N-CSR 1 tm2227756d1_ncsr.htm N-CSR

 

 

 

UNITED STATES 

SECURITIES AND EXCHANGE COMMISSION 

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED 

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-03980

 

Morgan Stanley Institutional Fund Trust

(Exact name of registrant as specified in charter)

 

522 Fifth Avenue, New York, New York 10036
(Address of principal executive offices) (Zip code)

  

John H. Gernon 

522 Fifth Avenue, New York, New York 10036 

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 212-296-0289

 

Date of fiscal year end: September 30,

 

Date of reporting period: September 30, 2022

 

 

 

 

 

 

Item 1 - Report to Shareholders

 

 

 

Morgan Stanley Institutional Fund Trust

Core Plus Fixed Income Portfolio

Annual Report

September 30, 2022


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Table of Contents (unaudited)

Shareholders' Letter

   

2

   

Expense Example

   

3

   

Investment Overview

   

4

   

Portfolio of Investments

   

7

   

Statement of Assets and Liabilities

   

18

   

Statement of Operations

   

20

   

Statements of Changes in Net Assets

   

21

   

Financial Highlights

   

23

   

Notes to Financial Statements

   

28

   

Report of Independent Registered Public Accounting Firm

   

40

   

Investment Advisory Agreement Approval

   

41

   

Liquidity Risk Management Program

   

43

   

Federal Tax Notice

   

44

   

U.S. Customer Privacy Notice

   

45

   

Trustee and Officer Information

   

48

   

This report is authorized for distribution only when preceded or accompanied by a prospectus or summary prospectus of the applicable Fund of the Morgan Stanley Institutional Fund Trust. To receive a prospectus and/or statement of additional information ("SAI"), which contains more complete information such as investment objectives, charges, expenses, policies for voting proxies, risk considerations and describes in detail each of the Fund's investment policies to the prospective investor, please call toll free 1 (800) 548-7786. Please read the prospectuses carefully before you invest or send money.

Additionally, you can access information about the Fund, including performance, characteristics and investment team commentary, through Morgan Stanley Investment Management's website: www.morganstanley.com/im/shareholderreports.

Market forecasts provided in this report may not necessarily come to pass. There is no guarantee that any sectors mentioned will continue to perform as discussed herein or that securities in such sectors will be held by the Fund in the future. There is no assurance that a fund will achieve its investment objective. Funds are subject to market risk, which is the possibility that market values of securities owned by the Fund will decline and, therefore, the value of the Fund's shares may be less than what you paid for them. Accordingly, you can lose money investing in this Fund. Please see the prospectus for more complete information on investment risks.


1


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Shareholders' Letter (unaudited)

Dear Shareholders,

We are pleased to provide this Annual Report, in which you will learn how your investment in Core Plus Fixed Income Portfolio (the "Fund") performed during the latest twelve-month period.

Morgan Stanley Investment Management is a client-centric, investor-led organization. Our global presence, intellectual capital, and breadth of products and services enable us to partner with investors to meet the evolving challenges of today's financial markets. We aim to deliver superior investment service and to empower our clients to make the informed decisions that help them reach their investment goals.

As always, we thank you for selecting Morgan Stanley Investment Management, and look forward to working with you in the months and years ahead.

Sincerely,

John H. Gernon
President and Principal Executive Officer

October 2022


2


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Expense Example (unaudited)

Core Plus Fixed Income Portfolio

As a shareholder of the Fund, you may incur two types of costs: (1) transactional costs, including sales charge (loads) on purchase payments; and (2) ongoing costs, which may include advisory fees, administration fees, distribution and shareholder services fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This example is based on an investment of $1,000 invested at the beginning of the six-month period ended September 30, 2022 and held for the entire six-month period.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Actual Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads, if applicable). Therefore, the information for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

    Beginning
Account
Value
4/1/22
  Actual Ending
Account
Value
9/30/22
  Hypothetical
Ending Account
Value
  Actual
Expenses
Paid
During
Period*
  Hypothetical
Expenses Paid
During Period*
  Net
Expense
Ratio
During
Period**
 

Core Plus Fixed Income Portfolio Class I

 

$

1,000.00

   

$

898.10

   

$

1,023.01

   

$

1.95

   

$

2.08

     

0.41

%

 

Core Plus Fixed Income Portfolio Class A

   

1,000.00

     

897.70

     

1,021.51

     

3.38

     

3.60

     

0.71

   

Core Plus Fixed Income Portfolio Class L

   

1,000.00

     

895.70

     

1,020.00

     

4.80

     

5.11

     

1.01

   

Core Plus Fixed Income Portfolio Class C

   

1,000.00

     

894.50

     

1,017.80

     

6.89

     

7.33

     

1.45

   

Core Plus Fixed Income Portfolio Class R6(1)

   

1,000.00

     

899.20

     

1,023.26

     

1.71

     

1.83

     

0.36

   

*  Expenses are calculated using each Fund Class' annualized net expense ratio (as disclosed), multiplied by the average account value over the period and multiplied by 183/365 (to reflect the most recent one-half year period).

**  Annualized.

(1)  Effective April 29, 2022, Class IS shares were renamed Class R6 shares.


3


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Investment Overview (unaudited)

Core Plus Fixed Income Portfolio

The Fund seeks above-average total return over a market cycle of three to five years.

Performance

For the fiscal year ended September 30, 2022, the Fund's Class I shares had a total return based on net asset value and reinvestment of distributions per share of –15.58%, net of fees. The Fund's Class I shares underperformed against the Fund's benchmark, the Bloomberg U.S. Aggregate Indexi (the "Index"), which returned –14.60%.

Factors Affecting Performance

•  Government bond yields rose significantly over the period in the U.S. and throughout the world as central banks turned hawkish in their fight against inflation. This had a positive impact on performance as the Fund held a short duration position (i.e., less sensitivity to interest rate movements) in the U.S. versus the Index.

•  Over the period, the portfolio's investment grade corporate bond positioning and allocation to high yield corporate bonds detracted from relative performance as credit spreads continued to widen over the period. The allocation to convertible bonds also detracted on the back of weaker equities, rising yields and widening spreads.

•  Overall securitized sector positioning detracted from relative performance during the period as securitized spreads widened amid an increasingly challenging and volatile market. The allocation to non-agency residential mortgage-backed securities (RMBS) and the overweight positioning to asset-backed securities (ABS) were the main detractors. The non-agency commercial mortgage-backed securities (CMBS) overweight also detracted. However, our agency RMBS underweight helped relative performance as they also underperformed similar duration Treasuries.

•  With regard to currencies, the portfolio's long positions in emerging markets currencies (particularly Egyptian pound, Hungarian forint, Polish zloty, South African rand, Russian ruble and Czech koruna) detracted as the currencies

depreciated versus the U.S. dollar over the year against a weakening economic outlook and geopolitical turmoil in Eastern Europe.

Management Strategies

•  The broad message from central banks during September 2022 was that a pivot (where they reverse course and start cutting interest rates) is not coming anytime soon. They are committed to fulfilling their promise to bring inflation down. Despite concerns regarding a slowdown in economic growth, they indicated that they will not waver from their tightening policy, as long as inflation remains well above their targets. Therefore, it seems increasingly likely that an economic slowdown, and maybe even a recession, is ahead for the U.S. economy. As a result, interest rates are likely to remain higher for longer, but volatility across markets is likely to continue as uncertainty remains.

•  Looking forward, market valuations appear to be pricing a very negative outcome for corporate downgrades and defaults. Our base case view is that we are well compensated to own credit, as we view corporate fundamentals to be relatively resilient. Companies have built liquidity in recent quarters and implemented cost efficiencies under the COVID-era. We expect profit margins to be pressured and top-line revenue to be challenging, but given the starting point, we believe corporates can manage a slowdown without significant downgrades or defaults. Our base case scenario is low defaults and a mild recession. Risk management remains focused on the tail risk, seeking to avoid exposure to large, unexpected risks. We believe catalysts for a rally in corporate spreads from these levels will likely be driven by a change in sentiment if central banks pivot to a more balanced policy where growth is given increased consideration alongside the current singular focus on containing inflation.

•  Agency mortgage-backed securities (MBS) spreads continue to widen and now look attractive from both a historical and fundamental value perspective

i  "Bloomberg®" and the Bloomberg Index/Indices used are service marks of Bloomberg Finance L.P. and its affiliates, and have been licensed for use for certain purposes by Morgan Stanley Investment Management (MSIM). Bloomberg is not affiliated with MSIM, does not approve, endorse, review, or recommend any product, and does not guarantee the timeliness, accurateness, or completeness of any data or information relating to any product.


4


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Investment Overview (unaudited) (cont'd)

Core Plus Fixed Income Portfolio

in our view, but credit spreads on many securitized credit sectors have widened even further this year and also look compelling. Overall, we believe agency MBS represent fair to potentially cheap value at current spreads. However, markets tend to overshoot, and we believe agency MBS spreads could widen further in 2022 as the Federal Reserve lets its balance sheet run off.

•  Our fundamental outlook on securitized credit remains positive, and we believe spreads now offer attractive premiums for risk. Credit spreads for many securitized sectors remain at levels last seen at the depths of the pandemic, but credit conditions appear materially better today than during that period. We believe the large majority of spread widening in 2022 has been due to supply-demand dynamics, with near-record issuance during the first half of the year and tepid investor demand given rising rates and declining asset values, rather than fundamental credit concerns. The U.S. housing market remains strong, up 16% over the past year and up more than 35% over the past two years.ii We believe U.S. home prices will remain stable in the near future given the strong supply-demand dynamics, but we could be seeing near-term home price peaks currently. We favor multi-family housing, logistics, high-quality office buildings and high credit quality within the CMBS sector. In ABS we favor mortgage-servicing assets, collateralized loan obligations and aircraft, as wider spreads look more compelling.

