Fund Name Morgan Stanley Institutional Liquidity Funds - Prime Portfolio Statement Date Unaudited Holdings as of August 26, 2016 WAM (Days) 8 Days WAL (Days) 9 Days Net Assets 12,916,874,673 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 Banco del Estado de Chile 05969YQX4 $ 25,000,000 0.410% 09/01/16 09/01/16 $ 25,000,000 0.19% Certificate of Deposit Bank of America NA 06053PQZ3 100,000,000 0.640 10/06/16 10/06/16 100,000,000 0.77% Certificate of Deposit Bank of Montreal 06427E4X6 50,000,000 0.690 10/05/16 10/05/16 50,000,000 0.39% Certificate of Deposit Bank of Montreal 06427K5Z6 100,000,000 0.400 09/02/16 09/02/16 100,000,000 0.77% Certificate of Deposit Bank of Nova Scotia 06417GLW6 75,000,000 0.600 09/29/16 09/29/16 75,000,000 0.58% Certificate of Deposit Branch Banking & Trust Co. 10513DX62 100,000,000 0.610 08/30/16 08/30/16 100,000,000 0.77% Certificate of Deposit Citibank NA 17305TAU6 150,000,000 0.700 10/03/16 10/03/16 150,000,000 1.16% Certificate of Deposit Citibank NA 17304U7E4 300,000,000 0.641 09/26/16 09/26/16 300,000,000 2.32% Certificate of Deposit Credit Industriel et Commercial 22536T5M1 150,000,000 0.410 08/30/16 08/30/16 150,000,000 1.16% Certificate of Deposit Landesbank Hessen- 51489NQH8 170,000,000 0.630 09/07/16 09/07/16 170,000,000 1.32% Thueringen Certificate of Deposit Mizuho Bank Ltd. 60689DXJ7 155,000,000 0.748 09/06/16 10/06/16 155,000,000 1.20% Certificate of Deposit Oversea-Chinese Banking 69033LJD2 160,000,000 0.550 09/13/16 09/13/16 160,000,000 1.24% Corp. Ltd. Certificate of Deposit Sumitomo Mitsui Banking Corp. 86563QM49 450,000,000 0.744 08/31/16 08/31/16 450,000,000 3.48% Certificate of Deposit Sumitomo Mitsui Banking Corp. 86563QL40 200,000,000 0.744 08/29/16 08/29/16 200,000,000 1.55% Certificate of Deposit Sumitomo Mitsui Trust Bank 86564EFU5 100,000,000 0.420 09/01/16 09/01/16 100,000,000 0.77% Ltd. Certificate of Deposit Swedbank AB 87019UPV5 25,000,000 0.390 09/01/16 09/01/16 25,000,000 0.19% Certificate of Deposit Wells Fargo Bank NA 94988EJT6 15,000,000 0.792 09/22/16 09/22/16 15,000,886 0.12% Certificate of Deposit Westpac Banking Corp. 96121TM96 50,000,000 0.844 09/06/16 10/03/16 50,009,462 0.39% Financial Company Commercial Paper ABN Amro Funding USA LLC 00084BHW7 42,000,000 0.660 08/30/16 08/30/16 41,999,230 0.33% Page 1 of 6
Financial Company Commercial Paper Commonwealth Bank of 20272DJM3 160,000,000 0.610 09/21/16 09/21/16 159,938,156 1.24% Australia Financial Company Commercial Paper Credit Agricole Corporate and 22533THV1 500,000,000 0.410 08/29/16 08/29/16 500,000,000 3.87% Investment Bank Financial Company Commercial Paper DBS Bank Ltd. 23305DKB0 45,000,000 0.710 10/11/16 10/11/16 44,961,837 0.35% Financial Company Commercial Paper DBS Bank Ltd. 23305DKC8 125,600,000 0.710 10/12/16 10/12/16 125,491,007 0.97% Financial Company Commercial Paper DBS Bank Ltd. 23305DHX6 160,000,000 0.640 08/31/16 08/31/16 159,994,311 1.24% Financial Company Commercial Paper ING US Funding LLC 4497W0J17 202,000,000 0.710 09/01/16 09/01/16 201,988,048 1.56% Financial Company Commercial