# EDGAR Filing Document

**Accession Number:** 0000806564
**File Stem:** 0001104659-25-061549
**Filing Date:** 2025-6
**Character Count:** 171567
**Document Hash:** 5e911534ad5635a6c1b0badf9f2fac5f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-25-061549.hdr.sgml**: 20250623

**ACCESSION NUMBER**: 0001104659-25-061549

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 29

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250623

**DATE AS OF CHANGE**: 20250623

**EFFECTIVENESS DATE**: 20250623

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY MORTGAGE SECURITIES TRUST
- **CENTRAL INDEX KEY:** 0000806564

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04917
- **FILM NUMBER:** 251063482

**BUSINESS ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 800-869-6397

**MAIL ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 20010618

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY DEAN WITTER FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19980622

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WITTER DEAN FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19930210

## Series and Classes Contracts Data

### Morgan Stanley Mortgage Securities Trust (Series ID: S000002467)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000006611 | A            | MTGAX           |
| C000006613 | L            | MTGCX           |
| C000006614 | I            | MTGDX           |
| C000155975 | Class C      | MSMTX           |
| C000198813 | Class R6     | MORGX           |

?xml version='1.0' encoding='ASCII'? Consolidated ssr-output-EDGAR XBRL File

**UNITED STATES SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

**Form N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act File Number: 811-04917

**<u>Morgan Stanley Mortgage Securities Trust</u>**

(Exact Name of Registrant as Specified in Charter)

<u>1585 Broadway, New York, New York 10036</u>

(Address of Principal Executive Offices)

John H. Gernon

<u>1585 Broadway, New York, New York 10036</u>

(Name and Address of Agent for Services)

<u>(212) 762-1886</u>

(Registrant's Telephone Number)

<u>October 31,</u>

Date of Fiscal Year End

<u>April 30, 2025</u>

Date of Reporting Period

**Item 1. Reports to Stockholders**

(a) **TABLE OF CONTENTS**

---

| |
|:---|
|  [Morgan Stanley Mortgage Securities Trust](#classname06219658-3768-4968-83cb-9530337b2106)<br> **[MTGAX](#classname06219658-3768-4968-83cb-9530337b2106)**  |
|  [Morgan Stanley Mortgage Securities Trust](#classname0af10011-b457-46ef-b553-d1f9bf5402bb)<br> **[MSMTX](#classname0af10011-b457-46ef-b553-d1f9bf5402bb)**  |
|  [Morgan Stanley Mortgage Securities Trust](#classnamed5b3fa7e-e458-4517-95e0-7c8fbdb4b5bb)<br> **[MTGDX](#classnamed5b3fa7e-e458-4517-95e0-7c8fbdb4b5bb)**  |
|  [Morgan Stanley Mortgage Securities Trust](#classname2cc7dc04-f499-493d-8338-53ddd620f850)<br> **[MTGCX](#classname2cc7dc04-f499-493d-8338-53ddd620f850)**  |
|  [Morgan Stanley Mortgage Securities Trust](#classname0005d0a3-3c55-42d0-a158-4b07c38ead36)<br> **[MORGX](#classname0005d0a3-3c55-42d0-a158-4b07c38ead36)**  |

---

# Morgan Stanley Mortgage Securities Trust

# Class A MTGAX
![Image](tm2514635d3_tsrimg002.jpg)

#### Semi-Annual Shareholder Report April 30, 2025
This semi-annual shareholder report contains important information about Morgan Stanley Mortgage Securities Trust for the period of November 1, 2024 to April 30, 2025. You can find additional information about the Fund at www.morganstanley.com/im/shareholderreports. You can also request this information by contacting us at 1-800-869-6397.

## What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class A | $51 | 1.00%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized |

---

## Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $618631372 |
| # of Portfolio Holdings | 678 |
| Portfolio Turnover Rate | 258% |

---

## What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.

### Asset Allocation (% of total investments)
![Credit Rating Chart](tm2514635d3_tsrimg008.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Agency Adjustable Rate Mortgages | 0.3% |
| Corporate Bonds | 0.9% |
| Collateralized Mortgage Obligations - Agency Collateral Series | 2.0% |
| Commercial Mortgage-Backed Securities | 2.1% |
| Asset-Backed Securities | 15.5% |
| Short-Term Investments | 20.3% |
| Agency Fixed Rate Mortgages | 27.5% |
| Mortgages - Other | 31.4% |

---

### Credit Quality (% of net assets)<sup>**Footnote Reference a**</sup>
![Group By Asset Type Chart](tm2514635d3_tsrimg004.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Cash and Equivalents | -18.6% |
| Not Rated | 38.0% |
| CCC | 1.5% |
| B | 2.6% |
| BB | 1.9% |
| BBB | 4.8% |
| A | 3.5% |
| AA | 2.1% |
| AAA | 64.2% |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>a</sup> | &nbsp;&nbsp;Security ratings disclosed with the exception for those labeled "Not Rated" is an aggregation of the highest security level rating amongst S&P Global Ratings, Moody's Investors Services, Inc., and Fitch Ratings, each a Nationally Recognized Statistical Ratings Organization. |

---

## Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: http://www.morganstanley.com/im/shareholderreports](tm2514635d3_tsrimg009.jpg)

If you wish to view additional information about the Fund, including the prospectus, statement of additional information, financial statements and holdings, please scan the QR code or visit www.morganstanley.com/im/shareholderreports. For proxy information, please visit www.morganstanley.com/im/en-us/institutional-investor/about-us/proxy-voting/vote-summary-report.desktop.html.

## Householding
The Funds may deliver a single copy of certain required shareholder documents (including prospectuses, shareholder reports, and proxy materials) to investors with the same last name and the same address. Your participation will continue indefinitely unless you instruct otherwise by calling1-800-869-6397 or by contacting your financial intermediary. Your instruction will typically be effective within 30 days of receipt.

#### Not FDIC Insured \| May Lose Value \| No Bank Guarantee
Semi-Annual Shareholder Report April 30, 2025

# MTGAX -TSR-SAR

# Morgan Stanley Mortgage Securities Trust

# Class C MSMTX
![Image](tm2514635d3_tsrimg002.jpg)

#### Semi-Annual Shareholder Report April 30, 2025
This semi-annual shareholder report contains important information about Morgan Stanley Mortgage Securities Trust for the period of November 1, 2024 to April 30, 2025. You can find additional information about the Fund at www.morganstanley.com/im/shareholderreports. You can also request this information by contacting us at 1-800-869-6397.

## What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class C | $89 | 1.76%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized |

---

## Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $618631372 |
| # of Portfolio Holdings | 678 |
| Portfolio Turnover Rate | 258% |

---

## What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.

### Asset Allocation (% of total investments)
![Credit Rating Chart](tm2514635d3_tsrimg001.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Agency Adjustable Rate Mortgages | 0.3% |
| Corporate Bonds | 0.9% |
| Collateralized Mortgage Obligations - Agency Collateral Series | 2.0% |
| Commercial Mortgage-Backed Securities | 2.1% |
| Asset-Backed Securities | 15.5% |
| Short-Term Investments | 20.3% |
| Agency Fixed Rate Mortgages | 27.5% |
| Mortgages - Other | 31.4% |

---

### Credit Quality (% of net assets)<sup>**Footnote Reference a**</sup>
![Group By Asset Type Chart](tm2514635d3_tsrimg012.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Cash and Equivalents | -18.6% |
| Not Rated | 38.0% |
| CCC | 1.5% |
| B | 2.6% |
| BB | 1.9% |
| BBB | 4.8% |
| A | 3.5% |
| AA | 2.1% |
| AAA | 64.2% |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>a</sup> | &nbsp;&nbsp;Security ratings disclosed with the exception for those labeled "Not Rated" is an aggregation of the highest security level rating amongst S&P Global Ratings, Moody's Investors Services, Inc., and Fitch Ratings, each a Nationally Recognized Statistical Ratings Organization. |

---

## Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: http://www.morganstanley.com/im/shareholderreports](tm2514635d3_tsrimg009.jpg)

If you wish to view additional information about the Fund, including the prospectus, statement of additional information, financial statements and holdings, please scan the QR code or visit www.morganstanley.com/im/shareholderreports. For proxy information, please visit www.morganstanley.com/im/en-us/institutional-investor/about-us/proxy-voting/vote-summary-report.desktop.html.

## Householding
The Funds may deliver a single copy of certain required shareholder documents (including prospectuses, shareholder reports, and proxy materials) to investors with the same last name and the same address. Your participation will continue indefinitely unless you instruct otherwise by calling1-800-869-6397 or by contacting your financial intermediary. Your instruction will typically be effective within 30 days of receipt.

#### Not FDIC Insured \| May Lose Value \| No Bank Guarantee
Semi-Annual Shareholder Report April 30, 2025

# MSMTX -TSR-SAR

# Morgan Stanley Mortgage Securities Trust

# Class I MTGDX
![Image](tm2514635d3_tsrimg002.jpg)

#### Semi-Annual Shareholder Report April 30, 2025
This semi-annual shareholder report contains important information about Morgan Stanley Mortgage Securities Trust for the period of November 1, 2024 to April 30, 2025. You can find additional information about the Fund at www.morganstanley.com/im/shareholderreports. You can also request this information by contacting us at 1-800-869-6397.

## What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class I | $36 | 0.70%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized |

---

## Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $618631372 |
| # of Portfolio Holdings | 678 |
| Portfolio Turnover Rate | 258% |

---

## What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.

### Asset Allocation (% of total investments)
![Credit Rating Chart](tm2514635d3_tsrimg006.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Agency Adjustable Rate Mortgages | 0.3% |
| Corporate Bonds | 0.9% |
| Collateralized Mortgage Obligations - Agency Collateral Series | 2.0% |
| Commercial Mortgage-Backed Securities | 2.1% |
| Asset-Backed Securities | 15.5% |
| Short-Term Investments | 20.3% |
| Agency Fixed Rate Mortgages | 27.5% |
| Mortgages - Other | 31.4% |

---

### Credit Quality (% of net assets)<sup>**Footnote Reference a**</sup>
![Group By Asset Type Chart](tm2514635d3_tsrimg005.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Cash and Equivalents | -18.6% |
| Not Rated | 38.0% |
| CCC | 1.5% |
| B | 2.6% |
| BB | 1.9% |
| BBB | 4.8% |
| A | 3.5% |
| AA | 2.1% |
| AAA | 64.2% |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>a</sup> | &nbsp;&nbsp;Security ratings disclosed with the exception for those labeled "Not Rated" is an aggregation of the highest security level rating amongst S&P Global Ratings, Moody's Investors Services, Inc., and Fitch Ratings, each a Nationally Recognized Statistical Ratings Organization. |

---

## Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: http://www.morganstanley.com/im/shareholderreports](tm2514635d3_tsrimg009.jpg)

If you wish to view additional information about the Fund, including the prospectus, statement of additional information, financial statements and holdings, please scan the QR code or visit www.morganstanley.com/im/shareholderreports. For proxy information, please visit www.morganstanley.com/im/en-us/institutional-investor/about-us/proxy-voting/vote-summary-report.desktop.html.

## Householding
The Funds may deliver a single copy of certain required shareholder documents (including prospectuses, shareholder reports, and proxy materials) to investors with the same last name and the same address. Your participation will continue indefinitely unless you instruct otherwise by calling1-800-869-6397 or by contacting your financial intermediary. Your instruction will typically be effective within 30 days of receipt.

#### Not FDIC Insured \| May Lose Value \| No Bank Guarantee
Semi-Annual Shareholder Report April 30, 2025

# MTGDX -TSR-SAR

# Morgan Stanley Mortgage Securities Trust

# Class L MTGCX
![Image](tm2514635d3_tsrimg002.jpg)

#### Semi-Annual Shareholder Report April 30, 2025
This semi-annual shareholder report contains important information about Morgan Stanley Mortgage Securities Trust for the period of November 1, 2024 to April 30, 2025. You can find additional information about the Fund at www.morganstanley.com/im/shareholderreports. You can also request this information by contacting us at 1-800-869-6397.

## What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class L | $66 | 1.30%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized |

---

## Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $618631372 |
| # of Portfolio Holdings | 678 |
| Portfolio Turnover Rate | 258% |

---

## What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.

### Asset Allocation (% of total investments)
![Credit Rating Chart](tm2514635d3_tsrimg003.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Agency Adjustable Rate Mortgages | 0.3% |
| Corporate Bonds | 0.9% |
| Collateralized Mortgage Obligations - Agency Collateral Series | 2.0% |
| Commercial Mortgage-Backed Securities | 2.1% |
| Asset-Backed Securities | 15.5% |
| Short-Term Investments | 20.3% |
| Agency Fixed Rate Mortgages | 27.5% |
| Mortgages - Other | 31.4% |

---

### Credit Quality (% of net assets)<sup>**Footnote Reference a**</sup>
![Group By Asset Type Chart](tm2514635d3_tsrimg010.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Cash and Equivalents | -18.6% |
| Not Rated | 38.0% |
| CCC | 1.5% |
| B | 2.6% |
| BB | 1.9% |
| BBB | 4.8% |
| A | 3.5% |
| AA | 2.1% |
| AAA | 64.2% |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>a</sup> | &nbsp;&nbsp;Security ratings disclosed with the exception for those labeled "Not Rated" is an aggregation of the highest security level rating amongst S&P Global Ratings, Moody's Investors Services, Inc., and Fitch Ratings, each a Nationally Recognized Statistical Ratings Organization. |

---

## Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: http://www.morganstanley.com/im/shareholderreports](tm2514635d3_tsrimg009.jpg)

If you wish to view additional information about the Fund, including the prospectus, statement of additional information, financial statements and holdings, please scan the QR code or visit www.morganstanley.com/im/shareholderreports. For proxy information, please visit www.morganstanley.com/im/en-us/institutional-investor/about-us/proxy-voting/vote-summary-report.desktop.html.

## Householding
The Funds may deliver a single copy of certain required shareholder documents (including prospectuses, shareholder reports, and proxy materials) to investors with the same last name and the same address. Your participation will continue indefinitely unless you instruct otherwise by calling1-800-869-6397 or by contacting your financial intermediary. Your instruction will typically be effective within 30 days of receipt.

#### Not FDIC Insured \| May Lose Value \| No Bank Guarantee
Semi-Annual Shareholder Report April 30, 2025

# MTGCX -TSR-SAR

# Morgan Stanley Mortgage Securities Trust

# Class R6 MORGX
![Image](tm2514635d3_tsrimg002.jpg)

#### Semi-Annual Shareholder Report April 30, 2025
This semi-annual shareholder report contains important information about Morgan Stanley Mortgage Securities Trust for the period of November 1, 2024 to April 30, 2025. You can find additional information about the Fund at www.morganstanley.com/im/shareholderreports. You can also request this information by contacting us at 1-800-869-6397.

## What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class R6 | $33 | 0.65%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized |

---

## Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $618631372 |
| # of Portfolio Holdings | 678 |
| Portfolio Turnover Rate | 258% |

---

## What did the Fund invest in?
The following tables reflect what the Fund invested in as of the report date.

### Asset Allocation (% of total investments)
![Credit Rating Chart](tm2514635d3_tsrimg007.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Agency Adjustable Rate Mortgages | 0.3% |
| Corporate Bonds | 0.9% |
| Collateralized Mortgage Obligations - Agency Collateral Series | 2.0% |
| Commercial Mortgage-Backed Securities | 2.1% |
| Asset-Backed Securities | 15.5% |
| Short-Term Investments | 20.3% |
| Agency Fixed Rate Mortgages | 27.5% |
| Mortgages - Other | 31.4% |

---

### Credit Quality (% of net assets)<sup>**Footnote Reference a**</sup>
![Group By Asset Type Chart](tm2514635d3_tsrimg011.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Cash and Equivalents | -18.6% |
| Not Rated | 38.0% |
| CCC | 1.5% |
| B | 2.6% |
| BB | 1.9% |
| BBB | 4.8% |
| A | 3.5% |
| AA | 2.1% |
| AAA | 64.2% |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>a</sup> | &nbsp;&nbsp;Security ratings disclosed with the exception for those labeled "Not Rated" is an aggregation of the highest security level rating amongst S&P Global Ratings, Moody's Investors Services, Inc., and Fitch Ratings, each a Nationally Recognized Statistical Ratings Organization. |

---

## Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: http://www.morganstanley.com/im/shareholderreports](tm2514635d3_tsrimg009.jpg)

If you wish to view additional information about the Fund, including the prospectus, statement of additional information, financial statements and holdings, please scan the QR code or visit www.morganstanley.com/im/shareholderreports. For proxy information, please visit www.morganstanley.com/im/en-us/institutional-investor/about-us/proxy-voting/vote-summary-report.desktop.html.

## Householding
The Funds may deliver a single copy of certain required shareholder documents (including prospectuses, shareholder reports, and proxy materials) to investors with the same last name and the same address. Your participation will continue indefinitely unless you instruct otherwise by calling1-800-869-6397 or by contacting your financial intermediary. Your instruction will typically be effective within 30 days of receipt.

#### Not FDIC Insured \| May Lose Value \| No Bank Guarantee
Semi-Annual Shareholder Report April 30, 2025

# MORGX -TSR-SAR
(b) Not applicable.

**Item 2. Code of Ethics**

Not required in this filing.

**Item 3. Audit Committee Financial Expert**

Not required in this filing.

**Item 4. Principal Accountant Fees and Services**

Not required in this filing.

**Item 5. Audit Committee of Listed Registrants**

Not applicable.

**Item 6. Schedule of Investments**

(a) Please see schedule of investments contained in the Financial Statements and Financial Highlights included under Item 7 of this Form N-CSR.

(b) Not applicable.

**Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies**

![](j25146354_aa001.jpg)

Morgan Stanley

Mortgage Securities Trust

Semi-Annual Financial Statements and Additional Information

April 30, 2025

![](j25146354_aa002.jpg)

------

**Morgan Stanley Mortgage Securities Trust**

**Table of Contents (unaudited)**

---

| | |
|:---|:---|
| Items 6 and 7 of Form N-CSR: | Items 6 and 7 of Form N-CSR: |
| Portfolio of Investments | 3 |
| Statement of Assets and Liabilities | 22 |
| Statement of Operations | 23 |
| Statements of Changes in Net Assets | 24 |
| Notes to Financial Statements | 25 |
| Financial Highlights | 44 |

---

Items 8, 9 and 11 of Form N-CSR are Not Applicable. For Item 10 of Form N-CSR, see Item 7.

