Morgan Stanley Variable Investment Series - Income Plus Portfolio
Portfolio of Investments · September 30, 2019 (unaudited)
PRINCIPAL |
|
|
| COUPON |
| MATURITY |
| VALUE |
| ||
|
| Corporate Bonds (98.3%) |
|
|
|
|
|
|
| ||
|
| Basic Materials (4.4%) |
|
|
|
|
|
|
| ||
$ | 275 |
| Celanese US Holdings LLC |
| 3.50 | % | 05/08/24 |
| $ | 285,308 |
|
125 |
| Dow Chemical Co. (The) (a) |
| 5.55 |
| 11/30/48 |
| 151,842 |
| ||
200 |
| Eldorado Gold Corp. (Canada) (a) |
| 9.50 |
| 06/01/24 |
| 217,000 |
| ||
200 |
| Glencore Funding LLC (Switzerland) (a) |
| 3.875 |
| 10/27/27 |
| 205,070 |
| ||
225 |
| Glencore Funding LLC (Switzerland) (a) |
| 4.125 |
| 03/12/24 |
| 236,170 |
| ||
75 |
| LYB International Finance III LLC (b) |
| 4.20 |
| 10/15/49 |
| 74,616 |
| ||
500 |
| Newcastle Coal Infrastructure Group Pty Ltd. (Australia) (a) |
| 4.40 |
| 09/29/27 |
| 498,848 |
| ||
175 |
| Newmont Goldcorp Corp. |
| 5.45 |
| 06/09/44 |
| 219,396 |
| ||
200 |
| NOVA Chemicals Corp. (Canada) (a) |
| 4.875 |
| 06/01/24 |
| 206,420 |
| ||
150 |
| Nucor Corp. |
| 3.95 |
| 05/01/28 |
| 163,816 |
| ||
200 |
| POSCO (Korea, Republic of) (a) |
| 4.00 |
| 08/01/23 |
| 210,344 |
| ||
425 |
| Sherwin-Williams Co. (The) |
| 2.95 |
| 08/15/29 |
| 426,691 |
| ||
315 |
| Southern Copper Corp. (Mexico) |
| 7.50 |
| 07/27/35 |
| 422,887 |
| ||
175 |
| Westlake Chemical Corp. |
| 4.375 |
| 11/15/47 |
| 172,302 |
| ||
|
|
|
|
|
|
|
| 3,490,710 |
| ||
|
| Communications (9.0%) |
|
|
|
|
|
|
| ||
300 |
| Amazon.com, Inc. |
| 4.25 |
| 08/22/57 |
| 373,502 |
| ||
EUR | 100 |
| AT&T, Inc. |
| 1.80 |
| 09/05/26 |
| 118,364 |
| |
$ | 400 |
| AT&T, Inc. |
| 3.80 |
| 02/15/27 |
| 423,995 |
| |
251 |
| AT&T, Inc. |
| 4.50 |
| 03/09/48 |
| 270,423 |
| ||
350 |
| AT&T, Inc. |
| 4.90 |
| 08/15/37 |
| 397,580 |
| ||
275 |
| AT&T, Inc. |
| 5.15 |
| 02/15/50 |
| 322,755 |
| ||
220 |
| Baidu, Inc. (China) |
| 2.875 |
| 07/06/22 |
| 221,396 |
| ||
150 |
| Booking Holdings, Inc. |
| 0.90 |
| 09/15/21 |
| 174,303 |
| ||
425 |
| Charter Communications Operating LLC/Charter Communications Operating Capital |
| 4.20 |
| 03/15/28 |
| 447,344 |
| ||
150 |
| Charter Communications Operating LLC/Charter Communications Operating Capital |
| 6.484 |
| 10/23/45 |
| 182,785 |
| ||
225 |
| Comcast Corp. |
| 3.55 |
| 05/01/28 |
| 241,908 |
| ||
600 |
| Comcast Corp. |
| 4.049 |
| 11/01/52 |
| 670,255 |
| ||
200 |
| Comcast Corp. |
| 4.15 |
| 10/15/28 |
| 224,529 |
| ||
250 |
| Fox Corp. (a) |
| 5.576 |
| 01/25/49 |
| 316,789 |
| ||
300 |
| Sprint Spectrum Co., LLC/Sprint Spectrum Co., II LLC/Sprint Spectrum Co., III LLC (a) |
| 3.36 |
| 03/20/23 |
| 301,875 |
| ||
200 |
| Sprint Spectrum Co., LLC/Sprint Spectrum Co., II LLC/Sprint Spectrum Co., III LLC (a) |
| 4.738 |
| 09/20/29 |
| 213,102 |
| ||
175 |
| Telefonica Emisiones SA (Spain) |
| 4.103 |
| 03/08/27 |
| 190,604 |
| ||
330 |
| Telefonica Europe BV (Spain) |
| 8.25 |
| 09/15/30 |
| 479,709 |
| ||
375 |
| Tencent Holdings Ltd. (China) (a) |
| 3.595 |
| 01/19/28 |
| 391,827 |
| ||
375 |
| Verizon Communications, Inc. |
| 4.272 |
| 01/15/36 |
| 422,325 |
| ||
203 |
| Verizon Communications, Inc. |
| 4.672 |
| 03/15/55 |
| 243,868 |
| ||
200 |
| Vodafone Group PLC (United Kingdom) |
| 4.375 |
| 02/19/43 |
| 207,035 |
| ||
175 |
| Vodafone Group PLC (United Kingdom) |
| 5.125 |
| 06/19/59 |
| 201,334 |
| ||
148 |
| Zillow Group, Inc. |
| 2.00 |
| 12/01/21 |
| 147,075 |
| ||
|
|
|
|
|
|
|
| 7,184,682 |
| ||
|
| Consumer Discretionary (0.8%) |
|
|
|
|
|
|
| ||
550 |
| Sands China Ltd. (Macau) |
| 5.40 |
| 08/08/28 |
| 620,829 |
| ||
|
| Consumer Staples (0.3%) |
|
|
|
|
|
|
| ||
175 |
| Altria Group, Inc. |
| 5.95 |
| 02/14/49 |
| 206,083 |
| ||
|
| Consumer, Cyclical (9.5%) |
|
|
|
|
|
|
| ||
275 |
| Alimentation Couche-Tard, Inc. (Canada) (a) |
