Morgan Stanley Variable Investment Series - Income Plus Portfolio
Portfolio of Investments ¡ March 31, 2020 (unaudited)
PRINCIPAL |
|
|
| COUPON |
| MATURITY |
| VALUE |
| |||
|
| Corporate Bonds (97.2%) |
|
|
|
|
|
|
| |||
|
| Basic Materials (3.2%) |
|
|
|
|
|
|
| |||
$ | 200 |
| Braskem Netherlands Finance BV (Brazil) (a) |
| 4.50 | % | 01/31/30 |
| $ | 156,400 |
| |
200 |
| Celulosa Arauco y Constitucion SA (Chile) (a) |
| 4.20 |
| 01/29/30 |
| 172,610 |
| |||
175 |
| DuPont de Nemours, Inc. |
| 5.419 |
| 11/15/48 |
| 193,271 |
| |||
225 |
| Glencore Funding LLC (Switzerland) (a) |
| 4.125 |
| 03/12/24 |
| 207,203 |
| |||
175 |
| Glencore Funding LLC (Switzerland) (a) |
| 4.875 |
| 03/12/29 |
| 168,965 |
| |||
500 |
| Newcastle Coal Infrastructure Group Pty Ltd. (Australia) (a) |
| 4.40 |
| 09/29/27 |
| 467,123 |
| |||
175 |
| Newmont Corp. |
| 5.45 |
| 06/09/44 |
| 223,996 |
| |||
200 |
| NOVA Chemicals Corp. (Canada) (a) |
| 4.875 |
| 06/01/24 |
| 176,751 |
| |||
200 |
| POSCO (Korea, Republic of) (a) |
| 4.00 |
| 08/01/23 |
| 210,120 |
| |||
225 |
| Sherwin-Williams Co. (The) |
| 2.30 |
| 05/15/30 |
| 210,957 |
| |||
100 |
| Sherwin-Williams Co. (The) |
| 2.95 |
| 08/15/29 |
| 98,661 |
| |||
|
|
|
|
|
|
|
| 2,286,057 |
| |||
|
| Communications (10.0%) |
|
|
|
|
|
|
| |||
300 |
| Amazon.com, Inc. |
| 4.25 |
| 08/22/57 |
| 410,444 |
| |||
EUR | 100 |
| AT&T, Inc. |
| 1.80 |
| 09/05/26 |
| 111,528 |
| ||
$ | 326 |
| AT&T, Inc. |
| 4.50 |
| 03/09/48 |
| 354,751 |
| ||
250 |
| AT&T, Inc. |
| 4.90 |
| 08/15/37 |
| 279,517 |
| |||
220 |
| Baidu, Inc. (China) |
| 2.875 |
| 07/06/22 |
| 220,116 |
| |||
150 |
| Booking Holdings, Inc. |
| 0.90 |
| 09/15/21 |
| 149,910 |
| |||
150 |
| Charter Communications Operating LLC/Charter Communications Operating Capital |
| 5.75 |
| 04/01/48 |
| 170,828 |
| |||
100 |
| Comcast Corp. |
| 3.75 |
| 04/01/40 |
| 113,130 |
| |||
350 |
| Comcast Corp. |
| 4.049 |
| 11/01/52 |
| 418,487 |
| |||
125 |
| Diamond Sports Group LLC/Diamond Sports Finance Co. (a) |
| 6.625 |
| 08/15/27 |
| 84,287 |
| |||
150 |
| Expedia Group, Inc. |
| 3.25 |
| 02/15/30 |
| 126,334 |
| |||
250 |
| Fox Corp. |
| 5.576 |
| 01/25/49 |
| 300,148 |
| |||
375 |
| Level 3 Financing, Inc. (a) |
| 3.40 |
| 03/01/27 |
| 359,025 |
| |||
225 |
| Level 3 Financing, Inc. (a) |
| 3.875 |
| 11/15/29 |
| 212,420 |
| |||
275 |
| Omnicom Group, Inc. |
| 2.45 |
| 04/30/30 |
| 251,339 |
| |||
100 |
| Omnicom Group, Inc. (b) |
| 4.20 |
| 06/01/30 |
| 103,213 |
| |||
200 |
| Prosus NV (Netherlands) (a) |
| 3.68 |
| 01/21/30 |
| 181,462 |
| |||
200 |
| Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC (a) |
| 5.152 |
| 09/20/29 |
| 214,708 |
| |||
225 |
| Sprint Spectrum Co., LLC/Sprint Spectrum Co., II LLC/Sprint Spectrum Co., III LLC (a) |
| 3.36 |
| 03/20/23 |
| 224,719 |
| |||
200 |
| Sprint Spectrum Co., LLC/Sprint Spectrum Co., II LLC/Sprint Spectrum Co., III LLC (a) |
| 4.738 |
| 09/20/29 |
| 205,749 |
| |||
375 |
| Tencent Holdings Ltd. (China) (a) |
| 3.595 |
| 01/19/28 |
| 398,700 |
| |||
160 |
| Twitter, Inc. |
| 1.00 |
| 09/15/21 |
| 151,610 |
| |||
150 |
| Verizon Communications, Inc. |
| 3.15 |
| 03/22/30 |
| 161,913 |
| |||
353 |
| Verizon Communications, Inc. |
| 4.672 |
| 03/15/55 |
| 451,085 |
| |||
250 |
| Verizon Communications, Inc. |
| 5.012 |
| 04/15/49 |
| 337,409 |
| |||
275 |
| ViacomCBS, Inc. |
| 6.875 |
| 04/30/36 |
| 310,697 |
| |||
200 |
| Vodafone Group PLC (United Kingdom) |
| 4.375 |
| 02/19/43 |
| 207,327 |
| |||
225 |
| Walt Disney Co. (The) |
| 4.75 |
| 09/15/44 |
| 283,573 |