**This material must be preceded or accompanied by a prospectus for the fund being offered.**

**There is no assurance that the Fund will achieve its investment objective. The Fund is subject to market risk, which is the possibility that market values of securities owned by the Fund will decline and, therefore, the value of the Fund's shares may be less than what you paid for them. Accordingly, you can lose money investing in this Fund. Please see the prospectus for more complete information on investment risks.**

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| | **Agency Adjustable Rate Mortgages (0.4%)** | **Agency Adjustable Rate Mortgages (0.4%)** | **Agency Adjustable Rate Mortgages (0.4%)** | **Agency Adjustable Rate Mortgages (0.4%)** |
| $1591 | Federal Home Loan Mortgage Corporation,<br>Conventional Pools: <br>SOFR30A + 2.17% | 6.123<br> (a)% | 09/01/54 | $1610403 |
| 827 | Government National Mortgage Association<br>Various Pools: | 3.064<br> (a) | 03/20/71 | 749342 |
|  | **Total Agency Adjustable Rate Mortgages** *(Cost $2,312,443)* |  |  | 2359745 |
|  | **Agency Fixed Rate Mortgages (34.1%)** | **Agency Fixed Rate Mortgages (34.1%)** | **Agency Fixed Rate Mortgages (34.1%)** | **Agency Fixed Rate Mortgages (34.1%)** |
|  | Federal Home Loan Mortgage Corporation,<br>Conventional Pools: | Federal Home Loan Mortgage Corporation,<br>Conventional Pools: | Federal Home Loan Mortgage Corporation,<br>Conventional Pools: | Federal Home Loan Mortgage Corporation,<br>Conventional Pools: |
| 1285 |  | 2.00 | 04/01/51 - 10/01/51 | 999020 |
| 1885 |  | 2.50 | 05/01/50 - 11/01/52 | 1528358 |
| 10081 |  | 3.00 | 04/01/50 - 12/01/51 | 8700041 |
| 54 |  | 3.50 | 08/01/49 | 48623 |
| 2040 |  | 4.00 | 07/01/49 - 11/01/52 | 1883145 |
| 1455 |  | 4.50 | 10/01/52 | 1377625 |
|  | Gold Pools: | Gold Pools: | Gold Pools: | Gold Pools: |
| 401 |  | 3.50 | 06/01/42 - 09/01/47 | 373826 |
| 229 |  | 4.00 | 12/01/41 - 10/01/44 | 220869 |
| 253 |  | 4.50 | 03/01/41 - 01/01/49 | 248591 |
| 48 |  | 5.00 | 12/01/40 - 05/01/41 | 49015 |
| 5 |  | 5.50 | 07/01/37 | 5433 |
| 8 |  | 6.00 | 12/01/37 | 8814 |
| 4 |  | 6.50 | 06/01/29 | 3723 |
| 14 |  | 7.50 | 05/01/35 | 15051 |
| 6 |  | 8.00 | 08/01/32 | 5897 |
| 10 |  | 8.50 | 08/01/31 | 10524 |
|  | Federal National Mortgage Association,<br>Conventional Pools: | Federal National Mortgage Association,<br>Conventional Pools: | Federal National Mortgage Association,<br>Conventional Pools: | Federal National Mortgage Association,<br>Conventional Pools: |
| 1149 |  | 1.50 | 01/01/51 - 03/01/51 | 886390 |
| 9962 |  | 2.00 | 11/01/50 - 11/01/51 | 7735399 |
| 8300 |  | 2.50 | 02/01/50 - 02/01/52 | 6747447 |
| 2477 |  | 3.00 | 08/01/46 - 04/01/52 | 2127969 |
| 4613 |  | 3.50 | 09/01/42 - 10/01/52 | 4155316 |
| 746 |  | 4.00 | 04/01/45 - 09/01/48 | 708278 |
| 351 |  | 4.50 | 08/01/40 - 08/01/49 | 337085 |
| 60 |  | 5.00 | 12/01/40 - 07/01/41 | 60312 |
| 4 |  | 5.50 | 08/01/37 | 4046 |
| 4792 |  | 6.00 | 07/01/53 | 4880043 |
| 119 |  | 6.50 | 02/01/28 - 11/01/33 | 126639 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| $8 |  | 7.00 % | 10/01/30 - 06/01/32 | $8507 |
| 17 |  | 7.50 | 08/01/37 | 17856 |
| 16 |  | 8.00 | 04/01/33 | 16441 |
| 17 |  | 8.50 | 10/01/32 | 18321 |
|  | May TBA: |  |  |  |
| 5000 | (b)  | 2.00 | 05/01/55 | 3969141 |
| 5000 | (b)  | 2.50 | 05/01/54 | 4157617 |
| 15000 | (b)  | 3.00 | 02/01/52 | 13016016 |
| 20000 | (b)  | 4.50 | 05/01/55 | 19135156 |
| 13000 | (b)  | 5.00 | 05/01/54 | 12729336 |
| 52600 | (b)  | 5.50 | 05/01/54 | 52491102 |
| 20000 | (b)  | 6.00 | 05/01/54 | 20288282 |
|  | Government National Mortgage Association,<br>May TBA: |  |  |  |
| 400 | (b)  | 4.00 | 05/20/55 | 372527 |
| 3700 | (b)  | 5.00 | 05/20/54 | 3628878 |
| 6900 | (b)  | 6.00 | 05/20/54 | 6978232 |
| 4000 | (b)  | 6.50 | 05/20/54 | 4089851 |
|  | Various Pools: |  |  |  |
| 2224 |  | 2.50 | 03/20/50 - 04/20/51 | 1872646 |
| 1015 |  | 3.00 | 09/20/49 - 08/20/50 | 883024 |
| 1660 |  | 3.50 | 05/20/43 - 10/20/50 | 1495830 |
| 874 |  | 4.00 | 07/15/44 - 11/20/51 | 816577 |
| 1335 |  | 4.50 | 12/20/48 - 08/20/54 | 1277482 |
| 3558 |  | 5.00 | 05/20/41 - 12/20/54 | 3498477 |
| 5364 |  | 5.50 | 08/20/54 - 12/20/54 | 5400486 |
| 876 |  | 6.00 | 08/20/52 - 08/20/54 | 889018 |
| 1433 |  | 6.50 | 11/20/52 - 08/20/54 | 1476599 |
| 5258 |  | 7.00 | 12/20/52 - 08/20/64 | 5376928 |
| 881 |  | 7.50 | 10/20/53 - 08/20/54 | 903248 |
| 2645 |  | 8.00 | 07/20/54 | 2686330 |
|  | **Total Agency Fixed Rate Mortgages** *(Cost $210,691,506)* |  |  | 210741387 |
|  | **Asset-Backed Securities (19.2%)** |  |  |  |
|  | ABFC Trust, |  |  |  |
| 224 | Class A1, 1 Month Term SOFR + 0.89% | 5.221<br> (a) | 10/25/33 | 221224 |
| 200 | Class M1, 1 Month Term SOFR + 1.01% | 5.341<br> (a) | 02/25/34 | 198511 |
| 109 | Class M5, 1 Month Term SOFR + 1.06% | 5.386<br> (a) | 07/25/34 | 104185 |
| 1467 | ACE Securities Corp. Home Equity Loan Trust (c) | 0.00 | 11/25/29 | 1110003 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
|  | ACM Auto Trust, Class B |  |  |  |
| $2500 | (c) | 7.87 % | 11/20/31 | $2525560 |
| 5800 | (c) | 9.21 | 08/20/31 | 5934961 |
| 2500 | (c) | 9.85 | 06/20/30 | 2544164 |
|  | Amortizing Residential Collateral Trust, |  |  |  |
| 438 | Class A, 1 Month Term SOFR + 0.40% | 5.075<br> (a) | 10/25/31 | 429130 |
| 293 | Class A1, 1 Month Term SOFR + 0.87% | 5.201<br> (a) | 10/25/32 | 269534 |
| 130 | Argent Securities, Inc. Asset-Backed Pass-Through <br>Certificates, Class M5<br>5.74% - 1 Month Term SOFR | 3.472<br> (d) | 12/25/33 | 302674 |
|  | Bayview Financial Revolving Asset Trust, |  |  |  |
| 838 | Class A1, 1 Month Term SOFR + 1.11% (c) | 5.435<br> (a) | 12/28/40 | 881685 |
| 419 | Class M2, 1 Month Term SOFR + 3.61% (c) | 7.935<br> (a) | 12/28/40 | 1179191 |
| 32 | Bear Stearns Asset Backed Securities Trust, Class A3<br>1 Month Term SOFR + 1.41% | 5.741<br> (a) | 10/27/32 | 31401 |
| 173 | Business Loan Express Business Loan Trust, Class A<br>1 Month Term SOFR + 0.51% (c) | 4.834<br> (a) | 10/20/40 | 159762 |
| 1776 | Cascade MH Asset Trust, Class A (c) | 4.25 | 08/25/54 | 1721152 |
| 2212 | Conn's Receivables Funding LLC, Class A (c) | 10.00 | 01/17/28 | 2219544 |
| 556 | Conseco Finance Corp., Class M1 | 7.75 <br> (a) | 06/15/27 | 560827 |
|  | CoreVest American Finance Trust, Class XA, IO |  |  |  |
| 2265 | (c) | 3.097<br> (a) | 07/15/54 | 61768 |
| 766 | (c) | 3.868<br> (a) | 08/15/53 | 16214 |
| 1863 | (c) | 3.92 <br> (a) | 12/15/52 | 28407 |
| 471 | Countrywide Asset-Backed Certificates, Class M2<br>1 Month Term SOFR + 2.29% (c) | 6.616<br> (a) | 03/25/33 | 476558 |
| 15434 | CWHEQ Revolving Home Equity Loan Trust, Class 2A, <br>Series 2005-F <br>1 Month Term SOFR + 0.35% | 4.676<br> (a) | 12/15/35 | 14805682 |
| 509 | Delta Funding Home Equity Loan Trust, Class A1A<br>1 Month Term SOFR + 0.93% | 5.256<br> (a) | 09/15/29 | 493361 |
| 630 | Dowson PLC, Class D<br>3 Month GBP SONIA + 5.25% (United Kingdom) | 9.716<br> (a) | 08/20/29 | 840988 |
|  | ECAF I Ltd., |  |  |  |
| $23 | Class A1 (Ireland) (c) | 3.473 | 06/15/40 | 16341 |
| 401 | Class A2 (Cayman Islands) (c) | 4.947 | 06/15/40 | 336929 |
| 132 | EquiFirst Mortgage Loan Trust, Class M7<br>1 Month Term SOFR + 3.11% | 7.441<br> (a) | 10/25/34 | 121976 |
|  | European Residential Loan Securitisation <br>2019-NPL1 DAC, |  |  |  |
| 1293 | Class A, 1 Month EURIBOR + 3.25% (Ireland) | 5.351<br> (a) | 07/24/54 | 1466748 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| 1604 | Class C, 1 Month EURIBOR + 7.25% (Ireland) | 9.351<br> (a)% | 07/24/54 | $1763199 |
| $266 | Falcon Aerospace Ltd., Class A (Cayman Islands) (c) | 3.597 | 09/15/39 | 256462 |
| 6800 | Finance of America HECM Buyout, Class M4 (c) | 6.00 <br> (a) | 10/01/34 | 6156367 |
| 140 | Financial Asset Securities Corp. AAA Trust, Class A<br>1 Month Term SOFR + 0.52% (c) | 4.846<br> (a) | 02/27/35 | 137735 |
|  | FMC GMSR Issuer Trust, | FMC GMSR Issuer Trust, | FMC GMSR Issuer Trust, | FMC GMSR Issuer Trust, |
| 1200 | Class A (c) | 3.62 <br> (a) | 07/25/26 | 1131041 |
| 2000 | Class A (c) | 4.45 <br> (a) | 01/25/26 | 1948400 |
| 2055 | Class A (c) | 6.19 | 04/25/27 | 2072577 |
| 3800 | Class A (c) | 6.559 | 09/25/29 | 3851831 |
| 3200 | Class A (c) | 7.90 | 07/25/27 | 3253887 |
| 1000 | Class B (c) | 4.36 <br> (a) | 07/25/26 | 936584 |
| 2500 | Class B (c) | 10.07 | 07/25/27 | 2571693 |
| 816 | FortiFi, Class A (c) | 6.23 | 09/20/59 | 819549 |
| 482 | GAIA Aviation Ltd., Class A (Cayman Islands) (c) | 3.967 | 12/15/44 | 459574 |
|  | Harvest SBA Loan Trust, Class A | Harvest SBA Loan Trust, Class A | Harvest SBA Loan Trust, Class A | Harvest SBA Loan Trust, Class A |
| 2139 | SOFR30A + 2.25% (c) | 6.685<br> (a) | 12/25/51 | 2155166 |
| 1602 | SOFR30A + 3.25% (c) | 7.685<br> (a) | 10/25/50 | 1628670 |
| 1293 | JOL Air Ltd., Class A (Cayman Islands) (c) | 3.967 | 04/15/44 | 1267733 |
| 166 | Kestrel Aircraft Funding Ltd., Class A (c) | 4.25 | 12/15/38 | 162677 |
|  | Lehman ABS Manufactured Housing Contract Trust, | Lehman ABS Manufactured Housing Contract Trust, | Lehman ABS Manufactured Housing Contract Trust, | Lehman ABS Manufactured Housing Contract Trust, |
| 1468 | Class A | 0.00 | 06/15/33 | 1448822 |
| 72 | Class B | 6.63 <br> (a) | 04/15/40 | 72966 |
|  | Loandepot GMSR Master Trust, | Loandepot GMSR Master Trust, | Loandepot GMSR Master Trust, | Loandepot GMSR Master Trust, |
| 1995 | Class A, 1 Month Term SOFR + 3.66% (c) | 7.985<br> (a) | 10/16/25 | 1989784 |
| 2000 | Class B, 1 Month Term SOFR + 4.36% (c) | 8.685<br> (a) | 10/16/25 | 1994882 |
| 379 | LoanMe Trust Prime, Class B (c) | 5.00 | 09/15/34 | 374280 |
| 2840 | LSF11 Boson Investments Sarl Compartment 2,<br>Class A1<br>3 Month EURIBOR + 2.00% (Spain) | 4.521<br> (a) | 11/25/60 | 3096129 |
| $1649 | MASTR Asset Securitization Trust, Class M3<br>1 Month Term SOFR + 3.26% | 7.591<br> (a) | 10/25/32 | 1559774 |
| 65 | Merrill Lynch Mortgage Investors Trust, Class B1<br>1 Month Term SOFR + 2.81% | 7.141<br> (a) | 01/25/35 | 62769 |
| 235 | METAL LLC, Class A (c) | 4.581 | 10/15/42 | 156062 |
| 1728 | NALP Business Loan Trust, Class A (c) | 6.49 | 12/27/49 | 1755501 |
| 179 | New Century Home Equity Loan Trust<br>1 Month Term SOFR + 0.91% | 5.241<br> (a) | 11/25/33 | 105424 |
|  | Newtek Small Business Loan Trust, Class A | Newtek Small Business Loan Trust, Class A | Newtek Small Business Loan Trust, Class A | Newtek Small Business Loan Trust, Class A |
| 848 | Daily U.S. Prime Rate - 0.70% (c) | 6.80 <br> (a) | 10/25/49 | 855591 |
| 664 | Daily U.S. Prime Rate - 0.50% (c) | 7.00 <br> (a) | 07/25/50 | 671122 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| $4005 | NRM FNT1 Excess LLC, Class A, Series 2024-FNT1 (c) | 7.398 % | 11/25/31 | $4043096 |
|  | NRZ Excess Spread-Collateralized Notes, Class A | NRZ Excess Spread-Collateralized Notes, Class A | NRZ Excess Spread-Collateralized Notes, Class A | NRZ Excess Spread-Collateralized Notes, Class A |
| 327 | (c) | 2.981 | 03/25/26 | 318430 |
| 243 | (c) | 3.844 | 12/25/25 | 240452 |
| 496 | NRZ FHT Excess LLC, Class A (c) | 4.212 | 11/25/25 | 490769 |
|  | Oakwood Mortgage Investors, Inc., | Oakwood Mortgage Investors, Inc., | Oakwood Mortgage Investors, Inc., | Oakwood Mortgage Investors, Inc., |
| 19 | Class A1 | 7.72 | 04/15/30 | 18720 |
| 55 | Class A1 | 7.84 <br> (a) | 11/15/29 | 55517 |
| 849 | Class A4 | 7.405<br> (a) | 06/15/31 | 68428 |
| 1000 | Ocwen Loan Investment Trust, Class M3, <br>Series 2023-HB1 (c) | 3.00 <br> (a) | 06/25/36 | 940470 |
| 825 | Palatino SPV, Class AR<br>6 Month EURIBOR + 2.50% (Italy) | 5.208<br> (a) | 12/01/45 | 884373 |
| $2366 | Pioneer Aircraft Finance Ltd., Class B, <br>Series 2019-1 (c) | 4.948 | 06/15/44 | 2151614 |
| 2126 | PMT FMSR Issuer Trust, Class A<br>1 Month Term SOFR + 3.11% (c) | 7.441<br> (a) | 03/25/26 | 2123854 |
|  | PNMAC GMSR Issuer Trust, Class A | PNMAC GMSR Issuer Trust, Class A | PNMAC GMSR Issuer Trust, Class A | PNMAC GMSR Issuer Trust, Class A |
| 4000 | 1 Month Term SOFR + 3.20% (c) | 7.527<br> (a) | 03/25/29 | 4055209 |
| 2300 | SOFR30A + 4.25% (c) | 8.604<br> (a) | 05/25/27 | 2321100 |
|  | PRET LLC, | PRET LLC, | PRET LLC, | PRET LLC, |
| 2000 | Class A1 (c)(e) | 6.368 | 04/25/55 | 2000000 |
| 3000 | Class A1 (c) | 6.708 | 04/25/55 | 3031953 |
| 589 | Prosil Acquisition SA, Class A<br>3 Month EURIBOR + 2.00% (Spain) | 4.186<br> (a) | 10/31/39 | 537055 |
| $359 | Quest Trust, Class M2<br>1 Month Term SOFR + 3.86% (c) | 8.191<br> (a) | 05/25/33 | 383701 |
| 1516 | Raptor Aircraft Finance I LLC, Class A (c) | 4.213 | 08/23/44 | 1352227 |
| 144 | ReadyCap Lending Small Business Loan Trust, Class A<br>Daily U.S. Prime Rate - 0.50% (c) | 7.00 <br> (a) | 12/27/44 | 143445 |
| 2000 | Retained Vantage Data Centers Issuer LLC, <br>Class A2B (c) | 5.25 | 09/15/48 | 1457180 |
| $266 | Saxon Asset Securities Trust, Class M1<br>1 Month Term SOFR + 1.24% | 5.566<br> (a) | 12/25/32 | 244360 |
|  | Shenton Aircraft Investment Ltd., | Shenton Aircraft Investment Ltd., | Shenton Aircraft Investment Ltd., | Shenton Aircraft Investment Ltd., |
| 618 | Class A (c) | 4.75 | 10/15/42 | 600371 |
| 194 | Class B | 5.75 | 10/15/42 | 164459 |
|  | STAR Trust, | STAR Trust, | STAR Trust, | STAR Trust, |
| 1499 | Class A, 1 Month Term SOFR + 1.75% (c) | 6.072<br> (a) | 10/17/41 | 1507049 |
| 2100 | Class D, 1 Month Term SOFR + 2.55% (c) | 6.872<br> (a) | 05/17/39 | 2112106 |
| 1850 | Class D, 1 Month Term SOFR + 2.95% (c) | 7.272<br> (a) | 10/17/41 | 1867523 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| $188 | Start II Ltd., Class A (Bermuda) (c) | 4.089 % | 03/15/44 | $184947 |
| 207 | Terwin Mortgage Trust, Class M1<br>1 Month Term SOFR + 0.94% | 5.266<br> (a) | 03/25/35 | 202322 |
| 1500 | VINE Trust, Class E1 (c) | 4.75 | 12/17/40 | 1408000 |
| 236 | WAVE Trust, Class A (c) | 3.844 | 11/15/42 | 219046 |
|  | **Total Asset-Backed Securities** *(Cost $117,436,055)* |  |  | 118902507 |
|  | **Collateralized Mortgage Obligations - Agency Collateral Series (2.5%)** |  |  |  |
|  | Federal Home Loan Mortgage Corporation,<br>IO REMIC |  |  |  |
| 334 | 5.89% - SOFR30A | 1.541<br> (d) | 11/15/43 - 06/15/44 | 31554 |
| 193 |  | 1.999<br> (a) | 08/15/42 | 9474 |
| 131 |  | 2.064<br> (a) | 04/15/39 | 7113 |
| 111 |  | 2.085<br> (a) | 10/15/39 | 6370 |
| 54 |  | 2.148<br> (a) | 10/15/41 | 3445 |
| 374 |  | 2.264<br> (a) | 09/15/41 | 20132 |
| 417 |  | 2.339<br> (a) | 10/15/40 | 22861 |
| 22 |  | 5.00 | 08/15/41 | 4769 |
|  | IO REMIC PAC |  |  |  |
| 8213 |  | 2.00 | 10/25/50 | 1085608 |
|  | IO STRIPS |  |  |  |
| 29 |  | 7.00 | 06/15/30 | 3076 |
|  | REMIC |  |  |  |
| 56 | 12.00% - 2.67 x 1 Month USD LIBOR | 0.133<br> (d) | 12/15/43 | 38120 |
| 79 |  | 3.50 | 02/15/42 | 72729 |
|  | Federal National Mortgage Association,<br>IO REMIC |  |  |  |
| 56 | 5.54% - SOFR30A | 1.182<br> (d) | 11/25/41 | 1109 |
| 359 | 5.94% - SOFR30A | 1.582<br> (d) | 06/25/42 | 39401 |
| 143 |  | 1.872<br> (a) | 03/25/44 | 8140 |
| 673 |  | 2.007<br> (a) | 03/25/46 | 37524 |
| 25 | 6.44% - SOFR30A | 2.082<br> (d) | 08/25/41 | 488 |
| 187 |  | 2.376<br> (a) | 10/25/39 | 11105 |
|  | IO STRIPS |  |  |  |
| 4 |  | 7.00 | 11/25/27 | 254 |
| 24 |  | 8.00 | 05/25/30 - 06/25/30 | 2395 |
|  | REMIC |  |  |  |
| 13 |  | 0.00 <br> (a) | 04/25/39 | 11707 |
| 551 |  | 2.00 | 07/25/50 | 310620 |
| 5 |  | 6.50 | 03/25/54 | 5307 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
|  | REMIC PAC | REMIC PAC | REMIC PAC | REMIC PAC |
| $203 |  | 5.00 % | 07/25/50 | $197513 |
|  | Government National Mortgage Association,<br>IO | Government National Mortgage Association,<br>IO | Government National Mortgage Association,<br>IO | Government National Mortgage Association,<br>IO |
| 20 |  | 5.00 | 02/16/41 | 4002 |
|  | IO REMIC | IO REMIC | IO REMIC | IO REMIC |
| 99 |  | 0.013<br> (a) | 12/20/62 | 183 |
| 45 |  | 0.023<br> (a) | 01/20/63 | 124 |
| 41 |  | 0.079<br> (a) | 09/20/62 | 363 |
| 82 |  | 0.102<br> (a) | 08/20/61 | 1529 |
| 1 |  | 0.103<br> (a) | 04/20/62 | 7 |
| 69 |  | 0.215<br> (a) | 10/20/62 | 2735 |
| 70 |  | 0.25 <br> (a) | 05/20/63 | 1079 |
| 94 |  | 0.27 <br> (a) | 05/20/61 | 4983 |
| 1 |  | 0.27 <br> (a) | 10/20/61 | 36 |
| 17 |  | 0.286<br> (a) | 05/20/62 | 892 |
| 11 |  | 0.287<br> (a) | 05/20/62 | 560 |
| 97 |  | 0.302<br> (a) | 01/20/62 | 6110 |
| 66 |  | 0.312<br> (a) | 12/20/67 | 2304 |
| 15 |  | 0.336<br> (a) | 04/20/61 | 931 |
| 47 |  | 0.507<br> (a) | 11/20/61 | 4561 |
| 1664 |  | 0.608<br> (a) | 06/20/69 | 57293 |
| 345 |  | 0.632<br> (a) | 08/20/58 | 3337 |
| 8598 |  | 0.783<br> (a) | 05/20/72 | 423956 |
| 304 |  | 1.064<br> (a) | 08/20/63 | 4556 |
| 1289 |  | 1.088<br> (a) | 11/20/69 | 65487 |
| 5904 |  | 1.174<br> (a) | 12/20/70 | 279745 |
| 502 |  | 1.222<br> (a) | 04/20/67 | 14466 |
| 142 |  | 1.234<br> (a) | 04/20/62 | 4946 |
| 4234 |  | 1.261<br> (a) | 03/20/67 | 241502 |
| 593 |  | 1.286<br> (a) | 06/20/63 | 23467 |
| 12661 |  | 1.287<br> (a) | 04/20/66 | 641644 |
| 370 |  | 1.351<br> (a) | 01/20/64 | 10355 |
| 225 |  | 1.491<br> (a) | 05/20/60 | 12918 |
| 786 |  | 1.495<br> (a) | 05/20/64 | 19114 |
| 3538 |  | 1.521<br> (a) | 02/20/68 | 119232 |
| 468 |  | 1.536<br> (a) | 06/20/67 | 13421 |
| 818 |  | 1.562<br> (a) | 05/20/64 | 27388 |
| 509 |  | 1.566<br> (a) | 10/20/64 | 11845 |
| 197 | 5.89% - 1 Month Term SOFR | 1.567<br> (d) | 08/20/42 | 21976 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| $643 |  | 1.616<br> (a)% | 05/20/63 | $22407 |
| 302 |  | 1.62 <br> (a) | 09/20/65 | 4454 |
| 654 |  | 1.621<br> (a) | 11/20/60 | 47328 |
| 99 |  | 1.626<br> (a) | 04/20/60 | 8250 |
| 7642 |  | 1.628<br> (a) | 06/20/66 | 237296 |
| 183 |  | 1.646<br> (a) | 04/20/63 | 7343 |
| 245 | 5.99% - 1 Month Term SOFR | 1.667<br> (d) | 04/20/41 - 08/20/42 | 26950 |
| 501 |  | 1.673<br> (a) | 09/20/66 | 14319 |
| 143 |  | 1.676<br> (a) | 03/20/68 | 4979 |
| 1628 |  | 1.703<br> (a) | 07/20/69 | 77045 |
| 242 | 6.03% - 1 Month Term SOFR | 1.707<br> (d) | 12/20/43 | 31113 |
| 3432 |  | 1.708<br> (a) | 05/20/67 | 135613 |
| 779 |  | 1.712<br> (a) | 08/20/67 | 20196 |
| 1059 |  | 1.777<br> (a) | 07/20/67 | 30781 |
| 1566 |  | 1.783<br> (a) | 11/20/64 | 58860 |
| 13425 |  | 1.831<br> (a) | 06/20/65 | 464023 |
| 477 |  | 1.833<br> (a) | 10/20/66 | 12958 |
| 120 | 6.19% - 1 Month Term SOFR | 1.867<br> (d) | 09/20/43 | 6062 |
| 374 |  | 1.933<br> (a) | 09/20/65 | 12283 |
| 1748 |  | 1.937<br> (a) | 09/20/69 | 88781 |
| 1414 |  | 1.973<br> (a) | 01/20/66 | 35327 |
| 12240 |  | 1.982<br> (a) | 07/20/66 | 367881 |
| 27 |  | 1.993<br> (a) | 08/20/63 | 1051 |
| 1482 |  | 1.996<br> (a) | 02/20/65 | 54117 |
| 6466 |  | 2.00 | 11/20/50 | 811953 |
| 863 |  | 2.001<br> (a) | 06/20/67 | 48066 |
| 2618 |  | 2.009<br> (a) | 08/20/69 | 153239 |
| 775 |  | 2.016<br> (a) | 06/20/64 | 42842 |
| 320 |  | 2.018<br> (a) | 04/20/65 | 11413 |
| 302 |  | 2.102<br> (a) | 06/20/66 | 10962 |
| 95 | 6.44% - 1 Month Term SOFR | 2.115<br> (d) | 08/16/34 | 6015 |
| 3805 |  | 2.195<br> (a) | 12/20/66 | 178622 |
| 8 |  | 2.208<br> (a) | 02/20/63 | 335 |
| 322 |  | 2.265<br> (a) | 07/20/65 | 16541 |