Paper ING US Funding LLC 4497W0J90 150,000,000 0.700 09/09/16 09/09/16 149,967,917 1.16% Financial Company Commercial Paper Natixis Ny 63873JHV5 500,000,000 0.400 08/29/16 08/29/16 500,000,000 3.87% Financial Company Commercial Paper Sumitomo Mitsui Banking Corp. 86563GK35 110,000,000 0.760 10/03/16 10/03/16 109,918,722 0.85% Financial Company Commercial Paper Sumitomo Mitsui Banking Corp. 86563K6Q1 235,000,000 0.744 08/31/16 08/31/16 235,000,000 1.82% Financial Company Commercial Paper United Overseas Bank Ltd. 91127PHV6 145,000,000 0.730 08/29/16 08/29/16 145,000,000 1.12% Financial Company Commercial Paper United Overseas Bank Ltd. 91127PHW4 145,000,000 0.730 08/30/16 08/30/16 144,997,060 1.12% Advantage Municipal Fund 2, CA, VRDP Ser 1-980 (AMT) (Royal Bank Of Canada LiqFac) 67069X609 18,800,000 0.670 09/02/16 09/02/16 18,800,000 0.15% Advantage Municipal Fund, CA VRDP SER 5 (AMT) (Citibank N.A. LiqFac) 67066Y873 15,000,000 0.600 09/02/16 09/02/16 15,000,000 0.12% Advantage Municipal Fund, CA, VRDP Ser 4 (AMT) (Royal Bank Of Canada LiqFac) 67066Y881 10,400,000 0.600 09/02/16 09/02/16 10,400,000 0.08% Advantage Municipal Fund, CA, VRDP Ser 6 (AMT) (Citibank N.A. LiqFac) 67066Y865 24,000,000 0.600 09/02/16 09/02/16 24,000,000 0.19% Investment Company Nuveen Enhanced AMT-Free Municipal Credit Opportunities Fund, OT, Ser 2 (JP Morgan Chase Bank N.A. LiqFac) 67071L809 43,000,000 0.570 09/02/16 09/02/16 43,000,000 0.33% Investment Company Nuveen Enhanced AMT-Free Municipal Credit Opportunities Fund, OT, Ser 3 (Citibank N.A. LiqFac) 67071L882 57,200,000 0.570 09/02/16 09/02/16 57,200,000 0.44% Page 2 of 6
Investment Company Nuveen Municipal Market Opportunity Fund Inc,OT,VRDP Ser 1-3509 (AMT) (Toronto Dominion Bank LiqFac) 67062W608 60,100,000 0.600 09/02/16 09/02/16 60,100,000 0.47% Investment Company Nuveen New York Performance Plus Municipal Fund Inc, NY, VRDP Ser 1-890 (AMT) (Toronto Dominion Bank LiqFac) 67066X701 26,500,000 0.600 09/02/16 09/02/16 26,500,000 0.21% Investment Company Nuveen Virginia Premium Income Municipal Fund,VA,VRDP Ser 1-1280 (AMT) (Toronto Dominion Bank LiqFac) 67064R805 16,000,000 0.600 09/02/16 09/02/16 16,000,000 0.12% Investment Company Western Asset Intermediate 958435307 20,200,000 0.650 09/02/16 09/02/16 20,201,845 0.16% Muni Fund Inc, OT, VRDP Ser 1 (AMT) Investment Company Western Asset Managed 95766M709 72,000,000 0.650 09/02/16 09/02/16 72,000,000 0.56% Municipals Fund Inc, OT, VRDP SER 1 (AMT) Investment Company Western Asset Municipal 95766P306 12,500,000 0.650 09/02/16 09/02/16 12,501,142 0.10% Partners Fund Inc, OT, VRDP SER1 (AMT) Non-Financial Company Commercial Paper Erste Abwicklungsanstalt 29604BAS3 90,000,000 0.663 09/12/16 10/11/16 90,000,000 0.70% Non-Financial Company Commercial Paper Erste Abwicklungsanstalt 29604BAR5 120,000,000 0.646 09/05/16 10/03/16 120,000,000 0.93% Non-Financial Company Commercial Paper Erste Abwicklungsanstalt 29604BAQ7 150,000,000 0.641 08/30/16 09/27/16 150,000,000 1.16% Non-Financial Company Commercial Paper Toyota Motor Credit Corp. 89233ANN5 140,000,000 0.628 09/02/16 10/04/16 140,000,000 1.08% Non-Negotiable Time Deposit Bank of New York Mellon 350,000,000 0.270 08/29/16 08/29/16 350,000,000 2.71% (Cayman) Non-Negotiable Time Deposit DNB Bank ASA (New York 630,000,000 0.400 08/29/16 08/29/16 630,000,000 4.88% Branch) Non-Negotiable Time Deposit Lloyds Bank PLC (New York 620,000,000 0.400 08/29/16 08/29/16 620,000,000 4.80% Branch) Non-Negotiable Time Deposit National Bank of Canada (New 100,000,000 0.400 08/29/16 08/29/16 100,000,000 0.77% York Branch) Non-Negotiable Time Deposit Rabobank Nederland (New York 625,000,000 0.400 08/29/16 08/29/16 625,000,000 4.84% Branch) Non-Negotiable Time Deposit Swedbank AB New York Branch 450,000,000 0.405 08/29/16 08/29/16 450,000,000 3.48% ABN Amro Securities LLC 237,000,000 0.500 08/29/16 08/29/16 237,000,000 1.84% Page 3 of 6
Bank of Montreal 10,000,000 0.630 09/02/16 09/02/16 10,000,000 Bank of Montreal 190,000,000 0.570 09/02/16 09/02/16 190,000,000 Bank of Montreal 235,000,000 0.570 09/02/16 09/02/16 235,000,000 BNP Paribas Securities Corp. 160,000,000 0.510 08/29/16 08/29/16 160,000,000 Citigroup Global Markets, Inc. 140,000,000 0.550 08/29/16 08/29/16 140,000,000 Credit Suisse Securities USA 120,000,000 1.077 09/09/16 09/09/16 120,000,000 HSBC Securities USA, Inc. 216,000,000 0.600 08/29/16 08/29/16 216,000,000 HSBC Securities USA, Inc. 155,000,000 0.500 08/29/16 08/29/16 155,000,000 ING Financial Markets LLC 46,000,000 0.630 08/29/16 08/29/16 46,000,000 ING Financial Markets LLC 150,000,000 0.500 08/29/16 08/29/16 150,000,000 JP Morgan Clearing Corp. 110,000,000 0.812 09/21/16 09/21/16 110,000,000 JP Morgan Clearing Corp. 200,000,000 0.680 09/12/16 09/12/16 200,000,000 JP Morgan Clearing Corp. 40,000,000 0.680 09/02/16 09/02/16 40,000,000 JP Morgan Clearing Corp. 325,000,000 0.630 09/02/16 09/02/16 325,000,000 0.08% 1.47% 1.82% 1.24% 1.08% 0.93% 1.67% 1.20% 0.36% 1.16% 0.85% 1.55% 0.31% 2.52% Page 4 of 6
Scotia Capital USA, Inc. 387,000,000 0.600 08/29/16 08/29/16 387,000,000 3.00% SG Americas Securities 50,000,000 0.620 08/29/16 08/29/16 50,000,000 0.39% Wells Fargo Securities LLC 155,000,000 0.931 08/30/16 08/30/16 155,000,000 1.20% Wells Fargo Securities LLC 80,000,000 0.643 08/31/16 08/31/16 80,000,000 0.62% Wells Fargo Securities LLC 80,000,000 0.550 08/29/16 08/29/16 80,000,000 0.62% and ABN Amro Securities LLC 395,000,000 0.340 08/29/16 08/29/16 395,000,000 3.06% and Merrill Lynch Pierce Fenner & Smith 105,000,000 0.320 08/29/16 08/29/16 105,000,000 0.81% and Natixis 660,000,000 0.350 08/29/16 08/29/16 660,000,000 5.11% and Societe Generale 25,000,000 0.330 08/29/16 08/29/16 25,000,000 0.19% and Wells Fargo Securities LLC 100,000,000 0.340 09/01/16 09/01/16 100,000,000 0.77% Total Amortized Cost $ 12,915,969,623 100.00% Net Assets(⁵) $ 12,916,874,673 Institutional Funds Contact Details: Telephone Number: 1.800.236.0992 Email: msilfinternalsales@morganstanley.com Website: www.morganstanley.com/liquidity Page 5 of 6
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. 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