NPORT-EX 2 NPORT_3444416256303821.htm

 

Morgan Stanley Mortgage Securities Trust

Portfolio of Investments ▪ January 31, 2021 (unaudited)

 

PRINCIPAL
AMOUNT
(000)		       COUPON
RATE		     MATURITY
DATE		     VALUE  
      Agency Fixed Rate Mortgages (28.1%)                  
      Federal Home Loan Mortgage Corporation                  
$ 985       2.00 %   11/01/50   $ 1,006,746  
    Conventional Pools:          
  2,833       2.50     04/01/50–06/01/50     2,915,849  
  649       3.00     04/01/50     671,487  
  232       3.50     08/01/49     242,026  
  147       4.00     07/01/49     152,841  
    Gold Pools:          
  399       3.50     01/01/44–05/01/49     426,550  
  557       4.00     12/01/41–10/01/44     614,248  
  707       4.50     03/01/41–01/01/49     788,148  
  82       5.00     12/01/40–05/01/41     92,468  
  12       5.50     07/01/37     13,923  
  14       6.00     12/01/37     17,256  
  13       6.50     06/01/29–09/01/33     15,535  
  39       7.50     05/01/35     46,278  
  20       8.00     08/01/32     23,361  
  31       8.50     08/01/31     37,419  
    Federal National Mortgage Association, Conventional Pools:          
  1,000       1.50     01/01/51     1,004,252  
  3,969       2.00     11/01/50–12/01/50     4,082,078  
  1,456       2.50     09/01/49–03/01/50     1,530,969  
  1,852       3.00     10/01/48–02/01/50     1,906,962  
  2,699       3.50     09/01/42–11/01/49     2,863,367  
  1,623       4.00     04/01/45–01/01/49     1,787,095  
  1,206       4.50     08/01/40–08/01/49     1,287,151  
  907       5.00     11/01/40–01/01/49     1,004,719  
  9       5.50     08/01/37     10,083  
  346       6.50     02/01/28–11/01/33     389,513  
  13       7.00     07/01/23–06/01/32     13,165  
  48       7.50     08/01/37     59,098  
  51       8.00     04/01/33     62,965  
  50       8.50     10/01/32     61,562  
  29       9.50     04/01/30     32,630  
    February TBA:          
  20,000   (a)   2.00     02/12/51     20,654,688  
  1,000   (a)   2.50     02/12/51     1,053,789  
      Government National Mortgage Association, Various Pools:        
  1,131       2.50     01/20/50–05/20/50     1,172,342  
  1,370       3.00     10/20/49–03/20/50     1,403,232  
  1,037       3.50     10/20/44–02/20/50     1,097,316  
  1,336       4.00     07/15/44–03/20/50     1,411,682  
  1,668       4.50     12/20/48–12/20/49     1,783,060  
  1,304       5.00     05/20/41–06/20/49     1,414,504  
  315       5.50     02/20/49–10/20/49     348,675  
    Total Agency Fixed Rate Mortgages (Cost $52,725,269)       53,499,032  
           
    Asset-Backed Securities (32.0%)      
  219   Aaset Trust (b)   3.844     05/15/39     219,141  
  405  

ABFC Trust,

1 Month USD LIBOR + 0.78%

   0.91 (c)   10/25/33     386,395  
  400   American Credit Acceptance Receivables Trust (b)   4.84     04/14/25     428,079  
  600   American Homes 4 Rent (b)   5.885     04/17/52     660,903  
      American Homes 4 Rent Trust        
  520   (b)   5.639     04/17/52     572,785  
  600   (b)   6.231     10/17/36     667,756  

 

 

 

 

Morgan Stanley Mortgage Securities Trust

Portfolio of Investments ▪ January 31, 2021 (unaudited) continued

 

  618  

Ameriquest Mortgage Securities, Inc.,

1 Month USD LIBOR + 0.83%

   0.955 (c)   04/25/34     604,559  
      Amortizing Residential Collateral Trust        
  536   1 Month USD LIBOR + 0.50%   0.63 (c)   12/25/30     517,420  
  187   1 Month USD LIBOR + 0.64%   0.788 (c)   10/25/31     180,815  
  293   1 Month USD LIBOR + 0.76%   0.89 (c)   10/25/32     278,599  
      Argent Securities, Inc. Asset-Backed Pass-Through Certificates        
  271   1 Month USD LIBOR + 1.88%   2.005 (c)   04/25/34     273,332  
  430   5.63% - 1 Month USD LIBOR   3.898 (d)   12/25/33     433,745  
  300   Avant Loans Funding Trust (b)   4.65     04/15/26     299,356  
      Bear Stearns Asset-Backed Securities Trust        
  160   1 Month USD LIBOR + 1.30%   1.43 (c)   10/27/32     158,574  
  92   1 Month USD LIBOR + 1.95%   2.08 (c)   12/25/42     92,319  
  233       3.138 (c)   07/25/36     234,491  
  454  

Business Loan Express Business Loan Trust,

1 Month USD LIBOR + 0.40% (b)

   0.531 (c)   10/20/40     412,230  
  535   Carnow Auto Receivables Trust (b)   3.36     06/17/24     545,783  
      Cascade Funding Mortgage Trust        
  944   (b)   4.00 (c)   06/25/69     916,634  
  1,265   (b)   4.489 (c)   12/25/29     1,259,940  
  1,400   (b)   9.798 (c)   04/25/30     1,501,213  
  177   Cendant Mortgage Corp. (b)   6.00 (c)   07/25/43     185,613  
  1,000   CFMT 2020-HB4 LLC (b)   2.72 (c)   12/26/30     1,000,000  
  147  

CIM Small Business Loan Trust,

1 Month USD LIBOR + 1.40% (b)

   1.531 (c)   03/20/43     145,718  
  687   Citicorp Residential Mortgage Trust   5.127     03/25/37     710,824  
  581   Conn's Receivables Funding 2019-A LLC (b)   4.36     10/16/23     583,053  
      Conn's Receivables Funding LLC        
  400   (b)   3.62     06/17/24     401,500  
  500   (b)   4.27     06/16/25     503,229  
  2,000   (b)   4.60     06/17/24     2,009,912  
  310   (b)   5.29     10/16/23     307,277  
  99  

Countrywide Asset-Backed Certificates,

1 Month USD LIBOR + 0.93% (b)

   1.06 (c)   06/25/33     98,746  
      Credit-Based Asset Servicing & Securitization LLC        
  179   1 Month USD LIBOR + 1.60% (b)   1.73 (c)   09/25/35     180,181  
  39   1 Month USD LIBOR + 3.075%   3.205 (c)   08/25/30     39,264  
  240   (b)   7.25     05/25/36     259,165  
  400   DT Auto Owner Trust (b)   4.94     02/17/26     421,900  
  785   ECAF I Ltd. (Cayman Islands) (b)   4.947     06/15/40     765,329  
  141  

EMC Mortgage Loan Trust,

1 Month USD LIBOR + 1.50% (b)

   1.63 (c)   11/25/30     140,630  
  110  

EquiFirst Mortgage Loan Trust,

1 Month USD LIBOR + 3.00%

   3.13 (c)   10/25/34     114,278  
EUR 436  

European Residential Loan Securitisation (Ireland)

2019-NPL1 DAC,

   1.439     07/24/54     523,671  
$ 200   Exeter Automobile Receivables Trust (b)   5.38     07/15/25     213,710  
CAD 650   Fairstone Financial Issuance Trust I (Canada) (b)   3.948     03/21/33     509,209  
$ 92   FCI Funding 2019-1 LLC (b)   3.63     02/18/31     92,912  
      Finance of America HECM Buyout        
  1,000   (b)   3.09 (c)   07/25/30     1,010,000  
  1,260   (b)   4.048 (c)   02/25/30     1,245,510  
  2,000   (b)   6.00 (c)   02/25/30     1,942,000  
  216  

Financial Asset Securities Corp. AAA Trust,

1 Month USD LIBOR + 0.41% (b)

   0.538 (c)   02/27/35     204,848  
  364   FREED ABS Trust (b)   4.61     10/20/25     368,661  
  686  

Fremont Home Loan Trust,

1 Month USD LIBOR + 1.275%

   1.405 (c)   02/25/33     691,178  
  312   GAIA Aviation Ltd. (Cayman Islands) (b)   3.967     12/15/44     306,224  
  450   GLS Auto Receivables Issuer Trust (b)   4.94     12/15/25     472,524  
EUR 409  

Grand Canal Securities GCS 2 A REGS,

1 Month EURIBOR + 1.00% (Ireland)

   0.439 (c)   12/24/58     490,999  

 

 

 

 

Morgan Stanley Mortgage Securities Trust

Portfolio of Investments ▪ January 31, 2021 (unaudited) continued

 

$ 219   JOL Air Ltd. (Cayman Islands) (b)   3.967     04/15/44     219,743  
  420   Kestrel Aircraft Funding Ltd. (b)   4.25     12/15/38     413,304  
      Legacy Mortgage Asset Trust        
  814   (b)   3.75     04/25/59     822,513  
  614   (b)   4.00     06/25/58     619,019  
  351   Lehman ABS Manufactured Housing Contract Trust   6.63 (c)   04/15/40     375,756  
  141  

MASTR Asset Securitization Trust,

1 Month USD LIBOR + 1.50%

   1.63 (c)   05/25/33     139,883  
  250  

MASTR Asset-Backed Securities Trust,

1 Month USD LIBOR + 2.48%

   2.605 (c)   09/25/34     254,570  
  248   MERIT Securities Corp.   7.776     12/28/33     258,602  
  453   METAL LLC (b)   4.581     10/15/42     382,854  
  218   Mid-State Capital Corp. Trust   7.758     01/15/40     249,877  
  329  

Morgan Stanley ABS Capital I, Inc. Trust,

1 Month USD LIBOR + 0.68% (e)

   0.81 (c)   08/25/34     308,114  
  32  

Morgan Stanley Dean Witter Capital I, Inc. Trust,

1 Month USD LIBOR + 1.275% (f)

   1.405 (c)   02/25/32     32,652  
      Nationstar HECM Loan Trust        
  590   (b)   2.82 (c)   09/25/30     595,574  
  1,390   (b)   5.682 (c)   11/25/29     1,391,807  
  2,000   (b)   5.804 (c)   06/25/29     2,004,303  
      New Century Home Equity Loan Trust        
  137   1 Month USD LIBOR + 0.80%   0.93 (c)   11/25/33     126,575  
  145   1 Month USD LIBOR + 1.35%   1.48 (c)   03/25/33     144,735  
  2,145   New Residential Mortgage LLC   5.437     06/25/25- 07/25/25     2,192,526  
  257   (b)   4.89     05/25/23     256,971  
GBP 250  

NewDay Funding PLC,

1 Month GBP LIBOR + 2.10% (United Kingdom) (b)

   2.129 (c)   08/15/26     340,195  
  500  

Newday Partnership Funding 2015-1 PLC,

1 Month GBP LIBOR + 3.40% (United Kingdom)

   3.429 (c)   04/15/25     685,862  
  200  

Newday Partnership Funding PLC,

1 Month GBP LIBOR + 2.10% (United Kingdom)

   2.129 (c)   12/15/27     269,264  
$ 329  

Newtek Small Business Loan Trust,

PRIME - 0.55% (b)

   2.70 (c)   02/25/44     321,751  
  300  

NovaStar Mortgage Funding Trust,

1 Month USD LIBOR + 1.575%

   1.705 (c)   12/25/34     299,453  
  1,000   NRZ Advance Receivables Trust (b)   5.801     10/15/52     1,007,131  
      NRZ Excess Spread-Collateralized Notes        
  143   (b)   3.61     05/25/23     143,410  
  669   (b)   3.844     12/25/25     671,780  
  1,034   NRZ FHT Excess LLC, Class A (b)   4.212     11/25/25     1,040,683  
      Oakwood Mortgage Investors, Inc.        
  849       7.405 (c)   06/15/31     202,259  
  92       7.72     04/15/30     97,365  
  200       7.84 (c)   11/15/29     211,160  
      PNMAC GMSR Issuer Trust        
  1,000   1 Month USD LIBOR + 2.35% (b)   2.498 (c)   04/25/23     977,457  
  700   1 Month USD LIBOR + 2.65% (b)   2.78 (c)   08/25/25     687,499  
  725   1 Month USD LIBOR + 2.85% (b)   2.98 (c)   02/25/23     718,975  
  400   Progress Residential Trust (b)   4.38     03/17/35     400,464  
  422   Prosper Marketplace Issuance Trust (b)   5.50     10/15/24     422,453  
  514   PRPM 2019-3 LLC (b)   3.351     07/25/24     517,197  
  82   PRPM 2020-1 LLC (b)   2.981     02/25/25     82,619  
  828   PRPM LLC (b)   3.351     11/25/24     833,268  
  1,522   Raptor Aircraft Finance I LLC (b)   4.213     08/23/44     1,483,511  
  809   RCO V Mortgage LLC (b)   3.475     11/25/24     812,181  
  463   ReadyCap Lending Small Business Loan Trust, Daily U.S. Prime Rate - 0.50% (b)   2.75 (c)   12/27/44     442,210  
  250   Renaissance Home Equity Loan Trust   5.451     05/25/35     268,698  

 

 

 

 

Morgan Stanley Mortgage Securities Trust

Portfolio of Investments ▪ January 31, 2021 (unaudited) continued

 

  235   S-Jets Ltd. (Bermuda) (b)   3.967     08/15/42     235,962  
  1,119   SFS Asset Securitization LLC (b)   4.238     06/10/25     1,122,684  
      Shenton Aircraft Investment I Ltd.        
  1,005   (b)   4.75     10/15/42     1,006,511  
  307   (b)   5.75     10/15/42     233,605  
  300   Skopos Auto Receivables Trust (b)   3.63     09/16/24     307,864  
  1,000   Small Business Lending Trust 2020-A (b)   3.20     12/15/26     981,725  
      Sprite 2017-1 Ltd.        
  386   (b)   4.25     12/15/37     389,916  
  527   (b)   6.90     12/15/37     276,712  
  975   Stanwich Mortgage Loan Co. 2019-NPL-B-1 LLC (b)   3.375     08/15/24     974,385  
  1,555   Stanwich Mortgage Loan Trust (b)   3.475     11/16/24     1,565,185  
  313   START Ireland (Bermuda) (b)   4.089     03/15/44     316,327  
      Vericrest Opportunity Loan Trust        
  270   (b)   3.179     10/25/49     271,021  
  523   (b)   3.278     11/25/49     524,834  
  548   VOLT LXXX LLC (b)   3.228     10/25/49     550,411  
  1,302   VOLT LXXXVIII LLC (b)   2.981     03/25/50     1,307,772  
  200   VOLT XCI LLC (b)   3.105     11/25/50     200,916  
  304   WAVE Trust (b)   3.844     11/15/42     305,243  
    Total Asset-Backed Securities (Cost $60,926,617)       60,879,430  
           
    Collateralized Mortgage Obligations - Agency Collateral Series (3.6%)      
      Federal Home Loan Mortgage Corporation, IO REMIC        
  21,423       2.00     10/25/50     1,719,972  
  180       2.378 (c)   10/15/41     9,097  
  667       2.407 (c)   10/15/40     38,299  
  708       2.575 (c)   04/15/39–10/15/39     37,154  
  501       2.59 (c)   08/15/42     24,538  
  940       2.753 (c)   09/15/41     56,724  
  47       4.00     04/15/39     403  
  59       5.00     08/15/41     7,478  
  795   6.00% - 1 Month USD LIBOR   5.874 (d)   11/15/43–06/15/44     135,636  
  18   6.05% - 1 Month USD LIBOR   5.924 (d)   04/15/39     147  
    IO STRIPS          
  1,622       1.401 (c)   10/15/37     69,373  
  80       7.00     06/15/30     14,400  
  89       7.50     12/15/29     15,183  
    REMIC          
  151   12.00% - 2.67 x 1 Month USD LIBOR   11.616 (d)   12/15/43     187,319  
      Federal National Mortgage Association,        
    IO REMIC          
  403       1.723 (c)   03/25/44     22,006  
  9,939       2.00     12/25/50     853,575  
  1,721       2.111 (c)   03/25/46     104,366  
  511       2.28 (c)   10/25/39     25,523  
  889       3.50     02/25/39–03/25/43     30,987  
  263   5.65% - 1 Month USD LIBOR   5.52 (d)   11/25/41     21,724  
  774   6.05% - 1 Month USD LIBOR   5.92 (d)   06/25/42     147,626  
  231   6.55% - 1 Month USD LIBOR   6.402 (d)   08/25/41     26,537  
    IO STRIPS          
  23       7.00     11/25/27     3,304  
  66       8.00     05/25/30–06/25/30     9,842  
  28       8.50     10/25/24     3,099  
    REMIC          
  27   1 Month USD LIBOR + 1.20%   1.33 (c)   12/25/23     26,908  
  31       3.909 (c)   04/25/39     31,502  
      Government National Mortgage Association        
  183       4.00     11/20/49     196,717  
    IO          
  1,880       0.775 (c)   08/20/58     41,009  

 

 

 

 

Morgan Stanley Mortgage Securities Trust

Portfolio of Investments ▪ January 31, 2021 (unaudited) continued

 

  1,112       3.50     06/20/41–10/16/42     170,660  
  117       4.50     05/20/40     8,002  
  46       5.00     02/16/41     8,422  
  426   6.00% - 1 Month USD LIBOR   5.869 (d)   08/20/42     83,816  
  521   6.10% - 1 Month USD LIBOR ..   5.969 (d)   04/20/41–08/20/42     102,310  
  481   6.14% - 1 Month USD LIBOR   6.009 (d)   12/20/43     118,937  
  387   6.30% - 1 Month USD LIBOR   6.169 (d)   09/20/43     54,018  
  269   6.55% - 1 Month USD LIBOR   6.421 (d)   08/16/34     35,625  
    IO PAC          
  49       5.00     10/20/40     3,660  
  230   6.15% - 1 Month USD LIBOR   6.019 (d)   10/20/41     8,489  
    IO REMIC          
  4,666       1.471 (c)   08/20/69     328,388  
  5,218       1.67 (c)   07/20/67     279,315  
  9,944       2.00     11/20/50     810,518  
  648       3.50     05/20/43     71,500  
    REMIC          
  80   1 Month USD LIBOR + 0.45%   0.602 (c)   02/20/61     80,435  
  72   1 Month USD LIBOR + 0.70%   0.852 (c)   08/20/63     72,664  
  21   1 Month USD LIBOR + 0.77%   0.922 (c)   02/20/66     21,299  
  710       3.00     03/20/69     751,506  
    Total Collateralized Mortgage Obligations - Agency Collateral Series (Cost $5,354,991)       6,870,012  
           
      Commercial Mortgage-Backed Securities (4.0%)                  
  133   Banc of America Commercial Mortgage Trust   3.167     09/15/48     80,317  
  190  

CG-CCRE Commercial Mortgage Trust,

1 Month USD LIBOR + 1.854% (b)

   1.981 (c)   11/15/31     180,573  
      Citigroup Commercial Mortgage Trust        
  220       4.574 (c)   09/10/58     221,460  
    IO          
  2,118       0.884 (c)   09/10/58     73,304  
      COMM Mortgage Trust        
  400   (b)   3.461 (c)   08/10/29     398,054  
  100   (b)   4.746 (c)   07/15/47     98,351  
    IO          
  1,097       0.723 (c)   10/10/47     23,325  
  200   Commercial Mortgage Lease-Backed Certificates (b)   8.104 (c)   06/20/31     204,199  
  2,296   Commercial Mortgage Pass-Through Certificates, IO   0.579 (c)   02/10/47     34,801  
  1,326   COOF Securitization Trust, IO (b)   2.203 (c)   10/25/40     83,987  
  2,338   COOF Securitization Trust II, IO (b)   2.063 (c)   08/25/41     161,954  
  1,500  

CSMC 2020-TMIC, Class A,

1 Month USD LIBOR + 3.00% (b)

   3.25 (c)   12/15/35     1,518,797  
  6,679   GS Mortgage Securities Corp. II, IO (b)   0.457 (c)   10/10/32     45,939  
      GS Mortgage Securities Trust        
  450       3.345     07/10/48     413,978  
  370   (b)   4.743 (c)   08/10/46     309,674  
    IO          
  1,757       0.732 (c)   09/10/47     38,271  
  1,289       1.014 (c)   04/10/47     32,641  
  1,680   JP Morgan Chase Commercial Mortgage Securities Trust, IO   0.679 (c)   12/15/49     43,465  
      JPMBB Commercial Mortgage Securities Trust        
  267   (b)   4.677 (c)   04/15/47     251,058  
    IO          
  3,048       0.743 (c)   01/15/47     55,938  
      KGS-Alpha SBA COOF Trust,        
    IO          
  911   (b)   2.756 (c)   04/25/40     55,959  
  721   (b)   3.179 (c)   07/25/41     88,607  
      Natixis Commercial Mortgage Securities Trust        

 

 

 

 

Morgan Stanley Mortgage Securities Trust

Portfolio of Investments ▪ January 31, 2021 (unaudited) continued

 

  720   (b)   3.902     10/15/36     708,813  
  600   (b)   4.135 (c)   05/15/39     579,335  
  600   (b)   4.409 (c)   02/15/39     574,897  
CAD 9,820   Real Estate Asset Liquidity Trust, IO (Canada) (b)   1.219 (c)   02/12/55     479,136  
$ 3,941   UBS Commercial Mortgage Trust, IO   0.884 (c)   03/15/51     211,593  
  362   VCC 2020-MC1 Trust (b)   4.50 (c)   06/25/45     363,573  
  306   Wells Fargo Commercial Mortgage Trust (b)   3.153     09/15/57     290,524  
    Total Commercial Mortgage-Backed Securities (Cost $7,371,504)       7,622,523  
               
    Corporate Bond (0.1%)      
    Finance    
  350   DP Facilities Data Center Subordinated Pass-Through Trust (b) (Cost $242,393)   0.00 (c)   11/10/28     176,120  
                         
    Mortgages - Other (32.9%)      
  136   Adjustable Rate Mortgage Trust   2.583 (c)   04/25/35     136,076  
GBP 279  

Alba 2005-1 PLC,

3 Month GBP LIBOR + 0.60%

(United Kingdom)

   0.644 (c)   11/25/42     356,126  
      Alternative Loan Trust        
$ 68       5.50     02/25/25–01/25/36     59,173  
  207       5.75     03/25/34     209,856  
  362       6.25 (c)   08/25/37     279,764  
  89   40.02% - 6 x 1 Month USD LIBOR   39.24 (d)   05/25/37     187,812  
      Banc of America Funding Trust        
  28       5.25     07/25/37     27,786  
  395       5.50     09/25/35     434,134  
  699   Bear Stearns ARM Trust 2004-1   1.952 (c)   04/25/34     716,334  
  630   Bear Stearns Asset-Backed Securities I Trust, 25.636% - 3.29 x 1 Month USD LIBOR   23.493 (d)   03/25/36     441,316  
      Cascade Funding Mortgage Trust        
  2,523   (b)   4.00 (c)   10/25/68     2,592,851  
  450   (b)   4.58     06/25/48     451,881  
  200   (b)   5.804     06/25/48     199,394  
  501   CFMT 2020-ABC1 LLC (b)   2.00 (c)   09/25/50     491,183  
  1,000   CFMT 2020-HB4 LLC (b)   4.948 (c)   12/26/30     1,000,000  
  1,000  

CHL GMSR Issuer Trust,

1 Month USD LIBOR + 2.75% (b)

   2.88 (c)   05/25/23     988,537  
      CHL Mortgage Pass-Through Trust        
  121       2.832 (c)   05/20/34     123,462  
  201       2.835 (c)   10/25/33     205,503  
  298       5.50     10/25/34     308,108  
  78       6.00     12/25/36     64,414  
CAD 113   Classic RMBS Trust (Canada) (b)   3.064     08/16/49     88,317  
GBP 145  

Clavis Securities PLC,

3 Month GBP LIBOR + 0.45%

(United Kingdom)

   0.493 (c)   12/15/40     182,327  
$ 377  

Credit Suisse First Boston Mortgage Securities Corp.,

1 Month USD LIBOR + 3.30%

   3.43 (c)   02/25/32     372,992  
      CSFB Mortgage-Backed Pass-Through Certificates        
  344       3.28 (c)   05/25/34     358,478  
  468       6.50     11/25/35     149,188  
  500   CSMC 2020 UNFI   0.00     12/15/23     501,809  
EUR 662   Dssv Sarl (Spain)   3.00     10/15/24     779,317  
  504  

E-Mac de,

3 Month EURIBOR + 0.21% (Germany)

   3.227 (c)   05/25/57     598,421  
  500  

E-MAC DE 2005-I BV,

3 Month EURIBOR + 0.50% (Germany)

   7.607 (c)   05/25/52     549,319  
  168  

E-MAC NL 2005-I BV,

3 Month EURIBOR + 0.23% (Netherlands)

   3.957 (c)   04/25/38     180,292  
  228  

E-MAC NL BV,

3 Month EURIBOR + 0.18% (Netherlands)

   1.717 (c)   07/25/36     268,500  

 

 

 

 

Morgan Stanley Mortgage Securities Trust

Portfolio of Investments ▪ January 31, 2021 (unaudited) continued

 

  288  

E-MAC Program BV,

3 Month EURIBOR + 2.00% (Netherlands)

   2.757 (c)   01/25/48     309,712  
  166  

E-MAC Program II BV,

3 Month EURIBOR + 2.00% (Netherlands)

   3.707 (c)   04/25/48     185,173  
  328  

EMF-NL Prime,

3 Month EURIBOR + 0.80% (Netherlands)

   0.248 (c)   04/17/41     381,269  
  200  

EMF-NL Prime 2008-ABV,

3 Month EURIBOR + 0.85% (Netherlands)

   0.298 (c)   04/17/41     180,143  
  247  

Eurohome Mortgages PLC,

3 Month EURIBOR + 0.21% (Germany)

   0.00 (c)   08/02/50     269,632  
$ 500  

Eurosail 2006-2bl PLC,

3 Month USD LIBOR + 0.24%

(United Kingdom) (b)

   0.457 (c)   12/15/44     483,273  
      Eurosail BV        
EUR 850   3 Month EURIBOR + 1.80% (Netherlands)   1.248 (c)   10/17/40     1,035,493  
  300   3 Month EURIBOR + 2.20% (Netherlands)   1.648 (c)   10/17/40     352,440  
  500  

Eurosail-NL 2007-1bv,

3 Month EURIBOR + 1.10% (Netherlands)

   0.548 (c)   04/17/40     493,599  
      Federal Home Loan Mortgage Corporation        
$ 2,706       3.00     09/25/45–05/25/47     2,735,818  
  383       3.50     05/25/45–05/25/47     390,515  
      FMC GMSR Issuer Trust        
  750   (b)   4.23 (c)   09/25/24     752,655  
  1,000   (b)   4.45 (c)   01/25/26     1,006,428  
  1,200   (b)   5.07 (c)   05/25/24     1,226,338  
  291   Galton Funding Mortgage Trust (b)    4.00 (c)   11/25/57- 02/25/59     301,376  
EUR 478  

GC Pastor Hipotecario 5 FTA,

3 Month EURIBOR + 0.17% (Spain)

   0.00 (c)   06/21/46     524,335  
      Great Hall Mortgages No 1 PLC        
  500   3 Month EURIBOR + 0.22% (United Kingdom)   0.00 (c)   03/18/39     578,575  
GBP 500  

3 Month GBP LIBOR + 0.30%

(United Kingdom)

   0.337 (c)   06/18/39     642,213  
$ 206   GSAA Trust   6.00     04/01/34     222,485  
      GSR Mortgage Loan Trust        
  42   1 Month USD LIBOR + 0.25%   0.38 (c)   03/25/35     18,301  
  217       2.635 (c)   12/25/34     217,153  
  417       2.866 (c)   12/25/34     435,535  
  63       5.00     02/25/34     65,512  
  5       5.50     11/25/35     5,596  
  139       6.00     09/25/35     145,352  
  122   HarborView Mortgage Loan Trust   2.57 (c)   05/19/33     124,234  
  300   Headlands Residential LLC (b)   3.967     06/25/24     302,188  
  106  

Impac CMB Trust,

1 Month USD LIBOR + 0.795%

   0.925 (c)   10/25/34     105,010  
  153   IndyMac INDX Mortgage Loan Trust   2.495 (c)   11/25/34     155,523  
  134   JP Morgan Mortgage Trust (b)   3.118 (c)   07/27/37     137,988  
EUR 256  

Landmark Mortgage Securities No. 1 PLC,

3 Month EURIBOR + 0.60% (United Kingdom)

   0.056 (c)   06/17/38     293,676  
  289  

Lansdowne Mortgage Securities No. 1 PLC,

3 Month EURIBOR + 0.30% (Ireland)

   0.00 (c)   06/15/45     326,180  
  488  

Lansdowne Mortgage Securities No. 2 PLC,

3 Month EURIBOR + 0.34% (Ireland)

   0.00 (c)   09/16/48     516,598  
      LHOME Mortgage Trust        
$ 400   (b)   3.228     10/25/24     403,706  
  500   (b)   3.868     07/25/24     506,585  
EUR 310  

Ludgate Funding PLC,

3 Month EURIBOR + 0.42% (United Kingdom)

   0.00 (c)   12/01/60     335,861  
GBP 157  

Mansard Mortgages PLC,

3 Month GBP LIBOR + 0.60%

(United Kingdom)

   0.628 (c)   10/15/48     204,121  
$ 532   MASTR Adjustable Rate Mortgages Trust   3.314 (c)   06/25/34     535,198  
      MASTR Alternative Loan Trust        
  151       5.00     05/25/18     149,777  

 

 

 

 

Morgan Stanley Mortgage Securities Trust

Portfolio of Investments ▪ January 31, 2021 (unaudited) continued

 

  147       6.00     05/25/33     154,578  
  173   MASTR Asset Securitization Trust   5.50     10/25/25     174,035  
  138   MASTR Reperforming Loan Trust (b)   7.50     05/25/35     132,167  
  431  

MERIT Securities Corp.,

1 Month USD LIBOR + 2.25% (b)

   2.373 (c)   09/28/32     346,183  
  21   Merrill Lynch Mortgage Investors Trust
6 Month USD LIBOR + 0.50% 		  0.772 (c)   04/25/29     20,951  
  81       2.361 (c)   08/25/33     81,042  
  181       2.532 (c)   02/25/34     185,012  
  58       3.245 (c)   01/25/37     61,648  
  111   Morgan Stanley Dean Witter Capital I, Inc. Trust (f)   1.695 (c)   03/25/33     112,764  
  48   Morgan Stanley Mortgage Loan Trust (g)   2.445 (c)   02/25/34     48,364  
  250  

Mortgage Equity Conversion Asset Trust,

1 Year CMT + 0.47% (b)

   0.57 (c)   02/25/42     247,652  
  164   National City Mortgage Capital Trust   6.00     03/25/38     167,744  
  564   New Residential Mortgage Loan Trust (b)   4.335     07/25/60     574,389  
GBP 324  

Newgate Funding PLC,

3 Month GBP LIBOR + 3.00%

(United Kingdom)

   3.043 (c)   12/15/50     426,863  
$ 300   NRPL Trust (b)   4.25     07/25/67     303,493  
  774   NYMT Loan Trust (b)   2.944 (c)   10/25/60     780,212  
  765   PMC PLS ESR Issuer LLC (b)   5.069     11/25/24     768,442  
  963   Preston Ridge Partners LLC (b)   3.104     11/25/25     974,919  
  357   RALI Trust   6.00     05/25/36- 06/25/36     343,665  
  119   RBSSP Resecuritization Trust (b)   29.406 (c)   09/26/37     231,428  
  250   Reperforming Loan REMIC Trust (b)   8.50     06/25/35     271,489  
  13,147   Residential Asset Securitization Trust, IO   0.50     04/25/37     324,156  
EUR 486  

ResLoC UK PLC,

3 Month EURIBOR + 0.45% (United Kingdom)

   0.00 (c)   12/15/43     543,046  
      RMF Buyout Issuance Trust        
$ 478   (b)    2.158 (c)   02/25/30     479,208  
  1,000   (b)   3.63 (c)   10/25/50     996,563  
  1,600   (b)   4.191 (c)   02/25/30     1,567,040  
  800   (b)   4.571 (c)   06/25/30     805,087  
      Rochester Financing No. 2 PLC        
GBP 500  

3 Month GBP LIBOR + 2.25%

(United Kingdom)

   2.287 (c)   06/18/45     685,902  
  300  

3 Month GBP LIBOR + 2.75%

(United Kingdom)

   2.787 (c)   06/18/45     411,168  
      Seasoned Credit Risk Transfer Trust        
$ 8,366       3.00     09/25/55–05/25/60     8,908,352  
  1,057       3.25     07/25/56–06/25/57     1,150,107  
  600   (b)   3.75 (c)   09/25/55     607,525  
  2,427   (b)   4.00 (c)   08/25/56–02/25/59     2,621,256  
  700   (b)   4.25 (c)   05/25/60     702,130  
  494       4.50     06/25/57     543,284  
  600   (b)   4.75 (c)   07/25/58     624,018  
  419   Seasoned Loans Structured Transaction   3.00 (c)   04/25/58     420,807  
      Sequoia Mortgage Trust        
  562   1 Month USD LIBOR + 0.64%   0.77 (c)   04/19/27     554,917  
  112   1 Month USD LIBOR + 0.78%   0.911 (c)   01/20/36     109,626  
  337   Structured Adjustable Rate Mortgage Loan Trust   2.673 (c)   02/25/35     333,958  
      Structured Asset Mortgage Investments II Trust        
  133   1 Month USD LIBOR + 0.46%   0.59 (c)   05/25/45     132,296  
  75       1.023 (c)   04/19/35     73,553  
      Structured Asset Securities Corp. Mortgage Pass-Through Certificates        
  335       2.953 (c)   11/25/30     333,443  
  188       4.75     10/25/34     198,750  
  738  

Structured Asset Securities Corp. Reverse Mortgage Loan Trust,

1 Month USD LIBOR + 1.85% (b)

   1.98 (c)   05/25/47     652,972  

 

 

 

 

Morgan Stanley Mortgage Securities Trust

Portfolio of Investments ▪ January 31, 2021 (unaudited) continued

 

EUR 700  

TDA 27 FTA,

3 Month EURIBOR + 0.19% (Spain)

   0.00 (c)   12/28/50     696,101  
GBP 250  

Trinity Square PLC,

3 Month GBP LIBOR + 3.40%

(United Kingdom)

   3.428 (c)   07/15/51     342,341  
$ 250   TVC Mortgage Trust (b)   3.474     09/25/24     252,920  
AUD 1,000   Vermilion Trust No.1 Bond Series 2019-1, BBSW1M + 2.40% (Australia)   2.41 (c)   07/10/50     767,624  
$ 113   Washington Mutual Mortgage Pass-Through Certificates Trust   2.785 (c)   09/25/33     113,896  
    Total Mortgages - Other (Cost $60,213,919)       62,717,322  
   
    Short-Term Investments (12.3%)      
    U.S. Treasury Security (0.4%)      
  733   U.S. Treasury Bill (h)(i) (Cost $732,785)   0.088     06/03/21     732,845  

 

 

 

 

Morgan Stanley Mortgage Securities Trust 

Portfolio of Investments ▪ January 31, 2021 (unaudited) continued

 

NUMBER OF
SHARES
(000)		              
    Investment Company (11.9%)          
22,609   Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (j) (Cost $22,609,210)       22,609,210  
    Total Short-Term Investments (Cost $23,341,995)       23,342,055  
               
    Total Investments (Cost $210,176,688) (k)(l)(m)   113.0%  215,106,494  
    Liabilities in Excess of Other Assets   (13.0)  (24,675,948 )
    Net Assets   100.0%  $ 190,430,546  

 

 

 

CMT   Constant Maturity Treasury Note Rate.
EURIBOR   Euro Interbank Offered Rate.
IO   Interest Only.
LIBOR   London Interbank Offered Rate.
PAC   Planned Amortization Class.
REMIC   Real Estate Mortgage Investment Conduit.
STRIPS   Separate Trading of Registered Interest and Principal of Securities.
TBA   To Be Announced.
(a)   Security is subject to delayed delivery.
(b)   144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(c)   Floating or variable rate securities: The rates disclosed are as of January 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description in the Portfolio of Investments.
(d)   Inverse Floating Rate Security - Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at January 31, 2021.
(e)   For the three months ended January 31, 2021, there were no purchases or sales of Morgan Stanley ABS Capital I, Inc. Trust, Asset-Backed Security, and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor under the Investment Company Act of 1940.
(f)   For the three months ended January 31, 2021, the proceeds from paydowns of Morgan Stanley Dean Witter Capital I, Inc. Trust, Asset-Backed Security and Mortgage - Other, and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor under the Investment Company Act of 1940, was $17,298, including net realized gains of $376.
(g)   For the three months ended January 31, 2021, the proceeds from paydowns of Morgan Stanley Mortgage Loan Trust, Mortgage - Other, and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor under the Investment Company Act of 1940, was $1,140, including net realized losses of $24.
(h)   Rate shown is the yield to maturity at January 31, 2021.
(i)   All or a portion of the security was pledged to cover margin requirements for futures contracts.

 

 

 

 

Morgan Stanley Mortgage Securities Trust 

Portfolio of Investments ▪ January 31, 2021 (unaudited) continued

 

(j)   The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Government Portfolio - (the "Liquidity Funds"), an open-end management investment company managed by the Adviser. Advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Funds. For the three months ended January 31, 2021, advisory fees paid were reduced by $6,032 relating to the Fund's investment in the Liquidity Funds.
(k)   Securities are available for collateral in connection with securities purchased on a forward commitment basis, open foreign currency forward exchange contracts and futures contracts.
(l)   The Fund is permitted to purchase and sell securities ("cross-trade") from and to other Morgan Stanley Funds as well as other funds and client accounts for which the Adviser or an affiliate of the Adviser serves as investment adviser, pursuant to procedures approved by the Trustees in compliance with Rule 17a-7 under the Act (the "Rule"). Each cross-trade is executed at the current market price in compliance with provisions of the Rule. For the three months ended January 31, 2021, the Fund did not engage in any cross-trade transactions.
(m)   At January 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $6,377,193 and the aggregate gross unrealized depreciation is $2,407,193, resulting in net unrealized appreciation of $3,970,000.

 

Foreign Currency Forward Exchange Contracts:
The Fund had the following foreign currency forward exchange contracts open at January 31, 2021:

 

COUNTERPARTY  CONTRACTS
TO DELIVER		  IN EXCHANGE
FOR		  DELIVERY
DATE		  UNREALIZED
APPRECIATION
(DEPRECIATION)		 
Australia and New Zealand Banking Group  EUR 96,804   $ 115,571   02/26/21  $(1,967)
Bank of America NA  EUR 9,000,529   $ 10,689,541   02/26/21   (238,746)
Barclays Bank PLC  $ 12,152   GBP 8,854   02/26/21   (19)
BNP Paribas SA  $ 17,427   CAD 22,220   02/26/21   (49)
BNP Paribas SA  $ 51,316   EUR 41,794   02/26/21   (570)
Citibank NA  EUR 9,078   $ 11,062   02/26/21   40 
JPMorgan Chase Bank NA  EUR 145,515   $ 176,076   02/26/21   (606)
JPMorgan Chase Bank NA  GBP 3,956,098   $ 5,277,205   02/26/21   (143,882)
JPMorgan Chase Bank NA  $ 858,052   EUR 706,405   02/26/21   (347)
JPMorgan Chase Bank NA  $ 34,381   GBP 25,455   02/26/21   500 
Royal Bank of Canada  EUR 100,702   $ 123,689   02/26/21   1,418 
UBS AG  CAD 2,138   $ 1,671   02/03/21   (1)
UBS AG  CAD 1,354,759   $ 1,034,274   02/26/21   (25,248)
UBS AG  $ 18,411   CAD 23,254   02/26/21   (225)
UBS AG  $ 1,671   CAD 2,138   02/26/21   1 
UBS AG  $ 950,681   GBP 709,738   02/26/21   21,882 
Westpac Banking Corp.  AUD 1,010,689   $ 785,720   02/26/21   13,196 
                  $(374,623)

 

Futures Contracts:
The Fund had the following futures contracts open at January 31, 2021:

 

   NUMBER
OF
CONTRACTS		   EXPIRATION
DATE		  NOTIONAL
AMOUNT
(000)		   VALUE   UNREALIZED
APPRECIATION
(DEPRECIATION)		 
Long:    
U.S. Treasury 10 yr. Note   44   Mar-21   $4,400   $6,029,375   $(44,000)
U.S. Treasury 30 yr. Bond   55   Mar-21   5,500    9,279,531    (316,660)
U.S. Treasury Ultra Long Bond   40   Mar-21   4,000    6,153,125    (120,368)
U.S. Treasury Ultra Long Bond   8   Mar-21   800    1,637,750    (95,895)
                        
Short:                       
U.S. Treasury 2 yr. Note   54   Mar-21   (10,800)   (11,932,734)   (11,247)
U.S. Treasury 5 yr. Note   209   Mar-21   (20,900)   (26,307,875)   2,987 
                     $(585,183)

 

Currency Abbreviations:
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro
GBP — British Pound
USD — United States Dollar

 

 

 

 

PORTFOLIO COMPOSITION as of 01/31/21   

Percentage of
Total
Investments

 
Mortgages - Other   29.2%
Asset-Backed Securities   28.3 
Agency Fixed Rate Mortgages   24.9 
Short-Term Investments   10.8 
Commercial Mortgage-Backed Securities   3.5 
Collateralized Mortgage Obligations - Agency Collateral Series   3.2 
Corporate Bonds   0.1 
    100.0%*

 

* Does not include open long/short futures contracts with a value of $61,340,390 and net unrealized depreciation of $585,183. Does not include open foreign currency forward exchange contracts with net unrealized depreciation of $374,623.

 

 

 

 

Morgan Stanley Mortgage Securities Trust 

Notes to Portfolio of Investments ▪ January 31, 2021 (unaudited)

 

In March 2020, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standard Update, ASU 2020-04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”), which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other IBOR-based reference rates at the end of 2021. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period from March 12, 2020 through December 31, 2022. Management is evaluating the impact of ASU 2020-04 on the Fund’s investments, derivatives, debt and other contracts that will undergo reference rate-related modifications as a result of the reference rate reform.

 

Valuation of Investments - (1) Certain portfolio securities may be valued by an outside pricing service/vendor approved by the Fund's Board of Trustees (the "Trustees"). The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads and/or other market data and specific security characteristics. Alternatively, if a valuation is not available from an outside pricing service/vendor, and the security trades on an exchange, the security may be valued at its latest reported sale price (or at the exchange official closing price if such exchange reports an official closing price), prior to the time when assets are valued. If there are no sales on a given day and if there is no official exchange closing price for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available in the relevant exchanges. If only bid prices are available then the latest bid price may be used. If Morgan Stanley Investment Management Inc. (the “Adviser”), a wholly-owned subsidiary of Morgan Stanley, determines that the price provided by the outside pricing service/vendor or exchange does not reflect the security’s fair value or is unable to provide a price, prices from brokers or dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from brokers or dealers; (2) when market quotations are not readily available, including circumstances under which the Adviser determines that the closing price, last sale price or the mean between the last reported bid and asked prices are not reflective of a security’s market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Trustees. Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business on the New York Stock Exchange ("NYSE"). If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Trustees or by the Adviser using a pricing service and/or procedures approved by the Trustees; (3) futures are valued at the settlement price on the exchange on which they trade or, if a settlement price is unavailable, at the last sale price on the exchange; (4) quotations of foreign portfolio securities, other assets and liabilities and forward contracts stated in foreign currency are translated into U.S. dollar equivalents at the prevailing market rates prior to the close of the NYSE; and (5) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day.

 

The Trustees have responsibility for determining in good faith the fair value of the investments, and the Trustees may appoint others, such as the Fund’s Adviser or a valuation committee, to assist the Trustees in determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Trustees. Under procedures approved by the Trustees, the Fund's Adviser has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of the Fund’s valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

 

 

 

 

Fair Valuation Measurements

 

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

 

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

 

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

 

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

 

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

 

The following is a summary of the inputs used to value the Fund's investments as of January 31, 2021:

 

INVESTMENT TYPE  LEVEL 1
UNADJUSTED
QUOTED
PRICES		   LEVEL 2
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS		   LEVEL 3
SIGNIFICANT
UNOBSERVABLE
INPUTS		   TOTAL 
Assets:        
Fixed Income Securities                    
Agency Fixed Rate Mortgages  $—   $53,499,032   $               —   $53,499,032 
Asset-Backed Securities   —    60,879,430    —    60,879,430 
Collateralized Mortgage Obligations - Agency Collateral Series   —    6,870,012    —    6,870,012 
Commercial Mortgage-Backed Securities   —    7,622,523    —    7,622,523 
Corporate Bond   —    176,120    —    176,120 
Mortgages - Other   —    62,717,322    —    62,717,322 
Total Fixed Income Securities   —    191,764,439    —    191,764,439 
Short-Term Investments                    
U.S. Treasury Security   —    732,845    —    732,845 
Investment Company   22,609,210    —    —    22,609,210 
Total Short-Term Investments   22,609,210    732,845    —    23,342,055 
Foreign Currency Forward Exchange Contracts   —    37,037    —    37,037 
Futures Contract   2,987    —    —    2,987 
Total Assets   22,612,197    192,534,321    —    215,146,518 
Liabilities:                    
Foreign Currency Forward Exchange Contracts   —    (411,660)   —    (411,660)
Futures Contracts   (588,170)   —    —    (588,170)
Total Liabilities   (588,170)   (411,660)   —    (999,830)
Total  $22,024,027   $192,122,661   $—   $214,146,688 

 

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