•  The macro environment remains quite challenging for emerging markets debt, with hawkish monetary policy from most central banks, slowing global growth, a strong U.S. dollar, China slowing and the ongoing Russia-Ukraine war. We expect the macro environment to continue to drive market sentiment. That said, valuations across the emerging markets

debt universe seem to be pricing in these risks more aggressively than many other areas of global capital markets. Commodity prices eased on the heels of a large pullback in oil prices and remain an important factor for the global economy and emerging markets debt, in particular. The Russia-Ukraine war continues to represent a large-scale humanitarian tragedy. The direction of the conflict — further escalation, peace talks and everything in between — will continue to weigh on all markets. China's zero-COVID policy and ongoing stress in its property sector continue to represent notable challenges for the world's second largest economy. We expect markets to place an emphasis on differentiation among countries and credits.

*  Minimum Investment

In accordance with SEC regulations, the Fund's performance shown assumes that all recurring fees (including management fees) were deducted and all dividends and distributions were reinvested. The performance of Class A, Class L, Class C and Class R6 shares will vary from the performance of Class I shares based upon their different inception dates and will be negatively impacted by additional fees assessed to those classes (where applicable).

ii  Source: S&P CoreLogic Case-Shiller U.S. National Home Price NSA Index. Data as of September 30, 2022.


5


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Investment Overview (unaudited) (cont'd)

Core Plus Fixed Income Portfolio

Performance Compared to the Bloomberg U.S. Aggregate Index1 and the Lipper Core Plus Bond Funds Index2

    Period Ended September 30, 2022
Total Returns(3)
 
       

Average Annual

 
    One
Year
  Five
Years
  Ten
Years
  Since
Inception(9)
 
Fund — Class I Shares
w/o sales charges(4)
   

–15.58

%

   

0.13

%

   

2.58

%

   

6.35

%

 
Fund — Class A Shares
w/o sales charges(5)
   

–15.75

     

–0.19

     

2.23

     

3.92

   
Fund — Class A Shares with
maximum 3.25% sales charges(5)
   

–18.51

     

–0.86

     

1.90

     

3.78

   
Fund — Class L Shares
w/o sales charges(6)
   

–16.05

     

–0.47

     

1.98

     

2.33

   
Fund — Class C Shares
w/o sales charges(7)
   

–16.32

     

–0.88

     

     

1.05

   
Fund — Class C Shares with
maximum 1.00% deferred
sales charges(7)
   

–17.14

     

–0.88

     

     

1.05

   
Fund — Class R6 Shares
w/o sales charges(8)
   

–15.46

     

     

     

0.42

   

Bloomberg U.S. Aggregate Index

   

–14.60

     

–0.27

     

0.89

     

6.06

   

Lipper Core Plus Bond Funds Index

   

–15.38

     

0.02

     

1.38

     

   

Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Performance assumes that all dividends and distributions, if any, were reinvested. For the most recent month-end performance figures, please visit www.morganstanley.com/im/shareholderreports. Investment returns and principal value will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. Total returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of share classes will vary due to differences in sales charges and expenses. The Fund returns are calculated based on the net asset value as of the last business day of the period.

(1)  The Bloomberg U.S. Aggregate Index tracks the performance of U.S. government agency and Treasury securities, investment-grade corporate debt securities, agency mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index.

(2)  The Lipper Core Plus Bond Funds Index is an equally weighted performance index of the largest qualifying funds (based on net assets) in the Lipper Core Plus Bond Funds classification. The Index, which is adjusted for capital gains distributions and income dividends, is unmanaged and should not be considered an investment. There are currently 30 funds represented in this Index. As of the date of this report, the Fund was in the Lipper Core Plus Bond Funds classification.

(3)  Total returns for the Fund reflect expenses waived and/or reimbursed, if applicable, by the Adviser. Without such waivers and/or reimbursements, total returns would have been lower.

(4)  Commenced operations on November 14, 1984.

(5)  Commenced offering on November 7, 1996.

(6)  Commenced offering on April 27, 2012.

(7)  Commenced offering on April 30, 2015.

(8)  Commenced offering on June 15, 2018. Effective April 29,2022, Class IS shares were renamed to Class R6 shares.

(9)  For comparative purposes, average annual since inception returns listed for the Indexes refer to the inception date of Class I of the Fund, not the inception of the Indexes.


6


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments

Core Plus Fixed Income Portfolio

    Face
Amount
(000)
  Value
(000)
 

Fixed Income Securities (99.1%)

 

Agency Adjustable Rate Mortgage (0.0%) (a)

 
Federal Home Loan Mortgage Corporation,
Conventional Pool:
12 Month USD LIBOR + 1.63%,
3.39%, 7/1/45
 

$

6

   

$

6

   

Agency Fixed Rate Mortgages (20.8%)

 

Federal Home Loan Mortgage Corporation,

 

Conventional Pools:

 

2.00%, 10/1/51

   

411

     

325

   

2.50%, 11/1/49

   

621

     

526

   

3.00%, 11/1/49 - 12/1/49

   

422

     

365

   

3.50%, 8/1/49

   

166

     

149

   

4.00%, 4/1/49 - 11/1/49

   

579

     

541

   

4.50%, 2/1/49

   

338

     

326

   

Gold Pools:

 

3.00%, 3/1/47 - 6/1/49

   

1,224

     

1,087

   

3.50%, 1/1/44 - 4/1/49

   

818

     

751

   

4.00%, 6/1/44 - 1/1/48

   

316

     

301

   

5.41%, 7/1/37 - 8/1/37

   

11

     

11

   

5.44%, 1/1/37 - 2/1/38

   

40

     

40

   

5.46%, 5/1/37 - 1/1/38

   

39

     

39

   

5.48%, 8/1/37

   

10

     

10

   

5.50%, 8/1/37 - 11/1/37

   

46

     

47

   

5.52%, 10/1/37

   

5

     

5

   

5.62%, 12/1/36 - 8/1/37

   

46

     

46

   

6.00%, 10/1/36 - 8/1/38

   

46

     

47

   

6.50%, 12/1/25 - 8/1/33

   

51

     

53

   

7.00%, 6/1/28 - 11/1/31

   

21

     

21

   

Federal National Mortgage Association,

 

Conventional Pools:

 

2.00%, 11/1/51

   

2,196

     

1,732

   

2.50%, 2/1/50 - 2/1/52

   

5,472

     

4,520

   

3.00%, 6/1/40 - 1/1/50

   

3,025

     

2,652

   

3.50%, 8/1/45 - 1/1/50

   

3,173

     

2,899

   

4.00%, 11/1/41 - 9/1/49

   

2,666

     

2,519

   

4.50%, 3/1/41 - 8/1/49

   

1,066

     

1,022

   

5.00%, 3/1/41

   

83

     

81

   

5.50%, 6/1/35 - 1/1/37

   

31

     

32

   

5.62%, 12/1/36

   

18

     

18

   

6.50%, 4/1/24 - 1/1/34

   

435

     

449

   

7.00%, 5/1/28 - 12/1/33

   

65

     

67

   

9.50%, 4/1/30

   

18

     

18

   

October TBA:

 

2.50%, 10/1/52 (b)

   

7,550

     

6,337

   

3.50%, 10/1/52 (b)

   

30,000

     

27,007

   

4.00%, 10/1/52 (b)

   

11,250

     

10,442

   

4.50%, 10/1/52 (b)

   

38,575

     

36,758

   

5.00%, 10/1/52 (b)

   

9,325

     

9,086

   

5.50%, 10/1/52 (b)

   

13,625

     

13,546

   

Government National Mortgage Association,

 

October TBA:

 

3.00%, 10/20/52 (b)

   

9,475

     

8,377

   
    Face
Amount
(000)
  Value
(000)
 

Various Pools:

 

3.50%, 11/20/40 - 7/20/49

 

$

819

   

$

753

   

4.00%, 8/20/41 - 11/20/49

   

2,223

     

2,101

   

4.50%, 4/20/49 - 7/20/49

   

266

     

254

   

5.00%, 12/20/48 - 2/20/49

   

27

     

26

   

6.50%, 5/15/40

   

234

     

246

   
     

135,632

   

Asset-Backed Securities (13.0%)

 

AASET 2018-2 US Ltd.,

 

4.45%, 11/18/38 (c)

   

2,452

     

2,034

   

AIMCO CLO,

 

Series 2018-B

 
3 Month USD LIBOR + 1.10%,
3.61%, 1/15/32 (c)(d)
   

3,600

     

3,504

   

Allegro CLO XI Ltd.,

 
3 Month USD LIBOR + 1.39%,
4.13%, 1/19/33 (c)(d)
   

2,150

     

2,095

   

American Homes 4 Rent Trust,

 

6.07%, 10/17/52 (c)

   

1,001

     

992

   

Aqua Finance Trust,

 

3.47%, 7/16/40 (c)

   

900

     

838

   

BCMSC Trust,

 

7.51%, 1/15/29 (d)

   

1,301

     

1,174

   

Benefit Street Partners CLO XX Ltd.,

 
3 Month USD LIBOR + 1.17%,
3.68%, 7/15/34 (c)(d)
   

3,685

     

3,543

   

Blackbird Capital Aircraft,

 

2.44%, 7/15/46 (c)

   

1,382

     

1,118

   
Blackbird Capital Aircraft Lease
Securitization Ltd.,
 

5.68%, 12/16/41 (c)

   

711

     

545

   

Cascade MH Asset Trust,

 