| |||
100 |
| Walt Disney Co. (The) |
| 4.95 |
| 10/15/45 |
| 129,889 |
| |||
148 |
| Zillow Group, Inc. |
| 2.00 |
| 12/01/21 |
| 149,317 |
| |||
|
|
|
|
|
|
|
| 7,073,635 |
| |||
|
| Consumer, Cyclical (8.8%) |
|
|
|
|
|
|
| |||
239 |
| American Airlines Pass-Through Trust |
| 4.00 |
| 01/15/27 |
| 240,782 |
| |||
517 |
| American Airlines Pass-Through Trust, Series AA |
| 3.15 |
| 08/15/33 |
| 472,691 |
| |||
456 |
| British Airways Pass-Through Trust (United Kingdom) (a) |
| 4.625 |
| 12/20/25 |
| 453,182 |
| |||
200 |
| Daimler Finance North America LLC (Germany) (a) |
| 2.70 |
| 06/14/24 |
| 193,501 |
| ||
125 |
| Delta Air Lines, Inc. |
| 4.375 |
| 04/19/28 |
| 101,043 |
| ||
200 |
| Delta Air Lines, Inc., Series AA |
| 3.204 |
| 10/25/25 |
| 195,476 |
| ||
300 |
| Ford Motor Credit Co., LLC |
| 3.096 |
| 05/04/23 |
| 276,000 |
| ||
250 |
| Ford Motor Credit Co., LLC |
| 4.389 |
| 01/08/26 |
| 220,000 |
| ||
300 |
| General Motors Co. |
| 6.60 |
| 04/01/36 |
| 261,740 |
| ||
50 |
| General Motors Financial Co., Inc. |
| 3.85 |
| 01/05/28 |
| 40,210 |
| ||
100 |
| General Motors Financial Co., Inc. |
| 4.35 |
| 01/17/27 |
| 80,148 |
| ||
325 |
| Home Depot, Inc. (The) |
| 2.95 |
| 06/15/29 |
| 337,677 |
| ||
50 |
| Home Depot, Inc. (The) |
| 3.125 |
| 12/15/49 |
| 49,760 |
| ||
50 |
| Home Depot, Inc. (The) |
| 3.30 |
| 04/15/40 |
| 51,329 |
| ||
75 |
| Hyundai Capital America (a) |
| 2.375 |
| 02/10/23 |
| 70,853 |
| ||
300 |
| JetBlue Pass Through Trust, Series AA |
| 2.75 |
| 11/15/33 |
| 266,637 |
| ||
1,075 |
| Las Vegas Sands Corp. |
| 3.20 |
| 08/08/24 |
| 972,196 |
| ||
50 |
| Las Vegas Sands Corp. |
| 3.50 |
| 08/18/26 |
| 45,836 |
| ||
250 |
| Marriott International, Inc. |
| 2.125 |
| 10/03/22 |
| 225,301 |
| ||
200 |
| McDonald’s Corp. |
| 1.45 |
| 09/01/25 |
| 191,166 |
| ||
175 |
| NIKE, Inc. |
| 3.375 |
| 03/27/50 |
| 191,456 |
| ||
400 |
| Resorts World Las Vegas LLC/RWLV Capital, Inc. (a) |
| 4.625 |
| 04/16/29 |
| 354,130 |
| ||
200 |
| Starbucks Corp. |
| 4.45 |
| 08/15/49 |
| 230,444 |
| ||
200 |
| United Airlines Pass-Through Trust, Class A |
| 4.30 |
| 02/15/27 |
| 200,565 |
| ||
275 |
| Volkswagen Group of America Finance LLC (Germany) (a) |
| 4.75 |
| 11/13/28 |
| 281,568 |
| ||
200 |
| Walmart, Inc. |
| 2.95 |
| 09/24/49 |
| 220,249 |
| ||
|
|
|
|
|
|
|
| 6,223,940 |
| ||
|
| Consumer, Non-Cyclical (11.7%) |
|
|
|
|
|
|
| ||
225 |
| AbbVie, Inc. (a) |
| 3.20 |
| 11/21/29 |
| 227,294 |
| ||
325 |
| AbbVie, Inc. (a) |
| 4.25 |
| 11/21/49 |
| 349,708 |
| ||
75 |
| Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (a) |
| 3.50 |
| 02/15/23 |
| 74,400 |
| ||
125 |
| Altria Group, Inc. |
| 5.80 |
| 02/14/39 |
| 137,316 |
| ||
175 |
| Amgen, Inc. |
| 3.375 |
| 02/21/50 |
| 184,992 |
| ||
125 |
| Amgen, Inc. |
| 4.663 |
| 06/15/51 |
| 157,888 |
| ||
225 |
| Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. |
| 3.65 |
| 02/01/26 |
| 236,445 |
| ||
25 |
| Anheuser-Busch InBev Worldwide, Inc. (Belgium) |
| 4.75 |
| 01/23/29 |
| 27,655 |
| ||
500 |
| Anheuser-Busch InBev Worldwide, Inc. (Belgium) |
| 5.55 |
| 01/23/49 |
| 589,952 |
| ||
150 |
| Anthem, Inc. |
| 2.375 |
| 01/15/25 |
| 148,825 |
| ||
225 |
| Anthem, Inc. |
| 3.65 |
| 12/01/27 |
| 232,670 |
| ||
325 |
| BAT Capital Corp. (United Kingdom) |
| 3.222 |
| 08/15/24 |
| 313,375 |
| ||
375 |
| BAT Capital Corp. (United Kingdom) |
| 3.557 |
| 08/15/27 |
| 353,977 |
| ||
350 |
| Bayer US Finance II LLC (Germany) (a) |
| 4.375 |
| 12/15/28 |
| 374,556 |
| ||
20 |
| Centene Corp. (a) |
| 5.25 |
| 04/01/25 |
| 20,325 |
| ||
