Fund Name Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio Statement Date Unaudited Holdings as of August 26, 2016 WAM (Days) 6 Days WAL (Days) 7 Days Net Assets 3,680,777,861 INVESTMENT CATEGORY ISSUER CUSIP PRINCIPAL AMOUNT COUPON RATE(¹) EFFECTIVE MATURITY DATE(²) FINAL MATURITY DATE(³) AMORTIZED COST (⁴)/VALUE % of Amortized Cost Certificate of Deposit Bank of Montreal 06427E4J7 $ 22,000,000 0.690% 10/05/16 10/05/16 $ 22,000,000 0.60% Certificate of Deposit Bank of Montreal 06427K5Q6 15,000,000 0.410 08/30/16 08/30/16 15,000,000 0.41% Certificate of Deposit Bank of Nova Scotia 06417GLW6 25,000,000 0.600 09/29/16 09/29/16 25,000,000 0.68% Certificate of Deposit Citibank NA 17304U7E4 75,000,000 0.641 09/26/16 09/26/16 75,000,000 2.04% Certificate of Deposit Credit Industriel et Commercial 22536T5M1 50,000,000 0.410 08/30/16 08/30/16 50,000,000 Certificate of Deposit Landesbank Hessen- 51489NQH8 30,000,000 0.630 09/07/16 09/07/16 30,000,000 0.81% Thueringen Certificate of Deposit Oversea-Chinese Banking 69033LJD2 40,000,000 0.550 09/13/16 09/13/16 40,000,000 1.09% Corp. Ltd. Certificate of Deposit Sumitomo Mitsui Banking Corp. 86563QL40 5,000,000 0.744 08/29/16 08/29/16 5,000,000 0.14% Certificate of Deposit Sumitomo Mitsui Banking Corp. 86563QM49 40,000,000 0.744 08/31/16 08/31/16 40,000,000 1.09% Certificate of Deposit Swedbank AB 87019UPQ6 150,000,000 0.400 08/30/16 08/30/16 150,000,000 4.08% Certificate of Deposit Wells Fargo Bank NA 94988EJT6 5,000,000 0.792 09/22/16 09/22/16 5,000,295 0.14% Financial Company Commercial Paper ANZ New Zealand International 0018A2HW9 50,000,000 0.750 08/30/16 08/30/16 49,998,958 Ltd. Financial Company Commercial Paper Commonwealth Bank of 20272DJM3 35,000,000 0.610 09/21/16 09/21/16 34,986,471 0.95% Australia Financial Company Commercial Paper DBS Bank Ltd. 23305DKC8 25,000,000 0.710 10/12/16 10/12/16 24,978,306 0.68% Financial Company Commercial Paper DBS Bank Ltd. 23305DHX6 40,000,000 0.640 08/31/16 08/31/16 39,998,578 1.09% Financial Company Commercial Paper ING US Funding LLC 4497W0J25 35,000,000 0.710 09/02/16 09/02/16 34,997,239 0.95% Financial Company Commercial Paper ING US Funding LLC 4497W0J90 50,000,000 0.700 09/09/16 09/09/16 49,989,305 Financial Company Commercial Paper Sumitomo Mitsui Banking Corp. 86563K6Q1 55,000,000 0.744 08/31/16 08/31/16 55,000,000 1.49% Page 1 of 6
Financial Company Commercial Paper United Overseas Bank Ltd. 91127PHV6 55,000,000 0.730 08/29/16 08/29/16 55,000,000 1.49% Financial Company Commercial Paper United Overseas Bank Ltd. 91127PHW4 55,000,000 0.730 08/30/16 08/30/16 54,998,885 1.49% Investment Company Nuveen California Dividend Advantage Municipal Fund 2, CA, VRDP Ser 1-980 (AMT) (Royal Bank Of Canada LiqFac) 67069X609 4,700,000 0.670 09/02/16 09/02/16 4,700,000 0.13% Investment Company Nuveen California Dividend Advantage Municipal Fund, CA, VRDP Ser 4 (AMT) (Royal Bank Of Canada LiqFac) 67066Y881 2,600,000 0.600 09/02/16 09/02/16 2,600,000 0.07% Investment Company Nuveen Enhanced AMT-Free Municipal Credit Opportunities Fund, OT, Ser 2 (JP Morgan Chase Bank N.A. LiqFac) 67071L809 12,000,000 0.570 09/02/16 09/02/16 12,000,000 0.33% Investment Company Nuveen Enhanced AMT-Free Municipal Credit Opportunities Fund, OT, Ser 3 (Citibank N.A. LiqFac) 67071L882 14,000,000 0.570 09/02/16 09/02/16 14,000,000 0.38% Investment Company Nuveen Municipal Market Opportunity Fund Inc,OT,VRDP Ser 1-3509 (AMT) (Toronto Dominion Bank LiqFac) 67062W608 15,000,000 0.600 09/02/16 09/02/16 15,000,000 0.41% Investment