4.00%, 11/25/44 (c)(d)

   

1,162

     

1,091

   

Cologix Data Centers US Issuer LLC,

 

3.30%, 12/26/51 (c)

 

CAD

2,125

     

1,899

   

4.94%, 1/25/52 (c)

 

$

3,600

     

2,415

   

Conn's Receivables Funding LLC,

 

2.87%, 5/15/26 (c)

   

1,300

     

1,268

   

9.52%, 12/15/26 (c)

   

3,500

     

3,490

   

Consumer Loan Underlying Bond Credit Trust,

 

4.41%, 10/15/26 (c)

   

763

     

759

   

4.66%, 7/15/26 (c)

   

399

     

394

   

ContiMortgage Home Equity Loan Trust,

 

8.10%, 8/15/25

   

18

     

14

   

Diamond Resorts Owner Trust,

 

4.02%, 2/20/32 (c)

   

452

     

436

   

ELFI Graduate Loan Program LLC,

 

4.51%, 8/26/47 (c)

   

1,590

     

1,534

   

Falcon Aerospace Ltd.,

 

3.60%, 9/15/39 (c)

   

719

     

573

   

FCI Funding LLC,

 

3.63%, 2/18/31 (c)

   

33

     

33

   

The accompanying notes are an integral part of the financial statements.
7


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

    Face
Amount
(000)
  Value
(000)
 

Asset-Backed Securities (cont'd)

 

Foundation Finance Trust,

 

3.86%, 11/15/34 (c)

 

$

202

   

$

198

   

FREED ABS Trust,

 

5.39%, 6/18/26 (c)

   

967

     

967

   

GAIA Aviation Ltd.,

 

7.00%, 12/15/44 (c)

   

1,462

     

818

   

GCI Funding I LLC,

 

2.82%, 10/18/45 (c)

   

795

     

705

   

Golub Capital Partners ABS Funding Ltd.,

 

2.77%, 4/20/29 (c)

   

875

     

819

   

Class A2

 

3.21%, 1/22/29 (c)

   

3,290

     

3,015

   

Goodgreen Trust,

 

5.53%, 4/15/55 (c)

   

2,004

     

1,646

   

5.74%, 10/15/56 (c)

   

2,909

     

2,550

   

JOL Air Ltd.,

 

4.95%, 4/15/44 (c)

   

241

     

168

   

Lunar Aircraft Ltd.,

 

3.38%, 2/15/45 (c)

   

390

     

316

   

MACH 1 Cayman Ltd.,

 

3.47%, 10/15/39 (c)

   

828

     

730

   

MAPS Ltd.,

 

4.21%, 5/15/43 (c)

   

437

     

390

   

METAL LLC,

 

4.58%, 10/15/42 (c)

   

606

     

375

   

Mosaic Solar Loan Trust,

 

2.10%, 4/20/46 (c)

   

588

     

508

   

New Residential Mortgage LLC,

 

5.44%, 6/25/25 - 7/25/25 (c)

   

4,332

     

4,101

   

Newtek Small Business Loan Trust,

 
Daily U.S. Prime Rate - 0.55%,
5.70%, 2/25/44 (c)(d)
   

308

     

304

   

NRZ Excess Spread-Collateralized Notes,

 

Class A

 

3.47%, 11/25/26 (c)

   

2,177

     

1,918

   

NYCTL Trust,

 

2.19%, 11/10/32 (c)

   

147

     

146

   

Octagon Investment Partners 51 Ltd.,

 
3 Month USD LIBOR + 1.15%,
3.86%, 7/20/34 (c)(d)
   

5,225

     

5,005

   

Oxford Finance Funding LLC,

 

5.44%, 2/15/27 (c)

   

254

     

250

   

PMT FMSR Issuer Trust,

 
1 Month USD LIBOR + 3.00%,
6.08%, 3/25/26 (c)(d)
   

3,900

     

3,651

   

PNMAC FMSR Issuer Trust,

 
1 Month USD LIBOR + 2.35%,
5.43%, 4/25/23 (c)(d)
   

2,000

     

1,918

   

PNMAC GMSR Issuer Trust,

 

SOFR30A + 4.19%, 6.49%, 6/25/27 (c)(d)

   

2,700

     

2,605

   

SOFR30A + 4.25%, 6.53%, 5/25/27 (c)(d)

   

2,725

     

2,604

   
    Face
Amount
(000)
  Value
(000)
 

PRET 2021-NPL6 LLC,

 

2.49%, 7/25/51 (c)

 

$

1,616

   

$

1,511

   

Progress Residential Trust,

 

2.31%, 5/17/38 (c)

   

650

     

560

   

Raptor Aircraft Finance I LLC,

 

4.21%, 8/23/44 (c)

   

2,159

     

1,505

   
ReadyCap Lending Small Business
Loan Trust,
 
Daily U.S. Prime Rate - 0.50%,
5.75%, 12/27/44 (c)(d)
   

421

     

405

   

Republic Finance Issuance Trust,

 

3.54%, 11/20/30 (c)

   

1,385

     

1,267

   

S-Jets Ltd.,

 

3.97%, 8/15/42 (c)

   

2,821

     

2,274

   

Sculptor CLO XXVI Ltd.,

 
3 Month USD LIBOR + 1.27%, 3.98%,
7/20/34 (c)(d)
   

4,900

     

4,709

   

START Ireland,

 

4.09%, 3/15/44 (c)

   

274

     

243

   

Start Ltd.,

 

4.09%, 5/15/43 (c)

   

3,003

     

2,401

   

Sunbird Engine Finance LLC,

 

3.67%, 2/15/45 (c)

   

932

     

743

   

Theorem Funding Trust,

 

3.95%, 10/15/26 (c)

   

267

     

267

   

Tricon American Homes Trust,

 

5.10%, 1/17/36 (c)

   

3,500

     

3,420

   
     

84,761

   

Collateralized Mortgage Obligations — Agency Collateral Series (0.0%) (a)

 

Federal Home Loan Mortgage Corporation,

 

IO REMIC

 
6.00% - 1 Month USD LIBOR, 3.18%,
11/15/43 (e)
   

437

     

35

   

IO STRIPS

 

7.50%, 12/15/29

   

12

     

2

   

Federal National Mortgage Association,

 

IO PAC REMIC

 

8.00%, 9/18/27

   

30

     

3

   

IO REMIC

 

6.00%, 7/25/33

   

30

     

4

   

IO STRIPS

 

6.50%, 9/25/29 - 12/25/29

   

143

     

13

   

8.00%, 4/25/24

   

1

     

@

 

8.50%, 10/25/25

   

8

     

1

   

9.00%, 11/25/26

   

7

     

1

   

REMIC

 

7.00%, 9/25/32

   

100

     

106

   

Government National Mortgage Association,

 

IO

 

5.00%, 2/16/41

   

85

     

17

   
     

182

   

The accompanying notes are an integral part of the financial statements.
8


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

    Face
Amount
(000)
  Value
(000)
 

Commercial Mortgage-Backed Securities (14.9%)

 

BAMLL Commercial Mortgage Securities Trust,

 

SOFR + 3.00%, 5.85%, 1/15/39 (c)(d)

 

$

3,175

   

$

3,033

   

BANK 2019-BNK21,

 

IO

 

0.97%, 10/17/52 (d)

   

13,116

     

577

   

BANK 2020-BNK30,

 

3.02%, 12/15/53 (d)

   

4,200

     

2,857

   

Benchmark Mortgage Trust,

 

3.76%, 7/15/53 (c)

   

2,000

     

1,696

   

IO

 

0.99%, 9/15/48 (c)(d)

   

31,000

     

926

   
BF Mortgage Trust,  
1 Month USD LIBOR + 1.70%,
4.52%, 12/15/35 (c)(d)
   

2,500

     

2,308

   
BPR Trust,  

SOFR + 3.00%, 5.85%, 5/15/39 (c)(d)

   

3,170

     

3,128

   

BX Trust BX 2022 VAMF,

 

SOFR + 2.70%, 5.55%, 1/15/39 (c)(d)

   

3,630

     

3,416

   

BXP Trust,

 
1 Month USD LIBOR + 3.00%,
5.82%, 11/15/34 (c)(d)
   

1,150

     

970

   

CG-CCRE Commercial Mortgage Trust,

 
1 Month USD LIBOR + 1.85%,
4.67%, 11/15/31 (c)(d)
   

545

     

526

   

Citigroup Commercial Mortgage Trust,

 

3.62%, 12/10/41 (c)(d)

   

1,100

     

715

   

IO

 

0.87%, 11/10/48 (d)

   

2,351

     

42

   

1.03%, 9/10/58 (d)

   

4,217

     

87

   

Commercial Mortgage Trust,

 

IO

 

0.04%, 7/10/45 (d)

   

8,051

     

1

   

0.82%, 10/10/47 (d)

   

2,333

     

24

   

1.15%, 7/15/47 (d)

   

2,643

     

34

   

3.51%, 8/15/57 (c)(d)

   

1,400

     

1,249

   

Credit Suisse Mortgage Trust,

 
1 Month USD LIBOR + 3.97%,
6.79%, 4/15/23 (c)(d)
   

2,909

     

2,804

   

CSMC 2020-TMIC,

 

Class A

 
1 Month USD LIBOR + 3.00%,
5.82%, 12/15/35 (c)(d)
   

5,275

     

5,256

   

CSWF Commercial Mortgage Trust,

 
1 Month USD LIBOR + 1.57%,
4.38%, 6/15/34 (c)(d)
   

2,680

     

2,510

   

DROP Mortgage Trust,

 
1 Month USD LIBOR + 1.15%,
3.97%, 10/15/43 (c)(d)
   

3,525

     

