Morgan Stanley Mortgage Securities Trust
Portfolio of Investments ▪ January 31, 2022 (unaudited)
PRINCIPAL AMOUNT (000) | COUPON RATE | MATURITY DATE | VALUE | ||||||||||||
Agency Fixed Rate Mortgages (22.6%) | |||||||||||||||
Federal Home Loan Mortgage Corporation, | |||||||||||||||
Conventional Pools: | |||||||||||||||
$ | 280 | 2.50 | % | 05/01/50 | $ | 278,323 | |||||||||
237 | 3.00 | 04/01/50 | 237,976 | ||||||||||||
86 | 3.50 | 08/01/49 | 88,028 | ||||||||||||
60 | 4.00 | 07/01/49 | 62,098 | ||||||||||||
Gold Pools: | |||||||||||||||
355 | 3.50 | 01/01/44 – 09/01/47 | 370,463 | ||||||||||||
333 | 4.00 | 12/01/41 – 10/01/44 | 360,278 | ||||||||||||
383 | 4.50 | 03/01/41 – 01/01/49 | 418,207 | ||||||||||||
68 | 5.00 | 12/01/40 – 05/01/41 | 74,860 | ||||||||||||
9 | 5.50 | 07/01/37 | 10,036 | ||||||||||||
11 | 6.00 | 12/01/37 | 12,510 | ||||||||||||
7 | 6.50 | 06/01/29 – 09/01/33 | 7,253 | ||||||||||||
30 | 7.50 | 05/01/35 | 34,274 | ||||||||||||
15 | 8.00 | 08/01/32 | 16,400 | ||||||||||||
26 | 8.50 | 08/01/31 | 29,548 | ||||||||||||
Federal National Mortgage Association, | |||||||||||||||
Conventional Pools: | |||||||||||||||
1,781 | 1.50 | 01/01/51 – 03/01/51 | 1,687,402 | ||||||||||||
747 | 2.50 | 02/01/50 – 03/01/50 | 747,163 | ||||||||||||
912 | 3.00 | 10/01/48 – 02/01/50 | 912,265 | ||||||||||||
1,428 | 3.50 | 09/01/42 – 11/01/49 | 1,473,073 | ||||||||||||
1,073 | 4.00 | 04/01/45 – 01/01/49 | 1,155,916 | ||||||||||||
635 | 4.50 | 08/01/40 – 08/01/49 | 665,083 | ||||||||||||
694 | 5.00 | 11/01/40 – 01/01/49 | 756,046 | ||||||||||||
7 | 5.50 | 08/01/37 | 7,426 | ||||||||||||
302 | 6.50 | 02/01/28 – 11/01/33 | 333,821 | ||||||||||||
12 | 7.00 | 07/01/23 – 06/01/32 | 11,885 | ||||||||||||
37 | 7.50 | 08/01/37 | 43,666 | ||||||||||||
40 | 8.00 | 04/01/33 | 46,412 | ||||||||||||
39 | 8.50 | 10/01/32 | 46,525 | ||||||||||||
19 | 9.50 | 04/01/30 | 20,947 | ||||||||||||
February TBA: | |||||||||||||||
2,000 | (a) | 2.00 | 02/01/52 | 1,949,844 | |||||||||||
11,000 | (a) | 2.50 | 02/01/52 | 10,981,953 | |||||||||||
March TBA: | |||||||||||||||
705 | (a) | 3.00 | 03/01/52 | 718,494 | |||||||||||
Government National Mortgage Association, | |||||||||||||||
February TBA: | |||||||||||||||
7,000 | (a) | 3.00 | 02/20/52 | 7,165,703 | |||||||||||
Various Pools: | |||||||||||||||
3,254 | 2.50 | 01/20/50 – 04/20/51 | 3,284,320 | ||||||||||||
1,582 | 3.00 | 09/20/49 – 08/20/50 | 1,602,688 | ||||||||||||
2,514 | 3.50 | 10/20/44 – 10/20/50 | 2,574,564 | ||||||||||||
1,244 | 4.00 | 07/15/44 – 11/20/51 | 1,284,204 | ||||||||||||
598 | 4.50 | 12/20/48 – 12/20/49 | 622,840 | ||||||||||||
452 | 5.00 | 05/20/41 – 06/20/49 | 484,344 | ||||||||||||
81 | 5.50 | 02/20/49 – 05/20/49 | 88,406 | ||||||||||||
Total Agency Fixed Rate Mortgages (Cost $40,962,280) | 40,665,244 | ||||||||||||||
Asset-Backed Securities (27.0%) | |||||||||||||||
109 | ABFC 2005-WF1 Trust, 1 Month USD LIBOR + 0.95% | 1.053 | (b) | 07/25/34 | 104,236 | ||||||||||
405 | ABFC Trust, 1 Month USD LIBOR + 0.78% | 0.888 | (b) | 10/25/33 | 395,730 | ||||||||||
400 | American Credit Acceptance Receivables Trust (c) | 4.84 | 04/14/25 | 412,554 | |||||||||||
American Homes 4 Rent |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments ▪ January 31, 2022 (unaudited) continued
520 | (c) | 5.639 | 04/17/52 | 550,748 | |||||||||||
600 | (c) | 5.885 | 04/17/52 | 637,709 | |||||||||||
600 | American Homes 4 Rent Trust (c) | 6.231 | 10/17/36 | 638,380 | |||||||||||
618 | Ameriquest Mortgage Securities, Inc., 1 Month USD LIBOR + 0.83% | 0.933 | (b) | 04/25/34 | 606,934 | ||||||||||
Amortizing Residential Collateral Trust | |||||||||||||||
148 | 1 Month USD LIBOR + 0.64% | 0.742 | (b) | 10/25/31 | 144,867 | ||||||||||
293 | 1 Month USD LIBOR + 0.76% | 0.868 | (b) | 10/25/32 | 281,855 | ||||||||||
223 | Argent Securities, Inc. Asset-Backed Pass-Through Certificates, 5.63% - 1 Month USD LIBOR | 3.579 | (d) | 12/25/33 | 238,957 | ||||||||||
Bear Stearns Asset-Backed Securities Trust | |||||||||||||||
139 | 1 Month USD LIBOR + 1.30% | 1.408 | (b) | 10/27/32 | 139,323 | ||||||||||
52 | 1 Month USD LIBOR + 1.95% | 2.058 | (b) | 12/25/42 | 52,219 | ||||||||||
162 | 2.709 | (b) | 07/25/36 | 162,127 | |||||||||||
377 | Business Loan Express Business Loan Trust, 1 Month USD LIBOR + 0.40% (c) | 0.504 | (b) | 10/20/40 | 352,069 | ||||||||||
2,217 | Cascade Funding Mortgage Trust (c) | 4.00 | (b) | 06/25/69 | 2,211,550 | ||||||||||
126 | Cendant Mortgage Corp. (c) | 6.00 | (b) | 07/25/43 | 129,973 | ||||||||||
1,525 | CFMT 2020-HB4 LLC (c) | 2.72 | (b) | 12/26/30 | 1,514,306 | ||||||||||
69 | CIM Small Business Loan Trust, 1 Month USD LIBOR + 1.40% (c) | 1.504 | (b) | 03/20/43 | 68,744 | ||||||||||
395 | Citicorp Residential Mortgage Trust | 5.096 | 03/25/37 | 399,120 | |||||||||||
1,500 | Conn's Receivables Funding, 2021-A LLC (c) | 2.87 | 05/15/26 | 1,492,386 | |||||||||||
422 | 2020-A LLC (c) | 4.20 | 06/16/25 | 423,494 | |||||||||||
23 | Countrywide Asset-Backed Certificates, 1 Month USD LIBOR + 0.62% (c) | 1.038 | (b) | 06/25/33 | 22,925 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC | |||||||||||||||
43 | 1 Month USD LIBOR + 2.40% (c) | 2.508 | (b) | 09/25/35 | 43,439 | ||||||||||
240 | (c) | 7.25 | 05/25/36 | 244,651 | |||||||||||
758 | ECAF I Ltd. (Cayman Islands) (c) | 4.947 | 06/15/40 | 568,548 | |||||||||||
48 | EMC Mortgage Loan Trust, 1 Month USD LIBOR + 1.50% (c) | 1.608 | (b) | 11/25/30 | 48,016 | ||||||||||
110 | EquiFirst Mortgage Loan Trust, 1 Month USD LIBOR + 3.00% | 3.108 | (b) | 10/25/34 | 114,702 | ||||||||||
EUR | 550 | European Residential Loan Securitisation, 2019-NPL1 DAC, 1 Month EURIBOR + 2.00% (Ireland) | 1.439 | (b) | 07/24/54 | 621,785 | |||||||||
$ | 30 | FCI Funding 2019-1 LLC (c) | 3.63 | 02/18/31 | 30,065 | ||||||||||
Finance of America HECM Buyout | |||||||||||||||
1,200 | (c) | 3.09 | (b) | 07/25/30 | 1,200,963 | ||||||||||
1,800 | (c) | 4.57 | (b) | 07/25/30 | 1,813,657 | ||||||||||
1,400 | (c) | 6.414 | (b) | 02/25/31 | 1,389,505 | ||||||||||
1,300 | (c) | 9.00 | (b) | 02/25/31 | 1,306,379 | ||||||||||
166 | Financial Asset Securities Corp. AAA Trust, 1 Month USD LIBOR + 0.41% (c) | 0.518 | (b) | 02/27/35 | 161,992 | ||||||||||
623 | Fremont Home Loan Trust, 1 Month USD LIBOR + 1.3% | 1.383 | (b) | 02/25/33 | 629,539 | ||||||||||
280 | GAIA Aviation Ltd. (Cayman Islands) (c) | 3.967 | 12/15/44 | 275,121 | |||||||||||
450 | GLS Auto Receivables Issuer Trust (c) | 4.94 | 12/15/25 | 467,137 | |||||||||||
784 | Home Partners of America 2019-2 Trust (c) | 3.866 | 10/19/39 | 772,096 | |||||||||||
825 | JOL Air Ltd. (Cayman Islands) (c) | 3.967 | 04/15/44 | 809,977 | |||||||||||
417 | Kestrel Aircraft Funding Ltd. (c) | 4.25 | 12/15/38 | 405,040 | |||||||||||
643 | Legacy Mortgage Asset Trust (c) | 3.75 | 04/25/59 | 645,365 | |||||||||||
264 | Lehman ABS Manufactured Housing Contract Trust | 6.63 | (b) | 04/15/40 | 276,053 | ||||||||||
764 | LoanMe Trust (c) | 5.00 | 09/15/34 | 771,000 | |||||||||||
149 | MASTR Asset Securitization Trust, 1 Month USD LIBOR + 1.50% | 1.608 | (b) | 05/25/33 | 148,034 | ||||||||||
250 | MASTR Asset-Backed Securities Trust, 1 Month USD LIBOR + 2.48% | 2.583 | (b) | 09/25/34 | 255,055 | ||||||||||
195 | MERIT Securities Corp. | 7.88 | 12/28/33 | 203,760 |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments ▪ January 31, 2022 (unaudited) continued
310 | METAL LLC (c) | 4.581 | 10/15/42 | 278,952 | |||||||||||
741 | MFA 2021-NPL1 LLC (c) | 2.363 | 03/25/60 | 732,565 | |||||||||||
166 | Mid-State Capital Corp. Trust | 7.758 | 01/15/40 | 178,006 | |||||||||||
329 | Morgan Stanley ABS Capital I, Inc. Trust, 1 Month USD LIBOR + 0.68% (e) | 0.788 | (b) | 08/25/34 | 314,507 | ||||||||||
New Century Home Equity Loan Trust | |||||||||||||||
136 | 1 Month USD LIBOR + 0.80% | 0.908 | (b) | 11/25/33 | 130,789 | ||||||||||
145 | 1 Month USD LIBOR + 1.35% | 1.458 | (b) | 03/25/33 | 145,429 | ||||||||||
New Residential Mortgage LLC | |||||||||||||||
1,676 | 5.437 | 06/25/25 | 1,684,097 | ||||||||||||
885 | 2020-FNT2 (c) | 5.437 | 07/25/25 | 892,018 | |||||||||||
GBP | 300 | Newday Partnership Funding PLC, 1 Month GBP SONIA + 2.13% (United Kingdom) | 2.182 | (b) | 12/15/27 | 403,812 | |||||||||
$ | 248 | Newtek Small Business Loan Trust, Daily U.S. Prime Rate - 0.55% (c) | 2.70 | (b) | 02/25/44 | 248,858 | |||||||||
300 | NovaStar Mortgage Funding Trust, 1 Month USD LIBOR + 1.58% | 1.683 | (b) | 12/25/34 | 299,608 | ||||||||||
600 | NRZ Advance Receivables Trust (c) | 5.801 | 10/15/52 | 600,954 | |||||||||||
NRZ Excess Spread-Collateralized Notes | |||||||||||||||
570 | (c) | 2.981 | 03/25/26 | 561,456 | |||||||||||
551 | (c) | 3.844 | 12/25/25 | 551,780 | |||||||||||
Class A | |||||||||||||||
2,179 | (c) | 3.104 | 07/25/26 | 2,135,701 | |||||||||||
838 | (c) | 3.228 | 05/25/26 | 825,678 | |||||||||||
821 | NRZ FHT Excess LLC, Class A (c) | 4.212 | 11/25/25 | 824,206 | |||||||||||
Oakwood Mortgage Investors, Inc. | |||||||||||||||
849 | 7.405 | (b) | 06/15/31 | 167,932 | |||||||||||
70 | 7.72 | 04/15/30 | 72,147 | ||||||||||||
157 | 7.84 | (b) | 11/15/29 | 166,614 | |||||||||||
1,250 | PMT FMSR Issuer Trust, Daily U.S. Prime Rate – 0.50% (c) | 3.108 | (b) | 03/25/26 | 1,248,585 | ||||||||||
PNMAC GMSR Issuer Trust | |||||||||||||||
1,000 | 1 Month USD LIBOR + 2.65% (c) | 2.758 | (b) | 08/25/25 | 1,002,466 | ||||||||||
1,000 | 1 Month USD LIBOR + 2.85% (c) | 2.958 | (b) | 02/25/23 | 1,002,336 | ||||||||||
150 | Progress Residential 2019-SFR2 Trust (c) | 3.794 | 05/17/36 | 149,728 | |||||||||||
1,492 | Raptor Aircraft Finance I LLC (c) | 4.213 | 08/23/44 | 1,328,423 | |||||||||||
343 | ReadyCap Lending Small Business Loan Trust, Daily U.S. Prime Rate - 0.50% (c) | 2.75 | (b) | 12/27/44 | 341,870 | ||||||||||
250 | Renaissance Home Equity Loan Trust | 5.451 | 05/25/35 | 260,460 | |||||||||||
702 | S-Jets Ltd. (Bermuda) (c) | 3.967 | 08/15/42 | 679,539 | |||||||||||
1,119 | SFS Asset Securitization LLC (c) | 4.238 | 06/10/25 | 1,117,490 | |||||||||||
Shenton Aircraft Investment I Ltd. | |||||||||||||||
881 | (c) | 4.75 | 10/15/42 | 839,158 | |||||||||||
284 | (c) | 5.75 | 10/15/42 | 222,435 | |||||||||||
1,000 | Skopos Auto Receivables Trust (c) | 5.24 | 04/15/25 | 1,021,144 | |||||||||||
1,000 | Small Business Lending Trust (c) | 3.20 | 12/15/26 | 1,002,424 | |||||||||||
Sprite 2017-1 Ltd., | |||||||||||||||
162 | (c) | 4.25 | 12/15/37 | 159,610 | |||||||||||
527 | (c) | 6.90 | 12/15/37 | 351,005 | |||||||||||
292 | START Ireland (Bermuda) (c) | 4.089 | 03/15/44 | 286,032 | |||||||||||
USASF Receivables | |||||||||||||||
1,000 | 2019-1A LLC | 8.06 | 11/15/25 | 1,026,875 | |||||||||||
1,000 | 2020-1 LLC (c) | 9.35 | 03/15/27 | 1,036,477 | |||||||||||
283 | WAVE Trust (c) | 3.844 | 11/15/42 | 280,480 | |||||||||||
Total Asset-Backed Securities (Cost $49,707,742) | 48,753,731 | ||||||||||||||
Collateralized Mortgage Obligations - Agency Collateral Series (2.6%) | |||||||||||||||
Federal Home Loan Mortgage Corporation, | |||||||||||||||
IO REMIC | |||||||||||||||
131 | 1.665 | (b) | 10/15/41 | 5,868 | |||||||||||
724 | 1.681 | (b) | 09/15/41 | 34,973 | |||||||||||
480 | 1.691 | (b) | 10/15/40 | 24,619 |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments ▪ January 31, 2022 (unaudited) continued
263 | 1.699 | (b) | 04/15/39 | 12,534 | |||||||||||
370 | 1.714 | (b) | 08/15/42 | 20,635 | |||||||||||
252 | 1.748 | (b) | 10/15/39 | 11,449 | |||||||||||
10,125 | 2.00 | 10/25/50 | 854,590 | ||||||||||||
35 | 5.00 | 08/15/41 | 4,159 | ||||||||||||
579 | 6.00% - 1 Month USD LIBOR | 5.894 | (d) | 11/15/43 – 06/15/44 | 90,853 | ||||||||||
IO STRIPS | |||||||||||||||
1,154 | 1.211 | (b) | 10/15/37 | 46,467 | |||||||||||
66 | 7.00 | 06/15/30 | 10,200 | ||||||||||||
69 | 7.50 | 12/15/29 | 10,706 | ||||||||||||
REMIC | |||||||||||||||
93 | 3.50 | 02/15/42 | 93,808 | ||||||||||||
70 | 12.00% - 2.67 x 1 Month USD LIBOR | 11.728 | (d) | 12/15/43 | 73,427 | ||||||||||
Federal National Mortgage Association, | |||||||||||||||
IO REMIC | |||||||||||||||
1,265 | 1.39 | (b) | 03/25/46 | 67,717 | |||||||||||
244 | 1.601 | (b) | 03/25/44 | 11,152 | |||||||||||
363 | 1.612 | (b) | 10/25/39 | 19,704 | |||||||||||
156 | 3.50 | 03/25/43 | 2,163 | ||||||||||||
164 | 5.65% - 1 Month USD LIBOR | 5.542 | (d) | 11/25/41 | 9,165 | ||||||||||
551 | 6.05% - 1 Month USD LIBOR | 5.942 | (d) | 06/25/42 | 90,237 | ||||||||||
100 | 6.55% - 1 Month USD LIBOR | 6.442 | (d) | 08/25/41 | 4,198 | ||||||||||
IO STRIPS | |||||||||||||||
17 | 7.00 | 11/25/27 | 1,951 | ||||||||||||
52 | 8.00 | 05/25/30 – 06/25/30 | 7,780 | ||||||||||||
17 | 8.50 | 10/25/24 | 1,309 | ||||||||||||
REMIC | |||||||||||||||
14 | 1 Month USD LIBOR + 1.20% | 1.308 | (b) | 12/25/23 | 14,319 | ||||||||||
516 | 2.00 | 07/25/50 | 432,452 | ||||||||||||
25 | 2.582 | (b) | 04/25/39 | 24,089 | |||||||||||
Government National Mortgage Association | |||||||||||||||
48 | 4.00 | 11/20/49 | 49,941 | ||||||||||||
IO | |||||||||||||||
1,492 | 0.759 | (b) | 08/20/58 | 25,664 | |||||||||||
912 | 3.50 | 06/20/41 – 10/16/42 | 123,771 | ||||||||||||
57 | 4.50 | 05/20/40 | 3,918 | ||||||||||||
33 | 5.00 | 02/16/41 | 5,848 | ||||||||||||
310 | 6.00% - 1 Month USD LIBOR | 5.896 | (d) | 08/20/42 | 50,180 | ||||||||||
382 | 6.10% - 1 Month USD LIBOR | 5.996 | (d) | 04/20/41 – 08/20/42 | 65,644 | ||||||||||
352 | 6.14% - 1 Month USD LIBOR | 6.036 | (d) | 12/20/43 | 61,801 | ||||||||||
301 | 6.30% - 1 Month USD LIBOR | 6.196 | (d) | 09/20/43 | 29,220 | ||||||||||
215 | 6.55% - 1 Month USD LIBOR | 6.444 | (d) | 08/16/34 | 20,476 | ||||||||||
IO PAC | |||||||||||||||
28 | 5.00 | 10/20/40 | 1,744 | ||||||||||||
IO REMIC | |||||||||||||||
3,423 | 0.92 | (b) | 08/20/69 | 165,937 | |||||||||||
3,159 | 1.549 | (b) | 09/20/64 | 264,889 | |||||||||||
5,217 | 1.573 | (b) | 11/20/64 | 295,150 | |||||||||||
4,039 | 1.672 | (b) | 07/20/67 | 159,458 | |||||||||||
8,435 | 2.00 | 11/20/50 | 707,213 | ||||||||||||
517 | 3.50 | 05/20/43 | 62,233 | ||||||||||||
REMIC | |||||||||||||||
64 | 1 Month USD LIBOR + 0.45% | 0.554 | (b) | 02/20/61 | 63,689 | ||||||||||
51 | 1 Month USD LIBOR + 0.70% | 0.804 | (b) | 08/20/63 | 51,102 | ||||||||||
6 | 1 Month USD LIBOR + 0.77% | 0.874 | (b) | 02/20/66 | 6,246 | ||||||||||
485 | 3.00 | 03/20/69 | 492,526 | ||||||||||||
Total Collateralized Mortgage Obligations - Agency Collateral Series (Cost $3,615,370) | 4,687,174 | ||||||||||||||
Commercial Mortgage-Backed Securities (3.7%) | |||||||||||||||
185 | CG-CCRE Commercial Mortgage Trust, 1 Month USD LIBOR + 1.85% (c) | 1.96 | (b) | 11/15/31 | 182,198 | ||||||||||
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments ▪ January 31, 2022 (unaudited) continued
220 | Citigroup Commercial Mortgage Trust | 4.575 | (b) | 09/10/58 | 216,131 | ||||||||||
IO | |||||||||||||||
2,072 | 0.881 | (b) | 09/10/58 | 57,086 | |||||||||||
71 | Commercial Mortgage Lease-Backed Certificates (c) | 8.055 | (b) | 06/20/31 | 71,082 | ||||||||||
Commercial Mortgage Trust | |||||||||||||||
100 | (c) | 4.751 | (b) | 07/15/47 | 99,269 | ||||||||||
IO | |||||||||||||||
2,202 | 0.546 | (b) | 02/10/47 | 20,963 | |||||||||||
948 | 0.704 | (b) | 10/10/47 | 14,898 | |||||||||||
964 | COOF Securitization Trust, IO (c) | 2.74 | (b) | 10/25/40 | 76,227 | ||||||||||
1,475 | COOF Securitization Trust II, IO (c) | 2.482 | (b) | 08/25/41 | 104,693 | ||||||||||
2,000 | CSMC 2020-TMIC, Class A, 1 Month USD LIBOR + 3.00% (c) | 3.25 | (b) | 12/15/35 | 2,010,115 | ||||||||||
6,679 | GS Mortgage Securities Corp. II, IO (c) | 0.457 | (b) | 10/10/32 | 11,803 | ||||||||||
GS Mortgage Securities Trust | |||||||||||||||
450 | 3.345 | 07/10/48 | 421,689 | ||||||||||||
370 | (c) | 4.82 | (b) | 08/10/46 | 361,372 | ||||||||||
IO | |||||||||||||||
1,641 | 0.723 | (b) | 09/10/47 | 25,841 | |||||||||||
1,198 | 0.988 | (b) | 04/10/47 | 20,632 | |||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | |||||||||||||||
IO | |||||||||||||||
1,513 | 0.592 | (b) | 12/15/49 | 33,684 | |||||||||||
JPMBB Commercial Mortgage Securities Trust | |||||||||||||||
267 | (c) | 4.656 | (b) | 04/15/47 | 266,143 | ||||||||||
IO | |||||||||||||||
2,912 | 0.721 | (b) | 01/15/47 | 33,440 | |||||||||||
KGS-Alpha SBA COOF Trust, | |||||||||||||||
IO | |||||||||||||||
634 | (c) | 2.908 | (b) | 07/25/41 | 74,328 | ||||||||||
667 | (c) | 2.978 | (b) | 04/25/40 | 38,022 | ||||||||||
600 | Natixis Commercial Mortgage Securities Trust (c) | 4.135 | (b) | 05/15/39 | 552,369 | ||||||||||
CAD | 9,595 | Real Estate Asset Liquidity Trust, IO (Canada) (c) | 1.214 | (b) | 02/12/55 | 456,990 | |||||||||
$ | 1,252 | Sutherland Commercial Mortgage Trust (c) | 2.23 | (b) | 12/25/41 | 1,215,905 | |||||||||
3,911 | UBS Commercial Mortgage Trust, IO | 0.873 | (b) | 03/15/51 | 177,034 | ||||||||||
81 | VCC 2020-MC1 Trust (c) | 4.50 | (b) | 06/25/45 | 81,283 | ||||||||||
Total Commercial Mortgage-Backed Securities (Cost $6,323,743) | 6,623,197 | ||||||||||||||
Corporate Bond (0.1%) | |||||||||||||||
Finance (0.1%) | |||||||||||||||
350 | DP Facilities Data Center Subordinated Pass-Through Trust (c) (Cost $252,342) | 0.00 | (b) | 11/10/28 | 144,375 | ||||||||||
Mortgages - Other (44.3%) | |||||||||||||||
114 | Adjustable Rate Mortgage Trust | 2.561 | (b) | 04/25/35 | 115,767 | ||||||||||
GBP | 261 | Alba 2005-1 PLC, 3 Month GBP LIBOR + 0.60% (United Kingdom) | 0.72 | (b) | 11/25/42 | 341,628 | |||||||||
Alternative Loan Trust | |||||||||||||||
$ | 51 | 5.50 | 02/25/25 – 01/25/36 | 41,929 | |||||||||||
158 | 5.75 | 03/25/34 | 161,007 | ||||||||||||
319 | 6.25 | (b) | 08/25/37 | 229,066 | |||||||||||
75 | 40.02% - 6 x 1 Month USD LIBOR | 39.374 | (d) | 05/25/37 | 128,233 | ||||||||||
872 | Asset Backed Trust (c) | 2.116 | 06/25/61 | 857,394 | |||||||||||
Banc of America Funding Trust | |||||||||||||||
9 | 5.25 | 07/25/37 | 9,175 | ||||||||||||
287 | 5.50 | 09/25/35 | 300,319 | ||||||||||||
547 | Bear Stearns Asset-Backed Securities I Trust, 25.64% - 3.29 x 1 Month USD LIBOR | 23.493 | (d) | 03/25/36 | 312,027 | ||||||||||
Cascade Funding Mortgage Trust | |||||||||||||||
2,000 | (c) | 3.735 | (b) | 06/25/36 | 1,969,352 |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments ▪ January 31, 2022 (unaudited) continued
2,945 | (c) | 4.00 | (b) | 10/25/68 | 2,983,076 | ||||||||||
513 | CFMT 2020-ABC1 LLC (c) | 2.00 | (b) | 09/25/50 | 488,187 | ||||||||||
CFMT 2020-HB4 LLC | |||||||||||||||
1,500 | (c) | 4.948 | (b) | 12/26/30 | 1,485,573 | ||||||||||
750 | (c) | 6.00 | (b) | 12/26/30 | 748,065 | ||||||||||
CFMT 2021-HB5 LLC | |||||||||||||||
1,700 | (c) | 2.91 | (b) | 02/25/31 | 1,678,537 | ||||||||||