475 |
| Cigna Corp. (a) |
| 3.40 |
| 03/01/27 |
| 481,868 |
| ||
100 |
| Cigna Corp. (a) |
| 3.875 |
| 10/15/47 |
| 100,695 |
| ||
350 |
| Coca-Cola Femsa SAB de CV (Mexico) |
| 2.75 |
| 01/22/30 |
| 344,324 |
| ||
100 |
| CVS Health Corp. |
| 4.25 |
| 04/01/50 |
| 104,243 |
| ||
1,350 |
| CVS Health Corp. |
| 4.30 |
| 03/25/28 |
| 1,446,877 |
| ||
225 |
| DP World PLC (United Arab Emirates) (a) |
| 5.625 |
| 09/25/48 |
| 190,736 |
| ||
275 |
| General Mills, Inc. |
| 2.875 |
| 04/15/30 |
| 274,450 |
| ||
EUR | 100 |
| Grifols SA (Spain) (a) |
| 2.25 |
| 11/15/27 |
| 106,402 |
| |
$ | 50 |
| HCA, Inc. |
| 5.25 |
| 06/15/49 |
| 53,673 |
| |
150 |
| HCA, Inc. |
| 5.50 |
| 06/15/47 |
| 164,063 |
| ||
500 |
| Imperial Brands Finance PLC (United Kingdom) (a) |
| 3.125 |
| 07/26/24 |
| 472,077 |
| ||
200 |
| Mars, Inc. (a) |
| 3.20 |
| 04/01/30 |
| 209,197 |
| ||
EUR | 100 |
| Q-Park Holding I BV (Netherlands) (a) |
| 1.50 |
| 03/01/25 |
| 94,136 |
| |
$ | 525 |
| Smithfield Foods, Inc. (a) |
| 5.20 |
| 04/01/29 |
| 529,367 |
| |
20 |
| Teva Pharmaceutical Finance Netherlands III BV (Israel) |
| 2.20 |
| 07/21/21 |
| 19,213 |
| ||
225 |
| Thermo Fisher Scientific, Inc. |
| 4.497 |
| 03/25/30 |
| 253,436 |
| ||
|
|
|
|
|
|
|
| 8,274,135 |
| ||
|
| Energy (8.1%) |
|
|
|
|
|
|
|
275 |
| Aker BP ASA (Norway) (a) |
| 3.75 |
| 01/15/30 |
| 206,806 |
|
325 |
| Aker BP ASA (Norway) (a) |
| 4.75 |
| 06/15/24 |
| 273,395 |
|
200 |
| APT Pipelines Ltd. (Australia) (a) |
| 4.20 |
| 03/23/25 |
| 215,052 |
|
500 |
| BP Capital Markets America, Inc. |
| 3.119 |
| 05/04/26 |
| 504,421 |
|
150 |
| Cameron LNG LLC (a) |
| 2.902 |
| 07/15/31 |
| 131,763 |
|
375 |
| Canadian Natural Resources Ltd. (Canada) |
| 2.95 |
| 01/15/23 |
| 325,672 |
|
250 |
| Cimarex Energy Co. |
| 3.90 |
| 05/15/27 |
| 167,791 |
|
200 |
| Cimarex Energy Co. |
| 4.375 |
| 03/15/29 |
| 134,186 |
|
100 |
| Concho Resources, Inc. |
| 4.85 |
| 08/15/48 |
| 75,491 |
|
400 |
| Diamondback Energy, Inc. |
| 3.25 |
| 12/01/26 |
| 283,421 |
|
50 |
| Enbridge, Inc. (Canada) |
| 4.00 |
| 11/15/49 |
| 45,086 |
|
75 |
| Energy Transfer Operating LP |
| 3.75 |
| 05/15/30 |
| 58,141 |
|
125 |
| Enterprise Products Operating LLC |
| 3.95 |
| 01/31/60 |
| 106,492 |
|
200 |
| Enterprise Products Operating LLC |
| 4.20 |
| 01/31/50 |
| 193,208 |
|
125 |
| Exxon Mobil Corp. |
| 3.095 |
| 08/16/49 |
| 127,186 |
|
425 |
| Halliburton Co. |
| 2.92 |
| 03/01/30 |
| 330,414 |
|
60 |
| Hilcorp Energy I LP/Hilcorp Finance Co. (a) |
| 6.25 |
| 11/01/28 |
| 26,913 |
|
100 |
| Kinder Morgan, Inc. |
| 5.55 |
| 06/01/45 |
| 102,336 |
|
75 |
| Magellan Midstream Partners LP |
| 3.95 |
| 03/01/50 |
| 64,662 |
|
250 |
| Midwest Connector Capital Co. LLC (a) |
| 3.625 |
| 04/01/22 |
| 240,400 |
|
100 |
| MPLX LP (a) |
| 5.20 |
| 12/01/47 |
| 84,073 |
|
100 |
| Noble Energy, Inc. |
| 4.95 |
| 08/15/47 |
| 58,434 |
|
125 |
| Occidental Petroleum Corp. |
| 3.50 |
| 08/15/29 |
| 59,188 |
|
100 |
| Occidental Petroleum Corp. |
| 4.40 |
| 04/15/46 |
| 42,489 |
|
325 |
| ONEOK, Inc. |
| 3.10 |
| 03/15/30 |
| 245,407 |
|
200 |
| Patterson-UTI Energy, Inc. |
| 3.95 |
| 02/01/28 |
| 78,579 |
|
350 |
| Rockies Express Pipeline LLC (a) |
| 6.875 |
| 04/15/40 |
| 211,629 |
|
325 |
| Saudi Arabian Oil Co. (Saudi Arabia) (a) |
| 3.50 |
| 04/16/29 |
| 321,656 |
|
200 |
| Shell International Finance BV (Netherlands) |
| 3.125 |
| 11/07/49 |
| 197,626 |
|
175 |
| Sunoco Logistics Partners Operations LP |
| 3.90 |
| 07/15/26 |
| 146,716 |
|
200 |
| Transportadora de Gas Internacional SA ESP (Colombia) (a) |