3,403

   
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates,
 

2.98%, 1/25/49 (d)

   

7,514

     

1,436

   

3.08%, 1/25/32 (d)

   

5,775

     

1,142

   

3.32%, 5/25/32 (d)

   

11,220

     

2,456

   
    Face
Amount
(000)
  Value
(000)
 

3.69%, 7/25/32 (d)

 

$

6,549

   

$

1,538

   

4.29%, 8/25/54 (d)

   

5,300

     

1,457

   

Federal Home Loan Mortgage Corporation,

 

IO

 

2.83%, 8/25/48 (d)

   

5,484

     

871

   

Federal Home Loan Mortgage Corporation,

 
1 Month USD LIBOR + 4.35%,
6.90%, 12/25/26 (c)(d)
   

61

     

60

   
1 Month USD LIBOR + 5.25%,
7.80%, 7/25/26 (c)(d)
   

45

     

45

   

IO

 

0.46%, 11/25/27 (d)

   

23,446

     

337

   

2.72%, 1/25/49 (d)

   

21,291

     

3,425

   

2.75%, 2/25/49 (d)

   

9,522

     

1,553

   

2.82%, 9/25/48 (d)

   

16,800

     

2,735

   

3.17%, 11/25/36 (d)

   

4,400

     

1,172

   

3.20%, 4/25/39 (d)

   

3,200

     

841

   

3.57%, 10/25/38 (d)

   

3,500

     

978

   

3.92%, 6/25/50 (d)

   

8,000

     

1,964

   

GS Mortgage Securities Trust,

 

4.88%, 8/10/46 (c)(d)

   

500

     

471

   

IO

 

0.84%, 9/10/47 (d)

   

4,645

     

50

   

1.37%, 10/10/48 (d)

   

4,689

     

134

   

Highways 2021 PLC,

 

3.50%, 12/18/31 (c)

 

GBP

2,775

     

3,037

   

Jackson Park Trust,

 

3.35%, 10/14/39 (c)(d)

 

$

1,700

     

1,167

   
JP Morgan Chase Commercial Mortgage
Securities Trust,
 
1 Month USD LIBOR + 2.45%,
5.27%, 4/15/38 (c)(d)
   

2,400

     

2,263

   

IO

 

0.65%, 4/15/46 (d)

   

6,956

     

19

   

0.72%, 12/15/49 (d)

   

3,666

     

64

   

0.96%, 7/15/47 (d)

   

4,160

     

32

   

JPMBB Commercial Mortgage Securities Trust,

 

4.81%, 4/15/47 (c)(d)

   

775

     

710

   

IO

 

1.10%, 8/15/47 (d)

   

2,878

     

36

   

Last Mile Logistics Pan Euro Finance DAC,

 
3 Month EURIBOR + 1.90%,
2.24%, 8/17/33 (c)(d)
 

EUR

747

     

679

   

Manhattan West Mortgage Trust,

 

2.41%, 9/10/39 (c)(d)

 

$

1,500

     

1,187

   

MF1 2021-W10X,

 
SOFR + 2.82%, 5.67%,
12/15/34 (c)(d)
   

4,350

     

4,222

   

MFT Mortgage Trust,

 

3.39%, 8/10/40 (c)(d)

   

1,000

     

743

   

MFT Trust,

 

3.59%, 2/10/42 (c)(d)

   

800

     

594

   

MKT 2020-525M Mortgage Trust,

 

3.04%, 2/12/40 (c)(d)

   

1,000

     

619

   

The accompanying notes are an integral part of the financial statements.
9


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

    Face
Amount
(000)
  Value
(000)
 

Commercial Mortgage-Backed Securities (cont'd)

 

Multifamily Connecticut Avenue Securities Trust,

 
1 Month USD LIBOR + 1.95%,
5.03%, 3/25/50 (c)(d)
 

$

301

   

$

295

   

Natixis Commercial Mortgage Securities Trust,

 

4.27%, 5/15/39 (c)(d)

   

2,300

     

1,724

   

4.46%, 1/15/43 (c)(d)

   

800

     

652

   
1 Month USD LIBOR + 1.70%,
4.52%, 8/15/38 (c)(d)
   

3,250

     

3,050

   
1 Month USD LIBOR + 2.20%,
5.02%, 7/15/36 (c)(d)
   

2,300

     

2,243

   

Olympic Tower Mortgage Trust,

 

3.57%, 5/10/39 (c)

   

2,900

     

2,581

   

Real Estate Asset Liquidity Trust,

 

IO

 

1.17%, 2/12/31 (c)(d)

 

CAD

32,465

     

1,102

   

SG Commercial Mortgage Securities Trust,

 

3.85%, 3/15/37 (c)(d)

 

$

1,900

     

1,662

   

SLG Office Trust,

 

IO

 

0.26%, 7/15/41 (c)(d)

   

34,800

     

579

   

Taubman Centers Commercial Mortgage Trust,

 

SOFR + 2.19%, 5.03%, 5/15/37 (c)(d)

   

3,950

     

3,868

   

Vita Scientia 2022-1 DAC,

 
3 Month EURIBOR + 2.49%,
3.01%, 8/27/25 (c)(d)
 

EUR

2,125

     

1,953

   

VMC Finance 2021-HT1 LLC,

 
1 Month USD LIBOR + 1.65%,
4.64%, 1/18/37 (c)(d)
 

$

2,387

     

2,311

   

Wells Fargo Commercial Mortgage Trust,

 
1 Month USD LIBOR + 1.74%,
4.56%, 2/15/37 (c)(d)
   

900

     

869

   

WFRBS Commercial Mortgage Trust,

 

4.29%, 5/15/45 (c)(d)

   

425

     

408

   
     

96,896

   

Corporate Bonds (26.2%)

 

Finance (9.4%)

 
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust,
 

3.00%, 10/29/28

   

2,500

     

2,007

   

4.13%, 7/3/23

   

1,150

     

1,141

   

Australia & New Zealand Banking Group Ltd.,

 

2.57%, 11/25/35 (c)

   

875

     

636

   

Avolon Holdings Funding Ltd.,

 

2.88%, 2/15/25 (c)

   

2,650

     

2,400

   

Banco de Credito e Inversiones SA,

 

2.88%, 10/14/31 (c)

   

2,275

     

1,762

   

Banco Santander Chile,

 

2.70%, 1/10/25 (c)

   

1,125

     

1,052

   

Banco Santander SA,

 

4.18%, 3/24/28

   

800

     

722

   

5.18%, 11/19/25

   

600

     

580

   

Bank Hapoalim BM,

 

3.26%, 1/21/32 (c)

   

2,075

     

1,734

   
    Face
Amount
(000)
  Value
(000)
 

Bank of America Corp.,

 

2.48%, 9/21/36

 

$

625

   

$

452

   

2.69%, 4/22/32

   

7,200

     

5,630

   

3.85%, 3/8/37

   

275

     

222

   

MTN

 

4.00%, 1/22/25

   

5

     

5

   

Bank of Ireland Group PLC,

 

2.03%, 9/30/27 (c)

   

2,500

     

2,071

   

Bank of Montreal,

 

3.09%, 1/10/37

   

1,725

     

1,289

   

Belrose Funding Trust,

 

2.33%, 8/15/30 (c)

   

1,225

     

926

   

BNP Paribas SA,

 

2.22%, 6/9/26 (c)

   

575

     

517

   

4.40%, 8/14/28 (c)

   

1,050

     

946

   
BPCE SA,  

3.12%, 10/19/32 (c)

   

1,100

     

789

   

5.15%, 7/21/24 (c)

   

2,750

     

2,683

   

Citigroup, Inc.,

 

2.52%, 11/3/32

   

4,850

     

3,683

   

3.06%, 1/25/33

   

475

     

375

   

CNO Financial Group, Inc.,

 

5.25%, 5/30/29

   

885

     

826

   

Coinbase Global, Inc.,

 

3.38%, 10/1/28 (c)(f)

   

1,010

     

634

   

Credit Suisse Group AG,

 

6.54%, 8/12/33 (c)

   

1,550

     

1,395

   

Global Atlantic Fin Co.,

 

4.70%, 10/15/51 (c)

   

1,320

     

996

   

Goldman Sachs Group, Inc.,

 

2.62%, 4/22/32

   

3,150

     

2,445

   

Grupo Aval Ltd.,

 

4.38%, 2/4/30 (c)

   

770

     

559

   

HSBC Holdings PLC,

 

3.80%, 3/11/25

   

2,400

     

2,321

   

Intesa Sanpaolo SpA,

 

5.25%, 1/12/24

   

610

     

604

   

Jefferies Finance LLC/JFIN Co.-Issuer Corp.,

 

5.00%, 8/15/28 (c)

   

1,490

     

1,102

   

JPMorgan Chase & Co.,

 

1.95%, 2/4/32

   

1,025

     

760

   

JPMorgan Chase Bank NA,

 

0.00%, 12/28/23

   

1,000

     

938

   

Life Storage LP,

 

2.40%, 10/15/31

   

1,050

     

790

   

Macquarie Group Ltd.,

 

2.87%, 1/14/33 (c)

   

1,350

     

1,017

   

Marsh & McLennan Cos., Inc.,

 

5.88%, 8/1/33

   

1,029

     

1,041

   

Nationwide Building Society,

 

3.96%, 7/18/30 (c)

   

1,200

     

1,036

   

4.30%, 3/8/29 (c)

   

1,550

     

1,381

   

The accompanying notes are an integral part of the financial statements.
10


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

    Face
Amount
(000)
  Value
(000)
 

Finance (cont'd)

 

Nordea Bank Abp,

 

