Interest Rate Swap Agreements Open at July 31, 2013:
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SWAP COUNTERPARTY
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NOTIONAL
AMOUNT
(000)
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FLOATING RATE
INDEX
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PAY/
RECEIVE
FLOATING
RATE
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FIXED
RATE
|
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TERMINATION
DATE
|
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UNREALIZED
APPRECIATION
(DEPRECIATION)
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Bank of America
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$
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1,480
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3 Month LIBOR
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Receive
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2.04
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%
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02/13/23
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$
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73,384
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CME Group Inc.*
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10,337
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3 Month LIBOR
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Receive
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0.48
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08/01/15
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256
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Deutsche Bank
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NZD
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22,440
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3 Month NZBBR
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Pay
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4.14
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07/27/16
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(40,467
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)
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Deutsche Bank
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$
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1,085
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3 Month LIBOR
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Receive
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2.80
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05/01/43
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166,629
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Goldman Sachs
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1,960
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3 Month LIBOR
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Receive
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2.09
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02/15/23
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88,379
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Royal Bank of Canada
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2,080
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3 Month LIBOR
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Receive
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2.06
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02/06/23
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98,283
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UBS AG
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1,100
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3 Month LIBOR
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Receive
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2.90
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05/13/43
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148,371
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Net Unrealized Appreciation
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$
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534,835
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LIBOR
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London Interbank Offered Rate.
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NZBBR
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New Zealand Bank Bill Rate.
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Credit rating as issued by Standard & Poors.
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*
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Centrally Cleared Swap Agreement.
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Currency Abbreviations:
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AUD
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Australian Dollar.
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BRL
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Brazilian Real.
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CAD
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Canadian Dollar.
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CHF
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Swiss Franc.
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CLP
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Chilean Peso.
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CNY
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Chinese Yuan Renminbi.
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COP
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Colombian Peso.
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DKK
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Danish Krone.
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EUR
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Euro.
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GBP
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British Pound.
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HKD
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Hong Kong Dollar.
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JPY
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Japanese Yen.
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MXN
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Mexican New Peso.
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MYR
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Malaysian Ringgit.
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NOK
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Norwegian Krone.
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NZD
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New Zealand Dollar.
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PLN
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Polish Zloty.
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RUB
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Russian Ruble.
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SEK
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Swedish Krona.
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ZAR
|
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South African Rand.
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Morgan Stanley Global Fixed Income Opportunities Fund
Notes to Portfolio of Investments
n
July 31, 2013 (unaudited)
Valuation of Investments
- (1) Certain portfolio securities may be valued by an outside
pricing service approved by the Funds Board of Trustees (the Trustees). The pricing service may utilize a matrix system or other model incorporating attributes such as security quality, maturity and coupon as the evaluation model
parameters, and/or research evaluations by its staff, including review of broker-dealer market price quotations in determining what it believes is the fair valuation of the portfolio securities valued by such pricing service; (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), if there were no sales on a given day, the security is
valued at the mean between the last reported bid and asked prices; (3) all other equity portfolio securities for which over-the-counter market quotations are readily available are valued at the mean between the last reported bid and asked
prices. In cases where a security is traded on more than one exchange, the security is valued on the exchange designated as the primary market; (4) when market quotations are not readily available, including circumstances under which Morgan
Stanley Investment Management Inc. (the Adviser) or Morgan Stanley Investment Management Limited (the Sub-Adviser), each a wholly owned subsidiary of Morgan Stanley, determines that the last sale price or the mean between the
last reported bid and asked prices are not reflective of a securitys fair value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Trustees.
Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the
close of business on the New York Stock Exchange (NYSE). If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value
of such securities as of the close of the NYSE, as determined in good faith by the Trustees or by the Adviser using a pricing service and/or procedures approved by the Trustees; (5) futures are valued at the latest price published by the
commodities exchange on which they trade; (6) swaps are marked-to-market daily based upon quotations from market makers; (7) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net
asset value as of the close of each business day; (8) short-term debt securities with remaining maturities of 60 days or less at the time of purchase may be valued at amortized cost, unless the Adviser determines such valuation does not reflect
the securities market value, in which case these securities will be valued at their fair market value determined by the Adviser; and (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.
Under procedures approved
by the Trustees, the Funds Adviser has formed a Valuation Committee. The Valuation Committee provides administration and oversight of the Funds valuation policies and procedures, which are reviewed at least annually by the Trustees.
These procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.
The Fund has procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available. Under
these procedures, the Valuation Committee convenes on a regular and ad hoc basis to review such securities and considers a number of factors, including valuation methodologies and significant unobservable valuation inputs, when arriving at fair
value. The Valuation Committee may employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair
value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any
restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed. The Valuation
Committee employs various methods for calibrating these valuation approaches including a regular review of valuation methodologies, key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market
activity.
Fair Valuation Measurements
Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 820,
Fair Value Measurements and Disclosures
(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 entitys 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 Funds 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 Funds 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 issuers 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 Funds investments as of July 31, 2013.
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Investment Type
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Level 1
Unadjusted
quoted
prices
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Level 2
Other significant
observable
inputs
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Level 3
Significant
unobservable
inputs
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Total
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Assets:
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Fixed Income Securities
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Corporate Bonds
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$
|
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$
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37,555,562
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$
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$
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37,555,562
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Sovereign
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24,633,181
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24,633,181
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Agency Fixed Rate Mortgages
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341,353
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341,353
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Asset-Backed Security
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421,897
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421,897
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Mortgages - Other
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12,761,907
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12,761,907
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Commercial Mortgage-Backed Securities
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722,588
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722,588
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Collateralized Mortgage Obligation - Agency Collateral Series
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485,033
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485,033
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Total Fixed Income Securities
|
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|
|
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76,921,521
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76,921,521
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Convertible Preferred Stocks
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569,030
|
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569,030
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Short-Term Investments
|
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Investment Company
|
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10,375,187
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10,375,187
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Repurchase Agreements
|
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1,925,437
|
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1,925,437
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Total Short-Term Investments
|
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10,375,187
|
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1,925,437
|
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12,300,624
|
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Foreign Currency Forward Exchange Contracts
|
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261,293
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261,293
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Futures Contracts
|
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|
766
|
|
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766
|
|
Credit Default Swap Agreements
|
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|
15,504
|
|
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|
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15,504
|
|
Interest Rate Swap Agreements
|
|
|
|
|
|
|
575,302
|
|
|
|
|
|
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|
575,302
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Total Assets
|
|
|
10,944,983
|
|
|
|
79,699,057
|
|
|
|
|
|
|
|
90,644,040
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Currency Forward Exchange Contracts
|
|
|
|
|
|
|
(373,847
|
)
|
|
|
|
|
|
|
(373,847
|
)
|
Futures Contracts
|
|
|
(305,713
|
)
|
|
|
|
|
|
|
|
|
|
|
(305,713
|
)
|
Credit Default Swap Agreements
|
|
|
|
|
|
|
(28,416
|
)
|
|
|
|
|
|
|
(28,416
|
)
|
Interest Rate Swap Agreements
|
|
|
|
|
|
|
(40,467
|
)
|
|
|
|
|
|
|
(40,467
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
Total Liabilities
|
|
|
(305,713
|
)
|
|
|
(442,730
|
)
|
|
|
|
|
|
|
(748,443
|
)
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
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Total
|
|
$
|
10,639,270
|
|
|
$
|
79,256,327
|
|
|
$
|
|
|
|
$
|
89,895,597
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Includes one security which is valued at zero.
|
Transfers between investment levels may occur as the
markets fluctuate and/or the availability of data used in an investments valuation changes. The Fund recognizes transfers between the levels as of the end of the period. As of July 31, 2013, the Fund did not have any investments transfer
between investment levels.
Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair
value:
|
|
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Corporate
Bond
|
|
Beginning Balance
|
|
$
|
|
|
Purchases
|
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|
|
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Sales
|
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|
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Amortization of discount
|
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|
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Transfers in
|
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Transfers out
|
|
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|
|
Change in unrealized appreciation/depreciation
|
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|
|
Realized gains (losses)
|
|
|
|
|
|
|
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|
|
Ending Balance
|
|
$
|
|
|
|
|
|
|
|
Net change in unrealized appreciation/depreciation from investments still held as of July 31, 2013
|
|
$
|
|
|
|
|
|
|
|
|
Includes one security which is valued at zero.
|
Item 2. Controls and Procedures.
(a) The Funds principal executive officer and principal financial officer have concluded that the Funds disclosure controls and procedures are
sufficient to ensure that information required to be disclosed by the Fund in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms, based
upon such officers evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
(b) There were no
changes in the Funds internal control over financial reporting that occurred during the registrants fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Funds internal control over
financial reporting.
Item 3. Exhibits.
(a) A
separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Morgan Stanley Global Fixed Income Opportunities Fund
|
/s/ John Gernon
|
John Gernon
|
Principal Executive Officer
|
September 17, 2013
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940,
this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
/s/ John Gernon
|
John Gernon
|
Principal Executive Officer
|
September 17, 2013
|
|
/s/ Francis Smith
|
Francis Smith
|
Principal Financial Officer
|
September 17, 2013
|
ENZYMOTEC LTD. (NASDAQ:ENZY)
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