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (CME Term SOFR 1 Month + 0.54%), 5.874%, 5/25/46 | 193,380 | 167,274 | |
| Saluda Grade Alternative Mortgage Trust 144A Ser. 24-RTL4, Class A1, stepped-coupon 7.50% (8.50%, 7/1/26), 2/25/30 †† | 420,000 | 418,240 | |
| Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1BG, (CME Term SOFR 1 Month + 0.23%), 5.564%, 8/25/36 | 132,589 | 114,713 | |
| Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58 W | 216,000 | 191,159 | |
| WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (CME Term SOFR 1 Month + 1.09%), 6.424%, 10/25/45 | 79,885 | 75,582 | |
| 21,566,389 | |||
| Total mortgage-backed securities (cost $62,736,343) | $58,935,343 | ||
| U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (32.4%)* |
Principal amount |
Value |
| U.S. Government Guaranteed Mortgage Obligations (8.4%) | ||
| Government National Mortgage Association Pass-Through Certificates | ||
| 5.50%, TBA, 4/1/54 | $5,000,000 | $4,997,057 |
| 5.50%, 5/20/49 | 17,379 | 17,676 |
| 5.00%, 5/20/49 | 52,555 | 52,157 |
| 4.50%, TBA, 4/1/54 | 5,000,000 | 4,804,044 |
| 4.00%, TBA, 4/1/54 | 4,000,000 | 3,743,450 |
| 3.50%, with due dates from 10/20/49 to 3/20/50 | 353,520 | 321,181 |
| 13,935,565 |
Master Intermediate Income Trust 15 | |
| U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (32.4%)* cont. |
Principal amount |
Value |
| U.S. Government Agency Mortgage Obligations (24.0%) | ||
| Federal National Mortgage Association Pass-Through Certificates | ||
| 5.00%, with due dates from 1/1/49 to 8/1/49 | $55,883 | $55,028 |
| 4.50%, 5/1/49 | 8,217 | 7,934 |
| Uniform Mortgage-Backed Securities | ||
| 6.50%, TBA, 4/1/54 | 15,000,000 | 15,322,266 |
| 6.00%, TBA, 4/1/54 | 22,000,000 | 22,208,828 |
| 3.50%, TBA, 4/1/54 | 1,000,000 | 894,727 |
| 3.00%, TBA, 4/1/54 | 1,000,000 | 860,547 |
| 2.50%, TBA, 4/1/54 | 1,000,000 | 826,602 |
| 40,175,932 | ||
| Total U.S. government and agency mortgage obligations (cost $54,012,963) | $54,111,497 | |
| CORPORATE BONDS AND NOTES (20.4%)* | Principal amount |
Value | |
| Basic materials (1.9%) | |||
| ATI, Inc. sr. unsec. notes 4.875%, 10/1/29 | $255,000 | $239,954 | |
| Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 | 260,000 | 241,211 | |
| Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 | 240,000 | 243,549 | |
| Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 | 267,000 | 240,575 | |
| Constellium SE company guaranty sr. unsec. unsub. notes Ser. REGS, 3.125%, 7/15/29 (France) | EUR | 300,000 | 299,125 |
| HTA Group, Ltd./Mauritius company guaranty sr. unsec. notes Ser. REGS, 7.00%, 12/18/25 (Tanzania) | $200,000 | 199,000 | |
| HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) | 245,000 | 242,184 | |
| IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) | 500,000 | 437,500 | |
| Olympus Water US Holding Corp. 144A sr. notes 9.75%, 11/15/28 | 255,000 | 271,630 | |
| Resideo Funding, Inc. 144A company guaranty sr. unsec. unsub. notes 4.00%, 9/1/29 | 280,000 | 250,357 | |
| Smyrna Ready Mix Concrete, LLC 144A sr. notes 8.875%, 11/15/31 | 200,000 | 213,000 | |
| WR Grace Holdings, LLC 144A sr. notes 7.375%, 3/1/31 | 230,000 | 232,300 | |
| 3,110,385 | |||
| Capital goods (1.4%) | |||
| Benteler International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria) | 520,000 | 559,650 | |
| Boeing Co. (The) sr. unsec. notes 2.70%, 2/1/27 | 137,000 | 126,191 | |
| Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 | EUR | 240,000 | 256,946 |
| GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) | $263,000 | 247,336 | |
| Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 | 235,000 | 209,078 | |
| Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC 144A company guaranty sr. notes 4.00%, 10/15/27 | 260,000 | 242,537 | |
| Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 | 226,000 | 235,605 | |
| Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 | 90,000 | 82,406 | |
| Spirit AeroSystems, Inc. 144A sr. unsub. notes 9.375%, 11/30/29 | 93,000 | 101,443 | |
16 Master Intermediate Income Trust | |
| CORPORATE BONDS AND NOTES (20.4%)* cont. | Principal amount |
Value | |
| Capital goods cont. | |||
| TransDigm, Inc. 144A sr. notes 6.875%, 12/15/30 | $190,000 | $193,685 | |
| TransDigm, Inc. 144A sr. notes 6.625%, 3/1/32 | 65,000 | 65,669 | |
| 2,320,546 | |||
| Communication services (1.6%) | |||
| American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27 R | 410,000 | 383,943 | |
| AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 | 410,000 | 397,494 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32 | 660,000 | 538,642 | |
| CSC Holdings, LLC 144A company guaranty sr. unsec. notes 5.50%, 4/15/27 | 295,000 | 263,940 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 3.375%, 4/15/29 | 825,000 | 762,985 | |
| Vmed O2 UK Financing I PLC sr. notes Ser. REGS, 3.25%, 1/31/31 (United Kingdom) | EUR | 275,000 | 261,610 |
| 2,608,614 | |||
| Consumer cyclicals (4.6%) | |||
| Banijay Entertainment SASU 144A sr. notes 8.125%, 5/1/29 (France) | $200,000 | 206,278 | |
| Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 | 548,000 | 559,781 | |
| Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 | 265,000 | 243,521 | |
| Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 | 232,000 | 238,145 | |
| Carnival Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda) | 257,000 | 280,351 | |
| Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 | 270,000 | 255,596 | |
| Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 7.875%, 4/1/30 | 200,000 | 199,000 | |
| Crocs, Inc. 144A company guaranty sr. unsec. notes 4.125%, 8/15/31 | 290,000 | 251,265 | |
| Dufry One BV company guaranty sr. unsec. notes Ser. REGS, 3.375%, 4/15/28 (Netherlands) | EUR | 255,000 | 264,829 |
| iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 | $280,000 | 238,864 | |
| Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 | 275,000 | 247,156 | |
| Levi Strauss & Co. sr. unsec. notes 3.375%, 3/15/27 | EUR | 305,000 | 322,965 |
| Light & Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 | $535,000 | 549,213 | |
| Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 | 280,000 | 247,722 | |
| Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 | 265,000 | 243,954 | |
| McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 | 270,000 | 254,329 | |
| Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 | 120,000 | 113,469 | |
| News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 | 265,000 | 242,330 | |
| Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27 | 255,000 | 245,427 | |
| Penn Entertainment, Inc. 144A sr. unsec. notes 4.125%, 7/1/29 | 285,000 | 245,086 | |
| Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 | 220,000 | 235,964 | |
| Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 6.25%, 3/15/32 | 25,000 | 25,199 | |
Master Intermediate Income Trust 17 | |
| CORPORATE BONDS AND NOTES (20.4%)* cont. | Principal amount |
Value | |
| Consumer cyclicals cont. | |||
| Standard Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26 | EUR | 270,000 | $272,466 |
| Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 | $285,000 | 256,157 | |
| Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 | 592,000 | 565,342 | |
| Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 | 244,000 | 241,277 | |
| Verisure Midholding AB company guaranty sr. unsec. notes Ser. REGS, 5.25%, 2/15/29 (Sweden) | EUR | 595,000 | 621,920 |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. unsub. notes 7.125%, 2/15/31 | $70,000 | 72,450 | |
| 7,740,056 | |||
| Consumer staples (1.3%) | |||
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 | 271,000 | 243,245 | |
| Aramark Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 253,000 | 244,189 | |
| Avis Budget Finance PLC company guaranty sr. unsec. notes Ser. REGS, 7.25%, 7/31/30 | EUR | 185,000 | 198,829 |
| Avis Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30 | EUR | 110,000 | 118,223 |
| Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 | $250,000 | 245,547 | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 3.00%, 2/2/29 | 110,000 | 97,399 | |
| Loxam SAS company guaranty sr. notes Ser. EMTN, 6.375%, 5/15/28 (France) | EUR | 230,000 | 257,542 |
| Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 | $275,000 | 244,679 | |
| US Foods, Inc. 144A company guaranty sr. unsec. notes 4.75%, 2/15/29 | 255,000 | 242,060 | |
| VM Consolidated, Inc. 144A company guaranty sr. unsec. notes 5.50%, 4/15/29 | 256,000 | 245,424 | |
| 2,137,137 | |||
| Energy (3.5%) | |||
| Antero Resources Corp. 144A sr. unsec. notes 5.375%, 3/1/30 | 250,000 | 240,095 | |
| Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 | 233,000 | 233,088 | |
| Civitas Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31 | 520,000 | 556,431 | |
| Ecopetrol SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia) | 530,000 | 560,598 | |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 246,000 | 247,994 | |
| Energo-Pro a.s. 144A sr. unsec. notes 11.00%, 11/2/28 (Czech Republic) | 300,000 | 327,741 | |
| EnLink Midstream, LLC 144A company guaranty sr. unsec. unsub. notes 6.50%, 9/1/30 | 245,000 | 252,062 | |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 | 270,000 | 248,105 | |
| Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 | 250,000 | 244,532 | |
| Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/28 | 198,000 | 201,274 | |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 6.50%, 7/3/33 (Brazil) | 146,000 | 148,367 | |
18 Master Intermediate Income Trust | |
| CORPORATE BONDS AND NOTES (20.4%)* cont. | Principal amount |
Value | |
| Energy cont. | |||
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) | $409,000 | $404,550 | |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) | 686,000 | 550,175 | |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) | 114,000 | 94,807 | |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.49%, 1/23/27 (Mexico) | 220,000 | 207,507 | |
| Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 | 257,000 | 240,506 | |
| SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 | 242,000 | 243,037 | |
| Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 | 255,000 | 247,665 | |
| Venture Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31 | 530,000 | 546,573 | |
| 5,795,107 | |||
| Financials (2.4%) | |||
| Air Lease Corp. sr. unsec. sub. notes 5.85%, 12/15/27 | 450,000 | 456,941 | |
| Aircastle, Ltd. 144A sr. unsec. notes 5.25%, 8/11/25 | 205,000 | 203,188 | |
| Ares Capital Corp. sr. unsec. sub. notes 7.00%, 1/15/27 | 410,000 | 421,783 | |
| Bank of America Corp. sr. unsec. notes 6.204%, 11/10/28 | 430,000 | 444,816 | |
| Bank of Nova Scotia (The) sr. unsec. unsub. notes 5.35%, 12/7/26 (Canada) | 260,000 | 261,324 | |
