Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)
Face Amount (000) | Value (000) | |||||||
Fixed Income Securities (99.0%) | ||||||||
Agency Adjustable Rate Mortgage (0.0%) (a) | ||||||||
Federal Home Loan Mortgage Corporation, | ||||||||
Conventional Pool: | ||||||||
12 Month USD LIBOR + 1.63%, 1.94%, 7/1/45 | $ | 11 | $ | 12 | ||||
Agency Fixed Rate Mortgages (15.5%) | ||||||||
Federal Home Loan Mortgage Corporation, | ||||||||
Conventional Pools: | ||||||||
2.50%, 11/1/49 | 899 | 919 | ||||||
3.00%, 11/1/49 – 12/1/49 | 523 | 531 | ||||||
3.50%, 8/1/49 | 249 | 258 | ||||||
4.00%, 4/1/49 – 11/1/49 | 1,087 | 1,140 | ||||||
4.50%, 2/1/49 | 489 | 524 | ||||||
Gold Pools: | ||||||||
3.00%, 3/1/47 – 6/1/49 | 1,409 | 1,476 | ||||||
3.50%, 1/1/44 – 4/1/49 | 927 | 999 | ||||||
4.00%, 6/1/44 – 1/1/48 | 437 | 471 | ||||||
5.41%, 7/1/37 – 8/1/37 | 11 | 12 | ||||||
5.44%, 1/1/37 – 2/1/38 | 46 | 51 | ||||||
5.46%, 5/1/37 – 1/1/38 | 41 | 44 | ||||||
5.48%, 8/1/37 | 11 | 12 | ||||||
5.50%, 8/1/37 – 11/1/37 | 48 | 53 | ||||||
5.52%, 10/1/37 | 5 | 5 | ||||||
5.62%, 12/1/36 – 8/1/37 | 47 | 52 | ||||||
6.00%, 10/1/36 – 8/1/38 | 78 | 88 | ||||||
6.50%, 12/1/25 – 8/1/33 | 55 | 62 | ||||||
7.00%, 6/1/28 – 11/1/31 | 25 | 26 | ||||||
Federal National Mortgage Association, | ||||||||
Conventional Pools: | ||||||||
2.50%, 10/1/49 – 2/1/50 | 1,314 | 1,338 | ||||||
3.00%, 6/1/40 – 1/1/50 | 3,814 | 3,936 | ||||||
3.50%, 8/1/45 – 1/1/51 | 22,189 | 23,337 | ||||||
4.00%, 11/1/41 – 9/1/49 | 3,289 | 3,542 | ||||||
4.50%, 3/1/41 – 8/1/49 | 1,449 | 1,556 | ||||||
5.00%, 3/1/41 | 101 | 112 | ||||||
5.50%, 6/1/35 – 1/1/37 | 36 | 42 | ||||||
5.62%, 12/1/36 | 18 | 19 | ||||||
6.50%, 4/1/24 – 1/1/34 | 511 | 568 | ||||||
7.00%, 5/1/28 – 12/1/33 | 84 | 92 | ||||||
9.50%, 4/1/30 | 29 | 31 | ||||||
February TBA: | ||||||||
2.50%, 2/1/52 (b) | 57,950 | 58,980 | ||||||
January TBA: | ||||||||
2.00%, 1/1/52 (b) | 7,225 | 7,203 | ||||||
3.00%, 1/1/52 (b) | 23,150 | 23,984 | ||||||
Government National Mortgage Association, | ||||||||
January TBA: | ||||||||
3.00%, 1/20/52 (b) | 9,475 | 9,804 | ||||||
Various Pools: | ||||||||
3.50%, 11/20/40 – 7/20/49 | 991 | 1,044 | ||||||
4.00%, 8/20/41 – 11/20/49 | 3,055 | 3,227 | ||||||
4.50%, 4/20/49 – 7/20/49 | 380 | 396 | ||||||
5.00%, 12/20/48 – 2/20/49 | 60 | 63 | ||||||
6.50%, 5/15/40 | 298 | 344 | ||||||
146,341 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Asset-Backed Securities (12.6%) | ||||||||
AASET 2018-2 US Ltd., | ||||||||
4.45%, 11/18/38 (c) | 3,009 | 2,878 | ||||||
AIMCO CLO, | ||||||||
Series 2018-B | ||||||||
3 Month USD LIBOR + 1.10%, 1.22%, 1/15/32 (c)(d) | 3,600 | 3,602 | ||||||
Ajax Mortgage Loan Trust, | ||||||||
1.70%, 5/25/59 (c) | 1,855 | 1,846 | ||||||
2.24%, 6/25/66 (c) | 2,078 | 2,065 | ||||||
American Homes 4 Rent Trust, | ||||||||
6.07%, 10/17/52 (c) | 601 | 659 | ||||||
AMSR Trust, | ||||||||
2.77%, 1/19/39 (c) | 3,100 | 3,197 | ||||||
Aqua Finance Trust, | ||||||||
1.54%, 7/17/46 (c) | 1,437 | 1,425 | ||||||
3.47%, 7/16/40 (c) | 900 | 917 | ||||||
BCMSC Trust, | ||||||||
7.51%, 1/15/29 (d) | 1,336 | 1,302 | ||||||
Benefit Street Partners CLO XX Ltd., | ||||||||
3 Month USD LIBOR + 1.17%, 1.31%, 7/15/34 (c)(d) | 3,685 | 3,688 | ||||||
Blackbird Capital Aircraft, | ||||||||
2.44%, 7/15/46 (c) | 1,529 | 1,513 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd., | ||||||||
5.68%, 12/16/41 (c) | 714 | 678 | ||||||
Cascade MH Asset Trust, | ||||||||
4.00%, 11/25/44 (c)(d) | 1,309 | 1,364 | ||||||
CFMT 2020-HB4 LLC, | ||||||||
2.72%, 12/26/30 (c)(d) | 3,850 | 3,845 | ||||||
Cologix Data Centers US Issuer LLC, | ||||||||
3.30%, 12/26/51 (c) | 2,125 | 2,125 | ||||||
Conn's Receivables Funding 2021-A LLC, | ||||||||
2.87%, 5/15/26 (c) | 1,300 | 1,297 | ||||||
Consumer Loan Underlying Bond Credit Trust, | ||||||||
4.41%, 10/15/26 (c) | 2,000 | 2,027 | ||||||
4.66%, 7/15/26 (c) | 1,000 | 1,013 | ||||||
5.21%, 7/15/25 (c) | 388 | 392 | ||||||
ContiMortgage Home Equity Loan Trust, | ||||||||
8.10%, 8/15/25 | 19 | 15 | ||||||
CWABS Asset-Backed Certificates Trust, | ||||||||
1 Month USD LIBOR + 1.58%, 1.67%, 12/25/34 (d) | 3,680 | 3,678 | ||||||
Diamond Resorts Owner Trust, | ||||||||
4.02%, 2/20/32 (c) | 661 | 671 | ||||||
Fair Square Issuance Trust, | ||||||||
2.90%, 9/20/24 (c) | 900 | 901 | ||||||
Falcon Aerospace Ltd., | ||||||||
3.60%, 9/15/39 (c) | 803 | 784 | ||||||
FCI Funding LLC, | ||||||||
3.63%, 2/18/31 (c) | 97 | 97 | ||||||
Foundation Finance Trust, | ||||||||
3.86%, 11/15/34 (c) | 334 | 342 | ||||||
Freed ABS Trust, | ||||||||
3.19%, 11/18/26 (c) | 678 | 679 | ||||||
GAIA Aviation Ltd., | ||||||||
7.00%, 12/15/44 (c) | 1,387 | 1,118 | ||||||
GCI Funding I LLC, | ||||||||
2.82%, 10/18/45 (c) | 877 | 881 | ||||||
Golub Capital Partners ABS Funding Ltd., | ||||||||
2.77%, 4/20/29 (c) | 875 | 867 | ||||||
Class A2 | ||||||||
3.21%, 1/22/29 (c) | 3,290 | 3,290 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Goodgreen Trust, | ||||||||
5.53%, 4/15/55 (c) | 2,307 | 2,393 | ||||||
5.74%, 10/15/56 (c) | 3,318 | 3,334 | ||||||
JOL Air Ltd., | ||||||||
4.95%, 4/15/44 (c) | 241 | 227 | ||||||
Lunar Aircraft Ltd., | ||||||||
3.38%, 2/15/45 (c) | 422 | 409 | ||||||
MACH 1 Cayman Ltd., | ||||||||
3.47%, 10/15/39 (c) | 934 | 915 | ||||||
MAPS Ltd., | ||||||||
4.21%, 5/15/43 (c) | 467 | 458 | ||||||
METAL LLC, | ||||||||
4.58%, 10/15/42 (c) | 620 | 561 | ||||||
Mosaic Solar Loan Trust, | ||||||||
2.10%, 4/20/46 (c) | 701 | 704 | ||||||
Navistar Financial Dealer Note Master Trust, | ||||||||
1 Month USD LIBOR + 2.90%, 3.00%, 7/25/25 (c)(d) | 1,300 | 1,305 | ||||||
New Residential Mortgage LLC, | ||||||||
5.44%, 6/25/25 – 7/25/25 (c) | 5,170 | 5,238 | ||||||
Newday Funding Master Issuer PLC, | ||||||||
SOFR + 1.10%, 1.15%, 3/15/29 (c)(d) | 4,150 | 4,181 | ||||||
Newtek Small Business Loan Trust, | ||||||||
Daily U.S. Prime Rate - 0.55%, 2.70%, 2/25/44 (c)(d) | 410 | 412 | ||||||
NRZ Excess Spread-Collateralized Notes, | ||||||||
Class A | ||||||||
3.47%, 11/25/26 (c) | 2,589 | 2,589 | ||||||
NYCTL Trust, | ||||||||
2.19%, 11/10/32 (c) | 466 | 467 | ||||||
Octagon Investment Partners 51 Ltd., | ||||||||
3 Month USD LIBOR + 1.15%, 1.28%, 7/20/34 (c)(d) | 5,225 | 5,228 | ||||||
Oxford Finance Funding LLC, | ||||||||
3.10%, 2/15/28 (c) | 1,000 | 1,011 | ||||||
5.44%, 2/15/27 (c) | 425 | 434 | ||||||
PMT FMSR Issuer Trust, | ||||||||
1 Month USD LIBOR + 3.00%, 3.09%, 3/25/26 (c)(d) | 3,900 | 3,915 | ||||||
PNMAC FMSR Issuer Trust, | ||||||||
1 Month USD LIBOR + 2.35%, 2.44%, 4/25/23 (c)(d) | 2,000 | 1,998 | ||||||
PNMAC GMSR Issuer Trust, | ||||||||
1 Month USD LIBOR + 2.65%, 2.75%, 8/25/25 (c)(d) | 1,400 | 1,403 | ||||||
1 Month USD LIBOR + 2.85%, 2.95%, 2/25/23 (c)(d) | 1,000 | 1,003 | ||||||
PRET 2021-NPL6 LLC, | ||||||||
2.49%, 7/25/51 (c) | 2,150 | 2,172 | ||||||
Progress Residential Trust, | ||||||||
2.31%, 5/17/38 (c) | 650 | 640 | ||||||
Prosper Marketplace Issuance Trust, | ||||||||
3.20%, 2/17/26 (c) | 311 | 311 | ||||||
Raptor Aircraft Finance I LLC, | ||||||||
4.21%, 8/23/44 (c) | 2,238 | 2,013 | ||||||
ReadyCap Lending Small Business Loan Trust, | ||||||||
Daily U.S. Prime Rate - 0.50%, 2.75%, 12/27/44 (c)(d) | 605 | 594 | ||||||
Republic Finance Issuance Trust, | ||||||||
3.54%, 11/20/30 (c) | 1,385 | 1,414 | ||||||
S-Jets Ltd., | ||||||||
3.97%, 8/15/42 (c) | 3,188 | 3,109 | ||||||
Sculptor CLO XXVI Ltd., | ||||||||
3 Month USD LIBOR + 1.27%, 1.42%, 7/20/34 (c)(d) | 4,900 | 4,925 | ||||||
SFS Asset Securitization LLC, | ||||||||
4.24%, 6/10/25 (c) | 2,137 | 2,138 | ||||||
SLM Student Loan Trust, | ||||||||
3 Month EURIBOR + 0.55%, 0.01%, 7/25/39 – 1/25/40 (d) | EUR | 3,719 | 4,113 | |||||
Small Business Origination Loan Trust, | ||||||||
3.89%, 12/15/27 | GBP | 751 | 1,017 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Sofi Consumer Loan Program Trust, | ||||||||
3.79%, 4/26/27 (c) | $ | 26 | 26 | |||||
4.02%, 8/25/27 (c) | 39 | 39 | ||||||
Sprite Ltd., | ||||||||
4.25%, 12/15/37 (c) | 468 | 463 | ||||||
START Ireland, | ||||||||
4.09%, 3/15/44 (c) | 324 | 323 | ||||||
Start Ltd., | ||||||||
4.09%, 5/15/43 (c) | 3,237 | 3,185 | ||||||
Sunbird Engine Finance LLC, | ||||||||
3.67%, 2/15/45 (c) | 963 | 929 | ||||||
Tricon American Homes Trust, | ||||||||
5.10%, 1/17/36 (c) | 3,500 | 3,564 | ||||||
Upstart Securitization Trust, | ||||||||
3.73%, 9/20/29 (c) | 732 | 736 | ||||||
119,052 | ||||||||
Collateralized Mortgage Obligations - Agency Collateral Series (1.6%) | ||||||||
Federal Home Loan Mortgage Corporation, | ||||||||
1 Month USD LIBOR + 4.35%, 4.44%, 12/25/26 (c)(d) | 90 | 91 | ||||||
1 Month USD LIBOR + 5.25%, 5.34%, 7/25/26 (c)(d) | 46 | 46 | ||||||
IO | ||||||||
0.33%, 11/25/27 (d) | 23,577 | 429 | ||||||
2.63%, 1/25/49 (d) | 4,091 | 797 | ||||||
2.65%, 2/25/49 (d) | 9,522 | 1,920 | ||||||
2.66%, 1/25/49 (d) | 17,200 | 3,451 | ||||||
2.73%, 9/25/48 (d) | 16,800 | 3,413 | ||||||
2.74%, 8/25/48 (d) | 5,484 | 1,070 | ||||||
3.07%, 11/25/36 (d) | 4,400 | 1,448 | ||||||
3.09%, 4/25/39 (d) | 3,200 | 1,051 | ||||||
3.46%, 10/25/38 (d) | 3,500 | 1,246 | ||||||
IO REMIC | ||||||||
6.00% - 1 Month USD LIBOR, 5.89%, 11/15/43 (e) | 527 | 86 | ||||||
IO STRIPS | ||||||||
7.50%, 12/15/29 | 15 | 2 | ||||||
Federal National Mortgage Association, | ||||||||
IO PAC REMIC | ||||||||
8.00%, 9/18/27 | 42 | 6 | ||||||
IO REMIC | ||||||||
6.00%, 7/25/33 | 32 | 4 | ||||||
IO STRIPS | ||||||||
6.50%, 9/25/29 – 12/25/29 | 187 | 22 | ||||||
8.00%, 4/25/24 | 8 | — | @ | |||||
8.50%, 10/25/25 | 12 | 1 | ||||||
9.00%, 11/25/26 | 13 | 1 | ||||||
REMIC | ||||||||
7.00%, 9/25/32 | 117 | 138 | ||||||
Government National Mortgage Association, | ||||||||
IO | ||||||||
5.00%, 2/16/41 | 102 | 18 | ||||||
15,240 | ||||||||
Commercial Mortgage-Backed Securities (6.7%) | ||||||||
Bancorp Commercial Mortgage Trust, | ||||||||
SOFR + 2.41%, 2.46%, 9/15/36 (c)(d) | 1,400 | 1,396 | ||||||
BANK 2019-BNK21, | ||||||||
IO | ||||||||
0.87%, 10/17/52 (d) | 14,874 | 843 | ||||||
BANK 2020-BNK30, | ||||||||
2.92%, 12/15/53 (d) | 4,200 | 3,865 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Benchmark Mortgage Trust, | ||||||||
3.76%, 7/15/53 (c) | 2,000 | 2,006 | ||||||
IO | ||||||||
0.88%, 9/15/48 (c)(d) | 31,000 | 1,238 | ||||||
BF Mortgage Trust, | ||||||||
1 Month USD LIBOR + 1.70%, 1.81%, 12/15/35 (c)(d) | 2,500 | 2,495 | ||||||
BXP Trust, | ||||||||
1 Month USD LIBOR + 3.00%, 3.11%, 11/15/34 (c)(d) | 1,150 | 1,071 | ||||||
CG-CCRE Commercial Mortgage Trust, | ||||||||
1 Month USD LIBOR + 1.85%, 1.96%, 11/15/31 (c)(d) | 557 | 547 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
3.50%, 12/10/41 (c)(d) | 1,100 | 869 | ||||||
IO | ||||||||
0.72%, 11/10/48 (d) | 2,376 | 58 | ||||||
0.88%, 9/10/58 (d) | 4,412 | 125 | ||||||
Commercial Mortgage Trust, | ||||||||
3.40%, 8/15/57 (c)(d) | 1,400 | 1,343 | ||||||
IO | ||||||||
0.06%, 7/10/45 (d) | 9,820 | 5 | ||||||
0.70%, 10/10/47 (d) | 2,750 | 45 | ||||||
1.00%, 7/15/47 (d) | 2,748 | 56 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
Class A | ||||||||
1 Month USD LIBOR + 3.00%, 3.25%, 12/15/35 (c)(d) | 5,275 | 5,306 | ||||||
CSWF Commercial Mortgage Trust, | ||||||||
1 Month USD LIBOR + 1.57%, 1.68%, 6/15/34 (c)(d) | 3,350 | 3,335 | ||||||
DROP Mortgage Trust, | ||||||||
1 Month USD LIBOR + 1.15%, 1.26%, 4/15/26 (c)(d) | 3,525 | 3,532 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.74%, 8/10/46 (c)(d) | 500 | 490 | ||||||
IO | ||||||||
0.71%, 9/10/47 (d) | 4,758 | 78 | ||||||
1.22%, 10/10/48 (d) | 4,819 | 185 | ||||||
Highways 2021 PLC, | ||||||||
3 Month GBP SONIA + 1.35%, 1.49%, 11/18/26 (c)(d) | GBP | 2,775 | 3,761 | |||||
InTown Hotel Portfolio Trust, | ||||||||
1 Month USD LIBOR + 2.30%, 2.41%, 1/15/33 (c)(d) | $ | 579 | 578 | |||||
Jackson Park Trust LIC, | ||||||||
3.24%, 10/14/39 (c)(d) | 1,700 | 1,558 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
1 Month USD LIBOR + 2.45%, 2.56%, 4/15/38 (c)(d) | 2,400 | 2,402 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||
IO | ||||||||
0.51%, 4/15/46 (d) | 6,956 | 47 | ||||||
0.59%, 12/15/49 (d) | 3,715 | 85 | ||||||
0.86%, 7/15/47 (d) | 5,545 | 74 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||
4.65%, 4/15/47 (c)(d) | 775 | 778 | ||||||
IO | ||||||||
0.96%, 8/15/47 (d) | 3,442 | 72 | ||||||
Last Mile Logistics Pan Euro Finance DAC, | ||||||||
1.90%, 8/17/33 | EUR | 747 | 854 | |||||
Manhattan West Mortgage Trust, | ||||||||
2.34%, 9/10/39 (c)(d) | $ | 1,500 | 1,447 | |||||
MF1 2021-W10X, | ||||||||
SOFR + 2.82%, 2.87%, 12/15/34 (c)(d) | 4,350 | 4,354 | ||||||
MFT Mortgage Trust, | ||||||||
3.28%, 8/10/40 (c)(d) | 1,000 | 983 | ||||||
MFT Trust, | ||||||||
3.48%, 2/10/42 (c)(d) | 800 | 750 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
MKT 2020-525M Mortgage Trust, | ||||||||
2.94%, 2/12/40 (c)(d) | 1,000 | 920 | ||||||
Multifamily Connecticut Avenue Securities Trust, | ||||||||
1 Month USD LIBOR + 1.70%, 1.80%, 10/15/49 (c)(d) | 232 | 231 | ||||||
1 Month USD LIBOR + 1.95%, 2.05%, 3/25/50 (c)(d) | 1,971 | 1,977 | ||||||
Natixis Commercial Mortgage Securities Trust, | ||||||||
1 Month USD LIBOR + 2.20%, 2.31%, 7/15/36 (c)(d) | 2,300 | 2,300 | ||||||
4.13%, 5/15/39(c)(d) | 2,300 | 2,226 | ||||||
4.32%, 1/15/43 (c)(d) | 800 | 809 | ||||||
Olympic Tower Mortgage Trust, | ||||||||
3.57%, 5/10/39 (c) | 2,900 | 3,056 | ||||||
Real Estate Asset Liquidity Trust, | ||||||||
IO | ||||||||
1.15%, 2/12/31 (c)(d) | CAD | 32,966 | 1,464 | |||||
SG Commercial Mortgage Securities Trust, | ||||||||
3.73%, 3/15/37 (c)(d) | $ | 1,900 | 1,884 | |||||
SLG Office Trust, | ||||||||
IO | ||||||||
0.26%, 7/15/41 (c)(d) | 34,800 | 710 | ||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||
1 Month USD LIBOR + 1.74%, 1.85%, 2/15/37 (c)(d) | 900 | 895 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
4.14%, 5/15/45 (c)(d) | 425 | 418 | ||||||
63,521 | ||||||||
Corporate Bonds (33.1%) | ||||||||
Finance (10.9%) | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | ||||||||
3.00%, 10/29/28 | 2,500 | 2,537 | ||||||
4.13%, 7/3/23 | 1,150 | 1,195 | ||||||
Aflac, Inc., | ||||||||
4.75%, 1/15/49 | 500 | 664 | ||||||
American International Group, Inc., | ||||||||
4.50%, 7/16/44 | 1,075 | 1,327 | ||||||
Anthem, Inc., | ||||||||
2.25%, 5/15/30 | 1,325 | 1,322 | ||||||
Aon Corp., | ||||||||
2.80%, 5/15/30 | 1,750 | 1,806 | ||||||
AON Corp./AON Global Holdings PLC, | ||||||||
2.60%, 12/2/31 | 850 | 866 | ||||||
Australia & New Zealand Banking Group Ltd., | ||||||||
2.57%, 11/25/35 (c) | 875 | 839 | ||||||
Avolon Holdings Funding Ltd., | ||||||||
2.88%, 2/15/25 (c) | 2,650 | 2,709 | ||||||
Banco de Credito e Inversiones SA, | ||||||||
2.88%, 10/14/31 (c) | 2,275 | 2,245 | ||||||
Banco Santander Chile, | ||||||||
2.70%, 1/10/25 (c) | 1,125 | 1,150 | ||||||
Banco Santander SA, | ||||||||
5.18%, 11/19/25 | 600 | 668 | ||||||
Bank Hapoalim BM, | ||||||||
3.26%, 1/21/32 (c) | 2,075 | 2,065 | ||||||
Bank of America Corp., | ||||||||
1.73%, 7/22/27 | 2,525 | 2,508 | ||||||
2.69%, 4/22/32 | 7,200 | 7,314 | ||||||
MTN | ||||||||
2.68%, 6/19/41 | 675 | 651 | ||||||
4.00%, 1/22/25 | 1,055 | 1,127 | ||||||
Bank of Ireland Group PLC, | ||||||||
2.03%, 9/30/27 (c) | 2,500 | 2,458 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Bank of Montreal, | ||||||||
3.80%, 12/15/32 | 2,700 | 2,898 | ||||||
Belrose Funding Trust, | ||||||||
2.33%, 8/15/30 (c) | 1,225 | 1,202 | ||||||
BNP Paribas SA, | ||||||||
2.82%, 11/19/25 (c) | 700 | 721 | ||||||
4.40%, 8/14/28 (c) | 1,050 | 1,178 | ||||||
BPCE SA, | ||||||||
3.12%, 10/19/32 (c) | 1,100 | 1,105 | ||||||
5.15%, 7/21/24 (c) | 2,750 | 2,980 | ||||||
Brookfield Finance LLC, | ||||||||
3.45%, 4/15/50 | 1,350 | 1,410 | ||||||
Brown & Brown, Inc., | ||||||||
2.38%, 3/15/31 | 900 | 878 | ||||||
4.20%, 9/15/24 | 1,150 | 1,228 | ||||||
Citigroup, Inc., | ||||||||
2.52%, 11/3/32 | 1,450 | 1,450 | ||||||
CNO Financial Group, Inc., | ||||||||
5.25%, 5/30/29 | 885 | 1,017 | ||||||
Coinbase Global, Inc., | ||||||||
3.38%, 10/1/28 (c)(f) | 1,010 | 945 | ||||||
Danske Bank A/S, | ||||||||
5.00%, 1/12/23 (c) | 350 | 350 | ||||||
Deutsche Bank AG, | ||||||||
2.22%, 9/18/24 | 1,200 | 1,216 | ||||||
3.95%, 2/27/23 | 850 | 877 | ||||||
Global Atlantic Fin Co., | ||||||||
4.70%, 10/15/51 (c) | 2,220 | 2,253 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
2.65%, 10/21/32 | 3,025 | 3,047 | ||||||
MTN | ||||||||
4.80%, 7/8/44 | 625 | 800 | ||||||
Grupo Aval Ltd., | ||||||||
4.38%, 2/4/30 (c) | 770 | 740 | ||||||
Howard Hughes Corp. (The), | ||||||||
4.38%, 2/1/31 (c) | 1,480 | 1,497 | ||||||
HSBC Holdings PLC, | ||||||||
4.25%, 3/14/24 | 2,325 | 2,456 | ||||||
Intercontinental Exchange, Inc., | ||||||||
1.85%, 9/15/32 | 2,675 | 2,568 | ||||||
Intesa Sanpaolo SpA, | ||||||||
5.25%, 1/12/24 | 610 | 656 | ||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., | ||||||||
5.00%, 8/15/28 (c) | 1,490 | 1,530 | ||||||
JPMorgan Chase & Co., | ||||||||
1.95%, 2/4/32 | 1,025 | 988 | ||||||
2.55%, 11/8/32 | 3,375 | 3,398 | ||||||
4.13%, 12/15/26 | 3,225 | 3,559 | ||||||
JPMorgan Chase Bank NA, | ||||||||
0.13%, 1/1/23 (c) | 1,140 | 1,130 | ||||||
Kimco Realty Corp., | ||||||||
3.70%, 10/1/49 | 1,050 | 1,122 | ||||||
Life Storage LP, | ||||||||
2.40%, 10/15/31 | 1,050 | 1,033 | ||||||
Lloyds Banking Group PLC, | ||||||||
3.57%, 11/7/28 | 250 | 267 | ||||||
4.38%, 3/22/28 | 1,525 | 1,712 | ||||||
Macquarie Group Ltd., | ||||||||
2.87%, 1/14/33 (c) | 1,350 | 1,347 | ||||||
Marsh & McLennan Cos., Inc., | ||||||||
5.88%, 8/1/33 | 1,554 | 2,068 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Metropolitan Life Global Funding I, | ||||||||
2.95%, 4/9/30 (c) | 1,300 | 1,372 | ||||||
Nationwide Building Society, | ||||||||
3.96%, 7/18/30 | 1,200 | 1,320 | ||||||
4.30%, 3/8/29 | 1,550 | 1,709 | ||||||
Natwest Group PLC, | ||||||||
3.88%, 9/12/23 | 875 | 913 | ||||||
Oversea-Chinese Banking Corp. Ltd., | ||||||||
1.83%, 9/10/30 (c) | 970 | 963 | ||||||
Pine Street Trust I, | ||||||||
4.57%, 2/15/29 (c) | 575 | 650 | ||||||
Progressive Corp. (The), | ||||||||
3.20%, 3/26/30 | 175 | 189 | ||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., | ||||||||
3.88%, 3/1/31 (c) | 1,350 | 1,372 | ||||||
Societe Generale SA, | ||||||||
2.63%, 1/22/25 (c) | 1,625 | 1,667 | ||||||
Standard Chartered PLC, | ||||||||
2.68%, 6/29/32 (c) | 475 | 467 | ||||||
SVB Financial Group, | ||||||||
1.80%, 2/2/31 | 2,900 | 2,752 | ||||||
4.10%, 2/15/31 (g) | 970 | 964 | ||||||
Travelers Cos., Inc. (The), | ||||||||
3.75%, 5/15/46 | 800 | 923 | ||||||
USAA Capital Corp., | ||||||||
2.13%, 5/1/30 (c) | 350 | 351 | ||||||
Wells Fargo & Co., | ||||||||
MTN | ||||||||
2.88%, 10/30/30 | 1,150 | 1,197 | ||||||
Westpac Banking Corp., | ||||||||
2.67%, 11/15/35 | 775 | 756 | ||||||
102,642 | ||||||||
Industrials (20.4%) | ||||||||
7-Eleven, Inc., | ||||||||
2.50%, 2/10/41 (c) | 1,450 | 1,340 | ||||||
AbbVie, Inc., | ||||||||
4.25%, 11/21/49 | 850 | 1,025 | ||||||
Adobe, Inc., | ||||||||
2.30%, 2/1/30 | 1,975 | 2,021 | ||||||
Airbnb, Inc., | ||||||||
0.00%, 3/15/26 (c) | 1,015 | 996 | ||||||
Alibaba Group Holding Ltd., | ||||||||
2.13%, 2/9/31 (f) | 825 | 797 | ||||||
Altria Group, Inc., | ||||||||
3.40%, 2/4/41 | 1,575 | 1,455 | ||||||
Amazon.com, Inc., | ||||||||
2.70%, 6/3/60 | 1,075 | 1,039 | ||||||
American Airlines Inc/AAdvantage Loyalty IP Ltd., | ||||||||
5.75%, 4/20/29 (c) | 1,590 | 1,703 | ||||||
Amgen, Inc., | ||||||||
2.80%, 8/15/41 | 1,075 | 1,036 | ||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
3.50%, 6/1/30 | 650 | 713 | ||||||
4.60%, 4/15/48 | 2,683 | 3,288 | ||||||
Apple, Inc., | ||||||||
2.65%, 5/11/50 | 2,050 | 2,020 | ||||||
2.70%, 8/5/51 | 975 | 966 | ||||||
Arches Buyer, Inc., | ||||||||
4.25%, 6/1/28 (c) | 1,315 | 1,317 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
AT&T, Inc., | ||||||||
2.55%, 12/1/33 | 1,725 | 1,689 | ||||||
3.55%, 9/15/55 | 3,375 | 3,393 | ||||||
Baidu, Inc., | ||||||||
1.72%, 4/9/26 | 1,450 | 1,435 | ||||||
BAT Capital Corp., | ||||||||
3.56%, 8/15/27 | 2,100 | 2,204 | ||||||
Boeing Co. (The), | ||||||||
2.95%, 2/1/30 | 650 | 663 | ||||||
3.25%, 2/1/35 | 225 | 227 | ||||||
3.95%, 8/1/59 | 350 | 365 | ||||||
BP Capital Markets PLC, | ||||||||
4.38%, 6/22/25 (g) | 700 | 733 | ||||||
4.88%, 3/22/30 (g) | 700 | 758 | ||||||
Burlington Northern Santa Fe LLC, | ||||||||
3.30%, 9/15/51 | 850 | 925 | ||||||
Canadian Pacific Railway Co., | ||||||||
3.10%, 12/2/51 | 775 | 798 | ||||||
CDW LLC, | ||||||||
2.67%, 12/1/26 | 675 | 693 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, | ||||||||
2.30%, 2/1/32 | 275 | 261 | ||||||
2.80%, 4/1/31 | 975 | 966 | ||||||
3.50%, 3/1/42 | 3,700 | 3,595 | ||||||
Chemours Co. (The), | ||||||||
4.63%, 11/15/29 (c) | 1,990 | 1,978 | ||||||
Children's Health System of Texas, | ||||||||
2.51%, 8/15/50 | 800 | 758 | ||||||
Cigna Corp., | ||||||||
2.38%, 3/15/31 | 1,975 | 1,987 | ||||||
3.40%, 3/15/51 | 625 | 655 | ||||||
CNOOC Finance 2013 Ltd., | ||||||||
3.00%, 5/9/23 | 540 | 553 | ||||||
Comcast Corp., | ||||||||
1.95%, 1/15/31 | 3,725 | 3,654 | ||||||
2.94%, 11/1/56 (c) | 1,250 | 1,194 | ||||||
CVS Health Corp., | ||||||||
1.88%, 2/28/31 | 2,550 | 2,449 | ||||||
5.13%, 7/20/45 | 425 | 554 | ||||||
Daimler Trucks Finance North America LLC, | ||||||||
2.00%, 12/14/26 (c) | 2,200 | 2,211 | ||||||
Dell International LLC/EMC Corp., | ||||||||
3.45%, 12/15/51 (c) | 1,575 | 1,515 | ||||||
6.02%, 6/15/26 | 1,475 | 1,707 | ||||||
Delta Air Lines Pass Through Trust, | ||||||||
Series AA | ||||||||
3.20%, 10/25/25 | 1,050 | 1,087 | ||||||
Dexcom, Inc., | ||||||||
0.25%, 11/15/25 (f) | 1,175 | 1,400 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., | ||||||||
6.63%, 8/15/27 (c) | 700 | 198 | ||||||
Diamondback Energy, Inc., | ||||||||
3.25%, 12/1/26 | 1,750 | 1,847 | ||||||
Duke University, | ||||||||
Series 2020 | ||||||||
2.83%, 10/1/55 | 1,600 | 1,661 | ||||||
DXC Technology Co., | ||||||||
1.80%, 9/15/26 | 3,450 | 3,413 | ||||||
Enbridge, Inc., | ||||||||
2.50%, 1/15/25 (f) | 925 | 951 | ||||||
2.50%, 8/1/33 | 3,025 | 2,973 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Energy Transfer LP, | ||||||||
2.90%, 5/15/25 | 1,575 | 1,628 | ||||||
3.90%, 7/15/26 | 750 | 808 | ||||||
4.75%, 1/15/26 | 275 | 301 | ||||||
Enterprise Products Operating LLC, | ||||||||
3.30%, 2/15/53 | 825 | 822 | ||||||
Equinix, Inc., | ||||||||
1.00%, 9/15/25 | 2,500 | 2,427 | ||||||
Expedia Group, Inc., | ||||||||
0.00%, 2/15/26 (c)(f) | 950 | 1,098 | ||||||
Exxon Mobil Corp., | ||||||||
3.45%, 4/15/51 | 1,375 | 1,493 | ||||||
Fiserv, Inc., | ||||||||
2.65%, 6/1/30 | 500 | 508 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
3.10%, 5/4/23 | 200 | 204 | ||||||
4.00%, 11/13/30 | 490 | 528 | ||||||
GMTN | ||||||||
4.39%, 1/8/26 | 800 | 863 | ||||||
Fox Corp., | ||||||||
5.48%, 1/25/39 | 1,300 | 1,680 | ||||||
Galaxy Pipeline Assets Bidco Ltd., | ||||||||
1.75%, 9/30/27 (c) | 2,985 | 2,994 | ||||||
GE Capital International Funding Co., Unlimited Co., | ||||||||
4.42%, 11/15/35 | 1,062 | 1,269 | ||||||
General Motors Co., | ||||||||
6.60%, 4/1/36 | 200 | 271 | ||||||
General Motors Financial Co., Inc., | ||||||||
3.85%, 1/5/28 | 800 | 862 | ||||||
4.35%, 1/17/27 | 1,825 | 2,012 | ||||||
Georgia-Pacific LLC, | ||||||||
2.30%, 4/30/30 (c) | 1,525 | 1,528 | ||||||
Gilead Sciences, Inc., | ||||||||
2.80%, 10/1/50 | 700 | 680 | ||||||
Glencore Funding LLC, | ||||||||
4.13%, 3/12/24 (c) | 2,375 | 2,499 | ||||||
GLP Capital LP/GLP Financing II, Inc., | ||||||||
3.25%, 1/15/32 | 350 | 352 | ||||||
5.38%, 4/15/26 | 1,250 | 1,394 | ||||||
GSK Finance No 3 PLC, | ||||||||
0.00%, 6/22/23 (c) | 1,500 | 1,474 | ||||||
HCA, Inc., | ||||||||
5.25%, 6/15/49 | 950 | 1,222 | ||||||
Hyatt Hotels Corp., | ||||||||
1.80%, 10/1/24 | 1,600 | 1,602 | ||||||
Hyundai Capital America, | ||||||||
1.80%, 1/10/28 (c) | 2,650 | 2,563 | ||||||
Imperial Brands Finance PLC, | ||||||||
3.13%, 7/26/24 (c) | 1,000 | 1,034 | ||||||
JBS Finance Luxembourg Sarl, | ||||||||
2.50%, 1/15/27 (c) | 1,575 | 1,559 | ||||||
Johns Hopkins University, | ||||||||
Series A | ||||||||
2.81%, 1/1/60 | 1,170 | 1,203 | ||||||
Kimberly-Clark de Mexico SAB de CV, | ||||||||
2.43%, 7/1/31 (c) | 1,375 | 1,361 | ||||||
Las Vegas Sands Corp., | ||||||||
3.20%, 8/8/24 | 850 | 866 | ||||||
Level 3 Financing, Inc., | ||||||||
3.40%, 3/1/27 (c) | 1,275 | 1,318 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Lions Gate Capital Holdings LLC, | ||||||||
5.50%, 4/15/29 (c) | 1,570 | 1,600 | ||||||
LYB International Finance III LLC, | ||||||||
4.20%, 5/1/50 | 550 | 637 | ||||||
MARB BondCo PLC, | ||||||||
3.95%, 1/29/31 (c) | 2,720 | 2,602 | ||||||
Marriott Vacations Worldwide Corp., | ||||||||
1.50%, 9/15/22 | 915 | 1,117 | ||||||
McDonald's Corp., | ||||||||
4.45%, 9/1/48 | 450 | 556 | ||||||
McLaren Health Care Corp., Series A | ||||||||
4.39%, 5/15/48 | 1,175 | 1,458 | ||||||
Microsoft Corp., | ||||||||
2.53%, 6/1/50 | 750 | 734 | ||||||
NBN Co. Ltd., | ||||||||
2.63%, 5/5/31 (c) | 2,400 | 2,412 | ||||||
Newcastle Coal Infrastructure Group Pty Ltd., | ||||||||
4.40%, 9/29/27 (c) | 2,550 | 2,545 | ||||||
NIKE, Inc., | ||||||||
3.25%, 3/27/40 | 650 | 709 | ||||||
Nissan Motor Co. Ltd., | ||||||||
3.04%, 9/15/23 (c) | 2,400 | 2,464 | ||||||
NOVA Chemicals Corp., | ||||||||
4.25%, 5/15/29 (c)(f) | 1,510 | 1,518 | ||||||
NuStar Logistics LP, | ||||||||
6.38%, 10/1/30 | 2,350 | 2,612 | ||||||
NVIDIA Corp., | ||||||||
2.00%, 6/15/31 | 1,150 | 1,145 | ||||||
Occidental Petroleum Corp., | ||||||||
3.20%, 8/15/26 | 10 | 10 | ||||||
3.50%, 8/15/29 | 2,600 | 2,675 | ||||||
ONEOK, Inc., | ||||||||
3.10%, 3/15/30 | 1,625 | 1,657 | ||||||
Ooredoo International Finance Ltd., | ||||||||
2.63%, 4/8/31 (c) | 1,470 | 1,479 | ||||||
Oracle Corp., | ||||||||
2.50%, 4/1/25 | 1,900 | 1,946 | ||||||
Peloton Interactive, Inc., | ||||||||
0.00%, 2/15/26 (c) | 2,115 | 1,803 | ||||||
Resorts World Las Vegas LLC/RWLV Capital, Inc., | ||||||||
4.63%, 4/16/29 (c) | 2,800 | 2,820 | ||||||
RingCentral, Inc., | ||||||||
0.00%, 3/15/26 | 895 | 797 | ||||||
Rockies Express Pipeline LLC, | ||||||||
3.60%, 5/15/25 (c) | 2,125 | 2,189 | ||||||
Royalty Pharma PLC, | ||||||||
3.55%, 9/2/50 | 925 | 919 | ||||||
Saudi Arabian Oil Co., | ||||||||
3.25%, 11/24/50 (c) | 960 | 938 | ||||||
SBA Communications Corp., | ||||||||
3.13%, 2/1/29 (c) | 1,610 | 1,548 | ||||||
Seattle Children's Hospital, | ||||||||
Series 2021 | ||||||||
2.72%, 10/1/50 | 2,750 | 2,704 | ||||||
Sherwin-Williams Co. (The), | ||||||||
2.30%, 5/15/30 | 925 | 924 | ||||||
2.95%, 8/15/29 | 625 | 658 | ||||||
Silgan Holdings, Inc., | ||||||||
1.40%, 4/1/26 (c) | 2,150 | 2,100 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Splunk, Inc., | |||||||
1.13%, 6/15/27 | 1,200 | 1,125 | |||||
Spotify USA, Inc., | |||||||
0.00%, 3/15/26 (c) | 1,190 | 1,079 | |||||
Standard Industries, Inc., | |||||||
2.25%, 11/21/26 (c) | EUR | 575 | 643 | ||||
Syngenta Finance N.V., | |||||||
4.89%, 4/24/25 (c) | $ | 975 | 1,048 | ||||
T-Mobile USA, Inc., | |||||||
2.25%, 11/15/31 (f) | 1,700 | 1,651 | |||||
3.60%, 11/15/60 | 650 | 646 | |||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | |||||||
4.00%, 1/15/32 (c) | 2,695 | 2,821 | |||||
Telefonica Emisiones SA, | |||||||
4.10%, 3/8/27 | 1,800 | 1,983 | |||||
TotalEnergies SE, | |||||||
Series FP | |||||||
0.50%, 12/2/22 | 1,200 | 1,226 | |||||
Trimble, Inc., | |||||||
4.15%, 6/15/23 | 1,150 | 1,196 | |||||
Uber Technologies, Inc., | |||||||
0.00%, 12/15/25 | 1,560 | 1,539 | |||||
Univision Communications, Inc., | |||||||
4.50%, 5/1/29 (c) | 1,470 | 1,487 | |||||
US Foods, Inc., | |||||||
4.75%, 2/15/29 (c) | 2,350 | 2,392 | |||||
Verizon Communications, Inc., | |||||||
2.36%, 3/15/32 (c) | 300 | 296 | |||||
2.65%, 11/20/40 | 2,050 | 1,951 | |||||
2.99%, 10/30/56 | 1,675 | 1,589 | |||||
3.40%, 3/22/41 | 275 | 288 | |||||
Volkswagen Group of America Finance LLC, | |||||||
4.75%, 11/13/28 (c) | 1,025 | 1,181 | |||||
Vontier Corp., | |||||||
2.40%, 4/1/28 (c) | 2,700 | 2,613 | |||||
VTR Finance N.V., | |||||||
6.38%, 7/15/28 (c) | 1,050 | 1,094 | |||||
Walt Disney Co. (The), | |||||||
2.75%, 9/1/49 | 2,491 | 2,417 | |||||
3.50%, 5/13/40 | 375 | 412 | |||||
Western Digital Corp., | |||||||
1.50%, 2/1/24 | 1,055 | 1,070 | |||||
Williams Cos., Inc. (The), | |||||||
3.50%, 10/15/51 | 500 | 506 | |||||
Ziff Davis, Inc., | |||||||
1.75%, 11/1/26 (c) | 825 | 1,024 | |||||
Zynga, Inc., | |||||||
0.00%, 12/15/26 | 1,150 | 1,055 | |||||
193,197 | |||||||
Utilities (1.8%) | |||||||
DTE Electric Co., | |||||||
2.95%, 3/1/50 | 350 | 354 | |||||
Duke Energy Indiana LLC, | |||||||
2.75%, 4/1/50 | 460 | 449 | |||||
Jersey Central Power & Light Co., | |||||||
2.75%, 3/1/32 (c) | 1,400 | 1,420 | |||||
Mississippi Power Co., | |||||||
3.95%, 3/30/28 | 2,325 | 2,550 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
NextEra Energy Capital Holdings, Inc., | ||||||||
3.00%, 1/15/52 | 1,350 | 1,351 | ||||||
Northern States Power Co., | ||||||||
2.90%, 3/1/50 | 1,400 | 1,417 | ||||||
NRG Energy, Inc., | ||||||||
3.63%, 2/15/31 (c) | 1,530 | 1,494 | ||||||
Pacific Gas and Electric Co., | ||||||||
3.30%, 8/1/40 | 775 | 720 | ||||||
Piedmont Natural Gas Co., Inc., | ||||||||
2.50%, 3/15/31 | 975 | 976 | ||||||
Public Service Enterprise Group, Inc., | ||||||||
2.45%, 11/15/31 | 2,750 | 2,721 | ||||||
Virginia Electric and Power Co., | ||||||||
2.95%, 11/15/51 | 1,375 | 1,384 | ||||||
Xcel Energy, Inc., | ||||||||
2.60%, 12/1/29 | 1,850 | 1,893 | ||||||
16,729 | ||||||||
312,568 | ||||||||
Mortgages - Other (19.4%) | ||||||||
510 Asset Backed 2021-NPL1 Trust, | ||||||||
2.24%, 6/25/61 (c) | 2,516 | 2,500 | ||||||
Adjustable Rate Mortgage Trust, | ||||||||
3.27%, 6/25/35 (d) | 94 | 96 | ||||||
Ajax Mortgage Loan Trust, | ||||||||
2.35%, 9/25/65 (c)(d) | 725 | 722 | ||||||
Alternative Loan Trust, | ||||||||
1 Month USD LIBOR + 0.36%, 0.46%, 5/25/47 (d) | 87 | 84 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
1 Month USD LIBOR + 0.65%, 0.75%, 7/25/46 (d) | 121 | 99 | ||||||
6.36%, 10/25/36 | 424 | 176 | ||||||
Banc of America Funding Trust, | ||||||||
5.25%, 7/25/37 | 20 | 20 | ||||||
Bear Stearns ARM Trust, | ||||||||
2.54%, 2/25/34 (d) | 555 | 568 | ||||||
BRAVO Residential Funding Trust, | ||||||||
2.00%, 5/25/59 (c)(d) | 2,029 | 2,033 | ||||||
Brean Asset Backed Securities Trust, | ||||||||
1.40%, 10/25/63 (c)(d) | 2,557 | 2,440 | ||||||
1.75%, 10/25/61 (c)(d) | 2,536 | 2,457 | ||||||
Bunker Hill Loan Depositary Trust, | ||||||||
1.72%, 2/25/55 (c)(d) | 1,329 | 1,337 | ||||||
Cascade Funding Mortgage Trust, | ||||||||
1.94%, 9/25/50 (c)(d) | 4,322 | 4,238 | ||||||
3.73%, 6/25/36 (c)(d) | 3,825 | 3,801 | ||||||
4.00%, 10/25/68 (c)(d) | 1,919 | 1,950 | ||||||
CFMT 2021-HB5 LLC, | ||||||||
2.91%, 2/25/31 (c)(d) | 3,800 | 3,749 | ||||||
ChaseFlex Trust, | ||||||||
6.00%, 2/25/37 | 614 | 341 | ||||||
CIM Trust, | ||||||||
2.50%, 7/1/51 (c)(d) | 3,853 | 3,876 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.50%, 9/25/51 (c)(d) | 4,763 | 4,758 | ||||||
COLT 2021-RPL1 Trust, | ||||||||
1.67%, 9/25/61 (c)(d) | 1,726 | 1,714 | ||||||
Credit Suisse Mortgage Capital Certificates, | ||||||||
1 Month USD LIBOR + 3.97%, 4.08%, 4/15/23 (c)(d) | 3,272 | 3,286 | ||||||
1 Month USD LIBOR + 3.67%, 4.17%, 12/15/23 (c)(d) | 3,300 | 3,309 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
E-MAC NL 2004-I BV, | ||||||||
3 Month EURIBOR + 0.18%, 1.71%, 7/25/36 (d) | EUR | 397 | 445 | |||||
Eurosail BV, | ||||||||
3 Month EURIBOR + 1.80%, 1.25%, 10/17/40 (d) | 700 | 798 | ||||||
Eurosail PLC, | ||||||||
3 Month GBP LIBOR + 1.10%, 1.04%, 6/13/45 (d) | GBP | 581 | 778 | |||||
Farringdon Mortgages No. 2 PLC, | ||||||||
3 Month GBP LIBOR + 1.50%, 1.63%, 7/15/47 (d) | 209 | 283 | ||||||
Federal Home Loan Mortgage Corporation, | ||||||||
3.00%, 7/25/46 – 5/25/47 | $ | 1,193 | 1,188 | |||||
3.50%, 5/25/45 – 5/25/47 | 489 | 500 | ||||||
3.80%, 5/25/45 (c)(d) | 4 | 4 | ||||||
4.00%, 5/25/45 | 11 | 11 | ||||||
1 Month USD LIBOR + 5.15%, 5.25%, 10/25/29 (d) | 300 | 327 | ||||||
Flagstar Mortgage Trust, | ||||||||
2.50%, 9/25/51 (c)(d) | 3,780 | 3,779 | ||||||
FMC GMSR Issuer Trust, | ||||||||
3.85%, 10/25/26 (c)(d) | 2,600 | 2,585 | ||||||
4.45%, 1/25/26 (c)(d) | 3,500 | 3,514 | ||||||
Glenbeigh 2 Issuer 2021-2 DAC, | ||||||||
3 Month EURIBOR + 0.75%, 0.21%, 6/24/50 (c)(d) | EUR | 4,261 | 4,859 | |||||
Grifonas Finance No. 1 PLC, | ||||||||
6 Month EURIBOR + 0.28%, 0.00%, 8/28/39 (d) | 309 | 348 | ||||||
HarborView Mortgage Loan Trust, | ||||||||
1 Month USD LIBOR + 0.19%, 0.29%, 1/19/38 (d) | $ | 319 | 311 | |||||
Headlands Residential 2021-RPL1 LLC, | ||||||||
2.49%, 9/25/26 (c)(d) | 3,320 | 3,320 | ||||||
Hundred Acre Wood Trust, | ||||||||
2.50%, 10/25/51 (c)(d) | 9,142 | 9,142 | ||||||
IM Pastor 3 FTH, | ||||||||
3 Month EURIBOR + 0.14%, 0.00%, 3/22/43 (d) | EUR | 385 | 406 | |||||
JP Morgan Mortgage Trust, | ||||||||
3.03%, 6/25/37 (d) | $ | 69 | 61 | |||||
6.00%, 6/25/37 | 33 | 39 | ||||||
Landmark Mortgage Securities No. 1 PLC, | ||||||||
3 Month EURIBOR + 0.60%, 0.00%, 6/17/38 (d) | EUR | 717 | 806 | |||||
Legacy Mortgage Asset Trust, | ||||||||
3.25%, 2/25/60 (c) | $ | 2,857 | 2,875 | |||||
Lehman Mortgage Trust, | ||||||||
6.50%, 9/25/37 | 626 | 311 | ||||||
LHOME Mortgage Trust, | ||||||||
3.23%, 10/25/24 (c) | 675 | 678 | ||||||
Mello Mortgage Capital Acceptance, | ||||||||
2.50%, 8/25/51 (c)(d) | 4,559 | 4,558 | ||||||
Mello Warehouse Securitization Trust, | ||||||||
1 Month USD LIBOR + 0.70%, 0.79%, 2/25/55 (c)(d) | 2,215 | 2,204 | ||||||
1 Month USD LIBOR + 1.30%, 1.40%, 11/25/53 (c)(d) | 2,000 | 1,996 | ||||||
Natixis Commercial Mortgage Securities Trust, | ||||||||
1 Month USD LIBOR + 1.70%, 1.81%, 8/15/38 (c)(d) | 3,250 | 3,251 | ||||||
New Residential Mortgage Loan Trust, | ||||||||
3.99%, 9/25/57 (c)(d) | 513 | 530 | ||||||
Newgate Funding PLC, | ||||||||
3 Month GBP LIBOR + 1.10%, 0.26%, 12/15/50 (d) | GBP | 1,252 | 1,640 | |||||
NYMT Loan Trust, | ||||||||
2.94%, 10/25/60 (c)(d) | $ | 3,078 | 3,075 | |||||
OBX Trust, | ||||||||
3.50%, 10/25/59 – 2/25/60 (c)(d) | 899 | 913 | ||||||
Pepper Residential Securities Trust, | ||||||||
1 Month USD LIBOR + 0.93%, 1.03%, 3/12/61 (c)(d) | 533 | 532 | ||||||
Preston Ridge Partners LLC, | ||||||||
1.74%, 9/25/26 (c)(d) | 2,559 | 2,531 | ||||||
2.36%, 10/25/26 (c)(d) | 2,784 | 2,764 | ||||||
2.49%, 10/25/26 (c) | 2,665 | 2,665 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
PRMI Securitization Trust, | ||||||||
2.50%, 4/25/51 (c)(d) | 4,902 | 4,924 | ||||||
Sage AR Funding PLC (SGSHR) No. 1, | ||||||||
0.16%, 11/17/51 | GBP | 3,625 | 4,916 | |||||
Seasoned Credit Risk Transfer Trust, | ||||||||
3.00%, 9/25/55 – 5/25/60 | $ | 14,119 | 14,715 | |||||
4.00%, 7/25/56 (d) | 450 | 455 | ||||||
4.00%, 8/25/56 (c)(d) | 1,000 | 1,020 | ||||||
4.00%, 8/25/58 – 2/25/59 | 1,525 | 1,623 | ||||||
4.25%, 8/25/59 – 11/25/60(c)(d) | 6,550 | 6,739 | ||||||
4.50%, 6/25/57 | 1,418 | 1,533 | ||||||
4.75%, 7/25/56 – 6/25/57(c)(d) | 1,408 | 1,446 | ||||||
4.75%, 10/25/58 (d) | 1,300 | 1,336 | ||||||
Stanwich Mortgage Loan Co. 2021-NPL-B-1 LLC, | ||||||||
2.74%, 10/16/26 (c) | 3,453 | 3,452 | ||||||
Stratton Mortgage Funding PLC, | ||||||||
2.19%, 5/25/51 | GBP | 2,500 | 3,395 | |||||
Structured Asset Securities Corp. Reverse Mortgage Loan Trust, | ||||||||
1 Month USD LIBOR + 1.85%, 1.95%, 5/25/47 (c)(d) | $ | 1,503 | 1,412 | |||||
TDA 27 FTA, | ||||||||
3 Month EURIBOR + 0.19%, 0.00%, 12/28/50 (d) | EUR | 1,500 | 1,527 | |||||
Toorak Mortgage Corp. Ltd., | ||||||||
3.72%, 9/25/22 | $ | 1,477 | 1,482 | |||||
Towd Point HE Trust, | ||||||||
0.92%, 2/25/63 (c)(d) | 3,676 | 3,662 | ||||||
Towd Point Mortgage Funding PLC, | ||||||||
3 Month GBP SONIA + 1.80%, 1.85%, 7/20/44 (d) | GBP | 1,800 | 2,433 | |||||
2.44%, 2/20/54 | 2,400 | 3,256 | ||||||
TVC Mortgage Trust, | ||||||||
3.47%, 9/25/24 (c) | $ | 850 | 854 | |||||
United Wholesale Mortgage Trust, | ||||||||
2.50%, 8/25/51 (c)(d) | 4,858 | 4,881 | ||||||
Vista Point Securitization Trust, | ||||||||
1.76%, 3/25/65 (c)(d) | 884 | 888 | ||||||
VMC Finance 2021-HT1 LLC, | ||||||||
1 Month USD LIBOR + 1.65%, 1.75%, 1/18/37 (c)(d) | 3,200 | 3,204 | ||||||
VOLT CV LLC, | ||||||||
2.49%, 11/27/51 (c) | 1,909 | 1,905 | ||||||
VOLT XCIII LLC, | ||||||||
1.89%, 2/27/51 (c) | 2,213 | 2,198 | ||||||
VOLT XCIV LLC, | ||||||||
2.24%, 2/27/51 (c) | 2,746 | 2,734 | ||||||
183,571 | ||||||||
Municipal Bonds (0.5%) | ||||||||
Chicago O’Hare International Airport, IL, | ||||||||
O'Hare International Airport Revenue Series 2010B | ||||||||
6.40%, 1/1/40 | 255 | 381 | ||||||
City of New York, NY, | ||||||||
Series G-1 | ||||||||
5.97%, 3/1/36 | 270 | 363 | ||||||
Illinois State Toll Highway Authority, IL, | ||||||||
Highway Revenue, Build America Bonds Series A | ||||||||
6.18%, 1/1/34 | 477 | 653 | ||||||
New York City, NY, | ||||||||
Transitional Finance Authority Future Tax Secured Revenue, Series A | ||||||||
5.27%, 5/1/27 | 320 | 376 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Onondaga Civic Development Corp., NY, | ||||||||
Series 2020B | ||||||||
3.07%, 12/1/55 | 2,925 | 2,954 | ||||||
4,727 | ||||||||
Sovereign (5.9%) | ||||||||
Australia Government Bond, | ||||||||
3.25%, 4/21/25 | AUD | 10,500 | 8,174 | |||||
China Government Bond, | ||||||||
3.13%, 11/21/29 | CNY | 42,600 | 6,819 | |||||
Croatia Government International Bond, | ||||||||
1.50%, 6/17/31 | EUR | 237 | 280 | |||||
Dominican Republic International Bond, | ||||||||
4.88%, 9/23/32 (c) | $ | 410 | 418 | |||||
5.88%, 1/30/60 (c) | 2,310 | 2,226 | ||||||
Ecuador Government International Bond, | ||||||||
0.50%, 7/31/40 (c)(h) | 261 | 154 | ||||||
Egypt Government Bond, | ||||||||
13.77%, 1/5/24 | EGP | 16,300 | 1,034 | |||||
Egypt Government International Bond, | ||||||||
6.38%, 4/11/31 (c) | EUR | 2,025 | 2,135 | |||||
7.50%, 2/16/61 (c) | $ | 290 | 238 | |||||
8.15%, 11/20/59 (c) | 210 | 180 | ||||||
8.88%, 5/29/50 (c) | 410 | 373 | ||||||
Export-Import Bank of India, | ||||||||
3.25%, 1/15/30 (c) | 670 | 683 | ||||||
3.88%, 2/1/28 (c) | 505 | 541 | ||||||
Honduras Government International Bond, | ||||||||
5.63%, 6/24/30 (c) | 350 | 365 | ||||||
Italy Buoni Poliennali Del Tesoro, | ||||||||
0.65%, 10/28/27 (c) | EUR | 6,151 | 7,502 | |||||
Ivory Coast Government International Bond, | ||||||||
4.88%, 1/30/32 (c) | 1,360 | 1,493 | ||||||
Mexican Bonos, | ||||||||
Series M | ||||||||
7.75%, 5/29/31 | MXN | 74,500 | 3,681 | |||||
Mexico Government International Bond, | ||||||||
3.25%, 4/16/30 (f) | $ | 750 | 770 | |||||
3.75%, 4/19/71 | 850 | 766 | ||||||
Morocco Government International Bond, | ||||||||
4.00%, 12/15/50 (c) | 790 | 719 | ||||||
Nigeria Government International Bond, | ||||||||
9.25%, 1/21/49 (c) | 2,270 | 2,319 | ||||||
North Macedonia Government International Bond, | ||||||||
1.63%, 3/10/28 (c) | EUR | 940 | 1,007 | |||||
Pertamina Persero PT, | ||||||||
6.50%, 11/7/48 (c) | $ | 1,325 | 1,774 | |||||
Petroleos Mexicanos, | ||||||||
6.70%, 2/16/32 (c) | 1,557 | 1,576 | ||||||
6.95%, 1/28/60 | 350 | 313 | ||||||
7.69%, 1/23/50 | 536 | 518 | ||||||
Qatar Government International Bond, | ||||||||
5.10%, 4/23/48 (c) | 1,480 | 2,006 | ||||||
Republic of Italy Government International Bond, | ||||||||
0.88%, 5/6/24 | 2,330 | 2,306 | ||||||
Republic of South Africa Government Bond, | ||||||||
8.00%, 1/31/30 | ZAR | 22,750 | 1,318 | |||||
8.25%, 3/31/32 | 22,630 | 1,282 | ||||||
Republic of Uzbekistan International Bond, | ||||||||
3.70%, 11/25/30 (c) | $ | 840 | 808 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Senegal Government International Bond, | ||||||
6.25%, 5/23/33 (c) | 705 | 727 | ||||
Serbia International Bond, | ||||||
1.65%, 3/3/33 (c) | EUR | 800 | 851 | |||
55,356 | ||||||
Supranational (0.2%) | ||||||
Banque Ouest Africaine de Developpement, | ||||||
2.75%, 1/22/33 (c) | 590 | 708 | ||||
4.70%, 10/22/31 (c) | $ | 1,240 | 1,356 | |||
2,064 | ||||||
U.S. Treasury Securities (1.0%) | ||||||
U.S. Treasury Bond, | ||||||
1.75%, 8/15/41 | 1,700 | 1,649 | ||||
U.S. Treasury Note, | ||||||
1.25%, 12/31/26 | 7,850 | 7,842 | ||||
9,491 | ||||||
Variable Rate Senior Loan Interests (2.5%) | ||||||
American Airlines, Inc., | ||||||
2018 Term Loan B | ||||||
1 Month USD LIBOR + 1.75%, 1.85%, 6/27/25 (d) | 980 | 931 | ||||
American Builders & Contractors Supply Co., Inc., | ||||||
2019 Term Loan | ||||||
1 Month USD LIBOR + 2.00%, 2.10%, 1/15/27 (d) | 990 | 985 | ||||
Asurion LLC, | ||||||
2020 Term Loan B8 | ||||||
1 Month USD LIBOR + 3.25%, 3.35%, 12/23/26 (d) | 990 | 985 | ||||
Bausch Health Companies Inc., | ||||||
2018 Term Loan B | ||||||
1 Month USD LIBOR + 3.00%, 3.10%, 6/2/25 (d) | 807 | 804 | ||||
BWAY Holding Co., | ||||||
2017 Term Loan B | ||||||
1 Month USD LIBOR + 3.25%, 3.35%, 4/3/24 (d) | 977 | 966 | ||||
Carrols Restaurant Group, Inc., | ||||||
Term Loan B | ||||||
1 Month USD LIBOR + 3.25%, 3.36%, 4/30/26 (d) | 405 | 396 | ||||
CenturyLink, Inc., | ||||||
2020 Term Loan B | ||||||
1 Month USD LIBOR + 2.25%, 2.35%, 3/15/27 (d) | 987 | 977 | ||||
Chemours Co. (The), | ||||||
2018 USD Term Loan B | ||||||
1 Month USD LIBOR + 1.75%, 1.85%, 4/3/25 (d) | 917 | 911 | ||||
Core & Main LP, | ||||||
2017 Term Loan B | ||||||
1 Month USD LIBOR + 2.50%, 3.00%, 8/1/24 (d) | 985 | 981 | ||||
CPG International, Inc., | ||||||
2017 Term Loan | ||||||
3 Month USD LIBOR + 2.50%, 3.25%, 5/5/24 (d) | 218 | 218 | ||||
Creative Artists Agency, LLC, | ||||||
2019 Term Loan B | ||||||
1 Month USD LIBOR + 3.75%, 3.85%, 11/27/26 (d) | 940 | 939 | ||||
DaVita, Inc., | ||||||
2020 Term Loan B | ||||||
1 Month USD LIBOR + 1.75%, 1.85%, 8/12/26 (d) | 980 | 976 | ||||
Froneri International Ltd., | ||||||
2020 USD Term Loan | ||||||
1 Month USD LIBOR + 2.25%, 2.35%, 1/29/27 (d) | 987 | 976 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Grifols Worldwide Operations USA, Inc., | ||||||
USD 2019 Term Loan B | ||||||
1 Month USD LIBOR + 2.00%, 2.10%, 11/15/27 (d) | 926 | 914 | ||||
Level 3 Financing, Inc., | ||||||
2019 Term Loan B | ||||||
1 Month USD LIBOR + 1.75%, 1.85%, 3/1/27 (d) | 1,000 | 989 | ||||
Lions Gate Capital Holdings LLC, | ||||||
2018 Term Loan B | ||||||
1 Month USD LIBOR + 2.25%, 2.35%, 3/24/25 (d) | 973 | 968 | ||||
Medallion Midland Acquisition LLC, | ||||||
2021 Term Loan | ||||||
1 Month USD LIBOR + 3.75%, 4.50%, 10/18/28 (d) | 784 | 781 | ||||
Scientific Games International, Inc., | ||||||
2018 Term Loan B5 | ||||||
1 Month USD LIBOR + 2.75%, 2.85%, 8/14/24 (d) | 990 | 988 | ||||
Surf Holdings LLC, | ||||||
USD Term Loan | ||||||
3 Month USD LIBOR + 3.50%, 3.69%, 3/5/27 (d) | 739 | 734 | ||||
Surgery Center Holdings, Inc., | ||||||
2021 Term Loan | ||||||
1 Month USD LIBOR + 3.75%, 4.50%, 8/31/26 (d) | 980 | 981 | ||||
TransDigm, Inc., | ||||||
2020 Term Loan F | ||||||
1 Month USD LIBOR + 2.25%, 2.35%, 12/9/25 (d) | 990 | 978 | ||||
Univision Communications Inc., | ||||||
2021 First Lien Term Loan B | ||||||
1 Month USD LIBOR + 3.25%, 4.00%, 3/15/26 (d) | 900 | 903 | ||||
US Foods, Inc., | ||||||
2019 Term Loan B | ||||||
1 Month USD LIBOR + 2.00%, 2.10%, 9/13/26 (d) | 990 | 980 | ||||
Verifone Systems, Inc., | ||||||
2018 1st Lien Term Loan | ||||||
3 Month USD LIBOR + 4.00%, 4.18%, 8/20/25 (d) | 980 | 964 | ||||
Virgin Media Bristol LLC, | ||||||
USD Term Loan N | ||||||
3 Month USD LIBOR + 2.50%, 2.61%, 1/31/28 (d) | 1,000 | 992 | ||||
Ziggo Financing Partnership, | ||||||
USD Term Loan I | ||||||
3 Month USD LIBOR + 2.50%, 2.61%, 4/30/28 (d) | 1,500 | 1,486 | ||||
23,703 | ||||||
Total Fixed Income Securities (Cost $932,963) | 935,646 |
Shares | ||||||
Short-Term Investments (11.7%) | ||||||
Investment Company (9.1%) | ||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (i) (Cost $85,735) | 85,734,866 | 85,735 | ||||
Security held as Collateral on Loaned Securities (0.6%) | ||||||
Investment Company (0.6%) | ||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (i) (Cost $6,090) | 6,089,848 | 6,090 |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Face Amount (000) | ||||||||
U.S. Treasury Securities (2.0%) | ||||||||
U.S. Treasury Bill, | ||||||||
0.06%, 7/14/22 (j) | $ | 2,518 | 2,516 | |||||
U.S. Treasury Notes, | ||||||||
1.50%, 9/15/22 | 10,000 | 10,086 | ||||||
1.88%, 8/31/22 | 5,818 | 5,879 | ||||||
Total U.S. Treasury Securities (Cost $18,501) | 18,481 | |||||||
Total Short-Term Investments (Cost $110,326) | 110,306 | |||||||
Total Investments (110.7%) (Cost $1,043,289) Including $7,461 of Securities Loaned (k)(l)(m) | 1,045,952 | |||||||
Liabilities in Excess of Other Assets (-10.7%) | (100,785 | ) | ||||||
Net Assets (100.0%) | $ | 945,167 |
(a) | Amount is less than 0.05%. |
(b) | Security is subject to delayed delivery. |
(c) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
(d) | Floating or variable rate securities: The rates disclosed are as of December 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. |
(e) | Inverse Floating Rate Security - Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at December 31, 2021. |
(f) | All or a portion of this security was on loan. The value of loaned securities and related collateral outstanding at December 31, 2021, were approximately $7,461,000 and $7,622,000, respectively. The Fund received cash collateral of approximately $6,090,000 and Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class as reported in the Portfolio of Investments. The remaining collateral of approximately $1,532,000 was received in the form of U.S. Government obligations, which the Fund cannot sell or re-pledge and accordingly are not reflected in the Portfolio of Investments. The Fund has the right under the securities lending agreement to recover the securities from the borrower on demand. |
(g) | 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 December 31, 2021. |
(h) | Multi-step — Coupon rate changes in predetermined increments to maturity. Rate disclosed is as of December 31, 2021. Maturity date disclosed is the ultimate maturity date. |
(i) | 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, both directly and as a portion of the securities held as collateral on loaned securities. 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 December 31, 2021, advisory fees paid were reduced by approximately $9,000 relating to the Fund's investment in the Liquidity Funds. |
(j) | Rate shown is the yield to maturity at December 31, 2021. |
(k) | Securities are available for collateral in connection with securities purchased on a forward commitment basis, open foreign currency 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 December 31, 2021, the Fund did not engage in any cross-trade transactions. |
(m) | At December 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $16,047,000 and the aggregate gross unrealized depreciation is approximately $12,390,000, resulting in net unrealized appreciation of approximately $3,657,000. |
@ | Value is less than $500. |
CLO | Collateralized Loan Obligation. |
EURIBOR | Euro Interbank Offered Rate. |
IO | Interest Only. |
LIBOR | London Interbank Offered Rate. |
MTN | Medium Term Note. |
PAC | Planned Amortization Class. |
REMIC | Real Estate Mortgage Investment Conduit. |
SOFR | Secured Overnight Financing Rate. |
SONIA | Sterling Overnight Index Average |
STRIPS | Separate Trading of Registered Interest and Principal of Securities. |
TBA | To Be Announced. |
USD | United States Dollar. |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Foreign Currency Forward Exchange Contracts:
The Fund had the following foreign currency forward exchange contracts open at December 31, 2021:
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Delivery Date | Unrealized Appreciation (Depreciation) (000) | ||||||||||
Bank of America NA | CNY | 1,734 | $ | 270 | 2/18/22 | $ | (1 | ) | ||||||
Bank of America NA | CNY | 43,207 | $ | 6,743 | 2/18/22 | (12 | ) | |||||||
Bank of America NA | GBP | 2,750 | $ | 3,646 | 2/18/22 | (76 | ) | |||||||
Bank of America NA | $ | 296 | ZAR | 4,781 | 2/18/22 | 2 | ||||||||
Barclays Bank PLC | GBP | 13,258 | $ | 17,839 | 2/18/22 | (103 | ) | |||||||
Barclays Bank PLC | $ | 68 | EUR | 61 | 2/18/22 | 1 | ||||||||
Barclays Bank PLC | $ | 41 | GBP | 31 | 2/18/22 | 1 | ||||||||
Barclays Bank PLC | $ | 50 | GBP | 38 | 2/18/22 | 1 | ||||||||
BNP Paribas SA | EUR | 26,121 | $ | 29,777 | 2/18/22 | 11 | ||||||||
BNP Paribas SA | GBP | —@ | $ | —@ | 2/18/22 | (—@ | ) | |||||||
BNP Paribas SA | $ | 2,650 | CNY | 17,030 | 2/18/22 | 13 | ||||||||
BNP Paribas SA | $ | 2,410 | PLN | 9,868 | 2/18/22 | 31 | ||||||||
Citibank NA | $ | 373 | EGP | 6,009 | 2/17/22 | 5 | ||||||||
Citibank NA | $ | 20 | HUF | 6,488 | 2/18/22 | (—@ | ) | |||||||
Goldman Sachs International | SEK | 21,650 | $ | 2,396 | 2/18/22 | (—@ | ) | |||||||
Goldman Sachs International | $ | 2,392 | CZK | 53,895 | 2/18/22 | 64 | ||||||||
JPMorgan Chase Bank NA | EUR | 3,723 | $ | 4,224 | 2/18/22 | (18) | ||||||||
JPMorgan Chase Bank NA | $ | 25 | CAD | 32 | 2/18/22 | —@ | ||||||||
JPMorgan Chase Bank NA | $ | 2,384 | HUF | 767,752 | 2/18/22 | (27 | ) | |||||||
JPMorgan Chase Bank NA | $ | 876 | MXN | 18,237 | 2/18/22 | 8 | ||||||||
JPMorgan Chase Bank NA | $ | 2,457 | RUB | 181,585 | 2/18/22 | (59 | ) | |||||||
JPMorgan Chase Bank NA | ZAR | 7,897 | $ | 514 | 2/18/22 | 21 | ||||||||
State Street Bank and Trust Co. | $ | 2,372 | JPY | 270,165 | 2/18/22 | (22 | ) | |||||||
UBS AG | AUD | 11,509 | $ | 8,441 | 2/18/22 | 67 | ||||||||
UBS AG | CAD | 1,887 | $ | 1,503 | 2/18/22 | 11 | ||||||||
UBS AG | $ | 19 | CHF | 17 | 2/18/22 | —@ | ||||||||
UBS AG | $ | 292 | MXN | 6,328 | 2/18/22 | 14 | ||||||||
UBS AG | $ | 139 | MXN | 2,919 | 2/18/22 | 2 | ||||||||
$ | (66 | ) |
Morgan Stanley Institutional Fund Trust
Core Plus Fixed Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Futures Contracts:
The Fund had the following futures contracts open at December 31, 2021:
Number of Contracts | Expiration Date | Notional Amount (000) | Value (000) | Unrealized Appreciation (Depreciation) (000) | ||||||||||||||
Long: | ||||||||||||||||||
U.S. Treasury 2 yr. Note | 480 | Mar-22 | $ | 96,000 | $ | 104,723 | $ | (93 | ) | |||||||||
U.S. Treasury 5 yr. Note | 257 | Mar-22 | 25,700 | 31,091 | 28 | |||||||||||||
U.S. Treasury Long Bond | 254 | Mar-22 | 25,400 | 40,751 | 465 | |||||||||||||
U.S. Treasury Ultra Bond | 247 | Mar-22 | 24,700 | 48,690 | 811 | |||||||||||||
Short: | ||||||||||||||||||
German Euro OAT | 31 | Mar-22 | EUR | (3,100 | ) | (5,758 | ) | 69 | ||||||||||
German Euro 30 yr. Bond | 4 | Mar-22 | (400 | ) | (942 | ) | 30 | |||||||||||
German Euro BTP | 30 | Mar-22 | (3,000 | ) | (5,021 | ) | 66 | |||||||||||
German Euro Bund | 15 | Mar-22 | (1,500 | ) | (2,927 | ) | 52 | |||||||||||
U.S. Treasury Ultra Long Bond | 156 | Mar-22 | $ | (15,600 | ) | (22,844 | ) | (326 | ) | |||||||||
U.S. Treasury10 yr. Note | 41 | Mar-22 | (4,100 | ) | (5,349 | ) | (42 | ) | ||||||||||
$ | 1,060 |
@ | Value is less than $500. | |
OAT | Obligations Assimilables du Trésor (Treasury Obligation). | |
AUD | — | Australian Dollar |
CAD | — | Canadian Dollar |
CHF | — | Swiss Franc |
CNY | — | Chinese Yuan Renminbi |
CZK | — | Czech Koruna |
EGP | — | Egyptian Pound |
EUR | — | Euro |
GBP | — | British Pound |
HUF | — | Hungarian Forint |
JPY | — | Japanese Yen |
MXN | — | Mexican Peso |
PLN | — | Polish Zloty |
RUB | — | Russian Ruble |
SEK | — | Swedish Krona |
USD | — | United States Dollar |
ZAR | — | South African Rand |
Portfolio Composition* | ||||
Classification | Percentage of Total Investments | |||
Industrials | 18.6 | % | ||
Mortgages - Other | 17.7 | |||
Agency Fixed Rate Mortgages | 14.1 | |||
Asset-Backed Securities | 11.4 | |||
Short-Term Investments | 10.0 | |||
Finance | 9.9 | |||
Other** | 6.9 | |||
Commercial Mortgage-Backed Securities | 6.1 | |||
Sovereign | 5.3 | |||
Total Investments | 100.0 | %*** |
* | Percentages indicated are based upon total investments (excluding Securities held as Collateral on Loaned Securities) as of December 31, 2021. |
** | Industries and/or investment types representing less than 5% of total investments. |
*** | Does not include open long/short futures contracts with a value of approximately $268,096,000 and net unrealized appreciation of approximately $1,060,000. Does not include open foreign currency forward exchange contracts with net unrealized depreciation of approximately $66,000. |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)
Face Amount (000) | Value (000) | |||||||
