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PUTNAM MASTER INTERMEDIATE INCOME TRUST — Interim / Quarterly Report 2021
May 26, 2021
33836_rns_2021-05-26_bd89c9c6-cec9-4314-927a-3982581362d2.zip
Interim / Quarterly Report
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N-CSRS 1 a_masterintermedinc.htm PUTNAM MASTER INTERMEDIATE INCOME TRUST HTML a_masterintermedinc.htm
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: (811-05498)
Exact name of registrant as specified in charter: Putnam Master Intermediate Income Trust
Address of principal executive offices: 100 Federal Street, Boston, Massachusetts 02110
Name and address of agent for service: Robert T. Burns, Vice President 100 Federal Street Boston, Massachusetts 02110
Copy to: Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: September 30, 2021
Date of reporting period: October 1, 2020 — March 31, 2021
Item 1. Report to Stockholders:
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:
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Putnam Master Intermediate Income Trust Semiannual report 3 | 31 | 21
| Message from the Trustees | 1 |
|---|---|
| About the fund | 2 |
| Interview with your fund’s portfolio manager | 5 |
| Your fund’s performance | 11 |
| Consider these risks before investing | 13 |
| Terms and definitions | 14 |
| Other information for shareholders | 16 |
| Summary of dividend reinvestment plans | 17 |
| Financial statements | 19 |
| Shareholder meeting results | 120 |
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Message from the Trustees
May 14, 2021
Dear Fellow Shareholder:
As society continues to grapple with the Covid-19 pandemic, optimism remains tempered by concern about newer, more aggressive strains of the virus. After infection rates dropped early in the year, they began to rise again in some areas during March. At the same time, the pace of vaccinations accelerated, and several states eased restrictions on consumer activity.
Markets appear to expect an improving economy. The S&P 500 Index crossed the 4,000 threshold as the calendar turned to April. In addition, yields rose in the bond market. This is typically a sign that fixed-income investors anticipate both higher gross domestic product (GDP) growth and the risk of inflation.
No matter how markets move, Putnam’s portfolio managers and analysts keep their focus on researching new opportunities and potential risks. This active approach is intended to serve you through changing conditions.
As always, thank you for investing with Putnam.
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When Putnam Master Intermediate Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds was considered innovative.
In the more than 30 years since then, the fixed-income landscape has undergone a dramatic transformation, but the spirit of ingenuity that helped launch the fund is still with it today.
A veteran portfolio management team
The funds managers strive to build a well-diversified portfolio that carefully balances risk and return, targeting opportunities in interest rates, credit, mortgages, and currencies from across the full spectrum of the global bond markets.
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Fund allocations are shown as a percentage of the fund’s net assets as of 3/31/21. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes and rounding. Allocations may not total 100% because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time. For more information on current fund holdings, see pages 20–99.
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Data are historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. See below and pages 11–12 for additional performance information, including fund returns at market price. Index and Lipper results should be compared with fund performance at NAV.
- The fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.
† Source: Lipper, a Refinitiv company.
‡ Returns for the six-month period are not annualized, but cumulative.
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/21. See above and pages 11–12 for additional fund performance information. Index descriptions can be found on pages 14–15.
- Source: Bloomberg Index Services Limited.
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Bill, what was the fund’s investment environment like during the reporting period?
As 2020 came to a close, news of multiple Covid-19 vaccines fueled hopes of returning to more normalcy in the economy, markets, and society. In the early months of the new year, widespread vaccine distribution bolstered investor optimism about the strength of the economic recovery in 2021. A $1.9 trillion aid package signed into law by President Biden in early March provided a further boost to market sentiment.
Against this backdrop, rising prices for stocks and commodities helped lift the overall market environment. Credit performed well with yield spreads tightening across the quality spectrum. [Spreads are the yield advantage credit-sensitive bonds offer over comparable-maturity U.S. Treasuries. Bond prices rise as spreads tighten and fall as spreads widen.] However, concerns about the potential inflationary impact of additional stimulus on top of an already-recovering economy led to an exodus from government bonds. This drove longer-term interest rates higher and placed a degree of pressure on the credit market. After
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Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/21. A bond rated BBB or higher (A-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. To-be-announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time.
Cash, derivative instruments, and net other assets are shown in the not-rated category. Payables and receivables for TBA mortgage commitments are included in the not-rated category and may result in negative weights. The fund itself has not been rated by an independent rating agency.
beginning the period at 0.68%, the yield on the benchmark 10-year U.S. Treasury note reached 1.74% by March 31. Similarly, the 30-year Treasury rose from 1.45% to 2.41%.
Within this environment, ascending bond yields weighed on investment-grade [IG] debt despite spread tightening. Convertible bonds and high-yield credit, meanwhile, posted strong gains, aided by better-than-expected corporate earnings and higher oil prices.
Which holdings and strategies drove the fund’s performance?
Reflecting strong investor demand for risk, our corporate credit holdings provided a major boost to results during most of the period. Convertible bonds led the way, as this equity-sensitive sector was particularly strong at the end of 2020. High-yield bonds also added considerable value. Positions in investment-grade credit helped, albeit more modestly.
Our mortgage-credit holdings provided a further meaningful boost. The commercial mortgage sector continued to heal following the dramatic downturn that occurred during the first quarter of 2020. Investor concerns that the Covid-19 pandemic might permanently impair cash flows in certain segments of the commercial mortgage-backed securities [CMBS] market waned as U.S. vaccine distribution increased.
Agency credit-risk transfer securities [CRTs] also performed well. CRTs benefited from stabilization in the residential mortgage market amid falling delinquencies and fewer people participating in the government’s mortgage forbearance program. Strength in the housing market fueled by robust demand and limited supply provided a further tailwind for the sector.
Investments in emerging-market [EM] debt also contributed, primarily during the first half of the period. At the end of 2020, investor optimism about the prospects for a global recovery as vaccine distribution began fueled a
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rally in EM bonds. Positions in the Ivory Coast, the Dominican Republic, Senegal, Mexico, and Egypt added the most value.
What about detractors?
The fund’s interest-rate and yield-curve positioning was the only material detractor. Duration has been a very good risk diversifier over time, and normally benefits during risk-off periods when interest rates decline. During the six-month period, however, our positioning suffered amid rising interest rates.
How did you use derivatives during the period?
We used credit default swaps to gain exposure to CMBS via CMBX, and also to hedge the fund’s credit and market risks. We used bond futures and interest-rate swaps to take tactical positions at various points along the yield curve and to hedge the risk associated with the fund’s curve positioning. We employed interest-rate swaps to gain exposure to rates in various countries. We also utilized options to hedge the fund’s interest-rate risk, to isolate the prepayment risk associated with our holdings of collateralized mortgage obligations [CMOs], and to help manage overall downside risk. In addition, we used total return swaps as a hedging tool, and to help manage the portfolio’s sector exposure, as well as its inflation risk. Lastly, we used currency forward contracts to hedge the foreign exchange risk associated with non-U.S. bonds and to efficiently gain exposure to foreign currencies.
What is your near - term outlook?
As the economy reopens amid widespread distribution of Covid-19 vaccines, we believe gross domestic product growth will be robust, particularly in the second and third quarters of 2021. We’re also anticipating a strong recovery in corporate earnings growth. Since, in our
Top holdings
| % of fund’s | Coupon | Maturity | |
|---|---|---|---|
| net assets | (%) | date | |
| Government Sector | |||
| Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS | 1.26% | 6.25% | 2024 |
| Ghana (Republic of) sr. unsec. bonds Ser. REGS | 0.76% | 8.125% | 2032 |
| Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS | 0.71% | 5.25% | 2030 |
| Securitized Sector | |||
| Federal National Mortgage Association REMICs Ser. 20-75, | 0.86% | 4.00% | 2050 |
| Class MI, IO | |||
| Countrywide Alternative Loan Trust FRB Ser. 06-OA10, Class 4A1, | 0.81% | 0.489% | 2046 |
| (1 Month US LIBOR + 0.38%) | |||
| Federal Home Loan Mortgage Corporation REMICs IFB Ser. 5011, | 0.65% | 6.25% | 2050 |
| Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.25%) | |||
| Credit Sector | |||
| Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB | 0.60% | 5.95% | 2031 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds | 0.49% | 5.375% | 2029 |
| Pertamina Persero PT 144A sr. unsec. unsub. notes | 0.42% | 5.875% | 2022 |
This table shows the fund’s top holdings across three key sectors and the percentage of the fund’s net assets that each represented as of 3/31/21. Short-term investments, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
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view, growth expectations are already reflected in current market prices, we are cautiously watching for economic data surprises in the coming months.
In light of expectations for sturdier growth, we believe U.S. Treasury yields could rise further this year. That said, we think the trend toward higher rates will be gradual, as bond investors adjust their growth and inflation outlooks, leading to periods of market volatility.
In addition to interest rates and Covid-19 vaccine progress, we are also monitoring inflation metrics. Given base effects from the prior year and an expected demand surge as the economy fully reopens, we believe any uptick in inflation will be temporary.
We believe today’s monetary and fiscal policies are more closely aligned for economic stimulus than they’ve been in the past 20 years. As a result, we will be alert to signs that we think may cause the U.S. Federal Reserve to shift from its dovish posture sooner than currently expected.
What are your current views on the various sectors in which the fund invests?
Looking first at high-yield bonds, we have a constructive intermediate-term view of corporate fundamentals and the market’s supply-and-demand backdrop, although we expect the ongoing global health crisis to have an effect. Also, even though bond spreads retightened following their sizable widening in March 2020, and compressed further on favorable vaccine news, we think valuations remain relatively attractive.
In IG credit, we believe that a significant amount of anticipated good news has been priced in by the market. As of period end, IG corporate spreads had tightened considerably, making valuations in this sector less attractive. Consequently, security selection and sector rotation will be of utmost importance
This chart shows how the fund’s security type weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding.
Allocations may not total 100% because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.
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as we navigate this market. That said, we think U.S. IG credit is still more attractive to foreign investors compared with bonds from Europe or the United Kingdom, after adjusting for foreign-exchange hedging costs.
Within the CMBS market, while there continues to be a degree of negative sentiment toward certain property types, we continue to have conviction in the fund’s CMBX exposure. [CMBX is a group of tradeable indexes that each reference a basket of 25 CMBS issued in a particular year.] We believe current valuations fairly compensate investors for existing risk levels and provide an attractive risk premium.
While some parts of the CMBS market will likely continue to struggle, there are CMBS backed by what we consider to be strong underlying collateral that have suffered amid widespread fear of the sector. We think many of these bonds represent attractive investment opportunities.
Within residential mortgage credit, against the backdrop of robust home sales and a rebound in mortgage originations, we continue to find value across numerous market segments.
In prepayment-sensitive areas of the market, we continue to find value in agency interest-only [IO] CMOs, as well as inverse IOs backed by jumbo loans and more seasoned collateral. Overall, we view prepayment-related opportunities as attractive sources of diversification for the fund.
In non-U.S. sovereign debt in both developed and emerging markets, we think the economic recovery will be strongest in countries with large service sectors and effective vaccine distribution. We also prefer countries that can
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.
For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
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contain government expenditures despite political pressures to raise them.
Thanks for your time and for bringing us up to date, Bill.
The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.
Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk. Statements in the Q&A concerning the fund’s performance or portfolio composition relative to those of the fund’s Lipper peer group may reference information produced by Lipper Inc. or through a third party.
Of special interest
Due to a reduced level of portfolio income, the fund decreased its targeted distribution rate in December 2020. The fund currently expects to make monthly distributions of $0.022 per share, down from $0.030 per share. The fund’s targeted distribution rate may change from time to time or be discontinued, depending on market conditions and other factors.
HOW CLOSED-END FUNDS DIFFER FROM OPEN-END FUNDS
Closed-end funds and open-end funds share many common characteristics but also have some key differences that you should understand as you consider your portfolio strategies.
More assets at work Open-end funds are subject to ongoing sales and redemptions that can generate transaction costs for long-term shareholders. Closed-end funds, however, are typically fixed pools of capital that do not need to hold cash in connection with sales and redemptions, allowing the funds to keep more assets actively invested.
Traded like stocks Closed-end fund shares are traded on stock exchanges and, as a result, their prices fluctuate because of the influence of several factors.
They have a market price Like an open-end fund, a closed-end fund has a per-share net asset value (NAV). However, closed-end funds also have a “market price” for their shares — which is how much you pay when you buy shares of the fund, and how much you receive when you sell them.
When looking at a closed-end fund’s performance, you will usually see that the NAV and the market price differ. The market price can be influenced by several factors that cause it to vary from the NAV, including fund distributions, changes in supply and demand for the fund’s shares, changing market conditions, and investor perceptions of the fund or its investment manager. A fund’s performance at market price typically differs from its results at NAV.
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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2021, the end of the first half of its current fiscal year. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.
Fund performance Total return for periods ended 3/31/21
| Annual | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| average | |||||||||
| Life of | |||||||||
| fund (since | Annual | Annual | Annual | ||||||
| 4/29/88) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| NAV | 5.99% | 41.59% | 3.54% | 32.60% | 5.81% | 9.72% | 3.14% | 16.69% | 7.47% |
| Market price | 6.15 | 43.73 | 3.69 | 39.95 | 6.95 | 14.66 | 4.67 | 14.41 | 8.85 |
Performance assumes reinvestment of distributions and does not account for taxes. Performance includes the deduction of management fees and administrative expenses.
Comparative index returns For periods ended 3/31/21
| Annual | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| average | |||||||||
| Life of | |||||||||
| fund (since | Annual | Annual | Annual | ||||||
| 4/29/88) | 10 years | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| ICE BofA | |||||||||
| U.S. Treasury | — | 6.79% | 0.66% | 6.20% | 1.21% | 4.72% | 1.55% | 0.12% | 0.06% |
| Bill Index * | |||||||||
| Bloomberg | |||||||||
| Barclays | |||||||||
| Government/ | 6.13% | 43.83 | 3.70 | 17.98 | 3.36 | 15.74 | 4.99 | 0.86 | –3.50 |
| Credit Bond Index | |||||||||
| FTSE Non-U.S. | |||||||||
| World Government | 5.03 | 11.68 | 1.11 | 10.36 | 1.99 | 2.65 | 0.88 | 5.65 | –1.91 |
| Bond Index | |||||||||
| JPMorgan Global | |||||||||
| High Yield Index † | — | 88.52 | 6.55 | 48.04 | 8.16 | 20.23 | 6.33 | 25.46 | 7.92 |
| Lipper Closed-end | |||||||||
| General Bond | |||||||||
| Funds category | 7.02 | 119.53 | 7.85 | 54.45 | 8.95 | 20.20 | 6.30 | 28.39 | 9.75 |
| average ‡ |
Index and Lipper results should be compared with fund performance at net asset value. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund’s monthly reinvestment net asset value.
Source: Bloomberg Index Services Limited.
- The fund’s benchmark, the ICE BofA U.S. Treasury Bill Index, was introduced on 6/30/92, which post-dates the inception of the fund.
† The JPMorgan Global High Yield Index was introduced on 12/31/93, which post-dates the fund’s inception.
‡ Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/21 , there were 63, 56, 36, 27, 17, and 4 funds, respectively, in this Lipper category.
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Fund price and distribution information For the six-month period ended 3/31/21
| Distributions — Number | 6 | |
|---|---|---|
| Income | $0.148 | |
| Capital gains | — | |
| Total | $0.148 | |
| Share value | NAV | Market price |
| 9/30/20 | $4.30 | $4.11 |
| 3/31/21 | 4.47 | 4.32 |
| Current rate (end of period) | NAV | Market price |
| Current dividend rate * | 5.91% | 6.11% |
The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.
- Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by NAV or market price at end of period.
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Consider these risks before investing
Emerging-market securities carry illiquidity and volatility risks. Lower-rated bonds may offer higher yields in return for more risk. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions or geopolitical events or changes, and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. The fund’s investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund’s concentration in an industry group comprising privately issued residential and commercial mortgage-backed securities and mortgage-backed securities issued or guaranteed by the U.S. government or its agencies or instrumentalities may make the fund’s net asset value more susceptible to economic, market, political, and other developments affecting the housing or real estate markets and the servicing of mortgage loans secured by real estate properties. The fund currently has significant investment exposure to commercial mortgage-backed securities, which, during periods of difficult economic conditions, may experience an increase in delinquencies and losses as a result of the effects of those conditions on commercial real estate markets, the ability of commercial tenants to make loan payments, and the ability of a property to attract and retain commercial tenants. International investing involves currency, economic, and political risks. You can lose money by investing in the fund. The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value. Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund.
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Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Net asset value (NAV) is the value of all your fund’s assets, minus any liabilities, divided by the number of outstanding shares.
Market price is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange.
Fixed-income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:
• Agency credit-risk transfer security (CRT) is backed by a reference pool of agency mortgages. Unlike a regular agency pass-through, the principal invested in a CRT is not backed by a U.S. government agency. To compensate investors for this risk, a CRT typically offers a higher yield than conventional pass-through securities. Similar to a CMBS, a CRT is structured into various tranches for investors, offering different levels of risk and yield based on the underlying reference pool.
• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).
• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.
° Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.
• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.
• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Bloomberg Barclays Government/ Credit Bond Index is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.
Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
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CMBX Index tracks the performance of a basket of CMBS issued in a particular year.
ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.
FTSE Non-U.S. World Government Bond Index is an unmanaged index generally considered to be representative of the world bond market, excluding the United States.
JPMorgan Global High Yield Index is an unmanaged index that is designed to mirror the investable universe of the U.S. dollar global high-yield corporate debt market, including domestic (U.S.) and international (non-U.S.) issues. International issues comprise both developed and emerging markets.
S&P 500 Index is an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
BLOOMBERG ® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS ® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or limited, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.
FTSE Russell is the source and owner of the trademarks, service marks, and copyrights related to the FTSE Indexes. FTSE ® is a trademark of FTSE Russell.
Lipper, a Refinitiv company, is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
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Other information for shareholders
Important notice regarding share repurchase program
In September 2020, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal allows your fund to repurchase, in the 365 days beginning October 1, 2020, up to 10% of the fund’s common shares outstanding as of September 30, 2020.
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2020, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.
Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of March 31, 2021, Putnam employees had approximately $559,000,000 and the Trustees had approximately $79,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
16 Master Intermediate Income Trust
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Summary of Putnam closed-end funds’ amended and restated dividend reinvestment plans
Putnam Managed Municipal Income Trust, Putnam Master Intermediate Income Trust, Putnam Municipal Opportunities Trust and Putnam Premier Income Trust (each, a “Fund” and collectively, the “Funds”) each offer a dividend reinvestment plan (each, a “Plan” and collectively, the “Plans”). If you participate in a Plan, all income dividends and capital gain distributions are automatically reinvested in Fund shares by the Fund’s agent, Putnam Investor Services, Inc. (the “Agent”). If you are not participating in a Plan, every month you will receive all dividends and other distributions in cash, paid by check and mailed directly to you.
Upon a purchase (or, where applicable, upon registration of transfer on the shareholder records of a Fund) of shares of a Fund by a registered shareholder, each such shareholder will be deemed to have elected to participate in that Fund’s Plan. Each such shareholder will have all distributions by a Fund automatically reinvested in additional shares, unless such shareholder elects to terminate participation in a Plan by instructing the Agent to pay future distributions in cash. Shareholders who were not participants in a Plan as of January 31, 2010, will continue to receive distributions in cash but may enroll in a Plan at any time by contacting the Agent.
If you participate in a Fund’s Plan, the Agent will automatically reinvest subsequent distributions, and the Agent will send you a confirmation in the mail telling you how many additional shares were issued to your account.
To change your enrollment status or to request additional information about the Plans, you may contact the Agent either in writing, at P.O. Box 8383, Boston, MA 02266-8383, or by telephone at 1-800-225-1581 during normal East Coast business hours.
How you acquire additional shares through a Plan If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is greater than or equal to their net asset value per share on the payment date for a distribution, you will be issued shares of the Fund at a value equal to the higher of the net asset value per share on that date or 95% of the market price per share on that date.
If the market price per share for your Fund’s shares (plus estimated brokerage commissions) is less than their net asset value per share on the payment date for a distribution, the Agent will buy Fund shares for participating accounts in the open market. The Agent will aggregate open-market purchases on behalf of all participants, and the average price (including brokerage commissions) of all shares purchased by the Agent will be the price per share allocable to each participant. The Agent will generally complete these open-market purchases within five business days following the payment date. If, before the Agent has completed open-market purchases, the market price per share (plus estimated brokerage commissions) rises to exceed the net asset value per share on the payment date, then the purchase price may exceed the net asset value per share, potentially resulting in the acquisition of fewer shares than if the distribution had been paid in newly issued shares.
How to withdraw from a Plan Participants may withdraw from a Fund’s Plan at any time by notifying the Agent, either in writing or by telephone. Such withdrawal will be effective immediately if notice is received by the Agent with sufficient time prior to any distribution record date; otherwise, such withdrawal will be effective with respect to any subsequent distribution following notice of withdrawal. There is no penalty for withdrawing from or not participating in a Plan.
Plan administration The Agent will credit all shares acquired for a participant under a Plan to the account in which the participant’s common shares are held. Each participant will
Master Intermediate Income Trust 17
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be sent reasonably promptly a confirmation by the Agent of each acquisition made for his or her account.
About brokerage fees Each participant pays a proportionate share of any brokerage commissions incurred if the Agent purchases additional shares on the open market, in accordance with the Plans. There are no brokerage charges applied to shares issued directly by the Funds under the Plans.
About taxes and Plan amendments
Reinvesting dividend and capital gain distributions in shares of the Funds does not relieve you of tax obligations, which are the same as if you had received cash distributions. The Agent supplies tax information to you and to the IRS annually. Each Fund reserves the right to amend or terminate its Plan upon 30 days’ written notice. However, the Agent may assign its rights, and delegate its duties, to a successor agent with the prior consent of a Fund and without prior notice to Plan participants.
If your shares are held in a broker or nominee name If your shares are held in the name of a broker or nominee offering a dividend reinvestment service, consult your broker or nominee to ensure that an appropriate election is made on your behalf. If the broker or nominee holding your shares does not provide a reinvestment service, you may need to register your shares in your own name in order to participate in a Plan.
In the case of record shareholders such as banks, brokers or nominees that hold shares for others who are the beneficial owners of such shares, the Agent will administer the Plan on the basis of the number of shares certified by the record shareholder as representing the total amount registered in such shareholder’s name and held for the account of beneficial owners who are to participate in the Plan.
18 Master Intermediate Income Trust
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Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
Master Intermediate Income Trust 19
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The fund’s portfolio 3/31/21 (Unaudited)
| U.S. GOVERNMENT AND AGENCY | Principal | |
|---|---|---|
| MORTGAGE OBLIGATIONS (74.9%)* | amount | Value |
| U.S. Government Guaranteed Mortgage Obligations (2.5%) | ||
| Government National Mortgage Association Pass-Through Certificates | ||
| 5.50%, 5/20/49 | $68,566 | $78,699 |
| 5.00%, with due dates from 5/20/49 to 3/20/50 | 231,328 | 260,067 |
| 4.00%, TBA, 4/1/51 | 4,000,000 | 4,270,004 |
| 3.50%, with due dates from 9/20/49 to 3/20/50 | 1,069,139 | 1,156,529 |
| 5,765,299 | ||
| U.S. Government Agency Mortgage Obligations (72.4%) | ||
| Federal National Mortgage Association Pass-Through Certificates | ||
| 5.00%, with due dates from 1/1/49 to 8/1/49 | 102,898 | 115,057 |
| 4.50%, 5/1/49 | 27,385 | 30,138 |
| Uniform Mortgage-Backed Securities | ||
| 5.50%, TBA, 4/1/51 | 3,000,000 | 3,353,441 |
| 4.50%, TBA, 4/1/51 | 4,000,000 | 4,355,312 |
| 4.00%, TBA, 5/1/51 | 14,000,000 | 15,040,157 |
| 4.00%, TBA, 4/1/51 | 29,000,000 | 31,120,625 |
| 3.50%, TBA, 5/1/51 | 20,000,000 | 21,145,312 |
| 3.50%, TBA, 4/1/51 | 24,000,000 | 25,348,126 |
| 3.00%, TBA, 5/1/51 | 8,000,000 | 8,332,187 |
| 3.00%, TBA, 4/1/51 | 22,000,000 | 22,909,218 |
| 2.50%, TBA, 5/1/51 | 10,000,000 | 10,232,422 |
| 2.50%, TBA, 4/1/51 | 18,000,000 | 18,457,031 |
| 2.00%, TBA, 5/1/51 | 1,000,000 | 995,234 |
| 2.00%, TBA, 4/1/51 | 4,000,000 | 3,987,812 |
| 165,422,072 | ||
| Total U.S. government and agency mortgage obligations (cost $171,631,751) | $171,187,371 | |
| Principal | ||
| U.S. TREASURY OBLIGATIONS (0.7%)* | amount | Value |
| U.S. Treasury Bonds | ||
| 3.00%, 2/15/49 i | $734,000 | $828,466 |
| 2.25%, 8/15/46 i | 173,000 | 168,592 |
| U.S. Treasury Inflation Index Notes 0.125%, 1/15/22 i | 58,926 | 60,325 |
| U.S. Treasury Notes | ||
| 1.875%, 6/30/26 i | 108,000 | 113,376 |
| 0.375%, 12/31/25 i | 323,000 | 315,720 |
| 0.125%, 8/31/22 i | 152,000 | 152,015 |
| Total U.S. treasury obligations (cost $1,638,494) | $1,638,494 | |
| Principal | ||
| MORTGAGE-BACKED SECURITIES (44.3%)* | amount | Value |
| Agency collateralized mortgage obligations (22.5%) | ||
| Federal Home Loan Mortgage Corporation | ||
| REMICs IFB Ser. 3408, Class EK, ((-4.024 x 1 Month US LIBOR) | ||
| + 25.79%), 25.367%, 4/15/37 | $25,359 | $46,913 |
| REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) | ||
| + 23.80%), 23.408%, 11/15/35 | 44,230 | 78,730 |
| REMICs IFB Ser. 3249, Class PS, ((-3.3 x 1 Month US LIBOR) | ||
| + 22.28%), 21.925%, 12/15/36 | 25,191 | 41,061 |
20 Master Intermediate Income Trust
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| MORTGAGE-BACKED SECURITIES (44.3%)* cont. | Principal — amount | Value |
|---|---|---|
| Agency collateralized mortgage obligations cont. | ||
| Federal Home Loan Mortgage Corporation | ||
| REMICs IFB Ser. 3852, Class SC, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.65%), 6.544%, 4/15/40 | $1,002,976 | $104,871 |
| REMICs IFB Ser. 5011, Class SA, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.25%), 6.141%, 9/25/50 | 6,669,955 | 1,489,268 |
| REMICs IFB Ser. 4742, Class S, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.20%), 6.094%, 12/15/47 | 1,527,308 | 183,277 |
| REMICs IFB Ser. 4839, Class WS, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.10%), 5.994%, 8/15/56 | 3,362,042 | 787,995 |
| REMICs IFB Ser. 4678, Class MS, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.10%), 5.994%, 4/15/47 | 763,415 | 151,222 |
| REMICs IFB Ser. 4945, Class SL, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.05%), 5.941%, 1/25/50 | 5,329,052 | 933,979 |
| REMICs Ser. 4813, IO, 5.50%, 8/15/48 | 1,718,421 | 367,631 |
| REMICs Ser. 4077, Class IK, IO, 5.00%, 7/15/42 | 1,113,507 | 167,026 |
| REMICs Ser. 4984, Class IL, IO, 4.50%, 6/25/50 | 4,878,415 | 922,247 |
| REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 | 562,497 | 72,369 |
| REMICs Ser. 4000, Class PI, IO, 4.50%, 1/15/42 | 287,988 | 33,399 |
| REMICs Ser. 4546, Class TI, IO, 4.00%, 12/15/45 | 946,195 | 131,801 |
| REMICs Ser. 4425, IO, 4.00%, 1/15/45 | 1,297,608 | 188,919 |
| REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 | 1,144,797 | 178,813 |
| REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 | 734,393 | 97,478 |
| REMICs Ser. 4062, Class DI, IO, 4.00%, 9/15/39 | 288,332 | 2,400 |
| REMICs Ser. 4604, Class QI, IO, 3.50%, 7/15/46 | 2,044,376 | 225,045 |
| REMICs Ser. 4580, Class ID, IO, 3.50%, 8/15/45 | 1,119,651 | 68,132 |
| REMICs Ser. 4501, Class BI, IO, 3.50%, 10/15/43 | 631,062 | 18,745 |
| REMICs Ser. 4105, Class HI, IO, 3.50%, 7/15/41 | 453,352 | 34,859 |
| Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 | 416,550 | 25,718 |
| REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51 | 7,369,324 | 994,859 |
| REMICs Ser. 5051, Class BI, IO, 3.00%, 11/25/50 | 10,001,097 | 1,431,741 |
| REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 | 1,893,238 | 178,218 |
| REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 | 806,851 | 51,235 |
| REMICs Ser. 4210, Class PI, IO, 3.00%, 12/15/41 | 282,710 | 8,156 |
| Structured Pass-Through Certificates FRB Ser. 57, Class 1AX, IO, | ||
| 0.379%, 7/25/43 W | 1,031,813 | 10,318 |
| REMICs Ser. 3326, Class WF, zero %, 10/15/35 | 994 | 876 |
