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 | 811-03692 | |||||||
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Morgan Stanley Variable Investment Series | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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522 Fifth Avenue, New York, New York |
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(Address of principal executive offices) |
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Ronald E. Robison | ||||||||
(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: | 212-296-6990 |
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Date of fiscal year end: | December 31, 2008 |
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Date of reporting period: | June 30, 2008 |
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Item 1 - Report to Shareholders
MORGAN STANLEY
VARIABLE INVESTMENT SERIES
Semi-Annual Report
JUNE 30, 2008
Morgan Stanley Variable Investment Series
Table of Contents
Letter to the Shareholders | 1 | ||||||
Fund Performance | 20 | ||||||
Expense Example | 22 | ||||||
Investment Advisory Agreement Approval | 28 | ||||||
Portfolio of Investments: | |||||||
Money Market | 33 | ||||||
Limited Duration | 36 | ||||||
Income Plus | 49 | ||||||
High Yield | 65 | ||||||
Utilities | 81 | ||||||
Income Builder | 85 | ||||||
Dividend Growth | 93 | ||||||
Global Dividend Growth | 97 | ||||||
European Equity | 103 | ||||||
Capital Opportunities | 108 | ||||||
S&P 500 Index | 111 | ||||||
Global Advantage | 124 | ||||||
Aggressive Equity | 128 | ||||||
Strategist | 131 | ||||||
Financial Statements: | |||||||
Statements of Assets and Liabilities | 152 | ||||||
Statements of Operations | 155 | ||||||
Statements of Changes in Net Assets | 158 | ||||||
Notes to Financial Statements | 170 | ||||||
Financial Highlights | 190 | ||||||
Morgan Stanley Variable Investment Series
Letter to the Shareholders n June 30, 2008
Dear Shareholder,
The global financial markets remained volatile throughout the six-month reporting period. In the first quarter of 2008, credit and liquidity remained constrained, the U.S. housing market continued to weaken and fears of an economic recession emerged, all of which took a toll on investor confidence. The U.S. Federal Reserve (the "Fed") stepped in several times during the quarter to help boost liquidity and the economy, reducing the target federal funds rate by 200 basis points while also taking the unprecedented steps of granting primary brokerage firms access to its discount window, loosening its collateral requirements, and extending loans of Treasury securities in exchange for lower quality, less liquid securities. In what was decidedly the biggest headline event, the Fed facilitated JPMorgan Chase's purchase of troubled Bear Stearns — once the country's fifth largest investment bank — in mid-March, which was viewed by many as necessary to avoid serious market repercussions had the firm failed.
Early in the second quarter, market liquidity began to improve and investor appetite for risk returned, spurring a rebound in fixed income spread sectors and global equities alike. In April, the Fed reduced the target federal funds rate another 25 basis points to 2.0 percent but held the rate steady at its next meeting in June, citing the need to maintain a balance between supporting the economy while limiting inflationary pressures. By that time, inflation had become a significant global concern as food and particularly oil prices continued to escalate. A deteriorating outlook for global economic growth also began to weigh more heavily on the markets. As the period was coming to a close, new credit concerns emerged in the U.S. market, prompting expectations of further writedowns in the financial sector while questions remained as to when the still-weak housing market might begin to recover. Overall, given the uncertain environm ent throughout the six-month period, all but the high-quality government bond markets generally declined.
Domestic Equity Overview
The turbulence in global capital markets was reflected in the U.S. equity market. As measured by the S&P 500®, U.S. equities fell by 11.91 percent during the first six months of 2008, with the majority of sectors in the red. Financials continued to suffer as the credit crisis and related writedowns undermined both reported earnings as well as investor confidence in any near-term improvement. With declining housing prices and falling employment in the broader economy, consumer-related sectors and stocks also performed poorly on investor fears of declining spending. Telecommunications services rounded out the worst performing sec tors for the period, as troubles at several high-profile and alternative wireless carriers combined with the weak outlook for consumers in general to drag down performance.
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Letter to the Shareholders n June 30, 2008 continued
Not all segments of the market performed poorly, however. Commodity prices remained high, with many reaching new records during the period. As a result, the materials sector was one of two in the broader market to gain during the period. The other — energy — was similarly bolstered by rising prices.
In terms of market capitalization and style, performance differed only in the degree of negative returns during the period. Small-capitalization stocks (as measured by the Russell 2000® Index) fell by less than their large-capitalization peers. Value generally fell by more than growth, owing largely to the effect of poorly performing financials.
Fixed Income Overview
The credit and liquidity issues plaguing the market during much of the period led investors to shun risky assets in favor of the relatively safe haven of U.S. Treasury securities, boosting their performance while driving spreads in other sectors considerably wider. Although most spread sectors enjoyed a rebound from April through mid-June, they subsequently retreated again as investors paused to reassess the outlook for the economy and the markets. As a result, Treasuries outperformed all other sectors of the fixed income market for the six-month period.
The mortgage sector saw some relief in April and May but overall posted disappointing returns. Non-agency mortgages continued to suffer the most as the availability of these non-traditional mortgages with more lenient terms has sharply diminished in the wake of the subprime market crisis.
In the corporate bond market, credit spreads tightened in the second quarter of the year after widening considerably in the first quarter. In fact, the investment grade corporate sector posted its best monthly return on record in April. As the period was coming to a close, however, investors began demanding additional compensation for owning riskier assets, causing credit spreads to widen again. Overall, investment grade credit outperformed high yield for the six-month period as the flight to quality led higher rated securities to outperform those with lower ratings. Within the investment grade sector, industrial and utilities were the top performers, while financials continued to lag as many financial institutions recognized significant losses on mortgage-related securities.
International Equity Overview
With concerns about slowing global growth and rising inflation intensifying over the six-month period, all major regional equity markets declined.
In Europe, economic growth was lackluster but remained above recessionary levels. That said, the European Central Bank viewed inflation as the predominant near-term threat and, unlike the Fed, held
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Letter to the Shareholders n June 30, 2008 continued
interest rates steady during the period. Business sentiment continued to deteriorate and the housing markets in the U.K. and Spain continued to decline. Although European equities saw a recovery in the second quarter of 2008, the markets retreated in June on renewed speculation that central banks may raise interest rates, a worsening housing market and languishing earnings for retailers.
Although Japan remained out of favor with investors early in the period amid weak housing data and political noise, Japanese equities advanced strongly beginning in mid-March along with the global equity rally. Driving investors' renewed confidence were attractive valuations both on a historically relative and absolute basis, and the healthier balance sheets of Japanese banks (given their low exposure to the U.S. credit crisis). However, during the last three weeks of the period, stocks declined sharply on fears of global inflation, renewed credit concerns and most importantly a rapidly slowing global economy.
Emerging market equities' decline was in line with that of developed markets during the period (as measured by the MSCI Emerging Markets Index and the MSCI World Index, respectively). Overall, investors continued to worry about inflation leading to monetary tightening policies and slower economic growth across the global emerging markets. Despite the broad group's decline, Latin America performed well, while all major Asian markets fell during the period.
Aggressive Equity Portfolio
For the six-month period ended June 30, 2008, Aggressive Equity Portfolio Class X shares produced a total return of – 6.52% outperforming the Russell 3000® Growth Index1, which returned – 9.04%. For the same period, the Portfolio's Class Y shares returned – 6.63%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The Portfolio's outperformance of the Russell 3000® Growth Index was attributable to both stock selection decisions and the resulting sector allocations.
Stock selection and an underweight allocation in the health care sector had the largest positive effect on relative returns for the six-month period. Here, the main areas of strength were holdings in medical systems stocks and drugs and pharmaceuticals stocks. An avoidance of weak-performing health care management
1 The Russell 3000® Growth Index measures the performance of those companies in the Russell 3000® Index with higher price-to-book ratios and higher forecasted growth values. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2008 continued
services stocks also benefited returns. Further contributing to positive relative performance were stock selection and an overweight allocation in the other energy sector, with the strong returns solely due to two large holdings in the Portfolio. Within the materials and processing sector, the Portfolio held a large position in a leading agriculture chemicals and seed company which added to relative return, as did an overweight allocation in the sector overall.
Elsewhere, the Portfolio had a few positions with disappointing results over the six-month period. The main detractors from relative performance were stock selection and an overweight allocation in the consumer discretionary sector, with weakness in commercial services, consumer electronics, and retail holdings. Stock selection and an underweight position in the technology sector also diminished relative gains, primarily due to selection in communications technology stocks. Although an overweight allocation in the utilities sector was advantageous, the positive contribution was more than offset by unfavorable stock selection in a single telecommunications company.
At the end of the period, consumer discretionary represented the largest sector weight in the Portfolio, followed by the materials and processing sector and the technology sector. Relative to the Russell 3000® Growth Index, the Portfolio held overweights in the consumer discretionary and materials and processing sectors, and an underweight in the technology sector.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Capital Opportunities (formerly Equity) Portfolio
For the six-month period ended June 30, 2008, Capital Opportunities (formerly Equity) Portfolio Class X shares produced a total return of – 6.23% outperforming the Russell 3000® Growth Index2, which returned – 9.04%. For the same period, the Portfolio's Class Y shares returned – 6.35%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
2 The Russell 3000® Growth Index measures the performance of those companies in the Russell 3000® Index with higher price-to-book ratios and higher forecasted growth values. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2008 continued
The Portfolio's outperformance relative to the Russell 3000® Growth Index was attributable to both stock selection decisions and the resulting sector allocations.
Stock selection and an underweight allocation in the health care sector had the largest positive effect on relative returns for the six-month period. Here, the main areas of strength were holdings in medical systems stocks and drugs and pharmaceuticals stocks. An avoidance of weak-performing health care management services stocks also benefited returns. Further contributing to positive relative performance were stock selection and an overweight allocation in the other energy sector, with the strong returns solely due to two large holdings in the Portfolio. Within the materials and processing sector, the Portfolio held a large position in a leading agriculture chemicals and seed company which added to relative return, as did an overweight allocation in the sector overall.
Elsewhere, the Portfolio had a few positions with disappointing results over the six-month period. The main detractors from relative performance were stock selection and an overweight allocation in the consumer discretionary sector, with weakness in commercial services, consumer electronics, and retail holdings. Stock selection and an underweight position in the technology sector also diminished relative gains, primarily due to selection in communications technology stocks. Although an overweight allocation in the utilities sector was advantageous, the positive contribution was more than offset by unfavorable stock selection in a single telecommunications company.
At the end of the period, consumer discretionary represented the largest sector weight in the Portfolio, followed by the materials and processing sector and the technology sector. Relative to the Russell 3000® Growth Index, the Portfolio held overweights in the consumer discretionary and materials and processing sectors, and an underweight in the technology sector.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Dividend Growth Portfolio
For the six-month period ended June 30, 2008, Dividend Growth Portfolio Class X shares produced a total return of – 11.43% outperforming the S&P 500®3, which returned – 11.91%. For the same period, the Portfolio's Class Y shares returned – 11.51%. Past performance is no guarantee of future results.
3 The Standard & Poor's 500® Index (S&P 500®) is a broad-based index, the performance of which is based on the performance of 500 widely-held common stocks chosen for market size, liquidity and industry group representation. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2008 continued
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The main contributors to relative performance were in the energy, health care, and utilities sectors. Soaring energy prices led to stronger-than-expected earnings for the energy holdings in the Portfolio. In addition, overweight positions in the energy and technology sectors further added value to the Portfolio's relative performance.
The main detractors from relative performance were in the financial services sector. Although the Portfolio benefited from a relative underweight in the financial services sector, holdings in companies that lowered their earnings growth projections for 2008 were the primary sources of weakness within the sector. The Portfolio was also negatively affected by unfavorable stock selection in the consumer staples sector.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
European Equity Portfolio
For the six-month period ended June 30, 2008, European Equity Portfolio Class X shares produced a total return of – 13.54% underperforming the MSCI Europe Index4, which returned – 12.41%. For the same period, the Portfolio's Class Y shares returned – 13.62%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The majority of the Portfolio's underperformance relative to the MSCI Europe Index occurred in the first quarter of 2008, mostly in January, as the European market had one of its worst starts in recent history. Although the market stabilized somewhat in April and May — and the Portfolio advanced strongly relative to the Index in the second quarter — June was another difficult month, marked by volatility and declining performance amid renewed concerns about the sagging economy and speculation that the European Central Bank may raise interest rates.
4 The Morgan Stanley Capital International (MSCI) Europe Index is a free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe. The term "free float" represents the portion of shares outstanding that are deemed to be available for purchase in the public equity markets by investors. The performance of the Index is listed in U.S. dollars and assumes reinvestment of net dividends. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2008 continued
As expected with our fundamental, bottom-up investment approach, performance relative to the MSCI Europe Index was driven largely by stock selection. On a sector basis, the Portfolio had positive contributions from the financials and consumer staples sectors, in which underweight positions in certain banks and diversified financials, together with a food, beverage and tobacco holding all benefited relative performance. An underweight allocation in the information technology sector also added to relative return. In terms of country level performance, stock selection in the U.K., Italy and Belgium bolstered relative gains, as did an underweight allocation in Finland.
However, other investments detracted from relative performance. Stock selection in the industrials sector, especially exposure to selected capital goods and automobile stocks, had a negative effect on relative results. Further dampening relative performance were stock selection and an underweight position in the materials sector. Here, the Portfolio had less exposure to a steel stock that was one of the only stocks with a positive return in the MSCI Europe Index during the period under review. Within countries, stock selection in Germany and France were areas of weakness, and both stock selection and an overweight allocation in Greece cost the Portfolio relative performance.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Global Advantage Portfolio
For the six-month period ended June 30, 2008, Global Advantage Portfolio Class X shares produced a total return of – 17.28% underperforming the MSCI World Index5, which returned – 10.57%. For the same period, the Portfolio's Class Y shares returned – 17.43%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The Portfolio is constructed in a bottom-up fashion, in which the portfolio management team selects companies which they believe have the potential to deliver long-term outperformance. While the Portfolio's country and sector allocations are simply a consequence of where the team finds attractive opportunities, differences in country and sector allocations versus the MSCI World Index can have a notable impact on the
5 The Morgan Stanley Capital International (MSCI) World Index is a free float-adjusted market capitalization index that is designed to measure global developed market equity performance. The term "free float" represents the portion of shares outstanding that are deemed to be available for purchase in the public equity markets by investors. The performance of the Index is listed in U.S. dollars and assumes the reinvestment of net dividends. The MSCI World Index consists of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The Index is unmanaged and its returns do not include any sales charges or fees . Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2008 continued
Portfolio's short-term performance relative to its benchmark. That was certainly the case during the period under review, in which the Portfolio's sector allocations were particularly detrimental to relative returns. In particular, the Portfolio's underweight positions in the energy and materials sectors were significant drivers of relative underperformance, as these sectors were the two best performing groups in the MSCI World Index during the period. This weakness was partially offset by an underweight position in the financials sector, which helped dampen the negative influence of the sector's slide. At a country level, the negative influences of overweight allocations in Hong Kong and Greece overwhelmed the positive contribution of an overweight position in Mexico.
Security selection within sectors and countries was also hurtful to relative performance. Although selections in the health care and telecommunication services sectors were beneficial, the lost value from security selection in the financials and consumer staples sectors weighed on relative performance. From a country perspective, stock selections in Canada, Singapore and Australia were unfavorable to relative performance, despite modestly helpful selection in Greece.
Additionally, several other factors contributed to performance relative to the MSCI World Index during the period. Given that the Portfolio has typically owned a considerable proportion of small- and mid-cap stocks, the Portfolio was hurt by the underperformance of those segments relative to large-cap stocks during the period. However, the Portfolio received a boost from its emerging markets exposure, as emerging markets outpaced developed markets during the period. In contrast, the MSCI World Index does not include representation from emerging markets stocks and therefore did not receive the same benefit. Finally, the stronger performance of growth stocks relative to value stocks was additive in that most stocks in the Portfolio are characterized as growth stocks.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Global Dividend Growth Portfolio
For the six-month period ended June 30, 2008, Global Dividend Growth Portfolio Class X shares produced a total return of – 15.14% underperforming the MSCI World Index6, which returned – 10.57%. For the same period, the Portfolio's Class Y shares returned – 15.24%. Past performance is no guarantee of future results.
6 The Morgan Stanley Capital International (MSCI) World Index is a free float-adjusted market capitalization index that is designed to measure global developed market equity performance. The term "free float" represents the portion of shares outstanding that are deemed to be available for purchase in the public equity markets by investors. The performance of the Index is listed in U.S. dollars and assumes the reinvestment of net dividends. The MSCI World Index consists of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The Index is unmanaged and its returns do not include any sales charges or fees . Such costs would lower performance. It is not possible to invest directly in an index.
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Morgan Stanley Variable Investment Series
Letter to the Shareholders n June 30, 2008 continued
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
In a difficult environment, the Portfolio underperformed the MSCI World Index for the six-month period ending June 30, 2008, particularly within the financials, health care and materials sectors. Although an underweight position in the financials sector was beneficial to relative performance, returns were hampered by investments in banks and diversified financials stocks. These groups suffered from the deteriorating outlook for the U.S. housing market that impacted credit markets. We had underestimated the degree to which capital market companies had accumulated subprime mortgage-related exposure on their balance sheets, rather than securitizing the loans, and the resulting writedowns had a significant effect on these companies' stock prices.
Stock selection in the health care sector had a negative impact on relative performance, mainly within the pharmaceutical industry. The sector has experienced continuing pressures from aggressive generic production, new drug failures and an increasingly conservative regulatory environment. We repositioned the Portfolio during the period to favor companies with a stronger fundamental outlook and more diversified business models.
In addition, the Portfolio's positioning within the industrials and materials sectors was a detractor from performance. These stocks were the primary beneficiaries of the commodity boom and as such, performed strongly over the period. But the Portfolio's exposure to industrials and material stocks remained limited, based on our valuation criteria, and this hampered relative returns. We have further reduced the Portfolio's exposure to both sectors by taking profits out of some investments that we believed had become overvalued.
In contrast, the Portfolio added relative value in the information technology (IT), telecommunication services and energy sectors. In IT, gains came from strong stock selection within technology hardware and equipment services and an overall underweight position in the sector. In the telecom services sector, holdings were well diversified between North America, Europe and Asia, and stock selection here was a positive contributor to performance, particularly in Asia. Finally, security selection within energy stocks boosted relative gains, as the group continued to be a strong performer for both the MSCI World Index and the Portfolio.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
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Letter to the Shareholders n June 30, 2008 continued
High Yield Portfolio
For the six-month period ended June 30, 2008, High Yield Portfolio Class X shares produced a total return of – 1.42% underperforming the Lehman Brothers U.S. Corporate High Yield – 2% Issuer Cap Index7, which returned – 1.08%. For the same period, the Portfolio's Class Y shares returned – 1.51%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
Holdings in mortgage-backed securities (MBS) detracted from the Portfolio's performance during the period. Although MBS rebounded somewhat in the second quarter of the year, the sector's performance declined for the overall period. Given that the Lehman Brothers U.S. Corporate High Yield – 2% Issuer Cap Index does not contain MBS, the Portfolio's holdings in these securities were the primary contributor to its relative underperformance.
We positioned the Portfolio defensively in terms of its credit quality profile during the six-month review period. In the risk-averse environment that persisted throughout much of the period, investors generally favored higher-quality issues, causing the higher-rated segment of the market to outperform the lower-rated segment. As such, our greater relative emphasis on higher-quality securities enhanced returns.
The Portfolio maintained an overweight relative to the Lehman Brothers U.S. Corporate High Yield – 2% Issuer Cap Index in the health care sector, which was additive to returns as the sector performed well during the period. Additionally, the Portfolio held no investments in the airline sector, which was beneficial as the sector struggled amid rising fuel prices.
We continued to seek to maintain a balanced and well-diversified portfolio, while allowing for strategic overweights in securities and sectors with the most attractive risk profiles. In terms of issuer size, we focused on larger companies because of their financial flexibility, their ability to withstand less favorable financial conditions, and their superior access to capital markets. As of the end of the period, the Portfolio's major sector overweights included health care, energy, and chemicals. Key sector underweights included technology, buildings products/home builders, and manufacturing.
7 The Lehman Brothers U.S. Corporate High Yield – 2% Issuer Cap Index is the 2% Issuer Cap component of the Lehman Brothers U.S. Corporate High Yield Index which covers the U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market. Securities are classified as high-yield if the middle rating of Moody's, Fitch, and S&P is Ba1/BB+/BB+ or below. The Index excludes Emerging Markets debt. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2008 continued
Although credit spreads narrowed somewhat during the quarter, they still remain much wider than long-term averages. As such, we are seeking opportunities to increase the Portfolio's risk profile to a more neutral, rather than defensive, stance.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Income Builder Portfolio
For the six-month period ended June 30, 2008, Income Builder Portfolio Class X shares produced a total return of – 8.97% outperforming the Russell 1000® Value Index8, which returned – 13.57% and underperforming the Lehman Brothers U.S. Government/Credit Index9, which returned 0.98%. For the same period, the Portfolio' s Class Y shares returned – 8.98%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The financials sector, in which the Portfolio was well positioned, was a key area of outperformance for the Portfolio relative to the Russell 1000® Value Index. Although the sector lost value on an absolute basis, holdings in insurance stocks declined less than those in the Russell 1000® Value Index. Further, the Portfolio had lower exposure to banks and regional banks, which were some of the worst performing segments in the financials sector. The consumer staples sector also added to relative results, due to stock selection and the resulting overweight allocation in the sector. In particular, a large holding in a fo od and staples retailer performed well because the retailer effectively positioned itself for an economic downturn and saw an increase in consumers shopping at its stores. Finally, the technology sector was the third strongest contributor to relative performance. Within the sector, stock selection was particularly beneficial, as the Portfolio held an internet company that rallied following an announcement of a potential acquisition bid and a software and services company that began to turn around after lagging for some time.
However, the Portfolio did not fare so well in other areas. An underweight allocation in the energy sector hampered relative performance. As energy continued to be the top performing sector in the Russell 1000® Value Index, the Portfolio's minimal exposure produced proportionately less gain than that of the Index.
8 The Russell 1000® Value Index measures the performance of those companies in the Russell 1000® Index with lower price-to-book ratios and lower forecasted growth values. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
9 The Lehman Brothers U.S. Government/Credit Index tracks the performance of government and corporate obligations, including U.S. government agency and Treasury securities and corporate and Yankee bonds. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2008 continued
Stock selection in the industrials sector was disadvantageous due to the poor performance of an electrical engineering company that announced a large writedown early in 2008. In the materials sector, the Portfolio's lack of exposure to the strong performing metals and mining industry held back relative performance.
In the fixed income portion of the Portfolio, the primary detractor from performance was an allocation to non-agency mortgage securities, a group of securities not represented in the Lehman Brothers U.S. Government/Credit Index. These securities in the Portfolio are CMOs (collateralized mortgage obligations) backed by pools of option adjustable-rate mortgages (ARMs), also known as MTA (moving treasury average) floaters, made primarily to Alt-A borrowers — those who have relatively strong credit but are not considered "prime" borrowers. Unfortunately, as a result of defaults in the subprime market, spreads on all residential and commercial mortgage-backed products widened during the period, hindering performance.
The Portfolio's yield-curve positioning, however, was beneficial to performance. We underweighted longer-dated issues and overweighted intermediate-dated issues through the use of interest rate swaps. This strategy helped enhance returns as the spread between intermediate- and long-dated yields widened in the first quarter of the year. Additionally, an underweight position in investment-grade corporate bonds was beneficial given the corporate sector's underperformance amid ongoing writedowns by many financial institutions during the period. This corporate bond positioning led to an overweight allocation to Treasury securities, which was also beneficial given the flight to quality that persisted throughout much of the period.
Within the Portfolio's convertible securities allocation, consumer staples, metals, and technology securities added to performance. On the other hand, auto-related convertibles detracted from performance.
At the end of the period, the Portfolio held 57.9% in stocks, 33.4% in fixed income, and 6.6% in convertible securities.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Income Plus Portfolio
For the six-month period ended June 30, 2008, Income Plus Portfolio Class X shares produced a total return of – 2.37% underperforming the Lehman Brothers U.S. Corporate Index10, which returned – 0.84%. For the same period, the Portfolio's Class Y shares returned – 2.45%. Past performance is no guarantee of future results.
10 The Lehman Brothers U.S. Corporate Index covers U.S. dollar-denominated, investment-grade, fixed rate, taxable securities sold by industrial, utility and financial issuers. It includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity and quality requirements. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Letter to the Shareholders n June 30, 2008 continued
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The Portfolio's allocations to mortgage-backed securities (MBS), commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS), none of which are included in the Lehman Brothers U.S. Corporate Index, detracted from performance during the period as these sectors continued to suffer from the spillover effects of the subprime mortgage crisis.
With regard to corporate bond holdings, the Portfolio was underweighted relative to the Lehman Brothers U.S. Corporate Index in investment-grade securities. This positioning was beneficial as the investment-grade sector continued to struggle amid ongoing writedowns by many financial institutions during the period. However, this was slightly offset by a small allocation to high-yield corporate bonds. The flight to quality that took place throughout much of the period led higher-yielding, lower-rated issues to underperform higher-rated issues. The Lehman Brothers U.S. Corporate Index does not include high-yield securities and therefore, the Portfolio's position in the sector slightly dampened relative returns.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Limited Duration Portfolio
For the six-month period ended June 30, 2008, Limited Duration Portfolio Class X shares produced a total return of – 8.22% underperforming the Lehman Brothers U.S. Credit Index (1-5 Year)11, which returned 1.13%. For the same period, the Portfolio's Class Y shares returned – 8.42%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The primary detractors from the Portfolio's performance were positions in non-agency mortgage securities, which are not included in the Lehman Brothers U.S. Credit Index (1-5 Year), and asset-backed securities (ABS), which were overweighted relative to the Index. The Portfolio's non-agency mortgage securities are CMOs (collateralized mortgage obligations) backed by pools of option adjustable-rate mortgages (ARMs), also
11 The Lehman Brothers U.S. Credit Index (1-5 Year) includes U.S. corporate and specified foreign debentures and secured notes with maturities of one to five years. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
13
Morgan Stanley Variable Investment Series
Letter to the Shareholders n June 30, 2008 continued
known as MTA (moving treasury average) floaters, made primarily to Alt-A borrowers — those who have relatively strong credit but are not considered "prime" borrowers. The majority of the Portfolio's holdings in ABS are concentrated in high-quality AAA-rated securities. Unfortunately, as a result of defaults in the subprime market, spreads on all residential and commercial mortgage-backed products as well as ABS widened during the period, hindering performance.
The Portfolio's holdings in corporate bonds, particularly an overweight in the financial sector, also held back returns as ongoing writedowns by many financial institutions caused credit spreads to widen. The Portfolio's yield-curve positioning, however, was modestly additive to performance. We positioned the Portfolio to benefit from a steepening of the yield curve, which materialized early in the period as short terms yields declined dramatically in response to interest rate reductions by the Federal Reserve.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Money Market Portfolio
An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although money market funds seek to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in such funds.
As of June 30, 2008, the Money Market Portfolio had net assets of more than $216 million with an average portfolio maturity of 55 days. For the seven-day period ended June 30, 2008, the Portfolio's Class X shares provided an effective annualized yield of 2.29% and a current yield of 2.27%, while its 30-day moving average yield for June was 2.31%. For the six-month period ended June 30, 2008, the Portfolio's Class X shares returned 1.57%. Past performance is no guarantee of future results.
For the seven-day period ended June 30, 2008, the Portfolio's Class Y shares provided an effective annualized yield of 2.05% and a current yield of 2.03%, while its 30-day moving average yield for June was 2.06%. For the six-month period ended June 30, 2008, the Portfolio's Class Y shares returned 1.45%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
Throughout the reporting period, the Portfolio continued to seek high liquidity and preservation of capital while generating a yield reflecting prevailing money market conditions. To do this, the management team
14
Morgan Stanley Variable Investment Series
Letter to the Shareholders n June 30, 2008 continued
continued its long-standing policy of purchasing only high quality, liquid, money market securities. Reflecting this conservative approach, the Portfolio did not contain any derivative securities during the reporting period.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
S&P 500 Index Portfolio
For the six-month period ended June 30, 2008, S&P 500 Index Portfolio Class X shares produced a total return of – 11.95% underperforming the S&P 500®12, which returned – 11.91%. For the same period, the Portfolio's Class Y shares returned – 12.05%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
As market turmoil continued, eight out of ten sectors in the S&P 500® (the "Index"), and therefore the Portfolio, had negative returns in the first six months of 2008. Particularly hard hit were the financials and telecommunications services sectors, as well as industrials, consumer discretionary and information technology. The credit crunch and ongoing downgrades of financial companies continued to impact the financial sector, where the full extent of losses is still unclear. At the same time, higher unemployment and declining consumer confidence with no sign of stabilization in the U.S. housing market led to the negative perf ormance of consumer-oriented stocks.
However, high commodity prices provided a boost for materials. The energy sector benefited from this trend as well, as the demand for energy resources propelled the price of oil to $140 per barrel as of June 30.
Since the Index and the Portfolio are market capitalization weighted, the overall contribution of each sector depends on its relative size within the Index and the Portfolio. As such, energy, as one of the largest sectors, contributed the most to the Portfolio's return, while financials and information technology were the largest detractors.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
12 The Standard & Poor's 500® Index (S&P 500®) is a broad-based index, the performance of which is based on the performance of 500 widely-held common stocks chosen for market size, liquidity and industry group representation. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
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Morgan Stanley Variable Investment Series
Letter to the Shareholders n June 30, 2008 continued
Strategist Portfolio
For the six-month period ended June 30, 2008, Strategist Portfolio Class X shares produced a total return of – 7.20% outperforming the S&P 500®13, which returned – 11.91% and underperforming the Lehman Brothers U.S. Government/Credi t Index14, which returned 0.98%. For further comparison, the median Lipper Variable Flexible Portfolio Index total return was – 5.76% and U.S. Treasury bills returned 2.44%. For the same period, the Portfolio's Class Y shares returned – 7.33%. Past performance is no guarantee of future results.
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The Portfolio's flexible investment approach allows for investment across stocks, bonds, cash and other investment classes. To determine the specific allocation among asset classes throughout the period, we evaluate a comprehensive array of quantitative and qualitative factors. The quantitative analysis comprises an extensive "top-down" asset class review of many macroeconomic variables, with primary focus on three core factors: monetary policy and its impact on liquidity, inflation trends and corporate profitability. A second, more qualitative process then broadens the analysis to determine which individual sectors and industries would offer the best opportunities, in our view, given the macroeconomic climate. Individual holdings are then selected to provide desired exposure to asset classes and sectors.
Based on our process output, a consistent target allocation was maintained throughout the six-month period under review. Approximately 60% of assets were allocated to equities (a slightly higher weight than the average balanced fund) while 20% of assets were allocated to long-term credit markets (a significantly lower allocation than the average balanced fund). The balance (20%) of assets remained in short-term credits and cash-equivalent investments. This target allocation has remained unchanged since May 2006.
In general terms, the first six months of 2008 produced losses for equity investors and positive returns for fixed-income and cash investors. The combined impact of falling residential property values (and their subsequent impact on the financial services industry) and rising commodity prices (highlighted by the sharp run-up in oil prices) created significant market volatility and uncertainty for investors in both the U.S. and abroad. The trends that appear to be driving investor behavior have for the most part provided little relief, as both lower housing values and higher commodity prices led to reduced expectations for corporate
13 The Standard & Poor's 500® Index (S&P 500®) is a broad-based index, the performance of which is based on the performance of 500 widely-held common stocks chosen for market size, liquidity and industry group representation. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
14 The Lehman Brothers U.S. Government/Credit Index tracks the performance of government and corporate obligations, including U.S. government agency and Treasury securities and corporate and Yankee bonds. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
16
Morgan Stanley Variable Investment Series
Letter to the Shareholders n June 30, 2008 continued
profitability, tighter credit and lending conditions, and an unwillingness to take risk in most asset classes around the globe. Although U.S. gross domestic product (GDP) continues to track in positive territory and employment has held up better than forecasters' expectations for the first six months of 2008, investors appear more eager to discount potentially worse news than the potential for stabilization or recovery.
Although this year's volatility has been alarming, our expectations for an economic slowdown tied to declines in residential property values have been met. The sharp escalation of energy and agricultural commodity prices in light of a global macroeconomic slowdown was unanticipated, but appears to us to have limited long-term staying power. Evidence is clearly pointing to reduced demand for a number of commodities, which moved most dramatically in this last wave of inflationary pressures. We have, therefore, maintained the Portfolio's asset allocation stance and believe that future trends should prove supportive of our macroeconomic views.
At June month-end, the Portfolio's largest equity sector exposures included information technology, health care, consumer staples and consumer cyclicals. Relative to the equity index (S&P 500®), the Portfolio's greatest overweights included materials, telecommunication services and information technology, while its most significant underweights included energy, financial services and industrials.
The fixed income component of the Portfolio underperformed the Lehman U.S. Government/Credit Index due to above-average exposure to the mortgage markets and lower exposure to U.S. government bonds. At period end, the Portfolio held just over half of its fixed income assets in short-term debt and approximately a quarter of its assets in corporate credits. The balance of the fixed income portion of the Portfolio was comprised of mortgage securities and long-dated government-issued bonds.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
Utilities Portfolio
For the six-month period ended June 30, 2008, Utilities Portfolio Class X shares produced a total return of – 4.51% underperforming the S&P 500® Utilities Index15, which returned – 2.76% and outperformed the S&P 50016, which returned – 11.91%. For the same period, the Portfolio's Class Y shares returned – 4.63%. Past performance is no guarantee of future results.
15 The Standard & Poor's 500® Utilities Index (S&P 500® Utilities Index) is an unmanaged, market capitalization weighted index consisting of utilities companies in the S&P 500® Index and is designed to measure the performance of the utilities sector. It includes reinvested dividends. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
16 The Standard & Poor's 500® Index (S&P 500®) is a broad-based index, the performance of which is based on the performance of 500 widely-held common stocks chosen for market size, liquidity and industry group representation. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.
17
Morgan Stanley Variable Investment Series
Letter to the Shareholders n June 30, 2008 continued
The performance of the Portfolio's two share classes varies because each has different expenses. The Portfolio's total returns assume the reinvestment of all distributions but do not reflect the deduction of any charges by your insurance company. Such costs would lower performance.
The primary driver of the Portfolio's performance relative to the S&P 500® Utilities Index was its out-of-benchmark holdings in the telecommunications sector. The sector's returns were dragged down by poor results at several wireless companies, some of which carried high debt loads. While the Portfolio's stock selection was relatively strong in the sector due to its avoidance of these troubled companies, its exposure to telecommunications in general suffered from generally negative investor sentiment toward the sector.
Stock selection was weaker in the electric utilities sector, where we focused on more conservative and highly regulated companies. During the period, investors preferred companies with greater pricing power from either nuclear generation capabilities or other means, leading these more aggressive names to outperform. The Portfolio also had modest emerging markets exposure, which underperformed during the period.
Other positions were more positive for performance. The Portfolio was overweight in gas utilities, with an emphasis on storage and pipeline companies. Both the overweight and stock selection added to relative returns. The Portfolio also benefited from a modest overweight position in independent power producers, which were boosted by an increase in pricing in tandem with rising prices for natural gas.
There is no guarantee that any sectors mentioned will continue to perform as discussed above or that securities in such sectors will be held by the Portfolio in the future.
The Portfolios discussed in this report are only available through the purchase of a variable insurance product.
We appreciate your ongoing support of Morgan Stanley Variable Investment Series and look forward to continuing to serve your investment needs.
Very truly yours,
Ronald E. Robison
President and Principal Executive Officer
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Morgan Stanley Variable Investment Series
Letter to the Shareholders n June 30, 2008 continued
Proxy Voting Policy and Procedures and Proxy Voting Record
You may obtain a copy of the Portfolios' Proxy Voting Policy and Procedures without charge, upon request, by calling toll free (800) 869-NEWS or by visiting the Mutual Fund Center on our Web site at www.morganstanley.com. It is also available on the Securities and Exchange Commission's Web site at http://www.sec.gov.
You may obtain information regarding how the Portfolios voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 without charge by visiting the Mutual Fund Center on our Web site at www.morganstanley.com. This information is also available on the Securities and Exchange Commission's Web site at http://www.sec.gov.
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 also files a complete schedule of portfolio holdings with the SEC for the fund's first and third fiscal quarters on Form N-Q. Morgan Stanley does not deliver the reports for the first and third fiscal quarters to shareholders, nor are the reports posted to the Morgan Stanley public web site. You may, however, obtain the Form N-Q filings (as well as the Form N-CSR and N-CSRS 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 20549-0102.
19
Morgan Stanley Variable Investment Series
Fund Performance n June 30, 2008
Average Annual Total Returns—Period Ended June 30, 2008(1) | |||||||||||||||||||||||
Class X | 1 Year | 5 Years | 10 Years | Since Inception | Date of Inception | ||||||||||||||||||
Aggressive Equity | 2.17 | % | 14.24 | % | N/A | 5.81 | % | 5/4/1999 | |||||||||||||||
Capital Opportunities | 2.25 | 11.72 | 5.26 | % | 11.75 | 3/9/1984 | |||||||||||||||||
Dividend Growth | (13.38 | ) | 6.14 | 2.21 | 8.00 | 3/1/1990 | |||||||||||||||||
European Equity | (11.32 | ) | 14.05 | 4.84 | 11.09 | 3/1/1991 | |||||||||||||||||
Global Advantage | (12.57 | ) | 10.37 | 1.37 | 1.21 | 5/18/1998 | |||||||||||||||||
Global Dividend Growth | (17.82 | ) | 10.31 | 5.33 | 7.89 | 2/23/1994 | |||||||||||||||||
High Yield | (0.71 | ) | 6.74 | (5.04 | ) | 3.65 | 3/9/1984 | ||||||||||||||||
Income Builder | (11.27 | ) | 7.23 | 4.37 | 6.10 | 1/21/1997 | |||||||||||||||||
Income Plus | 3.01 | 3.96 | 5.13 | 7.13 | 3/1/1987 | ||||||||||||||||||
Limited Duration | (7.65 | ) | 0.56 | N/A | 2.40 | 5/4/1999 | |||||||||||||||||
Money Market | 4.05 | 3.00 | 3.39 | 4.95 | 3/9/1984 | ||||||||||||||||||
S&P 500 Index | (13.24 | ) | 7.30 | 2.52 | 2.76 | 5/18/1998 | |||||||||||||||||
Strategist | (5.17 | ) | 9.55 | 6.23 | 8.93 | 3/1/1987 | |||||||||||||||||
Utilities | 2.28 | 15.23 | 5.29 | 9.06 | 3/1/1990 |
Past performance is not predictive of future returns. Investment return and principal value will fluctuate. When you sell fund shares, they may be worth less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Performance for Class X shares will vary from the Performance of Class Y shares due to differences in expenses.
(1) Figure assumes reinvestment of all distributions for the underlying Fund based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges.
20
Morgan Stanley Variable Investment Series
Fund Performance n June 30, 2008
Average Annual Total Returns—Period Ended June 30, 2008(1) | |||||||||||||||||||||||
Class Y | 1 Year | 5 Years | 10 Years | Since Inception | Date of Inception | ||||||||||||||||||
Aggressive Equity | 1.94 | % | 13.98 | % | N/A | 1.40 | % | 6/5/2000 | |||||||||||||||
Capital Opportunities | 1.97 | 11.44 | N/A | 0.27 | 6/5/2000 | ||||||||||||||||||
Dividend Growth | (13.57 | ) | 5.88 | N/A | 2.63 | 6/5/2000 | |||||||||||||||||
European Equity | (11.52 | ) | 13.78 | N/A | 2.40 | 6/5/2000 | |||||||||||||||||
Global Advantage | (12.93 | ) | 10.08 | N/A | (1.12 | ) | 6/5/2000 | ||||||||||||||||
Global Dividend Growth | (17.99 | ) | 10.05 | N/A | 4.63 | 6/5/2000 | |||||||||||||||||
High Yield | (0.93 | ) | 6.47 | N/A | (4.67 | ) | 6/5/2000 | ||||||||||||||||
Income Builder | (11.47 | ) | 6.97 | N/A | 4.65 | 6/5/2000 | |||||||||||||||||
Income Plus | 2.80 | 3.71 | N/A | 5.88 | 6/5/2000 | ||||||||||||||||||
Limited Duration | (7.87 | ) | 0.29 | N/A | 2.04 | 6/5/2000 | |||||||||||||||||
Money Market | 3.79 | 2.74 | N/A | 2.74 | 6/5/2000 | ||||||||||||||||||
S&P 500 Index | (13.41 | ) | 7.03 | N/A | (0.58 | ) | 6/5/2000 | ||||||||||||||||
Strategist | (5.37 | ) | 9.28 | N/A | 4.17 | 6/5/2000 | |||||||||||||||||
Utilities | 2.03 | 14.96 | N/A | 3.18 | 6/5/2000 |
Past performance is not predictive of future returns. Investment return and principal value will fluctuate. When you sell fund shares, they may be worth less than their original cost. The table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Performance for Class Y shares will vary from the Performance of Class X shares due to differences in expenses.
(1) Figure assumes reinvestment of all distributions for the underlying Fund based on net asset value (NAV). It does not reflect the deduction of insurance expenses, an annual contract maintenance fee, or surrender charges.
21
Morgan Stanley Variable Investment Series
Expense Example n June 30, 2008
As a shareholder of the Portfolio, you incur two types of costs: (1) insurance company charges; and (2) ongoing costs, including advisory fees; distribution and service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period 01/01/08 – 06/30/08.
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 accoun t 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 and do not reflect any insurance company charges. 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. In addition, if these insurance company charges were included, your costs would have been higher.
22
Morgan Stanley Variable Investment Series
Expense Example n June 30, 2008 continued
Money Market
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (1.57% return) | $ | 1,000.00 | $ | 1,015.70 | $ | 2.81 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,022.08 | $ | 2.82 | |||||||||
Class Y | |||||||||||||||
Actual (1.45% return) | $ | 1,000.00 | $ | 1,014.50 | $ | 4.06 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.84 | $ | 4.07 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.56% and 0.81% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Limited Duration
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-8.22% return) | $ | 1,000.00 | $ | 917.80 | $ | 2.24 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,022.53 | $ | 2.36 | |||||||||
Class Y | |||||||||||||||
Actual (-8.42% return) | $ | 1,000.00 | $ | 915.80 | $ | 3.43 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.28 | $ | 3.62 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.47% and 0.72% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). If the Portfolio had borne all its expenses, the annualized expense ratios would have been 0.48% and 0.73% for Class X and Class Y shares, respectively.
Income Plus
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-2.37% return) | $ | 1,000.00 | $ | 976.30 | $ | 2.70 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,022.13 | $ | 2.77 | |||||||||
Class Y | |||||||||||||||
Actual (-2.45% return) | $ | 1,000.00 | $ | 975.50 | $ | 3.93 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.89 | $ | 4.02 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.55% and 0.80% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
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Morgan Stanley Variable Investment Series
Expense Example n June 30, 2008 continued
High Yield
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/30/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-1.42% return) | $ | 1,000.00 | $ | 985.80 | $ | 8.20 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,016.61 | $ | 8.32 | |||||||||
Class Y | |||||||||||||||
Actual (-1.51% return) | $ | 1,000.00 | $ | 984.90 | $ | 9.43 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,015.37 | $ | 9.57 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 1.66% and 1.91% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Utilities
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-4.51% return) | $ | 1,000.00 | $ | 954.90 | $ | 3.40 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.38 | $ | 3.52 | |||||||||
Class Y | |||||||||||||||
Actual (-4.63% return) | $ | 1,000.00 | $ | 953.70 | $ | 4.61 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.14 | $ | 4.77 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.70% and 0.95% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Income Builder
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-8.97% return) | $ | 1,000.00 | $ | 910.30 | $ | 4.13 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.54 | $ | 4.37 | |||||||||
Class Y | |||||||||||||||
Actual (-8.98% return) | $ | 1,000.00 | $ | 910.20 | $ | 5.32 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.29 | $ | 5.62 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.87% and 1.12% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
24
Morgan Stanley Variable Investment Series
Expense Example n June 30, 2008 continued
Dividend Growth
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-11.43% return) | $ | 1,000.00 | $ | 885.70 | $ | 2.86 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,021.83 | $ | 3.07 | |||||||||
Class Y | |||||||||||||||
Actual (-11.51% return) | $ | 1,000.00 | $ | 884.90 | $ | 4.03 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.59 | $ | 4.32 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.61% and 0.86% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Global Dividend Growth
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-15.14% return) | $ | 1,000.00 | $ | 848.60 | $ | 3.86 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.69 | $ | 4.22 | |||||||||
Class Y | |||||||||||||||
Actual (-15.24% return) | $ | 1,000.00 | $ | 847.60 | $ | 5.01 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.44 | $ | 5.47 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.84% and 1.09% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
European Equity
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-13.54% return) | $ | 1,000.00 | $ | 864.60 | $ | 4.64 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.89 | $ | 5.02 | |||||||||
Class Y | |||||||||||||||
Actual (-13.62% return) | $ | 1,000.00 | $ | 863.80 | $ | 5.79 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,018.65 | $ | 6.27 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 1.00% and 1.25% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 1.06% and 1.31% for Class X and Class Y shares, respectively.
25
Morgan Stanley Variable Investment Series
Expense Example n June 30, 2008 continued
Capital Opportunities (formerly Equity)
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-6.23% return) | $ | 1,000.00 | $ | 937.70 | $ | 2.55 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,022.23 | $ | 2.66 | |||||||||
Class Y | |||||||||||||||
Actual (-6.35% return) | $ | 1,000.00 | $ | 936.50 | $ | 3.76 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.98 | $ | 3.92 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.53% and 0.78% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 0.54% and 0.79% for Class X and Class Y shares, respectively.
S&P 500 Index
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-11.95% return) | $ | 1,000.00 | $ | 880.50 | $ | 1.36 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,023.42 | $ | 1.46 | |||||||||
Class Y | |||||||||||||||
Actual (-12.05% return) | $ | 1,000.00 | $ | 879.50 | $ | 2.52 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,022.18 | $ | 2.72 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.29% and 0.54% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). If the Portfolio had borne all its expenses, the annualized expense ratios would have been 0.30% and 0.55% for Class X and Class Y, respectively.
Global Advantage
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-17.28% return) | $ | 1,000.00 | $ | 827.20 | $ | 4.23 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.24 | $ | 4.67 | |||||||||
Class Y | |||||||||||||||
Actual (-17.43% return) | $ | 1,000.00 | $ | 825.70 | $ | 5.36 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.00 | $ | 5.92 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.93% and 1.18% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
26
Morgan Stanley Variable Investment Series
Expense Example n June 30, 2008 continued
Aggressive Equity
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-6.52% return) | $ | 1,000.00 | $ | 934.80 | $ | 4.14 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.59 | $ | 4.32 | |||||||||
Class Y | |||||||||||||||
Actual (-6.63% return) | $ | 1,000.00 | $ | 933.70 | $ | 5.34 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,019.34 | $ | 5.57 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.86% and 1.11% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
Strategist
Beginning Account Value | Ending Account Value | Expenses Paid During Period@ | |||||||||||||
01/01/08 | 06/30/08 | 01/01/08 – 06/30/08 | |||||||||||||
Class X | |||||||||||||||
Actual (-7.20% return) | $ | 1,000.00 | $ | 928.00 | $ | 2.59 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,022.18 | $ | 2.72 | |||||||||
Class Y | |||||||||||||||
Actual (-7.33% return) | $ | 1,000.00 | $ | 926.70 | $ | 3.78 | |||||||||
Hypothetical (5% annual return before expenses) | $ | 1,000.00 | $ | 1,020.93 | $ | 3.97 |
@ Expenses are equal to the Portfolio's annualized expense ratios of 0.54% and 0.79% for Class X and Class Y shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). If the Portfolio had borne all of its expenses, the annualized expense ratios would have been 0.56% and 0.81% for Class X and Class Y shares, respectively.
27
Morgan Stanley Variable Investment Series
Investment Advisory Agreement Approval n June 30, 2008
Nature, Extent and Quality of Services
The Board reviewed and considered the nature and extent of the investment advisory services provided by the Investment Adviser under the Advisory Agreement, including portfolio management, investment research and fixed income securities trading. The Board reviewed similar information and factors regarding each Sub-Adviser, to the extent applicable. The Board also reviewed and considered the nature and extent of the non-advisory, administrative services provided by the Portfolios' Administrator under the Administration Agreement, including accounting, clerical, bookkeeping, compliance, business management and planning, and the provision of supplies, office space and utilities at the Investment Adviser's expense. (The Investment Adviser, the Sub-Advisers and the Administrator together are referred to as the "Adviser" and the Advisory and Administration Agreements together are referred to as the "Management Agreement.") The Board a lso compared the nature of the services provided by the Adviser with similar services provided by non-affiliated advisers as reported to the Board by Lipper Inc. ("Lipper").
The Board reviewed and considered the qualifications of the portfolio managers, the senior administrative managers and other key personnel of the Adviser who provide the advisory and administrative services to the Portfolios. The Board determined that the Adviser's portfolio managers and key personnel are well qualified by education and/or training and experience to perform the services in an efficient and professional manner. The Board concluded that the nature and extent of the advisory and administrative services provided were necessary and appropriate for the conduct of the business and investment activities of each Portfolio. The Board also concluded that the overall quality of the advisory and administrative services was satisfactory.
Performance Relative to Comparable Funds Managed by Other Advisers
On a regular basis, the Board reviews the performance of all funds in the Morgan Stanley Fund Complex, including the Portfolios, compared to their peers, paying specific attention to the underperforming funds. In addition, the Board specifically reviewed each Portfolio's performance for the one-, three- and five-year periods ended December 31, 2007, as shown in reports provided by Lipper (the "Lipper Reports"), compared to the performance of comparable funds selected by Lipper (the "performance peer group") for each Portfolio. The Board discussed with the Adviser the performance goals and the actual results achieved in managing each Portfolio. When a fund underperforms its performance peer group, the Board discusses with the Adviser the causes of the underperformance and, where necessary, specific changes to the fund's investment strategy or investment personnel.
With respect to the Strategist, Income Plus, European Equity, High Yield, Aggressive Equity, Capital Opportunities (formerly Equity), Global Dividend Growth and Global Advantage Portfolios, the Board concluded that each Portfolio's performance was competitive with that of its performance peer group.
With respect to the Income Builder and Global Dividend Growth Portfolios, the Board concluded that each Portfolio's performance was acceptable.
28
Morgan Stanley Variable Investment Series
Investment Advisory Agreement Approval n June 30, 2008 continued
With respect to the Money Market and S&P 500 Index Portfolios, the Board noted that the Adviser is evaluating various alternatives to improve performance, including portfolio manager changes/additions. The Board concluded that each Portfolio's performance was acceptable.
With respect to the Limited Duration and Dividend Growth Portfolios, the Board noted recent action taken with each Portfolio's investment personnel. With respect to the Utilities Portfolio, the Board noted that portfolio management will change on June 30, 2008. The Board concluded it would give the new portfolio management teams time to improve performance and would continue to monitor performance.
Fees Relative to Other Proprietary Funds Managed by the Adviser with Comparable Investment Strategies
The Board reviewed the advisory and administrative fee (together, the "management fee") rate paid by each Portfolio under the Management Agreement.
With respect to the Dividend Growth, Strategist, European Equity, Global Advantage, Utilities, S&P 500 Index, Aggressive Equity, Global Dividend Growth, High Yield, Income Plus, Limited Duration, Capital Opportunities (formerly Equity) and Money Market Portfolios, the Board noted that the management fee rates were comparable to the management fee rates charged by the Adviser to other proprietary funds it manages with investment strategies comparable to those of the Portfolios.
With respect to the Income Builder Portfolio, the Board noted that the Adviser did not manage any other funds with investment strategies comparable to those of the Portfolio.
Fees and Expenses Relative to Comparable Funds Managed by Other Advisers
The Board reviewed the management fee rate and total expense ratio of each Portfolio as compared to the average management fee rate and average total expense ratio for funds, selected by Lipper (the "expense peer group"), managed by other advisers with investment strategies comparable to those of the Portfolios, as shown in the Lipper Reports.
With respect to the Dividend Growth, Strategist, Global Dividend Growth, Global Advantage, Utilities, S&P 500 Index, Aggressive Equity, Capital Opportunities (formerly Equity), High Yield, Income Plus and Limited Duration Portfolios, the Board concluded that each Portfolio's management fee rate and total expense ratio were competitive with those of its expense peer group.
With respect to the Money Market, Income Builder and European Equity Portfolios, the Board concluded that the Portfolios' management fee rates were acceptable as the total expense ratios were competitive with their expense peer groups.
29
Morgan Stanley Variable Investment Series
Investment Advisory Agreement Approval n June 30, 2008 continued
Breakpoints and Economies of Scale
The Board reviewed the structure of each Portfolio's management fee schedule under the Management Agreement and noted that each Portfolio's management fee schedule, except the Limited Duration and Global Advantage Portfolios, includes one or more breakpoints. The Board also reviewed the level of each Portfolio's management fee and noted that each fee, as a percentage of the Portfolio's net assets, would decrease as net assets increase because each management fee includes one or more breakpoints. The Board concluded that each Portfolio's management fee would reflect economies of scale as assets increase.
With respect to the Limited Duration Portfolio, the Board noted that the management fee schedule does not include any breakpoints. The Board concluded that the Portfolio's management fee was sufficiently low that it did not need to consider adding breakpoints. With respect to the Global Advantage Portfolio, the Board noted that the management fee schedule does not include any breakpoints. The Board noted that the Portfolio's assets were relatively small. The Board concluded that it would be premature to consider economies of scale as a factor in approving the Management Agreement at the present time.
Profitability of the Adviser and Affiliates
The Board considered information concerning the costs incurred and profits realized by the Adviser and affiliates during the last year from their relationship with each Portfolio and during the last two years from their relationship with the Morgan Stanley Fund Complex and reviewed with the Adviser the cost allocation methodology used to determine the profitability of the Adviser and affiliates. Based on its review of the information it received, the Board concluded that the profits earned by the Adviser and affiliates were not excessive in light of the advisory, administrative and other services provided to the Portfolios.
Fall-Out Benefits
The Board considered so-called "fall-out benefits" derived by the Adviser and affiliates from their relationship with the Portfolios and the Morgan Stanley Fund Complex. The Board considered the "float" benefits derived from handling of checks for purchases and sales of Portfolio shares, through a broker-dealer affiliate of the Adviser. The Board also considered that, from time to time, the Adviser may, directly or indirectly, effect trades on behalf of certain Morgan Stanley Funds through various electronic communications networks or other alternative trading systems in which the Adviser's affiliates have ownership interests and/or board seats. The Board also considered that a broker-dealer affiliate of the Adviser receives from each Portfolio 12b-1 fees for distribution and shareholder services. The Board concluded that the fall-out benefits, including float benefits were relatively small and the 12b-1 fees were competitive wi th those of other broker-dealers.
30
Morgan Stanley Variable Investment Series
Investment Advisory Agreement Approval n June 30, 2008 continued
With respect to the Dividend Growth, Strategist, Income Builder, European Equity, Global Dividend Growth, Global Advantage, Utilities, S&P 500 Index, Aggressive Equity and Capital Opportunities (formerly Equity) Portfolios, the Board considered "soft dollar" benefits (discussed in the next section).
Soft Dollar Benefits
The Board considered whether the Adviser realizes any benefits as a result of brokerage transactions executed through "soft dollar" arrangements. Under such arrangements, brokerage commissions paid by the Portfolios and/or other funds managed by the Adviser would be used to pay for research that a securities broker obtains from third parties, or to pay for both research and execution services from securities brokers who effect transactions for the Portfolios.
With respect to the Dividend Growth, Strategist, Income Builder, European Equity, Global Dividend Growth, Global Advantage, Utilities, Aggressive Equity and Capital Opportunities (formerly Equity) Portfolios, the Board recognized that the receipt of such research from brokers may reduce the Adviser's costs but concluded that the receipt of such research strengthens the investment management resources of the Adviser, which may ultimately benefit the Portfolios and other funds in the Morgan Stanley Fund Complex.
With respect to the S&P 500 Index Portfolio, the Board recognized that the Portfolio's commissions are used to pay for execution services only.
With respect to the High Yield, Income Plus, Limited Duration and Money Market Portfolios, the Board noted that each Portfolio invests only in fixed income securities, which do not generate soft dollars.
Adviser Financially Sound and Financially Capable of Meeting the Portfolios' Needs
The Board considered whether the Adviser is financially sound and has the resources necessary to perform its obligations under the Management Agreement. The Board noted that the Adviser's operations remain profitable, although increased expense in recent years have reduced the Adviser's profitability. The Board concluded that the Adviser has the financial resources necessary to fulfill its obligations under the Management Agreement.
Historical Relationship Between the Portfolios and the Adviser
The Board also reviewed and considered the historical relationship between each Portfolio and the Adviser, including the organizational structure of the Adviser, the policies and procedures formulated and adopted by the Adviser for managing the Portfolios' operations and the Board's confidence in the competence and integrity of the senior managers and key personnel of the Adviser. The Board concluded that it is beneficial for each Portfolio to continue its relationship with the Adviser.
31
Morgan Stanley Variable Investment Series
Investment Advisory Agreement Approval n June 30, 2008 continued
Other Factors and Current Trends
The Board considered the controls and procedures adopted and implemented by the Adviser and monitored by the Fund's Chief Compliance Officer and concluded that the conduct of business by the Adviser indicates a good faith effort on its part to adhere to high ethical standards in the conduct of each Portfolio's business.
General Conclusion
After considering and weighing all of the above factors, the Board concluded that it would be in the best interest of each Portfolio and its shareholders to approve renewal of the Management Agreement for another year (or, in the case of the Sub-Advisory Agreement for the Utilities Portfolio, initially approved for a year).
32
Morgan Stanley Variable Investment Series - Money Market
Portfolio of Investments n June 30, 2008 (unaudited)
PRINCIPAL AMOUNT IN THOUSANDS | ANNUALIZED YIELD ON DATE OF PURCHASE | MATURITY DATE | VALUE | ||||||||||||||||
Commercial Paper (44.5%) | |||||||||||||||||||
Asset-Backed - Auto (1.0%) | |||||||||||||||||||
$ | 2,000 | New Center Asset Trust | 3.37 | % | 07/31/08 | $ | 1,994,400 | ||||||||||||
Asset-Backed - Consumer (5.7%) | |||||||||||||||||||
3,000 | Barton Capital LLC* | 2.80 | 07/03/08 | 2,999,533 | |||||||||||||||
2,000 | Cafco LLC* | 2.71 | 08/15/08 | 1,993,275 | |||||||||||||||
1,350 | CRC Funding LLC.* | 2.61 | 07/30/08 | 1,347,173 | |||||||||||||||
1,000 | Old Line Funding LLC* | 2.63 | 07/23/08 | 998,399 | |||||||||||||||
5,000 | Park Avenue Rec Co LLC* | 2.70 | 07/02/08 | 4,999,625 | |||||||||||||||
12,338,005 | |||||||||||||||||||
Asset-Backed - Corporate (2.3%) | |||||||||||||||||||
5,000 | Tulip Funding Corp* | 2.86 | 07/28/08 | 4,989,313 | |||||||||||||||
Asset-Backed - Diversified (6.0%) | |||||||||||||||||||
8,000 | Alpine Securitization* | 2.83 | 07/08/08 | 7,995,598 | |||||||||||||||
5,000 | Falcon Asset Securitization Co., LLC* | 2.85 | 07/01/08 | 5,000,000 | |||||||||||||||
12,995,598 | |||||||||||||||||||
Asset-Backed - Securities (1.8%) | |||||||||||||||||||
3,000 | Cancara Asset Securitisation LTD & Cancara Asset* | 3.07 - 3.09 | 07/24/08 - 08/29/08 | 2,988,074 | |||||||||||||||
1,000 | Solitaire Funding LLC* | 2.88 | 09/30/08 | 992,796 | |||||||||||||||
3,980,870 | |||||||||||||||||||
Banking (8.7%) | |||||||||||||||||||
7,000 | Bank of America Corp | 2.85 - 2.90 | 10/22/08 - 10/23/08 | 6,937,312 | |||||||||||||||
10,000 | Citigroup Funding Inc. | 2.83 - 3.02 | 08/04/08 - 08/18/08 | 9,964,360 | |||||||||||||||
2,000 | HSBC USA Inc. | 2.65 | 07/07/08 | 1,999,124 | |||||||||||||||
18,900,796 | |||||||||||||||||||
Finance-Auto (1.0%) | |||||||||||||||||||
2,000 | Toyota Motor Credit Corp. | 2.79 | 10/22/08 | 1,982,736 | |||||||||||||||
Financial Conglomerates (3.4%) | |||||||||||||||||||
7,500 | General Electric Capital Corp. | 2.50 - 4.08 | 07/07/08 - 12/08/08 | 7,450,863 | |||||||||||||||
International Banks (14.6%) | |||||||||||||||||||
4,000 | Bank of Ireland* | 2.78 | 09/29/08 | 3,972,500 | |||||||||||||||
2,000 | Barclays U.S. Funding LLC | 2.83 - 3.05 | 07/16/08 - 08/27/08 | 1,994,071 | |||||||||||||||
2,000 | CBA Delaware Finance Inc. | 2.73 | 07/09/08 | 1,998,796 | |||||||||||||||
3,000 | DnB Norway Bank ASA* | 2.75 | 08/05/08 | 2,992,067 | |||||||||||||||
1,000 | Natexis Banques POP US | 2.94 | 11/03/08 | 989,931 | |||||||||||||||
7,500 | Royal Bank of Scotland GP* | 2.88 - 4.57 | 07/02/08 - 11/14/08 | 7,449,619 |
See Notes to Financial Statements
33
Morgan Stanley Variable Investment Series - Money Market
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | ANNUALIZED YIELD ON DATE OF PURCHASE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 5,500 | Societe General N.A., Inc. | 3.05 - 4.58 | % | 07/02/08 - 09/30/08 | $ | 5,479,867 | ||||||||||||
4,500 | Swedbank Mortgage AB | 3.05 - 3.08 | 07/29/08 - 11/14/08 | 4,466,225 | |||||||||||||||
2,325 | UBS Finance (Delaware) LLC | 3.23 - 4.08 | 07/10/08 - 07/18/08 | 2,321,670 | |||||||||||||||
31,664,746 | |||||||||||||||||||
Total Commercial Paper (Cost $96,297,327) | 96,297,327 | ||||||||||||||||||
Certificate of Deposit (34.7%) | |||||||||||||||||||
Domestic Banks (3.7%) | |||||||||||||||||||
2,500 | Bank of the West | 2.85 | 07/29/08 | 2,500,000 | |||||||||||||||
3,500 | Branch BKG & Trust Co. NC | 2.76 | 11/25/08 | 3,500,000 | |||||||||||||||
2,000 | Wachovia Bank, NA | 3.03 | 07/11/08 | 2,000,638 | |||||||||||||||
8,000,638 | |||||||||||||||||||
International Banks (31.0%) | |||||||||||||||||||
5,000 | Banco Santander SA - NY | 3.00 - 3.05 | 07/31/08 - 08/22/08 | 5,000,033 | |||||||||||||||
4,000 | Bank of Montreal - Chicago | 3.00 - 3.10 | 07/07/08 - 07/17/08 | 4,000,642 | |||||||||||||||
6,000 | Bank of Scotland HBOS | 2.65 - 3.04 | 09/05/08 - 11/12/08 | 6,000,046 | |||||||||||||||
5,000 | Barclays Bank plc | 2.95 - 3.05 | 10/21/08 - 11/24/08 | 5,000,000 | |||||||||||||||
3,000 | BNP Paribas | 2.98 | 07/09/08 | 3,000,830 | |||||||||||||||
8,000 | Calyon - NY | 2.72 - 3.03 | 07/08/08 - 10/14/08 | 8,000,000 | |||||||||||||||
3,000 | Canadian Imperial Bank of Commerce | 2.82 | 08/06/08 | 3,000,000 | |||||||||||||||
2,000 | Dexia Credit Local | 2.75 | 07/11/08 | 2,000,000 | |||||||||||||||
6,000 | Fortis Bank - NY | 2.61 - 2.71 | 07/21/08 - 07/28/08 | 6,000,000 | |||||||||||||||
3,000 | Intesa Sanpaolo SpA | 2.92 | 10/08/08 | 3,000,000 | |||||||||||||||
7,000 | NATIXIS | 2.72 - 3.00 | 07/24/08 - 08/04/08 | 6,999,923 | |||||||||||||||
1,500 | Royal Bank of Scotland plc | 2.88 | 11/03/08 | 1,500,379 | |||||||||||||||
1,000 | Societe Generale | 2.70 | 08/22/08 | 1,000,000 | |||||||||||||||
8,500 | Toronto - Dominion Bank | 2.73 - 2.92 | 08/13/08 - 09/15/08 | 8,500,000 | |||||||||||||||
4,000 | UBS AG | 2.97 - 2.90 | 07/14/08 - 09/19/08 | 4,000,000 | |||||||||||||||
67,001,853 | |||||||||||||||||||
Total Certificate of Deposit (Cost $75,002,491) | 75,002,491 | ||||||||||||||||||
Floating Rate Notes (9.8%) | |||||||||||||||||||
Asset-Backed - Structured Investment Vehicles (1.0%) | |||||||||||||||||||
2,000 | Mazarin Funding Corp* | 2.07 | † | 07/10/08‡ | 2,000,000 | ||||||||||||||
Finance-Auto (4.1%) | |||||||||||||||||||
4,000 | American Honda Finance Corp.* | 2.78 | † | 08/06/08‡ | 4,000,000 | ||||||||||||||
5,000 | Toyota Motor Credit Corp | 2.48 | † | 07/10/09‡ | 5,000,000 | ||||||||||||||
9,000,000 |
See Notes to Financial Statements
34
Morgan Stanley Variable Investment Series - Money Market
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | ANNUALIZED YIELD ON DATE OF PURCHASE | MATURITY DATE | VALUE | ||||||||||||||||
Financial Conglomerates (1.1%) | |||||||||||||||||||
$ | 2,265 | General Electric Capital Corp. | 2.88 | † % | 06/15/09‡ | $ | 2,266,386 | ||||||||||||
International Banks (3.6%) | |||||||||||||||||||
1,000 | Bank of Nova Scotia - NY | 3.17 | † | 05/06/09‡ | 1,000,000 | ||||||||||||||
2,500 | Barclays Bank plc | 2.93 - 3.13 | † | 05/20/09 - 06/09/09‡ | 2,500,000 | ||||||||||||||
2,000 | Deutsche Bank - AG | 3.01 | † | 01/21/09‡ | 2,000,000 | ||||||||||||||
2,000 | KBC Bank NV - NY | 2.82 | † | 12/16/08‡ | 2,000,000 | ||||||||||||||
400 | Skandinaviska Enskilda | 3.05 | † | 08/21/08‡ | 399,596 | ||||||||||||||
7,899,596 | |||||||||||||||||||
Total Floating Rate Notes (Cost $21,165,982) | 21,165,982 | ||||||||||||||||||
Repurchase Agreement (9.2%) | |||||||||||||||||||
20,025 | BNP Paribas, 2.40% dated 06/30/08, due 07/01/08, repurchase price $20,026,317; fully collateralized by Federal National Mortgage Association 6.00%, due 12/01/36, valued at $20,625,750 | 20,025,000 | |||||||||||||||||
U.S. Government Agency (2.1%) | |||||||||||||||||||
4,500 | Federal Home Loan Mortgage Corp. (Cost $4,482,758) | 2.08 - 2.17 | 07/21/08 - 09/29/08 | 4,482,758 | |||||||||||||||
Total Investments (Cost $216,973,558) (a) | 100.3 | % | 216,973,558 | ||||||||||||||||
Liabilities in Excess of Other Assets | (0.3 | ) | (707,062 | ) | |||||||||||||||
Net Assets | 100.0 | % | $ | 216,266,496 |
* Resale is restricted to qualified institutional investors
† Rate shown is the rate in effect at June 30, 2008.
‡ Date of next interest rate reset.
(a) Cost is the same for federal income tax purposes.
MATURITY SCHEDULE**
1 - 30 Days | 48 | % | |||||
31 - 60 Days | 23 | ||||||
61 - 90 Days | 6 | ||||||
91 - 120 Days | 15 | ||||||
121 - 180 Days | 8 | ||||||
100 | % |
** As a percentage of total market value.
See Notes to Financial Statements
35
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited)
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Corporate Bonds (30.6%) | |||||||||||||||||||
Aerospace & Defense (0.4%) | |||||||||||||||||||
$ | 400 | Bae Systems Holdings Inc. - 144A (b) | 4.75 | % | 08/15/10 | $ | 405,001 | ||||||||||||
Air Freight/Couriers (0.3%) | |||||||||||||||||||
330 | FedEx Corp. | 5.50 | 08/15/09 | 331,930 | |||||||||||||||
Beverages: Alcoholic (0.4%) | |||||||||||||||||||
415 | Miller Brewing Co. 144A (b) | 4.25 | 08/15/08 | 415,579 | |||||||||||||||
Biotechnology (0.3%) | |||||||||||||||||||
280 | Amgen Inc. | 4.00 | 11/18/09 | 280,396 | |||||||||||||||
Cable/Satellite TV (0.7%) | |||||||||||||||||||
490 | Comcast Cable Communications, Inc. | 6.875 | 06/15/09 | 503,336 | |||||||||||||||
70 | Comcast Corp. | 5.85 | 01/15/10 | 71,099 | |||||||||||||||
190 | Cox Communications, Inc. - 144A (b) | 4.625 | 01/15/10 | 189,021 | �� | ||||||||||||||
763,456 | |||||||||||||||||||
Chemicals: Major Diversified (0.2%) | |||||||||||||||||||
170 | ICI Wilmington Inc. | 4.375 | 12/01/08 | 170,266 | |||||||||||||||
Containers/Packaging (0.1%) | |||||||||||||||||||
90 | Sealed Air Corp. - 144A (b) | 6.95 | 05/15/09 | 91,261 | |||||||||||||||
Department Stores (0.6%) | |||||||||||||||||||
230 | Federated Department Stores, Inc. | 6.625 | 09/01/08 | 230,272 | |||||||||||||||
370 | JC Penney Corp., Inc. | 7.375 | 08/15/08 | 371,006 | |||||||||||||||
601,278 | |||||||||||||||||||
Drugstore Chains (0.4%) | |||||||||||||||||||
390 | CVS Corp. | 4.00 | 09/15/09 | 387,996 | |||||||||||||||
Electric Utilities (2.5%) | |||||||||||||||||||
248 | Columbus Southern Power Co. | 4.40 | 12/01/10 | 246,341 | |||||||||||||||
380 | Consumers Energy Co. (Series H) | 4.80 | 02/17/09 | 381,148 | |||||||||||||||
355 | Detroit Edison Co. (The) | 6.125 | 10/01/10 | 369,658 | |||||||||||||||
220 | Entergy Gulf States, Inc. | 3.082 | (c) | 12/01/09 | 217,541 | ||||||||||||||
21 | Entergy Gulf States, Inc. - 144A (b) | 3.427 | (c) | 12/08/08 | 20,989 | ||||||||||||||
405 | Ohio Power Co. | 2.908 | (c) | 04/05/10 | 397,183 | ||||||||||||||
365 | Pacific Gas & Electric Co. | 3.60 | 03/01/09 | 364,762 | |||||||||||||||
235 | Public Service Co. of Colorado (Series A) | 6.875 | 07/15/09 | 241,299 | |||||||||||||||
330 | Southwestern Public Service Co. (Series A) | 6.20 | 03/01/09 | 335,004 | |||||||||||||||
2,573,925 |
See Notes to Financial Statements
36
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Finance/Rental/Leasing (0.8%) | |||||||||||||||||||
$ | 365 | American Honda Finance Corp. - 144A (b) | 3.85 | % | 11/06/08 | $ | 364,997 | ||||||||||||
90 | CIT Group Inc. | 5.00 | 11/24/08 | 88,074 | |||||||||||||||
370 | CIT Group Inc. (Series MTN) | 4.75 | 08/15/08 | 368,141 | |||||||||||||||
821,212 | |||||||||||||||||||
Financial Conglomerates (2.8%) | |||||||||||||||||||
95 | Bank One Corp. (Series A) | 6.00 | 02/17/09 | 95,574 | |||||||||||||||
150 | Chase Manhattan Corp. | 6.00 | 02/15/09 | 150,902 | |||||||||||||||
55 | Chase Manhattan Corp. | 7.00 | 11/15/09 | 56,237 | |||||||||||||||
315 | Citicorp (Series F) | 6.375 | 11/15/08 | 317,348 | |||||||||||||||
325 | Citigroup Inc. | 4.625 | 08/03/10 | 323,811 | |||||||||||||||
50 | Citigroup Inc. | 5.30 | 10/17/12 | 48,818 | |||||||||||||||
170 | Citigroup Inc. | 3.625 | 02/09/09 | 169,778 | |||||||||||||||
700 | General Electric Capital Corp. | 5.45 | 01/15/13 | 715,303 | |||||||||||||||
120 | General Electric Capital Corp. (Series A) | 4.25 | 12/01/10 | 121,284 | |||||||||||||||
410 | JPMorgan Chase & Co. | 6.75 | 02/01/11 | 425,797 | |||||||||||||||
205 | Pricoa Global Funding I - 144A (b) | 3.90 | 12/15/08 | 204,064 | |||||||||||||||
325 | Principal Life Income Funding Trust | 5.15 | 06/17/11 | 327,159 | |||||||||||||||
2,956,075 | |||||||||||||||||||
Food Retail (0.2%) | |||||||||||||||||||
230 | Safeway, Inc. | 7.50 | 09/15/09 | 237,592 | |||||||||||||||
Food: Major Diversified (0.5%) | |||||||||||||||||||
200 | Kraft Foods Inc. | 4.00 | 10/01/08 | 199,945 | |||||||||||||||
385 | Kraft Foods Inc. | 4.125 | 11/12/09 | 384,548 | |||||||||||||||
584,493 | |||||||||||||||||||
Gas Distributors (0.6%) | |||||||||||||||||||
180 | NiSource Finance Corp. | 3.208 | (c) | 11/23/09 | 175,043 | ||||||||||||||
450 | Sempra Energy | 4.75 | 05/15/09 | 451,701 | |||||||||||||||
626,744 | |||||||||||||||||||
Home Improvement Chains (0.4%) | |||||||||||||||||||
410 | Home Depot Inc. | 2.901 | (c) | 12/16/09 | 399,477 | ||||||||||||||
Industrial Conglomerates (0.3%) | |||||||||||||||||||
275 | Honeywell International, Inc. | 6.125 | 11/01/11 | 291,962 | |||||||||||||||
Integrated Oil (0.5%) | |||||||||||||||||||
470 | Conocophillips | 8.75 | 05/25/10 | 511,703 | |||||||||||||||
Investment Banks/Brokers (1.1%) | |||||||||||||||||||
240 | Goldman Sachs Group Inc. (The) | 5.45 | 11/01/12 | 239,626 | |||||||||||||||
455 | Goldman Sachs Group Inc. (The) | 6.875 | 01/15/11 | 472,602 |
See Notes to Financial Statements
37
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 210 | Lehman Brothers Holdings Inc. (Series H) | 3.011 | (c)% | 12/23/10 | $ | 196,853 | ||||||||||||
275 | Lehman Brothers Holdings Inc. (Series I) | 2.851 | (c) | 12/23/08 | 269,767 | ||||||||||||||
1,178,848 | |||||||||||||||||||
Investment Managers (0.3%) | |||||||||||||||||||
305 | Mellon Funding Corp. | 6.40 | 05/14/11 | 315,938 | |||||||||||||||
Life/Health Insurance (1.7%) | |||||||||||||||||||
545 | John Hancock Financial Services, Inc. | 5.625 | 12/01/08 | 549,783 | |||||||||||||||
765 | Met Life Global Funding I - 144A (b) (Note 4) | 4.625 | 08/19/10 | 770,332 | |||||||||||||||
450 | Monumental Global Funding II - 144A (b) | 4.375 | 07/30/09 | 446,373 | |||||||||||||||
1,766,488 | |||||||||||||||||||
Major Banks (5.8%) | |||||||||||||||||||
700 | Banco Santander Central Hispano Issuances Ltd. (Cayman Islands) | 7.625 | 11/03/09 | 717,997 | |||||||||||||||
575 | Bank of America Corp. | 3.375 | 02/17/09 | 572,739 | |||||||||||||||
130 | Bank of America Corp. | 4.875 | 09/15/12 | 127,791 | |||||||||||||||
200 | Credit Suisse USA Inc. (Switzeland) | 6.125 | 11/15/11 | 205,490 | |||||||||||||||
800 | HBOS Treasury Services PLC - 144A (United Kingdom) (b) | 5.625 | 07/20/09 | 806,014 | |||||||||||||||
980 | HSBC Finance Corp. | 6.75 | 05/15/11 | 1,019,104 | |||||||||||||||
380 | Popular North America, Inc. (Series F) | 5.65 | 04/15/09 | 376,394 | |||||||||||||||
715 | Unicredit Luxembourg Finance S.A. - 144A (Luxembourg) (b) | 2.97 | (c) | 10/24/08 | 714,558 | ||||||||||||||
810 | Wachovia Corp. | 5.35 | 03/15/11 | 793,022 | |||||||||||||||
390 | Wells Fargo & Co. | 3.12 | 08/15/08 | 389,497 | |||||||||||||||
300 | Wells Fargo Bank NA | 6.45 | 02/01/11 | 313,684 | |||||||||||||||
6,036,290 | |||||||||||||||||||
Major Telecommunications (2.3%) | |||||||||||||||||||
590 | AT&T Inc. | 2.884 | (c) | 02/05/10 | 587,572 | ||||||||||||||
395 | Bellsouth Corp. | 6.00 | 10/15/11 | 407,139 | |||||||||||||||
175 | British Telecommunications PLC (United Kingdom) | 8.625 | 12/15/10 | 188,010 | |||||||||||||||
300 | Deutsche Telekom International Finance BV (Netherlands) | 8.00 | 06/15/10 | 317,510 | |||||||||||||||
295 | France Telecom SA | 7.75 | 03/01/11 | 312,606 | |||||||||||||||
505 | Telecom Italia Capital SA (Luxembourg) | 4.875 | 10/01/10 | 501,052 | |||||||||||||||
150 | Verizon Global Funding Corp. | 7.25 | 12/01/10 | 159,335 | |||||||||||||||
2,473,224 |
See Notes to Financial Statements
38
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Managed Health Care (0.3%) | |||||||||||||||||||
$ | 210 | Unitedhealth Group Inc. | 2.762 | (c)% | 03/02/09 | $ | 208,284 | ||||||||||||
175 | Unitedhealth Group Inc. | 4.125 | 08/15/09 | 173,462 | |||||||||||||||
381,746 | |||||||||||||||||||
Media Conglomerates (0.9%) | |||||||||||||||||||
480 | Time Warner, Inc. | 2.915 | (c) | 11/13/09 | 466,609 | ||||||||||||||
160 | Viacom Inc. | 3.15 | (c) | 06/16/09 | 158,349 | ||||||||||||||
300 | Viacom Inc. | 5.75 | 04/30/11 | 300,893 | |||||||||||||||
925,851 | |||||||||||||||||||
Medical Specialties (0.3%) | |||||||||||||||||||
375 | Hospira, Inc. | 3.176 | (c) | 03/30/10 | 363,723 | ||||||||||||||
Motor Vehicles (0.3%) | |||||||||||||||||||
335 | DaimlerChrysler North American Holdings Co. | 3.298 | (c) | 03/13/09 | 334,473 | ||||||||||||||
Multi-Line Insurance (1.1%) | |||||||||||||||||||
690 | American General Finance Corp. (Series H) | 4.625 | 09/01/10 | 668,886 | |||||||||||||||
500 | Hartford Financial Services Group, Inc. (The) | 5.55 | 08/16/08 | 500,908 | |||||||||||||||
1,169,794 | |||||||||||||||||||
Oil & Gas Pipelines (0.5%) | |||||||||||||||||||
500 | Enbridge Energy Partners, LP | 4.00 | 01/15/09 | 497,535 | |||||||||||||||
Oil Refining/Marketing (0.7%) | |||||||||||||||||||
180 | Enterprise Products Operating L.P. | 7.50 | 02/01/11 | 188,670 | |||||||||||||||
600 | Valero Energy Corp. | 3.50 | 04/01/09 | 598,469 | |||||||||||||||
787,139 | |||||||||||||||||||
Other Metals/Minerals (0.4%) | |||||||||||||||||||
445 | Brascan Corp. (Canada) | 8.125 | 12/15/08 | 448,234 | |||||||||||||||
Packaged Software (0.2%) | |||||||||||||||||||
185 | Oracle Corp. | 5.00 | 01/15/11 | 188,714 | |||||||||||||||
Property - Casualty Insurers (0.9%) | |||||||||||||||||||
595 | Mantis Reef Ltd. - 144A (Cayman Islands) (b) | 4.692 | 11/14/08 | 592,774 | |||||||||||||||
375 | Xlliac Global Funding - 144A (b) | 4.80 | 08/10/10 | 372,197 | |||||||||||||||
964,971 | |||||||||||||||||||
Railroads (0.5%) | |||||||||||||||||||
535 | Burlington Santa Fe Corp. | 6.125 | 03/15/09 | 540,000 | |||||||||||||||
Real Estate Development (0.6%) | |||||||||||||||||||
488 | World Financial Properties - 144A (b) | 6.91 | 09/01/13 | 487,555 | |||||||||||||||
144 | World Financial Properties - 144A (b) | 6.95 | 09/01/13 | 143,323 | |||||||||||||||
630,878 |
See Notes to Financial Statements
39
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Savings Banks (0.7%) | |||||||||||||||||||
$ | 575 | Sovereign Bancorp, Inc. | 2.829 | (c)% | 03/23/10 | $ | 514,292 | ||||||||||||
200 | Washington Mutual Inc. | 4.00 | 01/15/09 | 194,025 | |||||||||||||||
708,317 | |||||||||||||||||||
Total Corporate Bonds (Cost $32,320,269) | �� | 32,162,509 | |||||||||||||||||
Collateralized Mortgage Obligations (23.4%) | |||||||||||||||||||
U.S. Government Agencies (1.2%) | |||||||||||||||||||
152 | Fannie Mae 2005-27 NA | 5.50 | 01/25/24 | 152,295 | |||||||||||||||
327 | Fannie Mae 2005-52 PA | 6.50 | 06/25/35 | 340,761 | |||||||||||||||
541 | Freddie Mac 2182 ZC | 7.50 | 09/15/29 | 569,849 | |||||||||||||||
210 | Freddie Mac 2644 AU | 3.50 | 05/15/22 | 209,915 | |||||||||||||||
Total U.S. Government Agencies | 1,272,820 | ||||||||||||||||||
Private Issues (22.2%) | |||||||||||||||||||
American Home Mortgage Assets | |||||||||||||||||||
325 | 2007-5 A3 | 2.783 | (c) | 06/25/47 | 125,863 | ||||||||||||||
376 | 2006-3 1A3 | 2.803 | (c) | 10/25/46 | 135,036 | ||||||||||||||
995 | 2007-1 GA1C | 2.673 | (c) | 05/25/47 | 715,101 | ||||||||||||||
340 | Bear Stearns Alt-A Trust 2003-3 3A | 2.833 | (c) | 10/25/33 | 299,323 | ||||||||||||||
Bear Stearns Mortgage Funding Trust | |||||||||||||||||||
758 | 2007-AR1 1A2 | 2.693 | (c) | 01/25/37 | 380,587 | ||||||||||||||
762 | 2006-AR3 1A1 | 2.663 | (c) | 10/25/36 | 534,824 | ||||||||||||||
651 | 2006-AR5 1A2 | 2.693 | (c) | 12/25/36 | 364,032 | ||||||||||||||
Countrywide Alternative Loan Trust | |||||||||||||||||||
573 | 2006-0A1 1A2 | 2.782 | (c) | 03/20/46 | 318,564 | ||||||||||||||
895 | 2006-OA10 | 2.713 | (c) | 08/25/46 | 496,388 | ||||||||||||||
689 | 2005-56 2A3 | 5.028 | (c) | 11/25/35 | 509,107 | ||||||||||||||
3 | 2005-76 2A2 | 5.494 | (c) | 02/25/36 | 2,043 | ||||||||||||||
591 | 2006-0A22 A2 | 2.693 | (c) | 02/25/47 | 346,220 | ||||||||||||||
266 | 2005-J2 1A12 | 2.793 | (c) | 04/25/35 | 208,209 | ||||||||||||||
262 | 2005-J2 5A1 | 2.793 | (c) | 02/25/35 | 203,467 | ||||||||||||||
3,111 | 2006-0A12X (IO) | 3.752 | (c) | 03/20/46 | 102,041 | ||||||||||||||
2,688 | 2005-81 X1 (IO) | 3.573 | (c) | 02/25/37 | 94,087 | ||||||||||||||
593 | 2006-0A16 A3 | 2.733 | (c) | 10/25/46 | 346,969 | ||||||||||||||
620 | 2006-0A2 A3 | 2.752 | (c) | 05/20/46 | 333,462 | ||||||||||||||
513 | 2006-0A14 2A1 | 2.673 | (c) | 11/25/46 | 365,844 | ||||||||||||||
Countrywide Home Loan Trust | |||||||||||||||||||
2,727 | 2004-25 1X (IO) | 1.784 | (c) | 02/25/35 | 66,450 | ||||||||||||||
467 | 2006-0A4 A2 | 2.753 | (c) | 04/25/46 | 257,770 |
See Notes to Financial Statements
40
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 792 | DSLA Mortgage Loan Trust 2006-AR2 2A1A | 2.683 | (c)% | 11/19/37 | $ | 555,454 | ||||||||||||
730 | First Horizon Alternative Mortgage Securities 2006-FA8 1A7 144A (b) | 6.00 | 02/25/37 | 654,008 | |||||||||||||||
Greenpoint Mortgage Funding Trust | |||||||||||||||||||
559 | 2006-AR2 4A1 | 5.528 | (c) | 03/25/36 | 410,675 | ||||||||||||||
1,482 | 2005-AR3 X1 (IO) | 3.629 | (c) | 08/25/45 | 47,925 | ||||||||||||||
2,341 | 2005-AR4 X4 (IO) | 3.482 | (c) | 10/25/45 | 85,588 | ||||||||||||||
Harborview Mortgage Loan Trust | |||||||||||||||||||
973 | 2006-10 2A1B | 2.723 | (c) | 11/19/36 | 523,962 | ||||||||||||||
605 | 2006-7 2A1B | 2.733 | (c) | 10/19/37 | 328,007 | ||||||||||||||
834 | 2006-9 2AB2 | 2.763 | (c) | 11/19/36 | 488,303 | ||||||||||||||
1,243 | 2005-16 4A1A | 5.794 | (c) | 01/19/36 | 977,894 | ||||||||||||||
556 | 2006-1 2A1A | 2.723 | (c) | 03/19/37 | 392,358 | ||||||||||||||
745 | 2006-8 2A1B | 2.731 | (c) | 08/21/36 | 427,185 | ||||||||||||||
708 | 2006-14 2A1B | 2.683 | (c) | 03/19/38 | 397,390 | ||||||||||||||
658 | 2005-9 2A1C | 2.932 | (c) | 06/20/35 | 414,458 | ||||||||||||||
206 | 2005-9 B1 | 3.082 | (c) | 06/20/35 | 90,461 | ||||||||||||||
1,091 | 2006-12 2A2B | 2.733 | (c) | 01/19/38 | 577,871 | ||||||||||||||
483 | 2005-12 2A11 | 6.662 | (c) | 10/19/35 | 360,999 | ||||||||||||||
2,389 | 2005-2 X (IO) | 2.916 | (c) | 05/19/35 | 48,903 | ||||||||||||||
1,632 | 2005-16 X1 (IO) | 3.216 | (c) | 01/19/36 | 51,780 | ||||||||||||||
3,758 | 2005-16 X3 (IO) | 1.700 | (c) | 01/19/36 | 105,101 | ||||||||||||||
2,554 | 2005-3 X2 (IO) | 2.676 | (c) | 06/19/35 | 56,266 | ||||||||||||||
3,252 | 2006-1 X1 (IO) | 3.286 | (c) | 03/19/37 | 104,170 | ||||||||||||||
5,241 | 2006-5 X2 (IO) | 3.392 | (c) | 07/19/47 | 161,323 | ||||||||||||||
3 | 2006-1 PO1 (PO) | — | 03/19/37 | 374 | |||||||||||||||
(a) | 2006-5 PO2 (PO) | — | 07/19/47 | 3 | |||||||||||||||
Indymac Index Mortgage Loan Trust | |||||||||||||||||||
147 | 2004-R3 B1 | 3.233 | (c) | 07/25/34 | 67,640 | ||||||||||||||
2,147 | 2005-AR12 | 1.057 | (c) | 07/25/35 | 46,621 | ||||||||||||||
Luminent Mortgage Trust | |||||||||||||||||||
727 | 2006-4 A1B | 2.713 | (c) | 05/25/46 | 425,455 | ||||||||||||||
702 | 2006-6 A1 | 2.683 | (c) | 10/25/46 | 505,029 | ||||||||||||||
462 | 2006-1 A1 | 2.723 | (c) | 04/25/36 | 319,508 | ||||||||||||||
521 | 2006-2 A1B | 2.763 | (c) | 02/25/46 | 291,250 | ||||||||||||||
425 | Master Adjustable Rate Mortgage Trust 2007-3 1M2 | 3.583 | (c) | 05/25/47 | 77,002 | ||||||||||||||
622 | Mortgageit Trust 2006-1 2A1B | 2.763 | (c) | 04/25/36 | 353,097 | ||||||||||||||
Residential Accredit Loans Inc. | |||||||||||||||||||
222 | 2006-Q01 2A1 | 2.753 | (c) | 02/25/46 | 156,663 | ||||||||||||||
324 | 2007-QO4 A3 | 2.783 | (c) | 05/25/47 | 120,451 |
See Notes to Financial Statements
41
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 923 | 2006-Q06 A2 | 2.713 | (c)% | 06/25/46 | $ | 500,247 | ||||||||||||
654 | 2007-Q03 A3 | 2.743 | (c) | 03/25/47 | 254,566 | ||||||||||||||
1,130 | 2007-QH1 A2 | 2.673 | (c) | 02/25/37 | 592,801 | ||||||||||||||
801 | 2006-QO2 A2 | 2.753 | (c) | 02/25/46 | 435,886 | ||||||||||||||
1 | Sharps SP I LLC Net Interest Margin Trust 2006-AHM3 N1 - 144A (b) | 7.00 | 10/25/46 | 691 | |||||||||||||||
Structured Asset Mortgage Investments Inc. | |||||||||||||||||||
738 | 2007-AR1 2A2 | 2.693 | (c) | 01/25/37 | 425,109 | ||||||||||||||
830 | 2007-AR2 1A2 | 2.673 | (c) | 02/25/37 | 456,002 | ||||||||||||||
611 | 2006-AR2 A2 | 2.793 | (c) | 02/25/36 | 337,231 | ||||||||||||||
371 | 2006-AR1 2A2 | 2.793 | (c) | 02/25/36 | 207,069 | ||||||||||||||
Washington Mutual Mortgage Pass-Through Certificates | |||||||||||||||||||
758 | 2007-0A1 A1B | 2.683 | (c) | 02/25/47 | 525,384 | ||||||||||||||
426 | 2005-AR13 A1A2 | 4.978 | (c) | 10/25/45 | 333,435 | ||||||||||||||
614 | 2006-AR4 1A1B | 4.734 | (c) | 05/25/46 | 394,288 | ||||||||||||||
432 | 2005-AR15 A1B3 | 2.823 | (c) | 11/25/45 | 278,659 | ||||||||||||||
659 | 2006-AR6 2A | 4.488 | (c) | 08/25/46 | 475,659 | ||||||||||||||
961 | 2006-AR9 1A | 4.528 | (c) | 08/25/46 | 735,493 | ||||||||||||||
400 | 2005-AR13 A1B3 | 2.843 | (c) | 10/25/45 | 251,234 | ||||||||||||||
346 | 2005-AR8 2AB3 | 2.843 | (c) | 07/25/45 | 223,359 | ||||||||||||||
730 | 2006-AR2 A1A | 4.468 | (c) | 04/25/46 | 526,812 | ||||||||||||||
777 | 2007-0A1 CA1B | 2.683 | (c) | 12/25/46 | 432,080 | ||||||||||||||
1,851 | 2004-AR10 X (IO) | 2.588 | (c) | 07/25/44 | 30,648 | ||||||||||||||
2,645 | 2004-AR12 X (IO) | 2.598 | (c) | 10/25/44 | 42,981 | ||||||||||||||
1,064 | 2004-AR8 X (IO) | 2.647 | (c) | 06/25/44 | 18,626 | ||||||||||||||
Total Private Issues | 23,306,821 | ||||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $38,995,569) | 24,579,641 | ||||||||||||||||||
Commercial Mortage-Backed Securities (0.9%) | |||||||||||||||||||
265 | Citigroup Commercial Mortgage Trust 2007-C6 A1 | 5.622 | (c) | 12/10/49 | 262,761 | ||||||||||||||
684 | JPMorgan Chase 2007-LD11 A1 | 5.651 | (c) | 06/15/49 | 684,171 | ||||||||||||||
Total Commercial Mortage-Backed Securities (Cost $951,059) | 946,932 | ||||||||||||||||||
Asset-Backed Securities (16.0%) | |||||||||||||||||||
275 | Ameriquest Mortgage Securities Inc. 2004-R7 M5 | 3.633 | (c) | 08/25/34 | 142,401 | ||||||||||||||
1,475 | Bank of America Credit Card Trust 2007-A13 A13 | 2.691 | (c) | 04/16/12 | 1,470,113 | ||||||||||||||
1,011 | Capital Auto Receivables Asset Trust 2006-2 A3A | 4.98 | 05/15/11 | 1,022,382 | |||||||||||||||
1,400 | Capital Auto Receivables Asset Trust 2007-SN1 A3A | 5.38 | 07/15/10 | 1,421,263 |
See Notes to Financial Statements
42
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 700 | Capital Auto Receivables Asset Trust 2007-3 A3A | 5.02 | % | 09/15/11 | $ | 710,791 | ||||||||||||
469 | Caterpillar Financial Asset Trust 2006-A A3 | 5.57 | 05/25/10 | 472,750 | |||||||||||||||
550 | CNH Equipment Trust 2007-B A3A | 5.40 | 10/17/11 | 557,413 | |||||||||||||||
282 | CNH Equipment Trust 2006-B A3 | 5.20 | 06/15/10 | 283,724 | |||||||||||||||
164 | Credit-Based Asset Servicing 2006-CB6 A21 | 2.433 | (c) | 07/25/36 | 162,211 | ||||||||||||||
975 | DaimlerChrysler Auto Trust 2007-A A3A | 5.00 | 02/08/12 | 988,299 | |||||||||||||||
1,019 | Ford Credit Auto Owner Trust 2006-B A3 | 5.26 | 10/15/10 | 1,028,974 | |||||||||||||||
1,175 | Ford Credit Auto Owner Trust 2007-A A3A | 5.40 | 08/15/11 | 1,194,200 | |||||||||||||||
257 | GE Equipment Small Ticket LLC 2005-2A A3 - 144A (b) | 4.88 | 10/22/09 | 258,096 | |||||||||||||||
838 | GS Auto Loan Trust 2006-1 A3 | 5.37 | 12/15/10 | 846,114 | |||||||||||||||
710 | Harley-Davidson Motorcycle Trust 2005-3 A2 | 4.41 | 06/15/12 | 715,994 | |||||||||||||||
413 | Harley-Davidson Motorcycle Trust 2004-2 A2 | 3.56 | 02/15/12 | 409,590 | |||||||||||||||
553 | Harley-Davidson Motorcycle Trust 2005-2 A2 | 4.07 | 02/15/12 | 555,644 | |||||||||||||||
625 | Hertz Vehicle Financing LLC 2005-2A A2 - 144A (b) | 4.93 | 02/25/10 | 622,038 | |||||||||||||||
118 | Honda Auto Receivables Owner Trust 2005-5 A3 | 4.61 | 08/17/09 | 117,882 | |||||||||||||||
218 | Honda Auto Receivables Owner Trust 2005-6 A3 | 4.85 | 10/19/09 | 218,669 | |||||||||||||||
975 | Hyundai Auto Receivables Trust 2007-A A3A | 5.04 | 01/17/12 | 992,796 | |||||||||||||||
186 | National City Auto Receivables Trust 2004-A A4 | 2.88 | 05/15/11 | 185,974 | |||||||||||||||
418 | Nationstar Home Equity Loan Trust 2007-C 2AV1 | 2.543 | (c) | 06/25/37 | 394,099 | ||||||||||||||
850 | Nissan Auto Receivable Owner Trust 2007-B A3 | 5.03 | 05/16/11 | 864,107 | |||||||||||||||
207 | USAA Auto Owner Trust 2005-3 A3 | 4.55 | 02/16/10 | 207,760 | |||||||||||||||
900 | USAA Auto Owner Trust 2007-2 A3 | 4.90 | 02/15/12 | 912,079 | |||||||||||||||
17 | Wachovia Auto Owner Trust 2005-A A3 | 4.06 | 09/21/09 | 16,583 | |||||||||||||||
Total Asset-Backed Securities (Cost $16,770,514) | 16,771,946 | ||||||||||||||||||
U.S. Government Agencies (7.8%) | |||||||||||||||||||
5,400 | Federal National Mortgage Assoc. | 4.375 | 03/15/13 | 5,463,261 | |||||||||||||||
2,650 | Federal Home Loan Mortgage Corp. | 5.125 | 11/17/17 | 2,727,566 | |||||||||||||||
Total U.S. Government Agencies (Cost $8,405,680) | 8,190,827 | ||||||||||||||||||
U.S. Government Agencies - Mortgage-Backed Securities (7.6%) | |||||||||||||||||||
354 | Federal Home Loan Mortgage Corp. | 7.50 | 02/01/27 - 08/01/32 | 382,329 | |||||||||||||||
577 | Federal Home Loan Mortgage Corp. ARM | 4.348 | 10/01/33 | 580,216 | |||||||||||||||
555 | Federal Home Loan Mortgage Corp. ARM | 4.359 | 07/01/35 | 555,585 | |||||||||||||||
155 | Federal Home Loan Mortgage Corp. ARM | 5.395 | 07/01/34 | 157,364 | |||||||||||||||
232 | Federal Home Loan Mortgage Corp. ARM | 6.006 | 08/01/34 | 236,912 | |||||||||||||||
633 | Federal National Mortgage Assoc. | 6.50 | 01/01/32 - 11/01/33 | 656,768 |
See Notes to Financial Statements
43
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 896 | Federal National Mortgage Assoc. | 7.00 | % | 11/01/24 - 01/01/34 | $ | 946,669 | ||||||||||||
1,002 | Federal National Mortgage Assoc. | 7.50 | 03/01/24 - 08/01/32 | 1,078,990 | |||||||||||||||
600 | Federal National Mortgage Assoc. | 7.00 | (d) | 629,063 | |||||||||||||||
274 | Federal National Mortgage Assoc. ARM | 4.093 | 05/01/35 | 275,644 | |||||||||||||||
562 | Federal National Mortgage Assoc. ARM | 4.602 | 05/01/35 | 569,839 | |||||||||||||||
558 | Federal National Mortgage Assoc. ARM | 4.766 | 07/01/35 | 564,489 | |||||||||||||||
522 | Federal National Mortgage Assoc. ARM | 5.075 | 04/01/35 | 524,525 | |||||||||||||||
129 | Federal National Mortgage Assoc. ARM | 5.142 | 07/01/34 | 128,800 | |||||||||||||||
63 | Federal National Mortgage Assoc. ARM | 5.301 | 06/01/34 | 63,225 | |||||||||||||||
370 | Federal National Mortgage Assoc. ARM | 5.343 | 05/01/35 | 378,010 | |||||||||||||||
162 | Federal National Mortgage Assoc. ARM | 5.679 | 04/01/35 | 162,760 | |||||||||||||||
103 | Federal National Mortgage Assoc. ARM | 6.221 | 09/01/34 | 104,476 | |||||||||||||||
Total U.S. Government Agencies - Mortgage-Backed Securities (Cost $7,949,989) | 7,995,664 | ||||||||||||||||||
NUMBER OF CONTRACTS | |||||||||||||||||||
Call Options Purchased (0.1%) | |||||||||||||||||||
107 | 90 day Euro $ Futures September/2009 @ $96.75 (Cost $92,571) | 98,306 | |||||||||||||||||
PRINCIPAL AMOUNT IN THOUSANDS | |||||||||||||||||||
Short-Term Investments (13.8%) | |||||||||||||||||||
U.S. Government Obligations (g) (0.2%) | |||||||||||||||||||
$ | 160 | U.S. Treasury Bills (e) (Cost $159,281) | 1.57 - 1.896 | 10/09/08 | 159,294 |
See Notes to Financial Statements
44
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES (000) | VALUE | ||||||||||||||||||
Investment Company (h) (13.6%) | |||||||||||||||||||
14,271 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (f) (Cost $14,270,088) | $ | 14,270,088 | ||||||||||||||||
Total Short-Term Investments (Cost $14,429,369) | 14,429,382 | ||||||||||||||||||
Total Investments (Cost $119,915,020) (i)(j) | 100.2 | % | 105,175,207 | ||||||||||||||||
Liabilities in Excess of Other Assets | (0.1 | ) | (153,958 | ) | |||||||||||||||
Total Written Options Outstanding | (0.1 | ) | (59,519 | ) | |||||||||||||||
Net Assets | 100.0 | % | $ | 104,961,730 |
ARM Adjustable Rate Mortgage. Interest rate in effect as of June 30, 2008.
IO Interest Only Security.
MTN Medium Term Note.
PC Participation Certificate.
PO Principal Only Security. No rate exists for a principal only security.
(a) Amount is less than one thousand.
(b) Resale is restricted to qualified institutional investors.
(c) Floating rate security, rate shown is the rate in effect at June 30, 2008.
(d) Security was purchased on a forward commitment basis with an approximate principal amount and no definite maturity date; the actual principal amount and maturity date will be determined upon settlement.
(e) A portion of this security has been physically segregated in connection with open futures contracts in an amount equal to $137,124.
(f) May include cash designated as collateral in connection with open swap contracts.
(g) Purchased on a discount basis. The interest rates shown have been adjusted to reflect a money market equivalent yield.
(h) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class.
(i) Securities have been designated as collateral in an amount equal to $56,383,409 in connection with securities purchased on a forward commitment basis, open futures and swap contracts.
(j) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $419,822 and the aggregate gross unrealized depreciation is $15,159,635 resulting in net unrealized depreciation of $14,739,813.
See Notes to Financial Statements
45
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
Options Written at June 30, 2008:
NUMBER OF CONTRACTS | DESCRIPTION | EXERCISE PRICE | EXPIRATION DATE | PREMIUM | VALUE | ||||||||||||||||||
107 | Call Options on 90 DAY EURO$ FUTURE | $ | 97.25 | September 2009 | $ | 53,217 | $ | 59,519 |
Futures Contracts Open at June 30, 2008:
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
42 | Long | U.S. Treasury Notes 10 Year, September 2008 | $ | 4,784,719 | $ | 5,151 | |||||||||||||
2 | Long | U.S. Treasury Bonds 20 Year, September 2008 | 231,188 | 3,201 | |||||||||||||||
39 | Short | U.S. Treasury Notes 5 Year, September 2008 | (4,311,633 | ) | (13,699 | ) | |||||||||||||
204 | Short | U.S. Treasury Notes 2 Year, September 2008 | (43,085,437 | ) | (4,046 | ) | |||||||||||||
Net Unrealized Depreciation | $ | (9,393 | ) |
See Notes to Financial Statements
46
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
Interest Rate Swap Contracts Open at June 30, 2008:
COUNTERPARTY | NOTIONAL AMOUNT (000'S) | PAYMENTS RECEIVED BY FUND | PAYMENTS MADE BY FUND | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Bank of America, N.A. New York | $ | 9,300 | Fixed Rate 4.211% | Floating Rate 2.68%# | June 3, 2013 | $ | (17,484 | ) | |||||||||||||||
Bank of America, N.A. New York | 963 | Fixed Rate 5.56 | Floating Rate 0.00# | February 19, 2018 | 13,212 | ||||||||||||||||||
Bank of America, N.A. New York | 800 | Fixed Rate 5.07 | Floating Rate 0.00# | April 14, 2018 | (3,456 | ) | |||||||||||||||||
Bank of America, N.A. New York | 890 | Fixed Rate 4.983 | Floating Rate 0.00# | April 15, 2018 | (6,613 | ) | |||||||||||||||||
Citigroup Inc. | 2,600 | Fixed Rate 2.90 | Floating Rate 2.646# | February 28, 2010 | (22,386 | ) | |||||||||||||||||
Deutsche Bank AG, New York | EUR | 4,645 | Fixed Rate 5.268 | Floating Rate 5.13† | July 3, 2023 | (11,263 | ) | ||||||||||||||||
Deutsche Bank AG, New York | $ | 36,685 | Fixed Rate 2.075 | Floating Rate 0.00# | June 17, 2009 | (71,132 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 2,700 | Fixed Rate 4.55 | Floating Rate 2.92# | October 23, 2009 | 41,418 | ||||||||||||||||||
Deutsche Bank AG, New York | 2,700 | Fixed Rate 4.427 | Floating Rate 2.758# | November 8, 2009 | 37,692 | ||||||||||||||||||
Goldman Sachs Group Inc, | 2,700 | Fixed Rate 4.642 | Floating Rate 2.691# | September 11, 2009 | 42,498 | ||||||||||||||||||
Goldman Sachs Group Inc, | 2,770 | Fixed Rate 5.63 | Floating Rate 0.00# | February 28, 2018 | 44,708 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,800 | Fixed Rate 5.391 | Floating Rate 2.672# | June 6, 2009 | 56,028 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,800 | Fixed Rate 5.486 | Floating Rate 2.776# | June 14, 2009 | 59,136 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,800 | Fixed Rate 5.365 | Floating Rate 2.671# | June 28, 2009 | 58,128 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,800 | Fixed Rate 5.358 | Floating Rate 2.71# | July 13, 2009 | 59,808 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,800 | Fixed Rate 5.078 | Floating Rate 2.873# | August 1, 2009 | 53,144 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,700 | Fixed Rate 4.794 | Floating Rate 2.803# | September 20, 2009 | 47,655 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,700 | Fixed Rate 4.783 | Floating Rate 2.734# | October 18, 2009 | 49,518 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,700 | Fixed Rate 4.385 | Floating Rate 2.913# | October 29, 2009 | 35,721 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,600 | Fixed Rate 4.139 | Floating Rate 2.786# | December 12, 2009 | 27,872 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,600 | Fixed Rate 3.989 | Floating Rate 2.776# | December 14, 2009 | 22,490 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,600 | Fixed Rate 2.785 | Floating Rate 2.784# | February 4, 2010 | (26,338 | ) | |||||||||||||||||
JPMorgan Chase N.A. New York | 7,000 | Fixed Rate 3.292 | Floating Rate 2.644# | May 29, 2010 | (30,520 | ) | |||||||||||||||||
JPMorgan Chase N.A. New York | 2,700 | Fixed Rate 4.184 | Floating Rate 2.677# | June 9, 2013 | (8,532 | ) | |||||||||||||||||
Bank of America, N.A. New York | 1,256 | Floating Rate 0.00# | Fixed Rate 5.995 | February 19, 2023 | (21,880 | ) | |||||||||||||||||
Bank of America, N.A. New York | 1,025 | Floating Rate 0.00# | Fixed Rate 5.47 | April 14, 2023 | (2,880 | ) | |||||||||||||||||
Bank of America, N.A. New York | 965 | Floating Rate 0.00# | Fixed Rate 5.38 | April 15, 2023 | (328 | ) | |||||||||||||||||
Deutsche Bank AG, New York | 36,685 | Floating Rate 0.00## | Fixed Rate 2.41 | June 17, 2009 | 85,586 | ||||||||||||||||||
Deutsche Bank AG, New York | EUR | 3,710 | Floating Rate 5.13† | Fixed Rate 4.934 | July 1, 2018 | (3,154 | ) | ||||||||||||||||
Goldman Sachs Group Inc, | $ | 3,590 | Floating Rate 0.00# | Fixed Rate 6.035 | February 28, 2023 | (66,415 | ) | ||||||||||||||||
Net Unrealized Appreciation | $ | 442,233 |
EUR Euro.
# Floating rate represents USD-3 Months LIBOR.
## Floating rate represents USD-1 Day OIS.
† Floating rate represents EUR-3 Months EURIBOR.
See Notes to Financial Statements
47
Morgan Stanley Variable Investment Series - Limited Duration
Portfolio of Investments n June 30, 2008 (unaudited) continued
Credit Default Swap Contracts Open at June 30, 2008:
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | $ | 1,400 | 0.35 | % | June 20, 2012 | $ | (42,666 | ) | ||||||||||||||
Barclays Bank Plc Dow Jones Index | Sell | 1,000 | 0.60 | December 20, 2012 | (522 | ) | |||||||||||||||||
Citibank, N.A., New York Tyco Electronics Ltd. | Buy | 53 | 0.43 | March 20, 2012 | 575 | ||||||||||||||||||
Citibank, N.A., New York Tyco Electronics Ltd. | Buy | 130 | 0.43 | March 20, 2012 | 1,403 | ||||||||||||||||||
Net Unrealized Depreciation | $ | (41,210 | ) |
LONG-TERM CREDIT ANALYSIS | |||||||
AAA | 68.7 | % | |||||
AA | 12.0 | ||||||
A | 9.8 | ||||||
BBB | 9.5 | ||||||
100.0 | %* |
* Does not include open long/short futures contracts with an underlying face amount of $52,412,977 with net unrealized depreciation of $9,393. Also does not include open swap contracts with unrealized appreciation of $401,023.
See Notes to Financial Statements
48
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited)
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Corporate Bonds (87.3%) | |||||||||||||||||||
Accident & Health Insurance (0.3%) | |||||||||||||||||||
$ | 945 | Travelers Co. Inc. | 5.80 | % | 05/15/18 | $ | 921,143 | ||||||||||||
Advertising/Marketing Services (0.2%) | |||||||||||||||||||
730 | Interpublic Group of Companies, Inc. (The) | 6.25 | 11/15/14 | 635,100 | |||||||||||||||
Air Freight/Couriers (1.3%) | |||||||||||||||||||
3,969 | FedEx Corp. (Series 97-A) | 7.50 | 01/15/18 | 4,137,424 | |||||||||||||||
Airlines (0.6%) | |||||||||||||||||||
583 | America West Airlines, Inc. (Class A) | 6.85 | 07/02/09 | 577,648 | |||||||||||||||
1,374 | America West Airlines, Inc. (Series 01-1) | 7.10 | 04/02/21 | 1,250,332 | |||||||||||||||
1,827,980 | |||||||||||||||||||
Auto Parts: O.E.M. (0.2%) | |||||||||||||||||||
855 | ArvinMeritor, Inc. | 8.75 | 03/01/12 | 756,675 | |||||||||||||||
Beverages: Alcoholic (0.7%) | |||||||||||||||||||
470 | Anheuser-Busch Companies, Inc. | 5.50 | 01/15/18 | 441,575 | |||||||||||||||
1,680 | FBG Finance Ltd. - 144A (Australia) (a) | 5.125 | 06/15/15 | 1,588,000 | |||||||||||||||
2,029,575 | |||||||||||||||||||
Biotechnology (1.2%) | |||||||||||||||||||
1,625 | Amgen Inc. | 5.85 | 06/01/17 | 1,603,311 | |||||||||||||||
1,970 | Biogen Idec Inc. | 6.875 | 03/01/18 | 2,021,454 | |||||||||||||||
3,624,765 | |||||||||||||||||||
Broadcasting (0.4%) | |||||||||||||||||||
1,180 | Grupo Televisa S.A. - 144A (Mexico) (a) | 6.00 | 05/15/18 | 1,153,498 | |||||||||||||||
Cable/Satellite TV (2.2%) | |||||||||||||||||||
1,090 | Comcast Cable Communications, Inc. | 6.75 | 01/30/11 | 1,129,879 | |||||||||||||||
995 | Comcast Cable Communications, Inc. | 7.125 | 06/15/13 | 1,050,066 | |||||||||||||||
1,880 | Comcast Corp. | 6.50 | 01/15/15 | 1,911,578 | |||||||||||||||
275 | DIRECTV Holdings/Finance | 6.375 | 06/15/15 | 259,188 | |||||||||||||||
1,230 | DIRECTV Holdings/Finance - 144A (a) | 7.625 | 05/15/16 | 1,217,700 | |||||||||||||||
895 | EchoStar DBS Corp. | 6.375 | 10/01/11 | 865,913 | |||||||||||||||
425 | EchoStar DBS Corp. | 6.625 | 10/01/14 | 394,188 | |||||||||||||||
6,828,512 | |||||||||||||||||||
Chemicals: Agricultural (0.2%) | |||||||||||||||||||
480 | Monsanto Co. | 5.125 | 04/15/18 | 471,637 |
See Notes to Financial Statements
49
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Computer Processing Hardware (0.7%) | |||||||||||||||||||
$ | 1,665 | Dell Inc. 144A (a) | 5.65 | % | 04/15/18 | $ | 1,609,645 | ||||||||||||
635 | Hewlett-Packard Co. | 5.50 | 03/01/18 | 623,075 | |||||||||||||||
2,232,720 | |||||||||||||||||||
Data Processing Services (0.3%) | |||||||||||||||||||
1,035 | FISERV, Inc. | 6.80 | 11/20/17 | 1,048,843 | |||||||||||||||
Department Stores (0.5%) | |||||||||||||||||||
1,200 | Federated Department Stores, Inc. | 6.625 | 09/01/08 | 1,201,421 | |||||||||||||||
415 | General Electrics Cap Corp. | 5.625 | 05/01/18 | 402,073 | |||||||||||||||
1,603,494 | |||||||||||||||||||
Discount Stores (0.1%) | |||||||||||||||||||
330 | Target Corp. | 6.50 | 10/15/37 | 318,465 | |||||||||||||||
Drugstore Chains (1.1%) | |||||||||||||||||||
150 | CVS Caremark Corp. | 5.75 | 06/01/17 | 147,786 | |||||||||||||||
1,180 | CVS Corp. | 5.75 | 08/15/11 | 1,209,895 | |||||||||||||||
2,197 | CVS Lease Pass-Through - 144A (a) | 6.036 | 12/10/28 | 2,046,025 | |||||||||||||||
3,403,706 | |||||||||||||||||||
Electric Utilities (8.8%) | |||||||||||||||||||
1,610 | AES Corp. - 144A (a) | 8.00 | 06/01/20 | 1,561,700 | |||||||||||||||
3,090 | Arizona Public Service Co. | 5.80 | 06/30/14 | 2,939,526 | |||||||||||||||
670 | CenterPoint Energy Resources, Corp. | 6.25 | 02/01/37 | 596,351 | |||||||||||||||
375 | CenterPoint Energy Resources, Corp. (Series B) | 7.875 | 04/01/13 | 401,837 | |||||||||||||||
65 | CMS Energy Corp. | 6.30 | 02/01/12 | 64,737 | |||||||||||||||
1,070 | Consolidated Natural Gas Co. (Series C) | 6.25 | 11/01/11 | 1,105,118 | |||||||||||||||
120 | Detroit Edison Co. | 5.20 | 10/15/12 | 121,039 | |||||||||||||||
2,170 | Duquesne Light Co. (Series O) | 6.70 | 04/15/12 | 2,271,855 | |||||||||||||||
1,650 | E.ON International Finance BV (Netherlands) | 5.80 | 04/30/18 | 1,621,651 | |||||||||||||||
910 | Enel Finance International - 144A (a) | 5.70 | 01/15/13 | 921,155 | |||||||||||||||
1,780 | Exelon Corp. | 6.75 | 05/01/11 | 1,829,813 | |||||||||||||||
365 | Florida Power Corp. | 5.80 | 09/15/17 | 374,299 | |||||||||||||||
1,735 | Isreal Electric Corp. Ltd - 144A (Isreal) (a) | 7.25 | 01/15/19 | 1,774,267 | |||||||||||||||
895 | Nevada Power Co. | 8.25 | 06/01/11 | 966,775 | |||||||||||||||
1,905 | Ohio Edison Co. | 6.40 | 07/15/16 | 1,903,404 | |||||||||||||||
2,205 | Ohio Power Company (Series K) | 6.00 | 06/01/16 | 2,190,771 | |||||||||||||||
1,120 | Pacific Gas & Electric Co. | 5.625 | 11/30/17 | 1,117,670 | |||||||||||||||
1,025 | PPL Energy Supply LLC | 6.50 | 05/01/18 | 1,002,877 | |||||||||||||||
650 | Progress Energy Carolinas, Inc. | 5.15 | 04/01/15 | 649,104 |
See Notes to Financial Statements
50
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 1,015 | Public Service Electric & Gas Co. (Series G) | 5.125 | % | 09/01/12 | $ | 1,026,823 | ||||||||||||
1,325 | Texas Eastern Transmission | 7.00 | 07/15/32 | 1,331,866 | |||||||||||||||
985 | Union Electric Co. | 6.40 | 06/15/17 | 984,757 | |||||||||||||||
430 | Virginia Electric Power Co. | 5.95 | 09/15/17 | 432,890 | |||||||||||||||
27,190,285 | |||||||||||||||||||
Electrical Products (0.5%) | |||||||||||||||||||
1,580 | Cooper Industries, Inc. | 5.25 | 11/15/12 | 1,588,151 | |||||||||||||||
Electronic Components (0.4%) | |||||||||||||||||||
1,400 | Philips Electronics | 5.75 | 03/11/18 | 1,374,122 | |||||||||||||||
Electronic Equipment/Instruments (0.3%) | |||||||||||||||||||
855 | Xerox Corp. | 6.35 | 05/15/18 | 845,498 | |||||||||||||||
Electronic Production Equipment (0.5%) | |||||||||||||||||||
1,725 | KLA-Tencor Corp. | 6.90 | 05/01/18 | 1,694,102 | |||||||||||||||
Finance/Rental/Leasing (2.4%) | |||||||||||||||||||
895 | Capital One Financial Corp. | 6.75 | 09/15/17 | 888,290 | |||||||||||||||
870 | Capmark Financial Group | 6.30 | 05/10/17 | 563,220 | |||||||||||||||
2,990 | Capmark Financial Group | 5.875 | 05/10/12 | 2,110,850 | |||||||||||||||
1,930 | CIT Group, Inc. | 5.65 | 02/13/17 | 1,333,464 | |||||||||||||||
3,000 | SLM Corp. | 3.08 | 07/26/10 | 2,663,580 | |||||||||||||||
7,559,404 | |||||||||||||||||||
Financial Conglomerates (3.3%) | |||||||||||||||||||
1,165 | Brookfield Asset Management Inc. (Canada) | 5.80 | 04/25/17 | 1,042,068 | |||||||||||||||
1,735 | Citigroup Inc. | 5.875 | 05/29/37 | 1,480,030 | |||||||||||||||
1,645 | Citigroup Inc. (Series E) | 8.40 | 04/29/49 | 1,565,810 | |||||||||||||||
1,845 | Citigroup Inc. | 5.25 | 02/27/12 | 1,822,511 | |||||||||||||||
1,745 | JPMorgan Chase & Co. | 4.75 | 05/01/13 | 1,697,700 | |||||||||||||||
2,040 | JPMorgan Chase & Co. | 6.75 | 02/01/11 | 2,118,601 | |||||||||||||||
635 | Prudential Financial, Inc. | 6.625 | 12/01/37 | 601,280 | |||||||||||||||
10,328,000 | |||||||||||||||||||
Food Retail (0.7%) | |||||||||||||||||||
1,400 | Delhaize America, Inc. | 9.00 | 04/15/31 | 1,652,444 | |||||||||||||||
610 | Kroger Co. | 5.00 | 04/15/13 | 600,643 | |||||||||||||||
2,253,087 | |||||||||||||||||||
Food: Major Diversified (1.3%) | |||||||||||||||||||
925 | ConAgra Foods, Inc. | 7.00 | 10/01/28 | 954,855 | |||||||||||||||
1,040 | ConAgra Foods, Inc. | 8.25 | 09/15/30 | 1,208,026 |
See Notes to Financial Statements
51
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 290 | Kraft Foods Inc. | 6.125 | % | 08/23/18 | $ | 281,364 | ||||||||||||
1,495 | Kraft Foods Inc. | 6.00 | 02/11/13 | 1,511,935 | |||||||||||||||
3,956,180 | |||||||||||||||||||
Food: Meat/Fish/Dairy (0.3%) | |||||||||||||||||||
290 | Pilgrim's Pride Corp. | 7.625 | 05/01/15 | 239,975 | |||||||||||||||
800 | Smithfield Foods, Inc. (Series B) | 8.00 | 10/15/09 | 800,000 | |||||||||||||||
1,039,975 | |||||||||||||||||||
Foods & Beverages (0.3%) | |||||||||||||||||||
975 | Dr Pepper Snapple Group - 144A (a) | 6.82 | 05/01/18 | 980,759 | |||||||||||||||
Gas Distributors (2.5%) | |||||||||||||||||||
650 | DCP Midstream LLC | 6.75 | 09/15/37 | 617,611 | |||||||||||||||
1,000 | Equitable Resources Inc. | 6.50 | 04/01/18 | 1,003,232 | |||||||||||||||
965 | NiSource Finance Corp | 6.80 | 01/15/19 | 948,080 | |||||||||||||||
1,870 | NiSource Finance Corp. | 3.208 | (d) | 11/23/09 | 1,818,498 | ||||||||||||||
1,700 | NiSource Finance Corp. | 7.875 | 11/15/10 | 1,763,871 | |||||||||||||||
1,730 | Questar Market Resources | 6.80 | 04/01/18 | 1,693,315 | |||||||||||||||
7,844,607 | |||||||||||||||||||
Home Building (0.1%) | |||||||||||||||||||
290 | Pulte Homes, Inc. | 6.375 | 05/15/33 | 226,200 | |||||||||||||||
Home Improvement Chains (1.6%) | |||||||||||||||||||
1,780 | Home Depot Inc. | 5.40 | 03/01/16 | 1,636,986 | |||||||||||||||
3,345 | Home Depot Inc. | 2.901 | (d) | 12/16/09 | 3,259,151 | ||||||||||||||
4,896,137 | |||||||||||||||||||
Hospital/Nursing Management (0.1%) | |||||||||||||||||||
480 | Tenet Healthcare Corp. | 7.375 | 02/01/13 | 453,600 | |||||||||||||||
Hotels/Resorts/Cruiselines (0.3%) | |||||||||||||||||||
1,130 | Starwood Hotels & Resorts | 6.75 | 05/15/18 | 1,067,534 | |||||||||||||||
Industrial Conglomerates (3.3%) | |||||||||||||||||||
9,930 | General Electric Co. | 5.25 | 12/06/17 | 9,563,464 | |||||||||||||||
785 | Honeywell International Inc. | 5.30 | 03/01/18 | 774,735 | |||||||||||||||
10,338,199 | |||||||||||||||||||
Industrial Specialties (0.2%) | |||||||||||||||||||
640 | Cox Communications Inc. | 6.25 | 06/01/18 | 625,900 |
See Notes to Financial Statements
52
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Insurance Brokers/Services (1.5%) | |||||||||||||||||||
$ | 1,500 | Farmers Exchange Capital - 144A (a) | 7.05 | % | 07/15/28 | $ | 1,374,656 | ||||||||||||
3,105 | Farmers Insurance Exchange - 144A (a) | 8.625 | 05/01/24 | 3,254,624 | |||||||||||||||
4,629,280 | |||||||||||||||||||
Integrated Oil (0.9%) | |||||||||||||||||||
1,450 | Marathon Oil Corp. | 6.00 | 10/01/17 | 1,444,255 | |||||||||||||||
1,590 | Petro-Canada (Canada) | 5.95 | 05/15/35 | 1,401,401 | |||||||||||||||
2,845,656 | |||||||||||||||||||
Investment Banks/Brokers (6.7%) | |||||||||||||||||||
1,060 | Bear Stearns Companies Inc. (The) | 7.25 | 02/01/18 | 1,108,089 | |||||||||||||||
1,310 | Bear Stearns Companies Inc. (The) | 5.55 | 01/22/17 | 1,212,743 | |||||||||||||||
1,215 | Bear Stearns Companies Inc. (The) | 6.40 | 10/02/17 | 1,202,720 | |||||||||||||||
4,165 | Goldman Sachs Group Inc. (The) | 6.15 | 04/01/18 | 4,047,993 | |||||||||||||||
4,950 | Goldman Sachs Group Inc. (The) | 6.75 | 10/01/37 | 4,541,640 | |||||||||||||||
1,260 | Lehman Brothers Holdings, Inc. | 5.75 | 01/03/17 | 1,113,708 | |||||||||||||||
1,485 | Lehman Brothers Holdings, Inc. | 6.50 | 07/19/17 | 1,376,080 | |||||||||||||||
3,730 | Lehman Brothers Holdings, Inc. | 6.875 | 07/17/37 | 3,219,937 | |||||||||||||||
1,195 | Merrill Lynch & Co., Inc. | 5.45 | 02/05/13 | 1,128,245 | |||||||||||||||
1,930 | Merrill Lynch & Co., Inc. (Series MTN) | 6.875 | 04/25/18 | 1,840,031 | |||||||||||||||
20,791,186 | |||||||||||||||||||
Major Banks (6.1%) | |||||||||||||||||||
2,075 | Bank of America Corp. | 5.65 | 05/01/18 | 1,940,756 | |||||||||||||||
1,865 | Bank of America Corp. | 5.75 | 12/01/17 | 1,754,558 | |||||||||||||||
1,500 | Bank of America Corp. | 4.875 | 09/15/12 | 1,474,512 | |||||||||||||||
970 | Bank of New York Mellon Corp. (Series MTN) | 4.50 | 04/01/13 | 946,561 | |||||||||||||||
545 | Barclays Bank Plc - 144A (United Kingdom) (a) | 6.05 | 12/04/17 | 535,151 | |||||||||||||||
3,950 | Credit Suisse New York (Switzeland) | 6.00 | 02/15/18 | 3,810,348 | |||||||||||||||
1,675 | HBOS Plc - 144A (a) | 6.75 | 05/21/18 | 1,604,740 | |||||||||||||||
1,660 | HSBC Finance Corp. | 6.75 | 05/15/11 | 1,726,237 | |||||||||||||||
1,800 | Huntington National Bank (Series T) | 4.375 | 01/15/10 | 1,672,519 | |||||||||||||||
760 | PNC Bank NA | 6.00 | 12/07/17 | 720,701 | |||||||||||||||
1,580 | Popular North America, Inc. (Series F) | 5.65 | 04/15/09 | 1,565,006 | |||||||||||||||
1,370 | Wachovia Bank NA | 5.85 | 02/01/37 | 1,093,859 | |||||||||||||||
18,844,948 | |||||||||||||||||||
Major Telecommunications (7.0%) | |||||||||||||||||||
4,470 | AT&T Corp. | 8.00 | 11/15/31 | 5,146,119 | |||||||||||||||
650 | Deutsche Telekom International Finance Corp. NV (Netherlands) | 8.75 | 06/15/30 | 747,748 |
See Notes to Financial Statements
53
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 2,335 | France Telecom S.A. (France) | 8.50 | % | 03/01/31 | $ | 2,834,200 | ||||||||||||
2,040 | SBC Communications, Inc. | 6.15 | 09/15/34 | 1,912,086 | |||||||||||||||
2,005 | Sprint Capital Corp. | 8.75 | 03/15/32 | 1,914,374 | |||||||||||||||
520 | Sprint Nextel Corp. | 6.00 | 12/01/16 | 447,906 | |||||||||||||||
3,645 | Telecom Italia Capital SA (Luxembourg) | 4.00 | 01/15/10 | 3,597,312 | |||||||||||||||
2,145 | Telefonica Europe BV (Netherlands) | 8.25 | 09/15/30 | 2,469,075 | |||||||||||||||
2,765 | Verizon Communications | 5.50 | 02/15/18 | 2,635,192 | |||||||||||||||
21,704,012 | |||||||||||||||||||
Managed Health Care (0.6%) | |||||||||||||||||||
2,020 | Unitedhealth Group Inc. | 6.00 | 02/15/18 | 1,957,521 | |||||||||||||||
Media Conglomerates (4.1%) | |||||||||||||||||||
1,050 | News America Inc. | 6.65 | 11/15/37 | 1,028,509 | |||||||||||||||
345 | Thomson Reutres Corp. | 6.50 | 07/15/18 | 344,411 | |||||||||||||||
1,410 | Time Warner Cable Inc | 6.75 | 07/01/18 | 1,421,907 | |||||||||||||||
2,690 | Time Warner, Inc. | 2.915 | 11/13/09 | 2,614,954 | |||||||||||||||
1,905 | Time Warner, Inc. | 5.875 | 11/15/16 | 1,799,229 | |||||||||||||||
2,320 | Viacom, Inc. | 6.875 | 04/30/36 | 2,185,171 | |||||||||||||||
3,335 | Vivendi - 144A (France) (a) | 6.625 | 04/04/18 | 3,316,137 | |||||||||||||||
12,710,318 | |||||||||||||||||||
Medical Specialties (2.1%) | |||||||||||||||||||
1,860 | Baxter International | 5.375 | 06/01/18 | 1,841,564 | |||||||||||||||
1,471 | Covidien International Finance | 6.00 | 10/15/17 | 1,491,420 | |||||||||||||||
3,135 | Hospira, Inc. | 3.176 | (d) | 03/30/10 | 3,040,727 | ||||||||||||||
6,373,711 | |||||||||||||||||||
Miscellaneous (0.6%) | |||||||||||||||||||
1,675 | Oracle Corp. | 5.75 | 04/15/18 | 1,676,668 | |||||||||||||||
Motor Vehicles (0.8%) | |||||||||||||||||||
1,015 | DaimlerChrysler North American Holdings Co. | 8.50 | 01/18/31 | 1,176,729 | |||||||||||||||
1,135 | Harley-Davidson Funding - 144A (a) | 6.80 | 06/15/18 | 1,123,417 | |||||||||||||||
2,300,146 | |||||||||||||||||||
Multi-Line Insurance (2.0%) | |||||||||||||||||||
2,625 | AIG SunAmerica Global Financing VI - 144A (a) | 6.30 | 05/10/11 | 2,667,567 | |||||||||||||||
3,710 | American General Finance Corp. (Series H) | 4.625 | 09/01/10 | 3,596,474 | |||||||||||||||
6,264,041 | |||||||||||||||||||
Oil & Gas Pipelines (3.2%) | |||||||||||||||||||
1,019 | Colorado Interstate Gas Co. | 6.80 | 11/15/15 | 1,045,958 | |||||||||||||||
1,265 | Enterprise Products Operating L.P. (Series B) | 5.60 | 10/15/14 | 1,240,809 | |||||||||||||||
400 | GAZ Capital SA - 144A (Luxembourg) (a) | 6.51 | 03/07/22 | 360,000 |
See Notes to Financial Statements
54
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 955 | Kinder Morgan Energy Partners, L.P. | 5.85 | % | 09/15/12 | $ | 963,911 | ||||||||||||
2,465 | Kinder Morgan Finance Co. (Canada) | 5.70 | 01/05/16 | 2,206,175 | |||||||||||||||
2,195 | Plains All American Pipeline LP/PAA Finance Corp. | 6.70 | 05/15/36 | 2,095,169 | |||||||||||||||
1,085 | Trans-Canada Pipelines | 6.20 | 10/15/37 | 997,762 | |||||||||||||||
860 | Transcontinental Gas Pipe Line Corp. (Series B) | 8.875 | 07/15/12 | 956,750 | |||||||||||||||
9,866,534 | |||||||||||||||||||
Oil & Gas Production (1.2%) | |||||||||||||||||||
860 | Chesapeake Energy Corp. | 7.625 | 07/15/13 | 866,450 | |||||||||||||||
1,220 | Encana Corp. | 6.50 | 02/01/38 | 1,210,726 | |||||||||||||||
445 | Newfield Exploration Co. | 7.125 | 05/15/18 | 423,863 | |||||||||||||||
480 | Plains Exploration & Production Co. | 7.625 | 06/01/18 | 482,400 | |||||||||||||||
810 | XTO Energy, Inc. | 5.50 | 06/15/18 | 774,988 | |||||||||||||||
3,758,427 | |||||||||||||||||||
Oil Refining/Marketing (0.3%) | |||||||||||||||||||
995 | Marathon Oil Corp. | 5.90 | 03/15/18 | 985,145 | |||||||||||||||
Oilfield Services/Equipment (0.4%) | |||||||||||||||||||
70 | Weatherford International Inc. | 6.00 | 03/15/18 | 69,210 | |||||||||||||||
1,035 | Weatherford International Inc. | 6.35 | 06/15/17 | 1,050,107 | |||||||||||||||
1,119,317 | |||||||||||||||||||
Other Metals/Minerals (1.1%) | |||||||||||||||||||
2,435 | Brascan Corp. (Canada) | 7.125 | 06/15/12 | 2,460,964 | |||||||||||||||
1,050 | Rio Tinto Finance (USA) Ltd. (Australia) | 6.50 | 07/15/18 | 1,055,108 | |||||||||||||||
3,516,072 | |||||||||||||||||||
Paper & Forest Products (0.5%) | |||||||||||||||||||
1,470 | Nine Dragons Paper Holdings Ltd. - 144A (a) | 7.875 | 04/29/13 | 1,444,687 | |||||||||||||||
Pharmaceuticals: Major (1.1%) | |||||||||||||||||||
2,205 | Glaxosmithkline Cap Inc. | 5.65 | 05/15/18 | 2,200,694 | |||||||||||||||
990 | Wyeth | 5.45 | 04/01/17 | 978,069 | |||||||||||||||
305 | Wyeth | 5.50 | 02/15/16 | 307,009 | |||||||||||||||
3,485,772 | |||||||||||||||||||
Property - Casualty Insurers (2.5%) | |||||||||||||||||||
1,145 | ACE INA Holdings Inc. | 5.60 | 05/15/15 | 1,104,231 | |||||||||||||||
1,680 | Berkshire Hathaway Finance - 144A (a) | 5.40 | 05/15/18 | 1,682,268 | |||||||||||||||
290 | Chubb Corp. | 5.75 | 05/15/18 | 281,592 | |||||||||||||||
2,500 | Mantis Reef Ltd. - 144A (Cayman Islands) (a) | 4.692 | 11/14/08 | 2,490,648 | |||||||||||||||
2,045 | Platinum Underwriters Finance Inc. (Series B) | 7.50 | 06/01/17 | 1,924,216 | |||||||||||||||
7,482,955 |
See Notes to Financial Statements
55
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Railroads (0.6%) | |||||||||||||||||||
$ | 1,835 | Union Pacific Corp. | 5.45 | % | 01/31/13 | $ | 1,841,734 | ||||||||||||
Real Estate Development (0.4%) | |||||||||||||||||||
1,127 | World Financial Properties - 144A (a) | 6.91 | 09/01/13 | 1,127,170 | |||||||||||||||
144 | World Financial Properties - 144A (a) | 6.95 | 09/01/13 | 143,323 | |||||||||||||||
1,270,493 | |||||||||||||||||||
Restaurants (0.6%) | |||||||||||||||||||
1,750 | Tricon Global Restaurants, Inc. | 8.875 | 04/15/11 | 1,892,742 | |||||||||||||||
Savings Banks (3.6%) | |||||||||||||||||||
500 | Household Finance Corp. | 4.125 | 11/16/09 | 496,850 | |||||||||||||||
1,140 | Household Finance Corp. | �� | 6.375 | 10/15/11 | 1,166,787 | ||||||||||||||
1,915 | Household Finance Corp. | 8.00 | 07/15/10 | 2,003,454 | |||||||||||||||
4,655 | Sovereign Bancorp, Inc. | 2.829 | 03/23/10(d) | 4,163,525 | |||||||||||||||
3,630 | Washington Mutual Inc. | 8.25 | 04/01/10 | 3,213,784 | |||||||||||||||
11,044,400 | |||||||||||||||||||
Services to the Health Industry (0.6%) | |||||||||||||||||||
1,830 | Medco Health Solutions | 7.125 | 03/15/18 | 1,903,769 | |||||||||||||||
Steel (0.7%) | |||||||||||||||||||
1,400 | Arcelormittal - 144A (Luxembourg) (a) | 6.125 | 06/01/18 | 1,370,662 | |||||||||||||||
710 | Evraz Group SA - 144A (Luxembourg) (a) | 9.50 | 04/24/18 | 715,325 | |||||||||||||||
2,085,987 | |||||||||||||||||||
Telecommunication Equipment (0.1%) | |||||||||||||||||||
290 | Corning Inc. | 7.25 | 08/15/36 | 295,054 | |||||||||||||||
Tobacco (0.9%) | |||||||||||||||||||
1,900 | Philip Morris International Inc. | 5.65 | 05/16/18 | 1,850,167 | |||||||||||||||
795 | Reynolds American Inc. | 6.50 | 07/15/10 | 810,900 | |||||||||||||||
2,661,067 | |||||||||||||||||||
Wireless Telecommunications (0.2%) | |||||||||||||||||||
660 | VIP Finance (Vimpelcom) - 144A (Ireland) (a) | 9.125 | 04/30/18 | 650,294 | |||||||||||||||
Total Corporate Bonds (Cost $280,081,851) | 270,657,213 | ||||||||||||||||||
Foreign Government Obligations (0.8%) | |||||||||||||||||||
MXN | 18,385 | Mexican Fixed Rate Bonds (Series M20) (Mexico) | 9.50 | 12/18/14 | 1,825,469 | ||||||||||||||
$ | 659 | Republic of Argentina (Argentina) | 8.28 | 12/31/33 | 505,432 | ||||||||||||||
Total Foreign Government Obligations (Cost $2,378,045) | 2,330,901 |
See Notes to Financial Statements
56
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Asset-Backed Securities (0.8%) | |||||||||||||||||||
$ | 1,250 | Capital One Multi-Asset Execution 2007-A7 A7 | 5.75 | % | 07/15/20 | $ | 1,223,779 | ||||||||||||
1,375 | Discover Master Card Trust 2007-A1 A1 | 5.65 | 03/16/20 | 1,322,523 | |||||||||||||||
Total Asset-Backed Securities (Cost $2,622,110) | 2,546,302 | ||||||||||||||||||
NUMBER OF SHARES | |||||||||||||||||||
Convertible Preferred Stock (0.1%) | |||||||||||||||||||
Finance/Rental/Leasing | |||||||||||||||||||
8,500 | Fannie Mae 2008-1 $4.375 (Cost $425,000) | 325,550 | |||||||||||||||||
PRINCIPAL AMOUNT IN THOUSANDS | |||||||||||||||||||
Collateralized Mortgage Obligations (0.2%) | |||||||||||||||||||
$ | 1,066 | American Home Mortgage Assets 2007-5 A3 | 2.783 | (d) | 06/25/47 | 413,549 | |||||||||||||
993 | Countrywide Alternative Loan Trust 2005-51 B1 | 3.482 | (d) | 11/20/35 | 59,577 | ||||||||||||||
647 | Countrywide Alternative Loan Trust 2005-81 M1 | 3.183 | (d) | 02/25/37 | 49,665 | ||||||||||||||
500 | Countrywide Alternative Loan Trust 2006-0A16 M4 | 3.003 | (d) | 10/25/46 | 22,188 | ||||||||||||||
550 | Harborview Mortgage Loan Trust 2006-8 B4 | 3.031 | (d) | 08/21/36 | 29,906 | ||||||||||||||
900 | Lehman XS Trust 2007-4N M4 | 3.483 | (d) | 03/25/47 | 31,506 | ||||||||||||||
498 | Luminent Mortgage Trust 2006-5 B1 | 2.843 | (d) | 07/25/36 | 29,566 | ||||||||||||||
975 | Master Adjustable Rate Mortgages Trust 2007-3 1M1 | 3.333 | (d) | 05/25/47 | 24,375 | ||||||||||||||
Total Collateralized Mortgage Obligations (Cost $4,821,318) | 660,332 | ||||||||||||||||||
U.S. Government Agency - Mortgage-Backed Security (0.0%) | |||||||||||||||||||
3 | Federal Home Loan Mortgage Corp. (Cost $3,096) | 6.50 | 12/01/28 | 3,104 | |||||||||||||||
Short-Term Investments (9.2%) | |||||||||||||||||||
U.S. Government Obligations (e) (1.5%) | |||||||||||||||||||
4,710 | U.S. Treasury Bills (b) (Cost $4,689,676) | 1.545 - 1.60 | 4,689,216 |
See Notes to Financial Statements
57
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES (000) | VALUE | ||||||||||||||
Investment Company (f) (7.7%) | |||||||||||||||
23,986 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (c) (Cost $23,985,624) | $ | 23,985,624 | ||||||||||||
Total Short-Term Investments (Cost $28,675,300) | 28,674,840 | ||||||||||||||
Total Investments (Cost $319,006,720) (g)(h) | 98.4 | % | 305,198,242 | ||||||||||||
Other Assets in Excess of Liabilities | 1.6 | 4,820,589 | |||||||||||||
Net Assets | 100.0 | % | $ | 310,018,831 |
MXM Mexican New Peso
MTN Medium Term Note.
(a) Resale is restricted to qualified institutional investors.
(b) A portion of this security has been physically segregated in connection with open futures contracts in the amount of $1,251,527.
(c) May includes cash designated as collateral in connection with open swap contracts.
(d) Floating rate security. Rate shown is the rate in effect at June 30, 2008.
(e) Purchased on a discount basis. The interest rate shown has been adjusted to reflect a money market equivalent yield.
(f) See note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class
(g) Securities have been designated as collateral in an amount equal to $190,684,779 in connection open futures contracts and open swap contracts.
(h) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $891,988 and the aggregate gross unrealized depreciation is $14,700,466, resulting in net unrealized depreciation $13,808,478.
Futures Contracts Open at June 30, 2008:
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
135 | Long | U.S. Treasury Notes 2 Year, September 2008 | $ | 28,512,421 | $ | (31,210 | ) | ||||||||||||
196 | Long | Interest Rate Swap Futures 5 Year, September 2008 | 21,033,250 | 186,199 | |||||||||||||||
133 | Short | U.S. Treasury Notes 5 Year, September 2008 | (14,703,774 | ) | (201,878 | ) | |||||||||||||
90 | Short | U.S. Treasury Bonds 20 Year, September 2008 | (10,403,438 | ) | (11,652 | ) | |||||||||||||
891 | Short | U.S. Treasury Notes 10 Year, September 2008 | (101,504,395 | ) | (320,789 | ) | |||||||||||||
Net Unrealized Depreciation | $ | (379,330 | ) |
See Notes to Financial Statements
58
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
Interest Rate Swap Contracts Open at June 30, 2008:
COUNTERPARTY | NOTIONAL AMOUNT (000'S) | PAYMENTS RECEIVED BY FUND | PAYMENTS MADE BY FUND | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Bank of America, N.A. New York | $ | 55,000 | Fixed Rate 4.556% | Floating Rate 2.814%# | June 17, 2013 | $ | 721,601 | ||||||||||||||||
Bank of America, N.A. New York | 5,600 | Fixed Rate 4.429 | Floating Rate 2.802# | June 24, 2013 | 41,552 | ||||||||||||||||||
Bank of America, N.A. New York | 6,968 | Fixed Rate 5.55 | Floating Rate 0.00# | February 22, 2018 | 92,883 | ||||||||||||||||||
Bank of America, N.A. New York | 22,760 | Fixed Rate 5.638 | Floating Rate 0.00# | March 7, 2018 | 370,760 | ||||||||||||||||||
Bank of America, N.A. New York | 6,590 | Fixed Rate 5.07 | Floating Rate 0.00# | April 14, 2018 | (28,469 | ) | |||||||||||||||||
Bank of America, N.A. New York | 4,970 | Fixed Rate 4.983 | Floating Rate 0.00# | April 15, 2018 | (36,927 | ) | |||||||||||||||||
Citibank Capital Market | 8,000 | Fixed Rate 5.448 | Floating Rate 2.734# | August 9, 2017 | 485,840 | ||||||||||||||||||
Citigroup Inc. | 16,500 | Fixed Rate 5.275 | Floating Rate 2.92# | October 25, 2037 | 766,260 | ||||||||||||||||||
Deutsche Bank AG, New York | 75,550 | Fixed Rate 5.389 | Floating Rate 2.638# | May 25, 2017 | 4,273,864 | ||||||||||||||||||
Deutsche Bank AG, New York | 11,600 | Fixed Rate 5.429 | Floating Rate 2.644# | May 29, 2017 | 690,432 | ||||||||||||||||||
Deutsche Bank AG, New York | EUR | 10,230 | Fixed Rate 5.268 | Floating Rate 5.13## | July 3, 2023 | (24,804 | ) | ||||||||||||||||
JPMorgan Chase N.A. New York | $ | 7,800 | Fixed Rate 5.448 | Floating Rate 2.644# | May 29, 2017 | 475,410 | |||||||||||||||||
JPMorgan Chase N.A. New York | 21,200 | Fixed Rate 5.454 | Floating Rate 2.676# | June 4, 2017 | 1,299,984 | ||||||||||||||||||
Merrill Lynch & Co Inc. | 6,630 | Fixed Rate 5.00 | Floating Rate 0.00# | April 15, 2018 | (45,150 | ) | |||||||||||||||||
Bank of America, N.A. New York | 8,712 | Floating Rate 0.00# | Fixed Rate 5.958 | February 22, 2023 | (142,615 | ) | |||||||||||||||||
Bank of America, N.A. New York | 29,260 | Floating Rate 0.00# | Fixed Rate 6.04 | March 7, 2023 | (543,066 | ) | |||||||||||||||||
Bank of America, N.A. New York | 8,440 | Floating Rate 0.00# | Fixed Rate 5.47 | April 14, 2023 | (23,716 | ) | |||||||||||||||||
Bank of America, N.A. New York | 5,935 | Floating Rate 0.00# | Fixed Rate 5.38 | April 15, 2023 | (2,018 | ) | |||||||||||||||||
Deutsche Bank AG, New York | EUR | 8,165 | Floating Rate 5.13## | Fixed Rate 4.934 | July 1, 2018 | (6,942 | ) | ||||||||||||||||
JPMorgan Chase N.A. New York | $ | 11,400 | Floating Rate 2.676# | Fixed Rate 4.582 | December 4, 2017 | 57,342 | |||||||||||||||||
JPMorgan Chase N.A. New York | 25,500 | Floating Rate 2.804# | Fixed Rate 3.966 | March 25, 2018 | 1,399,440 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 38,500 | Floating Rate 2.804# | Fixed Rate 3.966 | March 25, 2018 | 2,112,880 | ||||||||||||||||||
Merrill Lynch & Co Inc. | 8,340 | Floating Rate 0.00# | Fixed Rate 5.395 | April 15, 2023 | (6,255 | ) | |||||||||||||||||
Net Unrealized Appreciation | $ | 11,928,286 |
EUR Euro.
# Floating rate represents USD-3 Months LIBOR.
## Floating rate represents EUR-3 Months EURIBOR.
See Notes to Financial Statements
59
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
Credit Default Swap Contracts Open at June 30, 2008:
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Lehman Brothers Special Financing Inc. ABX He | Buy | $ | 960 | 0.18 | % | July 25, 2045 | $ | (77,049 | ) | ||||||||||||||
Credit Suisse International ABX He | Buy | 960 | 0.18 | July 25, 2045 | (67,454 | ) | |||||||||||||||||
Goldman Sachs International American Standard, Inc. | Buy | 605 | 0.50 | March 20, 2013 | (159 | ) | |||||||||||||||||
UBS AG American Standard, Inc. | Buy | 1,875 | 0.50 | March 20, 2013 | (493 | ) | |||||||||||||||||
Goldman Sachs International American Standard, Inc. | Buy | 230 | 0.60 | March 20, 2018 | 924 | ||||||||||||||||||
UBS AG American Standard, Inc. | Buy | 1,970 | 0.60 | March 20, 2018 | 7,912 | ||||||||||||||||||
Credit Suisse International Arrow Electronics, Inc. | Buy | 2,140 | 1.00 | March 20, 2015 | (15,845 | ) | |||||||||||||||||
Lehman Brothers Special Financing Inc. Arrow Electronics, Inc. | Buy | 325 | 1.04 | March 20, 2018 | (2,760 | ) | |||||||||||||||||
Credit Suisse International Arrow Electronics, Inc. | Buy | 500 | 1.11 | March 20, 2013 | (6,664 | ) | |||||||||||||||||
Lehman Brothers Special Financing Inc. Arrow Electronics, Inc. | Buy | 2,225 | 1.40 | March 20, 2013 | (57,105 | ) | |||||||||||||||||
Goldman Sachs International Avalonbay Communities Inc. | Buy | 3,275 | 3.05 | March 20, 2013 | (189,740 | ) | |||||||||||||||||
Merrill Lynch International Carnival Corp. | Buy | 1,955 | 1.50 | March 20, 2018 | (6,801 | ) | |||||||||||||||||
Merrill Lynch International Carnival Corp. | Buy | 1,640 | 1.57 | March 20, 2018 | (4,663 | ) | |||||||||||||||||
Bank of America, N.A. Carnival Corp. | Buy | 1,985 | 1.57 | March 20, 2018 | (5,643 | ) | |||||||||||||||||
Goldman Sachs International Carnival Corp. | Buy | 160 | 1.60 | March 20, 2018 | (1,224 | ) | |||||||||||||||||
Merrill Lynch International Carnival Corp. | Buy | 1,085 | 1.60 | March 20, 2018 | (8,299 | ) | |||||||||||||||||
Bank of America, N.A. Centurytel, Inc. | Buy | 905 | 0.88 | September 20, 2017 | 63,260 |
See Notes to Financial Statements
60
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Goldman Sachs International Coca-Cola Enterprises Inc. | Buy | $ | 3,395 | 0.588 | % | March 20, 2013 | $ | (23,578 | ) | ||||||||||||||
Lehman Brothers Special Financing Inc. Coca-Cola Enterprises Inc. | Buy | 1,520 | 0.64 | March 20, 2013 | (13,990 | ) | |||||||||||||||||
Goldman Sachs International Chubb Corp. | Buy | 3,900 | 0.10 | March 20, 2012 | 66,374 | ||||||||||||||||||
Goldman Sachs International Dell Inc. | Buy | 1,960 | 0.22 | March 20, 2012 | 21,619 | ||||||||||||||||||
Merrill Lynch International Disney (Walt) Co. | Buy | 3,325 | 0.77 | March 20, 2013 | (50,866 | ) | |||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | 3,360 | 1.40 | December 20, 2012 | (76,716 | ) | |||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | 3,520 | 1.40 | December 20, 2012 | (84,597 | ) | |||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | 5,770 | 1.40 | December 20, 2017 | (117,871 | ) | |||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | 9,160 | 1.55 | June 20, 2013 | (27,431 | ) | |||||||||||||||||
Citibank, N.A., New York Eaton Corp. | Buy | 885 | 0.82 | March 20, 2018 | 3,267 | ||||||||||||||||||
Merrill Lynch International Eaton Corp. | Buy | 1,235 | 0.92 | March 20, 2018 | (4,792 | ) | |||||||||||||||||
Goldman Sachs International Eaton Corp. | Buy | 1,085 | 0.97 | March 20, 2018 | (8,317 | ) | |||||||||||||||||
Goldman Sachs International Firstenergy Corp. | Buy | 3,260 | 1.25 | March 20, 2013 | (57,125 | ) | |||||||||||||||||
Lehman Brothers Special Financing Inc. Goodrich Corp. | Buy | 1,130 | 0.45 | March 20, 2018 | 14,587 | ||||||||||||||||||
Lehman Brothers Special Financing Inc. Goodrich Corp. | Buy | 810 | 0.46 | March 20, 2018 | 9,833 | ||||||||||||||||||
Goldman Sachs International Goodrich Corp. | Buy | 1,000 | 0.47 | March 20, 2018 | 11,371 | ||||||||||||||||||
Bank of America, N.A. Goodrich Corp. | Buy | 1,410 | 0.70 | March 20, 2013 | (11,621 | ) | |||||||||||||||||
Bank of America, N.A. Goodrich Corp. | Buy | 965 | 0.82 | March 20, 2018 | (14,990 | ) |
See Notes to Financial Statements
61
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Goldman Sachs International Hartford Financial Services Group, Inc. | Buy | $ | 3,900 | 0.12 | % | December 20, 2011 | $ | 118,677 | |||||||||||||||
UBS AG Martin Marietta Materials, Inc. | Buy | 1,570 | 1.73 | March 20, 2018 | (20,781 | ) | |||||||||||||||||
UBS AG Martin Marietta Materials, Inc. | Buy | 1,570 | 1.78 | March 20, 2013 | (18,107 | ) | |||||||||||||||||
Goldman Sachs International Merrill Lynch & Co., Inc. | Buy | 645 | 3.25 | March 20, 2013 | (16,980 | ) | |||||||||||||||||
Bank of America, N.A. Merrill Lynch & Co., Inc. | Buy | 1,075 | 3.25 | March 20, 2013 | (28,300 | ) | |||||||||||||||||
Lehman Brothers Special Financing Inc. Metlife, Inc. | Buy | 1,840 | 2.15 | March 20, 2013 | (69,309 | ) | |||||||||||||||||
Bank of America, N.A. Nordstrom, Inc. | Buy | 1,400 | 1.03 | March 20, 2018 | 17,486 | ||||||||||||||||||
JPMorgan Chase N.A. New York Nordstrom, Inc. | Buy | 1,070 | 1.07 | March 20, 2018 | 10,204 | ||||||||||||||||||
JPMorgan Chase N.A. New York Nordstrom, Inc. | Buy | 1,070 | 1.15 | March 20, 2018 | 3,881 | ||||||||||||||||||
Deutsche Bank AG Pactiv Corp. | Buy | 750 | 1.34 | March 20, 2013 | (7,929 | ) | |||||||||||||||||
Credit Suisse International Pactiv Corp | Buy | 2,200 | 1.35 | March 20, 2013 | (24,182 | ) | |||||||||||||||||
Bank of America, N.A. Pactiv Corp. | Buy | 2,200 | 1.375 | March 20, 2013 | (26,497 | ) | |||||||||||||||||
JPMorgan Chase N.A. New York Pepsi Bottling Group, Inc. | Buy | 855 | 0.58 | March 20, 2013 | (4,926 | ) | |||||||||||||||||
JPMorgan Chase N.A. New York Pepsi Bottling Group, Inc. | Buy | 1,165 | 0.63 | March 20, 2013 | (9,215 | ) | |||||||||||||||||
Citibank, N.A. New York Pitney Bowes Inc. | Buy | 2,220 | 0.48 | March 20, 2013 | 21,165 | ||||||||||||||||||
Goldman Sachs International Prologis | Buy | 1,840 | 2.97 | June 20, 2013 | (50,298 | ) | |||||||||||||||||
Goldman Sachs International Prologis | Buy | 1,435 | 3.33 | March 20, 2013 | (58,975 | ) |
See Notes to Financial Statements
62
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Bank of America, N.A. Sealed Air Corp. | Buy | $ | 650 | 1.08 | % | March 20, 2018 | $ | 29,923 | |||||||||||||||
Goldman Sachs International Sealed Air Corp. | Buy | 1,205 | 1.08 | March 20, 2018 | 55,473 | ||||||||||||||||||
Bank of America, N.A. Sealed Air Corp. | Buy | 900 | 1.12 | March 20, 2018 | 38,873 | ||||||||||||||||||
Goldman Sachs International Sealed Air Corp. | Buy | 585 | 1.24 | March 20, 2018 | 20,276 | ||||||||||||||||||
JPMorgan Chase N.A. New York SLM Corp. | Sell | 955 | 4.95 | March 20, 2013 | 17,435 | ||||||||||||||||||
Merrill Lynch International SLM Corp. | Sell | 955 | 5.00 | March 20, 2013 | 19,169 | ||||||||||||||||||
Bank of America, N.A. Textron Financial Corp. | Buy | 1,065 | 0.80 | March 20, 2018 | 33,204 | ||||||||||||||||||
UBS AG Textron Financial Corp. | Buy | 935 | 1.00 | March 20, 2013 | 9,006 | ||||||||||||||||||
UBS AG Textron Financial Corp. | Buy | 770 | 1.01 | March 20, 2013 | 7,418 | ||||||||||||||||||
Goldman Sachs International Textron Financial Corp. | Buy | 1,845 | 1.05 | March 20, 2013 | 13,260 | ||||||||||||||||||
UBS AG Textron Financial Corp | Buy | 1,820 | 1.06 | March 20, 2013 | (20,337 | ) | |||||||||||||||||
Bank of America, N.A. Toll Brothers, Inc. | Buy | 845 | 2.25 | March 20, 2018 | 16,355 | ||||||||||||||||||
Bank of America, N.A. Toll Brothers, Inc. | Buy | 1,695 | 2.90 | March 20, 2013 | 2,544 | ||||||||||||||||||
Citibank, N.A., New York Tyco Electronics Ltd. | Buy | 400 | 0.43 | March 20, 2012 | 4,314 | ||||||||||||||||||
Citibank, N.A., New York Tyco Electronics Ltd. | Buy | 767 | 0.43 | March 20, 2012 | 8,268 | ||||||||||||||||||
Goldman Sachs International Union Pacific Corp. | Buy | 1,950 | 0.20 | December 20, 2011 | 25,557 | ||||||||||||||||||
Deutsche Bank AG Washington Mutual | Buy | 1,745 | 5.00 | March 20, 2013 | 64,876 | ||||||||||||||||||
Goldman Sachs International Washington Mutual | Buy | 135 | 6.48 | March 20, 2013 | (1,272 | ) |
See Notes to Financial Statements
63
Morgan Stanley Variable Investment Series - Income Plus
Portfolio of Investments n June 30, 2008 (unaudited) continued
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Bank of America, N.A. Yum! Brands, Inc. | Buy | $ | 235 | 1.18 | % | March 20, 2013 | $ | (1,694 | ) | ||||||||||||||
Bank of America, N.A. Yum! Brands, Inc. | Buy | 1,515 | 1.25 | March 20, 2013 | (15,398 | ) | |||||||||||||||||
Net Unrealized Depreciation | $ | (573,482 | ) |
LONG-TERM CREDIT ANALYSIS | |||||||
AAA | 12.2 | % | |||||
AA | 14.9 | ||||||
A | 29.9 | ||||||
BBB | 38.5 | ||||||
BB | 3.8 | ||||||
B or BELOW | 0.7 | ||||||
100.0 | %* |
* Does not include open long/short futures contracts with an underlying face amount of $176,157,278 with net unrealized depreciation of $379,330. Also does not include open swap contracts with unrealized appreciation of $11,354,804.
See Notes to Financial Statements
64
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited)
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Corporate Bonds (97.2%) | |||||||||||||||||||
Advertising/Marketing Services (2.4%) | |||||||||||||||||||
$ | 810 | Idearc Inc. | 8.00 | % | 11/15/16 | $ | 513,337 | ||||||||||||
150 | Interpublic Group of Companies, Inc. (The) | 6.25 | 11/15/14 | 130,500 | |||||||||||||||
310 | Valassis Communications, Inc. (l) | 8.25 | 03/01/15 | 282,875 | |||||||||||||||
926,712 | |||||||||||||||||||
Aluminum (1.1%) | |||||||||||||||||||
440 | Novelis, Inc. - (Canada) | 7.25 | 02/15/15 | 418,000 | |||||||||||||||
Apparel/Footwear (1.4%) | |||||||||||||||||||
225 | Oxford Industries, Inc. | 8.875 | 06/01/11 | 218,250 | |||||||||||||||
330 | Phillips-Van Heusen Corp. | 7.25 | 02/15/11 | 332,475 | |||||||||||||||
550,725 | |||||||||||||||||||
Apparel/Footwear Retail (0.8%) | |||||||||||||||||||
330 | Brown Shoe Co., Inc. | 8.75 | 05/01/12 | 330,000 | |||||||||||||||
Auto Parts: O.E.M. (1.0%) | |||||||||||||||||||
445 | ArvinMeritor, Inc. (l) | 8.75 | 03/01/12 | 393,825 | |||||||||||||||
Beverages: Alcoholic (0.5%) | |||||||||||||||||||
210 | Constellation Brands, Inc. | 7.25 | 05/15/17 | 197,400 | |||||||||||||||
Broadcasting (1.0%) | |||||||||||||||||||
260 | LIN Television Corp. (l) | 6.50 | 05/15/13 | 239,200 | |||||||||||||||
190 | Univision Communications - 144A (a) | 9.75 | 03/15/15 | 140,600 | |||||||||||||||
379,800 | |||||||||||||||||||
Building Products (1.9%) | |||||||||||||||||||
275 | Interface Inc. | 9.50 | 02/01/14 | 286,000 | |||||||||||||||
145 | Interface Inc. | 10.375 | 02/01/10 | 152,975 | |||||||||||||||
505 | Nortek Inc. (l) | 8.50 | 09/01/14 | 325,725 | |||||||||||||||
764,700 | |||||||||||||||||||
Cable/Satellite TV (4.0%) | |||||||||||||||||||
410 | Cablevision Systems Corp. (Series B) | 7.133 | (j) | 04/01/09 | 412,050 | ||||||||||||||
125 | CCH II/CCH II (l) | 10.25 | 09/15/10 | 121,562 | |||||||||||||||
182 | CCH I LLC/CCH I Cap Co. (l) | 11.00 | 10/01/15 | 135,818 | |||||||||||||||
105 | CSC Holdings Inc - 144A (a) | 8.50 | 06/15/15 | 103,687 | |||||||||||||||
35 | DIRECTV Holdings/Finance | 6.375 | 06/15/15 | 32,988 | |||||||||||||||
300 | DIRECTV Holdings/Finance - 144A (a) | 7.625 | 05/15/16 | 297,000 | |||||||||||||||
100 | Echostar DBS Corp. | 6.375 | 10/01/11 | 96,750 | |||||||||||||||
330 | Echostar DBS Corp. | 6.625 | 10/01/14 | 306,075 | |||||||||||||||
65 | Virgin Media Finance plc (United Kingdom) | 8.75 | 04/15/14 | 61,425 | |||||||||||||||
1,567,355 |
See Notes to Financial Statements
65
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Casino/Gaming (5.1%) | |||||||||||||||||||
$ | 4,485 | Aladdin Gaming Holdings/Capital Corp. LLC (Series B) (b)(c)(f) | 13.50 | % | 03/01/10 | $ | 0 | ||||||||||||
800 | Harrah's Operating Co., Inc | 5.375 | 12/15/13 | 494,000 | |||||||||||||||
765 | Isle of Capri Casinos (l) | 7.00 | 03/01/14 | 543,150 | |||||||||||||||
555 | Las Vegas Sands Corp. (l) | 6.375 | 02/15/15 | 474,525 | |||||||||||||||
7,210 | Resort At Summerlin LP/Ras Co. (Series B) (b)(c)(f) | 13.00 | 12/15/07 | 0 | |||||||||||||||
530 | Station Casinos, Inc. (l) | 6.00 | 04/01/12 | 424,000 | |||||||||||||||
85 | Station Casinos, Inc. (l) | 7.75 | 08/15/16 | 65,450 | |||||||||||||||
2,001,125 | |||||||||||||||||||
Chemicals: Agricultural (0.7%) | |||||||||||||||||||
295 | Terra Capital Inc. (Series B) | 7.00 | 02/01/17 | 290,575 | |||||||||||||||
Chemicals: Major Diversified (0.6%) | |||||||||||||||||||
290 | Westlake Chemical Corp. | 6.625 | 01/15/16 | 245,050 | |||||||||||||||
Chemicals: Specialty (2.1%) | |||||||||||||||||||
160 | Innophos Holdings Inc. - 144A (a) | 9.50 | 04/15/12 | 159,200 | |||||||||||||||
270 | Innophos, Inc. | 8.875 | 08/15/14 | 271,350 | |||||||||||||||
250 | Koppers Holdings, Inc. | 9.875 | (k) | 11/15/14 | 227,500 | ||||||||||||||
175 | Koppers Industry Inc. | 9.875 | 10/15/13 | 184,625 | |||||||||||||||
842,675 | |||||||||||||||||||
Coal (1.5%) | |||||||||||||||||||
140 | Foundation PA Coal Co. | 7.25 | 08/01/14 | 140,700 | |||||||||||||||
460 | Massey Energy Co. | 6.875 | 12/15/13 | 450,800 | |||||||||||||||
591,500 | |||||||||||||||||||
Containers/Packaging (4.4%) | |||||||||||||||||||
405 | Berry Plastics Holding Corp. (l) | 8.875 | 09/15/14 | 352,350 | |||||||||||||||
160 | Berry Plastics Holdings Corp. | 10.25 | 03/01/16 | 120,800 | |||||||||||||||
155 | Graham Packaging Company Inc. | 8.50 | 10/15/12 | 147,638 | |||||||||||||||
280 | Graham Packaging Company Inc. | 9.875 | 10/15/14 | 249,200 | |||||||||||||||
430 | Graphic Packaging International Corp. (l) | 9.50 | 08/15/13 | 412,800 | |||||||||||||||
430 | Owens-Illinois, Inc. (l) | 7.50 | 05/15/10 | 439,675 | |||||||||||||||
1,722,463 | |||||||||||||||||||
Data Processing Services (0.9%) | |||||||||||||||||||
345 | Sungard Data Systems Inc. (l) | 9.125 | 08/15/13 | 350,175 | |||||||||||||||
Drugstore Chains (1.5%) | |||||||||||||||||||
410 | Rite Aid Corp. | 8.125 | 05/01/10 | 416,150 | |||||||||||||||
270 | Rite Aid Corp. | 8.625 | 03/01/15 | 180,225 | |||||||||||||||
596,375 |
See Notes to Financial Statements
66
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Electric Utilities (5.7%) | |||||||||||||||||||
$ | 270 | AES Corp. (The) | 7.75 | % | 03/01/14 | $ | 267,637 | ||||||||||||
425 | AES Corp. (The) - 144A (a) | 8.00 | 06/01/20 | 412,250 | |||||||||||||||
285 | Intergen - 144A (a) | 9.00 | 06/30/17 | 296,400 | |||||||||||||||
115 | IPALCO Enterprises, Inc. | 8.625 | 11/14/11 | 120,175 | |||||||||||||||
230 | Israel Electric Corporation Ltd. - 144A (a) | 7.25 | 01/15/19 | 235,205 | |||||||||||||||
265 | Reliant Energy Inc. (l) | 7.875 | 06/15/17 | 260,363 | |||||||||||||||
235 | Texas Competitive Electric Holdings LLC - 144A (a) | 10.25 | 11/01/15 | 231,475 | |||||||||||||||
435 | Texas Competitive Electric Holdings LLC - 144A (a) | 10.25 | 11/01/15 | 428,475 | |||||||||||||||
2,251,980 | |||||||||||||||||||
Electrical Products (1.6%) | |||||||||||||||||||
120 | Balder Electric Co. (l) | 8.625 | 02/15/17 | 121,200 | |||||||||||||||
512 | Ormat Funding Corp. | 8.25 | 12/30/20 | 506,803 | |||||||||||||||
628,003 | |||||||||||||||||||
Electronic Production Equipment (0.6%) | |||||||||||||||||||
230 | KLA Instruments Corp. | 6.90 | 05/01/18 | 225,880 | |||||||||||||||
Finance/Rental/Leasing (4.6%) | |||||||||||||||||||
775 | Capmark Financial Group Inc. | 5.875 | 05/10/12 | 547,127 | |||||||||||||||
35 | Capmark Financial Group Inc. | 6.30 | 05/10/17 | 22,658 | |||||||||||||||
640 | Ford Motor Credit Corp. (l) | 7.00 | 10/01/13 | 471,780 | |||||||||||||||
755 | Ford Motor Credit Corp. (l) | 7.25 | 10/25/11 | 585,496 | |||||||||||||||
89 | Residential Capital LLC - 144A (a) | 8.50 | 05/15/10 | 75,205 | |||||||||||||||
184 | Residential Capital LLC - 144A (a)(l) | 9.625 | 05/15/15 | 90,160 | |||||||||||||||
1,792,426 | |||||||||||||||||||
Financial Conglomerates (2.1%) | |||||||||||||||||||
600 | General Motors Acceptance Corp. | 6.875 | 09/15/11 | 431,426 | |||||||||||||||
605 | General Motors Acceptance Corp. | 6.75 | 12/01/14 | 400,034 | |||||||||||||||
831,460 | |||||||||||||||||||
Financial Services (0.1%) | |||||||||||||||||||
30 | Lender Processing Services, Inc. - 144A (a) | 8.125 | 07/01/16 | 30,187 | |||||||||||||||
Food Retail (1.3%) | |||||||||||||||||||
157 | CA FM Lease Trust - 144A (a) | 8.50 | 07/15/17 | 173,533 | |||||||||||||||
210 | Supervalu Inc. (l) | 7.50 | 05/15/12 | 213,215 | |||||||||||||||
120 | Supervalu Inc. | 7.50 | 11/15/14 | 120,750 | |||||||||||||||
507,498 | |||||||||||||||||||
Food: Meat/Fish/Dairy (1.7%) | |||||||||||||||||||
290 | Michael Foods Inc. (Series B) | 8.00 | 11/15/13 | 287,100 | |||||||||||||||
480 | Pilgrim's Pride Corp. (l) | 7.625 | 05/01/15 | 397,200 | |||||||||||||||
684,300 |
See Notes to Financial Statements
67
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Forest Products (1.1%) | |||||||||||||||||||
$ | 120 | Crown Americas, Inc. | 7.625 | % | 11/15/13 | $ | 120,300 | ||||||||||||
EUR | 200 | Crown Euro Holdings SA (France) | 6.25 | 09/01/11 | 300,721 | ||||||||||||||
421,021 | |||||||||||||||||||
Gas Distributors (1.0%) | |||||||||||||||||||
$ | 285 | DYNEGY Holdings Inc. | 7.75 | 06/01/19 | 260,775 | ||||||||||||||
130 | Equitable Resources, Inc. | 6.50 | 04/01/18 | 130,420 | |||||||||||||||
391,195 | |||||||||||||||||||
Home Building (0.1%) | |||||||||||||||||||
40 | Pulte Homes, Inc. | 6.375 | 05/15/33 | 31,200 | |||||||||||||||
Home Furnishings (0.8%) | |||||||||||||||||||
355 | Jarden Corp. (l) | 7.50 | 05/01/17 | 310,625 | |||||||||||||||
Hospital/Nursing Management (4.7%) | |||||||||||||||||||
200 | Community Health Systems (l) | 8.875 | 07/15/15 | 202,250 | |||||||||||||||
255 | HCA, Inc. (l) | 5.75 | 03/15/14 | 213,562 | |||||||||||||||
250 | HCA, Inc. | 6.25 | 02/15/13 | 218,125 | |||||||||||||||
150 | HCA, Inc. (l) | 6.50 | 02/15/16 | 125,625 | |||||||||||||||
200 | HCA, Inc. | 8.70 | 02/10/10 | 204,960 | |||||||||||||||
35 | HCA, Inc. | 8.75 | 09/01/10 | 35,613 | |||||||||||||||
15 | HCA, Inc. | 9.125 | 11/15/14 | 15,375 | |||||||||||||||
210 | Sun Healthcare Group Inc. | 9.125 | 04/15/15 | 211,050 | |||||||||||||||
505 | Tenet Healthcare Corp. (l) | 7.375 | 02/01/13 | 477,225 | |||||||||||||||
130 | Tenet Healthcare Corp. (l) | 9.875 | 07/01/14 | 131,300 | |||||||||||||||
1,835,085 | |||||||||||||||||||
Industrial Specialties (1.6%) | |||||||||||||||||||
560 | Johnsondiversy, Inc. (l) | 9.625 | 05/15/12 | 568,400 | |||||||||||||||
68 | UCAR Finance, Inc. | 10.25 | 02/15/12 | 70,720 | |||||||||||||||
639,120 | |||||||||||||||||||
Information Technology Services (0.5%) | |||||||||||||||||||
215 | VANGENT INC | 9.625 | 02/15/15 | 188,125 | |||||||||||||||
Integrated Oil (0.2%) | |||||||||||||||||||
90 | Cimarex Energy Co. | 7.125 | 05/01/17 | 88,875 | |||||||||||||||
Major Telecommunications (1.7%) | |||||||||||||||||||
385 | Sprint Capital Corp. | 6.90 | 05/01/19 | 338,451 | |||||||||||||||
370 | Sprint Nextel Corp. | 6.00 | 12/01/16 | 318,702 | |||||||||||||||
657,153 | |||||||||||||||||||
Media Conglomerates (1.1%) | |||||||||||||||||||
491 | Canwest Media Inc. (Canada) (l) | 8.00 | 09/15/12 | 439,446 |
See Notes to Financial Statements
68
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Medical Specialties (1.4%) | |||||||||||||||||||
$ | 475 | Fisher Scientific International, Inc. | 6.125 | % | 07/01/15 | $ | 471,556 | ||||||||||||
65 | Invacare Corp. | 9.75 | 02/15/15 | 65,325 | |||||||||||||||
536,881 | |||||||||||||||||||
Medical/Nursing Services (3.1%) | |||||||||||||||||||
330 | DaVita Inc. | 6.625 | 03/15/13 | 318,450 | |||||||||||||||
370 | FMC Finance III SA | 6.875 | 07/15/17 | 365,375 | |||||||||||||||
505 | Fresenius Medical Care Capital Trust | 7.875 | 06/15/11 | 525,200 | |||||||||||||||
1,209,025 | |||||||||||||||||||
Miscellaneous (0.4%) | |||||||||||||||||||
150 | Alfa MTN Invest Ltd. - 144A (a)(l) | 9.25 | 06/24/13 | 150,187 | |||||||||||||||
Miscellaneous Commercial Services (1.3%) | |||||||||||||||||||
505 | Iron Mountain Inc. | 8.625 | 04/01/13 | 510,050 | |||||||||||||||
Miscellaneous Manufacturing (0.0%) | |||||||||||||||||||
320 | Propex Fabrics Inc. | 10.00 | 12/01/12 | 4,800 | |||||||||||||||
Motor Vehicles (0.3%) | |||||||||||||||||||
215 | General Motors Corp. (l) | 8.375 | 07/15/33 | 128,463 | |||||||||||||||
Oil & Gas Pipelines (3.2%) | |||||||||||||||||||
100 | Gaz Capital Sa - 144A (a) | 6.51 | 03/07/22 | 90,000 | |||||||||||||||
375 | Pacific Energy Partners/Finance | 7.125 | 06/15/14 | 378,479 | |||||||||||||||
735 | Williams Companies, Inc. (The) | 7.875 | 09/01/21 | 782,775 | |||||||||||||||
1,251,254 | |||||||||||||||||||
Oil & Gas Production (4.7%) | |||||||||||||||||||
70 | Chaparral Energy Inc. | 8.875 | 02/01/17 | 61,075 | |||||||||||||||
445 | Chaparral Energy, Inc. | 8.50 | 12/01/15 | 388,263 | |||||||||||||||
230 | Chesapeake Energy Corp. | 7.50 | 09/15/13 | 231,150 | |||||||||||||||
28 | Chesapeake Energy Corp. | 7.75 | 01/15/15 | 29,190 | |||||||||||||||
525 | Hilcorp Energy/Finance - 144A (a) | 7.75 | 11/01/15 | 506,625 | |||||||||||||||
60 | Newfield Exploration Co. (l) | 7.125 | 05/15/18 | 57,150 | |||||||||||||||
250 | Opti Canada Inc. | 8.25 | 12/15/14 | 250,000 | |||||||||||||||
65 | Plains Exploration & Production Co. (l) | 7.625 | 06/01/18 | 65,325 | |||||||||||||||
265 | Sandridge Energy - 144A (a) | 8.625 | 04/01/15 | 272,950 | |||||||||||||||
1,861,728 | |||||||||||||||||||
Oilfield Services/Equipment (1.2%) | |||||||||||||||||||
205 | CIE Gener de Geophysique S.A. (France) | 7.50 | 05/15/15 | 205,513 | |||||||||||||||
250 | Helix Energy Solutions - 144A (a) | 9.50 | 01/15/16 | 257,500 | |||||||||||||||
463,013 |
See Notes to Financial Statements
69
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Other Consumer Services (0.3%) | |||||||||||||||||||
$ | 130 | EXPEDIA Inc. - 144A (a)(l) | 8.50 | % | 07/01/16 | $ | 127,725 | ||||||||||||
Other Transportation (1.6%) | |||||||||||||||||||
610 | CHC Helicopter Corp. (Canada) | 7.375 | 05/01/14 | 635,925 | |||||||||||||||
Pharmaceuticals: Major (0.7%) | |||||||||||||||||||
260 | Warner Chilcott Corp. | 8.75 | 02/01/15 | 265,200 | |||||||||||||||
Pharmaceuticals: Other (0.3%) | |||||||||||||||||||
110 | Axcan Intermediate Holdings - 144A (a) | 12.75 | 03/01/16 | 110,550 | |||||||||||||||
Precious Metals (0.6%) | |||||||||||||||||||
240 | Freeport-McMoran C & G | 8.375 | 04/01/17 | 253,594 | |||||||||||||||
Publishing: Books/Magazines (0.7%) | |||||||||||||||||||
327 | Dex Media West/Finance | 9.875 | 08/15/13 | 295,117 | |||||||||||||||
Pulp & Paper (1.1%) | |||||||||||||||||||
340 | Georgia Pacific Corp. - 144A (a) | 7.125 | 01/15/17 | 321,300 | |||||||||||||||
110 | Glatfelter P.H. | 7.125 | 05/01/16 | 108,350 | |||||||||||||||
429,650 | |||||||||||||||||||
Real Estate Development (0.6%) | |||||||||||||||||||
315 | Realogy Corp. (l) | 10.50 | 04/15/14 | 220,500 | |||||||||||||||
Real Estate Investment Trusts (1.5%) | |||||||||||||||||||
320 | Host Marriott LP | 6.375 | 03/15/15 | 284,800 | |||||||||||||||
255 | Host Marriott LP (l) | 7.125 | 11/01/13 | 238,425 | |||||||||||||||
60 | ProLogis | 6.625 | 05/15/18 | 59,209 | |||||||||||||||
582,434 | |||||||||||||||||||
Restaurants (0.6%) | |||||||||||||||||||
25 | Aramark Corp. | 6.373 | (j) | 02/01/15 | 23,500 | ||||||||||||||
75 | Aramark Corp. | 8.50 | 02/01/15 | 73,875 | |||||||||||||||
165 | Aramark Services Inc. | 5.00 | 06/01/12 | 145,200 | |||||||||||||||
242,575 | |||||||||||||||||||
Savings Banks (0.6%) | |||||||||||||||||||
300 | Washington Mutual Pfd - 144A (a)(l) | 9.75 | 10/29/49 | 236,584 | |||||||||||||||
Semiconductors (0.9%) | |||||||||||||||||||
410 | Freescale Semiconductor | 8.875 | 12/15/14 | 335,175 | |||||||||||||||
Services to the Health Industry (2.5%) | |||||||||||||||||||
135 | LVB Acquisition Merger Sub, Inc. (l) | 10.375 | 10/15/17 | 143,775 | |||||||||||||||
155 | Medco Health Solutions, Inc. | 7.125 | 03/15/18 | 161,248 | |||||||||||||||
270 | National Mentor Holdings Inc. | 11.25 | 07/01/14 | 278,775 | |||||||||||||||
345 | Omnicare Inc. | 6.75 | 12/15/13 | 326,025 | |||||||||||||||
70 | Omnicare Inc. | 6.875 | 12/15/15 | 65,100 | |||||||||||||||
974,923 |
See Notes to Financial Statements
70
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Specialty Stores (0.9%) | |||||||||||||||||||
$ | 145 | Sonic Automotive, Inc. | 8.625 | % | 08/15/13 | $ | 134,850 | ||||||||||||
230 | United Auto Group | 7.75 | 12/15/16 | 202,400 | |||||||||||||||
337,250 | |||||||||||||||||||
Specialty Telecommunications (2.6%) | |||||||||||||||||||
230 | American Tower Corp. (l) | 7.125 | 10/15/12 | 233,450 | |||||||||||||||
310 | American Tower Corp. (l) | 7.50 | 05/01/12 | 314,650 | |||||||||||||||
125 | Citizens Communications | 6.25 | 01/15/13 | 116,562 | |||||||||||||||
98 | Panamsat Corp. | 9.00 | 08/15/14 | 99,348 | |||||||||||||||
148 | Qwest Communications International | 6.176 | (j) | 02/15/09 | 148,000 | ||||||||||||||
125 | Windstream Corp. (l) | 8.125 | 08/01/13 | 125,313 | |||||||||||||||
1,037,323 | |||||||||||||||||||
Steel (0.5%) | |||||||||||||||||||
200 | Evraz Group SA - 144A (a)(l) | 9.50 | 04/24/18 | 201,500 | |||||||||||||||
Telecommunications (1.4%) | |||||||||||||||||||
150 | Axtel SA (Mexico) | 11.00 | 12/15/13 | 160,500 | |||||||||||||||
613 | Exodus Communications, Inc. (b)(c)(f) | 11.625 | 07/15/10 | 0 | |||||||||||||||
135 | Nordic Tel Company - 144A (a) (Denmark) | 8.875 | 05/01/16 | 132,975 | |||||||||||||||
4,679 | Rhythms Netconnections, Inc. (b)(c)(f) | 12.75 | 04/15/09 | 0 | |||||||||||||||
EUR | 110 | TDC AS (Denmark) | 6.50 | 04/19/12 | 166,176 | ||||||||||||||
$ | 100 | U.S. West Communications Corp. | 5.625 | 11/15/08 | 100,250 | ||||||||||||||
559,901 | |||||||||||||||||||
Water Utilities (0.4%) | |||||||||||||||||||
150 | Nalco Co. (l) | 7.75 | 11/15/11 | 150,750 | |||||||||||||||
Wholesale Distributors (1.1%) | |||||||||||||||||||
440 | RBS Global & Rexnold Corp. | 9.50 | 08/01/14 | 426,800 | |||||||||||||||
Wireless Telecommunications (1.3%) | |||||||||||||||||||
185 | VIP Finance (VIMPELCOM) - 144A (a)(l) | 9.125 | 04/30/18 | 182,283 | |||||||||||||||
300 | Wind Acquisition Finance SA - 144A (a) (Luxembourg) | 10.75 | 12/01/15 | 316,500 | |||||||||||||||
498,783 | |||||||||||||||||||
Total Corporate Bonds (Cost $57,596,478) | 38,159,694 | ||||||||||||||||||
Government Obligation (0.6%) | |||||||||||||||||||
MXN | 2,360 | Mexican Fixed Rate Bonds (Cost $236,562) | 9.50 | 12/18/14 | 234,327 |
See Notes to Financial Statements
71
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Collateralized Mortgage Obligations (0.3%) | |||||||||||||||||||
Finance/Rental/Leasing (0.4%) | |||||||||||||||||||
$ | 157 | American Home Mortgage Assets - 2006-4 1A3 | 2.793 | % | 10/25/46 | $ | 63,367 | ||||||||||||
152 | Countrywide Alternative Loan Trust - 2006-0A21 A3 | 2.762 | 03/20/47 | 59,455 | |||||||||||||||
100 | Master Adjustable Rate Mortgage Trust - 2007-3 1M2 | 3.583 | 05/25/47 | 18,118 | |||||||||||||||
Total Collateralized Mortgage Obligations (Cost $345,462) | 140,940 | ||||||||||||||||||
Senior Loans (0.6%) | |||||||||||||||||||
Data Processing Services (0.6%) | |||||||||||||||||||
118 | First Data Corp. | 5.231 | 09/24/14 | 108,044 | |||||||||||||||
16 | First Data Corp. | 5.551 | 09/24/14 | 14,956 | |||||||||||||||
119 | First Data Corp. | 5.552 | 09/24/14 | 109,524 | |||||||||||||||
Total Senior Loans (Cost $245,811) | 232,524 |
NUMBER OF SHARES | |||||||||||
Common Stocks (0.1%) | |||||||||||
Casino/Gaming (e)(f) (0.0%) | |||||||||||
2,000 | Fitzgeralds Gaming Corp. (g) | 0 | |||||||||
Food: Specialty/Candy (d)(e)(f) (0.0%) | |||||||||||
2,375 | SFAC New Holdings Inc. (h) | 0 | |||||||||
436 | SFFB Holdings Inc. | 0 | |||||||||
0 | |||||||||||
Restaurants (d)(e)(f) (0.1%) | |||||||||||
3,374 | American Restaurant Group Holdings, Inc. | 26,992 | |||||||||
92,158 | Catalina Restaurant Group (escrow) | 922 | |||||||||
27,914 | |||||||||||
Specialty Telecommunications (d)(e) (0.0%) | |||||||||||
12,688 | Birch Telecom Inc. (i)(f) | 127 | |||||||||
131,683 | PFB Telecom NV (Series B) (f) | 0 | |||||||||
565 | XO Holdings, Inc. | 232 | |||||||||
359 |
See Notes to Financial Statements
72
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Telecommunications (d)(e) (0.0%) | |||||||||||
7 | Viatel Holdings Bermuda Ltd. (Bermuda) | $ | 7 | ||||||||
Textiles (d)(e)(f) (0.0%) | |||||||||||
298,461 | U.S. Leather, Inc. | 0 | |||||||||
Wireless Telecommunications (0.0%) | |||||||||||
521 | USA Mobility, Inc. (l) | 3,933 | |||||||||
Total Common Stocks (Cost $41,768,430) | 32,213 | ||||||||||
Convertible Preferred Stocks (0.1%) | |||||||||||
Finance/Rental/Leasing (0.1%) | |||||||||||
1,095 | Fannie Mae Ser 2008-1 (Cost $54,750) | 41,939 |
NUMBER OF WARRANTS | EXPIRATION DATE | ||||||||||||||
Warrants (e) (0.0%) | |||||||||||||||
Casino/Gaming (f) (0.0%) | |||||||||||||||
83,500 | Aladdin Gaming Enterprises, Inc. - 144A (a) | 03/01/10 | 0 | ||||||||||||
Personnel Services (f) (0.0%) | |||||||||||||||
42,250 | Comforce Corp. - 144A (a) | 12/01/09 | 0 | ||||||||||||
Specialty Telecommunications (d) (0.0%) | |||||||||||||||
1,132 | XO Holdings, Inc. (Series A) | 01/16/10 | 34 | ||||||||||||
849 | XO Holdings, Inc. (Series B) | 01/16/10 | 9 | ||||||||||||
849 | XO Holdings, Inc. (Series C) | 01/16/10 | 25 | ||||||||||||
68 | |||||||||||||||
Total Warrants (Cost $128,405) | 68 |
See Notes to Financial Statements
73
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Short-Term Investments (27.7%) | |||||||||||
Securities Held as Collateral on Loaned Securities (27.2%) | |||||||||||
Repurchase Agreements (6.5%) | |||||||||||
$ | 515 | ABN Amro Bank N.V. (2.70%, dated 06/30/08, due 07/01/08; proceeds $515,143; fully collateralized by U.S. Government Agency security and corporate bond at the date of this Portfolio of Investments as follows: Federal Home Loan Bank 3.0% due 6/11/10; Merck & Co. 4.75% due 03/01/15; valued at $525,687). | $ | 515,104 | |||||||
1,134 | Bank of America Securities LLC (2.25% - 2.75% dated 06/30/08, due 07/01/08; proceeds $1,133,983; fully collateralized by U.S. Government Agency security and common stocks at the date of this Portfolio of Investments as follows: Freddie Mac Giant 5.50% due 03/01/38; Sempra Energy; Flowserve Corp.; Entergy Corp.; Avnet Inc.; Allied Waste Industries Inc.; Air Products & Chemicals Inc.; Trimble Navigations Ltd.; valued at $1,166,432). | 1,133,908 | |||||||||
344 | Deutsche Bank (2.75%, dated 06/30/08, due 07/01/08; proceeds $343,765; fully collateralized by CSX Corp. common stock at the date of this Portfolio of Investments; valued at $361,105). | 343,739 | |||||||||
412 | Lehman Bothers Inc. (2.70%, dated 06/30/08, due 07/01/08; proceeds $412,114; fully collateralized by Municipal Bonds at the date of this Portfolio of Investments as follows: Kansas City, Illinois - School District No. 129 Aurora West 4.0% due 02/01/13; Chicago, Illinois - O'Hare International Airport Rev Ref-Gen Airport Third Lien Ser. B 5.125% due 01/01/14; Metropolitan Transit Authority New York Rev. Series A & Series F 5.0% due 11/15/25 - 11/15/37; Pleasantville New York UN Free School Dist rict 5.0% due 11/01/22; Guadalupe-Blanco River Authority Texas Sewer Disposal Facility - EI Du Pont De Nemours & Co. 5.50% due 05/01/29; Lehman Muni Trust Receipts Various States - Louisville & Jefferson County, Rhode Island, TRS - Series 06-F10, 144A,; and Sacramento California Floater Trust - Series P41W Reg. D 4.27% due 08/15/33; Becker Minn Pollution Control Rev., Rhode Island - TRS Series FP13, 144A 0.0% due 04/01/30; University of Massachusetts Building Authority Project Rev SR-Series 2.40% - 5.0% due 05/01/10 - 05/01/27; Puerto Rico Housing Finance Corp. Floater-TRS-Series F8J-Reg. D 2.15% due 06/01/21; valued at $420,548). | 412,083 | |||||||||
124 | Merrill Lynch & Co., Inc. (2.65%, dated 06/30/08, due 07/01/08; proceeds $123,634; fully collateralized by corporate bond at the date of this Portfolio of Investments; Qwest Corp. 6.50% due 06/01/17; valued at $126,226). | 123,625 | |||||||||
Total Repurchase Agreements (Cost $2,528,459) | 2,528,459 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
Investment Company (m) (20.7%) | |||||||||||
8,139 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (n) (Cost $8,138,969) | 8,138,969 | |||||||||
Total Securities Held as Collateral on Loaned Securities (Cost $10,667,428) | 10,667,428 |
See Notes to Financial Statements
74
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
U.S. Government Obligations (o) (0.5%) | |||||||||||||||||||
$ | 70 | U.S. Treasury Bill | 1.44 - 1.83 | % | 10/09/08 | $ | 69,699 | ||||||||||||
120 | U.S. Treasury Bill | 1.00 | 10/09/08 | 119,467 | |||||||||||||||
Total U.S. Government Obligations (Cost $189,154) | 189,166 | ||||||||||||||||||
Total Short-Term Investments (Cost $10,856,582) | 10,856,594 | ||||||||||||||||||
Total Investments (Cost $111,232,480) (p)(q) | 126.6 | % | 49,698,299 | ||||||||||||||||
Liabilities In Excess of Other Assets | (26.6 | ) | (10,457,296 | ) | |||||||||||||||
Net Assets | 100.0 | % | $ | 39,241,003 |
(a) Resale is restricted to qualified institutional investors.
(b) Issuer in bankruptcy.
(c) Non-income producing security; bond in default.
(d) Acquired through exchange offer.
(e) Non-income producing security.
(f) Securities with total market value equal to $28,041 have been valued at their fair value as determined in good faith under procedures established by and under general supervision of the Fund's Trustees.
(g) Resale is restricted, acquired (12/22/98) at a cost basis of $9,020.
(h) Resale is restricted, acquired (06/10/99) at a cost basis of $24.
(i) Resale is restricted, acquired (between 03/06/98 and 08/25/98) at a cost basis of $6,473,685.
(j) Floating rate security. Rate shown is the rate in effect at June 30, 2008.
(k) Currently a zero coupon bond and is scheduled to pay interest at the rate shown at a future specified date.
(l) All or a portion of this security was on loan at June 30, 2008.
(m) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio-Institutional Class.
(n) Includes cash in the amount of $40,000 designated as collateral in connection with open swap contracts.
(o) All or a portion of these securities have been physically segregated in connection with open futures contracts in the amount of $113,960.
(p) Securities have been designated as collateral in the amount equal to $17,882,413 in connection with open forward foreign currency, futures and swap contracts.
(q) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $436,117 and the aggregate gross unrealized depreciation is $61,970,298, resulting in net unrealized depreciation of $61,534,181.
See Notes to Financial Statements
75
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
Futures Contracts Open at June 30, 2008:
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED DEPRECIATION | |||||||||||||||
17 | Long | U.S. Treasury Note 2 Year, September 2008 | $ | 3,590,453 | $ | (3,955 | ) | ||||||||||||
3 | Short | U.S. Treasury Note 5 Year, September 2008 | (331,664 | ) | (155 | ) | |||||||||||||
14 | Short | U.S. Treasury Bond 20 Year, September 2008 | (1,618,313 | ) | (6,701 | ) | |||||||||||||
70 | Short | U.S. Treasury Note 10 Year, September 2008 | (7,974,532 | ) | (466 | ) | |||||||||||||
Total Unrealized Depreciation | $ | (11,277 | ) |
Credit Default Swap Contracts Open at June 30, 2008:
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Lehman Brothers, Inc. ABX | Buy | $ | 75 | 0.18 | % | July 25, 2045 | $ | (6,019 | ) | ||||||||||||||
Credit Suisse ABX | Buy | 75 | 0.18 | July 25, 2045 | (5,270 | ) | |||||||||||||||||
UBS Securities American Standard Inc. | Buy | 235 | 0.50 | March 20, 2013 | (62 | ) | |||||||||||||||||
Goldman Sachs International American Standard Inc. | Buy | 80 | 0.50 | March 20, 2013 | (21 | ) | |||||||||||||||||
UBS Securities American Standard Inc. | Buy | 250 | 0.60 | March 20, 2018 | 1,004 | ||||||||||||||||||
Goldman Sachs International American Standard Inc. | Buy | 40 | 0.60 | March 20, 2018 | 161 | ||||||||||||||||||
Lehman Brothers, Inc. Arrow Electronics, Inc. | Buy | 630 | 1.40 | March 20, 2013 | (16,169 | ) | |||||||||||||||||
Credit Suisse Arrow Electronics, Inc. | Buy | 330 | 1.11 | March 20, 2013 | (4,398 | ) | |||||||||||||||||
Credit Suisse Arrow Electronics, Inc. | Buy | 275 | 1.00 | March 20, 2015 | (2,036 | ) | |||||||||||||||||
Credit Suisse Arrow Electronics, Inc. | Buy | 60 | 1.04 | March 20, 2018 | (510 | ) |
See Notes to Financial Statements
76
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Goldman Sachs International Avalonbay Communities Inc. | Buy | $ | 415 | 3.05 | % | March 20, 2013 | $ | (24,043 | ) | ||||||||||||||
Goldman Sachs International Avalonbay Communities Inc. | Buy | 375 | 2.20 | June 20, 2013 | (8,596 | ) | |||||||||||||||||
Bank of America N.A. Carnival Corp. | Buy | 255 | 1.57 | March 20, 2018 | (725 | ) | |||||||||||||||||
Merrill Lynch, Inc. Carnival Corp. | Buy | 215 | 1.57 | March 20, 2018 | (611 | ) | |||||||||||||||||
Merrill Lynch, Inc. Carnival Corp. | Buy | 250 | 1.50 | March 20, 2018 | (870 | ) | |||||||||||||||||
Merrill Lynch, Inc. Carnival Corp. | Buy | 140 | 1.60 | March 20, 2018 | (1,071 | ) | |||||||||||||||||
Goldman Sachs International Coca-Cola Enterprises Inc. | Buy | 430 | 0.587 | March 20, 2013 | (2,986 | ) | |||||||||||||||||
Lehman Brothers, Inc. Coca-Cola Enterprises Inc. | Buy | 385 | 0.64 | March 20, 2013 | (3,544 | ) | |||||||||||||||||
Merrill Lynch, Inc. Disney (Walt) Co. | Buy | 630 | 0.77 | March 20, 2013 | (9,638 | ) | |||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | 240 | 1.40 | December 20, 2012 | 1,689 | ||||||||||||||||||
Merrill Lynch, Inc. Dow Jones Index | Sell | 255 | 1.40 | December 20, 2012 | 6,668 | ||||||||||||||||||
Lehman Brothers, Inc. Dow Jones Index | Sell | 1485 | 3.75 | December 20, 2012 | (52,524 | ) | |||||||||||||||||
UBS Securities Dow Jones Index | Sell | 610 | 5.00 | June 20, 2013 | (17,117 | ) | |||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | 1070 | 5.00 | June 20, 2013 | (600 | ) | |||||||||||||||||
Citigroup Global Markets Eaton Corp. | Buy | 330 | 0.82 | March 20, 2018 | 1,218 | ||||||||||||||||||
Goldman Sachs International Eaton Corp. | Buy | 145 | 0.97 | March 20, 2018 | (1,111 | ) | |||||||||||||||||
Merrill Lynch, Inc. Eaton Corp. | Buy | 145 | 0.92 | March 20, 2018 | (563 | ) | |||||||||||||||||
Goldman Sachs International Firstenergy Corp. | Buy | 410 | 1.25 | March 20, 2013 | (7,184 | ) | |||||||||||||||||
Bank of America N.A. Goodrich Corp. | Buy | 180 | 0.70 | March 20, 2013 | (1,484 | ) |
See Notes to Financial Statements
77
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Bank of America N.A. Goodrich Corp. | Buy | $ | 125 | 0.82 | % | March 20, 2018 | $ | (1,942 | ) | ||||||||||||||
Lehman Brothers, Inc. Goodrich Corp. | Buy | 100 | 0.46 | March 20, 2018 | 1,214 | ||||||||||||||||||
Lehman Brothers, Inc. Goodrich Corp. | Buy | 140 | 0.45 | March 20, 2018 | 1,807 | ||||||||||||||||||
Goldman Sachs International Goodrich Corp. | Buy | 120 | 0.47 | March 20, 2018 | 1,365 | ||||||||||||||||||
UBS Securities Martin Marietta Materials, Inc. | Buy | 100 | 1.78 | March 20, 2013 | (1,153 | ) | |||||||||||||||||
UBS Securities Martin Marietta Materials, Inc. | Buy | 100 | 1.73 | March 20, 2018 | (1,324 | ) | |||||||||||||||||
Goldman Sachs International Merrill Lynch Co. | Buy | 230 | 2.45 | March 20, 2013 | 1,166 | ||||||||||||||||||
J.P. Morgan Securities Merrill Lynch Co. | Buy | 220 | 2.30 | March 20, 2013 | 2,410 | ||||||||||||||||||
Lehman Brothers, Inc. Metlife Inc. | Buy | 245 | 2.15 | March 20, 2013 | (9,229 | ) | |||||||||||||||||
Bank of America N.A. Nordstrom, Inc. | Buy | 170 | 1.03 | March 20, 2018 | 2,123 | ||||||||||||||||||
J.P. Morgan Securities Nordstrom, Inc. | Buy | 135 | 1.07 | March 20, 2018 | 1,287 | ||||||||||||||||||
J.P. Morgan Securities Nordstrom, Inc. | Buy | 135 | 1.15 | June 20, 2018 | 490 | ||||||||||||||||||
J.P. Morgan Securities Pepsi Bottling Group, Inc. | Buy | 150 | 0.63 | March 20, 2013 | (1,187 | ) | |||||||||||||||||
J.P. Morgan Securities Pepsi Bottling Group, Inc. | Buy | 110 | 0.58 | March 20, 2013 | (634 | ) | |||||||||||||||||
Credit Suisse Pactiv Corp. | Buy | 375 | 1.35 | March 20, 2013 | (4,122 | ) | |||||||||||||||||
Bank of America N.A. Pactiv Corp. | Buy | 375 | 1.375 | March 20, 2013 | (4,517 | ) | |||||||||||||||||
Deutsche Bank Pactiv Corp. | Buy | 125 | 1.34 | March 20, 2013 | (1,322 | ) | |||||||||||||||||
Goldman Sachs International Prologis | Buy | 185 | 3.33 | March 20, 2013 | (7,603 | ) | |||||||||||||||||
Goldman Sachs International Prologis | Buy | 235 | 2.97 | June 20, 2013 | (6,424 | ) |
See Notes to Financial Statements
78
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Goldman Sachs International Qwest Capital Funding | Sell | $ | 110 | 3.25 | % | December 20, 2012 | $ | (6,619 | ) | ||||||||||||||
Goldman Sachs International Sealed Air Corp. | Buy | 75 | 1.24 | March 20, 2018 | 2,600 | ||||||||||||||||||
Goldman Sachs International Sealed Air Corp. | Buy | 155 | 1.08 | March 20, 2018 | 7,136 | ||||||||||||||||||
Bank of America N.A. Sealed Air Corp. | Buy | 110 | 1.12 | March 20, 2018 | 4,751 | ||||||||||||||||||
Bank of America N.A. Sealed Air Corp. | Buy | 85 | 1.08 | March 20, 2018 | 3,913 | ||||||||||||||||||
J.P. Morgan Securities SLM Corp. | Sell | 120 | 4.95 | March 20, 2013 | 2,191 | ||||||||||||||||||
Merrill Lynch, Inc. SLM Corp. | Sell | 120 | 5.00 | March 20, 2013 | 2,409 | ||||||||||||||||||
UBS Securities Textron Financial Corp. | Buy | 350 | 1.06 | March 20, 2013 | (3,911 | ) | |||||||||||||||||
Goldman Sachs International Textron Financial Corp. | Buy | 360 | 1.05 | March 20, 2013 | 2,587 | ||||||||||||||||||
UBS Securities Textron Financial Corp. | Buy | 140 | 1.01 | March 20, 2013 | 1,349 | ||||||||||||||||||
UBS Securities Textron Financial Corp | Buy | 180 | 1.00 | March 20, 2013 | 1,734 | ||||||||||||||||||
Bank of America N.A. Textron Financial Corp | Buy | 205 | 0.80 | March 20, 2018 | 6,391 | ||||||||||||||||||
UBS Securities Toll Brothers, Inc. | Buy | 335 | 2.90 | March 20, 2013 | 503 | ||||||||||||||||||
Bank of America N.A. Toll Brothers, Inc. | Buy | 215 | 2.90 | March 20, 2013 | 323 | ||||||||||||||||||
Bank of America N.A. Toll Brothers, Inc. | Buy | 110 | 2.25 | March 20, 2018 | 2,129 | ||||||||||||||||||
Deutsche Bank Washington Mutual | Buy | 225 | 5.00 | June 20, 2013 | 8,365 | ||||||||||||||||||
Net Unrealized Depreciation | $ | (148,156 | ) |
See Notes to Financial Statements
79
Morgan Stanley Variable Investment Series - High Yield
Portfolio of Investments n June 30, 2008 (unaudited) continued
Interest Rate Swap Contracts Open at June 30, 2008:
COUNTERPARTY | NOTIONAL AMOUNT (000'S) | PAYMENTS RECEIVED BY FUND | PAYMENTS MADE BY FUND | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Bank of America N.A. | $ | 857 | Fixed Rate 5.550% | Floating Rate 0.000%@ | February 22, 2018 | $ | 11,424 | ||||||||||||||||
Bank of America N.A. | 2,890 | Fixed Rate 5.637 | Floating Rate 0.000@ | March 7, 2018 | 47,078 | ||||||||||||||||||
Bank of America N.A. | 830 | Fixed Rate 5.070 | Floating Rate 0.000@ | April 14, 2018 | (3,586 | ) | |||||||||||||||||
Bank of America N.A. | 1,525 | Fixed Rate 4.982 | Floating Rate 0.000@ | April 15, 2018 | (11,331 | ) | |||||||||||||||||
Bank of America N.A. | 1,068 | Floating Rate 0.000@ | Fixed Rate 5.957 | February 22, 2023 | (17,483 | ) | |||||||||||||||||
Bank of America N.A. | 3,715 | Floating Rate 0.000@ | Fixed Rate 6.040 | March 7, 2023 | (68,950 | ) | |||||||||||||||||
Bank of America N.A. | 1,065 | Floating Rate 0.000@ | Fixed Rate 5.470 | April 14, 2023 | (2,993 | ) | |||||||||||||||||
Bank of America N.A. | 1,900 | Floating Rate 0.000@ | Fixed Rate 5.380 | April 15, 2023 | (646 | ) | |||||||||||||||||
Citibank N.A. | 2,800 | Fixed Rate 5.004 | Floating Rate 2.899@ | October 31, 2017 | 75,740 | ||||||||||||||||||
Deutsche Bank AG, New York | EUR | 3,945 | Fixed Rate 5.268 | Floating Rate 5.130© | July 3, 2023 | (9,565 | ) | ||||||||||||||||
Deutsche Bank AG, New York | EUR | 3,150 | Floating Rate 4.934© | Fixed Rate 5.130 | July 1, 2018 | (2,678 | ) | ||||||||||||||||
JPMorgan Chase Bank N.A. | $ | 7,000 | Fixed Rate 4.902 | Floating Rate 2.695@ | November 20, 2017 | 135,520 | |||||||||||||||||
Net Unrealized Appreciation | $ | 152,530 |
@ Floating rate represents USD-3 Months LIBOR.
© Floating rate represents EUR-3 Months EURIBOR.
Forward Foreign Currency Contracts Open at June 30, 2008:
CONTRACTS TO DELIVER | IN EXCHANGE FOR | DELIVERY DATE | UNREALIZED DEPRECIATION | ||||||||||||
EUR | 300,000 | $ | 467,400 | July 31, 2008 | $ | (4,156 | ) |
Currency Abbreviations:
EUR Euro.
MXN Mexican New Peso.
LONG-TERM CREDIT ANALYSIS | |||||||
A | 0.4 | % | |||||
BBB | 6.6 | ||||||
BB | 20.6 | ||||||
B | 49.5 | ||||||
CCC | 21.1 | ||||||
NR | 1.8 | ||||||
100.0 | %* |
* Does not include open short/long futures contracts with an underlying face amount of $13,514,962 with unrealized depreciation of $11,277, open forward foreign currency contracts with net unrealized depreciation of $4,156 and open swap contracts with unrealized appreciation of $4,374.
See Notes to Financial Statements
80
Morgan Stanley Variable Investment Series - Utilities
Portfolio of Investments n June 30, 2008 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (98.5%) | |||||||||||
Electric Utilities (56.3%) | |||||||||||
204,100 | AES Corp. (The) (a) | $ | 3,920,761 | ||||||||
67,000 | Allegheny Energy, Inc. (a)(b) | 3,357,370 | |||||||||
41,700 | Ameren Corp. (b) | 1,760,991 | |||||||||
67,500 | American Electric Power Co., Inc. (b) | 2,715,525 | |||||||||
197,800 | CMS Energy Corp. (b) | 2,947,220 | |||||||||
52,900 | Consolidated Edison, Inc. (b) | 2,067,861 | |||||||||
47,500 | Constellation Energy Group (b) | 3,899,750 | |||||||||
34,000 | Dominion Resources, Inc. (b) | 1,614,660 | |||||||||
62,700 | DPL, Inc. (b) | 1,654,026 | |||||||||
34,000 | DTE Energy Co. (b) | 1,442,960 | |||||||||
151,032 | Duke Energy Corp. (b) | 2,624,936 | |||||||||
86,300 | Edison International (b) | 4,434,094 | |||||||||
12,200 | Entergy Corp. (b) | 1,469,856 | |||||||||
60,000 | Exelon Corp. | 5,397,600 | |||||||||
62,500 | FirstEnergy Corp. | 5,145,625 | |||||||||
70,300 | FPL Group, Inc. (b) | 4,610,274 | |||||||||
105,200 | Northeast Utilities (b) | 2,685,756 | |||||||||
70,400 | NRG Energy, Inc. (a) | 3,020,160 | |||||||||
47,400 | NSTAR (b) | 1,603,068 | |||||||||
107,300 | PG&E Corp. (b) | 4,258,737 | |||||||||
92,100 | PPL Corp. | 4,814,067 | |||||||||
95,300 | Public Service Enterprise Group Inc. (b) | 4,377,129 | |||||||||
76,900 | SCANA Corp. (b) | 2,845,300 | |||||||||
111,500 | Southern Co. (The) (b) | 3,893,580 | |||||||||
67,000 | Wisconsin Energy Corp. (b) | 3,029,740 | |||||||||
79,591,046 | |||||||||||
Energy (19.8%) | |||||||||||
77,600 | AGL Resources, Inc. (b) | 2,683,408 | |||||||||
213,261 | Dynegy, Inc. (Class A) (a)(b) | 1,823,382 | |||||||||
55,800 | Equitable Resources, Inc. (b) | 3,853,548 | |||||||||
85,300 | MDU Resources Group, Inc. (b) | 2,973,558 | |||||||||
52,550 | New Jersey Resources Corp. (b) | 1,715,758 | |||||||||
61,400 | Questar Corp. (b) | 4,361,856 | |||||||||
80,100 | Sempra Energy (b) | 4,521,645 |
NUMBER OF SHARES | VALUE | ||||||||||
69,116 | Spectra Energy Corp. (b) | $ | 1,986,394 | ||||||||
100,800 | Williams Companies, Inc. (The) (b) | 4,063,248 | |||||||||
27,982,797 | |||||||||||
Telecommunications (21.3%) | |||||||||||
38,800 | America Movil SAB de C.V. (Series L) (ADR) (Mexico) | 2,046,700 | |||||||||
27,300 | American Tower Corp. (Class A) (a) | 1,153,425 | |||||||||
173,921 | AT&T Inc. | 5,859,398 | |||||||||
6,200 | China Mobile Ltd. (ADR) (Hong Kong) | 415,090 | |||||||||
66,000 | Citizens Communications Co. (b) | 748,440 | |||||||||
167,100 | Comcast Corp. (Class A) (b) | 3,169,887 | |||||||||
41,900 | Crown Castle International Corp. (a)(b) | 1,622,787 | |||||||||
16,400 | NII Holdings Inc. (a)(b) | 778,836 | |||||||||
71,400 | Rogers Communications, Inc. (Class B) (canada) | 2,760,324 | |||||||||
25,600 | SBA Communications Corp. (a)(b) | 921,856 | |||||||||
49,500 | Telefonica S.A. (Spain) | 1,315,552 | |||||||||
20,060 | Telefonica de Espana S.A. (ADR) (Spain) | 1,596,375 | |||||||||
21,300 | Telus Corp. (Non-Voting) (Canada) | 866,664 | |||||||||
45,100 | TW Telecom Inc. (b) | 722,953 | |||||||||
151,720 | Verizon Communications, Inc. | 5,370,888 | |||||||||
63,765 | Windstream Corp. (b) | 786,860 | |||||||||
30,136,035 | |||||||||||
Water Utilities (1.1%) | |||||||||||
68,000 | American Waterworks Co. Inc. (b) | 1,508,240 | |||||||||
Total Common Stocks (Cost $80,101,034) | 139,218,118 |
See Notes to Financial Statements
81
Morgan Stanley Variable Investment Series - Utilities
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Short-Term Investments (24.0%) | |||||||||||
Securities Held as Collateral on Loaned Securities (22.5%) | |||||||||||
Repurchase Agreements (5.3%) | |||||||||||
$ | 1,534 | ABN Amro Bank N.V. (2.70%, dated 06/30/08, due 07/01/08; proceeds $1,533,766; fully collateralized by U.S. Government Agency security and corporate bond at the date of this Portfolio of Investments as follows: Federal Home Loan Bank 3.0% due 06/11/10; Merck & Co.; 4.75% due 03/01/15 valued at $1,565,162). | $ | 1,533,651 | |||||||
3,376 | Bank of America Securities LLC (2.25% - 2.75% dated 06/30/08, due 07/01/08; proceeds $3,376,280; fully collateralized by U.S. Government Agency security and common stocks at the date of this Portfolio of Investments as follows: Freddie Mac Giant 5.50% due 03/01/38; Sempra Energy; Flowserve Corp.; Entergy Corp.; Avnet Inc.; Allied Waste Industries Inc.; Air Products & Chemicals Inc.; Trimble Navigations Ltd.; valued at $3,472,893). | 3,376,056 | |||||||||
1,023 | Deutsche Bank (2.75%, dated 06/30/08, due 07/01/08; proceeds $1,031,168; fully collateralized by CSX Corp. common stock at the date of this Portfolio of Investments; valued at $1,075,140). | 1,023,436 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 1,227 | Lehman Bothers Inc. (2.70%, dated 06/30/08, due 07/01/08; proceeds $1,227,013; fully collateralized by Municipal Bonds at the date of this Portfolio of Investments as follows: Kansas City, Illinois - School District No. 129 Aurora West 4.0% due 02/01/13; Chicago, Illinois - O' Hare International Airport Rev Ref-Gen Airport Third Lien Ser. B 5.125% due 01/01/14; Metropolitan Transit Authority New York Rev. Series A & Series F 5.0% due 11/15/25 - 11/15/37; Pleasantville, New York - UN Free School District 5.0% due 11/01/22; Guadalupe-Blanco River Authority Texas Sewer Disposal Facility - EI Du Pont De Nemours & Co. 5.50% due 05/01/29; Lehman Muni Trust Receipts Various States - Louisville & Jefferson County, Rhode Island, TRS - - Series 06-F10, 144A; and Sacramento California Floater Trust - Series P41W Reg. D 4.27% due 08/15/33; Becker Minn Pollution Control Rev., Rhode Island - TRS Series FP13, 144A 0.0% due 04/01/30; University of Massachusetts Building Authority Project Rev SR-Series 2.40% - 5.0% due 05/01/10 - 05/01/27; Puerto Rico Housing Finance Corp. Floater-TRS-Series F8J-Reg.D 2.15% due 06/01/21; valued at $1,252,123). | $ | 1,226,921 |
See Notes to Financial Statements
82
Morgan Stanley Variable Investment Series - Utilities
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 368 | Merrill Lynch & Co., Inc. (2.65%, dated 06/30/08, due 07/01/08; proceeds $368,103; fully collateralized by corporate bond at the date of this Portfolio of Investments; Qwest Corp 6.50% due 06/01/17; valued at $375,821). | $ | 368,075 | |||||||
Total Repurchase Agreements (Cost $7,528,139) | 7,528,139 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
Investment Company (c) (17.2%) | |||||||||||
24,233 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $24,232,663) | 24,232,663 | |||||||||
Total Securities Held as Collateral on Loaned Securities (Cost $31,760,802) | 31,760,802 | ||||||||||
Investment Company (c) (1.5%) | |||||||||||
2,100 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $2,100,172) | 2,100,172 | |||||||||
Total Short-Term Investments (Cost $33,860,974) | 33,860,974 |
Total Investments (Cost $113,962,008) (d) | 122.5 | % | 173,079,092 | ||||||||
Liabilities in Excess of Other Assets | (22.5 | ) | (31,827,131 | ) | |||||||
Net Assets | 100.0 | % | $ | 141,251,961 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) A portion of this security was on loan as of June 30, 2008.
(c) See note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class.
(d) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $61,195,102 and the aggregate gross unrealized depreciation is $2,078,018, resulting in net unrealized appreciation of $59,117,084.
See Notes to Financial Statements
83
Morgan Stanley Variable Investment Series - Utilities
Summary of Investments n June 30, 2008 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Electric Utilities | $ | 79,591,046 | 46.0 | % | |||||||
Short-Term Investments | 33,860,974 | 19.5 | |||||||||
Telecommunications | 30,136,035 | 17.4 | |||||||||
Energy | 27,982,797 | 16.2 | |||||||||
Water Utilities | 1,508,240 | 0.9 | |||||||||
$ | 173,079,092 | 100.0 | % |
See Notes to Financial Statements
84
Morgan Stanley Variable Investment Series - Income Builder
Portfolio of Investments n June 30, 2008 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (57.9%) | |||||||||||
Aerospace & Defense (1.0%) | |||||||||||
8,550 | Raytheon Co. | $ | 481,194 | ||||||||
Air Freight/Couriers (0.3%) | |||||||||||
1,840 | FedEx Corp. | 144,974 | |||||||||
Airlines (0.2%) | |||||||||||
6,500 | Continental Airlines, Inc. (Class B) (a) | 65,715 | |||||||||
3,500 | UAL Corp. | 18,270 | |||||||||
83,985 | |||||||||||
Beverages: Non-Alcoholic (0.8%) | |||||||||||
5,440 | Coca-Cola Co. (The) | 282,771 | |||||||||
3,912 | Dr Pepper Snapple Group Inc. | 82,074 | |||||||||
364,845 | |||||||||||
Cable/Satellite TV (0.8%) | |||||||||||
20,878 | Comcast Corp. (Class A) | 396,056 | |||||||||
Chemicals: Major Diversified (2.4%) | |||||||||||
12,150 | Bayer AG (ADR) (Germany) | 1,021,082 | |||||||||
3,560 | Du Pont (E.I.) de Nemours & Co. | 152,689 | |||||||||
1,173,771 | |||||||||||
Computer Communications (0.6%) | |||||||||||
12,130 | Cisco Systems, Inc. (a) | 282,144 | |||||||||
Computer Peripherals (0.1%) | |||||||||||
4,190 | EMC Corp. (a) | 61,551 | |||||||||
Computer Processing Hardware (0.8%) | |||||||||||
8,701 | Hewlett-Packard Co. | 384,671 | |||||||||
Department Stores (0.4%) | |||||||||||
10,290 | MACY*S Inc. | 199,832 | |||||||||
Discount Stores (2.7%) | |||||||||||
22,880 | Wal-Mart Stores, Inc. | 1,285,856 | |||||||||
Drugstore Chains (0.1%) | |||||||||||
26,280 | Rite Aid Corp. (a) | 41,785 | |||||||||
Electric Utilities (3.3%) | |||||||||||
15,280 | American Electric Power Co., Inc. | 614,714 | |||||||||
2,642 | Entergy Corp. | 318,308 | |||||||||
6,260 | FirstEnergy Corp. | 515,386 | |||||||||
3,780 | NRG Energy, Inc. (a) | 162,162 | |||||||||
1,610,570 |
See Notes to Financial Statements
85
Morgan Stanley Variable Investment Series - Income Builder
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Electronics/Appliances (0.5%) | |||||||||||
5,130 | Sony Corp. (ADR) (Japan) | $ | 224,386 | ||||||||
Finance/Rental/Leasing (0.8%) | |||||||||||
4,580 | Capital One Financial Corp. | 174,086 | |||||||||
11,724 | Freddie Mac | 192,274 | |||||||||
366,360 | |||||||||||
Financial Conglomerates (3.1%) | |||||||||||
20,336 | Citigroup, Inc. | 340,831 | |||||||||
30,527 | JPMorgan Chase & Co. | 1,047,381 | |||||||||
10,958 | Mizuho Financial Group, Inc. (ADR) (Japan) | 101,581 | |||||||||
1,489,793 | |||||||||||
Food: Major Diversified (2.0%) | |||||||||||
2,310 | ConAgra Foods Inc. | 44,537 | |||||||||
11,718 | Kraft Foods Inc. (Class A) | 333,377 | |||||||||
21,500 | Unilever N.V. (NY Registered Shares) (Netherlands) | 610,600 | |||||||||
988,514 | |||||||||||
Food: Specialty/Candy (1.0%) | |||||||||||
9,180 | Cadbury PLC (ADR) (United Kingdom) | 461,938 | |||||||||
Home Improvement Chains (0.3%) | |||||||||||
6,910 | Home Depot, Inc. (The) | 161,832 | |||||||||
Household/Personal Care (1.3%) | |||||||||||
4,620 | Estee Lauder Companies, Inc. (The) (Class A) | 214,599 | |||||||||
4,330 | Kimberly-Clark Corp. | 258,847 | |||||||||
2,930 | Procter & Gamble Co. (The) | 178,173 | |||||||||
651,619 | |||||||||||
Industrial Conglomerates (2.5%) | |||||||||||
16,430 | General Electric Co. | 438,517 | |||||||||
4,510 | Siemens AG (ADR) (Germany) | 496,686 | |||||||||
6,500 | Tyco International Ltd. (Bermuda) | 260,260 | |||||||||
1,195,463 | |||||||||||
Insurance Brokers/Services (1.7%) | |||||||||||
30,340 | Marsh & McLennan Companies, Inc. | 805,527 | |||||||||
Integrated Oil (3.5%) | |||||||||||
3,520 | BP PLC (ADR) (United Kingdom) | 244,886 | |||||||||
2,268 | ConocoPhillips | 214,077 | |||||||||
4,520 | Exxon Mobil Corp. | 398,348 | |||||||||
10,430 | Royal Dutch Shell PLC (ADR) (Class A) (United Kingdom) | 852,235 | |||||||||
1,709,546 |
See Notes to Financial Statements
86
Morgan Stanley Variable Investment Series - Income Builder
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Investment Banks/Brokers (1.0%) | |||||||||||
14,903 | Charles Schwab Corp. (The) | $ | 306,108 | ||||||||
6,205 | Merrill Lynch & Co., Inc. | 196,761 | |||||||||
502,869 | |||||||||||
Life/Health Insurance (0.4%) | |||||||||||
13,738 | Aegon N.V. (NY Registered Shares) (Netherlands) | 180,105 | |||||||||
Major Banks (2.1%) | |||||||||||
11,445 | Bank of America Corp. | 273,192 | |||||||||
6,559 | Mitsubishi UFJ Financial Group, Inc. (ADR) (Japan) | 57,719 | |||||||||
7,198 | PNC Financial Services Group | 411,006 | |||||||||
16 | Sumitomo Mitsui Financial Group, Inc. | 120,394 | |||||||||
4,683 | SunTrust Banks, Inc. | 169,618 | |||||||||
1,031,929 | |||||||||||
Major Telecommunications (1.4%) | |||||||||||
19,762 | Verizon Communications, Inc. | 699,575 | |||||||||
Media Conglomerates (5.0%) | |||||||||||
35,560 | Disney (Walt) Co. (The) | 1,109,467 | |||||||||
51,504 | Time Warner, Inc. | 762,259 | |||||||||
18,945 | Viacom Inc. (Class B) (a) | 578,580 | |||||||||
2,450,306 | |||||||||||
Medical Specialties (1.1%) | |||||||||||
18,950 | Boston Scientific Corp. (a) | 232,896 | |||||||||
6,110 | Covidien Ltd. (Bermuda) | 292,608 | |||||||||
525,504 | |||||||||||
Motor Vehicles (0.5%) | |||||||||||
2,835 | Harley-Davidson, Inc. | 102,797 | |||||||||
4,510 | Honda Motor Co., Ltd. (ADR) (Japan) | 153,475 | |||||||||
256,272 | |||||||||||
Multi-Line Insurance (0.4%) | |||||||||||
3,179 | Hartford Financial Services Group, Inc. (The) | 205,268 | |||||||||
Oil & Gas Pipelines (0.5%) | |||||||||||
6,590 | Williams Companies, Inc. (The) | 265,643 | |||||||||
Oil & Gas Production (1.8%) | |||||||||||
2,020 | Devon Energy Corp. | 242,723 | |||||||||
6,750 | Occidental Petroleum Corp. | 606,555 | |||||||||
849,278 | |||||||||||
Oilfield Services/Equipment (0.4%) | |||||||||||
1,840 | Schlumberger Ltd. (Netherlands Antilles) | 197,671 |
See Notes to Financial Statements
87
Morgan Stanley Variable Investment Series - Income Builder
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Other Consumer Services (0.9%) | |||||||||||
15,630 | eBay Inc. (a) | $ | 427,168 | ||||||||
Packaged Software (0.5%) | |||||||||||
4,250 | Oracle Corp. (a) | 89,250 | |||||||||
7,510 | Symantec Corp. (a) | 145,319 | |||||||||
234,569 | |||||||||||
Pharmaceuticals: Major (6.2%) | |||||||||||
11,310 | Abbott Laboratories | 599,091 | |||||||||
21,410 | Bristol-Myers Squibb Co. | 439,547 | |||||||||
8,160 | Novartis AG (ADR) (Switzerland) | 449,126 | |||||||||
4,970 | Roche Holdings Ltd. (ADR) (Switzerland) | 445,660 | |||||||||
37,520 | Schering-Plough Corp. | 738,769 | |||||||||
7,060 | Wyeth | 338,598 | |||||||||
3,010,791 | |||||||||||
Precious Metals (0.8%) | |||||||||||
7,320 | Newmont Mining Corp. | 381,811 | |||||||||
Property - Casualty Insurers (1.9%) | |||||||||||
8,794 | Chubb Corp. (The) | 430,994 | |||||||||
11,436 | St. Paul Travelers Companies, Inc. (The) | 496,322 | |||||||||
927,316 | |||||||||||
Restaurants (0.4%) | |||||||||||
13,430 | Starbucks Corp. (a) | 211,388 | |||||||||
Semiconductors (0.5%) | |||||||||||
11,979 | Intel Corp. | 257,309 | |||||||||
Specialty Stores (0.3%) | |||||||||||
14,062 | Office Depot, Inc. (a) | 153,838 | |||||||||
Telecommunication Equipment (0.6%) | |||||||||||
50,480 | Alcatel-Lucent (ADR) (France) | 304,899 | |||||||||
Tobacco (1.0%) | |||||||||||
7,440 | Altria Group, Inc. | 152,966 | |||||||||
6,410 | Philip Morris International Inc. | 316,590 | |||||||||
469,556 | |||||||||||
Total Common Stocks (Cost $29,084,323) | 28,109,277 |
See Notes to Financial Statements
88
Morgan Stanley Variable Investment Series - Income Builder
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Convertible Bonds (18.6%) | |||||||||||||||||||
Beverages: Alcoholic (3.0%) | |||||||||||||||||||
$ | 1,200 | Molson Coors Brewing Co. | 2.50 | % | 07/30/13 | $ | 1,465,500 | ||||||||||||
Electric Utilities (1.0%) | |||||||||||||||||||
173 | PG&E Corp. | 9.50 | 06/30/10 | 475,966 | |||||||||||||||
Electronic Production Equipment (2.2%) | |||||||||||||||||||
1,100 | Veeco Instruments, Inc. | 4.125 | 12/21/08 | 1,094,500 | |||||||||||||||
Household/Personal Care (3.8%) | |||||||||||||||||||
1,000 | Church & Dwight Co. Inc. | 5.25 | 08/15/33 | 1,828,750 | |||||||||||||||
Internet Retail (0.9%) | |||||||||||||||||||
400 | Amazon.com, Inc. | 4.75 | 02/01/09 | 430,000 | |||||||||||||||
Precious Metals (2.7%) | |||||||||||||||||||
1,000 | Newmont Mining Corp. | 1.25 | 07/15/14 | 1,298,750 | |||||||||||||||
Semiconductors (2.9%) | |||||||||||||||||||
1,450 | Intel Corp. - 144A (b) | 2.95 | 12/15/35 | 1,419,188 | |||||||||||||||
Wholesale Distributors (2.1%) | |||||||||||||||||||
1,200 | WESCO International Inc. | 1.75 | 11/15/26 | 1,009,500 | |||||||||||||||
Total Convertible Bonds (Cost $7,812,132) | 9,022,154 | ||||||||||||||||||
Corporate Bonds (14.8%) | |||||||||||||||||||
Broadcasting (2.5%) | |||||||||||||||||||
1,200 | Clear Channel Communications, Inc. | 8.00 | 11/01/08 | 1,217,932 | |||||||||||||||
Building Products (2.6%) | |||||||||||||||||||
1,200 | American Standard, Inc. | 8.25 | 06/01/09 | 1,238,500 | |||||||||||||||
Home Building (2.4%) | |||||||||||||||||||
1,200 | Toll Corp. | 8.25 | 02/01/11 | 1,164,000 | |||||||||||||||
Hotels/Resorts/Cruiselines (4.2%) | |||||||||||||||||||
2,000 | Starwood Hotels & Resorts Worldwide, Inc. | 7.875 | 05/01/12 | 2,036,760 | |||||||||||||||
Industrial Specialties (3.1%) | |||||||||||||||||||
1,500 | Buckeye Technologies Inc. | 8.50 | 10/01/13 | 1,500,000 | |||||||||||||||
Total Corporate Bonds (Cost $7,273,693) | 7,157,192 |
See Notes to Financial Statements
89
Morgan Stanley Variable Investment Series - Income Builder
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Convertible Preferred Stocks (6.7%) | |||||||||||
Financial Conglomerates (0.5%) | |||||||||||
5,280 | Citigroup Inc. (Series T) $3.25 | $ | 229,680 | ||||||||
Life/Health Insurance (0.2%) | |||||||||||
4,100 | MetLife, Inc. $1.5938 (Note 4) | 107,461 | |||||||||
Major Banks (0.7%) | |||||||||||
260 | Bank of America Corp. (Series L) $72.50 | 230,100 | |||||||||
130 | Wachovia Corp. Class A (Series L) $75.00 | 114,579 | |||||||||
344,679 | |||||||||||
Motor Vehicles (1.3%) | |||||||||||
46,000 | General Motors Corp. (Series B) $1.3125 | 630,200 | |||||||||
Pharmaceuticals: Major (1.6%) | |||||||||||
4,000 | Schering-Plough Corp. $15.00 | 766,040 | |||||||||
Real Estate Investment Trusts (0.8%) | |||||||||||
9,000 | Equity Residential Properties Trust (Series E) $7.00 | 385,110 | |||||||||
Telecommunication Equipment (1.6%) | |||||||||||
1,000 | Lucent Technologies Capital Trust I $77.50 | 760,000 | |||||||||
Total Convertible Preferred Stocks (Cost $4,145,560) | 3,223,170 | ||||||||||
Investment Trusts/Mutual Funds (1.5%) | |||||||||||
21,893 | Financial Select Sector SPDR Fund (ETF) | 443,552 | |||||||||
23,880 | iShares MSCI Japan Index Fund (ETF) | 298,023 | |||||||||
Total Investment Trusts/Mutual Funds (Cost $940,510) | 741,575 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
Short-Term Investment (c) (0.4%) | |||||||||||
Investment Company | |||||||||||
214 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class ($213,850) | 213,850 |
Total Investments (Cost $49,470,068) (d) | 99.9 | % | 48,467,218 | ||||||||||||
Other Assets in Excess of Liabilities | 0.1 | 54,140 | |||||||||||||
Net Assets | 100.0 | % | $ | 48,521,358 |
See Notes to Financial Statements
90
Morgan Stanley Variable Investment Series - Income Builder
Portfolio of Investments n June 30, 2008 (unaudited) continued
ADR American Depositary Receipt.
ETF Exchange Traded Fund.
(a) Non-income producing security.
(b) Resale is restricted to qualified institutional investors.
(c) See Note 4 to the financial statements regarding Investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class.
(d) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $5,116,507 and the aggregate gross unrealized depreciation is $6,119,457, resulting in net unrealized depreciation of $1,002,950.
See Notes to Financial Statements
91
Morgan Stanley Variable Investment Series - Income Builder
Summary of Investments n June 30, 2008 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Pharmaceuticals: Major | $ | 3,776,831 | 7.8 | % | |||||||
Household/Personal Care | 2,480,369 | 5.1 | |||||||||
Media Conglomerates | 2,450,306 | 5.1 | |||||||||
Electric Utilities | 2,086,536 | 4.3 | |||||||||
Hotels/Resorts/Cruiselines | 2,036,760 | 4.2 | |||||||||
Financial Conglomerates | 1,719,473 | 3.5 | |||||||||
Integrated Oil | 1,709,546 | 3.5 | |||||||||
Precious Metals | 1,680,561 | 3.5 | |||||||||
Semiconductors | 1,676,497 | 3.5 | |||||||||
Industrial Specialties | 1,500,000 | 3.1 | |||||||||
Beverages: Alcoholic | 1,465,500 | 3.0 | |||||||||
Major Banks | 1,376,608 | 2.8 | |||||||||
Discount Stores | 1,285,856 | 2.7 | |||||||||
Building Products | 1,238,500 | 2.6 | |||||||||
Broadcasting | 1,217,932 | 2.5 | |||||||||
Industrial Conglomerates | 1,195,463 | 2.5 | |||||||||
Chemicals: Major Diversified | 1,173,771 | 2.4 | |||||||||
Home Building | 1,164,000 | 2.4 | |||||||||
Electronic Production Equipment | 1,094,500 | 2.2 | |||||||||
Telecommunication Equipment | 1,064,899 | 2.2 | |||||||||
Wholesale Distributors | 1,009,500 | 2.1 | |||||||||
Food: Major Diversified | 988,514 | 2.0 | |||||||||
Property - Casualty Insurers | 927,316 | 1.9 | |||||||||
Motor Vehicles | 886,472 | 1.8 | |||||||||
Oil & Gas Production | 849,278 | 1.8 | |||||||||
Insurance Brokers/Services | 805,527 | 1.7 | |||||||||
Investment Trusts/Mutual Funds | 741,575 | 1.5 | |||||||||
Major Telecommunications | 699,575 | 1.4 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Medical Specialties | $ | 525,504 | 1.1 | % | |||||||
Investment Banks/Brokers | 502,869 | 1.0 | |||||||||
Aerospace & Defense | 481,194 | 1.0 | |||||||||
Tobacco | 469,556 | 1.0 | |||||||||
Food: Specialty/Candy | 461,938 | 1.0 | |||||||||
Internet Retail | 430,000 | 0.9 | |||||||||
Other Consumer Services | 427,168 | 0.9 | |||||||||
Cable/Satellite Tv | 396,056 | 0.8 | |||||||||
Real Estate Investment Trusts | 385,110 | 0.8 | |||||||||
Computer Processing Hardware | 384,671 | 0.8 | |||||||||
Finance/Rental/Leasing | 366,360 | 0.8 | |||||||||
Beverages: Non-Alcoholic | 364,845 | 0.8 | |||||||||
Life/Health Insurance | 287,566 | 0.6 | |||||||||
Computer Communications | 282,144 | 0.6 | |||||||||
Oil & Gas Pipelines | 265,643 | 0.5 | |||||||||
Packaged Software | 234,569 | 0.5 | |||||||||
Electronics/Appliances | 224,386 | 0.5 | |||||||||
Investment Company | 213,850 | 0.4 | |||||||||
Restaurants | 211,388 | 0.4 | |||||||||
Multi-Line Insurance | 205,268 | 0.4 | |||||||||
Department Stores | 199,832 | 0.4 | |||||||||
Oilfield Services/Equipment | 197,671 | 0.4 | |||||||||
Home Improvement Chains | 161,832 | 0.3 | |||||||||
Specialty Stores | 153,838 | 0.3 | |||||||||
Air Freight/Couriers | 144,974 | 0.3 | |||||||||
Airlines | 83,985 | 0.2 | |||||||||
Computer Peripherals | 61,551 | 0.1 | |||||||||
Drugstore Chains | 41,785 | 0.1 | |||||||||
$ | 48,467,218 | 100.0 | % |
See Notes to Financial Statements
92
Morgan Stanley Variable Investment Series - Dividend Growth
Portfolio of Investments n June 30, 2008 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (98.6%) | |||||||||||
Aerospace & Defense (1.8%) | |||||||||||
51,926 | Northrop Grumman Corp. | $ | 3,473,849 | ||||||||
60,100 | Raytheon Co. | 3,382,428 | |||||||||
6,856,277 | |||||||||||
Apparel/Footwear (0.7%) | |||||||||||
39,449 | V.F. Corp. | 2,807,980 | |||||||||
Apparel/Footwear Retail (0.7%) | |||||||||||
88,680 | Nordstrom, Inc. | 2,687,004 | |||||||||
Auto Parts: O.E.M. (0.9%) | |||||||||||
39,740 | Eaton Corp. | 3,376,708 | |||||||||
Beverages: Non-Alcoholic (3.2%) | |||||||||||
191,051 | PepsiCo, Inc. | 12,148,933 | |||||||||
Biotechnology (1.8%) | |||||||||||
127,070 | Gilead Sciences, Inc. (a) | 6,728,357 | |||||||||
Chemicals: Agricultural (1.4%) | |||||||||||
41,038 | Monsanto Co. | 5,188,845 | |||||||||
Computer Communications (2.4%) | |||||||||||
389,367 | Cisco Systems, Inc. (a) | 9,056,676 | |||||||||
Computer Processing Hardware (1.6%) | |||||||||||
286,629 | Dell Inc. (a) | 6,271,443 | |||||||||
Contract Drilling (1.8%) | |||||||||||
128,200 | Patterson-UTI Energy, Inc. | 4,620,328 | |||||||||
13,810 | Transocean Inc. (Cayman Islands) (a) | 2,104,506 | |||||||||
6,724,834 | |||||||||||
Discount Stores (1.8%) | |||||||||||
145,444 | Target Corp. | 6,761,692 | |||||||||
Drugstore Chains (1.5%) | |||||||||||
145,237 | CVS Caremark Corp. | 5,747,028 | |||||||||
Electric Utilities (2.6%) | |||||||||||
108,183 | Exelon Corp. | 9,732,143 |
NUMBER OF SHARES | VALUE | ||||||||||
Engineering & Construction (0.5%) | |||||||||||
43,600 | Chicago Bridge & Iron Company N.V. (Netherlands) | $ | 1,736,152 | ||||||||
Financial Conglomerates (4.3%) | |||||||||||
213,145 | Citigroup, Inc. | 3,572,310 | |||||||||
245,512 | JPMorgan Chase & Co. | 8,423,517 | |||||||||
72,865 | Prudential Financial, Inc. | 4,352,955 | |||||||||
16,348,782 | |||||||||||
Household/ Personal Care (2.7%) | |||||||||||
171,224 | Procter & Gamble Co. (The) | 10,412,131 | |||||||||
Industrial Conglomerates (8.4%) | |||||||||||
78,900 | 3M Co. | 5,490,651 | |||||||||
444,107 | General Electric Co. | 11,853,216 | |||||||||
233,979 | United Technologies Corp. | 14,436,504 | |||||||||
31,780,371 | |||||||||||
Information Technology Services (2.5%) | |||||||||||
112,113 | Accenture Ltd. (Class A) (Bermuda) | 4,565,241 | |||||||||
41,600 | International Business Machines Corp. | 4,930,848 | |||||||||
9,496,089 | |||||||||||
Integrated Oil (6.4%) | |||||||||||
97,100 | BP PLC (ADR) (United Kingdom) | 6,755,247 | |||||||||
153,973 | Exxon Mobil Corp. | 13,569,640 | |||||||||
79,520 | Marathon Oil Corp. | 4,124,702 | |||||||||
24,449,589 | |||||||||||
Internet Software/ Services (1.2%) | |||||||||||
8,891 | Google Inc. (Class A) (a) | 4,680,400 | |||||||||
Investment Banks/ Brokers (1.1%) | |||||||||||
24,288 | Goldman Sachs Group, Inc. (The) | 4,247,971 |
See Notes to Financial Statements
93
Morgan Stanley Variable Investment Series - Dividend Growth
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Life/Health Insurance (3.1%) | |||||||||||
86,990 | AFLAC, Inc. | $ | 5,462,972 | ||||||||
39,142 | Lincoln National Corp. | 1,773,915 | |||||||||
87,655 | MetLife, Inc. | 4,625,554 | |||||||||
11,862,441 | |||||||||||
Major Banks (2.3%) | |||||||||||
134,900 | Bank of America Corp. | 3,220,063 | |||||||||
144,787 | Bank of New York Mellon Corp. | 5,477,292 | |||||||||
8,697,355 | |||||||||||
Major Telecommunications (1.5%) | |||||||||||
167,600 | AT&T Inc. | 5,646,444 | |||||||||
Managed Health Care (1.3%) | |||||||||||
144,120 | CIGNA Corp. | 5,100,407 | |||||||||
Media Conglomerates (1.5%) | |||||||||||
183,630 | Disney (Walt) Co. (The) | 5,729,256 | |||||||||
Medical Specialties (2.9%) | |||||||||||
19,506 | Alcon, Inc. (Switzerland) | 3,175,382 | |||||||||
167,300 | Covidien Ltd. (Bermuda) | 8,011,997 | |||||||||
11,187,379 | |||||||||||
Office Equipment/ Supplies (1.1%) | |||||||||||
126,006 | Pitney Bowes, Inc. | 4,296,805 | |||||||||
Oil & Gas Pipelines (2.0%) | |||||||||||
186,350 | Williams Companies, Inc. (The) | 7,511,769 | |||||||||
Oil & Gas Production (3.9%) | |||||||||||
30,180 | Apache Corp. | 4,195,020 | |||||||||
44,370 | Occidental Petroleum Corp. | 3,987,088 | |||||||||
98,793 | XTO Energy, Inc. | 6,768,308 | |||||||||
14,950,416 |
NUMBER OF SHARES | VALUE | ||||||||||
Oilfield Services/ Equipment (4.3%) | |||||||||||
79,876 | Cameron International Corp. (a) | $ | 4,421,137 | ||||||||
135,800 | Halliburton Co. | 7,206,906 | |||||||||
91,442 | Weatherford International Ltd. (Bermuda) (a) | 4,534,609 | |||||||||
16,162,652 | |||||||||||
Other Consumer Services (1.6%) | |||||||||||
223,303 | eBay Inc. (a) | 6,102,871 | |||||||||
Packaged Software (3.0%) | |||||||||||
419,687 | Microsoft Corp. | 11,545,589 | |||||||||
Pharmaceuticals: Major (7.0%) | |||||||||||
128,235 | Johnson & Johnson | 8,250,640 | |||||||||
517,804 | Pfizer, Inc. | 9,046,036 | |||||||||
197,252 | Wyeth | 9,460,206 | |||||||||
26,756,882 | |||||||||||
Precious Metals (0.5%) | |||||||||||
17,750 | Freeport-McMoRan Copper & Gold, Inc. | 2,080,122 | |||||||||
Property - Casualty Insurers (2.7%) | |||||||||||
92,970 | ACE Ltd. (Switzerland) | 5,121,717 | |||||||||
110,350 | Allstate Corp. (The) | 5,030,857 | |||||||||
10,152,574 | |||||||||||
Restaurants (1.6%) | |||||||||||
105,140 | McDonald's Corp. | 5,910,971 | |||||||||
Semiconductors (2.5%) | |||||||||||
444,024 | Intel Corp. | 9,537,636 | |||||||||
Specialty Telecommunications (0.0%) | |||||||||||
1,048 | FairPoint Communications, Inc. | 7,556 |
See Notes to Financial Statements
94
Morgan Stanley Variable Investment Series - Dividend Growth
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Steel (1.6%) | |||||||||||
50,300 | Nucor Corp. | $ | 3,755,901 | ||||||||
11,940 | United States Steel Corp. | 2,206,273 | |||||||||
5,962,174 | |||||||||||
Tobacco (3.3%) | |||||||||||
177,968 | Altria Group, Inc. | 3,659,022 | |||||||||
177,968 | Philip Morris International Inc. | 8,789,840 | |||||||||
12,448,862 | |||||||||||
Trucks/Construction/ Farm Machinery (1.6%) | |||||||||||
81,750 | Caterpillar Inc. | 6,034,785 | |||||||||
Total Common Stocks (Cost $367,273,820) | 374,924,351 |
NUMBER OF SHARES (000) | VALUE | ||||||||||
Short-Term Investment (b) (1.4%) Investment Company | |||||||||||
5,339 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $5,339,060) | $ | 5,339,060 | ||||||||
Total Investments (Cost $372,612,880) (c) | 100.0 | % | 380,263,411 | ||||||||
Other Assets in Excess of Liabilities | 0.0 | 39,095 | |||||||||
Net Assets | 100.0 | % | $ | 380,302,506 |
ADR American Depositary Receipt
(a) Non-income producing security.
(b) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class.
(c) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $41,130,326 and the aggregate gross unrealized depreciation is $33,479,795, resulting in net unrealized appreciation of $7,650,531.
See Notes to Financial Statements
95
Morgan Stanley Variable Investment Series - Dividend Growth
Summary of Investments n June 30, 2008 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Industrial Conglomerates | $ | 31,780,371 | 8.4 | % | |||||||
Pharmaceuticals: Major | 26,756,882 | 7.0 | |||||||||
Integrated Oil | 24,449,589 | 6.4 | |||||||||
Financial Conglomerates | 16,348,782 | 4.3 | |||||||||
Oilfield Services/ Equipment | 16,162,652 | 4.2 | |||||||||
Oil & Gas Production | 14,950,416 | 3.9 | |||||||||
Tobacco | 12,448,862 | 3.3 | |||||||||
Beverages: Non-Alcoholic | 12,148,933 | 3.2 | |||||||||
Life/Health Insurance | 11,862,441 | 3.1 | |||||||||
Packaged Software | 11,545,589 | 3.0 | |||||||||
Medical Specialties | 11,187,379 | 2.9 | |||||||||
Household/Personal Care | 10,412,131 | 2.7 | |||||||||
Property - Casualty Insurers | 10,152,574 | 2.7 | |||||||||
Electric Utilities | 9,732,143 | 2.6 | |||||||||
Semiconductors | 9,537,636 | 2.5 | |||||||||
Information Technology Services | 9,496,089 | 2.5 | |||||||||
Computer Communications | 9,056,676 | 2.4 | |||||||||
Major Banks | 8,697,355 | 2.3 | |||||||||
Oil & Gas Pipelines | 7,511,769 | 2.0 | |||||||||
Aerospace & Defense | 6,856,277 | 1.8 | |||||||||
Discount Stores | 6,761,692 | 1.8 | |||||||||
Biotechnology | 6,728,357 | 1.8 | |||||||||
Contract Drilling | 6,724,834 | 1.8 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Computer Processing Hardware | $ | 6,271,443 | 1.7 | % | |||||||
Other Consumer Services | 6,102,871 | 1.6 | |||||||||
Trucks/Construction/ Farm Machinery | 6,034,785 | 1.6 | |||||||||
Steel | 5,962,174 | 1.6 | |||||||||
Restaurants | 5,910,971 | 1.6 | |||||||||
Drugstore Chains | 5,747,028 | 1.5 | |||||||||
Media Conglomerates | 5,729,256 | 1.5 | |||||||||
Major Telecommunications | 5,646,444 | 1.5 | |||||||||
Investment Company | 5,339,060 | 1.4 | |||||||||
Chemicals: Agricultural | 5,188,845 | 1.4 | |||||||||
Managed Health Care | 5,100,407 | 1.3 | |||||||||
Internet Software/Services | 4,680,400 | 1.2 | |||||||||
Office Equipment/Supplies | 4,296,805 | 1.1 | |||||||||
Investment Banks/ Brokers | 4,247,971 | 1.1 | |||||||||
Auto Parts: O.E.M. | 3,376,708 | 0.9 | |||||||||
Apparel/Footwear | 2,807,980 | 0.7 | |||||||||
Apparel/Footwear Retail | 2,687,004 | 0.7 | |||||||||
Precious Metals | 2,080,122 | 0.5 | |||||||||
Engineering & Construction | 1,736,152 | 0.5 | |||||||||
Specialty Telecommunications | 7,556 | 0.0 | |||||||||
$ | 380,263,411 | 100.0 | % |
See Notes to Financial Statements
96
Morgan Stanley Variable Investment Series - Global Dividend Growth
Portfolio of Investments n June 30, 2008 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (99.0%) Australia (2.5%) | |||||||||||
Beverages: Alcoholic | |||||||||||
192,583 | Foster's Group Ltd. | $ | 936,025 | ||||||||
Construction Materials | |||||||||||
135,102 | Boral Ltd. (b) | 731,765 | |||||||||
Food: Major Diversified | |||||||||||
1,575,743 | Goodman Fielder Ltd. | 2,122,381 | |||||||||
Total Australia | 3,790,171 | ||||||||||
Bermuda (3.8%) | |||||||||||
Industrial Conglomerates | |||||||||||
39,218 | Ingersoll - Rand Ltd. (Class A) (b) | 1,467,930 | |||||||||
52,450 | Tyco International Ltd. (b) | 2,100,098 | |||||||||
3,568,028 | |||||||||||
Medical Specialties | |||||||||||
44,183 | Covidien Ltd. | 2,115,924 | |||||||||
Total Bermuda | 5,683,952 | ||||||||||
France (7.1%) | |||||||||||
Construction Materials | |||||||||||
21,394 | Lafarge S.A. | 3,280,476 | |||||||||
Integrated Oil | |||||||||||
38,662 | Total S.A. | 3,299,242 | |||||||||
Major Banks | |||||||||||
27,735 | BNP Paribas | 2,512,630 | |||||||||
Pharmaceuticals: Major | |||||||||||
23,499 | Sanofi-Aventis | 1,569,831 | |||||||||
Total France | 10,662,179 | ||||||||||
Germany (3.0%) | |||||||||||
Motor Vehicles | |||||||||||
31,537 | Bayerische Motoren Werke (BMW) AG | 1,516,918 | |||||||||
35,925 | Daimler AG (Registered Shares) | 2,221,768 | |||||||||
3,738,686 | |||||||||||
Semiconductors | |||||||||||
316,725 | Qimonda AG (ADR) (b) | 753,805 | |||||||||
Total Germany | 4,492,491 |
NUMBER OF SHARES | VALUE | ||||||||||
Ireland (2.4%) | |||||||||||
Food: Specialty/Candy | |||||||||||
81,849 | Kerry Group PLC (A Shares) | $ | 2,422,712 | ||||||||
Major Banks | |||||||||||
138,138 | Bank of Ireland | 1,201,209 | |||||||||
Total Ireland | 3,623,921 | ||||||||||
Italy (1.4%) | |||||||||||
Integrated Oil | |||||||||||
56,131 | Eni S.p.A. | 2,094,506 | |||||||||
Japan (12.5%) | |||||||||||
Auto Parts: O.E.M. | |||||||||||
145,300 | Keihin Corp. | 2,201,702 | |||||||||
Chemicals: Specialty | |||||||||||
71,500 | Kuraray Co., Ltd. | 852,465 | |||||||||
Electrical Products | |||||||||||
127,000 | Sumitomo Electric Industries, Ltd. | 1,612,243 | |||||||||
Electronic Equipment/ Instruments | |||||||||||
48,300 | Canon Inc. | 2,483,571 | |||||||||
Household/Personal Care | |||||||||||
89,000 | Kao Corp. | 2,334,275 | |||||||||
Motor Vehicles | |||||||||||
186,600 | Nissan Motor Co., Ltd. | 1,541,161 | |||||||||
Pharmaceuticals: Major | |||||||||||
43,400 | Takeda Pharmaceutical Co., Ltd. | 2,207,091 | |||||||||
Pharmaceuticals: Other | |||||||||||
30,300 | Astellas Pharma Inc. | 1,284,080 | |||||||||
Recreational Products | |||||||||||
48,900 | Sankyo Co., Ltd. | 3,186,778 | |||||||||
Specialty Insurance | |||||||||||
36,700 | Mitsui Sumitomo Insurance Group Holdings, Inc. (a) | 1,264,981 | |||||||||
Total Japan | 18,968,347 | ||||||||||
Netherlands (4.5%) | |||||||||||
Food: Major Diversified | |||||||||||
95,280 | Unilever N.V. (Share Certificates) | 2,704,755 |
See Notes to Financial Statements
97
Morgan Stanley Variable Investment Series - Global Dividend Growth
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Life/Health Insurance | |||||||||||
152,529 | Aegon N.V. | $ | 2,020,384 | ||||||||
Publishing: Books/Magazines | |||||||||||
87,046 | Wolters Kluwer N.V. | 2,033,823 | |||||||||
Total Netherlands | 6,758,962 | ||||||||||
Norway (2.1%) | |||||||||||
Integrated Oil | |||||||||||
84,009 | StatoilHydro ASA | 3,132,276 | |||||||||
Singapore (1.0%) | |||||||||||
Other Transportation | |||||||||||
1,312,000 | ComfortDelGro Corp., Ltd. | 1,446,474 | |||||||||
South Korea (0.7%) | |||||||||||
Wireless Telecommunications | |||||||||||
51,846 | SK Telecom Co., Ltd. (ADR) | 1,076,841 | |||||||||
Spain (3.9%) | |||||||||||
Major Banks | |||||||||||
118,889 | Banco Bilbao Vizcaya Argentaria, S.A. (b) | 2,278,048 | |||||||||
Major Telecommunications | |||||||||||
135,187 | Telefonica S.A. | 3,592,840 | |||||||||
Total Spain | 5,870,888 | ||||||||||
Sweden (1.1%) | |||||||||||
Telecommunication Equipment | |||||||||||
166,315 | Telefonaktiebolaget LM Ericsson (B Shares) | 1,734,270 | |||||||||
Switzerland (2.8%) | |||||||||||
Financial Conglomerates | |||||||||||
36,374 | UBS AG (Registered Shares) | 763,405 | |||||||||
Pharmaceuticals: Major | |||||||||||
64,104 | Novartis AG (Registered Shares) | 3,529,783 | |||||||||
Total Switzerland | 4,293,188 | ||||||||||
Taiwan (0.9%) | |||||||||||
Major Telecommunications | |||||||||||
56,780 | Chunghwa Telecom Co, Ltd (ADR) | 1,440,509 |
NUMBER OF SHARES | VALUE | ||||||||||
United Kingdom (19.0%) | |||||||||||
Advertising/Marketing Services | |||||||||||
251,966 | WPP Group PLC | $ | 2,430,326 | ||||||||
Aerospace & Defense | |||||||||||
184,488 | Rolls-Royce Group PLC (a) | 1,254,908 | |||||||||
17,565,452 | Rolls-Royce Group PLC (B Shares) | 34,987 | |||||||||
1,289,895 | |||||||||||
Financial Conglomerates | |||||||||||
620,358 | Old Mutual PLC | 1,146,683 | |||||||||
Food Retail | |||||||||||
479,621 | W.M. Morrison Supermarkets PLC | 2,543,553 | |||||||||
Food: Specialty/Candy | |||||||||||
241,155 | Cadbury PLC | 3,038,154 | |||||||||
575,551 | Premier Foods PLC | 1,091,948 | |||||||||
4,130,102 | |||||||||||
Integrated Oil | |||||||||||
43,888 | Royal Dutch Shell PLC (ADR) (Class A) | 3,586,088 | |||||||||
Major Banks | |||||||||||
422,046 | Barclays PLC | 2,450,481 | |||||||||
626,159 | Royal Bank of Scotland Group PLC | 2,681,489 | |||||||||
5,131,970 | |||||||||||
Publishing: Books/Magazines | |||||||||||
107,899 | Reed Elsevier PLC | 1,237,921 | |||||||||
Tobacco | |||||||||||
124,425 | Imperial Tobacco Group PLC | 4,636,972 | |||||||||
Wireless Telecommunications | |||||||||||
871,753 | Vodafone Group PLC | 2,589,821 | |||||||||
Total United Kingdom | 28,723,331 | ||||||||||
United States (30.3%) | |||||||||||
Beverages: Non-Alcoholic | |||||||||||
45,217 | DR Pepper Snapple Group (a) | 948,651 | |||||||||
Coal | |||||||||||
32,756 | Peabody Energy Corp. (b) | 2,884,166 |
See Notes to Financial Statements
98
Morgan Stanley Variable Investment Series - Global Dividend Growth
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Computer Peripherals | |||||||||||
126,018 | EMC Corp. (b)(a) | $ | 1,851,204 | ||||||||
Computer Processing Hardware | |||||||||||
42,494 | Hewlett-Packard Co. | 1,878,660 | |||||||||
Electric Utilities | |||||||||||
21,017 | American Electric Power Co., Inc. (b) | 845,514 | |||||||||
33,763 | Dominion Resources, Inc. (b) | 1,603,405 | |||||||||
2,448,919 | |||||||||||
Electronic Distributors | |||||||||||
51,501 | Arrow Electronics, Inc. (b)(a) | 1,582,111 | |||||||||
Finance/Rental/Leasing | |||||||||||
52,172 | American Capital Strategies, Ltd. (b) | 1,240,128 | |||||||||
84,859 | Freddie Mac (b) | 1,391,688 | |||||||||
2,631,816 | |||||||||||
Financial Conglomerates | |||||||||||
64,643 | Citigroup, Inc. | 1,083,417 | |||||||||
Industrial Machinery | |||||||||||
34,152 | Illinois Tool Works Inc. (b) | 1,622,562 | |||||||||
Information Technology Services | |||||||||||
33,156 | International Business Machines Corp. | 3,929,981 | |||||||||
Insurance Brokers/Services | |||||||||||
86,298 | Marsh & McLennan Companies, Inc. (b) | 2,291,212 | |||||||||
Integrated Oil | |||||||||||
40,151 | Chevron Corp. | 3,980,169 | |||||||||
Investment Banks/Brokers | |||||||||||
93,326 | Lehman Brothers Holdings Inc. (b) | 1,848,788 | |||||||||
Major Banks | |||||||||||
58,120 | Bank of New York Mellon Corp. (b) | 2,198,680 | |||||||||
Major Telecommunications | |||||||||||
65,950 | Verizon Communications, Inc. | 2,334,630 | |||||||||
Managed Health Care | |||||||||||
72,899 | UnitedHealth Group Inc. | 1,913,599 |
NUMBER OF SHARES | VALUE | ||||||||||
Multi-Line Insurance | |||||||||||
33,819 | American International Group, Inc. (b) | $ | 894,851 | ||||||||
Pharmaceuticals: Major | |||||||||||
68,141 | Schering-Plough Corp. | 1,341,696 | |||||||||
76,011 | Wyeth | 3,645,488 | |||||||||
4,987,184 | |||||||||||
Tobacco | |||||||||||
91,315 | Philip Morris International Inc. | 4,510,048 | |||||||||
Total United States | 45,820,648 | ||||||||||
Total Common Stocks (Cost $129,477,172) | 149,612,954 | ||||||||||
Rights (0.0%) United Kingdom | |||||||||||
Major Banks | |||||||||||
90,438 | Barclays PLC (Cost $0) (a) | 3,667 | |||||||||
PRINCIPAL AMOUNT IN THOUSANDS | |||||||||||
Short-Term Investments (13.3%) Securities held as Collateral on Loaned Securities (13.1%) | |||||||||||
Repurchase Agreements (3.1%) | |||||||||||
$ | 951 | ABN Amro Bank N.V. (2.70%, dated 06/30/08, due 07/01/08; proceeds $952,032); fully collateralized by U.S. Government Agency security and corporate bond at the date of this Portfolio of Investment as follows: Federal Home Loan Bank 3.00% due 06/11/10; Merck & Co. Inc. 4.75% due 03/01/15; valued at $960,163... | 951,961 |
See Notes to Financial Statements
99
Morgan Stanley Variable Investment Series - Global Dividend Growth
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 2,096 | Banc of America Securities LLC (2.25%-2.75% dated 06/30/08, due 07/01/08; proceeds $2,095,709) fully collateralized by U.S. Government Agency security and common stocks at the date of this Portfolio of Investment as follows: Freddie Mac Giant 5.50%, due 03/01/38; Sempra Energy; Flowserve Corp.; Entergy Corp.; Avnet Inc.; Allied Waste Inds Inc.; Air Products & Chemicals Inc.; Trimble Navigation Ltd.; valued at $2,148,875 | $ | 2,095,570 | |||||||
635 | Deutsche Bank Securities (2.72% dated 06/30/08, due 07/01/08; proceeds $635,310) fully collateralized by common stock at the date of this Portfolio of Investment as follows: CSX Corp. valued at $667,405 | 635,262 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 762 | Lehman Brothers Co. (2.70% dated 06/30/08, due 07/01/08; proceeds $761,626) fully collateralized by Municipal Notes/Bonds at the date of this Portfolio of Investment as follows: Kansas City, Illinois - School District No. 129 Aurora West 4.0% due 02/01/13; Chicago, Illinois - O'Hare International Airport Rev Ref-Gen Airport Third Lien Ser. B 5.125% due 01/01/14; Metropolitan Transit Authority New York Rev. Series A & Series F 5.0% due 11/15/25 - 11/15/37; Pleasantville New York UN Free School District 5.0% due 11/01/22; Guadalupe-Blanco River Authority Texas Sewer Disposal Facility - EI Du Pont De Nemours & Co. 5.50% due 05/01/29; Lehman Muni Trust Receipts Various States - Louisville & Jefferson County, Rhode Island, TRS - Series 06-F10, 144A,; and Sacramento California Floater Tru st - Series P41W Reg. D 4.27% due 08/15/33; Becker Minn Pollution Control Rev., Rhode Island - TRS Series FP13, 144A 0.0% due 04/01/30; University of Massachusetts Building Authority Project Rev SR-Series 2.40% - 5.0% due 05/01/10 - 05/01/27; Puerto Rico Housing Finance Corp. Floater-TRS-Series F8J-Reg. D 2.15% due 06/01/21; valued at $772,665 | $ | 761,569 |
See Notes to Financial Statements
100
Morgan Stanley Variable Investment Series - Global Dividend Growth
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 228 | Merrill Lynch Co., (2.65% dated 06/30/08, due 07/01/08; proceeds $228,487) fully collateralized by corporate bond at the date of this Portfolio of Investment as follows: Qwest Corp.; 6.5% due 06/01/17 valued at $233,009 | $ | 228,471 | |||||||
Total Repurchase Agreements (Cost $4,672,833) | 4,672,833 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
Investment Company (c) (10.0%) | |||||||||||
15,042 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $15,041,589) | 15,041,589 | |||||||||
Total Securities held as Collateral on Loaned Securities (Cost $19,714,422) | 19,714,422 | ||||||||||
Investment Company (c) (0.2%) | |||||||||||
361 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $361,305) | 361,305 | |||||||||
Total Short-Term Investments | 20,075,727 | ||||||||||
Total Investments (Cost $149,552,899) (d) | 112.3 | % | 169,692,348 | ||||||||
Liabilities in Excess of Other Assets | (12.3 | ) | (18,591,543 | ) | |||||||
Net Assets | 100.0 | % | $ | 151,100,805 |
(a) Non-income producing security.
(b) All or portion of this security is on loan as of June 30, 2008.
(c) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Instiutional Class.
(d) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $39,852,644 and the aggregate gross unrealized depreciation is $19,713,195, resulting in net unrealized appreciation of $20,139,449.
See Notes to Financial Statements
101
Morgan Stanley Variable Investment Series - Global Dividend Growth
Summary of Investments n June 30, 2008 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Short-Term Investments | $ | 20,075,727 | 11.8 | % | |||||||
Integrated Oil | 16,092,281 | 9.5 | |||||||||
Major Banks | 13,326,204 | 7.9 | |||||||||
Pharmaceuticals: Major | 12,293,889 | 7.2 | |||||||||
Tobacco | 9,147,020 | 5.4 | |||||||||
Major Telecommunications | 7,367,979 | 4.3 | |||||||||
Food: Specialty/Candy | 6,552,814 | 3.9 | |||||||||
Motor Vehicles | 5,279,847 | 3.1 | |||||||||
Food: Major Diversified | 4,827,136 | 2.8 | |||||||||
Construction Materials | 4,012,241 | 2.4 | |||||||||
Information Technology Services | 3,929,981 | 2.3 | |||||||||
Wireless Telecommunications | 3,666,662 | 2.2 | |||||||||
Industrial Conglomerates | 3,568,028 | 2.1 | |||||||||
Publishing: Books/ Magazines | 3,271,744 | 1.9 | |||||||||
Recreational Products | 3,186,778 | 1.9 | |||||||||
Financial Conglomerates | 2,993,505 | 1.8 | |||||||||
Coal | 2,884,166 | 1.7 | |||||||||
Finance/Rental/Leasing | 2,631,816 | 1.6 | |||||||||
Food Retail | 2,543,553 | 1.5 | |||||||||
Electronic Equipment/ Instruments | 2,483,571 | 1.5 | |||||||||
Electric Utilities | 2,448,919 | 1.4 | |||||||||
Advertising/Marketing Services | 2,430,326 | 1.4 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Household/Personal Care | $ | 2,334,275 | 1.4 | % | |||||||
Insurance Brokers/ Services | 2,291,212 | 1.3 | |||||||||
Auto Parts: O.E.M. | 2,201,702 | 1.3 | |||||||||
Medical Specialties | 2,115,924 | 1.2 | |||||||||
Life/Health Insurance | 2,020,384 | 1.2 | |||||||||
Managed Health Care | 1,913,599 | 1.1 | |||||||||
Computer Processing Hardware | 1,878,660 | 1.1 | |||||||||
Computer Peripherals | 1,851,204 | 1.1 | |||||||||
Investment Banks/ Brokers | 1,848,788 | 1.1 | |||||||||
Telecommunication Equipment | 1,734,270 | 1.0 | |||||||||
Industrial Machinery | 1,622,562 | 1.0 | |||||||||
Electrical Products | 1,612,243 | 0.9 | |||||||||
Electronic Distributors | 1,582,111 | 0.9 | |||||||||
Other Transportation | 1,446,474 | 0.9 | |||||||||
Aerospace & Defense | 1,289,895 | 0.8 | |||||||||
Pharmaceuticals: Other | 1,284,080 | 0.8 | |||||||||
Specialty Insurance | 1,264,981 | 0.7 | |||||||||
Beverages: Non-Alcoholic | 948,651 | 0.6 | |||||||||
Beverages: Alcoholic | 936,025 | 0.6 | |||||||||
Multi-Line Insurance | 894,851 | 0.5 | |||||||||
Chemicals: Specialty | 852,465 | 0.5 | |||||||||
Semiconductors | 753,805 | 0.4 | |||||||||
$ | 169,692,348 | 100.0 | % |
See Notes to Financial Statements
102
Morgan Stanley Variable Investment Series - European Equity
Portfolio of Investments n June 30, 2008 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (97.4%) Austria (1.1%) | |||||||||||
Major Telecommunications | |||||||||||
67,046 | Telekom Austria AG | $ | 1,454,630 | ||||||||
Belgium (1.7%) | |||||||||||
Other Metals/Minerals | |||||||||||
43,641 | Umicore | 2,157,520 | |||||||||
France (9.9%) | |||||||||||
Construction Materials | |||||||||||
12,890 | Lafarge S.A. | 1,976,505 | |||||||||
Electric Utilities | |||||||||||
25,011 | Electricite de France (EDF) | 2,376,112 | |||||||||
51,837 | Suez S.A. | 3,529,036 | |||||||||
5,905,148 | |||||||||||
Electrical Products | |||||||||||
20,299 | Schneider Electric S.A. (d) | 2,192,768 | |||||||||
Major Banks | |||||||||||
30,419 | BNP Paribas | 2,755,785 | |||||||||
Total France | 12,830,206 | ||||||||||
Germany (14.2%) | |||||||||||
Air Freight/Couriers | |||||||||||
69,677 | Deutsche Post AG (Registered Shares) | 1,821,076 | |||||||||
Chemicals: Major Diversified | |||||||||||
31,261 | Bayer AG | 2,631,251 | |||||||||
Industrial Conglomerates | |||||||||||
15,586 | MAN AG | 1,730,278 | |||||||||
31,070 | Siemens AG (Registered Shares) | 3,449,722 | |||||||||
5,180,000 | |||||||||||
Major Banks | |||||||||||
59,663 | Commerzbank AG | 1,769,769 | |||||||||
Motor Vehicles | |||||||||||
35,688 | Bayerische Motoren Werke (BMW) AG | 1,716,580 | |||||||||
Multi-Line Insurance | |||||||||||
15,678 | Allianz SE (Registered Shares) | 2,762,176 |
NUMBER OF SHARES | VALUE | ||||||||||
14,209 | Muenchener Rueckversicherungs- Gesellschaft AG (Registered Shares) | $ | 2,489,047 | ||||||||
5,251,223 | |||||||||||
Total Germany | 18,369,899 | ||||||||||
Greece (1.7%) | |||||||||||
Major Banks | |||||||||||
48,882 | National Bank of Greece S.A. | 2,202,649 | |||||||||
Italy (4.9%) | |||||||||||
Integrated Oil | |||||||||||
108,144 | Eni S.p.A. | 4,035,351 | |||||||||
Major Banks | |||||||||||
374,000 | UniCredito S.p.A. | 2,289,141 | |||||||||
Total Italy | 6,324,492 | ||||||||||
Netherlands (4.3%) | |||||||||||
Air Freight/Couriers | |||||||||||
49,307 | TNT N.V. | 1,686,161 | |||||||||
Major Telecommunications | |||||||||||
130,592 | Koninklijke (Royal) KPN N.V. | 2,241,164 | |||||||||
Publishing: Books/Magazines | |||||||||||
67,405 | Wolters Kluwer N.V. | 1,574,913 | |||||||||
Total Netherlands | 5,502,238 | ||||||||||
Norway (1.5%) | |||||||||||
Major Telecommunications | |||||||||||
100,921 | Telenor ASA | 1,898,263 | |||||||||
Spain (4.9%) | |||||||||||
Major Banks | |||||||||||
135,056 | Banco Bilbao Vizcaya Argentaria, S.A. (d) | 2,587,826 | |||||||||
Major Telecommunications | |||||||||||
139,325 | Telefonica S.A. | 3,702,815 | |||||||||
Total Spain | 6,290,641 |
See Notes to Financial Statements
103
Morgan Stanley Variable Investment Series - European Equity
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Switzerland (16.6%) | |||||||||||
Financial Conglomerates | |||||||||||
87,608 | UBS AG (Registered Shares) | $ | 1,838,686 | ||||||||
Food: Major Diversified | |||||||||||
131,340 | Nestle S.A. (Registered Shares) | 5,934,760 | |||||||||
Medical Specialties | |||||||||||
39,790 | Nobel Biocare Holding AG (Registered Shares) | 1,299,392 | |||||||||
Multi-Line Insurance | |||||||||||
8,541 | Zurich Financial Services AG (Registered Shares) | 2,186,356 | |||||||||
Other Consumer Specialties | |||||||||||
42,673 | Compagnie Financiere Richemont S.A. ("A" Bearer Shares) (Units) ( ) | 2,376,872 | |||||||||
Pharmaceuticals: Major | |||||||||||
73,603 | Novartis AG (Registered Shares) | 4,052,830 | |||||||||
21,092 | Roche Holding AG | 3,799,058 | |||||||||
7,851,888 | |||||||||||
Total Switzerland | 21,487,954 | ||||||||||
United Kingdom (36.6%) | |||||||||||
Aerospace & Defense | |||||||||||
289,527 | BAE Systems PLC | 2,551,851 | |||||||||
207,783 | Rolls-Royce Group PLC (a) | 1,413,363 | |||||||||
19,828,659 | Rolls-Royce Group PLC (B Shares) | 39,495 | |||||||||
4,004,709 | |||||||||||
Food Retail | |||||||||||
315,371 | Morrison (W.M.) Supermarkets PLC | 1,672,493 | |||||||||
367,199 | Tesco PLC | 2,701,057 | |||||||||
4,373,550 | |||||||||||
Integrated Oil | |||||||||||
134,458 | BG Group PLC | 3,500,381 | |||||||||
175,535 | Royal Dutch Shell PLC (A Shares) | 7,213,001 | |||||||||
10,713,382 |
NUMBER OF SHARES | VALUE | ||||||||||
Investment Managers | |||||||||||
148,276 | Man Group PLC | $ | 1,842,928 | ||||||||
Life/Health Insurance | |||||||||||
162,637 | Prudential PLC | 1,726,631 | |||||||||
Major Banks | |||||||||||
207,400 | Barclays PLC | 1,204,205 | |||||||||
263,893 | HSBC Holdings PLC (Registered Shares) | 4,077,582 | |||||||||
5,281,787 | |||||||||||
Other Metals/Minerals | |||||||||||
61,764 | Anglo American PLC | 4,337,812 | |||||||||
Pharmaceuticals: Major | |||||||||||
140,234 | GlaxoSmithKline PLC | 3,108,862 | |||||||||
Publishing: Books/Magazines | |||||||||||
123,940 | Reed Elsevier PLC | 1,421,959 | |||||||||
Tobacco | |||||||||||
84,918 | British American Tobacco PLC | 2,941,388 | |||||||||
76,000 | Imperial Tobacco Group PLC | 2,832,308 | |||||||||
5,773,696 | |||||||||||
Wireless Telecommunications | |||||||||||
1,548,958 | Vodafone Group PLC | 4,601,675 | |||||||||
Total United Kingdom | 47,186,991 | ||||||||||
Total Common Stocks (Cost $106,082,194) | 125,705,483 | ||||||||||
Preferred Stocks (1.2%) | |||||||||||
Germany | |||||||||||
Medical Specialties | |||||||||||
18,590 | Fresenius SE (Cost $1,502,057) | 1,605,998 | |||||||||
Rights (0.0%) | |||||||||||
United Kingdom | |||||||||||
Major Banks | |||||||||||
45 | Blaclays PLC (Cost $0) | 1,820 |
See Notes to Financial Statements
104
Morgan Stanley Variable Investment Series - European Equity
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
Short-Term Investments (2.4%) Securities held as Collateral on Loaned Securities (2.4%) | |||||||||||
Repurchase Agreements (0.6%) | |||||||||||
$ | 150 | ABN Amro Bank N.V. (2.70%, dated 06/30/08, due 07/01/08; proceeds $150,127); fully collateralized by U.S. Government Agency security and corporate bond at the date of this Portfolio of Investment as follows: Federal Home Loan Bank 3.00% due 06/11/10; Merck & Co. Inc. 4.75% due 03/01/15; valued at $151,207 | $ | 150,042 | |||||||
330 | Banc of America Securities LLC (2.25%-2.75% dated 06/30/08, due 07/01/08; proceeds $330,476) fully collateralized by U.S. Government Agency security and common stocks at the date of this Portfolio of Investment as follows: Freddie Mac Giant 5.50%, due 03/01/38; Sempra Energy; Flowserve Corp.; Entergy Corp.; Avnet Inc.; Allied Waste Inds Inc.; Air Products & Chemicals Inc.; Trimble Navigation Ltd.; valued at $338,405 | 330,291 | |||||||||
100 | Deutsche Bank Securities (2.72% dated 06/30/08, due 07/01/08; proceeds $100,183) fully collateralized by common stock at the date of this Portfolio of Investment as follows: CSX Corp. valued at $105,103. | 100,126 |
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 120 | Lehman Brothers Inc. (2.70% dated 06/30/08, due 07/01/08; proceeds $120,102) fully collateralized by Municipal Bonds at the date of this Portfolio of Investment as follows: Kansas City, Illinois - School District No. 129 Aurora West 4.0% due 02/01/13; Chicago, Illinois - O'Hare International Airport Rev Ref-Gen Airport Third Lien Ser. B 5.125% due 01/01/14; Metropolitan Transit Authority New York Rev. Series A & Series F 5.0% due 11/15/25 - 11/15/37; Pleasantville New York UN Free School District 5.0% due 11/01/22; Guadalupe-Blanco River Authority Texas Sewer Disposal Facility - EI Du Pont De Nemours & Co. 5.50% due 05/01/29; Lehman Muni Trust Receipts Various States - Louisville & Jefferson County, Rhode Island, TRS - Series 06-F10, 144A,; and Sacramento California Floater Trust - Series P41W Reg. D 4.27% due 08/15/33; Becker Minn Pollution Control Rev., Rhode Island - TRS Series FP13, 144A 0.0% due 04/01/30; University of Massachusetts Building Authority Project Rev SR-Series 2.40% - 5.0% due 05/01/10 - 05/01/27; Puerto Rico Housing Fina nce Corp. Floater-TRS-Series F8J-Reg. D 2.15% due 06/01/21; valued at $122,461 | $ | 120,034 |
See Notes to Financial Statements
105
Morgan Stanley Variable Investment Series - European Equity
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | VALUE | ||||||||||
$ | 36 | Merrill Lynch Co., (2.65% dated 06/30/08, due 07/01/08; proceeds $36,031) fully collateralized by corporate bond at the date of this Portfolio of Investment; Qwest Corp. 6.50% due 06/01/17; valued at $41,58 0 | $ | 36,010 | |||||||
Total Repurchase Agreements (Cost $736,503) | 736,503 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
2,371 | Investment Company (c) (1.8%) | ||||||||||
Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $2,370,766) | 2,370,766 | ||||||||||
Total Securities held as Collateral on Loaned Securities (Cost $3,107,269) | 3,107,269 | ||||||||||
Investment Company (c) (0.0%) | |||||||||||
23 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $22,861) | 22,861 | |||||||||
Total Investments (Cost $110,714,381) (e) | 101.0 | % | 130,443,431 | ||||||||
Liabilities in Excess of Other Assets | (1.0 | ) | (1,320,380 | ) | |||||||
Net Assets | 100.0 | % | $ | 129,123,051 |
(a) Non-income producing security.
(b) Consist of one or more class of securities traded together as a unit; stocks with attached warrants.
(c) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Instiutional Class.
(d) All or portion of this security is on loan as of June 30, 2008.
(e) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $27,339,443 and the aggregate gross unrealized depreciation is $7,610,393, resulting in net unrealized appreciation of $19,729,050.
Forward Foreign Currency Contracts Open at June 30, 2008:
CONTRACTS TO DELIVER | IN EXCHANGE FOR | DELIVERY DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
EUR 129,261 | $ | 203,844 | 07/01/08 | $ | 329 | ||||||||||
CHF 219,568 | $ | 215,558 | 07/02/08 | 622 | |||||||||||
EUR 236,271 | $ | 372,600 | 07/02/08 | 601 | |||||||||||
GBP 233,611 | $ | 465,679 | 07/02/08 | 366 | |||||||||||
NOK | 100,059 | $ | 19,677 | 07/02/08 | 32 | ||||||||||
Net Unrealized Appreciation | $ | 1,950 |
Currency Abbreviations:
GBP British Pound
EUR Euro.
NOK Norwegian Krona.
CHF Swiss Franc
See Notes to Financial Statements
106
Morgan Stanley Variable Investment Series - European Equity
Summary of Investments n June 30, 2008 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Major Banks | $ | 16,888,777 | 13.0 | % | |||||||
Integrated Oil | 14,748,732 | 11.3 | |||||||||
Pharmaceuticals: Major | 10,960,751 | 8.4 | |||||||||
Major Telecommunications | 9,296,871 | 7.1 | |||||||||
Multi-Line Insurance | 7,437,579 | 5.7 | |||||||||
Other Metals/Minerals | 6,495,332 | 5.0 | |||||||||
Food: Major Diversified | 5,934,760 | 4.6 | |||||||||
Electric Utilities | 5,905,148 | 4.5 | |||||||||
Tobacco | 5,773,696 | 4.4 | |||||||||
Industrial Conglomerates | 5,180,000 | 4.0 | |||||||||
Wireless Telecommunications | 4,601,675 | 3.5 | |||||||||
Food Retail | 4,373,550 | 3.4 | |||||||||
Aerospace & Defense | 4,004,709 | 3.1 | |||||||||
Air Freight/Couriers | 3,507,237 | 2.7 | |||||||||
Short-term Investments | 3,130,131 | 2.4 | |||||||||
Publishing: Books/ Magazines | 2,996,872 | 2.3 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Medical Specialties | $ | 2,905,390 | 2.2 | % | |||||||
Chemicals: Major Diversified | 2,631,251 | 2.0 | |||||||||
Other Consumer Specialties | 2,376,872 | 1.8 | |||||||||
Electrical Products | 2,192,768 | 1.7 | |||||||||
Construction Materials | 1,976,505 | 1.5 | |||||||||
Investment Managers | 1,842,928 | 1.4 | |||||||||
Financial Conglomerates | 1,838,686 | 1.4 | |||||||||
Life/Health Insurance | 1,726,631 | 1.3 | |||||||||
Motor Vehicles | 1,716,580 | 1.3 | |||||||||
$ | 130,443,431 | ^ | 100.0 | % |
^ Does not include open forward foreign currency contracts with a net unrealized appreciation of $1,950.
See Notes to Financial Statements
107
Morgan Stanley Variable Investment Series - Capital Opportunities
Portfolio of Investments n June 30, 2008 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (95.3%) | |||||||||||
Air Freight/Couriers (4.2%) | |||||||||||
164,649 | C.H. Robinson Worldwide, Inc. | $ | 9,029,351 | ||||||||
152,221 | Expeditors International of Washington, Inc. | 6,545,503 | |||||||||
15,574,854 | |||||||||||
Apparel/Footwear Retail (2.1%) | |||||||||||
125,286 | Abercrombie & Fitch Co. (Class A) | 7,852,926 | |||||||||
Biotechnology (6.2%) | |||||||||||
141,664 | Illumina, Inc. (a) | 12,340,351 | |||||||||
132,864 | Techne Corp. (a) | 10,282,345 | |||||||||
22,622,696 | |||||||||||
Casino/Gaming (3.1%) | |||||||||||
140,899 | Wynn Resorts, Ltd. (a) | 11,462,134 | |||||||||
Chemicals: Agricultural (8.3%) | |||||||||||
240,394 | Monsanto Co. | 30,395,417 | |||||||||
Computer Processing Hardware (2.7%) | |||||||||||
60,246 | Apple Inc. (a) | 10,087,590 | |||||||||
Construction Materials (2.9%) | |||||||||||
436,076 | Cemex SAB de C.V. (ADR) (Mexico) (a) | 10,771,084 | |||||||||
Finance Energy (1.5%) | |||||||||||
272,968 | Brookfield Infrastructure Partners LP | 5,350,173 | |||||||||
Finance/Rental/Leasing (5.0%) | |||||||||||
40,806 | MasterCard Inc. Class A | 10,834,809 | |||||||||
403,231 | Redecard SA (Brazil) | 7,450,379 | |||||||||
18,285,188 | |||||||||||
Financial Conglomerates (7.3%) | |||||||||||
508,347 | Brookfield Asset Management Inc. (Class A) (Canada) | 16,541,611 | |||||||||
216,155 | Leucadia National Corp. | 10,146,316 | |||||||||
26,687,927 |
NUMBER OF SHARES | VALUE | ||||||||||
Home Building (0.9%) | |||||||||||
98,160 | Gafisa S.A. (ADR) (Brazil) | $ | 3,373,759 | ||||||||
Internet Retail (5.0%) | |||||||||||
249,225 | Amazon.com, Inc. (a) | 18,275,669 | |||||||||
Internet Software/ Services (10.7%) | |||||||||||
30,304 | Baidu.com, Inc. (ADR) (Cayman Islands) (a) | 9,483,940 | |||||||||
40,298 | Google Inc. (Class A) (a) | 21,213,673 | |||||||||
1,112,400 | Tencent Holdings Ltd. (Cayman Islands) | 8,602,741 | |||||||||
39,300,354 | |||||||||||
Investment Banks/ Brokers (4.8%) | |||||||||||
741,157 | Bovespa Holding SA (Brazil) | 9,154,082 | |||||||||
156,824 | Greenhill & Co., Inc. | 8,446,541 | |||||||||
17,600,623 | |||||||||||
Miscellaneous Commercial Services (3.7%) | |||||||||||
116,526 | Corporate Executive Board Co. (The) | 4,899,918 | |||||||||
191,852 | CoStar Group, Inc. (a) | 8,527,821 | |||||||||
13,427,739 | |||||||||||
Oil & Gas Production (12.3%) | |||||||||||
392,609 | Southwestern Energy Co. (a) | 18,692,115 | |||||||||
268,302 | Ultra Petroleum Corp. (Canada) (a) | 26,347,256 | |||||||||
45,039,371 | |||||||||||
Other Consumer Services (3.4%) | |||||||||||
462,239 | eBay Inc. (a) | 12,632,992 | |||||||||
Restaurants (1.8%) | |||||||||||
422,011 | Starbucks Corp. (a) | 6,642,453 | |||||||||
Specialty Telecommunications (1.5%) | |||||||||||
410,734 | Cogent Communications Group, Inc. (a) | 5,503,836 |
See Notes to Financial Statements
108
Morgan Stanley Variable Investment Series - Capital Opportunities
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Telecommunication Equipment (4.2%) | |||||||||||
8,584 | Nortel Networks Corp. (Canada) (a) | $ | 70,561 | ||||||||
130,620 | Research In Motion Ltd. (Canada) (a) | 15,269,478 | |||||||||
15,340,039 | |||||||||||
Wholesale Distributors (1.7%) | |||||||||||
2,060,000 | Li & Fung Ltd. (Hong Kong) | 6,208,599 | |||||||||
Wireless Telecommunications (2.0%) | |||||||||||
139,132 | America Movil SAB de C.V. (Series L) (ADR) (Mexico) | 7,339,213 | |||||||||
Total Common Stocks (Cost $305,039,757) | 349,774,636 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
Short-Term Investments (b) (5.0%) Investment Company | |||||||||||
18,315 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $18,315,210) | 18,315,210 | |||||||||
Total Investments (Cost $323,354,967) (c) | 100.3 | % | 368,089,846 | ||||||||
Liabilities in Excess of Other Assets | (0.3 | ) | (1,003,434 | ) | |||||||
Net Assets | 100.0 | % | $ | 367,086,412 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Instiutional Class.
(c) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $85,043,606 and the aggregate gross unrealized depreciation is $40,308,727, resulting in net unrealized appreciation of $44,734,879.
See Notes to Financial Statements
109
Morgan Stanley Variable Investment Series - Capital Opportunities
Summary of Investments n June 30, 2008 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Oil & Gas Production | $ | 45,039,371 | 12.2 | % | |||||||
Internet Software/ Services | 39,300,354 | 10.7 | |||||||||
Chemicals: Agricultural | 30,395,417 | 8.3 | |||||||||
Financial Conglomerates | 26,687,927 | 7.3 | |||||||||
Biotechnology | 22,622,696 | 6.1 | |||||||||
Investment Company | 18,315,210 | 5.0 | |||||||||
Finance/Rental/Leasing | 18,285,188 | 5.0 | |||||||||
Internet Retail | 18,275,669 | 5.0 | |||||||||
Investment Banks/Brokers | 17,600,623 | 4.8 | |||||||||
Air Freight/Couriers | 15,574,854 | 4.2 | |||||||||
Telecommunication Equipment | 15,340,039 | 4.2 | |||||||||
Miscellaneous Commercial Services | 13,427,739 | 3.6 | |||||||||
Other Consumer Services | 12,632,992 | 3.4 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Casino/Gaming | $ | 11,462,134 | 3.1 | % | |||||||
Construction Materials | 10,771,084 | 2.9 | |||||||||
Computer Processing Hardware | 10,087,590 | 2.7 | |||||||||
Apparel/Footwear Retail | 7,852,926 | 2.1 | |||||||||
Wireless Telecommunications | 7,339,213 | 2.0 | |||||||||
Restaurants | 6,642,453 | 1.8 | |||||||||
Wholesale Distributors | 6,208,599 | 1.7 | |||||||||
Specialty Telecommunications | 5,503,836 | 1.5 | |||||||||
Finance Energy | 5,350,173 | 1.5 | |||||||||
Home Building | 3,373,759 | 0.9 | |||||||||
$ | 368,089,846 | 100.0 | % |
See Notes to Financial Statements
110
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (99.1%) | |||||||||||
Advertising/Marketing Services (0.2%) | |||||||||||
7,048 | Interpublic Group of Companies, Inc. (The) (a) | $ | 60,613 | ||||||||
4,778 | Omnicom Group, Inc. | 214,437 | |||||||||
275,050 | |||||||||||
Aerospace & Defense (1.8%) | |||||||||||
11,822 | Boeing Co. | 776,942 | |||||||||
5,943 | General Dynamics Corp. | 500,401 | |||||||||
1,867 | Goodrich Corp. | 88,608 | |||||||||
1,837 | L-3 Communications Holdings, Inc. | 166,928 | |||||||||
5,264 | Lockheed Martin Corp. | 519,346 | |||||||||
5,107 | Northrop Grumman Corp. | 341,658 | |||||||||
2,076 | Precision Castparts Corp. | 200,064 | |||||||||
6,316 | Raytheon Co. | 355,464 | |||||||||
2,404 | Rockwell Collins, Inc. | 115,296 | |||||||||
3,064,707 | |||||||||||
Agricultural Commodities/ Milling (0.2%) | |||||||||||
9,616 | Archer-Daniels-Midland Co. | 324,540 | |||||||||
Air Freight/Couriers (0.9%) | |||||||||||
2,554 | C.H. Robinson Worldwide, Inc. | 140,061 | |||||||||
3,181 | Expeditors International of Washington, Inc. | 136,783 | |||||||||
4,629 | FedEx Corp. | 364,719 | |||||||||
16,135 | United Parcel Service, Inc. (Class B) | 991,818 | |||||||||
1,633,381 | |||||||||||
Airlines (0.1%) | |||||||||||
10,930 | Southwest Airlines Co. | 142,527 | |||||||||
Aluminum (0.3%) | |||||||||||
12,168 | Alcoa, Inc. | 433,424 | |||||||||
Apparel/Footwear (0.4%) | |||||||||||
5,092 | Coach, Inc. (a) | 147,057 | |||||||||
1,300 | Jones Apparel Group, Inc. | 17,875 | |||||||||
1,419 | Liz Claiborne, Inc. | 20,079 |
NUMBER OF SHARES | VALUE | ||||||||||
5,913 | Nike, Inc. (Class B) | $ | 352,474 | ||||||||
1,288 | Polo Ralph Lauren Corp. | 80,861 | |||||||||
1,627 | V.F. Corp. | 115,810 | |||||||||
734,156 | |||||||||||
Apparel/Footwear Retail (0.3%) | |||||||||||
1,300 | Abercrombie & Fitch Co. (Class A) | 81,484 | |||||||||
6,995 | Gap, Inc. (The) | 116,607 | |||||||||
5,076 | Limited Brands, Inc. | 85,531 | |||||||||
3,240 | Nordstrom, Inc. | 98,172 | |||||||||
6,346 | TJX Companies, Inc. (The) | 199,709 | |||||||||
581,503 | |||||||||||
Auto Parts: O.E.M. (0.3%) | |||||||||||
2,463 | Eaton Corp. | 209,281 | |||||||||
8,855 | Johnson Controls, Inc. | 253,961 | |||||||||
463,242 | |||||||||||
Automotive Aftermarket (0.0%) | |||||||||||
3,599 | Goodyear Tire & Rubber Co. (The) (a) | 64,170 | |||||||||
Beverages: Alcoholic (0.6%) | |||||||||||
11,398 | Anheuser-Busch Companies, Inc. | 708,044 | |||||||||
1,646 | Brown-Forman Corp. (Class B) | 124,388 | |||||||||
3,240 | Constellation Brands Inc. (Class A) (a) | 64,346 | |||||||||
2,629 | Molson Coors Brewing Co. (Class B) | 142,834 | |||||||||
1,039,612 | |||||||||||
Beverages: Non-Alcoholic (1.9%) | |||||||||||
31,130 | Coca-Cola Co. (The) | 1,618,137 | |||||||||
4,483 | Coca-Cola Enterprises Inc. | 77,556 | |||||||||
3,009 | Pepsi Bottling Group, Inc. (The) | 84,011 | |||||||||
24,801 | PepsiCo, Inc. | 1,577,096 | |||||||||
3,356,800 |
See Notes to Financial Statements
111
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Biotechnology (1.5%) | |||||||||||
16,745 | Amgen Inc. (a) | $ | 789,694 | ||||||||
4,375 | Biogen Idec Inc. (a) | 244,519 | |||||||||
6,511 | Celgene Corp. (a) | 415,858 | |||||||||
3,987 | Genzyme Corp. (a) | 287,144 | |||||||||
13,884 | Gilead Sciences, Inc. (a) | 735,158 | |||||||||
822 | Millipore Corp. (a) | 55,781 | |||||||||
2,528,154 | |||||||||||
Broadcasting (0.2%) | |||||||||||
7,436 | Clear Channel Communications, Inc. | 261,747 | |||||||||
Building Products (0.1%) | |||||||||||
5,406 | Masco Corp. | 85,036 | |||||||||
Cable/Satellite TV (0.7%) | |||||||||||
46,921 | Comcast Corp. (Class A) (a) | 890,091 | |||||||||
11,937 | DirectTv Group, Inc. (The) (a) | 309,288 | |||||||||
1,199,379 | |||||||||||
Casino/Gaming (0.1%) | |||||||||||
4,629 | International Game Technology | 115,632 | |||||||||
Chemicals: Agricultural (0.6%) | |||||||||||
8,643 | Monsanto Co. | 1,092,821 | |||||||||
Chemicals: Major Diversified (0.8%) | |||||||||||
13,886 | Dow Chemical Co. (The) | 484,760 | |||||||||
14,456 | Du Pont (E.I.) de Nemours & Co. | 620,018 | |||||||||
1,135 | Eastman Chemical Co. | 78,156 | |||||||||
1,688 | Hercules Inc. | 28,578 | |||||||||
1,955 | Rohm & Haas Co. | 90,790 | |||||||||
1,302,302 | |||||||||||
Chemicals: Specialty (0.5%) | |||||||||||
3,151 | Air Products & Chemicals, Inc. | 311,508 | |||||||||
940 | Ashland Inc. | 45,308 | |||||||||
4,674 | Praxair, Inc. | 440,478 | |||||||||
1,927 | Sigma-Aldrich Corp. | 103,788 | |||||||||
901,082 |
NUMBER OF SHARES | VALUE | ||||||||||
Coal (0.5%) | |||||||||||
2,732 | CONSOL Energy, Inc. | $ | 306,995 | ||||||||
1,194 | Massey Energy Co. | 111,938 | |||||||||
4,061 | Peabody Energy Corp. | 357,571 | |||||||||
776,504 | |||||||||||
Commercial Printing/ Forms (0.1%) | |||||||||||
3,166 | Donnelley (R.R.) & Sons Co. | 93,999 | |||||||||
Computer Communications (1.3%) | |||||||||||
90,853 | Cisco Systems, Inc. (a) | 2,113,241 | |||||||||
7,839 | Juniper Networks, Inc. (a) | 173,869 | |||||||||
1,986 | QLogic Corp. (a) | 28,976 | |||||||||
2,316,086 | |||||||||||
Computer Peripherals (0.4%) | |||||||||||
30,863 | EMC Corp. (a) | 453,377 | |||||||||
1,419 | Lexmark International, Inc. (Class A) (a) | 47,437 | |||||||||
5,137 | NetApp, Inc. (a) | 111,267 | |||||||||
4,225 | Seagate Technology Inc. (Escrow) #(a) | 0 | |||||||||
612,081 | |||||||||||
Computer Processing Hardware (2.8%) | |||||||||||
13,710 | Apple Inc. (a) | 2,295,602 | |||||||||
32,212 | Dell Inc. (a) | 704,799 | |||||||||
38,514 | Hewlett-Packard Co. | 1,702,704 | |||||||||
11,677 | Sun Microsytems (a) | 127,046 | |||||||||
4,830,151 | |||||||||||
Construction Materials (0.1%) | |||||||||||
1,628 | Vulcan Materials Co. | 97,322 | |||||||||
Containers/Packaging (0.1%) | |||||||||||
1,464 | Ball Corp. | 69,891 | |||||||||
1,494 | Bemis Company, Inc. | 33,495 | |||||||||
1,956 | Pactiv Corp. (a) | 41,526 | |||||||||
2,389 | Sealed Air Corp. | 45,415 | |||||||||
190,327 |
See Notes to Financial Statements
112
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Contract Drilling (0.9%) | |||||||||||
2,151 | ENSCO International Inc. | $ | 173,672 | ||||||||
4,211 | Nabors Industries, Ltd. (Bermuda) (a) | 207,308 | |||||||||
4,017 | Noble Corp. (Cayman Islands) | 260,944 | |||||||||
1,688 | Rowan Companies, Inc. | 78,914 | |||||||||
4,905 | Transocean Inc. (Cayman Islands) | 747,473 | |||||||||
1,468,311 | |||||||||||
Data Processing Services (0.7%) | |||||||||||
1,434 | Affiliated Computer Services, Inc. (Class A) (a) | 76,705 | |||||||||
7,735 | Automatic Data Processing, Inc. | 324,097 | |||||||||
1,852 | Convergys Corp. (a) | 27,521 | |||||||||
2,911 | Fidelity National Information Services, Inc. | 107,445 | |||||||||
2,449 | Fiserv, Inc. (a) | 111,111 | |||||||||
5,375 | Paychex, Inc. | 168,130 | |||||||||
2,957 | Total System Services, Inc. | 65,705 | |||||||||
11,050 | Western Union Co. | 273,156 | |||||||||
1,153,870 | |||||||||||
Department Stores (0.2%) | |||||||||||
1,119 | Dillard's, Inc. (Class A) | 12,947 | |||||||||
4,584 | Kohl's Corp. (a) | 183,543 | |||||||||
6,272 | Macy*s Inc. | 121,802 | |||||||||
3,315 | Penney (J.C.) Co., Inc. | 120,301 | |||||||||
438,593 | |||||||||||
Discount Stores (1.8%) | |||||||||||
1,225 | Big Lots, Inc. (a) | 38,269 | |||||||||
6,466 | Costco Wholesale Corp. | 453,525 | |||||||||
2,091 | Family Dollar Stores, Inc. | 41,695 | |||||||||
1,091 | Sears Holdings Corp. (a) | 80,363 | |||||||||
11,617 | Target Corp. | 540,074 | |||||||||
36,260 | Wal-Mart Stores, Inc. | 2,037,812 | |||||||||
3,191,738 | |||||||||||
Drugstore Chains (0.8%) | |||||||||||
21,984 | CVS Caremark Corp. | 869,907 | |||||||||
14,781 | Walgreen Co. | 480,530 | |||||||||
1,350,437 |
NUMBER OF SHARES | VALUE | ||||||||||
Electric Utilities (3.5%) | |||||||||||
10,034 | AES Corp. (The) (a) | $ | 192,753 | ||||||||
2,509 | Allegheny Energy, Inc. | 125,726 | |||||||||
3,121 | Ameren Corp. | 131,800 | |||||||||
6,003 | American Electric Power Co., Inc. | 241,501 | |||||||||
4,898 | CenterPoint Energy, Inc. | 78,613 | |||||||||
3,360 | CMS Energy Corp. | 50,064 | |||||||||
4,077 | Consolidated Edison, Inc. | 159,370 | |||||||||
2,658 | Constellation Energy Group | 218,222 | |||||||||
8,631 | Dominion Resources, Inc. | 409,886 | |||||||||
2,434 | DTE Energy Co. | 103,299 | |||||||||
18,888 | Duke Energy Corp. | 328,273 | |||||||||
4,868 | Edison International | 250,118 | |||||||||
2,867 | Entergy Corp. | 345,416 | |||||||||
10,090 | Exelon Corp. | 907,696 | |||||||||
4,555 | FirstEnergy Corp. | 375,013 | |||||||||
6,092 | FPL Group, Inc. | 399,513 | |||||||||
1,135 | Integrys Energy Group, Inc. | 57,692 | |||||||||
3,002 | Pepco Holdings, Inc. | 77,001 | |||||||||
5,331 | PG&E Corp. | 211,587 | |||||||||
1,509 | Pinnacle West Capital Corp. | 46,432 | |||||||||
5,570 | PPL Corp. | 291,144 | |||||||||
3,898 | Progress Energy, Inc. | 163,053 | |||||||||
7,600 | Public Service Enterprise Group Inc. | 349,068 | |||||||||
11,453 | Southern Co. | 399,939 | |||||||||
3,151 | TECO Energy, Inc. | 67,715 | |||||||||
6,436 | Xcel Energy, Inc. | 129,171 | |||||||||
6,110,065 | |||||||||||
Electrical Products (0.4%) | |||||||||||
2,599 | Cooper Industries Ltd. (Class A) (Bermuda) | 102,661 | |||||||||
11,668 | Emerson Electric Co. | 576,983 | |||||||||
2,657 | Molex Inc. | 64,857 | |||||||||
744,501 | |||||||||||
Electronic Components (0.3%) | |||||||||||
3,120 | Jabil Circuit, Inc. | 51,199 | |||||||||
3,405 | MEMC Electronic Materials, Inc. (a) | 209,544 |
See Notes to Financial Statements
113
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
3,360 | SanDisk Corp. (a) | $ | 62,832 | ||||||||
7,138 | Tyco Electronics Ltd. (Bermuda) | 255,683 | |||||||||
579,258 | |||||||||||
Electronic Equipment/ Instruments (0.3%) | |||||||||||
5,376 | Agilent Technologies, Inc. (a) | 191,063 | |||||||||
3,435 | JDS Uniphase Corp. (a) | 39,022 | |||||||||
2,195 | Rockwell Automation, Inc. | 95,987 | |||||||||
13,424 | Xerox Corp. | 182,029 | |||||||||
508,101 | |||||||||||
Electronic Production Equipment (0.3%) | |||||||||||
20,232 | Applied Materials, Inc. | 386,229 | |||||||||
2,539 | KLA-Tencor Corp. | 103,363 | |||||||||
1,494 | Novellus Systems, Inc. (a) | 31,658 | |||||||||
2,569 | Teradyne, Inc. (a) | 28,439 | |||||||||
549,689 | |||||||||||
Electronics/Appliance Stores (0.2%) | |||||||||||
5,959 | Best Buy Co., Inc. | 235,976 | |||||||||
1,956 | RadioShack Corp. | 24,000 | |||||||||
259,976 | |||||||||||
Electronics/Appliances (0.1%) | |||||||||||
4,301 | Eastman Kodak Co. | 62,063 | |||||||||
867 | Harman International Industries, Inc. | 35,885 | |||||||||
1,120 | Whirlpool Corp. | 69,138 | |||||||||
167,086 | |||||||||||
Engineering & Construction (0.2%) | |||||||||||
1,329 | Fluor Corp. | 247,300 | |||||||||
1,822 | Jacobs Engineering Group, Inc. (a) | 147,035 | |||||||||
394,335 |
NUMBER OF SHARES | VALUE | ||||||||||
Environmental Services (0.2%) | |||||||||||
6,450 | Allied Waste Industries, Inc. (a) | $ | 81,399 | ||||||||
7,332 | Waste Management, Inc. | 276,490 | |||||||||
357,889 | |||||||||||
Finance/Rental/Leasing (0.6%) | |||||||||||
3,032 | American Capital Strategies, Ltd. | 72,071 | |||||||||
5,600 | Capital One Financial Corp. | 212,856 | |||||||||
4,225 | CIT Group, Inc. | 28,772 | |||||||||
7,153 | Discover Financial Services | 94,205 | |||||||||
15,886 | Fannie Mae | 309,936 | |||||||||
9,661 | Freddie Mac | 158,440 | |||||||||
852 | Ryder System, Inc. | 58,686 | |||||||||
6,973 | SLM Corp. | 134,928 | |||||||||
1,069,894 | |||||||||||
Financial Conglomerates (2.7%) | |||||||||||
18,467 | American Express Co. | 695,652 | |||||||||
83,732 | Citigroup, Inc. (Note 4) | 1,403,348 | |||||||||
53,811 | JPMorgan Chase & Co. | 1,846,269 | |||||||||
3,264 | Leucadia National Corp. | 153,212 | |||||||||
3,868 | Principal Financial Group, Inc. | 162,340 | |||||||||
6,511 | Prudential Financial, Inc. | 388,967 | |||||||||
4,649,788 | |||||||||||
Financial Publishing/ Services (0.2%) | |||||||||||
1,942 | Equifax, Inc. | 65,290 | |||||||||
4,793 | McGraw-Hill Companies, Inc. (The) | 192,295 | |||||||||
3,658 | Moody's Corp. | 125,982 | |||||||||
383,567 | |||||||||||
Food Distributors (0.1%) | |||||||||||
8,974 | SYSCO Corp. | 246,875 | |||||||||
Food Retail (0.4%) | |||||||||||
9,885 | Kroger Co. (The) | 285,380 | |||||||||
6,540 | Safeway Inc. | 186,717 | |||||||||
3,166 | SUPERVALU, Inc. | 97,798 | |||||||||
2,091 | Whole Foods Market, Inc. | 49,536 | |||||||||
619,431 |
See Notes to Financial Statements
114
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Food: Major Diversified (1.0%) | |||||||||||
3,358 | Campbell Soup Co. | $ | 112,359 | ||||||||
7,287 | ConAgra Foods Inc. | 140,493 | |||||||||
5,002 | General Mills, Inc. | 303,972 | |||||||||
4,704 | Heinz (H.J.) Co. | 225,086 | |||||||||
3,956 | Kellogg Co. | 189,967 | |||||||||
24,226 | Kraft Foods Inc. (Class A) | 689,230 | |||||||||
10,542 | Sara Lee Corp. | 129,140 | |||||||||
1,790,247 | |||||||||||
Food: Meat/Fish/Dairy (0.1%) | |||||||||||
2,270 | Dean Foods Co. | 44,537 | |||||||||
5,300 | Tyson Foods, Inc. (Class A) | 79,182 | |||||||||
123,719 | |||||||||||
Food: Specialty/Candy (0.3%) | |||||||||||
3,389 | Hershey Foods Co. (The) | 111,091 | |||||||||
1,912 | McCormick & Co., Inc. (Non-Voting) | 68,182 | |||||||||
3,346 | Wrigley (Wm.) Jr. Co. | 260,252 | |||||||||
439,525 | |||||||||||
Forest Products (0.1%) | |||||||||||
3,151 | Weyerhaeuser Co. | 161,142 | |||||||||
Gas Distributors (0.5%) | |||||||||||
7,743 | Dynegy, Inc. (Class A) (a) | 66,203 | |||||||||
672 | Nicor Inc. | 28,620 | |||||||||
4,092 | NiSource, Inc. | 73,329 | |||||||||
2,584 | Questar Corp. | 183,567 | |||||||||
3,733 | Sempra Energy | 210,728 | |||||||||
9,452 | Spectra Energy Corp. | 271,650 | |||||||||
834,097 | |||||||||||
Home Building (0.1%) | |||||||||||
1,837 | Centex Corp. | 24,561 | |||||||||
4,718 | D.R. Horton, Inc. | 51,190 | |||||||||
1,343 | KB Home | 22,737 | |||||||||
2,403 | Lennar Corp. (Class A) | 29,653 | |||||||||
3,837 | Pulte Homes, Inc. | 36,950 | |||||||||
165,091 |
NUMBER OF SHARES | VALUE | ||||||||||
Home Furnishings (0.1%) | |||||||||||
2,479 | Leggett & Platt, Inc. | $ | 41,573 | ||||||||
4,136 | Newell Rubbermaid, Inc. | 69,443 | |||||||||
111,016 | |||||||||||
Home Improvement Chains (0.7%) | |||||||||||
27,145 | Home Depot, Inc. (The) | 635,736 | |||||||||
21,860 | Lowe's Companies, Inc. | 453,595 | |||||||||
1,776 | Sherwin-Williams Co. | 81,572 | |||||||||
1,170,903 | |||||||||||
Hospital/Nursing Management (0.0%) | |||||||||||
7,153 | Tenet Healthcare Corp. (a) | 39,771 | |||||||||
Hotels/Resorts/ Cruiselines (0.3%) | |||||||||||
6,807 | Carnival Corp (Units) (Panama) | 224,359 | |||||||||
5,285 | Marriott International, Inc. (Class A) | 138,678 | |||||||||
2,793 | Starwood Hotels & Resorts Worldwide, Inc. | 111,916 | |||||||||
2,643 | Wyndham Worldwide Corp. | 47,336 | |||||||||
522,289 | |||||||||||
Household/Personal Care (2.4%) | |||||||||||
6,376 | Avon Products, Inc. | 229,664 | |||||||||
2,061 | Clorox Co. (The) | 107,584 | |||||||||
7,585 | Colgate-Palmolive Co. | 524,124 | |||||||||
1,783 | Estee Lauder Companies, Inc. (The) (Class A) | 82,820 | |||||||||
1,210 | International Flavors & Fragrances, Inc. | 47,263 | |||||||||
6,242 | Kimberly-Clark Corp. | 373,147 | |||||||||
46,956 | Procter & Gamble Co. (The) | 2,855,394 | |||||||||
4,219,996 | |||||||||||
Industrial Conglomerates (4.3%) | |||||||||||
11,199 | 3M Co. | 779,338 | |||||||||
3,970 | Danaher Corp. | 306,881 | |||||||||
153,784 | General Electric Co. ## | 4,104,495 |
See Notes to Financial Statements
115
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
11,078 | Honeywell International, Inc. | $ | 557,002 | ||||||||
4,748 | Ingersoll-Rand Co. Ltd. (Class A) (Bermuda) | 177,718 | |||||||||
2,718 | ITT Corp. | 172,131 | |||||||||
3,718 | Textron, Inc. | 178,204 | |||||||||
7,196 | Tyco International Ltd. (Bermuda) | 288,128 | |||||||||
15,371 | United Technologies Corp. | 948,391 | |||||||||
7,512,288 | |||||||||||
Industrial Machinery (0.3%) | |||||||||||
6,658 | Illinois Tool Works Inc. | 316,321 | |||||||||
2,509 | Parker Hannifin Corp. | 178,942 | |||||||||
495,263 | |||||||||||
Industrial Specialties (0.2%) | |||||||||||
3,294 | Ecolab Inc. | 141,609 | |||||||||
2,449 | PPG Industries, Inc. | 140,499 | |||||||||
282,108 | |||||||||||
Information Technology Services (1.8%) | |||||||||||
2,748 | Citrix Systems, Inc. (a) | 80,819 | |||||||||
4,316 | Cognizant Technology Solutions Corp. (Class A) (a) | 140,313 | |||||||||
2,255 | Computer Sciences Corp. (a) | 105,624 | |||||||||
7,511 | Electronic Data Systems Corp. | 185,071 | |||||||||
21,125 | International Business Machines Corp. | 2,503,946 | |||||||||
2,688 | Teradata Corp. (a) | 62,200 | |||||||||
5,316 | Unisys Corp. (a) | 20,998 | |||||||||
3,098,971 | |||||||||||
Insurance Brokers/ Services (0.2%) | |||||||||||
4,465 | AON Corp. | 205,122 | |||||||||
7,645 | Marsh & McLennan Companies, Inc. | 202,975 | |||||||||
408,097 |
NUMBER OF SHARES | VALUE | ||||||||||
Integrated Oil (8.1%) | |||||||||||
32,080 | Chevron Corp. | $ | 3,180,090 | ||||||||
23,723 | ConocoPhillips | 2,239,214 | |||||||||
81,264 | Exxon Mobil Corp. | 7,161,796 | |||||||||
4,536 | Hess Corp. | 572,398 | |||||||||
10,572 | Marathon Oil Corp. | 548,370 | |||||||||
2,836 | Murphy Oil Corp. | 278,070 | |||||||||
13,979,938 | |||||||||||
Internet Retail (0.3%) | |||||||||||
4,817 | Amazon.com, Inc. (a) | 353,231 | |||||||||
2,419 | Gamestop Corp (Class A) (a) | 97,728 | |||||||||
4,097 | IAC/InterActiveCorp. (a) | 78,990 | |||||||||
529,949 | |||||||||||
Internet Software/ Services (1.5%) | |||||||||||
2,509 | Akamai Technologies, Inc. (a) | 87,288 | |||||||||
3,623 | Google Inc. (Class A) (a) | 1,907,220 | |||||||||
2,912 | VeriSign, Inc. (a) | 110,074 | |||||||||
20,546 | Yahoo! Inc. (a) | 424,480 | |||||||||
2,529,062 | |||||||||||
Investment Banks/ Brokers (2.0%) | |||||||||||
3,315 | Ameriprise Financial, Inc. | 134,821 | |||||||||
14,472 | Charles Schwab Corp. (The) | 297,255 | |||||||||
822 | CME Group Inc. | 314,982 | |||||||||
7,063 | E*TRADE Group, Inc. (a) | 22,178 | |||||||||
6,063 | Goldman Sachs Group, Inc. (The) | 1,060,419 | |||||||||
1,061 | IntercontinentalExchange Inc. (a) | 120,954 | |||||||||
10,407 | Lehman Brothers Holdings Inc. | 206,163 | |||||||||
14,708 | Merrill Lynch & Co., Inc. | 466,391 | |||||||||
17,725 | Morgan Stanley (Note 4) | 639,341 | |||||||||
3,957 | NYSE Euronext | 200,462 | |||||||||
3,462,966 | |||||||||||
Investment Managers (0.6%) | |||||||||||
1,522 | Federated Investors, Inc. (Class B) | 52,387 |
See Notes to Financial Statements
116
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
2,164 | Franklin Resources, Inc. | $ | 198,331 | ||||||||
2,433 | Janus Capital Group, Inc. | 64,402 | |||||||||
2,106 | Legg Mason, Inc. | 91,758 | |||||||||
3,883 | Price (T.) Rowe Group, Inc. | 219,273 | |||||||||
6,375 | State Street Corp. | 407,936 | |||||||||
1,034,087 | |||||||||||
Life/Health Insurance (0.9%) | |||||||||||
7,093 | AFLAC, Inc. | 445,440 | |||||||||
6,466 | Genworth Financial Inc. (Class A) | 115,159 | |||||||||
3,868 | Lincoln National Corp. | 175,298 | |||||||||
10,602 | MetLife, Inc. (Note 4) | 559,468 | |||||||||
1,344 | Torchmark Corp. | 78,826 | |||||||||
5,167 | Unum Corp. | 105,665 | |||||||||
1,479,856 | |||||||||||
Major Banks (3.3%) | |||||||||||
69,484 | Bank of America Corp. | 1,658,583 | |||||||||
17,592 | Bank of New York Mellon Corp. | 665,505 | |||||||||
8,168 | BB&T Corp. | 185,985 | |||||||||
2,240 | Comerica, Inc. | 57,411 | |||||||||
5,465 | Huntington Bancshares, Inc. | 31,533 | |||||||||
7,256 | KeyCorp | 79,671 | |||||||||
11,347 | National City Corp. | 54,125 | |||||||||
5,167 | PNC Financial Services Group | 295,036 | |||||||||
10,378 | Regions Financial Corp. | 113,224 | |||||||||
5,256 | SunTrust Banks, Inc. | 190,372 | |||||||||
26,771 | U.S. Bancorp | 746,643 | |||||||||
31,923 | Wachovia Corp. | 495,764 | |||||||||
51,842 | Wells Fargo & Co. | 1,231,247 | |||||||||
5,805,099 | |||||||||||
Major Telecommunications (3.0%) | |||||||||||
91,373 | AT&T Inc. | 3,078,356 | |||||||||
2,210 | Embarq Corp. | 104,467 | |||||||||
42,569 | Sprint Nextel Corp. | 404,406 | |||||||||
44,591 | Verizon Communications, Inc. | 1,578,521 | |||||||||
5,165,750 |
NUMBER OF SHARES | VALUE | ||||||||||
Managed Health Care (0.8%) | |||||||||||
7,242 | Aetna, Inc. | $ | 293,518 | ||||||||
4,196 | CIGNA Corp. | 148,496 | |||||||||
2,270 | Coventry Health Care, Inc. (a) | 69,053 | |||||||||
2,524 | Humana, Inc. (a) | 100,379 | |||||||||
18,351 | UnitedHealth Group Inc. | 481,714 | |||||||||
7,854 | WellPoint Inc. (a) | 374,322 | |||||||||
1,467,482 | |||||||||||
Media Conglomerates (1.6%) | |||||||||||
10,169 | CBS Corp. (Class B) | 198,194 | |||||||||
29,302 | Disney (Walt) Co. (The) | 914,222 | |||||||||
35,889 | News Corp. (Class A) | 539,771 | |||||||||
55,036 | Time Warner, Inc. | 814,533 | |||||||||
9,452 | Viacom Inc. (Class B) (a) | 288,664 | |||||||||
2,755,384 | |||||||||||
Medical Distributors (0.4%) | |||||||||||
2,404 | AmerisourceBergen Corp. | 96,136 | |||||||||
5,331 | Cardinal Health, Inc. | 274,973 | |||||||||
4,136 | McKesson Corp. | 231,244 | |||||||||
1,927 | Patterson Companies, Inc. (a) | 56,635 | |||||||||
658,988 | |||||||||||
Medical Specialties (2.4%) | |||||||||||
2,524 | Applera Corp. - Applied Biosystems Group | 84,504 | |||||||||
1,479 | Bard (C.R.), Inc. | 130,078 | |||||||||
9,362 | Baxter International, Inc. | 598,606 | |||||||||
3,644 | Becton, Dickinson & Co. | 296,257 | |||||||||
22,337 | Boston Scientific Corp. (a) | 274,522 | |||||||||
7,466 | Covidien Ltd. (Bermuda) | 357,547 | |||||||||
2,375 | Hospira, Inc. (a) | 95,261 | |||||||||
583 | Intuitive Surgical, Inc. (a) | 157,060 | |||||||||
17,273 | Medtronic, Inc. | 893,878 | |||||||||
1,792 | Pall Corp. | 71,106 | |||||||||
1,762 | PerkinElmer, Inc. | 49,072 | |||||||||
5,062 | St. Jude Medical, Inc. (a) | 206,934 | |||||||||
3,722 | Stryker Corp. | 234,039 | |||||||||
6,242 | Thermo Fisher Scientific, Inc. (a) | 347,867 |
See Notes to Financial Statements
117
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
1,882 | Varian Medical Systems, Inc. (a) | $ | 97,582 | ||||||||
1,494 | Waters Corp. (a) | 96,363 | |||||||||
3,450 | Zimmer Holdings, Inc. (a) | 234,772 | |||||||||
4,225,448 | |||||||||||
Miscellaneous Commercial Services (0.0%) | |||||||||||
2,299 | Cintas Corp. | 60,946 | |||||||||
Miscellaneous Manufacturing (0.1%) | |||||||||||
2,822 | Dover Corp. | 136,500 | |||||||||
Motor Vehicles (0.2%) | |||||||||||
33,476 | Ford Motor Co. (a) | 161,020 | |||||||||
8,452 | General Motors Corp. | 97,198 | |||||||||
3,539 | Harley-Davidson, Inc. | 128,324 | |||||||||
386,542 | |||||||||||
Multi-Line Insurance (0.9%) | |||||||||||
41,063 | American International Group, Inc. | 1,086,527 | |||||||||
4,704 | Hartford Financial Services Group, Inc. (The) | 303,737 | |||||||||
1,344 | SAFECO Corp. | 90,263 | |||||||||
1,480,527 | |||||||||||
Office Equipment/ Supplies (0.1%) | |||||||||||
1,583 | Avery Dennison Corp. | 69,541 | |||||||||
3,106 | Pitney Bowes, Inc. | 105,915 | |||||||||
175,456 | |||||||||||
Oil & Gas Pipelines (0.3%) | |||||||||||
10,482 | El Paso Corp. | 227,879 | |||||||||
8,720 | Williams Companies, Inc. (The) | 351,503 | |||||||||
579,382 | |||||||||||
Oil & Gas Production (3.2%) | |||||||||||
6,987 | Anadarko Petroleum Corp. | 522,907 | |||||||||
5,332 | Apache Corp. | 741,148 | |||||||||
1,463 | Cabot Oil & Gas Corp. | 99,089 |
NUMBER OF SHARES | VALUE | ||||||||||
7,815 | Chesapeake Energy Corp. | $ | 515,477 | ||||||||
7,094 | Devon Energy Corp. | 852,415 | |||||||||
3,703 | EOG Resources, Inc. | 485,834 | |||||||||
2,569 | Noble Energy, Inc. | 258,339 | |||||||||
12,623 | Occidental Petroleum Corp. | 1,134,303 | |||||||||
2,315 | Range Resources Corp. | 151,725 | |||||||||
5,106 | Southwestern Energy Co. (a) | 243,097 | |||||||||
7,629 | XTO Energy, Inc. | 522,663 | |||||||||
5,526,997 | |||||||||||
Oil Refining/Marketing (0.3%) | |||||||||||
1,747 | Sunoco, Inc. | 71,085 | |||||||||
2,061 | Tesoro Corp. | 40,746 | |||||||||
7,899 | Valero Energy Corp. | 325,281 | |||||||||
437,112 | |||||||||||
Oilfield Services/ Equipment (2.7%) | |||||||||||
4,598 | Baker Hughes Inc. | 401,589 | |||||||||
4,390 | BJ Services Co. | 140,217 | |||||||||
3,241 | Cameron International Corp. (a) | 179,389 | |||||||||
13,941 | Halliburton Co. | 739,849 | |||||||||
6,196 | National-Oilwell Varco, Inc. (a) | 549,709 | |||||||||
18,592 | Schlumberger Ltd. (Netherlands Antilles) | 1,997,339 | |||||||||
3,002 | Smith International, Inc. | 249,586 | |||||||||
10,153 | Weatherford International Ltd. (Bermuda) (a) | 503,487 | |||||||||
4,761,165 | |||||||||||
Other Consumer Services (0.4%) | |||||||||||
2,508 | Apollo Group, Inc. (Class A) (a) | 111,004 | |||||||||
4,853 | Block (H&R), Inc. | 103,854 | |||||||||
17,227 | eBay Inc. (a) | 470,814 | |||||||||
4,270 | Expedia, Inc. (a) | 78,483 | |||||||||
764,155 | |||||||||||
Other Consumer Specialties (0.1%) | |||||||||||
2,300 | Fortune Brands, Inc. | 143,543 |
See Notes to Financial Statements
118
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Other Metals/Minerals (0.0%) | |||||||||||
2,702 | Titanium Metals Corp. | $ | 37,801 | ||||||||
Packaged Software (3.3%) | |||||||||||
7,943 | Adobe Systems, Inc. (a) | 312,875 | |||||||||
3,345 | Autodesk, Inc. (a) | 113,094 | |||||||||
2,852 | BMC Software, Inc. (a) | 102,672 | |||||||||
7,106 | CA Inc. | 164,078 | |||||||||
3,912 | Compuware Corp. (a) | 37,320 | |||||||||
4,793 | Intuit Inc. (a) | 132,143 | |||||||||
123,186 | Microsoft Corp. | 3,388,847 | |||||||||
5,286 | Novell, Inc. (a) | 31,135 | |||||||||
61,008 | Oracle Corp. (a) | 1,281,168 | |||||||||
12,543 | Symantec Corp. (a) | 242,707 | |||||||||
5,806,039 | |||||||||||
Personnel Services (0.1%) | |||||||||||
1,852 | Monster Worldwide Inc. (a) | 38,170 | |||||||||
2,375 | Robert Half International, Inc. | 56,929 | |||||||||
95,099 | |||||||||||
Pharmaceuticals: Generic Drugs (0.1%) | |||||||||||
1,613 | Barr Pharmaceuticals Inc. (a) | 72,714 | |||||||||
4,540 | Mylan Laboratories, Inc. | 54,798 | |||||||||
1,553 | Watson Pharmaceuticals, Inc. (a) | 42,195 | |||||||||
169,707 | |||||||||||
Pharmaceuticals: Major (5.7%) | |||||||||||
23,736 | Abbott Laboratories | 1,257,296 | |||||||||
29,564 | Bristol-Myers Squibb Co. | 606,949 | |||||||||
43,344 | Johnson & Johnson | 2,788,753 | |||||||||
15,415 | Lilly (Eli) & Co. | 711,556 | |||||||||
33,733 | Merck & Co., Inc. | 1,271,397 | |||||||||
105,425 | Pfizer, Inc. | 1,841,775 | |||||||||
24,204 | Schering-Plough Corp. | 476,577 | |||||||||
20,507 | Wyeth | 983,516 | |||||||||
9,937,819 | |||||||||||
Pharmaceuticals: Other (0.2%) | |||||||||||
4,599 | Allergan, Inc. | 239,378 | |||||||||
4,555 | Forest Laboratories, Inc. (a) | 158,241 |
NUMBER OF SHARES | VALUE | ||||||||||
3,689 | King Pharmaceuticals, Inc. (a) | $ | 38,624 | ||||||||
436,243 | |||||||||||
Precious Metals (0.6%) | |||||||||||
6,121 | Freeport-McMoRan Copper & Gold, Inc. | 717,320 | |||||||||
6,779 | Newmont Mining Corp. | 353,593 | |||||||||
1,070,913 | |||||||||||
Property - Casualty Insurers (1.1%) | |||||||||||
4,973 | ACE Ltd. (Cayman Islands) | 273,963 | |||||||||
8,228 | Allstate Corp. (The) (Note 4) | 375,114 | |||||||||
5,450 | Chubb Corp. (The) | 267,104 | |||||||||
2,434 | Cincinnati Financial Corp. | 61,824 | |||||||||
5,643 | Loews Corp. | 264,657 | |||||||||
10,124 | Progressive Corp. (The) | 189,521 | |||||||||
9,034 | The Travelers Companies, Inc. | 392,076 | |||||||||
2,673 | XL Capital Ltd. (Class A) (Cayman Islands) | 54,957 | |||||||||
1,879,216 | |||||||||||
Publishing: Books/ Magazines (0.0%) | |||||||||||
686 | Meredith Corp. | 19,407 | |||||||||
Publishing: Newspapers (0.1%) | |||||||||||
3,420 | Gannett Co., Inc. | 74,111 | |||||||||
2,151 | New York Times Co. (The) (Class A) | 33,104 | |||||||||
1,399 | Scripps (E.W.) Co. (Class A) | 58,114 | |||||||||
139 | Washington Post Co. (The) (Class B) | 81,579 | |||||||||
246,908 | |||||||||||
Pulp & Paper (0.1%) | |||||||||||
6,391 | International Paper Co. | 148,910 | |||||||||
2,599 | MeadWestvaco Corp. | 61,960 | |||||||||
210,870 | |||||||||||
Railroads (1.0%) | |||||||||||
4,569 | Burlington Northern Santa Fe Corp. | 456,397 |
See Notes to Financial Statements
119
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
6,048 | CSX Corp. | $ | 379,875 | ||||||||
5,615 | Norfolk Southern Corp. | 351,892 | |||||||||
7,720 | Union Pacific Corp. | 582,860 | |||||||||
1,771,024 | |||||||||||
Real Estate Development (0.0%) | |||||||||||
3,016 | CB Richard Ellis Group, Inc. (Class A) (a) | 57,907 | |||||||||
Real Estate Investment Trusts (1.1%) | |||||||||||
1,344 | Apartment Investment & Management Co. (Class A) | 45,777 | |||||||||
1,150 | AvalonBay Communities, Inc. | 102,534 | |||||||||
1,792 | Boston Properties, Inc. | 161,674 | |||||||||
4,047 | Equity Residential | 154,879 | |||||||||
3,987 | General Growth Properties, Inc. | 139,665 | |||||||||
3,509 | HCP, Inc. | 111,621 | |||||||||
7,795 | Host Hotels & Resorts Inc. | 106,402 | |||||||||
3,793 | Kimco Realty Corp. | 130,934 | |||||||||
2,554 | Plum Creek Timber Co., Inc. | 109,081 | |||||||||
3,912 | ProLogis | 212,617 | |||||||||
2,219 | Public Storage, Inc. | 179,273 | |||||||||
3,360 | Simon Property Group, Inc. | 302,030 | |||||||||
2,299 | Vornado Realty Trust | 202,312 | |||||||||
1,958,799 | |||||||||||
Recreational Products (0.2%) | |||||||||||
4,749 | Electronic Arts Inc. (a) | 210,998 | |||||||||
2,076 | Hasbro, Inc. | 74,155 | |||||||||
5,406 | Mattel, Inc. | 92,551 | |||||||||
377,704 | |||||||||||
Regional Banks (0.3%) | |||||||||||
8,585 | Fifth Third Bancorp | 87,395 | |||||||||
2,792 | First Horizon National Corp. | 20,745 | |||||||||
1,548 | M&T Bank Corp. | 109,196 | |||||||||
3,868 | Marshall & Ilsley Corp. | 59,296 | |||||||||
3,284 | Northern Trust Corp. | 225,184 | |||||||||
1,613 | Zions Bancorporation | 50,793 | |||||||||
552,609 |
NUMBER OF SHARES | VALUE | ||||||||||
Restaurants (0.9%) | |||||||||||
2,091 | Darden Restaurants, Inc. | $ | 66,787 | ||||||||
17,434 | McDonald's Corp. | 980,139 | |||||||||
10,870 | Starbucks Corp. (a) | 171,094 | |||||||||
1,314 | Wendy's International, Inc. | 35,767 | |||||||||
7,078 | Yum! Brands, Inc. | 248,367 | |||||||||
1,502,154 | |||||||||||
Retail Strip Centers (0.0%) | |||||||||||
1,792 | Developers Diversified Realty Corp. | 62,200 | |||||||||
Savings Banks (0.2%) | |||||||||||
7,750 | Hudson City Bancorp, Inc. | 129,270 | |||||||||
9,541 | Sovereign Bancorp, Inc. | 70,222 | |||||||||
15,812 | Washington Mutual, Inc. | 77,953 | |||||||||
277,445 | |||||||||||
Semiconductors (2.1%) | |||||||||||
9,064 | Advanced Micro Devices, Inc. (a) | 52,843 | |||||||||
4,480 | Altera Corp. | 92,736 | |||||||||
4,331 | Analog Devices, Inc. | 137,596 | |||||||||
7,674 | Broadcom Corp. (Class A) (a) | 209,423 | |||||||||
89,272 | Intel Corp. | 1,917,563 | |||||||||
3,315 | Linear Technology Corp. | 107,969 | |||||||||
9,512 | LSI Logic Corp. (a) | 58,404 | |||||||||
2,763 | Microchip Technology Inc. | 84,382 | |||||||||
11,363 | Micron Technology, Inc. (a) | 68,178 | |||||||||
3,628 | National Semiconductor Corp. | 74,519 | |||||||||
8,287 | NVIDIA Corp. (a) | 155,133 | |||||||||
19,754 | Texas Instruments Inc. | 556,273 | |||||||||
4,166 | Xilinx, Inc. | 105,192 | |||||||||
3,620,211 | |||||||||||
Services to the Health Industry (0.5%) | |||||||||||
3,748 | Express Scripts, Inc. (a) | 235,075 | |||||||||
2,703 | IMS Health Inc. | 62,980 | |||||||||
1,658 | Laboratory Corp. of America Holdings (a) | 115,446 |
See Notes to Financial Statements
120
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
7,571 | Medco Health Solutions Inc. (a) | $ | 357,351 | ||||||||
2,911 | Quest Diagnostics Inc. | 141,096 | |||||||||
911,948 | |||||||||||
Specialty Insurance (0.1%) | |||||||||||
1,761 | Assurant, Inc. | 116,155 | |||||||||
3,553 | MBIA Inc. | 15,598 | |||||||||
1,866 | MGIC Investment Corp. | 11,401 | |||||||||
143,154 | |||||||||||
Specialty Stores (0.4%) | |||||||||||
2,672 | AutoNation, Inc. (a) | 26,773 | |||||||||
904 | AutoZone, Inc. (a) | 109,393 | |||||||||
3,868 | Bed Bath & Beyond Inc. (a) | 108,691 | |||||||||
4,077 | Office Depot, Inc. (a) | 44,602 | |||||||||
10,482 | Staples, Inc. | 248,948 | |||||||||
1,882 | Tiffany & Co. | 76,691 | |||||||||
615,098 | |||||||||||
Specialty Telecommunications (0.3%) | |||||||||||
5,928 | American Tower Corp. (Class A) (a) | 250,458 | |||||||||
1,568 | CenturyTel, Inc. | 55,805 | |||||||||
4,838 | Citizens Communications Co. | 54,863 | |||||||||
3 | Fairpoint Communications, Inc. | 22 | |||||||||
26,114 | Qwest Communications International, Inc. (a) | 102,628 | |||||||||
6,675 | Windstream Corp. | 82,370 | |||||||||
546,146 | |||||||||||
Steel (0.5%) | |||||||||||
538 | AK Steel Holding Corp. | 37,122 | |||||||||
1,509 | Allegheny Technologies, Inc. | 89,454 | |||||||||
4,688 | Nucor Corp. | 350,053 | |||||||||
1,762 | United States Steel Corp. | 325,582 | |||||||||
802,211 | |||||||||||
Telecommunication Equipment (1.1%) | |||||||||||
1,344 | Ciena Corp. (a) | 31,140 | |||||||||
23,516 | Corning Inc. | 542,044 |
NUMBER OF SHARES | VALUE | ||||||||||
33,670 | Motorola, Inc. | $ | 247,138 | ||||||||
175 | Nortel Networks Corp. (Canada) (a) | 1,438 | |||||||||
24,896 | QUALCOMM, Inc. | 1,104,635 | |||||||||
5,928 | Tellabs, Inc. (a) | 27,565 | |||||||||
1,953,960 | |||||||||||
Tobacco (1.6%) | |||||||||||
32,211 | Altria Group, Inc. | 662,258 | |||||||||
2,598 | Lorillard, Inc. (a) | 179,678 | |||||||||
32,956 | Philip Morris International, Inc. | 1,627,697 | |||||||||
2,670 | Reynolds American, Inc. | 124,609 | |||||||||
2,210 | UST, Inc. | 120,688 | |||||||||
2,714,930 | |||||||||||
Tools/Hardware (0.1%) | |||||||||||
911 | Black & Decker Corp. | 52,392 | |||||||||
867 | Snap-On, Inc. | 45,093 | |||||||||
1,165 | Stanley Works (The) | 52,227 | |||||||||
149,712 | |||||||||||
Trucks/Construction/ Farm Machinery (1.0%) | |||||||||||
9,240 | Caterpillar Inc. | 682,097 | |||||||||
3,032 | Cummins Inc. | 198,657 | |||||||||
6,436 | Deere & Co. | 464,229 | |||||||||
1,942 | Manitowoc Co., Inc. | 63,173 | |||||||||
5,450 | PACCAR, Inc. | 227,973 | |||||||||
1,494 | Terex Corp. (a) | 76,747 | |||||||||
1,712,876 | |||||||||||
Wholesale Distributors (0.1%) | |||||||||||
2,449 | Genuine Parts Co. | 97,176 | |||||||||
1,149 | Grainger (W.W.), Inc. | 93,988 | |||||||||
191,164 | |||||||||||
Total Common Stocks (Cost $125,472,217) (b)(c) | 171,511,270 | ||||||||||
Total Investments (Cost $125,472,217) (b)(c) | 99.1 | % | 171,511,270 | ||||||||
Other Assets in Excess of Liabilities | 0.9 | 1,610,836 | |||||||||
Net Assets | 100 | % | $ | 173,122,106 |
See Notes to Financial Statements
121
Morgan Stanley Variable Investment Series - S&P 500 Index
Portfolio of Investments n June 30, 2008 (unaudited) continued
(a) Non-income producing security.
# A security with total market value equal to $0 has been valued at its fair value as determined in good faith under procedures established by and under the general supervision of the Fund's trustees.
## A portion of this security has been physically segregated in connection with open futures contracts in the amount of $100,800.
(b) Securities have been designated as collateral in the amount equal to $1,692,740 in connection with open futures contracts.
(c) The aggregate cost for federal income tax purposes approximates the aggregate cost for book cost. The aggregate gross unrealized appreciation is $61,928,261 and the aggregate gross unrealized depreciation is $15,889,208 resulting in net unrealized appreciation of $46,039,052.
Futures Contracts Open at June 30, 2008:
NUMBER OF CONTRACTS | LONG/ SHORT | DESCRIPTION, DELIVERY MONTH, AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED DEPRECIATION | |||||||||||||||
28 | Long | S&P 500 Index E-MINI September 2008 | $1,793,540 | $(55,351) |
See Notes to Financial Statements
122
Morgan Stanley Variable Investment Series - S&P 500 Index
Summary of Investments n June 30, 2008 (unaudited)
SECTOR | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Finance | $ | 24,321,644 | 14.2 | % | |||||||
Energy Minerals | 20,720,551 | 12.1 | |||||||||
Electronic Technology | 18,034,244 | 10.5 | |||||||||
Health Technology | 17,297,371 | 10.1 | |||||||||
Consumer Non-Durables | 14,418,985 | 8.4 | |||||||||
Technology Services | 12,587,942 | 7.3 | |||||||||
Producer Manufacturing | 11,325,162 | 6.6 | |||||||||
Retail Trade | 8,757,628 | 5.1 | |||||||||
Industrial Services | 7,561,082 | 4.4 | |||||||||
Consumer Services | 7,387,055 | 4.3 | |||||||||
Utilities | 6,944,162 | 4.1 | |||||||||
Communications | 5,711,896 | 3.3 | |||||||||
Process Industries | 4,304,050 | 2.5 |
SECTOR | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Transportation | $ | 3,546,932 | 2.1 | % | |||||||
Non-Energy Minerals | 2,602,813 | 1.5 | |||||||||
Health Services | 2,419,201 | 1.4 | |||||||||
Consumer Durables | 1,564,864 | 0.9 | |||||||||
Distribution Services | 1,097,027 | 0.7 | |||||||||
Commercial Services | 908,661 | 0.5 | |||||||||
$ | 171,511,270 | * | 100.0 | % |
* Does not include open futures contracts with an underlying face amount of $1,793,540 with unrealized depreciation of $55,351.
See Notes to Financial Statements
123
Morgan Stanley Variable Investment Series - Global Advantage
Portfolio of Investments n June 30, 2008 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (99.3%) Australia (2.0%) | |||||||||||
Data Processing Services | |||||||||||
40,435 | Computershare Ltd. | $ | 357,009 | ||||||||
Bermuda (5.4%) | |||||||||||
Apparel/Footwear Retail | |||||||||||
30,100 | Esprit Holdings Ltd. | 312,687 | |||||||||
Investment Banks/Brokers | |||||||||||
20,800 | MF Global Ltd. (a) | 131,248 | |||||||||
Multi-Line Insurance | |||||||||||
5,902 | Axis Capital Holdings Ltd. | 175,939 | |||||||||
Wholesale Distributors | |||||||||||
118,200 | Li & Fung Ltd. (Hong Kong) | 356,241 | |||||||||
Total Bermuda | 976,115 | ||||||||||
Canada (1.7%) | |||||||||||
Food: Specialty/Candy | |||||||||||
60,800 | SunOpta Inc. (a) | 315,552 | |||||||||
China (1.0%) | |||||||||||
Coal | |||||||||||
48,500 | China Shenhua Energy Company Ltd. (H Shares) | 190,336 | |||||||||
Finland (1.1%) | |||||||||||
Electronic Components | |||||||||||
4,881 | Vacon Oyj | 197,887 | |||||||||
France (2.6%) | |||||||||||
Miscellaneous Commercial Services | |||||||||||
2,960 | Sodexo | 194,431 | |||||||||
Pharmaceuticals: Other | |||||||||||
5,532 | Ipsen S.A. | 283,071 | |||||||||
Total France | 477,502 | ||||||||||
Germany (6.7%) | |||||||||||
Apparel/Footwear | |||||||||||
5,430 | Adidas AG | 342,912 | |||||||||
Internet Software/Services | |||||||||||
9,700 | United Internet AG (Registered Shares) | 191,208 |
NUMBER OF SHARES | VALUE | ||||||||||
Medical Specialties | |||||||||||
5,252 | Fresenius SE | $ | 454,632 | ||||||||
Miscellaneous Commercial Services | |||||||||||
16,715 | Wirecard AG (a) | 214,484 | |||||||||
Total Germany | 1,203,236 | ||||||||||
Greece (1.6%) | |||||||||||
Regional Banks | |||||||||||
12,152 | EFG Eurobank Ergasias | 288,905 | |||||||||
Israel (3.6%) | |||||||||||
Food: Specialty/Candy | |||||||||||
14,137 | Strauss Group Ltd. (a) | 198,488 | |||||||||
Pharmaceuticals: Other | |||||||||||
10,000 | Teva Pharmaceutical Industries Ltd. (ADR) | 458,000 | |||||||||
Total Israel | 656,488 | ||||||||||
Italy (3.0%) | |||||||||||
Apparel/Footwear | |||||||||||
14,721 | Geox S.p.A. | 150,075 | |||||||||
Major Banks | |||||||||||
64,146 | UniCredit S.p.A. | 392,618 | |||||||||
Total Italy | 542,693 | ||||||||||
Japan (2.5%) | |||||||||||
Home Building | |||||||||||
9,100 | Daito Trust Construction Co., Ltd. | 441,352 | |||||||||
Mexico (3.1%) | |||||||||||
Beverages: Non-Alcoholic | |||||||||||
6,900 | Fomento Economico Mexicano, S.A.B. de C.V. (ADR) (Units) (b) | 314,019 | |||||||||
Other Transportation | |||||||||||
4,800 | Grupo Aeroportuario del Sureste S.A.B. de C.V. (ADR) | 247,200 | |||||||||
Total Mexico | 561,219 |
See Notes to Financial Statements
124
Morgan Stanley Variable Investment Series - Global Advantage
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Netherlands (0.8%) | |||||||||||
Electronic Equipment/Instruments | |||||||||||
4,400 | Smartrac NV (a) | $ | 147,004 | ||||||||
Singapore (3.3%) | |||||||||||
Electronic Components | |||||||||||
25,900 | Flextronics International Ltd. (a) | 243,462 | |||||||||
Trucks/Construction/ Farm Machinery | |||||||||||
148,634 | Cosco Corp (Singapore) Ltd. | 349,588 | |||||||||
Total Singapore | 593,050 | ||||||||||
South Africa (1.4%) | |||||||||||
Pharmaceuticals: Generic Drugs | |||||||||||
61,700 | Aspen Pharmacare Holdings Ltd. (a) | 250,582 | |||||||||
Spain (4.7%) | |||||||||||
Major Banks | |||||||||||
14,542 | Banco Santander S.A. | 267,193 | |||||||||
Major Telecommunications | |||||||||||
21,460 | Telefonica S.A. | 570,339 | |||||||||
Total Spain | 837,532 | ||||||||||
Sweden (1.1%) | |||||||||||
Packaged Software | |||||||||||
10,915 | ORC Software AB | 192,113 | |||||||||
Switzerland (2.2%) | |||||||||||
Biotechnology | |||||||||||
2,800 | Lonza Group AG (Registered Shares) | 388,390 | |||||||||
United Kingdom (13.0%) | |||||||||||
Beverages: Alcoholic | |||||||||||
17,193 | SABMiller PLC | 394,509 | |||||||||
Investment Managers | |||||||||||
65,300 | BlueBay Asset Management PLC | 292,325 | |||||||||
25,923 | Man Group PLC | 322,195 | |||||||||
614,520 | |||||||||||
Major Banks | |||||||||||
12,917 | Standard Chartered PLC | 367,918 |
NUMBER OF SHARES | VALUE | ||||||||||
Miscellaneous Commercial Services | |||||||||||
6,800 | Homeserve PLC | $ | 229,308 | ||||||||
25,704 | Intertek Group PLC | 505,837 | |||||||||
735,145 | |||||||||||
Pharmaceuticals: Other | |||||||||||
13,487 | Shire Ltd. | 221,224 | |||||||||
Total United Kingdom | 2,333,316 | ||||||||||
United States (38.5%) | |||||||||||
Beverages: Non-Alcoholic | |||||||||||
4,900 | PepsiCo, Inc. | 311,591 | |||||||||
Biotechnology | |||||||||||
7,900 | Gilead Sciences, Inc. (a) | 418,305 | |||||||||
Computer Processing Hardware | |||||||||||
3,363 | Apple Inc. (a) | 563,101 | |||||||||
Data Processing Services | |||||||||||
8,000 | NeuStar, Inc. (Class A) (a) | 172,480 | |||||||||
Electric Utilities | |||||||||||
6,100 | Constellation Energy Group Inc. | 500,810 | |||||||||
Electronic Components | |||||||||||
12,200 | Amphenol Corporation (Class A) | 547,536 | |||||||||
Environmental Services | |||||||||||
9,100 | EnergySolutions Inc. | 203,385 | |||||||||
Financial Conglomerates | |||||||||||
5,950 | Prudential Financial, Inc. | 355,453 | |||||||||
Food: Meat/Fish/Dairy | |||||||||||
25,700 | Smart Balance Inc. (a) | 185,297 | |||||||||
Life/Health Insurance | |||||||||||
8,900 | Aflac | 558,920 | |||||||||
Media Conglomerates | |||||||||||
11,216 | News Corp. (Class A) | 168,689 | |||||||||
Medical Specialties | |||||||||||
4,100 | Bard (C.R.), Inc. | 360,595 | |||||||||
8,100 | Thermo Fisher Scientific, Inc. (a) | 451,413 | |||||||||
7,100 | West Pharmaceutical Services, Inc. | 307,288 | |||||||||
1,119,296 |
See Notes to Financial Statements
125
Morgan Stanley Variable Investment Series - Global Advantage
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Miscellaneous Commercial Services | |||||||||||
7,600 | FTI Consulting Inc. (a) | $ | 520,296 | ||||||||
Specialty Stores | |||||||||||
12,640 | Staples, Inc. | 300,200 | |||||||||
Telecommunication Equipment | |||||||||||
11,741 | Corning Inc. | 270,630 | |||||||||
Wireless Telecommunications | |||||||||||
18,000 | MetroPCS Communications Inc. (a) | 318,780 | |||||||||
8,800 | NII Holdings Inc. (a) | 417,912 | |||||||||
736,692 | |||||||||||
Total United States | 6,932,681 | ||||||||||
Total Common Stocks (Cost $16,334,390) | 17,882,962 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
Short-Term Investments (c) (0.2%) | |||||||||||
Investment Company | |||||||||||
31 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $30,855) | 30,855 | |||||||||
Total Investments (Cost $16,365,245) (d) | 99.5 | % | 17,913,817 | ||||||||
Other Assets in Excess of Liabilities | 0.5 | 94,757 | |||||||||
Net Assets | 100.0 | % | $ | 18,008,574 |
ADR American Depositary Receipt.
(a) Non-income producing security.
(b) Consists of one or more class of securities traded together as a unit; stocks with attached warrants.
(c) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Instiutional Class.
(d) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $3,525,424 and the aggregate gross unrealized depreciation is $1,976,852, resulting in net unrealized appreciation of $1,548,572.
See Notes to Financial Statements
126
Morgan Stanley Variable Investment Series - Global Advantage
Summary of Investments n June 30, 2008 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Miscellaneous Commercial Services | $ | 1,664,356 | 9.3 | % | |||||||
Medical Specialties | 1,573,928 | 8.8 | |||||||||
Major Banks | 1,027,729 | 5.7 | |||||||||
Electronic Components | 988,885 | 5.5 | |||||||||
Pharmaceuticals: Other | 962,295 | 5.4 | |||||||||
Biotechnology | 806,695 | 4.5 | |||||||||
Wireless Telecommunications | 736,692 | 4.1 | |||||||||
Beverages: Non-Alcoholic | 625,610 | 3.5 | |||||||||
Investment Managers | 614,520 | 3.4 | |||||||||
Major Telecommunications | 570,339 | 3.2 | |||||||||
Computer Processing Hardware | 563,101 | 3.1 | |||||||||
Life/Health Insurance | 558,920 | 3.1 | |||||||||
Data Processing Services | 529,489 | 3.0 | |||||||||
Food: Specialty/Candy | 514,040 | 2.9 | |||||||||
Electric Utilities | 500,810 | 2.8 | |||||||||
Apparel/Footwear | 492,987 | 2.7 | |||||||||
Home Building | 441,352 | 2.5 | |||||||||
Beverages: Alcoholic | 394,509 | 2.2 | |||||||||
Wholesale Distributors | 356,241 | 2.0 | |||||||||
Financial Conglomerates | 355,453 | 2.0 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Trucks/Construction/ Farm Machinery | $ | 349,588 | 1.9 | % | |||||||
Apparel/Footwear Retail | 312,687 | 1.7 | |||||||||
Specialty Stores | 300,200 | 1.7 | |||||||||
Regional Banks | 288,905 | 1.6 | |||||||||
Telecommunication Equipment | 270,630 | 1.5 | |||||||||
Pharmaceuticals: Generic Drugs | 250,582 | 1.4 | |||||||||
Other Transportation | 247,200 | 1.4 | |||||||||
Environmental Services | 203,385 | 1.1 | |||||||||
Packaged Software | 192,113 | 1.1 | |||||||||
Internet Software/Services | 191,208 | 1.1 | |||||||||
Coal | 190,336 | 1.1 | |||||||||
Food: Meat/Fish/Dairy | 185,297 | 1.0 | |||||||||
Multi-Line Insurance | 175,939 | 1.0 | |||||||||
Media Conglomerates | 168,689 | 0.9 | |||||||||
Electronic Equipment/ Instruments | 147,004 | 0.8 | |||||||||
Investment Banks/Brokers | 131,248 | 0.7 | |||||||||
Investment Company | 30,855 | 0.3 | |||||||||
$ | 17,913,817 | 100.0 | % |
See Notes to Financial Statements
127
Morgan Stanley Variable Investment Series - Aggressive Equity
Portfolio of Investments n June 30, 2008 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (96.2%) | |||||||||||
Air Freight/Couriers (4.3%) | |||||||||||
20,730 | C.H. Robinson Worldwide, Inc. | $ | 1,136,833 | ||||||||
19,165 | Expeditors International of Washington, Inc. | 824,095 | |||||||||
1,960,928 | |||||||||||
Apparel/Footwear Retail (2.2%) | |||||||||||
15,774 | Abercrombie & Fitch Co. (Class A) | 988,714 | |||||||||
Biotechnology (6.2%) | |||||||||||
17,838 | Illumina, Inc. (a) | 1,553,868 | |||||||||
16,728 | Techne Corp. (a) | 1,294,580 | |||||||||
2,848,448 | |||||||||||
Casino/Gaming (3.1%) | |||||||||||
17,739 | Wynn Resorts, Ltd. | 1,443,068 | |||||||||
Chemicals: Agricultural (8.4%) | |||||||||||
30,266 | Monsanto Co. | 3,826,833 | |||||||||
Computer Processing Hardware (2.8%) | |||||||||||
7,585 | Apple Inc. (a) | 1,270,032 | |||||||||
Construction Materials (3.0%) | |||||||||||
54,896 | Cemex SAB de C.V. (ADR) (Mexico) (a) | 1,355,940 | |||||||||
Finance Energy (1.5%) | |||||||||||
34,367 | Brookfield Infrastructure LP (Bermuda) | 673,593 | |||||||||
Finance/Rental/Leasing (5.0%) | |||||||||||
5,138 | Mastercard Inc. Class A | 1,364,242 | |||||||||
50,781 | Redecard SA (Brazil) | 938,265 | |||||||||
2,302,507 | |||||||||||
Financial Conglomerates (7.3%) | |||||||||||
64,002 | Brookfield Asset Management Inc. (Class A) (Canada) | 2,082,625 | |||||||||
27,214 | Leucadia National Corp. | 1,277,425 | |||||||||
3,360,050 | |||||||||||
Home Building (1.0%) | |||||||||||
12,359 | Gafisa S.A. (ADR) (Brazil) | 424,779 |
NUMBER OF SHARES | VALUE | ||||||||||
Internet Retail (5.0%) | |||||||||||
31,378 | Amazon.com, Inc. (a) | $ | 2,300,949 | ||||||||
Internet Software/ Services (10.8%) | |||||||||||
3,815 | Baidu.com, Inc. (ADR) (Cayman Islands) (a) | 1,193,942 | |||||||||
5,074 | Google Inc. (Class A) (a) | 2,671,055 | |||||||||
140,000 | Tencent Holdings Ltd. (Cayman Islands) | 1,082,689 | |||||||||
4,947,686 | |||||||||||
Investment Banks/Brokers (4.8%) | |||||||||||
93,327 | Bovespa Holding SA (Brazil) | 1,152,688 | |||||||||
19,744 | Greenhill & Co., Inc. | 1,063,412 | |||||||||
2,216,100 | |||||||||||
Miscellaneous Commercial Services (3.7%) | |||||||||||
14,671 | Corporate Executive Board Co. (The) | 616,916 | |||||||||
24,154 | Costar Group, Inc. (a) | 1,073,645 | |||||||||
1,690,561 | |||||||||||
Oil & Gas Production (12.4%) | |||||||||||
49,430 | Southwestern Energy Co. (a) | 2,353,362 | |||||||||
33,780 | Ultra Petroleum Corp. (Canada) (a) | 3,317,196 | |||||||||
5,670,558 | |||||||||||
Other Consumer Services (3.5%) | |||||||||||
58,197 | eBay Inc. (a) | 1,590,524 | |||||||||
Restaurants (1.8%) | |||||||||||
53,132 | Starbucks Corp. (a) | 836,298 | |||||||||
Specialty Telecommunications (1.5%) | |||||||||||
51,712 | Cogent Communications Group, Inc. (a) | 692,941 | |||||||||
Telecommunication Equipment (4.2%) | |||||||||||
25 | Nortel Networks Corp. (Canada) (a) | 206 |
See Notes to Financial Statements
128
Morgan Stanley Variable Investment Series - Aggressive Equity
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
16,445 | Research In Motion Ltd. (Canada) (a) | $ | 1,922,421 | ||||||||
1,922,627 | |||||||||||
Wholesale Distributors (1.7%) | |||||||||||
260,000 | Li & Fung Ltd. (Hong Kong) ** | 783,610 | |||||||||
Wireless Telecommunications (2.0%) | |||||||||||
17,517 | America Movil SAB de C.V. (Series L) (ADR) (Mexico) | 924,022 | |||||||||
Total Common Stocks (Cost $36,789,279) | 44,030,768 | ||||||||||
NUMBER OF SHARES (000) | |||||||||||
Short-Term Investment (b) (3.9%) Investment Company | |||||||||||
$ | 1,774 | Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $1,774,267) | 1,774,267 | ||||||||
Total Investments (Cost $38,563,546) (c) | 100.1 | % | 45,805,035 | ||||||||
Liabilities In Excess of Other Liabilities | (0.1 | ) | (59,722 | ) | |||||||
Net Assets | 100.0 | % | $ | 45,745,313 |
ADR American Depositary Receipt.
** Security trades on a Hong Kong exchange
(a) Non-income producing security.
(b) See note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class.
(c) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $11,675,035 and the aggregate gross unrealized depreciation is $4,433,546, resulting in net unrealized appreciation of $7,241,489
See Notes to Financial Statements
129
Morgan Stanley Variable Investment Series - Aggressive Equity
Summary of Investments by Industry Classification n June 30, 2008 (unaudited)
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Oil & Gas Production | $ | 5,670,558 | 12.4 | % | |||||||
Internet Software/Services | 4,947,686 | 10.8 | |||||||||
Chemicals: Agricultural | 3,826,833 | 8.4 | |||||||||
Financial Conglomerates | 3,360,050 | 7.3 | |||||||||
Biotechnology | 2,848,448 | 6.2 | |||||||||
Finance/Rental/Leasing | 2,302,507 | 5.0 | |||||||||
Internet Retail | 2,300,949 | 5.0 | |||||||||
Investment Banks/Brokers | 2,216,100 | 4.8 | |||||||||
Air Freight/Couriers | 1,960,928 | 4.3 | |||||||||
Telecommunication Equipment | 1,922,627 | 4.2 | |||||||||
Investment Company | 1,774,267 | 4.0 | |||||||||
Miscellaneous Commercial Services | 1,690,561 | 3.7 | |||||||||
Other Consumer Services | 1,590,524 | 3.5 |
INDUSTRY | VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Casino/Gaming | $ | 1,443,068 | 3.1 | % | |||||||
Construction Materials | 1,355,940 | 3.0 | |||||||||
Computer Processing Hardware | 1,270,032 | 2.8 | |||||||||
Apparel/Footwear Retail | 988,714 | 2.1 | |||||||||
Wireless Telecommunications | 924,022 | 2.0 | |||||||||
Restaurants | 836,298 | 1.8 | |||||||||
Wholesale Distributors | 783,610 | 1.7 | |||||||||
Specialty Telecommunications | 692,941 | 1.5 | |||||||||
Finance Energy | 673,593 | 1.5 | |||||||||
Home Building | 424,779 | 0.9 | |||||||||
$ | 45,805,035 | 100.0 | % |
See Notes to Financial Statements
130
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Common Stocks (64.3%) | |||||||||||
Advertising/Marketing Services (0.7%) | |||||||||||
37,120 | Omnicom Group, Inc. | $ | 1,665,946 | ||||||||
Aerospace & Defense (2.6%) | |||||||||||
49,715 | Northrop Grumman Corp. | 3,325,934 | |||||||||
57,135 | Raytheon Co. | 3,215,558 | |||||||||
6,541,492 | |||||||||||
Airlines (1.0%) | |||||||||||
104,480 | Continental Airlines, Inc. (Class B) (a) | 1,056,293 | |||||||||
106,200 | Southwest Airlines Co. | 1,384,848 | |||||||||
2,441,141 | |||||||||||
Aluminum (0.7%) | |||||||||||
25,610 | Alcoa, Inc. | 912,228 | |||||||||
31,440 | Aluminum Corp. of China Ltd. (ADR) (China) | 897,298 | |||||||||
1,809,526 | |||||||||||
Automotive Aftermarket (0.2%) | |||||||||||
32,660 | Goodyear Tire & Rubber Co. (The) (a) | 582,328 | |||||||||
Biotechnology (1.9%) | |||||||||||
38,130 | Celgene Corp. (a) | 2,435,363 | |||||||||
44,860 | Gilead Sciences, Inc. (a) | 2,375,337 | |||||||||
4,810,700 | |||||||||||
Chemicals: Major Diversified (0.6%) | |||||||||||
46,500 | Dow Chemical Co. (The) | 1,623,315 | |||||||||
Computer Communications (1.1%) | |||||||||||
124,400 | Cisco Systems, Inc. (a) | 2,893,544 | |||||||||
Computer Peripherals (0.9%) | |||||||||||
151,345 | EMC Corp. (a) | 2,223,258 | |||||||||
Computer Processing Hardware (2.8%) | |||||||||||
32,225 | Apple Inc. (a) | 5,395,754 | |||||||||
77,470 | Dell Inc. (a) | 1,695,044 | |||||||||
7,090,798 | |||||||||||
Department Stores (1.0%) | |||||||||||
28,750 | Kohl's Corp. (a) | 1,151,150 | |||||||||
67,465 | MACY*S Inc. | 1,310,170 | |||||||||
2,461,320 | |||||||||||
Discount Stores (0.9%) | |||||||||||
31,560 | Costco Wholesale Corp. | 2,213,618 |
See Notes to Financial Statements
131
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Electric Utilities (0.5%) | |||||||||||
30,520 | American Electric Power Co., Inc. | $ | 1,227,820 | ||||||||
Electrical Products (0.8%) | |||||||||||
41,370 | Emerson Electric Co. | 2,045,747 | |||||||||
Electronic Production Equipment (0.5%) | |||||||||||
33,950 | Applied Materials, Inc. | 648,106 | |||||||||
16,970 | KLA-Tencor Corp. | 690,849 | |||||||||
1,338,955 | |||||||||||
Electronics/Appliances (1.2%) | |||||||||||
69,450 | Sony Corp. (ADR) (Japan) | 3,037,743 | |||||||||
Finance/Rental/Leasing (0.9%) | |||||||||||
28,150 | Visa Inc. - (Class A) | 2,288,877 | |||||||||
Financial Conglomerates (1.1%) | |||||||||||
42,075 | American Express Co. | 1,584,965 | |||||||||
36,960 | JPMorgan Chase & Co. | 1,268,098 | |||||||||
2,853,063 | |||||||||||
Food: Major Diversified (2.8%) | |||||||||||
61,020 | Kellogg Co. | 2,930,180 | |||||||||
145,010 | Kraft Foods Inc. (Class A) | 4,125,534 | |||||||||
7,055,714 | |||||||||||
Forest Products (0.6%) | |||||||||||
32,110 | Weyerhaeuser Co. | 1,642,105 | |||||||||
Home Building (0.5%) | |||||||||||
34,360 | Gafisa S.A. (ADR) (Brazil) | 1,180,953 | |||||||||
Home Improvement Chains (0.6%) | |||||||||||
72,295 | Lowe's Companies, Inc. | 1,500,121 | |||||||||
Household/Personal Care (1.3%) | |||||||||||
46,385 | Colgate-Palmolive Co. | 3,205,204 | |||||||||
Information Technology Services (1.8%) | |||||||||||
38,880 | International Business Machines Corp. | 4,608,446 | |||||||||
Integrated Oil (2.4%) | |||||||||||
25,600 | Exxon Mobil Corp. | 2,256,128 | |||||||||
30,660 | Hess Corp. | 3,868,985 | |||||||||
6,125,113 | |||||||||||
Internet Software/Services (0.8%) | |||||||||||
3,670 | Google Inc. (Class A) (a) | 1,931,961 | |||||||||
Investment Banks/Brokers (3.0%) | |||||||||||
181,875 | Charles Schwab Corp. (The) | 3,735,713 |
See Notes to Financial Statements
132
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
8,410 | Goldman Sachs Group, Inc. (The) | $ | 1,470,909 | ||||||||
48,130 | Lazard Ltd. (Class A) (Bermuda) | 1,643,640 | |||||||||
17,420 | NYSE Euronext | 882,497 | |||||||||
7,732,759 | |||||||||||
Investment Managers (0.6%) | |||||||||||
61,935 | Janus Capital Group, Inc. | 1,639,419 | |||||||||
Major Banks (1.1%) | |||||||||||
44,730 | Bank of America Corp. | 1,067,705 | |||||||||
31,895 | Wachovia Corp. | 495,329 | |||||||||
51,215 | Wells Fargo & Co. | 1,216,356 | |||||||||
2,779,390 | |||||||||||
Media Conglomerates (0.3%) | |||||||||||
46,375 | Time Warner, Inc. | 686,350 | |||||||||
Medical Specialties (5.4%) | |||||||||||
32,810 | Bard (C.R.), Inc. | 2,885,640 | |||||||||
40,865 | Covidien Ltd. | 1,957,025 | |||||||||
82,870 | St. Jude Medical, Inc. (a) | 3,387,726 | |||||||||
66,070 | Thermo Fisher Scientific, Inc. (a) | 3,682,081 | |||||||||
27,550 | Zimmer Holdings, Inc. (a) | 1,874,778 | |||||||||
13,787,250 | |||||||||||
Miscellaneous Commercial Services (0.5%) | |||||||||||
102,240 | E-House China Holdings Ltd. (ADR) (China) | 1,161,446 | |||||||||
Motor Vehicles (1.0%) | |||||||||||
77,670 | Honda Motor Co., Ltd. (ADR) (Japan) | 2,643,110 | |||||||||
Oilfield Services/Equipment (1.6%) | |||||||||||
38,590 | Halliburton Co. | 2,047,971 | |||||||||
23,180 | Smith International, Inc. | 1,927,185 | |||||||||
3,975,156 | |||||||||||
Other Consumer Services (0.4%) | |||||||||||
35,980 | eBay Inc. (a) | 983,333 | |||||||||
Packaged Software (5.0%) | |||||||||||
134,180 | Microsoft Corp. (a) | 3,691,292 | |||||||||
232,895 | Oracle Corp. (a) | 4,890,795 | |||||||||
143,455 | Sybase, Inc. (a) | 4,220,446 | |||||||||
12,802,533 | |||||||||||
Pharmaceuticals: Major (1.2%) | |||||||||||
47,610 | Johnson & Johnson | 3,063,227 | |||||||||
Precious Metals (1.1%) | |||||||||||
60,290 | Barrick Gold Corp. (Canada) | 2,743,195 |
See Notes to Financial Statements
133
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES | VALUE | ||||||||||
Property - Casualty Insurers (0.5%) | |||||||||||
30,370 | Allstate Corp. (The) | $ | 1,384,568 | ||||||||
Pulp & Paper (0.8%) | |||||||||||
210,340 | AbitibiBowater, Inc. | 1,962,472 | |||||||||
Recreational Products (0.6%) | |||||||||||
90,500 | Mattel, Inc. | 1,549,360 | |||||||||
Restaurants (1.1%) | |||||||||||
51,510 | McDonald's Corp. | 2,895,892 | |||||||||
Semiconductors (2.1%) | |||||||||||
142,235 | Intel Corp. | 3,055,208 | |||||||||
203,470 | Taiwan Semiconductor Manufacturing Co., Ltd. (ADR) (Taiwan) | 2,219,858 | |||||||||
5,275,066 | |||||||||||
Specialty Telecommunications (0.9%) | |||||||||||
192,329 | Windstream Corp. | 2,373,340 | |||||||||
Steel (1.5%) | |||||||||||
20,837 | United States Steel Corp. | 3,850,261 | |||||||||
Telecommunication Equipment (0.8%) | |||||||||||
78,065 | Nokia Corp. (ADR) (Finland) | 1,912,592 | |||||||||
Tobacco (2.9%) | |||||||||||
83,350 | Altria Group, Inc. | 1,713,676 | |||||||||
42,250 | Philip Morris International Inc. (a) | 2,086,728 | |||||||||
66,440 | UST, Inc. | 3,628,288 | |||||||||
7,428,692 | |||||||||||
Trucks/Construction/Farm Machinery (1.1%) | |||||||||||
15,335 | Caterpillar Inc. | 1,132,030 | |||||||||
40,210 | PACCAR, Inc. | 1,681,984 | |||||||||
2,814,014 | |||||||||||
Wireless Telecommunications (0.9%) | |||||||||||
130,515 | Metropcs Communications Inc. (a) | 2,311,421 | |||||||||
Total Common Stocks (Cost $124,321,770) | 164,153,654 |
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | |||||||||||||||||
Corporate Bonds (8.0%) | |||||||||||||||||||
Accident & Health Insurance (0.0%) | |||||||||||||||||||
$ | 65 | Travelers Co. Inc. | 5.80 | % | 05/15/18 | 63,359 |
See Notes to Financial Statements
134
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Aerospace & Defense (0.1%) | |||||||||||||||||||
$ | 202 | Systems 2001 Asset Trust - 144A (b) (Cayman Islands) | 6.664 | % | 09/15/13 | $ | 204,859 | ||||||||||||
Agricultural Commodities/Milling (0.0%) | |||||||||||||||||||
90 | Archer Daniels | 5.45 | 03/15/18 | 87,971 | |||||||||||||||
Airlines (0.1%) | |||||||||||||||||||
326 | America West Airlines, Inc. (Series 01-1) | 7.10 | 04/02/21 | 296,867 | |||||||||||||||
Beverages: Alcoholic (0.1%) | |||||||||||||||||||
145 | FBG Finance Ltd. - 144A (b) (Australia) | 5.125 | 06/15/15 | 137,059 | |||||||||||||||
195 | Miller Brewing Co. - 144A (b) | 4.25 | 08/15/08 | 195,272 | |||||||||||||||
332,331 | |||||||||||||||||||
Biotechnology (0.1%) | |||||||||||||||||||
130 | Amgen, Inc. | 5.85 | 06/01/17 | 128,265 | |||||||||||||||
110 | Biogen Idec, Inc. | 6.875 | 03/01/18 | 112,873 | |||||||||||||||
241,138 | |||||||||||||||||||
Broadcasting (0.0%) | |||||||||||||||||||
100 | Grupo Televisa SA - 144A (b) | 6.00 | 05/15/18 | 97,754 | |||||||||||||||
Cable/Satellite TV (0.1%) | |||||||||||||||||||
110 | Comcast Cable Communications, Inc. | 6.75 | 01/30/11 | 114,024 | |||||||||||||||
195 | Comcast Corp. | 5.70 | 05/15/18 | 185,342 | |||||||||||||||
30 | Comcast Corp. | 6.50 | 01/15/15 | 30,504 | |||||||||||||||
329,870 | |||||||||||||||||||
Chemicals: Agricultural (0.0%) | |||||||||||||||||||
25 | Monsanto Co. | 5.125 | 04/15/18 | 24,564 | |||||||||||||||
Chemicals: Major Diversified (0.0%) | |||||||||||||||||||
105 | ICI Wilmington Inc. | 4.375 | 12/01/08 | 105,165 | |||||||||||||||
Computer Processing Hardware (0.1%) | |||||||||||||||||||
105 | Dell Inc. - 144A (b) | 5.65 | 04/15/18 | 101,509 | |||||||||||||||
45 | Hewlett-Packard Co. | 5.50 | 03/01/18 | 44,155 | |||||||||||||||
145,664 | |||||||||||||||||||
Department Stores (0.3%) | |||||||||||||||||||
415 | General Electric Capital Corp. | 5.625 | 05/01/18 | 402,073 | |||||||||||||||
275 | May Department Stores Co. | 5.95 | 11/01/08 | 274,801 | |||||||||||||||
676,874 | |||||||||||||||||||
Discount Stores (0.1%) | |||||||||||||||||||
145 | Wal Mart Stores Inc. | 4.25 | 04/15/13 | 144,343 | |||||||||||||||
Drugstore Chains (0.1%) | |||||||||||||||||||
25 | CVS Caremark Corp. | 5.75 | 06/01/17 | 24,631 |
See Notes to Financial Statements
135
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 55 | CVS Corp. | 5.75 | % | 08/15/11 | $ | 56,393 | ||||||||||||
159 | CVS Lease Pass Through - 144A (b) | 6.036 | 12/10/28 | 148,277 | |||||||||||||||
229,301 | |||||||||||||||||||
Electric Utilities (0.6%) | |||||||||||||||||||
15 | Appalachian Power Co. (Series O) | 5.65 | 08/15/12 | 15,020 | |||||||||||||||
175 | Arizona Public Service Co. | 5.80 | 06/30/14 | 166,478 | |||||||||||||||
185 | Carolina Power & Light Co. | 5.125 | 09/15/13 | 186,362 | |||||||||||||||
55 | CenterPoint Energy Resources, Corp. | 6.25 | 02/01/37 | 48,954 | |||||||||||||||
25 | CenterPoint Energy Resources, Corp. (Series B) | 7.875 | 04/01/13 | 26,789 | |||||||||||||||
65 | Consolidated Natural Gas Co. (Series C) | 6.25 | 11/01/11 | 67,133 | |||||||||||||||
125 | Consumers Energy Co. (Series H) | 4.80 | 02/17/09 | 125,378 | |||||||||||||||
100 | Detroit Edison Co. (The) | 6.125 | 10/01/10 | 104,129 | |||||||||||||||
200 | E.ON International Finance BV | 5.80 | 04/30/18 | 196,564 | |||||||||||||||
130 | Entergy Gulf States, Inc. | 3.082 | (d) | 12/01/09 | 128,547 | ||||||||||||||
65 | Ohio Edison Co. | 6.40 | 07/15/16 | 64,946 | |||||||||||||||
170 | Ohio Power Company (Series K) | 6.00 | 06/01/16 | 168,903 | |||||||||||||||
60 | Peco Energy Co. | 5.35 | 03/01/18 | 58,831 | |||||||||||||||
125 | Public Service Electric & Gas Co. (Series B) | 5.00 | 01/01/13 | 125,694 | |||||||||||||||
85 | Texas Eastern Transmission | 7.00 | 07/15/32 | 85,440 | |||||||||||||||
65 | Union Electric Co. | 6.70 | 02/01/19 | 65,964 | |||||||||||||||
1,635,132 | |||||||||||||||||||
Electrical Products (0.1%) | |||||||||||||||||||
175 | Cooper Industries, Inc. | 5.25 | 11/15/12 | 175,903 | |||||||||||||||
Electronic Components (0.1%) | |||||||||||||||||||
140 | Philips Electronics NV | 5.75 | 03/11/18 | 137,412 | |||||||||||||||
Electronic Equipment/Instruments (0.0%) | |||||||||||||||||||
80 | Xerox Corp. | 6.35 | 05/15/18 | 79,111 | |||||||||||||||
Electronic Production Equipment (0.0%) | |||||||||||||||||||
105 | KLA Instruments Corp. | 6.90 | 05/01/18 | 103,119 | |||||||||||||||
Electronics/Appliances (0.0%) | |||||||||||||||||||
90 | LG Electronics Inc. - 144A (b) (South Korea) | 5.00 | 06/17/10 | 88,595 | |||||||||||||||
Finance (0.0%) | |||||||||||||||||||
100 | Pearson Dollar Finance Two PLC - 144A (b) | 6.25 | 05/06/18 | 99,028 | |||||||||||||||
Finance/Rental/Leasing (0.2%) | |||||||||||||||||||
65 | Capmark Financial Group | 6.30 | 05/10/17 | 42,080 | |||||||||||||||
155 | Capmark Financial Group | 5.875 | 05/10/12 | 109,425 | |||||||||||||||
125 | CIT Group Inc. (Series MTN) | 4.75 | 08/15/08 | 124,372 | |||||||||||||||
210 | Nationwide Building Society - 144A (b) (United Kingdom) | 4.25 | 02/01/10 | 206,430 | |||||||||||||||
75 | SLM Corp. | 8.45 | 06/15/18 | 72,068 | |||||||||||||||
554,375 |
See Notes to Financial Statements
136
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Financial Conglomerates (0.4%) | |||||||||||||||||||
$ | 85 | Brookfield Asset Management Inc. (Canada) | 5.80 | % | 04/25/17 | $ | 76,031 | ||||||||||||
295 | Chase Manhattan Corp. | 6.00 | 02/15/09 | 296,773 | |||||||||||||||
110 | Citigroup Inc. | 5.875 | 05/29/37 | 93,835 | |||||||||||||||
185 | Citigroup Inc. | 6.125 | 11/21/17 | 177,856 | |||||||||||||||
95 | General Electric Capital Corp. (Series A) | 4.25 | 12/01/10 | 96,017 | |||||||||||||||
165 | JPMorgan Chase & Co. | 4.75 | 05/01/13 | 160,527 | |||||||||||||||
40 | Prudential Financial, Inc. | 6.625 | 12/01/37 | 37,876 | |||||||||||||||
938,915 | |||||||||||||||||||
Food Retail (0.0%) | |||||||||||||||||||
25 | Delhaize America, Inc. | 9.00 | 04/15/31 | 29,508 | |||||||||||||||
50 | Kroger Co. | 5.00 | 04/15/13 | 49,233 | |||||||||||||||
78,741 | |||||||||||||||||||
Food: Major Diversified (0.1%) | |||||||||||||||||||
50 | ConAgra Foods, Inc. | 7.00 | 10/01/28 | 51,614 | |||||||||||||||
75 | ConAgra Foods, Inc. | 8.25 | 09/15/30 | 87,117 | |||||||||||||||
135 | Kraft Foods Inc. | 6.125 | 08/23/18 | 130,980 | |||||||||||||||
269,711 | |||||||||||||||||||
Foods & Beverages (0.0%) | |||||||||||||||||||
50 | Dr. Pepper Snapple Group - 144A (b) | 6.82 | 05/01/18 | 50,295 | |||||||||||||||
Gas Distributors (0.1%) | |||||||||||||||||||
40 | Equitable Resources Inc. | 6.50 | 04/01/18 | 40,129 | |||||||||||||||
75 | Nisource Finance Corp. | 6.80 | 01/15/19 | 73,685 | |||||||||||||||
130 | NiSource Finance Corp. | 3.208 | (d) | 11/23/09 | 126,420 | ||||||||||||||
95 | Questar Market Resources Inc. | 6.80 | 04/01/18 | 92,986 | |||||||||||||||
333,220 | |||||||||||||||||||
Home Improvement Chains (0.1%) | |||||||||||||||||||
100 | Home Depot Inc. | 5.40 | 03/01/16 | 91,965 | |||||||||||||||
250 | Home Depot Inc. | 2.901 | (d) | 12/16/09 | 243,584 | ||||||||||||||
335,549 | |||||||||||||||||||
Hotels/Resorts/Cruiselines (0.0%) | |||||||||||||||||||
85 | Starwood Hotels & Resorts | 6.75 | 05/15/18 | 80,301 | |||||||||||||||
Industrial Conglomerates (0.3%) | |||||||||||||||||||
470 | General Electric Co. | 5.25 | 12/06/17 | 452,651 | |||||||||||||||
90 | Honeywell International Inc. | 5.30 | 03/01/18 | 88,823 | |||||||||||||||
125 | Textron Financial Corp. (Series MTN) | 5.125 | 02/03/11 | 126,455 | |||||||||||||||
667,929 | |||||||||||||||||||
Industrial Machinery (0.0%) | |||||||||||||||||||
75 | Parker-Hannifin Corp. | 5.50 | 05/15/18 | 75,378 |
See Notes to Financial Statements
137
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Industrial Specialties (0.0%) | |||||||||||||||||||
$ | 85 | Cox Commuciations Inc. | 6.25 | % | 06/01/18 | $ | 83,127 | ||||||||||||
Insurance Brokers/Services (0.2%) | |||||||||||||||||||
210 | Catlin Insurance Co., Ltd. - 144A (b) (Bahamas) | 7.249 | (e) | 153,506 | |||||||||||||||
375 | Farmers Exchange Capital - 144A (b) | 7.05 | 07/15/28 | 343,664 | |||||||||||||||
497,170 | |||||||||||||||||||
Integrated Oil (0.1%) | |||||||||||||||||||
165 | Concophillips | 5.20 | 05/15/18 | 162,921 | |||||||||||||||
90 | Marathon Oil Corp. | 6.00 | 10/01/17 | 89,643 | |||||||||||||||
75 | Petro-Canada | 6.05 | 05/15/18 | 74,047 | |||||||||||||||
326,611 | |||||||||||||||||||
Investment Banks/Brokers (0.5%) | |||||||||||||||||||
130 | Bear Stearns Co. Inc. | 7.25 | 02/01/18 | 135,898 | |||||||||||||||
95 | Bear Stearns Co. Inc. | 6.40 | 10/02/17 | 94,040 | |||||||||||||||
250 | Goldman Sachs Group Inc. (The) | 6.15 | 04/01/18 | 242,977 | |||||||||||||||
205 | Goldman Sachs Group Inc. (The) | 6.75 | (f) | 188,088 | |||||||||||||||
90 | Lehman Brothers Holdings, Inc. | 5.75 | 01/03/17 | 79,551 | |||||||||||||||
135 | Lehman Brothers Holdings, Inc. | 6.50 | 07/19/17 | 125,098 | |||||||||||||||
240 | Lehman Brothers Holdings, Inc. | 6.875 | 07/17/37 | 207,181 | |||||||||||||||
125 | NYSE Euronext | 4.80 | 06/28/13 | 123,415 | |||||||||||||||
1,196,248 | |||||||||||||||||||
Major Banks (0.7%) | |||||||||||||||||||
225 | Bank of America Corp. | 5.65 | 05/01/18 | 210,443 | |||||||||||||||
115 | Bank of America Corp. | 5.75 | 12/01/17 | 108,190 | |||||||||||||||
75 | Bank of New York Mellon Corp. (Series MTN) | 4.50 | 04/01/13 | 73,188 | |||||||||||||||
260 | Credit Suisse New York | 6.00 | 02/15/18 | 250,808 | |||||||||||||||
130 | HBOS PLC - 144A (b) | 6.75 | 05/21/18 | 124,547 | |||||||||||||||
115 | HSBC Finance Corp. | 6.75 | 05/15/11 | 119,589 | |||||||||||||||
125 | Popular North America, Inc. (Series F) | 5.65 | 04/15/09 | 123,814 | |||||||||||||||
360 | Unicredit Luxembourg Finance S.A. - 144A (b) (Luxembourg) | 2.97 | (d) | 10/24/08 | 359,778 | ||||||||||||||
335 | Wachovia Capital Trust III | 5.80 | (f) | 227,928 | |||||||||||||||
90 | Wachovia Corp. | 5.50 | 05/01/13 | 86,229 | |||||||||||||||
210 | Wells Fargo Co. | 5.625 | 12/11/17 | 203,550 | |||||||||||||||
1,888,064 | |||||||||||||||||||
Major Telecommunications (0.5%) | |||||||||||||||||||
50 | AT&T Corp. | 8.00 | 11/15/31 | 57,563 | |||||||||||||||
30 | AT&T Inc. | 5.60 | 05/15/18 | 29,325 | |||||||||||||||
180 | AT&T Inc. | 6.30 | 01/15/38 | 170,606 | |||||||||||||||
70 | Deutsche Telekom International Finance Corp. NV (Netherlands) | 8.75 | 06/15/30 | 80,527 |
See Notes to Financial Statements
138
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 155 | France Telecom S.A. (France) | 8.50 | % | 03/01/31 | $ | 188,137 | ||||||||||||
125 | SBC Communications, Inc. | 6.15 | 09/15/34 | 117,162 | |||||||||||||||
130 | Sprint Capital Corp. | 8.75 | 03/15/32 | 124,124 | |||||||||||||||
45 | Telecom Italia Capital SA (Luxembourg) | 4.95 | 09/30/14 | 41,240 | |||||||||||||||
110 | Telecom Italia Capital SA (Luxembourg) | 4.00 | 11/15/08 | 109,994 | |||||||||||||||
115 | Telecom Italia Capital SA (Luxembourg) | 4.00 | 01/15/10 | 113,495 | |||||||||||||||
150 | Telefonica Europe BV (Netherlands) | 8.25 | 09/15/30 | 172,663 | |||||||||||||||
130 | Verizon Communications | 5.50 | 02/15/18 | 123,897 | |||||||||||||||
1,328,733 | |||||||||||||||||||
Managed Health Care (0.0%) | |||||||||||||||||||
80 | Unitedhealth Group Inc. | 6.00 | 02/15/18 | 77,526 | |||||||||||||||
Media Conglomerates (0.3%) | |||||||||||||||||||
80 | Time Warner Cable Inc. | 6.75 | 07/01/18 | 80,676 | |||||||||||||||
325 | Time Warner Cable Inc. | 2.915 | (d) | 11/13/09 | 315,933 | ||||||||||||||
140 | Viacom, Inc. | 6.875 | 04/30/36 | 131,864 | |||||||||||||||
130 | Vivendi - 144A (b) | 6.625 | 04/04/18 | 129,265 | |||||||||||||||
657,738 | |||||||||||||||||||
Medical Specialties (0.1%) | |||||||||||||||||||
65 | Baxter International | 4.625 | 03/15/15 | 61,942 | |||||||||||||||
80 | Baxter International | 5.375 | 06/01/18 | 79,207 | |||||||||||||||
100 | Covidien International Finance | 6.00 | 10/15/17 | 101,388 | |||||||||||||||
242,537 | |||||||||||||||||||
Miscellaneous (0.1%) | |||||||||||||||||||
140 | Oracle Corp. | 5.75 | 04/15/18 | 140,139 | |||||||||||||||
Motor Vehicles (0.1%) | |||||||||||||||||||
80 | DaimlerChrysler North American Holdings Co. | 8.50 | 01/18/31 | 92,747 | |||||||||||||||
85 | Harley-Davidson Funding - 144A (b) | 6.80 | 06/15/18 | 84,133 | |||||||||||||||
176,880 | |||||||||||||||||||
Multi-Line Insurance (0.2%) | |||||||||||||||||||
355 | AIG SunAmerica Global Financing VI - 144A (b) | 6.30 | 05/10/11 | 360,757 | |||||||||||||||
250 | American General Finance Corp. (Series H) | 4.625 | 09/01/10 | 242,350 | |||||||||||||||
225 | Two-Rock Pass Through - 144A (b) (Bahamas) | 3.656 | (d) | (e) | 22,781 | ||||||||||||||
625,888 | |||||||||||||||||||
Oil & Gas Pipelines (0.1%) | |||||||||||||||||||
100 | Gaz Capital - 144A (b) | 6.51 | 03/07/22 | 90,000 | |||||||||||||||
170 | Plains All American Pipeline LP/PAA Finance Corp. | 6.70 | 05/15/36 | 162,268 | |||||||||||||||
252,268 | |||||||||||||||||||
Oil & Gas Production (0.1%) | |||||||||||||||||||
25 | Husky Oil Ltd. (Canada) | 8.90 | 08/15/28 | 25,141 | |||||||||||||||
120 | XTO Energy Inc. | 5.50 | 06/15/18 | 114,813 | |||||||||||||||
139,954 |
See Notes to Financial Statements
139
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Oil Refining/Marketing (0.1%) | |||||||||||||||||||
$ | 50 | Marathon Oil Corp. | 5.90 | % | 03/15/18 | $ | 49,505 | ||||||||||||
135 | Valero Energy Corp. | 3.50 | 04/01/09 | 134,655 | |||||||||||||||
184,160 | |||||||||||||||||||
Oilfield Services/Equipment (0.0%) | |||||||||||||||||||
70 | Weatherford International Inc. | 6.00 | 03/15/18 | 69,210 | |||||||||||||||
Other Metals/Minerals (0.1%) | |||||||||||||||||||
185 | Brascan Corp. (Canada) | 7.125 | 06/15/12 | 186,973 | |||||||||||||||
105 | Rio Tinto Finance USA Ltd. | 6.50 | 07/15/18 | 105,511 | |||||||||||||||
292,484 | |||||||||||||||||||
Pharmaceuticals: Major (0.2%) | |||||||||||||||||||
90 | Astrazeneca | 5.90 | 09/15/17 | 92,413 | |||||||||||||||
165 | Bristol-Myers Squibb | 5.45 | 05/01/18 | 163,073 | |||||||||||||||
150 | Glaxosmithkline Capital Inc. | 5.65 | 05/15/18 | 149,707 | |||||||||||||||
60 | Wyeth | 5.45 | 04/01/17 | 59,277 | |||||||||||||||
15 | Wyeth | 5.50 | 02/15/16 | 15,099 | |||||||||||||||
479,569 | |||||||||||||||||||
Property - Casualty Insurers (0.4%) | |||||||||||||||||||
80 | Ace Ina Holdings | 5.60 | 05/15/15 | 77,152 | |||||||||||||||
220 | Berkshire Hathaway Finance Corp. - 144A (b) | 5.40 | 05/15/18 | 220,297 | |||||||||||||||
25 | Chubb Corp. | 5.75 | 05/15/18 | 24,275 | |||||||||||||||
300 | Mantis Reef Ltd. - 144A (b) (Cayman Islands) | 4.692 | 11/14/08 | 298,878 | |||||||||||||||
85 | Platinum Underwriters Finance Inc. (Series B) | 7.50 | 06/01/17 | 79,980 | |||||||||||||||
260 | Xlliac Global Funding - 144A (b) | 4.80 | 08/10/10 | 258,056 | |||||||||||||||
958,638 | |||||||||||||||||||
Railroads (0.1%) | |||||||||||||||||||
115 | Burlington Santa Fe Corp. | 6.125 | 03/15/09 | 116,075 | |||||||||||||||
25 | Canadian National Railway Co. | 5.55 | 05/15/18 | 24,712 | |||||||||||||||
100 | Korea Railroad Corp. - 144A (b) | 5.375 | 05/15/13 | 99,167 | |||||||||||||||
239,954 | |||||||||||||||||||
Real Estate Development (0.1%) | |||||||||||||||||||
362 | World Financial Properties - 144A (b) | 6.91 | 09/01/13 | 362,046 | |||||||||||||||
Real Estate Investment Trusts (0.1%) | |||||||||||||||||||
260 | iStar Financial Inc. | 3.027 | (d) | 03/09/10 | 220,425 | ||||||||||||||
35 | Prologis Trust | 6.625 | 05/15/18 | 34,539 | |||||||||||||||
254,964 | |||||||||||||||||||
Restaurants (0.1%) | |||||||||||||||||||
135 | Tricon Global Restaurants, Inc. | 8.875 | 04/15/11 | 146,012 |
See Notes to Financial Statements
140
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Savings Banks (0.3%) | |||||||||||||||||||
$ | 110 | Household Finance Corp. | 4.125 | % | 12/15/08 | $ | 109,841 | ||||||||||||
95 | Household Finance Corp. | 5.875 | 02/01/09 | 95,673 | |||||||||||||||
75 | Household Finance Corp. | 6.375 | 10/15/11 | 76,762 | |||||||||||||||
320 | Sovereign Bancorp, Inc. | 2.829 | 03/23/10 | 286,214 | |||||||||||||||
165 | Washington Mutual Bank | 5.50 | 01/15/13 | 132,125 | |||||||||||||||
700,615 | |||||||||||||||||||
Services to the Health Industry (0.0%) | |||||||||||||||||||
80 | Medco Health Solutions Inc. | 7.125 | 03/15/18 | 83,225 | |||||||||||||||
Specialty Steels (0.0%) | |||||||||||||||||||
100 | GTL Trade Finance Inc. - 144A (b) | 7.25 | 10/20/17 | 100,635 | |||||||||||||||
Steel (0.0%) | |||||||||||||||||||
100 | ArcelorMittal - 144A (b) | 6.125 | 06/01/18 | 97,904 | |||||||||||||||
Tobacco (0.1%) | |||||||||||||||||||
140 | Philip Morris International Inc. | 5.65 | 05/16/18 | 136,328 | |||||||||||||||
Total Corporate Bonds (Cost $21,394,497) | 20,421,401 | ||||||||||||||||||
U.S. Government Obligations (3.2%) | |||||||||||||||||||
U.S. Treasury Bond | |||||||||||||||||||
2,250 | 6.125 | 08/15/29 | 2,714,591 | ||||||||||||||||
200 | 6.375 | 08/15/27 | 245,063 | ||||||||||||||||
700 | 4.50 | 02/15/36 | 695,243 | ||||||||||||||||
550 | 3.125 | 11/30/09 | 555,887 | ||||||||||||||||
U.S. Treasury Note | |||||||||||||||||||
750 | 6.00 | 08/15/09 | 779,356 | ||||||||||||||||
1,800 | 5.375 | 02/15/31 | 2,000,533 | ||||||||||||||||
350 | 3.50 | 08/15/09 | 354,566 | ||||||||||||||||
700 | 2.00 | 02/28/10 | 695,133 | ||||||||||||||||
Total U.S. Government Obligations (Cost $8,034,063) | 8,040,372 | ||||||||||||||||||
U.S. Government Agency - Mortgage-Backed Securities (4.2%) | |||||||||||||||||||
Federal Home Loan Mortgage Corp. | |||||||||||||||||||
62 | 7.50 | 01/01/30 - 04/01/31 | 67,456 | ||||||||||||||||
300 | 5.125 | 11/17/17 | 308,781 | ||||||||||||||||
Federal Home Loan Mortgage Corp. PC Gold | |||||||||||||||||||
3 | 6.50 | 05/01/29 - 12/01/31 | 2,783 | ||||||||||||||||
168 | 8.00 | 11/01/30 | 182,150 |
See Notes to Financial Statements
141
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
Federal National Mortgage Assoc. | |||||||||||||||||||
$ | 994 | 5.766 | % | 01/01/36 | $ | 1,017,970 | |||||||||||||
449 | 5.783 | 03/01/36 | 458,293 | ||||||||||||||||
412 | 5.872 | 03/01/36 | 421,204 | ||||||||||||||||
450 | 6.232 | 05/01/36 | 457,246 | ||||||||||||||||
437 | 6.247 | 05/01/36 | 443,261 | ||||||||||||||||
3 | 6.50 | 11/01/29 | 2,474 | ||||||||||||||||
1,016 | 7.00 | 10/01/27 - 11/01/34 | 1,074,080 | ||||||||||||||||
752 | 7.50 | 10/01/29 - 09/01/35 | 810,981 | ||||||||||||||||
535 | 8.00 | 11/01/29 - 05/01/31 | 579,449 | ||||||||||||||||
Federal National Mortgage Assoc. ARM | |||||||||||||||||||
937 | 5.772 | 01/01/36 | 960,380 | ||||||||||||||||
557 | 5.819 | 12/01/35 | 569,766 | ||||||||||||||||
563 | 5.832 | 10/01/35 | 576,204 | ||||||||||||||||
476 | 5.833 | 11/01/35 | 486,475 | ||||||||||||||||
954 | 6.248 | 04/01/36 | 977,705 | ||||||||||||||||
461 | 6.286 | 07/01/36 | 468,672 | ||||||||||||||||
275 | 6.291 | 07/01/36 | 279,217 | ||||||||||||||||
545 | 6.302 | 04/01/36 | 555,260 | ||||||||||||||||
Total U.S. Government Agency - Mortgage-Backed Securities (Cost $10,719,313) | 10,699,807 | ||||||||||||||||||
Asset-Backed Securities (1.7%) | |||||||||||||||||||
482 | Capital Auto Receivables Asset Trust 2006-2 A3A | 4.98 | 05/15/11 | 487,955 | |||||||||||||||
265 | Capital Auto Receivables Asset Trust 2006-SN1A A3 144A (b) | 5.31 | 10/20/09 | 265,029 | |||||||||||||||
475 | Capital Auto Receivables Assets Trust 2007-SN1 Class A3B | 2.531 | (d) | 07/15/10 | 473,275 | ||||||||||||||
176 | Capital One Auto Finance Trust 2006-C A3A | 5.07 | 07/15/11 | 173,136 | |||||||||||||||
212 | Caterpillar Financial Asset Trust 2006-A A3 | 5.57 | 05/25/10 | 213,863 | |||||||||||||||
339 | CIT Equipment Collateral 2006-VT2 A3 | 5.07 | 02/20/10 | 340,456 | |||||||||||||||
450 | Citibank Credit Card Issuance Trust 2007-A1 A1 | 2.791 | (d) | 03/22/12 | 445,880 | ||||||||||||||
107 | Ford Credit Auto Owner Trust 2006-A A3 | 5.05 | 03/15/10 | 107,675 | |||||||||||||||
339 | GS Auto Loan Trust 2006-1 A3 | 5.37 | 12/15/10 | 342,046 | |||||||||||||||
167 | Harley Davidson Motorcycle Trust 2005-3 A2 | 4.41 | 06/15/12 | 168,469 | |||||||||||||||
381 | Harley-Davidson Motorcycle Trust 2005-1 A2 | 3.76 | 12/17/12 | 382,349 | |||||||||||||||
258 | Harley-Davidson Motorcycle Trust 2005-2 A2 | 4.07 | 02/15/12 | 259,301 | |||||||||||||||
300 | Hertz Vehicle Financing LLC 2005-2A A2 - 144A (b) | 4.93 | 02/25/10 | 298,578 | |||||||||||||||
103 | Honda Auto Receivables Owner Trust 2005-6 A3 | 4.85 | 10/19/09 | 102,903 | |||||||||||||||
36 | Hyundai Auto Receivables Trust 2005-A A3 | 3.98 | 11/16/09 | 36,095 | |||||||||||||||
100 | Lehman XS Trust 2006-16N M2 | 2.792 | (d) | 11/25/46 | 5,000 | ||||||||||||||
85 | National City Auto Receivables Trust 2004-A A4 | 2.88 | 05/15/11 | 84,534 | |||||||||||||||
36 | Nissan Auto Receivables Owner Trust 2005-B A3 | 3.99 | 07/15/09 | 36,166 |
See Notes to Financial Statements
142
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 125 | TXU Electric Delivery Transition Bond Co. LLC 2004-1 A2 | 4.81 | % | 11/17/14 | $ | 124,414 | ||||||||||||
16 | Volkswagen Auto Loan Enhanced Trust 2005-1 A3 | 4.80 | 07/20/09 | 16,120 | |||||||||||||||
7 | Wachovia Auto Owner Trust 2005-A A3 | 4.06 | 09/21/09 | 7,209 | |||||||||||||||
35 | Wachovia Auto Owner Trust 2005-B A3 | 4.79 | 04/20/10 | 35,499 | |||||||||||||||
Total Asset-Backed Securities (Cost $4,477,946) | 4,405,952 | ||||||||||||||||||
Collateralized Mortgage Obligations (3.0%) | |||||||||||||||||||
U.S. Government Agencies (0.6%) | |||||||||||||||||||
239 | Federal Home Loan Mortgage Corp. Whole Loan 2005-S001 2A2 | 2.632 | (d) | 09/25/45 | 235,399 | ||||||||||||||
999 | Federal National Mortgage Assoc. 2005-68 XI (IO) | 6.00 | 08/25/35 | 301,245 | |||||||||||||||
4,331 | Federal National Mortgage Assoc. 2006-28 1P (IO) | 1.519 | (d) | 03/25/36 | 116,408 | ||||||||||||||
522 | Federal National Mortgage Assoc. 2006-118 A2 | 2.542 | (d) | 12/25/36 | 503,491 | ||||||||||||||
372 | Federal National Mortgage Assoc. 2006-28 1A1 | 2.592 | (d) | 03/25/36 | 364,090 | ||||||||||||||
Total U.S. Government Agencies (Cost$1,546,545) | 1,520,633 | ||||||||||||||||||
Private Issues (2.4%) | |||||||||||||||||||
222 | Adjustable Rate Mortgage Trust - 2005-6A 2A1 | 2.792 | (d) | 11/25/35 | 172,563 | ||||||||||||||
American Home Mortgage Investment Trust | |||||||||||||||||||
125 | 2005-4 1M2 | 3.855 | (d) | 11/25/45 | 20,616 | ||||||||||||||
200 | 2007-1 1M1 | 2.772 | (d) | 03/25/46 | 20,000 | ||||||||||||||
419 | 2006-2 | 2.713 | (d) | 09/25/46 | 226,760 | ||||||||||||||
452 | 2007-1 GA1C | 2.672 | (d) | 05/25/47 | 325,046 | ||||||||||||||
209 | 2007-5 A3 | 2.783 | (d) | 06/25/47 | 80,912 | ||||||||||||||
510 | 2007-5 | 2.723 | (d) | 06/25/47 | 334,355 | ||||||||||||||
Bear Stearns Mortgage Funding Trust | |||||||||||||||||||
326 | 2006-AR5 1A1 | 2.642 | (d) | 12/25/36 | 236,650 | ||||||||||||||
332 | 2007-AR1 1A2 | 2.692 | (d) | 01/25/37 | 166,507 | ||||||||||||||
Countrywide Alternative Loan Trust | |||||||||||||||||||
301 | 2005-56 2A3 | 5.028 | (d) | 11/25/35 | 222,734 | ||||||||||||||
2,512 | 2006-0A17 (IO) | 1.276 | (d) | 12/20/46 | 96,661 | ||||||||||||||
141 | 2006-0A18 | 2.753 | (d) | 12/25/46 | 55,850 | ||||||||||||||
310 | 2006-0A2 A3 | 2.752 | (d) | 05/20/46 | 166,731 | ||||||||||||||
2,597 | 2006-0A21 X (IO) | 1.53 | 03/20/47 | 111,626 | |||||||||||||||
296 | 2006-OA1 2A2 | 2.792 | (d) | 03/20/46 | 159,216 | ||||||||||||||
177 | 2006-OA17 1XP (IO) | 2.782 | (d) | 12/20/46 | 59,156 | ||||||||||||||
2,519 | 2007-0A3 X (IO) | 2.00 | 04/25/47 | 107,055 | |||||||||||||||
476 | 2007-0A8 2A2 | 2.713 | (d) | 06/25/47 | 268,646 |
See Notes to Financial Statements
143
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
PRINCIPAL AMOUNT IN THOUSANDS | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||||||
$ | 440 | Greenpoint Mortgage Funding Trust 2006-0H1 A2 | 2.712 | (d)% | 01/25/37 | $ | 235,178 | ||||||||||||
Harborview Mortgage Loan Trust | |||||||||||||||||||
442 | 2006-14 2A1A | 2.632 | (d) | 03/19/38 | 310,735 | ||||||||||||||
350 | 2006-8 2A1B | 2.731 | (d) | 08/21/36 | 200,872 | ||||||||||||||
466 | 2006-AR1 2A1A | 2.662 | (d) | 11/19/36 | 329,136 | ||||||||||||||
370 | Luminent Mortgage Trust 2006-4, A1B | 2.712 | (d) | 05/25/46 | 216,899 | ||||||||||||||
200 | Mastr Adjustable Rate Mortgages Trust 2007-3 1M1 | 3.332 | (d) | 05/25/47 | 5,000 | ||||||||||||||
Residential Accredit Loans, Inc. | |||||||||||||||||||
351 | 2007-Q03 A3 | 2.742 | (d) | 03/25/47 | 136,375 | ||||||||||||||
542 | 2007-QH1 A2 | 2.672 | (d) | 02/25/37 | 284,544 | ||||||||||||||
Structured Asset Mortgage Investments Inc. | |||||||||||||||||||
530 | 2007-AR1 2A2 | 2.692 | (d) | 01/25/37 | 305,547 | ||||||||||||||
150 | 2006-AR7 | 2.852 | (d) | 08/25/36 | 7,500 | ||||||||||||||
Washington Mutual Mortgage Pass-Through Cetificates | |||||||||||||||||||
213 | 2005-AR13 A1A2 | 4.978 | (d) | 10/25/45 | 166,718 | ||||||||||||||
6,163 | 2005-AR6 X (IO) | 1.166 | 04/25/45 | 100,151 | |||||||||||||||
75 | 2006-AR5 | 2.832 | (d) | 06/25/46 | 34,130 | ||||||||||||||
436 | 2007-0A1 A1B | 2.682 | (d) | 02/25/47 | 302,096 | ||||||||||||||
389 | 2007-0A1 CA1B | 2.682 | (d) | 12/25/46 | 216,040 | ||||||||||||||
14,060 | 2007-OA2 1XPP (IO) | 0.255 | 03/25/47 | 228,480 | |||||||||||||||
550 | 2007-OA6 CA1B | 2.712 | (d) | 07/25/47 | 313,337 | ||||||||||||||
Total Private Issues (Cost $10,287,593) | 6,223,822 | ||||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $11,833,206) | 7,744,455 | ||||||||||||||||||
NUMBER OF CONTRACTS | |||||||||||||||||||
Call Options Purchased (0.0%) | |||||||||||||||||||
108 | 90 day Euro $ Futures September/2009 @ 96.75 (Cost $93,436) | 99,225 | |||||||||||||||||
PRINCIPAL AMOUNT IN THOUSANDS | |||||||||||||||||||
Short-term Investments (14.8%) | |||||||||||||||||||
U.S. Government Obligation (g) (0.1%) | |||||||||||||||||||
$ | 160 | U.S. Treasury Bills (c) (Cost $159,313) | 159,289 |
See Notes to Financial Statements
144
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
NUMBER OF SHARES (000) | VALUE | ||||||||||||||||||
Investment Company (h) (14.7%) | |||||||||||||||||||
37,595Morgan Stanley Institutional Liquidity Money Market Portfolio - Institutional Class (Cost $37,594,709) | $ | 37,594,709 | |||||||||||||||||
Total Short-term Investments (Cost $37,754,022) | 37,753,998 | ||||||||||||||||||
Total Investments (Cost $218,628,253) (i) (j) | 99.2 | % | 253,318,864 | ||||||||||||||||
Total Written Options Outstanding (Premiums $53,713) | 0.0 | (60,075 | ) | ||||||||||||||||
Assets in Excess of Other Liabilities | 0.8 | 2,153,763 | |||||||||||||||||
Net Assets | 100.0 | % | $ | 255,412,552 |
ADR American Depositary Receipt.
ARM Adjustable Rate Mortgage.
IO Interest Only Security.
MTN Medium-Term Note.
PC Participation Certificate.
(a) Non-income producing security.
(b) Resale is restricted to qualified institutional investors.
(c) A portion of this security has been physically segregated in connection with open future contracts in the amount of $86,037.
(d) Variable rate security. Rate shown is the rate in effect at June 30, 2008.
(e) Foreign issued with perpetual maturity.
(f) Security issued with perpetual maturity.
(g) Purchased on a discount basis. The interest rate shown has been adjusted to reflect a money market equivalent yield.
(h) See Note 4 to the financial statements regarding investments in Morgan Stanley Institutional Liquidity Money Market Portfolio - Instiutional Class.
(i) Securities have been designated as collateral in amount equal to $23,677,122 in connection with open futures and swap contracts.
(j) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $48,534,899 and the aggregate gross unrealized depreciation is $13,850,649, resulting in net unrealized appreciation of $34,684,250.
See Notes to Financial Statements
145
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
SUMMARY OF INVESTMENTS PORTFOLIO COMPOSITION | MARKET VALUE | PERCENT OF TOTAL INVESTMENTS | |||||||||
Common Stocks | $ | 164,153,654 | 64.8 | % | |||||||
Short-Term Investments | 37,753,998 | 14.9 | |||||||||
U.S. Government Agencies and Obligations | 18,740,179 | 7.4 | |||||||||
Corporate Bonds | 20,421,401 | 8.1 | |||||||||
Collateralized Mortgage Obligations | 7,744,455 | 3.1 | |||||||||
Asset-Backed Securities | 4,405,952 | 1.7 | |||||||||
Put Option Purchased | 99,225 | 0.0 | |||||||||
TOTAL INVESTMENTS | $ | 253,318,864 | @ | 100.0 | % |
@ Does not include open long/short futures contracts with an underlying face amount of $24,993,048 with unrealized depreciation of $34,472, and open swap contracts with net unrealized appreciation of $908,223.
Options Written as of June 30, 2008:
NUMBER OF CONTRACTS | DESCRIPTION | STRIKE PRICE | EXPIRATION DATE | PREMIUM | VALUE | ||||||||||||||||||
108 | 90 day Euro$ Futures | $ | 97.25 | September 2009 | $ | 53,714 | $ | 60,075 |
See Notes to Financial Statements
146
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
Futures Contracts Open at June 30, 2008:
NUMBER OF CONTRACTS | LONG/SHORT | DESCRIPTION, DELIVERY MONTH AND YEAR | UNDERLYING FACE AMOUNT AT VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
27 | Long | U.S.Treasury Notes 2 Year, September 2008 | $ | 5,702,484 | $ | (2,674 | ) | ||||||||||||
32 | Long | U.S.Treasury Notes 5 Year, September 2008 | 3,537,750 | (13,788 | ) | ||||||||||||||
3 | Long | 90 Day Euro$ June 2009 | 723,525 | 6,578 | |||||||||||||||
1 | Long | 90 Day Euro$ December 2008 | 242,050 | 4,191 | |||||||||||||||
1 | Long | 90 Day Euro$ March 2009 | 241,700 | 3,954 | |||||||||||||||
1 | Short | 90 Day Euro$ June 2010 | (238,938 | ) | (990 | ) | |||||||||||||
2 | Short | 90 Day Euro$ March 2010 | (478,725 | ) | (2,481 | ) | |||||||||||||
2 | Short | 90 Day Euro$ December 2009 | (479,675 | ) | (3,087 | ) | |||||||||||||
2 | Short | 90 Day Euro$ September 2009 | (481,075 | ) | 159 | ||||||||||||||
7 | Short | Swap Future 10 Year, September 2008 | (769,672 | ) | (7,335 | ) | |||||||||||||
13 | Short | U.S.Treasury Bonds 20 Year, September 2008 | (1,502,719 | ) | (4,622 | ) | |||||||||||||
93 | Short | U.S.Treasury Notes 10 Year, September 2008 | (10,594,735 | ) | (14,377 | ) | |||||||||||||
Net Unrealized Depreciation | $ | (34,472 | ) |
See Notes to Financial Statements
147
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
Credit Default Swap Contracts Open at June 30, 2008:
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Credit Suisse International Arrow Electronics, Inc. | Buy | $ | 150 | 1.00 | % | March 20, 2015 | $ | (1,111 | ) | ||||||||||||||
Goldman Sachs International Avalonbay Communities Inc. | Buy | 110 | 3.05 | March 20, 2013 | (6,373 | ) | |||||||||||||||||
Merrill Lynch International Carnival Corp. | Buy | 70 | 1.50 | March 20, 2018 | (244 | ) | |||||||||||||||||
Merrill Lynch International Carnival Corp. | Buy | 55 | 1.57 | March 20, 2018 | (156 | ) | |||||||||||||||||
Bank of America, N.A. Carnival Corp. | Buy | 65 | 1.57 | March 20, 2018 | (185 | ) | |||||||||||||||||
Merrill Lynch International Carnival Corp. | Buy | 60 | 1.60 | March 20, 2018 | (460 | ) | |||||||||||||||||
Goldman Sachs International Coca-Cola Enterprises Inc. | Buy | 220 | 0.588 | March 20, 2013 | (1,528 | ) | |||||||||||||||||
Goldman Sachs International Chubb Corp. | Buy | 350 | 0.10 | March 20, 2012 | 5,957 | ||||||||||||||||||
Goldman Sachs International Dell Inc. | Buy | 180 | 0.22 | March 20, 2012 | 1,985 | ||||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | 125 | 0.60 | December 20, 2012 | (678 | ) | |||||||||||||||||
JPMorgan Chase N.A. New York Dow Jones Index | Sell | 455 | 0.60 | December 20, 2012 | 241 | ||||||||||||||||||
Lehman Brothers Special Financing Inc. Dow Jones Index | Sell | 125 | 0.60 | December 20, 2012 | (1,496 | ) | |||||||||||||||||
Lehman Brothers Special Financing Inc. Dow Jones Index | Sell | 255 | 0.60 | December 20, 2012 | (3,762 | ) | |||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | 230 | 0.80 | December 20, 2012 | (96 | ) | |||||||||||||||||
Goldman Sachs International Dow Jones Index | Sell | 290 | 1.55 | June 20, 2013 | (870 | ) | |||||||||||||||||
Citibank, N.A., New York Eaton Corp. | Buy | 60 | 0.82 | March 20, 2018 | 221 | ||||||||||||||||||
Merrill Lynch International Eaton Corp. | Buy | 80 | 0.92 | March 20, 2018 | (310 | ) | |||||||||||||||||
Goldman Sachs International Eaton Corp. | Buy | 60 | 0.97 | March 20, 2018 | (460 | ) |
See Notes to Financial Statements
148
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
UBS AG Eli Lilly & Co. | Buy | $ | 180 | 0.30 | % | March 20, 2013 | $ | (691 | ) | ||||||||||||||
Goldman Sachs International Eli Lilly & Co. | Buy | 45 | 0.33 | March 20, 2013 | (231 | ) | |||||||||||||||||
Lehman Brothers Special Financing Inc. Goodrich Corp. | Buy | 60 | 0.46 | March 20, 2018 | 728 | ||||||||||||||||||
Lehman Brothers Special Financing Inc. Goodrich Corp. | Buy | 85 | 0.45 | March 20, 2018 | 1,097 | ||||||||||||||||||
Goldman Sachs International Goodrich Corp. | Buy | 90 | 0.47 | March 20, 2018 | 1,023 | ||||||||||||||||||
Bank of America, N.A. Goodrich Corp. | Buy | 75 | 0.70 | March 20, 2013 | (618 | ) | |||||||||||||||||
Bank of America, N.A. Goodrich Corp. | Buy | 50 | 0.82 | March 20, 2018 | (777 | ) | |||||||||||||||||
Goldman Sachs International Hartford Financial Services Group, Inc. | Buy | 350 | 0.12 | December 20, 2011 | 10,651 | ||||||||||||||||||
UBS AG Martin Marietta Materials, Inc. | Buy | 55 | 1.73 | March 20, 2018 | (728 | ) | |||||||||||||||||
UBS AG Martin Marietta Materials, Inc. | Buy | 55 | 1.78 | March 20, 2013 | (634 | ) | |||||||||||||||||
Bank of America, N.A. Nordstrom, Inc. | Buy | 20 | 1.03 | March 20, 2018 | 1,060 | ||||||||||||||||||
JPMorgan Chase N.A. New York Nordstrom, Inc. | Buy | 75 | 1.07 | March 20, 2018 | 715 | ||||||||||||||||||
JPMorgan Chase N.A. New York Pepsi Bottling Group, Inc. | Buy | 55 | 0.58 | March 20, 2013 | (317 | ) | |||||||||||||||||
JPMorgan Chase N.A. New York Pepsi Bottling Group, Inc. | Buy | 80 | 0.63 | March 20, 2013 | (633 | ) | |||||||||||||||||
Goldman Sachs International Prologis | Buy | 65 | 3.33 | March 20, 2013 | (2,671 | ) | |||||||||||||||||
Bank of America, N.A. Sealed Air Corp. | Buy | 50 | 1.08 | March 20, 2018 | 2,302 | ||||||||||||||||||
Goldman Sachs International Sealed Air Corp. | Buy | 60 | 1.08 | March 20, 2018 | 2,762 | ||||||||||||||||||
Bank of America, N.A. Sealed Air Corp. | Buy | 90 | 1.12 | March 20, 2018 | 3,887 |
See Notes to Financial Statements
149
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
SWAP COUNTERPARTY & REFERENCE OBLIGATION | BUY/SELL PROTECTION | NOTIONAL AMOUNT (000'S) | INTEREST RATE | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Goldman Sachs International Sealed Air Corp. | Buy | $ | 30 | 1.24 | % | March 20, 2018 | $ | 1,040 | |||||||||||||||
Bank of America, N.A. Textron Financial Corp. | Buy | 70 | 0.80 | March 20, 2018 | 2,182 | ||||||||||||||||||
UBS AG Textron Financial Corp. | Buy | 80 | 1.00 | March 20, 2013 | 771 | ||||||||||||||||||
UBS AG Textron Financial Corp. | Buy | 50 | 1.01 | March 20, 2013 | 482 | ||||||||||||||||||
Goldman Sachs International Textron Financial Corp. | Buy | 110 | 1.05 | March 20, 2013 | 791 | ||||||||||||||||||
UBS AG Textron Financial Corp | Buy | 120 | 1.06 | March 20, 2013 | (1,341 | ) | |||||||||||||||||
Citibank, N.A., New York Tyco Electronics Ltd. | Buy | 67 | 0.43 | March 20, 2012 | 719 | ||||||||||||||||||
Citibank, N.A., New York Tyco Electronics Ltd. | Buy | 140 | 0.43 | March 20, 2012 | 1,510 | ||||||||||||||||||
Goldman Sachs International Union Pacific Corp. | Buy | 175 | 0.20 | December 20, 2011 | 2,294 | ||||||||||||||||||
Goldman Sachs International Motorola Inc, | Buy | 120 | 0.15 | December 20, 2011 | 9,288 | ||||||||||||||||||
Bank of America, N.A. Yum! Brands, Inc. | Buy | 135 | 1.18 | March 20, 2013 | (973 | ) | |||||||||||||||||
Net Unrealized Appreciation | $ | 24,363 |
See Notes to Financial Statements
150
Morgan Stanley Variable Investment Series - Strategist
Portfolio of Investments n June 30, 2008 (unaudited) continued
Interest Rate Swap Contracts Open at June 30, 2008:
COUNTERPARTY | NOTIONAL AMOUNT (000'S) | PAYMENTS RECEIVED BY FUND | PAYMENTS MADE BY FUND | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||
Bank of America N.A. New York | $ | 3,875 | Fixed Rate 4.148% | Floating Rate 2.677%# | June 9, 2013 | $ | (18,522 | ) | |||||||||||||||
Bank of America N.A. New York | 1,113 | Fixed Rate 5.37 | Floating Rate 3.08# | February 12, 2018 | 7,758 | ||||||||||||||||||
Bank of America N.A. New York | 1,850 | Fixed Rate 5.592 | Floating Rate 0.00# | February 19, 2018 | 27,546 | ||||||||||||||||||
Bank of America N.A. New York | 1,050 | Fixed Rate 5.07 | Floating Rate 0.00# | April 14, 2018 | (4,536 | ) | |||||||||||||||||
Bank of America N.A. New York | 1,975 | Fixed Rate 4.983 | Floating Rate 0.00# | April 15, 2018 | (14,674 | ) | |||||||||||||||||
Citibank N.A. New York | 3,250 | Fixed Rate 5.338 | Floating Rate 2.638# | May 24, 2017 | 171,633 | ||||||||||||||||||
Citibank N.A. New York | 1,900 | Fixed Rate 5.448 | Floating Rate 2.734# | August 9, 2017 | 115,387 | ||||||||||||||||||
Citibank N.A. New York | 2,900 | Fixed Rate 5.239 | Floating Rate 2.655# | September 27, 2017 | 131,109 | ||||||||||||||||||
Citigroup Inc. | 650 | Fixed Rate 4.648 | Floating Rate 2.638# | February 27, 2018 | (734 | ) | |||||||||||||||||
Deutsche Bank AG, New York | 1,950 | Fixed Rate 5.389 | Floating Rate 2.638# | May 25, 2017 | 110,312 | ||||||||||||||||||
Deutsche Bank AG, New York | EUR | 705 | Fixed Rate 5.268 | Floating Rate 5.13† | July 3, 2023 | (1,709 | ) | ||||||||||||||||
Goldman Sachs Group Inc. | $ | 1,875 | Fixed Rate 5.565 | Floating Rate 0.00# | February 27, 2018 | 25,912 | |||||||||||||||||
Goldman Sachs Group Inc. | 3,775 | Fixed Rate 5.63 | Floating Rate 0.00# | February 28, 2018 | 60,929 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 3,465 | Fixed Rate 4.07 | Floating Rate 2.72# | May 16, 2013 | (27,547 | ) | |||||||||||||||||
JPMorgan Chase N.A. New York | 3,550 | Fixed Rate 5.34 | Floating Rate 2.638# | May 24, 2017 | 188,150 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,450 | Fixed Rate 5.448 | Floating Rate 2.644# | May 29, 2017 | 149,328 | ||||||||||||||||||
JPMorgan Chase N.A. New York | 2,150 | Fixed Rate 5.088 | Floating Rate 2.691# | September 11, 2017 | 73,208 | ||||||||||||||||||
Bank of America N.A. New York | 1,437 | Floating Rate 3.08# | Fixed Rate 5.815 | February 12, 2023 | (17,919 | ) | |||||||||||||||||
Bank of America N.A. New York | 2,390 | Floating Rate 0.00# | Fixed Rate 6.03 | February 19, 2023 | (43,952 | ) | |||||||||||||||||
Bank of America N.A. New York | 1,345 | Floating Rate 0.00# | Fixed Rate 5.47 | April 14, 2023 | (3,779 | ) | |||||||||||||||||
Bank of America N.A. New York | 2,385 | Floating Rate 0.00# | Fixed Rate 5.38 | April 15, 2023 | (811 | ) | |||||||||||||||||
Deutsche Bank AG, New York | EUR | 565 | Floating Rate 5.13† | Fixed Rate 4.934 | July 1, 2018 | (480 | ) | ||||||||||||||||
Goldman Sachs Group Inc. | $ | 2,405 | Floating Rate 0.00# | Fixed Rate 5.96 | February 27, 2023 | (39,514 | ) | ||||||||||||||||
Goldman Sachs Group Inc. | 4,840 | Floating Rate 0.00# | Fixed Rate 6.035 | February 28, 2023 | (89,540 | ) | |||||||||||||||||
JPMorgan Chase N.A. New York | 4,100 | Floating Rate 2.873# | Fixed Rate 4.408 | May 1, 2018 | 86,305 | ||||||||||||||||||
Net Unrealized Appreciation | $ | 883,860 |
EUR Euro.
# Floating rate represents USD-3 months LIBOR.
† Floating rate represents EUR-3 Months EURIBOR.
See Notes to Financial Statements
151
Morgan Stanley Variable Investment Series
Financial Statements
Statements of Assets and Liabilities
For the six months ended June 30, 2008 (unaudited)
Money Market | Limited Duration | Income Plus | High Yield | Utilities | |||||||||||||||||||
Assets: | |||||||||||||||||||||||
Investments in securities, at value* | $ | 216,973,558 | $ | 90,134,787 | $ | 281,212,618 | $ | 41,559,330 | † | $ | 170,978,920 | † | |||||||||||
Investments in affiliates, at value** | — | 15,040,420 | 23,985,624 | 8,138,969 | 2,100,172 | ||||||||||||||||||
Cash | 24,980 | 39,936 | 810,401 | — | 341 | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Investments sold | — | — | 12,354,872 | 1,204,121 | — | ||||||||||||||||||
Shares of beneficial interest sold | — | — | 7,300 | — | — | ||||||||||||||||||
Dividends | — | — | — | — | 269,318 | ||||||||||||||||||
Interest | 648,708 | 627,387 | 4,038,648 | 756,650 | — | ||||||||||||||||||
Foreign withholding taxes reclaimed | — | — | — | — | 935 | ||||||||||||||||||
Principal paydowns | — | 65,002 | 8 | 1,611 | — | ||||||||||||||||||
Variation margin | — | — | — | — | — | ||||||||||||||||||
Periodic interest on open swap contracts | — | 432,675 | 1,084,952 | 67,855 | — | ||||||||||||||||||
Interest/dividends from affiliates | — | 40,284 | 37,382 | — | 7,251 | ||||||||||||||||||
Written options | |||||||||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on open swap contracts | — | 736,592 | 13,524,759 | 338,745 | — | ||||||||||||||||||
Prepaid expenses and other assets | 10,435 | 5,795 | 31,541 | 3,125 | 7,271 | ||||||||||||||||||
Total Assets | 217,657,681 | 107,122,878 | 337,088,105 | 52,070,406 | 173,364,208 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Collateral on securities loaned at value | — | — | — | 10,667,428 | 31,760,802 | ||||||||||||||||||
Premium received on open swap contracts | — | 53,283 | 376,494 | 204,082 | — | ||||||||||||||||||
Written call options outstanding, at value | — | 59,519 | ## | — | — | — | |||||||||||||||||
Unrealized depreciation on open swap contracts | — | 335,569 | 2,169,955 | 334,371 | — | ||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Investments purchased | — | 629,735 | 10,985,893 | 1,113,659 | — | ||||||||||||||||||
Shares of beneficial interest redeemed | 1,216,421 | 130,549 | 654,549 | — | 221,324 | ||||||||||||||||||
Variation margin | — | 23,402 | 35,579 | 4,180 | — | ||||||||||||||||||
Distribution fee (Class Y) | 22,593 | 18,191 | 37,574 | 4,520 | 5,815 | ||||||||||||||||||
Investment advisory fee | 83,069 | 25,125 | 109,600 | 14,329 | 69,194 | ||||||||||||||||||
Administration fee | 9,230 | 7,295 | 21,355 | 2,757 | 9,819 | ||||||||||||||||||
Periodic interest payment on open swap contracts | — | 166,852 | 1,231,224 | 41,378 | — | ||||||||||||||||||
Transfer agent fee | 250 | 250 | 250 | 250 | 250 | ||||||||||||||||||
Payable to bank | — | — | — | 215,304 | — | ||||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | — | 4,156 | — | ||||||||||||||||||
Swap contracts collateral due to brokers | — | 660,000 | 11,370,000 | 40,000 | — | ||||||||||||||||||
Accrued expenses and other payables | 59,622 | 51,378 | 76,801 | 182,989 | 45,043 | ||||||||||||||||||
Total Liabilities | 1,391,185 | 2,161,148 | 27,069,274 | 12,829,403 | 32,112,247 | ||||||||||||||||||
Net Assets | $ | 216,266,496 | $ | 104,961,730 | $ | 310,018,831 | $ | 39,241,003 | $ | 141,251,961 | |||||||||||||
Composition of Net Assets: | |||||||||||||||||||||||
Paid-in-capital | $ | 216,266,354 | $ | 132,023,477 | $ | 337,515,780 | $ | 345,914,711 | $ | 66,798,342 | |||||||||||||
Accumulated undistributed net investment income (loss) | 236 | (129,063 | ) | 421,619 | 979,598 | 740,080 | |||||||||||||||||
Accumulated undistributed net realized gain (loss) | (94 | ) | (12,578,199 | ) | (25,088,044 | ) | (246,108,469 | ) | 14,596,455 | ||||||||||||||
Net unrealized appreciation (depreciation) | — | (14,354,485 | ) | (2,830,524 | ) | (61,544,837 | ) | 59,117,084 | |||||||||||||||
Net Assets | $ | 216,266,496 | $ | 104,961,730 | $ | 310,018,831 | $ | 39,241,003 | $ | 141,251,961 | |||||||||||||
* Cost | $ | 216,973,558 | $ | 104,884,841 | $ | 295,021,096 | $ | 103,093,511 | $ | 87,629,173 | |||||||||||||
** Affiliated Cost | $ | — | $ | 15,030,179 | $ | 23,985,624 | $ | 8,138,969 | $ | 26,332,835 | |||||||||||||
Class X Shares: | |||||||||||||||||||||||
Net Assets | $ | 111,391,061 | $ | 21,140,194 | $ | 135,480,655 | $ | 18,703,581 | $ | 114,430,607 | |||||||||||||
Shares Outstanding (unlimited authorized shares of $.01 par value) | 111,390,886 | 2,526,690 | 13,368,852 | 17,137,694 | 7,075,826 | ||||||||||||||||||
Net Asset Value Per Share | $ | 1.00 | $ | 8.37 | $ | 10.13 | $ | 1.09 | $ | 16.17 | |||||||||||||
Class Y Shares: | |||||||||||||||||||||||
Net Assets | $ | 104,875,435 | $ | 83,821,536 | $ | 174,538,176 | $ | 20,537,422 | $ | 26,821,354 | |||||||||||||
Shares Outstanding (unlimited authorized shares of $.01 par value) | 104,875,468 | 10,037,289 | 17,258,813 | 18,801,673 | 1,660,812 | ||||||||||||||||||
Net Asset Value Per Share | $ | 1.00 | $ | 8.35 | $ | 10.11 | $ | 1.09 | $ | 16.15 |
† Includes securities loaned at value of $10,109,890, $31,415,146, $18,807,442, $2,876,467, respectively.
†† Includes foreign currency at value of $325,311, 139,890, $52,967, with cost of $324,180, $139,514, and $50,967, respectively.
## Premium received of $53,217.
See Notes to Financial Statements
152
Income Builder | Dividend Growth | Global Dividend Growth | European Equity | Capital Opportunities | |||||||||||||||||||
Assets: | |||||||||||||||||||||||
Investments in securities, at value* | $ | 48,145,907 | $ | 361,695,630 | $ | 169,331,043 | † | $ | 130,420,570 | † | $ | 349,774,636 | |||||||||||
Investments in affiliates, at value** | 321,311 | 18,567,781 | 361,305 | 22,861 | 18,315,210 | ||||||||||||||||||
Cash | — | 1,065 | 325,117 | †† | 140,009 | †† | — | ||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Investments sold | — | — | 466,154 | 1,275,408 | — | ||||||||||||||||||
Shares of beneficial interest sold | — | — | 112 | 1,224 | 851 | ||||||||||||||||||
Dividends | 41,097 | 355,709 | 504,177 | 395,658 | 42,614 | ||||||||||||||||||
Interest | 174,774 | — | — | — | — | ||||||||||||||||||
Foreign withholding taxes reclaimed | — | 82,655 | 36,406 | 188,161 | — | ||||||||||||||||||
Principal paydowns | — | — | — | — | — | ||||||||||||||||||
Variation margin | — | — | — | — | — | ||||||||||||||||||
Periodic interest on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Interest/dividends from affiliates | 1,236 | 24,413 | 2,023 | 1,401 | 47,460 | ||||||||||||||||||
Written options | |||||||||||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | — | 1,950 | — | ||||||||||||||||||
Unrealized appreciation on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 1,659 | 17,818 | 8,170 | 7,865 | 106,091 | ||||||||||||||||||
Total Assets | 48,685,984 | 380,745,071 | 171,034,507 | 132,455,107 | 368,286,862 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Collateral on securities loaned at value | — | — | 19,714,422 | 3,107,270 | — | ||||||||||||||||||
Premium received on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Written call options outstanding, at value | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Investments purchased | 80,538 | — | — | — | 78,286 | ||||||||||||||||||
Shares of beneficial interest redeemed | 18,713 | 154,613 | 54,258 | 64,489 | 871,728 | ||||||||||||||||||
Variation margin | — | — | — | — | — | ||||||||||||||||||
Distribution fee (Class Y) | 5,815 | 20,511 | 11,055 | 6,764 | 20,162 | ||||||||||||||||||
Investment advisory fee | 28,841 | 165,981 | 91,034 | 91,766 | 135,247 | ||||||||||||||||||
Administration fee | 3,459 | 27,073 | 10,893 | 9,144 | 26,516 | ||||||||||||||||||
Periodic interest payment on open swap contracts | — | — | — | — | — | ||||||||||||||||||
Transfer agent fee | 250 | 250 | 250 | 250 | 250 | ||||||||||||||||||
Payable to bank | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Swap contracts collateral due to brokers | — | — | — | — | — | ||||||||||||||||||
Accrued expenses and other payables | 27,010 | 74,137 | 51,790 | 52,373 | 68,261 | ||||||||||||||||||
Total Liabilities | 164,626 | 442,565 | 19,933,702 | 3,332,056 | 1,200,450 | ||||||||||||||||||
Net Assets | $ | 48,521,358 | $ | 380,302,506 | $ | 151,100,805 | $ | 129,123,051 | $ | 367,086,412 | |||||||||||||
Composition of Net Assets: | |||||||||||||||||||||||
Paid-in-capital | $ | 48,350,675 | $ | 526,684,732 | $ | 121,187,041 | $ | 103,218,656 | $ | 640,293,392 | |||||||||||||
Accumulated undistributed net investment income (loss) | 16,468 | 1,419,054 | 3,048,899 | 3,008,193 | (481,671 | ) | |||||||||||||||||
Accumulated undistributed net realized gain (loss) | 1,157,065 | (155,451,811 | ) | 6,727,620 | 3,141,682 | (317,460,138 | ) | ||||||||||||||||
Net unrealized appreciation (depreciation) | (1,002,850 | ) | 7,650,531 | 20,137,245 | 19,754,520 | 44,734,829 | |||||||||||||||||
Net Assets | $ | 48,521,358 | $ | 380,302,506 | $ | 151,100,805 | $ | 129,123,051 | $ | 367,086,412 | |||||||||||||
* Cost | $ | 49,153,718 | $ | 345,642,710 | $ | 134,150,005 | $ | 108,320,754 | $ | 305,039,757 | |||||||||||||
** Affiliated Cost | $ | 316,350 | $ | 26,970,170 | $ | 15,402,894 | $ | 2,393,627 | $ | 18,315,210 | |||||||||||||
Class X Shares: | |||||||||||||||||||||||
Net Assets | $ | 22,448,551 | $ | 288,081,765 | $ | 102,081,954 | $ | 98,595,646 | $ | 278,346,652 | |||||||||||||
Shares Outstanding (unlimited authorized shares of $.01 par value) | 2,283,313 | 19,199,925 | 9,177,715 | 4,904,310 | 8,443,971 | ||||||||||||||||||
Net Asset Value Per Share | $ | 9.83 | $ | 15.00 | $ | 11.12 | $ | 20.10 | $ | 32.96 | |||||||||||||
Class Y Shares: | |||||||||||||||||||||||
Net Assets | $ | 26,072,806 | $ | 92,220,741 | $ | 49,018,851 | $ | 30,527,405 | $ | 88,739,760 | |||||||||||||
Shares Outstanding (unlimited authorized shares of $.01 par value) | 2,661,339 | 6,158,337 | 4,448,708 | 1,525,912 | 2,706,900 | ||||||||||||||||||
Net Asset Value Per Share | $ | 9.80 | $ | 14.97 | $ | 11.02 | $ | 20.01 | $ | 32.78 |
153
Morgan Stanley Variable Investment Series
Financial Statements continued
Statements of Assets and Liabilities continued
For the six months ended June 30, 2008 (unaudited)
S&P 500 Index | Global Advantage | Aggressive Equity | Strategist | ||||||||||||||||
Assets: | |||||||||||||||||||
Investments in securities, at value* | $ | 168,533,999 | $ | 17,882,962 | $ | 44,030,768 | $ | 214,339,587 | † | ||||||||||
Investments in affiliates, at value** | 2,977,271 | 30,855 | 1,774,267 | 38,979,277 | |||||||||||||||
Cash | — | 53,191 | †† | — | — | ||||||||||||||
Receivable for: | |||||||||||||||||||
Investments sold | 1,790,112 | 120,106 | — | 1,982,671 | |||||||||||||||
Shares of beneficial interest sold | 86,819 | 22,564 | — | — | |||||||||||||||
Dividends | 231,974 | 11,656 | 5,365 | 184,043 | |||||||||||||||
Interest | — | — | — | 472,686 | |||||||||||||||
Foreign withholding taxes reclaimed | — | 16,991 | — | — | |||||||||||||||
Principal paydowns | — | — | — | 12,615 | |||||||||||||||
Variation margin | 1,540 | — | — | — | |||||||||||||||
Periodic interest on open swap contracts | — | — | — | 231,608 | |||||||||||||||
Interest/dividends from affiliate | 1,322 | 439 | 5,243 | 87,534 | |||||||||||||||
Unrealized appreciation on open forward foreign currency contracts | — | — | — | — | |||||||||||||||
Unrealized appreciation on open swap contracts | — | — | — | 1,199,283 | |||||||||||||||
Prepaid expenses and other assets | 9,381 | 2,606 | 2,664 | 26,393 | |||||||||||||||
Total Assets | 173,632,418 | 18,141,370 | 45,818,307 | 257,515,697 | |||||||||||||||
Liabilities: | |||||||||||||||||||
Collateral on securities loaned at value | — | — | — | — | |||||||||||||||
Premium received on open swap contracts | — | — | — | 32,920 | |||||||||||||||
Written call options outstanding, at value | — | — | — | 60,075 | ## | ||||||||||||||
Unrealized depreciation on open swap contracts | — | — | — | 291,060 | |||||||||||||||
Payable for: | |||||||||||||||||||
Investments purchased | 38,729 | — | 228 | 402,980 | |||||||||||||||
Shares of beneficial interest redeemed | 9,919 | 97,233 | 8,497 | 208,926 | |||||||||||||||
Variation margin | — | — | — | 3,247 | |||||||||||||||
Distribution fee (Class Y) | 27,147 | 1,681 | 5,601 | 16,508 | |||||||||||||||
Investment advisory fee | 17,844 | 9,352 | 27,291 | 88,004 | |||||||||||||||
Administration fee | 12,435 | 1,317 | 3,315 | 18,179 | |||||||||||||||
Periodic interest on open swap contracts | — | — | — | 101,940 | |||||||||||||||
Transfer agent fee | 250 | 250 | 250 | 250 | |||||||||||||||
Payable to bank | 342,389 | — | — | 86,294 | |||||||||||||||
Unrealized depreciation on open forward foreign currency contracts | — | — | — | — | |||||||||||||||
Swap contracts collateral due to brokers | — | — | — | 730,000 | |||||||||||||||
Accrued expenses and other payables | 61,599 | 22,963 | 27,812 | 62,762 | |||||||||||||||
Total Liabilities | 510,312 | 132,796 | 72,994 | 2,103,145 | |||||||||||||||
Net Assets | $ | 173,122,106 | $ | 18,008,574 | $ | 45,745,313 | $ | 255,412,552 | |||||||||||
Composition of Net Assets: | |||||||||||||||||||
Paid-in-capital | $ | 155,251,702 | $ | 33,107,748 | $ | 64,342,075 | $ | 213,171,471 | |||||||||||
Accumulated undistributed net investment income (loss) | 1,621,641 | 73,653 | (81,883 | ) | 1,720,941 | ||||||||||||||
Accumulated undistributed net realized gain (loss) | (29,734,939 | ) | (16,723,451 | ) | (25,756,362 | ) | 4,962,139 | ||||||||||||
Net unrealized appreciation (depreciation) | 45,983,702 | 1,550,624 | 7,241,483 | 35,558,001 | |||||||||||||||
Net Assets | $ | 173,122,106 | $ | 18,008,574 | $ | 45,745,313 | $ | 255,412,552 | |||||||||||
* Cost | $ | 121,838,698 | $ | 16,334,390 | $ | 36,789,279 | $ | 180,005,269 | |||||||||||
** Affiliated Cost | $ | 3,633,519 | $ | 30,855 | $ | 1,774,267 | $ | 38,622,984 | |||||||||||
Class X Shares: | |||||||||||||||||||
Net Assets | $ | 51,969,787 | $ | 10,642,116 | $ | 21,033,634 | $ | 181,556,370 | |||||||||||
Shares Outstanding (unlimited authorized shares of $.01 par value) | 4,491,520 | 1,095,216 | 1,268,460 | 14,029,982 | |||||||||||||||
Net Asset Value Per Share | $ | 11.57 | $ | 9.72 | $ | 16.58 | $ | 12.94 | |||||||||||
Class Y Shares: | |||||||||||||||||||
Net Assets | $ | 121,152,319 | $ | 7,366,458 | $ | 24,711,679 | $ | 73,863,856 | |||||||||||
Shares Outstanding (unlimited authorized shares of $.01 par value) | 10,529,195 | 760,481 | 1,513,458 | 5,721,572 | |||||||||||||||
Net Asset Value Per Share | $ | 11.51 | $ | 9.69 | $ | 16.33 | $ | 12.91 |
† Includes securities loaned at value of $10,109,890, $31,415,146, $18,807,442, $2,876,467, respectively.
†† Includes foreign currency at value of $325,311, 139,890, $52,967, with cost of $324,180, $139,514, and $50,967, respectively.
## Premium received of $53,713.
See Notes to Financial Statements
154
Morgan Stanley Variable Investment Series
Financial Statements continued
Statements of Operations
For the six months ended June 30, 2008 (unaudited)
Money Market | Limited Duration | Income Plus | High Yield | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Income | |||||||||||||||||||
Interest | $ | 4,117,722 | $ | 2,384,469 | $ | 9,185,042 | $ | 2,087,444 | |||||||||||
Interest and dividends from affiliates | — | 221,816 | 262,005 | 11,539 | |||||||||||||||
Income from securities loaned - net | — | — | — | 2,590 | |||||||||||||||
Dividends† | — | — | — | — | |||||||||||||||
Total Income | 4,117,722 | 2,606,285 | 9,447,047 | 2,101,573 | |||||||||||||||
†Net of Foreign withholding tax | — | — | — | — | |||||||||||||||
Expenses | |||||||||||||||||||
Investment advisory fee | 501,460 | 175,057 | 701,604 | 89,435 | |||||||||||||||
Administration fee | 55,718 | 46,682 | 133,639 | 17,035 | |||||||||||||||
Distribution fee (Class Y shares) | 137,384 | 115,901 | 234,721 | 28,225 | |||||||||||||||
Professional fees | 28,944 | 16,397 | 25,144 | 219,302 | |||||||||||||||
Transfer agent fees and expenses | 250 | 250 | 250 | 250 | |||||||||||||||
Shareholder reports and notices | 13,821 | 9,354 | 18,674 | 6,832 | |||||||||||||||
Trustees' fees and expenses | 1,294 | 1,115 | 3,114 | 431 | |||||||||||||||
Registration fees | — | — | — | — | |||||||||||||||
Custodian fees | 12,322 | 21,218 | 20,056 | 11,344 | |||||||||||||||
Other | 9,300 | 11,583 | 20,392 | 8,235 | |||||||||||||||
Total Expenses | 760,493 | 397,557 | 1,157,594 | 381,089 | |||||||||||||||
Less: rebate from Morgan Stanley affiliated cash sweep (Note 4) | — | (6,376 | ) | (8,077 | ) | (371 | ) | ||||||||||||
Net Expenses | 760,493 | 391,181 | 1,149,517 | 380,718 | |||||||||||||||
Net Investment Income | 3,357,229 | 2,215,104 | 8,297,530 | 1,720,855 | |||||||||||||||
Realized and Unrealized Loss: | |||||||||||||||||||
Realized Gain (Loss) on: | |||||||||||||||||||
Investments | — | (2,330,055 | ) | 3,485,519 | (186,281 | ) | |||||||||||||
Futures contracts | — | 46,616 | (3,516,266 | ) | (45,998 | ) | |||||||||||||
Option contracts | — | — | — | — | |||||||||||||||
Swap contracts | — | 243,729 | (2,136,881 | ) | (16,160 | ) | |||||||||||||
Foreign exchange transactions | — | 89 | 660 | (36,499 | ) | ||||||||||||||
Net Realized Loss | — | (2,039,621 | ) | (2,166,968 | ) | (284,938 | ) | ||||||||||||
Change in Unrealized Appreciation/Depreciation on: | |||||||||||||||||||
Investments | — | (10,295,174 | ) | (16,386,622 | ) | (1,567,568 | ) | ||||||||||||
Investments in affiliates | — | (7,357 | ) | — | — | ||||||||||||||
Futures contracts | — | (46,341 | ) | (414,399 | ) | (31,789 | ) | ||||||||||||
Swap contracts | — | (102,487 | ) | 2,834,334 | (232,117 | ) | |||||||||||||
Option contracts | — | (567 | ) | — | — | ||||||||||||||
Translation of forward foreign currency contracts, other assets and liabilities denominated in foreign currencies | — | — | 2,533 | 2,129 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | — | (10,451,926 | ) | (13,964,134 | ) | (1,829,345 | ) | ||||||||||||
Net Loss | — | (12,491,547 | ) | (16,131,102 | ) | (2,114,283 | ) | ||||||||||||
Net Increase (Decrease) | $ | 3,357,229 | $ | (10,276,443 | ) | $ | (7,833,572 | ) | $ | (393,428 | ) |
See Notes to Financial Statements
155
Morgan Stanley Variable Investment Series
Financial Statements continued
Statements of Operations continued
For the six months ended June 30, 2008 (unaudited)
Utilities | Income Builder | Dividend Growth | Global Dividend Growth | European Equity | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Income | |||||||||||||||||||||||
Interest | — | $ | 423,585 | — | $ | 466 | $ | 608 | |||||||||||||||
Interest and dividends from affiliates | $ | 51,616 | 17,908 | $ | 212,351 | 17,059 | 16,624 | ||||||||||||||||
Income from securities loaned - net | 11,306 | — | — | 125,616 | 95,887 | ||||||||||||||||||
Dividends† | 1,922,468 | 538,747 | 4,173,417 | 3,646,894 | 3,655,206 | ||||||||||||||||||
Total Income | 1,985,390 | 980,240 | 4,385,768 | 3,790,035 | 3,768,325 | ||||||||||||||||||
†Net of Foreign withholding tax | (19,569 | ) | (17,592 | ) | (5,320 | ) | (258,271 | ) | (421,286 | ) | |||||||||||||
Expenses | |||||||||||||||||||||||
Investment advisory fee | 419,045 | 184,263 | 1,040,085 | 577,863 | 621,517 | ||||||||||||||||||
Administration fee | 58,813 | 22,001 | 168,512 | 68,999 | 57,151 | ||||||||||||||||||
Distribution fee (Class Y shares) | 35,014 | 37,366 | 127,409 | 69,935 | 42,790 | ||||||||||||||||||
Professional fees | 19,875 | 11,730 | 17,675 | 21,362 | 20,190 | ||||||||||||||||||
Transfer agent fees and expenses | 250 | 250 | 250 | 250 | 250 | ||||||||||||||||||
Shareholder reports and notices | 5,520 | 7,908 | 30,940 | 15,812 | 14,436 | ||||||||||||||||||
Trustees' fees and expenses | 1,365 | — | 4,782 | 1,727 | 1,407 | ||||||||||||||||||
Registration fees | — | — | 70 | 45 | — | ||||||||||||||||||
Custodian fees | 4,654 | 8,286 | 10,186 | 24,227 | 29,716 | ||||||||||||||||||
Other | 5,673 | 4,643 | 18,780 | 12,250 | 10,854 | ||||||||||||||||||
Total Expenses | 550,209 | 276,447 | 1,418,689 | 792,470 | 798,311 | ||||||||||||||||||
Less: rebate from Morgan Stanley affiliated cash sweep (Note 4) | (1,629 | ) | (708 | ) | (7,452 | ) | (617 | ) | (685 | ) | |||||||||||||
Less: waived/reimbursed | — | — | — | — | (40,502 | ) | |||||||||||||||||
Net Expenses | 548,580 | 275,739 | 1,411,237 | 791,853 | 757,124 | ||||||||||||||||||
Net Investment Income (Loss) | 1,436,810 | 704,501 | 2,974,531 | 2,998,182 | 3,011,201 | ||||||||||||||||||
Realized and Unrealized Gain (Loss): | |||||||||||||||||||||||
Realized Gain (Loss) on: | |||||||||||||||||||||||
Investments | 15,842,440 | 1,472,781 | 2,296,286 | 7,430,584 | 3,398,653 | ||||||||||||||||||
Investments in affiliates | — | — | (1,779,715 | ) | — | — | |||||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||||||
Option contracts | — | — | 180,271 | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Foreign exchange transactions | (15,849 | ) | (470 | ) | — | (59,429 | ) | (34,696 | ) | ||||||||||||||
Net Realized Gain | 15,826,591 | 1,472,311 | 696,842 | 7,371,155 | 3,363,957 | ||||||||||||||||||
Change in Unrealized Appreciation/Depreciation on: | |||||||||||||||||||||||
Investments | (24,961,927 | ) | (7,439,990 | ) | (54,553,314 | ) | (39,303,564 | ) | (28,336,333 | ) | |||||||||||||
Investments in affiliates | — | (17,958 | ) | (2,071,023 | ) | — | — | ||||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Option contracts | — | — | 41,755 | — | — | ||||||||||||||||||
Translation of forward foreign currency contracts, other assets and liabilities denominated in foreign currencies | (3 | ) | — | — | 2,746 | 12,058 | |||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (24,961,930 | ) | (7,457,948 | ) | (56,582,582 | ) | (39,300,818 | ) | (28,324,275 | ) | |||||||||||||
Net Loss | (9,135,339 | ) | (5,985,637 | ) | (55,885,740 | ) | (31,929,663 | ) | (24,960,318 | ) | |||||||||||||
Net Decrease | $ | (7,698,529 | ) | $ | (5,281,136 | ) | $ | (52,911,209 | ) | $ | (28,931,481 | ) | $ | (21,949,117 | ) |
See Notes to Financial Statements
156
Capital Opportunities | S&P 500 Index | Global Advantage | Aggressive Equity | Strategist | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Income | |||||||||||||||||||||||
Interest | — | — | — | — | $ | 1,640,476 | |||||||||||||||||
Interest and dividends from affiliates | $ | 353,255 | $ | 112,273 | $ | 2,693 | $ | 38,774 | 817,809 | ||||||||||||||
Income from securities loaned - net | — | — | — | — | 130,711 | ||||||||||||||||||
Dividends† | 412,378 | 1,916,241 | 179,495 | 51,184 | 1,476,365 | ||||||||||||||||||
Total Income | 765,633 | 2,028,514 | 182,188 | 89,958 | 4,065,361 | ||||||||||||||||||
†Net of Foreign withholding tax | (46,575 | ) | (111 | ) | (19,268 | ) | (5,908 | ) | (12,719 | ) | |||||||||||||
Expenses | |||||||||||||||||||||||
Investment advisory fee | 811,747 | 114,838 | 58,501 | 162,796 | 584,749 | ||||||||||||||||||
Administration fee | 154,619 | 76,559 | 8,211 | 19,438 | 111,381 | ||||||||||||||||||
Distribution fee (Class Y shares) | 117,985 | 167,259 | 10,557 | 32,736 | 101,400 | ||||||||||||||||||
Professional fees | 18,198 | 12,997 | 13,478 | 12,838 | 17,642 | ||||||||||||||||||
Transfer agent fees and expenses | 250 | 250 | 250 | 250 | 250 | ||||||||||||||||||
Shareholder reports and notices | 20,307 | 20,125 | 4,427 | 5,847 | 21,912 | ||||||||||||||||||
Trustees' fees and expenses | 3,407 | 1,869 | 206 | 367 | 2,637 | ||||||||||||||||||
Registration fees | — | — | — | — | — | ||||||||||||||||||
Custodian fees | 19,099 | 36,047 | 3,852 | 5,626 | 23,105 | ||||||||||||||||||
Other | 17,404 | 20,694 | 6,285 | 2,256 | 15,725 | ||||||||||||||||||
Total Expenses | 1,163,016 | 450,638 | 105,767 | 242,154 | 878,801 | ||||||||||||||||||
Less: rebate from Morgan Stanley affiliated cash sweep (Note 4) | (13,514 | ) | (1,605 | ) | (91 | ) | (1,540 | ) | (29,724 | ) | |||||||||||||
Less: waived/reimbursed | — | — | — | — | — | ||||||||||||||||||
Net Expenses | 1,149,502 | 449,033 | 105,676 | 240,614 | 849,077 | ||||||||||||||||||
Net Investment Income (Loss) | (383,869 | ) | 1,579,481 | 76,512 | (150,656 | ) | 3,216,284 | ||||||||||||||||
Realized and Unrealized Gain (Loss): | |||||||||||||||||||||||
Realized Gain (Loss) on: | |||||||||||||||||||||||
Investments | 11,433,308 | 3,354,859 | 824,577 | 2,355,361 | 4,259,283 | ||||||||||||||||||
Investments in affiliates | — | (149,731 | ) | — | — | 460,761 | |||||||||||||||||
Futures contracts | — | (9,553 | ) | — | — | 151,606 | |||||||||||||||||
Option contracts | — | — | — | — | (15,148 | ) | |||||||||||||||||
Swap contracts | — | — | — | — | 356,711 | ||||||||||||||||||
Foreign exchange transactions | (109,316 | ) | — | (6,869 | ) | (14,752 | ) | 90 | |||||||||||||||
Net Realized Gain | 11,323,992 | 3,195,575 | 817,708 | 2,340,609 | 5,213,303 | ||||||||||||||||||
Change in Unrealized Appreciation/Depreciation on: | |||||||||||||||||||||||
Investments | (38,479,826 | ) | (28,743,116 | ) | (5,046,256 | ) | (5,848,157 | ) | (28,559,184 | ) | |||||||||||||
Investments in affiliates | — | (1,356,710 | ) | — | — | (728,377 | ) | ||||||||||||||||
Futures contracts | — | (28,481 | ) | — | — | (86,418 | ) | ||||||||||||||||
Swap contracts | — | — | — | — | (190,668 | ) | |||||||||||||||||
Option contracts | — | — | — | — | 14,332 | ||||||||||||||||||
Translation of forward foreign currency contracts, other assets and liabilities denominated in foreign currencies | (4,218 | ) | — | 771 | 10 | — | |||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (38,484,044 | ) | (30,128,307 | ) | (5,045,485 | ) | (5,848,147 | ) | (29,550,315 | ) | |||||||||||||
Net Loss | (27,160,052 | ) | (26,932,732 | ) | (4,227,777 | ) | (3,507,538 | ) | (24,337,012 | ) | |||||||||||||
Net Decrease | $ | (27,543,921 | ) | $ | (25,353,251 | ) | $ | (4,151,265 | ) | $ | (3,658,194 | ) | $ | (21,120,728 | ) |
157
Morgan Stanley Variable Investment Series
Financial Statements continued
Statements of Changes in Net Assets
Money Market | Limited Duration | Income Plus | |||||||||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
Net investment income | $ | 3,357,229 | $ | 10,609,997 | $ | 2,215,104 | $ | 6,598,718 | $ | 8,297,530 | $ | 18,294,308 | |||||||||||||||
Net realized gain (loss) | — | (313,395 | ) | (2,039,621 | ) | (215,850 | ) | (2,166,968 | ) | (6,053,280 | ) | ||||||||||||||||
Net increase from payments by affiliate | — | 313,301 | — | — | — | — | |||||||||||||||||||||
Net change in unrealized appreciation/depreciation | — | — | (10,451,926 | ) | (2,429,695 | ) | (13,964,134 | ) | 8,671,654 | ||||||||||||||||||
Net Increase (Decrease) | 3,357,229 | 10,609,903 | (10,276,443 | ) | 3,953,173 | (7,833,572 | ) | 20,912,682 | |||||||||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||||||||||
Net investment income | |||||||||||||||||||||||||||
Class X Shares | (1,774,031 | ) | (5,857,356 | ) | (403,890 | ) | (1,566,053 | ) | (2,630,820 | ) | (8,970,194 | ) | |||||||||||||||
Class Y Shares | (1,583,146 | ) | (4,752,646 | ) | (1,470,642 | ) | (5,390,079 | ) | (3,227,663 | ) | (10,354,285 | ) | |||||||||||||||
Net realized gain | |||||||||||||||||||||||||||
Class X Shares | — | — | — | — | — | — | |||||||||||||||||||||
Class Y Shares | — | — | — | — | — | — | |||||||||||||||||||||
Paid-in-capital | |||||||||||||||||||||||||||
Class X Shares | — | — | — | — | — | (34,465 | ) | ||||||||||||||||||||
Class Y Shares | — | — | — | — | — | (39,783 | ) | ||||||||||||||||||||
Total Dividends and Distributions | (3,357,177 | ) | (10,610,002 | ) | (1,874,532 | ) | (6,956,132 | ) | (5,858,483 | ) | (19,398,727 | ) | |||||||||||||||
Net increase (decrease) from transactions in shares of beneficial interest | 3,264,914 | (21,984,382 | ) | (10,167,613 | ) | (18,581,228 | ) | (28,941,975 | ) | (43,135,641 | ) | ||||||||||||||||
Total Increase (Decrease) | 3,264,966 | (21,984,481 | ) | (22,318,588 | ) | (21,584,187 | ) | (42,634,030 | ) | (41,621,686 | ) | ||||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 213,001,530 | 234,986,011 | 127,280,318 | 148,864,505 | 352,652,861 | 394,274,547 | |||||||||||||||||||||
End of Period | $ | 216,266,496 | $ | 213,001,530 | $ | 104,961,730 | $ | 127,280,318 | $ | 310,018,831 | $ | 352,652,861 | |||||||||||||||
Accumulated Undistributed Net Investment Income (Loss) | $ | 236 | $ | 184 | $ | (129,063 | ) | $ | (469,635 | ) | $ | 421,619 | $ | (2,017,428 | ) |
See Notes to Financial Statements
158
High Yield | Utilities | ||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income | $ | 1,720,855 | $ | 3,353,174 | $ | 1,436,810 | $ | 3,235,117 | |||||||||||
Net realized gain (loss) | (284,938 | ) | 358,912 | 15,826,591 | 24,915,472 | ||||||||||||||
Net increase from payments by affiliate | — | — | — | — | |||||||||||||||
Net change in unrealized appreciation/depreciation | (1,829,345 | ) | (1,783,162 | ) | (24,961,930 | ) | 4,330,557 | ||||||||||||
Net Increase (Decrease) | (393,428 | ) | 1,928,924 | (7,698,529 | ) | 32,481,146 | |||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||
Net investment income | |||||||||||||||||||
Class X Shares | (437,442 | ) | (1,650,929 | ) | (647,409 | ) | (2,621,400 | ) | |||||||||||
Class Y Shares | (479,055 | ) | (1,782,057 | ) | (134,680 | ) | (539,363 | ) | |||||||||||
Net realized gain | |||||||||||||||||||
Class X Shares | — | — | (20,127,612 | ) | (14,149,868 | ) | |||||||||||||
Class Y Shares | — | — | (4,721,331 | ) | (3,381,848 | ) | |||||||||||||
Paid-in-capital | |||||||||||||||||||
Class X Shares | — | — | — | — | |||||||||||||||
Class Y Shares | — | — | — | — | |||||||||||||||
Total Dividends and Distributions | (916,497 | ) | (3,432,986 | ) | (25,631,032 | ) | (20,692,479 | ) | |||||||||||
Net increase (decrease) from transactions in shares of beneficial interest | (5,507,507 | ) | (11,109,031 | ) | 9,294,213 | (23,527,408 | ) | ||||||||||||
Total Increase (Decrease) | (6,817,432 | ) | (12,613,093 | ) | (24,035,348 | ) | (11,738,741 | ) | |||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 46,058,435 | 58,671,528 | 165,287,309 | 177,026,050 | |||||||||||||||
End of Period | $ | 39,241,003 | $ | 46,058,435 | $ | 141,251,961 | $ | 165,287,309 | |||||||||||
Accumulated Undistributed Net Investment Income (Loss) | $ | 979,598 | $ | 175,240 | $ | 740,080 | $ | 85,359 |
159
Morgan Stanley Variable Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
Income Builder | Dividend Growth | Global Dividend Growth | |||||||||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 704,501 | $ | 1,599,645 | $ | 2,974,531 | $ | 6,718,615 | $ | 2,998,182 | $ | 3,736,431 | |||||||||||||||
Net realized gain | 1,472,311 | 7,523,988 | 696,842 | 37,372,262 | 7,371,155 | 29,928,753 | |||||||||||||||||||||
Net change in unrealized appreciation/depreciation | (7,457,948 | ) | (6,480,513 | ) | (56,582,582 | ) | (18,261,968 | ) | (39,300,818 | ) | (17,322,433 | ) | |||||||||||||||
Net Increase (Decrease) | (5,281,136 | ) | 2,643,120 | (52,911,209 | ) | 25,828,909 | (28,931,481 | ) | 16,342,751 | ||||||||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||||||||||
Net investment income | |||||||||||||||||||||||||||
Class X Shares | (176,967 | ) | (878,041 | ) | (1,348,818 | ) | (5,284,397 | ) | (2,855,985 | ) | (2,966,972 | ) | |||||||||||||||
Class Y Shares | (191,122 | ) | (1,027,306 | ) | (367,487 | ) | (1,300,040 | ) | (1,205,443 | ) | (1,236,384 | ) | |||||||||||||||
Net realized gain | |||||||||||||||||||||||||||
Class X Shares | (3,462,207 | ) | (1,847,133 | ) | — | — | (19,931,632 | ) | (15,490,669 | ) | |||||||||||||||||
Class Y Shares | (4,034,192 | ) | (2,399,198 | ) | — | — | (9,677,542 | ) | (7,384,714 | ) | |||||||||||||||||
Total Dividends and Distributions | (7,864,488 | ) | (6,151,678 | ) | (1,716,305 | ) | (6,584,437 | ) | (33,670,602 | ) | (27,078,739 | ) | |||||||||||||||
Net increase (decrease) from transactions in shares of beneficial interest | (1,294,488 | ) | (14,096,132 | ) | (50,077,954 | ) | (142,827,304 | ) | 11,843,726 | (28,017,578 | ) | ||||||||||||||||
Total Decrease | (14,440,112 | ) | (17,604,690 | ) | (104,705,468 | ) | (123,582,832 | ) | (50,758,357 | ) | (38,753,566 | ) | |||||||||||||||
Net Assets: | |||||||||||||||||||||||||||
Beginning of period | 62,961,470 | 80,566,160 | 485,007,974 | 608,590,806 | 201,859,162 | 240,612,728 | |||||||||||||||||||||
End of Period | $ | 48,521,358 | $ | 62,961,470 | $ | 380,302,506 | $ | 485,007,974 | $ | 151,100,805 | $ | 201,859,162 | |||||||||||||||
Accumulated Undistributed Net Investment Income (Loss) | $ | 16,468 | $ | (319,944 | ) | $ | 1,419,054 | $ | 160,828 | $ | 3,048,899 | $ | 4,112,145 |
See Notes to Financial Statements
160
European Equity | Capital Opportunities | ||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 3,011,201 | $ | 2,992,513 | $ | (383,869 | ) | $ | 2,791,786 | ||||||||||
Net realized gain | 3,363,957 | 24,212,838 | 11,323,992 | 68,769,661 | |||||||||||||||
Net change in unrealized appreciation/depreciation | (28,324,275 | ) | (968,549 | ) | (38,484,044 | ) | 12,242,224 | ||||||||||||
Net Increase (Decrease) | (21,949,117 | ) | 26,236,802 | (27,543,921 | ) | 83,803,671 | |||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||
Net investment income | |||||||||||||||||||
Class X Shares | (2,413,005 | ) | (2,252,570 | ) | (635,044 | ) | (1,859,792 | ) | |||||||||||
Class Y Shares | (642,298 | ) | (633,844 | ) | (146,796 | ) | (138,094 | ) | |||||||||||
Net realized gain | |||||||||||||||||||
Class X Shares | (16,690,917 | ) | — | — | — | ||||||||||||||
Class Y Shares | (5,203,748 | ) | — | — | — | ||||||||||||||
Total Dividends and Distributions | (24,949,968 | ) | (2,886,414 | ) | (781,840 | ) | (1,997,886 | ) | |||||||||||
Net increase (decrease) from transactions in shares of beneficial interest | 8,230,473 | (43,195,990 | ) | (43,540,512 | ) | (127,317,765 | ) | ||||||||||||
Total Decrease | (38,668,612 | ) | (19,845,602 | ) | (71,866,273 | ) | (45,511,980 | ) | |||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 167,791,663 | 187,637,265 | 438,952,685 | 484,464,665 | |||||||||||||||
End of Period | $ | 129,123,051 | $ | 167,791,663 | $ | 367,086,412 | $ | 438,952,685 | |||||||||||
Accumulated Undistributed Net Investment Income (Loss) | $ | 3,008,193 | $ | 3,052,295 | $ | (481,671 | ) | $ | 684,038 |
161
Morgan Stanley Variable Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
S&P 500 Index | Global Advantage | ||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | 1,579,481 | $ | 3,781,861 | $ | 76,512 | $ | 150,279 | |||||||||||
Net realized gain | 3,195,575 | 10,277,890 | 817,708 | 1,136,276 | |||||||||||||||
Net change in unrealized appreciation/depreciation | (30,128,307 | ) | (722,443 | ) | (5,045,485 | ) | 2,923,040 | ||||||||||||
Net Increase (Decrease) | (25,353,251 | ) | 13,337,308 | (4,151,265 | ) | 4,209,595 | |||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||
Net investment income | |||||||||||||||||||
Class X Shares | (1,233,419 | ) | (1,371,058 | ) | (116,591 | ) | (145,628 | ) | |||||||||||
Class Y Shares | (2,473,396 | ) | (2,631,171 | ) | (53,683 | ) | (71,553 | ) | |||||||||||
Net realized gain | |||||||||||||||||||
Class X Shares | — | — | — | — | |||||||||||||||
Class Y Shares | — | — | — | — | |||||||||||||||
Total Dividends and Distributions | (3,706,815 | ) | (4,002,229 | ) | (170,274 | ) | (217,181 | ) | |||||||||||
Net decrease from transactions in shares of beneficial interest | (17,077,124 | ) | (51,503,824 | ) | (2,639,884 | ) | (6,929,711 | ) | |||||||||||
Total Decrease | (46,137,190 | ) | (42,168,745 | ) | (6,961,423 | ) | (2,937,297 | ) | |||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 219,259,296 | 261,428,041 | 24,969,997 | 27,907,294 | |||||||||||||||
End of Period | $ | 173,122,106 | $ | 219,259,296 | $ | 18,008,574 | $ | 24,969,997 | |||||||||||
Accumulated Undistributed Net Investment Income (Loss) | $ | 1,621,641 | $ | 3,748,975 | $ | 73,653 | $ | 167,415 |
See Notes to Financial Statements
162
Aggressive Equity | Strategist | ||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Increase (Decrease) in Net Assets: | |||||||||||||||||||
Operations: | |||||||||||||||||||
Net investment income (loss) | $ | (150,656 | ) | $ | 123,592 | $ | 3,216,284 | $ | 9,353,018 | ||||||||||
Net realized gain | 2,340,609 | 11,466,164 | 5,213,303 | 25,084,270 | |||||||||||||||
Net change in unrealized appreciation/depreciation | (5,848,147 | ) | (898,884 | ) | (29,557,990 | ) | (6,170,274 | ) | |||||||||||
Net Increase (Decrease) | (3,658,194 | ) | 10,690,872 | (21,128,403 | ) | 28,267,014 | |||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||
Net investment income | |||||||||||||||||||
Class X Shares | (40,786 | ) | — | (1,351,632 | ) | (6,516,159 | ) | ||||||||||||
Class Y Shares | — | — | (508,281 | ) | (2,403,373 | ) | |||||||||||||
Net realized gain | |||||||||||||||||||
Class X Shares | — | — | (17,621,031 | ) | (26,239,176 | ) | |||||||||||||
Class Y Shares | — | — | (7,191,473 | ) | (10,632,273 | ) | |||||||||||||
Total Dividends and Distributions | (40,786 | ) | — | (26,672,417 | ) | (45,790,981 | ) | ||||||||||||
Net decrease from transactions in shares of beneficial interest | (6,427,363 | ) | (17,577,948 | ) | (2,702,585 | ) | (36,602,060 | ) | |||||||||||
Total Decrease | (10,126,343 | ) | (6,887,076 | ) | (50,503,405 | ) | (54,126,027 | ) | |||||||||||
Net Assets: | |||||||||||||||||||
Beginning of period | 55,871,656 | 62,758,732 | 305,915,957 | 360,041,984 | |||||||||||||||
End of Period | $ | 45,745,313 | $ | 55,871,656 | $ | 255,412,552 | $ | 305,915,957 | |||||||||||
Accumulated Undistributed Net Investment Income (Loss) | $ | (81,883 | ) | $ | 109,559 | $ | 1,720,941 | $ | 364,570 |
163
Morgan Stanley Variable Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
Summary of Transactions in Shares of Beneficial Interest
Money Market | Limited Duration | Income Plus | |||||||||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||
Class X Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 22,281,250 | 78,177,992 | 167,168 | 507,726 | 244,690 | 2,023,873 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 1,774,031 | 5,857,357 | 45,466 | 166,056 | 251,075 | 861,166 | |||||||||||||||||||||
Redeemed | (24,142,255 | ) | (105,247,574 | ) | (512,886 | ) | (1,434,868 | ) | (1,889,072 | ) | (5,591,286 | ) | |||||||||||||||
Net Increase (Decrease) - Class X | (86,974 | ) | (21,212,225 | ) | (300,252 | ) | (761,086 | ) | (1,393,307 | ) | (2,706,247 | ) | |||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 22,281,250 | $ | 78,177,992 | $ | 1,542,686 | $ | 4,805,745 | $ | 2,598,801 | $ | 21,196,799 | |||||||||||||||
Reinvestment of dividends and distributions | 1,774,031 | 5,857,357 | 403,890 | 1,566,053 | 2,630,820 | 9,004,659 | |||||||||||||||||||||
Redeemed | (24,142,255 | ) | (105,247,574 | ) | (4,494,836 | ) | (13,579,613 | ) | (19,700,391 | ) | (58,516,308 | ) | |||||||||||||||
Net Increase (Decrease) - Class X | $ | (86,974 | ) | $ | (21,212,225 | ) | $ | (2,548,260 | ) | $ | (7,207,815 | ) | $ | (14,470,770 | ) | $ | (28,314,850 | ) | |||||||||
Class Y Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 32,995,918 | 83,425,440 | 335,146 | 1,289,909 | 515,942 | 2,141,895 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 1,583,146 | 4,752,647 | 165,939 | 572,447 | 308,624 | 995,763 | |||||||||||||||||||||
Redeemed | (31,227,176 | ) | (88,950,244 | ) | (1,378,468 | ) | (3,064,843 | ) | (2,231,206 | ) | (4,548,984 | ) | |||||||||||||||
Net Increase (Decrease) - Class Y | 3,351,888 | (772,157 | ) | (877,383 | ) | (1,202,487 | ) | (1,406,640 | ) | (1,411,326 | ) | ||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 32,995,918 | $ | 83,425,440 | $ | 3,096,016 | $ | 12,179,211 | $ | 5,490,828 | $ | 22,336,238 | |||||||||||||||
Reinvestment of dividends and distributions | 1,583,146 | 4,752,647 | 1,470,642 | 5,390,079 | 3,227,663 | 10,394,068 | |||||||||||||||||||||
Redeemed | (31,227,176 | ) | (88,950,244 | ) | (12,186,011 | ) | (28,942,703 | ) | (23,189,696 | ) | (47,551,097 | ) | |||||||||||||||
Net Increase (Decrease) - Class Y | $ | 3,351,888 | $ | (772,157 | ) | $ | (7,619,353 | ) | $ | (11,373,413 | ) | $ | (14,471,205 | ) | $ | (14,820,791 | ) |
See Notes to Financial Statements
164
High Yield | Utilities | ||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Class X Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 288,618 | 2,632,195 | 108,236 | 525,300 | |||||||||||||||
Reinvestment of dividends and distributions | 394,745 | 1,431,218 | 1,279,897 | 856,257 | |||||||||||||||
Redeemed | (2,754,051 | ) | (8,871,647 | ) | (775,125 | ) | (2,259,575 | ) | |||||||||||
Net Increase (Decrease) - Class X | (2,070,688 | ) | (4,808,234 | ) | 613,008 | (878,018 | ) | ||||||||||||
Amount | |||||||||||||||||||
Sold | $ | 320,693 | $ | 3,059,133 | $ | 2,134,193 | $ | 10,749,137 | |||||||||||
Reinvestment of dividends and distributions | 437,442 | 1,650,929 | 20,775,021 | 16,771,268 | |||||||||||||||
Redeemed | (3,062,502 | ) | (10,290,099 | ) | (15,036,317 | ) | (46,307,644 | ) | |||||||||||
Net Increase (Decrease) - Class X | $ | (2,304,367 | ) | $ | (5,580,037 | ) | $ | 7,872,897 | $ | (18,787,239 | ) | ||||||||
Class Y Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 129,688 | 1,392,635 | 28,091 | 185,627 | |||||||||||||||
Reinvestment of dividends and distributions | 430,638 | 1,543,844 | 299,658 | 200,450 | |||||||||||||||
Redeemed | (3,437,359 | ) | (7,702,635 | ) | (206,277 | ) | (612,242 | ) | |||||||||||
Net Increase (Decrease) - Class Y | (2,877,033 | ) | (4,766,156 | ) | 121,472 | (226,165 | ) | ||||||||||||
Amount | |||||||||||||||||||
Sold | $ | 144,476 | $ | 1,616,253 | $ | 553,799 | $ | 3,780,195 | |||||||||||
Reinvestment of dividends and distributions | 479,055 | 1,782,057 | 4,856,011 | 3,921,211 | |||||||||||||||
Redeemed | (3,826,671 | ) | (8,927,304 | ) | (3,988,494 | ) | (12,441,575 | ) | |||||||||||
Net Increase (Decrease) - Class Y | $ | (3,203,140 | ) | $ | (5,528,994 | ) | $ | 1,421,316 | $ | (4,740,169 | ) |
165
Morgan Stanley Variable Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
Summary of Transactions in Shares of Beneficial Interest
Income Builder | Dividend Growth | Global Dividend Growth | |||||||||||||||||||||||||
For The Six months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | |||||||||||||||||||||||||
Class X Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 36,990 | 243,868 | 165,004 | 1,621,444 | 64,313 | 637,149 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 367,205 | 204,327 | 87,699 | 307,269 | 2,049,246 | 1,059,566 | |||||||||||||||||||||
Redeemed | (317,787 | ) | (840,522 | ) | (2,733,678 | ) | (8,789,956 | ) | (1,028,065 | ) | (2,918,093 | ) | |||||||||||||||
Net Increase (Decrease) - Class X | 86,408 | (392,327 | ) | (2,480,975 | ) | (6,861,243 | ) | 1,085,494 | (1,221,378 | ) | |||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 455,756 | $ | 3,273,568 | $ | 2,665,473 | $ | 27,873,604 | $ | 1,014,560 | $ | 11,256,989 | |||||||||||||||
Reinvestment of dividends and distributions | 3,639,174 | 2,725,175 | 1,348,818 | 5,284,397 | 22,787,617 | 18,457,641 | |||||||||||||||||||||
Redeemed | (3,871,105 | ) | (11,387,330 | ) | (43,249,518 | ) | (151,292,748 | ) | (15,927,965 | ) | (51,997,174 | ) | |||||||||||||||
Net Increase (Decrease) - Class X | $ | 223,825 | $ | (5,388,587 | ) | $ | (39,235,227 | ) | $ | (118,134,747 | ) | $ | 7,874,212 | $ | (22,282,544 | ) | |||||||||||
Class Y Shares | |||||||||||||||||||||||||||
Shares | |||||||||||||||||||||||||||
Sold | 47,883 | 198,850 | 26,622 | 382,904 | 33,734 | 401,943 | |||||||||||||||||||||
Reinvestment of dividends and distributions | 427,890 | 257,429 | 23,925 | 75,671 | 987,567 | 499,195 | |||||||||||||||||||||
Redeemed | (521,513 | ) | (1,095,071 | ) | (738,039 | ) | (1,889,523 | ) | (486,031 | ) | (1,221,565 | ) | |||||||||||||||
Net Increase (Decrease) - Class Y | (45,740 | ) | (638,792 | ) | (687,492 | ) | (1,430,948 | ) | 535,270 | (320,427 | ) | ||||||||||||||||
Amount | |||||||||||||||||||||||||||
Sold | $ | 588,843 | $ | 2,695,093 | $ | 426,276 | $ | 6,572,615 | $ | 515,927 | $ | 7,167,812 | |||||||||||||||
Reinvestment of dividends and distributions | 4,225,314 | 3,426,503 | 367,487 | 1,300,040 | 10,882,985 | 8,621,098 | |||||||||||||||||||||
Redeemed | (6,332,470 | ) | (14,829,141 | ) | (11,636,490 | ) | (32,565,212 | ) | (7,429,398 | ) | (21,523,944 | ) | |||||||||||||||
Net Increase (Decrease) - Class Y | $ | (1,518,313 | ) | $ | (8,707,545 | ) | $ | (10,842,727 | ) | $ | (24,692,557 | ) | $ | 3,969,514 | $ | (5,735,034 | ) |
See Notes to Financial Statements
166
European Equity | Capital Opportunities | ||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Class X Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 31,922 | 373,538 | 65,636 | 647,037 | |||||||||||||||
Reinvestment of dividends and distributions | 950,444 | 80,134 | 20,244 | 55,328 | |||||||||||||||
Redeemed | (485,071 | ) | (1,649,624 | ) | (1,044,217 | ) | (3,813,964 | ) | |||||||||||
Net Increase (Decrease) - Class X | 497,295 | (1,195,952 | ) | (958,337 | ) | (3,111,599 | ) | ||||||||||||
Amount | |||||||||||||||||||
Sold | $ | 829,489 | $ | 10,254,961 | $ | 2,125,165 | $ | 21,275,599 | |||||||||||
Reinvestment of dividends and distributions | 19,103,922 | 2,252,571 | 635,044 | 1,859,792 | |||||||||||||||
Redeemed | (12,676,017 | ) | (45,082,566 | ) | (34,367,397 | ) | (124,621,806 | ) | |||||||||||
Net Increase (Decrease) - Class X | $ | 7,257,394 | $ | (32,575,034 | ) | $ | (31,607,188 | ) | $ | (101,486,415 | ) | ||||||||
Class Y Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 10,124 | 105,539 | 67,166 | 205,380 | |||||||||||||||
Reinvestment of dividends and distributions | 292,156 | 22,662 | 4,703 | 3,942 | |||||||||||||||
Redeemed | (197,584 | ) | (518,643 | ) | (437,335 | ) | (999,992 | ) | |||||||||||
Net Increase (Decrease) - Class Y | 104,696 | (390,442 | ) | (365,466 | ) | (790,670 | ) | ||||||||||||
Amount | |||||||||||||||||||
Sold | $ | 271,757 | $ | 2,891,627 | $ | 2,141,055 | $ | 6,718,447 | |||||||||||
Reinvestment of dividends and distributions | 5,846,046 | 633,844 | 146,796 | 138,094 | |||||||||||||||
Redeemed | (5,144,724 | ) | (14,146,426 | ) | (14,221,175 | ) | (32,687,891 | ) | |||||||||||
Net Increase (Decrease) - Class Y | $ | 973,079 | $ | (10,620,955 | ) | $ | (11,933,324 | ) | $ | (25,831,350 | ) |
167
Morgan Stanley Variable Investment Series
Financial Statements continued
Statements of Changes in Net Assets continued
Summary of Transactions in Shares of Beneficial Interest
S&P 500 Index | Global Advantage | ||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Class X Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 82,901 | 628,816 | 54,787 | 173,049 | |||||||||||||||
Reinvestment of dividends and distributions | 106,605 | 100,370 | 11,995 | 12,956 | |||||||||||||||
Redeemed | (620,350 | ) | (2,302,191 | ) | (212,050 | ) | (618,917 | ) | |||||||||||
Net Increase (Decrease) - Class X | (430,844 | ) | (1,573,005 | ) | (145,268 | ) | (432,912 | ) | |||||||||||
Amount | |||||||||||||||||||
Sold | $ | 1,047,493 | $ | 8,483,315 | $ | 575,584 | $ | 1,944,469 | |||||||||||
Reinvestment of dividends and distributions | 1,233,419 | 1,371,058 | 116,591 | 145,628 | |||||||||||||||
Redeemed | �� | (7,750,377 | ) | (31,154,539 | ) | (2,239,040 | ) | (6,917,578 | ) | ||||||||||
Net Decrease - Class X | $ | (5,469,465 | ) | $ | (21,300,166 | ) | $ | (1,546,865 | ) | $ | (4,827,481 | ) | |||||||
Class Y Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 159,193 | 737,259 | 32,321 | 69,686 | |||||||||||||||
Reinvestment of dividends and distributions | 214,891 | 193,896 | 5,546 | 6,389 | |||||||||||||||
Redeemed | (1,295,137 | ) | (3,174,327 | ) | (143,889 | ) | (266,423 | ) | |||||||||||
Net Increase (Decrease) - Class Y | (921,053 | ) | (2,243,172 | ) | (106,022 | ) | (190,348 | ) | |||||||||||
Amount | |||||||||||||||||||
Sold | $ | 1,986,278 | $ | 9,857,520 | $ | 348,206 | $ | 794,956 | |||||||||||
Reinvestment of dividends and distributions | 2,473,396 | 2,631,171 | 53,683 | 71,553 | |||||||||||||||
Redeemed | (16,067,333 | ) | (42,692,349 | ) | (1,494,908 | ) | (2,968,739 | ) | |||||||||||
Net Decrease - Class Y | $ | (11,607,659 | ) | $ | (30,203,658 | ) | $ | (1,093,019 | ) | $ | (2,102,230 | ) |
See Notes to Financial Statements
168
Aggressive Equity | Strategist | ||||||||||||||||||
For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | For The Six Months Ended June 30, 2008 | For The Year Ended December 31, 2007 | ||||||||||||||||
(unaudited) | (unaudited) | ||||||||||||||||||
Class X Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 19,891 | 136,153 | 231,710 | 1,061,523 | |||||||||||||||
Reinvestment of dividends and distributions | 2,460 | — | 1,454,772 | 2,112,775 | |||||||||||||||
Redeemed | (218,932 | ) | (739,389 | ) | (1,628,036 | ) | (4,818,917 | ) | |||||||||||
Net Increase (Decrease) - Class X | (196,581 | ) | (603,236 | ) | 58,446 | (1,644,619 | ) | ||||||||||||
Amount | |||||||||||||||||||
Sold | $ | 329,126 | $ | 2,266,135 | $ | 3,484,452 | $ | 17,359,396 | |||||||||||
Reinvestment of dividends and distributions | 40,786 | — | 18,972,663 | 32,755,335 | |||||||||||||||
Redeemed | (3,621,998 | ) | (12,096,302 | ) | (24,272,814 | ) | (78,618,026 | ) | |||||||||||
Net Decrease - Class X | $ | (3,252,086 | ) | $ | (9,830,167 | ) | $ | (1,815,699 | ) | $ | (28,503,295 | ) | |||||||
Class Y Shares | |||||||||||||||||||
Shares | |||||||||||||||||||
Sold | 27,077 | 186,518 | 135,362 | 441,792 | |||||||||||||||
Reinvestment of dividends and distributions | — | — | 592,076 | 842,764 | |||||||||||||||
Redeemed | (219,905 | ) | (666,959 | ) | (715,794 | ) | (1,745,721 | ) | |||||||||||
Net Increase (Decrease) - Class Y | (192,828 | ) | (480,441 | ) | 11,644 | (461,165 | ) | ||||||||||||
Amount | |||||||||||||||||||
Sold | $ | 439,261 | $ | 3,026,234 | $ | 2,027,556 | $ | 7,210,062 | |||||||||||
Reinvestment of dividends and distributions | — | — | 7,699,754 | 13,035,646 | |||||||||||||||
Redeemed | (3,614,538 | ) | (10,774,015 | ) | (10,614,196 | ) | (28,345,473 | ) | |||||||||||
Net Decrease - Class Y | $ | (3,175,277 | ) | $ | (7,747,781 | ) | $ | (886,886 | ) | $ | (8,099,765 | ) |
169
Morgan Stanley Variable Investment Series
Notes to Financial Statements n June 30, 2008 (unaudited)
1. Organization and Accounting Policies
Morgan Stanley Variable Investment Series (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 is offered exclusively to life insurance companies in connection with particular life insurance and/or annuity contracts they offer.
The Fund, organized on February 25, 1983 as a Massachusetts business trust, consists of fourteen Portfolios ("Portfolios") which commenced operations as follows:
PORTFOLIO | COMMENCEMENT OF OPERATIONS | PORTFOLIO | COMMENCEMENT OF OPERATIONS | ||||||||||||
Money Market | March 9, 1984 | Global Dividend Growth | February 23, 1994 | ||||||||||||
Limited Duration | May 4, 1999 | European Equity | March 1, 1991 | ||||||||||||
Income Plus | March 1, 1987 | Capital Opportunities | March 9, 1984 | ||||||||||||
High Yield | March 9, 1984 | S&P 500 Index | May 18, 1998 | ||||||||||||
Utilities | March 1, 1990 | Global Advantage | May 18, 1998 | ||||||||||||
Income Builder | January 21, 1997 | Aggressive Equity | May 4, 1999 | ||||||||||||
Dividend Growth | March 1, 1990 | Strategist | March 1, 1987 | ||||||||||||
On June 5, 2000, the Fund commenced offering one additional class of shares (Class Y shares). The two classes are identical except that Class Y shares incur distribution expenses. Class X shares are generally available to holders of contracts offered by Metropolitan Life Insurance Company and other contracts offered before May 1, 2000. Class Y shares are available to holders of contracts offered on or after June 5, 2000.
The investment objectives of each Portfolio are as follows:
PORTFOLIO | INVESTMENT OBJECTIVE | ||||||
Money Market | Seeks high current income, preservation of capital and liquidity. | ||||||
Limited Duration | Seeks to provide a high level of current income consistent with the preservation of capital. | ||||||
Income Plus | Seeks, as its primary objective, to provide a high level of current income and, as a secondary objective, capital appreciation, but only when consistent with its primary objective. | ||||||
High Yield | Seeks, as its primary objective, to provide a high level of current income and, as a secondary objective, capital appreciation, but only when consistent with its primary objective. | ||||||
Utilities | Seeks both capital appreciation and current income . | ||||||
Income Builder | Seeks, as its primary objective, to earn reasonable income and, as a secondary objective, growth of capital. | ||||||
Dividend Growth | Seeks to provide reasonable current income and long-term growth of income and capital. | ||||||
170
Morgan Stanley Variable Investment Series
Notes to Financial Statements n June 30, 2008 (unaudited) continued
PORTFOLIO | INVESTMENT OBJECTIVE | ||||||
Global Dividend | Seeks to provide reasonable current income and long-term growth of income and capital. Growth | ||||||
European Equity | Seeks to maximize the capital appreciation of its investments. | ||||||
Capital Opportunities* (Formerly Equity) | Seeks, as its primary objective, growth of capital and, as a secondary objective, income, but only when consistent with its primary objective. | ||||||
S&P 500 Index | Seeks to provide investment results that, before expenses, correspond to the total return of the Standards & Poor's 500® Composite Stock Price Index. | ||||||
Global Advantage | Seeks long-term capital growth. | ||||||
Aggressive Equity | Seeks long-term capital growth. | ||||||
Strategist | Seeks a high total investment return. | ||||||
* Name Change effective May 1, 2008.
The following is a summary of significant accounting policies:
A. Valuation of Investments — Money Market: Portfolio securities are valued at amortized cost which approximates market value, in accordance with Rule 2a-7 under the Act. All remaining Portfolios: (1) an equity portfolio security listed or traded on the New York Stock Exchange ("NYSE") or American Stock Exchange, or other exchange is valued at its latest sale price, prior to the time when assets are valued; if there were no sales that day, the security is valued at the mean between the last reported bid and asked price; (2) an equity portfolio security listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price; if there were no sales that day, the security is valued at the mean between the last reported bid and asked price; (3) all other portfolio securities for which over-the-counter market quotations are readily available are valued at the mean between the last reported bid and asked price. In cases where a security is traded on more than one exchange, the security is valued on the exchange designated as the primary market; (4) credit default/interest rate swaps are marked-to-market daily based upon quotations from market makers; (5) for equity securities traded on foreign exchanges, the last reported sale price or the latest bid price may be used if there were no sales on a particular day; (6) listed options are valued at the latest sale price on the exchange on which they are listed unless no sales of such options have taken place that day, in which case they are valued at the mean between their latest bid and asked price; (7) futures are valued at the latest price published by the commodities exchange on which they trade; (8) when market quotations are not readily available, Morgan Stanley Investment Advisors Inc. (the "Investment Adviser") (and/or, in the case of Global Dividend Growth, European Equity and (effective June 30 , 2008) Utilities, Morgan Stanley Investment Management Limited, (the "Sub Adviser")) determines that the latest sale price, the bid price or the mean
171
Morgan Stanley Variable Investment Series
Notes to Financial Statements n June 30, 2008 (unaudited) continued
between the last reported bid and asked price do not reflect a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuation of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the NYSE. If developments occur during such periods that are expected to materially affect the value of such securities, such valuation may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Fund's Trustees or by the Investment Adviser using a pricing service and/or procedures approved by the Trustees of the Fund; (9) certain of the Fun d's portfolio securities may be valued by an outside pricing service approved by the Trustees; (10) investments in open-end mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day; and (11) short-term debt securities having a maturity date of more than sixty days at the time of purchase are valued on a mark-to-market basis until sixty days prior to maturity and thereafter at amortized cost based on their value on the 61st day. Short-term debt securities having a maturity date of sixty days or less at the time of purchase are valued at amortized cost.
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. Dividend income and other distributions are recorded on the ex-dividend date except for certain dividends on foreign securities which are recorded as soon as the Fund is informed after the ex-dividend date. Interest income is accrued daily except where collection is not expected. The Fund amortizes premiums and accretes discounts over the life of the respective securities.
C. Repurchase Agreements — The Fund may invest 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.
D. Multiple Class Allocations — Investment income, expenses (other than distribution fees), and realized and unrealized gains and losses are allocated to each class of shares based upon the relative net asset value on the date such items are recognized. Distribution fees are charged directly to the respective class.
E. Options — When the Fund writes a call or put option, an amount equal to the premium received is included in the Fund's Statements of Assets and Liabilities as a liability which is subsequently marked-to-market to reflect the current market value of the option written. If a written option either expires or the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss without regard to any unrealized gain or loss on the underlying security or currency and the liability related to such option is extinguished.
172
Morgan Stanley Variable Investment Series
Notes to Financial Statements n June 30, 2008 (unaudited) continued
If a written call option is exercised, the Fund realizes a gain or loss from the sale of the underlying security and or currency and the proceeds from such sale are increased by the premium originally received. If a written put option is exercised, the amount of the premium originally received reduces the cost of the security which the Fund purchases upon exercise of the option. By writing a covered call option, the Fund, in exchange for the premium, foregoes the opportunity for capital appreciation above the exercise price, should the market price of the underlying security increase. By writing a put option, the Fund, in exchange for the premium, accepts the risk of having to purchase a security at an exercise price that is above the current market price.
When the Fund purchases a call or put option, the premium paid is recorded as an investment which and is subsequently marked-to-market to reflect the current market value. If a purchased option expires, the Fund will realize a loss to the extent of the premium paid. If the Fund enters into a closing sale transaction, a gain or loss is realized for the difference between the proceeds from the sale and the cost of the option. If a put option is exercised, the cost of the security or currency sold upon exercise will be increased by the premium originally paid. If a call option is exercised, the cost of the security purchased upon exercise will be increased by the premium originally paid. The maximum exposure to loss for any purchased option is limited to the premium initially paid for the option.
LIMITED DURATION | CONTRACT AMOUNT | PREMIUM | |||||||||
Options written, outstanding at beginning of the period | — | — | |||||||||
Options written | 107 | $ | 53,217 | ||||||||
Options exercised | — | — | |||||||||
Options expired | — | — | |||||||||
Options written, outstanding at end of period | 107 | $ | 53,217 | ||||||||
DIVIDEND GROWTH | CONTRACT AMOUNT | PREMIUM | |||||||||
Options written, outstanding at beginning of the period | 613 | $ | 40,685 | ||||||||
Options written | 3,126 | 215,968 | |||||||||
Options exercised | (508 | ) | (40,834 | ) | |||||||
Options expired | (3,231 | ) | (215,819 | ) | |||||||
Options written, outstanding at end of period | — | $ | — |
173
Morgan Stanley Variable Investment Series
Notes to Financial Statements n June 30, 2008 (unaudited) continued
DIVIDEND GROWTH | CONTRACT AMOUNT | PREMIUM | |||||||||
Put options written, outstanding at beginning of the period | — | — | |||||||||
Put options purchased | 372 | $ | 35,548 | ||||||||
Put options exercised | — | — | |||||||||
Put options expired | (372 | ) | (35,548 | ) | |||||||
Put options purchased, outstanding at end of period | — | $ | — | ||||||||
STRATEGIST | CONTRACT AMOUNT | PREMIUM | |||||||||
Options written, outstanding at beginning of the period | — | — | |||||||||
Options written | 108 | $ | 53,714 | ||||||||
Options exercised | — | — | |||||||||
Options expired | — | — | |||||||||
Options written, outstanding at end of period | 108 | $ | 53,714 |
F. Futures Contracts — A futures contract is an agreement between two parties to buy and sell financial instruments or contracts based on financial indices at a set price on a future date. Upon entering into such a contract, the Fund is required to pledge to the broker cash, U.S. Government securities or other liquid portfolio securities equal to the minimum initial margin requirements of the applicable futures exchange. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments known as variation margin are recorded by the Fund as unrealized gains or losses. Upon closing of the contract, the Fund realizes a 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.
G. Foreign Currency Translation and Forward Foreign Currency Contracts — The books and records of the Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, other assets and liabilities and forward foreign currency contracts ("forward contracts") are translated at the exchange rates prevailing at the end of the period; and (2) purchases, sales, income and expenses are translated at the exchange rates prevailing on the respective dates of such transactions. The resultant exchange gains and losses are recorded as realized and unrealized gain/loss on foreign exchange transactions. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains/losses included in realized and unrealized gain/loss are included in or are a reduction of ordinary income for federal income tax purpos es. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of the securities held. Forward contracts
174
Morgan Stanley Variable Investment Series
Notes to Financial Statements n June 30, 2008 (unaudited) continued
are valued daily at the appropriate exchange rates. The resultant unrealized exchange gains and losses are recorded as unrealized foreign currency gain or loss. The Fund records realized gains or losses on delivery of the currency or at the time the forward contract is extinguished (compensated) by entering into a closing transaction prior to delivery.
H. Security Lending — The Fund may lend securities to qualified financial institutions, such as broker-dealers, to earn additional income. Any increase or decrease in the fair value of the securities loaned that might occur and any interest earned or dividends declared on those securities during the term of the loan would remain in the Fund. The Fund receives cash or securities as collateral in an amount equal to or exceeding 100% of the current fair value of the loaned securities. The collateral is marked-to-market daily, by the securities lending agent, to ensure that a minimum of 100% collateral coverage is maintained.
Based on pre-established guidelines, the securities lending agent invests any cash collateral that is received in high-quality short-term investments. Securities lending income is generated from the earnings on the invested collateral and borrowing fees, less any rebates owed to the borrowers and compensation to the lending agent.
PORTFOLIO | VALUE OF LOANED SECURITIES | VALUE OF COLLATERAL CASH(1) | |||||||||
High Yield | $ | 10,109,890 | $ | 10,667,428 | |||||||
Global Dividend | 18,807,442 | 19,714,422 | |||||||||
European Equity | 2,876,467 | 3,107,270 | |||||||||
Utilities | 31,415,146 | 31,760,802 |
(1) The Portfolios received cash collateral which was subsequently invested in Repurchase Agreements and Morgan Stanley Institutional Liquidity Money Market Portfolio as reported in the Portfolio of Investments.
The Portfolios have the right under the lending agreement to recover the securities from the borrower on demand.
I. Credit Default Swaps — A credit default swap is an agreement between two parties to exchange the credit risk of an issuer. The Fund may purchase credit protection on the referenced obligation of the credit default swap ("Buy Contract"), or provide credit protection on the referenced obligation of the credit default swap ("Sale Contract"). A buyer of a credit default swap is said to buy protection by paying periodic fees in return for a contingent payment from the seller if the issuer has a credit event such as bankruptcy, failure to pay outstanding obligations or deteriorating credit while the swap is outstanding. A seller of a credit default swap is said to sell protection and thus collects the periodic fees and profits if the credit of the issuer remains
175
Morgan Stanley Variable Investment Series
Notes to Financial Statements n June 30, 2008 (unaudited) continued
stable or improves while the swap is outstanding. If a credit event occurs, the seller pays to the buyer the maximum payout amount limited to the Notional Amount of the swap contract as disclosed in the table following the Portfolio of Investments. During the term of the swap agreement, the Fund receives or pays periodic fixed payments from or to the respective counterparty calculated at the agreed upon interest rate applied to the Notional Amount. These periodic payments are accrued daily and recorded as realized gains or losses in the Statements of Operations. In addition, upon termination of the swap contract, gains and losses are also realized. Any upfront payment received or paid by the Fund is recorded as assets/liabilities on the Fund's books. The Fund may pay or receive cash to collateralize interest rate swap contracts. This cash collateral is recorded as assets/liabilities on the Fund's books. Any cash received may be invested in Morgan Stanley Institutional Liquidity Funds.
J. Interest Rate Swaps — Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount. Net periodic interest payments to be received or paid are accrued daily and are recorded as realized gains or losses in the Statement of Operations. The Fund may pay or receive cash to collateralize interest rate swap contracts. This cash collateral is recorded as assets/liabilities on the Fund's books. Any cash received may be invested in Morgan Stanley Institutional Liquidity Funds.
K. Federal Income Tax Policy — It is the Fund's policy to comply with the requirements of the Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable and nontaxable income to its shareholders. Therefore, no provision for federal income tax is required. The Fund files tax returns with the U.S. Internal Revenue Service, New York State and New York City. The Fund adopted the provisions of the Financial Accounting Standards Board ("FASB") Interpretation No. 48 ("FIN 48") Accounting for Uncertainty in Income Taxes on June 27, 2008. FIN 48 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 implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying 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. Each of the tax years in the four year period ended June 30, 2008, remains subject to examination by taxing authorities.
L. Dividends and Distributions to Shareholders — The Fund records dividends and distributions to its shareholders on the ex-dividend date.
M. Expenses — Direct expenses are charged to the respective Portfolio and general Fund expenses are allocated on the basis of relative net assets or equally among the Portfolios. The expense offset represents a reduction of the custodian fees for earnings on cash balances maintained by a Portfolio.
176
Morgan Stanley Variable Investment Series
Notes to Financial Statements n June 30, 2008 (unaudited) continued
N. Use of Estimates — The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures. Actual results could differ from those estimates.
2. Investment Advisory/Administration and Sub-Advisory Agreements
Pursuant to an Investment Advisory Agreement, the Fund pays the Investment Adviser an advisory fee, accrued daily and payable monthly, by applying the annual rates listed below to each Portfolios' net assets determined at the close of each business day.
Money Market — 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 e xceeding $1.5 billion and 0.275% to the portion of the daily net assets in excess of $1.5 billion.
Limited Duration — 0.30%.
Income Plus — 0.42% to the portion of the daily net assets not exceeding $500 million; 0.35% to the portion of the daily net assets exceeding $500 million but not exceeding $1.25 billion and 0.22% to the portion of the daily net assets in excess of $1.25 billion.
High Yield — 0.42% to the portion of the daily net assets not exceeding $500 million; 0.345% to the portion of the daily net assets exceeding $500 million but not exceeding $750 million; 0.295% to the portion of the daily net assets exceeding $750 million but not exceeding $1 billion; 0.27% to the portion of the daily net assets exceeding $1 billion but not exceeding $2 billion; 0.245% to the portion of the daily net assets exceeding $2 billion but not exceeding $3 billion and 0.22% to the portion of the daily net assets in excess of $3 billion.
Utilities — 0.57% to the portion of the daily net assets not exceeding $500 million; 0.47% to the portion of the daily net assets exceeding $500 million but not exceeding $1 billion; 0.445% to the portion of the daily net assets exceeding $1 billion but not exceeding $1.5 billion; 0.42% to the portion of the daily net assets exceeding $1.5 billion but not exceeding $2.5 billion; 0.395% to the portion of the daily net assets exceeding $2.5 billion but not exceeding $3.5 billion; 0.37% to the portion of the daily net assets exceeding $3.5 billion but not exceeding $5 billion and 0.345% to the portion of the daily net assets in excess of $5 billion.
Income Builder — 0.67% to the portion of the daily net assets not exceeding $500 million and 0.645% to the portion of the daily net assets in excess of $500 million.
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Dividend Growth — 0.545% to the portion of the daily net assets not exceeding $250 million; 0.42% to the portion of the daily net assets exceeding $250 million but not exceeding $1 billion; 0.395% to the portion of the daily net assets exceeding $1 billion but not exceeding $2 billion and 0.37% to the portion of the daily net assets in excess of $2 billion.
Global Dividend Growth — 0.67% to the portion of the daily net assets not exceeding $1 billion; 0.645% to the portion of the daily net assets exceeding $1 billion but not exceeding $1.5 billion; 0.62% to the portion of the daily net assets exceeding $1.5 billion but not exceeding $2.5 billion; 0.595% to the portion of the daily net assets exceeding $2.5 billion but n ot exceeding $3.5 billion; 0.57% to the portion of the daily net assets exceeding $3.5 billion but not exceeding $4.5 billion and 0.545% to the portion of the daily net assets in excess of $4.5 billion
European Equity — 0.87% to the portion of the daily net assets not exceeding $500 million; 0.82% to the portion of the daily net assets exceeding $500 million but not exceeding $2 billion; 0.77% to the portion of the daily net assets exceeding $2 billion but not exceeding $3 billion and 0.745% to the portion of the daily net assets in excess of $3 billion.
Capital Opportunities — 0.42% to the portion of the daily net assets not exceeding $1 billion; 0.395% to the portion of the daily net assets exceeding $1 billion but not exceeding $2 billion and 0.37% to the portion of the daily net assets in excess of $2 billion.
S&P 500 Index — 0.12% to the portion of the daily net assets not exceeding $2 billion and 0.10% to the portion of the daily net assets in excess of $2 billion.
Global Advantage — 0.57% to the portion of the daily net assets not exceeding $1.5 billion and 0.545% to the portion of the daily net assets in excess of $1.5 billion.
Aggressive Equity — 0.67% to the portion of the daily net assets not exceeding $500 million; 0.645% to the portion of the daily net assets exceeding $500 million but not exceeding $2 billion; 0.62% to the portion of the daily net assets exceeding $2 billion but not exceeding $3 billion and 0.595% to the portion of the daily net assets in excess of $3 billion.
Strategist — 0.42% to the portion of the daily net assets not exceeding $1.5 billion and 0.395% to the portion of the daily net assets in excess of $1.5 billion.
Under the Sub-Advisory Agreements between the Investment Adviser and the Sub-Adviser, the Sub-Adviser provides Global Dividend Growth and European Equity with investment advice and portfolio management relating to the Portfolios' investments in securities, subject to the overall supervision of the Investment Adviser. As compensation for its services provided pursuant to the Sub-Advisory Agreements, the
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Investment Adviser paid the Sub-Adviser compensation in the amounts of $299,817 and $301,459, respectively, for the six months ended June 30, 2008.
Effective June 30, 2008, the Utilities Portfolio entered into a Sub-Advisory Agreement with the Sub-Adviser, Morgan Stanley Investment Management Limited.
The Investment Adviser has agreed to cap European Equity and S&P 500 Index's operating expenses (except for distribution fees) by assuming the Portfolio's "other expenses" and/or waiving the Portfolio's advisory fees, and Morgan Stanley Services Company Inc. (the "Administrator") has agreed to waive the Portfolio's administrative fees, to the extent such operating expenses exceed 1.00% and 0.40%, respectively, of the average daily net assets of the Portfolio on an annualized basis.
Pursuant to an Administration Agreement with the Administrator, an affiliate of the Investment Adviser and Sub -Adviser, each Portfolio pays an administration fee, accrued daily and payable monthly, by applying the annual rate of 0.08% (Money Market 0.05%) to the Portfolio's daily net assets.
Under an 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.
3. Plan of Distribution
Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the "Distributor"), an affiliate of the Investment Adviser, Administrator and Sub-Adviser. The Fund has adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the Act. Under the Plan, Class Y shares of each Portfolio bear a distribution fee which is accrued daily and paid monthly at the annual rate of 0.25% of the average daily net assets of the class.
4. Security Transactions and Transactions with Affiliates
Each Portfolio (except Money Market) may invest in Morgan Stanley Institutional Liquidity Money Market Portfolio — Institutional Class, an open-end management investment company managed by the Investment Adviser, both directly, and as a portion of the securities held as collateral on loaned securities. Investment Advisory fees paid by the Portfolio are reduced by an amount equal to the advisory and administrative services fees paid by Morgan Stanley Institutional Liquidity Money Market Portfolio — Institutional Class with respect to assets invested by the Portfolio in Morgan Stanley Institutional Liquidity Money Market Portfolio — Institutional Class. For the six months ended June 30, 2008, the tables below identifies, for each Portfolio that invested in Morgan Stanley Institutional Liquidity Money Market Portfolio — Institutional Class, that amount by which that Portfolio's advisory fees was reduced in rel ation to that Portfolio's investment in Morgan Stanley Institutional Liquidity Money Market Portfolio — Institutional Class.
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In addition, the table also identifies the income distributions earned, if any, by each Portfolio for that Portfolio's investment in Morgan Stanley Institutional Liquidity Money Market Portfolio — Institutional Class.
Income distributions are recorded as dividends in the Statement of Operations.
PORTFOLIO | INCOME DISTRIBUTION EARNED | INVESTMENT ADVISORY FEE WAIVED | |||||||||
Limited Duration | $ | 204,177 | $ | 6,376 | |||||||
Income Plus | 262,005 | 8,077 | |||||||||
High Yield | 11,539 | 371 | |||||||||
Utilities | 51,616 | 1,629 | |||||||||
Income Builder | 17,908 | 708 | |||||||||
Dividend Growth | 212,351 | 7,452 | |||||||||
Global Dividend Growth | 17,059 | 617 | |||||||||
European Equity | 16,624 | 685 | |||||||||
Capital Opportunities | 353,255 | 13,514 | |||||||||
S&P 500 Index | 42,778 | 1,605 | |||||||||
Global Advantage | 2,693 | 91 | |||||||||
Aggressive Equity | 38,774 | 1,540 | |||||||||
Strategist | 817,809 | 29,724 |
During the year six months ended June 30, 2008, each Portfolio's cost of purchases and proceeds from sales of investments in Morgan Stanley Institutional Liquidity Money Market Portfolio — Institutional Class were as follows:
PORTFOLIO | PURCHASES | SALES | |||||||||
Limited Duration | $ | 53,301,747 | $ | 47,144,433 | |||||||
Income Plus | 121,609,390 | 104,567,235 | |||||||||
High Yield | 11,284,415 | 11,821,099 | |||||||||
Utilities. | 16,255,823 | 16,064,981 | |||||||||
Income Builder | 6,050,437 | 8,850,430 | |||||||||
Dividend Growth | 84,790,947 | 90,797,711 | |||||||||
Global Dividend Growth | 25,187,046 | 25,120,283 | |||||||||
European Equity | 15,671,920 | 16,372,667 | |||||||||
Capital Opportunities | 68,683,719 | 79,198,694 | |||||||||
S&P 500 Index | 68,910,270 | 70,655,380 | |||||||||
Global Advantage | 3,836,379 | 3,805,524 | |||||||||
Aggressive Equity | 9,121,366 | 10,842,515 | |||||||||
Strategist | 26,541,702 | 38,126,630 |
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Purchases and sales/prepayments/maturities of portfolio securities, excluding short-term investments (except Money Market), for the six months ended June 30, 2008 were as follows:
U.S. GOVERNMENT SECURITIES | OTHER | ||||||||||||||||||
PURCHASES | SALES/PREPAYMENTS/ MATURITIES | PURCHASES | SALES/PREPAYMENTS/ MATURITIES | ||||||||||||||||
Money Market | $ | 5,497,332 | $ | 10,037,962 | $ | 1,359,532,351 | $ | 1,352,295,489 | |||||||||||
Limited Duration | 19,317,014 | 13,515,164 | 3,347,798 | 24,116,470 | |||||||||||||||
Income Plus | — | 39,526,631 | 105,579,065 | 114,309,769 | |||||||||||||||
High Yield | — | 1,017,012 | 6,912,004 | 9,140,626 | |||||||||||||||
Utilities | — | — | 16,755,626 | 31,740,785 | |||||||||||||||
Income Builder | — | — | 9,369,360 | 14,943,287 | |||||||||||||||
Dividend Growth | — | — | 156,719,768 | 199,259,174 | |||||||||||||||
Global Dividend Growth | — | — | 30,496,260 | 48,684,913 | |||||||||||||||
European Equity | — | — | 9,434,364 | 23,961,081 | |||||||||||||||
Capital Opportunities | — | — | 60,055,086 | 93,160,602 | |||||||||||||||
S&P 500 Index | — | — | 16,087,876 | 34,761,540 | |||||||||||||||
Global Advantage | — | — | 3,218,007 | 5,887,131 | |||||||||||||||
Aggressive Equity | — | — | 7,511,853 | 12,350,603 | |||||||||||||||
Strategist | 6,197,169 | 9,023,372 | 45,375,993 | 58,611,951 |
The following Portfolios had transactions with the following affiliates of the Fund:
PORTFOLIO | ISSUER | PURCHASES | SALES/ MATURITIES | NET REALIZED GAINS/LOSS | INCOME | VALUE | |||||||||||||||||||||
Limited Duration | Met Life Global | — | — | — | $ | 17,639 | $ | 770,332 | |||||||||||||||||||
Income Builder | MetLife, Inc. | — | — | — | 3,267 | 107,461 | |||||||||||||||||||||
Dividend Growth | Allstate Corp. (The) | $ | 5,593,277 | — | — | — | 5,030,857 | ||||||||||||||||||||
Citigroup Inc.* | — | $ | 2,077,798 | $ | (1,779,715 | ) | 193,501 | 3,572,310 | |||||||||||||||||||
MetLife, Inc. | 2,473,722 | — | — | — | 4,625,554 | ||||||||||||||||||||||
S&P 500 Index | Allstate Corp. (The) | 5,736 | 72,900 | 15,114 | 7,261 | 375,114 | |||||||||||||||||||||
MetLife, Inc. | — | 109,943 | 40,975 | — | 559,468 | ||||||||||||||||||||||
Morgan Stanley | 61,293 | 73,781 | (3,586 | ) | 9,290 | 639,341 | |||||||||||||||||||||
Citigroup Inc.* | 241,553 | 270,667 | (202,234 | ) | 52,944 | 1,403,348 | |||||||||||||||||||||
Strategist | Allstate Corp. (The) | — | 769,721 | 460,761 | 24,903 | 1,384,568 |
* Citigroup Inc. is an affiliate of Dividend Growth and S&P 500 Index only.
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The following Portfolios had transactions with other Morgan Stanley funds during the six months ended June 30, 2008:
PURCHASES | SALES | NET REALIZED GAINS(LOSS) | |||||||||||||
Utilities | $ | 717,683 | $ | 3,365,314 | $ | 1,482,688 | |||||||||
Dividend Growth | — | 451,208 | (831,866 | ) | |||||||||||
Global Dividend Growth | — | 3,283,379 | 50,868 | ||||||||||||
Capital Opportunities | 1,356,151 | 3,657,062 | (2,138,831 | ) | |||||||||||
Aggressive Equity | 170,488 | 473,849 | (64,897 | ) | |||||||||||
Income Builder | — | 16,040 | 946 | ||||||||||||
Income Plus | — | 2,095,668 | 102,556 | ||||||||||||
S&P 500 Index | — | — | — | ||||||||||||
Strategist | 222,115 | 53,118 | (355 | ) |
For the six months ended June 30, 2008, the following Portfolios incurred brokerage commissions with Morgan Stanley & Co., Inc., an affiliate of the Investment Adviser, Sub-Adviser, Administrator and Distributor, for portfolio transactions executed on behalf of the Portfolio:
UTILITIES | DIVIDEND GROWTH | CAPITAL OPPORTUNITIES | GLOBAL ADVANTAGE | AGGRESSIVE EQUITY | INCOME BUILDER | STRATEGIST | GLOBAL DIVIDEND | ||||||||||||||||||||||||
$ | 274 | $ | 18,040 | $ | 5,667 | $ | 332 | $ | 715 | $ | 226 | $ | 15,581 | $ | 1,206 |
Morgan Stanley Trust, an affiliate of the Investment Adviser, Sub-Adviser, Administrator and Distributor, is the Fund's transfer agent.
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.
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Aggregate pension costs for the six months ended June 30, 2008, included in Trustees' fees and expenses in the Statements of Operations and the accrued pension liability included in accrued expenses in the Statements of Assets and Liabilities are as follows:
AGGREGATE PENSION COSTS
MONEY MARKET | LIMITED DURATION | INCOME PLUS | HIGH YIELD | UTILITIES | INCOME BUILDER | DIVIDEND GROWTH | GLOBAL DIVIDEND GROWTH | ||||||||||||||||||||||||
$ | 238 | $ | 157 | $ | 402 | $ | 75 | $ | 162 | $ | 47 | $ | 784 | $ | 228 | ||||||||||||||||
EUROPEAN EQUITY | CAPITAL OPPORTUNITIES | S&P 500 INDEX | GLOBAL ADVANTAGE | AGGRESSIVE EQUITY | STRATEGIST | ||||||||||||||||||||||||||
$ | 186 | $ | 579 | $ | 229 | $ | 29 | $ | 54 | $ | 302 |
ACCRUED PENSION LIABILITY
MONEY MARKET | LIMITED DURATION | INCOME PLUS | HIGH YIELD | UTILITIES | INCOME BUILDER | DIVIDEND GROWTH | GLOBAL DIVIDEND GROWTH | ||||||||||||||||||||||||
$ | 11,832 | $ | 149 | $ | 7,536 | $ | 3,975 | $ | 5,918 | $ | 897 | $ | 12,190 | $ | 1,329 | ||||||||||||||||
EUROPEAN EQUITY | CAPITAL OPPORTUNITIES | S&P 500 INDEX | GLOBAL ADVANTAGE | AGGRESSIVE EQUITY | STRATEGIST | ||||||||||||||||||||||||||
$ | 1,734 | $ | 7,173 | $ | 158 | $ | 546 | $ | 956 | $ | 8,435 |
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 investments are recorded with an offsetting increase/decrease in the deferred compensation obligation and do not affect the net asset value of the Fund.
5. Federal Income Tax Status
The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations which may differ from generally accepted accounting principles. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the
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capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. Dividends and distributions which exceed net investment income and net realized capital gains for tax purposes are reported as distributions of paid-in-capital.
As of December 31, 2007, the following Portfolios had a net capital loss carryforward which may be used to offset future capital gains to the extent provided by regulations:
(AMOUNTS IN THOUSANDS) | |||||||||||||||||||||||||||||||||||||||
AVAILABLE THROUGH DECEMBER 31, | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | TOTAL | ||||||||||||||||||||||||||||||
Limited Duration | — | — | $ | 328 | $ | 1,546 | $ | 4,026 | $ | 1,267 | $ | 2,233 | $ | 1,063 | $ | 10,463 | |||||||||||||||||||||||
Income Plus | — | — | 16,864 | — | — | — | — | 5,280 | 22,144 | ||||||||||||||||||||||||||||||
High Yield | $ | 7,524 | $ | 47,273 | 63,495 | 81,458 | 24,098 | 15,736 | 6,219 | — | 245,803 | ||||||||||||||||||||||||||||
Dividend Growth | — | — | 106,810 | 48,222 | — | — | — | — | 155,032 | ||||||||||||||||||||||||||||||
Equity (Currently Capital Opportunities) | — | 197,818 | 130,806 | — | — | — | — | — | 328,624 | ||||||||||||||||||||||||||||||
S & P 500 Index | — | — | 10,905 | — | 3,450 | 9,726 | 5,449 | — | 29,530 | ||||||||||||||||||||||||||||||
Global Advantage | — | 3,367 | 14,172 | — | — | — | — | — | 17,539 | ||||||||||||||||||||||||||||||
Aggressive Equity | — | 15,004 | 13,085 | — | — | — | — | — | 28,089 |
During the year ended December 31, 2007, the following Portfolios utilized net capital loss carryforwards: High Yield — $242,155; Dividend Growth — $36,229,244; European Equity — $2,274,243; Equity (Currently Capital Opportunities) — $68,973,415; S&P 500 Index — $10,087,522; Global Advantage — $1,113,136; Aggressive Equity — $11,478,613.
At December 31, 2007, the primary reason(s) for significant temporary book/tax differences were as follows:
TEMPORARY DIFFERENCES | |||||||||||
POST-OCTOBER LOSSES | LOSS DEFERRALS FROM WASH SALES | ||||||||||
Limited Duration | • | ||||||||||
Income Plus | • | ||||||||||
High Yield | • | ||||||||||
Utilities | • | ||||||||||
Income Builder | • | • | |||||||||
Dividend Growth | • | • | |||||||||
Global Dividend Growth | • | ||||||||||
European Equity | • | ||||||||||
Equity (Currently Capital Opportunities) | • | • | |||||||||
S & P 500 Index | • | ||||||||||
Global Advantage | • | ||||||||||
Aggressive Equity | • | • | |||||||||
Strategist | • |
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Additionally, the following Portfolios had other temporary differences: High Yield — income from the mark-to-market of forward foreign currency contracts; Limited Duration, Income Plus, High Yield, S&P 500 Index, Strategist — capital gain/loss from the mark-to-market of futures contracts and/or options contracts; High Yield — income on bonds in default; Income Plus, Strategist — capital loss deferral on straddles. The following Portfolios had other permanent differences: High Yield — expired capital loss carryforward; Income Builder, S&P 500 Index — tax adjustments on real estate investment trusts and/or convertible preferred stock held/sold, Global Dividend Growth — tax adjustments on passive foreign investment companies sold. The following Portfolios had temporary and permanent differences attributable to book amortization of premiums/discounts on debt securities: Limited Duration, In come Plus, High Yield, Income Builder and Strategist. The following Portfolios had temporary and/or permanent differences attributable to tax adjustment on swaps: Limited Duration, Income Plus, High Yield and Strategist.
6. Purposes of and Risks Relating to Certain Financial Instruments
Certain Portfolios may enter into forward contracts to facilitate settlement of foreign currency denominated foreign securities.
Forward contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The respective Portfolios bear the risk of an unfavorable change in the foreign exchange rates underlying the forward contracts. Risks may also arise upon entering into these forward contracts from the potential inability of the counterparties to meet the terms of their contracts.
Certain Portfolios may invest in futures contracts. Futures contracts involve elements of market risk in excess of the amount reflected in the Statements of Assets and Liabilities. The respective Portfolios bear the risk of an unfavorable change in the value of the underlying securities. Risks may also arise upon entering into these futures contracts from the potential inability of the counterparties to meet the terms of their contracts.
Certain Portfolios may enter into credit default swaps for hedging purposes to add leverage to its portfolio or to gain exposure to a credit in which the Portfolio may otherwise invest. Credit default swaps may involve greater risks than if a Portfolio had invested in the issuer directly. Credit default swaps are subject to general market risk, counterparty risk and credit risk. If the Portfolio is a buyer and no credit event occurs, it will lose its investment. In addition, if the Portfolio is a seller and a credit event occurs, the value of the referenced obligation received by the Portfolio coupled with the periodic payments previously received may be less than the maximum payout amount it pays to the buyer, resulting in a loss to the Portfolio.
Certain Portfolios may enter into interest rate swaps and may purchase or sell interest rate caps, floors and collars. The portfolio expects to enter into these transactions primarily to manage interest rate risk, hedge
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Notes to Financial Statements n June 30, 2008 (unaudited) continued
portfolio positions and preserve a return or spread on a particular investment or portion of its portfolio. The Portfolio may also enter into these transactions to protect against any increase in the price of securities the Portfolio anticipates purchasing at a later date. Interest rate swap transactions are subject to market risk, risk of default by the other party to the transaction, risk of imperfect correlation and manager risk. Such risks may exceed the related amounts shown in the Statement of Assets and Liabilities.
Certain Portfolios may lend securities to qualified financial institutions, such as broker-dealers, to earn additional income. Risks in securities lending transactions are that a borrower may not provide additional collateral when required or return the securities when due, and that the value of the short-term investments will be less than the amount of cash collateral plus any rebate that is required to be returned to the borrower.
Certain Portfolios may invest in mortgage securities, including securities issued by Federal National Mortgage Assoc. ("FNMA") and Federal Home Loan Mortgage Corp. ("FHLMC"). These are fixed income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Portfolio. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.
Additionally, 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 Treasury.
At June 30, 2008, European Equity's investments in securities of issuers in the United Kingdom and Switzerland represented 36.6% and 16.6%, respectively, of the Portfolio's net assets. Global Dividend Growth's investments in securities of issuers in the United Kingdom represented 19.0% of the Portfolio's net assets. These investments, as well as other non-U.S. inv estments, which involve risks and considerations not present with respect to U.S. securities, may be affected by economic or political developments in these regions.
7. Fair Valuation Measurements
The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"), effective December 1, 2007. In accordance with FAS 157, fair value is defined as the price 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. FAS 157 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in
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pricing 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 pricing 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 — 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)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of June 30, 2008 in valuing the Fund's investments carried at value:
Fair Value Measurements at June 30, 2008 Using | |||||||||||||||||||
Total | Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | ||||||||||||||||
Money Market | |||||||||||||||||||
Investments in Securities | $ | 216,973,558 | — | $ | 216,973,558 | — | |||||||||||||
Limited Duration | |||||||||||||||||||
Investments in Securities | $ | 105,076,901 | $ | 14,899,151 | $ | 90,177,750 | — | ||||||||||||
Other Financial Instruments* | 430,417 | 29,394 | 401,023 | — | |||||||||||||||
Total | $ | 105,507,318 | $ | 14,928,545 | $ | 90,578,773 | — | ||||||||||||
Income Plus | |||||||||||||||||||
Investments in Securities | $ | 305,198,242 | $ | 23,985,624 | $ | 281,212,618 | — | ||||||||||||
Other Financial Instruments* | 10,975,473 | (379,330 | ) | 11,354,803 | — | ||||||||||||||
Total | $ | 316,173,715 | $ | 23,606,294 | $ | 292,567,421 | — | ||||||||||||
High Yield | |||||||||||||||||||
Investments in Securities | $ | 49,698,299 | $ | 8,142,910 | $ | 41,527,348 | $ | 28,041 | |||||||||||
Other Financial Instruments* | (11,059 | ) | (11,277 | ) | 218 | — | |||||||||||||
Total | $ | 49,687,240 | $ | 8,131,633 | $ | 41,527,566 | $ | 28,041 |
187
Morgan Stanley Variable Investment Series
Notes to Financial Statements n June 30, 2008 (unaudited) continued
Fair Value Measurements at June 30, 2008 Using | |||||||||||||||||||
Total | Quoted Prices In Active Market for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | ||||||||||||||||
Utilities | |||||||||||||||||||
Investments in Securities | $ | 173,079,092 | $ | 165,550,953 | $ | 7,528,139 | — | ||||||||||||
Income Builder | |||||||||||||||||||
Investments in Securities | $ | 48,467,218 | $ | 29,166,391 | $ | 19,300,827 | — | ||||||||||||
Dividend Growth | |||||||||||||||||||
Investments in Securities | $ | 380,263,411 | $ | 380,263,411 | — | — | |||||||||||||
Global Dividend Growth | |||||||||||||||||||
Investments in Securities | $ | 169,692,348 | $ | 165,019,515 | $ | 4,672,833 | — | ||||||||||||
European Equity | |||||||||||||||||||
Investments in Securities | $ | 130,443,431 | $ | 129,706,928 | $ | 736,503 | — | ||||||||||||
Other Financial Instruments* | 1,950 | — | 1,950 | — | |||||||||||||||
Total | $ | 130,445,381 | $ | 129,706,928 | $ | 738,453 | — | ||||||||||||
Capital Opportunities | |||||||||||||||||||
Investments in Securities | $ | 368,089,846 | $ | 368,089,846 | — | — | |||||||||||||
S&P 500 Index | |||||||||||||||||||
Investments in Securities | $ | 171,511,270 | $ | 171,511,270 | — | — | |||||||||||||
Other Financial Instruments* | (55,351 | ) | (55,351 | ) | — | — | |||||||||||||
Total | $ | 171,455,919 | $ | 171,455,919 | — | — | |||||||||||||
Global Advantage | |||||||||||||||||||
Investments in Securities | $ | 17,913,817 | $ | 17,913,817 | — | — | |||||||||||||
Aggressive Equity | |||||||||||||||||||
Investments in Securities | $ | 45,805,035 | $ | 45,805,035 | — | — | |||||||||||||
Strategist | |||||||||||||||||||
Investments in Securities | $ | 253,219,639 | $ | 201,748,363 | $ | 51,471,276 | — | ||||||||||||
Other Financial Instruments* | 912,901 | 4,678 | 908,223 | — | |||||||||||||||
Total | $ | 254,132,540 | $ | 201,753,041 | $ | 52,379,499 | — |
* Other financial instruments include futures, forwards, options and swap contracts.
188
Morgan Stanley Variable Investment Series
Notes to Financial Statements n June 30, 2008 (unaudited) continued
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
Investments in Securities | |||||||
High Yield | |||||||
Beginning Balance | $ | 28,041 | |||||
Net purchases (sales) | — | ||||||
Transfers in and/or out | — | ||||||
Change in unrealized appreciation/depreciation | — | ||||||
Realized gains (losses) | — | ||||||
Ending Balance | $ | 28,041 | |||||
Net change in unrealized appreciation/ depreciation from investments still held as of June 30, 2008 | — |
8. Accounting Pronouncement
On March 19, 2008, FASB released Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The application of SFAS 161 is required for fiscal years beginning after November 15, 2008 and interim periods within those fiscal years. At this time, management is evaluating the implications of SFAS 161 and its impact on the financial statements has not yet been determined.
189
Morgan Stanley Variable Investment Series
Financial Highlights
YEAR ENDED DECEMBER 31, | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
MONEY MARKET CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | $ | 1.00 | $ | 0.007 | — | $ | 0.007 | $ | (0.007 | )(d) | — | $ | (0.007 | ) | |||||||||||||||||
2004 | 1.00 | 0.009 | — | 0.009 | (0.009 | )(d) | — | (0.009 | ) | ||||||||||||||||||||||
2005 | 1.00 | 0.030 | — | 0.030 | (0.030 | ) | — | (0.030 | ) | ||||||||||||||||||||||
2006 | 1.00 | 0.045 | $ | 0.005 | 0.050 | (0.050 | ) | — | (0.050 | ) | |||||||||||||||||||||
2007 | 1.00 | 0.050 | — | 0.050 | (0.050 | ) | — | (0.050 | ) | ||||||||||||||||||||||
2008 | (j) | 1.00 | 0.016 | — | 0.016 | (0.016 | ) | — | (0.016 | ) | |||||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 1.00 | 0.004 | — | 0.004 | (0.004 | )(d) | — | (0.004 | ) | ||||||||||||||||||||||
2004 | 1.00 | 0.006 | — | 0.006 | (0.006 | )(d) | — | (0.006 | ) | ||||||||||||||||||||||
2005 | 1.00 | 0.030 | — | 0.030 | (0.030 | ) | — | (0.030 | ) | ||||||||||||||||||||||
2006 | 1.00 | 0.043 | (0.003 | ) | 0.040 | (0.040 | ) | — | (0.040 | ) | |||||||||||||||||||||
2007 | 1.00 | 0.050 | — | 0.050 | (0.050 | ) | — | (0.050 | ) | ||||||||||||||||||||||
2008 | (j) | 1.00 | 0.014 | — | 0.014 | (0.014 | ) | — | (0.014 | ) | |||||||||||||||||||||
LIMITED DURATION CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 10.17 | 0.21 | 0.01 | 0.22 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||||||
2004 | 10.01 | 0.28 | (0.14 | ) | 0.14 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||||
2005 | 9.74 | 0.31 | (0.13 | ) | 0.18 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||||
2006 | 9.54 | 0.40 | 0.00 | 0.40 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||||||
2007 | 9.49 | 0.47 | (0.19 | ) | 0.28 | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||||||
2008 | (j) | 9.27 | 0.18 | (0.93 | ) | (0.75 | ) | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 10.16 | 0.18 | 0.02 | 0.20 | (0.36 | ) | — | (0.36 | ) | ||||||||||||||||||||||
2004 | 10.00 | 0.25 | (0.14 | ) | 0.11 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||||
2005 | 9.73 | 0.28 | (0.14 | ) | 0.14 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||||
2006 | 9.52 | 0.37 | 0.01 | 0.38 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||||||
2007 | 9.48 | 0.44 | (0.19 | ) | 0.25 | (0.47 | ) | — | (0.47 | ) | |||||||||||||||||||||
2008 | (j) | 9.26 | 0.16 | (0.93 | ) | (0.77 | ) | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
INCOME PLUS CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 10.47 | 0.56 | 0.30 | 0.86 | (0.60 | ) | — | (0.60 | ) | ||||||||||||||||||||||
2004 | 10.73 | 0.55 | (0.01 | ) | 0.54 | (0.59 | ) | — | (0.59 | ) | |||||||||||||||||||||
2005 | 10.68 | 0.51 | (0.15 | ) | 0.36 | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||||||
2006 | 10.49 | 0.51 | 0.05 | 0.56 | (0.54 | ) | — | (0.54 | ) | ||||||||||||||||||||||
2007 | 10.51 | 0.53 | 0.08 | 0.61 | (0.56 | )(g) | — | (0.56 | ) | ||||||||||||||||||||||
2008 | (j) | 10.56 | 0.27 | (0.52 | ) | (0.25 | ) | (0.18 | ) | — | (0.18 | ) |
See Notes to Financial Statements
190
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||
YEAR ENDED DECEMBER 31, | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME | PORTFOLIO TURNOVER RATE | |||||||||||||||||||||
MONEY MARKET CLASS X SHARES | |||||||||||||||||||||||||||
2003 | $ | 1.00 | 0.67 | % | $ | 251,779 | 0.52 | % | 0.69 | % | N/A | ||||||||||||||||
2004 | 1.00 | 0.87 | 178,600 | 0.53 | 0.85 | N/A | |||||||||||||||||||||
2005 | 1.00 | 2.79 | 144,352 | 0.54 | 2.74 | N/A | |||||||||||||||||||||
2006 | 1.00 | 4.61 | 132,690 | 0.55 | 4.53 | N/A | |||||||||||||||||||||
2007 | 1.00 | 4.93 | (h) | 111,478 | 0.55 | 4.79 | N/A | ||||||||||||||||||||
2008 | (j) | 1.00 | 1.57 | (l) | 111,391 | 0.56 | (k) | 3.14 | (k) | N/A | |||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 1.00 | 0.42 | 93,808 | 0.77 | 0.44 | N/A | |||||||||||||||||||||
2004 | 1.00 | 0.62 | 89,917 | 0.78 | 0.60 | N/A | |||||||||||||||||||||
2005 | 1.00 | 2.53 | 97,936 | 0.79 | 2.49 | N/A | |||||||||||||||||||||
2006 | 1.00 | 4.35 | 102,296 | 0.80 | 4.28 | N/A | |||||||||||||||||||||
2007 | 1.00 | 4.67 | (h) | 101,524 | 0.80 | 4.54 | N/A | ||||||||||||||||||||
2008 | (j) | 1.00 | 1.45 | (l) | 104,875 | 0.81 | (k) | 2.89 | (k) | N/A | |||||||||||||||||
LIMITED DURATION CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 10.01 | 2.23 | 64,576 | 0.51 | 2.02 | 215 | % | ||||||||||||||||||||
2004 | 9.74 | 1.42 | 52,784 | 0.49 | 2.77 | 128 | |||||||||||||||||||||
2005 | 9.54 | 1.87 | 42,872 | 0.45 | 3.17 | 56 | |||||||||||||||||||||
2006 | 9.49 | 4.28 | 34,047 | 0.47 | 4.18 | 51 | |||||||||||||||||||||
2007 | 9.27 | 2.95 | 26,214 | 0.47 | 4.95 | 49 | |||||||||||||||||||||
2008 | (j) | 8.37 | (8.22 | )(l) | 21,140 | 0.47 | (k)(n) | 3.99 | (k)(n) | 22 | (l) | ||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 10.00 | 1.98 | 125,616 | 0.76 | 1.77 | 215 | |||||||||||||||||||||
2004 | 9.73 | 1.17 | 125,764 | 0.74 | 2.52 | 128 | |||||||||||||||||||||
2005 | 9.52 | 1.51 | 126,020 | 0.70 | 2.92 | 56 | |||||||||||||||||||||
2006 | 9.48 | 4.03 | 114,818 | 0.72 | 3.93 | 51 | |||||||||||||||||||||
2007 | 9.26 | 2.80 | 101,066 | 0.72 | 4.70 | 49 | |||||||||||||||||||||
2008 | (j) | 8.35 | (8.42 | )(l) | 83,822 | 0.72 | (k)(n) | 3.74 | (k)(n) | 22 | (l) | ||||||||||||||||
INCOME PLUS CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 10.73 | 8.45 | 363,555 | 0.53 | 5.30 | 72 | |||||||||||||||||||||
2004 | 10.68 | 5.23 | 296,246 | 0.54 | 5.18 | 28 | |||||||||||||||||||||
2005 | 10.49 | 3.33 | 235,256 | 0.54 | 4.80 | 57 | |||||||||||||||||||||
2006 | 10.51 | 5.69 | 183,594 | 0.56 | 4.95 | 38 | |||||||||||||||||||||
2007 | 10.56 | 5.99 | 155,879 | 0.55 | 5.02 | 125 | |||||||||||||||||||||
2008 | (j) | 10.13 | (2.37 | )(l) | 135,481 | 0.55 | (k)(o) | 5.11 | (k)(o) | 33 | (l) |
191
Morgan Stanley Variable Investment Series
Financial Highlights continued
YEAR ENDED DECEMBER 31, | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
INCOME PLUS CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | $ | 10.46 | $ | 0.54 | $ | 0.29 | $ | 0.83 | $ | (0.58 | ) | — | $ | (0.58 | ) | ||||||||||||||||
2004 | 10.71 | 0.52 | 0.01 | 0.53 | (0.57 | ) | — | (0.57 | ) | ||||||||||||||||||||||
2005 | 10.67 | 0.48 | (0.16 | ) | 0.32 | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||||||
2006 | 10.47 | 0.49 | 0.05 | 0.54 | (0.52 | ) | — | (0.52 | ) | ||||||||||||||||||||||
2007 | 10.49 | 0.50 | 0.08 | 0.58 | (0.53 | )(g) | — | (0.53 | ) | ||||||||||||||||||||||
2008 | (j) | 10.54 | 0.25 | (0.50 | ) | (0.25 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||
HIGH YIELD CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 1.03 | 0.16 | 0.10 | 0.26 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||||||
2004 | 1.18 | 0.09 | 0.02 | 0.11 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||||||
2005 | 1.20 | 0.08 | (0.06 | ) | 0.02 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||
2006 | 1.14 | 0.08 | 0.02 | 0.10 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
2007 | 1.16 | 0.08 | (0.03 | ) | 0.05 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||
2008 | (j) | 1.13 | 0.05 | (0.07 | ) | (0.02 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 1.03 | 0.15 | 0.11 | 0.26 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||||||
2004 | 1.18 | 0.09 | 0.02 | 0.11 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||||||
2005 | 1.20 | 0.08 | (0.06 | ) | 0.02 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||
2006 | 1.14 | 0.08 | 0.02 | 0.10 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
2007 | 1.16 | 0.07 | (0.03 | ) | 0.04 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2008 | (j) | 1.13 | 0.04 | (0.06 | ) | (0.02 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
UTILITIES CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 11.00 | 0.34 | 1.54 | 1.88 | (0.35 | ) | — | (0.35 | ) | ||||||||||||||||||||||
2004 | 12.53 | 0.34 | 2.21 | 2.55 | (0.35 | ) | — | (0.35 | ) | ||||||||||||||||||||||
2005 | 14.73 | 0.37 | 1.77 | 2.14 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||||||
2006 | 16.50 | 0.36 | 2.95 | 3.31 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||||||
2007 | 19.44 | 0.39 | 3.38 | 3.77 | (0.39 | ) | $ | (2.16 | ) | (2.55 | ) | ||||||||||||||||||||
2008 | (j) | 20.66 | 0.19 | (1.13 | ) | (0.94 | ) | (0.11 | ) | (3.44 | ) | (3.55 | ) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 10.99 | 0.31 | 1.55 | 1.86 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||||||
2004 | 12.53 | 0.31 | 2.20 | 2.51 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||||||
2005 | 14.72 | 0.33 | 1.77 | 2.10 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||||||
2006 | 16.49 | 0.32 | 2.95 | 3.27 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||||||
2007 | 19.43 | 0.34 | 3.38 | 3.72 | (0.34 | ) | (2.16 | ) | (2.50 | ) | |||||||||||||||||||||
2008 | (j) | 20.65 | 0.17 | (1.14 | ) | (0.97 | ) | (0.09 | ) | (3.44 | ) | (3.53 | ) |
See Notes to Financial Statements
192
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||
YEAR ENDED DECEMBER 31, | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME | PORTFOLIO TURNOVER RATE | |||||||||||||||||||||
INCOME PLUS CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | $ | 10.71 | 8.09 | % | $ | 140,629 | 0.78 | % | 5.05 | % | 72 | % | |||||||||||||||
2004 | 10.67 | 5.07 | 176,054 | 0.79 | 4.93 | 28 | |||||||||||||||||||||
2005 | 10.47 | 3.08 | 197,968 | 0.79 | 4.55 | 57 | |||||||||||||||||||||
2006 | 10.49 | 5.34 | 210,681 | 0.81 | 4.70 | 38 | |||||||||||||||||||||
2007 | 10.54 | 5.73 | 196,774 | 0.80 | 4.77 | 125 | |||||||||||||||||||||
2008 | (j) | 10.11 | (2.45 | )(l) | 174,538 | 0.80 | (k)(o) | 4.86 | (k)(o) | 33 | (l) | ||||||||||||||||
HIGH YIELD CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 1.18 | 27.73 | 56,162 | 0.70 | 14.09 | 59 | |||||||||||||||||||||
2004 | 1.20 | 9.84 | 48,990 | 0.66 | 7.60 | 55 | |||||||||||||||||||||
2005 | 1.14 | 2.18 | 35,226 | 0.87 | 6.81 | 48 | |||||||||||||||||||||
2006 | 1.16 | 9.29 | 27,907 | 0.95 | 6.78 | 23 | |||||||||||||||||||||
2007 | 1.13 | 4.17 | 21,625 | 1.18 | 6.48 | 26 | |||||||||||||||||||||
2008 | (j) | 1.09 | (1.42 | )(l) | 18,704 | 1.66 | (k)(o) | 8.21 | (k)(o) | 17 | (l) | ||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 1.18 | 27.43 | 35,306 | 0.95 | 13.84 | 59 | |||||||||||||||||||||
2004 | 1.20 | 9.56 | 39,547 | 0.91 | 7.35 | 55 | |||||||||||||||||||||
2005 | 1.14 | 1.92 | 35,551 | 1.12 | 6.56 | 48 | |||||||||||||||||||||
2006 | 1.16 | 9.01 | 30,764 | 1.20 | 6.53 | 23 | |||||||||||||||||||||
2007 | 1.13 | 3.90 | 24,433 | 1.43 | 6.23 | 26 | |||||||||||||||||||||
2008 | (j) | 1.09 | (1.51 | )(l) | 20,537 | 1.91 | (k)(o) | 7.96 | (k)(o) | 17 | (l) | ||||||||||||||||
UTILITIES CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 12.53 | 17.34 | 175,191 | 0.70 | 2.94 | 35 | |||||||||||||||||||||
2004 | 14.73 | 20.66 | 168,148 | 0.69 | 2.59 | 13 | |||||||||||||||||||||
2005 | 16.50 | 14.62 | 154,413 | 0.70 | 2.31 | 29 | |||||||||||||||||||||
2006 | 19.44 | 20.32 | 142,721 | 0.71 | 2.05 | 19 | |||||||||||||||||||||
2007 | 20.66 | 20.34 | 133,507 | 0.70 | 1.90 | 8 | |||||||||||||||||||||
2008 | (j) | 16.17 | (4.51 | )(l) | 114,431 | 0.70 | (k)(o) | 2.00 | (k)(o) | 12 | (l) | ||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 12.53 | 17.17 | 25,933 | 0.95 | 2.69 | 35 | |||||||||||||||||||||
2004 | 14.72 | 20.28 | 30,289 | 0.94 | 2.34 | 13 | |||||||||||||||||||||
2005 | 16.49 | 14.35 | 33,068 | 0.95 | 2.06 | 29 | |||||||||||||||||||||
2006 | 19.43 | 20.03 | 34,305 | 0.96 | 1.80 | 19 | |||||||||||||||||||||
2007 | 20.65 | 20.04 | 31,780 | 0.95 | 1.65 | 8 | |||||||||||||||||||||
2008 | (j) | 16.15 | (4.63 | )(l) | 26,821 | 0.95 | (k)(o) | 1.75 | (k)(o) | 12 | (l) |
193
Morgan Stanley Variable Investment Series
Financial Highlights continued
YEAR ENDED DECEMBER 31, | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
INCOME BUILDER CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | $ | 9.38 | $ | 0.32 | $ | 1.60 | $ | 1.92 | $ | (0.32 | ) | — | $ | (0.32 | ) | ||||||||||||||||
2004 | 10.98 | 0.34 | 0.84 | 1.18 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||||||
2005 | 11.74 | 0.29 | 0.52 | 0.81 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||||||
2006 | 12.22 | 0.33 | 1.38 | 1.71 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||||||
2007 | 13.59 | 0.31 | 0.15 | 0.46 | (0.38 | ) | $ | (0.81 | ) | (1.19 | ) | ||||||||||||||||||||
2008 | (j) | 12.86 | 0.16 | (1.31 | ) | (1.15 | ) | (0.09 | ) | (1.79 | ) | (1.88 | ) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 9.36 | 0.31 | 1.58 | 1.89 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||||||
2004 | 10.95 | 0.32 | 0.83 | 1.15 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||||||
2005 | 11.71 | 0.26 | 0.53 | 0.79 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||||||
2006 | 12.20 | 0.30 | 1.37 | 1.67 | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||||||||
2007 | 13.56 | 0.28 | 0.14 | 0.42 | (0.35 | ) | (0.81 | ) | (1.16 | ) | |||||||||||||||||||||
2008 | (j) | 12.82 | 0.15 | (1.30 | ) | (1.15 | ) | (0.08 | ) | (1.79 | ) | (1.87 | ) | ||||||||||||||||||
DIVIDEND GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 10.82 | 0.22 | 2.76 | 2.98 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||||||
2004 | 13.57 | 0.22 | 0.92 | 1.14 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||||||
2005 | 14.48 | 0.19 | 0.61 | 0.80 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||||||
2006 | 15.09 | 0.21 | 1.45 | 1.66 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||||||
2007 | 16.53 | 0.22 | 0.48 | 0.70 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||||||
2008 | (j) | 17.01 | 0.12 | (2.06 | ) | (1.94 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 10.81 | 0.19 | 2.75 | 2.94 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||||||
2004 | 13.55 | 0.19 | 0.92 | 1.11 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||||||
2005 | 14.46 | 0.15 | 0.62 | 0.77 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||||||
2006 | 15.07 | 0.17 | 1.45 | 1.62 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||
2007 | 16.51 | 0.17 | 0.48 | 0.65 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||
2008 | (j) | 16.98 | 0.10 | (2.05 | ) | (1.95 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
GLOBAL DIVIDEND GROWTH CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 9.87 | 0.18 | 2.94 | 3.12 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||||||
2004 | 12.77 | 0.21 | 1.68 | 1.89 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||||||
2005 | 14.46 | 0.27 | 0.63 | 0.90 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||||||
2006 | 15.12 | 0.29 | 2.94 | 3.23 | (0.33 | ) | (0.21 | ) | (0.54 | ) | |||||||||||||||||||||
2007 | 17.81 | 0.31 | 1.01 | 1.32 | (0.36 | ) | (1.90 | ) | (2.26 | ) | |||||||||||||||||||||
2008 | (j) | 16.87 | 0.27 | (2.83 | ) | (2.56 | ) | (0.40 | ) | (2.79 | ) | (3.19 | ) |
See Notes to Financial Statements
194
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||
YEAR ENDED DECEMBER 31, | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME | PORTFOLIO TURNOVER RATE | |||||||||||||||||||||
INCOME BUILDER CLASS X SHARES | |||||||||||||||||||||||||||
2003 | $ | 10.98 | 20.84 | % | $ | 51,890 | 0.84 | % | 3.26 | % | 62 | % | |||||||||||||||
2004 | 11.74 | 10.96 | 49,126 | 0.82 | 3.07 | 38 | |||||||||||||||||||||
2005 | 12.22 | 6.96 | 39,562 | 0.84 | 2.47 | 27 | |||||||||||||||||||||
2006 | 13.59 | 14.21 | 35,195 | 0.83 | 2.61 | 19 | |||||||||||||||||||||
2007 | 12.86 | 3.21 | 28,244 | 0.85 | 2.31 | 32 | |||||||||||||||||||||
2008 | (j) | 9.83 | (8.97 | )(l) | 22,449 | 0.87 | (k)(o) | 2.69 | (k)(o) | 17 | (l) | ||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 10.95 | 20.51 | 42,443 | 1.09 | 3.04 | 62 | |||||||||||||||||||||
2004 | 11.71 | 10.72 | 48,493 | 1.07 | 2.82 | 38 | |||||||||||||||||||||
2005 | 12.20 | 6.71 | 45,918 | 1.09 | 2.22 | 27 | |||||||||||||||||||||
2006 | 13.56 | 13.96 | 45,371 | 1.08 | 2.36 | 19 | |||||||||||||||||||||
2007 | 12.82 | 2.86 | 34,717 | 1.10 | 2.06 | 32 | |||||||||||||||||||||
2008 | (j) | 9.80 | (8.98 | )(l) | 26,073 | 1.12 | (k)(o) | 2.44 | (k)(o) | 17 | (l) | ||||||||||||||||
DIVIDEND GROWTH CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 13.57 | 27.89 | 865,039 | 0.59 | 1.92 | 42 | |||||||||||||||||||||
2004 | 14.48 | 8.46 | 737,801 | 0.58 | 1.60 | 43 | |||||||||||||||||||||
2005 | 15.09 | 5.61 | 582,259 | 0.57 | 1.30 | 38 | |||||||||||||||||||||
2006 | 16.53 | 11.09 | 471,931 | 0.59 | 1.37 | 114 | |||||||||||||||||||||
2007 | 17.01 | 4.22 | 368,737 | 0.58 | 1.27 | 48 | |||||||||||||||||||||
2008 | (j) | 15.00 | (11.43 | )(l) | 288,082 | 0.61 | (k)(o) | 1.47 | (k)(o) | 38 | (l) | ||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 13.55 | 27.52 | 118,445 | 0.84 | 1.67 | 42 | |||||||||||||||||||||
2004 | 14.46 | 8.21 | 139,777 | 0.83 | 1.35 | 43 | |||||||||||||||||||||
2005 | 15.07 | 5.35 | 143,577 | 0.82 | 1.05 | 38 | |||||||||||||||||||||
2006 | 16.51 | 10.83 | 136,660 | 0.84 | 1.12 | 114 | |||||||||||||||||||||
2007 | 16.98 | 3.9 | 116,271 | 0.83 | 1.02 | 48 | |||||||||||||||||||||
2008 | (j) | 14.97 | (11.51 | )(l) | 92,221 | 0.86 | (k)(o) | 1.22 | (k)(o) | 38 | (l) | ||||||||||||||||
GLOBAL DIVIDEND GROWTH CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 12.77 | 32.07 | 221,971 | 0.82 | 1.73 | 103 | |||||||||||||||||||||
2004 | 14.46 | 14.93 | 213,836 | 0.81 | 1.58 | 21 | |||||||||||||||||||||
2005 | 15.12 | 6.34 | 181,475 | 0.82 | 1.88 | 20 | |||||||||||||||||||||
2006 | 17.81 | 21.94 | 165,864 | 0.83 | 1.80 | 24 | |||||||||||||||||||||
2007 | 16.87 | 7.02 | 136,494 | 0.82 | 1.72 | 38 | |||||||||||||||||||||
2008 | (j) | 11.12 | (15.14 | )(l) | 102,082 | 0.84 | (k)(o) | 3.55 | (k)(o) | 18 | (l) |
195
Morgan Stanley Variable Investment Series
Financial Highlights continued
YEAR ENDED DECEMBER 31, | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME (LOSS)(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
GLOBAL DIVIDEND GROWTH CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | $ | 9.82 | $ | 0.15 | $ | 2.91 | $ | 3.06 | $ | (0.20 | ) | — | $ | (0.20 | ) | ||||||||||||||||
2004 | 12.68 | 0.18 | 1.66 | 1.84 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||
2005 | 14.34 | 0.23 | 0.64 | 0.87 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||||||
2006 | 15.00 | 0.25 | 2.91 | 3.16 | (0.29 | ) | $ | (0.21 | ) | (0.50 | ) | ||||||||||||||||||||
2007 | 17.66 | 0.26 | 1.00 | 1.26 | (0.32 | ) | (1.90 | ) | (2.22 | ) | |||||||||||||||||||||
2008 | (j) | 16.70 | 0.25 | (2.79 | ) | (2.54 | ) | (0.35 | ) | (2.79 | ) | (3.14 | ) | ||||||||||||||||||
EUROPEAN EQUITY CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 12.97 | 0.17 | 3.57 | 3.74 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||||
2004 | 16.58 | 0.21 | 1.88 | 2.09 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||||||
2005 | 18.47 | 0.30 | 1.28 | 1.58 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||||||
2006 | 19.82 | 0.36 | 5.55 | 5.91 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||||||
2007 | 25.34 | 0.47 | 3.48 | 3.95 | (0.46 | ) | 0.00 | (0.46 | ) | ||||||||||||||||||||||
2008 | (j) | 28.83 | 0.56 | (4.46 | ) | (3.90 | ) | (0.61 | ) | (4.22 | ) | (4.83 | ) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 12.91 | 0.13 | 3.56 | 3.69 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
2004 | 16.50 | 0.16 | 1.88 | 2.04 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||||||
2005 | 18.37 | 0.25 | 1.26 | 1.51 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||
2006 | 19.70 | 0.29 | 5.54 | 5.83 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||||||
2007 | 25.19 | 0.40 | 3.46 | 3.86 | (0.40 | ) | 0.00 | (0.40 | ) | ||||||||||||||||||||||
2008 | (j) | 28.65 | 0.52 | (4.42 | ) | (3.90 | ) | (0.52 | ) | (4.22 | ) | (4.74 | ) | ||||||||||||||||||
CAPITAL OPPORTUNITIES CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 17.78 | 0.07 | 3.97 | 4.04 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||
2004 | 21.75 | 0.09 | 2.33 | 2.42 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
2005 | 24.07 | — | 4.39 | 4.39 | — | — | — | ||||||||||||||||||||||||
2006 | 28.46 | 0.02 | 1.15 | 1.17 | — | — | — | ||||||||||||||||||||||||
2007 | 29.63 | 0.21 | 5.57 | 5.78 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||
2008 | (j) | 35.23 | (0.02 | ) | (2.18 | ) | (2.20 | ) | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 17.75 | 0.02 | 3.98 | 4.00 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2004 | 21.72 | 0.05 | 2.31 | 2.36 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||
2005 | 24.03 | (0.06 | ) | 4.37 | 4.31 | — | — | — | |||||||||||||||||||||||
2006 | 28.34 | (0.05 | ) | 1.14 | 1.09 | — | — | — | |||||||||||||||||||||||
2007 | 29.43 | 0.13 | 5.54 | 5.67 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2008 | (j) | 35.06 | (0.06 | ) | (2.17 | ) | (2.23 | ) | (0.05 | ) | — | (0.05 | ) |
See Notes to Financial Statements
196
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||
YEAR ENDED DECEMBER 31, | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME (LOSS) | PORTFOLIO TURNOVER RATE | |||||||||||||||||||||
GLOBAL DIVIDEND GROWTH CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | $ | 12.68 | 31.64 | % | $ | 47,524 | 1.07 | % | 1.48 | % | 103 | % | |||||||||||||||
2004 | 14.34 | 14.65 | 67,522 | 1.05 | 1.34 | 21 | |||||||||||||||||||||
2005 | 15.00 | 6.17 | 71,123 | 1.07 | 1.63 | 20 | |||||||||||||||||||||
2006 | 17.66 | 21.60 | 74,749 | 1.08 | 1.55 | 24 | |||||||||||||||||||||
2007 | 16.70 | 6.77 | 65,364 | 1.07 | 1.47 | 38 | |||||||||||||||||||||
2008 | (j) | 11.02 | (15.24 | )(l) | 49,019 | 1.09 | (k)(o) | 3.30 | (k)(o) | 18 | (l) | ||||||||||||||||
EUROPEAN EQUITY CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 16.58 | 29.03 | 198,424 | 1.04 | 1.26 | 95 | |||||||||||||||||||||
2004 | 18.47 | 12.74 | 178,683 | 1.04 | 1.24 | 103 | |||||||||||||||||||||
2005 | 19.82 | 8.69 | 144,969 | 1.02 | (i) | 1.60 | (i) | 61 | |||||||||||||||||||
2006 | 25.34 | 30.21 | 142,000 | 1.00 | (i) | 1.59 | (i) | 62 | |||||||||||||||||||
2007 | 28.83 | 15.59 | 127,071 | 1.00 | (i) | 1.73 | (i) | 41 | |||||||||||||||||||
2008 | (j) | 20.10 | (13.54 | )(l) | 98,596 | 1.00 | (i)(k)(o) | 4.27 | (i)(k)(o) | 7 | (l) | ||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 16.50 | 28.70 | 36,568 | 1.29 | 1.01 | 95 | |||||||||||||||||||||
2004 | 18.37 | 12.48 | 42,333 | 1.29 | 0.99 | 103 | |||||||||||||||||||||
2005 | 19.70 | 8.36 | 39,404 | 1.27 | (i) | 1.35 | (i) | 61 | |||||||||||||||||||
2006 | 25.19 | 29.88 | 45,637 | 1.25 | (i) | 1.34 | (i) | 62 | |||||||||||||||||||
2007 | 28.65 | 15.34 | 40,721 | 1.25 | (i) | 1.48 | (i) | 41 | |||||||||||||||||||
2008 | (j) | 20.01 | (13.62 | )(l) | 30,527 | 1.25 | (i)(k)(o) | 4.02 | (i)(k)(o) | 7 | (l) | ||||||||||||||||
CAPITAL OPPORTUNITIES CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 21.75 | 22.80 | 616,027 | 0.52 | 0.38 | 210 | |||||||||||||||||||||
2004 | 24.07 | 11.14 | 537,086 | 0.53 | 0.41 | 137 | |||||||||||||||||||||
2005 | 28.46 | 18.16 | 485,662 | 0.53 | 0.02 | 72 | |||||||||||||||||||||
2006 | 29.63 | 4.18 | 370,757 | 0.54 | 0.06 | 111 | |||||||||||||||||||||
2007 | 35.23 | 19.54 | 331,243 | 0.54 | 0.66 | 55 | |||||||||||||||||||||
2008 | (j) | 32.96 | (6.23 | )(l) | 278,347 | 0.53 | (k)(n) | (0.13 | )(k)(n) | 16 | (l) | ||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 21.72 | 22.55 | 100,400 | 0.77 | 0.13 | 210 | |||||||||||||||||||||
2004 | 24.03 | 10.86 | 115,741 | 0.78 | 0.16 | 137 | |||||||||||||||||||||
2005 | 28.34 | 17.89 | 123,803 | 0.78 | (0.23 | ) | 72 | ||||||||||||||||||||
2006 | 29.43 | 3.92 | 113,707 | 0.79 | (0.19 | ) | 111 | ||||||||||||||||||||
2007 | 35.06 | 19.24 | 107,710 | 0.79 | 0.41 | 55 | |||||||||||||||||||||
2008 | (j) | 32.78 | (6.35 | )(l) | 88,740 | 0.78 | (k)(n) | (0.38 | )(k)(n) | 16 | (l) |
197
Morgan Stanley Variable Investment Series
Financial Highlights continued
YEAR ENDED DECEMBER 31, | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME (LOSS)(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
S&P 500 INDEX CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | $ | 8.04 | $ | 0.12 | $ | 2.11 | $ | 2.23 | $ | (0.10 | ) | — | $ | (0.10 | ) | ||||||||||||||||
2004 | 10.17 | 0.17 | 0.90 | 1.07 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
2005 | 11.14 | 0.18 | 0.33 | 0.51 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||||||
2006 | 11.46 | 0.20 | 1.56 | 1.76 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||||||
2007 | 13.02 | 0.23 | 0.45 | 0.68 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||||||
2008 | (j) | 13.46 | 0.11 | (1.72 | ) | (1.61 | ) | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 8.00 | 0.09 | 2.10 | 2.19 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
2004 | 10.11 | 0.15 | 0.88 | 1.03 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
2005 | 11.06 | 0.15 | 0.33 | 0.48 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||||||
2006 | 11.38 | 0.17 | 1.54 | 1.71 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||||||
2007 | 12.92 | 0.20 | 0.46 | 0.66 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||||||
2008 | (j) | 13.36 | 0.10 | (1.71 | ) | (1.61 | ) | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||
GLOBAL ADVANTAGE CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 5.63 | 0.05 | 1.69 | 1.74 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||
2004 | 7.30 | 0.06 | 0.85 | 0.91 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2005 | 8.18 | 0.09 | 0.46 | 0.55 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||
2006 | 8.71 | 0.07 | 1.53 | 1.60 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||
2007 | 10.24 | 0.07 | 1.67 | 1.74 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
2008 | (j) | 11.88 | 0.05 | (2.10 | ) | (2.05 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 5.61 | 0.04 | 1.67 | 1.71 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||
2004 | 7.27 | 0.04 | 0.85 | 0.89 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||
2005 | 8.14 | 0.07 | 0.45 | 0.52 | — | — | — | ||||||||||||||||||||||||
2006 | 8.66 | 0.05 | 1.53 | 1.58 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||
2007 | 10.19 | 0.05 | 1.65 | 1.70 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
2008 | (j) | 11.81 | 0.03 | (2.08 | ) | (2.05 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
AGGRESSIVE EQUITY CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 7.87 | 0.01 | 2.04 | 2.05 | 0.00 | (e) | — | — | |||||||||||||||||||||||
2004 | 9.92 | (0.02 | ) | 1.28 | 1.26 | 0.00 | (f) | — | — | ||||||||||||||||||||||
2005 | 11.18 | (0.03 | ) | 2.62 | 2.59 | — | — | — | |||||||||||||||||||||||
2006 | 13.77 | (0.04 | ) | 1.12 | 1.08 | — | — | — | |||||||||||||||||||||||
2007 | 14.85 | 0.06 | 2.86 | 2.92 | — | — | — | ||||||||||||||||||||||||
2008 | (j) | 17.77 | (0.04 | ) | (1.12 | ) | (1.16 | ) | (0.03 | ) | — | (0.03 | ) |
See Notes to Financial Statements
198
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||
YEAR ENDED DECEMBER 31, | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME (LOSS) | PORTFOLIO TURNOVER RATE | |||||||||||||||||||||
S&P 500 INDEX CLASS X SHARES | |||||||||||||||||||||||||||
2003 | $ | 10.17 | 27.85 | % | $ | 135,767 | 0.46 | % | 1.31 | % | 0 | % | |||||||||||||||
2004 | 11.14 | 10.59 | 130,944 | 0.33 | 1.69 | 4 | |||||||||||||||||||||
2005 | 11.46 | 4.64 | 103,899 | 0.28 | 1.59 | 5 | |||||||||||||||||||||
2006 | 13.02 | 15.56 | 84,545 | 0.28 | 1.67 | 4 | |||||||||||||||||||||
2007 | 13.46 | 5.23 | 66,275 | 0.27 | 1.71 | 3 | |||||||||||||||||||||
2008 | (j) | 11.57 | (11.95 | )(l) | 51,970 | 0.29 | (k)(n) | 1.83 | (k)(n) | 8 | (l) | ||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 10.11 | 27.54 | 133,144 | 0.71 | 1.06 | 0 | |||||||||||||||||||||
2004 | 11.06 | 10.29 | 166,085 | 0.58 | 1.44 | 4 | |||||||||||||||||||||
2005 | 11.38 | 4.43 | 172,544 | 0.53 | 1.34 | 5 | |||||||||||||||||||||
2006 | 12.92 | 15.21 | 176,883 | 0.53 | 1.42 | 4 | |||||||||||||||||||||
2007 | 13.36 | 5.00 | 152,984 | 0.52 | 1.46 | 3 | |||||||||||||||||||||
2008 | (j) | 11.51 | (12.05 | )(l) | 121,152 | 0.54 | (k)(n) | 1.58 | (k)(n) | 8 | (l) | ||||||||||||||||
GLOBAL ADVANTAGE CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 7.30 | 31.12 | 25,598 | 0.93 | 0.87 | 98 | |||||||||||||||||||||
2004 | 8.18 | 12.54 | 23,620 | 0.84 | 0.79 | 111 | |||||||||||||||||||||
2005 | 8.71 | 6.80 | 19,227 | 0.92 | 1.09 | 89 | |||||||||||||||||||||
2006 | 10.24 | 18.55 | 17,141 | 0.94 | 0.76 | 96 | |||||||||||||||||||||
2007 | 11.88 | 17.09 | 14,734 | 0.87 | 0.66 | 18 | |||||||||||||||||||||
2008 | (j) | 9.72 | (17.28 | )(l) | 10,642 | 0.93 | (k)(o) | 0.85 | (k)(o) | 16 | (l) | ||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 7.27 | 30.75 | 9,308 | 1.18 | 0.62 | 98 | |||||||||||||||||||||
2004 | 8.14 | 12.29 | 11,032 | 1.09 | 0.54 | 111 | |||||||||||||||||||||
2005 | 8.66 | 6.44 | 10,618 | 1.17 | 0.84 | 89 | |||||||||||||||||||||
2006 | 10.19 | 18.35 | 10,767 | 1.19 | 0.51 | 96 | |||||||||||||||||||||
2007 | 11.81 | 16.68 | 10,236 | 1.12 | 0.41 | 18 | |||||||||||||||||||||
2008 | (j) | 9.69 | (17.43 | )(l) | 7,366 | 1.18 | (k)(o) | 0.60 | (k)(o) | 16 | (l) | ||||||||||||||||
AGGRESSIVE EQUITY CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 9.92 | 26.06 | 42,363 | 0.87 | 0.10 | 195 | |||||||||||||||||||||
2004 | 11.18 | 12.71 | 38,347 | 0.85 | (0.16 | ) | 185 | ||||||||||||||||||||
2005 | 13.77 | 23.17 | 37,130 | 0.86 | (0.29 | ) | 85 | ||||||||||||||||||||
2006 | 14.85 | 7.84 | 30,720 | 0.85 | (0.27 | ) | 59 | ||||||||||||||||||||
2007 | 17.77 | 19.66 | 26,035 | 0.87 | 0.34 | 56 | |||||||||||||||||||||
2008 | (j) | 16.58 | (6.52 | )(l) | 21,034 | 0.86 | (k)(o) | (0.49 | )(k)(o) | 16 | (l) |
199
Morgan Stanley Variable Investment Series
Financial Highlights continued
YEAR ENDED DECEMBER 31, | NET ASSET VALUE BEGINNING OF PERIOD | NET INVESTMENT INCOME (LOSS)(a) | NET REALIZED AND UNREALIZED GAIN (LOSS) | TOTAL FROM INVESTMENT OPERATIONS | DIVIDENDS TO SHAREHOLDERS | DISTRIBUTIONS TO SHAREHOLDERS | TOTAL DIVIDENDS AND DISTRIBUTIONS | ||||||||||||||||||||||||
AGGRESSIVE EQUITY CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | $ | 7.84 | $ | (0.01 | ) | $ | 2.03 | $ | 2.02 | — | — | — | |||||||||||||||||||
2004 | 9.86 | (0.04 | ) | 1.27 | 1.23 | — | — | — | |||||||||||||||||||||||
2005 | 11.09 | (0.06 | ) | 2.58 | 2.52 | — | — | — | |||||||||||||||||||||||
2006 | 13.61 | (0.07 | ) | 1.11 | 1.04 | — | — | — | |||||||||||||||||||||||
2007 | 14.65 | 0.02 | 2.82 | 2.84 | — | — | — | ||||||||||||||||||||||||
2008 | (j) | 17.49 | (0.06 | ) | (1.10 | ) | (1.16 | ) | — | — | — | ||||||||||||||||||||
STRATEGIST CLASS X SHARES | |||||||||||||||||||||||||||||||
2003 | 12.36 | 0.18 | 3.03 | 3.21 | $ | (0.23 | ) | — | $ | (0.23 | ) | ||||||||||||||||||||
2004 | 15.34 | 0.28 | 1.30 | 1.58 | (0.32 | )(g) | — | (0.32 | ) | ||||||||||||||||||||||
2005 | 16.60 | 0.30 | 0.96 | 1.26 | (0.32 | ) | $ | (1.49 | ) | (1.81 | ) | ||||||||||||||||||||
2006 | 16.05 | 0.41 | 1.86 | 2.27 | (0.44 | ) | (1.35 | ) | (1.79 | ) | |||||||||||||||||||||
2007 | 16.53 | 0.46 | 0.92 | 1.38 | (0.46 | ) | (1.90 | ) | (2.36 | ) | |||||||||||||||||||||
2008 | (j) | 15.55 | 0.18 | (1.30 | ) | (1.12 | ) | (0.10 | ) | (1.39 | ) | (1.49 | ) | ||||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||||||
2003 | 12.35 | 0.14 | 3.03 | 3.17 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||||||
2004 | 15.32 | 0.24 | 1.30 | 1.54 | (0.28 | )(g) | — | (0.28 | ) | ||||||||||||||||||||||
2005 | 16.58 | 0.26 | 0.96 | 1.22 | (0.28 | ) | (1.49 | ) | (1.77 | ) | |||||||||||||||||||||
2006 | 16.03 | 0.37 | 1.86 | 2.23 | (0.40 | ) | (1.35 | ) | (1.75 | ) | |||||||||||||||||||||
2007 | 16.51 | 0.42 | 0.92 | 1.34 | (0.42 | ) | (1.90 | ) | (2.32 | ) | |||||||||||||||||||||
2008 | (j) | 15.53 | 0.16 | (1.30 | ) | (1.14 | ) | (0.09 | ) | (1.39 | ) | (1.48 | ) |
(a) The per share amounts were computed using an average number of shares outstanding during the period.
(b) Calculated based on the net asset value as of the last business day of the period.
(c) Reflects overall Portfolio ratios for investment income and non-class specific expenses.
(d) Includes capital gain distribution of less than $0.001.
(e) Distribution of investment income of less than $0.001.
(f) Distribution of investment income of $0.001.
(g) Includes distributions from paid-in-capital of $0.002.
(h) The Adviser fully reimbursed the portfolio for losses incurred resulting from the disposal of investments. Without this reimbursement, the total returns were 4.79% and 4.52% for Class X and Y, respectively. See Note 4.
(i) If the Portfolio had borne all of its expenses that were reimbursed or waived by the Investment Advisor and Administrator, the annualized expense and net investment income ratios would have been as follows:
PERIOD ENDED | EXPENSE RATIO | NET INVESTMENT INCOME INCOME RATIO | |||||||||
June 1 through December 31, 2005 | |||||||||||
Class X | 1.06 | % | 1.56 | % | |||||||
Class Y | 1.31 | 1.31 |
See Notes to Financial Statements
200
RATIOS TO AVERAGE NET ASSETS(c) | |||||||||||||||||||||||||||
YEAR ENDED DECEMBER 31, | NET ASSET VALUE END OF PERIOD | TOTAL RETURN(b) | NET ASSETS END OF PERIOD (000'S) | EXPENSES | NET INVESTMENT INCOME (LOSS) | PORTFOLIO TURNOVER RATE | |||||||||||||||||||||
AGGRESSIVE EQUITY CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | $ | 9.86 | 25.77 | % | $ | 26,519 | 1.12 | % | (0.15 | )% | 195 | % | |||||||||||||||
2004 | 11.09 | 12.47 | 27,793 | 1.10 | (0.41 | ) | 185 | ||||||||||||||||||||
2005 | 13.61 | 22.72 | 30,283 | 1.11 | (0.54 | ) | 85 | ||||||||||||||||||||
2006 | 14.65 | 7.64 | 32,039 | 1.10 | (0.52 | ) | 59 | ||||||||||||||||||||
2007 | 17.49 | 19.39 | 29,837 | 1.12 | 0.09 | 56 | |||||||||||||||||||||
2008 | (j) | 16.33 | (6.63 | )(l) | 24,712 | 1.11 | (k)(o) | (0.74 | )(k)(o) | 16 | (l) | ||||||||||||||||
STRATEGIST CLASS X SHARES | |||||||||||||||||||||||||||
2003 | 15.34 | 26.24 | 388,356 | 0.52 | 1.31 | 93 | |||||||||||||||||||||
2004 | 16.60 | 10.37 | 345,215 | 0.53 | 1.79 | 55 | |||||||||||||||||||||
2005 | 16.05 | 8.32 | 289,876 | 0.54 | 1.84 | 46 | |||||||||||||||||||||
2006 | 16.53 | 15.01 | 258,164 | 0.55 | 2.53 | 36 | |||||||||||||||||||||
2007 | 15.55 | 8.63 | 217,265 | 0.54 | 2.84 | 34 | |||||||||||||||||||||
2008 | (j) | 12.94 | (7.20 | )(l) | 181,556 | 0.54 | (k)(m) | 2.38 | (k)(m) | 22 | (l) | ||||||||||||||||
CLASS Y SHARES | |||||||||||||||||||||||||||
2003 | 15.32 | 25.88 | 89,935 | 0.77 | 1.06 | 93 | |||||||||||||||||||||
2004 | 16.58 | 10.12 | 99,165 | 0.78 | 1.54 | 55 | |||||||||||||||||||||
2005 | 16.03 | 8.06 | 98,066 | 0.79 | 1.59 | 46 | |||||||||||||||||||||
2006 | 16.51 | 14.75 | 101,878 | 0.80 | 2.28 | 36 | |||||||||||||||||||||
2007 | 15.53 | 8.37 | 88,651 | 0.79 | 2.59 | 34 | |||||||||||||||||||||
2008 | (j) | 12.91 | (7.33 | )(l) | 73,864 | 0.79 | (k)(m) | 2.13 | (k)(m) | 22 | (l) |
(i) Continued
PERIOD ENDED | EXPENSE RATIO | NET INVESTMENT INCOME INCOME RATIO | |||||||||
December 31, 2006 | |||||||||||
Class X | 1.07 | % | 1.52 | % | |||||||
Class Y | 1.32 | 1.27 | |||||||||
December 31, 2007 | |||||||||||
Class X | 1.04 | 1.69 | |||||||||
Class Y | 1.29 | 1.44 | |||||||||
June 30, 2008 | |||||||||||
Class X | 1.06 | 4.21 | |||||||||
Class Y | 1.31 | 3.96 |
(j) For the six months ended June 30, 2008 (unaudited).
(k) Annualized.
(l) Not annualized.
(m) Reflects rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley Institutional Liquidity Money Market Portfolio- Institutional Class during the period. As a result of such rebate, the expenses as a percentage of it net assets had an effect of 0.02%.
(n) Reflects rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley Institutional Liquidity Money Market Portfolio- Institutional Class during the period. As a result of such rebate, the expenses as a percentage of it net assets had an effect of 0.01%.
(o) Reflects rebate of certain Portfolio expenses in connection with the investments in Morgan Stanley Institutional Liquidity Money Market Portfolio- Institutional Class during the period. As a result of such rebate, the expenses as a percentage of it net assets had an effect of less than 0.005%.
201
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Trustees | |||||||
Frank L. Bowman | Joseph J. Kearns | ||||||
Michael Bozic | Michael F. Klein | ||||||
Kathleen A. Dennis | Michael E. Nugent | ||||||
James F. Higgins | W. Allen Reed | ||||||
Dr. Manuel H. Johnson | Fergus Reid | ||||||
Officers | |||||||
Michael E. Nugent Chairperson of the Board | |||||||
Ronald E. Robison President and Principal Executive Officer | |||||||
Kevin Klingert Vice President | |||||||
Dennis F. Shea Vice President | |||||||
Amy R. Doberman Vice President | |||||||
Carsten Otto Chief Compliance Officer | |||||||
Stefanie V. Chang Yu Vice President | |||||||
Francis J. Smith Treasurer and Chief Financial Officer | |||||||
Mary E. Mullin Secretary | |||||||
Transfer Agent | Independent Registered Public Accounting Firm | ||||||
Morgan Stanley Trust Harborside Financial Center, Plaza Two Jersey City, New Jersey 07311 | Deloitte & Touche LLP Two World Financial Center New York, New York 10281 | ||||||
Legal Counsel | Counsel to the Independent Trustees | ||||||
Clifford Chance US LLP 31 West 52nd Street New York, New York 10019 | Kramer Levin Naftalis & Frankel LLP 1177 Avenue of the Americas New York, New York 10036 | ||||||
Investment Adviser | Sub-Adviser (Global Dividend Growth and European Equity) | ||||||
Morgan Stanley Investment Advisors Inc. 522 Fifth Avenue New York, New York 10036 | Morgan Stanley Investment Management Limited 20 Bank Street, Canary Wharf London, England E14 4AD | ||||||
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 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) 869-NEWS.
This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective Prospectus. Read the Prospectus carefully before investing.
Morgan Stanley Funds are distributed by Morgan Stanley Distributors Inc.
Morgan Stanley Distributors Inc., member FINRA.
VARINSNN
IU08-04405P-Y06/08
#40113A
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.
Morgan Stanley Variable Investment Series
/s/ Ronald E. Robison |
|
Ronald E. Robison | |
Principal Executive Officer | |
August 15, 2008 |
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/ Ronald E. Robison |
|
Ronald E. Robison | |
Principal Executive Officer | |
August 15, 2008 |
/s/ Francis Smith |
|
Francis Smith | |
Principal Financial Officer | |
August 15, 2008 |