N-Q 1 file1.htm FORM N-Q

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number: 811-03870 Morgan Stanley U.S. Government Securities Trust (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, New York 10036 (Address of principal executive offices) (Zip code) Ronald E. Robison 522 Fifth Avenue, New York, New York 10036 (Name and address of agent for service) Registrant's telephone number, including area code: 212-296-6990 Date of fiscal year end: December 31, 2007 Date of reporting period: September 30, 2007 ITEM 1. SCHEDULE OF INVESTMENTS. The Fund's schedule of investments as of the close of the reporting period prepared pursuant to Rule 12-12 of Regulation S-X is as follows:

MORGAN STANLEY U.S. GOVERNMENT SECURITIES TRUST PORTFOLIO OF INVESTMENTS o SEPTEMBER 30, 2007 (UNAUDITED) PRINCIPAL DESCRIPTION AMOUNT IN AND COUPON THOUSANDS MATURITY DATE RATE VALUE ------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS (41.1%) U.S. Treasury Bonds (17.4%) $ 47,500 08/15/27 6.375% $ 56,380,315 102,500 02/15/27 6.625 124,593,567 57,500 02/15/25 7.625 75,760,792 5,200 08/15/21 8.125 6,908,283 7,840 02/15/20 8.50 10,540,519 72,965 08/15/20 8.75 100,361,095 4,750 02/15/15 11.25 6,764,670 -------------- 381,309,241 -------------- U.S. Treasury Notes (23.7%) 115,000 11/15/09 3.500 113,921,990 206,890 02/15/13 3.875 203,511,900 78,300 02/15/13** 3.875 76,996,618 20,000 11/15/14 ** 4.25 19,814,220 42,000 05/15/14 4.75 42,958,146 4,000 06/30/11 5.125 4,140,316 52,000 02/15/31 5.375 55,680,664 -------------- 517,023,854 -------------- TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost $903,593,870) 898,333,095 -------------- MORTGAGE-BACKED SECURITIES (41.0%) Federal Home Loan Mortgage Corp. (0.0%) 373 12/01/18 - 02/01/19 9.50 405,929 413 10/01/09 - 08/01/20 10.00 463,160 153 10/01/17 - 05/01/19 10.50 173,362 -------------- 1,042,451 -------------- Federal Home Loan Mortgage Corp. ARM (0.5%) 371 07/01/34 5.465 376,000 8,871 03/01/37 5.634 8,936,274 783 08/01/34 6.116 798,568 -------------- 10,110,842 -------------- Federal Home Loan Mortgage Corp. GOLD (0.1%) 469 07/01/28 - 02/01/33 6.50 480,864 1,517 11/01/26 - 05/01/33 7.50 1,586,955 227 11/01/23 - 02/01/31 8.00 240,257 -------------- 2,308,076 -------------- Federal National Mortgage Assoc. (20.2%) 1,800 01/01/08 3.92 1,790,414 115,150 * 5.00 109,806,349 62,500 05/01/37 5.50 61,228,389 162,100 * 5.50 158,749,056 2,780 06/01/29 - 02/01/33 6.50 2,849,123 82,600 * 6.50 84,110,052 4,276 10/01/13 - 07/01/34 7.00 4,445,925 13,800 * 7.00 14,243,579 2,706 01/01/22 - 09/01/35 7.50 2,835,432 1,808 12/01/21 - 02/01/32 8.00 1,910,342 265 07/01/24 - 05/01/25 8.50 284,873 26 09/01/16 - 07/01/23 9.00 27,741 26 03/01/20 - 01/01/21 9.50 28,507 -------------- 442,309,782 --------------

