UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 11-K
FOR ANNUAL REPORTS OF EMPLOYEE STOCK PURCHASE, SAVINGS
AND SIMILAR PLANS PURSUANT TO SECTION 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
(Mark One)
x ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2016
OR
¨ TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from __________________ to __________________
Commission file number 033-63026
A. Full title of the plan and the address of the plan, if different from that of the issuer named below:
Morgan Stanley 401(k) Plan
c/o Morgan Stanley Benefits Department
1585 Broadway
New York, NY 10036
B. Name of the issuer of the securities held pursuant to the plan and the address of its principal executive office:
MORGAN STANLEY
1585 Broadway
New York, NY 10036
SIGNATURES
The Plan. Pursuant to the requirements of the Securities Exchange Act of 1934, the Trustees (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.
| | | | Morgan Stanley 401(k) Plan | |
| | | | (Name of Plan) | |
| | | | | | |
| Date: | June 20, 2017 | | By: | /s/ Joanne Ceriello | |
| | | | | (Signature) | |
| | | | Name: | Joanne Ceriello | |
| | | | Title: | Morgan Stanley Director of US Benefits and Wellness Plans | |
Morgan Stanley
401(k) Plan Employer ID No: 20-8764829 Plan Number: 003 Financial Statements at December 31, 2016 and
2015, and for the Year Ended December 31, 2016,
Supplemental Schedule at December 31, 2016, and Report of Independent Registered Public Accounting Firm |
MORGAN STANLEY 401(k) PLAN
TABLE OF CONTENTS
| | Page |
| | |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 1 |
| FINANCIAL STATEMENTS: | |
| Statements of Net Assets Available for Benefits at December 31, 2016 and 2015 | 2 |
| Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2016 | 3 |
| Notes to Financial Statements at December 31, 2016 and 2015, and for the Year Ended December 31, 2016 | 4–16 |
| | |
| SUPPLEMENTAL SCHEDULE: | |
| Form 5500, Schedule H, Line 4i — Schedule of Assets (Held at End of Year) at December 31, 2016 | 18–60 |
| NOTE: | All other schedules required by section 2520.103-10 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974, as amended, have been omitted because they are not applicable. |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Plan Participants and Administrator of the
Morgan Stanley 401(k) Plan
New York, New York
We have audited the accompanying statements of net assets available for benefits of the Morgan Stanley 401(k) Plan (Plan) as of December 31, 2016 and 2015, and the related statement of changes in net assets available for benefits for the year ended December 31, 2016. These financial statements are the responsibility of the Plan's management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2016 and 2015, and the changes in net assets available for benefits for the year ended December 31, 2016 in conformity with U.S. generally accepted accounting principles.
The supplemental Schedule H, Line 4i – Schedule of Assets (Held at End of Year) as of December 31, 2016 has been subjected to audit procedures performed in conjunction with the audit of the Morgan Stanley 401(k) Plan financial statements. The supplemental schedule is the responsibility of the Plan’s management. Our audit procedures included determining whether the information presented in the supplemental schedule reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedule. In forming our opinion on the supplemental schedule, we evaluated whether the supplemental schedule, including its form and content, is presented in conformity with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the supplemental schedule is fairly stated in all material respects in relation to the financial statements as a whole.
/s/ Crowe Horwath LLP
Crowe Horwath LLP
New York, New York
June 20, 2017
MORGAN STANLEY 401(k) PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AT DECEMBER 31, 2016 AND 2015
| | | 2016 | | 2015 |
| ASSETS: | | | | |
| Participant-directed investments at fair value | | $ | 8,826,122,017 | | | $ | 7,776,317,719 | |
| | | | | | | | | |
| Receivables: | | | | | | | | |
| Employer contributions | | | 249,897,320 | | | | 255,776,230 | |
| Notes receivable from participants | | | 97,737,084 | | | | 98,791,764 | |
| Receivables for securities sold and other | | | 180,816,521 | | | | 64,533,024 | |
| Total Receivables | | | 528,450,925 | | | | 419,101,018 | |
| | | | | | | | | |
| Total Assets | | | 9,354,572,942 | | | | 8,195,418,737 | |
| | | | | | | | | |
| | | | | | | | | |
| LIABILITIES: | | | | | | | | |
| Participant-directed derivative investments | | | 5,422,153 | | | | 2,703,702 | |
| Payables for securities purchased and other | | | 265,727,265 | | | | 124,953,191 | |
| | | | | | | | | |
| Total Liabilities | | | 271,149,418 | | | | 127,656,893 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| NET ASSETS AVAILABLE FOR BENEFITS | | $ | 9,083,423,524 | | | $ | 8,067,761,844 | |
See notes to the financial statements.
MORGAN STANLEY 401(k) PLAN
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
FOR THE YEAR ENDED DECEMBER 31, 2016
| ADDITIONS: | | |
| Net investment income: | | | | |
| Net appreciation in fair value of investments | | $ | 776,904,865 | |
| Dividends and interest | | | 129,900,954 | |
| Net investment income | | | 906,805,819 | |
| | | | | |
| Contributions: | | | | |
| Employer contributions | | | 249,897,320 | |
| Participant contributions | | | 435,163,497 | |
| Rollover contributions | | | 46,367,311 | |
| Total contributions | | | 731,428,128 | |
| | | | | |
| | | | | |
| Interest income on notes receivable from participants | | | 4,058,917 | |
| | | | | |
| Total additions | | | 1,642,292,864 | |
| | | | | |
| | | | | |
| DEDUCTIONS: | | | | |
| Benefits paid to participants | | | 616,935,916 | |
| Administrative fees | | | 9,695,268 | |
| | | | | |
| Total deductions | | | 626,631,184 | |
| | | | | |
| | | | | |
| NET INCREASE IN NET ASSETS AVAILABLE FOR BENEFITS | | | 1,015,661,680 | |
| | | | | |
| | | | | |
| NET ASSETS AVAILABLE FOR BENEFITS | | | | |
| Beginning of year | | | 8,067,761,844 | |
| | | | | |
| End of year | | $ | 9,083,423,524 | |
See notes to the financial statements.
Morgan stanley 401(k) PLAN
NOTES TO FINANCIAL STATEMENTS
AT DECEMBER 31, 2016 AND 2015, AND FOR THE YEAR ENDED DECEMBER 31, 2016
| 1. | DESCRIPTION OF THE PLAN |
The following summary of the Morgan Stanley 401(k) Plan (the “Plan”) is provided for general information purposes only. Participants should refer to the Plan document for more complete information. Terms used in this description have the same meaning as in the Plan document.
General — The Plan is a profit-sharing plan that includes a “qualified cash or deferred arrangement” as described in Section 401(k) of the Internal Revenue Code of 1986, as amended (the “Code”), and is subject to the provisions of the Employee Retirement Income Security Act of 1974, as amended (“ERISA”). The Plan’s interest in the Morgan Stanley Stock Fund is designated as an employee stock ownership plan within the meaning of Code section 4975(e)(7) to the extent provided in the Plan.
Morgan Stanley & Co. LLC is a limited liability company whose sole member is Morgan Stanley Domestic Holdings, Inc. (the “Plan Sponsor”) - a corporation wholly owned by Morgan Stanley Capital Management, LLC, a limited liability company whose sole member is Morgan Stanley (the “Company”). The Company’s Chief Human Resources Officer or his or her delegate (the “Plan Administrator”) has the authority to control and manage the operation and administration of the Plan, make rules and regulations and take actions to administer the Plan. The Plan Administrator has delegated certain operational and administrative responsibilities to certain employees in the Company’s Human Resources department.
All of the Plan’s investments are held in a trust account (“trust account”) at The Northern Trust Company, N.A. (the “Trustee”).
Eligibility — U.S. benefits-eligible employees, generally defined as full-time and part-time employees (regularly scheduled to work at least 50% of the Company’s standard work week) of participating companies are eligible to participate in the Plan upon hire. Part-time employees regularly scheduled to work less than 50% of the Company’s standard work week are eligible to participate after completing one year of service and attaining age 21.
Eligible participants who terminate employment and are later rehired by a participating company may participate in the Plan immediately upon rehire. Individuals who are (a) classified by a participating company as non-U.S. benefits-eligible workers, interns, summer associates, contingent workers, leased workers, independent contractors or consultants, regardless of whether or not such classification is subsequently upheld for any purpose by a court or federal, state or local administrative authority; (b) covered by a collective bargaining agreement with respect to which a participating company is a party, unless such agreement provides for participation in the Plan; (c) first hired or transferred to a participating company while in an hourly status on or after July 1, 2004; or (d) Puerto Rico residents, are not eligible to participate in the Plan.
Employee Contributions — Eligible participants may elect to contribute before-tax or Roth after-tax contributions of 1% to 30% of eligible pay subject to Code limits ($18,000 for 2016). Those participants who have attained at least age 50 by the end of the year may elect an additional before-tax or Roth after-tax “Catch-Up Contribution” of 1% to 30% of eligible pay, subject to Code limits ($6,000 for 2016).
Certain eligible participants may also elect to contribute non-Roth after-tax contributions of 1% to 30% of eligible earnings. Participants eligible to make non-Roth after-tax contributions include eligible employees considered to be non-highly compensated employees (for 2016, employees who earned less than $290,000 during 2015). Participants may also contribute amounts representing eligible rollover distributions from other qualified retirement plans, excluding other qualified plans sponsored by the Company and its affiliates. All contributions are subject to certain Code limitations.
Company Contributions — In addition to the eligibility requirements for each type of Company Contribution described below, to be eligible for Company Contributions for any given Plan Year, a participant must be actively at work or on an authorized leave of absence on December 31 or, during the year, have terminated employment because of retirement or Release, become totally and permanently disabled or died. Company Contributions are generally credited to participant accounts during the first quarter of the year following the calendar year for which the contribution amounts are determined.
Company Match: The Plan-provided Company Match for 2016 was one dollar for each dollar of before-tax or Roth after-tax contributions eligible participants contributed to the Plan, up to a maximum of 4% of eligible pay, up to the Code limit of $265,000. The maximum Company Match for 2016 was limited to $10,600. The Company Match is made at the discretion of the Plan Sponsor.
The 2016 Company Match contributions were invested according to each participant’s investment elections on file or in a default fund or funds, as selected by the Plan Administrator. The 2016 Company Match was $207,954,718, of which $5,364,834 was covered by forfeitures held by the trust account. The contribution was recorded as Employer contributions receivable at December 31, 2016 and paid in cash by the Company to the Plan in January 2017. The 2015 Company Match was $211,617,672 of which $4,525,082 was covered by forfeitures held by the trust account. The contribution was recorded as Employer contributions receivable at December 31, 2015 and paid in cash by the Company to the Plan in January 2016.
Fixed Contribution: Eligible employees with annualized base pay and eligible annual pay of $100,000 or less and who are not employed as Financial Advisors, Producing Assistant Branch Managers, Producing Branch Managers, or Producing Sales Managers (or equivalent title), Advisory Directors or Senior Advisors (or equivalent title) at December 31 and who are not Saxon employees of Morgan Stanley’s U.S. Residential Mortgage Business receive a Fixed Contribution of 2% of eligible pay regardless of whether they contribute to the Plan or receive a Company Match. The 2016 Fixed Contribution of $18,236,393 was recorded as Employer contributions receivable at December 31, 2016 and paid in cash by the Company in January 2017. The 2015 Fixed Contribution of $18,179,321 was recorded as Employer contributions receivable at December 31, 2015 and paid in cash by the Company in January 2016.
Citi Pension Transition Contributions: To be eligible for Citi Pension Transition Contributions, employees who transferred from Citigroup to the Company or its affiliates in connection with the formation of the Company’s Wealth Management business segment must have been notified by Citigroup that their prior plan benefit opportunity qualified them for transition contributions under the Citigroup 401(k) Plan and they must have been at least age 45 with five or more years of service, including prior Citigroup service, at December 31, 2010. Citi Pension Transition Contributions may be available for up to 10 Plan Years, beginning with the 2011 Plan year, as determined by the Plan Sponsor, in its discretion.
The Citi Pension Transition Contributions are based on the one-time calculation Citigroup performed to determine the percentage of annual eligible pay for the annual transition contributions under the Citigroup 401(k) Plan. The 2016 Citi Pension Transition Contribution of $2,312,372 was recorded as
Employer contributions receivable at December 31, 2016 and paid in cash by the Company in January 2017. The 2015 Citi Pension Transition Contribution of $2,563,913 was recorded as Employer contributions receivable at December 31, 2015 and paid in cash by the Company in January 2016.
Morgan Stanley Transition Contribution: Eligible employees are those who earned a Morgan Stanley pension benefit or received a 401(k) Plan Retirement Contribution during 2010 and at December 31, 2010 were employed by a participating company and at least age 45 with five or more years of service. Eligible employees receive a Morgan Stanley Transition Contribution regardless of whether or not they contribute to the Plan. Morgan Stanley Transition Contributions may be available under the Plan for up to 10 Plan Years as determined by the Plan Sponsor in its discretion, beginning with the 2011 Plan Year.
The Morgan Stanley Transition Contribution is based on a formula generally intended to provide 80% of (1) minus (2):
1. Under the Plan provisions in effect in 2010:
The estimated value of the benefit the employee would have earned under the Morgan Stanley Employees Retirement Plan (or what the employee would have received as a Retirement Contribution in the Plan), plus
The Company Match the employee would have received had the employee contributed 6% of eligible pay to the Plan (regardless of how much the employee actually contributed).
2. Under the Plan provisions in effect during the applicable Plan year:
The maximum Company Match available under the Plan (regardless of how much the employee actually contributed), plus
The employee’s Fixed Contribution for the Plan year, if applicable.
The 2016 Morgan Stanley Transition Contribution of $26,758,671 was recorded as Employer contributions receivable at December 31, 2016 and paid in cash by the Company in January 2017. The 2015 Morgan Stanley Transition Contribution of $27,940,406 was recorded as Employer contributions receivable at December 31, 2015 and paid in cash by the Company in January 2016.
Participant Accounts — Individual accounts are maintained for each Plan participant. Each participant’s account is credited with the participant’s contributions, allocations of Company Contributions and Plan earnings, and charged with an allocation of Plan losses and administrative expenses not otherwise paid by the Plan Sponsor and reduced by the amount of any benefit payments to such participant. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s vested account.
Investments — Participants direct the investment of their contributions into various investment options offered by the Plan, which are subject to change from time to time. At December 31, 2016, the Plan offered six mutual funds, 15 commingled or collective trust funds, one employer stock fund, and 13 separately managed accounts.
The Plan is intended to meet the requirements of Section 404(c) of ERISA, with the result that participants, and no other fiduciaries, are responsible for the investment of their Plan accounts.
Employer Stock Provisions — The Morgan Stanley Stock Fund is invested primarily in “employer securities” (as defined in the Code), is designated an employee stock ownership plan to the extent provided in the Plan, and is subject to additional plan provisions, including the ability of eligible participants to elect to receive current cash dividend distributions relating to the Morgan Stanley Stock Fund.
Voting and Tender Rights — Each participant may direct a vote on shares of Company common stock in the Morgan Stanley Stock Fund that are allocated to his or her Plan account. Each participant is to be notified prior to the time that voting rights are to be exercised. Unvoted shares, including shares held in the Plan’s forfeiture account, are to be voted in the same proportion as the total actual votes cast by participants with respect to shares held in the Morgan Stanley Stock Fund for or against the matter under consideration. Similar rules apply to tender or other similar rights appurtenant to Company common stock held in the Morgan Stanley Stock Fund, except that shares for which no tender direction is given by the participant will not be tendered. If there is a tender for less than all shares or if there are more tender directions than can be satisfied, participant shares are to be tendered on a pro rata basis.
Vesting — Participants are vested immediately in their Employee Contributions plus earnings thereon. Generally, participants are vested in any Company Contributions upon the earlier of: (i) completion of three years of service, or (ii) termination of employment due to death, retirement, Release or Total and Permanent Disability, each as defined by the Plan. There is no partial vesting. A participant is always fully vested in dividends paid with respect to the Morgan Stanley Stock Fund.
Other — Certain reservists and persons who provide military service are entitled to additional rights under the Plan. Additional rules apply in the event that the Plan becomes top-heavy as described in the Code.
Forfeitures — Forfeitures are used to reduce the year-end Company Contributions and pay certain Plan expenses.
Notes Receivable from Participants — Generally, a participant may borrow up to the lesser of $50,000 or 50% of his/her vested Plan account. The loan is secured by the balance in the participant’s account and bears interest at a rate determined by the Plan Administrator. Fixed, Retirement and Transition Contributions, each as defined by the Plan, are not eligible for loans. Each loan processed incurs a $75 administrative fee. Generally, principal and interest are paid ratably through payroll deductions back to the individual participant’s account. A participant may only have one outstanding loan at a time. Loans become due on termination of employment, except in the case of Release, in which case a participant may continue repayments for up to 12 months.
Domestic Relations Orders — Generally, participants who submit a domestic relations order for qualification incur a $750 qualification fee which is paid from the participant’s and alternate payee’s accounts.
Payment of Benefits — Participants may elect to receive all or a portion of their vested account balance following termination of employment.
Participants may withdraw any vested amount allocated to their accounts while in service after attaining age 59-1/2. In the event of a hardship (as defined in the Plan), participants regardless of age may withdraw their vested Employee and Company Contributions to the extent permitted by the Plan. Voluntary Employee Contributions made before 1984 and after-tax Employee Contributions made after 1983 also may be withdrawn in service without regard to the participant’s age, subject to Plan terms.
Payments are made in cash and/or in-kind in shares of Morgan Stanley stock at the direction of the participant. Non-hardship withdrawals are limited to eight per year.
A participant may elect to receive his or her vested interest in the Morgan Stanley Stock Fund in kind. Shares are recorded electronically in book entry form on the records of the Company’s transfer agent, Computershare, via its Direct Registration System service.
Plan Termination — Although it has not expressed any intent to do so, the Plan Sponsor has the right under the Plan to terminate the Plan subject to the provisions of ERISA. In such event, participants become fully vested in any Company Contributions to the extent required by the Code.
| 2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
Basis of Accounting — The Plan’s financial statements have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America.
Use of Estimates — The preparation of financial statements requires Plan management to make estimates and assumptions regarding the valuation of certain financial instruments that affect the reported amounts of net assets available for benefits and changes therein. Actual results could differ from the estimates and assumptions used.
Administrative Expenses — Administrative expenses of the Plan are paid by the Plan, unless paid by the Plan Sponsor, as provided in the Plan document. The Plan Sponsor is under no obligation to pay the Plan’s administrative expenses.
Payment of Benefits — Benefit payments to participants are recorded upon distribution. Amounts allocated to participants who elected to withdraw from the Plan during the years ended December 31, 2016 and 2015 generally were paid prior to the respective year end. Amounts requested in the plan year but paid subsequent to the plan year were not significant.
Risks and Uncertainties — The Plan utilizes various investment options, including derivative instruments. Investments, in general, are exposed to various risks, such as interest rate, market liquidity and credit risks, as well as overall market volatility. Due to the level of risk associated with certain investments and the sensitivity of certain fair value estimates to changes in valuation assumptions, it is reasonably possible that changes in value of investments will occur in the near term and that such changes could materially affect participants’ account balances and the amounts reported in the financial statements.
Investment Valuation and Income Recognition — Purchases and sales of securities are recorded on a trade-date basis. Interest income is recorded on an accrual basis. The cost of Plan investments is based on the average cost method for individual securities. Dividends are recorded on the ex-dividend date. Realized and unrealized gains and losses on the investments are reflected in Net investment income—Net appreciation in fair value of investments, and include the Plan’s gains and losses on investments bought and sold as well as held during the year. Management fees and operating expenses charged to each of the investment options under the Plan are deducted from income earned and are not separately reflected in the Statement of changes in net assets available for benefits. Consequently, management fees and operating expenses are reflected as a reduction of investment return for such investments.
The Plan’s investments and derivative instruments are measured at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date (see Note 6).
In determining fair value, the Plan uses various valuation techniques and establishes a hierarchy for inputs used in measuring fair value that maximizes the use of relevant observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the asset or liability that were developed based on market data obtained from sources independent of the Plan. Unobservable inputs are inputs that reflect assumptions the Plan believes other market participants would use in pricing the asset or liability that were developed based on the best information available in the circumstances. The hierarchy is broken down into three levels based on the observability of inputs as follows:
Level 1 — Valuations based on quoted prices in active markets for identical assets or liabilities that the Plan has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 instruments. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these products does not entail a significant degree of judgment.
Level 2 — Valuations based on one or more quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3 — Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
The availability of observable inputs can vary from product to product and is affected by a wide variety of factors, including, for example, the type of product, whether the product is new and not yet established in the marketplace, the liquidity of markets and other characteristics particular to the product. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the Plan in determining fair value is greatest for instruments categorized in Level 3 of the fair value hierarchy.
The Plan considers prices and inputs that are current at the measurement date, including during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition could cause an instrument to be reclassified from Level 1 to Level 2 or Level 2 to Level 3 of the fair value hierarchy.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level of the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
For assets and liabilities that are transferred between Levels in the fair value hierarchy during the period, fair values are ascribed as if the assets or liabilities had been transferred at the beginning of the period.
Notes Receivable from Participants — Notes receivable from participants are measured at their unpaid principal balance. Interest is repaid monthly and any delinquent interest payments at December 31, 2016 and 2015 were not significant. Delinquent participant loans are recorded as distributions based on the terms of the Plan document.
| 3. | DERIVATIVE INSTRUMENTS AND REPURCHASE AGREEMENTS |
Derivative instruments are permitted in the Plan’s separately managed account (“Separate Account”) portfolios only to the extent that they comply with all of the Plan’s policy guidelines, and are consistent
with the Plan’s risk and return objectives. In addition, derivative instruments may be used only if they are deemed to be more attractive than a similar direct investment in the underlying cash market, or if the investment vehicle is being used to manage the risk of the portfolio. Any use of derivative instruments may not result in exposure of the Plan to investment sectors that are otherwise prohibited under the investment guidelines.
The investment guidelines established with each Separate Account manager for the Plan set forth the guidelines for the commitments that an investment manager may make with respect to derivative instruments. Within the scope of the investment guidelines, the Plan may be invested in futures, options, swaps and forward foreign currency contracts.
Market risk arises from adverse changes in the fair value of these contracts.
Futures and Options — The trust account held certain futures contracts on Eurodollars in separately managed accounts at December 31, 2016 and 2015 within the PIMCO Real Return Portfolio and PIMCO Core Fixed Income Portfolio. Both written and purchased options were held as underlying investments. When the investment manager purchases or writes an option, an amount equal to the premium received or paid by the Plan is recorded as an asset or liability and is subsequently adjusted to the current market value of the option written or purchased. The fair value of these investments at December 31, 2016 and 2015 was not significant and the changes in fair value are accounted for as part of Net appreciation in fair value of investments in the Statement of changes in net assets available for benefits.
Swaps — Under the investment managers’ standard International Swap and Derivatives Association agreements, counterparty risk is limited by provisions which allow for the mutual exchange of collateral should a swap’s market value exceed $250,000. Further, the investment managers are instructed to restrict trading to only those counterparties with the largest capitalization and highest credit ratings in the industry. Investment manager policy is to execute swaps only with counterparties whose credit rating is A-/A3 or better, unless otherwise approved by the Plan. At December 31, 2016 and 2015, the investment assets held by the Plan included positions in several interest rate swaps, where fixed rates were paid to counterparties in exchange for floating rates, and credit default swaps. These assets were held in Separate Accounts at December 31, 2016 within the PIMCO Core Fixed Income Portfolio, PIMCO Real Return Portfolio, BlueBay Emerging Market Select Debt Fund and PIMCO Low Duration Fund and at December 31, 2015 within the PIMCO Core Fixed Income Portfolio, PIMCO Real Return Portfolio and BlueBay Emerging Market Select Debt Fund. The Plan also held in Separate Accounts several positions in inflation swaps at December 31, 2016 within the PIMCO Real Return Portfolio and PIMCO Core Fixed Income Portfolio and at December 31, 2015 within the PIMCO Real Return Portfolio. The fair value of these investments at December 31, 2016 and 2015 was not significant and the changes in fair value are accounted for as part of Net appreciation in fair value of investments in the Statement of changes in net assets available for benefits.
Forward Foreign Currency Contracts — The Plan may enter into forward foreign currency contracts in order to hedge certain foreign currency denominated investments. Forward foreign currency commitments are generally entered into with counterparties of high credit quality; therefore, the risk of nonperformance by the counterparties is considered negligible. Additionally, the Plan’s investment guidelines require that the forward foreign currency contracts be restricted in their application and used for economic hedging purposes. The Plan held positions in forward foreign currency contracts in Separate Accounts at December 31, 2016 in the BlueBay Emerging Market Select Debt Fund, PIMCO Real Return Portfolio, Fidelity Institutional Asset Management Select International Small Growth Fund and the PIMCO Low Duration Fund and at December 31, 2015 in the BlueBay Emerging Market Select Debt, PIMCO Real Return Portfolio and the Artisan International Growth Fund. The fair value of these
investments at December 31, 2016 and 2015 was not significant and the changes in fair value are accounted for as part of Net appreciation in fair value of investments in the Statement of changes in net assets available for benefits.
Securities sold under agreements to repurchase (“repurchase agreements”) — The investment manager, PIMCO, entered into several repurchase agreements. The fair value of these investments at December 31, 2016 was not significant and the changes in fair value are accounted for as part of Net appreciation in fair value of investments in the Statement of changes in net assets available for benefits. There were no repurchase agreements at December 31, 2015.
| 4. | EXEMPT PARTY-IN-INTEREST TRANSACTIONS |
There were 35 and 34 investment options, respectively, available in the Plan at December 31, 2016 and 2015, of which four and six, respectively were managed by Morgan Stanley Investment Management, 30 and 27, respectively, were managed by third parties and one of which was an employer stock fund (the Morgan Stanley Stock Fund). All party-in-interest investment options are in the Morgan Stanley Stock Fund, Northern Trust Short-Term Investment Fund, the funds managed by Morgan Stanley Investment Management, an affiliate of the Plan Sponsor, and funds issued by PIMCO, Blackrock, Systematic and BNY Mellon. The Systematic and BNY Mellon investment options were removed in 2016.
At December 31, 2016 and 2015, the Plan held 41,179,042 shares and 45,917,472 shares, respectively, of Morgan Stanley common stock with a fair value of $1,739,814,526 and $1,460,634,784, respectively, and had net realized gains of $41,802,324 during 2016. The Plan earned dividend income of $32,130,018 on Morgan Stanley common stock for the year ended December 31, 2016. Eligible participants have the opportunity to elect to receive current cash payment of the dividends paid on the Morgan Stanley Stock Fund held within the Plan to the extent provided in the Plan.
At December 31, 2016 and 2015, the Plan held investments in Registered Investment Companies issued by Morgan Stanley Investment Management with a fair value of $1,301,837,225 and $1,797,994,369, respectively, and had a net realized loss of $181,192,700 and generated dividend and interest income of $47,262,757 during 2016.
Certain officers and employees of the Plan Sponsor (who may also be participants in the Plan) perform administrative services related to the operation, record keeping and financial reporting of the Plan. The Plan Sponsor pays these salaries and other administrative expenses on behalf of the Plan. Certain fees, including fees for the investment management services, to the extent not paid by the Plan Sponsor, are paid by the Plan. All direct and indirect fees paid by the Plan are considered party-in-interest transactions.
At December 31, 2016 and 2015, the Plan held notes receivable from participants for participant loans of $97,737,084 and $98,791,764, respectively, which are considered party-in-interest transactions.
| 5. | FEDERAL INCOME TAX STATUS |
The Internal Revenue Service determined and informed the Plan Sponsor by a letter dated February 21, 2014, that the Plan and its related trust account continue to be designed in accordance with the applicable provisions of the Code. The Plan has been amended since receiving this letter, however, the Plan Sponsor and the Plan Administrator believe the Plan is currently designed and operated in compliance with the applicable requirements of the Code. The Plan Sponsor submitted an application for an updated favorable determination letter from the Internal Revenue Service on January 31, 2017.
The Plan Sponsor has analyzed the tax positions taken by the Plan, and has concluded that at December 31, 2016 and 2015, there are no uncertain tax positions taken by the Plan that would require recognition of a liability (or asset) or disclosure in the financial statements. The Plan is subject to routine audits by taxing jurisdictions; however, there are currently no audits of the Plan for any tax periods in progress. The Plan Sponsor believes the Plan is no longer subject to income tax examinations for years prior to 2012.
| 6. | FAIR VALUE MEASUREMENTS |
The following descriptions of the valuation methods and assumptions used by the Plan to determine the fair values of investments apply to investments held directly by the Plan.
Registered Investment Companies (“RIC’s”) – Mutual funds are registered with the Securities and Exchange Commission (“SEC”) and are intended to meet the requirements of the Investment Company Act of 1940 with respect to income distribution, fee structure, and diversification of assets. Mutual funds are generally marked to quoted prices or net asset value (“NAV”) and are categorized in Level 1 of the fair value hierarchy if based upon prices which are observable in an active market. The PIMCO Foreign Bond (Unhedged) fund requires the Trustee to calculate the fair value since the fund has a daily interest rate factor that pays a monthly dividend and therefore the fund is categorized as Level 2 of the fair value hierarchy. With the exception of the BlackRock Liquidity Funds - FedFund Institutional Portfolio, which was removed as an investment option in 2016 and had no restrictions on sales, the Plan generally prohibits the sale of these investment options within 30 days of a purchase into that investment option.
Separately Managed Accounts – The Plan holds investments in the Morgan Stanley Stock Fund (the “Fund”) holding Morgan Stanley common stock and containing a short-term investment fund to facilitate participant transactions in to and out of the Fund. There are no unfunded commitments and no restricted redemption notice periods. The Company has specific rules that govern employee transactions in Morgan Stanley stock. Employees may transact in Morgan Stanley stock (including the Fund) only during a window period. Shorter window periods and prior approval requirements apply to those employees deemed Access Persons (as defined in the Company’s employee trading policy) by the Company. Access Persons who are members of the Company’s Management or Operating Committees are prohibited from selling the Fund within six months of a purchase.
The remaining Separate Accounts are professionally managed portfolios held by the Plan. The participants share in the appreciation and depreciation in proportion to their contribution to the Separate Account. Separate Accounts are administered and supervised by investment managers who decide how to invest funds contributed by investors, subject to written investment guidelines. At December 31, 2016 and 2015, the Plan’s Separate Accounts consisted of the BlueBay Emerging Market Select Debt Fund, the T. Rowe Price U.S. Large-Cap Value Fund, the PIMCO Core Fixed Income Fund, the PIMCO Real Return Fund, the PIMCO Low Duration Fund, the Shenkman Capital High Yield Bond Fund, the Fidelity Institutional Asset Management Select International Small Cap Fund and the Artisan International Growth Fund. The PIMCO Low Duration Fund transitioned to a Separate Account in 2016
from a RIC in 2015. The Fidelity Institutional Asset Management Select International Small Cap Fund was formerly known as the Pyramis Select International Small Cap Fund in 2015. Additional investment opportunities available at December 31, 2016 were the BlackRock Government Short Term Investment Fund, the Thompson, Siegel & Walmsley Mid Cap Value Fund, the William Blair Small Cap Value Fund, the Chartwell Investment Partners Mid Cap Growth Fund and the Chartwell Investment Partners Small Cap Growth Fund. Investment opportunities at December 31, 2015 no longer available are the Royce Special Equity Fund and the Systematic Mid Cap Value Fund. The Trustee is responsible for determining the Separate Accounts’ fair value. Terms of the agreements with the investment managers (“Investment Management Agreements”) for the Separate Accounts permit the termination of the Investment Management Agreements and the distribution of the Separate Accounts’ securities at fair value. There were no unfunded commitments and no restricted redemption notice periods. The Plan generally prohibits the sale of these investment options within 30 days of a purchase into that investment option.
A description of the valuation methods and assumptions applied to the major categories of the Fund and the Separate Accounts measured at fair value are as follows:
Corporate equities
Corporate equities, including Morgan Stanley common stock, are exchange-traded equity securities that are generally valued based on quoted prices from a recognized exchange. Valuation adjustments are not applied. Corporate equities are categorized in Level 1 of the fair value hierarchy. Stapled securities, consisting of two or more corporate equity securities that are contractually bound to form a single salable unit that cannot be bought or sold separately, are categorized in Level 2 of the fair value hierarchy.
Cash and cash equivalents
Cash and cash equivalents are valued at cost, which approximates fair value and are categorized in Level 1 of the fair value hierarchy.
Government securities
Government securities are valued using factors which include but are not limited to market quotations, yields, maturities, and the bond’s terms and conditions. U.S. Treasury securities, valued using quoted market prices where valuation adjustments are not applied, are categorized in Level 1 of the fair value hierarchy. Callable agency-issued debt securities are valued by benchmarking model-derived prices to quoted market prices and trade data for comparable instruments. The fair value of agency mortgage pass-through pool securities is model-driven based on spreads of a comparable to be announced security. For index linked securities, the market price is adjusted daily by the appropriate index factor. The fair value of municipal and provincial government securities is determined using recently executed transactions, market price quotations or pricing models that factor in, where applicable, interest rates, bond or CDS spreads and volatility. Callable agency-issued debt securities, agency mortgage pass-through pool securities, index linked securities, and municipal and provincial government securities are generally categorized in Level 2 of the fair value hierarchy.
Corporate debt instruments
Corporate debt instruments are composed of corporate bonds, corporate loans and asset-backed securities. Corporate bonds and corporate loans are valued using factors which include but are not limited to recently executed transactions, observable market price quotations and spreads. Asset-backed securities may be valued based on price or spread data obtained from observed transactions or independent external parties such as vendors or brokers. When position-specific external price data are not observable, the valuation may require benchmarking to similar securities. For index linked securities, the market price is adjusted daily by the appropriate index factor. Corporate debt instruments are categorized in Level 2 of the fair value hierarchy.
Derivative investments
Depending on the product and terms of the transaction, the fair value of over-the-counter (“OTC”) derivative products can be either observed or modeled using a series of techniques and model inputs from comparable benchmarks, including closed-form analytic formulas, such as the Black-Scholes option-pricing model, and simulation models or a combination thereof. Many pricing models do not entail material subjectivity and the pricing inputs are observed from actively quoted markets, as is the case for generic interest rate swaps and certain option contracts. Interest rate swaps are valued using observable inputs. Listed derivatives that are not actively traded are valued using the same approaches as those applied to OTC derivatives. Derivative investments are categorized in Level 2 of the fair value hierarchy.
Repurchase agreements
The fair value of securities sold under agreements to repurchase is computed using a standard cash flow discounting methodology. The inputs to the valuation include contractual cash flows and collateral funding spreads which are estimated using various benchmarks, interest rate yield curves and option volatilities. Repurchase agreements are categorized in Level 2 of the fair value hierarchy.
Collective Trust Funds – Each investment is administered and supervised by its respective investment managers who decides how to invest the contributed funds. The Collective Trust Funds do not have a readily determinable fair value. The fair values of participating units held in the Collective Trust Funds are valued by the investment managers at NAV’s and recent transaction prices and therefore are not required to be categorized by levels of the fair value hierarchy. If there is a fee accrual, the Trustee is responsible for determining the fair value. At December 31, 2016 and 2015, the Plan held investments in funds managed by State Street Global Advisors, BlackRock, Inc. and Northern Trust. A BNY Mellon fund offered at December 31, 2015 is no longer available. Terms of the applicable Collective Trust Fund Agreements and/or Investment Management Agreements permit the termination of the agreement and the receipt of the fund securities at fair value within 30 days. There were no unfunded commitments and no restricted redemption notice periods. Other than certain funds managed by State Street Global Advisors and BlackRock, Inc., from which the Plan does not restrict the frequency of redemptions, the Plan generally prohibits the sale of the Collective Trust Fund investment options within 30 days of a purchase into that investment option.
The following tables set forth by level within the fair value hierarchy the Plan’s investment and derivative instrument assets and liabilities at fair value at December 31, 2016 and 2015. There were no transfers of investments between levels for either year.
| | | Plan’s Investment Assets and Liabilities at Fair Value at December 31, 2016 |
| | | Quoted Prices in Active Markets for Identical Assets | | Significant Other Observable Inputs | | Significant Unobservable Inputs | | |
| | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| Investment Assets: | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Registered Investment Companies | | $ | 1,338,427,870 | | | $ | 33,715,265 | | | $ | - | | | $ | 1,372,143,135 | |
| | | | | | | | | | | | | | | | | |
| Separately Managed Accounts | | | | | | | | | | | | | | | | |
| Corporate equities | | | 3,241,103,628 | | | | 1,980,613 | | | | - | | | | 3,243,084,241 | |
| Cash and cash equivalents | | | 33,921,990 | | | | - | | | | - | | | | 33,921,990 | |
| Government securities | | | 167,859,502 | | | | 714,921,502 | | | | - | | | | 882,781,004 | |
| Corporate debt instruments | | | - | | | | 195,613,655 | | | | - | | | | 195,613,655 | |
| Derivative investments | | | - | | | | 5,939,727 | | | | - | | | | 5,939,727 | |
| Repurchase agreements | | | - | | | | 21,100,000 | | | | - | | | | 21,100,000 | |
| | | | 3,442,885,120 | | | | 939,555,497 | | | | - | | | | 4,382,440,617 | |
| | | | | | | | | | | | | | | | | |
| Collective Trust Funds (a) | | | | | | | | | | | | | | | 3,071,538,265 | |
| | | | | | | | | | | | | | | | | |
| Participant-directed investments | | | | | | | | | | | | | | $ | 8,826,122,017 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Investment Liabilities: | | | | | | | | | | | | | | | | |
| Participant-directed derivative investments | | $ | (2,555,901 | ) | | $ | (2,866,252 | ) | | $ | - | | | $ | (5,422,153 | ) |
| (a) | Certain investments that are measured at fair value using net asset value per share are not classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the participant-directed investments presented in the Statement of net assets available for benefits. |
| | | Plan’s Investment Assets and Liabilities at Fair Value at December 31, 2015 |
| | | Quoted Prices in Active Markets for Identical Assets | | Significant Other Observable Inputs | | Significant Unobservable Inputs | | |
| | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 | | Total |
| Investment Assets: | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Registered Investment Companies | | $ | 2,521,704,617 | | | $ | 31,294,547 | | | $ | - | | | $ | 2,552,999,164 | |
| | | | | | | | | | | | | | | | | |
| Separately Managed Accounts | | | | | | | | | | | | | | | | |
| Corporate equities | | | 2,513,465,218 | | | | 2,412,371 | | | | - | | | | 2,515,877,589 | |
| Cash and cash equivalents | | | 28,629,842 | | | | - | | | | - | | | | 28,629,842 | |
| Government securities | | | 153,939,016 | | | | 106,344,662 | | | | - | | | | 260,283,678 | |
| Corporate debt instruments | | | - | | | | 147,233,093 | | | | - | | | | 147,233,093 | |
| Derivative investments | | | - | | | | 3,324,703 | | | | - | | | | 3,324,703 | |
| | | | 2,696,034,076 | | | | 259,314,829 | | | | - | | | | 2,955,348,905 | |
| | | | | | | | | | | | | | | | | |
| Collective Trust Funds (a) | | | | | | | | | | | | | | | 2,267,969,650 | |
| | | | | | | | | | | | | | | | | |
| Participant-directed investments | | | | | | | | | | | | | | $ | 7,776,317,719 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Investment Liabilities: | | | | | | | | | | | | | | | | |
| Participant-directed derivative investments | | $ | (100,459 | ) | | $ | (2,603,243 | ) | | $ | - | | | $ | (2,703,702 | ) |
| (a) | Certain investments that are measured at fair value using net asset value per share are not classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the participant-directed investments presented in the Statement of net assets available for benefits. |
SUPPLEMENTAL SCHEDULE
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Registered Investment Companies | | | |
| * | MSIF | Cap Growth; 16,652,866 shares | | | $ 588,179,241 |
| * | MSIF | Emerging Mkts I Fund; 14,126,346 shares | | | 294,251,778 |
| * | MSIF | International Equity I; 17,038,950 shares | | | 249,450,224 |
| * | MSIF | Global Real Estate Portfolio; 15,795,166 shares | | | 169,955,982 |
| | Eaton Vance | Eaton Vance Global Macro Absolute Return; 4,047,638 shares | | | 36,590,645 |
| * | PIMCO | Pimco Foreign Bond Fund Instl Unhedged; 3,660,724 shares | | | 33,715,265 |
| | | | | | |
| | Corporate equities | | | | |
| | 5Th 3Rd Bancorp | 450,300 Shares of Common Stock | | | 12,144,591 |
| | 8X8 Inc | 58,790 Shares of Common Stock | | | 840,697 |
| | Aalberts Inds | 10,300 Shares of Common Stock | | | 334,826 |
| | Aareal Bank Ag Npv | 24,213 Shares of Common Stock | | | 913,390 |
| | Ablynx N.V. Npv | 27,000 Shares of Common Stock | | | 307,992 |
| | Acadia Rlty Tr | 71,341 Shares of Common Stock | | | 2,331,424 |
| | Actelion Ltd | 4,796 Shares of Common Stock | | | 1,040,506 |
| | Acxiom Corp Com | 109,920 Shares of Common Stock | | | 2,945,856 |
| | Adelaide Brighton Npv | 76,162 Shares of Common Stock | | | 299,459 |
| | Adient Plc Adient Plc Ltd | 59,582 Shares of Common Stock | | | 3,491,505 |
| | Adobe Sys Inc | 34,730 Shares of Common Stock | | | 3,575,454 |
| | Adr Alibaba Group Holding Ltd | 38,429 Shares of Common Stock | | | 3,374,450 |
| | Adr Ctrip Com Intl Ltd | 11,046 Shares of Common Stock | | | 441,840 |
| | Adr Grifols S A | 67,748 Shares of Common Stock | | | 1,088,710 |
| | Adr Gw Pharmaceuticals Plc | 6,290 Shares of Common Stock | | | 702,908 |
| | Adr Nice Ltd | 13,950 Shares of Common Stock | | | 959,202 |
| | Adr Royal Dutch Shell Plc | 183,000 Shares of Common Stock | | | 9,951,540 |
| | Adr Tenaris S A | 22,827 Shares of Common Stock | | | 815,152 |
| | Adr Total Sa | 275,100 Shares of Common Stock | | | 14,021,847 |
| | Adr Wns Hldgs Ltd | 70,920 Shares of Common Stock | | | 1,953,846 |
| | Adtran Inc | 71,437 Shares of Common Stock | | | 1,596,617 |
| | Aeon Delight Co.Ltd. Npv | 25,300 Shares of Common Stock | | | 708,231 |
| | Aeon Financial Service Co Ltd Npv | 15,200 Shares of Common Stock | | | 270,677 |
| | Aerie Pharmaceuticals Inc | 10,230 Shares of Common Stock | | | 387,206 |
| | Aes Corp | 591,400 Shares of Common Stock | | | 6,872,068 |
| | Aes Corp | 111,000 Shares of Common Stock | | | 1,289,820 |
| | Aetna Inc | 84,900 Shares of Common Stock | | | 10,528,449 |
| | Agilent Technologies Inc | 103,308 Shares of Common Stock | | | 4,706,712 |
| | Aia Group Ltd Npv | 494,400 Shares of Common Stock | | | 2,789,834 |
| | Aker Solutions Asa | 36,500 Shares of Common Stock | | | 175,425 |
| | Akzo Nobel Nv | 20,012 Shares of Common Stock | | | 1,253,584 |
| | Alaska Air Group Inc | 17,100 Shares of Common Stock | | | 1,517,283 |
| | Albioma | 10,300 Shares of Common Stock | | | 179,689 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Alder Biopharmaceuticals Inc | 27,984 Shares of Common Stock | | | $ 582,067 |
| | Alexion Pharmaceuticals Inc | 7,085 Shares of Common Stock | | | 866,850 |
| | Alleghany Corp | 3,400 Shares of Common Stock | | | 2,067,608 |
| | Allegion Plc | 2,029 Shares of Common Stock | | | 129,856 |
| | Alliant Energy Corp | 36,300 Shares of Common Stock | | | 1,375,407 |
| | Allianz Se Npv | 26,201 Shares of Common Stock | | | 4,338,774 |
| | Allstate Corp | 21,100 Shares of Common Stock | | | 1,563,932 |
| | Almost Family Inc | 8,840 Shares of Common Stock | | | 389,844 |
| | Alten Npv | 22,100 Shares of Common Stock | | | 1,555,241 |
| | Amazon Com Inc Com | 1,785 Shares of Common Stock | | | 1,338,518 |
| | Amc Networks Inc | 43,200 Shares of Common Stock | | | 2,261,088 |
| | Amdocs | 15,500 Shares of Common Stock | | | 902,875 |
| | Amedisys Inc | 19,820 Shares of Common Stock | | | 844,927 |
| | Amer Sports Corp Ser'A'Npv | 32,200 Shares of Common Stock | | | 858,583 |
| | American Assets Tr Inc | 54,964 Shares of Common Stock | | | 2,367,849 |
| | American Campus Cmntys Inc | 40,009 Shares of Common Stock | | | 1,991,248 |
| | American Eagle Outfitters Inc | 67,968 Shares of Common Stock | | | 1,031,075 |
| | American Express | 128,900 Shares of Common Stock | | | 9,548,912 |
| | Ameriprise Finl Inc | 88,000 Shares of Common Stock | | | 9,762,720 |
| | Amerisourcebergen Corp | 32,100 Shares of Common Stock | | | 2,509,899 |
| | Amgen Inc | 11,444 Shares of Common Stock | | | 1,673,227 |
| | Amplifon | 21,500 Shares of Common Stock | | | 205,228 |
| | Analogic Corp | 17,469 Shares of Common Stock | | | 1,449,054 |
| | Annaly Cap Mgmt Inc | 286,900 Shares of Common Stock | | | 2,860,393 |
| | Antero Res Corp | 64,800 Shares of Common Stock | | | 1,532,520 |
| | Aon Plc | 31,541 Shares of Common Stock | | | 3,517,768 |
| | Apache Corp | 115,100 Shares of Common Stock | | | 7,305,397 |
| | Apogee Enterprises Inc | 9,745 Shares of Common Stock | | | 521,942 |
| | Apple Inc | 68,000 Shares of Common Stock | | | 7,875,760 |
| | Applied Materials Inc | 213,125 Shares of Common Stock | | | 6,877,544 |
| | Arcadis Nv | 40,900 Shares of Common Stock | | | 575,047 |
| | Archrock Inc | 133,482 Shares of Common Stock | | | 1,761,962 |
| | Arkema | 8,368 Shares of Common Stock | | | 820,302 |
| | Arris International Ltd | 58,500 Shares of Common Stock | | | 1,762,605 |
| | As One Corporation Npv | 11,300 Shares of Common Stock | | | 471,338 |
| | Ashmore Group | 97,400 Shares of Common Stock | | | 340,236 |
| | Asml Holding Nv | 10,100 Shares of Common Stock | | | 1,136,140 |
| | Assic Generali Spa | 117,173 Shares of Common Stock | | | 1,745,066 |
| | Assured Guaranty Ltd | 307,846 Shares of Common Stock | | | 11,627,343 |
| | Atkore Intl Group Inc | 39,115 Shares of Common Stock | | | 935,240 |
| | Atlantia S.P.A | 46,562 Shares of Common Stock | | | 1,093,217 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Atos Se | 2,796 Shares of Common Stock | | | $ 295,645 |
| | Atresmedia Corp | 69,000 Shares of Common Stock | | | 756,161 |
| | Avnet Inc | 53,575 Shares of Common Stock | | | 2,550,706 |
| | Axa | 79,491 Shares of Common Stock | | | 2,010,977 |
| | Azbil Corp Npv | 19,600 Shares of Common Stock | | | 552,870 |
| | B & M European Value Retail Sa | 183,850 Shares of Common Stock | | | 631,544 |
| | Balfour Beatty | 92,600 Shares of Common Stock | | | 307,679 |
