Semi-Annual Report 2005 Morgan Stanley SICAV

952347-1-007 x-cat 8/22/05 17:51 Page A

Morgan Stanley Investment Management

Semi-annual report 2005 Morgan Stanley SICAV

Société d’Investissement à Capital Variable 5incorporated under the laws of Luxembourg

Table of contents

1 Shareholders’ Information

2 Equity Funds

49 Bond Funds

85 Liquidity Funds

89 Asset Allocation Funds

95 Currency Exchange Contracts and Futures Contracts

98 Financial Statements

125 Other Information Report 952347-1-007 x-cat 8/22/05 17:51 Page i 952347-1-007 x-cat 8/22/05 17:51 Page ii

Morgan Stanley SICAV 30 June 2005

Table of contents

1 Shareholders’ information Liquidity Funds

85 Euro Liquidity Fund

87 US Dollar Liquidity Fund STATEMENT OF INVESTMENTS

Asset Allocation Funds Equity Funds 89 Global Diversiﬁed (Euro) Fund 2 Asian Equity Fund 92 Global Diversiﬁed (USD) Fund 4 Asian Property Fund

6 Emerging Europe and Middle East Equity Fund

8 Emerging Markets Equity Fund CURRENCY EXCHANGE CONTRACTS AND FUTURES CONTRACTS 11 European Equity Fund

13 European Property Fund 95 Open forward foreign currency exchange contracts

15 European Small Cap Value Fund 97 Open futures contracts

17 European Value Equity Fund

19 Global Brands Fund FINANCIAL STATEMENTS 20 Global Small Cap Value Fund 98 Statement of assets and liabilities 23 Global Value Equity Fund 103 Statement of changes in number of shares 25 Japanese Equity Growth Fund 109 Statement of operations and changes in net assets 29 Japanese Value Equity Fund 115 Statement of share and net assets statistics 31 Latin American Equity Fund 120 Notes to the ﬁnancial statements 33 US Equity Fund

36 US Equity Growth Fund OTHER INFORMATION 39 US Property Fund 125 Directors and service providers 41 US Small Cap Growth Fund 126 Paying and information agents 44 US Value Equity Fund 127 Appendix 1: fund expense ratios 47 World Equity Fund

Bond Funds

49 Emerging Markets Debt Fund

52 Euro Bond Fund

55 Euro Corporate Bond Fund

58 Euro Strategic Bond Fund

61 European Currencies High Yield Bond Fund

64 Global Bond Fund

68 Global Convertible Bond (Euro) Fund

71 Global Convertible Bond (USD) Fund

74 Short Maturity Euro Bond Fund

76 US Bond Fund

82 US Dollar Short Duration Fund 952347-1-007 x-cat 8/22/05 17:51 Page iii

1 Morgan Stanley SICAV 30 June 2005

Shareholders’ information

The annual general meeting of shareholders In Switzerland, the list of the purchases and sales of investments which the Company has undertaken during the ﬁnancial period of the Company is held at the registered ofﬁce can be obtained, upon request and free of charge, from the Swiss of the Company and will be held on the second representative, Bank Morgan Stanley A.G., Bahnhofstrasse 92, 8023 Zurich, Switzerland. Tuesday of the month of May at 10.30 am, or if such day is not a bank business day on the The investment aims set out in this annual report are summaries only. The complete investment objectives and policies for each following bank business day. Fund are set out in the Company’s current prospectus.

Notices of all general meetings are sent by mail to all registered • SHARE CLASSES OPENED IN THE SIX MONTHS shareholders at their registered address at least 8 days prior to the TO 30 JUNE 2005 meeting. Such notices will indicate the time and place of the meeting as well as the conditions of admission thereto. Said Classes AX and IX of the Global Bond Fund, Euro Strategic Bond notices will also contain the agenda and requirements of Fund, US Property Fund, US Bond Fund, Japanese Value Equity Luxembourg law with regard to the necessary quorum and Fund, US Value Equity Fund, Emerging Markets Equity Fund, majorities at the meeting. To the extent required by law, further European Property Fund, Japanese Equity Growth Fund, notices will be published in the Mémorial C, Recueil Spécial des Emerging Europe and Middle East Equity Fund and European Small Sociétés et Associations du Journal Ofﬁciel du Grand-Duchy de Cap Value Fund were opened for subscriptions on 1 June 2005. Luxembourg and in one Luxembourg newspaper.

Audited financial statements to the shareholders in respect of the preceding financial year are made available at the registered office of the Company and are sent to holders of registered Shares at their registered address. In addition, unaudited semi-annual reports are also made available at the registered office.

The Company’s ﬁnancial year end is 31 December.

Any other notices relevant to the Company are also published in a Luxembourg newspaper or mailed to affected shareholders.

The net asset value per share of each Class of Share is available on each dealing day during Luxembourg business hours at the registered ofﬁce of the Company, and is published daily in several leading ﬁnancial newspapers world-wide.

No subscriptions can be received on the basis of ﬁnancial reports. Subscriptions are only valid if made on the basis of the current prospectus supplemented by the latest annual report and the most recent semi-annual report, if published thereafter.

In Switzerland, Bank Morgan Stanley A.G. carries out the functions of Swiss representative of the Company as well as those of paying agent. The prospectus, the articles of association, the annual and semi-annual reports of the Company may be obtained, upon request and free of charge, at the Swiss representative’s registered ofﬁce, Bank Morgan Stanley A.G., Bahnhofstrasse 92, 8023 Zurich, Switzerland. 952347-1-007 x-cat 8/22/05 17:51 Page 2

Morgan Stanley SICAV 30 June 2005 2

Asian Equity Fund

INVESTMENT AIMS* STATEMENT OF INVESTMENTS To seek long term capital appreciation, Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed measured in US Dollars, through investment in US dollars.

primarily in the equity securities of companies Market % of net Investment Holding value assets domiciled in or exercising the predominant South Korea Samsung Electronics 41,639 19,919,301 5.24 part of their economic activity in Asia, Hyundai Mobis 124,130 8,354,268 2.18 Hankook Tire 664,760 8,046,773 2.10 excluding Japan, thereby taking advantage Samsung SDI 54,170 5,093,601 1.33 Orion 31,690 4,710,613 1.23 of the dynamic economic growth capabilities Samsung Electronics Pfd 11,100 3,649,300 0.95 KT&G 90,640 3,554,854 0.93 of the region. Shinhan Financial Group 132,210 3,444,002 0.90 Hyundai Motor 56,450 3,143,248 0.82 Doosan Heavy Industries and Construction 175,650 2,891,638 0.76 Daishin Securities Pfd 274,150 2,654,820 0.69 SK 43,150 2,289,856 0.60 CHANGE IN NET ASSET VALUE PER SHARE Cheil Industries 139,540 2,256,639 0.59 Samsung Fire & Marine Insurance 25,480 2,070,181 0.54 For the six months ended 30 June 2005 STX Shipbuilding 84,860 2,013,335 0.53 Pusan Bank 225,000 2,004,551 0.52 Hyundai Heavy Industries 39,740 2,001,143 0.52 4.62% 4.24% 3.74% 5.40% GS Engineering & Construction 43,030 1,420,930 0.37 6 Doosan Infracore 144,610 1,271,543 0.33 Handsome 126,380 1,200,589 0.31 Korean Air Lines 63,180 1,073,751 0.28 Hynix Semiconductor 61,550 1,013,267 0.26 S-Oil 12,360 987,459 0.26 5 Kumho Tire GDR 121,420 883,938 0.23 Hyundai Motor Pfd 23,230 832,334 0.22 AB I Samsung Heavy Industries 89,170 812,560 0.21 Daelim Industrial 14,340 769,318 0.20 Daishin Securities 53,880 730,470 0.19 4 Hanmi Pharm 10,740 730,110 0.19

Total for South Korea 23.48

3 Hong Kong Esprit Holdings 1,990,000 14,400,625 3.73 New World Development 10,016,800 12,306,601 3.22 Techtronic Industries 2,826,000 7,143,984 1.87 Great Eagle Holdings 2,374,000 5,940,268 1.55 2 Hysan Development 2,728,000 5,667,906 1.48 China Mobile (Hong Kong) 1,044,000 3,888,256 1.02 Cheung Kong Holdings 371,000 3,615,449 0.95 Li & Fung 1,724,000 3,581,917 0.94 Hutchison Whampoa 396,000 3,578,881 0.94 1 Sun Hung Kai Properties 361,000 3,564,440 0.93 Henderson Land Development 648,000 3,101,157 0.81 Swire Paciﬁc ‘A’ 302,000 2,671,071 0.70 TPV Technology 2,955,000 1,981,515 0.52 Global Bio-Chem Technology Group 2,938,000 1,823,706 0.48 0 Grande Holdings 1,921,000 1,791,724 0.47 I AB Lifestyle International Holdings 1,066,500 1,756,211 0.46 NWS Holdings 1,108,000 1,610,734 0.42 China Travel International Investment 5,132,000 1,551,530 0.41 I Fund (net of expenses) Class I shares Fountain SET Holdings 2,915,000 1,500,045 0.39 A Fund (net of expenses) Class A shares GOME Electrical Appliances Holdings 1,576,000 1,358,428 0.36 Hopewell Highway Infrastructure 1,099,000 791,756 0.21 B Fund (net of expenses) Class B shares Luen Thai Holdings 1,800,000 683,125 0.18 Moulin Global Eyecare Holdings (1) 2,942,000 0 0.00 MSCI Asia Combined Far East Free ex Japan Index (expressed in US dollars) Total for Hong Kong 22.04

Taiwan * Investment objective changed on 17 May 2005. Prior to that date, the Fund’s investment aim Hon Hai Precision Industry 1,436,955 7,470,894 1.93 was: “To seek long-term capital appreciation, measured in US Dollars, through investment in the Shin Kong Financial Holding 6,178,397 6,248,695 1.63 stock markets of Asia, excluding Japan, thereby taking advantage of the dynamic economic Asia Optical 762,652 5,290,838 1.38 growth capabilities of the region.” United Microelectronics 6,870,000 4,993,995 1.31 Cathay Financial Holding 2,275,000 4,587,389 1.20 MediaTek 509,653 4,421,610 1.16 Taiwan Semiconductor Manufacturing 2,519,178 4,387,064 1.15 Please refer to the prospectus for a full disclosure of the investment aim. Mega Financial Holding 6,229,000 4,104,761 1.07 952347-1-007 x-cat 8/22/05 17:51 Page 3

3 Morgan Stanley SICAV 30 June 2005

Asian Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Singapore (continued) City Developments 588,000 2,616,978 0.68 in US dollars. SembCorp Industries 1,567,920 2,484,257 0.65 Wing Tai Holdings 3,861,666 2,280,128 0.60 Market % of net Venture 221,000 2,098,330 0.55 Investment Holding value assets Unisteel Technology 1,118,000 1,127,852 0.29 GES International 2,562,000 1,109,848 0.29 Taiwan (continued) YHI International 3,950,400 937,697 0.25 Catcher Technology 708,200 4,096,100 1.07 Suntec Real Estate Investment Trust 1,259,000 911,480 0.24 Chinatrust Financial Holding 2,955,632 3,222,797 0.84 Huan Hsin Holdings 1,369,000 682,408 0.18 Delta Electronics 2,060,835 3,201,329 0.84 Brilliant Manufacturing 2,099,000 585,426 0.15 Ya Hsin Industrial 3,007,436 2,899,077 0.76 Oversea-Chinese Banking - Rts 148,400 568,009 0.15 Taiwan Mobile 1,923,000 1,981,346 0.52 Total Automation 2,224,000 560,900 0.15 Taishin Financial Holdings 2,286,935 1,919,030 0.50 Asiatravel.com Holdings 3,581,000 467,507 0.12 Far EasTone Telecommunications 1,494,000 1,912,358 0.50 Asiatravel.com Holdings Wts exp. 17/05/2010 895,250 18,594 0.00 Springsoft 850,811 1,774,764 0.46 Tsann Kuen Enterprise 1,263,975 1,741,761 0.46 Total for Singapore 8.69 Infortrend Technology 806,830 1,690,671 0.44 Largan Precision 251,111 1,650,793 0.43 China Eva Airways 2,909,358 1,411,462 0.37 Kingboard Chemical Holdings 895,000 2,855,488 0.75 CTCI 2,351,844 1,293,366 0.34 China Life Insurance ‘H’ 3,947,000 2,691,216 0.70 Phoenixtec Power 1,160,765 1,249,180 0.33 Asia Aluminum Holdings 16,918,000 2,002,362 0.52 Cheng Shin Rubber Industry 1,086,064 1,220,277 0.32 Victory City International 4,458,000 1,448,129 0.38 Vanguard International Semiconductor 1,199,000 1,152,010 0.30 Ping An Insurance Group Co of China ‘H’ 1,102,000 1,772,137 0.46 Fubon Financial Holding 1,131,000 1,100,973 0.29 Foxconn International Holdings 1,496,000 1,116,260 0.29 AU Optronics 586,000 979,753 0.26 Yanzhou Coal Mining ‘H’ 1,376,000 1,079,827 0.28 Polaris Securities 1,950,813 971,091 0.25 Lianhua Supermarket Holdings ‘H’ 876,000 997,363 0.26 Fubon Financial Holding GDR Regd 87,054 847,906 0.22 China Resources Power Holdings 1,790,000 995,967 0.26 Cyberlink 274,846 816,546 0.21 Air China ‘H’ 2,575,000 869,585 0.23 Chipbond Technology 619,252 784,829 0.21 Norstar Founders Group 2,953,000 845,277 0.22 Kaulin Manufacturing 706,000 714,033 0.19 Wumart Stores ‘H’ 487,000 783,150 0.20 Delta Electronics GDR 84,700 690,305 0.18 Huadian Power International ‘H’ 2,610,000 738,701 0.19 Acer 322,689 637,423 0.17 Hainan Meilan International Airport ‘H’ 1,001,000 573,060 0.15 Radiant Opto-Electronics 191,000 633,850 0.17 China Techfaith Wireless Communication Hon Hai Precision Industry GDR Regd 53,400 555,360 0.15 Technology ADR 32,300 539,410 0.14

Total for Taiwan 21.61 Total for China 5.03

Thailand Indonesia Bangkok Bank Public (F) Regd 1,970,400 4,815,739 1.28 Bank Rakyat Indonesia 8,531,000 2,534,176 0.65 PTT (F) 504,000 2,658,730 0.69 PT United Tractors 5,666,200 2,162,007 0.57 Advanced Info Service (F) Regd 1,076,700 2,553,336 0.67 PT Bank Central Asia 5,805,000 2,140,640 0.56 Siam Commercial Bank (F) Regd 2,265,900 2,549,652 0.67 Kawasan Industri Jababeka 91,462,000 1,171,088 0.31 Total Access Communication 775,000 2,480,000 0.65 PT Bank Internasional Indonesia ‘A’ ‘B’ ‘C’ 63,352,000 1,135,631 0.30 Italian-Thai Development (F) 10,215,000 2,372,995 0.62 PT Gudang Garam 853,500 1,105,944 0.29 Kasikornbank (F) 1,529,000 2,034,967 0.53 Ramayana Lestari Sentosa 11,707,500 1,079,309 0.28 Banpu (F) Regd 452,700 1,632,240 0.43 PT Indocement Tunggal Prakarsa 2,870,500 1,014,415 0.27 Kasikornbank 985,700 1,311,881 0.34 PT Bumi Resources 10,036,000 853,253 0.22 Polyplex (F) 8,047,900 1,187,954 0.31 Siam City Bank (F) Regd 1,853,700 1,177,486 0.31 True (F) 4,565,000 1,148,845 0.30 Total for Indonesia 3.45 Asian Property Development 12,767,300 1,118,394 0.29 CP Seven Eleven 7,943,000 1,085,976 0.28 Malaysia Thai Oil (F) 653,300 1,003,861 0.26 YTL 1,231,533 1,733,869 0.45 CH. Karnchang 3,637,500 1,003,448 0.26 Tenaga Nasional 579,000 1,599,868 0.42 Thai Airways International (F) 1,003,100 964,869 0.25 SP Setia 1,401,500 1,504,768 0.39 Land & Houses Public (F) Regd 5,566,400 915,947 0.24 Commerce Asset Holdings 814,000 1,081,763 0.28 Dynasty Ceramic (F) 1,754,900 704,933 0.18 Resorts World 409,000 1,022,500 0.27 Sino Thai Engineering & Construction (F) 2,470,300 639,618 0.17 Magnum 1,547,000 879,347 0.23 Modernform Group (F) 753,300 628,889 0.16 Tanjong 234,000 806,684 0.21 Lalin Property (F) 4,874,000 595,613 0.16 DRB-Hicom 1,952,000 755,116 0.20 Krungthai Card (F) 1,092,800 587,058 0.15 MK Land Holdings 2,283,000 660,868 0.17 Ratchaburi Electricity Generating Holding (F) 555,100 544,018 0.14 IJM 473,000 612,411 0.16 Hemaraj Land and Development (F) 23,968,400 504,598 0.13 Bandar Raya Developments 1,319,000 520,658 0.14 MBK (F) 358,000 415,826 0.11 Jaks Resources 1,520,000 488,000 0.13 Union Mosaic (F) 1,525,000 103,327 0.03 Puncak Niaga Holding 679,000 464,579 0.12 Sino Thai Engineering & Construction (F) Road Builder (M) 651,000 407,732 0.11 Wts exp. 18/04/2008 411,716 43,040 0.01 Modernform Group Wts exp. 30/11/2007 75,330 5,177 0.00 Total for Malaysia 3.28

Total for Thailand 9.62 Total Investment Securities 371,850,679 97.20

Singapore Total NAV 382,566,058 100.00 Oversea-Chinese Banking 742,000 5,107,676 1.34 Singapore Airlines 657,000 4,366,614 1.14 CapitaLand 2,964,000 4,186,167 1.09 (1) This security is valued at its fair market value. See note 2(a). Hyﬂux 1,241,000 3,122,476 0.82 952347-1-007 x-cat 8/22/05 17:51 Page 4

Morgan Stanley SICAV 30 June 2005 4

Asian Property Fund

INVESTMENT AIMS STATEMENT OF INVESTMENTS To seek long-term capital appreciation, Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed measured in US Dollars, through investment in US dollars.

in the equity securities of companies in the Market % of net Investment Holding value assets Asian real estate industry. Hong Kong Sun Hung Kai Properties 2,744,000 27,093,695 9.50 Henderson Land Development 2,765,000 13,232,558 4.63 Wharf (Holdings) 3,320,000 11,660,213 4.08 CHANGE IN NET ASSET VALUE PER SHARE New World Development 9,141,695 11,231,450 3.93 Hong Kong Land Holdings 3,890,000 10,853,100 3.80 For the six months ended 30 June 2005 Cheung Kong Holdings 716,000 6,977,525 2.44 Swire Paciﬁc ‘A’ 548,000 4,846,844 1.70 Kerry Properties 1,640,778 3,651,755 1.28 (1.61)% (1.88)% (2.41)% 0.09% Hang Lung Properties 2,027,000 2,985,829 1.05 Hysan Development 1,333,965 2,771,550 0.97 0.5 Miramar Hotel & Investment 1,492,000 2,293,731 0.80 Chinese Estates Holdings 2,476,000 2,197,888 0.77

Total for Hong Kong 34.95 0.0 Japan AB I Mitsubishi Estate 2,137,000 23,571,769 8.26 Mitsui Fudosan 1,099,000 12,360,585 4.33 Sumitomo Realty & Development 727,000 8,170,089 2.87 -0.5 NTT Urban Development 1,695 6,967,117 2.44 Nippon Building Fund 478 4,318,172 1.51 Japan Real Estate Investment 505 4,297,484 1.50 Tokyu Land 722,000 3,411,229 1.19 -1.0 Japan Retail Fund Investment 397 3,410,696 1.19 Aeon Mall 79,000 2,790,460 0.98 Nomura Real Estate Ofﬁce Fund 320 2,434,076 0.85 Tokyu REIT 237 1,723,520 0.60 Frontier Real Estate Investment 140 918,199 0.32 -1.5 Daibiru 3,000 21,790 0.01

Total for Japan 26.05

-2.0 Australia Westﬁeld Group 1,992,734 26,863,302 9.41 Stockland 1,904,081 7,986,950 2.80 GPT 2,438,290 6,762,926 2.36 Macquarie Goodman Group 1,892,296 5,866,859 2.04 -2.5 DB RREEF Trust 4,765,307 4,942,879 1.73 IAB Mirvac Group 1,806,750 4,901,429 1.72 Centro Properties Group 996,910 4,461,981 1.56 CFS Gandel Retail Trust 2,642,917 3,363,991 1.18 I Fund (net of expenses) Class I shares Macquarie CountryWide Trust 1,846,675 2,687,297 0.94 Investa Property Group 1,774,083 2,615,364 0.92 A Fund (net of expenses) Class A shares ING Industrial Fund 734,204 1,166,056 0.41 B Fund (net of expenses) Class B shares Westﬁeld Group 38,465 517,363 0.18 Stockland 32,867 139,614 0.05 GPR - General Real Estate Securities Index - Far East CFS Gandel Retail Trust 34,878 43,996 0.02 (expressed in US dollars) Total for Australia 25.32

Singapore United Overseas Land 2,287,000 3,094,300 1.09 CapitaLand 2,150,000 3,036,525 1.07 Suntec Real Estate Investment Trust 3,406,000 2,465,846 0.86 Singapore Land 605,000 2,028,454 0.71 Ascendas Real Estate Investment Trust 1,119,000 1,467,519 0.51 CapitaMall Trust 860,000 1,214,610 0.43 United Industrial 1,945,000 1,148,429 0.40 Fortune Real Estate Investment Trust 1,226,000 1,001,544 0.35 Keppel Land 644,000 955,405 0.33 Wheelock Properties 487,000 809,186 0.28 City Developments Wts exp. 10/05/2006 189,000 566,389 0.20 Wing Tai Holdings 735,000 433,982 0.15 CapitaCommercial Trust 202,600 181,542 0.06

Total for Singapore 6.44 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 5

5 Morgan Stanley SICAV 30 June 2005

Asian Property Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US dollars.

Market % of net Investment Holding value assets

Malaysia IGB 6,756,000 1,991,241 0.71 KrisAssets Holdings (1) 360,094 263,437 0.09 DRB-Hicom 602,000 232,879 0.08 Sunway City 350,000 170,395 0.06

Total for Malaysia 0.94

Thailand Land & Houses Public (F) Regd 9,184,000 1,511,221 0.53

Total for Thailand 0.53

Total Investment Securities 269,084,235 94.23

Total NAV 285,573,251 100.00

(1) This security is valued at its fair market value. See note 2(a). 952347-1-007 x-cat 8/22/05 17:51 Page 6

Morgan Stanley SICAV 30 June 2005 6

Emerging Europe & Middle East Equity Fund

equity securities of issuers in Central, Eastern Market % of net Investment Holding value assets and Southern Europe (including the Russian Turkey Efes Sinai Yatrim Holding ‘B’ 959,362 5,343,736 3.30 Federation) as well as the Middle East. Adana Cimento 1,601,049 5,202,163 3.21 Turk Hava Yollari 1,092,132 5,069,398 3.13 Boyner Buyuk Magazacilik 2,480,456 4,052,803 2.50 Gima 1,869,000 3,030,614 1.87 Akcansa Cimento 715,277 2,390,496 1.48 CHANGE IN NET ASSET VALUE PER SHARE Dogan Yayin Holding 1,136,493 2,335,204 1.44 For the six months ended 30 June 2005 Yapi ve Kredi Bankasi 610,507 1,926,996 1.19 AFM Uluslararasi Film Produksiyon ve San 805,473 1,525,431 0.94 Anadolu Cam Sanayii 458,001 1,502,320 0.93 Dogan Burda Rizzoli Dergi Yazincilik ve Pazarlama 578,355 1,431,774 0.88 28.19% 27.80% 27.43% 19.38% 30 Trakya Cam Sanayi 469,393 1,301,471 0.80 Hurriyet Gazetecilik 580,304 1,185,194 0.73 25 TAT Konserve 665,000 1,061,846 0.66 20 Enka Insaat ve Sanayi 110,788 1,028,499 0.63 15 Uzel Makina Sanayii 726,456 939,671 0.58 10 Yapi Kredi Koray Gayrimenkul Yatirim Ortakligi 566,000 840,713 0.52 5 Acibadem Saglik Hizmetleri Ve Ticaret 247,370 676,689 0.42 Finans Fin Kirala 83,862 200,342 0.12 0 IAB Total for Turkey 25.33

I Fund (net of expenses) Class I shares Russian Federation Wimm-Bill-Dann Foods ADR 578,000 7,730,004 4.76 A Fund (net of expenses) Class A shares Pyaterochka Holding-GDR 144A 443,466 5,242,785 3.23 B Fund (net of expenses) Class B shares Efes Breweries International GDR 181,209 5,073,882 3.13 Kalina ADR (1) 169,830 4,015,560 2.48 MSCI Emerging Europe and Middle East Index Highland Gold Mining 1,118,218 2,861,985 1.77 (expressed in Euro) MMC Norilsk Nickel ADR 46,400 2,328,950 1.44 Sberbank GDR (1) 25,950 1,424,144 0.88 Peter Hambro Mining 108,847 1,060,890 0.65 Mobile Telesystems ADR 19,240 527,709 0.33 4.73% 4.69% 19.38% 30 Total for Russian Federation 18.67 25 20 Morocco 15 ONA 85,300 6,930,388 4.28 10 Centrale Laitiere 5,400 3,179,596 1.96 5 Banque Marocaine du Commerce Exterieur 38,559 2,027,528 1.25 0 Brasseries Maroc 8,800 1,269,282 0.78 IX AX Total for Morocco 8.27

IX Fund (net of expenses) Class IX shares Israel AX Fund (net of expenses) Class AX shares Check Point Software Technologies 350,185 5,714,638 3.54 United Mizrahi Bank 504,000 1,742,080 1.07 B MSCI Emerging Europe and Middle East Index Blue Square-Israel ADR 216,500 1,562,658 0.96 (expressed in Euro) Orbotech 77,100 1,375,947 0.85 Super-Sol 631,600 1,233,944 0.76 Delta-Galil Industries ADR 121,690 654,714 0.40

Total for Israel 7.58

Poland Bank Pekao 81,995 2,888,723 1.80 Polski Koncern Miesny Duda 818,634 2,357,868 1.45 Agora 112,630 1,782,123 1.10 Powszechna Kasa Oszczednosci Bank Polski 201,026 1,351,839 0.83 Inter Cars 175,680 1,303,009 0.80 TVN 53,585 649,147 0.40 Telekomunikacja Polska GDR 67,700 339,806 0.21

Total for Poland 6.59

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 7

7 Morgan Stanley SICAV 30 June 2005

Emerging Europe & Middle East Equity Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in Euro.