| Ford Motor Co. sr. unsec. unsub. notes 5.80%, 3/5/27 | 210,000 | 210,777 | |
| JPMorgan Chase & Co. sr. unsec. unsub. notes 6.07%, 10/22/27 | 820,000 | 836,668 | |
| Morgan Stanley sr. unsec. notes 5.123%, 2/1/29 | 405,000 | 404,013 | |
| Protective Life Global Funding 144A 5.467%, 12/8/28 | 265,000 | 269,749 | |
| Toronto-Dominion Bank (The) sr. unsec. notes 5.264%, 12/11/26 (Canada) | 145,000 | 145,941 | |
| UBS Group AG 144A sr. unsec. bonds 5.428%, 2/8/30 (Switzerland) | 200,000 | 200,296 | |
| Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 5.574%, 7/25/29 | 205,000 | 207,430 | |
| 4,062,926 | |||
| Health care (1.5%) | |||
| Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 | 274,000 | 243,860 | |
| Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 | 55,000 | 50,050 | |
| Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 | 235,000 | 238,288 | |
| Organon & Co./Organon Foreign Debt Co-Issuer BV 144A company guaranty sr. notes 4.125%, 4/30/28 | 265,000 | 246,951 | |
| Pharmacia, LLC company guaranty sr. unsec. notes 6.60%, 12/1/28 | 430,000 | 461,843 | |
| Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 | 280,000 | 248,068 | |
| Tenet Healthcare Corp. 144A company guaranty sr. notes 6.75%, 5/15/31 | 540,000 | 549,844 | |
| Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel) | 449,000 | 492,216 | |
| 2,531,120 | |||
| Technology (0.8%) | |||
| Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 | 275,000 | 242,023 | |
| Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 | 205,000 | 198,733 | |
| Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 273,000 | 255,979 | |
Master Intermediate Income Trust 19 | |
| CORPORATE BONDS AND NOTES (20.4%)* cont. | Principal amount |
Value | |
| Technology cont. | |||
| NCR Voyix Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 4/15/29 | $265,000 | $245,775 | |
| Seagate HDD Cayman company guaranty sr. unsec. notes 9.625%, 12/1/32 (Cayman Islands) | 156,000 | 177,730 | |
| Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 | 275,000 | 247,341 | |
| 1,367,581 | |||
| Transportation (0.1%) | |||
| Air France-KLM sr. unsec. notes 8.125%, 5/31/28 (France) | EUR | 200,000 | 242,987 |
| 242,987 | |||
| Utilities and power (1.3%) | |||
| Aegea Finance SARL 144A company guaranty sr. unsec. notes 9.00%, 1/20/31 (Brazil) | $240,000 | 254,100 | |
| Ameren Corp. sr. unsec. unsub. notes 5.00%, 1/15/29 | 170,000 | 169,070 | |
| Diamond II, Ltd. 144A company guaranty sr. notes 7.95%, 7/28/26 (India) | 560,000 | 568,400 | |
| Georgia Power Co. sr. unsec. unsub. notes 5.004%, 2/23/27 | 145,000 | 145,174 | |
| Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/1/29 | 250,000 | 248,972 | |
| PG&E Corp. sr. sub. notes 5.25%, 7/1/30 | 265,000 | 251,812 | |
| Southern Co. (The) sr. unsec. notes 5.50%, 3/15/29 | 260,000 | 264,942 | |
| Vistra Operations Co., LLC 144A company guaranty sr. unsec. unsub. notes 4.375%, 5/1/29 | 270,000 | 250,124 | |
| 2,152,594 | |||
| Total corporate bonds and notes (cost $33,653,797) | $34,069,053 | ||
| FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.3%)* |
Principal amount |
Value | |
| Argentine (Republic of) sr. unsec. unsub. bonds 3.625%, 7/9/35 (Argentina) | $450,000 | $186,789 | |
| Argentine (Republic of) sr. unsec. unsub. notes 0.75%, 7/9/30 (Argentina) | 380,000 | 199,234 | |
| Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin) | EUR | 310,000 | 270,906 |
| Benin (Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/19/32 (Benin) | EUR | 630,000 | 571,852 |
| Brazil (Federal Republic of) sr. unsec. unsub. notes 6.125%, 3/15/34 (Brazil) | $1,060,000 | 1,048,294 | |
| Brazil (Federal Republic of) sr. unsec. unsub. notes 6.00%, 10/20/33 (Brazil) | 200,000 | 197,976 | |
| Chile (Republic of) sr. unsec. unsub. notes 4.95%, 1/5/36 (Chile) | 600,000 | 579,908 | |
| Colombia (Republic of) sr. unsec. unsub. notes 8.00%, 11/14/35 (Colombia) | 560,000 | 587,903 | |
| Costa Rica (Government of) sr. unsec. unsub. notes Ser. REGS, 6.125%, 2/19/31 (Costa Rica) | 320,000 | 323,630 | |
| Cote d’lvoire (Republic of) sr. unsec. notes Ser. REGS, 5.875%, 10/17/31 (Cote d’lvoire) | EUR | 945,000 | 940,429 |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) | $336,000 | 338,943 | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic) | 180,000 | 178,725 | |
20 Master Intermediate Income Trust | |
| FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (8.3%)* cont. |
Principal amount |
Value | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) | $284,000 | $282,567 | |
| Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) | 420,000 | 386,925 | |
| Gabon (Republic of) sr. unsec. notes Ser. REGS, 6.625%, 2/6/31 (Gabon) | 370,000 | 315,425 | |
| Indonesia (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.35%, 1/8/27 (Indonesia) | 250,000 | 245,643 | |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) | 410,000 | 402,847 | |
| Kenya (Republic of) 144A sr. unsec. notes 9.75%, 2/16/31 (Kenya) | 320,000 | 327,200 | |
| Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia) | 270,000 | 261,900 | |
| Panama (Republic of) sr. unsec. unsub. bonds 7.50%, 3/1/31 (Panama) | 730,000 | 755,550 | |
| Paraguay (Republic of) sr. unsec. notes Ser. REGS, 3.849%, 6/28/33 (Paraguay) | 440,000 | 383,688 | |
| Philippines (Republic of) sr. unsec. unsub. notes 3.556%, 9/29/32 (Philippines) | 400,000 | 358,888 | |
| Romania (Government of) sr. unsec. unsub. notes 7.125%, 1/17/33 (Romania) | 420,000 | 449,014 | |
| Romania (Government of) 144A sr. unsec. notes 6.375%, 1/30/34 (Romania) | 530,000 | 536,858 | |
| Serbia (Republic of) sr. unsec. notes 6.25%, 5/26/28 (Serbia) | 430,000 | 438,063 | |
| Serbia (Republic of) sr. unsec. notes Ser. REGS, 6.50%, 9/26/33 (Serbia) | 370,000 | 377,400 | |
| South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 6/22/30 (South Africa) | 600,000 | 555,000 | |
| Turkey (Republic of) sr. unsec. unsub. notes 9.125%, 7/13/30 (Turkey) | 300,000 | 324,750 | |
| United Mexican States sr. unsec. unsub. bonds 3.50%, 2/12/34 (Mexico) | 1,250,000 | 1,039,646 | |
| Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) | 910,000 | 902,264 | |
| Total foreign government and agency bonds and notes (cost $13,605,200) | $13,768,217 | ||
| SENIOR LOANS (5.8%)*c | Principal amount |
Value | |
| Basic materials (0.3%) | |||
| Nouryon Finance BV bank term loan FRN (EURIBOR 3 Month ACT/360 + 4.25%), 8.178%, 4/3/28 (Netherlands) | EUR | 200,000 | $215,164 |
| Quikrete Holdings, Inc. bank term loan FRN Ser. B1, (CME Term SOFR 1 Month + 2.75%), 8.195%, 3/18/29 | $204,478 | 204,478 | |
| 419,642 | |||
| Capital goods (0.7%) | |||
| Chart Industries, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.673%, 3/17/30 | 430,086 | 430,624 | |
| CPM Holdings, Inc. bank term loan FRN (CME Term SOFR 1 Month + 4.50%), 9.826%, 9/22/28 | 124,000 | 124,045 | |
| Emerald Debt Merger Sub, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.50%), 7.791%, 5/31/30 | 157,350 | 157,192 | |
Master Intermediate Income Trust 21 | |
| SENIOR LOANS (5.8%)*c cont. | Principal amount |
Value | |
| Capital goods cont. | |||
| Madison IAQ, LLC bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.693%, 6/15/28 | $199,487 | $199,072 | |
| TK Elevator US Newco, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 8.821%, 4/11/30 | 133,531 | 133,921 | |
| TransDigm, Inc. bank term loan FRN Ser. J, (CME Term SOFR 1 Month + 3.25%), 8.598%, 2/28/31 | 119,700 | 120,255 | |
| 1,165,109 | |||
| Communication services (0.3%) | |||
| CSC Holdings, LLC bank term loan FRN (CME Term SOFR 1 Month + 2.50%), 7.94%, 4/15/27 | 210,000 | 188,662 | |
| DIRECTV Financing, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 5.25%), 10.695%, 8/2/29 | 244,892 | 244,503 | |
| 433,165 | |||
| Consumer cyclicals (1.7%) | |||
| APi Group DE, Inc. bank term loan FRN (CME Term SOFR 1 Month + 2.50%), 7.942%, 1/3/29 | 90,000 | 90,131 | |
| AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 1 Month + 3.75%), 9.08%, 10/19/27 | 470,000 | 471,222 | |
| Banijay Group US Holding, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.572%, 3/1/28 | 89,773 | 89,792 | |
| Caesars Entertainment, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.041%, 1/24/31 | 220,000 | 220,000 | |
| Carnival Corp. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.695%, 10/18/28 | 463,814 | 463,911 | |
| Flutter Financing BV bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.25%), 7.559%, 11/18/30 | 109,725 | 109,666 | |
| Gray Television, Inc. bank term loan FRN Ser. D, (CME Term SOFR 1 Month + 3.00%), 8.44%, 10/27/28 | 238,173 | 222,691 | |
| Hunter Douglas, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.50%), 8.824%, 2/25/29 | 199,492 | 196,843 | |
| Neptune Bidco US, Inc. bank term loan FRN Class C, (CME Term SOFR 1 Month + 5.00%), 10.423%, 4/11/29 | 159,000 | 146,388 | |
| PetSmart, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.18%, 1/29/28 | 618,243 | 616,055 | |
| PG Investment Co. 59 SARL bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 8.824%, 2/23/31 (Luxembourg) | 90,000 | 90,113 | |
| Robertshaw US Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 8.00%), 13.313%, 2/28/27 | 74,000 | 1,480 | |
| Scientific Games Holdings LP bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.25%), 8.58%, 4/4/29 | 204,481 | 204,317 | |
| Station Casinos, LLC bank term loan FRN (CME Term SOFR 1 Month + 2.25%), 7.575%, 3/7/31 | 50,000 | 49,904 | |
| 2,972,513 | |||
| Consumer staples (0.2%) | |||
| IRB Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 2.75%), 8.177%, 12/15/27 | 267,868 | 267,809 | |
| 267,809 | |||
| Energy (0.4%) | |||
| CQP Holdco LP bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 8.32%, 12/31/30 | 693,048 | 695,030 | |
| 695,030 | |||
22 Master Intermediate Income Trust | |
| SENIOR LOANS (5.8%)*c cont. | Principal amount |
Value | |
| Financials (0.2%) | |||
| Alliant Holdings Intermediate, LLC bank term loan FRN Ser. B6, (CME Term SOFR 1 Month + 3.50%), 8.827%, 11/6/30 | $199,499 | $200,247 | |
| WEC US Holdings, Ltd. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.079%, 1/20/31 | 200,000 | 199,710 | |
| 399,957 | |||
| Health care (0.7%) | |||
| Bausch + Lomb Corp. bank term loan FRN (CME Term SOFR 1 Month + 4.00%), 9.33%, 9/29/28 | 125,684 | 125,449 | |
| Bausch + Lomb Corp. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.677%, 5/5/27 | 79,797 | 78,760 | |
| Medline Borrower LP bank term loan FRN (CME Term SOFR 1 Month + 3.00%), 8.441%, 9/30/28 | 190,491 | 190,900 | |
| Pacific Dental Services, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.575%, 3/10/31 | 180,000 | 179,626 | |
| Phoenix Guarantor, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.579%, 2/13/31 | 205,000 | 202,210 | |