Federal National Mortgage Assoc. ARM (7.3%) 297 09/01/34 4.659 300,916 326 10/01/34 4.331 332,994 1,866 02/01/34 4.375 1,859,618 512 10/01/34 4.497 516,150 5,968 01/01/35 4.856 6,169,427 339 07/01/34 5.496 340,717 6,386 12/01/32 5.099 6,487,243 5,009 06/01/34 5.258 5,071,859 3,118 12/01/36 5.461 3,129,459 27,225 01/01/37 5.47 27,330,352 20,979 05/01/37 5.889 21,207,885 413 07/01/33 6.905 421,760 18,863 12/01/35 6.971 19,514,456 1,987 03/01/36 6.996 2,022,380 4,308 01/01/36 6.999 4,384,316 4,247 01/01/36 7.016 4,321,034 20,035 03/01/36 7.027 20,392,182 2,091 05/01/36 7.444 2,140,262 15,827 05/01/36 7.493 16,178,369 1,356 03/01/36 7.304 1,385,524 1,384 05/01/36 7.367 1,415,545 1,568 07/01/36 7.373 1,604,859 2,777 04/01/36 7.473 2,842,193 2,271 07/01/36 7.48 2,317,150 4,412 04/01/36 7.486 4,513,685 1,229 08/01/36 7.499 1,258,515 1,056 03/01/36 7.736 1,083,218 -------------- 158,542,068 -------------- Government National Mortgage Assoc. I (10.0%) 2,443 08/20/34 5.25 2,453,449 1,011 08/20/34 5.50 1,014,236 22,647 03/15/26 - 09/20/34 6.00 22,836,935 25,674 03/15/14 - 07/15/31 6.50 26,315,918 63,789 04/15/17 - 03/15/27 7.00 66,916,464 49,184 09/15/16 - 08/15/34 7.50 51,599,148 7,553 06/15/16 - 09/15/31 8.00 8,017,955 13,567 05/15/16 - 11/15/24 8.50 14,622,644 9,643 10/15/08 - 02/15/25 9.00 10,373,036 6,020 10/15/09 - 12/15/20 9.50 6,550,840 7,672 11/15/09 - 11/15/20 10.00 8,681,913 35 06/15/10 - 06/15/15 12.50 39,999 -------------- 219,422,537 -------------- Government National Mortgage Assoc. II (2.8%) 13,759 04/20/35 4.00 13,674,280 26,719 05/20/34 4.75 26,603,176 15,218 11/20/33 - 04/20/36 5.00 15,173,046 238 04/20/36 5.50 240,309 117 02/20/32 6.00 118,332 312 06/20/32 6.375 316,286 2,774 01/20/24 - 05/20/29 6.50 2,842,548 1,622 03/20/26 - 07/20/29 7.00 1,695,141 39 11/20/29 7.50 40,646 -------------- 60,703,764 -------------- Government National Mortgage Assoc. GPM I (0.0%) 396 09/15/13 - 07/15/15 12.25 446,421 -------------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $884,628,350) 894,885,941 --------------