Market % of net Investment Holding value assets

Egypt Eastern Tobacco 144,351 4,262,681 2.63 ASEC Cement 530,600 2,017,903 1.25 MobiNil - Egyptian Mobile Services 48,007 1,252,552 0.77

Total for Egypt 4.65

Jordania Arab Potash 402,773 6,126,989 3.78 Nutri Dar 314,054 1,103,324 0.68

Total for Jordania 4.46

Tunisia Banque Internationale Arabe du Tunisie 432,420 7,136,625 4.40

Total for Tunisia 4.40

Lebanon Solidere GDR 386,309 4,528,599 2.79 Banque Audi GDR 75,000 2,302,236 1.42

Total for Lebanon 4.21

Oman Salalah Port Services 263,600 2,749,267 1.69 Alliance Housing Bank 242,800 2,066,674 1.28

Total for Oman 2.97

Lebanon Banque Audi-GDR RegS 155,500 4,773,302 2.95

Total for Lebanon 2.95

Hungary Fotex 3,772,718 4,713,728 2.91

Total for Hungary 2.91

Uzbekistan Oxus Gold 2,637,151 1,856,131 1.15

Total for Uzbekistan 1.15

Ukraine Stirol Concern ADR 7,950 461,895 0.29 Ukrnafta Oil ADR 1,550 262,725 0.16

Total for Ukraine 0.45

Czech Republic Zentiva 20,200 601,933 0.37

Total for Czech Republic 0.37

Total Investment Securities 153,891,123 94.96

Total NAV 162,067,324 100.00

(1) This security is valued at its fair market value. See note 2(a). 952347-1-007 x-cat 8/22/05 17:51 Page 8

Morgan Stanley SICAV 30 June 2005 8

Emerging Markets Equity Fund

INVESTMENT AIMS STATEMENT OF INVESTMENTS To seek to maximise total return, measured Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US Dollars, through investment primarily in in US dollars.

emerging country equity securities. The Fund Market % of net Investment Holding value assets will invest in those emerging market countries South Korea Samsung Electronics 17,402 8,324,784 1.99 in which the Company believes that economies Hyundai Mobis 54,710 3,682,124 0.88 Hankook Tire 277,780 3,362,466 0.81 are developing strongly and in which the Shinhan Financial Group 109,740 2,858,670 0.69 KT&G 71,700 2,812,037 0.67 markets are becoming more sophisticated. GS Engineering & Construction 83,530 2,758,314 0.66 Orion 18,015 2,677,870 0.64 Samsung SDI 27,954 2,628,512 0.63 Samsung Electronics Pfd 7,711 2,535,113 0.61 Hyundai Motor 36,420 2,027,938 0.49 CHANGE IN NET ASSET VALUE PER SHARE Doosan Heavy Industries and Construction 110,340 1,816,472 0.44 STX Shipbuilding 66,980 1,589,125 0.38 For the six months ended 30 June 2005 Cheil Industries 90,520 1,463,888 0.35 S-Oil 13,540 1,081,731 0.26 Hynix Semiconductor 65,090 1,071,544 0.26 5.39% 5.10% 4.67% 6.00% Korean Air Lines 58,470 993,704 0.24 6 Hyundai Heavy Industries 19,200 966,833 0.23 5 SK 17,980 954,151 0.23 Samsung Heavy Industries 98,280 895,574 0.21 4 Korea Electric Power 28,950 888,699 0.21 3 Pusan Bank 96,420 859,017 0.21 2 Samsung Fire & Marine Insurance 9,620 781,599 0.19 1 Handsome 77,810 739,182 0.18 Hyundai Motor Pfd 18,460 661,424 0.16 0 Kumho Tire GDR 76,900 559,832 0.13 IAB Daishin Securities Pfd 57,160 553,527 0.13 Hanmi Pharm 7,750 526,848 0.13 Doosan Infracore 58,490 514,297 0.12 I Fund (net of expenses) Class I shares Daelim Industrial 7,920 424,895 0.10 A Fund (net of expenses) Class A shares Total for South Korea 12.23 B Fund (net of expenses) Class B shares

MSCI Emerging Markets Free (Net) Index Taiwan (expressed in US dollars) Hon Hai Precision Industry 814,467 4,234,508 0.99 United Microelectronics 5,615,000 4,081,700 0.98 Shin Kong Financial Holding 4,014,188 4,059,861 0.97 Taiwan Semiconductor Manufacturing 1,785,995 3,110,250 0.75 3.65% 3.60% 6.00% Asia Optical 432,625 3,001,302 0.72 6 AU Optronics 1,649,000 2,757,020 0.66 5 Cathay Financial Holding 1,283,000 2,587,086 0.62 4 MediaTek 291,300 2,527,239 0.61 Catcher Technology 386,800 2,237,181 0.54 3 Mega Financial Holding 3,267,000 2,152,875 0.52 2 Delta Electronics 1,161,534 1,804,342 0.43 1 Chinatrust Financial Holding 1,638,601 1,786,717 0.43 0 Taiwan Mobile 1,091,000 1,124,102 0.27 IX AX Far EasTone Telecommunications 855,000 1,094,422 0.26 Taishin Financial Holdings 1,299,160 1,090,161 0.26 Springsoft 494,487 1,031,484 0.25 IX Fund (net of expenses) Class IX shares Tsann Kuen Enterprise 703,245 969,073 0.23 Infortrend Technology 462,340 968,810 0.23 AX Fund (net of expenses) Class AX shares Largan Precision 145,296 955,170 0.23 Eva Airways 1,664,961 807,748 0.19 MSCI Emerging Markets Free (Net) Index China Steel 784,000 792,920 0.19 (expressed in US dollars) Delta Electronics GDR 89,700 731,055 0.18 Phoenixtec Power 663,510 714,049 0.17 CTCI 1,285,438 706,910 0.17 Cheng Shin Rubber Industry 621,368 698,155 0.17 Radiant Opto-Electronics 205,000 680,310 0.16 Polaris Securities 1,077,173 536,203 0.13 Cyberlink 159,220 473,030 0.11 Formosa Plastics 257,240 421,145 0.10 Nan Ya Plastics 279,000 411,357 0.10 Kaulin Manufacturing 402,850 407,434 0.10 Acer 185,970 367,355 0.09 Yang Ming Marine Transport 406,000 362,500 0.09 Hon Hai Precision Industry GDR Regd 26,400 274,560 0.07 Vanguard International Semiconductor 35,000 33,628 0.01

Please refer to the prospectus for a full disclosure of the investment aim. Total for Taiwan 11.98 952347-1-007 x-cat 8/22/05 17:51 Page 9

9 Morgan Stanley SICAV 30 June 2005

Emerging Markets Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Russian Federation (continued) Mobile Telesystems Regd GDR 72,326 2,401,223 0.58 in US dollars. Wimm-Bill-Dann Foods ADR 129,500 2,087,540 0.50 Mobile Telesystems ADR 62,400 2,062,944 0.49 Market % of net Efes Breweries International GDR 53,554 1,807,448 0.43 Investment Holding value assets Pyaterochka Holding GDR 117,583 1,675,558 0.40 Highland Gold Mining 480,900 1,483,573 0.36 South Africa Vimpel-Communications ADR 36,000 1,203,120 0.29 Standard Bank Group 715,231 6,964,410 1.68 Peter Hambro Mining 101,599 1,193,593 0.29 MTN Group 911,850 6,067,508 1.45 OAO Gazprom ADR 30,800 1,118,040 0.27 African Bank Investments 1,193,500 3,384,368 0.81 MCSI 5% /2007 (1) 1,037,582 954,576 0.23 Naspers ‘N’ 259,000 3,205,490 0.77 Pyaterochka Holding-GDR 144A 5,300 75,525 0.02 Massmart Holdings 457,225 3,114,434 0.75 Alliance Celluose (1) 50,000 0 0.00 Edgars Consolidated Stores 69,600 3,017,869 0.72 Telkom 177,920 2,909,676 0.70 Total for Russian Federation 8.41 Steinhoff International Holdings 1,276,000 2,900,392 0.70 Barloworld 153,400 2,186,464 0.52 India Aveng 1,060,500 1,972,994 0.47 Infosys Technologies 64,716 3,506,163 0.85 Impala Platinum Holdings 21,969 1,967,786 0.47 Bharat Heavy Electricals 170,328 3,385,659 0.81 Shoprite Holdings 852,500 1,853,344 0.44 Morgan Stanley Growth Fund 5,372,744 2,798,909 0.67 Harmony Gold Mining 186,905 1,626,456 0.39 Hero Honda Motors 120,175 1,597,013 0.38 Murray & Roberts Holdings 688,300 1,445,770 0.35 HDFC Bank 108,500 1,580,988 0.38 Lewis Group 246,100 1,358,791 0.33 Oil & Natural Gas 62,685 1,470,361 0.35 Harmony Gold Mining ADR 131,904 1,130,417 0.27 Housing Development Finance 71,000 1,442,205 0.35 Metropolitan Holdings 733,200 1,119,860 0.27 ABB 45,500 1,384,385 0.33 Pretoria Portland Cement 18,800 643,111 0.15 Wipro 69,500 1,222,642 0.29 Kumba Resources 28,400 246,073 0.06 Hindustan Lever 308,000 1,157,911 0.28 AVI 5,700 11,331 0.00 Container Corporation Of India 48,383 1,022,873 0.25 Sanlam 4,500 7,899 0.00 Mahindra & Mahindra 78,500 1,007,654 0.24 Mittal Steel South Africa 100 707 0.00 Aventis Pharma 33,000 968,418 0.23 Cipla 131,000 944,036 0.23 Total for South Africa 11.30 GlaxoSmithKline Pharmaceuticals 50,000 924,064 0.22 Hindalco Industries 29,329 809,299 0.19 Brazil Gujarat Ambuja Cements GDR 596,250 804,938 0.19 Petroleo Brasileiro ADR 170,315 8,931,319 2.15 Glenmark Pharmaceuticals 130,000 803,146 0.19 Companhia Vale do Rio Doce ADR Pfd ‘A’ 312,951 7,902,013 1.89 Siemens India 17,691 791,373 0.19 Petroleo Brasileiro ADR Pfd 105,417 4,868,157 1.17 Mahanagar Telephone Nigam 278,000 739,766 0.18 Empresa Brasileira de Aeronautica ADR Pfd 110,050 3,633,851 0.87 UTI Bank GDR 113,000 624,890 0.15 Banco Itau Holding Financeira ADR Pfd 38,569 3,541,791 0.85 ITC GDR 14,400 540,000 0.13 Banco Itau Holding Financeira Pfd 17,105 3,143,529 0.75 Industrial Development Bank of India 216,000 506,533 0.12 Unibanco GDR 70,680 2,678,065 0.64 ITC 13,000 492,732 0.12 Companhia Energetica de Minas Gerais UTI Bank 76,000 431,634 0.10 ADR non-vtg Pfd 59,200 1,836,384 0.44 Punjab National Bank 31,795 277,568 0.07 Embratel Participaçoes Pfd 753,348,000 1,567,143 0.38 Gujarat Ambuja Cements 150,000 203,369 0.05 All America Latina Logistica Pfd 46,550 1,383,358 0.33 Telesp Celular Participacoes Pfd 291,814 1,268,595 0.30 Total for India 7.54 Gerdau Pfd 125,950 1,199,346 0.29 Petroleo Brasileiro Pfd 24,741 1,140,785 0.27 Turkey CPFL Energia 133,165 1,054,352 0.25 Yapi ve Kredi Bankasi 898,884 3,419,850 0.82 Tele Norte Leste Participacoes 38,000 866,958 0.21 Turk Hava Yollari 508,000 2,842,223 0.68 Gerdau ADR Pfd 56,691 544,801 0.13 Hurriyet Gazetecilik 845,059 2,080,339 0.50 Unibanco - União de Bancos Brasileiros 64,574 489,342 0.12 Turkiye Garanti Bankasi 475,435 2,057,085 0.49 CPFL Energia ADR 13,640 327,769 0.08 Akcansa Cimento 506,344 2,039,730 0.49 Telesp Celular Participaçoes ADR Pfd 65,650 284,921 0.07 Dogan Yayin Holding 808,886 2,003,358 0.48 Companhia Energetica de Minas Gerais Pfd 7,237,890 224,004 0.05 Enka Insaat ve Sanayi 151,701 1,697,512 0.41 Companhia Vale do Rio Doce Pfd ‘A’ 5,533 139,411 0.03 Trakya Cam Sanayi 476,796 1,593,470 0.38 Akbank 229,927 1,329,306 0.32 Total for Brazil 11.27 Turkcell Iletisim Hizmet 1 5 0.00

Mexico Total for Turkey 4.57 America Movil ADR ‘L’ 221,477 13,266,472 3.19 Wal-Mart de Mexico ‘V’ 2,731,401 11,180,185 2.68 Thailand Grupo Televisa ADR 152,890 9,479,180 2.27 Bangkok Bank Public (F) Regd 1,052,000 2,571,131 0.62 Fomento Economico Mexicano ADR 54,800 3,243,064 0.78 Kasikornbank (F) 1,645,400 2,189,885 0.52 Grupo Financiero Banorte ‘O’ 278,160 1,852,112 0.44 PTT (F) 388,400 2,048,910 0.49 Kimberly-Clark de Mexico ‘A’ 486,300 1,669,488 0.40 Advanced Info Service (F) Regd 744,400 1,765,304 0.42 Wal-Mart de Mexico ADR ‘V’ 32,033 1,313,353 0.31 Italian-Thai Development (F) 5,657,200 1,314,195 0.31 Empresas ICA Sociedad Controledora 1,495,600 612,737 0.15 Total Access Communication 388,000 1,241,600 0.30 Empresas ICA Sociedad Controledora ADR 95,000 228,950 0.05 CP Seven Eleven 5,839,600 798,397 0.19 Siam City Bank (F) Regd 1,234,900 784,419 0.19 Total for Mexico 10.27 Siam Commercial Bank (F) Regd 653,200 734,998 0.18 True (F) 2,879,800 724,741 0.17 Russian Federation Thai Oil (F) 425,400 653,670 0.16 LUKOIL ADR 381,652 14,056,243 3.34 Banpu (F) Regd 134,600 485,309 0.12 Sberbank GDR (1) 76,050 5,030,708 1.21 Land & Houses Public (F) Regd 2,889,800 475,515 0.11 952347-1-007 x-cat 8/22/05 17:51 Page 10

Morgan Stanley SICAV 30 June 2005 10

Emerging Markets Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Egypt Eastern Tobacco 83,590 2,975,298 0.71 in US dollars. MobiNil - Egyptian Mobile Services 88,868 2,794,793 0.67

Market % of net Total for Egypt 1.38 Investment Holding value assets Chile Thailand (continued) Enersis ADR 468,700 4,986,968 1.20 Asian Property Development 4,557,800 399,256 0.10 CH. Karnchang 1,445,300 398,703 0.10 Sino Thai Engineering & Construction (F) 1,154,900 299,030 0.07 Total for Chile 1.20 MBK (F) 248,900 289,103 0.07 Siam Makro (F) 122,000 181,561 0.04 Indonesia Lalin Property (F) 1,412,600 172,623 0.04 PT Bank Central Asia 2,895,000 1,067,554 0.26 Sino Thai Engineering & Construction (F) Bank Rakyat Indonesia 3,299,500 980,133 0.23 Wts exp. 18/04/2008 207,633 21,705 0.01 PT Bumi Resources 5,580,500 474,450 0.11 PT Gudang Garam 281,000 364,113 0.09 Total for Thailand 4.21 PT Indocement Tunggal Prakarsa 122,000 43,114 0.01

Poland Total for Indonesia 0.70 Telekomunikacja Polska GDR 684,600 4,141,830 1.00 Powszechna Kasa Oszczednosci Bank Polski 370,484 3,002,999 0.72 Israel Agora 108,758 2,074,235 0.50 Check Point Software Technologies 148,802 2,926,935 0.70 Telekomunikacja Polska 254,759 1,563,917 0.37 Elbit Systems 1 15 0.00 TVN 105,975 1,547,449 0.37 Bank Pekao 35,376 1,502,244 0.36 Total for Israel 0.70

Total for Poland 3.32 Colombia BanColombia ADR Pfd 111,700 1,786,084 0.44 China Kingboard Chemical Holdings 568,000 1,812,198 0.42 Total for Colombia 0.44 China Life Insurance ‘H’ 2,302,000 1,569,593 0.38 Ping An Insurance Group Co of China ‘H’ 938,000 1,508,407 0.36 China Resources Power Holdings 2,327,000 1,294,757 0.31 Austria Yanzhou Coal Mining ‘H’ 1,520,000 1,192,832 0.29 Raiffeisen International Bank Holding 27,552 1,713,626 0.41 Asia Aluminum Holdings 8,676,000 1,026,864 0.25 Foxconn International Holdings 1,245,000 928,973 0.22 Total for Austria 0.41 Huadian Power International ‘H’ 3,238,000 916,443 0.22 Lianhua Supermarket Holdings ‘H’ 638,000 726,390 0.17 Morocco China Techfaith Wireless Communication Banque Marocaine du Commerce Exterieur 20,800 1,318,310 0.32 Technology ADR 36,700 612,890 0.15 Wumart Stores ‘H’ 345,000 554,798 0.13 Total for Morocco 0.32 Norstar Founders Group 1,728,000 494,629 0.12 Victory City International 1,273,000 413,519 0.10 Hainan Meilan International Airport ‘H’ 702,000 401,886 0.10 Argentina Air China ‘H’ 1,091,000 368,434 0.09 Renault Argentina 2 1 0.00

Total for China 3.31 Total for Argentina 0.00

Hong Kong Total transferable securities admitted to ofﬁcial exchange China Mobile (Hong Kong) 687,000 2,558,651 0.60 listing or dealt in on another regulated market 97.62 Global Bio-Chem Technology Group 2,595,000 1,610,796 0.39 TPV Technology 2,207,000 1,479,934 0.35 GOME Electrical Appliances Holdings 1,264,000 1,089,501 0.26 Other transferable securities not admitted to ofﬁcial exchange listing Hopewell Highway Infrastructure 1,481,000 1,066,962 0.26 or dealt in on another regulated market. Fountain SET Holdings 1,423,000 732,269 0.18 Grande Holdings 632,000 589,469 0.14 Shougang Concord Century 3,901,000 321,190 0.08 Brazil Moulin Global Eyecare Holdings (1) 740,000 0 0.00 Banco Nacional Pfd (1) 30,754,160 0 0.00 Lojas Arapua GDR 144A Pfd (1) 12,659 0 0.00 Lojas Arapua Pfd (1) 11,491,000 0 0.00 Total for Hong Kong 2.26

Total for Brazil 0.00 Malaysia Tenaga Nasional 736,000 2,033,684 0.48 Total other transferable securities not admitted to ofﬁcial YTL 958,800 1,349,889 0.32 exchange listing or dealt in on another regulated market 0.00 SP Setia 855,499 918,536 0.22 Commerce Asset Holdings 620,000 823,947 0.20 Total Investment Securities 407,271,861 97.62 Magnum 1,235,000 702,000 0.17 Resorts World 239,000 597,500 0.14 Total NAV 417,221,531 100.00 MK Land Holdings 1,460,000 422,632 0.10 Bandar Raya Developments 901,100 355,697 0.09 Road Builder (M) 515,000 322,553 0.08 (1) This security is valued at its fair market value. See note 2(a). Total for Malaysia 1.80 952347-1-007 x-cat 8/22/05 17:51 Page 11

11 Morgan Stanley SICAV 30 June 2005

European Equity Fund

primarily in equity securities of medium Market % of net Investment Holding value assets to large sized companies domiciled or United Kingdom GlaxoSmithKline 439,141 8,952,349 3.65 exercising the predominant part of their BP 899,629 7,811,182 3.17 Morrison WM Supermarkets 2,716,256 7,437,054 3.02 economic activity in European countries. Vodafone Group 3,579,058 7,362,856 2.99 Royal Bank of Scotland Group 291,142 7,325,898 2.98 Prudential 609,244 4,517,009 1.84 Cadbury Schweppes 480,416 3,792,410 1.54 International Power 1,233,847 3,782,169 1.54 CHANGE IN NET ASSET VALUE PER SHARE O2 1,687,401 3,402,280 1.38 For the six months ended 30 June 2005 BOC Group 216,408 3,242,763 1.32 Amvescap 574,986 2,847,002 1.16 Smith & Nephew 348,300 2,809,087 1.14 Carnival 57,538 2,702,973 1.10 10.15% 9.81% 9.30% 11.84% Tesco 525,620 2,494,400 1.01 12 Shell Transport & Trading 310,200 2,491,420 1.01 AstraZeneca 70,548 2,420,786 0.98 Reckitt Benckiser 98,491 2,407,945 0.98 Standard Chartered 73,110 1,115,098 0.45 10 Total for United Kingdom 31.26

Netherlands Royal Dutch Petroleum 140,811 7,582,672 3.09 8 Royal KPN 1,091,475 7,563,922 3.07 ING Groep ‘CVA’ 204,843 4,793,326 1.95 Wolters Kluwer ‘CVA’ 297,237 4,687,427 1.90 ASML Holding 346,228 4,559,823 1.85 TNT 168,977 3,555,276 1.44 6 Royal Numico 74,556 2,455,129 1.00 VNU 105,339 2,433,331 0.99

Total for Netherlands 15.29 4 France Total 46,022 8,951,279 3.64 BNP Paribas 136,665 7,735,239 3.14 France Telecom 283,567 6,904,856 2.81 2 Schneider Electric 66,870 4,186,062 1.70 Axa 169,053 3,528,136 1.43 Sanoﬁ-Aventis 50,268 3,418,224 1.39 M6-Metropole Television 82,611 1,738,962 0.71 0 I A B Total for France 14.82

Switzerland I Fund (net of expenses) Class I shares Novartis Regd 209,066 8,240,806 3.35 UBS Regd 122,138 7,917,446 3.22 A Fund (net of expenses) Class A shares Nestlé Regd 19,412 4,107,841 1.67 B Fund (net of expenses) Class B shares Roche Holding ‘Genußschein’ 33,716 3,522,209 1.43 Credit Suisse Group 69,432 2,263,871 0.92 MSCI Europe (Net) Index (expressed in Euro) Total for Switzerland 10.59

Germany Siemens Regd 79,977 4,853,004 1.97 Allianz Regd 50,584 4,849,994 1.97 Deutsche Bank Regd 65,544 4,242,663 1.72 Bayerische Motoren Werke 101,856 3,829,786 1.56 Fresenius Medical Care 37,277 2,611,254 1.06 Volkswagen 46,465 1,778,680 0.72

Total for Germany 9.00

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 12

Morgan Stanley SICAV 30 June 2005 12

European Equity Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in Euro.