| Phoenix Newco, Inc. bank term loan FRN (CME Term SOFR 3 Month + 3.25%), 8.579%, 8/11/28 | 253,063 | 253,549 | |
| Waystar Technologies, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 9.33%, 10/31/29 | 175,000 | 175,263 | |
| 1,205,757 | |||
| Technology (0.9%) | |||
| Ahead DB Holdings, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.75%), 9.159%, 10/16/27 | 238,163 | 238,035 | |
| AppLovin Corp. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.50%), 7.83%, 8/19/30 | 90,000 | 89,888 | |
| Cloud Software Group, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.909%, 3/30/29 | 242,830 | 241,546 | |
| Dun & Bradstreet Corp. (The) bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.082%, 1/18/29 | 200,000 | 199,906 | |
| Genesys Cloud Services Holdings, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.079%, 12/1/27 | 205,000 | 205,642 | |
| Proofpoint, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.25%), 8.695%, 6/9/28 | 238,173 | 238,175 | |
| UKG, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 8.814%, 1/31/31 | 210,000 | 210,998 | |
| 1,424,190 | |||
| Transportation (0.4%) | |||
| American Airlines, Inc. bank term loan FRN (CME Term SOFR 3 Month + 4.75%), 10.329%, 4/20/28 | 453,889 | 470,846 | |
| WestJet Loyalty LP bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.057%, 2/14/31 | 170,000 | 169,859 | |
| 640,705 | |||
| Total senior loans (cost $9,684,254) | $9,623,877 | ||
| CONVERTIBLE BONDS AND NOTES (3.0%)* | Principal amount |
Value | |
| Capital goods (0.2%) | |||
| Axon Enterprise, Inc. company guaranty cv. sr. unsec. notes 0.50%, 12/15/27 | $70,000 | $101,714 | |
| Fluor Corp. 144A cv. sr. unsec. notes 1.125%, 8/15/29 | 23,000 | 25,864 | |
Master Intermediate Income Trust 23 | |
| CONVERTIBLE BONDS AND NOTES (3.0%)* cont. | Principal amount |
Value | |
| Capital goods cont. | |||
| Granite Construction, Inc. 144A cv. sr. unsec. notes 3.75%, 5/15/28 | $31,000 | $42,532 | |
| Middleby Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25 | 57,000 | 74,870 | |
| Tetra Tech, Inc. 144A cv. sr. unsec. notes 2.25%, 8/15/28 | 81,000 | 88,849 | |
| 333,829 | |||
| Communication services (—%) | |||
| Liberty Broadband Corp. 144A cv. sr. unsec. notes 3.125%, 3/31/53 | 54,000 | 51,100 | |
| 51,100 | |||
| Consumer cyclicals (0.5%) | |||
| Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 | 62,000 | 51,677 | |
| Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 | 41,000 | 79,130 | |
| Carnival Corp. company guaranty cv. sr. unsec. unsub. notes 5.75%, 12/1/27 | 64,000 | 96,320 | |
| DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 | 83,000 | 71,588 | |
| Global Payments, Inc. 144A cv. sr. unsec. notes 1.50%, 3/1/31 | 99,000 | 104,643 | |
| Liberty Media Corp.-Liberty Formula One cv. sr. unsec. notes 2.25%, 8/15/27 | 96,000 | 98,176 | |
| Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29 | 122,000 | 146,327 | |
| NCL Corp., Ltd. company guaranty cv. sr. unsec. notes 5.375%, 8/1/25 | 40,000 | 52,280 | |
| Patrick Industries, Inc. company guaranty cv. sr. unsec. notes 1.75%, 12/1/28 | 41,000 | 52,930 | |
| Rivian Automotive, Inc. cv. sr. unsec. sub. notes 4.625%, 3/15/29 | 55,000 | 44,028 | |
| Shift4 Payments, Inc. cv. sr. unsec. sub. notes 0.50%, 8/1/27 | 72,000 | 66,780 | |
| 863,879 | |||
| Consumer staples (0.4%) | |||
| Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 | 42,000 | 39,057 | |
| Chefs’ Warehouse, Inc. (The) cv. sr. unsec. unsub. notes 2.375%, 12/15/28 | 34,000 | 37,213 | |
| Etsy, Inc. cv. sr. unsec. notes 0.25%, 6/15/28 | 120,000 | 94,500 | |
| Lyft, Inc. 144A cv. sr. unsec. sub. notes 0.625%, 3/1/29 | 45,000 | 52,565 | |
| Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 | 62,000 | 56,149 | |
| Uber Technologies, Inc. 144A cv. sr. unsec. notes 0.875%, 12/1/28 | 89,000 | 110,093 | |
| Wayfair, Inc. cv. sr. unsec. unsub. notes 3.25%, 9/15/27 | 79,000 | 103,885 | |
| Zillow Group, Inc. cv. sr. unsec. sub. notes 1.375%, 9/1/26 | 100,000 | 123,188 | |
| 616,650 | |||
| Energy (0.1%) | |||
| Nabors Industries, Inc. company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29 | 62,000 | 46,655 | |
| Northern Oil and Gas, Inc. cv. sr. unsec. notes 3.625%, 4/15/29 | 71,000 | 86,443 | |
| 133,098 | |||
| Financials (0.1%) | |||
| Welltower OP, LLC 144A company guaranty cv. sr. unsec. notes 2.75%, 5/15/28 R | 110,000 | 122,441 | |
| 122,441 | |||
| Health care (0.5%) | |||
| Alnylam Pharmaceuticals, Inc. cv. sr. unsec. unsub. notes 1.00%, 9/15/27 | 49,000 | 46,054 | |
| BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 | 57,000 | 56,219 | |
24 Master Intermediate Income Trust | |
| CONVERTIBLE BONDS AND NOTES (3.0%)* cont. | Principal amount |
Value | |
| Health care cont. | |||
| BridgeBio Pharma, Inc. cv. sr. unsec. notes 2.50%, 3/15/27 | $36,000 | $38,569 | |
| CONMED Corp. cv. sr. unsec. notes 2.25%, 6/15/27 | 66,000 | 60,311 | |
| Dexcom, Inc. 144A cv. sr. unsec. unsub. notes 0.375%, 5/15/28 | 141,000 | 151,033 | |
| Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 | 124,000 | 114,316 | |
| Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 | 72,000 | 74,844 | |
| Integer Holdings Corp. cv. sr. unsec. unsub. notes 2.125%, 2/15/28 | 54,000 | 77,922 | |
| Lantheus Holdings, Inc. company guaranty cv. sr. unsec. unsub. notes 2.625%, 12/15/27 | 67,000 | 74,102 | |
| Repligen Corp. 144A cv. sr. unsec. notes 1.00%, 12/15/28 | 43,000 | 48,149 | |
| Sarepta Therapeutics, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/15/27 | 21,000 | 24,530 | |
| Shockwave Medical, Inc. 144A cv. sr. unsec. notes 1.00%, 8/15/28 | 50,000 | 63,875 | |
| 829,924 | |||
| Technology (1.0%) | |||
| Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 | 107,000 | 112,618 | |
| Altair Engineering, Inc. cv. sr. unsec. sub. notes 1.75%, 6/15/27 | 51,000 | 66,810 | |
| Bentley Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27 | 72,000 | 64,572 | |
| Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 | 27,000 | 38,043 | |
| Dropbox, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 | 60,000 | 55,988 | |
| Envestnet, Inc. company guaranty cv. sr. unsec. notes 2.625%, 12/1/27 | 65,000 | 68,673 | |
| Evolent Health, Inc. 144A cv. sr. unsec. notes 3.50%, 12/1/29 | 16,000 | 18,352 | |
| HubSpot, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 | 40,000 | 89,680 | |
| Impinj, Inc. cv. sr. unsec. notes 1.125%, 5/15/27 | 36,000 | 48,622 | |
| Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 | 98,000 | 85,979 | |
| MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 | 19,000 | 33,263 | |
| Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 | 118,000 | 108,088 | |
| ON Semiconductor Corp. company guaranty cv. sr. unsec. notes 0.50%, 3/1/29 | 88,000 | 86,592 | |
| Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 | 10,000 | 28,540 | |
| Parsons Corp. 144A cv. sr. unsec. notes 2.625%, 3/1/29 | 46,000 | 49,795 | |
| Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 | 72,000 | 68,796 | |
| Progress Software Corp. cv. sr. unsec. notes 1.00%, 4/15/26 | 48,000 | 49,680 | |
| Progress Software Corp. 144A cv. sr. unsec. sub. notes 3.50%, 3/1/30 | 48,000 | 48,600 | |
| Seagate HDD Cayman 144A company guaranty cv. sr. unsec. notes 3.50%, 6/1/28 (Cayman Islands) | 105,000 | 133,508 | |
| Snap, Inc. cv. sr. unsec. notes zero %, 5/1/27 | 77,000 | 62,085 | |
| Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 | 52,000 | 47,736 | |
| Super Micro Computer, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/1/29 | 69,000 | 76,554 | |
| Tyler Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26 | 90,000 | 90,405 | |
| Wolfspeed, Inc. cv. sr. unsec. notes 1.875%, 12/1/29 | 82,000 | 45,764 | |
| Workiva, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 8/15/28 | 93,000 | 86,351 | |
| Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 | 23,000 | 31,336 | |
| 1,696,430 | |||
Master Intermediate Income Trust 25 | |
| CONVERTIBLE BONDS AND NOTES (3.0%)* cont. | Principal amount |
Value | |
| Utilities and power (0.2%) | |||
| CMS Energy Corp. 144A cv. sr. unsec. notes 3.375%, 5/1/28 | $51,000 | $50,159 | |
| NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 | 75,000 | 124,088 | |
| PG&E Corp. 144A cv. sr. notes 4.25%, 12/1/27 | 48,000 | 48,216 | |
| Southern Co. (The) cv. sr. unsec. unsub. notes 3.875%, 12/15/25 | 59,000 | 58,705 | |
| 281,168 | |||
| Total convertible bonds and notes (cost $4,970,324) | $4,928,519 | ||
| ASSET-BACKED SECURITIES (0.8%)* | Principal amount |
Value | |
| Mello Warehouse Securitization Trust 144A | |||
| FRB Ser. 21-3, Class E, (CME Term SOFR 1 Month + 3.36%), 8.694%, 10/22/24 | $585,000 | $582,813 | |
| FRB Ser. 21-3, Class D, (CME Term SOFR 1 Month + 2.11%), 7.444%, 10/22/24 | 500,000 | 498,563 | |
| NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class F, (CME Term SOFR 1 Month + 5.36%), 10.694%, 5/7/24 | 190,667 | 190,639 | |
| Total asset-backed securities (cost $1,210,700) | $1,272,015 | ||
| U.S. TREASURY OBLIGATIONS (0.2%)* | Principal amount |
Value |
| U.S. Treasury Notes | ||
| 1.875%, 2/28/27 i | $143,000 | $133,286 |
| 1.625%, 5/15/31 i | 216,000 | 183,369 |
| Total U.S. treasury obligations (cost $316,655) | $316,655 | |
| SHORT-TERM INVESTMENTS (25.0%)* | Principal amount/ shares |
Value | |
| Putnam Short Term Investment Fund Class P 5.50% L | Shares | 14,146,136 | $14,146,136 |
| Putnam Government Money Market Fund Class P 5.03% L | Shares | 22,463,684 | 22,463,684 |
| State Street Institutional U.S. Government Money Market Fund, Premier Class 5.26% P | Shares | 1,236,000 | 1,236,000 |
| Bedford Row Funding Corp. asset-backed commercial paper 5.341%, 4/9/24 | $750,000 | 748,668 | |
| BNP Paribas SA/New York, NY commercial paper 5.423%, 8/2/24 (France) | 750,000 | 736,105 | |
| BPCE SA commercial paper 5.412%, 8/13/24 (France) | 750,000 | 734,855 | |
| Totalenergies Capital SA commercial paper 5.362%, 4/23/24 (France) | 750,000 | 747,099 | |
| U.S. Treasury Bills 5.391%, 5/23/24 # ∆ | 800,000 | 793,933 | |
| U.S. Treasury Bills 5.380%, 6/25/24 ∆ | 100,000 | 98,779 | |
| Total short-term investments (cost $41,706,780) | $41,705,259 | ||
| TOTAL INVESTMENTS | ||
| Total investments (cost $221,897,016) | $218,730,435 | |
26 Master Intermediate Income Trust | |
| Key to holding’s currency abbreviations | |||
| AUD | Australian Dollar | ||
| BRL | Brazilian Real | ||
| CAD | Canadian Dollar | ||
| CHF | Swiss Franc | ||
| CNY | Chinese Yuan (Onshore) | ||
| CLP | Chilean Peso | ||
| COP | Colombian Peso | ||
| CZK | Czech Koruna | ||
| EUR | Euro | ||
| GBP | British Pound | ||
| HUF | Hungarian Forint | ||
| ILS | Israeli Shekel | ||
| INR | Indian Rupee | ||
| KRW | South Korean Won | ||
| MXN | Mexican Peso | ||
| NOK | Norwegian Krone | ||
| NZD | New Zealand Dollar | ||
| PLN | Polish Zloty | ||
| SEK | Swedish Krona | ||
| SGD | Singapore Dollar | ||
| THB | Thai Baht | ||
| ZAR | South African Rand | ||
| Key to holding’s abbreviations | |||
| CME | Chicago Mercantile Exchange | ||
| 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 | ||
| MTN | Medium Term Notes | ||
| 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. | ||
| REMICs | Real Estate Mortgage Investment Conduits | ||
| SOFR | Secured Overnight Financing Rate | ||
| TBA | To Be Announced Commitments | ||
Master Intermediate Income Trust 27 | |
| 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, 2023 through March 31, 2024 (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 Franklin Resources, Inc., and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures. | |||
| * | Percentages indicated are based on net assets of $166,787,528. | ||
| † | This security is non-income-producing. | ||
| †† | The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate. | ||
| # | 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 $429,449 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 $365,494 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). | ||
| 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. | ||
| 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 3/31/24 (aggregate face value $13,564,906) (Unaudited) | ||||||
| Counterparty | Currency | Contract type* |
Delivery date |
Value | Aggregate face value |
Unrealized appreciation/ (depreciation) |
| Bank of America N.A. | ||||||
| British Pound | Sell | 6/20/24 | $241,802 | $243,140 | $1,338 | |
| Canadian Dollar | Sell | 4/17/24 | 295 | 300 | 5 | |
| Euro | Sell | 6/20/24 | 185,282 | 186,542 | 1,260 | |
| Japanese Yen | Buy | 5/16/24 | 428,980 | 440,808 | (11,828) | |
| New Zealand Dollar | Sell | 4/17/24 | 11,770 | 12,278 | 508 | |
28 Master Intermediate Income Trust | |
| FORWARD CURRENCY CONTRACTS at 3/31/24 (aggregate face value $13,564,906) (Unaudited) cont. | ||||||
| Counterparty | Currency | Contract type* |
Delivery date |
Value | Aggregate face value |
Unrealized appreciation/ (depreciation) |
| Bank of America N.A. cont. | ||||||
| Norwegian Krone | Sell | 6/20/24 | $291,049 | $299,797 | $8,748 | |
| Swedish Krona | Sell | 6/20/24 | 1,106 | 1,145 | 39 | |
| Barclays Bank PLC | ||||||
| Canadian Dollar | Sell | 4/17/24 | 61,068 | 62,009 | 941 | |
| Euro | Sell | 6/20/24 | 47,295 | 47,617 | 322 | |
| Norwegian Krone | Sell | 6/20/24 | 11,572 | 11,918 | 346 | |
| Swiss Franc | Buy | 6/20/24 | 76,055 | 77,576 | (1,521) | |
| Citibank, N.A. | ||||||
| British Pound | Sell | 6/20/24 | 236,372 | 237,691 | 1,319 | |
| Euro | Sell | 6/20/24 | 512,556 | 516,001 | 3,445 | |
| Norwegian Krone | Sell | 6/20/24 | 98,511 | 101,439 | 2,928 | |
| Swedish Krona | Sell | 6/20/24 | 4,846 | 5,018 | 172 | |
| Goldman Sachs International | ||||||
| Canadian Dollar | Sell | 4/17/24 | 6,646 | 6,747 | 101 | |
| Swedish Krona | Sell | 6/20/24 | 191,255 | 198,123 | 6,868 | |
| Swiss Franc | Buy | 6/20/24 | 353,321 | 360,438 | (7,117) | |
| HSBC Bank USA, National Association | ||||||
| Australian Dollar | Sell | 4/17/24 | 601,255 | 615,658 | 14,403 | |
| Canadian Dollar | Sell | 4/17/24 | 382,430 | 388,245 | 5,815 | |
| Euro | Sell | 6/20/24 | 210,391 | 211,882 | 1,491 | |
| New Zealand Dollar | Sell | 4/17/24 | 318,505 | 332,289 | 13,784 | |
| Norwegian Krone | Sell | 6/20/24 | 16,168 | 16,645 | 477 | |
| Swedish Krona | Sell | 6/20/24 | 51,605 | 53,429 | 1,824 | |
| Swiss Franc | Buy | 6/20/24 | 25,053 | 25,555 | (502) | |
| JPMorgan Chase Bank N.A. | ||||||
| Canadian Dollar | Sell | 4/17/24 | 144,584 | 146,786 | 2,202 | |
| Norwegian Krone | Sell | 6/20/24 | 9,459 | 9,738 | 279 | |
| Morgan Stanley & Co. International PLC | ||||||
| Australian Dollar | Sell | 4/17/24 | 484,302 | 499,753 | 15,451 | |
| British Pound | Sell | 6/20/24 | 208,593 | 209,819 | 1,226 | |
| Euro | Sell | 6/20/24 | 1,045,782 | 1,053,124 | 7,342 | |
| New Zealand Dollar | Sell | 4/17/24 | 233,068 | 243,115 | 10,047 | |
| NatWest Markets PLC | ||||||
| Australian Dollar | Buy | 4/17/24 | 196,550 | 198,363 | (1,813) | |
| Euro | Buy | 6/20/24 | 16,991 | 17,209 | (218) | |
| State Street Bank and Trust Co. | ||||||
| Australian Dollar | Sell | 4/17/24 | 15,385 | 15,516 | 131 | |
| Euro | Sell | 6/20/24 | 3,963,329 | 3,991,363 | 28,034 | |
| New Zealand Dollar | Sell | 4/17/24 | 20,792 | 21,686 | 894 | |
| Swedish Krona | Sell | 6/20/24 | 382,951 | 396,557 | 13,606 | |
| Toronto-Dominion Bank | ||||||
| Australian Dollar | Sell | 4/17/24 | 238,533 | 246,143 | 7,610 | |
| British Pound | Sell | 6/20/24 | 49,244 | 49,520 | 276 | |
| Canadian Dollar | Sell | 4/17/24 | 388,190 | 394,109 | 5,919 | |
Master Intermediate Income Trust 29 | |
| FORWARD CURRENCY CONTRACTS at 3/31/24 (aggregate face value $13,564,906) (Unaudited) cont. | ||||||
| Counterparty | Currency | Contract type* |
Delivery date |
Value | Aggregate face value |
Unrealized appreciation/ (depreciation) |
| Toronto-Dominion Bank cont. | ||||||
| Euro | Sell | 6/20/24 | $9,307 | $9,371 | $64 | |
| Japanese Yen | Buy | 5/16/24 | 4,071 | 4,186 | (115) | |
| Norwegian Krone | Sell | 6/20/24 | 199,929 | 205,940 | 6,011 | |
| UBS AG | ||||||
| Australian Dollar | Sell | 4/17/24 | 14,212 | 14,665 | 453 | |
| Canadian Dollar | Sell | 4/17/24 | 9,600 | 9,746 | 146 | |
| Euro | Sell | 6/20/24 | 325,001 | 327,570 | 2,569 | |
| Japanese Yen | Buy | 5/16/24 | 801,344 | 823,276 | (21,932) | |
| New Zealand Dollar | Sell | 4/17/24 | 45,287 | 47,241 | 1,954 | |
| Swedish Krona | Sell | 6/20/24 | 5,586 | 5,785 | 199 | |
| WestPac Banking Corp. | ||||||
| British Pound | Sell | 6/20/24 | 11,364 | 11,427 | 63 | |
| Euro | Sell | 6/20/24 | 97,619 | 98,286 | 667 | |
| New Zealand Dollar | Sell | 4/17/24 | 59,746 | 62,322 | 2,576 | |
| Unrealized appreciation | 173,853 | |||||
| Unrealized (depreciation) | (45,046) | |||||
| Total | $128,807 | |||||
| * The exchange currency for all contracts listed is the United States Dollar. | ||||||
| FUTURES CONTRACTS OUTSTANDING at 3/31/24 (Unaudited) | ||||||
| Number of contracts |
Notional amount |
Value | Expiration date |
Unrealized appreciation/ (depreciation) |
||
| Euro-Bobl 5 yr (Short) | 29 | $3,699,646 | $3,699,646 | Jun-24 | $(15,041) | |
| U.S. Treasury Note 2 yr (Short) | 19 | 3,885,203 | 3,885,203 | Jun-24 | 2,879 | |
| U.S. Treasury Note 5 yr (Long) | 108 | 11,557,688 | 11,557,688 | Jun-24 | 35,249 | |
| U.S. Treasury Note Ultra 10 yr (Long) | 70 | 8,022,656 | 8,022,656 | Jun-24 | 48,413 | |
| Unrealized appreciation | 86,541 | |||||
| Unrealized (depreciation) | (15,041) | |||||
| Total | $71,500 | |||||
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/24 (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. | ||||||
| 1.8838/US SOFR/Apr-34 (Purchased) | Apr-24/1.8838 | $14,629,100 | $(106,999) | $(106,500) | ||
| 0.60/US SOFR/Mar-40 (Purchased) | Mar-30/0.60 | 12,680,200 | (64,669) | (6,467) | ||
| (3.1625)/US SOFR/Mar-37 (Written) | Mar-27/3.1625 | 10,398,900 | 1,006,710 | 323,406 | ||
| 3.1625/US SOFR/Mar-37 (Written) | Mar-27/3.1625 | 10,398,900 | 1,006,710 | (72,168) | ||
| 2.735/US SOFR/Feb-59 (Purchased) | Feb-29/2.735 | 5,036,500 | (390,329) | (4,432) | ||
| (4.225)/US SOFR/Nov-36 (Purchased) | Nov-26/4.225 | 3,843,900 | (358,420) | (59,235) | ||
| 3.725/US SOFR/Nov-36 (Purchased) | Nov-26/3.725 | 3,843,900 | (342,320) | 17,913 | ||
| 0.9876/US SOFR/Mar-50 (Purchased) | Mar-30/0.9876 | 2,128,300 | (46,230) | (19,985) | ||
| (0.9876)/US SOFR/Mar-50 (Purchased) | Mar-30/0.9876 | 2,128,300 | (687,354) | 91,176 | ||
30 Master Intermediate Income Trust | |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/24 (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. | ||||||
| (1.405)/US SOFR/Dec-58 (Purchased) | Dec-28/1.405 | $927,600 | $(142,271) | $176,801 | ||
| 1.405/US SOFR/Dec-58 (Purchased) | Dec-28/1.405 | 927,600 | (142,271) | (104,318) | ||
| Barclays Bank PLC | ||||||
| 3.00/US SOFR/Dec-48 (Purchased) | Dec-38/3.00 | 16,769,300 | (1,111,805) | 20,626 | ||
| 3.10/US SOFR/Dec-42 (Purchased) | Dec-32/3.10 | 15,498,300 | (655,733) | 96,089 | ||
| Citibank, N.A. | ||||||
| 3.355/US SOFR/Jul-29 (Purchased) | Jul-24/3.355 | 24,660,100 | (249,067) | (168,182) | ||
| (3.855)/US SOFR/Jul-29 (Purchased) | Jul-24/3.855 | 24,660,100 | (242,285) | 24,660 | ||
| 1.34/US SOFR/Jan-61 (Purchased) | Jan-41/1.34 | 1,936,700 | (161,714) | (31,549) | ||
| (1.34)/US SOFR/Jan-61 (Purchased) | Jan-41/1.34 | 1,936,700 | (452,723) | 56,629 | ||
| (3.95)/US SOFR/Mar-37 (Purchased) | Mar-27/3.95 | 835,100 | (38,874) | (1,203) | ||
| 3.45/US SOFR/Mar-37 (Purchased) | Mar-27/3.45 | 835,100 | (37,078) | 92 | ||
| Deutsche Bank AG | ||||||
| (3.19)/US SOFR/Mar-38 (Written) | Mar-28/3.19 | 4,581,500 | 319,101 | 114,354 | ||
| 3.19/US SOFR/Mar-38 (Written) | Mar-28/3.19 | 4,581,500 | 319,101 | (55,299) | ||
| Goldman Sachs International | ||||||
| (2.85)/3 month EUR-EURIBOR/Mar-29 (Purchased) | Mar-28/2.85 | EUR | 18,519,200 | (174,199) | (79,518) | |
| 2.85/3 month EUR-EURIBOR/Mar-29 (Purchased) | Mar-28/2.85 | EUR | 18,519,200 | (174,199) | 24,575 | |
| 2.35/US SOFR/Mar-59 (Purchased) | Mar-29/2.35 | $22,656,200 | (1,320,856) | (90,168) | ||
| JPMorgan Chase Bank N.A. | ||||||
| 4.178/6 month AUD-BBR-BBSW/Apr-40 (Purchased) | Apr-33/4.178 | AUD | 6,413,900 | (229,877) | (49,779) | |
| (4.178)/6 month AUD-BBR-BBSW/Apr-40 (Purchased) | Apr-33/4.178 | AUD | 6,413,900 | (229,877) | 32,810 | |
| 2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2,376,500 | (147,789) | (111,115) | |
| (2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased) | Nov-26/2.495 | AUD | 2,376,500 | (147,789) | 243,292 | |
| 1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 1,940,600 | (72,744) | (59,297) | |
| (1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased) | Mar-30/1.445 | AUD | 1,940,600 | (72,744) | 193,432 | |
| 1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1,387,400 | (43,285) | (40,196) | |
| (1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1,387,400 | (43,285) | 142,992 | |
| 1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 929,600 | (54,979) | (49,437) | |
| (1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased) | Jul-25/1.441 | AUD | 929,600 | (54,979) | 174,475 | |
| 3.515/US SOFR/Dec-40 (Written) | Dec-30/3.515 | $10,834,600 | 812,595 | (75,517) | ||
| (3.515)/US SOFR/Dec-40 (Written) | Dec-30/3.515 | 10,834,600 | 764,923 | 65,549 | ||
| (3.475)/US SOFR/Dec-38 (Written) | Dec-28/3.475 | 7,164,300 | 480,725 | 75,727 | ||
Master Intermediate Income Trust 31 | |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/24 (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. | ||||||
| 3.475/US SOFR/Dec-38 (Written) | Dec-28/3.475 | $7,164,300 | $480,725 | $(52,586) | ||