1,500 | (c) | 5.683 | (b) | 02/25/31 | 1,499,389 | ||||||||||
1,500 | CFMT 2021-HB7 LLC (c) | 5.072 | (b) | 10/27/31 | 1,484,141 | ||||||||||
1,878 | CHL GMSR Issuer Trust, 1 Month USD LIBOR + 2.75% (c) | 2.858 | (b) | 05/25/23 | 1,881,234 | ||||||||||
CHL Mortgage Pass-Through Trust | |||||||||||||||
191 | 2.582 | (b) | 10/25/33 | 191,686 | |||||||||||
102 | 2.676 | (b) | 05/20/34 | 105,033 | |||||||||||
267 | 5.50 | 10/25/34 | 271,121 | ||||||||||||
63 | 6.00 | 12/25/36 | 47,453 | ||||||||||||
1,431 | CIM Trust (c) | 2.50 | (b) | 06/25/51 | 1,404,121 | ||||||||||
778 | CIM Trust 2020-NR1 (c) | 3.445 | 06/26/62 | 777,588 | |||||||||||
164 | Citigroup Mortgage Loan Trust, 1 Year CMT + 2.40% | 2.48 | (b) | 11/25/35 | 166,052 | ||||||||||
GBP | 122 | Clavis Securities PLC, 3 Month GBP LIBOR + 0.45% (United Kingdom) | 0.548 | (b) | 12/15/40 | 155,205 | |||||||||
$ | 362 | Credit Suisse First Boston Mortgage Securities Corp., 1 Month USD LIBOR + 3.30% | 3.408 | (b) | 02/25/32 | 366,523 | |||||||||
Credit Suisse Mortgage Capital Certificates | |||||||||||||||
1,136 | 1 Month USD LIBOR + 3.97% (c) | 4.076 | (b) | 04/15/23 | 1,140,701 | ||||||||||
500 | 1 Month USD LIBOR + 3.67% (c) | 4.168 | (b) | 12/15/22 | 501,229 | ||||||||||
Credit Suisse Mortgage Trust | |||||||||||||||
1,000 | 1 Month USD LIBOR + 3.46% (c) | 3.709 | (b) | 05/15/23 | 998,299 | ||||||||||
1,000 | 1 Month USD LIBOR + 3.71% (c) | 3.821 | (b) | 08/15/23 | 1,007,786 | ||||||||||
CSFB Mortgage-Backed Pass-Through Certificates | |||||||||||||||
287 | 2.848 | (b) | 05/25/34 | 301,242 | |||||||||||
467 | 6.50 | 11/25/35 | 124,165 | ||||||||||||
EUR | 544 | Dssv Sarl 3 Month EURIBOR +3.00% (Spain) | 3.00 | (b) | 10/15/24 | 598,827 | |||||||||
298 | E-Mac de, 3 Month EURIBOR + 0.21% (Germany) | 3.178 | (b) | 05/25/57 | 332,208 | ||||||||||
500 | E-MAC DE 2005-I BV, 3 Month EURIBOR + 0.50% (Germany) | 7.558 | (b) | 05/25/52 | 540,348 | ||||||||||
183 | E-MAC NL 2004-I BV, 3 Month EURIBOR + 0.18% (Netherlands) | 1.708 | (b) | 07/25/36 | 201,409 | ||||||||||
168 | E-MAC NL 2005-I BV, 3 Month EURIBOR + 0.23% (Netherlands) | 3.948 | (b) | 04/25/38 | 173,848 | ||||||||||
217 | E-MAC Program BV, 3 Month EURIBOR + 2.00% (Netherlands) | 3.30 | (b) | 01/25/48 | 210,951 | ||||||||||
129 | E-MAC Program II BV, 3 Month EURIBOR + 2.00% (Netherlands) | 3.698 | (b) | 04/25/48 | 141,754 | ||||||||||
249 | EMF-NL Prime, 3 Month EURIBOR + 0.80% (Netherlands) | 0.232 | (b) | 04/17/41 | 269,638 | ||||||||||
200 | EMF-NL Prime 2008-ABV, 3 Month EURIBOR + 0.85% (Netherlands) | 0.282 | (b) | 04/17/41 | 182,354 | ||||||||||
223 | Eurohome Mortgages PLC, 3 Month EURIBOR + 0.21% (Germany) | 0.00 | (b) | 08/02/50 | 225,204 | ||||||||||
$ | 500 | Eurosail 2006-2bl PLC, 3 Month USD LIBOR + 0.24% (United Kingdom) (c) | 0.443 | (b) | 12/15/44 | 489,107 | |||||||||
Eurosail BV | |||||||||||||||
EUR | 1,000 | 3 Month EURIBOR + 1.80% (Netherlands) | 1.232 | (b) | 10/17/40 | 1,126,681 | |||||||||
500 | 3 Month EURIBOR + 2.20% (Netherlands) | 1.632 | (b) | 10/17/40 | 543,747 |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments ▪ January 31, 2022 (unaudited) continued
500 | Eurosail-NL 2007-1bv, 3 Month EURIBOR + 1.10% (Netherlands) | 0.532 | (b) | 04/17/40 | 498,483 | ||||||||||
Federal Home Loan Mortgage Corporation | |||||||||||||||
$ | 1,307 | 3.00 | 09/25/45 – 05/25/47 | 1,296,309 | |||||||||||
166 | 3.50 | 05/25/45 – 05/25/47 | 168,366 | ||||||||||||
1,383 | Flagstar Mortgage Trust, Class A2 (c) | 2.50 | (b) | 04/25/51 | 1,356,776 | ||||||||||
FMC GMSR Issuer Trust | |||||||||||||||
1,000 | (c) | 4.36 | (b) | 07/25/26 | 974,416 | ||||||||||
1,000 | (c) | 4.45 | (b) | 01/25/26 | 993,882 | ||||||||||
Class A | |||||||||||||||
1,100 | (c) | 3.62 | (b) | 07/25/26 | 1,081,462 | ||||||||||
91 | Galton Funding Mortgage Trust (c) | 4.00 | (b) | 11/25/57 – 02/25/59 | 90,885 | ||||||||||
Government National Mortgage Association | |||||||||||||||
8,558 | 0.924 | 12/20/70 | 400,641 | ||||||||||||
4,267 | 1.411 | 01/20/64 | 104,995 | ||||||||||||
7,171 | 2.115 | 12/20/66 | 507,058 | ||||||||||||
941 | Grand Avenue Mortgage Loan Trust (c) | 3.25 | 08/25/64 | 913,615 | |||||||||||
Great Hall Mortgages No 1 PLC | |||||||||||||||
EUR | 500 | 3 Month EURIBOR + 0.22% (United Kingdom) | 0.00 | (b) | 03/18/39 | 534,664 | |||||||||
GBP | 500 | 3 Month GBP LIBOR + 0.30% (United Kingdom) | 0.536 | (b) | 06/18/39 | 645,321 | |||||||||
$ | 150 | GSAA Trust | 6.00 | 04/01/34 | 159,827 | ||||||||||
GSR Mortgage Loan Trust | |||||||||||||||
36 | 1 Month USD LIBOR + 0.25% | 0.358 | (b) | 03/25/35 | 17,498 | ||||||||||
3 | 1 Year CMT + 1.75% | 1.84 | (b) | 03/25/33 | 2,619 | ||||||||||
