<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04917
Morgan Stanley Mortgage Securities Trust
(Exact name of registrant as specified in charter)
1221 Avenue of the Americas, New York, New York 10020
(Address of principal executive offices) (Zip code)
Ronald E. Robison
1221 Avenue of the Americas, New York, New York 10020
(Name and address of agent for service)
Registrant's telephone number, including area code: 212-762-4000
Date of fiscal year end: October 31, 2006
Date of reporting period: April 30, 2006
Item 1 - Report to Shareholders
<Page>
Welcome, Shareholder:
In this report, you'll learn about how your investment in Morgan Stanley
Mortgage Securities Trust performed during the semiannual period. We will
provide an overview of the market conditions, and discuss some of the factors
that affected performance during the reporting period. In addition, this report
includes the Fund's financial statements and a list of Fund investments.
THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A PROSPECTUS FOR THE FUND BEING
OFFERED.
MARKET FORECASTS PROVIDED IN THIS REPORT MAY NOT NECESSARILY COME TO PASS. THERE
IS NO ASSURANCE THAT THE FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVE. THE FUND IS
SUBJECT TO MARKET RISK, WHICH IS THE POSSIBILITY THAT MARKET VALUES OF
SECURITIES OWNED BY THE FUND WILL DECLINE AND, THEREFORE, THE VALUE OF THE
FUND'S SHARES MAY BE LESS THAN WHAT YOU PAID FOR THEM. ACCORDINGLY, YOU CAN LOSE
MONEY INVESTING IN THIS FUND. PLEASE SEE THE PROSPECTUS FOR MORE COMPLETE
INFORMATION ON INVESTMENT RISKS.
<Page>
Fund Report
For the six months ended April 30, 2006
TOTAL RETURN FOR THE 6 MONTHS ENDED APRIL 30, 2006
LEHMAN LIPPER U.S.
BROTHERS MORTGAGE
MORTGAGE FUNDS
CLASS A CLASS B CLASS C CLASS D INDEX(1) INDEX(2)
0.64% 0.42% 0.46% 0.84% 1.25% 0.86%
THE PERFORMANCE OF THE FUND'S FOUR SHARE CLASSES VARIES BECAUSE EACH HAS
DIFFERENT EXPENSES. THE FUND'S TOTAL RETURNS ASSUME THE REINVESTMENT OF ALL
DISTRIBUTIONS BUT DO NOT REFLECT THE DEDUCTION OF ANY APPLICABLE SALES CHARGES.
SUCH COSTS WOULD LOWER PERFORMANCE. SEE PERFORMANCE SUMMARY FOR STANDARDIZED
PERFORMANCE AND BENCHMARK INFORMATION.
MARKET CONDITIONS
While some observers initially believed that the U.S. economy would suffer
lingering aftereffects following the Gulf Coast hurricanes, the economic impact
was less severe and far reaching than many had originally anticipated. Even
sharply higher energy prices failed to interrupt the positive economic momentum.
In fact, the Federal Open Market Committee (the "Fed") has revised its growth
and inflation projections upward for all of 2006.
As many expected, the Fed raised the federal funds target rate in 25 basis point
increments at each of its meetings, bringing the rate to 4.75 percent at the
close of the reporting period. Although most measures of core inflation were at
or above the high end of the Fed's acceptable inflation range, the Fed's view
was that the U.S. economy remains on solid footing with relatively low core
inflation. Investors continued to speculate about the Fed's future course of
action, and if the current tightening cycle might be near an end.
Overall, yields in the U.S. Treasury market rose during the period. Short- and
intermediate-term bond yields were responsive to stronger-than-expected data and
the Fed's tightening moves. Long-term rates proved more reluctant, particularly
during the early portion of the period, resulting in a continued flattening of
the yield curve. (The yield curve measures the difference between the yields of
short-term and long-term bonds.) However, toward the end of the period, the
yield curve steepened as long-term rates moved upward.
Within the government bond sector, U.S. agency bonds posted a modest return over
U.S. Treasuries. Relative to other non-government sub-sectors, however, U.S.
Treasuries performed well. Within the mortgage sector, higher-coupon,
longer-dated mortgage- backed issues outperformed lower-coupons issues for much
of the period.
PERFORMANCE ANALYSIS
Morgan Stanley Mortgage Securities Trust underperformed the Lehman Brothers
Mortgage Index and the Lipper U.S. Mortgage Funds Index for the six months ended
April 30, 2006, assuming no deduction of applicable sales charges.
Throughout the reporting period, we kept the Fund's overall interest-rate
exposure well below that of its benchmark, the Lehman Brothers Mortgage Index.
This posture served the Fund well as interest rates rose across the yield curve,
especially in the short-term and intermediate-term portions of the curve. During
the last month of the period, however, the steepening yield curve proved
disadvantageous to the Fund's defensive positioning.
A focus on high-coupon, slow prepaying mortgage-backed securities benefited
performance as these issues outperformed their lower-coupon counterparts. As is
typical during periods of rising interest rates, prepayment speeds on mortgages
slowed, which enhanced the appeal
2
<Page>
of these higher-yielding issues. This positioning was most favorable during the
early portion of the reporting period. In the latter months, however,
higher-coupon mortgage-backed issues slowed their pace. Against this backdrop,
the yield advantage provided by the Fund's higher-coupon holdings offset the
underperformance by its underweight in lower- and current-coupon issues,
resulting in an overall neutral impact on performance.
THERE IS NO GUARANTEE THAT ANY SECTORS MENTIONED WILL CONTINUE TO PERFORM AS
DISCUSSED HEREIN OR THAT SECURITIES IN SUCH SECTORS WILL BE HELD BY THE FUND IN
THE FUTURE.
PORTFOLIO COMPOSITION*
Mortgage-Backed -- FNMA 45.3%
Short-Term Investments 31.6
Collateralized Mortgage Obligations 14.4
Mortgage-Backed -- FHLM 6.6
Mortgage-Backed -- GNMA 1.1
U.S. Treasuries 1.0
LONG-TERM CREDIT ANALYSIS
AAA 100%
* DOES NOT INCLUDE OUTSTANDING LONG FUTURES CONTRACTS WITH AN UNDERLYING FACE
AMOUNT OF $24,099,126 AND UNREALIZED DEPRECIATION OF $777,308 AND OUTSTANDING
SHORT FUTURES CONTRACTS WITH AN UNDERLYING FACE AMOUNT OF $11,409,125 AND
UNREALIZED APPRECIATION OF $32,628.
DATA AS OF APRIL 30, 2006. SUBJECT TO CHANGE DAILY. ALL PERCENTAGES FOR
PORTFOLIO COMPOSITION ARE AS A PERCENTAGE OF TOTAL INVESTMENTS AND ALL
PERCENTAGES FOR LONG-TERM CREDIT ANALYSIS ARE AS A PERCENTAGE OF TOTAL LONG-TERM
INVESTMENTS. THESE DATA ARE PROVIDED FOR INFORMATIONAL PURPOSES ONLY AND SHOULD
NOT BE DEEMED A RECOMMENDATION TO BUY OR SELL THE SECURITIES MENTIONED. MORGAN
STANLEY IS A FULL-SERVICE SECURITIES FIRM ENGAGED IN SECURITIES TRADING AND
BROKERAGE ACTIVITIES, INVESTMENT BANKING, RESEARCH AND ANALYSIS, FINANCING AND
FINANCIAL ADVISORY SERVICES.
INVESTMENT STRATEGY
THE FUND WILL NORMALLY INVEST AT LEAST 80 PERCENT OF ITS ASSETS IN
MORTGAGE-RELATED SECURITIES, INCLUDING MORTGAGE-BACKED SECURITIES SUCH AS
MORTGAGE PASS-THROUGH SECURITIES, COLLATERALIZED MORTGAGE OBLIGATIONS ("CMOS")
AND COMMERCIAL MORTGAGE-BACKED SECURITIES ("CMBS"). IN MAKING INVESTMENT
DECISIONS, THE FUND'S "INVESTMENT ADVISER," MORGAN STANLEY INVESTMENT ADVISORS
INC., CONSIDERS ECONOMIC DEVELOPMENTS, INTEREST RATE LEVELS AND OTHER FACTORS.
THE FUND IS NOT LIMITED AS TO THE MATURITIES OR TYPES OF MORTGAGE-BACKED
SECURITIES IN WHICH IT MAY INVEST.
FOR MORE INFORMATION ABOUT PORTFOLIO HOLDINGS
EACH MORGAN STANLEY FUND PROVIDES A COMPLETE SCHEDULE OF PORTFOLIO HOLDINGS IN
ITS SEMIANNUAL AND ANNUAL REPORTS WITHIN 60 DAYS OF THE END OF THE FUND'S SECOND
AND FOURTH FISCAL QUARTERS. THE SEMIANNUAL REPORTS AND THE ANNUAL REPORTS ARE
FILED ELECTRONICALLY WITH THE SECURITIES AND EXCHANGE COMMISSION (SEC) ON FORM
N-CSRS AND FORM N-CSR, RESPECTIVELY. MORGAN STANLEY ALSO DELIVERS THE SEMIANNUAL
AND ANNUAL REPORTS TO FUND SHAREHOLDERS AND MAKES THESE REPORTS AVAILABLE ON ITS
PUBLIC WEB SITE, WWW.MORGANSTANLEY.COM. EACH MORGAN STANLEY FUND ALSO FILES A
COMPLETE SCHEDULE OF PORTFOLIO HOLDINGS WITH THE SEC FOR THE FUND'S FIRST AND
THIRD FISCAL QUARTERS ON FORM N-Q. MORGAN STANLEY DOES NOT DELIVER THE REPORTS
FOR THE FIRST AND THIRD FISCAL QUARTERS TO SHAREHOLDERS, NOR ARE THE REPORTS
POSTED TO THE MORGAN STANLEY PUBLIC WEB SITE. YOU MAY, HOWEVER, OBTAIN THE FORM
N-Q FILINGS (AS WELL AS THE FORM N-CSR AND N-CSRS FILINGS) BY ACCESSING THE
SEC'S WEB SITE, HTTP://WWW.SEC.GOV. YOU MAY ALSO REVIEW AND COPY THEM
3
<Page>
AT THE SEC'S PUBLIC REFERENCE ROOM IN WASHINGTON, DC. INFORMATION ON THE
OPERATION OF THE SEC'S PUBLIC REFERENCE ROOM MAY BE OBTAINED BY CALLING THE SEC
AT (800) SEC-0330. YOU CAN ALSO REQUEST COPIES OF THESE MATERIALS, UPON PAYMENT
OF A DUPLICATING FEE, BY ELECTRONIC REQUEST AT THE SEC'S E-MAIL ADDRESS
(PUBLICINFO@SEC.GOV) OR BY WRITING THE PUBLIC REFERENCE SECTION OF THE SEC,
WASHINGTON, DC 20549-0102.
PROXY VOTING POLICY AND PROCEDURES AND PROXY VOTING RECORD
YOU MAY OBTAIN A COPY OF THE FUND'S PROXY VOTING POLICY AND PROCEDURES WITHOUT
CHARGE, UPON REQUEST, BY CALLING TOLL FREE (800) 869-NEWS OR BY VISITING THE
MUTUAL FUND CENTER ON OUR WEB SITE AT WWW.MORGANSTANLEY.COM. IT IS ALSO
AVAILABLE ON THE SECURITIES AND EXCHANGE COMMISSION'S WEB SITE AT
HTTP://WWW.SEC.GOV.
YOU MAY OBTAIN INFORMATION REGARDING HOW THE FUND VOTED PROXIES RELATING TO
PORTFOLIO SECURITIES DURING THE MOST RECENT TWELVE-MONTH PERIOD ENDED JUNE 30
WITHOUT CHARGE BY VISITING THE MUTUAL FUND CENTER ON OUR WEB SITE AT
WWW.MORGANSTANLEY.COM. THIS INFORMATION IS ALSO AVAILABLE ON THE SECURITIES AND
EXCHANGE COMMISSION'S WEB SITE AT HTTP://WWW.SEC.GOV.
HOUSEHOLDING NOTICE
TO REDUCE PRINTING AND MAILING COSTS, THE FUND ATTEMPTS TO ELIMINATE DUPLICATE
MAILINGS TO THE SAME ADDRESS. THE FUND DELIVERS A SINGLE COPY OF CERTAIN
SHAREHOLDER DOCUMENTS, INCLUDING SHAREHOLDER REPORTS, PROSPECTUSES AND PROXY
MATERIALS, TO INVESTORS WITH THE SAME LAST NAME WHO RESIDE AT THE SAME ADDRESS.
YOUR PARTICIPATION IN THIS PROGRAM WILL CONTINUE FOR AN UNLIMITED PERIOD OF TIME
UNLESS YOU INSTRUCT US OTHERWISE. YOU CAN REQUEST MULTIPLE COPIES OF THESE
DOCUMENTS BY CALLING (800) 350-6414, 8:00 A.M. TO 8:00 P.M., ET. ONCE OUR
CUSTOMER SERVICE CENTER HAS RECEIVED YOUR INSTRUCTIONS, WE WILL BEGIN SENDING
INDIVIDUAL COPIES FOR EACH ACCOUNT WITHIN 30 DAYS.
4
<Page>
Performance Summary
AVERAGE ANNUAL TOTAL RETURNS--PERIOD ENDED APRIL 30, 2006
<Table>
<Caption>
CLASS A SHARES* CLASS B SHARES** CLASS C SHARES+ CLASS D SHARES++
(SINCE 07/28/97) (SINCE 03/31/87) (SINCE 07/28/97) (SINCE 07/28/97)
SYMBOL MTGAX MTGBX MTGCX MTGDX
1 YEAR 1.11%(3) 0.56%(3) 0.51%(3) 1.30%(3)
5 YEARS (3.18)(4) (4.28)(4) (0.46)(4) --
10 YEARS 4.57(3) 3.80(3) 3.84(3) 4.68(3)
3.66(4) 3.45(4) 3.84(4) --
-- 4.85(3) -- --
-- 4.85(4) -- --
SINCE INCEPTION 5.29(3) 5.95(3) 4.51(3) 5.26(3)
4.77(4) 5.95(4) 4.51(4) --
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE FIGURES
SHOWN. FOR MOST RECENT MONTH-END PERFORMANCE FIGURES, PLEASE VISIT
WWW.MORGANSTANLEY.COM OR SPEAK WITH YOUR FINANCIAL ADVISOR. INVESTMENT RETURNS
AND PRINCIPAL VALUE WILL FLUCTUATE AND FUND SHARES, WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST. THE TABLE DOES NOT REFLECT THE DEDUCTION
OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF
FUND SHARES. PERFORMANCE FOR CLASS A, CLASS B, CLASS C, AND CLASS D SHARES WILL
VARY DUE TO DIFFERENCES IN SALES CHARGES AND EXPENSES.
* THE MAXIMUM FRONT-END SALES CHARGE FOR CLASS A IS 4.25%.
** THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE (CDSC) FOR CLASS B IS 5.0%.
THE CDSC DECLINES TO 0% AFTER SIX YEARS.
+ THE MAXIMUM CONTINGENT DEFERRED SALES CHARGE FOR CLASS C IS 1.0% FOR SHARES
REDEEMED WITHIN ONE YEAR OF PURCHASE.
++ CLASS D HAS NO SALES CHARGE.
(1) THE LEHMAN BROTHERS MORTGAGE INDEX COVERS THE MORTGAGE-BACKED PASS-THROUGH
SECURITIES OF GINNIE MAE (GNMA), FANNIE MAE (FNMA), AND FREDDIE MAC
(FHLMC). THIS INDEX IS THE MORTGAGE BACKED SECURITIES FIXED RATE COMPONENT
OF THE LEHMAN BROTHERS U.S. AGGREGATE INDEX. INDEXES ARE UNMANAGED AND
THEIR RETURNS DO NOT INCLUDE ANY SALES CHARGES OR FEES. SUCH COSTS WOULD
LOWER PERFORMANCE. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
(2) THE LIPPER U.S. MORTGAGE FUNDS INDEX IS AN EQUALLY WEIGHTED PERFORMANCE
INDEX OF THE LARGEST QUALIFYING FUNDS (BASED ON NET ASSETS) IN THE LIPPER
U.S. MORTGAGE FUNDS CLASSIFICATION. THE INDEX, WHICH IS ADJUSTED FOR
CAPITAL GAINS DISTRIBUTIONS AND INCOME DIVIDENDS, IS UNMANAGED AND SHOULD
NOT BE CONSIDERED AN INVESTMENT. THERE ARE CURRENTLY 30 FUNDS REPRESENTED
IN THIS INDEX.
(3) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND DOES NOT REFLECT
THE DEDUCTION OF ANY SALES CHARGES.
(4) FIGURE SHOWN ASSUMES REINVESTMENT OF ALL DISTRIBUTIONS AND THE DEDUCTION OF
THE MAXIMUM APPLICABLE SALES CHARGE. SEE THE FUND'S CURRENT PROSPECTUS FOR
COMPLETE DETAILS ON FEES AND SALES CHARGES.
5
<Page>
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchase payments and redemption fees;
and (2) ongoing costs, including advisory fees; distribution and service (12b-1)
fees; and other Fund expenses. This example is intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period 11/01/05 - 04/30/06.
ACTUAL EXPENSES
The first line of the table below provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the table below provides information about hypothetical
expenses based on the Fund's actual expense ratio and an assumed rate of return
of 5% per year before expenses, which is not the Fund's actual return. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing cost of investing in the Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) and redemption fees. Therefore, the second line of the table is
useful in comparing ongoing costs, and will not help you determine the relative
total cost of owning different funds. In addition, if these transactional costs
were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD *
------------- ------------- ---------------
11/01/05 -
11/01/05 04/30/06 04/30/06
------------- ------------- ---------------
CLASS A
Actual (0.64% return) $1,000.00 $1,006.40 $5.47
Hypothetical (5% annual return before expenses) $1,000.00 $1,019.34 $5.51
CLASS B
Actual (0.42% return) $1,000.00 $1,004.20 $8.50
Hypothetical (5% annual return before expenses) $1,000.00 $1,016.31 $8.55
CLASS C
Actual (0.46% return) $1,000.00 $1,004.60 $8.25
Hypothetical (5% annual return before expenses) $1,000.00 $1,016.56 $8.30
CLASS D
Actual (0.84% return) $1,000.00 $1,008.40 $4.28
Hypothetical (5% annual return before expenses) $1,000.00 $1,020.53 $4.31
</Table>
- ----------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO OF 1.10%, 1.71%,
1.66% AND 0.86% FOR CLASS A, CLASS B, CLASS C AND CLASS D SHARES,
RESPECTIVELY, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD,
MULTIPLIED BY 181/365 (TO REFLECT THE ONE-HALF YEAR PERIOD).
6
<Page>
Investment Advisory Agreement Approval
NATURE, EXTENT AND QUALITY OF SERVICES
The Board reviewed and considered the nature and extent of the investment
advisory services provided by the Investment Adviser under the Advisory
Agreement, including portfolio management, investment research and fixed income
securities trading. The Board also reviewed and considered the nature and extent
of the non-advisory, administrative services provided by the Fund's
Administrator under the Administration Agreement, including accounting,
clerical, bookkeeping, compliance, business management and planning, and the
provision of supplies, office space and utilities at the Investment Adviser's
expense. (The Investment Adviser and the Administrator together are referred to
as the "Adviser" and the Advisory and Administration Agreements together are
referred to as the "Management Agreement.") The Board also compared the nature
of the services provided by the Adviser with similar services provided by
non-affiliated advisers as reported to the Board by Lipper Inc. ("Lipper").
The Board reviewed and considered the qualifications of the portfolio managers,
the senior administrative managers and other key personnel of the Adviser who
provide the administrative and advisory services to the Fund. The Board
determined that the Adviser's portfolio managers and key personnel are well
qualified by education and/or training and experience to perform the services in
an efficient and professional manner. The Board concluded that the nature and
extent of the advisory and administrative services provided were necessary and
appropriate for the conduct of the business and investment activities of the
Fund. The Board also concluded that the overall quality of the advisory and
administrative services was satisfactory.
PERFORMANCE RELATIVE TO COMPARABLE FUNDS MANAGED BY OTHER ADVISERS
On a regular basis, the Board reviews the performance of all funds in the Morgan
Stanley Fund Complex, including the Fund, compared to their peers, paying
specific attention to the underperforming funds. In addition, the Board
specifically reviewed the Fund's performance for the one-, three- and five-year
periods ended November 30, 2005, as shown in a report provided by Lipper (the
"Lipper Report"), compared to the performance of comparable funds selected by
Lipper (the "performance peer group"). The Board also discussed with the Adviser
the performance goals and the actual results achieved in managing the Fund. The
Board concluded that the Fund's performance was competitive with that of its
performance peer group.
FEES RELATIVE TO OTHER PROPRIETARY FUNDS MANAGED BY THE ADVISER WITH COMPARABLE
INVESTMENT STRATEGIES
The Board reviewed the advisory and administrative fee (together, the
"management fee") rate paid by the Fund under the Management Agreement. The
Board noted that the management fee rate was comparable to the management fee
rates charged by the Adviser to other proprietary funds it manages with
investment strategies comparable to those of the Fund.
7
<Page>
FEES AND EXPENSES RELATIVE TO COMPARABLE FUNDS MANAGED BY OTHER ADVISERS
The Board reviewed the management fee rate and total expense ratio of the Fund
as compared to the average management fee rate and average total expense ratio
for funds, selected by Lipper (the "expense peer group"), managed by other
advisers with investment strategies comparable to those of the Fund, as shown in
the Lipper Report. The Board concluded that the Fund's management fee rate and
total expense ratio were competitive with those of its expense peer group.
BREAKPOINTS AND ECONOMIES OF SCALE
The Board reviewed the structure of the Fund's management fee schedule under the
Management Agreement and noted that it includes breakpoints. The Board also
reviewed the level of the Fund's management fee and noted that the fee, as a
percentage of the Fund's net assets, would decrease as net assets increase
because the management fee includes breakpoints. The Board concluded that the
Fund's management fee would reflect economies of scale as assets increase.
PROFITABILITY OF THE ADVISER AND AFFILIATES
The Board considered information concerning the costs incurred and profits
realized by the Adviser and affiliates during the last year from their
relationship with the Fund and during the last two years from their relationship
with the Morgan Stanley Fund Complex and reviewed with the Adviser the cost
allocation methodology used to determine the profitability of the Adviser and
affiliates. Based on its review of the information it received, the Board
concluded that the profits earned by the Adviser and affiliates were not
excessive in light of the advisory, administrative and other services provided
to the Fund.
FALL-OUT BENEFITS
The Board considered so-called "fall-out benefits" derived by the Adviser and
affiliates from their relationship with the Fund and the Morgan Stanley Fund
Complex, such as sales charges on sales of Class A shares and "float" benefits
derived from handling of checks for purchases and sales of Fund shares, through
a broker-dealer affiliate of the Adviser. The Board also considered that a
broker-dealer affiliate of the Adviser receives from the Fund 12b-1 fees for
distribution and shareholder services. The Board concluded that the float
benefits were relatively small and that the sales charges and 12b-1 fees were
competitive with those of other broker-dealers.
SOFT DOLLAR BENEFITS
The Board considered whether the Adviser realizes any benefits from commissions
paid to brokers who execute securities transactions for the Fund ("soft
dollars"). The Board noted that the Fund invests only in fixed income
securities, which do not generate soft dollars.
8
<Page>
ADVISER FINANCIALLY SOUND AND FINANCIALLY CAPABLE OF MEETING THE FUND'S NEEDS
The Board considered whether the Adviser is financially sound and has the
resources necessary to perform its obligations under the Management Agreement.
The Board noted that the Adviser's operations remain profitable, although
increased expenses in recent years have reduced the Adviser's profitability. The
Board concluded that the Adviser has the financial resources necessary to
fulfill its obligations under the Management Agreement.
HISTORICAL RELATIONSHIP BETWEEN THE FUND AND THE ADVISER
The Board also reviewed and considered the historical relationship between the
Fund and the Adviser, including the organizational structure of the Adviser, the
policies and procedures formulated and adopted by the Adviser for managing the
Fund's operations and the Board's confidence in the competence and integrity of
the senior managers and key personnel of the Adviser. The Board concluded that
it is beneficial for the Fund to continue its relationship with the Adviser.
OTHER FACTORS AND CURRENT TRENDS
The Board considered the controls and procedures adopted and implemented by the
Adviser and monitored by the Fund's Chief Compliance Officer and concluded that
the conduct of business by the Adviser indicates a good faith effort on its part
to adhere to high ethical standards in the conduct of the Fund's business.
GENERAL CONCLUSION
After considering and weighing all of the above factors, the Board concluded
that it would be in the best interest of the Fund and its shareholders to
approve renewal of the Management Agreement for another year.
9
<Page>
MORGAN STANLEY MORTGAGE SECURITIES TRUST
PORTFOLIO OF INVESTMENTS - APRIL 30, 2006 (UNAUDITED)
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON
THOUSANDS DESCRIPTION AND MATURITY DATE RATE VALUE
- -----------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - MORTGAGE-BACKED
SECURITIES (79.8%)
FEDERAL HOME LOAN MORTGAGE CORP. (1.3%)
$ 2,199 10/01/10 - 02/01/20 9.50% $ 2,385,362
518 06/01/16 - 10/01/19 10.00 567,357
55 02/01/16 - 12/01/17 10.50 60,203
-----------
3,012,922
-----------
FEDERAL HOME LOAN MORTGAGE CORP. PC GOLD (8.6%)
4,164 10/01/18 - 06/01/20 5.00 4,053,890
7,450 * 5.50 7,384,813
780 12/01/28 - 09/01/33 6.50 795,007
5,689 04/01/20 - 08/01/32 7.50 5,934,094
1,393 02/01/23 - 07/01/31 8.00 1,481,859
-----------
19,649,663
-----------
FEDERAL NATIONAL MORTGAGE ASSOC. (68.3%)
29,500 * 4.50 27,581,313
35,150 * 5.00 33,754,500
2,254 03/01/36 (ARM) 5.387 2,304,395
39,000 * 5.50 37,878,750
2,255 03/01/36 (ARM) 5.665 2,324,570
8,814 01/01/27 - 12/01/33 6.50 8,995,260
9,050 * 7.00 9,304,531
27,731 07/01/23 - 01/01/36 7.00 28,532,322
3,975 09/01/29 - 06/01/32 7.50 4,140,163
1,247 08/01/24 - 02/01/32 8.00 1,329,297
161 01/01/22 - 04/01/25 8.50 173,498
115 09/01/16 - 05/01/20 9.50 126,982
56 03/01/16 - 02/01/18 9.75 60,397
-----------
156,505,978
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOC. (1.5%)
1,025 08/15/25 - 05/15/29 6.50 1,057,080
13 06/15/29 - 08/15/29 7.50 13,832
678 10/15/19 - 10/15/24 8.50 735,639
1,494 11/15/17 - 06/15/20 9.50 1,642,099
41 05/15/16 - 11/15/20 10.00 45,023
-----------
3,493,673
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOC. II (0.1%)
284 05/20/30 8.00 302,217
-----------
TOTAL U.S. GOVERNMENT AGENCIES - MORTGAGE-BACKED
SECURITIES (COST $184,235,132) 182,964,453
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
10
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON
THOUSANDS DESCRIPTION AND MATURITY DATE RATE VALUE
- ------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS (1.6%)
U.S. TREASURY BOND
$ 1,770 08/15/27 6.375% $2,007,568
U.S. TREASURY STRIP
4,560 02/15/27 0.00 1,518,475
----------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $3,905,429) 3,526,043
----------
COLLATERALIZED MORTGAGE OBLIGATIONS (21.7%)
U.S. GOVERNMENT AGENCIES (2.7%)
FEDERAL NATIONAL MORTGAGE ASSOC.
529 Grantor Trust 2004-T5 A13 05/28/35 4.918++ 529,923
1,931 Whole Loan 2005-W2 A1 05/25/35 5.159++ 1,936,934
388 2004-70 DF 10/25/34 6.159++ 388,022
1,371 1996-46 FC 12/25/23 6.168++ 1,421,418
17,984 2006-28 1P 03/25/36 (IO) 1.519 491,743
3,755 2005-68 XI 08/25/35 (IO) 6.00 1,472,189
----------
TOTAL U.S. GOVERNMENT AGENCIES 6,240,229
----------
PRIVATE ISSUES (19.0%)
756 American Home Mortgage Investment Trust
2004-1 1A 04/25/44 5.309++ 757,902
1,637 Banc of America Funding Corp.
2005-F 1A2 09/20/35 5.272++ 1,647,341
Countrywide Alternative Loan Trust
5,347 2005-81 X1 02/25/37 (IO) 0.955++ 299,120
7,554 2006-OA1 2X 03/20/46 (IO) 1.04+++ 390,696
20,389 2004-25 2X 02/25/35 (IO) 1.405++ 474,670
1,370 2006-0A2 A2A 05/20/46 5.072++ 1,369,595
1,254 2005-59 1A2B 11/20/35 5.182++ 1,259,224
1,252 2005-51 2A2A 11/20/35 5.212++ 1,257,038
1,253 2005-51 1A2A 11/20/35 5.212++ 1,258,665
1,410 2006-0A1 1A2 03/20/46 5.222++ 1,410,130
900 2005-44 2A2A 10/25/35 5.239++ 902,456
1,387 2005-44 1A2A 10/25/35 5.249 1,390,656
Countrywide Home Loan Trust
1,222 2006-00A4 A2 04/25/46 5.229++ 1,221,989
CS First Boston Mortgage Securities Corp.
432 2002-34 2A4 12/25/32 5.559++ 432,388
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
11
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON
THOUSANDS DESCRIPTION AND MATURITY DATE RATE VALUE
- ----------------------------------------------------------------------------------------
DSLA Mortgage Loan Trust
$ 1,477 2005-AR4 2A1C 08/19/45 5.21++% $1,484,867
1,081 2004-AR1 A2 09/19/44 5.332++ 1,087,253
Greenpoint Mortgage Fund
21,660 2005-AR1 X1 06/25/45 (IO) 1.113++ 578,718
7,035 2005-AR3 X1 08/25/45 (IO) 1.206++ 231,918
21,317 2005-AR2 X1 06/25/45 (IO) 1.857++ 689,464
15,028 2005-AR4 X4 10/25/45 (IO) 1.990++ 486,035
1,752 2006-AR2 3A2 03/25/36 5.279++ 1,752,319
Harborview Mortgage Loan Trust
3 2006-1 PO1 03/19/37 (PO) 0.00 2,147
7,996 2005-3 X2 06/19/35 (IO) 0.321++ 209,904
7,113 2006-1 X1 03/19/37 (IO) 0.414++ 368,998
8,599 2005-2 X 05/19/35 (IO) 1.464++ 225,735
13,919 2005-16 X3 01/19/36 (IO) 0.599++ 491,491
5,012 2005-16 X1 01/19/36 (IO) 1.045++ 178,433
1,780 2005-5 2A1B 07/19/45 5.20++ 1,784,209
Indymac Indx Mortgage Loan Trust
18,988 2005-AR12 AX2 07/25/35 (IO) 1.056++ 688,331
1,251 2005-AR12 2A1B 07/25/35 5.239++ 1,260,530
Luminent Mortgage Trust
1,241 2006-1 A1 04/25/36 5.199++ 1,242,038
1,262 2006-2 A1B 02/25/46 5.239++ 1,263,503
Mortgaget Trust
1,695 2006-1 2A1B 04/25/36 5.239++ 1,700,317
Residential Accredit Loans, Inc.
740 2006-Q01 1A1 02/25/46 5.219++ 739,571
623 2006-Q01 2A1 02/25/46 5.229++ 625,547
Structured Asset Mortgage Investments, Inc.
2,050 2006-AR3 11A2 04/25/36 (WI) 5.06++ 2,050,000
1,469 2006-AR2 A2 02/25/36 5.269++ 1,473,582
WMalt Mortgage Pass-Through Certificates
1,393 2006-AR2 A1A 04/25/46 4.951++ 1,381,427
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
12
<Page>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON
THOUSANDS DESCRIPTION AND MATURITY DATE RATE VALUE
- -----------------------------------------------------------------------------------------------
Washington Mutual
$ 8,185 2004-AR10 X 07/25/44 (IO) 0.609++% $ 153,460
4,834 2004-AR8 X 06/25/44 (IO) 0.609++ 90,642
11,962 2004-AR12 X 10/25/44 (IO) 0.634++ 209,333
991 2005-AR17 A1B1 12/25/45 5.209++ 991,281
1,210 2005-AR19 A1B1 12/25/45 5.209++ 1,210,548
1,082 2005-AR15 A1B1 11/25/45 5.209++ 1,085,397
1,436 2005-AR13 A1B1 10/25/45 5.219++ 1,438,935
1,258 2005-AR6 2AB3 04/25/45 5.229++ 1,262,163
1,045 2006-AR8 2AB3 07/25/45 5.319++ 1,050,286
-------------
TOTAL PRIVATE ISSUES 43,560,252
-------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $48,980,417) 49,800,481
-------------
SHORT-TERM INVESTMENTS (47.6%)
U.S. GOVERNMENT AGENCIES & OBLIGATIONS (a) (45.4%)
46,000 Federal Home Loan Banks 05/01/06 - 06/14/06 4.665 - 4.75 45,868,662
42,710 Federal Home Loan Mortgage Corp. 05/02/06 - 06/12/06 4.515 - 4.66 42,621,859
15,000 Federal Home Loan Mortgage Corp. 05/15/06 - 05/22/06 4.65 - 4.71 14,963,483
500 U.S. Treasury Bills+ 7/13/06 4.26 495,681
-------------
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(COST $103,949,685) 103,949,685
-------------
REPURCHASE AGREEMENT (2.2%)
5,109 Joint repurchase agreement account due 05/01/06
(dated 04/28/06 proceeds $5,111,033) (b)
(COST $5,109,000) 4.775 5,109,000
-------------
TOTAL SHORT-TERM INVESTMENTS (COST $109,058,685) 109,058,685
-------------
TOTAL INVESTMENTS (COST $346,179,663) (c) (d) 150.7% 345,349,662
LIABILITIES IN EXCESS OF OTHER ASSETS (50.7) (116,131,042)
----- -------------
NET ASSETS 100.0% $ 229,218,620
===== =============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
13
<Page>
- ----------
PC PARTICIPATION CERTIFICATE.
PO PRINCIPAL ONLY SECURITY.
IO INTEREST ONLY SECURITY.
ARM ADJUSTABLE RATE MORTGAGE. INTEREST RATE IN EFFECT AS OF APRIL 30, 2006.
+ A PORTION OF THIS SECURITY HAS BEEN PHYSICALLY SEGREGATED IN CONNECTION
WITH OPEN FUTURES CONTRACTS IN AN AMOUNT EQUAL TO $150,900.
++ FLOATING RATE SECURITY, RATE SHOWN IS THE RATE IN EFFECT AT APRIL 30, 2006.
* SECURITY PURCHASED ON A FORWARD COMMITMENT BASIS WITH AN APPROXIMATE
PRINCIPAL AMOUNT AND NO DEFINITE MATURITY DATE; THE ACTUAL PRINCIPAL AMOUNT
AND MATURITY DATE WILL BE DETERMINED UPON SETTLEMENT.
(a) PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS BEEN ADJUSTED TO
REFLECT A MONEY MARKET EQUIVALENT YIELD.
(b) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(c) SECURITIES HAVE BEEN DESIGNATED AS COLLATERAL IN AN AMOUNT EQUAL TO
$156,236,096 IN CONNECTION WITH SECURITIES PURCHASED ON A FORWARD
COMMITMENT BASIS AND OPEN FUTURES CONTRACTS.
(d) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $1,402,795 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION
IS $2,232,796, RESULTING IN NET UNREALIZED DEPRECIATION OF $830,001.
FUTURES CONTRACTS OPEN AT APRIL 30, 2006:
<Table>
<Caption>
UNREALIZED
NUMBER OF DESCRIPTION, DELIVERY UNDERLYING FACE APPRECIATION
CONTRACTS LONG/SHORT MONTH AND YEAR AMOUNT AT VALUE (DEPRECIATION)
- --------------------------------------------------------------------------------------------
105 Long U.S. Treasury Bond 20 Year
June 2006 $ 12,880,532 $(523,285)
122 Long U.S. Treasury Note 10 Year
June 2006 11,218,594 (254,023)
56 Short U.S. Treasury Note 2 Year
June 2006 (11,409,125) 32,628
---------
Net Unrealized Depreciation $(744,680)
=========
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
14
<Page>
MORGAN STANLEY MORTGAGE SECURITIES TRUST
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
APRIL 30, 2006 (UNAUDITED)
ASSETS:
Investments in securities, at value (cost $346,179,663) $345,349,662
Receivable for:
Investments sold 7,060,726
Interest 896,013
Principal paydowns 121,696
Variation margin 28,626
Shares of beneficial interest sold 3,267
Prepaid expenses and other assets 65,796
------------
TOTAL ASSETS 353,525,786
------------
LIABILITIES:
Payable for:
Investments purchased 123,738,058
Shares of beneficial interest redeemed 145,231
Investment advisory fee 89,491
Distribution fee 78,853
Dividends to shareholders 60,197
Transfer agent fee 29,973
Administration fee 15,233
Accrued expenses and other payables 150,130
------------
TOTAL LIABILITIES 124,307,166
------------
NET ASSETS $229,218,620
============
COMPOSITION OF NET ASSETS:
Paid-in-capital $246,625,471
Net unrealized depreciation (1,574,681)
Dividends in excess of net investment income (1,398,967)
Accumulated net realized loss (14,433,203)
------------
NET ASSETS $229,218,620
============
CLASS A SHARES:
Net Assets $154,770,812
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 17,141,217
NET ASSET VALUE PER SHARE $ 9.03
============
MAXIMUM OFFERING PRICE PER SHARE,
(NET ASSET VALUE PLUS 4.44% OF NET ASSET VALUE) $ 9.43
============
CLASS B SHARES:
Net Assets $ 57,284,967
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 6,462,704
NET ASSET VALUE PER SHARE $ 8.86
============
CLASS C SHARES:
Net Assets $ 8,340,545
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 932,594
NET ASSET VALUE PER SHARE $ 8.94
============
CLASS D SHARES:
Net Assets $ 8,822,296
Shares Outstanding (UNLIMITED AUTHORIZED, $.01 PAR VALUE) 997,075
NET ASSET VALUE PER SHARE $ 8.85
============
SEE NOTES TO FINANCIAL STATEMENTS
15
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2006 (UNAUDITED)
NET INVESTMENT INCOME:
Interest Income $ 5,938,562
-----------
EXPENSES
Investment advisory fee 577,001
Distribution fee (Class A shares) 195,538
Distribution fee (Class B shares) 275,860
Distribution fee (Class C shares) 36,151
Transfer agent fees and expenses 180,080
Administration fee 98,213
Shareholder reports and notices 58,066
Professional fees 45,617
Registration fees 33,382
Custodian fees 33,255
Trustees' fees and expenses 5,271
Other 27,056
-----------
TOTAL EXPENSES 1,565,490
Less: expense offset (270)
-----------
NET EXPENSES 1,565,220
-----------
NET INVESTMENT INCOME 4,373,342
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
NET REALIZED GAIN (LOSS) ON:
Investments (2,284,411)
Futures contracts 656,092
-----------
NET REALIZED LOSS (1,628,319)
-----------
NET CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments 378,659
Futures contracts (1,252,385)
-----------
NET DEPRECIATION (873,726)
-----------
NET LOSS (2,502,045)
-----------
NET INCREASE $ 1,871,297
===========
SEE NOTES TO FINANCIAL STATEMENTS
16
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
APRIL 30, 2006 OCTOBER 31, 2005
-------------- ----------------
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 4,373,342 $ 5,877,540
Net realized gain (loss) (1,628,319) 1,989,519
Net change in unrealized depreciation (873,726) (3,902,512)
------------ ------------
NET INCREASE 1,871,297 3,964,547
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Class A shares (3,716,979) (4,113,875)
Class B shares (1,294,597) (6,267,218)
Class C shares (182,402) (411,652)
Class D shares (229,804) (533,753)
------------ ------------
TOTAL DIVIDENDS (5,423,782) (11,326,498)
------------ ------------
Net decrease from transactions in shares of beneficial interest (32,258,787) (68,943,194)
------------ ------------
NET DECREASE (35,811,272) (76,305,145)
NET ASSETS:
Beginning of period 265,029,892 341,335,037
------------ ------------
END OF PERIOD
(INCLUDING DIVIDENDS IN EXCESS OF NET INVESTMENT INCOME OF
$1,398,967 AND $348,527, RESPECTIVELY) $229,218,620 $265,029,892
============ ============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
17
<Page>
MORGAN STANLEY MORTGAGE SECURITIES TRUST
NOTES TO FINANCIAL STATEMENTS - APRIL 30, 2006 (UNAUDITED)
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley Mortgage Securities Trust ( the "Fund") is registered under the
Investment Company Act of 1940, as amended (the "Act"), as a diversified,
open-end management investment company. The Fund's investment objective is to
earn a high level of current income. The Fund commenced operations on March 31,
1987. On July 28, 1997, the Fund converted to a multiple class share structure.
The Fund offers Class A shares, Class B shares, Class C shares and Class D
shares. The four classes are substantially the same except that most Class A
shares are subject to a sales charge imposed at the time of purchase and some
Class A shares, and most Class B shares and Class C shares are subject to a
contingent deferred sales charge imposed on shares redeemed within eighteen
months, six years and one year, respectively. Class D shares are not subject to
a sales charge. Additionally, Class A shares, Class B shares and Class C shares
incur distribution expenses.
The Fund will assess a 2% redemption fee on Class A shares, Class B shares,
Class C shares, and Class D shares, which is paid directly to the Fund, for
shares redeemed within seven days of purchase, subject to certain exceptions.
The redemption fee is designed to protect the Fund and its remaining
shareholders from the effects of short-term trading.
The following is a summary of significant accounting policies:
A. VALUATION OF INVESTMENTS -- (1) certain portfolio securities may be valued by
an outside pricing service approved by the Fund's Trustees (2) portfolio
securities for which over-the-counter market quotations are readily available
are valued at the mean between the last reported bid and asked price; (3)
futures are valued at the latest price published by the commodities exchange on
which they trade; (4) when market quotations are not readily available or Morgan
Stanley Investment Advisors Inc. (the "Investment Adviser") determines that the
market quotations are not reflective of a security's market value, portfolio
securities are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Fund's
Trustees; and (5) short-term debt securities having a maturity date of more than
sixty days at time of purchase are valued on a mark-to-market basis until sixty
days prior to maturity and thereafter at amortized cost based on their value on
the 61st day. Short-term debt securities having a maturity date of sixty days or
less at the time of purchase are valued at amortized cost.
B. ACCOUNTING FOR INVESTMENTS -- Security transactions are accounted for on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on security transactions are determined by the identified cost method.
Discounts are accreted and premiums are amortized over the life of the
respective securities. Interest income is accrued daily.
C. REPURCHASE AGREEMENTS -- Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated
entities managed by the Investment Adviser, may
18
<Page>
transfer uninvested cash balances into one or more joint repurchase agreement
accounts. These balances are invested in one or more repurchase agreements and
are collateralized by cash, U.S. Treasury or federal agency obligations. The
Fund may also invest directly with institutions in repurchase agreements. The
Fund's custodian receives the collateral, which is marked-to-market daily to
determine that the value of the collateral does not decrease below the
repurchase price plus accrued interest.
D. MULTIPLE CLASS ALLOCATIONS -- Investment income, expenses (other than
distribution fees), and realized and unrealized gains and losses are allocated
to each class of shares based upon the relative net asset value on the date such
items are recognized. Distribution fees are charged directly to the respective
class.
E. FUTURES CONTRACTS -- A futures contract is an agreement between two parties
to buy and sell financial instruments or contracts based on financial indices at
a set price on a future date. Upon entering into such a contract, the Fund is
required to pledge to the broker cash, U.S. Government securities or other
liquid portfolio securities equal to the minimum initial margin requirements of
the applicable futures exchange. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments known as
variation margin are recorded by the Fund as unrealized gains and losses. Upon
closing of the contract, the Fund realizes a gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
F. FEDERAL INCOME TAX POLICY -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable income to its
shareholders. Accordingly, no federal income tax provision is required.
G. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to
shareholders are recorded on the ex-dividend date.
H. USE OF ESTIMATES -- The preparation of financial statements in accordance
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts and disclosures.
Actual results could differ from those estimates.
2. INVESTMENT ADVISORY/ADMINISTRATION AGREEMENTS
Pursuant to an Investment Advisory Agreement, the Fund pays the Investment
Adviser an advisory fee, accrued daily and payable monthly, by applying the
following annual rates to the net assets of the Fund determined as of the close
of each business day: 0.47% to the portion of the daily net assets not exceeding
$1 billion; 0.445% to the portion of the daily net assets exceeding $1 billion
but not exceeding $1.5 billion; 0.42% to the portion of the daily net assets
exceeding $1.5 billion but not exceeding $2 billion; 0.395% to the portion of
the daily net assets exceeding $2 billion but not
19
<Page>
exceeding $2.5 billion; 0.37% to the portion of the daily net assets exceeding
$2.5 billion but not exceeding $5 billion; 0.345% to the portion of the daily
net assets exceeding $5 billion but not exceeding $7.5 billion; 0.32% to the
portion of the daily net assets exceeding $7.5 billion but not exceeding $10
billion; 0.295% to the portion of the daily net assets exceeding $10 billion but
not exceeding $12.5 billion; and 0.27% to the portion of the daily net assets
exceeding $12.5 billion
Pursuant to an Administration Agreement with Morgan Stanley Services Company
Inc. (the "Administrator"), an affiliate of the Investment Adviser, the Fund
pays an administration fee, accrued daily and payable monthly, by applying the
annual rate of 0.08% to the Fund's daily net assets.
3. PLAN OF DISTRIBUTION
Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the
"Distributor"), an affiliate of the Investment Adviser and Administrator. The
Fund has adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1
under the Act. The Plan provides that the Fund will pay the Distributor a fee
which is accrued daily and paid monthly at the following annual rates: (i) Class
A -- up to 0.25% of the average daily net assets of Class A; (ii) Class B -- up
to 0.85% of the lesser of: (a) the average daily aggregate gross sales of the
Class B shares since the inception of the Fund (not including reinvestment of
dividend or capital gain distributions) less the average daily aggregate net
asset value of the Class B shares redeemed since the Fund's inception upon which
a contingent deferred sales charge has been imposed or waived; or (b) the
average daily net assets of Class B; and (iii) Class C -- up to 0.85% of the
average daily net assets of Class C.
In the case of Class B shares, provided that the Plan continues in effect, any
cumulative expenses incurred by the Distributor but not yet recovered may be
recovered through the payment of future distribution fees from the Fund pursuant
to the Plan and contingent deferred sales charges paid by investors upon
redemption of Class B shares. Although there is no legal obligation for the Fund
to pay expenses incurred in excess of payments made to the Distributor under the
Plan and the proceeds of contingent deferred sales charges paid by investors
upon redemption of shares, if for any reason the Plan is terminated, the
Trustees will consider at that time the manner in which to treat such expenses.
The Distributor has advised the Fund that such excess amounts totaled
$10,115,657 at April 30, 2006.
In the case of Class A shares and Class C shares, expenses incurred pursuant to
the Plan in any calendar year in excess of 0.25% or 0.85% of the average daily
net assets of Class A or Class C, respectively, will not be reimbursed by the
Fund through payments in any subsequent year, except that expenses representing
a gross sales credit to Morgan Stanley Financial Advisors or other selected
broker-dealer representatives may be reimbursed in the subsequent calendar year.
For the six months ended April 30, 2006, the distribution fee was accrued for
Class A shares and Class C shares at the annual rate of 0.24% and 0.80%,
respectively.
20
<Page>
The Distributor has informed the Fund that for the six months ended April 30,
2006, it received contingent deferred sales charges from certain redemptions of
the Fund's Class B shares and Class C shares of $100,087 and $582, respectively
and received $6,699 in front-end sales charges from sales of the Fund's Class A
shares. The respective shareholders pay such charges which are not an expense of
the Fund.
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
The cost of purchases and proceeds from sales/prepayments of portfolio
securities, excluding short-term investments, for the six months ended April 30,
2006 were $848,659,217 and $888,774,805, respectively.
Morgan Stanley Trust, an affiliate of the Investment Adviser, Administrator and
Distributor, is the Fund's transfer agent.
The Fund has an unfunded noncontributory defined benefit pension plan covering
certain independent Trustees of the Fund who will have served as independent
Trustees for at least five years at the time of retirement. Benefits under this
plan are based on factors which include years of service and compensation. The
Trustees voted to close the plan to new participants and eliminate the future
benefits growth due to increases to compensation after July 31, 2003. Aggregate
pension costs for the six months ended April 30, 2006 included in Trustees' fees
and expenses in the Statement of Operations amounted to $3,658. At April 30,
2006, the Fund had an accrued pension liability of $63,252 which is included in
accrued expenses in the Statement of Assets and Liabilities.
The Fund has an unfunded Deferred Compensation Plan (the "Compensation Plan")
which allows each independent Trustee to defer payment of all, or a portion, of
the fees he receives for serving on the Board of Trustees. Each eligible Trustee
generally may elect to have the deferred amounts credited with a return equal to
the total return on one or more of the Morgan Stanley funds that are offered as
investment options under the Compensation Plan. Appreciation/depreciation and
distributions received from these investments are recorded with an offsetting
increase/decrease in the deferred compensation obligation and do not affect the
net asset value of the Fund.
5. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS
To hedge against adverse interest rate and market risks on portfolio positions
or anticipated positions in U.S. Government securities, the Fund may enter into
interest rate futures contracts ("futures contracts").
These futures contracts involve elements of market risk in excess of the amount
reflected in the Statement of Assets and Liabilities. The Fund bears the risk of
an unfavorable change in the value of the
21
<Page>
underlying securities. Risks may also arise upon entering into theses contracts
from potential inability of the counterparties to meet the terms of their
contracts.
6. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<Table>
<Caption>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
APRIL 30, 2006 OCTOBER 31, 2005
------------------------- ---------------------------
(UNAUDITED)
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ----------- -------------
CLASS A SHARES
Sold 68,244 $ 624,782 227,490 $ 2,120,309
Conversion from Class B 377,940 3,453,789 19,413,595 180,919,033
Reinvestment of dividends 260,566 2,380,193 273,848 2,543,486
Redeemed (2,187,991) (19,997,814) (2,426,541) (22,566,907)
---------- ------------ ----------- -------------
Net increase (decrease) -- Class A (1,481,241) (13,539,050) 17,488,392 163,015,921
---------- ------------ ----------- -------------
CLASS B SHARES
Sold 69,933 629,757 588,713 5,392,491
Conversion to Class A (385,104) (3,453,789) (19,774,204) (180,919,033)
Reinvestment of dividends 89,850 805,707 398,528 3,646,187
Redeemed (1,495,442) (13,424,564) (6,087,238) (55,752,299)
---------- ------------ ----------- -------------
Net decrease -- Class B (1,720,763) (15,442,889) (24,874,201) (227,632,654)
---------- ------------ ----------- -------------
CLASS C SHARES
Sold 32,009 289,168 117,304 1,084,920
Reinvestment of dividends 14,358 129,891 30,621 282,356
Redeemed (186,514) (1,687,136) (456,842) (4,215,679)
---------- ------------ ----------- -------------
Net decrease -- Class C (140,147) (1,268,077) (308,917) (2,848,403)
---------- ------------ ----------- -------------
CLASS D SHARES
Sold 94,382 846,509 274,220 2,507,674
Reinvestment of dividends 19,849 177,675 41,901 382,219
Redeemed (338,209) (3,032,955) (478,446) (4,367,951)
---------- ------------ ----------- -------------
Net decrease -- Class D (223,978) (2,008,771) (162,325) (1,478,058)
---------- ------------ ----------- -------------
Net decrease in Fund (3,566,129) $(32,258,787) (7,857,051) $ (68,943,194)
========== ============ =========== =============
</Table>
7. EXPENSE OFFSET
The expense offset represents a reduction of the transfer agent fees and
expenses for earnings on cash balances maintained by the Fund.
22
<Page>
8. FEDERAL INCOME TAX STATUS
The amount of dividends and distributions from net investment income and net
realized capital gains are determined in accordance with federal income tax
regulations which may differ from generally accepted accounting principles.
These "book/tax" differences are either considered temporary or permanent in
nature. To the extent these differences are permanent in nature, such amounts
are reclassified within the capital accounts based on their federal tax-basis
treatment; temporary differences do not require reclassification. Dividends and
distributions which exceed net investment income and net realized capital gains
for tax purposes are reported as distributions of paid-in-capital.
As of October 31, 2005, the Fund had a net capital loss carryforward of
$12,951,775 of which $2,381,171 will expire on October 31, 2007, $3,711,589 will
expire on October 31, 2011, $1,178,907 will expire on October 31, 2012 and
$5,680,108 will expire on October 31, 2013 to offset future capital gains to the
extent provided by regulations.
As of October 31, 2005, the Fund had temporary book/tax differences primarily
attributable to book amortization of premiums on debt securities, mark-to-market
of open futures contracts and dividend payable.
9. LEGAL MATTERS
The Investment Adviser, certain affiliates of the Investment Adviser, certain
officers of such affiliates and certain investment companies advised by the
Investment Adviser or its affiliates, including the Fund, are named as
defendants in a consolidated class action. This consolidated action also names
as defendants certain individual Trustees and Directors of the Morgan Stanley
funds. The consolidated amended complaint, filed in the United States District
Court Southern District of New York on April 16, 2004, generally alleges that
defendants, including the Fund, violated their statutory disclosure obligations
and fiduciary duties by failing properly to disclose (i) that the Investment
Adviser and certain affiliates of the Investment Adviser allegedly offered
economic incentives to brokers and others to recommend the funds advised by the
Investment Adviser or its affiliates to investors rather than funds managed by
other companies, and (ii) that the funds advised by the Investment Adviser or
its affiliates, including the Fund, allegedly paid excessive commissions to
brokers in return for their efforts to recommend these funds to investors. The
complaint seeks, among other things, unspecified compensatory damages,
rescissionary damages, fees and costs. The defendants have moved to dismiss the
action. On March 9, 2005, Plaintiffs sought leave to supplement their complaint
to assert claims on behalf of other investors, which motion defendants opposed.
On April 14, 2006, the Court granted defendants' motion to dismiss in its
entirety. Additionally, the Court denied plaintiff's motion to supplement their
complaint. This matter is now concluded.
23
<Page>
MORGAN STANLEY MORTGAGE SECURITIES TRUST
FINANCIAL HIGHLIGHTS
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED OCTOBER 31,
MONTHS ENDED -----------------------------------------------
APRIL 30, 2006 2005 2004 2003 2002 2001
-------------- -------- ------- ------- ------- ------
(UNAUDITED)
CLASS A SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.17 $ 9.40 $ 9.29 $ 9.58 $ 9.51 $ 8.98
-------- -------- ------- ------- ------- ------
Income (loss) from investment operations:
Net investment income 0.17 0.19 0.07 0.12 0.43 0.54
Net realized and unrealized gain (loss) (0.07) (0.03) 0.36 0.04 0.12 0.53
-------- -------- ------- ------- ------- ------
Total income from investment operations 0.10 0.16 0.43 0.16 0.55 1.07
-------- -------- ------- ------- ------- ------
Less dividends from net investment income (0.24) (0.39) (0.32) (0.45) (0.48) (0.54)
-------- -------- ------- ------- ------- ------
Net asset value, end of period $ 9.03 $ 9.17 $ 9.40 $ 9.29 $ 9.58 $ 9.51
======== ======== ======= ======= ======= ======
TOTAL RETURN+ 0.64%(1) 1.68% 4.74% 1.70% 6.14% 12.28%
RATIOS TO AVERAGE NET ASSETS(3):
Expenses 1.10%(2) 1.05% 0.91% 0.92% 0.90% 0.91%
Net investment income 3.74%(2) 2.31% 1.52% 1.69% 4.51% 5.90%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $154,771 $170,689 $10,663 $18,409 $22,713 $8,593
Portfolio turnover rate 320%(1) 772% 666% 654% 25% 157%
</Table>
- ----------
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
SEE NOTES TO FINANCIAL STATEMENTS
24
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED OCTOBER 31,
MONTHS ENDED ---------------------------------------------------
APRIL 30, 2006 2005 2004 2003 2002 2001
-------------- ------- -------- -------- -------- --------
(UNAUDITED)
CLASS B SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.00 $ 9.23 $ 9.12 $ 9.42 $ 9.35 $ 8.85
------- ------- -------- -------- -------- --------
Income (loss) from investment operations:
Net investment income 0.14 0.12 0.00 0.05 0.36 0.47
Net realized and unrealized gain (loss) (0.08) (0.03) 0.36 0.03 0.12 0.50
------- ------- -------- -------- -------- --------
Total income from investment operations 0.06 0.09 0.36 0.08 0.48 0.97
------- ------- -------- -------- -------- --------
Less dividends from net investment income (0.20) (0.32) (0.25) (0.38) (0.41) (0.47)
------- ------- -------- -------- -------- --------
Net asset value, end of period $ 8.86 $ 9.00 $ 9.23 $ 9.12 $ 9.42 $ 9.35
======= ======= ======== ======== ======== ========
TOTAL RETURN+ 0.42%(1) 0.97 4.05% 0.89% 5.36% 11.38%
RATIOS TO AVERAGE NET ASSETS(3):
Expenses 1.71%(2) 1.65% 1.59% 1.56% 1.55% 1.56%
Net investment income 3.13%(2) 1.71 0.84% 1.05% 3.86% 5.25%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $57,285 $73,635 $305,066 $394,399 $476,023 $490,351
Portfolio turnover rate 320%(1) 772% 666% 654% 25% 157%
</Table>
- ----------
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
SEE NOTES TO FINANCIAL STATEMENTS
25
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED OCTOBER 31,
MONTHS ENDED ----------------------------------------------
APRIL 30, 2006 2005 2004 2003 2002 2001
-------------- ------ ------- ------- ------- -------
(UNAUDITED)
CLASS C SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 9.08 $ 9.31 $ 9.20 $ 9.50 $ 9.43 $ 8.93
------ ------ ------- ------- ------- -------
Income (loss) from investment operations:
Net investment income 0.14 0.13 0.01 0.06 0.36 0.48
Net realized and unrealized gain (loss) (0.07) (0.03) 0.35 0.03 0.12 0.50
------ ------ ------- ------- ------- -------
Total income from investment operations 0.07 0.10 0.36 $ 0.09 0.48 0.98
------ ------ ------- ------- ------- -------
Less dividends from net investment income (0.21) (0.33) (0.25) (0.39) (0.41) (0.48)
------ ------ ------- ------- ------- -------
Net asset value, end of period $ 8.94 $ 9.08 $ 9.31 $ 9.20 $ 9.50 $ 9.43
====== ====== ======= ======= ======= =======
TOTAL RETURN+ 0.46%(1) 1.08% 4.03% 0.91% 5.35% 11.33%
RATIOS TO AVERAGE NET ASSETS(3):
Expenses 1.66%(2) 1.56% 1.59% 1.56% 1.55% 1.56%
Net investment income 3.18%(2) 1.80% 0.84% 1.05% 3.86% 5.25%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $8,341 $9,739 $12,864 $16,803 $19,116 $15,248
Portfolio turnover rate 320%(1) 772% 666% 654% 25% 157%
</Table>
- ----------
+ DOES NOT REFLECT THE DEDUCTION OF SALES CHARGE. CALCULATED BASED ON THE NET
ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
SEE NOTES TO FINANCIAL STATEMENTS
26
<Page>
<Table>
<Caption>
FOR THE SIX FOR THE YEAR ENDED OCTOBER 31,
MONTHS ENDED ----------------------------------------------
APRIL 30, 2006 2005 2004 2003 2002 2001
-------------- ------- ------- ------- ------- ------
(UNAUDITED)
CLASS D SHARES
SELECTED PER SHARE DATA:
Net asset value, beginning of period $ 8.98 $ 9.21 $ 9.10 $ 9.39 $ 9.33 $ 8.84
------ ------- ------- ------- ------- ------
Income (loss) from investment operations:
Net investment income 0.18 0.20 0.08 0.13 0.43 0.55
Net realized and unrealized gain (loss) (0.06) (0.03) 0.36 0.04 0.12 0.49
------ ------- ------- ------- ------- ------
Total income from investment operations 0.12 0.17 0.44 0.17 0.55 1.04
------ ------- ------- ------- ------- ------
Less dividends from net investment income (0.25) (0.40) (0.33) (0.46) (0.49) (0.55)
------ ------- ------- ------- ------- ------
Net asset value, end of period $ 8.85 $ 8.98 $ 9.21 $ 9.10 $ 9.39 $ 9.33
====== ======= ======= ======= ======= ======
TOTAL RETURN+ 0.84%(1) 1.83% 4.93% 1.85% 6.14% 12.23%
RATIOS TO AVERAGE NET ASSETS(3):
Expenses 0.86%(2) 0.80% 0.74% 0.71% 0.70% 0.71%
Net investment income 3.98%(2) 2.56% 1.69% 1.90% 4.71% 6.10%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $8,822 $10,967 $12,742 $19,677 $12,297 $6,206
Portfolio turnover rate 320%(1) 772% 666% 654% 25% 157%
</Table>
- ----------
+ CALCULATED BASED ON THE NET ASSET VALUE AS OF THE LAST BUSINESS DAY OF THE
PERIOD.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) REFLECTS OVERALL FUND RATIOS FOR INVESTMENT INCOME AND NON-CLASS SPECIFIC
EXPENSES.
SEE NOTES TO FINANCIAL STATEMENTS
27
<Page>
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
Wayne E. Hedien
James F. Higgins
Dr. Manuel H. Johnson
Joseph J. Kearns
Michael E. Nugent
Fergus Reid
OFFICERS
Charles A. Fiumefreddo
CHAIRMAN OF THE BOARD
Ronald E. Robison
PRESIDENT AND PRINCIPAL EXECUTIVE OFFICER
J. David Germany
VICE PRESIDENT
Dennis F. Shea
VICE PRESIDENT
Barry Fink
VICE PRESIDENT
Amy R. Doberman
VICE PRESIDENT
Carsten Otto
CHIEF COMPLIANCE OFFICER
Stefanie V. Chang Yu
VICE PRESIDENT
Francis J. Smith
TREASURER AND CHIEF FINANCIAL OFFICER
Mary E. Mullin
SECRETARY
TRANSFER AGENT
Morgan Stanley Trust
Harborside Financial Center, Plaza Two
Jersey City, New Jersey 07311
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
Two World Financial Center
New York, New York 10281
INVESTMENT ADVISER
Morgan Stanley Investment Advisors Inc.
1221 Avenue of the Americas
New York, New York 10020
The financial statements included herein have been taken from the records of the
Fund without examination by the independent auditors and accordingly they do not
express an opinion thereon.
This report is submitted for the general information of the shareholders of the
Fund. For more detailed information about the Fund, its fees and expenses and
other pertinent information, please read its Prospectus. The Fund's Statement of
Additional Information contains additional information about the Fund, including
its trustees. It is available, without charge, by calling (800) 869-NEWS.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective Prospectus. Read the
Prospectus carefully before investing.
Investments and services offered through Morgan Stanley DW Inc., member SIPC.
Morgan Stanley Distributors Inc., member NASD.
(C) 2006 Morgan Stanley
[MORGAN STANLEY LOGO]
MORGAN STANLEY FUNDS
Morgan Stanley
Mortgage
Securities Trust
Semiannual Report
April 30, 2006
MTGRPT-37895RPT-RA06-00492P-Y04/06
[MORGAN STANLEY LOGO]
<Page>
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semiannual reports.
Item 6.
Refer to Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable for semiannual reports.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Applicable only to reports filed by closed-end funds.
Item 9. Closed-End Fund Repurchases
Applicable to reports filed by closed-end funds.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
<Page>
Item 11. Controls and Procedures
(a) The Fund's principal executive officer and principal financial officer
have concluded that the Fund's disclosure controls and procedures are
sufficient to ensure that information required to be disclosed by the Fund in
this Form N-CSR was recorded, processed, summarized and reported within the
time periods specified in the Securities and Exchange Commission's rules and
forms, based upon such officers' evaluation of these controls and procedures
as of a date within 90 days of the filing date of the report.
(b) There were no changes in the registrant's internal control over
financial reporting that occurred during the second fiscal quarter of the
period covered by this report that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over financial
reporting.
Item 12. Exhibits
(a) Code of Ethics - Not applicable for semiannual reports.
(b) A separate certification for each principal executive officer and principal
financial officer of the registrant are attached hereto as part of EX-99.CERT.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly
authorized.
Morgan Stanley Mortgage Securities Trust
/s/ Ronald E. Robison
Ronald E. Robison
Principal Executive Officer
June 20, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the
following persons on behalf of the registrant and in the capacities and on
the dates indicated.
/s/ Ronald E. Robison
Ronald E. Robison
Principal Executive Officer
June 20, 2006
/s/ Francis Smith
Francis Smith
Principal Financial Officer
June 20, 2006