| 5.55 |
| 11/01/28 |
| 194,009 |
|
250 |
| Western Midstream Operating LP |
| 3.10 |
| 02/01/25 |
| 127,818 |
|
225 |
| Williams Cos., Inc. (The) |
| 4.85 |
| 03/01/48 |
| 210,703 |
|
125 |
| Williams Cos., Inc. (The) |
| 5.10 |
| 09/15/45 |
| 117,647 |
|
|
|
|
|
|
|
|
| 5,708,810 |
|
|
| Finance (36.4%) |
|
|
|
|
|
|
|
150 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
| 3.50 |
| 05/26/22 |
| 132,897 |
|
350 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
| 4.125 |
| 07/03/23 |
| 296,844 |
|
375 |
| Aflac, Inc. |
| 3.60 |
| 04/01/30 |
| 380,591 |
|
400 |
| Air Lease Corp. |
| 3.75 |
| 06/01/26 |
| 345,890 |
|
350 |
| American Express Co. |
| 4.20 |
| 11/06/25 |
| 383,710 |
|
100 |
| American International Group, Inc. |
| 4.25 |
| 03/15/29 |
| 102,749 |
|
175 |
| American International Group, Inc. |
| 4.50 |
| 07/16/44 |
| 178,239 |
|
325 |
| Avolon Holdings Funding Ltd. (Ireland) (a) |
| 2.875 |
| 02/15/25 |
| 252,721 |
|
175 |
| Banco de Credito del Peru (Peru) (a) |
| 2.70 |
| 01/11/25 |
| 160,781 |
|
250 |
| Banco Santander Chile (Chile) (a) |
| 2.70 |
| 01/10/25 |
| 240,988 |
|
75 |
| Bank of America Corp. |
| 2.884 |
| 10/22/30 |
| 75,129 |
|
25 |
| Bank of America Corp. |
| 3.194 |
| 07/23/30 |
| 25,552 |
|
625 |
| Bank of America Corp. |
| 4.244 |
| 04/24/38 |
| 720,989 |
|
400 |
| Bank of America Corp. |
| 4.25 |
| 10/22/26 |
| 426,137 |
|
205 |
| Bank of America Corp. |
| 7.75 |
| 05/14/38 |
| 303,693 |
|
400 |
| BBVA USA |
| 2.50 |
| 08/27/24 |
| 390,722 |
|
250 |
| Berkshire Hathaway Finance Corp. |
| 1.85 |
| 03/12/30 |
| 243,686 |
|
350 |
| BNP Paribas SA (France) (a) |
| 3.052 |
| 01/13/31 |
| 328,507 |
|
275 |
| BNP Paribas SA (France) (a) |
| 4.40 |
| 08/14/28 |
| 293,895 |
|
400 |
| Boston Properties LP |
| 3.65 |
| 02/01/26 |
| 406,576 |
|
250 |
| BPCE SA (France) (a) |
| 4.00 |
| 09/12/23 |
| 257,003 |
|
400 |
| BPCE SA (France) (a) |
| 5.15 |
| 07/21/24 |
| 422,419 |
|
50 |
| Brighthouse Financial, Inc. |
| 4.70 |
| 06/22/47 |
| 39,199 |
|
100 |
| Brookfield Finance LLC (Canada) |
| 3.45 |
| 04/15/50 |
| 80,514 |
|
75 |
| Brookfield Finance, Inc. (Canada) |
| 3.90 |
| 01/25/28 |
| 77,119 |
|
400 |
| Brookfield Finance, Inc. (Canada) |
| 4.25 |
| 06/02/26 |
| 420,341 |
|
25 |
| Brookfield Finance, Inc. (Canada) |
| 4.85 |
| 03/29/29 |
| 26,580 |
|
175 |
| Brown & Brown, Inc. |
| 4.20 |
| 09/15/24 |
| 184,885 |
|
275 |
| Capital One Financial Corp. |
| 3.30 |
| 10/30/24 |
| 269,457 |
|
625 |
| Capital One Financial Corp. |
| 3.75 |
| 03/09/27 |
| 601,422 |
|
250 |
| CIT Bank NA |
| 2.969 |
| 09/27/25 |
| 212,214 |
|
725 |
| Citigroup, Inc. |
| 2.976 |
| 11/05/30 |
| 709,502 |
|
75 |
| Citigroup, Inc. |
| 4.412 |
| 03/31/31 |
| 82,569 |
|
425 |
| Citigroup, Inc. |
| 4.45 |
| 09/29/27 |
| 444,699 |
|
155 |
| CNO Financial Group, Inc. |
| 5.25 |
| 05/30/29 |
| 151,203 |
|
200 |
| Commerzbank AG (Germany) (a) |
| 8.125 |
| 09/19/23 |
| 209,432 |
|
325 |
| Credit Agricole SA (France) (a) |
| 3.75 |
| 04/24/23 |
| 332,536 |
|
250 |
| Credit Agricole SA (France) (a) |
| 4.125 |
| 01/10/27 |
| 255,464 |
|
550 |
| Credit Suisse Group AG (Switzerland) (a) |
| 2.593 |
| 09/11/25 |
| 523,388 |
|
100 |
| Crown Castle International Corp. |
| 4.15 |
| 07/01/50 |
| 98,900 |
|
225 |
| CyrusOne LP/CyrusOne Finance Corp. |
| 2.90 |
| 11/15/24 |
| 216,145 |
|
200 |
| Danske Bank A/S (Denmark) (a) |
| 3.001 |
| 09/20/22 |
| 199,257 |
|
200 |
| Danske Bank A/S (Denmark) (a) |
| 5.00 |
| 01/12/22 |
| 205,524 |
|
450 |
| Deutsche Bank AG (Germany) |
| 2.70 |
| 07/13/20 |
| 441,191 |
|