| 3.55 |
| 07/26/27 |
| 286,123 |
| ||
248 |
| American Airlines Pass-Through Trust |
| 4.00 |
| 01/15/27 |
| 261,181 |
| ||
525 |
| American Airlines Pass-Through Trust, Series AA |
| 3.15 |
| 08/15/33 |
| 541,238 |
| ||
477 |
| British Airways Pass-Through Trust (United Kingdom) (a) |
| 4.625 |
| 12/20/25 |
| 506,398 |
|
325 |
| CVS Health Corp. |
| 4.30 |
| 03/25/28 |
| 351,728 |
|
525 |
| CVS Health Corp. |
| 4.78 |
| 03/25/38 |
| 575,891 |
|
200 |
| Daimler Finance North America LLC (Germany) (a) |
| 2.70 |
| 06/14/24 |
| 200,838 |
|
200 |
| Daimler Finance North America LLC (Germany) (a) |
| 3.10 |
| 08/15/29 |
| 202,535 |
|
475 |
| Delta Air Lines, Inc. |
| 3.625 |
| 03/15/22 |
| 488,216 |
|
200 |
| Delta Air Lines, Inc., Series AA |
| 3.204 |
| 10/25/25 |
| 209,170 |
|
525 |
| Dollar Tree, Inc. |
| 4.00 |
| 05/15/25 |
| 556,713 |
|
110 |
| Dollar Tree, Inc. |
| 4.20 |
| 05/15/28 |
| 118,298 |
|
300 |
| Ferguson Finance PLC (United Kingdom) (a) |
| 4.50 |
| 10/24/28 |
| 321,718 |
|
300 |
| Ford Motor Credit Co., LLC |
| 3.096 |
| 05/04/23 |
| 294,701 |
|
300 |
| General Motors Co. |
| 6.60 |
| 04/01/36 |
| 344,233 |
|
75 |
| Home Depot, Inc. (The) |
| 4.875 |
| 02/15/44 |
| 96,817 |
|
175 |
| Home Depot, Inc. (The) |
| 5.875 |
| 12/16/36 |
| 242,319 |
|
75 |
| Kohl’s Corp. |
| 5.55 |
| 07/17/45 |
| 77,257 |
|
150 |
| Las Vegas Sands Corp. |
| 3.20 |
| 08/08/24 |
| 152,948 |
|
150 |
| Macy’s Retail Holdings, Inc. |
| 2.875 |
| 02/15/23 |
| 148,384 |
|
— |
| Newell Brands, Inc. |
| 3.85 |
| 04/01/23 |
| 0 |
|
150 |
| Newell Brands, Inc. |
| 4.20 |
| 04/01/26 |
| 157,065 |
|
400 |
| Resorts World Las Vegas LLC/RWLV Capital, Inc. (Malaysia) (a) | 4.625 |
| 04/16/29 |
| 420,648 |
| |
200 |
| Starbucks Corp. |
| 4.45 |
| 08/15/49 |
| 232,093 |
|
207 |
| United Airlines Pass-Through Trust, Class A |
| 4.30 |
| 02/15/27 |
| 224,058 |
|
275 |
| Volkswagen Group of America Finance LLC (Germany) (a) |
| 4.75 |
| 11/13/28 |
| 306,188 |
|
200 |
| Walmart, Inc. |
| 3.625 |
| 12/15/47 |
| 225,009 |
|
|
|
|
|
|
|
|
| 7,541,767 |
|
|
| Consumer, Non-Cyclical (10.3%) |
|
|
|
|
|
|
|
775 |
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. (Belgium) |
| 4.90 |
| 02/01/46 |
| 926,195 |
|
150 |
| Anthem, Inc. |
| 2.375 |
| 01/15/25 |
| 149,619 |
|
300 |
| Ashtead Capital, Inc. (United Kingdom) (a) |
| 4.125 |
| 08/15/25 |
| 306,750 |
|
200 |
| Ashtead Capital, Inc. (United Kingdom) (a) |
| 5.25 |
| 08/01/26 |
| 213,250 |
|
200 |
| BAT Capital Corp. (United Kingdom) |
| 3.557 |
| 08/15/27 |
| 201,636 |
|
175 |
| BAT Capital Corp. (United Kingdom) |
| 4.54 |
| 08/15/47 |
| 168,052 |
|
200 |
| Bayer US Finance II LLC (Germany) (a) |
| 4.625 |
| 06/25/38 |
| 216,740 |
|
325 |
| Bristol-Myers Squibb Co. (a) |
| 4.25 |
| 10/26/49 |
| 377,935 |
|
224 |
| Cigna Corp. |
| 4.375 |
| 10/15/28 |
| 245,209 |
|
150 |
| Cigna Corp. |
| 4.90 |
| 12/15/48 |
| 172,310 |
|
100 |
| Cigna Holding Co. |
| 3.875 |
| 10/15/47 |
| 99,080 |
|
75 |
| Conagra Brands, Inc. |
| 5.40 |
| 11/01/48 |
| 89,115 |
|
275 |
| Constellation Brands, Inc. |
| 4.40 |
| 11/15/25 |
| 304,269 |
|
100 |
| CVS Health Corp. |
| 5.05 |
| 03/25/48 |
| 113,672 |
|
625 |
| Diageo Capital PLC Co. (United Kingdom) |
| 2.125 |
| 10/24/24 |
| 624,819 |
|
125 |
| Diamond Sports Group LLC/Diamond Sports Finance Co. (a) |
| 6.625 |
| 08/15/27 |
| 130,000 |
|
225 |
| DP World PLC (United Arab Emirates) (a) |
| 5.625 |
| 09/25/48 |
| 260,968 |
|
312 |
| EMD Finance LLC (Germany) (a) |
| 3.25 |
| 03/19/25 |
| 319,384 |
|
270 |
| Fresenius Medical Care US Finance III, Inc. (a) |
| 3.75 |
| 06/15/29 |
| 272,123 |
|
225 |
| Gilead Sciences, Inc. |
| 4.80 |
| 04/01/44 |
| 269,477 |
|
275 |
| Grupo Bimbo SAB de CV (Mexico) (a) |
| 3.875 |
| 06/27/24 |
| 286,107 |
|
150 |
| HCA, Inc. |
| 5.25 |
| 06/15/49 |
