(formerly Active Assets Institutional Money Trust) Annual Report June 30, 2016
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- Brian Taylor
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1 Trustees Frank L. Bowman Kathleen A. Dennis Nancy C. Everett Jakki L. Haussler James F. Higgins Dr. Manuel H. Johnson Joseph J. Kearns Michael F. Klein Michael E. Nugent, Chair of the Board W. Allen Reed Fergus Reid Officers John H. Gernon President and Principal Executive Officer Stefanie V. Chang Yu Chief Compliance Officer Joseph C. Benedetti Vice President Francis J. Smith Treasurer and Principal Financial Officer Mary E. Mullin Secretary Transfer Agent Boston Financial Data Services, Inc Crown Colony Drive Quincy, Massachusetts Custodian State Street Bank and Trust Company One Lincoln Street Boston, Massachusetts Independent Registered Public Accounting Firm Ernst & Young LLP 200 Clarendon Street Boston, Massachusetts Legal Counsel Dechert LLP 1095 Avenue of the Americas New York, New York Counsel to the Independent Trustees Kramer Levin Naftalis & Frankel LLP 1177 Avenue of the Americas New York, New York Adviser and Administrator Morgan Stanley Investment Management Inc. 522 Fifth Avenue New York, New York Co-Transfer Agent Morgan Stanley Services Company Inc. 522 Fifth Avenue New York, New York This report is submitted for the general information of the shareholders of the Fund. For more detailed information about the Fund, its fees and expenses and other pertinent information, please read its Prospectus. The Fund s Statement of Additional Information contains additional information about the Fund, including its trustees. It is available, without charge, by calling (800) This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective Prospectus. Please read the Prospectus carefully before investing. Morgan Stanley Distribution, Inc., member FINRA Morgan Stanley AVIANN EXP INVESTMENT MANAGEMENT Active Assets Prime Trust (formerly Active Assets Institutional Money Trust) Annual Report June 30, 2016 e-delivery: Go Paperless It s faster, easier and greener. Sign up today at: May not be available for all accounts.
2 Table of Contents Welcome Shareholder Fund Report Expense Example Portfolio of Investments Statement of Assets and Liabilities Statement of Operations Statements of Changes in Net Assets Notes to Financial Statements Financial Highlights Report of Independent Registered Public Accounting Firm Investment Advisory Agreement Approval Privacy Notice Trustee and Officer Information
3 Welcome Shareholder, We are pleased to provide this annual report, in which you will learn how your investment in Active Assets Prime Trust (the Fund ) performed during the latest twelve-month period. It includes an overview of the market conditions and discusses some of the factors that affected performance during the reporting period. In addition, the report contains financial statements and a list of portfolio holdings. 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. This material must be preceded or accompanied by a prospectus for the fund being offered. Market forecasts provided in this report may not necessarily come to pass. There is no assurance that a mutual fund will achieve its investment objective. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in the Fund. Please see the prospectus for more complete information on investment risks. 3
4 Fund Report (unaudited) For the year ended June 30, 2016 Market Conditions The economy expanded at a somewhat slower pace in the third quarter of 2015, at 2.0 percent, as slower inventory growth subtracted from gross domestic product (GDP) as did lower exports due to the dollar s appreciation. (i) Fourth-quarter GDP rose in line with median forecasts, growing at 1.4 percent (annualized). Growth was diminished due to slowing markets abroad, strong dollar appreciation, and plunging oil prices. The economy grew at an average of 2 percent through First quarter 2016 expanded at a modest 1.1 percent, the slowest pace in two years, due to continued turbulence in the financial markets and global economic problems. While economic growth continued to exhibit a choppy pattern, labor market conditions improved markedly in the second half of Non-farm payrolls rose an average of 192,000 per month in the third quarter, accelerating in the fourth quarter to an average of 282,000. (ii) Healthy job creation and fairly static participation rates allowed the unemployment rate to fall to 5.0 percent as of December 2015, at or near the Federal Reserve s (Fed) definition of full employment. Despite global uncertainty, U.S. employment data continued to show resiliency in the first quarter of Non-farm payrolls averaged 195,000 for the quarter, while the participation rate continued its upward trend from 62.7 to 63 percent, the highest level in two years. The unemployment rate fluctuated slightly throughout the quarter, but ended at 5 percent on March 31. Non-farm payrolls rose an average of 147,000 in the second quarter of 2016, indicating a general slowdown in the hiring market. April non-farm payrolls increased at 144,000, below consensus expectations of 200,000. Industries that showed strong first-quarter growth pulled back, highlighted by the retail sector s largest payroll cut in two years. The unemployment rate held firm at 5 percent. Employers in May added the fewest number of workers in almost six years, originally reported at 38,000 but revised down to 11,000, reflecting broad cutbacks that raised concern about the health of the U.S. economy. Construction, manufacturing and mining were the hardest-hit sectors. The jobless rate dropped from 5.0 percent to 4.7 percent, the lowest since November 2007, as Americans left the labor force. Payroll growth in June of 287,000 far exceeded consensus expectations of 180,000, due to strong performance across multiple sectors. June numbers tempered fears of a slowing labor market caused by the poor May results. The unemployment rate rose to 4.9 percent as people re-entered the labor force. Non-farm payrolls rose an average of 172,000 in the first half of Monetary policy remained a key driver of sentiment and market performance. Early in the period, short-term interest rates continued to be anchored by the Fed s near-zero interest rate policy. At the June 2015 meeting, the Federal Open Market Committee (FOMC) delivered its much-anticipated updated interest rate projections from FOMC members, which showed that the median forecast for the fed funds rate at the end of 2015 was unchanged from the March statement at percent and that 15 of the 17 voting members believed that 2015 will be the appropriate time to increase interest (i) Source for all GDP data: Bureau of Economic Analysis (ii) Source for all employment data: Bureau of Labor Statistics 4
5 rates off of the zero bound. (iii) The Fed noted that the economy and labor market were improving but it needs to see more progress before raising rates. Fed Chair Janet Yellen reiterated that the forward path of rate hikes will be very gradual and that all policy decisions will be data dependent. Over the June 30 quarter-end, the Federal Reserve Bank of New York (FRBNY) conducted term fixed-rate reverse repurchase agreement (RRP) facility, in addition to the overnight RRP operation, which helped counterbalance some of the supply pullback in our markets over quarterends. The FRBNY held two term auctions, with 7-day and 2-day maturity tenors, both for $100 billion each that matured over month-end. Both auctions were oversubscribed and each stopped at a 0.07 percent rate. Aggregating the overnight RRP, which totaled nearly $200 billion, with the term auctions, total RRP outstandings over the third quarter was about $450 billion, a new high for the facility. The July FOMC meeting went as expected, with no changes to policy and an upgraded assessment of the labor market. There was no FOMC meeting in August. However, China stole the spotlight globally as growth concerns sent the Shanghai Composite Index, a gauge of the Chinese stock market, sharply lower. The People s Bank of China has struggled to stem the market sell-off, despite using a wide array of unconventional policy tools. Although global growth concerns linger, U.S. economic data continued to remain solid. All eyes were on the FOMC in September as markets around the world eagerly anticipated the interest rate decision and update on the economy. The September FOMC meeting was accompanied by the quarterly Summary of Economic Projections (SEP) and a press conference with Chair Yellen. In the meeting s most noteworthy decision, the benchmark fed funds rate was left unchanged, as the Fed refrained from hiking rates for the first time since In terms of a rate outlook going forward, projections from FOMC members showed that the median forecasts for the level of the fed funds rate over the next few years were revised downward slightly. Despite this, 13 of the 17 FOMC members still believed that 2015 was the appropriate time for the initial interest rate hike, which was down from 15 of 17 members in June. This messaging suggested a likelihood of a rate hike before the end of The Fed saw further improvement in the labor market but inflation continued to run below the longer-run objective. The Fed also noted that the recent global economic and financial developments may restrain economic activity somewhat and are likely to put downward pressure on inflation in the near-term. Overall, in light of heightened uncertainties abroad and subdued inflation, the Fed believed it should wait for further economic data to justify a rate hike. Forward guidance on this topic remained unchanged as the FOMC needed to see further progress in the labor market and must be reasonably confident that inflation is moving toward the long-run target of 2 percent over the medium term before raising rates. Messaging from Chair Yellen reiterated that the forward path of rate hikes will be very gradual and that all policy decisions will be data dependent. (iii) Source for all fed funds rate projections: Federal Reserve 5
6 The October FOMC meeting offered the market an important update on the Fed s views on market conditions and the economy. The FOMC indicated that the economy continued to expand at a moderate pace and upgraded household spending and business fixed investment progress to solid from moderate. The statement also noted that the pace of job gains had slowed but the unemployment rate remained steady. Concerns had dissipated about global developments restraining financial activity, as this wording was completely dropped from the October statement. A key addition to this statement was the explicit mentioning of the next meeting in the context of raising rates. Many believed that the FOMC continued to favor increasing rates off of the zero bound before the end of the year. November contained no Fed meetings, but continued to produce strong jobs and economic data. The rates market reflected this positive sentiment as short-dated Treasuries sold off considerably during November, with yields on 1-, 3-, 6-, and 12-month Treasuries all rising by 10 to 20 basis points. At the much-anticipated December FOMC meeting, interest rates were increased in line with expectations by basis points to a range of 0.25 percent to 0.50 percent. FOMC members acknowledged progress in the labor market but noted that inflation remains below their target. The Committee expects inflation to rise to 2 percent over the medium term as transitory factors dissipate. The Fed s updated interest rate forecasts were revised down very slightly. These projections imply four rate hikes in 2016, while market pricing indicated expectations of only two hikes in Overall, the Fed vowed to remain data dependent in terms of its decisions on further policy normalization going forward. Following the December rate hike, the FRBNY made adjustments to the overnight fixed-rate RRP facility, increasing the offering rate from 5 basis points to 25 basis points. In addition, the previous $300 billion overnight limit was removed. On year-end, the FOMC accepted a new high of over $474 billion in overnight repos that all matured on January 4, 2016, aiding the collateral squeeze in our markets at quarter-end periods. Unlike previous quarter-ends, there were no submissions in the term auctions leading up to year-end due to a lack of yield incentive. The January 2016 FOMC meeting went as expected, with members concerned about weakening growth in foreign economies and turbulence in the global equity markets. With the Committee s uncertainty about the impact of global developments on the U.S. economy, they have adopted a wait and see stance before considering any additional monetary actions in the near term. In line with market expectations, Federal Reserve officials held off from raising borrowing costs at the March FOMC meeting, citing concerns about global economic and financial developments, keeping the target federal funds rate at 0.25 percent to 0.50 percent. The Committee also revised their forecast of four rate hikes from the December 2015 meeting, down to two for the remainder of 2016, with Fed Chair Yellen saying it s appropriate to proceed cautiously in raising interest rates. The market was more cautious, only pricing in approximately one rate hike for the remainder of
7 At the April FOMC meeting, rates were left unchanged and the Committee signaled their openness to raising rates in June if upcoming data warranted. The Fed acknowledged that financial conditions eased somewhat since the March meeting and removed the assessment that financial conditions continue to pose risks to the outlook of the economy. In May, the April FOMC minutes were released and surprised the market with a hawkish tone. The minutes stated that most participants judged that it likely would be appropriate for the Committee to increase the target range for the federal funds rate in June if economic data were supportive. Referring to the June meeting, officials judged it appropriate to leave their options open, making a decision based on upcoming economic data points. June was full of market-moving events across the globe. The month started with the May non-farm payroll report, which came in at 38,000, significantly below the 160,000 consensus. This was later revised to 11,000. The addition was the fewest new jobs since September 2010, and immediately the market priced out any rate hike at the FOMC meeting later in the month. With the poor non-farm payroll result still fresh and the upcoming Brexit vote on the horizon, as expected the Fed held rates steady at their mid-month meeting and maintained a target federal funds range of 0.25 percent to 0.50 percent. The Fed did express confidence in a jobs rebound and reiterated that interest rates are likely to rise at a gradual level. In addition, the dot plot, which charts the Fed s interest rate forecasts, took on a dovish tone, decreasing the members voting for a 2016 hike, as well as lowering the 2017 and 2018 interest rate path. In a referendum on June 23, the United Kingdom voted to leave the European Union (EU), with 52 percent in favor. The vote to leave was supported by resentment over Britain s high annual contributions to the EU as well as concerns about the uptick in immigration due to the recent refugee crisis. The process of leaving the EU is lengthy, as it will take two years from the time the UK files the official notification through Article 50 of the Lisbon Treaty. This is unchartered territory, and the global markets reacted accordingly. Risk assets were down and investors piled into perceived safe-haven assets, sending yields to near-record lows. The 30-year U.S. Treasury declined to 2.19 percent and the 10-year slid to 1.39 percent in days following the referendum. Performance Analysis As of June 30, 2016, Active Assets Prime Trust had net assets of approximately $1.4 billion and an average portfolio maturity of 20 days. For the 12-month period ended June 30, 2016, the Fund s S Class shares provided a total return of 0.21 percent. For the sevenday period ended June 30, 2016, the Fund s S Class shares provided an effective annualized yield of 0.33 percent and a current yield of 0.33 percent, while its 30-day moving average yield for June was For the seven-day period ended June 30, 2016, the Fund s Administrative Class shares provided an effective annualized yield of 0.19 percent and a current yield of 0.19 percent, while its 30-day moving average yield for June was 0.18 percent. For the period since inception (March 31, 2016) through June 30, 2016, the Fund s 7
8 Administrative Class shares provided a total return of 0.05 percent. For the seven-day period ended June 30, 2016, the Fund s Advisor Class shares provided an effective annualized yield of 0.09 percent and a current yield of 0.09 percent, while its 30-day moving average yield for June was 0.08 percent. For the period since inception (March 31, 2016) through June 30, 2016, the Fund s Advisor Class shares provided a total return of 0.02 percent. For the seven-day period ended June 30, 2016, the Fund s Select Class shares provided an effective annualized yield of 0.01 percent (subsidized) and 0.48 percent (non-subsidized) and a current yield of 0.01 percent (subsidized) and 0.48 percent (nonsubsidized), while its 30-day moving average yield for June was 0.01 percent (subsidized) and 0.48 percent (non-subsidized). For the period since inception (March 31, 2016) through June 30, 2016, the Fund s Select Class shares provided a total return of 0.00 percent. Yield quotations more closely reflect the current earnings of the Fund. The non-subsidized yields reflects what the yield would have been had a fee and/or expense waiver not been in place during the period shown. Past performance is no guarantee of future results. We continued to remain cautious in our investment approach, focusing on securities with high liquidity and short durations. We believe this approach, together with our investment process, has put us in a favorable position to respond to market uncertainty. During the period, we purchased high-quality fixed and floating rate paper, while maintaining our conservative liquidity metrics. Our management strategy for the portfolio remained consistent with our long-term focus on capital preservation and high liquidity. 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. PORTFOLIO COMPOSITION as of 06/30/16 Repurchase Agreements 38.1% Commercial Paper 27.0 Certificate of Deposit 24.5 Floating Rate Notes 10.4 MATURITY SCHEDULE as of 06/30/ Days 63.7% Days Days 1.1 Subject to change daily. Provided for informational purposes only and should not be deemed as a recommendation to buy or sell the types of securities mentioned above. Portfolio composition and maturity schedule are as a percentage of total investments. Morgan Stanley is a full-service securities firm engaged in securities trading and brokerage activities, investment banking, research and analysis, financing and financial advisory services. 8
9 Investment Strategy The Fund invests in high quality, short-term debt obligations. In selecting investments, the Fund s Adviser, Morgan Stanley Investment Management Inc., seeks to maintain the Fund s share price at $1.00. The Fund s investments include the following money market instruments: corporate obligations (including, but not limited to, commercial paper); debt obligations of U.S.- regulated banks (including domestic branches or subsidiaries of foreign banks) and instruments secured by those obligations (including certificates of deposit); certificates of deposit of savings banks and savings and loan associations; debt obligations issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities; U.S. dollar-denominated foreign bank obligations; asset-backed securities; repurchase agreements; municipal obligations; and variable and floating rate notes. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. For More Information About Portfolio Holdings Each Morgan Stanley fund provides a complete schedule of portfolio holdings in its semiannual and annual reports within 60 days of the end of the fund s second and fourth fiscal quarters. The semiannual reports and the annual reports are filed electronically with the Securities and Exchange Commission (SEC) on Form N-CSRS and Form N-CSR, respectively. Morgan Stanley also delivers the semiannual and annual reports to fund shareholders and makes these reports available on its public web site, Each Morgan Stanley fund also files a complete schedule of portfolio holdings with the SEC for the fund s first and third fiscal quarters on Form N-Q and monthly holdings for each money market fund on Form N-MFP. Morgan Stanley does not deliver these reports to shareholders, nor are the first and third fiscal quarter reports posted to the Morgan Stanley public web site. However, the holdings for each money market fund are posted to the Morgan Stanley public web site. You may obtain the Form N-Q filings (as well as the Form N-CSR, N-CSRS and N-MFP filings) by accessing the SEC s web site, You may also review and copy them at the SEC s public reference room in Washington, DC. Information on the operation of the SEC s public reference room may be obtained by calling the SEC at (800) SEC You can also request copies of these materials, upon payment of a duplicating fee, by electronic request at the SEC s address (publicinfo@sec.gov) or by writing the public reference section of the SEC, Washington, DC Householding Notice To reduce printing and mailing costs, the Fund attempts to eliminate duplicate mailings to the same address. The Fund delivers a single copy of certain shareholder documents, including shareholder reports, prospectuses and proxy materials, to investors with the same last name who reside at the same address. Your participation in this program will continue for an unlimited period of time unless you instruct us otherwise. You can request multiple copies of these documents by calling (800) , 8:00 a.m. to 6:00 p.m., ET. Once our Customer Service Center has received your instructions, we will begin sending individual copies for each account within 30 days. 9
10 Expense Example (unaudited) As a shareholder of the Fund, you incur costs, which may include advisory fees, administration fees, administration plan fees, service and shareholder administration plan fees, distribution plan fees, shareholder service plan 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 period and held for the entire period 01/01/16 06/30/16. Actual Expenses The first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, 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 first line under the heading entitled Expenses Paid During Period to estimate the expenses you paid on your account during this period. Hypothetical Example for Comparison Purposes The second line of the table on the following page provides information about 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 cost 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. Therefore, the second line of the table is useful in comparing ongoing costs, and will not help you determine the relative total cost of owning different funds that have transactional costs, such as sales charges (loads) or exchange fees. 10
11 Expense Example (unaudited) continued Beginning Ending Expenses Paid Account Value Account Value During Period 01/01/16 01/01/16 06/30/16 06/30/16 S Class+ Actual (0.16% return) $1, $1, $0.90@ Hypothetical (5% annual return before expenses) $1, $1, $0.91@ Administrative Class Actual (0.05% return) $1, $1, $0.83@@ Hypothetical (5% annual return before expenses) $1, $1, $0.83@@ Advisory Class Actual (0.02% return) $1, $1, $1.08@@ Hypothetical (5% annual return before expenses) $1, $1, $1.09@@ Select Class Actual (0.00% return) $1, $1, $1.26@@ Hypothetical (5% annual return before expenses) $1, $1, Expenses are equal to the Fund s annualized expense ratio of 0.18% for S Class shares multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year Expenses are equal to the Fund s annualized expense ratios of 0.33%, 0.43% and 0.50% for Administrative Class, Advisory Class and Select Class shares, respectively, multiplied by the average account value over the period, and multiplied by 92/366 (to reflect the actual days in the period). If the Fund had borne all of its expenses, the annualized expense ratio would have been 0.98% for Select Class shares. + Effective March 31, 2016, the original class was redesignated as S Class shares. 11
12 Portfolio of Investments n June 30, 2016 ANNUALIZED PRINCIPAL YIELD AMOUNT ON DATE OF MATURITY (000) PURCHASE DATE VALUE Repurchase Agreements (38.1%) $ 20,000 ABN Amro Securities LLC, (Interest in $1,450,000,000 joint repurchase agreement, dated 06/30/16 under which ABN Amro Securities LLC, will repurchase the securities provided as collateral for $1,450,017,722 on 07/01/16. The securities provided as collateral at the end of the period held with BNY Mellon, tri-party agent, were various U.S. Government agency securities and U.S. Government obligations with various maturities to 12/20/60; valued at $1,492,311,078) % 07/01/16 $ 20,000,000 25,000 Bank of Nova Scotia, (dated 06/17/16; proceeds $25,012,833; fully collateralized by various Government Agency securities, 1.79% % due 02/01/23-04/01/46; valued at $25,749,922) (Demand 07/07/16) (a) 08/12/16 25,000,000 50,000 Bank of Nova Scotia, (dated 10/07/15; proceeds $50,189,444; fully collateralized by various Government Agency securities, 1.79% % due 05/01/25-04/01/46; valued at $51,541,520) (Demand 07/07/16) (a) 09/12/16 50,000, ,000 BNP Paribas Securities Corp., (Interest in $700,000,000 joint repurchase agreement, dated 06/30/16 under which BNP Paribas Securities Corp., will repurchase the securities provided as collateral for $700,007,778 on 07/01/16. The securities provided as collateral at the end of the period held with BNY Mellon, tri-party agent, were various U.S. Government agency securities and U.S. Government obligations with various maturities to 07/20/58; valued at $720,865,070) /01/16 163,000,000 See Notes to Financial Statements 12
13 Portfolio of Investments n June 30, 2016 continued ANNUALIZED PRINCIPAL YIELD AMOUNT ON DATE OF MATURITY (000) PURCHASE DATE VALUE $ 50,000 Credit Agricole Corp., (Interest in $590,000,000 joint repurchase agreement, dated 06/30/16 under which Credit Agricole Corp., will repurchase the securities provided as collateral for $590,007,867 on 07/01/16. The securities provided as collateral at the end of the period held with BNY Mellon, tri-party agent, were various U.S. Government obligations with various maturities to 11/15/43; valued at $602,103,661) % 07/01/16 $ 50,000,000 5,000 Credit Suisse Securities USA, (dated 02/24/16; proceeds $5,021,533; fully collateralized by various Corporate Bonds, 4.63% % due 09/15/20-09/15/21; valued at $5,301,855) /25/16 5,000,000 10,000 ING Financial Markets LLC, (dated 06/30/16; proceeds $10,000,106; fully collateralized by a Corporate Bond, 2.45% due 05/18/20; valued at $10,504,318) /01/16 10,000,000 5,000 ING Financial Markets LLC, (dated 06/30/16; proceeds $5,000,071; fully collateralized by various Corporate Bonds, 6.75% % due 04/15/19-09/01/23; valued at $5,304,515) /01/16 5,000,000 22,000 JP Morgan Clearing Corp., (dated 06/23/16; proceeds $22,012,467; fully collateralized by various Corporate Bonds, 0.00% due 11/01/16-04/15/38; valued at $23,323,462) (Demand 07/07/16) (a) 07/27/16 22,000,000 25,000 Merrill Lynch Pierce Fenner & Smith, (dated 04/04/16; proceeds $25,072,014; fully collateralized by various Common Stocks; valued at $26,250,010) (Demand 07/01/16) (a) 08/04/16 25,000,000 20,000 Natixis, (Interest in $1,000,000,000 joint repurchase agreement, dated 06/30/16 under which Natixis, will repurchase the securities provided as collateral for $1,000,012,222 on 07/01/16. The securities provided as collateral at the end of the period held with BNY Mellon, tri-party agent, was a U.S. Government obligation with a maturity to 05/15/46; valued at $1,019,746,127) /01/16 20,000,000 See Notes to Financial Statements 13
14 Portfolio of Investments n June 30, 2016 continued ANNUALIZED PRINCIPAL YIELD AMOUNT ON DATE OF MATURITY (000) PURCHASE DATE VALUE $ 75,000 Natixis, (Interest in $1,000,000,000 joint repurchase agreement, dated 06/30/16 under which Natixis, will repurchase the securities provided as collateral for $1,000,012,500 on 07/01/16. The securities provided as collateral at the end of the period held with BNY Mellon, tri-party agent were various U.S. Government agency securities and U.S. Government obligations with various maturities to 05/01/46; valued at $1,028,207,781) % 07/01/16 $ 75,000,000 20,000 Scotia Capital USA, Inc., (dated 06/30/16; proceeds $20,000,267; fully collateralized by various Corporate Bonds, 4.25% % due 08/15/16-06/15/20; valued at $21,200,705) /01/16 20,000,000 6,800 SG Americas Securities, (dated 06/30/16; proceeds $6,800,094; fully collateralized by various Corporate Bonds, 2.40% % due 12/15/16-01/01/49; valued at $7,192,332) (b) /01/16 6,800,000 25,000 Wells Fargo Securities LLC, (dated 06/30/16; proceeds $25,012,385; fully collateralized by various Corporate Bonds, 2.85% % due 08/15/18-05/14/45; valued at $26,250,830) /29/16 25,000,000 Total Repurchase Agreements (Cost $521,800,000) ,800,000 Commercial Paper (27.0%) Automobiles (6.5%) 64,000 American Honda Finance Corp /08/16-08/12/16 63,964,753 25,000 Toyota Motor Credit Corp /09/16 24,987,542 88,952,295 Computer Technology (1.7%) 23,000 Apple, Inc /08/16 22,989,075 Domestic Bank (1.1%) 15,000 ING US Funding LLC /01/16 15,000,000 International Banks (17.7%) 5,000 BPCE SA /02/16 4,997,511 12,000 Danske Corp /12/16 11,991,600 52,000 DBS Bank Ltd /12/16-08/15/16 51,968,681 15,000 DBS Bank Ltd. (c) /31/16 14,983,734 5,000 DNB Bank ASA /12/16 4,997,025 See Notes to Financial Statements 14
15 Portfolio of Investments n June 30, 2016 continued ANNUALIZED PRINCIPAL YIELD AMOUNT ON DATE OF MATURITY (000) PURCHASE DATE VALUE $ 20,000 Erste Abwicklungsanstalt % 07/18/16 $ 19,993,861 54,000 Macquarie Bank Ltd /08/16-08/15/16 53,967,045 2,000 Nordea Bank AB /09/16 1,998,895 27,000 Oversea-Chinese Banking Corp. Ltd /08/16 26,986,035 3,000 Skandinaviska Enskilda Banken AB /11/16 2,998,223 12,000 Sumitomo Mitsui Banking Corp /10/16 11,992,800 4,000 Sumitomo Mitsui Trust Bank Ltd /08/16 3,997,720 6,000 Suncorp-Metway Ltd /11/16 5,993,713 25,000 United Overseas Bank Ltd /05/16-08/15/16 24,980, ,847,704 Total Commercial Paper (Cost $368,789,074) ,789,074 Certificates of Deposit (24.5%) Domestic Bank (3.7%) 50,000 Citibank NA /08/16 50,000,000 International Banks (20.8%) 13,000 Banco del Estado de Chile /08/16 13,000,000 10,000 Credit Industriel et Commercial /01/16-08/12/16 10,001,108 30,000 Credit Suisse /08/16-08/08/16 30,000,000 7,000 DNB Bank ASA /15/16 7,001,045 39,000 Mizuho Bank Ltd /15/16-08/12/16 39,000,011 65,000 National Australia Bank Ltd. (Cayman) /01/16 65,000,000 7,000 Oversea Chinese Banking Corp /08/16 7,000,000 30,000 Sumitomo Mitsui Banking Corp /15/16 30,000,000 20,000 Sumitomo Mitsui Trust Bank Ltd /29/16 20,000,000 5,000 Svenska Handelsbanken AB /05/16 5,000,003 59,000 Swedbank AB /05/16-08/15/16 59,000, ,002,714 Total Certificates of Deposit (Cost $335,002,714) ,002,714 See Notes to Financial Statements 15
16 Portfolio of Investments n June 30, 2016 continued PRINCIPAL AMOUNT COUPON DEMAND MATURITY (000) RATE(a) DATE(d) DATE VALUE Floating Rate Notes (10.4%) Domestic Banks (1.4%) $ 5,000 Bank of America NA % 07/22/16 07/22/16 $ 5,000,000 14,000 HSBC Bank USA NA /11/16 07/11/16 14,000,000 19,000,000 International Banks (9.0%) 10,000 Bank of Nova Scotia /26/16 07/26/16 10,000,000 25,000 Bank of Nova Scotia (c) /12/16 08/12/16 25,000,000 5,000 Canadian Imperial Bank of Commerce /18/16 07/22/16 5,000,000 5,000 Credit Industriel et Commercial /21/16 07/21/16 5,000,000 30,000 Credit Suisse /11/16-07/21/16 07/22/16-08/09/16 30,000,000 7,000 HSBC Bank PLC (c) /05/16 08/04/16 7,002,053 11,000 Mizuho Bank Ltd /18/16-07/21/16 07/18/16-07/21/16 11,000,000 30,000 Sumitomo Mitsui Banking Corp /11/16-07/29/16 08/08/16-08/31/16 30,000, ,002,053 Total Floating Rate Notes (Cost $142,002,053) ,002,053 Total Investments (Cost $1,367,593,841) (e) % 1,367,593,841 Other Assets in Excess of Liabilities (f) 508,130 Net Assets % $1,368,101,971 (a) Rate shown is the rate in effect at June 30, (b) 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 June 30, (c) 144A security - Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. (d) Date of next interest rate reset. (e) The aggregate cost for Federal income tax purposes approximates the aggregate cost for book purposes. (f) Amount is less than 0.05%. See Notes to Financial Statements 16
17 Financial Statements Statement of Assets and Liabilities June 30, 2016 Assets: Investments in securities, at value (cost $1,367,593,841, including value of repurchase agreements of $521,800,000) $1,367,593,841 Cash ,890 Receivable for: Shares of beneficial interest sold ,752,591 Interest ,999 Prepaid expenses and other assets ,881 Total Assets ,395,119,202 Liabilities: Payable for: Shares of beneficial interest redeemed ,758,716 Advisory fee ,882 Administration fee ,941 Transfer and sub transfer agent fees ,802 Administration plan fees (Administrative Class shares) Service and shareholder administration plan fees (Advisory Class shares) Distribution plan and shareholder services plan fees (Select Class shares) Accrued expenses and other payables ,861 Total Liabilities ,017,231 Net Assets $1,368,101,971 Composition of Net Assets: Paid-in-capital $1,368,094,242 Accumulated undistributed net investment income ,729 Net Assets $1,368,101,971 S Class Shares+: Net Assets $1,367,951,968 Shares Outstanding (unlimited shares authorized, $0.01 par value) ,367,862,018 Net Asset Value Per Share $1.00 Administrative Class Shares: Net Assets $50,001 Shares Outstanding (unlimited shares authorized, $0.01 par value) ,000 Net Asset Value Per Share $1.00 Advisory Class Shares: Net Assets $50,001 Shares Outstanding (unlimited shares authorized, $0.01 par value) ,000 Net Asset Value Per Share $1.00 Select Class Shares: Net Assets $50,001 Shares Outstanding (unlimited shares authorized, $0.01 par value) ,000 Net Asset Value Per Share $ Effective March 31, 2016, the original class was redesignated as S Class shares. See Notes to Financial Statements 17
18 Financial Statements continued Statement of Operations For the year ended June 30, 2016 Net Investment Income: Interest Income $5,213,493 Expenses Advisory fee (Note 3) ,273,661 Administration fee (Note 3) ,831 Professional fees ,145 Custodian fees ,788 Registration fees ,344 Shareholder reports and notices ,795 Transfer and sub transfer agent fees (Note 5) ,189 Trustees fees and expenses ,105 Administration plan fees (Administrative Class shares) (Note 4) Service and shareholder administration plan fees (Advisory Class shares) (Note 4) Distribution plan and shareholder services plan fees (Select Class shares) (Note 4) Other ,681 Total Expenses ,324,688 Less: waiver of distribution plan and shareholder services plan fees (Select Class shares) (Note 4) (60) Net Expenses ,324,628 Net Investment Income ,888,865 Net Realized Gain ,076 Net Increase $2,957,941 See Notes to Financial Statements 18
19 Financial Statements continued Statements of Changes in Net Assets FOR THE YEAR FOR THE YEAR ENDED ENDED JUNE 30, 2016 JUNE 30, 2015 Increase (Decrease) in Net Assets: Operations: Net investment income $ 2,888,865 $ 477,965 Net realized gain ,076 4,970 Net Increase ,957, ,935 Dividends to Shareholders from Net Investment Income: S Class shares (2,888,831) (477,965) Administrative Class shares (23)* Advisory Class shares (10)* Select Class shares (1)* Total Dividends (2,888,865) (477,965) Net increase (decrease) from transactions in shares of beneficial interest ,911,320 (296,447,849) Net Increase (Decrease) ,980,396 (296,442,879) Net Assets: Beginning of period ,121,575 1,293,564,454 End of Period (Including accumulated undistributed net investment income and dividends in excess of net investment income of $7,729 and $(18,585), respectively) $1,368,101,971 $ 997,121,575 + Effective March 31, 2016, the original class was redesignated as S Class shares. * For the period March 31, 2016 through June 30, See Notes to Financial Statements 19
20 Notes to Financial Statements n June 30, Organization and Accounting Policies Active Assets Prime Trust (name changed on March 31, 2016, formerly Active Assets Institutional Money Trust) (the Fund ) is registered under the Investment Company Act of 1940, as amended (the Act ), as a diversified, open-end management investment company. The Fund applies investment company accounting and reporting guidance. The Fund s investment objective is high current income, preservation of capital and liquidity. The Fund was organized as a Massachusetts business trust on November 23, 1999 and commenced operations on February 15, On March 31, 2016, the Fund commenced offering three new classes of shares, the Administrative Class, Advisory Class and Select Class. Also effective March 31, 2016, the original class was redesignated as the Morgan Stanley Wealth Management S Class ( S Class ). The following is a summary of significant accounting policies: A. Valuation of Investments Portfolio securities are valued at amortized cost, which approximates fair value, in accordance with Rule 2a-7 under the Act. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. B. Accounting for Investments Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses on security transactions are determined by the identified cost method. Discounts are accreted and premiums are amortized over the life of the respective securities and are included in interest income. Interest income is accrued daily as earned. C. Repurchase Agreements The Fund invests directly with institutions in repurchase agreements. The Fund s custodian receives the collateral, which is marked-to-market daily to determine that the value of the collateral does not decrease below the repurchase price plus accrued interest as earned. If such a decrease occurs, additional collateral will be requested and, when received, will be added to the account to maintain full collateralization. The Fund may enter into repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the custodian for investment companies advised by the Fund s Adviser. The Fund will participate on a pro rata basis with the other investment companies in its share of the securities transferred under such repurchase agreements and in its share of proceeds from any repurchase or other disposition of such securities. Repurchase agreements are subject to Master Repurchase Agreements, which are agreements between the Fund and its counterparties that typically include provisions which provide for the net settlement of all transactions and collateral with the Fund, through a single payment, in the event of default or termination. Amounts presented on the Portfolio of Investments and Statement of Assets and 20
21 Notes to Financial Statements n June 30, 2016 continued Liabilities are not net settlement amounts but gross. As indicated on the Portfolio of Investments, the cash or securities to be repurchased exceeds the repurchase price to be paid under the agreement reducing the net settlement amount to zero. D. Dividends and Distributions to Shareholders Dividends and distributions to shareholders are recorded on the close of each business day. Dividends from net investment income, if any, are declared and paid daily. Net realized capital gains, if any, are distributed at least annually. E. Use of Estimates The preparation of financial statements in accordance with generally accepted accounting principles in the United States ( GAAP ) requires management to make estimates and assumptions that affect the reported amounts and disclosures. Actual results could differ from those estimates. F. Indemnifications The Fund enters into contracts that contain a variety of indemnifications. The Fund s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 2. Fair Valuation Measurements Financial Accounting Standards Board ( FASB ) Accounting Standards Codification TM ( ASC ) 820, Fair Value Measurement ( ASC 820 ), defines fair value as the value that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity s own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund s investments. The inputs are summarized in the three broad levels listed below. Level 1 unadjusted quoted prices in active markets for identical investments Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) Level 3 significant unobservable inputs including the Fund s own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, 21
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