5.38%, 9/22/27 (c)

 

$

1,200

   

$

1,171

   

Oversea-Chinese Banking Corp. Ltd.,

 

1.83%, 9/10/30 (c)

   

970

     

869

   
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc.,
 

3.88%, 3/1/31 (c)

   

2,850

     

2,070

   

Societe Generale SA,

 

2.63%, 1/22/25 (c)

   

1,625

     

1,505

   

Sun Communities Operating LP,

 

4.20%, 4/15/32

   

2,000

     

1,678

   

SVB Financial Group,

 

1.80%, 2/2/31

   

1,275

     

914

   

4.10%, 2/15/31 (g)

   

970

     

666

   

United Overseas Bank Ltd.,

 

3.86%, 10/7/32 (c)

   

2,950

     

2,691

   

Westpac Banking Corp.,

 

2.67%, 11/15/35

   

775

     

571

   
     

61,602

   

Industrials (14.7%)

 

Airbnb, Inc.,

 

0.00%, 3/15/26

   

1,015

     

846

   

Alibaba Group Holding Ltd.,

 

2.13%, 2/9/31 (f)

   

825

     

636

   

Altria Group, Inc.,

 

3.40%, 2/4/41

   

1,075

     

680

   

Amazon.com, Inc.,

 

2.70%, 6/3/60

   

1,075

     

637

   

Amgen, Inc.,

 

2.80%, 8/15/41

   

1,075

     

736

   

4.20%, 2/22/52

   

600

     

472

   

Anheuser-Busch InBev Worldwide, Inc.,

 

4.60%, 4/15/48

   

1,258

     

1,046

   

AT&T, Inc.,

 

3.55%, 9/15/55

   

1,400

     

923

   

BAT Capital Corp.,

 

2.26%, 3/25/28

   

2,000

     

1,594

   

Boeing Co.,

 

2.95%, 2/1/30

   

650

     

523

   

3.25%, 2/1/35

   

775

     

549

   

BP Capital Markets PLC,

 

4.38%, 6/22/25 (g)

   

700

     

649

   

4.88%, 3/22/30 (g)

   

700

     

604

   

Celanese U.S. Holdings LLC,

 

6.17%, 7/15/27

   

2,150

     

2,038

   
Charter Communications Operating LLC/
Charter Communications Operating Capital,
 

2.30%, 2/1/32

   

275

     

197

   

2.80%, 4/1/31

   

975

     

739

   

3.50%, 3/1/42

   

2,575

     

1,640

   

Children's Health System of Texas,

 

2.51%, 8/15/50

   

800

     

480

   
    Face
Amount
(000)
  Value
(000)
 

Dell International LLC/EMC Corp.,

 

3.45%, 12/15/51 (c)

 

$

2,575

   

$

1,470

   

Delta Air Lines Pass Through Trust,

 

Series AA

 

3.20%, 10/25/25

   

1,050

     

1,015

   

Dexcom, Inc.,

 

0.25%, 11/15/25 (f)

   

1,175

     

1,088

   

Dick's Sporting Goods, Inc.,

 

4.10%, 1/15/52

   

2,225

     

1,379

   

Duke University,

 

Series 2020

 

2.83%, 10/1/55

   

1,600

     

1,051

   

DXC Technology Co.,

 

1.80%, 9/15/26

   

3,450

     

2,960

   

Enbridge, Inc.,

 

2.50%, 8/1/33

   

1,375

     

1,032

   

Energy Transfer LP,

 

4.75%, 1/15/26

   

275

     

265

   

Enterprise Products Operating LLC,

 

3.30%, 2/15/53

   

825

     

539

   

EQM Midstream Partners LP,

 

7.50%, 6/1/27 (c)

   

155

     

148

   

Expedia Group, Inc.,

 

0.00%, 2/15/26

   

950

     

826

   

Ford Motor Co.,

 

3.25%, 2/12/32

   

525

     

379

   

Ford Motor Credit Co., LLC,

 

GMTN

 

4.39%, 1/8/26

   

800

     

725

   

Galaxy Pipeline Assets Bidco Ltd.,

 

1.75%, 9/30/27 (c)

   

2,477

     

2,255

   
GE Capital International Funding Co.,
Unlimited Co.,
 

4.42%, 11/15/35

   

1,762

     

1,581

   

General Motors Co.,

 

5.40%, 10/15/29

   

1,225

     

1,131

   

6.60%, 4/1/36

   

200

     

187

   

6.75%, 4/1/46

   

925

     

845

   

General Motors Financial Co., Inc.,

 

3.85%, 1/5/28

   

800

     

706

   

Glencore Funding LLC,

 

4.13%, 3/12/24 (c)

   

2,375

     

2,336

   

Global Partners LP/GLP Finance Corp.,

 

7.00%, 8/1/27

   

715

     

652

   

GLP Capital LP/GLP Financing II, Inc.,

 

3.25%, 1/15/32

   

350

     

264

   

5.38%, 4/15/26

   

1,250

     

1,197

   

Grifols SA,

 

2.25%, 11/15/27

 

EUR

630

     

483

   

HCA, Inc.,

 

5.25%, 6/15/49

 

$

1,525

     

1,244

   

Hyundai Capital America,

 

1.80%, 1/10/28 (c)

   

2,650

     

2,115

   

The accompanying notes are an integral part of the financial statements.
11


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

    Face
Amount
(000)
  Value
(000)
 

Industrials (cont'd)

 

Imperial Brands Finance PLC,

 

3.13%, 7/26/24 (c)

 

$

1,000

   

$

957

   

Intel Corp.,

 

2.80%, 8/12/41

   

1,675

     

1,131

   
JBS USA LUX SA/JBS USA Food Co./
JBS USA Finance, Inc.,
 

2.50%, 1/15/27 (c)

   

1,575

     

1,349

   

Johns Hopkins University,

 

Series A

 

2.81%, 1/1/60

   

1,170

     

728

   

Kimberly-Clark de Mexico SAB de CV,

 

2.43%, 7/1/31 (c)

   

1,375

     

1,102

   

Level 3 Financing, Inc.,

 

3.40%, 3/1/27 (c)

   

1,275

     

1,070

   

Lions Gate Capital Holdings LLC,

 

5.50%, 4/15/29 (c)

   

1,570

     

1,173

   

Lowe's Cos., Inc.,

 

5.80%, 9/15/62

   

525

     

483

   

Macy's Retail Holdings LLC,

 

5.88%, 3/15/30 (c)(f)

   

690

     

547

   

Magallanes, Inc. Co.,

 

5.05%, 3/15/42 (c)

   

925

     

694

   

5.14%, 3/15/52 (c)

   

1,475

     

1,075

   

Matador Resources Co.,

 

5.88%, 9/15/26

   

1,785

     

1,725

   

McLaren Health Care Corp.,

 

Series A

 

4.39%, 5/15/48

   

1,175

     

994

   

Medline Borrower LP,

 

3.88%, 4/1/29 (c)

   

1,410

     

1,133

   
MPLX LP,  

4.95%, 3/14/52

   

1,675

     

1,315

   

NBN Co. Ltd.,

 

2.63%, 5/5/31 (c)

   

2,400

     

1,914

   

Newcastle Coal Infrastructure Group Pty Ltd.,

 

4.40%, 9/29/27 (c)

   

2,550

     

2,184

   

Nissan Motor Co. Ltd.,

 

3.04%, 9/15/23 (c)

   

2,400

     

2,334

   

NOVA Chemicals Corp.,

 

4.25%, 5/15/29 (c)(f)

   

1,510

     

1,182

   

ONEOK, Inc.,

 

3.10%, 3/15/30

   

1,250

     

1,017

   

3.40%, 9/1/29

   

375

     

315

   

Ooredoo International Finance Ltd.,

 

2.63%, 4/8/31 (c)

   

1,268

     

1,051

   

Peloton Interactive, Inc.,

 

0.00%, 2/15/26

   

2,115

     

1,438

   

Resorts World Las Vegas LLC/RWLV Capital, Inc.,

 

4.63%, 4/16/29 (c)

   

1,400

     

1,067

   

RingCentral, Inc.,

 

0.00%, 3/15/26

   

895

     

693

   
    Face
Amount
(000)
  Value
(000)
 

Rockies Express Pipeline LLC,

 

3.60%, 5/15/25 (c)

 

$

2,125

   

$

1,916

   

Rogers Communications, Inc.,

 

4.55%, 3/15/52 (c)

   

1,525

     

1,219

   

Seattle Children's Hospital,

 

Series 2021

 

2.72%, 10/1/50

   

2,750

     

1,733

   

Silgan Holdings, Inc.,

 

1.40%, 4/1/26 (c)

   

2,150

     

1,838

   

Splunk, Inc.,

 

1.13%, 6/15/27

   

1,200

     

950

   

Spotify USA, Inc.,

 

0.00%, 3/15/26

   

1,190

     

940

   

Standard Industries, Inc.,

 

2.25%, 11/21/26 (c)

 

EUR

575

     

445

   

Syngenta Finance NV,

 

4.89%, 4/24/25 (c)

 

$

975

     

944

   

T-Mobile USA, Inc.,

 

2.25%, 11/15/31

   

625

     

472

   

Take-Two Interactive Software, Inc.,

 

4.00%, 4/14/32

   

525

     

456

   

TotalEnergies SE,

 

Series FP

 

0.50%, 12/2/22

   

1,200

     

1,195

   

Uber Technologies, Inc.,

 

0.00%, 12/15/25 (f)

   

1,560

     

1,303

   

Union Pacific Corp.,

 

4.95%, 9/9/52

   

900

     

841

   

Verizon Communications, Inc.,

 