| 3.3225/US SOFR/Jul-38 (Written) | Jul-28/3.3225 | 5,609,200 | 379,182 | (55,980) | ||
| (3.3225)/US SOFR/Jul-38 (Written) | Jul-28/3.3225 | 5,609,200 | 379,182 | 100,741 | ||
| (3.0925)/US SOFR/Mar-43 (Written) | Mar-33/3.0925 | 1,473,200 | 123,749 | 34,399 | ||
| 3.0925/US SOFR/Mar-43 (Written) | Mar-33/3.0925 | 1,473,200 | 123,749 | (24,927) | ||
| Morgan Stanley & Co. International PLC | ||||||
| 2.515/6 month EUR-EURIBOR/Mar-37 (Written) | Mar-27/2.515 | EUR | 5,080,700 | 279,564 | 3,508 | |
| (2.515)/6 month EUR-EURIBOR/Mar-37 (Written) | Mar-27/2.515 | EUR | 5,080,700 | 279,564 | (5,646) | |
| (3.19)/6 month EUR-EURIBOR/Feb-44 (Purchased) | Feb-34/3.19 | EUR | 3,617,300 | (254,401) | (33,171) | |
| 2.48/US SOFR/Feb-59 (Purchased) | Feb-29/2.48 | $431,600 | (26,786) | (721) | ||
| Toronto-Dominion Bank | ||||||
| 2.118/US SOFR/Mar-41 (Purchased) | Mar-31/2.118 | 713,100 | (23,746) | (6,290) | ||
| (2.118)/US SOFR/Mar-41 (Purchased) | Mar-31/2.118 | 713,100 | (94,549) | 14,604 | ||
| UBS AG | ||||||
| (2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2,078,300 | (110,618) | 104,513 | |
| 2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased) | Sep-36/2.00 | AUD | 2,078,300 | (110,618) | (47,401) | |
| (2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 997,300 | (60,554) | 27,360 | |
| 2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased) | Apr-37/2.70 | AUD | 997,300 | (60,554) | (21,167) | |
| 4.815/US SOFR/Mar-39 (Written) | Mar-29/4.815 | $14,275,000 | 590,985 | 44,824 | ||
| Unrealized appreciation | 2,204,547 | |||||
| Unrealized (depreciation) | (1,432,254) | |||||
| Total | $772,293 | |||||
| TBA SALE COMMITMENTS OUTSTANDING at 3/31/24 (proceeds receivable $10,382,148) (Unaudited) | |||
| Agency | Principal amount |
Settlement date |
Value |
| Government National Mortgage Association, 3.50%, 4/1/54 | $1,000,000 | 4/18/24 | $909,884 |
| Uniform Mortgage-Backed Securities, 5.50%, 4/1/54 | 1,000,000 | 4/11/24 | 995,195 |
| Uniform Mortgage-Backed Securities, 4.50%, 4/1/54 | 5,000,000 | 4/11/24 | 4,761,133 |
| Uniform Mortgage-Backed Securities, 4.00%, 4/1/54 | 4,000,000 | 4/11/24 | 3,704,062 |
| Total | $10,370,274 | ||
32 Master Intermediate Income Trust | |
| OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/24 (Unaudited) | |||||||
| Swap counterparty/ Notional amount |
Value | Upfront premium received (paid) |
Termination date |
Payments made by fund |
Payments received by fund |
Unrealized depreciation |
|
| JPMorgan Chase Bank N.A. | |||||||
| MYR | 7,900,000 | $3,271 E | $250 | 6/19/29 | Bank Negara Malaysia Klibor Interbank Offered Rate Fixing 3 month — Quarterly | 3.645% — Quarterly | $(3,021) |
| Upfront premium received | 250 | Unrealized appreciation | — | ||||
| Upfront premium (paid) | — | Unrealized (depreciation) | (3,021) | ||||
| Total | $250 | Total | $(3,021) | ||||
| E Extended effective date. | |||||||
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/24 (Unaudited) | |||||||
| Notional amount | Value | Upfront premium received (paid) |
Termination date |
Payments made by fund |
Payments received by fund |
Unrealized appreciation/ (depreciation) |
|
| $2,184,600 | $35,849 E | $(74) | 12/13/57 | US SOFR — Annually | 3.524% — Annually | $35,775 | |
| 1,965,500 | 14,663 E | (29) | 3/18/36 | 3.757% — Annually | US SOFR — Annually | (14,692) | |
| 2,088,300 | 32,139 E | (71) | 2/20/59 | 3.485% — Annually | US SOFR — Annually | (32,210) | |
| 29,177,800 | 86,075 | (109) | 3/18/26 | US SOFR — Annually | 4.413% — Annually | (83,482) | |
| 52,476,000 | 230,894 E | 462,883 | 6/20/29 | 4.00% — Annually | US SOFR — Annually | 231,994 | |
| 123,432,000 | 364,124 E | (73,212) | 6/20/26 | 4.20% — Annually | US SOFR — Annually | 290,912 | |
| 22,087,000 | 6,626 E | 130,012 | 6/20/34 | 3.80% — Annually | US SOFR — Annually | 123,386 | |
| 2,931,000 | 3,371 E | (30,882) | 6/20/54 | US SOFR — Annually | 3.60% — Annually | (27,511) | |
| 10,466,000 | 21,037 E | (10,012) | 6/20/26 | 4.25% — Annually | US SOFR — Annually | 11,024 | |
| 147,270,000 | 974,927 E | (258,247) | 6/20/29 | US SOFR — Annually | 4.05% — Annually | 719,535 | |
| 3,145,000 | 13,775 E | 22,344 | 6/20/34 | 3.85% — Annually | US SOFR — Annually | 8,569 | |
| 12,640,000 | 126,906 E | (37,917) | 6/20/54 | 3.65% — Annually | US SOFR — Annually | (164,822) | |
| 3,045,300 | 15,683 E | (46) | 3/21/39 | 3.815% — Annually | US SOFR — Annually | (15,729) | |
| 6,759,600 | 50,156 | (89) | 3/27/34 | US SOFR — Annually | 3.932% — Annually | 48,772 | |
| AUD | 653,200 | 7,313 E | (8) | 1/27/43 | 4.91% — Semiannually | 6 month AUD-BBR-BBSW — Semiannually | (7,321) |
Master Intermediate Income Trust 33 | |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/24 (Unaudited) cont. | |||||||
| Notional amount | Value | Upfront premium received (paid) |
Termination date |
Payments made by fund |
Payments received by fund |
Unrealized appreciation/ (depreciation) |
|
| AUD | 10,155,000 | $73,785 | $(53) | 2/15/29 | 6 month AUD-BBR-BBSW — Semiannually | 4.226% — Semiannually | $71,437 |
| AUD | 1,548,000 | 1,190 E | (954) | 6/19/26 | 3 month AUD-BBR-BBSW — Quarterly | 3.91% — Quarterly | 236 |
| AUD | 1,332,800 | 2,875 E | 1,916 | 6/19/34 | 6 month AUD-BBR-BBSW — Semiannually | 4.26% — Semiannually | 4,791 |
| BRL | 410,000 | 374 | (2,261) | 1/2/29 | Brazil Cetip Interbank Deposit Rate — At maturity | 0.00% — At maturity | (3,951) |
| CAD | 2,549,000 | 16,033 E | (3,670) | 6/19/34 | 3.34% — Semiannually | CANADIAN OVERNIGHT REPO RATE — Semiannually | 12,363 |
| CAD | 1,378,000 | 2,309 E | (3,506) | 6/19/26 | CANADIAN OVERNIGHT REPO RATE — Semiannually | 4.12% — Semiannually | (1,196) |
| CHF | 2,152,000 | 1,145 E | 4,447 | 6/19/34 | Swiss Average Rate Overnight — Annually | 1.14% — Annually | 3,301 |
| CLP | 681,210,000 | 4,485 E | (176) | 6/19/29 | 4.84% — Semiannually | CLICP (Chilean Pesos Indice Camara Promedio) — Semiannually | 4,308 |
| CNY | 27,540,000 | 2,172 E | 406 | 6/19/29 | China Fixing Repo Rates 7 Day — Quarterly | 2.12% — Quarterly | 2,578 |
| COP | 662,500,000 | 795 E | (1,323) | 6/19/29 | Colombia IBR Overnight Rate — Quarterly | 7.25% — Quarterly | (2,118) |
| CZK | 17,280,000 | 8,583 E | (1,980) | 6/19/29 | 6 month CZK-PRIBOR — Semiannually | 3.28% — Annually | (10,563) |
| EUR | 13,004,800 | 327,045 | (284,631) | 3/13/29 | 6 month EUR-EURIBOR — Semiannually | 3.18% — Annually | 35,788 |
| EUR | 765,900 | 22,599 E | (26) | 11/24/48 | 6 month EUR-EURIBOR — Semiannually | 2.545% — Annually | 22,573 |
| EUR | 1,245,300 | 19,682 E | (26) | 2/23/44 | 6 month EUR-EURIBOR — Semiannually | 2.69% — Annually | 19,656 |
| EUR | 3,447,000 | 12,718 E | (14,063) | 6/19/26 | 6 month EUR-EURIBOR — Semiannually | 3.14% — Annually | (1,345) |
34 Master Intermediate Income Trust | |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/24 (Unaudited) cont. | |||||||
| Notional amount | Value | Upfront premium received (paid) |
Termination date |
Payments made by fund |
Payments received by fund |
Unrealized appreciation/ (depreciation) |
|
| EUR | 1,891,700 | $4,918 E | $1,198 | 6/19/34 | 2.57% — Annually | 6 month EUR-EURIBOR — Semiannually | $(3,720) |
| EUR | 3,910,000 | 26,575 E | 3,622 | 6/19/29 | 2.72% — Annually | 6 month EUR-EURIBOR — Semiannually | (22,953) |
| EUR | 6,440,000 | 37,379 E | 15,241 | 6/19/29 | 2.70% — Annually | 6 month EUR-EURIBOR — Semiannually | (22,138) |
| GBP | 25,000 | 81 E | 22 | 6/19/34 | Sterling Overnight Index Average — Annually | 3.65% — Annually | 103 |
| GBP | 1,285,000 | 7,266 E | (5,119) | 6/19/26 | Sterling Overnight Index Average — Annually | 4.45% — Annually | 2,147 |
| HUF | 236,380,000 | 16,177 E | (548) | 6/19/29 | 6 month HUF-BUBOR-NATIONAL BANK OF HUNGARY — Semiannually | 5.72% — Annually | (16,725) |
| ILS | 6,430,000 | 9,776 E | (1,517) | 6/19/29 | ISRAEILI SHEKEL 3 month TELIBOR — Quarterly | 3.74% — Annually | (11,293) |
| INR | 11,530,000 | 207 E | 452 | 6/19/29 | INR-FBIL-MIBOR-OIS-COMPOUND — Semiannually | 6.285% — Semiannually | 245 |
| KRW | 373,690,000 | 286 E | (407) | 6/19/29 | 3.215% — Quarterly | 3 month KRW-CD-KSDA-BLOOMBERG — Quarterly | (121) |
| MXN | 2,880,000 | 466 E | (1,025) | 6/19/29 | Mexico Interbank TIIE 28 Day — 28 Days | 8.75% — 28 Days | (559) |
| NOK | 29,658,000 | 19,287 E | 12,077 | 6/19/34 | 3.57% — Annually | 6 month NOK-NIBOR-NIBR — Semiannually | 31,364 |
| NZD | 463,000 | 509 E | (439) | 6/19/34 | 3 month NZD-BBR-FRA — Quarterly | 4.36% — Semiannually | 70 |
| PLN | 6,040,000 | 2,344 E | 2,449 | 6/19/29 | 6 month WIBOR — Semiannually | 4.82% — Annually | 105 |
| SEK | 24,518,000 | 18,897 E | 164 | 6/19/34 | 2.52% — Annually | 3 month SEK-STIBOR-SIDE — Quarterly | 19,060 |
Master Intermediate Income Trust 35 | |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/24 (Unaudited) cont. | |||||||
| Notional amount | Value | Upfront premium received (paid) |
Termination date |
Payments made by fund |
Payments received by fund |
Unrealized appreciation/ (depreciation) |
|
| SGD | 2,180,000 | $6,959 E | $4,224 | 6/19/29 | Compounded Singapore Overnight Rate Average — Annually | 2.912% — Annually | $(2,734) |
| THB | 74,090,000 | 1,746 E | 4,661 | 6/19/29 | Thailand Overnight Repo Rate ON — Quarterly | 2.15% — Quarterly | 2,915 |
| ZAR | 23,060,000 | 14,062 E | 4,841 | 6/19/29 | 3 month ZAR-JIBAR-SAFEX — Quarterly | 8.38% — Quarterly | (9,222) |
| Total | $(61,461) | $1,248,602 | |||||
| E Extended effective date. | |||||||
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/24 (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 depreciation |
|
| Morgan Stanley & Co. International PLC | |||||||
| $1,075,356 | $1,014,912 | $— | 9/29/25 | (0.165%) — Annually | Ephesus Funding DAC, 3.80%, Series 2020−01, 9/22/2025 — Annually | $(39,309) | |
| 1,032,736 | 950,929 | — | 7/17/24 | 3.825% (3 month USD-LIBOR-ICE minus 0.12%) — Quarterly | Pera Funding DAC, 3.825%, Series 2019−01, 07/10/24 — Quarterly | (85,854) | |
| Upfront premium received | — | Unrealized appreciation | — | ||||
| Upfront premium (paid) | — | Unrealized (depreciation) | (125,163) | ||||
| Total | $— | Total | $(125,163) | ||||
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/24 (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 | BB/P | $4,375 | $28,714 | $3,650 | 5/11/63 | 300 bp — Monthly | $742 | |
| CMBX NA BBB−.6 Index | BB/P | 3,933 | 30,958 | 3,935 | 5/11/63 | 300 bp — Monthly | 16 | |
| CMBX NA BBB−.6 Index | BB/P | 5,424 | 40,379 | 5,132 | 5/11/63 | 300 bp — Monthly | 315 | |
36 Master Intermediate Income Trust | |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/24 (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 BB.13 Index | BB−/P | $449,790 | $1,052,000 | $358,942 | 12/16/72 | 500 bp — Monthly | $90,816 | |
