Fund Name Morgan Stanley Institutional Liquidity Funds - Prime Portfolio Statement Date Unaudited Holdings as of July 31, 2016 WAM (Days) 15 Days WAL (Days) 19 Days Net Assets 15,600,438,762 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 America NA 06053PQZ3 $ 100,000,000 0.640% 10/06/16 10/06/16 $ 100,000,000 0.65% Certificate of Deposit Bank of Montreal 06366CWA2 15,000,000 0.716 08/12/16 08/12/16 15,000,426 0.10% Certificate of Deposit Bank of Montreal 06427E4X6 50,000,000 0.690 10/05/16 10/05/16 50,000,000 0.32% Certificate of Deposit Bank of Montreal 06427E3S8 250,000,000 0.560 08/26/16 08/26/16 250,000,000 1.62% Certificate of Deposit Bank of Montreal 06427E2Z3 210,000,000 0.530 08/22/16 08/22/16 210,000,000 1.36% Certificate of Deposit Bank of Nova Scotia 06417GLW6 75,000,000 0.600 09/29/16 09/29/16 75,000,000 0.48% Certificate of Deposit Branch Banking & Trust Co. 10513DX62 100,000,000 0.610 08/30/16 08/30/16 100,000,000 0.65% Certificate of Deposit Branch Banking & Trust Co. 10513DZ52 50,000,000 0.380 08/03/16 08/03/16 50,000,000 0.32% Certificate of Deposit Citibank NA 17305TAU6 150,000,000 0.700 10/03/16 10/03/16 150,000,000 0.97% Certificate of Deposit Citibank NA 17304U7E4 300,000,000 0.641 08/26/16 09/26/16 300,000,000 1.94% Certificate of Deposit Credit Industriel et Commercial 22536T4B6 160,000,000 0.390 08/02/16 08/02/16 160,000,000 1.03% Certificate of Deposit Credit Suisse 22549VQ48 310,000,000 0.774 08/09/16 08/09/16 310,000,000 2.00% Certificate of Deposit Landesbank Hessen- 51489NQH8 170,000,000 0.630 09/07/16 09/07/16 170,000,000 1.10% Thueringen Certificate of Deposit Mizuho Bank Ltd. 60689DXJ7 155,000,000 0.720 08/08/16 10/06/16 155,000,000 1.00% Certificate of Deposit Mizuho Bank Ltd. 60689DXR9 146,000,000 0.530 08/12/16 08/12/16 146,000,000 0.94% Certificate of Deposit Oversea-Chinese Banking 69033LJD2 160,000,000 0.550 09/13/16 09/13/16 160,000,000 1.03% Corp. Ltd. Certificate of Deposit Sumitomo Mitsui Banking Corp. 86563QD80 210,000,000 0.724 08/08/16 08/08/16 210,000,000 1.36% Certificate of Deposit Sumitomo Mitsui Banking Corp. 86563QL40 200,000,000 0.710 08/29/16 08/29/16 200,000,000 1.29% Certificate of Deposit Sumitomo Mitsui Banking Corp. 86563QM49 450,000,000 0.710 08/31/16 08/31/16 450,000,000 2.91% Certificate of Deposit Svenska Handelsbanken AB 86958DPD8 40,000,000 0.808 08/17/16 08/17/16 40,005,415 0.26% Page 1 of 7
Certificate of Deposit Swedbank AB 87019UNE5 150,000,000 0.370 08/02/16 08/02/16 150,000,000 0.97% Certificate of Deposit Wells Fargo Bank NA 94988EJT6 15,000,000 0.767 08/22/16 09/22/16 15,001,919 0.10% Certificate of Deposit Westpac Banking Corp. 96121TM96 50,000,000 0.818 08/05/16 10/03/16 50,017,031 0.32% Certificate of Deposit Westpac Banking Corp. 96121TK72 26,000,000 0.783 08/08/16 08/08/16 26,001,781 0.17% Financial Company Commercial Paper ABN Amro Funding USA LLC 00084BHW7 42,000,000 0.660 08/30/16 08/30/16 41,977,670 0.27% Financial Company Commercial Paper Commonwealth Bank of 20272APZ3 20,000,000 0.828 08/11/16 08/11/16 20,001,377 0.13% Australia Financial Company Commercial Paper Commonwealth Bank of 20272DJM3 160,000,000 0.610 09/21/16 09/21/16 159,862,867 1.03% Australia Financial Company Commercial Paper Commonwealth Bank of 20272DHG8 137,000,000 0.420 08/16/16 08/16/16 136,976,025 0.88% Australia Financial Company Commercial Paper Credit Agricole Corporate and 22533TH17 350,000,000 0.310 08/01/16 08/01/16 350,000,000 2.26% Investment Bank Financial Company Commercial Paper DBS Bank Ltd. 23305DKB0 45,000,000 0.710 10/11/16 10/11/16 44,936,987 0.29% Financial Company Commercial Paper DBS Bank Ltd. 23305DKC8 125,600,000 0.710 10/12/16 10/12/16 125,421,648 0.81% Financial Company Commercial