| Federal National Mortgage Association | ||
| REMICs IFB Ser. 06-62, Class PS, ((-6 x 1 Month US LIBOR) | ||
| + 39.90%), 39.248%, 7/25/36 | 35,974 | 69,069 |
| REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) | ||
| + 24.20%), 23.802%, 6/25/37 | 32,192 | 56,659 |
| REMICs IFB Ser. 08-24, Class SP, ((-3.667 x 1 Month US LIBOR) | ||
| + 23.28%), 22.885%, 2/25/38 | 24,486 | 32,507 |
| REMICs IFB Ser. 05-75, Class GS, ((-3 x 1 Month US LIBOR) | ||
| + 20.25%), 19.924%, 8/25/35 | 21,742 | 29,518 |
| REMICs IFB Ser. 05-83, Class QP, ((-2.6 x 1 Month US LIBOR) | ||
| + 17.39%), 17.112%, 11/25/34 | 25,342 | 30,411 |
| REMICs IFB Ser. 12-36, Class SN, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.45%), 6.341%, 4/25/42 | 529,875 | 80,640 |
Master Intermediate Income Trust 21
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| MORTGAGE-BACKED SECURITIES (44.3%)* cont. | Principal — amount | Value |
|---|---|---|
| Agency collateralized mortgage obligations cont. | ||
| Federal National Mortgage Association | ||
| REMICs IFB Ser. 10-35, Class SG, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.40%), 6.291%, 4/25/40 | $483,715 | $99,491 |
| REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.25%), 6.141%, 3/25/48 | 2,633,042 | 478,424 |
| REMICs IFB Ser. 18-38, Class SA, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.20%), 6.091%, 6/25/48 | 5,772,704 | 906,840 |
| REMICs IFB Ser. 17-32, Class SA, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.15%), 6.041%, 5/25/47 | 5,717,295 | 1,053,926 |
| REMICs IFB Ser. 13-18, Class SB, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.15%), 6.041%, 10/25/41 | 185,195 | 10,136 |
| REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 | 1,622,161 | 348,199 |
| REMICs Ser. 10-99, Class NI, IO, 6.00%, 9/25/40 | 1,309,881 | 259,008 |
| REMICs IFB Ser. 16-96, Class ST, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.10%), 5.991%, 12/25/46 | 2,092,065 | 388,080 |
| REMICs IFB Ser. 16-78, Class CS, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.10%), 5.991%, 5/25/39 | 6,518,936 | 1,083,714 |
| REMICs FRB Ser. 20-12, Class SK, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.05%), 5.941%, 3/25/50 | 3,882,340 | 774,177 |
| REMICs IFB Ser. 19-43, Class JS, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.05%), 5.941%, 8/25/49 | 2,996,757 | 492,567 |
| REMICs FRB Ser. 19-61, Class S, IO, ((-1 x 1 Month US LIBOR) | ||
| + 6.00%), 5.891%, 11/25/49 | 6,131,985 | 858,478 |
| REMICs Ser. 13-107, Class SB, IO, ((-1 x 1 Month US LIBOR) | ||
| + 5.95%), 5.841%, 2/25/43 | 1,418,754 | 289,867 |
| REMICs IFB Ser. 11-101, Class SA, IO, ((-1 x 1 Month US LIBOR) | ||
| + 5.90%), 5.791%, 10/25/41 | 1,342,619 | 236,456 |
| Interest Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36 | 59,180 | 10,217 |
| REMICs Ser. 15-30, IO, 5.50%, 5/25/45 | 2,050,983 | 402,095 |
| Interest Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35 | 174,185 | 29,723 |
| REMICs Ser. 20-76, Class BI, IO, 4.50%, 11/25/50 | 7,497,904 | 1,266,847 |
| REMICs Ser. 12-127, Class BI, IO, 4.50%, 11/25/42 | 249,677 | 47,248 |
| REMICs Ser. 12-30, Class HI, IO, 4.50%, 12/25/40 | 887,213 | 35,489 |
| REMICs Ser. 20-75, Class MI, IO, 4.00%, 11/25/50 | 11,159,883 | 1,976,527 |
| REMICs Ser. 17-7, Class JI, IO, 4.00%, 2/25/47 | 804,229 | 116,608 |
| REMICs Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 | 337,799 | 21,899 |
| REMICs Ser. 15-88, Class QI, IO, 4.00%, 10/25/44 | 612,126 | 70,775 |
| REMICs Ser. 13-58, Class DI, IO, 4.00%, 6/25/43 | 2,157,822 | 332,133 |
| REMICs Ser. 13-41, Class IP, IO, 4.00%, 5/25/43 | 594,557 | 76,270 |
| REMICs Ser. 13-44, Class PI, IO, 4.00%, 1/25/43 | 467,326 | 55,500 |
| REMICs Ser. 13-60, Class IP, IO, 4.00%, 10/25/42 | 449,844 | 35,988 |
| REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 | 442,157 | 23,484 |
| REMICs Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 | 546,394 | 27,343 |
| REMICs Ser. 13-53, Class JI, IO, 3.00%, 12/25/41 | 657,723 | 48,265 |
| REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 | 308,900 | 6,564 |
| REMICs Ser. 16-97, Class KI, IO, 3.00%, 6/25/40 | 943,060 | 7,660 |
| REMICs Ser. 99-51, Class N, PO, zero %, 9/17/29 | 2,691 | 2,449 |
22 Master Intermediate Income Trust
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| MORTGAGE-BACKED SECURITIES (44.3%)* cont. | Principal — amount | Value |
|---|---|---|
| Agency collateralized mortgage obligations cont. | ||
| Government National Mortgage Association | ||
| IFB Ser. 20-133, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), | ||
| 6.189%, 9/20/50 | $4,777,693 | $951,826 |
| IFB Ser. 14-60, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.18%), | ||
| 6.069%, 4/20/44 | 2,811,409 | 583,345 |
| IFB Ser. 20-97, Class QS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), | ||
| 6.039%, 7/20/50 | 4,303,285 | 718,779 |
| IFB Ser. 19-5, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.15%), | ||
| 6.039%, 1/20/49 | 3,397,410 | 536,345 |
| IFB Ser. 13-167, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.15%), | ||
| 6.039%, 11/20/43 | 1,790,987 | 348,085 |
| IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), | ||
| 6.039%, 9/20/43 | 306,414 | 60,195 |
| IFB Ser. 20-63, Class SP, IO, ((-1 x 1 Month US LIBOR) + 6.10%), | ||
| 5.989%, 5/20/50 | 4,383,095 | 753,108 |
| IFB Ser. 20-63, Class PS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), | ||
| 5.989%, 4/20/50 | 5,110,232 | 1,034,061 |
| IFB Ser. 19-96, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), | ||
| 5.989%, 8/20/49 | 5,023,676 | 832,423 |
| IFB Ser. 19-83, Class SY, IO, ((-1 x 1 Month US LIBOR) + 6.10%), | ||
| 5.989%, 7/20/49 | 4,743,859 | 726,569 |
| IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.939%, 2/20/50 | 513,491 | 63,668 |
| IFB Ser. 20-7, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.939%, 1/20/50 | 2,731,984 | 466,347 |
| IFB Ser. 19-152, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.939%, 12/20/49 | 2,969,826 | 459,339 |
| IFB Ser. 19-110, Class SQ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.939%, 9/20/49 | 4,837,110 | 806,879 |
| IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.939%, 8/20/49 | 177,326 | 26,119 |
| IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), | ||
| 5.939%, 6/20/49 | 237,325 | 30,473 |
| IFB Ser. 14-119, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.60%), | ||
| 5.489%, 8/20/44 | 1,414,443 | 245,417 |
| Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 | 577,885 | 113,294 |
| Ser. 16-42, IO, 5.00%, 2/20/46 | 1,505,270 | 282,769 |
| Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 | 1,428,369 | 212,013 |
| Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 | 2,602,475 | 520,417 |
| Ser. 14-76, IO, 5.00%, 5/20/44 | 606,010 | 109,236 |
| Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 | 430,737 | 76,456 |
| Ser. 12-146, IO, 5.00%, 12/20/42 | 387,567 | 78,665 |
| Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 569,153 | 113,881 |
| Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 | 411,291 | 80,273 |
| Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 1,849,975 | 376,359 |
| Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 951,696 | 190,415 |
| Ser. 17-26, Class MI, IO, 5.00%, 11/20/39 | 1,891,481 | 375,575 |
| Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 | 324,432 | 62,892 |
| Ser. 18-94, Class AI, IO, 4.50%, 7/20/48 | 2,341,703 | 382,722 |
| Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 | 1,205,646 | 189,226 |
| Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 | 790,127 | 83,524 |
Master Intermediate Income Trust 23
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| MORTGAGE-BACKED SECURITIES (44.3%)* cont. | Principal — amount | Value |
|---|---|---|
| Agency collateralized mortgage obligations cont. | ||
| Government National Mortgage Association | ||
| Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 | $614,897 | $122,260 |
| Ser. 13-182, Class IQ, IO, 4.50%, 12/16/43 | 835,111 | 152,549 |
| Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 | 987,717 | 123,810 |
| Ser. 13-34, Class IH, IO, 4.50%, 3/20/43 | 792,848 | 136,605 |
| Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 | 170,254 | 15,057 |
| Ser. 17-42, Class IC, IO, 4.50%, 8/20/41 | 706,150 | 128,939 |
| Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 736,305 | 68,417 |
| Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 | 1,345,024 | 241,997 |
| Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 704,774 | 125,030 |
| Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 | 784,066 | 132,564 |
| Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 | 487,030 | 74,905 |
| Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 | 476,808 | 90,889 |
| Ser. 17-11, Class PI, IO, 4.00%, 12/20/46 | 473,247 | 41,141 |
| Ser. 16-29, IO, 4.00%, 2/16/46 | 693,081 | 119,885 |
| Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 | 1,982,119 | 321,242 |
| Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 1,253,211 | 225,578 |
| Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 | 1,282,891 | 190,820 |
| Ser. 15-64, Class YI, IO, 4.00%, 11/20/44 | 1,217,480 | 147,291 |
| Ser. 14-149, Class IP, IO, 4.00%, 7/16/44 | 3,127,404 | 461,346 |
| Ser. 17-93, Class TI, IO, 4.00%, 3/20/44 | 2,130,577 | 134,135 |
| Ser. 14-4, Class IC, IO, 4.00%, 1/20/44 | 411,666 | 69,195 |
| Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 | 1,437,763 | 118,152 |
| Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 370,284 | 57,906 |
| Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 329,322 | 54,323 |
| Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 | 824,214 | 129,743 |
| Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 | 5,101,011 | 694,165 |
| Ser. 17-118, Class KI, IO, 3.50%, 10/20/46 | 280,030 | 12,187 |
| Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 | 1,172,348 | 122,452 |
| Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 | 1,001,684 | 83,291 |
| Ser. 13-76, IO, 3.50%, 5/20/43 | 1,080,019 | 158,244 |
| Ser. 13-28, IO, 3.50%, 2/20/43 | 312,807 | 33,805 |
| Ser. 13-54, Class JI, IO, 3.50%, 2/20/43 | 488,360 | 56,581 |
| Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 | 753,548 | 91,368 |
| Ser. 13-14, IO, 3.50%, 12/20/42 | 1,793,705 | 174,474 |
| Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 | 329,221 | 38,993 |
| Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 | 1,043,374 | 171,722 |
| Ser. 12-140, Class IC, IO, 3.50%, 11/20/42 | 1,344,848 | 211,944 |
| Ser. 12-128, Class IA, IO, 3.50%, 10/20/42 | 1,412,241 | 213,704 |
| Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 | 658,184 | 116,007 |
| Ser. 15-62, Class IL, IO, 3.50%, 2/16/42 | 1,236,303 | 82,536 |
| Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 1,464,227 | 95,175 |
| Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 | 585,940 | 13,426 |
| Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 | 2,320,505 | 150,670 |
| Ser. 15-H10, Class BI, IO, 2.993%, 4/20/65 W | 2,458,445 | 175,041 |
| Ser. 16-H09, Class BI, IO, 2.965%, 4/20/66 W | 4,339,167 | 340,191 |
| Ser. 16-H18, Class QI, IO, 2.957%, 6/20/66 W | 2,718,891 | 240,986 |
| Ser. 15-H15, Class BI, IO, 2.598%, 6/20/65 W | 2,246,853 | 164,245 |
| Ser. 16-H17, Class KI, IO, 2.521%, 7/20/66 W | 2,524,028 | 205,771 |
24 Master Intermediate Income Trust
$$/page=
| MORTGAGE-BACKED SECURITIES (44.3%)* cont. | Principal — amount | Value |
|---|---|---|
| Agency collateralized mortgage obligations cont. | ||
| Government National Mortgage Association | ||
| Ser. 18-H15, Class KI, IO, 2.497%, 8/20/68 W | $3,291,625 | $310,466 |
| Ser. 16-H16, Class EI, IO, 2.488%, 6/20/66 W | 3,799,171 | 318,371 |
| Ser. 17-H16, Class JI, IO, 2.473%, 8/20/67 W | 7,946,005 | 802,117 |
| Ser. 17-H02, Class BI, IO, 2.47%, 1/20/67 W | 2,442,920 | 224,622 |
| Ser. 17-H16, Class FI, IO, 2.469%, 8/20/67 W | 2,890,068 | 243,404 |
| Ser. 17-H06, Class BI, IO, 2.407%, 2/20/67 W | 3,840,781 | 296,797 |
| Ser. 17-H12, Class QI, IO, 2.395%, 5/20/67 W | 3,383,484 | 290,222 |
| Ser. 18-H02, Class EI, IO, 2.378%, 1/20/68 W | 5,534,833 | 556,943 |
| Ser. 16-H23, Class NI, IO, 2.361%, 10/20/66 W | 9,788,837 | 833,030 |
| Ser. 18-H03, Class XI, IO, 2.333%, 2/20/68 W | 4,010,816 | 400,279 |
| Ser. 16-H22, Class AI, IO, 2.319%, 10/20/66 W | 3,656,577 | 318,817 |
| Ser. 15-H20, Class CI, IO, 2.183%, 8/20/65 W | 3,978,451 | 339,362 |
| Ser. 16-H06, Class DI, IO, 2.167%, 7/20/65 W | 5,036,688 | 302,342 |
| Ser. 15-H24, Class AI, IO, 2.136%, 9/20/65 W | 3,069,955 | 222,431 |
| Ser. 17-H09, IO, 2.119%, 4/20/67 W | 4,789,562 | 351,707 |
| Ser. 17-H19, Class MI, IO, 2.064%, 4/20/67 W | 1,862,325 | 165,747 |
| Ser. 16-H03, Class DI, IO, 2.03%, 12/20/65 W | 3,617,834 | 240,090 |
| Ser. 17-H16, Class IH, IO, 1.931%, 7/20/67 W | 5,179,748 | 358,123 |
| Ser. 17-H16, Class IG, IO, 1.89%, 7/20/67 W | 7,232,399 | 484,093 |
| Ser. 17-H11, Class DI, IO, 1.89%, 5/20/67 W | 3,591,919 | 313,093 |
| Ser. 15-H25, Class EI, IO, 1.857%, 10/20/65 W | 2,698,392 | 194,284 |
| Ser. 15-H20, Class AI, IO, 1.816%, 8/20/65 W | 3,321,010 | 241,437 |
| FRB Ser. 15-H08, Class CI, IO, 1.791%, 3/20/65 W | 1,878,752 | 119,113 |
| Ser. 15-H23, Class BI, IO, 1.75%, 9/20/65 W | 3,520,999 | 233,442 |
| Ser. 16-H03, Class AI, IO, 1.732%, 1/20/66 W | 3,311,855 | 228,955 |
| Ser. 16-H10, Class AI, IO, 1.718%, 4/20/66 W | 8,468,603 | 464,638 |
| Ser. 16-H24, Class CI, IO, 1.697%, 10/20/66 W | 2,354,414 | 149,270 |
| Ser. 16-H14, IO, 1.683%, 6/20/66 W | 3,282,609 | 194,160 |
| Ser. 13-H08, Class CI, IO, 1.625%, 2/20/63 W | 2,914,903 | 117,762 |
| Ser. 16-H06, Class CI, IO, 1.61%, 2/20/66 W | 4,581,176 | 239,183 |
| Ser. 14-H21, Class BI, IO, 1.532%, 10/20/64 W | 4,898,435 | 271,863 |
| Ser. 16-H02, Class HI, IO, 1.529%, 1/20/66 W | 4,352,871 | 266,831 |
| Ser. 17-H08, Class NI, IO, 1.489%, 3/20/67 W | 4,859,623 | 412,096 |
| Ser. 18-H05, Class BI, IO, 0.914%, 2/20/68 W | 3,980,996 | 405,564 |
| Ser. 18-H05, Class AI, IO, 0.903%, 2/20/68 W | 1,990,969 | 202,830 |
| Ser. 15-H26, Class CI, IO, 0.486%, 8/20/65 W | 5,423,954 | 72,139 |
| Ser. 06-36, Class OD, PO, zero %, 7/16/36 | 1,004 | 904 |
| 51,406,531 | ||
| Commercial mortgage-backed securities (8.2%) | ||
| BANK 144A Ser. 17-BNK9, Class D, 2.80%, 11/15/54 | 374,000 | 320,368 |
| Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, | ||
| 3.25%, 8/15/52 | 359,000 | 287,488 |
| Bear Stearns Commercial Mortgage Securities Trust | ||
| FRB Ser. 07-T26, Class AJ, 5.432%, 1/12/45 W | 1,319,000 | 1,078,283 |
| Ser. 05-PWR7, Class B, 4.965%, 2/11/41 W | 199,694 | 198,696 |
| Ser. 05-PWR7, Class D, 4.965%, 2/11/41 W | 441,000 | 339,570 |
| Bear Stearns Commercial Mortgage Securities Trust 144A FRB | ||
| Ser. 06-PW14, Class XW, IO, 0.467%, 12/11/38 W | 228,933 | 1,628 |
Master Intermediate Income Trust 25
$$/page=
| MORTGAGE-BACKED SECURITIES (44.3%)* cont. | Principal — amount | Value |
|---|---|---|
| Commercial mortgage-backed securities cont. | ||
| CFCRE Commercial Mortgage Trust 144A | ||
| FRB Ser. 11-C2, Class E, 5.758%, 12/15/47 W | $409,000 | $398,524 |
| FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 W | 1,025,000 | 953,092 |
| COMM Mortgage Trust FRB Ser. 14-CR16, Class C, 4.907%, 4/10/47 W | 336,000 | 357,679 |
| COMM Mortgage Trust 144A | ||
| FRB Ser. 14-CR17, Class E, 4.847%, 5/10/47 W | 647,000 | 504,660 |
| FRB Ser. 14-UBS3, Class D, 4.769%, 6/10/47 W | 344,000 | 346,464 |
| FRB Ser. 12-CR3, Class E, 4.751%, 10/15/45 W | 297,000 | 137,203 |
| Ser. 12-LC4, Class E, 4.25%, 12/10/44 | 392,000 | 270,179 |
| Credit Suisse Commercial Mortgage Trust FRB Ser. 06-C5, Class AX, | ||
| IO, 0.685%, 12/15/39 W | 714,351 | 7 |
| Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C4, | ||
| Class C, 5.719%, 9/15/39 W | 12,160 | 12,147 |
| CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, | ||
| 3.764%, 4/15/50 W | 527,000 | 375,311 |
| DBUBS Mortgage Trust 144A FRB Ser. 11-LC2A, Class D, | ||
| 5.615%, 7/10/44 W | 272,000 | 268,376 |
| GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, | ||
| 4.403%, 2/10/46 W | 622,000 | 558,430 |
| GS Mortgage Securities Trust 144A | ||
| Ser. 11-GC3, Class E, 5.00%, 3/10/44 W | 160,000 | 132,545 |
| FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47 W | 1,270,000 | 786,751 |
| FRB Ser. 13-GC13, Class D, 4.084%, 7/10/46 W | 531,000 | 241,816 |
| JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, | ||
| Class C, 4.105%, 7/15/45 W | 266,000 | 274,687 |
| JPMBB Commercial Mortgage Securities Trust 144A | ||
| FRB Ser. 14-C18, Class D, 4.806%, 2/15/47 W | 1,183,000 | 567,498 |
| FRB Ser. C14, Class D, 4.702%, 8/15/46 W | 515,000 | 352,772 |
| FRB Ser. 14-C18, Class E, 4.306%, 2/15/47 W | 407,000 | 171,676 |
| FRB Ser. 14-C23, Class D, 3.972%, 9/15/47 W | 244,000 | 243,391 |
| Ser. 13-C14, Class F, 3.598%, 8/15/46 W | 1,500,000 | 1,004,833 |
| Ser. 14-C25, Class E, 3.332%, 11/15/47 W | 788,000 | 390,345 |
| JPMorgan Chase Commercial Mortgage Securities Trust | ||
| FRB Ser. 13-LC11, Class D, 4.168%, 4/15/46 W | 581,000 | 457,136 |
| Ser. 13-LC11, Class B, 3.499%, 4/15/46 | 221,000 | 225,794 |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A | ||
| FRB Ser. 07-CB20, Class E, 5.947%, 2/12/51 W | 398,000 | 59,700 |
| FRB Ser. 11-C3, Class F, 5.789%, 2/15/46 W | 410,000 | 95,016 |
| FRB Ser. 11-C4, Class C, 5.419%, 7/15/46 W | 234,000 | 233,042 |
| FRB Ser. 12-C6, Class E, 5.142%, 5/15/45 W | 363,000 | 177,870 |
| FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46 W | 841,000 | 546,428 |
| LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, | ||
| Class XCL, IO, 0.688%, 9/15/39 W | 784,080 | 1,730 |
| Mezz Cap Commercial Mortgage Trust 144A FRB Ser. 07-C5, Class X, | ||
| IO, 5.704%, 12/15/49 W | 13,487 | — |
| ML-CFC Commercial Mortgage Trust FRB Ser. 06-4, Class C, | ||
| 5.324%, 12/12/49 W | 50,951 | 50,951 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||
| FRB Ser. 13-C11, Class D, 4.353%, 8/15/46 W | 900,000 | 81,000 |
| FRB Ser. 13-C11, Class F, 4.353%, 8/15/46 W | 496,000 | 163,680 |
26 Master Intermediate Income Trust
$$/page=
| MORTGAGE-BACKED SECURITIES (44.3%)* cont. | Principal — amount | Value |
|---|---|---|
| Commercial mortgage-backed securities cont. | ||
| Morgan Stanley Bank of America Merrill Lynch Trust 144A | ||
| FRB Ser. 15-C23, Class D, 4.145%, 7/15/50 W | $546,000 | $536,546 |
| FRB Ser. 13-C9, Class D, 4.115%, 5/15/46 W | 350,000 | 318,500 |
| FRB Ser. 13-C10, Class D, 4.082%, 7/15/46 W | 485,000 | 230,689 |
| FRB Ser. 13-C10, Class E, 4.082%, 7/15/46 W | 1,316,000 | 1,000,756 |
| FRB Ser. 13-C10, Class F, 4.082%, 7/15/46 W | 975,000 | 312,000 |
| Ser. 14-C17, Class E, 3.50%, 8/15/47 | 443,000 | 269,311 |
| Morgan Stanley Capital I Trust | ||
| Ser. 07-HQ11, Class C, 5.558%, 2/12/44 W | 171,039 | 46,696 |
| Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W | 434,023 | 427,388 |
| Multifamily Connecticut Avenue Securities Trust 144A FRB | ||
| Ser. 20-01, Class M10, (1 Month US LIBOR + 3.75%), 3.859%, 3/25/50 | 701,000 | 723,196 |
| TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, | ||
| 12/28/38 (In default) † | 558,952 | 6 |
| UBS-Barclays Commercial Mortgage Trust 144A | ||
| Ser. 12-C2, Class F, 5.00%, 5/10/63 W | 622,000 | 163,912 |
| Ser. 13-C6, Class B, 3.875%, 4/10/46 W | 297,000 | 303,003 |
| Wells Fargo Commercial Mortgage Trust FRB Ser. 20-C56, Class C, | ||
| 3.75%, 6/15/53 W | 281,000 | 286,229 |
| Wells Fargo Commercial Mortgage Trust 144A | ||
| FRB Ser. 13-LC12, Class D, 4.274%, 7/15/46 W | 188,000 | 93,975 |
| Ser. 14-LC16, Class D, 3.938%, 8/15/50 | 889,000 | 205,138 |
| WF-RBS Commercial Mortgage Trust 144A Ser. 12-C7, Class F, | ||
| 4.50%, 6/15/45 W | 2,524,000 | 1,209,115 |
| 18,793,226 | ||
| Residential mortgage-backed securities (non-agency) (13.6%) | ||
| American Home Mortgage Investment Trust FRB Ser. 07-1, | ||
| Class GA1C, (1 Month US LIBOR + 0.19%), 0.299%, 5/25/47 | 463,585 | 266,551 |
| BCAP, LLC Trust 144A FRB Ser. 11-RR3, Class 3A6, | ||
| 2.613%, 11/27/36 W | 730,745 | 584,596 |
| Bear Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (1 Month | ||
| US LIBOR + 0.50%), 0.609%, 1/25/36 | 77,673 | 95,725 |
| Chevy Chase Funding, LLC Mortgage-Backed Certificates | ||
| 144A FRB Ser. 06-4A, Class A2, (1 Month US LIBOR + 0.18%), | ||
| 0.298%, 11/25/47 | 277,190 | 220,324 |
| Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, | ||
| (1 Month US LIBOR + 0.35%), 0.459%, 3/25/37 | 962,279 | 887,900 |
| COLT Mortgage Loan Trust 144A Ser. 20-2, Class A3, | ||
| 3.698%, 3/25/65 W | 1,000,000 | 1,039,800 |
| Countrywide Alternative Loan Trust | ||
| FRB Ser. 06-OA7, Class 1A1, 2.289%, 6/25/46 W | 301,590 | 274,658 |
| FRB Ser. 05-38, Class A1, (1 Month US LIBOR + 1.50%), | ||
| 1.759%, 9/25/35 | 291,647 | 272,282 |
| FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), | ||
| 1.219%, 8/25/46 | 112,136 | 107,733 |
| FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), | ||
| 1.199%, 6/25/46 | 337,253 | 304,780 |
| FRB Ser. 05-38, Class A3, (1 Month US LIBOR + 0.70%), | ||
| 0.809%, 9/25/35 | 358,876 | 323,758 |
| FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), | ||
| 0.771%, 11/20/35 | 410,905 | 377,395 |
Master Intermediate Income Trust 27
$$/page=
| MORTGAGE-BACKED SECURITIES (44.3%)* cont. | Principal — amount | Value |
|---|---|---|
| Residential mortgage-backed securities (non-agency) cont. | ||
| Countrywide Alternative Loan Trust | ||
| FRB Ser. 06-OA10, Class 3A1, (1 Month US LIBOR + 0.38%), | ||
| 0.489%, 8/25/46 | $326,425 | $300,074 |
| FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), | ||
| 0.489%, 8/25/46 | 2,089,236 | 1,850,855 |
| Federal Home Loan Mortgage Corporation | ||
| Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, | ||
| (1 Month US LIBOR + 10.50%), 10.609%, 5/25/28 | 266,562 | 295,739 |
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, | ||
| (1 Month US LIBOR + 10.00%), 10.109%, 7/25/28 | 888,800 | 1,003,896 |
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, | ||
| (1 Month US LIBOR + 9.35%), 9.459%, 4/25/28 | 571,019 | 667,207 |
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, | ||
| (1 Month US LIBOR + 9.20%), 9.309%, 10/25/27 | 395,502 | 452,466 |
| Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA1, | ||
| Class B, (1 Month US LIBOR + 8.80%), 8.909%, 3/25/28 | 385,535 | 416,247 |
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, | ||
| (1 Month US LIBOR + 7.55%), 7.659%, 12/25/27 | 683,698 | 736,058 |
| Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M3, | ||
| (1 Month US LIBOR + 3.85%), 3.959%, 3/25/29 | 250,000 | 258,789 |
| Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, | ||
| (1 Month US LIBOR + 2.30%), 2.409%, 9/25/30 | 602,935 | 602,935 |
| Federal Home Loan Mortgage Corporation 144A | ||
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, | ||
| Class B2, (US 30 Day Average SOFR + 11.50%), 11.517%, 10/25/50 | 176,000 | 209,880 |
| Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, | ||
| (1 Month US LIBOR + 11.25%), 11.368%, 4/25/49 | 106,000 | 118,646 |
| Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, | ||
| (1 Month US LIBOR + 11.00%), 11.109%, 10/25/48 | 448,000 | 510,158 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, | ||
| (1 Month US LIBOR + 10.75%), 10.859%, 1/25/49 | 141,000 | 153,879 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, | ||
| (1 Month US LIBOR + 10.50%), 10.618%, 3/25/49 | 118,000 | 131,744 |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, | ||
| Class B2, (1 Month US LIBOR + 10.00%), 10.118%, 8/25/50 | 609,000 | 695,783 |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, | ||
| Class B2, (1 Month US LIBOR + 10.00%), 10.109%, 7/25/50 | 430,000 | 481,600 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA3, Class B2, | ||
| (1 Month US LIBOR + 8.15%), 8.268%, 7/25/49 | 135,000 | 139,325 |
| Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, | ||
| (1 Month US LIBOR + 7.75%), 7.859%, 9/25/48 | 174,000 | 177,253 |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, | ||
| Class B1, (1 Month US LIBOR + 5.75%), 5.859%, 7/25/50 | 298,000 | 312,520 |
| Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, | ||
| 4.75%, 8/25/58 W | 307,000 | 321,322 |
| Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, | ||
| 4.50%, 2/25/59 W | 636,000 | 660,276 |
| Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, | ||
| (1 Month US LIBOR + 4.25%), 4.359%, 10/25/48 | 380,000 | 385,225 |
| Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B1, | ||
| (1 Month US LIBOR + 3.90%), 4.009%, 9/25/48 | 190,000 | 192,023 |
28 Master Intermediate Income Trust
$$/page=
| MORTGAGE-BACKED SECURITIES (44.3%)* cont. | Principal — amount | Value |
|---|---|---|
| Residential mortgage-backed securities (non-agency) cont. | ||
| Federal Home Loan Mortgage Corporation 144A | ||
| Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, | ||
| (1 Month US LIBOR + 3.70%), 3.809%, 12/25/30 | $260,000 | $260,661 |
| Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, | ||
| Class M2, (1 Month US LIBOR + 3.10%), 3.218%, 3/25/50 | 367,000 | 370,556 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, | ||
| (1 Month US LIBOR + 2.65%), 2.759%, 1/25/49 | 148,965 | 149,806 |
| Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, | ||
| (1 Month US LIBOR + 2.45%), 2.568%, 3/25/49 | 121,504 | 121,656 |
| Structured Agency Credit Risk Trust FRB Ser. 19-HQA1, Class M2, | ||
| (1 Month US LIBOR + 2.35%), 2.459%, 2/25/49 | 147,680 | 147,857 |
| Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, | ||
| (1 Month US LIBOR + 2.30%), 2.409%, 10/25/48 | 120,000 | 119,885 |
| Federal National Mortgage Association | ||
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, | ||
| (1 Month US LIBOR + 12.75%), 12.859%, 10/25/28 | 89,557 | 108,379 |
| Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, | ||
| (1 Month US LIBOR + 12.25%), 12.359%, 9/25/28 | 1,113,108 | 1,364,252 |
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, | ||
| (1 Month US LIBOR + 11.75%), 11.859%, 10/25/28 | 566,382 | 685,079 |
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, | ||
| (1 Month US LIBOR + 11.75%), 11.859%, 8/25/28 | 367,357 | 441,039 |
| Connecticut Avenue Securities FRB Ser. 16-C05, Class 2B, | ||
| (1 Month US LIBOR + 10.75%), 10.859%, 1/25/29 | 119,560 | 137,463 |
| Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, | ||
| (1 Month US LIBOR + 9.25%), 9.359%, 4/25/29 | 19,873 | 22,363 |
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, | ||
| (1 Month US LIBOR + 5.90%), 6.009%, 10/25/28 | 561,451 | 593,756 |
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, | ||
| (1 Month US LIBOR + 5.70%), 5.809%, 4/25/28 | 1,027,235 | 1,089,618 |
| Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, | ||
| (1 Month US LIBOR + 5.55%), 5.659%, 4/25/28 | 35,981 | 37,909 |
| Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, | ||
| (1 Month US LIBOR + 5.50%), 5.609%, 9/25/29 | 477,000 | 513,511 |
| Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, | ||
| (1 Month US LIBOR + 5.00%), 5.109%, 7/25/25 | 83,827 | 84,830 |
| Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, | ||
| (1 Month US LIBOR + 4.85%), 4.959%, 10/25/29 | 1,170,000 | 1,247,781 |
| Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, | ||
| (1 Month US LIBOR + 4.50%), 4.609%, 12/25/30 | 283,000 | 292,360 |
| Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, | ||
| (1 Month US LIBOR + 4.45%), 4.559%, 5/25/30 | 82,000 | 84,384 |
| Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, | ||
| (1 Month US LIBOR + 4.45%), 4.559%, 2/25/30 | 60,000 | 61,500 |
| Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, | ||
| (1 Month US LIBOR + 4.00%), 4.109%, 5/25/25 | 11,075 | 11,197 |
| Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, | ||
| (1 Month US LIBOR + 3.60%), 3.709%, 1/25/30 | 182,000 | 185,108 |
| Connecticut Avenue Securities FRB Ser. 18-C01, Class 1B1, | ||
| (1 Month US LIBOR + 3.55%), 3.659%, 7/25/30 | 457,000 | 454,715 |
| Connecticut Avenue Securities FRB Ser. 17-C03, Class 1M2, | ||
| (1 Month US LIBOR + 3.00%), 3.109%, 10/25/29 | 477,293 | 487,199 |
Master Intermediate Income Trust 29
$$/page=
| MORTGAGE-BACKED SECURITIES (44.3%)* cont. | Principal — amount | Value |
|---|---|---|
| Residential mortgage-backed securities (non-agency) cont. | ||
| Federal National Mortgage Association | ||
| Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, | ||
| (1 Month US LIBOR + 2.50%), 2.609%, 5/25/30 | $246,169 | $247,235 |
| Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, | ||
| (1 Month US LIBOR + 2.25%), 2.359%, 7/25/30 | 46,973 | 46,973 |
| Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, | ||
| (1 Month US LIBOR + 2.10%), 2.209%, 3/25/31 | 67,803 | 67,429 |
| Federal National Mortgage Association 144A | ||
| Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, | ||
| (1 Month US LIBOR + 4.10%), 4.209%, 9/25/31 | 556,000 | 563,354 |
| Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, | ||
| Class 1M2, (1 Month US LIBOR + 3.65%), 3.759%, 2/25/40 | 504,000 | 504,520 |
| Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, | ||
| (1 Month US LIBOR + 2.45%), 2.559%, 7/25/31 | 43,660 | 43,741 |
| GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, (1 Month | ||
| US LIBOR + 0.36%), 0.469%, 5/25/36 | 526,818 | 185,962 |
| GSR Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (1 Month | ||
| US LIBOR + 0.31%), 0.419%, 5/25/37 | 283,171 | 237,446 |
| HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month | ||
| US LIBOR + 0.52%), 0.37%, 5/19/35 | 283,907 | 142,896 |
| JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, | ||
| (1 Month US LIBOR + 0.20%), 0.318%, 6/25/37 | 492,764 | 258,538 |
| Legacy Mortgage Asset Trust 144A FRB Ser. 19-GS2, Class A2, | ||
| 4.25%, 1/25/59 | 330,000 | 329,670 |
| Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, | ||
| (1 Month US LIBOR + 0.23%), 0.648%, 2/26/37 | 301,354 | 283,585 |
| MortgageIT Trust FRB Ser. 05-3, Class M2, (1 Month US LIBOR | ||
| + 0.80%), 0.904%, 8/25/35 | 76,307 | 74,861 |
| Oaktown Re II, Ltd. 144A FRB Ser. 18-1A, Class M2, (1 Month | ||
| US LIBOR + 2.85%), 2.959%, 7/25/28 (Bermuda) | 800,000 | 799,466 |
| Pretium Mortgage Credit Partners, LLC 144A FRB Ser. 20-RPL1, | ||
| Class A1, 3.819%, 5/27/60 | 234,370 | 235,868 |
| Radnor Re, Ltd. 144A FRB Ser. 18-1, Class M2, (1 Month US LIBOR | ||
| + 2.70%), 2.809%, 3/25/28 (Bermuda) | 794,000 | 795,272 |
| Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, | ||
| (1 Month US LIBOR + 0.43%), 0.539%, 5/25/46 | 248,050 | 220,765 |
| Structured Asset Mortgage Investments II Trust | ||
| FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), | ||
| 0.319%, 8/25/36 | 325,653 | 309,370 |
| FRB Ser. 06-AR7, Class A1BG, (1 Month US LIBOR + 0.12%), | ||
| 0.229%, 8/25/36 | 270,638 | 256,069 |
| Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, | ||
| 3.75%, 12/25/58 W | 216,000 | 229,854 |
| WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, | ||
| Class A1C3, (1 Month US LIBOR + 0.98%), 1.089%, 10/25/45 | 162,144 | 161,194 |
| Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR5, | ||
| Class 1A1, 2.871%, 4/25/36 W | 177,108 | 177,799 |
| 31,074,133 | ||
| Total mortgage-backed securities (cost $109,361,959) | $101,273,890 |
30 Master Intermediate Income Trust
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* | Principal — amount | Value |
|---|---|---|
| Basic materials (1.4%) | ||
| Allegheny Technologies, Inc. sr. unsec. unsub. notes | ||
| 7.875%, 8/15/23 | $151,000 | $163,080 |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. notes | ||
| 4.50%, 11/15/26 | 38,000 | 39,045 |
| Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.875%, 11/1/25 | 87,000 | 88,958 |
| Big River Steel, LLC/BRS Finance Corp. 144A sr. notes | ||
| 6.625%, 1/31/29 | 115,000 | 125,313 |
| Boise Cascade Co. 144A company guaranty sr. unsec. notes | ||
| 4.875%, 7/1/30 | 90,000 | 94,275 |
| Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 | 82,000 | 87,945 |
| Coeur Mining, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.125%, 2/15/29 | 120,000 | 114,714 |
| Compass Minerals International, Inc. 144A company guaranty sr. | ||
| unsec. notes 6.75%, 12/1/27 | 175,000 | 187,250 |
| Compass Minerals International, Inc. 144A company guaranty sr. | ||
| unsec. notes 4.875%, 7/15/24 | 63,000 | 65,126 |
| Core & Main LP 144A sr. unsec. notes 6.125%, 8/15/25 | 100,000 | 102,634 |
| FMG Resources August 2006 Pty, Ltd. 144A company guaranty sr. | ||
| unsec. bonds 4.375%, 4/1/31 (Australia) | 120,000 | 122,250 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. bonds | ||
| 4.625%, 8/1/30 (Indonesia) | 60,000 | 65,294 |
| Freeport-McMoRan, Inc. company guaranty sr. unsec. notes | ||
| 4.375%, 8/1/28 (Indonesia) | 60,000 | 63,645 |
| GCP Applied Technologies, Inc. 144A sr. unsec. notes | ||
| 5.50%, 4/15/26 | 203,000 | 208,826 |
| Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 | 179,000 | 188,621 |
| HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.50%, 4/1/26 (Canada) | 45,000 | 46,519 |
| HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.125%, 4/1/29 (Canada) | 30,000 | 32,025 |
| Ingevity Corp. 144A company guaranty sr. unsec. notes | ||
| 3.875%, 11/1/28 | 95,000 | 91,913 |
| Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging Ltd | ||
| Co-Issuer, LL 144A sr. notes 6.00%, 9/15/28 (Canada) | 25,000 | 25,813 |
| Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 | 160,000 | 155,600 |
| Mauser Packaging Solutions Holding Co. 144A sr. notes | ||
| 8.50%, 4/15/24 | 35,000 | 36,313 |
| Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) | 121,000 | 124,025 |
| Mercer International, Inc. 144A sr. unsec. notes 5.125%, | ||
| 2/1/29 (Canada) | 70,000 | 72,520 |
| Novelis Corp. 144A company guaranty sr. unsec. bonds | ||
| 5.875%, 9/30/26 | 145,000 | 151,786 |
| Novelis Corp. 144A company guaranty sr. unsec. notes | ||
| 4.75%, 1/30/30 | 80,000 | 82,409 |
| Taseko Mines, Ltd. 144A company guaranty sr. notes 7.00%, | ||
| 2/15/26 (Canada) | 105,000 | 106,890 |
| Trinseo Materials Operating SCA/Trinseo Materials Finance, | ||
| Inc. 144A company guaranty sr. unsec. notes 5.125%, | ||
| 4/1/29 (Luxembourg) | 120,000 | 123,750 |
Master Intermediate Income Trust 31
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value |
|---|---|---|
| Basic materials cont. | ||
| Tronox Finance PLC 144A company guaranty sr. unsec. notes | ||
| 5.75%, 10/1/25 (United Kingdom) | $147,000 | $153,340 |
| Tronox, Inc. 144A company guaranty sr. notes 6.50%, 5/1/25 | 20,000 | 21,450 |
| Tronox, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.625%, 3/15/29 | 90,000 | 90,113 |
| U.S. Concrete, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.125%, 3/1/29 | 45,000 | 46,350 |
| W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes | ||
| 5.625%, 10/1/24 | 121,000 | 132,798 |
| W.R. Grace & Co.-Conn. 144A company guaranty sr. unsec. notes | ||
| 4.875%, 6/15/27 | 80,000 | 82,816 |
| 3,293,406 | ||
| Capital goods (2.1%) | ||
| Allison Transmission, Inc. 144A company guaranty sr. unsec. | ||
| bonds 3.75%, 1/30/31 | 60,000 | 58,125 |
| Allison Transmission, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.75%, 10/1/27 | 234,000 | 248,695 |
| American Axle & Manufacturing, Inc. company guaranty sr. unsec. | ||
| notes 6.875%, 7/1/28 | 10,000 | 10,484 |
| Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. | ||
| notes 5.625%, 7/1/27 | 115,000 | 122,044 |
| Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 | 35,000 | 35,438 |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A | ||
| company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) | 330,000 | 338,762 |
| Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 | 80,000 | 85,576 |
| Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 | 45,000 | 47,773 |
| Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 | 80,000 | 84,400 |
| Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds | ||
| 7.375%, 12/15/26 | 150,000 | 180,563 |
| GFL Environmental, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.00%, 8/1/28 (Canada) | 45,000 | 43,538 |
| GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) | 115,000 | 121,181 |
| Husky III Holding, Ltd. 144A sr. unsec. notes 13.00%, 2/15/25 | ||
| (Canada) ‡‡ | 150,000 | 163,125 |
| MasTec, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.50%, 8/15/28 | 49,000 | 50,838 |
| Owens-Brockway Glass Container, Inc. 144A company guaranty sr. | ||
| unsec. notes 6.625%, 5/13/27 | 45,000 | 48,921 |
| Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A | ||
| company guaranty sr. notes 6.25%, 5/15/26 | 177,000 | 187,981 |
| Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A | ||
| company guaranty sr. unsec. notes 8.50%, 5/15/27 | 125,000 | 134,595 |
| Park-Ohio Industries, Inc. company guaranty sr. unsec. notes | ||
| 6.625%, 4/15/27 | 171,000 | 172,710 |
| RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes | ||
| 4.875%, 12/15/25 | 190,000 | 193,857 |
| Sensata Technologies BV 144A company guaranty sr. unsec. notes | ||
| 4.00%, 4/15/29 | 120,000 | 122,100 |
| Staples, Inc. 144A sr. notes 7.50%, 4/15/26 | 352,000 | 371,360 |
| Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes | ||
| 6.125%, 10/1/26 | 208,000 | 222,746 |
32 Master Intermediate Income Trust
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value |
|---|---|---|
| Capital goods cont. | ||
| Tennant Co. company guaranty sr. unsec. unsub. notes | ||
| 5.625%, 5/1/25 | $70,000 | $72,100 |
| Tenneco, Inc. 144A company guaranty sr. notes 7.875%, 1/15/29 | 10,000 | 11,244 |
| Tenneco, Inc. 144A company guaranty sr. notes 5.125%, 4/15/29 | 94,000 | 92,679 |
| Terex Corp. 144A company guaranty sr. unsec. notes | ||
| 5.00%, 5/15/29 | 60,000 | 62,112 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes | ||
| 6.375%, 6/15/26 | 86,000 | 88,903 |
| TransDigm, Inc. company guaranty sr. unsec. sub. notes | ||
| 5.50%, 11/15/27 | 148,000 | 152,995 |
| TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 672,000 | 712,253 |
| TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes | ||
| 4.625%, 1/15/29 | 80,000 | 78,783 |
| Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 | 223,000 | 228,296 |
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. | ||
| notes 7.25%, 6/15/28 | 115,000 | 128,685 |
| WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. | ||
| notes 7.125%, 6/15/25 | 55,000 | 60,143 |
| 4,733,005 | ||
| Communication services (2.2%) | ||
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company | ||
| guaranty sr. unsec. bonds 5.50%, 5/1/26 | 266,000 | 274,326 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| bonds 5.375%, 6/1/29 | 1,045,000 | 1,120,731 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| bonds 4.50%, 8/15/30 | 55,000 | 56,056 |
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. | ||
| notes 5.00%, 2/1/28 | 199,000 | 210,472 |
| CommScope Technologies, LLC 144A company guaranty sr. unsec. | ||
| notes 6.00%, 6/15/25 | 82,000 | 83,644 |
| CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 120,000 | 129,450 |
| DISH DBS Corp. company guaranty sr. unsec. unsub. notes | ||
| 5.875%, 11/15/24 | 245,000 | 256,405 |
| Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27 R | 84,000 | 90,334 |
| Frontier Communications Corp. 144A company guaranty sr. notes | ||
| 5.875%, 10/15/27 | 90,000 | 95,400 |
| Frontier Communications Corp. 144A notes 6.75%, 5/1/29 | 105,000 | 110,744 |
| Intelsat Jackson Holdings SA 144A company guaranty sr. notes | ||
| 8.00%, 2/15/24 (Luxembourg) | 6,000 | 6,210 |
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes | ||
| 5.25%, 3/15/26 | 264,000 | 271,920 |
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.625%, 9/15/27 | 85,000 | 87,479 |
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.25%, 7/1/28 | 40,000 | 40,452 |
| Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. | ||
| notes 3.625%, 1/15/29 | 55,000 | 53,281 |
| Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, | ||
| 1/15/23 (Canada) | 40,000 | 42,750 |
| Sprint Capital Corp. company guaranty sr. unsec. unsub. notes | ||
| 6.875%, 11/15/28 | 260,000 | 327,852 |
Master Intermediate Income Trust 33
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value | |
|---|---|---|---|
| Communication services cont. | |||
| Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 | $125,000 | $153,117 | |
| Sprint Corp. company guaranty sr. unsec. sub. notes | |||
| 7.875%, 9/15/23 | 433,000 | 494,703 | |
| Sprint Corp. company guaranty sr. unsec. sub. notes | |||
| 7.25%, 9/15/21 | 190,000 | 194,769 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. bonds | |||
| 2.875%, 2/15/31 | 80,000 | 77,320 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
| 5.375%, 4/15/27 | 19,000 | 20,142 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
| 4.00%, 4/15/22 | 45,000 | 45,788 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. notes | |||
| 2.625%, 2/15/29 | 55,000 | 53,407 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds | |||
| 4.75%, 2/1/28 | 148,000 | 158,160 | |
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes | |||
| 4.50%, 2/1/26 | 55,000 | 56,272 | |
| T-Mobile USA, Inc. 144A company guaranty sr. notes | |||
| 3.875%, 4/15/30 | 50,000 | 54,487 | |
| T-Mobile USA, Inc. 144A company guaranty sr. notes | |||
| 3.75%, 4/15/27 | 125,000 | 136,630 | |
| Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, | |||
| 4/15/27 (Canada) | 75,000 | 79,266 | |
| Virgin Media Secured Finance PLC 144A company guaranty sr. | |||
| bonds 5.00%, 4/15/27 (United Kingdom) | GBP | 115,000 | 165,684 |
| Zayo Group Holdings, Inc. 144A sr. notes 4.00%, 3/1/27 | $55,000 | 54,120 | |
| 5,001,371 | |||
| Consumer cyclicals (4.7%) | |||
| American Builders & Contractors Supply Co., Inc. 144A sr. notes | |||
| 4.00%, 1/15/28 | 60,000 | 60,000 | |
| BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, | |||
| 4/1/27 ‡‡ | 105,000 | 108,938 | |
| Boyd Gaming Corp. company guaranty sr. unsec. notes | |||
| 6.00%, 8/15/26 | 60,000 | 62,471 | |
| Boyd Gaming Corp. company guaranty sr. unsec. notes | |||
| 4.75%, 12/1/27 | 55,000 | 56,058 | |
| Brookfield Residential Properties, Inc./Brookfield Residential | |||
| US Corp. 144A company guaranty sr. unsec. notes 6.25%, | |||
| 9/15/27 (Canada) | 55,000 | 57,406 | |
| Carnival Corp. 144A sr. notes 11.50%, 4/1/23 | 50,000 | 57,313 | |
| Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 | 55,000 | 57,613 | |
| Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 | 110,000 | 112,063 | |
| Cinemark USA, Inc. company guaranty sr. unsec. sub. notes | |||
| 4.875%, 6/1/23 | 190,000 | 188,851 | |
| Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 | 25,000 | 27,375 | |
| Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. | |||
| notes 5.125%, 8/15/27 | 80,000 | 80,524 | |
| Cornerstone Building Brands, Inc. 144A company guaranty sr. | |||
| unsec. sub. notes 8.00%, 4/15/26 | 6,000 | 6,248 | |
| CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. | |||
| unsec. notes 5.25%, 10/15/25 | 320,000 | 320,000 |
34 Master Intermediate Income Trust
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value | |
|---|---|---|---|
| Consumer cyclicals cont. | |||
| Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. | |||
| notes 5.375%, 8/15/26 | $144,000 | $103,645 | |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. | |||
| unsec. notes 6.625%, 8/15/27 | 92,000 | 48,300 | |
| Entercom Media Corp. 144A company guaranty notes | |||
| 6.75%, 3/31/29 | 120,000 | 124,731 | |
| Entercom Media Corp. 144A company guaranty notes | |||
| 6.50%, 5/1/27 | 244,000 | 252,235 | |
| Ford Motor Co. sr. unsec. unsub. notes 9.00%, 4/22/25 | 152,000 | 184,089 | |
| Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 | 200,000 | 215,796 | |
| Gap, Inc. (The) 144A sr. notes 8.625%, 5/15/25 | 45,000 | 50,400 | |
| Gap, Inc. (The) 144A sr. notes 8.375%, 5/15/23 | 78,000 | 89,090 | |
| Gartner, Inc. 144A company guaranty sr. unsec. bonds | |||
| 3.75%, 10/1/30 | 45,000 | 44,438 | |
| Gartner, Inc. 144A company guaranty sr. unsec. notes | |||
| 4.50%, 7/1/28 | 25,000 | 25,781 | |
| Gray Television, Inc. 144A company guaranty sr. unsec. notes | |||
| 4.75%, 10/15/30 | 60,000 | 59,475 | |
| Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 | 200,000 | 217,250 | |
| Hanesbrands, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.375%, 5/15/25 | 45,000 | 47,616 | |
| Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes | |||
| 4.625%, 5/15/24 | 125,000 | 132,613 | |
| Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. | |||
| company guaranty sr. unsec. notes 4.875%, 4/1/27 | 88,000 | 91,850 | |
| iHeartCommunications, Inc. company guaranty sr. notes | |||
| 6.375%, 5/1/26 | 130,811 | 138,823 | |
| iHeartCommunications, Inc. company guaranty sr. unsec. notes | |||
| 8.375%, 5/1/27 | 271,721 | 290,402 | |
| IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 | |||
| (United Kingdom) | 65,000 | 74,831 | |
| IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 | |||
| (United Kingdom) | 150,000 | 168,000 | |
| Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds | |||
| 5.25%, 3/15/28 R | 194,000 | 201,518 | |
| Iron Mountain, Inc. 144A company guaranty sr. unsec. notes | |||
| 4.875%, 9/15/27 R | 268,000 | 273,360 | |
| JELD-WEN, Inc. 144A company guaranty sr. unsec. notes | |||
| 4.875%, 12/15/27 | 65,000 | 67,213 | |
| JELD-WEN, Inc. 144A company guaranty sr. unsec. notes | |||
| 4.625%, 12/15/25 | 70,000 | 70,875 | |
| JELD-WEN, Inc. 144A sr. notes 6.25%, 5/15/25 | 31,000 | 32,938 | |
| L Brands, Inc. company guaranty sr. unsec. notes 7.50%, | |||
| perpetual maturity | 128,000 | 145,600 | |
| L Brands, Inc. 144A company guaranty sr. notes 6.875%, 7/1/25 | 30,000 | 33,336 | |
| L Brands, Inc. 144A company guaranty sr. unsec. notes | |||
| 9.375%, 7/1/25 | 25,000 | 31,125 | |
| L Brands, Inc. 144A company guaranty sr. unsec. unsub. bonds | |||
| 6.625%, 10/1/30 | 55,000 | 62,322 | |
| La Financiere Atalian SASU company guaranty sr. unsec. notes | |||
| Ser. REGS, 4.00%, 5/15/24 (France) | EUR | 100,000 | 111,092 |
Master Intermediate Income Trust 35
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value | |
|---|---|---|---|
| Consumer cyclicals cont. | |||
| Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 | $57,000 | $55,005 | |
| LHMC Finco SARL sr. notes Ser. REGS, 6.25%, | |||
| 12/20/23 (Luxembourg) | EUR | 100,000 | 118,820 |
| Lions Gate Capital Holdings, LLC 144A company guaranty sr. | |||
| unsec. notes 5.875%, 11/1/24 | $181,000 | 186,318 | |
| Lions Gate Capital Holdings, LLC 144A sr. unsec. notes | |||
| 6.375%, 2/1/24 | 115,000 | 118,666 | |
| Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. | |||
| notes 4.875%, 11/1/24 | 46,000 | 46,814 | |
| Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. | |||
| sub. notes 5.625%, 3/15/26 | 99,000 | 102,821 | |
| Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 | 60,000 | 66,526 | |
| Masonite International Corp. 144A company guaranty sr. unsec. | |||
| notes 5.375%, 2/1/28 | 45,000 | 47,756 | |
| Mattamy Group Corp. 144A sr. unsec. notes 5.25%, | |||
| 12/15/27 (Canada) | 160,000 | 167,400 | |
| Mattamy Group Corp. 144A sr. unsec. notes 4.625%, | |||
| 3/1/30 (Canada) | 125,000 | 124,160 | |
| Mattel, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.875%, 12/15/27 | 170,000 | 186,629 | |
| Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 | 195,000 | 197,301 | |
| Mattel, Inc. 144A company guaranty sr. unsec. notes | |||
| 3.375%, 4/1/26 | 25,000 | 25,811 | |
| Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 | 180,000 | 183,825 | |
| Meredith Corp. 144A company guaranty sr. unsec. notes | |||
| 6.50%, 7/1/25 | 110,000 | 117,975 | |
| Motion Bondco DAC company guaranty sr. notes Ser. REGS, 4.50%, | |||
| 11/15/27 (Ireland) | EUR | 110,000 | 126,402 |
| MPH Acquisition Holdings, LLC 144A company guaranty sr. unsec. | |||
| notes 5.75%, 11/1/28 | $60,000 | 58,836 | |
| Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 | 110,000 | 114,128 | |
| NESCO Holdings II, Inc. 144A company guaranty notes | |||
| 5.50%, 4/15/29 ## | 90,000 | 92,295 | |
| Nexstar Broadcasting, Inc. 144A sr. unsec. notes 4.75%, 11/1/28 | 55,000 | 55,579 | |
| Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 | 160,000 | 168,198 | |
| Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. | |||
| unsec. notes 5.00%, 2/1/25 (Luxembourg) | 183,000 | 187,118 | |
| Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty | |||
| sr. unsec. notes 5.625%, 10/1/28 | 80,000 | 84,100 | |
| Nordstrom, Inc. 144A sr. notes 8.75%, 5/15/25 | 115,000 | 130,139 | |
| Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. | |||
| unsec. bonds 4.625%, 3/15/30 | 36,000 | 34,650 | |
| PM General Purchaser, LLC 144A sr. notes 9.50%, 10/1/28 | 170,000 | 181,475 | |
| Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A | |||
| company guaranty sr. notes 3.375%, 8/31/27 | 55,000 | 53,350 | |
| Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A | |||
| notes 6.25%, 1/15/28 | 115,000 | 119,714 | |
| QVC, Inc. company guaranty sr. notes 4.375%, 9/1/28 | 100,000 | 100,793 | |
| Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 | 278,000 | 331,515 | |
| Scientific Games International, Inc. 144A company guaranty sr. | |||
| notes 5.00%, 10/15/25 | 65,000 | 67,321 |
36 Master Intermediate Income Trust
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value |
|---|---|---|
| Consumer cyclicals cont. | ||
| Scientific Games International, Inc. 144A company guaranty sr. | ||
| unsec. notes 8.25%, 3/15/26 | $105,000 | $112,613 |
| Scotts Miracle-Gro, Co. (The) company guaranty sr. unsec. notes | ||
| 4.50%, 10/15/29 | 168,000 | 173,200 |
| Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A | ||
| company guaranty sr. unsec. notes 4.625%, 11/1/26 | 120,000 | 124,800 |
| Sinclair Television Group, Inc. 144A company guaranty sr. unsec. | ||
| bonds 5.50%, 3/1/30 | 95,000 | 92,625 |
| Sinclair Television Group, Inc. 144A sr. bonds 4.125%, 12/1/30 | 60,000 | 57,750 |
| Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 367,000 | 383,515 |
| Six Flags Theme Parks, Inc. 144A company guaranty sr. notes | ||
| 7.00%, 7/1/25 | 115,000 | 124,455 |
| Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds | ||
| 5.00%, 10/1/29 | 55,000 | 58,025 |
| Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 | 95,000 | 90,013 |
| Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | 10,000 | 10,366 |
| Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 115,000 | 114,425 |
| Taylor Morrison Communities, Inc. 144A sr. unsec. bonds | ||
| 5.125%, 8/1/30 | 125,000 | 132,813 |
| Taylor Morrison Communities, Inc. 144A sr. unsec. notes | ||
| 5.75%, 1/15/28 | 50,000 | 55,078 |
| TRI Pointe Group, Inc. sr. unsec. notes 5.70%, 6/15/28 | 55,000 | 60,787 |
| Univision Communications, Inc. 144A company guaranty sr. notes | ||
| 9.50%, 5/1/25 | 65,000 | 71,175 |
| Univision Communications, Inc. 144A company guaranty sr. notes | ||
| 6.625%, 6/1/27 | 115,000 | 122,811 |
| Univision Communications, Inc. 144A company guaranty sr. sub. | ||
| notes 5.125%, 2/15/25 | 54,000 | 54,540 |
| Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 | 10,000 | 10,353 |
| Valvoline, Inc. 144A company guaranty sr. unsec. unsub. notes | ||
| 4.25%, 2/15/30 | 60,000 | 61,200 |
| Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes | ||
| 4.875%, 9/15/28 | 25,000 | 25,625 |
| WMG Acquisition Corp. 144A company guaranty sr. bonds | ||
| 3.00%, 2/15/31 | 75,000 | 71,273 |
| Wolverine World Wide, Inc. 144A company guaranty sr. unsec. | ||
| bonds 5.00%, 9/1/26 | 101,000 | 102,389 |
| Wolverine World Wide, Inc. 144A company guaranty sr. unsec. | ||
| notes 6.375%, 5/15/25 | 70,000 | 74,550 |
| Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company | ||
| guaranty sr. unsec. sub. notes 5.25%, 5/15/27 | 150,000 | 156,975 |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. | ||
| unsec. bonds 5.125%, 10/1/29 | 145,000 | 148,408 |
| Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. | ||
| unsec. notes 7.75%, 4/15/25 | 35,000 | 37,943 |
| 10,762,751 | ||
| Consumer staples (1.4%) | ||
| 1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, | ||
| 10/15/30 (Canada) | 80,000 | 77,200 |
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty | ||
| notes 4.375%, 1/15/28 (Canada) | 77,000 | 77,363 |
Master Intermediate Income Trust 37
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value | |
|---|---|---|---|
| Consumer staples cont. | |||
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. | |||
| notes 3.875%, 1/15/28 (Canada) | $100,000 | $100,500 | |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, | |||
| LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 | 35,000 | 35,980 | |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, | |||
| LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 260,000 | 269,476 | |
| Avient Corp. 144A sr. unsec. notes 5.75%, 5/15/25 | 35,000 | 37,188 | |
| CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes | |||
| 3.25%, 2/15/29 | 18,000 | 17,775 | |
| Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 | 227,000 | 229,270 | |
| IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 | 60,000 | 64,587 | |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | |||
| 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 | 130,000 | 133,975 | |
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC | |||
| 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 | 110,000 | 115,500 | |
| Kraft Heinz Foods Co. company guaranty sr. unsec. notes | |||
| 3.00%, 6/1/26 | 159,000 | 167,641 | |
| Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes | |||
| 3.875%, 5/15/27 | 17,000 | 18,596 | |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | |||
| notes 4.875%, 5/15/28 | 85,000 | 91,308 | |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | |||
| unsub. notes 4.875%, 11/1/26 | 157,000 | 162,495 | |
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. | |||
| unsub. notes 4.625%, 11/1/24 | 37,000 | 38,396 | |
| Loxam SAS notes 3.75%, 7/15/26 (France) | EUR | 100,000 | 117,819 |
| Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 | $130,000 | 130,365 | |
| Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 | 118,000 | 123,605 | |
| Match Group, Inc. 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 60,000 | 61,306 | |
| Netflix, Inc. sr. unsec. notes 6.375%, 5/15/29 | 60,000 | 74,400 | |
| Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 | 120,000 | 136,429 | |
| Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 230,000 | 278,201 | |
| Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 60,000 | 70,953 | |
| Netflix, Inc. 144A sr. unsec. bonds 4.875%, 6/15/30 | 35,000 | 40,304 | |
| Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 | 66,000 | 72,848 | |
| Newell Brands, Inc. sr. unsec. unsub. notes 4.70%, 4/1/26 | 105,000 | 116,115 | |
| Prestige Brands, Inc. 144A company guaranty sr. unsec. notes | |||
| 5.125%, 1/15/28 | 95,000 | 99,616 | |
| TripAdvisor, Inc. 144A company guaranty sr. unsec. notes | |||
| 7.00%, 7/15/25 | 59,000 | 63,809 | |
| Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 | 55,000 | 52,882 | |
| Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 | 55,000 | 58,152 | |
| Yum! Brands, Inc. 144A sr. unsec. notes 7.75%, 4/1/25 | 25,000 | 27,375 | |
| 3,161,429 | |||
| Energy (3.8%) | |||
| Antero Resources Corp. 144A company guaranty sr. unsec. notes | |||
| 8.375%, 7/15/26 | 15,000 | 16,538 | |
| Apache Corp. sr. unsec. unsub. notes 4.875%, 11/15/27 | 35,000 | 35,875 | |
| Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 | 36,000 | 35,892 | |
| Callon Petroleum Co. company guaranty sr. unsec. unsub. notes | |||
| 6.25%, 4/15/23 | 90,000 | 80,100 |
38 Master Intermediate Income Trust
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value |
|---|---|---|
| Energy cont. | ||
| Callon Petroleum Co. 144A company guaranty notes 9.00%, 4/1/25 | $43,000 | $43,618 |
| ChampionX corp. company guaranty sr. unsec. notes | ||
| 6.375%, 5/1/26 | 129,000 | 135,128 |
| Cheniere Energy Partners LP 144A company guaranty sr. unsec. | ||
| bonds 4.00%, 3/1/31 | 90,000 | 91,575 |
| Comstock Resources, Inc. 144A company guaranty sr. unsec. notes | ||
| 7.50%, 5/15/25 | 23,000 | 23,863 |
| Continental Resources, Inc. company guaranty sr. unsec. notes | ||
| 4.375%, 1/15/28 | 135,000 | 142,567 |
| Continental Resources, Inc. company guaranty sr. unsec. unsub. | ||
| notes 4.50%, 4/15/23 | 105,000 | 108,748 |
| Continental Resources, Inc. 144A company guaranty sr. unsec. | ||
| bonds 5.75%, 1/15/31 | 127,000 | 143,492 |
| DCP Midstream Operating LP company guaranty sr. unsec. notes | ||
| 5.625%, 7/15/27 | 56,000 | 60,620 |
| Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 | 60,000 | 81,300 |
| Double Eagle III Midco 1 LLC/Double Eagle Finance Corp. 144A sr. | ||
| unsec. notes 7.75%, 12/15/25 | 130,000 | 138,804 |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. | ||
| bonds 5.75%, 1/30/28 | 196,000 | 207,039 |
| Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. | ||
| notes 6.625%, 7/15/25 | 115,000 | 122,905 |
| EnLink Midstream, LLC 144A company guaranty sr. unsec. notes | ||
| 5.625%, 1/15/28 | 105,000 | 101,533 |
| EQT Corp. sr. unsec. notes 5.00%, 1/15/29 | 10,000 | 10,700 |
| Global Partners LP/GLP Finance Corp. company guaranty sr. | ||
| unsec. notes 6.875%, 1/15/29 | 20,000 | 21,465 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. | ||
| notes 5.125%, 6/15/28 | 102,000 | 103,122 |
| Hess Midstream Operations LP 144A company guaranty sr. unsec. | ||
| sub. notes 5.625%, 2/15/26 | 217,000 | 224,253 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 5.00%, 2/1/28 | 195,000 | 197,496 |
| MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) | 196,000 | 202,458 |
| Nabors Industries, Inc. 144A company guaranty sr. unsec. notes | ||
| 9.00%, 2/1/25 | 70,097 | 71,849 |
| Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 | 96,000 | 99,144 |
| Newfield Exploration Co. sr. unsec. unsub. notes 5.625%, 7/1/24 | 25,000 | 27,469 |
| Northriver Midstream Finance LP 144A sr. notes 5.625%, | ||
| 2/15/26 (Canada) | 62,000 | 63,860 |
| Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds | ||
| 7.375%, 11/1/31 | 40,000 | 50,820 |
| Pertamina Persero PT 144A sr. unsec. unsub. notes 4.875%, | ||
| 5/3/22 (Indonesia) | 925,000 | 961,073 |
| Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, | ||
| 5/20/23 (Indonesia) | 200,000 | 211,791 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 5.999%, 1/27/28 (Brazil) | 169,000 | 186,323 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 5.60%, 1/3/31 (Brazil) | 879,000 | 926,290 |
| Petrobras Global Finance BV company guaranty sr. unsec. unsub. | ||
| notes 5.299%, 1/27/25 (Brazil) | 409,000 | 451,945 |
Master Intermediate Income Trust 39
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value | |
|---|---|---|---|
| Energy cont. | |||
| Petroleos de Venezuela SA company guaranty sr. unsec. bonds | |||
| Ser. REGS, 6.00%, 11/15/26 (Venezuela) (In default) † | $399,000 | $16,958 | |
| Petroleos de Venezuela SA company guaranty sr. unsec. unsub. | |||
| notes 5.375%, 4/12/27 (Venezuela) (In default) † | 824,000 | 35,020 | |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds | |||
| 6.50%, 1/23/29 (Mexico) | 432,000 | 437,513 | |
| Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB | |||
| 5.95%, 1/28/31 (Mexico) | 1,420,000 | 1,363,200 | |
| Precision Drilling Corp. 144A company guaranty sr. unsec. notes | |||
| 7.125%, 1/15/26 (Canada) | 51,000 | 49,343 | |
| Rattler Midstream LP 144A company guaranty sr. unsec. notes | |||
| 5.625%, 7/15/25 | 80,000 | 83,530 | |
| SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 | 136,000 | 125,800 | |
| SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 | 67,000 | 62,813 | |
| SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 49,000 | 45,276 | |
| SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 | 96,000 | 94,080 | |
| SM Energy Co. 144A company guaranty notes 10.00%, 1/15/25 | 30,000 | 33,750 | |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A | |||
| company guaranty sr. unsec. notes 5.50%, 1/15/28 | 130,000 | 126,100 | |
| Targa Resources Partners LP/Targa Resources Partners Finance | |||
| Corp. company guaranty sr. unsec. notes 6.875%, 1/15/29 | 35,000 | 38,560 | |
| Targa Resources Partners LP/Targa Resources Partners Finance | |||
| Corp. company guaranty sr. unsec. notes 6.50%, 7/15/27 | 185,000 | 201,036 | |
| Targa Resources Partners LP/Targa Resources Partners Finance | |||
| Corp. company guaranty sr. unsec. notes 5.50%, 3/1/30 | 35,000 | 36,750 | |
| Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, | |||
| 8/1/25 (Cayman Islands) | 41,325 | 38,846 | |
| Transocean Poseidon, Ltd. 144A company guaranty sr. notes | |||
| 6.875%, 2/1/27 | 88,000 | 81,339 | |
| Viper Energy Partners LP 144A company guaranty sr. unsec. notes | |||
| 5.375%, 11/1/27 | 35,000 | 36,400 | |
| WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 | 101,000 | 105,767 | |
| WPX Energy, Inc. sr. unsec. notes 4.50%, 1/15/30 | 29,000 | 31,227 | |
| WPX Energy, Inc. sr. unsec. sub. notes 5.875%, 6/15/28 | 117,000 | 128,957 | |
| WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 | 64,000 | 68,193 | |
| 8,620,113 | |||
| Financials (2.6%) | |||
| AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 | 105,000 | 109,856 | |
| Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A | |||
| sr. notes 4.25%, 10/15/27 | 30,000 | 30,273 | |
| Banca Monte dei Paschi di Siena SpA sr. unsec. unsub. notes | |||
| Ser. EMTN, 2.625%, 4/28/25 (Italy) | EUR | 105,000 | 125,840 |
| Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) | $200,000 | 222,819 | |
| CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 | 4,000 | 4,340 | |
| CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 | 242,000 | 272,553 | |
| CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 | 100,000 | 115,175 | |
| Commerzbank AG 144A unsec. sub. notes 8.125%, | |||
| 9/19/23 (Germany) | 200,000 | 228,810 | |
| Diversified Healthcare Trust company guaranty sr. unsec. notes | |||
| 9.75%, 6/15/25 R | 230,000 | 258,121 |
40 Master Intermediate Income Trust
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value |
|---|---|---|
| Financials cont. | ||
| ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.25%, 5/1/25 R | $45,000 | $45,900 |
| Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 | 53,000 | 54,921 |
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. | ||
| notes 5.25%, 6/1/25 | 115,000 | 128,924 |
| goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, | ||
| 12/1/24 (Canada) | 115,000 | 119,169 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 6.75%, 2/1/24 | 95,000 | 96,900 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company | ||
| guaranty sr. unsec. notes 6.25%, 5/15/26 | 104,000 | 108,940 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 4.375%, 2/1/29 | 64,000 | 62,541 |
| International Lease Finance Corp. sr. unsec. unsub. notes | ||
| 5.875%, 8/15/22 | 15,000 | 16,004 |
| Intesa Sanpaolo SpA 144A unsec. sub. notes 5.017%, 6/26/24 (Italy) | 200,000 | 218,277 |
| iStar, Inc. sr. unsec. notes 5.50%, 2/15/26 R | 90,000 | 91,575 |
| iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R | 156,000 | 162,303 |
| iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R | 122,000 | 122,842 |
| Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB | ||
| 3.875%, 4/15/31 (Brazil) | 930,000 | 902,100 |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital | ||
| Finance Corp. 144A company guaranty sr. unsec. unsub. notes | ||
| 5.25%, 10/1/25 R | 160,000 | 160,000 |
| Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance | ||
| Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R | 115,000 | 113,275 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. | ||
| unsec. notes 6.00%, 1/15/27 | 60,000 | 62,250 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. | ||
| unsec. notes 5.50%, 8/15/28 | 93,000 | 93,377 |
| Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. | ||
| unsec. notes 5.125%, 12/15/30 | 35,000 | 34,395 |
| NatWest Group PLC sr. unsec. unsub. FRN 4.269%, 3/22/25 | ||
| (United Kingdom) | 570,000 | 622,079 |
| PennyMac Financial Services, Inc. 144A company guaranty sr. | ||
| unsec. notes 5.375%, 10/15/25 | 110,000 | 114,021 |
| PHH Mortgage Corp. 144A company guaranty sr. notes | ||
| 7.875%, 3/15/26 | 105,000 | 107,625 |
| Provident Funding Associates LP/PFG Finance Corp. 144A sr. | ||
| unsec. notes 6.375%, 6/15/25 | 235,000 | 234,427 |
| Service Properties Trust company guaranty sr. unsec. unsub. | ||
| notes 7.50%, 9/15/25 R | 41,000 | 46,577 |
| Springleaf Finance Corp. company guaranty sr. unsec. notes | ||
| 8.875%, 6/1/25 | 45,000 | 49,851 |
| Springleaf Finance Corp. company guaranty sr. unsec. sub. notes | ||
| 7.125%, 3/15/26 | 60,000 | 69,201 |
| Springleaf Finance Corp. company guaranty sr. unsec. unsub. | ||
| notes 6.875%, 3/15/25 | 269,000 | 305,967 |
| Springleaf Finance Corp. company guaranty sr. unsec. unsub. | ||
| notes 5.375%, 11/15/29 | 120,000 | 127,650 |
| Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25 R | 150,000 | 155,742 |
Master Intermediate Income Trust 41
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value |
|---|---|---|
| Financials cont. | ||
| TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes | ||
| 11.125%, 4/1/23 | $83,000 | $84,245 |
| VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, | ||
| 10/17/22 (Russia) | 200,000 | 212,000 |
| 6,090,865 | ||
| Health care (1.8%) | ||
| Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 | 150,000 | 166,500 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 7.25%, 5/30/29 | 105,000 | 117,206 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 7.00%, 1/15/28 | 55,000 | 59,705 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 6.25%, 2/15/29 | 80,000 | 84,900 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 6.125%, 4/15/25 | 160,000 | 164,032 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes | ||
| 5.00%, 2/15/29 | 50,000 | 49,375 |
| Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes | ||
| 7.00%, 3/15/24 | 144,000 | 147,312 |
| Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 | 55,000 | 54,909 |
| Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 250,000 | 269,375 |
| Centene Corp. 144A sr. unsec. notes 5.375%, 8/15/26 | 89,000 | 93,886 |
| Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 | 82,000 | 85,747 |
| Charles River Laboratories International, Inc. 144A company | ||
| guaranty sr. unsec. notes 4.00%, 3/15/31 | 60,000 | 60,825 |
| Charles River Laboratories International, Inc. 144A company | ||
| guaranty sr. unsec. notes 3.75%, 3/15/29 | 55,000 | 55,000 |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. | ||
| notes 8.00%, 3/15/26 | 305,000 | 329,797 |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. | ||
| notes 6.00%, 1/15/29 | 10,000 | 10,575 |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. | ||
| notes 5.625%, 3/15/27 | 45,000 | 47,025 |
| CHS/Community Health Systems, Inc. 144A company guaranty sr. | ||
| unsec. sub. notes 6.875%, 4/1/28 | 105,000 | 95,573 |
| Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 5.90%, 8/28/28 | 130,000 | 147,388 |
| Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 144A company | ||
| guaranty sr. notes 6.125%, 4/1/29 (Luxembourg) | 45,000 | 45,450 |
| Global Medical Response, Inc. 144A sr. notes 6.50%, 10/1/25 | 55,000 | 56,925 |
| HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 245,000 | 276,238 |
| HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 | 55,000 | 55,635 |
| Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A | ||
| company guaranty sub. notes 10.00%, 4/15/25 (Luxembourg) | 55,000 | 54,725 |
| Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 | 60,000 | 60,300 |
| Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 155,000 | 166,346 |
| Service Corp. International sr. unsec. notes 3.375%, 8/15/30 | 40,000 | 39,042 |
| Tenet Healthcare Corp. company guaranty sr. notes | ||
| 4.625%, 7/15/24 | 240,000 | 244,020 |
| Tenet Healthcare Corp. 144A company guaranty notes | ||
| 6.25%, 2/1/27 | 28,000 | 29,564 |
42 Master Intermediate Income Trust
$$/page=
| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value |
|---|---|---|
| Health care cont. | ||
| Tenet Healthcare Corp. 144A company guaranty sr. notes | ||
| 7.50%, 4/1/25 | $30,000 | $32,390 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes | ||
| 5.125%, 11/1/27 | 235,000 | 245,740 |
| Tenet Healthcare Corp. 144A company guaranty sr. notes | ||
| 4.875%, 1/1/26 | 339,000 | 352,343 |
| Teva Pharmaceutical Finance Netherlands III BV company | ||
| guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) | 200,000 | 224,700 |
| Teva Pharmaceutical Finance Netherlands III BV company | ||
| guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) | 200,000 | 213,000 |
| 4,135,548 | ||
| Technology (0.9%) | ||
| CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 20,000 | 21,119 |
| CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 | 105,000 | 108,281 |
| Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes | ||
| 3.00%, 2/15/29 | 55,000 | 53,774 |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A | ||
| company guaranty sr. notes 6.02%, 6/15/26 | 260,000 | 307,670 |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A | ||
| company guaranty sr. unsec. notes 7.125%, 6/15/24 | 152,000 | 156,465 |
| Diebold Nixdorf, Inc. company guaranty sr. unsec. sub. notes | ||
| 8.50%, 4/15/24 | 105,000 | 107,258 |
| Diebold Nixdorf, Inc. 144A company guaranty sr. notes | ||
| 9.375%, 7/15/25 | 54,000 | 60,143 |
| Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 | 33,000 | 35,234 |
| Microchip Technology, Inc. 144A company guaranty sr. unsec. | ||
| notes 4.25%, 9/1/25 | 119,000 | 124,309 |
| Plantronics, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.50%, 5/31/23 | 280,000 | 281,186 |
| Plantronics, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.75%, 3/1/29 | 155,000 | 152,288 |
| Qorvo, Inc. 144A company guaranty sr. unsec. bonds | ||
| 3.375%, 4/1/31 | 55,000 | 53,894 |
| SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes | ||
| 5.50%, 9/30/27 | 203,000 | 215,180 |
| Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A | ||
| company guaranty sr. notes 5.75%, 6/1/25 | 45,000 | 47,531 |
| TTM Technologies, Inc. 144A company guaranty sr. unsec. notes | ||
| 4.00%, 3/1/29 | 90,000 | 88,650 |
| Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 | 170,000 | 173,631 |
| Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 | 120,000 | 121,480 |
| Western Digital Corp. company guaranty sr. unsec. notes | ||
| 4.75%, 2/15/26 | 44,000 | 48,508 |
| 2,156,601 | ||
| Transportation (0.2%) | ||
| American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company | ||
| guaranty sr. notes 5.75%, 4/20/29 | 120,000 | 127,896 |
| American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company | ||
| guaranty sr. notes 5.50%, 4/20/26 | 120,000 | 125,100 |
| Delta Air Lines Inc/SkyMiles IP, Ltd. 144A company guaranty sr. | ||
| notes 4.75%, 10/20/28 | 170,000 | 184,769 |
| 437,765 |
Master Intermediate Income Trust 43
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| CORPORATE BONDS AND NOTES (21.8%)* cont. | Principal — amount | Value |
|---|---|---|
| Utilities and power (0.7%) | ||