| CMBX NA BB.14 Index | BB−/P | 3,180 | 29,000 | 8,978 | 12/16/72 | 500 bp — Monthly | (5,771) | |
| CMBX NA BB.6 Index | B/P | 49,554 | 148,719 | 34,785 | 5/11/63 | 500 bp — Monthly | 14,913 | |
| CMBX NA BB.7 Index | B-/P | 316,861 | 805,517 | 236,500 | 1/17/47 | 500 bp — Monthly | 81,145 | |
| CMBX NA BB.9 Index | B/P | 73,195 | 174,000 | 65,842 | 9/17/58 | 500 bp — Monthly | 7,522 | |
| CMBX NA BBB−.11 Index | BBB−/P | 13,020 | 62,000 | 7,986 | 11/18/54 | 300 bp — Monthly | 5,071 | |
| CMBX NA BBB−.16 Index | BBB−/P | 40,689 | 179,000 | 25,830 | 4/17/65 | 300 bp — Monthly | 14,964 | |
| Credit Suisse International | ||||||||
| CMBX NA BB.7 Index | B-/P | 30,497 | 172,125 | 50,536 | 1/17/47 | 500 bp — Monthly | (19,871) | |
| CMBX NA BBB−.7 Index | BB+/P | 51,226 | 372,656 | 62,569 | 1/17/47 | 300 bp — Monthly | (11,126) | |
| Goldman Sachs International | ||||||||
| CMBX NA BB.6 Index | B/P | 28,991 | 87,144 | 20,383 | 5/11/63 | 500 bp — Monthly | 8,693 | |
| CMBX NA BB.9 Index | B/P | 4,401 | 11,000 | 4,162 | 9/17/58 | 500 bp — Monthly | 250 | |
| CMBX NA BBB−.13 Index | BBB−/P | 48,723 | 183,000 | 39,418 | 12/16/72 | 300 bp — Monthly | 9,429 | |
| CMBX NA BBB−.16 Index | BBB−/P | 2,464 | 12,000 | 1,732 | 4/17/65 | 300 bp — Monthly | 740 | |
| CMBX NA BBB−.7 Index | BB+/P | 164,796 | 645,937 | 108,453 | 1/17/47 | 300 bp — Monthly | 56,720 | |
| JPMorgan Securities LLC | ||||||||
| CMBX NA BB.10 Index | B-/P | 9,629 | 120,000 | 47,508 | 5/11/63 | 500 bp — Monthly | (37,763) | |
| CMBX NA BBB−.13 Index | BBB−/P | 16,787 | 127,000 | 27,356 | 12/16/72 | 300 bp — Monthly | (10,495) | |
| CMBX NA BBB−.8 Index | B+/P | 17,933 | 115,000 | 12,259 | 10/17/57 | 300 bp — Monthly | 5,741 | |
| Merrill Lynch International | ||||||||
| CMBX NA A.13 Index | A-/P | 24,894 | 191,000 | 13,466 | 12/16/72 | 200 bp — Monthly | 11,503 | |
| CMBX NA A.13 Index | A-/P | 25,425 | 191,000 | 13,466 | 12/16/72 | 200 bp — Monthly | 12,034 | |
| CMBX NA BB.6 Index | B/P | 13,977 | 65,228 | 15,257 | 5/11/63 | 500 bp — Monthly | (1,216) | |
Master Intermediate Income Trust 37 | |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/24 (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 | ||||||||
| CMBX NA BB.13 Index | BB−/P | $12,177 | $27,000 | $9,212 | 12/16/72 | 500 bp — Monthly | $2,991 | |
| CMBX NA BB.6 Index | B/P | 100,044 | 293,263 | 68,594 | 5/11/63 | 500 bp — Monthly | 31,735 | |
| CMBX NA BBB−.15 Index | BBB−/P | 3,542 | 13,000 | 1,845 | 11/18/64 | 300 bp — Monthly | 1,705 | |
| CMBX NA BBB−.16 Index | BBB−/P | 4,319 | 19,000 | 2,742 | 4/17/65 | 300 bp — Monthly | 1,588 | |
| CMBX NA BBB−.9 Index | BB/P | 874 | 9,000 | 1,322 | 9/17/58 | 300 bp — Monthly | (443) | |
| Upfront premium received | 1,520,720 | Unrealized appreciation | 358,633 | |||||
| Upfront premium (paid) | — | Unrealized (depreciation) | (86,685) | |||||
| Total | $1,520,720 | Total | $271,948 | |||||
| * 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, 2024. 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 3/31/24 (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 | $(420,444) | $906,000 | $358,685 | 11/17/59 | (500 bp) — Monthly | $(62,639) | ||
| CMBX NA BB.8 Index | (64,084) | 142,337 | 50,259 | 10/17/57 | (500 bp) — Monthly | (13,963) | ||
| CMBX NA BBB−.10 Index | (139,762) | 465,000 | 87,792 | 11/17/59 | (300 bp) — Monthly | (52,241) | ||
| CMBX NA BBB−.12 Index | (234,412) | 826,000 | 163,135 | 8/17/61 | (300 bp) — Monthly | (71,759) | ||
| CMBX NA BBB−.13 Index | (56,118) | 196,000 | 42,218 | 12/16/72 | (300 bp) — Monthly | (14,014) | ||
| CMBX NA BBB−.6 Index | (41,772) | 100,051 | 12,717 | 5/11/63 | (300 bp) — Monthly | (29,114) | ||
| CMBX NA BBB−.8 Index | (17,193) | 89,000 | 9,487 | 10/17/57 | (300 bp) — Monthly | (7,757) | ||
| CMBX NA BBB−.9 Index | (4,495) | 19,000 | 2,791 | 9/17/58 | (300 bp) — Monthly | (1,715) | ||
| Credit Suisse International | ||||||||
| CMBX NA BB.10 Index | (38,693) | 290,000 | 114,811 | 11/17/59 | (500 bp) — Monthly | 75,836 | ||
| CMBX NA BB.10 Index | (34,367) | 289,000 | 114,415 | 11/17/59 | (500 bp) — Monthly | 79,767 | ||
38 Master Intermediate Income Trust | |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/24 (Unaudited) cont. | ||||||||
| Swap counterparty/ Referenced debt* |
Upfront premium received (paid)** |
Notional amount |
Value | Termi- nation date |
Payments (paid) by fund |
Unrealized appreciation/ (depreciation) |
||
| Credit Suisse International cont. | ||||||||
| CMBX NA BB.10 Index | $(18,893) | $152,000 | $60,177 | 11/17/59 | (500 bp) — Monthly | $41,136 | ||
| CMBX NA BB.7 Index | (61,796) | 252,904 | 74,253 | 1/17/47 | (500 bp) — Monthly | 12,211 | ||
| CMBX NA BB.7 Index | (4,770) | 21,893 | 6,428 | 1/17/47 | (500 bp) — Monthly | 1,636 | ||
| Goldman Sachs International | ||||||||
| CMBX NA BB.7 Index | (93,420) | 246,864 | 72,479 | 1/17/47 | (500 bp) — Monthly | (21,181) | ||
| CMBX NA BB.8 Index | (17,149) | 40,393 | 14,263 | 10/17/57 | (500 bp) — Monthly | (2,926) | ||
| CMBX NA BBB−.12 Index | (8,966) | 34,000 | 6,715 | 8/17/61 | (300 bp) — Monthly | (2,271) | ||
| JPMorgan Securities LLC | ||||||||
| CMBX NA BB.7 Index | (320,235) | 493,728 | 144,959 | 1/17/47 | (500 bp) — Monthly | (175,756) | ||
| CMBX NA BBB−.11 Index | (6,829) | 62,000 | 7,986 | 11/18/54 | (300 bp) — Monthly | 1,121 | ||
| CMBX NA BBB−.7 Index | (214,338) | 436,198 | 73,238 | 1/17/47 | (300 bp) — Monthly | (141,355) | ||
| Merrill Lynch International | ||||||||
| CMBX NA BB.10 Index | (15,875) | 279,000 | 110,456 | 11/17/59 | (500 bp) — Monthly | 94,310 | ||
| CMBX NA BBB−.7 Index | (32,451) | 189,195 | 31,766 | 1/17/47 | (300 bp) — Monthly | (796) | ||
| Morgan Stanley & Co. International PLC | ||||||||
| CMBX NA BB.10 Index | (97,287) | 205,000 | 81,160 | 11/17/59 | (500 bp) — Monthly | (16,327) | ||
| CMBX NA BB.7 Index | (89,199) | 222,706 | 65,387 | 1/17/47 | (500 bp) — Monthly | (24,029) | ||
| CMBX NA BB.9 Index | (78,352) | 185,000 | 70,004 | 9/17/58 | (500 bp) — Monthly | (8,528) | ||
| CMBX NA BBB−.10 Index | (166,855) | 516,000 | 97,421 | 11/17/59 | (300 bp) — Monthly | (69,735) | ||
| CMBX NA BBB−.12 Index | (318) | 1,000 | 198 | 8/17/61 | (300 bp) — Monthly | (121) | ||
| CMBX NA BBB−.13 Index | (7,316) | 23,000 | 4,954 | 12/16/72 | (300 bp) — Monthly | (2,375) | ||
| CMBX NA BBB−.7 Index | (53,275) | 193,017 | 32,407 | 1/17/47 | (300 bp) — Monthly | (20,980) | ||
| Upfront premium received | — | Unrealized appreciation | 306,017 | |||||
| Upfront premium (paid) | (2,338,664) | Unrealized (depreciation) | (739,582) | |||||
| Total | $(2,338,664) | Total | $(433,565) | |||||
| * 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 39 | |
| CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/24 (Unaudited) |
||||||||
| Referenced debt* | Rating*** | Upfront premium received (paid)** |
Notional amount |
Value | Termi- nation date |
Payments received by fund |
Unrealized appreciation |
|
| CDX NA HY Series 41 Index | B+/P | $(54,365) | $10,259,370 | $758,988 | 12/20/28 | 500 bp — Quarterly | $721,722 | |
| Total | $(54,365) | $721,722 | ||||||
| * 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, 2024. 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. | ||||||||
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 |
| Asset-backed securities | $— | $1,272,015 | $— |
| Convertible bonds and notes | — | 4,928,519 | — |
| Corporate bonds and notes | — | 34,069,053 | — |
| Foreign government and agency bonds and notes | — | 13,768,217 | — |
| Mortgage-backed securities | — | 58,935,343 | — |
| Senior loans | — | 9,623,877 | — |
| U.S. government and agency mortgage obligations | — | 54,111,497 | — |
| U.S. treasury obligations | — | 316,655 | — |
| Short-term investments | 23,699,684 | 18,005,575 | — |
| Totals by level | $23,699,684 | $195,030,751 | $— |
| Valuation inputs | |||
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
| Forward currency contracts | $— | $128,807 | $— |
| Futures contracts | 71,500 | — | — |
| Forward premium swap option contracts | — | 772,293 | — |
| TBA sale commitments | — | (10,370,274) | — |
| Interest rate swap contracts | — | 1,306,792 | — |
| Total return swap contracts | — | (125,163) | — |
| Credit default contracts | — | 1,432,414 | — |
| Totals by level | $71,500 | $(6,855,131) | $— |
The accompanying notes are an integral part of these financial statements.
40 Master Intermediate Income Trust | |
Statement of assets and liabilities 3/31/24 (Unaudited)
| ASSETS | |
| Investment in securities, at value (Notes 1 and 9): | |
| Unaffiliated issuers (identified cost $185,287,196) | $182,120,615 |
| Affiliated issuers (identified cost $36,609,820) (Note 5) | 36,609,820 |
| Cash | 81,851 |
| Foreign currency (cost $1) (Note 1) | 22 |
| Interest and other receivables | 1,593,303 |
| Receivable for investments sold | 663,505 |
| Receivable for sales of TBA securities (Note 1) | 10,396,023 |
| Receivable for variation margin on futures contracts (Note 1) | 4,953 |
| Receivable for variation margin on centrally cleared swap contracts (Note 1) | 329,939 |
| Unrealized appreciation on forward premium swap option contracts (Note 1) | 2,204,547 |
| Unrealized appreciation on forward currency contracts (Note 1) | 173,853 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 664,650 |
| Premium paid on OTC swap contracts (Note 1) | 2,338,664 |
| Deposits with broker (Note 1) | 2,310,868 |
| Receivable from broker (Note 1) | 23,987 |
| Prepaid assets | 18,580 |
| Total assets | 239,535,180 |
| LIABILITIES | |
| Payable for investments purchased | 1,298,400 |
| Payable for purchases of TBA securities (Note 1) | 53,592,007 |
| Payable for compensation of Manager (Note 2) | 291,899 |
| Payable for custodian fees (Note 2) | 35,033 |
| Payable for investor servicing fees (Note 2) | 13,886 |
| Payable for Trustee compensation and expenses (Note 2) | 101,182 |
| Payable for administrative services (Note 2) | 511 |
| Payable for variation margin on futures contracts (Note 1) | 12,657 |
| Payable for variation margin on centrally cleared swap contracts (Note 1) | 331,103 |
| Distributions payable to shareholders | 1,065,831 |
| Unrealized depreciation on forward currency contracts (Note 1) | 45,046 |
| Unrealized depreciation on forward premium swap option contracts (Note 1) | 1,432,254 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 954,451 |
| Premium received on OTC swap contracts (Note 1) | 1,520,970 |
| TBA sale commitments, at value (proceeds receivable $10,382,148) (Note 1) | 10,370,274 |
| Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9) | 1,552,655 |
| Other accrued expenses | 129,493 |
| Total liabilities | 72,747,652 |
| Net assets | $166,787,528 |
(Continued on next page)
| Master Intermediate Income Trust 41 |
Statement of assets and liabilities cont.
