UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-03159
Active Assets Money Trust
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, New York 10036
(Address of principal executive offices) (Zip code)
Kevin Klingert
522 Fifth Avenue, New York, New York 10036
(Name and address of agent for service)
Registrant’s telephone number, including area code: 201-830-8802
Date of fiscal year end: June 30, 2014
Date of reporting period: December 31, 2013
Item 1 - Report to Shareholders
|
Trustees Frank L. Bowman Michael Bozic Kathleen A. Dennis James F. Higgins Dr. Manuel H. Johnson Joseph J. Kearns Michael F. Klein Michael E. Nugent W. Allen Reed Fergus Reid Officers Michael E. Nugent Chairperson of the Board Kevin Klingert President and Principal Executive Officer Stefanie V. Chang Yu Chief Compliance Officer Joseph C. Benedetti Vice President Francis J. Smith Treasurer and Principal Financial Officer Mary E. Mullin Secretary Transfer Agent Boston Financial Data Services, Inc. 2000 Crown Colony Drive Quincy, Massachusetts 02169 Custodian State Street Bank and Trust Company One Lincoln Street Boston, Massachusetts 02111 Independent Registered Public Accounting Firm Ernst & Young LLP 200 Clarendon Street Boston, Massachusetts 02116 Legal Counsel Dechert LLP 1095 Avenue of the Americas New York, New York 10036 Counsel to the Independent Trustees Kramer Levin Naftalis & Frankel LLP 1177 Avenue of the Americas New York, New York 10036 Adviser Morgan Stanley Investment Management Inc. 522 Fifth Avenue New York, New York 10036 The financial statements included herein have been taken from the records of
the Fund without examination by the independent auditors and accordingly
they do not express an opinion thereon. This report is submitted for the general information of the shareholders of the
Fund. For more detailed information about the Fund, its fees and expenses
and other pertinent information, please read its Prospectus. The Fund’s
Statement of Additional Information contains additional information about the
Fund, including its trustees. It is available, without charge, by calling
(800) 548-7786. This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective Prospectus. Please
read the Prospectus carefully before investing. Morgan Stanley Distribution, Inc., member FINRA. © 2014 Morgan Stanley |
INVESTMENT MANAGEMENT
Active Assets
Money Trust
Semiannual Report
December 31, 2013
Active Assets Money Trust
Table of Contents
2
Welcome Shareholder,
We are pleased to provide this semiannual report, in which you will learn how your investment in Active Assets Money Trust performed during the latest six-month period. It includes an overview of the market conditions and discusses some of the factors that affected performance during the reporting period. In addition, the report contains financial statements and a list of portfolio holdings.
Morgan Stanley Investment Management is a client-centric, investor-led organization. Our global presence, intellectual capital, and breadth of products and services enable us to partner with investors to meet the evolving challenges of today’s financial markets. We aim to deliver superior investment service and to empower our clients to make the informed decisions that help them reach their investment goals.
As always, we thank you for selecting Morgan Stanley Investment Management, and look forward to working with you in the months and years ahead.
This material must be preceded or accompanied by a prospectus for the fund being offered.
There is no assurance that a mutual fund will achieve its investment objective. 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 an investment at $1.00 per share, it is possible to lose money by investing in the Fund. Please see the prospectus for more complete information on investment risks.
3
Fund Report (unaudited)
For the six months ended December 31, 2013
Market Conditions
Overall economic growth in the U.S. was moderate during the six-month reporting period. Capital markets were positively surprised by gross domestic product (GDP) growth readings during the period. Second quarter GDP was 2.5 percent, revised upward from an initial reading of only 1.7 percent, and third quarter GDP was 4.1 percent, beating the expected 3.6 percent. The third quarter of 2013 marked the strongest quarterly growth since the fourth quarter of 2011, due to stronger retail sales and inventory build-up. This put average growth for 2013 so far on a firmer footing of 2.5 percent, which was remarkable given that sequestration (automatic federal budget cuts and payroll tax increases that went into effect earlier in 2013) has been a drag on the economy this year.
Third quarter average monthly job gains were 167,000, but October and November job gains came in strong at 200,000 and 241,000, respectively, higher than market expectations. However, December payrolls were much weaker, up only 74,000, indicating a pause in the labor market recovery. The decrease has been blamed on poor weather conditions preventing people from working in December, but the weather’s exact impact is hard to quantify. Nevertheless, the unemployment rate continued its decline, from 7.6 percent in June 2013 to 6.7 percent in December 2013, though the decrease is largely the result of people leaving the workforce. The rate itself remains elevated and will continue to be a focus of Federal Reserve (Fed) policy.
In June, long-term interest rates rose sharply following comments from Chairman Ben Bernanke indicating the Federal Open Market Committee (FOMC) may start to scale back its quantitative easing (QE) bond purchases of $45 billion per month in Treasuries and $40 billion per month in mortgage backed securities (MBS) if the FOMC is confident economic gains can be sustained. At its September meeting, the FOMC did not reduce its bond-buying program, much to the markets’ surprise, stating that it would await more evidence of sustained economic progress before adjusting its current pace. The October FOMC meeting passed rather uneventfully as easy policy measures remained in place.
At its December 18 meeting, the FOMC decided to start gradually reducing its QE program. Beginning in January, monthly bond purchases will decrease by $10 billion per month to $75 billion, with the reduction split equally between Treasuries and MBS. Even with the cumulative progress toward its dual mandate of maximum employment and stable prices, the Fed stated that rates would remain on hold for an extended period as it expanded “forward guidance,” or using communications to influence market expectations. Fed officials indicated that they believe it will be appropriate to keep interest rates at current low levels “well past” the time that the unemployment rate declines below 6.5 percent, especially if inflation stays below the Fed’s 2 percent target.
Fed member consensus still expects the federal funds target rate to stay at the current range of zero percent to 0.25 percent until at least 2015. By pairing a long-anticipated tapering with enhanced forward guidance on the direction of interest rates, the FOMC managed to convey that the modest reduction in purchases does not constitute a monetary tightening. Chairman Bernanke indicated that additional tapering could occur throughout 2014, with purchases ending all together late in the year, as long as the incoming
4
data is supportive of continued positive economic progress. Janet Yellen was nominated to replace Bernanke as the next Fed chair starting at the end of January 2014. The market expects a dovish rate policy (using low interest rates to promote economic growth) to continue.
In September, the FOMC also instructed the Federal Reserve Bank of New York (FRBNY) to begin testing a new tool aimed at giving the Fed better control over short-term interest rates as it seeks to exit QE, called a fixed-rate, full-allotment reverse repurchase agreement facility. The purpose of this facility is to help the FOMC set a floor on short rates while significantly increasing the supply of high-quality, short-term securities available in the market. This tool allows eligible counterparties, such as money market funds, to lend to the FRBNY on an overnight basis at a fixed rate set by the Fed between 0.01 percent and 0.05 percent. As of December 23, the terms of the exercise were set at a maximum of $3 billion per counterparty per day at a rate of 0.03 percent. While the testing phase is set to expire at the end of January, market expectations are for the FOMC either extend this testing phase or make it a more permanent facility.
On the fiscal policy front, in early October, policymakers in Washington held the markets captive as the debt ceiling and fiscal budget negotiations reached a stalemate. While the government shutdown itself was cause for some market apprehension, the major concern was the threat of breaching the debt ceiling. As investors shunned short-maturity Treasuries in response, yields on those maturing in late October/early November ballooned by as much as 60 to 70 basis points. On the eve of the October 17 debt ceiling deadline, Congress agreed on a temporary resolution to end the government standoff. The accord suspends the debt ceiling until February 7, 2014. While this agreement averted the crisis in the near term, the same issues still must be addressed in early 2014. Following the end of the impasse, the elevated Treasury yield levels reverted to their pre-crisis, near-zero levels.
Performance Analysis
As of December 31, 2013, Active Assets Money Trust had net assets of approximately $6.3 billion and an average portfolio maturity of 33 days. For the six-month period ended December 31, 2013, the Fund provided a total return of 0.01 percent. For the seven-day period ended December 31, 2013, the Fund provided an effective annualized yield of 0.01 percent (subsidized) and –0.25 percent (non-subsidized) and a current yield of 0.01 percent (subsidized) and –0.25 percent (non-subsidized), while its 30-day moving average yield for December was 0.01 percent (subsidized) and –0.24 percent (non-subsidized). Yield quotations more closely reflect the current earnings of the Fund. The non-subsidized yield reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. Past performance is no guarantee of future results.
We remain quite comfortable in our conservative approach to managing this portfolio, focusing on securities with high liquidity and short durations. We believe our investment process and focus on credit research and risk management, combined with the high degree of liquidity and short maturity position of the portfolio, has put us in a favorable position to respond to market uncertainty. Our investment
5
philosophy continues to revolve around prudent credit and risk management and portfolios that are positioned defensively and with very high levels of liquidity.
There is no guarantee that any sectors mentioned will continue to perform as discussed herein or that securities in such sectors will be held by the Fund in the future.
| | | | |
| PORTFOLIO COMPOSITION as of 12/31/13 | |
Repurchase Agreements | | | 41.3 | % |
Commercial Paper | | | 21.9 | |
Certificates of Deposit | | | 14.9 | |
Floating Rate Notes | | | 9.5 | |
Extendible Floating Rate Notes | | | 8.6 | |
U.S. Agency Security | | | 2.2 | |
Tax-Exempt Instruments | | | 1.6 | |
| | | | |
| MATURITY SCHEDULE as of 12/31/13 | |
1 – 30 Days | | | 64.8 | % |
31 – 60 Days | | | 7.4 | |
61 – 90 Days | | | 16.5 | |
91 – 120 Days | | | 4.8 | |
121 + Days | | | 6.5 | |
Subject to change daily. Provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned above. Portfolio composition and maturity schedule are as a percentage of total investments.
Morgan Stanley is a full-service securities firm engaged in securities trading and brokerage activities, investment banking, research and analysis, financing and financial advisory services.
Investment Strategy
The Fund invests in high quality, short-term debt obligations. In selecting investments, the “Adviser” Morgan Stanley Investment Management Inc., seeks to maintain the Fund’s share price at $1.00. The Fund’s investments include the following money market instruments: corporate obligations (including, but not limited to commercial paper); debt obligations of U.S.-regulated banks (including domestic branches or subsidiaries of foreign banks) and instruments secured by those obligations (including certificates of deposit); certificates of deposit of savings banks and savings and loan associations; debt obligations issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities; asset-backed securities; U.S. dollar-denominated foreign bank obligations; repurchase agreements; and municipal obligations.
An investment in the 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.
For More Information
About Portfolio Holdings
Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its semiannual and annual reports within 60 days of the end of the fund’s second and fourth fiscal quarters. The semiannual reports and the annual reports are filed electronically with the Securities and Exchange Commission (SEC) on Form N-CSRS and Form N-CSR, respectively. Morgan Stanley also delivers the semiannual and annual reports to fund shareholders and makes these reports available on its public web site, www.morganstanley.com. Each Morgan Stanley fund
6
also files a complete schedule of portfolio holdings with the SEC for the fund’s first and third fiscal quarters on Form N-Q and monthly holdings for each money market fund on Form N-MFP. Morgan Stanley does not deliver these reports to shareholders, nor are the first and third fiscal quarter reports posted to the Morgan Stanley public web site. However, the holdings for each money market fund are posted to the Morgan Stanley public web site. You may obtain the Form N-Q filings (as well as the Form N-CSR, N-CSRS and N-MFP filings) by accessing the SEC’s web site, http://www.sec.gov. You may also review and copy them at the SEC’s public reference room in Washington, DC. Information on the operation of the SEC’s public reference room may be obtained by calling the SEC at (800) SEC-0330. You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC’s e-mail address (publicinfo@sec.gov) or by writing the public reference section of the SEC, Washington, DC 20549-1520.
Householding Notice
To reduce printing and mailing costs, the Fund attempts to eliminate duplicate mailings to the same address. The Fund delivers a single copy of certain shareholder documents, including shareholder reports, prospectuses and proxy materials, to investors with the same last name who reside at the same address. Your participation in this program will continue for an unlimited period of time unless you instruct us otherwise. You can request multiple copies of these documents by calling (800) 548-7786, 8:00 a.m. to 8:00 p.m., ET. Once our Customer Service Center has received your instructions, we will begin sending individual copies for each account within 30 days.
7
Expense Example (unaudited)
As a shareholder of the Fund, you incur costs, including advisory fees, administration fees, distribution and services (12b-1) fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period 07/01/13 – 12/31/13.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. Therefore, the second line of the table is useful in comparing ongoing costs, and will not help you determine the relative total cost of owning different funds that have transactional costs, such as sales charges (loads) or exchange fees.
| | | | | | | | | | | | |
| | | Beginning
Account Value | | | Ending
Account Value | | | Expenses Paid
During Period@ | |
| | | 07/01/13 | | | 12/31/13 | | | 07/01/13 –
12/31/13 | |
Actual (0.01% return) | | $ | 1,000.00 | | | $ | 1,000.05 | | | $ | 0.87 | |
Hypothetical (5% annual return before expenses) | | $ | 1,000.00 | | | $ | 1,024.61 | | | $ | 0.88 | |
| @ | Expenses are equal to the Fund’s annualized expense ratio of 0.17% multiplied by the average account value over the period, multiplied by 186@@/365 (to reflect the one-half year period). If the fund had borne all of its expenses, the annualized expense ratio would have been 0.41%. |
| @@ | Adjusted to reflect non-business day accruals. |
8
Active Assets Money Trust
Portfolio of Investmentsn December 31, 2013 (unaudited)
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT
(000) | | | | | ANNUALIZED
YIELD ON
DATE OF
PURCHASE | | | MATURITY DATE | | | VALUE | |
| | | | Repurchase Agreements (41.3%) | | | | | | | | | | | | |
| $ | 35,000 | | | ABN Amro Securities LLC, (dated 12/31/13; proceeds $35,000,078; fully collateralized by various U.S. Government Agencies, 2.50% –5.50% due 07/01/27 – 01/01/43; valued at $36,030,329) | | | 0.04 | % | | | 01/02/14 | | | $ | 35,000,000 | |
| | 100,000 | | | Bank of Montreal, (dated 12/30/13; proceeds $100,000,972; fully collateralized by various U.S. Government Agencies, 3.00% – 4.50% due 05/01/21 – 10/01/43; valued at $103,489,269) | | | 0.05 | | | | 01/06/14 | | | | 100,000,000 | |
| | 135,000 | | | Bank of Nova Scotia, (dated 09/13/13; proceeds $135,243,000; fully collateralized by various U.S. Government Agencies, 3.00% – 5.50% due 02/01/26 – 06/01/43; valued at $138,960,675) (Demand 01/07/14) | | | 0.18 | (a) | | | 09/08/14 | | | | 135,000,000 | |
| | 75,000 | | | Bank of Nova Scotia, (dated 01/07/13; proceeds $75,142,500; fully collateralized by various U.S. Government Agencies, 2.50% – 5.50% due 02/01/26 – 06/01/43; valued at $77,455,893) | | | 0.19 | | | | 01/02/14 | | | | 75,000,000 | |
| | 23,000 | | | Bank of Nova Scotia, (dated 03/06/13; proceeds $23,046,383; fully collateralized by various U.S. Government Agencies, 2.50% – 5.50% due 02/01/26 – 06/01/43; valued at $23,707,736) (Demand 01/07/14) | | | 0.20 | (a) | | | 03/04/14 | | | | 23,000,000 | |
| | 120,000 | | | Bank of Nova Scotia, (dated 03/15/13; proceeds $120,240,000; fully collateralized by various U.S. Government Agencies, 2.50% – 5.50% due 10/01/25 – 12/01/43; valued at $123,614,106) (Demand 01/07/14) | | | 0.20 | (a) | | | 03/10/14 | | | | 120,000,000 | |
| | 12,240 | | | BNP Paribas Securities Corp., (dated 12/31/13; proceeds $12,240,014; fully collateralized by a U.S. Government Agency, 4.00% due 11/20/43; valued at $12,640,138 | | | 0.02 | | | | 01/02/14 | | | | 12,240,000 | |
| | 40,000 | | | BNP Paribas Securities Corp., (dated 12/31/13; proceeds $40,000,400; fully collateralized by various Common Stocks and Preferred Stocks; valued at $42,000,428) | | | 0.18 | | | | 01/02/14 | | | | 40,000,000 | |
| | 150,000 | | | BNP Paribas Securities Corp., (dated 11/27/13; proceeds $150,102,083; fully collateralized by various Common Stocks and Preferred Stocks; valued at $157,607,208) | | | 0.35 | | | | 02/05/14 | | | | 150,000,000 | |
| | 35,000 | | | BNP Paribas Securities Corp., (dated 12/09/13; proceeds $35,020,076; fully collateralized by various Common Stocks and Preferred Stocks; valued at $36,771,086) | | | 0.35 | | | | 02/06/14 | | | | 35,000,000 | |
| | 10,000 | | | Deutsche Bank Securities, Inc., (dated 12/27/13; proceeds $10,000,058; fully collateralized by various U.S. Government Obligations, 0.63% – 1.75% due 09/30/17 – 05/15/23; valued at $10,225,237) | | | 0.03 | | | | 01/03/14 | | | | 10,000,000 | |
| | 865,000 | | | Federal Reserve Bank of New York, (dated 12/31/13; proceeds $865,001,442; fully collateralized by a U.S. Government Obligation, 2.75% due 02/15/19; valued at $865,420,388) | | | 0.03 | | | | 01/02/14 | | | | 865,000,000 | |
See Notes to Financial Statements
9
Active Assets Money Trust
Portfolio of InvestmentsnDecember 31, 2013 (unaudited) continued
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT
(000) | | | | | ANNUALIZED
YIELD ON
DATE OF
PURCHASE | | | MATURITY DATE | | | VALUE | |
| $ | 100,000 | | | ING Financial Markets LLC, (dated 12/31/13; proceeds $100,000,167; fully collateralized by various U.S. Government Agencies, 2.19% – 4.86% due 05/01/38 – 01/01/44; valued at $103,000,129) | | | 0.03 | % | | | 01/02/14 | | | $ | 100,000,000 | |
| | 42,000 | | | Merrill Lynch Pierce Fenner & Smith, (dated 12/10/13; proceeds $42,008,400; fully collateralized by various U.S. Government Agencies, 0.88% – 4.38% due 07/17/15 – 02/25/28; valued at $42,828,977) (Demand 01/07/14) | | | 0.08 | (a) | | | 03/10/14 | | | | 42,000,000 | |
| | 70,000 | | | Mizuho Securities USA, Inc., (dated 12/31/13; proceeds $70,000,078; fully collateralized by various U.S. Government Agencies, 4.00% – 5.00% due 07/15/39 –12/20/41, and various U.S. Government Obligations, 0.25% – 1.88% due 02/28/14; valued at $71,574,691) | | | 0.02 | | | | 01/02/14 | | | | 70,000,000 | |
| | 5,000 | | | Mizuho Securities USA, Inc., (dated 12/31/13; proceeds $5,000,067; fully collateralized by various Common Stocks; valued at $5,250,040) | | | 0.24 | | | | 01/02/14 | | | | 5,000,000 | |
| | 185,000 | | | RBC Capital Markets LLC, (dated 10/01/13; proceeds $185,084,638; fully collateralized by various U.S. Government Agencies, 1.34% – 4.88% due 09/01/18 – 11/15/48; valued at $190,546,731) (Demand 01/07/14) | | | 0.09 | (a) | | | 04/02/14 | | | | 185,000,000 | |
| | 30,000 | | | RBC Capital Markets LLC, (dated 12/26/13; proceeds $30,000,875; fully collateralized by various Corporate Bonds, 0.97% – 7.30% due 03/17/14 – 09/01/23; valued at $31,500,001) | | | 0.15 | | | | 01/02/14 | | | | 30,000,000 | |
| | 300,000 | | | RBS Securities, Inc, (dated 12/31/13; proceeds $300,000,333; fully collateralized by a U.S. Government Obligation, 2.13% due 12/31/15; valued at $306,000,659) | | | 0.02 | | | | 01/02/14 | | | | 300,000,000 | |
| | 25,000 | | | RBS Securities, Inc., (dated 12/31/13; proceeds $25,000,458; fully collateralized by various Corporate Bonds, 5.63% – 6.40% due 10/21/19 – 08/24/20, and a U.S. Government Obligation, 0.13% due 04/15/18; valued at $26,285,302) | | | 0.33 | | | | 01/02/14 | | | | 25,000,000 | |
| | 30,000 | | | TD Securities USA LLC, (dated 12/31/13; proceeds $30,000,100; fully collateralized by various Corporate Bonds, 4.25% – 6.40% due 09/01/17 – 09/15/33; valued at $31,620,681) | | | 0.06 | | | | 01/02/14 | | | | 30,000,000 | |
| | 100,000 | | | Wells Fargo Securities LLC, (dated 12/31/13; proceeds $100,000,167; fully collateralized by various Government Agencies, 3.00% – 5.00% due 03/20/41 – 10/01/43, and a U.S. Government Obligation, 2.63% due 12/31/14; valued at $101,624,805) | | | 0.03 | | | | 01/02/14 | | | | 100,000,000 | |
| | 38,000 | | | Wells Fargo Securities LLC, (dated 10/25/13; proceeds $38,039,689; fully collateralized by various Corporate Bonds, 2.50% – 10.00% due 09/15/14 – 09/01/43; valued at $40,028,840) | | | 0.40 | | | | 01/27/14 | | | | 38,000,000 | |
See Notes to Financial Statements
10
Active Assets Money Trust
Portfolio of InvestmentsnDecember 31, 2013 (unaudited) continued
| | | | | | | | | | | | |
PRINCIPAL
AMOUNT
(000) | | | | | ANNUALIZED
YIELD ON
DATE OF
PURCHASE | | MATURITY DATE | | VALUE | |
| $ | 20,000 | | | Wells Fargo Securities LLC, (dated 12/06/13; proceeds $20,020,000; fully collateralized by various Corporate Bonds, 0.45% – 6.13% due 08/03/15 – 08/15/43; valued at $21,000,102) | | 0.40 % | | 03/06/14 | | $ | 20,000,000 | |
| | 70,000 | | | Wells Fargo Securities LLC, (dated 12/18/13; proceeds $70,070,000; fully collateralized by a Commercial Paper, Zero Coupon due 01/08/14, and various Corporate Bonds, 1.20% – 10.00% due 06/15/14 – 07/15/43; valued at $73,626,176) | | 0.40 | | 03/18/14 | | | 70,000,000 | |
| | | | | | | | | | | | |
| | | | Total Repurchase Agreements (Cost $2,615,240,000) | | | 2,615,240,000 | |
| | | | | | | | | | | | |
| | | | Commercial Paper (21.9%) | | | | | | | | |
| | | | Automobiles (1.7%) | | | | | | | | |
| | 106,900 | | | Toyota Motor Credit Corp. | | 0.23 – 0.27 | | 01/02/14 – 01/16/14 | | | 106,894,048 | |
| | | | | | | | | | | | |
| | | | International Banks (20.2%) | | | | | | | | |
| | 108,600 | | | Bank of Nova Scotia | | 0.21 – 0.23 | | 04/17/14 – 05/19/14 | | | 108,517,100 | |
| | 174,800 | | | Caisse Des Depots Et | | 0.22 – 0.24 | | 01/10/14 – 06/26/14 | | | 174,723,654 | |
| | 24,700 | | | DBS Bank Ltd. (b) | | 0.22 | | 05/05/14 | | | 24,681,283 | |
| | 178,700 | | | Erste Abwicklungsanstalt | | 0.17 – 0.20 | | 01/17/14 – 04/01/14 | | | 178,656,063 | |
| | 76,000 | | | Mizuho Funding LLC (b) | | 0.23 | | 01/15/14 | | | 75,993,350 | |
| | 111,500 | | | Oversea Chinese Banking Corporation | | 0.18 – 0.21 | | 01/03/14 – 01/06/14 | | | 111,498,079 | |
| | 97,000 | | | Societe Generale North America, Inc. | | 0.24 | | 01/31/14 | | | 96,980,600 | |
| | 115,000 | | | Sumitomo Mitsui Banking Corp. | | 0.22 | | 03/10/14 | | | 114,953,297 | |
| | 70,400 | | | Sumitomo Mitsui Trust Bank, Ltd. (b) | | 0.10 | | 01/03/14 | | | 70,399,609 | |
| | 8,000 | | | Toyota Credit Canada, Inc. | | 0.23 | | 04/11/14 | | | 7,994,889 | |
| | 15,600 | | | Toyota Financial Services de Puerto Rico, Inc. | | 0.23 | | 04/03/14 | | | 15,590,831 | |
| | 301,100 | | | United Overseas Bank Ltd. (b) | | 0.20 – 0.27 | | 01/06/14 – 04/02/14 | | | 301,016,712 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,281,005,467 | |
| | | | | | | | | | | | |
| | | | Total Commercial Paper (Cost $1,387,899,515) | | | 1,387,899,515 | |
| | | | | | | | | | | | |
| | | | Certificates of Deposit (14.9%) | | | | | | | | |
| | | | Domestic Bank (0.1%) | | | | | | | | |
| | 4,000 | | | Wells Fargo Bank NA | | 0.22 | | 02/10/14 | | | 4,000,177 | |
| | | | | | | | | | | | |
| | | | International Banks (14.8%) | | | | | | | | |
| | 100,000 | | | Bank of Montreal | | 0.04 | | 01/06/14 | | | 100,000,000 | |
| | 86,250 | | | BNP Paribas | | 0.32 | | 05/01/14 | | | 86,250,000 | |
| | 94,500 | | | Credit Suisse NY | | 0.23 | | 04/01/14 | | | 94,500,000 | |
| | 70,000 | | | Mizuho Bank Ltd. | | 0.22 | | 01/03/14 | | | 70,000,000 | |
| | 58,000 | | | Oversea Chinese Banking Corporation | | 0.23 | | 05/08/14 – 05/09/14 | | | 58,000,000 | |
| | 75,000 | | | Rabobank Nederland NY | | 0.24 | | 05/01/14 | | | 75,000,000 | |
| | 155,250 | | | Sumitomo Mitsui Banking Corp. | | 0.10 – 0.26 | | 01/03/14 – 05/09/14 | | | 155,250,000 | |
| | 115,750 | | | Sumitomo Mitsui Trust Bank, Ltd. | | 0.12 | | 01/03/14 | | | 115,750,000 | |
| | 185,000 | | | Toronto Dominion Bank | | 0.07 – 0.18 | | 01/09/14 – 03/17/14 | | | 185,000,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 939,750,000 | |
| | | | | | | | | | | | |
| | | | Total Certificates of Deposit (Cost $943,750,177) | | | 943,750,177 | |
| | | | | | | | | | | | |
See Notes to Financial Statements
11
Active Assets Money Trust
Portfolio of InvestmentsnDecember 31, 2013 (unaudited) continued
| | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT
(000) | | | | | COUPON
RATE (a) | | DEMAND
DATE (c) | | MATURITY DATE | | VALUE | |
| | | | Floating Rate Notes (9.5%) | | | | | | |
| | | | International Banks | | | | | | | | | | |
| $ | 46,000 | | | ASB Finance Ltd. (b) | | 0.27 % | | 01/03/14 | | 01/03/14 | | $ | 46,000,000 | |
| | 95,000 | | | Credit Suisse NY | | 0.31 | | 01/22/14 | | 03/24/14 | | | 95,000,000 | |
| | 66,000 | | | DBS Bank Ltd. (b) | | 0.26 | | 03/26/14 – 03/31/14 | | 09/26/14 – 09/30/14 | | | 65,995,939 | |
| | 54,000 | | | HSBC Bank PLC | | 0.24 | | 01/10/14 | | 04/10/14 | | | 54,000,000 | |
| | 215,000 | | | Rabobank Nederland NY | | 0.26 – 0.32 | | 02/28/14 – 03/24/14 | | 03/24/14 – 12/23/14 | | | 215,000,000 | |
| | 126,600 | | | Westpac Banking Corp. | | 0.29 | | 03/17/14 | | 12/15/14 | | | 126,600,000 | |
| | | | | | | | | | | | | | |
| | | | Total Floating Rate Notes (Cost $602,595,939) | | | 602,595,939 | |
| | | | | | | | | | | | | | |
| | | | Extendible Floating Rate Notes (8.6%) | | | | | | | | |
| | | | Domestic Banks (4.7%) | | | | | | | | | | |
| | 145,000 | | | JP Morgan Chase Bank NA (Extendible Maturity Date 01/07/15) | | 0.32 | | 03/07/14 | | 03/07/19 | | | 145,000,000 | |
| | 156,500 | | | Wells Fargo Bank NA (Extendible Maturity Date 01/15/15 – 01/20/15) | | 0.29 – 0.31 | | 01/21/14 – 03/17/14 | | 03/20/19 – 07/15/19 | | | 156,500,000 | |
| | | | | | | | | | | | | | |
| | | | | | | 301,500,000 | |
| | | | | | | | | | | | | | |
| | | | International Banks (3.9%) | | | | | | | | | | |
| | 62,000 | | | Bank of Nova Scotia (Extendible Maturity Date 01/30/15) | | 0.30 | | 01/30/14 | | 01/31/19 | | | 62,000,000 | |
| | 99,000 | | | Royal Bank of Canada (Extendible Maturity Date 12/31/14) | | 0.30 | | 01/02/14 | | 04/01/19 | | | 98,994,793 | |
| | 85,000 | | | Svenska Handelsbanken AB (b) (Extendible Maturity Date 06/15/14) | | 0.28 | | 01/15/14 | | 05/13/16 | | | 85,000,000 | |
| | | | | | | | | | | | | | |
| | | | | | | 245,994,793 | |
| | | | | | | | | | | | | | |
| | | | Total Extendible Floating Rate Notes (Cost $547,494,793) | | | 547,494,793 | |
| | | | | | | | | | | | | | |
| | | | | | ANNUALIZED
YIELD ON
DATE OF
PURCHASE | | | | | | | |
| | | | U.S. Agency Security (2.2%) | | | | | | | | | | |
| | 137,000 | | | Federal Home Loan Bank (Cost $136,973,361) | | 0.10% | | | | 03/12/14 | | | 136,973,361 | |
| | | | | | | | | | | | | | |
See Notes to Financial Statements
12
Active Assets Money Trust
Portfolio of InvestmentsnDecember 31, 2013 (unaudited) continued
| | | | | | | | | | | | | | | | |
PRINCIPAL
AMOUNT
(000) | | | | | COUPON
RATE (a) | | DEMAND
DATE (c) | | MATURITY
DATE | | | VALUE | |
| | | | Tax-Exempt Instruments (1.6%) | | | | | | | | | | | | |
| | | | Weekly Variable Rate Bonds | | | | | | | | | | | | |
| $ | 10,420 | | | Fremont, CA, Ser 2008 COPs | | 0.04% | | 01/07/14 | | | 08/01/38 | | | $ | 10,420,000 | |
| | 27,000 | | | Indiana Finance Authority, Parkview Health System Ser 2009 B | | 0.05 | | 01/07/14 | | | 11/01/39 | | | | 27,000,000 | |
| | 17,360 | | | Miami-Dade County, FL, Professional Sports Franchise Facilities Tax Ser 2009 E | | 0.06 | | 01/07/14 | | | 10/01/48 | | | | 17,360,000 | |
| | 12,000 | | | Nassau County Interim Finance Authority, NY, Sales Tax Ser 2008 A | | 0.04 | | 01/07/14 | | | 11/15/25 | | | | 12,000,000 | |
| | 14,300 | | | New York State Housing Finance Agency, 10 Barclay Street 2004 Ser A | | 0.04 | | 01/07/14 | | | 11/15/37 | | | | 14,300,000 | |
| | 9,200 | | | Pennsylvania Housing Finance Agency, Single Family Mortgage Ser 2004-82C (AMT) | | 0.05 | | 01/07/14 | | | 10/01/34 | | | | 9,200,000 | |
| | 11,900 | | | Wyoming Student Loan Corporation, Student Loan Senior Ser 2010 A-2 | | 0.05 | | 01/07/14 | | | 04/01/39 | | | | 11,900,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Weekly Variable Rate Bonds (Cost $102,180,000) | | | | | | | 102,180,000 | |
| | | | | | | | | | | | | | | | |
| | | | Total Investments (Cost $6,336,133,785) | | | 100.0 | % | | | 6,336,133,785 | |
| | | | Liabilities in Excess of Other Assets | | | 0.0 | (d) | | | (189,616 | ) |
| | | | | | | | | | | | |
| | | | Net Assets | | | 100.0 | % | | $ | 6,335,944,169 | |
| | | | | | | | | | | | | | | | |
| | |
| AMT | | Alternative Minimum Tax. |
| COPs | | Certificates of Participation. |
| (a) | | Rate shown is the rate in effect at December 31, 2013. |
| (b) | | 144A security – Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
| (c) | | Date of next interest rate reset. |
| (d) | | Amount is less than 0.05%. |
See Notes to Financial Statements
13
Active Assets Money Trust
Financial Statements
Statement of Assets and Liabilities December 31, 2013 (unaudited)
| | | | |
Assets: | | | | |
Investments in securities, at value (cost $6,336,133,785, including value of repurchase agreements of $2,615,240,000) | | $ | 6,336,133,785 | |
Cash | | | 8,451 | |
Receivable for: | | | | |
Shares of beneficial interest sold | | | 177,881,450 | |
Interest | | | 1,164,123 | |
Prepaid expenses and other assets | | | 117,547 | |
| | | | |
Total Assets | | | 6,515,305,356 | |
| | | | |
Liabilities: | | | | |
Payable for: | | | | |
Shares of beneficial interest redeemed | | | 177,881,450 | |
Advisory fee | | | 540,006 | |
Transfer agent fee | | | 454,309 | |
Administration fee | | | 278,924 | |
Accrued expenses and other payables | | | 206,498 | |
| | | | |
Total Liabilities | | | 179,361,187 | |
| | | | |
Net Assets | | $ | 6,335,944,169 | |
| | | | |
Composition of Net Assets: | | | | |
Paid-in-capital | | $ | 6,336,089,575 | |
Dividends in excess of net investment income | | | (57,622 | ) |
Accumulated net realized loss | | | (87,784 | ) |
| | | | |
Net Assets | | $ | 6,335,944,169 | |
| | | | |
| Net Asset Value Per Share | | | | |
6,335,993,289 shares outstanding (unlimited shares authorized of $0.01 par value) | | | $1.00 | |
| | | | |
See Notes to Financial Statements
14
Active Assets Money Trust
Financial Statements continued
Statement of Operations For the six months ended December 31, 2013 (unaudited)
| | | | |
Net Investment Income: | | | | |
Interest Income | | $ | 5,908,272 | |
| | | | |
Expenses | | | | |
Advisory fee (Note 3) | | | 8,058,108 | |
Distribution fee (Note 4) | | | 3,280,595 | |
Administration fee (Note 3) | | | 1,640,298 | |
Transfer agent fees and expenses | | | 219,736 | |
Custodian fees | | | 114,640 | |
Trustees’ fees and expenses | | | 77,570 | |
Registration fees | | | 38,805 | |
Professional fees | | | 31,291 | |
Shareholder reports and notices | | | 11,760 | |
Other | | | 44,796 | |
| | | | |
Total Expenses | | | 13,517,599 | |
Less: amounts waived/reimbursed (Note 4) | | | (7,937,390 | ) |
| | | | |
Net Expenses | | | 5,580,209 | |
| | | | |
Net Investment Income | | | 328,063 | |
Net Realized Gain | | | 16,037 | |
| | | | |
| Net Increase | | $ | 344,100 | |
| | | | |
See Notes to Financial Statements
15
Active Assets Money Trust
Financial Statements continued
Statements of Changes in Net Assets
| | | | | | | | |
| | | FOR THE SIX
MONTHS ENDED
DECEMBER 31, 2013 | | | FOR THE YEAR
ENDED
JUNE 30, 2013 | |
| | | (unaudited) | | | | |
Increase (Decrease) in Net Assets: | | | | | | | | |
| | |
Operations: | | | | | | | | |
Net investment income | | $ | 328,063 | | | $ | 645,331 | |
Net realized gain | | | 16,037 | | | | 3,065 | |
| | | | | | | | |
| | |
Net Increase | | | 344,100 | | | | 648,396 | |
| | | | | | | | |
| | |
Dividends to shareholders from net investment income | | | (328,063 | ) | | | (645,222 | ) |
| | |
Net decrease from transactions in shares of beneficial interest | | | (30,497,022 | ) | | | (142,773,502 | ) |
| | | | | | | | |
| | |
Net Decrease | | | (30,480,985 | ) | | | (142,770,328 | ) |
| | |
Net Assets: | | | | | | | | |
Beginning of period | | | 6,366,425,154 | | | | 6,509,195,482 | |
| | | | | | | | |
| | |
End of Period | | | | | | | | |
| (Including dividends in excess of net investment income of $57,622 and $57,622, respectively) | | $ | 6,335,944,169 | | | $ | 6,366,425,154 | |
| | | | | | | | |
See Notes to Financial Statements
16
Active Assets Money Trust
Notes to Financial StatementsnDecember 31, 2013 (unaudited)
1. Organization and Accounting Policies
Active Assets Money Trust (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company. The Fund’s investment objective is high current income, preservation of capital and liquidity. The Fund was organized as a Massachusetts business trust on March 30, 1981 and commenced operations on July 7, 1981.
The following is a summary of significant accounting policies:
A. Valuation of Investments — Portfolio securities are valued at amortized cost, which approximates fair value, in accordance with Rule 2a-7 under the Act. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity.
B. Accounting for Investments — Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses on security transactions are determined by the identified cost method. Discounts are accreted and premiums are amortized over the life of the respective securities and are included in interest income. Interest income is accrued daily as earned.
C. Repurchase Agreements — The Fund invests directly with institutions in repurchase agreements. The Fund’s custodian receives the collateral, which is marked-to-market daily to determine that the value of the collateral does not decrease below the repurchase price plus accrued interest as earned. If such a decrease occurs, additional collateral will be requested and, when received, will be added to the account to maintain full collateralization.
The following table presents financial instruments that are subject to enforceable netting arrangements as of December 31, 2013.
| | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS AND LIABILITIES | |
GROSS ASSET AMOUNT
PRESENTED IN STATEMENT
OF ASSETS AND LIABILITIES | | | FINANCIAL
INSTRUMENT | | | COLLATERAL
RECEIVED | | | NET AMOUNT
(NOT LESS THAN 0) | |
| $ | 2,615,240,000 | | | | — | | | $ | (2,615,240,000 | )(1) | | $ | 0 | |
| | | | | | | | | | | | | | |
| | (1) | The actual collateral received is greater than the amount shown here due to overcollateralization. |
D. Dividends and Distributions to Shareholders — Dividends and distributions to shareholders are recorded on the close of each business day. Dividends from net investment income, if any, are declared and paid daily. Net realized capital gains, if any, are distributed at least annually.
E. Use of Estimates — The preparation of financial statements in accordance with generally accepted accounting principles in the United States (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures. Actual results could differ from those estimates.
17
Active Assets Money Trust
Notes to Financial Statementsn December 31, 2013 (unaudited) continued
F. Indemnifications —The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
2. Fair Valuation Measurements
Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures (“ASC 820”), defines fair value as the value that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three broad levels listed below.
| | • | | Level 1 — unadjusted quoted prices in active markets for identical investments |
| | • | | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| | • | | Level 3 — significant unobservable inputs including the Fund’s own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.
18
Active Assets Money Trust
Notes to Financial Statementsn December 31, 2013 (unaudited) continued
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2013.
| | | | | | | | | | | | | | | | |
| INVESTMENT TYPE | | LEVEL 1
UNADJUSTED
QUOTED
PRICES | | | LEVEL 2
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS | | | LEVEL 3
SIGNIFICANT
UNOBSERVABLE
INPUTS | | | TOTAL | |
Assets: | | | | | | | | | | | | | | | | |
Repurchase Agreements | | $ | — | | | $ | 2,615,240,000 | | | $ | — | | | $ | 2,615,240,000 | |
Commercial Paper | | | — | | | | 1,387,899,515 | | | | — | | | | 1,387,899,515 | |
Certificates of Deposit | | | — | | | | 943,750,177 | | | | — | | | | 943,750,177 | |
Floating Rate Notes | | | — | | | | 602,595,939 | | | | — | | | | 602,595,939 | |
Extendible Floating Rate Notes | | | — | | | | 547,494,793 | | | | — | | | | 547,494,793 | |
U.S. Agency Security | | | — | | | | 136,973,361 | | | | — | | | | 136,973,361 | |
Tax-Exempt Instruments | | | | | | | | | | | | | | | | |
Weekly Variable Rate Bonds | | | — | | | | 102,180,000 | | | | — | | | | 102,180,000 | |
Total Assets | | $ | — | | | $ | 6,336,133,785 | | | $ | — | | | $ | 6,336,133,785 | |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Fund recognizes transfers between the levels as of the end of the period. As of December 31, 2013, the Fund did not have any investments transfer between investment levels.
3. Advisory/Administration Agreements
Pursuant to an Investment Advisory Agreement with Morgan Stanley Investment Management Inc. (the “Adviser”), the Fund pays the Adviser an advisory fee, accrued daily and payable monthly, by applying the following annual rates to the net assets of the Fund determined at the close of each business day: 0.45% to the portion of the daily net assets not exceeding $250 million; 0.375% to the portion of the daily net assets exceeding $250 million but not exceeding $750 million; 0.325% to the portion of the daily net assets exceeding $750 million but not exceeding $1.25 billion; 0.30% to the portion of the daily net assets exceeding $1.25 billion but not exceeding $1.5 billion; 0.275% to the portion of the daily net assets exceeding $1.5 billion but not exceeding $1.75 billion; 0.25% to the portion of the daily net assets exceeding $1.75 billion but not exceeding $2.25 billion; 0.225% to the portion of the daily net assets exceeding $2.25 billion but not exceeding $2.75 billion; 0.20% to the portion of the daily net assets exceeding $2.75 billion but not exceeding $15 billion; 0.199% to the portion of the daily net assets exceeding $15 billion but not exceeding $17.5 billion; 0.198% to the portion of the daily net assets exceeding $17.5 billion but not exceeding $25 billion; 0.197% to the portion of the daily net assets exceeding $25 billion but not exceeding $30 billion; and 0.196% to the portion of the daily net assets exceeding $30 billion. For the six months ended December 31, 2013, the advisory fee rate (net of waivers) was equivalent to an annual effective rate of 0.10% of the Fund’s daily net assets.
Pursuant to an Administration Agreement with Morgan Stanley Services Company Inc. (the “Administrator”), an affiliate of the Adviser, the Fund pays an administration fee, by applying the annual rate of 0.05% to the Fund’s daily net assets.
19
Active Assets Money Trust
Notes to Financial Statementsn December 31, 2013 (unaudited) continued
Under a Sub-Administration Agreement between the Administrator and State Street Bank and Trust Company (“State Street”), State Street provides certain administrative services to the Fund. For such services, the Administrator pays State Street a portion of the fee the Administrator receives from the Fund.
4. Plan of Distribution
Morgan Stanley Distribution, Inc. (the “Distributor”), an affiliate of the Adviser and Administrator, is the distributor of the Fund’s shares and in accordance with a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the Act, finances certain expenses in connection with the promotion of sales of Fund shares.
Reimbursements for these expenses are made in monthly payments by the Fund to the Distributor, which will in no event exceed an amount equal to a payment at the annual rate of 0.15% of the Fund’s average daily net assets during the month. Expenses incurred by the Distributor pursuant to the Plan in any fiscal year will not be reimbursed by the Fund through payments accrued in any subsequent fiscal year. For the six months ended December 31, 2013, the distribution fee was accrued at the annual rate of 0.10%.
The Distributor, Adviser and Administrator have agreed to waive and/or reimburse all or a portion of the Fund’s distribution fee, advisory fee and administration fee, respectively, to the extent that total expenses exceed total income of the Fund on a daily basis. For the six months ended December 31, 2013, the Distributor waived $3,280,595, and the Adviser waived $4,656,795. These fee waivers and/or expense reimbursements will continue for at least one year or until such time that the Fund’s Board of Trustees, (the “Trustees”), act to discontinue all or a portion of such waivers and/or expense reimbursements when it deems such action is appropriate.
5. Transactions with Affiliates
The Fund has an unfunded noncontributory defined benefit pension plan covering certain independent Trustees of the Fund who will have served as independent Trustees for at least five years at the time of retirement. Benefits under this plan are based on factors which include years of service and compensation. The Trustees voted to close the plan to new participants and eliminate the future benefits growth due to increases to compensation after July 31, 2003. Aggregate pension costs for the six months ended December 31, 2013, included in “Trustees’ fees and expenses” in the Statement of Operations amounted to $2,740. At December 31, 2013, the Fund had an accrued pension liability of $59,620, which is included in “Accrued expenses and other payables” in the Statement of Assets and Liabilities.
The Fund has an unfunded Deferred Compensation Plan (the “Compensation Plan”), which allows each independent Trustee to defer payment of all, or a portion, of the fees he or she receives for serving on the Board of Trustees. Each eligible Trustee generally may elect to have the deferred amounts credited with a return equal to the total return on one or more of the Morgan Stanley funds that are offered as investment options under the Compensation Plan. Appreciation/depreciation and distributions received from these
20
Active Assets Money Trust
Notes to Financial Statementsn December 31, 2013 (unaudited) continued
investments are recorded with an offsetting increase/decrease in the deferred compensation obligation and do not affect the net asset value of the Fund.
6. Shares of Beneficial Interest
Transactions in shares of beneficial interest, at $1.00 per share, were as follows:
| | | | | | | | |
| | | FOR THE SIX
MONTHS ENDED
DECEMBER 31, 2013 | | | FOR THE YEAR
ENDED
JUNE 30, 2013 | |
| | | (unaudited) | | | | |
Shares sold | | | 12,482,392,374 | | | | 28,690,880,935 | |
Shares issued in reinvestment of dividends | | | 328,063 | | | | 645,222 | |
| | | | | | | | |
| | | 12,482,720,437 | | | | 28,691,526,157 | |
Shares redeemed | | | (12,513,217,459 | ) | | | (28,834,299,659 | ) |
| | | | | | | | |
Net decrease in shares outstanding | | | (30,497,022 | ) | | | (142,773,502 | ) |
| | | | | | | | |
7. Risks Relating to Certain Financial Instruments
The Fund may invest in, or receive as collateral for repurchase agreements, securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corporation (“FHLMC”). Securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right of the issuer to borrow from the U.S. Department of the Treasury.
The Federal Housing Finance Agency (“FHFA”) serves as conservator of FNMA and FHLMC and the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.
The Fund may enter into repurchase agreements under which the Fund sends cash and takes possession of securities with an agreement that the counterparty will repurchase such securities. In the event of default on the obligation to repurchase, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realization of the collateral proceeds may be subject to certain costs and delays.
8. Federal Income Tax Status
It is the Fund’s intention to continue to qualify as a regulated investment company and distribute all of its taxable and tax-exempt income. Accordingly, no provision for Federal income taxes is required in the financial statements.
Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income is recognized on an accrual basis.
21
Active Assets Money Trust
Notes to Financial Statementsn December 31, 2013 (unaudited) continued
FASB ASC 740-10, Income Taxes — Overall, 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. Management has concluded there are no significant uncertain tax positions that would require recognition in the financial statements. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in “Interest Expense” and penalties in ‘‘Other Expenses” in the Statement of Operations. The Fund files tax returns with the U.S. Internal Revenue Service, New York and various states. Each of the tax years in the four-year period ended June 30, 2013, remains subject to examination by taxing authorities.
The tax character of distributions paid may differ from the character of distributions shown in the Statements of Changes in Net Assets due to short-term capital gains being treated as ordinary income for tax purposes. The tax character of distributions paid during fiscal 2013 and 2012 was as follows:
| | | | |
| 2013 DISTRIBUTIONS PAID FROM: | | 2012 DISTRIBUTIONS PAID FROM: |
ORDINARY
INCOME | | ORDINARY
INCOME | | LONG-TERM
CAPITAL GAIN |
| $645,222 | | $657,136 | | $1,162 |
| | | | |
The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from GAAP. These book/tax differences are either considered temporary or permanent in nature.
Temporary differences are attributable to differing book and tax treatments for the timing of the recognition of gains (losses) on certain investment transactions and the timing of the deductibility of certain expenses.
Permanent differences, due to deferred compensation, resulted in the following reclassifications among the Fund’s components of net assets at June 30, 2013:
| | | | |
DIVIDENDS
IN EXCESS OF
NET INVESTMENT
INCOME | | ACCUMULATED
NET REALIZED
LOSS | | PAID-IN-CAPITAL |
| $(269) | | $269 | | — |
| | | | |
At June 30, 2013, the components of distributable earnings for the Fund on a tax basis were as follows:
| | |
UNDISTRIBUTED
ORDINARY
INCOME | | UNDISTRIBUTED
LONG-TERM
CAPITAL GAIN |
| $55,412 | | — |
| | |
At December 31, 2013, the aggregate cost for federal income tax purposes is the same as the cost for book purposes.
22
Active Assets Money Trust
Notes to Financial Statementsn December 31, 2013 (unaudited) continued
At June 30, 2013, the Fund had available for Federal income tax purposes unused short-term capital losses of $103,821 that do not have an expiration date.
To the extent that capital loss carryforwards are used to offset any future capital gains realized during the carryover period as provided by U.S. Federal income tax regulations, no capital gains tax liability will be incurred by a Fund for gains realized and not distributed. To the extent that capital gains are offset, such gains will not be distributed to the shareholders. During the year ended June 30, 2013, the Fund utilized capital loss carryforwards for U.S. Federal income tax purposes of $3,334.
9. Accounting Pronouncement
In June 2013, FASB issued Accounting Standards Update 2013-08 Financial Services — Investment Companies (Topic 946) — Amendments to the Scope, Measurement, and Disclosure Requirements (“ASU 2013-08”) which is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. ASU 2013-08 sets forth a methodology for determining whether an entity should be characterized as an investment company and prescribes fair value accounting for an investment company’s non-controlling ownership interest in another investment company. FASB has determined that a fund registered under the Investment Company Act of 1940 automatically meets ASU 2013-08’s criteria for an investment company. Although still evaluating the potential impacts of ASU 2013-08 to the Fund, management expects that the impact of the Fund’s adoption will be limited to additional financial statement disclosures.
23
See Notes to Financial Statements
Active Assets Money Trust
Financial Highlights
Selected ratios and per share data for a share of beneficial interest outstanding throughout each period:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | FOR THE SIX
MONTHS ENDED
DECEMBER 31, 2013 | | | FOR THE YEAR ENDED JUNE 30, | |
| | | | 2013 | | | 2012 | | | 2011 | | | 2010^ | | | 2009^ | |
| | | (unaudited) | | | | | | | | | | | | | | | | |
Selected Per Share Data: | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net asset value, beginning of period | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net income from investment operations | | | 0.000 | (1) | | | 0.000 | (1) | | | 0.000 | (1) | | | 0.000 | (1) | | | 0.000 | (1) | | | 0.010 | |
Less dividends from net investment income | | | (0.000 | )(1) | | | (0.000 | )(1) | | | (0.000 | )(1)(2) | | | (0.000 | )(1)(2) | | | (0.000 | )(1) | | | (0.010 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | | | | $1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 0.01 | %(5) | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % | | | 0.01 | % | | | 0.97 | % |
| | | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Net expenses | | | 0.17 | %(4)(6) | | | 0.26 | %(4) | | | 0.23 | %(4) | | | 0.26 | %(4) | | | 0.27 | %(3)(4) | | | 0.50 | %(3)(4) |
Net investment income | | | 0.01 | %(4)(6) | | | 0.01 | %(4) | | | 0.01 | %(4) | | | 0.01 | %(4) | | | 0.01 | %(3)(4) | | | 1.17 | %(3)(4) |
| | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period, in millions | | | $6,336 | | | | $6,366 | | | | $6,509 | | | | $6,435 | | | | $1,950 | | | | $2,372 | |
| ^ | Beginning with the year ended June 30, 2011, the Fund was audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
| (1) | Amount is less than $0.001. |
| (2) | Includes capital gain distribution of less than $0.001. |
| (3) | Reflects fees paid in connection with the U.S. Treasury’s Temporary Guarantee Program for Money Market Funds. This fee had an effect of 0.02% and 0.04% for the years ended 2010 and 2009, respectively. |
| (4) | If the Fund had borne all of its expenses that were reimbursed or waived by the Distributor, Adviser and Administrator, the annualized expense and net investment income (loss) ratios, would have been as follows: |
| | | | | | | | |
PERIOD ENDED | | EXPENSE
RATIO | | | NET INVESTMENT
INCOME (LOSS) RATIO | |
| December 31, 2013 | | | 0.41 | % | | | (0.23 | )% |
| June 30, 2013 | | | 0.42 | | | | (0.15 | ) |
| June 30, 2012 | | | 0.42 | | | | (0.18 | ) |
| June 30, 2011 | | | 0.47 | | | | (0.20 | ) |
| June 30, 2010 | | | 0.55 | | | | (0.27 | ) |
| June 30, 2009 | | | 0.53 | | | | 1.14 | |
See Notes to Financial Statements
24
Active Assets Money Trust
U.S. Privacy Policy (unaudited)
An Important Notice Concerning Our U.S. Privacy Policy
This privacy notice describes the U.S. privacy policy of Morgan Stanley Distribution, Inc., and the Morgan Stanley family of mutual funds (“us”, “our”, “we”).
We are required by federal law to provide you with notice of our U.S. privacy policy (“Policy”). This Policy applies to both our current and former clients unless we state otherwise and is intended for individual clients who purchase products or receive services from us for personal, family or household purposes. This Policy is not applicable to partnerships, corporations, trusts or other non-individual clients or account holders, nor is this Policy applicable to individuals who are either beneficiaries of a trust for which we serve as trustee or participants in an employee benefit plan administered or advised by us. This Policy is, however, applicable to individuals who select us to be a custodian of securities or assets in individual retirement accounts, 401(k) accounts, or accounts subject to the Uniform Gifts to Minors Act.
This notice sets out our business practices to protect your privacy; how we collect and share personal information about you; and how you can limit our sharing or certain uses by others of this information. We may amend this Policy at any time, and will inform you of any changes to our Policy as required by law.
We Respect Your Privacy
We appreciate that you have provided us with your personal financial information and understand your concerns about your information. We strive to safeguard the information our clients entrust to us. Protecting the confidentiality and security of client information is an important part of how we conduct our business.
This notice describes what personal information we collect about you, how we collect it, when we may share it with others, and how certain others may use it. It discusses the steps you may take to limit our sharing of certain information about you with our affiliated companies, including, but not limited to our affiliated banking businesses, brokerage firms and credit service affiliates. It also discloses how you may limit our affiliates’ use of shared information for marketing purposes.
Throughout this Policy, we refer to the nonpublic information that personally identifies you as “personal information.” We also use the term “affiliated company” in this notice. An affiliated company is a company in our family of companies and includes companies with the Morgan Stanley name. These affiliated companies are financial institutions such as broker-dealers, banks, investment advisers and credit card issuers. We refer to any company that is not an affiliated company as a nonaffiliated third party. For purposes of Section 5 of this notice, and your ability to limit certain uses of personal information by our affiliates, this notice applies to the use of personal information by our affiliated companies.
25
Active Assets Money Trust
U.S. Privacy Policy (unaudited) continued
1. What Personal Information Do We Collect From You?
We may collect the following types of information about you: (i) information provided by you, including information from applications and other forms we receive from you, (ii) information about your transactions with us or our affiliates, (iii) information about your transactions with nonaffiliated third parties, (iv) information from consumer reporting agencies, (v) information obtained from our websites, and (vi) information obtained from other sources. For example:
| • | | We collect information such as your name, address, e-mail address, telephone/fax numbers, assets, income and investment objectives through applications and other forms you submit to us. |
| • | | We may obtain information about account balances, your use of account(s) and the types of products and services you prefer to receive from us through your dealings and transactions with us and other sources. |
| • | | We may obtain information about your creditworthiness and credit history from consumer reporting agencies. |
| • | | We may collect background information from and through third-party vendors to verify representations you have made and to comply with various regulatory requirements. |
2. When Do We Disclose Personal Information We Collect About You?
We may disclose personal information we collect about you in each of the categories listed above to affiliated and nonaffiliated third parties.
a. Information We Disclose to Affiliated Companies. We may disclose personal information that we collect about you to our affiliated companies to manage your account(s) effectively, to service and process your transactions, and to let you know about products and services offered by us and affiliated companies, to manage our business, and as otherwise required or permitted by law. Offers for products and services from affiliated companies are developed under conditions designed to safeguard your personal information.
b. Information We Disclose to Third Parties. We may disclose personal information that we collect about you to nonaffiliated third parties to provide marketing services on our behalf or to other financial institutions with whom we have joint marketing agreements. We may also disclose all of the information we collect to other nonaffiliated third parties for our everyday business purposes, such as to process transactions, maintain account(s), respond to court orders and legal investigations, report to credit bureaus, offer our own products and services, protect against fraud, for institutional risk control, to perform services on our behalf, and as otherwise required or permitted by law.
When we share personal information about you with a nonaffiliated third party, they are required to limit their use of personal information about you to the particular purpose for which it was shared and they are not allowed to share personal information about you with others except to fulfill that limited purpose or as may be permitted or required by law.
26
Active Assets Money Trust
U.S. Privacy Policy (unaudited) continued
3. How Do We Protect The Security and Confidentiality Of Personal Information We Collect About You?
We maintain physical, electronic and procedural security measures that comply with applicable law and regulations to help safeguard the personal information we collect about you. We have internal policies governing the proper handling of client information by employees. Third parties that provide support or marketing services on our behalf may also receive personal information about you, and we require them to adhere to appropriate security standards with respect to such information.
4. How Can You Limit Our Sharing Certain Personal Information About You With Our Affiliated Companies For Eligibility Determination?
By following the opt-out procedures in Section 6 below, you may limit the extent to which we share with our affiliated companies, personal information that was collected to determine your eligibility for products and services such as your credit reports and other information that you have provided to us or that we may obtain from third parties (“eligibility information”). Eligibility information does not include your identification information or personal information pertaining to our transactions or experiences with you. Please note that, even if you direct us not to share eligibility information with our affiliated companies, we may still share your personal information, including eligibility information, with our affiliated companies under circumstances that are permitted under applicable law, such as to process transactions or to service your account.
5. How Can You Limit the Use of Certain Personal Information About You by Our Affiliated Companies for Marketing?
By following the opt-out instructions in Section 6 below, you may limit our affiliated companies from marketing their products or services to you based on personal information we disclose to them. This information may include, for example, your income and account history with us. Please note that, even if you choose to limit our affiliated companies from using personal information about you that we may share with them for marketing their products and services to you, our affiliated companies may use your personal information that they obtain from us to market to you in circumstances permitted by law, such as if the affiliated party has its own relationship with you.
6. How Can You Send Us an Opt-Out Instruction?
If you wish to limit our sharing of eligibility information about you with our affiliated companies, or our affiliated companies’ use of personal information for marketing purposes, as described in this notice, you may do so by:
| • | | Calling us at (800) 548-7786 |
Monday-Friday between 8a.m. and 5p.m. (EST)
27
Active Assets Money Trust
U.S. Privacy Policy (unaudited) continued
| • | | Writing to us at the following address: |
Boston Financial Data Services, Inc.
c/o Privacy Coordinator
P.O. Box 219804
Kansas City, Missouri 64121
If you choose to write to us, your request should include: your name, address, telephone number and account number(s) to which the opt-out applies and whether you are opting out with respect to sharing of eligibility information (Section 4 above), or information used for marketing (Section 5 above), or both. Written opt-out requests should not be sent with any other correspondence. In order to process your request, we require that the request be provided by you directly and not through a third party. Once you have informed us about your privacy preferences, your opt-out preference will remain in effect with respect to this Policy (as it may be amended) until you notify us otherwise. If you are a joint account owner, we will accept instructions from any one of you and apply those instructions to the entire account.
Please understand that if you limit our sharing or our affiliated companies’ use of personal information, you and any joint account holder(s) may not receive information about our affiliated companies’ products and services, including products or services that could help you manage your financial resources and achieve your investment objectives.
If you have more than one account or relationship with us, please specify the accounts to which you would like us to apply your privacy choices. If you have accounts or relationships with our affiliates, you may receive multiple privacy policies from them, and will need to separately notify those companies of your privacy choices for those accounts or relationships.
7. What if an affiliated company becomes a nonaffiliated third party?
If, at any time in the future, an affiliated company becomes a nonaffiliated third party, further disclosures of personal information made to the former affiliated company will be limited to those described in Section 2(b) above relating to nonaffiliated third parties. If you elected under Section 6 to limit disclosures we make to affiliated companies, or use of personal information by affiliated companies, your election will not apply to use by any former affiliated company of your personal information in their possession once it becomes a nonaffiliated third party.
28
Active Assets Money Trust
U.S. Privacy Policy (unaudited) continued
Special Notice to Residents of Vermont
The following section supplements our Policy with respect to our individual clients who have a Vermont address and supersedes anything to the contrary in the above Policy with respect to those clients only.
The State of Vermont requires financial institutions to obtain your consent prior to sharing personal information that they collect about you with nonaffiliated third parties, or eligibility information with affiliated companies, other than in certain limited circumstances. Except as permitted by law, we will not share personal information we collect about you with nonaffiliated third parties or eligibility information with affiliated companies, unless you provide us with your written consent to share such information.
Special Notice to Residents of California
The following section supplements our Policy with respect to our individual clients who have a California address and supersedes anything to the contrary in the above Policy with respect to those clients only.
In response to a California law, if your account has a California home address, your personal information will not be disclosed to nonaffiliated third parties except as permitted by applicable California law, and we will limit sharing such personal information with our affiliates to comply with California privacy laws that apply to us.
29
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semiannual reports.
Item 6.
(a) Refer to Item 1.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable for semiannual reports.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Applicable only to reports filed by closed-end funds.
Item 9. Closed-End Fund Repurchases
Applicable to reports filed by closed-end funds.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
(b) There were no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
(a) Code of Ethics – Not applicable for semiannual reports.
(b) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto as part of EX-99.CERT.
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.
|
| Active Assets Money Trust |
|
| /s/ Kevin Klingert |
| Kevin Klingert |
| Principal Executive Officer |
| February 19, 2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
| /s/ Kevin Klingert |
| Kevin Klingert |
| Principal Executive Officer |
| February 19, 2014 |
|
| /s/ Francis Smith |
| Francis Smith |
| Principal Financial Officer |
| February 19, 2014 |