| AES Corp. (The) 144A sr. unsec. notes 3.30%, 7/15/25 | $40,000 | $42,434 |
| Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 | 29,000 | 28,665 |
| Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 | 45,000 | 45,113 |
| Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 | 58,000 | 59,731 |
| Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 | 170,000 | 171,428 |
| Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 | 25,000 | 24,370 |
| Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 | 10,000 | 9,743 |
| NRG Energy, Inc. company guaranty sr. unsec. notes | ||
| 7.25%, 5/15/26 | 94,000 | 97,760 |
| NRG Energy, Inc. company guaranty sr. unsec. notes | ||
| 6.625%, 1/15/27 | 27,000 | 28,080 |
| NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 | 102,000 | 110,753 |
| NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | 170,000 | 181,789 |
| NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 | 49,000 | 52,430 |
| Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. | ||
| notes 2.95%, 3/1/26 | 110,000 | 113,265 |
| Pacific Gas and Electric Co. sr. notes 3.30%, 3/15/27 | 30,000 | 31,267 |
| PG&E Corp. sr. sub. notes 5.00%, 7/1/28 | 105,000 | 110,930 |
| Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. | ||
| escrow company guaranty sr. notes 11.50%, 10/1/21 F | 90,000 | 72 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes | ||
| 4.30%, 7/15/29 | 50,000 | 52,810 |
| Vistra Operations Co., LLC 144A company guaranty sr. notes | ||
| 3.55%, 7/15/24 | 30,000 | 31,390 |
| Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes | ||
| 5.625%, 2/15/27 | 68,000 | 70,678 |
| Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes | ||
| 5.50%, 9/1/26 | 168,000 | 174,090 |
| Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. | ||
| notes 5.00%, 7/31/27 | 75,000 | 77,348 |
| 1,514,146 | ||
| Total corporate bonds and notes (cost $48,626,764) | $49,907,000 | |
| FOREIGN GOVERNMENT AND AGENCY | Principal | |
| BONDS AND NOTES (12.7%)* | amount | Value |
| Bahrain (Kingdom of) 144A sr. unsec. notes 7.375%, | ||
| 5/14/30 (Bahrain) | $960,000 | $1,065,593 |
| Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, | ||
| 6.50%, 2/15/23 (Argentina) (In default) † | 75,000 | 27,692 |
| Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, | ||
| 6/15/27 (Argentina) (In default) † | 2,140,000 | 801,934 |
| Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, | ||
| 1/26/22 (Argentina) (In default) † | 341,333 | 137,415 |
| Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 3.00%, | ||
| 6/1/27 (Argentina) | 1,477,524 | 868,717 |
| Cordoba (Province of) 144A sr. unsec. unsub. notes 3.00%, | ||
| 12/10/25 (Argentina) | 556,786 | 380,012 |
| Development Bank of Mongolia, LLC unsec. notes Ser. REGS, | ||
| 7.25%, 10/23/23 (Mongolia) | 340,000 | 367,200 |
| Dominican (Republic of) sr. unsec. unsub. notes 7.50%, 5/6/21 | ||
| (Dominican Republic) | 56,667 | 56,808 |
44 Master Intermediate Income Trust
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| FOREIGN GOVERNMENT AND AGENCY — BONDS AND NOTES (12.7%)* cont. | Principal — amount | Value | |
|---|---|---|---|
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, | |||
| 1/29/26 (Dominican Republic) | $661,000 | $763,455 | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, | |||
| 7/19/28 (Dominican Republic) | 180,000 | 202,770 | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, | |||
| 1/25/27 (Dominican Republic) | 284,000 | 316,660 | |
| Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.50%, | |||
| 1/27/25 (Dominican Republic) | 380,000 | 417,050 | |
| Dominican (Republic of) 144A sr. unsec. notes 4.50%, 1/30/30 | |||
| (Dominican Republic) | 260,000 | 262,600 | |
| Dominican (Republic of) 144A sr. unsec. unsub. bonds 5.50%, | |||
| 1/27/25 (Dominican Republic) | 725,000 | 795,688 | |
| Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, | |||
| 3/1/29 (Egypt) | 1,400,000 | 1,490,971 | |
| Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, | |||
| 6/11/25 (Egypt) | 600,000 | 633,744 | |
| Egypt (Arab Republic of) 144A sr. unsec. bonds 5.875%, | |||
| 2/16/31 (Egypt) | 720,000 | 673,992 | |
| Egypt (Arab Republic of) 144A sr. unsec. notes 5.75%, | |||
| 5/29/24 (Egypt) | 520,000 | 545,158 | |
| El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, | |||
| 1/18/27 (El Salvador) | 378,000 | 373,842 | |
| El Salvador (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, | |||
| 1/30/25 (El Salvador) | 300,000 | 300,000 | |
| Ghana (Republic of) sr. unsec. bonds Ser. REGS, 8.125%, | |||
| 3/26/32 (Ghana) | 1,800,000 | 1,734,750 | |
| Ghana (Republic of) 144A sr. unsec. notes 7.75%, 4/7/29 (Ghana) | 550,000 | 544,500 | |
| Indonesia (Republic of) sr. unsec. unsub. bonds 2.85%, | |||
| 2/14/30 (Indonesia) | 379,000 | 385,831 | |
| Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, | |||
| 1/8/26 (Indonesia) | 1,020,000 | 1,153,885 | |
| Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.125%, | |||
| 1/15/25 (Indonesia) | 360,000 | 394,647 | |
| Indonesia (Republic of) 144A sr. unsec. notes 4.75%, | |||
| 1/8/26 (Indonesia) | 200,000 | 226,248 | |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, | |||
| 1/8/27 (Indonesia) | 650,000 | 728,016 | |
| Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, | |||
| 4/15/23 (Indonesia) | 560,000 | 588,703 | |
| Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, | |||
| 3/22/30 (Ivory Coast) | EUR | 1,345,000 | 1,626,982 |
| Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.375%, | |||
| 3/3/28 (Ivory Coast) | $1,025,000 | 1,109,583 | |
| Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, | |||
| 7/23/24 (Ivory Coast) | 1,300,000 | 1,387,750 | |
| Kenya (Republic of) sr. unsec. notes Ser. REGS, 7.00%, | |||
| 5/22/27 (Kenya) | 710,000 | 754,375 | |
| Kenya (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, | |||
| 6/24/24 (Kenya) | 340,000 | 374,000 | |
| Mongolia (Government of) sr. unsec. notes Ser. REGS, 5.125%, | |||
| 4/7/26 (Mongolia) | 270,000 | 287,552 | |
| Oman (Sultanate of) sr. unsec. notes Ser. REGS, 6.00%, | |||
| 8/1/29 (Oman) | 499,000 | 518,940 |
Master Intermediate Income Trust 45
$$/page=
| FOREIGN GOVERNMENT AND AGENCY | Principal | |
|---|---|---|
| BONDS AND NOTES (12.7%)* cont. | amount | Value |
| Senegal (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.25%, | ||
| 7/30/24 (Senegal) | $2,670,000 | $2,870,250 |
| South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 | ||
| (South Africa) | 670,000 | 738,836 |
| South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 | ||
| (South Africa) | 360,000 | 371,704 |
| Turkey (Republic of) sr. unsec. unsub. notes 6.35%, | ||
| 8/10/24 (Turkey) | 430,000 | 430,538 |
| United Mexican States sr. unsec. unsub. bonds 3.25%, | ||
| 4/16/30 (Mexico) | 1,009,000 | 1,016,568 |
| Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) | ||
| (In default) † | 798,000 | 79,800 |
| Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 | ||
| (Venezuela) (In default) † | 371,000 | 37,100 |
| Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 | ||
| (Venezuela) (In default) † | 1,292,000 | 129,200 |
| Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, | ||
| 11/19/24 (Vietnam) | 910,000 | 1,017,965 |
| Total foreign government and agency bonds and notes (cost $30,483,641) | $28,989,024 | |
| Principal | ||
| CONVERTIBLE BONDS AND NOTES (7.9%)* | amount | Value |
| Capital goods (0.1%) | ||
| Middleby Corp. (The) 144A cv. sr. unsec. unsub. notes 1.00%, 9/1/25 | $165,000 | $232,547 |
| 232,547 | ||
| Communication services (0.4%) | ||
| Cable One, Inc. 144A company guaranty cv. sr. unsec. notes | ||
| 1.125%, 3/15/28 | 163,000 | 164,222 |
| DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | 363,000 | 348,952 |
| Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 | 38,000 | 48,381 |
| Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 | 79,000 | 91,403 |
| Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds | ||
| 2.75%, 12/1/49 | 188,000 | 194,956 |
| 847,914 | ||
| Consumer cyclicals (1.6%) | ||
| Alarm.com Holdings, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 | 110,000 | 102,025 |
| Booking Holdings, Inc. 144A cv. sr. unsec. notes 0.75%, 5/1/25 | 257,000 | 377,790 |
| Burlington Stores, Inc. 144A cv. sr. unsec. notes 2.25%, 4/15/25 | 185,000 | 277,847 |
| Carnival Corp. 144A cv. company guaranty notes 5.75%, 4/1/23 | 10,000 | 28,060 |
| Cinemark Holdings, Inc. 144A cv. sr. unsec. notes 4.50%, 8/15/25 | 50,000 | 83,313 |
| DraftKings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 3/15/28 | 165,000 | 163,268 |
| Expedia Group, Inc. 144A company guaranty cv. sr. unsec. unsub. | ||
| notes zero %, 2/15/26 | 166,000 | 181,189 |
| Ford Motor Co. 144A cv. sr. unsec. notes zero %, 3/15/26 | 218,000 | 220,180 |
| FTI Consulting, Inc. cv. sr. unsec. notes 2.00%, 8/15/23 | 131,000 | 190,998 |
| Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 | 21,000 | 20,051 |
| Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 | 100,000 | 126,800 |
| Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 | 192,000 | 268,205 |
| National Vision Holdings, Inc. 144A cv. sr. unsec. notes | ||
| 2.50%, 5/15/25 | 108,000 | 169,155 |
| NCL Corp, Ltd. 144A cv. company guaranty notes 5.375%, 8/1/25 | 153,000 | 264,767 |
46 Master Intermediate Income Trust
$$/page=
| CONVERTIBLE BONDS AND NOTES (7.9%)* cont. | Principal — amount | Value |
|---|---|---|
| Consumer cyclicals cont. | ||
| Penn National Gaming, Inc. cv. sr. unsec. notes 2.75%, 5/15/26 | $5,000 | $22,550 |
| RH cv. sr. unsec. notes zero %, 9/15/24 (acquired 3/18/21, cost | ||
| $13,344) ∆∆ | 13,000 | 36,688 |
| Royal Caribbean Cruises, Ltd. 144A cv. sr. unsec. notes | ||
| 2.875%, 11/15/23 | 312,000 | 405,288 |
| Sabre GLBL, Inc. 144A cv. company guaranty sr. unsec. notes | ||
| 4.00%, 4/15/25 | 22,000 | 45,694 |
| Shift4 Payments, Inc. 144A cv. sr. unsec. sub. notes | ||
| zero %, 12/15/25 | 109,000 | 136,315 |
| Square, Inc. 144A cv. sr. unsec. sub. notes 0.25%, 11/1/27 | 80,000 | 90,350 |
| Square, Inc. 144A cv. sr. unsec. sub. notes zero %, 5/1/26 | 80,000 | 89,152 |
| Vail Resorts, Inc. 144A cv. sr. unsec. sub. notes zero %, 1/1/26 | 146,000 | 149,396 |
| Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 | 83,000 | 114,955 |
| 3,564,036 | ||
| Consumer staples (0.5%) | ||
| Airbnb, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 | 160,000 | 167,040 |
| Bloomin’ Brands, Inc. 144A cv. sr. unsec. notes 5.00%, 5/1/25 | 11,000 | 26,551 |
| Chegg, Inc. 144A cv. sr. unsec. notes zero %, 9/1/26 | 111,000 | 119,325 |
| Etsy, Inc. 144A cv. sr. unsec. notes 0.125%, 9/1/27 | 107,000 | 139,969 |
| Lyft, Inc. 144A cv. sr. unsec. notes 1.50%, 5/15/25 | 137,000 | 242,490 |
| Shake Shack, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 | 84,000 | 83,528 |
| Uber Technologies, Inc. 144A cv. sr. unsec. notes zero %, 12/15/25 | 91,000 | 95,607 |
| Wayfair, Inc. 144A cv. sr. unsec. notes 0.625%, 10/1/25 | 189,000 | 201,758 |
| 1,076,268 | ||
| Energy (0.3%) | ||
| Enphase energy, Inc. 144A cv. sr. unsec. notes zero %, 3/1/28 | 156,000 | 143,906 |
| Pioneer Natural Resources Co. 144A cv. sr. unsec. notes | ||
| 0.25%, 5/15/25 | 251,000 | 393,066 |
| SolarEdge Technologies, Inc. 144A cv. sr. unsec. notes zero %, | ||
| 9/15/25 (Israel) | 72,000 | 91,944 |
| Sunrun, Inc. 144A cv. sr. unsec. notes zero %, 2/1/26 | 87,000 | 78,141 |
| Transocean, Inc. cv. company guaranty sr. unsec. sub. notes | ||
| 0.50%, 1/30/23 | 96,000 | 71,837 |
| 778,894 | ||
| Financials (0.3%) | ||
| Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes | ||
| 4.75%, 3/15/23 R | 108,000 | 110,570 |
| Encore Capital Group, Inc. cv. company guaranty sr. unsec. unsub. | ||
| notes 3.25%, 3/15/22 | 82,000 | 89,022 |
| IH Merger Sub, LLC cv. company guaranty sr. unsec. notes | ||
| 3.50%, 1/15/22 R | 96,000 | 135,720 |
| JPMorgan Chase Financial Co., LLC cv. company guaranty sr. | ||
| unsec. notes 0.25%, 5/1/23 | 109,000 | 120,718 |
| LendingTree, Inc. 144A cv. sr. unsec. notes 0.50%, 7/15/25 | 97,000 | 87,967 |
| Redfin Corp. 144A cv. sr. unsec. notes zero %, 10/15/25 | 135,000 | 157,866 |
| 701,863 | ||
| Health care (1.2%) | ||
| 1Life Healthcare, Inc. 144A cv. sr. unsec. notes 3.00%, 6/15/25 | 122,000 | 145,558 |
| BioMarin Pharmaceutical, Inc. 144A cv. sr. unsec. sub. notes | ||
| 1.25%, 5/15/27 | 91,000 | 89,235 |
Master Intermediate Income Trust 47
$$/page=
| CONVERTIBLE BONDS AND NOTES (7.9%)* cont. | Principal — amount | Value |
|---|---|---|
| Health care cont. | ||
| CONMED Corp. cv. sr. unsec. notes 2.625%, 2/1/24 | $93,000 | $145,370 |
| DexCom, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 11/15/25 | 141,000 | 138,444 |
| Envista Holdings Corp. 144A cv. sr. unsec. notes 2.375%, 6/1/25 | 29,000 | 59,343 |
| Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 | 315,000 | 430,763 |
| Guardant Health, Inc. 144A cv. sr. unsec. sub. notes | ||
| zero %, 11/15/27 | 169,000 | 216,743 |
| Halozyme Therapeutics, Inc. 144A cv. sr. unsec. notes | ||
| 0.25%, 3/1/27 | 156,000 | 142,058 |
| Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 | 118,000 | 156,804 |
| Integra LifeSciences Holdings Corp. cv. sr. unsec. notes 0.50%, | ||
| 8/15/25 (acquired 2/16/21, cost $50,000) ∆∆ | 114,000 | 126,757 |
| Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 | 77,000 | 86,913 |
| Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 0.75%, 6/15/24 | 77,000 | 84,552 |
| Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes | ||
| 1.50%, 8/15/24 (Ireland) | 152,000 | 164,255 |
| NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28 | 115,000 | 115,704 |
| Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 | 42,000 | 56,464 |
| Nevro Corp. cv. sr. unsec. unsub. notes 1.75%, 6/1/21 | 50,000 | 72,981 |
| Novocure, Ltd. 144A cv. sr. unsec. notes zero %, 11/1/25 (Jersey) | 66,000 | 73,054 |
| Omnicell, Inc. 144A cv. sr. unsec. notes 0.25%, 9/15/25 | 72,000 | 102,600 |
| Pacira Pharmaceuticals, Inc. 144A cv. sr. unsec. notes | ||
| 0.75%, 8/1/25 | 135,000 | 163,526 |
| Revance Therapeutics, Inc. cv. sr. unsec. notes 1.75%, 2/15/27 | ||
| (acquired 2/16/21, cost $72,760) ∆∆ | 73,000 | 81,808 |
| Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 | 64,000 | 70,118 |
| Teladoc Health, Inc. 144A cv. sr. unsec. sub. notes 1.25%, 6/1/27 | 104,000 | 115,575 |
| 2,838,625 | ||
| Technology (2.8%) | ||
| Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 | 315,000 | 341,578 |
| Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 | 111,000 | 134,241 |
| Bentley Systems, Inc. 144A cv. sr. unsec. notes 0.125%, 1/15/26 | 84,000 | 86,819 |
| Bill.com Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/25 | 153,000 | 182,070 |
| Blackline, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 | 179,000 | 173,742 |
| Box, Inc. 144A cv. sr. unsec. notes zero %, 1/15/26 | 110,000 | 124,506 |
| Ceridian HCM Holding, Inc. 144A cv. sr. unsec. notes 0.25%, 3/15/26 | 163,000 | 156,888 |
| Coupa Software, Inc. 144A cv. sr. unsec. notes 0.375%, 6/15/26 | 164,000 | 185,320 |
| Cree, Inc. 144A cv. sr. unsec. unsub. notes 1.75%, 5/1/26 | 20,000 | 47,238 |
| CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24 (Israel) | 90,000 | 97,029 |
| Datadog, Inc. 144A cv. sr. unsec. notes 0.125%, 6/15/25 | 126,000 | 148,759 |
| Envestnet, Inc. 144A cv. company guaranty sr. unsec. notes | ||
| 0.75%, 8/15/25 | 93,000 | 92,651 |
| Everbridge, Inc. 144A cv. sr. unsec. notes zero %, 3/15/26 | 120,000 | 117,000 |
| Five9, Inc. 144A cv. sr. unsec. notes 0.50%, 6/1/25 | 86,000 | 114,810 |
| Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 | 107,000 | 120,375 |
| HubSpot, Inc. 144A cv. sr. unsec. notes 0.375%, 6/1/25 | 53,000 | 90,994 |
| Inphi Corp. 144A cv. sr. unsec. notes 0.75%, 4/15/25 | 101,000 | 153,583 |
| j2 Global, Inc. 144A cv. sr. unsec. notes 1.75%, 11/1/26 | 92,000 | 107,813 |
| LivePerson, Inc. 144A cv. sr. unsec. notes zero %, 12/15/26 | 89,000 | 89,668 |
| Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 | 276,000 | 321,016 |
48 Master Intermediate Income Trust
$$/page=
| CONVERTIBLE BONDS AND NOTES (7.9%)* cont. | Principal — amount | Value |
|---|---|---|
| Technology cont. | ||
| Microchip Technology, Inc. cv. sr. unsec. sub. notes | ||
| 1.625%, 2/15/27 | $23,000 | $52,325 |
| Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 | 13,000 | 29,588 |
| Okta, Inc. 144A cv. sr. unsec. notes 0.375%, 6/15/26 | 151,000 | 176,104 |
| ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. | ||
| notes 1.625%, 10/15/23 | 79,000 | 163,777 |
| Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.375%, 6/1/25 | 584,000 | 721,240 |
| Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25, | ||
| (acquired 3/1/21, cost $50,000) ∆∆ | 72,000 | 78,570 |
| Proofpoint, Inc. cv. sr. unsec. notes 0.25%, 8/15/24 | 140,000 | 149,363 |
| Q2 Holdings, Inc. cv. sr. unsec. unsub. notes 0.75%, 6/1/26 | 59,000 | 76,883 |
| Rapid7, Inc. 144A cv. sr. unsec. notes 2.25%, 5/1/25 | 62,000 | 87,848 |
| RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 (acquired | ||
| 3/11/21, cost $132,000) ∆∆ | 168,000 | 184,065 |
| Silicon Laboratories, Inc. 144A cv. sr. unsec. notes 0.625%, 6/15/25 | 76,000 | 99,659 |
| Snap, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/26 | 10,000 | 23,581 |
| Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 6/15/27 | 337,000 | 319,518 |
| Synaptics, Inc. cv. sr. unsec. notes 0.50%, 6/15/22 | 32,000 | 58,960 |
| Twilio, Inc. cv. sr. unsec. notes 0.25%, 6/1/23 | 8,000 | 38,344 |
| Twitter, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/15/26 | 379,000 | 358,155 |
| Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 | 116,000 | 152,613 |
| Zendesk, Inc. 144A cv. sr. unsec. notes 0.625%, 6/15/25 | 199,000 | 274,739 |
| Zscaler, Inc. 144A cv. sr. unsec. notes 0.125%, 7/1/25 | 165,000 | 219,945 |
| Zynga, Inc. 144A cv. sr. unsec. unsub. notes zero %, 12/15/26 | 234,000 | 248,186 |
| 6,399,563 | ||
| Transportation (0.6%) | ||
| Air Transport Services Group, Inc. cv. sr. unsec. notes | ||
| 1.125%, 10/15/24 | 78,000 | 87,165 |
| American Airlines Group, Inc. cv. company guaranty notes | ||
| 6.50%, 7/1/25 | 232,000 | 398,460 |
| JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26 | 149,000 | 163,721 |
| Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 | 375,000 | 643,828 |
| 1,293,174 | ||
| Utilities and power (0.1%) | ||
| NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. | ||
| notes zero %, 11/15/25 | 125,000 | 133,984 |
| NRG Energy, Inc. cv. company guaranty sr. unsec. bonds | ||
| 2.75%, 6/1/48 | 129,000 | 150,263 |
| 284,247 | ||
| Total convertible bonds and notes (cost $15,951,312) | $18,017,131 | |
| Principal | ||
| SENIOR LOANS (3.4%)*c | amount | Value |
| Basic materials (0.4%) | ||
| Alpha 3 BV bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 2.50%), 3.00%, 3/5/28 | $70,000 | $69,738 |
| Diamond BC BV bank term loan FRN (BBA LIBOR USD 3 Month | ||
| + 3.00%), 3.109%, 9/6/24 | 30,350 | 30,170 |
| Messer Industries USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 2.50%), 2.703%, 3/1/26 | 103,485 | 102,580 |
Master Intermediate Income Trust 49
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| SENIOR LOANS (3.4%)*c cont. | Principal — amount | Value |
|---|---|---|
| Basic materials cont. | ||
| Pisces Midco, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 3.75%), 3.856%, 4/12/25 | $54,028 | $53,879 |
| PQ Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 2.25%), 2.462%, 2/7/27 | 24,149 | 23,951 |
| Solenis International, LLC bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 8.50%), 8.69%, 6/26/26 | 85,000 | 85,035 |
| Solenis International, LLC bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 4.00%), 4.19%, 6/26/25 | 142,127 | 141,594 |
| Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 2.75%), 2.86%, 10/1/25 | 214,846 | 211,354 |
| TAMKO Building Products, Inc. bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 3.25%), 3.365%, 5/31/26 | 145,000 | 144,184 |
| W.R. Grace & Co./CT bank term loan FRN Ser. B3, (1 Month | ||
| US LIBOR + 2.00%), 2.107%, 3/30/28 | 135,000 | 133,988 |
| 996,473 | ||
| Capital goods (0.8%) | ||
| American Axle and Manufacturing, Inc. bank term loan FRN | ||
| (BBA LIBOR USD 3 Month + 2.25%), 3.00%, 4/6/24 | 24,953 | 24,756 |
| Berry Global Group, Inc. bank term loan FRN Ser. BZ, (BBA LIBOR | ||
| USD 3 Month + 1.75%), 1.898%, 7/1/26 | 124,688 | 123,480 |
| BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 3.25%), 3.443%, 4/3/24 | 351,313 | 343,094 |
| Filtration Group Corp. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 3.75%), 4.50%, 3/29/25 | 69,650 | 69,528 |
| Gates Global, LLC bank term loan FRN (BBA LIBOR USD 3 Month | ||
| + 2.75%), 3.50%, 3/31/27 | 59,850 | 59,663 |
| GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 3.00%), 3.50%, 5/31/25 | 196,788 | 196,718 |
| Harsco Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 2.25%), 2.75%, 3/5/28 | 100,000 | 99,125 |
| Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR | ||
| USD 3 Month + 2.75%), 2.859%, 2/5/23 | 52,847 | 52,665 |
| Staples, Inc. bank term loan FRN (BBA LIBOR USD 3 Month | ||
| + 5.00%), 5.205%, 4/12/26 | 88,524 | 86,394 |
| Titan Acquisition, Ltd./United Kingdom bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 3.00%), 3.267%, 3/28/25 | 220,184 | 215,551 |
| Vertical US Newco, Inc. bank term loan FRN Ser. B, (1 Month | ||
| US LIBOR + 4.25%), 4.478%, 7/31/27 | 208,951 | 209,213 |
| Vertiv Group Corp. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 2.75%), 2.869%, 3/2/27 | 405,908 | 402,737 |
| 1,882,924 | ||
| Communication services (0.2%) | ||
| Asurion, LLC bank term loan FRN Ser. B7, (BBA LIBOR USD 3 Month | ||
| + 3.00%), 3.109%, 11/3/24 | 150,016 | 149,360 |
| Intelsat Jackson Holdings SA bank term loan FRN Ser. B3, | ||
| (BBA LIBOR USD 3 Month + 3.75%), 8.00%, 11/27/23 | 275,000 | 279,010 |
| Zayo Group Holdings, Inc. bank term loan FRN (1 Month US LIBOR | ||
| + 3.00%), 3.109%, 3/9/27 | 57,901 | 57,384 |
| 485,754 |
50 Master Intermediate Income Trust
$$/page=
| SENIOR LOANS (3.4%)*c cont. | Principal — amount | Value |
|---|---|---|
| Consumer cyclicals (0.9%) | ||
| AppleCaramel Buyer, LLC bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 4.00%), 4.50%, 10/19/27 | $89,775 | $89,538 |
| Cengage Learning, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 4.25%), 5.25%, 6/7/23 | 75,000 | 74,170 |
| Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 3.50%), 3.712%, 8/21/26 | 233,725 | 224,459 |
| Cornerstone Building Brands, Inc. bank term loan FRN Ser. B, | ||
| (1 Month US LIBOR + 3.25%), 3.449%, 4/12/28 | 100,000 | 99,563 |
| CPG International, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 2.50%), 3.25%, 5/5/24 | 100,227 | 100,076 |
| Diamond Sports Group, LLC bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 3.25%), 3.36%, 8/24/26 | 98,500 | 68,868 |
| Garda World Security Corp. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 4.75%), 5.75%, 10/30/26 | 82,448 | 82,418 |
| Golden Nugget, LLC bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 2.50%), 3.25%, 10/4/23 | 84,804 | 83,426 |
| Gray Television, Inc. bank term loan FRN Ser. C, (BBA LIBOR USD | ||
| 3 Month + 2.50%), 2.615%, 11/2/25 | 81,122 | 80,463 |
| iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 4.00%), 4.75%, 5/1/26 | 79,400 | 78,259 |
| iHeartCommunications, Inc. bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 3.00%), 3.109%, 5/1/26 | 49,375 | 48,749 |
| Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month | ||
| + 3.50%), 3.62%, 11/6/24 | 345,477 | 345,218 |
| Nexstar Broadcasting, Inc. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 2.50%), 2.615%, 9/19/26 | 125,098 | 124,048 |
| Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 8.00%), 9.00%, 2/28/26 | 100,000 | 85,750 |
| Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 3.50%), 4.50%, 2/28/25 | 158,260 | 148,171 |
| Scientific Games International, Inc. bank term loan FRN Ser. B5, | ||
| (BBA LIBOR USD 3 Month + 2.75%), 2.859%, 8/14/24 | 63,848 | 62,531 |
| Terrier Media Buyer, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 3.50%), 3.609%, 12/17/26 | 123,565 | 122,349 |
| Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 4.00%), 5.00%, 7/24/24 | 186,589 | 185,190 |
| 2,103,246 | ||
| Consumer staples (0.4%) | ||
| Ascend Learning, LLC bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 3.00%), 4.00%, 7/12/24 | 268,711 | 267,703 |
| Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR | ||
| USD 3 Month + 4.25%), 5.25%, 6/21/24 | 389,537 | 382,903 |
| IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 3.25%), 4.25%, 12/15/27 | 39,900 | 39,772 |
| IRB Holding Corp. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 2.75%), 2.953%, 2/5/25 | 97,980 | 97,105 |
| 787,483 |
Master Intermediate Income Trust 51
$$/page=
| SENIOR LOANS (3.4%)*c cont. | Principal — amount | Value |
|---|---|---|
| Financials (0.1%) | ||
| Forest City Enterprises LP bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 3.50%), 3.609%, 12/7/25 | $125,000 | $122,000 |
| HUB International, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 3.25%), 4.00%, 4/25/25 | 44,439 | 44,387 |
| 166,387 | ||
| Health care (0.3%) | ||
| Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR | ||
| USD 3 Month + 1.75%), 1.865%, 2/4/27 | 63,108 | 62,218 |
| Enterprise Merger Sub, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 3.75%), 3.859%, 10/10/25 | 104,733 | 89,998 |
| Global Medical Response, Inc. bank term loan FRN (BBA LIBOR | ||
| USD 3 Month + 4.75%), 5.75%, 10/2/25 | 234,413 | 233,533 |
| Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, | ||
| (BBA LIBOR USD 3 Month + 3.25%), 3.359%, 6/30/25 | 126,435 | 126,158 |
| Quorum Health Corp. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 8.25%), 9.25%, 4/29/25 | 104,645 | 106,214 |
| 618,121 | ||
| Technology (0.2%) | ||
| Boxer Parent Co., Inc. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 3.75%), 3.859%, 10/2/25 | 184,471 | 183,527 |
| Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 3.25%), 4.00%, 7/30/27 | 94,525 | 94,200 |
| Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR | ||
| USD 3 Month + 4.00%), 4.75%, 10/8/27 | 90,000 | 89,933 |
| Plantronics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD | ||
| 3 Month + 2.50%), 2.615%, 7/2/25 | 154,455 | 152,221 |
| 519,881 | ||
| Transportation (0.1%) | ||
| Aadvantage Loyalty LP, Ltd. bank term loan FRN (1 Month US LIBOR | ||
| + 4.75%), 5.50%, 3/10/28 (Cayman Islands) | 55,000 | 56,208 |
| Genesee & Wyoming, Inc. bank term loan FRN (BBA LIBOR USD | ||
| 3 Month + 2.00%), 2.203%, 11/5/26 | 64,350 | 64,109 |
| 120,317 | ||
| Total senior loans (cost $7,707,080) | $7,680,586 |
| PURCHASED SWAP OPTIONS OUTSTANDING (3.3%)* — Counterparty | Notional/ | ||
|---|---|---|---|
| Fixed right % to receive or (pay)/ | Expiration | contract | |
| Floating rate index/Maturity date | date/strike | amount | Value |
| Bank of America N.A. | |||
| (1.185)/3 month USD-LIBOR-BBA/Dec-25 | Dec-23/1.185 | $18,054,200 | $267,924 |
| 0.485/3 month USD-LIBOR-BBA/Jan-25 | Jan-24/0.485 | 18,054,200 | 14,082 |
| Barclays Bank PLC | |||
| (1.08)/3 month USD-LIBOR-BBA/Jun-26 | |||
| (United Kingdom) | Jun-21/1.08 | 89,742,200 | 771,783 |
| Citibank, N.A. | |||
| (2.023)/3 month USD-LIBOR-BBA/Jun-51 | Jun-21/2.023 | 1,426,100 | 85,209 |
| (1.736)/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.736 | 5,913,900 | 57,838 |
| 1.736/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.736 | 5,913,900 | 29,806 |
| (0.271)/3 month USD-LIBOR-BBA/Jun-23 | Jun-21/0.271 | 17,113,400 | 27,724 |
52 Master Intermediate Income Trust
$$/page=
| PURCHASED SWAP OPTIONS OUTSTANDING (3.3%)* cont. — Counterparty | Notional/ | |||
|---|---|---|---|---|
| Fixed right % to receive or (pay)/ | Expiration | contract | ||
| Floating rate index/Maturity date | date/strike | amount | Value | |
| Citibank, N.A. cont. | ||||
| 0.915/3 month USD-LIBOR-BBA/Jul-31 | Jul-21/0.915 | $5,802,300 | $1,218 | |
| 1.13/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.13 | 11,836,600 | 237 | |
| Goldman Sachs International | ||||
| 2.988/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 | 3,156,500 | 238,537 | |
| (2.988)/3 month USD-LIBOR-BBA/Feb-39 | Feb-29/2.988 | 3,156,500 | 155,142 | |
| (1.62)/3 month USD-LIBOR-BBA/Aug-31 | Aug-21/1.62 | 4,365,200 | 140,603 | |
| (2.983)/3 month USD-LIBOR-BBA/May-52 | May-22/2.983 | 5,508,200 | 132,748 | |
| 1.065/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.065 | 11,604,600 | 12 | |
| JPMorgan Chase Bank N.A. | ||||
| (1.167)/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.167 | 40,484,000 | 2,351,716 | |
| 2.795/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 | 3,169,000 | 207,284 | |
| 2.7575/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 | 3,169,000 | 202,024 | |
| (2.7575)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.7575 | 3,169,000 | 177,274 | |
| (2.795)/3 month USD-LIBOR-BBA/Dec-37 | Dec-27/2.795 | 3,169,000 | 172,869 | |
| Morgan Stanley & Co. International PLC | ||||
| 3.00/3 month USD-LIBOR-BBA/Apr-72 | Apr-47/3.00 | 3,150,300 | 538,827 | |
| 3.00/3 month USD-LIBOR-BBA/Feb-73 | Feb-48/3.00 | 3,150,300 | 532,117 | |
| 2.75/3 month USD-LIBOR-BBA/May-73 | May-48/2.75 | 3,150,300 | 444,318 | |
| (1.613)/3 month USD-LIBOR-BBA/Aug-34 | Aug-24/1.613 | 3,902,100 | 385,879 | |
| 1.613/3 month USD-LIBOR-BBA/Aug-34 | Aug-24/1.613 | 3,902,100 | 76,520 | |
| (2.904)/3 month USD-LIBOR-BBA/May-51 | May-21/2.904 | 2,360,700 | 2,172 | |
| Toronto-Dominion Bank | ||||
| (1.04)/3 month USD-LIBOR-BBA/Mar-55 (Canada) | Mar-25/1.04 | 588,000 | 191,035 | |
| UBS AG | ||||
| (0.153)/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 5,920,000 | 142,666 |
| 0.153/6 month EUR-EURIBOR-Reuters/Sep-29 | Sep-24/0.153 | EUR | 5,920,000 | 120,659 |
| Total purchased swap options outstanding (cost $4,886,947) | $7,468,223 |
| PURCHASED OPTIONS — OUTSTANDING (0.2%)* | Expiration — date/strike | Notional | Contract | |
|---|---|---|---|---|
| Counterparty | price | amount | amount | Value |
| JPMorgan Chase Bank N.A. | ||||
| Uniform Mortgage-Backed | ||||
| Securities 30 yr 2.00% TBA | ||||
| commitments (Call) | May-21/$99.97 | $56,000,000 | $56,000,000 | $285,096 |
| Uniform Mortgage-Backed | ||||
| Securities 30 yr 2.50% TBA | ||||
| commitments (Call) | May-21/102.78 | 21,000,000 | 21,000,000 | 75,936 |
| Total purchased options outstanding (cost $448,438) | $361,032 |
| ASSET-BACKED SECURITIES (0.9%)* | Principal — amount | Value |
|---|---|---|
| 1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, | ||
| (BBA LIBOR USD 3 Month + 2.90%), 3.088%, 7/25/24 | $594,000 | $594,000 |
| CarMax Auto Owner Trust Ser. 20-2, Class D, 6.87%, 5/17/27 | 800,000 | 893,168 |
| LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, | ||
| 2.09%, 9/25/26 W | 133,000 | 132,987 |
Master Intermediate Income Trust 53
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| ASSET-BACKED SECURITIES (0.9%)* cont. | Principal — amount | Value |
|---|---|---|
| Mello Warehouse Securitization Trust 144A FRB Ser. 19-1, Class A, | ||
| (1 Month US LIBOR + 0.80%), 0.909%, 6/25/52 | $164,000 | $163,898 |
| RMF Buyout Issuance Trust 144A Ser. 20-2, Class M3, | ||
| 4.571%, 6/25/30 W | 209,000 | 211,006 |
| Total asset-backed securities (cost $1,899,981) | $1,995,059 | |
| COMMON STOCKS (0.1%)* | Shares | Value |
| Advanz Pharma Corp., Ltd. (Canada) † | 985 | $16,745 |
| CHC Group, LLC † | 5,182 | 104 |
| iHeartMedia, Inc. Class A † | 6,510 | 118,157 |
| MWO Holdings, LLC (Units) F | 73 | 186 |
| Oasis Petroleum, Inc. | 378 | 22,449 |
| Stearns Holdings, LLC Class B F | 6,776 | 16,195 |
| Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 9,820 | 10,311 |
| Tribune Media Co. Class 1C | 40,066 | 4,007 |
| Total common stocks (cost $560,418) | $188,154 |
| SHORT-TERM INVESTMENTS (16.1%)* | Principal amount/ | shares | Value |
|---|---|---|---|
| Putnam Short Term Investment Fund 0.09% L | Shares | 14,963,287 | $14,963,287 |
| State Street Institutional U.S. Government Money Market Fund, | |||
| Premier Class 0.04% P | Shares | 330,000 | 330,000 |
| U.S. Treasury Bills zero%, 5/20/21 i | $613,000 | 613,000 | |
| U.S. Treasury Bills zero%, 7/29/21 i | 302,000 | 301,970 | |
| U.S. Treasury Cash Management Bills 0.007%, 7/6/21 # ∆ § | 900,000 | 899,969 | |
| U.S. Treasury Bills 0.083%, 5/13/21 # ∆ § | 4,200,000 | 4,199,890 | |
| U.S. Treasury Bills 0.088%, 5/6/21 # ∆ | 1,843,000 | 1,842,969 | |
| U.S. Treasury Bills 0.079%, 4/15/21 # ∆ | 2,700,000 | 2,699,984 | |
| U.S. Treasury Bills 0.037%, 6/3/21 ∆ § | 5,000,000 | 4,999,847 | |
| U.S. Treasury Bills 0.039%, 6/10/21 ∆ § | 2,100,000 | 2,099,933 | |
| U.S. Treasury Cash Management Bills 0.041%, 6/1/21 ∆ § | 1,600,000 | 1,599,959 | |
| U.S. Treasury Bills 0.056%, 5/25/21 ∆ | 1,300,000 | 1,299,966 | |
| U.S. Treasury Cash Management Bills 0.023%, 7/20/21 ∆ | 800,000 | 799,956 | |
| U.S. Treasury Cash Management Bills 0.019%, 7/27/21 ∆ | 100,000 | 99,994 | |
| Total short-term investments (cost $36,749,846) | $36,750,724 | ||
| TOTAL INVESTMENTS | |||
| Total investments (cost $429,946,631) | $425,456,688 |
Key to holding’s currency abbreviations
| AUD | Australian Dollar |
|---|---|
| CAD | Canadian Dollar |
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| SEK | Swedish Krona |
54 Master Intermediate Income Trust
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Key to holding’s abbreviations
| DAC | Designated Activity Company |
|---|---|
| EMTN | Euro Medium Term Notes |
| FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may |
| be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the | |
| close of the reporting period. | |
| FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. |
| Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in | |
| place at the close of the reporting period. | |
| IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the |
| market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is | |
| the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | |
| IO | Interest Only |
| OJSC | Open Joint Stock Company |
| PO | Principal Only |
| REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except |
| pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the | |
| Securities Act of 1933. | |
| TBA | To Be Announced Commitments |
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from October 1, 2020 through March 31, 2021 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures .
- Percentages indicated are based on net assets of $228,536,872.
† This security is non-income-producing.
∆∆ This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $405,631, or 0.18% of net assets.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $506,991 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
∆ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $16,379,840 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $3,220,989 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
Forward commitment, in part or in entirety (Note 1).
c Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).
F This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).
i This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
Master Intermediate Income Trust 55
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L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
P This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
R Real Estate Investment Trust.
W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $191,805,812 to cover certain derivative contracts, delayed delivery securities and the settlement of certain securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
See Note 1 to the financial statements regarding TBA commitments.