225 |
| Deutsche Bank AG (Germany) |
| 3.15 |
| 01/22/21 |
| 219,933 |
|
250 |
| GE Capital International Funding Co., Unlimited Co. |
| 4.418 |
| 11/15/35 |
| 267,835 |
|
225 |
| General Electric Co., MTN |
| 5.875 |
| 01/14/38 |
| 260,131 |
|
200 |
| GLP Capital LP/GLP Financing II, Inc. |
| 4.00 |
| 01/15/30 |
| 169,554 |
|
325 |
| Goldman Sachs Group, Inc. (The) |
| 3.691 |
| 06/05/28 |
| 334,327 |
|
375 |
| Goldman Sachs Group, Inc. (The) |
| 6.25 |
| 02/01/41 |
| 506,690 |
|
300 |
| Goldman Sachs Group, Inc. (The) |
| 6.75 |
| 10/01/37 |
| 398,249 |
|
150 |
| Great-West Lifeco Finance LP (Canada) (a) |
| 4.581 |
| 05/17/48 |
| 149,820 |
|
200 |
| Grupo Aval Ltd. (Colombia) (a) |
| 4.375 |
| 02/04/30 |
| 161,250 |
|
150 |
| Guardian Life Insurance Co. of America (The) (a) |
| 4.85 |
| 01/24/77 |
| 171,258 |
|
475 |
| Hartford Financial Services Group, Inc. (The) |
| 2.80 |
| 08/19/29 |
| 464,725 |
|
375 |
| High Street Funding Trust I (a) |
| 4.111 |
| 02/15/28 |
| 373,507 |
|
475 |
| HSBC Holdings PLC (United Kingdom) |
| 4.292 |
| 09/12/26 |
| 474,892 |
|
250 |
| HSBC Holdings PLC (United Kingdom) |
| 4.375 |
| 11/23/26 |
| 263,810 |
|
250 |
| ING Groep N.V. (Netherlands) (a) |
| 4.625 |
| 01/06/26 |
| 263,971 |
|
250 |
| iStar, Inc. |
| 5.25 |
| 09/15/22 |
| 232,734 |
|
325 |
| Itau Unibanco Holding SA (Brazil) (a) |
| 2.90 |
| 01/24/23 |
| 309,709 |
|
1,125 |
| JPMorgan Chase & Co. |
| 3.702 |
| 05/06/30 |
| 1,208,846 |
|
175 |
| JPMorgan Chase & Co. |
| 3.964 |
| 11/15/48 |
| 203,374 |
|
225 |
| Kilroy Realty LP |
| 3.05 |
| 02/15/30 |
| 206,500 |
|
175 |
| Kimco Realty Corp. |
| 3.70 |
| 10/01/49 |
| 143,187 |
|
400 |
| LeasePlan Corp. (Netherlands) (a) |
| 2.875 |
| 10/24/24 |
| 392,578 |
|
275 |
| Lloyds Banking Group PLC (United Kingdom) |
| 3.574 |
| 11/07/28 |
| 273,402 |
|
325 |
| Marsh & McLennan Cos., Inc. |
| 3.875 |
| 03/15/24 |
| 336,773 |
|
200 |
| MassMutual Global Funding II (a) |
| 3.40 |
| 03/08/26 |
| 212,846 |
|
200 |
| MDC GMTN BV (United Arab Emirates) (a) |
| 4.50 |
| 11/07/28 |
| 211,427 |
|
150 |
| MetLife, Inc. |
| 4.55 |
| 03/23/30 |
| 165,731 |
|
200 |
| MetLife, Inc. |
| 5.875 |
| 02/06/41 |
| 255,329 |
|
425 |
| Nationwide Building Society (United Kingdom) (a) |
| 4.363 |
| 08/01/24 |
| 427,574 |
|
250 |
| Pine Street Trust I (a) |
| 4.572 |
| 02/15/29 |
| 237,758 |
|
225 |
| PNC Financial Services Group, Inc. (The) |
| 2.20 |
| 11/01/24 |
| 231,077 |
|
575 |
| Royal Bank of Scotland Group PLC (United Kingdom) |
| 3.875 |
| 09/12/23 |
| 591,285 |
|
750 |
| Santander UK Group Holdings PLC (United Kingdom) |
| 3.571 |
| 01/10/23 |
| 746,935 |
|
350 |
| Service Properties Trust |
| 4.35 |
| 10/01/24 |
| 257,359 |
|
225 |
| Shinhan Bank Co., Ltd. (Korea, Republic of) (a) |
| 4.00 |
| 04/23/29 |
| 227,032 |
|
350 |
| Societe Generale SA (France) (a) |
| 2.625 |
| 01/22/25 |
| 337,616 |
|
275 |
| Synchrony Bank |
| 3.65 |
| 05/24/21 |
| 270,696 |
|
100 |
| Synchrony Financial |
| 4.25 |
| 08/15/24 |
| 96,437 |
|
125 |
| TD Ameritrade Holding Corp. |
| 3.30 |
| 04/01/27 |
| 126,826 |
|
350 |
| TD Ameritrade Holding Corp. |
| 3.625 |
| 04/01/25 |
| 366,154 |
| ||
525 |
| UBS Group Funding Switzerland AG (Switzerland) (a) |
| 3.491 |
| 05/23/23 |
| 531,255 |
| ||
200 |
| Visa, Inc. |
| 2.70 |
| 04/15/40 |
| 198,528 |
| ||
150 |
| Wells Fargo & Co. |
| 2.572 |
| 02/11/31 |
| 144,041 |
| ||
100 |
| Wells Fargo & Co. |
| 2.879 |
| 10/30/30 |
| 99,255 |
| ||
|
|
|
|
|
|
|
| 25,673,475 |
| ||
|
| Industrials (5.4%) |
|
|
|
|
|
|
| ||
EUR | 300 |
| Airbus SE (France) (c) |
| 0.00 |
| 06/14/21 |
| 323,245 |
| |
$ | 325 |
| Aviation Capital Group LLC (a) |
| 4.375 |
| 01/30/24 |
| 293,886 |
| |
25 |
| Boeing Co. (The) |
| 3.25 |
| 02/01/35 |
| 21,706 |
| ||
250 |
| Boeing Co. (The) |
| 3.95 |
| 08/01/59 |
| 225,432 |
| ||
375 |
| Burlington Northern Santa Fe LLC |
| 4.55 |
| 09/01/44 |
| 449,849 |
| ||
165 |
| Embraer Netherlands Finance BV (Brazil) |
| 5.40 |
| 02/01/27 |
| 146,776 |
| ||
350 |
| Fortune Brands Home & Security, Inc. |
| 4.00 |
| 09/21/23 |
| 360,580 |
| ||
510 |
| Heathrow Funding Ltd. (United Kingdom) (a) |
| 4.875 |
| 07/15/23 |
| 538,854 |
| ||
425 |
| John Deere Capital Corp. |
| 2.45 |
| 01/09/30 |
| 430,709 |
| ||
425 |
| Nvent Finance Sarl (United Kingdom) |
| 3.95 |
| 04/15/23 |
| 442,313 |
| ||
EUR | 100 |
| Silgan Holdings, Inc. (a) |
| 2.25 |
| 06/01/28 |
| 98,268 |
| |
100 |
| Standard Industries, Inc. (a) |
| 2.25 |
| 11/21/26 |
| 89,546 |
| ||
$ | 100 |
| TJX Cos., Inc. |
| 4.50 |
| 04/15/50 |
| 107,274 |
| |
250 |
| United Technologies Corp. |
| 4.50 |
| 06/01/42 |
| 290,063 |
| ||
|
|
|
|
|
|
|
| 3,818,501 |
| ||
|
| Technology (6.3%) |
|
|
|
|
|
|
| ||
275 |
| Adobe, Inc. |
| 2.30 |
| 02/01/30 |
| 276,432 |
| ||
186 |
| Akamai Technologies, Inc. (a) |
| 0.375 |
| 09/01/27 |
| 185,596 |
| ||
325 |
| Apple, Inc. |
| 2.95 |
| 09/11/49 |
| 347,457 |
| ||
500 |
| Dell International LLC/EMC Corp. (a) |
| 4.90 |
| 10/01/26 |
| 493,178 |
| ||
200 |
| Fiserv, Inc. |
| 4.20 |
| 10/01/28 |
| 216,854 |
| ||
175 |
| Intel Corp. |
| 4.75 |
| 03/25/50 |
| 237,093 |
| ||
750 |
| International Business Machines Corp. |
| 3.30 |
| 05/15/26 |
| 803,302 |
| ||
225 |
| International Business Machines Corp. |
| 4.15 |
| 05/15/39 |
| 253,178 |
| ||
525 |
| Microsoft Corp. |
| 4.45 |
| 11/03/45 |
| 693,216 |
| ||
166 |
| Nuance Communications, Inc. |
| 1.00 |
| 12/15/35 |
| 159,049 |
| ||
175 |
| NVIDIA Corp. |
| 3.50 |
| 04/01/50 |
| 190,821 |
| ||
75 |
| Oracle Corp. |
| 3.80 |
| 11/15/37 |
| 77,554 |
| ||
150 |
| Oracle Corp. |
| 3.85 |
| 04/01/60 |
| 151,739 |
| ||
225 |
| Oracle Corp. |
| 4.00 |
| 11/15/47 |
| 247,854 |
| ||
149 |
| Verint Systems, Inc. |
| 1.50 |
| 06/01/21 |
| 144,405 |
| ||
|
|
|
|
|
|
|
| 4,477,728 |
| ||
|
| Utilities (7.3%) |
|
|
|
|
|
|
| ||
575 |
| Avangrid, Inc. |
| 3.80 |
| 06/01/29 |
| 589,276 |
| ||
250 |
| Boston Gas Co. (a) |
| 4.487 |
| 02/15/42 |
| 260,701 |
| ||
175 |
| Cleveland Electric Illuminating Co. (The) (a) |
| 4.55 |
| 11/15/30 |
| 186,725 |
| ||
200 |
| Consorcio Transmantaro SA (Peru) (a) |
| 4.70 |
| 04/16/34 |
| 188,961 |
| ||
150 |
| Consumers Energy Co. |
| 3.50 |
| 08/01/51 |
| 163,331 |
| ||
175 |
| DTE Electric Co. |
| 2.95 |
| 03/01/50 |
| 164,414 |
| ||
150 |
| DTE Energy Co. |
| 2.95 |
| 03/01/30 |
| 144,600 |
| ||
250 |
| Duke Energy Indiana LLC, Series YYY |
| 3.25 |
| 10/01/49 |
| 250,229 |
| ||
125 |
| Enel Finance International N.V. (Italy) (a) |
| 6.00 |
| 10/07/39 |
| 135,029 |
| ||
300 |
| Entergy Arkansas LLC |
| 3.50 |
| 04/01/26 |
| 318,385 |
| ||
150 |
| Entergy Louisiana LLC |
| 3.05 |
| 06/01/31 |
| 150,140 |
| ||
150 |
| FirstEnergy Corp., Series C |
| 3.40 |
| 03/01/50 |
| 143,558 |
| ||
400 |
| Georgia Power Co., Series B |
| 3.70 |
| 01/30/50 |
| 419,659 |
| ||
50 |
| Indiana Michigan Power Co. |
| 4.25 |
| 08/15/48 |
| 56,744 |
| ||
100 |
| Interstate Power & Light Co. |
| 3.50 |
| 09/30/49 |
| 91,760 |
| ||
350 |
| NextEra Energy Capital Holdings, Inc. |
| 2.75 |
| 11/01/29 |
| 339,547 |
| ||
200 |
| NiSource, Inc. |
| 2.95 |
| 09/01/29 |
| 190,923 |
| ||
150 |
| Northern States Power Co. |
| 2.90 |
| 03/01/50 |
| 143,392 |
| ||
200 |
| NSTAR Electric Co. |
| 3.25 |
| 05/15/29 |
| 206,608 |
| ||
225 |
| Oglethorpe Power Corp. |
| 5.05 |
| 10/01/48 |
| 217,672 |
| ||
175 |
| Public Service Co. of Colorado, Series 34 |
| 3.20 |
| 03/01/50 |
| 177,652 |
| |
150 |
| Southern California Edison Co. |
| 4.00 |
| 04/01/47 |
| 157,009 |
| |
275 |
| Virginia Electric & Power Co., Series B |
| 3.30 |
| 12/01/49 |
| 278,497 |
| |
150 |
| Xcel Energy, Inc. |
| 2.60 |
| 12/01/29 |
| 142,407 |
| |
|
|
|
|
|
|
|
| 5,117,219 |
| |
|
| Total Corporate Bonds (Cost $70,244,392) |
|
|
|
|
| 68,653,500 |
| |
|
|
|
|
|
|
|
|
|
| |
|
| Short-Term Investments (2.5%) |
|
|
|
|
|
|
| |
|
| U.S. Treasury Security (1.3%) |
|
|
|
|
|
|
| |
889 |
| U.S. Treasury Bill (d)(e) (Cost $884,549) |
| 1.534 |
| 07/30/20 |
| 888,770 |
| |
|
|
|
|
|
|
|
|
|
| |
|
| Corporate Bonds (0.9%) |
|
|
|
|
|
|
| |
325 |
| General Motors Financial Co., Inc. |
| 2.65 |
| 04/13/20 |
| 325,458 |
| |
300 |
| Hewlett Packard Enterprise Co. |
| 3.60 |
| 10/15/20 |
| 300,386 |
| |
|
| Total Corporate Bonds (Cost $628,777) |
|
|
|
|
| 625,844 |
| |
|
|
|
|
|
|
|
|
|
| |
NUMBER OF |
|
|
|
|
|
|
|
|
| |
|
| Investment Company (0.3%) |
|
|
|
|
|
|
| |
223 |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (f) (Cost $222,570) |
|
|
|
|
| 222,570 |
| |
|
| Total Short-Term Investments (Cost $1,735,896) |
|
|
|
|
| 1,737,184 |
| |
|
|
|
|
|
|
|
|
|
| |
|
| Total Investments (Cost $71,980,288) (g)(h)(i) |
|
|
| 99.7 | % | 70,390,684 |
| |
|
| Other Assets in Excess of Liabilities |
|
|
| 0.3 |
| 223,113 |
| |
|
| Net Assets |
|
|
| 100.0 | % | $ | 70,613,797 |
|
MTN |
| Medium Term Note. |
(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) |
| Capital appreciation bond. |
(d) |
| Rate shown is the yield to maturity at March 31, 2020. |
(e) |
| All or a portion of the security was pledged to cover margin requirements for futures contracts and swap agreements. |
(f) |
| 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 three months ended March 31, 2020, advisory fees paid were reduced by $428 relating to the Fund’s investment in the Liquidity Funds. |
(g) |
| 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 three months ended March 31, 2020, the Fund did not engage in any cross-trade transactions. |
(h) |
| Securities are available for collateral in connection with purchase of when-issued security, open foreign currency forward exchange contracts, futures contracts and swap agreements. |
(i) |
| At March 31, 2020, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $2,632,802 and the aggregate gross unrealized depreciation is $4,496,893, resulting in net unrealized depreciation of $1,864,091. |
Foreign Currency Forward Exchange Contracts:
The Fund had the following foreign currency forward exchange contracts open at March 31, 2020:
Counterparty |
| Contracts |
| In Exchange |
| Delivery |
| Unrealized |
| |||||
BNP Paribas SA |
| EUR | 340 |
| $ | 368 |
| 06/10/20 |
| $ | (8 | ) | ||
JPMorgan Chase Bank NA |
| EUR | 1,420 |
| $ | 1,560 |
| 06/10/20 |
| (11 | ) | |||
JPMorgan Chase Bank NA |
| EUR | 1,420 |
| $ | 1,561 |
| 06/10/20 |
| (10 | ) | |||
JPMorgan Chase Bank NA |
| $ | 9,632 |
| EUR | 8,720 |
| 06/10/20 |
| 10 |
| |||
State Street Bank and Trust Co. |
| EUR | 814,200 |
| $ | 930,070 |
| 06/10/20 |
| 29,710 |
| |||
UBS AG |
| EUR | 1,870 |
| $ | 2,038 |
| 06/10/20 |
| (30 | ) | |||
|
|
|
|
|
|
|
| $ | 29,661 |
| ||||
Futures Contracts:
The Fund had the following futures contracts open at March 31, 2020:
|
| Number |