| | Ball Corp | 39,296 Shares of Common Stock | | | 2,949,951 |
| | Baloise Holding Ag | 3,690 Shares of Common Stock | | | 465,811 |
| | Bank New York Mellon Corp | 283,700 Shares of Common Stock | | | 13,441,706 |
| | Bank Of America Corp | 330,800 Shares of Common Stock | | | 7,310,680 |
| | Bank Of The Ozarks Inc | 93,846 Shares of Common Stock | | | 4,935,361 |
| | Bank Rakyat Indonesia Perser | 341,900 Shares of Common Stock | | | 296,284 |
| | Bankinter Sa | 55,800 Shares of Common Stock | | | 433,173 |
| | Banner Corp | 41,787 Shares of Common Stock | | | 2,332,132 |
| | Bapcor Ltd Npv | 59,195 Shares of Common Stock | | | 253,750 |
| | Bba Aviation Plc Ord | 389,200 Shares of Common Stock | | | 1,362,432 |
| | Bed Bath & Beyond Inc \ | 37,700 Shares of Common Stock | | | 1,532,128 |
| | Befimmo Sa Npv Sicafi | 17,234 Shares of Common Stock | | | 969,955 |
| | Beiersdorf Ag | 24,056 Shares of Common Stock | | | 2,045,069 |
| | Belden Inc | 72,288 Shares of Common Stock | | | 5,404,973 |
| | Berkshire Hills Bancorp Inc | 66,507 Shares of Common Stock | | | 2,450,783 |
| | Bio Rad Labs Inc | 5,300 Shares of Common Stock | | | 966,084 |
| | Biomarin Pharmaceutical Inc | 65,075 Shares of Common Stock | | | 5,390,813 |
| | Block H & R Inc | 71,300 Shares of Common Stock | | | 1,639,187 |
| | Bluebird Bio Inc | 3,995 Shares of Common Stock | | | 246,492 |
| | Boeing Co | 66,300 Shares of Common Stock | | | 10,321,584 |
| | Booz Allen Hamilton Hldg Corp | 66,235 Shares of Common Stock | | | 2,389,096 |
| | Boston Private Finl Hldgs Inc | 116,535 Shares of Common Stock | | | 1,928,654 |
| | Bper Banca | 43,400 Shares of Common Stock | | | 231,627 |
| | Bqe Cant Vaudoise | 860 Shares of Common Stock | | | 545,777 |
| | Brady Corp | 52,151 Shares of Common Stock | | | 1,958,270 |
| | Bridgestone Corp Npv | 26,300 Shares of Common Stock | | | 950,214 |
| | British American Tobacco | 12,125 Shares of Common Stock | | | 692,405 |
| | Britvic | 87,002 Shares of Common Stock | | | 609,548 |
| | Brooks Automation Inc | 27,245 Shares of Common Stock | | | 465,072 |
| | Bruker Corp | 22,950 Shares of Common Stock | | | 486,081 |
| | Brunswick Corp | 132,927 Shares of Common Stock | | | 7,249,838 |
| | Buffalo Wild Wings Inc | 3,650 Shares of Common Stock | | | 563,560 |
| | Bunge Ltd | 87,000 Shares of Common Stock | | | 6,284,880 |
| | Burlington Stores Inc | 58,425 Shares of Common Stock | | | 4,951,519 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | CA Inc | 24,500 Shares of Common Stock | | | $ 778,365 |
| | Cairn Homes Plc | 207,235 Shares of Common Stock | | | 295,085 |
| | Calbee Inc | 26,000 Shares of Common Stock | | | 815,879 |
| | Callidus Software Inc | 63,345 Shares of Common Stock | | | 1,064,196 |
| | Canadian Pac Ry Ltd | 42,700 Shares of Common Stock | | | 6,096,279 |
| | Canadian Pac Ry Ltd | 27,341 Shares of Common Stock | | | 3,903,475 |
| | Capcom Co Ltd Npv | 32,100 Shares of Common Stock | | | 756,848 |
| | Cardinal Hlth Inc | 31,100 Shares of Common Stock | | | 2,238,267 |
| | Cardtronics Plc Cardtronics Plc | 43,060 Shares of Common Stock | | | 2,349,784 |
| | Care Cap Pptys Inc | 45,314 Shares of Common Stock | | | 1,132,850 |
| | Carnival Corp | 121,800 Shares of Common Stock | | | 6,340,908 |
| | Carpenter Technology Corp | 37,858 Shares of Common Stock | | | 1,369,324 |
| | Caseys Gen Stores Inc | 8,400 Shares of Common Stock | | | 998,592 |
| | Castellum Ab Npv | 79,650 Shares of Common Stock | | | 1,095,071 |
| | Cavco Inds Inc | 15,605 Shares of Common Stock | | | 1,558,159 |
| | Cavium Inc | 96,233 Shares of Common Stock | | | 6,008,788 |
| | Cbre Group Inc | 72,938 Shares of Common Stock | | | 2,296,818 |
| | Cdn Nat Res Ltd | 176,300 Shares of Common Stock | | | 5,620,444 |
| | Centene Corp | 52,277 Shares of Common Stock | | | 2,954,173 |
| | Challenger Ltd Npv | 87,631 Shares of Common Stock | | | 713,219 |
| | Charles Riv Laboratories Intl Inc | 48,411 Shares of Common Stock | | | 3,688,434 |
| | Charter Hall Group Npv (Stapled) | 254,470 Shares of Common Stock | | | 873,401 |
| | Ches Utils Corp | 26,238 Shares of Common Stock | | | 1,756,634 |
| | Childrens Pl Inc | 23,690 Shares of Common Stock | | | 2,391,506 |
| | China Construction Bank'H'Cny1 | 170,198 Shares of Common Stock | | | 131,054 |
| | China Mobile Ltd | 104,000 Shares of Common Stock | | | 1,102,623 |
| | Churchill Downs Inc | 11,985 Shares of Common Stock | | | 1,803,143 |
| | Cigna Corporation | 21,465 Shares of Common Stock | | | 2,863,216 |
| | Circor Intl Inc | 32,550 Shares of Common Stock | | | 2,111,844 |
| | Cisco Systems Inc | 397,700 Shares of Common Stock | | | 12,018,494 |
| | Citigroup Inc | 240,900 Shares of Common Stock | | | 13,527,762 |
| | Citrix Sys Inc | 8,400 Shares of Common Stock | | | 750,204 |
| | CME Group Inc | 10,730 Shares of Common Stock | | | 1,237,706 |
| | CMS Energy Corp | 29,200 Shares of Common Stock | | | 1,215,304 |
| | CNO Finl Group Inc | 105,615 Shares of Common Stock | | | 2,022,527 |
| | Cobiz Finl Inc | 148,759 Shares of Common Stock | | | 2,512,540 |
| | Coca-Cola East Jp Npv | 53,100 Shares of Common Stock | | | 1,172,766 |
| | Coca-Cola European Partners Plc | 66,272 Shares of Common Stock | | | 2,080,941 |
| | Colucid Pharmaceuticals Inc | 21,760 Shares of Common Stock | | | 792,064 |
| | Columbia Sportswear Co | 21,802 Shares of Common Stock | | | 1,271,057 |
| | Com Hem Hldg Ab Npv | 40,700 Shares of Common Stock | | | 389,321 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Comcast Corp | 172,738 Shares of Common Stock | | | $ 11,927,559 |
| | Commscope Hldg Co Inc | 60,140 Shares of Common Stock | | | 2,237,208 |
| | Communications Sales & Leasing Inc | 73,800 Shares of Common Stock | | | 1,875,258 |
| | Compugroup Medical Npv | 23,900 Shares of Common Stock | | | 981,746 |
| | Concho Res Inc | 10,150 Shares of Common Stock | | | 1,345,890 |
| | Conmed Corp | 47,407 Shares of Common Stock | | | 2,093,967 |
| | Constellation Brands Inc | 19,695 Shares of Common Stock | | | 3,019,440 |
| | Convatec Group Plc | 361,008 Shares of Common Stock | | | 1,043,380 |
| | Coty Inc Com | 157,438 Shares of Common Stock | | | 2,882,690 |
| | Cowen Group Inc | 34,273 Shares of Common Stock | | | 531,232 |
| | Croda International | 20,348 Shares of Common Stock | | | 803,570 |
| | Cross Ctry Healthcare Inc | 30,870 Shares of Common Stock | | | 481,881 |
| | Crown Castle Intl Corp | 17,600 Shares of Common Stock | | | 1,527,152 |
| | CSRA Inc | 80,286 Shares of Common Stock | | | 2,556,306 |
| | Cts Eventim Ag & C Npv | 14,176 Shares of Common Stock | | | 447,816 |
| | Cummins Inc | 37,600 Shares of Common Stock | | | 5,138,792 |
| | Curtiss Wright Corp | 21,287 Shares of Common Stock | | | 2,093,789 |
| | Cvb Finl Corp | 78,586 Shares of Common Stock | | | 1,801,977 |
| | Cyrusone Inc | 7,185 Shares of Common Stock | | | 321,385 |
| | Dah Sing Financial Npv | 70,800 Shares of Common Stock | | | 478,961 |
| | Daiichikosho Co Npv | 20,600 Shares of Common Stock | | | 815,981 |
| | Dairy Crest Group | 104,173 Shares of Common Stock | | | 797,429 |
| | Daiwa Office Investment Corp | 105 Shares of Common Stock | | | 531,144 |
| | Dana Inc | 121,063 Shares of Common Stock | | | 2,297,776 |
| | Danaher Corp | 8,780 Shares of Common Stock | | | 683,435 |
| | Darling Ingredients Inc | 128,834 Shares of Common Stock | | | 1,663,247 |
| | Dave & Busters Entmt Inc | 36,309 Shares of Common Stock | | | 2,044,197 |
| | Dbv Technologies Sa | 6,200 Shares of Common Stock | | | 433,892 |
| | Dcc Ord | 2,900 Shares of Common Stock | | | 216,436 |
| | De Longhi | 26,900 Shares of Common Stock | | | 640,657 |
| | Dell Technologies Inc | 36,400 Shares of Common Stock | | | 2,000,908 |
| | Delta Air Lines Inc | 145,226 Shares of Common Stock | | | 7,143,667 |
| | Dentsply Sirona Inc | 35,200 Shares of Common Stock | | | 2,032,096 |
| | Deutsche Boerse Ag Npv | 56,358 Shares of Common Stock | | | 4,609,257 |
| | Deutsche Post Ag Npv | 43,298 Shares of Common Stock | | | 1,426,458 |
| | Deutz Ag Npv | 40,700 Shares of Common Stock | | | 229,452 |
| | Diamondback Energy Inc | 40,301 Shares of Common Stock | | | 4,072,819 |
| | Dicks Sporting Goods Inc | 30,050 Shares of Common Stock | | | 1,595,655 |
| | Discovery Communications Inc | 53,900 Shares of Common Stock | | | 1,443,442 |
| | Dish Network Corp | 8,500 Shares of Common Stock | | | 492,405 |
| | Dowa Holdings Co Ltd | 111,000 Shares of Common Stock | | | 850,808 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Du Pont E I De Nemours & Co | 114,500 Shares of Common Stock | | | $ 8,404,300 |
| | Dufry Ag | 8,745 Shares of Common Stock | | | 1,092,749 |
| | Eagle Pharmaceuticals Inc | 12,863 Shares of Common Stock | | | 1,020,550 |
| | Echostar Corporation | 24,800 Shares of Common Stock | | | 1,274,472 |
| | Education Rlty Tr Inc | 56,320 Shares of Common Stock | | | 2,382,336 |
| | Edwards Lifesciences Corp | 20,365 Shares of Common Stock | | | 1,908,201 |
| | Electr Arts | 45,894 Shares of Common Stock | | | 3,614,611 |
| | Electronics For Imaging Inc | 132,787 Shares of Common Stock | | | 5,824,038 |
| | Elementis | 143,500 Shares of Common Stock | | | 491,874 |
| | Elringklinger Ag Npv | 9,300 Shares of Common Stock | | | 155,721 |
| | Emcor Group Inc | 38,818 Shares of Common Stock | | | 2,746,762 |
| | Entergy Corp | 46,154 Shares of Common Stock | | | 3,390,934 |
| | Epr Pptys | 20,691 Shares of Common Stock | | | 1,484,993 |
| | Eqt Corp | 57,540 Shares of Common Stock | | | 3,763,116 |
| | Equinix Inc | 4,875 Shares of Common Stock | | | 1,742,374 |
| | Equity Comwlth | 45,356 Shares of Common Stock | | | 1,371,565 |
| | Ethan Allen Interiors Inc | 43,560 Shares of Common Stock | | | 1,605,186 |
| | Euler Hermes Group Npv | 7,500 Shares of Common Stock | | | 660,537 |
| | Eurocommercial | 12,841 Shares of Common Stock | | | 495,509 |
| | Euronav Npv | 33,000 Shares of Common Stock | | | 263,800 |
| | Evercore Partners Inc | 84,877 Shares of Common Stock | | | 5,831,050 |
| | Exelon Corp | 295,200 Shares of Common Stock | | | 10,476,648 |
| | Exterran Corp | 42,179 Shares of Common Stock | | | 1,008,078 |
| | Exxon Mobil Corp | 165,400 Shares of Common Stock | | | 14,929,004 |
| | Fairfax Finl Hldgs Ltd | 3,200 Shares of Common Stock | | | 1,557,440 |
| | Fidelity Natl Information Svcs Inc | 114,675 Shares of Common Stock | | | 5,422,977 |
| | Fidessa Group | 13,000 Shares of Common Stock | | | 367,692 |
| | Fiesta Restaurant Group Inc | 29,290 Shares of Common Stock | | | 874,307 |
| | Fila Korea Ltd | 3,617 Shares of Common Stock | | | 211,126 |
| | Finecobank Spa | 57,188 Shares of Common Stock | | | 321,500 |
| | First Amern Finl Corp | 51,215 Shares of Common Stock | | | 1,876,005 |
| | First Bancorp P R Com | 777,021 Shares of Common Stock | | | 5,136,109 |
| | First Data Corp | 143,515 Shares of Common Stock | | | 2,036,478 |
| | First Solar Inc | 35,100 Shares of Common Stock | | | 1,126,359 |
| | Firstenergy Corp | 237,822 Shares of Common Stock | | | 7,365,347 |
| | Five Below Inc | 19,697 Shares of Common Stock | | | 787,092 |
| | Formfactor Inc | 60,080 Shares of Common Stock | | | 672,896 |
| | Fortinet Inc | 19,905 Shares of Common Stock | | | 599,539 |
| | Fortune R/Est Inv Npv | 283,000 Shares of Common Stock | | | 325,227 |
| | Fossil Group Inc | 40,800 Shares of Common Stock | | | 1,055,088 |
| | Fp Corp Npv | 23,300 Shares of Common Stock | | | 1,070,759 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Francescas Hldgs Corp | 36,125 Shares of Common Stock | | | $ 651,334 |
| | Frutarom Industries | 2,000 Shares of Common Stock | | | 102,426 |
| | Fti Consulting Inc | 45,161 Shares of Common Stock | | | 2,035,858 |
| | Fuchs Petrolub Se | 18,000 Shares of Common Stock | | | 757,142 |
| | Gam Holding Ltd | 40,871 Shares of Common Stock | | | 474,519 |
| | Gaming & Leisure Pptys Inc | 17,400 Shares of Common Stock | | | 532,788 |
| | Gca Corporation Npv | 58,500 Shares of Common Stock | | | 412,286 |
| | Gem Diamonds | 88,800 Shares of Common Stock | | | 120,698 |
| | Gen Mtrs Co | 96,700 Shares of Common Stock | | | 3,369,028 |
| | General Electric Co | 495,763 Shares of Common Stock | | | 15,666,111 |
| | Genesco Inc | 25,313 Shares of Common Stock | | | 1,571,937 |
| | Gfk Se Npv | 200 Shares of Common Stock | | | 9,152 |
| | Gilead Sciences Inc | 52,300 Shares of Common Stock | | | 3,745,203 |
| | Glacier Bancorp Inc | 81,740 Shares of Common Stock | | | 2,961,440 |
| | Global Pmts Inc | 53,510 Shares of Common Stock | | | 3,714,129 |
| | Gmo Internet Inc Npv | 39,600 Shares of Common Stock | | | 507,244 |
| | Gn Store Nord | 16,200 Shares of Common Stock | | | 336,200 |
| | Goldcrest Co Ltd Npv | 10,600 Shares of Common Stock | | | 191,124 |
| | Grand Canyon Ed Inc | 17,380 Shares of Common Stock | | | 1,015,861 |
| | Grand City Propert Npv | 22,969 Shares of Common Stock | | | 418,877 |
| | Grifols Sa | 35,637 Shares of Common Stock | | | 709,664 |
| | H & E Equip Svcs Inc | 137,254 Shares of Common Stock | | | 3,191,156 |
| | Hamakyorex Co Ltd Npv | 8,000 Shares of Common Stock | | | 148,978 |
| | Hancock Hldg Co | 64,604 Shares of Common Stock | | | 2,784,432 |
| | Hanover Ins Group Inc | 25,995 Shares of Common Stock | | | 2,365,805 |
| | Haulotte Group | 21,524 Shares of Common Stock | | | 319,196 |
| | Healthsouth Corp | 53,027 Shares of Common Stock | | | 2,186,833 |
| | Heico Corp | 11,030 Shares of Common Stock | | | 850,965 |
| | Heineken Nv | 3,636 Shares of Common Stock | | | 273,287 |
| | Helix Energy Solutions Group Inc | 135,420 Shares of Common Stock | | | 1,194,404 |
| | Henkel Ag & Co Kgaa Non-Vtg Prf Npv | 14,205 Shares of Common Stock | | | 1,696,793 |
| | Hess Corp | 106,400 Shares of Common Stock | | | 6,627,656 |
| | Highwoods Pptys Inc | 34,705 Shares of Common Stock | | | 1,770,302 |
| | Hitachi Cap Corp Npv | 20,500 Shares of Common Stock | | | 505,667 |
| | Hogy Medical Co Npv | 5,900 Shares of Common Stock | | | 364,719 |
| | Hologic Inc | 150,700 Shares of Common Stock | | | 6,046,084 |
| | Home Bancshares Inc | 86,700 Shares of Common Stock | | | 2,407,659 |
| | Hsbc Holdings Plc | 137,600 Shares of Common Stock | | | 1,104,790 |
| | Hulic Company Ltd | 20,200 Shares of Common Stock | | | 179,944 |
| | Hyundai Wia Corp | 6,370 Shares of Common Stock | | | 385,006 |
| | Iberiabank Corp | 38,140 Shares of Common Stock | | | 3,194,225 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Idacorp Inc | 28,715 Shares of Common Stock | | | $ 2,312,993 |
| | Ill Tool Wks Inc | 63,500 Shares of Common Stock | | | 7,776,210 |
| | Imperial Brands Plc | 20,742 Shares of Common Stock | | | 907,937 |
| | Inc Resh Hldgs Inc | 36,530 Shares of Common Stock | | | 1,921,478 |
| | Inchcape Ord | 37,100 Shares of Common Stock | | | 321,815 |
| | Incitec Pivot Npv | 393,900 Shares of Common Stock | | | 1,026,803 |
| | Incyte Corp | 13,625 Shares of Common Stock | | | 1,366,179 |
| | Independence Group Npv | 102,989 Shares of Common Stock | | | 322,161 |
| | Informa Plc | 37,871 Shares of Common Stock | | | 318,208 |
| | Information Svcs Group Inc | 185,094 Shares of Common Stock | | | 673,742 |
| | Ing Groep N.V. | 260,859 Shares of Common Stock | | | 3,678,635 |
| | Ingenico Group | 1,809 Shares of Common Stock | | | 144,763 |
| | Inphi Corp | 55,474 Shares of Common Stock | | | 2,475,250 |
| | Integer Hldgs Corp | 55,974 Shares of Common Stock | | | 1,648,434 |
| | Intel Corp Com | 38,700 Shares of Common Stock | | | 1,403,649 |
| | Intercontinental Exchange Inc | 42,905 Shares of Common Stock | | | 2,420,700 |
| | Interface Inc | 122,493 Shares of Common Stock | | | 2,272,245 |
| | Intermed Cap Grp | 36,037 Shares of Common Stock | | | 311,704 |
| | Internet Comm Stk | 38,200 Shares of Common Stock | | | 577,741 |
| | Interpump Group | 11,640 Shares of Common Stock | | | 190,912 |
| | Intersil Corp | 69,348 Shares of Common Stock | | | 1,546,460 |
| | Intesa Sanpaolo | 699,338 Shares of Common Stock | | | 1,789,482 |
| | Intl Paper Co | 111,600 Shares of Common Stock | | | 5,921,496 |
| | Intralinks Hldgs | 133,841 Shares of Common Stock | | | 1,809,530 |
| | Intuitive Surgical Inc | 3,680 Shares of Common Stock | | | 2,333,746 |
| | Invesco Ltd | 154,900 Shares of Common Stock | | | 4,699,666 |
| | Investa Office Fd Units Npv (Stapled) | 79,636 Shares of Common Stock | | | 272,176 |
| | Ipsos | 15,700 Shares of Common Stock | | | 494,221 |
| | Iress Limited Npv | 62,647 Shares of Common Stock | | | 538,455 |
| | Iss | 14,836 Shares of Common Stock | | | 501,720 |
| | IWG Plc | 307,700 Shares of Common Stock | | | 935,315 |
| | J & J Snack Foods Corp | 19,600 Shares of Common Stock | | | 2,615,228 |
| | J2 Global Inc | 33,268 Shares of Common Stock | | | 2,721,322 |
| | James Hardie Industries Plc | 23,808 Shares of Common Stock | | | 378,749 |
| | Japan Tobacco Inc Npv | 138,777 Shares of Common Stock | | | 4,573,745 |
| | Jetblue Awys Corp | 58,900 Shares of Common Stock | | | 1,320,538 |
| | Johnson & Johnson | 114,300 Shares of Common Stock | | | 13,168,503 |
| | Johnson Ctls Intl Plc | 264,225 Shares of Common Stock | | | 10,883,428 |
| | JPMorgan Chase & Co | 302,503 Shares of Common Stock | | | 26,102,984 |
| | Jungheinrich Non-Vtg Prf Npv | 37,800 Shares of Common Stock | | | 1,086,844 |
| | Jyske Bank | 7,700 Shares of Common Stock | | | 367,767 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Kadant Inc | 30,798 Shares of Common Stock | | | $ 1,884,838 |
| | Kar Auction Svcs Inc | 54,907 Shares of Common Stock | | | 2,340,136 |
| | Kate Spade & Company | 56,520 Shares of Common Stock | | | 1,055,228 |
| | Kddi Corp Npv | 73,300 Shares of Common Stock | | | 1,859,916 |
| | Kellogg Co | 21,100 Shares of Common Stock | | | 1,555,281 |
| | Kepco Plant Service & Engineering Co | 6,370 Shares of Common Stock | | | 285,854 |
| | Kintetsu World Exp Npv | 27,800 Shares of Common Stock | | | 386,366 |
| | Kla-Tencor Corp | 13,200 Shares of Common Stock | | | 1,038,576 |
| | Kohls Corp | 91,958 Shares of Common Stock | | | 4,540,886 |
| | Korean Reinsurance | 49,564 Shares of Common Stock | | | 467,817 |
| | Kronos Worldwide Inc | 63,212 Shares of Common Stock | | | 754,751 |
| | Kudelski Sa | 26,997 Shares of Common Stock | | | 468,832 |
| | Lab Corp Amer Hldgs | 14,700 Shares of Common Stock | | | 1,887,186 |
| | Lafargeholcim Ltd | 22,971 Shares of Common Stock | | | 1,212,569 |
| | Lam Resh Corp | 13,810 Shares of Common Stock | | | 1,460,131 |
| | Las Vegas Sands Corp | 92,700 Shares of Common Stock | | | 4,951,107 |
| | Lennar Corp | 79,700 Shares of Common Stock | | | 3,421,521 |
| | Leucadia Natl Corp | 23,700 Shares of Common Stock | | | 551,025 |
| | Liberty Expedia Hldgs Inc | 32,900 Shares of Common Stock | | | 1,305,143 |
| | Liberty Global Plc | 135,229 Shares of Common Stock | | | 4,062,091 |
| | Liberty Interactive Corp Liberty | 27,700 Shares of Common Stock | | | 1,021,299 |
| | Liberty Media Corp | 65,3120 Shares of Common Stock | | | 2,052,597 |
| | Lifestyle International | 262,000 Shares of Common Stock | | | 337,927 |
| | Linde Ag Npv | 29,559 Shares of Common Stock | | | 4,866,785 |
| | Loews Corp | 199,700 Shares of Common Stock | | | 9,351,951 |
| | Logmein Inc | 32,225 Shares of Common Stock | | | 3,111,324 |
| | Lonestar Res US Inc | 125,535 Shares of Common Stock | | | 1,072,069 |
| | Lonza Group Ag | 1,469 Shares of Common Stock | | | 254,818 |
| | Lowes Cos Inc | 137,300 Shares of Common Stock | | | 9,764,776 |
| | Lydall Inc \ | 31,754 Shares of Common Stock | | | 1,963,985 |
| | Madison Square Garden Co | 9,000 Shares of Common Stock | | | 1,543,590 |
| | Magellan Health Inc | 26,028 Shares of Common Stock | | | 1,958,607 |
| | Mallinckrodt Plc | 46,825 Shares of Common Stock | | | 2,332,822 |
| | Manhattan Assocs Inc | 85,151 Shares of Common Stock | | | 4,515,557 |
| | Marathon Pete Corp | 10,500 Shares of Common Stock | | | 528,675 |
| | Markel Corp Holding Co | 500 Shares of Common Stock | | | 452,250 |
| | Marketaxess Hldgs Inc | 6,985 Shares of Common Stock | | | 1,026,236 |
| | Marsh & Mclennan Co'S Inc | 128,653 Shares of Common Stock | | | 8,695,656 |
| | Masimo Corp | 33,640 Shares of Common Stock | | | 2,267,336 |
| | Matador Res Co | 52,545 Shares of Common Stock | | | 1,353,559 |
| | Matson Inc | 43,693 Shares of Common Stock | | | 1,546,295 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Mattel Inc | 201,400 Shares of Common Stock | | | $ 5,548,570 |
| | Mednax Inc | 22,500 Shares of Common Stock | | | 1,499,850 |
| | Medtronic Plc | 214,123 Shares of Common Stock | | | 15,251,981 |