2.36%, 3/15/32

   

300

     

230

   

2.65%, 11/20/40

   

2,050

     

1,341

   

3.40%, 3/22/41

   

275

     

201

   

Volkswagen Group of America Finance LLC,

 

4.75%, 11/13/28 (c)

   

1,025

     

954

   

Vontier Corp.,

 

2.40%, 4/1/28

   

2,700

     

2,114

   

VTR Finance NV,

 

6.38%, 7/15/28 (c)

   

1,050

     

591

   

Warnermedia Holdings, Inc.,

 

4.28%, 3/15/32 (c)

   

1,750

     

1,442

   

Wayfair, Inc.,

 

0.63%, 10/1/25

   

1,675

     

1,131

   

Western Digital Corp.,

 

1.50%, 2/1/24

   

1,055

     

1,004

   

Ziff Davis, Inc.,

 

1.75%, 11/1/26 (c)

   

825

     

766

   
     

95,559

   

Utilities (2.1%)

 

Duke Energy Indiana LLC,

 

2.75%, 4/1/50

   

460

     

287

   

Enel Finance International NV,

 

5.00%, 6/15/32 (c)

   

1,425

     

1,217

   

The accompanying notes are an integral part of the financial statements.
12


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

    Face
Amount
(000)
  Value
(000)
 

Utilities (cont'd)

 

Fells Point Funding Trust,

 

3.05%, 1/31/27 (c)

 

$

2,275

   

$

2,030

   

Jersey Central Power & Light Co.,

 

2.75%, 3/1/32 (c)

   

1,400

     

1,113

   

Mississippi Power Co.,

 

3.95%, 3/30/28

   

2,325

     

2,147

   

NextEra Energy Capital Holdings, Inc.,

 

3.00%, 1/15/52

   

1,350

     

864

   

Niagara Mohawk Power Corp.,

 

2.76%, 1/10/32 (c)

   

2,700

     

2,113

   

Northern States Power Co.,

 

2.90%, 3/1/50

   

1,400

     

939

   

Piedmont Natural Gas Co., Inc.,

 

2.50%, 3/15/31

   

975

     

770

   

Public Service Enterprise Group, Inc.,

 

2.45%, 11/15/31

   

1,350

     

1,053

   

Virginia Electric and Power Co.,

 

2.95%, 11/15/51

   

1,375

     

894

   
     

13,427

   
     

170,588

   

Mortgages — Other (19.2%)

 

510 Asset Backed 2021-NPL1 Trust,

 

2.24%, 6/25/61 (c)

   

2,002

     

1,873

   

Adjustable Rate Mortgage Trust,

 

4.23%, 6/25/35 (d)

   

34

     

33

   

Ajax Mortgage Loan Trust,

 

1.70%, 5/25/59 (c)

   

1,473

     

1,318

   

2.35%, 9/25/65 (c)(d)

   

725

     

575

   

Alternative Loan Trust,

 
1 Month USD LIBOR + 0.36%,
3.44%, 5/25/47 (d)
   

72

     

61

   

Banc of America Alternative Loan Trust,

 
1 Month USD LIBOR + 0.65%,
3.73%, 7/25/46 (d)
   

106

     

86

   

6.36%, 10/25/36

   

406

     

124

   

Banc of America Funding Trust,

 

5.25%, 7/25/37

   

14

     

14

   

Bear Stearns ARM Trust,

 

2.71%, 2/25/34 (d)

   

451

     

431

   

BRAVO Residential Funding Trust,

 

2.00%, 5/25/59 (c)(d)

   

1,740

     

1,586

   

Brean Asset Backed Securities Trust,

 

1.40%, 10/25/63 (c)(d)

   

2,149

     

1,845

   

1.75%, 10/25/61 (c)(d)

   

2,240

     

1,959

   

Cascade Funding Mortgage Trust,

 

1.94%, 9/25/50 (c)(d)

   

4,289

     

3,852

   

2.72%, 12/26/30 (c)(d)

   

3,850

     

3,567

   

2.91%, 2/25/31 (c)(d)

   

3,800

     

3,502

   

3.25%, 9/25/37 (c)

   

1,840

     

1,430

   

3.73%, 6/25/36 (c)(d)

   

3,825

     

3,451

   

3.75%, 4/25/25 (c)(d)

   

2,650

     

2,371

   

4.00%, 10/25/68 (c)(d)

   

1,976

     

1,860

   
    Face
Amount
(000)
  Value
(000)
 

ChaseFlex Trust,

 

6.00%, 2/25/37

 

$

586

   

$

262

   

CIM Trust,

 

2.50%, 7/1/51 (c)(d)

   

3,584

     

2,863

   

COLT 2021-RPL1 Trust,

 

1.67%, 9/25/61 (c)(d)

   

1,449

     

1,312

   

E-MAC NL 2004-I BV,

 
3 Month EURIBOR + 0.18%,
2.41%, 7/25/36 (d)
 

EUR

330

     

306

   

Eurosail-NL 2007-2 BV,

 
3 Month EURIBOR + 1.80%,
1.80%, 10/17/40 (d)
   

700

     

671

   

Federal Home Loan Mortgage Corporation,

 

3.00%, 7/25/46 - 5/25/47

 

$

1,008

     

924

   

3.50%, 5/25/45 - 5/25/47

   

387

     

362

   

3.85%, 5/25/45 (c)(d)

   

2

     

2

   

4.00%, 5/25/45

   

8

     

7

   
1 Month USD LIBOR + 5.15%,
8.23%, 10/25/29 (d)
   

300

     

315

   

Flagstar Mortgage Trust,

 

2.50%, 9/25/51 (c)(d)

   

3,473

     

2,775

   

FMC GMSR Issuer Trust,

 

3.85%, 10/25/26 (c)(d)

   

2,600

     

2,105

   

4.45%, 1/25/26 (c)(d)

   

3,500

     

3,016

   

7.90%, 7/25/27 (c)

   

2,675

     

2,489

   

Freddie Mac STACR REMIC Trust,

 

SOFR30A + 2.20%, 4.48%, 5/25/42 (c)(d)

   

1,550

     

1,537

   

GCAT 2022-NQM3 Trust,

 

4.35%, 4/25/67 (c)(d)

   

4,624

     

4,454

   

Headlands Residential 2021-RPL1 LLC,

 

2.49%, 9/25/26 (c)(d)

   

3,320

     

3,066

   

Hundred Acre Wood Trust,

 

2.50%, 10/25/51 (c)(d)

   

8,542

     

6,825

   

IM Pastor 3 FTH,

 
3 Month EURIBOR + 0.14%,
1.24%, 3/22/43 (d)
 

EUR

335

     

298

   

Imperial Fund Mortgage Trust,

 

2.49%, 2/25/67 (c)(d)

 

$

2,706

     

2,396

   

JP Morgan Mortgage Trust,

 

3.45%, 6/25/37 (d)

   

59

     

48

   

6.00%, 6/25/37

   

7

     

19

   

Legacy Mortgage Asset Trust,

 

3.25%, 2/25/60 (c)

   

2,209

     

2,159

   

Lehman Mortgage Trust,

 

6.50%, 9/25/37

   

623

     

234

   

LHOME Mortgage Trust,

 

3.23%, 10/25/24 (c)

   

98

     

98

   

New Residential Mortgage Loan Trust,

 

3.94%, 9/25/57 (c)(d)

   

408

     

389

   

NYMT Loan Trust,

 

2.94%, 10/25/60 (c)(d)

   

2,564

     

2,474

   

OBX Trust,

 

3.50%, 10/25/59 - 2/25/60 (c)(d)

   

593

     

540

   

The accompanying notes are an integral part of the financial statements.
13


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

    Face
Amount
(000)
  Value
(000)
 

Mortgages — Other (cont'd)

 

Pepper Residential Securities Trust,

 
1 Month USD LIBOR + 0.93%,
3.69%, 3/12/61 (c)(d)
 

$

308

   

$

307

   

PMC PLS ESR Issuer LLC,

 

5.11%, 2/25/27 (c)

   

2,573

     

2,447

   

PNMAC GMSR Issuer Trust,

 
1 Month USD LIBOR + 2.65%,
5.73%, 8/25/25 (c)(d)
   

1,400

     

1,373

   
1 Month USD LIBOR + 2.85%,
5.93%, 2/25/23 (c)(d)
   

1,000

     

993

   

Preston Ridge Partners LLC,

 

1.74%, 9/25/26 (c)(d)

   

2,081

     

1,910

   

2.36%, 10/25/26 (c)

   

2,350

     

2,181

   

5.56%, 6/25/27 (c)

   

2,410

     

2,329

   

Sage AR Funding PLC (SGSHR) No. 1,

 

3.81%, 11/17/51 (c)

 

GBP

3,625

     

3,790

   

Seasoned Credit Risk Transfer Trust,

 

3.00%, 9/25/55 - 5/25/60

 

$

12,649

     

11,416

   

4.00%, 7/25/56 (d)

   

291

     

285

   

4.00%, 8/25/56 (c)(d)

   

1,000

     

871

   

4.00%, 8/25/58 - 2/25/59

   

1,308

     

1,251

   

4.25%, 8/25/59 - 11/25/60 (c)(d)

   

6,550

     

5,648

   

4.50%, 6/25/57

   

1,182

     

1,159

   

4.75%, 7/25/56 - 6/25/57 (c)(d)

   

1,408

     

1,292

   

4.75%, 10/25/58 (d)

   

1,300

     

1,160

   

Stanwich Mortgage Loan Co. LLC,

 

2.74%, 10/16/26 (c)

   

2,438

     