The dates shown on debt obligations are the original maturity dates.
| FORWARD CURRENCY CONTRACTS at 3/31/21 (aggregate face value $158,279,212) (Unaudited) | ||||||
|---|---|---|---|---|---|---|
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type * | date | Value | face value | (depreciation) |
| Bank of America N.A. | ||||||
| Australian Dollar | Sell | 4/21/21 | $1,423,682 | $1,430,299 | $6,617 | |
| Canadian Dollar | Buy | 4/21/21 | 375,048 | 377,473 | (2,425) | |
| Euro | Buy | 6/16/21 | 2,161,938 | 2,190,736 | (28,798) | |
| Hong Kong Dollar | Sell | 5/20/21 | 1,056,837 | 1,059,956 | 3,119 | |
| Japanese Yen | Buy | 5/19/21 | 1,396,537 | 1,473,625 | (77,088) | |
| New Zealand Dollar | Sell | 4/21/21 | 413,235 | 429,468 | 16,233 | |
| Norwegian Krone | Buy | 6/16/21 | 387,550 | 389,879 | (2,329) | |
| Swiss Franc | Buy | 6/16/21 | 471,630 | 474,896 | (3,266) | |
| Barclays Bank PLC | ||||||
| British Pound | Sell | 6/16/21 | 269,850 | 273,772 | 3,922 | |
| Canadian Dollar | Sell | 4/21/21 | 963,363 | 955,296 | (8,067) | |
| Euro | Sell | 6/16/21 | 4,076,771 | 4,131,887 | 55,116 | |
| Japanese Yen | Buy | 5/19/21 | 1,332,156 | 1,405,410 | (73,254) | |
| New Zealand Dollar | Sell | 4/21/21 | 151,340 | 157,296 | 5,956 | |
| Citibank, N.A. | ||||||
| Australian Dollar | Sell | 4/21/21 | 740,403 | 757,130 | 16,727 | |
| British Pound | Sell | 6/16/21 | 2,875,411 | 2,917,206 | 41,795 | |
| Canadian Dollar | Buy | 4/21/21 | 747,470 | 749,823 | (2,353) | |
| Euro | Sell | 6/16/21 | 2,124,003 | 2,152,699 | 28,696 | |
| Hong Kong Dollar | Sell | 5/20/21 | 251,274 | 252,013 | 739 | |
| Japanese Yen | Buy | 5/19/21 | 576,833 | 608,799 | (31,966) | |
| New Zealand Dollar | Sell | 4/21/21 | 536,431 | 567,729 | 31,298 | |
| Credit Suisse International | ||||||
| Australian Dollar | Buy | 4/21/21 | 734,098 | 753,610 | (19,512) | |
| British Pound | Sell | 6/16/21 | 1,292,163 | 1,309,906 | 17,743 | |
| Canadian Dollar | Sell | 4/21/21 | 1,135,171 | 1,122,865 | (12,306) |
56 Master Intermediate Income Trust
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| FORWARD CURRENCY CONTRACTS at 3/31/21 (aggregate face value $158,279,212) (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type * | date | Value | face value | (depreciation) |
| Credit Suisse International cont. | ||||||
| Euro | Sell | 6/16/21 | $1,284,972 | $1,304,025 | $19,053 | |
| New Zealand Dollar | Buy | 4/21/21 | 237,312 | 246,676 | (9,364) | |
| Goldman Sachs International | ||||||
| Australian Dollar | Buy | 4/21/21 | 483,119 | 530,996 | (47,877) | |
| British Pound | Sell | 6/16/21 | 342,655 | 342,037 | (618) | |
| Canadian Dollar | Buy | 4/21/21 | 6,186,422 | 6,155,733 | 30,689 | |
| Euro | Sell | 6/16/21 | 1,469,362 | 1,497,075 | 27,713 | |
| Japanese Yen | Sell | 5/19/21 | 2,075,955 | 2,120,803 | 44,848 | |
| New Zealand Dollar | Sell | 4/21/21 | 4,305,201 | 4,485,011 | 179,810 | |
| Norwegian Krone | Buy | 6/16/21 | 3,179,209 | 3,191,925 | (12,716) | |
| Swedish Krona | Buy | 6/16/21 | 305,485 | 307,263 | (1,778) | |
| Swiss Franc | Sell | 6/16/21 | 463,149 | 477,299 | 14,150 | |
| HSBC Bank USA, National Association | ||||||
| Australian Dollar | Buy | 4/21/21 | 1,018,272 | 1,043,941 | (25,669) | |
| British Pound | Buy | 6/16/21 | 206,421 | 209,257 | (2,836) | |
| Canadian Dollar | Buy | 4/21/21 | 768,160 | 765,367 | 2,793 | |
| Euro | Buy | 6/16/21 | 2,232,288 | 2,259,625 | (27,337) | |
| Hong Kong Dollar | Sell | 5/20/21 | 1,939,280 | 1,944,983 | 5,703 | |
| Japanese Yen | Buy | 5/19/21 | 1,488,838 | 1,570,977 | (82,139) | |
| New Zealand Dollar | Sell | 4/21/21 | 657,321 | 683,132 | 25,811 | |
| JPMorgan Chase Bank N.A. | ||||||
| Australian Dollar | Buy | 4/21/21 | 737,061 | 747,307 | (10,246) | |
| British Pound | Sell | 6/16/21 | 820,857 | 832,792 | 11,935 | |
| Canadian Dollar | Sell | 4/21/21 | 2,229,678 | 2,195,117 | (34,561) | |
| Euro | Buy | 6/16/21 | 2,512,161 | 2,546,495 | (34,334) | |
| Japanese Yen | Buy | 5/19/21 | 338,393 | 346,587 | (8,194) | |
| New Zealand Dollar | Sell | 4/21/21 | 1,783,329 | 1,834,394 | 51,065 | |
| Norwegian Krone | Buy | 6/16/21 | 312,084 | 311,161 | 923 | |
| Swedish Krona | Sell | 6/16/21 | 188,113 | 194,904 | 6,791 | |
| Swiss Franc | Buy | 6/16/21 | 2,968 | 3,887 | (919) | |
| Morgan Stanley & Co. International PLC | ||||||
| Australian Dollar | Buy | 4/21/21 | 3,544,089 | 3,634,201 | (90,112) | |
| British Pound | Buy | 6/16/21 | 519,430 | 522,327 | (2,897) | |
| Canadian Dollar | Buy | 4/21/21 | 1,191,273 | 1,190,826 | 447 | |
| Euro | Buy | 6/16/21 | 2,350,086 | 2,383,311 | (33,225) | |
| Japanese Yen | Buy | 5/19/21 | 4,343,889 | 4,540,512 | (196,623) | |
| New Zealand Dollar | Buy | 4/21/21 | 1,335,245 | 1,388,084 | (52,839) | |
| Swedish Krona | Sell | 6/16/21 | 2,012,189 | 2,074,010 | 61,821 | |
| Swiss Franc | Buy | 6/16/21 | 54,382 | 56,052 | (1,670) | |
| NatWest Markets PLC | ||||||
| Australian Dollar | Buy | 4/21/21 | 757,723 | 806,676 | (48,953) | |
| British Pound | Buy | 6/16/21 | 1,723,758 | 1,749,314 | (25,556) | |
| Canadian Dollar | Sell | 4/21/21 | 1,334,671 | 1,301,148 | (33,523) | |
| Euro | Buy | 6/16/21 | 206,235 | 211,269 | (5,034) | |
| Japanese Yen | Sell | 5/19/21 | 25,411 | 25,329 | (82) | |
| New Zealand Dollar | Sell | 4/21/21 | 2,767,216 | 2,867,546 | 100,330 |
Master Intermediate Income Trust 57
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| FORWARD CURRENCY CONTRACTS at 3/31/21 (aggregate face value $158,279,212) (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Unrealized | ||||||
| Contract | Delivery | Aggregate | appreciation/ | |||
| Counterparty | Currency | type * | date | Value | face value | (depreciation) |
| State Street Bank and Trust Co. | ||||||
| Australian Dollar | Sell | 4/21/21 | $5,054,748 | $5,142,168 | $87,420 | |
| British Pound | Sell | 6/16/21 | 6,239,503 | 6,349,144 | 109,641 | |
| Canadian Dollar | Sell | 4/21/21 | 1,663,484 | 1,543,279 | (120,205) | |
| Euro | Sell | 6/16/21 | 8,398,298 | 8,502,784 | 104,486 | |
| Hong Kong Dollar | Sell | 5/20/21 | 4,137,579 | 4,149,580 | 12,001 | |
| Japanese Yen | Sell | 5/19/21 | 6,078,889 | 6,388,006 | 309,117 | |
| New Zealand Dollar | Sell | 4/21/21 | 2,430,663 | 2,507,971 | 77,308 | |
| Norwegian Krone | Sell | 6/16/21 | 380,056 | 384,446 | 4,390 | |
| Swedish Krona | Sell | 6/16/21 | 318,719 | 322,992 | 4,273 | |
| Swiss Franc | Buy | 6/16/21 | 1,104,498 | 1,145,327 | (40,829) | |
| Toronto-Dominion Bank | ||||||
| Australian Dollar | Buy | 4/21/21 | 739,263 | 758,016 | (18,753) | |
| British Pound | Buy | 6/16/21 | 117,757 | 119,127 | (1,370) | |
| Canadian Dollar | Buy | 4/21/21 | 421,362 | 443,806 | (22,444) | |
| Euro | Sell | 6/16/21 | 4,847,684 | 4,913,330 | 65,646 | |
| Hong Kong Dollar | Sell | 5/20/21 | 234,292 | 234,974 | 682 | |
| Japanese Yen | Buy | 5/19/21 | 814,036 | 862,556 | (48,520) | |
| New Zealand Dollar | Buy | 4/21/21 | 7,543 | 7,839 | (296) | |
| Norwegian Krone | Buy | 6/16/21 | 1,149,240 | 1,152,602 | (3,362) | |
| Swiss Franc | Sell | 6/16/21 | 375,586 | 382,593 | 7,007 | |
| UBS AG | ||||||
| Australian Dollar | Sell | 4/21/21 | 3,033,472 | 3,106,137 | 72,665 | |
| British Pound | Sell | 6/16/21 | 526,325 | 545,280 | 18,955 | |
| Canadian Dollar | Buy | 4/21/21 | 866,120 | 869,014 | (2,894) | |
| Euro | Buy | 6/16/21 | 3,678,630 | 3,726,709 | (48,079) | |
| Hong Kong Dollar | Sell | 5/20/21 | 957,457 | 960,236 | 2,779 | |
| Japanese Yen | Buy | 5/19/21 | 4,976,237 | 5,163,219 | (186,982) | |
| New Zealand Dollar | Sell | 4/21/21 | 3,009,975 | 3,119,823 | 109,848 | |
| Norwegian Krone | Buy | 6/16/21 | 55,685 | 58,205 | (2,520) | |
| Swedish Krona | Buy | 6/16/21 | 2,748,987 | 2,823,724 | (74,737) | |
| Swiss Franc | Sell | 6/16/21 | 1,119,339 | 1,133,422 | 14,083 | |
| WestPac Banking Corp. | ||||||
| Australian Dollar | Buy | 4/21/21 | 107,259 | 108,757 | (1,498) | |
| British Pound | Sell | 6/16/21 | 106,864 | 108,458 | 1,594 | |
| Canadian Dollar | Buy | 4/21/21 | 1,111,298 | 1,124,971 | (13,673) | |
| Euro | Sell | 6/16/21 | 770,913 | 770,885 | (28) | |
| Japanese Yen | Sell | 5/19/21 | 192,940 | 207,962 | 15,022 | |
| New Zealand Dollar | Sell | 4/21/21 | 2,236,653 | 2,300,723 | 64,070 | |
| Unrealized appreciation | 1,892,830 | |||||
| Unrealized (depreciation) | (1,636,656) | |||||
| Total | $256,174 |
- The exchange currency for all contracts listed is the United States Dollar.
58 Master Intermediate Income Trust
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| FUTURES CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) | |||||
|---|---|---|---|---|---|
| Unrealized | |||||
| Number of | Notional | Expiration | appreciation/ | ||
| contracts | amount | Value | date | (depreciation) | |
| Euro-Bund 10 yr (Long) | 1 | $200,860 | $200,860 | Jun-21 | $(471) |
| U.S. Treasury Note 2 yr (Short) | 812 | 179,229,968 | 179,229,968 | Jun-21 | 169,759 |
| U.S. Treasury Note 5 yr (Short) | 232 | 28,628,438 | 28,628,438 | Jun-21 | 37,795 |
| U.S. Treasury Note Ultra 10 yr (Short) | 2 | 287,375 | 287,375 | Jun-21 | 10,496 |
| Unrealized appreciation | 218,050 | ||||
| Unrealized (depreciation) | (471) | ||||
| Total | $217,579 |
| WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/21 (premiums $8,395,121) (Unaudited) — Counterparty | Notional/ | |||
|---|---|---|---|---|
| Fixed Obligation % to receive or (pay)/ | Expiration | contract | ||
| Floating rate index/Maturity date | date/strike | amount | Value | |
| Bank of America N.A. | ||||
| 0.985/3 month USD-LIBOR-BBA/Jan-25 | Jan-24/0.985 | $18,054,200 | $134,865 | |
| 2.074/3 month USD-LIBOR-BBA/Dec-53 | Dec-23/2.074 | 1,444,300 | 205,986 | |
| Barclays Bank PLC | ||||
| (1.08)/3 month USD-LIBOR-BBA/Jun-26 | Jun-21/1.08 | 89,742,200 | 489,992 | |
| Citibank, N.A. | ||||
| (1.242)/3 month USD-LIBOR-BBA/Apr-51 | Apr-21/1.242 | 1,267,300 | 1 | |
| (0.93)/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/0.93 | 11,836,600 | 12 | |
| 1.722/3 month USD-LIBOR-BBA/Jun-31 | Jun-21/1.722 | 7,130,600 | 130,490 | |
| (1.865)/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 | 3,799,800 | 134,361 | |
| 1.415/3 month USD-LIBOR-BBA/Jul-31 | Jul-21/1.415 | 5,802,300 | 253,096 | |
| 1.242/3 month USD-LIBOR-BBA/Apr-51 | Apr-21/1.242 | 1,267,300 | 281,746 | |
| 1.865/3 month USD-LIBOR-BBA/Oct-39 | Oct-29/1.865 | 3,799,800 | 367,289 | |
| Goldman Sachs International | ||||
| (1.165)/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.165 | 5,802,300 | 6 | |
| 2.823/3 month USD-LIBOR-BBA/May-27 | May-22/2.823 | 22,032,800 | 70,725 | |
| 1.722/6 month GBP-LIBOR-BBA/Feb-39 | Feb-29/1.722 | GBP | 2,049,600 | 145,206 |
| 1.465/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.465 | $5,802,300 | 174,417 | |
| 1.564/3 month USD-LIBOR-BBA/May-31 | May-21/1.564 | 6,984,400 | 177,124 | |
| (1.722)/6 month GBP-LIBOR-BBA/Feb-39 | Feb-29/1.722 | GBP | 2,049,600 | 192,281 |
| JPMorgan Chase Bank N.A. | ||||
| (1.167)/3 month USD-LIBOR-BBA/Apr-31 | Apr-21/1.167 | $40,484,000 | 40 | |
| 1.333/3 month USD-LIBOR-BBA/Jan-24 | Jan-23/1.333 | 4,270,500 | 6,918 | |
| (0.968)/3 month USD-LIBOR-BBA/Mar-35 | Mar-25/0.968 | 1,653,100 | 16,300 | |
| (1.07)/3 month USD-LIBOR-BBA/Mar-32 | Mar-27/1.07 | 2,639,000 | 21,323 | |
| (1.333)/3 month USD-LIBOR-BBA/Jan-24 | Jan-23/1.333 | 4,270,500 | 28,143 | |
| 1.667/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 4,509,200 | 92,539 |
| 1.07/3 month USD-LIBOR-BBA/Mar-32 | Mar-27/1.07 | $2,639,000 | 203,441 | |
| 3.229/3 month USD-LIBOR-BBA/Nov-33 | Nov-23/3.229 | 11,760,300 | 237,088 | |
| 0.968/3 month USD-LIBOR-BBA/Mar-35 | Mar-25/0.968 | 1,653,100 | 247,172 | |
| (1.667)/6 month EUR-EURIBOR-Reuters/Feb-36 | Feb-26/1.667 | EUR | 4,509,200 | 631,010 |
| (3.229)/3 month USD-LIBOR-BBA/Nov-33 | Nov-23/3.229 | $11,760,300 | 1,107,585 |
Master Intermediate Income Trust 59
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| WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/21 (premiums $8,395,121) (Unaudited) cont. — Counterparty | Notional/ | ||
|---|---|---|---|
| Fixed Obligation % to receive or (pay)/ | Expiration | contract | |
| Floating rate index/Maturity date | date/strike | amount | Value |
| Morgan Stanley & Co. International PLC | |||
| 2.664/3 month USD-LIBOR-BBA/May-26 | May-21/2.664 | $9,442,600 | $94 |
| (1.512)/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 | 3,902,100 | 51,157 |
| 3.01/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 | 1,621,300 | 67,916 |
| 2.97/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 | 1,621,300 | 69,732 |
| (2.97)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/2.97 | 1,621,300 | 117,236 |
| (3.01)/3 month USD-LIBOR-BBA/Feb-36 | Feb-26/3.01 | 1,621,300 | 120,576 |
| 1.512/3 month USD-LIBOR-BBA/Aug-32 | Aug-22/1.512 | 3,902,100 | 274,396 |
| (2.75)/3 month USD-LIBOR-BBA/May-49 | May-25/2.75 | 3,150,300 | 391,519 |
| (3.00)/3 month USD-LIBOR-BBA/Jan-49 | Jan-24/3.00 | 3,150,300 | 487,509 |
| (3.00)/3 month USD-LIBOR-BBA/Apr-48 | Apr-23/3.00 | 3,150,300 | 491,195 |
| Toronto-Dominion Bank | |||
| (1.17)/3 month USD-LIBOR-BBA/Mar-55 | Mar-25/1.17 | 241,000 | 7,244 |
| 1.17/3 month USD-LIBOR-BBA/Mar-55 | Mar-25/1.17 | 482,100 | 145,392 |
| 1.05/3 month USD-LIBOR-BBA/Mar-27 | Mar-25/1.05 | 7,756,000 | 199,872 |
| UBS AG | |||
| (1.9875)/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 | 4,407,800 | 147,617 |
| 1.9875/3 month USD-LIBOR-BBA/Oct-36 | Oct-26/1.9875 | 4,407,800 | 391,986 |
| Total | $8,312,597 |
| WRITTEN OPTIONS OUTSTANDING at 3/31/21 (premiums $448,438) (Unaudited) | Expiration | Notional | Contract | |
|---|---|---|---|---|
| Counterparty | date/strike price | amount | amount | Value |
| JPMorgan Chase Bank N.A. | ||||
| Uniform Mortgage-Backed | ||||
| Securities 30 yr 2.00% TBA | ||||
| commitments (Put) | May-21/$99.97 | $56,000,000 | $56,000,000 | $525,672 |
| Uniform Mortgage-Backed | ||||
| Securities 30 yr 2.50% TBA | ||||
| commitments (Put) | May-21/102.78 | 21,000,000 | 21,000,000 | 168,609 |
| Total | $694,281 |
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) | |||||
|---|---|---|---|---|---|
| Counterparty | |||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | contract | receivable/ | appreciation/ | |
| Maturity date | date/strike | amount | (payable) | (depreciation) | |
| Bank of America N.A. | |||||
| 2.2275/3 month USD-LIBOR-BBA/ | |||||
| May-24 (Purchased) | May-22/2.2275 | $25,327,500 | $(233,646) | $531,878 | |
| (0.925)/3 month USD-LIBOR-BBA/ | |||||
| Mar-40 (Purchased) | Mar-30/0.925 | 4,191,700 | (300,126) | 367,570 | |
| 1.304/6 month EUR-EURIBOR- | |||||
| Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 2,141,400 | (347,036) | 266,692 |
| (1.275)/3 month USD-LIBOR-BBA/ | |||||
| Mar-50 (Purchased) | Mar-30/1.275 | $2,128,300 | (277,211) | 211,979 |
60 Master Intermediate Income Trust
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| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||
|---|---|---|---|---|---|
| Counterparty | |||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | contract | receivable/ | appreciation/ | |
| Maturity date | date/strike | amount | (payable) | (depreciation) | |
| Bank of America N.A. cont. | |||||
| (0.85)/3 month USD-LIBOR-BBA/ | |||||
| Mar-40 (Purchased) | Mar-30/0.85 | $2,134,700 | $(155,833) | $194,706 | |
| (0.765)/3 month USD-LIBOR-BBA/ | |||||
| Sep-31 (Purchased) | Sep-21/0.765 | 2,347,000 | (55,624) | 193,933 | |
| 1.053/6 month EUR-EURIBOR- | |||||
| Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 1,132,450 | (258,281) | 126,016 |
| (1.76)/3 month USD-LIBOR-BBA/ | |||||
| Jan-29 (Purchased) | Jan-28/1.76 | $17,405,100 | (112,480) | 99,209 | |
| (2.3075)/3 month USD-LIBOR-BBA/ | |||||
| Jun-52 (Purchased) | Jun-22/2.3075 | 1,596,200 | (36,113) | 84,678 | |
| 1.76/3 month USD-LIBOR-BBA/ | |||||
| Jan-29 (Purchased) | Jan-28/1.76 | 17,405,100 | (112,480) | (34,462) | |
| 2.29/3 month USD-LIBOR-BBA/ | |||||
| Mar-34 (Purchased) | Mar-24/2.29 | 5,120,200 | (251,841) | (43,010) | |
| 0.765/3 month USD-LIBOR-BBA/ | |||||
| Sep-31 (Purchased) | Sep-21/0.765 | 2,347,000 | (55,624) | (54,474) | |
| (1.053)/6 month EUR-EURIBOR- | |||||
| Reuters/Jun-54 (Purchased) | Jun-24/1.053 | EUR | 1,132,450 | (258,281) | (56,746) |
| (1.304)/6 month EUR-EURIBOR- | |||||
| Reuters/Jun-54 (Purchased) | Jun-24/1.304 | EUR | 2,141,400 | (173,518) | (75,136) |
| 0.85/3 month USD-LIBOR-BBA/ | |||||
| Mar-40 (Purchased) | Mar-30/0.85 | $2,134,700 | (155,833) | (100,971) | |
| 1.275/3 month USD-LIBOR-BBA/ | |||||
| Mar-50 (Purchased) | Mar-30/1.275 | 2,128,300 | (277,211) | (157,090) | |
| 0.925/3 month USD-LIBOR-BBA/ | |||||
| Mar-40 (Purchased) | Mar-30/0.925 | 4,191,700 | (300,126) | (188,920) | |
| (2.2275)/3 month USD-LIBOR-BBA/ | |||||
| May-24 (Purchased) | May-22/2.2275 | 25,327,500 | (233,646) | (226,428) | |
| 2.3075/3 month USD-LIBOR-BBA/ | |||||
| Jun-52 (Purchased) | Jun-22/2.3075 | 1,596,200 | (750,495) | (627,913) | |
| (1.115)/3 month USD-LIBOR-BBA/ | |||||
| Jan-26 (Written) | Jan-25/1.115 | 17,405,100 | 73,319 | 37,421 | |
| (1.29)/3 month USD-LIBOR-BBA/ | |||||
| Mar-34 (Written) | Mar-24/1.29 | 7,314,500 | 114,106 | 22,017 | |
| 1.115/3 month USD-LIBOR-BBA/ | |||||
| Jan-26 (Written) | Jan-25/1.115 | 17,405,100 | 73,319 | (114,526) | |
| Barclays Bank PLC | |||||
| 1.11125/6 month JPY-LIBOR-BBA/ | |||||
| Aug-43 (Purchased) | Aug-23/1.11125 | JPY | 119,084,000 | (60,235) | 66,218 |
| (1.11125)/6 month JPY-LIBOR-BBA/ | |||||
| Aug-43 (Purchased) | Aug-23/1.11125 | JPY | 119,084,000 | (60,235) | (55,248) |
| Citibank, N.A. | |||||
| (1.46)/3 month USD-LIBOR-BBA/ | |||||
| Apr-51 (Purchased) | Apr-21/1.46 | $1,700,000 | (61,710) | 229,449 | |
| (0.462)/3 month USD-LIBOR-BBA/ | |||||
| Jun-26 (Purchased) | Jun-21/0.462 | 6,471,000 | (62,688) | 154,204 |
Master Intermediate Income Trust 61
$$/page=
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||
|---|---|---|---|---|
| Counterparty | ||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | |
| or (pay)/Floating rate index/ | Expiration | contract | receivable/ | appreciation/ |
| Maturity date | date/strike | amount | (payable) | (depreciation) |
| Citibank, N.A. cont. | ||||
| (1.007)/3 month USD-LIBOR-BBA/ | ||||
| Jun-31 (Purchased) | Jun-21/1.007 | $1,805,400 | $(29,202) | $110,003 |
| (1.541)/3 month USD-LIBOR-BBA/ | ||||
| Apr-31 (Purchased) | Apr-21/1.541 | 5,802,300 | (52,801) | 80,884 |
| (1.102)/3 month USD-LIBOR-BBA/ | ||||
| Nov-32 (Purchased) | Nov-22/1.102 | 866,600 | (27,536) | 64,839 |
| (1.625)/3 month USD-LIBOR-BBA/ | ||||
| Jan-61 (Purchased) | Jan-41/1.625 | 1,936,700 | (285,663) | 57,714 |
| (1.665)/3 month USD-LIBOR-BBA/ | ||||
| Apr-31 (Purchased) | Apr-21/1.665 | 5,730,300 | (50,713) | 38,450 |
| 2.689/3 month USD-LIBOR-BBA/ | ||||
| Nov-49 (Purchased) | Nov-24/2.689 | 934,000 | (120,253) | (6,305) |
| 1.102/3 month USD-LIBOR-BBA/ | ||||
| Nov-32 (Purchased) | Nov-22/1.102 | 866,600 | (27,536) | (21,682) |
| 1.007/3 month USD-LIBOR-BBA/ | ||||
| Jun-31 (Purchased) | Jun-21/1.007 | 1,805,400 | (29,202) | (28,959) |
| 1.665/3 month USD-LIBOR-BBA/ | ||||
| Apr-31 (Purchased) | Apr-21/1.665 | 5,730,300 | (50,713) | (29,626) |
| (2.689)/3 month USD-LIBOR-BBA/ | ||||
| Nov-49 (Purchased) | Nov-24/2.689 | 934,000 | (120,253) | (40,750) |
| 1.541/3 month USD-LIBOR-BBA/ | ||||
| Apr-31 (Purchased) | Apr-21/1.541 | 5,802,300 | (51,640) | (49,900) |
| 1.625/3 month USD-LIBOR-BBA/ | ||||
| Jan-61 (Purchased) | Jan-41/1.625 | 1,936,700 | (285,663) | (53,492) |
| 1.46/3 month USD-LIBOR-BBA/ | ||||
| Apr-51 (Purchased) | Apr-21/1.46 | 1,700,000 | (61,710) | (61,710) |
| 0.462/3 month USD-LIBOR-BBA/ | ||||
| Jun-26 (Purchased) | Jun-21/0.462 | 6,471,000 | (62,688) | (61,927) |
| 1.245/3 month USD-LIBOR-BBA/ | ||||
| Aug-24 (Written) | Aug-22/1.245 | 17,729,300 | 162,223 | 107,085 |
| (1.918)/3 month USD-LIBOR-BBA/ | ||||
| Jan-51 (Written) | Jan-31/1.918 | 2,331,200 | 278,812 | 77,722 |
| (0.991)/3 month USD-LIBOR-BBA/ | ||||
| Apr-31 (Written) | Apr-21/0.991 | 4,250,000 | 50,979 | 50,958 |
| (1.177)/3 month USD-LIBOR-BBA/ | ||||
| Jul-40 (Written) | Jul-30/1.177 | 818,000 | 62,004 | 36,107 |
| (1.245)/3 month USD-LIBOR-BBA/ | ||||
| Aug-24 (Written) | Aug-22/1.245 | 17,729,300 | 162,223 | (15,779) |
| 1.177/3 month USD-LIBOR-BBA/ | ||||
| Jul-40 (Written) | Jul-30/1.177 | 818,000 | 62,004 | (55,395) |
| 1.918/3 month USD-LIBOR-BBA/ | ||||
| Jan-51 (Written) | Jan-31/1.918 | 2,331,200 | 278,812 | (107,398) |
| 0.991/3 month USD-LIBOR-BBA/ | ||||
| Apr-31 (Written) | Apr-21/0.991 | 4,250,000 | 50,979 | (264,775) |
62 Master Intermediate Income Trust
$$/page=
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||
|---|---|---|---|---|---|
| Counterparty | |||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | contract | receivable/ | appreciation/ | |
| Maturity date | date/strike | amount | (payable) | (depreciation) | |
| Goldman Sachs International | |||||
| (1.727)/3 month USD-LIBOR-BBA/ | |||||
| Jan-55 (Purchased) | Jan-25/1.727 | $1,382,700 | $(206,714) | $85,548 | |
| (0.955)/3 month USD-LIBOR-BBA/ | |||||
| Apr-26 (Purchased) | Apr-21/0.955 | 11,604,600 | (55,412) | 1,973 | |
| 2.8175/3 month USD-LIBOR-BBA/ | |||||
| Mar-47 (Purchased) | Mar-27/2.8175 | 739,600 | (93,375) | (318) | |
| 1.869/3 month USD-LIBOR-BBA/ | |||||
| Sep-31 (Purchased) | Sep-21/1.869 | 22,526,900 | (476,819) | (21,851) | |
| (2.8175)/3 month USD-LIBOR-BBA/ | |||||
| Mar-47 (Purchased) | Mar-27/2.8175 | 739,600 | (93,375) | (28,556) | |
| 1.727/3 month USD-LIBOR-BBA/ | |||||
| Jan-55 (Purchased) | Jan-25/1.727 | 1,382,700 | (126,794) | (47,938) | |
| 0.955/3 month USD-LIBOR-BBA/ | |||||
| Apr-26 (Purchased) | Apr-21/0.955 | 11,604,600 | (55,412) | (51,176) | |
| (0.555)/6 month EUR-EURIBOR- | |||||
| Reuters/Mar-40 (Written) | Mar-30/0.555 | EUR | 1,746,550 | 263,750 | 41,066 |
| (1.519)/3 month USD-LIBOR-BBA/ | |||||
| Sep-31 (Written) | Sep-21/1.519 | $22,526,900 | 174,583 | (3,830) | |
| 0.555/6 month EUR-EURIBOR- | |||||
| Reuters/Mar-40 (Written) | Mar-30/0.555 | EUR | 1,746,550 | 263,750 | (23,575) |
| 2.317/3 month USD-LIBOR-BBA/ | |||||
| Dec-31 (Written) | Dec-21/2.317 | $22,526,900 | 295,666 | (27,708) | |
| JPMorgan Chase Bank N.A. | |||||
| 1.921/6 month EUR-EURIBOR- | |||||
| Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 1,230,800 | (157,399) | 222,826 |
| (1.445)/6 month AUD-BBR-BBSW/ | |||||
| Mar-40 (Purchased) | Mar-30/1.445 | AUD | 1,940,600 | (72,744) | 111,920 |
| (1.441)/6 month AUD-BBR-BBSW/ | |||||
| Jul-45 (Purchased) | Jul-25/1.441 | AUD | 929,600 | (54,979) | 97,276 |
| (2.032)/3 month USD-LIBOR-BBA/ | |||||
| Jan-55 (Purchased) | Jan-25/2.032 | $1,589,500 | (183,587) | 80,842 | |
| (1.692)/6 month AUD-BBR-BBSW/ | |||||
| Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1,387,400 | (43,285) | 72,069 |
| 2.8325/3 month USD-LIBOR-BBA/ | |||||
| Feb-52 (Purchased) | Feb-22/2.8325 | $3,698,000 | (516,333) | 40,049 | |
| 2.50/3 month USD-LIBOR-BBA/ | |||||
| Nov-39 (Purchased) | Nov-29/2.50 | 1,556,600 | (89,971) | 6,896 | |
| 2.902/3 month USD-LIBOR-BBA/ | |||||
| Nov-49 (Purchased) | Nov-24/2.902 | 934,000 | (144,396) | (8,602) | |
| 1.692/6 month AUD-BBR-BBSW/ | |||||
| Jan-35 (Purchased) | Jan-25/1.692 | AUD | 1,387,400 | (43,285) | (35,460) |
| (2.902)/3 month USD-LIBOR-BBA/ | |||||
| Nov-49 (Purchased) | Nov-24/2.902 | $934,000 | (100,218) | (36,286) | |
| (2.50)/3 month USD-LIBOR-BBA/ | |||||
| Nov-39 (Purchased) | Nov-29/2.50 | 1,556,600 | (161,886) | (38,355) | |
| 1.441/6 month AUD-BBR-BBSW/ | |||||
| Jul-45 (Purchased) | Jul-25/1.441 | AUD | 929,600 | (54,979) | (48,253) |
Master Intermediate Income Trust 63
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| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||
|---|---|---|---|---|---|
| Counterparty | |||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | contract | receivable/ | appreciation/ | |
| Maturity date | date/strike | amount | (payable) | (depreciation) | |
| JPMorgan Chase Bank N.A. cont. | |||||
| 1.445/6 month AUD-BBR-BBSW/ | |||||
| Mar-40 (Purchased) | Mar-30/1.445 | AUD | $1,940,600 | $(72,744) | $(58,561) |
| 2.032/3 month USD-LIBOR-BBA/ | |||||
| Jan-55 (Purchased) | Jan-25/2.032 | 1,589,500 | (183,587) | (59,129) | |
| (1.921)/6 month EUR-EURIBOR- | |||||
| Reuters/Oct-48 (Purchased) | Oct-28/1.921 | EUR | 1,230,800 | (157,399) | (109,681) |
| (2.8325)/3 month USD-LIBOR-BBA/ | |||||
| Feb-52 (Purchased) | Feb-22/2.8325 | $3,698,000 | (516,333) | (427,637) | |
| (1.232)/3 month USD-LIBOR-BBA/ | |||||
| Jun-37 (Written) | Jun-27/1.232 | 2,822,300 | 181,333 | 118,452 | |
| (1.168)/3 month USD-LIBOR-BBA/ | |||||
| Jun-37 (Written) | Jun-27/1.168 | 2,588,400 | 166,564 | 111,379 | |
| (1.204)/3 month USD-LIBOR-BBA/ | |||||
| Jun-40 (Written) | Jun-30/1.204 | 2,238,000 | 166,843 | 95,563 | |
| 1.204/3 month USD-LIBOR-BBA/ | |||||
| Jun-40 (Written) | Jun-30/1.204 | 2,238,000 | 166,843 | (150,483) | |
| 1.168/3 month USD-LIBOR-BBA/ | |||||
| Jun-37 (Written) | Jun-27/1.168 | 2,588,400 | 166,564 | (205,933) | |
| 1.232/3 month USD-LIBOR-BBA/ | |||||
| Jun-37 (Written) | Jun-27/1.232 | 2,822,300 | 181,333 | (212,801) | |
| Morgan Stanley & Co. International PLC | |||||
| 3.27/3 month USD-LIBOR-BBA/ | |||||
| Oct-53 (Purchased) | Oct-23/3.27 | 1,191,600 | (135,962) | 133,841 | |
| 2.505/3 month USD-LIBOR-BBA/ | |||||
| Nov-49 (Purchased) | Nov-24/2.505 | 934,000 | (100,498) | (5,053) | |
| (2.505)/3 month USD-LIBOR-BBA/ | |||||
| Nov-49 (Purchased) | Nov-24/2.505 | 934,000 | (143,089) | (49,026) | |
| (3.27)/3 month USD-LIBOR-BBA/ | |||||
| Oct-53 (Purchased) | Oct-23/3.27 | 1,191,600 | (135,962) | (93,112) | |
| (2.39)/3 month USD-LIBOR-BBA/ | |||||
| Jun-34 (Written) | Jun-24/2.39 | 8,236,000 | 433,625 | 62,099 | |
| 2.39/3 month USD-LIBOR-BBA/ | |||||
| Jun-34 (Written) | Jun-24/2.39 | 8,236,000 | 433,625 | (5,765) | |
| Toronto-Dominion Bank | |||||
| (1.50)/3 month USD-LIBOR-BBA/ | |||||
| Feb-33 (Purchased) | Feb-23/1.50 | 4,379,600 | (150,549) | 204,878 | |
| (1.937)/3 month USD-LIBOR-BBA/ | |||||
| Feb-36 (Purchased) | Feb-26/1.937 | 1,751,900 | (91,624) | 68,377 | |
| (2.405)/3 month USD-LIBOR-BBA/ | |||||
| Mar-41 (Purchased) | Mar-31/2.405 | 713,100 | (49,739) | 7,794 | |
| 2.405/3 month USD-LIBOR-BBA/ | |||||
| Mar-41 (Purchased) | Mar-31/2.405 | 713,100 | (49,739) | (4,165) | |
| 1.937/3 month USD-LIBOR-BBA/ | |||||
| Feb-36 (Purchased) | Feb-26/1.937 | 1,751,900 | (91,624) | (34,442) | |
| 1.50/3 month USD-LIBOR-BBA/ | |||||
| Feb-33 (Purchased) | Feb-23/1.50 | 4,379,600 | (150,549) | (89,475) |
64 Master Intermediate Income Trust
$$/page=
| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||
|---|---|---|---|---|---|
| Counterparty | |||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | contract | receivable/ | appreciation/ | |
| Maturity date | date/strike | amount | (payable) | (depreciation) | |
| Toronto-Dominion Bank cont. | |||||
| (2.095)/3 month USD-LIBOR-BBA/ | |||||
| Feb-56 (Written) | Feb-26/2.095 | $756,700 | $99,506 | $27,953 | |
| (1.775)/3 month USD-LIBOR-BBA/ | |||||
| Mar-32 (Written) | Mar-22/1.775 | 1,854,000 | 50,522 | 15,685 | |
