NPORT-EX 2 NPORT_MGA9_90171129_0922.htm

 

Morgan Stanley Variable Investment Series - Income Plus Portfolio

Portfolio of Investments

September 30, 2022 (unaudited)

 

PRINCIPAL
AMOUNT
(000)		     COUPON
RATE		   MATURITY
DATE		    VALUE 
     Corporate Bonds (95.5%)               
     Basic Materials (3.0%)               
$ 200  Braskem Netherlands Finance BV (Brazil) (a)    4.50  %    01/31/30   $161,990 
  250  Celanese U.S. Holdings LLC     6.165    07/15/27    236,919 
  150  DuPont de Nemours, Inc.     5.319    11/15/38    136,387 
  225  Glencore Funding LLC (Australia) (a)    2.50    09/01/30    172,388 
  200  Minsur SA (Peru) (a)    4.50    10/28/31    162,403 
  500  Newcastle Coal Infrastructure Group Pty Ltd. (Australia) (a)    4.40    09/29/27    428,224 
  200  NOVA Chemicals Corp. (Canada) (a)    4.875    06/01/24    188,212 
                   1,486,523 
     Communications (9.7%)               
  75  Airbnb, Inc. (b)    0.00    03/15/26    62,475 
  250  Amazon.com, Inc.     2.50    06/03/50    156,856 
  75  Amazon.com, Inc.     2.70    06/03/60    44,474 
  125  Amazon.com, Inc.     3.95    04/13/52    102,813 
  300  AT&T, Inc.     2.55    12/01/33    222,392 
  713  AT&T, Inc.     3.55    09/15/55    469,831 
  200  Baidu, Inc. (China)     1.72    04/09/26    176,941 
  50  Charter Communications Operating LLC/Charter Communications Operating Capital     2.30    02/01/32    35,783 
  150  Charter Communications Operating LLC/Charter Communications Operating Capital     2.80    04/01/31    113,642 
  375  Charter Communications Operating LLC/Charter Communications Operating Capital     3.50    03/01/42    238,794 
  25  Charter Communications Operating LLC/Charter Communications Operating Capital     5.125    07/01/49    18,388 
  175  Comcast Corp.     3.75    04/01/40    138,022 
  275  Comcast Corp.     4.00    03/01/48    212,232 
  375  Level 3 Financing, Inc. (a)    3.40    03/01/27    314,803 
  200  NBN Co. Ltd. (Australia) (a)    2.50    01/08/32    155,801 
  350  NBN Co. Ltd. (Australia) (a)    2.625    05/05/31    279,079 
  200  Ooredoo International Finance Ltd. (Qatar) (a)    2.625    04/08/31    165,794 
  200  Prosus NV (China) (a)    3.68    01/21/30    150,095 
  175  Rogers Communications, Inc. (Canada) (a)    4.55    03/15/52    139,930 
  80  Spotify USA, Inc. (b)    0.00    03/15/26    63,200 
  125  Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC (a)    4.738    03/20/25    123,276 
  250  T-Mobile USA, Inc.     2.25    11/15/31    188,851 
  150  T-Mobile USA, Inc.     3.30    02/15/51    98,000 
  375  Tencent Holdings Ltd. (China) (a)    3.595    01/19/28    335,888 
  60  Uber Technologies, Inc. (b)    0.00    12/15/25    50,094 
  150  Verizon Communications, Inc.     1.75    01/20/31    112,740 
  50  Verizon Communications, Inc.     2.355    03/15/32    38,391 
       100  Verizon Communications, Inc.     2.65    11/20/40    65,410 
  255  Verizon Communications, Inc.     2.987    10/30/56    152,280 
  50  Verizon Communications, Inc.     3.40    03/22/41    36,626 
  100  Vodafone Group PLC (United Kingdom)     4.375    02/19/43    76,752 
  204  Walt Disney Co.     2.75    09/01/49    129,999 
  100  Walt Disney Co.     3.50    05/13/40    77,415 
  75  Wayfair, Inc.     0.625    10/01/25    50,625 
                   4,797,692 
     Consumer, Cyclical (8.3%)               
  422  Alaska Airlines 2020-1 Class A Pass Through Trust (a)    4.80    02/15/29    398,830 
  80  American Airlines, Inc./AAdvantage Loyalty IP Ltd. (a)    5.75    04/20/29    69,942 

 

 

 

 

Morgan Stanley Variable Investment Series - Income Plus Portfolio

Portfolio of Investments

September 30, 2022 (unaudited) continued

 

  125  Brunswick Corp.     5.10    04/01/52    86,959 
  150  Daimler Trucks Finance North America LLC (Germany) (a)    2.00    12/14/26    129,278 
  175  Dick's Sporting Goods, Inc.     4.10    01/15/52    108,491 
  200  Ferguson Finance PLC (United Kingdom) (a)    4.65    04/20/32    176,380 
  300  General Motors Co.     6.60    04/01/36    281,148 
  25  General Motors Co.     6.75    04/01/46    22,825 
  125  Home Depot, Inc.     2.375    03/15/51    73,493 
  150  Hyatt Hotels Corp.     1.80    10/01/24    140,763 
  475  Hyundai Capital America (a)    3.00    02/10/27    422,558 
  267  JetBlue Pass Through Trust, Series AA     2.75    11/15/33    219,739 
  125  Lowe's Cos., Inc.     3.00    10/15/50    76,866 
  200  Lowe's Cos., Inc.     5.80    09/15/62    184,040 
  55  Macy's Retail Holdings LLC (a)    5.875    03/15/30    43,614 
  100  Magallanes, Inc. Co. (a)    5.05    03/15/42    75,000 
  375  Magallanes, Inc. Co. (a)    5.141    03/15/52    273,273 
  450  Marriott International, Inc., Series HH     2.85    04/15/31    354,022 
  150  McDonald's Corp.     4.45    09/01/48    125,536 
  275  Nissan Motor Co. Ltd. (Japan) (a)    3.522    09/17/25    253,161 
  155  Peloton Interactive, Inc. (b)    0.00    02/15/26    105,412 
  200  Resorts World Las Vegas LLC/RWLV Capital, Inc. (a)    4.625    04/16/29    152,392 
  125  Starbucks Corp.     2.25    03/12/30    101,314 
  75  Starbucks Corp.     2.55    11/15/30    61,285 
  200  Warnermedia Holdings, Inc. (a)    4.279    03/15/32    164,794 
                   4,101,115 
     Consumer, Non-Cyclical (8.1%)               
  125  AbbVie, Inc.     4.05    11/21/39    100,905 
  150  AbbVie, Inc.     4.25    11/21/49    120,607 
  200  Altria Group, Inc.     3.40    02/04/41    126,524 
  75  Amgen, Inc.     3.00    01/15/52    47,092 
  125  Amgen, Inc.     4.20    02/22/52    98,389 
  25  Anheuser-Busch InBev Worldwide, Inc. (Belgium)     4.35    06/01/40    21,245 
  50  Anheuser-Busch InBev Worldwide, Inc. (Belgium)     4.375    04/15/38    42,810 
  550  Anheuser-Busch InBev Worldwide, Inc. (Belgium)     4.60    04/15/48    457,088 
  350  BAT Capital Corp. (United Kingdom)     2.259    03/25/28    278,932 
  150  BAT Capital Corp. (United Kingdom)     3.734    09/25/40    96,368 
  235  Cedars-Sinai Health System, Series 2021     2.288    08/15/31    188,009 
  275  CVS Health Corp.     1.75    08/21/30    210,776 
  300  DH Europe Finance II Sarl (Luxembourg)     2.60    11/15/29    256,849 
  175  Global Payments, Inc.     5.40    08/15/32    162,693 
EUR 100  Grifols SA (Spain) (a)    2.25    11/15/27    76,711 
$ 300  HCA, Inc.     5.25    06/15/49    244,670 
  500  Imperial Brands Finance PLC (United Kingdom) (a)    3.125    07/26/24    478,655 
  225  JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. (a)    2.50    01/15/27    192,694 
  150  JDE Peet's NV (Netherlands) (a)    1.375    01/15/27    124,128 
  225  Kimberly-Clark de Mexico SAB de CV (Mexico) (a)    2.431    07/01/31    180,269 
EUR 100  Q-Park Holding I BV (Netherlands) (a)    1.50    03/01/25    85,313 
$ 225  Smithfield Foods, Inc. (a)    3.00    10/15/30    174,020 
  325  Transurban Finance Co. Pty Ltd. (Australia) (a)    2.45    03/16/31    251,744 
                   4,016,491 
     Energy (7.5%)               
  175  BP Capital Markets PLC (United Kingdom)   4.375    06/22/25 (c)   162,312 
  175  BP Capital Markets PLC (United Kingdom)   4.875    03/22/30 (c)    151,047 
  125  Continental Resources, Inc. (a)    2.268    11/15/26    106,821 
  275  Continental Resources, Inc. (a)    2.875    04/01/32    201,754 
  350  Coterra Energy, Inc. (a)    3.90    05/15/27    324,848 
  275  Diamondback Energy, Inc.     3.125    03/24/31    223,470 
  350  Enbridge, Inc. (Canada)     2.50    08/01/33    262,757 
  50  Energy Transfer LP     5.00    05/15/50    39,193 
  50  Energy Transfer LP     5.40    10/01/47    40,613 

 

 

 

 

Morgan Stanley Variable Investment Series - Income Plus Portfolio

Portfolio of Investments

September 30, 2022 (unaudited) continued

 

  125  Enterprise Products Operating LLC     3.30    02/15/53    81,657 
  125  Enterprise Products Operating LLC     3.95    01/31/60    86,566 
  10  EQM Midstream Partners LP (a)    7.50    06/01/27    9,548 
  200  EQT Corp.     5.70    04/01/28    196,406 
  175  Exxon Mobil Corp.     3.452    04/15/51    130,707 
  175  HF Sinclair Corp. (a)    5.875    04/01/26    171,744 
  75  Kinder Morgan, Inc.     3.60    02/15/51    48,821 
  225  Midwest Connector Capital Co. LLC (a)    4.625    04/01/29    201,118 
  75  MPLX LP     4.95    03/14/52    58,876 
  100  MPLX LP     5.20    12/01/47    81,246 
  275  ONEOK, Inc.     3.10    03/15/30    223,813 
  75  ONEOK, Inc.     3.40    09/01/29    63,005 
  200  Rockies Express Pipeline LLC (a)    3.60    05/15/25    180,292 
         325  Sabine Pass Liquefaction LLC     4.50    05/15/30    296,544 
  75  Shell International Finance BV (Netherlands)     3.125    11/07/49    51,553 
  200  Transportadora de Gas Internacional SA ESP (Colombia) (a)    5.55    11/01/28    178,956 
  125  Williams Cos., Inc.     5.30    08/15/52    109,065 
                   3,682,732 
     Finance (38.6%)               
  300  AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)     1.65    10/29/24    274,343 
  250  AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)     3.00    10/29/28    200,714 
  225  Air Lease Corp.     4.625    10/01/28    202,220 
  150  Alexandria Real Estate Equities, Inc.     2.95    03/15/34    116,189 
  75  Ally Financial, Inc.     8.00    11/01/31    78,741 
  150  American National Group, Inc. (a)    6.144    06/13/32    140,031 
  225  Aon Corp./Aon Global Holdings PLC     2.60    12/02/31    176,258 
  200  Australia & New Zealand Banking Group Ltd. (Australia) (a)    2.57    11/25/35    145,468 
  325  Avolon Holdings Funding Ltd. (Ireland) (a)    2.875    02/15/25    294,314 
  175  Banco de Credito del Peru SA (Peru) (a)    2.70    01/11/25    162,997 
  200  Banco de Credito e Inversiones SA (Chile) (a)    2.875    10/14/31    154,890 
  400  Banco Santander SA (Spain)     1.722    09/14/27    331,388 
  200  Banco Santander SA (Spain)     4.175    03/24/28    180,503 
  300  Bank Hapoalim BM (Israel) (a)    3.255    01/21/32    250,761 
  575  Bank of America Corp.     2.482    09/21/36    416,182 
  875  Bank of America Corp.     2.687    04/22/32    684,158 
  600  Bank of America Corp.     3.846    03/08/37    484,879 
  550  Bank of Ireland Group PLC (Ireland) (a)    2.029    09/30/27    455,616 
  175  Belrose Funding Trust (a)    2.33    08/15/30    132,249 
  250  BPCE SA (France) (a)    3.116    10/19/32    179,214 
  250  BPCE SA (France) (a)    3.648    01/14/37    185,710 
  400  BPCE SA (France) (a)    5.15    07/21/24    390,315 
  275  Capital One Financial Corp.     3.273    03/01/30    230,282 
  250  Charles Schwab Corp., Series G   5.375    06/01/25 (c)    244,375 
  750  Citigroup, Inc.     2.52    11/03/32    569,519 
  825  Citigroup, Inc.     3.057    01/25/33    650,639 
  150  CNO Global Funding (a)    1.75    10/07/26    129,956 
  70  Coinbase Global, Inc. (a)    3.375    10/01/28    43,924 
  200  Commerzbank AG (Germany) (a)    8.125    09/19/23    197,200 
  350  Credit Suisse Group AG (Switzerland) (a)    6.537    08/12/33    315,006 
  150  Deutsche Bank AG (Germany)     6.119    07/14/26    145,799 
  200  Extra Space Storage LP Co.     3.90    04/01/29    178,308 
  275  Federation des Caisses Desjardins du Quebec (Canada) (a)    4.40    08/23/25    266,130 
  300  First-Citizens Bank & Trust Co.     2.969    09/27/25    283,269 
  675  Global Atlantic Fin Co. (a)    4.40    10/15/29    573,701 
  50  GLP Capital LP/GLP Financing II, Inc.     3.25    01/15/32    37,689 
  200  GLP Capital LP/GLP Financing II, Inc.     4.00    01/15/30    167,446 
  650  Goldman Sachs Group, Inc.     2.615    04/22/32    504,595 
  175  Goldman Sachs Group, Inc.     2.64    02/24/28    152,034 

 

 

 

 

Morgan Stanley Variable Investment Series - Income Plus Portfolio

Portfolio of Investments

September 30, 2022 (unaudited) continued

 

  200  Grupo Aval Ltd. (Colombia) (a)    4.375    02/04/30    145,161 
  375  High Street Funding Trust I (a)    4.111    02/15/28    347,779 
  350  HSBC Holdings PLC (United Kingdom)     1.589    05/24/27    292,903 
  250  HSBC Holdings PLC (United Kingdom)     5.21    08/11/28    233,985 
  225  Intact Financial Corp. (Canada) (a)    5.459    09/22/32    219,229 
  325  Intercontinental Exchange, Inc.     4.60    03/15/33    303,404 
  175  Jefferies Group LLC/Jefferies Group Capital Finance, Inc.     2.625    10/15/31    127,221 
  750  JPMorgan Chase & Co.     1.953    02/04/32    555,840 
  550  JPMorgan Chase & Co.     2.545    11/08/32    417,986 
  50  JPMorgan Chase & Co.     3.964    11/15/48    37,553 
  200  JPMorgan Chase & Co.     4.565    06/14/30    184,561 
  300  JPMorgan Chase & Co.     4.851    07/25/28    288,364 
  150  KKR Group Finance Co. XII LLC (a)    4.85    05/17/32    138,260 
  400  LeasePlan Corp. NV (Netherlands) (a)    2.875    10/24/24    375,650 
  275  Life Storage LP     2.40    10/15/31    206,804 
  225  Macquarie Group Ltd. (Australia) (a)    2.871    01/14/33    169,433 
  300  Marsh & McLennan Cos., Inc.     5.875    08/01/33    303,617 
  200  MDGH GMTN (RSC) Ltd. (United Arab Emirates) (a)    4.50    11/07/28    197,016 
  150  Metropolitan Life Global Funding I (a)    2.95    04/09/30    128,759 
  325  National Australia Bank Ltd. (Australia) (a)    2.332    08/21/30    242,449 
  200  Nordea Bank Abp (Finland) (a)    5.375    09/22/27    195,190 
  200  Oversea-Chinese Banking Corp. Ltd. (Singapore) (a)    1.832    09/10/30    179,197 
  325  Radian Group, Inc.     6.625    03/15/25    317,180 
  375  Rexford Industrial Realty LP     2.125    12/01/30    286,955 
  125  Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc. (a)    3.875    03/01/31    90,803 
  350  Sabra Health Care LP     3.20    12/01/31    257,639 
  225  Shinhan Bank Co., Ltd. (Korea, Republic of) (a)    4.00    04/23/29    203,788 
  350  Societe Generale SA (France) (a)    2.625    01/22/25    324,230 
  200  Societe Generale SA (France) (a)    2.889    06/09/32    146,387 
  125  Stewart Information Services Corp.     3.60    11/15/31    96,529 
  200  Sun Communities Operating LP     4.20    04/15/32    167,794 
  250  SVB Financial Group     1.80    02/02/31    179,237 
  45  SVB Financial Group   4.10    02/15/31 (c)    30,911 
  200  Swedbank AB (Sweden) (a)    5.337    09/20/27    194,039 
  275  Synchrony Bank     5.625    08/23/27    263,689 
  175  Synovus Financial Corp.     5.20    08/11/25    171,852 
  100  VICI Properties LP     4.75    02/15/28    92,165 
  350  VICI Properties LP/VICI Note Co., Inc. (a)    3.875    02/15/29    294,352 
  275  Wells Fargo & Co.     4.808    07/25/28    262,559 
  100  Westpac Banking Corp. (Australia)     2.668    11/15/35    73,701 
                   19,071,183 
     Industrials (4.6%)               
  125  Boeing Co.     2.95    02/01/30    100,646 
  125  Boeing Co.     3.25    02/01/35    88,482 
  250  Boeing Co.     5.15    05/01/30    231,556 
  275  Canadian Pacific Railway Co. (Canada)     1.35    12/02/24    254,505 
  150  Eaton Corp.     4.15    03/15/33    135,740 
  300  GE Capital International Funding Co., Unlimited Co.     4.418    11/15/35    269,166 
  200  Sealed Air Corp. (a)    1.573    10/15/26    167,693 
  300  Silgan Holdings, Inc. (a)    1.40    04/01/26    256,423 
EUR 100  Standard Industries, Inc. (a)    2.25    11/21/26    77,396 
$ 175  TD SYNNEX Corp.     2.375    08/09/28    141,297 
  400  Union Pacific Corp.     4.95    09/09/52    373,820 
  275  Vontier Corp.     2.95    04/01/31    198,324 
                   2,295,048 
     Technology (4.8%)               
  225  Apple, Inc.     2.375    02/08/41    156,317 

 

 

 

 

Morgan Stanley Variable Investment Series - Income Plus Portfolio

Portfolio of Investments

September 30, 2022 (unaudited) continued

 

  175  Apple, Inc.     2.65    05/11/50    115,753 
  125  Apple, Inc.     2.95    09/11/49    88,438 
  75  Apple, Inc.     3.95    08/08/52    62,779 
  125  Broadcom, Inc. (a)    3.187    11/15/36    85,761 
  75  Broadcom, Inc. (a)    3.419    04/15/33    57,382 
  250  Dell International LLC/EMC Corp. (a)    3.45    12/15/51    142,725 
  350  DXC Technology Co.     1.80    09/15/26    300,319 
  225  Intel Corp.     2.80    08/12/41    151,950 
  75  Intel Corp.     3.25    11/15/49    49,883 
  150  International Business Machines Corp.     2.85    05/15/40    104,541 
  175  Kyndryl Holdings, Inc.     2.05    10/15/26    140,777 
  500  Micron Technology, Inc.     2.703    04/15/32    364,529 
  150  Microsoft Corp.     2.525    06/01/50    98,571 
  200  Oracle Corp.     3.60    04/01/50    125,523 
  75  Oracle Corp.     3.85    07/15/36    56,247 
  75  RingCentral, Inc. (b)    0.00    03/15/26    58,050 
  100  Take-Two Interactive Software, Inc.     4.00    04/14/32    86,944 
  55  Western Digital Corp.     1.50    02/01/24    52,360 
  50  Ziff Davis, Inc. (a)    1.75    11/01/26    46,425 
                   2,345,274 
     Utilities (10.9%)               
  225  Alliant Energy Finance Co. (a)    3.60    03/01/32    192,503 
  250  Ameren Illinois Co.     1.55    11/15/30    191,776 
  200  APA Infrastructure Ltd. (Australia) (a)    4.20    03/23/25    191,730 
  350  Berkshire Hathaway Energy Co.     2.85    05/15/51    216,099 
  50  Berkshire Hathaway Energy Co. (a)    4.60    05/01/53    42,274 
  175  Cleveland Electric Illuminating Co. (a)    4.55    11/15/30    163,191 
  200  Consorcio Transmantaro SA (Peru) (a)    4.70    04/16/34    172,925 
  100  Consumers Energy Co.     2.50    05/01/60    55,407 
  175  Dominion Energy, Inc.     4.35    08/15/32    158,533 
  175  DTE Electric Co.     2.95    03/01/50    117,732 
  200  Duke Energy Corp.     5.00    08/15/52    170,882 
  247  Duke Energy Indiana LLC     2.75    04/01/50    153,981 
  200  Enel Finance International NV (Italy) (a)    5.00    06/15/32    170,841 
  100  Entergy Texas, Inc.     3.55    09/30/49    70,606 
  100  Exelon Corp. (a)    4.10    03/15/52    77,436 
  275  Fells Point Funding Trust (a)    3.046    01/31/27    245,363 
  175  FirstEnergy Transmission LLC (a)    4.55    04/01/49    137,254 
  125  Georgia Power Co., Series A     3.25    03/15/51    82,753 
  50  Indiana Michigan Power Co.     4.25    08/15/48    39,920 
  150  Interstate Power and Light Co.     2.30    06/01/30    120,654 
  100  Interstate Power and Light Co.     3.50    09/30/49    71,744 
  125  Jersey Central Power & Light Co. (a)    2.75    03/01/32    99,369 
         125  NextEra Energy Capital Holdings, Inc.     1.90    06/15/28    103,618 
  350  NextEra Energy Capital Holdings, Inc.     2.75    11/01/29    294,589 
  75  NextEra Energy Capital Holdings, Inc.     3.00    01/15/52    48,042 
  275  Niagara Mohawk Power Corp. (a)    2.759    01/10/32    215,237 
  150  Northern States Power Co.     2.90    03/01/50    100,626 
  105  NRG Energy, Inc. (a)    3.875    02/15/32    82,131 
  150  Pacific Gas and Electric Co.     3.30    08/01/40    96,338 
  125  PECO Energy Co.     3.05    03/15/51    84,650 
  50  Public Service Co. of Colorado     4.50    06/01/52    43,480 
  175  Public Service Co. of Colorado, Series 34     3.20    03/01/50    122,982 
  300  Public Service Enterprise Group, Inc.     2.45    11/15/31    233,956 
  150  Southern California Edison Co.     4.00    04/01/47    109,699 
  150  Southern Co.     4.40    07/01/46    117,545 
  150  Southern Co. (d)    4.475    08/01/24    148,239 
  150  Tampa Electric Co.     5.00    07/15/52    138,232 
  100  Union Electric Co.     3.90    04/01/52    78,817 
  100  Virginia Electric and Power Co.     2.45    12/15/50    58,793 
  175  Virginia Electric and Power Co.     2.95    11/15/51    113,786 

 

 

 

 

Morgan Stanley Variable Investment Series - Income Plus Portfolio

Portfolio of Investments

September 30, 2022 (unaudited) continued

 

  275  Vistra Operations Co. LLC (a)    4.875    05/13/24    268,229 
                   5,401,962 
     Total Corporate Bonds (Cost $56,823,426)             47,198,020 
                     
     Mortgages - Other (1.8%)               
         400  CSMC Trust     5.989    09/15/35    398,142 
  500  J.P. Morgan Chase Commercial Mortgage Securities Trust (a)    5.129    08/15/39    496,292 
     Total Mortgages - Other (Cost $897,750)             894,434 
 
     Short-Term Investments (2.2%)                
     U.S. Treasury Security (1.8%)               
  889  U.S. Treasury Bill (e)(f) (Cost $873,746)   3.843    03/16/23    874,071 

 

NUMBER
OF SHARES
(000)		                            
      Investment Company (0.4%)                        
      217   Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (g) (Cost $217,037)                     217,037  
      Total Short-Term Investments (Cost $1,090,783)                     1,091,108  
                               
      Total Investments (Cost $58,811,959) (h)(i)(j)             99.5 %     49,183,562  
      Other Assets in Excess of Liabilities             0.5       238,536  
      Net Assets             100.0 %   $ 49,422,098  

 

 

(a)   144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(b)   Capital appreciation bond.
(c)   Perpetual — One or more securities do not have a predetermined maturity date. Rates for these securities are fixed for a period of time, after which they revert to a floating rate. Interest rates in effect are as of September 30, 2022.
(d)   Multi-step — Coupon rate changes in predetermined increments to maturity. Rate disclosed is as of September 30, 2022. Maturity date disclosed is the ultimate maturity date.
(e)   Rate shown is the yield to maturity at September 30, 2022.
(f)   All or a portion of the security was pledged to cover margin requirements for futures contracts.
(g)   The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio - (the "Liquidity Funds"), an open-end management investment company managed by the Adviser. Advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Funds. For the nine months ended September 30, 2022, advisory fees paid were reduced by $540 relating to the Fund's investment in the Liquidity Funds.
(h)   Securities are available for collateral in connection with open foreign currency forward exchange contracts and  futures contracts.
(i)   The Fund is permitted to purchase and sell securities ("cross-trade") from and to other Morgan Stanley Funds as well as other funds and client accounts for which the Adviser or an affiliate of the Adviser serves as investment adviser, pursuant to procedures approved by the Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each cross-trade is executed at the current market price in compliance with provisions of the Rule. For the nine months ended September 30, 2022, the Fund did not engage in any cross-trade transactions.
(j)   At September 30, 2022, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $41,269 and the aggregate gross unrealized depreciation is $9,669,666, resulting in net unrealized depreciation of $9,628,397.

 

 

 

 

Morgan Stanley Variable Investment Series - Income Plus Portfolio

Portfolio of Investments

September 30, 2022 (unaudited) continued

 

FOREIGN CURRENCY FORWARD EXCHANGE CONTRACTS:
The Fund had the following foreign currency forward exchange contracts open at September 30, 2022:

 

COUNTERPARTY  CONTRACTS
TO DELIVER		    IN EXCHANGE
FOR		    DELIVERY
DATE		 UNREALIZED
APPRECIATION
(DEPRECIATION)		  
Australia & New Zealand Banking Group Ltd.  EUR 1,662    $ 1,670    11/10/22 $ 37  
Australia & New Zealand Banking Group Ltd.  EUR 1,570    $ 1,540    11/10/22   (3 )
Bank of America NA  EUR 590    $ 603    11/10/22   23  
HSBC Bank PLC  EUR 768    $ 775    11/10/22   21  
Royal Bank of Canada  EUR 249,023    $ 255,409    11/10/22   10,731  
UBS AG  EUR 570    $ 572    11/10/22   12  
UBS AG  $ $4,218    EUR 4,180    11/10/22   (111 )
                   $ 10,710  

 

FUTURES CONTRACTS:
The Fund had the following futures contracts open at September 30, 2022:

 

    NUMBER
OF
CONTRACTS		     EXPIRATION
DATE		   NOTIONAL
AMOUNT
(000)		     VALUE     UNREALIZED
APPRECIATION
(DEPRECIATION)		  
Long:      
U.S. Treasury 2 yr. Note     25     Dec-22   $ 5,000     $ 5,134,766     $ (84,848 )
U.S. Treasury Long Bond   33     Dec-22     3,300       4,171,406       (314,818 )
U.S. Treasury 5 yr. Note   7     Dec-22     700       752,555       (3,932 )
U.S. Treasury Ultra Bond   5     Dec-22     500       685,000       (62,589 )
Short:                                  
German Euro-Bund Index   1     Dec-22   EUR (100 )     (135,727 )     7,640  
U.S. Treasury 10 yr. Note   25     Dec-22   $ (2,500 )     (2,801,563 )     138,120  
U.S. Treasury 10 yr. Ultra Note   48     Dec-22     (4,800 )     (5,687,250 )     322,754  
                              $ 2,327  

  

EUR  —  Euro
USD  —  United States Dollar

 

 

 

 

Morgan Stanley Variable Investment Series

Notes to Portfolio of Investments ▪ September 30, 2022 (unaudited)

 

Valuation of Investments - (1) An equity portfolio security listed or traded on an exchange is valued at its latest reported sales price (or at the exchange official closing price if such exchange reports an official closing price), and if there were no sales on a given day and if there is no official exchange closing price for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available on the relevant exchanges. If only bid prices are available then the latest bid price may be used. Listed equity securities not traded on the valuation date with no reported bid and asked prices available on the exchange are valued at the mean between the current bid and asked prices obtained from one or more reputable brokers/dealers. In cases where a security is traded on more than one exchange, the security is valued on the exchange designated as the primary market; (2) all other equity portfolio securities for which over-the-counter (“OTC”) market quotations are readily available are valued at the latest reported sales price (or at the market official closing price if such market reports an official closing price), and if there was no trading in the security on a given day and if there is no official closing price from relevant markets for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available on the relevant markets. An unlisted equity security that does not trade on the valuation date and for which bid and asked prices from the relevant markets are unavailable is valued at the mean between the current bid and asked prices obtained from one or more reputable brokers/dealers; (3) futures are valued at the settlement price on the exchange on which they trade or, if a settlement price is unavailable, at the last sale price on the exchange; (4) foreign exchange transactions ("spot contracts") and foreign exchange forward contracts ("forward contracts") are valued daily using an independent pricing vendor at the spot and forward rates, respectively, as of the close of the New York Stock Exchange ("NYSE"); (5) fixed income securities may be valued by an outside pricing service/vendor approved by the Trustees. The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads and/or other market data and specific security characteristics. If Morgan Stanley Investment Management Inc. (the "Adviser"), a wholly-owned subsidiary of Morgan Stanley, determines that the price provided by the outside pricing service/vendor or exchange does not reflect the security's fair value or is unable to provide a price, prices from brokers/dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from brokers/dealers; (6) when market quotations are not readily available, including circumstances under which the Adviser, determines that the closing price, last sale price or the mean between the last reported bid and asked prices are not reflective of a security’s market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the NYSE. If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Trustees or by the Adviser using a pricing service and/or procedures approved by the Trustees; and (7) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day.

 

In connection with Rule 2a-5 of the Act, which became effective September 8, 2022, the Trustees have designated the Trust's Adviser as its valuation designee. The valuation designee has responsibility for determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Trustees. Under procedures approved by the Trustees, the Trust's Adviser, as valuation designee, has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of the Trust’s valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow the Trust to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

 

 

 

 

Fair Valuation Measurements

 

Financial Accounting Standards Board (“FASB”) Accounting Standards CodificationTM ("ASC") 820, "Fair Value Measurement" ("ASC 820"), defines fair value as the price that would be received to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The inputs are summarized in the three broad levels listed below:

 

• Level 1 – unadjusted quoted prices in active markets for identical investments

 

• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

• Level 3 – significant unobservable inputs including the Fund’s own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer's financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.

 

The following is a summary of the inputs used to value the Fund's investments as of September 30, 2022.

 

INVESTMENT TYPE  LEVEL 1
UNADJUSTED
QUOTED
PRICES		   LEVEL 2
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS		   LEVEL 3
SIGNIFICANT
UNOBSERVABLE
INPUTS		   TOTAL 
                 
Assets:
Fixed Income Securities                    
Corporate Bonds  $—   $47,198,020   $                   —   $47,198,020 
Mortgages - Other   —    894,434    —    894,434 
Total Fixed Income Securities   —    48,092,454    —    48,092,454 
Short-Term Investments                    
U.S. Treasury Security   —    874,071    —    874,071 
Investment Company   217,037    —    —    217,037 
Total Short-Term Investments   217,037    874,071    —    1,091,108 
Foreign Currency Forward Exchange Contracts   —    10,824    —    10,824 
Futures Contracts   468,514    —    —    468,514 
Total Assets   685,551    48,977,349    —    49,662,900 
Liabilities:
Foreign Currency Forward Exchange Contracts   —    (114)   —    (114)
Futures Contracts   (466,187)   —    —    (466,187)
Total Liabilities   (466,187)   (114)   —    (466,301)
Total  $219,364   $48,977,235   $—   $49,196,599 

 

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.