| 297 |  | 2.273<br> (a) | 03/20/67 | 12993 |
| 912 |  | 2.293<br> (a) | 01/20/68 | 58897 |
| 196 |  | 2.307<br> (a) | 02/20/68 | 8815 |
| 54 |  | 2.322<br> (a) | 10/20/60 | 6226 |
| 870 |  | 2.323<br> (a) | 11/20/67 | 30477 |
| 381 |  | 2.323<br> (a) | 08/20/67 | 17250 |
| 235 |  | 2.332<br> (a) | 01/20/68 | 10426 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| $1299 |  | 2.343<br> (a)% | 07/20/67 | $75372 |
| 233 |  | 2.364<br> (a) | 01/20/67 | 9040 |
| 835 |  | 2.377<br> (a) | 02/20/68 | 36295 |
| 4566 |  | 2.39 <br> (a) | 02/20/68 | 212640 |
| 3099 |  | 2.392<br> (a) | 10/20/64 | 204413 |
| 4 |  | 2.42 <br> (a) | 07/20/63 | 390 |
| 825 |  | 2.493<br> (a) | 10/20/67 | 22375 |
| 1714 |  | 2.50 | 11/20/51 | 247551 |
| 51 |  | 2.532<br> (a) | 02/20/60 | 2806 |
| 735 |  | 2.619<br> (a) | 10/20/67 | 37242 |
| 1104 |  | 2.62 <br> (a) | 02/20/68 | 43045 |
| 11407 |  | 2.631<br> (a) | 10/20/69 | 435163 |
| 1053 |  | 2.632<br> (a) | 11/20/67 | 65890 |
| 1698 |  | 2.633<br> (a) | 09/20/64 | 117235 |
| 4164 |  | 2.646<br> (a) | 06/20/66 | 366685 |
| 855 |  | 2.65 <br> (a) | 10/20/67 | 46830 |
| 19 |  | 2.756<br> (a) | 03/20/62 | 1562 |
| 26 |  | 2.801<br> (a) | 05/20/62 | 3580 |
| 20091 |  | 2.916<br> (a) | 08/20/66 | 856517 |
| 452 |  | 2.954<br> (a) | 10/20/66 | 20483 |
| 149 |  | 2.991<br> (a) | 07/20/65 | 8211 |
| 83 |  | 3.081<br> (a) | 04/20/62 | 11247 |
| 27 |  | 3.214<br> (a) | 02/20/63 | 3496 |
| 10745 |  | 3.371<br> (a) | 10/20/67 | 860545 |
| 935 |  | 3.50 | 10/16/42 - 05/20/43 | 164227 |
| 21 |  | 3.644<br> (a) | 09/20/60 | 3727 |
|  | IO REMIC PAC | IO REMIC PAC | IO REMIC PAC | IO REMIC PAC |
| 33 |  | 3.50 | 06/20/41 | 918 |
| 17 |  | 4.50 | 05/20/40 | 764 |
| 9 |  | 5.00 | 10/20/40 | 436 |
|  | REMIC | REMIC | REMIC | REMIC |
| 18 | 1 Month Term SOFR + 0.56% | 4.889<br> (a) | 02/20/61 | 17914 |
| 7 | 1 Month Term SOFR + 0.81% | 5.139<br> (a) | 08/20/63 | 7102 |
| 1 | 1 Month Term SOFR + 0.88% | 5.209<br> (a) | 02/20/66 | 723 |
| 1701 |  | 6.50 | 10/20/54 - 02/20/55 | 1700712 |
| 1938 | RCO VII Mortgage LLC (c) | 7.021 | 01/25/29 | 1948785 |
| 712 | Seasoned Credit Risk Transfer Trust | 3.25 | 11/25/64 | 650500 |
|  | **Total Collateralized Mortgage Obligations - Agency Collateral Series** *(Cost $13,638,217)* |  |  | 15336771 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| | **Commercial Mortgage-Backed Securities (2.6%)** | | | |
| $698 | BAHA Trust (Bahamas) (c) | 7.069<br> (a)% | 12/10/41 | $715143 |
|  | Bayview Commercial Asset Trust, |  |  |  |
| 1095 | 1 Month Term SOFR + 0.47% (c) | 4.801<br> (a) | 07/25/37 | 1029594 |
| 397 | 1 Month Term SOFR + 0.56% (c) | 4.891<br> (a) | 10/25/36 | 377117 |
| 450 | 1 Month Term SOFR + 0.65% (c) | 4.981<br> (a) | 10/25/36 | 421876 |
| 690 | 1 Month Term SOFR + 0.67% (c) | 4.996<br> (a) | 10/25/36 | 643265 |
| 387 | 1 Month Term SOFR + 0.77% (c) | 5.101<br> (a) | 11/25/35 | 368566 |
| 549 | 1 Month Term SOFR + 1.76% (c) | 6.091<br> (a) | 11/25/35 | 597845 |
| 1610 | IO | 0.977<br> (a) | 09/10/58 | 1536 |
| 617 | COOF Securitization Trust, IO (c) | 2.171<br> (a) | 10/25/40 | 32901 |
|  | Credit Suisse Mortgage Trust |  |  |  |
| 816 | 1 Month Term SOFR + 3.57% (c) | 7.896<br> (a) | 05/09/25 | 797249 |
| 3849 | 1 Month Term SOFR + 3.83% (c) | 8.151<br> (a) | 08/15/26 | 3552508 |
|  | GS Mortgage Securities Trust |  |  |  |
| 500 |  | 3.345 | 07/10/48 | 469813 |
| 140 | IO | 0.406<br> (a) | 09/10/47 | 2 |
|  | Harvest Commercial Capital Loan Trust |  |  |  |
| 1554 | (c) | 5.964<br> (a) | 04/25/52 | 1431258 |
| 1963 |  | 6.164 | 10/25/56 | 2037545 |
| 1380 | (c) | 6.337<br> (a) | 09/25/46 | 1326322 |
| 1410 | JP Morgan Chase Commercial Mortgage Securities Trust, <br>IO | 0.702<br> (a) | 12/15/49 | 8706 |
|  | KGS-Alpha SBA COOF Trust,<br>IO |  |  |  |
| 301 | (c) | 0.801<br> (a) | 08/25/38 | 4327 |
| 166 | (c) | 2.556<br> (a) | 04/25/40 | 6844 |
| 364 | (c) | 2.839<br> (a) | 07/25/41 | 22054 |
| 1000 | Natixis Commercial Mortgage Securities Trust (c) | 4.272<br> (a) | 05/15/39 | 893150 |
| 7497 | Real Estate Asset Liquidity Trust, IO (Canada) (c) | 1.14 <br> (a) | 02/12/55 | 183434 |
| $506 | Sutherland Commercial Mortgage Trust (c) | 2.23 <br> (a) | 12/25/41 | 437423 |
| 8218 | UBS Commercial Mortgage Trust, IO | 1.075<br> (a) | 03/15/51 | 177232 |
| 114 | Velocity Commercial Capital Loan Trust (c) | 6.90 | 05/25/47 | 114083 |
| 702 | Waterfall Commercial Mortgage Trust (c) | 4.104<br> (a) | 09/14/22 | 691235 |
|  | **Total Commercial Mortgage-Backed Securities** *(Cost $15,957,117)* |  |  | 16341028 |
|  | **Corporate Bonds (1.1%)** |  |  |  |
|  | *Finance (1.1%)* |  |  |  |
| 350 | DP Facilities Data Center Subordinated Pass-Through <br>Trust (c) | 0.00 | 11/10/28 | 88375 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| 19369 | Nykredit Realkredit AS (Denmark) | 4.00 % | 10/01/46 | $2966499 |
| 10835 | Realkredit Danmark AS (Denmark) | 4.00 | 10/01/56 | 1636176 |
| 14986 | Realkredit Danmark AS (Denmark) | 4.00 | 10/01/56 | 2243967 |
|  | **Total Corporate Bonds** *(Cost $6,957,079)* |  |  | 6935017 |
|  | **Mortgages - Other (38.9%)** |  |  |  |
| $1652 | A&D Mortgage Trust, Class A1 (c) | 7.049 | 11/25/68 | 1680219 |
| 3325 | ABFS Mortgage Loan Trust | 0.00 | 04/25/34 | 400426 |
| 58 | Adjustable Rate Mortgage Trust | 5.155<br> (a) | 04/25/35 | 55137 |
| 252 | Alba 2005-1 PLC<br>3 Month GBP SONIA + 0.72% (United Kingdom) | 5.201<br> (a) | 11/25/42 | 325461 |
| $1450 | Asset Based Lending LLC (c) | 6.075 | 09/25/29 | 1453247 |
|  | ATLX Trust |  |  |  |
| 1700 | (c) | 3.85 | 04/25/63 | 1577448 |
| 3000 | (c) | 4.304<br> (a) | 04/25/64 | 2833808 |
|  | Banc of America Funding Trust |  |  |  |
| 2 |  | 5.25 | 07/25/37 | 2153 |
| 173 |  | 5.50 | 09/25/35 | 162272 |
| 200 | Banna RMBS DAC<br>3 Month GBP SONIA + 2.10% (United Kingdom) | 6.583<br> (a) | 12/30/63 | 265952 |
|  | Bear Stearns Asset Backed Securities Trust |  |  |  |
| $24 |  | 5.246<br> (a) | 07/25/36 | 23467 |
| 1590 | 1 Month Term SOFR + 3.79% | 8.116<br> (a) | 08/25/43 | 1772645 |
| 415 | 25.26% - 3.29 x 1 Month USD LIBOR | 11.044<br> (d) | 03/25/36 | 133811 |
|  | Boston Lending Trust |  |  |  |
| 2579 | (c) | 2.00 <br> (a) | 07/25/61 | 2146309 |
| 3759 | (c) | 3.25 <br> (a) | 05/25/62 | 3483616 |
|  | Brean Asset Backed Securities Trust |  |  |  |
| 5172 | (c) | 4.00 | 09/25/63 | 4790643 |
| 1698 | (c) | 4.50 | 05/25/64 | 1657891 |
| 3000 | Class A1 (c) | 5.00 | 01/25/65 | 2948629 |
|  | Cascade Funding Mortgage Trust |  |  |  |
| 1614 | (c) | 2.00 <br> (a) | 09/25/50 - 02/25/52 | 1516788 |
| 15000 | (c) | 3.00 <br> (a) | 05/25/34 - 03/25/35 | 12877864 |
| 4571 | (c) | 3.25 <br> (a) | 11/25/35 - 09/25/37 | 4376516 |
| 6350 | (c) | 4.00 <br> (a) | 08/25/34 - 10/25/54 | 5818052 |
| 5400 | (c) | 4.25 <br> (a) | 04/25/33 | 5058581 |
| 1889 | (c) | 6.405 | 11/25/29 | 1896699 |
| 72 | Cendant Mortgage Corp. (c) | 6.00 <br> (a) | 07/25/43 | 71620 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
|  | Champs Trust |  |  |  |
| $4925 | (c) | 7.841<br> (a)% | 04/25/60 | $5134481 |
| 2765 | (c) | 8.344<br> (a) | 01/25/60 | 2863549 |
| 1213 | (c) | 8.774<br> (a) | 07/25/59 | 1248471 |
| 2447 | (c) | 9.576<br> (a) | 11/25/59 | 2547164 |
|  | CHL Mortgage Pass-Through Trust |  |  |  |
| 69 |  | 5.27 <br> (a) | 05/20/34 | 62978 |
| 168 |  | 5.50 | 10/25/34 | 166895 |
| 60 |  | 6.00 | 12/25/36 | 33578 |
| 121 |  | 6.902<br> (a) | 10/25/33 | 117117 |
| 83 | Citigroup Mortgage Loan Trust, Inc.<br>1 Year CMT + 2.40% | 6.31 <br> (a) | 11/25/35 | 81931 |
|  | Countrywide Alternative Loan Trust |  |  |  |
| 30 |  | 5.50 | 01/25/36 | 16464 |
| 94 |  | 5.75 | 03/25/34 | 94406 |
| 70 | 40.02% - 6 x 1 Month USD LIBOR | 13.374<br> (d) | 05/25/37 | 68695 |
| 43 | Countrywide Reperforming Loan REMIC Trust, <br>REMIC (c) | 8.50 | 06/25/35 | 42395 |
|  | Credit Suisse First Boston Mortgage Securities Corp. |  |  |  |
| 1020 | (c) | 5.15 | 12/29/31 | 861218 |
| 181 |  | 4.964<br> (a) | 05/25/34 | 170315 |
| 470 |  | 6.50 | 11/25/35 | 86681 |
| 265 | 1 Month Term SOFR + 3.41% | 7.741<br> (a) | 02/25/32 | 256729 |
| 1955 | CSMC Mortgage-Backed Trust (c) | 3.489<br> (a) | 03/25/59 | 1977580 |
|  | Ellington Financial Mortgage Trust |  |  |  |
| 2691 | (c) | 4.50 <br> (a) | 03/25/54 | 2523316 |
| 5712 | (c) | 5.00 | 07/25/54 - 12/25/54 | 5465476 |
|  | E-Mac DE BV |  |  |  |
| 1500 | 3 Month EURIBOR + 1.40% (Germany) | 7.771<br> (a) | 11/25/54 | 956237 |
| 95 | 3 Month EURIBOR + 0.50% (Germany) | 10.664<br> (a) | 05/25/52 | 107347 |
|  | E-MAC NL BV |  |  |  |
| 102 | 3 Month EURIBOR + 0.18% (Netherlands) | 4.418<br> (a) | 07/25/36 | 110422 |
| 59 | 3 Month EURIBOR + 0.23% (Netherlands) | 6.658<br> (a) | 04/25/38 | 60894 |
|  | E-MAC Program BV |  |  |  |
| 134 | 3 Month EURIBOR + 2.00% (Netherlands) | 5.973<br> (a) | 01/25/48 | 139683 |
| 86 | 3 Month EURIBOR + 2.00% (Netherlands) | 6.408<br> (a) | 04/25/48 | 91954 |
| 1576 | 3 Month EURIBOR + 0.32% (Netherlands) | 6.923<br> (a) | 07/25/46 | 1520890 |
|  | EMF-NL Prime BV |  |  |  |
| 59 | 3 Month EURIBOR + 0.80% (Netherlands) | 3.063<br> (a) | 04/17/41 | 65913 |
| 200 | 3 Month EURIBOR + 0.85% (Netherlands) | 3.113<br> (a) | 04/17/41 | 214118 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| 2761 | Eurohome Italy Mortgages Srl, Class A,<br>3 Month EURIBOR + 0.60% (Italy) | 3.189<br> (a)% | 11/02/54 | $2932849 |
| 142 | Eurohome Mortgages PLC<br>3 Month EURIBOR + 0.21% (Ireland) | 2.816<br> (a) | 08/02/50 | 149286 |
|  | Eurosail-NL BV |  |  |  |
| 500 | 3 Month EURIBOR + 1.10% (Netherlands) | 3.363<br> (a) | 04/17/40 | 558822 |
| 321 | 3 Month EURIBOR + 1.80% (Netherlands) | 4.063<br> (a) | 10/17/40 | 362977 |
| 500 | 3 Month EURIBOR + 2.20% (Netherlands) | 4.463<br> (a) | 10/17/40 | 564734 |
|  | Federal Home Loan Mortgage Corporation, Whole Loan <br>Securities Trust |  |  |  |
| $1853 |  | 3.00 | 09/25/45 - 05/25/47 | 1581731 |
| 779 |  | 3.50 | 05/25/45 - 05/25/47 | 686002 |
| 4127 |  | 2.50 | 02/01/52 - 04/01/52 | 3348949 |
|  | Finance of America Structured Securities Trust |  |  |  |
| 2691 | (c) | 2.00 <br> (a) | 06/25/52 | 2674023 |
| 2555 | (c) | 3.50 | 11/25/74 | 2435568 |
| 104 | Flagstar Mortgage Trust, Class A3 (c) | 3.00 <br> (a) | 03/25/50 | 82389 |
| 553 | Galton Funding Mortgage Trust (c) | 4.00 <br> (a) | 02/25/59 | 528740 |
| 324 | GITSIT Mortgage Loan Trust, Class A1 (c) | 7.466 | 06/25/54 | 324283 |
| 427 | Great Hall Mortgages No. 1 PLC<br>3 Month EURIBOR + 0.22% (United Kingdom) | 2.698<br> (a) | 03/18/39 | 476763 |
| $169 | GSAA Trust | 6.00 | 04/01/34 | 165720 |
|  | GSR Mortgage Loan Trust |  |  |  |
| 36 | 1 Month Term SOFR + 0.36% | 4.691<br> (a) | 03/25/35 | 21550 |
| 10 |  | 5.00 | 02/25/34 | 9800 |
| 2 |  | 5.50 | 11/25/35 | 2089 |
| 140 |  | 5.549<br> (a) | 12/25/34 | 130552 |
| 3 | 1 Year CMT + 1.75% | 5.88 <br> (a) | 03/25/33 | 2939 |
| 239 |  | 6.00 | 09/25/35 | 238375 |
| 60 | HarborView Mortgage Loan Trust | 5.456<br> (a) | 05/19/33 | 55282 |
|  | Impac CMB Trust |  |  |  |
| 1020 | 1 Month Term SOFR + 0.63% | 4.961<br> (a) | 11/25/35 | 907126 |
| 23 | 1 Month Term SOFR + 0.91% | 5.236<br> (a) | 10/25/34 | 22629 |
| 307 | IMS Ecuadorian Mortagage Trust (c) | 3.40 | 08/18/43 | 300732 |
| 14 | IndyMac INDX Mortgage Loan Trust | 7.26 <br> (a) | 11/25/34 | 14490 |
|  | JP Morgan Mortgage Trust |  |  |  |
| 83 | (c) | 3.00 <br> (a) | 10/25/50 | 65648 |
| 61 | (c) | 4.243<br> (a) | 07/27/37 | 56445 |
| 43 |  | 4.405<br> (a) | 12/25/34 | 39209 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| 455 | Lansdowne Mortgage Securities No. 1 PLC<br>3 Month EURIBOR + 0.30% (Ireland) | 2.801<br> (a)% | 06/15/45 | $504051 |
| 591 | Lansdowne Mortgage Securities No. 2 PLC<br>3 Month EURIBOR + 0.34% (Ireland) | 2.841<br> (a) | 09/16/48 | 619686 |
|  | LHOME Mortgage Trust |  |  |  |
| $1500 | (c) | 7.628 | 11/25/28 | 1521183 |
| 2375 | (c) | 8.00 | 06/25/28 - 08/25/28 | 2397856 |
| 348 | Mansard Mortgages PLC<br>3 Month GBP SONIA + 0.72% (United Kingdom) | 5.203<br> (a) | 10/15/48 | 441577 |
| $176 | MASTR Adjustable Rate Mortgages Trust | 5.808<br> (a) | 06/25/34 | 163443 |
|  | MASTR Alternative Loan Trust |  |  |  |
| 113 |  | 5.00 | 05/25/18 | 102290 |
| 52 |  | 6.00 | 05/25/33 | 50069 |
| 1 | MASTR Asset Securitization Trust | 5.50 | 10/25/25 | 858 |
| 95 | MASTR Reperforming Loan Trust (c) | 7.50 | 05/25/35 | 68521 |
| 296 | MERIT Securities Corp.<br>1 Month USD LIBOR + 2.25% (c) | 7.21 <br> (a) | 09/28/32 | 276266 |
|  | Merrill Lynch Mortgage Investors Trust |  |  |  |
| 7 |  | 5.037<br> (a) | 01/25/37 | 6599 |
| 7 | 6 Month Term SOFR + 0.93% | 5.133<br> (a) | 04/25/29 | 7095 |
| 3467 | MFA Trust | 6.33 | 09/25/54 | 3476423 |
| 53 | Morgan Stanley Mortgage Loan Trust (See Note 9) | 6.697<br> (a) | 02/25/34 | 51103 |
| 39 | Mortgage Equity Conversion Asset Trust<br>1 Year CMT + 0.47% (c) | 4.62 <br> (a) | 02/25/42 | 38056 |
| 55 | National City Mortgage Capital Trust | 6.00 | 03/25/38 | 52344 |
| 333 | Newgate Funding PLC<br>3 Month GBP SONIA + 3.12% (United Kingdom) | 7.601<br> (a) | 12/15/50 | 429725 |
| $5601 | NRM FHT1 Excess Owner LLC (c) | 6.545 | 03/25/32 | 5649720 |
|  | NYMT Loan Trust |  |  |  |
| 2963 | Class A (c) | 6.381 | 02/25/30 | 2965538 |
| 7500 | (c) | 3.00 <br> (a) | 06/25/36 - 02/25/37 | 6976411 |
| 5000 | (c) | 5.00 <br> (a) | 08/25/37 | 4592332 |
| 1803 | Onslow Bay Financial LLC, Class A1 (c) | 3.00 <br> (a) | 01/25/52 | 1533635 |
|  | PRET LLC |  |  |  |
| 874 | (c) | 4.843 | 09/25/51 | 871329 |
| 2318 | (c) | 7.143 | 03/25/54 | 2338306 |
| 4558 | (c) | 7.52 | 04/27/54 | 4576672 |
| 2292 | PRKCM 2023-AFC1 Trust (c) | 6.598 | 02/25/58 | 2302463 |
| 1527 | PRKCM 2023-AFC4 Trust (c) | 7.225 | 11/25/58 | 1555187 |
| 4000 | PRPM Fundido DAC<br>3 Month EURIBOR + 2.00% (Spain) (c) | 4.181<br> (a) | 04/29/75 | 4282005 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
|  | PRPM LLC |  |  |  |
| $1019 | (c) | 3.75 % | 03/25/54 | $951072 |
| 2000 | (c) | 4.00 | 05/25/54 | 1781722 |
| 779 | (c) | 4.40 | 04/25/67 | 773578 |
| 2000 | (c) | 6.469 | 05/25/30 | 2009663 |
| 2627 | (c) | 6.959 | 02/25/29 | 2665922 |
| 1671 | Rain City Mortgage Trust (c) | 6.53 <br> (a) | 11/25/29 | 1685925 |
| 2824 | Rate Mortgage Trust, Class A1 (c) | 6.00 <br> (a) | 12/25/54 | 2844050 |
| 34 | RBSSP Resecuritization Trust (c) | 93.019<br> (a) | 09/26/37 | 252299 |
| 89 | RCKT Mortgage Trust, Class A1 (c) | 6.50 <br> (a) | 06/25/54 | 90575 |
| 13197 | Residential Asset Securitization Trust, IO | 0.50 | 04/25/37 | 257047 |
| 263 | Resloc UK PLC<br>3 Month EURIBOR + 0.45% (United Kingdom) | 2.951<br> (a) | 12/15/43 | 278369 |
| $1828 | RiverView HECM Trust<br>1 Month Term SOFR + 0.38% | 4.711<br> (a) | 05/25/47 | 1603665 |
|  | RMF Buyout Issuance Trust |  |  |  |
| 500 | (c) | 3.147<br> (a) | 11/25/31 | 481114 |
| 2000 | (c) | 3.69 <br> (a) | 11/25/31 | 1888023 |
| 1500 | (c) | 4.50 <br> (a) | 04/25/32 | 1251425 |
| 2000 | (c) | 4.704<br> (a) | 11/25/31 | 1865995 |
| 1200 | (c) | 4.75 <br> (a) | 10/25/50 | 1048081 |
| 11186 | (c) | 6.00 <br> (a) | 11/25/31 - 10/25/50 | 8684780 |
|  | RMF Proprietary Issuance Trust |  |  |  |
| 1079 | (c) | 2.125<br> (a) | 09/25/61 | 931895 |
| 3882 | (c) | 2.75 <br> (a) | 10/25/63 | 3680538 |
| 2192 | (c) | 3.00 <br> (a) | 01/25/62 | 2009838 |
| 2245 | (c) | 3.25 <br> (a) | 04/26/60 | 2039474 |
| 4250 | (c) | 3.75 <br> (a) | 06/25/62 | 3742212 |
| 2179 | (c) | 4.00 <br> (a) | 08/25/62 | 2095457 |
|  | Saluda Grade Alternative Mortgage Trust |  |  |  |
| 2345 | (c) | 7.118 | 01/25/30 | 2349092 |
| 4700 | (c) | 7.50 <br> (a) | 02/25/30 - 05/25/50 | 4720459 |
|  | Seasoned Credit Risk Transfer Trust |  |  |  |
| 16862 |  | 3.00 | 09/25/55 - 11/25/63 | 14362147 |
| 1858 |  | 3.25 | 07/25/56 - 06/25/57 | 1650003 |
| 2316 |  | 3.50 | 07/25/58 - 05/25/64 | 2002265 |
| 1311 |  | 4.00 | 03/25/58 - 02/25/59 | 1227170 |
| 1200 | (c) | 4.25 <br> (a) | 05/25/60 | 1150552 |
| 4476 | (c) | 4.50 <br> (a) | 06/25/57 - 02/25/59 | 4258049 |
| 11471 | (c) | 4.75 <br> (a) | 07/25/58 - 10/25/58 | 11183120 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| $53 | Sequoia Mortgage Trust<br>1 Month Term SOFR + 0.89% | 5.214<br> (a)% | 01/20/36 | $37690 |
| 107 | Stanwich Mortgage Loan Co. LLC (c) | 6.235 | 10/16/26 | 107019 |
|  | Structured Adjustable Rate Mortgage Loan Trust |  |  |  |
| 156 | 1 Month Term SOFR + 0.35% | 4.681<br> (a) | 03/25/35 | 140207 |
| 134 |  | 5.528<br> (a) | 02/25/35 | 130569 |
|  | Structured Asset Mortgage Investments II Trust |  |  |  |
| 33 |  | 3.743<br> (a) | 04/19/35 | 29662 |
| 64 | 1 Month Term SOFR + 0.57% | 4.901<br> (a) | 05/25/45 | 57196 |
| 43 | Structured Asset Securities Corp. Mortgage <br>Pass-Through Certificates | 7.411<br> (a) | 11/25/30 | 41412 |
| 739 | TDA 19-Mixto FTA<br>3 Month EURIBOR + 3.50% (Spain) | 5.887<br> (a) | 03/22/36 | 832394 |
| 375 | TDA 27 FTA<br>3 Month EURIBOR + 0.19% (Spain) | 2.559<br> (a) | 12/28/50 | 386294 |
| $109 | TIAA Bank Mortgage Loan Trust (c) | 4.00 <br> (a) | 11/25/48 | 102322 |
| 167 | WaMu Mortgage-Backed Pass-Through Certificates | 6.366<br> (a) | 12/19/39 | 165617 |
|  | **Total Mortgages - Other** *(Cost $231,675,986)* |  |  | 240852554 |
|  | **Short-Term Investments (25.2%)** |  |  |  |
|  | *Commercial Paper (2.2%)* |  |  |  |
| 3000 | Banco Santander SA (Spain) (c)(f) | 4.525 | 01/14/26 | 2908195 |
| 2000 | Danske Bank AS (Denmark) (c)(f) | 4.633 | 01/09/26 | 1938577 |
|  | HSBC USA, Inc. |  |  |  |
| 3000 | (c)(f) | 4.858 | 01/27/26 | 2903837 |
| 6000 | (c)(f) | 5.985 | 05/20/25 | 5982362 |
|  | **Total Commercial Paper** *(Cost $13,725,928)* |  |  | 13732971 |
|  | *U.S. Treasury Securities (20.6%)* |  |  |  |
|  | U.S. Treasury Bill, |  |  |  |
| 25000 | (g) | 4.183 | 10/30/25 | 24490653 |
| 10000 | (g) | 4.194 | 10/23/25 | 9803854 |
| 10000 | (g) | 4.216 | 12/26/25 | 9745520 |
| 10000 | (g) | 4.276 | 07/03/25 | 9926675 |
| 8000 | (g) | 4.294 | 6/26/25 | 7947833 |
| 5434 | (g)(h) | 4.317 | 08/05/25 | 5373501 |
| 5000 | (g) | 4.363 | 8/21/25 | 4935077 |
| 8000 | (g) | 4.379 | 8/14/25 | 7902613 |
| 15000 | (g) | 4.472 | 5/15/25 | 14974818 |
| 2000 | (g) | 4.473 | 5/15/25 | 1996644 |
| 15000 | (g) | 4.477 | 5/22/25 | 14962191 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRINCIPAL<br>AMOUNT<br>(000)** | | **COUPON<br>RATE** | **MATURITY<br>DATE** | **VALUE** |
| $10000 | (g) | 4.487% | 5/22/25 | $9974739 |
| 5000 | (g) | 4.489 | 5/29/25 | 4983157 |
|  | **Total U.S. Treasury Securities** *(Cost $127,003,114)* |  |  | 127017275 |
| **NUMBER OF<br>SHARES<br>(000)** |  |  |  |  |
|  | *Investment Company (2.4%)* | *Investment Company (2.4%)* | *Investment Company (2.4%)* | *Investment Company (2.4%)* |
| 14948 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - <br>Institutional Class, 4.26% (See Note 9) *(Cost $14,948,232)* |  |  | 14948232 |
|  | **Total Short-Term Investments** *(Cost $155,677,274)* |  |  | 155698478 |
|  | **Total Investments** *(Cost $754,345,677) (i)(j)* |  | 124.0% | 767167487 |
|  | **Liabilities in Excess of Other Assets** |  | (24.0) | (148536115) |
|  | **Net Assets** |  | 100.0% | $618631372 |

---

&nbsp;&nbsp;&nbsp;&nbsp;*CMT Constant Maturity Treasury Note Rate.*

&nbsp;&nbsp;&nbsp;&nbsp;*DAC Designated Activity Company.*

&nbsp;&nbsp;&nbsp;&nbsp;*EURIBOR Euro Interbank Offered Rate.*

&nbsp;&nbsp;&nbsp;&nbsp;*HECM Home Equity Conversion Mortgage.*

&nbsp;&nbsp;&nbsp;&nbsp;*IO Interest Only Security.*

&nbsp;&nbsp;&nbsp;&nbsp;*LIBOR London Interbank Offered Rate.*

&nbsp;&nbsp;&nbsp;&nbsp;*PAC Planned Amortization Class.*

&nbsp;&nbsp;&nbsp;&nbsp;*REMIC Real Estate Mortgage Investment Conduit.*

&nbsp;&nbsp;&nbsp;&nbsp;*SOFR Secured Overnight Financing Rate.*

&nbsp;&nbsp;&nbsp;&nbsp;*SOFR30A 30-Day Average Secured Overnight Financing Rate.*

&nbsp;&nbsp;&nbsp;&nbsp;*SONIA Sterling Overnight Index Average.*

&nbsp;&nbsp;&nbsp;&nbsp;*STRIPS Separate Trading of Registered Interest and Principal of Securities.*

&nbsp;&nbsp;&nbsp;&nbsp;*TBA To Be Announced.*

&nbsp;&nbsp;&nbsp;&nbsp;*(a) Floating or variable rate securities: The rates disclosed are as of April 30, 2025. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description in the Portfolio of Investments.*

&nbsp;&nbsp;&nbsp;&nbsp;*(b) Security is subject to delayed delivery.*

&nbsp;&nbsp;&nbsp;&nbsp;*(c) 144A security - Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.*

&nbsp;&nbsp;&nbsp;&nbsp;*(d) Inverse Floating Rate Security - Interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate at April 30, 2025.*

&nbsp;&nbsp;&nbsp;&nbsp;*(e) When-issued security.*

&nbsp;&nbsp;&nbsp;&nbsp;*(f) The rates shown are the effective yields at the date of purchase.*

&nbsp;&nbsp;&nbsp;&nbsp;*(g) Rate shown is the yield to maturity at April 30, 2025.*

&nbsp;&nbsp;&nbsp;&nbsp;*(h) All or a portion of the security was pledged to cover margin requirements for futures contracts.*

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

&nbsp;&nbsp;&nbsp;&nbsp;*(i) Securities are available for collateral in connection with purchase of when-issued securities, securities purchased on a forward commitment basis, open foreign currency forward exchange contracts and futures contracts.*

&nbsp;&nbsp;&nbsp;&nbsp;*(j) At April 30, 2025, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is $21,174,780 and the aggregate gross unrealized depreciation is $8,014,312, resulting in net unrealized appreciation of $13,160,468.*

**Foreign Currency Forward Exchange Contracts:**

The Fund had the following foreign currency forward exchange contracts open at April 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **COUNTERPARTY** | **CONTRACTS<br>TO DELIVER** | **IN EXCHANGE<br>FOR** | **DELIVERY<br>DATE** | **UNREALIZED<br>APPRECIATION<br>(DEPRECIATION)** |
| Bank of America NA | 45541479 | $6726904 | 6/26/25 | $(211460) |
| Citibank NA | 17116904 | $18753687 | 6/26/25 | (699486) |
| Citibank NA | 3750000 | $4322760 | 6/26/25 | 60927 |
| Goldman Sachs International | 1851015 | $2356871 | 6/26/25 | (110503) |
| HSBC Bank PLC | 2113737 | $1492778 | 6/26/25 | (44806) |
| Standard Chartered Bank | $55373 | 92417 | 6/26/25 | 3861 |
|  |  |  |  | $(1001467) |

---

**Futures Contracts:**

The Fund had the following futures contracts open at April 30, 2025:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **NUMBER <br>OF<br>CONTRACTS** | **EXPIRATION<br>DATE** | **NOTIONAL<br>AMOUNT<br>(000)** | **VALUE** | **UNREALIZED<br>APPRECIATION** |
| **Long:** | **Long:** | **Long:** | **Long:** | **Long:** | **Long:** |
| U.S. Treasury 2 yr. Note (United States) | 122 | Jun-25 | $24400 | $25394109 | $261160 |
| U.S. Treasury 5 yr. Note (United States) | 666 | Jun-25 | 66600 | 72724079 | 734653 |
| U.S. Treasury 10 yr. Note (United States) | 104 | Jun-25 | 10400 | 11670750 | 316062 |
| U.S. Treasury Long Bond (United States) | 16 | Jun-25 | 1600 | 1866000 | 28250 |
|  |  |  |  |  | $1340125 |

---

AUD — Australian Dollar

CAD — Canadian Dollar

DKK — Danish Krone

EUR — Euro

GBP — British Pound

USD — United States Dollar

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Portfolio of Investments** ◼ **April 30, 2025 (unaudited)** *continued*

**Portfolio Composition**

---

| | | |
|:---|:---|:---|
| **CLASSIFICATION** | **PERCENTAGE OF<br>TOTAL<br>INVESTMENTS** | **PERCENTAGE OF<br>TOTAL<br>INVESTMENTS** |
| Mortgages - Other | 31.4 | % |
| Agency Fixed Rate Mortgages | 27.5 |  |
| Short-Term Investments | 20.3 |  |
| Asset-Backed Securities | 15.5 |  |
| Commercial Mortgage-Backed Securities | 2.1 |  |
| Collateralized Mortgage Obligations - Agency Collateral Series | 2.0 |  |
| Corporate Bonds | 0.9 |  |
| Agency Adjustable Rate Mortgages | 0.3 |  |
| Total | 100.0 | %\* |

---

&nbsp;&nbsp;&nbsp;&nbsp;*\* Does not include open futures contracts with a value of $111,654,938 and total unrealized appreciation of $1,340,125. Does not include open foreign currency forward exchange contracts with net unrealized depreciation of $1,001,467.*

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Financial Statements**

**Statement of Assets and Liabilities** *April 30, 2025 (unaudited)*

---

| | |
|:---|:---|
| **Assets:** | **Assets:** |
| Investments in securities, at value (cost $739,344,372) | $752168152 |
| Investments in affiliates, at value (cost $15,001,305) | 14999335 |
| Total investments in securities, at value (cost $754,345,677) | 767167487 |
| Unrealized appreciation on open foreign currency forward exchange contracts | 64788 |
| Cash (including foreign currency valued at $1,112,859 with a cost of $1,098,949) | 1112859 |
| Receivable for: | Receivable for: |
| Investments sold | 10791992 |
| Shares of beneficial interest sold | 4685866 |
| Interest | 1891547 |
| Variation margin on open futures contracts | 101971 |
| Interest and dividends from affiliates | 32802 |
| Prepaid expenses and other assets | 114388 |
| **Total Assets** | 785963700 |
| **Liabilities:** | **Liabilities:** |
| Unrealized depreciation on open foreign currency forward exchange contracts | 1066255 |
| Due to broker | 539000 |
| Payable to Bank | 271438 |
| Payable for: | Payable for: |
| Investments purchased | 163757236 |
| Shares of beneficial interest redeemed | 1133218 |
| Dividends to shareholders | 199617 |
| Advisory fee | 176106 |
| Transfer and sub transfer agency fees | 64528 |
| Administration fee | 38233 |
| Trustees' fees | 34677 |
| Distribution fee | 19477 |
| Accrued expenses and other payables | 32543 |
| **Total Liabilities** | 167332328 |
| **Net Assets** | $618631372 |
| **Composition of Net Assets:** | **Composition of Net Assets:** |
| Paid-in-Capital | $622337320 |
| Total Accumulated Loss | (3705948) |
| **Net Assets** | $618631372 |
| **Class A Shares:** | **Class A Shares:** |
| Net Assets | $68068697 |
| Shares Outstanding *(unlimited shares authorized, $0.01 par value)* | 8574697 |
| **Net Asset Value Per Share** | $7.94 |
| **Maximum Offering Price Per Share,**<br> *(net asset value plus 3.36% of net asset value)* | $8.21 |
| **Class L Shares:** | **Class L Shares:** |
| Net Assets | $295168 |
| Shares Outstanding *(unlimited shares authorized, $0.01 par value)* | 37552 |
| **Net Asset Value Per Share** | $7.86 |
| **Class I Shares:** | **Class I Shares:** |
| Net Assets | $534054312 |
| Shares Outstanding *(unlimited shares authorized, $0.01 par value)* | 68324645 |
| **Net Asset Value Per Share** | $7.82 |
| **Class C Shares:** | **Class C Shares:** |
| Net Assets | $6886890 |
| Shares Outstanding *(unlimited shares authorized, $0.01 par value)* | 874820 |
| **Net Asset Value Per Share** | $7.87 |
| **Class R6 Shares:** | **Class R6 Shares:** |
| Net Assets | $9326305 |
| Shares Outstanding *(unlimited shares authorized, $0.01 par value)* | 1195078 |
| **Net Asset Value Per Share** | $7.80 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Financial Statements** *continued*

**Statement of Operations** *For the six months ended April 30, 2025 (unaudited)*

---

| | |
|:---|:---|
| **Net Investment Income: <br>Income** | **Net Investment Income: <br>Income** |
| Interest | $13843663 |
| Interest and dividends from affiliates (Note 9) | 259634 |
| **Total Income** | 14103297 |
| **Expenses** | **Expenses** |
| Advisory fee (Note 4) | 1241656 |
| Sub transfer agency fees and expenses (Class A) | 31066 |
| Sub transfer agency fees and expenses (Class L) | 155 |
| Sub transfer agency fees and expenses (Class I) | 193029 |
| Sub transfer agency fees and expenses (Class C) | 1699 |
| Administration fee (Note 4) | 211346 |
| Professional fees | 171326 |
| Distribution fee (Class A) (Note 5) | 78991 |
| Distribution fee (Class L) (Note 5) | 744 |
| Distribution fee (Class C) (Note 5) | 29035 |
| Registration fees | 52941 |
| Transfer agency fees and expenses (Class A) (Note 6) | 12084 |
| Transfer agency fees and expenses (Class L) (Note 6) | 1324 |
| Transfer agency fees and expenses (Class I) (Note 6) | 10034 |
| Transfer agency fees and expenses (Class C) (Note 6) | 1476 |
| Transfer agency fees and expenses (Class R6) (Note 6) | 7528 |
| Custodian fees (Note 7) | 30730 |
| Shareholder reports and notices | 27443 |
| Trustees' fees and expenses | 5983 |
| Other | 48393 |
| **Total Expenses** | 2156983 |
| Less: reimbursement of class specific expenses (Class A) (Note 4) | (11537) |
| Less: reimbursement of class specific expenses (Class L) (Note 4) | (1255) |
| Less: reimbursement of class specific expenses (Class I) (Note 4) | (90418) |
| Less: reimbursement of class specific expenses (Class R6) (Note 4) | (7528) |
| Less: waiver of Advisory fees (Note 4) | (73233) |
| Less: rebate from Morgan Stanley affiliates (Note 9) | (8584) |
| **Net Expenses** | 1964428 |
| **Net Investment Income** | 12138869 |
| **Realized and Unrealized Gain (Loss): <br>Realized Gain (Loss) on:** | **Realized and Unrealized Gain (Loss): <br>Realized Gain (Loss) on:** |
| Investments | (139) |
| Investments in affiliates (Note 9) | (30) |
| Foreign currency forward exchange contracts | 230526 |
| Foreign currency transaction | (38437) |
| Futures contracts | (1546982) |
| **Net Realized Loss** | (1355062) |
| **Change in Unrealized Appreciation (Depreciation) on:** | **Change in Unrealized Appreciation (Depreciation) on:** |
| Investments | 10666701 |
| Investments in affiliates (Note 9) | (455) |
| Foreign currency forward exchange contracts | (1063555) |
| Foreign currency translation | 38782 |
| Futures contracts | 4301788 |
| **Net Change in Unrealized Appreciation (Depreciation)** | 13943261 |
| **Net Gain** | 12588199 |
| **Net Increase in Net Assets Resulting from Operations** | $24727068 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Financial Statements** *continued*

**Statements of Changes in Net Assets**

---

| | | |
|:---|:---|:---|
| | **FOR THE SIX<br>MONTHS ENDED<br>APRIL 30, 2025** | **FOR THE YEAR <br>ENDED<br>OCTOBER 31, 2024** |
|  | *(unaudited)* |  |
| **Increase (Decrease) in Net Assets: <br>Operations:** | **Increase (Decrease) in Net Assets: <br>Operations:** | **Increase (Decrease) in Net Assets: <br>Operations:** |
| Net investment income | $12138869 | $18286557 |
| Net realized gain (loss) | (1355062) | 9029707 |
| Net change in unrealized appreciation (depreciation) | 13943261 | 12757466 |
| **Net Increase in Net Assets Resulting from Operations** | 24727068 | 40073730 |
| **Dividends and Distributions to Shareholders:** | **Dividends and Distributions to Shareholders:** | **Dividends and Distributions to Shareholders:** |
| Class A | (1766133) | (2726243) |
| Class L | (7963) | (14598) |
| Class I | (13502711) | (16521786) |
| Class C | (141935) | (137699) |
| Class R6 | (254984) | (697) |
| **Total Dividends and Distributions to Shareholders** | (15673726) | (19401023) |
| Net increase from transactions in shares of beneficial interest | 139328301 | 182233972 |
| **Net Increase** | 148381643 | 202906679 |
| **Net Assets:** | **Net Assets:** | **Net Assets:** |
| Beginning of period | 470249729 | 267343050 |
| **End of Period** | $618631372 | $470249729 |

---

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)**

**1. Organization and Accounting Policies**

Morgan Stanley Mortgage Securities 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's investment objective is to seek a high level of current income. The Fund was organized as a Massachusetts business trust on November 20, 1986 and commenced operations on March 31, 1987. On July 28, 1997, the Fund converted to a multiple class share structure.

The Fund applies investment company accounting and reporting guidance Accounting Standard Codification ("ASC") Topic 946. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the Fund's Statement of Assets and Liabilities through the date that the financial statements were issued.

The Fund offers Class A shares, Class L shares, Class I shares, Class C shares and Class R6 shares. Class C shares will automatically convert to Class A shares eight years after the end of the calendar month in which the shares were purchased. The five classes are substantially the same except that most Class A shares are subject to a sales charge imposed at the time of purchase, some Class A shares and most Class C shares are subject to a contingent deferred sales charge imposed on shares redeemed within one year. Class L shares, Class I shares and Class R6 shares are not subject to a sales charge. Additionally, Class A shares, Class L shares and Class C shares incur distribution expenses.

The Fund suspended offering Class L shares to all investors (April 30, 2015). Class L shareholders of the Fund do not have the option of purchasing additional Class L shares. However, the existing Class L shareholders may invest through reinvestment of dividends and distributions. In addition, Class L shares of the Fund may be exchanged for Class L shares of any Morgan Stanley Multi-Class Fund, even though Class L shares are closed to investors.

The following is a summary of significant accounting policies:

**A. Valuation of Investments —** (1) Fixed income securities may be valued by an outside pricing service/vendor approved by the Fund's Board of Trustees (the "Trustees"). The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads and/or other market data and specific security characteristics. If Morgan Stanley Investment Management Inc. (the "Adviser"), a wholly-owned subsidiary of Morgan Stanley, determines that the price provided by the outside pricing service/vendor does not reflect the security's fair value or the pricing service/vendor or exchange is unable to provide a price, prices from brokers/dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from reputable brokers/dealers; (2) when market quotations are not readily available, as defined by Rule 2a-5 under the Act, including circumstances under which the Adviser, determines that the closing price, last

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

sale price or the mean between the last reported bid and asked prices are not reflective of a security's market value, portfolio securities are valued at their fair value as determined in good faith under procedures approved by and under the general supervision of the Trustees. Each business day, the Fund uses a third-party pricing service approved by the Trustees to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE; (3) futures are valued at the settlement price on the exchange on which they trade or, if a settlement price is unavailable, at the last sale price on the exchange; (4) foreign exchange transactions ("spot contracts") and foreign exchange forward contracts ("forward contracts") are valued daily using an independent pricing vendor at the spot and forward rates, respectively, as of the close of the NYSE; and (5) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value ("NAV") as of the close of each business day.

In connection with Rule 2a-5 of the Act, the Trustees have designated the Fund's Adviser as its valuation designee. The valuation designee has responsibility for determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Trustees. Under procedures approved by the Trustees, the Fund's Adviser, as valuation designee, has formed a Valuation Committee whose members are approved by the Trustees. The Valuation Committee provides administration and oversight of the Fund's valuation policies and procedures, which are reviewed at least annually by the Trustees. These procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

**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. Dividend income and other distributions are recorded on the ex-dividend date. 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. When-Issued/Delayed Delivery Securities —** The Fund may purchase or sell when-issued and delayed delivery securities. Securities purchased on a when-issued or delayed delivery basis are purchased for delivery beyond the normal settlement date at a stated price, and no income accrues to the Fund on such securities prior to delivery date. Payment and delivery for when-issued and delayed delivery securities can take place a month or more after the date of the transaction. When the Fund enters into a purchase transaction on a when-issued or delayed delivery basis, securities are available for collateral in an amount at least equal in value to the Fund's commitments to purchase such

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

securities. Purchasing securities on a when-issued or delayed delivery basis may involve a risk that the market price at the time of delivery may be lower than the agreed upon purchase price, in which case there could be an unrealized loss at the time of delivery. Purchasing investments on a when-issued or delayed delivery basis may be considered a form of leverage which may increase the impact that gains (losses) may have on the Fund.

**D. Multiple Class Allocations —** Investment income, realized and unrealized gain (loss) and non-class specific expenses are allocated daily based upon the proportion of net assets of each class. Class specific expenses are borne by the respective share classes and include Distribution, Transfer Agency, Co-Transfer Agency and Sub Transfer Agency fees.

**E. Foreign Currency Translation and Foreign Investments —** The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars as follows:

— investments, other assets and liabilities at the prevailing rate of exchange on the valuation date;

— investment transactions and investment income at the prevailing rates of exchange on the dates of such transactions.

Although the net assets of the Fund are presented at the foreign exchange rates and market values at the close of the period, the Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held at period end. Similarly, the Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of securities sold during the period. Accordingly, realized and unrealized foreign currency gains (losses) on investments in securities are included in the reported net realized and unrealized gains (losses) on investment transactions and balances. However, pursuant to U.S. federal income tax regulations, gains and losses from certain foreign currency transactions and the foreign currency portion of gains and losses realized on sales and maturities of foreign denominated debt securities are treated as ordinary income for U.S. federal income tax purposes.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from foreign currency forward exchange contracts, disposition of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent amounts actually received or paid. The change in unrealized currency gains (losses) on foreign currency translations for the period is reflected in the Statement of Operations.

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

**F. Dividends and Distributions to Shareholders —** Dividends and distributions to shareholders are recorded on the ex-dividend date. Dividends from net investment income, if any, are declared daily and paid monthly. Net realized capital gains, if any, are distributed at least annually.

**G. 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.

**H. Indemnifications —** The Fund enters into contracts that contain a variety of indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.

**I. Segment Reporting —** During the reporting period, the Fund adopted Financial Accounting Standards Board ("FASB") Accounting Standards Update No. 2023-07*,* *Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures, (ASU 2023-07)*, which requires incremental disclosures related to a public entity's reportable segments. The Fund operates as a single reportable segment, an investment company whose investment objective is included in Note 1. In connection with the adoption of ASU 2023-07, the Fund's President act as the Fund's Chief Operating Decision Maker ("CODM"), who is responsible for assessing the performance of the Fund's single segment and deciding how to allocate the segment's resources. To perform this function, the CODM reviews the information in the Fund's financial statements.

**2. Fair Valuation Measurements**

FASB ASC 820, "Fair Value Measurement" ("ASC 820"), defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. 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.)

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

• 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, 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.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to each security.

The following is a summary of the inputs used to value the Fund's investments as of April 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **<br>INVESTMENT TYPE** | **<br>LEVEL 1<br>UNADJUSTED<br>QUOTED<br>PRICES** | **LEVEL 2<br>OTHER<br>SIGNIFICANT<br>OBSERVABLE<br>INPUTS** | **<br>LEVEL 3<br>SIGNIFICANT<br>UNOBSERVABLE<br>INPUTS** | **TOTAL** |
| **Assets:** | **Assets:** | **Assets:** | **Assets:** | **Assets:** |
| **Fixed Income Securities** | **Fixed Income Securities** | **Fixed Income Securities** | **Fixed Income Securities** | **Fixed Income Securities** |
| Agency Adjustable Rate Mortgages | $— | $2359745 | $— | $2359745 |
| Agency Fixed Rate Mortgages |  | 210741387 |  | 210741387 |
| Asset-Backed Securities |  | 118902507 |  | 118902507 |
| Collateralized Mortgage Obligations — <br>Agency Collateral Series |  | 15336771 |  | 15336771 |
| Commercial Mortgage-Backed Securities |  | 16341028 |  | 16341028 |
| Corporate Bonds |  | 6935017 |  | 6935017 |
| Mortgages — Other |  | 240852554 |  | 240852554 |
| **Total Fixed Income Securities** | **—** | **611469009** | **—** | **611469009** |
| **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** |
| Commercial Paper |  | 13732971 |  | 13732971 |
| U.S. Treasury Securities |  | 127017275 |  | 127017275 |
| Investment Company | 14948232 |  |  | 14948232 |
| **Total Short-Term Investments** | **14948232** | **140750246** | **—** | **155698478** |
| **Foreign Currency Forward Exchange <br>Contracts** |  | 64788 |  | 64788 |
| **Futures Contracts** | 1340125 |  |  | 1340125 |
| **Total Assets** | **16288357** | **752284043** | **—** | **768572400** |

---

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **<br>INVESTMENT TYPE** | **<br>LEVEL 1<br>UNADJUSTED<br>QUOTED<br>PRICES** | **LEVEL 2<br>OTHER<br>SIGNIFICANT<br>OBSERVABLE<br>INPUTS** | **<br>LEVEL 3<br>SIGNIFICANT<br>UNOBSERVABLE<br>INPUTS** | **TOTAL** |
| **Liabilities:** | **Liabilities:** | **Liabilities:** | **Liabilities:** | **Liabilities:** |
| **Foreign Currency Forward Exchange <br>Contracts** | $— | $(1066255) | $— | $(1066255) |
| **Total** | $**16288357** | $**751217788** | $**—** | $**767506145** |

---

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.

**3. Derivatives**

The Fund may, but it is not required to, use derivative instruments for a variety of purposes, including hedging, risk management, portfolio management or to earn income. Derivatives are financial instruments whose value is based, in part, on the value of an underlying asset, interest rate, index or financial instrument. Prevailing interest rates and volatility levels, among other things, also affect the value of derivative instruments. A derivative instrument often has risks similar to its underlying asset and may have additional risks, including imperfect correlation between the value of the derivative and the underlying asset, risks of default by the counterparty to certain transactions, magnification of losses incurred due to changes in the market value of the securities, instruments, indices or interest rates to which the derivative instrument relates, risks that the transactions may not be liquid, risks arising from margin and payment requirements, risks arising from mispricing or valuation complexity and operational and legal risks. The use of derivatives involves risks that are different from, and possibly greater than, the risks associated with other portfolio investments. Derivatives may involve the use of highly specialized instruments that require investment techniques and risk analyses different from those associated with other portfolio investments. All of the Fund's holdings, including derivative instruments, are marked-to-market each day with the change in value reflected in unrealized appreciation (depreciation). Upon disposition, a realized gain or loss is recognized.

Certain derivative transactions may give rise to a form of leverage. Leverage magnifies the potential for gain and risk of loss. Leverage associated with derivative transactions may cause the Fund to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or may cause the Fund to be more volatile than if the Fund had not been leveraged. Although the Adviser seeks to use derivatives to further the Fund's investment objectives, there is no assurance that the use of derivatives will achieve this result.

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

Following is a description of the derivative instruments and techniques that the Fund used during the period and their associated risks:

***Foreign Currency Forward Exchange Contracts —*** In connection with its investments in foreign securities, the Fund entered into contracts with banks and brokers/dealers to purchase or sell foreign currencies at a future date. A foreign currency forward exchange contract ("currency contract") is a negotiated agreement between the contracting parties to exchange a specified amount of currency at a specified future time at a specified rate. The rate can be higher or lower than the spot rate between the currencies that are the subject of the contract. Currency contracts may be used to protect against uncertainty in the level of future foreign currency exchange rates or to gain or modify exposure to a particular currency. To the extent hedged by the use of currency contracts, the precise matching of the currency contract amounts and the value of the securities involved will not generally be possible because the future value of such securities in foreign currencies will change as a consequence of market movements in the value of those securities between the date on which the contract is entered into and the date it matures. Furthermore, such transactions may reduce or preclude the opportunity for gain if the value of the currency should move in the direction opposite to the position taken. There is additional risk to the extent that currency contracts create exposure to currencies in which the Fund's securities are not denominated. Unanticipated changes in currency prices may result in poorer overall performance for the Fund than if it had not entered into such contracts. The use of currency contracts involves the risk of loss from the insolvency or bankruptcy of the counterparty to the contract or the failure of the counterparty to make payments or otherwise comply with the terms of the contract. A currency contract is marked-to-market daily and the change in market value is recorded by the Fund as unrealized gain or loss. The Fund records realized gains (losses) when the currency contract is closed equal to the difference between the value of the currency contract at the time it was opened and the value at the time it was closed.

***Futures —*** A futures contract is a standardized, exchange-traded agreement to buy or sell a specific quantity of an underlying asset, reference rate or index at a specific price at a specific future time. The value of a futures contract tends to increase and decrease in tandem with the value of the underlying instrument. Depending on the terms of the particular contract, futures contracts are settled through either physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. During the period the futures contract is open, payments are received from or made to the broker based upon changes in the value of the contract (the variation margin) and are recorded as unrealized gains or losses by the Fund. Gains (losses) are realized upon the expiration or closing of the futures contract. A decision as to whether, when and how to use futures contracts involves the exercise of skill and judgment and even a well-conceived futures transaction may be unsuccessful because of market behavior or unexpected events. In addition to the derivatives risks

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

discussed above, the prices of futures contracts can be highly volatile, using futures contracts can lower total return and the potential loss from futures contracts can exceed the Fund's initial investment in such contracts. No assurance can be given that a liquid market will exist for any particular futures contract at any particular time.

FASB ASC 815, "Derivatives and Hedging" ("ASC 815"), is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures to enable investors to better understand how and why the Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund's financial position and results of operations.

The following table sets forth the fair value of the Fund's derivative contracts by primary risk exposure as of April 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **PRIMARY RISK EXPOSURE** | **ASSET DERIVATIVES<br>STATEMENT OF ASSETS<br>AND LIABILITIES LOCATION** | **FAIR VALUE** | **LIABILITY DERIVATIVES<br>STATEMENT OF ASSETS<br>AND LIABILITIES LOCATION** | **FAIR VALUE** |
| Currency Risk | Unrealized appreciation on<br>open foreign currency<br>forward exchange<br>contracts | $64788 | Unrealized depreciation on<br>open foreign currency<br>forward exchange<br>contracts | $(1066255) |
| Interest Rate Risk | Variation margin on open <br>futures contracts | 1340125<br> (a) | Variation margin on open <br>futures contracts |  |
|  |  | $1404913 |  | $(1066255) |

---

*(a) Includes cumulative appreciation (depreciation) as reported in the Portfolio of Investments. Only current day's net variation margin is reported within the Statement of Assets and Liabilities.*

The following tables set forth by primary risk exposure the Fund's realized gains (losses) and change in unrealized appreciation (depreciation) by type of derivative contract for the six months ended April 30, 2025 in accordance with ASC 815:

**AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVES**

---

| | | |
|:---|:---|:---|
| **PRIMARY RISK EXPOSURE** | **FUTURES CONTRACTS** | **FOREIGN CURRENCY<br>FORWARD EXCHANGE<br>CONTRACTS** |
| Interest Rate Risk | $(1546982) | $— |
| Currency Risk |  | 230526 |
| Total | $(1546982) | $230526 |

---

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

**CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES**

---

| | | |
|:---|:---|:---|
| **PRIMARY RISK EXPOSURE** | **FUTURES CONTRACTS** | **FOREIGN CURRENCY<br>FORWARD EXCHANGE<br>CONTRACTS** |
| Interest Rate Risk | $4301788 | $— |
| Currency Risk |  | (1063555) |
| Total | $4301788 | $(1063555) |

---

At April 30, 2025, the Fund's derivative assets and liabilities are as follows:

**GROSS AMOUNTS OF ASSETS AND LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS AND LIABILITIES**

---

| | | |
|:---|:---|:---|
| **DERIVATIVES(a)** | **ASSETS(b)** | **LIABILITIES(b)** |
| Foreign Currency Forward Exchange Contracts | $64788 | $(1066255) |

---

*(a) Excludes exchange-traded derivatives.*

*(b) Absent an event of default or early termination, over-the-counter ("OTC") derivative assets and liabilities are presented gross and not offset in the Statement of Assets and Liabilities.*

The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Master Agreements") or similar master agreements (collectively, "Master Agreements") with its contract counterparties for certain OTC derivatives in order to, among other things, reduce its credit risk to counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the counterparty certain OTC derivative financial instruments' payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default, termination and/or potential deterioration in the credit quality of the counterparty. Various Master Agreements govern the terms of certain transactions with counterparties, including transactions such as swap, forward, repurchase and reverse repurchase agreements. These Master Agreements typically attempt to reduce the counterparty risk associated with such transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Cross-termination provisions under Master Agreements typically provide that a default in connection with one transaction between the Fund and a counterparty gives the non-defaulting party the right to terminate any other transactions in place with the defaulting party to create one single net payment due to/due from the defaulting party and may be a feature in certain Master Agreements. In the event the Fund exercises its right to terminate a Master Agreement after a counterparty experiences a termination event as defined in the Master Agreement, the return of collateral with market value in excess of the Fund's net liability may be delayed or denied.

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

The following tables present derivative financial instruments that are subject to enforceable netting arrangements as of April 30, 2025:

**GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS AND LIABILITIES**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **COUNTERPARTY** | **GROSS ASSET DERIVATIVES<br>PRESENTED IN THE STATEMENT<br>OF ASSETS AND LIABILITIES** | **FINANCIAL<br>INSTRUMENT** | **COLLATERAL<br>RECEIVED** | **NET AMOUNT<br>(NOT LESS THAN $0)** |
| Citibank NA | $60927 | $(60927) | $— | $0 |
| Standard Chartered Bank | 3861 |  |  | 3861 |
| Total | $64788 | $(60927) | $— | $3861 |

---

**GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS AND LIABILITIES**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **COUNTERPARTY** | **GROSS LIABILITY DERIVATIVES<br>PRESENTED IN THE STATEMENT<br>OF ASSETS AND LIABILITIES** | **FINANCIAL<br>INSTRUMENT** | **COLLATERAL<br>PLEDGED(a)** | **NET AMOUNT<br>(NOT LESS THAN $0)** |
| Bank of America NA | $211460 | $— | $— | $211460 |
| Citibank NA | 699486 | (60927) | (638559) | 0 |
| Goldman Sachs International | 110503 |  | (110503) | 0 |
| HSBC Bank PLC | 44806 |  |  | 44806 |
| Total | $1066255 | $(60927) | $(749062) | $256266 |

---

*(a) In some instances, the actual collateral received or pledged may be more than the amount shown here due to overcollateralization.*

For the six months ended April 30, 2025, the average monthly amount outstanding for each derivative type is as follows:

---

| | |
|:---|:---|
| **Foreign Currency Forward Exchange Contracts:** | **Foreign Currency Forward Exchange Contracts:** |
| Average monthly principal amount | $37725080 |
| **Futures Contracts:** | **Futures Contracts:** |
| Average monthly notional value | $207180151 |

---

**4. Advisory/Administration Agreements**

Pursuant to an Investment Advisory Agreement with the Adviser, the Fund pays an advisory fee, accrued daily and paid monthly, by applying the following annual rates to the net assets of the Fund determined as of the close of each business day: 0.47% to the portion of the daily net assets not exceeding $1 billion; 0.445% to the portion of the daily net assets exceeding $1 billion but not exceeding $1.5 billion; 0.42% to the portion of the daily net assets exceeding $1.5 billion but not exceeding $2 billion; 0.395% to the portion of the daily net assets exceeding $2 billion but not exceeding $2.5 billion; 0.37% to the portion

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

of the daily net assets exceeding $2.5 billion but not exceeding $5 billion; 0.345% to the portion of the daily net assets exceeding $5 billion but not exceeding $7.5 billion; 0.32% to the portion of the daily net assets exceeding $7.5 billion but not exceeding $10 billion; 0.295% to the portion of the daily net assets exceeding $10 billion but not exceeding $12.5 billion; and 0.27% to the portion of the daily net assets exceeding $12.5 billion. For the six months ended April 30, 2025, the advisory fee rate (net of waiver/rebate) was equivalent to an annual effective rate of 0.44% of the Fund's average daily net assets.

The Adviser also serves as the Administrator to the Fund and provides administrative services pursuant to an Administration Agreement for an annual fee, accrued daily and paid monthly, of 0.08% of the Fund's average daily net assets.

Under a Sub-Administration Agreement between the Administrator and State Street Bank and Trust Company ("State Street"), State Street provides certain administrative services to the Fund. For such services, the Administrator pays State Street a portion of the fee the Administrator receives from the Fund.

The Adviser/Administrator has agreed to reduce its advisory fee, its administration fee and/or reimburse the Fund so that total annual operating expenses, excluding certain investment related expenses, taxes, interest and other extraordinary expenses (including litigation), will not exceed 1.00% for Class A, 1.30% for Class L, 0.70% for Class I, 1.80% for Class C and 0.65% for Class R6. These fee waivers and/or expense reimbursements will continue for at least one year from the date of the Fund's prospectus or until such time that the Trustees act to discontinue all or a portion of such waivers and/or expense reimbursements when they deem such action is appropriate. For the six months ended April 30, 2025, $73,233 of advisory fees were waived and $110,738 of other expenses were reimbursed by the Adviser pursuant to this arrangement.

**5. Plan of Distribution**

Shares of the Fund are distributed by Morgan Stanley Distribution, Inc. (the "Distributor"), an affiliate of the Adviser/Administrator. The Fund has adopted a Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the Act. The Plan provides that the Fund will pay the Distributor a fee which is accrued daily and paid monthly at the following annual rates: (i) Class A — up to 0.25% of the average daily net assets of Class A shares; (ii) Class L — up to 0.50% of the average daily net assets of Class L shares; and (iii) Class C — up to 1.00% of the average daily net assets of Class C shares.

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

In the case of Class A shares, Class L shares and Class C shares, expenses incurred pursuant to the Plan in any calendar year in excess of 0.25%, 0.50% and 1.00% of the average daily net assets of Class A shares, Class L shares and Class C shares, respectively, will not be reimbursed by the Fund through payments in any subsequent year, except that expenses representing a gross sales commission credited to Financial Intermediaries at the time of sale may be reimbursed in the subsequent calendar year. For the six months ended April 30, 2025, the distribution fee was accrued for Class A shares, Class L shares and Class C shares at the annual rate of 0.25%, 0.50% and 1.00%, respectively.

The Distributor has informed the Fund that for the six months ended April 30, 2025, it received contingent deferred sales charges from certain redemptions of the Fund's Class A shares of $369 and received $20,842 in front-end sales charges from sales of the Fund's Class A shares. The respective shareholders pay such charges, which are not an expense of the Fund.

**6. Dividend Disbursing and Transfer/Co-Transfer Agent**

The Fund's dividend disbursing and transfer agent is SS&C Global Investor & Distribution Solutions, Inc. ("SS&C GIDS"). Pursuant to a Transfer Agency Agreement, the Fund pays SS&C GIDS a fee based on the number of classes, accounts and transactions relating to the Fund.

Eaton Vance Management ("EVM"), an affiliate of Morgan Stanley, provides co-transfer agency and related services to the Fund pursuant to a Co-Transfer Agency Services Agreement. For the six months ended April 30, 2025, co-transfer agency fees and expenses incurred to EVM, included in "Transfer agent fees and expenses" in the Statement of Operations, amounted to $2,750.

**7. Custodian Fees**

State Street (the "Custodian") also serves as Custodian for the Fund in accordance with a Custodian Agreement. The Custodian holds cash, securities and other assets of the Fund as required by the Act. Custody fees are payable monthly based on assets held in custody, investment purchases and sales activity and account maintenance fees, plus reimbursement for certain out-of-pocket expenses.

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

**8. Shares of Beneficial Interest**

Transactions in shares of beneficial interest, including direct exchanges pursuant to share class conversions for all periods presented, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **FOR THE SIX <br>MONTHS ENDED<br>APRIL 30, 2025** | **FOR THE SIX <br>MONTHS ENDED<br>APRIL 30, 2025** | **FOR THE YEAR<br>ENDED<br>OCTOBER 31, 2024** | **FOR THE YEAR<br>ENDED<br>OCTOBER 31, 2024** |
|  | *(unaudited)* | *(unaudited)* |  |  |
|  | **SHARES** | **AMOUNT** | **SHARES** | **AMOUNT** |
| **CLASS A SHARES** | **CLASS A SHARES** | **CLASS A SHARES** | **CLASS A SHARES** | **CLASS A SHARES** |
| Sold | 1472134 | $11547216 | 2494658 | $19311508 |
| Reinvestment of dividends and distributions | 221912 | 1744648 | 349223 | 2689868 |
| Redeemed | (733582) | (5758467) | (1433534) | (11085168) |
| Net increase — Class A | 960464 | 7533397 | 1410347 | 10916208 |
| **CLASS L SHARES** | **CLASS L SHARES** | **CLASS L SHARES** | **CLASS L SHARES** | **CLASS L SHARES** |
| Reinvestment of dividends and distributions | 1007 | 7834 | 1881 | 14337 |
| Redeemed | (2548) | (19908) | (1891) | (14373) |
| Net decrease — Class L | (1541) | (12074) | (10) | (36) |
| **CLASS I SHARES** | **CLASS I SHARES** | **CLASS I SHARES** | **CLASS I SHARES** | **CLASS I SHARES** |
| Sold | 23182115 | 179381597 | 33121861 | 252128864 |
| Reinvestment of dividends and distributions | 1738778 | 13462636 | 2165500 | 16442794 |
| Redeemed | (9362270) | (72330345) | (13167160) | (99279806) |
| Net increase — Class I | 15558623 | 120513888 | 22120201 | 169291852 |
| **CLASS C SHARES** | **CLASS C SHARES** | **CLASS C SHARES** | **CLASS C SHARES** | **CLASS C SHARES** |
| Sold | 384561 | 2993340 | 363212 | 2805677 |
| Reinvestment of dividends and distributions | 18121 | 141330 | 17916 | 137012 |
| Redeemed | (126507) | (982908) | (121125) | (921882) |
| Net increase — Class C | 276175 | 2151762 | 260003 | 2020807 |
| **CLASS R6 SHARES** | **CLASS R6 SHARES** | **CLASS R6 SHARES** | **CLASS R6 SHARES** | **CLASS R6 SHARES** |
| Sold | 1215005 | 9311235 | 587 | 4478 |
| Reinvestment of dividends and distributions | 32589 | 251902 | 92 | 695 |
| Redeemed | (54632) | (421809) | (4) | (32) |
| Net increase — Class R6 | 1192962 | 9141328 | 675 | 5141 |
| Net increase in Fund | 17986683 | $139328301 | 23791216 | $182233972 |

---

**9. Security Transactions and Transactions with Affiliates**

The cost of purchases and proceeds from sales of investment securities, excluding short-term investments, for the six months ended April 30, 2025, aggregated $1,503,390,155 and $1,366,819,085, respectively. Included in the aforementioned are purchases and sales of U.S. Government securities of $1,388,801,064 and $1,316,920,722, respectively.

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds — Government Portfolio (the "Liquidity Fund"), an open-end management investment company managed by the Adviser. 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 Fund due to its investment in the Liquidity Fund. For the six months ended April 30, 2025, advisory fees paid were reduced by $8,584 relating to the Fund's investment in the Liquidity Fund.

The Fund had transactions with Morgan Stanley and its affiliated broker-dealers, which may be deemed affiliates of the Adviser/Administrator and Distributor under Section 17 the Act.

A summary of the Fund's transactions in shares of affiliated investments during the six months ended April 30, 2025 is as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **AFFILIATED<br>INVESTMENT<br>COMPANY/<br>ISSUER** | **VALUE<br>OCTOBER 31,<br>2024** | **PURCHASES<br>AT COST** | **PROCEEDS<br>FROM SALES/<br>PAYDOWNS** | **DIVIDEND/<br>INTEREST<br>INCOME** | **REALIZED<br>GAIN<br>(LOSS)** | **CHANGE IN<br>UNREALIZED<br>APPRECIATION<br>(DEPRECIATION)** | **VALUE<br>APRIL 30,<br>2025** |
| Liquidity Fund | $53350722 | $165390043 | $203792533 | $257808 | $— | $— | $14948232 |
| Morgan <br>Stanley <br>Mortgage <br>Loan Trust | 56170 |  | 4582 | 1826 | (30) | (455) | 51103 |
| Total | $53406892 | $165390043 | $203797115 | $259634 | $(30) | $(455) | $14999335 |

---

The Fund has an unfunded noncontributory defined benefit pension plan covering certain independent Trustees of the Fund who will have served as independent Trustees for at least five years at the time of retirement. Benefits under this plan are based on factors which include years of service and compensation. The Trustees voted to close the plan to new participants and eliminate the future benefits growth due to increases to compensation after July 31, 2003. Aggregate pension costs for the six months ended April 30, 2025, included in "Trustees' fees and expenses" in the Statement of Operations amounted to $847. At April 30, 2025, the Fund had an accrued pension liability of $34,677, which is reflected as "Trustees' fees" in the Statement of Assets and Liabilities.

Each Trustee receives an annual retainer fee for serving as a Trustee of the Morgan Stanley Funds. The aggregate compensation paid to each Trustee is paid by the Morgan Stanley Funds, and is allocated on a pro rata basis among each of the operational funds of the Morgan Stanley Funds based on the relative net assets of each of the funds. The Fund also reimburses such Trustees for travel and other out-of-pocket expenses incurred by them in connection with attending such meetings.

The Fund has an unfunded Deferred Compensation Plan (the "Compensation Plan"), which allows each independent Trustee to defer payment of all, or a portion, of the fees he or she receives for serving on

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

the Board of Trustees. Each eligible Trustee generally may elect to have the deferred amounts credited with a return equal to the total return on one or more of the Morgan Stanley funds that are offered as investment options under the Compensation Plan. Appreciation/depreciation and distributions received from these investments are recorded with an offsetting increase/decrease in the deferred compensation obligation and do not affect the NAV of the Fund.

**10. Federal Income Tax Status**

It is the Fund's intention to continue to qualify as a regulated investment company and distribute all of its taxable and tax-exempt income. Accordingly, no provision for federal income taxes is required in the financial statements.

The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as such income and/or gains are earned. Taxes may also be based on transactions in foreign currency and are accrued based on the value of investments denominated in such currency.

FASB ASC 740-10, "Income Taxes — Overall", sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has concluded there are no significant uncertain tax positions that would require recognition in the financial statements. If applicable, the Fund recognizes interest accrued related to unrecognized tax benefits in "Interest Expense" and penalties in "Other Expenses" in the Statement of Operations. The Fund files tax returns with the U.S. Internal Revenue Service, New York and various states. Generally, each of the tax years in the four-year period ended October 31, 2024 remains subject to examination by taxing authorities.

The tax character of distributions paid may differ from the character of distributions shown for GAAP purposes due to short-term capital gains being treated as ordinary income for tax purposes. The tax character of distributions paid during fiscal years 2024 and 2023 was as follows:

---

| | |
|:---|:---|
| **2024 DISTRIBUTIONS PAID FROM:** | **2023 DISTRIBUTIONS PAID FROM:** |
| **ORDINARY<br>INCOME** | **ORDINARY<br>INCOME** |
| $19401023 | $11904632 |

---

The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from GAAP. These book/tax differences are either considered temporary or permanent in nature.

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

Temporary differences are attributable to differing book and tax treatments for the timing of the recognition of gains (losses) on certain investment transactions and the timing of the deductibility of certain expenses.

The Fund had no permanent differences causing reclassifications among the components of net assets for the year ended October 31, 2024.

At October 31, 2024, the components of distributable earnings for the Fund on a tax basis were as follows:

---

| | |
|:---|:---|
| **UNDISTRIBUTED<br>ORDINARY<br>INCOME** | **UNDISTRIBUTED<br>LONG-TERM<br>CAPITAL GAIN** |
| $2262209 | $— |

---

At October 31, 2024, the Fund had available for federal income tax purposes unused short-term and long-term capital losses of $8,486,320 and $8,294,238, respectively, that do not have an expiration date.

To the extent that capital loss carryforwards are used to offset any future capital gains realized, no capital gains tax liability will be incurred by the Fund for gains realized and not distributed. To the extent that capital gains are offset, such gains will not be distributed to the shareholders. During the year ended October 31, 2024, the Fund utilized capital loss carryforwards for U.S. federal income tax purposes of $5,356,499.

**11. Market Risk and Risks Relating to Certain Financial Instruments**

The Fund may invest in mortgage securities, including securities issued by the Federal National Mortgage Association ("FNMA") and Federal Home Loan Mortgage Corporation ("FHLMC"). These are fixed income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Fund. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages. The securities held by the Fund are not backed by sub-prime mortgages.

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States; rather, they are supported by the right of the issuer to borrow from the U.S. Department of the Treasury.

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

The Federal Housing Finance Agency ("FHFA") serves as conservator of FNMA and FHLMC and the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, fluctuations of exchange rates in relation to the U.S. dollar, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

The value of an investment in the Fund is based on the values of the Fund's investments, which change due to economic and other events that affect the U.S. and global markets generally, as well as those that affect or are perceived or expected to affect particular regions, countries, industries, companies, issuers, sectors, asset classes or governments. The risks associated with these developments may be magnified if certain social, political, economic and other conditions and events adversely interrupt or otherwise affect the global economy and financial markets. Securities in the Fund's portfolio may underperform or otherwise be adversely affected due to inflation (or expectations for inflation), deflation (or expectations for deflation), interest rates (or changes in interest rates), global demand for particular products or resources, market or financial system instability or uncertainty, embargoes, the threat or actual imposition of tariffs, sanctions and other trade barriers, natural disasters and extreme weather events, health emergencies (such as epidemics and pandemics), terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events, such as terrorist attacks, natural disasters, health emergencies, social and political (including geopolitical) discord and tensions or debt crises and downgrades, among others, may result in increased market volatility and may have long term effects on both the U.S. and global financial markets. The occurrence of such events may be sudden and unexpected, and it is difficult to predict when similar events affecting the U.S. or global financial markets or economies may occur, the effects that such events may have and the duration of those effects (which may last for extended periods). Any such event(s) could have a significant adverse impact on the value, liquidity and risk profile of the Fund's portfolio, as well as its ability to sell securities and/or meet redemptions. Any such event(s) or similar types of factors and developments, may also adversely affect the financial performance of the Fund's investments (and, in turn, the Fund's investment results) and/or negatively impact broad segments of businesses and populations and have a significant and rapid negative impact on the performance of the Fund's investments, and exacerbate preexisting risks to the Fund. In addition, no active trading market may exist for certain investments held by the Fund, which may impair the ability of the Fund to sell or to realize the current valuation of such investments in the event of the need to liquidate such assets.

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

**12. Credit Facility**

The Fund and other Morgan Stanley funds participated in a $500,000,000 committed, unsecured revolving line of credit facility (the "Facility") with State Street. This Facility is to be used for temporary emergency purposes or funding of shareholder redemption requests. The interest rate for any funds drawn will be based on the federal funds rate or overnight bank funding rate plus a spread. The Facility also has a commitment fee of 0.25% per annum based on the unused portion of the Facility, which is allocated among participating funds based on relative net assets. During the six months ended April 30, 2025, the Fund did not have any borrowings under the Facility.

**13. Other**

At April 30, 2025, the Fund had record owners of 10% or greater. Investment activities of these shareholders could have a material impact on the Fund. The aggregate percentage of such owners was 77.0%.

**14. LIBOR Discontinuance or Unavailability Risk**

The Fund's investments, payment obligations and financing terms may be based on floating rates, such as the London Interbank Offered Rates (collectively, "LIBOR"), Euro Interbank Offered Rate, Secured Overnight Financing Rate ("SOFR") and other similar types of reference rates (each, a "Reference Rate"). These Reference Rates are generally intended to represent the rate at which contributing banks may obtain short-term borrowings from each other within certain financial markets. LIBOR was the basic rate of interest used in lending transactions between banks on the London interbank market and was widely used as a reference for setting the interest rate on loans globally. As a result of benchmark reforms, publication of most LIBOR settings has ceased. Various financial industry groups have been planning for the transition from LIBOR and certain regulators and industry groups have taken actions to establish alternative reference rates (e.g., the SOFR, which measures the cost of overnight borrowings through repurchase agreement transactions collateralized with U.S. Treasury securities and is intended to replace U.S. dollar LIBORs with certain adjustments). There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR. These developments could negatively impact financial markets in general and present heightened risks, including with respect to the Fund's investments. As a result of the uncertainty and developments relating to the transition process, performance, price volatility, liquidity and value of the Fund and its assets may be adversely affected.

------

**Morgan Stanley Mortgage Securities Trust**

**Notes to Financial Statements** ◼ **April 30, 2025 (unaudited)** *continued*

**15. Subsequent Event**

At a meeting held on March 12-13, 2025, the Board of Trustees (the "Board") of the Fund (the "Acquired Fund") unanimously approved the reorganization of the Acquired Fund into a newly-created exchange-traded fund ("ETF"), which will be managed by the Adviser. The Board, which is comprised solely of Trustees who are not "interested persons" (as defined in the Investment Company Act of 1940, as amended) of the Acquired Fund, determined that participation in the Reorganization (as defined below) is in the best interests of the Acquired Fund and the interests of existing shareholders of the Acquired Fund will not be diluted as a result of the Reorganization.

Subject to shareholder approval, the Acquired Fund will be reorganized into a newly-created ETF, Eaton Vance Mortgage Opportunities ETF, a series of Morgan Stanley ETF Trust (the "Reorganization").

**Results of Special Shareholder Meeting**

On June 11, 2025, a Special Meeting of Shareholders of the Fund was scheduled to approve the Reorganization. The voting results were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FOR** | **FOR** | **AGAINST** | **AGAINST** | **ABSTAIN** | **ABSTAIN** |
| | 34,874,113 | | 564,333 | | 2,598,045 |

---

The Reorganization is anticipated to occur (after the close of trading) on or about August 1, 2025.

------

**Morgan Stanley Mortgage Securities Trust**

**Financial Highlights**

Selected ratios and per share data for a share of beneficial interest outstanding throughout each period:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** |
| | **FOR THE SIX**<br>**MONTHS ENDED**<br>**APRIL 30, 2025** | **2024** | **2023** | **2022** | **2021** | **2020** |
|  | *(unaudited)* |  |  |  |  |  |
| **Class A Shares** | **Class A Shares** | **Class A Shares** | **Class A Shares** | **Class A Shares** | **Class A Shares** | **Class A Shares** |
| **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** |
| Net asset value, beginning of period | $7.81 | $7.27 | $7.43 | $8.60 | $8.62 | $8.79 |
| Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: |
| Net investment income | 0.17 | 0.38 | 0.37 | 0.26 | 0.20 | 0.24 |
| Net realized and unrealized gain (loss) | 0.18 | 0.56 | (0.13) | (1.17) | (0.02) | (0.07) |
| Total income (loss) from investment <br>operations | 0.35 | 0.94 | 0.24 | (0.91) | 0.18 | 0.17 |
| Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: |
| Net investment income | (0.22) | (0.40) | (0.40) | (0.26) | (0.20) | (0.31) |
| Net realized gain |  |  |  |  |  | (0.03) |
| Total distributions | (0.22) | (0.40) | (0.40) | (0.26) | (0.20) | (0.34) |
| Net asset value, end of period | $7.94 | $7.81 | $7.27 | $7.43 | $8.60 | $8.62 |
| **Total Return** | 4.51%<sup>(1)(2)</sup> | 13.10%<sup>(1)(3)</sup> | 3.19%<sup>(1)</sup> | (10.77)%<sup>(1)</sup> | 2.04%<sup>(4)</sup> | 2.09%<sup>(4)</sup> |
| **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** |
| Net expenses | 1.00%<sup>(5)(6)(7)</sup> | 0.94%<sup>(6)(7)(8)</sup> | 1.00%<sup>(6)(7)</sup> | 0.99%<sup>(6)(7)</sup> | 0.99%<sup>(6)(7)</sup> | 0.99%<sup>(6)(7)</sup> |
| Net investment income | 4.33%<sup>(5)(6)(7)</sup> | 4.94%<sup>(6)(7)(8)</sup> | 4.98%<sup>(6)(7)</sup> | 3.15%<sup>(6)(7)</sup> | 2.25%<sup>(6)(7)</sup> | 2.84%<sup>(6)(7)</sup> |
| Rebate from Morgan Stanley affiliate | 0.00%<sup>(5)(9)</sup> | 0.01% | 0.00%<sup>(9)</sup> | 0.01% | 0.01% | 0.01% |
| **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** |
| Net assets, end of period, in thousands | $68069 | $59470 | $45123 | $39360 | $51289 | $48756 |
| Portfolio turnover rate | 258%<sup>(2)</sup> | 383% | 429% | 334% | 317% | 233% |

---

*(1) Does not reflect the deduction of sales charge. Calculated based on the net asset value as of the last business day of the period.*

*(2) Not annualized.*

*(3) Reflects prior period transfer agency and sub transfer agency fees that were reimbursed in 2024. The amount of the reimbursement was immaterial on a per share basis and the impact was less than 0.005% to the total return of Class A shares.*

*(4) Calculated using the NAV for US GAAP financial reporting purposes and as such differs from the total return presented in the Fund Report and Performance Summary. Does not reflect the deduction of sales charge.*

*(5) Annualized.*

*(6) If the Fund had borne all of its expenses that were waived by the Adviser/Administrator, the annualized expense and net investment income ratios would have been as follows:*

---

| | | |
|:---|:---|:---|
| *PERIOD ENDED* | *EXPENSE<br>RATIO* | *NET INVESTMENT<br>INCOME RATIO* |
| *April 30, 2025* | *1.06%* | *4.27%* |
| *October 31, 2024* | *1.08* | *4.80* |
| *October 31, 2023* | *1.20* | *4.78* |
| *October 31, 2022* | *1.19* | *2.95* |
| *October 31, 2021* | *1.15* | *2.09* |
| *October 31, 2020* | *1.16* | *2.67* |

---

*(7) The ratios reflect the rebate of certain Fund expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the rebate on the ratios is disclosed in the above table as "Rebate from Morgan Stanley affiliate."*

*(8) If the Fund had not received the reimbursement of transfer agency and sub transfer agency fees from the Adviser, the net expenses and net investment income ratios, would have been as follows for Class A shares:*

---

| | | |
|:---|:---|:---|
| *PERIOD ENDED* | *EXPENSE<br>RATIO* | *NET INVESTMENT<br>INCOME RATIO* |
| *October 31, 2024* | *0.99%* | *4.89%* |

---

*(9) Amount is less than 0.005%.*

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Financial Highlights** *continued*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** |
| | **FOR THE SIX**<br>**MONTHS ENDED**<br>**APRIL 30, 2025** | **2024** | **2023** | **2022** | **2021** | **2020** |
|  | *(unaudited)* |  |  |  |  |  |
| **Class L Shares** | **Class L Shares** | **Class L Shares** | **Class L Shares** | **Class L Shares** | **Class L Shares** | **Class L Shares** |
| **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** |
| Net asset value, beginning of period | $7.73 | $7.20 | $7.37 | $8.52 | $8.55 | $8.71 |
| Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: |
| Net investment income | 0.16 | 0.35 | 0.35 | 0.24 | 0.17 | 0.22 |
| Net realized and unrealized gain (loss) | 0.18 | 0.55 | (0.14) | (1.15) | (0.03) | (0.06) |
| Total income (loss) from investment <br>operations | 0.34 | 0.90 | 0.21 | (0.91) | 0.14 | 0.16 |
| Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: |
| Net investment income | (0.21) | (0.37) | (0.38) | (0.24) | (0.17) | (0.29) |
| Net realized gain |  |  |  |  |  | (0.03) |
| Total distributions | (0.21) | (0.37) | (0.38) | (0.24) | (0.17) | (0.32) |
| Net asset value, end of period | $7.86 | $7.73 | $7.20 | $7.37 | $8.52 | $8.55 |
| **Total Return** | 4.40%<sup>(1)(2)</sup> | 12.76%<sup>(1)(3)</sup> | 2.83%<sup>(1)</sup> | (10.90)%<sup>(1)</sup> | 1.64%<sup>(4)</sup> | 1.93%<sup>(4)</sup> |
| **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** |
| Net expenses | 1.30%<sup>(5)(6)(7)</sup> | 1.23%<sup>(6)(7)(8)</sup> | 1.29%<sup>(6)(7)</sup> | 1.29%<sup>(6)(7)</sup> | 1.29%<sup>(6)(7)</sup> | 1.29%<sup>(6)(7)</sup> |
| Net investment income | 4.03%<sup>(5)(6)(7)</sup> | 4.65%<sup>(6)(7)(8)</sup> | 4.68%<sup>(6)(7)</sup> | 2.88%<sup>(6)(7)</sup> | 1.99%<sup>(6)(7)</sup> | 2.58%<sup>(6)(7)</sup> |
| Rebate from Morgan Stanley affiliate | 0.00%<sup>(5)(9)</sup> | 0.01% | 0.01% | 0.01% | 0.01% | 0.01% |
| **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** |
| Net assets, end of period, in thousands | $295 | $302 | $282 | $755 | $996 | $1144 |
| Portfolio turnover rate | 258%<sup>(2)</sup> | 383% | 429% | 334% | 317% | 233% |

---

*(1) Calculated based on the net asset value as of the last business day of the period.*

*(2) Not annualized.*

*(3) Reflects prior period transfer agency and sub transfer agency fees that were reimbursed in 2024. The amount of the reimbursement was immaterial on a per share basis and the impact was less than 0.005% to the total return of Class L shares.*

*(4) Calculated using the NAV for US GAAP financial reporting purposes and as such differs from the total return presented in the Fund Report and Performance Summary.*

*(5) Annualized.*

*(6) If the Fund had borne all of its expenses that were waived by the Adviser/Administrator, the annualized expense and net investment income ratios would have been as follows:*

---

| | | |
|:---|:---|:---|
| *PERIOD ENDED* | *EXPENSE<br>RATIO* | *NET INVESTMENT<br>INCOME RATIO* |
| *April 30, 2025* | *2.17%* | *3.16%* |
| *October 31, 2024* | *2.24* | *3.64* |
| *October 31, 2023* | *2.22* | *3.75* |
| *October 31, 2022* | *1.67* | *2.50* |
| *October 31, 2021* | *1.61* | *1.67* |
| *October 31, 2020* | *1.53* | *2.34* |

---

*(7) The ratios reflect the rebate of certain Fund expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the rebate on the ratios is disclosed in the above table as "Rebate from Morgan Stanley affiliate."*

*(8) If the Fund had not received the reimbursement of transfer agency and sub transfer agency fees from the Adviser, the net expenses and net investment income ratios, would have been as follows for Class L shares:*

---

| | | |
|:---|:---|:---|
| *PERIOD ENDED* | *EXPENSE<br>RATIO* | *NET INVESTMENT<br>INCOME RATIO* |
| *October 31, 2024* | *1.29%* | *4.59%* |

---

*(9) Amount is less than 0.005%.*

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Financial Highlights** *continued*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** |
| | **FOR THE SIX**<br>**MONTHS ENDED**<br>**APRIL 30, 2025** | **2024** | **2023** | **2022** | **2021** | **2020** |
|  | *(unaudited)* |  |  |  |  |  |
| **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
| **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** |
| Net asset value, beginning of period | $7.69 | $7.16 | $7.31 | $8.45 | $8.48 | $8.64 |
| Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: |
| Net investment income | 0.18 | 0.40 | 0.39 | 0.28 | 0.23 | 0.27 |
| Net realized and unrealized gain (loss) | 0.18 | 0.55 | (0.12) | (1.14) | (0.04) | (0.06) |
| Total income (loss) from investment <br>operations | 0.36 | 0.95 | 0.27 | (0.86) | 0.19 | 0.21 |
| Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: |
| Net investment income | (0.23) | (0.42) | (0.42) | (0.28) | (0.22) | (0.34) |
| Net realized gain |  |  |  |  |  | (0.03) |
| Total distributions | (0.23) | (0.42) | (0.42) | (0.28) | (0.22) | (0.37) |
| Net asset value, end of period | $7.82 | $7.69 | $7.16 | $7.31 | $8.45 | $8.48 |
| **Total Return** | 4.74%<sup>(1)(2)</sup> | 13.51%<sup>(1)(3)</sup> | 3.58%<sup>(1)</sup> | (10.33)%<sup>(1)</sup> | 2.28%<sup>(4)</sup> | 2.58%<sup>(4)</sup> |
| **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** |
| Net expenses | 0.70%<sup>(5)(6)(7)</sup> | 0.64%<sup>(6)(7)(8)</sup> | 0.70%<sup>(6)(7)</sup> | 0.69%<sup>(6)(7)</sup> | 0.69%<sup>(6)(7</sup>) | 0.69%<sup>(6)(7)</sup> |
| Net investment income | 4.63%<sup>(5)(6)(7)</sup> | 5.24%<sup>(6)(7)(8)</sup> | 5.27%<sup>(6)(7)</sup> | 3.57%<sup>(6)(7)</sup> | 2.59%<sup>(6)(7)</sup> | 3.20%<sup>(6)(7)</sup> |
| Rebate from Morgan Stanley affiliate | 0.00%<sup>(5)(9)</sup> | 0.01% | 0.00%<sup>(9)</sup> | 0.01% | 0.01% | 0.01% |
| **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** |
| Net assets, end of period, in thousands | $534054 | $405824 | $219485 | $136895 | $135147 | $116307 |
| Portfolio turnover rate | 258%<sup>(2)</sup> | 383% | 429% | 334% | 317% | 233% |

---

*(1) Calculated based on the net asset value as of the last business day of the period.*

*(2) Not annualized.*

*(3) Reflects prior period transfer agency and sub transfer agency fees that were reimbursed in 2024. The amount of the reimbursement was immaterial on a per share basis and the impact was less than 0.005% to the total return of Class I shares.*

*(4) Calculated using the NAV for US GAAP financial reporting purposes and as such differs from the total return presented in the Fund Report and Performance Summary.*

*(5) Annualized.*

*(6) If the Fund had borne all of its expenses that were waived by the Adviser/Administrator, the annualized expense and net investment income ratios would have been as follows:*

---

| | | |
|:---|:---|:---|
| *PERIOD ENDED* | *EXPENSE<br>RATIO* | *NET INVESTMENT<br>INCOME RATIO* |
| *April 30, 2025* | *0.77%* | *4.56%* |
| *October 31, 2024* | *0.81* | *5.07* |
| *October 31, 2023* | *0.91* | *5.06* |
| *October 31, 2022* | *0.91* | *5.06* |
| *October 31, 2021* | *0.87* | *2.41* |
| *October 31, 2020* | *0.91* | *2.98* |

---

*(7) The ratios reflect the rebate of certain Fund expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the rebate on the ratios is disclosed in the above table as "Rebate from Morgan Stanley affiliate."*

*(8) If the Fund had not received the reimbursement of transfer agency and sub transfer agency fees from the Adviser, the net expenses and net investment income ratios, would have been as follows for Class I shares:*

---

| | | |
|:---|:---|:---|
| *PERIOD ENDED* | *EXPENSE<br>RATIO* | *NET INVESTMENT<br>INCOME RATIO* |
| *October 31, 2024* | *0.69%* | *5.19%* |

---

*(9) Amount is less than 0.005%.*

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Financial Highlights** *continued*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** |
| | **FOR THE SIX**<br>**MONTHS ENDED**<br>**APRIL 30, 2025** | **2024** | **2023** | **2022** | **2021** | **2020** |
|  | *(unaudited)* |  |  |  |  |  |
| **Class C Shares** | **Class C Shares** | **Class C Shares** | **Class C Shares** | **Class C Shares** | **Class C Shares** | **Class C Shares** |
| **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** |
| Net asset value, beginning of period | $7.75 | $7.21 | $7.37 | $8.53 | $8.55 | $8.72 |
| Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: |
| Net investment income | 0.14 | 0.32 | 0.31 | 0.20 | 0.13 | 0.18 |
| Net realized and unrealized gain (loss) | 0.17 | 0.56 | (0.13) | (1.16) | (0.02) | (0.07) |
| Total income (loss) from investment <br>operations | 0.31 | 0.88 | 0.18 | (0.96) | 0.11 | 0.11 |
| Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: |
| Net investment income | (0.19) | (0.34) | (0.34) | (0.20) | (0.13) | (0.25) |
| Net realized gain |  |  |  |  |  | (0.03) |
| Total distributions | (0.19) | (0.34) | (0.34) | (0.20) | (0.13) | (0.28) |
| Net asset value, end of period | $7.87 | $7.75 | $7.21 | $7.37 | $8.53 | $8.55 |
| **Total Return** | 4.03%<sup>(1)(2)</sup> | 12.33%<sup>(1)(3)</sup> | 2.41%<sup>(1)</sup> | (11.46)%<sup>(1)</sup> | 1.25%<sup>(4)</sup> | 1.33%<sup>(4)</sup> |
| **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** |
| Net expenses | 1.76%<sup>(5)(6)(7)</sup> | 1.74%<sup>(6)(7)(8)</sup> | 1.80%<sup>(6)(7)</sup> | 1.79%<sup>(6)(7)</sup> | 1.79%<sup>(6)(7)</sup> | 1.76%<sup>(6)(7)</sup> |
| Net investment income | 3.57%<sup>(5)(6)(7)</sup> | 4.14%<sup>(6)(7)(8)</sup> | 4.17%<sup>(6)(7)</sup> | 2.45%<sup>(6)(7)</sup> | 1.52%<sup>(6)(7)</sup> | 2.10%<sup>(6)(7)</sup> |
| Rebate from Morgan Stanley affiliate | 0.00%<sup>(5)(9)</sup> | 0.01% | 0.00%<sup>(9)</sup> | 0.01% | 0.01% | 0.01% |
| **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** |
| Net assets, end of period, in thousands | $6887 | $4637 | $2443 | $2978 | $2695 | $5110 |
| Portfolio turnover rate | 258%<sup>(2)</sup> | 383% | 429% | 334% | 317% | 233% |

---

*(1) Does not reflect the deduction of sales charge. Calculated based on the net asset value as of the last business day of the period.*

*(2) Not annualized.*

*(3) Reflects prior period transfer agency and sub transfer agency fees that were reimbursed in 2024. The amount of the reimbursement was immaterial on a per share basis and the impact was less than 0.005% to the total return of Class C shares.*

*(4) Calculated using the NAV for US GAAP financial reporting purposes and as such differs from the total return presented in the Fund Report and Performance Summary.*

*(5) Annualized.*

*(6) If the Fund had borne all of its expenses that were waived by the Adviser/Administrator, the annualized expense and net investment income ratios would have been as follows:*

---

| | | |
|:---|:---|:---|
| *PERIOD ENDED* | *EXPENSE<br>RATIO* | *NET INVESTMENT<br>INCOME RATIO* |
| *April 30, 2025* | *1.79%* | *3.54%* |
| *October 31, 2024* | *1.87* | *4.01* |
| *October 31, 2023* | *2.01* | *3.96* |
| *October 31, 2022* | *1.98* | *2.26* |
| *October 31, 2021* | *1.94* | *1.37* |
| *October 31, 2020* | *1.90* | *1.96* |

---

*(7) The ratios reflect the rebate of certain Fund expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the rebate on the ratios is disclosed in the above table as "Rebate from Morgan Stanley affiliate."*

*(8) If the Fund had not received the reimbursement of transfer agency and sub transfer agency fees from the Adviser, the net expenses and net investment income ratios, would have been as follows for Class C shares:*

---

| | | |
|:---|:---|:---|
| *PERIOD ENDED* | *EXPENSE<br>RATIO* | *NET INVESTMENT<br>INCOME RATIO* |
| *October 31, 2024* | *1.79%* | *4.09%* |

---

*(9) Amount is less than 0.005%.*

See Notes to Financial Statements

------

**Morgan Stanley Mortgage Securities Trust**

**Financial Highlights** *continued*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** | **FOR THE YEAR ENDED OCTOBER 31,** |
| | **FOR THE SIX**<br>**MONTHS ENDED**<br>**APRIL 30, 2025** | **2024** | **2023** | **2022** | **2021** | **2020** |
|  | *(unaudited)* |  |  |  |  |  |
| **Class R6 Shares** **<sup>(1)</sup>** | **Class R6 Shares** **<sup>(1)</sup>** | **Class R6 Shares** **<sup>(1)</sup>** | **Class R6 Shares** **<sup>(1)</sup>** | **Class R6 Shares** **<sup>(1)</sup>** | **Class R6 Shares** **<sup>(1)</sup>** | **Class R6 Shares** **<sup>(1)</sup>** |
| **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** | **Selected Per Share Data:** |
| Net asset value, beginning of period | $7.67 | $7.15 | $7.30 | $8.45 | $8.47 | $8.64 |
| Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: | Income (loss) from investment operations: |
| Net investment income | 0.18 | 0.40 | 0.39 | 0.29 | 0.23 | 0.27 |
| Net realized and unrealized gain (loss) | 0.18 | 0.54 | (0.11) | (1.15) | (0.03) | (0.07) |
| Total income (loss) from investment <br>operations | 0.36 | 0.94 | 0.28 | (0.86) | 0.20 | 0.20 |
| Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: | Less distributions from: |
| Net investment income | (0.23) | (0.42) | (0.43) | (0.29) | (0.22) | (0.34) |
| Net realized gain |  |  |  |  |  | (0.03) |
| Total distributions | (0.23) | (0.42) | (0.43) | (0.29) | (0.22) | (0.37) |
| Net asset value, end of period | $7.80 | $7.67 | $7.15 | $7.30 | $8.45 | $8.47 |
| **Total Return** | 4.78%<sup>(2)(3)</sup> | 13.45%<sup>(2)(4)</sup> | 3.76%<sup>(2)</sup> | (10.41)%<sup>(2)</sup> | 2.43%<sup>(5)</sup> | 2.51%<sup>(5)</sup> |
| **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** | **Ratios to Average Net Assets:** |
| Net expenses | 0.65%<sup>(6)(7)(8)</sup> | 0.59%<sup>(7)(8)(9)</sup> | 0.65%<sup>(7)(8)</sup> | 0.64%<sup>(7)(8)</sup> | 0.65%<sup>(7)(8)</sup> | 0.64%<sup>(7)(8)</sup> |
| Net investment income | 4.68%<sup>(6)(7)(8)</sup> | 5.29%<sup>(7)(8)(9)</sup> | 5.33%<sup>(7)(8)</sup> | 3.59%<sup>(7)(8)</sup> | 2.63%<sup>(7)(8)</sup> | 3.26%<sup>(7)(8)</sup> |
| Rebate from Morgan Stanley affiliate | 0.00%<sup>(6)(10)</sup> | 0.01% | 0.00%<sup>(10)</sup> | 0.01% | 0.00%<sup>(10)</sup> | 0.01% |
| **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** | **Supplemental Data:** |
| Net assets, end of period, in thousands | $9326 | $16 | $10 | $10 | $11 | $11 |
| Portfolio turnover rate | 258%<sup>(3)</sup> | 383% | 429% | 334% | 317% | 233% |

---

*(1) Effective April 29, 2022, Class IS shares were renamed Class R6 shares.*

*(2) Calculated based on the net asset value as of the last business day of the period.*

*(3) Not annualized.*

*(4) Reflects prior period transfer agency fees that were reimbursed in 2024. The amount of the reimbursement was immaterial on a per share basis and the impact was less than 0.005% to the total return of Class R6 shares.*

*(5) Calculated using the NAV for US GAAP financial reporting purposes and as such differs from the total return presented in the Fund Report and Performance Summary.*

*(6) Annualized.*

*(7) If the Fund had borne all of its expenses that were waived by the Adviser/Administrator, the annualized expense and net investment income/loss ratios would have been as follows:*

---

| | | |
|:---|:---|:---|
| *PERIOD ENDED* | *EXPENSE<br>RATIO* | *NET INVESTMENT<br>INCOME (LOSS) <br>RATIO* |
| *April 30, 2025* | *0.86%* | *4.47%* |
| *October 31, 2024* | *30.00* | *(24.12*<br>*)* |
| *October 31, 2023* | *26.50* | *(20.52*<br>*)* |
| *October 31, 2022* | *20.23* | *(16.00*<br>*)* |
| *October 31, 2021* | *20.64* | *(17.36*<br>*)* |
| *October 31, 2020* | *19.93* | *(16.03*<br>*)* |

---

*(8) The ratios reflect the rebate of certain Fund expenses in connection with investments in a Morgan Stanley affiliate during the period. The effect of the rebate on the ratios is disclosed in the above table as "Rebate from Morgan Stanley affiliate."*

*(9) If the Fund had not received the reimbursement of transfer agency fees from the Adviser, the net expenses and net investment income ratios, would have been as follows for Class R6 shares:*

---

| | | |
|:---|:---|:---|
| *PERIOD ENDED* | *EXPENSE<br>RATIO* | *NET INVESTMENT<br>INCOME RATIO* |
| *October 31, 2024* | *0.64%* | *5.24%* |

---

*(10) Amount is less than 0.005%.*

See Notes to Financial Statements

------

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 1 (800) 869-6397.

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.© 2025 Morgan Stanley

![](j25146354_za003.jpg)

MTGAX-NCSR 4.30.25

------

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

Not applicable<u>.</u>

**Item 9. Proxy Disclosures for Open-End Management Investment Companies**

Not applicable.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies**

The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.

**Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract**

Not applicable

**Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies**

Not applicable.

**Item 13. Portfolio Managers of Closed-End Management Investment Companies**

Not applicable.

**Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers**

Not applicable.

**Item 15. Submission of Matters to a Vote of Security Holders**

There have been no material changes to the procedures by which shareholders may recommend nominee to the Fund's Board of Trustees since the Fund last provided disclosure in response to this item.

**Item 16. Controls and Procedures**

(a) It is the conclusion of the registrant's principal executive officer and principal financial officer that the effectiveness
of the registrant's current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within
90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been
recorded, processed, summarized and reported within the time period specified in the Commission's rules and forms and that
the information required to be disclosed by the registrant has been accumulated and communicated to the registrant's principal executive
officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant's internal controls over financial reporting during the period covered by this
report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial
reporting.

**Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies**

Not applicable.

**Item 18. Recovery of Erroneously Awarded Compensation**

Not applicable.

**Item 19. Exhibits**

(a)(1) Registrant's Code of Ethics – Not applicable (please see Item 2).

[(a)(2)(i)](tm2514635d3_ex99-cert.htm) [Principal Financial Officer's Section 302 certification.](tm2514635d3_ex99-cert.htm)

---

| | |
|:---|:---|
| [(a)(2)(ii)](tm2514635d3_ex99-cert.htm#ss_001) | [Principal Executive Officer's Section 302 certification.](tm2514635d3_ex99-cert.htm#ss_001) |

---

[(b)](tm2514635d3_ex99-906cert.htm) [Combined Section 906 certification.](tm2514635d3_ex99-906cert.htm)

**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.

---

| | |
|:---|:---|
| Morgan Stanley Mortgage Securities Trust | Morgan Stanley Mortgage Securities Trust |
| By: | /s/ John H. Gernon |
|  | John H. Gernon |
|  | Principal Executive Officer |
| Date: | June 16, 2025 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By: | /s/ Francis J. Smith |
|  | Francis J. Smith |
|  | Principal Financial Officer |
| Date: | June 16, 2025 |
| By: | /s/ John H. Gernon |
|  | John H. Gernon |
|  | Principal Executive Officer |
| Date: | June 16, 2025 |

---

## Ex-99.Cert

**Exhibit 99.CERT**

**MORGAN STANLY Mortgage Securities Trust**

**FORM N-CSR**

**Exhibit 19(a)(2)(i)**

**<u>CERTIFICATION</u>**

I, Francis J. Smith, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of Morgan Stanley Mortgage Securities Trust;

&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period
covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material
respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required
to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about
the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based
on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period
covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over
financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the
registrant's board of trustees (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal
control over financial reporting.

---

| | |
|:---|:---|
| Date: June 16, 2025 | /s/ Francis J. Smith |
|  | Francis J. Smith |
|  | Principal Financial Officer |

---

**MORGAN STANLEY Mortgage Securities Trust**

**FORM N-CSR**

**Exhibit 19(a)(2)(ii)**

**<u>CERTIFICATION</u>**

I, John H. Gernon, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of Morgan Stanley Mortgage Securities Trust;

&nbsp;&nbsp;&nbsp;&nbsp;2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary
to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period
covered by this report;

&nbsp;&nbsp;&nbsp;&nbsp;3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material
respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required
to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures
(as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision,
to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others
within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about
the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based
on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period
covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over
financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the
registrant's board of trustees (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which
are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal
control over financial reporting.

---

| | |
|:---|:---|
| Date: June 16, 2025 | /s/ John H. Gernon |
|  | John H. Gernon |
|  | Principal Executive Officer |

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## Exhibit 99.906

**Exhibit 99.906CERT**

**Form N-CSR Item 19(b) Exhibit**

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

The undersigned hereby certify in their capacity as Principal Financial Officer and Principal Executive Officer, respectively, of Morgan Stanley Mortgage Securities Trust that:

(a) the Semiannual Report of the **Morgan Stanley Mortgage Securities Trust** on Form N-CSR for the period ended April 30,
2025 (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange
Act of 1934, as amended; and

(b) the information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations
of the **Morgan Stanley Mortgage Securities Trust** for such period.

**A signed original of this written statement required by section 906 has been provided to the Morgan Stanley Mortgage Securities Trust and will be retained by the Morgan Stanley Mortgage Securities Trust and furnished to the Securities and Exchange Commission or its staff upon request.**

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| |
|:---|
| Morgan Stanley Mortgage Securities Trust |
| Date: June 16, 2025 |
| /s/ Francis J. Smith |
| Francis J. Smith |
| Principal Financial Officer |
| Date: June 16, 2025 |
| /s/ John H. Gernon |
| John H. Gernon |
| Principal Executive Officer |

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