| 1.775/3 month USD-LIBOR-BBA/ | |||||
| Mar-32 (Written) | Mar-22/1.775 | 1,854,000 | 50,522 | (24,769) | |
| 2.095/3 month USD-LIBOR-BBA/ | |||||
| Feb-56 (Written) | Feb-26/2.095 | 756,700 | 99,506 | (28,187) | |
| UBS AG | |||||
| (0.902)/3 month USD-LIBOR-BBA/ | |||||
| Apr-35 (Purchased) | Apr-25/0.902 | 1,114,500 | (62,356) | 111,417 | |
| (1.6125)/3 month USD-LIBOR-BBA/ | |||||
| Aug-34 (Purchased) | Aug-24/1.6125 | 3,902,100 | (285,341) | 100,752 | |
| (0.87)/3 month USD-LIBOR-BBA/ | |||||
| Apr-28 (Purchased) | Apr-27/0.87 | 9,287,700 | (62,646) | 100,121 | |
| (0.8925)/3 month USD-LIBOR-BBA/ | |||||
| Apr-28 (Purchased) | Apr-23/0.8925 | 2,786,300 | (59,070) | 88,967 | |
| (0.271)/6 month EUR-EURIBOR- | |||||
| Reuters/Jan-36 (Purchased) | Jan-26/0.271 | EUR | 2,804,800 | (146,695) | 88,677 |
| (1.715)/3 month USD-LIBOR-BBA/ | |||||
| Feb-53 (Purchased) | Feb-23/1.715 | $875,900 | (79,050) | 78,603 | |
| (0.983)/3 month USD-LIBOR-BBA/ | |||||
| Apr-32 (Purchased) | Apr-30/0.983 | 3,715,100 | (58,884) | 73,299 | |
| (0.44)/6 month EUR-EURIBOR- | |||||
| Reuters/Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2,103,600 | (165,032) | 65,151 |
| (0.45)/6 month EUR-EURIBOR- | |||||
| Reuters/Jan-41 (Purchased) | Jan-31/0.45 | EUR | 1,682,900 | (132,385) | 50,562 |
| (0.296)/6 month EUR-EURIBOR- | |||||
| Reuters/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 701,200 | (106,103) | 35,679 |
| (1.175)/6 month GBP-LIBOR-BBA/ | |||||
| Jan-40 (Purchased) | Jan-30/1.175 | GBP | 1,981,900 | (180,164) | 33,771 |
| (0.762)/6 month GBP-LIBOR-BBA/ | |||||
| Aug-39 (Purchased) | Aug-29/0.762 | GBP | 848,500 | (78,254) | 30,495 |
| 0.296/6 month EUR-EURIBOR- | |||||
| Reuters/Jan-51 (Purchased) | Jan-31/0.296 | EUR | 701,200 | (106,103) | (29,808) |
| 1.6125/3 month USD-LIBOR-BBA/ | |||||
| Aug-34 (Purchased) | Aug-24/1.6125 | $3,902,100 | (107,035) | (30,553) | |
| 0.45/6 month EUR-EURIBOR-Reuters/ | |||||
| Jan-41 (Purchased) | Jan-31/0.45 | EUR | 1,682,900 | (132,385) | (33,116) |
| 0.983/3 month USD-LIBOR-BBA/ | |||||
| Apr-32 (Purchased) | Apr-30/0.983 | $3,715,100 | (58,884) | (35,108) | |
| 0.271/6 month EUR-EURIBOR- | |||||
| Reuters/Jan-36 (Purchased) | Jan-26/0.271 | EUR | 2,804,800 | (146,695) | (40,457) |
| 0.44/6 month EUR-EURIBOR-Reuters/ | |||||
| Feb-41 (Purchased) | Feb-31/0.44 | EUR | 2,103,600 | (165,032) | (41,912) |
| 0.87/3 month USD-LIBOR-BBA/ | |||||
| Apr-28 (Purchased) | Apr-27/0.87 | $9,287,700 | (62,646) | (44,395) |
Master Intermediate Income Trust 65
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| FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||
|---|---|---|---|---|---|
| Counterparty | |||||
| Fixed right or obligation % to receive | Notional/ | Premium | Unrealized | ||
| or (pay)/Floating rate index/ | Expiration | contract | receivable/ | appreciation/ | |
| Maturity date | date/strike | amount | (payable) | (depreciation) | |
| UBS AG cont. | |||||
| 1.715/3 month USD-LIBOR-BBA/ | |||||
| Feb-53 (Purchased) | Feb-23/1.715 | $875,900 | $(79,050) | $(46,107) | |
| 0.762/6 month GBP-LIBOR-BBA/ | |||||
| Aug-39 (Purchased) | Aug-29/0.762 | GBP | 848,500 | (78,254) | (47,421) |
| 1.175/6 month GBP-LIBOR-BBA/ | |||||
| Jan-40 (Purchased) | Jan-30/1.175 | GBP | 1,981,900 | (180,164) | (48,470) |
| 0.8925/3 month USD-LIBOR-BBA/ | |||||
| Apr-28 (Purchased) | Apr-23/0.8925 | $2,786,300 | (59,070) | (48,816) | |
| 0.902/3 month USD-LIBOR-BBA/ | |||||
| Apr-35 (Purchased) | Apr-25/0.902 | 1,114,500 | (62,356) | (50,665) | |
| 1.30/3 month USD-LIBOR-BBA/ | |||||
| Aug-26 (Written) | Aug-21/1.30 | 8,291,900 | 246,318 | 183,500 | |
| (0.958)/3 month USD-LIBOR-BBA/ | |||||
| May-30 (Written) | May-25/0.958 | 2,229,000 | 59,236 | 45,427 | |
| (0.43)/6 month EUR-EURIBOR- | |||||
| Reuters/Aug-39 (Written) | Aug-29/0.43 | EUR | 789,300 | 63,277 | 27,352 |
| 0.43/6 month EUR-EURIBOR-Reuters/ | |||||
| Aug-39 (Written) | Aug-29/0.43 | EUR | 789,300 | 63,277 | (12,357) |
| (1.30)/3 month USD-LIBOR-BBA/ | |||||
| Aug-26 (Written) | Aug-21/1.30 | $8,291,900 | 66,286 | (30,100) | |
| 0.958/3 month USD-LIBOR-BBA/ | |||||
| May-30 (Written) | May-25/0.958 | 2,229,000 | 59,236 | (109,765) | |
| Wells Fargo Bank, N.A. | |||||
| (1.405)/3 month USD-LIBOR-BBA/ | |||||
| Feb-29 (Purchased) | Feb-24/1.405 | 6,131,500 | (125,542) | 164,202 | |
| (1.3875)/3 month USD-LIBOR-BBA/ | |||||
| Feb-29 (Purchased) | Feb-24/1.3875 | 4,379,600 | (89,891) | 119,651 | |
| (1.96)/3 month USD-LIBOR-BBA/ | |||||
| Jan-41 (Purchased) | Jan-31/1.96 | 3,664,100 | (248,060) | 118,790 | |
| (2.16)/3 month USD-LIBOR-BBA/ | |||||
| Feb-35 (Purchased) | Feb-25/2.16 | 2,591,000 | (129,226) | 57,831 | |
| 2.16/3 month USD-LIBOR-BBA/ | |||||
| Feb-35 (Purchased) | Feb-25/2.16 | 2,591,000 | (129,226) | (33,061) | |
| 1.3875/3 month USD-LIBOR-BBA/ | |||||
| Feb-29 (Purchased) | Feb-24/1.3875 | 4,379,600 | (89,891) | (49,708) | |
| 1.96/3 month USD-LIBOR-BBA/ | |||||
| Jan-41 (Purchased) | Jan-31/1.96 | 3,664,100 | (248,060) | (67,016) | |
| 1.405/3 month USD-LIBOR-BBA/ | |||||
| Feb-29 (Purchased) | Feb-24/1.405 | 6,131,500 | (125,542) | (67,814) | |
| Unrealized appreciation | 6,390,465 | ||||
| Unrealized (depreciation) | (5,329,398) | ||||
| Total | $1,061,067 |
66 Master Intermediate Income Trust
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| TBA SALE COMMITMENTS OUTSTANDING at 3/31/21 (proceeds receivable $67,924,453) (Unaudited) | Principal | Settlement | |
|---|---|---|---|
| Agency | amount | date | Value |
| Government National Mortgage Association, 3.50%, 4/1/51 | $1,000,000 | 3/11/21 | $1,055,000 |
| Uniform Mortgage-Backed Securities, 4.00%, 4/1/51 | 14,000,000 | 3/5/21 | 15,023,750 |
| Uniform Mortgage-Backed Securities, 3.50%, 4/1/51 | 20,000,000 | 3/11/21 | 21,123,438 |
| Uniform Mortgage-Backed Securities, 3.00%, 4/1/51 | 8,000,000 | 3/5/21 | 8,330,625 |
| Uniform Mortgage-Backed Securities, 2.50%, 4/1/51 | 10,000,000 | 3/10/21 | 10,253,906 |
| Uniform Mortgage-Backed Securities, 2.00%, 5/1/51 | 8,000,000 | 3/31/21 | 7,961,875 |
| Uniform Mortgage-Backed Securities, 2.00%, 4/1/51 | 4,000,000 | 3/29/21 | 3,987,812 |
| Total | $67,736,406 |
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $1,011,100 | $40,430 E | $(6) | 2/2/24 | 3 month USD- | 2.5725% — | $40,424 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 2,617,100 | 102,326 E | (15) | 2/2/24 | 2.528% — | 3 month USD- | (102,341) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 5,944,600 | 556,236 | (179,227) | 3/2/31 | 3 month USD- | 2.7725% — | 389,352 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 5,478,300 | 309,984 | (1,109) | 12/2/23 | 3 month USD- | 2.536% — | 353,939 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 1,893,900 | 75,635 E | (324) | 2/2/24 | 3 month USD- | 2.57% — | 75,311 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 3,412,200 | 118,417 E | (19) | 2/2/24 | 3 month USD- | 2.3075% — | 118,398 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 5,008,800 | 174,176 E | (28) | 2/9/24 | 3 month USD- | 2.32% — | 174,148 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 1,338,000 | 109,343 E | (46) | 11/29/53 | 2.793% — | 3 month USD- | (109,388) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 902,800 | 7,918 E | (20) | 11/20/39 | 3 month USD- | 2.55% — | (7,939) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 3,186,100 | 125,644 | (45) | 12/7/30 | 2.184% — | 3 month USD- | (147,351) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,087,500 | 8,150 E | (23) | 6/5/29 | 3 month USD- | 2.2225% — | (8,173) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 174,600 | 320 E | (6) | 6/22/52 | 2.3075% — | 3 month USD- | 314 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly |
Master Intermediate Income Trust 67
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| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $831,700 | $12,870 E | $(28) | 7/5/52 | 2.25% — | 3 month USD- | $12,841 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 6,347,600 | 146,782 E | (35) | 2/7/24 | 1.733% — | 3 month USD- | (145,374) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 911,300 | 22,746 | (13) | 1/22/31 | 2.035% — | 3 month USD- | (25,925) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 1,368,300 | 125,421 E | (47) | 8/8/52 | 1.9185% — | 3 month USD- | 125,374 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 1,417,500 | 225,093 E | (48) | 9/12/52 | 1.626% — | 3 month USD- | 225,045 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 37,998,200 | 230,345 | (106,487) | 10/15/21 | 3 month USD- | 1.316% — | 335,087 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 39,518,100 | 288,047 | (105,427) | 10/21/21 | 3 month USD- | 1.5025% — | 429,330 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 7,362,900 | 26,749 | 161,886 | 1/19/31 | 1.805% — | 3 month USD- | 111,846 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 7,362,900 | 217,647 | (82,892) | 1/19/26 | 3 month USD- | 1.629% — | 155,454 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 7,362,900 | 188,652 E | (82,915) | 1/20/31 | 3 month USD- | 1.996% — | (271,568) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 174,200 | 15,728 E | (6) | 1/16/55 | 2.032% — | 3 month USD- | 15,722 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 83,000 | 8,469 E | (3) | 1/24/55 | 3 month USD- | 1.977% — | (8,472) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 29,451,700 | 111,269 | 16,127 | 11/3/21 | 0.83% — | 3 month USD- | (186,521) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 29,451,700 | 197,974 | (54,704) | 11/3/21 | 3 month USD- | 1.331% — | 295,189 |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 582,800 | 135,302 E | (20) | 3/4/52 | 1.265% — | 3 month USD- | 135,282 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 970,000 | 61,338 | (14) | 3/4/31 | 3 month USD- | 1.101% — | (60,689) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 35,681,600 | 77,465 | (135) | 9/8/21 | 0.68% — | 3 month USD- | (88,492) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly |
68 Master Intermediate Income Trust
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| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $77,168,200 | $158,040 | $(291) | 10/15/21 | 0.571% — | 3 month USD- | $(322,209) |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 3,705,700 | 721,919 E | (126) | 1/27/47 | 3 month USD- | 1.27% — | (722,045) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 313,000 | 54,995 E | (11) | 3/7/50 | 1.275% — | 3 month USD- | 54,984 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 697,700 | 224,175 E | (24) | 3/10/52 | 0.8725% — | 3 month USD- | 224,151 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 762,900 | 271,997 E | (26) | 3/11/52 | 0.717% — | 3 month USD- | 271,971 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 1,138,200 | 105,414 E | (16) | 3/17/32 | 3 month USD- | 1.03% — | (105,431) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 5,944,600 | 550,553 | (792,726) | 2/18/31 | 3 month USD- | 2.764% — | (223,812) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 475,000 | 32,975 E | (6) | 3/24/32 | 3 month USD- | 1.07% — | (32,981) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 268,600 | 37,690 E | (4) | 3/24/35 | 3 month USD- | 0.968% — | (37,694) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 1,504,600 | 176,052 E | (21) | 4/25/32 | 0.7925% — | 3 month USD- | 176,030 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 298,100 | 35,286 E | (6) | 6/21/37 | 3 month USD- | 1.232% — | (35,292) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 238,500 | 26,601 E | (5) | 6/20/40 | 3 month USD- | 1.204% — | (26,606) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 245,900 | 30,397 E | (5) | 6/28/37 | 3 month USD- | 1.168% — | (30,402) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 66,900 | 7,591 E | (1) | 7/3/40 | 3 month USD- | 1.177% — | (7,592) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 12,039,900 | 291,655 | (97) | 7/14/25 | 3 month USD- | 0.30% — | (290,046) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 5,556,900 | 525,977 | (74) | 7/15/30 | 3 month USD- | 0.645% — | (521,314) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 5,481,300 | 142,382 | (52) | 8/31/25 | 0.3084% — | 3 month USD- | 141,716 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly |
Master Intermediate Income Trust 69
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| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund (depreciation) | (depreciation) |
| $8,543,200 | $94,155 E | $(48) | 7/5/24 | 0.2429% — | 3 month USD- | $94,107 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 8,566,800 | 227,800 | (69) | 8/12/25 | 3 month USD- | 0.277% — | (226,934) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 2,570,000 | 659,503 E | 202,186 | 9/2/52 | 3 month USD- | 1.188% — | (457,317) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 10,951,700 | 291,929 | (103) | 10/13/25 | 0.344% — | 3 month USD- | 279,571 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 18,839,700 | 4,145 | (71) | 9/16/22 | 3 month USD- | 0.214% — | (4,123) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 11,576,800 | 274,278 | (94) | 10/13/25 | 0.41% — | 3 month USD- | 257,665 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 16,067,000 | 411,058 | 8,250 | 10/16/25 | 3 month USD- | 0.37% — | (382,740) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 12,206,000 | 1,095,257 | (8,312) | 10/16/30 | 0.75% — | 3 month USD- | 1,050,439 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 8,169,000 | 1,958,199 | (22,012) | 10/16/50 | 1.16% — | 3 month USD- | 1,896,405 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 1,810,400 | 406,724 | (75,601) | 1/29/51 | 1.232% — | 3 month USD- | 327,942 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 3,504,400 | 264,603 | — | 12/7/30 | 3 month USD- | 0.932% — | (254,671) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 2,873,600 | 233,066 | — | 12/7/30 | 0.871% — | 3 month USD- | 225,477 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 11,576,800 | 260,119 | (94) | 11/16/25 | 0.471% — | 3 month USD- | 242,319 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 1,010,900 | 209,690 | (34) | 12/17/50 | 1.305% — | 3 month USD- | 205,921 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 9,929,800 | 76,459 E | (55) | 7/5/24 | 3 month USD- | 0.41% — | (76,515) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 306,800 | 66,734 | (213) | 12/1/50 | 3 month USD- | 1.26% — | (65,709) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 12,410,300 | 38,472 | (78) | 12/2/23 | 0.300% — | 3 month USD- | 28,035 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly |
70 Master Intermediate Income Trust
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| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $13,474,000 | $1,472,169 | $(257) | 12/2/33 | 3 month USD- | 1.02% — | $(1,429,112) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 11,836,700 | 305,079 | (96) | 12/16/25 | 3 month USD- | 0.428% — | (291,396) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 1,657,300 | 130,580 E | (23) | 6/22/31 | 3 month USD- | 1.0025% — | (130,604) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 204,000 | 32,831 | (7) | 1/8/51 | 3 month USD- | 1.509% — | (32,239) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 204,000 | 31,099 | (7) | 1/8/51 | 3 month USD- | 1.546% — | (30,489) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 746,000 | 114,924 | (25) | 1/8/51 | 3 month USD- | 1.539% — | (112,704) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 11,140,400 | 231,798 | (90) | 1/13/26 | 0.5615% — | 3 month USD- | 223,574 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 1,175,000 | 152,776 | (40) | 1/14/51 | 3 month USD- | 1.644% — | (149,272) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 2,158,500 | 127,740 E | (31) | 4/15/31 | 1.165% — | 3 month USD- | 127,709 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,088,800 | 135,584 E | (30) | 7/15/31 | 1.165% — | 3 month USD- | 135,554 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 905,000 | 127,758 | (31) | 1/19/51 | 3 month USD- | 1.5955% — | (125,305) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 1,700,000 | 109,387 | (23) | 1/27/31 | 1.075% — | 3 month USD- | 106,758 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 12,637,900 | 102,885 E | (70) | 1/31/25 | 0.735% — | 3 month USD- | 102,815 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 946,000 | 54,319 | (13) | 2/4/31 | 1.153% — | 3 month USD- | 52,863 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 903,000 | 119,452 | (31) | 2/4/51 | 3 month USD- | 1.635% — | (117,416) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 5,838,000 | 293,990 | (77) | 2/9/31 | 3 month USD- | 1.231% — | (285,265) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 11,604,600 | 247,538 | (26,494) | 3/9/26 | 0.5996% — | 3 month USD- | 218,166 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly |
Master Intermediate Income Trust 71
$$/page=
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Unrealized | |||||
| received | Termination | Payments | Payments | appreciation/ | ||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) |
| $2,344,100 | $49,153 | $(19) | 2/10/26 | 0.584% — | 3 month USD- | $47,831 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 1,917,100 | 100,481 | (25) | 2/16/31 | 1.212% — | 3 month USD- | 98,005 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 279,400 | 13,341 E | (4) | 8/16/31 | 1.37% — | 3 month USD- | 13,337 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 3,465,000 | 128,163 | (46) | 2/18/31 | 3 month USD- | 1.377% — | (123,273) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 3,598,000 | 137,472 | (48) | 2/22/31 | 1.3659% — | 3 month USD- | 132,793 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 3,110,000 | 101,498 | (41) | 2/24/31 | 1.4255% — | 3 month USD- | 97,446 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 5,426,000 | 174,289 | (72) | 2/24/31 | 1.431% — | 3 month USD- | 167,188 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,713,000 | 83,970 | (36) | 2/24/31 | 1.4435% — | 3 month USD- | 80,385 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,185,000 | 68,841 | (29) | 2/25/31 | 1.438% — | 3 month USD- | 66,068 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,734,000 | 84,858 | (36) | 2/25/31 | 1.443% — | 3 month USD- | 81,375 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 2,724,000 | 82,126 | (36) | 2/25/31 | 1.4525% — | 3 month USD- | 78,630 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 63,199,000 | 38,804 E | 2,124 | 6/16/23 | 3 month USD- | 0.30% — | (36,681) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 11,814,000 | 110,485 E | (61,644) | 6/16/26 | 0.95% — | 3 month USD- | 48,840 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 15,372,000 | 267,826 E | (191,488) | 6/16/31 | 1.65% — | 3 month USD- | 76,339 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 6,259,000 | 327,671 E | 275,115 | 6/16/51 | 3 month USD- | 2.00% — | (52,556) |
| LIBOR-BBA — | Semiannually | |||||
| Quarterly | ||||||
| 1,089,000 | 26,161 | (14) | 3/2/31 | 1.51882% — | 3 month USD- | 24,985 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly | ||||||
| 5,124,000 | 108,152 | (68) | 3/5/31 | 1.5505% — | 3 month USD- | 103,091 |
| Semiannually | LIBOR-BBA — | |||||
| Quarterly |
72 Master Intermediate Income Trust
$$/page=
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| $5,005,000 | $104,935 | $(66) | 3/5/31 | 1.552% — | 3 month USD- | $99,986 | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 6,800,000 | 155,081 | (90) | 3/5/31 | 3 month USD- | 1.5324% — | (148,633) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 2,082,000 | 43,895 E | 1,347 | 6/16/31 | 1.35% — | Secured | 45,242 | |
| Annually | Overnight | ||||||
| Financing Rate — | |||||||
| Annually | |||||||
| 5,802,300 | 138,170 | (77) | 3/15/31 | 1.525% — | 3 month USD- | 134,664 | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 1,228,800 | 19,075 E | (19) | 3/20/34 | 2.29% — | 3 month USD- | 19,056 | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 3,257,000 | 18,412 | (43) | 3/23/31 | 3 month USD- | 1.7200% — | (17,370) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 3,220,750 | 19,576 | (43) | 3/23/31 | 3 month USD- | 1.7155% — | (18,549) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 5,959,500 | 32,205 | (56) | 4/1/26 | 0.94375% — | 3 month USD- | 32,149 | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 905,400 | 2,040 E | (5) | 7/5/24 | 0.6840% — | 3 month USD- | 2,035 | |
| Semiannually | LIBOR-BBA — | ||||||
| Quarterly | |||||||
| 3,915,200 | 14,905 E | (37) | 7/1/26 | 3 month USD- | 1.08% — | (14,942) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 2,783,000 | 4,305 | (37) | 4/1/31 | 3 month USD- | 1.766% — | (4,342) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 2,783,000 | 9,170 | (37) | 4/1/31 | 3 month USD- | 1.7475% — | (9,207) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| 912,000 | 3,901 | (12) | 4/1/31 | 3 month USD- | 1.7371% — | (3,913) | |
| LIBOR-BBA — | Semiannually | ||||||
| Quarterly | |||||||
| AUD | 79,300 | 6,163 E | (1) | 1/30/35 | 1.692% — | 6 month AUD- | 6,163 |
| Semiannually | BBR-BBSW — | ||||||
| Semiannually | |||||||
| AUD | 266,900 | 24,859 E | (3) | 3/5/35 | 1.47% — | 6 month AUD- | 24,857 |
| Semiannually | BBR-BBSW — | ||||||
| Semiannually | |||||||
| AUD | 99,100 | 9,718 E | (1) | 3/25/35 | 1.4025% — | 6 month AUD- | 9,717 |
| Semiannually | BBR-BBSW — | ||||||
| Semiannually |
Master Intermediate Income Trust 73
$$/page=
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| AUD | 155,200 | $14,274 E | $(2) | 3/28/40 | 1.445% — | 6 month AUD- | $14,272 |
| Semiannually | BBR-BBSW — | ||||||
| Semiannually | |||||||
| AUD | 579,100 | 62,431 E | (7) | 4/1/40 | 1.1685% — | 6 month AUD- | 62,424 |
| Semiannually | BBR-BBSW — | ||||||
| Semiannually | |||||||
| AUD | 37,200 | 5,982 E | (1) | 7/2/45 | 1.441% — | 6 month AUD- | 5,981 |
| Semiannually | BBR-BBSW — | ||||||
| Semiannually | |||||||
| AUD | 1,800,000 | 2,721 E | (20) | 4/6/31 | 6 month AUD- | 1.87% — | 2,701 |
| BBR-BBSW — | Semiannually | ||||||
| Semiannually | |||||||
| AUD | 3,573,000 | 37,791 E | 17,943 | 6/16/31 | 6 month AUD- | 1.76% — | (19,848) |
| BBR-BBSW — | Semiannually | ||||||
| Semiannually | |||||||
| CAD | 4,633,000 | 81,674 E | 19,231 | 6/16/31 | 3 month CAD- | 1.91% — | (62,443) |
| BA-CDOR — | Semiannually | ||||||
| Semiannually | |||||||
| CHF | 2,148,000 | 47,276 E | (46,311) | 6/16/31 | — | 0.16% plus | 964 |
| 6 month CHF- | |||||||
| LIBOR-BBA — | |||||||
| Semiannually | |||||||
| EUR | 512,400 | 148,308 E | (20) | 11/29/58 | 1.484% — | 6 month | (148,327) |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 696,900 | 200,080 | (27) | 2/19/50 | 6 month | 1.354% — | 201,867 |
| EUR-EURIBOR- | Annually | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 770,000 | 199,490 | (29) | 3/11/50 | 1.267% — | 6 month | (200,440) |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 778,400 | 187,521 | (30) | 3/12/50 | 1.2115% — | 6 month | (188,409) |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 898,100 | 187,503 | (34) | 3/26/50 | 1.113% — | 6 month | (187,792) |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 802,800 | 195,184 E | (30) | 11/29/58 | 6 month | 1.343% — | 195,153 |
| EUR-EURIBOR- | Annually | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 929,000 | 174,271 | (36) | 2/19/50 | 1.051% — | 6 month | (176,331) |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually |
74 Master Intermediate Income Trust
$$/page=
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| EUR | 741,300 | $121,296 E | $(28) | 6/7/54 | 1.054% — | 6 month | $(121,324) |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 676,400 | 94,120 | (26) | 2/19/50 | 0.9035% — | 6 month | (95,480) |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 395,500 | 41,584 | (15) | 2/21/50 | 0.80% — | 6 month | (42,268) |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 1,468,500 | 39,598 E | (56) | 8/8/54 | 0.49% — | 6 month | 39,542 |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 906,000 | 109,393 E | (34) | 6/6/54 | 6 month | 0.207% — | (109,427) |
| EUR-EURIBOR- | Annually | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 1,215,200 | 98,502 | (46) | 2/19/50 | 0.233% — | 6 month | 97,198 |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 4,960,100 | 187,641 | (187) | 2/19/50 | 6 month | 0.595% — | 195,102 |
| EUR-EURIBOR- | Annually | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 574,000 | 82,322 E | (21) | 3/4/54 | 0.134% — | 6 month | 82,301 |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 260,400 | 69,031 E | (10) | 3/13/54 | — | 0.2275% | 69,021 |
| plus 6 month | |||||||
| EUR-EURIBOR- | |||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 1,696,600 | 114,713 E | (36) | 5/13/40 | 6 month | 0.276% — | (114,749) |
| EUR-EURIBOR- | Annually | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 833,300 | 52,685 E | (18) | 6/24/40 | 0.315% — | 6 month | 52,667 |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 1,129,700 | 70,894 E | (26) | 1/16/40 | 0.315% — | 6 month | 70,868 |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually |
Master Intermediate Income Trust 75
$$/page=
| CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Unrealized | ||||||
| received | Termination | Payments | Payments | appreciation/ | |||
| Notional amount | Value | (paid) | date | made by fund | received by fund | (depreciation) | |
| EUR | 388,100 | $24,348 E | $(9) | 3/28/40 | 0.3175% — | 6 month | $24,339 |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| EUR | 11,918,000 | 53,892 E | 7,428 | 6/16/31 | 0.05% — | 6 month | 61,320 |
| Annually | EUR-EURIBOR- | ||||||
| REUTERS — | |||||||
| Semiannually | |||||||
| GBP | 27,000 | 362 E | 540 | 6/16/31 | 0.93% — | Sterling | 179 |
| Annually | Overnight | ||||||
| Index Average — | |||||||
| Annually | |||||||
| JPY | 49,618,300 | 18,591 E | (14) | 8/29/43 | 0.7495% — | 6 month JPY- | (18,605) |
| Semiannually | LIBOR-BBA — | ||||||
| Semiannually | |||||||
| JPY | 119,698,500 | 16,050 | (9,439) | 2/25/31 | 0.003% — | 6 month JPY- | 6,559 |
| Semiannually | LIBOR-BBA — | ||||||
| Semiannually | |||||||
| JPY | 63,267,700 | 37,848 E | (19) | 8/29/43 | 0.194% — | 6 month JPY- | 37,829 |
| Semiannually | LIBOR-BBA — | ||||||
| Semiannually | |||||||
| NOK | 10,560,000 | 8,172 E | 2,983 | 6/16/31 | 6 month NOK- | 1.82% — | (5,189) |
| NIBOR-NIBR — | Annually | ||||||
| Semiannually | |||||||
| NZD | 1,291,000 | 5,300 E | 6,193 | 6/16/31 | 3 month NZD- | 1.96% — | 893 |
| BBR-FRA — | Semiannually | ||||||
| Quarterly | |||||||
| SEK | 27,938,000 | 14,315 E | (12,669) | 6/16/31 | 0.77% — | 3 month SEK- | 1,648 |
| Annually | STIBOR-SIDE — | ||||||
| Quarterly | |||||||
| Total | $(1,143,242) | $2,540,672 |
E Extended effective date.
