Morgan Stanley Investment Funds - stockselection

73 Morgan Stanley Investment Funds 30 June 2009
European Currencies High Yield 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 1,850,000 EUR 2,638,494 USD (24,517) (0.03)
16/07/2009 7,786,253 EUR 10,960,000 USD (223) 0.00
16/07/2009 100,000 GBP 118,094 EUR (680) 0.00
16/07/2009 1,000,000 USD 717,464 EUR (7,019) (0.01)
16/07/2009 315,000 USD 226,050 EUR (2,259) 0.00
22/07/2009 592,269 EUR 500,000 GBP 5,206 0.01
22/07/2009 2,528,808 EUR 2,155,000 GBP (1,432) 0.00
22/07/2009 118,092 EUR 100,000 GBP 680 0.00
22/07/2009 245,000 GBP 288,649 EUR (988) 0.00
Total Forward Foreign Currency Exchange Contracts (31,232) (0.03)
Credit Default Swap Contracts
Risk
position
Amount
bought
Description Currency
Notional
amount
Amount
sold
Net unrealised
gain/(loss)
as at
30 June 2009
Maturity
date
Net unrealised
gain/(loss)
as at
30 June 2009
% of net
assets
% of
net
assets
Buy Accor 7.5% 04/02/14
(spread 1.95%) EUR 850,000 20/03/2014 (21,764) 0.00
Buy Accor 7.5% 04/02/14
(spread 2.05%) EUR 750,000 20/03/2014 (22,455) 0.00
Buy Carnival 6.65% 15/01/28 USD 900,000 20/06/2015 29,619 0.00
Buy Whirlpool 7.75% 07/16 USD 725,000 20/06/2014 34,683 0.01
Sell Arcelormittal
6.125% 01/06/18 EUR 1,000,000 20/03/2014 8,153 0.00
Sell Pernod Ricard Senior
4.625% 06/12/13 EUR 500,000 20/12/2013 (16,467) 0.00
Total Credit Default Swap Contracts 11,769 0.01
Total Derivatives (19,463) (0.02)
Other Assets less Liabilities 7,587,922 8.79
Total Net Asset Value 86,347,700 100.00
* Company is in liquidation since 2005.
(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.