162 | 2.438 | (b) | 12/25/34 | 164,433 | |||||||||||
267 | 2.687 | (b) | 12/25/34 | 274,095 | |||||||||||
31 | 5.00 | 02/25/34 | 32,624 | ||||||||||||
4 | 5.50 | 11/25/35 | 3,869 | ||||||||||||
109 | 6.00 | 09/25/35 | 111,110 | ||||||||||||
100 | HarborView Mortgage Loan Trust | 2.14 | (b) | 05/19/33 | 101,778 | ||||||||||
66 | Impac CMB Trust, 1 Month USD LIBOR + 0.80% | 0.903 | (b) | 10/25/34 | 64,287 | ||||||||||
500 | Ims Ecuadorian Mortgage Trust (c) | 3.40 | 08/18/43 | 529,563 | |||||||||||
134 | IndyMac INDX Mortgage Loan Trust | 2.495 | (b) | 11/25/34 | 138,748 | ||||||||||
JP Morgan Mortgage Trust | |||||||||||||||
1,409 | (c) | 2.50 | (b) | 11/25/51 – 12/25/51 | 1,378,469 | ||||||||||
126 | 2.548 | (b) | 12/25/34 | 125,454 | |||||||||||
98 | (c) | 2.882 | (b) | 07/27/37 | 101,241 | ||||||||||
800 | 3.00 | 07/25/52 | 798,625 | ||||||||||||
EUR | 239 | Landmark Mortgage Securities No. 1 PLC, 3 Month EURIBOR + 0.60% (United Kingdom) | 0.00 | (b) | 06/17/38 | 265,736 | |||||||||
239 | Lansdowne Mortgage Securities No. 1 PLC, 3 Month EURIBOR + 0.30% (Ireland) | 0.00 | (b) | 06/15/45 | 257,783 | ||||||||||
425 | Lansdowne Mortgage Securities No. 2 PLC, 3 Month EURIBOR + 0.34% (Ireland) | 0.00 | (b) | 09/16/48 | 440,740 | ||||||||||
Legacy Mortgage Asset Trust | |||||||||||||||
$ | 782 | (c) | 2.882 | 10/25/59 | 784,608 | ||||||||||
700 | (c) | 3.00 | 06/25/59 | 701,578 | |||||||||||
LHOME Mortgage Trust | |||||||||||||||
400 | (c) | 3.228 | 10/25/24 | 401,596 | |||||||||||
167 | (c) | 3.868 | 07/25/24 | 167,634 | |||||||||||
EUR | 276 | Ludgate Funding PLC, 3 Month EURIBOR + 0.42% (United Kingdom) | 0.00 | (b) | 12/01/60 | 296,874 | |||||||||
GBP | 151 | Mansard Mortgages PLC, 3 Month GBP LIBOR + 0.60% (United Kingdom) | 0.734 | (b) | 10/15/48 | 197,822 | |||||||||
$ | 317 | MASTR Adjustable Rate Mortgages Trust | 2.317 | (b) | 06/25/34 | 319,683 | |||||||||
MASTR Alternative Loan Trust | |||||||||||||||
140 | 5.00 | 05/25/18 | 138,134 |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments ▪ January 31, 2022 (unaudited) continued
115 | 6.00 | 05/25/33 | 120,131 | ||||||||||||
1 | MASTR Asset Securitization Trust | 5.50 | 10/25/25 | 1,359 | |||||||||||
117 | MASTR Reperforming Loan Trust (c) | 7.50 | 05/25/35 | 109,734 | |||||||||||
3,580 | Mello Mortgage Capital Acceptance (c) | 2.50 | (b) | 06/25/51 – 08/25/51 | 3,499,622 | ||||||||||
412 | MERIT Securities Corp., 1 Month USD LIBOR + 2.25% (c) | 2.352 | (b) | 09/28/32 | 380,745 | ||||||||||
Merrill Lynch Mortgage Investors Trust | |||||||||||||||
18 | 6 Month USD LIBOR + 0.50% | 0.655 | (b) | 04/25/29 | 18,046 | ||||||||||
45 | 1.992 | (b) | 08/25/33 | 45,483 | |||||||||||
29 | 2.439 | (b) | 01/25/37 | 30,643 | |||||||||||
141 | 2.514 | (b) | 02/25/34 | 145,795 | |||||||||||
EUR | 700 | Miravet SARL (Luxembourg) | 1.017 | 05/26/65 | 781,312 | ||||||||||
$ | 88 | Morgan Stanley Dean Witter Capital I, Inc. Trust (f) | 1.468 | (b) | 03/25/33 | 84,834 | |||||||||
114 | Morgan Stanley Mortgage Loan Trust (g) | 2.383 | (b) | 02/25/34 | 115,082 | ||||||||||
211 | Mortgage Equity Conversion Asset Trust, 1 Year CMT + 0.47% (c) | 1.05 | (b) | 02/25/42 | 207,528 | ||||||||||
61 | National City Mortgage Capital Trust | 6.00 | 03/25/38 | 63,008 | |||||||||||
GBP | 291 | Newgate Funding PLC, 3 Month GBP LIBOR + 3.00% (United Kingdom) | 3.098 | (b) | 12/15/50 | 393,810 | |||||||||
$ | 747 | NYMT Loan Trust (c) | 2.944 | (b) | 10/25/60 | 742,742 | |||||||||
988 | PMC PLS ESR Issuer LLC (c) | 5.069 | 11/25/24 | 988,192 | |||||||||||
1,858 | PRMI Securitization Trust (c) | 2.50 | (b) | 04/25/51 | 1,810,243 | ||||||||||
36 | PSMC 2018-2 Trust (c) | 3.50 | (b) | 06/25/48 | 35,853 | ||||||||||
267 | RALI Trust | 6.00 | 05/25/36 – 06/25/36 | 259,934 | |||||||||||
1,074 | Rate Mortgage Trust (c) | 2.50 | (b) | 11/25/51 | 1,051,118 | ||||||||||
75 | RBSSP Resecuritization Trust (c) | 45.743 | (b) | 09/26/37 | 131,894 | ||||||||||
175 | Reperforming Loan REMIC Trust (c) | 8.50 | 06/25/35 | 187,588 | |||||||||||
13,160 | Residential Asset Securitization Trust, IO | 0.50 | 04/25/37 | 327,315 | |||||||||||
EUR | 426 | Resloc UK PLC, 3 Month EURIBOR + 0.45% (United Kingdom) | 0.00 | (b) | 12/15/43 | 452,604 | |||||||||
RMF Buyout Issuance Trust | |||||||||||||||
$ | 1,000 | (c) | 3.63 | (b) | 10/25/50 | 990,927 | |||||||||
1,200 | (c) | 4.75 | (b) | 10/25/50 | 1,209,017 | ||||||||||
RMF Buyout Issuance Trust 2021-HB1 | |||||||||||||||
1,000 | (c) | 3.69 | (b) | 11/25/31 | 987,717 | ||||||||||
2,000 | (c) | 4.704 | (b) | 11/25/31 | 1,976,069 | ||||||||||
Seasoned Credit Risk Transfer Trust | |||||||||||||||
6,698 | 3.00 | 09/25/55 – 05/25/60 | 6,856,754 | ||||||||||||
834 | 3.25 | 07/25/56 – 06/25/57 | 866,826 | ||||||||||||
2,306 | (c) | 4.00 | (b) | 08/25/56 – 02/25/59 | 2,398,128 | ||||||||||
347 | 4.50 | 06/25/57 | 369,589 | ||||||||||||
88 | Sequoia Mortgage Trust, 1 Month USD LIBOR + 0.78% | 0.884 | (b) | 01/20/36 | 85,016 | ||||||||||
934 | Stanwich Mortgage Loan Co. LLC (c) | 2.735 | 10/16/26 | 927,823 | |||||||||||
240 | Structured Adjustable Rate Mortgage Loan Trust | 2.45 | (b) | 02/25/35 | 242,157 | ||||||||||
Structured Asset Mortgage Investments II Trust | |||||||||||||||
107 | 1 Month USD LIBOR + 0.46% | 0.568 | (b) | 05/25/45 | 104,475 | ||||||||||
51 | 0.876 | (b) | 04/19/35 | 51,195 | |||||||||||
303 | Structured Asset Securities Corp. Mortgage Pass-Through Certificates | 2.548 | (b) | 11/25/30 | 303,725 | ||||||||||
1,075 | Structured Asset Securities Corp. Reverse Mortgage Loan Trust, 1 Month USD LIBOR + 1.85% (c) | 1.958 | (b) | 05/25/47 | 1,011,153 | ||||||||||
EUR | 656 | �� | TDA 27 FTA, 3 Month EURIBOR + 0.19% (Spain) | 0.00 | (b) | 12/28/50 | 661,724 | ||||||||
$ | 250 | TVC Mortgage Trust (c) | 3.474 | 09/25/24 | 250,656 | ||||||||||
AUD | 1,000 | Vermilion Trust No.1 Bond Series 2019-1 BBSW1M + 2.40% (Australia) | 2.415 | (b) | 07/10/50 | 712,509 | |||||||||
$ | 19 | Vista Point Securitization Trust (c) | 1.763 | (b) | 03/25/65 | 19,514 | |||||||||
983 | VMC Finance 2021-HT1 LLC, 1 Month USD LIBOR + 1.65% (Cayman Islands) (c) | 1.753 | (b) | 01/18/37 | 985,159 |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments ▪ January 31, 2022 (unaudited) continued
91 | Washington Mutual Mortgage Pass-Through Certificates Trust | 2.516 | (b) | 09/25/33 | 91,513 | ||||||||||
Total Mortgages - Other (Cost $79,560,734) | 79,937,941 | ||||||||||||||
Short-Term Investments (11.4%) | |||||||||||||||
U.S. Treasury Security (0.4%) | |||||||||||||||
763 | U.S. Treasury Bill (h)(i) (Cost $762,793) | 0.01 | 07/14/22 | 761,540 |
NUMBER OF SHARES (000) | |||||||||||
Investment Company (11.0%) | |||||||||||
19,833 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (j) (Cost $19,833,433) | 19,833,433 | |||||||||
Total Short-Term Investments (Cost $20,596,226) | 20,594,973 | ||||||||||
Total Investments (Cost $201,018,437) (k)(l)(m) | 111.7 | % | 201,406,635 | ||||||||
Liabilities in Excess of Other Assets | (11.7 | ) | (21,079,130) | ||||||||
Net Assets | 100 | % | $ | 108,327,505 |
BBSW | Australia’s Bank Bill Swap. | |
CMT | Constant Maturity Treasury Note Rate. | |
DAC | Designated Activity Company. | |
EURIBOR | Euro Interbank Offered Rate. | |
HECM | Home Equity Conversion Mortgage. | |
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) | Security is subject to delayed delivery. | |
(b) | Floating or variable rate securities: The rates disclosed are as of January 31, 2022. 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. | |
(c) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. | |
(d) | 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, 2022. | |
(e) | For the three months ended January 31, 2022, there were no purchases or sales of 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, 2022, 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 $2,297, including net realized gains of $146. | |
(g) | For the three months ended January 31, 2022, 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 $5,656, including net realized losses of $37. | |
(h) | Rate shown is the yield to maturity at January 31, 2022. | |
(i) | All or a portion of the security was pledged to cover margin requirements for futures contracts. | |
(j) | 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, 2022, advisory fees paid were reduced by $1,806 relating to the Fund's investment in the Liquidity Funds. | |
(k) | Securities are available for collateral in connection with securities purchased on a forward commitment basis, open foreign currency forward exchange contracts and futures contracts. | |
(l) | 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, 2022, the Fund did not engage in any cross-trade transactions. | |
(m) | At January 31, 2022, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $3,905,395 and the aggregate gross unrealized depreciation is $3,660,141, resulting in net unrealized appreciation of $245,254. |
Morgan Stanley Mortgage Securities Trust
Portfolio of Investments ▪ January 31, 2022 (unaudited) continued
Foreign Currency Forward Exchange Contracts:
The Fund had the following foreign currency forward exchange contracts open at January 31, 2022:
COUNTERPARTY | CONTRACTS TO DELIVER | IN EXCHANGE FOR | DELIVERY DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||
Barclays Bank PLC | GBP | 1,523,871 | $ | 2,050,452 | 02/18/22 | $ | 1,211 | |||||
Barclays Bank PLC | $ | 155,564 | EUR | 137,800 | 02/18/22 | (704 | ) | |||||
Barclays Bank PLC | $ | 24,262 | GBP | 18,297 | 02/18/22 | 343 | ||||||
JPMorgan Chase Bank NA | $ | 7,571 | CAD | 9,725 | 02/18/22 | 79 | ||||||
JPMorgan Chase Bank NA | $ | 16,098 | GBP | 12,023 | 02/18/22 | 70 | ||||||
Standard Chartered Bank | $ | 611,894 | EUR | 548,934 | 02/18/22 | 5,003 | ||||||
UBS AG | AUD | 992,135 | $ | 727,668 | 02/18/22 | 26,141 | ||||||
UBS AG | AUD | 2,047 | $ | 1,453 | 02/18/22 | 6 | ||||||
UBS AG | CAD | 441,085 | $ | 351,289 | 02/18/22 | 4,295 | ||||||
UBS AG | $ | 1,479 | AUD | 2,051 | 02/18/22 | (29 | ) | |||||
UBS AG | $ | 1,464 | AUD | 2,047 | 02/18/22 | (17 | ) | |||||
UBS AG | $ | 1,462 | AUD | 2,047 | 02/18/22 | (15 | ) | |||||
UBS AG | $ | 1,415 | AUD | 1,980 | 02/18/22 | (15 | ) | |||||
UBS AG | $ | 7,780 | CAD | 9,705 | 02/18/22 | (145 | ) | |||||
Westpac Banking Corp. | EUR | 8,849,072 | $ | 10,084,774 | 02/18/22 | 140,111 | ||||||
$ | 176,334 |
Futures Contracts:
The Fund had the following futures contracts open at January 31, 2022:
NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT (000) | VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long: | ||||||||||||||||||
U.S. Treasury 2 yr. Note | 129 | Mar-22 | $ | 25,800 | $ | 27,948,656 | $ | (221,719) | ||||||||||
U.S. Treasury 5 yr. Note | 111 | Mar-22 | 11,100 | 13,231,547 | (122,193) | |||||||||||||
U.S. Treasury Long Bond | 21 | Mar-22 | 2,100 | 3,268,125 | (57,345) | |||||||||||||
Short: | ||||||||||||||||||
U.S. Treasury10 yr. Note | 31 | Mar-22 | (3,100 | ) | (3,967,031 | ) | 81,979 | |||||||||||
$ | (319,278) |
AUD — | Australian Dollar |
CAD — | Canadian Dollar |
EUR — | Euro |
GBP — | British Pound |
USD — | United States Dollar |
PORTFOLIO COMPOSITION as of 01/31/22 | Percentage of Total Investments | |||
Mortgages - Other | 39.7 | % | ||
Asset-Backed Securities | 24.2 | |||
Agency Fixed Rate Mortgages | 20.2 | |||
Short-Term Investments | 10.2 | |||
Commercial Mortgage-Backed Securities | 3.3 | |||
Collateralized Mortgage Obligations - Agency Collateral Series | 2.3 | |||
Corporate Bond | 0.1 | |||
Total Investments | 100.0 | %* |
* | Does not include open long/short futures contracts with a value of $48,415,359 and net unrealized depreciation of $319,278. Does not include open foreign currency forward exchange contracts with net unrealized appreciation of $176,334. |
Morgan Stanley Mortgage Securities Trust
Notes to Portfolio of Investments ▪ January 31, 2022 (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 evaluated 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 and does not expect there will be any significant impact to the Fund.
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) 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 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 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 January 31, 2022:
INVESTMENT TYPE | LEVEL 1 UNADJUSTED QUOTED PRICES | LEVEL 2 OTHER SIGNIFICANT OBSERVABLE INPUTS | LEVEL 3 SIGNIFICANT UNOBSERVABLE INPUTS | TOTAL | ||||||||||||
Assets: | ||||||||||||||||
Fixed Income Securities | ||||||||||||||||
Agency Fixed Rate Mortgages | $ | — | $ | 40,665,244 | $ | — | $ | 40,665,244 | ||||||||
Asset-Backed Securities | — | 48,753,731 | — | 48,753,731 | ||||||||||||
Collateralized Mortgage Obligations - Agency Collateral Series | — | 4,687,174 | — | 4,687,174 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 6,623,197 | — | 6,623,197 | ||||||||||||
Corporate Bond | — | 144,375 | — | 144,375 | ||||||||||||
Mortgages - Other | — | 79,937,941 | — | 79,937,941 | ||||||||||||
Total Fixed Income Securities | — | 180,811,662 | — | 180,811,662 | ||||||||||||
Short-Term Investments | ||||||||||||||||
U.S. Treasury Security | — | 761,540 | — | 761,540 | ||||||||||||
Investment Company | 19,833,433 | — | — | 19,833,433 | ||||||||||||
Total Short-Term Investments | 19,833,433 | 761,540 | — | 20,594,973 | ||||||||||||
Foreign Currency Forward Exchange Contracts | — | 177,259 | — | 177,259 | ||||||||||||
Futures Contract | 81,979 | — | — | 81,979 | ||||||||||||
Total Assets | 19,915,412 | 181,750,461 | — | 201,665,873 | ||||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Forward Exchange Contracts | — | (925 | ) | — | (925 | ) | ||||||||||
Futures Contracts | (401,257 | ) | — | — | (401,257 | ) | ||||||||||
Total Liabilities | (401,257 | ) | (925 | ) | — | (402,182 | ) | |||||||||
Total | $ | 19,514,155 | $ | 181,749,536 | $ | — | $ | 201,263,691 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.