Market % of net Investment Holding value assets

Spain Banco Bilbao Vizcaya Argentaria 590,866 7,592,628 3.09 Banco Santander Central Hispano 371,196 3,574,617 1.45 Altadis 52,457 1,819,209 0.74

Total for Spain 5.28

Sweden ForeningsSparbanken 218,998 3,996,776 1.62 Sandvik 113,638 3,508,793 1.43

Total for Sweden 3.05

Italy ENI 212,204 4,485,993 1.82 UniCredito Italiano 573,425 2,513,035 1.02

Total for Italy 2.84

Finland Nokia 271,800 3,802,482 1.55 Sampo 218,835 2,816,406 1.14

Total for Finland 2.69

Denmark Carlsberg ‘B’ 81,876 3,477,612 1.41 Novo-Nordisk ‘B’ 58,622 2,470,251 1.00

Total for Denmark 2.41

Austria Telekom Austria 140,809 2,279,698 0.93

Total for Austria 0.93

Total Investment Securities 241,563,399 98.16

Total NAV 246,080,308 100.00 952347-1-007 x-cat 8/22/05 17:51 Page 13

13 Morgan Stanley SICAV 30 June 2005

European Property Fund

in the equity securities of companies Market % of net Investment Holding value assets in the European real estate industry. United Kingdom Land Securities Group 1,778,030 36,776,154 9.48 British Land 2,615,772 34,038,634 8.77 Liberty International 1,428,840 20,613,125 5.31 CHANGE IN NET ASSET VALUE PER SHARE Slough Estates 2,097,697 16,153,459 4.16 Hammerson 1,204,050 15,847,282 4.09 For the six months ended 30 June 2005 Minerva 2,635,739 10,511,135 2.71 London Merchant Securities 2,934,201 9,660,188 2.49 Unite Group 2,084,030 9,117,247 2.35 15.65% 15.26% 14.68% 16.15% Capital & Regional 687,140 8,333,266 2.15 20 Brixton 1,335,200 7,018,445 1.81 Shaftesbury 998,616 5,572,399 1.44 15 Derwent Valley Holdings 313,486 5,537,086 1.43 Grainger Trust 748,634 4,567,366 1.18 10 Freeport 662,496 4,312,943 1.11 Pillar Property 322,794 4,068,378 1.05 5 Great Portland Estates 440,160 2,256,380 0.58 0 CLS Holdings 276,142 1,853,196 0.48 I A B Workspace Group 221,381 786,495 0.20

Total for United Kingdom 50.79 I Fund (net of expenses) Class I shares

A Fund (net of expenses) Class A shares Netherlands Rodamco Europe 374,721 25,387,348 6.54 B Fund (net of expenses) Class B shares Wereldhave 104,215 9,264,714 2.39 Corio 180,599 8,370,764 2.16 GPR - General Real Estate Securities Index - Europe Net Eurocommercial Properties 263,134 7,930,859 2.04 (expressed in Euro) Vastned Retail 27,390 1,537,949 0.40 Vastned Ofﬁces/Industrial 71,910 1,511,548 0.39

3.05% 3.00% 16.15% Total for Netherlands 13.92 20

15 Spain Inmobiliaria Colonial 305,705 13,267,597 3.42 10 Inmobiliaria Urbis 662,663 10,370,676 2.67 Metrovacesa 79,404 3,899,530 1.01 5 Total for Spain 7.10 0 IX AX Italy Beni Stabili 20,426,646 17,076,676 4.40 IX Fund (net of expenses) Class IX shares Immobiliare Grande Distribuzione 2,274,183 3,843,369 0.99 Aedes 430,923 2,296,820 0.59 AX Fund (net of expenses) Class AX shares Risanamento 95,413 265,248 0.07 GPR - General Real Estate Securities Index - Europe Net (expressed in Euro) Total for Italy 6.05

France Unibail 103,061 10,955,384 2.82 Klepierre 110,765 8,728,282 2.25 SILIC (Société Immobilière de Location pour l’Industrie et le Commerce) 23,294 1,925,249 0.50 Gecina 11,215 1,046,920 0.27 Fonciere des Regions 326 27,058 0.01

Total for France 5.85

Switzerland PSP Swiss Property 374,891 13,445,894 3.47 Allreal Holding 28,251 2,028,333 0.52

Total for Switzerland 3.99

Finland Sponda 1,630,414 13,858,519 3.57 Please refer to the prospectus for a full disclosure of the investment aim. Total for Finland 3.57 952347-1-007 x-cat 8/22/05 17:51 Page 14

Morgan Stanley SICAV 30 June 2005 14

European Property Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in Euro.

Market % of net Investment Holding value assets

Sweden Hufvudstaden ‘A’ 1,734,455 10,720,133 2.76 Castellum 55,269 1,861,944 0.48

Total for Sweden 3.24

Germany IVG Immobilien 524,459 8,055,691 2.08

Total for Germany 2.08

Belgium Cofinimmo 11,857 1,535,482 0.39 Befimmo S.C.A. Sicafi 9,146 731,680 0.19

Total for Belgium 0.58

Austria Meinl European Land 118,300 1,694,056 0.44

Total for Austria 0.44

Total Investment Securities 378,660,901 97.61

Total NAV 387,916,646 100.00 952347-1-007 x-cat 8/22/05 17:51 Page 15

15 Morgan Stanley SICAV 30 June 2005

European Small Cap Value Fund

INVESTMENT AIMS STATEMENT OF INVESTMENTS To provide an attractive rate of return, Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed measured in Euro, by investing primarily in in Euro.

the common stocks of small to medium sized Market % of net Investment Holding value assets European corporations with a market United Kingdom Cattles 274,348 1,253,293 2.15 capitalisation of up to US$ 3 billion Luminar 114,553 928,999 1.58 Spirax-Sarco Engineering 80,205 885,560 1.51 (or equivalent) that the Company believes Interserve 166,507 868,426 1.48 Devro 437,449 846,220 1.44 to be undervalued relative to the stock Rotork 107,830 755,741 1.29 William Hill 90,586 726,545 1.24 market in general at the time of purchase. Stagecoach Group 399,534 700,047 1.19 DX Services 119,020 614,557 1.05 Elementis 769,429 589,642 1.01 Wincanton 159,192 588,654 1.00 SSL International 124,974 526,282 0.90 CHANGE IN NET ASSET VALUE PER SHARE Travis Perkins 16,756 426,113 0.73 Keller Group 76,539 348,488 0.59 For the six months ended 30 June 2005 House Of Fraser 201,900 325,220 0.55 Trinity Mirror 32,460 302,126 0.52 Johnston Press 40,709 289,100 0.49 13.89% 13.46% 12.92% 17.41% Regent Inns 227,585 264,150 0.45 20 Aviva 1,348 12,497 0.02

15 Total for United Kingdom 19.19 10 France 5 GL Trade 22,212 732,996 1.24 NRJ Group 38,842 714,693 1.22 0 IPSOS 8,105 688,925 1.18 I A B Stallergenes 5,435 586,980 1.00 Saft Groupe 22,129 585,533 1.00 Neopost 7,903 576,129 0.98 I Fund (net of expenses) Class I shares Wendel Investissement 8,410 575,244 0.98 A Fund (net of expenses) Class A shares Zodiac 10,158 452,844 0.77 Nexity 12,830 407,994 0.70 B Fund (net of expenses) Class B shares Imerys 6,500 373,425 0.64

MSCI European Small Cap Index (expressed in Euro) Total for France 9.71

Switzerland 4.30% 4.25% 17.41% SIG Holding Regd 8,088 1,514,397 2.59 20 Schindler Holding ‘PC’ 3,372 1,002,577 1.72 Valora Holding 3,299 609,185 1.04 15 Galenica Holding Regd 3,752 530,043 0.90 Mobilezone Holding 145,097 457,171 0.78 10 Edipresse ‘Bearer’ 955 400,790 0.68 Sia Abrasives Holding 1,812 342,496 0.58 5 Saurer Regd 6,328 328,899 0.56 0 Kaba Holdings Regd ‘B’ 1,296 294,543 0.50 IX AX Total for Switzerland 9.35

IX Fund (net of expenses) Class IX shares Italy AX Fund (net of expenses) Class AX shares Interpump 229,050 1,220,837 2.09 Arnoldo Mondadori Editore 108,846 858,251 1.46 MSCI European Small Cap Index (expressed in Euro) Davide Campari-Milano 130,190 785,046 1.34 Buzzi Unicem 65,024 778,988 1.33 Engineering Ingegneria Informatica 22,563 602,432 1.03 Cassa di Risparmio di Firenze 246,394 528,515 0.90 Sabaf 18,909 304,435 0.52 Saes Getters 16,567 283,296 0.48 Banca Italease 9,854 112,336 0.19

Total for Italy 9.34

Netherlands Nutreco Holding 34,802 1,148,814 1.95 Univar 40,409 1,144,383 1.95 Koninklijke Vopak 30,912 642,970 1.10 Please refer to the prospectus for a full disclosure of the investment aim. Trader Classiﬁed Media ‘A’ 44,652 590,299 1.01 952347-1-007 x-cat 8/22/05 17:51 Page 16

Morgan Stanley SICAV 30 June 2005 16

European Small Cap Value Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Finland Vacon 44,966 631,772 1.08 in Euro. Uponor 33,806 540,220 0.92 KCI Konecranes 9,863 347,671 0.59 Market % of net Ramirent 13,806 214,407 0.37 Investment Holding value assets Total for Finland 2.96 Netherlands (continued) Van Lanschot ‘CVA’ 8,470 423,077 0.72 Belgium ASM International 27,161 357,982 0.61 Omega Pharma 34,823 1,470,574 2.51 Laurus 125,570 322,715 0.55 Elia System Operator 4,975 141,589 0.24 Grontmij ‘CVA’ 5,785 308,630 0.53

Total for Belgium 2.75 Total for Netherlands 8.42

Austria Germany Andritz 11,161 877,030 1.50 Techem 30,118 1,048,106 1.78 Schwarz Pharma 22,434 846,884 1.44 K+S 17,561 814,830 1.39 Total for Austria 1.50 Grenkeleasing 15,835 557,392 0.95 Hugo Boss Pfd 18,280 495,754 0.85 Luxembourg GFK 9,891 320,073 0.55 SBS Broadcasting 9,385 368,313 0.63

Total for Germany 6.96 Total for Luxembourg 0.63

Denmark Total Investment Securities 56,543,455 96.44 Carlsberg ‘B’ 33,762 1,434,012 2.45 Codan 16,049 664,437 1.13 Total NAV 58,630,296 100.00 Danisco 10,450 563,057 0.96 Kobenhavns Lufthavne (Copenhagen Airports) 2,710 530,246 0.90

Total for Denmark 5.44

Greece Sarantis 121,443 721,371 1.23 Intralot - Integrated Lottery Systems & Services 56,800 699,776 1.19 MJ Maillis 167,980 587,930 1.00 Piraeus Bank 34,080 525,514 0.90 Neochimiki LV Lavrentiadis 75,180 303,727 0.52

Total for Greece 4.84

Norway Schibsted 64,033 1,452,835 2.48 Visma 87,436 873,103 1.49 Veidekke 14,979 282,109 0.48

Total for Norway 4.45

Sweden Eniro 92,466 883,010 1.51 Saab ‘B’ 52,488 704,517 1.20 Swedish Match 30,554 286,915 0.49 Intrum Justitia 45,350 255,032 0.43 Gunnebo 26,018 200,149 0.34 Gunnebo Industrier 5,203 44,304 0.08

Total for Sweden 4.05

Ireland Kerry Group ‘A’ 50,091 1,021,855 1.74 C&C Group 178,652 661,012 1.13 Kingspan Group 34,197 334,447 0.57 Independent News & Media 57,070 145,529 0.25

Total for Ireland 3.69

Spain Prosegur Compania de Seguridad Regd 59,970 1,053,672 1.80 Miquel Y Costas 19,577 635,274 1.08 Amadeus Global Travel Distribution ‘A’ 22,951 165,477 0.28

Total for Spain 3.16 952347-1-007 x-cat 8/22/05 17:51 Page 17

17 Morgan Stanley SICAV 30 June 2005

European Value Equity Fund

INVESTMENT AIMS STATEMENT OF INVESTMENTS To seek long-term capital growth, measured Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in Euro, through investment in the equity in Euro.

securities of European companies listed on Market % of net Investment Holding value assets European Stock Exchanges. Investments will United Kingdom GlaxoSmithKline 771,741 15,732,747 4.09 be sought in equity securities that the Shell Transport & Trading 1,808,644 14,526,406 3.79 Vodafone Group 6,881,811 14,157,296 3.69 Company believes to be undervalued relative Royal Bank of Scotland Group 374,446 9,422,046 2.46 AstraZeneca 177,827 6,101,961 1.59 to the stock market in general at the time of Allied Domecq 517,964 5,187,129 1.35 Morrison WM Supermarkets 1,754,844 4,804,728 1.25 purchase. Hays 2,345,400 4,519,591 1.18 Smiths Group 305,640 4,159,167 1.08 Man Group 181,857 3,888,653 1.01 Rexam 519,082 3,707,572 0.97 Reed Elsevier 442,927 3,516,244 0.92 CHANGE IN NET ASSET VALUE PER SHARE Bunzl 451,665 3,454,554 0.90 Rolls-Royce Group 668,812 2,838,848 0.74 For the six months ended 30 June 2005 Scottish & Southern Energy 172,902 2,602,426 0.68 Diageo 203,949 2,479,454 0.65 Cadbury Schweppes 306,064 2,416,073 0.63 11.21% 10.86% 10.29% 11.84% British American Tobacco 148,630 2,366,479 0.62 12 HSBC Holdings 171,987 2,282,826 0.59 National Grid Transco 244,341 1,963,372 0.51 Prudential 264,244 1,959,137 0.51 Lloyds TSB Group 270,480 1,905,757 0.50 BOC Group 126,960 1,902,431 0.50 10 Filtrona 290,356 1,041,263 0.27 Rolls-Royce Group ‘B’ 33,440,600 49,263 0.01

Total for United Kingdom 30.49 8 France France Telecom 671,266 16,345,327 4.25 Total 48,735 9,478,958 2.47 BNP Paribas 147,532 8,350,311 2.18 6 Schneider Electric 108,404 6,786,090 1.77 Sanoﬁ-Aventis 82,088 5,581,984 1.45 Société Générale 60,900 5,109,510 1.33 Axa 198,559 4,143,926 1.08 Sodexho Alliance 154,618 3,961,313 1.03 4 Atos Origin 75,414 3,944,152 1.03 Carrefour 85,983 3,452,217 0.90 Neopost 30,869 2,250,350 0.59 Groupe Danone 27,222 1,976,317 0.52 Peugeot 39,763 1,943,218 0.51 2 Cap Gemini 72,267 1,912,185 0.50

Total for France 19.61

0 Switzerland I A B Novartis Regd 391,270 15,422,786 4.02 Nestlé Regd 44,252 9,364,319 2.44 UBS Regd 130,251 8,443,361 2.20 I Fund (net of expenses) Class I shares Swiss Reinsurance Regd 107,663 5,488,065 1.43 Ciba Speciality Chemicals Regd 68,865 3,325,835 0.87 Fund (net of expenses) Class A shares A Zürich Financial Services Regd 14,189 2,006,303 0.52 Schindler Holding Regd 6,322 1,887,847 0.49 B Fund (net of expenses) Class B shares

MSCI Europe (Net) Index (expressed in Euro) Total for Switzerland 11.97

Netherlands Wolters Kluwer ‘CVA’ 803,076 12,664,509 3.30 Unilever ‘CVA’ 221,443 11,869,345 3.09 Royal Dutch Petroleum 193,155 10,401,397 2.71 TNT 183,613 3,863,218 1.01 ING Groep ‘CVA’ 82,785 1,937,169 0.50 Koninklijke Ahold 280,505 1,901,824 0.50 VNU 77,628 1,793,207 0.47

Please refer to the prospectus for a full disclosure of the investment aim. Total for Netherlands 11.58 952347-1-007 x-cat 8/22/05 17:51 Page 18

Morgan Stanley SICAV 30 June 2005 18

European Value Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Denmark Carlsberg ‘B’ 49,016 2,081,912 0.54 in Euro. Total for Denmark 0.54 Market % of net Investment Holding value assets Total Investment Securities 379,203,973 98.83

Germany Total NAV 383,711,754 100.00 Siemens Regd 123,023 7,465,036 1.94 Allianz Regd 59,884 5,741,678 1.50 Deutsche Telekom Regd 367,933 5,647,772 1.47 Bayerische Motoren Werke 141,069 5,304,194 1.38 Muenchener Rueckversicherungs Regd 53,131 4,684,029 1.22 Linde 40,356 2,255,900 0.59 Volkswagen 24,916 953,784 0.25

Total for Germany 8.35

Spain Banco Santander Central Hispano 613,427 5,907,302 1.54 Altadis 137,262 4,760,246 1.24 Telefonica 277,540 3,777,319 0.98 Banco Bilbao Vizcaya Argentaria 285,952 3,674,483 0.96

Total for Spain 4.72

Italy UniCredito Italiano 957,874 4,197,883 1.09 ENI 183,077 3,870,248 1.01 Telecom Italia ‘RNC’ 1,540,181 3,322,941 0.87

Total for Italy 2.97

Belgium AGFA-Gevaert 210,232 4,755,448 1.24 Solvay 50,075 4,248,864 1.11 Fortis 83,429 1,899,678 0.50

Total for Belgium 2.85

Poland Bank Pekao 102,355 3,606,016 0.94 Telekomunikacja Polska 671,416 3,419,500 0.89

Total for Poland 1.83

Ireland Bank of Ireland 311,896 4,173,168 1.09 Kerry Group ‘A’ 113,803 2,321,581 0.61

Total for Ireland 1.70

Austria Telekom Austria 199,815 3,235,005 0.84

Total for Austria 0.84

Finland Sampo 244,411 3,145,570 0.82

Total for Finland 0.82

Sweden Nordea Bank 289,279 2,163,950 0.56

Total for Sweden 0.56 952347-1-007 x-cat 8/22/05 17:51 Page 19

19 Morgan Stanley SICAV 30 June 2005

Global Brands Fund

INVESTMENT AIMS STATEMENT OF INVESTMENTS To seek an attractive long-term rate of return, Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed measured in US Dollars, through investment in US dollars.

principally in equity securities of companies Market % of net Investment Holding value assets in the world’s developed countries. United Kingdom British American Tobacco 6,676,150 128,125,467 7.93 Cadbury Schweppes 10,240,773 97,441,447 6.03 Reckitt Benckiser 2,503,159 73,765,212 4.56 GlaxoSmithKline 2,767,661 68,007,852 4.20 CHANGE IN NET ASSET VALUE PER SHARE Diageo 4,483,558 65,700,768 4.06 For the six months ended 30 June 2005 Allied Domecq 4,464,528 53,890,996 3.33 Imperial Tobacco Group 2,004,755 53,612,313 3.31 Unilever 4,293,099 41,157,047 2.54 WPP Group 3,463,371 35,873,736 2.22 3.56% 3.20% 2.68% (0.70)% SMG 7,941,993 13,746,192 0.85 4 GCAP Media 1,587,861 7,661,086 0.47

Total for United Kingdom 39.50

United States of America Altria Group 1,092,817 71,142,387 4.41 3 Merck & Co 1,879,303 57,938,911 3.58 Bristol-Myers Squibb 1,918,579 48,367,377 2.99 New York Times ‘A’ 1,336,457 42,044,937 2.60 Brown-Forman ‘B’ non-vtg 662,083 40,473,134 2.50 Kimberly-Clark 554,122 35,125,794 2.17

2 Total for United States of America 18.25

Netherlands Royal Numico 1,426,491 56,620,531 3.50 Wolters Kluwer ‘CVA’ 2,624,263 49,882,961 3.08 Reed Elsevier 3,052,465 42,385,405 2.62 1 Total for Netherlands 9.20

Switzerland Nestlé Regd 264,602 67,491,580 4.17 0 Novartis Regd 1,199,261 56,978,781 3.52

Total for Switzerland 7.69

France Groupe Danone 570,559 49,928,711 3.09 -1 Sanoﬁ-Aventis 492,784 40,390,449 2.50 I A B Total for France 5.59

I Fund (net of expenses) Class I shares Finland A Fund (net of expenses) Class A shares Kone 1,031,738 61,869,368 3.83 Cargotec 556,224 15,406,817 0.95 B Fund (net of expenses) Class B shares Total for Finland 4.78 MSCI World (Net) Index (expressed in US dollars)

Sweden Swedish Match 6,167,113 69,803,872 4.31

Total for Sweden 4.31

Spain Altadis 1,062,510 44,414,552 2.75 Zardoya-Otis 362,330 10,433,586 0.64

Total for Spain 3.39

Canada Torstar ‘B’ 1,997,155 40,325,455 2.49

Total for Canada 2.49

Total Investment Securities 1,540,006,724 95.20

Total NAV 1,617,723,035 100.00 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 20

Morgan Stanley SICAV 30 June 2005 20

Global Small Cap Value Fund

the common stocks of small to medium sized Market % of net Investment Holding value assets corporations that the Company believes to be United States of America Apria Healthcare Group 96,000 3,342,720 1.76 undervalued relative to the stock market Laidlaw International 76,900 1,852,521 0.97 TBC 66,500 1,816,115 0.95 in general at the time of purchase. DRS Technologies 35,900 1,814,745 0.95 Pacer International 78,300 1,739,043 0.91 Denbury Resources 41,900 1,638,709 0.86 ProAssurance 38,203 1,585,425 0.83 MAXIMUS 42,800 1,517,260 0.80 CHANGE IN NET ASSET VALUE PER SHARE Bio-Rad Laboratories ‘A’ 24,470 1,458,412 0.77 For the six months ended 30 June 2005 MSC.Software 104,800 1,430,520 0.75 Reinsurance Group of America 30,300 1,404,405 0.74 Universal Compression Holdings 38,770 1,401,923 0.74 Superior Energy Services 79,400 1,397,440 0.73 2.58% 2.16% 1.69% 1.46% Cytec Industries 34,700 1,395,287 0.73 3 Acuity Brands 53,400 1,391,070 0.73 PNM Resources 46,200 1,344,420 0.71 Denny’s 254,900 1,325,480 0.70 Belden CDT 63,250 1,321,293 0.69 Watts Water Technologies ‘A’ 38,100 1,293,114 0.68 Conseco 56,900 1,243,834 0.65 AGL Resources 31,500 1,208,025 0.63 Corn Products International 50,200 1,197,270 0.63 Anthracite Capital 98,600 1,187,144 0.62 Terex 29,560 1,186,834 0.62 2 AFC Enterprises 86,300 1,159,872 0.61 Gevity HR 57,900 1,157,421 0.61 CCC Information Services Group 49,613 1,152,014 0.60 Triad Guaranty 22,800 1,149,120 0.60 Albany International ‘A’ 35,000 1,121,400 0.59 Intergraph 31,700 1,099,673 0.58 Jackson Hewitt Tax Service 46,900 1,098,398 0.58 Electronics for Imaging 55,600 1,093,096 0.57 Brink’s 29,900 1,083,875 0.57 1 Central Garden and Pet 21,385 1,060,696 0.56 Stage Stores 24,200 1,047,618 0.55 Banta 22,300 1,025,800 0.54 Overnite 23,700 1,018,626 0.53 Sinclair Broadcast Group ‘A’ 111,400 1,014,854 0.53 Geo Group 41,000 1,012,290 0.53 Moog ‘A’ 30,950 990,400 0.52 St. Mary Land & Exploration 34,060 974,797 0.51 NBTY 37,000 971,620 0.51 Circor International 38,600 965,000 0.51 0 New York & Co 45,900 950,130 0.50 I A B R.H. Donnelley 14,900 930,803 0.49 UGI 33,100 903,961 0.47 Collegiate Funding Services 62,700 897,864 0.47 I Fund (net of expenses) Class I shares ProQuest 27,300 885,066 0.46 Rock-Tenn ‘A’ 68,500 878,170 0.46 A Fund (net of expenses) Class A shares Central Paciﬁc Financial 23,700 853,911 0.45 B Fund (net of expenses) Class B shares Adtran 33,200 836,640 0.44 Hercules 58,109 835,607 0.44 MSCI World Small Cap Index (expressed in US dollars) First Niagara Financial Group 57,500 832,600 0.44 General Cable 53,750 800,338 0.42 Provident Bankshares 24,600 794,580 0.42 Meristar Hospitality 91,000 792,610 0.42 LoJack 44,000 790,240 0.41 Schulman (A.) 43,700 787,037 0.41 Delta & Pine Land 29,600 759,536 0.40 Heritage Property Investment Trust 21,300 748,056 0.39 Ralcorp Holdings 17,800 729,266 0.38 Integra Bank 31,000 713,000 0.37 Linens ’N Things 29,400 700,014 0.37 School Specialty 14,700 687,813 0.36 OM Group 29,000 686,430 0.36 MB Financial 16,800 671,496 0.35 Elizabeth Arden 27,500 645,150 0.34 Methode Electronics 50,900 610,800 0.32 Please refer to the prospectus for a full disclosure of the investment aim. Parkway Properties 11,800 585,280 0.31 952347-1-007 x-cat 8/22/05 17:51 Page 21

21 Morgan Stanley SICAV 30 June 2005

Global Small Cap Value Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Switzerland SIG Holding Regd 11,792 2,661,333 1.40 in US dollars. Schindler Holding ‘PC’ 5,351 1,917,690 1.01 Kaba Holdings Regd ‘B’ 3,453 945,917 0.50 Market % of net Edipresse ‘Bearer’ 1,855 938,363 0.49 Investment Holding value assets Galenica Holding Regd 3,783 644,165 0.34 Sia Abrasives Holding 2,623 597,598 0.31 United States of America (continued) Zehnder Group ‘B’ 398 477,619 0.25 Kilroy Realty 11,000 527,230 0.28 Valora Holding 1,812 403,309 0.21 NYMAGIC 22,300 522,935 0.27 EMS Technologies 33,995 512,985 0.27 Total for Switzerland 4.51 Alabama National Bancorporation 7,100 468,529 0.25 Provident New York Bancorp 37,630 457,205 0.24 France Independent Bank 15,306 444,333 0.23 Neopost 11,587 1,018,150 0.54 Syniverse Holdings 25,010 350,640 0.18 Saft Groupe 31,306 998,460 0.52 Tenneco Automotive 6,600 112,596 0.06 NRJ Group 39,980 886,694 0.47 Cenveo 4,500 34,875 0.02 Zodiac 14,964 804,083 0.42 GL Trade 14,784 588,057 0.31 Total for United States of America 42.20 Autoroutes du Sud de la France 9,830 559,727 0.29