Company Nuveen New York Performance Plus Municipal Fund Inc, NY, VRDP Ser 1-890 (AMT) (Toronto Dominion Bank LiqFac) 67066X701 6,700,000 0.600 09/02/16 09/02/16 6,700,000 0.18% Investment Company Nuveen Virginia Premium Income Municipal Fund,VA,VRDP Ser 1-1280 (AMT) (Toronto Dominion Bank LiqFac) 67064R805 5,500,000 0.600 09/02/16 09/02/16 5,500,000 0.15% Investment Company Western Asset Managed 95766M709 19,000,000 0.650 09/02/16 09/02/16 19,000,000 0.52% Municipals Fund Inc, OT, VRDP SER 1 (AMT) Non-Financial Company Commercial Paper Erste Abwicklungsanstalt 29604BAS3 10,000,000 0.663 09/12/16 10/11/16 10,000,000 0.27% Non-Financial Company Commercial Paper Erste Abwicklungsanstalt 29604BAR5 30,000,000 0.646 09/05/16 10/03/16 30,000,000 0.81% Non-Financial Company Commercial Paper Toyota Motor Credit Corp. 89233ANN5 30,000,000 0.628 09/02/16 10/04/16 30,000,000 0.82% Non-Negotiable Time Deposit Canadian Imperial Bank of 180,000,000 0.400 08/29/16 08/29/16 180,000,000 4.89% Commerce Page 2 of 6
Non-Negotiable Time Deposit Credit Agricole CIB (Grand 180,000,000 0.410 08/29/16 08/29/16 180,000,000 4.89% Cayman) Non-Negotiable Time Deposit DNB Bank ASA Cayman Islands 180,000,000 0.400 08/29/16 08/29/16 180,000,000 4.89% Non-Negotiable Time Deposit Lloyds Bank PLC (New York 180,000,000 0.400 08/29/16 08/29/16 180,000,000 4.89% Branch) Non-Negotiable Time Deposit National Australia Bank Ltd. 150,000,000 0.380 08/29/16 08/29/16 150,000,000 4.08% (Cayman) Non-Negotiable Time Deposit Natixis (Grand Cayman) 180,000,000 0.400 08/29/16 08/29/16 180,000,000 4.89% Non-Negotiable Time Deposit Rabobank Nederland (New York 155,000,000 0.400 08/29/16 08/29/16 155,000,000 4.21% Branch) Non-Negotiable Time Deposit Skandinaviska Enskilda Banken 150,000,000 0.400 08/29/16 08/29/16 150,000,000 4.08% AB Other Instrument Toronto-Dominion Bank 89114QAL2 24,215,000 1.117 09/09/16 09/09/16 24,218,505 0.66% ABN Amro Securities LLC 35,000,000 0.500 08/29/16 08/29/16 35,000,000 0.95% Bank of Montreal 50,000,000 0.570 09/02/16 09/02/16 50,000,000 Bank of Montreal 35,000,000 0.570 09/02/16 09/02/16 35,000,000 0.95% Bank of Montreal 2,000,000 0.500 08/29/16 08/29/16 2,000,000 0.05% BNP Paribas Securities Corp. 30,000,000 0.510 08/29/16 08/29/16 30,000,000 0.81% Citigroup Global Markets, Inc. 67,000,000 0.550 08/29/16 08/29/16 67,000,000 1.82% Credit Suisse Securities USA 60,000,000 1.077 09/09/16 09/09/16 60,000,000 1.63% HSBC Securities USA, Inc. 65,000,000 0.600 08/29/16 08/29/16 65,000,000 1.77% HSBC Securities USA, Inc. 45,000,000 0.500 08/29/16 08/29/16 45,000,000 1.22% Page 3 of 6
ING Financial Markets LLC 10,000,000 0.630 08/29/16 08/29/16 10,000,000 0.27% ING Financial Markets LLC 55,000,000 0.500 08/29/16 08/29/16 55,000,000 1.49% JP Morgan Clearing Corp. 30,000,000 0.812 09/21/16 09/21/16 30,000,000 0.81% JP Morgan Clearing Corp. 50,000,000 0.680 09/12/16 09/12/16 50,000,000 JP Morgan Clearing Corp. 10,000,000 0.680 09/02/16 09/02/16 10,000,000 0.27% JP Morgan Clearing Corp. 90,000,000 0.630 09/02/16 09/02/16 90,000,000 2.45% Scotia Capital USA, Inc. 100,000,000 0.600 08/29/16 08/29/16 100,000,000 2.72% SG Americas Securities 10,000,000 0.620 08/29/16 08/29/16 10,000,000 0.27% Wells Fargo Securities LLC 25,000,000 0.931 08/30/16 08/30/16 25,000,000 0.68% Wells Fargo Securities LLC 20,000,000 0.643 08/31/16 08/31/16 20,000,000 0.54% Wells Fargo Securities LLC 20,000,000 0.550 08/29/16 08/29/16 20,000,000 0.54% and ABN Amro Securities LLC 150,000,000 0.340 08/29/16 08/29/16 150,000,000 4.08% and Credit Agricole Corp. 135,000,000 0.320 08/29/16 08/29/16 135,000,000 3.67% Page 4 of 6
