N-Q 1 a08-15280_6nq.htm N-Q

 

[Annotated 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

811-08460

 

MORGAN STANLEY GLOBAL OPPORTUNITY BOND FUND, INC.

(Exact name of registrant as specified in charter)

522 Fifth Avenue, New York, NY

10036

(Address of principal executive offices)

(Zip code)

RONALD E. ROBISON
522 Fifth Avenue, New York, NY 10036

(Name and address of agent for service)

 

 

 

Registrant’s telephone number, including area code:

1-800-231-2608

 

 

Date of fiscal year end:

12/31

 

 

Date of reporting period:

3/31/08

 

 



 

Item 1.  Schedule of Investments.

 

The Fund’s schedule of investment as of the close of the reporting period prepared pursuant to Rule 12-12 Regulation S-X is as follows:

 



 

Morgan Stanley Global Opportunity Bond Fund, Inc.
Portfolio of Investments

First Quarter Report

March 31, 2008 (unaudited)

 

(Showing Percentages of Total Value of Investments)

 

 

 

Face

 

 

 

 

 

Amount

 

Value

 

 

 

(000)

 

(000)

 

Debt Instruments (96.9%)

 

 

 

 

 

Argentina (1.1%)

 

 

 

 

 

Sovereign (1.1%)

 

 

 

 

 

Republic of Argentina,

 

 

 

 

 

5.83%, 12/31/33

 

$

497

 

$

168

 

8.28%, 12/31/33

 

(f)295

 

204

 

 

 

 

 

372

 

Bermuda (0.4%)

 

 

 

 

 

Corporate (0.4%)

 

 

 

 

 

Intelsat Subsidiary Holding Co., Ltd.,

 

 

 

 

 

8.63%, 1/15/15

 

125

 

127

 

Brazil (8.6%)

 

 

 

 

 

Corporate (0.6%)

 

 

 

 

 

Banco ABN Amro Real S.A.,

 

 

 

 

 

16.20%, 2/22/10

 

BRL

330

 

200

 

Sovereign (8.0%)

 

 

 

 

 

Federative Republic of Brazil,

 

 

 

 

 

Zero Coupon, 1/1/10

 

$

379

 

210

 

6.00%, 1/17/17

 

450

 

460

 

8.00%, 1/15/18

 

660

 

741

 

8.88%, 10/14/19 - 4/15/24

 

476

 

589

 

10.50%, 7/14/14

 

130

 

165

 

11.00%, 8/17/40

 

340

 

456

 

14.50%, 10/15/09

 

151

 

177

 

 

 

 

 

2,798

 

 

 

 

 

2,998

 

Bulgaria (0.9%)

 

 

 

 

 

Sovereign (0.9%)

 

 

 

 

 

Republic of Bulgaria

 

 

 

 

 

8.25%, 1/15/15

 

(b)141

 

165

 

Republic of Bulgaria (Registered),

 

 

 

 

 

8.25%, 1/15/15

 

120

 

141

 

 

 

 

 

306

 

Canada (2.2%)

 

 

 

 

 

Corporate (2.2%)

 

 

 

 

 

CanWest MediaWorks, Inc.,

 

 

 

 

 

8.00%, 9/15/12

 

171

 

164

 

CHC Helicopter Corp.,

 

 

 

 

 

7.38%, 5/1/14

 

(c)195

 

195

 

Husky Oil Co.,

 

 

 

 

 

8.90%, 8/15/28

 

(a)(c)155

 

157

 

Nortel Networks Corp. (Convertible),

 

 

 

 

 

4.25%, 9/1/08

 

37

 

37

 

Novelis, Inc.,

 

 

 

 

 

7.25%, 2/15/15

 

175

 

156

 

OPTI Canada Inc.,

 

 

 

 

 

8.25%, 12/15/14

 

75

 

74

 

 

 

 

 

783

 

Chile (0.8%)

 

 

 

 

 

Corporate (0.8%)

 

 

 

 

 

Empresa Nacional de Petroleo,

 

 

 

 

 

6.75%, 11/15/12

 

(b)250

 

270

 

Colombia (0.3%)

 

 

 

 

 

Sovereign (0.3%)

 

 

 

 

 

Republic of Colombia,

 

 

 

 

 

11.75%, 2/25/20

 

70

 

104

 

 



 

Denmark (0.3%)

 

 

 

 

 

Corporate (0.3%)

 

 

 

 

 

Nordic Telephone Co. Holdings A.p.S.,

 

 

 

 

 

8.88%, 5/1/16

 

(b)35

 

34

 

TDC A/S,

 

 

 

 

 

6.50%, 4/19/12

 

EUR

40

 

60

 

 

 

 

 

94

 

Ecuador (0.5%)

 

 

 

 

 

Sovereign (0.5%)

 

 

 

 

 

Republic of Ecuador (Registered),

 

 

 

 

 

10.00%, 8/15/30

 

$

 (g)190

 

184

 

Egypt (0.4%)

 

 

 

 

 

Sovereign (0.4%)

 

 

 

 

 

Arab Republic of Egypt,

 

 

 

 

 

8.75%, 7/18/12

 

EGP

820

 

154

 

France (0.4%)

 

 

 

 

 

Corporate (0.4%)

 

 

 

 

 

Cie Generale de Geophysique-Veritas S.A.,

 

 

 

 

 

7.50%, 5/15/15

 

$

 65

 

66

 

Crown European Holdings S.A.,

 

 

 

 

 

6.25%, 9/1/11

 

EUR

50

 

76

 

 

 

 

 

142

 

Ghana (0.8%)

 

 

 

 

 

Sovereign (0.8%)

 

 

 

 

 

Republic of Ghana,

 

 

 

 

 

8.50%, 10/4/17

 

$

250

 

262

 

Indonesia (1.5%)

 

 

 

 

 

Corporate (1.0%)

 

 

 

 

 

Pindo Deli Finance BV,

 

 

 

 

 

Tranche A, 4.25%, 4/28/15

 

(a)(b)34

 

26

 

Tranche B, 4.25%, 4/28/18

 

(a)(b)146

 

60

 

Tranche C, Zero Coupon, 4/28/25

 

(a)(b)587

 

65

 

Tijiwi Kimia Finance BV,

 

 

 

 

 

Tranche A, 4.28%, 4/28/18

 

(a)(b)144

 

58

 

Tranche B, 4.24%, 4/28/15

 

(a)(b)120

 

91

 

Tranche C, Zero Coupon, 4/28/27

 

(a)(b)268

 

30

 

 

 

 

 

330

 

Sovereign (0.5%)

 

 

 

 

 

Republic of Indonesia,

 

 

 

 

 

7.75%, 1/17/38

 

180

 

187

 

 

 

 

 

517

 

Ivory Coast (0.2%)

 

 

 

 

 

Sovereign (0.2%)

 

 

 

 

 

Ivory Coast,

 

 

 

 

 

3.00%, 3/31/18

 

(e)180

 

65

 

Luxembourg (0.7%)

 

 

 

 

 

Corporate (0.7%)

 

 

 

 

 

FMC Finance III S.A.,

 

 

 

 

 

6.88%, 7/15/17

 

120

 

120

 

Wind Acquisition Finance S.A.,

 

 

 

 

 

10.75%, 12/1/15

 

(b)115

 

118

 

 

 

 

 

238

 

Malaysia (0.2%)

 

 

 

 

 

Sovereign (0.2%)

 

 

 

 

 

Government of Malaysia,

 

 

 

 

 

7.50%, 7/15/11

 

30

 

34

 

8.75%, 6/1/09

 

39

 

41

 

 

 

 

 

75

 

Mexico (10.3%)

 

 

 

 

 

Corporate (5.4%)

 

 

 

 

 

Axtel S.A.B. de C.V.,

 

 

 

 

 

11.00%, 12/15/13

 

118

 

129

 

Pemex Project Funding Master Trust,

 

 

 

 

 

4.10%, 6/15/10

 

(a)(b)330

 

329

 

5.75%, 3/1/18

 

(b)670

 

687

 

 



 

8.63%, 12/1/23

 

250

 

318

 

9.13%, 10/13/10

 

360

 

404

 

 

 

 

 

1,867

 

Sovereign (4.9%)

 

 

 

 

 

Mexican Bonos,

 

 

 

 

 

8.00%, 12/17/15

 

MXN

4,210

 

409

 

9.50%, 12/18/14

 

5,320

 

556

 

United Mexican States,

 

 

 

 

 

 

5.63%, 1/15/17

 

$

518

 

546

 

6.75%, 9/27/34

 

95

 

106

 

8.38%, 1/14/11

 

85

 

96

 

 

 

 

 

1,713

 

 

 

 

 

3,580

 

Netherlands (0.3%)

 

 

 

 

 

Corporate (0.3%)

 

 

 

 

 

Intergen N.V.,

 

 

 

 

 

9.00%, 6/30/17

 

(b)105

 

110

 

Panama (1.4%)

 

 

 

 

 

Sovereign (1.4%)

 

 

 

 

 

Republic of Panama,

 

 

 

 

 

7.13%, 1/29/26

 

150

 

163

 

7.25%, 3/15/15

 

60

 

66

 

9.38%, 4/1/29

 

150

 

198

 

9.63%, 2/8/11

 

66

 

75

 

 

 

 

 

502

 

Peru (1.9%)

 

 

 

 

 

Sovereign (1.9%)

 

 

 

 

 

Republic of Peru,

 

 

 

 

 

8.38%, 5/3/16

 

90

 

108

 

8.75%, 11/21/33

 

240

 

313

 

9.88%, 2/6/15

 

180

 

228

 

 

 

 

 

649

 

Philippines (5.6%)

 

 

 

 

 

Sovereign (5.6%)

 

 

 

 

 

Republic of Philippines,

 

 

 

 

 

8.88%, 3/17/15

 

962

 

1,141

 

9.00%, 2/15/13

 

180

 

211

 

9.50%, 2/2/30

 

453

 

592

 

 

 

 

 

1,944

 

Qatar (0.5%)

 

 

 

 

 

Sovereign (0.5%)

 

 

 

 

 

State of Qatar (Registered),

 

 

 

 

 

9.75%, 6/15/30

 

110

 

172

 

Russia (8.8%)

 

 

 

 

 

Corporate (3.0%)

 

 

 

 

 

Gaz Capital S.A.,

 

 

 

 

 

6.21%, 11/22/16

 

(b)252

 

234

 

8.63%, 4/28/34

 

290

 

331

 

JPMorgan & Chase Co.,

 

 

 

 

 

7.00%, 6/28/17

 

RUB

6,000

 

210

 

TNK-BP Finance S.A.,

 

 

 

 

 

7.88%, 3/13/18

 

$

(b)295

 

274

 

 

 

 

 

1,049

 

Sovereign (5.8%)

 

 

 

 

 

Credit Suisse, Russian Federation (Registered) Credit Link Notes,

 

 

 

 

 

7.50%, 3/31/30

 

(g)298

 

344

 

RSHB Capital S.A. for OJSC Russian Agricultural Bank,

 

 

 

 

 

6.30%, 5/15/17

 

(b)100

 

93

 

7.18%, 5/16/13

 

(b)210

 

214

 

7.18%, 5/16/13

 

100

 

102

 

Russian Federation (Registered),

 

 

 

 

 

7.50%, 3/31/30

 

(g)672

 

776

 

11.00%, 7/24/18

 

56

 

82

 

12.75%, 6/24/28

 

65

 

117

 

 

 

 

 

 

 

 



 

Russian Ministry of Finance,

 

 

 

 

 

3.00%, 5/14/11

 

310

 

298

 

 

 

 

 

2,026

 

 

 

 

 

3,075

 

South Korea (0.6%)

 

 

 

 

 

Sovereign (0.6%)

 

 

 

 

 

Korea Development Bank,

 

 

 

 

 

5.30%, 1/17/13

 

200

 

205

 

Trinidad (0.5%)

 

 

 

 

 

Corporate (0.5%)

 

 

 

 

 

National Gas of Trinidad & Tobago Ltd.,

 

 

 

 

 

6.05%, 1/15/36

 

(b)172

 

162

 

Turkey (4.4%)

 

 

 

 

 

Sovereign (4.4%)

 

 

 

 

 

Republic of Turkey,

 

 

 

 

 

6.75%, 4/3/18

 

679

 

677

 

11.00%, 1/14/13

 

527

 

643

 

11.50%, 1/23/12

 

20

 

24

 

11.88%, 1/15/30

 

134

 

199

 

 

 

 

 

1,543

 

Ukraine (0.5%)

 

 

 

 

 

Sovereign (0.5%)

 

 

 

 

 

Republic of Ukraine,

 

 

 

 

 

6.58%, 11/21/16

 

190

 

189

 

United Kingdom (0.1%)

 

 

 

 

 

Corporate (0.1%)

 

 

 

 

 

Esprit Telecom Group plc,

 

 

 

 

 

11.00%, 6/15/08

 

EUR

(d)(e)(f)233

 

 

Virgin Media Finance plc,

 

 

 

 

 

8.75%, 4/15/14

 

$

20

 

18

 

 

 

 

 

18

 

United States (38.4%)

 

 

 

 

 

Bank Loans (0.5%)

 

 

 

 

 

First Data Corp.,

 

 

 

 

 

5.35%, 9/24/14

 

93

 

84

 

5.45%, 9/24/14

 

7

 

6

 

Sandridge Energy,

 

 

 

 

 

8.63%, 4/1/15

 

85

 

84

 

 

 

 

 

174

 

Corporate (34.0%)

 

 

 

 

 

AES Corp. (The),

 

 

 

 

 

7.75%, 3/1/14

 

40

 

40

 

8.88%, 2/15/11

 

9

 

9

 

9.38%, 9/15/10

 

16

 

17

 

Allied Waste North America, Inc.,

 

 

 

 

 

5.75%, 2/15/11

 

(b)60

 

59

 

6.38%, 4/15/11

 

150

 

148

 

American Tower Corp.,

 

 

 

 

 

7.13%, 10/15/12

 

120

 

123

 

7.50%, 5/1/12

 

75

 

77

 

Aramark Corp.,

 

 

 

 

 

5.00%, 6/1/12

 

50

 

44

 

6.74%, 2/1/15

 

(a)(b)5

 

4

 

8.50%, 2/1/15

 

(b)30

 

30

 

ArvinMeritor, Inc.,

 

 

 

 

 

8.75%, 3/1/12

 

(c)160

 

147

 

Asbury Automotive Group, Inc.,

 

 

 

 

 

7.63%, 3/15/17

 

45

 

36

 

Baldor Electric Co.,

 

 

 

 

 

8.63%, 2/15/17

 

40

 

40

 

Berry Plastics Holding Corp.,

 

 

 

 

 

8.88%, 9/15/14

 

125

 

110

 

10.25%, 3/1/16

 

80

 

62

 

Brown Shoe Co., Inc.,

 

 

 

 

 

8.75%, 5/1/12

 

(c)100

 

100

 

 



 

Cablevision Systems Corp.,

 

 

 

 

 

9.64%, 4/1/09

 

(a)155

 

155

 

Capmark Financial Group, Inc.,

 

 

 

 

 

5.88%, 5/10/12

 

(b)290

 

184

 

6.30%, 5/10/17

 

(b)10

 

6

 

Charter Communications Holdings I, LLC,

 

 

 

 

 

11.00%, 10/1/15

 

60

 

42

 

Charter Communications Holdings II, LLC,

 

 

 

 

 

10.25%, 9/15/10

 

40

 

37

 

Chaparral Energy, Inc.,

 

 

 

 

 

8.50%, 12/1/15

 

(c)140

 

123

 

8.88%, 2/1/17

 

20

 

17

 

Chesapeake Energy Corp.,

 

 

 

 

 

7.50%, 9/15/13

 

140

 

145

 

7.63%, 7/15/13

 

25

 

26

 

Cimarex Energy Co.,

 

 

 

 

 

7.13%, 5/1/17

 

30

 

30

 

Citizens Communications Co.,

 

 

 

 

 

6.25%, 1/15/13

 

45

 

41

 

Colorado Interstate Gas Co.,

 

 

 

 

 

6.80%, 11/15/15

 

235

 

243

 

Community Health Systems, Inc.,

 

 

 

 

 

8.88%, 7/15/15

 

85

 

86

 

Constellations Brands, Inc.,

 

 

 

 

 

7.25%, 5/15/17

 

70

 

68

 

Crown Americas, LLC/ Crown Americas Capital Corp.,

 

 

 

 

 

7.63%, 11/15/13

 

(c)70

 

72

 

DaVita, Inc.,

 

 

 

 

 

6.63%, 3/15/13

 

(c)220

 

214

 

Delhaize America, Inc.,

 

 

 

 

 

9.00%, 4/15/31

 

56

 

68

 

Dex Media West, LLC,

 

 

 

 

 

9.88%, 8/15/13

 

69

 

60

 

DirecTV Holdings LLC/DirecTV Financing Co.,

 

 

 

 

 

6.38%, 6/15/15

 

15

 

14

 

Dynegy Holdings, Inc.,

 

 

 

 

 

7.75%, 6/1/19

 

95

 

89

 

Echostar DBS Corp.,

 

 

 

 

 

6.38%, 10/1/11

 

120

 

116

 

6.63%, 10/1/14

 

50

 

46

 

Equitable Resources, Inc.,

 

 

 

 

 

6.50%, 4/1/18

 

50

 

50

 

Exodus Communications, Inc.,

 

 

 

 

 

11.63%, 7/15/10

 

(d)(e)(f)158

 

 

Fisher Scientific International, Inc.,

 

 

 

 

 

6.13%, 7/1/15

 

170

 

170

 

Ford Motor Credit Co., LLC

 

 

 

 

 

7.00%, 10/1/13

 

275

 

215

 

7.25%, 10/25/11

 

(c)235

 

193

 

Foundation PA Coal Co.,

 

 

 

 

 

7.25%, 8/1/14

 

35

 

35

 

Freeport-McMoran Copper & Gold, Inc.,

 

 

 

 

 

8.38%, 4/1/17

 

115

 

122

 

Freescale Semiconductor, Inc.,

 

 

 

 

 

8.88%, 12/15/14

 

130

 

102

 

Fresenius Medical Capital Trust IV,

 

 

 

 

 

7.88%, 6/15/11

 

35

 

36

 

General Motors Corp.,

 

 

 

 

 

8.38%, 7/15/33

 

60

 

43

 

Georgia-Pacific Corp.,

 

 

 

 

 

7.13%, 1/15/17

 

(b)105

 

98

 

Glatfelter,

 

 

 

 

 

7.13%, 5/1/16

 

30

 

30

 

General Motors Acceptance Corp. LLC,

 

 

 

 

 

6.88%, 9/15/11

 

(c)255

 

195

 

 



 

GrafTech Finance, Inc.,

 

 

 

 

 

10.25%, 2/15/12

 

15

 

16

 

Graham Packaging Co., Inc.,

 

 

 

 

 

8.50%, 10/15/12

 

30

 

27

 

9.88%, 10/15/14

 

(c)135

 

114

 

Graphic Packaging International Corp.,

 

 

 

 

 

9.50%, 8/15/13

 

(c)135

 

130

 

Harrahs Operating Co., Inc,

 

 

 

 

 

5.38%, 12/15/13

 

295

 

192

 

HCA, Inc.,

 

 

 

 

 

5.75%, 3/15/14

 

55

 

46

 

6.25%, 2/15/13

 

40

 

35

 

6.50%, 2/15/16

 

50

 

42

 

7.58%, 9/15/25

 

65

 

51

 

7.69%, 6/15/25

 

25

 

20

 

8.75%, 9/1/10

 

35

 

35

 

9.13%, 11/15/14

 

35

 

36

 

Helix Energy Solutions Group, Inc.,

 

 

 

 

 

9.50%, 1/15/16

 

(b)90

 

90

 

Hilcorp Energy I, LP / Hilcorp Finance Co.,

 

 

 

 

 

7.75%, 11/1/15

 

(b)185

 

174

 

Host Marriott LP,

 

 

 

 

 

6.38%, 3/15/15

 

50

 

47

 

7.13%, 11/1/13

 

90

 

89

 

Idearc, Inc.,

 

 

 

 

 

8.00%, 11/15/16

 

300

 

196

 

Innophos Holdings, Inc.,

 

 

 

 

 

9.50%, 4/15/12

 

(b)50

 

47

 

Innophos, Inc.,

 

 

 

 

 

8.88%, 8/15/14

 

80

 

78

 

Intelsat Corp.,

 

 

 

 

 

9.00%, 8/15/14

 

17

 

17

 

Interface, Inc.,

 

 

 

 

 

9.50%, 2/1/14

 

90

 

94

 

10.38%, 2/1/10

 

30

 

32

 

Interpublic Group of Cos., Inc.,

 

 

 

 

 

6.25%, 11/15/14

 

60

 

49

 

Ipalco Enterprises, Inc.,

 

 

 

 

 

8.38%, 11/14/08

 

75

 

76

 

8.63%, 11/14/11

 

30

 

32

 

Iron Mountain, Inc.,

 

 

 

 

 

7.75%, 1/15/15

 

40

 

40

 

8.63%, 4/1/13

 

(c)130

 

132

 

Isle of Capri Casinos, Inc.,

 

 

 

 

 

7.00%, 3/1/14

 

280

 

201

 

Invacare Corp.,

 

 

 

 

 

9.75%, 2/15/15

 

20

 

20

 

Jarden Corp.,

 

 

 

 

 

7.50%, 5/1/17

 

115

 

101

 

Johnsondiversey, Inc.,

 

 

 

 

 

9.63%, 5/15/12

 

(c)125

 

124

 

9.63%, 5/15/12

 

EUR

25

 

37

 

Knight, Inc.,

 

 

 

 

 

 

6.50%, 9/1/12

 

$

111

 

113

 

Koppers Holdings, Inc.,

 

 

 

 

 

Zero Coupon, 11/15/14

 

(g)60

 

52

 

Koppers, Inc.,

 

 

 

 

 

9.88%, 10/15/13

 

45

 

47

 

Las Vegas Sands Corp.,

 

 

 

 

 

6.38%, 2/15/15

 

105

 

93

 

LIN Television Corp.,

 

 

 

 

 

6.50%, 5/15/13

 

90

 

84

 

LVB Acquisition Merger Sub, Inc., PIK

 

 

 

 

 

10.38%, 10/15/17

 

(b)50

 

52

 

Massey Energy Co.,

 

 

 

 

 

6.88%, 12/15/13

 

165

 

160

 

 



 

Medco Health Solutions, Inc.,

 

 

 

 

 

7.13%, 3/15/18

 

60

 

62

 

MGM Mirage,

 

 

 

 

 

5.88%, 2/27/14

 

115

 

99

 

6.00%, 10/1/09

 

200

 

199

 

Michael Foods, Inc.,

 

 

 

 

 

8.00%, 11/15/13

 

75

 

74

 

Nalco Co.,

 

 

 

 

 

7.75%, 11/15/11

 

(c)70

 

71

 

National Mentor Holdings, Inc.,

 

 

 

 

 

11.25%, 7/1/14

 

75

 

77

 

Nortek, Inc.,

 

 

 

 

 

8.50%, 9/1/14

 

130

 

97

 

NRG Energy, Inc.,

 

 

 

 

 

7.38%, 1/15/17

 

90

 

88

 

Omnicare, Inc.,

 

 

 

 

 

6.75%, 12/15/13

 

95

 

85

 

6.88%, 12/15/15

 

80

 

70

 

Ormat Funding Corp.,

 

 

 

 

 

8.25%, 12/30/20

 

134

 

136

 

Owens-Illinois, Inc.,

 

 

 

 

 

7.35%, 5/15/08

 

20

 

20

 

7.50%, 5/15/10

 

(c)285

 

293

 

Oxford Industries, Inc.,

 

 

 

 

 

8.88%, 6/1/11

 

(c)70

 

67

 

Pacific Energy Partners, LP/Pacific Energy Finance Corp.,

 

 

 

 

 

7.13%, 6/15/14

 

90

 

95

 

Penske Auto Group, Inc.,

 

 

 

 

 

7.75%, 12/15/16

 

80

 

70

 

Phillips-Van Heusen Corp.,

 

 

 

 

 

7.25%, 2/15/11

 

(c)130

 

130

 

Pilgrim’s Pride Corp.,

 

 

 

 

 

7.63%, 5/1/15

 

175

 

169

 

Propex, Inc.,

 

 

 

 

 

10.00%, 12/1/12

 

(c)(e)90

 

11

 

Pulte Homes, Inc.,

 

 

 

 

 

6.38%, 5/15/33

 

15

 

12

 

Qwest Capital Funding, Inc.,

 

 

 

 

 

7.25%, 2/15/11

 

20

 

19

 

Qwest Communications International, Inc.,

 

 

 

 

 

6.57%, 2/15/09

 

(a)(c)51

 

51

 

Qwest Corp.,

 

 

 

 

 

5.63%, 11/15/08

 

25

 

25

 

RBS Global, Inc. / Rexnord LLC,

 

 

 

 

 

9.50%, 8/1/14

 

140

 

132

 

Realogy Corp,

 

 

 

 

 

10.50%, 4/15/14

 

115

 

78

 

Reliant Energy, Inc.,

 

 

 

 

 

7.88%, 6/15/17

 

90

 

90

 

Reynolds American, Inc.,

 

 

 

 

 

6.50%, 7/15/10

 

85

 

87

 

Rhythms NetConnections, Inc.,

 

 

 

 

 

13.88%, 5/15/08

 

(d)(e)(f)570

 

 

14.00%, 2/15/10

 

(d)(e)(f)179

 

 

Rite Aid Corp.,

 

 

 

 

 

8.13%, 5/1/10

 

145

 

142

 

Rockwood Specialties Group, Inc.,

 

 

 

 

 

7.63%, 11/15/14

 

EUR

 50

 

73

 

Sierra Pacific Power Co.,

 

 

 

 

 

 

6.25%, 4/15/12

 

$

70

 

72

 

Smithfield Foods, Inc.,

 

 

 

 

 

7.00%, 8/1/11

 

(c)70

 

69

 

8.00%, 10/15/09

 

50

 

51

 

Sonic Automotive, Inc.,

 

 

 

 

 

8.63%, 8/15/13

 

190

 

177

 

 



 

Station Casinos, Inc.,

 

 

 

 

 

6.00%, 4/1/12

 

180

 

149

 

7.75%, 8/15/16

 

40

 

32

 

Sun Healthcare Group, Inc.,

 

 

 

 

 

9.13%, 4/15/15

 

65

 

63

 

SunGard Data Systems, Inc.,

 

 

 

 

 

9.13%, 8/15/13

 

95

 

96

 

SUPERVALU, Inc.,

 

 

 

 

 

7.50%, 5/15/12 - 11/15/14

 

115

 

118

 

Tenet Healthcare Corp.,

 

 

 

 

 

7.38%, 2/1/13

 

185

 

166

 

9.88%, 7/1/14

 

45

 

44

 

Terra Capital, Inc.,

 

 

 

 

 

7.00%, 2/1/17

 

90

 

89

 

Texas Competitive Electric Holdings Co., LLC,

 

 

 

 

 

10.25%, 11/1/15

 

(b)245

 

245

 

Univision Communications, Inc. PIK,

 

 

 

 

 

9.75%, 3/15/15

 

(b)60

 

37

 

Valassis Communications, Inc.,

 

 

 

 

 

8.25%, 3/1/15

 

115

 

95

 

Vangent, Inc.,

 

 

 

 

 

9.63%, 2/15/15

 

65

 

52

 

Warner Chilcott Corp.,

 

 

 

 

 

8.75%, 2/1/15

 

77

 

77

 

Westlake Chemical Corp.,

 

 

 

 

 

6.63%, 1/15/16

 

90

 

79

 

Williams Cos., Inc.,

 

 

 

 

 

7.88%, 9/1/21

 

180

 

196

 

Windstream Corp.,

 

 

 

 

 

8.13%, 8/1/13

 

40

 

40

 

 

 

 

 

11,807

 

Mortgages (3.5%)

 

 

 

 

 

American Home Mortgage Assets,

 

 

 

 

 

2.91%, 10/25/46

 

(a)80

 

40

 

Banc of America Commercial Mortgage, Inc.,

 

 

 

 

 

5.41%, 9/10/47

 

75

 

74

 

5.66%, 6/10/49

 

(a)125

 

124

 

5.75%, 2/10/51

 

(a)75

 

75

 

Bear Stearns Commercial Mortgage Securities,

 

 

 

 

 

5.69%, 6/11/50

 

(a)75

 

74

 

CA FM Lease Trust,

 

 

 

 

 

8.50%, 7/15/17

 

(b)75

 

86

 

Citigroup Commercial Mortgage Trust,

 

 

 

 

 

5.43%, 10/15/49

 

75

 

74

 

5.70%, 12/10/49

 

(a)75

 

75

 

Commercial Mortgage Pass Through Certificates,

 

 

 

 

 

5.82%, 12/10/49

 

(a)75

 

75

 

Countrywide Alternative Loan Trust,

 

 

 

 

 

2.82%, 3/20/47

 

(a)59

 

28

 

3.12%, 10/25/46

 

(a)50

 

5

 

3.30%, 2/25/36

 

(a)25

 

11

 

3.42%, 1/25/36

 

(a)85

 

33

 

GS Mortgage Securities Corp. II,

 

 

 

 

 

5.80%, 8/10/45

 

(a)75

 

75

 

Harborview Mortgage Loan Trust,

 

 

 

 

 

3.15%, 8/21/36

 

(a)50

 

10

 

3.26%, 1/19/36

 

(a)74

 

30

 

JPMorgan Chase Commercial Mortgage Securities Corp.,

 

 

 

 

 

5.75%, 2/12/49

 

(a)75

 

75

 

5.81%, 6/15/49

 

(a)75

 

75

 

LB-UBS Commercial Mortgage Trust,

 

 

 

 

 

5.86%, 7/15/40

 

(a)75

 

75

 

Luminent Mortgage Trust,

 

 

 

 

 

2.96%, 7/25/36

 

(a)75

 

32

 

 



 

Mastr Adjustable Rate Mortgages Trust,

 

 

 

 

 

3.00%, 1/25/47

 

(a)25

 

6

 

Wachovia Bank Commercial Mortgage Trust,

 

 

 

 

 

5.74%, 6/15/49

 

(a)75

 

74

 

 

 

 

 

1,226

 

Sovereign (0.4%)

 

 

 

 

 

U.S. Treasury Bond,

 

 

 

 

 

4.50%, 2/15/36

 

130

 

135

 

 

 

 

 

13,342

 

Venezuela (4.3%)

 

 

 

 

 

Sovereign (4.3%)

 

 

 

 

 

Republic of Venezuela,

 

 

 

 

 

8.50%, 10/8/14

 

120

 

112

 

9.25%, 9/15/27

 

751

 

715

 

10.75%, 9/19/13

 

640

 

654

 

 

 

 

 

1,481

 

Total Debt Instruments (Cost $34,940)

 

 

 

33,663

 

 

 

 

Shares

 

 

 

Common Stocks (0.0%)

 

 

 

 

 

United Kingdom (0.0%)

 

 

 

 

 

Viatel Holding Bermuda Ltd.

 

(h)290

 

@—

 

United States (0.0%)

 

 

 

 

 

PNM Resources, Inc.

 

23

 

@—

 

SW Acquisition LP

 

(d)(f)(h)1

 

 

XO Holdings, Inc.

 

(h)287

 

@—

 

Total Common Stocks (Cost $381)

 

 

 

@—

 

 

 

 

No. of
Warrants

 

 

 

Warrants (0.4%)

 

 

 

 

 

Nigeria (0.3%)

 

 

 

 

 

Central Bank of Nigeria,

 

 

 

 

 

expiring, 11/15/20

 

(a)500

 

115

 

United States (0.0)%

 

 

 

 

 

XO Holdings, Inc., Series A,

 

 

 

 

 

expiring 1/16/10

 

(h)576

 

@—

 

XO Holdings, Inc., Series B,

 

 

 

 

 

expring 1/16/10

 

(h)432

 

@—

 

XO Holdings, Inc., Series C,

 

 

 

 

 

expiring 1/16/10

 

(h)433

 

@—

 

 

 

 

 

@—

 

Venezuela (0.1%)

 

 

 

 

 

Republic of Venezuela Oil-Linked Payment Obligation,

 

 

 

 

 

expiring, 4/15/20

 

950

 

35

 

Total Warrants (Cost $@—)

 

 

 

150

 

 

 

 

Shares

 

 

 

Short-Term Investments (2.7%)

 

 

 

 

 

United States (2.7%)

 

 

 

 

 

Investmeny Company (2.5%)

 

 

 

 

 

Morgan Stanley Institutional Liquidity Money Market Portfolio — Institutional Class

 

(i)871,429

 

871

 

 

 

 

 

 

 

 

 

Face

 

 

 

 

 

Amount

 

 

 

 

 

(000)

 

 

 

U.S. Treasury Security (0.2%)

 

 

 

 

 

U.S. Treasury Bill,

 

 

 

 

 

0.73%, 4/10/08

 

$

(j)(k)50

 

50

 

Total Short-Term Investments (Cost $921)

 

 

 

921

 

Total Investments + (100.0%) (Cost $36,242)

 

 

 

34,734

 

Liabilities in Excess of Other Assets

 

 

 

(2,561

)

Net Assets

 

 

 

$

32,173

 

 


(a)

 

Variable/Floating Rate Security Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on March 31, 2008.

(b)

 

144A Security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

 



 

(c)

 

Denotes all or a portion of securities subject to repurchase under the Reverse Repurchase Agreements as of March 31, 2008.

(d)

 

Security has been deemed illiquid at March 31, 2008.

(e)

 

Issuer is in default.

(f)

 

Security was valued at fair value — At March 31, 2008, the Fund held $204,000 of fair valued securities, representing 0.6% of net assets.

(g)

 

Step Bond — coupon rate increases in increments to maturity. Rate disclosed is as of March 31, 2008. Maturity date disclosed is ultimate maturity.

(h)

 

Non-income producing security.

(i)

 

The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Money Market Portfolio (the “Liquidity Fund”), an open-end management investment company managed by the Adviser. Investment Advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Liquidity Fund. For the three months ended March 31, 2008, advisory fees paid were reduced by less than $500 relating to the Fund’s investment in the Liquidity Fund. For the same period, income distributions earned by the Fund are recorded as dividends from affiliates and totaled approximately $6,000. During the three months ended March 31, 2008, the approximate cost of purchases and sales in the Liquidity Fund were $3,071,000 and $3,035,000, respectively.

(j)

 

All or a portion of the security was pledged to cover margin requirements for futures contracts.

(k)

 

Rate shown is the yield to maturity at March 31, 2008

@

 

Amount is less than $500.

BRL

 

Brazilian Real

EGP

 

Egyptian Pound

EUR

 

Euro

MXN

 

Mexican Peso

PIK

 

Payment-in-Kind. Income may be paid in additional securities or cash at the discretion of the issuers.

RUB

 

Russian Ruble

+

 

At March 31, 2008, the U.S. Federal income tax cost basis of investments was approximately $36,242,000 and, accordingly, net unrealized depreciation for U.S. Federal income tax purposes was $1,508,000 of which $1,406,000 related to appreciated securities and $2,914,000 related to depreciated securities.

 



 

Foreign Currency Exchange Contract Information:

 

The Fund had the following foreign currency exchange contract(s) open at period end:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net

 

Currency

 

 

 

 

 

In

 

 

 

Unrealized

 

to

 

 

 

 

 

Exchange

 

 

 

Appreciation

 

Deliver

 

Value

 

Settlement

 

For

 

Value

 

(Depreciation)

 

(000)

 

(000)

 

Date

 

(000)

 

(000)

 

(000)

 

EUR

 

217

 

$

342

 

4/30/08

 

USD

 

319

 

$

319

 

$

(23

)

USD

 

75

 

75

 

4/30/08

 

EUR

 

52

 

82

 

7

 

 

 

 

 

$

417

 

 

 

 

 

 

 

$

401

 

$

(16

)

 


USD

— United States Dollar

 



 

Futures Contracts:

 

The Fund had the following futures contract(s) open at period end:

 

 

 

Number
of
Contracts

 

Value
(000)

 

Expiration
Date

 

Net Unrealized
Appreciation
(Depreciation)
(000)

 

Long:

 

 

 

 

 

 

 

 

 

U.S. Treasury 2 yr. Note

 

4

 

$

859

 

Jun-08

 

$

4

 

U.S. Treasury 5 yr. Note

 

2

 

228

 

Jun-08

 

2

 

Short:

 

 

 

 

 

 

 

 

 

U.S. Treasury 2 yr. Note

 

3

 

644

 

Jun-08

 

1

 

U.S. Treasury 5 yr. Note

 

43

 

4912

 

Jun-08

 

23

 

U.S. Treasury 10 yr. Note

 

24

 

2781

 

Jun-08

 

(74

)

U.S. Treasury Long Bond

 

3

 

356

 

Jun-08

 

(11

)

10 yr. Swap

 

1

 

115

 

Jun-08

 

(3

)

 

 

 

 

 

 

 

 

$

(58

)

 



 

Credit Default Swap Contracts

 

The Fund had the following credit default swap agreement(s) open at period end:

 

Swap Counterparty and Reference Obligation

 

Buy/Sell
Protection

 

Notional
Amount
(000)

 

Pay/Receive
Fixed Rate

 

Termination
Date

 

Unrealized
Appreciation
(Depreciation)
(000)

 

Bank of America

 

Buy

 

$

95

 

1.57

%

3/20/18

 

$

(1

)

Carnival Corp., 6.65%, 1/15/28

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

Buy

 

60

 

0.70

 

3/20/13

 

(1

)

Goodrich Corp., 7.63%, 12/15/12

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

Buy

 

45

 

0.82

 

3/20/18

 

(1

)

Goodrich Corp., 7.63%, 12/15/12

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

Buy

 

60

 

1.03

 

3/18/20

 

1

 

Nordstrom, Inc., 6.95%, 3/15/28

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

Buy

 

140

 

1.38

 

3/20/13

 

(@—

)

Pactiv Corp., 8.13%, 6/15/17

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

Buy

 

30

 

1.08

 

3/20/18

 

1

 

Sealed Air Corp., 5.63%, 7/15/13

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

Buy

 

40

 

1.12

 

3/20/18

 

1

 

Sealed Air Corp., 5.63%, 7/15/13

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

Buy

 

75

 

0.80

 

3/20/18

 

5

 

Textron Financial Corp., 5.13%, 2/3/11

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

Buy

 

80

 

2.90

 

3/20/13

 

@—

 

Toll Brothers Finance Corp., 6.88%, 11/15/12

 

 

 

 

 

 

 

 

 

 

 

Bank of America

 

Buy

 

40

 

2.25

 

3/20/18

 

@—

 

Toll Brothers Finance Corp., 6.88%, 11/15/12

 

 

 

 

 

 

 

 

 

 

 

Citigroup

 

Buy

 

120

 

0.82

 

3/20/18

 

1

 

Eaton Corp., 7.65%, 11/15/29

 

 

 

 

 

 

 

 

 

 

 

Citigroup

 

Buy

 

75

 

0.62

 

3/20/13

 

1

 

Textron Financial Corp., 7.65%, 11/15/29

 

 

 

 

 

 

 

 

 

 

 

Citigroup

 

Buy

 

50

 

0.72

 

3/20/13

 

@—

 

Textron Financial Corp., 7.65%, 11/15/29

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

Buy

 

90

 

0.18

 

7/25/45

 

(4

)

ABX HE-AAA 06-1 Index

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

Buy

 

125

 

1.11

 

3/20/13

 

(1

)

Arrow Electronics, Inc., 6.88%, 6/1/18

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

Buy

 

100

 

1.00

 

3/20/15

 

@—

 

Arrow Electronics, Inc., 6.88%, 6/1/18

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

Buy

 

80

 

1.05

 

3/20/13

 

1

 

Nordstrom, Inc., 6.95%, 3/15/28

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

Buy

 

150

 

1.40

 

3/20/13

 

1

 

Nordstrom, Inc., 6.95%, 3/15/28

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

Buy

 

140

 

1.35

 

3/20/13

 

(@—

)

Pactiv Corp., 8.13%, 6/15/17

 

 

 

 

 

 

 

 

 

 

 

Credit Suisse

 

Buy

 

45

 

8.10

 

3/20/13

 

(2

)

PMI Group, Inc., 6.00%, 9/15/16

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank

 

Buy

 

85

 

5.00

 

6/20/13

 

(1

)

Dow Jones CDX North America Investment Grade Index, Series 9

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank

 

Buy

 

40

 

1.34

 

3/20/13

 

@—

 

Pactiv Corp., 8.13%, 6/15/17

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank

 

Buy

 

55

 

8.15

 

3/20/13

 

(4

)

PMI Group, Inc., 6.00%, 9/15/16

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

30

 

0.50

 

3/20/18

 

@—

 

American Standard, Inc., 7.63%, 2/15/10

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

15

 

0.60

 

3/20/18

 

@—

 

 



 

American Standard, Inc., 7.63%, 2/15/10

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

155

 

3.05

 

3/20/13

 

(2

)

AvalonBay Communities, Inc., 6.13%, 8/15/11

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

160

 

0.59

 

3/20/13

 

(@—

)

Coca-Cola Enterprises, Inc., 6.13%, 8/15/11

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Sell

 

175

 

1.40

 

12/20/12

 

2

 

Dow Jones CDX North America Investment Grade High Volatility Index, Series 9

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

50

 

0.97

 

3/20/18

 

(@—

)

Eaton Corp., 7.65%, 11/15/29

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

150

 

1.25

 

3/20/13

 

(1

)

FirstEnergy Corp., 7.38%, 11/15/31

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

50

 

0.47

 

3/20/18

 

1

 

Goodrich Corp., 7.63%, 12/15/12

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

85

 

2.45

 

12/20/12

 

1

 

Merrill Lynch & Co., 5.00%, 1/15/15

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

80

 

1.05

 

6/20/13

 

4

 

Nordstrom, Inc., 6.95%, 3/15/28

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

70

 

3.33

 

3/20/13

 

1

 

ProLogis, 5.50%, 3/1/13

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

60

 

1.08

 

3/20/18

 

2

 

Sealed Air Corp., 5.63%, 7/15/13

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

30

 

1.24

 

3/20/18

 

1

 

Sealed Air Corp., 5.63%, 7/15/13

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

100

 

2.32

 

3/20/18

 

(5

)

Simon Property Group LP, 6.35%, 8/28/12

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

120

 

2.37

 

3/20/18

 

(7

)

Simon Property Group LP, 6.35%, 8/28/12

 

 

 

 

 

 

 

 

 

 

 

Goldman Sachs

 

Buy

 

125

 

1.05

 

3/20/13

 

3

 

Textron Financial Corp., 5.13%, 2/3/11

 

 

 

 

 

 

 

 

 

 

 

JPMorgan Chase

 

Buy

 

30

 

0.60

 

3/20/13

 

@—

 

Eaton Corp., 7.65%, 11/15/29

 

 

 

 

 

 

 

 

 

 

 

JPMorgan Chase

 

Buy

 

80

 

2.30

 

3/20/13

 

1

 

Merrill Lynch & Co., 5.00%, 1/15/15

 

 

 

 

 

 

 

 

 

 

 

JPMorgan Chase

 

Buy

 

50

 

1.07

 

3/20/18

 

1

 

Nordstrom, Inc., 6.95%, 3/15/28

 

 

 

 

 

 

 

 

 

 

 

JPMorgan Chase

 

Buy

 

50

 

1.15

 

3/20/18

 

1

 

Nordstrom, Inc., 6.95%, 3/15/28

 

 

 

 

 

 

 

 

 

 

 

JPMorgan Chase

 

Buy

 

40

 

0.58

 

3/20/13

 

(@—

)

Pepsi Bottling Group, Inc., 7.00%, 3/1/29

 

 

 

 

 

 

 

 

 

 

 

JPMorgan Chase

 

Buy

 

55

 

0.63

 

3/20/13

 

(@—

)

Pepsi Bottling Group, Inc., 7.00%, 3/1/29

 

 

 

 

 

 

 

 

 

 

 

JPMorgan Chase

 

Buy

 

45

 

4.95

 

3/20/13

 

(5

)

SLM Corp., 5.13%, 8/27/12

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

Buy

 

90

 

0.18

 

7/25/45

 

(5

)

ABX HE-AAA 06-1 Index

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

Buy

 

230

 

1.40

 

3/20/13

 

(@—

)

Arrow Electronics, Inc., 6.88%, 6/1/18

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

Buy

 

20

 

1.04

 

3/20/18

 

@—

 

Arrow Electronics, Inc., 6.88%, 6/1/18

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

Buy

 

765

 

0.10

 

10/12/52

 

(49

)

CMBX NA S-1AAA Index

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

Buy

 

145

 

0.64

 

3/20/13

 

(1

)

Coca-Cola Enterprises, Inc., 6.13%, 8/15/11

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

Sell

 

530

 

3.75

 

12/20/12

 

(25

)

Dow Jones CDX North America High Yield Index, Series 9

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

Buy

 

55

 

0.45

 

3/20/18

 

1

 

Goodrich Corp., 7.63%, 12/15/12

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

Buy

 

40

 

0.46

 

3/20/18

 

@—

 

 



 

Goodrich Corp., 7.63%, 12/15/12

 

 

 

 

 

 

 

 

 

 

 

Lehman Brothers

 

Buy

 

90

 

2.15

 

3/20/13

 

(3

)

MetLife, Inc, 5.00%, 6/15/15

 

 

 

 

 

 

 

 

 

 

 

Merrill Lynch

 

Buy

 

95

 

1.50

 

3/20/18

 

(1

)

Carnival Corp., 6.65%, 1/15/28

 

 

 

 

 

 

 

 

 

 

 

Merrill Lynch

 

Buy

 

80

 

1.57

 

3/20/18

 

(1

)

Carnival Corp., 6.65%, 1/15/28

 

 

 

 

 

 

 

 

 

 

 

Merrill Lynch

 

Buy

 

55

 

1.60

 

3/20/18

 

(1

)

Carnival Corp., 6.65%, 1/15/28

 

 

 

 

 

 

 

 

 

 

 

Merrill Lynch

 

Sell

 

280

 

1.40

 

12/20/12

 

8

 

Dow Jones CDX North America Investment Grade High Volatility Index, Series 9

 

 

 

 

 

 

 

 

 

 

 

Merrill Lynch

 

Buy

 

60

 

0.92

 

3/20/18

 

(@—

)

Eaton Corp., 7.65%, 11/15/29

 

 

 

 

 

 

 

 

 

 

 

Merrill Lynch

 

Buy

 

45

 

5.00

 

3/20/13

 

(5

)

SLM Corp., 5.13%, 8/27/12

 

 

 

 

 

 

 

 

 

 

 

Merrill Lynch

 

Buy

 

145

 

0.60

 

3/20/13

 

(1

)

The Walt Disney Co., 5.63%, 9/15/16

 

 

 

 

 

 

 

 

 

 

 

Merrill Lynch

 

Buy

 

230

 

0.77

 

3/20/13

 

(@—

)

The Walt Disney Co., 5.63%, 9/15/16

 

 

 

 

 

 

 

 

 

 

 

UBS

 

Buy

 

85

 

0.50

 

3/20/13

 

1

 

American Standard, Inc., 7.63%, 2/15/10

 

 

 

 

 

 

 

 

 

 

 

UBS

 

Buy

 

90

 

0.60

 

3/20/18

 

1

 

American Standard, Inc., 7.63%, 2/15/10

 

 

 

 

 

 

 

 

 

 

 

UBS

 

Buy

 

40

 

1.78

 

3/20/13

 

@—

 

Martin Marietta Materials, Inc., 6.88%, 4/1/11

 

 

 

 

 

 

 

 

 

 

 

UBS

 

Buy

 

40

 

1.73

 

3/20/18

 

1

 

Martin Marietta Materials, Inc., 6.88%, 4/1/11

 

 

 

 

 

 

 

 

 

 

 

UBS

 

Buy

 

120

 

2.90

 

3/20/13

 

1

 

Toll Brothers Finance Corp., 6.88%, 11/15/12

 

 

 

 

 

 

 

 

 

 

 

UBS

 

Buy

 

80

 

1.00

 

3/20/13

 

2

 

Textron Financial Corp., 5.13%, 2/3/11

 

 

 

 

 

 

 

 

 

 

 

UBS

 

Buy

 

50

 

1.01

 

3/20/13

 

1

 

Textron Financial Corp., 5.13%, 2/3/11

 

 

 

 

 

 

 

 

 

 

 

UBS

 

Buy

 

120

 

1.06

 

3/20/13

 

(@—

)

Textron Financial Corp., 5.13%, 2/3/11

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(81

)

 

Interest Rate Swap Contracts

 

The Fund had the following interest rate swap agreement(s) open at period end:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

 

 

 

 

 

 

 

 

Notional

 

Appreciation

 

 

 

Floating Rate

 

Pay/Receive

 

Fixed

 

Termination

 

Amount

 

(Depreciation)

 

Swap Counterparty

 

Index

 

Floating Rate

 

Rate

 

Date

 

(000)

 

(000)

 

Bank of America

 

3 Month LIBOR

 

Pay

 

5.55

%

2/22/18

 

$

1,050

 

$

21

 

 

 

3 Month LIBOR

 

Receive

 

5.96

 

2/22/23

 

1,345

 

(19

)

 

 

3 Month LIBOR

 

Pay

 

5.64

 

3/7/23

 

1,055

 

24

 

 

 

3 Month LIBOR

 

Receive

 

6.04

 

3/7/23

 

1,360

 

(22

)

Deutsche Bank AG

 

3 Month LIBOR

 

Pay

 

5.03

 

10/25/17

 

2,300

 

220

 

JPMorgan Chase

 

3 Month LIBOR

 

Pay

 

4.39

 

12/11/12

 

4,250

 

261

 

 

 

3 Month LIBOR

 

Pay

 

5.42

 

8/20/17

 

390

 

45

 

 

 

3 Month LIBOR

 

Pay

 

5.36

 

8/24/17

 

750

 

81

 

 

 

 

 

 

 

 

 

 

 

 

 

$

611

 

 


LIBOR — London Inter Bank Offer Rate

 



 

At March 31, 2008, the Fund had reverse repurchase agreements outstanding with Lehman Brothers and UBS Warburg as follows:

 

 

 

Maturity in
less than

 

Lehman Brothers Agreement

 

366 Days

 

Value of Securities Subject to Repurchase

 

$

2,009,442

 

Liability Under Reverse Repurchase Agreement

 

$

2,018,919

 

Weighted Average Days to Maturity

 

44.07

 

 

 

 

Maturity in
less than

 

UBS Warburg Agreement

 

366 Days

 

Value of Securities Subject to Repurchase

 

$

954,874

 

Liability Under Reverse Repurchase Agreement

 

$

959,827

 

Weighted Average Days to Maturity

 

4.42

 

 



 

Notes to Portfolio of Investments (unaudited)

 

The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”), effective January 1, 2008. In accordance with SFAS 157, fair value is defined as the price 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. SFAS 157 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing 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 entity’s own assumptions about the assumptions market participants would use in pricing 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 Fund’s investments. The inputs are summarized in the three broad levels listed below.

 

Level 1

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 Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used as of March 31, 2008 in valuing the Fund’s investments carried at value:

 

Valuation Inputs

 

Investments in
Securities
(000)

 

Other Financial
Instruments*
(000)

 

Level 1 - Quoted Prices

 

$

1

 

$

(58

)

Level 2 - Other Significant Observable Inputs

 

34,529

 

(2,450

)

Level 3 - Significant Unobservable Inputs

 

204

 

 

Total

 

$

34,734

 

$

(2,508

)

 


*Other financial instruments include futures, forwards and swap contracts.

 

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:

 

 

 

Investments in
Securities
(000)

 

Other Financial
Instruments
(000)

 

Balance as of 12/31/07

 

$

281

 

$

 

Accrued discounts/premiums

 

@—

 

 

Realized gain (loss)

 

@—

 

 

Change in unrealized appreciation (depreciation)

 

(77

)

 

Net purchases (sales)

 

@(—

)

 

Net transfers in and/or out of Level 3

 

 

 

Balance as of 3/31/08

 

$

204

 

$

 

The amount of total realized gains or losses for the period included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at 3/31/08

 

$

(77

)

$

 

 

Security Valuation — Bonds and other fixed income securities may be valued according to the broadest

 



 

and most representative market. In addition, bonds and other fixed income securities may be valued on the basis of prices provided by a pricing service. The prices provided by a pricing service take into account broker dealer market price quotations for institutional size trading in similar groups of securities, security quality, maturity, coupon and other security characteristics as well as any developments related to the specific securities. Securities listed on a foreign exchange are valued at their closing price. Unlisted securities and listed securities not traded on the valuation date for which market quotations are readily available are valued at the mean between the current bid and asked prices obtained from reputable brokers. Equity securities listed on a U.S. exchange are valued at the latest quoted sales price on the valuation date. Equity securities listed or traded on NASDAQ, for which market quotations are available, are valued at the NASDAQ Official Closing Price. Debt securities purchased with remaining maturities of 60 days or less are valued at amortized cost, if it approximates market value.

 

All other securities and investments for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under procedures adopted by the Board of Directors (the “Directors”), although the actual calculations may be done by others. 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 issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

 

Most foreign markets close before the New York Stock Exchange (“NYSE”). Occasionally, developments that could affect 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 NYSE. If these developments are expected to materially affect the value of the securities, the valuations may be adjusted to reflect the estimated fair value as of the close of the NYSE, as determined in good faith under procedures established by the Directors.

 



 

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.

 



 

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.

 

(Registrant)

Morgan Stanley Global Opportunity Bond Fund, Inc.

 

By:

/s/ Ronald E. Robison

 

Name:

Ronald E. Robison

 

Title:

Principal Executive Officer

 

Date:

May 20, 2008

 

 

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.

 

By:

/s/ Ronald E. Robison

 

Name:

Ronald E. Robison

 

Title:

Principal Executive Officer

 

Date:

May 20, 2008

 

 

 

 

By:

/s/ James Garrett

 

Name:

James Garrett

 

Title:

Principal Financial Officer

 

Date:

May 20, 2008