| Expiration |
| Notional Amount |
| Value |
| Unrealized |
| ||||
Long: |
|
|
|
|
|
|
|
|
|
|
| ||||
U.S. Treasury 2 yr. Note |
| 23 |
| Jun-20 |
| $ | 4,600 |
| $ | 5,068,805 |
| $ | 83,484 |
| |
U.S. Treasury 30 yr. Bond |
| 22 |
| Jun-20 |
| 2,200 |
| 3,939,375 |
| 254,907 |
| ||||
U.S. Treasury 5 yr. Note |
| 2 |
| Jun-20 |
| 200 |
| 250,719 |
| (128 | ) | ||||
U.S. Treasury 10 yr. Note |
| 1 |
| Jun-20 |
| 100 |
| 138,687 |
| 1,078 |
| ||||
Short: |
|
|
|
|
|
|
|
|
|
|
| ||||
German Euro Bund |
| 1 |
| Jun-20 |
| EUR | (100) |
| (190,261 | ) | 3,121 |
| |||
U.S. Treasury 10 yr. Ultra Long Bond |
| 26 |
| Jun-20 |
| $ | (2,600 | ) | (4,056,813 | ) | (72,987 | ) | |||
|
|
|
|
|
|
|
|
|
| $ | 269,475 |
| |||
Credit Default Swap Agreement:
The Fund had the following credit default swap agreement open at March 31, 2020:
Swap Counterparty and |
| Credit |
| Buy/Sell |
| Pay/Receive |
| Payment |
| Maturity |
| Notional |
| Value |
| Upfront |
| Unrealized |
| ||||
Morgan Stanley & Co. LLC* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
CDX.NA.HY.33 |
| NR |
| Buy |
| 5.00 | % | Quarterly |
| 12/20/24 |
| $ | 784 |
| $ | 48,423 |
| $ | (74,908 | ) | $ | 123,331 |
|
Interest Rate Swap Agreement:
The Fund had the following interest rate swap agreement open at March 31, 2020:
Swap |
| 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 |
| $ | (696,954 | ) | $ | — |
| $ | (696,954 | ) |
† |
| Credit rating as issued by Standard & Poor’s. |
* |
| 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 ¡ March 31, 2020 (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. If only bid prices are available then the latest bid price may be used. 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; If Morgan Stanley Investment Management Inc. (the “Adviser”), determines that the price provided by the outside pricing service/vendor or exchange does not reflect the security’s fair value or is unable to provide a price, prices from brokers or dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from brokers or dealers; (7) when market quotations are not readily available, including circumstances under which 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 March 31, 2020.
Investment Type |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Assets: |
|
|
|
|
|
|
|
|
| ||||
Fixed Income Securities |
|
|
|
|
|
|
|
|
| ||||
Corporate Bonds |
| $ | — |
| $ | 68,653,500 |
| $ | — |
| $ | 68,653,500 |
|
|
|
|
|
|
|
|
|
|
| ||||
Short-Term Investments |
|
|
|
|
|
|
|
|
| ||||
U.S. Treasury Security |
| — |
| 888,770 |
| — |
| 888,770 |
| ||||
Corporate Bonds |
| — |
| 625,844 |
| — |
| 625,844 |
| ||||
Investment Company |
| 222,570 |
| — |
| — |
| 222,570 |
| ||||
Total Short-Term Investments |
| 222,570 |
| 1,514,614 |
| — |
| 1,737,184 |
| ||||
Foreign Currency Forward Exchange Contracts |
| — |
| 29,720 |
| — |
| 29,720 |
| ||||
Futures Contracts |
| 342,590 |
| — |
| — |
| 342,590 |
| ||||
Credit Default Swap Agreement |
| — |
| 123,331 |
| — |
| 123,331 |
| ||||
Total Assets |
| 565,160 |
| 70,321,165 |
| — |
| 70,886,325 |
| ||||
Liabilities: |
|
|
|
|
|
|
|
|
| ||||
Foreign Currency Forward Exchange Contracts |
| — |
| (59 | ) | — |
| (59 | ) | ||||
Futures Contracts |
| (73,115 | ) | — |
| — |
| (73,115 | ) | ||||
Interest Rate Swap Agreement |
| — |
| (696,954 | ) | — |
| (696,954 | ) | ||||
Total Liabilities |
| (73,115 | ) | (697,013 | ) | — |
| (770,128 | ) | ||||
Total |
| $ | 492,045 |
| $ | 69,624,152 |
| $ | — |
| $ | 70,116,197 |
|
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes.