Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)
| PRINCIPAL AMOUNT (000) | COUPON RATE | MATURITY DATE | VALUE | |||||||||||
| Agency Fixed Rate Mortgages (23.4%) | ||||||||||||||
| Federal Home Loan Mortgage Corporation, Conventional Pools: | ||||||||||||||
| $ | 705 | 3.50 | % | 08/01/49 | $ | 720,233 | ||||||||
| 356 | 4.00 | 07/01/49 | 366,513 | |||||||||||
| (a) | 10.00 | 05/01/20–12/01/20 | 99 | |||||||||||
| Gold Pools: | ||||||||||||||
| 835 | 3.50 | 01/01/44–05/01/49 | 866,747 | |||||||||||
| 1,090 | 4.00 | 12/01/41–10/01/45 | 1,166,442 | |||||||||||
| 1,032 | 4.50 | 03/01/41–01/01/49 | 1,114,782 | |||||||||||
| 96 | 5.00 | 12/01/40–05/01/41 | 104,473 | |||||||||||
| 16 | 5.50 | 07/01/37 | 17,429 | |||||||||||
| 19 | 6.00 | 12/01/37 | 21,813 | |||||||||||
| 15 | 6.50 | 06/01/29–09/01/33 | 16,794 | |||||||||||
| 49 | 7.50 | 05/01/35 | 58,055 | |||||||||||
| 24 | 8.00 | 08/01/32 | 27,552 | |||||||||||
| 38 | 8.50 | 08/01/31 | 45,763 | |||||||||||
| (a) | 10.00 | 10/01/21 | 86 | |||||||||||
| Federal National Mortgage Association, Conventional Pools: | ||||||||||||||
| 1,010 | 2.50 | 09/01/49–02/01/50 | 1,014,308 | |||||||||||
| 635 | 3.00 | 02/01/50 | 650,445 | |||||||||||
| 4,574 | 3.50 | 09/01/42–11/01/49 | 4,774,339 | |||||||||||
| 2,544 | 4.00 | 04/01/45–01/01/49 | 2,709,082 | |||||||||||
| 2,498 | 4.50 | 08/01/40–08/01/49 | 2,607,002 | |||||||||||
| 1,370 | 5.00 | 11/01/40–01/01/49 | 1,473,740 | |||||||||||
| 11 | 5.50 | 08/01/37 | 12,170 | |||||||||||
| 433 | 6.50 | 02/01/28–12/01/33 | 483,807 | |||||||||||
| 14 | 7.00 | 07/01/23–06/01/32 | 14,277 | |||||||||||
| 60 | 7.50 | 08/01/37 | 70,895 | |||||||||||
| 64 | 8.00 | 04/01/33 | 77,748 | |||||||||||
| 62 | 8.50 | 10/01/32 | 75,389 | |||||||||||
| 45 | 9.50 | 04/01/30 | 50,338 | |||||||||||
| February TBA: | ||||||||||||||
| 14,000 | (b) | 3.00 | 02/15/50 | 14,318,408 | ||||||||||
| 4,500 | (b) | 3.50 | 02/15/50 | 4,645,547 | ||||||||||
| Government National Mortgage Association, Various Pools: | ||||||||||||||
| 521 | 3.50 | 10/20/44–05/20/45 | 548,197 | |||||||||||
| 3,163 | 4.00 | 07/15/44–12/20/49 | 3,289,675 | |||||||||||
| 5,862 | 4.50 | 12/20/48–12/20/49 | 6,182,525 | |||||||||||
| 3,090 | 5.00 | 05/20/41–06/20/49 | 3,247,943 | |||||||||||
| 966 | 5.50 | 02/20/49–10/20/49 | 1,030,287 | |||||||||||
| (a) | 11.00 | 04/15/21 | 7 | |||||||||||
| Total Agency Fixed Rate Mortgages(Cost $51,144,780) | 51,802,910 | |||||||||||||
| Asset-Backed Securities (33.4%) | ||||||||||||||
| 227 | Aaset Trust (c) | 3.844 | 05/15/39 | 231,938 | ||||||||||
| 405 | ABFC Trust, 1 Month USD LIBOR + 0.78% | 2.441 | (d) | 10/25/33 | 394,884 | |||||||||
| 400 | American Credit Acceptance Receivables Trust (c) | 4.84 | 04/14/25 | 415,442 | ||||||||||
| 600 | American Homes 4 Rent (c) | 5.885 | 04/17/52 | 657,029 | ||||||||||
| American Homes 4 Rent Trust | ||||||||||||||
| 520 | (c) | 5.639 | 04/17/52 | 576,337 | ||||||||||
| 600 | (c) | 6.231 | 10/17/36 | 674,320 | ||||||||||
| 618 | Ameriquest Mortgage Securities, Inc., 1 Month USD LIBOR + 0.83% | 2.486 | (d) | 04/25/34 | 619,438 | |||||||||
| Amortizing Residential Collateral Trust | ||||||||||||||
| 655 | 1 Month USD LIBOR + 0.50% | 2.161 | (d) | 12/25/30 | 645,713 | |||||||||
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
| 293 | 1 Month USD LIBOR + 0.76% | 2.421 | (d) | 10/25/32 | 291,096 | |||||||||
| 261 | 1 Month USD LIBOR + 0.64% | 2.432 | (d) | 10/25/31 | 257,827 | |||||||||
| Argent Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||||||||
| 307 | 1 Month USD LIBOR + 1.88% | 3.536 | (d) | 04/25/34 | 313,402 | |||||||||
| 600 | 5.63% - 1 Month USD LIBOR | 3.616 | (h) | 12/25/33 | 601,058 | |||||||||
| Avant Loans Funding Trust | ||||||||||||||
| 300 | (c) | 4.65 | 04/15/26 | 304,656 | ||||||||||
| 200 | (c) | 4.79 | 05/15/24 | 201,925 | ||||||||||
| Bear Stearns Asset-Backed Securities Trust | ||||||||||||||
| 298 | 4.218 | (d) | 07/25/36 | 299,719 | ||||||||||
| 16 | 1 Month USD LIBOR + 0.32% | 1.981 | (d) | 01/25/47 | 15,793 | |||||||||
| 190 | 1 Month USD LIBOR + 1.30% | 2.961 | (d) | 10/27/32 | 189,795 | |||||||||
| 190 | 1 Month USD LIBOR + 1.95% | 3.611 | (d) | 12/25/42 | 193,574 | |||||||||
| 579 | Business Loan Express Business Loan Trust, 1 Month USD LIBOR + 0.40% (c) | 2.054 | (d) | 10/20/40 | 543,998 | |||||||||
| 231 | CAM Mortgage Trust 2018-1 (c) | 5.00 | (d) | 12/01/65 | 232,158 | |||||||||
| 250 | Carnow Auto Receivables Trust (c) | 3.36 | 06/17/24 | 252,055 | ||||||||||
| 907 | Cascade Funding Mortgage Trust | 4.00 | 06/25/69 | 888,386 | ||||||||||
| 897 | Cascade MH Asset Trust (c) | 3.858 | (d) | 11/25/44 | 902,747 | |||||||||
| 193 | Cendant Mortgage Corp. (c) | 6.00 | (d) | 07/25/43 | 199,508 | |||||||||
| 1,265 | CFMT 2019-HB1 LLC (c) | 4.489 | (d) | 12/25/29 | 1,267,024 | |||||||||
| 208 | CIM Small Business Loan Trust, 1 Month USD LIBOR + 1.40% (c) | 3.165 | (d) | 03/20/43 | 208,011 | |||||||||
| 800 | Citicorp Residential Mortgage Trust | 5.311 | 03/25/37 | 832,873 | ||||||||||
| 296 | Conn’s Receivables Funding 2018-A LLC (c) | 6.02 | 01/15/23 | 297,968 | ||||||||||
| Conn’s Receivables Funding 2019-A LLC | ||||||||||||||
| 600 | (c) | 4.36 | 10/16/23 | 605,317 | ||||||||||
| 800 | (c) | 5.29 | 10/16/23 | 807,868 | ||||||||||
| Conn’s Receivables Funding LLC | ||||||||||||||
| 400 | (c) | 3.62 | 06/17/24 | 401,341 | ||||||||||
| 1,500 | (c) | 4.60 | 06/17/24 | 1,510,568 | ||||||||||
| 341 | (c) | 5.95 | 11/15/22 | 343,066 | ||||||||||
| Countrywide Asset-Backed Certificates | ||||||||||||||
| 69 | 1 Month USD LIBOR + 0.62% (c) | 2.281 | (d) | 06/25/33 | 68,941 | |||||||||
| 700 | 1 Month USD LIBOR + 1.73% | 3.386 | (d) | 05/25/35 | 704,667 | |||||||||
| Credit-Based Asset Servicing & Securitization LLC | ||||||||||||||
| 258 | 1 Month USD LIBOR + 1.60% (c) | 3.261 | (d) | 09/25/35 | 258,426 | |||||||||
| 75 | 1 Month USD LIBOR + 3.08% | 4.736 | (d) | 08/25/30 | 75,541 | |||||||||
| 240 | (c) | 6.75 | 05/25/36 | 264,470 | ||||||||||
| 593 | Diamond Resorts Owner Trust (c) | 3.53 | 02/20/32 | 601,254 | ||||||||||
| 400 | DT Auto Owner Trust (c) | 4.94 | 02/17/26 | 415,197 | ||||||||||
| 638 | ECAF I Ltd. (Ireland) (c) | 4.947 | 06/15/40 | 647,007 | ||||||||||
| 178 | EMC Mortgage Loan Trust, 1 Month USD LIBOR + 1.00% (c) | 2.661 | (d) | 11/25/30 | 178,781 | |||||||||
| EUR | 532 | European Residential Loan Securitisation 2019-NPL1 DAC (Ireland) | 1.534 | 07/24/54 | 590,598 | |||||||||
| $ | 200 | Exeter Automobile Receivables Trust (c) | 5.38 | 07/15/25 | 209,654 | |||||||||
| CAD | 650 | Fairstone Financial Issuance Trust I (Canada) (c) | 3.948 | 03/21/33 | 495,417 | |||||||||
| $ | 172 | FCI Funding 2019-1 LLC (c) | 3.63 | 02/18/31 | 172,752 | |||||||||
| 1,100 | Finance of America HECM Buyout 2019-AB1 (c) | 3.50 | 12/27/49 | 1,102,702 | ||||||||||
| Finance of America Structured Securities Trust | ||||||||||||||
| 2,000 | (c) | 5.682 | (d) | 04/25/29 | 2,025,472 | |||||||||
| 3,300 | (c) | 6.00 | (d) | 09/25/28–04/25/29 | 3,250,347 | |||||||||
| 245 | Financial Asset Securities Corp. AAA Trust, 1 Month USD LIBOR + 0.41% (c) | 2.059 | (d) | 02/27/35 | 231,799 | |||||||||
| FREED ABS Trust | ||||||||||||||
| 1,000 | (c) | 3.19 | 11/18/26 | 1,003,728 | ||||||||||
| 364 | (c) | 4.61 | 10/20/25 | 373,648 | ||||||||||
| 849 | Fremont Home Loan Trust, 1 Month USD LIBOR + 1.28% | 2.936 | (d) | 02/25/33 | 848,092 | |||||||||
| 379 | GAIA Aviation Ltd. (Cayman Islands) (c) | 3.967 | 12/15/44 | 382,872 | ||||||||||
| 450 | GLS Auto Receivables Issuer Trust (c) | 4.94 | 12/15/25 | 469,488 |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
| EUR | 490 | Grand Canal Securities GCS 2 A REGS, 1 Month EURIBOR + 1.00% (Ireland) | 0.534 | (d) | 12/24/58 | 540,766 | ||||||||
| $ | 500 | Home Partners of America Trust, 1 Month USD LIBOR + 2.35% (c) | 4.019 | (d) | 07/17/37 | 500,801 | ||||||||
| Invitation Homes Trust | ||||||||||||||
| 1,100 | 1 Month USD LIBOR + 2.00% (c) | 3.669 | (d) | 03/17/37–07/17/37 | 1,104,667 | |||||||||
| 800 | 1 Month USD LIBOR + 2.00% (c) | 3.676 | (d) | 06/17/37 | 805,238 | |||||||||
| 232 | JOL Air Ltd. (Cayman Islands) (c) | 3.967 | 04/15/44 | 238,369 | ||||||||||
| 458 | Kestrel Aircraft Funding Ltd. (c) | 4.25 | 12/15/38 | 472,940 | ||||||||||
| 325 | Labrador Aviation Finance Ltd. (c) | 4.30 | 01/15/42 | 335,285 | ||||||||||
| 425 | Lehman ABS Manufactured Housing Contract Trust | 6.63 | (d) | 04/15/40 | 461,671 | |||||||||
| GBP | 103 | Marketplace Originated Consumer Assets 2017-1 PLC (United Kingdom) | 2.539 | 12/20/27 | 135,882 | |||||||||
| $ | 154 | MASTR Asset Securitization Trust, 1 Month USD LIBOR + 1.50% | 3.161 | (d) | 05/25/33 | 155,666 | ||||||||
| 250 | MASTR Asset-Backed Securities Trust, 1 Month USD LIBOR + 2.48% | 4.136 | (d) | 09/25/34 | 255,789 | |||||||||
| 300 | MERIT Securities Corp. | 7.33 | 12/28/33 | 315,140 | ||||||||||
| 337 | METAL LLC (Cayman Islands) (c) | 4.581 | 10/15/42 | 347,875 | ||||||||||
| 255 | Mid-State Capital Corp. Trust | 7.758 | 01/15/40 | 294,056 | ||||||||||
| 329 | Morgan Stanley ABS Capital I, Inc. Trust, 1 Month USD LIBOR + 0.68% (e) | 2.341 | (d) | 08/25/34 | 326,054 | |||||||||
| 129 | Morgan Stanley Dean Witter Capital I, Inc. Trust, 1 Month USD LIBOR + 1.28% (f) | 2.936 | (d) | 02/25/32 | 130,334 | |||||||||
| Nationstar HECM Loan Trust | ||||||||||||||
| 1,390 | (c) | 5.682 | (d) | 11/25/29 | 1,396,240 | |||||||||
| 2,000 | (c) | 5.804 | (d) | 06/25/29 | 2,018,715 | |||||||||
| 2,700 | (c) | 6.00 | (d) | 07/25/28–11/25/28 | 2,694,702 | |||||||||
| New Century Home Equity Loan Trust | ||||||||||||||
| 138 | 1 Month USD LIBOR + 0.80% | 2.461 | (d) | 11/25/33 | 124,821 | |||||||||
| 145 | 1 Month USD LIBOR + 1.35% | 3.011 | (d) | 03/25/33 | 146,160 | |||||||||
| 324 | New Residential Mortgage LLC (c) | 4.89 | 05/25/23 | 325,685 | ||||||||||
| NewDay Funding PLC | ||||||||||||||
| GBP | 250 | 1 Month GBP LIBOR + 2.10% (United Kingdom) (c) | 2.76 | (d) | 08/15/26 | 328,393 | ||||||||
| 400 | 3.06 | 12/15/26 | 531,970 | |||||||||||
| 200 | Newday Partnership Funding PLC, 1 Month GBP LIBOR + 2.10% (United Kingdom) | 2.76 | (d) | 12/15/27 | 264,694 | |||||||||
| $ | 401 | Newtek Small Business Loan Trust, 1 Month USD LIBOR + 1.70% (c) | 3.361 | (d) | 02/25/44 | 401,942 | ||||||||
| 200 | NovaStar Mortgage Funding Trust, 1 Month USD LIBOR + 1.58% | 3.236 | (d) | 12/25/34 | 203,995 | |||||||||
| NRZ Excess Spread-Collateralized Notes | ||||||||||||||
| 233 | (c) | 4.374 | 01/25/23 | 234,414 | ||||||||||
| 304 | (c) | 4.593 | 02/25/23 | 306,759 | ||||||||||
| Oakwood Mortgage Investors, Inc. | ||||||||||||||
| 849 | 7.405 | (d) | 06/15/31 | 240,157 | ||||||||||
| 114 | 7.72 | 04/15/30 | 124,395 | |||||||||||
| 239 | 7.84 | (d) | 11/15/29 | 255,989 | ||||||||||
| OnDeck Asset Securitization Trust II LLC | ||||||||||||||
| 400 | (c) | 3.14 | 11/18/24 | 405,189 | ||||||||||
| 500 | (c) | 3.33 | 11/18/24 | 506,629 | ||||||||||
| 300 | OnDeck Asset Securitization Trust LLC (c) | 4.02 | 04/18/22 | 300,893 | ||||||||||
| 800 | Oxford Finance Funding 2019-1 LLC (c) | 4.459 | 02/15/27 | 816,961 | ||||||||||
| 600 | Oxford Finance Funding 2020-1 LLC (c)(g) | 3.101 | 02/15/28 | 600,000 | ||||||||||
| PNMAC GMSR Issuer Trust | ||||||||||||||
| 700 | 1 Month USD LIBOR + 2.35% (c) | 4.011 | (d) | 04/25/23 | 707,121 | |||||||||
| 700 | 1 Month USD LIBOR + 2.65% (c) | 4.311 | (d) | 08/25/25 | 705,309 | |||||||||
| 400 | 1 Month USD LIBOR + 2.85% (c) | 4.511 | (d) | 02/25/23 | 402,665 | |||||||||
| 253 | Pretium Mortgage Credit Partners LLC (c) | 4.826 | 09/25/58 | 255,085 | ||||||||||
| 400 | Progress Residential Trust (c) | 4.38 | 03/17/35 | 406,514 | ||||||||||