Fixed Income Securities (97.5%) | ||||||||
Corporate Bonds (97.5%) | ||||||||
Finance (31.5%) | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||
3.00%, 10/29/28 | $ | 675 | $ | 685 | ||||
Aflac, Inc. | ||||||||
4.75%, 1/15/49 | 150 | 199 | ||||||
American International Group, Inc. | ||||||||
3.88%, 1/15/35 | 350 | 388 | ||||||
Anthem, Inc. | ||||||||
2.25%, 5/15/30 | 350 | 349 | ||||||
AON Corp./AON Global Holdings PLC | ||||||||
2.60%, 12/2/31 | 625 | 637 | ||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
2.57%, 11/25/35 (a) | 300 | 288 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
2.88%, 2/15/25 (a) | 550 | 562 | ||||||
Banco de Credito del Peru | ||||||||
2.70%, 1/11/25 (a) | 325 | 331 | ||||||
Banco de Credito e Inversiones SA | ||||||||
2.88%, 10/14/31 (a) | 200 | 197 | ||||||
Banco Santander Chile | ||||||||
2.70%, 1/10/25 (a) | 425 | 435 | ||||||
Banco Santander SA | ||||||||
1.72%, 9/14/27 | 800 | 786 | ||||||
Bank Hapoalim BM | ||||||||
3.26%, 1/21/32 (a) | 800 | 796 | ||||||
Bank of America Corp., | ||||||||
2.57%, 10/20/32 | 425 | 427 | ||||||
2.68%, 6/19/41 | 1,700 | 1,639 | ||||||
2.69%, 4/22/32 | 1,450 | 1,473 | ||||||
6.11%, 1/29/37 | 200 | 269 | ||||||
Bank of Ireland Group PLC | ||||||||
2.03%, 9/30/27 (a) | 1,450 | 1,426 | ||||||
Barclays PLC | ||||||||
3.93%, 5/7/25 | 1,200 | 1,263 | ||||||
Belrose Funding Trust | ||||||||
2.33%, 8/15/30 (a) | 475 | 466 | ||||||
BNP Paribas SA | ||||||||
4.40%, 8/14/28 (a) | 850 | 953 | ||||||
Boston Properties LP | ||||||||
2.45%, 10/1/33 | 275 | 267 | ||||||
BPCE SA, | ||||||||
1.65%, 10/6/26 (a) | 625 | 617 | ||||||
3.12%, 10/19/32 (a) | 375 | 377 | ||||||
5.15%, 7/21/24 (a) | 1,025 | 1,111 | ||||||
Brown & Brown, Inc. | ||||||||
2.38%, 3/15/31 | 1,000 | 975 | ||||||
Citigroup, Inc. | ||||||||
2.52%, 11/3/32 | 1,825 | 1,825 | ||||||
CNO Global Funding | ||||||||
1.75%, 10/7/26 (a) | 400 | 395 | ||||||
Coinbase Global, Inc. | ||||||||
3.38%, 10/1/28 (a)(b) | 190 | 178 | ||||||
Commerzbank AG | ||||||||
8.13%, 9/19/23 (a) | 550 | 606 | ||||||
Commonwealth Bank of Australia | ||||||||
3.31%, 3/11/41 (a) | 725 | 740 |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Credit Agricole SA | ||||||||
4.13%, 1/10/27 (a) | 250 | 275 | ||||||
CubeSmart LP | ||||||||
2.25%, 12/15/28 | 900 | 901 | ||||||
Deutsche Bank AG | ||||||||
3.70%, 5/30/24 | 100 | 105 | ||||||
Digital Realty Trust LP | ||||||||
4.45%, 7/15/28 (b) | 475 | 536 | ||||||
Equitable Financial Life Global Funding, | ||||||||
1.40%, 8/27/27 (a)(b) | 375 | 364 | ||||||
1.75%, 11/15/30 (a) | 725 | 695 | ||||||
Federal Realty Investment Trust | ||||||||
3.63%, 8/1/46 | 225 | 240 | ||||||
Global Atlantic Fin Co., | ||||||||
4.40%, 10/15/29 (a) | 1,775 | 1,913 | ||||||
4.70%, 10/15/51 (a) | 420 | 426 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
2.65%, 10/21/32 | 2,050 | 2,065 | ||||||
MTN | ||||||||
4.80%, 7/8/44 | 275 | 352 | ||||||
Grupo Aval Ltd. | ||||||||
4.38%, 2/4/30 (a) | 625 | 600 | ||||||
High Street Funding Trust I | ||||||||
4.11%, 2/15/28 (a)(b) | 850 | 948 | ||||||
HSBC Holdings PLC, | ||||||||
1.59%, 5/24/27 | 850 | 832 | ||||||
3.97%, 5/22/30 | 325 | 353 | ||||||
4.38%, 11/23/26 | 625 | 686 | ||||||
Intercontinental Exchange, Inc. | ||||||||
1.85%, 9/15/32 | 500 | 480 | ||||||
Itau Unibanco Holding SA | ||||||||
2.90%, 1/24/23 (a) | 850 | 860 | ||||||
JPMorgan Chase & Co., | ||||||||
2.55%, 11/8/32 | 3,375 | 3,398 | ||||||
3.16%, 4/22/42 | 525 | 549 | ||||||
JPMorgan Chase Bank NA | ||||||||
0.00%, 8/7/22 | 200 | 226 | ||||||
Kimco Realty Corp. | ||||||||
3.70%, 10/1/49 | 275 | 294 | ||||||
KKR Group Finance Co. X LLC | ||||||||
3.25%, 12/15/51 (a) | 525 | 525 | ||||||
LeasePlan Corp. N.V. | ||||||||
2.88%, 10/24/24 (a) | 675 | 696 | ||||||
Life Storage LP | ||||||||
2.40%, 10/15/31 | 625 | 615 | ||||||
Lloyds Banking Group PLC | ||||||||
3.57%, 11/7/28 | 700 | 748 | ||||||
Macquarie Group Ltd. | ||||||||
2.87%, 1/14/33 (a) | 575 | 574 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||
5.88%, 8/1/33 | 675 | 898 | ||||||
MDGH GMTN (RSC) Ltd. | ||||||||
4.50%, 11/7/28 (a) | 425 | 491 | ||||||
National Australia Bank Ltd. | ||||||||
2.33%, 8/21/30 (a) | 850 | 815 | ||||||
Nationwide Building Society | ||||||||
4.30%, 3/8/29 (a) | 275 | 303 | ||||||
Oversea-Chinese Banking Corp. Ltd. | ||||||||
1.83%, 9/10/30 (a) | 390 | 387 | ||||||
Pine Street Trust I | ||||||||
4.57%, 2/15/29 (a) | 375 | 424 |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Rexford Industrial Realty LP | ||||||||
2.13%, 12/1/30 | 750 | 713 | ||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc. | ||||||||
3.88%, 3/1/31 (a) | 290 | 295 | ||||||
Sabra Health Care LP | ||||||||
3.20%, 12/1/31 | 950 | 929 | ||||||
Santander UK Group Holdings PLC | ||||||||
4.80%, 11/15/24 | 575 | 611 | ||||||
Shinhan Bank Co., Ltd. | ||||||||
4.00%, 4/23/29 (a) | 600 | 663 | ||||||
Shinhan Financial Group Co. Ltd. | ||||||||
1.35%, 1/10/26 (a) | 460 | 454 | ||||||
Societe Generale SA, | ||||||||
2.63%, 1/22/25 (a) | 625 | 641 | ||||||
2.89%, 6/9/32 (a) | 200 | 200 | ||||||
Standard Chartered PLC | ||||||||
0.99%, 1/12/25 (a) | 1,350 | 1,336 | ||||||
Stewart Information Services Corp. | ||||||||
3.60%, 11/15/31 | 375 | 380 | ||||||
SVB Financial Group, | ||||||||
1.80%, 2/2/31 | 1,475 | 1,400 | ||||||
4.10%, 12/31/99 (c) | 190 | 189 | ||||||
UnitedHealth Group, Inc. | ||||||||
3.25%, 5/15/51 | 350 | 379 | ||||||
Wells Fargo & Co., | ||||||||
2.88%, 10/30/30 | 1,550 | 1,613 | ||||||
3.07%, 4/30/41 | 525 | 540 | ||||||
Westpac Banking Corp. | ||||||||
2.67%, 11/15/35 | 225 | 219 | ||||||
54,796 | ||||||||
Industrials (56.7%) | ||||||||
7-Eleven, Inc., | ||||||||
2.50%, 2/10/41 (a) | 450 | 416 | ||||||
2.80%, 2/10/51 (a) | 150 | 139 | ||||||
AbbVie, Inc., | ||||||||
4.05%, 11/21/39 | 550 | 632 | ||||||
4.25%, 11/21/49 | 350 | 422 | ||||||
Activision Blizzard, Inc. | ||||||||
2.50%, 9/15/50 | 425 | 373 | ||||||
Agilent Technologies, Inc. | ||||||||
2.30%, 3/12/31 | 500 | 496 | ||||||
Airbnb, Inc. | ||||||||
0.00%, 3/15/26 (a) | 265 | 260 | ||||||
Alaska Airlines 2020-1 Class A Pass Through Trust | ||||||||
4.80%, 2/15/29 (a) | 300 | 328 | ||||||
Alibaba Group Holding Ltd. | ||||||||
2.70%, 2/9/41 | 240 | 219 | ||||||
Alphabet, Inc. | ||||||||
1.90%, 8/15/40 | 275 | 251 | ||||||
Altria Group, Inc. | ||||||||
3.40%, 2/4/41 | 750 | 693 | ||||||
Amazon.com, Inc., | ||||||||
2.50%, 6/3/50 | 450 | 430 | ||||||
2.70%, 6/3/60 | 750 | 725 | ||||||
American Airlines Inc/AAdvantage Loyalty IP Ltd. | ||||||||
5.75%, 4/20/29 (a) | 290 | 310 | ||||||
Amgen, Inc. | ||||||||
2.80%, 8/15/41 | 375 | 361 |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
4.35%, 6/1/40 | 325 | 383 | ||||||
4.38%, 4/15/38 | 300 | 352 | ||||||
4.60%, 4/15/48 | 1,175 | 1,440 | ||||||
Apple, Inc., | ||||||||
2.38%, 2/8/41 | 625 | 608 | ||||||
2.65%, 5/11/50 | 625 | 616 | ||||||
2.70%, 8/5/51 | 600 | 595 | ||||||
AT&T, Inc., | ||||||||
2.55%, 12/1/33 | 1,125 | 1,102 | ||||||
3.55%, 9/15/55 | 1,702 | 1,711 | ||||||
Baidu, Inc. | ||||||||
1.72%, 4/9/26 | 450 | 445 | ||||||
BAT Capital Corp., | ||||||||
2.73%, 3/25/31 | 625 | 607 | ||||||
3.56%, 8/15/27 | 675 | 708 | ||||||
3.73%, 9/25/40 | 250 | 241 | ||||||
Berry Global, Inc. | ||||||||
4.88%, 7/15/26 (a) | 413 | 428 | ||||||
Boeing Co. (The), | ||||||||
1.17%, 2/4/23 | 250 | 250 | ||||||
2.95%, 2/1/30 | 825 | 841 | ||||||
3.25%, 2/1/35 | 250 | 252 | ||||||
3.95%, 8/1/59 | 225 | 234 | ||||||
5.15%, 5/1/30 | 500 | 583 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.38%, 2/8/61 | 200 | 206 | ||||||
BP Capital Markets PLC, | ||||||||
Series BP | ||||||||
1.00%, 4/28/23 (Convertible) | GBP | 300 | 415 | |||||
4.38%, 6/22/25 (c) | $ | 500 | 524 | |||||
4.88%, 3/22/30 (c) | 775 | 839 | ||||||
Braskem Netherlands Finance BV | ||||||||
4.50%, 1/31/30 (a) | 340 | 362 | ||||||
Bristol-Myers Squibb Co. | ||||||||
2.55%, 11/13/50 | 200 | 190 | ||||||
Broadcom, Inc., | ||||||||
2.45%, 2/15/31 (a) | 275 | 270 | ||||||
3.19%, 11/15/36 (a) | 375 | 375 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
3.30%, 9/15/51 | 650 | 707 | ||||||
Canadian Pacific Railway Co. | ||||||||
3.10%, 12/2/51 | 350 | 361 | ||||||
Caterpillar, Inc. | ||||||||
3.25%, 9/19/49 | 225 | 247 | ||||||
CDW LLC/CDW Finance Corp. | ||||||||
2.67%, 12/1/26 | 250 | 257 | ||||||
Cedars-Sinai Health System, | ||||||||
Series 2021 | ||||||||
2.29%, 8/15/31 | 270 | 270 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, | ||||||||
2.80%, 4/1/31 | 275 | 272 | ||||||
3.50%, 3/1/42 | 1,225 | 1,190 | ||||||
5.13%, 7/1/49 | 450 | 523 | ||||||
Chemours Co. (The) | ||||||||
4.63%, 11/15/29 (a) | 520 | 517 | ||||||
Cigna Corp. | ||||||||
2.38%, 3/15/31 | 350 | 352 | ||||||
Comcast Corp., | ||||||||
1.95%, 1/15/31 | 800 | 785 | ||||||
2.94%, 11/1/56 (a) | 850 | 812 | ||||||
3.75%, 4/1/40 | 425 | 477 |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Continental Resources, Inc., | ||||||||
2.27%, 11/15/26 (a) | 325 | 323 | ||||||
2.88%, 4/1/32 (a) | 700 | 686 | ||||||
Coterra Energy, Inc. | ||||||||
3.90%, 5/15/27 (a) | 475 | 511 | ||||||
CVS Health Corp., | ||||||||
1.88%, 2/28/31 | 1,525 | 1,465 | ||||||
5.13%, 7/20/45 | 75 | 98 | ||||||
Daimler Finance North America LLC | ||||||||
3.30%, 5/19/25 (a) | 575 | 607 | ||||||
Daimler Trucks Finance North America LLC | ||||||||
2.00%, 12/14/26 (a) | 450 | 452 | ||||||
Dell International LLC/EMC Corp., | ||||||||
3.45%, 12/15/51 (a) | 300 | 288 | ||||||
6.02%, 6/15/26 | 975 | 1,128 | ||||||
Delta Air Lines Pass Through Trust, | ||||||||
Series AA | ||||||||
3.20%, 10/25/25 | 450 | 466 | ||||||
Delta Air Lines, Inc. | ||||||||
3.63%, 3/15/22 | 475 | 475 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. | ||||||||
6.63%, 8/15/27 (a) | 200 | 56 | ||||||
Diamondback Energy, Inc., | ||||||||
3.13%, 3/24/31 | 600 | 619 | ||||||
3.25%, 12/1/26 | 800 | 844 | ||||||
Dollar General Corp. | ||||||||
4.13%, 4/3/50 | 175 | 202 | ||||||
DT Midstream, Inc. | ||||||||
4.13%, 6/15/29 (a) | 190 | 195 | ||||||
DuPont de Nemours, Inc. | ||||||||
5.32%, 11/15/38 | 225 | 290 | ||||||
DXC Technology Co. | ||||||||
1.80%, 9/15/26 | 950 | 940 | ||||||
Embraer Netherlands Finance BV | ||||||||
5.40%, 2/1/27 | 330 | 344 | ||||||
Enbridge, Inc. | ||||||||
2.50%, 8/1/33 | 775 | 762 | ||||||
Energy Transfer LP, | ||||||||
3.90%, 7/15/26 | 275 | 296 | ||||||
4.00%, 10/1/27 | 750 | 806 | ||||||
4.75%, 1/15/26 | 250 | 274 | ||||||
5.00%, 5/15/50 | 125 | 144 | ||||||
5.40%, 10/1/47 | 100 | 118 | ||||||
Enterprise Products Operating LLC | ||||||||
3.30%, 2/15/53 | 625 | 623 | ||||||
Equinix, Inc., | ||||||||
1.55%, 3/15/28 | 600 | 578 | ||||||
2.95%, 9/15/51 | 475 | 450 | ||||||
Equinor ASA | ||||||||
3.25%, 11/18/49 | 150 | 159 | ||||||
Expedia Group, Inc. | ||||||||
0.00%, 2/15/26 (a)(b) | 225 | 260 | ||||||
Exxon Mobil Corp. | ||||||||
3.45%, 4/15/51 | 775 | 841 | ||||||
Ford Motor Credit Co., LLC, | ||||||||
4.39%, 1/8/26 | 725 | 782 | ||||||
Fox Corp. | ||||||||
5.48%, 1/25/39 | 475 | 614 | ||||||
Galaxy Pipeline Assets Bidco Ltd. | ||||||||
1.75%, 9/30/27 (a) | 1,321 | 1,325 |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
GE Capital International Funding Co., Unlimited Co. | |||||||||||
4.42%, 11/15/35 | 263 | 314 | |||||||||
General Motors Co., | |||||||||||
6.60%, 4/1/36 | 325 | 440 | |||||||||
6.75%, 4/1/46 | 150 | 215 | |||||||||
General Motors Financial Co., Inc., | |||||||||||
3.85%, 1/5/28 | 475 | 512 | |||||||||
4.35%, 1/17/27 | 175 | 193 | |||||||||
Georgia-Pacific LLC | |||||||||||
2.30%, 4/30/30 (a) | 850 | 852 | |||||||||
Gilead Sciences, Inc. | |||||||||||
2.80%, 10/1/50 | 225 | 219 | |||||||||
Glencore Funding LLC, | |||||||||||
2.50%, 9/1/30 (a) | 600 | 582 | |||||||||
4.13%, 3/12/24 (a) | 775 | 815 | |||||||||
GLP Capital LP/GLP Financing II, Inc., | |||||||||||
3.25%, 1/15/32 | 175 | 176 | |||||||||
4.00%, 1/15/30 | 350 | 371 | |||||||||
Grifols SA | |||||||||||
2.25%, 11/15/27 (a) | EUR | 200 | 228 | ||||||||
HCA, Inc. | |||||||||||
3.50%, 7/15/51 | $ | 125 | 128 | ||||||||
HollyFrontier Corp., | |||||||||||
4.50%, 10/1/30 | 375 | 404 | |||||||||
5.88%, 4/1/26 | 500 | 561 | |||||||||
Home Depot, Inc. (The) | |||||||||||
2.38%, 3/15/51 | 425 | 392 | |||||||||
Hyatt Hotels Corp. | |||||||||||
1.80%, 10/1/24 | 425 | 425 | |||||||||
Hyundai Capital America, | |||||||||||
1.00%, 9/17/24 (a) | 450 | 442 | |||||||||
3.00%, 2/10/27 (a) | 1,375 | 1,424 | |||||||||
Imperial Brands Finance PLC | |||||||||||
3.13%, 7/26/24 (a) | 1,000 | 1,034 | |||||||||
Intel Corp., | |||||||||||
2.80%, 8/12/41 | 375 | 375 | |||||||||
3.05%, 8/12/51 | 150 | 154 | |||||||||
International Business Machines Corp. | |||||||||||
2.85%, 5/15/40 | 375 | 369 | |||||||||
JBS Finance Luxembourg Sarl | |||||||||||
2.50%, 1/15/27 (a) | 550 | 544 | |||||||||
JDE Peet's | |||||||||||
1.38%, 1/15/27 (a) | 600 | 580 | |||||||||
JetBlue Pass Through Trust, | |||||||||||
Series AA | |||||||||||
2.75%, 11/15/33 | 457 | 462 | |||||||||
Johnson Controls International PLC/Tyco Fire & Security Finance SCA | |||||||||||
2.00%, 9/16/31 | 300 | 291 | |||||||||
Kimberly-Clark de Mexico SAB de CV | |||||||||||
2.43%, 7/1/31 (a) | 275 | 272 | |||||||||
Kinder Morgan, Inc. | |||||||||||
3.60%, 2/15/51 | 200 | 202 | |||||||||
Las Vegas Sands Corp. | |||||||||||
3.20%, 8/8/24 | 925 | 942 | |||||||||
Level 3 Financing, Inc. | |||||||||||
3.40%, 3/1/27 (a) | 625 | 646 | |||||||||
Marathon Petroleum Corp. | |||||||||||
4.70%, 5/1/25 | 1,025 | 1,119 | |||||||||
Marriott International, Inc., | |||||||||||
Series HH | |||||||||||
2.85%, 4/15/31 | 400 | 399 |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Series GG | |||||||||||
3.50%, 10/15/32 | 650 | 682 | |||||||||
McDonald's Corp. | |||||||||||
4.45%, 9/1/48 | 625 | 771 | |||||||||
Micron Technology, Inc. | |||||||||||
2.70%, 4/15/32 | 925 | 928 | |||||||||
Microsoft Corp. | |||||||||||
2.53%, 6/1/50 | 525 | 513 | |||||||||
Minsur SA | |||||||||||
4.50%, 10/28/31 (a)(b) | 200 | 205 | |||||||||
MPLX LP | |||||||||||
5.20%, 12/1/47 | 100 | 122 | |||||||||
NBN Co. Ltd., | |||||||||||
2.50%, 1/8/32 (a) | 800 | 796 | |||||||||
2.63%, 5/5/31 (a) | 900 | 905 | |||||||||
Newcastle Coal Infrastructure Group Pty Ltd. | |||||||||||
4.40%, 9/29/27 (a) | 1,125 | 1,123 | |||||||||
Newmont Corp. | |||||||||||
2.60%, 7/15/32 | 550 | 552 | |||||||||
Nissan Motor Co. Ltd. | |||||||||||
3.04%, 9/15/23 (a) | 1,000 | 1,026 | |||||||||
NOVA Chemicals Corp. | |||||||||||
4.88%, 6/1/24 (a) | 300 | 310 | |||||||||
NTT Finance Corp. | |||||||||||
1.59%, 4/3/28 (a) | 1,000 | 978 | |||||||||
NVIDIA Corp. | |||||||||||
3.50%, 4/1/50 | 150 | 171 | |||||||||
Occidental Petroleum Corp. | |||||||||||
3.50%, 8/15/29 | 200 | 206 | |||||||||
ONEOK, Inc. | |||||||||||
3.10%, 3/15/30 | 1,150 | 1,173 | |||||||||
Ooredoo International Finance Ltd. | |||||||||||
2.63%, 4/8/31 (a) | 520 | 523 | |||||||||
Oracle Corp., | |||||||||||
3.60%, 4/1/50 | 525 | 515 | |||||||||
3.65%, 3/25/41 | 525 | 532 | |||||||||
PayPal Holdings, Inc. | |||||||||||
2.30%, 6/1/30 | 759 | 772 | |||||||||
Peloton Interactive, Inc. | |||||||||||
0.00%, 2/15/26 (a) | 415 | 354 | |||||||||
Pioneer Natural Resources Co. | |||||||||||
1.90%, 8/15/30 | 400 | 380 | |||||||||
POSCO | |||||||||||
4.00%, 8/1/23 (a) | 475 | 495 | |||||||||
Prosus N.V. | |||||||||||
3.68%, 1/21/30 (a) | 775 | 798 | |||||||||
Pure Storage, Inc. | |||||||||||
0.13%, 4/15/23 | 310 | 415 | |||||||||
Q-Park Holding I BV | |||||||||||
1.50%, 3/1/25 (a) | EUR | 150 | 165 | ||||||||
Republic Services, Inc. | |||||||||||
2.38%, 3/15/33 | $ | 375 | 374 | ||||||||
Resorts World Las Vegas LLC/RWLV Capital, Inc. | |||||||||||
4.63%, 4/16/29 (a) | 500 | 504 | |||||||||
RingCentral, Inc. | |||||||||||
0.00%, 3/15/26 | 255 | 227 | |||||||||
Rockies Express Pipeline LLC | |||||||||||
3.60%, 5/15/25 (a) | 400 | 412 | |||||||||
Royalty Pharma PLC, | |||||||||||
2.15%, 9/2/31 | 375 | 355 | |||||||||
3.55%, 9/2/50 | 350 | 348 |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Sabine Pass Liquefaction LLC | |||||||||||
4.50%, 5/15/30 | 825 | 931 | |||||||||
Saudi Arabian Oil Co., | |||||||||||
2.25%, 11/24/30 (a) | 570 | 556 | |||||||||
3.50%, 4/16/29 (a) | 500 | 535 | |||||||||
SBA Communications Corp. | |||||||||||
3.13%, 2/1/29 (a) | 320 | 308 | |||||||||
Sealed Air Corp. | |||||||||||
1.57%, 10/15/26 (a) | 300 | 291 | |||||||||
Shell International Finance BV | |||||||||||
3.13%, 11/7/49 | 175 | 181 | |||||||||
Sherwin-Williams Co. (The) | |||||||||||
2.30%, 5/15/30 | 200 | 200 | |||||||||
Sigma Alimentos SA de CV | |||||||||||
4.13%, 5/2/26 | 225 | 239 | |||||||||
Silgan Holdings, Inc. | |||||||||||
1.40%, 4/1/26 (a) | 850 | 830 | |||||||||
Sirius XM Radio, Inc. | |||||||||||
4.00%, 7/15/28 (a) | 290 | 292 | |||||||||
Smithfield Foods, Inc. | |||||||||||
3.00%, 10/15/30 (a) | 625 | 623 | |||||||||
Sodexo, Inc. | |||||||||||
2.72%, 4/16/31 (a)(b) | 975 | 996 | |||||||||
Spectra Energy Partners LP | |||||||||||
4.50%, 3/15/45 | 150 | 174 | |||||||||
Spotify USA, Inc. | |||||||||||
0.00%, 3/15/26 (a) | 425 | 385 | |||||||||
Standard Industries, Inc. | |||||||||||
2.25%, 11/21/26 (a) | EUR | 100 | 112 | ||||||||
Stryker Corp. | |||||||||||
2.90%, 6/15/50 | $ | 325 | 327 | ||||||||
Syngenta Finance N.V. | |||||||||||
4.89%, 4/24/25 (a) | 300 | 322 | |||||||||
SYNNEX Corp. | |||||||||||
1.25%, 8/9/24 (a) | 450 | 445 | |||||||||
T-Mobile USA, Inc., | |||||||||||
2.25%, 11/15/31 (b) | 400 | 389 | |||||||||
3.60%, 11/15/60 | 650 | 646 | |||||||||
Tencent Holdings Ltd., | |||||||||||
2.39%, 6/3/30 (a) | 200 | 196 | |||||||||
3.60%, 1/19/28 (a) | 1,050 | 1,115 | |||||||||
Thermo Fisher Scientific, Inc. | |||||||||||
2.00%, 10/15/31 | 750 | 740 | |||||||||
Transcontinental Gas Pipe Line Co. LLC | |||||||||||
3.95%, 5/15/50 | 525 | 590 | |||||||||
Transportadora de Gas Internacional SA ESP | |||||||||||
5.55%, 11/1/28 (a) | 400 | 442 | |||||||||
Transurban Finance Co. Pty Ltd. | |||||||||||
2.45%, 3/16/31 (a) | 500 | 496 | |||||||||
Uber Technologies, Inc. | |||||||||||
0.00%, 12/15/25 | 290 | 286 | |||||||||
Valero Energy Corp. | |||||||||||
3.65%, 12/1/51 | 625 | 622 | |||||||||
Verizon Communications, Inc., | |||||||||||
1.75%, 1/20/31 | 700 | 663 | |||||||||
2.36%, 3/15/32 (a) | 250 | 247 | |||||||||
2.65%, 11/20/40 | 525 | 500 | |||||||||
2.99%, 10/30/56 | 1,032 | 979 | |||||||||
3.40%, 3/22/41 | 300 | 315 | |||||||||
Viatris, Inc. | |||||||||||
1.65%, 6/22/25 | 500 | 498 |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Visa, Inc. | ||||||||
2.70%, 4/15/40 | 225 | 230 | ||||||
Vontier Corp. | ||||||||
2.95%, 4/1/31 (a) | 725 | 719 | ||||||
Walt Disney Co. (The), | ||||||||
2.75%, 9/1/49 | 759 | 736 | ||||||
3.50%, 5/13/40 | 450 | 494 | ||||||
Western Digital Corp. | ||||||||
1.50%, 2/1/24 | 350 | 355 | ||||||
Williams Cos., Inc. (The) | ||||||||
3.50 %, 10/15/51 | 50 | 51 | ||||||
Ziff Davis, Inc. | ||||||||
1.75%, 11/1/26 (a) | 270 | 335 | ||||||
98,526 | ||||||||
Utilities (9.3%) | ||||||||
Ameren Illinois Co. | ||||||||
1.55%, 11/15/30 | 700 | 660 | ||||||
American Transmission Co. | ||||||||
2.65%, 1/15/32 (a) | 825 | 834 | ||||||
APT Pipelines Ltd. | ||||||||
4.20%, 3/23/25 (a) | 300 | 321 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
2.85%, 5/15/51 | 550 | 531 | ||||||
Cleveland Electric Illuminating Co. (The) | ||||||||
4.55%, 11/15/30 (a) | 250 | 288 | ||||||
Consorcio Transmantaro SA | ||||||||
4.70%, 4/16/34 (a) | 400 | 440 | ||||||
Consumers Energy Co., | ||||||||
2.50%, 5/1/60 | 325 | 287 | ||||||
3.50%, 8/1/51 | 175 | 197 | ||||||
Dominion Energy, Inc.,Series C | ||||||||
2.25%, 8/15/31 | 495 | 484 | ||||||
DTE Electric Co. | ||||||||
3.95%, 3/1/49 | 450 | 533 | ||||||
Duke Energy Corp. | ||||||||
4.20%, 6/15/49 | 425 | 490 | ||||||
Duke Energy Indiana LLC | ||||||||
2.75%, 4/1/50 | 380 | 371 | ||||||
Duke Energy Progress LLC | ||||||||
3.45%, 3/15/29 | 275 | 297 | ||||||
Entergy Texas, Inc. | ||||||||
3.55%, 9/30/49 | 200 | 212 | ||||||
Georgia Power Co., | ||||||||
Series A | ||||||||
3.25%, 3/15/51 | 425 | 427 | ||||||
Interstate Power and Light Co., | ||||||||
2.30%, 6/1/30 | 550 | 548 | ||||||
3.50%, 9/30/49 | 175 | 189 | ||||||
Jersey Central Power & Light Co. | ||||||||
2.75%, 3/1/32 (a) | 600 | 609 | ||||||
Mississippi Power Co. | ||||||||
3.95%, 3/30/28 | 575 | 631 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
2.75%, 11/1/29 | 1,025 | 1,054 | ||||||
3.00%, 1/15/52 | 200 | 200 | ||||||
Northern States Power Co. | ||||||||
2.90%, 3/1/50 | 475 | 481 |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
NRG Energy, Inc. | ||||||||
3.63%, 2/15/31 (a) | 300 | 293 | ||||||
Pacific Gas and Electric Co. | ||||||||
3.30%, 8/1/40 | 475 | 441 | ||||||
PacifiCorp | ||||||||
2.70%, 9/15/30 | 825 | 850 | ||||||
PECO Energy Co. | ||||||||
3.05%, 3/15/51 | 325 | 333 | ||||||
Piedmont Natural Gas Co., Inc. | ||||||||
2.50%, 3/15/31 | 475 | 475 | ||||||
Public Service Co. of Colorado, | ||||||||
Series 34 | ||||||||
3.20%, 3/1/50 | 275 | 287 | ||||||
Public Service Enterprise Group, Inc. | ||||||||
2.45%, 11/15/31 | 775 | 767 | ||||||
Southern California Edison Co. | ||||||||
4.00%, 4/1/47 | 250 | 276 | ||||||
Southern Co. (The) | ||||||||
4.40%, 7/1/46 | 475 | 558 | ||||||
Virginia Electric and Power Co., | ||||||||
2.45%, 12/15/50 | 275 | 254 | ||||||
Series A | ||||||||
2.88%, 7/15/29 | 825 | 867 | ||||||
2.95%, 11/15/51 | 175 | 176 | ||||||
Xcel Energy, Inc. | ||||||||
2.60%, 12/1/29 | 450 | 460 | ||||||
16,121 | ||||||||
Total Fixed Income Securities (Cost $167,732) | 169,443 | |||||||
Shares | ||||||||
Short-Term Investments (3.4%) | ||||||||
Investment Company (1.0%) | ||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (d) (Cost $1,688) | 1,687,610 | 1,688 | ||||||
Security held as Collateral on Loaned Securities (1.3%) | ||||||||
Investment Company (1.3%) | ||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (d) (Cost $2,234) | 2,234,375 | 2,234 | ||||||
Face Amount (000) | ||||||||
U.S. Treasury Security (1.1%) | ||||||||
U.S. Treasury Bill 0.06%, 7/14/22 (e)(f) (Cost $1,864) | $ | 1,865 | 1,863 | |||||
Total Short-Term Investments (Cost $5,786) | 5,785 | |||||||
Total Investments (100.9%) (Cost $173,518) Including $2,608 of Securities Loaned (g)(h)(i) | 175,228 | |||||||
Liabilities in Excess of Other Assets (–0.9%) | (1,560 | ) | ||||||
Net Assets (100.0%) | $ | 173,668 |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
(a) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
(b) | All or a portion of this security was on loan. The value of loaned securities and related collateral outstanding at December 31, 2021, were approximately $2,608,000 and $2,661,000, respectively. The received cash collateral of approximately $2,234,000, which approximately was subsequently invested in Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class as reported in the Portfolio of Investments. The remaining collateral of approximately $427,000 was received in the form of U.S. Government obligations, which the Fund cannot sell or re-pledge and accordingly are not reflected in the Portfolio of Investments. The Fund has the right under the securities lending agreement to recover the securities from the borrower on demand. |
(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 December 31, 2021. |
(d) | 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, both directly and as a portion of the securities held as collateral on loaned securities. 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 December 31, 2021, advisory fees paid were reduced by less than $500 relating to the Fund's investment in the Liquidity Funds. |
(e) | Rate shown is the yield to maturity at December 31, 2021. |
(f) | All or a portion of the security was pledged to cover margin requirements for futures contracts. |
(g) | Securities are available for collateral in connection with, purchase of open foreign currency forward exchange contracts and open futures contracts. |
(h) | 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 December 31, 2021, the Fund did not engage in any cross-trade transactions. |
(i) | At December 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $3,769,000 and the aggregate gross unrealized depreciation is approximately $2,503,000, resulting in net unrealized appreciation of approximately $1,266,000. |
MTN | Medium Term Note. |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Foreign Currency Forward Exchange Contracts: The Fund had the following foreign currency forward exchange contracts open at December 31, 2021: |
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Delivery Date | Unrealized Appreciation (Depreciation) (000) | ||||||||||||||||
BNP Paribas SA | EUR | 440 | $ | 501 | 2/18/22 | $ | —@ | |||||||||||||
Barclays Bank PLC | GBP | 315 | $ | 424 | 2/18/22 | (2 | ) | |||||||||||||
$ | (2 | ) | ||||||||||||||||||
@ Value is less than $500. |
Morgan Stanley Institutional Fund Trust
Corporate Bond Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Futures Contracts: The Fund had the following futures contracts open at December 31, 2021: |
Number of Contracts | Expiration Date | Notional Amount (000) | Value (000) | Unrealized Appreciation (Depreciation) (000) | ||||||||||||||
Long: | ||||||||||||||||||
U.S. Treasury 2 yr. Note | 88 | Mar-22 | $ | 17,600 | $ | 19,199 | $ | (13 | ) | |||||||||
U.S. Treasury 5 yr. Note | 16 | Mar-22 | 1,600 | 1,936 | 1 | |||||||||||||
U.S. Treasury Long Bond | 69 | Mar-22 | 6,900 | 11,070 | 117 | |||||||||||||
U.S. Treasury Ultra Bond | 25 | Mar-22 | 2,500 | 4,928 | 60 | |||||||||||||
Short: | ||||||||||||||||||
German Euro BOBL | 1 | Mar-22 | EUR | (100 | ) | (152 | ) | 1 | ||||||||||
German Euro Bund | 2 | Mar-22 | (200 | ) | (390 | ) | 6 | |||||||||||
U.S. Treasury Ultra Long Bond | 248 | Mar-22 | $ | (24,800 | ) | (36,316 | ) | (610 | ) | |||||||||
U.S. Treasury10 yr. Note | 13 | Mar-22 | (1,300 | ) | (1,696 | ) | (4 | ) | ||||||||||
$ | (442 | ) |
EUR | — Euro |
GBP | — British Pound |
Portfolio Composition* | ||||
Classification | Percentage of Total Investments | |||
Industrials | 57.0 | % | ||
Finance | 31.7 | |||
Utilities | 9.3 | |||
Other** | 2.0 | |||
Total Investments | 100.0 | %*** |
* | Percentages indicated are based upon total investments (excluding Securities held as Collateral on Loaned Securities) as of December 31, 2021. | |
** | Industry and/or investment type representing less than 5% of total investments. | |
*** | Does not include open long/short futures contracts with a value of approximately $75,687,000 and net unrealized depreciation of approximately $442,000. Does not include open foreign currency forward exchange contracts with net unrealized depreciation of approximately $2,000. | |
Morgan Stanley Institutional Fund Trust
Discovery Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)
Shares | Value (000) | |||||||
Common Stocks (95.6%) | ||||||||
Biotechnology (1.2%) | ||||||||
Alnylam Pharmaceuticals, Inc. (a) | 87,936 | $ | 14,912 | |||||
Ginkgo Bioworks Holdings, Inc. (a)(b) | 937,842 | 7,794 | ||||||
Intellia Therapeutics, Inc. (a) | 148,935 | 17,610 | ||||||
40,316 | ||||||||
Consumer Finance (1.0%) | ||||||||
Upstart Holdings, Inc. (a) | 223,504 | 33,816 | ||||||
Entertainment (5.8%) | ||||||||
ROBLOX Corp., Class A (a) | 1,929,683 | 199,066 | ||||||
Equity Real Estate Investment Trusts (REITs) (0.6%) | ||||||||
WeWork, Inc., Class A REIT (a)(b) | 2,352,484 | 20,231 | ||||||
Health Care Providers & Services (2.8%) | ||||||||
Agilon Health, Inc. (a) | 2,282,330 | 61,623 | ||||||
Guardant Health, Inc. (a) | 345,469 | 34,554 | ||||||
96,177 | ||||||||
Health Care Technology (7.5%) | ||||||||
Doximity, Inc., Class A (a) | 1,584,591 | 79,436 | ||||||
GoodRx Holdings, Inc., Class A (a) | 2,452,366 | 80,143 | ||||||
Teladoc Health, Inc. (a) | 95,836 | 8,800 | ||||||
Veeva Systems, Inc., Class A (a) | 341,155 | 87,158 | ||||||
255,537 | ||||||||
Information Technology Services (27.8%) | ||||||||
Affirm Holdings, Inc. (a) | 1,877,946 | 188,846 | ||||||
Cloudflare, Inc., Class A (a) | 1,770,816 | 232,862 | ||||||
Fastly, Inc., Class A (a) | 2,736,521 | 97,010 | ||||||
Marqeta, Inc., Class A (a) | 1,708,401 | 29,333 | ||||||
MongoDB, Inc. (a) | 448,000 | 237,149 | ||||||
Okta, Inc. (a) | 739,705 | 165,820 | ||||||
951,020 | ||||||||
Interactive Media & Services (8.2%) | ||||||||
Pinterest, Inc., Class A (a) | 2,426,275 | 88,195 | ||||||
Twitter, Inc. (a) | 3,044,709 | 131,592 | ||||||
ZoomInfo Technologies, Inc., Class A (a) | 947,631 | 60,838 | ||||||
280,625 | ||||||||
Internet & Direct Marketing Retail (5.7%) | ||||||||
Chewy, Inc., Class A (a) | 312,657 | 18,437 | ||||||
Farfetch Ltd., Class A (a) | 1,489,046 | 49,779 | ||||||
Grab Holdings Ltd., Class A (a) | 3,700,241 | 26,383 | ||||||
Wayfair, Inc., Class A (a) | 534,659 | 101,569 | ||||||
196,168 | ||||||||
Leisure Products (2.3%) | ||||||||
Peloton Interactive, Inc., Class A (a) | 2,184,858 | 78,130 | ||||||
Life Sciences Tools & Services (1.1%) | ||||||||
10X Genomics, Inc., Class A (a) | 244,024 | 36,350 |
Morgan Stanley Institutional Fund Trust
Discovery Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Pharmaceuticals (3.2%) | ||||||||
Royalty Pharma PLC, Class A (United Kingdom) | 2,708,826 | 107,947 | ||||||
Real Estate Management & Development (2.0%) | ||||||||
Opendoor Technologies, Inc. (a) | 2,122,246 | 31,006 | ||||||
Redfin Corp. (a) | 941,730 | 36,153 | ||||||
67,159 | ||||||||
Software (23.1%) | ||||||||
Aurora Innovation, Inc. (a)(c) | 1,557,480 | 16,573 | ||||||
Bill.Com Holdings, Inc. (a) | 551,707 | 137,458 | ||||||
Cipher Mining, Inc. (a) | 2,558,195 | 11,844 | ||||||
Confluent, Inc., Class A (a) | 808,586 | 61,647 | ||||||
Gitlab, Inc., Class A (a) | 238,647 | 20,762 | ||||||
HashiCorp, Inc., Class A (a) | 292,915 | 26,667 | ||||||
HubSpot, Inc. (a) | 51,698 | 34,077 | ||||||
IronSource Ltd., Class A (a)(c) | 4,980,200 | 35,078 | ||||||
IronSource Ltd., Class A (a) | 479,198 | 3,709 | ||||||
MicroStrategy, Inc., Class A (a)(b) | 29,123 | 15,857 | ||||||
Monday.com Ltd. (Israel) (a) | 173,067 | 53,429 | ||||||
Procore Technologies, Inc. (a) | 457,262 | 36,567 | ||||||
Qualtrics International, Inc., Class A (a) | 750,989 | 26,585 | ||||||
Samsara, Inc., Class A (a) | 983,036 | 27,633 | ||||||
Trade Desk, Inc. (The), Class A (a) | 1,431,920 | 131,221 | ||||||
UiPath, Inc., Class A (a) | 367,478 | 15,849 | ||||||
Unity Software, Inc. (a) | 943,637 | 134,931 | ||||||
789,887 | ||||||||
Specialty Retail (3.3%) | ||||||||
Carvana Co. (a) | 480,517 | 111,379 | ||||||
Total Common Stocks (Cost $3,271,243) | 3,263,808 | |||||||
Preferred Stocks (1.0%) | ||||||||
Internet & Direct Marketing Retail (0.0%) (d) | ||||||||
Overstock.com, Inc. Series A-1 | 29,853 | 1,403 | ||||||
Software (1.0%) | ||||||||
Databricks, Inc. (a)(c)(e) (acquisition cost — $31,810 acquired 8/31/21) | 144,294 | 32,556 | ||||||
Total Preferred Stocks (Cost $31,968) | 33,959 | |||||||
Investment Company (1.0%) | ||||||||
Grayscale Bitcoin Trust (a) (Cost $45,561) | 1,007,183 | 34,496 | ||||||
No. of Warrants | ||||||||
Warrant (0.0%) (d) | ||||||||
Biotechnology (0.0%) (d) | ||||||||
Ginkgo Bioworks Holdings, Inc. expires 12/31/27 (a)(b) (Cost $655) | 196,782 | 441 |
Morgan Stanley Institutional Fund Trust
Discovery Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Shares | ||||||||
Short-Term Investments (2.6%) | ||||||||
Securities held as Collateral on Loaned Securities (0.7%) | ||||||||
Investment Company (0.6%) | ||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class (f) | 21,321,983 | 21,322 | ||||||
Face Amount (000) | ||||||||
Repurchase Agreements (0.1%) | ||||||||
HSBC Securities USA, Inc., (0.05%, dated 12/31/21, due 1/3/22; proceeds $213; fully collateralized by U.S. Government obligations; 0.00% due 5/15/25-11/15/28; valued at $217) | $ | 213 | 213 | |||||
Merrill Lynch & Co., Inc., (0.05%, dated 12/31/21, due 1/3/22; proceeds $3,838; fully collateralized by U.S. Government obligations; 0.13%-2.88% due 7/31/23-7/31/25; valued at $3,915) | 3,838 | 3,838 | ||||||
4,051 | ||||||||
Total Securities held as Collateral on Loaned Securities (Cost $25,373) | 25,373 | |||||||
Shares | ||||||||
Investment Company (1.9%) | ||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class (f) (Cost $63,545) | 63,544,739 | 63,545 | ||||||
Total Short-Term Investments (Cost $88,918) | 88,918 | |||||||
Total Investments Excluding Purchased Options (100.2%) (Cost $3,438,345) | 3,421,622 | |||||||
Total Purchased Options Outstanding (0.2%) (Cost $23,892) | 5,278 | |||||||
Total Investments (100.4%) (Cost $3,462,237) Including $23,690 of Securities Loaned (g)(h)(i) | 3,426,900 | |||||||
Liabilities in Excess of Other Assets (–0.4%) | (13,454 | ) | ||||||
Net Assets (100.0%) | $ | 3,413,446 |
(a) | Non-income producing security. |
(b) | All or a portion of this security was on loan. The value of loaned securities and related collateral outstanding at December 31, 2021, were approximately $23,690,000 and $25,404,000, respectively. The Fund received cash collateral of approximately $25,373,000, which was subsequently invested in Repurchase Agreements and Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class as reported in the Consolidated Portfolio of Investments. At December 31, 2021, there was uninvested cash collateral of approximately $31,000, which is not reflected in the Consolidated Portfolio of Investments. The Fund has the right under the securities lending agreement to recover the securities from the borrower on demand. |
(c) | Security cannot be offered for public resale without first being registered under the Securities Act of 1933 and related rules (“restricted security”). Acquisition date represents the day on which an enforceable right to acquire such security is obtained and is presented along with related cost in the security description. The Fund has registration rights for certain restricted securities. Any costs related to such registration are borne by the issuer. The aggregate value of restricted securities (excluding 144A holdings) at December 31, 2021 amounts to approximately $84,207,000 and represents 2.5% of net assets. |
(d) | Amount is less than 0.05%. |
(e) | At December 31, 2021, the Fund held a fair valued security at approximately $32,556,000, representing 1.0% of net assets. This security has been fair valued as determined in good faith under procedures established by and under the general supervision of the Trust's (as defined herein) Trustees. |
(f) | The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - (the "Liquidity Funds"), an open-end management investment company managed by the Adviser, both directly and as a portion of the securities held as collateral on loaned securities. 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 December 31, 2021, advisory fees paid were reduced by approximately $7,000 relating to the Fund's investment in the Liquidity Funds. |
(g) | 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 December 31, 2021, the Fund did not engage in any cross-trade transactions. |
(h) | At December 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $512,881,000 and the aggregate gross unrealized depreciation is approximately $548,218,000, resulting in net unrealized depreciation of approximately $35,337,000. |
(i) | Securities are available for collateral in connection with options purchased. |
REIT | Real Estate Investment Trust. |
Morgan Stanley Institutional Fund Trust
Discovery Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Call Options Purchased:
The Fund had the following call options purchased open at December 31, 2021:
Counterparty | Description | Strike Price | Expiration Date | Number of Contracts | Notional Amount (000) | Value (000) | Premiums Paid (000) | Unrealized Depreciation (000) | |||||||||||||
BNP Paribas | USD/CNH | CNH | 7.45 | Jan-22 | 890,518,565 | 890,519 | $ | 1 | $ | 4,754 | $ | (4,753 | ) | ||||||||
Goldman Sachs International | USD/CNH | CNH | 7.27 | Nov-22 | 994,884,991 | 994,885 | 3,006 | 4,776 | (1,770 | ) | |||||||||||
Goldman Sachs International | USD/CNH | CNH | 7.57 | Mar-22 | 986,402,861 | 986,403 | 48 | 4,899 | (4,851 | ) | |||||||||||
JP Morgan Chase Bank NA | USD/CNH | CNH | 7.28 | Jul-22 | 1,027,111,693 | 1,027,112 | 1,280 | 4,785 | (3,505 | ) | |||||||||||
JP Morgan Chase Bank NA | USD/CNH | CNH | 7.31 | Aug-22 | 458,348,396 | 458,348 | 617 | 3,113 | (2,496 | ) | |||||||||||
JP Morgan Chase Bank NA | USD/CNH | CNH | 7.38 | Jul-22 | 294,939,426 | 294,939 | 326 | 1,565 | (1,239 | ) | |||||||||||
$ | 5,278 | $ | 23,892 | $ | (18,614 | ) |
CNH | — | Chinese Yuan Renminbi Offshore |
USD | — | United States Dollar |
Portfolio Composition* | ||||
Classification | Percentage of Total Investments | |||
Information Technology Services | 28.0 | % | ||
Software | 24.2 | |||
Other** | 20.3 | |||
Interactive Media & Services | 8.3 | |||
Health Care Technology | 7.5 | |||
Entertainment | 5.9 | |||
Internet & Direct Marketing Retail | 5.8 | |||
Total Investments | 100.0 | % |
* | Percentages indicated are based upon total investments (excluding Securities held as Collateral on Loaned Securities) as of December 31, 2021. |
** | Industries and/or investment types representing less than 5% of total investments. |
Morgan Stanley Institutional Fund Trust
Dynamic Value Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)
Shares | Value (000) | |||||||
Common Stocks (93.3%) | ||||||||
Aerospace & Defense (1.7%) | ||||||||
Curtiss-Wright Corp. | 338 | $ | 47 | |||||
Huntington Ingalls Industries, Inc. | 242 | 45 | ||||||
L3Harris Technologies, Inc. | 208 | 45 | ||||||
Textron, Inc. | 623 | 48 | ||||||
185 | ||||||||
Air Freight & Logistics (0.7%) | ||||||||
CH Robinson Worldwide, Inc. | 381 | 41 | ||||||
FedEx Corp. | 151 | 39 | ||||||
80 | ||||||||
Automobiles (0.9%) | ||||||||
General Motors Co. (a) | 882 | 52 | ||||||
Thor Industries, Inc. | 503 | 52 | ||||||
104 | ||||||||
Banks (4.3%) | ||||||||
Citigroup, Inc. | 1,242 | 75 | ||||||
First Horizon National Corp. | 4,843 | 79 | ||||||
FNB Corp. | 6,697 | 81 | ||||||
M&T Bank Corp. | 525 | 81 | ||||||
PacWest Bancorp | 1,764 | 80 | ||||||
Popular, Inc. | 993 | 81 | ||||||
477 | ||||||||
Beverages (0.4%) | ||||||||
Molson Coors Beverage Co., Class B | 1,046 | 48 | ||||||
Biotechnology (3.4%) | ||||||||
Biogen, Inc. (a) | 304 | 73 | ||||||
Gilead Sciences, Inc. | 999 | 73 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 110 | 69 | ||||||
Sage Therapeutics, Inc. (a) | 1,815 | 77 | ||||||
United Therapeutics Corp. (a) | 367 | 79 | ||||||
371 | ||||||||
Building Products (0.9%) | ||||||||
Builders FirstSource, Inc. (a) | 586 | 50 | ||||||
Owens Corning | 486 | 44 | ||||||
94 | ||||||||
Capital Markets (1.9%) | ||||||||
Invesco Ltd. | 3,005 | 69 | ||||||
Jefferies Financial Group, Inc. | 1,757 | 68 | ||||||
Virtu Financial, Inc., Class A | 2,454 | 71 | ||||||
208 | ||||||||
Chemicals (1.5%) | ||||||||
Dow, Inc. | 714 | 40 | ||||||
LyondellBasell Industries N.V., Class A | 444 | 41 | ||||||
Mosaic Co. (The) | 1,096 | 43 | ||||||
Westlake Chemical Corp. | 411 | 40 | ||||||
164 |
Morgan Stanley Institutional Fund Trust
Dynamic Value Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Commercial Services & Supplies (0.3%) | ||||||||
ADT, Inc. | 3,632 | 31 | ||||||
Construction & Engineering (0.4%) | ||||||||
MasTec, Inc. (a) | 467 | 43 | ||||||
Consumer Finance (2.5%) | ||||||||
Ally Financial, Inc. | 1,449 | 69 | ||||||
OneMain Holdings, Inc. | 1,323 | 66 | ||||||
Santander Consumer USA Holdings, Inc. | 1,635 | 69 | ||||||
SLM Corp. | 3,706 | 73 | ||||||
277 | ||||||||
Containers & Packaging (0.7%) | ||||||||
International Paper Co. | 840 | 40 | ||||||
WestRock Co. | 844 | 37 | ||||||
77 | ||||||||
Diversified Consumer Services (1.2%) | ||||||||
Grand Canyon Education, Inc. (a) | 414 | 36 | ||||||
H&R Block, Inc. | 1,246 | 29 | ||||||
Service Corp. International | 439 | 31 | ||||||
Terminix Global Holdings, Inc. (a) | 814 | 37 | ||||||
133 | ||||||||
Diversified Financial Services (0.7%) | ||||||||
Voya Financial, Inc. | 1,079 | 72 | ||||||
Diversified Telecommunication Services (1.5%) | ||||||||
Lumen Technologies, Inc. | 13,256 | 166 | ||||||
Electric Utilities (2.9%) | ||||||||
Exelon Corp. | 1,088 | 63 | ||||||
Hawaiian Electric Industries, Inc. | 1,453 | 60 | ||||||
NRG Energy, Inc. | 1,558 | 67 | ||||||
OGE Energy Corp. | 1,649 | 63 | ||||||
Pinnacle West Capital Corp. | 869 | 62 | ||||||
315 | ||||||||
Electronic Equipment, Instruments & Components (1.7%) | ||||||||
Arrow Electronics, Inc. (a) | 333 | 45 | ||||||
Avnet, Inc. | 1,128 | 46 | ||||||
Jabil, Inc. | 686 | 48 | ||||||
TD SYNNEX Corp. | 382 | 44 | ||||||
183 | ||||||||
Energy Equipment & Services (0.7%) | ||||||||
Schlumberger N.V. | 2,492 | 75 | ||||||
Equity Real Estate Investment Trusts (REITs) (6.6%) | ||||||||
AGNC Investment Corp. REIT | 4,425 | 67 | ||||||
Annaly Capital Management, Inc. REIT | 8,331 | 65 | ||||||
Brixmor Property Group, Inc. REIT | 1,636 | 42 | ||||||
Gaming and Leisure Properties, Inc. REIT | 832 | 40 | ||||||
Highwoods Properties, Inc. REIT | 885 | 39 |
Morgan Stanley Institutional Fund Trust
Dynamic Value Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Kilroy Realty Corp. REIT | 584 | 39 | ||||||
Kimco Realty Corp. REIT | 1,667 | 41 | ||||||
Medical Properties Trust, Inc. REIT | 1,809 | 43 | ||||||
National Retail Properties, Inc. REIT | 867 | 42 | ||||||
New Residential Investment Corp. REIT | 6,268 | 67 | ||||||
Omega Healthcare Investors, Inc. REIT | 1,356 | 40 | ||||||
SL Green Realty Corp. REIT | 570 | 41 | ||||||
Spirit Realty Capital, Inc. REIT | 847 | 41 | ||||||
VICI Properties, Inc. REIT | 1,407 | 42 | ||||||
Weyerhaeuser Co. REIT | 1,002 | 41 | ||||||
WP Carey, Inc. REIT | 498 | 41 | ||||||
731 | ||||||||
Food & Staples Retailing (1.3%) | ||||||||
Kroger Co. (The) | 1,447 | 66 | ||||||
Walgreens Boots Alliance, Inc. | 1,447 | 75 | ||||||
141 | ||||||||
Food Products (2.7%) | ||||||||
Archer-Daniels-Midland Co. | 762 | 52 | ||||||
Bunge Ltd. | 552 | 52 | ||||||
Conagra Brands, Inc. | 1,533 | 52 | ||||||
Pilgrim's Pride Corp. (a) | 1,713 | 48 | ||||||
Seaboard Corp. | 12 | 47 | ||||||
Tyson Foods, Inc., Class A | 588 | 51 | ||||||
302 | ||||||||
Gas Utilities (1.1%) | ||||||||
National Fuel Gas Co. | 945 | 60 | ||||||
UGI Corp. | 1,321 | 61 | ||||||
121 | ||||||||
Health Care Providers & Services (7.1%) | ||||||||
Cardinal Health, Inc. | 1,254 | 64 | ||||||
Centene Corp. (a) | 822 | 68 | ||||||
Cigna Corp. | 296 | 68 | ||||||
CVS Health Corp. | 652 | 67 | ||||||
DaVita, Inc. (a) | 597 | 68 | ||||||
Encompass Health Corp. | 1,007 | 66 | ||||||
Henry Schein, Inc. (a) | 836 | 65 | ||||||
Laboratory Corp. of America Holdings (a) | 201 | 63 | ||||||
McKesson Corp. | 265 | 66 | ||||||
Premier, Inc., Class A | 1,588 | 65 | ||||||
Quest Diagnostics, Inc. | 380 | 66 | ||||||
Universal Health Services, Inc., Class B | 483 | 63 | ||||||
789 | ||||||||
Hotels, Restaurants & Leisure (1.1%) | ||||||||
Boyd Gaming Corp. (a) | 491 | 32 | ||||||
Darden Restaurants, Inc. | 206 | 31 | ||||||
Penn National Gaming, Inc. (a) | 587 | 30 | ||||||
Travel & Leisure Co. | 591 | 33 | ||||||
126 | ||||||||
Household Durables (1.7%) | ||||||||
DR Horton, Inc. | 252 | 27 | ||||||
Lennar Corp., Class A | 228 | 27 | ||||||
Lennar Corp., Class B | 279 | 27 |
Morgan Stanley Institutional Fund Trust
Dynamic Value Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Mohawk Industries, Inc. (a) | 150 | 27 | ||||||
Pulte Group, Inc. | 492 | 28 | ||||||
Toll Brothers, Inc. | 377 | 27 | ||||||
Whirlpool Corp. | 116 | 27 | ||||||
190 | ||||||||
Household Products (0.9%) | ||||||||
Reynolds Consumer Products, Inc. | 3,054 | 96 | ||||||
Information Technology Services (4.8%) | ||||||||
Akamai Technologies, Inc. (a) | 251 | 29 | ||||||
Alliance Data Systems Corp. | 391 | 26 | ||||||
Amdocs Ltd. | 397 | 30 | ||||||
Cognizant Technology Solutions Corp., Class A | 353 | 31 | ||||||
Concentrix Corp. | 165 | 29 | ||||||
DXC Technology Co. (a) | 914 | 29 | ||||||
Euronet Worldwide, Inc. (a) | 266 | 32 | ||||||
Fidelity National Information Services, Inc. | 265 | 29 | ||||||
Fiserv, Inc. (a) | 280 | 29 | ||||||
FleetCor Technologies, Inc. (a) | 133 | 30 | ||||||
Genpact Ltd. | 559 | 30 | ||||||
Global Payments, Inc. | 229 | 31 | ||||||
International Business Machines Corp. | 240 | 32 | ||||||
Kyndryl Holdings, Inc. (a) | 1,619 | 29 | ||||||
Paysafe Ltd. (a) | 7,714 | 30 | ||||||
SolarWinds Corp. | 1,948 | 28 | ||||||
Western Union Co. (The) | 1,628 | 29 | ||||||
WEX, Inc. (a) | 225 | 32 | ||||||
535 | ||||||||
Insurance (3.8%) | ||||||||
Aflac, Inc. | 799 | 47 | ||||||
Allstate Corp. (The) | 403 | 47 | ||||||
Axis Capital Holdings Ltd. | 888 | 48 | ||||||
CNA Financial Corp. | 1,023 | 45 | ||||||
Fidelity National Financial, Inc. | 873 | 46 | ||||||
First American Financial Corp. | 577 | 45 | ||||||
Lincoln National Corp. | 694 | 47 | ||||||
Old Republic International Corp. | 1,816 | 45 | ||||||
Unum Group | 1,917 | 47 | ||||||
417 | ||||||||
Internet & Direct Marketing Retail (0.2%) | ||||||||
Qurate Retail, Inc. | 3,561 | 27 | ||||||
Life Sciences Tools & Services (0.6%) | ||||||||
Bio-Rad Laboratories, Inc., Class A (a) | 92 | 70 | ||||||
Machinery (4.4%) | ||||||||
AGCO Corp. | 380 | 44 | ||||||
Allison Transmission Holdings, Inc. | 1,197 | 44 | ||||||
Crane Co. | 436 | 44 | ||||||
Cummins, Inc. | 199 | 44 | ||||||
Flowserve Corp. | 1,396 | 43 | ||||||
Gates Industrial Corp. PLC (a) | 2,650 | 42 | ||||||
Oshkosh Corp. | 393 | 44 | ||||||
PACCAR, Inc. | 512 | 45 | ||||||
Snap-On, Inc. | 204 | 44 | ||||||
Stanley Black & Decker, Inc. | 243 | 46 |
Morgan Stanley Institutional Fund Trust
Dynamic Value Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Timken Co. (The) | 637 | 44 | ||||||
484 | ||||||||
Media (4.4%) | ||||||||
Discovery, Inc., Class A (a) | 2,279 | 54 | ||||||
Discovery, Inc., Class C (a) | 2,339 | 54 | ||||||
DISH Network Corp., Class A (a) | 1,698 | 55 | ||||||
Fox Corp., Class A | 1,501 | 55 | ||||||
Fox Corp., Class B | 1,611 | 55 | ||||||
Nexstar Media Group, Inc., Class A | 342 | 52 | ||||||
Omnicom Group, Inc. | 767 | 56 | ||||||
ViacomCBS, Inc., Class A | 1,628 | 54 | ||||||
ViacomCBS, Inc., Class B | 1,794 | 54 | ||||||
489 | ||||||||
Metals & Mining (1.9%) | ||||||||
Alcoa Corp. | 846 | 50 | ||||||
Nucor Corp. | 354 | 41 | ||||||
Reliance Steel & Aluminum Co. | 254 | 41 | ||||||
Steel Dynamics, Inc. | 637 | 40 | ||||||
United States Steel Corp. | 1,697 | 40 | ||||||
212 | ||||||||
Multi-Line Retail (0.3%) | ||||||||
Kohl's Corp. | 564 | 28 | ||||||
Multi-Utilities (0.6%) | ||||||||
MDU Resources Group, Inc. | 2,053 | 63 | ||||||
Oil, Gas & Consumable Fuels (3.4%) | ||||||||
Continental Resources, Inc. | 1,712 | 76 | ||||||
Exxon Mobil Corp. | 1,222 | 75 | ||||||
HollyFrontier Corp. | 2,254 | 74 | ||||||
Kinder Morgan, Inc. | 4,644 | 74 | ||||||
Marathon Petroleum Corp. | 1,154 | 74 | ||||||
373 | ||||||||
Personal Products (0.9%) | ||||||||
Herbalife Nutrition Ltd. (a) | 2,404 | 98 | ||||||
Pharmaceuticals (4.1%) | ||||||||
Bristol-Myers Squibb Co. | 1,256 | 78 | ||||||
Merck & Co., Inc. | 942 | 72 | ||||||
Organon & Co. | 2,346 | 71 | ||||||
Perrigo Co., PLC | 1,942 | 76 | ||||||
Pfizer, Inc. | 1,312 | 78 | ||||||
Viatris, Inc. | 5,706 | 77 | ||||||
452 | ||||||||
Professional Services (1.4%) | ||||||||
CACI International, Inc., Class A (a) | 115 | 31 | ||||||
Leidos Holdings, Inc. | 339 | 30 | ||||||
ManpowerGroup, Inc. | 324 | 32 | ||||||
Nielsen Holdings PLC | 1,524 | 31 | ||||||
Science Applications International Corp. | 355 | 30 | ||||||
154 |
Morgan Stanley Institutional Fund Trust
Dynamic Value Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Real Estate Management & Development (0.4%) | ||||||||
Jones Lang LaSalle, Inc. (a) | 159 | 43 | ||||||
Road & Rail (1.4%) | ||||||||
AMERCO | 48 | 35 | ||||||
Knight-Swift Transportation Holdings, Inc. | 631 | 38 | ||||||
Ryder System, Inc. | 449 | 37 | ||||||
Schneider National, Inc., Class B | 1,470 | 40 | ||||||
150 | ||||||||
Semiconductors & Semiconductor Equipment (2.8%) | ||||||||
Cirrus Logic, Inc. (a) | 618 | 57 | ||||||
Intel Corp. | 964 | 50 | ||||||
Micron Technology, Inc. | 577 | 54 | ||||||
MKS Instruments, Inc. | 307 | 53 | ||||||
Qorvo, Inc. (a) | 320 | 50 | ||||||
Skyworks Solutions, Inc. | 319 | 49 | ||||||
313 | ||||||||
Software (1.3%) | ||||||||
CDK Global, Inc. | 696 | 29 | ||||||
NCR Corp. (a) | 686 | 28 | ||||||
NortonLifeLock, Inc. | 1,160 | 30 | ||||||
SS&C Technologies Holdings, Inc. | 368 | 30 | ||||||
VMware, Inc., Class A | 239 | 28 | ||||||
145 | ||||||||
Specialty Retail (1.8%) | ||||||||
AutoNation, Inc. (a) | 222 | 26 | ||||||
Best Buy Co., Inc. | 276 | 28 | ||||||
Dick's Sporting Goods, Inc. | 249 | 29 | ||||||
Foot Locker, Inc. | 631 | 28 | ||||||
Gap, Inc. (The) | 1,728 | 30 | ||||||
Penske Automotive Group, Inc. | 271 | 29 | ||||||
Victoria's Secret & Co. (a) | 522 | 29 | ||||||
199 | ||||||||
Tech Hardware, Storage & Peripherals (1.2%) | ||||||||
Hewlett Packard Enterprise Co. | 2,717 | 43 | ||||||
Western Digital Corp. (a) | 714 | 47 | ||||||
Xerox Holdings Corp. | 2,046 | 46 | ||||||
136 | ||||||||
Thrifts & Mortgage Finance (2.0%) | ||||||||
MGIC Investment Corp. | 5,579 | 80 | ||||||
New York Community Bancorp, Inc. | 6,510 | 80 | ||||||
UWM Holdings Corp. | 11,088 | 66 | ||||||
226 | ||||||||
Trading Companies & Distributors (0.8%) | ||||||||
Air Lease Corp. | 1,032 | 45 | ||||||
Univar Solutions, Inc. (a) | 1,612 | 46 | ||||||
91 | ||||||||
Total Common Stocks (Cost $9,956) | 10,304 |
Morgan Stanley Institutional Fund Trust
Dynamic Value Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Short-Term Investment (0.3%) | ||||||||
Investment Company (0.3%) | ||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (b) (Cost $34) | 34,239 | 34 | ||||||
Total Investments (93.6%) (Cost $9,990) (c)(d)(e) | 10,338 | |||||||
Other Assets in Excess of Liabilities (6.4%) | 702 | |||||||
Net Assets (100.0%) | $ | 11,040 |
(a) | Non-income producing security. |
(b) | 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 December 31, 2021, advisory fees paid were less than $500 relating to the Fund's investment in the Liquidity Funds. |
(c) | Securities are available for collateral in connection with purchase of swap agreements. |
(d) | 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 December 31, 2021, the Fund did not engage in any cross-trade transactions. |
(e) | At December 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $793,000 and the aggregate gross unrealized depreciation is approximately $359,000, resulting in net unrealized appreciation of approximately $434,000. |
REIT | Real Estate Investment Trust. |
Morgan Stanley Institutional Fund Trust
Dynamic Value Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Total Return Swap Agreements:
The Fund had the following total return swap agreements open at December 31, 2021:
Swap Counterparty | Index | Pay/Receive Total Return of Referenced Index | Floating Rate | Payment Frequency | Maturity Date | Notional Amount (000) | Value (000) | Upfront Payment Paid (000) | Unrealized Appreciation (Depreciation) (000) | |||||||||||||||
JPMorgan Chase Bank NA | JPM Russell 1000 Anti-Value Index†† | Pay | 3 Month USD LIBOR plus 0.22% | Quarterly | 12/7/22 | $ | 1,634 | $ | (65 | ) | $ | — | $ | (65) | ||||||||||
JPMorgan Chase Bank NA | JPM Russell 1000 Anti-Value Index†† | Pay | 3 Month USD LIBOR plus 0.19% | Quarterly | 12/7/22 | 1,574 | (24 | ) | — | (24) | ||||||||||||||
JPMorgan Chase Bank NA | JP Morgan Russell 1000 Value Index†† | Receive | 3 Month USD LIBOR plus 0.22% | Quarterly | 12/7/22 | 1,598 | 71 | — | 71 | |||||||||||||||
JPMorgan Chase Bank NA | JP Morgan Russell 1000 Value Index†† | Receive | 3 Month USD LIBOR plus 0.19% | Quarterly | 12/7/22 | 2,312 | 104 | — | 104 | |||||||||||||||
$ | 86 | $ | — | $ | 86 |
†† See tables below for details of the equity basket holdings underlying the swap.
Morgan Stanley Institutional Fund Trust
Dynamic Value Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
The following table represents the equity basket holdings underlying the total return swap with JPM Russell 1000 Anti-Value Index as of December 31, 2021:
Security Description | Shares | Value (000) | Index Weight | |||||||||
JPM Russell 1000 Anti-Value Index | ||||||||||||
Agilon Health, Inc. | 2,153 | $ | 58 | 0.55 | % | |||||||
Allegro Microsystems, Inc. | 1,548 | 56 | 0.53 | |||||||||
American Tower Corp. | 187 | 55 | 0.52 | |||||||||
American Water Works Co., Inc. | 291 | 55 | 0.53 | |||||||||
Anaplan, Inc. | 1,191 | 55 | 0.52 | |||||||||
Apple, Inc. | 304 | 54 | 0.52 | |||||||||
Arista Networks, Inc. | 401 | 58 | 0.55 | |||||||||
AZEK Co., Inc. (The) | 1,258 | 58 | 0.56 | |||||||||
Boston Beer Co., Inc. (The) | 108 | 55 | 0.52 | |||||||||
Carnival Corp. | 2,817 | 57 | 0.54 | |||||||||
Chipotle Mexican Grill, Inc. | 31 | 54 | 0.51 | |||||||||
CMS Energy Corp. | 832 | 54 | 0.52 | |||||||||
Coca-Cola Co. (The) | 935 | 55 | 0.53 | |||||||||
Costco Wholesale Corp. | 94 | 53 | 0.51 | |||||||||
Crown Castle International Corp. | 268 | 56 | 0.53 | |||||||||
Essential Utilities, Inc. | 1,022 | 55 | 0.52 | |||||||||
Estee Lauder Cos, Inc. (The) | 145 | 54 | 0.51 | |||||||||
Hayward Holdings, Inc. | 2,034 | 53 | 0.51 | |||||||||
Hilton Worldwide Holdings, Inc. | 357 | 56 | 0.53 | |||||||||
IDEXX Laboratories, Inc. | 83 | 54 | 0.52 | |||||||||
International Flavors & Fragrances, Inc. | 355 | 53 | 0.51 | |||||||||
Intuitive Surgical, Inc. | 151 | 54 | 0.52 | |||||||||
Ionis Pharmaceuticals, Inc. | 1,888 | 57 | 0.55 | |||||||||
Iovance Biotherapeutics, Inc. | 2,849 | 54 | 0.52 | |||||||||
Lamb Weston Holdings, Inc. | 937 | 59 | 0.57 | |||||||||
Live Nation Entertainment, Inc. | 468 | 56 | 0.53 | |||||||||
MarketAxess Holdings, Inc. | 143 | 59 | 0.56 | |||||||||
MongoDB, Inc. | 103 | 55 | 0.52 | |||||||||
Monster Beverage Corp. | 598 | 57 | 0.55 | |||||||||
Ncino, Inc. | 991 | 54 | 0.52 | |||||||||
Norwegian Cruise Line Holdings Ltd. | 2,652 | 55 | 0.53 | |||||||||
NOV, Inc. | 4,011 | 54 | 0.52 | |||||||||
Park Hotels & Resorts, Inc. | 2,966 | 56 | 0.53 | |||||||||
Penumbra, Inc. | 201 | 58 | 0.55 | |||||||||
Planet Fitness, Inc. | 605 | 55 | 0.52 | |||||||||
Prologis, Inc. | 322 | 54 | 0.52 | |||||||||
Public Storage | 149 | 56 | 0.53 | |||||||||
Roku, Inc. | 237 | 54 | 0.52 | |||||||||
Royal Caribbean Cruises Ltd. | 733 | 56 | 0.54 | |||||||||
RPM International, Inc. | 532 | 54 | 0.51 | |||||||||
Sarepta Therapeutics, Inc. | 598 | 54 | 0.51 | |||||||||
SBA Communications Corp. | 143 | 56 | 0.53 | |||||||||
Smartsheet, Inc. | 709 | 55 | 0.52 | |||||||||
Spirit Aerosystems Holdings, Inc. | 1,325 | 57 | 0.54 | |||||||||
Tandem Diabetes Care, Inc. | 389 | 59 | 0.56 | |||||||||
Transdigm Group, Inc. | 86 | 55 | 0.52 | |||||||||
Uber Technologies, Inc. | 1,329 | 56 | 0.53 | |||||||||
WEC Energy Group, Inc. | 559 | 54 | 0.52 | |||||||||
Zillow Group, Inc. - Class A | 860 | 53 | 0.51 | |||||||||
Zillow Group, Inc. - Class C | 849 | 54 | 0.52 |
Morgan Stanley Institutional Fund Trust
Dynamic Value Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
The following table represents the equity basket holdings underlying the total return swap with JP Morgan Russell 1000 Value Index as of December 31, 2021:
Security Description | Shares | Value (000) | Index Weight | |||||||||
JP Morgan Russell 1000 Value Index | ||||||||||||
AGNC Investment Corp. | 5,333 | $ | 80 | 0.75 | % | |||||||
Ally Financial, Inc. | 1,744 | 83 | 0.77 | |||||||||
Annaly Capital Management, Inc. | 10,042 | 79 | 0.73 | |||||||||
Biogen, Inc. | 370 | 89 | 0.83 | |||||||||
Bio-Rad Laboratories, Inc. | 112 | 84 | 0.79 | |||||||||
Bristol-Myers Squibb Co. | 1,509 | 94 | 0.88 | |||||||||
Centene Corp. | 937 | 77 | 0.72 | |||||||||
Cigna Corp. | 339 | 78 | 0.73 | |||||||||
Citigroup, Inc. | 1,557 | 94 | 0.88 | |||||||||
Continental Resources, Inc. | 1,985 | 89 | 0.83 | |||||||||
Cvs Health Corp. | 743 | 77 | 0.71 | |||||||||
DaVita, Inc. | 683 | 78 | 0.72 | |||||||||
Encompass Health Corp. | 1,154 | 75 | 0.70 | |||||||||
Exxon Mobil Corp. | 1,447 | 89 | 0.82 | |||||||||
First Horizon Corp. | 6,061 | 99 | 0.92 | |||||||||
FNB Corp. | 8,365 | 101 | 0.95 | |||||||||
Gilead Sciences, Inc. | 1,203 | 87 | 0.81 | |||||||||
Herbalife Nutrition Ltd. | 3,045 | 125 | 1.16 | |||||||||
Hollyfrontier Corp. | 2,639 | 87 | 0.81 | |||||||||
Invesco Ltd. | 3,613 | 83 | 0.77 | |||||||||
Jefferies Financial Group, Inc. | 2,107 | 82 | 0.76 | |||||||||
Kinder Morgan, Inc. | 5,644 | 90 | 0.83 | |||||||||
Kroger Co. (The) | 1,699 | 77 | 0.72 | |||||||||
Lumen Technologies, Inc. | 18,495 | 232 | 2.16 | |||||||||
M&T Bank Corp. | 659 | 101 | 0.94 | |||||||||
Marathon Petroleum Corp. | 1,395 | 89 | 0.83 | |||||||||
Mckesson Corp. | 303 | 75 | 0.70 | |||||||||
Merck & Co., Inc. | 1,135 | 87 | 0.81 | |||||||||
MGIC Investment Corp. | 6,933 | 100 | 0.93 | |||||||||
New Residential Investment Corp. | 7,520 | 81 | 0.75 | |||||||||
New York Community Bancorp, Inc. | 8,145 | 99 | 0.93 | |||||||||
Onemain Holdings, Inc. | 1,589 | 80 | 0.74 | |||||||||
Organon & Co. | 2,837 | 86 | 0.80 | |||||||||
Pacwest Bancorp. | 2,206 | 100 | 0.93 | |||||||||
Perrigo Co. PLC | 2,328 | 91 | 0.84 | |||||||||
Pfizer, Inc. | 1,565 | 92 | 0.86 | |||||||||
Popular, Inc. | 1,242 | 102 | 0.95 | |||||||||
Quest Diagnostics, Inc. | 435 | 75 | 0.70 | |||||||||
Regeneron Pharmaceuticals, Inc. | 132 | 84 | 0.78 | |||||||||
Reynolds Consumer Products, Inc. | 3,922 | 123 | 1.15 | |||||||||
Sage Therapeutics, Inc. | 2,182 | 93 | 0.86 | |||||||||
Santander Consumer USA Holdings, Inc. | 1,967 | 83 | 0.77 | |||||||||
Schlumberger N.V. | 3,021 | 90 | 0.84 | |||||||||
SLM Corp. | 4,463 | 88 | 0.82 | |||||||||
United Therapeutics Corp. | 445 | 96 | 0.89 | |||||||||
UWM Holdings Corp. | 13,895 | 82 | 0.77 | |||||||||
Viatris, Inc. | 6,886 | 93 | 0.87 | |||||||||
Virtu Financial, Inc. | 2,956 | 85 | 0.79 | |||||||||
Voya Financial, Inc. | 1,307 | 87 | 0.81 | |||||||||
Walgreens Boots Alliance, Inc. | 1,705 | 89 | 0.83 |
LIBOR | London Interbank Offered Rate. |
USD — United States Dollar |
Portfolio Composition | ||||
Classification | Percentage of Total Investments | |||
Other* | 80.1 | % | ||
Health Care Providers & Services | 7.6 | |||
Equity Real Estate Investment Trusts (REITs) | 7.1 | |||
Information Technology Services | 5.2 | |||
Total Investments | 100.0 | %** |
* | Industries and/or investment types representing less than 5% of total investments. |
** | Does not include open swap agreements with net unrealized appreciation of approximately $86,000. |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)
Face Amount (000) | Value (000) | |||||||
Fixed Income Securities (47.0%) | ||||||||
Agency Adjustable Rate Mortgage (0.0%) (a) | ||||||||
United States (0.0%) (a) | ||||||||
Federal Home Loan Mortgage Corporation, | ||||||||
Conventional Pool: | ||||||||
12 Month USD LIBOR + 1.63%, 1.94%, 7/1/45 | $ | 14 | $ | 15 | ||||
Agency Fixed Rate Mortgages (3.0%) | ||||||||
United States (3.0%) | ||||||||
Federal Home Loan Mortgage Corporation, | ||||||||
Conventional Pool: | ||||||||
4.50%, 1/1/49 | 61 | 65 | ||||||
Gold Pools: | ||||||||
3.50%, 1/1/44 – 6/1/45 | 584 | 629 | ||||||
4.50%, 1/1/49 | 22 | 23 | ||||||
6.50%, 5/1/32 – 7/1/32 | 25 | 27 | ||||||
7.50%, 5/1/35 | 2 | 3 | ||||||
Federal National Mortgage Association, | ||||||||
Conventional Pools: | ||||||||
3.00%, 7/1/49 | 313 | 322 | ||||||
3.50%, 3/1/47 – 1/1/51 | 1,455 | 1,533 | ||||||
4.00%, 4/1/45 – 9/1/45 | 601 | 659 | ||||||
4.50%, 3/1/41 – 11/1/44 | 108 | 118 | ||||||
5.00%, 1/1/41 – 3/1/41 | 273 | 304 | ||||||
6.00%, 1/1/38 | 3 | 3 | ||||||
6.50%, 12/1/29 | 7 | 8 | ||||||
7.50%, 8/1/37 | 4 | 5 | ||||||
February TBA: | ||||||||
2.50%, 2/1/52 (b) | 5,000 | 5,089 | ||||||
January TBA: | ||||||||
2.00%, 1/1/52 (b) | 1,900 | 1,894 | ||||||
3.00%, 1/1/52 (b) | 5,150 | 5,336 | ||||||
Government National Mortgage Association, | ||||||||
Various Pools: | ||||||||
4.00%, 8/20/41 – 11/20/42 | 160 | 174 | ||||||
4.50%, 6/20/49 | 40 | 42 | ||||||
5.00%, 2/20/49 – 6/20/49 | 66 | 69 | ||||||
5.50%, 8/15/39 | 16 | 17 | ||||||
16,320 | ||||||||
Asset-Backed Securities (0.4%) | ||||||||
United States (0.4%) | ||||||||
Freed ABS Trust, | ||||||||
3.06%, 3/18/27 (c) | 262 | 263 | ||||||
HGI CRE CLO 2021-FL2 Ltd., | ||||||||
1 Month USD LIBOR + 1.00%, 1.11%, 9/17/36 (c)(d) | 500 | 497 | ||||||
Invitation Homes Trust, | ||||||||
1 Month USD LIBOR + 1.30%, 1.41%, 7/17/37 (c)(d) | 225 | 225 | ||||||
New Century Home Equity Loan Trust, | ||||||||
1 Month USD LIBOR + 1.35%, 1.45%, 3/25/33 (d) | 206 | 206 | ||||||
NovaStar Mortgage Funding Trust, | ||||||||
1 Month USD LIBOR + 1.58%, 1.68%, 12/25/34 (d) | 200 | 200 | ||||||
Renaissance Home Equity Loan Trust, | ||||||||
1 Month USD LIBOR + 0.76%, 0.86%, 12/25/32 (d) | 214 | 211 | ||||||
SASCO Mortgage Loan Trust, | ||||||||
1 Month USD LIBOR + 2.18%, 2.27%, 5/25/34 (d) | 177 | 178 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
SLM Student Loan Trust, | |||||||
3 Month EURIBOR + 0.55%, 0.01%, 7/25/39 (d) | EUR | 409 | 459 | ||||
2,239 | |||||||
Commercial Mortgage-Backed Securities (0.3%) | |||||||
United Kingdom (0.0%) (a) | |||||||
Taurus 2018-2 UK DAC, | |||||||
3 Month GBP LIBOR + 1.10%, 1.21%, 5/22/28 (d) | GBP | 147 | 199 | ||||
United States (0.3%) | |||||||
Ashford Hospitality Trust, | |||||||
1 Month USD LIBOR + 1.85%, 1.96%, 6/15/35 (c)(d) | $ | 250 | 250 | ||||
Commercial Mortgage Trust, | |||||||
3.28%, 1/10/46 | 305 | 311 | |||||
4.75%, 7/15/47 (c)(d) | 152 | 152 | |||||
Federal Home Loan Mortgage Corporation, | |||||||
2.79%, 1/25/22 | 7 | 7 | |||||
UBS-Barclays Commercial Mortgage Trust, | |||||||
3.53%, 5/10/63 | 255 | 256 | |||||
WFRBS Commercial Mortgage Trust, | |||||||
4.00%, 10/15/57 (c)(d) | 200 | 197 | |||||
5.00%, 9/15/46 (c)(d) | 375 | 374 | |||||
1,547 | |||||||
1,746 | |||||||
Corporate Bonds (11.2%) | |||||||
Australia (0.5%) | |||||||
Australia & New Zealand Banking Group Ltd., | |||||||
2.57%, 11/25/35 (c) | 600 | 575 | |||||
Commonwealth Bank of Australia, | |||||||
1.94%, 10/3/29 | EUR | 400 | 473 | ||||
Macquarie Group Ltd., | |||||||
4.15%, 3/27/24 (c) | $ | 225 | 233 | ||||
NBN Co. Ltd., | |||||||
2.63%, 5/5/31 (c) | 575 | 578 | |||||
Transurban Finance Co. Pty Ltd., | |||||||
2.00%, 8/28/25 | EUR | 350 | 424 | ||||
Westpac Banking Corp., | |||||||
2.67%, 11/15/35 | $ | 650 | 634 | ||||
2,917 | |||||||
Belgium (0.1%) | |||||||
Anheuser-Busch InBev SA N.V., | |||||||
2.75%, 3/17/36 | EUR | 350 | 472 | ||||
Brazil (0.1%) | |||||||
JBS Finance Luxembourg Sarl, | |||||||
2.50%, 1/15/27 (c) | $ | 350 | 347 | ||||
Canada (0.5%) | |||||||
Enbridge, Inc., | |||||||
2.50%, 1/15/25 | 600 | 617 | |||||
Province of Ontario Canada, | |||||||
2.30%, 6/15/26 | 970 | 1,008 | |||||
Province of Quebec Canada, | |||||||
1.35%, 5/28/30 | 1,210 | 1,173 | |||||
2,798 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
China (0.1%) | |||||||
Alibaba Group Holding Ltd., | |||||||
2.13%, 2/9/31 | 400 | 386 | |||||
Baidu, Inc., | |||||||
2.88%, 7/6/22 | 200 | 202 | |||||
588 | |||||||
Colombia (0.2%) | |||||||
Ecopetrol SA, | |||||||
5.88%, 9/18/23 | 1,000 | 1,061 | |||||
Denmark (0.0%) (a) | |||||||
Danske Bank A/S, | |||||||
5.00%, 1/12/23 (c) | 200 | 200 | |||||
France (0.7%) | |||||||
AXA SA, | |||||||
3.25%, 5/28/49 | EUR | 500 | 639 | ||||
Banque Federative du Credit Mutuel SA, | |||||||
0.75%, 7/17/25 | 400 | 465 | |||||
BNP Paribas SA, | |||||||
1.13%, 6/11/26 | 485 | 572 | |||||
1.25%, 7/13/31 | GBP | 200 | 252 | ||||
BPCE SA, | |||||||
5.15%, 7/21/24 (c) | $ | 925 | 1,002 | ||||
Orange SA, | |||||||
5.00%, 10/1/26 (e) | EUR | 250 | 335 | ||||
TotalEnergies SE, | |||||||
2.71%, 12/29/49 (e) | 100 | 117 | |||||
3.88%, 12/29/49 (e) | 250 | 289 | |||||
3,671 | |||||||
Germany (0.8%) | |||||||
Bayer US Finance II LLC, | |||||||
3.88%, 12/15/23 (c) | $ | 875 | 915 | ||||
Daimler Finance North America LLC, | |||||||
0.75%, 3/1/24 (c) | 550 | 545 | |||||
Deutsche Bank AG, | |||||||
2.22%, 9/18/24 | 250 | 253 | |||||
Series E | |||||||
0.96%, 11/8/23 | 375 | 375 | |||||
Deutsche Telekom International Finance BV, | |||||||
4.38%, 6/21/28 (c) | 625 | 698 | |||||
Kreditanstalt fuer Wiederaufbau, | |||||||
1.13%, 9/15/32 | EUR | 810 | 1,016 | ||||
Volkswagen International Finance N.V., Series 10Y | |||||||
1.88%, 3/30/27 | 500 | 611 | |||||
4,413 | |||||||
India (0.2%) | |||||||
ONGC Videsh Vankorneft Pte Ltd., | |||||||
3.75%, 7/27/26 | $ | 1,050 | 1,102 | ||||
Ireland (0.1%) | |||||||
AerCap Ireland Capital DAC, | |||||||
2.45%, 10/29/26 | 425 | 429 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Avolon Holdings Funding Ltd., | |||||||
2.88%, 2/15/25 (c) | 325 | 332 | |||||
761 | |||||||
Italy (0.1%) | |||||||
Assicurazioni Generali SpA, | |||||||
5.50%, 10/27/47 | EUR | 400 | 554 | ||||
Japan (0.1%) | |||||||
NTT Finance Corp., | |||||||
1.59%, 4/3/28 (c) | $ | 800 | 782 | ||||
Korea, Republic of (0.4%) | |||||||
Korea Electric Power Corp., | |||||||
2.50%, 6/24/24 (c) | 810 | 837 | |||||
Korea Hydro & Nuclear Power Co., Ltd., | |||||||
3.75%, 7/25/23 (c) | 510 | 532 | |||||
Korea Southern Power Co. Ltd., | |||||||
0.75%, 1/27/26 (c) | 730 | 705 | |||||
2,074 | |||||||
Luxembourg (0.2%) | |||||||
Blackstone Property Partners Europe Holdings Sarl, | |||||||
1.25%, 4/26/27 | EUR | 400 | 459 | ||||
Logicor Financing Sarl, | |||||||
1.50%, 7/13/26 | 300 | 354 | |||||
813 | |||||||
Mexico (0.1%) | |||||||
Fomento Economico Mexicano SAB de CV, | |||||||
0.50%, 5/28/28 | 500 | 563 | |||||
Netherlands (0.1%) | |||||||
ASR Nederland N.V., | |||||||
5.00%, 9/30/24 (e) | 425 | 540 | |||||
Qatar (0.0%) (a) | |||||||
Ooredoo International Finance Ltd., | |||||||
2.63%, 4/8/31 (c) | $ | 200 | 201 | ||||
Saudi Arabia (0.1%) | |||||||
Saudi Arabian Oil Co., | |||||||
3.50%, 4/16/29 | 690 | 739 | |||||
Spain (0.3%) | |||||||
Banco Santander SA, | |||||||
3.13%, 1/19/27 | EUR | 400 | 505 | ||||
5.18%, 11/19/25 | $ | 800 | 891 | ||||
CaixaBank SA, | |||||||
0.75%, 4/18/23 | EUR | 400 | 461 | ||||
1,857 | |||||||
Sweden (0.1%) | |||||||
Akelius Residential Property Financing BV, | |||||||
1.13%, 1/11/29 | 400 | 449 | |||||
Switzerland (0.4%) | |||||||
Credit Suisse Group AG, | |||||||
2.19%, 6/5/26 (c) | $ | 575 | 578 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Syngenta Finance N.V., | |||||||
4.44%, 4/24/23 (c) | 200 | 207 | |||||
UBS Group Funding Switzerland AG, | |||||||
3.49%, 5/23/23 (c) | 1,150 | 1,162 | |||||
1,947 | |||||||
United Arab Emirates (0.2%) | |||||||
ADCB Finance Cayman Ltd., | |||||||
4.00%, 3/29/23 (c) | 200 | 207 | |||||
Galaxy Pipeline Assets Bidco Ltd., | |||||||
2.63%, 3/31/36 (c) | 650 | 637 | |||||
844 | |||||||
United Kingdom (1.1%) | |||||||
BAT Capital Corp., | |||||||
3.56%, 8/15/27 | 675 | 708 | |||||
BP Capital Markets PLC, | |||||||
2.50%, 11/6/22 | 350 | 356 | |||||
HSBC Holdings PLC, | |||||||
2.26%, 11/13/26 | GBP | 300 | 411 | ||||
2.63%, 11/7/25 | $ | 525 | 539 | ||||
4.25%, 3/14/24 | 700 | 740 | |||||
Lloyds Banking Group PLC, | |||||||
1.75%, 9/7/28 | EUR | 330 | 386 | ||||
2.25%, 10/16/24 | GBP | 400 | 552 | ||||
Nationwide Building Society, | |||||||
3.77%, 3/8/24 (c) | $ | 300 | 309 | ||||
4.36%, 8/1/24 (c) | 200 | 209 | |||||
Natwest Group PLC, | |||||||
3.88%, 9/12/23 | 950 | 991 | |||||
NGG Finance PLC, | |||||||
5.63%, 6/18/73 | GBP | 350 | 515 | ||||
Western Power Distribution West Midlands PLC, | |||||||
5.75%, 4/16/32 | 200 | 362 | |||||
6,078 | |||||||
United States (4.7%) | |||||||
7-Eleven, Inc., | |||||||
1.30%, 2/10/28 (c) | $ | 550 | 524 | ||||
Altria Group, Inc., | |||||||
2.45%, 2/4/32 | 425 | 404 | |||||
Amazon.com, Inc., | |||||||
2.70%, 6/3/60 | 250 | 242 | |||||
American Tower Corp., | |||||||
2.40%, 3/15/25 | 250 | 257 | |||||
AT&T, Inc., | |||||||
1.80%, 9/5/26 | EUR | 400 | 484 | ||||
2.90%, 12/4/26 | GBP | 350 | 499 | ||||
3.10%, 2/1/43 | 300 | 292 | |||||
Bank of America Corp., | |||||||
2.57%, 10/20/32 | $ | 275 | 277 | ||||
2.69%, 4/22/32 | 325 | 330 | |||||
MTN | |||||||
4.00%, 1/22/25 | 1,050 | 1,122 | |||||
Boeing Co. (The), | |||||||
5.15%, 5/1/30 | 525 | 612 | |||||
Broadcom, Inc., | |||||||
2.45%, 2/15/31 (c) | 50 | 49 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Burlington Northern Santa Fe LLC, | |||||||
3.05%, 2/15/51 | 125 | 130 | |||||
3.30%, 9/15/51 | 50 | 54 | |||||
4.55%, 9/1/44 | 45 | 57 | |||||
Capital One Financial Corp., | |||||||
3.30%, 10/30/24 | 425 | 448 | |||||
CDW LLC, | |||||||
2.67%, 12/1/26 | 150 | 154 | |||||
Charter Communications Operating LLC, | |||||||
2.30%, 2/1/32 | 75 | 71 | |||||
2.80%, 4/1/31 | 200 | 198 | |||||
3.50%, 3/1/42 | 125 | 121 | |||||
5.13%, 7/1/49 | 125 | 145 | |||||
Chubb INA Holdings, Inc., | |||||||
0.88%, 6/15/27 | EUR | 400 | 466 | ||||
Cigna Corp., | |||||||
2.38%, 3/15/31 | $ | 150 | 151 | ||||
3.88%, 10/15/47 | 200 | 224 | |||||
Comcast Corp., | |||||||
1.95%, 1/15/31 | 675 | 662 | |||||
CVS Health Corp., | |||||||
3.75%, 4/1/30 | 500 | 549 | |||||
Deere & Co., | |||||||
3.10%, 4/15/30 | 450 | 486 | |||||
Diamondback Energy, Inc., | |||||||
2.88%, 12/1/24 | 800 | 831 | |||||
Eli Lilly & Co., | |||||||
1.70%, 11/1/49 | EUR | 200 | 251 | ||||
Emerson Electric Co., | |||||||
1.25%, 10/15/25 | 450 | 532 | |||||
Energy Transfer LP, | |||||||
2.90%, 5/15/25 | $ | 775 | 801 | ||||
Enterprise Products Operating LLC, | |||||||
3.95%, 1/31/60 | 275 | 298 | |||||
Ford Motor Credit Co. LLC, | |||||||
3.09%, 1/9/23 | 300 | 305 | |||||
Fox Corp., | |||||||
4.71%, 1/25/29 | 775 | 885 | |||||
Georgia-Pacific LLC, | |||||||
2.30%, 4/30/30 (c) | 675 | 677 | |||||
HCA, Inc., | |||||||
5.25%, 6/15/49 | 250 | 322 | |||||
JPMorgan Chase & Co., | |||||||
1.95%, 2/4/32 | 1,000 | 964 | |||||
Level 3 Financing, Inc., | |||||||
3.40%, 3/1/27 (c) | 550 | 569 | |||||
Lowe's Cos., Inc., | |||||||
1.30%, 4/15/28 | 425 | 408 | |||||
1.70%, 10/15/30 | 475 | 452 | |||||
McDonald's Corp., MTN | |||||||
3.38%, 5/26/25 | 350 | 372 | |||||
Metropolitan Life Global Funding I, | |||||||
2.95%, 4/9/30 (c) | 575 | 607 | |||||
NextEra Energy Capital Holdings, Inc., | |||||||
2.75%, 11/1/29 | 525 | 540 | |||||
NIKE, Inc., | |||||||
3.25%, 3/27/40 | 200 | 218 | |||||
NVIDIA Corp., | |||||||
2.00%, 6/15/31 | 825 | 822 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Occidental Petroleum Corp., | ||||||
3.20%, 8/15/26 | 40 | 41 | ||||
5.55%, 3/15/26 | 350 | 390 | ||||
Oracle Corp., | ||||||
2.50%, 4/1/25 | 150 | 154 | ||||
2.88%, 3/25/31 | 275 | 277 | ||||
Pacific Gas and Electric Co., | ||||||
2.50%, 2/1/31 | 125 | 119 | ||||
PepsiCo, Inc., | ||||||
2.63%, 4/28/26 | EUR | 400 | 503 | |||
Prologis Euro Finance LLC, | ||||||
1.88%, 1/5/29 | 300 | 369 | ||||
Synchrony Bank, | ||||||
3.00%, 6/15/22 | $ | 875 | 883 | |||
Thermo Fisher Scientific, Inc., | ||||||
1.88%, 10/1/49 | EUR | 200 | 234 | |||
Upjohn Finance BV, | ||||||
1.91%, 6/23/32 | 550 | 656 | ||||
Verizon Communications, Inc., | ||||||
1.13%, 11/3/28 | GBP | 300 | 389 | |||
2.99%, 10/30/56 | $ | 225 | 214 | |||
3.40%, 3/22/41 | 375 | 393 | ||||
Vontier Corp., | ||||||
2.40%, 4/1/28 (c) | 250 | 242 | ||||
Walt Disney Co. (The), | ||||||
2.65%, 1/13/31 | 398 | 415 | ||||
3.80%, 3/22/30 | 300 | 337 | ||||
Wells Fargo & Co., | ||||||
3.07%, 4/30/41 | 450 | 462 | ||||
MTN | ||||||
2.88%, 10/30/30 | 675 | 702 | ||||
25,642 | ||||||
61,413 | ||||||
Mortgages - Other (0.7%) | ||||||
Germany (0.1%) | ||||||
Berg Finance, | ||||||
1.05%, 4/22/33 | EUR | 393 | 447 | |||
Ireland (0.1%) | ||||||
Glenbeigh 2 Issuer 2021-2 DAC, | ||||||
3 Month EURIBOR + 0.75%, 0.21%, 6/24/50 (c)(d) | 436 | 497 | ||||
Netherlands (0.0%) (a) | ||||||
E-MAC NL 2006-II BV, | ||||||
3 Month EURIBOR + 0.13%, 0.67%, 1/25/39 (d) | 176 | 196 | ||||
United Kingdom (0.1%) | ||||||
Great Hall Mortgages No. 1 PLC, | ||||||
3 Month EURIBOR + 0.25%, 0.00%, 6/18/38 (d) | 200 | 221 | ||||
Landmark Mortgage Securities No. 3 PLC, | ||||||
3 Month GBP LIBOR + 2.10%, 2.31%, 4/17/44 (d) | GBP | 222 | 301 | |||
522 | ||||||
United States (0.4%) | ||||||
Banc of America Alternative Loan Trust, | ||||||
6.36%, 10/25/36 | $ | 24 | 10 | |||
ChaseFlex Trust, | ||||||
6.00%, 2/25/37 | 21 | 12 | ||||
Federal Home Loan Mortgage Corporation, | ||||||
3.00%, 9/25/45 – 5/25/47 | 303 | 303 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
3.50%, 5/25/45 – 7/25/46 | 110 | 112 | ||||
4.00%, 5/25/45 | 6 | 7 | ||||
GSR Mortgage Loan Trust, | ||||||
5.75%, 1/25/37 | 8 | 7 | ||||
Hundred Acre Wood Trust, | ||||||
2.50%, 10/25/51 (c)(d) | 496 | 496 | ||||
Lehman Mortgage Trust, | ||||||
6.50%, 9/25/37 | 17 | 8 | ||||
Mello Mortgage Capital Acceptance, | ||||||
2.50%, 8/25/51 (c)(d) | 575 | 575 | ||||
Seasoned Credit Risk Transfer Trust, | ||||||
3.00%, 7/25/58 – 10/25/58 | 310 | 323 | ||||
4.00%, 10/25/58 | 34 | 36 | ||||
1,889 | ||||||
3,551 | ||||||
Sovereign (26.7%) | ||||||
Australia (0.8%) | ||||||
Australia Government Bond, | ||||||
0.25%, 11/21/25 | AUD | 3,450 | 2,418 | |||
2.50%, 5/21/30 | 390 | 303 | ||||
2.75%, 11/21/29 | 1,110 | 878 | ||||
3.25%, 4/21/25 | 1,140 | 888 | ||||
4,487 | ||||||
Austria (0.1%) | ||||||
Republic of Austria Government Bond, | ||||||
0.00%, 2/20/30 (c) | EUR | 360 | 410 | |||
Belgium (0.4%) | ||||||
Kingdom of Belgium Government Bond, | ||||||
0.90%, 6/22/29 (c) | 170 | 208 | ||||
1.70%, 6/22/50 (c) | 480 | 654 | ||||
1.90%, 6/22/38 (c) | 760 | 1,052 | ||||
1,914 | ||||||
Canada (1.2%) | ||||||
Canadian Government Bond, | ||||||
1.25%, 6/1/30 | CAD | 2,600 | 2,041 | |||
2.00%, 12/1/51 | 100 | 85 | ||||
2.25%, 6/1/29 | 5,410 | 4,565 | ||||
6,691 | ||||||
China (9.1%) | ||||||
Agricultural Development Bank of China, | ||||||
2.25%, 4/22/25 | CNY | 3,600 | 557 | |||
3.79%, 10/26/30 | 3,430 | 565 | ||||
China Development Bank, | ||||||
3.07%, 3/10/30 | 7,380 | 1,153 | ||||
3.34%, 7/14/25 | 3,430 | 550 | ||||
China Government Bond, | ||||||
3.02%, 5/27/31 | 89,000 | 14,192 | ||||
3.13%, 11/21/29 | 20,150 | 3,226 | ||||
3.27%, 11/19/30 | 167,720 | 27,223 | ||||
3.81%, 9/14/50 | 3,170 | 533 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
3.86%, 7/22/49 | 6,000 | 1,015 | ||||
Export-Import Bank of China (The), | ||||||
2.93%, 3/2/25 | 3,470 | 549 | ||||
49,563 | ||||||
Colombia (0.0%) (a) | ||||||
Colombian TESSeries B, | ||||||
7.75%, 9/18/30 | COP | 618,000 | 148 | |||
Denmark (0.1%) | ||||||
Denmark Government Bond, | ||||||
0.50%, 11/15/27 | DKK | 3,000 | 479 | |||
Finland (0.1%) | ||||||
Finland Government Bond, | ||||||
1.13%, 4/15/34 (c) | EUR | 370 | 469 | |||
France (1.9%) | ||||||
Agence Francaise de Developpement EPIC, | ||||||
1.50%, 10/31/34 | 500 | 636 | ||||
Banque Federative du Credit Mutuel SA, | ||||||
1.25%, 12/5/25 | GBP | 400 | 536 | |||
French Republic Government Bond OAT, | ||||||
0.00%, 11/25/29 | EUR | 6,260 | 7,134 | |||
2.00%, 5/25/48 (c) | 860 | 1,260 | ||||
SNCF Reseau, | ||||||
1.88%, 3/30/34 | 400 | 524 | ||||
10,090 | ||||||
Germany (0.7%) | ||||||
Bundesrepublik Deutschland Bundesanleihe, | ||||||
0.00%, 5/15/36 | 110 | 125 | ||||
0.25%, 2/15/29 | 1,010 | 1,201 | ||||
4.25%, 7/4/39 | 390 | 783 | ||||
State of North Rhine-Westphalia Germany, | ||||||
1.65%, 2/22/38 | 1,320 | 1,761 | ||||
3,870 | ||||||
Greece (2.6%) | ||||||
Hellenic Republic Government Bond, | ||||||
0.75%, 6/18/31 (c) | 13,323 | 14,413 | ||||
Hong Kong (0.1%) | ||||||
Hong Kong Government International Bond, | ||||||
2.50%, 5/28/24 (c) | $ | 250 | 259 | |||
Hungary (0.0%) (a) | ||||||
Hungary Government Bond, | ||||||
3.00%, 8/21/30 | HUF | 24,000 | 66 | |||
Indonesia (0.2%) | ||||||
Indonesia Government International Bond, | ||||||
1.75%, 4/24/25 | EUR | 540 | 642 | |||
Indonesia Treasury Bond, | ||||||
6.50%, 2/15/31 | IDR | 4,104,000 | 291 | |||
8.25%, 5/15/29 | 1,408,000 | 110 | ||||
8.38%, 3/15/34 | 3,572,000 | 282 | ||||
1,325 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Ireland (0.1%) | ||||||
Ireland Government Bond, | ||||||
0.20%, 10/18/30 | EUR | 410 | 470 | |||
Italy (1.2%) | ||||||
Italy Buoni Poliennali Del Tesoro, | ||||||
0.00%, 8/1/26 | 1,190 | 1,330 | ||||
1.40%, 5/26/25 (c) | 301 | 373 | ||||
1.65%, 12/1/30 (c) | 180 | 216 | ||||
1.85%, 7/1/25 (c) | 1,960 | 2,360 | ||||
2.45%, 9/1/50 (c) | 1,250 | 1,568 | ||||
Republic of Italy Government International Bond, | ||||||
0.88%, 5/6/24 | $ | 745 | 737 | |||
6,584 | ||||||
Japan (4.5%) | ||||||
Japan Government Five Year Bond, | ||||||
0.10%, 6/20/24 | JPY | 605,000 | 5,285 | |||
Japan Government Ten Year Bond, | ||||||
0.10%, 6/20/26 – 6/20/29 | 983,000 | 8,631 | ||||
Japan Government Thirty Year Bond, | ||||||
0.30%, 6/20/46 | 207,000 | 1,689 | ||||
0.40%, 9/20/49 | 131,000 | 1,064 | ||||
0.60%, 6/20/50 | 14,000 | 119 | ||||
1.70%, 6/20/33 | 447,800 | 4,574 | ||||
Japan Government Twenty Year Bond, | ||||||
0.40%, 6/20/41 | 401,000 | 3,444 | ||||
24,806 | ||||||
Korea, Republic of (0.4%) | ||||||
Export-Import Bank of Korea, | ||||||
0.63%, 2/9/26 | $ | 640 | 620 | |||
2.38%, 6/25/24 | 510 | 527 | ||||
Korea Development Bank (The), | ||||||
0.80%, 7/19/26 | 590 | 573 | ||||
Korea International Bond, | ||||||
2.00%, 6/19/24 | 350 | 359 | ||||
2,079 | ||||||
Malaysia (0.3%) | ||||||
Malaysia Government Bond, | ||||||
3.89%, 8/15/29 | MYR | 2,330 | 571 | |||
Petronas Capital Ltd., | ||||||
3.50%, 3/18/25 (c) | $ | 875 | 928 | |||
1,499 | ||||||
Mexico (0.2%) | ||||||
Mexican Bonos, | ||||||
Series M | ||||||
7.50%, 6/3/27 | MXN | 6,000 | 294 | |||
8.50%, 5/31/29 | 5,900 | 305 | ||||
Mexico Government International Bond, | ||||||
4.50%, 4/22/29 | $ | 530 | 591 | |||
Petroleos Mexicanos, | ||||||
6.95%, 1/28/60 | 135 | 121 | ||||
1,311 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Netherlands (0.3%) | ||||||
Nederlandse Waterschapsbank N.V., | ||||||
1.00%, 5/28/30 (c) | EUR | 376 | 358 | |||
Netherlands Government Bond, | ||||||
0.00%, 7/15/30 (c) | 970 | 1,116 | ||||
2.75%, 1/15/47 (c) | 90 | 167 | ||||
1,641 | ||||||
Nigeria (0.0%) (a) | ||||||
Africa Finance Corp., | ||||||
4.38%, 4/17/26 (c) | $ | 200 | 216 | |||
Norway (0.0%) (a) | ||||||
Norway Government Bond, | ||||||
1.38%, 8/19/30 (c) | NOK | 1,080 | 120 | |||
Poland (0.1%) | ||||||
Republic of Poland Government Bond, | ||||||
0.25%, 10/25/26 | PLN | 1,300 | 272 | |||
Russia (0.1%) | ||||||
Russian Federal Bond - OFZ, | ||||||
7.95%, 10/7/26 | RUB | 29,000 | 381 | |||
Spain (0.6%) | ||||||
Spain Government Bond, | ||||||
0.00%, 1/31/28 | EUR | 540 | 611 | |||
1.25%, 10/31/30 (c) | 1,620 | 1,978 | ||||
2.70%, 10/31/48 (c) | 410 | 614 | ||||
3.45%, 7/30/66 (c) | 120 | 206 | ||||
3,409 | ||||||
Sweden (0.1%) | ||||||
Sweden Government Bond, | ||||||
0.75%, 5/12/28 | SEK | 2,430 | 279 | |||
1.00%, 11/12/26 | 1,440 | 167 | ||||
446 | ||||||
United Kingdom (1.5%) | ||||||
United Kingdom Gilt, | ||||||
0.38%, 10/22/30 | GBP | 2,350 | 3,037 | |||
0.63%, 10/22/50 | 680 | 810 | ||||
1.63%, 10/22/28 | 1,160 | 1,657 | ||||
3.50%, 1/22/45 | 840 | 1,666 | ||||
4.25%, 9/7/39 | 620 | 1,256 | ||||
8,426 | ||||||
145,844 | ||||||
Supranational (1.1%) | ||||||
Asian Development Bank, | ||||||
2.13%, 5/19/31 | NZD | 300 | 192 | |||
European Investment Bank, | ||||||
0.20%, 7/15/24 | EUR | 970 | 1,122 | |||
Series EARN | ||||||
0.00%, 1/14/31 | 925 | 1,045 | ||||
International Bank for Reconstruction & Development, | ||||||
SOFR + 0.43%, 0.48%, 8/19/27 (d) | AUD | 1,630 | 1,648 | |||
2.20%, 2/27/24 | 3,040 | 2,270 | ||||
6,277 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
U.S. Treasury Securities (3.6%) | ||||||||
United States (3.6%) | ||||||||
U.S. Treasury Bonds, | ||||||||
1.13%, 5/15/40 | $ | 4,920 | 4,314 | |||||
1.25%, 5/15/50 | 2,540 | 2,158 | ||||||
2.13%, 5/15/25 | 1,390 | 1,439 | ||||||
2.50%, 2/15/45 | 1,260 | 1,386 | ||||||
2.75%, 8/15/47 | 2,950 | 3,434 | ||||||
U.S. Treasury Notes, | ||||||||
1.13%, 10/31/26 | 2,210 | 2,196 | ||||||
1.88%, 6/30/26 | 1,950 | 2,005 | ||||||
2.50%, 5/15/24 | 2,480 | 2,576 | ||||||
19,508 | ||||||||
Total Fixed Income Securities (Cost $257,368) | 256,913 |
Shares | ||||||||
Common Stocks (35.3%) | ||||||||
Australia (1.0%) | ||||||||
Afterpay Ltd. (f) | 1,041 | 63 | ||||||
Ampol Ltd. | 1,106 | 24 | ||||||
APA Group | 5,349 | 39 | ||||||
Aristocrat Leisure Ltd. | 2,770 | 88 | ||||||
ASX Ltd. | 885 | 60 | ||||||
Aurizon Holdings Ltd. | 8,422 | 21 | ||||||
AusNet Services Ltd. | 8,762 | 16 | ||||||
Australia & New Zealand Banking Group Ltd. | 13,437 | 269 | ||||||
BHP Group Ltd. | 13,580 | 410 | ||||||
BlueScope Steel Ltd. | 2,337 | 35 | ||||||
Brambles Ltd. | 6,597 | 51 | ||||||
Cochlear Ltd. | 304 | 48 | ||||||
Coles Group Ltd. | 6,100 | 80 | ||||||
Commonwealth Bank of Australia | 8,139 | 598 | ||||||
Computershare Ltd. | 2,483 | 36 | ||||||
Crown Resorts Ltd. (f) | 1,702 | 15 | ||||||
CSL Ltd. | 2,127 | 450 | ||||||
Dexus REIT | 4,979 | 40 | ||||||
Domino's Pizza Enterprises Ltd. | 274 | 23 | ||||||
Endeavour Group Ltd. (Australia) | 6,191 | 30 | ||||||
Evolution Mining Ltd. | 8,301 | 24 | ||||||
Fortescue Metals Group Ltd. | 7,813 | 109 | ||||||
Goodman Group REIT | 7,614 | 147 | ||||||
GPT Group (The) REIT | 8,849 | 35 | ||||||
IDP Education Ltd. | 958 | 24 | ||||||
Insurance Australia Group Ltd. | 11,535 | 36 | ||||||
James Hardie Industries PLC CDI | 2,040 | 82 | ||||||
Lendlease Corp Ltd. REIT | 3,210 | 25 | ||||||
Macquarie Group Ltd. | 1,603 | 239 | ||||||
Magellan Financial Group Ltd. | 625 | 10 | ||||||
Medibank Pvt Ltd. | 12,527 | 30 | ||||||
Mirvac Group REIT | 18,286 | 39 | ||||||
National Australia Bank Ltd. | 15,468 | 325 | ||||||
Newcrest Mining Ltd. | 3,806 | 68 | ||||||
Northern Star Resources Ltd. | 5,133 | 35 | ||||||
OneMarket Ltd. (f) | 390 | — | ||||||
Orica Ltd. | 1,889 | 19 | ||||||
Origin Energy Ltd. | 8,090 | 31 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Qantas Airways Ltd. (f) | 4,288 | 16 | ||||||
QBE Insurance Group Ltd. | 6,823 | 56 | ||||||
Ramsay Health Care Ltd. | 844 | 44 | ||||||
REA Group Ltd. | 242 | 29 | ||||||
Reece Ltd. | 1,326 | 26 | ||||||
Rio Tinto Ltd. | 1,698 | 124 | ||||||
Santos Ltd. | 14,565 | 67 | ||||||
Scentre Group REIT | 23,673 | 54 | ||||||
Seek Ltd. | 1,532 | 36 | ||||||
Sonic Healthcare Ltd. | 2,113 | 72 | ||||||
South32 Ltd. | 21,276 | 62 | ||||||
Stockland REIT | 10,922 | 34 | ||||||
Suncorp Group Ltd. | 5,881 | 47 | ||||||
Sydney Airport (f) | 6,050 | 38 | ||||||
Tabcorp Holdings Ltd. | 10,286 | 38 | ||||||
Telstra Corp., Ltd. | 18,999 | 58 | ||||||
Transurban Group | 13,964 | 140 | ||||||
Treasury Wine Estates Ltd. | 3,283 | 30 | ||||||
Vicinity Centres REIT | 17,806 | 22 | ||||||
Washington H Soul Pattinson & Co. Ltd. | 1,008 | 22 | ||||||
Wesfarmers Ltd. | 5,161 | 223 | ||||||
Westpac Banking Corp. | 16,923 | 263 | ||||||
WiseTech Global Ltd. | 650 | 28 | ||||||
Woodside Petroleum Ltd. | 4,441 | 71 | ||||||
Woolworths Group Ltd. | 5,793 | 160 | ||||||
Xero Ltd. (f) | 611 | 63 | ||||||
5,497 | ||||||||
Austria (0.0%) (a) | ||||||||
Erste Group Bank AG | 1,424 | 67 | ||||||
OMV AG | 616 | 35 | ||||||
Raiffeisen Bank International AG | 612 | 18 | ||||||
Verbund AG | 290 | 33 | ||||||
voestalpine AG | 479 | 17 | ||||||
170 | ||||||||
Belgium (0.1%) | ||||||||
Ageas SA N.V. | 815 | 42 | ||||||
Anheuser-Busch InBev SA N.V. | 3,612 | 219 | ||||||
Argenx SE (f) (Euronext) | 55 | 20 | ||||||
Argenx SE (f) (NYSE) | 167 | 60 | ||||||
Elia Group SA | 148 | 19 | ||||||
Etablissements Franz Colruyt N.V. | 259 | 11 | ||||||
Groupe Bruxelles Lambert SA | 543 | 61 | ||||||
KBC Group N.V. | 1,202 | 103 | ||||||
Proximus SADP | 764 | 15 | ||||||
Sofina SA | 74 | 36 | ||||||
Solvay SA | 356 | 41 | ||||||
UCB SA | 609 | 70 | ||||||
Umicore SA | 949 | 39 | ||||||
736 | ||||||||
Canada (1.7%) | ||||||||
Agnico Eagle Mines Ltd. | 1,165 | 62 | ||||||
Air Canada (f) | 833 | 14 | ||||||
Algonquin Power & Utilities Corp. | 3,077 | 44 | ||||||
Alimentation Couche-Tard, Inc. | 3,901 | 163 | ||||||
AltaGas Ltd. | 1,328 | 29 | ||||||
Ballard Power Systems, Inc. (f) | 1,144 | 14 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Bank of Montreal | 2,955 | 318 | ||||||
Bank of Nova Scotia (The) | 5,530 | 392 | ||||||
Barrick Gold Corp. (LSE) | 6,402 | 122 | ||||||
Barrick Gold Corp. (NYSE) | 1,893 | 35 | ||||||
Bausch Health Cos., Inc. (f) | 1,469 | 41 | ||||||
BCE, Inc. | 342 | 18 | ||||||
Blackberry Ltd. (f) | 2,520 | 24 | ||||||
Brookfield Asset Management, Inc., Class A | 6,431 | 388 | ||||||
Brookfield Renewable Corp., Class A | 624 | 23 | ||||||
CAE, Inc. (f) | 1,519 | 38 | ||||||
Cameco Corp. | 1,928 | 42 | ||||||
Canadian Apartment Properties REIT | 400 | 19 | ||||||
Canadian Imperial Bank of Commerce | 2,032 | 237 | ||||||
Canadian National Railway Co. | 3,230 | 397 | ||||||
Canadian Natural Resources Ltd. | 5,434 | 230 | ||||||
Canadian Pacific Railway Ltd. (NYSE) | 599 | 43 | ||||||
Canadian Pacific Railway Ltd. (TSX) | 3,064 | 220 | ||||||
Canadian Tire Corp., Ltd., Class A | 274 | 39 | ||||||
Canadian Utilities Ltd., Class A | 607 | 18 | ||||||
Canopy Growth Corp. (f) | 1,159 | 10 | ||||||
CCL Industries, Inc., Class B | 722 | 39 | ||||||
Cenovus Energy, Inc. | 6,072 | 74 | ||||||
CGI, Inc. (f) | 1,036 | 92 | ||||||
Constellation Software, Inc. | 95 | 176 | ||||||
Dollarama, Inc. | 1,371 | 69 | ||||||
Emera, Inc. | 1,220 | 61 | ||||||
Empire Co., Ltd., Class A | 796 | 24 | ||||||
Enbridge, Inc. | 9,290 | 363 | ||||||
Fairfax Financial Holdings Ltd. | 124 | 61 | ||||||
First Quantum Minerals Ltd. | 2,781 | 67 | ||||||
FirstService Corp. | 188 | 37 | ||||||
Fortis, Inc. | 2,119 | 102 | ||||||
Franco-Nevada Corp. | 904 | 125 | ||||||
George Weston Ltd. | 358 | 42 | ||||||
GFL Environmental, Inc. | 751 | 28 | ||||||
Gildan Activewear, Inc. | 952 | 40 | ||||||
Great-West Lifeco, Inc. | 1,322 | 40 | ||||||
Hydro One Ltd. | 1,553 | 40 | ||||||
IA Financial Corp., Inc. | 511 | 29 | ||||||
IGM Financial, Inc. | 398 | 14 | ||||||
Imperial Oil Ltd. | 1,175 | 42 | ||||||
Intact Financial Corp. | 834 | 108 | ||||||
Ivanhoe Mines Ltd., Class A (f) | 2,811 | 23 | ||||||
Keyera Corp. | 1,059 | 24 | ||||||
Kinross Gold Corp. | 5,734 | 33 | ||||||
Kirkland Lake Gold Ltd. | 1,276 | 54 | ||||||
Lightspeed Commerce, Inc. (f) | 531 | 21 | ||||||
Loblaw Cos., Ltd. | 800 | 66 | ||||||
Lundin Mining Corp. | 3,148 | 25 | ||||||
Magna International, Inc. | 1,347 | 109 | ||||||
Manulife Financial Corp. | 8,827 | 168 | ||||||
Metro, Inc. | 1,159 | 62 | ||||||
National Bank of Canada | 1,603 | 122 | ||||||
Northland Power, Inc. | 1,075 | 32 | ||||||
Nutrien Ltd. | 2,570 | 193 | ||||||
Nuvei Corp. (f) | 278 | 18 | ||||||
Onex Corp. | 359 | 28 | ||||||
Open Text Corp. | 1,290 | 61 | ||||||
Pan American Silver Corp. | 1,012 | 25 | ||||||
Parkland Corp. | 714 | 20 | ||||||
Pembina Pipeline Corp. | 2,525 | 77 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Power Corp. of Canada | 2,543 | 84 | ||||||
Quebecor, Inc., Class B | 797 | 18 | ||||||
Restaurant Brands International, Inc. | 1,353 | 82 | ||||||
RioCan Real Estate Investment Trust | 734 | 13 | ||||||
Ritchie Bros Auctioneers, Inc. | 528 | 32 | ||||||
Rogers Communications, Inc., Class B | 1,687 | 80 | ||||||
Royal Bank of Canada | 6,541 | 694 | ||||||
Saputo, Inc. | 1,176 | 27 | ||||||
Shaw Communications, Inc., Class B | 2,144 | 65 | ||||||
Shopify, Inc., Class A (f) | 548 | 755 | ||||||
Sun Life Financial, Inc. | 2,782 | 155 | ||||||
Suncor Energy, Inc. | 6,837 | 171 | ||||||
TC Energy Corp. | 4,549 | 212 | ||||||
Teck Resources Ltd., Class B | 2,169 | 62 | ||||||
TELUS Corp. | 2,108 | 50 | ||||||
TFI International, Inc. | 392 | 44 | ||||||
Thomson Reuters Corp. | 820 | 98 | ||||||
TMX Group Ltd. | 266 | 27 | ||||||
Toromont Industries Ltd. | 390 | 35 | ||||||
Toronto-Dominion Bank (The) | 8,423 | 646 | ||||||
Tourmaline Oil Corp. | 1,471 | 48 | ||||||
West Fraser Timber Co., Ltd. | 457 | 44 | ||||||
Wheaton Precious Metals Corp. | 2,130 | 91 | ||||||
WSP Global, Inc. | 559 | 81 | ||||||
9,428 | ||||||||
China (0.0%) (a) | ||||||||
China Common Rich Renewable Energy Investments Ltd. (f) | 42,000 | — | ||||||
Denmark (0.4%) | ||||||||
Ambu A/S Series B | 772 | 20 | ||||||
AP Moller - Maersk A/S Series A | 15 | 50 | ||||||
AP Moller - Maersk A/S Series B | 27 | 96 | ||||||
Carlsberg A/S Series B | 466 | 80 | ||||||
Chr Hansen Holding A/S | 487 | 38 | ||||||
Coloplast A/S Series B | 558 | 98 | ||||||
Danske Bank A/S | 3,176 | 55 | ||||||
Demant A/S (f) | 506 | 26 | ||||||
DSV Panalpina A/S | 945 | 220 | ||||||
Genmab A/S (f) | 319 | 127 | ||||||
GN Store Nord AS | 572 | 36 | ||||||
Novo Nordisk A/S Series B | 7,795 | 876 | ||||||
Novozymes A/S Series B | 957 | 79 | ||||||
Orsted A/S | 889 | 114 | ||||||
Pandora A/S | 463 | 58 | ||||||
ROCKWOOL International A/S, Class B | 39 | 17 | ||||||
Tryg A/S | 1,653 | 41 | ||||||
Vestas Wind Systems A/S | 4,762 | 145 | ||||||
2,176 | ||||||||
Finland (0.2%) | ||||||||
Elisa Oyj | 669 | 41 | ||||||
Fortum Oyj | 2,139 | 65 | ||||||
Kesko Oyj, Class B | 1,304 | 43 | ||||||
Kone Oyj, Class B | 1,616 | 116 | ||||||
Neste Oyj | 2,004 | 99 | ||||||
Nokia Oyj (f) | 25,554 | 162 | ||||||
Orion Oyj, Class B | 498 | 21 | ||||||
Sampo Oyj, Class A | 2,335 | 117 | ||||||
Stora Enso Oyj, Class R | 2,760 | 51 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
UPM-Kymmene Oyj | 2,543 | 97 | ||||||
Wartsila Oyj Abp | 2,240 | 31 | ||||||
843 | ||||||||
France (2.4%) | ||||||||
Accor SA (f) | 5,614 | 182 | ||||||
Aeroports de Paris (f) | 141 | 18 | ||||||
Air Liquide SA | 2,247 | 392 | ||||||
Airbus SE (f) | 2,776 | 355 | ||||||
Alstom SA | 1,505 | 54 | ||||||
Amundi SA | 289 | 24 | ||||||
ArcelorMittal SA | 3,140 | 101 | ||||||
Arkema SA | 290 | 41 | ||||||
AXA SA | 9,159 | 273 | ||||||
BioMerieux | 195 | 28 | ||||||
BNP Paribas SA | 5,380 | 372 | ||||||
Bollore SA | 4,247 | 24 | ||||||
Bouygues SA | 1,076 | 39 | ||||||
Bureau Veritas SA | 1,400 | 47 | ||||||
Capgemini SE | 766 | 188 | ||||||
Carrefour SA | 2,943 | 54 | ||||||
Cie de Saint-Gobain | 2,422 | 171 | ||||||
Cie Generale des Etablissements Michelin SCA | 795 | 130 | ||||||
CNP Assurances | 815 | 20 | ||||||
Covivio REIT | 249 | 20 | ||||||
Credit Agricole SA | 5,879 | 84 | ||||||
Danone SA | 3,095 | 192 | ||||||
Dassault Aviation SA | 119 | 13 | ||||||
Dassault Systemes SE | 3,212 | 191 | ||||||
Edenred | 1,193 | 55 | ||||||
Eiffage SA | 9,559 | 984 | ||||||
Electricite de France SA | 2,279 | 27 | ||||||
Engie SA | 8,763 | 130 | ||||||
EssilorLuxottica SA | 1,363 | 291 | ||||||
Eurazeo SE | 189 | 17 | ||||||
Eurofins Scientific SE | 632 | 78 | ||||||
Euronext N.V. | 410 | 43 | ||||||
Faurecia SE | 549 | 26 | ||||||
Gecina SA REIT | 217 | 30 | ||||||
Getlink SE | 2,082 | 35 | ||||||
Hermes International | 151 | 264 | ||||||
Ipsen SA | 181 | 17 | ||||||
Kering SA | 357 | 287 | ||||||
Klepierre SA REIT (f) | 961 | 23 | ||||||
L'Oreal SA | 1,187 | 563 | ||||||
La Francaise des Jeux SAEM | 452 | 20 | ||||||
Legrand SA | 1,269 | 149 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 1,327 | 1,098 | ||||||
Orange SA | 9,449 | 101 | ||||||
Orpea SA | 243 | 24 | ||||||
Pernod Ricard SA | 992 | 239 | ||||||
Publicis Groupe SA | 1,086 | 73 | ||||||
Remy Cointreau SA | 107 | 26 | ||||||
Renault SA (f) | 905 | 31 | ||||||
Safran SA | 1,634 | 200 | ||||||
Sanofi | 5,323 | 537 | ||||||
Sartorius Stedim Biotech | 135 | 74 | ||||||
Schneider Electric SE | 2,580 | 507 | ||||||
SEB SA | 130 | 20 | ||||||
Societe Generale SA | 3,851 | 132 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Sodexo SA | 419 | 37 | ||||||
STMicroelectronics N.V. | 3,231 | 160 | ||||||
Suez SA | 1,667 | 38 | ||||||
Teleperformance | 281 | 125 | ||||||
Thales SA | 511 | 44 | ||||||
TotalEnergies SE | 11,810 | 600 | ||||||
Ubisoft Entertainment SA (f) | 450 | 22 | ||||||
Unibail-Rodamco-Westfield REIT (f) | 590 | 41 | ||||||
Valeo SA | 1,066 | 32 | ||||||
Veolia Environnement SA | 3,121 | 115 | ||||||
Vinci SA | 24,405 | 2,582 | ||||||
Vivendi SE | 3,698 | 50 | ||||||
Wendel SE | 129 | 15 | ||||||
Worldline SA (f) | 1,149 | 64 | ||||||
13,039 | ||||||||
Germany (1.3%) | ||||||||
Adidas AG | 911 | 262 | ||||||
Allianz SE (Registered) | 1,949 | 460 | ||||||
Aroundtown SA | 4,719 | 28 | ||||||
BASF SE | 4,316 | 303 | ||||||
Bayer AG (Registered) | 4,509 | 241 | ||||||
Bayerische Motoren Werke AG | 1,571 | 157 | ||||||
Bayerische Motoren Werke AG (Preference) | 273 | 23 | ||||||
Bechtle AG | 398 | 28 | ||||||
Beiersdorf AG | 474 | 49 | ||||||
Brenntag SE | 735 | 66 | ||||||
Carl Zeiss Meditec AG | 196 | 41 | ||||||
Commerzbank AG (f) | 4,708 | 36 | ||||||
Continental AG (f) | 509 | 53 | ||||||
Covestro AG | 897 | 55 | ||||||
Daimler AG (Registered) | 4,678 | 357 | ||||||
Daimler Truck Holding AG (f) | 2,164 | 80 | ||||||
Delivery Hero SE (f) | 786 | 87 | ||||||
Deutsche Bank AG (Registered) (f) | 9,754 | 121 | ||||||
Deutsche Boerse AG | 893 | 149 | ||||||
Deutsche Lufthansa AG (Registered) (f) | 2,823 | 20 | ||||||
Deutsche Post AG (Registered) | 4,677 | 301 | ||||||
Deutsche Telekom AG (Registered) | 15,749 | 291 | ||||||
E.ON SE | 10,560 | 147 | ||||||
Evonik Industries AG | 989 | 32 | ||||||
Fresenius Medical Care AG & Co., KGaA | 980 | 64 | ||||||
Fresenius SE & Co., KGaA | 1,991 | 80 | ||||||
Fuchs Petrolub SE (Preference) | 327 | 15 | ||||||
GEA Group AG | 723 | 39 | ||||||
Hannover Rueck SE (Registered) | 284 | 54 | ||||||
HeidelbergCement AG | 700 | 47 | ||||||
HelloFresh SE (f) | 808 | 62 | ||||||
Henkel AG & Co., KGaA | 488 | 38 | ||||||
Henkel AG & Co., KGaA (Preference) | 838 | 68 | ||||||
Infineon Technologies AG | 6,211 | 286 | ||||||
KION Group AG | 344 | 38 | ||||||
Knorr-Bremse AG | 346 | 34 | ||||||
Lanxess AG | 389 | 24 | ||||||
LEG Immobilien SE | 344 | 48 | ||||||
Merck KGaA | 611 | 157 | ||||||
MTU Aero Engines AG | 254 | 52 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 657 | 194 | ||||||
Nemetschek SE | 282 | 36 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Porsche Automobil Holding SE (Preference) | 713 | 67 | ||||||
Puma SE (Euronext N.V.) | 261 | 30 | ||||||
Puma SE (FSE) | 242 | 32 | ||||||
QIAGEN N.V. (f) | 1,087 | 60 | ||||||
Rational AG | 24 | 25 | ||||||
RWE AG | 3,045 | 123 | ||||||
SAP SE | 4,929 | 694 | ||||||
Sartorius AG (Preference) | 127 | 86 | ||||||
Scout24 AG | 405 | 28 | ||||||
Siemens AG (Registered) | 3,620 | 627 | ||||||
Siemens Energy AG (f) | 1,907 | 49 | ||||||
Siemens Healthineers AG | 1,341 | 100 | ||||||
Symrise AG | 604 | 89 | ||||||
Telefonica Deutschland Holding AG | 4,950 | 14 | ||||||
Uniper SE | 432 | 20 | ||||||
United Internet AG (Registered) | 469 | 19 | ||||||
Volkswagen AG | 155 | 45 | ||||||
Volkswagen AG (Preference) | 872 | 175 | ||||||
Vonovia SE | 3,489 | 192 | ||||||
Zalando SE (f) | 1,096 | 88 | ||||||
7,286 | ||||||||
Hong Kong (0.4%) | ||||||||
AIA Group Ltd. | 55,534 | 560 | ||||||
BOC Hong Kong Holdings Ltd. | 16,937 | 55 | ||||||
Budweiser Brewing Co., APAC Ltd. | 7,760 | 20 | ||||||
Chow Tai Fook Jewellery Group Ltd. (f) | 9,199 | 17 | ||||||
CK Asset Holdings Ltd. | 8,865 | 56 | ||||||
CK Hutchison Holdings Ltd. | 12,255 | 79 | ||||||
CK Infrastructure Holdings Ltd. | 3,080 | 20 | ||||||
CLP Holdings Ltd. | 7,661 | 77 | ||||||
ESR Cayman Ltd. (f) | 9,028 | 31 | ||||||
Futu Holdings Ltd. ADR (f) | 246 | 11 | ||||||
Galaxy Entertainment Group Ltd. (f) | 10,518 | 54 | ||||||
Hang Lung Properties Ltd. | 9,549 | 20 | ||||||
Hang Seng Bank Ltd. | 3,479 | 64 | ||||||
Henderson Land Development Co., Ltd. | 6,907 | 29 | ||||||
HK Electric Investments & HK Electric Investments Ltd. | 11,892 | 12 | ||||||
HKT Trust & HKT Ltd. | 16,892 | 23 | ||||||
Hong Kong & China Gas Co., Ltd. | 50,632 | 79 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 5,489 | 321 | ||||||
Hongkong Land Holdings Ltd. | 5,334 | 28 | ||||||
Jardine Matheson Holdings Ltd. | 1,009 | 55 | ||||||
Link REIT | 9,820 | 86 | ||||||
Melco Resorts & Entertainment Ltd. ADR (f) | 1,030 | 10 | ||||||
MTR Corp., Ltd. | 7,256 | 39 | ||||||
New World Development Co. Ltd. | 7,206 | 29 | ||||||
Power Assets Holdings Ltd. | 6,456 | 40 | ||||||
Sands China Ltd. (f) | 11,418 | 27 | ||||||
Sino Land Co., Ltd. | 15,766 | 20 | ||||||
SITC International Holdings Co. Ltd. | 6,324 | 23 | ||||||
Sun Hung Kai Properties Ltd. | 6,132 | 74 | ||||||
Swire Pacific Ltd., Class A | 2,368 | 13 | ||||||
Swire Properties Ltd. | 5,359 | 13 | ||||||
Techtronic Industries Co., Ltd. | 6,598 | 131 | ||||||
WH Group Ltd. | 38,437 | 24 | ||||||
Wharf Real Estate Investment Co., Ltd. | 7,913 | 40 | ||||||
Xinyi Glass Holdings Ltd. | 8,841 | 22 | ||||||
2,202 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Ireland (0.1%) | ||||||||
CRH PLC | 3,698 | 196 | ||||||
Flutter Entertainment PLC (f) | 793 | 125 | ||||||
Kerry Group PLC, Class A | 746 | 96 | ||||||
Kingspan Group PLC | 745 | 89 | ||||||
Smurfit Kappa Group PLC | 1,172 | 65 | ||||||
571 | ||||||||
Israel (0.1%) | ||||||||
Azrieli Group Ltd. | 206 | 20 | ||||||
Bank Hapoalim BM | 5,552 | 57 | ||||||
Bank Leumi Le-Israel BM | 7,101 | 76 | ||||||
Check Point Software Technologies Ltd. (f) | 520 | 61 | ||||||
CyberArk Software Ltd. (f) | 194 | 34 | ||||||
Elbit Systems Ltd. | 130 | 23 | ||||||
Fiverr International Ltd. (f) | 143 | 16 | ||||||
ICL Group Ltd. | 3,452 | 33 | ||||||
Inmode Ltd. (f) | 243 | 17 | ||||||
Israel Discount Bank Ltd., Class A | 5,689 | 38 | ||||||
Kornit Digital Ltd. (f) | 226 | 34 | ||||||
Mizrahi Tefahot Bank Ltd. | 687 | 27 | ||||||
Nice Ltd. (f) | 309 | 94 | ||||||
Teva Pharmaceutical Industries Ltd. ADR (f) | 5,392 | 43 | ||||||
Wix.com Ltd. (f) | 274 | 43 | ||||||
616 | ||||||||
Italy (0.5%) | ||||||||
Amplifon SpA | 585 | 31 | ||||||
Assicurazioni Generali SpA | 5,204 | 110 | ||||||
Atlantia SpA (f) | 41,419 | 822 | ||||||
CNH Industrial N.V. | 4,836 | 94 | ||||||
Davide Campari-Milano N.V. | 2,455 | 36 | ||||||
DiaSorin SpA | 119 | 23 | ||||||
Enel SpA | 38,279 | 306 | ||||||
Eni SpA | 11,805 | 164 | ||||||
EXOR N.V. | 513 | 46 | ||||||
Ferrari N.V. | 601 | 155 | ||||||
FinecoBank Banca Fineco SpA | 2,904 | 51 | ||||||
Infrastrutture Wireless Italiane SpA | 1,564 | 19 | ||||||
Intesa Sanpaolo SpA | 77,831 | 201 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 2,918 | 33 | ||||||
Moncler SpA | 975 | 70 | ||||||
Nexi SpA (f) | 2,238 | 35 | ||||||
Poste Italiane SpA | 2,448 | 32 | ||||||
Prysmian SpA | 1,192 | 45 | ||||||
Recordati Industria Chimica e Farmaceutica SpA | 494 | 32 | ||||||
Snam SpA | 9,505 | 57 | ||||||
Stellantis N.V. | 9,464 | 179 | ||||||
Telecom Italia SpA (Milano) | 46,492 | 23 | ||||||
Tenaris SA | 2,205 | 23 | ||||||
Terna SpA | 6,595 | 53 | ||||||
UniCredit SpA | 9,932 | 153 | ||||||
2,793 | ||||||||
Netherlands (0.8%) | ||||||||
ABN Amro Bank N.V. CVA | 1,989 | 29 | ||||||
Adyen N.V. (f) | 96 | 253 | ||||||
Aegon N.V. | 8,444 | 42 | ||||||
Akzo Nobel N.V. | 886 | 97 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
ASM International N.V. | 225 | 100 | ||||||
ASML Holding N.V. | 1,977 | 1,591 | ||||||
Basic-Fit N.V. (f) | 3,193 | 153 | ||||||
Coca-Cola Europacific Partners PLC | 973 | 54 | ||||||
Heineken Holding N.V. | 546 | 51 | ||||||
Heineken N.V. | 1,225 | 138 | ||||||
IMCD NV | 280 | 62 | ||||||
ING Groep N.V. | 18,539 | 258 | ||||||
InPost SA (f) | 946 | 11 | ||||||
JDE Peet's N.V. | 470 | 15 | ||||||
Just Eat Takeaway.com N.V (f) | 867 | 48 | ||||||
Koninklijke Ahold Delhaize N.V. | 4,935 | 169 | ||||||
Koninklijke DSM N.V. | 831 | 187 | ||||||
Koninklijke KPN N.V. | 15,901 | 49 | ||||||
Koninklijke Philips N.V. | 4,388 | 164 | ||||||
NN Group N.V. | 1,273 | 69 | ||||||
Prosus N.V. (f) | 4,488 | 376 | ||||||
Randstad N.V. | 567 | 39 | ||||||
Universal Music Group N.V. | 3,434 | 97 | ||||||
Wolters Kluwer N.V. | 1,274 | 150 | ||||||
4,202 | ||||||||
New Zealand (0.0%) (a) | ||||||||
Auckland International Airport Ltd. (f) | 5,910 | 31 | ||||||
Fisher & Paykel Healthcare Corp., Ltd. | 2,672 | 60 | ||||||
Mercury NZ Ltd. | 3,099 | 13 | ||||||
Meridian Energy Ltd. | 6,057 | 20 | ||||||
Ryman Healthcare Ltd. | 1,952 | 17 | ||||||
Spark New Zealand Ltd. | 8,452 | 26 | ||||||
167 | ||||||||
Norway (0.1%) | ||||||||
Adevinta ASA (f) | 1,272 | 17 | ||||||
Aker BP ASA | 618 | 19 | ||||||
DNB Bank ASA | 4,539 | 104 | ||||||
Equinor ASA | 4,829 | 128 | ||||||
Gjensidige Forsikring ASA | 976 | 24 | ||||||
Mowi ASA | 2,157 | 51 | ||||||
Norsk Hydro ASA | 6,562 | 52 | ||||||
Orkla ASA | 3,669 | 37 | ||||||
Schibsted ASA, Class A | 365 | 14 | ||||||
Schibsted ASA, Class B | 491 | 16 | ||||||
Telenor ASA | 3,443 | 54 | ||||||
Yara International ASA | 804 | 40 | ||||||
556 | ||||||||
Portugal (0.0%) (a) | ||||||||
EDP - Energias de Portugal SA | 13,633 | 75 | ||||||
EDP Renovaveis SA | 1,422 | 36 | ||||||
Galp Energia SGPS SA | 2,436 | 24 | ||||||
Jeronimo Martins SGPS SA | 1,374 | 31 | ||||||
166 | ||||||||
Singapore (0.2%) | ||||||||
Ascendas REIT | 14,700 | 32 | ||||||
CapitaLand Integrated Commercial Trust REIT | 21,302 | 32 | ||||||
Capitaland Investment Ltd. (f) | 11,400 | 29 | ||||||
City Developments Ltd. | 1,800 | 9 | ||||||
DBS Group Holdings Ltd. | 7,900 | 192 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Genting Singapore Ltd. | 26,200 | 15 | ||||||
Keppel Corp., Ltd. | 6,400 | 25 | ||||||
Mapletree Commercial Trust REIT | 10,100 | 15 | ||||||
Mapletree Logistics Trust REIT | 13,500 | 19 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 14,800 | 125 | ||||||
Sea Ltd. ADR (f) | 700 | 157 | ||||||
Singapore Airlines Ltd. (f) | 6,000 | 22 | ||||||
Singapore Exchange Ltd. | 3,500 | 24 | ||||||
Singapore Technologies Engineering Ltd. | 6,800 | 19 | ||||||
Singapore Telecommunications Ltd. | 36,100 | 62 | ||||||
United Overseas Bank Ltd. | 5,100 | 102 | ||||||
UOL Group Ltd. | 2,100 | 11 | ||||||
Venture Corp. Ltd. | 1,200 | 16 | ||||||
Wilmar International Ltd. | 8,400 | 26 | ||||||
932 | ||||||||
Spain (0.4%) | ||||||||
ACS Actividades de Construccion y Servicios SA | 1,152 | 31 | ||||||
Aena SME SA (f) | 355 | 56 | ||||||
Amadeus IT Group SA (f) | 2,132 | 144 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 31,728 | 188 | ||||||
Banco Santander SA | 81,995 | 272 | ||||||
CaixaBank SA | 21,049 | 57 | ||||||
Cellnex Telecom SA | 2,413 | 140 | ||||||
Enagas SA | 1,173 | 27 | ||||||
Endesa SA | 1,508 | 35 | ||||||
Ferrovial SA | 18,665 | 584 | ||||||
Grifols SA | 1,414 | 27 | ||||||
Iberdrola SA | 27,446 | 325 | ||||||
Industria de Diseno Textil SA | 5,102 | 165 | ||||||
Melia Hotels International SA (f) | 4,036 | 27 | ||||||
Naturgy Energy Group SA | 922 | 30 | ||||||
Red Electrica Corp., SA | 2,040 | 44 | ||||||
Repsol SA | 6,827 | 81 | ||||||
Siemens Gamesa Renewable Energy SA (f) | 1,140 | 27 | ||||||
Telefonica SA | 24,818 | 108 | ||||||
Telepizza Group SA (f) | 156 | 1 | ||||||
2,369 | ||||||||
Sweden (0.6%) | ||||||||
Alfa Laval AB | 1,446 | 58 | ||||||
Assa Abloy AB, Class B | 4,587 | 140 | ||||||
Atlas Copco AB, Class A | 3,093 | 214 | ||||||
Atlas Copco AB, Class B | 1,799 | 106 | ||||||
Boliden AB | 1,259 | 49 | ||||||
Electrolux AB (f) | 1,031 | 25 | ||||||
Embracer Group AB (f) | 2,233 | 24 | ||||||
Epiroc AB, Class A | 3,076 | 78 | ||||||
Epiroc AB, Class B | 1,808 | 38 | ||||||
EQT AB | 1,393 | 75 | ||||||
Essity AB, Class B | 2,758 | 90 | ||||||
Evolution AB | 796 | 112 | ||||||
Fastighets AB Balder, Class B (f) | 488 | 35 | ||||||
Getinge AB, Class B | 1,070 | 47 | ||||||
Hennes & Mauritz AB, Class B | 3,335 | 65 | ||||||
Hexagon AB, Class B | 9,300 | 147 | ||||||
Husqvarna AB, Class B | 1,940 | 31 | ||||||
ICA Gruppen AB | 461 | 27 | ||||||
Industrivarden AB, Class A | 607 | 19 | ||||||
Industrivarden AB, Class C | 724 | 23 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Investment AB Latour, Class B | 689 | 28 | ||||
Investor AB, Class A | 2,307 | 61 | ||||
Investor AB, Class B | 8,411 | 211 | ||||
Kinnevik AB, Class B (f) | 1,113 | 40 | ||||
L E Lundbergforetagen AB, Class B | 349 | 20 | ||||
Lifco AB, Class B | 1,080 | 32 | ||||
Lundin Energy AB | 908 | 32 | ||||
Nibe Industrier AB, Class B | 6,650 | 100 | ||||
Nordea Bank Abp | 14,874 | 181 | ||||
Sagax AB | 766 | 26 | ||||
Sandvik AB | 5,203 | 145 | ||||
Securitas AB, Class B | 1,438 | 20 | ||||
Sinch AB (f) | 2,489 | 31 | ||||
Skandinaviska Enskilda Banken AB, Class A | 7,451 | 103 | ||||
Skanska AB, Class B | 1,578 | 41 | ||||
SKF AB, Class B | 1,764 | 42 | ||||
Svenska Cellulosa AB SCA, Class B | 2,779 | 49 | ||||
Svenska Handelsbanken AB, Class A | 6,723 | 73 | ||||
Swedbank AB, Class A | 4,163 | 84 | ||||
Swedish Match AB | 6,797 | 54 | ||||
Tele2 AB, Class B | 2,301 | 33 | ||||
Telefonaktiebolaget LM Ericsson, Class B | 13,380 | 147 | ||||
Telia Co., AB | 12,166 | 48 | ||||
Volvo AB, Class A | 930 | 22 | ||||
Volvo AB, Class B | 6,639 | 153 | ||||
3,179 | ||||||
Switzerland (1.6%) | ||||||
ABB Ltd. (Registered) | 7,629 | 291 | ||||
Adecco Group AG (Registered) | 721 | 37 | ||||
Alcon, Inc. | 2,360 | 208 | ||||
Bachem Holding AG | 29 | 23 | ||||
Baloise Holding AG (Registered) | 213 | 35 | ||||
Barry Callebaut AG (Registered) | 17 | 41 | ||||
Chocoladefabriken Lindt & Spruengli AG (Registered) | 1 | 134 | ||||
Chocoladefabriken Lindt & Sprungli AG | 5 | 69 | ||||
Cie Financiere Richemont SA (Registered) | 2,421 | 362 | ||||
Clariant AG (Registered) (f) | 994 | 21 | ||||
Credit Suisse Group AG (Registered) | 12,293 | 119 | ||||
EMS-Chemie Holding AG (Registered) | 33 | 37 | ||||
Geberit AG (Registered) | 168 | 137 | ||||
Givaudan SA (Registered) | 42 | 220 | ||||
Holcim Ltd. (Registered) (f) | 2,405 | 122 | ||||
Julius Baer Group Ltd. | 1,020 | 68 | ||||
Kuehne & Nagel International AG (Registered) | 252 | 81 | ||||
Logitech International SA (Registered) | 813 | 68 | ||||
Lonza Group AG (Registered) | 349 | 291 | ||||
Nestle SA (Registered) | 12,990 | 1,814 | ||||
Novartis AG (Registered) | 10,170 | 894 | ||||
Partners Group Holding AG | 107 | 177 | ||||
Roche Holding AG | 149 | 67 | ||||
Roche Holding AG (Genusschein) | 3,227 | 1,339 | ||||
Schindler Holding AG | 190 | 51 | ||||
Schindler Holding AG (Registered) | 94 | 25 | ||||
SGS SA (Registered) | 28 | 93 | ||||
Sika AG (Registered) | 652 | 271 | ||||
Sonova Holding AG (Registered) | 255 | 100 | ||||
Straumann Holding AG (Registered) | 48 | 101 | ||||
Swatch Group AG (The) | 134 | 41 | ||||
Swatch Group AG (The) (Registered) | 248 | 14 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Swiss Life Holding AG (Registered) | 145 | 89 | ||||
Swiss Prime Site AG (Registered) | 352 | 34 | ||||
Swiss Re AG | 1,391 | 137 | ||||
Swisscom AG (Registered) | 119 | 67 | ||||
Temenos AG (Registered) | 315 | 43 | ||||
UBS Group AG (Registered) | 16,329 | 293 | ||||
VAT Group AG | 127 | 63 | ||||
Vifor Pharma AG | 231 | 41 | ||||
Zurich Insurance Group AG | 692 | 303 | ||||
8,421 | ||||||
United Kingdom (2.2%) | ||||||
3i Group PLC | 4,541 | 89 | ||||
Aberdeen PLC | 10,103 | 33 | ||||
Admiral Group PLC | 894 | 38 | ||||
Anglo American PLC | 6,079 | 248 | ||||
Antofagasta PLC | 1,851 | 34 | ||||
Ashtead Group PLC | 2,096 | 169 | ||||
Associated British Foods PLC | 1,643 | 45 | ||||
AstraZeneca PLC | 7,302 | 858 | ||||
Auto Trader Group PLC | 4,468 | 45 | ||||
AVEVA Group PLC | 573 | 26 | ||||
Aviva PLC | 18,060 | 100 | ||||
BAE Systems PLC | 14,912 | 111 | ||||
Barclays PLC | 77,938 | 197 | ||||
Barratt Developments PLC | 4,755 | 48 | ||||
Berkeley Group Holdings PLC | 516 | 33 | ||||
BHP Group PLC | 9,750 | 290 | ||||
BP PLC | 92,645 | 414 | ||||
British American Tobacco PLC | 9,894 | 366 | ||||
British Land Co., PLC (The) REIT | 4,083 | 29 | ||||
BT Group PLC | 40,638 | 93 | ||||
Bunzl PLC | 1,567 | 61 | ||||
Burberry Group PLC | 1,879 | 46 | ||||
Coca-Cola HBC AG (f) | 934 | 32 | ||||
Compass Group PLC (f) | 8,410 | 188 | ||||
Croda International PLC | 645 | 88 | ||||
DCC PLC | 458 | 38 | ||||
Diageo PLC | 10,834 | 592 | ||||
Entain PLC (f) | 2,774 | 63 | ||||
Evraz PLC | 2,359 | 19 | ||||
Experian PLC | 4,336 | 213 | ||||
Ferguson PLC | 1,036 | 184 | ||||
G4S PLC | 6,437 | 21 | ||||
GlaxoSmithKline PLC | 23,340 | 508 | ||||
Glencore PLC (f) | 46,125 | 234 | ||||
Halma PLC | 1,771 | 77 | ||||
Hargreaves Lansdown PLC | 1,660 | 30 | ||||
Hikma Pharmaceuticals PLC | 813 | 24 | ||||
HSBC Holdings PLC | 94,795 | 576 | ||||
Imperial Brands PLC | 4,379 | 96 | ||||
Informa PLC (f) | 7,001 | 49 | ||||
InterContinental Hotels Group PLC (f) | 4,233 | 274 | ||||
Intertek Group PLC | 756 | 58 | ||||
Intu Properties PLC REIT (f) | 5,299 | —@ | ||||
J Sainsbury PLC | 8,184 | 31 | ||||
JD Sports Fashion PLC | 12,251 | 36 | ||||
Johnson Matthey PLC | 902 | 25 | ||||
Kingfisher PLC | 10,005 | 46 | ||||
Land Securities Group PLC REIT | 3,257 | 34 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Legal & General Group PLC | 27,663 | 111 | ||||
Lloyds Banking Group PLC | 329,671 | 213 | ||||
London Stock Exchange Group PLC | 1,515 | 142 | ||||
M&G PLC | 12,053 | 33 | ||||
Melrose Industries PLC | 20,688 | 45 | ||||
Mondi PLC | 2,258 | 56 | ||||
National Grid PLC | 16,828 | 241 | ||||
Natwest Group PLC | 26,850 | 82 | ||||
Next PLC | 623 | 69 | ||||
Ocado Group PLC (f) | 2,283 | 52 | ||||
Paragon Offshore PLC (f) | 303 | — | ||||
Pearson PLC | 3,509 | 29 | ||||
Persimmon PLC | 1,488 | 58 | ||||
Phoenix Group Holdings PLC | 2,993 | 26 | ||||
Prudential PLC | 12,103 | 209 | ||||
Reckitt Benckiser Group PLC | 3,312 | 284 | ||||
RELX PLC | 9,064 | 295 | ||||
Rentokil Initial PLC | 8,750 | 69 | ||||
Rio Tinto PLC | 5,193 | 344 | ||||
Rolls-Royce Holdings PLC (f) | 39,069 | 65 | ||||
Royal Dutch Shell PLC, Class A | 18,932 | 416 | ||||
Royal Dutch Shell PLC, Class B | 16,964 | 373 | ||||
Sage Group PLC (The) | 4,867 | 56 | ||||
Schroders PLC | 577 | 28 | ||||
Segro PLC REIT | 5,622 | 109 | ||||
Severn Trent PLC | 1,167 | 47 | ||||
Smith & Nephew PLC | 4,106 | 72 | ||||
Smiths Group PLC | 1,843 | 39 | ||||
Spirax-Sarco Engineering PLC | 344 | 75 | ||||
SSE PLC | 4,882 | 109 | ||||
St. James's Place PLC | 2,503 | 57 | ||||
Standard Chartered PLC | 12,238 | 74 | ||||
Taylor Wimpey PLC | 17,035 | 41 | ||||
Tesco PLC | 35,749 | 140 | ||||
Unilever PLC CVA | 12,222 | 653 | ||||
United Utilities Group PLC | 3,180 | 47 | ||||
Vodafone Group PLC | 128,438 | 195 | ||||
Whitbread PLC (f) | 4,686 | 190 | ||||
WPP PLC | 5,562 | 84 | ||||
12,137 | ||||||
United States (21.2%) | ||||||
10X Genomics, Inc., Class A (f) | 179 | 27 | ||||
3M Co. | 1,320 | 234 | ||||
Abbott Laboratories | 4,029 | 567 | ||||
AbbVie, Inc. | 3,989 | 540 | ||||
ABIOMED, Inc. (f) | 105 | 38 | ||||
Accenture PLC, Class A | 1,427 | 592 | ||||
Activision Blizzard, Inc. | 1,821 | 121 | ||||
Adobe, Inc. (f) | 1,058 | 600 | ||||
Advance Auto Parts, Inc. | 141 | 34 | ||||
Advanced Micro Devices, Inc. (f) | 2,792 | 402 | ||||
AES Corp. (The) | 1,535 | 37 | ||||
Affirm Holdings, Inc. (f) | 208 | 21 | ||||
Aflac, Inc. | 1,451 | 85 | ||||
Agilent Technologies, Inc. | 690 | 110 | ||||
AGNC Investment Corp. REIT | 1,214 | 18 | ||||
Air Products & Chemicals, Inc. | 505 | 154 | ||||
Airbnb, Inc., Class A (f) | 549 | 91 | ||||
Akamai Technologies, Inc. (f) | 369 | 43 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Albemarle Corp. | 264 | 62 | ||||
Alexandria Real Estate Equities, Inc. REIT | 330 | 74 | ||||
Align Technology, Inc. (f) | 174 | 114 | ||||
Alleghany Corp. (f) | 32 | 21 | ||||
Allegion PLC | 204 | 27 | ||||
Alliant Energy Corp. | 566 | 35 | ||||
Allstate Corp. (The) | 674 | 79 | ||||
Ally Financial, Inc. | 825 | 39 | ||||
Alnylam Pharmaceuticals, Inc. (f) | 266 | 45 | ||||
Alphabet, Inc., Class A (f) | 689 | 1,996 | ||||
Alphabet, Inc., Class C (f) | 659 | 1,907 | ||||
Altice USA, Inc., Class A (f) | 1,264 | 20 | ||||
Altria Group, Inc. | 4,158 | 197 | ||||
Amazon.com, Inc. (f) | 1,059 | 3,531 | ||||
AMC Entertainment Holdings, Inc., Class A (f) | 1,298 | 35 | ||||
Amcor PLC | 3,526 | 42 | ||||
AMERCO | 23 | 17 | ||||
Ameren Corp. | 583 | 52 | ||||
American Electric Power Co., Inc. | 1,138 | 101 | ||||
American Express Co. | 1,557 | 255 | ||||
American Financial Group, Inc. | 164 | 23 | ||||
American International Group, Inc. | 1,967 | 112 | ||||
American Tower Corp. REIT | 1,032 | 302 | ||||
American Water Works Co., Inc. | 413 | 78 | ||||
Ameriprise Financial, Inc. | 262 | 79 | ||||
AmerisourceBergen Corp. | 355 | 47 | ||||
AMETEK, Inc. | 524 | 77 | ||||
Amgen, Inc. | 1,311 | 295 | ||||
Amphenol Corp., Class A | 1,351 | 118 | ||||
Analog Devices, Inc. | 1,238 | 218 | ||||
Annaly Capital Management, Inc. REIT | 3,334 | 26 | ||||
ANSYS, Inc. (f) | 198 | 79 | ||||
Anthem, Inc. | 555 | 257 | ||||
AO Smith Corp. | 303 | 26 | ||||
Aon PLC, Class A | 520 | 156 | ||||
Apollo Global Management, Inc. | 405 | 29 | ||||
Apple, Inc. | 37,415 | 6,644 | ||||
Applied Materials, Inc. | 2,077 | 327 | ||||
Aptiv PLC (f) | 617 | 102 | ||||
Aramark | 13,844 | 510 | ||||
Arch Capital Group Ltd. (f) | 905 | 40 | ||||
Archer-Daniels-Midland Co. | 1,277 | 86 | ||||
Arista Networks, Inc. (f) | 521 | 75 | ||||
Arrow Electronics, Inc. (f) | 164 | 22 | ||||
Arthur J Gallagher & Co. | 469 | 80 | ||||
Asana, Inc., Class A (f) | 165 | 12 | ||||
Assurant, Inc. | 136 | 21 | ||||
AT&T, Inc. | 16,359 | 402 | ||||
Athene Holding Ltd., Class A (f) | 309 | 26 | ||||
Atmos Energy Corp. | 299 | 31 | ||||
Autodesk, Inc. (f) | 500 | 141 | ||||
Automatic Data Processing, Inc. | 961 | 237 | ||||
AutoZone, Inc. (f) | 49 | 103 | ||||
Avalara, Inc. (f) | 203 | 26 | ||||
AvalonBay Communities, Inc. REIT | 318 | 80 | ||||
Avantor, Inc. (f) | 1,210 | 51 | ||||
Avery Dennison Corp. | 189 | 41 | ||||
Baker Hughes Co. | 1,875 | 45 | ||||
Ball Corp. | 743 | 72 | ||||
Bank of America Corp. | 17,394 | 774 | ||||
Bank of New York Mellon Corp. (The) | 1,879 | 109 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Bath & Body Works, Inc. | 600 | 42 | ||||
Baxter International, Inc. | 1,144 | 98 | ||||
Becton Dickinson & Co. | 659 | 166 | ||||
Bentley Systems, Inc., Class B | 396 | 19 | ||||
Berkshire Hathaway, Inc., Class B (f) | 3,010 | 900 | ||||
Best Buy Co., Inc. | 522 | 53 | ||||
Bill.Com Holdings, Inc. (f) | 170 | 42 | ||||
Bio-Rad Laboratories, Inc., Class A (f) | 51 | 39 | ||||
Bio-Techne Corp. | 89 | 46 | ||||
Biogen, Inc. (f) | 342 | 82 | ||||
BioMarin Pharmaceutical, Inc. (f) | 425 | 38 | ||||
Black Knight, Inc. (f) | 356 | 30 | ||||
BlackRock, Inc. | 346 | 317 | ||||
Blackstone Group, Inc. (The) | 1,574 | 204 | ||||
Block, Inc., Class A (f) | 936 | 151 | ||||
Bloomin' Brands, Inc. (f) | 4,643 | 97 | ||||
Boeing Co. (The) (f) | 1,296 | 261 | ||||
Booking Holdings, Inc. (f) | 95 | 228 | ||||
Booz Allen Hamilton Holding Corp. | 310 | 26 | ||||
BorgWarner, Inc. | 551 | 25 | ||||
Boston Properties, Inc. REIT | 346 | 40 | ||||
Boston Scientific Corp. (f) | 3,279 | 139 | ||||
Brinker International, Inc. (f) | 2,393 | 88 | ||||
Bristol-Myers Squibb Co. | 5,132 | 320 | ||||
Broadcom, Inc. | 870 | 579 | ||||
Broadridge Financial Solutions, Inc. | 263 | 48 | ||||
Brown & Brown, Inc. | 550 | 39 | ||||
Brown-Forman Corp., Class B | 704 | 51 | ||||
Bunge Ltd. | 321 | 30 | ||||
Burlington Stores, Inc. (f) | 153 | 45 | ||||
Cable One, Inc. | 12 | 21 | ||||
Cabot Oil & Gas Corp. | 30,373 | 577 | ||||
Cadence Design Systems, Inc. (f) | 621 | 116 | ||||
Caesars Entertainment, Inc. (f) | 492 | 46 | ||||
Camden Property Trust REIT | 229 | 41 | ||||
Campbell Soup Co. | 442 | 19 | ||||
Capital One Financial Corp. | 1,019 | 148 | ||||
Cardinal Health, Inc. | 668 | 34 | ||||
Carlyle Group, Inc. (The) | 364 | 20 | ||||
CarMax, Inc. (f) | 368 | 48 | ||||
Carnival Corp. (f) | 1,913 | 39 | ||||
Carrier Global Corp. | 1,908 | 104 | ||||
Carvana Co. (f) | 174 | 40 | ||||
Catalent, Inc. (f) | 395 | 51 | ||||
Caterpillar, Inc. | 1,259 | 260 | ||||
Cboe Global Markets, Inc. | 240 | 31 | ||||
CBRE Group, Inc., Class A (f) | 766 | 83 | ||||
CDW Corp. | 316 | 65 | ||||
Celanese Corp. | 252 | 42 | ||||
Centene Corp. (f) | 1,276 | 105 | ||||
CenterPoint Energy, Inc. | 1,344 | 38 | ||||
Ceridian HCM Holding, Inc. (f) | 313 | 33 | ||||
Cerner Corp. | 687 | 64 | ||||
CF Industries Holdings, Inc. | 476 | 34 | ||||
CH Robinson Worldwide, Inc. | 293 | 32 | ||||
Charles River Laboratories International, Inc. (f) | 114 | 43 | ||||
Charles Schwab Corp. (The) | 3,333 | 280 | ||||
Charter Communications, Inc., Class A (f) | 295 | 192 | ||||
Cheesecake Factory, Inc. (The) (f) | 2,770 | 108 | ||||
Cheniere Energy, Inc. | 551 | 56 | ||||
Chevron Corp. | 4,449 | 522 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Chewy, Inc., Class A (f) | 223 | 13 | ||||||
Chipotle Mexican Grill, Inc. (f) | 65 | 114 | ||||||
Choice Hotels International, Inc. | 1,027 | 160 | ||||||
Chubb Ltd. | 998 | 193 | ||||||
Church & Dwight Co., Inc. | 562 | 58 | ||||||
Cigna Corp. | 771 | 177 | ||||||
Cincinnati Financial Corp. | 346 | 39 | ||||||
Cintas Corp. | 209 | 93 | ||||||
Cisco Systems, Inc. | 9,420 | 597 | ||||||
Citigroup, Inc. | 4,772 | 288 | ||||||
Citizens Financial Group, Inc. | 982 | 46 | ||||||
Citrix Systems, Inc. | 284 | 27 | ||||||
Clarivate PLC (f) | 807 | 19 | ||||||
Clorox Co. (The) | 279 | 49 | ||||||
Cloudflare, Inc., Class A (f) | 556 | 73 | ||||||
CME Group, Inc. | 823 | 188 | ||||||
CMS Energy Corp. | 657 | 43 | ||||||
Coca-Cola Co. (The) | 9,222 | 546 | ||||||
Cognex Corp. | 403 | 31 | ||||||
Cognizant Technology Solutions Corp., Class A | 1,189 | 105 | ||||||
Coinbase Global, Inc., Class A (f) | 90 | 23 | ||||||
Colgate-Palmolive Co. | 1,804 | 154 | ||||||
Comcast Corp., Class A | 10,410 | 524 | ||||||
Conagra Brands, Inc. | 1,094 | 37 | ||||||
ConocoPhillips | 49,640 | 3,583 | ||||||
Consolidated Edison, Inc. | 800 | 68 | ||||||
Constellation Brands, Inc., Class A | 383 | 96 | ||||||
Cooper Cos., Inc. (The) | 113 | 47 | ||||||
Copart, Inc. (f) | 489 | 74 | ||||||
Corning, Inc. | 1,854 | 69 | ||||||
Corteva, Inc. | 1,686 | 80 | ||||||
CoStar Group, Inc. (f) | 913 | 72 | ||||||
Costco Wholesale Corp. | 955 | 542 | ||||||
Coupa Software, Inc. (f) | 174 | 28 | ||||||
Cracker Barrel Old Country Store, Inc. | 1,206 | 155 | ||||||
Crowdstrike Holdings, Inc., Class A (f) | 439 | 90 | ||||||
Crown Castle International Corp. REIT | 975 | 204 | ||||||
Crown Holdings, Inc. | 290 | 32 | ||||||
CSX Corp. | 5,149 | 194 | ||||||
Cummins, Inc. | 331 | 72 | ||||||
CVS Health Corp. | 2,983 | 308 | ||||||
Danaher Corp. | 1,466 | 482 | ||||||
Darden Restaurants, Inc. | 7,033 | 1,059 | ||||||
Datadog, Inc., Class A (f) | 436 | 78 | ||||||
Dave & Buster's Entertainment, Inc. (f) | 2,480 | 95 | ||||||
DaVita, Inc. (f) | 155 | 18 | ||||||
Deere & Co. | 677 | 232 | ||||||
Dell Technologies, Inc., Class C (f) | 635 | 36 | ||||||
Delta Air Lines, Inc. (f) | 371 | 15 | ||||||
Denny's Corp. (f) | 3,298 | 53 | ||||||
Dentsply Sirona, Inc. | 498 | 28 | ||||||
Devon Energy Corp. | 24,404 | 1,075 | ||||||
DexCom, Inc. (f) | 220 | 118 | ||||||
Diamondback Energy, Inc. | 6,659 | 718 | ||||||
Digital Realty Trust, Inc. REIT | 642 | 114 | ||||||
Dine Brands Global, Inc. | 895 | 68 | ||||||
Discover Financial Services | 678 | 78 | ||||||
Discovery, Inc., Class A (f) | 389 | 9 | ||||||
Discovery, Inc., Class C (f) | 724 | 17 | ||||||
DISH Network Corp., Class A (f) | 564 | 18 | ||||||
DocuSign, Inc. (f) | 458 | 70 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Dollar General Corp. | 534 | 126 | ||||||
Dollar Tree, Inc. (f) | 504 | 71 | ||||||
Dominion Energy, Inc. | 1,846 | 145 | ||||||
Domino's Pizza, Inc. | 84 | 47 | ||||||
DoorDash, Inc., Class A (f) | 250 | 37 | ||||||
Dover Corp. | 330 | 60 | ||||||
Dow, Inc. | 1,700 | 96 | ||||||
DR Horton, Inc. | 13,964 | 1,514 | ||||||
DraftKings, Inc., Class A (f) | 766 | 21 | ||||||
Dropbox, Inc., Class A (f) | 722 | 18 | ||||||
DTE Energy Co. | 440 | 53 | ||||||
Duke Energy Corp. | 1,738 | 182 | ||||||
Duke Realty Corp. REIT | 862 | 57 | ||||||
DuPont de Nemours, Inc. | 1,183 | 96 | ||||||
Dynatrace, Inc. (f) | 425 | 26 | ||||||
Eastman Chemical Co. | 308 | 37 | ||||||
Eaton Corp., PLC | 901 | 156 | ||||||
eBay, Inc. | 1,487 | 99 | ||||||
Ecolab, Inc. | 585 | 137 | ||||||
Edison International | 860 | 59 | ||||||
Edwards Lifesciences Corp. (f) | 1,417 | 184 | ||||||
Elanco Animal Health, Inc. (f) | 983 | 28 | ||||||
Electronic Arts, Inc. | 648 | 85 | ||||||
Eli Lilly & Co. | 1,851 | 511 | ||||||
Emerson Electric Co. | 1,365 | 127 | ||||||
Enphase Energy, Inc. (f) | 292 | 53 | ||||||
Entegris, Inc. | 311 | 43 | ||||||
Entergy Corp. | 455 | 51 | ||||||
EOG Resources, Inc. | 1,351 | 120 | ||||||
EPAM Systems, Inc. (f) | 129 | 86 | ||||||
Equifax, Inc. | 276 | 81 | ||||||
Equinix, Inc. REIT | 205 | 173 | ||||||
Equitable Holdings, Inc. | 853 | 28 | ||||||
Equity Lifestyle Properties, Inc. REIT | 398 | 35 | ||||||
Equity Residential REIT | 812 | 73 | ||||||
Erie Indemnity Co., Class A | 57 | 11 | ||||||
Essential Utilities, Inc. | 531 | 29 | ||||||
Essex Property Trust, Inc. REIT | 149 | 52 | ||||||
Estee Lauder Cos., Inc. (The), Class A | 524 | 194 | ||||||
Etsy, Inc. (f) | 301 | 66 | ||||||
Everest Re Group Ltd. | 91 | 25 | ||||||
Evergy, Inc. | 521 | 36 | ||||||
Eversource Energy | 784 | 71 | ||||||
Exact Sciences Corp. (f) | 395 | 31 | ||||||
Exelon Corp. | 2,206 | 127 | ||||||
Expedia Group, Inc. (f) | 338 | 61 | ||||||
Expeditors International of Washington, Inc. | 383 | 51 | ||||||
Extra Space Storage, Inc. REIT | 303 | 69 | ||||||
Exxon Mobil Corp. | 9,708 | 594 | ||||||
F5 Networks, Inc. (f) | 137 | 34 | ||||||
Factset Research Systems, Inc. | 86 | 42 | ||||||
Fair Isaac Corp. (f) | 65 | 28 | ||||||
Fastenal Co. | 1,298 | 83 | ||||||
FedEx Corp. | 578 | 150 | ||||||
Fidelity National Financial, Inc. | 621 | 32 | ||||||
Fidelity National Information Services, Inc. | 1,415 | 154 | ||||||
Fifth Third Bancorp | 1,590 | 69 | ||||||
First Republic Bank | 406 | 84 | ||||||
FirstEnergy Corp. | 1,233 | 51 | ||||||
Fiserv, Inc. (f) | 1,366 | 142 | ||||||
FleetCor Technologies, Inc. (f) | 180 | 40 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
FMC Corp. | 293 | 32 | ||||||
Ford Motor Co. | 8,620 | 179 | ||||||
Fortinet, Inc. (f) | 305 | 110 | ||||||
Fortive Corp. | 779 | 59 | ||||||
Fortune Brands Home & Security, Inc. | 315 | 34 | ||||||
Fox Corp., Class A | 739 | 27 | ||||||
Fox Corp., Class B | 346 | 12 | ||||||
Franklin Resources, Inc. | 684 | 23 | ||||||
Freeport-McMoRan, Inc. | 3,386 | 141 | ||||||
Garmin Ltd. | 348 | 47 | ||||||
Gartner, Inc. (f) | 188 | 63 | ||||||
Generac Holdings, Inc. (f) | 145 | 51 | ||||||
General Dynamics Corp. | 540 | 113 | ||||||
General Electric Co. | 2,535 | 239 | ||||||
General Mills, Inc. | 1,376 | 93 | ||||||
General Motors Co. (f) | 2,891 | 170 | ||||||
Genuine Parts Co. | 327 | 46 | ||||||
Gilead Sciences, Inc. | 2,875 | 209 | ||||||
Global Payments, Inc. | 680 | 92 | ||||||
Globe Life, Inc. | 222 | 21 | ||||||
GoDaddy, Inc., Class A (f) | 385 | 33 | ||||||
Goldman Sachs Group, Inc. (The) | 783 | 300 | ||||||
Guidewire Software, Inc. (f) | 181 | 21 | ||||||
Halliburton Co. | 2,039 | 47 | ||||||
Hartford Financial Services Group, Inc. (The) | 794 | 55 | ||||||
Hasbro, Inc. | 297 | 30 | ||||||
HCA Healthcare, Inc. | 585 | 150 | ||||||
Healthpeak Properties, Inc. REIT | 1,238 | 45 | ||||||
HEICO Corp. | 99 | 14 | ||||||
HEICO Corp., Class A | 166 | 21 | ||||||
Henry Schein, Inc. (f) | 323 | 25 | ||||||
Hershey Co. (The) | 329 | 64 | ||||||
Hess Corp. | 641 | 47 | ||||||
Hewlett Packard Enterprise Co. | 3,023 | 48 | ||||||
Hilton Grand Vacations, Inc. (f) | 2,173 | 113 | ||||||
Hilton Worldwide Holdings, Inc. (f) | 5,776 | 901 | ||||||
Hologic, Inc. (f) | 583 | 45 | ||||||
Home Depot, Inc. (The) | 2,405 | 998 | ||||||
Honeywell International, Inc. | 1,556 | 324 | ||||||
Horizon Therapeutics PLC (f) | 492 | 53 | ||||||
Hormel Foods Corp. | 668 | 33 | ||||||
Host Hotels & Resorts, Inc. REIT (f) | 1,655 | 29 | ||||||
Howmet Aerospace, Inc. | 881 | 28 | ||||||
HP, Inc. | 2,737 | 103 | ||||||
HubSpot, Inc. (f) | 103 | 68 | ||||||
Humana, Inc. | 292 | 135 | ||||||
Huntington Bancshares, Inc. | 3,413 | 53 | ||||||
Huntington Ingalls Industries, Inc. | 92 | 17 | ||||||
Hyatt Hotels Corp., Class A (f) | 2,020 | 194 | ||||||
IAC/InterActiveCorp (f) | 183 | 24 | ||||||
IDEX Corp. | 173 | 41 | ||||||
IDEXX Laboratories, Inc. (f) | 194 | 128 | ||||||
IHS Markit Ltd. | 864 | 115 | ||||||
Illinois Tool Works, Inc. | 716 | 177 | ||||||
Illumina, Inc. (f) | 334 | 127 | ||||||
Incyte Corp. (f) | 440 | 32 | ||||||
Ingersoll Rand, Inc. | 931 | 58 | ||||||
Insulet Corp. (f) | 161 | 43 | ||||||
Intel Corp. | 9,297 | 479 | ||||||
Intercontinental Exchange, Inc. | 1,281 | 175 | ||||||
International Business Machines Corp. | 2,049 | 274 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
International Flavors & Fragrances, Inc. | 571 | 86 | ||||||
International Paper Co. | 855 | 40 | ||||||
Interpublic Group of Cos., Inc. (The) | 891 | 33 | ||||||
Intuit, Inc. | 619 | 398 | ||||||
Intuitive Surgical, Inc. (f) | 811 | 291 | ||||||
Invesco Ltd. | 795 | 18 | ||||||
Invitation Homes, Inc. REIT | 1,314 | 60 | ||||||
IPG Photonics Corp. (f) | 87 | 15 | ||||||
IQVIA Holdings, Inc. (f) | 440 | 124 | ||||||
Iron Mountain, Inc. REIT | 652 | 34 | ||||||
Jack Henry & Associates, Inc. | 168 | 28 | ||||||
Jackson Financial, Inc., Class A | 324 | 14 | ||||||
Jacobs Engineering Group, Inc. | 295 | 41 | ||||||
Jazz Pharmaceuticals PLC (f) | 140 | 18 | ||||||
JB Hunt Transport Services, Inc. | 191 | 39 | ||||||
JM Smucker Co. (The) | 244 | 33 | ||||||
Johnson & Johnson | 6,045 | 1,034 | ||||||
Johnson Controls International PLC | 1,629 | 132 | ||||||
JPMorgan Chase & Co. | 6,850 | 1,085 | ||||||
Juniper Networks, Inc. | 722 | 26 | ||||||
KB Home | 3,255 | 146 | ||||||
Kellogg Co. | 582 | 38 | ||||||
Keurig Dr Pepper, Inc. | 1,600 | 59 | ||||||
KeyCorp | 2,194 | 51 | ||||||
Keysight Technologies, Inc. (f) | 422 | 87 | ||||||
Kimberly-Clark Corp. | 766 | 109 | ||||||
Kinder Morgan, Inc. | 4,688 | 74 | ||||||
KKR & Co., Inc. | 1,205 | 90 | ||||||
KLA Corp. | 352 | 151 | ||||||
Knight-Swift Transportation Holdings, Inc. | 355 | 22 | ||||||
Kraft Heinz Co. (The) | 1,526 | 55 | ||||||
Kroger Co. (The) | 1,596 | 72 | ||||||
L3Harris Technologies, Inc. | 462 | 99 | ||||||
Laboratory Corp. of America Holdings (f) | 213 | 67 | ||||||
Lam Research Corp. | 323 | 232 | ||||||
Las Vegas Sands Corp. (f) | 796 | 30 | ||||||
Lear Corp. | 136 | 25 | ||||||
Leidos Holdings, Inc. | 308 | 27 | ||||||
Lennar Corp., Class A | 11,767 | 1,367 | ||||||
Lennox International, Inc. | 77 | 25 | ||||||
Liberty Broadband Corp., Class A (f) | 58 | 9 | ||||||
Liberty Broadband Corp., Class C (f) | 333 | 54 | ||||||
Liberty Global PLC, Class A (f) | 357 | 10 | ||||||
Liberty Global PLC Series C (f) | 781 | 22 | ||||||
Liberty Media Corp-Liberty SiriusXM, Class A (f) | 189 | 10 | ||||||
Liberty Media Corp-Liberty SiriusXM, Class C (f) | 387 | 20 | ||||||
Liberty Media Corp.-Liberty Formula One, Class C (f) | 443 | 28 | ||||||
Lincoln National Corp. | 413 | 28 | ||||||
Linde PLC | 1,174 | 407 | ||||||
Live Nation Entertainment, Inc. (f) | 373 | 45 | ||||||
LKQ Corp. | 635 | 38 | ||||||
Lockheed Martin Corp. | 568 | 202 | ||||||
Loews Corp. | 499 | 29 | ||||||
Lowe's Cos., Inc. | 1,576 | 407 | ||||||
Lucid Group, Inc. (f) | 898 | 34 | ||||||
Lululemon Athletica, Inc. (f) | 275 | 108 | ||||||
Lumen Technologies, Inc. | 2,155 | 27 | ||||||
Lyft, Inc., Class A (f) | 618 | 26 | ||||||
LyondellBasell Industries N.V., Class A | 612 | 56 | ||||||
M&T Bank Corp. | 295 | 45 | ||||||
M/I Homes, Inc. (f) | 1,069 | 66 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Marathon Oil Corp. | 27,261 | 448 | ||||||
Marathon Petroleum Corp. | 1,466 | 94 | ||||||
Markel Corp. (f) | 31 | 38 | ||||||
MarketAxess Holdings, Inc. | 86 | 35 | ||||||
Marriott International, Inc., Class A (f) | 6,610 | 1,092 | ||||||
Marriott Vacations Worldwide Corp. | 781 | 132 | ||||||
Marsh & McLennan Cos., Inc. | 1,151 | 200 | ||||||
Martin Marietta Materials, Inc. | 140 | 62 | ||||||
Marvell Technology, Inc. | 1,904 | 167 | ||||||
Masco Corp. | 562 | 39 | ||||||
Masimo Corp. (f) | 119 | 35 | ||||||
Mastercard, Inc., Class A | 1,991 | 715 | ||||||
Match Group, Inc. (f) | 604 | 80 | ||||||
McCormick & Co., Inc. | 565 | 55 | ||||||
McDonald's Corp. | 1,695 | 454 | ||||||
McKesson Corp. | 354 | 88 | ||||||
MDC Holdings, Inc. | 2,623 | 146 | ||||||
Medical Properties Trust, Inc. REIT | 1,362 | 32 | ||||||
Medtronic PLC | 3,094 | 320 | ||||||
MercadoLibre, Inc. (f) | 101 | 136 | ||||||
Merck & Co., Inc. | 5,822 | 446 | ||||||
Meritage Homes Corp. (f) | 1,410 | 172 | ||||||
Meta Platforms, Inc., Class A (f) | 5,452 | 1,834 | ||||||
MetLife, Inc. | 1,668 | 104 | ||||||
Mettler-Toledo International, Inc. (f) | 53 | 90 | ||||||
MGM Resorts International | 890 | 40 | ||||||
Microchip Technology, Inc. | 1,251 | 109 | ||||||
Micron Technology, Inc. | 2,578 | 240 | ||||||
Microsoft Corp. | 15,999 | 5,381 | ||||||
Mid-America Apartment Communities, Inc. REIT | 266 | 61 | ||||||
Moderna, Inc. (f) | 842 | 214 | ||||||
Mohawk Industries, Inc. (f) | 134 | 24 | ||||||
Molina Healthcare, Inc. (f) | 133 | 42 | ||||||
Molson Coors Beverage Co., Class B | 430 | 20 | ||||||
Mondelez International, Inc., Class A | 3,146 | 209 | ||||||
MongoDB, Inc. (f) | 135 | 71 | ||||||
Monolithic Power Systems, Inc. | 102 | 50 | ||||||
Monster Beverage Corp. (f) | 897 | 86 | ||||||
Moody's Corp. | 381 | 149 | ||||||
Mosaic Co. (The) | 835 | 33 | ||||||
Motorola Solutions, Inc. | 380 | 103 | ||||||
MSCI, Inc. | 187 | 115 | ||||||
Nasdaq, Inc. | 267 | 56 | ||||||
NetApp, Inc. | 516 | 47 | ||||||
Netflix, Inc. (f) | 1,015 | 611 | ||||||
Neurocrine Biosciences, Inc. (f) | 219 | 19 | ||||||
Newell Brands, Inc. | 881 | 19 | ||||||
Newmont Corp. | 1,837 | 114 | ||||||
News Corp., Class A | 903 | 20 | ||||||
NextEra Energy, Inc. | 4,464 | 417 | ||||||
NIKE, Inc., Class B | 2,911 | 485 | ||||||
NiSource, Inc. | 894 | 25 | ||||||
Nordson Corp. | 118 | 30 | ||||||
Norfolk Southern Corp. | 560 | 167 | ||||||
Northern Trust Corp. | 455 | 54 | ||||||
Northrop Grumman Corp. | 347 | 134 | ||||||
NortonLifeLock, Inc. | 1,314 | 34 | ||||||
Novavax, Inc. (f) | 170 | 24 | ||||||
Novocure Ltd. (f) | 219 | 16 | ||||||
NRG Energy, Inc. | 554 | 24 | ||||||
Nuance Communications, Inc. (f) | 679 | 38 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Nucor Corp. | 674 | 77 | ||||
NVIDIA Corp. | 5,775 | 1,698 | ||||
NVR, Inc. (f) | 138 | 815 | ||||
NXP Semiconductors N.V. | 1,476 | 336 | ||||
O'Reilly Automotive, Inc. (f) | 156 | 110 | ||||
Oak Street Health, Inc. (f) | 218 | 7 | ||||
Occidental Petroleum Corp. | 2,153 | 62 | ||||
Okta, Inc. (f) | 290 | 65 | ||||
Old Dominion Freight Line, Inc. | 224 | 80 | ||||
Omnicom Group, Inc. | 488 | 36 | ||||
ON Semiconductor Corp. (f) | 970 | 66 | ||||
ONEOK, Inc. | 1,022 | 60 | ||||
Oracle Corp. | 3,296 | 287 | ||||
Otis Worldwide Corp. | 927 | 81 | ||||
Owens Corning | 238 | 22 | ||||
PACCAR, Inc. | 790 | 70 | ||||
Packaging Corp. of America | 219 | 30 | ||||
Palantir Technologies, Inc., Class A (f) | 3,705 | 67 | ||||
Palo Alto Networks, Inc. (f) | 222 | 124 | ||||
Parker Hannifin Corp. | 292 | 93 | ||||
Paychex, Inc. | 735 | 100 | ||||
Paycom Software, Inc. (f) | 118 | 49 | ||||
PayPal Holdings, Inc. (f) | 2,604 | 491 | ||||
PDC Energy, Inc. | 3,304 | 161 | ||||
Peloton Interactive, Inc., Class A (f) | 676 | 24 | ||||
Pentair PLC | 373 | 27 | ||||
PepsiCo, Inc. | 3,131 | 544 | ||||
PerkinElmer, Inc. | 256 | 51 | ||||
Pfizer, Inc. | 12,711 | 751 | ||||
PG&E Corp. (f) | 3,455 | 42 | ||||
Philip Morris International, Inc. | 3,537 | 336 | ||||
Phillips 66 | 1,008 | 73 | ||||
Pinterest, Inc., Class A (f) | 1,317 | 48 | ||||
Pioneer Natural Resources Co. | 9,213 | 1,676 | ||||
Plug Power, Inc. (f) | 1,220 | 34 | ||||
PNC Financial Services Group, Inc. (The) | 971 | 195 | ||||
Pool Corp. | 90 | 51 | ||||
PPG Industries, Inc. | 542 | 93 | ||||
PPL Corp. | 1,758 | 53 | ||||
Principal Financial Group, Inc. | 611 | 44 | ||||
Procter & Gamble Co. (The) | 5,503 | 900 | ||||
Progressive Corp. (The) | 1,337 | 137 | ||||
ProLogis, Inc. REIT | 1,681 | 283 | ||||
Prudential Financial, Inc. | 882 | 95 | ||||
PTC, Inc. (f) | 256 | 31 | ||||
Public Service Enterprise Group, Inc. | 1,149 | 77 | ||||
Public Storage REIT | 356 | 133 | ||||
Pulte Group, Inc. | 10,068 | 575 | ||||
Qorvo, Inc. (f) | 258 | 40 | ||||
QUALCOMM, Inc. | 2,571 | 470 | ||||
Quest Diagnostics, Inc. | 276 | 48 | ||||
Raymond James Financial, Inc. | 428 | 43 | ||||
Raytheon Technologies Corp. | 3,459 | 298 | ||||
Realty Income Corp. REIT | 1,263 | 90 | ||||
Regency Centers Corp. REIT | 351 | 26 | ||||
Regeneron Pharmaceuticals, Inc. (f) | 238 | 150 | ||||
Regions Financial Corp. | 2,200 | 48 | ||||
Republic Services, Inc. | 506 | 71 | ||||
ResMed, Inc. | 338 | 88 | ||||
RingCentral, Inc., Class A (f) | 179 | 34 | ||||
Rivian Automotive, Inc., Class A (f) | 405 | 42 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Robert Half International, Inc. | 255 | 28 | ||||
Rockwell Automation, Inc. | 263 | 92 | ||||
Roku, Inc. (f) | 270 | 62 | ||||
Rollins, Inc. | 508 | 17 | ||||
Roper Technologies, Inc. | 240 | 118 | ||||
Ross Stores, Inc. | 817 | 93 | ||||
Royal Caribbean Cruises Ltd. (f) | 525 | 40 | ||||
Royalty Pharma PLC, Class A | 791 | 32 | ||||
RPM International, Inc. | 295 | 30 | ||||
S&P Global, Inc. | 550 | 260 | ||||
salesforce.com, Inc. (f) | 2,221 | 564 | ||||
SBA Communications Corp. REIT | 248 | 96 | ||||
Schlumberger N.V. | 3,198 | 96 | ||||
Seagate Technology Holdings PLC | 472 | 53 | ||||
Seagen, Inc. (f) | 316 | 49 | ||||
Sealed Air Corp. | 340 | 23 | ||||
SEI Investments Co. | 278 | 17 | ||||
Sempra Energy | 729 | 96 | ||||
Sensata Technologies Holding PLC (f) | 361 | 22 | ||||
ServiceNow, Inc. (f) | 449 | 291 | ||||
Sherwin-Williams Co. (The) | 569 | 200 | ||||
Signature Bank | 145 | 47 | ||||
Simon Property Group, Inc. REIT | 755 | 121 | ||||
Sirius XM Holdings, Inc. | 2,289 | 15 | ||||
Skyworks Solutions, Inc. | 376 | 58 | ||||
Snap, Inc., Class A (f) | 2,484 | 117 | ||||
Snap-On, Inc. | 122 | 26 | ||||
Snowflake, Inc., Class A (f) | 474 | 161 | ||||
SoFi Technologies, Inc. (f) | 1,224 | 19 | ||||
SolarEdge Technologies, Inc. (f) | 122 | 34 | ||||
Southern Co. (The) | 2,399 | 165 | ||||
Southwest Airlines Co. (f) | 350 | 15 | ||||
Splunk, Inc. (f) | 384 | 44 | ||||
SS&C Technologies Holdings, Inc. | 523 | 43 | ||||
Stanley Black & Decker, Inc. | 365 | 69 | ||||
Starbucks Corp. | 2,671 | 312 | ||||
State Street Corp. | 842 | 78 | ||||
Steel Dynamics, Inc. | 476 | 30 | ||||
Steris PLC | 230 | 56 | ||||
Stryker Corp. | 780 | 209 | ||||
Sun Communities, Inc. REIT | 266 | 56 | ||||
Sunrun, Inc. (f) | 401 | 14 | ||||
SVB Financial Group (f) | 136 | 92 | ||||
Synchrony Financial | 1,308 | 61 | ||||
Synopsys, Inc. (f) | 345 | 127 | ||||
Sysco Corp. | 1,174 | 92 | ||||
T Rowe Price Group, Inc. | 533 | 105 | ||||
T-Mobile US, Inc. (f) | 1,418 | 164 | ||||
Take-Two Interactive Software, Inc. (f) | 269 | 48 | ||||
Target Corp. | 1,117 | 259 | ||||
TE Connectivity Ltd. | 735 | 119 | ||||
Teladoc Health, Inc. (f) | 331 | 30 | ||||
Teledyne Technologies, Inc. (f) | 105 | 46 | ||||
Teleflex, Inc. | 108 | 35 | ||||
Teradyne, Inc. | 377 | 62 | ||||
Tesla, Inc. (f) | 1,903 | 2,011 | ||||
Texas Instruments, Inc. | 2,107 | 397 | ||||
Texas Roadhouse, Inc. | 3,590 | 321 | ||||
Textron, Inc. | 507 | 39 | ||||
Thermo Fisher Scientific, Inc. | 894 | 597 | ||||
TJX Cos., Inc. (The) | 2,742 | 208 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Toll Brothers, Inc. | 4,455 | 323 | ||||
Tractor Supply Co. | 259 | 62 | ||||
Trade Desk, Inc. (The), Class A (f) | 997 | 91 | ||||
Tradeweb Markets, Inc., Class A | 239 | 24 | ||||
Trane Technologies PLC | 543 | 110 | ||||
TransDigm Group, Inc. (f) | 120 | 76 | ||||
TransUnion | 438 | 52 | ||||
Travelers Cos., Inc. (The) | 569 | 89 | ||||
Trimble, Inc. (f) | 581 | 51 | ||||
Truist Financial Corp. | 3,072 | 180 | ||||
Twilio, Inc., Class A (f) | 381 | 100 | ||||
Twitter, Inc. (f) | 1,874 | 81 | ||||
Tyler Technologies, Inc. (f) | 93 | 50 | ||||
Tyson Foods, Inc., Class A | 673 | 59 | ||||
Uber Technologies, Inc. (f) | 2,845 | 119 | ||||
UDR, Inc. REIT | 681 | 41 | ||||
UGI Corp. | 476 | 22 | ||||
Ulta Beauty, Inc. (f) | 119 | 49 | ||||
Union Pacific Corp. | 1,489 | 375 | ||||
United Parcel Service, Inc., Class B | 1,642 | 352 | ||||
United Rentals, Inc. (f) | 170 | 57 | ||||
UnitedHealth Group, Inc. | 2,161 | 1,085 | ||||
Unity Software, Inc. (f) | 129 | 18 | ||||
Universal Health Services, Inc., Class B | 176 | 23 | ||||
Upstart Holdings, Inc. (f) | 48 | 7 | ||||
US Bancorp | 3,203 | 180 | ||||
Vail Resorts, Inc. | 93 | 31 | ||||
Valero Energy Corp. | 939 | 71 | ||||
Veeva Systems, Inc., Class A (f) | 319 | 82 | ||||
Ventas, Inc. REIT | 907 | 46 | ||||
VeriSign, Inc. (f) | 227 | 58 | ||||
Verisk Analytics, Inc. | 349 | 80 | ||||
Verizon Communications, Inc. | 9,454 | 491 | ||||
Vertex Pharmaceuticals, Inc. (f) | 596 | 131 | ||||
VF Corp. | 760 | 56 | ||||
ViacomCBS, Inc., Class B | 1,392 | 42 | ||||
Viatris, Inc. | 2,767 | 37 | ||||
VICI Properties, Inc. REIT | 1,404 | 42 | ||||
Visa, Inc., Class A | 3,830 | 830 | ||||
Vistra Corp. | 996 | 23 | ||||
VMware, Inc., Class A | 480 | 56 | ||||
Vornado Realty Trust REIT | 379 | 16 | ||||
Vulcan Materials Co. | 299 | 62 | ||||
Walgreens Boots Alliance, Inc. | 1,675 | 87 | ||||
Walmart, Inc. | 3,519 | 509 | ||||
Walt Disney Co. (The) (f) | 4,175 | 647 | ||||
Waste Connections, Inc. | 594 | 81 | ||||
Waste Management, Inc. | 952 | 159 | ||||
Waters Corp. (f) | 141 | 53 | ||||
Wayfair, Inc., Class A (f) | 183 | 35 | ||||
WEC Energy Group, Inc. | 716 | 70 | ||||
Wells Fargo & Co. | 9,353 | 449 | ||||
Welltower, Inc. REIT | 985 | 84 | ||||
West Pharmaceutical Services, Inc. | 167 | 78 | ||||
Western Digital Corp. (f) | 706 | 46 | ||||
Western Union Co. (The) | 930 | 17 | ||||
Westinghouse Air Brake Technologies Corp. | 412 | 38 | ||||
WestRock Co. | 616 | 27 | ||||
Weyerhaeuser Co. REIT | 1,708 | 70 | ||||
Whirlpool Corp. | 141 | 33 | ||||
Williams Cos., Inc. (The) | 2,802 | 73 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Willis Towers Watson PLC | 294 | 70 | ||||
Workday, Inc., Class A (f) | 435 | 119 | ||||
WP Carey, Inc. REIT | 421 | 35 | ||||
WR Berkley Corp. | 322 | 27 | ||||
WW Grainger, Inc. | 100 | 52 | ||||
Wyndham Hotels & Resorts, Inc. | 1,712 | 153 | ||||
Wynn Resorts Ltd. (f) | 238 | 20 | ||||
Xcel Energy, Inc. | 1,224 | 83 | ||||
Xilinx, Inc. | 565 | 120 | ||||
Xylem, Inc. | 415 | 50 | ||||
Yum! Brands, Inc. | 669 | 93 | ||||
Zebra Technologies Corp., Class A (f) | 120 | 71 | ||||
Zendesk, Inc. (f) | 277 | 29 | ||||
Zillow Group, Inc., Class A (f) | 143 | 9 | ||||
Zillow Group, Inc., Class C (f) | 391 | 25 | ||||
Zimmer Biomet Holdings, Inc. | 486 | 62 | ||||
Zoetis, Inc. | 1,079 | 263 | ||||
Zoom Video Communications, Inc., Class A (f) | 501 | 92 | ||||
ZoomInfo Technologies, Inc., Class A (f) | 513 | 33 | ||||
Zscaler, Inc. (f) | 185 | 59 | ||||
115,719 | ||||||
Total Common Stocks (Cost $114,895) | 193,205 | |||||
Short-Term Investments (17.8%) | ||||||
Investment Company (17.4%) | ||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (g) (Cost $95,283) | 95,283,486 | 95,283 |
Face Amount (000) | ||||||||
U.S. Treasury Security (0.4%) | ||||||||
U.S. Treasury Bill, | ||||||||
0.06%, 7/14/22 (h)(i) (Cost $2,290) | $ | 2,291 | 2,289 | |||||
Total Short-Term Investments (Cost $97,573) | 97,572 | |||||||
Total Investments (100.1%) (Cost $469,836) (j)(k)(l)(m) | 547,690 | |||||||
Liabilities in Excess of Other Assets (-0.1%) | (600 | ) | ||||||
Net Assets (100.0%) | $ | 547,090 |
Country assignments and aggregations are based generally on third party vendor classifications and information, and may be different from the assignments and aggregations under the policies set forth in the Fund's prospectus and/or statement of additional information relating to geographic classifications.
(a) | Amount is less than 0.05%. |
(b) | Security is subject to delayed delivery. |
(c) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
(d) | Floating or variable rate securities: The rates disclosed are as of December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Consolidated 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 Consolidated Portfolio of Investments. |
(e) | 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 December 31, 2021. |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
(f) | Non-income producing security. |
(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 three months ended December 31, 2021, advisory fees paid were reduced by approximately $7,000 relating to the Fund's investment in the Liquidity Funds. |
(h) | Rate shown is the yield to maturity at December 31, 2021. |
(i) | All or a portion of the security was pledged to cover margin requirements for swap agreements. |
(j) | Securities are available for collateral in connection with securities purchased on a forward commitment basis, foreign currency forward exchange contracts, futures contracts and swap agreements. |
(k) | 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 December 31, 2021, the Fund did not engage in any cross-trade transactions. |
(l) | The approximate fair value and percentage of net assets, $28,048,000 and 5.1%, respectively, represent the securities that have been fair valued under the fair valuation policy for international investments as described in Note A-1 within the Notes to the Consolidated Financial Statements. |
(m) | At December 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $96,747,000 and the aggregate gross unrealized depreciation is approximately $13,722,000, resulting in net unrealized appreciation of approximately $83,025,000. |
@ | Value is less than $500. |
ADR | American Depositary Receipt. |
CDI | CHESS Depositary Interest. |
CLO | Collateralized Loan Obligation. |
CVA | Certificaten Van Aandelen. |
EURIBOR | Euro Interbank Offered Rate. |
Euronext | Euronext Paris Exchange. |
Euronext N.V. | Euronext Amsterdam Stock Market. |
FSE | Frankfurt Stock Exchange. |
LIBOR | London Interbank Offered Rate. |
LSE | London Stock Exchange. |
MTN | Medium Term Note. |
NYSE | New York Stock Exchange. |
OAT | Obligations Assimilables du Trésor (Treasury Obligation). |
OFZ | Obilgatsyi Federal’novo Zaima (Russian Federal Loan Obligation). |
REIT | Real Estate Investment Trust. |
SOFR | Secured Overnight Financing Rate. |
TBA | To Be Announced. |
TSX | Toronto Stock Exchange. |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Foreign Currency Forward Exchange Contracts:
The Fund had the following foreign currency forward exchange contracts open at December 31, 2021:
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Delivery Date | Unrealized Appreciation (Depreciation) (000) | |||||||||
Bank of America NA | $ | 1,097 | CHF | 1,007 | 2/18/22 | $ | 9 | ||||||
Bank of America NA | $ | 2 | SEK | 14 | 2/18/22 | —@ | |||||||
Bank of America NA | $ | 177 | ILS | 554 | 3/16/22 | 2 | |||||||
Bank of America NA | CNH | 10,096 | $ | 1,574 | 3/17/22 | (7) | |||||||
Bank of America NA | EUR | 476 | $ | 537 | 3/17/22 | (5) | |||||||
Bank of America NA | PLN | 252 | $ | 61 | 3/17/22 | (1) | |||||||
Bank of America NA | $ | 161 | NZD | 236 | 3/17/22 | —@ | |||||||
Bank of New York Mellon | EUR | 204 | $ | 231 | 3/17/22 | (2) | |||||||
Barclays Bank PLC | CAD | 141 | $ | 109 | 3/17/22 | (2) | |||||||
Barclays Bank PLC | CHF | 6 | $ | 6 | 3/17/22 | (—@) | |||||||
Barclays Bank PLC | EUR | 44 | $ | 49 | 3/17/22 | (—@) | |||||||
Barclays Bank PLC | SGD | 173 | $ | 126 | 3/17/22 | (2) | |||||||
Barclays Bank PLC | $ | 204 | GBP | 151 | 3/17/22 | 1 | |||||||
Barclays Bank PLC | $ | 220 | SEK | 1,992 | 3/17/22 | —@ | |||||||
Barclays Bank PLC | GBP | 1,282 | $ | 1,725 | 2/18/22 | (10) | |||||||
Barclays Bank PLC | GBP | 283 | $ | 378 | 2/18/22 | (6) | |||||||
BNP Paribas SA | $ | 4,531 | CNH | 29,091 | 2/18/22 | 32 | |||||||
BNP Paribas SA | $ | 3,000 | EUR | 2,632 | 2/18/22 | (1) | |||||||
BNP Paribas SA | $ | 102 | PEN | 411 | 2/18/22 | 1 | |||||||
BNP Paribas SA | AUD | 139 | $ | 99 | 3/17/22 | (2) | |||||||
BNP Paribas SA | CAD | 77 | $ | 60 | 3/17/22 | (1) | |||||||
BNP Paribas SA | CHF | 42 | $ | 46 | 3/17/22 | (1) | |||||||
BNP Paribas SA | CNY | 226,309 | $ | 35,195 | 3/17/22 | (123) | |||||||
BNP Paribas SA | EUR | 2,842 | $ | 3,226 | 3/17/22 | (15) | |||||||
BNP Paribas SA | EUR | 1,051 | $ | 1,192 | 3/17/22 | (7) | |||||||
BNP Paribas SA | HKD | 3,213 | $ | 412 | 3/17/22 | (—@) | |||||||
BNP Paribas SA | INR | 4,772 | $ | 62 | 3/17/22 | (1) | |||||||
BNP Paribas SA | JPY | 3,351 | $ | 29 | 3/17/22 | —@ | |||||||
BNP Paribas SA | JPY | 3,133 | $ | 27 | 3/17/22 | —@ | |||||||
BNP Paribas SA | NZD | 172 | $ | 116 | 3/17/22 | (2) | |||||||
BNP Paribas SA | TWD | 1,768 | $ | 64 | 3/17/22 | —@ | |||||||
BNP Paribas SA | $ | 24 | CLP | 20,309 | 3/17/22 | (—@) | |||||||
BNP Paribas SA | $ | 62 | COP | 242,881 | 3/17/22 | (2) | |||||||
BNP Paribas SA | $ | 20 | IDR | 285,595 | 3/17/22 | —@ | |||||||
BNP Paribas SA | $ | 153 | JPY | 17,609 | 3/17/22 | —@ | |||||||
BNP Paribas SA | $ | 2,326 | MXN | 50,138 | 3/17/22 | 92 | |||||||
Citibank NA | $ | 421 | SGD | 569 | 2/18/22 | 1 | |||||||
Citibank NA | $ | 634 | THB | 20,723 | 2/18/22 | (14) | |||||||
Citibank NA | $ | 81 | ILS | 255 | 3/16/22 | 1 | |||||||
Citibank NA | $ | 10 | CZK | 229 | 3/17/22 | —@ | |||||||
Citibank NA | $ | 7 | THB | 223 | 3/17/22 | —@ | |||||||
Commonwealth Bank of Australia | EUR | 80 | $ | 90 | 3/17/22 | (1) | |||||||
Commonwealth Bank of Australia | NZD | 41 | $ | 28 | 3/17/22 | (—@) | |||||||
Credit Suisse International | EUR | 55 | $ | 63 | 3/17/22 | (1) | |||||||
Goldman Sachs International | $ | 2 | DKK | 15 | 2/18/22 | —@ | |||||||
Goldman Sachs International | $ | 2,268 | KRW | 2,682,042 | 2/18/22 | (14) | |||||||
Goldman Sachs International | $ | 145 | RON | 632 | 2/18/22 | (—@) | |||||||
Goldman Sachs International | BRL | 1,191 | $ | 209 | 3/17/22 | (1) | |||||||
Goldman Sachs International | BRL | 3,529 | $ | 623 | 3/17/22 | 1 | |||||||
Goldman Sachs International | CAD | 4,360 | $ | 3,395 | 3/17/22 | (51) | |||||||
Goldman Sachs International | CAD | 198 | $ | 155 | 3/17/22 | (2) | |||||||
Goldman Sachs International | EUR | 3,106 | $ | 3,510 | 3/17/22 | (32) | |||||||
Goldman Sachs International | JPY | 6,267 | $ | 55 | 3/17/22 | —@ |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Goldman Sachs International | NOK | 600 | $ | 66 | 3/17/22 | (2) | ||||||
Goldman Sachs International | $ | 12 | CZK | 278 | 3/17/22 | —@ | ||||||
Goldman Sachs International | $ | 499 | GBP | 372 | 3/17/22 | 5 | ||||||
Goldman Sachs International | $ | 42 | KRW | 49,824 | 3/17/22 | (—@) | ||||||
Goldman Sachs International | $ | 6,689 | RUB | 502,669 | 3/17/22 | (93) | ||||||
JPMorgan Chase Bank NA | $ | 85 | CAD | 108 | 1/6/22 | —@ | ||||||
JPMorgan Chase Bank NA | $ | 119 | JPY | 13,745 | 1/6/22 | —@ | ||||||
JPMorgan Chase Bank NA | CAD | 121 | $ | 95 | 2/18/22 | (1) | ||||||
JPMorgan Chase Bank NA | CAD | 108 | $ | 85 | 2/18/22 | (—@) | ||||||
JPMorgan Chase Bank NA | DKK | 523 | $ | 81 | 2/18/22 | 1 | ||||||
JPMorgan Chase Bank NA | JPY | 13,745 | $ | 119 | 2/18/22 | (—@) | ||||||
JPMorgan Chase Bank NA | MXN | 2,829 | $ | 136 | 2/18/22 | (1) | ||||||
JPMorgan Chase Bank NA | RUB | 6,171 | $ | 83 | 2/18/22 | 2 | ||||||
JPMorgan Chase Bank NA | $ | 92 | HUF | 29,662 | 2/18/22 | (1) | ||||||
JPMorgan Chase Bank NA | $ | 111 | IDR | 1,589,201 | 2/18/22 | —@ | ||||||
JPMorgan Chase Bank NA | $ | 81 | NOK | 707 | 2/18/22 | (1) | ||||||
JPMorgan Chase Bank NA | $ | 106 | PLN | 433 | 2/18/22 | 1 | ||||||
JPMorgan Chase Bank NA | $ | 387 | SEK | 3,383 | 2/18/22 | (13) | ||||||
JPMorgan Chase Bank NA | AUD | 323 | $ | 230 | 3/17/22 | (5) | ||||||
JPMorgan Chase Bank NA | EUR | 1,654 | $ | 1,869 | 3/17/22 | (17) | ||||||
JPMorgan Chase Bank NA | NOK | 474 | $ | 52 | 3/17/22 | (2) | ||||||
State Street Bank and Trust Co. | $ | 2,408 | JPY | 274,325 | 2/18/22 | (23) | ||||||
State Street Bank and Trust Co. | AUD | 14 | $ | 10 | 3/17/22 | (—@) | ||||||
UBS AG | AUD | 5,371 | $ | 3,939 | 2/18/22 | 31 | ||||||
UBS AG | AUD | 24 | $ | 17 | 2/18/22 | (—@) | ||||||
UBS AG | CAD | 603 | $ | 481 | 2/18/22 | 4 | ||||||
UBS AG | EUR | 144 | $ | 163 | 2/18/22 | (—@) | ||||||
UBS AG | JPY | 16,040 | $ | 142 | 2/18/22 | 3 | ||||||
UBS AG | $ | 17 | AUD | 24 | 2/18/22 | —@ | ||||||
UBS AG | $ | 17 | AUD | 24 | 2/18/22 | —@ | ||||||
UBS AG | $ | 258 | CZK | 5,707 | 2/18/22 | 3 | ||||||
UBS AG | $ | 50 | JPY | 5,713 | 2/18/22 | (1) | ||||||
UBS AG | $ | 23 | MXN | 481 | 2/18/22 | —@ | ||||||
UBS AG | $ | 152 | NZD | 216 | 2/18/22 | (5) | ||||||
UBS AG | CAD | 122 | $ | 95 | 3/17/22 | (1) | ||||||
UBS AG | CHF | 16 | $ | 17 | 3/17/22 | (—@) | ||||||
UBS AG | DKK | 370 | $ | 56 | 3/17/22 | (1) | ||||||
UBS AG | EUR | 8,223 | $ | 9,292 | 3/17/22 | (84) | ||||||
UBS AG | EUR | 551 | $ | 625 | 3/17/22 | (3) | ||||||
UBS AG | EUR | 40 | $ | 46 | 3/17/22 | (—@) | ||||||
UBS AG | EUR | 81 | $ | 92 | 3/17/22 | (—@) | ||||||
UBS AG | GBP | 328 | $ | 434 | 3/17/22 | (9) | ||||||
UBS AG | JPY | 188,853 | $ | 1,663 | 3/17/22 | 20 | ||||||
UBS AG | JPY | 42,823 | $ | 375 | 3/17/22 | 2 | ||||||
UBS AG | NOK | 29,896 | $ | 3,281 | 3/17/22 | (109) | ||||||
UBS AG | SEK | 2,267 | $ | 248 | 3/17/22 | (3) | ||||||
UBS AG | TRY | 458 | $ | 30 | 3/17/22 | (3) | ||||||
UBS AG | $ | 1,712 | EUR | 1,511 | 3/17/22 | 10 | ||||||
UBS AG | $ | 14 | HUF | 4,751 | 3/17/22 | —@ | ||||||
UBS AG | $ | 4,494 | MXN | 96,877 | 3/17/22 | 177 | ||||||
UBS AG | ZAR | 1,082 | $ | 66 | 3/17/22 | (1) | ||||||
$ | (286) |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Futures Contracts:
The Fund had the following futures contracts open at December 31, 2021:
Number of Contracts | Expiration Date | Notional Amount (000) | Value (000) | Unrealized Appreciation (Depreciation) (000) | ||||||||||||||
Long: | ||||||||||||||||||
Gold Futures (United States) | 31 | Feb-22 | $ | 3 | $ | 5,669 | $ | 61 | ||||||||||
SGX MSCI Singapore (Singapore) | 2 | Jan-22 | SGD | —@ | 50 | —@ | ||||||||||||
South Korea 10 yr. Bond (Korea, Republic of) | 22 | Mar-22 | KRW | 2,200,000 | 2,300 | (17 | ) | |||||||||||
U.S. Treasury 10 yr. Note (United States) | 39 | Mar-22 | $ | 3,900 | 5,088 | 16 | ||||||||||||
U.S. Treasury 5 yr. Note (United States) | 12 | Mar-22 | 1,200 | 1,452 | 3 | |||||||||||||
Short: | ||||||||||||||||||
Copper High Grade Index (United States) | 48 | Mar-22 | (1,200 | ) | (5,356 | ) | (80 | ) | ||||||||||
Euro Stoxx 50 Index Dividend (Germany) | 122 | Mar-22 | EUR | (1 | ) | (5,955 | ) | (30) | ||||||||||
German Euro BTP (Germany) | 93 | Mar-22 | (9,300 | ) | (15,566 | ) | 361 | |||||||||||
German Euro Bund (Germany) | 14 | Mar-22 | (1,400 | ) | (2,731 | ) | 43 | |||||||||||
MSCI Emerging Market E Mini (United States) | 76 | Mar-22 | $ | (4 | ) | (4,660 | ) | 45 | ||||||||||
Nikkei 255 Index (Japan) | 25 | Mar-22 | JPY | (12 | ) | (3,132 | ) | (29 | ) | |||||||||
S&P 500 E Mini Index (United States) | 175 | Mar-22 | $ | (9 | ) | (41,637 | ) | (491 | ) | |||||||||
U.S. Treasury 2 yr. Note (United States) | 126 | Mar-22 | (25,200 | ) | (27,490 | ) | 1 | |||||||||||
U.S. Treasury 5 yr. Note (United States) | 304 | Mar-22 | (30,400 | ) | (36,777 | ) | (119 | ) | ||||||||||
U.S. Treasury Ultra Long Bond (United States) | 142 | Mar-22 | (14,200 | ) | (20,794 | ) | (350 | ) | ||||||||||
$ | (586 | ) |
Interest Rate Swap Agreements:
The Fund had the following interest rate swap agreements open at December 31, 2021:
Swap Counterparty | Floating Rate Index | Pay/Receive Floating Rate | Fixed Rate | Payment Frequency Paid/ Received | Maturity Date | Notional Amount (000) | Value (000) | Upfront Payment Paid (Received) (000) | Unrealized Appreciation (Depreciation) (000) | ||||||||||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 6.14 | % | Quarterly/ Quarterly | 7/3/23 | $ | 114,391 | $ | (86 | ) | $ | — | $ | (86 | ) | |||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 6.14 | Quarterly/ Quarterly | 7/3/23 | 114,391 | (87 | ) | — | (87 | ) | ||||||||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 6.13 | Quarterly/ Quarterly | 7/5/23 | 114,391 | (88 | ) | — | (88 | ) | ||||||||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 5.92 | Quarterly/ Quarterly | 8/4/23 | 16,325 | (16 | ) | — | (16 | ) | ||||||||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 7.30 | Quarterly/ Quarterly | 12/26/23 | 126,163 | (4 | ) | — | (4 | ) | ||||||||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 7.31 | Quarterly/ Quarterly | 12/26/23 | 128,075 | (4 | ) | — | (4 | ) | ||||||||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 7.30 | Quarterly/ Quarterly | 12/27/23 | 128,075 | (5 | ) | — | (5 | ) |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 6.68 | Quarterly/ Quarterly | 6/29/26 | MXN | 32,653 | (45 | ) | — | (45 | ) | |||||||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 6.68 | Quarterly/ Quarterly | 6/29/26 | 32,653 | (43 | ) | (1 | ) | (44 | ) | |||||||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 6.66 | Quarterly/ Quarterly | 7/1/26 | 32,653 | (47 | ) | — | (47 | ) | ||||||||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 7.36 | Quarterly/ Quarterly | 12/22/26 | 57,377 | (6 | ) | — | (6 | ) | ||||||||||||||
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 7.38 | Quarterly/ Quarterly | 12/22/26 | 57,377 | (4 | ) | — | (4 | ) | ||||||||||||||
Morgan Stanley & Co. LLC* | BRL-CDI | Pay | 10.55 | Semi-Annual/ Quarterly | 1/2/25 | BRL | 10,628 | 3 | — | 3 | |||||||||||||||
Morgan Stanley & Co. LLC* | BRL-CDI | Pay | 10.55 | Semi-Annual/ Quarterly | 1/2/25 | 10,628 | 3 | — | 3 | ||||||||||||||||
Morgan Stanley & Co. LLC* | BRL-CDI | Pay | 10.57 | Semi-Annual/ Quarterly | 1/2/25 | 21,257 | 7 | — | 7 | ||||||||||||||||
Morgan Stanley & Co. LLC* | BRL-CDI | Pay | 11.63 | Semi-Annual/ Quarterly | 1/2/25 | 24,422 | 157 | — | 157 | ||||||||||||||||
Morgan Stanley & Co. LLC* | BRL-CDI | Pay | 11.63 | Semi-Annual/ Quarterly | 1/2/25 | 24,422 | 157 | — | 157 | ||||||||||||||||
Morgan Stanley & Co. LLC* | BRL-CDI | Pay | 11.69 | Semi-Annual/ Quarterly | 1/2/25 | 24,057 | 162 | — | 162 | ||||||||||||||||
Morgan Stanley & Co. LLC* | BRL-CDI | Pay | 11.74 | Semi-Annual/ Quarterly | 1/2/25 | 35,907 | 252 | — | 252 | ||||||||||||||||
Morgan Stanley & Co. LLC* | BRL-CDI | Pay | 11.80 | Semi-Annual/ Quarterly | 1/2/25 | 20,553 | 149 | — | 149 | ||||||||||||||||
Morgan Stanley & Co. LLC* | BRL-CDI | Pay | 11.85 | Semi-Annual/ Quarterly | 1/2/25 | 24,077 | 181 | — | 181 | ||||||||||||||||
Morgan Stanley & Co. LLC* | BRL-CDI | Pay | 11.90 | Semi-Annual/ Quarterly | 1/2/25 | 24,077 | 188 | — | 188 | ||||||||||||||||
$ | 824 | $ | (1 | ) | $ | 823 |
Total Return Swap Agreements:
The Fund had the following total return swap agreements open at December 31, 2021:
Swap Counterparty | Index | Pay/Receive Total Return of Referenced Index | Floating Rate | Payment Frequency | Maturity Date | Notional Amount (000) | Value (000) | Upfront Payment Paid (000) | Unrealized Appreciation (Depreciation) (000) | |||||||||||||||
BNP Paribas SA | MSCI Japan Net Total Return Index | Receive | 3 Month USD LIBOR plus 0.18% | Quarterly | 2/10/22 | $ | 16,655 | $ | (516 | ) | $ | — | $ | (516 | ) | |||||||||
BNP Paribas SA | MSCI Japan Net Total Return Index | Receive | 3 Month USD LIBOR plus 0.07% | Quarterly | 2/10/22 | 3,881 | (122 | ) | — | (122 | ) | |||||||||||||
BNP Paribas SA | MSCI Japan Net Total Return Index | Receive | 3 Month USD LIBOR plus 0.07% | Quarterly | 2/10/22 | 974 | (30 | ) | — | (30 | ) | |||||||||||||
BNP Paribas SA | MSCI Daily Total Return Gross USA Index | Receive | 3 Month USD LIBOR plus 0.38% | Quarterly | 7/14/22 | 68,664 | 6,057 | — | 6,057 | |||||||||||||||
BNP Paribas SA | MSCI Daily Total Return Gross USA Index | Receive | 3 Month USD LIBOR plus 0.38% | Quarterly | 7/14/22 | 3,232 | 288 | — | 288 | |||||||||||||||
BNP Paribas SA | MSCI Daily Total Return Gross USA Index | Receive | 3 Month USD LIBOR plus 0.39% | Quarterly | 9/29/22 | 18,235 | (107 | ) | — | (107 | ) | |||||||||||||
BNP Paribas SA | BNP Custom U.S. Banks Index†† | Receive | 3 Month USD LIBOR plus 0.40% | Quarterly | 9/16/22 | 999 | (2 | ) | — | (2 | ) | |||||||||||||
BNP Paribas SA | BNP Custom U.S. Banks Index†† | Receive | 3 Month USD LIBOR plus 0.40% | Quarterly | 9/16/22 | 12,420 | —@ | — | —@ | |||||||||||||||
Goldman Sachs International | MSCI Emerging Markets Net Total Return Index | Receive | 3 Month USD LIBOR plus 0.18% | Quarterly | 1/26/22 | 33,383 | (1,491 | ) | — | (1,491 | ) | |||||||||||||
Goldman Sachs International | MSCI Emerging Markets Net Total Return Index | Receive | 3 Month USD LIBOR plus 0.18% | Quarterly | 1/26/22 | 7,718 | (345 | ) | — | (345 | ) | |||||||||||||
Goldman Sachs International | MSCI Emerging Markets Net Total Return Index | Receive | 3 Month USD LIBOR plus 0.18% | Quarterly | 1/26/22 | 1,936 | (86 | ) | — | (86 | ) | |||||||||||||
Goldman Sachs International | MSCI Daily Total Return Gross USA Index | Receive | 3 Month USD LIBOR plus 0.37% | Quarterly | 10/13/22 | 16,802 | 1,468 | — | 1,468 | |||||||||||||||
JPMorgan Chase Bank NA | JPM SPX 1500 Anti-Value Index†† | Pay | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 4,436 | (216 | ) | — | (216 | ) | |||||||||||||
JPMorgan Chase Bank NA | JPM SPX 1500 Anti-Value Index†† | Pay | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 9,076 | (244 | ) | — | (244 | ) | |||||||||||||
JPMorgan Chase Bank NA | JPM SPX 1500 Anti-Value Index†† | Pay | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 8,828 | (26 | ) | — | (26 | ) | |||||||||||||
JPMorgan Chase Bank NA | JPM SPX 1500 Anti-Value Index†† | Pay | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 6,350 | (257 | ) | — | (257 | ) | |||||||||||||
JPMorgan Chase Bank NA | JPM SPX 1500 Anti-Value Index†† | Pay | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 6,330 | (203 | ) | — | (203 | ) | |||||||||||||
JPMorgan Chase Bank NA | JPM SPX 1500 Value Index†† | Receive | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 5,921 | 334 | — | 334 | |||||||||||||||
JPMorgan Chase Bank NA | JPM SPX 1500 Value Index†† | Receive | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 12,170 | 365 | — | 365 | |||||||||||||||
JPMorgan Chase Bank NA | JPM SPX 1500 Value Index†† | Receive | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 11,660 | 164 | — | 164 | |||||||||||||||
JPMorgan Chase Bank NA | JPM SPX 1500 Value Index†† | Receive | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 2,690 | 117 | — | 117 | |||||||||||||||
JPMorgan Chase Bank NA | JPM SPX 1500 Value Index†† | Receive | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 2,689 | 83 | — | 83 | |||||||||||||||
JPMorgan Chase Bank NA | JPM SPX 500 Anti-Value Index†† | Pay | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 9,882 | (585 | ) | — | (585 | ) | |||||||||||||
JPMorgan Chase Bank NA | JPM SPX 500 Value Index†† | Receive | 3 Month USD LIBOR plus 0.20% | Quarterly | 12/7/22 | 9,896 | 574 | — | 574 | |||||||||||||||
$ | 5,220 | $ | — | $ | 5,220 |
†† See tables below for details of the equity basket holdings underlying the swap.
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
The following table represents the equity basket holdings underlying the total return swap with BNP Custom U.S. Banks Index as of December 31, 2021:
Security Description | Shares | Value (000) | Index Weight | |||||||||
BNP Custom U.S. Banks Index | ||||||||||||
Bank of America Corp. | 308,343 | $ | 13,718 | 22.47 | % | |||||||
CIT Group, Inc. | 3,298 | 169 | 0.28 | |||||||||
Citigroup, Inc. | 79,236 | 4,785 | 7.84 | |||||||||
Citizens Financial Group | 15,687 | 741 | 1.21 | |||||||||
Comerica, Inc. | 5,287 | 460 | 0.75 | |||||||||
East West Bancorp, Inc. | 4,961 | 390 | 0.64 | |||||||||
Fifth Third Bancorp | 25,079 | 1,092 | 1.79 | |||||||||
First Republic Bank | 5,750 | 1,187 | 1.94 | |||||||||
Huntington Bancshares, Inc. | 35,695 | 550 | 0.90 | |||||||||
JPMorgan Chase & Co. | 110,953 | 17,569 | 28.78 | |||||||||
Keycorp | 34,389 | 795 | 1.30 | |||||||||
M&T Bank Corp. | 4,440 | 682 | 1.12 | |||||||||
People's United Financial | 13,619 | 243 | 0.40 | |||||||||
PNC Financial Services Group | 15,425 | 3,093 | 5.07 | |||||||||
Regions Financial Corp. | 34,597 | 754 | 1.24 | |||||||||
Signature Bank | 1,907 | 617 | 1.01 | |||||||||
SVB Financial Group | 1,793 | 1,216 | 1.99 | |||||||||
Truist Financial Corp. | 45,852 | 2,685 | 4.40 | |||||||||
US Bancorp | 51,605 | 2,899 | 4.75 | |||||||||
Wells Fargo & Co. | 146,120 | 7,011 | 11.48 | |||||||||
Zions Bancorp NA | 6,245 | 394 | 0.65 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
The following table represents the equity basket holdings underlying the total return swap with JPM SPX 1500 Anti-Value Index as of December 31, 2021:
Security Description | Shares | Value (000) | Index Weight | |||||||||
JPM SPX 1500 Anti-Value Index | ||||||||||||
Allegheny Technologies, Inc. | 3,489 | $ | 56 | 0.53 | % | |||||||
American Tower Corp. | 192 | 56 | 0.54 | |||||||||
Apple, Inc. | 315 | 56 | 0.54 | |||||||||
Arista Networks, Inc. | 422 | 61 | 0.58 | |||||||||
Arlo Technologies, Inc. | 6,556 | 69 | 0.66 | |||||||||
Celsius Holdings, Inc. | 808 | 60 | 0.58 | |||||||||
Chesapeake Utilities, Corp. | 389 | 57 | 0.54 | |||||||||
Corvel Corp. | 267 | 56 | 0.53 | |||||||||
Crown Castle International Corp. | 275 | 57 | 0.55 | |||||||||
Cytokinetics, Inc. | 1,425 | 65 | 0.62 | |||||||||
Diamondrock Hospitality Co. | 5,951 | 57 | 0.55 | |||||||||
DMC Global, Inc. | 1,410 | 56 | 0.53 | |||||||||
Eastgroup Properties, Inc. | 245 | 56 | 0.53 | |||||||||
Eli Lilly & Co. | 207 | 57 | 0.55 | |||||||||
Estee Lauder Companies - Class A | 153 | 57 | 0.54 | |||||||||
Fluor Corp. | 2,261 | 56 | 0.54 | |||||||||
GCP Applied Technologies | 1,873 | 59 | 0.57 | |||||||||
Glaukos Corp. | 1,267 | 56 | 0.54 | |||||||||
Helmerich & Payne | 2,362 | 56 | 0.54 | |||||||||
Hilton Worldwide Holdings, Inc. | 366 | 57 | 0.55 | |||||||||
Host Hotels & Resorts, Inc. | 3,250 | 57 | 0.54 | |||||||||
IDEXX Laboratories, Inc. | 88 | 58 | 0.55 | |||||||||
Intuitive Surgical, Inc. | 161 | 58 | 0.55 | |||||||||
Kinsale Capital Group, Inc. | 243 | 58 | 0.55 | |||||||||
Lakeland Financial Corp. | 697 | 56 | 0.53 | |||||||||
Lamb Weston Holdings, Inc. | 946 | 60 | 0.57 | |||||||||
Lendingtree, Inc. | 477 | 58 | 0.56 | |||||||||
Live Nation Entertainment, Inc. | 499 | 60 | 0.57 | |||||||||
MarketAxess Holdings, Inc. | 146 | 60 | 0.57 | |||||||||
Mastercard, Inc. - Class A | 159 | 57 | 0.55 | |||||||||
Mccormick & Co. Non Vtg Shrs | 577 | 56 | 0.53 | |||||||||
Motorola Solutions, Inc. | 205 | 56 | 0.53 | |||||||||
Neogenomics, Inc. | 1,662 | 57 | 0.54 | |||||||||
Nexpoint Residential | 664 | 56 | 0.53 | |||||||||
Norwegian Cruise Line Holdings, Inc. | 2,767 | 57 | 0.55 | |||||||||
PAR Pacific Holdings, Inc. | 3,819 | 63 | 0.60 | |||||||||
Penumbra, Inc. | 216 | 62 | 0.59 | |||||||||
Rexford Industrial Realty, Inc. | 717 | 58 | 0.56 | |||||||||
Royal Caribbean Cruises Ltd. | 758 | 58 | 0.56 | |||||||||
SBA Communications Corp. | 147 | 57 | 0.55 | |||||||||
Servicenow, Inc. | 85 | 55 | 0.53 | |||||||||
Simply Good Foods Co. (The) | 1,403 | 58 | 0.56 | |||||||||
Tandem Diabetes Care, Inc. | 386 | 58 | 0.56 | |||||||||
Tootsie Roll Industries | 1,528 | 55 | 0.53 | |||||||||
Transdigm Group, Inc. | 88 | 56 | 0.54 | |||||||||
Trupanion, Inc. | 459 | 61 | 0.58 | |||||||||
Viavi Solutions, Inc. | 3,314 | 58 | 0.56 | |||||||||
Wingstop, Inc. | 329 | 57 | 0.54 | |||||||||
World Acceptance Corp. | 253 | 62 | 0.59 | |||||||||
Zoetis, Inc. | 230 | 56 | 0.54 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
The following table represents the equity basket holdings underlying the total return swap with JPM SPX 1500 Value Index as of December 31, 2021:
Security Description | Shares | Value (000) | Index Weight | |||||||||
JPM SPX 1500 Value Index | ||||||||||||
AAR Corp. | 1,505 | $ | 59 | 0.56 | % | |||||||
ACI Worldwide, Inc. | 1,691 | 59 | 0.56 | |||||||||
Activision Blizzard, Inc. | 891 | 59 | 0.56 | |||||||||
Allstate Corp. | 465 | 55 | 0.52 | |||||||||
Amkor Technology, Inc. | 2,252 | 56 | 0.53 | |||||||||
Andersons, Inc. (The) | 1,511 | 59 | 0.56 | |||||||||
Archer-Daniels-Midland Co. | 811 | 55 | 0.52 | |||||||||
Atlas Air Worldwide Holdings | 584 | 55 | 0.52 | |||||||||
Avanos Medical, Inc. | 1,697 | 59 | 0.56 | |||||||||
Avnet, Inc. | 1,342 | 55 | 0.53 | |||||||||
Bloomin' Brands, Inc. | 2,728 | 57 | 0.54 | |||||||||
Boyd Gaming Corp. | 854 | 56 | 0.53 | |||||||||
Cardinal Health, Inc. | 1,067 | 55 | 0.52 | |||||||||
Caretrust REIT, Inc. | 2,416 | 55 | 0.52 | |||||||||
Centene Corp. | 714 | 59 | 0.56 | |||||||||
Cigna Corp. | 253 | 58 | 0.55 | |||||||||
Cohu, Inc. | 1,593 | 61 | 0.58 | |||||||||
Customers Bancorp, Inc. | 863 | 56 | 0.54 | |||||||||
Dentsply Sirona, Inc. | 1,007 | 56 | 0.53 | |||||||||
Enersys | 694 | 55 | 0.52 | |||||||||
Envista Holdings Corp. | 1,290 | 58 | 0.55 | |||||||||
Fresh Del Monte Produce, Inc. | 2,049 | 57 | 0.54 | |||||||||
Hillenbrand, Inc. | 1,064 | 55 | 0.53 | |||||||||
Industrial Logistics Properties Trust | 2,210 | 55 | 0.53 | |||||||||
International Business Machines Corp. | 426 | 57 | 0.54 | |||||||||
Jabil, Inc. | 854 | 60 | 0.57 | |||||||||
Kimco Realty Corp. | 2,207 | 54 | 0.52 | |||||||||
MDU Resources Group, Inc. | 1,802 | 56 | 0.53 | |||||||||
Micron Technology, Inc. | 619 | 58 | 0.55 | |||||||||
Moog, Inc. - Class A | 716 | 58 | 0.55 | |||||||||
Mosaic Co. (The) | 1,467 | 58 | 0.55 | |||||||||
Netscout Systems, Inc. | 1,718 | 57 | 0.54 | |||||||||
NRG Energy, Inc. | 1,389 | 60 | 0.57 | |||||||||
Nu Skin Enterprises, Inc. - Class A | 1,147 | 58 | 0.55 | |||||||||
OFG Bancorp | 2,063 | 55 | 0.52 | |||||||||
OGE Energy Corp. | 1,421 | 55 | 0.52 | |||||||||
Owens & Minor, Inc. | 1,274 | 55 | 0.53 | |||||||||
Perdoceo Education Corp. | 4,899 | 58 | 0.55 | |||||||||
Photronics, Inc. | 3,664 | 69 | 0.66 | |||||||||
Plantronics, Inc. | 2,034 | 60 | 0.57 | |||||||||
PVH Corp. | 513 | 55 | 0.52 | |||||||||
Sanmina Corp. | 1,335 | 55 | 0.53 | |||||||||
Scansource, Inc. | 1,587 | 56 | 0.53 | |||||||||
Timkensteel Corp. | 3,538 | 58 | 0.55 | |||||||||
Titan International, Inc. | 6,883 | 75 | 0.72 | |||||||||
Unitil Corp. | 1,204 | 55 | 0.53 | |||||||||
Viatris, Inc. | 4,151 | 56 | 0.53 | |||||||||
Vista Outdoor, Inc. | 1,326 | 61 | 0.58 | |||||||||
Weyerhaeuser Co. | 1,323 | 54 | 0.52 | |||||||||
Xerox Holdings Corp. | 2,521 | 57 | 0.54 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
The following table represents the equity basket holdings underlying the total return swap with JPM SPX 500 Anti-Value Index Index as of December 31, 2021:
Security Description | Shares | Value (000) | Index Weight | |||||||||
JPM SPX 500 Anti-Value Index | ||||||||||||
Abiomed, Inc. | 143 | $ | 51 | 1.11 | % | |||||||
Agilent Technologies, Inc. | 288 | 46 | 1.00 | |||||||||
American Tower Corp. | 161 | 47 | 1.02 | |||||||||
American Water Works Co., Inc. | 250 | 47 | 1.02 | |||||||||
Bio-Techne Corp. | 95 | 49 | 1.06 | |||||||||
Brown & Brown, Inc. | 657 | 46 | 1.00 | |||||||||
Carnival Corp. | 2,471 | 50 | 1.08 | |||||||||
Chipotle Mexican Grill, Inc. | 27 | 47 | 1.02 | |||||||||
Costco Wholesale Corp. | 81 | 46 | 0.99 | |||||||||
Crown Castle International Corp. | 231 | 48 | 1.05 | |||||||||
Domino's Pizza, Inc. | 81 | 46 | 1.00 | |||||||||
Ecolab, Inc. | 194 | 46 | 0.99 | |||||||||
Edwards Lifesciences Corp. | 397 | 51 | 1.11 | |||||||||
Eli Lilly & Co. | 175 | 48 | 1.05 | |||||||||
Equinix, Inc. | 54 | 46 | 0.99 | |||||||||
Estee Lauder Companies - Class A | 128 | 47 | 1.03 | |||||||||
Eversource Energy | 506 | 46 | 1.00 | |||||||||
Fastenal Co. | 714 | 46 | 0.99 | |||||||||
Fortinet, Inc. | 142 | 51 | 1.11 | |||||||||
Hilton Worldwide Holdings, Inc. | 308 | 48 | 1.04 | |||||||||
Host Hotels & Resorts, Inc. | 2,738 | 48 | 1.03 | |||||||||
IDEXX Laboratories, Inc. | 73 | 48 | 1.05 | |||||||||
Illumina, Inc. | 125 | 48 | 1.03 | |||||||||
Intuitive Surgical, Inc. | 135 | 48 | 1.05 | |||||||||
Lamb Weston Holdings, Inc. | 797 | 51 | 1.10 | |||||||||
Las Vegas Sands Corp. | 1,244 | 47 | 1.01 | |||||||||
Live Nation Entertainment, Inc. | 420 | 50 | 1.09 | |||||||||
MarketAxess Holdings, Inc. | 122 | 50 | 1.09 | |||||||||
Martin Marietta Materials | 104 | 46 | 1.00 | |||||||||
Match Group, Inc. | 345 | 46 | 0.99 | |||||||||
Mettler-Toledo International | 28 | 48 | 1.04 | |||||||||
Monster Beverage Corp. | 511 | 49 | 1.06 | |||||||||
Nasdaq, Inc. | 216 | 45 | 0.98 | |||||||||
Nextera Energy, Inc. | 488 | 46 | 0.99 | |||||||||
Norwegian Cruise Line Holding, Inc. | 2,323 | 48 | 1.04 | |||||||||
Rollins, Inc. | 1,347 | 46 | 1.00 | |||||||||
Roper Technologies, Inc. | 92 | 45 | 0.99 | |||||||||
Royal Caribbean Cruises Ltd. | 637 | 49 | 1.06 | |||||||||
SBA Communications Corp. | 124 | 48 | 1.04 | |||||||||
Schwab (Charles) Corp. | 543 | 46 | 0.99 | |||||||||
Servicenow, Inc. | 71 | 46 | 1.00 | |||||||||
Synopsys, Inc. | 124 | 46 | 0.99 | |||||||||
Transdigm Group, Inc. | 74 | 47 | 1.02 | |||||||||
Tyler Technologies, Inc. | 85 | 46 | 0.99 | |||||||||
Verisign, Inc. | 179 | 45 | 0.99 | |||||||||
Vulcan Materials Co. | 221 | 46 | 1.00 | |||||||||
Walt Disney Co. (The) | 294 | 46 | 0.99 | |||||||||
WEC Energy Group, Inc. | 470 | 46 | 0.99 | |||||||||
West Pharmaceutical Services | 99 | 47 | 1.01 | |||||||||
Zoetis, Inc. | 193 | 47 | 1.02 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
The following table represents the equity basket holdings underlying the total return swap with JPM SPX 500 Value Index as of December 31, 2021:
Security Description | Shares | Value (000) | Index Weight | |||||||||
JPM SPX 500 Value Index | ||||||||||||
Aflac, Inc. | 588 | $ | 34 | 1.00 | % | |||||||
Allstate Corp. | 295 | 35 | 1.01 | |||||||||
American International Group | 597 | 34 | 0.98 | |||||||||
Archer-Daniels-Midland Co. | 513 | 35 | 1.01 | |||||||||
Bristol-Myers Squibb Co. | 568 | 35 | 1.03 | |||||||||
C.H. Robinson Worldwide, Inc. | 332 | 36 | 1.04 | |||||||||
Cardinal Health, Inc. | 678 | 35 | 1.01 | |||||||||
CBRE Group, Inc. - Class A | 324 | 35 | 1.02 | |||||||||
Centene Corp. | 451 | 37 | 1.08 | |||||||||
Cigna Corp. | 160 | 37 | 1.07 | |||||||||
Conagra Brands, Inc. | 1,017 | 35 | 1.01 | |||||||||
CVS Health Corp. | 353 | 36 | 1.06 | |||||||||
Davita, Inc. | 323 | 37 | 1.06 | |||||||||
Dow, Inc. | 600 | 34 | 0.99 | |||||||||
D.R. Horton, Inc. | 312 | 34 | 0.98 | |||||||||
DXC Technology Co. | 1,059 | 34 | 0.99 | |||||||||
Entergy Corp. | 312 | 35 | 1.02 | |||||||||
Exelon Corp. | 610 | 35 | 1.02 | |||||||||
Fedex Corp. | 133 | 35 | 1.00 | |||||||||
Ford Motor Co. | 1,661 | 35 | 1.00 | |||||||||
Gap, Inc. (The) | 1,934 | 34 | 0.99 | |||||||||
General Dynamics Corp. | 163 | 34 | 0.98 | |||||||||
Global Payments, Inc. | 268 | 36 | 1.05 | |||||||||
Henry Schein, Inc. | 448 | 35 | 1.01 | |||||||||
Intl Business Machines Corp. | 270 | 36 | 1.04 | |||||||||
Iron Mountain, Inc. | 681 | 36 | 1.03 | |||||||||
Juniper Networks, Inc. | 1,020 | 36 | 1.06 | |||||||||
Kimco Realty Corp. | 1,401 | 35 | 1.00 | |||||||||
Laboratory Corporation of America Holdings | 110 | 35 | 1.00 | |||||||||
LyondellBasell Industries - Class A | 366 | 34 | 0.98 | |||||||||
Micron Technology, Inc. | 394 | 37 | 1.06 | |||||||||
Mosaic Co. (The) | 929 | 36 | 1.06 | |||||||||
Northrop Grumman Corp. | 90 | 35 | 1.01 | |||||||||
NRG Energy, Inc. | 875 | 38 | 1.09 | |||||||||
Organon & Co. | 1,110 | 34 | 0.98 | |||||||||
Pinnacle West Capital | 484 | 34 | 0.99 | |||||||||
Pultegroup, Inc. | 614 | 35 | 1.02 | |||||||||
PVH Corp. | 326 | 35 | 1.01 | |||||||||
Quest Diagnostics, Inc. | 203 | 35 | 1.02 | |||||||||
Regency Centers Corp. | 446 | 34 | 0.97 | |||||||||
Seagate Technology Holdings | 303 | 34 | 0.99 | |||||||||
Textron, Inc. | 443 | 34 | 0.99 | |||||||||
Tyson Foods, Inc. - Class A | 387 | 34 | 0.98 | |||||||||
Universal Health Services - Class B | 261 | 34 | 0.98 | |||||||||
Ventas, Inc. | 679 | 35 | 1.01 | |||||||||
Viatris, Inc. | 2,628 | 36 | 1.03 | |||||||||
Walgreens Boots Alliance, Inc. | 710 | 37 | 1.07 | |||||||||
Western Digital Corp. | 565 | 37 | 1.07 | |||||||||
Weyerhaeuser Co. | 838 | 35 | 1.00 | |||||||||
Whirlpool Corp. | 143 | 34 | 0.98 |
Morgan Stanley Institutional Fund Trust
Global Strategist Portfolio
Consolidated Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
@ | Value/Notional amount is less than $500. |
* | Cleared swap agreement, the broker is Morgan Stanley & Co. LLC. |
BTP | Buoni del Tesoro Poliennali. |
CDI | Certificado de Depósito Interbancári. |
MSCI | Morgan Stanley Capital International. |
SGX | Singapore Exchange Ltd. |
TIIE | Interbank Equilibrium Interest Rate. |
AUD | — | Australian Dollar |
BRL | — | Brazilian Real |
CAD | — | Canadian Dollar |
CHF | — | Swiss Franc |
CLP | — | Chilean Peso |
CNH | — | Chinese Yuan Renminbi Offshore |
CNY | — | Chinese Yuan Renminbi |
COP | — | Colombian Peso |
CZK | — | Czech Koruna |
DKK | — | Danish Krone |
EUR | — | Euro |
GBP | — | British Pound |
HKD | — | Hong Kong Dollar |
HUF | — | Hungarian Forint |
IDR | — | Indonesian Rupiah |
ILS | — | Israeli Shekel |
INR | — | Indian Rupee |
JPY | — | Japanese Yen |
KRW | — | South Korean Won |
MXN | — | Mexican Peso |
MYR | — | Malaysian Ringgit |
NOK | — | Norwegian Krone |
NZD | — | New Zealand Dollar |
PEN | — | Peruvian Nuevo Sol |
PLN | — | Polish Zloty |
RON | — | Romanian New Leu |
RUB | — | Russian Ruble |
SEK | — | Swedish Krona |
SGD | — | Singapore Dollar |
THB | — | Thai Baht |
TRY | — | Turkish Lira |
TWD | — | Taiwan Dollar |
USD | — | United States Dollar |
ZAR | — | South African Rand |
Portfolio Composition | ||||
Classification | Percentage of Total Investments | |||
Fixed Income Securities | 46.9 | % | ||
Common Stocks | 35.3 | |||
Short-Term Investments | 17.8 | |||
Total Investments | 100.0 | %** |
** | Does not include open long/short futures contracts with a value of approximately $178,657,000 and net unrealized depreciation of approximately $586,000. Does not include open foreign currency forward exchange contracts with net unrealized depreciation of approximately $286,000. Also does not include open swap agreements with net unrealized appreciation of approximately $6,043,000. |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)
Face Amount (000) | Value (000) | |||||||
Fixed Income Securities (97.7%) | ||||||||
Corporate Bonds (94.8%) | ||||||||
Basic Materials (5.9%) | ||||||||
Axalta Coating Systems LLC | ||||||||
3.38%, 2/15/29 (a) | $ | 250 | $ | 242 | ||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV | ||||||||
4.75%, 6/15/27 (a) | 225 | 235 | ||||||
Chemours Co. (The) | ||||||||
5.75%, 11/15/28 (a) | 500 | 524 | ||||||
Diamond BC BV | ||||||||
4.63%, 10/1/29 (a) | 500 | 497 | ||||||
Eldorado Gold Corp. | ||||||||
6.25%, 9/1/29 (a) | 700 | 713 | ||||||
First Quantum Minerals Ltd., | ||||||||
6.88%, 10/15/27 (a) | 250 | 269 | ||||||
7.50%, 4/1/25 (a) | 500 | 515 | ||||||
HB Fuller Co. | ||||||||
4.25%, 10/15/28 | 300 | 310 | ||||||
Herens Holdco Sarl | ||||||||
4.75%, 5/15/28 (a) | 600 | 589 | ||||||
Hudbay Minerals, Inc., | ||||||||
4.50%, 4/1/26 (a) | 365 | 365 | ||||||
6.13%, 4/1/29 (a) | 385 | 409 | ||||||
IAMGOLD Corp. | ||||||||
5.75%, 10/15/28 (a) | 550 | 541 | ||||||
Innophos Holdings, Inc. | ||||||||
9.38%, 2/15/28 (a) | 1,000 | 1,091 | ||||||
Kaiser Aluminum Corp., | ||||||||
4.50%, 6/1/31 (a) | 250 | 246 | ||||||
4.63%, 3/1/28 (a) | 300 | 304 | ||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp. | ||||||||
4.25%, 12/15/25 (a) | 300 | 311 | ||||||
Minerals Technologies, Inc. | ||||||||
5.00%, 7/1/28 (a) | 500 | 519 | ||||||
NOVA Chemicals Corp. | ||||||||
4.25%, 5/15/29 (a) | 300 | 302 | ||||||
Novelis Corp. | ||||||||
4.75%, 1/30/30 (a) | 250 | 263 | ||||||
Tacora Resources, Inc. | ||||||||
8.25%, 5/15/26 (a) | 500 | 501 | ||||||
TMS International Corp. | ||||||||
6.25%, 4/15/29 (a) | 950 | 947 | ||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. | ||||||||
5.13%, 4/1/29 (a) | 525 | 536 | ||||||
Unifrax Escrow Issuer Corp. | ||||||||
5.25%, 9/30/28 (a) | 250 | 253 | ||||||
10,482 | ||||||||
Communications (11.8%) | ||||||||
Altice Financing SA, | ||||||||
5.00%, 1/15/28 (a) | 550 | 538 | ||||||
5.75%, 8/15/29 (a) | 500 | 496 | ||||||
Altice France SA, | ||||||||
5.13%, 1/15/29 – 7/15/29 (a) | 850 | 830 | ||||||
Arches Buyer, Inc. | ||||||||
6.13%, 12/1/28 (a) | 200 | 202 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Audacy Capital Corp. | ||||||||
6.50%, 5/1/27 (a) | 900 | 891 | ||||||
Avaya, Inc. | ||||||||
6.13%, 9/15/28 (a) | 500 | 531 | ||||||
Block Communications, Inc. | ||||||||
4.88%, 3/1/28 (a) | 550 | 551 | ||||||
C&W Senior Financing DAC | ||||||||
6.88%, 9/15/27 (a) | 500 | 520 | ||||||
Cable One, Inc. | ||||||||
4.00%, 11/15/30 (a) | 250 | 245 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||
5.00%, 2/1/28 (a) | 300 | 313 | ||||||
Clear Channel Outdoor Holdings, Inc. | ||||||||
7.75%, 4/15/28 (a) | 425 | 455 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
5.13%, 8/15/27 (a) | 250 | 259 | ||||||
CSC Holdings LLC | ||||||||
5.75%, 1/15/30 (a) | 985 | 983 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. | ||||||||
6.63%, 8/15/27 (a) | 500 | 141 | ||||||
DISH DBS Corp., | ||||||||
5.25%, 12/1/26 (a) | 400 | 407 | ||||||
7.75%, 7/1/26 | 500 | 528 | ||||||
GCI LLC | ||||||||
4.75%, 10/15/28 (a) | 300 | 308 | ||||||
Gray Escrow II, Inc. | ||||||||
5.38%, 11/15/31 (a) | 500 | 515 | ||||||
iHeartCommunications, Inc. | ||||||||
5.25%, 8/15/27 (a) | 500 | 521 | ||||||
Iliad Holding SAS | ||||||||
7.00%, 10/15/28 (a) | 400 | 421 | ||||||
Lamar Media Corp. | ||||||||
4.00%, 2/15/30 | 250 | 254 | ||||||
LCPR Senior Secured Financing DAC, | ||||||||
5.13%, 7/15/29 (a) | 300 | 302 | ||||||
6.75%, 10/15/27 (a) | 720 | 757 | ||||||
Level 3 Financing, Inc. | ||||||||
4.63%, 9/15/27 (a) | 250 | 255 | ||||||
Lumen Technologies, Inc. | ||||||||
4.00%, 2/15/27 (a) | 250 | 254 | ||||||
Midcontinent Communications/Midcontinent Finance Corp. | ||||||||
5.38%, 8/15/27 (a) | 900 | 928 | ||||||
National CineMedia LLC | ||||||||
5.75%, 8/15/26 | 600 | 467 | ||||||
Nexstar Media, Inc. | ||||||||
5.63%, 7/15/27 (a) | 400 | 422 | ||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. | ||||||||
4.63%, 3/15/30 (a) | 750 | 749 | ||||||
Radiate Holdco LLC/Radiate Finance, Inc. | ||||||||
6.50%, 9/15/28 (a) | 750 | 755 | ||||||
Sable International Finance Ltd. | ||||||||
5.75%, 9/7/27 (a) | 449 | 460 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.00%, 7/15/28 (a) | 325 | 327 | ||||||
Switch Ltd. | ||||||||
3.75%, 9/15/28 (a) | 300 | 303 | ||||||
TEGNA, Inc., | ||||||||
4.63%, 3/15/28 | 450 | 456 | ||||||
5.00%, 9/15/29 | 300 | 307 | ||||||
Townsquare Media, Inc. | ||||||||
6.88%, 2/1/26 (a) | 400 | 425 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
TripAdvisor, Inc. | ||||||||
7.00%, 7/15/25 (a) | 175 | 185 | ||||||
Univision Communications, Inc., | ||||||||
4.50%, 5/1/29 (a) | 300 | 304 | ||||||
6.63%, 6/1/27 (a) | 300 | 324 | ||||||
UPC Broadband Finco BV | ||||||||
4.88%, 7/15/31 (a) | 500 | 511 | ||||||
UPC Holding BV | ||||||||
5.50%, 1/15/28 (a) | 250 | 260 | ||||||
Urban One, Inc. | ||||||||
7.38%, 2/1/28 (a) | 800 | 825 | ||||||
Virgin Media Finance PLC | ||||||||
5.00%, 7/15/30 (a) | 700 | 698 | ||||||
Ziggo Bond Co. BV | ||||||||
5.13%, 2/28/30 (a) | 325 | 327 | ||||||
Ziggo BV | ||||||||
4.88%, 1/15/30 (a) | 350 | 359 | ||||||
20,869 | ||||||||
Consumer, Cyclical (23.9%) | ||||||||
AAG FH LP/AAG FH Finco, Inc. | ||||||||
9.75%, 7/15/24 (a) | 550 | 547 | ||||||
Adient US LLC | ||||||||
9.00%, 4/15/25 (a) | 275 | 292 | ||||||
Air Canada | ||||||||
3.88%, 8/15/26 (a) | 300 | 306 | ||||||
Ambience Merger Sub, Inc., | ||||||||
4.88%, 7/15/28 (a) | 175 | 173 | ||||||
7.13%, 7/15/29 (a) | 450 | 443 | ||||||
American Airlines Group, Inc. | ||||||||
5.00%, 6/1/22 (a) | 250 | 251 | ||||||
American Airlines Inc/AAdvantage Loyalty IP Ltd. | ||||||||
5.75%, 4/20/29 (a) | 750 | 803 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
6.88%, 7/1/28 | 500 | 540 | ||||||
American Builders & Contractors Supply Co., Inc. | ||||||||
3.88%, 11/15/29 (a) | 250 | 250 | ||||||
Aramark Services, Inc. | ||||||||
6.38%, 5/1/25 (a) | 250 | 262 | ||||||
Arko Corp. | ||||||||
5.13%, 11/15/29 (a) | 925 | 895 | ||||||
Asbury Automotive Group, Inc., | ||||||||
4.63%, 11/15/29 (a) | 225 | 230 | ||||||
4.75%, 3/1/30 | 250 | 254 | ||||||
Ashton Woods USA LLC/Ashton Woods Finance Co. | ||||||||
4.63%, 4/1/30 (a) | 650 | 640 | ||||||
Avient Corp. | ||||||||
5.75%, 5/15/25 (a) | 250 | 261 | ||||||
Banijay Entertainment SASU | ||||||||
5.38%, 3/1/25 (a) | 625 | 638 | ||||||
Bath & Body Works, Inc. | ||||||||
6.95%, 3/1/33 | 750 | 879 | ||||||
Beacon Roofing Supply, Inc. | ||||||||
4.13%, 5/15/29 (a) | 300 | 300 | ||||||
Beazer Homes USA, Inc. | ||||||||
5.88%, 10/15/27 | 500 | 524 | ||||||
Bloomin' Brands, Inc./OSI Restaurant Partners LLC | ||||||||
5.13%, 4/15/29 (a) | 400 | 407 | ||||||
Boyd Gaming Corp., | ||||||||
4.75%, 12/1/27 | 200 | 204 | ||||||
4.75%, 6/15/31 (a) | 200 | 204 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Boyne USA, Inc. | ||||||||
4.75%, 5/15/29 (a) | 400 | 413 | ||||||
Caesars Entertainment, Inc. | ||||||||
4.63%, 10/15/29 (a) | 375 | 376 | ||||||
Carrols Restaurant Group, Inc. | ||||||||
5.88%, 7/1/29 (a) | 350 | 315 | ||||||
CCM Merger, Inc. | ||||||||
6.38%, 5/1/26 (a) | 500 | 522 | ||||||
CD&R Smokey Buyer, Inc. | ||||||||
6.75%, 7/15/25 (a) | 600 | 631 | ||||||
Clarios Global LP/Clarios US Finance Co | ||||||||
8.50%, 5/15/27 (a) | 250 | 265 | ||||||
Dana, Inc. | ||||||||
4.25%, 9/1/30 | 300 | 305 | ||||||
Dealer Tire LLC/DT Issuer LLC | ||||||||
8.00%, 2/1/28 (a) | 575 | 599 | ||||||
Eagle Intermediate Global Holding BV/Ruyi US Finance LLC | ||||||||
7.50%, 5/1/25 (a) | 625 | 567 | ||||||
Empire Communities Corp. | ||||||||
7.00%, 12/15/25 (a) | 550 | 570 | ||||||
Everi Holdings, Inc. | ||||||||
5.00%, 7/15/29 (a) | 500 | 506 | ||||||
Ferrellgas LP/Ferrellgas Finance Corp. | ||||||||
5.88%, 4/1/29 (a) | 950 | 913 | ||||||
Ford Motor Co. | ||||||||
9.00%, 4/22/25 | 750 | 918 | ||||||
Ford Motor Credit Co. LLC | ||||||||
4.13%, 8/17/27 | 250 | 270 | ||||||
Forestar Group, Inc. | ||||||||
5.00%, 3/1/28 (a) | 500 | 515 | ||||||
Foundation Building Materials, Inc. | ||||||||
6.00%, 3/1/29 (a) | 375 | 369 | ||||||
G-III Apparel Group Ltd. | ||||||||
7.88%, 8/15/25 (a) | 400 | 426 | ||||||
Gap, Inc. (The) | ||||||||
3.63%, 10/1/29 (a) | 300 | 297 | ||||||
Guitar Center, Inc. | ||||||||
8.50%, 1/15/26 (a) | 175 | 188 | ||||||
Hawaiian Brand Intellectual Property Ltd/HawaiianMiles Loyalty Ltd | ||||||||
5.75%, 1/20/26 (a) | 500 | 524 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
3.63%, 2/15/32 (a) | 250 | 249 | ||||||
Installed Building Products, Inc. | ||||||||
5.75%, 2/1/28 (a) | 250 | 260 | ||||||
Interface, Inc. | ||||||||
5.50%, 12/1/28 (a) | 200 | 210 | ||||||
International Game Technology PLC | ||||||||
5.25%, 1/15/29 (a) | 375 | 398 | ||||||
JB Poindexter & Co., Inc. | ||||||||
7.13%, 4/15/26 (a) | 500 | 524 | ||||||
Ken Garff Automotive LLC | ||||||||
4.88%, 9/15/28 (a) | 275 | 276 | ||||||
Kontoor Brands, Inc. | ||||||||
4.13%, 11/15/29 (a) | 250 | 250 | ||||||
LBM Acquisition LLC | ||||||||
6.25%, 1/15/29 (a) | 550 | 545 | ||||||
LCM Investments Holdings II LLC | ||||||||
4.88%, 5/1/29 (a) | 375 | 386 | ||||||
LGI Homes, Inc. | ||||||||
4.00%, 7/15/29 (a) | 500 | 499 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Lions Gate Capital Holdings LLC | ||||||||
5.50%, 4/15/29 (a) | 750 | 764 | ||||||
Marriott Ownership Resorts, Inc. | ||||||||
4.50%, 6/15/29 (a) | 250 | 252 | ||||||
Mattamy Group Corp. | ||||||||
5.25%, 12/15/27 (a) | 250 | 263 | ||||||
Mclaren Finance PLC | ||||||||
7.50%, 8/1/26 (a) | 450 | 456 | ||||||
Meritor, Inc., | ||||||||
4.50%, 12/15/28 (a) | 120 | 120 | ||||||
6.25%, 6/1/25 (a) | 250 | 261 | ||||||
MGM Resorts International, | ||||||||
5.50%, 4/15/27 | 327 | 349 | ||||||
6.75%, 5/1/25 | 150 | 157 | ||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp | ||||||||
4.88%, 5/1/29 (a) | 500 | 503 | ||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. | ||||||||
6.50%, 6/20/27 (a) | 250 | 267 | ||||||
Mohegan Gaming & Entertainment | ||||||||
8.00%, 2/1/26 (a) | 550 | 578 | ||||||
New Home Co., Inc. (The) | ||||||||
7.25%, 10/15/25 (a) | 750 | 767 | ||||||
Park River Holdings, Inc. | ||||||||
5.63%, 2/1/29 (a) | 525 | 502 | ||||||
Penn National Gaming, Inc. | ||||||||
4.13%, 7/1/29 (a) | 275 | 267 | ||||||
PetSmart, Inc./PetSmart Finance Corp., | ||||||||
4.75%, 2/15/28 (a) | 250 | 257 | ||||||
7.75%, 2/15/29 (a) | 250 | 272 | ||||||
Picasso Finance Sub, Inc. | ||||||||
6.13%, 6/15/25 (a) | 406 | 425 | ||||||
Powdr Corp. | ||||||||
6.00%, 8/1/25 (a) | 675 | 704 | ||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. | ||||||||
5.88%, 9/1/31 (a) | 750 | 754 | ||||||
Raptor Acquisition Corp./Raptor Co-Issuer LLC | ||||||||
4.88%, 11/1/26 (a) | 450 | 455 | ||||||
Real Hero Merger Sub 2, Inc. | ||||||||
6.25%, 2/1/29 (a) | 475 | 475 | ||||||
Rite Aid Corp., | ||||||||
7.50%, 7/1/25 (a) | 275 | 283 | ||||||
8.00%, 11/15/26 (a) | 380 | 388 | ||||||
Scientific Games International, Inc., | ||||||||
7.00%, 5/15/28 (a) | 225 | 240 | ||||||
8.25%, 3/15/26 (a) | 500 | 527 | ||||||
Speedway Motorsports LLC/Speedway Funding II, Inc. | ||||||||
4.88%, 11/1/27 (a) | 350 | 357 | ||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. | ||||||||
8.00%, 9/20/25 (a) | 300 | 331 | ||||||
SRS Distribution, Inc. | ||||||||
4.63%, 7/1/28 (a) | 600 | 603 | ||||||
Station Casinos LLC | ||||||||
4.50%, 2/15/28 (a) | 400 | 403 | ||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. | ||||||||
5.88%, 5/15/25 (a) | 810 | 807 | ||||||
Superior Plus LP/Superior General Partner, Inc. | ||||||||
4.50%, 3/15/29 (a) | 400 | 412 | ||||||
SWF Escrow Issuer Corp. | ||||||||
6.50%, 10/1/29 (a) | 325 | 313 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Taylor Morrison Communities, Inc. | ||||||||
5.88%, 6/15/27 (a) | 250 | 280 | ||||||
Tempur Sealy International, Inc., | ||||||||
3.88%, 10/15/31 (a) | 250 | 251 | ||||||
4.00%, 4/15/29 (a) | 200 | 204 | ||||||
Tenneco, Inc., | ||||||||
5.13%, 4/15/29 (a) | 325 | 318 | ||||||
7.88%, 1/15/29 (a) | 325 | 351 | ||||||
Thor Industries, Inc. | ||||||||
4.00%, 10/15/29 (a) | 450 | 446 | ||||||
Titan International, Inc. | ||||||||
7.00%, 4/30/28 | 775 | 826 | ||||||
Travel & Leisure Co. | ||||||||
4.63%, 3/1/30 (a) | 500 | 504 | ||||||
United Airlines Holdings, Inc. | ||||||||
4.88%, 1/15/25 | 250 | 257 | ||||||
United Airlines, Inc. | ||||||||
4.63%, 4/15/29 (a) | 475 | 491 | ||||||
Vail Resorts, Inc. | ||||||||
6.25%, 5/15/25 (a) | 575 | 599 | ||||||
Victoria’s Secret & Co. | ||||||||
4.63%, 7/15/29 (a) | 250 | 256 | ||||||
Wheel Pros, Inc. | ||||||||
6.50%, 5/15/29 (a) | 600 | 577 | ||||||
White Cap Buyer LLC | ||||||||
6.88%, 10/15/28 (a) | 300 | 313 | ||||||
Winnebago Industries, Inc. | ||||||||
6.25%, 7/15/28 (a) | 550 | 590 | ||||||
Wolverine World Wide, Inc. | ||||||||
4.00%, 8/15/29 (a) | 125 | 122 | ||||||
42,286 | ||||||||
Consumer, Non-Cyclical (14.4%) | ||||||||
Acadia Healthcare Co., Inc. | ||||||||
5.50%, 7/1/28 (a) | 250 | 263 | ||||||
AdaptHealth LLC, | ||||||||
4.63%, 8/1/29 (a) | 500 | 501 | ||||||
6.13%, 8/1/28 (a) | 200 | 212 | ||||||
Ahern Rentals, Inc. | ||||||||
7.38%, 5/15/23 (a) | 925 | 885 | ||||||
AHP Health Partners, Inc. | ||||||||
5.75%, 7/15/29 (a) | 650 | 645 | ||||||
Air Methods Corp. | ||||||||
8.00%, 5/15/25 (a) | 800 | 686 | ||||||
Akumin, Inc. | ||||||||
7.00%, 11/1/25 (a) | 500 | 476 | ||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertson's, Inc./Albertson's LLC | ||||||||
5.88%, 2/15/28 (a) | 250 | 265 | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp | ||||||||
6.00%, 6/1/29 (a) | 300 | 292 | ||||||
Alta Equipment Group, Inc. | ||||||||
5.63%, 4/15/26 (a) | 500 | 515 | ||||||
AMN Healthcare, Inc. | ||||||||
4.00%, 4/15/29 (a) | 200 | 203 | ||||||
APi Escrow Corp. | ||||||||
4.75%, 10/15/29 (a) | 200 | 204 | ||||||
APi Group DE, Inc. | ||||||||
4.13%, 7/15/29 (a) | 350 | 352 | ||||||
Bausch Health Cos, Inc. | ||||||||
4.88%, 6/1/28 (a) | 250 | 255 | ||||||
9.00%, 12/15/25 (a) | 450 | 475 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Cano Health LLC | ||||||||
6.25%, 10/1/28 (a) | 400 | 401 | ||||||
Carriage Services, Inc. | ||||||||
4.25%, 5/15/29 (a) | 250 | 249 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
3.13%, 2/15/29 (a) | 250 | 247 | ||||||
Central Garden & Pet Co. | ||||||||
5.13%, 2/1/28 | 300 | 314 | ||||||
Cheplapharm Arzneimittel GmbH | ||||||||
5.50%, 1/15/28 (a) | 350 | 355 | ||||||
Chobani LLC/Chobani Finance Corp., Inc. | ||||||||
7.50%, 4/15/25 (a) | 300 | 309 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
6.88%, 4/15/29 (a) | 450 | 459 | ||||||
CoreLogic, Inc. | ||||||||
4.50%, 5/1/28 (a) | 250 | 249 | ||||||
CPI CG, Inc. | ||||||||
8.63%, 3/15/26 (a) | 500 | 529 | ||||||
Edgewell Personal Care Co. | ||||||||
5.50%, 6/1/28 (a) | 500 | 531 | ||||||
Emergent BioSolutions, Inc. | ||||||||
3.88%, 8/15/28 (a) | 275 | 264 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | ||||||||
6.00%, 7/15/23 (a) | 778 | 589 | ||||||
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. | ||||||||
6.13%, 4/1/29 (a) | 500 | 491 | ||||||
FAGE International SA/FAGE USA Dairy Industry, Inc. | ||||||||
5.63%, 8/15/26 (a) | 371 | 381 | ||||||
Garda World Security Corp. | ||||||||
9.50%, 11/1/27 (a) | 900 | 972 | ||||||
Grifols Escrow Issuer SA | ||||||||
4.75%, 10/15/28 (a) | 325 | 332 | ||||||
H-Food Holdings LLC/Hearthside Finance Co., Inc. | ||||||||
8.50%, 6/1/26 (a) | 1,000 | 1,001 | ||||||
Hadrian Merger Sub, Inc. | ||||||||
8.50%, 5/1/26 (a) | 600 | 620 | ||||||
Hertz Corp. (The) | ||||||||
5.00%, 12/1/29 (a) | 400 | 401 | ||||||
Ingles Markets, Inc. | ||||||||
4.00%, 6/15/31 (a) | 200 | 202 | ||||||
Lannett Co., Inc. | ||||||||
7.75%, 4/15/26 (a) | 500 | 387 | ||||||
Metis Merger Sub LLC | ||||||||
6.50%, 5/15/29 (a) | 500 | 492 | ||||||
Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc. | ||||||||
7.88%, 10/1/22 (a) | 338 | 341 | ||||||
ModivCare Escrow Issuer, Inc. | ||||||||
5.00%, 10/1/29 (a) | 600 | 614 | ||||||
Mozart Debt Merger | ||||||||
5.25%, 10/1/29 (a) | 500 | 508 | ||||||
Nathan's Famous, Inc. | ||||||||
6.63%, 11/1/25 (a) | 733 | 751 | ||||||
Nielsen Finance LLC/Nielsen Finance Co. | ||||||||
5.63%, 10/1/28 (a) | 500 | 517 | ||||||
Owens & Minor, Inc. | ||||||||
4.50%, 3/31/29 (a) | 175 | 180 | ||||||
P&L Development LLC/PLD Finance Corp. | ||||||||
7.75%, 11/15/25 (a) | 650 | 652 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Performance Food Group, Inc. | ||||||||
5.50%, 10/15/27 (a) | 300 | 313 | ||||||
Post Holdings, Inc. | ||||||||
5.50%, 12/15/29 (a) | 150 | 158 | ||||||
PROG Holdings, Inc. | ||||||||
6.00%, 11/15/29 (a) | 325 | 335 | ||||||
RP Escrow Issuer LLC | ||||||||
5.25%, 12/15/25 (a) | 500 | 505 | ||||||
Select Medical Corp. | ||||||||
6.25%, 8/15/26 (a) | 250 | 265 | ||||||
Service Corp. International | ||||||||
5.13%, 6/1/29 | 250 | 268 | ||||||
Signal Parent, Inc. | ||||||||
6.13%, 4/1/29 (a) | 500 | 445 | ||||||
Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed | ||||||||
4.63%, 3/1/29 (a) | 500 | 493 | ||||||
Sotheby's | ||||||||
7.38%, 10/15/27 (a) | 450 | 480 | ||||||
Spectrum Brands, Inc. | ||||||||
5.00%, 10/1/29 (a) | 250 | 263 | ||||||
Surgery Center Holdings, Inc., | ||||||||
6.75%, 7/1/25 (a) | 300 | 303 | ||||||
10.00%, 4/15/27 (a) | 500 | 532 | ||||||
Tenet Healthcare Corp. | ||||||||
6.13%, 10/1/28 (a) | 250 | 265 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
3.15%, 10/1/26 | 540 | 508 | ||||||
US Foods, Inc. | ||||||||
4.63%, 6/1/30 (a) | 250 | 253 | ||||||
WASH Multifamily Acquisition, Inc. | ||||||||
5.75%, 4/15/26 (a) | 500 | 526 | ||||||
25,479 | ||||||||
Energy (13.4%) | ||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. | ||||||||
5.38%, 6/15/29 (a) | 500 | 528 | ||||||
Archrock Partners LP/Archrock Partners Finance Corp., | ||||||||
6.25%, 4/1/28 (a) | 200 | 209 | ||||||
6.88%, 4/1/27 (a) | 300 | 315 | ||||||
Baytex Energy Corp. | ||||||||
5.63%, 6/1/24 (a) | 703 | 704 | ||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp. | ||||||||
6.63%, 7/15/26 (a) | 850 | 878 | ||||||
CITGO Petroleum Corp. | ||||||||
6.38%, 6/15/26 (a) | 300 | 305 | ||||||
CNX Resources Corp. | ||||||||
6.00%, 1/15/29 (a) | 750 | 781 | ||||||
Colgate Energy Partners III LLC | ||||||||
5.88%, 7/1/29 (a) | 650 | 670 | ||||||
Comstock Resources, Inc., | ||||||||
5.88%, 1/15/30 (a) | 350 | 359 | ||||||
6.75%, 3/1/29 (a) | 500 | 543 | ||||||
CrownRock LP/CrownRock Finance, Inc. | ||||||||
5.63%, 10/15/25 (a) | 700 | 717 | ||||||
DT Midstream, Inc. | ||||||||
4.13%, 6/15/29 (a) | 225 | 231 | ||||||
Endeavor Energy Resources LP/EER Finance, Inc., | ||||||||
5.75%, 1/30/28 (a) | 650 | 694 | ||||||
6.63%, 7/15/25 (a) | 250 | 265 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Energy Ventures Gom LLC/EnVen Finance Corp. | ||||||||
11.75%, 4/15/26 (a) | 760 | 783 | ||||||
EQT Corp. | ||||||||
3.63%, 5/15/31 (a) | 125 | 130 | ||||||
Global Partners LP/GLP Finance Corp. | ||||||||
7.00%, 8/1/27 | 840 | 872 | ||||||
Hess Midstream Operations LP | ||||||||
4.25%, 2/15/30 (a) | 300 | 298 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co., | ||||||||
5.75%, 2/1/29 (a) | 275 | 284 | ||||||
6.25%, 11/1/28 (a) | 225 | 237 | ||||||
ITT Holdings LLC | ||||||||
6.50%, 8/1/29 (a) | 900 | 893 | ||||||
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp. | ||||||||
6.00%, 8/1/26 (a) | 700 | 718 | ||||||
Martin Midstream Partners LP/Martin Midstream Finance Corp., | ||||||||
10.00%, 2/29/24 (a) | 218 | 225 | ||||||
11.50%, 2/28/25 (a) | 992 | 1,045 | ||||||
Matador Resources Co. | ||||||||
5.88%, 9/15/26 | 800 | 825 | ||||||
Murphy Oil Corp., | ||||||||
5.88%, 12/1/27 | 315 | 326 | ||||||
6.38%, 7/15/28 | 550 | 585 | ||||||
NuStar Logistics LP | ||||||||
6.38%, 10/1/30 | 900 | 1,000 | ||||||
Occidental Petroleum Corp., | ||||||||
3.20%, 8/15/26 | 270 | 279 | ||||||
6.13%, 1/1/31 | 1,405 | 1,709 | ||||||
6.95%, 7/1/24 | 250 | 278 | ||||||
Oceaneering International, Inc. | ||||||||
6.00%, 2/1/28 | 775 | 761 | ||||||
Parkland Corp. (Canada), | ||||||||
4.50%, 10/1/29 (a) | 250 | 251 | ||||||
4.63%, 5/1/30 (a) | 250 | 249 | ||||||
PBF Holding Co. LLC/PBF Finance Corp., | ||||||||
Series WI | ||||||||
6.00%, 2/15/28 | 750 | 483 | ||||||
Rockcliff Energy II LLC | ||||||||
5.50%, 10/15/29 (a) | 250 | 258 | ||||||
Southwestern Energy Co. | ||||||||
4.75%, 2/1/32 | 300 | 317 | ||||||
Sunoco LP/Sunoco Finance Corp. | ||||||||
4.50%, 5/15/29 | 400 | 407 | ||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., | ||||||||
6.00%, 12/31/30 (a) | 375 | 376 | ||||||
7.50%, 10/1/25 (a) | 250 | 271 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | ||||||||
4.88%, 2/1/31 | 400 | 435 | ||||||
5.50%, 3/1/30 | 300 | 328 | ||||||
TransMontaigne Partners LP/TLP Finance Corp. | ||||||||
6.13%, 2/15/26 | 250 | 248 | ||||||
Vermilion Energy, Inc. | ||||||||
5.63%, 3/15/25 (a) | 750 | 759 | ||||||
Viper Energy Partners LP | ||||||||
5.38%, 11/1/27 (a) | 830 | 858 | ||||||
23,687 | ||||||||
Finance (6.6%) | ||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer | ||||||||
6.75%, 10/15/27 (a) | 250 | 260 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
AmWINS Group, Inc. | ||||||||
4.88%, 6/30/29 (a) | 125 | 126 | ||||||
Asteroid Private Merger Sub, Inc. | ||||||||
8.50%, 11/15/29 (a) | 100 | 105 | ||||||
BroadStreet Partners, Inc. | ||||||||
5.88%, 4/15/29 (a) | 450 | 443 | ||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL | ||||||||
4.50%, 4/1/27 (a) | 250 | 246 | ||||||
Compass Group Diversified Holdings LLC | ||||||||
5.25%, 4/15/29 (a) | 700 | 735 | ||||||
CTR Partnership LP/CareTrust Capital Corp. | ||||||||
3.88%, 6/30/28 (a) | 225 | 230 | ||||||
Cushman & Wakefield US Borrower LLC | ||||||||
6.75%, 5/15/28 (a) | 250 | 268 | ||||||
Freedom Mortgage Corp., | ||||||||
6.63%, 1/15/27 (a) | 250 | 245 | ||||||
7.63%, 5/1/26 (a) | 325 | 332 | ||||||
8.25%, 4/15/25 (a) | 391 | 401 | ||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP | ||||||||
3.75%, 12/15/27 (a) | 400 | 391 | ||||||
Howard Hughes Corp. (The) | ||||||||
4.13%, 2/1/29 (a) | 300 | 304 | ||||||
HUB International Ltd. | ||||||||
7.00%, 5/1/26 (a) | 382 | 393 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | ||||||||
4.38%, 2/1/29 | 250 | 244 | ||||||
Iron Mountain, Inc. | ||||||||
5.25%, 7/15/30 (a) | 300 | 317 | ||||||
iStar, Inc. | ||||||||
4.25%, 8/1/25 | 250 | 256 | ||||||
Jane Street Group/JSG Finance, Inc. | ||||||||
4.50%, 11/15/29 (a) | 500 | 506 | ||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp. | ||||||||
5.00%, 8/15/28 (a) | 500 | 513 | ||||||
Jefferson Capital Holdings LLC | ||||||||
6.00%, 8/15/26 (a) | 500 | 507 | ||||||
LD Holdings Group LLC, | ||||||||
6.13%, 4/1/28 (a) | 250 | 236 | ||||||
6.50%, 11/1/25 (a) | 350 | 346 | ||||||
LPL Holdings, Inc. | ||||||||
4.00%, 3/15/29 (a) | 300 | 308 | ||||||
MGIC Investment Corp. | ||||||||
5.25%, 8/15/28 | 300 | 315 | ||||||
Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc. | ||||||||
6.38%, 12/15/22 (a) | 500 | 502 | ||||||
PennyMac Financial Services, Inc. | ||||||||
5.38%, 10/15/25 (a) | 400 | 411 | ||||||
PRA Group, Inc. | ||||||||
5.00%, 10/1/29 (a) | 310 | 311 | ||||||
RHP Hotel Properties LP/RHP Finance Corp., | ||||||||
4.50%, 2/15/29 (a) | 250 | 250 | ||||||
4.75%, 10/15/27 | 250 | 255 | ||||||
RLJ Lodging Trust LP | ||||||||
3.75%, 7/1/26 (a) | 250 | 252 | ||||||
SBA Communications Corp., | ||||||||
Series WI | ||||||||
3.88%, 2/15/27 | 300 | 309 | ||||||
StoneX Group, Inc. | ||||||||
8.63%, 6/15/25 (a) | 749 | 796 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
United Wholesale Mortgage LLC | ||||||||
5.50%, 4/15/29 (a) | 300 | 295 | ||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC | ||||||||
4.75%, 4/15/28 (a) | 275 | 273 | ||||||
11,681 | ||||||||
Industrials (15.8%) | ||||||||
Apex Tool Group LLC/BC Mountain Finance, Inc. | ||||||||
9.00%, 2/15/23 (a) | 500 | 473 | ||||||
Brand Industrial Services, Inc. | ||||||||
8.50%, 7/15/25 (a) | 1,000 | 1,000 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. | ||||||||
6.00%, 2/1/26 (a) | 400 | 416 | ||||||
Builders FirstSource, Inc. | ||||||||
5.00%, 3/1/30 (a) | 250 | 268 | ||||||
Cargo Aircraft Management, Inc. | ||||||||
4.75%, 2/1/28 (a) | 400 | 408 | ||||||
Carriage Purchaser, Inc. | ||||||||
7.88%, 10/15/29 (a) | 575 | 553 | ||||||
Cleaver-Brooks, Inc. | ||||||||
7.88%, 3/1/23 (a) | 850 | 833 | ||||||
Cornerstone Building Brands, Inc. | ||||||||
6.13%, 1/15/29 (a) | 275 | 294 | ||||||
Covert Mergeco, Inc. | ||||||||
4.88%, 12/1/29 (a) | 250 | 254 | ||||||
CP Atlas Buyer, Inc. | ||||||||
7.00%, 12/1/28 (a) | 800 | 797 | ||||||
Dycom Industries, Inc. | ||||||||
4.50%, 4/15/29 (a) | 250 | 255 | ||||||
EnerSys | ||||||||
4.38%, 12/15/27 (a) | 350 | 364 | ||||||
EnPro Industries, Inc. | ||||||||
5.75%, 10/15/26 | 150 | 157 | ||||||
Flex Acquisition Co., Inc. | ||||||||
6.88%, 1/15/25 (a) | 550 | 552 | ||||||
Fly Leasing Ltd. | ||||||||
7.00%, 10/15/24 (a) | 650 | 640 | ||||||
FXI Holdings, Inc. | ||||||||
7.88%, 11/1/24 (a) | 688 | 702 | ||||||
GFL Environmental, Inc., | ||||||||
4.38%, 8/15/29 (a) | 200 | 198 | ||||||
4.75%, 6/15/29 (a) | 300 | 303 | ||||||
Graham Packaging Co., Inc. | ||||||||
7.13%, 8/15/28 (a) | 550 | 570 | ||||||
Great Lakes Dredge & Dock Corp. | ||||||||
5.25%, 6/1/29 (a) | 250 | 258 | ||||||
Greif, Inc. | ||||||||
6.50%, 3/1/27 (a) | 175 | 182 | ||||||
Griffon Corp. | ||||||||
5.75%, 3/1/28 | 500 | 520 | ||||||
Harsco Corp. | ||||||||
5.75%, 7/31/27 (a) | 600 | 612 | ||||||
Hillenbrand, Inc. | ||||||||
3.75%, 3/1/31 | 250 | 251 | ||||||
II-VI, Inc. | ||||||||
5.00%, 12/15/29 (a) | 450 | 460 | ||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC | ||||||||
6.00%, 9/15/28 (a) | 500 | 515 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Intertape Polymer Group, Inc. | ||||||||
4.38%, 6/15/29 (a) | 450 | 451 | ||||||
JPW Industries Holding Corp. | ||||||||
9.00%, 10/1/24 (a) | 1,050 | 1,100 | ||||||
Koppers, Inc. | ||||||||
6.00%, 2/15/25 (a) | 500 | 509 | ||||||
Kratos Defense & Security Solutions, Inc. | ||||||||
6.50%, 11/30/25 (a) | 500 | 515 | ||||||
Manitowoc Co., Inc. (The) | ||||||||
9.00%, 4/1/26 (a) | 500 | 527 | ||||||
Mauser Packaging Solutions Holding Co. | ||||||||
7.25%, 4/15/25 (a) | 1,000 | 1,004 | ||||||
Moog, Inc. | ||||||||
4.25%, 12/15/27 (a) | 250 | 252 | ||||||
New Enterprise Stone & Lime Co., Inc., | ||||||||
5.25%, 7/15/28 (a) | 450 | 457 | ||||||
9.75%, 7/15/28 (a) | 500 | 536 | ||||||
OI European Group BV | ||||||||
4.75%, 2/15/30 (a) | 250 | 254 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
6.63%, 5/13/27 (a) | 250 | 264 | ||||||
Patrick Industries, Inc. | ||||||||
4.75%, 5/1/29 (a) | 300 | 299 | ||||||
PGT Innovations, Inc. | ||||||||
4.38%, 10/1/29 (a) | 450 | 453 | ||||||
Roller Bearing Co. of America, Inc. | ||||||||
4.38%, 10/15/29 (a) | 250 | 255 | ||||||
Seaspan Corp. | ||||||||
5.50%, 8/1/29 (a) | 500 | 506 | ||||||
SRM Escrow Issuer LLC | ||||||||
6.00%, 11/1/28 (a) | 400 | 428 | ||||||
Standard Industries, Inc. | ||||||||
5.00%, 2/15/27 (a) | 250 | 258 | ||||||
Stevens Holding Co., Inc. | ||||||||
6.13%, 10/1/26 (a) | 250 | 267 | ||||||
Summit Materials LLC/Summit Materials Finance Corp. | ||||||||
5.25%, 1/15/29 (a) | 350 | 367 | ||||||
TK Elevator US Newco, Inc. | ||||||||
5.25%, 7/15/27 (a) | 550 | 579 | ||||||
TopBuild Corp., | ||||||||
3.63%, 3/15/29 (a) | 250 | 252 | ||||||
4.13%, 2/15/32 (a) | 150 | 154 | ||||||
TransDigm, Inc. | ||||||||
5.50%, 11/15/27 | 550 | 567 | ||||||
Trident TPI Holdings, Inc. | ||||||||
6.63%, 11/1/25 (a) | 500 | 502 | ||||||
TriMas Corp. | ||||||||
4.13%, 4/15/29 (a) | 400 | 401 | ||||||
Triumph Group, Inc., | ||||||||
6.25%, 9/15/24 (a) | 500 | 504 | ||||||
8.88%, 6/1/24 (a) | 222 | 242 | ||||||
Trivium Packaging Finance BV | ||||||||
8.50%, 8/15/27 (a) | 550 | 582 | ||||||
TTM Technologies, Inc. | ||||||||
4.00%, 3/1/29 (a) | 500 | 498 | ||||||
Tutor Perini Corp. | ||||||||
6.88%, 5/1/25 (a) | 750 | 757 | ||||||
Victors Merger Corp. | ||||||||
6.38%, 5/15/29 (a) | 500 | 471 | ||||||
VM Consolidated, Inc. | ||||||||
5.50%, 4/15/29 (a) | 325 | 327 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Waste Pro USA, Inc. | ||||||||
5.50%, 2/15/26 (a) | 475 | 473 | ||||||
Watco Cos. LLC/Watco Finance Corp. | ||||||||
6.50%, 6/15/27 (a) | 750 | 781 | ||||||
XPO Logistics, Inc. | ||||||||
6.25%, 5/1/25 (a) | 300 | 314 | ||||||
27,941 | ||||||||
Technology (2.8%) | ||||||||
Booz Allen Hamilton, Inc. | ||||||||
4.00%, 7/1/29 (a) | 250 | 259 | ||||||
Boxer Parent Co., Inc. | ||||||||
7.13%, 10/2/25 (a) | 350 | 368 | ||||||
CDK Global, Inc. | ||||||||
5.25%, 5/15/29 (a) | 250 | 265 | ||||||
Clarivate Science Holdings Corp. | ||||||||
4.88%, 7/1/29 (a) | 375 | 381 | ||||||
Diebold Nixdorf, Inc., | ||||||||
8.50%, 4/15/24 | 350 | 350 | ||||||
9.38%, 7/15/25 (a) | 325 | 350 | ||||||
Dun & Bradstreet Corp. (The) | ||||||||
5.00%, 12/15/29 (a) | 300 | 308 | ||||||
KBR, Inc. | ||||||||
4.75%, 9/30/28 (a) | 330 | 337 | ||||||
NCR Corp. | ||||||||
5.13%, 4/15/29 (a) | 250 | 259 | ||||||
ON Semiconductor Corp. | ||||||||
3.88%, 9/1/28 (a) | 200 | 205 | ||||||
Playtika Holding Corp. | ||||||||
4.25%, 3/15/29 (a) | 500 | 491 | ||||||
Rackspace Technology Global, Inc. | ||||||||
5.38%, 12/1/28 (a) | 425 | 415 | ||||||
Rocket Software, Inc. | ||||||||
6.50%, 2/15/29 (a) | 250 | 244 | ||||||
Unisys Corp. | ||||||||
6.88%, 11/1/27 (a) | 375 | 407 | ||||||
Ziff Davis, Inc. | ||||||||
4.63%, 10/15/30 (a) | 302 | 310 | ||||||
4,949 | ||||||||
Utilities (0.2%) | ||||||||
PG&E Corp. | ||||||||
5.25%, 7/1/30 | 250 | 263 | ||||||
167,637 | ||||||||
Variable Rate Senior Loan Interests (2.9%) | ||||||||
Communication Services (0.2%) | ||||||||
CommScope, Inc., | ||||||||
2019 Term Loan B | ||||||||
1 Month USD LIBOR + 3.25%, 3.35%, 4/6/26 (b) | 342 | 339 | ||||||
Communications (0.9%) | ||||||||
DirecTV Financing, LLC, | ||||||||
Term Loan | ||||||||
3 Month USD LIBOR + 5.00%, 5.75%, 8/2/27 (b) | 978 | 980 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Terrier Media Buyer, Inc., | ||||||||
Term B | ||||||||
1 Month USD LIBOR + 3.50%, 3.60%, 12/17/26 (b) | 695 | 692 | ||||||
1,672 | ||||||||
Consumer, Cyclical (0.6%) | ||||||||
Playa Resorts Holding B.V., | ||||||||
2017 Term Loan B | ||||||||
1 Month USD LIBOR + 2.75%, 3.75%, 4/29/24 (b) | 607 | 592 | ||||||
Topgolf International, Inc., | ||||||||
Term B | ||||||||
3 Month USD LIBOR + 6.25%, 6.46%, 2/9/26 (b) | 488 | 496 | ||||||
1,088 | ||||||||
Consumer, Non-Cyclical (0.4%) | ||||||||
H Food Holdings LLC, | ||||||||
2018 Term Loan B | ||||||||
1 Month USD LIBOR + 3.69%, 3.79%, 5/23/25 (b) | 651 | 648 | ||||||
Energy (0.0%) | ||||||||
Gavilan Resources, LLC, | ||||||||
2nd Lien Term | ||||||||
3 Month USD LIBOR + 5.00%, 8.25%, 3/1/24 (b)(d)(e) | 1,000 | — | ||||||
Industrials (0.8%) | ||||||||
Associated Asphalt Partners, LLC, | ||||||||
Term B | ||||||||
1 Month USD LIBOR + 5.25%, 6.25%, 4/5/24 (b) | 955 | 842 | ||||||
Titan Acquisition Limited, | ||||||||
2018 Term Loan B | ||||||||
3 Month USD LIBOR + 3.00%, 3.35%, 3/28/25 (b) | 505 | 498 | ||||||
1,340 | ||||||||
5,087 | ||||||||
Total Fixed Income Securities (Cost $170,841) | 172,724 | |||||||
Shares | ||||||||
Common Stocks (0.1%) | ||||||||
Auto Components (0.0%) | ||||||||
Exide Technologies (f) | 592 | — | ||||||
Equity Real Estate Investment Trusts (REITs) (0.0%) | ||||||||
American Gilsonite Co. (f) | 500 | 4 | ||||||
Machinery (0.0%) | ||||||||
Iracore International Holdings, Inc., Class A (f)(g) | 470 | — | ||||||
Semiconductors & Semiconductor Equipment (0.0%) | ||||||||
UC Holdings, Inc. (f) | 2,826 | 23 | ||||||
Transportation (0.1%) | ||||||||
Syncreon Group BV/Syncreon Global Finance US, Inc. (f) | 1,441 | 121 | ||||||
Total Common Stocks (Cost $151) | 148 |
Morgan Stanley Institutional Fund Trust
High Yield Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
No. of Warrants | ||||||||
Warrant (0.0%) (c) | ||||||||
Transportation (0.0%) (c) | ||||||||
Syncreon Group BV/Syncreon Global Finance US, Inc. expires 10/2/24 (Cost $—) | 2,266 | 65 | ||||||
Shares | ||||||||
Short-Term Investment (0.7%) | ||||||||
Investment Company (0.7%) | ||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (h) (Cost $1,315) | 1,315,327 | 1,315 | ||||||
Total Investments (98.5%) (Cost $172,307) (i)(j) | 174,252 | |||||||
Other Assets in Excess of Liabilities (1.5%) | 2,567 | |||||||
Net Assets (100.0%) | $ | 176,819 |
(a) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. | |||||
(b) | Floating or variable rate securities: The rates disclosed are as of December 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. | |||||
(c) | Amount is less than 0.05%. | |||||
(d) | Non-income producing security; bond in default. | |||||
(e) | Issuer in bankruptcy. | |||||
(f) | Non-income producing security. | |||||
(g) | At December 31, 2021, the Fund held a fair valued security at $0, representing 0.0% of net assets. This security has been fair valued as determined in good faith under procedures established by and under the general supervision of the Trust's (as defined herein) Trustees. | |||||
(h) | 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, both directly and as a portion of the securities held as collateral on loaned securities. 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 December 31, 2021, advisory fees paid were reduced by less than $500 relating to the Fund's investment in the Liquidity Funds. | |||||
(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 three months ended December 31, 2021, the Fund did not engage in any cross-trade transactions. | |||||
(j) | At December 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $5,061,000 and the aggregate gross unrealized depreciation is approximately $3,116,000, resulting in net unrealized appreciation of approximately $1,945,000. | |||||
LIBOR | London Interbank Offered Rate. | |||||
REITs | Real Estate Investment Trusts. | |||||
USD | United States Dollar. | |||||
Portfolio Composition | ||||
Classification | Percentage of Total Investments | |||
Consumer, Cyclical | 24.3 | % | ||
Industrials | 16.0 | |||
Consumer, Non-Cyclical | 14.6 | |||
Energy | 13.6 | |||
Communications | 12.0 | |||
Other* | 6.8 | |||
Finance | 6.7 | |||
Basic Materials | 6.0 | |||
Total Investments | 100.0 | % |
* Industries and/or investment types representing less than 5% of total investments.
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)
Face Amount (000) | Value (000) | |||||||
Fixed Income Securities (95.4%) | ||||||||
Agency Adjustable Rate Mortgages (0.1%) | ||||||||
Federal Home Loan Mortgage Corporation, | ||||||||
Conventional Pools: | ||||||||
1 Year CMT + 2.18%, 2.30%, 6/1/38 | $ | 84 | $ | 90 | ||||
1 Year CMT + 2.32%, 2.40%, 3/1/37 | 218 | 231 | ||||||
1 Year CMT + 2.32%, 2.42%, 7/1/38 | 157 | 167 | ||||||
1 Year CMT + 2.34%, 2.45%, 1/1/36 | 159 | 169 | ||||||
657 | ||||||||
Agency Bond - Consumer Discretionary (U.S. Government Guaranteed) (0.0%) (a) | ||||||||
Safina Ltd. | ||||||||
2.00%, 12/30/23 | 191 | 193 | ||||||
Agency Fixed Rate Mortgages (0.1%) | ||||||||
Federal Home Loan Mortgage Corporation, | ||||||||
Gold Pools: | ||||||||
4.50%, 12/1/24 | 79 | 83 | ||||||
6.50%, 4/1/24 | —@ | —@ | ||||||
7.50%, 5/1/35 | 13 | 15 | ||||||
8.00%, 8/1/32 | 7 | 8 | ||||||
8.50%, 8/1/31 | 9 | 10 | ||||||
Federal National Mortgage Association, | ||||||||
Conventional Pools: | ||||||||
4.50%, 6/1/24 – 7/1/24 | 125 | 131 | ||||||
5.00%, 12/1/23 – 12/1/24 | 64 | 66 | ||||||
6.00%, 9/1/37 | 31 | 35 | ||||||
6.50%, 2/1/28 – 10/1/32 | 108 | 120 | ||||||
7.00%, 7/1/29 – 3/1/37 | 128 | 143 | ||||||
7.50%, 8/1/37 | 17 | 20 | ||||||
8.00%, 4/1/33 | 31 | 37 | ||||||
8.50%, 10/1/32 | 15 | 18 | ||||||
Government National Mortgage Association, | ||||||||
Various Pools: | ||||||||
6.00%, 11/15/38 | 60 | 68 | ||||||
8.50%, 7/15/30 | 10 | 11 | ||||||
765 | ||||||||
Asset-Backed Securities (15.0%) | ||||||||
AIMCO CLO, | ||||||||
Series 2018-B | ||||||||
3 Month USD LIBOR + 1.10%, 1.22%, 1/15/32 (b)(c) | 1,725 | 1,726 | ||||||
Ajax Mortgage Loan Trust, | ||||||||
1.70%, 5/25/59 (c) | 707 | 703 | ||||||
2.24%, 6/25/66 (c) | 909 | 903 | ||||||
AMSR Trust | ||||||||
2.11%, 9/17/37 (c) | 975 | 960 | ||||||
Aqua Finance Trust, | ||||||||
1.54%, 7/17/46 (c) | 849 | 842 | ||||||
3.14%, 7/16/40 (c) | 174 | 177 | ||||||
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd. | ||||||||
1 Month USD LIBOR + 1.07%, 1.18%, 8/15/34 (b)(c) | 1,200 | 1,196 | ||||||
Bayview Opportunity Master Fund Trust | ||||||||
3.50%, 1/28/55 (b)(c) | 115 | 116 | ||||||
Blackbird Capital Aircraft | ||||||||
2.44%, 7/15/46 (c) | 808 | 800 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
CFMT 2020-HB4 LLC | ||||||||
2.72%, 12/26/30 (b)(c) | 1,625 | 1,623 | ||||||
Cologix Data Centers US Issuer LLC | ||||||||
3.30%, 12/26/51 (c) | 1,225 | 1,225 | ||||||
Commonbond Student Loan Trust | ||||||||
1.20%, 3/25/52 (c) | 1,343 | 1,332 | ||||||
Conn's Receivables Funding 2020-A LLC | ||||||||
1.71%, 6/16/25 (c) | 97 | 97 | ||||||
Consumer Loan Underlying Bond Credit Trust | ||||||||
3.28%, 7/15/26 (c) | 144 | 144 | ||||||
Credit Acceptance Auto Loan Trust | ||||||||
1.26%, 10/15/30 (c) | 680 | 675 | ||||||
ECMC Group Student Loan Trust, | ||||||||
Class A1B | ||||||||
1 Month USD LIBOR + 1.00%, 1.10%, 1/27/70 (b)(c) | 943 | 956 | ||||||
ELFI Graduate Loan Program 2021-A LLC | ||||||||
1.53%, 12/26/46 (c) | 1,920 | 1,906 | ||||||
Fair Square Issuance Trust | ||||||||
2.90%, 9/20/24 (c) | 300 | 300 | ||||||
Falcon Aerospace Ltd. | ||||||||
3.60%, 9/15/39 (c) | 335 | 327 | ||||||
FCI Funding 2019-1 LLC | ||||||||
3.63%, 2/18/31 (c) | 61 | 61 | ||||||
FCI Funding LLC | ||||||||
1.13%, 4/15/33 (c) | 575 | 572 | ||||||
FHF Trust, | ||||||||
0.83%, 12/15/26 (c) | 752 | 747 | ||||||
1.27%, 3/15/27 (c) | 473 | 470 | ||||||
Finance of America HECM Buyout | ||||||||
1.59%, 2/25/31 (b)(c) | 500 | 495 | ||||||
Ford Credit Auto Owner Trust | ||||||||
1.06%, 4/15/33 (c) | 3,840 | 3,768 | ||||||
Foundation Finance Trust, | ||||||||
3.30%, 7/15/33 (c) | 59 | 60 | ||||||
3.86%, 11/15/34 (c) | 208 | 214 | ||||||
FREED ABS Trust, | ||||||||
3.19%, 11/18/26 (c) | 305 | 306 | ||||||
GAIA Aviation Ltd. | ||||||||
3.97%, 12/15/44 (c) | 509 | 497 | ||||||
GCI Funding I LLC | ||||||||
2.82%, 10/18/45 (c) | 1,228 | 1,233 | ||||||
GM Financial Automobile Leasing Trust, | ||||||||
0.80%, 7/20/23 | 220 | 220 | ||||||
1.67%, 12/20/22 | 346 | 347 | ||||||
Golub Capital Partners ABS Funding Ltd., | ||||||||
2.77%, 4/20/29 (c) | 1,725 | 1,710 | ||||||
Class A2 | ||||||||
3.21%, 1/22/29 (c) | 1,360 | 1,360 | ||||||
Kubota Credit Owner Trust | ||||||||
0.59%, 10/15/24 (c) | 675 | 673 | ||||||
LL ABS Trust | ||||||||
2.33%, 1/17/28 (c) | 136 | 136 | ||||||
Loanpal Solar Loan Ltd., | ||||||||
2.22%, 3/20/48 (c) | 1,506 | 1,498 | ||||||
2.29%, 1/20/48 (c) | 1,196 | 1,199 | ||||||
Lunar 2021-1 Structured Aircraft Portfolio Notes | ||||||||
2.64%, 10/15/46 (c) | 1,845 | 1,839 | ||||||
Lunar Aircraft Ltd. | ||||||||
3.38%, 2/15/45 (c) | 164 | 159 | ||||||
MACH 1 Cayman Ltd. | ||||||||
3.47%, 10/15/39 (c) | 428 | 419 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
MAPS Trust | ||||||||
2.52%, 6/15/46 (c) | 923 | 916 | ||||||
Mercedes-Benz Auto Receivables Trust | ||||||||
0.55%, 2/18/25 | 330 | 330 | ||||||
Mercury Financial Credit Card Master Trust | ||||||||
1.54%, 3/20/26 (c) | 1,725 | 1,724 | ||||||
MFA 2021-NPL1 LLC | ||||||||
2.36%, 3/25/60 (c) | 1,313 | 1,307 | ||||||
Monroe Capital ABS Funding 2021-1 Ltd. | ||||||||
2.82%, 4/22/31 (c) | 1,625 | 1,594 | ||||||
Mosaic Solar Loan Trust, | ||||||||
2.05%, 12/20/46 (c) | 1,161 | 1,150 | ||||||
2.10%, 4/20/46 (c) | 255 | 256 | ||||||
Navient Private Education Refinance Loan Trust | ||||||||
0.94%, 7/15/69 (c) | 1,314 | 1,301 | ||||||
Nelnet Student Loan Trust 2021-C | ||||||||
1.32%, 4/20/62 (c) | 1,270 | 1,252 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes, | ||||||||
1.03%, 12/16/52 (c) | 470 | 470 | ||||||
1.43%, 8/15/53 (c) | 1,170 | 1,170 | ||||||
Newday Funding Master Issuer PLC, | ||||||||
SOFR + 0.95%, 1.00%, 7/15/29 (b)(c) | 1,175 | 1,175 | ||||||
SOFR + 1.10%, 1.15%, 3/15/29 (b)(c) | 1,760 | 1,773 | ||||||
NRZ Advance Receivables Trust, | ||||||||
1.32%, 10/15/52 (c) | 405 | 405 | ||||||
1.48%, 9/15/53 (c) | 1,380 | 1,380 | ||||||
NRZ Excess Spread-Collateralized Notes, | ||||||||
2.98%, 3/25/26 (c) | 1,370 | 1,360 | ||||||
Class A | ||||||||
3.10%, 7/25/26 (c) | 1,111 | 1,108 | ||||||
3.23%, 5/25/26 (c) | 1,673 | 1,663 | ||||||
3.47%, 11/25/26 (c) | 1,534 | 1,534 | ||||||
NRZ FHT Excess LLC, | ||||||||
Class A | ||||||||
4.21%, 11/25/25 (c) | 494 | 500 | ||||||
NYCTL Trust | ||||||||
2.19%, 11/10/32 (c) | 208 | 209 | ||||||
Octane Receivables Trust | ||||||||
1.21%, 9/20/28 (c) | 556 | 553 | ||||||
Ocwen Master Advance Receivables Trust | ||||||||
1.28%, 8/15/52 (c) | 1,150 | 1,150 | ||||||
Option One Mortgage Loan Trust Asset-Backed Certificates | ||||||||
1 Month USD LIBOR + 0.50%, 0.60%, 8/20/30 (b) | 50 | 50 | ||||||
Oscar US Funding X LLC | ||||||||
3.18%, 5/10/23 (c) | 199 | 200 | ||||||
Oxford Finance Funding LLC | ||||||||
3.10%, 2/15/28 (c) | 350 | 354 | ||||||
PFS Financing Corp., | ||||||||
0.77%, 8/15/26 (c) | 1,310 | 1,291 | ||||||
0.97%, 2/15/26 (c) | 960 | 955 | ||||||
2.86%, 4/15/24 (c) | 230 | 232 | ||||||
PNMAC FMSR Issuer Trust | ||||||||
1 Month USD LIBOR + 2.35%, 2.44%, 4/25/23 (b)(c) | 1,000 | 999 | ||||||
PRET 2021-NPL6 LLC | ||||||||
2.49%, 7/25/51 (c) | 1,250 | 1,263 | ||||||
ReadyCap Lending Small Business Loan Trust | ||||||||
Daily U.S. Prime Rate — 0.50%, 2.75%, 12/27/44 (b)(c) | 182 | 178 | ||||||
Republic Finance Issuance Trust | ||||||||
2.47%, 11/20/30 (c) | 500 | 508 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
S-Jets Ltd. | ||||||||
3.97%, 8/15/42 (c) | 1,629 | 1,589 | ||||||
SFS Asset Securitization LLC | ||||||||
4.24%, 6/10/25 (c) | 814 | 814 | ||||||
SMB Private Education Loan Trust, | ||||||||
1.34%, 3/17/53 (c) | 887 | 874 | ||||||
1.68%, 2/15/51 (c) | 1,040 | 1,033 | ||||||
SPS Servicer Advance Receivables Trust | ||||||||
1.83%, 11/15/55 (c) | 2,100 | 2,090 | ||||||
START Ireland | ||||||||
4.09%, 3/15/44 (c) | 766 | 763 | ||||||
Start Ltd. | ||||||||
4.09%, 5/15/43 (c) | 1,554 | 1,529 | ||||||
Theorem Funding Trust 2021-1, | ||||||||
Class A | ||||||||
1.21%, 12/15/27 (c) | 1,350 | 1,348 | ||||||
Towd Point Mortgage Trust, | ||||||||
1 Month USD LIBOR + 0.60%, 0.69%, 2/25/57 (b)(c) | 125 | 125 | ||||||
1.75%, 10/25/60 (c) | 685 | 685 | ||||||
2.75%, 4/25/57 (b)(c) | 34 | 34 | ||||||
Upstart Securitization Trust | ||||||||
3.73%, 9/20/29 (c) | 366 | 368 | ||||||
VCP RRL ABS I Ltd., | ||||||||
Class A | ||||||||
2.15%, 10/20/31 (c) | 525 | 525 | ||||||
Verizon Owner Trust, | ||||||||
0.47%, 2/20/25 | 950 | 948 | ||||||
2.93%, 9/20/23 | 153 | 154 | ||||||
Volkswagen Auto Lease Trust | ||||||||
1.99%, 11/21/22 | 381 | 382 | ||||||
77,562 | ||||||||
Collateralized Mortgage Obligations - Agency Collateral Series (0.2%) | ||||||||
Federal Home Loan Mortgage Corporation, | ||||||||
REMIC | ||||||||
7.50%, 9/15/29 | 220 | 251 | ||||||
Government National Mortgage Association, | ||||||||
1 Month USD LIBOR + 0.28%, 0.36%, 5/20/63 (b) | 7 | 7 | ||||||
1 Month USD LIBOR + 0.45%, 0.53%, 5/20/62 (b) | —@ | —@ | ||||||
1 Month USD LIBOR + 0.60%, 0.68%, 1/20/64 (b) | 109 | 109 | ||||||
REMIC | ||||||||
1 Month USD LIBOR + 0.50% ,0.58%, 3/20/61 (b) | 95 | 96 | ||||||
1 Month USD LIBOR + 0.56% ,0.64%, 9/20/62 (b) | 313 | 314 | ||||||
777 | ||||||||
Commercial Mortgage-Backed Securities (3.3%) | ||||||||
Alen 2021-ACEN Mortgage Trust | ||||||||
1 Month USD LIBOR + 1.15%, 1.26%, 4/15/34 (b)(c) | 1,200 | 1,200 | ||||||
BX Commercial Mortgage Trust, | ||||||||
Class A | ||||||||
1 Month USD LIBOR + 0.70%, 0.81%, 4/15/34 (b)(c) | 2,100 | 2,091 | ||||||
CSMC 2020-TMIC, | ||||||||
Class A | ||||||||
1 Month USD LIBOR + 3.00% ,3.25%, 12/15/35 (b)(c) | 2,125 | 2,138 | ||||||
CSMC Commercial Mortgage Trust | ||||||||
3.53%, 8/15/37 (c) | 575 | 590 | ||||||
CSWF Commercial Mortgage Trust | ||||||||
1 Month USD LIBOR + 0.97%, 1.08%, 6/15/34 (b)(c) | 2,650 | 2,642 | ||||||
DROP Mortgage Trust | ||||||||
1 Month USD LIBOR + 1.15%, 1.26%, 4/15/26 (b)(c) | 1,700 | 1,703 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
HPLY Trust | ||||||||
1 Month USD LIBOR + 2.35%, 2.46%, 11/15/36 (b)(c) | 407 | 400 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||
Class A | ||||||||
1 Month USD LIBOR + 1.12%, 1.23%, 11/15/38 (b)(c) | 2,450 | 2,446 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | ||||||||
4.13%, 7/5/31 (c) | 1,100 | 1,141 | ||||||
Natixis Commercial Mortgage Securities Trust | ||||||||
1 Month USD LIBOR + 2.20%, 2.31%, 7/15/36 (b)(c) | 850 | 850 | ||||||
TPGI Trust, | ||||||||
Class A | ||||||||
1 Month USD LIBOR + 0.70%, 0.81%, 6/15/26 (b)(c) | 1,175 | 1,171 | ||||||
TTAN 2021-MHC, | ||||||||
Class A | ||||||||
1 Month USD LIBOR + 0.85%, 0.96%, 3/15/38 (b)(c) | 850 | 849 | ||||||
17,221 | ||||||||
Corporate Bonds (62.1%) | ||||||||
Finance (28.6%) | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||
2.45%, 10/29/26 | 850 | 857 | ||||||
Aflac, Inc. | ||||||||
1.13%, 3/15/26 | 2,200 | 2,162 | ||||||
Air Lease Corp. | ||||||||
0.80%, 8/18/24 | 2,895 | 2,837 | ||||||
American Tower Corp. | ||||||||
2.40%, 3/15/25 | 600 | 617 | ||||||
Anthem, Inc., | ||||||||
1.50%, 3/15/26 | 2,830 | 2,829 | ||||||
2.38%, 1/15/25 | 1,000 | 1,032 | ||||||
Aon Corp. | ||||||||
2.20%, 11/15/22 | 575 | 583 | ||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
4.40%, 5/19/26 (c) | 2,500 | 2,739 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
2.88%, 2/15/25 (c) | 625 | 639 | ||||||
Banco Bilbao Vizcaya Argentaria SA | ||||||||
0.88%, 9/18/23 | 1,600 | 1,594 | ||||||
Banco Santander Chile | ||||||||
2.70%, 1/10/25 (c) | 800 | 818 | ||||||
Banco Santander SA | ||||||||
3.85%, 4/12/23 | 2,200 | 2,276 | ||||||
Bank of America Corp., | ||||||||
0.98%, 9/25/25 | 4,135 | 4,087 | ||||||
3.88%, 8/1/25 | 3,900 | 4,231 | ||||||
MTN | ||||||||
0.81%, 10/24/24 | 1,820 | 1,809 | ||||||
Bank of Nova Scotia (The) | ||||||||
1.05%, 3/2/26 | 2,610 | 2,546 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
2.38%, 11/21/24 (c) | 3,480 | 3,569 | ||||||
BNP Paribas SA | ||||||||
2.82%, 11/19/25 (c) | 3,780 | 3,892 | ||||||
BPCE SA, | ||||||||
2.38%, 1/14/25 (c) | 2,635 | 2,683 | ||||||
4.00%, 9/12/23 (c) | 2,850 | 2,986 | ||||||
Canadian Imperial Bank of Commerce, | ||||||||
2.25%, 1/28/25 | 1,130 | 1,155 | ||||||
3.10%, 4/2/24 | 2,270 | 2,368 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Charles Schwab Corp. (The) | ||||||||
3.75%, 4/1/24 | 1,225 | 1,294 | ||||||
Citigroup, Inc., | ||||||||
3.11%, 4/8/26 | 2,000 | 2,098 | ||||||
3.35%, 4/24/25 | 6,690 | 6,989 | ||||||
Deutsche Bank AG, | ||||||||
Series E | ||||||||
0.96%, 11/8/23 | 3,950 | 3,945 | ||||||
Equitable Financial Life Global Funding | ||||||||
1.40%, 7/7/25 (c) | 1,000 | 992 | ||||||
GA Global Funding Trust | ||||||||
1.63%, 1/15/26 (c) | 4,070 | 4,040 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
3.27%, 9/29/25 | 8,500 | 8,924 | ||||||
3.50%, 1/23/25 | 1,750 | 1,846 | ||||||
Guardian Life Global Funding | ||||||||
0.88%, 12/10/25 (c) | 2,450 | 2,389 | ||||||
HSBC Holdings PLC, | ||||||||
0.73%, 8/17/24 | 1,720 | 1,705 | ||||||
2.63%, 11/7/25 | 1,850 | 1,899 | ||||||
3.80%, 3/11/25 | 1,680 | 1,764 | ||||||
3.95%, 5/18/24 | 1,830 | 1,898 | ||||||
JPMorgan Chase & Co., | ||||||||
1.56%, 12/10/25 | 4,800 | 4,808 | ||||||
4.02%, 12/5/24 | 5,190 | 5,475 | ||||||
LeasePlan Corp. N.V. | ||||||||
2.88%, 10/24/24 (c) | 1,275 | 1,315 | ||||||
Macquarie Bank Ltd. | ||||||||
2.30%, 1/22/25 (c) | 3,475 | 3,563 | ||||||
Macquarie Group Ltd. | ||||||||
1.34%, 1/12/27 (c) | 3,060 | 2,979 | ||||||
National Securities Clearing Corp | ||||||||
0.75%, 12/7/25 (c) | 4,300 | 4,189 | ||||||
NongHyup Bank | ||||||||
1.25%, 7/20/25 (c) | 690 | 684 | ||||||
Nordea Bank Abp | ||||||||
1.50%, 9/30/26 (c) | 2,975 | 2,925 | ||||||
People's United Financial, Inc. | ||||||||
3.65%, 12/6/22 | 1,660 | 1,692 | ||||||
Protective Life Global Funding | ||||||||
3.10%, 4/15/24 (c) | 1,225 | 1,275 | ||||||
Royal Bank of Canada | ||||||||
1.20%, 4/27/26 | 4,320 | 4,247 | ||||||
Santander UK Group Holdings PLC | ||||||||
4.80%, 11/15/24 | 5,510 | 5,851 | ||||||
Societe Generale SA | ||||||||
2.63%, 1/22/25 (c) | 1,175 | 1,206 | ||||||
Standard Chartered PLC | ||||||||
0.99%, 1/12/25 (c) | 3,295 | 3,261 | ||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||
0.51%, 1/12/24 | 730 | 722 | ||||||
2.35%, 1/15/25 | 9,800 | 10,049 | ||||||
Suncorp-Metway Ltd. | ||||||||
3.30%, 4/15/24 (c) | 1,980 | 2,073 | ||||||
Wells Fargo & Co., | ||||||||
1.65%, 6/2/24 | 650 | 656 | ||||||
3.55%, 9/29/25 | 2,600 | 2,773 | ||||||
147,835 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Industrials (30.9%) | ||||||||
7-Eleven, Inc. | ||||||||
0.80%, 2/10/24 (c) | 3,160 | 3,125 | ||||||
AbbVie, Inc. | ||||||||
3.80%, 3/15/25 | 6,515 | 6,940 | ||||||
Alibaba Group Holding Ltd. | ||||||||
2.80%, 6/6/23 | 1,275 | 1,307 | ||||||
Altria Group, Inc. | ||||||||
2.35%, 5/6/25 | 1,500 | 1,536 | ||||||
Amgen, Inc. | ||||||||
1.90%, 2/21/25 | 1,350 | 1,376 | ||||||
Amphenol Corp. | ||||||||
2.05%, 3/1/25 | 1,250 | 1,275 | ||||||
AT&T, Inc., | ||||||||
1.70%, 3/25/26 | 2,840 | 2,828 | ||||||
3.80%, 3/1/24 | 2,450 | 2,576 | ||||||
Avery Dennison Corp. | ||||||||
0.85%, 8/15/24 | 1,610 | 1,588 | ||||||
Baxalta, Inc. | ||||||||
4.00%, 6/23/25 | 1,075 | 1,160 | ||||||
Baxter International, Inc. | ||||||||
1.92%, 2/1/27 (c) | 4,230 | 4,248 | ||||||
Bayer US Finance LLC | ||||||||
3.38%, 10/8/24 (c) | 1,740 | 1,820 | ||||||
BMW Finance N.V. | ||||||||
2.40%, 8/14/24 (c) | 1,895 | 1,950 | ||||||
Boeing Co. (The) | ||||||||
4.88%, 5/1/25 | 2,460 | 2,694 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.19%, 4/6/25 | 2,565 | 2,707 | ||||||
CC Holdings GS V LLC/Crown Castle GS III Corp. | ||||||||
3.85%, 4/15/23 | 1,225 | 1,268 | ||||||
CDW LLC/CDW Finance Corp. | ||||||||
2.67%, 12/1/26 | 400 | 411 | ||||||
Charter Communications Operating LLC/Charter | ||||||||
Communications Operating Capital | ||||||||
4.91%, 7/23/25 | 850 | 937 | ||||||
Cigna Corp. | ||||||||
4.50%, 2/25/26 | 3,025 | 3,344 | ||||||
Continental Resources, Inc. | ||||||||
2.27%, 11/15/26 (c) | 1,000 | 994 | ||||||
Daimler Finance North America LLC, | ||||||||
1.13%, 12/14/23 (c) | 575 | 575 | ||||||
2.00%, 12/14/26 (c) | 2,025 | 2,035 | ||||||
3.30%, 5/19/25 (c) | 2,510 | 2,649 | ||||||
Dell International LLC/EMC Corp. | ||||||||
5.45%, 6/15/23 | 523 | 552 | ||||||
DuPont de Nemours, Inc. | ||||||||
4.49%, 11/15/25 | 875 | 968 | ||||||
Eastern Energy Gas Holdings LLC | ||||||||
3.55%, 11/1/23 | 2,050 | 2,132 | ||||||
Enbridge, Inc. | ||||||||
2.50%, 1/15/25 | 750 | 771 | ||||||
Energy Transfer LP | ||||||||
2.90%, 5/15/25 | 4,130 | 4,270 | ||||||
4.75%, 1/15/26 | 325 | 356 | ||||||
Enterprise Products Operating LLC | ||||||||
3.90%, 2/15/24 | 1,200 | 1,261 | ||||||
Fox Corp. | ||||||||
4.03%, 1/25/24 | 1,200 | 1,268 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
General Motors Financial Co., Inc., | ||||||||
1.50%, 6/10/26 | 2,890 | 2,846 | ||||||
3.95%, 4/13/24 | 1,250 | 1,316 | ||||||
Georgia-Pacific LLC | ||||||||
1.75%, 9/30/25 (c) | 4,080 | 4,099 | ||||||
Glencore Funding LLC, | ||||||||
3.00%, 10/27/22 (c) | 1,275 | 1,295 | ||||||
4.13%, 3/12/24 (c) | 1,225 | 1,289 | ||||||
HCA, Inc. | ||||||||
5.00%, 3/15/24 | 1,600 | 1,721 | ||||||
Hyundai Capital America, | ||||||||
1.25%, 9/18/23 (c) | 1,380 | 1,379 | ||||||
1.30%, 1/8/26 (c) | 2,780 | 2,703 | ||||||
2.38%, 2/10/23 (c) | 590 | 598 | ||||||
Imperial Brands Finance PLC | ||||||||
3.13%, 7/26/24 (c) | 2,015 | 2,083 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
1.23%, 10/1/25 (c) | 2,250 | 2,202 | ||||||
JDE Peet's | ||||||||
0.80%, 9/24/24 (c) | 3,025 | 2,966 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
0.75%, 3/15/24 | 2,443 | 2,427 | ||||||
Kinder Morgan, Inc. | ||||||||
1.75%, 11/15/26 | 2,640 | 2,631 | ||||||
Mitsubishi Corp. | ||||||||
1.13%, 7/15/26 (c) | 2,610 | 2,548 | ||||||
Mondelez International Holdings Netherlands BV, | ||||||||
1.25%, 9/24/26 (c) | 2,910 | 2,837 | ||||||
2.25%, 9/19/24 (c) | 950 | 972 | ||||||
NBN Co. Ltd. | ||||||||
1.45%, 5/5/26 (c) | 2,770 | 2,731 | ||||||
Nissan Motor Co. Ltd. | ||||||||
3.04%, 9/15/23 (c) | 2,640 | 2,710 | ||||||
NTT Finance Corp. | ||||||||
1.16%, 4/3/26 (c) | 6,790 | 6,668 | ||||||
Nucor Corp. | ||||||||
2.00%, 6/1/25 | 975 | 995 | ||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. | ||||||||
2.70%, 5/1/25 (c) | 1,540 | 1,593 | ||||||
PayPal Holdings, Inc. | ||||||||
1.65%, 6/1/25 | 1,150 | 1,165 | ||||||
PerkinElmer, Inc. | ||||||||
0.85%, 9/15/24 | 4,440 | 4,379 | ||||||
Pioneer Natural Resources Co. | ||||||||
1.13%, 1/15/26 | 4,490 | 4,364 | ||||||
Royalty Pharma PLC | ||||||||
1.20%, 9/2/25 | 1,475 | 1,445 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.63%, 4/15/23 | 1,320 | 1,381 | ||||||
Sealed Air Corp. | ||||||||
1.57%, 10/15/26 (c) | 1,725 | 1,674 | ||||||
Siemens Financieringsmaatschappij N.V. | ||||||||
3.25%, 5/27/25 (c) | 4,740 | 5,013 | ||||||
Silgan Holdings, Inc. | ||||||||
1.40%, 4/1/26 (c) | 1,875 | 1,831 | ||||||
Sky Ltd. | ||||||||
3.75%, 9/16/24 (c) | 2,330 | 2,482 | ||||||
Skyworks Solutions, Inc. | ||||||||
0.90%, 6/1/23 | 1,750 | 1,742 | ||||||
SYNNEX Corp. | ||||||||
1.25%, 8/9/24 (c) | 5,815 | 5,753 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Toyota Motor Corp. | ||||||||
1.34%, 3/25/26 | 2,300 | 2,292 | ||||||
TSMC Global Ltd. | ||||||||
0.75%, 9/28/25 (c) | 1,575 | 1,523 | ||||||
Verizon Communications, Inc. | ||||||||
1.45%, 3/20/26 | 7,965 | 7,932 | ||||||
Waste Management, Inc. | ||||||||
0.75%, 11/15/25 | 1,150 | 1,120 | ||||||
Williams Cos., Inc. (The) | ||||||||
4.30%, 3/4/24 | 1,330 | 1,404 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
1.45%, 11/22/24 | 2,400 | 2,395 | ||||||
159,425 | ||||||||
Utilities (2.6%) | ||||||||
Ameren Corp. | ||||||||
2.50%, 9/15/24 | 2,510 | 2,579 | ||||||
American Electric Power Co., Inc., | ||||||||
Series N | ||||||||
1.00%, 11/1/25 | 1,500 | 1,468 | ||||||
CenterPoint Energy, Inc. | ||||||||
2.50%, 9/1/24 | 2,500 | 2,571 | ||||||
Dominion Energy, Inc., | ||||||||
Series A | ||||||||
1.45%, 4/15/26 | 2,355 | 2,330 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
1.88%, 1/15/27 | 2,825 | 2,843 | ||||||
NiSource, Inc. | ||||||||
0.95%, 8/15/25 | 1,550 | 1,510 | ||||||
13,301 | ||||||||
320,561 | ||||||||
Mortgages - Other (13.4%) | ||||||||
Ajax Mortgage Loan Trust | ||||||||
1.07%, 9/25/65 (b)(c) | 985 | 969 | ||||||
Angel Oak SB Commercial Mortgage Trust | ||||||||
2.07%, 5/25/50 (b)(c) | 934 | 929 | ||||||
BRAVO Residential Funding Trust | ||||||||
2.00%, 5/25/59 (b)(c) | 847 | 849 | ||||||
Brean Asset Backed Securities Trust, | ||||||||
1.40%, 10/25/63 (b)(c) | 2,116 | 2,020 | ||||||
1.75%, 10/25/61 (b)(c) | 2,088 | 2,023 | ||||||
Bunker Hill Loan Depositary Trust | ||||||||
1.72%, 2/25/55 (b)(c) | 406 | 408 | ||||||
Cascade Funding Mortgage Trust, | ||||||||
0.90%, 6/25/36 (b)(c) | 1,798 | 1,798 | ||||||
1.37%, 2/25/31 (b)(c) | 1,600 | 1,582 | ||||||
1.94%, 9/25/50 (b)(c) | 1,724 | 1,690 | ||||||
2.80%, 6/25/69 (b)(c) | 456 | 458 | ||||||
4.00%, 10/25/68 (b)(c) | 363 | 373 | ||||||
CHL Mortgage Pass-Through Trust | ||||||||
5.50%, 5/25/34 | 57 | 59 | ||||||
CIM Trust, | ||||||||
2.57%, 7/25/59 (c) | 1,413 | 1,410 | ||||||
3.00%, 4/25/57 (b)(c) | 134 | 135 | ||||||
CSMC Trust, | ||||||||
0.94%, 5/25/66 (b)(c) | 1,166 | 1,149 | ||||||
1.18%, 2/25/66 (b)(c) | 1,225 | 1,214 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Federal Home Loan Mortgage Corporation | ||||||||
1 Month USD LIBOR + 1.20%, 1.30%, 10/25/29 (b) | 16 | 16 | ||||||
FMC GMSR Issuer Trust, | ||||||||
3.85%, 10/25/26 (b)(c) | 1,700 | 1,690 | ||||||
4.45%, 1/25/26 (b)(c) | 1,500 | 1,506 | ||||||
Class A | ||||||||
3.62%, 7/25/26 (b)(c) | 1,550 | 1,541 | ||||||
Gosforth Funding PLC | ||||||||
3 Month USD LIBOR + 0.45%, 0.63%, 8/25/60 (b)(c) | 61 | 61 | ||||||
Headlands Residential 2021-RPL1 LLC | ||||||||
2.49%, 9/25/26 (b)(c) | 1,940 | 1,940 | ||||||
Homeward Opportunities Fund Trust | ||||||||
3.23%, 8/25/25 (c) | 1,195 | 1,212 | ||||||
Imperial Fund Mortgage Trust, | ||||||||
1.38%, 10/25/55 (b)(c) | 724 | 723 | ||||||
1.60%, 11/25/56 (b)(c) | 1,015 | 1,007 | ||||||
Lanark Master Issuer PLC | ||||||||
2.28%, 12/22/69 (b)(c) | 360 | 364 | ||||||
Legacy Mortgage Asset Trust | ||||||||
3.25%, 2/25/60 (c) | 1,214 | 1,222 | ||||||
LHOME Mortgage Trust, | ||||||||
2.09%, 9/25/26 (b)(c) | 700 | 698 | ||||||
3.23%, 10/25/24 (c) | 235 | 236 | ||||||
Mello Warehouse Securitization Trust, | ||||||||
1 Month USD LIBOR + 0.70%, 0.79%, 2/25/55 (b)(c) | 960 | 955 | ||||||
1 Month USD LIBOR + 0.80%, 0.90%, 11/25/53 (b)(c) | 840 | 838 | ||||||
1 Month USD LIBOR + 0.90%, 1.00%, 10/25/53 (b)(c) | 1,440 | 1,441 | ||||||
Natixis Commercial Mortgage Securities Trust | ||||||||
1 Month USD LIBOR + 0.95%, 1.06%, 8/15/38 (b)(c) | 2,080 | 2,082 | ||||||
New Residential Mortgage Loan Trust, | ||||||||
3.75%, 5/28/52 – 8/25/55 (b)(c) | 151 | 157 | ||||||
3.99%, 9/25/57 (b)(c) | 294 | 303 | ||||||
NewRez Warehouse Securitization Trust | ||||||||
1 Month USD LIBOR + 0.75%, 0.85%, 5/25/55 (b)(c) | 1,275 | 1,273 | ||||||
NYMT Loan Trust | ||||||||
2.94%, 10/25/60 (b)(c) | 1,924 | 1,922 | ||||||
Oceanview Mortgage Loan Trust | ||||||||
1.73%, 5/28/50 (b)(c) | 416 | 417 | ||||||
Pepper Residential Securities Trust, | ||||||||
1 Month USD LIBOR + 0.88%, 0.99%, 1/16/60 (b)(c) | 99 | 99 | ||||||
1 Month USD LIBOR + 0.93%, 1.03%, 3/12/61 (b)(c) | 206 | 206 | ||||||
1 Month USD LIBOR + 0.95%, 1.05%, 8/18/60 (b)(c) | 123 | 123 | ||||||
1 Month USD LIBOR + 1.00%, 1.10%, 6/20/60 (b)(c) | 120 | 120 | ||||||
Preston Ridge Partners LLC, | ||||||||
1.74%, 9/25/26 (b)(c) | 1,334 | 1,320 | ||||||
1.87%, 8/25/26 (c) | 1,771 | 1,754 | ||||||
2.12%, 1/25/26 – 3/25/26 (b)(c) | 1,551 | 1,542 | ||||||
2.36%, 10/25/26 (b)(c) | 1,671 | 1,658 | ||||||
Pretium Mortgage Credit Partners I LLC | ||||||||
2.24%, 9/27/60 (c) | 742 | 736 | ||||||
Provident Funding Mortgage Warehouse Securitization Trust | ||||||||
1 Month USD LIBOR + 0.70%, 0.80%, 2/25/55 (b)(c) | 2,175 | 2,166 | ||||||
Residential Mortgage Loan Trust | ||||||||
1.65%, 5/25/60 (b)(c) | 824 | 827 | ||||||
RESIMAC Bastille Trust, | ||||||||
1 Month USD LIBOR + 0.85%, 0.95%, 12/5/59 (b)(c) | 102 | 102 | ||||||
1 Month USD LIBOR + 0.93%, 1.03%, 9/5/57 (b)(c) | 163 | 163 | ||||||
RESIMAC Premier Trust | ||||||||
1 Month USD LIBOR + 0.95%, 1.05%, 2/10/51 (b)(c) | 247 | 248 | ||||||
RMF Buyout Issuance Trust | ||||||||
1.72%, 10/25/50 (b)(c) | 1,875 | 1,881 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
RMF Proprietary Issuance Trust | ||||||||
2.13%, 9/25/61 (b)(c) | 1,883 | 1,856 | ||||||
Seasoned Credit Risk Transfer Trust | ||||||||
3.00%, 2/25/59 | 643 | 664 | ||||||
Sequoia Mortgage Trust | ||||||||
1 Month USD LIBOR + 0.62%, 0.72%, 8/20/34 (b) | 136 | 137 | ||||||
Silver Hill Trust | ||||||||
3.10%, 11/25/49 (b)(c) | 702 | 706 | ||||||
Stanwich Mortgage Loan Co. LLC | ||||||||
2.74%, 10/16/26 (c) | 2,214 | 2,214 | ||||||
Station Place Securitization Trust | ||||||||
1 Month USD LIBOR + 0.65%, 0.75%, 1/26/54 (b)(c) | 537 | 537 | ||||||
Towd Point HE Trust | ||||||||
0.92%, 2/25/63 (b)(c) | 1,651 | 1,645 | ||||||
TVC Mortgage Trust | ||||||||
3.47%, 9/25/24 (c) | 300 | 301 | ||||||
VCAT Asset Securitization, LLC | ||||||||
VCAT 2021-NPL6 A1 144A | ||||||||
1.92%, 9/25/51 (c) | 1,950 | 1,920 | ||||||
Verus Securitization Trust | ||||||||
1.03%, 2/25/66 (b)(c) | 1,025 | 1,015 | ||||||
Vista Point Securitization Trust | ||||||||
1.76%, 3/25/65 (b)(c) | 275 | 276 | ||||||
VMC Finance LLC | ||||||||
1 Month USD LIBOR + 1.65%, 1.75%, 1/18/37 (b)(c) | 1,850 | 1,852 | ||||||
VOLT XCIII LLC | ||||||||
1.89%, 2/27/51 (c) | 973 | 966 | ||||||
VOLT XCIV LLC | ||||||||
2.24%, 2/27/51 (c) | 1,144 | 1,139 | ||||||
VOLT XCIX LLC | ||||||||
2.12%, 4/25/51 (c) | 1,463 | 1,458 | ||||||
VOLT XCVI LLC | ||||||||
2.12%, 3/27/51 (c) | 1,095 | 1,091 | ||||||
69,392 | ||||||||
Municipal Bond (0.2%) | ||||||||
Golden State Tobacco Securitization Corp., CA | ||||||||
1.85%, 6/1/31 | 810 | 814 | ||||||
Sovereign (0.4%) | ||||||||
Korea Development Bank (The) | ||||||||
3.00%, 3/19/22 | 410 | 412 | ||||||
Korea National Oil Corp. | ||||||||
0.88%, 10/5/25 (c) | 1,680 | 1,638 | ||||||
2,050 | ||||||||
Supranational (0.6%) | ||||||||
Corp. Andina de Fomento, | ||||||||
1.63%, 9/23/25 | 1,750 | 1,749 | ||||||
2.38%, 5/12/23 | 1,170 | 1,192 | ||||||
2,941 | ||||||||
Total Fixed Income Securities (Cost $496,412) | 492,933 | |||||||
Shares | ||||||||
Investment Company (4.0%) | ||||||||
iShares Short-Term Corporate Bond ETF (Cost $21,121) | 385,000 | 20,744 |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Short-Term Investments (0.6%) | ||||||||
Investment Company (0.3%) | ||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (d) (Cost $1,542) | 1,541,958 | 1,542 | ||||||
Face Amount (000) | ||||||||
U.S. Treasury Security (0.3%) | ||||||||
U.S. Treasury Bill | ||||||||
0.06%, 7/14/22 (e) (Cost $1,349) | $ | 1,350 | 1,349 | |||||
Total Short-Term Investments (Cost $2,891) | 2,891 | |||||||
Total Investments (100.0%) (Cost $520,424) (f)(g)(h) | 516,568 | |||||||
Liabilities in Excess of Other Assets (0.0%) (a) | (1 | ) | ||||||
Net Assets (100.0%) | $ | 516,567 |
@ | Face Amount/Value is less than $500. |
(a) | Amount is less than 0.05%. |
(b) | Floating or variable rate securities: The rates disclosed are as of December 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. |
(c) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
(d) | 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 December 31, 2021, advisory fees paid were reduced by approximately $1,000 relating to the Fund's investment in the Liquidity Funds. |
(e) | Rate shown is the yield to maturity at December 31, 2021. |
(f) | Securities are available for collateral in connection with futures contracts. |
(g) | 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 December 31, 2021, the Fund did not engage in any cross-trade transactions. |
(h) | At December 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $1,118,000 and the aggregate gross unrealized depreciation is approximately $5,174,000, resulting in net unrealized depreciation of approximately $4,056,000. |
CLO | Collateralized Loan Obligation. |
CMT | Constant Maturity Treasury Note Rate. |
LIBOR | London Interbank Offered Rate. |
MTN | Medium Term Note. |
REMIC | Real Estate Mortgage Investment Conduit. |
SOFR | Secured Overnight Financing Rate. |
USD | United States Dollar. |
Morgan Stanley Institutional Fund Trust
Short Duration Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Futures Contracts:
The Fund had the following futures contracts open at December 31, 2021:
Number of Contracts | Expiration Date | Notional Amount (000) | Value (000) | Unrealized Appreciation (Depreciation) (000) | ||||||||||||||
Long: | ||||||||||||||||||
U.S. Treasury 2 yr. Note (United States) | 655 | Mar-22 | $ | 131,000 | $ | 142,903 | $ | (143 | ) | |||||||||
Short: | ||||||||||||||||||
U.S. Treasury 5 yr. Note (United States) | 1,040 | Mar-22 | (104,000 | ) | (125,816 | ) | 73 | |||||||||||
U.S. Treasury10 yr. Note (United States) | 113 | Mar-22 | (11,300 | ) | (14,743 | ) | (130 | ) | ||||||||||
$ | (200 | ) |
Portfolio Composition
Classification | Percentage of Total Investments | |||
Industrials | 30.9 | % | ||
Finance | 28.6 | |||
Asset-Backed Securities | 15.0 | |||
Mortgages - Other | 13.4 | |||
Others* | 12.1 | |||
Total Investments | 100.0 | %** |
* | Industries and/or investment types representing less than 5% of total investments. |
** | Does not include open long/short futures contracts with a value of approximately $283,462,000 and net unrealized depreciation of approximately $200,000. |
Morgan Stanley Institutional Fund Trust
Strategic Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)
Face Amount (000) | Value (000) | |||||||
Fixed Income Securities (93.8%) | ||||||||
Asset-Backed Securities (22.9%) | ||||||||
Aegis Asset Backed Securities Trust Mortgage Pass-Through Certificates, | ||||||||
1 Month USD LIBOR + 1.73%, 1.83%, 10/25/34 (a) | $ | 39 | $ | 39 | ||||
American Homes 4 Rent, | ||||||||
5.64%, 4/17/52 (b) | 100 | 107 | ||||||
Ameriquest Mortgage Securities, Inc., | ||||||||
1 Month USD LIBOR + 2.10%, 2.20%, 5/25/34 (a) | 222 | 230 | ||||||
AMSR Trust, | ||||||||
3.87%, 1/19/39 (b) | 200 | 202 | ||||||
Bayview Financial Revolving Asset Trust, | ||||||||
1 Month USD LIBOR + 0.93%, 1.03%, 2/28/40 (a)(b) | 95 | 92 | ||||||
BCMSC Trust, | ||||||||
7.51%, 1/15/29 (a) | 111 | 108 | ||||||
CFMT 2020-HB4 LLC, | ||||||||
2.72%, 12/26/30 (a)(b) | 200 | 200 | ||||||
Chase Funding Loan Acquisition Trust, | ||||||||
5.50%, 8/25/34 | 21 | 22 | ||||||
Credit-Based Asset Servicing & Securitization LLC, | ||||||||
1 Month USD LIBOR + 1.13%, 1.23%, 2/25/33 (a) | 59 | 59 | ||||||
1 Month USD LIBOR + 1.46%, 1.55%, 5/25/32 (a) | 9 | 10 | ||||||
DT Auto Owner Trust, | ||||||||
5.33%, 11/17/25 (b) | 100 | 103 | ||||||
ECAF I Ltd., | ||||||||
4.95%, 6/15/40 (b) | 227 | 209 | ||||||
EquiFirst Mortgage Loan Trust, | ||||||||
1 Month USD LIBOR + 2.18%, 2.28%, 10/25/34 (a) | 44 | 45 | ||||||
European Residential Loan Securitisation, | ||||||||
1 Month EURIBOR + 2.00%, 1.36%, 7/24/54 (a) | EUR | 141 | 161 | |||||
Falcon Aerospace Ltd., | ||||||||
3.60%, 9/15/39 (b) | $ | 167 | 163 | |||||
Finance of America HECM Buyout, | ||||||||
3.09%, 7/25/30 (a)(b) | 200 | 201 | ||||||
Financial Asset Securities Corp., | ||||||||
1 Month USD LIBOR + 0.38%, 0.48%, 2/27/35 (a)(b) | 15 | 15 | ||||||
FREED ABS Trust, | ||||||||
3.19%, 11/18/26 (b) | 34 | 34 | ||||||
Goodgreen Trust, | ||||||||
2.63%, 4/15/55 (b) | 159 | 159 | ||||||
GSAA Home Equity Trust, | ||||||||
6.50%, 11/25/36 | 19 | 10 | ||||||
Home Partners of America Trust, | ||||||||
3.60%, 9/17/39 (b) | 88 | 89 | ||||||
Loanpal Solar Loan Ltd., | ||||||||
2.29%, 1/20/48 (b) | 159 | 160 | ||||||
2.47%, 12/20/47 (b) | 159 | 159 | ||||||
2.75%, 7/20/47 (b) | 149 | 152 | ||||||
MACH 1 Cayman Ltd., | ||||||||
3.47%, 10/15/39 (b) | 195 | 191 | ||||||
Mosaic Solar Loan Trust, | ||||||||
2.10%, 4/20/46 (b) | 127 | 128 | ||||||
New Residential Mortgage LLC, | ||||||||
5.44%, 6/25/25 (b) | 342 | 346 | ||||||
Newday Funding PLC, | ||||||||
1 Month GBP SONIA + 2.40%, 2.45%, 9/15/27 (a)(b) | GBP | 100 | 136 | |||||
Newtek Small Business Loan Trust, | ||||||||
Daily U.S. Prime Rate - 0.55%, 2.70%, 2/25/44 (a)(b) | $ | 103 | 103 | |||||
NRZ Excess Spread-Collateralized Notes, |
Morgan Stanley Institutional Fund Trust
Strategic Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Class A | ||||||||
3.10%, 7/25/26 (b) | 267 | 266 | ||||||
3.23%, 5/25/26 (b) | 171 | 170 | ||||||
Ownit Mortgage Loan Trust, | ||||||||
1 Month USD LIBOR + 0.54%, 0.64%, 3/25/37 (a) | 36 | 35 | ||||||
PMT FMSR Issuer Trust, | ||||||||
1 Month USD LIBOR + 3.00%, 3.09%, 3/25/26 (a)(b) | 250 | 251 | ||||||
PNMAC GMSR Issuer Trust, | ||||||||
1 Month USD LIBOR + 2.65%, 2.75%, 8/25/25 (a)(b) | 300 | 301 | ||||||
1 Month USD LIBOR + 2.85%, 2.95%, 2/25/23 (a)(b) | 250 | 251 | ||||||
ReadyCap Lending Small Business Loan Trust, | ||||||||
Daily U.S. Prime Rate - 0.50%, 2.65%, 12/27/44 (a)(b) | 61 | 59 | ||||||
SFS Asset Securitization LLC, | ||||||||
4.24%, 6/10/25 (b) | 153 | 153 | ||||||
SLM Student Loan Trust, | ||||||||
3 Month EURIBOR + 0.55%, 0.00%, 12/15/33 – 1/25/40 (a) | EUR | 576 | 629 | |||||
Small Business Origination Loan Trust, | ||||||||
3.89%, 12/15/27 | GBP | 72 | 98 | |||||
Sprite Ltd., | ||||||||
4.25%, 12/15/37 (b) | $ | 146 | 145 | |||||
START Ireland, | ||||||||
4.09%, 3/15/44 (b) | 147 | 147 | ||||||
Tricon American Homes Trust, | ||||||||
5.10%, 1/17/36 (b) | 200 | 204 | ||||||
Truman Capital Mortgage Loan Trust, | ||||||||
1 Month USD LIBOR + 2.55%, 2.65%, 1/25/34 (a)(b) | 23 | 23 | ||||||
1 Month USD LIBOR + 2.78%, 2.88%, 11/25/31 (a)(b) | 28 | 28 | ||||||
6,393 | ||||||||
Collateralized Mortgage Obligation - Agency Collateral Series (0.0%) (c) | ||||||||
Government National Mortgage Association, | ||||||||
IO | ||||||||
0.76%, 8/20/58 (a) | 227 | 4 | ||||||
Commercial Mortgage-Backed Securities (6.8%) | ||||||||
BANK 2020-BNK30, | ||||||||
2.92%, 12/15/53 (a) | 200 | 171 | ||||||
Bayview Commercial Asset Trust, | ||||||||
1 Month USD LIBOR + 0.66%, 0.76%, 11/25/35 (a)(b) | 207 | 199 | ||||||
GS Mortgage Securities Corp. Trust, | ||||||||
1 Month USD LIBOR + 2.20%, 2.31%, 10/15/36 (a)(b) | 100 | 95 | ||||||
GS Mortgage Securities Trust, | ||||||||
4.32%, 2/10/48 (a)(b) | 100 | 99 | ||||||
4.69%, 6/10/47 (a) | 50 | 51 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||
Class D | ||||||||
1 Month USD LIBOR + 1.70%, 1.81%, 4/15/38 (a)(b) | 100 | 100 | ||||||
MFT Mortgage Trust, | ||||||||
3.28%, 8/10/40 (a)(b) | 180 | 181 | ||||||
MFT Trust, | ||||||||
3.48%, 2/10/42 (a)(b) | 250 | 235 | ||||||
MKT 2020-525M Mortgage Trust, | ||||||||
2.94%, 2/12/40 (a)(b) | 250 | 230 | ||||||
Multifamily Connecticut Avenue Securities Trust, | ||||||||
1 Month USD LIBOR + 1.70%, 1.80%, 10/15/49 (a)(b) | 46 | 46 | ||||||
Natixis Commercial Mortgage Securities Trust, | ||||||||
4.30%, 10/15/36 (b) | 150 | 147 | ||||||
SFO Commercial Mortgage Trust, | ||||||||
Class B | ||||||||
1 Month USD LIBOR + 1.50%, 1.61%, 5/15/38 (a)(b) | 250 | 250 |
Morgan Stanley Institutional Fund Trust
Strategic Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Wells Fargo Commercial Mortgage Trust, | ||||||||
4.15%, 5/15/48 (a) | 75 | 76 | ||||||
1,880 | ||||||||
Corporate Bonds (42.3%) | ||||||||
Finance (23.2%) | ||||||||
ABN Amro Bank N.V., | ||||||||
4.75%, 7/28/25 (b) | 200 | 218 | ||||||
Avolon Holdings Funding Ltd., | ||||||||
2.88%, 2/15/25 (b) | 50 | 51 | ||||||
Bank of America Corp., | ||||||||
1.73%, 7/22/27 | 375 | 372 | ||||||
2.46%, 10/22/25 | 250 | 257 | ||||||
Barclays PLC, | ||||||||
3.93%, 5/7/25 | 200 | 210 | ||||||
Belrose Funding Trust, | ||||||||
2.33%, 8/15/30 (b) | 125 | 123 | ||||||
BNP Paribas SA, | ||||||||
1.13%, 6/11/26 | EUR | 100 | 118 | |||||
Brown & Brown, Inc., | ||||||||
2.38%, 3/15/31 | $ | 75 | 73 | |||||
4.20%, 9/15/24 | 50 | 53 | ||||||
Citigroup, Inc., | ||||||||
0.78%, 10/30/24 | 125 | 124 | ||||||
1.68%, 5/15/24 | 250 | 253 | ||||||
5.50%, 9/13/25 | 225 | 255 | ||||||
CNO Financial Group, Inc., | ||||||||
5.25%, 5/30/29 | 125 | 144 | ||||||
Credit Agricole SA (London), | ||||||||
1.38%, 3/13/25 | EUR | 100 | 118 | |||||
DBS Group Holdings Ltd., | ||||||||
1.50%, 4/11/28 | 100 | 116 | ||||||
Discover Financial Services, | ||||||||
3.95%, 11/6/24 | $ | 25 | 27 | |||||
Duke Realty LP, | ||||||||
1.75%, 2/1/31 | 125 | 118 | ||||||
Equitable Holdings, Inc., | ||||||||
3.90%, 4/20/23 | 162 | 168 | ||||||
ERP Operating LP, | ||||||||
4.15%, 12/1/28 | 100 | 113 | ||||||
GA Global Funding Trust, | ||||||||
1.00%, 4/8/24 (b) | 275 | 273 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
2.00%, 11/1/28 | EUR | 100 | 124 | |||||
4.25%, 10/21/25 | $ | 125 | 136 | |||||
Iron Mountain, Inc., | ||||||||
4.88%, 9/15/29 (b) | 75 | 78 | ||||||
Itau Unibanco Holding SA, | ||||||||
2.90%, 1/24/23 (b) | 250 | 253 | ||||||
JPMorgan Chase & Co., | ||||||||
0.77%, 8/9/25 | 275 | 271 | ||||||
1.95%, 2/4/32 | 25 | 24 | ||||||
2.55%, 11/8/32 | 75 | 76 | ||||||
Kimco Realty Corp., | ||||||||
2.70%, 10/1/30 | 125 | 127 | ||||||
LeasePlan Corp. N.V., | ||||||||
2.88%, 10/24/24 (b) | 200 | 206 | ||||||
Lloyds Banking Group PLC, | ||||||||
4.05%, 8/16/23 | 200 | 210 |
Morgan Stanley Institutional Fund Trust
Strategic Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Mastercard, Inc., | ||||||||
1.90%, 3/15/31 | 75 | 76 | ||||||
Metropolitan Life Global Funding I, | ||||||||
0.95%, 7/2/25 (b) | 150 | 148 | ||||||
National Bank of Canada, | ||||||||
0.55%, 11/15/24 | 250 | 247 | ||||||
PNC Financial Services Group, Inc. (The), | ||||||||
2.20%, 11/1/24 | 225 | 231 | ||||||
Prologis LP, | ||||||||
1.25%, 10/15/30 | 150 | 140 | ||||||
Shinhan Financial Group Co. Ltd., | ||||||||
1.35%, 1/10/26 (b) | 200 | 197 | ||||||
Starwood Property Trust Inc., | ||||||||
3.75%, 12/31/24 (b) | 100 | 101 | ||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||
2.45%, 9/27/24 | 200 | 206 | ||||||
SVB Financial Group, | ||||||||
1.80%, 2/2/31 | 150 | 142 | ||||||
USAA Capital Corp., | ||||||||
1.50%, 5/1/23 (b) | 150 | 152 | ||||||
Visa, Inc., | ||||||||
0.75%, 8/15/27 | 75 | 72 | ||||||
Wells Fargo & Co., | ||||||||
2.88%, 10/30/30 | 75 | 78 | ||||||
6,479 | ||||||||
Industrials (17.9%) | ||||||||
AbbVie, Inc., | ||||||||
2.95%, 11/21/26 | 175 | 185 | ||||||
3.60%, 5/14/25 | 125 | 133 | ||||||
Alphabet, Inc., | ||||||||
1.10%, 8/15/30 | 125 | 118 | ||||||
American Axle & Manufacturing, Inc., | ||||||||
6.50%, 4/1/27 | 75 | 78 | ||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | ||||||||
5.75%, 7/15/27 (b) | 49 | 51 | ||||||
Baidu, Inc., | ||||||||
1.72%, 4/9/26 | 200 | 198 | ||||||
Berry Global, Inc., | ||||||||
4.50%, 2/15/26 (b) | 15 | 15 | ||||||
Boyd Gaming Corp., | ||||||||
4.75%, 12/1/27 | 40 | 41 | ||||||
CDW LLC/CDW Finance Corp. | ||||||||
2.67%, 12/1/26 | 50 | 51 | ||||||
Crown Castle International Corp., | ||||||||
3.30%, 7/1/30 | 25 | 26 | ||||||
CSX Corp., | ||||||||
2.40%, 2/15/30 | 75 | 76 | ||||||
DH Europe Finance II Sarl, | ||||||||
2.20%, 11/15/24 | 375 | 383 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., | ||||||||
6.63%, 8/15/27 (b) | 75 | 21 | ||||||
Enbridge, Inc., | ||||||||
2.50%, 8/1/33 | 125 | 123 | ||||||
Ford Motor Credit Co., LLC, | ||||||||
3.10%, 5/4/23 | 200 | 204 | ||||||
Garda World Security Corp., | ||||||||
9.50%, 11/1/27 (b) | 50 | 54 | ||||||
Global Partners LP/GLP Finance Corp., | ||||||||
7.00%, 8/1/27 | 50 | 52 |
Morgan Stanley Institutional Fund Trust
Strategic Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Grifols SA, | ||||||||
2.25%, 11/15/27 (b) | EUR | 100 | 114 | |||||
Hanesbrands, Inc., | ||||||||
4.88%, 5/15/26 (b) | $ | 75 | 80 | |||||
HCA, Inc., | ||||||||
4.13%, 6/15/29 | 125 | 138 | ||||||
Hyatt Hotels Corp., | ||||||||
1.80%, 10/1/24 | 75 | 75 | ||||||
Johnson Controls International PLC/Tyco Fire & Security Finance SCA, | ||||||||
2.00%, 9/16/31 | 50 | 48 | ||||||
Koppers, Inc., | ||||||||
6.00%, 2/15/25 (b) | 75 | 76 | ||||||
Level 3 Financing, Inc., | ||||||||
3.40%, 3/1/27 (b) | 225 | 233 | ||||||
Mauser Packaging Solutions Holding Co., | ||||||||
7.25%, 4/15/25 (b) | 25 | 25 | ||||||
Micron Technology, Inc., | ||||||||
2.70%, 4/15/32 | 150 | 150 | ||||||
Mosaic Co. (The), | ||||||||
4.25%, 11/15/23 | 125 | 132 | ||||||
NortonLifeLock, Inc., | ||||||||
5.00%, 4/15/25 (b) | 75 | 76 | ||||||
Oceaneering International, Inc., | ||||||||
6.00%, 2/1/28 | 75 | 74 | ||||||
ONEOK, Inc., | ||||||||
3.10%, 3/15/30 | 125 | 127 | ||||||
Q-Park Holding I BV, | ||||||||
1.50%, 3/1/25 (b) | EUR | 100 | 110 | |||||
Rockies Express Pipeline LLC, | ||||||||
3.60%, 5/15/25 (b) | $ | 75 | 77 | |||||
Royalty Pharma PLC, | ||||||||
1.20%, 9/2/25 | 125 | 123 | ||||||
Sabine Pass Liquefaction LLC, | ||||||||
4.50%, 5/15/30 | 100 | 113 | ||||||
Sally Holdings LLC/Sally Capital, Inc., | ||||||||
5.63%, 12/1/25 | 75 | 77 | ||||||
Select Medical Corp., | ||||||||
6.25%, 8/15/26 (b) | 75 | 80 | ||||||
Silgan Holdings, Inc., | ||||||||
2.25%, 6/1/28 | EUR | 100 | 113 | |||||
Skyworks Solutions, Inc., | ||||||||
0.90%, 6/1/23 | $ | 75 | 75 | |||||
Sotheby's, | ||||||||
7.38%, 10/15/27 (b) | 200 | 213 | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. | ||||||||
III LLC, | ||||||||
4.74%, 3/20/25 (b) | 163 | 170 | ||||||
Standard Industries, Inc., | ||||||||
2.25%, 11/21/26 (b) | EUR | 100 | 112 | |||||
Toyota Motor Corp., | ||||||||
1.34%, 3/25/26 | $ | 125 | 125 | |||||
Transurban Finance Co. Pty Ltd., | ||||||||
2.45%, 3/16/31 (b) | 100 | 99 | ||||||
Univision Communications, Inc., | ||||||||
4.50%, 5/1/29 (b) | 70 | 71 | ||||||
US Foods, Inc., | ||||||||
4.75%, 2/15/29 (b) | 30 | 31 | ||||||
Verizon Communications, Inc., | ||||||||
1.50%, 9/18/30 | 175 | 164 |
Morgan Stanley Institutional Fund Trust
Strategic Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Vontier Corp., | ||||||||
1.80%, 4/1/26 (b) | 75 | 74 | ||||||
4,984 | ||||||||
Technology (0.5%) | ||||||||
Broadcom, Inc., | ||||||||
3.46%, 9/15/26 | 125 | 133 | ||||||
Utility (0.7%) | ||||||||
Greenko Investment Co., | ||||||||
4.88%, 8/16/23 | 200 | 202 | ||||||
11,798 | ||||||||
Mortgages - Other (19.3%) | ||||||||
Alba PLC, | ||||||||
3 Month GBP LIBOR + 0.50%, 0.72%, 3/17/39 (a) | GBP | 57 | 73 | |||||
Alternative Loan Trust, | ||||||||
3.28%, 3/25/35 (a) | $ | 10 | 10 | |||||
5.75%, 3/25/34 | 23 | 23 | ||||||
PAC | ||||||||
1 Month USD LIBOR + 0.45% ,0.55%, 10/25/36 (a) | 30 | 15 | ||||||
Banc of America Alternative Loan Trust, | ||||||||
5.71%, 10/25/36 (a) | 60 | 25 | ||||||
Banc of America Mortgage Trust, | ||||||||
2.49%, 6/25/35 (a) | 71 | 70 | ||||||
3.58%, 3/25/33 (a) | 12 | 12 | ||||||
Bear Stearns ALT-A Trust, | ||||||||
2.72%, 4/25/35 (a) | 24 | 20 | ||||||
Bear Stearns ARM Trust, | ||||||||
2.40%, 8/25/33 (a) | 82 | 84 | ||||||
3.05%, 2/25/36 (a) | 24 | 23 | ||||||
Cascade Funding Mortgage Trust, | ||||||||
1.92%, 12/26/30 (a)(b) | 250 | 250 | ||||||
2.80%, 6/25/69 (a)(b) | 121 | 122 | ||||||
3.73%, 6/25/36 (a)(b) | 200 | 199 | ||||||
4.00%, 10/25/68 (a)(b) | 573 | 577 | ||||||
CFMT 2021-HB5 LLC, | ||||||||
2.91%, 2/25/31 (a)(b) | 250 | 247 | ||||||
CFMT 2021-HB7 LLC, | ||||||||
3.85%, 10/27/31 (a)(b) | 100 | 99 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.77%, 6/25/36 (a) | 19 | 11 | ||||||
E-MAC Program BV, | ||||||||
3 Month EURIBOR + 0.17%, 1.41%, 4/25/39 (a) | EUR | 42 | 45 | |||||
Eurohome Mortgages PLC, | ||||||||
3 Month EURIBOR + 0.21%, 0.00%, 8/2/50 (a) | 67 | 69 | ||||||
FMC GMSR Issuer Trust, | ||||||||
4.45%, 1/25/26 (a)(b) | $ | 100 | 100 | |||||
Class A | ||||||||
3.62%, 7/25/26 (a)(b) | 300 | 298 | ||||||
Galton Funding Mortgage Trust, | ||||||||
4.00%, 2/25/59 (a)(b) | 10 | 10 | ||||||
GC Pastor Hipotecario 5 FTA, | ||||||||
3 Month EURIBOR + 0.17%, 0.00%, 6/21/46 (a) | EUR | 27 | 29 | |||||
GSR Mortgage Loan Trust, | ||||||||
2.66%, 12/25/34 (a) | $ | 26 | 27 | |||||
HarborView Mortgage Loan Trust, | ||||||||
2.49%, 6/19/34 (a) | 48 | 50 | ||||||
2.60%, 2/25/36 (a) | 23 | 10 | ||||||
IM Pastor 3 FTH, | ||||||||
3 Month EURIBOR + 0.14%, 0.00%, 3/22/43 (a) | EUR | 48 | 51 |
Morgan Stanley Institutional Fund Trust
Strategic Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
IM Pastor 4 FTA, | ||||||||
3 Month EURIBOR + 0.14%, 0.00%, 3/22/44 (a) | 39 | 41 | ||||||
IndyMac INDX Mortgage Loan Trust, | ||||||||
2.93%, 12/25/34 (a) | $ | 13 | 14 | |||||
Lansdowne Mortgage Securities No. 1 PLC, | ||||||||
3 Month EURIBOR + 0.30%, 0.00%, 6/15/45 (a) | EUR | 52 | 57 | |||||
Lansdowne Mortgage Securities No. 2 PLC, | ||||||||
3 Month EURIBOR + 0.34%, 0.00%, 9/16/48 (a) | 106 | 111 | ||||||
Lehman Mortgage Trust, | ||||||||
6.00%, 7/25/36 | $ | 49 | 34 | |||||
National City Mortgage Capital Trust, | ||||||||
6.00%, 3/25/38 | 5 | 5 | ||||||
Natixis Commercial Mortgage Securities Trust, | ||||||||
1 Month USD LIBOR + 2.15%, 2.26%, 8/15/38 (a)(b) | 200 | 200 | ||||||
Newgate Funding PLC, | ||||||||
3 Month GBP LIBOR + 3.00%, 3.10%, 12/15/50 (a) | GBP | 97 | 132 | |||||
OBX Trust, | ||||||||
3.50%, 10/25/59 (a)(b) | $ | 31 | 32 | |||||
PMC PLS ESR Issuer LLC, | ||||||||
5.07%, 11/25/24 (b) | 64 | 64 | ||||||
PRMI Securitization Trust, | ||||||||
2.50%, 4/25/51 (a)(b) | 187 | 188 | ||||||
Reperforming Loan REMIC Trust, | ||||||||
8.50%, 6/25/35 (b) | 28 | 30 | ||||||
Resloc UK PLC, | ||||||||
3 Month EURIBOR + 0.45%, 0.00%, 12/15/43 (a) | EUR | 85 | 91 | |||||
River Green Finance 2020 DAC, | ||||||||
1.80%, 1/22/32 | 246 | 278 | ||||||
RMF Buyout Issuance Trust, | ||||||||
2.62%, 10/25/50 (a)(b) | $ | 100 | 100 | |||||
Sage AR Funding PLC | ||||||||
0.16%, 11/17/51 | GBP | 100 | 136 | |||||
1.33%, 11/17/30 (a) | 200 | 271 | ||||||
Seasoned Credit Risk Transfer Trust, | ||||||||
3.75%, 9/25/55 (a)(b) | $ | 139 | 142 | |||||
4.75%, 5/25/57 (a) | 100 | 103 | ||||||
4.75%, 7/25/58 (a)(b) | 200 | 205 | ||||||
Silver Hill Trust, | ||||||||
3.10%, 11/25/49 (a)(b) | 81 | 81 | ||||||
STARM Mortgage Loan Trust, | ||||||||
2.90%, 1/25/37 (a) | 7 | 7 | ||||||
Structured Asset Securities Corp. Reverse Mortgage Loan Trust, | ||||||||
1 Month USD LIBOR + 1.85%, 1.95%, 5/25/47 (a)(b) | 268 | 252 | ||||||
Uropa Securities PLC, | ||||||||
3 Month GBP LIBOR + 0.55%, 0.63%, 6/10/59 (a) | GBP | 68 | 90 | |||||
3 Month GBP LIBOR + 0.55%, 0.67%, 10/10/40 (a) | 78 | 100 | ||||||
3 Month GBP LIBOR + 0.75%, 0.83%, 6/10/59 (a) | 31 | 41 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | ||||||||
5.50%, 3/25/33 | $ | 8 | 9 | |||||
5,363 | ||||||||
Sovereign (2.5%) | ||||||||
Australia Government Bond, | ||||||||
2.75%, 11/21/28 | AUD | 1 | 1 | |||||
Brazil Notas do Tesouro Nacional Series F, | ||||||||
10.00%, 1/1/29 | BRL | 300 | 52 | |||||
Hellenic Republic Government Bond, | ||||||||
3.38%, 2/15/25 (b) | EUR | 115 | 144 | |||||
3.45%, 4/2/24 (b) | 40 | 49 | ||||||
Indonesia Treasury Bond, |
Morgan Stanley Institutional Fund Trust
Strategic Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
6.50%, 2/15/31 | IDR | 607,000 | 43 | |||||
8.25%, 5/15/29 | 465,000 | 37 | ||||||
Peruvian Government International Bond, (Units) | ||||||||
5.40%, 8/12/34 (b)(d) | PEN | 60 | 14 | |||||
Senegal Government International Bond, | ||||||||
6.25%, 5/23/33 | $ | 200 | 206 | |||||
Ukraine Government International Bond, | ||||||||
7.75%, 9/1/23 | 150 | 147 | ||||||
693 | ||||||||
Total Fixed Income Securities (Cost $26,078) | 26,131 |
Shares | ||||||||
Short-Term Investments (5.4%) | ||||||||
Investment Company (4.5%) | ||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class (e) (Cost $1,260) | 1,260,065 | 1,260 | ||||||
Face Amount (000) | ||||||||
U.S. Treasury Security (0.9%) | ||||||||
U.S. Treasury Bill 0.06%, 7/14/22 (f)(g) (Cost $255) | $ | 255 | 255 | |||||
Total Short-Term Investments (Cost $1,515) | 1,515 | |||||||
Total Investments (99.2%) (Cost $27,593) (h)(i) | 27,646 | |||||||
Other Assets in Excess of Liabilities (0.8%) | 230 | |||||||
Net Assets (100.0%) | $ | 27,876 |
(a) | Floating or variable rate securities: The rates disclosed are as of December 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. |
(b) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
(c) | Amount is less than 0.05%. |
(d) | Consists of one or more classes of securities traded together as a unit. |
(e) | 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 December 31, 2021, advisory fees paid were reduced by less than $500 relating to the Fund's investment in the Liquidity Funds. |
(f) | Rate shown is the yield to maturity at December 31, 2021. |
(g) | All or a portion of the security was pledged to cover margin requirements for swap agreements. |
(h) | Securities are available for collateral in connection with purchase of open foreign currency exchange contracts, futures contracts and swap agreements. |
(i) | At December 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $403,000 and the aggregate gross unrealized depreciation is approximately $367,000, resulting in net unrealized appreciation of approximately $36,000. |
EURIBOR | Euro Interbank Offered Rate. |
IO | Interest Only. |
LIBOR | London Interbank Offered Rate. |
PAC | Planned Amortization Class. |
REMIC | Real Estate Mortgage Investment Conduit. |
SONIA | Sterling Overnight Index Average. |
Morgan Stanley Institutional Fund Trust
Strategic Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Foreign Currency Forward Exchange Contracts: | ||||||||||||||
The Fund had the following foreign currency forward exchange contracts open at December 31, 2021: | ||||||||||||||
Counterparty | Contracts to Deliver (000) | In Exchange For | Delivery Date | Unrealized Appreciation (Depreciation) (000) | ||||||||||
Barclays Bank PLC | GBP | 756 | $ | 1,017 | 2/18/22 | $ | (6 | ) | ||||||
Barclays Bank PLC | $ | 166 | EUR | 147 | 2/18/22 | 1 | ||||||||
Barclays Bank PLC | $ | 13 | GBP | 10 | 2/18/22 | —@ | ||||||||
BNP Paribas SA | EUR | 2,455 | $ | 2,798 | 2/18/22 | 1 | ||||||||
JPMorgan Chase Bank NA | BRL | 367 | $ | 66 | 2/18/22 | 1 | ||||||||
JPMorgan Chase Bank NA | IDR | 1,132,494 | $ | 79 | 2/18/22 | (—@ | ) | |||||||
JPMorgan Chase Bank NA | PEN | 65 | $ | 16 | 2/18/22 | (—@ | ) | |||||||
$ | (3 | ) |
Futures Contracts:
The Fund had the following futures contracts open at December 31, 2021:
Number of Contracts | Expiration Date | Notional Amount | Value (000) | Unrealized Appreciation (Depreciation) (000) | ||||||||||||||
Short: | ||||||||||||||||||
German Euro Bund (Germany) | 2 | Mar-22 | EUR | (200 | ) | $ | (390 | ) | $ | 6 | ||||||||
U.S. Treasury Ultra Long Bond (United States) | 6 | Mar-22 | $ | (600 | ) | (879 | ) | (15 | ) | |||||||||
U.S. Treasury 5 yr. Note (United States) | 19 | Mar-22 | (1,900 | ) | (2,299 | ) | 1 | |||||||||||
U.S. Treasury 2 yr. Note (United States) | 1 | Mar-22 | (200 | ) | (218 | ) | —@ | |||||||||||
U.S. Treasury10 yr. Note (United States) | 1 | Mar-22 | (100 | ) | (130 | ) | (1 | ) | ||||||||||
$ | (9 | ) |
Credit Default Swap Agreement:
The Fund had the following credit default swap agreement open at December 31, 2021:
Swap Counterparty and Reference Obligation | Credit Rating of Reference Obligation† | Buy/Sell Protection | Pay/Receive Fixed Rate | Payment Frequency | Maturity Date | Notional Amount (000) | Value (000) | Upfront Payment Paid (000) | Unrealized Depreciation (000) | |||||||||||||||||||
Morgan Stanley & Co. LLC* | ||||||||||||||||||||||||||||
CDX.NA.HY.37 | NR | Sell | 5.00 | % | Quarterly | 12/20/26 | $ | 1,325 | $ | 123 | $ | 128 | $ | (5 | ) |
@ | Value is less than $500. | |
* | Cleared swap agreement, the broker is Morgan Stanley & Co. LLC. | |
† | Credit rating as issued by Standard & Poor’s. | |
NR | Not rated. | |
AUD | — | Australian Dollar |
BRL | — | Brazilian Real |
EUR | — | Euro |
GBP | — | British Pound |
IDR | — | Indonesian Rupiah |
PEN | — | Peruvian Nuevo Sol |
USD | — | United States Dollar |
Portfolio Composition | ||||
Classification | Percentage of Total Investments | |||
Finance | 23.5 | % | ||
Asset-Backed Securities | 23.1 | |||
Mortgages - Other | 19.4 | |||
Industrials | 18.0 | |||
Commercial Mortgage-Backed Securities | 6.8 | |||
Short-Term Investments | 5.5 | |||
Other** | 3.7 | |||
Total Investments | 100.0 | %*** |
** | Industries and/or investment types representing less than 5% of total investments. |
*** | Does not include open short futures contracts with a value of approximately $3,916,000 and net unrealized depreciation of approximately $9,000. Does not include open foreign currency forward exchange contracts with net unrealized depreciation of approximately $3,000. Does not include an open swap agreement with total unrealized depreciation of approximately $5,000. |
Morgan Stanley Institutional Fund Trust
Ultra-Short Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)
Face Amount (000) | Value (000) | |||||||
Certificates of Deposit (8.4%) | ||||||||
International Banks (8.4%) | ||||||||
Barclays Bank PLC | ||||||||
0.26%, 3/17/22 | $ | 175,000 | $ | 175,016 | ||||
Qatar National Bank, | ||||||||
0.40%, 9/19/22 | 130,000 | 129,574 | ||||||
0.58%, 1/5/22 | 100,000 | 99,998 | ||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||
0.05%, 1/3/22 | 125,000 | 125,000 | ||||||
0.29%, 3/16/22 | 110,000 | 109,960 | ||||||
0.30%, 5/6/22 – 5/17/22 | 365,000 | 364,643 | ||||||
Total Certificates of Deposit (Cost $1,004,170) | 1,004,191 | |||||||
Commercial Paper (a) (17.3%) | ||||||||
Asset-Backed Diversified Financial Services (1.3%) | ||||||||
Collateralized Commercial Paper FLEX Co. LLC | ||||||||
0.26%, 9/19/22 (b) | 131,000 | 130,808 | ||||||
Collateralized Commercial Paper V Co. | ||||||||
0.29%, 6/22/22 | 25,000 | 24,953 | ||||||
155,761 | ||||||||
Automobiles (0.3%) | ||||||||
VW Credit, Inc. | ||||||||
0.35%, 8/25/22 | 41,000 | 40,864 | ||||||
Communications (1.2%) | ||||||||
AT&T, Inc. | ||||||||
0.55%, 6/21/22 | 100,000 | 99,755 | ||||||
TELUS Corp. | ||||||||
0.52%, 5/26/22 (b) | 48,000 | 47,915 | ||||||
147,670 | ||||||||
Finance (4.1%) | ||||||||
Barclays Capital, Inc., | ||||||||
0.37%, 1/28/22 | 25,000 | 24,998 | ||||||
0.38%, 1/27/22 | 290,000 | 289,979 | ||||||
Goldman Sachs International | ||||||||
0.33%, 1/14/22 | 175,000 | 174,995 | ||||||
489,972 | ||||||||
International Banks (9.8%) | ||||||||
Bank of Montreal, | ||||||||
0.08%, 1/3/22 – 1/6/22 | 115,000 | 114,999 | ||||||
Bank of Nova Scotia (The) | ||||||||
0.08%, 1/5/22 | 200,000 | 199,998 | ||||||
BNZ International Funding Ltd. | ||||||||
0.28%, 6/22/22 | 65,000 | 64,908 | ||||||
Landesbank Hessen-thuringen, | ||||||||
0.27%, 3/14/22 – 3/16/22 | 355,000 | 354,857 | ||||||
Oversea Chinese Banking Corp. Ltd. | ||||||||
0.27%, 6/22/22 | 100,000 | 99,848 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
0.26%, 6/22/22 | 200,000 | 199,745 | ||||||
Toronto-Dominion Bank (The) | ||||||||
0.06%, 1/3/22 | 50,000 | 50,000 |
Morgan Stanley Institutional Fund Trust
Ultra-Short Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
UBS AG London, | ||||||||
0.26%, 6/30/22 (b) | 16,500 | 16,489 | ||||||
0.30%, 3/15/22 (b) | 65,000 | 65,005 | ||||||
1,165,849 | ||||||||
Technology (0.6%) | ||||||||
Fidelity National Information Services Inc., | ||||||||
0.45%, 3/4/22 (b) | 30,000 | 29,981 | ||||||
0.45%, 3/16/22 | 30,000 | 29,976 | ||||||
0.55%, 3/21/22 – 3/23/22 | 10,000 | 9,992 | ||||||
69,949 | ||||||||
Total Commercial Paper (Cost $2,070,205) | 2,070,065 | |||||||
Corporate Bonds (9.2%) | ||||||||
Automobile (0.9%) | ||||||||
Daimler Finance North America LLC, | ||||||||
2.85%, 1/6/22 (b) | 44,299 | 44,306 | ||||||
3.40%, 2/22/22 (b) | 61,874 | 62,128 | ||||||
106,434 | ||||||||
Chemicals (0.5%) | ||||||||
Nutrien Ltd. | ||||||||
3.15%, 10/1/22 | 53,623 | 54,293 | ||||||
Communications (0.3%) | ||||||||
AT&T, Inc. | ||||||||
3.00%, 6/30/22 | 15,695 | 15,816 | ||||||
TWDC Enterprises 18 Corp. | ||||||||
2.45%, 3/4/22 | 6,926 | 6,951 | ||||||
2.55%, 2/15/22 | 12,303 | 12,335 | ||||||
35,102 | ||||||||
Consumer, Non-Cyclical (1.1%) | ||||||||
AbbVie, Inc., | ||||||||
3.20%, 11/6/22 | 110,549 | 112,437 | ||||||
3.25%, 10/1/22 | 11,438 | 11,594 | ||||||
124,031 | ||||||||
Diversified Financial Services (1.6%) | ||||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||
2.78%, 7/12/22 | 180,097 | 182,336 | ||||||
2.85%, 1/11/22 | 10,722 | 10,727 | ||||||
193,063 | ||||||||
Finance (1.7%) | ||||||||
Citigroup Global Markets Holdings, Inc. | ||||||||
4.50%, 1/14/22 | 16,296 | 16,315 | ||||||
Citigroup, Inc. | ||||||||
2.75%, 4/25/22 | 190,077 | 191,117 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
2.90%, 5/13/22 (b) | 1,830 | 1,845 | ||||||
209,277 | ||||||||
Health Care Services (0.3%) | ||||||||
AstraZeneca PLC | ||||||||
2.38%, 6/12/22 | 8,796 | 8,852 | ||||||
CommonSpirit Health | ||||||||
2.95%, 11/1/22 | 28,075 | 28,608 | ||||||
37,460 |
Morgan Stanley Institutional Fund Trust
Ultra-Short Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Industrials (0.4%) | ||||||||
Waste Management, Inc. | ||||||||
2.90%, 9/15/22 | 51,655 | 52,267 | ||||||
International Banks (1.9%) | ||||||||
Mizuho Financial Group, Inc., | ||||||||
2.60%, 9/11/22 | 30,683 | 31,123 | ||||||
2.95%, 2/28/22 | 95,832 | 96,202 | ||||||
Reckitt Benckiser Treasury Services PLC | ||||||||
2.38%, 6/24/22 (b) | 97,900 | 98,641 | ||||||
Sumitomo Mitsui Banking Corp. | ||||||||
3.20%, 7/18/22 | 619 | 628 | ||||||
226,594 | ||||||||
Technology (0.5%) | ||||||||
Fiserv, Inc. | ||||||||
3.50%, 10/1/22 | 56,025 | 56,906 | ||||||
Total Corporate Bonds (Cost $1,095,466) | 1,095,427 | |||||||
Floating Rate Notes (c) (32.3%) | ||||||||
Automobile (2.0%) | ||||||||
Daimler Finance North America LLC, | ||||||||
3 Month USD LIBOR + 0.90% | ||||||||
1.06%, 2/15/22 (b) | 19,237 | 19,254 | ||||||
Toyota Motor Credit Corp., | ||||||||
SOFR + 0.28%, 0.33%, 12/14/22 | 215,000 | 215,128 | ||||||
234,382 | ||||||||
Diversified Financial Services (0.0%) (d) | ||||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||
3 Month USD LIBOR + 0.97% | ||||||||
1.09%, 1/11/22 | 3,045 | 3,046 | ||||||
Domestic Bank (1.7%) | ||||||||
Bank of America Securities, Inc. | ||||||||
0.23%, 6/22/22 | 200,000 | 200,042 | ||||||
Finance (2.0%) | ||||||||
Citigroup, Inc., Series, | ||||||||
3 Month USD LIBOR + 0.96% | ||||||||
1.08%, 4/25/22 | 2,541 | 2,546 | ||||||
Goldman Sachs Bank USA, | ||||||||
SOFR + 0.18%, 0.23%, 8/26/22 | 200,000 | 199,922 | ||||||
QNB Finance Ltd., | ||||||||
SOFR + 1.23%, 1.28%, 2/12/22 | 34,900 | 34,917 | ||||||
3 Month USD LIBOR + 1.00%, 1.15%, 5/2/22 | 6,500 | 6,512 | ||||||
243,897 | ||||||||
International Banks (26.6%) | ||||||||
Bank of Montreal, | ||||||||
SOFR + 0.28%, 0.33%, 12/21/22 | 175,000 | 175,011 | ||||||
SOFR + 0.26%, 0.31%, 12/22/22 | 125,000 | 124,981 | ||||||
Bank of Nova Scotia, | ||||||||
SOFR + 0.22%, 0.27%, 6/3/22 | 275,000 | 275,074 |
Morgan Stanley Institutional Fund Trust
Ultra-Short Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Canadian Imperial Bank of Commerce, | ||||||||
SOFR + 0.25%, 0.30%, 12/23/22 | 425,000 | 424,853 | ||||||
Commonwealth Bank of Australia, | ||||||||
SOFR + 0.20%, 0.25%, 8/24/22 (b) | 200,000 | 199,961 | ||||||
Credit Industriel et Commercial, | ||||||||
SOFR + 0.28%, 0.33%, 12/8/22 | 250,000 | 250,016 | ||||||
Macquarie Bank Ltd., | ||||||||
SOFR + 0.30%, 0.35%, 12/1/22 (b) | 275,000 | 274,920 | ||||||
SOFR + 0.33%, 0.38%, 12/15/22 (b) | 90,000 | 89,987 | ||||||
SOFR + 0.18%, 0.23%, 9/16/22 (b) | 230,000 | 229,959 | ||||||
Oversea-Chinese Banking Corp. Ltd., | ||||||||
SOFR + 0.28%, 0.33%, 12/21/22 | 100,000 | 100,013 | ||||||
Royal Bank of Canada, | ||||||||
SOFR + 0.25%, 0.30%, 12/1/22 | 125,000 | 125,006 | ||||||
Societe Generale, | ||||||||
SOFR + 0.28%, 0.33%, 12/23/22 (b) | 50,000 | 50,006 | ||||||
Sumitomo Mitsui Banking Corp., | ||||||||
SOFR + 0.18%, 0.23%, 10/24/22 | 100,000 | 99,952 | ||||||
Svenska Handelsbanken AB, | ||||||||
SOFR + 0.20%, 0.25%, 8/23/22 | 250,000 | 249,970 | ||||||
UBS AG London, | ||||||||
SOFR + 0.19%, 0.20%, 6/14/22 (b) | 100,000 | 100,010 | ||||||
SOFR + 0.19%, 0.24%, 6/15/22 – 7/13/22 (b) | 175,000 | 175,020 | ||||||
SOFR + 0.24%, 0.29%, 5/4/22 – 5/12/22 (b) | 225,000 | 225,021 | ||||||
3,169,760 | ||||||||
Total Floating Rate Notes (Cost $3,851,285) | 3,851,127 | |||||||
Municipal Bond (1.1%) | ||||||||
Metropolitan Transportation Authority, NY, | ||||||||
Series A | ||||||||
0.78%, 11/15/22 (Cost $133,490) | 133,490 | 133,614 | ||||||
Repurchase Agreements (30.0%) | ||||||||
ABN Amro Securities LLC, (0.22%, dated 12/31/21, due 1/3/22; proceeds $75,001; fully collateralized by various U.S. Government obligations; 2.50% - 4.00% due 9/20/43 - 9/20/51, and various Corporate Bonds; 0.00% - 9.25% due 1/14/22 - 6/15/52; valued at $78,731) | 75,000 | 75,000 | ||||||
Bank of America Securities, Inc., (0.39% (c), dated 9/2/20, due 03/6/22; proceeds $176,043; fully collateralized by various Common Stocks and Preferred Stocks valued at $183,750) (Demand 1/3/22) | 175,000 | 175,000 | ||||||
Bank of America Securities, Inc., (0.47% (c), dated 4/27/21, due 4/27/22; proceeds $301,430; fully collateralized by various Common Stocks and Preferred Stocks valued at $315,000) (Demand 1/3/22) | 300,000 | 300,000 | ||||||
BMO Capital Markets Corp., (0.17%, dated 12/31/21, due 1/3/22; proceeds $130,002; fully collateralized by various U.S. Government obligations; 0.00% - 7.63% due 1/27/22 - 2/15/51, and various Corporate Bonds; 0.70% - 9.81% due 6/29/22 - 10/27/81; valued at $135,355) (e) | 130,000 | 130,000 | ||||||
BMO Capital Markets Corp., (0.18%, dated 12/14/21, due 1/6/22; proceeds $35,004; fully collateralized by a U.S. Government agency security; 0.18% due 7/13/22, various U.S. Government obligations; 0.13% - 3.00% due 6/30/23 - 5/15/50, and various Corporate Bonds; 0.70% - 6.20% due 6/15/47 - 8/15/53; valued at $36,570) (e) | 35,000 | 35,000 | ||||||
BNP Paribas, (0.17%, dated 12/31/21, due 1/3/22; proceeds $130,002; fully collateralized by various U.S. Government obligations; 0.00% due 8/15/46 - 5/15/48, and various Corporate Bonds; 1.64% - 10.88% due 6/15/22 - 10/10/79; valued at $137,800) (e) | 130,000 | 130,000 |
Morgan Stanley Institutional Fund Trust
Ultra-Short Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
BNP Paribas Prime Brokerage, Inc., (0.37% (c), dated 7/12/21, due 1/7/22; proceeds $300,552; fully collateralized by various Corporate Bonds; 1.60% - 13.00% due 3/1/23 - 5/15/87; valued at $317,296) (Demand 1/3/22) (e) | 300,000 | 300,000 | ||||||
BNP Paribas Prime Brokerage, Inc., (0.39%, dated 10/27/21, due 1/27/22; proceeds $115,115; fully collateralized by various Corporate Bonds; 2.05% - 12.25% due 6/1/23 - 10/15/97; valued at $121,769) (e) | 115,000 | 115,000 | ||||||
Credit Agricole Corporate and Investment Bank, (0.13%, dated 12/29/21, due 1/5/22; proceeds $182,005; fully collateralized by various U.S. Government obligations; 0.00% - 4.50% due 8/15/25 - 2/15/39, and various Corporate Bonds; 0.50% - 7.20% due 6/22/22 - 10/24/51; valued at $190,322) (e) | 182,000 | 182,000 | ||||||
Credit Agricole Corporate and Investment Bank, (0.14% (c), dated 8/18/21, due 1/7/22; proceeds $130,072; fully collateralized by a U.S. Government agency security; 0.13% due 4/13/23, various U.S. Government obligations; 0.00% due 5/15/22 - 11/15/36, and various Corporate Bonds; 0.45% - 8.10% due 6/6/22 - 12/15/96; valued at $136,493) (Demand 1/3/22) (e) | 130,000 | 130,000 | ||||||
Credit Agricole Corporate and Investment Bank, (0.14% (c), dated 9/10/21, due 1/7/22; proceeds $231,107; fully collateralized by various U.S. Government agency security; 2.50% - 4.00% due 6/1/27 - 12/1/51, various U.S. Government obligations; 0.00% - 3.00% due 5/15/22 - 5/15/42, and various Corporate Bonds; 0.45% - 8.10% due 5/2/22 - 12/15/96; valued at $241,926) (Demand 1/3/22) (e) | 231,000 | 231,000 | ||||||
JP Morgan Securities LLC, (0.32% (c), dated 11/17/21, due 1/7/22; proceeds $70,032; fully collateralized by Convertible Bonds, 1.75% - 3.13% due 9/15/22 - 9/30/46 and various Common Stocks and Preferred Stocks valued at $74,513) (Demand 1/3/22) | 70,000 | 70,000 | ||||||
JP Morgan Securities LLC, (0.45% (c), dated 8/17/20, due 3/6/22; proceeds $251,769; fully collateralized by various Convertible Bonds, 0.00% - 3.13% due 9/15/22 - 3/15/26 and various Common Stocks and Preferred Stocks valued at $269,265) (Demand 1/3/22) | 250,000 | 250,000 | ||||||
JP Morgan Securities LLC, (0.45% (c), dated 9/1/20, due 3/6/22; proceeds $100,689; fully collateralized by Convertible Bonds, 0.00% - 9.00% due 9/15/22 - 9/15/46 and various Common Stocks and Preferred Stocks valued at $108,521) (Demand 1/3/22) | 100,000 | 100,000 | ||||||
Mizuho Securities USA LLC, (0.22%, dated 12/31/21, due 1/3/22; proceeds $220,004; fully collateralized by various Common Stocks valued at $231,000) | 220,000 | 220,000 | ||||||
Pershing LLC, (0.38%, dated 12/31/21, due 1/3/22; proceeds $25,001; fully collateralized by various Corporate Bonds; 0.31% - 10.88% due 1/7/22 - 6/1/67; valued at $26,444) (e) | 25,000 | 25,000 | ||||||
Scotia Capital USA, Inc., (0.32%, dated 12/31/21, due 1/3/22; proceeds $50,001; fully collateralized by various Corporate Bonds; 0.55% - 5.55% due 8/16/23 - 6/15/52; valued at $52,500) | 50,000 | 50,000 | ||||||
Scotia Capital USA, Inc., (0.42%, dated 12/31/21, due 1/3/22; proceeds $10,000; fully collateralized by various Corporate Bonds; 3.50% - 7.88% due 5/19/22 - 3/15/25; valued at $10,599) | 10,000 | 10,000 | ||||||
Societe Generale, (0.15%, dated 12/31/21, due 1/3/22; proceeds $68,001; fully collateralized by various Corporate Bonds; 0.20% - 7.88% due 2/22/22 - 8/16/77; valued at $71,401) (e) | 68,000 | 68,000 | ||||||
Societe Generale, (0.19% (c), dated 9/16/21, due 3/16/22; proceeds $210,201; fully collateralized by various Common Stocks valued at $220,622) (Demand 1/3/22) | 210,000 | 210,000 | ||||||
Societe Generale, (0.19% (c), dated 11/9/21, due 5/10/22; proceeds $57,055; fully collateralized by various Common Stocks valued at $59,901) (Demand 1/3/22) | 57,000 | 57,000 | ||||||
Societe Generale, (0.22%, dated 12/31/21, due 1/3/22; proceeds $185,003; fully collateralized by various Corporate Bonds; 0.75% - 13.00% due 3/15/22 - 4/4/79; valued at $195,906) (e) | 185,000 | 185,000 |
Morgan Stanley Institutional Fund Trust
Ultra-Short Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
TD Securities USA LLC, (0.14%, dated 12/31/21, due 1/3/22; proceeds $115,001; fully collateralized by various Corporate Bonds; 0.65% - 8.20% due 4/1/22 - 3/25/61; valued at $120,750) (e) | 115,000 | 115,000 | ||||||
Wells Fargo Securities LLC, (0.17%, dated 12/31/21, due 1/3/22; proceeds $5,001; fully collateralized by a Corporate Bonds; 6.40% due 5/15/37; valued at $5,251) | 5,000 | 5,000 | ||||||
Wells Fargo Securities LLC, (0.22%, dated 12/29/21, due 1/5/22; proceeds $100,004; fully collateralized by various Common Stocks and Preferred Stocks valued at $105,000) | 100,000 | 100,000 | ||||||
Wells Fargo Securities LLC, (0.23%, dated 12/27/21, due 1/3/22; proceeds $50,002; fully collateralized by a Corporate Bonds; 2.51% - 7.65% due 5/1/25 - 5/5/45; valued at $52,500) (e) | 50,000 | 50,000 | ||||||
Wells Fargo Securities LLC, (0.34%, dated 11/1/21, due 1/28/22; proceeds $60,050; fully collateralized by a Corporate Bonds; 0.59% - 6.05% due 11/1/22 - 4/28/61; valued at $63,000) (e) | 60,000 | 60,000 | ||||||
Wells Fargo Securities LLC, (0.35%, dated 10/20/21, due 1/20/22; proceeds $125,112; fully collateralized by various Common Stocks and Preferred Stocks valued at $131,250) | 125,000 | 125,000 | ||||||
Wells Fargo Securities LLC, (0.35%, dated 10/28/21, due 1/26/22; proceeds $70,061; fully collateralized by various Common Stocks and Preferred Stocks valued at $72,700) | 70,000 | 70,000 | ||||||
Total Repurchase Agreements (Cost $3,573,000) | 3,573,000 | |||||||
Time Deposits (1.3%) | ||||||||
International Banks (1.3%) | ||||||||
Bank of Nova Scotia (Toronto Branch) | ||||||||
0.06%, 1/3/22 | 5,000 | 5,000 | ||||||
National Bank of Canada (Montreal Branch) | ||||||||
0.04%, 1/3/22 | 147,000 | 147,000 | ||||||
Total Time Deposits (Cost $152,000) | 152,000 | |||||||
Total Investments (99.6%) (Cost $11,879,616) (f)(g) | 11,879,424 | |||||||
Other Assets in Excess of Liabilities (0.4%) | 44,489 | |||||||
Net Assets (100.0%) | $ | 11,923,913 |
(a) | The rates shown are the effective yields at the date of purchase. |
(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 December 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) | Amount is less than 0.05%. |
(e) | 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 December 31, 2021. |
(f) | 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 December 31, 2021, the Fund did not engage in any cross-trade transactions. |
(g) | At December 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $836,000 and the aggregate gross unrealized depreciation is approximately $1,028,000, resulting in net unrealized depreciation of approximately $192,000. |
LIBOR | London Interbank Offered Rate. |
SOFR | Secured Overnight Financing Rate. |
USD | United States Dollar. |
Portfolio Composition | ||||
Classification | Percentage of Total Investments | |||
Floating Rate Notes | 32.4 | % | ||
Repurchase Agreements | 30.1 | |||
Commercial Paper | 17.4 | |||
Corporate Bonds | 9.2 | |||
Certificates of Deposit | 8.5 | |||
Other* | 2.4 | |||
Total Investments | 100.0 | % |
* | Industries and/or investment types representing less than 5% of total investments. |
Morgan Stanley Institutional Fund Trust
Ultra-Short Municipal Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)
Face | |||||||
Amount | Value | ||||||
(000) | (000) | ||||||
Weekly Variable Rate Bonds (a) (44.8%) | |||||||
County of Daviess, KY, Solid Waste Disposal Facilities Revenue | |||||||
Ser 1993-A (AMT) | |||||||
0.12%, 12/1/23 | $ | 4,000 | $ | 4,000 | |||
Gibson County, IN, Pollution Control Revenue Adjustment Right Bond Toyota Motor Manufacturing 1999A | |||||||
0.10%, 1/1/29 | 3,000 | 3,000 | |||||
County of Perry, MS, Mississippi Pollution Control Refunding Revenue Bonds (Leaf River Cellulose, LIC Project) Series 2021 | |||||||
0.17%, 10/1/41 | 5,000 | 5,000 | |||||
Iowa State Finance Authority, LA, | |||||||
Midwestern Disaster Area Revenue Bonds Archer-Daniels-Midland Company Project Ser 2012 | |||||||
0.16%, 12/1/45 | 5,000 | 5,000 | |||||
Solid Waste Facilities Revenue Bonds, Mid America Energy Company Project | |||||||
Ser 2016 B (AMT) | |||||||
0.16%, 12/1/46 | 3,500 | 3,500 | |||||
Ser 2017 | |||||||
0.13%, 12/1/47 | 3,500 | 3,500 | |||||
Kentucky Economic Development Finance Authority, KY, Catholic Health Initiatives Ser 2004 C | |||||||
0.17%, 5/1/34 | 6,200 | 6,200 | |||||
Metropolitan Washington Airports Authority, DC, Airport System Subser 2011 A-1 | |||||||
0.13%, 10/1/39 | 2,900 | 2,900 | |||||
Parish of St James, LA, State of Louisiana Revenue Bonds, Nucor Steel Louisiana LLC Project, Ser 2010B-1, Gulf Opportunity Zone Bonds | |||||||
0.15%, 11/1/40 | 1,000 | 1,000 | |||||
RBC Municipal Products Trust, Inc., CO, City and County of Denver Airport System – Subordinate Bonds Floater Certificates Ser 2019-G114 | |||||||
0.35%, 12/1/26 (b) | 1,500 | 1,500 | |||||
RBC Municipal Products Trust, Inc., FL, Broward County Port Facilities Revenue Ser B Floater Certificates Ser 2019-G115 | |||||||
0.35%, 9/1/27 (b) | 2,000 | 2,000 | |||||
RBC Municipal Products Trust, Inc., MO, Health and Educational Facilities Authority of The State of Missouri SSM Health Ser 2019 A Floater Certificates Ser 2019-C17 | |||||||
0.15%, 12/1/39 (b) | 3,000 | 3,000 | |||||
RBC Municipal Products Trust, Inc., NY, New York City Variable Ser 2006 Subser I-5 Floater Certificates Ser 2019-E133 | |||||||
0.13%, 5/1/23 (b) | 4,000 | 4,000 | |||||
RBC Municipal Products Trust, Inc., SC, Transportation Infrastructure Bank Ser 2017 A, Floater Certificates Ser 2019-G109 | |||||||
0.30%, 10/1/25 (b) | 1,500 | 1,500 | |||||
RBC Municipal Products Trust, Inc., NA, | |||||||
Various States Certificates E-140 | |||||||
0.13%, 10/1/24 (b) | 2,000 | 2,000 | |||||
Various States Certificates E-141 | |||||||
0.13%, 12/1/23 (b) | 2,000 | 2,000 | |||||
Various States Certificates E-150 | |||||||
0.13%, 5/1/27 (b) | 5,000 | 5,000 | |||||
Utah Water Finance Agency, UT, Ser 2008 B | |||||||
0.13%, 10/1/37 | 7,000 | 7,000 | |||||
Washington County, NE, Nebraska Industrial Development Revenue Bonds Ser 2010B | |||||||
0.14%, 12/1/40 | 5,000 | 5,000 | |||||
Total Weekly Variable Rate Bonds (Cost $67,100) | 67,100 |
Morgan Stanley Institutional Fund Trust
Ultra-Short Municipal Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Daily Variable Rate Bonds (a) (14.0%) | |||||
Bay County, FL, Florida Industrial Development Revenue Bonds (Gulf Power Company Project), Ser 2020 | |||||
0.10%, 6/1/50 | 6,900 | 6,900 | |||
Columbia, AL, Industrial Development Board Pollution Control Revenue, Alabama Power Company Project Ser 2014B | |||||
0.12%, 12/1/37 | 1,900 | 1,900 | |||
Indiana Finance Authority, IN, Environmental Refunding Duke Energy Indiana Inc Ser 2009 A-4 | |||||
0.10%, 12/1/39 | 4,000 | 4,000 | |||
JP Morgan Chase & Co., OT, Variable Rate Muni Term Preferred - Invesco Value Municipal Income Trust PUTTERs Ser 5027 (AMT) | |||||
0.22%, 12/1/24 (b) | 3,000 | 3,000 | |||
West Jefferson, AL, Industrial Development Board Solid Waste Disposal Revenue Alabama Power- Miller Plant Ser 2008 (AMT) | |||||
0.12%, 12/1/38 | 5,200 | 5,200 | |||
Total Daily Variable Rate Bonds (Cost $21,000) | 21,000 | ||||
Closed-End Investment Companies (a) (7.6%) | |||||
BlackRock MuniYield Quality Fund III, Inc. (MYI), OT, VRDP (AMT) | |||||
0.22%, 6/1/41 (b) | 1,400 | 1,400 | |||
Nuveen AMT-Free Municipal Credit Income Fund, OT, MFP Share Ser B | |||||
0.30%, 3/1/29 (b) | 5,000 | 5,000 | |||
Nuveen New York AMT-Free Quality Municipal Income Fund, 800 Ser E (AMT) | |||||
0.30%, 5/1/47 (b) | 5,000 | 5,000 | |||
Total Closed-End Investment Companies (Cost $11,400) | 11,400 | ||||
Floating Rate Notes (a) (5.9%) | |||||
Douglas County Hospital Authority No. 2, NE, Revenue Health Facilities Bonds Nebraska Medicine 2020 A | |||||
0.60%, 5/15/33 | 5,000 | 5,000 | |||
New York City Cultural Resources Trust, American Museum of Natural History Ser 2014 B1 | |||||
0.15%, 4/1/44 | 3,800 | 3,800 | |||
Total Floating Rate Notes (Cost $8,800) | 8,800 | ||||
Quarterly Variable Rate Bonds (a) (11.1%) | |||||
County of Franklin, OH, CHE Trinity Health Credit Group, Ser 2013 | |||||
0.10%, 12/1/46 | 3,000 | 3,000 | |||
Lewisburg, TN, Industrial Development Board Solid Waste Disposal Waste Management Tennessee Project Ser 2012 (AMT) | |||||
0.18%, 7/2/35 | 1,500 | 1,500 | |||
Miami-Dade County, FL, Industrial Development Authority Solid Waste Waste Management Inc. of Florida Project, Ser 2011 (AMT) | |||||
0.40%, 11/1/41 | 2,000 | 2,000 | |||
New York State Environmental Facilities Corporation, NY, Solid Waste Disposal Refunding Revenue Bonds, Waste Management Inc. Project, Series 2012 | |||||
0.18%, 5/1/30 | 3,000 | 3,000 | |||
Pennsylvania Economic Development Financing Authority, PA, Solid Waste Refunding Revenue Bonds Ser 2010 A (AMT) And Ser 2010 B (Non AMT) | |||||
0.20%, 12/1/30 | 1,200 | 1,200 | |||
Ser 2019A (AMT) | |||||
0.18%, 4/1/34 | 3,000 | 3,000 | |||
The Industrial Development Authority of The City of Phoenix, AZ, Solid Waste Disposal Revenue Refunding Bonds Ser 2013 | |||||
0.20%, 12/1/35 | 3,000 | 3,000 | |||
Total Quarterly Variable Rate Bonds (Cost $16,700) | 16,700 |
Morgan Stanley Institutional Fund Trust
Ultra-Short Municipal Income Portfolio
Portfolio of Investments
First Quarter Report
December 31, 2021 (unaudited)(cont’d)
Commercial Paper (c) (14.1%) | ||||||
Lincoln Nebraska, NE, Electric System Revenue IAM Commercial Paper 3/A2 Ser 1995 | ||||||
0.09%, 2/7/22 | 6,000 | 6,000 | ||||
Mercer County, ND, Pollution Control Revenue IAM Commercial Paper Notes 3/A2 Ser 1 | ||||||
0.18%, 2/10/22 | 7,000 | 7,000 | ||||
Omaha Public Power District Nebraska, NE, Revenue IAM Commercial Paper 3/A2 Ser A 522 | ||||||
0.10%, 1/21/22 | 3,950 | 3,950 | ||||
Port of Seattle, WA, Revenue IAM Commercial Paper Notes 3/A2 Ser B-1 | ||||||
0.12%, 2/7/22 | 4,200 | 4,200 | ||||
Total Commercial Paper (Cost $21,150) | 21,150 | |||||
Municipal Bonds & Notes (4.5%) | ||||||
Milford Exempt Village School District, OH, Ohio School Improvement (General Obligation Unlimited Tax) BANs, Series 2022 | ||||||
1.63%, 4/5/22 (d) | 3,000 | 3,011 | ||||
Pioneer Valley Transit Authority, MA, Massachusetts RANs | ||||||
1.50%, 7/15/22 | 3,500 | 3,523 | ||||
The Black Belt Energy Gas District, AL, Gas Supply Revenue Bonds Ser 2021A | ||||||
4.00%, 6/1/22 | 250 | 254 | ||||
Total Municipal Bonds & Notes (Cost $6,787) | 6,788 | |||||
Total Investments (102.0%) (Cost $152,937) (e)(f)(g) | 152,938 | |||||
Liabilities in Excess of Other Assets (–2.0%) | (2,992 | ) | ||||
Net Assets (100.0%) | $ | 149,946 |
(a) | Floating or variable rate securities: The rates disclosed are as of December 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. |
(b) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
(c) | The rates shown are the effective yields at the date of purchase. |
(d) | All or a portion of the security is subject to delayed delivery. |
(e) | Securities are available for collateral in connection with securities purchased on a forward commitment basis. |
(f) | 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 December 31, 2021, the Fund did not engage in any cross-trade transactions. |
(g) | At December 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $1,000 and the aggregate gross unrealized depreciation is approximately $0, resulting in net unrealized appreciation of approximately $1,000. |
AMT | Alternative Minimum Tax. |
BANs | Bond Anticipation Notes. |
MFP | Municipal Fund Preferred. |
PUTTERs | Puttable Tax-Exempt Receipts. |
RANs | Revenue Anticipation Notes. |
VRDP | Variable Rate Demand Preferred. |
Portfolio Composition | ||||
Classification | Percentage of Total Investments | |||
Weekly Variable Rate Bonds | 43.9 | % | ||
Commercial Paper | 13.8 | |||
Daily Variable Rate Bonds | 13.7 | |||
Quarterly Variable Rate Bonds | 10.9 | |||
Closed-End Investment Companies | 7.5 | |||
Floating Rate Notes | 5.8 | |||
Other* | 4.4 | |||
Total Investments | 100.0 | % |
* Industries and/or investment types representing less than 5% of total investments.
Morgan Stanley Institutional Fund Trust
Notes to the Portfolio of Investments ▪ December 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 Interbank Offered Rate (“IBOR”) based reference rates at the end of 2021. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period from March 12, 2020 through December 31, 2022. Management evaluated the impact of ASU 2020-04 on the Funds’ investments, derivatives, debt and other contracts that will undergo reference rate-related modifications as a result of the reference rate reform and does not expect there will be any significant impact to the Funds.
Security Valuation: (1) Certain portfolio securities may be valued by an outside pricing service/vendor approved by the Trust'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") or Morgan Stanley Investment Management Limited (“MSIM Limited”) (the “Sub-Adviser”), each 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) 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 or 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; (3) 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 or dealers; (4) certain senior collateralized loans ("Senior Loans") are valued based on quotations received from an independent pricing service; (5) 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; (6) OTC swaps may be valued by an outside pricing service approved by the Trustees or quotes from a broker or dealer. Swaps cleared on a clearinghouse or exchange may be valued using the closing price provided by the clearinghouse or exchange; (7) listed options are valued at the last reported sales price on the exchange on which they are listed (or at the exchange official closing price if such exchange reports an official closing price). If an official closing price or last reported sales price is unavailable, the listed option should be fair valued at the mean between its latest bid and ask prices. Unlisted options are valued at the mean between their latest bid and ask prices from a broker/dealer or valued by a pricing service/vendor; (8) when market quotations are not readily available, including circumstances under which the Adviser or the Sub-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 of 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; (9) 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; (10) PIPE investments may be valued based on the underlying stock price less a discount until the commitment is fulfilled and shares are registered; and (11) 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 Trust'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 Trust's Adviser 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 Value Measurement: 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 December 31, 2021:
Investment Type | Level 1 Unadjusted quoted prices (000) | Level 2 Other significant observable inputs (000) | Level 3 Significant unobservable inputs (000) | Total (000) | ||||||||||||
Core Plus Fixed Income | ||||||||||||||||
Assets: | ||||||||||||||||
Fixed Income Securities | ||||||||||||||||
Agency Adjustable Rate Mortgages | $ | — | $ | 12 | $ | — | $ | 12 | ||||||||
Agency Fixed Rate Mortgages | — | 146,341 | — | 146,341 | ||||||||||||
Asset-Backed Securities | — | 119,052 | — | 119,052 | ||||||||||||
Collateralized Mortgage Obligations - Agency Collateral Series | — | 15,240 | — | 15,240 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 63,521 | — | 63,521 | ||||||||||||
Corporate Bonds | — | 312,568 | — | 312,568 | ||||||||||||
Mortgages - Other | — | 183,571 | — | 183,571 | ||||||||||||
Municipal Bonds | — | 4,727 | — | 4,727 | ||||||||||||
Sovereign | — | 55,356 | — | 55,356 | ||||||||||||
Supranational | — | 2,064 | — | 2,064 | ||||||||||||
U.S. Treasury Securities | — | 9,491 | — | 9,491 | ||||||||||||
Variable Rate Senior Loan Interests | — | 23,703 | — | 23,703 | ||||||||||||
Total Fixed Income Securities | — | 935,646 | — | 935,646 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Company | 91,825 | — | — | 91,825 | ||||||||||||
U.S. Treasury Securities | — | 18,481 | — | 18,481 | ||||||||||||
Total Short-Term Investments | 91,825 | 18,481 | — | 110,306 | ||||||||||||
Foreign Currency Forward Exchange Contracts | — | 252 | — | 252 | ||||||||||||
Futures Contracts | 1,521 | — | — | 1,521 | ||||||||||||
Total Assets | 93,346 | 954,379 | — | 1,047,725 | ||||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Forward Exchange Contracts | — | (318 | ) | — | (318 | ) | ||||||||||
Futures Contracts | (461 | ) | — | — | (461 | ) | ||||||||||
Total Liabilities | (461 | ) | (318 | ) | — | (779 | ) | |||||||||
Total | $ | 92,885 | $ | 954,061 | $ | — | $ | 1,046,946 |
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2021:
Investment Type | Level 1 Unadjusted quoted prices (000) | Level 2 Other significant observable inputs (000) | Level 3 Significant unobservable inputs (000) | Total (000) | ||||||||||||
Corporate Bond | ||||||||||||||||
Assets: | ||||||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds | $ | — | $ | 169,443 | $ | — | $ | 169,443 | ||||||||
Short-Term Investments | ||||||||||||||||
Investment Company | 3,922 | — | — | 3,922 | ||||||||||||
U.S. Treasury Security | — | 1,863 | — | 1,863 | ||||||||||||
Total Short-Term Investments | 3,922 | 1,863 | — | 5,785 | ||||||||||||
Foreign Currency Forward Exchange Contract | — | —@ | — | —@ | ||||||||||||
Futures Contracts | 185 | — | — | 185 | ||||||||||||
Total Assets | 4,107 | 171,306 | — | 175,413 | ||||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Forward Exchange Contract | — | (2 | ) | — | (2 | ) | ||||||||||
Futures Contracts | (627 | ) | — | — | (627 | ) | ||||||||||
Total Liabilities | (627 | ) | (2 | ) | — | (629 | ) | |||||||||
Total | $ | 3,480 | $ | 171,304 | $ | — | $ | 174,784 |
@ | Value is less than $500. |
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2021:
Investment Type | Level 1 Unadjusted quoted prices (000) | Level 2 Other significant observable inputs (000) | Level 3 Significant unobservable inputs (000) | Total (000) | ||||||||||||
Discovery | ||||||||||||||||
Assets: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Biotechnology | $ | 40,316 | $ | — | $ | — | $ | 40,316 | ||||||||
Consumer Finance | 33,816 | — | — | 33,816 | ||||||||||||
Entertainment | 199,066 | — | — | 199,066 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 20,231 | — | — | 20,231 | ||||||||||||
Health Care Providers & Services | 96,177 | — | — | 96,177 | ||||||||||||
Health Care Technology | 255,537 | — | — | 255,537 | ||||||||||||
Information Technology Services | 951,020 | — | — | 951,020 | ||||||||||||
Interactive Media & Services | 280,625 | — | — | 280,625 | ||||||||||||
Internet & Direct Marketing Retail | 196,168 | — | — | 196,168 | ||||||||||||
Leisure Products | 78,130 | — | — | 78,130 | ||||||||||||
Life Sciences Tools & Services | 36,350 | — | — | 36,350 | ||||||||||||
Pharmaceuticals | 107,947 | — | — | 107,947 | ||||||||||||
Real Estate Management & Development | 67,159 | — | — | 67,159 | ||||||||||||
Software | 738,236 | 51,651 | — | 789,887 | ||||||||||||
Specialty Retail | 111,379 | — | — | 111,379 | ||||||||||||
Total Common Stocks | 3,212,157 | 51,651 | — | 3,263,808 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Internet & Direct Marketing Retail | 1,403 | — | — | 1,403 | ||||||||||||
Software | — | — | 32,556 | 32,556 | ||||||||||||
Total Preferred Stocks | 1,403 | — | 32,556 | 33,959 | ||||||||||||
Investment Company | 34,496 | — | — | 34,496 | ||||||||||||
Warrant | 441 | — | — | 441 | ||||||||||||
Call Options Purchased | — | 5,278 | — | 5,278 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Company | 84,867 | — | — | 84,867 | ||||||||||||
Repurchase Agreements | — | 4,051 | — | 4,051 | ||||||||||||
Total Short-Term Investments | 84,867 | 4,051 | — | 88,918 | ||||||||||||
Total Assets | $ | 3,333,364 | $ | 60,980 | $ | 32,556 | $ | 3,426,900 |
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
Preferred | Derivative | |||||||
Discovery | Stock (000) | Contract — PIPE (000) | ||||||
Beginning Balance | $ | 31,810 | $ | (2,197 | ) | |||
Purchases | - | - | ||||||
Sales | - | - | ||||||
PIPE transactions | - | 2,197 | ||||||
Amortization of discount | - | - | ||||||
Transfers in | - | - | ||||||
Transfers out | - | - | ||||||
Corporate actions | - | - | ||||||
Change in unrealized appreciation (depreciation) | 746 | - | ||||||
Realized gains (losses) | - | - | ||||||
Ending Balance | $ | 32,556 | $ | - | ||||
Net change in unrealized appreciation (depreciation) from investments still held as of December 31, 2021 | $ | 746 | $ | - |
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 as of December 31, 2021. Various valuation techniques were used in the valuation of certain investments and weighted based on the level of significance. The Fund calculated the weighted averages of the unobservable inputs relative to each investment’s fair value as of December 31, 2021.
Fair Value at | Impact to | |||||||||||||
December 31, 2021 | Valuation | Unobservable | Valuation from an | |||||||||||
Discovery | (000) | Technique | Input | Amount* | Increase in Input** | |||||||||
Preferred Stock | $ | 32,556 | Market Transaction Method | Precedent Transaction | $ | 220.45 | Increase | |||||||
Discounted Cash Flow | Weighted Average | |||||||||||||
Cost of Capital | 11.0 | % | Decrease | |||||||||||
Perpetual Growth Rate | 3.5 | % | Increase | |||||||||||
Market Comparable Companies | Enterprise | |||||||||||||
Value/Revenue | 38.5 | x | Increase | |||||||||||
Discount for Lack | ||||||||||||||
of Marketability | 12.0 | % | Decrease |
* | Amount is indicative of the weighted average. |
** | Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements. |
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2021:
Investment Type | Level 1 Unadjusted quoted prices (000) | Level 2 Other significant observable inputs (000) | Level 3 Significant unobservable inputs (000) | Total (000) | ||||||||||||
Dynamic Value | ||||||||||||||||
Assets: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 185 | $ | — | $ | — | $ | 185 | ||||||||
Air Freight & Logistics | 80 | — | — | 80 | ||||||||||||
Automobiles | 104 | — | — | 104 | ||||||||||||
Banks | 477 | — | — | 477 | ||||||||||||
Beverages | 48 | — | — | 48 | ||||||||||||
Biotechnology | 371 | — | — | 371 | ||||||||||||
Building Products | 94 | — | — | 94 | ||||||||||||
Capital Markets | 208 | — | — | 208 | ||||||||||||
Chemicals | 164 | — | — | 164 | ||||||||||||
Commercial Services & Supplies | 31 | — | — | 31 | ||||||||||||
Construction & Engineering | 43 | — | — | 43 | ||||||||||||
Consumer Finance | 277 | — | — | 277 | ||||||||||||
Containers & Packaging | 77 | — | — | 77 | ||||||||||||
Diversified Consumer Services | 133 | — | — | 133 | ||||||||||||
Diversified Financial Services | 72 | — | — | 72 | ||||||||||||
Diversified Telecommunication Services | 166 | — | — | 166 | ||||||||||||
Electric Utilities | 315 | — | — | 315 | ||||||||||||
Electronic Equipment, Instruments & Components | 183 | — | — | 183 | ||||||||||||
Energy Equipment & Services | 75 | — | — | 75 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 731 | — | — | 731 | ||||||||||||
Food & Staples Retailing | 141 | — | — | 141 | ||||||||||||
Food Products | 302 | — | — | 302 | ||||||||||||
Gas Utilities | 121 | — | — | 121 | ||||||||||||
Health Care Providers & Services | 789 | — | — | 789 | ||||||||||||
Hotels, Restaurants & Leisure | 126 | — | — | 126 | ||||||||||||
Household Durables | 190 | — | — | 190 | ||||||||||||
Household Products | 96 | — | — | 96 | ||||||||||||
Information Technology Services | 535 | — | — | 535 | ||||||||||||
Insurance | 417 | — | — | 417 | ||||||||||||
Internet & Direct Marketing Retail | 27 | — | — | 27 | ||||||||||||
Life Sciences Tools & Services | 70 | — | — | 70 | ||||||||||||
Machinery | 484 | — | — | 484 | ||||||||||||
Media | 489 | — | — | 489 | ||||||||||||
Metals & Mining | 212 | — | — | 212 | ||||||||||||
Multi-Line Retail | 28 | — | — | 28 | ||||||||||||
Multi-Utilities | 63 | — | — | 63 | ||||||||||||
Oil, Gas & Consumable Fuels | 373 | — | — | 373 | ||||||||||||
Personal Products | 98 | — | — | 98 | ||||||||||||
Pharmaceuticals | 452 | — | — | 452 | ||||||||||||
Professional Services | 154 | — | — | 154 | ||||||||||||
Real Estate Management & Development | 43 | — | — | 43 | ||||||||||||
Road & Rail | 150 | — | — | 150 | ||||||||||||
Semiconductors & Semiconductor Equipment | 313 | — | — | 313 | ||||||||||||
Software | 145 | — | — | 145 | ||||||||||||
Specialty Retail | 199 | — | — | 199 | ||||||||||||
Tech Hardware, Storage & Peripherals | 136 | — | — | 136 | ||||||||||||
Thrifts & Mortgage Finance | 226 | — | — | 226 | ||||||||||||
Trading Companies & Distributors | 91 | — | — | 91 | ||||||||||||
Total Common Stocks | 10,304 | — | — | 10,304 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 34 | — | — | 34 | ||||||||||||
Total Return Swap Agreements | — | 175 | — | 175 | ||||||||||||
Total Assets | 10,338 | 175 | — | 10,513 | ||||||||||||
Liabilities: | ||||||||||||||||
Total Return Swap Agreements | — | (89 | ) | — | (89 | ) | ||||||||||
Total | $ | 10,338 | $ | 86 | $ | — | $ | 10,424 |
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2021:
Investment Type | Level 1 Unadjusted quoted prices (000) | Level 2 Other significant observable inputs (000) | Level 3 Significant unobservable inputs (000) | Total (000) | ||||||||||||
Global Strategist | ||||||||||||||||
Assets: | ||||||||||||||||
Fixed Income Securities | ||||||||||||||||
Agency Adjustable Rate Mortgage | $ | — | $ | 15 | $ | — | $ | 15 | ||||||||
Agency Fixed Rate Mortgages | — | 16,320 | — | 16,320 | ||||||||||||
Asset-Backed Securities | — | 2,239 | — | 2,239 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 1,746 | — | 1,746 | ||||||||||||
Corporate Bonds | — | 61,413 | — | 61,413 | ||||||||||||
Mortgages - Other | — | 3,551 | — | 3,551 | ||||||||||||
Sovereign | — | 145,844 | — | 145,844 | ||||||||||||
Supranational | — | 6,277 | — | 6,277 | ||||||||||||
U.S. Treasury Securities | — | 19,508 | — | 19,508 | ||||||||||||
Total Fixed Income Securities | — | 256,913 | — | 256,913 | ||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | 2,147 | 75 | — | 2,222 | ||||||||||||
Air Freight & Logistics | 596 | 521 | — | 1,117 | ||||||||||||
Airlines | 82 | 20 | — | 102 | ||||||||||||
Auto Components | 449 | 53 | — | 502 | ||||||||||||
Automobiles | 2,467 | 1,158 | — | 3,625 | ||||||||||||
Banks | 10,208 | 1,874 | — | 12,082 | ||||||||||||
Beverages | 2,803 | 116 | — | 2,919 | ||||||||||||
Biotechnology | 2,442 | 154 | — | 2,596 | ||||||||||||
Building Products | 801 | 394 | — | 1,195 | ||||||||||||
Capital Markets | 4,432 | 1,002 | — | 5,434 | ||||||||||||
Chemicals | 2,797 | 1,257 | — | 4,054 | ||||||||||||
Commercial Services & Supplies | 675 | 41 | — | 716 | ||||||||||||
Communications Equipment | 835 | 309 | — | 1,144 | ||||||||||||
Construction & Engineering | 3,686 | 656 | — | 4,342 | ||||||||||||
Construction Materials | 402 | 169 | — | 571 | ||||||||||||
Consumer Finance | 607 | — | — | 607 | ||||||||||||
Containers & Packaging | 411 | — | — | 411 | ||||||||||||
Distributors | 135 | — | — | 135 | ||||||||||||
Diversified Consumer Services | 24 | — | — | 24 | ||||||||||||
Diversified Financial Services | 1,104 | 420 | — | 1,524 | ||||||||||||
Diversified Telecommunication Services | 1,447 | 824 | — | 2,271 | ||||||||||||
Electric Utilities | 2,139 | 975 | — | 3,114 | ||||||||||||
Electrical Equipment | 1,243 | 557 | — | 1,800 | ||||||||||||
Electronic Equipment, Instruments & Components | 787 | 147 | — | 934 | ||||||||||||
Energy Equipment & Services | 188 | 23 | † | — | 211 | † | ||||||||||
Entertainment | 1,982 | 24 | — | 2,006 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 3,616 | 15 | — | 3,631 | ||||||||||||
Food & Staples Retailing | 2,417 | 132 | — | 2,549 | ||||||||||||
Food Products | 1,236 | 2,146 | — | 3,382 | ||||||||||||
Gas Utilities | 200 | 114 | — | 314 | ||||||||||||
Health Care Equipment & Supplies | 3,216 | 886 | — | 4,102 | ||||||||||||
Health Care Providers & Services | 2,773 | 175 | — | 2,948 | ||||||||||||
Health Care Technology | 176 | — | — | 176 | ||||||||||||
Hotels, Restaurants & Leisure | 8,550 | 140 | — | 8,690 | ||||||||||||
Household Durables | 5,447 | 25 | — | 5,472 | ||||||||||||
Household Products | 1,554 | 196 | — | 1,750 | ||||||||||||
Independent Power Producers & Energy Traders | 171 | 20 | — | 191 | ||||||||||||
Industrial Conglomerates | 1,196 | 687 | — | 1,883 | ||||||||||||
Information Technology Services | 6,357 | 207 | — | 6,564 | ||||||||||||
Insurance | 4,223 | 1,596 | — | 5,819 | ||||||||||||
Interactive Media & Services | 6,230 | 45 | — | 6,275 | ||||||||||||
Internet & Direct Marketing Retail | 4,357 | 175 | — | 4,532 | ||||||||||||
Leisure Products | 54 | — | — | 54 | ||||||||||||
Life Sciences Tools & Services | 2,070 | 374 | — | 2,444 | ||||||||||||
Machinery | 1,817 | 1,403 | — | 3,220 | ||||||||||||
Marine | 23 | 227 | — | 250 | ||||||||||||
Media | 1,447 | 30 | — | 1,477 | ||||||||||||
Metals & Mining | 3,223 | 118 | — | 3,341 | ||||||||||||
Multi-Line Retail | 856 | — | — | 856 | ||||||||||||
Multi-Utilities | 1,253 | 270 | — | 1,523 | ||||||||||||
Oil, Gas & Consumable Fuels | 13,398 | 558 | — | 13,956 | ||||||||||||
Paper & Forest Products | 100 | 197 | — | 297 | ||||||||||||
Personal Products | 1,410 | 49 | — | 1,459 | ||||||||||||
Pharmaceuticals | 5,599 | 3,668 | — | 9,267 | ||||||||||||
Professional Services | 1,566 | 130 | — | 1,696 | ||||||||||||
Real Estate Management & Development | 581 | 383 | — | 964 | ||||||||||||
Road & Rail | 1,803 | — | — | 1,803 | ||||||||||||
Semiconductors & Semiconductor Equipment | 8,182 | 286 | — | 8,468 | ||||||||||||
Software | 10,429 | 898 | † | — | 11,327 | † | ||||||||||
Specialty Retail | 2,391 | 230 | — | 2,621 | ||||||||||||
Tech Hardware, Storage & Peripherals | 6,977 | 68 | — | 7,045 | ||||||||||||
Textiles, Apparel & Luxury Goods | 2,707 | 837 | — | 3,544 | ||||||||||||
Tobacco | 995 | 54 | — | 1,049 | ||||||||||||
Trading Companies & Distributors | 729 | 66 | — | 795 | ||||||||||||
Transportation Infrastructure | 262 | 878 | — | 1,140 | ||||||||||||
Water Utilities | 201 | — | — | 201 | ||||||||||||
Wireless Telecommunication Services | 439 | 33 | — | 472 | ||||||||||||
Total Common Stocks | 165,120 | 28,085 | † | — | 193,205 | † | ||||||||||
Short-Term Investments | ||||||||||||||||
Investment Company | 95,283 | — | — | 95,283 | ||||||||||||
U.S. Treasury Security | — | 2,289 | — | 2,289 | ||||||||||||
Total Short-Term Investments | 95,283 | 2,289 | — | 97,572 | ||||||||||||
Foreign Currency Forward Exchange Contracts | — | 399 | — | 399 | ||||||||||||
Futures Contracts | 530 | — | — | 530 | ||||||||||||
Interest Rate Swap Agreements | — | 1,259 | — | 1,259 | ||||||||||||
Total Return Swap Agreements | — | 9,450 | — | 9,450 | ||||||||||||
Total Assets | 260,933 | 298,395 | † | — | 559,328 | † | ||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Forward Exchange Contracts | — | (685 | ) | — | (685 | ) | ||||||||||
Futures Contracts | (1,116 | ) | — | — | (1,116 | ) | ||||||||||
Interest Rate Swap Agreements | — | (436 | ) | — | (436 | ) | ||||||||||
Total Return Swap Agreements | — | (4,230 | ) | — | (4,230 | ) | ||||||||||
Total Liabilities | (1,116 | ) | (5,351 | ) | — | (6,467 | ) | |||||||||
Total | $ | 259,817 | $ | 293,044 | † | $ | — | $ | 552,861 | † |
† | Includes one or more securities valued at zero. |
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2021:
Investment Type | Level 1 Unadjusted quoted prices (000) | Level 2 Other significant observable inputs (000) | Level 3 Significant unobservable inputs (000) | Total (000) | ||||||||||||
High Yield | ||||||||||||||||
Assets: | ||||||||||||||||
Fixed Income Securities | ||||||||||||||||
Corporate Bonds | $ | — | $ | 167,637 | $ | — | $ | 167,637 | ||||||||
Variable Rate Senior Loan Interests | — | 5,087 | † | — | 5,087 | † | ||||||||||
Total Fixed Income Securities | — | 172,724 | † | — | 172,724 | † | ||||||||||
Common Stocks | ||||||||||||||||
Auto Components | — | — | † | — | — | † | ||||||||||
Equity Real Estate Investment Trusts | — | 4 | — | 4 | ||||||||||||
Machinery | — | — | — | † | — | † | ||||||||||
Semiconductors & Semiconductor Equipment | — | 23 | — | 23 | ||||||||||||
Transportation | — | 121 | — | 121 | ||||||||||||
Total Common Stocks | — | 148 | † | — | † | 148 | † | |||||||||
Warrant | — | 65 | — | 65 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 1,315 | — | — | 1,315 | ||||||||||||
Total Assets | $ | 1,315 | $ | 172,937 | † | $ | — | † | $ | 174,252 | † |
† Includes one or more securities valued at zero.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
High Yield | Common Stock (000) | |||
Beginning Balance | $ | - | † | |
Purchases | - | |||
Sales | - | |||
Amortization of discount | - | |||
Transfers in | - | |||
Transfers out | - | |||
Corporate actions | - | |||
Change in unrealized appreciation (depreciation) | - | |||
Realized gains (losses) | - | |||
Ending Balance | $ | - | † | |
Net change in unrealized appreciation (depreciation) from investments still held as of December 31, 2021 | $ | - |
† | Includes one security valued at zero. |
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2021:
Investment Type | Level 1 Unadjusted quoted prices (000) | Level 2 Other significant observable inputs (000) | Level 3 Significant unobservable inputs (000) | Total (000) | ||||||||||||
Short Duration | ||||||||||||||||
Assets: | ||||||||||||||||
Fixed Income Securities | ||||||||||||||||
Agency Adjustable Rate Mortgages | $ | — | $ | 657 | $ | — | $ | 657 | ||||||||
Agency Bond - Consumer Discretionary (U.S. Government Guaranteed) | — | 193 | — | 193 | ||||||||||||
Agency Fixed Rate Mortgages | — | 765 | — | 765 | ||||||||||||
Asset-Backed Securities | — | 77,562 | — | 77,562 | ||||||||||||
Collateralized Mortgage Obligations - Agency Collateral Series | — | 777 | — | 777 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 17,221 | — | 17,221 | ||||||||||||
Corporate Bonds | — | 320,561 | — | 320,561 | ||||||||||||
Mortgages - Other | — | 69,392 | — | 69,392 | ||||||||||||
Municipal Bonds | — | 814 | — | 814 | ||||||||||||
Sovereign | — | 2,050 | — | 2,050 | ||||||||||||
Supranational | — | 2,941 | — | 2,941 | ||||||||||||
Total Fixed Income Securities | — | 492,933 | — | 492,933 | ||||||||||||
Investment Company | 20,744 | — | — | 20,744 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Company | 1,542 | — | — | 1,542 | ||||||||||||
U.S. Treasury Security | — | 1,349 | — | 1,349 | ||||||||||||
Total Short-Term Investments | 1,542 | 1,349 | — | 2,891 | ||||||||||||
Futures Contract | 73 | — | — | 73 | ||||||||||||
Total Assets | 22,359 | 494,282 | — | 516,641 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures Contracts | (273 | ) | — | — | (273 | ) | ||||||||||
Total | $ | 22,086 | $ | 494,282 | $ | — | $ | 516,368 |
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2021:
Investment Type | Level 1 Unadjusted quoted prices (000) | Level 2 Other significant observable inputs (000) | Level 3 Significant unobservable inputs (000) | Total (000) | ||||||||||||
Strategic Income | ||||||||||||||||
Assets: | ||||||||||||||||
Fixed Income Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 6,393 | $ | — | $ | 6,393 | ||||||||
Collateralized Mortgage Obligations - Agency Collateral Series | — | 4 | — | 4 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 1,880 | — | 1,880 | ||||||||||||
Corporate Bonds | — | 11,798 | — | 11,798 | ||||||||||||
Mortgages - Other | — | 5,363 | — | 5,363 | ||||||||||||
Sovereign | — | 693 | — | 693 | ||||||||||||
Total Fixed Income Securities | — | 26,131 | — | 26,131 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Company | 1,260 | — | — | 1,260 | ||||||||||||
U.S. Treasury Security | — | 255 | — | 255 | ||||||||||||
Total Short-Term Investments | 1,260 | 255 | — | 1,515 | ||||||||||||
Foreign Currency Forward Exchange Contracts | — | 3 | — | 3 | ||||||||||||
Futures Contracts | 7 | — | — | 7 | ||||||||||||
Total Assets | 1,267 | 26,389 | — | 27,656 | ||||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Forward Exchange Contracts | — | (6 | ) | — | (6 | ) | ||||||||||
Futures Contracts | (16 | ) | — | — | (16 | ) | ||||||||||
Credit Default Swap Agreement | — | (5 | ) | — | (5 | ) | ||||||||||
Total Liabilities | (16 | ) | (11 | ) | — | (27 | ) | |||||||||
Total | $ | 1,251 | $ | 26,378 | $ | — | $ | 27,629 |
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2021:
Investment Type | Level 1 Unadjusted quoted prices (000) | Level 2 Other significant observable inputs (000) | Level 3 Significant unobservable inputs (000) | Total (000) | ||||||||||||
Ultra-Short Income | ||||||||||||||||
Assets: | ||||||||||||||||
Short-Term Investments | ||||||||||||||||
Certificates of Deposit | $ | — | $ | 1,004,191 | $ | — | $ | 1,004,191 | ||||||||
Commercial Paper | — | 2,070,065 | — | 2,070,065 | ||||||||||||
Corporate Bonds | — | 1,095,427 | — | 1,095,427 | ||||||||||||
Floating Rate Notes | — | 3,851,127 | — | 3,851,127 | ||||||||||||
Municipal Bond | — | 133,614 | — | 133,614 | ||||||||||||
Repurchase Agreements | — | 3,573,000 | — | 3,573,000 | ||||||||||||
Time Deposits | — | 152,000 | — | 152,000 | ||||||||||||
Total Short-Term Investments | — | 11,879,424 | — | 11,879,424 | ||||||||||||
Total Assets | $ | — | $ | 11,879,424 | $ | — | $ | 11,879,424 |
The following is a summary of the inputs used to value the Fund's investments as of December 31, 2021:
Investment Type | Level 1 Unadjusted quoted prices (000) | Level 2 Other significant observable inputs (000) | Level 3 Significant unobservable inputs (000) | Total (000) | ||||||||||||
Ultra-Short Municipal Income | ||||||||||||||||
Assets: | ||||||||||||||||
Short-Term Investments | ||||||||||||||||
Weekly Variable Rate Bonds | $ | — | $ | 67,100 | $ | — | $ | 67,100 | ||||||||
Daily Variable Rate Bonds | — | 21,000 | — | 21,000 | ||||||||||||
Closed-End Investment Companies | — | 11,400 | — | 11,400 | ||||||||||||
Floating Rate Notes | — | 8,800 | — | 8,800 | ||||||||||||
Quarterly Variable Rate Bonds | — | 16,700 | — | 16,700 | ||||||||||||
Commercial Paper | — | 21,150 | — | 21,150 | ||||||||||||
Municipal Bonds & Notes | — | 6,788 | — | 6,788 | ||||||||||||
Total Short-Term Investments | — | 152,938 | — | 152,938 | ||||||||||||
Total Assets | $ | — | $ | 152,938 | $ | — | $ | 152,938 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.