| 164,261 |
|
250 |
| Humana, Inc. |
| 3.95 |
| 03/15/27 |
| 265,564 |
|
500 |
| Imperial Brands Finance PLC (United Kingdom) (a) |
| 3.125 |
| 07/26/24 |
| 501,557 |
|
130 |
| Kraft Heinz Foods Co. (a) |
| 3.75 |
| 04/01/30 |
| 131,325 |
|
200 |
| Mars, Inc. (a) |
| 3.20 |
| 04/01/30 |
| 211,767 |
|
29 |
| Medtronic, Inc. |
| 4.625 |
| 03/15/45 |
| 37,280 |
|
300 |
| Mondelez International Holdings Netherlands BV (a) |
| 2.25 |
| 09/19/24 |
| 298,901 |
|
150 |
| Novartis Capital Corp. (Switzerland) |
| 4.40 |
| 05/06/44 |
| 185,816 |
|
525 |
| Smithfield Foods, Inc. (a) |
| 5.20 |
| 04/01/29 |
| 578,192 |
|
75 |
| Teva Pharmaceutical Finance Netherlands III BV (Israel) |
| 2.80 |
| 07/21/23 |
| 60,750 |
|
|
|
|
|
|
|
|
| 8,182,123 |
|
|
| Energy (8.9%) |
|
|
|
|
|
|
|
200 |
| APT Pipelines Ltd. (Australia) (a) |
| 4.20 |
| 03/23/25 |
| 211,915 |
|
200 |
| BG Energy Capital PLC (United Kingdom) (a) |
| 5.125 |
| 10/15/41 |
| 257,226 |
|
500 |
| BP Capital Markets America, Inc. |
| 3.119 |
| 05/04/26 |
| 521,720 |
|
250 |
| Cimarex Energy Co. |
| 3.90 |
| 05/15/27 |
| 254,752 |
|
200 |
| Cimarex Energy Co. |
| 4.375 |
| 03/15/29 |
| 210,657 |
|
375 |
| Concho Resources, Inc. |
| 3.75 |
| 10/01/27 |
| 390,088 |
|
100 |
| Concho Resources, Inc. |
| 4.85 |
| 08/15/48 |
| 114,752 |
|
50 |
| Energy Transfer Operating L.P. |
| 5.15 |
| 03/15/45 |
| 52,562 |
|
200 |
| Energy Transfer Operating L.P. |
| 5.30 |
| 04/15/47 |
| 215,480 |
|
250 |
| Enterprise Products Operating LLC |
| 4.20 |
| 01/31/50 |
| 268,529 |
|
250 |
| Exxon Mobil Corp. |
| 4.114 |
| 03/01/46 |
| 296,365 |
|
125 |
| Halliburton Co. |
| 5.00 |
| 11/15/45 |
| 139,797 |
|
175 |
| Hilcorp Energy I LP/Hilcorp Finance Co. (a) |
| 6.25 |
| 11/01/28 |
| 163,625 |
|
200 |
| Kinder Morgan, Inc. |
| 5.55 |
| 06/01/45 |
| 236,083 |
|
450 |
| Marathon Petroleum Corp. |
| 4.75 |
| 12/15/23 |
| 488,423 |
|
250 |
| Midwest Connector Capital Co. LLC (a) |
| 3.625 |
| 04/01/22 |
| 256,539 |
|
175 |
| MPLX L.P. (a) |
| 5.20 |
| 12/01/47 |
| 191,544 |
|
325 |
| MPLX LP |
| 4.00 |
| 02/15/25 |
| 343,600 |
|
100 |
| Noble Energy, Inc. |
| 4.95 |
| 08/15/47 |
| 109,308 |
|
325 |
| Occidental Petroleum Corp. |
| 3.50 |
| 08/15/29 |
| 329,883 |
|
200 |
| Patterson-UTI Energy, Inc. |
| 3.95 |
| 02/01/28 |
| 201,642 |
|
350 |
| Rockies Express Pipeline LLC (a) |
| 6.875 |
| 04/15/40 |
| 382,655 |
|
650 |
| Santos Finance Ltd. (Australia) |
| 4.125 |
| 09/14/27 |
| 661,317 |
|
325 |
| Saudi Arabian Oil Co. (Saudi Arabia) (a) |
| 3.50 |
| 04/16/29 |
| 339,408 |
|
200 |
| Transportadora de Gas Internacional SA ESP (Colombia) (a) |
| 5.55 |
| 11/01/28 |
| 231,252 |
|
225 |
| Williams Cos., Inc. (The) |
| 4.30 |
| 03/04/24 |
| 239,306 |
|
|
|
|
|
|
|
|
| 7,108,428 |
|
|
| Finance (35.3%) |
|
|
|
|
|
|
|
150 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
| 3.50 |
| 05/26/22 |
| 153,876 |
|
350 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
| 4.125 |
| 07/03/23 |
| 367,338 |
|
400 |
| Air Lease Corp. |
| 3.75 |
| 06/01/26 |
| 415,866 |
|
250 |
| American International Group, Inc. |
| 4.25 |
| 03/15/29 |
| 274,108 |
|
175 |
| American International Group, Inc. |
| 4.50 |
| 07/16/44 |
| 195,274 |
|
175 |
| Banco de Credito del Peru (Peru) (a) |
| 2.70 |
| 01/11/25 |
| 175,219 |
|
150 |
| Bank of America Corp. |
| 3.974 |
| 02/07/30 |
| 164,051 |
|
625 |
| Bank of America Corp. |
| 4.244 |
| 04/24/38 |
| 715,147 |
|
205 |
| Bank of America Corp. |
| 7.75 |
| 05/14/38 |
| 312,814 |
|
400 |
| Bank of America Corp., MTN |
| 4.25 |
| 10/22/26 |
| 432,252 |
|
400 |
| BBVA USA |
| 2.50 |
| 08/27/24 |
| 397,811 |
|
275 |
| BNP Paribas SA (France) (a) |
| 4.40 |
| 08/14/28 |
| 304,028 |
|
400 |
| Boston Properties LP |
| 3.65 |
| 02/01/26 |
| 423,626 |
|
250 |
| BPCE SA (France) (a) |
| 4.00 |
| 09/12/23 |
| 263,839 |
|
400 |
| BPCE SA (France) (a) |
| 5.15 |
| 07/21/24 |
| 438,284 |
|
50 |
| Brighthouse Financial, Inc. |
| 4.70 |
| 06/22/47 |
| 44,694 |
|
215 |
| Brighthouse Financial, Inc., Series WI |
| 3.70 |
| 06/22/27 |
| 212,513 |
|
400 |
| Brookfield Finance, Inc. (Canada) |
| 4.25 |
| 06/02/26 |
| 426,285 |
|
100 |
| Brookfield Finance, Inc. (Canada) |
| 4.85 |
| 03/29/29 |
| 113,269 |
|
275 |
| Capital One Financial Corp. |
| 3.30 |
| 10/30/24 |
| 284,818 |
|
625 |
| Capital One Financial Corp. |
| 3.75 |
| 03/09/27 |
| 656,629 |
|
250 |
| CIT Bank NA |
| 2.969 |
| 09/27/25 |
| 250,394 |
|
725 |
| Citigroup, Inc. |
| 3.98 |
| 03/20/30 |
| 788,966 |
|
425 |
| Citigroup, Inc. |
| 4.45 |
| 09/29/27 |
| 464,099 |
|
155 |
| CNO Financial Group, Inc. |
| 5.25 |
| 05/30/29 |
| 170,112 |
|
200 |
| Commerzbank AG (Germany) (a) |
| 8.125 |
| 09/19/23 |
| 233,355 |
|
575 |
| Credit Agricole SA (France) (a) |
| 3.75 |
| 04/24/23 |
| 601,343 |
|
250 |
| Credit Agricole SA (France) (a) |
| 4.125 |
| 01/10/27 |
| 271,273 |
|
550 |
| Credit Suisse Group AG (Switzerland) (a) |
| 2.593 |
| 09/11/25 |
| 544,932 |
|
250 |
| Credit Suisse Group AG (Switzerland) (a) |
| 3.574 |
| 01/09/23 |
| 255,755 |
|
200 |
| Danske Bank A/S (Denmark) (a) |
| 3.001 |
| 09/20/22 |
| 200,790 |
|
200 |
| Danske Bank A/S (Denmark) (a) |
| 5.00 |
| 01/12/22 |
| 210,340 |
|
450 |
| Deutsche Bank AG (Germany) |
| 2.70 |
| 07/13/20 |
| 449,151 |
|
225 |
| Deutsche Bank AG (Germany) |
| 3.15 |
| 01/22/21 |
| 224,908 |
|
300 |
| Discover Financial Services |
| 3.95 |
| 11/06/24 |
| 318,532 |
|
425 |
| Enstar Group Ltd. (Bermuda) |
| 4.95 |
| 06/01/29 |
| 449,542 |
|
700 |
| GE Capital International Funding Co., Unlimited Co. |
| 4.418 |
| 11/15/35 |
| 733,794 |
|
200 |
| GLP Capital LP/GLP Financing II, Inc. |
| 4.00 |
| 01/15/30 |
| 201,994 |
|
175 |
| Goldman Sachs Group, Inc. (The) |
| 4.223 |
| 05/01/29 |
| 191,181 |
|
375 |
| Goldman Sachs Group, Inc. (The) |
| 6.25 |
| 02/01/41 |
| 518,530 |
|
300 |
| Goldman Sachs Group, Inc. (The) |
| 6.75 |
| 10/01/37 |
| 405,479 |
|
150 |
| Great-West Lifeco Finance LP (Canada) (a) |
| 4.581 |
| 05/17/48 |
| 179,448 |
|
250 |
| Guardian Life Insurance Co. of America (The) (a) |
| 4.85 |
| 01/24/77 |
| 316,782 |
|
100 |
| Harborwalk Funding Trust (a) |
| 5.077 |
| 02/15/69 |
| 120,782 |
|
400 |
| Hartford Financial Services Group, Inc. (The) (c) |
| 2.80 |
| 08/19/29 |
| 399,473 |
|
375 |
| High Street Funding Trust I (a) |
| 4.111 |
| 02/15/28 |
| 404,089 |
|
275 |
| HSBC Holdings PLC (United Kingdom) |
| 3.803 |
| 03/11/25 |
| 286,717 |
|
525 |
| HSBC Holdings PLC (United Kingdom) |
| 3.90 |
| 05/25/26 |
| 556,173 |
|
425 |
| HSBC Holdings PLC (United Kingdom) |
| 3.95 |
| 05/18/24 |
| 445,017 |
|
250 |
| HSBC Holdings PLC (United Kingdom) |
| 4.375 |
| 11/23/26 |
| 267,681 |
|
250 |
| ING Groep N.V. (Netherlands) (a) |
| 4.625 |
| 01/06/26 |
| 277,023 |
|
250 |
| iStar, Inc. |
| 5.25 |
| 09/15/22 |
| 255,937 |
|
375 |
| John Deere Capital Corp. |
| 3.45 |
| 03/07/29 |
| 406,027 |
|
375 |
| JPMorgan Chase & Co. |
| 3.702 |
| 05/06/30 |
| 402,137 |
|
325 |
| JPMorgan Chase & Co. |
| 3.782 |
| 02/01/28 |
| 347,979 |
|
375 |
| JPMorgan Chase & Co. |
| 4.005 |
| 04/23/29 |
| 409,902 |
|
330 |
| JPMorgan Chase & Co. |
| 4.95 |
| 06/01/45 |
| 411,631 |
|
225 |
| Kilroy Realty LP |
| 3.05 |
| 02/15/30 |
| 220,692 |
|
175 |
| Kimco Realty Corp. |
| 3.70 |
| 10/01/49 |
| 171,695 |
|
275 |
| Lloyds Banking Group PLC (United Kingdom) |
| 3.574 |
| 11/07/28 |
| 280,857 |
|
325 |
| Marsh & McLennan Cos., Inc. |
| 3.875 |
| 03/15/24 |
| 346,313 |
|
200 |
| MassMutual Global Funding II (a) |
| 3.40 |
| 03/08/26 |
| 212,234 |
|
200 |
| MDC GMTN B.V. (United Arab Emirates) (a) |
| 4.50 |
| 11/07/28 |
| 230,858 |
|
250 |
| MetLife, Inc. (c) |
| 5.70 |
| 06/15/35 |
| 337,711 |
|
300 |
| Nationwide Building Society (United Kingdom) (a) |
| 4.302 |
| 03/08/29 |
| 321,405 |
|
425 |
| Nationwide Building Society (United Kingdom) (a) |
| 4.363 |
| 08/01/24 |
| 446,586 |
|
100 |
| Northwestern Mutual Life Insurance Co. (The) (a) |
| 3.625 |
| 09/30/59 |
| 102,587 |
|
275 |
| PartnerRe Finance B LLC |
| 3.70 |
| 07/02/29 |
| 287,123 |
|
250 |
| Pine Street Trust I (a) |
| 4.572 |
| 02/15/29 |
| 267,603 |
|
125 |
| Principal Financial Group, Inc. |
| 3.70 |
| 05/15/29 |
| 134,738 |
|
575 |
| Royal Bank of Scotland Group PLC (United Kingdom) |
| 3.875 |
| 09/12/23 |
| 594,012 |
|
750 |
| Santander UK Group Holdings PLC (United Kingdom) |
| 3.571 |
| 01/10/23 |
| 761,065 |
|
300 |
| Santander UK Group Holdings PLC (United Kingdom) |
| 4.796 |
| 11/15/24 |
| 321,546 |
|
325 |
| Santander UK PLC (United Kingdom) (a) |
| 5.00 |
| 11/07/23 |
| 345,622 |
|
200 |
| SCOR SE, Series . (France) (d) |
| 5.25 |
| 03/13/29 |
| 195,355 |
|
350 |
| Service Properties Trust |
| 4.35 |
| 10/01/24 |
| 354,544 |
|
225 |
| Shinhan Bank Co. Ltd. (Korea, Republic of) (a) |
| 4.00 |
| 04/23/29 |
| 240,164 |
|
100 |
| Synchrony Financial |
| 2.85 |
| 07/25/22 |
| 100,881 |
|
125 |
| TD Ameritrade Holding Corp. |
| 3.30 |
| 04/01/27 |
| 131,378 |
|
350 |
| TD Ameritrade Holding Corp. |
| 3.625 |
| 04/01/25 |
| 372,434 |
|
400 |
| Trust F/1401 (Mexico) (a) |
| 5.25 |
| 12/15/24 |
| 429,000 |
|
525 |
| UBS Group Funding Switzerland AG (Switzerland) (a) |
| 3.491 |
| 05/23/23 |
| 539,173 |
|
325 |
| WEA Finance LLC/Westfield UK & Europe Finance PLC (a) |
| 3.25 |
| 10/05/20 |
| 328,356 |
|
250 |
| Wells Fargo & Co. |
| 3.00 |
| 10/23/26 |
| 256,975 |
|
|
|
|
|
|
|
|
| 28,073,916 |
|
|
| Industrials (4.2%) |
|
|
|
|
|
|
|
325 |
| Aviation Capital Group LLC (a) |
| 4.375 |
| 01/30/24 |
| 342,458 |
|
250 |
| Boeing Co. (The) |
| 3.95 |
| 08/01/59 |
| 275,490 |
|
375 |
| Burlington Northern Santa Fe LLC |
| 4.55 |
| 09/01/44 |
| 450,835 |
|
165 |
| Embraer Netherlands Finance BV (Brazil) |
| 5.40 |
| 02/01/27 |
| 187,277 |
|
350 |
| Fortune Brands Home & Security, Inc. |
| 4.00 |
| 09/21/23 |
| 370,156 |
|
510 |
| Heathrow Funding Ltd. (United Kingdom) (a) |
| 4.875 |
| 07/15/23 |
| 532,387 |
|
425 |
| Nvent Finance Sarl (United Kingdom) |
| 3.95 |
| 04/15/23 |
| 433,349 |
|
125 |
| Tyco Electronics Group SA (Switzerland) |
| 3.125 |
| 08/15/27 |
| 128,617 |
|
200 |
| Wabtec Corp. |
| 4.95 |
| 09/15/28 |
| 220,717 |
|
225 |
| Walt Disney Co. (The) (a) |
| 4.75 |
| 09/15/44 |
| 291,876 |
|
100 |
| Walt Disney Co. (The) (a) |
| 4.95 |
| 10/15/45 |
| 134,330 |
|
|
|
|
|
|
|
|
| 3,367,492 |
|
|
| Technology (5.5%) |
|
|
|
|
|
|
|
164 |
| Akamai Technologies, Inc. |
| 0.125 |
| 05/01/25 |
| 188,538 |
|
400 |
| Apple, Inc. |
| 3.85 |
| 08/04/46 |
| 451,601 |
|
500 |
| Dell International LLC/EMC Corp. (a) |
| 4.90 |
| 10/01/26 |
| 536,373 |
|
200 |
| Fiserv, Inc. |
| 4.20 |
| 10/01/28 |
| 221,420 |
|
850 |
| International Business Machines Corp. |
| 3.30 |
| 05/15/26 |
| 897,063 |
|
225 |
| International Business Machines Corp. |
| 4.15 |
| 05/15/39 |
| 257,018 |
|
525 |
| Microsoft Corp. |
| 4.45 |
| 11/03/45 |
| 663,935 |
|
166 |
| Nuance Communications, Inc. |
| 1.00 |
| 12/15/35 |
| 157,700 |
|
200 |
| NXP Semiconductors N.V. (Netherlands) |
| 1.00 |
| 12/01/19 |
| 218,137 |
|
200 |
| Oracle Corp. |
| 3.80 |
| 11/15/37 |
| 218,083 |
|
150 |
| Oracle Corp. |
| 4.00 |
| 11/15/47 |
| 168,127 |
|
200 |
| STMicroelectronics N.V., Series B (Switzerland) |
| 0.25 |
| 07/03/24 |
| 239,788 |
|
149 |
| Verint Systems, Inc. |
| 1.50 |
| 06/01/21 |
| 150,556 |
|
|
|
|
|
|
|
|
| 4,368,339 |
|
|
| Utilities (10.1%) |
|
|
|
|
|
|
|
250 |
| Abu Dhabi National Energy Co., PJSC (United Arab Emirates) (a) | 4.375 |
| 06/22/26 |
| 269,425 |
| |
400 |
| Alabama Power Co. |
| 3.75 |
| 03/01/45 |
| 431,803 |
|
575 |
| Avangrid, Inc. |
| 3.80 |
| 06/01/29 |
| 618,260 |
|
175 |
| Black Hills Corp. |
| 3.15 |
| 01/15/27 |
| 177,544 |
|
75 |
| Black Hills Corp. |
| 4.35 |
| 05/01/33 |
| 84,578 |
|
250 |
| Boston Gas Co. (a) |
| 4.487 |
| 02/15/42 |
| 291,289 |
|
175 |
| Cleveland Electric Illuminating Co. (The) (a) |
| 4.55 |
| 11/15/30 |
| 199,304 |
|
200 |
| Consorcio Transmantaro SA (Peru) (a) |
| 4.70 |
| 04/16/34 |
| 218,000 |
|
250 |
| Duke Energy Indiana LLC, Series YYY |
| 3.25 |
| 10/01/49 |
| 250,020 |
|
350 |
| Electricite de France SA (France) (a) |
| 4.50 |
| 09/21/28 |
| 391,107 |
|
225 |
| Enel Finance International N.V. (Italy) (a) |
| 6.00 |
| 10/07/39 |
| 281,494 |
|
300 |
| Entergy Arkansas LLC |
| 3.50 |
| 04/01/26 |
| 319,397 |
|
150 |
| Entergy Louisiana LLC |
| 3.05 |
| 06/01/31 |
| 155,590 |
|
300 |
| Fortis, Inc., Series WI (Canada) |
| 2.10 |
| 10/04/21 |
| 299,102 |
|
50 |
| Indiana Michigan Power Co. |
| 4.25 |
| 08/15/48 |
| 59,082 |
|
100 |
| Interstate Power & Light Co. |
| 3.50 |
| 09/30/49 |
| 100,948 |
|
275 |
| Mid-Atlantic Interstate Transmission LLC (a) |
| 4.10 |
| 05/15/28 |
| 303,415 |
|
250 |
| Mississippi Power Co. |
| 3.95 |
| 03/30/28 |
| 272,531 |
|
450 |
| NextEra Energy Capital Holdings, Inc. |
| 3.55 |
| 05/01/27 |
| 477,357 |
|
200 |
| NiSource, Inc. |
| 2.95 |
| 09/01/29 |
| 201,504 |
|
150 |
| Northern States Power Co. |
| 2.90 |
| 03/01/50 |
| 145,451 |
|
200 |
| NSTAR Electric Co. |
| 3.25 |
| 05/15/29 |
| 213,449 |
|
225 |
| Oglethorpe Power Corp. |
| 5.05 |
| 10/01/48 |
| 272,621 |
|
175 |
| Public Service Co. of Colorado, Series 34 |
| 3.20 |
| 03/01/50 |
| 178,761 |
|
150 |
| Southern California Edison Co. |
| 4.00 |
| 04/01/47 |
| 161,134 |
|
525 |
| Trans-Allegheny Interstate Line Co. (a) |
| 3.85 |
| 06/01/25 |
| 558,492 |
|
221 |
| TransAlta Corp. (Canada) |
| 4.50 |
| 11/15/22 |
| 228,940 |
|
475 |
| Virginia Electric & Power Co., Series B |
| 4.20 |
| 05/15/45 |
| 542,539 |
|
325 |
| Vistra Operations Co. LLC (a) |
| 4.30 |
| 07/15/29 |
| 333,843 |
|
|
|
|
|
|
|
|
| 8,036,980 |
|
|
| Total Corporate Bonds (Cost $72,636,746) |
|
|
|
|
| 78,181,349 |
|
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments (1.8%) |
|
|
|
|
|
|
|
|
| U.S. Treasury Security (1.1%) |
|
|
|
|
|
|
|
889 |
| U.S. Treasury Bill (e)(f) (Cost $886,109) |
| 2.353 |
| 11/21/19 |
| 886,109 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
NUMBER OF |
|
|
|
|
|
|
|
|
| |
|
| Investment Company (0.7%) |
|
|
|
|
|
|
| |
548 |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (g) (Cost $548,204) |
|
|
|
|
| 548,204 |
| |
|
| Total Short-Term Investments (Cost $1,434,313) |
|
|
|
|
| 1,434,313 |
| |
|
|
|
|
|
|
|
|
|
| |
|
| Total Investments (Cost $74,071,059) (h)(i)(j) |
|
|
| 100.1 | % | 79,615,662 |
| |
|
| Liabilities in Excess of Other Assets |
|
|
| (0.1 | ) | (42,261 | ) | |
|
| Net Assets |
|
|
| 100.0 | % | $ | 79,573,401 |
|
MTN |
| Medium Term Note. |
PJSC |
| Public Joint Stock Company. |
(a) |
| 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
(b) |
| When-issued security. |
(c) |
| For the nine months ended September 30, 2019, there were no transactions in Met Life, Inc., Corporate Bond and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor. |
(d) |
| Perpetual — One or more securities do not have a predetermined maturity date. Rates for these securities are fixed for a period of time, after which they revert to a floating rate. Interest rates in effect are as of September 30, 2019. |
(e) |
| All or a portion of the security was pledged to cover margin requirements for futures contracts and swap agreement. |
(f) |
| Rate shown is the yield to maturity at September 30, 2019. |
(g) |
| The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio - (the “Liquidity Funds”), an open-end management investment company managed by the Adviser. Advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Funds. For the nine months ended September 30, 2019, advisory fees paid were reduced by $1,256 relating to the Fund’s investment in the Liquidity Funds. |
(h) |
| Securities are available for collateral in connection with purchase of when-issued security, open foreign currency forward exchange contract, futures contracts and swap agreement. |
(i) |
| The Fund is permitted to purchase and sell securities (“cross-trade”) from and to other Morgan Stanley Funds as well as other funds and client accounts for which the Adviser or an affiliate of the Adviser serves as investment adviser, pursuant to procedures approved by the Trustees in compliance with Rule 17a-7 under the Act (the “Rule”). Each cross-trade is executed at the current market price in compliance with provisions of the Rule. For the nine months ended September 30, 2019, the Fund did not engage in any cross-trade transactions. |
(j) |
| At September 30, 2019, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $5,652,196 and the aggregate gross unrealized depreciation is $466,457, resulting in net unrealized appreciation of $5,185,739. |
Foreign Currency Forward Exchange Contract:
The Fund had the following foreign currency forward exchange contract open at September 30, 2019:
Counterparty |
| Contracts |
| In Exchange |
| Delivery |
| Unrealized |
| |||
JPMorgan Chase Bank NA |
| EUR | 110,547 |
| $ | 123,147 |
| 12/18/19 |
| $ | 1,939 |
|
Futures Contracts:
The Fund had the following futures contracts open at September 30, 2019:
|
| Number |
| Expiration |
| Notional Amount |
| Value |
| Unrealized |
| ||||
Long: |
|
|
|
|
|
|
|
|
|
|
| ||||
U.S. Treasury 2 yr. Note |
| 48 |
| Dec-19 |
| $ | 9,600 |
| $ | 10,344,000 |
| $ | (26,275 | ) | |
U.S. Treasury 30 yr. Bond |
| 17 |
| Dec-19 |
| 1,700 |
| 2,759,312 |
| (21,809 | ) | ||||
|
|
|
|
|
|
|
|
|
|
|
| ||||
Short: |
|
|
|
|
|
|
|
|
|
|
| ||||
German Euro Bund |
| 1 |
| Dec-19 |
| EUR | (100 | ) | (189,924 | ) | 1,989 |
| |||
U.S. Treasury 5 yr. Note |
| 5 |
| Dec-19 |
| $ | (500 | ) | (595,742 | ) | 78 |
| |||
U.S. Treasury 10 yr. Ultra Long Bond |
| 13 |
| Dec-19 |
| (1,300 | ) | (1,851,281 | ) | 5,636 |
| ||||
U.S. Treasury 10 yr. Note |
| 26 |
| Dec-19 |
| (2,600 | ) | (3,388,125 | ) | 28,887 |
| ||||
|
|
|
|
|
|
|
|
|
| $ | (11,494 | ) | |||
Interest Rate Swap Agreement:
The Fund had the following interest rate swap agreement open at September 30, 2019:
Swap Counterparty |
| Floating Rate |
| Pay/Receive |
| Fixed |
| Payment |
| Maturity |
| Notional |
| Value |
| Upfront |
| Unrealized |
| ||||
Morgan Stanley & Co., LLC* |
| 3 Month USD LIBOR |
| Receive |
| 2.39 | % | Semi-Annual/Quarterly |
| 3/27/29 |
| $ | 4,430 |
| $ | (349,309 | ) | $ | — |
| $ | (349,309 | ) |
* |
| Cleared swap agreement, the broker is Morgan Stanley & Co., LLC. |
LIBOR |
| London Interbank Offered Rate. |
Currency Abbreviations | ||
| ||
EUR |
| Euro. |
USD |
| United States Dollar. |
Morgan Stanley Variable Investment Series
Notes to Portfolio of Investments · September 30, 2019 (unaudited)
In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2018-13, Fair Value Measurement (Topic 820) - Disclosures Framework - Changes to Disclosure Requirements of Fair Value Measurement (“ASU 2018-13”) which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13 would be effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years; however, management has elected to early adopt ASU 2018-13 as permitted by the standard. The impact of the Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy and disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, when applicable.
