Morgan Stanley U.S. Government Securities Trust
Portfolio of Investments ▪ September 30, 2021 (unaudited)
PRINCIPAL AMOUNT (000) | COUPON RATE |
| MATURITY DATE | VALUE | ||||||||||||
Agency Adjustable Rate Mortgages (0.5%) | ||||||||||||||||
Federal Home Loan Mortgage Corporation, | ||||||||||||||||
Conventional Pools: | ||||||||||||||||
$ | 681 | 12 Month USD LIBOR + 1.817% | 2.09 | % | 06/01/43 | $ | 721,510 | |||||||||
108 | 12 Month USD LIBOR + 1.74% | 2.202 | 11/01/36 | 114,351 | ||||||||||||
269 | 12 Month USD LIBOR + 1.905% | 2.405 | 10/01/36 | 287,534 | ||||||||||||
Federal National Mortgage Association, | ||||||||||||||||
Conventional Pool: | ||||||||||||||||
16 | 12 Month USD LIBOR + 1.57% | 1.82 | 05/01/44 | 15,849 | ||||||||||||
Conventional Pools: | ||||||||||||||||
527 | 5.144 | 03/01/38 | 582,836 | |||||||||||||
Total Agency Adjustable Rate Mortgages (Cost $1,716,021) | 1,722,080 | |||||||||||||||
Agency Bond - Finance (U.S. Government Guaranteed) (0.3%) | ||||||||||||||||
989 | Washington Aircraft 1 Co., DAC (Cost $989,364) | 2.637 | 09/15/26 | 1,036,517 | ||||||||||||
Agency Bond - Sovereign (U.S. Government Guaranteed) (0.4%) | ||||||||||||||||
1,159 | Petroleos Mexicanos (Mexico) (Cost $1,158,750) | 2.46 | 12/15/25 | 1,202,404 | ||||||||||||
Agency Fixed Rate Mortgages (37.4%) | ||||||||||||||||
Federal Home Loan Mortgage Corporation, | ||||||||||||||||
Conventional Pools: | ||||||||||||||||
132 | 3.00 | 12/01/49 | 135,444 | |||||||||||||
413 | 4.00 | 04/01/49 | 441,862 | |||||||||||||
430 | 4.50 | 11/01/48 | 467,435 | |||||||||||||
Gold Pools: | ||||||||||||||||
2,605 | 3.00 | 03/01/47–06/01/49 | 2,756,895 | |||||||||||||
5,485 | 3.50 | 08/01/42–04/01/49 | 5,974,029 | |||||||||||||
1,774 | 4.00 | 12/01/41–10/01/45 | 1,952,708 | |||||||||||||
457 | 5.00 | 01/01/40 | 523,432 | |||||||||||||
698 | 5.50 | 11/01/39 | 810,825 | |||||||||||||
138 | 6.50 | 03/01/29–09/01/32 | 154,405 | |||||||||||||
152 | 7.50 | 05/01/35 | 178,409 | |||||||||||||
92 | 8.00 | 08/01/32 | 105,716 | |||||||||||||
108 | 8.50 | 08/01/31 | 128,545 | |||||||||||||
Federal National Mortgage Association, | ||||||||||||||||
Conventional Pools: | ||||||||||||||||
508 | 2.50 | 02/01/50 | 523,714 | |||||||||||||
5,222 | 3.00 | 06/01/40–11/01/49 | 5,515,795 | |||||||||||||
11,109 | 3.50 | 12/01/42–07/01/49 | 11,976,472 | |||||||||||||
12,912 | 4.00 | 11/01/41–09/01/48 | 14,171,075 | |||||||||||||
5,108 | 4.50 | 01/01/25–09/01/48 | 5,694,247 | |||||||||||||
1,514 | 5.00 | 05/01/35–02/01/41 | 1,719,681 | |||||||||||||
1,547 | 5.50 | 03/01/35–10/01/35 | 1,797,218 | |||||||||||||
24 | 6.50 | 06/01/29–02/01/33 | 26,536 | |||||||||||||
1 | 7.00 | 05/01/31 | 896 | |||||||||||||
245 | 7.50 | 08/01/37 | 293,847 | |||||||||||||
194 | 8.00 | 04/01/33 | 232,037 | |||||||||||||
195 | 8.50 | 10/01/32 | 235,884 | |||||||||||||
December TBA: | ||||||||||||||||
14,275 | (a) | 2.00 | 12/01/51 | 14,256,599 | ||||||||||||
34,750 | (a) | 2.50 | 12/01/51 | 35,679,834 | ||||||||||||
November TBA: | ||||||||||||||||
775 | (a) | 3.00 | 11/01/51 | 809,984 | ||||||||||||
October TBA: | ||||||||||||||||
1,800 | (a) | 2.00 | 10/01/36 | 1,853,930 | ||||||||||||
Government National Mortgage Association, | ||||||||||||||||
December TBA: | ||||||||||||||||
3,150 | (a) | 3.00 | 12/20/51 | 3,279,814 |
Morgan Stanley U.S. Government Securities Trust
Portfolio of Investments ▪ September 30, 2021 (unaudited) continued
Various Pools: | ||||||||||||||||
3,193 | 3.50 | 08/20/45–07/20/49 | 3,401,435 | |||||||||||||
3,449 | 4.00 | 11/20/42–05/20/49 | 3,725,649 | |||||||||||||
125 | 4.50 | 04/20/49 | 133,404 | |||||||||||||
507 | 5.00 | 01/20/40–02/20/49 | 554,680 | |||||||||||||
35 | 5.125 | 11/20/37 | 37,495 | |||||||||||||
432 | 5.25 | 04/20/36–09/20/39 | 481,046 | |||||||||||||
663 | 5.375 | 02/20/36–08/20/40 | 737,936 | |||||||||||||
846 | 6.00 | 06/15/28–09/20/34 | 962,770 | |||||||||||||
52 | 7.00 | 03/20/26–07/20/29 | 58,326 | |||||||||||||
153 | 8.00 | 01/15/22–08/15/31 | 157,992 | |||||||||||||
169 | 8.50 | 07/15/30 | 183,649 | |||||||||||||
4 | 9.00 | 06/15/20–02/15/25 | 4,707 | |||||||||||||
Total Agency Fixed Rate Mortgages (Cost $119,696,553) | 122,136,357 | |||||||||||||||
Asset-Backed Securities (5.7%) | ||||||||||||||||
912 | Ajax Mortgage Loan Trust (b) | 1.698 | 05/25/59 | 921,608 | ||||||||||||
1,500 | AMSR 2019-SFR1 Trust (b) | 2.774 | 01/19/39 | 1,561,705 | ||||||||||||
670 | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd., 1 Month USD LIBOR + 1.07% (b) | 1.155 | (c) | 08/15/34 | 670,838 | |||||||||||
1,530 | ECMC Group Student Loan Trust (b) | 1.39 | 11/25/70 | 1,518,942 | ||||||||||||
1,355 | Invitation Homes Trust, 1 Month USD LIBOR + 1.00% (b) | 1.084 | (c) | 07/17/37 | 1,359,800 | |||||||||||
Navient Private Education Refinance Loan Trust | ||||||||||||||||
1,228 | (b) | 0.97 | 12/16/69 | 1,224,698 | ||||||||||||
900 | (b) | 1.11 | 02/18/70 | 897,955 | ||||||||||||
474 | (b) | 1.22 | 07/15/69 | 477,214 | ||||||||||||
794 | Class A (b) | 1.06 | 10/15/69 | 796,309 | ||||||||||||
Nelnet Student Loan Trust | ||||||||||||||||
840 | (b) | 1.32 | 04/20/62 | 837,833 | ||||||||||||
1,591 | Class A (b) | 1.36 | 04/20/62 | 1,591,156 | ||||||||||||
35 | North Carolina State Education Assistance Authority, 3 Month USD LIBOR + 0.80% | 0.925 | (c) | 07/25/25 | 34,856 | |||||||||||
850 | PFS Financing Corp. (b) | 0.775 | 08/15/26 | 847,969 | ||||||||||||
SMB Private Education Loan Trust | ||||||||||||||||
1,214 | Class A (b) | 1.31 | 07/17/51 | 1,215,179 | ||||||||||||
600 | (b) | 1.34 | 03/17/53 | 600,696 | ||||||||||||
United States Small Business Administration | ||||||||||||||||
1,082 | 2.42 | 06/01/32 | 1,128,362 | |||||||||||||
2,664 | 2.67 | 04/01/32 | 2,772,570 | |||||||||||||
Total Asset-Backed Securities (Cost $18,176,301) | 18,457,690 | |||||||||||||||
Collateralized Mortgage Obligations - Agency Collateral Series (9.3%) | ||||||||||||||||
Federal Home Loan Mortgage Corporation | ||||||||||||||||
5,420 | 2.373 | 05/25/22 | 5,471,833 | |||||||||||||
4,700 | 2.682 | 10/25/22 | 4,797,893 | |||||||||||||
3,850 | 3.208 | 02/25/26 | 4,165,553 | |||||||||||||
4,000 | 3.32 | (c) | 02/25/23 | 4,145,179 | ||||||||||||
3,429 | 3.527 | (c) | 10/25/23 | 3,621,642 | ||||||||||||
3,200 | 3.69 | 01/25/29 | 3,670,739 | |||||||||||||
2,760 | 3.90 | (c) | 08/25/28 | 3,186,240 | ||||||||||||
IO | ||||||||||||||||
32,497 | 0.456 | (c) | 11/25/27 | 621,919 | ||||||||||||