COLLATERIZED MORTGAGE OBLIGTIONS (24.9%) U.S. GOVERNMENT AGENCIES (4.7%) Federal Home Loan Mortgage (0.6%) 1,333 Whole Loan 2005-S001 2A2 09/25/45 5.281+ 1,322,125 1,299 2778 FV 03/15/34 6.352+ 1,301,334 9,893 3216 MA 04/15/27 6.00+ 10,036,269 -------------- 12,659,728 -------------- Federal National Mortgage Assoc. (0.8%) 865 Grantor Trust 2004 - T5 A11 05/28/35 5.391+ 850,750 79 Grantor Trust 2004 - T5 A13 05/28/35 5.401+ 79,077 1,565 Whole Loan 2004-W1 1A4 11/25/43 5.50 1,559,540 1,490 Whole Loan 2005-W2 A1 05/25/35 5.331+ 1,481,784 1,508 2002-77 FH 12/18/32 6.013+ 1,513,524 1,688 2006-5 2A1 11/25/28 4.664+ 1,696,291 5,462 2006-118 A1 12/25/36 5.191+ 5,413,862 2,719 2006-118 A2 12/25/36 5.191+ 2,695,539 2,036 2006-28 1A1 03/25/36 5.241+ 2,023,395 25,972 2006-28 1P (IO) 03/25/36 1.74+ 535,672 -------------- 17,849,434 -------------- Government National Mortgage Assoc. (3.3%) 906 1999-44 FP (PAC) 06/16/27 6.152+ 906,498 3,009 2002-55 PD (PAC) 09/20/31 6.00 3,030,879 24,430 2002-23 PE (PAC) 04/16/32 6.50 25,178,384 2003-100 AB 02/20/26 5.00 5,791 2005-37 (IO) 11/16/32 5.50 861,077 41,979 2006-24 PA (PAC) 10/20/35 5.50 42,232,792 -------------- 72,209,630 -------------- TOTAL U.S. GOVERNMENT AGENCIES 102,718,792 -------------- PRIVATE ISSUES (20.2%) American Home Mortgage Assets 16,834 2006-2 2A2 09/25/46 5.361+ 16,607,945 13,476 2006-3 3A2 10/25/46 5.391+ 12,498,610 11,245 2007-2 A1 03/25/47 5.256+ 10,959,555 12,220 2007-1 GA2 05/25/47 5.371+ 11,946,387 9,718 2007-2 A2A 03/25/47 5.296+ 9,441,321 American Home Mortgage Investment Trust 20,108 2006-3 12A1 12/25/46 5.321+ 19,631,235 Bear Stearns Mortgage Funding Trust 10,697 2006-AR2 1A1 09/25/36 5.331+ 10,463,841 2,921 2006-AR5 1A1 12/25/36 5.291+ 2,866,650 1,927 2007-AR1 1A2 01/25/37 5.341+ 1,872,983 14,840 2007-AR2 A2 03/25/37 5.271+ 14,464,844 2,722 2007-AR3 1A1 03/25/37 5.331+ 2,649,944 Countrywide Alternative Loan Trust 12,036 2005-81 A2 02/25/37 5.481+ 11,719,248 18,093 2006-OA1 1A1 03/20/46 5.706+ 17,596,380 2,069 2006-OA2 A3 05/20/46 5.766+ 2,016,889 17,741 2006-OA8 1A2 07/25/46 5.361+ 17,262,403 1,927 2006-OA10 2A2 08/25/46 5.361+ 1,873,331 21,116 2006-OA12 A2 09/20/46 5.706+ 20,688,152 10,975 2006-OA22 A1 02/25/47 5.291+ 10,735,845 15,062 2006-OA22 A2 02/25/47 5.341+ 14,615,413 21,424 2007-OA3 1A2 04/25/47 5.311+ 20,843,640 Deutsche Alt-A Securities Inc Mortgage 20,210 2007-OA1 A1 02/25/47 5.281+ 19,764,638 Greenpoint Mortgage Funding Trust 2,072 2006-OH1 A2 01/25/37 5.361+ 2,007,091 21,743 2007-AR1 2A1A 03/25/47 5.331+ 21,290,045 Harborview Mortgage Loan Trust 5,017 2005-8 1A2A 09/19/35 5.832+ 4,942,739