Japan Total for France 2.55 Sumitomo Osaka Cement 985,000 2,625,006 1.37 Ariake Japan 93,570 2,155,504 1.13 Germany Sanyo Electric Credit 86,600 1,752,419 0.92 Techem 27,414 1,149,913 0.60 Aplus 335,500 1,627,567 0.85 K+S 18,140 1,014,538 0.53 Nakanishi 15,700 1,582,836 0.83 Hugo Boss Pfd 24,100 787,807 0.41 Shinkawa 72,500 1,349,203 0.71 GFK 19,948 778,074 0.41 ITO En 25,800 1,326,185 0.70 Celesio 5,529 429,853 0.23 Nisshin Fire & Marine Insurance 284,200 1,019,264 0.53 Sartorius Pfd 18,601 397,968 0.21 Takuma 133,000 945,580 0.50 Rational 2,577 276,389 0.15 Toppan Forms 75,300 846,908 0.44 Yamaichi Electronics 56,000 756,312 0.40 TOC when issued 183,000 752,202 0.39 Total for Germany 2.54 TOC 174,400 716,853 0.38 Daibiru 89,000 646,425 0.34 Australia Futaba 23,700 642,305 0.34 Paciﬁc Brands 555,513 958,245 0.50 Nihon Trim 10,750 615,701 0.32 John Fairfax Holdings 289,891 947,239 0.50 Keisei Electric Railway 121,000 606,667 0.32 Ramsay Health Care 127,491 858,360 0.45 Union Tool 20,800 591,897 0.31 MYOB 902,483 730,374 0.38 Fujimi 29,900 515,643 0.27 Just Group 292,078 468,315 0.25 HS Securities Company 31,000 515,010 0.27 Infomedia 1,100,176 409,652 0.21 Asia Securities Printing 40,000 496,499 0.26 Taisei Lamick 16,500 432,269 0.23 Total for Australia 2.29 Nitta 29,900 425,156 0.22 Patlite 19,900 422,467 0.22 Zentek Technology Japan 167 395,266 0.21 Ireland Yomiuri Land 71,000 378,427 0.20 Kerry Group ‘A’ 71,273 1,752,542 0.91 Nippon Restaurant System 11,800 368,833 0.19 C&C Group 259,630 1,157,897 0.61 Nippon Restaurant System when issued 11,600 362,582 0.19 Kingspan Group 41,726 491,880 0.26 Tenma 19,300 360,911 0.19 Icon ADR 14,025 490,174 0.26 Hurxley 19,200 340,828 0.18 Independent News & Media 155,567 478,157 0.25 Aiful 2,550 190,510 0.10 Asatsu-Dk 6,700 187,027 0.10 Total for Ireland 2.29 Megane TOP 14,700 129,876 0.07 Italy Total for Japan 13.68 Davide Campari-Milano 169,891 1,234,812 0.65 Buzzi Unicem 77,094 1,113,245 0.58 United Kingdom Cassa di Risparmio di Firenze 286,850 741,644 0.39 Luminar 197,193 1,927,585 1.01 Saes Getters 30,778 634,380 0.33 Cattles 299,596 1,649,681 0.87 Sogeﬁ 57,926 301,802 0.16 Spirax-Sarco Engineering 92,860 1,235,828 0.65 Banca Italease 13,405 184,198 0.10 William Hill 120,813 1,167,960 0.61 Interpump 17,384 111,684 0.06 Catlin Group 135,764 989,244 0.52 Wincanton 215,092 958,686 0.50 Total for Italy 2.27 Stagecoach Group 438,664 926,443 0.49 Rotork 105,072 887,633 0.47 New Zealand DX Services 115,363 717,995 0.38 Fisher & Paykel Healthcare 583,620 1,320,786 0.69 SSL International 128,990 654,739 0.34 Warehouse Group 452,166 1,255,575 0.66 Devro 230,275 536,928 0.28 Fisher & Paykel Appliances Holdings 332,112 772,350 0.41 SIG 46,073 528,874 0.28 Sky City Entertainment Group 144,493 449,376 0.24 Keller Group 84,921 466,051 0.24 De La Rue 62,984 454,414 0.24 Total for New Zealand 2.00 FKI 233,244 407,888 0.21 GCAP Media 67,602 326,165 0.17

Total for United Kingdom 7.26 952347-1-007 x-cat 8/22/05 17:51 Page 22

Morgan Stanley SICAV 30 June 2005 22

Global Small Cap Value Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed South Korea KT&G 43,470 1,704,870 0.89 in US dollars. Total for South Korea 0.89 Market % of net Investment Holding value assets Austria Andritz 16,976 1,607,905 0.84 Norway Schibsted 99,172 2,712,156 1.42 Visma 47,023 565,977 0.30 Total for Austria 0.84 Veidekke 21,566 489,573 0.26 Spain Total for Norway 1.98 Miquel Y Costas 20,390 797,525 0.42

Denmark Total for Spain 0.42 Carlsberg ‘B’ 42,116 2,156,179 1.13 Danisco 14,431 937,230 0.49 Israel Kobenhavns Lufthavne (Copenhagen Airports) 2,006 473,099 0.25 Lipman Electronic Engineering 23,100 732,963 0.38

Total for Denmark 1.87 Total for Israel 0.38

Sweden Hong Kong Saab ‘B’ 75,982 1,229,294 0.65 Asia Satellite Telecommunications Holdings 275,000 481,146 0.25 Swedish Match 95,032 1,075,641 0.56 Intrum Justitia 67,311 456,264 0.24 Total for Hong Kong 0.25 Gunnebo 46,631 432,381 0.23 Gunnebo Industrier 9,136 93,768 0.05 China Total for Sweden 1.73 Weichai Power ‘H’ 126,100 373,119 0.20

Total for China 0.20 Canada Intrawest 79,600 1,909,603 1.00 Total transferable securities admitted to ofﬁcial exchange Hummingbird 33,875 728,651 0.38 listing or dealt in on another regulated market 97.01

Total for Canada 1.38 Other transferable securities not admitted to ofﬁcial exchange listing Finland or dealt in on another regulated market. KCI Konecranes 18,938 804,649 0.42 Pohjola Group ‘D’ 38,959 565,389 0.30 Uponor 24,038 463,008 0.24 Germany Ramirent 21,284 398,417 0.21 SCS Standard Computersysteme (1) 1,795 0 0.00

Total for Finland 1.17 Total for Germany 0.00

Total other transferable securities not admitted to ofﬁcial Netherlands exchange listing or dealt in on another regulated market 0.00 Nutreco Holding 36,127 1,437,443 0.75 Van Lanschot ‘CVA’ 8,140 490,087 0.26 Total Investment Securities 184,883,798 97.01 Laurus 84,957 263,176 0.14

Total NAV 190,586,306 100.00 Total for Netherlands 1.15

Belgium (1) This security is valued at its fair market value. See note 2(a). Omega Pharma 37,577 1,912,741 1.00 Elia System Operator 7,003 240,233 0.13

Total for Belgium 1.13

Bermuda Platinum Underwriters Holdings 37,500 1,192,874 0.63 Max Re Capital 38,800 882,700 0.46

Total for Bermuda 1.09

Cayman Islands Solomon Systech International 1,852,300 655,314 0.34 United America Indemnity ‘A’ 65,922 1,138,472 0.60

Total for Cayman Islands 0.94 952347-1-007 x-cat 8/22/05 17:51 Page 23

23 Morgan Stanley SICAV 30 June 2005

Global Value Equity Fund

principally in equity securities of companies Market % of net Investment Holding value assets listed on the world’s stock exchanges. United States of America Citigroup 946,591 44,281,527 3.56 Boeing 528,790 32,610,479 2.62 Tyco International 1,092,197 32,012,294 2.57 CHANGE IN NET ASSET VALUE PER SHARE Wyeth 627,487 27,916,897 2.24 Altria Group 411,177 26,767,623 2.15 For the six months ended 30 June 2005 International Business Machines 280,084 20,927,876 1.68 Pﬁzer 621,231 17,295,071 1.39 Bristol-Myers Squibb 651,053 16,413,046 1.32 (1.33)% (1.68)% (2.17)% (0.70)% Verizon Communications 451,776 15,690,180 1.26 0.0 Chevron 268,263 15,226,608 1.21 Hewlett-Packard 625,991 15,067,603 1.21 St. Paul Travelers Companies 377,258 15,041,276 1.21 General Dynamics 128,477 14,128,616 1.14 First Data 347,735 13,926,787 1.12 SBC Communications 573,497 13,729,518 1.10 -0.5 McDonald’s 485,979 13,563,674 1.09 Mellon Financial 458,466 13,180,898 1.06 American Electric Power 352,486 12,908,037 1.04 Merrill Lynch & Co 227,143 12,642,779 1.02 BJ’s Wholesale Club 364,222 11,778,939 0.95 Viacom non-vtg ‘B’ 356,659 11,644,916 0.94 -1.0 Northrop Grumman 195,154 10,875,932 0.87 New York Times ‘A’ 317,503 9,988,644 0.80 Alcoa 360,409 9,478,757 0.76 MBIA 140,720 8,438,978 0.68 Prudential Financial 120,720 8,003,736 0.64 Xerox 544,578 7,722,116 0.62 -1.5 Schering-Plough 393,326 7,717,056 0.62 Georgia-Paciﬁc 237,382 7,662,691 0.62 American International Group 116,468 6,811,049 0.55 Freddie Mac 94,251 6,145,165 0.49 Exxon Mobil 103,865 6,069,871 0.49 -2.0 The Gap 298,247 5,991,782 0.48 Loews - Carolina Group 169,612 5,607,373 0.45

Total for United States of America 39.95

United Kingdom -2.5 GlaxoSmithKline 1,406,115 34,551,508 2.78 I A B Reed Elsevier 2,358,925 22,572,214 1.81 Cadbury Schweppes 2,273,107 21,628,722 1.74 Vodafone Group 8,719,627 21,621,641 1.74 I Fund (net of expenses) Class I shares Imperial Tobacco Group 803,803 21,495,763 1.73 A Fund (net of expenses) Class A shares Royal Bank of Scotland Group 705,788 21,406,392 1.72 Rolls-Royce Group 3,228,468 16,517,630 1.33 B Fund (net of expenses) Class B shares Barclays 1,593,832 15,822,888 1.27 Diageo 1,037,880 15,208,795 1.22 MSCI World (Net) Index (expressed in US dollars) BAA 790,233 8,794,731 0.71 Morrison WM Supermarkets 2,609,431 8,611,707 0.69 WPP Group 678,861 7,031,669 0.56 Allied Domecq 547,230 6,605,574 0.53 Amvescap 1,002,798 5,984,903 0.48 Rentokil Initial 1,916,696 5,397,324 0.43 Rolls-Royce Group ‘B’ 167,020,250 296,572 0.02

Total for United Kingdom 18.76

Japan Takeda Pharmaceutical 400,300 19,889,336 1.61 Canon 283,900 14,977,876 1.20 Fuji Photo Film 454,800 14,667,654 1.18 Kao 601,000 14,197,705 1.14 Astellas Pharma 352,100 12,055,278 0.97 Sumitomo Electric Industries 988,000 10,139,284 0.81 Sekisui House 940,000 9,519,310 0.76 Mitsui Sumitomo Insurance 680,000 6,136,863 0.49 Toyota Motor 139,100 4,988,726 0.40 Please refer to the prospectus for a full disclosure of the investment aim. Total for Japan 8.56 952347-1-007 x-cat 8/22/05 17:51 Page 24

Morgan Stanley SICAV 30 June 2005 24

Global Value Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed South Korea SK Telecom ADR 518,222 10,545,818 0.85 in US dollars. Total for South Korea 0.85 Market % of net Investment Holding value assets Hong Kong Hongkong Electric Holdings 1,563,000 7,138,272 0.58 France Total 87,958 20,620,924 1.66 Sanoﬁ-Aventis 222,002 18,196,127 1.46 Total for Hong Kong 0.58 BNP Paribas 222,979 15,212,254 1.22 Lafarge 167,395 15,102,452 1.21 Total Investment Securities 1,210,317,450 97.24

Total for France 5.55 Total NAV 1,244,633,778 100.00

Switzerland Nestlé Regd 93,576 23,868,270 1.91 Novartis Regd 349,995 16,628,814 1.34 UBS Regd 162,866 12,725,590 1.02 Syngenta 119,441 12,176,949 0.98

Total for Switzerland 5.25

Netherlands Royal Dutch Petroleum ‘NY’ 467,831 30,446,442 2.45 Unilever ‘CVA’ 182,956 11,820,194 0.95 Wolters Kluwer ‘CVA’ 478,662 9,098,584 0.73 Koninklijke Philips Electronics 202,052 5,150,942 0.41

Total for Netherlands 4.54

Italy ENI 910,809 23,208,415 1.87 Telecom Italia ‘RNC’ 6,467,353 16,818,627 1.35

Total for Italy 3.22

Australia National Australia Bank 516,896 12,082,198 0.97 Foster’s Group 1,943,037 7,855,053 0.63 Boral 1,302,444 6,413,432 0.52

Total for Australia 2.12

Ireland Bank of Ireland 940,018 15,160,218 1.22 Kerry Group ‘A’ 444,254 10,923,824 0.88

Total for Ireland 2.10

Spain Telefonica 821,229 13,472,110 1.09 Banco Bilbao Vizcaya Argentaria 742,164 11,495,191 0.92

Total for Spain 2.01

Germany BASF 190,596 12,619,337 1.01 Bayerische Motoren Werke 218,884 9,920,077 0.80

Total for Germany 1.81

New Zealand Telecom Corp of New Zealand 2,936,500 12,251,495 0.98

Total for New Zealand 0.98

Bermuda XL Capital ‘A’ 161,146 11,977,982 0.96

Total for Bermuda 0.96 952347-1-007 x-cat 8/22/05 17:51 Page 25

25 Morgan Stanley SICAV 30 June 2005

Japanese Equity Growth Fund

primarily in the equity securities of growth Market % of net Investment Holding value assets orientated small, medium and large sized Electronic Equipment & Instruments Nidec 44,000 516,560,000 2.42 companies domiciled in or exercising the Horiba 135,000 323,325,000 1.52 Keyence 11,100 275,946,000 1.30 predominant part of their economic activity in Hoya 15,600 199,680,000 0.94 Hirose Electric 14,700 179,487,000 0.84 Japan and which are listed on any exchanges Canon Electronics 42,000 135,240,000 0.64 Nippon Ceramic 79,000 128,770,000 0.61 or over the counter markets. CMK 64,000 120,320,000 0.57 Optex 45,400 118,948,000 0.56 TDK 14,900 112,644,000 0.53 A&D 58,000 99,702,000 0.47 Tokyo Electron Device 352 98,912,000 0.47 CHANGE IN NET ASSET VALUE PER SHARE Murata Manufacturing 16,000 90,400,000 0.43 Hagiwara Electric 48,600 76,302,000 0.36 For the six months ended 30 June 2005 Yokogawa Electric 53,000 72,663,000 0.34 Kyocera 8,500 72,080,000 0.34 Macnica 26,100 72,036,000 0.34 9.19% 8.80% 8.29% 3.15% Toyo 55,800 71,200,800 0.34 10 Arisawa Manufacturing 22,700 69,008,000 0.32 8 Sumida 26,800 62,444,000 0.29 Dainippon Screen Manufacturing 81,000 60,507,000 0.28 6 Oki Electric Industry 149,000 58,259,000 0.27 4 Yokowo 50,900 54,157,600 0.25 Marubun 38,600 37,017,400 0.17 2 Citizen Electronics 5,500 31,405,000 0.15 0 I A B Total for Electronic Equipment & Instruments 14.75

Chemicals I Fund (net of expenses) Class I shares Taiyo Ink Manufacturing 39,500 170,245,000 0.81 A Fund (net of expenses) Class A shares Kaneka 125,000 155,625,000 0.74 N E Chemcat 54,000 148,770,000 0.70 B Fund (net of expenses) Class B shares Taiyo Kagaku 88,300 144,723,700 0.68 C. Uyemura & Co 36,000 140,400,000 0.66 TOPIX Index (expressed in Japanese Yen) T&K Toka 60,600 140,289,000 0.66 JSP 80,400 98,731,200 0.46 Fuso Chemical 22,900 96,180,000 0.45 Fujikura Kasei 107,000 94,909,000 0.45 4.16% 4.10% 3.15% Nippon Shokubai 76,000 68,856,000 0.32 10 Stella Chemifa 26,400 66,000,000 0.31 8 Natoco 48,700 59,901,000 0.28 Asahi Denka Kogyo 49,000 57,820,000 0.27 6 Tanaka Chemical 34,500 48,990,000 0.23 4 2 Total for Chemicals 7.02 0 IX AX Auto Components Denso 97,100 245,177,500 1.16 Musashi Seimitsu Industry 86,200 230,154,000 1.08 IX Fund (net of expenses) Class IX shares Stanley Electric 113,300 203,940,000 0.96 Yasunaga 91,000 101,738,000 0.48 AX Fund (net of expenses) Class AX shares Nippon Cable System 51,500 71,173,000 0.33 Tanaka Seimitsu Kogyo 17,600 66,704,000 0.31 TOPIX Index (expressed in Japanese Yen) FuKoKu 64,600 64,212,400 0.31 Kayaba Industry 126,000 46,494,000 0.22 Tokai Rubber Industries 30,500 45,475,500 0.21 Hitachi Powdered Metals 53,000 41,446,000 0.20

Total for Auto Components 5.26

Specialty Retail Nitori 45,050 358,147,500 1.68 Komeri 50,400 150,696,000 0.71 Gigas K’s Denki 41,000 94,710,000 0.45 Otsuka Kagu 35,900 93,878,500 0.44

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 26

Morgan Stanley SICAV 30 June 2005 26

Japanese Equity Growth Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Hotels, Restaurants & Leisure Saint Marc 52,200 244,296,000 1.16 in Japanese Yen. Doutor Coffee 73,400 140,487,600 0.66 Ichibanya 58,300 123,887,500 0.58 Market % of net Origin Toshu 62,700 123,205,500 0.58 Investment Holding value assets Global-Dining 58,800 45,511,200 0.21 Joyfull 27,000 33,777,000 0.16 Specialty Retail (continued) Xebio 24,700 82,251,000 0.39 Total for Hotels, Restaurants & Leisure 3.35 Geo 221 60,333,000 0.28 Bals 139 27,383,000 0.13 Electric Appliances Meiko Electronics 92,200 322,700,000 1.51 Total for Specialty Retail 4.08 Sony 78,900 301,398,000 1.42 Sharp 38,000 65,892,000 0.31 Commercial Services & Supplies Nippon Antenna 22,000 20,460,000 0.10 Arrk 107,000 570,310,000 2.68 Studio Alice 39,300 92,551,500 0.44 Total for Electric Appliances 3.34 Daiseki 52,800 86,116,800 0.41 Moc 107 42,479,000 0.20 Software Kyoritsu Printing 35,000 17,150,000 0.08 Nintendo 23,700 274,920,000 1.30 Fuji Soft ABC 47,800 169,212,000 0.80 Total for Commercial Services & Supplies 3.81 Namco 70,800 104,500,800 0.49 Zuken 76,200 87,706,200 0.41 Electrical Components & Equipment Core 43,400 53,642,400 0.25 Chiyoda Integre 80,100 216,270,000 1.02 Japan Cash Machine 72,800 170,352,000 0.80 Total for Software 3.25 Ushio 78,300 154,642,500 0.73 Patlite 54,000 126,900,000 0.60 Ofﬁce Electronics Enplas 22,800 68,400,000 0.32 Ricoh 177,000 306,741,000 1.45 Phoenix Electric 30,500 60,237,500 0.28 Canon 42,900 250,536,000 1.18 Showa Shinku 5,600 4,832,800 0.02 Canon Finetech 28,000 62,300,000 0.29

Total for Electrical Components & Equipment 3.77 Total for Ofﬁce Electronics 2.92

Real Estate Food Products Urban 90,600 388,674,000 1.82 Kibun Food Chemifa 91,500 256,200,000 1.22 Kennedix 718 225,452,000 1.06 Ariake Japan 56,100 143,055,000 0.67 Diamond City 28,200 103,494,000 0.49 Yutaka Foods 53,000 79,500,000 0.37 Wadakohsan 33,500 81,907,500 0.39 Rock Field 45,200 76,388,000 0.36 Yonekyu 40,500 54,067,500 0.25 Total for Real Estate 3.76

Total for Food Product 2.87 IT Services Net One Systems 510 145,860,000 0.68 Health Care Equipment & Supplies Index 424 142,888,000 0.67 Nakanishi 28,700 320,292,000 1.51 Obic 7,300 137,459,000 0.65 Sysmex 12,700 91,694,000 0.43 Niws 658 96,068,000 0.45 Olympus 12,000 25,560,000 0.12 CRC Solutions 44,000 84,392,000 0.40 Digital Garage 173 75,428,000 0.36 NTT Data 187 70,873,000 0.33 Total for Health Care Equipment & Supplies 2.06 Gigno System Japan 847 41,587,700 0.20 Pharmaceuticals Total for IT Services 3.74 Takeda Pharmaceutical 42,600 234,300,000 1.10 Rohto Pharmaceutical 54,000 77,814,000 0.37 Seikagaku 62,900 76,171,900 0.36 Machinery Miyachi 78,200 184,943,000 0.87 Kokusai 127,000 170,180,000 0.80 Total for Pharmaceuticals 1.83 OSG 73,000 102,346,000 0.48 Toyo Machinery & Metal 101,900 80,399,100 0.38 Trading Companies & Distributors Tosei Engineering 29,000 65,395,000 0.31 Kuroda Electric 81,300 212,193,000 1.00 Harmonic Drive Systems 67 63,650,000 0.30 Doshisha 20,500 78,105,000 0.37 Tsubaki Nakashima 41,500 57,768,000 0.27 Impact 21 28,700 78,064,000 0.37 Nitta 36,600 57,608,400 0.27 IK 1 420,000 0.00 Tsugami 97,000 52,089,000 0.25 Shima Seiki Manufacturing 16,700 45,173,500 0.21 Total for Trading Companies & Distributors 1.74 Fuji Machine Manufacturing 24,500 31,360,000 0.15

Total for Machinery 4.29 Food & Staples Retailing Ain Pharmaciez 94,900 213,050,500 1.00 Matsumotokiyoshi 17,500 52,850,000 0.25 Automobile Plant 37,000 51,726,000 0.24 Toyota Motor 98,500 391,045,000 1.84 Sugi Pharmacy 15,300 50,796,000 0.24 Honda Motor 41,100 224,817,000 1.06 Yachiyo Industry 75,000 122,625,000 0.58 Total for Food & Staples Retailing 1.73

Total for Automobile 3.48 952347-1-007 x-cat 8/22/05 17:51 Page 27

27 Morgan Stanley SICAV 30 June 2005

Japanese Equity Growth Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Wireless Telecommunication Services NTT DoCoMo 1,134 185,976,000 0.88 in Japanese Yen. Total for Wireless Telecommunication Services 0.88 Market % of net Investment Holding value assets Metals & Mining Nippon Metals & Mining 363,000 93,654,000 0.44 Semiconductors and Semiconductor Equipment Tocalo 39,400 89,832,000 0.42 Tokyo Electron 21,500 126,205,000 0.59 Japan Electronic Materials 66,200 97,314,000 0.46 Lasertec 20,500 64,165,000 0.30 Total for Metals & Mining 0.86 Advantest 7,800 63,882,000 0.30 Personal Products Total for Semiconductors and Semiconductor Equipment 1.65 Milbon 25,100 84,838,000 0.40 Mandom 21,000 60,480,000 0.28 Leisure Equipment & Products Endo Manufacturing 89,000 110,449,000 0.52 Total for Personal Products 0.68 Tomy 54,700 96,381,400 0.45 Roland 29,300 55,582,100 0.26 Retail Trade Yamaha 25,900 44,807,000 0.21 Circle K Sunkus 41,700 104,041,500 0.49 Palemo 26,400 33,264,000 0.16 Total for Leisure Equipment & Products 1.44 Total for Retail Trade 0.65 Services Watabe Wedding 55,800 104,904,000 0.49 Containers & Packaging Saison Information Systems 52,100 130,771,000 0.62 Fuji Seal International 35,900 126,368,000 0.59 SJ Holdings 767 67,189,200 0.32 Total for Containers & Packaging 0.59 Total for Services 1.43

Communications Equipment Semiconductors NextCom KK 243 125,145,000 0.59 Rohm 24,600 263,220,000 1.24 Total for Communications Equipment 0.59 Total for Semiconductors 1.24

Health Care Providers & Services Air Freight & Logistics Nagaileben 47,200 94,400,000 0.44 Yusen Air & Sea Service 63,100 258,710,000 1.22 Nichii Gakkan 10,700 28,890,000 0.14

Total for Air Freight & Logistics 1.22 Total for Health Care Providers & Services 0.58

Media Food Retail Cyber Agent 247 122,265,000 0.58 Belc 38,000 91,960,000 0.43 GDH KK 135 67,635,000 0.32 Maxvalu Tokai 6,900 18,768,000 0.09 Tohokushinsha Film 23,100 66,990,000 0.32 Total for Food Retail 0.52 Total for Media 1.22

Glass & Ceramics Products Road & Rail Nihon Ceratec 126 80,640,000 0.38 Alps Logistics 99,400 237,069,000 1.12 Total for Glass & Ceramics Products 0.38 Total for Road & Rail 1.12

Information & Communication Other Products Sammy NetWorks 44 66,440,000 0.31 Tsutsumi Jewelry 33,000 96,195,000 0.46 Toyo Business Engineering 5,800 8,236,000 0.04 Heian Ceremony Service 82,300 64,605,500 0.30 Gentosha 71 54,031,000 0.25 Total for Information & Communication 0.35

Total for Other Products 1.01 Gas Utilities Shizuoka Gas 125,000 71,125,000 0.33 Textiles & Apparel Seiren 124,000 135,284,000 0.64 Total for Gas Utilities 0.33 Yamato International 83,000 58,017,000 0.27

Total for Textiles & Apparel 0.91 Wholesale Trade Fuji Electronics 34,800 66,189,600 0.31

Multi-line Retail Total for Wholesale Trade 0.31 Ryohin Keikaku 35,000 191,800,000 0.90

Total for Multi-line Retail 0.90 Computer Storage & Peripherals Toshiba 142,000 62,764,000 0.30

Total for Computer Storage & Peripherals 0.30 952347-1-007 x-cat 8/22/05 17:51 Page 28

Morgan Stanley SICAV 30 June 2005 28

Japanese Equity Growth Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in Japanese Yen.