2,282

   
Structured Asset Securities Corp.
Reverse Mortgage Loan Trust,
 
1 Month USD LIBOR + 1.85%,
4.93%, 5/25/47 (c)(d)
   

1,535

     

1,419

   

TDA 27 FTA,

 
3 Month EURIBOR + 0.19%,
0.00%, 12/28/50 (d)
 

EUR

1,323

     

1,033

   

TVC Mortgage Trust,

 

3.47%, 9/25/24 (c)

 

$

336

     

335

   

United Wholesale Mortgage Trust,

 

2.50%, 8/25/51 (c)(d)

   

4,518

     

3,609

   

VOLT CV LLC,

 

2.49%, 11/27/51 (c)

   

1,667

     

1,535

   

VOLT XCIII LLC,

 

1.89%, 2/27/51 (c)

   

2,036

     

1,900

   

VOLT XCIV LLC,

 

2.24%, 2/27/51 (c)

   

2,470

     

2,302

   
     

124,711

   

Municipal Bonds (0.7%)

 

Chicago O'Hare International Airport, IL,

 
O'Hare International Airport Revenue
Series 2010B
 

6.40%, 1/1/40

   

255

     

282

   

City of New York, NY,

 

Series G-1

 

5.97%, 3/1/36

   

270

     

283

   
    Face
Amount
(000)
  Value
(000)
 

Illinois State Toll Highway Authority, IL,

 
Highway Revenue, Build America Bonds
Series A
 

6.18%, 1/1/34

 

$

477

   

$

512

   
New York City, NY, Transitional Finance
Authority Future Tax Secured Revenue
Series A
 

5.27%, 5/1/27

   

320

     

321

   

Onondaga Civic Development Corp., NY,

 

3.07%, 12/1/55

   

2,925

     

1,874

   

University of Michigan, MI,

 

Series A

 

4.45%, 4/1/22

   

1,645

     

1,314

   
     

4,586

   

Sovereign (4.1%)

 

Australia Government Bond,

 

1.25%, 5/21/32

 

AUD

7,350

     

3,715

   

Dominican Republic International Bond,

 

4.88%, 9/23/32 (c)

 

$

410

     

310

   

5.88%, 1/30/60 (c)

   

2,310

     

1,533

   

Ecuador Government International Bond,

 

1.50%, 7/31/40 (c)(h)

   

261

     

78

   

Egypt Government International Bond,

 

6.38%, 4/11/31 (c)

 

EUR

2,025

     

1,161

   

7.50%, 2/16/61 (c)

 

$

290

     

154

   

8.15%, 11/20/59 (c)

   

210

     

114

   

8.88%, 5/29/50 (c)

   

410

     

229

   

Export-Import Bank of India,

 

3.25%, 1/15/30 (c)

   

670

     

561

   

3.88%, 2/1/28 (c)

   

505

     

461

   

Hellenic Republic Government Bond,

 

2.00%, 4/22/27 (c)

 

EUR

1,208

     

1,087

   

Italy Buoni Poliennali Del Tesoro,

 

0.65%, 10/28/27 (c)

   

6,328

     

6,000

   

Ivory Coast Government International Bond,

 

4.88%, 1/30/32 (c)

 

$

1,360

     

897

   

Mexico Government International Bond,

 

3.25%, 4/16/30 (f)

   

750

     

627

   

3.75%, 4/19/71

   

850

     

496

   

Pertamina Persero PT,

 

6.50%, 11/7/48 (c)

   

1,325

     

1,220

   

Perusahaan Penerbit SBSN Indonesia III,

 

4.70%, 6/6/32 (c)

   

711

     

669

   

Petroleos Mexicanos,

 

6.70%, 2/16/32

   

1,557

     

1,095

   

6.95%, 1/28/60

   

350

     

194

   

7.69%, 1/23/50

   

536

     

329

   

Philippine Government International Bond,

 

4.20%, 3/29/47

   

420

     

328

   

Republic of South Africa Government Bond,

 

8.00%, 1/31/30

 

ZAR

22,750

     

1,077

   

8.25%, 3/31/32

   

92,280

     

4,197

   
     

26,532

   

The accompanying notes are an integral part of the financial statements.
14


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

    Face
Amount
(000)
  Value
(000)
 

Supranational (0.2%)

 

Banque Ouest Africaine de Developpement,

 

2.75%, 1/22/33 (c)

 

EUR

270

   

$

194

   

4.70%, 10/22/31 (c)

 

$

1,240

     

1,003

   
     

1,197

   
Total Fixed Income Securities
(Cost $737,046)
   

645,091

   
   

Shares

     

Short-Term Investments (17.4%)

 

Investment Company (13.0%)

 
Morgan Stanley Institutional Liquidity
Funds — Government Portfolio —
Institutional Class (See Note G)
(Cost $84,734)
   

84,734,278

     

84,734

   

Securities held as Collateral on Loaned Securities (0.4%)

 

Investment Company (0.4%)

 
Morgan Stanley Institutional Liquidity
Funds — Government Portfolio —
Institutional Class (See Note G)
(Cost $2,900)
   

2,900,200

     

2,900

   
    Face
Amount
(000)
     

U.S. Treasury Securities (4.0%)

 

U.S. Treasury Bill,

 

3.84%, 3/16/23 (i)

 

$

7,803

     

7,672

   

U.S. Treasury Note,

 

0.13%, 12/31/22

   

18,500

     

18,350

   
Total U.S. Treasury Securities
(Cost $26,150)
   

26,022

   
Total Short-Term Investments
(Cost $113,784)
   

113,656

   
Total Investments (116.5%) (Cost $850,830)
Including $5,065 of Securities Loaned (j)(k)
   

758,747

   

Liabilities in Excess of Other Assets (–16.5%)

   

(107,453

)

 

Net Assets (100.0%)

 

$

651,294

   

(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 September 30, 2022. 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 September 30, 2022.

(f)  All or a portion of this security was on loan at September 30, 2022.

(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 September 30, 2022.

(h)  Multi-step — Coupon rate changes in predetermined increments to maturity. Rate disclosed is as of September 30, 2022. Maturity date disclosed is the ultimate maturity date.

(i)  Rate shown is the yield to maturity at September 30, 2022.

(j)  Securities are available for collateral in connection with securities purchased on a forward commitment basis, open foreign currency exchange contracts, futures contracts and swap agreements.

(k)  At September 30, 2022, the aggregate cost for federal income tax purposes is approximately $846,635,000. The aggregate gross unrealized appreciation is approximately $436,000 and the aggregate gross unrealized depreciation is approximately $93,134,000, resulting in net unrealized depreciation of approximately $92,698,000.

@  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.

PRIME  Daily US Prime Rate.

REMIC  Real Estate Mortgage Investment Conduit.

SOFR  Secured Overnight Financing Rate.

STRIPS  Separate Trading of Registered Interest and Principal of Securities.

TBA  To Be Announced.

USD  United States Dollar.

The accompanying notes are an integral part of the financial statements.
15


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

Foreign Currency Forward Exchange Contracts:

The Fund had the following foreign currency forward exchange contracts open at September 30, 2022:

Counterparty

  Contracts to
Deliver
(000)
  In Exchange
For
(000)
  Delivery
Date
  Unrealized
Appreciation
(Depreciation)
(000)
 

Australia & New Zealand Banking Group Ltd.

 

EUR

335

   

$

323

   

11/10/22

 

$

(6

)

 

BNP Paribas SA

 

CNY

24,384

   

$

3,626

   

11/10/22

   

184

   

Goldman Sachs International

 

$

1,737

   

BRL

9,071

   

11/10/22

   

(70

)

 

Royal Bank of Canada

 

EUR

16,204

   

$

16,620

   

11/10/22

   

698

   

Standard Chartered Bank

 

$

1,764

   

JPY

250,153

   

11/10/22

   

(30

)

 

UBS AG

 

AUD

6,040

   

$

4,248

   

11/10/22

   

383

   

UBS AG

 

CAD

5,160

   

$

3,995

   

11/10/22

   

259

   

UBS AG

 

GBP

6,182

   

$

7,490

   

11/10/22

   

582

   

UBS AG

 

$

35

   

CAD

46

   

11/10/22

   

(2

)

 

UBS AG

 

$

21

   

EUR

21

   

11/10/22

   

(1

)

 

UBS AG

 

$

343

   

EUR

352

   

11/10/22

   

4

   

UBS AG

 

$

32

   

GBP

27

   

11/10/22

   

(1

)

 

UBS AG

 

$

1,790

   

MXN

36,286

   

11/10/22

   

(—

@)

 

UBS AG

 

ZAR

100,945

   

$

6,097

   

11/10/22

   

539

   
               

$

2,539

   

Futures Contracts:

The Fund had the following futures contracts open at September 30, 2022:

    Number
of
Contracts
  Expiration
Date
  Notional
Amount
(000)
  Value
(000)
  Unrealized
Appreciation
(Depreciation)
(000)
 

Long:

 

U.S. Treasury 10 yr. Note

   

110

   

Dec-22

 

$

11,000

   

$

12,327

   

$

(566

)

 

U.S. Treasury 10 yr. Ultra Note

   

198

   

Dec-22

   

19,800

     

23,460

     

(19

)

 

U.S. Treasury 5 yr. Note

   

288

   

Dec-22

   

28,800

     

30,962

     

(1,035

)

 

U.S. Treasury Long Bond

   

338

   

Dec-22

   

33,800

     

42,725

     

(3,127

)

 

U.S. Treasury Ultra Bond

   

229

   

Dec-22

   

22,900

     

31,373

     

(3,019

)

 

Short:

 

German Euro-OAT Index

   

11

   

Dec-22

 

EUR

(1,100

)

   

(1,424

)

   

99

   

Euro-BTP Italian Government Bond Index

   

28

   

Dec-22

   

(2,800

)

   

(3,073

)

   

165

   

Euro-Buxl 30yr. Bond

   

3

   

Dec-22

   

(300

)

   

(431

)

   

57

   

Japan 10 yr. Bond

   

9

   

Dec-22

 

JPY

(900,000

)

   

(9,222

)

   

21

   

U.S. Treasury 2 yr. Note

   

232

   

Dec-22

 

$

(46,400

)

   

(47,651

)

   

188

   
                   

$

(7,236

)

 

Credit Default Swap Agreement:

The Fund had the following credit default swap agreement open at September 30, 2022:

Swap Counterparty
and Reference Obligation
  Credit
Rating of
Reference
Obligation†
(unaudited)
  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.39
 

NR

 

Buy

   

5.00

%

 

Quarterly

 

12/20/27

 

$

15,000

   

$

606

   

$

701

   

$

(95

)

 

The accompanying notes are an integral part of the financial statements.
16


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Portfolio of Investments (cont'd)

Core Plus Fixed Income Portfolio

@  Value is less than $500.