2,659 2006-10 2A1A 11/19/36 5.682+ 2,602,815 12,008 2006-10 2A1B 11/19/36 5.742+ 11,714,538 2,790 2006-14 2A1A 03/19/38 5.652+ 2,722,313 21,389 2006-14 2A1B 03/19/38 5.702+ 20,762,795 1,681 2007 2A1B 04/19/38 5.311+ 1,627,898 Luminent Mortgage Trust 1,889 2006-4 A1B 05/25/46 5.361+ 1,848,332 21,376 2006-7 2A2 12/25/36 5.351+ 20,797,429 Residential Accredit Loans, Inc. 11,282 2006-QH1 A2 12/25/36 5.361+ 11,098,539 2,832 2006-QO10 A1 01/25/37 5.291+ 2,754,049 22,090 2006-QO10 A2 01/25/37 5.331+ 21,136,855 2,458 2007-QH1 A2 02/25/37 5.321+ 2,390,816 19,681 2007-QO3 A2 03/25/47 5.331+ 19,127,722 9,736 2007-Q04 A2 05/25/47 5.391+ 9,487,291 6,036 2007-Q04 A3 05/25/47 5.431+ 5,791,534 Structured Asset Mortgage Investments, Inc. 2,413 2007-AR1 1A2 01/25/37 5.341+ 2398369 20,276 2007-AR1 2A2 01/25/37 5.331+ 19,694,891 2,445 2007-AR2 1A2 02/25/37 5.321+ 2,379,666 WAMU Mortgage Pass - Through Certificates 1,987 2007-OA1 A1B 02/25/47 5.331+ 1,920,824 2,459 2007 - OA1CA1B 12/25/46 5.331+ 2,412,946 67,133 2007 - 0A2 1XPP (IO) 03/25/47 0.847+ 879,917 -------------- TOTAL PRIVATE ISSUES 442,308,668 -------------- TOTAL COLLATERIZED MORTGAGE OBLIGTIONS (Cost $557,838,566) 545,027,460 -------------- U.S. GOVERNMENT AGENCIES (10.4%) Federal Home Loan Bank 10,400 04/15/09 3.25 10,182,578 Federal Home Loan Mortgage Corp. 80,000 01/15/12 5.75 83,636,400 7,550 09/15/09 6.625 7,865,726 Federal National Mortgage Assoc. 80,000 03/15/12 6.125 84,952,560 1,350 06/15/10 7.125 1,442,420 1,550 01/15/10 7.25 1,645,429 Housing Urban Development Ser 99-A 18,800 08/01/10 6.06 19,016,407 15,290 08/01/11 6.16 15,504,748 Tennessee Valley Authority 2,235 05/01/30 7.125 2,774,031 -------------- TOTAL U.S. GOVERNMENT AGENCIES (Cost $224,860,430) 227,020,299 -------------- FOREIGN GOVERNMENT OBLIGATION (1.3%) 29,130 Egypt Government AID Bond 09/15/15 (Cost $28,581,657) 4.45 28,302,766 -------------- NUMBER OF CONTRACTS --------- PUT OPTIONS PURCHASED (0.0%) 156 90 day Euro $ Dec/2007 @ 94.75 (Cost $27,623) 15,600 -------------- PRINCIPAL AMOUNT IN THOUSANDS --------- SHORT-TERM INVESTMENTS (1.9%) U.S. GOVERNMENT OBLIGATION (a) (0.3%) U.S. Treasury Bills $5,900 7/12/07++ (Cost $5,818,213) 4.845 5,819,802 --------------

NUMBER OF SHARES (000) --------- INVESTMENT COMPANY (b) (1.6%) 36,359 Morgan Stanley Institutional Liquidity Government Portfolio - Institutional Class (Cost $36,359,443) 36,359,443 -------------- TOTAL SHORT-TERM INVESTMENTS (Cost $42,177,656) 42,179,245 -------------- TOTAL INVESTMENTS (Cost $2,641,708,152) (c) (d) 120.6% 2,635,764,406 LIABILITIES IN EXCESS OF OTHER ASSETS (20.6) (450,800,729) ------ -------------- NET ASSETS 100.0% $2,184,963,677 ====== ============== ---------- ARM Adjustable Rate Mortgage. GPM Graduated Payment Mortgage. IO Interest-only security. PAC Planned Amortization Class. * Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity. date; the actual principal amount and maturity date will be determined upon settlement. ** Securities purchased on a forward commitment basis. + Floating rate security, rate shown is the rate in effect at September 30, 2007. ++ A portion of this security has been physically segregated in connection with open futures contracts in an amount equal to $5,238,049. (a) Purchased on a discount basis. The interest rate shown has been adjusted to reflect a money market equivalent yield. (b) The Fund invests in Morgan Stanley Institutional Liquidity Government Portfolio - Institutional Class, an open-end management investment company managed by the Investment Adviser. Investment advisory fees paid by the Fund are reduced by an amount equal to the advisory and administrative service fees paid by Morgan Stanley Institutional Liquidity Government Portfolio - Institutional Class with respect to asset invested by the Fund in Morgan Stanley Institutional Government Portfolio - Institutional Class . Income distributions earned by the Fund totaled $1,028,453, for the period ended September 30, 2007. (c) Securities have been designated as collateral in an amount equal to $1,386,931,513 in connection with securities purchased on a forward commitment basis, open futures contracts and open swap contracts. (d) The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $17,075,504 and the aggregate gross unrealized depreciation is $23,019,250, resulting in net unrealized depreciation of $5,943,746.

FUTURES CONTRACTS OPEN AT SEPTEMBER 30, 2007: UNREALIZED NUMBER OF LONG/ DESCRIPTION,DELIVERY UNDERLYING FACE APPRECIATION CONTRACTS SHORT MONTH AND YEAR AMOUNT AT VALUE (DEPRECIATION) ------------------------------------------------------------------------------- 1,287 Long U.S. Treasury Notes 2 Year, December 2007 $266,469,335 $1,153,527 1,248 Short U.S. Treasury Notes 10 Year, December 2007 (136,383,000) 532,692 1,496 Short U.S. Treasury Notes 5 Year, December 2007 (160,118,750) (222,038) 3,230 Short U.S. Treasury Bonds 20 Year, December 2007 (359,640,313) 1,004,989 ---------- Net Unrealized Appreciation................... $2,469,170 ==========

INTEREST RATE SWAP CONTRACTS OPEN AT SEPTEMBER 30, 2007: NOTIONAL PAYMENTS PAYMENTS UNREALIZED AMOUNT RECEIVED MADE TERMINATION APPRECIATION SWAP CONTERPARTY (000'S) BY FUND BY FUND+ DATE (DEPRECIATION) -------------------------------------------------------------------------------------------------------------------- JPMorgan Chase N.A. New York $80,000 Fixed Rate 5.3585% Floating Rate 5.494% May 23, 2017 $1,001,600 Citibank N.A., New York 82,500 Fixed Rate 5.3375% Floating Rate 5.498% May 24, 2017 898,425 Goldman Sachs Co. 83,000 Fixed Rate 5.3405% Floating Rate 5.498% May 24, 2017 922,130 JPMorgan Chase N.A. New York 64,200 Fixed Rate 5.36% Floating Rate 5.36% July 19, 2017 2,575,062 JPMorgan Chase N.A. New York 74,000 Fixed Rate 5.064% Floating Rate 5.725% September 11, 2017 (865,800) Citibank N.A., New York 19,000 Fixed Rate 5.227% Floating Rate 5.20% September 27, 2017 35,720 ---------- Net Unrealized Appreciation............. $4,567,137 ========== ---------- + Floating rate represents USD - 3 month LIBOR.

ITEM 2. CONTROLS AND PROCEDURES. (a) The Fund's principal executive officer and principal financial officer have concluded that the Fund's 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 Commission's 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 Fund's internal control over financial reporting that occurred during the registrant's fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Fund's 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. 2

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 U.S. Government Securities Trust /s/ Ronald E. Robison --------------------------- Ronald E. Robison Principal Executive Officer November 20, 2007 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/ Ronald E. Robison --------------------------- Ronald E. Robison Principal Executive Officer November 20, 2007 /s/ Francis Smith --------------------------- Francis Smith Principal Financial Officer November 20, 2007 3

EXHIBIT 3 A1 CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER I, Ronald E. Robison, certify that: 1. I have reviewed this report on Form N-Q of Morgan Stanley U.S. Government Securities Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Omitted; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: November 20, 2007 /s/ Ronald E. Robison ---------------------------------------- Ronald E. Robison Principal Executive Officer 4

EXHIBIT 3 A2 CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER I, Francis Smith, certify that: 1. I have reviewed this report on Form N-Q of Morgan Stanley U.S. Government Securities Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Omitted; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: November 20, 2007 /s/ Francis Smith ---------------------------------------- Francis Smith Principal Financial Officer 5