and Deutsche Bank Securities, Inc. 100,000,000 0.350 08/29/16 08/29/16 100,000,000 2.72% and Natixis 50,000,000 0.350 08/29/16 08/29/16 50,000,000 and Wells Fargo Securities LLC 50,000,000 0.340 09/01/16 09/01/16 50,000,000 Total Amortized Cost $ 3,679,666,542 100.00% Net Assets(⁵) $ 3,680,777,861 Institutional Funds Contact Details: Telephone Number: 1.800.236.0992 Email: msilfinternalsales@morganstanley.com Website: www.morganstanley.com/liquidity For institutional investor use only and may not be used with the general public. (1) The coupon rate shown reflects the effective rate as of the date on this report. (2) The date shown reflects the lower of the stated maturity date or the next interest rate reset date, which are used to calculate the portfolio's weighted average maturity (WAM). (3) The date shown reflects the lower of the stated final maturity date or the next demand feature date, which are used to calculate the portfolio's weighted average life (WAL). (4) Amortized Cost - A method of valuation, discussed in rule 2a-7 of the Investment Company Act of 1940, in which a portfolio security is carried at cost and any discount or premium from par is amortized to income on a daily basis over the life of the instrument. (5) Net Assets - The term used by an investment company to designate the access of the fair value of securities owned,, receivables, and other assets over the liabilities of the company. WAM (Weighted Average Maturity): The weighted dollar average maturities of all securities held within a 2a-7 fund. WAM is used as a measure of sensitivity to interest rate risk (the longer the maturity the greater the sensitivity). WAM is calculated by using the asset weighted days until maturity of securities in the portfolio calculated by using the lower of the stated maturity date or the next interest rate reset date. WAL (Weighted Average Life): The weighted dollar average of the life of all securities held within a 2a-7 fund. WAL is used as a measure of sensitivity to liquidity and/or credit risk (the longer the maturity the greater the sensitivity). WAL is calculated by using the asset weighted days until maturity of securities in the portfolio calculated by using the lower of the stated maturity date or the next demand feature date. Where appropriate, the following acronyms maybe used throughout this portfolio: LOC - Letter of Credit SPA - Standby Purchase Agreement LiqFac - Liquidity Facility Subject to change daily. Provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned or securities in the industries shown above. 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 your investment at $1.00 per share, it is possible to lose money by investing in the Fund. Page 5 of 6
Please consider the investment objectives, risks, charges and expenses of the fund carefully before investing. The prospectus contains this and other information about the fund. To obtain a prospectus, contact your financial advisor or download a copy at morganstanley.com/liquidity. Please read the prospectus carefully before investing. 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. 2016 Morgan Stanley. Morgan Stanley Distribution, Inc. serves as the distributor for the Morgan Stanley Institutional Liquidity Funds and the Morgan Stanley Investment Adviser Funds. NOT FDIC INSURED OFFER NO BANK GUARANTEE MAY LOSE VALUE NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY NOT A DEPOSIT 1428585 Exp: 10/25/2016 Page 6 of 6