*  Cleared swap agreement, the broker is Morgan Stanley & Co. LLC.

†  Credit rating as issued by Standard & Poor's.

BTP  Buoni del Tesoro Poliennali.

OAT  Obligations Assimilables du Trésor (Treasury Obligation).

NR  Not rated.

AUD  —  Australian Dollar

BRL  —  Brazilian Real

CAD  —  Canadian Dollar

CNY  —  Chinese Yuan Renminbi

EUR  —  Euro

GBP  —  British Pound

JPY  —  Japanese Yen

MXN  —  Mexican Peso

USD  —  United States Dollar

ZAR  —  South African Rand

Portfolio Composition*

Classification

  Percentage of
Total Investments
 

Agency Fixed Rate Mortgages

   

17.9

%

 

Mortgages — Other

   

16.5

   

Short-Term Investments

   

14.7

   

Commercial Mortgage-Backed Securities

   

12.8

   

Industrials

   

12.6

   

Asset-Backed Securities

   

11.2

   

Finance

   

8.2

   

Other**

   

6.1

   

Total Investments

   

100.0

%***

 

*  Percentages indicated are based upon total investments (excluding Securities held as Collateral on Loaned Securities) as of September 30, 2022.

**  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 $202,648,000 and net unrealized depreciation of approximately $7,236,000. Does not include open foreign currency forward exchange contracts with net unrealized appreciation of approximately $2,539,000. Also does not include open swap agreement with total unrealized depreciation of approximately $95.

The accompanying notes are an integral part of the financial statements.
17


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Core Plus Fixed Income Portfolio

Statement of Assets and Liabilities

  September 30, 2022
(000)
 

Assets:

 

Investments in Securities of Unaffiliated Issuers, at Value(1) (Cost $763,196)

 

$

671,113

   

Investment in Security of Affiliated Issuer, at Value (Cost $87,634)

   

87,634

   

Total Investments in Securities, at Value (Cost $850,830)

   

758,747

   

Foreign Currency, at Value (Cost $323)

   

321

   

Cash

   

269

   

Receivable for Investments Sold

   

10,995

   

Receivable for Variation Margin on Futures Contracts

   

3,724

   

Interest Receivable

   

3,293

   

Unrealized Appreciation on Foreign Currency Forward Exchange Contracts

   

2,649

   

Receivable for Variation Margin on Swap Agreement

   

296

   

Receivable for Fund Shares Sold

   

284

   

Receivable from Affiliate

   

168

   

Tax Reclaim Receivable

   

9

   

Receivable from Securities Lending Income

   

4

   

Other Assets

   

79

   

Total Assets

   

780,838

   

Liabilities:

 

Payable for Investments Purchased

   

124,933

   

Collateral on Securities Loaned, at Value

   

2,900

   

Payable for Fund Shares Redeemed

   

795

   

Payable for Advisory Fees

   

236

   

Payable for Sub Transfer Agency Fees — Class I

   

146

   

Payable for Sub Transfer Agency Fees — Class A

   

16

   

Payable for Sub Transfer Agency Fees — Class L

   

@

 

Payable for Sub Transfer Agency Fees — Class C

   

4

   

Unrealized Depreciation on Foreign Currency Forward Exchange Contracts

   

110

   

Payable for Professional Fees

   

82

   

Payable for Administration Fees

   

45

   

Payable for Custodian Fees

   

37

   

Payable for Shareholder Services Fees — Class A

   

13

   

Payable for Distribution and Shareholder Services Fees — Class L

   

@

 

Payable for Distribution and Shareholder Services Fees — Class C

   

13

   

Deferred Capital Gain Country Tax

   

25

   

Due to Broker

   

20

   

Payable for Transfer Agency Fees — Class I

   

5

   

Payable for Transfer Agency Fees — Class A

   

1

   

Payable for Transfer Agency Fees — Class L

   

1

   

Payable for Transfer Agency Fees — Class C

   

1

   

Payable for Transfer Agency Fees — Class R6*

   

1

   

Other Liabilities

   

160

   

Total Liabilities

   

129,544

   

Net Assets

 

$

651,294

   

Net Assets Consist of:

 

Paid-in-Capital

 

$

797,075

   

Total Accumulated Loss

   

(145,781

)

 

Net Assets

 

$

651,294

   

The accompanying notes are an integral part of the financial statements.
18


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Core Plus Fixed Income Portfolio

Statement of Assets and Liabilities (cont'd)

  September 30, 2022
(000)
 

CLASS I:

 

Net Assets

 

$

470,728

   
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)    

49,799,044

   

Net Asset Value, Offering and Redemption Price Per Share

 

$

9.45

   

CLASS A:

 

Net Assets

 

$

61,429

   
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)    

6,487,383

   

Net Asset Value, Redemption Price Per Share

 

$

9.47

   

Maximum Sales Load

   

3.25

%

 

Maximum Sales Charge

 

$

0.32

   

Maximum Offering Price Per Share

 

$

9.79

   

CLASS L:

 

Net Assets

 

$

859

   
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)    

90,636

   

Net Asset Value, Offering and Redemption Price Per Share

 

$

9.48

   

CLASS C:

 

Net Assets

 

$

14,947

   
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)    

1,590,858

   

Net Asset Value, Offering and Redemption Price Per Share

 

$

9.40

   

CLASS R6:*

 

Net Assets

 

$

103,331

   
Shares Outstanding (unlimited number of shares authorized, no par value) (not in 000's)    

10,937,703

   

Net Asset Value, Offering and Redemption Price Per Share

 

$

9.45

   
(1) Including:
Securities on Loan, at Value:
 

$

5,065

   

*    Effective April 29, 2022, Class IS shares were renamed Class R6 shares.

@ Amount is less than $500.

The accompanying notes are an integral part of the financial statements.
19


Morgan Stanley Institutional Fund Trust

Annual Report — September 30, 2022

Core Plus Fixed Income Portfolio

Statement of Operations

  Year Ended
September 30, 2022
(000)
 

Investment Income:

 

Interest from Securities of Unaffiliated Issuers (Net of $27 of Foreign Taxes Withheld)

 

$

25,531

   

Dividends from Security of Affiliated Issuer (Note G)

   

504

   

Income from Securities Loaned — Net

   

46

   

Total Investment Income

   

26,081

   

Expenses:

 

Advisory Fees (Note B)

   

3,096

   

Sub Transfer Agency Fees — Class I

   

619

   

Sub Transfer Agency Fees — Class A

   

90

   

Sub Transfer Agency Fees — Class L

   

@

 

Sub Transfer Agency Fees — Class C

   

14

   

Administration Fees (Note C)

   

660

   

Shareholder Services Fees — Class A (Note D)

   

200

   

Distribution and Shareholder Services Fees — Class L (Note D)

   

5

   

Distribution and Shareholder Services Fees — Class C (Note D)

   

207

   

Professional Fees

   

172

   

Registration Fees

   

115

   

Pricing Fees

   

91

   

Shareholder Reporting Fees

   

77

   

Custodian Fees (Note F)

   

72

   

Transfer Agency Fees — Class I (Note E)

   

23

   

Transfer Agency Fees — Class A (Note E)

   

5

   

Transfer Agency Fees — Class L (Note E)

   

2

   

Transfer Agency Fees — Class C (Note E)

   

5

   

Transfer Agency Fees — Class R6* (Note E)

   

3

   

Trustees' Fees and Expenses

   

15

   

Other Expenses

   

38

   

Total Expenses

   

5,509

   

Waiver of Advisory Fees (Note B)

   

(1,282

)

 

Reimbursement of Class Specific Expenses — Class I (Note B)

   

(340

)

 

Reimbursement of Class Specific Expenses — Class L (Note B)

   

(1

)

 

Reimbursement of Class Specific Expenses — Class R6* (Note B)

   

(3

)

 

Rebate from Morgan Stanley Affiliate (Note G)

   

(66

)

 

Net Expenses

   

3,817

   

Net Investment Income

   

22,264

   

Realized Gain (Loss):

 

Investments Sold

   

(38,026

)

 

Foreign Currency Forward Exchange Contracts

   

4,744

   

Foreign Currency Translation

   

(113

)

 

Futures Contracts

   

(19,645

)

 

Swap Agreements

   

501

   

Net Realized Loss

   

(52,539

)

 

Change in Unrealized Appreciation (Depreciation):

 

Investments (Net of Decrease in Deferred Capital Gain Country Tax of $39)

   

(99,708

)

 

Foreign Currency Forward Exchange Contracts

   

1,472

   

Foreign Currency Translation

   

(5

)