Paper DBS Bank Ltd. 23305DHX6 160,000,000 0.640 08/31/16 08/31/16 159,914,667 1.03% Financial Company Commercial Paper DBS Bank Ltd. 23305DH24 50,000,000 0.510 08/02/16 08/02/16 49,999,292 0.32% Financial Company Commercial Paper ING US Funding LLC 4497W0J17 202,000,000 0.710 09/01/16 09/01/16 201,876,499 1.30% Financial Company Commercial Paper ING US Funding LLC 4497W0J90 150,000,000 0.700 09/09/16 09/09/16 149,886,250 0.97% Financial Company Commercial Paper Macquarie Bank Ltd. 55607KHF6 110,000,000 0.550 08/15/16 08/15/16 109,976,472 0.71% Financial Company Commercial Paper Macquarie Bank Ltd. 55607KH90 200,000,000 0.550 08/09/16 08/09/16 199,975,556 1.29% Financial Company Commercial Paper Mizuho Bank Ltd. 60689FH84 100,000,000 0.460 08/08/16 08/08/16 99,990,968 0.65% Financial Company Commercial Paper Natixis SA 63873JH11 350,000,000 0.300 08/01/16 08/01/16 350,000,000 2.26% Financial Company Commercial Paper Sumitomo Mitsui Banking Corp. 86563GK35 110,000,000 0.760 10/03/16 10/03/16 109,853,700 0.71% Financial Company Commercial Paper Sumitomo Mitsui Banking Corp. 86563K6Q1 235,000,000 0.710 08/31/16 08/31/16 235,000,000 1.52% Financial Company Commercial Paper Sumitomo Mitsui Trust Bank 86563GH88 176,000,000 0.500 08/08/16 08/08/16 175,982,764 1.14% Ltd. Financial Company Commercial Paper United Overseas Bank Ltd. 91127PH87 225,000,000 0.740 08/08/16 08/08/16 224,967,625 1.45% Financial Company Commercial Paper United Overseas Bank Ltd. 91127PHV6 145,000,000 0.730 08/29/16 08/29/16 144,917,672 0.94% Financial Company Commercial Paper United Overseas Bank Ltd. 91127PHS3 155,000,000 0.730 08/26/16 08/26/16 154,921,424 1.00% Financial Company Commercial Paper United Overseas Bank Ltd. 91127PHW4 145,000,000 0.730 08/30/16 08/30/16 144,914,732 0.94% Financial Company Commercial Paper United Overseas Bank Ltd. 91127PHB0 75,000,000 0.430 08/11/16 08/11/16 74,991,042 0.48% Financial Company Commercial Paper United Overseas Bank Ltd. 91127PHG9 20,000,000 0.430 08/16/16 08/16/16 19,996,417 0.13% Financial Company Commercial Paper United Overseas Bank Ltd. 91127PHH7 65,000,000 0.430 08/17/16 08/17/16 64,987,578 0.42% Investment Company Nuveen California Dividend Advantage Municipal Fund, CA VRDP SER 5 (AMT) (Citibank N.A. LiqFac) 67066Y873 15,000,000 0.530 08/05/16 08/05/16 15,000,000 0.10% Investment Company Nuveen California Dividend Advantage Municipal Fund, CA, VRDP Ser 6 (AMT) (Citibank N.A. LiqFac) 67066Y865 24,000,000 0.530 08/05/16 08/05/16 24,000,000 0.16% Page 2 of 7
Investment Company Western Asset Intermediate 958435307 20,200,000 0.530 08/05/16 08/05/16 20,201,850 0.13% Muni Fund Inc, OT, VRDP Ser 1 (AMT) Investment Company Western Asset Municipal 95766P306 12,500,000 0.530 08/05/16 08/05/16 12,501,145 0.08% Partners Fund Inc, OT, VRDP SER1 (AMT) Non-Financial Company Commercial Paper American Honda Finance Corp. 02665JHP8 35,000,000 0.540 08/23/16 08/23/16 34,988,450 0.23% Non-Financial Company Commercial Paper American Honda Finance Corp. 02665JHJ2 185,000,000 0.520 08/18/16 08/18/16 184,954,572 1.19% Non-Financial Company Commercial Paper American Honda Finance Corp. 02665JH86 34,440,000 0.420 08/08/16 08/08/16 34,437,187 0.22% Non-Financial Company Commercial Paper Erste Abwicklungsanstalt 29604BAQ7 150,000,000 0.641 08/30/16 09/27/16 150,000,000 0.97% Non-Financial Company Commercial Paper Erste Abwicklungsanstalt 29604BAS3 90,000,000 0.624 08/11/16 10/11/16 90,000,000 0.58% Non-Financial Company Commercial Paper Erste Abwicklungsanstalt 29604BAR5 120,000,000 0.618 08/03/16 10/03/16 120,000,000 0.78% Non-Financial Company Commercial Paper Toyota Motor Credit Corp. 89233ANN5 140,000,000 0.628 08/05/16 10/04/16 140,000,000 0.90% Non-Negotiable Time