Market % of net Investment Holding value assets

Hotels, Restaurants & Leisure TMS Entertainment 70,000 53,900,000 0.25

Total for Hotels, Restaurants & Leisure 0.25

Construction & Engineering NEC System Integration & Construction 52,700 52,594,600 0.25

Total for Construction & Engineering 0.25

Distributors Paltac 17,000 36,890,000 0.17

Total for Distributors 0.17

Computer Hardware Fujitsu 63,000 36,666,000 0.17

Total for Computer Hardware 0.17

Total Investment Securities 20,620,044,400 97.05

Total NAV 21,246,395,092 100.00 952347-1-007 x-cat 8/22/05 17:51 Page 29

29 Morgan Stanley SICAV 30 June 2005

Japanese Value Equity Fund

the securities of companies listed on Market % of net Investment Holding value assets the exchanges and over-the-counter markets Chemicals Kaneka 1,030,000 1,282,350,000 2.24 in Japan. Denki Kagaku Kogyo Kabushiki Kaisha 2,180,000 869,820,000 1.51 Daicel Chemical Industries 1,473,000 860,232,000 1.49 Mitsubishi Chemical 2,500,000 812,500,000 1.41 Teijin 1,470,000 757,050,000 1.31 Shin-Etsu Polymer 717,000 633,828,000 1.10 CHANGE IN NET ASSET VALUE PER SHARE NIFCO 357,200 601,524,800 1.04 For the six months ended 30 June 2005 Lintec 289,200 516,800,400 0.90 Toyo INK Manufacturing 1,219,000 513,199,000 0.89

2.51% 2.15% 1.64% 3.15% Total for Chemicals 11.89 4

3 Automobiles Nissan Motor 1,707,300 1,874,615,400 3.25 2 Toyota Motor 471,200 1,870,664,000 3.25 Yamaha Motor 437,200 889,702,000 1.54 1 Suzuki Motor 498,100 868,188,300 1.51

0 Total for Automobiles 9.55 I A B

Machinery I Fund (net of expenses) Class I shares Kurita Water Industries 523,700 897,098,100 1.56 Mitsubishi Heavy Industries 3,011,000 873,190,000 1.52 A Fund (net of expenses) Class A shares Daifuku 730,000 767,230,000 1.33 Amada 889,000 671,195,000 1.17 B Fund (net of expenses) Class B shares Minebea 1,450,000 649,600,000 1.13 TOPIX Index (expressed in Japanese Yen) Tsubakimoto Chain 1,240,000 642,320,000 1.11 Fuji Machine Manufacturing 193,600 247,808,000 0.43 Fujitec 316,000 181,068,000 0.31

2.26% 2.20% 3.15% Total for Machinery 8.56 4

3 Electronic Equipment & Instruments Hitachi 2,100,000 1,415,400,000 2.45 2 Kyocera 140,000 1,187,200,000 2.06 TDK 150,000 1,134,000,000 1.97 1 Ryosan 188,200 498,730,000 0.87

0 Total for Electronic Equipment & Instruments 7.35 IX AX

Electrics Appliances IX Fund (net of expenses) Class IX shares Matsushita Electric Industrial 1,050,000 1,767,150,000 3.06 Sony 296,800 1,133,776,000 1.97 Fund (net of expenses) Class AX shares AX Casio Computer 610,600 885,370,000 1.54 TOPIX Index (expressed in Japanese Yen) Total for Electrics Appliances 6.57

Pharmaceuticals Astellas Pharma 320,000 1,212,800,000 2.10 Sankyo 496,800 1,058,184,000 1.84 Ono Pharmaceutical 200,500 1,054,630,000 1.83

Total for Pharmaceuticals 5.77

Ofﬁce Electronics Canon 310,000 1,810,400,000 3.14 Ricoh 800,000 1,386,400,000 2.41

Total for Ofﬁce Electronics 5.55

Computers & Peripherals NEC 2,150,000 1,290,000,000 2.24 Fujitsu 2,180,000 1,268,760,000 2.20

Please refer to the prospectus for a full disclosure of the investment aim. Total for Computers & Peripherals 4.44 952347-1-007 x-cat 8/22/05 17:51 Page 30

Morgan Stanley SICAV 30 June 2005 30

Japanese Value Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Food Products Nippon Meat Packers 440,000 567,160,000 0.98 in Japanese Yen. House Foods 190,000 311,600,000 0.54

Market % of net Total for Food Products 1.52 Investment Holding value assets Semiconductors & Semiconductor Equipment Household Durables Rohm 80,600 862,420,000 1.50 Sekisui Chemical 1,200,000 916,800,000 1.59 Sekisui House 770,000 863,170,000 1.50 Rinnai 117,800 322,183,000 0.56 Total for Semiconductors & Semiconductor Equipment 1.50

Total for Household Durables 3.65 Diversiﬁed Telecommunication Services Nippon Telegraph & Telephone 1,733 823,175,000 1.43 Trading Companies & Distributors Mitsubishi 900,000 1,357,200,000 2.36 Total for Diversiﬁed Telecommunication Services 1.43 Hitachi High-Technologies 214,500 363,148,500 0.63 Nagase & Company 297,000 336,204,000 0.58 Real Estate Mitsubishi Estate 668,000 815,628,000 1.42 Total for Trading Companies & Distributors 3.57 Total for Real Estate 1.42 Computer Storage & Peripherals Toshiba 3,000,000 1,326,000,000 2.30 Electric Utilities Mitsumi Electric 600,000 685,800,000 1.19 Tokyo Electric Power 298,400 789,268,000 1.37

Total for Computer Storage & Peripherals 3.49 Total for Electric Utilities 1.37

Building Products Electrical Equipment Daikin Industries 420,500 1,166,887,500 2.03 Furukawa Electric 1,760,000 756,800,000 1.31 Sanwa Shutter 928,000 592,992,000 1.03 Total for Electrical Equipment 1.31 Total for Building Products 3.06

Consumer Finance Home Entertainment Software Hitachi Capital 323,200 709,424,000 1.23 Nintendo 120,000 1,392,000,000 2.42 Total for Consumer Finance 1.23 Total for Home Entertainment Software 2.42

Textiles, Apparel & Luxury Goods Construction & Engineering Nisshinbo Industries 588,000 533,904,000 0.93 Obayashi 1,400,000 835,800,000 1.45 Kyudenko 332,000 222,108,000 0.39 Total for Textiles, Apparel & Luxury Goods 0.93 Maeda Road Construction 256,000 202,496,000 0.35 Sanki Engineering 106,000 83,740,000 0.15 Media Total for Construction & Engineering 2.34 Toho 174,300 278,880,000 0.48

Total for Media 0.48 Leisure Equipment & Products Fuji Photo Film 356,100 1,271,277,000 2.21 Transportation Infrastructure Total for Leisure Equipment & Products 2.21 Mitsubishi Logistics 106,000 120,310,000 0.21

Total for Transportation Infrastructure 0.21 Commercial Services & Supplies Dai Nippon Printing 516,000 922,092,000 1.60 Total Investment Securities 56,828,471,000 98.65 Nissha Printing 145,000 276,805,000 0.48

Total NAV 57,608,218,090 100.00 Total for Commercial Services & Supplies 2.08

Leisure Products Yamaha 540,000 934,200,000 1.62

Total for Leisure Products 1.62

Road & Rail East Japan Railway 1,600 912,000,000 1.58

Total for Road & Rail 1.58

Food & Staples Retailing Familymart 281,200 894,216,000 1.55

Total for Food & Staples Retailing 1.55 952347-1-007 x-cat 8/22/05 17:51 Page 31

31 Morgan Stanley SICAV 30 June 2005

Latin American Equity Fund

in the common shares of companies Market % of net Investment Holding value assets incorporated in Latin American countries. Brazil Companhia Vale do Rio Doce ADR Pfd ‘A’ 1,061,576 26,804,794 7.76 Petroleo Brasileiro ADR Pfd 412,679 19,057,516 5.52 Petroleo Brasileiro ADR 273,025 14,317,431 4.15 CHANGE IN NET ASSET VALUE PER SHARE Unibanco GDR 281,400 10,662,246 3.08 Banco Itau Holding Financeira ADR Pfd 113,307 10,404,982 3.01 For the six months ended 30 June 2005 Banco Bradesco ADR Pfd 234,276 8,269,943 2.39 Bradespar Pfd 441,810 7,502,611 2.17 Companhia Energetica de Minas Gerais ADR 10.02% 9.62% 9.07% 11.36% non-vtg Pfd 224,990 6,979,190 2.02 12 Embratel Participaçoes Pfd 3,097,053,073 6,442,607 1.86 Empresa Brasileira de Aeronautica ADR Pfd 193,360 6,384,747 1.85 Banco Itau Holding Financeira Pfd 30,429 5,592,193 1.62 Caemi Mineracao e Metalurgica Pfd 5,255,930 4,864,329 1.41 Telesp Celular Participaçoes ADR Pfd 999,860 4,339,392 1.26 10 Banco Bradesco Pfd 116,324 4,130,971 1.20 Telesp Celular Participacoes Pfd 949,160 4,126,257 1.19 Tele Norte Leste Participacoes 158,000 3,604,721 1.04 Companhia de Concessoes Rodoviarias 149,360 3,458,963 1.00 CPFL Energia 426,300 3,375,290 0.98 8 Companhia Vale do Rio Doce Pfd ‘A’ 114,697 2,889,946 0.84 Gol Linhas Aereas Inteligentes ADR 91,940 2,736,134 0.79 Gerdau Pfd 274,500 2,613,897 0.76 Companhia Siderurgica Nacional ADR 158,288 2,586,426 0.75 Gerdau ADR Pfd 244,868 2,353,181 0.68 6 CPFL Energia ADR 96,410 2,316,732 0.67 Braskem ADR 116,500 1,951,375 0.56 Unibanco - União de Bancos Brasileiros 256,804 1,946,063 0.56 All America Latina Logistica Pfd 59,500 1,768,202 0.51 Tim Participaçoes Pfd 1,066,058,520 1,674,556 0.48 4 Natura Cosmeticos 49,609 1,569,249 0.45 Tim Participaçoes ADR 90,200 1,427,866 0.41 Klabin Pfd 812,700 1,366,288 0.40 Suzano Bahia Sul Papel e Celulose Pfd 298,700 1,217,372 0.35 Gerdau 100,980 809,812 0.23 2 Braskem Pfd ‘A’ 43,198 363,116 0.11 Companhia Siderurgica Nacional 16,984 279,690 0.08 Companhia Energetica de Minas Gerais Pfd 3,865,725 119,640 0.03 Brasil Telecom Pfd 3,213,033 13,736 0.00 0 I A B Total for Brazil 52.17

Mexico I Fund (net of expenses) Class I shares America Movil ADR ‘L’ 443,409 26,560,199 7.68 A Fund (net of expenses) Class A shares Wal-Mart de Mexico ‘V’ 6,354,891 26,011,873 7.53 Grupo Televisa ADR 325,330 20,170,460 5.84 B Fund (net of expenses) Class B shares America Telecom ‘A1’ 5,033,540 16,113,327 4.66 Fomento Economico Mexicano ADR 171,040 10,122,147 2.93 MSCI EMF Latin American Index Grupo Financiero Banorte ‘O’ 1,128,060 7,511,122 2.17 (expressed in US dollars) Kimberly-Clark de Mexico ‘A’ 1,941,550 6,665,420 1.93 Cemex ‘CPO’ 907,578 3,919,409 1.13 Grupo Mexico ‘B’ 2,109,590 3,529,815 1.02 Grupo Aeroportuario del Sureste ADR ‘B’ 95,140 3,020,695 0.87 Urbi Desarrollos Urbanos 521,300 2,863,819 0.83 Empresas ICA Sociedad Controledora 6,175,600 2,530,100 0.73 Organizacion Soriana ‘B’ 404,190 1,690,938 0.49 Cemex ADR ‘CPO’ 25,565 1,103,385 0.32 Wal-Mart de Mexico ADR ‘V’ 3,306 135,546 0.04

Total for Mexico 38.17

Chile Enersis ADR 1,243,550 13,231,373 3.83

Total for Chile 3.83

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 32

Morgan Stanley SICAV 30 June 2005 32

Latin American Equity Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US dollars.

Market % of net Investment Holding value assets

Argentina Tenaris ADR 75,540 6,003,919 1.74

Total for Argentina 1.74

Colombia BanColombia ADR Pfd 245,880 3,931,622 1.14

Total for Colombia 1.14

Peru Companhia de Minas Buenaventura ADR 79,190 1,834,833 0.53 Southern Peru Copper 26,300 1,145,102 0.33

Total for Peru 0.86

Total Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market 97.91

Other transferable securities not admitted to ofﬁcial exchange listing or dealt in on another regulated market.

Brazil Banco Nacional Pfd (1) 2,698,000 0 0.00 Lojas Arapua GDR 144A Pfd (1) 10,180 0 0.00 Lojas Arapua Pfd (1) 58,205,100 0 0.00

Total for Brazil 0.00

Total other transferable securities not admitted to ofﬁcial exchange listing or dealt in on another regulated market 0.00

Total Investment Securities 338,416,568 97.91

Total NAV 345,652,484 100.00

(1) This security is valued at its fair market value. See note 2(a). 952347-1-007 x-cat 8/22/05 17:51 Page 33

33 Morgan Stanley SICAV 30 June 2005

US Equity Fund

primarily in equity securities of medium to Market % of net Investment Holding value assets large sized US companies. Industrial Conglomerates General Electric 159,336 5,576,760 3.34 3M 58,976 4,484,535 2.69 Tyco International 91,953 2,695,142 1.62 CHANGE IN NET ASSET VALUE PER SHARE For the six months ended 30 June 2005 Total for Industrial Conglomerates 7.65

Pharmaceuticals Wyeth 75,505 3,359,217 2.01 (0.64)% (0.93)% (1.41)% (0.81)% Johnson & Johnson 46,609 3,062,211 1.84 0.0 Pﬁzer 69,281 1,928,783 1.16 Abbott Laboratories 36,777 1,810,532 1.09 Novo-Nordisk ADR 33,317 1,702,166 1.02

Total for Pharmaceuticals 7.12 -0.3 Aerospace & Defense United Technologies 92,600 4,862,426 2.92 Precision Castparts 20,985 1,659,914 1.00 Northrop Grumman 22,250 1,239,993 0.74

-0.6 Total for Aerospace & Defense 4.66

Communications Equipment Corning 149,900 2,524,316 1.51 Juniper Networks 83,833 2,115,107 1.27 -0.9 Qualcomm 53,454 1,792,847 1.08 Andrew 49,983 640,282 0.38

Total for Communications Equipment 4.24

-1.2 Integrated Oil & Gas Exxon Mobil 54,833 3,204,441 1.92 BP ADR 38,068 2,419,221 1.45 Total ADR 9,596 1,125,419 0.68

Total for Integrated Oil & Gas 4.05 -1.5 I A B Diversiﬁed Banks Bank of America 104,557 4,904,769 2.94 I Fund (net of expenses) Class I shares U.S. Bancorp 55,151 1,619,785 0.97

A Fund (net of expenses) Class A shares Total for Diversiﬁed Banks 3.91

B Fund (net of expenses) Class B shares Oil & Gas Exploration & Production S&P 500 Index (expressed in US dollars) Apache 53,154 3,438,001 2.06 XTO Energy 74,261 2,511,507 1.51

Total for Oil & Gas Exploration & Production 3.57

General Merchandise Stores Target 103,341 5,673,421 3.40

Total for General Merchandise Stores 3.40

Semiconductors Intel 97,500 2,559,375 1.53 Marvell Technology Group 45,793 1,759,825 1.06 Texas Instruments 42,638 1,203,244 0.72

Total for Semiconductors 3.31

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 34

Morgan Stanley SICAV 30 June 2005 34

US Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Health Care Supplies Alcon 21,301 2,336,720 1.40 in US dollars. Total for Health Care Supplies 1.40 Market % of net Investment Holding value assets Oil & Gas Equipment & Services Halliburton 26,491 1,269,714 0.76 Investment Banking & Brokerage Schlumberger 13,800 1,058,874 0.64 Merrill Lynch & Co 44,410 2,471,861 1.47 Goldman Sachs Group 15,668 1,610,514 0.97 Lehman Brothers Holdings 8,500 842,690 0.51 Total for Oil & Gas Equipment & Services 1.40

Total for Investment Banking & Brokerage 2.95 Tobacco Altria Group 34,563 2,250,051 1.35 Computer Hardware Dell 83,760 3,315,221 1.99 Total for Tobacco 1.35 Apple Computer 42,267 1,537,251 0.92 Managed Health Care Total for Computer Hardware 2.91 UnitedHealth Group 41,968 2,230,180 1.34

Drug Retail Total for Managed Health Care 1.34 CVS 150,880 4,437,381 2.66 Household Products Total for Drug Retail 2.66 Procter & Gamble 37,540 2,007,264 1.20

Soft Drinks Total for Household Products 1.20 PepsiCo 75,924 4,132,543 2.48 Brewers Total for Soft Drinks 2.48 Anheuser Busch 43,142 1,979,355 1.19

Other Diversified Financial Services Total for Brewers 1.19 Citigroup 87,001 4,069,907 2.44 Consumer Finance Total for Other Diversified Financial Services 2.44 American Express 30,900 1,653,459 0.99 MBNA 14,700 309,435 0.19 Health Care Equipment Medtronic 30,686 1,601,809 0.96 Total for Consumer Finance 1.18 Fisher Scientific International 21,934 1,419,568 0.85 Hospira 26,362 1,033,127 0.62 Textiles, Apparel & Luxury Goods Nike ‘B’ 21,456 1,873,538 1.12 Total for Health Care Equipment 2.43 Total for Textiles, Apparel & Luxury Goods 1.12 Life & Health Insurance MetLife 37,000 1,681,650 1.01 Diversified Capital Markets Prudential Financial 17,683 1,172,383 0.70 J.P. Morgan Chase & Co 49,840 1,792,246 1.08 Lincoln National 24,000 1,134,720 0.68 Total for Diversified Capital Markets 1.08 Total for Life & Health Insurance 2.39

Health Care Services Personal Products Caremark Rx 39,228 1,739,370 1.04 Avon Products 62,904 2,395,384 1.44 Estee Lauder Companies ‘A’ 30,914 1,200,700 0.72 Total for Health Care Services 1.04

Total for Personal Products 2.16 Fertilizers & Agricultural Chemicals Monsanto 26,231 1,652,553 0.99 Publishing & Printing News ‘B’ 114,700 1,970,546 1.18 Total for Fertilizers & Agricultural Chemicals 0.99 McGraw-Hill Companies 34,600 1,535,548 0.92

Total for Publishing & Printing 2.10 Biotechnology Genentech 20,400 1,650,768 0.99

Electric Utilities Total for Biotechnology 0.99 Exelon 64,070 3,243,223 1.95

Total for Electric Utilities 1.95 Capital Markets UBS Regd 19,521 1,527,323 0.92

Systems Software Total for Capital Markets 0.92 Microsoft 98,321 2,466,874 1.48

Total for Systems Software 1.48 952347-1-007 x-cat 8/22/05 17:51 Page 35

35 Morgan Stanley SICAV 30 June 2005

US Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Hotels Resorts & Cruise Lines Carnival 15,700 863,970 0.53 in US dollars. Total for Hotels Resorts & Cruise Lines 0.53 Market % of net Investment Holding value assets Multi-line Insurance American International Group 14,300 836,263 0.51 Home Improvement Retail Home Depot 39,200 1,520,960 0.91 Total for Multi-line Insurance 0.51 Total for Home Improvement Retail 0.91 Asset Management & Custody Banks Mellon Financial 26,678 766,993 0.46 Casinos & Gaming Las Vegas Sands 20,000 731,200 0.44 Wynn Resorts 13,076 647,131 0.39 Total for Asset Management & Custody Banks 0.46

Total for Casinos & Gaming 0.83 Property & Casualty Insurance Progressive 3,300 323,334 0.19 Specialty Chemicals Rohm & Haas 29,688 1,374,554 0.82 Total for Property & Casualty Insurance 0.19

Total for Specialty Chemicals 0.82 Total Investment Securities 156,346,328 93.79

Total NAV 166,701,185 100.00 Application Software SAP ADR Pfd 31,635 1,369,479 0.82

Total for Application Software 0.82

Specialty Stores Petsmart 44,500 1,351,020 0.81

Total for Specialty Stores 0.81

Restaurants Outback Steakhouse 28,608 1,288,218 0.77

Total for Restaurants 0.77

Internet Software & Services Yahoo! 36,624 1,279,643 0.77

Total for Internet Software & Services 0.77

Gas Utilities Questar 18,800 1,238,920 0.74

Total for Gas Utilities 0.74

Diversiﬁed Chemicals Dow Chemical 26,900 1,215,880 0.73

Total for Diversiﬁed Chemicals 0.73

Data Processing & Outsourced Services First Data 29,500 1,181,475 0.71

Total for Data Processing & Outsourced Services 0.71

Internet Retail eBay 30,200 993,579 0.60

Total for Internet Retail 0.60

Thrifts & Mortgage Finance Freddie Mac 13,600 886,720 0.53

Total for Thrifts & Mortgage Finance 0.53 952347-1-007 x-cat 8/22/05 17:51 Page 36

Morgan Stanley SICAV 30 June 2005 36

US Equity Growth Fund

principally in growth oriented common stocks Market % of net Investment Holding value assets of large capitalisation US corporations and, Internet Software & Services Google ‘A’ 45,310 13,263,143 4.70 to a limited extent, foreign corporations. Yahoo! 230,500 8,053,670 2.86

Total for Internet Software & Services 7.56

CHANGE IN NET ASSET VALUE PER SHARE Wireless Telecommunication Services For the six months ended 30 June 2005 America Movil ADR ‘L’ 148,600 8,901,140 3.16 Nextel Communications ‘A’ 131,900 4,265,646 1.51 Crown Castle International 187,005 3,788,721 1.35

(0.03)% (0.46)% (0.95)% (1.72)% Total for Wireless Telecommunication Services 6.02 0

Diversiﬁed Commercial Services Apollo Group ‘A’ 106,300 8,389,196 2.98 Corporate Executive Board 75,500 5,925,995 2.10

Total for Diversiﬁed Commercial Services 5.08 -0.5 Internet Retail eBay 300,380 9,882,502 3.51 Amazon.Com 112,200 3,741,870 1.33

Total for Internet Retail 4.84

-1.0 Casinos & Gaming International Game Technology 240,800 6,862,800 2.44 Station Casinos 49,020 3,311,301 1.18 Wynn Resorts 54,285 2,686,565 0.95

Total for Casinos & Gaming 4.57 -1.5 Managed Health Care UnitedHealth Group 198,848 10,566,783 3.75

Total for Managed Health Care 3.75

Computer Hardware -2.0 Dell 264,080 10,452,286 3.71 I A B Total for Computer Hardware 3.71

I Fund (net of expenses) Class I shares Hotels Resorts & Cruise Lines A Fund (net of expenses) Class A shares Carnival 179,600 9,883,388 3.51

B Fund (net of expenses) Class B shares Total for Hotels Resorts & Cruise Lines 3.51 Russell 1000 Growth Index (expressed in US dollars) Communications Equipment Qualcomm 189,682 6,361,934 2.26 Corning 172,100 2,898,164 1.03

Total for Communications Equipment 3.29

Other Diversiﬁed Financial Services Chicago Mercantile Exchange Holdings 20,990 6,421,891 2.28 Citigroup 60,022 2,807,829 1.00

Total for Other Diversiﬁed Financial Services 3.28

Hypermarkets & Super Centers Costco Wholesale 198,600 8,974,734 3.19

Total for Hypermarkets & Super Centers 3.19 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 37

37 Morgan Stanley SICAV 30 June 2005

US Equity Growth Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Pharmaceuticals Johnson & Johnson 64,384 4,230,029 1.50 in US dollars. Total for Pharmaceuticals 1.50 Market % of net Investment Holding value assets Homebuilding Pulte Homes 50,700 4,220,268 1.50 General Merchandise Stores Sears Holdings 58,400 8,820,152 3.13 Total for Homebuilding 1.50 Total for General Merchandise Stores 3.13 Semiconductors Marvell Technology Group 107,920 4,147,366 1.47 Home Improvement Retail Home Depot 214,575 8,325,510 2.96 Total for Semiconductors 1.47 Total for Home Improvement Retail 2.96 Gas Utilities Questar 56,200 3,703,580 1.32 Home Entertainment Software Electronic Arts 144,400 8,190,368 2.91 Total for Gas Utilities 1.32 Total for Home Entertainment Software 2.91 Packaged Foods & Meats WM Wrigley Jr 53,400 3,673,920 1.30 Fertilizers & Agricultural Chemicals Monsanto 126,890 7,994,070 2.84 Total for Packaged Foods & Meats 1.30 Total for Fertilizers & Agricultural Chemicals 2.84 Specialized Finance Moody’s 80,600 3,647,150 1.30 Advertising Getty Images 66,107 4,915,717 1.74 Lamar Advertising ‘A’ 65,600 2,809,648 1.00 Total for Specialized Finance 1.30

Total for Advertising 2.74 Air Freight & Logistics C.H. Robinson Worldwide 60,915 3,564,746 1.27 Oil & Gas Exploration & Production Ultra Petroleum 255,780 7,604,339 2.70 Total for Air Freight & Logistics 1.27

Total for Oil & Gas Exploration & Production 2.70 Diversiﬁed Metals & Mining Cameco 69,900 3,130,122 1.11 Health Care Equipment St Jude Medical 104,700 4,612,035 1.64 Total for Diversiﬁed Metals & Mining 1.11 Guidant 43,900 2,963,250 1.05 Personal Products Total for Health Care Equipment 2.69 Gillette 61,000 3,126,250 1.11

Biotechnology Total for Personal Products 1.11 Genentech 93,600 7,574,112 2.69 Data Processing & Outsourced Services Total for Biotechnology 2.69 Paychex 86,955 2,856,472 1.01

Health Care Supplies Total for Data Processing & Outsourced Services 1.01 Alcon 68,800 7,547,360 2.68 Insurance Brokers Total for Health Care Supplies 2.68 Marsh & McLennan Companies 102,500 2,833,100 1.01

Reinsurance Total for Insurance Brokers 1.01 Berkshire Hathaway ‘B’ 1,782 4,936,140 1.75 Restaurants Total for Reinsurance 1.75 Starbucks 53,800 2,806,746 1.00

Multi-Sector Holdings Total for Restaurants 1.00 Brascan ‘A’ 115,200 4,400,640 1.56 Health Care Distributors Total for Multi-Sector Holdings 1.56 Patterson Companies 63,000 2,797,200 0.99

Motorcycle Manufacturers Total for Health Care Distributors 0.99 Harley-Davidson 85,700 4,281,572 1.52 Tobacco Total for Motorcycle Manufacturers 1.52 Altria Group 40,100 2,610,510 0.93

Total for Tobacco 0.93 952347-1-007 x-cat 8/22/05 17:51 Page 38

Morgan Stanley SICAV 30 June 2005 38

US Equity Growth Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US dollars.

Market % of net Investment Holding value assets

Application Software Red Hat 166,500 2,169,495 0.77

Total for Application Software 0.77

Household Products Procter & Gamble 37,360 1,997,638 0.71

Total for Household Products 0.71

Computer Storage & Peripherals Shanda Interactive Entertainment ADR 52,900 1,957,829 0.70 Seagate Technology Regd (1) 169,100 0 0.00

Total for Computer Storage & Peripherals 0.70

Total Investment Securities 275,886,892 97.97

Total NAV 281,601,002 100.00

(1) This security is valued at its fair market value. See note 2(a). 952347-1-007 x-cat 8/22/05 17:51 Page 39

39 Morgan Stanley SICAV 30 June 2005

US Property Fund

INVESTMENT AIMS STATEMENT OF INVESTMENTS To seek to provide above average current Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed income and long-term capital appreciation, in US dollars.

measured in US Dollars, by investing in equity Market % of net Investment Holding value assets securities of companies in the US real estate Real Estate Investment Trusts Simon Property Group 206,665 14,960,478 8.81 industry. Boston Properties 134,440 9,303,248 5.47 Avalonbay Communities 92,984 7,452,668 4.39 Archstone-Smith Trust 185,271 7,118,112 4.20 Host Marriott 389,610 6,806,487 4.01 Regency Centers 96,350 5,486,169 3.23 CHANGE IN NET ASSET VALUE PER SHARE Macerich 77,510 5,217,973 3.08 For the six months ended 30 June 2005 Federal Realty Investment Trust 86,380 5,118,879 3.02 Public Storage 80,669 5,070,047 2.99 AMB Property 111,390 4,809,820 2.83 Vornado Realty Trust 53,855 4,312,170 2.54 7.22% 6.84% 6.31% 6.38% 8 Shurgard Storage Centers ‘A’ 90,871 4,189,153 2.47 Equity Residential Properties Trust 101,424 3,743,560 2.21 6 Catellus Development 109,565 3,609,071 2.13 Arden Realty 99,645 3,539,390 2.09 4 Mack-Cali Realty 76,440 3,481,078 2.05 Equity Office Properties Trust 92,922 3,089,657 1.82 2 Reckson Associates Realty 91,040 3,036,184 1.79 Essex Property Trust 36,250 3,016,000 1.78 0 Taubman Centers 85,090 2,884,551 1.70 I A B Post Properties 77,945 2,821,609 1.66 SL Green Realty 43,210 2,752,045 1.62 I Fund (net of expenses) Class I shares Senior Housing Properties Trust 139,795 2,656,105 1.57 Equity Lifestyle Properties 59,790 2,387,415 1.41 A Fund (net of expenses) Class A shares Trizec Properties 88,085 1,774,913 1.05 Prentiss Properties Trust 42,070 1,537,659 0.91 B Fund (net of expenses) Class B shares PS Business Parks 34,795 1,533,416 0.90 Brandywine Realty Trust 48,255 1,474,673 0.87 NAREIT (Equity) Index (expressed in US dollars) General Growth Properties 35,175 1,433,381 0.84 BRE Properties ‘A’ 31,820 1,330,076 0.78 Omega Healthcare Investors 74,820 980,142 0.58 Meristar Hospitality 110,105 959,015 0.57 5.42% 5.36% 6.38% 8 Heritage Property Investment Trust 27,270 957,722 0.56 Developers Diversified Realty 20,355 936,330 0.55 6 Acadia Realty Trust 39,700 735,244 0.43 Gables Residential Trust 14,600 632,180 0.37 4 LTC Properties 29,325 609,667 0.36 ProLogis 14,690 591,126 0.35 2 Correctional Properties Trust 19,620 564,075 0.33 Health Care Property Investors 18,470 497,582 0.29 0 Spirit Finance 21,400 247,812 0.15 IX AX Capital Automotive 6,100 231,190 0.14 Pan Pacific Retail Properties 2,230 148,429 0.09 Ramco-Gershenson Properties 1,200 34,980 0.02 IX Fund (net of expenses) Class IX shares Highwoods Properties 900 26,766 0.02 AX Fund (net of expenses) Class AX shares Windrose Medical Properties Trust 1,500 20,910 0.01 Sunrise Senior Living Real Estate Investment Trust 100 1,014 0.00 NAREIT (Equity) Index (expressed in US dollars) Total for Real Estate Investment Trusts 79.04

Hotels Resorts & Cruise Lines Starwood Hotels & Resorts Worldwide 145,580 8,494,592 5.01 Hilton Hotels 290,912 6,984,797 4.12 Lodgian 26,800 278,452 0.16

Total for Hotels Resorts & Cruise Lines 9.29

Real Estate Management & Development Brookﬁeld Properties 314,502 9,035,642 5.33 Forest City Enterprises ‘A’ 21,790 1,534,669 0.90 American Campus Communities 23,590 533,134 0.31 Amli Residential Properties Trust 9,900 309,276 0.18

Total for Real Estate Management & Development 6.72

Total transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market 95.05 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 40

Morgan Stanley SICAV 30 June 2005 40

US Property Fund

STATEMENT OF INVESTMENTS (continued) Other transferable securities not admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US dollars.

Market % of net Investment Holding value assets

Hotels Resorts & Cruise Lines Wyndham International Series B CV Pfd (1) 26,338 1,834,730 1.08 Wyndham International Series II Pfd (1) 14,540 1,012,851 0.60

Total for Hotels Resorts & Cruise Lines 1.68

Real Estate Investment Trusts Beacon Capital Partners (1) 215,700 925,277 0.55

Total for Real Estate Investment Trusts 0.55

Real Estate Management & Development Atlantic Gulf Communities SerB CV Pfd (1) 38,385 0 0.00 Atlantic Gulf Communities priv plmt (1) 54,017 0 0.00

Total for Real Estate Management & Development 0.00

Total other transferable securities not admitted to ofﬁcial exchange listing or dealt in on another regulated market 2.23

Total Investment Securities 165,063,591 97.28

Total NAV 169,676,480 100.00

(1) This security is valued at its fair market value. See note 2(a). 952347-1-007 x-cat 8/22/05 17:51 Page 41

41 Morgan Stanley SICAV 30 June 2005

US Small Cap Growth Fund

in the common shares of small and medium Market % of net Investment Holding value assets sized US companies and to a limited extent Diversiﬁed Commercial Services Advisory Board (The) 118,150 5,829,521 2.41 foreign corporations that are early in their life Strayer Education 50,364 4,330,800 1.79 Corporate Executive Board 49,998 3,924,343 1.62 cycle, but which have potential to become Bright Horizons Family Solutions 51,400 2,107,400 0.87 Morningstar 74,500 2,045,025 0.85 major enterprises (emerging growth Coinstar 85,400 1,902,712 0.79 Bankrate 24,550 475,534 0.20 companies). 51job ADR 1,200 15,240 0.01

Total for Diversiﬁed Commercial Services 8.54

Oil & Gas Exploration & Production CHANGE IN NET ASSET VALUE PER SHARE Quicksilver Resources 105,100 6,745,318 2.79 For the six months ended 30 June 2005 Southwestern Energy 134,400 6,312,768 2.61 Range Resources 135,100 3,669,316 1.52 PetroHawk Energy 109,600 1,176,008 0.49 Gasco Energy 289,100 1,107,253 0.46 4.66% 4.28% 3.77% (3.58)% 5 Total for Oil & Gas Exploration & Production 7.87

4 Health Care Equipment Dade Behring Holdings 93,153 5,960,860 2.46 American Medical Systems Holdings 110,600 2,319,282 0.96 3 Animas 93,450 1,861,524 0.77 Idexx Laboratories 30,900 1,810,431 0.75 Gen-Probe 46,852 1,705,413 0.71

2 Total for Health Care Equipment 5.65

1 Casinos & Gaming WMS Industries 159,551 5,297,093 2.19 Penn National Gaming 137,100 5,019,231 2.08 Shufﬂe Master 109,730 3,129,500 1.30 0 Total for Casinos & Gaming 5.57 -1 Application Software Salesforce.com 186,200 3,878,546 1.61 -2 THQ 80,300 2,408,197 1.00 Micros Systems 49,500 2,278,485 0.94 Blackboard 54,700 1,287,091 0.53 SkillSoft ADR 246,954 876,687 0.36 -3 Total for Application Software 4.44 -4 I A B Internet Software & Services Akamai Technologies 187,600 2,510,088 1.04 CNET Networks 166,978 1,776,646 0.74 I Fund (net of expenses) Class I shares NetFlix 105,500 1,723,870 0.71 Netease.com ADR 29,600 1,698,744 0.70 A Fund (net of expenses) Class A shares Sina 58,900 1,655,679 0.69 Intermix Media 137,800 1,211,262 0.50 B Fund (net of expenses) Class B shares

Russell 2000 Growth Index (expressed in US dollars) Total for Internet Software & Services 4.38

Restaurants P.F. Chang’s China Bistro 60,006 3,534,953 1.46 BJ’s Restaurants 114,414 2,283,703 0.95 Ihop 38,700 1,696,608 0.70 AFC Enterprises 119,470 1,605,677 0.66 Steak N Shake 11,498 213,863 0.09

Total for Restaurants 3.86

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 42

Morgan Stanley SICAV 30 June 2005 42

US Small Cap Growth Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Electronic Equipment Manufacturers Flir Systems 78,700 2,390,119 0.99 in US dollars. Dionex 49,426 2,093,191 0.87

Market % of net Total for Electronic Equipment Manufacturers 1.86 Investment Holding value assets Construction Materials Investment Banking & Brokerage Florida Rock Industries 34,290 2,468,880 1.02 Greenhill & Co 126,407 5,185,215 2.14 Eagle Materials 19,500 1,768,260 0.73 Calamos Asset Management ‘A’ 98,300 2,746,502 1.14

Total for Construction Materials 1.75 Total for Investment Banking & Brokerage 3.28

Homebuilding Hotels Resorts & Cruise Lines Desarrolladora Homex ADR 83,400 2,301,840 0.96 Kerzner International 75,936 4,297,978 1.78 Meritage Homes 22,300 1,772,850 0.73 Great Wolf Resorts 149,600 2,992,000 1.24

Total for Homebuilding 1.69 Total for Hotels Resorts & Cruise Lines 3.02

Wireless Telecommunication Services Internet Retail Spectrasite 51,650 3,816,935 1.58 Blue Nile 124,800 4,019,808 1.67 Overstock.com 57,900 2,062,977 0.85 Priceline.com 52,300 1,188,256 0.49 Total for Wireless Telecommunication Services 1.58

Total for Internet Retail 3.01 Trading Companies & Distributors Beacon Rooﬁng Supply 69,300 2,009,700 0.83 Nuco2 60,100 1,563,201 0.65 Specialty Stores Tractor Supply 65,657 3,202,092 1.32 Guitar Center 38,150 2,239,405 0.93 Total for Trading Companies & Distributors 1.48 Build-A-Bear Workshop 74,100 1,747,278 0.72 Citi Trends 3,700 64,639 0.03 Trucking Landstar System 115,000 3,454,600 1.43 Total for Specialty Stores 3.00 Total for Trucking 1.43 Computer Storage & Peripherals Shanda Interactive Entertainment ADR 68,300 2,527,783 1.05 Home Furnishings Avid Technology 40,350 2,183,339 0.90 Tuesday Morning 107,001 3,380,162 1.40 Transact Technologies 56,375 485,389 0.20 Total for Home Furnishings 1.40 Total for Computer Storage & Peripherals 2.15

Health Care Facilities Leisure Facilities VCA Antech 139,804 3,317,549 1.37 Gaylord Entertainment 108,400 5,046,020 2.09 Total for Health Care Facilities 1.37 Total for Leisure Facilities 2.09

Construction & Engineering Apparel Accessories & Luxury Goods Macquarie Infrastructure Co Trust 115,100 3,268,840 1.35 Carter’s 71,150 4,204,965 1.74 PlanetOut 66,600 598,734 0.25 Total for Construction & Engineering 1.35

Total for Apparel Accessories & Luxury Goods 1.99 Broadcasting & Cable TV CKX 175,000 2,231,250 0.92 Semiconductor Equipment Lodgenet Entertainment 56,800 962,192 0.40 Tessera Technologies 142,800 4,783,800 1.98 Total for Broadcasting & Cable TV 1.32 Total for Semiconductor Equipment 1.98

Movies & Entertainment Distributors Lions Gate Entertainment 157,600 1,743,056 0.73 SCP Pool 132,062 4,605,002 1.91 Lakes Entertainment 85,700 1,433,761 0.59

Total for Distributors 1.91 Total for Movies & Entertainment 1.32

Health Care Services Industrial Machinery Stericycle 78,152 3,946,676 1.64 Actuant ‘A’ 37,600 1,828,864 0.76 Eclipsys 40,000 583,200 0.24 Middleby 25,000 1,340,500 0.55

Total for Health Care Services 1.88 Total for Industrial Machinery 1.31 952347-1-007 x-cat 8/22/05 17:51 Page 43

43 Morgan Stanley SICAV 30 June 2005

US Small Cap Growth Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Apparel Retail Eddie Bauer Holdings 10,600 289,910 0.12 in US dollars. Total for Apparel Retail 0.12 Market % of net Investment Holding value assets Total Investment Securities 227,358,337 94.12

General Merchandise Stores Total NAV 241,559,812 100.00 Yankee Candle 97,400 3,144,072 1.30

Total for General Merchandise Stores 1.30

Real Estate Management & Development Jones Lang LaSalle 35,400 1,576,008 0.66 Housevalues 69,600 1,265,328 0.52

Total for Real Estate Management & Development 1.18

Packaged Foods & Meats Treehouse Foods 85,000 2,409,750 1.00 Rocky Mountain Chocolate Factory 12,700 281,559 0.12

Total for Packaged Foods & Meats 1.12

Wireless Telecommunication Services SBA Communications 178,575 2,492,907 1.03

Total for Wireless Telecommunication Services 1.03

Biotechnology Techne 53,000 2,427,400 1.00

Total for Biotechnology 1.00

Soft Drinks Peet’s Coffee & Tea 69,100 2,328,670 0.96

Total for Soft Drinks 0.96

Paper Products Neenah Paper 74,100 2,323,035 0.96

Total for Paper Products 0.96

Pharmaceuticals Noven Pharmaceuticals 69,050 1,220,804 0.51 Flamel Technologies ADR 59,033 1,087,388 0.45

Total for Pharmaceuticals 0.96

Health Care Supplies Sybron Dental Specialties 62,800 2,306,016 0.95

Total for Health Care Supplies 0.95

Construction & Farm Machinery & Heavy Trucks Washington Group International 33,900 1,753,647 0.73 Chicago Bridge & Iron ‘NY’ 352 7,909 0.00

Total for Construction & Farm Machinery & Heavy Trucks 0.73

Property & Casualty Insurance Markel 4,966 1,661,126 0.69

Total for Property & Casualty Insurance 0.69

Publishing & Printing Interactive Data 76,115 1,541,329 0.64

Total for Publishing & Printing 0.64 952347-1-007 x-cat 8/22/05 17:51 Page 44

Morgan Stanley SICAV 30 June 2005 44

US Value Equity Fund

INVESTMENT AIMS STATEMENT OF INVESTMENTS To provide reasonable long-term capital Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed growth, measured in US Dollars. Investments in US dollars.

will be sought in equity securities that the Market % of net Investment Holding value assets Company believes to be undervalued relative Pharmaceuticals GlaxoSmithKline ADR 1,804,600 88,064,480 5.12 to the stock market in general at the time of Bristol-Myers Squibb 2,742,400 69,135,904 4.02 Pﬁzer 1,137,600 31,670,784 1.84 purchase. Schering-Plough 1,388,500 27,242,370 1.58 Wyeth 512,500 22,801,125 1.32 Sanoﬁ-Aventis ADR 287,300 11,879,855 0.69

Total for Pharmaceuticals 14.57 CHANGE IN NET ASSET VALUE PER SHARE For the six months ended 30 June 2005 Integrated Telecommunication Services Verizon Communications 1,587,300 55,126,929 3.20 SBC Communications 2,210,200 52,912,188 3.07 (0.53)% (0.97)% (1.42)% (0.81)% Sprint-FON Group 1,368,800 34,370,568 2.00 1 Amdocs 18,800 501,584 0.03

0 Total for Integrated Telecommunication Services 8.30

-1 Diversiﬁed Banks Bank of America 1,210,500 56,784,555 3.30 Wells Fargo & Co 726,100 44,974,634 2.61 -2 I A B Wachovia 216,071 11,000,175 0.64

Total for Diversiﬁed Banks 6.55 I Fund (net of expenses) Class I shares Paper Products A Fund (net of expenses) Class A shares International Paper 1,795,056 55,736,489 3.23 B Fund (net of expenses) Class B shares Georgia-Paciﬁc 1,331,180 42,970,490 2.50

S&P 500 Index (expressed in US dollars) Total for Paper Products 5.73

Thrifts & Mortgage Finance 0.79% 0.73% (0.81)% Freddie Mac 1,172,200 76,427,440 4.43 1 Fannie Mae 156,600 9,212,778 0.54

0 Total for Thrifts & Mortgage Finance 4.97

-1 Movies & Entertainment Walt Disney 1,323,100 33,646,433 1.96 Time Warner 1,295,400 21,736,812 1.26 -2 Viacom non-vtg ‘B’ 543,800 17,755,070 1.03 IX AX Total for Movies & Entertainment 4.25 IX Fund (net of expenses) Class IX shares Broadcasting & Cable TV AX Fund (net of expenses) Class AX shares Clear Channel Communications 1,224,300 37,892,085 2.20 Liberty Media ‘A’ 2,676,400 27,192,224 1.58 S&P 500 Index (expressed in US dollars)

Total for Broadcasting & Cable TV 3.78

Packaged Foods & Meats Unilever ‘NY’ 555,700 36,037,145 2.09 Kraft Foods ‘A’ 736,300 23,348,073 1.36

Total for Packaged Foods & Meats 3.45

Property & Casualty Insurance Chubb 408,400 34,995,796 2.03 St. Paul Travelers Companies 251,518 10,028,023 0.58 AMBAC Financial Group 119,000 8,408,540 0.49

Total for Property & Casualty Insurance 3.10

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 45

45 Morgan Stanley SICAV 30 June 2005

US Value Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to official exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Household Products Kimberly-Clark 512,300 32,474,697 1.89 in US dollars. Total for Household Products 1.89 Market % of net Investment Holding value assets Hypermarkets & Super Centers Wal-Mart Stores 610,600 29,638,524 1.72 Other Diversified Financial Services Citigroup 1,095,000 51,224,100 2.98 Total for Hypermarkets & Super Centers 1.72 Total for Other Diversified Financial Services 2.98 Regional Banks PNC Financial Services Group 447,300 24,525,459 1.42 Diversified Chemicals Suntrust Banks 14,100 1,031,838 0.06 Du Pont (E.I.) de Nemours 756,600 33,767,058 1.96 Dow Chemical 356,800 16,127,360 0.94 Total for Regional Banks 1.48 Total for Diversified Chemicals 2.90 Soft Drinks Coca-Cola 554,800 23,689,960 1.38 Oil & Gas Equipment & Services Halliburton 799,300 38,310,449 2.22 Schlumberger 57,500 4,411,975 0.26 Total for Soft Drinks 1.38

Total for Oil & Gas Equipment & Services 2.48 Investment Banking & Brokerage Merrill Lynch & Co 224,700 12,506,802 0.73 Lehman Brothers Holdings 105,100 10,419,614 0.61 Life & Health Insurance Torchmark 338,700 17,795,298 1.03 Genworth Financial ‘A’ 363,500 10,959,525 0.64 Total for Investment Banking & Brokerage 1.34 MetLife 185,700 8,440,065 0.49 Aﬂac 103,200 4,481,976 0.26 Computer Hardware Hewlett-Packard 715,000 17,210,050 1.00 Total for Life & Health Insurance 2.42 International Business Machines 73,100 5,462,032 0.32

Multi-Utilities & Unregulated Power Total for Computer Hardware 1.32 Constellation Energy Group 286,000 16,439,280 0.95 Dominion Resources 192,000 14,179,200 0.82 Health Care Distributors Public Service Enterprise Group 183,500 10,942,105 0.64 AmerisourceBergen 286,800 19,674,480 1.14

Total for Multi-Utilities & Unregulated Power 2.41 Total for Health Care Distributors 1.14

Integrated Oil & Gas Department Stores Exxon Mobil 249,700 14,592,468 0.86 Federated Department Stores 122,600 9,093,242 0.53 ConocoPhillips 164,800 9,520,496 0.55 May Department Stores 206,000 8,328,580 0.48 Petroleo Brasileiro ADR Pfd 128,200 5,920,276 0.34 Occidental Petroleum 64,780 5,031,463 0.29 Total for Department Stores 1.01 Petroleo Brasileiro ADR 24,400 1,279,536 0.07

Total for Integrated Oil & Gas 2.11 Multi-line Insurance American International Group 154,000 9,005,920 0.53 Hartford Financial Services Group 52,800 4,012,272 0.23 Electric Utilities Assurant 106,500 3,795,660 0.22 FirstEnergy 425,000 20,684,750 1.20 American Electric Power 419,800 15,373,076 0.89 Total for Multi-line Insurance 0.98

Total for Electric Utilities 2.09 Asset Management & Custody Banks Bank of New York 522,800 15,328,496 0.89 Tobacco Altria Group 549,100 35,746,410 2.08 Total for Asset Management & Custody Banks 0.89

Total for Tobacco 2.08 Diversiﬁed Capital Markets J.P. Morgan Chase & Co 352,400 12,672,304 0.74 Aluminum Alcoa 1,238,700 32,577,810 1.89 Total for Diversiﬁed Capital Markets 0.74

Total for Aluminum 1.89 Apparel Accessories & Luxury Goods Jones Apparel Group 403,700 12,635,810 0.73 Data Processing & Outsourced Services Afﬁliated Computer Services ‘A’ 272,800 13,855,512 0.81 Total for Apparel Accessories & Luxury Goods 0.73 Sungard Data Systems 290,900 10,225,135 0.59 First Data 212,100 8,494,605 0.49

Total for Data Processing & Outsourced Services 1.89 952347-1-007 x-cat 8/22/05 17:51 Page 46

Morgan Stanley SICAV 30 June 2005 46

US Value Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed Semiconductors Intel 22,700 595,875 0.03 in US dollars. Total for Semiconductors 0.03 Market % of net Investment Holding value assets Semiconductor Equipment Novellus Systems 11,100 275,613 0.02 Specialty Chemicals Rohm & Haas 265,000 12,269,500 0.71 Total for Semiconductor Equipment 0.02 Total for Specialty Chemicals 0.71 Total Investment Securities 1,679,983,790 97.58