| 563 | Prosper Marketplace Issuance Trust (c) | 5.50 | 10/15/24 | 568,972 | ||||||||||
| 235 | PRPM 2018-1 LLC (c) | 5.00 | (d) | 04/25/23 | 236,483 | |||||||||
| PRPM LLC |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
| 296 | (c) | 3.351 | 11/25/24 | 298,008 | ||||||||||
| 526 | (c) | 3.967 | 04/25/24 | 528,855 | ||||||||||
| 1,751 | Raptor Aircraft Finance I LLC (c) | 4.213 | 08/23/44 | 1,786,164 | ||||||||||
| RCO V Mortgage LLC | ||||||||||||||
| 971 | (c) | 3.475 | 11/25/24 | 975,321 | ||||||||||
| 362 | (c) | 4.458 | 10/25/23 | 365,753 | ||||||||||
| 575 | ReadyCap Lending Small Business Loan Trust, 1 Month USD LIBOR - 0.53% (c) | 4.22 | (d) | 12/27/44 | 575,242 | |||||||||
| 250 | Renaissance Home Equity Loan Trust | 5.451 | 05/25/35 | 283,966 | ||||||||||
| 900 | Republic FInance Issuance Trust (c) | 3.43 | 11/22/27 | 910,275 | ||||||||||
| 1,300 | RMF Buyout Issuance Trust | 6.00 | 11/25/28 | 1,282,107 | ||||||||||
| 246 | S-Jets Ltd. (Bermuda) (c) | 3.967 | 08/15/42 | 251,554 | ||||||||||
| 1,119 | SFS Asset Securitization LLC (c) | 4.238 | 06/10/25 | 1,141,989 | ||||||||||
| Shenton Aircraft Investment I Ltd. | ||||||||||||||
| 454 | (c) | 4.75 | 10/15/42 | 463,953 | ||||||||||
| 326 | (c) | 5.75 | 10/15/42 | 330,870 | ||||||||||
| Skopos Auto Receivables Trust | ||||||||||||||
| 300 | (c) | 3.63 | 09/16/24 | 302,319 | ||||||||||
| 690 | (c) | 4.77 | 04/17/23 | 700,318 | ||||||||||
| SLM Student Loan Trust | ||||||||||||||
| EUR | 1,000 | 3 Month EURIBOR + 0.55% | 0.164 | (d) | 01/25/40 | 1,025,696 | ||||||||
| GBP | 401 | 3 Month GBP LIBOR + 0.55% | 1.348 | (d) | 03/15/38 | 509,399 | ||||||||
| $ | 1,000 | Small Business Lending Trust 2020-A (c) | 3.20 | 12/15/26 | 1,003,705 | |||||||||
| GBP | 205 | Small Business Origination Loan Trust, 1 Month GBP LIBOR + 2.00% (United Kingdom) | 2.66 | (d) | 12/15/26 | 272,071 | ||||||||
| $ | 407 | Sprite 2017-1 Ltd. (c) | 4.25 | 12/15/37 | 418,190 | |||||||||
| 577 | (c) | 6.90 | 12/15/37 | 581,685 | ||||||||||
| 1,203 | Stanwich Mortgage Loan Co. 2019-NPL-B-1 LLC (c) | 3.375 | 08/15/24 | 1,208,328 | ||||||||||
| 967 | Stanwich Mortgage Loan Trust (c) | 3.475 | 11/16/24 | 969,950 | ||||||||||
| 470 | START Ireland (Bermuda) (c) | 4.089 | 03/15/44 | 484,183 | ||||||||||
| 600 | Starwood Waypoint Homes Trust, 1 Month USD LIBOR + 3.40% (c) | 5.076 | (d) | 01/17/35 | 602,019 | |||||||||
| 350 | Tricon American Homes Trust (c) | 5.151 | 09/17/34 | 363,881 | ||||||||||
| Upstart Securitization Trust | ||||||||||||||
| 750 | (c) | 3.734 | 09/20/29 | 756,542 | ||||||||||
| 189 | (c) | 4.445 | 12/22/25 | 190,404 | ||||||||||
| 426 | (c) | 4.997 | 08/20/25 | 430,419 | ||||||||||
| 500 | (c) | 5.59 | 03/20/25 | 510,833 | ||||||||||
| 196 | Vantage Data Centers Issuer LLC (c) | 4.072 | 02/16/43 | 204,481 | ||||||||||
| 297 | Veros Automobile Receivables Trust (c) | 3.98 | 04/17/23 | 297,295 | ||||||||||
| 644 | VOLT LXXXIII LLC (c) | 3.327 | 11/26/49 | 646,868 | ||||||||||
| 400 | VOLT LXXXIV LLC (c) | 3.426 | 12/27/49 | 401,196 | ||||||||||
| 323 | WAVE Trust (c) | 3.844 | 11/15/42 | 327,457 | ||||||||||
| Total Asset-Backed Securities(Cost $72,925,377) | 73,880,368 | |||||||||||||
| Collateralized Mortgage Obligations - Agency Collateral Series (3.0%) | ||||||||||||||
| Federal Home Loan Mortgage Corporation, IO | ||||||||||||||
| 5,737 | 0.793 | (d) | 10/25/20 | 10,011 | ||||||||||
| IO REMIC | ||||||||||||||
| 227 | 2.374 | (d) | 10/15/41 | 12,928 | ||||||||||
| 864 | 2.445 | (d) | 10/15/40 | 51,814 | ||||||||||
| 653 | 2.454 | (d) | 08/15/42 | 34,929 | ||||||||||
| 460 | 2.46 | (d) | 04/15/39 | 25,492 | ||||||||||
| 435 | 2.496 | (d) | 10/15/39 | 24,637 | ||||||||||
| 1,362 | 2.62 | (d) | 09/15/41 | 77,593 | ||||||||||
| 149 | 4.00 | 04/15/39 | 4,132 | |||||||||||
| 1,051 | 6.00% - 1 Month USD LIBOR | 4.324 | (h) | 11/15/43–06/15/44 | 158,965 | |||||||||
| 136 | 6.05% - 1 Month USD LIBOR | 4.374 | (h) | 04/15/39 | 4,653 | |||||||||
| 91 | 5.00 | 08/15/41 | 12,175 | |||||||||||
| IO STRIPS | ||||||||||||||
| 2,040 | 1.74 | (d) | 10/15/37 | 96,785 | ||||||||||
| 92 | 7.00 | 06/15/30 | 15,554 | |||||||||||
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
| 108 | 7.50 | 12/15/29 | 19,783 | |||||||||||
| REMIC | ||||||||||||||
| 197 | 12.00% - 2.67 x 1 Month USD LIBOR | 7.251 | (h) | 12/15/43 | 228,518 | |||||||||
| Federal National Mortgage Association, IO | ||||||||||||||
| 543 | 6.39% - 1 Month USD LIBOR | 4.598 | (h) | 09/25/20 | 2,224 | |||||||||
| IO REMIC | ||||||||||||||
| 634 | 1.802 | (d) | 03/25/44 | 32,037 | ||||||||||
| 2,236 | 2.132 | (d) | 03/25/46 | 119,994 | ||||||||||
| 716 | 2.263 | (d) | 10/25/39 | 34,336 | ||||||||||
| 2,328 | 3.50 | 02/25/39–03/25/43 | 115,880 | |||||||||||
| 699 | 5.65% - 1 Month USD LIBOR | 3.989 | (h) | 11/25/41 | 41,330 | |||||||||
| 919 | 6.05% - 1 Month USD LIBOR | 4.389 | (h) | 06/25/42 | 163,513 | |||||||||
| 402 | 6.55% - 1 Month USD LIBOR | 4.889 | (h) | 08/25/41 | 46,708 | |||||||||
| IO STRIPS | ||||||||||||||
| 31 | 7.00 | 11/25/27 | 5,547 | |||||||||||
| 84 | 8.00 | 05/25/30–06/25/30 | 14,042 | |||||||||||
| 38 | 8.50 | 10/25/24 | 5,178 | |||||||||||
| REMIC | ||||||||||||||
| 44 | 1 Month USD LIBOR + 1.20% | 2.861 | (d) | 12/25/23 | 44,624 | |||||||||
| 39 | 4.774 | (d) | 04/25/39 | 38,749 | ||||||||||
| Government National Mortgage Association | ||||||||||||||
| 598 | 4.00 | 11/20/49 | 620,752 | |||||||||||
| IO | ||||||||||||||
| 2,189 | 0.781 | (d) | 08/20/58 | 46,921 | ||||||||||
| 1,475 | 3.50 | 06/20/41–10/16/42 | 265,421 | |||||||||||
| 561 | 6.00% - 1 Month USD LIBOR | 4.342 | (h) | 08/20/42 | 109,007 | |||||||||
| 729 | 6.10% - 1 Month USD LIBOR | 4.442 | (h) | 04/20/41–08/20/42 | 147,873 | |||||||||
| 662 | 6.14% - 1 Month USD LIBOR | 4.482 | (h) | 12/20/43 | 105,158 | |||||||||
| 274 | 4.50 | 05/20/40 | 21,505 | |||||||||||