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Barclays Bank PLC | ||||||
| $298,052 | $297,159 | $— | 1/12/40 | 4.00% (1 month | Synthetic MBX | $(336) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 50,222 | 50,071 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX | (57) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 33,456 | 33,356 | — | 1/12/40 | 4.00% (1 month | Synthetic MBX | (38) |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly |
76 Master Intermediate Income Trust
$$/page=
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Barclays Bank PLC cont. | ||||||
| $3,862,261 | $3,862,261 | $— | 1/12/41 | 5.00% (1 month | Synthetic MBX | $8,643 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 475,156 | 475,091 | — | 1/12/40 | 5.00% (1 month | Synthetic MBX | 1,009 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 157,720 | 157,326 | — | 1/12/39 | (6.00%) 1 month | Synthetic MBX | (17) |
| USD-LIBOR — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 2,750,661 | 2,743,349 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (171) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 11,672 | 12,014 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | (482) |
| USD-LIBOR — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 20,736 | 21,172 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | 703 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 64,556 | 65,994 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | (2,280) |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 129,398 | 132,282 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | (4,570) |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 81,191 | 82,257 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | (2,262) |
| USD-LIBOR — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 31,533 | 31,845 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 714 |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| 24,076 | 24,314 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 545 |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| 18,993 | 19,181 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 430 |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly |
Master Intermediate Income Trust 77
$$/page=
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Barclays Bank PLC cont. | ||||||
| $29,761 | $29,779 | $— | 1/12/39 | 6.00% (1 month | Synthetic TRS | $391 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 57,435 | 57,725 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 994 |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 8,239 | 8,280 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 143 |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 3,833 | 3,853 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 66 |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Citibank, N.A. | ||||||
| 514,296 | 514,296 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 1,151 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 239,971 | 239,971 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 537 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 48,035 | 48,035 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 107 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Credit Suisse International | ||||||
| 205,718 | 205,718 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX | 460 |
| USD-LIBOR) — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 55,211 | 55,756 | — | 1/12/41 | 5.00% (1 month | Synthetic MBX Index | 1,251 |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| 41,208 | 42,419 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | 1,702 |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 25,205 | 25,945 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | 1,041 |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 13,784 | 14,189 | — | 1/12/43 | 3.50% (1 month | Synthetic TRS | 569 |
| USD-LIBOR) — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly |
78 Master Intermediate Income Trust
$$/page=
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Credit Suisse International cont. | ||||||
| $141,545 | $145,201 | $— | 1/12/45 | 4.00% (1 month | Synthetic TRS | $5,623 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 36,586 | 37,531 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | 1,453 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 17,522 | 17,912 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | 619 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 17,522 | 17,912 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | (619) |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 50,634 | 51,299 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | (1,411) |
| USD-LIBOR — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 56,129 | 56,866 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | (1,564) |
| USD-LIBOR — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 53,060 | 53,584 | — | 1/12/41 | 5.00% (1 month | Synthetic TRS Index | 1,202 |
| USD-LIBOR) — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| Deutsche Bank AG | ||||||
| 186,124 | 185,630 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (12) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Goldman Sachs International | ||||||
| 8,329 | 8,307 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (1) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 22,195 | 22,136 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (1) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 48,043 | 47,916 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (3) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 90,270 | 90,030 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (6) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly |
Master Intermediate Income Trust 79
$$/page=
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Goldman Sachs International cont. | ||||||
| $108,301 | $108,013 | $— | 1/12/38 | (6.50%) 1 month | Synthetic MBX | $(7) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 127,891 | 127,551 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (8) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 175,189 | 174,724 | — | 1/12/38 | (6.50%) 1 month | Synthetic MBX | (11) |
| USD-LIBOR — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 77,073 | 80,722 | — | 1/12/44 | (3.00%) 1 month | Synthetic TRS | (4,546) |
| USD-LIBOR — | Index 3.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 51,376 | 52,886 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | (2,122) |
| USD-LIBOR — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 192,060 | 197,020 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | 7,630 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 120,091 | 122,617 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | 4,070 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 104,611 | 106,811 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | 3,545 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 51,474 | 52,557 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | 1,744 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 51,474 | 52,557 | — | 1/12/42 | 4.00% (1 month | Synthetic TRS | 1,744 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 36,307 | 37,245 | — | 1/12/45 | 4.00% (1 month | Synthetic TRS | 1,442 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 192,470 | 196,759 | — | 1/12/41 | (4.00%) 1 month | Synthetic TRS | (6,798) |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly |
80 Master Intermediate Income Trust
$$/page=
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| Goldman Sachs International cont. | ||||||
| $47,420 | $48,338 | $— | 1/12/41 | 4.50% (1 month | Synthetic TRS | $1,579 |
| USD-LIBOR) — | Index 4.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 80,679 | 81,739 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | (2,248) |
| USD-LIBOR — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 41,080 | 41,105 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 540 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 39,726 | 39,751 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 522 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 19,863 | 19,875 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 261 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 18,896 | 18,907 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 248 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 2,217 | 2,218 | — | 1/12/39 | 6.00% (1 month | Synthetic TRS | 29 |
| USD-LIBOR) — | Index 6.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 18,951 | 19,046 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 328 |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 1,423 | 1,430 | — | 1/12/38 | 6.50% (1 month | Synthetic TRS | 25 |
| USD-LIBOR) — | Index 6.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| JPMorgan Chase Bank N.A. | ||||||
| 151,659 | 155,039 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | 5,357 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 132,855 | 135,816 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | 4,692 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 86,732 | 88,665 | — | 1/12/41 | 4.00% (1 month | Synthetic TRS | 3,063 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly |
Master Intermediate Income Trust 81
$$/page=
| OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| Swap counterparty/ | received | tion | received (paid) | received by | appreciation/ | |
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| JPMorgan Chase Bank N.A. cont. | ||||||
| $15,178 | $15,516 | $— | 1/12/41 | 4.00% (1 month | Synthetic TRS | $536 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 80,679 | 81,739 | — | 1/12/41 | (5.00%) 1 month | Synthetic TRS | (2,248) |
| USD-LIBOR — | Index 5.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| JPMorgan Securities LLC | ||||||
| 119,138 | 120,315 | — | 1/12/41 | (5.00%) 1 month | Synthetic MBX Index | (2,699) |
| USD-LIBOR — | 5.00% 30 year Ginnie | |||||
| Monthly | Mae II pools — | |||||
| Monthly | ||||||
| 17,149 | 17,653 | — | 1/12/43 | (3.50%) 1 month | Synthetic TRS | (708) |
| USD-LIBOR — | Index 3.50% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 105,457 | 108,158 | — | 1/12/44 | 4.00% (1 month | Synthetic TRS | 4,047 |
| USD-LIBOR) — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| 348,386 | 355,713 | — | 1/12/42 | (4.00%) 1 month | Synthetic TRS | (11,807) |
| USD-LIBOR — | Index 4.00% 30 year | |||||
| Monthly | Fannie Mae pools — | |||||
| Monthly | ||||||
| Morgan Stanley & Co. International PLC | ||||||
| 1,032,736 | 1,027,525 | — | 7/17/24 | 3.825% (3 month | Pera Funding DAC, | (4,620) |
| USD-LIBOR-BBA | 3.825%, Series | |||||
| minus 0.12%) — | 2019–01, 07/10/24 — | |||||
| Quarterly | Quarterly | |||||
| Upfront premium received | — | Unrealized appreciation | 70,755 | |||
| Upfront premium (paid) | — | Unrealized (depreciation) | (51,652) | |||
| Total | $— | Total | $19,103 |
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termina- | Payments | Total return | Unrealized | |||
| received | tion | received (paid) | received by | appreciation/ | |||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) | |
| EUR | 7,000,000 | $603,239 | $(129) | 5/15/30 | (.655%) — At | Eurostat Eurozone | $603,110 |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 7,000,000 | 596,615 | (129) | 5/15/30 | (.6625%) — At | Eurostat Eurozone | 596,485 |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity |
82 Master Intermediate Income Trust
$$/page=
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termina- | Payments | Total return | Unrealized | |||
| received | tion | received (paid) | received by | appreciation/ | |||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) | |
| EUR | 3,497,000 | $591,904 | $(125) | 5/15/40 | (.961%) — At | Eurostat Eurozone | $591,779 |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 1,979,000 | 144,691 | — | 7/15/37 | 1.71% — At | Eurostat Eurozone | 144,691 |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 1,979,000 | 47,339 | — | 7/15/27 | (1.40%) — At | Eurostat Eurozone | (47,339) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 6,434,000 | 174,572 | (75) | 9/15/23 | (1.4375%) — At | Eurostat Eurozone | (174,648) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 6,434,000 | 176,089 | (75) | 9/15/23 | (1.44125%) — At | Eurostat Eurozone | (176,164) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 6,434,000 | 176,594 | (76) | 9/15/23 | (1.4425%) — At | Eurostat Eurozone | (176,670) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 6,434,000 | 177,100 | (76) | 9/15/23 | (1.44375%) — At | Eurostat Eurozone | (177,176) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 3,497,000 | 903,899 | (165) | 5/15/50 | 1.13% — At | Eurostat Eurozone | (904,064) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 7,000,000 | 1,232,985 | (248) | 5/15/40 | 0.935% — At | Eurostat Eurozone | (1,233,233) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| EUR | 7,000,000 | 1,242,220 | (248) | 5/15/40 | 0.93% — At | Eurostat Eurozone | (1,242,468) |
| maturity | HICP excluding | ||||||
| tobacco — At | |||||||
| maturity | |||||||
| GBP | 4,004,000 | 263,190 | (86) | 12/15/28 | 3.665% — At | GBP Non-revised UK | 263,104 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 4,253,000 | 121,673 | (56) | 11/15/24 | 3.385% — At | GBP Non-revised UK | 121,617 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 3,123,000 | 86,245 | (72) | 3/15/28 | 3.4025% — At | GBP Non-revised UK | 86,173 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 4,484,000 | 73,970 | (106) | 3/15/28 | 3.34% — At | GBP Non-revised UK | 73,864 |
| maturity | Retail Price Index — | ||||||
| At maturity |
Master Intermediate Income Trust 83
$$/page=
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termina- | Payments | Total return | Unrealized | |||
| received | tion | received (paid) | received by | appreciation/ | |||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) | |
| GBP | 2,127,000 | $60,188 | $(28) | 11/15/24 | 3.381% — At | GBP Non-revised UK | $60,160 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 2,127,000 | 54,499 | — | 12/15/24 | 3.42% — At | GBP Non-revised UK | 54,499 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 2,402,000 | 50,486 | (56) | 2/15/28 | 3.34% — At | GBP Non-revised UK | 50,430 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 1,121,000 | 27,960 | (26) | 3/15/28 | 3.3875% — At | GBP Non-revised UK | 27,933 |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| GBP | 1,204,000 | 122,466 | (63) | 7/15/49 | (3.4425%) — At | GBP Non-revised UK | (122,529) |
| maturity | Retail Price Index — | ||||||
| At maturity | |||||||
| $3,060,000 | 104,967 | (31) | 11/29/24 | (1.703%) — At | USA Non Revised | 104,936 | |
| maturity | Consumer Price | ||||||
| Index-Urban | |||||||
| (CPI-U) — At | |||||||
| maturity | |||||||
| 3,060,000 | 93,768 | (31) | 12/10/24 | (1.7625%) — At | USA Non Revised | 93,737 | |
| maturity | Consumer Price | ||||||
| Index-Urban | |||||||
| (CPI-U) — At | |||||||
| maturity | |||||||
| 2,817,250 | 20,780 | (47) | 3/23/31 | (2.4275%) — At | USA Non Revised | 20,733 | |
| maturity | Consumer Price | ||||||
| Index-Urban | |||||||
| (CPI-U) — At | |||||||
| maturity | |||||||
| 2,853,000 | 14,225 | (48) | 3/23/31 | (2.45%) — At | USA Non Revised | 14,177 | |
| maturity | Consumer Price | ||||||
| Index-Urban | |||||||
| (CPI-U) — At | |||||||
| maturity | |||||||
| 802,000 | 2,479 | (13) | 4/1/31 | (2.466%) — At | USA Non Revised | 2,466 | |
| maturity | Consumer Price | ||||||
| Index-Urban | |||||||
| (CPI-U) — At | |||||||
| maturity | |||||||
| 9,720,000 | 1,040 | (98) | 4/1/26 | 2.53% — At | USA Non Revised | 942 | |
| maturity | Consumer Price | ||||||
| Index-Urban | |||||||
| (CPI-U) — At | |||||||
| maturity | |||||||
| 1,621,000 | 2,744 | (16) | 4/1/26 | 2.496% — At | USA Non Revised | (2,761) | |
| maturity | Consumer Price | ||||||
| Index-Urban | |||||||
| (CPI-U) — At | |||||||
| maturity |
84 Master Intermediate Income Trust
$$/page=
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| received | tion | received (paid) | received by | appreciation/ | ||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| $2,434,000 | $3,897 | $(41) | 4/1/31 | (2.51%) — At | USA Non Revised | $(3,938) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 2,434,000 | 5,197 | (41) | 4/1/31 | (2.515%) — At | USA Non Revised | (5,237) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 5,702,000 | 6,489 | (58) | 3/23/26 | 2.51% — At | USA Non Revised | (6,546) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 5,638,500 | 25,813 | — | 3/23/26 | 2.445% — At | USA Non Revised | (25,813) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 1,910,000 | 45,231 | (32) | 2/25/31 | 2.28% — At | USA Non Revised | (45,263) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 2,400,000 | 56,731 | (40) | 2/24/31 | 2.281% — At | USA Non Revised | (56,772) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 2,400,000 | 57,338 | (40) | 2/25/31 | 2.278% — At | USA Non Revised | (57,379) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 2,400,000 | 59,981 | (40) | 2/25/31 | 2.2675% — At | USA Non Revised | (60,021) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 4,362,000 | 69,234 | (73) | 3/5/31 | 2.351% — At | USA Non Revised | (69,307) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 4,409,000 | 70,447 | (74) | 3/5/31 | 2.35% — At | USA Non Revised | (70,521) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity |
Master Intermediate Income Trust 85
$$/page=
| CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termina- | Payments | Total return | Unrealized | ||
| received | tion | received (paid) | received by | appreciation/ | ||
| Notional amount | Value | (paid) | date | by fund | or paid by fund | (depreciation) |
| $4,800,000 | $110,942 | $(80) | 2/24/31 | 2.286% — At | USA Non Revised | $(111,024) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 10,332,500 | 1,070,323 | 17,727 | 6/30/30 | 1.586% — At | USA Non Revised | (1,052,596) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| 11,110,000 | 1,078,448 | 56,016 | 7/10/30 | 1.6625% — At | USA Non Revised | (1,022,427) |
| maturity | Consumer Price | |||||
| Index-Urban | ||||||
| (CPI-U) — At | ||||||
| maturity | ||||||
| Total | $71,101 | $(3,933,060) |
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt * | Rating *** | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Bank of America N.A. | |||||||
| CMBX NA BBB–.6 | BB–/P | $4,375 | $64,000 | $17,274 | 5/11/63 | 300 bp — | $(12,862) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 8,497 | 141,000 | 38,056 | 5/11/63 | 300 bp — | (29,477) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 17,409 | 282,000 | 76,112 | 5/11/63 | 300 bp — | (58,538) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 16,587 | 291,000 | 78,541 | 5/11/63 | 300 bp — | (61,784) |
| Index | Monthly | ||||||
| Citigroup Global Markets, Inc. | |||||||
| CMBX NA A.6 | A-/P | 5,963 | 47,000 | 3,718 | 5/11/63 | 200 bp — | 2,264 |
| Index | Monthly | ||||||
| CMBX NA A.6 | A-/P | 6,566 | 55,000 | 4,351 | 5/11/63 | 200 bp — | 2,237 |
| Index | Monthly | ||||||
| CMBX NA A.6 | A-/P | 11,798 | 78,000 | 6,170 | 5/11/63 | 200 bp — | 5,658 |
| Index | Monthly | ||||||
| CMBX NA A.6 | A-/P | 19,430 | 116,000 | 9,176 | 5/11/63 | 200 bp — | 10,300 |
| Index | Monthly | ||||||
| CMBX NA A.6 | A-/P | 18,176 | 131,000 | 10,362 | 5/11/63 | 200 bp — | 7,865 |
| Index | Monthly | ||||||
| CMBX NA A.6 | A-/P | 26,553 | 172,000 | 13,605 | 5/11/63 | 200 bp — | 13,014 |
| Index | Monthly | ||||||
| CMBX NA A.6 | A-/P | 20,798 | 177,000 | 14,001 | 5/11/63 | 200 bp — | 6,866 |
| Index | Monthly | ||||||
| CMBX NA A.6 | A-/P | 33,606 | 190,000 | 15,029 | 5/11/63 | 200 bp — | 18,651 |
| Index | Monthly | ||||||
| CMBX NA A.6 | A-/P | 61,014 | 367,000 | 29,030 | 5/11/63 | 200 bp — | 32,127 |
| Index | Monthly |
86 Master Intermediate Income Trust
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt * | Rating *** | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc. cont. | |||||||
| CMBX NA BB.11 | BB–/P | $77,970 | $138,000 | $21,211 | 11/18/54 | 500 bp — | $56,894 |
| Index | Monthly | ||||||
| CMBX NA BB.13 | BB–/P | 15,196 | 152,000 | 14,318 | 12/16/72 | 500 bp — | 941 |
| Index | Monthly | ||||||
| CMBX NA BB.13 | BB–/P | 26,330 | 279,000 | 26,282 | 12/16/72 | 500 bp — | 48 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | B/P | 119,351 | 832,000 | 381,139 | 5/11/63 | 500 bp — | (260,979) |
| Index | Monthly | ||||||
| CMBX NA BB.7 | B+/P | 64,660 | 1,267,000 | 462,328 | 1/17/47 | 500 bp — | (396,437) |
| Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 43,751 | 276,000 | 18,409 | 8/17/61 | 300 bp — | 25,503 |
| .12 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 10,436 | 119,000 | 8,723 | 12/16/72 | 300 bp — | 1,783 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 27,669 | 294,000 | 21,550 | 12/16/72 | 300 bp — | 6,290 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 1,028 | 33,000 | 1,587 | 12/16/72 | 300 bp — | (540) |
| .14 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 10,128 | 330,000 | 15,873 | 12/16/72 | 300 bp — | (5,552) |
| .14 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 12,318 | 377,000 | 18,134 | 12/16/72 | 300 bp — | (5,595) |
| .14 Index | Monthly | ||||||
| CMBX NA BBB– .6 | BB–/P | 32,585 | 133,000 | 35,897 | 5/11/63 | 300 bp — | (3,234) |
| Index | Monthly | ||||||
| CMBX NA BBB–.11 | BBB–/P | 3,883 | 62,000 | 3,664 | 11/18/54 | 300 bp — | 255 |
| Index | Monthly | ||||||
| CMBX NA BBB–.14 | BBB–/P | 6,901 | 138,000 | 6,638 | 12/16/72 | 300 bp — | 297 |
| Index | Monthly | ||||||
| CMBX NA BBB–.14 | BBB–/P | 10,394 | 228,000 | 10,967 | 12/16/72 | 300 bp — | (439) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 1,199 | 15,000 | 4,049 | 5/11/63 | 300 bp — | (2,841) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 17,107 | 260,000 | 70,174 | 5/11/63 | 300 bp — | (52,915) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 21,761 | 330,000 | 89,067 | 5/11/63 | 300 bp — | (67,114) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 23,964 | 352,000 | 95,005 | 5/11/63 | 300 bp — | (70,836) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 275,984 | 4,334,000 | 1,169,747 | 5/11/63 | 300 bp — | (891,234) |
| Index | Monthly | ||||||
| Credit Suisse International | |||||||
| CMBX NA BB.7 | B+/P | 30,497 | 228,000 | 83,197 | 1/17/47 | 500 bp — | (52,478) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 52,816 | 478,000 | 129,012 | 5/11/63 | 300 bp — | (75,918) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 129,498 | 1,172,000 | 316,323 | 5/11/63 | 300 bp — | (186,141) |
| Index | Monthly |
Master Intermediate Income Trust 87
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt * | Rating *** | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Credit Suisse International cont. | |||||||
| CMBX NA BBB–.6 | BB–/P | $1,151,228 | $12,252,000 | $3,306,815 | 5/11/63 | 300 bp — | $(2,148,440) |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BB+/P | 51,226 | 780,000 | 153,894 | 1/17/47 | 300 bp — | (102,213) |
| Index | Monthly | ||||||
| Goldman Sachs International | |||||||
| CMBX NA A.6 | A-/P | 19,238 | 162,000 | 12,814 | 5/11/63 | 200 bp — | 6,486 |
| Index | Monthly | ||||||
| CMBX NA BB.13 | BB–/P | 11,732 | 122,000 | 11,492 | 12/16/72 | 500 bp — | 240 |
| Index | Monthly | ||||||
| CMBX NA BB.6 | B/P | 70,315 | 164,000 | 75,128 | 5/11/63 | 500 bp — | (4,654) |
| Index | Monthly | ||||||
| CMBX NA BB.9 | B+/P | 4,448 | 11,000 | 2,958 | 9/17/58 | 500 bp — | 1,501 |
| Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 736 | 7,000 | 513 | 12/16/72 | 300 bp — | 227 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 1,895 | 32,000 | 2,346 | 12/16/72 | 300 bp — | (432) |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 1,906 | 32,000 | 2,346 | 12/16/72 | 300 bp — | (421) |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 3,946 | 54,000 | 3,958 | 12/16/72 | 300 bp — | 20 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 14,721 | 86,000 | 6,304 | 12/16/72 | 300 bp — | 8,468 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 14,558 | 86,000 | 6,304 | 12/16/72 | 300 bp — | 8,304 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 14,089 | 89,000 | 6,524 | 12/16/72 | 300 bp — | 7,617 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 5,678 | 96,000 | 7,037 | 12/16/72 | 300 bp — | (1,303) |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 15,671 | 100,000 | 7,330 | 12/16/72 | 300 bp — | 8,399 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB–.14 | BBB–/P | 3,689 | 83,000 | 3,992 | 12/16/72 | 300 bp — | (255) |
| Index | Monthly | ||||||
| CMBX NA BBB–.14 | BBB–/P | 7,625 | 166,000 | 7,985 | 12/16/72 | 300 bp — | (263) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 682 | 9,000 | 2,429 | 5/11/63 | 300 bp — | (1,742) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 806 | 11,000 | 2,969 | 5/11/63 | 300 bp — | (2,156) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 811 | 11,000 | 2,969 | 5/11/63 | 300 bp — | (2,152) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 1,042 | 13,000 | 3,509 | 5/11/63 | 300 bp — | (2,459) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 1,771 | 26,000 | 7,017 | 5/11/63 | 300 bp — | (5,231) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 2,354 | 28,000 | 7,557 | 5/11/63 | 300 bp — | (5,187) |
| Index | Monthly |
88 Master Intermediate Income Trust
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt * | Rating *** | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Goldman Sachs International cont. | |||||||
| CMBX NA BBB–.6 | BB–/P | $2,430 | $32,000 | $8,637 | 5/11/63 | 300 bp — | $(6,188) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 3,086 | 39,000 | 10,526 | 5/11/63 | 300 bp — | (7,417) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 4,415 | 44,000 | 11,876 | 5/11/63 | 300 bp — | (7,435) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 6,450 | 46,000 | 12,415 | 5/11/63 | 300 bp — | (5,939) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 7,985 | 60,000 | 16,194 | 5/11/63 | 300 bp — | (8,174) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 8,034 | 60,000 | 16,194 | 5/11/63 | 300 bp — | (8,125) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 5,664 | 64,000 | 17,274 | 5/11/63 | 300 bp — | (11,572) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 6,945 | 66,000 | 17,813 | 5/11/63 | 300 bp — | (10,830) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 8,625 | 78,000 | 21,052 | 5/11/63 | 300 bp — | (12,382) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 6,758 | 78,000 | 21,052 | 5/11/63 | 300 bp — | (14,249) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 7,858 | 91,000 | 24,561 | 5/11/63 | 300 bp — | (16,650) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 5,285 | 102,000 | 27,530 | 5/11/63 | 300 bp — | (22,185) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 14,022 | 103,000 | 27,800 | 5/11/63 | 300 bp — | (13,717) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 12,297 | 110,000 | 29,689 | 5/11/63 | 300 bp — | (17,327) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 12,871 | 115,000 | 31,039 | 5/11/63 | 300 bp — | (18,100) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 10,295 | 122,000 | 32,928 | 5/11/63 | 300 bp — | (22,561) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 10,295 | 122,000 | 32,928 | 5/11/63 | 300 bp — | (22,561) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 6,818 | 135,000 | 36,437 | 5/11/63 | 300 bp — | (29,539) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 22,777 | 137,000 | 36,976 | 5/11/63 | 300 bp — | (14,120) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 7,018 | 137,000 | 36,976 | 5/11/63 | 300 bp — | (29,878) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 23,502 | 157,000 | 42,374 | 5/11/63 | 300 bp — | (18,780) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 23,233 | 158,000 | 42,644 | 5/11/63 | 300 bp — | (19,319) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 18,496 | 166,000 | 44,803 | 5/11/63 | 300 bp — | (26,210) |
| Index | Monthly |
Master Intermediate Income Trust 89
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt * | Rating *** | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Goldman Sachs International cont. | |||||||
| CMBX NA BBB–.6 | BB–/P | $18,357 | $169,000 | $45,613 | 5/11/63 | 300 bp — | $(27,158) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 18,286 | 169,000 | 45,613 | 5/11/63 | 300 bp — | (27,229) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 20,534 | 175,000 | 47,233 | 5/11/63 | 300 bp — | (26,596) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 15,166 | 183,000 | 49,392 | 5/11/63 | 300 bp — | (34,119) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 10,015 | 192,000 | 51,821 | 5/11/63 | 300 bp — | (41,694) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 24,103 | 216,000 | 58,298 | 5/11/63 | 300 bp — | (34,070) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 24,103 | 216,000 | 58,298 | 5/11/63 | 300 bp — | (34,070) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 11,095 | 226,000 | 60,997 | 5/11/63 | 300 bp — | (49,771) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 12,285 | 252,000 | 68,015 | 5/11/63 | 300 bp — | (55,583) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 40,089 | 266,000 | 71,793 | 5/11/63 | 300 bp — | (31,550) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 13,442 | 271,000 | 73,143 | 5/11/63 | 300 bp — | (59,543) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 36,039 | 296,000 | 79,890 | 5/11/63 | 300 bp — | (43,679) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 33,021 | 305,000 | 82,320 | 5/11/63 | 300 bp — | (49,121) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 32,527 | 324,000 | 87,448 | 5/11/63 | 300 bp — | (54,732) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 47,211 | 452,000 | 121,995 | 5/11/63 | 300 bp — | (74,520) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 50,821 | 461,000 | 124,424 | 5/11/63 | 300 bp — | (73,334) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 71,741 | 605,000 | 163,290 | 5/11/63 | 300 bp — | (91,195) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 71,494 | 605,000 | 163,290 | 5/11/63 | 300 bp — | (91,442) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 37,011 | 765,000 | 206,474 | 5/11/63 | 300 bp — | (169,016) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 155,865 | 1,042,000 | 281,236 | 5/11/63 | 300 bp — | (124,763) |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BB+/P | 26,578 | 312,000 | 61,558 | 1/17/47 | 300 bp — | (34,798) |
| Index | Monthly | ||||||
| CMBX NA BBB–.7 | BB+/P | 90,359 | 1,040,000 | 205,192 | 1/17/47 | 300 bp — | (114,226) |
| Index | Monthly |
90 Master Intermediate Income Trust
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt * | Rating *** | (paid) ** | amount | Value | date | by fund | (depreciation) |
| JPMorgan Securities LLC | |||||||
| CMBX NA BB.10 | BB–/P | $9,629 | $120,000 | $36,468 | 5/11/63 | 500 bp — | $(26,723) |
| Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 5,046 | 55,000 | 4,032 | 12/16/72 | 300 bp — | 1,047 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 11,879 | 59,000 | 4,325 | 12/16/72 | 300 bp — | 7,588 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 3,548 | 60,000 | 4,398 | 12/16/72 | 300 bp — | (815) |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 13,532 | 86,000 | 6,304 | 12/16/72 | 300 bp — | 7,279 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 19,852 | 109,000 | 7,990 | 12/16/72 | 300 bp — | 11,926 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 24,217 | 121,000 | 8,869 | 12/16/72 | 300 bp — | 15,418 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 11,072 | 187,000 | 13,707 | 12/16/72 | 300 bp — | (2,526) |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 35,551 | 367,000 | 26,901 | 12/16/72 | 300 bp — | 8,864 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 48,740 | 516,000 | 37,823 | 12/16/72 | 300 bp — | 11,218 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 5,416,717 | 16,943,000 | 4,572,916 | 5/11/63 | 300 bp — | 853,685 |
| Index | Monthly | ||||||
| Merrill Lynch International | |||||||
| CMBX NA BB.6 | B/P | 13,977 | 125,000 | 57,263 | 5/11/63 | 500 bp — | (43,164) |
| Index | Monthly | ||||||
| CMBX NA BBB– .6 | BB–/P | 574,463 | 2,132,000 | 575,427 | 5/11/63 | 300 bp — | 280 |
| Index | Monthly | ||||||
| Morgan Stanley & Co. International PLC | |||||||
| CMBX NA BB.13 | BB–/P | 6,326 | 66,000 | 6,217 | 12/16/72 | 500 bp — | 173 |
| Index | Monthly | ||||||
| CMBX NA BB.13 | BB–/P | 8,078 | 84,000 | 7,913 | 12/16/72 | 500 bp — | 165 |
| Index | Monthly | ||||||
| CMBX NA BB.13 | BB–/P | 18,969 | 201,000 | 18,934 | 12/16/72 | 500 bp — | 35 |
| Index | Monthly | ||||||
| CMBX NA BB.13 | BB–/P | 27,518 | 286,000 | 26,941 | 12/16/72 | 500 bp — | 855 |
| Index | Monthly | ||||||
| CMBX NA BB.13 | BB–/P | 33,160 | 359,000 | 33,818 | 12/16/72 | 500 bp — | (358) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | B/P | 4,741 | 39,000 | 17,866 | 5/11/63 | 500 bp — | (13,087) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | B/P | 8,676 | 48,000 | 21,989 | 5/11/63 | 500 bp — | (13,266) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | B/P | 48,378 | 197,000 | 90,246 | 5/11/63 | 500 bp — | (41,677) |
| Index | Monthly |
Master Intermediate Income Trust 91
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt * | Rating *** | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | |||||||
| CMBX NA BB.6 | B/P | $135,240 | $322,000 | $147,508 | 5/11/63 | 500 bp — | $(11,955) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | B/P | 142,166 | 335,000 | 153,464 | 5/11/63 | 500 bp — | (10,972) |
| Index | Monthly | ||||||
| CMBX NA BB.6 | B/P | 97,086 | 394,000 | 180,491 | 5/11/63 | 500 bp — | (83,022) |
| Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 273 | 4,000 | 293 | 12/16/72 | 300 bp — | (18) |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 5,890 | 29,000 | 2,126 | 12/16/72 | 300 bp — | 3,782 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 1,951 | 33,000 | 2,419 | 12/16/72 | 300 bp — | (448) |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 3,456 | 37,000 | 2,712 | 12/16/72 | 300 bp — | 766 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 5,420 | 59,000 | 4,325 | 12/16/72 | 300 bp — | 1,130 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 11,844 | 63,000 | 4,618 | 12/16/72 | 300 bp — | 7,263 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 13,244 | 81,000 | 5,937 | 12/16/72 | 300 bp — | 7,354 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 5,112 | 92,000 | 6,744 | 12/16/72 | 300 bp — | (1,578) |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 15,735 | 100,000 | 7,330 | 12/16/72 | 300 bp — | 8,464 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 26,771 | 170,000 | 12,461 | 12/16/72 | 300 bp — | 14,409 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 27,786 | 304,000 | 22,283 | 12/16/72 | 300 bp — | 5,680 |
| .13 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 608 | 20,000 | 962 | 12/16/72 | 300 bp — | (342) |
| .14 Index | Monthly | ||||||
| CMBX NA BBB– | BBB–/P | 3,241 | 115,000 | 5,532 | 12/16/72 | 300 bp — | (2,223) |
| .14 Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 752 | 9,000 | 2,429 | 5/11/63 | 300 bp — | (1,672) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 1,541 | 21,000 | 5,668 | 5/11/63 | 300 bp — | (4,115) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 3,126 | 39,000 | 10,526 | 5/11/63 | 300 bp — | (7,377) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 3,446 | 46,000 | 12,415 | 5/11/63 | 300 bp — | (8,943) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 9,375 | 142,000 | 38,326 | 5/11/63 | 300 bp — | (28,868) |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 9,454 | 144,000 | 38,866 | 5/11/63 | 300 bp — | (29,327) |
| Index | Monthly |
92 Master Intermediate Income Trust
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/21 (Unaudited) cont. | |||||||
|---|---|---|---|---|---|---|---|
| Upfront | |||||||
| premium | Termi- | Payments | Unrealized | ||||
| Swap counterparty/ | received | Notional | nation | received | appreciation/ | ||
| Referenced debt * | Rating *** | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | |||||||
| CMBX NA BBB–.6 | BB–/P | $183,195 | $531,000 | $143,317 | 5/11/63 | 300 bp — | $40,188 |
| Index | Monthly | ||||||
| CMBX NA BBB–.6 | BB–/P | 519,928 | 7,848,000 | 2,118,175 | 5/11/63 | 300 bp — | (1,593,635) |
| Index | Monthly | ||||||
| Upfront premium received | 11,332,375 | Unrealized appreciation | 1,239,824 | ||||
| Upfront premium (paid) | — | Unrealized (depreciation) | (8,143,400) | ||||
| Total | $11,332,375 | Total | $(6,903,576) |
- Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2021. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (Unaudited) | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt * | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc. | ||||||
| CMBX NA BB.10 Index | $(14,611) | $140,000 | $42,546 | 11/17/59 | (500 bp) — | $27,799 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (12,500) | 114,000 | 34,645 | 11/17/59 | (500 bp) — | 22,034 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (42,884) | 331,000 | 50,875 | 11/18/54 | (500 bp) — | 7,668 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (13,574) | 144,000 | 22,133 | 11/18/54 | (500 bp) — | 8,419 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (3,877) | 76,000 | 11,681 | 11/18/54 | (500 bp) — | 7,731 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (2,231) | 43,000 | 6,609 | 11/18/54 | (500 bp) — | 4,337 |
| Monthly | ||||||
| CMBX NA BB.12 Index | (13,050) | 40,000 | 5,492 | 8/17/61 | (500 bp) — | (7,597) |
| Monthly | ||||||
| CMBX NA BB.12 Index | (3,675) | 7,000 | 961 | 8/17/61 | (500 bp) — | (2,721) |
| Monthly | ||||||
| CMBX NA BB.8 Index | (8,940) | 69,501 | 24,777 | 10/17/57 | (500 bp) — | 15,770 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (48,410) | 469,000 | 126,114 | 9/17/58 | (500 bp) — | 77,248 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (6,258) | 97,000 | 26,083 | 9/17/58 | (500 bp) — | 19,731 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (3,140) | 80,000 | 21,512 | 9/17/58 | (500 bp) — | 18,294 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (2,755) | 76,000 | 20,436 | 9/17/58 | (500 bp) — | 17,607 |
| Monthly |
Master Intermediate Income Trust 93
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt * | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Citigroup Global Markets, Inc. cont. | ||||||
| CMBX NA BB.9 Index | $(1,854) | $46,000 | $12,369 | 9/17/58 | (500 bp) — | $10,470 |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (189,131) | 1,100,000 | 137,940 | 11/17/59 | (300 bp) — | (51,832) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (55,015) | 237,000 | 29,720 | 11/17/59 | (300 bp) — | (25,433) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (28,062) | 221,000 | 27,713 | 11/17/59 | (300 bp) — | (478) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (38,410) | 161,000 | 20,189 | 11/17/59 | (300 bp) — | (18,315) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (24,448) | 112,000 | 14,045 | 11/17/59 | (300 bp) — | (10,469) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (23,069) | 106,000 | 13,292 | 11/17/59 | (300 bp) — | (9,839) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (17,963) | 73,000 | 9,154 | 11/17/59 | (300 bp) — | (8,851) |
| Monthly | ||||||
| CMBX NA BBB– .12 Index | (16,522) | 240,000 | 16,008 | 8/17/61 | (300 bp) — | (654) |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (47,966) | 161,000 | 20,189 | 11/17/59 | (300 bp) — | (27,870) |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (6,246) | 49,000 | 6,145 | 11/17/59 | (300 bp) — | (114) |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (4,717) | 37,000 | 4,640 | 11/17/59 | (300 bp) — | (86) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (32,967) | 103,000 | 6,087 | 11/18/54 | (300 bp) — | (26,940) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (15,684) | 48,000 | 2,837 | 11/18/54 | (300 bp) — | (12,875) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (1,312) | 4,000 | 236 | 11/18/54 | (300 bp) — | (1,078) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (71,841) | 215,000 | 14,341 | 8/17/61 | (300 bp) — | (57,626) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (67,433) | 194,000 | 12,940 | 8/17/61 | (300 bp) — | (54,606) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (61,865) | 176,000 | 11,739 | 8/17/61 | (300 bp) — | (50,229) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (48,986) | 139,000 | 9,271 | 8/17/61 | (300 bp) — | (39,795) |
| Monthly | ||||||
| CMBX NA BBB–.13 Index | (21,142) | 279,000 | 20,451 | 12/16/72 | (300 bp) — | (691) |
| Monthly | ||||||
| CMBX NA BBB–.8 Index | (31,297) | 198,000 | 30,987 | 10/17/57 | (300 bp) — | (425) |
| Monthly | ||||||
| CMBX NA BBB–.8 Index | (31,421) | 198,000 | 30,987 | 10/17/57 | (300 bp) — | (549) |
| Monthly | ||||||
| CMBX NA BBB–.8 Index | (9,703) | 62,000 | 9,703 | 10/17/57 | (300 bp) — | (36) |
| Monthly | ||||||
| CMBX NA BBB–.9 Index | (27,445) | 116,000 | 12,795 | 9/17/58 | (300 bp) — | (14,717) |
| Monthly |
94 Master Intermediate Income Trust
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt * | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Credit Suisse International | ||||||
| CMBX NA BB.10 Index | $(38,693) | $290,000 | $88,131 | 11/17/59 | (500 bp) — | $49,156 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (34,367) | 289,000 | 87,827 | 11/17/59 | (500 bp) — | 53,179 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (18,893) | 152,000 | 46,193 | 11/17/59 | (500 bp) — | 27,152 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (61,796) | 335,000 | 122,242 | 1/17/47 | (500 bp) — | 60,120 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (4,770) | 29,000 | 10,582 | 1/17/47 | (500 bp) — | 5,784 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (103,355) | 1,031,000 | 277,236 | 9/17/58 | (500 bp) — | 172,879 |
| Monthly | ||||||
| Goldman Sachs International | ||||||
| CMBX NA BB.6 Index | (12,481) | 122,000 | 55,888 | 5/11/63 | (500 bp) — | 43,289 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (32,233) | 213,000 | 77,724 | 1/17/47 | (500 bp) — | 45,284 |
| Monthly | ||||||
| CMBX NA A .6 Index | (4,240) | 64,000 | 5,062 | 5/11/63 | (200 bp) — | 798 |
| Monthly | ||||||
| CMBX NA BB.12 Index | (19,406) | 53,000 | 7,277 | 8/17/61 | (500 bp) — | (12,181) |
| Monthly | ||||||
| CMBX NA BB.7 Index | (38,667) | 236,000 | 86,116 | 1/17/47 | (500 bp) — | 47,220 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (25,361) | 150,000 | 54,735 | 1/17/47 | (500 bp) — | 29,229 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (25,381) | 125,000 | 45,613 | 1/17/47 | (500 bp) — | 20,110 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (18,621) | 102,000 | 37,220 | 1/17/47 | (500 bp) — | 18,500 |
| Monthly | ||||||
| CMBX NA BB.8 Index | (2,606) | 22,202 | 7,915 | 10/17/57 | (500 bp) — | 5,288 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (4,617) | 29,000 | 7,798 | 9/17/58 | (500 bp) — | 3,153 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (2,212) | 14,000 | 3,765 | 9/17/58 | (500 bp) — | 1,539 |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (10,061) | 46,000 | 5,768 | 11/17/59 | (300 bp) — | (4,320) |
| Monthly | ||||||
| CMBX NA BBB– .12 Index | (8,968) | 46,000 | 3,068 | 8/17/61 | (300 bp) — | (5,927) |
| Monthly | ||||||
| CMBX NA BBB–.12 Index | (5,404) | 16,000 | 1,067 | 8/17/61 | (300 bp) — | (4,346) |
| Monthly | ||||||
| CMBX NA BBB–.13 Index | (9,245) | 122,000 | 8,943 | 12/16/72 | (300 bp) — | (302) |
| Monthly | ||||||
| CMBX NA BBB–.8 Index | (8,938) | 57,000 | 8,921 | 10/17/57 | (300 bp) — | (51) |
| Monthly |
Master Intermediate Income Trust 95
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt * | (paid) ** | amount | Value | date | by fund | (depreciation) |
| JPMorgan Securities LLC | ||||||
| CMBX NA BB.11 Index | $(326,686) | $599,000 | $92,066 | 11/18/54 | (500 bp) — | $(235,202) |
| Monthly | ||||||
| CMBX NA BB.12 Index | (160,920) | 293,000 | 40,229 | 8/17/61 | (500 bp) — | (120,976) |
| Monthly | ||||||
| CMBX NA BB.17 Index | (495,531) | 1,012,000 | 369,279 | 1/17/47 | (500 bp) — | (127,236) |
| Monthly | ||||||
| CMBX NA BB.8 Index | (52,536) | 102,321 | 36,477 | 10/17/57 | (500 bp) — | (16,158) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (48,926) | 99,000 | 26,621 | 9/17/58 | (500 bp) — | (22,401) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (10,885) | 66,000 | 8,276 | 11/17/59 | (300 bp) — | (2,647) |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (29,298) | 104,000 | 13,042 | 11/17/59 | (300 bp) — | (16,317) |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (15,790) | 53,000 | 6,646 | 11/17/59 | (300 bp) — | (9,175) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (31,430) | 100,000 | 5,910 | 11/18/54 | (300 bp) — | (25,579) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (26,401) | 84,000 | 4,964 | 11/18/54 | (300 bp) — | (21,486) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (13,218) | 41,000 | 2,423 | 11/18/54 | (300 bp) — | (10,819) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (5,650) | 18,000 | 1,064 | 11/18/54 | (300 bp) — | (4,596) |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (214,338) | 913,000 | 180,135 | 1/17/47 | (300 bp) — | (34,736) |
| Monthly | ||||||
| Merrill Lynch International | ||||||
| CMBX NA BB.10 Index | (15,875) | 279,000 | 84,788 | 11/17/59 | (500 bp) — | 68,642 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (101,812) | 206,000 | 31,662 | 11/18/54 | (500 bp) — | (70,351) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (36,425) | 935,000 | 251,422 | 9/17/58 | (500 bp) — | 214,088 |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (20,367) | 94,000 | 11,788 | 11/17/59 | (300 bp) — | (8,634) |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (32,451) | 396,000 | 78,131 | 1/17/47 | (300 bp) — | 45,449 |
| Monthly | ||||||
| Morgan Stanley & Co. International PLC | ||||||
| CMBX NA BBB–.7 Index | (17,831) | 175,000 | 34,528 | 1/17/47 | (300 bp) — | 16,595 |
| Monthly | ||||||
| CMBX NA BB.10 Index | (14,683) | 140,000 | 42,546 | 11/17/59 | (500 bp) — | 27,727 |
| Monthly | ||||||
| CMBX NA BB.11 Index | (3,049) | 32,000 | 4,918 | 11/18/54 | (500 bp) — | 1,838 |
| Monthly | ||||||
| CMBX NA BB.12 Index | (10,868) | 152,000 | 20,870 | 8/17/61 | (500 bp) — | 9,854 |
| Monthly |
96 Master Intermediate Income Trust
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt * | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | ||||||
| CMBX NA BB.12 Index | $(7,605) | $144,000 | $19,771 | 8/17/61 | (500 bp) — | $12,026 |
| Monthly | ||||||
| CMBX NA BB.12 Index | (7,667) | 105,000 | 14,417 | 8/17/61 | (500 bp) — | 6,648 |
| Monthly | ||||||
| CMBX NA BB.12 Index | (40,800) | 68,000 | 9,336 | 8/17/61 | (500 bp) — | (31,530) |
| Monthly | ||||||
| CMBX NA BB.12 Index | (3,668) | 52,000 | 7,140 | 8/17/61 | (500 bp) — | 3,421 |
| Monthly | ||||||
| CMBX NA BB.12 Index | (2,777) | 34,000 | 4,668 | 9/17/58 | (500 bp) — | 1,858 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (39,014) | 194,000 | 70,791 | 1/17/47 | (500 bp) — | 31,588 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (17,547) | 91,000 | 33,206 | 1/17/47 | (500 bp) — | 15,570 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (11,040) | 59,000 | 21,529 | 1/17/47 | (500 bp) — | 10,432 |
| Monthly | ||||||
| CMBX NA BB.7 Index | (6,055) | 30,000 | 10,947 | 1/17/47 | (500 bp) — | 4,863 |
| Monthly | ||||||
| CMBX NA BB.8 Index | (30,651) | 59,848 | 21,336 | 10/17/57 | (500 bp) — | (9,374) |
| Monthly | ||||||
| CMBX NA BB.9 Index | (5,010) | 142,000 | 38,184 | 9/17/58 | (500 bp) — | 33,036 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (5,782) | 94,000 | 25,277 | 9/17/58 | (500 bp) — | 19,404 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (8,785) | 66,000 | 17,747 | 9/17/58 | (500 bp) — | 8,898 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (8,830) | 65,000 | 17,479 | 9/17/58 | (500 bp) — | 8,586 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (3,952) | 65,000 | 17,479 | 9/17/58 | (500 bp) — | 13,464 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (9,506) | 63,000 | 16,941 | 9/17/58 | (500 bp) — | 7,374 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (8,614) | 63,000 | 16,941 | 9/17/58 | (500 bp) — | 8,266 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (1,876) | 48,000 | 12,907 | 9/17/58 | (500 bp) — | 10,984 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (1,685) | 34,000 | 9,143 | 9/17/58 | (500 bp) — | 7,424 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (4,541) | 30,000 | 8,067 | 9/17/58 | (500 bp) — | 3,497 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (4,541) | 30,000 | 8,067 | 9/17/58 | (500 bp) — | 3,497 |
| Monthly | ||||||
| CMBX NA BB.9 Index | (352) | 4,000 | 1,076 | 9/17/58 | (500 bp) — | 720 |
| Monthly | ||||||
| CMBX NA BBB– . 8 Index | (16,646) | 107,000 | 16,746 | 10/17/57 | (300 bp) — | 38 |
| Monthly |
Master Intermediate Income Trust 97
$$/page=
| OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/21 (Unaudited) cont. | ||||||
|---|---|---|---|---|---|---|
| Upfront | ||||||
| premium | Termi- | Payments | Unrealized | |||
| Swap counterparty/ | received | Notional | nation | (paid) | appreciation/ | |
| Referenced debt * | (paid) ** | amount | Value | date | by fund | (depreciation) |
| Morgan Stanley & Co. International PLC cont. | ||||||
| CMBX NA BBB– . 8 Index | $(8,468) | $54,000 | $8,451 | 10/17/57 | (300 bp) — | $(49) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (51,248) | 304,000 | 38,122 | 11/17/59 | (300 bp) — | (13,303) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (17,456) | 136,000 | 17,054 | 11/17/59 | (300 bp) — | (481) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (27,435) | 116,000 | 14,546 | 11/17/59 | (300 bp) — | (12,957) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (24,867) | 102,000 | 12,791 | 11/17/59 | (300 bp) — | (12,135) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (7,908) | 66,000 | 8,276 | 11/17/59 | (300 bp) — | 330 |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (13,546) | 59,000 | 7,399 | 11/17/59 | (300 bp) — | (6,182) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (12,006) | 55,000 | 6,897 | 11/17/59 | (300 bp) — | (5,141) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (4,987) | 23,000 | 2,884 | 11/17/59 | (300 bp) — | (2,116) |
| Monthly | ||||||
| CMBX NA BBB– .10 Index | (4,325) | 20,000 | 2,508 | 11/17/59 | (300 bp) — | (1,829) |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (19,495) | 158,000 | 19,813 | 11/17/59 | (300 bp) — | 226 |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (10,907) | 86,000 | 10,784 | 11/17/59 | (300 bp) — | (166) |
| Monthly | ||||||
| CMBX NA BBB–.10 Index | (8,751) | 69,000 | 8,653 | 11/17/59 | (300 bp) — | (133) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (9,675) | 31,000 | 1,832 | 11/18/54 | (300 bp) — | (7,861) |
| Monthly | ||||||
| CMBX NA BBB–.11 Index | (5,697) | 18,000 | 1,064 | 11/18/54 | (300 bp) — | (4,644) |
| Monthly | ||||||
| CMBX NA BBB–.7 Index | (14,539) | 229,000 | 45,182 | 1/17/47 | (300 bp) — | 30,509 |
| Monthly | ||||||
| CMBX NA BBB–.8 Index | (15,432) | 99,000 | 15,494 | 10/17/57 | (300 bp) — | 4 |
| Monthly | ||||||
| CMBX NA BBB–.8 Index | (8,987) | 58,000 | 9,077 | 10/17/57 | (300 bp) — | 57 |
| Monthly | ||||||
| Upfront premium received | — | Unrealized appreciation | 1,446,701 | |||
| Upfront premium (paid) | (3,738,362) | Unrealized (depreciation) | (1,285,167) | |||
| Total | $(3,738,362) | Total | $161,534 |
- Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
98 Master Intermediate Income Trust
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
| Investments in securities: | Level 1 | Level 2 | Level 3 |
|---|---|---|---|
| Common stocks * : | |||
| Consumer cyclicals | $118,157 | $4,007 | $— |
| Energy | 22,449 | 104 | 186 |
| Financials | — | — | 16,195 |
| Health care | 16,745 | — | — |
| Utilities and power | — | 10,311 | — |
| Total common stocks | 157,351 | 14,422 | 16,381 |
| Asset-backed securities | — | 1,995,059 | — |
| Convertible bonds and notes | — | 18,017,131 | — |
| Corporate bonds and notes | — | 49,906,928 | 72 |
| Foreign government and agency bonds and notes | — | 28,989,024 | — |
| Mortgage-backed securities | — | 101,273,890 | — |
| Purchased options outstanding | — | 361,032 | — |
| Purchased swap options outstanding | — | 7,468,223 | — |
| Senior loans | — | 7,680,586 | — |
| U.S. government and agency mortgage obligations | — | 171,187,371 | — |
| U.S. treasury obligations | — | 1,638,494 | — |
| Short-term investments | 330,000 | 36,420,724 | — |
| Totals by level | $487,351 | $424,952,884 | $16,453 |
| Valuation inputs | |||
| Other financial instruments: | Level 1 | Level 2 | Level 3 |
| Forward currency contracts | $— | $256,174 | $— |
| Futures contracts | 217,579 | — | — |
| Written options outstanding | — | (694,281) | — |
| Written swap options outstanding | — | (8,312,597) | — |
| Forward premium swap option contracts | — | 1,061,067 | — |
| TBA sale commitments | — | (67,736,406) | — |
| Interest rate swap contracts | — | 3,683,914 | — |
| Total return swap contracts | — | (3,985,058) | — |
| Credit default contracts | — | (14,336,055) | — |
| Totals by level | $217,579 | $(90,063,242) | $— |
- Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio.
The accompanying notes are an integral part of these financial statements.
Master Intermediate Income Trust 99
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Statement of assets and liabilities 3/31/21 (Unaudited)
| ASSETS | |
|---|---|
| Investment in securities, at value (Notes 1 and 9): | |
| Unaffiliated issuers (identified cost $414,983,344) | $410,493,401 |
| Affiliated issuers (identified cost $14,963,287) (Notes 1 and 5) | 14,963,287 |
| Cash | 1,815,539 |
| Foreign currency (cost $4,661) (Note 1) | 4,239 |
| Interest and other receivables | 2,394,164 |
| Receivable for investments sold | 978,540 |
| Receivable for sales of TBA securities (Note 1) | 39,699,500 |
| Receivable for variation margin on futures contracts (Note 1) | 76,943 |
| Receivable for variation margin on centrally cleared swap contracts (Note 1) | 2,728,864 |
| Unrealized appreciation on forward premium swap option contracts (Note 1) | 6,390,465 |
| Unrealized appreciation on forward currency contracts (Note 1) | 1,892,830 |
| Unrealized appreciation on OTC swap contracts (Note 1) | 2,757,280 |
| Premium paid on OTC swap contracts (Note 1) | 3,738,362 |
| Prepaid assets | 37,374 |
| Total assets | 487,970,788 |
| LIABILITIES | |
| Payable for investments purchased | 5,301,591 |
| Payable for purchases of delayed delivery securities (Note 1) | 90,000 |
| Payable for purchases of TBA securities (Note 1) | 141,933,906 |
| Payable for compensation of Manager (Note 2) | 430,508 |
| Payable for custodian fees (Note 2) | 78,376 |
| Payable for investor servicing fees (Note 2) | 19,248 |
| Payable for Trustee compensation and expenses (Note 2) | 132,239 |
| Payable for administrative services (Note 2) | 701 |
| Payable for variation margin on centrally cleared swap contracts (Note 1) | 2,750,445 |
| Distributions payable to shareholders | 1,148,441 |
| Unrealized depreciation on OTC swap contracts (Note 1) | 9,480,219 |
| Premium received on OTC swap contracts (Note 1) | 11,332,375 |
| Unrealized depreciation on forward currency contracts (Note 1) | 1,636,656 |
| Unrealized depreciation on forward premium swap option contracts (Note 1) | 5,329,398 |
| Written options outstanding, at value (premiums $8,843,559) (Note 1) | 9,006,878 |
| TBA sale commitments, at value (proceeds receivable $67,924,453) (Note 1) | 67,736,406 |
| Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9) | 2,883,464 |
| Other accrued expenses | 143,065 |
| Total liabilities | 259,433,916 |
| Net assets | $228,536,872 |
(Continued on next page)
100 Master Intermediate Income Trust
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Statement of assets and liabilities cont.
| REPRESENTED BY | |
|---|---|
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $327,158,222 |
| Total distributable earnings (Note 1) | (98,621,350) |
| Total — Representing net assets applicable to capital shares outstanding | $228,536,872 |
| COMPUTATION OF NET ASSET VALUE | |
| Net asset value per share ($228,536,872 divided by 51,173,706 shares) | $4.47 |
- Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
Master Intermediate Income Trust 101
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Statement of operations Six months ended 3/31/21 (Unaudited)
| INVESTMENT INCOME | |
|---|---|
| Interest (net of foreign tax of $1,141) (including interest income of $8,049 from investments | |
| in affiliated issuers) (Note 5) | $5,820,722 |
| Total investment income | 5,820,722 |
| EXPENSES | |
| Compensation of Manager (Note 2) | 848,511 |
| Investor servicing fees (Note 2) | 57,027 |
| Custodian fees (Note 2) | 63,072 |
| Trustee compensation and expenses (Note 2) | 5,133 |
| Administrative services (Note 2) | 3,872 |
| Auditing and tax fees | 76,111 |
| Other | 121,176 |
| Total expenses | 1,174,902 |
| Expense reduction (Note 2) | (844) |
| Net expenses | 1,174,058 |
| Net investment income | 4,646,664 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
| Securities from unaffiliated issuers (Notes 1 and 3) | 3,993,732 |
| Foreign currency transactions (Note 1) | (20,994) |
| Forward currency contracts (Note 1) | (149,922) |
| Futures contracts (Note 1) | (129,684) |
| Swap contracts (Note 1) | (1,407,185) |
| Written options (Note 1) | 208,473 |
| Total net realized gain | 2,494,420 |
| Change in net unrealized appreciation (depreciation) on: | |
| Securities from unaffiliated issuers and TBA sale commitments | 190,072 |
| Assets and liabilities in foreign currencies | (533) |
| Forward currency contracts | 19,013 |
| Futures contracts | 395,115 |
| Swap contracts | 4,763,183 |
| Written options | 3,740,097 |
| Total change in net unrealized appreciation | 9,106,947 |
| Net gain on investments | 11,601,367 |
| Net increase in net assets resulting from operations | $16,248,031 |
The accompanying notes are an integral part of these financial statements.
102 Master Intermediate Income Trust
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Statement of changes in net assets
| INCREASE (DECREASE) IN NET ASSETS | Six months ended 3/31/21* | Year ended 9/30/20 |
|---|---|---|
| Operations | ||
| Net investment income | $4,646,664 | $9,287,584 |
| Net realized gain on investments | ||
| and foreign currency transactions | 2,494,420 | 1,763,066 |
| Change in net unrealized appreciation (depreciation) | ||
| of investments and assets and liabilities | ||
| in foreign currencies | 9,106,947 | (20,218,710) |
| Net increase (decrease) in net assets resulting | ||
| from operations | 16,248,031 | (9,168,060) |
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | (7,577,070) | (10,765,727) |
| From return of capital | — | (7,761,471) |
| Decrease from capital share transactions (Note 5) | (225,056) | (2,329,812) |
| Increase in capital share transactions from reinvestment | ||
| of distributions | — | 155,053 |
| Total increase (decrease) in net assets | 8,445,905 | (29,870,017) |
| NET ASSETS | ||
| Beginning of period | 220,090,967 | 249,960,984 |
| End of period | $228,536,872 | $220,090,967 |
| NUMBER OF FUND SHARES | ||
| Shares outstanding at beginning of period | 51,227,679 | 51,795,725 |
| Shares repurchased (Note 5) | (53,973) | (604,664) |
| Shares issued in connection with reinvestment | ||
| of distributions | — | 36,618 |
| Shares outstanding at end of period | 51,173,706 | 51,227,679 |
- Unaudited.
The accompanying notes are an integral part of these financial statements.
Master Intermediate Income Trust 103
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Financial highlights (For a common share outstanding throughout the period)
| PER-SHARE OPERATING PERFORMANCE | ||||||
|---|---|---|---|---|---|---|
| Six months ended ** | Year ended | |||||
| 3/31/21 | 9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | |
| Net asset value, beginning of period | $4.30 | $4.83 | $4.94 | $5.03 | $4.86 | $5.03 |
| Investment operations: | ||||||
| Net investment income a | .09 | .18 | .24 | .26 | .26 | .28 |
| Net realized and unrealized | ||||||
| gain (loss) on investments | .23 | (.35) | (.02) | (.06) | .21 | (.15) |
| Total from investment operations | .32 | (.17) | .22 | .20 | .47 | .13 |
| Less distributions: | ||||||
| From net investment income | (.15) | (.21) | (.34) | (.29) | (.31) | (.31) |
| From return of capital | — | (.15) | — | — | — | — |
| Total distributions | (.15) | (.36) | (.34) | (.29) | (.31) | (.31) |
| Increase from shares repurchased | — e | — e | .01 | — e | .01 | .01 |
| Net asset value, end of period | $4.47 | $4.30 | $4.83 | $4.94 | $5.03 | $4.86 |
| Market value, end of period | $4.32 | $4.11 | $4.59 | 4.52 | $4.73 | $4.42 |
| Total return at market value (%) b | 8.85 * | (2.85) | 9.48 | 1.66 | 14.32 | 5.08 |
| RATIOS AND SUPPLEMENTAL DATA | ||||||
| Net assets, end of period | ||||||
| (in thousands) | $228,537 | $220,091 | $249,961 | $262,509 | $269,544 | $263,234 |
| Ratio of expenses to average | ||||||
| net assets (%) c | .52 * | 1.01 | 1.02 | 1.00 | .99 | 1.00 |
| Ratio of net investment income | ||||||
| to average net assets (%) | 2.04 * | 3.98 | 4.90 | 5.11 | 5.24 | 5.82 |
| Portfolio turnover (%) d | 577 * | 995 | 899 | 715 | 976 | 823 |
- Not annualized.
** Unaudited.
a Per share net investment income has been determined on the basis of weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment.
c Includes amounts paid through expense offset arrangements, if any (Note 2).
d Portfolio turnover includes TBA purchase and sales commitments.
e Amount represents less than $0.01 per share
The accompanying notes are an integral part of these financial statements.
104 Master Intermediate Income Trust
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Notes to financial statements 3/31/21 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from October 1, 2020 through March 1, 2021.
Putnam Master Intermediate Income Trust (the fund) is a Massachusetts business trust, which is registered under the Investment Company Act of 1940, as amended, as a closed-end management investment company. The goal of the fund is to seek with equal emphasis high current income and relative stability of net asset value by allocating its investments among the U.S. investment grade sector, high-yield sector, and international sector. The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value. In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, transfer agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various
Master Intermediate Income Trust 105
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relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, if any, and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis.
The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.
Securities purchased or sold on a forward commitment or delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange
106 Master Intermediate Income Trust
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gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses options contracts for hedging duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses futures contracts for hedging treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used for hedging currency exposures and for gaining exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
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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 funds books. An upfront payment made by the fund is recorded as an asset on the funds 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 funds 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 funds portfolio.
Total return swap contracts The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The funds 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 funds portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts for hedging market risk, for gaining liquid exposure to individual names, for hedging market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment
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upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
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Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral pledged to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $15,504,832 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $16,379,840 and may include amounts related to unsettled agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At September 30, 2020, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:
| Short-term | Loss carryover — Long-term | Total |
|---|---|---|
| $38,403,528 | $30,892,679 | $69,296,207 |
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Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $351,396,048, resulting in gross unrealized appreciation and depreciation of $37,690,491 and $53,475,514, respectively, or net unrealized depreciation of $15,785,023.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The fund established targeted distribution rates, whose principal source of the distribution is ordinary income. However, the balance of the distribution, if any, comes first from capital gain and then will constitute a return of capital. A return of capital is not taxable; rather it reduces a shareholder’s tax basis in their shares of the fund. The fund may make return of capital distributions to achieve the targeted distribution rates. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management for management and investment advisory services quarterly based on the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the fund. The fee is based on the following annual rates:
| 0.750% | of the first $500 million of average — net assets, | 0.480% | of the next $5 billion of average — net assets, |
|---|---|---|---|
| of the next $500 million of average | of the next $5 billion of average | ||
| 0.650% | net assets, | 0.470% | net assets, |
| of the next $500 million of average | of the next $5 billion of average | ||
| 0.600% | net assets, | 0.460% | net assets, |
| of the next $5 billion of average | of the next $5 billion of average | ||
| 0.550% | net assets, | 0.450% | net assets, |
| of the next $5 billion of average | of the next $5 billion of average | ||
| 0.525% | net assets, | 0.440% | net assets, |
| of the next $5 billion of average | of the next $8.5 billion of average net | ||
| 0.505% | net assets, | 0.430% | assets and |
| of the next $5 billion of average | 0.420% | of any excess thereafter. | |
| 0.490% | net assets, |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.372% of the fund’s average net assets.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the portion of the fund managed by PIL.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. was paid a monthly fee for investor servicing at an annual rate of 0.05% of the fund’s average daily net assets. The amounts incurred for investor servicing agent functions during the reporting period are included in Investor servicing fees in the Statement of operations.
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The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $844 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $157, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
| Cost of purchases | Proceeds from sales | |
|---|---|---|
| Investments in securities, including TBA commitments (Long-term) | $1,824,812,673 | $1,790,952,350 |
| U.S. government securities (Long-term) | — | — |
| Total | $1,824,812,673 | $1,790,952,350 |
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.
Note 4: Shares repurchased
In September 2020, the Trustees approved the renewal of the repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 365 day period ending September 30, 2021 (based on shares outstanding as of September 30, 2020). Prior to this renewal, the Trustees had approved a repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 356 day period ending September 30, 2020 (based on shares outstanding as of October 9, 2019). Repurchases are made when the fund’s shares are trading at less than net asset value and in accordance with procedures approved by the fund’s Trustees. At Putnam’s recommendation, the share repurchase program was temporarily suspended on March 24, 2020 and reinstated July 1, 2020.
For the reporting period, the fund repurchased 53,973 common shares for an aggregate purchase price of $225,056 which reflects a weighted-average discount from net asset value per share of 6.97%. The weighted-average discount reflects the payment of commissions by the fund to execute repurchase trades.
For the previous fiscal year, the fund repurchased 604,664 common shares for an aggregate purchase price of $2,329,812, which reflected a weighted-average discount from net asset value per share of 9.46%. The weighted-average discount reflected the payment of commissions by the fund to execute repurchase trades.
At the close of the reporting period, Putnam Investments, LLC owned approximately 2,069 shares of the fund (0.004% of the fund’s shares outstanding), valued at $9,248 based on net asset value.
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Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
| Shares | |||||
|---|---|---|---|---|---|
| outstanding | |||||
| and fair | |||||
| Fair value as | Purchase | Sale | Investment | value as | |
| Name of affiliate | of 9/30/20 | cost | proceeds | income | of 3/31/21 |
| Short-term investments | |||||
| Putnam Short Term | |||||
| Investment Fund * | $12,804,784 | $36,365,434 | $34,206,931 | $8,049 | $14,963,287 |
| Total Short-term | |||||
| investments | $12,804,784 | $36,365,434 | $34,206,931 | $8,049 | $14,963,287 |
- Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations.
The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. In November 2020, this date was extended until June 30, 2023 for certain widely followed tenors (overnight and one-, three-, six-, and 12-month U.S. dollar LIBOR). LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to June 30, 2023.
Beginning in January 2020, global financial markets have experienced, and may continue to experience, significant volatility resulting from the spread of a virus known as Covid-19. The outbreak of Covid-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and general market uncertainty. The effects of Covid-19 have adversely affected, and may continue to adversely affect, the global economy, the economies of certain nations, and individual issuers, all of which may negatively impact the fund’s performance.
Note 7: Senior loan commitments
Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
Master Intermediate Income Trust 113
Note 8: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
| Purchased equity option contracts (contract amount) | $— * |
|---|---|
| Purchased TBA commitment option contracts (contract amount) | $112,000,000 |
| Purchased currency option contracts (contract amount) | $42,000,000 |
| Purchased swap option contracts (contract amount) | $600,400,000 |
| Written equity option contracts (contract amount) | $— * |
| Written TBA commitment option contracts (contract amount) | $109,100,000 |
| Written currency option contracts (contract amount) | $42,500,000 |
| Written swap option contracts (contract amount) | $490,100,000 |
| Futures contracts (number of contracts) | 1,000 |
| Forward currency contracts (contract amount) | $250,500,000 |
| Centrally cleared interest rate swap contracts (notional) | $821,500,000 |
| OTC total return swap contracts (notional) | $14,200,000 |
| Centrally cleared total return swap contracts (notional) | $170,100,000 |
| OTC credit default contracts (notional) | $90,000,000 |
| Warrants (number of warrants) | 4,000 |
- For the reporting period there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.
The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
| Fair value of derivative instruments as of the close of the reporting period | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||
|---|---|---|---|---|
| Derivatives not | ||||
| accounted for as | Statement of | Statement of | ||
| hedging instruments | assets and | assets and | ||
| under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
| Credit contracts | Receivables | $3,899,896 | Payables | $18,240,571 |
| Foreign exchange | ||||
| contracts | Receivables | 1,892,830 | Payables | 1,636,656 |
| Investments, | ||||
| Receivables, Net | ||||
| assets — Unrealized | Payables, Net assets — | |||
| Interest rate contracts | appreciation | 31,004,226 * | Unrealized depreciation | 31,199,727 * |
| Total | $36,796,952 | $51,076,954 |
- Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.
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The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1): investments
| Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | |||||
|---|---|---|---|---|---|
| Derivatives not accounted | Forward | ||||
| for as hedging instruments | currency | ||||
| under ASC 815 | Options | Futures | contracts | Swaps | Total |
| Credit contracts | $— | $— | $— | $(631,791) | $(631,791) |
| Foreign exchange contracts | 750,533 | — | (149,922) | — | 600,611 |
| Interest rate contracts | 1,984,464 | (129,684) | — | (775,394) | 1,079,386 |
| Total | $2,734,997 | $(129,684) | $(149,922) | $(1,407,185) | $1,048,206 |
| Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) | |||||
| on investments | |||||
| Derivatives not accounted | Forward | ||||
| for as hedging instruments | currency | ||||
| under ASC 815 | Options | Futures | contracts | Swaps | Total |
| Credit contracts | $— | $— | $— | $3,087,560 | $3,087,560 |
| Foreign exchange contracts | 159,899 | — | 19,013 | — | 178,912 |
| Interest rate contracts | (1,499,870) | 395,115 | — | 1,675,623 | 570,868 |
| Total | $(1,339,971) | $395,115 | $19,013 | $4,763,183 | $3,837,340 |
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Note 9: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
| Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | Citibank, N. A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N. A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto - Dominion Bank | UBS AG | Wells Fargo Bank, N. A. | WestPac Banking Corp. | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Assets: | ||||||||||||||||||||
| Centrally cleared | ||||||||||||||||||||
| interest rate swap | ||||||||||||||||||||
| contracts § | $— | $— | $2,728,864 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $2,728,864 |
| OTC Total return | ||||||||||||||||||||
| swap contracts *# | — | 13,638 | — | 1,795 | — | 13,920 | — | 23,707 | — | 13,648 | 4,047 | — | — | — | — | — | — | — | — | 70,755 |
| OTC Credit default | ||||||||||||||||||||
| contracts — | ||||||||||||||||||||
| protection sold *# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| OTC Credit default | ||||||||||||||||||||
| contracts — | ||||||||||||||||||||
| protection | ||||||||||||||||||||
| purchased *# | — | — | — | — | 863,686 | 630,144 | — | 415,724 | — | — | 784,281 | 456,124 | 749,937 | — | — | — | — | — | — | 3,899,896 |
| Futures contracts § | — | — | — | — | — | — | — | — | — | — | 76,943 | — | — | — | — | — | — | — | — | 76,943 |
| Forward currency | ||||||||||||||||||||
| contracts # | 25,969 | 64,994 | — | 119,255 | — | 36,796 | — | 297,210 | 34,307 | 70,714 | — | — | 62,268 | 100,330 | 708,636 | 73,335 | 218,330 | — | 80,686 | 1,892,830 |
| Forward premium | ||||||||||||||||||||
| swap option | ||||||||||||||||||||
| contracts # | 2,136,099 | 66,218 | — | 1,007,415 | — | — | — | 128,587 | — | 957,272 | — | — | 195,940 | — | — | 324,687 | 1,113,773 | 460,474 | — | 6,390,465 |
| Purchased swap | ||||||||||||||||||||
| options **# | 282,006 | 771,783 | — | 202,032 | — | — | — | 667,042 | — | 3,111,167 | — | — | 1,979,833 | — | — | 191,035 | 263,325 | — | — | 7,468,223 |
| Purchased | ||||||||||||||||||||
| options **# | — | — | — | — | — | — | — | — | — | 361,032 | — | — | — | — | — | — | — | — | — | 361,032 |
| Total Assets | $2,444,074 | $916,633 | $2,728,864 | $1,330,497 | $863,686 | $680,860 | $— | $1,532,270 | $34,307 | $4,513,833 | $865,271 | $456,124 | $2,987,978 | $100,330 | $708,636 | $589,057 | $1,595,428 | $460,474 | $80,686 | $22,889,008 |
| Liabilities: | ||||||||||||||||||||
| Centrally cleared | ||||||||||||||||||||
| interest rate swap | ||||||||||||||||||||
| contracts § | — | — | 2,750,445 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 2,750,445 |
| OTC Total return | ||||||||||||||||||||
| swap contracts* # | — | 10,213 | — | — | — | 3,594 | 12 | 15,751 | — | 2,248 | 15,214 | — | 4,620 | — | — | — | — | — | — | 51,652 |
| OTC Credit default | ||||||||||||||||||||
| contracts — | ||||||||||||||||||||
| protection sold *# | 209,529 | — | — | — | 2,573,242 | 3,980,455 | — | 2,983,474 | — | — | 4,712,822 | 631,324 | 3,145,105 | — | — | — | — | — | — | 18,235,951 |
| OTC Credit default | ||||||||||||||||||||
| contracts — | ||||||||||||||||||||
| protection | ||||||||||||||||||||
| purchased *# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Futures contracts § | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Forward currency | ||||||||||||||||||||
| contracts # | 113,906 | 81,321 | — | 34,319 | — | 41,182 | — | 62,989 | 137,981 | 88,254 | — | — | 377,366 | 113,148 | 161,034 | 94,745 | 315,212 | — | 15,199 | 1,636,656 |
116 Master Intermediate Income Trust Master Intermediate Income Trust 117
| Bank of America N. A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | Citibank, N. A. | Citigroup Global Markets, Inc. | Credit Suisse International | Deutsche Bank AG | Goldman Sachs International | HSBC Bank USA, National Association | JPMorgan Chase Bank N. A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | Toronto - Dominion Bank | UBS AG | Wells Fargo Bank, N. A. | WestPac Banking Corp. | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Forward premium | ||||||||||||||||||||
| swap option | ||||||||||||||||||||
| contracts # | $1,679,676 | $55,248 | $— | $797,698 | $— | $— | $— | $204,952 | $— | $1,391,181 | $— | $— | $152,956 | $— | $— | $181,038 | $649,050 | $217,599 | $— | $5,329,398 |
| Written swap | ||||||||||||||||||||
| options # | 340,851 | 489,992 | — | 1,166,995 | — | — | — | 759,759 | — | 2,591,559 | — | — | 2,071,330 | — | — | 352,508 | 539,603 | — | — | 8,312,597 |
| Written options # | — | — | — | — | — | — | — | — | — | 694,281 | — | — | — | — | — | — | — | — | — | 694,281 |
| Total Liabilities | $2,343,962 | $636,774 | $2,750,445 | $1,999,012 | $2,573,242 | $4,025,231 | $12 | $4,026,925 | $137,981 | $4,767,523 | $4,728,036 | $631,324 | $5,751,377 | $113,148 | $161,034 | $628,291 | $1,503,865 | $217,599 | $15,199 | $37,010,980 |
| Total Financial | ||||||||||||||||||||
| and Derivative | ||||||||||||||||||||
| Net Assets | $100,112 | $279,859 | $(21,581) | $(668,515) | $(1,709,556) | $(3,344,371) | $(12) | $(2,494,655) | $(103,674) | $(253,690) | $(3,862,765) | $(175,200) | $(2,763,399) | $(12,818) | $547,602 | $(39,234) | $91,563 | $242,875 | $65,487 | $(14,121,972) |
| Total collateral | ||||||||||||||||||||
| received | ||||||||||||||||||||
| (pledged) †## | $(242,000) | $279,859 | $— | $(668,515) | $(1,709,556) | $(3,328,938) | $— | $(2,464,984) | $(99,990) | $(253,690) | $(3,862,765) | $(122,000) | $(2,763,399) | $— | $547,602 | $— | $91,563 | $210,000 | $— | |
| Net amount | $342,112 | $— | $(21,581) | $— | $— | $(15,433) | $(12) | $(29,671) | $(3,684) | $— | $— | $(53,200) | $— | $(12,818) | $— | $(39,234) | $— | $32,875 | $65,487 | |
| Controlled | ||||||||||||||||||||
| collateral received | ||||||||||||||||||||
| (including TBA | ||||||||||||||||||||
| commitments) ** | $— | $1,972,353 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $581,111 | $— | $120,000 | $210,000 | $— | $2,883,464 |
| Uncontrolled | ||||||||||||||||||||
| collateral received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
| Collateral | ||||||||||||||||||||
| (pledged) | ||||||||||||||||||||
| (including TBA | ||||||||||||||||||||
| commitments) ** | $(242,000) | $— | $— | $(685,000) | $(1,728,989) | $(3,328,938) | $— | $(2,464,984) | $(99,990) | $(946,973) | $(3,920,966) | $(122,000) | $(2,840,000) | $— | $— | $— | $— | $— | $— | $(16,379,840) |
- Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.
** Included with Investments in securities on the Statement of assets and liabilities.
† Additional collateral may be required from certain brokers based on individual agreements.
Covered by master netting agreement (Note 1).
Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $506,991 and $3,220,989, respectively.
118 Master Intermediate Income Trust Master Intermediate Income Trust 119
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Note 10: New accounting pronouncements
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020–04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting . The amendments in ASU 2020–04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. The discontinuation of LIBOR was subsequently extended to June 30, 2023. ASU 2020–04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this provision.
Shareholder meeting results (Unaudited)
April 20, 2021 annual meeting
At the meeting, a proposal to fix the number of Trustees at 11 was approved as follows:
| Votes for | Votes against | Abstentions |
|---|---|---|
| 28,546,176 | 761,190 | 568,094 |
At the meeting, each of the nominees for Trustees was elected as follows:
| Votes for | Votes withheld | |
|---|---|---|
| Liaquat Ahamed | 28,756,433 | 1,119,032 |
| Ravi Akhoury | 28,321,620 | 1,553,845 |
| Barbara M. Baumann | 26,208,965 | 3,666,500 |
| Katinka Domotorffy | 28,361,671 | 1,513,794 |
| Catharine Bond Hill | 28,391,828 | 1,483,637 |
| Paul L. Joskow | 26,077,335 | 3,798,230 |
| Kenneth R. Leibler | 26,270,558 | 3,604,907 |
| Robert L. Reynolds | 26,295,517 | 3,579,948 |
| George Putnam, III | 28,799,714 | 1,075,751 |
| Manoj P. Singh | 28,171,596 | 1,703,869 |
| Mona K. Sutphen | 28,719,687 | 1,155,778 |
All tabulations are rounded to the nearest whole number.
120 Master Intermediate Income Trust
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Fund information
Founded over 80 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.
| Investment Manager | Trustees | Michael J. Higgins |
|---|---|---|
| Putnam Investment | Kenneth R. Leibler, Chair | Vice President, Treasurer, |
| Management, LLC | Liaquat Ahamed | and Clerk |
| 100 Federal Street | Ravi Akhoury | |
| Boston, MA 02110 | Barbara M. Baumann | Jonathan S. Horwitz |
| Katinka Domotorffy | Executive Vice President, | |
| Investment Sub-Advisor | Catharine Bond Hill | Principal Executive Officer, |
| Putnam Investments Limited | Paul L. Joskow | and Compliance Liaison |
| 16 St James’s Street | George Putnam, III | |
| London, England SW1A 1ER | Robert L. Reynolds | Richard T. Kircher |
| Manoj P. Singh | Vice President and BSA | |
| Marketing Services | Mona K. Sutphen | Compliance Officer |
| Putnam Retail Management | ||
| 100 Federal Street | Officers | Susan G. Malloy |
| Boston, MA 02110 | Robert L. Reynolds | Vice President and |
| President | Assistant Treasurer | |
| Custodian | ||
| State Street Bank | Robert T. Burns | Denere P. Poulack |
| and Trust Company | Vice President and | Assistant Vice President, Assistant |
| Chief Legal Officer | Clerk, and Assistant Treasurer | |
| Legal Counsel | ||
| Ropes & Gray LLP | James F. Clark | Janet C. Smith |
| Vice President, Chief Compliance | Vice President, | |
| Officer, and Chief Risk Officer | Principal Financial Officer, | |
| Principal Accounting Officer, | ||
| Nancy E. Florek | and Assistant Treasurer | |
| Vice President, Director of | ||
| Proxy Voting and Corporate | Mark C. Trenchard | |
| Governance, Assistant Clerk, | Vice President | |
| and Assistant Treasurer |
Call 1-800-225-1581 Monday through Friday between 8:00 a.m. and 8:00 p.m. Eastern Time, or visit putnam.com anytime for up-to-date information about the fund’s NAV.
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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
| Total Number | Maximum — Number (or | |||
|---|---|---|---|---|
| of Shares | Approximate | |||
| Purchased | Dollar Value) | |||
| as Part | of Shares | |||
| of Publicly | that May Yet Be | |||
| Total Number | Average | Announced | Purchased | |
| of Shares | Price Paid | Plans or | under the Plans | |
| Period | Purchased | per Share | Programs* | or Programs** |
| October 1 — October 31, 2020 | — | — | — | 5,122,767 |
| November 1 — November 30, 2020 | — | — | — | 5,122,767 |
| December 1 — December 31, 2020 | 52,112 | $4.17 | 52,112 | 5,070,655 |
| January 1 — January 31, 2021 | — | — | — | 5,070,655 |
| February 1 — February 28, 2021 | 1,861 | $4.22 | 1,861 | 5,068,794 |
| March 1 — March 31, 2021 | — | — | — | 5,068,794 |
- In October 2005, the Board of Trustees of the Putnam Funds initiated the closed-end fund share repurchase program, which, as subsequently amended, authorized the fund to repurchase of up to 10% of its fund's outstanding common shares over the two-years ending October 5, 2007. The Trustees have subsequently renewed the program on an annual basis. The program renewed by the Board in September 2019, which was in effect between October 10, 2019 and September 30, 2020, allowed the fund to repurchase up to 5,179,573 of its shares. The program renewed by the Board in September 2020, which is in effect between October 1, 2020 and September 30, 2021, allows the fund to repurchase up to 5,122,767 of its shares
** Information prior to October 1, 2020 is based on the total number of shares eligible for repurchase under the program, as amended through September 2019. Information from October 1, 2020 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2020.
Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable
Item 11. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 180 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.
(b) Changes in internal control over financial reporting: Not applicable
Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies:
Not Applicable
Item 13. Exhibits:
(a)(1) Not applicable
(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Putnam Master Intermediate Income Trust
By (Signature and Title):
/s/ Janet C. Smith Janet C. Smith Principal Accounting Officer
Date: May 26, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title):
/s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer
Date: May 26, 2021
By (Signature and Title):
/s/ Janet C. Smith Janet C. Smith Principal Financial Officer
Date: May 26, 2021