| | Meitec Corporation Npv | 23,600 Shares of Common Stock | | | 905,474 |
| | Melia Hotels Intl | 70,700 Shares of Common Stock | | | 826,245 |
| | Mercialys | 9,200 Shares of Common Stock | | | 186,748 |
| | Merck & Co Inc | 179,490 Shares of Common Stock | | | 10,566,576 |
| | Mercury Systems Inc | 40,625 Shares of Common Stock | | | 1,227,688 |
| | Meredith Corp | 34,672 Shares of Common Stock | | | 2,050,849 |
| | Metlife Inc | 266,400 Shares of Common Stock | | | 14,356,296 |
| | Mgm Growth Pptys LLC | 244,440 Shares of Common Stock | | | 6,186,776 |
| | Mgm Resorts International | 365,460 Shares of Common Stock | | | 10,536,212 |
| | Michael Kors Holdings Ltd | 29,900 Shares of Common Stock | | | 1,285,102 |
| | Micro Focus International Plc | 33,300 Shares of Common Stock | | | 896,596 |
| | Microsoft Corp | 294,961 Shares of Common Stock | | | 18,328,877 |
| | Middleby Corp | 23,450 Shares of Common Stock | | | 3,020,595 |
| | Minerals Technologies Inc | 29,805 Shares of Common Stock | | | 2,302,436 |
| | Misumi Group Inc Npv | 25,800 Shares of Common Stock | | | 425,594 |
| | Miura Co Ltd Npv | 38,800 Shares of Common Stock | | | 590,807 |
| | Mlp Ag Npv | 37,600 Shares of Common Stock | | | 165,575 |
| | Mlp Lazard Ltd | 126,636 Shares of Common Stock | | | 5,203,473 |
| | Mmc Norilsk Nickel | 24,518 Shares of Common Stock | | | 411,657 |
| | Molina Healthcare Inc | 30,638 Shares of Common Stock | | | 1,662,418 |
| | Monolithic Pwr Sys Inc | 52,924 Shares of Common Stock | | | 4,336,882 |
| * | Morgan Stanley | 41,179,042 Shares of Common Stock | | | 1,739,814,526 |
| | Msg Network Inc | 34,500 Shares of Common Stock | | | 741,750 |
| | N W Pipe Co | 66,370 Shares of Common Stock | | | 1,142,891 |
| | Nagaileben Co Npv | 26,500 Shares of Common Stock | | | 579,599 |
| | National Bk Hldgs Corp | 56,925 Shares of Common Stock | | | 1,815,338 |
| | Nestle Sa | 56,534 Shares of Common Stock | | | 4,063,373 |
| | Netapp Inc | 38,600 Shares of Common Stock | | | 1,361,422 |
| | Neurocrine Biosciences Inc | 71,784 Shares of Common Stock | | | 2,778,428 |
| | News Corp | 479,800 Shares of Common Stock | | | 5,498,508 |
| | Nextera Energy Inc Corporate Unit | 103,624 Shares of Common Stock | | | 5,075,504 |
| | Nhk Spring Co Ltd Npv | 62,000 Shares of Common Stock | | | 592,172 |
| | Nihon Parkerizing Npv | 62,800 Shares of Common Stock | | | 738,190 |
| | Nippon Telegraph & Telephone Corp Npv | 47,500 Shares of Common Stock | | | 2,000,429 |
| | Nippon Thompson Co Npv | 66,000 Shares of Common Stock | | | 279,539 |
| | Nissha Printing Co Npv | 22,600 Shares of Common Stock | | | 545,648 |
| | Nomura Holdings Npv | 221,800 Shares of Common Stock | | | 1,310,433 |
| | Norwegian Cruise Line Hldgs Ltd | 59,512 Shares of Common Stock | | | 2,531,045 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Ntt Docomo Npv | 128,508 Shares of Common Stock | | | $ 2,934,083 |
| | Nufarm Npv | 105,477 Shares of Common Stock | | | 699,603 |
| | Nuflare Technology Npv | 3,600 Shares of Common Stock | | | 219,145 |
| | Nuvasive Inc | 13,455 Shares of Common Stock | | | 906,329 |
| | Nxp Semiconductors N V | 53,077 Shares of Common Stock | | | 5,202,077 |
| | Nxstage Med Inc | 38,930 Shares of Common Stock | | | 1,020,355 |
| | O Reilly Automotive Inc | 10,715 Shares of Common Stock | | | 2,983,163 |
| | Obic Co Ltd Npv | 16,700 Shares of Common Stock | | | 731,659 |
| | Oc Oerlikon Corp | 24,910 Shares of Common Stock | | | 245,093 |
| | Occidental Petroleum Corp | 124,100 Shares of Common Stock | | | 8,839,643 |
| | Okinawa Cellular Npv | 4,800 Shares of Common Stock | | | 143,422 |
| | Okinawa Elec Power Npv | 30,300 Shares of Common Stock | | | 682,974 |
| | On Assignment Inc | 66,138 Shares of Common Stock | | | 2,920,654 |
| | Oriental Watch Hld | 274,000 Shares of Common Stock | | | 53,011 |
| | Orion Corp | 614 Shares of Common Stock | | | 332,977 |
| | Orion Corp | 16 Shares of Common Stock | | | 8,677 |
| | Osram Licht Ag Npv | 18,812 Shares of Common Stock | | | 988,625 |
| | Ottogi Corpn | 972 Shares of Common Stock | | | 532,757 |
| | Oxford Instruments | 12,800 Shares of Common Stock | | | 115,775 |
| | Pacwest Bancorp | 51,270 Shares of Common Stock | | | 2,791,139 |
| | Palo Alto Networks Inc | 15,610 Shares of Common Stock | | | 1,952,031 |
| | Panera Bread Co | 11,972 Shares of Common Stock | | | 2,455,337 |
| | Partners Group Hlg | 370 Shares of Common Stock | | | 173,742 |
| | Patterson-Uti Energy Inc | 222,365 Shares of Common Stock | | | 5,986,066 |
| | Paycom Software Inc | 12,265 Shares of Common Stock | | | 557,935 |
| | Pebblebrook Hotel Tr | 48,406 Shares of Common Stock | | | 1,440,079 |
| | Penney J.C Co Inc | 147,435 Shares of Common Stock | | | 1,225,185 |
| | Pennon Group | 30,200 Shares of Common Stock | | | 308,609 |
| | Pepsico Inc | 98,206 Shares of Common Stock | | | 10,275,294 |
| | Pernod Ricard Npv | 4,502 Shares of Common Stock | | | 488,856 |
| | Pfizer Inc | 577,960 Shares of Common Stock | | | 18,772,141 |
| | PG& E Corp | 317,300 Shares of Common Stock | | | 19,282,321 |
| | Philip Morris Intl | 133,900 Shares of Common Stock | | | 12,250,511 |
| | Phoenix Satellite | 1,320,000 Shares of Common Stock | | | 223,032 |
| | Pinnacle Entmt Inc | 398,370 Shares of Common Stock | | | 5,776,365 |
| | Pkc Group Oyj Npv | 5,000 Shares of Common Stock | | | 83,378 |
| | Playtech Plc | 65,586 Shares of Common Stock | | | 669,401 |
| | Pnm Res Inc | 59,048 Shares of Common Stock | | | 2,025,346 |
| | Polyone Corp | 48,562 Shares of Common Stock | | | 1,555,926 |
| | Popular Inc | 162,093 Shares of Common Stock | | | 7,102,915 |
| | Portland General Electric Co | 49,780 Shares of Common Stock | | | 2,156,967 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Ppdc Energy Inc | 32,896 Shares of Common Stock | | | $ 2,387,592 |
| | Ppl Corp | 96,200 Shares of Common Stock | | | 3,275,610 |
| | Procter & Gamble | 96,278 Shares of Common Stock | | | 8,095,054 |
| | Progressive Corp Oh | 56,800 Shares of Common Stock | | | 2,016,400 |
| | Proofpoint Inc | 19,700 Shares of Common Stock | | | 1,391,805 |
| | Prosegur Seguridad | 124,400 Shares of Common Stock | | | 779,393 |
| | Prosperity Bancshares Inc | 38,795 Shares of Common Stock | | | 2,784,705 |
| | Psp Swiss Property | 3,113 Shares of Common Stock | | | 269,537 |
| | PTC Inc | 125,764 Shares of Common Stock | | | 5,819,100 |
| | Pulte Group Inc | 208,175 Shares of Common Stock | | | 3,826,257 |
| | Pvh Corp | 14,630 Shares of Common Stock | | | 1,320,211 |
| | Pvtpl Dell Inc | 357,500 Shares of Common Stock | | | 4,915,625 |
| | Pz Cussons | 48,500 Shares of Common Stock | | | 200,343 |
| | Qorvo Inc | 29,775 Shares of Common Stock | | | 1,570,036 |
| | Qualcomm Inc | 137,800 Shares of Common Stock | | | 8,984,560 |
| | Radian Group Inc | 512,146 Shares of Common Stock | | | 9,208,421 |
| | Raffles Medical Npv | 506,385 Shares of Common Stock | | | 501,232 |
| | Ramirent Oyj Npv | 83,400 Shares of Common Stock | | | 650,070 |
| | Range Res Corp | 31,500 Shares of Common Stock | | | 1,082,340 |
| | Raytheon Co | 32,200 Shares of Common Stock | | | 4,572,400 |
| | Redrow | 76,800 Shares of Common Stock | | | 407,112 |
| | Renasant Corp | 59,735 Shares of Common Stock | | | 2,522,012 |
| | Rexel | 89,982 Shares of Common Stock | | | 1,483,895 |
| | Rezidor Hotel Grp Npv | 122,600 Shares of Common Stock | | | 479,085 |
| | Rice Energy Inc | 91,498 Shares of Common Stock | | | 1,953,482 |
| | Ricoh Leasing Npv | 13,900 Shares of Common Stock | | | 429,627 |
| | Rightmove | 4,800 Shares of Common Stock | | | 231,492 |
| | Rogers Comms Inc | 19,307 Shares of Common Stock | | | 745,617 |
| | Royal Caribbean Cruises | 65,446 Shares of Common Stock | | | 5,369,190 |
| | Rpc Group | 32,900 Shares of Common Stock | | | 432,953 |
| | Rpc Inc | 166,720 Shares of Common Stock | | | 3,302,723 |
| | Rsp Permian Inc | 57,426 Shares of Common Stock | | | 2,562,348 |
| | Rtl Group Npv | 5,345 Shares of Common Stock | | | 393,113 |
| | S.W. Airl Co | 142,700 Shares of Common Stock | | | 7,112,168 |
| | Saf Holland | 72,300 Shares of Common Stock | | | 1,039,784 |
| | Safeguard Scientifics Inc | 52,342 Shares of Common Stock | | | 704,000 |
| | Sage Therapeutics Inc | 15,101 Shares of Common Stock | | | 771,057 |
| | Salesforce Com Inc | 18,047 Shares of Common Stock | | | 1,235,498 |
| | Samchuly Bicycle | 35,912 Shares of Common Stock | | | 379,101 |
| | San-A Co Ltd Npv | 9,500 Shares of Common Stock | | | 461,011 |
| | San-Ai Oil Co Npv | 134,000 Shares of Common Stock | | | 961,615 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Sartorius Stedim | 11,200 Shares of Common Stock | | | $ 708,438 |
| | Sato Holdings Npv | 23,800 Shares of Common Stock | | | 477,694 |
| | Sats Ltd Npv | 206,100 Shares of Common Stock | | | 691,898 |
| | Scana Corp | 20,500 Shares of Common Stock | | | 1,502,240 |
| | Schneider Electric | 9,568 Shares of Common Stock | | | 667,172 |
| | Scor Se | 11,100 Shares of Common Stock | | | 384,365 |
| | SDL | 20,800 Shares of Common Stock | | | 113,793 |
| | Seek Limited Npv | 19,630 Shares of Common Stock | | | 211,506 |
| | Segro Plc | 90,036 Shares of Common Stock | | | 509,650 |
| | Sei Invts Co | 95,905 Shares of Common Stock | | | 4,733,871 |
| | Selective Ins Group Inc | 59,394 Shares of Common Stock | | | 2,556,912 |
| | Sensient Technologies Corp | 28,025 Shares of Common Stock | | | 2,202,205 |
| | Seobu T&D | 25,942 Shares of Common Stock | | | 395,208 |
| | Servicenow Inc | 45,855 Shares of Common Stock | | | 3,408,861 |
| | Shanks Group | 562,375 Shares of Common Stock | | | 639,307 |
| | Ship Healthcare Holdings Inc Npv | 16,000 Shares of Common Stock | | | 411,540 |
| | Sika Ag | 100 Shares of Common Stock | | | 481,330 |
| | Silgan Hldgs Inc | 30,785 Shares of Common Stock | | | 1,575,576 |
| | Simpson Mfg Inc | 32,585 Shares of Common Stock | | | 1,425,594 |
| | Six Flags Entmt Corp | 29,266 Shares of Common Stock | | | 1,754,789 |
| | SLM Corp | 366,795 Shares of Common Stock | | | 4,042,081 |
| | Sm Energy Co | 35,895 Shares of Common Stock | | | 1,237,660 |
| | Smartone Telecom | 593,000 Shares of Common Stock | | | 796,974 |
| | Sonic Corp | 18,830 Shares of Common Stock | | | 499,183 |
| | Southwest Gas Hldgs Inc | 27,839 Shares of Common Stock | | | 2,133,024 |
| | Spar Nord Bank | 44,000 Shares of Common Stock | | | 505,564 |
| | Sparebank | 33,150 Shares of Common Stock | | | 233,961 |
| | Spark Infr Group Npv Stapled | 484,540 Shares of Common Stock | | | 835,036 |
| | Spartannash Co | 67,065 Shares of Common Stock | | | 2,651,750 |
| | Spectranetics Corp | 51,290 Shares of Common Stock | | | 1,256,605 |
| | Spire Inc | 31,843 Shares of Common Stock | | | 2,055,466 |
| | Spirit Airls Inc | 33,915 Shares of Common Stock | | | 1,962,322 |
| | Ss&C Technologies Hldgs Inc | 75,050 Shares of Common Stock | | | 2,146,430 |
| | St James'S Place | 10,245 Shares of Common Stock | | | 128,365 |
| | St James'S Place | 23,200 Shares of Common Stock | | | 290,684 |
| | Standex Intl Corp | 23,754 Shares of Common Stock | | | 2,086,789 |
| | Stericycle Inc | 42,552 Shares of Common Stock | | | 3,278,206 |
| | Sterling Bancorp | 65,389 Shares of Common Stock | | | 1,530,103 |
| | Sthree | 114,900 Shares of Common Stock | | | 440,304 |
| | Sumitomo Mitsui Financial Group Npv | 28,700 Shares of Common Stock | | | 1,097,458 |
| | Sumitomo Real Est Npv | 11,900 Shares of Common Stock | | | 278,025 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Sun Hung Kai Co Npv | 471,000 Shares of Common Stock | | | $ 291,598 |
| | Sundrug Co Ltd Npv | 10,200 Shares of Common Stock | | | 707,489 |
| | Superior Energy Svcs Inc | 72,356 Shares of Common Stock | | | 1,221,369 |
| | Suruga Bank Npv | 33,700 Shares of Common Stock | | | 753,833 |
| | Svb Financial Group k | 9,811 Shares of Common Stock | | | 1,684,156 |
| | Swedbank Ag | 55,006 Shares of Common Stock | | | 1,333,886 |
| | Swedish Orphan Biovitrum | 21,600 Shares of Common Stock | | | 253,695 |
| | Synopsys Inc | 21,900 Shares of Common Stock | | | 1,289,034 |
| | Taiwan Semiconductor Mfg Co Ltd | 78,545 Shares of Common Stock | | | 2,258,169 |
| | Take-Two Interactive Software Inc | 40,151 Shares of Common Stock | | | 1,979,043 |
| | Tanger Factory Outlet Ctrs Inc | 52,745 Shares of Common Stock | | | 1,887,216 |
| | Te Connectivity Ltd | 89,400 Shares of Common Stock | | | 6,193,632 |
| | Tecan Group Ag | 5,030 Shares of Common Stock | | | 786,409 |
| | Technicolor | 61,128 Shares of Common Stock | | | 331,400 |
| | Techtronic Industr Npv | 248,000 Shares of Common Stock | | | 889,239 |
| | Tecnicas Reunidas Ord | 12,800 Shares of Common Stock | | | 526,059 |
| | Ted Baker | 8,600 Shares of Common Stock | | | 299,032 |
| | Teleflex Inc | 14,855 Shares of Common Stock | | | 2,393,883 |
| | Telenet Grp Hldg Npv | 20,616 Shares of Common Stock | | | 1,146,382 |
| | Teleperformance Societe Europeenne | 6,900 Shares of Common Stock | | | 693,572 |
| | Terreno Rlty Corp | 36,635 Shares of Common Stock | | | 1,043,731 |
| | Tesaro Inc | 6,810 Shares of Common Stock | | | 915,809 |
| | Texas Instruments Inc | 80,700 Shares of Common Stock | | | 5,888,679 |
| | Texas Roadhouse Inc | 30,164 Shares of Common Stock | | | 1,455,111 |
| | Tgr Investment Inc | 895 Shares of Common Stock | | | 404,394 |
| | Thai Beverage Plc | 274,900 Shares of Common Stock | | | 161,739 |
| | Thermo Fisher Corp | 59,600 Shares of Common Stock | | | 8,409,560 |
| | Thk Co Ltd Npv | 26,200 Shares of Common Stock | | | 580,899 |
| | Tikkurila Oyj Npv | 9,700 Shares of Common Stock | | | 192,447 |
| | T-Mobile Us Inc | 50,700 Shares of Common Stock | | | 2,915,757 |
| | Tokyo Ohka Kogyo Npv | 7,200 Shares of Common Stock | | | 243,220 |
| | Tokyo Tatemono Co Npv | 52,800 Shares of Common Stock | | | 707,561 |
| | Toll Bros Inc | 159,310 Shares of Common Stock | | | 4,938,610 |
| | Tractor Supply Co Com | 15,363 Shares of Common Stock | | | 1,164,669 |
| | Transcanada Corp | 56,142 Shares of Common Stock | | | 2,534,811 |
| | Transocean Ltd | 43,300 Shares of Common Stock | | | 638,242 |
| | Treasury Wine Esta Npv | 62,957 Shares of Common Stock | | | 486,871 |
| | Trimble Inc Com Trimble Inc | 60,875 Shares of Common Stock | | | 1,835,381 |
| | Twenty-First Centy Fox Inc | 375,900 Shares of Common Stock | | | 10,243,275 |
| | Tyson Foods Inc | 125,700 Shares of Common Stock | | | 7,753,176 |
| | Ubs Group | 96,536 Shares of Common Stock | | | 1,514,979 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Ulta Beauty Inc | 9,865 Shares of Common Stock | | | $ 2,514,983 |
| | Ultimate Software Group Inc | 22,050 Shares of Common Stock | | | 3,938,760 |
| | Umpqua Hldgs Corp | 127,305 Shares of Common Stock | | | 2,390,788 |
| | Unicredit Spa Npv | 39,118 Shares of Common Stock | | | 112,804 |
| | Unite Group | 61,800 Shares of Common Stock | | | 462,761 |
| | United Arrows Ltd Npv | 10,700 Shares of Common Stock | | | 295,859 |
| | United Internet Ag Npv | 14,248 Shares of Common Stock | | | 557,467 |
| | United Technologies Corp | 75,700 Shares of Common Stock | | | 8,298,234 |
| | United Therapeutics Corp | 9,000 Shares of Common Stock | | | 1,290,870 |
| | Unvl Display Corp | 7,865 Shares of Common Stock | | | 442,800 |
| | US Bancorp | 110,235 Shares of Common Stock | | | 5,662,772 |
| | Vail Resorts Inc | 25,759 Shares of Common Stock | | | 4,155,185 |
| | Valero Energy Corp | 7,900 Shares of Common Stock | | | 539,728 |
| | Vallourec Sa | 39,684 Shares of Common Stock | | | 274,161 |
| | Valmont Inds Inc | 13,828 Shares of Common Stock | | | 1,948,365 |
| | Vantiv Inc | 53,073 Shares of Common Stock | | | 3,164,212 |
| | VCA Inc | 66,575 Shares of Common Stock | | | 4,570,374 |
| | Verizon Communications | 144,000 Shares of Common Stock | | | 7,686,720 |
| | Vertex Pharmaceuticals Inc | 6,980 Shares of Common Stock | | | 514,217 |
| | Virgin Money Hldgs | 71,800 Shares of Common Stock | | | 268,554 |
| | Vonovia Se Npv | 45,858 Shares of Common Stock | | | 1,494,835 |
| | Vontobel Hldg Ag | 11,628 Shares of Common Stock | | | 611,518 |
| | Vulcan Materials Co | 45,600 Shares of Common Stock | | | 5,706,840 |
| | Wabco Hldgs Inc | 10,562 Shares of Common Stock | | | 1,121,156 |
| | Wageworks Inc | 20,395 Shares of Common Stock | | | 1,478,638 |
| | Wal-Mart Stores Inc | 92,900 Shares of Common Stock | | | 6,421,248 |
| | Webster Fncl Corp Waterbury Conn | 40,256 Shares of Common Stock | | | 2,185,096 |
| | Wec Energy Group Inc | 21,400 Shares of Common Stock | | | 1,255,110 |
| | Wells Fargo & Co New Com Stk | 260,404 Shares of Common Stock | | | 14,350,864 |
| | Western Alliance Bancorporation | 95,748 Shares of Common Stock | | | 4,663,885 |
| | Western Alliance Bancorporation | 62,350 Shares of Common Stock | | | 3,037,069 |
| | Western Union Co | 55,400 Shares of Common Stock | | | 1,203,288 |
| | Westn Digital Corp | 15,200 Shares of Common Stock | | | 1,032,840 |
| | Westpac Bkg Corp Npv | 53,748 Shares of Common Stock | | | 1,268,757 |
| | Whole Foods Mkt Inc | 67,300 Shares of Common Stock | | | 2,070,148 |
| | Wienerberger Ag Npv | 54,000 Shares of Common Stock | | | 939,497 |
| | Willis Towers Watson Plc | 23,425 Shares of Common Stock | | | 2,864,409 |
| | Wirecard Ag Npv | 47,974 Shares of Common Stock | | | 2,069,058 |
| | Wolseley | 27,125 Shares of Common Stock | | | 1,663,114 |
| | Wolverine World Wide Inc | 79,520 Shares of Common Stock | | | 1,745,464 |
| | Wood Group | 51,900 Shares of Common Stock | | | 561,781 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate equities (continued) | | | | |
| | Wright Medical Group | 20,455 Shares of Common Stock | | | $ 470,056 |
| | Wsfs Financial Corp | 61,700 Shares of Common Stock | | | 2,859,795 |
| | Xcel Energy Inc | 36,300 Shares of Common Stock | | | 1,477,410 |
| | Xebio Holdings Co Npv | 12,300 Shares of Common Stock | | | 190,456 |
| | Xl Group Ltd Xl Group Ltd | 246,259 Shares of Common Stock | | | 9,175,610 |
| | Yadkin Finl Corp | 72,092 Shares of Common Stock | | | 2,469,872 |
| | Yamazen Corp Npv | 48,100 Shares of Common Stock | | | 402,913 |
| | Yelp Inc | 26,110 Shares of Common Stock | | | 995,574 |
| | Yuasa Trading Co Npv | 21,800 Shares of Common Stock | | | 545,397 |
| | Zodiac Aerospace Npv | 107,917 Shares of Common Stock | | | 2,483,102 |
| | Zuken Inc Npv | 38,600 Shares of Common Stock | | | 395,813 |
| | Zumtobel Group Ag | 43,200 Shares of Common Stock | | | 774,153 |
| | | | | | |
| | Cash and cash equivalents | | | | |
| | Interest-Bearing Cash | USD deposits | | | 7,515,024 |
| | Cash | Foreign currency and collaterals | | | 26,406,966 |
| | | | | | |
| | Government securities | | | | |
| | Federal Farm Credit Banks | Disc Nt 07-11-2017 0% Disc Nts 11/07/2017 USD | | | 4,854,335 |
| | Federal Farm Credit Banks | Disc Nt 09-29-2017 0% Disc Nts 29/09/2017 USD | | | 3,717,416 |
| | FHLMC | Disc Nt 03-24-2017 Nts 24/03/17 USD10000 | | | 30,606,453 |
| | FHLMC | Disc Nt 01-25-2017 0% Disc Nts 25/01/2017 USD | | | 25,936,944 |
| | FHLMC | Disc Nt 02-17-2017 0% Bds 17/02/17 USD1000 | | | 24,872,766 |
| | FHLMC | Disc Nt 01-04-2017 0% Disc Nts 04/01/2017 USD | | | 19,799,073 |
| | FHLMC | Disc Nt 01-20-2017 0% Nts 20/01/17 USD1000 | | | 19,380,790 |
| | FHLMC | Disc Nt 01-11-2017 0% Bds 11/01/17 USD1000 | | | 18,627,630 |
| | FHLMC | Disc Nt 02-01-2017 0% Bds 01/02/17 USD1000 | | | 17,722,855 |
| | FHLMC | Disc Nt 02-22-2017 Nts 22/02/17 USD1000 | | | 15,637,881 |
| | FHLMC | Tranche 04-04-2018 | | | 14,033,152 |
| | FHLMC | Disc Nt 01-06-2017 0% Bds 06/01/17 USD100 | | | 13,144,122 |
| | FHLMC | Disc Nt 02-08-2017 Federal Home Ln Bk Cons Disc Nts | | | 12,063,925 |
| | FHLMC | Disc Nt 01-13-2017 Nts 13/01/17 USD10000 | | | 10,363,445 |
| | FHLMC | Disc Nt 02-24-2017 Nts 24/02/17 USD1000 | | | 9,552,856 |
| | FHLMC | Disc Nt 02-15-2017 0% Disc Nts 15/02/2017 USD | | | 9,204,845 |
| | FHLMC | Disc Nt 02-03-2017 0% Bds 03/02/17USD1000 | | | 9,181,041 |
| | FHLMC | Cons Bd Dtd 07/01/2016 Fltg Rate 07-06-2017 | | | 8,955,707 |
| | FHLMC | Cons Bd Dtd 05/16/2016 Fltg Rate 06-15-2017 | | | 8,534,889 |
| | FHLMC | Disc Nt 03-10-2017 0% Disc Nts 10/03/2017 USD | | | 7,991,911 |
| | FHLMC | Cons Bd Dtd 09/15/2016 Fltg Rate .742 09-15-2017 | | | 7,255,254 |
| | FHLMC | Cons Bd Dtd 04/28/2016 Fltg Rate 10-27-2017 | | | 7,198,443 |
| | FHLMC | Cons Bd Dtd 06/14/2016 Fltg Rate .777 03-14-2017 | | | 7,002,072 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Government securities (continued) | | | |
| | FHLMC | Cons Bd Dtd 11/10/2016 Fltg Rate .593 05-10-2017 | | | $ 7,000,882 |
| | FHLMC | Disc Nt 01-27-2017 Nts 27/01/17 USD1000 | | | 6,968,048 |
| | FHLMC | Disc Nt 04-19-2017 0% Disc Nts 19/04/2017 USD | | | 6,879,895 |
| | FHLMC | Disc Nt 05-10-2017 0% Disc Nts 10/05/2017 USD | | | 6,342,671 |
| | FHLMC | Disc Nt 02-10-2017 0% Disc Nts 10/02/2017 USD | | | 5,996,728 |
| | FHLMC | Disc Nt 05-16-2017 0% Bds 16/05/17USD1000 | | | 5,987,808 |
| | FHLMC | Disc Nt 03-22-2017 0% Disc Nts 22/03/2017 USD | | | 5,842,777 |
| | FHLMC | Tranche 00367 10-16-2017 | | | 5,609,610 |
| | FHLMC | Cons Bd Dtd 03/21/2016 Fltg Rate 04-05-2017 | | | 5,229,572 |
| | FHLMC | Preassign 00358 4.875 05-17-2017 | | | 5,078,505 |
| | FHLMC | Cons Bd Dtd 06/07/2016 Fltg Rate 12-07-2017 | | | 5,069,665 |
| | FHLMC | Cons Bd Dtd 07/07/2016 Fltg Rate 07-07-2017 | | | 5,005,990 |
| | FHLMC | Disc Nt 01-05-2017 0% Bds 05/01/17 USD100 | | | 4,999,592 |
| | FHLMC | Disc Nt 01-17-2017 | | | 4,998,975 |
| | FHLMC | 1 09-29-2017 | | | 4,919,763 |
| | FHLMC | Disc Nt 02-17-2017 0% Disc Nts 17/02/2017 USD | | | 4,846,633 |
| | FHLMC | Disc Nt 03-29-2017 0% Disc Nts 29/03/2017 USD | | | 4,493,881 |
| | FHLMC | 08/02/2016 Fltg Rate .639% Due 11-02-2017 | | | 4,257,497 |
| | FHLMC | Tranche 00886 .685 08-25-2017 | | | 4,230,825 |
| | FHLMC | Disc Nt 04-06-2017 0% Disc Nts 06/04/2017 USD | | | 4,159,398 |
| | FHLMC | Tranche # Tr 00318 03-08-2018 | | | 4,015,748 |
| | FHLMC | Fltg Rate 10-27-2017 | | | 4,007,484 |
| | FHLMC | Due 11-08-2017 Reg | | | 4,005,288 |
| | FHLMC | Disc Nt 02-23-2017 Nts 23/02/17 USD1000 | | | 3,682,185 |
| | FHLMC | Disc Nt 04-10-2017 0% Disc Nts 10/04/2017 USD | | | 3,584,680 |
| | FHLMC | Due 02-05-2018 Reg | | | 3,506,734 |
| | FHLMC | Disc Nt 05-01-2017 0% Disc Nts 01/05/2017 USD | | | 3,493,476 |
| | FHLMC | .5% Due 01-27-2017 | | | 3,419,959 |
| | FHLMC | .875 02-22-2017 Reg | | | 3,261,460 |
| | FHLMC | Cons Bd Dtd 03/08/2016 Fltg Rate 03-08-2018 | | | 2,777,972 |
| | FHLMC | Fltg Rt 01-17-2017 | | | 1,235,174 |
| | FHLMC | Multiclass Ser 4620 Cl Af 11-15-2042 | | | 292,088 |
| | FHLMC | Multiclass Ser 3218 Cl As 09-15-2036 | | | 146,410 |
| | FHLMC | Multiclass Ser 3147 Cl Ls 04-15-2036 | | | 136,159 |
| | FHLMC | Multiclass Ser 3951 Cl Us Fltg 02-15-2040 | | | 45,321 |
| | FHLMC | Multiclass Ser 3218 Cl Sa Flg Rt Due 09-15-2036 | | | 12,004 |
| | FHLMC | Multiclass Ser 3828 Cl Sy 02-15-2041 Fltg | | | 4,057 |
| | FNMA | Disc Nt 01-05-2017 0% Bds 05/01/17 USD1000 | | | 19,998,250 |
| | FNMA | Single Family Mortgage 3% 30 Years Settles February | | | 16,862,470 |
| | FNMA | Disc Nt 03-01-2017 Nts 01/03/17 USD10000 | | | 16,351,440 |
| | FNMA | Tranche 00613 09-08-2017 | | | 15,011,250 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Government securities (continued) | | | |
| | FNMA | Disc Nt 01-11-2017 0% Nts 11/01/17 USD1000 | | | $ 9,999,160 |
| | FNMA | Single Family Mortgage 4% 30 Years Settles February | | | 9,974,069 |
| | FNMA | Zero Nt Cpn 0 06-01-2017 | | | 9,472,469 |
| | FNMA | Single Family Mortgage 3.5% 30 Years Settles February | | | 9,210,411 |
| | FNMA | Disc Nt 01-25-2017 0% Bds 25/01/17 USD1000 | | | 7,833,182 |
| | FNMA | Single Family Mortgage 3.5% 15 Years Settles January | | | 7,292,712 |
| | FNMA | Single Family Mortgage 3.5% 30 Years Settles February | | | 5,526,247 |
| | FNMA | Single Family Mortgage 4.5% 30 Years Settles January | | | 4,302,344 |
| | FNMA | Single Family Mortgage 3% 30 Years Settles February | | | 3,967,640 |
| | FNMA | Nt 5 02-13-2017 | | | 3,845,546 |
| | FNMA | Single Family Mortgage 4% 30 Years Settles February | | | 3,149,706 |
| | FNMA | Single Family Mortgage 3% 30 Years Settles February | | | 2,975,730 |
| | FNMA | Semi Annual 5.375 06-12-2017 | | | 2,777,793 |
| | FNMA | Fltg Rt Due 08-16-2017 | | | 2,522,034 |
| | FNMA | Pool #Ay0557 3.5% 04-01-2022 Beo | | | 1,883,681 |
| | FNMA | Pool #Aj1509 4% 09-01-2041 Beo | | | 1,520,536 |
| | FNMA | Pool #Ab0183 5% 02-01-2025 Beo | | | 1,375,142 |
| | FNMA | Tranche 00641 1.375 02-26-2021 | | | 1,078,556 |
| | FNMA | Single Family Mortgage 3.5% 30 Years Settles February | | | 1,023,379 |
| | FNMA | Pool #Ax5306 3.5% 01-01-2027 Beo | | | 950,741 |
| | FNMA | Pool #Ap1215 3.5% 06-01-2043 Beo | | | 798,694 |
| | FNMA | 1.625 11-27-2018 Reg | | | 705,277 |
| | FNMA | Pool #Ab1609 4% 10-01-2025 Beo | | | 645,330 |
| | FNMA | Pool #Ai2095 4% 05-01-2026 Beo | | | 512,189 |
| | FNMA | Pool #Ak2411 4% Due 02-01-2042 Beo | | | 368,207 |
| | FNMA | Pool #Ab9280 4% 05-01-2043 Beo | | | 313,643 |
| | FNMA | Pool #Ao1771 4% 05-01-2042 Beo | | | 205,206 |
| | FNMA | Pool #Ah6737 4 2-1-2026 | | | 193,570 |
| | FNMA | 2007-56 Gs Flt Rt 06-25-2037 | | | 189,799 |
| | FNMA | Pool #Al5548 2.848% Due 05-01-2038 Beo | | | 130,639 |
| | FNMA | Pool #Ah9391 4% 03-01-2026 Beo | | | 125,561 |
| | FNMA | Pool #Ma1732 3.5% 01-01-2024 Beo | | | 115,123 |
| | FNMA | Ser 2007-89 Cl Sd Fltg Rt 09-25-2037 | | | 106,982 |
| | FNMA | 361225Be#Mbs Remic Adjustable 12-25-2036 | | | 103,572 |
| | FNMA | Pool #Al1378 6Due 02-01-2027 Beo | | | 89,451 |
| | FNMA | Remic Ser 2005-84 Cl-Sg Flt Rt 10-25-2035 | | | 81,187 |
| | FNMA | Fltg Ser 2007-34 Cl S 04-25-2037 Beo | | | 78,946 |
| | FNMA | Remic Tr 2011-60 Cl-Oa Prin Only 08-25-2039 Reg | | | 76,393 |
| | FNMA | Pool #Ma0670 3.5% 03-01-2021 Beo | | | 66,139 |
| | FNMA | Ser 2013-M4 Cl X1 Var Rt 02-25-2018 | | | 60,162 |
| | FNMA | Ser 2011-86 Cl Nf Fltg Rt Due 09-25-2041 | | | 52,322 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Government securities (continued) | | | |
| | FNMA | Pool #Ar8571 3.5% 03-01-2022 Beo | | | $ 44,111 |
| | FNMA | Ser 2007-32 Cl Sa Fltg Rt 04-25-2037 | | | 40,663 |
| | FNMA | Pool #Aw1134 3.5% 03-01-2024 Beo | | | 39,668 |
| | FNMA | Remic Tr 2010-2 Cl-Gf Fltg 12-25-2049 | | | 38,108 |
| | FNMA | Pool #Ae7017 3.5% Due 10-01-2020 Reg | | | 36,825 |
| | FNMA | Pool #Ah2090 3.5% 12-01-2020 Beo | | | 33,121 |
| | FNMA | 2007-15 Cl Ai Var 03-25-2037 | | | 27,510 |
| | FNMA | Pool #Al7632 3.5% 10-01-2030 Beo | | | 27,037 |
| | FNMA | Pool #As0508 3.5% 09-01-2028 Beo | | | 25,998 |
| | FNMA | Pool #Aw6899 3.5% 07-01-2029 Beo | | | 21,984 |
| | FNMA | Cmo 25/03/37 USD 03-25-2037 | | | 12,564 |
| | FNMA | Remic Tr 2009-87 Cl-Hs Var Rate 11-25-2039 | | | 10,255 |
| | FNMA | Pool #Al0846 3.5% 10-01-2026 Beo | | | 9,678 |
| | FNMA | Ser 2007-4 Cl Sl Fltg Rt 02-25-2037 | | | 8,097 |
| | FNMA | Pool #Ad9083 4Due 07-01-2025 Reg | | | 4,160 |
| | FNMA | Ser 2011-40 Cl Sx Var Rt Due11-25-2040 Beo | | | 1,176 |
| | FNMA | Single Family Mortgage 3% 30 Years Settles January | | | (993,414) |
| | GNMA | Pool #Ak8998 3% 07-15-2045 Beo | | | 791,142 |
| | GNMA | Pool #Al1871 3% 01-15-2045 Beo | | | 515,985 |
| | GNMA | 2016-H17 Mtg Pass Thru Ctf Cl Mx Fc08-20-2066 | | | 496,092 |
| | GNMA | Pool #Am4137 3.5% 04-15-2045 Beo | | | 458,746 |
| | GNMA | Pool #Ab9437 3.5 Due 11-15-2042 Reg | | | 432,900 |
| | GNMA | Pool #Al5414 3.5% 02-15-2045 Beo | | | 354,365 |
| | GNMA | Gnma Ser 2015-H20 Cl Fb Flt Rt 08-20-2065 | | | 287,985 |
| | GNMA | 2016-H20 Remic Passthru Ctf Cl Fg 08-20-2066 | | | 199,453 |
| | NCUA | Gtd Nts Tr Fltg Rt 1.14667% Due 11-06-2017 | | | 250,861 |
| | Small Business Admin | Gtd Dev Partn Ctf 5.12 Due 11-01-2027 Reg | | | 485,023 |
| | United States of America | Treasury Nts Index Linked 1.875 Due 07-15-2019 Reg | | | 14,464,382 |
| | United States of America | Treasury Infl Indexed Bonds 2.375 Due 01-15-2025 Beo | | | 12,102,672 |
| | United States of America | Treasuryury Bills Dtd 680 .802711% Due 01-31-2018 Reg | | | 10,434,842 |
| | United States of America | Treasury 1.375% Due 09-30-2020 | | | 10,282,189 |
| | United States of America | Treasury Bills 03-02-2017 United States Treasury Bills | | | 9,992,200 |
| | United States of America | Treasury Notes Inflation Indexed 0.125 04-15-2018 | | | 9,285,321 |
| | United States of America | Treasury Bonds 04-15-2028 | | | 8,351,500 |
| | United States of America | Treasury Infl Indexed Nts .125% 07-15-2022 | | | 7,850,365 |
| | United States of America | Treasury Bills 03-16-2017 United States Treasury Bills | | | 7,292,700 |
| | United States of America | Treasury Bds 1.375 02-15-2044 Reg | | | 7,187,060 |
| | United States of America | Treasury Nts Dtd 04/15/2016 04-15-2021 | | | 6,359,195 |
| | United States of America | Treasury Bills 04-27-2017 Dtd00206 | | | 6,289,076 |
| | United States of America | Treasury Notes Idx Lkd Nt 1.375 Nts Tips 1/15/2020 | | | 6,112,877 |
| | United States of America | Treasury Notes 1.25 07-15-2020 | | | 5,958,074 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Government securities (continued) | | | |
| | United States of America | Tsy Infl Ix Treasury Bd 0.625 01-15-2024 | | | $ 5,418,136 |
| | United States of America | Treasury Bds Index Linked 2.5 Due 01-15-2029 Reg | | | 4,983,445 |
| | United States of America | Treasury Bds Index Linked 2.5 Due 01-15-2029 Reg | | | 4,616,816 |
| | United States of America | Treasury Nts Tips .375 07-15-2023 | | | 4,527,105 |
| | United States of America | Treasury Bills 02-02-2017 United States Treasury Bills | | | 4,393,453 |
| | United States of America | Treasury Fltg Rt .720711% Due 04-30-2018 | | | 4,007,012 |
| | United States of America | Treasury Bds 2.125 2-15-2041 | | | 3,270,129 |
| | United States of America | Treasury Notes 0.125% Infl Idx 04-15-2020 | | | 3,128,622 |
| | United States of America | Treasury Bds Index Linked 1.75 Due 01-15-2028 Reg | | | 3,117,463 |
| | United States of America | Treasury Nts Tips Dtd 07-15-2011 07-15-2021 | | | 2,899,425 |
| | United States of America | Treasury Bds 1.375 02-15-2044 Reg | | | 2,829,551 |
| | United States of America | Treasury Notes Inflation Indexed 0.125 04-15-2018 | | | 2,683,247 |
| | United States of America | Treasury Bds Tsy Infl Ix N/B 02-15-2046 | | | 2,520,076 |
| | United States of America | Treasury Nts 1.75 11-30-2021 1.75 Due 11-30-2021 Reg | | | 2,411,870 |
| | United States of America | Treasury Bonds 0.75 Deb Tips 02-15-2042 | | | 2,015,290 |
| | United States of America | Treasury Bds Inflation Index Linked 3.875% 04-15-2029 | | | 1,949,897 |
| | United States of America | Treasury Infl Indexed Nts 0.125C 04-15-2019 | | | 1,900,838 |
| | United States of America | Treasury Bds 4.375 Due 05-15-2040 Reg | | | 1,853,262 |
| | United States of America | Treasury Nts Tips Dtd 07-15-2011 07-15-2021 | | | 1,770,641 |
| | United States of America | Infl Indxd Treasury Notes 0.25% Tb 01-15-25 USD1000 A-2025 | | | 1,545,612 |
| | United States of America | Treasury Bonds 0.75 Deb Tips 02-15-2042 | | | 1,316,521 |
| | United States of America | Treasury Bds Index Linked Notes 2.375 Due 01-15-2027 Reg | | | 1,263,659 |
| | United States of America | Treasuryury Nts 1.125% Tips 15/1/21 USD1000 01-15-2021 | | | 1,159,164 |
| | United States of America | Treasury Bonds Dtd 02/15/2015 2.5% Due 02-15-2045 Reg | | | 1,157,965 |
| | United States of America | Treasury Infl Indexed Nts 0.125C 04-15-2019 | | | 1,044,417 |
| | United States of America | Treasuryury Dtd 02/15/2010 02-15-2040 | | | 1,024,919 |
| | United States of America | Treasury Nts Dtd 01/15/2016 01-15-2026 | | | 964,612 |
| | United States of America | Treasury Notes Inflation Index 0.125 Nts 07-15-2024 | | | 860,033 |
| | United States of America | Treasury Nts 0.125% Index Linked 01-15-2022 | | | 395,804 |
| | United States of America | Treasury Infl Nts 0.375% Dtd 07/15/2015 07-15-2025 | | | 334,525 |
| | United States of America | Treasury Infl Indexed Nts .125% 01-15-2023 | | | 311,831 |
| | United States of America | Treasury Nts Dtd 04/15/2016 04-15-2021 | | | 307,703 |
| | United States of America | Treasury Nts Dtd 11/15/2015 2.25% Due 11-15-2025 Reg | | | 296,156 |
| | United States of America | Treasury .625% Due 06-30-2018 | | | 248,428 |
| | United States of America | Treasury Bonds 0.625% Tips Infl Idx 02-15-2043 USD1000 | | | 211,759 |
| | United States of America | Treasury Nts 2.125% 12-31-2021 | | | 201,711 |
| | United States of America | Treasury Notes Nts 0.125% Infl Index 07-15-2026 | | | 136,515 |
| | United States of America | Treasury Nts Index Linked 1.625 Due 01-15-2018 Reg | | | 118,391 |
| | United States of America | Treasury Bds Tsy Infl Ix N/B 02-15-2046 | | | 102,442 |
| | United States of America | Treasury Bonds 0.625% Tips Infl Idx 02-15-2043 USD1000 | | | 96,254 |
| | United States of America | Treasury Nts Wi Treasuryury Note2% Due 11-15-2026 Reg | | | 96,215 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Government securities (continued) | | | |
| | United States of America | Treasury Bds Index Linked Notes 2.375 Due 01-15-2027 Reg | | | $ 84,244 |
| | Argentina Republic | 7.75% Due 07-26-2026 Beo | | | 431,650 |
| | Argentina Republic | 7.125% Snr Nts 10/06/2021 | | | 364,763 |
| | Argentina Republic | 7.82% Bds 31/12/40 Eur1000 | | | 234,100 |
| | Argentina Republic | Tbond 6.25% 22/04/2019 | | | 219,350 |
| | Argentina Republic | Linked Secs Due 12-15-2035 Reg | | | 202,400 |
| | Argentina Republic | Gov. Intl. Bd. 8.75% Due 02/06/2017 | | | 199,918 |
| | Argentina Republic | Gov. Intl. Bd. 8.75% Due 02/06/2017 | | | 131,264 |
| | Argentina Republic | 0%-Idx/Lkd Snr 15/12/35 Eur | | | 36,844 |
| | Azerbaijan (Rep Of) | 4.75% Due 18/03/2024 | | | 199,456 |
| | Brazil (Fed Rep Of) | 0.0% Due 01/10/2017 | | | 2,939,985 |
| | Brazil (Fed Rep Of) | 0% Tb 01/01/18 Brl1000 | | | 2,205,777 |
| | Brazil (Fed Rep Of) | Secretaria Tesouro 0% Tb 01/04/17 Brl1000 | | | 1,757,381 |
| | Brazil (Fed Rep Of) | 10% T-Nts 01/01/18 Brl1000 | | | 1,273,079 |
| | Brazil (Fed Rep Of) | 0.0% Due 01/10/2017 | | | 621,322 |
| | Brazil (Fed Rep Of) | 5.625% 21/02/2047 | | | 325,600 |
| | Brazil (Fed Rep Of) | 10% Gtd Snr 01/01/23 Brl'F' | | | 314,015 |
| | Brazil (Fed Rep Of) | 0% Tb 01/01/18 Brl1000 | | | 248,150 |
| | Brazil (Fed Rep Of) | 10% T-Nts 01/01/25 Brl1000 | | | 246,546 |
| | Brazil (Fed Rep Of) | 2.625 Due 01-05-2023 Reg | | | 228,730 |
| | Brazil (Fed Rep Of) | Global Bd 10.125% Due 05-15-2027 Beo | | | 224,565 |
| | Brazil (Fed Rep Of) | Global Bd 6% Due 04-07-2026 Reg | | | 207,000 |
| | Brazil (Fed Rep Of) | 5% Bds 27/01/45 USD1000 | | | 170,586 |
| | Brazil (Fed Rep Of) | 8.25% Due 01-20-2034 Reg | | | 138,624 |
| | Brazil (Fed Rep Of) | 8.25% 20/01/34 USD1000 | | | 133,423 |
| | Brazil (Fed Rep Of) | 10% T-Nts Due 01/01/2019 | | | 116,082 |
| | Brazil (Fed Rep Of) | 10% T-Nts 1/1/2021 Brl1000 | | | 101,596 |
| | Brazil (Fed Rep Of) | Global Bd 5 T Bond 01-27-2045 | | | 36,504 |
| | Brazil (Fed Rep Of) | 7.125% Bds 20/01/37 USD1000 | | | 5,238 |
| | Colombia (Rep Of) | 7% Nts 04/05/22 Cop1000 | | | 529,717 |
| | Colombia (Rep Of) | 6% Bds 28/04/28 Cop1000 | | | 192,255 |
| | Colombia (Rep Of) | 7.5% Bd 26/08/2026 | | | 89,897 |
| | Costa Rica Government | 7.158% Due 03/12/2045 | | | 199,219 |
| | Croatia | 6.0% T-Bond 26/01/2024 | | | 326,362 |
| | Croatia | 6.75 Due 11-05-2019 | | | 217,000 |
| | Development Bk Japan | 1.625% Due 09-01-2021 Beo | | | 288,069 |
| | Dominican Republic | 5.5% 01-27-2025 Reg | | | 243,958 |
| | Dominican Republic | Tbnds 6.875% 29/01/2026 | | | 104,207 |
| | Dominican Republic | 6 7/8 6.875% Due 01-29-2026 | | | 103,957 |
| | Dominican Republic | 5.5% Tbond 27/01/2025 | | | 58,156 |
| | Ecuador (Rep Of) | 10.75% Snr 28/03/2022 USD | | | 679,687 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Government securities (continued) | | | |
| | Ecuador (Rep Of) | 7.95% Gtd Snr 20/06/24 USD | | | $ 580,800 |
| | Ecuador (Rep Of) | 9.65% 13/12/2026 | | | 312,625 |
| | Egypt (Arab Rep Of) | 6.875% Snr 30/04/2040 USD | | | 87,604 |
| | El Salvador Rep | Sr Nt Reg S 5.875 01-30-2025 | | | 121,704 |
| | El Salvador Rep | 6.375% 01-18-2027 Reg | | | 98,440 |
| | El Salvador Rep | 7.65% Due 06-15-2035 Reg | | | 81,620 |
| | Export Import Bk Korea | Nt 5.125% Due 06-29-2020 Reg | | | 541,200 |
| | France (Govt Of) | Idx/Lkd Snr Oat 07/20 Eur1 | | | 443,271 |
| | France (Govt Of) | Idx/Lkd Snr 25/07/2027 Eur1 | | | 290,162 |
| | Ghana (Rep Of) | 9.25% 15/09/2022 | | | 563,070 |
| | Ghana (Rep Of) | Bnds 8.125% 18/01/2026 | | | 197,997 |
| | Hashemite Kingdom Jordan | 5.75% Due 01-31-2027 Reg | | | 260,562 |
| | Honduras Rep | 7.5 Due 03-15-2024 Reg | | | 213,680 |
| | Hungary (Rep Of) | Nt 4.125% Due 02-19-2018 Reg | | | 511,511 |
| | Hungary (Rep Of) | 3% Nts 26/06/2024 Huf10000 | | | 431,189 |
| | Hungary (Rep Of) | Tbond 5.5% 24/06/2025 | | | 312,954 |
| | Indonesia Government | 8.375% 15/03/24 | | | 1,514,749 |
| | Indonesia Government | Tbond 6.875 Due 01-17-2018 Beo | | | 920,357 |
| | Indonesia Government | 8.75% Due 05/15/2031 | | | 435,730 |
| | Indonesia Government | 8.375% Bds 15/09/26 Idr1000 | | | 317,124 |
| | Indonesia Government | 14/06/2028 3.75% | | | 128,846 |
| | Indonesia Government | 5.625% Bds 15/05/23 Idr1000 | | | 120,209 |
| | Indonesia Government | 2.625% 14/06/2023 | | | 106,231 |
| | Indonesia Government | 8.25% 15/05/2036 | | | 97,520 |
| | Indonesia Government | 11% Bds 15/09/25 Idr1000000 | | | 25,091 |
| | Italy (Rep Of) | 1.25% Idx/Lkd Bds 09/32 Eur | | | 331,116 |
| | Italy (Rep Of) | 2.35% Idx/Lkd Nts 15-09-2024 Eur1000 | | | 121,815 |
| | Ivory Coast | 5.75% 31/12/2032 | | | 494,983 |
| | Jamaica | Sr Unsec Sf 8.0Pct.03- 8% Due 03-15-2039 Reg | | | 221,074 |
| | Japan | 0% T-Bill 27/02/2017 Jpy | | | 2,573,228 |
| | Japan | Treasury Disc 06/02/2017 | | | 2,315,490 |
| | Japan | 0% T-Bill 13/03/17 Jpy50000 | | | 1,715,723 |
| | Kazakhstan (Rep Of) | 3.875% 14/10/2024 | | | 201,024 |
| | Kazakhstan (Rep Of) | 4.875% 14/10/2044 | | | 191,459 |
| | Kenya (Republic Of) | 5.875% 24/06/2019 | | | 379,923 |
| | Kenya (Republic Of) | 6.875% 24/06/2024 | | | 189,788 |
| | Lebanon(Rep Of) | 6.65% Snr Mtn 03/11/28 USD | | | 732,298 |
| | Lebanon(Rep Of) | 5.15% Snr Mtn 12/06/18 USD | | | 174,125 |
| | Malaysia (Govt Of) | Tbond 3.955% 15/09/2025 | | | 438,491 |
| | Malaysia (Govt Of) | 4.498% Nts 15/04/30 Myr1000 | | | 264,582 |
| | Malaysia (Govt Of) | 4.07% Suk Mtn 30/09/2026 | | | 20,240 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Government securities (continued) | | | |
| | Mex Bonos Desarr | Fix Rt 8.0% 07/12/23 | | | $ 911,022 |
| | Mex Bonos Desarr | Fix Rt 6.5% 10/06/2021 | | | 870,316 |
| | Mex Bonos Desarr | Fix Rt 10.0% 12-05-2024 | | | 14,500 |
| | Mexico (United Mexican States) | 5.95% Snr Mtn Due 19/03/19 USD | | | 475,970 |
| | Mexico (United Mexican States) | 6.5 Due 06-10-2021 | | | 383,395 |
| | Mexico (United Mexican States) | 10% Due 05/12/24 | | | 339,189 |
| | Mexico (United Mexican States) | 4.5% Index Linked Bds22/11/35 Mxn100 | | | 294,999 |
| | Mexico (United Mexican States) | 6.5% Due 03-13-2027 | | | 221,773 |
| | Mexico (United Mexican States) | 0% Cetes 02/02/2017 Mxn10 | | | 212,419 |
| | Mexico (United Mexican States) | 5.5% Due 01-21-2021 | | | 102,875 |
| | Mexico (United Mexican States) | 5.75% Snr 05/03/2026 Mxn | | | 52,633 |
| | Mexico (United Mexican States) | Bds 8% Due 12-07-2023 Reg | | | 50,039 |
| | Mexico (United Mexican States) | 0% Cetes 02/02/2017 Mxn10 | | | 28,966 |
| | Netherlands | 3.925 Due07-28-2020 Beo Sinking Fund 07-28-2017 | | | 286,885 |
| | New Zealand | 2% Iln 20/09/25 Nzd1000 | | | 880,828 |
| | Paraguay (Republic Of) | 5.0% 04-15-2026 5% Due 04-15-2026 Reg | | | 239,112 |
| | Peru (Rep Of) | Global Bd 4.125% Due 08-25-2027 | | | 701,156 |
| | Peru (Rep Of) | 7.125% Snr 30/03/19 USD1000 | | | 556,250 |
| | Peru (Rep Of) | 6.35% Due 12/08/2028 | | | 83,276 |
| | Poland (Rep Of) | 2.5% Bds 25/07/2026 Pln1000 | | | 807,042 |
| | Poland (Rep Of) | 6.375% Bds 15/07/19 USD1000 | | | 461,687 |
| | Poland (Rep Of) | 3.25% Bds 25/07/25 Pl\n1000 | | | 437,839 |
| | Romania (Rep Of) | 5.8% Bds Due 26/07/27 Ron10000 | | | 189,227 |
| | Romania (Rep Of) | 4.75% Bds 24/02/25 Ron5000 | | | 160,568 |
| | Russia (Govt Of) | 7% Bds 16/08/23 Rub1000 | | | 723,165 |
| | Russia (Govt Of) | 8.15% Bds 03/02/2027 | | | 721,550 |
| | Russia (Govt Of) | 7.75% 16/09/2026 | | | 246,050 |
| | Russia (Govt Of) | 6.7% 15/05/2019 | | | 221,434 |
| | Russia (Govt Of) | 7.6% Bds 20/07/22 Rub1000 | | | 209,369 |
| | Russia (Govt Of) | Veb Finance Plc 5.942% Snr Mtn 21/11/23 USD | | | 206,568 |
| | Serbia (Republic) | 4.875% Snr 25/02/2020 USD | | | 769,541 |
| | Serbia (Republic) | 5.875% 03/12/2018 | | | 523,939 |
| | South Africa (Republic Of) | 10.5% Bds 21/12/2026 Zar1 | | | 652,076 |
| | South Africa (Republic Of) | 7% Snr 28/02/2031 Zar1000 | | | 598,534 |
| | South Africa (Republic Of) | 6.25% Bds 31/03/36 Zar | | | 347,321 |
| | South Africa (Republic Of) | 8.25% Snr 31/03/2032 Zar1 | | | 328,413 |
| | South Africa (Republic Of) | 7.75% Bds 28/02/23 Zar1 | | | 259,570 |
| | South Africa (Republic Of) | 8% Snr 31/01/30 Zar1'R2030' | | | 116,651 |
| | Sri Lanka (Rep Of) | 6.825% Due 07-18-2026 | | | 270,487 |
| | Turkey (Rep Of) | 8% Nts 12/03/25 Try1000 | | | 757,309 |
| | Turkey (Rep Of) | 10.6% Bds 11/02/26 Try1000 | | | 536,625 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Government securities (continued) | | | |
| | Turkey (Rep Of) | Nt 4.875% Due 10-09-2026 Reg | | | $ 379,330 |
| | Turkey (Rep Of) | 5.75% 03-22-2024 Reg | | | 325,939 |
| | Turkey (Rep Of) | 7.1% Bds 08/03/23 Try100 | | | 298,040 |
| | Turkey (Rep Of) | Bd 4.875% Due 04-16-2043 Reg | | | 249,705 |
| | Turkey (Rep Of) | 6.625 Due 02-17-2045 Reg | | | 243,616 |
| | Turkey (Rep Of) | 5.125% Bds 25/03/22 USD1000 | | | 238,841 |
| | Turkey (Rep Of) | 4.25% Due 04-14-2026 Reg | | | 226,668 |
| | Turkey (Rep Of) | 8.5% Bds 8.5% Due 10/07/2019 | | | 183,398 |
| | Turkey (Rep Of) | 9.5% Bds 12/01/22 Try100 | | | 118,206 |
| | Ukraine (Rep Of) | 7.75% 7.75% 01/09/2019 | | | 781,619 |
| | Ukraine (Rep Of) | 31/05/2040 USD'Regs | | | 384,621 |
| | Ukraine (Rep Of) | 7.75% 01/09/2020 | | | 242,986 |
| | United Kingdom | 0.125% Idx/Lkd 22/03/26 Gbp | | | 5,697,053 |
| | United Kingdom | 0.125% Idx/Lkd Snr 22/03/24 | | | 604,809 |
| | United Kingdom | Tsy 2046 I/L Stock Due 22/03/2046 | | | 289,320 |
| | Uruguay (Rep Of) | Sr Nt 5.1% Due 06-18-2050 Reg | | | 107,912 |
| | Uruguay (Rep Of) | 5.1% Snr 18/06/2050 USD | | | 54,001 |
| | Venezuela | 6 Due 05-16-2024 | | | 200,548 |
| | Venezuela Republic | Bond 9% Due 05-07-2023 Reg | | | 168,541 |
| | Venezuela Republic | 7.75 Due 10-13-2019 Reg | | | 113,775 |
| | Zambia | Bnds 8.5% 14/04/2024 | | | 393,030 |
| | Bay Area Toll Auth Calif Toll Brdg Rev | 7.043% 04-01-2050 Beo Taxable | | | 353,648 |
| | California St | 7.7% 11-01-2030 Beo Taxable | | | 119,455 |
| | California St | 7.95 03-01-2036 Beo Taxable | | | 116,569 |
| | California St | 5.7% 11-01-2021 Beo Taxable | | | 114,732 |
| | Illinois St | 6.63% Due 02-01-2035 Beo Taxable | | | 713,465 |
| | Indiana St | 6.596% 02-01-2039 Beo Taxable | | | 966,953 |
| | Los Angeles Cnty Calif Pub Wks | 6.091% 08-01-2022 Beo Taxable | | | 467,888 |
| | Metro Wastewtr Reclamation Dist Colo | 5.018% 04-01-2020 Beo Taxable | | | 450,156 |
| | Michigan St | 6.173% 02-15-2050 Beo Taxable | | | 594,610 |
| | New York St Dorm Auth | 5.289% 03-15-2033 Beo Taxable | | | 581,305 |
| | Seminole Cnty Fla Wtr & Swr Rev | Seminole Cnty Fla Wtr & Swr Rev | | | 448,152 |
| | Texas Transn Commn St Hwy Fd Rev | 5.028% 04-01-2026 Beo Taxable | | | 572,205 |
| | | | | | |
| | Corporate debt instruments | | | | |
| | Abbvie Inc | 4.4% Due 11-06-2042 | | | 470,373 |
| | Acadia Healthcare | 6.5% Due 03-01-2024 | | | 153,375 |
| | ACcom | 5.75% Due 10-15-2022 | | | 739,900 |
| | Actavis Fdg Scs | GTD NT Fltg RATE Due 03-12-2020/02-12-2020 REG | | | 509,573 |
| | Advanced Micro | 7% Due 07-01-2024 | | | 311,250 |
| | Advanced Micro | 7.5% Due 08-15-2022 | | | 270,625 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Aegis | 2004-3 MTG Pass Thru CTF CL A-1 09-25-2034 REG | | | $ 53,712 |
| | Aercap Ireland Cap | 2.75% Due 05-15-2017 | | | 400,500 |
| | AES Corp | 7.375 Due 07-01-2021 | | | 541,355 |
| | AES Corp | NT Fltg RATE Due 06-01-2019/06-01-2016 REG | | | 32,000 |
| | Aflac Inc | 6.45% Due 08-15-2040 | | | 170,796 |
| | Air Med Merger | 6.375% Due 05-15-2023 | | | 432,000 |
| | Albertsons LLC | Term Loan B4 Due 08-25-2021 BEO | | | 430,622 |
| | Alixpartners, LLP | Term Loan First Lien Due 07-28-2022 BEO | | | 496,643 |
| | Alliance Data Sys | 5.375% Due 08-01-2022 | | | 193,000 |
| | Ally Finl Inc | 2.75 01-30-2017 | | | 500,100 |
| | Ally Finl Inc | 3.75% Due 11-18-2019 | | | 426,819 |
| | Alta Mesa Hldgs LP | 7.875% Due 12-15-2024 | | | 181,125 |
| | Altice Fing S A | 7.5% Due 05-15-2026 | | | 286,000 |
| | Amaya B.V | Term Ln Due 08-1-2021 BEO | | | 324,333 |
| | Amaya Holdings B.V. | Term B Loan (2nd Lien) Due 08-01-2022 BEO | | | 170,678 |
| | Amcor Fin Usa Inc Disc Coml Paper | YRS 1&2 01-10-2017 | | | 299,908 |
| | Amerigas Partners | 5.875% Due 08-20-2026 | | | 720,650 |
| | Amern Axle & Mfg | 6.625 Due 10-15-2022 | | | 309,360 |
| | Amern Bldrs | 5.625% Due 04-15-2021 | | | 515,000 |
| | Amern Bldrs | 5.75% Due 12-15-2023 | | | 103,000 |
| | Amern Intl Group | 4.375% Due 01-15-2055 | | | 641,321 |
| | Amern Tower Corp | 2.8% Due 06-01-2020 | | | 300,159 |
| | Ancestry.Com Inc. | Term Loan Due 10-11-2023 BEO | | | 85,455 |
| | Ancestry.Com Inc. | 2nd Lien Senior Secured Due 10-14-2024 BEO | | | 76,375 |
| | Anheuser Busch Inbev | 4.625 Due 02-01-2044 REG | | | 520,023 |
| | Anheuser-Busch | 2.65% Due 02-01-2021 | | | 301,723 |
| | Anheuser-Busch | 3.3% Due 02-01-2023 | | | 101,773 |
| | Ardagh Packaging | 6.25% Due 01-31-2019 | | | 508,125 |
| | Asbury Automotive | 6% Due 12-15-2024 | | | 511,250 |
| | Ashland Inc Ashland Inc | Term Loan Second Lien Due 07-31-2022 BEO | | | 588,750 |
| | Ast Backed Fdg | Fltg RT 1.39111% Due 04-25-2034 | | | 96,904 |
| | Asurion LLC Asurion LLC | Term Loan B Due 10-31-2023 BEO | | | 373,978 |
| | Asurion LLC Asurion LLC | Incremental Tranche B-1 | | | 104,122 |
| | At&T Inc | 2.8% Due 02-17-2021 | | | 1,686,497 |
| | Atd Fin Corp | 10.25% Due 03-01-2022 | | | 287,799 |
| | B&G Foods Inc | 4.625% Due 06-01-2021 | | | 484,500 |
| | Banc Amer Coml | Fltg RT 5.601951% Due06-10-2049 | | | 66,595 |
| | Bank New York Inc | 2.6% Due 08-17-2020 | | | 402,912 |
| | Bank Of America Corp | BDS 4 04-01-2024 | | | 618,803 |
| | Bank Of America Corp | 2.625% Due 10-19-2020 | | | 600,343 |
| | Bank Of America Corp | 1.75% Due 06-05-2018 | | | 599,975 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Bank Of America Corp | 2.625% Due 10-19-2020 | | | $ 300,171 |
| | Bank Of America Corp | Fltg RT 2.44483% Due 04-19-2021 | | | 205,464 |
| | Bank Of America Corp | 2.6% Due 01-15-2019 | | | 201,710 |
| | Barclays Bk Plc | 7.625 Due 11-21-2022 | | | 1,317,000 |
| | Barclays Bk Plc | FLT% Aug 10 2021 Due 08-10-2021 BEO | | | 204,946 |
| | Bass Pro Group, LLC | Term Loan B Due 11-04-2023 BEO | | | 371,451 |
| | Beacon Roofing Sup | 6.375% Due 10-01-2023 | | | 426,752 |
| | Berry Plastics | 5.125% Due 07-15-2023 | | | 585,063 |
| | Berry Plastics | 6% Due 10-15-2022 | | | 105,750 |
| | Biz Finance Plc | 9.625% 22/04/2022 | | | 294,750 |
| | Bldg Matls Corp | 5.375% Due 11-15-2024 | | | 133,575 |
| | Bombardier Inc | 8.75% Due 12-01-2021 | | | 26,531 |
| | Bpce S A Medium | 1.625% Due 02-10-2017 | | | 300,067 |
| | Cablevision Sys | 5.875% Due 09-15-2022 | | | 438,750 |
| | California Resources Corporation | Term Loan Sr Second Lien Due 08-02-2023 BEO | | | 526,656 |
| | CaLPine Corp | 5.75% Due 01-15-2025 | | | 458,375 |
| | CaLPine Corp | 5.5% Due 02-01-2024 | | | 193,000 |
| | Cantor Fitzgerald | 7.875% Due 10-15-2019 | | | 553,678 |
| | Capital Auto Receivables Asset | 2016-1CL A-2 FLT RT 11-20-2018 REG | | | 278,764 |
| | Capsugel S A Sr Pik Toggle | 7% Due 05-15-2019/11-15-2016 BEO | | | 504,375 |
| | Cco Hldgs LLC | 5.125% Due 02-15-2023 | | | 333,938 |
| | Cco Hldgs LLC | 5.375% Due 05-01-2025 | | | 309,000 |
| | Cco Hldgs LLC | 6.625% Due 01-31-2022 | | | 155,437 |
| | Cdw LLC / Cdw | 5% Due 09-01-2023 | | | 460,575 |
| | Cedar Fair L P | 5.375% Due 06-01-2024 | | | 484,100 |
| | Centene Corp | 4.75% Due 01-15-2025 | | | 341,687 |
| | Centurylink Inc | 5.8% Due 03-15-2022 | | | 536,618 |
| | Centurylink Inc | 7.5% Due 04-01-2024 | | | 157,500 |
| | Charter | 3.579% Due 07-23-2020 | | | 102,023 |
| | Choice Hotels Intl | 5.75% Due 07-01-2022 | | | 324,520 |
| | Cit Group Inc | 2.35% Due 08-02-2021 | | | 1,076,019 |
| | Cit Group Inc | 4.25% Due 08-15-2017 | | | 608,250 |
| | Cit Group Inc | 5.25% Due 03-15-2018 | | | 401,029 |
| | Cit Group Inc | 2.34178% Due 10-26-2020 | | | 202,521 |
| | Citigroup Coml Mtg | 3.608% Due 11-10-2048 | | | 622,366 |
| | Citizens | 7.125% Due 03-15-2019 | | | 449,969 |
| | Clean Hbrs Inc | 5.25% Due 08-01-2020 | | | 437,141 |
| | CMO Banc Amer Coml Mtg Inc | REMIC TR 2010-UBER5 Due02-17-2051 BEO | | | 248,309 |
| | CMO Banc Amer Coml Mtg Inc | FLT RT Due 06-10-2049 BEO | | | 214,185 |
| | CMO Banc Amer Coml Mtg Inc | PassS-Thru Ser 2007-1 CL A1A 1-15-2049 BEO | | | 78,985 |
| | CMO Bear Stearns | 2006-8 MTG PassThru CTF CL III-A-1 01-25-2037 REG | | | 476,129 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | CMO Bear Stearns | 2004-10 CL I2A5 3.301491% Due 01-25-2035 BEO | | | $ 154,464 |
| | CMO Bear Stearns | 2005-1 CTF CL A-1 VAR RATE Due 01-25-2035 REG | | | 36,076 |
| | CMO Commercial Mtg | Pass Thru CTF CL A-4B Due 12-10-2049 REG | | | 194,881 |
| | CMO Cwmbs Inc | 2004-HYB2 CL 6-A FLT RT Due 07-20-2034 BEO | | | 81,298 |
| | CMO Gs Mtg Secs | 3.849% Due 12-10-2043 BEO | | | 35,462 |
| | CMO Gs Mtg Secs Corp | 2004-CW1 CL IIA-1 6% Due 04-01-2034 REG | | | 229,478 |
| | CMO Gs Mtg Secs Corp | 2005-AR6 CL 1A1Due 09-25-2035 REG | | | 124,555 |
| | CMO Gs Mtg Secs Corp | 2005-AR7 MTG PassThru CTF CL 2A1 Due 11-25-2035 REG | | | 60,164 |
| | CMO Harborview | 2004-1 PassThruCTF CL 2-A 4.6186 04-19-2034 REG | | | 35,416 |
| | CMO J P Morgan Chase Coml Mtg | SECS TR 2007-LD12 CL A-1A VAR Due 02-15-2051 | | | 167,294 |
| | CMO J P Morgan Chase Coml Mtg | SECS TR SER 2007-L CL A-3 5.42 01-15-2049 | | | 48,820 |
| | CMO Jpmbb Coml Mtg | SECS TR 2015-C31 CL ASB 3.5395% Due 08-15-2048 BEO | | | 620,380 |
| | CMO Jpmbb Coml Mtg | SECS TR SER 2015-C32 CL ASB 3.3582% 11-15-2048 | | | 614,454 |
| | CMO Jpmbb Coml Mtg | SECS TR 2016-C2 MTG Pass Thru CTF CL A-SB 2.9542 06-15-2049 | | 598,084 |
| | CMO Lb Coml Mtg | PassThru CTF CL A-4B 5.517% Due 07-15-2044 REG | | | 260,182 |
| | CMO Merrill Lynch Mtg Invs Inc | 2004-D CL A1 09-25-2029 REG | | | 61,275 |
| | CMO Merrill Lynch Mtg Invs Inc | INVS INC Due 10-25-2035 REG | | | 13,995 |
| | CMO Merrill Lynch Mtg Invs Inc | III-A Due 05-25-2033 | | | 13,693 |
| | CMO Merrill Lynch Mtg Invs Inc | 005-3 MTG BKD CTF CL 4-A Due 11-25-2035 REG | | | 7,335 |
| | CMO Merrill Lynch Mtg Invs Inc | 2003-C CL A1 6-25-28 | | | 5,814 |
| | CMO Sr 2007-5 Cl A-1A 5. | SR 2007-5 CL A-1A 5.361% Due 02-10-2051 REG | | | 163,549 |
| | CMO Structured Asset Mtg | TR Due 11-25-2034 REG | | | 385,895 |
| | CMO Structured Asset Mtg | 2003-40A CL 3-A1 Due 01-25-2034 BEO | | | 191,563 |
| | CMO Structured Asset Mtg | SER 04-AR2 CL IA VAR 05-19-2034 REG | | | 87,745 |
| | CMO Structured Asset Mtg | 2004-5 MTG PassThru CTF CL 3-A1 Due 05-25-2034 REG | | | 87,605 |
| | CMO Structured Asset Mtg | TR Due 11-25-2034 REG | | | 49,500 |
| | CMO Structured Asset Mtg | INVTS II INC Due 07-19-2035 REG | | | 14,312 |
| | CMO Structured Asset Mtg | INVTS II INC Due 07-19-2035 REG | | | 11,077 |
| | CMO Thornburg Mtg Secs | Pass Thru CTF CL 3A-1 Due 09-25-2037 BEO | | | 24,921 |
| | CMO Wa Mut Mtg Secs Corp | 2005-AR1 CL A-1A VAR Due 12-25-2044 REG | | | 69,771 |
| | CMO Wachovia Bk Coml Mtg | 5.5% Due 04-15-2047 REG | | | 323,649 |
| | CMO Wachovia Bk Coml Mtg | Pass-Thru CL A-5 5.342 Due 01-15-2017 REG | | | 39,352 |
| | CMO Wamu | 2005-AR13 CL A-1A1 FLT 10-25-45 | | | 564,360 |
| | CMO Wamu | 2005-AR8 CTFCL 2-A-1A Due 07-25-2045 REG | | | 178,242 |
| | CMO Wells Fargo | 2004-AA TR MTG PThru CTF CL A-1 VAR 12-25-34 REG | | | 70,823 |
| | CMO Wells Fargo | 2005-AR12 TR CL II-A-5 4.322 06-25-2035 REG | | | 54,683 |
| | CMO Wells Fargo Coml Mtg | 3.522% Due 12/15/2048 | | | 619,187 |
| | CMO1 Contl Airls | 7.25% Due 05-10-2021 | | | 300,215 |
| | Coca-Cola Company | CPN 01-10-2017 | | | 299,920 |
| | Comcast Corp Disc Coml Paper | YRS 1&2CPN 01-24-2017 | | | 299,786 |
| | Comm 2010-C1 Mtg | 3.83% Due 07-10-2046 | | | 61,903 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Communications | 8.25% Due 10-15-2023 | | | $ 318,000 |
| | Cons Energy | 6.75% Due 10-15-2019 | | | 270,000 |
| | Corp Andina De Fomento | 3.95% 15/10/2021 | | | 204,841 |
| | Cott Beverages Inc | 5.375% Due 07-01-2022 | | | 585,062 |
| | Cr Agricole S A | 1.92306% Due 06-10-2020 | | | 501,708 |
| | Cr Agricole S A | 8.125 09-19-2033 | | | 430,300 |
| | Crestwood | 6.25% Due 04-01-2023 | | | 255,000 |
| | CSC Hldgs LLC | 5.25% Due 06-01-2024 | | | 342,125 |
| | CST Brands Inc | 5% Due 05-01-2023 | | | 542,062 |
| | Cyrusone LP | 6.375% Due 11-15-2022 | | | 473,624 |
| | Daimler Fin N Amer | Fltg RT 1.35417% Due 03-02-2018 | | | 600,928 |
| | Dana Inc | 5.5% Due 12-15-2024 | | | 153,000 |
| | Davita Inc | 5.75 Due 08-15-2022 | | | 705,375 |
| | Davita Inc | 5% Due 05-01-2025 | | | 393,500 |
| | Dealer Tire, LLC | Term Loan B Due 12-22-2021 BEO | | | 469,069 |
| | Deutsche Bk Ag | 4.25% Due 10-14-2021 | | | 501,928 |
| | Deutsche Bk Ag | 4.25% Due 10-14-2021 | | | 401,542 |
| | Deutsche Bk Ag | 2.5396% Due 05-10-2019 | | | 304,402 |
| | Diamond 1 Fin Corp | 3.48% Due 06-01-2019 | | | 306,242 |
| | Dish Dbs Corp | 5.875% Due 07-15-2022 | | | 657,812 |
| | Dish Dbs Corp | 5.875% 11-15-2024 | | | 488,775 |
| | Dish Dbs Corp | 5% Due 03-15-2023 | | | 223,875 |
| | Donnelley R R | 6.5% Due 11-15-2023 | | | 462,531 |
| | Donnelley R R | 6% Due 04-01-2024 | | | 70,687 |
| | Duke Energy Corp | 2.65% Due 09-01-2026 | | | 466,664 |
| | Dynegy Inc | 5.875% Due 06-01-2023 | | | 455,437 |
| | Dynegy Inc | 7.625% Due 11-01-2024 | | | 184,500 |
| | Ecopetrol S A | 5.875% Due 05-28-2045 | | | 51,840 |
| | Encana Corp | 6.5% Due 05-15-2019 | | | 430,494 |
| | Energy Transfer Partners | 6.7% 07-01-2018 | | | 318,709 |
| | Engie Disc Coml Paper | YRS 1&2 CPN 10-03-2017 | | | 296,706 |
| | Engie Disc Coml Paper | YRS 1&2 CPN 10-04-2017 | | | 296,317 |
| | Entergy Ark Inc | 3.75% Due 02-15-2021 | | | 314,576 |
| | Entergy Gulf Sts | 3.95% Due 10-01-2020 | | | 312,814 |
| | Enterprise Prods Oper Llc Disc Coml | YRS 1&2 01-23-2017 | | | 299,821 |
| | Equinix Inc | 5.875% Due 01-15-2026 | | | 526,250 |
| | Evolution Escr | 7.5% Due 03-15-2022 | | | 373,000 |
| | Felcor Lodging Ltd Partnership | 5.625% Due 03-01-2023 | | | 459,000 |
| | Ferrellgas L P | 6.75% Due 06-15-2023 | | | 491,250 |
| | Firstenergy Corp | 4.25% Due 03-15-2023 | | | 206,759 |
| | Ford Mtr Cr Co LLC | 2.459% Due 03-27-2020 | | | 592,296 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Ford Mtr Cr Co LLC | 2.375% Due 01-16-2018 | | | $ 200,893 |
| | Ford Mtr Cr Co LLC | 1.5% Due 01-17-2017 REG | | | 200,017 |
| | Freeport-MCMOran | 3.875% Due 03-15-2023 | | | 435,812 |
| | Frontier | 6.25% Due 09-15-2021 | | | 94,750 |
| | FTI Consulting Inc | 6% Due 11-15-2022 | | | 780,000 |
| | Gen Mtrs Finl Co | 3.2% Due 07-13-2020 | | | 501,504 |
| | Genesis Energy L P | 6.75% Due 08-01-2022 | | | 659,765 |
| | Genesis Energy L P | 5.625% Due 06-15-2024 | | | 147,375 |
| | Genesis Energy L P | 6% Due 05-15-2023 | | | 15,262 |
| | Global Partners LP | 7.0% Due 06-15-2023 | | | 241,250 |
| | Goldman Sachs | 2.20122% Due 04-23-2020 | | | 807,645 |
| | Goldman Sachs | 5.75% Due 01-24-2022 | | | 674,529 |
| | Goldman Sachs | VAR RT 11-29-2023 | | | 618,604 |
| | Goldman Sachs | 2.16344% Due 09-15-2020 | | | 403,729 |
| | Goldman Sachs | 2.16344% Due 09-15-2020 | | | 302,797 |
| | Goodyear Tire | 5.125% Due 11-15-2023 | | | 489,250 |
| | Granite Acquisition Inc | Term B Loan Due 12-17-2022 BEO | | | 454,100 |
| | Graphic Packaging | 4.875% Due 11-15-2022 | | | 512,500 |
| | Greeneden U.S Holdings Ii LLC | Term Loan | | | 253,229 |
| | Grifols Worldwide | 5.25% Due 04-01-2022 | | | 541,305 |
| | Grinding Media Inc | 7.375% Due 12-15-2023 | | | 682,890 |
| | Group 1 Automotive | 5.25% Due 12-15-2023 | | | 470,250 |
| | Gs Mtg Secs Ser 2014-Gc26 | 3.365% 3.365% 11-10-2047 | | | 619,512 |
| | Gs Mtg Secs Tr 2010-C1 Mtg | Pass Thru CTFCL A-2 144A 4.592 10 AUG 2043 | | | 639,707 |
| | HCA Hldgs Inc | 6.25% Due 02-15-2021 | | | 484,312 |
| | HCA Inc | 4.75% 05-01-2023 | | | 332,719 |
| | HCA Inc | 5.875% Due 05-01-2023 | | | 239,062 |
| | HCA Inc | 4.5% Due 02-15-2027 | | | 221,062 |
| | HCA Inc | 7.5% Due 02-15-2022 | | | 170,250 |
| | HCA Inc | 5% Due 03-15-2024 | | | 77,156 |
| | Herc Rentals Inc | 7.5% Due 06-01-2022 | | | 526,875 |
| | Hertz Corp | 6.25% Due 10-15-2022 | | | 562,500 |
| | Holly Energy | 6.5% Due 03-01-2020 | | | 516,250 |
| | HSBC Bank | 29/10/18 | | | 2,615,191 |
| | Hsbc Hldgs Plc | 3.19083% Due 03-08-2021 | | | 836,814 |
| | Hsbc Hldgs Plc | 4.3% Due 03-08-2026 | | | 311,060 |
| | Hughes Satellite | 7.625% Due 06-15-2021 | | | 380,832 |
| | Hughes Satellite | 6.625% Due 08-01-2026 | | | 351,750 |
| | Hughes Satellite | 5.25% Due 08-01-2026 | | | 294,000 |
| | Img Worldwide Inc | Term Loan Due 05-06-2022 BEO | | | 430,313 |
| | Infor Us Inc | 6.5% Due 05-15-2022 | | | 521,250 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | ING Group N V | 6.5% Due 12-31-2049 | | | $ 289,313 |
| | Intesa Sanpaolo S P A | 2.375 Due 01-13-2017 | | | 500,069 |
| | Intesa Sanpaolo S P A | SR Med Term NT CL X 6.5 2-24-2021 | | | 329,003 |
| | Iron Mountain Inc | 5.75% Due 08-15-2024 | | | 847,688 |
| | Isle Capri Casinos | 8.875% Due 06-15-2020 | | | 472,500 |
| | J P Morgan | 3.04114% Due 06-25-2035 | | | 30,781 |
| | JP Morgan Chase Bank | 8.375% 17/03/2034 | | | 419,111 |
| | JP Morgan Chase Bank | 8.375% 19/03/2024 | | | 379,853 |
| | JP Morgan Chase Bank | 6.125% Due 17/05/2028 | | | 377,522 |
| | JP Morgan Chase Bank | 7.0% Due 17/05/2022 | | | 330,558 |
| | JP Morgan Chase Bank | 8.75% 19/05/2031 | | | 230,297 |
| | JPMorgan Chase | 2.25% Due 01-23-2020 | | | 1,596,234 |
| | JPMorgan Chase | 2.55% Due 10-29-2020 | | | 499,631 |
| | JPMorgan Chase | Fltg RT 2.41067% Due 03-01-2021 | | | 309,237 |
| | JPMorgan Chase | 3.2% Due 01-25-2023 | | | 303,339 |
| | Jsc Kazmunaygas | 7% GTD 05/05/2020 USD'REGS' | | | 334,789 |
| | Jsc Kazmunaygas | 6.375% SNR MTN 09/04/21 USD | | | 239,345 |
| | Kbc Bank | 8%-STP SUB 25/01/2023 USD | | | 423,000 |
| | Kinder Morgan | 5.95% Due 02-15-2018 | | | 938,809 |
| | KLX Inc | 5.875% Due 12-01-2022 | | | 515,000 |
| | Kookmin Bk Global | Book entry reg S Fltg RATE Due 01-31-2017 BEO | | | 500,127 |
| | Kraft Heinz Foods | 3.95% Due 07-15-2025 | | | 709,124 |
| | Kronos Acquisition Intermediate Inc. | Loan Due 08-04-2022 BEO | | | 151,125 |
| | Lamar Media Corp | 5.875% SNR NT Due 02-01-2022 | | | 458,350 |
| | Level 3 Fing Inc | 5.375% Due 08-15-2022 | | | 103,250 |
| | Level 3 Fing Inc | 5.125% Due 05-01-2023 | | | 100,375 |
| | Lifepoint Hospitals Inc | 5.5% Due 12-01-2021 BEO | | | 260,000 |
| | Lightstone Generation LLC | Term Loan Due 12-15-2023 BEO | | | 304,694 |
| | Lightstone Generation LLC | Term Loan C Due 12-15-2023 BEO | | | 29,018 |
| | Live Nation Entmt | 5.375% Due 06-15-2022 | | | 465,750 |
| | Macquarie Bk Ltd | SR FLT RT 144A Due 10-27-2017 BEO | | | 400,444 |
| | Mallinckrodt Intl | 4.75% Due 04-15-2023 | | | 435,000 |
| | Mediacom LLC | 7.25% Due 02-15-2022 | | | 531,480 |
| | Medtronic Inc | 4.625% Due 03-15-2045 | | | 432,568 |
| | Mercedes-Benz Auto | 1.15% Due 01-15-2019 | | | 299,634 |
| | Merrill Lynch & Co Inc | 6.875% Due 04-25-2018 | | | 531,455 |
| | Merrill Lynch Mtg | 2005-2 CL 2A FLT RT Due 10-25-2035 | | | 31,312 |
| | Mgm Resorts Intl | 8.625 Due 02-01-2019 | | | 337,125 |
| | Mph Acqstn Hldgs | 7.125% Due 06-01-2024 | | | 894,710 |
| | Mpt Oper Partnership L P | 6.375 Due 02-15-2022 | | | 466,312 |
| | Mpt Oper Partnership L P | 6.375% Due 03-01-2024 | | | 209,250 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Murphy Oil Corp | 4.7% Due 12-01-2022 | | | $ 290,157 |
| | Murphy Oil Corp | 6.875% Due 08-15-2024 | | | 159,750 |
| | Navient Corp | 6.625% Due 07-26-2021 | | | 105,750 |
| | Navient Stud Ln | Fltg RT 1.92111% Due 03-25-2066 | | | 199,619 |
| | Nbty Inc | 7.625% 05-05-2016 | | | 439,875 |
| | Netflix Inc | 5.5% Due 02-15-2022 | | | 484,875 |
| | Nexstar Broadcasting Inc | 6.875 Due 11-15-2020 | | | 613,755 |
| | Nissan Auto Fltg | Fltg RT 1.06833% Due 04-15-2019 | | | 300,180 |
| | Norfolk Southn Corp | 2.903% NTS Due 02-15-2023 | | | 397,536 |
| | Nrg Energy Inc | 6.25% Due 05-01-2024 | | | 145,875 |
| | Nrg Energy Inc | 6.25% Due 07-15-2022 | | | 100,250 |
| | Nrg Energy Inc | 7.875% Due 05-15-2021 | | | 66,720 |
| | Nuance | 5.625% Due 12-15-2026 | | | 147,488 |
| | Nykredit Realkredi | 1% NTS 01/04/17 DKK0.01 | | | 542,158 |
| | Oracle Corp | 1.9% Due 09-15-2021 | | | 293,158 |
| | Penske Automotive | 5.75% Due 10-01-2022 | | | 309,000 |
| | Penske Automotive | 5.375% Due 12-01-2024 | | | 199,500 |
| | Penske Automotive | 5.5% Due 05-15-2026 | | | 49,375 |
| | Pertamina | 5.625 Due 05-20-2043 | | | 184,016 |
| | Petrobras Global | 8.375% Due 05-23-2021 | | | 748,863 |
| | Petrobras Global | 8.375% Due 05-23-2021 | | | 323,249 |
| | Petrobras Global | 8.375% Due 05-23-2021 | | | 215,500 |
| | Petroleos | 4.625% Due 09-21-2023 | | | 145,920 |
| | Platform Specialty | 6.5% Due 02-01-2022 | | | 624,650 |
| | Ppn CMO 4Times Sqr Tr 06-4Ts Cmlmtg | Pass Thru CTF 144A CL A 5.4 Due 121328 BEO | | | 329,124 |
| | Prestige Auto | 1.46% Due 07-15-2020 | | | 199,805 |
| | Prestige Brands | 6.375% Due 03-01-2024 | | | 210,000 |
| | Prologis L P | 4.25 Due 08-15-2023 | | | 636,934 |
| | Pt Pelabuhan Indo | 4.25% Due 05-05-2025 | | | 190,310 |
| | Pvtpl 1011778 B C Unlimited Liability | 6.0% Due 4-01-2022 | | | 522,500 |
| | Pvtpl Abn Amro Bk | Medium Term SR NT 5 4.25 Due 02-02-2017 | | | 501,079 |
| | Pvtpl Advanced Disp Svcs Inc | 5.625% Due 11-15-2024/11-15-2016 BEO | | | 298,500 |
| | Pvtpl Albertsons Cos LLC | 6.625% Due 06-15-2024 | | | 130,312 |
| | Pvtpl Alliance Data Sys Corp | 6.375 Due 04-01-2020 | | | 304,500 |
| | Pvtpl Alliance Data Sys Corp | 5.875% Due 11-01-2021/10-27-2016 BEO | | | 177,625 |
| | Pvtpl Altice S A | 7.75 Due 05-15-2022 | | | 427,000 |
| | Pvtpl Ard Fin S A Sr Secd Toggle | 7.125 Due 09-15-2023/09-16-2016 BEO | | | 296,250 |
| | Pvtpl Ardagh Packaging | 7.25% 05-15-2024 | | | 684,937 |
| | Pvtpl Ares Xxv Clo Ltd | SR NT CL A-R Fltg 144A 3C7 01-17-2024 | | | 499,503 |
| | Pvtpl Argos Merger Sub Inc | 7.125% 03-15-2023 | | | 520,200 |
| | Pvtpl Ashtead Cap Inc | 6.5% Due 07-15-2022/07-16-2012 BEO | | | 523,750 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Pvtpl Avis Budget Car Rent LLC | 6.375% Due 04-01-2024/03-29-2016 BEO | | | $ 74,906 |
| | Pvtpl Babson Clo Ltd | 2012 SR SECD NT CL A-1R Fltg 05-15-2023 | | | 304,599 |
| | Pvtpl Baytex Energy Corp | 5.625% Due 06-01-2024/06-06-2014 BEO | | | 441,250 |
| | Pvtpl Belden Inc | 5.5% Due 09-01-2022 | | | 283,250 |
| | Pvtpl Bluescope Stl Fin Ltd/Bluescope | GTD SR 144A 6.5 05-15-2021 | | | 370,860 |
| | Pvtpl Bombardier Inc | 7.5% Due 03-15-2025 | | | 617,512 |
| | Pvtpl Bpce | 4.625 Due 07-11-2024 BEO | | | 395,227 |
| | Pvtpl Brand Energy & Infrastructure | 8.5% Due 12-01-2021 | | | 409,000 |
| | Pvtpl CaLPine Corp | 7.875% Due 01-15-2023/01-15-2017 BEO | | | 215,797 |
| | Pvtpl Camelot Fin S A | 7.875% Due 10-15-2024/10-03-2016 BEO | | | 134,550 |
| | Pvtpl Cbs Radio Inc | 7.25% Due 11-01-2024/10-17-2016 BEO | | | 105,000 |
| | Pvtpl Cequel Communications Hldgs I LLC | SR NT 144A 5.125% | | | 407,000 |
| | Pvtpl Cequel Communications Holdings | 6.375% Due 09-15-2020 | | | 710,700 |
| | Pvtpl Cheniere Corpus Christi Hldgs | 5.875% Due 03-31-2025 | | | 214,265 |
| | Pvtpl Ches Energy Corp | SR SECD 2ND LIEN NT 144A 8 Due 12-15-2022/12-23-2015 BEO | | 323,625 |
| | Pvtpl CMO Banc Amer | REMIC TR 2009-UBER2 COML MTG CTF VAR 12-24-49 | | | 143,804 |
| | Pvtpl CMO Citigroup Comm Mort Trust | 2010-RR3 MLSR VAR RT 05-14-2017 | | | 341,390 |
| | Pvtpl CMO Csmc Ser 2010-Rr1 | SER 2010-RR1 CTF CL 2-A 144A VAR RT Due 09-15-2040 BEO | | 105,423 |
| | Pvtpl CMO Csmc Ser 2010-Rr1 | SER 2010-RR1 CTF CL 3-A 144A VAR RT Due 06-10-2049 BEO | | 39,351 |
| | Pvtpl CMO Dbubs 2011-Lc1 | PassThru CTF CL A-2 144A 4.528 07-01-19 | | | 162,809 |
| | Pvtpl CMO Gs Mtg | SECS TR 2010-C2 VAR RT Due 12-10-2043 BEO | | | 109,306 |
| | Pvtpl CMO Gs Mtg | SER 2016-RENT CL B 3.98% 02-10-2029 | | | 102,594 |
| | Pvtpl CMO J P Morgan Chase Coml Mtg | SECS TR 2011-C A-3 4.1063 Due 07-15-2046 BEO | | | 775,099 |
| | Pvtpl CMO J P Morgan Chase Coml Mtg | SECS CL A-3 4.3877 Due 02-15-2046 BEO | | | 473,499 |
| | Pvtpl CMO J P Morgan Chase Coml Mtg | SER 16-WPT CL A Fltg RT 10-15-2018 | | | 300,875 |
| | Pvtpl CMO Jpmcc | SER 2016-FLRR CL AFL 1 01-15-2033 | | | 200,048 |
| | Pvtpl CMO Obp Depositor LLC | 2010 OBP CTF 144A 4.6462 Due 07-15-2045 BEO | | | 531,710 |
| | Pvtpl CMO Rbscf | Pass Thru CTF CL WBCMT A 144A VAR RT 4-16-47 BEO | | | 327,713 |
| | Pvtpl CMO Rbscf | PassThru CTF CL MSCI A 144A VAR 6-16-2049 | | | 153,444 |
| | Pvtpl CMO Rbssp Resecuritization | SER 2009-12 CL 18A1 Fltg 12-25-2035 | | | 347,479 |
| | Pvtpl CMO Rbssp Resecuritization | 2009-12 Fltg 10-25-2035 | | | 284,605 |
| | Pvtpl CMO Rbssp Resecuritization | 2010-1 CL 2-A1 144A VAR 07-26-2045 BEO | | | 212,695 |
| | Pvtpl CMO Telos | 2016-7 LTD CL A Fltg RATE 144A VAR 04-17-2025 | | | 256,859 |
| | Pvtpl Comm Sales & Leasing Inc | 7.125% 12-15-2024 | | | 101,000 |
| | Pvtpl Commscope Inc | SR NT 144A 5.5% Due 06-15-2024/05-30-2014 BEO | | | 310,500 |
| | Pvtpl Constellium | 5.75% Due 05-15-2024/05-07-2014 BEO | | | 467,500 |
| | Pvtpl Cps Auto Receivables | 2016-D 1.5% Due 06-15-2020 BEO | | | 281,451 |
| | Pvtpl Credit Suisse Group Ag | 6.5 Due 08-08-2023 BEO | | | 424,900 |
| | Pvtpl Credit Suisse Group Ag | 3.75% Due 03-26-2025 | | | 246,200 |
| | Pvtpl Credit Suisse Group Ag | 6.5 Due 08-08-2023 | | | 212,450 |
| | Pvtpl Daimler Fin North Amer LLC | 1.65% Due 03-02-2018 BEO | | | 823,926 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Pvtpl Dana Fing Luxembourg S A | 6.5% Due 06-01-2026/05-27-2016 BEO | | | $ 156,750 |
| | Pvtpl Dole Food Co Inc | 7.25% Due 05-01-2019 | | | 459,000 |
| | Pvtpl Dynegy Inc | 8% Due 01-15-2025/10-11-2016 BEO | | | 281,250 |
| | Pvtpl Endo Fin LLC | 5.875% Due 01-15-2023 | | | 444,937 |
| | Pvtpl Esh Hospitality Inc | 5.25% Due 05-01-2025 | | | 567,150 |
| | Pvtpl Extraction Oil & Gas Hldgs | 7.875% Due 07-15-2021 BEO | | | 561,750 |
| | Pvtpl First Data Corp | 5.375% Due 08-15-2023/08-11-2015 BEO | | | 415,000 |
| | Pvtpl First Data Corp | 5% Due 01-15-2024/11-25-2015 BEO | | | 125,665 |
| | Pvtpl Florida Gas Transmission Co | 5.45% Due 07-15-2020/07-19-2010 BEO | | | 537,944 |
| | Pvtpl Fortress Cr Invts Iv Ltdsr | LTDSR 2015-4A CL A Fltg 07-17-2023 BEO | | | 158,683 |
| | Pvtpl Fortress Cr Invts Iv Ltdsr | LTDSR 2015-4A CL A Fltg 07-17-2023 BEO | | | 158,683 |
| | Pvtpl Gco Ed Ln Fdg | 2006-2 AST BACKED NT A-3L 144A 08-25-2028 BEO | | | 80,181 |
| | Pvtpl Goodman Fdg Pty Ltd | GTD SR NT 144A6.375% Due 11-12-2020 BEO | | | 420,855 |
| | Pvtpl Greeneden U S Hldgs Ii LLC | 10.0% 11-30-2024 | | | 132,813 |
| | Pvtpl Gulfport Energy Corp | 6.375% Due 05-15-2025/12-21-2016 BEO | | | 303,810 |
| | Pvtpl Gulfport Energy Corp | 6% Due 10-15-2024/10-14-2016 BEO | | | 127,187 |
| | Pvtpl Herc Rentals Inc | 7.75% Due 06-01-2024 BEO | | | 105,125 |
| | Pvtpl Hertz Corp | 5.5% Due 10-15-2024/09-22-2016 BEO | | | 480,563 |
| | Pvtpl Hillmark Fdg Ltd | 2006-1A CL A1 Fltg 05-21-2021 | | | 132,647 |
| | Pvtpl Hudbay Minerals Inc | 7.625% Due 01-15-2025 BEO | | | 155,907 |
| | Pvtpl Hudbay Minerals Inc | 7.25% Due 01-15-2023 BEO | | | 103,500 |
| | Pvtpl Inception Mrgr/Rackspace | 8.625% Due 11-15-2024 | | | 264,613 |
| | Pvtpl Ineos Group Hldgs | 5.625% Due 08-01-2024 BEO | | | 446,625 |
| | Pvtpl Infor Software Parent LLC | 7.125% Due 05-01-2021 | | | 103,000 |
| | Pvtpl Inmarsat Fin Plc | 4.875% Due 05-15-2022/06-04-2014 BEO | | | 778,000 |
| | Pvtpl Inmarsat Fin Plc | 6.5% Due 10-01-2024/09-22-2016 BEO | | | 228,375 |
| | Pvtpl Inventiv Group Hldgs Inc | 7.5% Due 10-01-2024 | | | 340,405 |
| | Pvtpl Iron Mountain Inc | 6% Due 10-01-2020/09-29-2015 BEO | | | 290,125 |
| | Pvtpl Jaguar Hldg Co/Pharmaceutical | 6.375% Due 08-01-2023 | | | 749,000 |
| | Pvtpl Jda Escr LLC / Jda Bd Fin Inc | 7.375% Due 10-15-2024/10-06-2016BEO | | | 103,750 |
| | Pvtpl Jupiter Res Inc | 8.5% Due 10-01-2022/09-18-2014 BEO | | | 237,188 |
| | Pvtpl Kronos Acquisition Hldgs Inc | 9% Due 08-15-2023/08-26-2015 BEO | | | 523,688 |
| | Pvtpl Kvk Clo 2012-1 Ltd | 2012-1 LLC SR SECD NT CL A 144A 3C7 07-15-2023 | | | 195,200 |
| | Pvtpl Leaseplan Corp | 3 10-23-2017 REG | | | 503,585 |
| | Pvtpl Level 3 Fing Inc | 5.25% Due 03-15-2026/03-22-2016 BEO | | | 321,750 |
| | Pvtpl Lg | 5.875% Due 11-01-2024/10-27-2016 BEO | | | 279,125 |
| | Pvtpl LLCm Ltd Partnership Ser | SER 12A CL AR Fltg RT 10-19-2022 | | | 499,001 |
| | Pvtpl Mallinckrodt | 5.625% Due 10-15-2023 | | | 265,762 |
| | Pvtpl Mastr Specialized | 2006-01 MTG PassThru CTF CL 144A A 1-25-36 | | | 21,879 |
| | Pvtpl Mdc Partners Inc | 6.5% Due 05-01-2024 | | | 310,500 |
| | Pvtpl Micron Technology Inc | 5.25% Due 08-01-2023/02-03-2015 BEO | | | 552,063 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Pvtpl Midas Inter Holdco | 7.875% Due 10-01-2022 BEO | | | $ 361,375 |
| | Pvtpl Midcontinent Fixed | 6.875% Due 08-15-2023 | | | 106,500 |
| | Pvtpl Montefiore Med Ctr Ny | TAXBL REV BD 144A Due 05-20-27 | | | 516,398 |
| | Pvtpl Moog Inc | 5.25% Due 12-01-2022/11-21-2014 BEO | | | 357,000 |
| | Pvtpl Navient Student Ln | 2016-5 NT CLA Fltg 144A VAR RT Due 06-25-2065 BEO | | | 1,191,379 |
| | Pvtpl New York Life Global | 1.95% Due 02-11-2020 | | | 595,665 |
| | Pvtpl Ngl Energy Partners LP | 7.5% Due 11-01-2023 BEO | | | 335,563 |
| | Pvtpl Nissan Mtr Accep Corp | 1.95 Due 09-12-2017 BEO | | | 401,147 |
| | Pvtpl Nrg Energy Inc | 7.25% Due 05-15-2026/05-23-2016 BEO | | | 348,250 |
| | Pvtpl Nrg Energy Inc | 6.625% Due 01-15-2027/08-02-2016 BEO | | | 212,625 |
| | Pvtpl Nuance Communications Inc | 6% Due 07-01-2024/06-21-2016 BEO | | | 361,375 |
| | Pvtpl Numericable Group S A | 7.375 Due 05-01-2026/04-11-2016 BEO | | | 538,125 |
| | Pvtpl Numericable Group S A | 6% Due 05-15-2022/05-08-2014 BEO | | | 256,562 |
| | Pvtpl Post Holdings Inc | 6.75% Due 12-01-2021/11-18-2013 BEO | | | 613,813 |
| | Pvtpl President & Fellows Harvard | 6.5% Due 01-15-2039 | | | 851,693 |
| | Pvtpl Prestige Brands Inc | 5.375% Due 12-15-2021/12-17-2013 BEO | | | 592,250 |
| | Pvtpl Quicken Loans Inc | 5.75% Due 05-01-2025 BEO | | | 559,188 |
| | Pvtpl Range Resources Corp | 5.875% Due 07-01-2022/09-16-2016 BEO | | | 546,000 |
| | Pvtpl Range Resources Corp | 5% Due 03-15-2023/09-16-2016 BEO | | | 396,000 |
| | Pvtpl Realogy Group LLC | 5.25% Due 12-01-2021 | | | 461,250 |
| | Pvtpl Regionalcare Hosp Partners | 8.25% Due 05-01-2023 | | | 324,188 |
| | Pvtpl Renaissance Acquisition Corp | 6.875% Due 08-15-2021 | | | 298,500 |
| | Pvtpl Rite Aid Corp | 6.125% Due 04-01-2023/04-02-2015 BEO | | | 456,875 |
| | Pvtpl Sinclair T.V. Group Inc | 5.625% Due 08-01-2024/07-23-2014BEO | | | 102,250 |
| | Pvtpl Sirius Xm Radio Inc | 6% Due 07-15-2024 BEO | | | 653,125 |
| | Pvtpl Southern Star Cent Corp | 5.125% Due 07-15-2022/06-16-2014 BEO | | | 177,188 |
| | Pvtpl Steelriver Transm Co LLC | 4.71% Due 06-30-2017/11-22-2010 BEO | | | 137,492 |
| | Pvtpl Sterigenics-Nordion Hldgs | 6.5% Due 05-15-2023 BEO | | | 203,500 |
| | Pvtpl Tegna Inc | 5.5% Due 09-15-2024 | | | 505,000 |
| | Pvtpl Telesat Cda/Telesat LLC | 8.875% Due 11-15-2024 | | | 390,937 |
| | Pvtpl Tenet Healthcare Corp | 7.5% Due 01-01-2022 | | | 78,188 |
| | Pvtpl Thl Cr Wind Riv | SR 13-2A CL A-2A 144A Fltg 01-18-26 | | | 401,637 |
| | Pvtpl Trinidad Drilling Ltd | 7.875% Due 01-15-2019/01-15-2017 BEO | | | 448,875 |
| | Pvtpl Univision Communications Inc | 5.125% Due 05-15-2023 BEO | | | 615,625 |
| | Pvtpl Univision Communications Inc | 6.75% Due 09-15-2022 | | | 105,000 |
| | Pvtpl Upcb Fin Iv Ltd | 5.375% Due 01-15-2025/04-15-2015 BEO | | | 856,375 |
| | Pvtpl Valeant Pharmaceuticals | 6.375% Due 10-15-2020/10-04-2012 BEO | | | 300,671 |
| | Pvtpl Venture Vii Cdo Ltd | RT Due 01-20-2022 BEO | | | 380,414 |
| | Pvtpl Venture X Clo Ltd | SER 12 -10A CL AR 07-20-2022 | | | 599,698 |
| | Pvtpl Vibrant Clo Corp | SR SECD NT CL A-1AR Fltg 144A VAR RT 07-17-2024 BEO | | | 465,264 |
| | Pvtpl Viking Cruises Ltd | 8.5% Due 10-15-2022 | | | 726,250 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Pvtpl Virgin Media Fin Plc | 6% Due 10-15-2024 | | | $ 489,250 |
| | Pvtpl Volkswagen Group Amer | 2.125 Due 05-23-2019 | | | 497,552 |
| | Pvtpl Voya Clo | SR 2012-3AR CL AR Fltg Due 10-15-2022 | | | 300,351 |
| | Pvtpl Voya Clo Ltd | Fltg RT 10-15-2022 | | | 200,252 |
| | Pvtpl Vpii Escr Corp | 6.75% Due 08-15-2018 | | | 213,187 |
| | Pvtpl Vrx Escrow Corp | 5.375% Due 03-15-2020/03-27-2015 BEO | | | 295,750 |
| | Pvtpl West Corp | 5.375% Due 07-15-2022/07-01-2014 BEO | | | 265,719 |
| | Pvtpl Wmg Acquisition Corp | 6.75% Due 04-15-2022/04-09-2014 BEO | | | 105,250 |
| | Pvtpl Xpo Logistics Inc | 6.125% Due 09-01-2023/08-25-2016 BEO | | | 548,625 |
| | Pvtpl Zekelman Inds Inc | 9.875% Due 06-15-2023/06-14-2016 BEO | | | 112,000 |
| | Pvtpl Ziggo | 5.875% 01-15-2025 | | | 500,000 |
| | Pvtpl1 Endeavor Energy Resource | SR NT 7% Due 08-15-2021 | | | 416,000 |
| | Pvtpl1 Cablevision Sys | SR NT 8% Due 04-15-2020 | | | 548,750 |
| | Pvtpl1 Psignode Indl Group Us Inc | 6.375% 05-01-2022 | | | 1,082,288 |
| | Qep Res Inc | 6.875% Due 03-01-2021 | | | 531,250 |
| | Quebecor Media Inc | 5.75% Due 01-15-2023 | | | 374,537 |
| | Quintiles | 4.875% Due 05-15-2023 | | | 253,750 |
| | Rabobank | 8.4%-STP T1 Perp USD100000 | | | 411,460 |
| | Rackspace Hosting, Inc. | Term B Loan Due 11-03-2023 BEO | | | 126,348 |
| | Range Res Corp | 4.875% Due 05-15-2025 | | | 363,281 |
| | Realkredit Danmark | 1% BDS 01/04/17 DKK0.01 | | | 5,196,145 |
| | Realkredit Danmark | 2% CVD BDS 01/04/17 DKK0.01 | | | 114,166 |
| | Realkredit Danmark | 1% BDS 01/01/17 DKK0.01 | | | 113,482 |
| | Realkredit Danmark | 1% BDS 01/04/17 DKK0.01 | | | 42,708 |
| | Reynolds Group | 5.75% Due 10-15-2020 | | | 232,031 |
| | Reynolds Group | STEP UP Due 02-15-2021 | | | 98,468 |
| | Reynolds Group | 7% Due 07-15-2024 | | | 398,672 |
| | Reynolds Group | 6.875% Due 02-15-2021 | | | 100,040 |
| | Rice Energy Inc | 6.25% Due 05-01-2022 | | | 616,500 |
| | Rite Aid Corp | 6.75% Due 06-15-2021 | | | 157,500 |
| | Rose Rock | 5.625% Due 07-15-2022 | | | 368,438 |
| | Royal Bank Of Scot | 6.934% Sub Mtn 09/04/18 EUR | | | 113,350 |
| | Safway Group Holding LLC | Term Loan B Due08-21-2023 BEO | | | 298,309 |
| | Sanchez Energy | 7.75% Due 06-15-2021 | | | 152,625 |
| | Santander Hldgs | 2.38011% Due 11-24-2017 | | | 201,714 |
| | Santander Uk Plc | 2.5% Due 03-14-2019 | | | 301,752 |
| | Schlumberger Hldgs Corp | CPN 01-17-2017 | | | 399,786 |
| | Scientific Games Intl Inc | 6.25% Due 09-01-2020 REG | | | 297,500 |
| | Sesi L L C | 6.375% Due 05-01-2019 | | | 275,000 |
| | Sinclair T.V. | 6.125% Due 10-01-2022 | | | 700,560 |
| | Slm Corp | 7.25% Due 01-25-2022 | | | 635,250 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Southern Gas | 6.875% 24/03/2026 | | | $ 215,800 |
| | Springleaf Fin Corp | 7.75% Due 10-01-2021 | | | 369,250 |
| | Springleaf Fin Corp | 8.25% Due 12-15-2020 | | | 108,750 |
| | Springleaf Mtg Ln | Fltg RT 1.77999997139% Due 12-25-2065 | | | 162,439 |
| | Sprint Corporation | 7.125% Due 06-15-2024 | | | 772,500 |
| | Sprint Corporation | 7.25% Due 09-15-2021 | | | 488,750 |
| | Sprint Corporation | 7.625% Due 02-15-2025 | | | 210,250 |
| | Sprint Corporation | 6.9% Due 05-01-2019 | | | 185,281 |
| | Sprint Nextel Corp | 9.125% Due 03-01-2017 REG | | | 404,500 |
| | Sprint Nextel Corp | 6% Due 11-15-2022 | | | 328,445 |
| | Sprint Nextel Corp | 7% Due 08-15-2020 | | | 238,525 |
| | Ssb No 1 Plc | BDS 10/03/23 USD7000 | | | 195,000 |
| | Starwood Ppty | 5% Due 12-15-2021 | | | 101,340 |
| | Statoil Asa | 3.125 Due 08-17-2017 | | | 606,832 |
| | Std Inds Inc | 5.875% Due 11-15-2024 | | | 329,875 |
| | Std Inds Inc | 5.5% Due 02-15-2023 | | | 103,510 |
| | Sterigenics-Nordio | 8.125% Due 11-01-2021 | | | 472,625 |
| | Subn Propane | 7.375% Due 08-01-2021 | | | 243,225 |
| | Sumitomo Mitsui | 2.934% Due 03-09-2021 | | | 301,570 |
| | Summit Matls LLC | 6.125% Due 07-15-2023 | | | 564,432 |
| | Sunoco LP | 6.25% Due 04-15-2021 | | | 560,313 |
| | Surgical Care | 6% Due 04-01-2023 | | | 438,813 |
| | Sydney Airport | 5.125 Due 02-22-2021 | | | 434,289 |
| | Synchrony | 2.28678% Due 11-09-2017 | | | 402,619 |
| | Talen Energy Sup | 6.5% Due 06-01-2025 | | | 347,625 |
| | Teck Resources Ltd | 4.75% Due 01-15-2022 | | | 1,002,500 |
| | Tenet Healthcare | 6.75% Due 02-01-2020 | | | 481,250 |
| | Tenet Healthcare | SR Secd NT Fltg Due 06-15-2020/06-27-2016 REG | | | 226,688 |
| | Tenet Healthcare | 5.5% 03-01-2019 | | | 98,260 |
| | Terex Corp | 6% Due 05-15-2021 | | | 613,500 |
| | Tesoro Logistics | 6.25% Due 10-15-2022 | | | 530,000 |
| | Time Warner Inc | 4.9% Due 06-15-2042 | | | 400,145 |
| | T-Mobile Usa Inc | 6.5% Due 01-15-2026 | | | 270,313 |
| | T-Mobile Usa Inc | 6.375% Due 03-01-2025 | | | 267,188 |
| | T-Mobile Usa Inc | 6.125% Due 01-15-2022 | | | 263,750 |
| | T-Mobile Usa Inc | 6.542% Due 04-28-2020 | | | 257,500 |
| | T-Mobile Usa Inc | 6.731% Due 04-28-2022 | | | 182,875 |
| | Toledo Edison Co | 7.25% Due 05-01-2020 | | | 90,719 |
| | Toronto Dominion | 2.25% Due 09-25-2019 | | | 302,388 |
| | Total Cap | 4.45% Due 06-24-2020 | | | 322,799 |
| | Townsquare Media | 6.5% Due 04-01-2023 | | | 477,500 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Corporate debt instruments (continued) | | | |
| | Transdigm Inc | 6.375% Due 06-15-2026 | | | $ 385,125 |
| | Transdigm Inc | 6.5% Due 05-15-2025 | | | 366,625 |
| | Tronox Fin LLC | 6.375 Due 08-15-2020 | | | 163,625 |
| | UBS Ag Jersey | BRH 22/02/2022 | | | 302,387 |
| | UBS Ag Stamford | 7.625% Due 08-17-2022 | | | 793,625 |
| | UBS Ag Stamford | 1.375% Due 08-14-2017 | | | 535,825 |
| | Unibail-Rodamco Se Frn Emtn | 04/19 USD200000'90 | | | 298,830 |
| | Unit Corp | 6.625% Due 05-15-2021 | | | 218,250 |
| | United Rentals North Amer Inc | 6.125% Due 06-15-2023 | | | 318,000 |
| | United Rentals North Amer Inc | 5.5% Due 07-15-2025 | | | 102,000 |
| | Univar Usa Inc | 6.75% Due 07-15-2023 | | | 696,938 |
| | USI Inc (Aka Compass Investors Inc.) | Term Ln 2013 Due 12-27-2019 BEO | | | 482,767 |
| | Utd Rentals N Amer | 5.875% Due 09-15-2026 | | | 360,063 |
| | Verizon | 5.15% BDS Due 09-15-2023 USD2000 REG | | | 884,594 |
| | Verizon | 4.672% Due 03-15-2055 | | | 727,810 |
| | Verizon | 4.6% Due 04-01-2021 | | | 536,108 |
| | Volkswagen Group | 1.38622% Due 05-22-2018 | | | 199,048 |
| | Vtb Capital Sa Luxembourg | 6.95% 17/10/2022 | | | 215,836 |
| | Weatherford Intl | 4.5% Due 04-15-2022 | | | 99,763 |
| | Wells Fargo & Co | NT Fltg Due 10-31-2023/10-31-2022 REG | | | 708,640 |
| | Wells Fargo & Co | 1.95806% Due 12-07-2020 | | | 503,475 |
| | Wells Fargo & Co | WEL2.28167% Due 03-04-2021 | | | 204,294 |
| | Wells Fargo Home | Fltg RT 1.77111% Due 10-25-2034 | | | 73,105 |
| | Wesco Distr Inc | 5.375% Due 06-15-2024 | | | 551,375 |
| | Weyerhaeuser Co | 7.375% Due 10-01-2019 | | | 224,517 |
| | Whiting Pete Corp 5% Due 03-15-2019 | 5% Due 03-15-2019 | | | 466,818 |
| | Wideopenwest | 10.25% Due 07-15-2019 | | | 712,125 |
| | Wind Acqstn | 6.5% Due 04-30-2020 | | | 416,000 |
| | Wpx Energy Inc | 7.5% Due 08-01-2020 | | | 430,000 |
| | Wpx Energy Inc | 6% Due 01-15-2022 | | | 128,125 |
| | YPF Sociedad Anonima | 8.875 12-19-2018 | | | 43,510 |
| | Zayo Group LLC | 6.375% Due 05-15-2025 | | | 522,500 |
| | | | | | |
| | Derivative investments | | | | |
| | ANZ Banking Corp | Fx Deal Transacted On 06 Dec, 2016 Usd Krw Ex.Rate 0.000854 | | 1,967 |
| | ANZ Banking Corp | Fx Deal Transacted On 02 Dec, 2016 Usd Twd Ex.Rate 0.031313 | | 160 |
| | Bank of America | Fx Deal Transacted On 28 Apr, 2016 Usd Dkk Ex.Rate 0.154521 | | 210,171 |
| | Bank of America | Fx Deal Transacted On 20 Oct, 2016 Usd Mxn Ex.Rate 0.053260 | | 73,215 |
| | Bank of America | Fx Deal Transacted On 28 Sep, 2016 Usd Dkk Ex.Rate 0.151791 | | 33,306 |
| | Bank of America | Fx Deal Transacted On 12 Oct, 2016 Usd Mxn Ex.Rate 0.052115 | | 27,906 |
| | Bank of America | Fx Deal Transacted On 28 Dec, 2016 Eur Usd Ex.Rate 0.961538 | | 17,530 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Derivative investments (continued) | | | |
| | Bank of America | Fx Deal Transacted On 25 Oct, 2016 Usd Twd Ex.Rate 0.031824 | | $ 14,616 |
| | Bank of America | Fx Deal Transacted On 23 Nov, 2016 Rub Usd Ex.Rate 65.320000 | | 9,385 |
| | Bank of America | Fx Deal Transacted On 11 Nov, 2016 Usd Sgd Ex.Rate 0.708933 | | 6,558 |
| | Bank of America | Fx Deal Transacted On 28 Sep, 2016 Usd Dkk Ex.Rate 0.151791 | | 5,602 |
| | Bank of America | Fx Deal Transacted On 11 Mar, 2016 Usd Dkk Ex.Rate 0.151400 | | 4,508 |
| | Bank of America | Fx Deal Transacted On 02 Dec, 2016 Usd Gbp Ex.Rate 1.262395 | | 2,344 |
| | Bank of America | Fx Deal Transacted On 05 Dec, 2016 Usd Twd Ex.Rate 0.031182 | | 284 |
| | Bank of America | Fx Deal Transacted On 02 Dec, 2016 Usd Twd Ex.Rate 0.031333 | | 91 |
| | Bank of America | Fx Deal Transacted On 13 Jan, 2016 Usd Cnh Ex.Rate 0.144875 | | 41 |
| | Bank of America | Fx Deal Transacted On 06 Jan, 2016 Usd Cny Ex.Rate 0.144875 | | 32 |
| | BNP | Brl /Zero 0.0% Bnpagb22 02/01/2018 1540869470 | | | 334 |
| | BNP | Buy Prot On Colombia (Republic Of 12-20-20211539739308 | | | 11,244 |
| | BNP | Buy Prot On Colombia (Republic Of 12-20-20211539819688 | | | 8,220 |
| | BNP | Fx Deal Transacted On 17 Nov, 2016 Usd Jpy Ex.Rate 0.009220 | | 186,813 |
| | BNP | Fx Deal Transacted On 28 Nov, 2016 Usd Gbp Ex.Rate 1.250450 | | 78,856 |
| | BNP | Fx Deal Transacted On 28 Nov, 2016 Brl Usd Ex.Rate 3.438700 | | 22,857 |
| | BNP | Fx Deal Transacted On 21 Nov, 2016 Rub Usd Ex.Rate 65.085000 | | 14,493 |
| | BNP | Fx Deal Transacted On 22 Nov, 2016 Rub Usd Ex.Rate 64.532500 | | 12,254 |
| | BNP | Fx Deal Transacted On 11 Nov, 2016 Zar Usd Ex.Rate 14.426164 | | 11,778 |
| | BNP | Fx Deal Transacted On 09 Dec, 2016 Brl Usd Ex.Rate 3.407680 | | 10,654 |
| | BNP | Fx Deal Transacted On 28 Nov, 2016 Zar Usd Ex.Rate 13.981500 | | 8,639 |
| | BNP | Fx Deal Transacted On 28 Nov, 2016 Usd Eur Ex.Rate 1.060640 | | 8,312 |
| | BNP | Fx Deal Transacted On 30 Dec, 2016 Twd Usd Ex.Rate 32.869999 | | 8,211 |
| | BNP | Fx Deal Transacted On 11 Nov, 2016 Mxn Usd Ex.Rate 21.335453 | | 7,601 |
| | BNP | Fx Deal Transacted On 02 Dec, 2016 Usd Eur Ex.Rate 1.066642 | | 7,081 |
| | BNP | Fx Deal Transacted On 06 Dec, 2016 Usd Try Ex.Rate 0.287597 | | 6,220 |
| | BNP | Fx Deal Transacted On 09 Nov, 2016 Pen Usd Ex.Rate 3.411800 | | 6,065 |
| | BNP | Fx Deal Transacted On 30 Dec, 2016 Usd Twd Ex.Rate 0.031279 | | 5,600 |
| | BNP | Fx Deal Transacted On 14 Nov, 2016 Mxn Usd Ex.Rate 21.117999 | | 5,534 |
| | BNP | Fx Deal Transacted On 18 Nov, 2016 Usd Mxn Ex.Rate 0.048757 | | 3,523 |
| | BNP | Fx Deal Transacted On 11 Nov, 2016 Usd Gbp Ex.Rate 1.263431 | | 3,486 |
| | BNP | Fx Deal Transacted On 28 Dec, 2016 Brl Usd Ex.Rate 3.302099 | | 2,320 |
| | BNP | Fx Deal Transacted On 17 Nov, 2016 Inr Usd Ex.Rate 68.342900 | | 2,140 |
| | BNP | Fx Deal Transacted On 15 Nov, 2016 Inr Usd Ex.Rate 68.405400 | | 1,315 |
| | BNP | Fx Deal Transacted On 27 Oct, 2016 Usd Twd Ex.Rate 0.031653 | | 1,232 |
| | BNP | Fx Deal Transacted On 18 Nov, 2016 Usd Twd Ex.Rate 0.031075 | | 889 |
| | BNP | Fx Deal Transacted On 13 Dec, 2016 Usd Inr Ex.Rate 0.014748 | | 849 |
| | BNP | Fx Deal Transacted On 02 Dec, 2016 Try Usd Ex.Rate 3.619720 | | 826 |
| | BNP | Fx Deal Transacted On 11 Nov, 2016 Usd Inr Ex.Rate 0.014792 | | 822 |
| | BNP | Fx Deal Transacted On 30 Nov, 2016 Mxn Usd Ex.Rate 20.724945 | | 555 |
| | BNP | Fx Deal Transacted On 14 Nov, 2016 Mxn Usd Ex.Rate 21.087429 | | 244 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Derivative investments (continued) | | | |
| | BNP | Fx Deal Transacted On 22 Dec, 2016 Usd Krw Ex.Rate 0.000828 | | $ 142 |
| | BNP | Fx Deal Transacted On 30 Dec, 2016 Brl Usd Ex.Rate 3.259099 | | 104 |
| | BNP | Fx Deal Transacted On 30 Dec, 2016 Mxn Usd Ex.Rate 20.718600 | | 37 |
| | BNP | Fx Deal Transacted On 01 Dec, 2016 Usd Myr Ex.Rate 0.222766 | | 22 |
| | BNP | OTC Derivative Cash Collateral Receivable | | | 257,000 |
| | BNP | Purc Protection On People'Srep Of Chin 12-20-2021 1538718238 | | | 9,101 |
| | BNP | Purc Protection On China 12-20-2021 1542465798 | | | 7,446 |
| | BNP | USD 12M 8.68%/3MLIBOR BNPAGB22 01-11-2018 1539571908 | | 15,640 |
| | BNP | USD 12M 9.04%/3MLIBOR BNPAGB22 02-15-2018 1542461146 | | 806 |
| | CFSBUS | Buy Prot On Colombia (Republic Of 12-20-20211539819459 | | | 6,693 |
| | CFSBUS | Sell Protection ON CDX NAIGS25V1 5Y 12-20-2020 SWPC0B1G7 | | 40,911 |
| | CFSBUS | Sell Protection ON CDX NAIGS26V1 5Y 06-20-2021 SWPC0CHQ6 | | 13,287 |
| | CFSBUS | Sell Protection ON CDX NAIGS27V1 5Y 12-20-2021 SWPC0DTU2 | | 10,590 |
| | CFSBUS | Sell Protection ON PRUDENTIAL FINL INC 12-20-2018 SWPC0EB70 | | 7,247 |
| | CFSBUS | Sell Protection ON METLIFE INC 12-20-2018 SWPC0EB39 | | | 6,555 |
| | CFSBUS | Sell Prot On Volkswagen Internati 20/06/2017 Swpc0Ehw9 | | | 759 |
| | Citibank | OTC Derivative Cash Collateral Receivable | | | 410,000 |
| | Citibank | Fx Deal Transacted On 01 Dec, 2016 Usd Nzd Ex.Rate 0.707750 | | 13,651 |
| | Citibank | Fx Deal Transacted On 30 Dec, 2016 Brl Usd Ex.Rate 3.259099 | | 68 |
| | Citigroup | CME_IRS CME_SBSIUS USD P 2.25%/R 3M LIBOR 12/21/2046 SWU00INI4 | 112,968 |
| | Citigroup | CME_IRS CME_SBSIUS USD P 2.5%/R 3M LIBOR 02/22/2026 SWU00GU74 | 67,145 |
| | Citigroup | CME_IRS CME_SBSIUS USD P 2.4%/R 3M LIBOR 03/16/2026 SWU00HB08 | 31,352 |
| | Citigroup | CME_IRS CME_SBSIUS USD P 3M LIBOR/R 2.5% 12/19/2023 SWU00KKD3 | 4,653 |
| | Citigroup | CME_IRS CME_SBSIUS MXN P 28D TIIE/R 8.04% 17/12/2026 SWU00KNI9 | 1,243 |
| | Citigroup | CME_IRS CME_SBSIUS MXN P 28D TIIE/R 8.3% 11/12/2031 SWU00KNJ7 | | 413 |
| | Citigroup | LCH_IRS LCH_SBSIUS USD P 1.75%/R 3M LIBOR 12/21/2026 SWU00INB9 | 31,322 |
| | Citigroup | LCH_IRS LCH_SBSIUS USD P 1.5%/R 3M LIBOR 12/21/2021 SWU00IN78 | | 4,445 |
| | Citigroup | Put Swptn USD CITIUS33 6M 1.2%/3MLIBOR | | | 5,188 |
| | Credit Agricole | Fx Deal Transacted On 28 Dec, 2016 Gbp Usd Ex.Rate 0.816787 | | 63,262 |
| | Credit Suisse | Fx Deal Transacted On 27 Oct, 2016 Usd Jpy Ex.Rate 0.009617 | | 277,308 |
| | Credit Suisse | Fx Deal Transacted On 08 Dec, 2016 Usd Krw Ex.Rate 0.000861 | | 1,752 |
| | Credit Suisse | Fx Deal Transacted On 12 Dec, 2016 Rub Usd Ex.Rate 62.019999 | | 500 |
| | Credit Suisse | Fx Deal Transacted On 27 Oct, 2016 Usd Twd Ex.Rate 0.031665 | | 433 |
| | Credit Suisse | Fx Deal Transacted On 11 Nov, 2016 Usd Hkd Ex.Rate 0.128999 | | 10 |
| | Credit Suisse | LCH_IRS LCH_CSFBUS USD P 1.5%/R 3M LIBOR 12/21/2021 SWU00IN78 | | 175,586 |
| | Credit Suisse | LCH_IRS LCH_CSFBUS USD P 1.75%/R 3M LIBOR 12/21/2026 SWU00INB9 | 9,025 |
| | Credit Suisse | LCH_IRS LCH_CSFBUS USD P 2.25%/R 3M LIBOR 06/15/2026 SWU00FAB9 | 2,836 |
| | CSFBUS | CME_IRS CME_CSFBUS GBP P .75%/R 6M LIBOR 15/03/2027 SWU00JOF7 | 48,834 |
| | CSFBUS | CME_IRS CME_CSFBUS USD P 1.5%/R 3M LIBOR 06/15/2019 SWU00H8N2 | 45,624 |
| | CSFBUS | CME_IRS CME_CSFBUS USD P 1.45%/R 3M LIBOR 06/28/2021 SWU00ISZ1 | 32,755 |
| | CSFBUS | CME_IRS CME_CSFBUS USD P 2.3%/R 3M LIBOR 04/27/2026 SWU00I172 | 28,027 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Derivative investments (continued) | | | |
| | CSFBUS | CME_IRS CME_CSFBUS USD P 1.85%/R 3M LIBOR 07/27/2026 SWU00JC37 | $ 21,468 |
| | CSFBUS | CME_IRS CME_CSFBUS USD P 3M LIBOR/R 2.25% 12/16/2022 SWU00D991 | 18,773 |
| | Deutche Bank | Call Swaption Usd Deutgb2L 3Mlibor | | | 11,807 |
| | Deutche Bank | Call Swaption Usd Deutgb2L 3Mlibor | | | 7,871 |
| | Deutche Bank | Fx Deal Transacted On 18 Nov, 2016 Brl Usd Ex.Rate 3.462493 | | 62,379 |
| | Deutche Bank | Fx Deal Transacted On 08 Dec, 2016 Usd Krw Ex.Rate 0.000862 | | 7,650 |
| | Deutche Bank | Fx Deal Transacted On 04 Nov, 2016 Brl Usd Ex.Rate 3.298640 | | 7,201 |
| | Deutche Bank | Fx Deal Transacted On 18 Nov, 2016 Brl Usd Ex.Rate 3.462492 | | 1,924 |
| | Deutche Bank | Fx Deal Transacted On 06 Jan, 2016 Usd Cnh Ex.Rate 0.144466 | | 1,831 |
| | Deutche Bank | Fx Deal Transacted On 11 Nov, 2016 Usd Inr Ex.Rate 0.014790 | | 402 |
| | Deutche Bank | Fx Deal Transacted On 11 Nov, 2016 Usd Inr Ex.Rate 0.014792 | | 129 |
| | Deutche Bank | Fx Deal Transacted On 21 Dec, 2016 Usd Sgd Ex.Rate 0.692549 | | 19 |
| | Deutche Bank | OTC Derivative Cash Collateral Receivable | | | 340,000 |
| | Deutche Bank | Put Swptn USD DEUTGB2L 6M 2.15%/3MLIBOR8 | | | 45,266 |
| | Deutche Bank | Put Swptn USD DEUTGB2L 6M 2.86%/3MLIBOR | | | 37,904 |
| | Deutche Bank | Put Swptn USD DEUTGB2L 6M 2.15%/3MLIBOR | | | 30,177 |
| | Goldman Sachs | CME_IRS CME_GOLDUS USD P 2.25%/R 3M LIBOR 12/21/2046 SWU00INI4 | 270,487 |
| | Goldman Sachs | CME_IRS CME_GOLDUS USD P 1.75%/R 3M LIBOR 12/21/2026 SWU00INA1 | 143,613 |
| | Goldman Sachs | CME_IRS CME_GOLDUS USD P 1.5%/R 3M LIBOR 12/21/2021 SWU00IN60 | 111,159 |
| | Goldman Sachs | CME_IRS CME_GOLDUS USD P 2.5%/R 3M LIBOR 06/15/2046 SWU00FLJ0 | 45,860 |
| | Goldman Sachs | Fx Deal Transacted On 09 Dec, 2016 Rub Usd Ex.Rate 63.974999 | | 6,967 |
| | Goldman Sachs | Fx Deal Transacted On 05 Dec, 2016 Usd Krw Ex.Rate 0.000852 | | 2,032 |
| | Goldman Sachs | Fx Deal Transacted On 29 Nov, 2016 Usd Twd Ex.Rate 0.031446 | | 1,467 |
| | Goldman Sachs | Fx Deal Transacted On 27 Dec, 2016 Sgd Usd Ex.Rate 1.448500 | | 948 |
| | Goldman Sachs | Fx Deal Transacted On 30 Dec, 2016 Brl Usd Ex.Rate 3.259100 | | 710 |
| | Goldman Sachs | Fx Deal Transacted On 29 Nov, 2016 Usd Twd Ex.Rate 0.031402 | | 547 |
| | Goldman Sachs | OTC Derivative Cash Collateral Receivable | | | 161,000 |
| | Goldman Sachs | PutT Swptn USD GSCMUS33 6M 1.25%/3MLIBOR | | | 896 |
| | Goldman Sachs | Sell Protection ON CDX NAIGS27V1 5Y 12-20-2021 SWPC0DTU2 | | 86,238 |
| | HSBC Bank | CME_ZCS CME_CSFBUS BRL P 1D BZDIO/R 11.78% 04/01/2021 1543653230 | 11,709 |
| | HSBC Bank | Fx Deal Transacted On 25 Oct, 2016 Usd Cnh Ex.Rate 0.147091 | | 61,973 |
| | HSBC Bank | Fx Deal Transacted On 19 Oct, 2016 Usd Cny Ex.Rate 0.147091 | | 60,340 |
| | HSBC Bank | Fx Deal Transacted On 10 Nov, 2016 Usd Idr Ex.Rate 0.000074 | | 29,952 |
| | HSBC Bank | Fx Deal Transacted On 11 Nov, 2016 Usd Cny Ex.Rate 0.145454 | | 21,024 |
| | HSBC Bank | Fx Deal Transacted On 10 Nov, 2016 Usd Krw Ex.Rate 0.000864 | | 20,752 |
| | HSBC Bank | Fx Deal Transacted On 09 Nov, 2016 Cop Usd Ex.Rate 3058.809993 | | 13,426 |
| | HSBC Bank | Fx Deal Transacted On 14 Nov, 2016 Usd Cny Ex.Rate 0.145359 | | 12,688 |
| | HSBC Bank | Fx Deal Transacted On 05 Dec, 2016 Usd Eur Ex.Rate 1.075801 | | 12,480 |
| | HSBC Bank | Fx Deal Transacted On 14 Dec, 2016 Usd Krw Ex.Rate 0.000849 | | 11,630 |
| | HSBC Bank | Fx Deal Transacted On 16 Nov, 2016 Zar Usd Ex.Rate 14.476393 | | 11,338 |
| | HSBC Bank | Fx Deal Transacted On 09 Nov, 2016 Eur Huf Ex.Rate 0.003264 | | 8,719 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Derivative investments (continued) | | | |
| | HSBC Bank | Fx Deal Transacted On 02 Dec, 2016 Huf Eur Ex.Rate 314.382798 | | $ 8,054 |
| | HSBC Bank | Fx Deal Transacted On 11 Nov, 2016 Usd Krw Ex.Rate 0.000855 | | 7,589 |
| | HSBC Bank | Fx Deal Transacted On 11 Nov, 2016 Usd Krw Ex.Rate 0.000855 | | 6,911 |
| | HSBC Bank | Fx Deal Transacted On 18 Nov, 2016 Zar Usd Ex.Rate 14.546697 | | 6,503 |
| | HSBC Bank | Fx Deal Transacted On 11 Nov, 2016 Usd Twd Ex.Rate 0.031238 | | 4,784 |
| | HSBC Bank | Fx Deal Transacted On 14 Dec, 2016 Usd Mxn Ex.Rate 0.048843 | | 4,477 |
| | HSBC Bank | Fx Deal Transacted On 07 Dec, 2016 Usd Try Ex.Rate 0.288585 | | 3,493 |
| | HSBC Bank | Fx Deal Transacted On 02 Dec, 2016 Zar Usd Ex.Rate 14.254374 | | 2,648 |
| | HSBC Bank | Fx Deal Transacted On 17 Nov, 2016 Huf Eur Ex.Rate 309.821700 | | 1,316 |
| | HSBC Bank | Fx Deal Transacted On 30 Nov, 2016 Idr Usd Ex.Rate 13691.000000 | | 983 |
| | HSBC Bank | Fx Deal Transacted On 02 Dec, 2016 Pln Usd Ex.Rate 4.218973 | | 534 |
| | HSBC Bank | Fx Deal Transacted On 30 Nov, 2016 Mxn Usd Ex.Rate 20.679981 | | 149 |
| | HSBC Bank | Fx Deal Transacted On 30 Nov, 2016 Usd Thb Ex.Rate 0.027984 | | 138 |
| | HSBC Bank | Fx Deal Transacted On 30 Dec, 2016 Usd Eur Ex.Rate 1.058689 | | 26 |
| | JP Morgan Chase | OTC Derivative Cash Collateral Receivable | | | 170,000 |
| | JP Morgan Chase | Fx Deal Transacted On 15 Mar, 2016 Usd Dkk Ex.Rate 0.151148 | | 167,045 |
| | JP Morgan Chase | Fx Deal Transacted On 19 Oct, 2016 Usd Krw Ex.Rate 0.000890 | | 96,425 |
| | JP Morgan Chase | USD 12M 8.07%/3MLIBOR BNPAGB22 03-20-2018 1544908841 | | 25,567 |
| | JP Morgan Chase | Fx Deal Transacted On 17 Nov, 2016 Brl Usd Ex.Rate 3.479000 | | 11,830 |
| | JP Morgan Chase | Fx Deal Transacted On 11 Nov, 2016 Usd Cny Ex.Rate 0.145761 | | 8,995 |
| | JP Morgan Chase | Fx Deal Transacted On 05 Dec, 2016 Usd Gbp Ex.Rate 1.273424 | | 6,065 |
| | JP Morgan Chase | Fx Deal Transacted On 01 Dec, 2016 Usd Aud Ex.Rate 0.737886 | | 5,039 |
| | JP Morgan Chase | Fx Deal Transacted On 06 Oct, 2016 Brl Usd Ex.Rate 3.309000 | | 4,455 |
| | JP Morgan Chase | Fx Deal Transacted On 02 Dec, 2016 Usd Twd Ex.Rate 0.031313 | | 3,790 |
| | JP Morgan Chase | Fx Deal Transacted On 09 Dec, 2016 Usd Sgd Ex.Rate 0.699971 | | 3,425 |
| | JP Morgan Chase | Fx Deal Transacted On 17 Nov, 2016 Brl Usd Ex.Rate 3.478999 | | 2,068 |
| | JP Morgan Chase | Fx Deal Transacted On 06 Dec, 2016 Usd Krw Ex.Rate 0.000856 | | 1,903 |
| | JP Morgan Chase | Fx Deal Transacted On 02 Dec, 2016 Usd Twd Ex.Rate 0.031268 | | 1,739 |
| | JP Morgan Chase | Fx Deal Transacted On 28 Nov, 2016 Usd Twd Ex.Rate 0.031512 | | 1,682 |
| | JP Morgan Chase | Fx Deal Transacted On 07 Nov, 2016 Usd Krw Ex.Rate 0.000875 | | 1,636 |
| | JP Morgan Chase | Fx Deal Transacted On 09 Nov, 2016 Usd Jpy Ex.Rate 0.009736 | | 1,601 |
| | JP Morgan Chase | Fx Deal Transacted On 23 Nov, 2016 Usd Twd Ex.Rate 0.031263 | | 1,083 |
| | JP Morgan Chase | Fx Deal Transacted On 05 Dec, 2016 Usd Krw Ex.Rate 0.000851 | | 986 |
| | JP Morgan Chase | Fx Deal Transacted On 05 Dec, 2016 Usd Twd Ex.Rate 0.031179 | | 435 |
| | JP Morgan Chase | Fx Deal Transacted On 14 Nov, 2016 Cny Cnh Ex.Rate 1.000000 | | 323 |
| | JP Morgan Chase | Fx Deal Transacted On 30 Dec, 2016 Brl Usd Ex.Rate 3.259100 | | 160 |
| | JP Morgan Chase | Fx Deal Transacted On 30 Dec, 2016 Chf Usd Ex.Rate 1.016851 | | 25 |
| * | Morgan Stanley | OTC Derivative Cash Collateral Receivable | | | 260,000 |
| | NGFP | Call Swapton USD NGFPUS33 3MLIBOR | | | 7,871 |
| | NGFP | Put Swptn USD NGFPUS33 6M 2.15%/3MLIBOR | | | 30,177 |
| | Nomura Global | IR FLR USD 1.6%/3MLIBOR NGFPUS33 12-06-2019 3175C1606 | | 20,769 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Derivative investments (continued) | | | |
| | Royal Canadian Bank | PutT Swptn USD ROYCCAT3IMM 6M 2.765%/3M LIBOR | | | $ 151,685 |
| | SCBLGB2L | Fx Deal Transacted On 25 Oct, 2016 Usd Krw Ex.Rate 0.000879 | | 6,680 |
| | SCBLGB2L | Fx Deal Transacted On 21 Oct, 2016 Usd Myr Ex.Rate 0.238310 | | 4,590 |
| | SCBLGB2L | Fx Deal Transacted On 25 Jan, 2016 Usd Cnh Ex.Rate 0.145465 | | 3,417 |
| | SCBLGB2L | Fx Deal Transacted On 22 Jan, 2016 Usd Cny Ex.Rate 0.145465 | | 2,868 |
| | SCBLGB2L | Fx Deal Transacted On 30 Nov, 2016 Usd Twd Ex.Rate 0.031372 | | 2,757 |
| | SCBLGB2L | Fx Deal Transacted On 23 Dec, 2016 Brl Usd Ex.Rate 3.302750 | | 2,066 |
| | SCBLGB2L | Fx Deal Transacted On 05 Dec, 2016 Usd Krw Ex.Rate 0.000854 | | 800 |
| | SCBLGB2L | Fx Deal Transacted On 30 Nov, 2016 Usd Twd Ex.Rate 0.031404 | | 565 |
| | SCBLGB2L | Fx Deal Transacted On 09 Dec, 2016 Brl Usd Ex.Rate 3.374000 | | 538 |
| | SCBLGB2L | Fx Deal Transacted On 30 Dec, 2016 Brl Usd Ex.Rate 3.259099 | | 374 |
| | SCBLGB2L | Fx Deal Transacted On 02 Dec, 2016 Usd Twd Ex.Rate 0.031347 | | 128 |
| | Societe Generale | Fx Deal Transacted On 15 Sep, 2016 Usd Cny Ex.Rate 0.148301 | | 15,428 |
| | Societe Generale | Fx Deal Transacted On 13 May, 2016 Usd Dkk Ex.Rate 0.153091 | | 9,081 |
| | Societe Generale | Fx Deal Transacted On 22 Dec, 2016 Usd Krw Ex.Rate 0.000835 | | 4,326 |
| | Societe Generale | Fx Deal Transacted On 05 Dec, 2016 Usd Twd Ex.Rate 0.031264 | | 940 |
| | Standard Charter Bank | Fx Deal Transacted On 01 Dec, 2016 Usd Jpy Ex.Rate 0.008802 | | 39,640 |
| | Standard Charter Bank | Fx Deal Transacted On 12 Dec, 2016 Usd Gbp Ex.Rate 1.261927 | | 3,717 |
| | Standard Charter Bank | Fx Deal Transacted On 15 Nov, 2016 Usd Gbp Ex.Rate 1.244129 | | 2,700 |
| | Standard Charter Bank | Fx Deal Transacted On 17 Nov, 2016 Usd Gbp Ex.Rate 1.251024 | | 1,792 |
| | Standard Charter Bank | Fx Deal Transacted On 09 Dec, 2016 Usd Mxn Ex.Rate 0.048708 | | 1,649 |
| | Standard Charter Bank | Fx Deal Transacted On 16 Nov, 2016 Usd Gbp Ex.Rate 1.244333 | | 1,359 |
| | Standard Charter Bank | Fx Deal Transacted On 28 Oct, 2016 Usd Sgd Ex.Rate 0.717385 | | 1,356 |
| | Standard Charter Bank | Fx Deal Transacted On 09 Dec, 2016 Usd Mxn Ex.Rate 0.048708 | | 225 |
| | TD Securities | OTC Derivative Cash Collateral Receivable | | | 260,000 |
| | Toronto Dominion Bank | OTC Derivative Cash Collateral Receivable | | | 20,000 |
| | Toronto Dominion Bank | Fx Deal Transacted On 22 Nov, 2016 Brl Usd Ex.Rate 3.392074 | | 20,759 |
| | Wachovia Bank | IR FLR USD 1.6%/3MLIBOR PNBPUS33CHA 12-06-2019 3175JSF83 | | 20,345 |
| | RPI | 1.57%/US CPI BOFAUS6NGFX 11-23-2020 SWU0AN162 | | | 46,313 |
| | RPI | 1.6775%/US CPI LCH_CSFBUS 05-24-2021 SWU029980 | | | 29,881 |
| | RPI | US CPI/1.73% CHASUS33 07-26-2026SWU0B1326 | | | 15,670 |
| | RPI | 1.565%/US CPI BOFAUS6S 06-07-2018 SWU0C2018 | | | 14,388 |
| | IRS | ZERO 11.96% MIDLGB22 02/01/2019 1538417330 | | | 11,183 |
| | RPI | .80625%/EUR CPI X-TOB LCH_SBSIUS15/04/2021 SWU0C8262 | | 9,467 |
| | RPI | .875%/EUR CPI X-TOB LCH_SBSIUS 15/05/2021 SWU0B4254 | | | 8,041 |
| | RPI | .875%/EUR CPI X-TOB LCH_SBSIUS 15/05/2021 SWU0B4254 | | | 8,041 |
| | RPI | 1.6025%/US CPI CHASUS33 09-12-2021 SWU0C4444 | | | 7,931 |
| | IRS | 3M 3.52%/CNRR0 MIDLGB22 12/12/2021 1544496040 | | | 5,779 |
| | RPI | UK RPI/3.6155% LCH_SBSIUS 15/10/2031 SWU09FG57 | | | 5,333 |
| | RPI | .80625%/EUR CPI X-TOB BNPAFRPP 15/04/2021 SWU09TE42 | | 4,308 |
| | RPI | 1.01%/US CPI BOFAUS6NGFX 10-16-2017 SWU0AM602 | | | 3,607 |
| | | | | (continued) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AT DECEMBER 31, 2016 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Derivative investments (continued) | | | |
| | RPI | 2.0265%/US CPI LCH_SBSIUS 11-23-2020 SWU0C8403 | | | $ 2,821 |
| | RPI | 2.02125%/US CPI LCH_SBSIUS 11-25-2020 SWU0C8452 | | | 2,323 |
| | RPI | .29%/EUR CPI X-TOB LCH_SBSIUS 15/08/2017 SWU0C7900 | | | 1,899 |
| | RPI | 1.565%/US CPI BOFAUS6S 06-07-2018 SWU0C2018 | | | 1,370 |
| | RPI | .89%/FRC CPI X-TOB LCH_SBSIUS 15/11/2018 SWU09HT18 | | | 1,207 |
| | RPI | 1.58%/US CPI BOFAUS6S 05-23-2018SWU0B0708 | | | 927 |
| | RPI | .8825%/EUR CPI X-TOB LCH_SBSIUS 15/11/2018 SWU09MT17 | | 657 |
| | RPI | .8825%/EUR CPI X-TOB LCH_SBSIUS 15/11/2018 SWU09MT17 | | 657 |
| | RPI | .8825%/EUR CPI X-TOB LCH_SBSIUS 15/11/2018 SWU09MT17 | | 657 |
| | RPI | .89%/FRC CPI X-TOB LCH_SBSIUS 15/11/2018 SWU09HT18 | | | 604 |
| | | | | | |
| | Repurchase agreements | | | | |
| * | PIMCO | Agreements to repurchase securities | | | 21,100,000 |
| | | | | | |
| | Collective trust funds | | | | |
| * | Blackrock | Blackrock Equity Index Non-Lendable Fund F; 27,192,641 shares | | | 960,860,133 |
| | State Street | State Street Target Retirement 2035 Non-Lending Series Fund; 21,853,668 shares | 240,980,402 |
| | State Street | State Street Target Retirement 2030 Non-Lending Series Fund; 14,847,777 shares | 163,711,595 |
| * | Blackrock | Blackrock Mid Capitalization Equity Index Non-Lendable Fund F; 6,001,984 shares | 160,439,031 |
| | State Street | State Street Target Retirement Income Non-Lending Series Fund; 15,087,129 shares | 160,391,269 |
| | State Street | State Street Target Retirement 2025 Non-Lending Series Fund; 13,723,502 shares | 151,054,585 |
| * | Blackrock | Blackrock MSCI ACWI Ex U.S. IMI Index Non-Lendable Fund F; 12,046,647 shares | 149,696,458 |
| * | Blackrock | Blackrock Russell 2000 Index Non-Lendable Fund M; 10,918,292 shares | | 148,838,157 |
| | State Street | State Street Target Retirement 2040 Non-Lending Series Fund; 11,754,518 shares | 129,664,087 |
| * | Blackrock | Blackrock US Debt Index Non Lendable Fund F; 9,288,697 shares | | | 127,644,344 |
| | State Street | State Street Target Retirement 2045 Non-Lending Series Fund; 10,851,777 shares | 120,042,362 |
| | State Street | State Street Target Retirement 2020 Non-Lending Series Fund; 10,289,690 shares | 112,219,355 |
| | State Street | State Street Target Retirement 2050 Non-Lending Series Fund; 8,969,621 shares | | 99,177,102 |
| | State Street | State Street Target Retirement 2055 Non-Lending Series Fund; 5,825,193 shares | | 64,449,931 |
| | State Street | State Street Target Retirement 2060 Non-Lending Series Fund; 1,384,233 shares | | 14,384,951 |
| * | Northern Trust | Short Term Investment Fund | | | 257,865,946 |
| * | PIMCO | Short Term Investment Fund | | | 10,118,557 |
| | | | | | |
| | Participant-directed investments at fair value | | | $ 8,826,122,017 |
| | | | | | |
| * | Various Participants | Participant Loans (secured by account, rates ranging from | | | $ 97,737,084 |
| | | 4.25% to 10.50% with maturity dates ranging from 2017 to 2031) | | | |
| | | | | | |
| | * Party-in-interest | | | | |
| | ** Cost information is not required for Participant-directed investments and therefore is not included. | | | |
| | See Report of Independent Registered Public Accounting Firm | | | |
| | | | | (concluded) |