| 486 | 6.30% - 1 Month USD LIBOR | 4.642 | (h) | 09/20/43 | 67,421 | |||||||||
| 338 | 6.55% - 1 Month USD LIBOR | 4.88 | (h) | 08/16/34 | 44,925 | |||||||||
| 64 | 5.00 | 02/16/41 | 10,615 | |||||||||||
| IO PAC | ||||||||||||||
| 19 | 6.05% - 1 Month USD LIBOR | 4.392 | (h) | 01/20/40 | 58 | |||||||||
| 576 | 6.15% - 1 Month USD LIBOR | 4.492 | (h) | 10/20/41 | 36,535 | |||||||||
| 79 | 5.00 | 10/20/40 | 7,358 | |||||||||||
| IO REMIC | ||||||||||||||
| 5,052 | 1.475 | (d) | 08/20/69 | 385,497 | ||||||||||
| 872 | 3.50 | 05/20/43 | 134,449 | |||||||||||
| REMIC | ||||||||||||||
| 109 | 1 Month USD LIBOR + 0.23% | 1.924 | (d) | 05/20/65 | 108,448 | |||||||||
| 338 | 1 Month USD LIBOR + 0.28% | 1.974 | (d) | 02/20/68 | 335,276 | |||||||||
| 294 | 1 Month USD LIBOR + 0.38% | 2.074 | (d) | 12/20/60 | 293,496 | |||||||||
| 92 | 1 Month USD LIBOR + 0.45% | 2.144 | (d) | 02/20/61 | 91,844 | |||||||||
| 334 | 1 Month USD LIBOR + 0.65% | 2.344 | (d) | 12/20/64 | 334,489 | |||||||||
| 93 | 1 Month USD LIBOR + 0.70% | 2.394 | (d) | 08/20/63 | 93,796 | |||||||||
| 326 | 1 Month USD LIBOR + 0.75% | 2.444 | (d) | 10/20/63 | 328,975 | |||||||||
| 114 | 1 Month USD LIBOR + 0.77% | 2.464 | (d) | 02/20/66 | 113,795 | |||||||||
| 85 | 1 Month USD LIBOR + 0.80% | 2.494 | (d) | 06/20/66 | 85,685 | |||||||||
| 328 | 1 Month USD LIBOR + 0.85% | 2.544 | (d) | 09/20/66 | 330,791 | |||||||||
| 311 | 1 Month USD LIBOR + 1.00% | 2.694 | (d) | 06/20/63 | 315,765 | |||||||||
| 677 | 1 Month USD LIBOR + 1.15% | 2.808 | (d) | 11/20/59 | 682,743 | |||||||||
| Total Collateralized Mortgage Obligations - Agency Collateral Series (Cost $5,217,497) | 6,560,729 | |||||||||||||
| Commercial Mortgage-Backed Securities (3.9%) | ||||||||||||||
| 133 | Banc of America Commercial Mortgage Trust | 3.167 | 09/15/48 | 113,809 | ||||||||||
| 350 | BBCMS Trust (c) | 4.427 | (d) | 09/10/28 | 348,235 | |||||||||
| 247 | CG-CCRE Commercial Mortgage Trust, 1 Month USD LIBOR + 1.854% (c) | 3.53 | (d) | 11/15/31 | 246,756 | |||||||||
| Citigroup Commercial Mortgage Trust | ||||||||||||||
| 220 | 4.725 | (d) | 09/10/58 | 234,084 | ||||||||||
| IO | ||||||||||||||
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
| 2,176 | 1.048 | (d) | 09/10/58 | 88,469 | ||||||||||
| COMM Mortgage Trust | ||||||||||||||
| 400 | (c) | 3.577 | (d) | 08/10/29 | 397,555 | |||||||||
| 100 | (c) | 4.883 | (d) | 07/15/47 | 102,165 | |||||||||
| 389 | (c) | 5.052 | (d) | 11/10/46 | 412,817 | |||||||||
| IO | ||||||||||||||
| 1,162 | 0.924 | (d) | 10/10/47 | 33,047 | ||||||||||
| 200 | Commercial Mortgage Lease-Backed Certificates (c) | 8.054 | (d) | 06/20/31 | 214,314 | |||||||||
| Commercial Mortgage Pass-Through Certificates | ||||||||||||||
| 187 | (c) | 4.784 | (d) | 02/10/47 | 182,459 | |||||||||
| IO | ||||||||||||||
| 2,344 | 0.76 | (d) | 02/10/47 | 50,717 | ||||||||||
| 1,636 | COOF Securitization Trust, IO (c) | 3.382 | (d) | 10/25/40 | 99,820 | |||||||||
| 2,722 | COOF Securitization Trust II, IO (c) | 2.36 | (d) | 08/25/41 | 184,839 | |||||||||
| EUR | 365 | DECO 2015 - HARP DAC, 3 Month EURIBOR + 2.40% (Ireland) | 2.40 | (d) | 04/27/27 | 411,616 | ||||||||
| $ | 186 | Government National Mortgage Association, REMIC, 1 Month USD LIBOR + 0.70% | 2.394 | (d) | 02/20/62 | 186,832 | ||||||||
| 6,679 | GS Mortgage Securities Corp. II, IO (c) | 0.61 | (d) | 10/10/32 | 79,813 | |||||||||
| GS Mortgage Securities Trust | ||||||||||||||
| 450 | 3.345 | 07/10/48 | 435,261 | |||||||||||
| 370 | (c) | 4.904 | (d) | 08/10/46 | 385,541 | |||||||||
| IO | ||||||||||||||
| 1,803 | 0.87 | (d) | 09/10/47 | 50,095 | ||||||||||
| 1,555 | 1.224 | (d) | 04/10/47 | 46,566 | ||||||||||
| 500 | Jackson Park Trust LIC (c) | 3.242 | (d) | 10/14/39 | 474,359 | |||||||||
| 1,796 | JP Morgan Chase Commercial Mortgage Securities Trust, IO | 0.869 | (d) | 12/15/49 | 56,210 | |||||||||
| JPMBB Commercial Mortgage Securities Trust | ||||||||||||||
| 267 | (c) | 4.835 | (d) | 04/15/47 | 278,546 | |||||||||
| 188 | (c) | 10.978 | 08/15/48 | 190,420 | ||||||||||
| IO | ||||||||||||||
| 3,162 | 0.924 | (d) | 01/15/47 | 80,002 | ||||||||||
| KGS-Alpha SBA COOF Trust, | ||||||||||||||
| IO | ||||||||||||||
| 1,212 | (c) | 2.932 | (d) | 04/25/40 | 78,051 | |||||||||
| 939 | (c) | 3.263 | (d) | 07/25/41 | 121,994 | |||||||||
| Natixis Commercial Mortgage Securities Trust | ||||||||||||||
| 720 | (c) | 3.902 | 10/15/36 | 728,311 | ||||||||||
| 600 | (c) | 4.272 | (d) | 05/15/39 | 597,812 | |||||||||
| 600 | (c) | 4.556 | (d) | 02/15/39 | 657,619 | |||||||||
| 500 | SG Commercial Mortgage Securities Trust (c) | 4.66 | (d) | 02/15/41 | 525,470 | |||||||||
| 3,964 | UBS Commercial Mortgage Trust, IO | 1.055 | (d) | 03/15/51 | 241,582 | |||||||||
| 306 | Wells Fargo Commercial Mortgage Trust (c) | 3.153 | 09/15/57 | 292,146 | ||||||||||
| Total Commercial Mortgage-Backed Securities(Cost $7,916,178) | 8,627,332 | |||||||||||||
| Corporate Bond (0.1%) | ||||||||||||||
| Finance | ||||||||||||||
| 350 | DP Facilities Data Center Subordinated Pass-Through Trust (c) (Cost $233,304) | 0.00 | (d) | 11/10/28 | 218,750 | |||||||||
| Mortgages - Other (35.0%) | ||||||||||||||
| 178 | Adjustable Rate Mortgage Trust | 3.799 | (d) | 04/25/35 | 176,075 | |||||||||
| GBP | 289 | Alba 2005-1 PLC (United Kingdom) | 1.387 | 11/25/42 | 361,788 | |||||||||
| Alternative Loan Trust | ||||||||||||||
| $ | 90 | 5.50 | 02/25/25–01/25/36 | 83,785 | ||||||||||
| 255 | 5.75 | 03/25/34 | 263,584 | |||||||||||
| 385 | 6.25 | (d) | 08/25/37 | 325,869 | ||||||||||
| 99 | 40.02% - 6 x 1 Month USD LIBOR | 30.055 | (h) | 05/25/37 | 206,024 | |||||||||
| 1,008 | American Home Mortgage Investment Trust, IO | 2.078 | 05/25/47 | 173,576 | ||||||||||
| 47 | Angel Oak Mortgage Trust LLC (c) | 3.644 | (d) | 01/25/47 | 46,721 | |||||||||
| Banc of America Funding Trust | ||||||||||||||
| 56 | 5.25 | 07/25/37 | 55,411 | |||||||||||
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
| 614 | 5.50 | 09/25/35 | 682,365 | |||||||||||
| 147 | Banc of America Mortgage Trust | 5.50 | 04/25/35 | 153,355 | ||||||||||
| 730 | Bear Stearns ARM Trust 2004-1 | 3.428 | (d) | 04/25/34 | 736,503 | |||||||||
| 706 | Bear Stearns Asset-Backed Securities I Trust, 25.636% - 3.29 x 1 Month USD LIBOR | 20.179 | (h) | 03/25/36 | 562,522 | |||||||||
| 5,935 | Bear Stearns Mortgage Funding Trust, IO | 0.50 | 01/25/37 | 166,114 | ||||||||||
| 1,124 | BRAVO Residential Funding Trust (c) | 3.50 | (d) | 10/25/44 | 1,153,664 | |||||||||
| Cascade Funding Mortgage Trust | ||||||||||||||
| 1,255 | (c) | 2.80 | (d) | 06/25/69 | 1,272,007 | |||||||||
| 1,889 | (c) | 4.00 | (d) | 10/25/68 | 1,897,732 | |||||||||
| 321 | (c) | 4.58 | 06/25/48 | 321,119 | ||||||||||
| 200 | (c) | 5.804 | 06/25/48 | 201,149 | ||||||||||
| 300 | CHL GMSR Issuer Trust, 1 Month USD LIBOR + 2.75% (c) | 4.411 | (d) | 05/25/23 | 301,153 | |||||||||
| CHL Mortgage Pass-Through Trust | ||||||||||||||
| 277 | 3.334 | (d) | 09/25/34 | 217,342 | ||||||||||
| 134 | 3.709 | (d) | 05/20/34 | 137,610 | ||||||||||
| 259 | 4.224 | (d) | 10/25/33 | 265,663 | ||||||||||
| 348 | 5.50 | 10/25/34 | 359,820 | |||||||||||
| 106 | 6.00 | 12/25/36 | 95,976 | |||||||||||
| CAD | 236 | Classic RMBS Trust (Canada) (c) | 3.064 | 08/16/49 | 178,714 | |||||||||
| GBP | 162 | Clavis Securities PLC, 3 Month GBP LIBOR + 0.45% (United Kingdom) | 1.248 | (d) | 12/15/40 | 182,537 | ||||||||
| EUR | 322 | Credit Suisse European Mortgage Capital Ltd., 3 Month EURIBOR + 2.50% (Spain) | 2.50 | (d) | 04/15/20 | 356,862 | ||||||||
| $ | 390 | Credit Suisse First Boston Mortgage Securities Corp., 1 Month USD LIBOR + 3.30% | 4.961 | (d) | 02/25/32 | 379,077 | ||||||||
| CSFB Mortgage-Backed Pass-Through Certificates | ||||||||||||||
| 402 | 4.134 | (d) | 05/25/34 | 420,373 | ||||||||||
| 471 | 6.50 | 11/25/35 | 163,486 | |||||||||||
| EUR | 705 | Dssv Sarl (Spain) | 3.00 | 10/15/24 | 782,370 | |||||||||
| 600 | E-Mac de, 3 Month EURIBOR + 0.21% (Germany) | 3.342 | (d) | 05/25/57 | 632,874 | |||||||||
| 500 | E-MAC DE 2005-I BV, 3 Month EURIBOR + 0.50% (Netherlands) | 7.712 | (d) | 05/25/52 | 513,514 | |||||||||
| 168 | E-MAC NL 2005-I BV, 3 Month EURIBOR + 0.23% (Netherlands) | 4.114 | (d) | 04/25/38 | 160,807 | |||||||||
| 608 | E-MAC NL 2005-III BV, 3 Month EURIBOR + 0.17% (Netherlands) | 1.774 | (d) | 07/25/38 | 647,758 | |||||||||
| 450 | E-MAC NL 2006-II BV, 3 Month EURIBOR + 0.13% (Netherlands) | 0.834 | (d) | 01/25/39 | 468,583 | |||||||||
| 262 | E-MAC NL BV, 3 Month EURIBOR + 0.18% (Netherlands) | 1.874 | (d) | 07/25/36 | 278,884 | |||||||||
| E-MAC Program BV | ||||||||||||||
| 856 | 3 Month EURIBOR + 0.13% (Netherlands) | 0.974 | (d) | 04/25/39 | 899,121 | |||||||||
| 405 | 3 Month EURIBOR + 2.00% (Netherlands) | 1.614 | (d) | 01/25/48 | 439,150 | |||||||||
| 182 | E-MAC Program II BV, 3 Month EURIBOR + 2.00% (Netherlands) | 1.614 | (d) | 04/25/48 | 196,224 | |||||||||
| 392 | EMF-NL Prime, 3 Month EURIBOR + 0.80% (Netherlands) | 0.407 | (d) | 04/17/41 | 414,929 | |||||||||
| 200 | EMF-NL Prime 2008-ABV, 3 Month EURIBOR + 0.85% (Netherlands) | 0.457 | (d) | 04/17/41 | 193,423 | |||||||||
| 276 | Eurohome Mortgages PLC, 3 Month EURIBOR + 0.21% (Germany) | 0.00 | (d) | 08/02/50 | 272,357 | |||||||||
| $ | 500 | Eurosail 2006-2bl PLC, 3 Month USD LIBOR + 0.24% (United Kingdom) (c) | 2.134 | (d) | 12/15/44 | 482,906 | ||||||||
| Eurosail BV | ||||||||||||||
| EUR | 321 | 3 Month EURIBOR + 1.50% (Netherlands) | 1.107 | (d) | 10/17/40 | 360,394 | ||||||||
| 850 | 3 Month EURIBOR + 1.80% (Netherlands) | 1.407 | (d) | 10/17/40 | 957,770 | |||||||||
| 300 | 3 Month EURIBOR + 2.20% (Netherlands) | 1.807 | (d) | 10/17/40 | 330,550 | |||||||||
| 500 | Eurosail-NL 2007-1bv, 3 Month EURIBOR + 1.10% (Netherlands) | 0.707 | (d) | 04/17/40 | 492,401 | |||||||||
| Federal Home Loan Mortgage Corporation |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
| $ | 2,549 | 3.00 | 09/25/45–05/25/47 | 2,578,694 | ||||||||||
| 773 | 3.50 | 05/25/45–05/25/47 | 796,465 | |||||||||||
| FMC GMSR Issuer Trust | ||||||||||||||
| 750 | (c) | 4.23 | (d) | 09/25/24 | 756,847 | |||||||||
| 1,000 | (c) | 5.07 | (d) | 05/25/24 | 1,039,314 | |||||||||
| EUR | 397 | Fondo de Titulizacion de Activos UCI 17, 3 Month EURIBOR + 0.16% (Spain) | 0.00 | (d) | 12/17/49 | 420,014 | ||||||||
| $ | 516 | Galton Funding Mortgage Trust (c) | 4.00 | (d) | 11/25/57- 02/25/59 | 528,858 | ||||||||
| EUR | 547 | GC Pastor Hipotecario 5 FTA, 3 Month EURIBOR + 0.17% (Spain) | 0.00 | (d) | 06/21/46 | 550,166 | ||||||||
| Government National Mortgage Association | ||||||||||||||
| $ | 129 | 1 Month USD LIBOR + 0.45% | 2.144 | (d) | 06/20/61 | 128,435 | ||||||||
| 243 | 1 Month USD LIBOR + 0.48% | 2.174 | (d) | 12/20/64 | 242,796 | |||||||||
| 775 | 1 Month USD LIBOR + 0.75% | 2.444 | (d) | 10/20/66 | 779,641 | |||||||||
| Great Hall Mortgages No 1 PLC | ||||||||||||||
| EUR | 500 | 3 Month EURIBOR + 0.22% (United Kingdom) | 0.00 | (d) | 03/18/39 | 517,720 | ||||||||
| GBP | 500 | 3 Month GBP LIBOR + 0.30% (United Kingdom) | 1.09 | (d) | 06/18/39 | 611,883 | ||||||||
| $ | 41 | GreenPoint Mortgage Funding Trust, 1 Month USD LIBOR + 0.16% | 1.821 | (d) | 02/25/37 | 41,762 | ||||||||
| EUR | 788 | Grifonas Finance PLC, 6 Month EURIBOR + 0.28% (Greece) | 0.00 | (d) | 08/28/39 | 839,682 | ||||||||
| $ | 232 | GSAA Trust | 6.00 | 04/01/34 | 249,765 | |||||||||
| GSR Mortgage Loan Trust | ||||||||||||||
| 55 | 1 Month USD LIBOR + 0.25% | 1.911 | (d) | 03/25/35 | 30,864 | |||||||||
| 313 | 4.127 | (d) | 12/25/34 | 320,519 | ||||||||||
| 547 | 4.185 | (d) | 12/25/34 | 553,899 | ||||||||||
| 170 | 5.00 | 02/25/34 | 177,626 | |||||||||||
| 7 | 5.50 | 11/25/35 | 7,543 | |||||||||||
| 185 | 6.00 | 09/25/35 | 197,968 | |||||||||||
| 124 | HarborView Mortgage Loan Trust 1 Month USD LIBOR + 0.19% | 1.844 | (d) | 01/19/38 | 119,217 | |||||||||
| 216 | 4.285 | (d) | 05/19/33 | 223,062 | ||||||||||
| 300 | Headlands Residential LLC (c) | 3.967 | 06/25/24 | 303,748 | ||||||||||
| EUR | 99 | Hipocat 11 FTA, 3 Month EURIBOR + 0.13% (Spain) | 0.00 | (d) | 01/15/50 | 104,691 | ||||||||
| 798 | IM Pastor 3 FTH, 3 Month EURIBOR + 0.14% (Spain) | 0.00 | (d) | 03/22/43 | 819,053 | |||||||||
| 406 | IM Pastor 4 FTA, 3 Month EURIBOR + 0.14% (Spain) | 0.00 | (d) | 03/22/44 | 416,708 | |||||||||
| $ | 138 | Impac CMB Trust, 1 Month USD LIBOR + 0.80% | 2.456 | (d) | 10/25/34 | 135,390 | ||||||||
| 311 | IndyMac INDX Mortgage Loan Trust | 4.12 | (d) | 11/25/34 | 319,063 | |||||||||
| 160 | JP Morgan Mortgage Trust (c) | 3.65 | (d) | 07/27/37 | 160,722 | |||||||||
| EUR | 256 | Landmark Mortgage Securities No. 1 PLC, 3 Month EURIBOR + 0.60% (United Kingdom) | 0.20 | (d) | 06/17/38 | 269,831 | ||||||||
| 321 | Lansdowne Mortgage Securities No. 1 PLC, 3 Month EURIBOR + 0.30% (Ireland) | 0.00 | (d) | 06/15/45 | 336,924 | |||||||||
| 538 | Lansdowne Mortgage Securities No. 2 PLC, 3 Month EURIBOR + 0.34% (Ireland) | 0.00 | (d) | 09/16/48 | 546,130 | |||||||||
| LHOME Mortgage Trust | ||||||||||||||
| $ | 600 | (c) | 3.868 | 07/25/24 | 602,863 | |||||||||
| 600 | (c) | 4.58 | 10/25/23 | 608,961 | ||||||||||
| EUR | 332 | Ludgate Funding PLC, 3 Month EURIBOR + 0.42% (United Kingdom) | 0.023 | (d) | 12/01/60 | 336,612 | ||||||||
| Magnolia Finance XI DAC | ||||||||||||||
| 1,609 | 3 Month EURIBOR + 2.75% (c) (Spain) | 2.75 | (d) | 05/22/20 | 1,784,309 | |||||||||
| IO | ||||||||||||||
| 386 | (c) | 0.25 | (d) | 05/22/20 | 43 | |||||||||
| Mansard Mortgages 2007-2 PLC, | ||||||||||||||
| GBP | 500 | 3 Month GBP LIBOR + 0.80% (United Kingdom) | 1.598 | (d) | 12/15/49 | 608,585 | ||||||||
| Mansard Mortgages PLC |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
| 209 | 3 Month GBP LIBOR + 0.30% (United Kingdom) | 1.025 | (d) | 04/15/49 | 262,066 | |||||||||
| 172 | 3 Month GBP LIBOR + 0.60% (United Kingdom) | 1.325 | (d) | 10/15/48 | 216,326 | |||||||||
| $ | 36 | MASTR Adjustable Rate Mortgages Trust | 4.469 | (d) | 02/25/36 | 35,699 | ||||||||
| MASTR Alternative Loan Trust | ||||||||||||||
| 155 | 5.00 | 05/25/18 | 158,045 | |||||||||||
| 159 | 6.00 | 05/25/33 | 164,541 | |||||||||||
| 218 | MASTR Asset Securitization Trust | 5.50 | 10/25/25 | 220,438 | ||||||||||
| 150 | MASTR Reperforming Loan Trust (c) | 7.50 | 05/25/35 | 153,147 | ||||||||||
| 458 | MERIT Securities Corp., 1 Month USD LIBOR + 2.25% (c) | 4.743 | (d) | 09/28/32 | 409,881 | |||||||||
| 24 | Merrill Lynch Mortgage Investors Trust 6 Month USD LIBOR + 0.50% | 2.559 | (d) | 04/25/29 | 24,032 | |||||||||
| 111 | 4.043 | (d) | 08/25/33 | 113,211 | ||||||||||
| 70 | 4.157 | (d) | 01/25/37 | 72,909 | ||||||||||
| 192 | 4.236 | (d) | 02/25/34 | 202,100 | ||||||||||
| EUR | 500 | Monastery 2004-I BV, 3 Month EURIBOR + 2.75% (Netherlands) | 2.35 | (d) | 03/17/37 | 561,330 | ||||||||
| $ | 134 | Morgan Stanley Dean Witter Capital I, Inc. Trust (f) | 3.486 | (d) | 03/25/33 | 135,088 | ||||||||
| 84 | Morgan Stanley Mortgage Loan Trust (i) | 4.167 | (d) | 02/25/34 | 88,100 | |||||||||
| 313 | Mortgage Equity Conversion Asset Trust, 1 Year CMT + 0.47% (c) | 2.06 | (d) | 02/25/42 | 299,323 | |||||||||
| GBP | 500 | Mortgage Funding 2008-1 PLC, 3 Month GBP LIBOR + 3.20% (United Kingdom) | 4.00 | (d) | 03/13/46 | 679,822 | ||||||||
| $ | 262 | National City Mortgage Capital Trust | 6.00 | 03/25/38 | 271,548 | |||||||||
| GBP | 358 | Newgate Funding PLC, 3 Month GBP LIBOR + 3.00% (United Kingdom) | 3.798 | (d) | 12/15/50 | 468,981 | ||||||||
| $ | 355 | NRPL Trust (c) | 4.25 | (d) | 07/25/67 | 358,270 | ||||||||
| 443 | OBX 2019-EXP3 Trust (c) | 3.50 | (d) | 10/25/59 | 451,610 | |||||||||
| 300 | Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-1, 1 Month USD LIBOR + 2.03% | 3.686 | (d) | 02/25/35 | 306,550 | |||||||||
| EUR | 600 | Paragon Mortgages No. 14 PLC, 3 Month EURIBOR + 0.36% (United Kingdom) | 0.00 | (d) | 09/15/39 | 591,414 | ||||||||
| Paragon Mortgages No. 9 PLC | ||||||||||||||
| GBP | 58 | 3 Month GBP LIBOR + 1.04% (United Kingdom) | 1.827 | (d) | 05/15/41 | 76,098 | ||||||||
| $ | 202 | 3 Month USD LIBOR + 0.36% | 2.27 | (d) | 05/15/41 | 202,474 | ||||||||
| AUD | 221 | Pepper Residential Securities (Australia) | 3.06 | 03/10/58 | 145,461 | |||||||||
| $ | 848 | PMC PLS ESR Issuer LLC (c) | 5.069 | 11/25/24 | 848,957 | |||||||||
| 559 | Preston Ridge Partners Mortgage (c) | 4.50 | 01/25/24 | 564,895 | ||||||||||
| 768 | PRPM LLC (c) | 3.50 | (d) | 10/25/24 | 771,994 | |||||||||
| 439 | RALI Trust | 6.00 | 05/25/36- 06/25/36 | 423,417 | ||||||||||
| 161 | RBSSP Resecuritization Trust (c) | 24.492 | (d) | 09/26/37 | 286,174 | |||||||||
| 242 | RCO Trust (c) | 4.27 | (d) | 12/26/53 | 248,511 | |||||||||
| AUD | 403 | RedZed Trust (Australia) | 2.265 | 03/09/56 | 270,035 | |||||||||
| $ | 333 | Reperforming Loan REMIC Trust (c) | 8.50 | 06/25/35 | 366,438 | |||||||||
| 13,753 | Residential Asset Securitization Trust, IO | 0.50 | 04/25/37 | 445,615 | ||||||||||
| AUD | 500 | RESIMAC, 1 Month USD LIBOR + 1.45% (Australia) (c) | 3.134 | (d) | 09/11/48 | 507,124 | ||||||||
| EUR | 533 | ResLoC UK PLC, 3 Month EURIBOR + 0.45% (United Kingdom) | 0.055 | (d) | 12/15/43 | 538,528 | ||||||||
| $ | 1,100 | RMF Buyout Issuance Trust | 4.23 | 07/25/29 | 1,106,832 | |||||||||
| 1,600 | RMF Buyout Issuance Trust 2020-1 (c) | 4.191 | (d) | 02/25/30 | 1,598,960 | |||||||||
| Rochester Financing No. 2 PLC | ||||||||||||||
| GBP | 354 | 3 Month GBP LIBOR + 1.75% (United Kingdom) | 2.544 | (d) | 06/18/45 | 470,119 | ||||||||
| 200 | 3 Month GBP LIBOR + 2.25% (United Kingdom) | 3.044 | (d) | 06/18/45 | 266,601 | |||||||||
| 300 | 3 Month GBP LIBOR + 2.75% (United Kingdom) | 3.544 | (d) | 06/18/45 | 400,681 | |||||||||
| Seasoned Credit Risk Transfer Trust | ||||||||||||||
| $ | 1,055 | 2.75 | 05/25/57 | 1,092,939 | ||||||||||
| 7,258 | 3.00 | 09/25/55–02/25/59 | 7,519,883 | |||||||||||
| 1,235 | 3.25 | 07/25/56–06/25/57 | 1,293,348 | |||||||||||
| $ | 600 | (c) | 3.75 | (d) | 09/25/55 | 607,574 | ||||||||
| 2,735 | (c) | 4.00 | (d) | 08/25/56–02/25/59 | 2,884,218 |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
| 750 | (c) | 4.50 | (d) | 02/25/59 | 777,285 | |||||||||
| 1,100 | (c) | 4.75 | (d) | 07/25/58–10/25/58 | 1,166,491 | |||||||||
| 419 | Seasoned Loans Structured Transaction Series 2018-1 | 3.00 | (d) | 04/25/58 | 419,084 | |||||||||
| Sequoia Mortgage Trust | ||||||||||||||
| 787 | 1 Month USD LIBOR + 0.64% | 2.298 | (d) | 04/19/27 | 782,164 | |||||||||
| 132 | 1 Month USD LIBOR + 0.78% | 2.434 | (d) | 01/20/36 | 129,049 | |||||||||
| 1,182 | Silver Hill Trust (c) | 3.102 | (d) | 11/25/49 | 1,195,283 | |||||||||
| 406 | Structured Adjustable Rate Mortgage Loan Trust | 3.994 | (d) | 02/25/35 | 412,268 | |||||||||
| Structured Asset Mortgage Investments II Trust | ||||||||||||||
| 88 | 2.052 | (d) | 04/19/35 | 85,579 | ||||||||||
| 157 | 1 Month USD LIBOR + 0.46% | 2.121 | (d) | 05/25/45 | 157,559 | |||||||||
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | ||||||||||||||
| 242 | 4.75 | 10/25/34 | 256,772 | |||||||||||
| 437 | 4.76 | (d) | 11/25/30 | 440,648 | ||||||||||
| 721 | Structured Asset Securities Corp. Reverse Mortgage Loan Trust, 1 Month USD LIBOR + 1.85% (c) | 3.511 | (d) | 05/25/47 | 646,694 | |||||||||
| EUR | 700 | TDA 27 FTA, 3 Month EURIBOR + 0.19% (Spain) | 0.00 | (d) | 12/28/50 | 685,765 | ||||||||
| GBP | 500 | THRONES PLC, 3 Month GBP LIBOR + 2.25% (United Kingdom) | 3.04 | (d) | 03/18/50 | 662,666 | ||||||||
| 250 | Trinity Square PLC, 3 Month GBP LIBOR + 3.40% (United Kingdom) | 4.125 | (d) | 07/15/51 | 336,749 | |||||||||
| $ | 250 | TVC Mortgage Trust 2020-RTL1 (c) | 3.474 | 09/25/24 | 249,996 | |||||||||
| GBP | 200 | Warwick Finance Residential Mortgages No. 2 PLC, 3 Month GBP LIBOR + 2.20% (United Kingdom) | 3.00 | (d) | 09/21/49 | 265,157 | ||||||||
| $ | 149 | Washington Mutual Mortgage Pass-Through Certificates Trust | 4.331 | (d) | 09/25/33 | 153,433 | ||||||||
| Total Mortgages - Other(Cost $74,640,296) | 77,492,313 | |||||||||||||
| Short-Term Investments (9.1%) | ||||||||||||||
| U.S. Treasury Security (1.0%) | ||||||||||||||
| 2,320 | U.S. Treasury Bill (j)(k) (Cost $2,318,025) | 1.499 | 02/27/20 | 2,318,025 |
| NUMBER OF SHARES (000) | |||||||||||
| Investment Company (8.1%) | |||||||||||
| 17,883 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (l) (Cost $17,882,661) | 17,882,661 | |||||||||
| Total Short-Term Investments(Cost $20,200,686) | 20,200,686 | ||||||||||
| Total Investments(Cost $232,278,118) (m)(n)(o) | 107.9 | % | 238,783,088 | ||||||||
| Liabilities in Excess of Other Assets | (7.9 | ) | (17,462,458 | ) | |||||||
| Net Assets | 100.0 | % | $ | 221,320,630 | |||||||
| CMT | Constant Maturity Treasury Note Rate. | |
| EURIBOR | Euro Interbank Offered Rate. | |
| IO | Interest Only. | |
| LIBOR | London Interbank Offered Rate. | |
| PAC | Planned Amortization Class. | |
| REMIC | Real Estate Mortgage Investment Conduit. | |
| STRIPS | Separate Trading of Registered Interest and Principal of Securities. | |
| TBA | To Be Announced. | |
| (a) | Par is less than $500. | |
| (b) | Security is subject to delayed delivery. | |
| (c) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
| (d) | Floating or variable rate securities: The rates disclosed are as of January 31, 2020. 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. | |
| (e) | For the three months ended January 31, 2020, there were no transactions in Morgan Stanley ABS Capital I, Inc. Trust, Asset-Backed Security, and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor under the Investment Company Act of 1940. | |
| (f) | For the three months ended January 31, 2020, the proceeds from paydowns of Morgan Stanley Dean Witter Capital I, Inc. Trust, Asset-Backed Security and Mortgage - Other, and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor under the Investment Company Act of 1940, was $29,894, including net realized gains of $664. | |
| (g) | When-issued security. | |
| (h) | Inverse Floating Rate Security - Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at January 31, 2020. | |
| (i) | For the three months ended January 31, 2020, the proceeds from paydowns of Morgan Stanley Mortgage Loan Trust, Mortgage - Other, and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor under the Investment Company Act of 1940, was $2,385, including net realized losses of $51. | |
| (j) | Rate shown is the yield to maturity at January 31, 2020. | |
| (k) | All or a portion of the security was pledged to cover margin requirements for futures contracts. | |
| (l) | 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 January 31, 2020, advisory fees paid were reduced by $4,684 relating to the Fund’s investment in the Liquidity Funds. | |
| (m) | Securities are available for collateral in connection with purchase of when-issued security, securities purchased on a forward commitment basis, open foreign currency forward exchange contracts and futures contracts. | |
| (n) | 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 January 31, 2020, the Fund did not engage in any cross-trade transactions. | |
| (o) | At January 31, 2020, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $7,871,387 and the aggregate gross unrealized depreciation is $1,221,827, resulting in net unrealized appreciation of $6,649,560. |
Foreign Currency Forward Exchange Contracts:
The Fund had the following foreign currency forward exchange contracts open at January 31, 2020:
| COUNTERPARTY | CONTRACTS TO DELIVER | IN EXCHANGE FOR | DELIVERY DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
| Bank of America NA | EUR | 18,377,239 | $ | 20,573,870 | 03/18/20 | $ | 138,800 | |||||||||||
| Bank of America NA | $ | 2,108 | CAD | 2,773 | 03/18/20 | (13 | ) | |||||||||||
| BNP Paribas SA | GBP | 102,690 | $ | 134,739 | 03/18/20 | (1,019 | ) | |||||||||||
| BNP Paribas SA | $ | 433,831 | AUD | 625,550 | 03/18/20 | (14,760 | ) | |||||||||||
| Citibank NA | AUD | 1,237,353 | $ | 854,697 | 03/18/20 | 25,764 | ||||||||||||
| HSBC Bank PLC | $ | 1,964 | GBP | 1,497 | 03/18/20 | 15 | ||||||||||||
| JPMorgan Chase Bank NA | $ | 20,782 | GBP | 15,895 | 03/18/20 | 231 | ||||||||||||
| Royal Bank of Canada | CAD | 884,335 | $ | 671,144 | 03/18/20 | 2,940 | ||||||||||||
| Royal Bank of Canada | GBP | 8,141,219 | $ | 10,677,054 | 03/18/20 | (85,767 | ) | |||||||||||
| Royal Bank of Canada | $ | 11,287 | CAD | 14,887 | 03/18/20 | (39 | ) | |||||||||||
| Royal Bank of Canada | $ | 1,907,791 | GBP | 1,470,254 | 03/18/20 | 35,908 | ||||||||||||
| State Street Bank and Trust Co. | EUR | 285,274 | $ | 319,002 | 03/18/20 | 1,784 | ||||||||||||
| $ | 103,844 | |||||||||||||||||
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments▪January 31, 2020 (unaudited)continued
Futures Contracts:
The Fund had the following futures contracts open at January 31, 2020:
| NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT (000) | VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
| Long: | ||||||||||||||||||
| U.S. Treasury 10 yr. Ultra Long Bond | 40 | Mar-20 | $ | 4,000 | $ | 5,826,250 | $ | 128,458 | ||||||||||
| U.S. Treasury 30 yr. Bond | 55 | Mar-20 | 5,500 | 8,994,219 | 246,335 | |||||||||||||
| U.S. Treasury Ultra Long Bond | 8 | Mar-20 | 800 | 1,549,500 | 55,750 | |||||||||||||
| Short: | ||||||||||||||||||
| U.S. Treasury 2 yr. Note | 143 | Mar-20 | (28,600 | ) | (30,939,391 | ) | (97,195 | ) | ||||||||||
| U.S. Treasury 5 yr. Note | 200 | Mar-20 | (20,000 | ) | (24,064,063 | ) | (294,133 | ) | ||||||||||
| U.S. Treasury 10 yr. Note | 14 | Mar-20 | (1,400 | ) | (1,843,188 | ) | 1,531 | |||||||||||
| $ | 40,746 | |||||||||||||||||
Currency Abbreviations:
| AUD | Australian Dollar. |
| CAD | Canadian Dollar. |
| EUR | Euro. |
| GBP | British Pound. |
| USD | United States Dollar. |
| PORTFOLIO COMPOSITION as of 01/31/20 | Percentage of Total Investments | |||
| Mortgages - Other | 32.5 | % | ||
| Asset-Backed Securities | 30.9 | |||
| Agency Fixed Rate Mortgages | 21.7 | |||
| Short-Term Investments | 8.5 | |||
| Commercial Mortgage-Backed Securities | 3.6 | |||
| Collateralized Mortgage Obligations - Agency Collateral Series | 2.7 | |||
| Corporate Bond | �� | 0.1 | ||
| 100.0 | %* | |||
| * | Does not include open long/short futures contracts with a value of $73,216,611 and net unrealized appreciation of $40,746. Does not include open foreign currency forward exchange contracts with net unrealized appreciation of 103,844. |
Morgan Stanley Mortgage Securities Trust
Notes to Portfolio of Investments▪January 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) 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 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) when market quotations are not readily available, including circumstances under whichthe Adviserdetermines 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 New York Stock Exchange ("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; (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) 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 NYSE; 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 Trusteeshave responsibility for determining in good faith the fair value of the investments, and theTrusteesmay appoint others, such as the Fund’s Adviser or a valuation committee, to assist theTrusteesin determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by theTrustees.Under procedures approved by the Trustees, theFund's Adviser has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of theFund’s valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow theFund 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 January 31, 2020:
| INVESTMENT TYPE | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
| Assets: | ||||||||||||||||
| Fixed Income Securities | ||||||||||||||||
| Agency Fixed Rate Mortgages | $ | — | $ | 51,802,910 | $ | — | $ | 51,802,910 | ||||||||
| Asset-Backed Securities | — | 73,880,368 | — | 73,880,368 | ||||||||||||
| Collateralized Mortgage Obligations - Agency Collateral Series | — | 6,560,729 | — | 6,560,729 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 8,627,332 | — | 8,627,332 | ||||||||||||
| Corporate Bond | — | 218,750 | — | 218,750 | ||||||||||||
| Mortgages - Other | — | 77,492,313 | — | 77,492,313 | ||||||||||||
| Total Fixed Income Securities | — | 218,582,402 | — | 218,582,402 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| U.S. Treasury Security | — | 2,318,025 | — | 2,318,025 | ||||||||||||
| Investment Company | 17,882,661 | — | — | 17,882,661 | ||||||||||||
| Total Short-Term Investments | 17,882,661 | 2,318,025 | — | 20,200,686 | ||||||||||||
| Foreign Currency Forward Exchange Contracts | — | 205,442 | — | 205,442 | ||||||||||||
| Futures Contracts | 432,074 | — | — | 432,074 | ||||||||||||
| Total Assets | 18,314,735 | 221,105,869 | — | 239,420,604 | ||||||||||||
| Liabilities: | ||||||||||||||||
| Foreign Currency Forward Exchange Contracts | — | (101,598 | ) | — | (101,598 | ) | ||||||||||
| Futures Contracts | (391,328 | ) | — | — | (391,328 | ) | ||||||||||
| Total Liabilities | (391,328 | ) | (101,598 | ) | — | (492,926 | ) | |||||||||
| Total | $ | 17,923,407 | $ | 221,004,271 | $ | — | $ | 238,927,678 | ||||||||
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.