| REPRESENTED BY | |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $301,839,255 |
| Total distributable earnings (Note 1) | (135,051,727) |
| Total — Representing net assets applicable to capital shares outstanding | $166,787,528 |
| COMPUTATION OF NET ASSET VALUE | |
| Net asset value per share ($166,787,528 divided by 48,283,603 shares) | $3.45 |
The accompanying notes are an integral part of these financial statements.
| 42 Master Intermediate Income Trust |
Statement of operations Six months ended 3/31/24 (Unaudited)
| INVESTMENT INCOME | |
| Interest (including interest income of $726,203 from investments in affiliated issuers) (Note 5) | $5,235,852 |
| Total investment income | 5,235,852 |
| EXPENSES | |
| Compensation of Manager (Note 2) | 609,875 |
| Investor servicing fees (Note 2) | 41,133 |
| Custodian fees (Note 2) | 36,703 |
| Trustee compensation and expenses (Note 2) | 4,605 |
| Administrative services (Note 2) | 3,173 |
| Auditing and tax fees | 82,287 |
| Other | 94,816 |
| Fees waived and reimbursed by Manager (Note 2) | (16,664) |
| Total expenses | 855,928 |
| Expense reduction (Note 2) | (1,970) |
| Net expenses | 853,958 |
| Net investment income | 4,381,894 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
| Securities from unaffiliated issuers (Notes 1 and 3) | (3,915,518) |
| Foreign currency transactions (Note 1) | (2,194) |
| Forward currency contracts (Note 1) | (410,160) |
| Futures contracts (Note 1) | (78,631) |
| Swap contracts (Note 1) | (3,281,408) |
| Written options (Note 1) | 267,134 |
| Total net realized loss | (7,420,777) |
| Change in net unrealized appreciation on: | |
| Securities from unaffiliated issuers and TBA sale commitments | 10,718,412 |
| Assets and liabilities in foreign currencies | 1,111 |
| Forward currency contracts | 41,390 |
| Futures contracts | 381,953 |
| Swap contracts | 3,407,241 |
| Written options | 1,393,239 |
| Total change in net unrealized appreciation | 15,943,346 |
| Net gain on investments | 8,522,569 |
| Net increase in net assets resulting from operations | $12,904,463 |
The accompanying notes are an integral part of these financial statements.
| Master Intermediate Income Trust 43 |
Statement of changes in net assets
| INCREASE (DECREASE) IN NET ASSETS | Six months ended 3/31/24* | Year ended 9/30/23 |
| Operations | ||
| Net investment income | $4,381,894 | $7,673,786 |
| Net realized loss on investments | ||
| and foreign currency transactions | (7,420,777) | (16,562,366) |
| Change in net unrealized appreciation of investments | ||
| and assets and liabilities in foreign currencies | 15,943,346 | 11,547,355 |
| Net increase in net assets resulting from operations | 12,904,463 | 2,658,775 |
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | (6,389,447) | (9,939,969) |
| From return of capital | — | (3,109,690) |
| Decrease from capital share transactions (Note 4) | (869,130) | (5,409,828) |
| Total increase (decrease) in net assets | 5,645,886 | (15,800,712) |
| NET ASSETS | ||
| Beginning of period | 161,141,642 | 176,942,354 |
| End of period | $166,787,528 | $161,141,642 |
| NUMBER OF FUND SHARES | ||
| Shares outstanding at beginning of period | 48,559,516 | 50,253,394 |
| Shares repurchased (Note 4) | (275,913) | (1,693,878) |
| Shares outstanding at end of period | 48,283,603 | 48,559,516 |
* Unaudited.
The accompanying notes are an integral part of these financial statements.
| 44 Master Intermediate Income Trust |
Financial highlights
(For a common share outstanding throughout the period)
| PER-SHARE OPERATING PERFORMANCE | ||||||
| Six months ended** | Year ended | |||||
| 3/31/24 | 9/30/23 | 9/30/22 | 9/30/21 | 9/30/20 | 9/30/19 | |
| Net asset value, beginning of period | $3.32 | $3.52 | $4.08 | $4.30 | $4.83 | $4.94 |
| Investment operations: | ||||||
| Net investment incomea | .09 | .16 | .18 | .19 | .18 | .24 |
| Net realized and unrealized | ||||||
| gain (loss) on investments | .17 | (.11) | (.49) | (.13) | (.35) | (.02) |
| Total from investment operations | .26 | .05 | (.31) | .06 | (.17) | .22 |
| Less distributions: | ||||||
| From net investment income | (.13) | (.20) | (.26) | (.03) | (.21) | (.34) |
| From return of capital | — | (.06) | — | (.25) | (.15) | — |
| Total distributions | (.13) | (.26) | (.26) | (.28) | (.36) | (.34) |
| Increase from shares repurchased | .01 | .01 | —e | —e | .01 | |
| Net asset value, end of period | $3.45 | $3.32 | $3.52 | $4.08 | $4.30 | $4.83 |
| Market value, end of period | $3.20 | $3.02 | $3.25 | $4.07 | $4.11 | $4.59 |
| Total return at market value (%)b | 10.42* | 0.77 | (14.14) | 5.82 | (2.85) | 9.48 |
| RATIOS AND SUPPLEMENTAL DATA | ||||||
| Net assets, end of period | ||||||
| (in thousands) | $166,788 | $161,142 | $176,942 | $208,743 | $220,091 | $249,961 |
| Ratio of expenses to average | ||||||
| net assets (%)c | .52*f | 1.09 | 1.04 | 1.01 | 1.01 | 1.02 |
| Ratio of net investment income | ||||||
| to average net assets (%) | 2.66* | 4.45 | 4.83 | 4.35 | 3.98 | 4.90 |
| Portfolio turnover (%)d | 535* | 1,295 | 949 | 1,073 | 995 | 899 |
* 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.
f Reflects waivers of certain fund expenses in connection with investments in Putnam Government Money Market Fund during the period. As a result of such waivers, the expenses of the fund reflect a reduction of 0.01% as a percentage of average net assets (Notes 2 and 5).
The accompanying notes are an integral part of these financial statements.
| Master Intermediate Income Trust 45 |
Notes to financial statements 3/31/24 (Unaudited)
Unless otherwise noted, the “reporting period” represents the period from October 1, 2023 through March 31, 2024. The following table defines commonly used references within the Notes to financial statements:
| References to | Represent |
| Franklin Templeton | Franklin Resources, Inc. |
| JPMorgan | JPMorgan Chase Bank, N.A. |
| OTC | Over-the-counter |
| PIL | Putnam Investments Limited, an affiliate of Putnam Management |
| Putnam Management | Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned |
| subsidiary of Franklin Templeton | |
| SEC | Securities and Exchange Commission |
| State Street | State Street Bank and Trust Company |
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 Agreement and Declaration of Trust, any claims asserted by a shareholder against or on behalf of the fund, including claims against Trustees and Officers, must be brought in courts located within the Commonwealth of Massachusetts.
Note 1: Significant accounting policies
The fund follows the accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946) and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP), including, but not limited to, ASC 946. 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.
| 46 Master Intermediate Income Trust |
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 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, which has been designated as valuation designee pursuant to Rule 2a–5 under the Investment Company Act of 1940, 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.
Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.
Repurchase agreements The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
| Master Intermediate Income Trust 47 |
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, is recorded on the accrual basis. Amortization and accretion of premiums and discounts on debt securities, if any, is recorded on the accrual basis.
The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange 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 managing 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
| 48 Master Intermediate Income Trust |
to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”
Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used for hedging currency exposures and for gaining exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
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.
At the close of the reporting period, the fund has deposited cash valued at $1,514,951 in a segregated account to cover margin requirements on open centrally cleared interest rate swap contracts.
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.
| Master Intermediate Income Trust 49 |
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, for hedging market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
| 50 Master Intermediate Income Trust |
At the close of the reporting period, the fund has deposited cash valued at $795,917 in a segregated account to cover margin requirements on open centrally cleared credit default contracts.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master 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 $351,916 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $365,494 and may include amounts related to unsettled agreements.
| Master Intermediate Income Trust 51 |
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, 2023, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:
| Loss carryover | ||
| Short-term | Long-term | Total |
| $41,078,964 | $55,662,279 | $96,741,243 |
Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer certain specified ordinary and currency losses of $1,419,215 recognized during the period between November 1, 2022 and September 30, 2023) to its fiscal year ending September 30, 2024.
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 $238,113,304, resulting in gross unrealized appreciation and depreciation of $11,309,814 and $37,476,314, respectively, or net unrealized depreciation of $26,166,500.
Distributions to shareholders Distributions to shareholders from net investment income, if any, 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.
| 52 Master Intermediate Income Trust |
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 0.371% of the fund’s average net assets.
The fund invests in Putnam Government Money Market Fund, an open-end management investment company managed by Putnam Management. Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Government Money Market Fund with respect to assets invested by the fund in Putnam Government Money Market Fund. During the reporting period, management fees paid were reduced by $16,664 relating to the fund’s investment in Putnam Government Money Market Fund.
PIL 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 0.20% 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.
On January 1, 2024, a subsidiary of Franklin Templeton acquired Putnam U.S. Holdings I, LLC (“Putnam Holdings”), the parent company of Putnam Management and PIL, in a stock and cash transaction (the “Transaction”). As a result of the Transaction, Putnam Management and PIL became indirect, wholly-owned subsidiaries of Franklin Templeton. The Transaction also resulted in the automatic termination of the investment management contract between the fund and Putnam Management and the sub-management contract for the fund between Putnam Management and PIL that were in place for the fund before the Transaction (together, the “Previous Advisory Contracts”). However, Putnam Management and PIL continued to provide uninterrupted services with respect to the fund pursuant to new investment management and sub-management contracts that were approved by fund shareholders at a shareholder meeting held in connection with the Transaction and that took effect on January 1, 2024 (together, the “New Advisory Contracts”). The terms of the New Advisory Contracts are substantially similar to those of the Previous Advisory Contracts, and the fee rates payable under the New Advisory Contracts are the same as the fee rates under the Previous Advisory Contracts.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. was paid a monthly fee for investor servicing at an annual rate of 0.05% of the fund’s average daily net assets. The amounts incurred for investor servicing agent functions during the reporting period are included in Investor servicing fees in the Statement of operations.
| Master Intermediate Income Trust 53 |
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 $1,970 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $141, 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 from July 1, 1995 through December 31, 2023. 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) | $1,052,568,051 | $1,116,321,739 |
| U.S. government securities (Long-term) | — | — |
| Total | $1,052,568,051 | $1,116,321,739 |
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 2023, 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, 2024 (based on shares outstanding as of September 30, 2023). 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, 2023 (based on shares outstanding as of September 30, 2022). Repurchases are made when the fund’s shares are trading at less than net asset value and in accordance with procedures approved by the fund’s Trustees.
For the reporting period, the fund repurchased 275,913 common shares for an aggregate purchase price of $869,130, which reflects a weighted-average discount from net asset value per share of 7.83%. The weighted-average discount reflects the payment of commissions by the fund to execute repurchase trades.
For the previous fiscal year, the fund repurchased 1,693,878 common shares for an aggregate purchase price of $5,409,828, which reflected a weighted-average discount from net asset value per share of 8.51%. The weighted-average discount reflected the payment of commissions by the fund to execute repurchase trades.
At the close of the reporting period, Putnam Investment Holdings, LLC owned approximately 2,726 shares of the fund (0.006% of the fund’s shares outstanding), valued at $9,405 based on net asset value.
| 54 Master Intermediate Income Trust |
Note 5: Affiliated transactions
| Shares | |||||
| outstanding | |||||
| and fair | |||||
| Fair value as | Purchase | Sale | Investment | value as | |
| Name of affiliate | of 9/30/23 | cost | proceeds | income | of 3/31/24 |
| Short-term investments | |||||
| Putnam Government | |||||
| Money Market Fund | |||||
| Class G† | $— | $47,345,439 | $47,345,439 | $291,014 | $— |
| Putnam Government | |||||
| Money Market Fund | |||||
| Class P† | — | 22,916,065 | 452,381 | — | 22,463,684 |
| Putnam Short Term | |||||
| Investment Fund | |||||
| Class P‡ | 15,473,951 | 3,399,489 | 4,727,304 | 435,189 | 14,146,136 |
| Total Short-term | |||||
| investments | $15,473,951 | $73,660,993 | $52,525,124 | $726,203 | $36,609,820 |
Transactions during the reporting period with any company which is under common ownership or control were as follows:
† Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Government Money Market Fund with respect to assets invested by the fund in Putnam Government Money Market Fund (Note 2). There were no realized or unrealized gains or losses during the period.
‡ 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.
Note 7: Senior loan commitments
Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
| Master Intermediate Income Trust 55 |
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 swap option contracts (contract amount) | $252,900,000 |
| Written swap option contracts (contract amount) | $197,200,000 |
| Futures contracts (number of contracts) | 200 |
| Forward currency contracts (contract amount) | $27,000,000 |
| OTC interest rate swap contracts (notional) | $720,000 |
| Centrally cleared interest rate swap contracts (notional) | $504,900,000 |
| OTC total return swap contracts (notional) | $2,100,000 |
| OTC credit default contracts (notional) | $13,400,000 |
| Centrally cleared credit default contracts (notional) | $8,800,000 |
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
| Fair value of derivative instruments as of the close of the reporting period | ||||
| ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||
| Derivatives not | ||||
| accounted for as | Statement of | Statement of | ||
| hedging instruments | assets and | assets and | ||
| under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
| Receivables, Net | ||||
| assets — Unrealized | Payables, Net assets — | |||
| Credit contracts | appreciation | $2,681,186* | Unrealized depreciation | $1,373,935 |
| Foreign exchange | ||||
| contracts | Investments, Receivables | 173,853 | Payables | 45,046 |
| Investments, | ||||
| Receivables, Net | ||||
| assets — Unrealized | Payables, Net assets — | |||
| Interest rate contracts | appreciation | 4,264,874* | Unrealized depreciation | 2,114,289* |
| Total | $7,119,913 | $3,533,270 | ||
* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.
| 56 Master Intermediate Income Trust |
The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):
| Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | |||||
| Derivatives not accounted | Forward | ||||
| for as hedging instruments | currency | ||||
| under ASC 815 | Options | Futures | contracts | Swaps | Total |
| Credit contracts | $— | $— | $— | $451,420 | $451,420 |
| Foreign exchange contracts | — | — | (410,160) | — | $(410,160) |
| Interest rate contracts | 1,505,531 | (78,631) | — | (3,732,828) | $(2,305,928) |
| Total | $1,505,531 | $(78,631) | $(410,160) | $(3,281,408) | $(2,264,668) |
| 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 | $— | $— | $— | $400,317 | $400,317 |
| Foreign exchange contracts | — | — | 41,390 | — | $41,390 |
| Interest rate contracts | (1,032,485) | 381,953 | — | 3,006,924 | $2,356,392 |
| Total | $(1,032,485) | $381,953 | $41,390 | $3,407,241 | $2,798,099 |
| Master Intermediate Income Trust 57 |
Note 9: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
| Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto-Dominion Bank | UBS AG | WestPac Banking Corp. | Total | |
| Assets: | |||||||||||||||||||
| OTC Interest rate swap | |||||||||||||||||||
| contracts*# | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
| Centrally cleared interest rate | |||||||||||||||||||
| swap contracts§ | — | — | 328,357 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 328,357 |
| OTC Total return swap | |||||||||||||||||||
| contracts*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| OTC Credit default | |||||||||||||||||||
| contracts — protection sold*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| OTC Credit default | |||||||||||||||||||
| contracts — protection | |||||||||||||||||||
| purchased*# | — | — | — | — | 725,078 | 369,105 | — | 93,157 | — | — | 225,412 | 141,840 | 350,507 | — | — | — | — | — | 1,905,099 |
| Centrally cleared credit | |||||||||||||||||||
| default contracts§ | — | — | 1,582 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 1,582 |
| Futures contracts§ | — | — | — | — | — | — | — | — | — | — | 4,953 | — | — | — | — | — | — | — | 4,953 |
| Forward currency contracts# | 11,898 | 1,609 | — | 7,864 | — | — | — | 6,969 | 37,794 | 2,481 | — | — | 34,066 | — | 42,665 | 19,880 | 5,321 | 3,306 | 173,853 |
| Forward premium swap | |||||||||||||||||||
| option contracts# | 609,296 | 116,715 | — | 81,381 | — | — | 114,354 | 24,575 | — | 1,063,417 | — | — | 3,508 | — | — | 14,604 | 176,697 | — | 2,204,547 |
| Total Assets | $621,194 | $118,324 | $329,939 | $89,245 | $725,078 | $369,105 | $114,354 | $124,701 | $37,794 | $1,065,898 | $230,365 | $141,840 | $388,081 | $— | $42,665 | $34,484 | $182,018 | $3,306 | $4,618,391 |
| Liabilities: | |||||||||||||||||||
| OTC Interest rate swap | |||||||||||||||||||
| contracts*# | — | — | — | — | — | — | — | — | — | 3,271 | — | — | — | — | — | — | — | — | 3,271 |
| Centrally cleared interest rate | |||||||||||||||||||
| swap contracts§ | — | — | 331,103 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 331,103 |
| OTC Total return swap | |||||||||||||||||||
| contracts*# | — | — | — | — | — | — | — | — | — | — | — | — | 125,163 | — | — | — | — | — | 125,163 |
| OTC Credit default | |||||||||||||||||||
| contracts — protection sold*# | 12,659 | — | — | — | 737,629 | 112,720 | — | 173,543 | — | — | 86,866 | 41,975 | 83,380 | — | — | — | — | — | 1,248,772 |
| OTC Credit default | |||||||||||||||||||
| contracts — protection | |||||||||||||||||||
| purchased*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Centrally cleared credit | |||||||||||||||||||
| default contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Futures contracts§ | — | — | — | — | — | — | — | — | — | — | 12,657 | — | — | — | — | — | — | — | 12,657 |
| Forward currency contracts# | 11,828 | 1,521 | — | — | — | — | — | 7,117 | 502 | — | — | — | — | 2,031 | — | 115 | 21,932 | — | 45,046 |
| Forward premium swap | |||||||||||||||||||
| option contracts# | 373,105 | — | — | 200,934 | — | — | 55,299 | 169,686 | — | 518,834 | — | — | 39,538 | — | — | 6,290 | 68,568 | — | 1,432,254 |
| Total Liabilities | $397,592 | $1,521 | $331,103 | $200,934 | $737,629 | $112,720 | $55,299 | $350,346 | $502 | $522,105 | $99,523 | $41,975 | $248,081 | $2,031 | $— | $6,405 | $90,500 | $— | $3,198,266 |
| 58 Master Intermediate Income Trust | Master Intermediate Income Trust 59 |
| Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | Citibank, N.A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto-Dominion Bank | UBS AG | WestPac Banking Corp. | Total | |
| Total Financial and | |||||||||||||||||||
| Derivative Net Assets | $223,602 | $116,803 | $(1,164) | $(111,689) | $(12,551) | $256,385 | $59,055 | $(225,645) | $37,292 | $543,793 | $130,842 | $99,865 | $140,000 | $(2,031) | $42,665 | $28,079 | $91,518 | $3,306 | $1,420,125 |
| Total collateral received | |||||||||||||||||||
| (pledged)†## | $183,369 | $110,000 | $— | $(111,689) | $— | $230,000 | $30,000 | $(225,645) | $— | $450,000 | $130,842 | $99,865 | $120,000 | $— | $— | $— | $70,000 | $— | |
| Net amount | $40,233 | $6,803 | $(1,164) | $— | $(12,551) | $26,385 | $29,055 | $— | $37,292 | $93,793 | $— | $— | $20,000 | $(2,031) | $42,665 | $28,079 | $21,518 | $3,306 | |
| Controlled collateral received | |||||||||||||||||||
| (including | |||||||||||||||||||
| TBA commitments)** | $183,369 | $110,000 | $— | $— | $— | $230,000 | $30,000 | $— | $— | $450,000 | $226,000 | $133,286 | $120,000 | $— | $— | $— | $70,000 | $— | $1,552,655 |
| Uncontrolled collateral | |||||||||||||||||||
| received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
| Collateral (pledged) (including | |||||||||||||||||||
| TBA commitments)** | $— | $— | $— | $(114,057) | $— | $— | $— | $(251,437) | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $(365,494) |
* 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 $429,449 and $2,310,868, respectively.
| 60 Master Intermediate Income Trust | Master Intermediate Income Trust 61 |
Shareholder meeting results (Unaudited)
November 27, 2023 special meeting
At the meeting, a new Management Contract for your fund with Putnam Investment Management, LLC was approved, as follows:
| Votes for | Votes against | Abstentions/Votes withheld |
| 27,996,853 | 1,871,287 | 822,942 |
At the meeting, a new Sub-Management Contract for your fund between Putnam Investment Management, LLC and Putnam Investments Limited was approved, as follows:
| Votes for | Votes against | Abstentions/Votes withheld |
| 27,931,231 | 1,938,373 | 821,477 |
All tabulations are rounded to the nearest whole number.
| 62 Master Intermediate Income Trust |
Fund information
| Investment Manager | Trustees | Jonathan S. Horwitz |
| Putnam Investment | Kenneth R. Leibler, Chair | Executive Vice President, |
| Management, LLC | Barbara M. Baumann, Vice Chair | Principal Executive Officer, |
| 100 Federal Street | Liaquat Ahamed | and Compliance Liaison |
| Boston, MA 02110 | Katinka Domotorffy | |
| Catharine Bond Hill | Kelley Hunt | |
| Investment Sub-Advisor | Jennifer Williams Murphy | AML Compliance Officer |
| Putnam Investments Limited | Marie Pillai | |
| 16 St James’s Street | George Putnam III | Martin Lemaire |
| London, England SW1A 1ER | Robert L. Reynolds | Vice President and |
| Manoj P. Singh | Derivatives Risk Manager | |
| Marketing Services | Mona K. Sutphen | |
| Putnam Retail Management | Jane E. Trust | Alan G. McCormack |
| Limited Partnership | Vice President and | |
| 100 Federal Street | Officers | Derivatives Risk Manager |
| Boston, MA 02110 | Robert L. Reynolds | |
| President, The Putnam Funds | Denere P. Poulack | |
| Custodian | Assistant Vice President, | |
| State Street Bank | Kevin R. Blatchford | Assistant Clerk, and |
| and Trust Company | Vice President and | Assistant Treasurer |
| Assistant Treasurer | ||
| Legal Counsel | Janet C. Smith | |
| Ropes & Gray LLP | James F. Clark | Vice President, |
| Vice President and | Principal Financial Officer, | |
| Chief Compliance Officer | Principal Accounting Officer, | |
| and Assistant Treasurer | ||
| Michael J. Higgins | ||
| Vice President, Treasurer, | Stephen J. Tate | |
| and Clerk | Vice President and | |
| Chief Legal Officer |
Call 1-800-225-1581 Monday through Friday between 8:00 a.m. and 8:00 p.m. Eastern Time, or visit putnam.com or franklintempleton.com anytime for up-to-date information about the fund’s NAV.
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| Item 2. Code of Ethics: |
| Not Applicable |
| Item 3. Audit Committee Financial Expert: |
| Not Applicable |
| Item 4. Principal Accountant Fees and Services: |
| Not Applicable |
| Item 5. Audit Committee |
| Not Applicable |
| Item 6. Schedule of Investments: |
| The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
| Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| Not applicable |
| Item 8. Portfolio Managers of Closed-End Management Investment Companies |
| (a) Not applicable |
| (b) There have been no changes to the list of the registrant’s identified portfolio managers included in the registrant’s report on Form N-CSR for the most recent completed fiscal year. |
| Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Registrant Purchase of Equity Securities | |||||
| Maximum | |||||
| Total Number | Number (or | ||||
| of Shares | Approximate | ||||
| Purchased | Dollar Value) | ||||
| as Part | of Shares | ||||
| of Publicly | that May Yet Be | ||||
| Total Number | Average | Announced | Purchased | ||
| of Shares | Price Paid | Plans or | under the Plans | ||
| Period | Purchased | per Share | Programs* | or Programs** | |
| October 1 – October 31, 2023 | — | — | — | 4,855,961 | |
| November 1 – November 30, 2023 | 87,682 | $3.07 | 87,682 | 4,768,279 | |
| December 1 – December 31, 2023 | 133,362 | $3.18 | 133,362 | 4,634,917 | |
| January 1 – January 31, 2024 | — | — | — | 4,634,917 | |
| February 1 – February 28, 2024 | — | — | — | 4,634,917 | |
| March 1 – March 31, 2024 | 54,869 | $3.19 | 54,869 | 4,580,048 | |
| * | 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 2022, which was in effect between October 1, 2022 and September 30, 2023, allowed the fund to repurchase up to 5,025,339 of its shares. The program renewed by the Board in September 2023, which is in effect between October 1, 2023 and September 30, 2024, allows the fund to repurchase up to 4,855,961 of its shares. |
| ** | Information prior to October 1, 2023, is based on the total number of shares eligible for repurchase under the program, as amended through September 2022. Information from October 1, 2023 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2023. |
| 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. Recovery of Erroneously Awarded Compensation. |
| Not Applicable |
| Item 14. Exhibits: |
| (a)(1) Not applicable |
| (a)(2) Not applicable |
| (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 28, 2024 |
| 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 28, 2024 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
| Date: May 28, 2024 |