2,393 | IO REMIC 6.00% - 1 Month USD LIBOR | 5.916 | (d) | 11/15/43 | 411,097 | |||||||||||
1,950 | Federal National Mortgage Association, IO REMIC 6.55% - 1 Month USD LIBOR | 6.464 | (d) | 08/25/41 | 103,651 | |||||||||||
318 | Government National Mortgage Association, IO | 5.00 | 02/16/41 | 57,119 | ||||||||||||
Total Collateralized Mortgage Obligations - Agency Collateral Series (Cost $28,441,915) | 30,252,865 |
Morgan Stanley U.S. Government Securities Trust
Portfolio of Investments ▪ September 30, 2021 (unaudited) continued
Commercial Mortgage-Backed Securities (7.6%) | ||||||||||||||||
181 | Bancorp Commercial Mortgage Trust, SOFRA + 1.164% (b) | 1.215 | (c) | 09/15/36 | 180,970 | |||||||||||
6,958 | BANK 2019-BNK21, IO | 0.991 | (c) | 10/17/52 | 408,452 | |||||||||||
725 | BDS 2021-FL8, 1 Month USD LIBOR + 0.92% (b) | 1.005 | (c) | 01/18/36 | 725,163 | |||||||||||
1,400 | BF Mortgage Trust, 1 Month USD LIBOR + 1.20% (b) | 1.284 | (c) | 12/15/35 | 1,402,773 | |||||||||||
775 | BSREP Commercial Mortgage Trust, 1 Month USD LIBOR + 0.95% (b) | 1.034 | (c) | 08/15/38 | 777,779 | |||||||||||
1,500 | BX Commercial Mortgage Trust, Class A, 1 Month USD LIBOR + 0.70% (b) | 0.784 | (c) | 04/15/34 | 1,494,375 | |||||||||||
600 | CAMB Commercial Mortgage Trust, 1 Month USD LIBOR + 1.07% (b) | �� | 1.154 | (c) | 12/15/37 | 601,663 | ||||||||||
585 | CIM Retail Portfolio Trust, 1 Month USD LIBOR + 1.40% (b) | 1.484 | (c) | 08/15/36 | 586,873 | |||||||||||
Citigroup Commercial Mortgage Trust, IO | ||||||||||||||||
4,923 | 0.873 | (c) | 11/10/48 | 126,492 | ||||||||||||
13,610 | 1.035 | (c) | 09/10/58 | 410,634 | ||||||||||||
8,073 | 1.168 | (c) | 11/10/46 | 141,434 | ||||||||||||
22,472 | Commercial Mortgage Pass-Through Certificates, IO | 0.696 | (c) | 02/10/47 | 256,892 | |||||||||||
5,207 | Commercial Mortgage Trust, IO | 1.178 | (c) | 08/10/46 | 82,151 | |||||||||||
1,300 | Credit Suisse Mortgage Capital Certificates 1 Month USD LIBOR + 1.40% (b) | 1.484 | (c) | 07/15/38 | 1,302,446 | |||||||||||
1,950 | (b) | 2.389 | 07/15/31 | 1,988,131 | ||||||||||||
1,800 | CSWF Commercial Mortgage Trust, 1 Month USD LIBOR + 0.967% (b) | 1.051 | (c) | 06/15/34 | 1,796,286 | |||||||||||
1,250 | DROP Mortgage Trust, 1 Month USD LIBOR + 1.15% (b) | 1.23 | (c) | 04/15/26 | 1,255,870 | |||||||||||
GS Mortgage Securities Trust, IO | ||||||||||||||||
12,879 | 1.157 | (c) | 04/10/47 | 262,918 | ||||||||||||
8,839 | 1.19 | (c) | 11/10/46 | 153,367 | ||||||||||||
14,254 | 1.375 | (c) | 10/10/48 | 583,489 | ||||||||||||
1,300 | Hawaii Hotel Trust, 1 Month USD LIBOR + 1.15% (b) | 1.234 | (c) | 05/15/38 | 1,303,920 | |||||||||||
8,425 | JP Morgan Chase Commercial Mortgage Securities Trust, IO | 0.808 | (c) | 12/15/49 | 185,960 | |||||||||||
JPMBB Commercial Mortgage Securities Trust, IO | ||||||||||||||||
21,928 | 0.89 | (c) | 01/15/47 | 299,785 | ||||||||||||
4,634 | 1.201 | (c) | 11/15/45 | 79,360 | ||||||||||||
1,975 | SFO Commercial Mortgage Trust, Class A, 1 Month USD LIBOR + 1.15% (b) | 1.234 | (c) | 05/15/38 | 1,983,488 | |||||||||||
1,300 | SG Commercial Mortgage Securities Trust (b) | 4.163 | 02/15/41 | 1,476,943 | ||||||||||||
850 | TPGI Trust, Class A, 1 Month USD LIBOR + 0.70% (b) | 0.78 | (c) | 06/15/26 | 851,341 | |||||||||||
610 | TTAN 2021-MHC, Class A, 1 Month USD LIBOR + 0.85% (b) | 0.934 | (c) | 03/15/38 | 610,873 | |||||||||||
975 | VMC Finance LLC, 1 Month USD LIBOR + 1.10% (b) | 1.184 | (c) | 09/15/36 | 972,783 | |||||||||||
800 | Wells Fargo Commercial Mortgage Trust, 1 Month USD LIBOR + 1.01% (b) | 1.094 | (c) | 02/15/37 | 800,223 | |||||||||||
WFRBS Commercial Mortgage Trust, IO | ||||||||||||||||
11,002 | 0.548 | (c) | 08/15/46 | 62,346 | ||||||||||||
7,088 | 1.118 | (c) | 03/15/46 | 118,750 | ||||||||||||
13,304 | 1.224 | (c) | 12/15/46 | 255,407 | ||||||||||||
1,100 | Worldwide Plaza Trust (b) | 3.526 | 11/10/36 | 1,192,735 | ||||||||||||
Total Commercial Mortgage-Backed Securities (Cost $24,165,054) | 24,732,072 |
Morgan Stanley U.S. Government Securities Trust
Portfolio of Investments ▪ September 30, 2021 (unaudited) continued
Mortgages - Other (15.9%) | ||||||||||||||||
989 | BRAVO Residential Funding Trust (b) | 3.50 | (c) | 10/25/44 | 1,028,944 | |||||||||||
770 | Bunker Hill Loan Depositary Trust (b) | 1.724 | (c) | 02/25/55 | 778,594 | |||||||||||
789 | Cascade Funding Mortgage Trust (b) | 4.00 | (c) | 10/25/68 | 820,346 | |||||||||||
CIM Trust | ||||||||||||||||
3,299 | (b) | 2.50 | (c) | 06/25/51–07/01/51 | 3,349,197 | |||||||||||
472 | (b) | 3.00 | (c) | 04/25/57 | 478,605 | |||||||||||
1,600 | Citigroup Mortgage Loan Trust (b) | 2.50 | (c) | 09/25/51 | 1,620,500 | |||||||||||
451 | COLT 2020-1R Mortgage Loan Trust (b) | 1.255 | (c) | 09/25/65 | 452,485 | |||||||||||
1,141 | Ellington Financial Mortgage Trust (b) | 0.797 | (c) | 02/25/66 | 1,140,553 | |||||||||||
95 | Federal Home Loan Mortgage Corporation 1 Month USD LIBOR + 1.20% | 1.286 | (c) | 10/25/29 | 95,397 | |||||||||||
1,825 | 3.00 | 09/25/45–05/25/47 | 1,842,191 | |||||||||||||
1,294 | 3.50 | 05/25/45–05/25/47 | 1,328,674 | |||||||||||||
37 | 4.00 | 05/25/45 | 38,694 | |||||||||||||
Flagstar Mortgage Trust | ||||||||||||||||
1,415 | (b) | 2.50 | (c) | 09/25/51 | 1,433,437 | |||||||||||
Class A2 | ||||||||||||||||
1,758 | (b) | 2.50 | (c) | 06/25/51 | 1,787,951 | |||||||||||
Galton Funding Mortgage Trust | ||||||||||||||||
395 | (b) | 3.50 | (c) | 06/25/59 | 400,690 | |||||||||||
388 | (b) | 4.00 | (c) | 11/25/57–02/25/59 | 393,701 | |||||||||||
694 | GCAT Trust (b) | 1.555 | 04/25/65 | 698,059 | ||||||||||||
1,475 | Hundred Acre Wood Trust (b) | 2.50 | (c) | 10/25/51 | 1,504,270 | |||||||||||
740 | JP Morgan Mortgage Trust (b) | 2.50 | (c) | 12/25/51 | 750,906 | |||||||||||
5,169 | Mello Mortgage Capital Acceptance (b) | 2.50 | (c) | 06/25/51- 08/25/51 | 5,237,308 | |||||||||||
1,170 | Natixis Commercial Mortgage Securities Trust | 1.00 | 08/15/38 | 1,170,000 | ||||||||||||
New Residential Mortgage Loan Trust | ||||||||||||||||
1,334 | (b) | 3.75 | (c) | 11/26/35–08/25/55 | 1,415,849 | |||||||||||
2,258 | (b) | 4.00 | (c) | 02/25/57–09/25/57 | 2,408,995 | |||||||||||
900 | NewRez Warehouse Securitization Trust, 1 Month USD LIBOR + 0.75% (b) | 0.836 | (c) | 05/25/55 | 901,857 | |||||||||||
283 | OBX Trust (b) | 3.50 | (c) | 02/25/60 | 290,608 | |||||||||||
692 | Oceanview Mortgage Loan Trust (b) | 1.733 | (c) | 05/28/50 | 695,869 | |||||||||||
1,778 | PRMI Securitization Trust (b) | 2.50 | (c) | 04/25/51 | 1,801,614 | |||||||||||
Seasoned Credit Risk Transfer Trust | ||||||||||||||||
10,920 | 3.00 | 07/25/56–05/25/60 | 11,528,388 | |||||||||||||
964 | 4.00 | 08/25/58–02/25/59 | 1,050,271 | |||||||||||||
1,850 | 4.50 | 06/25/57 | 2,050,534 | |||||||||||||
3,508 | United Wholesale Mortgage Trust (b) | 2.50 | (c) | 06/25/51- 08/25/51 | 3,558,475 | |||||||||||
Total Mortgages - Other (Cost $50,853,742) | 52,052,962 | |||||||||||||||
Municipal Bonds (15.4%) | ||||||||||||||||
3,615 | Bay Area Toll Authority | 6.263 | 04/01/49 | 5,817,421 | ||||||||||||
3,875 | City of New York, NY, Series G-1 | 5.968 | 03/01/36 | 5,340,138 | ||||||||||||
3,060 | City of San Francisco, CA, Public Utilities Commission Water Revenue | 6.00 | 11/01/40 | 4,234,477 | ||||||||||||
5,980 | Los Angeles Unified School District | 5.75 | 07/01/34 | 7,947,982 | ||||||||||||
1,450 | Metropolitan Transportation Authority | 6.668 | 11/15/39 | 2,076,487 | ||||||||||||
6,245 | Missouri Highway & Transportation Commission | 5.445 | 05/01/33 | 7,880,153 | ||||||||||||
3,625 | New York City Transitional Finance Authority Future Tax Secured Revenue, Series A | 5.267 | 05/01/27 | 4,328,631 | ||||||||||||
3,000 | New York State Dormitory Authority | 5.628 | 03/15/39 | 3,882,549 | ||||||||||||
1,725 | North Carolina State University at Raleigh, Series B | 2.62 | 10/01/39 | 1,774,835 | ||||||||||||
1,400 | Onondaga Civic Development Corp., NY | 3.068 | 12/01/55 | 1,368,987 | ||||||||||||
2,575 | State of Oregon Department of Transportation | 5.834 | 11/15/34 | 3,547,204 | ||||||||||||
1,580 | State of Washington | 5.481 | 08/01/39 | 2,167,354 | ||||||||||||
Total Municipal Bonds (Cost $38,781,103) | 50,366,218 | |||||||||||||||
U.S. Agency Securities (6.6%) | ||||||||||||||||
4,400 | Private Export Funding Corp. | 4.30 | 12/15/21 | 4,438,301 | ||||||||||||
Tennessee Valley Authority | ||||||||||||||||
6,935 | 5.25 | 09/15/39 | 9,853,454 |
Morgan Stanley U.S. Government Securities Trust
Portfolio of Investments ▪ September 30, 2021 (unaudited) continued
5,000 | 7.125 | 05/01/30 | 7,208,437 | |||||||||||||
Total U.S. Agency Securities (Cost $17,787,606) | 21,500,192 | |||||||||||||||
Short-Term Investments (18.2%) | ||||||||||||||||
U.S. Treasury Securities (17.0%) | ||||||||||||||||
2,370 | U.S. Treasury Bill (e)(f) | 0.061 | 07/14/22 | 2,368,776 | ||||||||||||
U.S. Treasury Notes | ||||||||||||||||
39,400 | 1.75 | 06/30/22 | 39,890,910 | |||||||||||||
13,000 | 1.875 | 07/31/22 | 13,194,531 | |||||||||||||
Total U.S. Treasury Securities (Cost $55,546,198) | 55,454,217 |
NUMBER OF SHARES (000) | |||||||||||||||
Investment Company (1.2%) | |||||||||||||||
4,065 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (g) (Cost $4,064,902) | 4,064,902 | |||||||||||||
Total Short-Term Investments (Cost $59,611,100) | 59,519,119 | ||||||||||||||
Total Investments (Cost $361,377,509) (h)(i) | 117.3 | % | 382,978,476 | ||||||||||||
Liabilities in Excess of Other Assets | (17.3 | ) | (56,614,680 | ) | |||||||||||
Net Assets | 100.0 | % | $ | 326,363,796 |
IO | Interest Only. | |
LIBOR | London Interbank Offered Rate. | |
REMIC | Real Estate Mortgage Investment Conduit. | |
TBA | To Be Announced. | |
(a) | Security is subject to delayed delivery. | |
(b) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. | |
(c) | Floating or variable rate securities: The rates disclosed are as of September 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description in the Portfolio of Investments. | |
(d) | Inverse Floating Rate Security - Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at September 30, 2021. | |
(e) | Rate shown is the yield to maturity at September 30, 2021. | |
(f) | All or a portion of the security was pledged to cover margin requirements for futures contracts. | |
(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, 2021, advisory fees paid were reduced by $3,134 relating to the Fund's investment in the Liquidity Funds. | |
(h) | Securities are available for collateral in connection with purchase of securities on a forward commitment basis and open futures contracts. | |
(i) | At September 30, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $22,589,917 and the aggregate gross unrealized depreciation is $1,117,781, resulting in net unrealized appreciation of $21,472,136. |
Morgan Stanley U.S. Government Securities Trust
Portfolio of Investments ▪ September 30, 2021 (unaudited) continued
Futures Contracts:
The Fund had the following futures contracts open at September 30, 2021:
NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT (000) | VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long: | ||||||||||||||||||
U.S. Treasury 5 yr. Note | 178 | Dec-21 | $ | 17,800 | $ | 21,848,109 | $ | (104,640 | ) | |||||||||
U.S. Treasury 2 yr. Note | 72 | Dec-21 | 14,400 | 15,843,938 | (9,070 | ) | ||||||||||||
U.S. Treasury Ultra Bond | 62 | Dec-21 | 6,200 | 11,845,875 | (426,727 | ) | ||||||||||||
Short: | ||||||||||||||||||
U.S. Treasury 10 yr. Note | 8 | Dec-21 | (800 | ) | (1,052,875 | ) | 14,376 | |||||||||||
U.S. Treasury Long Bond | 10 | Dec-21 | (1,000 | ) | (1,592,187 | ) | 34,687 | |||||||||||
U.S. Treasury Ultra Long Bond | 128 | Dec-21 | (12,800 | ) | (18,592,000 | ) | 362,543 | |||||||||||
$ | (128,831 | ) |
USD - United States Dollar
PORTFOLIO COMPOSITION* as of 09/30/21
Percentage of Total Investments | ||||
Agency Fixed Rate Mortgages | 31.9 | % | ||
Short-Term Investments | 15.5 | |||
Mortgages - Other | 13.6 | |||
Municipal Bonds | 13.2 | |||
Collateralized Mortgage Obligations - Agency Collateral Series | 7.9 | |||
Commercial Mortgage-Backed Securities | 6.5 | |||
U.S. Agency Securities | 5.6 | |||
Asset-Backed Securities | 4.8 | |||
Agency Adjustable Rate Mortgages | 0.4 | |||
Agency Bonds - Sovereign (U.S. Government Guaranteed) | 0.3 | |||
Agency Bonds - Finance (U.S. Government Guaranteed) | 0.3 | |||
Total Investments | 100.0 | % |
* | Does not include open long/short futures contracts with a value of $70,774,984 and net unrealized depreciation of $128,831. |
Morgan Stanley U.S. Government Securities Trust
Notes to Portfolio of Investments ▪ September 30, 2021 (unaudited)
In March 2020, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standard Update, ASU 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”), which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate ("LIBOR") and other Interbank Offered Rate (“IBOR”) based reference rates at the end of 2021. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period from March 12, 2020 through December 31, 2022. Management is evaluating the impact of ASU 2020-04 on the Fund's investments, derivatives, debt and other contracts that will undergo reference rate-related modifications as a result of the reference rate reform.
Valuation of Investments - (1) Certain portfolio securities may be valued by an outside pricing service/vendor approved by the Fund's Board of Trustees (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 only bid prices are available then the latest bid price may be used. If Morgan Stanley Investment Management Inc. (the "Adviser"), a wholly-owned subsidiary of Morgan Stanley, 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; (2) portfolio securities for which over-the-counter ("OTC") market quotations are readily available are valued at its 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; (3) when market quotations are not readily available, including circumstances under which the Adviser determines that the market quotations 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; (4) 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; and (5) 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 Fund’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 Fund's Adviser has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of the Fund’s valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow the Fund 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, 2021:
Investment Type | Level 1 Unadjusted quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Fixed Income Securities | ||||||||||||||||
Agency Adjustable Rate Mortgages | $ | — | $ | 1,722,080 | $ | — | $ | 1,722,080 | ||||||||
Agency Bond - Finance (U.S. Government Guaranteed) | — | 1,036,517 | — | 1,036,517 | ||||||||||||
Agency Bond - Sovereign (U.S. Government Guaranteed) | — | 1,202,404 | — | 1,202,404 | ||||||||||||
Agency Fixed Rate Mortgages | — | 122,136,357 | — | 122,136,357 | ||||||||||||
Asset-Backed Securities | — | 18,457,690 | — | 18,457,690 | ||||||||||||
Collateralized Mortgage Obligations - Agency Collateral Series | — | 30,252,865 | — | 30,252,865 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 24,732,072 | — | 24,732,072 | ||||||||||||
Mortgages - Other | — | 52,052,962 | — | 52,052,962 | ||||||||||||
Municipal Bonds | — | 50,366,218 | — | 50,366,218 | ||||||||||||
U.S. Agency Securities | — | 21,500,192 | — | 21,500,192 | ||||||||||||
Total Fixed Income Securities | — | 323,459,357 | — | 323,459,357 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Treasury Securities | — | 55,454,217 | — | 55,454,217 | ||||||||||||
Investment Company | 4,064,902 | — | — | 4,064,902 | ||||||||||||
Total Short-Term Investments | 4,064,902 | 55,454,217 | — | 59,519,119 | ||||||||||||
Futures Contracts | 411,606 | — | — | 411,606 | ||||||||||||
Total Assets | 4,476,508 | 378,913,574 | — | 383,390,082 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures Contracts | (540,437 | ) | — | — | (540,437 | ) | ||||||||||
Total | $ | 3,936,071 | $ | 378,913,574 | $ | — | $ | 382,849,645 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.