Leisure Products Total NAV 1,721,713,610 100.00 Mattel 651,400 11,822,910 0.69

Total for Leisure Products 0.69

Communications Equipment Cisco Systems 309,900 5,999,664 0.35 Ericsson (LM) ADR ‘B’ 72,900 2,365,605 0.14 Nokia ADR 94,800 1,610,652 0.09

Total for Communications Equipment 0.58

Photographic Products Eastman Kodak 331,200 8,929,152 0.52

Total for Photographic Products 0.52

Oil & Gas Drilling GlobalSantaFe 210,300 8,538,180 0.50

Total for Oil & Gas Drilling 0.50

Computer & Electronics Retail Best Buy Co 106,800 7,385,220 0.43

Total for Computer & Electronics Retail 0.43

Systems Software Microsoft 235,600 5,911,204 0.34

Total for Systems Software 0.34

Airlines Southwest Airlines 386,700 5,398,332 0.31

Total for Airlines 0.31

Reinsurance Berkshire Hathaway ‘B’ 1,860 5,152,200 0.30

Total for Reinsurance 0.30

Computer Storage & Peripherals Lexmark International 77,700 5,110,329 0.30

Total for Computer Storage & Peripherals 0.30

Electronic Manufacturing Services Flextronics International 209,600 2,747,856 0.16 Jabil Circuit 16,800 522,480 0.03

Total for Electronic Manufacturing Services 0.19

Consumer Finance Capital One Financial 21,800 1,610,801 0.09

Total for Consumer Finance 0.09 952347-1-007 x-cat 8/22/05 17:51 Page 47

47 Morgan Stanley SICAV 30 June 2005

World Equity Fund

primarily in equity securities of medium to Market % of net Investment Holding value assets large sized companies listed on the world’s United States of America Citigroup 50,547 2,364,589 2.81 stock exchanges. General Electric 62,316 2,181,060 2.60 Bank of America 34,942 1,639,129 1.94 Tyco International 53,778 1,576,233 1.87 Target 28,601 1,570,195 1.86 Chevron 26,899 1,526,787 1.81 CHANGE IN NET ASSET VALUE PER SHARE Genentech 18,574 1,503,008 1.78 For the six months ended 30 June 2005 Aetna 16,988 1,423,934 1.69 Microsoft 52,759 1,323,723 1.57 Marvell Technology Group 32,100 1,233,603 1.46 (2.76)% (2.92)% (3.43)% (0.70)% American Electric Power 31,891 1,167,848 1.38 0.0 Schering-Plough 59,037 1,158,306 1.37 Altria Group 16,932 1,102,273 1.31 News ‘A’ 66,968 1,092,248 1.29 International Game Technology 38,020 1,083,570 1.28 Merrill Lynch & Co 19,018 1,058,542 1.25 -0.5 Lowe’s Cos 18,088 1,046,029 1.24 Intel 39,733 1,042,991 1.24 Freddie Mac 15,942 1,039,418 1.23 Pﬁzer 34,824 969,500 1.15 -1.0 Dell 24,242 959,498 1.14 Qualcomm 28,518 956,494 1.13 Eli Lilly & Co 16,259 915,382 1.09 Allstate 15,047 905,679 1.07 -1.5 U.S. Bancorp 30,050 882,569 1.05 Avon Products 22,824 869,138 1.03 Gtech Holdings 29,970 867,632 1.03 Johnson & Johnson 13,153 864,152 1.02 -2.0 Alcoa 31,166 819,666 0.97 Amgen 13,178 804,649 0.95 General Mills 16,975 801,390 0.95 State Street 15,053 738,952 0.88 -2.5 Petsmart 23,310 707,692 0.84 Cisco Systems 34,890 675,470 0.80 Outback Steakhouse 14,964 673,829 0.80 Charles Schwab 58,728 668,912 0.79 -3.0 Georgia-Paciﬁc 20,668 667,163 0.79 Marathon Oil 12,100 646,866 0.77 Las Vegas Sands 17,138 626,565 0.74 BJ Services 11,549 610,249 0.72 Corning 34,576 582,260 0.69 -3.5 I A B Xerox 40,272 571,057 0.68 Capital One Financial 7,153 528,535 0.63 Symantec 24,234 522,727 0.62 Franklin Resources 6,686 516,226 0.61 I Fund (net of expenses) Class I shares Marsh & McLennan Companies 16,861 466,038 0.55 A Fund (net of expenses) Class A shares Sprint-FON Group 18,405 462,150 0.55 Huntington Bancshares 18,702 458,760 0.54 B Fund (net of expenses) Class B shares Apple Computer 11,700 425,529 0.50 Coinstar 18,774 418,285 0.50 MSCI World (Net) Index (expressed in US dollars) American International Group 7,045 411,992 0.49 GlobalSantaFe 10,092 409,735 0.49 Mercury Interactive 8,621 331,564 0.39 Verizon Communications 5,952 206,713 0.25

Total for United States of America 58.18

United Kingdom GlaxoSmithKline 97,808 2,403,369 2.86 Vodafone Group 454,079 1,125,958 1.33 Royal Bank of Scotland Group 36,546 1,108,432 1.31 Carnival 17,349 982,369 1.16 Cadbury Schweppes 89,345 850,122 1.01 Morrison WM Supermarkets 92,532 305,376 0.36 HSBC Holdings 16,357 261,694 0.31

Total for United Kingdom 8.34 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 48

Morgan Stanley SICAV 30 June 2005 48

World Equity Fund

STATEMENT OF INVESTMENTS (continued) Market % of net Investment Holding value assets Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed South Korea SK Telecom ADR 41,575 846,051 1.00 in US dollars. Total for South Korea 1.00 Market % of net Investment Holding value assets Bermuda ACE 14,873 670,921 0.80 Japan Toyota Motor 29,500 1,057,997 1.26 Sumitomo Chemical 180,000 829,306 0.98 Total for Bermuda 0.80 Takeda Pharmaceutical 16,200 804,914 0.95 Shin-Etsu Chemical 20,300 772,058 0.92 Finland Sumitomo Trust & Banking 114,000 695,153 0.82 Nokia 34,870 588,008 0.70 Tokyo Electric Power 28,100 671,435 0.80 Canon 9,500 501,197 0.59 Total for Finland 0.70 Joyo Bank 69,000 337,847 0.40 JSR 15,700 331,885 0.39 China Total for Japan 7.11 Netease.com ADR 8,000 459,120 0.55

Total for China 0.55 France Total 6,563 1,538,633 1.83 Total Investment Securities 83,792,694 99.33 France Telecom 44,962 1,319,647 1.56 Schneider Electric 12,763 963,031 1.14 Total NAV 84,355,815 100.00 BNP Paribas 12,734 868,749 1.03

Total for France 5.56

Netherlands Royal Dutch Petroleum 24,860 1,613,615 1.91 TNT 36,353 921,933 1.09 Royal KPN 104,619 873,890 1.04 Royal Numico 20,287 805,235 0.95 Wolters Kluwer ‘CVA’ 12,216 232,206 0.28

Total for Netherlands 5.27

Switzerland Novartis Regd 28,271 1,343,201 1.59 UBS Regd 16,302 1,273,762 1.51

Total for Switzerland 3.10

Sweden Sandvik 30,293 1,127,430 1.33 ForeningsSparbanken 33,980 747,491 0.89

Total for Sweden 2.22

Germany Allianz Regd 9,168 1,059,536 1.25 Bayerische Motoren Werke 15,554 704,925 0.84

Total for Germany 2.09

Spain Banco Bilbao Vizcaya Argentaria 52,027 805,833 0.96 Altadis 14,599 610,261 0.72

Total for Spain 1.68

Italy ENI 30,816 785,226 0.93 UniCredito Italiano 119,212 629,731 0.75

Total for Italy 1.68

Hong Kong Sun Hung Kai Properties 90,000 888,643 1.05

Total for Hong Kong 1.05 952347-1-007 x-cat 8/22/05 17:51 Page 49

49 Morgan Stanley SICAV 30 June 2005

Emerging Markets Debt Fund

INVESTMENT AIMS STATEMENT OF INVESTMENTS To seek to maximise total return, measured in Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed US Dollars, through investment in the debt in US dollars.

securities of government and government- Nominal in US dollars Market % of net related issuers located in emerging countries. Investment unless speciﬁed value assets

Mexico United Mexican States nts 8.375% /2011 8,450,000 9,827,350 4.26 United Mexican States nts 8.125% /2019 5,359,000 6,556,737 2.84 CHANGE IN NET ASSET VALUE PER SHARE Pemex Project Funding Master Trust co gtd Ser144* priv plmt 9.5% /2027 4,000,000 5,200,000 2.25 For the six months ended 30 June 2005 Pemex Project Funding Master Trust unsecur co gtd 9.125% /2010 3,720,000 4,372,860 1.90 United Mexican States 11.5% /2026 2,216,000 3,544,492 1.54 5.70% 5.40% 4.91% 5.11% United Mexican States SerMTN 8.3% /2031 2,710,000 3,346,850 1.45 6 United Mexican States SerXW 10.375% /2009 2,620,000 3,128,280 1.36 Pemex Project Funding Master Trust co gtd SerRegS 4.71% /2010 (1) 2,750,000 2,843,632 1.22 Pemex Project Funding Master Trust co gtd 5 SerREg* 9.5% /2027 1,690,000 2,203,419 0.96 Pemex Project Funding Master Trust co gtd Ser144A priv plmt 8.625% /2023 1,500,000 1,815,000 0.79 Satelites Mexicanos sr nts SerB defaulted 10.125% 01/11/2004 3,175,000 1,698,625 0.74 4 Pemex Project Funding Master Trust co gtd ser RegS 9.5% /2027 860,000 1,121,266 0.49 Pemex Project Funding Master Trust unsecur co gtd 9.125% /2010 250,000 293,875 0.13 United Mexican States restructured SerD 3 0% /2006 (1) 3,000,000 74,250 0.03 United Mexican States restructured SerC 0% 30/06/2005 3,000,000 23,250 0.01

2 Total for Mexico 19.97

Russian Federation Russian Federation unsecur unsubord SerRegS 12.75% /2028 7,590,000 13,680,975 5.94 1 Russian Federation unsecur unsubord SerRegS 11% /2018 5,311,000 7,913,390 3.43 Russian Federation unsubord SerRegS step cpn 5% to 31/03/2007 / 7.5% to 31/03/2030 4,764,846 5,309,468 2.30 Aries Vermoegensverwaltungs SerRegS SerC 0 9.6% /2014 3,750,000 4,865,625 2.11 I A B Gaz Capital for Gazprom unsecur nts SerRegS 8.625% /2034 3,440,000 4,305,848 1.87 Russian Federation unsubord SerRegS I Fund (net of expenses) Class I shares 8.25% /2010 2,990,000 3,275,844 1.42 A Fund (net of expenses) Class A shares Russian Federation unsubord Ser144A priv plmt step cpn 5% to 31/03/2007 / B Fund (net of expenses) Class B shares 7.5% to 31/03/2030 10,000 11,143 0.00

JPM Emerging Markets Bond Index Global (expressed Total for Russian Federation 17.07 in US dollars)

Brazil Republic of Brazil Brady C Ser20YR 8% /2014 10,021,879 10,234,594 4.44 Republic of Brazil 8.875% /2019 8,330,000 8,783,985 3.81 Republic of Brazil unsubord 14.5% /2009 6,370,000 8,303,295 3.60 Republic of Brazil govt gtd Brady Disc SerZL Ser30YR FRB 4.25% /2024 (1) 4,000,000 3,780,000 1.64 Republic of Brazil 10.5% /2014 2,920,000 3,460,200 1.50 Republic of Brazil unsecur unsubord SerB 8.875% /2024 1,165,000 1,205,775 0.52 Republic of Brazil Brady collaterized Ser30YR 6% /2024 (1) 1,240,000 1,193,500 0.52 Republic of Brazil unsecur unsubord 11% /2040 710,000 850,403 0.37

Total for Brazil 16.40

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 50

Morgan Stanley SICAV 30 June 2005 50

Emerging Markets Debt Fund

STATEMENT OF INVESTMENTS (continued) Nominal in US dollars Market % of net Transferable securities admitted to official exchange listing or dealt Investment unless specified value assets in on another regulated market. As at 30 June 2005, expressed Chile in US dollars. Empresa Nacional de Petroleo nts SerRegS 6.75% /2012 3,260,000 3,636,286 1.58 Nominal in Empresa Nacional de Petroleo nts Ser144A US dollars Market % of net priv plmt 6.75% /2012 90,000 99,833 0.04 Investment unless specified value assets Total for Chile 1.62 Philippines Republic of Philippines 8.875% /2015 10,770,000 11,295,038 4.90 Bulgaria Republic of Philippines sr nts 9.5% /2030 4,520,000 4,658,312 2.02 Republic of Bulgaria SerRegS 8.25% /2015 2,539,000 3,199,140 1.39 Republic of Philippines global 10.625% /2025 1,720,000 1,943,600 0.84 Total for Bulgaria 1.39 Total for Philippines 7.76 Colombia Republic of Colombia bnk gtd 9.75% /2011 1,222,471 1,402,174 0.61 Turkey Republic of Colombia 11.75% /2020 780,000 1,017,900 0.44 Republic of Turkey nts 11% /2013 3,260,000 4,127,975 1.80 Republic of Colombia unsecur 10.375% /2033 490,000 585,550 0.25 Republic of Turkey nts 11.5% /2012 2,960,000 3,785,100 1.64 Citigroup nts RegS 0% /2006 1,800,000 2,591,280 1.12 Citigroup nts 0% /2006 1,808,000 2,513,662 1.09 Total for Colombia 1.30 Citigroup Global Markets 0% /2006 2,300,000 2,301,174 1.00 Citibank Global Markets (Morgan) 0% /2006 1,240,000 1,685,283 0.73 Nigeria Republic of Turkey unsecur sr unsubord Central Bank of Nigeria Brady SerWW step 11.875% /2030 500,000 717,601 0.31 cpn 6.25% to 15/11/2020 2,500,000 2,462,500 1.06 Central Bank of Nigeria Wts exp. 15/11/2020 4,000 104,000 0.05 Total for Turkey 7.69 Total for Nigeria 1.11 Malaysia Government of Malaysia nts 8.75% /2009 6,280,000 7,274,978 3.16 Qatar Government of Malaysia 7.5% /2011 1,210,000 1,408,223 0.61 State of Qatar sr unsecur SerRegS 9.75% /2030 1,100,000 1,713,250 0.74 Total for Malaysia 3.77 Total for Qatar 0.74 Venezuela Republic of Venezuela nts 10.75% /2013 4,070,000 4,765,970 2.07 Tunisia Republic of Venezuela 9.375% /2034 2,150,000 2,258,575 0.98 Banque Centrale de Tunisie unsubord Republic of Venezuela nts 8.5% /2014 1,380,000 1,435,890 0.62 7.375% /2012 780,000 899,924 0.39

Total for Venezuela 3.67 Total for Tunisia 0.39

Panama Ivory Coast Republic of Panama 8.875% /2027 2,410,000 2,879,950 1.25 Ivory Coast Ser20YR FLIRB 2% /2018 2,240,000 425,600 0.18 Republic of Panama global 9.375% /2029 1,840,000 2,272,400 0.99 Republic of Panama global 9.625% /2011 1,265,000 1,508,513 0.65 Total for Ivory Coast 0.18 Republic of Panama 10.75% /2020 380,000 516,800 0.22 Total transferable securities admitted to ofﬁcial exchange Total for Panama 3.11 listing or dealt in on another regulated market 209,608,198 90.90

Argentina Republic of Argentina nts Ser$DIS Other transferable securities not admitted to ofﬁcial exchange listing 8.28% /2033 3,526,673 3,219,852 1.39 or dealt in on another regulated market. Republic of Argentina sr nts /2049 3,670,000 1,082,650 0.47 Republic of Argentina nts Ser$PAR step cpn 1.33% to 31/03/2009 / 5.25% to Indonesia 31/12/2038 2,794,698 1,000,502 0.43 Tjiwi Kimia Finance co gtd Reg144A Republic of Argentina nts Ser DIS$ 4.1% /2018 (1) 2,732,888 1,749,048 0.76 8.28% /2033 316,972 290,641 0.13 Pindo Deli Finance co gtd Reg144A Republic of Argentina nts SerPAR$ step 4.19% /2018 (1) 3,725,131 1,899,816 0.82 cpn 1.33% to 31/03/2009 / 5.25% to Pindo Deli Finance co gtd Reg144A 31/12/2038 356,672 127,266 0.06 0% /2025 (1) 7,512,234 1,502,447 0.65 Pindo Deli Finance co gtd Reg144A Total for Argentina 2.48 4.19% /2015 (1) 1,432,635 1,146,108 0.50 Tjiwi Kimia Finance co gtd Reg144A 4.1% /2015 (1) 1,061,782 891,897 0.39 Peru Tjiwi Kimia Finance co gtd Reg144A Republic of Peru nts 9.875% /2015 2,625,000 3,241,875 1.41 0% /2027 (1) 3,375,330 810,079 0.35 Republic of Peru 8.375% /2016 1,720,000 1,935,000 0.84 Total for Indonesia 3.47 Total for Peru 2.25 952347-1-007 x-cat 8/22/05 17:51 Page 51

51 Morgan Stanley SICAV 30 June 2005

Emerging Markets Debt Fund

STATEMENT OF INVESTMENTS (continued) Other transferable securities not admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US dollars.

Nominal in US dollars Market % of net Investment unless speciﬁed value assets

Russian Federation Russian FTO A/O Raznoexport defaulted loan 31/01/1993 (2) 1,033,834 1,250,008 0.54

Total for Russian Federation 0.54

Venezuela Republic of Venezuela Wts exp. 15/04/2020 14,345 337,108 0.15

Total for Venezuela 0.15

Total other transferable securities not admitted to ofﬁcial exchange listing or dealt in on another regulated market 9,586,511 4.16

Total Investment Securities 219,194,709 95.06

Total NAV 230,592,980 100.00

(1) Variable coupon rates are those quoted as of 30 June 2005. (2) This security is valued at its fair market value. See note 2(a). 952347-1-007 x-cat 8/22/05 17:51 Page 52

Morgan Stanley SICAV 30 June 2005 52

Euro Bond Fund

denominated ﬁxed income securities of high Nominal in Euro unless Market % of net quality issued by governments, agencies and Investment speciﬁed value assets corporations. Government Bonds

Netherlands Government of Netherlands 5% /2011 75,000,000 84,498,750 9.01 Government of Netherlands 5% /2012 64,000,000 72,720,000 7.75 CHANGE IN NET ASSET VALUE PER SHARE Government of Netherlands 3.75% /2009 58,000,000 61,033,400 6.51 Government of Netherlands 5.75% /2007 32,000,000 33,884,800 3.61 For the six months ended 30 June 2005 Government of Netherlands 2.75% /2009 2,000,000 2,031,406 0.22

Total for Netherlands 27.10 4.24% 4.09% 3.55% 4.97% 5 France 4 Government of France OAT 5.5% /2029 55,500,000 71,669,925 7.65 3 French Treasury Note BTAN 3% /2008 42,000,000 42,991,200 4.58 Government of France OAT 4% /2009 40,000,000 42,420,000 4.52 2 Government of France OAT 5.5% /2010 36,000,000 40,838,400 4.35 1 Total for France 21.10 0 I A B Germany Bundesobligation Ser139 4% /2007 58,000,000 59,835,700 6.38 I Fund (net of expenses) Class I shares Bundesrepublik Ser97 6.5% /2027 34,800,001 49,917,121 5.32 Bundesrepublik Ser03 3.75% /2013 42,000,000 44,379,300 4.73 A Fund (net of expenses) Class A shares Deutsche Bundesrepublik Ser04 B Fund (net of expenses) Class B shares 4.25% /2014 34,200,000 37,382,635 3.99

MSCI Euro Debt Index (expressed in Euro) Total for Germany 20.42

Ireland Irish Government (Treasury) 4.25% /2007 25,000,000 26,217,500 2.80 4.19% 4.97% 5 Total for Ireland 2.80 4

3 Italy 2 Republic of Italy 6% /2031 11,000,000 14,743,850 1.57 1 Total for Italy 1.57 0 S Austria Republic of Austria sr unsubord unsecur S Fund (net of expenses) Class S shares Ser2 4.65% /2018 8,500,000 9,631,350 1.03

MSCI Euro Debt Index (expressed in Euro) Total for Austria 1.03

Total for Government Bonds 74.02

Corporate Bonds

United States of America General Electric Capital unsecur sr unsubord SerEMTN 5.125% /2007 5,000,000 5,275,375 0.56 Freddie Mac unsecur sr nts SerINTL 4.625% /2007 5,000,000 5,200,250 0.55 Ford Motor Credit sr nts SerEMTN 5.75% /2009 4,300,000 4,229,910 0.45 Procter & Gamble unsecur sr unsubord 5.75% 26/09/2005 4,000,000 4,031,320 0.43 General Motors Acceptance unsecur unsubord SerEMTN 6% /2008 4,000,000 3,921,420 0.42 Bank of America unsecur sr unsubord 4.25% /2010 3,500,000 3,747,765 0.40 New York Life Funding secur sr nts SerEMTN 5.125% /2006 3,425,000 3,501,720 0.37 Zurich Finance USA unsecur co gtd SerEMTN Please refer to the prospectus for a full disclosure of the investment aim. 5.75% /2023 (1) 3,000,000 3,345,155 0.36 952347-1-007 x-cat 8/22/05 17:51 Page 53

53 Morgan Stanley SICAV 30 June 2005

Euro Bond Fund

Netherlands Deutsche Telekom International Finance Italy unsecur unsubord co gtd 6.625% /2011 3,050,000 3,628,738 0.39 Olivetti Finance unsecur unsubord co gtd Allianz Finance II unsecur subord co gtd SerEMTN 7.25% /2012 3,450,000 4,201,583 0.44 6.125% /2022 (1) 2,905,000 3,391,655 0.36 Sanpaolo IMI subord SerEMTN Honeywell Holding sr unsubord unsecur 3.75% /2015 (1) 2,135,000 2,214,102 0.24 co gtd 5.25% /2006 2,800,000 2,912,420 0.31 Olivetti Finance co gtd SerEMTN Munich Re Finance unsecur subord co gtd 7.75% /2033 1,350,000 1,871,735 0.20 6.75% /2023 (1) 2,000,000 2,384,560 0.25 Aegon unsecur sr unsubord SerEMTN Total for Italy 0.88 4.625% /2008 2,100,000 2,222,162 0.24 DaimlerChrysler International Finance sr Sweden unsecur unsubord co gtd SerEMTN Skandinaviska Enskilda Banken subord nts 6.125% /2006 1,980,000 2,032,213 0.22 SerEMTN 4.125% /2015 (1) 1,200,000 1,267,380 0.14 Koninklijke Philips Electronics unsecur sr SCA Finans unsecur unsubord co gtd unsubord 5.75% /2008 1,850,000 2,012,523 0.21 SerEMTN 5.375% /2007 850,000 898,697 0.10 SNS Bank Nederland unsecur unsubord Assa Abloy nts SerEMTN 5.125% /2006 564,000 584,895 0.06 SerEMTN 6.125% /2010 1,700,000 1,958,366 0.21 EADS Finance co gtd 5.5% /2018 1,500,000 1,753,516 0.19 Total for Sweden 0.30 Cooper Industries Finance unsecur sr unsubord co gtd 6.25% 25/10/2005 1,300,000 1,315,219 0.14 952347-1-007 x-cat 8/22/05 17:51 Page 54

Morgan Stanley SICAV 30 June 2005 54

Euro Bond Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in Euro.