Valuation of Investments - (1) An equity portfolio security listed or traded on an exchange is valued at its latest reported sales price (or at the exchange official closing price if such exchange reports an official closing price), and if there were no sales on a given day and if there is no official exchange closing price for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available on the relevant exchanges. Listed equity securities not traded on the valuation date with no reported bid and asked prices available on the exchange are valued at the mean between the current bid and asked prices obtained from one or more reputable brokers or dealers. In cases where a security is traded on more than one exchange, the security is valued on the exchange designated as the primary market; (2) all other equity portfolio securities for which over-the-counter (“OTC”) market quotations are readily available are valued at the latest reported sales price (or at the market official closing price if such market reports an official closing price), and if there was no trading in the security on a given day and if there is no official closing price from relevant markets for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available on the relevant markets. An unlisted equity security that does not trade on the valuation date and for which bid and asked prices from the relevant markets are unavailable is valued at the mean between the current bid and asked prices obtained from one or more reputable brokers or dealers; (3) futures are valued at the settlement price on the exchange on which they trade or, if a settlement price is unavailable, at the last sale price on the exchange; (4) OTC swaps may be valued by an outside pricing service approved by the Trust’s Board of Trustees (the “Trustees”) or quotes from a broker or dealer. Swaps cleared on a clearinghouse or exchange may be valued using the closing price provided by the clearinghouse or exchange; (5) quotations of foreign portfolio securities, other assets and liabilities and forward contracts stated in foreign currency are translated into U.S. dollar equivalents at the prevailing market rates prior to the close of the New York Stock Exchange (“NYSE”); (6) certain portfolio securities may be valued by an outside pricing service/vendor approved by the Trustees. The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads, and/or other market data and specific security characteristics. Alternatively, if a valuation is not available from an outside pricing service/vendor, and the security trades on an exchange, the security may be valued at its latest reported sale price (or at the exchange official closing price if such exchange reports an official closing price), prior to the time when assets are valued. If there are no sales on a given day and if there is no official exchange closing price for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available in the relevant exchanges; (7) when market quotations are not readily available, including circumstances under which Morgan Stanley Investment Management Inc. (the “Adviser”) determines that the closing price, last sale price or the mean between the last reported bid and asked prices are not reflective of 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 Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations 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 valuations 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 Trustees or by the Adviser using a pricing service and/or procedures approved by the Trustees; and (8) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day.
The Trustees have responsibility for determining in good faith the fair value of the investments, and the Trustees may appoint others, such as the Trust’s Adviser or a valuation committee, to assist the Trustees in determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Trustees. Under procedures approved by the Trustees, the Trust’s Adviser has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of the Trust’s valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow the Trust to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.
Fair Valuation Measurements
FASB Accounting Standards CodificationTM (“ASC”) 820, “Fair Value Measurement” (“ASC 820”), defines fair value as the value that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three broad levels listed below:
· Level 1 — unadjusted quoted prices in active markets for identical investments
· Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
· Level 3 — significant unobservable inputs including the Fund’s own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.
The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2019.
Investment Type |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Assets: |
|
|
|
|
|
|
|
|
| ||||
Fixed Income Securities |
|
|
|
|
|
|
|
|
| ||||
Corporate Bonds |
| $ | — |
| $ | 78,181,349 |
| $ | — |
| $ | 78,181,349 |
|
Short-Term Investments |
|
|
|
|
|
|
|
|
| ||||
U.S. Treasury Security |
| — |
| 886,109 |
| — |
| 886,109 |
| ||||
Investment Company |
| 548,204 |
| — |
| — |
| 548,204 |
| ||||
Total Short-Term Investments |
| 548,204 |
| 886,109 |
| — |
| 1,434,313 |
| ||||
Foreign Currency Forward Exchange Contract |
| — |
| 1,939 |
| — |
| 1,939 |
| ||||
Futures Contracts |
| 36,590 |
| — |
| — |
| 36,590 |
| ||||
Total Assets |
| 584,794 |
| 79,069,397 |
| — |
| 79,654,191 |
| ||||
Liabilities: |
|
|
|
|
|
|
|
|
| ||||
Futures Contracts |
| (48,084 | ) | — |
| — |
| (48,084 | ) | ||||
Interest Rate Swap Agreement |
| — |
| (349,309 | ) | — |
| (349,309 | ) | ||||
Total Liabilities |
| (48,084 | ) | (349,309 | ) | — |
| (397,393 | ) | ||||
Total |
| $ | 536,710 |
| $ | 78,720,088 |
| $ | — |
| $ | 79,256,798 |
|
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes.