Morgan Stanley Investment Funds - stockselection

69 Morgan Stanley Investment Funds 30 June 2009
Euro Strategic Bond Fund
DERIVATIVES
OTC and exchange traded derivatives as at 30 June 2009,
expressed in Euro.
Forward Foreign Currency Exchange Contracts
Maturity
date
09/07/2009 835,000 EUR 1,187,938 USD (8,970) (0.01)
13/07/2009 1,366,643 EUR 2,070,000 CHF 9,035 0.01
13/07/2009 6,950,000 NOK 775,556 EUR (7,817) (0.01)
13/07/2009 2,400,000 NOK 370,478 USD 1,914 0.00
16/07/2009 150,000 AUD 86,929 EUR (739) 0.00
16/07/2009 580,000 AUD 473,164 USD (2,892) 0.00
16/07/2009 85,790 EUR 150,000 AUD (399) 0.00
16/07/2009 2,647,581 EUR 3,725,000 USD 1,174 0.00
16/07/2009 209,037 EUR 290,000 USD 3,008 0.00
16/07/2009 35,881 EUR 50,000 USD 359 0.00
16/07/2009 100,000 GBP 118,094 EUR (680) 0.00
16/07/2009 466,216 USD 580,000 AUD (2,045) 0.00
22/07/2009 316,834 EUR 270,000 GBP (179) 0.00
22/07/2009 118,092 EUR 100,000 GBP 680 0.00
22/07/2009 503,202 EUR 5,700,000 ZAR (19,600) (0.02)
22/07/2009 846,229 USD 1,640,000 BRL 5,190 0.00
Total Forward Foreign Currency Exchange Contracts (21,961) (0.03)
Futures Contracts
Description
Maturity
date
Amount
bought
Number of
contracts
Euro BOBL Future 09/2009 8 922,320 5,475 0.01
Euro SCHATZ Future 09/2009 95 10,246,225 429 0.00
Total Futures Contracts 11,168,545 1 5,904 0.01
1 Cash of EUR 1,792,943 held as collateral.
Amount
sold
Net unrealised
gain/(loss)
as at
30 June 2009
Net unrealised
Notional gain as at
commitments 30 June 2009
% of net
assets
% of net
assets
Credit Default Swap Contracts
Risk
position
Description Currency
Notional
amount
Buy ABB International Finance
6.5% 30/11/11 EUR 2,000,000 20/09/2012 29,564 0.03
Buy Accor 7.5% 04/02/14
(spread 1.95%) EUR 500,000 20/03/2014 (12,802) (0.01)
Buy Accor 7.5% 04/02/14
(spread 2.05%) EUR 500,000 20/03/2014 (14,970) (0.01)
Buy Carnival 6.65% 15/01/28 USD 500,000 20/06/2015 16,454 0.02
Buy Goldman Sachs Group
6.6% 15/01/12 EUR 500,000 20/06/2013 13,196 0.01
Buy Koninklijke DSM
4.0% 10/11/15 EUR 500,000 20/12/2013 (10,137) (0.01)
Buy Merrill Lynch & Co
5% 15/01/15 EUR 400,000 20/06/2013 16,875 0.02
Buy Sealed Air
5.625% 15/07/13 USD 415,000 20/03/2018 2,554 0.00
Buy WPP 2005 6% 04/04/17 EUR 1,000,000 20/06/2015 54,025 0.05
Sell Arcelormittal
6.125% 01/06/18 EUR 500,000 20/03/2014 4,077 0.00
Sell Itraxx Europe Senior
Financials Series 9 EUR 2,400,000 20/06/2013 48,976 0.05
Total Credit Default Swap Contracts 147,812 0.15
Cash of EUR 160,000 paid as collateral to different parties.
Maturity
date
Net unrealised
gain/(loss)
as at
30 June 2009
% of
net
assets
Total Derivatives 131,755 0.13
Other Assets less Liabilities 5,379,230 4.96
Total Net Asset Value 108,165,924 100.00
(1) These securities are valued at their fair value. See note 2(a) within the Notes to the Financial
Statements.
(3) Variable coupon rates are those quoted as of 30 June 2009.
(4) The country in brackets represents the country of incorporation of this security.