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:
One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service:
Robert T. Burns, Vice President One Post Office Square Boston, Massachusetts 02109
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, 2015
Date of reporting period:
October 1, 2014 – March 31, 2015
Item 1. Report to Stockholders:
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:
Putnam Master Intermediate Income Trust
Semiannual report 3 | 31 | 15
Message from the Trustees
1
About the fund
2
Performance snapshot
4
Interview with your fund’s portfolio manager
5
Your fund’s performance
12
Terms and definitions
14
Other information for shareholders
15
Summary of dividend reinvestment plans
16
Financial statements
18
Shareholder meeting results
94
Consider these risks before investing: International investing involves currency, economic, and political risks. 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 greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. The value of bonds in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility and reduced liquidity in the bond markets. 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. 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.
Message from the Trustees
Dear Fellow Shareholder:
The month of March 2015 marked the six-year milestone of the bull market in U.S. stocks, and this June will be the sixth anniversary of the beginning of the U.S. economic recovery as dated by the National Bureau of Economic Research, which has traced the chronology of U.S. business cycles back to 1854.
While six years is above the historical average on both counts, reaching these milestones does not necessarily indicate anything about the sustainability of the expansion or the market advance. However, we believe it is an unusually long period for the Federal Reserve to have refrained from raising interest rates. The Fed now appears poised to act, and speculation is mounting about where equity and fixed-income markets around the world could go from this point forward. Your portfolio manager provides a perspective in the following pages.
At this juncture of the market cycle, you might consult your financial advisor who can help you review your goals and risk profile, and explain the importance of timely adjustments to keep your portfolio equipped for all seasons.
As you make progress toward your long-term financial goals, markets may move in different directions. With Putnam, you are aligned with a group of portfolio managers and analysts who are experienced in navigating through changing markets with consistent strategies. They are dedicated to active, fundamental research, and to helping you meet your financial needs.
As always, thank you for investing with Putnam.
Respectfully yours,
Robert L. Reynolds President and Chief Executive Officer Putnam Investments
Jameson A. Baxter Chair, Board of Trustees
May 6, 2015
Performance snapshot
Annualized total return (%) comparison as of 3/31/15
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 pages 5 and 12–13 for additional performance information, including fund returns at market price. Index and Lipper results should be compared with fund performance at NAV. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund’s monthly reinvestment NAV.
*Returns for the six-month period are not annualized, but cumulative.
4 Master Intermediate Income Trust
Interview with your fund’s portfolio manager
D. William Kohli
Bill, what was the bond market environment like during the six-month reporting period ended March 31, 2015?
The period was punctuated by episodes of interest-rate volatility, but rates generally moved lower. We were not surprised to see some degree of rate volatility, given that the Federal Reserve ended its bond-buying program in October 2014 and the European Central Bank [ECB] officially announced its version of quantitative easing in January. Additionally, with U.S. gross domestic product growing at a 5% annual rate in the third quarter of 2014 — its strongest pace in 11 years — investors sought to fine-tune their forecasts as to when the Fed may begin raising its target for short-term interest rates.
In January, the combination of a stock market pullback, weaker-than-expected U.S. economic data, and continued worries about deflation in Europe fueled investors’ appetite for government bonds. Against this backdrop, the yield on the benchmark 10-year U.S. Treasury fell to 1.64%, its low for the period. In February, concern that the Fed might start raising rates in June hampered Treasuries, causing prices to fall and yields to move higher. During March, however, dovish comments by Fed Chair Janet Yellen reassured investors that the central bank was likely to take a go-slow approach toward raising rates, which helped Treasuries modestly rebound during the final weeks of the period. The 10-year Treasury yield finished
Broad market index and fund performance
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 3/31/15. See pages 4 and 12–13 for additional fund performance information. Index descriptions can be found on pages 14–15.
Master Intermediate Income Trust 5
the period at 1.92%, down from 2.49% at the beginning of the period.
The U.S. dollar continued to strengthen, rising more than 14% on an absolute basis during the reporting period and outpacing every other major currency, according to the WSJ Dollar Index, which represents multiple currencies. Versus the euro, the dollar’s surge was driven by the ECB’s launch of a larger-than-expected monetary easing program at the same time that the U.S. central bank was preparing to raise interest rates.
After declining since midsummer 2014, oil prices settled into a trading range in February and March. Prices fluctuated in the low- to mid-$50-per-barrel range on signs that U.S. production may be peaking and global demand may be rising.
The fund lagged its benchmark by a significant margin during the period. What factors hampered its relative performance?
It’s important to point out that the fund’s benchmark comprises U.S. Treasuries, government-agency securities, and investment-grade corporate bonds, and
Credit quality overview
Credit qualities are shown as a percentage of the fund’s net assets as of 3/31/15. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds or derivatives not rated by Moody’s but rated by Standard & Poor’s (S&P) or, if unrated by S&P, by Fitch ratings, and then included in the closest equivalent Moody’s rating based on analysis of these agencies’ respective ratings criteria. Moody’s ratings are used in recognition of its prominence among rating agencies and breadth of coverage of rated securities. To be announced (TBA) mortgage commitments, if any, are included based on their issuer ratings. Ratings may vary over time.
Derivative instruments, including forward currency contracts, are only included to the extent of any unrealized gain or loss on such instruments and are shown in the not-rated category. Cash is also shown in the not-rated category. Derivative offset values 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.
6 Master Intermediate Income Trust
“Globally, economies are in one of the most disparate growth cycles since the mid-to-late 1990s.”
Bill Kohli
these sectors performed well during the past six months. Our strategy of investing in a variety of out-of-benchmark sectors, which has served the fund well over the long term, was largely unrewarded during the period. However, our biggest overall detractor was the fund’s interest-rate and yield-curve positioning in the United States. The portfolio was defensively positioned for a rising-rate environment, resulting in an overall duration — a key measure of interest-rate sensitivity — that was moderately negative on a net basis. Unfortunately, because rates trended lower during the period, this positioning worked against the fund’s performance.
Elsewhere, our prepayment strategies, which we implemented with securities such as agency interest-only collateralized mortgage obligations [IO CMOs], also detracted. In January, the Obama administration announced that the Federal Housing Administration [FHA]
Top holdings
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 3/31/15. Short-term holdings, TBA commitments, and derivatives, if any, are excluded. Holdings may vary over time.
Master Intermediate Income Trust 7
would reduce the annual mortgage insurance premiums it charges to borrowers making small down payments. Investors reacted to this development by pricing in the possibility of faster mortgage prepayment speeds, which dampened the returns of existing prepayment-sensitive mortgage-backed securities. What’s more, this announcement came when Treasury yields were sharply declining, compounding the negatives for IO CMOs. The asset class rebounded in February, but did not fully overcome January’s significant downturn.
Our investments in emerging-market [EM] debt, specifically U.S. dollar-denominated holdings in Venezuela and Russia, modestly hampered the fund’s performance. During the first half of the period, declining oil prices soured investor sentiment toward the bonds of these oil-exporting countries. Continued uncertainty regarding Ukraine also weighed on Russia’s bonds.
Within foreign sovereign debt, our exposure to Greece detracted as Greek yields rose sharply. Increasing uncertainty about Greece’s prospects for accessing new financing and its ability to remain within the European Union weighed on the country’s bonds.
Comparison of top sector weightings
This chart shows how the fund’s top 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, and the use of different classifications of securities for presentation purposes. Holdings and allocations may vary over time.
Cash positions may represent collateral used to cover certain derivative contracts.
8 Master Intermediate Income Trust
Positions in high-yield bonds had a neutral impact on the fund’s return. Following a volatile period during 2014’s fourth quarter, high-yield bonds rallied in late January and February, fueled by oil prices settling into a trading range.
Turning to the positive side, which investments helped the fund’s performance?
Active currency positioning was the biggest contributor, as a long position in the U.S. dollar combined with short positions in most other major market currencies bolstered the fund’s performance. One exception to this strategy was a long position in the British pound sterling, which weakened relative to the U.S. dollar and slightly dampened the overall positive effect of our currency positioning.
Our mortgage credit investments, specifically positions in subordinated mezzanine commercial mortgage-backed securities [CMBS] and non-agency residential mortgage-backed securities [RMBS], also helped performance. Mezzanine CMBS benefited from supportive commercial real estate fundamentals, an improving U.S. economy, and persistent investor demand for higher-yielding bonds. Within non-agency RMBS, our holdings of Alternative-A [Alt-A] securities were helped by a strengthening housing market, coupled with solid investor demand amid shrinking supply. Alt-A securities are created from mortgage pools that occupy the space between riskier subprime mortgages and less risky prime mortgages.
How did you use derivatives during the period?
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. In addition, we employed interest-rate swaps and “swaptions” — the latter of which give us the option to enter into a swap contract — seeking to offset the
ABOUT DERIVATIVES
Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.
For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates.
Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.
Master Intermediate Income Trust 9
interest-rate and prepayment risks associated with our CMO holdings, and to help manage overall downside risk. We also utilized total return swaps as a hedging tool and to help manage the portfolio’s sector exposure, as well as its inflation risk. Lastly, we utilized 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 outlook for the coming months, and how are you positioning the fund?
We remain positive on U.S. economic growth, but the recovery has reverted to a moderate pace after surging in the middle of last year. We believe this slowdown is partly because consumption hasn’t increased as much as was expected. During the past year, rising hourly wages and lower gasoline prices benefited lower-wage workers, which we thought would bolster personal consumption expenditures. However, rather than spending more, these consumers increased their savings. According to the Commerce Department, personal spending increased slightly in February, but was down in December and January. At the same time, the personal savings rate continued to climb, reaching 5.8% in February, its highest level since the end of 2012. As the effects of an unseasonably cold winter in the East and Midwest dissipate, we think consumption will improve.
We believe the Fed is likely to begin raising rates during 2015, possibly in September. Many investors believe the Fed will wait until later in 2015, or even into 2016, before it begins hiking rates. Consequently, there appears to be a considerable disconnect between what the market is forecasting and the Fed’s own outlook, which could spark some volatility. In our view, however, once the central bank begins to raise the federal funds rate, it will make every effort to do so in an orderly, well-communicated fashion in an effort to avoid major financial-market disruption.
Globally, economies are in one of the most disparate growth cycles since the mid-to-late 1990s. Capital is flowing from the eurozone and elsewhere into the United States, seeking to capitalize on opportunities in stocks, high-yield bonds, mortgage-backed securities, and government debt. As a result, developing markets are under pressure since many of those economies require capital inflows to maintain their fiscal and monetary programs. As a result, we’re not enthusiastic about near-term prospects in emerging markets overall, although we continue to find what we believe are attractive country-specific investment opportunities.
Within this environment, we plan to maintain our diversified mortgage, corporate, and sovereign credit exposure primarily through allocations to mezzanine CMBS, high-yield bonds, and peripheral European sovereign bonds, respectively. As for prepayment risk, we expect to maintain our holdings of IO CMOs. We do not believe the new FHA policy is likely to have a major impact on the overall pace of residential refinancing. Moreover, we continue to find prepayment risk attractive, given the potential for higher interest rates as the U.S. economic recovery matures. We’re also excited about ongoing opportunities we see in the foreign-exchange market. Many of the fundamental drivers of currency performance, such as divergent trends in U.S. and foreign economic growth and monetary policies, appear to be gaining momentum.
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.
10 Master Intermediate Income Trust
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.
Portfolio Manager D. William Kohli is Co-Head of Fixed Income at Putnam. He has an M.B.A. from the Haas School of Business at the University of California, Berkeley, and a B.A. from the University of California, San Diego. Bill joined Putnam in 1994 and has been in the investment industry since 1986.
In addition to Bill, your fund’s portfolio managers are Michael J. Atkin, Kevin F. Murphy, Michael V. Salm, and Paul D. Scanlon, CFA.
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.
Putnam Master Intermediate Income Trust
Master Intermediate Income Trust 11
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended March 31, 2015, 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 3/31/15
NAV
Market price
Annual average
Life of fund (since 4/29/88)
6.49%
6.39%
10 years
63.60
73.47
Annual average
5.05
5.66
5 years
28.62
11.78
Annual average
5.16
2.25
3 years
15.99
14.55
Annual average
5.07
4.63
1 year
–1.07
1.23
6 months
–2.72
0.54
Performance assumes reinvestment of distributions and does not account for taxes.
Comparative index returns For periods ended 3/31/15
Barclays Government/Credit Bond Index
Citigroup Non-U.S. World Government Bond Index
JPMorgan Global High Yield Index†
Lipper Closed-end General Bond Funds category average*
Annual average
Life of fund (since 4/29/88)
6.82%
5.50%
—
7.35%
10 years
62.28
28.09
119.86%
116.04
Annual average
4.96
2.51
8.20
7.72
5 years
26.12
1.92
51.03
53.17
Annual average
4.75
0.38
8.60
8.57
3 years
10.41
–9.63
22.82
27.83
Annual average
3.35
–3.32
7.09
8.36
1 year
5.86
–9.82
1.16
5.51
6 months
3.69
–7.14
0.34
1.70
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.
*Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 3/31/15, there were 29, 28, 23, 18, 17, and 4 funds, respectively, in this Lipper category.
†The JPMorgan Global High Yield Index was introduced on 12/31/93, which post-dates the fund’s inception.
12 Master Intermediate Income Trust
Fund price and distribution information For the six-month period ended 3/31/15
Distributions
Number
6
Income
$0.156000
Capital gains
—
Total
$0.156000
Share value
NAV
Market price
9/30/14
$5.65
$5.03
3/31/15
5.34
4.90
Current rate (end of period)
NAV
Market price
Current dividend rate*
5.84%
6.37%
The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.
*Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by NAV or market price at end of period.
Master Intermediate Income Trust 13
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Net asset value (NAV) is the value of all your fund’s assets, minus any liabilities, divided by the number of outstanding shares.
Market price is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange.
Fixed-income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:
• Agency “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
Barclays Government/Credit Bond Index is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.
Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
Citigroup 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.
14 Master Intermediate Income Trust
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.
Lipper is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
Other information for shareholders
Important notice regarding share repurchase program
In September 2014, 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 12 months beginning October 8, 2014, up to 10% of the fund’s common shares outstanding as of October 7, 2014.
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2014, 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-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
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, 2015, Putnam employees had approximately $494,000,000 and the Trustees had approximately $141,000,000 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.
Master Intermediate Income Trust 15
Summary of Putnam Closed-End Funds’ Amended and Restated Dividend Reinvestment Plans
Putnam High Income Securities Fund, 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
16 Master Intermediate Income Trust
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 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.
Master Intermediate Income Trust 17
Financial statements
A guide to 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.
18 Master Intermediate Income Trust
The fund’s portfolio 3/31/15 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (55.1%)*
Principal amount
Value
U.S. Government Agency Mortgage Obligations (55.1%)
Federal National Mortgage Association Pass-Through Certificates
5 1/2s, TBA, April 1, 2045
$3,000,000
$3,378,750
5 1/2s, TBA, March 1, 2045
1,000,000
1,128,125
4 1/2s, TBA, May 1, 2045
14,000,000
15,233,750
4 1/2s, TBA, April 1, 2045
19,000,000
20,727,813
4s, TBA, April 1, 2045
17,000,000
18,178,047
3 1/2s, TBA, May 1, 2045
22,000,000
23,056,172
3 1/2s, TBA, April 1, 2045
25,000,000
26,263,673
3s, TBA, April 1, 2045
58,000,000
59,305,000
167,271,330
Total U.S. government and agency mortgage obligations (cost $166,137,540)
Total foreign government and agency bonds and notes (cost $37,239,554)
$30,689,320
Master Intermediate Income Trust 45
SENIOR LOANS (2.3%)* c
Principal amount
Value
Basic materials (0.1%)
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021
$104,213
$102,910
Ineos US Finance, LLC bank term loan FRN 3 3/4s, 2018
70,937
70,507
WR Grace & Co. bank term loan FRN 2 3/4s, 2021
105,774
105,679
WR Grace & Co. bank term loan FRN Ser. DD, 2 3/4s, 2021
38,063
38,029
317,125
Capital goods (—%)
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021
141,290
140,672
140,672
Communication services (0.2%)
Asurion, LLC bank term loan FRN 8 1/2s, 2021
139,000
139,550
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019
143,797
144,182
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020
75,000
75,109
Level 3 Financing, Inc. bank term loan FRN Ser. B5, 4 1/2s, 2022
130,000
130,580
489,421
Consumer cyclicals (1.2%)
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 9.005s, 2017
851,175
777,229
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 11 3/4s, 2017
69,650
63,294
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021
258,050
228,116
CCM Merger, Inc. bank term loan FRN Ser. B, 4 1/2s, 2021
164,293
164,704
Dollar Tree Stores, Inc. bank term loan FRN Ser. B, 4 1/4s, 2022
60,000
60,609
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019
210,852
177,327
Hilton Worldwide Finance, LLC bank term loan FRN Ser. B, 3 1/2s, 2020
191,447
191,618
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.922s, 2019
323,000
306,769
JC Penney Corp., Inc. bank term loan FRN 5s, 2019
428,673
421,528
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017
111,606
112,071
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020
286,256
285,019
PetSmart, Inc. bank term loan FRN Ser. B, 5s, 2022
235,000
236,656
ROC Finance, LLC bank term loan FRN 5s, 2019
128,371
123,878
Univision Communications, Inc. bank term loan FRN 4s, 2020
304,313
303,648
Visteon Corp. bank term loan FRN Class B, 3 1/2s, 2021
94,288
94,081
3,546,547
Consumer staples (0.2%)
BC ULC bank term loan FRN Ser. B, 4 1/2s, 2021 (Canada)
153,631
155,058
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4s, 2021
147,510
145,519
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/4s, 2020
98,269
98,257
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021
84,363
83,835
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4s, 2019
164,953
164,799
647,468
Health care (0.2%)
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.172s, 2021
222,750
222,444
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021
79,400
78,594
46 Master Intermediate Income Trust
SENIOR LOANS (2.3%)* c cont.
Principal amount
Value
Health care cont.
Par Pharmaceutical Cos., Inc. bank term loan FRN Class B2, 4s, 2019
$84,442
$84,266
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands)
119,100
118,405
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 1/2s, 2020
104,487
104,438
608,147
Technology (0.2%)
Avaya, Inc. bank term loan FRN Ser. B3, 4.676s, 2017
103,771
102,097
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018
206,936
206,275
Dell International, LLC bank term loan FRN Ser. B, 4 1/2s, 2020
64,348
64,688
Freescale Semiconductor, Inc. bank term loan FRN Ser. B5, 5s, 2021
290,575
291,924
664,984
Transportation (0.1%)
Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018 ‡‡
205,000
206,025
206,025
Utilities and power (0.1%)
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.662s, 2017
496,516
296,757
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.662s, 2017
5,096
3,046
299,803
Total senior loans (cost $7,222,072)
$6,920,192
PURCHASED SWAP OPTIONS OUTSTANDING (1.1%)* Counterparty Fixed right % to receive or (pay)/ Floating rate index/Maturity date
Expiration date/strike
Contract amount
Value
Bank of America N.A.
2.175/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.175
$20,170,400
$276,334
(2.0875)/3 month USD-LIBOR-BBA/Jul-25
Jul-15/2.0875
10,085,200
177,096
(2.685)/3 month USD-LIBOR-BBA/Sep-25
Sep-15/2.685
20,151,100
116,675
1.816/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.816
20,151,100
24,987
Barclays Bank PLC
(2.1625)/3 month USD-LIBOR-BBA/May-25
May-15/2.1625
20,151,100
168,665
(2.31)/3 month USD-LIBOR-BBA/Apr-45
Apr-15/2.31
4,030,220
133,521
2.31/3 month USD-LIBOR-BBA/Apr-45
Apr-15/2.31
4,030,220
47,355
Citibank, N.A.
2.20/3 month USD-LIBOR-BBA/May-25
May-15/2.20
21,333,200
382,718
2.172/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.172
10,085,200
137,663
2.043/3 month USD-LIBOR-BBA/May-25
May-15/2.043
10,075,550
105,088
1.4015/3 month USD-LIBOR-BBA/May-20
May-15/1.4015
40,302,200
104,786
(2.13)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.13
20,151,100
80,806
1.294/3 month USD-LIBOR-BBA/May-20
May-15/1.294
40,302,200
59,244
1.3735/3 month USD-LIBOR-BBA/May-20
May-15/1.3735
20,151,100
45,541
1.266/3 month USD-LIBOR-BBA/May-20
May-15/1.266
20,151,100
25,390
1.802/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.802
20,151,100
21,965
Master Intermediate Income Trust 47
PURCHASED SWAP OPTIONS OUTSTANDING (1.1%)* Counterparty Fixed right % to receive or (pay)/ Floating rate index/Maturity date cont.
Expiration date/strike
Contract amount
Value
Credit Suisse International
2.25/3 month USD-LIBOR-BBA/May-25
May-15/2.25
$33,114,000
$702,679
2.09125/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.09125
20,180,000
167,494
2.09/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.09
20,180,000
165,880
1.795/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.795
20,202,300
20,606
Goldman Sachs International
2.655/3 month USD-LIBOR-BBA/May-45
May-15/2.655
5,037,775
316,473
(2.82)/3 month USD-LIBOR-BBA/Jan-46
Jan-16/2.82
3,681,050
138,960
1.84/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.84
15,113,300
32,494
1.76/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.76
15,113,300
17,834
Total purchased swap options outstanding (cost $3,081,972)
$3,470,254
PURCHASED OPTIONS OUTSTANDING (0.1%)*
Expiration date/strike price
Contract amount
Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put)
May-15/$102.57
$11,000,000
$99,154
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put)
Apr-15/103.07
11,000,000
84,964
Total purchased options outstanding (cost $350,626)
$184,118
PREFERRED STOCKS (0.2%)*
Shares
Value
Ally Financial, Inc. 144A 7.00% cum. pfd.
353
$360,556
M/I Homes, Inc. Ser. A, $2.438 pfd.
4,100
104,960
Total preferred stocks (cost $302,913)
$465,516
CONVERTIBLE BONDS AND NOTES (—%)*
Principal amount
Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016 R
$100,000
$118,438
Total convertible bonds and notes (cost $104,643)
$118,438
COMMON STOCKS (—%)*
Shares
Value
Lone Pine Resources Canada, Ltd. (Canada) † F
9,978
$399
Lone Pine Resources, Inc. Class A (Canada) † F
9,978
399
Tribune Co. Class 1C F
40,066
10,017
Total common stocks (cost $65,186)
$10,815
SHORT-TERM INVESTMENTS (10.4%)*
Principal amount/shares
Value
Putnam Short Term Investment Fund 0.09% L
Shares 18,639,521
$18,639,521
SSgA Prime Money Market Fund Class N 0.02% P
Shares 2,346,000
2,346,000
U.S. Treasury Bills with effective yields ranging from 0.03% to 0.04%, April 2, 2015 Δ §
$1,067,000
1,066,999
U.S. Treasury Bills with an effective yield of 0.02%, April 23, 2015 Δ §
700,000
699,991
U.S. Treasury Bills with an effective yield of 0.02%, July 2, 2015 Δ
40,000
39,997
U.S. Treasury Bills with an effective yield of 0.10%, July 23, 2015 # Δ §
3,253,000
3,252,590
48 Master Intermediate Income Trust
SHORT-TERM INVESTMENTS (10.4%)* cont.
Principal amount/shares
Value
U.S. Treasury Bills with an effective yield of 0.01%, May 14, 2015 §
$200,000
$199,998
U.S. Treasury Bills with an effective yield of 0.01%, May 21, 2015 # §
1,450,000
1,449,977
U.S. Treasury Bills with an effective yield of 0.01%, May 7, 2015 Δ §
4,000,000
3,999,940
Total short-term investments (cost $31,694,367)
$31,695,013
TOTAL INVESTMENTS
Total investments (cost $477,765,643)
$475,257,574
Key to holding’s currency abbreviations
AUD
Australian Dollar
BRL
Brazilian Real
CAD
Canadian Dollar
CHF
Swiss Franc
CLP
Chilean Peso
EUR
Euro
GBP
British Pound
JPY
Japanese Yen
KRW
South Korean Won
NOK
Norwegian Krone
NZD
New Zealand Dollar
PLN
Polish Zloty
SEK
Swedish Krona
ZAR
South African Rand
Key to holding’s abbreviations
FRB
Floating Rate Bonds: the rate shown is the current interest rate 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
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.
IO
Interest Only
OAO
Open Joint Stock Company
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, 2014 through March 31, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.
*
Percentages indicated are based on net assets of $303,553,270.
†
This security is non-income-producing.
††
The interest or dividend rate and date shown parenthetically represent the new interest or dividend rate to be paid and the date the fund will begin accruing interest or dividend income at this rate.
Master Intermediate Income Trust 49
‡‡
Income may be received in cash or additional securities at the discretion of the issuer.
#
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.
Δ
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.
§
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.
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 6).
##
Forward commitment, in part or in entirety (Note 1).
F
This security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs (Note 1).
i
This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
L
Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
P
This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period (Note 1).
R
Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $199,837,681 to cover certain derivative contracts, delayed delivery securities and the settlement of certain securities.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under 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.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States
86.0%
Russia
2.4
Argentina
2.0
Greece
1.9
Venezuela
1.0
Canada
1.0
Brazil
0.8
Luxembourg
0.7
United Kingdom
0.7
Mexico
0.6
Indonesia
0.6
Other
2.3
Total
100.0%
50 Master Intermediate Income Trust
FORWARD CURRENCY CONTRACTS at 3/31/15 (aggregate face value $126,528,888) (Unaudited)
Counterparty
Currency
Contract type
Delivery date
Value
Aggregate face value
Unrealized appreciation/ (depreciation)
Bank of America N.A.
Australian Dollar
Buy
4/15/15
$617,146
$623,897
$(6,751)
British Pound
Buy
6/17/15
885,427
925,144
(39,717)
Canadian Dollar
Sell
4/15/15
2,175,029
2,295,937
120,908
Chilean Peso
Sell
4/15/15
370,711
$371,692
981
Euro
Sell
6/17/15
323,986
422,835
98,849
Norwegian Krone
Buy
6/17/15
149,579
$133,335
16,244
Barclays Bank PLC
Australian Dollar
Buy
4/15/15
697,818
700,610
(2,792)
British Pound
Buy
6/17/15
768,744
764,414
4,330
Canadian Dollar
Sell
4/15/15
2,873,119
3,062,228
189,109
Euro
Sell
6/17/15
362,197
402,660
40,463
Japanese Yen
Sell
5/20/15
722,407
736,813
14,406
Mexican Peso
Buy
4/15/15
1,476,487
1,518,085
(41,598)
New Zealand Dollar
Sell
4/15/15
717,087
698,933
(18,154)
Singapore Dollar
Sell
5/20/15
1,546,398
1,535,709
(10,689)
Swedish Krona
Buy
6/17/15
665,371
717,854
(52,483)
Swiss Franc
Sell
6/17/15
201,595
204,874
3,279
Citibank, N.A.
Australian Dollar
Buy
4/15/15
637,999
624,531
13,468
Brazilian Real
Buy
4/2/15
203,725
202,681
1,044
Brazilian Real
Sell
4/2/15
401,969
435,587
33,618
British Pound
Buy
6/17/15
745,318
772,663
(27,345)
Canadian Dollar
Sell
4/15/15
1,887,362
1,907,039
19,677
Chilean Peso
Buy
4/15/15
1,537,631
1,531,677
5,954
Danish Krone
Sell
6/17/15
1,458,759
1,525,259
66,500
Euro
Buy
6/17/15
571,442
596,701
(25,259)
Japanese Yen
Sell
5/20/15
1,014,965
1,035,958
20,993
Mexican Peso
Buy
4/15/15
1,479,789
1,465,684
14,105
New Zealand Dollar
Sell
4/15/15
1,161,944
1,179,587
17,643
Norwegian Krone
Buy
6/17/15
789,586
761,497
28,089
Norwegian Krone
Sell
6/17/15
788,372
823,897
35,525
Philippine Peso
Buy
5/20/15
746,907
758,754
(11,847)
Swiss Franc
Sell
6/17/15
1,517,174
1,543,762
26,588
Credit Suisse International
Australian Dollar
Sell
4/15/15
734,578
771,148
36,570
British Pound
Buy
6/17/15
230,104
288,957
(58,853)
Canadian Dollar
Sell
4/15/15
3,408,193
3,476,919
68,726
Euro
Buy
6/17/15
102,900
115,272
(12,372)
Indian Rupee
Buy
5/20/15
3,121,194
3,138,390
(17,196)
Japanese Yen
Sell
5/20/15
54
54
—
New Zealand Dollar
Buy
4/15/15
811,016
825,912
(14,896)
Norwegian Krone
Sell
6/17/15
401,397
419,414
18,017
Master Intermediate Income Trust 51
FORWARD CURRENCY CONTRACTS at 3/31/15 (aggregate face value $126,528,888) (Unaudited) cont.
Counterparty
Currency
Contract type
Delivery date
Value
Aggregate face value
Unrealized appreciation/ (depreciation)
Credit Suisse International cont.
Swedish Krona
Sell
6/17/15
$750,341
$773,529
$23,188
Swiss Franc
Sell
6/17/15
698,408
710,382
11,974
Deutsche Bank AG
Australian Dollar
Buy
4/15/15
134,860
120,351
14,509
British Pound
Buy
6/17/15
1,261,718
1,308,111
(46,393)
Canadian Dollar
Sell
4/15/15
2,913,301
3,014,432
101,131
Euro
Buy
6/17/15
1,717,233
1,725,526
(8,293)
New Zealand Dollar
Buy
4/15/15
2,270,950
2,265,359
5,591
Norwegian Krone
Sell
6/17/15
469,886
491,010
21,124
Polish Zloty
Sell
6/17/15
803,697
812,529
8,832
Swedish Krona
Sell
6/17/15
14,892
15,357
465
Swiss Franc
Sell
6/17/15
149,674
152,191
2,517
Turkish Lira
Buy
6/17/15
227,221
259,330
(32,109)
Goldman Sachs International
Australian Dollar
Buy
4/15/15
747,363
759,400
(12,037)
British Pound
Buy
6/17/15
738,795
765,987
(27,192)
Canadian Dollar
Sell
4/15/15
2,030,090
2,106,319
76,229
Euro
Sell
6/17/15
1,124,479
1,174,295
49,816
New Zealand Dollar
Buy
4/15/15
1,498,685
1,531,128
(32,443)
Norwegian Krone
Sell
6/17/15
1,249,759
1,305,135
55,376
Swedish Krona
Buy
6/17/15
8,173
8,426
(253)
HSBC Bank USA, National Association
Australian Dollar
Buy
4/15/15
53,427
23,200
30,227
British Pound
Buy
6/17/15
736,274
763,398
(27,124)
Canadian Dollar
Sell
4/15/15
2,105,480
2,185,744
80,264
Chinese Yuan
Buy
5/20/15
1,564,080
1,570,048
(5,968)
Euro
Sell
6/17/15
2,540,437
2,726,890
186,453
New Taiwan Dollar
Sell
5/20/15
1,560,210
1,544,338
(15,872)
New Zealand Dollar
Buy
4/15/15
745,385
761,049
(15,664)
Swedish Krona
Sell
6/17/15
144,981
149,534
4,553
JPMorgan Chase Bank N.A.
Australian Dollar
Buy
4/15/15
812,358
831,421
(19,063)
British Pound
Buy
6/17/15
461,691
474,813
(13,122)
Canadian Dollar
Sell
4/15/15
1,622,272
1,719,196
96,924
Euro
Sell
6/17/15
1,803,127
1,934,320
131,193
Indian Rupee
Buy
5/20/15
1,594,685
1,604,246
(9,561)
Japanese Yen
Sell
5/20/15
730,930
745,768
14,838
Malaysian Ringgit
Buy
5/20/15
74,212
62,074
12,138
Mexican Peso
Buy
4/15/15
1,454,243
1,466,597
(12,354)
New Zealand Dollar
Sell
4/15/15
1,295,744
1,295,999
255
Norwegian Krone
Buy
6/17/15
285,405
297,948
(12,543)
Philippine Peso
Buy
5/20/15
746,905
758,923
(12,018)
52 Master Intermediate Income Trust
FORWARD CURRENCY CONTRACTS at 3/31/15 (aggregate face value $126,528,888) (Unaudited) cont.
Counterparty
Currency
Contract type
Delivery date
Value
Aggregate face value
Unrealized appreciation/ (depreciation)
JPMorgan Chase Bank N.A. cont.
Singapore Dollar
Sell
5/20/15
$1,499,163
$1,526,875
$27,712
South African Rand
Buy
4/15/15
407,424
401,315
6,109
South Korean Won
Sell
5/20/15
1,536,067
1,531,435
(4,632)
Swedish Krona
Buy
6/17/15
186,287
225,333
(39,046)
Swiss Franc
Buy
6/17/15
181,157
166,704
14,453
Royal Bank of Scotland PLC (The)
Australian Dollar
Buy
4/15/15
1,196,619
1,248,458
(51,839)
British Pound
Buy
6/17/15
249,675
294,858
(45,183)
Canadian Dollar
Sell
4/15/15
2,178,660
2,286,405
107,745
Euro
Sell
6/17/15
1,530,376
1,594,698
64,322
New Zealand Dollar
Sell
4/15/15
802,653
761,324
(41,329)
Norwegian Krone
Buy
6/17/15
921,176
898,978
22,198
Singapore Dollar
Sell
5/20/15
2,980,785
3,035,908
55,123
Swedish Krona
Buy
6/17/15
22,681
43,954
(21,273)
State Street Bank and Trust Co.
Australian Dollar
Sell
4/15/15
311,274
344,514
33,240
British Pound
Buy
6/17/15
141,443
192,159
(50,716)
Canadian Dollar
Sell
4/15/15
2,434,593
2,502,771
68,178
Chilean Peso
Buy
4/15/15
1,298
23,009
(21,711)
Euro
Sell
6/17/15
999,189
1,122,328
123,139
Hungarian Forint
Buy
6/17/15
1,483,188
1,518,740
(35,552)
Israeli Shekel
Buy
4/15/15
3,062,484
3,132,181
(69,697)
Israeli Shekel
Sell
4/15/15
3,062,484
3,054,593
(7,891)
Japanese Yen
Sell
5/20/15
750,561
765,875
15,314
Malaysian Ringgit
Buy
5/20/15
37,859
32,545
5,314
New Zealand Dollar
Buy
4/15/15
859,325
841,879
17,446
Norwegian Krone
Buy
6/17/15
26,501
27,685
(1,184)
Singapore Dollar
Sell
5/20/15
1,587,156
1,616,717
29,561
Swedish Krona
Sell
6/17/15
735,507
757,997
22,490
Swiss Franc
Sell
6/17/15
259,090
263,542
4,452
Turkish Lira
Sell
6/17/15
226,089
170,881
(55,208)
UBS AG
Australian Dollar
Sell
4/15/15
236,614
291,997
55,383
British Pound
Buy
6/17/15
473,701
492,362
(18,661)
Canadian Dollar
Sell
4/15/15
1,687,637
1,774,041
86,404
Chilean Peso
Buy
4/15/15
1,890
24,056
(22,166)
Euro
Sell
6/17/15
1,498,731
1,655,226
156,495
Japanese Yen
Sell
5/20/15
438,569
447,743
9,174
New Taiwan Dollar
Sell
5/20/15
1,560,210
1,537,787
(22,423)
New Zealand Dollar
Buy
4/15/15
2,219,803
2,228,893
(9,090)
Norwegian Krone
Buy
6/17/15
1,503,497
1,490,890
12,607
Master Intermediate Income Trust 53
FORWARD CURRENCY CONTRACTS at 3/31/15 (aggregate face value $126,528,888) (Unaudited) cont.
Counterparty
Currency
Contract type
Delivery date
Value
Aggregate face value
Unrealized appreciation/ (depreciation)
UBS AG cont.
Norwegian Krone
Sell
6/17/15
$1,484,616
$1,534,352
$49,736
Swedish Krona
Buy
6/17/15
13,578
64,000
(50,422)
WestPac Banking Corp.
Australian Dollar
Sell
4/15/15
639,217
673,856
34,639
Canadian Dollar
Sell
4/15/15
747,035
830,623
83,588
Euro
Sell
6/17/15
1,912,163
2,012,031
99,868
New Zealand Dollar
Buy
4/15/15
1,477,630
1,508,701
(31,071)
South Korean Won
Buy
5/20/15
47,171
48,003
(832)
Total
$1,785,486
FUTURES CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)
Number of contracts
Value
Expiration date
Unrealized appreciation/ (depreciation)
Euro-Bobl 5 yr (Long)
29
$4,035,920
Jun-15
$11,148
Euro-Bund 10 yr (Long)
9
1,536,361
Jun-15
21,750
Euro-Buxl 30 yr (Short)
10
1,894,161
Jun-15
(127,553)
U.S. Treasury Bond 30 yr (Short)
1
163,875
Jun-15
(408)
U.S. Treasury Bond Ultra 30 yr (Long)
24
4,077,000
Jun-15
(17,829)
U.S. Treasury Note 2 yr (Short)
84
18,409,125
Jun-15
(38,230)
U.S. Treasury Note 5 yr (Short)
152
18,272,063
Jun-15
(69,974)
U.S. Treasury Note 10 yr (Short)
79
10,183,594
Jun-15
(95,993)
Total
$(317,089)
WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/15 (premiums $3,638,025) (Unaudited)
Counterparty Fixed Obligation % to receive or (pay)/ Floating rate index/Maturity date
Expiration date/strike
Contract amount
Value
Bank of America N.A.
2.916/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.916
$20,151,100
$20
(1.9125)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.9125
20,170,400
29,650
2.955/3 month USD-LIBOR-BBA/Sep-25
Sep-15/2.955
40,302,200
105,591
(2.04375)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.04375
20,170,400
111,341
1.66/3 month USD-LIBOR-BBA/Jul-20
Jul-15/1.66
20,170,400
174,676
Barclays Bank PLC
2.3775/3 month USD-LIBOR-BBA/May-25
May-15/2.3775
20,151,100
60,252
2.265/3 month USD-LIBOR-BBA/May-25
May-15/2.265
20,151,100
105,793
Citibank, N.A.
2.902/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.902
20,151,100
101
(1.602)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.602
20,151,100
3,023
(1.932)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.932
10,085,200
21,179
2.28/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.28
20,151,100
21,360
2.205/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.205
20,151,100
43,325
54 Master Intermediate Income Trust
WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/15 (premiums $3,638,025) (Unaudited) cont.
Counterparty Fixed Obligation % to receive or (pay)/ Floating rate index/Maturity date
Expiration date/strike
Contract amount
Value
Citibank, N.A. cont.
(2.052)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.052
$10,085,200
$62,730
(1.481)/3 month USD-LIBOR-BBA/May-20
May-15/1.481
20,151,100
76,373
(2.223)/3 month USD-LIBOR-BBA/May-25
May-15/2.223
5,037,775
101,209
(1.509)/3 month USD-LIBOR-BBA/May-20
May-15/1.509
40,302,200
173,299
Credit Suisse International
2.895/3 month USD-LIBOR-BBA/Apr-25
Apr-15/2.895
20,202,300
20
(1.80)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.80
20,180,000
9,081
(1.80125)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.80125
20,180,000
9,283
(1.94)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.94
20,180,000
45,809
(1.94125)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.94125
20,180,000
46,414
Goldman Sachs International
(1.92)/3 month USD-LIBOR-BBA/Apr-25
Apr-15/1.92
15,113,300
56,826
(1.885)/3 month USD-LIBOR-BBA/Jan-46
Jan-16/1.885
3,681,050
83,641
(2.35)/3 month USD-LIBOR-BBA/May-45
May-15/2.35
5,037,775
111,536
(2.5025)/3 month USD-LIBOR-BBA/May-45
May-15/2.5025
5,037,775
196,876
JPMorgan Chase Bank N.A.
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18
Mar-18/6.00
6,568,000
977,318
Total
$2,626,726
WRITTEN OPTIONS OUTSTANDING at 3/31/15 (premiums $351,484) (Unaudited)
Expiration date/strike price
Contract amount
Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put)
May-15/$101.57
$11,000,000
$48,598
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put)
May-15/100.57
11,000,000
19,063
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put)
Apr-15/102.07
11,000,000
23,034
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put)
Apr-15/101.07
11,000,000
1,969
Total
$92,664
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)
Counterparty Fixed right or obligation % to receive or (pay)/ Floating rate index/ Maturity date
Expiration date/strike
Contract amount
Premium receivable/ (payable)
Unrealized appreciation/ (depreciation)
Goldman Sachs International
1.955/3 month USD-LIBOR-BBA/Apr-25 (Purchased)
Apr-15/1.955
$14,105,770
$(78,992)
$(3,526)
(2.155)/3 month USD-LIBOR-BBA/Apr-25 (Purchased)
Apr-15/2.155
14,105,770
(78,992)
(4,937)
Master Intermediate Income Trust 55
FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Counterparty Fixed right or obligation % to receive or (pay)/ Floating rate index/ Maturity date
Expiration date/strike
Contract amount
Premium receivable/ (payable)
Unrealized appreciation/ (depreciation)
JPMorgan Chase Bank N.A.
2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased)
Feb-17/2.117
$5,037,775
$(123,441)
$35,013
2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased)
Feb-17/2.035
5,037,775
(128,005)
13,783
(3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased)
Feb-17/3.035
5,037,775
(134,045)
(16,071)
(3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased)
Feb-17/3.117
5,037,775
(141,058)
(33,829)
2.655/3 month USD-LIBOR-BBA/Feb-19 (Written)
Feb-17/2.655
22,065,500
146,184
41,461
2.56/3 month USD-LIBOR-BBA/Feb-19 (Written)
Feb-17/2.56
22,065,500
141,058
25,905
(1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written)
Feb-17/1.56
22,065,500
127,038
(22,507)
(1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written)
Feb-17/1.655
22,065,500
125,773
(42,145)
Total
$(144,480)
$(6,853)
TBA SALE COMMITMENTS OUTSTANDING at 3/31/15 (proceeds receivable $47,935,195) (Unaudited)
Agency
Principal amount
Settlement date
Value
Federal National Mortgage Association, 5 1/2s, March 1, 2045
$1,000,000
3/12/15
$1,128,125
Federal National Mortgage Association, 4 1/2s, April 1, 2045
19,000,000
4/14/15
20,727,812
Federal National Mortgage Association, 3 1/2s, April 1, 2045
25,000,000
4/14/15
26,263,673
Total
$48,119,610
OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments made by fund per annum
Payments received by fund per annum
Unrealized appreciation/ (depreciation)
Bank of America N.A.
CAD
4,121,000 E
$—
6/17/20
3 month CAD-BA-CDOR
1.385%
$23,882
CAD
17,845,000 E
—
6/17/17
0.93%
3 month CAD-BA-CDOR
(11,835)
CAD
7,339,000 E
—
6/17/20
3 month CAD-BA-CDOR
1.25%
4,230
CAD
9,894,000 E
—
6/17/17
1.00%
3 month CAD-BA-CDOR
(17,420)
56 Master Intermediate Income Trust
OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments made by fund per annum
Payments received by fund per annum
Unrealized appreciation/ (depreciation)
Citibank, N.A.
NZD
1,128,000
$—
2/17/25
3 month NZD-BBR-FRA
3.765%
$1,115
NZD
3,992,000
—
2/5/25
3.62%
3 month NZD-BBR-FRA
32,070
NZD
3,539,000
—
2/9/25
3.57%
3 month NZD-BBR-FRA
39,590
NZD
1,043,500
—
2/13/25
3.83%
3 month NZD-BBR-FRA
(5,251)
NZD
1,668,000
—
3/16/25
3.8675%
3 month NZD-BBR-FRA
(12,074)
Credit Suisse International
CAD
30,549,000 E
—
6/17/17
0.90929%
3 month CAD-BA-CDOR
(10,372)
CAD
12,500,000 E
—
6/17/20
3 month CAD-BA-CDOR
1.23%
(2,467)
NOK
5,071,000
—
3/12/25
1.915%
6 month NOK-NIBOR-NIBR
(5,102)
NOK
14,842,000
—
3/13/25
6 month NOK-NIBOR-NIBR
1.875%
8,305
SEK
20,236,000
—
11/11/19
0.78%
3 month SEK-STIBOR-SIDE
(54,933)
SEK
10,496,000
—
11/11/24
3 month SEK-STIBOR-SIDE
1.49%
69,541
Deutsche Bank AG
BRL
7,295,541
—
1/4/21
0.00%
Brazil Cetip Interbank Deposit Rate Over
9,742
BRL
24,803,354
—
1/2/17
Brazil Cetip Interbank Deposit Rate Over
0.00%
(23,812)
PLN
9,968,000
—
3/17/24
4.1072%
6 month PLN-WIBOR-WIBO
(440,579)
PLN
4,970,000
—
3/18/24
4.12875%
6 month PLN-WIBOR-WIBO
(221,898)
PLN
4,165,000
—
3/27/24
4.045%
6 month PLN-WIBOR-WIBO
(181,888)
ZAR
18,686,000
—
1/26/25
3 month ZAR- JIBAR-SAFEX
7.09%
(62,993)
ZAR
12,457,000
—
1/23/25
3 month ZAR- JIBAR-SAFEX
7.08%
(42,567)
Goldman Sachs International
KRW
1,462,000,000
—
11/06/19
3 month KRW-CD-KSDA-BLOOMBERG
2.17%
21,288
NOK
6,998,000
—
2/6/25
1.745%
6 month NOK-NIBOR-NIBR
5,550
Master Intermediate Income Trust 57
OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments made by fund per annum
Payments received by fund per annum
Unrealized appreciation/ (depreciation)
Goldman Sachs International cont.
NOK
5,673,000
$—
2/6/25
1.74%
6 month NOK-NIBOR-NIBR
$4,829
NOK
6,326,000
—
2/11/25
6 month NOK-NIBOR-NIBR
1.7375%
(5,803)
NOK
5,597,000
—
2/5/25
1.7125%
6 month NOK-NIBOR-NIBR
6,501
NOK
12,694,000
—
2/13/25
6 month NOK-NIBOR-NIBR
1.77%
(7,472)
NOK
4,716,000
—
2/17/25
1.80%
6 month NOK-NIBOR-NIBR
1,191
NOK
4,716,000
—
2/17/25
1.81%
6 month NOK-NIBOR-NIBR
651
NZD
1,886,000
—
3/11/25
3.97%
3 month NZD-BBR-FRA
(25,719)
NZD
1,224,000
—
3/20/25
3.80%
3 month NZD-BBR-FRA
(3,700)
SEK
21,331,000
—
11/10/19
0.775%
3 month SEK-STIBOR-SIDE
(57,121)
SEK
10,833,000
—
11/10/24
3 month SEK-STIBOR-SIDE
1.4775%
69,997
SEK
12,356,000
—
3/12/25
3 month SEK-STIBOR-SIDE
1.1475%
25,830
SEK
30,848,000
—
3/12/20
0.5325%
3 month SEK-STIBOR-SIDE
(25,322)
JPMorgan Chase Bank N.A.
BRL
25,053,070
—
1/2/17
Brazil Cetip Interbank Deposit Rate Over
0.00%
(83,279)
BRL
7,531,848
—
1/4/21
0.00%
Brazil Cetip Interbank Deposit Rate Over
86,794
BRL
3,236,318
—
1/4/21
0.00%
Brazil Cetip Interbank Deposit Rate Over
(13,295)
BRL
10,892,122
—
1/2/17
Brazil Cetip Interbank Deposit Rate Over
0.00%
17,917
JPY
511,900,000
—
2/19/20
6 month JPY-LIBOR-BBA
1.3975%
239,943
NOK
5,698,000
—
2/17/25
1.795%
6 month NOK-NIBOR-NIBR
1,762
NZD
1,354,000
—
2/17/25
3 month NZD-BBR-FRA
3.765%
1,338
NZD
1,043,500
—
2/13/25
3.8225%
3 month NZD-BBR-FRA
(4,759)
NZD
640,000
—
2/17/25
3 month NZD-BBR-FRA
3.7275%
(862)
58 Master Intermediate Income Trust
OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments made by fund per annum
Payments received by fund per annum
Unrealized appreciation/ (depreciation)
JPMorgan Chase Bank N.A. cont.
NZD
1,396,000
$—
2/20/25
3 month NZD-BBR-FRA
3.815%
$5,686
NZD
1,825,000
—
2/25/25
3 month NZD-BBR-FRA
3.885%
15,452
NZD
1,106,000
—
3/6/25
3.865%
3 month NZD-BBR-FRA
(7,881)
NZD
1,480,000
—
3/12/25
3.94%
3 month NZD-BBR-FRA
(17,376)
PLN
1,415,000
—
3/12/25
2.42%
6 month PLN-WIBOR-WIBO
(11,264)
SEK
19,966,000
—
11/10/19
0.78%
3 month SEK-STIBOR-SIDE
(54,451)
SEK
10,388,000
—
11/10/24
3 month SEK-STIBOR-SIDE
1.485%
68,796
SEK
10,388,000
—
11/11/24
3 month SEK-STIBOR-SIDE
1.485%
68,708
SEK
19,966,000
—
11/11/19
0.775%
3 month SEK-STIBOR-SIDE
(53,788)
ZAR
12,924,000
—
1/22/25
3 month ZAR- JIBAR-SAFEX
7.14%
(39,565)
ZAR
38,772,000
—
1/23/25
3 month ZAR- JIBAR-SAFEX
7.0633%
(136,299)
ZAR
8,367,000
—
3/10/25
3 month ZAR- JIBAR-SAFEX
7.91%
10,239
Total
$—
$(800,200)
EExtended effective date.
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments received (paid) by fund per annum
Total return received by or paid by fund
Unrealized appreciation/ (depreciation)
Barclays Bank PLC
$266,070
$—
1/12/40
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
$1,255
472,052
—
1/12/42
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(6,020)
482,429
—
1/12/40
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
2,275
444,169
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
2,233
1,336,468
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(6,102)
189,085
—
1/12/40
4.00% (1 month USD-LIBOR)
Synthetic MBX Index 4.00% 30 year Fannie Mae pools
1,000
383,234
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
1,927
2,299,406
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
11,562
493,060
—
1/12/39
6.00% (1 month USD-LIBOR)
Synthetic TRS Index 6.00% 30 year Fannie Mae pools
3,476
1,167,201
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(5,329)
1,461,656
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
7,350
449,709
—
1/12/40
4.00% (1 month USD-LIBOR)
Synthetic MBX Index 4.00% 30 year Fannie Mae pools
2,378
53,958
—
1/12/38
6.50% (1 month USD-LIBOR)
Synthetic TRS Index 6.50% 30 year Fannie Mae pools
487
197,366
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
992
247,464
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools
1,283
1,149,703
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
5,781
66 Master Intermediate Income Trust
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments received (paid) by fund per annum
Total return received by or paid by fund
Unrealized appreciation/ (depreciation)
Barclays Bank PLC cont.
$973,986
$—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
$(4,447)
1,122,168
—
1/12/40
4.00% (1 month USD-LIBOR)
Synthetic MBX Index 4.00% 30 year Fannie Mae pools
5,933
206,056
—
1/12/40
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
972
1,600,067
—
1/12/40
4.50% (1 month USD-LIBOR)
Synthetic MBX Index 4.50% 30 year Fannie Mae pools
12,878
6,299,990
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
31,678
1,375,428
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
6,916
233,101
—
1/12/40
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
1,099
755,711
—
1/12/40
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
3,564
547,852
—
1/12/40
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
2,584
2,953,519
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(13,486)
553,112
—
1/12/39
(6.00%) 1 month USD-LIBOR
Synthetic MBX Index 6.00% 30 year Fannie Mae pools
(3,331)
445,487
—
1/12/39
(5.50%) 1 month USD-LIBOR
Synthetic MBX Index 5.50% 30 year Fannie Mae pools
(2,357)
222,780
—
1/12/39
(5.50%) 1 month USD-LIBOR
Synthetic MBX Index 5.50% 30 year Fannie Mae pools
(1,179)
222,780
—
1/12/39
(5.50%) 1 month USD-LIBOR
Synthetic MBX Index 5.50% 30 year Fannie Mae pools
(1,179)
447,041
—
1/12/39
(5.50%) 1 month USD-LIBOR
Synthetic MBX Index 5.50% 30 year Fannie Mae pools
(2,366)
1,161,064
—
1/12/39
(5.50%) 1 month USD-LIBOR
Synthetic MBX Index 5.50% 30 year Fannie Mae pools
(6,144)
Master Intermediate Income Trust 67
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments received (paid) by fund per annum
Total return received by or paid by fund
Unrealized appreciation/ (depreciation)
Barclays Bank PLC cont.
$447,041
$—
1/12/39
(5.50%) 1 month USD-LIBOR
Synthetic MBX Index 5.50% 30 year Fannie Mae pools
$(2,366)
710,787
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools
(1,470)
428,124
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools
(885)
433,821
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
2,181
542,698
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools
(1,122)
938,359
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(4,284)
808,489
—
1/12/38
6.50% (1 month USD-LIBOR)
Synthetic TRS Index 6.50% 30 year Fannie Mae pools
7,301
115,974
—
1/12/38
6.50% (1 month USD-LIBOR)
Synthetic TRS Index 6.50% 30 year Fannie Mae pools
1,047
892,528
—
1/12/39
(5.50%) 1 month USD-LIBOR
Synthetic MBX Index 5.50% 30 year Fannie Mae pools
(4,723)
122,330
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(559)
1,947,981
—
1/12/41
(5.00%) 1 month USD-LIBOR
Synthetic TRS Index 5.00% 30 year Fannie Mae pools
20,165
345,294
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
1,736
1,544,041
—
1/12/41
(4.00%) 1 month USD-LIBOR
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
19,450
Citibank, N.A.
894,086
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
4,496
1,916,172
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
9,635
68 Master Intermediate Income Trust
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments received (paid) by fund per annum
Total return received by or paid by fund
Unrealized appreciation/ (depreciation)
Citibank, N.A. cont.
$1,672,818
$—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
$8,411
EUR
8,270,000
—
2/21/19
(1.235%)
Eurostat Eurozone HICP excluding tobacco
(267,499)
EUR
4,310,000
—
2/21/24
1.69%
Eurostat Eurozone HICP excluding tobacco
304,369
Credit Suisse International
$766,469
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Fannie Mae pools
3,854
591,325
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(2,700)
1,196,018
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools
(2,473)
1,214,853
—
1/12/41
(5.00%) 1 month USD-LIBOR
Synthetic TRS Index 5.00% 30 year Fannie Mae pools
12,576
1,346,686
—
1/12/41
(5.00%) 1 month USD-LIBOR
Synthetic TRS Index 5.00% 30 year Fannie Mae pools
13,941
1,244,505
—
1/12/41
5.00% (1 month USD-LIBOR)
Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools
(2,574)
3,374,464
—
1/12/41
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(42,507)
1,725,855
—
1/12/44
3.50% (1 month USD-LIBOR)
Synthetic TRS Index 3.50% 30 year Fannie Mae pools
(23,814)
829,113
—
1/12/44
3.50% (1 month USD-LIBOR)
Synthetic TRS Index 3.50% 30 year Fannie Mae pools
(11,440)
414,556
—
1/12/44
3.50% (1 month USD-LIBOR)
Synthetic TRS Index 3.50% 30 year Fannie Mae pools
(5,720)
1,433,381
—
1/12/44
3.50% (1 month USD-LIBOR)
Synthetic TRS Index 3.50% 30 year Fannie Mae pools
(19,778)
844,291
10,422
1/12/43
3.50% (1 month USD-LIBOR)
Synthetic TRS Index 3.50% 30 year Fannie Mae pools
(1)
Master Intermediate Income Trust 69
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments received (paid) by fund per annum
Total return received by or paid by fund
Unrealized appreciation/ (depreciation)
Credit Suisse International cont.
$1,588,088
$26,551
1/12/43
3.50% (1 month USD-LIBOR)
Synthetic TRS Index 3.50% 30 year Fannie Mae pools
$6,030
EUR
8,270,000
—
2/20/19
(1.2225%)
Eurostat Eurozone HICP excluding tobacco
(263,168)
EUR
4,310,000
—
2/20/24
1.68%
Eurostat Eurozone HICP excluding tobacco
301,982
Deutsche Bank AG
$591,325
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(2,700)
Goldman Sachs International
680,592
—
1/12/39
6.00% (1 month USD-LIBOR)
Synthetic TRS Index 6.00% 30 year Fannie Mae pools
4,798
266,761
—
1/12/38
6.50% (1 month USD-LIBOR)
Synthetic TRS Index 6.50% 30 year Fannie Mae pools
2,409
1,171,801
—
1/12/42
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(14,944)
1,171,801
—
1/12/42
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(14,944)
406,314
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(1,855)
152,636
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(697)
1,134,219
—
1/12/41
4.50% (1 month USD-LIBOR)
Synthetic TRS Index 4.50% 30 year Fannie Mae pools
(13,280)
36,724
—
1/12/39
6.00% (1 month USD-LIBOR)
Synthetic TRS Index 6.00% 30 year Fannie Mae pools
259
313,054
—
1/12/39
6.00% (1 month USD-LIBOR)
Synthetic TRS Index 6.00% 30 year Fannie Mae pools
2,207
794,495
—
1/12/40
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(10,876)
329,083
—
1/12/39
6.00% (1 month USD-LIBOR)
Synthetic TRS Index 6.00% 30 year Fannie Mae pools
2,320
70 Master Intermediate Income Trust
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments received (paid) by fund per annum
Total return received by or paid by fund
Unrealized appreciation/ (depreciation)
Goldman Sachs International cont.
$658,166
$—
1/12/39
6.00% (1 month USD-LIBOR)
Synthetic TRS Index 6.00% 30 year Fannie Mae pools
$4,640
20,031
—
1/12/38
6.50% (1 month USD-LIBOR)
Synthetic TRS Index 6.50% 30 year Fannie Mae pools
181
2,971,916
—
1/12/41
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(37,436)
286,793
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(1,309)
556,584
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(2,541)
344,077
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(1,571)
26,462
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(121)
70,516
—
1/12/38
(6.50%) 1 month USD-LIBOR
Synthetic MBX Index 6.50% 30 year Fannie Mae pools
(322)
2,733,865
—
1/12/42
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(34,866)
2,381,467
—
1/12/42
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(30,372)
1,968,773
—
1/12/41
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(24,800)
1,935,717
—
1/12/41
(5.00%) 1 month USD-LIBOR
Synthetic TRS Index 5.00% 30 year Fannie Mae pools
20,038
3,796,008
—
1/12/43
3.50% (1 month USD-LIBOR)
Synthetic TRS Index 3.50% 30 year Fannie Mae pools
(44,669)
3,385,000
—
2/24/25
(2.01%)
USA Non Revised Consumer Price Index-Urban (CPI-U)
(45,630)
2,289,721
—
1/12/44
3.50% (1 month USD-LIBOR)
Synthetic TRS Index 3.50% 30 year Fannie Mae pools
(31,594)
1,809,293
—
1/12/44
3.50% (1 month USD-LIBOR)
Synthetic TRS Index 3.50% 30 year Fannie Mae pools
(24,965)
Master Intermediate Income Trust 71
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Notional amount
Upfront premium received (paid)
Termination date
Payments received (paid) by fund per annum
Total return received by or paid by fund
Unrealized appreciation/ (depreciation)
Goldman Sachs International cont.
$837,017
$—
1/12/44
3.50% (1 month USD-LIBOR)
Synthetic TRS Index 3.50% 30 year Fannie Mae pools
$(11,549)
754,000
—
3/12/25
(1.925%)
USA Non Revised Consumer Price Index-Urban (CPI-U)
(151)
EUR
4,936,000
—
3/12/20
(0.9625%)
Eurostat Eurozone HICP excluding tobacco
(690)
EUR
626,000
—
3/12/25
1.3175%
Eurostat Eurozone HICP excluding tobacco
1,609
GBP
1,961,000
—
2/20/25
(2.895%)
GBP Non-revised UK Retail Price Index
7,278
GBP
436,000
—
3/10/25
(2.8675%)
GBP Non-revised UK Retail Price Index
(3,839)
JPMorgan Chase Bank N.A.
$3,627,367
—
1/12/41
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(45,694)
2,074,452
—
1/12/41
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(26,131)
3,177,627
—
1/12/41
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(40,027)
1,969,177
—
1/12/41
4.00% (1 month USD-LIBOR)
Synthetic TRS Index 4.00% 30 year Fannie Mae pools
(24,805)
1,935,717
—
1/12/41
(5.00%) 1 month USD-LIBOR
Synthetic TRS Index 5.00% 30 year Fannie Mae pools
20,038
Total
$36,973
$(310,827)
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)
Swap counterparty/ Referenced debt*
Rating***
Upfront premium received (paid)**
Notional amount
Termi- nation date
Payments received (paid) by fund per annum
Unrealized appreciation/ (depreciation)
Bank of America N.A.
CMBX NA BBB– Index
BBB–/P
$16,587
$291,000
5/11/63
300 bp
$19,754
CMBX NA BBB– Index
BBB–/P
17,409
282,000
5/11/63
300 bp
20,478
CMBX NA BBB– Index
BBB–/P
8,497
141,000
5/11/63
300 bp
10,032
CMBX NA BBB– Index
BBB–/P
4,375
64,000
5/11/63
300 bp
5,071
72 Master Intermediate Income Trust
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Referenced debt*
Rating***
Upfront premium received (paid)**
Notional amount
Termi- nation date
Payments received (paid) by fund per annum
Unrealized appreciation/ (depreciation)
Barclays Bank PLC
CMBX NA BBB– Index
BBB–/P
$33,591
$303,000
5/11/63
300 bp
$36,888
Credit Suisse International
CMBX NA BBB– Index
BBB–/P
28,890
704,000
5/11/63
300 bp
36,552
CMBX NA BBB– Index
BBB–/P
(2,041)
479,000
5/11/63
300 bp
3,172
CMBX NA BBB– Index
BBB–/P
10,467
344,000
5/11/63
300 bp
14,211
CMBX NA BBB– Index
BBB–/P
27,130
340,000
5/11/63
300 bp
30,830
CMBX NA BBB– Index
BBB–/P
26,325
340,000
5/11/63
300 bp
30,025
CMBX NA BBB– Index
BBB–/P
22,366
340,000
5/11/63
300 bp
26,067
CMBX NA BBB– Index
BBB–/P
37,060
328,000
5/11/63
300 bp
40,630
CMBX NA BBB– Index
BBB–/P
4,963
323,000
5/11/63
300 bp
8,478
CMBX NA BBB– Index
BBB–/P
23,988
313,000
5/11/63
300 bp
27,394
CMBX NA BBB– Index
BBB–/P
20,979
288,000
5/11/63
300 bp
24,114
CMBX NA BBB– Index
BBB–/P
(183)
280,000
5/11/63
300 bp
2,864
CMBX NA BBB– Index
BBB–/P
3,135
270,000
5/11/63
300 bp
6,073
CMBX NA BBB– Index
BBB–/P
20,934
263,000
5/11/63
300 bp
23,796
CMBX NA BBB– Index
BBB–/P
269
207,000
5/11/63
300 bp
2,522
CMBX NA BBB– Index
BBB–/P
536
164,000
5/11/63
300 bp
2,321
CMBX NA BBB– Index
BBB–/P
375
164,000
5/11/63
300 bp
2,160
CMBX NA BBB– Index
BBB–/P
2,851
149,000
5/11/63
300 bp
4,473
CMBX NA BBB– Index
BBB–/P
282
123,000
5/11/63
300 bp
1,621
CMBX NA BBB– Index
BBB–/P
567
97,000
5/11/63
300 bp
1,622
CMBX NA BBB– Index
BBB–/P
428
94,000
5/11/63
300 bp
1,451
CMBX NA BBB– Index
BBB–/P
115
16,000
5/11/63
300 bp
289
Master Intermediate Income Trust 73
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Referenced debt*
Rating***
Upfront premium received (paid)**
Notional amount
Termi- nation date
Payments received (paid) by fund per annum
Unrealized appreciation/ (depreciation)
Credit Suisse International cont.
CMBX NA BBB– Index
—
$1,896
$173,000
5/11/63
(300 bp)
$13
CMBX NA BBB– Index
BBB–/P
742
42,000
1/17/47
300 bp
422
CMBX NA BBB– Index
BBB–/P
1,027
42,000
1/17/47
300 bp
707
CMBX NA BBB– Index
BBB–/P
1,684
68,000
1/17/47
300 bp
1,166
CMBX NA BBB– Index
BBB–/P
2,290
94,000
1/17/47
300 bp
1,574
CMBX NA BBB– Index
BBB–/P
5,724
146,000
1/17/47
300 bp
4,612
CMBX NA BBB– Index
BBB–/P
1,782
167,000
1/17/47
300 bp
510
CMBX NA BBB– Index
BBB–/P
2,608
192,000
1/17/47
300 bp
1,145
CMBX NA BBB– Index
BBB–/P
4,564
193,000
1/17/47
300 bp
3,094
CMBX NA BBB– Index
BBB–/P
1,792
229,000
1/17/47
300 bp
(47)
CMBX NA BBB– Index
BBB–/P
1,630
229,000
1/17/47
300 bp
(210)
CMBX NA BBB– Index
BBB–/P
1,476
345,000
1/17/47
300 bp
(1,152)
CMBX NA BB Index
—
542
100,000
5/11/63
(500 bp)
(1,035)
CMBX NA BB Index
—
(386)
106,000
5/11/63
(500 bp)
(2,058)
CMBX NA BB Index
—
2,240
112,000
5/11/63
(500 bp)
473
CMBX NA BB Index
—
(914)
119,000
5/11/63
(500 bp)
(2,791)
CMBX NA BB Index
—
(1,140)
119,000
5/11/63
(500 bp)
(3,017)
CMBX NA BB Index
—
(1,095)
120,000
5/11/63
(500 bp)
(2,987)
CMBX NA BB Index
—
3,449
223,000
5/11/63
(500 bp)
(68)
CMBX NA BB Index
—
5,994
227,000
5/11/63
(500 bp)
2,414
CMBX NA BB Index
—
2,409
233,000
5/11/63
(500 bp)
(1,266)
CMBX NA BB Index
—
(4,646)
266,000
5/11/63
(500 bp)
(8,841)
CMBX NA BB Index
—
(1,881)
360,000
5/11/63
(500 bp)
(7,559)
CMBX NA BB Index
—
(5,120)
264,000
5/11/63
(500 bp)
(9,284)
CMBX NA BBB– Index
BBB–/P
(6,630)
538,000
5/11/63
300 bp
(774)
CMBX NA BBB– Index
BBB–/P
(8,066)
535,000
5/11/63
300 bp
(2,244)
CMBX NA BBB– Index
BBB–/P
(10,067)
520,000
5/11/63
300 bp
(4,408)
CMBX NA BBB– Index
BBB–/P
652
491,000
5/11/63
300 bp
5,996
74 Master Intermediate Income Trust
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Referenced debt*
Rating***
Upfront premium received (paid)**
Notional amount
Termi- nation date
Payments received (paid) by fund per annum
Unrealized appreciation/ (depreciation)
Credit Suisse International cont.
CMBX NA BBB– Index
BBB–/P
$(3,476)
$346,000
5/11/63
300 bp
$290
CMBX NA BBB– Index
BBB–/P
1,584
342,000
5/11/63
300 bp
5,306
CMBX NA BBB– Index
BBB–/P
1,274
275,000
5/11/63
300 bp
4,267
CMBX NA BBB– Index
BBB–/P
6,353
267,000
5/11/63
300 bp
9,259
CMBX NA BBB– Index
BBB–/P
907
262,000
5/11/63
300 bp
3,759
CMBX NA BBB– Index
BBB–/P
(4,715)
261,000
5/11/63
300 bp
(1,875)
CMBX NA BBB– Index
BBB–/P
181
261,000
5/11/63
300 bp
3,022
CMBX NA BBB– Index
BBB–/P
172
258,000
5/11/63
300 bp
2,980
CMBX NA BBB– Index
BBB–/P
1,536
253,000
5/11/63
300 bp
4,289
CMBX NA BBB– Index
BBB–/P
639
237,000
5/11/63
300 bp
3,219
CMBX NA BBB– Index
BBB–/P
(776)
232,000
5/11/63
300 bp
1,749
CMBX NA BBB– Index
BBB–/P
(771)
231,000
5/11/63
300 bp
1,744
CMBX NA BBB– Index
BBB–/P
(2,153)
230,000
5/11/63
300 bp
350
CMBX NA BBB– Index
BBB–/P
(2,304)
230,000
5/11/63
300 bp
199
CMBX NA BBB– Index
BBB–/P
2,669
224,000
5/11/63
300 bp
5,107
CMBX NA BBB– Index
BBB–/P
2,227
224,000
5/11/63
300 bp
4,665
CMBX NA BBB– Index
BBB–/P
10,720
224,000
5/11/63
300 bp
13,158
CMBX NA BBB– Index
BBB–/P
(1,866)
223,000
5/11/63
300 bp
561
CMBX NA BBB– Index
BBB–/P
(643)
190,000
5/11/63
300 bp
1,425
CMBX NA BBB– Index
BBB–/P
(1,125)
118,000
5/11/63
300 bp
159
CMBX NA BBB– Index
BBB–/P
(699)
116,000
5/11/63
300 bp
563
Master Intermediate Income Trust 75
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/15 (Unaudited) cont.
Swap counterparty/ Referenced debt*
Rating***
Upfront premium received (paid)**
Notional amount
Termi- nation date
Payments received (paid) by fund per annum
Unrealized appreciation/ (depreciation)
Goldman Sachs International
CMBX NA BBB– Index
BBB–/P
$(2,303)
$333,000
5/11/63
300 bp
$1,321
CMBX NA BBB– Index
BBB–/P
(429)
94,000
5/11/63
300 bp
594
CMBX NA BBB– Index
BBB–/P
245
94,000
5/11/63
300 bp
1,268
CMBX NA BBB– Index
BBB–/P
627
63,000
1/17/47
300 bp
148
CMBX NA BBB– Index
BBB–/P
2,777
103,000
1/17/47
300 bp
1,993
CMBX NA BB Index
—
523
51,000
5/11/63
(500 bp)
(282)
CMBX NA BB Index
—
62
51,000
5/11/63
(500 bp)
(742)
CMBX NA BB Index
—
2,534
112,000
5/11/63
(500 bp)
766
CMBX NA BB Index
—
(1,143)
119,000
5/11/63
(500 bp)
(3,020)
CMBX NA BB Index
—
(2,365)
223,000
5/11/63
(500 bp)
(5,886)
CMBX NA BBB– Index
BBB–/P
(4,349)
261,000
5/11/63
300 bp
(1,508)
CMBX NA BBB– Index
BBB–/P
2,787
244,000
5/11/63
300 bp
5,443
CMBX NA BBB– Index
BBB–/P
(931)
232,000
5/11/63
300 bp
1,594
CMBX NA BBB– Index
BBB–/P
(2,143)
229,000
5/11/63
300 bp
350
CMBX NA BBB– Index
BBB–/P
(2,297)
229,000
5/11/63
300 bp
196
CMBX NA BBB– Index
BBB–/P
(2,297)
229,000
5/11/63
300 bp
196
CMBX NA BBB– Index
BBB–/P
1,354
227,000
5/11/63
300 bp
3,825
CMBX NA BBB– Index
BBB–/P
(1,791)
223,000
5/11/63
300 bp
636
CMBX NA BBB– Index
BBB–/P
(1,288)
118,000
5/11/63
300 bp
(3)
CMBX NA BBB– Index
BBB–/P
(51)
19,000
5/11/63
300 bp
156
Total
$311,707
$428,514
*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 are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. 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, 2015. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”
76 Master Intermediate Income Trust
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
Valuation inputs
Investments in securities:
Level 1
Level 2
Level 3
Common stocks*:
Consumer cyclicals
$—
$—
$10,017
Energy
—
—
798
Total common stocks
—
—
10,815
Convertible bonds and notes
$—
$118,438
$—
Corporate bonds and notes
—
100,718,044
6
Foreign government and agency bonds and notes
—
30,689,320
—
Mortgage-backed securities
—
130,978,809
2,442,694
Preferred stocks
—
465,516
—
Purchased options outstanding
—
184,118
—
Purchased swap options outstanding
—
3,470,254
—
Senior loans
—
6,920,192
—
U.S. government and agency mortgage obligations
—
167,271,330
—
U.S. treasury obligations
—
293,025
—
Short-term investments
20,985,521
10,709,492
—
Totals by level
$20,985,521
$451,818,538
$2,453,515
Valuation inputs
Other financial instruments:
Level 1
Level 2
Level 3
Forward currency contracts
$—
$1,785,486
$—
Futures contracts
(317,089)
—
—
Written options outstanding
—
(92,664)
—
Written swap options outstanding
—
(2,626,726)
—
Forward premium swap option contracts
—
(6,853)
—
TBA sale commitments
—
(48,119,610)
—
Interest rate swap contracts
—
(6,989,371)
—
Total return swap contracts
—
(347,800)
—
Credit default contracts
—
116,807
—
Totals by level
$(317,089)
$(56,280,731)
$—
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.
During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund’s net assets measured as of the end of the period.
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 77
Statement of assets and liabilities 3/31/15 (Unaudited)
Affiliated issuers (identified cost $18,639,521) (Notes 1 and 5)
18,639,521
Foreign currency (cost $52,068) (Note 1)
52,067
Dividends, interest and other receivables
4,018,885
Receivable for investments sold
11,374,438
Receivable for sales of delayed delivery securities (Note 1)
52,968,282
Receivable for variation margin (Note 1)
4,682,583
Unrealized appreciation on forward premium swap option contracts (Note 1)
116,162
Unrealized appreciation on forward currency contracts (Note 1)
3,027,373
Unrealized appreciation on OTC swap contracts (Note 1)
2,221,092
Premium paid on OTC swap contracts (Note 1)
82,084
Prepaid assets
64,695
Total assets
553,865,235
LIABILITIES
Payable to custodian
251,450
Payable for investments purchased
2,216,742
Payable for purchases of delayed delivery securities (Note 1)
182,000,051
Payable for compensation of Manager (Note 2) (Notes 2 and 5)
562,065
Payable for custodian fees (Note 2)
27,854
Payable for investor servicing fees (Note 2)
25,629
Payable for Trustee compensation and expenses (Note 2)
158,105
Payable for administrative services (Note 2)
1,042
Payable for variation margin (Note 1)
5,233,501
Distributions payable to shareholders
1,484,120
Unrealized depreciation on OTC swap contracts (Note 1)
2,903,605
Premium received on OTC swap contracts (Note 1)
430,764
Unrealized depreciation on forward currency contracts (Note 1)
1,241,887
Unrealized depreciation on forward premium swap option contracts (Note 1)
123,015
Written options outstanding, at value (premiums $3,989,509) (Notes 1 and 3)
2,719,390
TBA sale commitments, at value (proceeds receivable $47,935,195) (Note 1)
48,119,610
Collateral on certain derivative contracts, at value (Note 1)
2,639,025
Other accrued expenses
174,110
Total liabilities
250,311,965
Net assets
$303,553,270
REPRESENTED BY
Paid-in capital (Unlimited shares authorized) (Note 1)
$453,099,245
Undistributed net investment income (Note 1)
2,186,806
Accumulated net realized loss on investments and foreign currency transactions (Note 1)
(148,418,420)
Net unrealized depreciation of investments and assets and liabilities in foreign currencies
(3,314,361)
Total — Representing net assets applicable to capital shares outstanding
$303,553,270
COMPUTATION OF NET ASSET VALUE
Net asset value per share ($303,553,270 divided by 56,822,509 shares)
$5.34
The accompanying notes are an integral part of these financial statements.
78 Master Intermediate Income Trust
Statement of operations Six months ended 3/31/15 (Unaudited)
INVESTMENT INCOME
Interest (including interest income of $6,373 from investments in affiliated issuers) (Note 5)
$9,099,061
Dividends
20,368
Total investment income
9,119,429
EXPENSES
Compensation of Manager (Note 2)
1,159,720
Investor servicing fees (Note 2)
77,911
Custodian fees (Note 2)
44,551
Trustee compensation and expenses (Note 2)
1,111
Administrative services (Note 2)
4,706
Auditing and tax fees
73,410
Other
104,813
Total expenses
1,466,222
Net expenses
1,466,222
Net investment income
7,653,207
Net realized gain on investments (Notes 1 and 3)
3,335,612
Net realized loss on swap contracts (Note 1)
(4,373,236)
Net realized loss on futures contracts (Note 1)
(2,365,675)
Net realized gain on foreign currency transactions (Note 1)
7,381,178
Net realized loss on written options (Notes 1 and 3)
(2,065,515)
Net unrealized depreciation of assets and liabilities in foreign currencies during the period
(1,364,727)
Net unrealized depreciation of investments, futures contracts, swap contracts, written options, and TBA sale commitments during the period
(17,603,393)
Net loss on investments
(17,055,756)
Net decrease in net assets resulting from operations
$(9,402,549)
The accompanying notes are an integral part of these financial statements.
Master Intermediate Income Trust 79
Statement of changes in net assets
DECREASE IN NET ASSETS
Six months ended 3/31/15*
Year ended 9/30/14
Operations:
Net investment income
$7,653,207
$17,726,515
Net realized gain (loss) on investments and foreign currency transactions
1,912,364
(3,273,000)
Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies
(18,968,120)
11,044,901
Net increase (decrease) in net assets resulting from operations
(9,402,549)
25,498,416
Distributions to shareholders (Note 1):
From ordinary income
Net investment income
(8,935,345)
(18,750,118)
Decrease from capital share transactions (Note 4)
(4,675,655)
(25,325,054)
Total decrease in net assets
(23,013,549)
(18,576,756)
NET ASSETS
Beginning of period
326,566,819
345,143,575
End of period (including undistributed net investment income of $2,186,806 and $3,468,944, respectively)
$303,553,270
$326,566,819
NUMBER OF FUND SHARES
Shares outstanding at beginning of period
57,773,719
62,769,851
Shares repurchased (Note 5)
(951,210)
(4,996,132)
Shares outstanding at end of period
56,822,509
57,773,719
*
Unaudited.
The accompanying notes are an integral part of these financial statements.
80 Master Intermediate Income Trust
Financial highlights (For a common share outstanding throughout the period)
PER-SHARE OPERATING PERFORMANCE
Six months ended**
Year ended
3/31/15
9/30/14
9/30/13
9/30/12
9/30/11
9/30/10
Net asset value, beginning of period
$5.65
$5.50
$5.42
$5.34
$5.83
$5.94
Investment operations:
Net investment incomea
.13
.29
.30
.27
.35
.58
Net realized and unrealized gain (loss) on investments
(.29)
.12
.06
.15
(.38)
.39
Total from investment operations
(.16)
.41
.36
.42
(.03)
.97
Less distributions:
From net investment income
(.16)
(.31)
(.31)
(.09)
(.46)
(1.08)
From return of capital
—
—
—
(.25)
—
—
Total distributions
(.16)
(.31)
(.31)
(.34)
(.46)
(1.08)
Increase from shares repurchased
.01
.05
.03
—
—
—
Net asset value, end of period
$5.34
$5.65
$5.50
$5.42
$5.34
$5.83
Market value, end of period
$4.90
$5.03
$4.88
$5.18
$5.05
$6.28
Total return at market value (%)b
0.54*
9.56
0.15
9.56
(13.01)
25.33
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands)
$303,553
$326,567
$345,144
$356,296
$351,028
$381,355
Ratio of expenses to average net assets (%)c
.47*
.99
.94
.96
.94
.94f
Ratio of net investment income to average net assets (%)
2.45*
5.21
5.31
4.94
5.97
9.82f
Portfolio turnover (%)e
312*d
389d
244e
157e
171e
88e
* 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 Portfolio turnover excludes TBA purchase and sales commitments. Including TBA purchase and sale commitments to conform with current year presentation, the portfolio turnover would have been the following:
Portfolio turnover %
September 30, 2013
642%
September 30, 2012
472
September 30, 2011
413
September 30, 2010
139
f Includes interest accrued in connection with certain terminated derivative contracts, which amounted to less than 0.01% of average net assets as of September 30, 2010.
The accompanying notes are an integral part of these financial statements.
Master Intermediate Income Trust 81
Notes to financial statements 3/31/15 (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, 2014 through March 31, 2015.
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.
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.
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 and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the 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 close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value 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. These securities, which would generally be classified as Level 1
82 Master Intermediate Income Trust
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, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis. The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.
Securities purchased or sold on a delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, 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 open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Master Intermediate Income Trust 83
Options contracts The fund uses options contracts for hedging duration and convexity, to isolate prepayment risk, to gain exposure to securities 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.
Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning, and for gaining exposure to rates in various countries.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared
84 Master Intermediate Income Trust
interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Total return swap contracts The fund entered into OTC 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 total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining liquid exposure to individual names, for hedging market risk, and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin
Master Intermediate Income Trust 85
on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage backed and other asset backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $247,437 at the close of the reporting period.
86 Master Intermediate Income Trust
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 $1,746,239 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $1,768,820 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.
At September 30, 2014, the fund had a capital loss carryover of $139,501,485 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:
Loss carryover
Short-term
Long-term
Total
Expiration
$15,831,148
$30,551,955
$46,383,103
*
7,342,291
N/A
7,342,291
September 30, 2015
11,586,218
N/A
11,586,218
September 30, 2016
28,970,279
N/A
28,970,279
September 30, 2017
45,219,594
N/A
45,219,594
September 30, 2018
*Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
Master Intermediate Income Trust 87
Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer certain capital losses of $5,048,390 recognized during the period between November 1, 2013 and September 30, 2014 to its fiscal year ending September 30, 2015.
The aggregate identified cost on a tax basis is $483,275,594, resulting in gross unrealized appreciation and depreciation of $10,740,687 and $18,753,707, respectively, or net unrealized depreciation of $8,018,020.
Distributions to shareholders Income dividends are recorded daily by the fund and are paid monthly. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. 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,
0.650%
of the next $500 million of average net assets,
0.600%
of the next $500 million of average net assets,
0.550%
of the next $5 billion of average net assets,
0.525%
of the next $5 billion of average net assets,
0.505%
of the next $5 billion of average net assets,
0.490%
of the next $5 billion of average net assets,
0.480%
of the next $5 billion of average net assets,
0.470%
of the next $5 billion of average net assets,
0.460%
of the next $5 billion of average net assets,
0.450%
of the next $5 billion of average net assets,
0.440%
of the next $5 billion of average net assets,
0.430%
of the next $8.5 billion of average net assets and
0.420%
of any excess thereafter.
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. Putnam Management pays 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.
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were not reduced under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $174, 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.
88 Master Intermediate Income Trust
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)
$1,207,277,755
$1,151,751,940
U.S. government securities (Long-term)
—
—
Total
$1,207,277,755
$1,151,751,940
Written option transactions during the reporting period are summarized as follows:
Written swap option contract amounts
Written swap option premiums
Written option contract amounts
Written option premiums
Written options outstanding at the beginning of the reporting period
$340,600,300
$3,020,385
$82,000,000
$652,656
Options opened
1,192,120,575
6,565,634
286,000,000
1,747,109
Options exercised
(62,839,750)
(374,753)
—
—
Options expired
(52,039,650)
(476,448)
(150,000,000)
(741,719)
Options closed
(865,686,700)
(5,096,793)
(174,000,000)
(1,306,562)
Written options outstanding at the end of the reporting period
$552,154,775
$3,638,025
$44,000,000
$351,484
Note 4: Shares repurchased
In September 2014, 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 12-month period ending October 7, 2015 (based on shares outstanding as of October 7, 2014). Prior to this renewal, the Trustees had approved a repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October 7, 2014 (based on shares outstanding as of October 7, 2013). Repurchases are made when the fund’s shares are trading at less than net asset value and in accordance with procedures approved by the fund’s Trustees.
For the reporting period, the fund repurchased 951,210 common shares for an aggregate purchase price of $4,675,655, which reflects a weighted-average discount from net asset value per share of 9.73%.
At the close of the reporting period, Putnam Investments, LLC owned approximately 1,056 shares of the fund (0.002% of the fund’s shares outstanding), valued at $5,639 based on net asset value.
Master Intermediate Income Trust 89
Note 5: Affiliated transactions
Transactions during the reporting period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
Name of affiliate
Fair value at the beginning of the reporting period
Purchase cost
Sale proceeds
Investment income
Fair value at the end of the reporting period
Putnam Short Term Investment Fund*
$11,528,830
$78,259,766
$71,149,075
$6,373
$18,639,521
*Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
Note 6: Senior loan commitments
Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
Note 7: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher yielding, lower rated bonds that may have a higher rate of default.
The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
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 as follows based on an average of the holdings at the end of each fiscal quarter:
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 hedging instruments under ASC 815
Statement of assets and liabilities location
Fair value
Statement of assets and liabilities location
Fair value
Credit contracts
Receivables
$177,697
Payables
$60,890
Foreign exchange contracts
Receivables
3,027,373
Payables
1,241,887
Interest rate contracts
Investments, Receivables, Net assets — Unrealized appreciation
12,829,698*
Payables, Net assets — Unrealized depreciation
19,555,829*
Total
$16,034,768
$20,858,606
*Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.
The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments
Derivatives not accounted for as hedging instruments under ASC 815
Options
Futures
Forward currency contracts
Swaps
Total
Credit contracts
$—
$—
$—
$173,690
$173,690
Foreign exchange contracts
—
—
7,449,105
—
7,449,105
Interest rate contracts
(1,507,118)
(2,365,675)
—
(4,546,926)
(8,419,719)
Total
$(1,507,118)
$(2,365,675)
$7,449,105
$(4,373,236)
$(796,924)
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments
Derivatives not accounted for as hedging instruments under ASC 815
Options
Futures
Forward currency contracts
Swaps
Total
Credit contracts
$—
$—
$—
$193,770
$193,770
Foreign exchange contracts
—
—
(1,352,596)
—
(1,352,596)
Interest rate contracts
1,581,171
(615,543)
—
(3,303,203)
(2,337,575)
Total
$1,581,171
$(615,543)
$(1,352,596)
$(3,109,433)
$(3,496,401)
Master Intermediate Income Trust 91
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.
Credit Suisse International
Deutsche Bank AG
Goldman Sachs International
HSBC Bank USA, National Association
JPMorgan Chase Bank N.A.
Merrill Lynch, Pierce, Fenner & Smith, Inc.
Royal Bank of Scotland PLC (The)
State Street Bank and Trust Co.
UBS AG
WestPac Banking Corp.
Total
Assets:
OTC Interest rate swap contracts*#
$28,112
$—
$—
$72,775
$77,846
$9,742
$135,837
$—
$516,635
$—
$—
$—
$—
$—
$840,947
Centrally cleared interest rate swap contracts§
—
—
4,682,583
—
—
—
—
—
—
—
—
—
—
—
4,682,583
OTC Total return swap contracts*#
—
159,503
—
326,911
332,353
—
45,739
—
20,038
—
—
—
—
—
884,544
OTC Credit default contracts*#
8,467
3,297
—
—
138,372
—
27,561
—
—
—
—
—
—
—
177,697
Futures contracts§
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Forward currency contracts#
236,982
251,587
—
283,204
158,475
154,169
181,421
301,497
303,622
—
249,388
319,134
369,799
218,095
3,027,373
Forward premium swap option contracts#
—
—
—
—
—
—
—
—
116,162
—
—
—
—
—
116,162
Purchased swap options**#
595,092
349,541
—
963,201
1,056,659
—
505,761
—
—
—
—
—
—
—
3,470,254
Purchased options**#
—
—
—
—
—
—
—
—
184,118
—
—
—
—
—
184,118
Total Assets
$868,653
$763,928
$4,682,583
$1,646,091
$1,763,705
$163,911
$896,319
$301,497
$1,140,575
$—
$249,388
$319,134
$369,799
$218,095
$13,383,678
Liabilities:
OTC Interest rate swap contracts*#
29,255
—
—
17,325
72,874
973,737
125,137
—
422,819
—
—
—
—
—
1,641,147
Centrally cleared interest rate swap contracts§
—
—
5,171,294
—
—
—
—
—
—
—
—
—
—
—
5,171,294
OTC Total return swap contracts*#
—
67,349
—
267,499
405,118
2,700
353,021
—
136,657
—
—
—
—
—
1,232,344
OTC Credit default contracts*#
—
—
—
—
50,852
—
10,038
—
—
—
—
—
—
—
60,890
Futures contracts§
—
—
—
—
—
—
—
—
—
62,207
—
—
—
—
62,207
Forward currency contracts#
46,468
125,716
—
64,451
103,317
86,795
71,925
64,628
122,339
—
159,624
241,959
122,762
31,903
1,241,887
Forward premium swap option contracts#
—
—
—
—
—
—
8,463
—
114,552
—
—
—
—
—
123,015
Written swap options#
421,278
166,045
—
502,599
110,607
—
448,879
—
977,318
—
—
—
—
—
2,626,726
Written options#
—
—
—
—
—
—
—
—
92,664
—
—
—
—
—
92,664
Total Liabilities
$497,001
$359,110
$5,171,294
$851,874
$742,768
$1,063,232
$1,017,463
$64,628
$1,866,349
$62,207
$159,624
$241,959
$122,762
$31,903
$12,252,174
Total Financial and Derivative Net Assets
$371,652
$404,818
$(488,711)
$794,217
$1,020,937
$(899,321)
$(121,144)
$236,869
$(725,774)
$(62,207)
$89,764
$77,175
$247,037
$186,192
$1,131,504
Total collateral received (pledged)†##
$230,000
$369,000
$—
$730,000
$948,000
$(899,321)
$(121,144)
$236,869
$(679,864)
$—
$69,000
$—
$247,037
$—
Net amount
$141,652
$35,818
$(488,711)
$64,217
$72,937
$—
$—
$—
$(45,910)
$(62,207)
$20,764
$77,175
$—
$186,192
*
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.
92
Master Intermediate Income Trust
Master Intermediate Income Trust
93
Shareholder meeting results (Unaudited)
April 23, 2015 meeting
At the meeting, a proposal to fix the number of Trustees at 14 was approved as follows:
Votes for
Votes against
Abstentions
45,384,632
4,164,295
1,190,236
At the meeting, each of the nominees for Trustee was elected, as follows:
Votes for
Votes withheld
Liaquat Ahamed
44,078,303
6,660,863
Ravi Akhoury
44,033,523
6,705,648
Barbara M. Baumann
44,254,245
6,484,926
Jameson A. Baxter
47,305,883
3,433,288
Charles B. Curtis
47,286,505
3,452,666
Robert J. Darretta
44,235,607
6,503,564
Katinka Domotorffy
44,144,579
6,594,592
John A. Hill
47,356,445
3,382,726
Paul L. Joskow
44,216,976
6,522,195
Kenneth R. Leibler
44,222,762
6,516,409
Robert E. Patterson
47,307,378
3,431,793
George Putnam, III
47,347,373
3,391,798
Robert L. Reynolds
44,225,469
6,513,702
W. Thomas Stephens
44,212,662
6,526,509
A proposal to convert the fund to an open-end investment company was not approved, as follows:
Votes for
Votes against
Abstentions
15,633,279
14,661,233
789,043
All tabulations are rounded to the nearest whole number.
94 Master Intermediate Income Trust
Putnam family of funds
The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, contact your financial advisor or call Putnam Investor Services at 1-800-225-1581. Please read the prospectus carefully before investing.
Growth
Growth Opportunities Fund
International Growth Fund
Multi-Cap Growth Fund
Small Cap Growth Fund
Voyager Fund
Blend
Asia Pacific Equity Fund
Capital Opportunities Fund
Capital Spectrum Fund
Emerging Markets Equity Fund
Equity Spectrum Fund
Europe Equity Fund
Global Equity Fund
International Capital Opportunities Fund
International Equity Fund
Investors Fund
Low Volatility Equity Fund
Multi-Cap Core Fund
Research Fund
Strategic Volatility Equity Fund
Value
Convertible Securities Fund
Equity Income Fund
Global Dividend Fund
The Putnam Fund for Growth and Income
International Value Fund
Multi-Cap Value Fund
Small Cap Value Fund
Income
American Government Income Fund
Diversified Income Trust
Emerging Markets Income Fund
Floating Rate Income Fund
Global Income Trust
High Yield Advantage Fund
High Yield Trust
Income Fund
Money Market Fund*
Short Duration Income Fund
U.S. Government Income Trust
Tax-free Income
AMT-Free Municipal Fund
Intermediate-Term Municipal Income Fund
Short-Term Municipal Income Fund
Tax Exempt Income Fund
Tax Exempt Money Market Fund*
Tax-Free High Yield Fund
State tax-free income funds†:
Arizona, California, Massachusetts, Michigan, Minnesota, New Jersey, New York, Ohio, and Pennsylvania.
* An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.
†Not available in all states.
Master Intermediate Income Trust 95
Absolute Return
Absolute Return 100 Fund®
Absolute Return 300 Fund®
Absolute Return 500 Fund®
Absolute Return 700 Fund®
Global Sector
Global Consumer Fund
Global Energy Fund
Global Financials Fund
Global Health Care Fund
Global Industrials Fund
Global Natural Resources Fund
Global Sector Fund
Global Technology Fund
Global Telecommunications Fund
Global Utilities Fund
Asset Allocation
George Putnam Balanced Fund
Global Asset Allocation Funds — four investment portfolios that spread your money across a variety of stocks, bonds, and money market instruments.
Dynamic Asset Allocation Balanced Fund
Dynamic Asset Allocation Conservative Fund
Dynamic Asset Allocation Growth Fund
Dynamic Risk Allocation Fund
Retirement Income Lifestyle Funds — portfolios with managed allocations to stocks, bonds, and money market investments to generate retirement income.
Retirement Income Fund Lifestyle 1
Retirement Income Fund Lifestyle 2
Retirement Income Fund Lifestyle 3
RetirementReady® Funds — portfolios with adjusting allocations to stocks, bonds, and money market instruments, becoming more conservative over time.
RetirementReady® 2055 Fund
RetirementReady® 2050 Fund
RetirementReady® 2045 Fund
RetirementReady® 2040 Fund
RetirementReady® 2035 Fund
RetirementReady® 2030 Fund
RetirementReady® 2025 Fund
RetirementReady® 2020 Fund
RetirementReady® 2015 Fund
Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.
96 Master Intermediate Income Trust
Fund information
Founded over 75 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 over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
Investment Manager
Putnam Investment Management, LLC One Post Office Square Boston, MA 02109
Investment Sub-Manager
Putnam Investments Limited 57–59 St James’s Street London, England SW1A 1LD
Marketing Services
Putnam Retail Management One Post Office Square Boston, MA 02109
Custodian
State Street Bank and Trust Company
Legal Counsel
Ropes & Gray LLP
Trustees
Jameson A. Baxter, Chair Liaquat Ahamed Ravi Akhoury Barbara M. Baumann Charles B. Curtis Robert J. Darretta Katinka Domotorffy John A. Hill Paul L. Joskow Kenneth R. Leibler Robert E. Patterson George Putnam, III Robert L. Reynolds W. Thomas Stephens
Officers
Robert L. Reynolds President
Jonathan S. Horwitz Executive Vice President, Principal Executive Officer, and Compliance Liaison
Steven D. Krichmar Vice President and Principal Financial Officer
Robert T. Burns Vice President and Chief Legal Officer
Robert R. Leveille Vice President and Chief Compliance Officer
Michael J. Higgins Vice President, Treasurer, and Clerk
Janet C. Smith Vice President, Principal Accounting Officer, and Assistant Treasurer
Susan G. Malloy Vice President and Assistant Treasurer
James P. Pappas Vice President
Mark C. Trenchard Vice President and BSA Compliance Officer
Nancy E. Florek Vice President, Director of Proxy Voting and Corporate Governance, Assistant Clerk, and Associate Treasurer
Call 1-800-225-1581 Monday through Friday between 8:00 a.m. and 8:00 p.m. Eastern Time, or visit putnam.com anytime for up-to-date information about the fund’s NAV.
Item 2. Code of Ethics:
Not Applicable
Item 3. Audit Committee Financial Expert:
Not Applicable
Item 4. Principal Accountant Fees and Services:
Not Applicable
Item 5. Audit Committee
Not Applicable
Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:
Not applicable
Item 8. Portfolio Managers of Closed-End Management Investment Companies
(a) Not applicable
(b) There have been no changes to the list of the registrant’s identified portfolio managers included in the registrant’s report on Form N-CSR for the most recent completed fiscal year.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:
Registrant Purchase of Equity Securities
Maximum
Total Number
Number (or
of Shares
Approximate
Purchased
Dollar Value)
as Part
of Shares
of Publicly
that May Yet Be
Total Number
Average
Announced
Purchased
of Shares
Price Paid
Plans or
under the Plans
Period
Purchased
per Share
Programs*
or Programs**
October 1 – October 7, 2014
—
—
—
1,280,853
October 8 – October 31, 2014
346,233
$4.99
346,233
5,431,139
November 1 – November 30, 2014
34,956
$5.05
34,956
5,396,183
December 1 – December 31, 2014
50,525
$4.93
50,525
5,345,658
January 1 – January 31, 2015
55,611
$4.84
55,611
5,290,047
February 1 – February 28, 2015
320,501
$4.86
320,501
4,969,546
March 1 – March 31, 2015
143,384
$4.84
143,384
4,826,162
*
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 2013, which was in effect between October 8, 2013 and October 7, 2014, allowed the fund to repurchase up to 6,276,985 of its shares. The program renewed by the Board in September 2014, which is in effect between October 8, 2014 and October 7, 2015, allows the fund to repurchase up to 5,777,372 of its shares.
**
Information prior to October 7, 2014 is based on the total number of shares eligible for repurchase under the program, as amended through September 2013. Information from October 8, 2014 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2014.
Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable
Item 11. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.
(b) Changes in internal control over financial reporting: Not applicable
Item 12. 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 29, 2015
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 29, 2015
By (Signature and Title):
/s/ Steven D. Krichmar Steven D. Krichmar Principal Financial Officer
Date: May 29, 2015
We use cookies on this site to provide a more responsive and personalized service. Continuing to browse, clicking I Agree, or closing this banner indicates agreement. See our Cookie Policy for more information.