Deposit DNB Bank ASA (New York 250,000,000 0.300 08/01/16 08/01/16 250,000,000 1.62% Branch) Non-Negotiable Time Deposit Lloyds Bank PLC (New York Branch) 200,000,000 0.300 08/01/16 08/01/16 200,000,000 1.29% ABN Amro Securities LLC 232,000,000 0.400 08/01/16 08/01/16 232,000,000 1.50% Bank of Montreal 10,000,000 0.630 08/05/16 08/05/16 10,000,000 0.06% Bank of Montreal 20,000,000 0.620 08/05/16 08/05/16 20,000,000 0.13% Bank of Montreal 200,000,000 0.500 08/05/16 08/05/16 200,000,000 1.29% Bank of Montreal 30,000,000 0.400 08/01/16 08/01/16 30,000,000 0.19% BNP Paribas Securities Corp. 230,000,000 0.410 08/01/16 08/01/16 230,000,000 1.49% Citigroup Global Markets, Inc. 80,000,000 0.450 08/01/16 08/01/16 80,000,000 0.52% Page 3 of 7
Credit Suisse Securities USA 120,000,000 1.052 08/17/16 09/09/16 (6) 120,000,000 0.78% HSBC Securities USA, Inc. 225,000,000 0.500 08/01/16 08/01/16 225,000,000 1.45% HSBC Securities USA, Inc. 25,000,000 0.500 08/01/16 08/01/16 25,000,000 0.16% HSBC Securities USA, Inc. 155,000,000 0.400 08/01/16 08/01/16 155,000,000 1.00% ING Financial Markets LLC 110,000,000 0.530 08/01/16 08/01/16 110,000,000 0.71% ING Financial Markets LLC 100,000,000 0.400 08/01/16 08/01/16 100,000,000 0.65% ING Financial Markets LLC 93,000,000 0.400 08/01/16 08/01/16 93,000,000 0.60% JP Morgan Clearing Corp. 40,000,000 0.982 08/08/16 08/08/16 40,000,000 0.26% JP Morgan Clearing Corp. 140,000,000 0.982 08/08/16 08/08/16 140,000,000 0.90% JP Morgan Clearing Corp. 95,000,000 0.882 08/08/16 08/08/16 95,000,000 0.61% JP Morgan Clearing Corp. 110,000,000 0.785 08/22/16 09/02/16 (6) 110,000,000 0.71% JP Morgan Clearing Corp. 400,000,000 0.630 08/05/16 08/26/16 (6) 400,000,000 2.58% Merrill Lynch Pierce Fenner & Smith 190,000,000 0.840 08/01/16 08/08/16 (6) 190,000,000 1.23% Scotia Capital USA, Inc. 390,000,000 0.500 08/01/16 08/01/16 390,000,000 2.52% Page 4 of 7
SG Americas Securities 78,000,000 0.520 08/01/16 08/01/16 78,000,000 0.50% Wells Fargo Securities LLC 155,000,000 0.931 08/30/16 08/30/16 155,000,000 1.00% Wells Fargo Securities LLC 160,000,000 0.450 08/01/16 08/01/16 160,000,000 1.03% Wells Fargo Securities LLC 100,000,000 0.450 08/01/16 08/01/16 100,000,000 0.65% Wells Fargo Securities LLC 25,000,000 0.450 08/01/16 08/01/16 25,000,000 0.16% Wells Fargo Securities LLC 80,000,000 0.400 08/01/16 08/01/16 80,000,000 0.52% Wells Fargo Securities LLC 80,000,000 0.400 08/01/16 08/01/16 80,000,000 0.52% and ABN Amro Securities LLC 455,000,000 0.380 08/01/16 08/01/16 455,000,000 2.94% and Bank of Nova Scotia 175,000,000 0.330 08/05/16 08/05/16 175,000,000 1.13% and BNP Paribas Securities Corp. 227,350,000 0.360 08/01/16 08/01/16 227,350,000 1.47% and Credit Agricole Corp. 250,000,000 0.350 08/01/16 08/01/16 250,000,000 1.62% and Merrill Lynch Pierce Fenner & Smith 220,000,000 0.350 08/01/16 08/01/16 220,000,000 1.42% Page 5 of 7
and Natixis 660,000,000 0.370 08/01/16 08/01/16 660,000,000 4.26% and Wells Fargo Bank NA 400,000,000 0.360 08/01/16 08/01/16 400,000,000 2.58% and Wells Fargo Securities LLC 350,000,000 0.360 08/01/16 08/01/16 350,000,000 2.26% and Wells Fargo Securities LLC 100,000,000 0.320 08/04/16 08/04/16 100,000,000 0.65% U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and Deutsche Bank Securities, Inc. 250,000,000 0.380 08/01/16 08/01/16 250,000,000 1.62% U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and Natixis 350,000,000 0.350 08/01/16 08/01/16 350,000,000 2.26% Total Amortized Cost $ 15,479,789,008 100.00% Net Assets (⁵) $ 15,600,438,762 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. (6) Put Date. 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. Page 6 of 7
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 7 of 7