Nominal in Euro unless Market % of net Investment speciﬁed value assets

Corporate Bonds (continued)

Singapore Singapore Telecommunications Ser144A priv plmt 6% /2011 700,000 795,932 0.08

Total for Singapore 0.08

Total for Corporate Bonds 18.41

Mortgage and Asset Backed Securities

United States of America MBNA American Euro Structure 5.125% /2008 (DEM) 15,350,000 8,340,420 0.89

Total for United States of America 0.89

Total for Mortgage and Asset Backed Securities 0.89

Total Investment Securities 875,279,991 93.32

Total NAV 937,962,214 100.00

(1) Variable coupon rates are those quoted as of 30 June 2005. 952347-1-007 x-cat 8/22/05 17:51 Page 55

55 Morgan Stanley SICAV 30 June 2005

Euro Corporate Bond Fund

investment in Euro denominated ﬁxed income Nominal in Euro unless Market % of net securities of high quality issued by Investment speciﬁed value assets

Euro Medium Term Notes corporations and non government related Olivetti Finance unsecur unsubord co gtd SerEMTN 7.25% /2012 7,000,000 8,524,950 2.17 issuers. Ford Motor Credit sr nts SerEMTN 5.75% /2009 7,050,000 6,935,085 1.76 France Telecom unsecur sr unsubord SerEMTN 8.125% /2033 4,165,000 6,412,434 1.63 Bank Nederlandse Gemeenten sr CHANGE IN NET ASSET VALUE PER SHARE unsubord SerEMTN 3% /2010 6,100,000 6,219,365 1.58 For the six months ended 30 June 2005 GE Capital European Funding co gtd SerEMTN 3.25% /2010 5,800,000 5,934,824 1.51 Cadbury Schweppes Investments co gtd SerEMTN 4.25% /2009 4,470,000 4,689,656 1.19 3.20% 2.99% 2.48% 4.26% National Grid Transco sr nts SerEMTN 5 5% /2018 4,000,000 4,406,000 1.12 Stora Enso nts SerEMTN 3.25% /2010 4,180,000 4,191,389 1.06 Lafarge nts SerEMTN 5% /2014 3,731,000 4,058,939 1.03 Generali Finance co gtd SerEMTN 3.875% /2015 3,900,000 4,047,839 1.03 4 Lehman Brothers Holdings nts SerEMTN 6.375% /2011 3,350,000 3,935,031 1.00 Nationwide Building Society nts SerEMTN 3.125% /2010 3,850,000 3,916,122 0.99 France Telecom unsecur sr unsubord SerEMTN 7.25% /2013 3,100,000 3,884,660 0.99 3 Bertelsmann US Finance unsecur sr unsubord co gtd SerEMTN 4.625% /2010 3,600,000 3,845,677 0.98 New York Life Funding secur sr nts SerEMTN 5.125% /2006 3,750,000 3,834,000 0.97 SLM unsubord SerEMTN 4.75% /2014 3,500,000 3,815,438 0.97 Vodafone Group unsecur sr unsubord 2 SerEMTN 4.25% /2009 3,600,000 3,814,020 0.97 BAT International Finance unsecur sr unsubord co gtd SerEMTN 5.125% /2013 3,500,000 3,808,385 0.97 GlaxoSmithKline Capital co gtd SerEMTN 4% /2025 3,800,000 3,791,455 0.96 Aegon unsecur sr unsubord SerEMTN 1 4.625% /2008 3,250,000 3,439,060 0.87 JPMorgan Chase & Co nts SerEMTN 4.25% /2011 3,200,000 3,417,555 0.87 Olivetti Finance co gtd SerEMTN 7.75% /2033 2,440,000 3,382,987 0.86 ASIF III Jersey sr unsubord SerEMTN 0 4.75% /2013 3,000,000 3,306,522 0.84 I A B Vivendi Environnement sr nts SerEMTN 5.875% /2008 3,000,000 3,287,250 0.83 France Telecom unsecur sr unsubord Fund (net of expenses) Class I shares I SerEMTN 7% /2009 2,750,000 3,227,125 0.82 Imperial Tobacco Finance co gtd SerEMTN A Fund (net of expenses) Class A shares 6.25% /2007 3,000,000 3,218,580 0.82 B Fund (net of expenses) Class B shares MBNA Europe Funding gtd SerEMTN 4.5% /2009 3,030,000 3,208,922 0.82 MSCI ECCI Index (expressed in Euro) Royal KPN unsecur sr nts SerEMTN 4.5% /2011 2,932,000 3,114,291 0.79 Allied Domecq Financial Services co gtd SerEMTN 5.875% /2009 2,650,000 2,898,027 0.74 GUS unsecur sr nts SerEMTN 4.125% /2007 2,800,000 2,888,578 0.73 EADS Finance co gtd 5.5% /2018 2,300,000 2,688,725 0.68 BAT International Finance unsecur co gtd SerEMTN 4.875% /2009 2,500,000 2,670,024 0.68 Compass Group unsecur unsubord SerEMTN 6% /2009 2,350,000 2,598,110 0.66 Australia & New Zealand Banking Group sr nts SerEMTN 3.125% /2010 2,500,000 2,550,618 0.65 WPP Group unsecur unsubord 6% /2008 2,320,000 2,538,776 0.64 Countrywide Home Loans co gtd SerEMTN 2.75% /2006 2,500,000 2,510,638 0.64 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:51 Page 56

Morgan Stanley SICAV 30 June 2005 56

Euro Corporate Bond Fund

STATEMENT OF INVESTMENTS (continued) Nominal in Euro unless Market % of net Transferable securities admitted to official exchange listing or dealt Investment specified value assets in on another regulated market. As at 30 June 2005, expressed Eurobond Fixed Rate (continued) in Euro. General Motors unsecur 7.25% /2013 4,500,000 3,898,760 0.99 Hutchison Whampoa Finance co gtd Nominal in 5.875% 2013 3,000,000 3,409,535 0.87 Euro unless Market % of net Philip Morris Finance sr unsecur unsubord Investment specified value assets co gtd 5.625% /2008 3,140,000 3,372,368 0.86 Deutsche Bank unsecur sr unsubord Euro Medium Term Notes (continued) 5.5% /2011 2,900,000 3,304,565 0.84 UPM-Kymmene unsecur sr nts SerEMTN Banca Intesa unsecur sr unsubord 6.125% /2012 2,100,000 2,418,591 0.61 6.25% /2010 2,850,000 3,287,140 0.83 OTE co gtd SerEMTN 5% /2013 2,000,000 2,179,300 0.55 VNU unsecur sr unsubord 6.625% /2007 3,000,000 3,230,550 0.82 Sanpaolo IMI subord SerEMTN Adecco Financial Service co gtd 6% /2006 3,150,000 3,229,534 0.82 3.75% /2015 (1) 2,100,000 2,177,805 0.55 International Paper nts 5.375% /2006 3,000,000 3,094,230 0.79 Merrill Lynch & Co unsecur sr unsubord Bundesrepublik Ser03 3.75% /2013 2,700,000 2,852,955 0.72 SerEMTN 4.625% /2013 2,000,000 2,176,150 0.55 Koninklijke Philips Electronics unsecur sr SNS Bank Nederland sr unsecur unsubord unsubord 5.75% /2008 2,500,000 2,719,625 0.69 SerEMTN 6% /2007 2,000,000 2,164,750 0.55 Pearson 6.125% /2007 2,500,000 2,640,250 0.67 Schneider Electric unsecur sr unsubord Citigroup sr nts 5% /2019 2,310,000 2,630,743 0.67 SerEMTN 6.125% /2007 2,000,000 2,162,280 0.55 TPSA Eurofinance France co gtd ABN Amro Bank subord SerEMTN 4.625% /2011 2,350,000 2,542,348 0.65 4.625% /2009 2,000,000 2,143,250 0.54 PLD International Finance co gtd Rolls-Royce Group unsecur unsubord 4.375% /2011 2,400,000 2,521,005 0.64 SerEMTN 4.5% /2011 2,000,000 2,133,213 0.54 Saint-Gobain Nederland co gtd 5% /2010 2,100,000 2,296,555 0.58 General Motors Acceptance unsecur Government of Netherlands 5% /2012 2,000,000 2,272,500 0.58 unsubord SerEMTN 6% /2008 2,010,000 1,970,514 0.50 Tyco International Group unsecur Veolia Environnement unsecur sr unsubord unsubord co gtd 6.125% /2007 2,000,000 2,116,321 0.54 SerEMTN 4.875% /2013 1,700,000 1,874,039 0.48 Altadis Finance co gtd 4.25% /2008 2,000,000 2,103,383 0.53 Enel nts SerEMTN 4.125% 20/05/2011 1,750,000 1,864,402 0.47 HSBC Holdings subord 3.625% /2020 2,100,000 2,097,357 0.53 E.On International Finance co gtd Honeywell Holding sr unsubord unsecur SerEMTN 5.75% /2009 1,650,000 1,843,572 0.47 co gtd 5.25% /2006 1,825,000 1,898,274 0.48 General Motors Acceptance unsecur sr SFR 3.375% /2012 1,850,000 1,845,878 0.47 unsubord SerEMTN 5.375% /2011 2,000,000 1,795,250 0.46 Hammerson unsecur sr unsubord ISS Global unsecur unsubord SerEMTN 6.25% /2008 1,600,000 1,764,712 0.45 4.75% /2010 2,000,000 1,780,000 0.45 Wolters Kluwer unsecur sr unsubord Tyco International Group unsecur sr 5.125% /2014 1,500,000 1,640,850 0.42 unsubord co gtd SerEMTN 5.5% /2008 1,500,000 1,629,930 0.41 Government of France OAT 5.5% /2029 1,200,000 1,549,620 0.39 Fortis Finance co gtd SerEMTN Sealed Air Finance II sr unsecur co gtd 4.625% /2009 1,500,000 1,614,563 0.41 5.625% /2006 1,115,000 1,150,242 0.29 Rolls-Royce unsecur sr unsubord Rodamco Europe Finance co gtd SerEMTN 6.375% /2007 1,500,000 1,614,300 0.41 3.75% /2010 1,000,000 1,034,219 0.26 Thales sr nts SerEMTN 4.375% /2011 1,360,000 1,447,244 0.37 Cooper Industries Finance unsecur sr International Endesa sr unsecur unsubord unsubord co gtd 6.25% 25/10/2005 1,000,000 1,011,707 0.26 co gtd SerEMTN 5.375% /2013 1,250,000 1,418,115 0.36 SES Global unsecur sr unsubord co gtd Rentokil Initial unsecur sr unsubord 4.5% /2008 670,000 707,071 0.18 SerEMTN 5.75% /2007 1,250,000 1,322,400 0.34 Corning nts Ser144A priv plmt 6.25% /2010 505,000 563,075 0.14 Telefonica Europe co gtd SerEMTN 5.875% /2033 1,000,000 1,227,756 0.31 Total for Eurobond Fixed Rate 20.94 Securitas unsecur sr unsubord SerEMTN 6.125% /2006 915,000 933,346 0.24 Euromarket Step Up Citicorp subord SerEMTN 5.5% /2010 (DEM) 1,500,000 853,487 0.22 Allianz Finance II unsecur subord co gtd Allied Domecq Financial Services co gtd 6.125% /2022 (1) 4,300,000 5,020,348 1.27 SerEMTN 6.625% /2014 (GBP) 500,000 775,615 0.20 Zurich Finance USA unsecur co gtd RWE Finance unsecur sr unsubord co gtd SerEMTN 5.75% /2023 (1) 4,500,000 5,017,731 1.27 SerEMTN 5.5% /2007 614,000 657,502 0.17 Munich Re Finance unsecur subord co gtd SCA Finans unsecur unsubord co gtd 6.75% /2023 (1) 4,150,000 4,947,962 1.26 SerEMTN 5.375% /2007 600,000 634,375 0.16 Royal Bank of Scotland unsecur sr subord Allied Domecq Financial Services co gtd SerEMTN 4.5% /2016 (1) 4,580,000 4,933,324 1.25 SerEMTN 5.5% /2006 500,000 511,833 0.13 BNP Paribas subord SerEMTN Assa Abloy nts SerEMTN 5.125% /2006 461,000 478,080 0.12 3.125% /2015 (1) 3,800,000 3,832,406 0.97 Securitas unsecur sr unsubord SerEMTN HBOS subord nts SerEMTN 4.5% /2030 (1) 3,425,000 3,537,340 0.90 6.125% /2008 400,000 434,509 0.11 Aviva subord 5.25% /2023 (1) 3,130,000 3,488,620 0.89 Koninklikje Ahold unsecur sr unsubord SL Finance co gtd 6.375% /2022 (1) 3,000,000 3,476,832 0.88 SerEMTN 5.875% /2008 400,000 427,040 0.11 Michelin (C.G.D.E.) subord SerTSDR Safeway unsecur unsubord SerEMTN 6.375% /2033 (1) 3,050,000 3,468,567 0.88 6.5% /2010 250,000 282,643 0.07 Santander International Debt bnk gtd SerEMTN 2.166% /2008 (1) 3,410,000 3,406,532 0.87 Total for Euro Medium Term Notes 47.23 UniCredito Italiano nts SerEMTN 2.272% /2011 (1) 3,250,000 3,249,535 0.83 Eurobond Fixed Rate UBS Preferred Funding Jersey bnk gtd Pemex Project Funding Master Trust co 4.28% /2049 (1) 2,900,000 3,023,602 0.77 gtd SerRegS 6.625% /2010 5,150,000 5,837,525 1.49 Bank of Ireland subord SerEMTN Depfa Pfandbriefbank secur SerG6 4.625% /2019 (1) 2,000,000 2,174,960 0.55 5.5% /2010 4,550,000 5,130,912 1.30 Danske Bank A/S subord nts unsecur Vivendi Universal sr nts 3.625% /2010 4,600,000 4,675,281 1.19 SerEMTN 5.75% /2011 (1) 2,000,000 2,172,079 0.55 952347-1-007 x-cat 8/22/05 17:51 Page 57

57 Morgan Stanley SICAV 30 June 2005

Euro Corporate Bond Fund

STATEMENT OF INVESTMENTS (continued) Nominal in Euro unless Market % of net Transferable securities admitted to official exchange listing or dealt Investment specified value assets in on another regulated market. As at 30 June 2005, expressed Government Bonds in Euro. Russian Federation unsubord Ser144A priv plmt step cpn 5% to 31/03/2007 / Nominal in 7.5% to 31/03/2030 (USD) 2,200,000 2,033,816 0.52 Euro unless Market % of net Investment specified value assets Total for Government Bonds 0.52

Euromarket Step Up (continued) Total Investment Securities 385,650,447 97.95 Linde Finance co gtd 6% /2013 (1) 1,865,000 2,025,362 0.51 Prudential subord SerEMTN 5.75% /2021 (1) 1,750,000 2,002,683 0.51 Total NAV 393,721,043 100.00 Russian Federation unsubord SerRegS step cpn 5% to 31/03/2007 / 7.5% to 31/03/2030 (USD) 2,025,000 1,870,103 0.47 (1) Variable coupon rates are those quoted as of 30 June 2005. Legal & General Group subord nts SerEMTN 4% /2025 (1) 1,500,000 1,525,073 0.39 Nordea Bank subord nts SerEMTN 4% /2016 (1) 700,000 736,771 0.19 Australia & New Zealand Banking Group subord nts SerEMTN 4.45% /2015 (1) 650,000 695,918 0.18

Total for Euromarket Step Up 15.39

Fixed Rate Global Deutsche Telekom International Finance unsecur co gtd 8.125% /2012 9,100,000 11,789,959 2.98 Freddie Mac 3.75% /2009 6,600,000 6,922,327 1.75 Bank of America unsecur sr unsubord 4.25% /2010 4,680,000 5,011,297 1.27 Household Finance unsecur sr unsubord 5.125% /2009 3,600,000 3,927,534 1.00 DaimlerChrysler NA Holding co gtd 7.3% /2012 (USD) 5,400,000 5,002,527 1.27 Goldman Sachs Group nts 5.125% /2013 1,650,000 1,840,705 0.47 WPP Finance UK co gtd 5.875% /2014 (USD) 2,050,000 1,796,292 0.46 CIT Group sr nts SerGMTN 4.25% /2011 1,700,000 1,792,565 0.46 Comcast sr unsecur co gtd 6.5% /2015 (USD) 1,750,000 1,612,393 0.41 Ford Motor Credit nts 6.5% /2007 (USD) 1,700,000 1,421,060 0.36 Health Net unsecur sr nts 9.875% /2011 (USD) 1,400,000 1,384,818 0.35 CIT Group unsecur sr unsubord 5% /2014 1,100,000 1,204,488 0.31 Residential Capital nts Ser144A priv plmt 6.375% /2010 (USD) 1,300,000 1,084,006 0.28 Citigroup unsecur sr nts SerINTL 3.875% /2010 1,000,000 1,054,380 0.27 Residential Capital nts Ser144A priv plmt 6.375% /2010 (USD) 885,000 737,958 0.19 Mantis Reef nts Ser144A priv plmt 4.692% /2008 (USD) 390,000 324,327 0.08 Singapore Telecommunications Ser144A priv plmt 6% /2011 160,000 181,928 0.05 SLM nts 4% /2010 (USD) 45,000 36,875 0.01

Total for Fixed Rate Global 11.97

US Corporate Bonds Washington Mutual subord nts 8.25% /2010 (USD) 2,280,000 2,179,032 0.55 Interpublic Group of Companies nts 6.25% /2014 (USD) 2,625,000 2,044,210 0.52 News America debentures 7.125% /2028 (USD) 1,500,000 1,415,703 0.36 Altria Group nts 7% /2013 (USD) 855,000 793,137 0.20 Interpublic Group of Companies nts 5.4% /2009 (USD) 925,000 735,411 0.19 Tenet Healthcare unsecur sr nts 6.875% /2031 (USD) 475,000 331,950 0.08

Total for US Corporate Bonds 1.90 952347-1-007 x-cat 8/22/05 17:52 Page 58

Morgan Stanley SICAV 30 June 2005 58

Euro Strategic Bond Fund

and currency selection. The Fund consists of Nominal in Euro unless Market % of net ﬁxed income securities of varying maturities, Investment speciﬁed value assets denominated primarily in the Euro and other Government Bonds

France European currencies which are probable Government of France OAT 5.5% /2029 40,800,000 52,687,080 8.81 Government of France OAT 5.5% /2010 40,900,000 46,396,960 7.77 candidates for joining the Economic and French Treasury Note BTAN 3% /2008 28,900,000 29,582,040 4.95 Government of France OAT 5.5% /2007 25,900,000 27,881,350 4.67 Monetary Union at a later date. Total for France 26.20

Netherlands CHANGE IN NET ASSET VALUE PER SHARE Government of Netherlands 3.75% /2009 49,400,000 51,983,620 8.69 Government of Netherlands 5% /2011 44,000,000 49,572,600 8.30 For the six months ended 30 June 2005 Government of Netherlands 5% /2012 39,200,000 44,541,000 7.46 Government of Netherlands 2.75% /2009 1,000,000 1,015,703 0.17

4.31% 4.14% 3.64% 4.97% Total for Netherlands 24.62 5

4 Germany 3 Bundesrepublik Ser03 3.75% /2013 36,500,000 38,567,725 6.46 Bundesrepublik Ser97 6.5% /2027 22,700,000 32,560,880 5.45 2 Bundesobligation Ser139 4% /2007 27,000,000 27,854,550 4.66 1 Bundesobligation Ser142 3% /2008 16,300,000 16,681,559 2.79 Deutsche Bundesrepublik Ser04 0 4.25% /2014 11,300,000 12,351,572 2.07 I A B Total for Germany 21.43 I Fund (net of expenses) Class I shares Austria A Fund (net of expenses) Class A shares Republic of Austria sr unsubord unsecur Ser2 4.65% /2018 5,700,000 6,458,670 1.08 B Fund (net of expenses) Class B shares

MSCI Euro Debt Index (expressed in Euro) Total for Austria 1.08

Ireland Irish Government (Treasury) 4.25% /2007 6,000,000 6,292,200 1.05 1.05% 1.02% 4.97% 5 Total for Ireland 1.05 4

3 Belgium 2 Kingdom of Belgium Ser31 5.5% /2028 3,000,000 3,844,500 0.64 1 Total for Belgium 0.64 0 IX AX Canada Government of Canada nts SerEMTN IX Fund (net of expenses) Class IX shares 1.9% /2009 (JPY) 300,000,000 2,396,482 0.40

AX Fund (net of expenses) Class AX shares Total for Canada 0.40

MSCI Euro Debt Index (expressed in Euro) Russian Federation Russian Federation unsubord SerRegS step cpn 5% to 31/03/2007 / 7.5% to 31/03/2030 (USD) 2,080,000 1,920,896 0.32

Total for Russian Federation 0.32

Total for Government Bonds 75.74

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:52 Page 59

59 Morgan Stanley SICAV 30 June 2005

Euro Strategic Bond Fund

STATEMENT OF INVESTMENTS (continued) Nominal in Euro unless Market % of net Transferable securities admitted to official exchange listing or dealt Investment specified value assets in on another regulated market. As at 30 June 2005, expressed Corporate Bonds (continued) in Euro. Netherlands (continued) Nominal in VNU unsecur sr unsubord 6.625% /2007 1,100,000 1,184,535 0.20 Euro unless Market % of net Koninklikje Ahold unsecur sr unsubord Investment specified value assets SerEMTN 5.875% /2008 1,030,000 1,099,628 0.18 Aegon unsecur sr unsubord SerEMTN Corporate Bonds 4.625% /2008 1,000,000 1,058,172 0.18 Kappa Beheer sr subord co gtd Ser*144 United States of America priv plmt 10.625% /2009 750,000 776,250 0.13 Ford Motor Credit sr nts SerEMTN Honeywell Holding sr unsubord unsecur 5.75% /2009 2,300,000 2,262,510 0.37 co gtd 5.25% /2006 650,000 676,098 0.11 Zurich Finance USA unsecur co gtd Koninklijke Philips Electronics unsecur sr SerEMTN 5.75% /2023 (1) 1,600,000 1,784,082 0.30 unsubord 5.75% /2008 600,000 652,710 0.11 Tyco International Group unsecur unsubord Altadis Finance co gtd 4.25% /2008 500,000 525,846 0.09 co gtd 6.125% /2007 1,550,000 1,640,149 0.27 Sealed Air Finance II sr unsecur co gtd DaimlerChrysler NA Holding co gtd 5.625% /2006 385,000 397,169 0.07 7.3% /2012 (USD) 1,750,000 1,621,189 0.27 Royal KPN unsecur sr nts SerEMTN 4.5% /2011 350,000 371,760 0.06 Xerox unsecur sr nts 9.75% /2009 950,000 1,130,405 0.19 RWE Finance unsecur sr unsubord co gtd Bank of America unsecur sr unsubord SerEMTN 5.5% /2007 87,000 93,164 0.02 4.25% /2010 1,000,000 1,070,790 0.18 Interpublic Group of Companies nts Total for Netherlands 4.24 6.25% /2014 (USD) 1,375,000 1,070,777 0.18 General Electric Capital unsecur sr United Kingdom unsubord SerEMTN 5.125% /2007 1,000,000 1,055,075 0.18 BAT International Finance unsecur sr Georgia-Pacific sr unsecur co gtd unsubord co gtd SerEMTN 5.125% /2013 1,800,000 1,958,597 0.33 8.875% /2010 (USD) 1,080,000 1,022,978 0.17 GlaxoSmithKline Capital co gtd SerEMTN CIT Group sr nts SerGMTN 4.25% /2011 970,000 1,022,817 0.17 4% /2025 1,650,000 1,646,290 0.28 Merrill Lynch & Co unsecur unsubord ASIF III Jersey sr unsubord SerEMTN SerEMTN 5.375% /2009 (DEM) 1,810,000 997,317 0.17 4.75% /2013 1,350,000 1,487,935 0.25 General Motors Acceptance unsecur sr Cadbury Schweppes Investments co gtd unsubord SerEMTN 5.375% /2011 1,100,000 987,388 0.17 SerEMTN 4.25% /2009 1,350,000 1,416,339 0.24 General Motors Acceptance unsecur Royal Bank of Scotland unsecur sr subord unsubord SerEMTN 6% /2008 1,000,000 980,355 0.16 SerEMTN 4.5% /2016 (1) 1,300,000 1,400,289 0.23 General Motors unsecur 7.25% /2013 1,100,000 953,030 0.16 HBOS subord nts SerEMTN 4.5% /2030 (1) 1,350,000 1,394,280 0.23 MGM Mirage sr nts 6.75% /2012 (USD) 1,000,000 855,454 0.14 HSBC Holdings subord 3.625% /2020 1,150,000 1,148,553 0.19 Owens Brockway Glass Container co gtd Aviva subord 5.25% /2023 (1) 1,000,000 1,114,575 0.19 6.75% /2014 750,000 776,250 0.13 Vodafone Group unsecur nts SerEMTN International Paper nts 5.375% /2006 700,000 721,987 0.12 5.75% /2006 1,000,000 1,045,650 0.18 Health Net unsecur sr nts 9.875% /2011 (USD) 700,000 692,409 0.12 John Hancock Global Fund secur SerEMTN Echostar DBS co gtd 6.625% /2014 (USD) 840,000 691,424 0.12 3.875% /2006 1,000,000 1,009,500 0.17 Corning nts Ser144A priv plmt OTE co gtd SerEMTN 5% /2013 900,000 980,685 0.16 6.25% /2010 600,000 669,000 0.11 MBNA Europe Funding gtd SerEMTN Philip Morris Finance sr unsecur unsubord 4.5% /2009 900,000 953,145 0.16 co gtd 5.625% /2008 600,000 644,402 0.11 Nationwide Building Society nts SerEMTN Reliant Energy secur 6.75% /2014 (USD) 650,000 527,392 0.09 3.125% /2010 900,000 915,457 0.15 Household Finance unsecur unsubord Rolls-Royce Group unsecur unsubord 5.25% 23/11/2005 500,000 505,789 0.08 SerEMTN 4.5% /2011 780,000 831,953 0.14 Starwood Hotels & Resorts Worldwide WPP Finance UK co gtd 5.875% /2014 (USD) 930,000 814,903 0.14 sr co gtd 7.875% /2012 (USD) 500,000 469,781 0.08 Allied Domecq Financial Services co gtd Hutchison Whampoa Finance co gtd SerEMTN 6.625% /2014 (GBP) 500,000 775,615 0.13 5.875% 2013 400,000 454,605 0.08 Legal & General Group subord nts Kerr-McGee secur 7.875% /2031 (USD) 435,000 406,834 0.07 SerEMTN 4% /2025 (1) 700,000 711,701 0.12 Household Finance unsecur sr unsubord WPP Group unsecur unsubord 6% /2008 650,000 711,295 0.12 5.125% /2009 300,000 327,295 0.05 Compass Group unsecur unsubord Xerox sr nts 6.875% /2011 (USD) 370,000 322,654 0.05 SerEMTN 6% /2009 600,000 663,347 0.11 Interpublic Group of Companies nts Rentokil Initial unsecur sr unsubord 5.4% /2009 (USD) 350,000 278,263 0.05 SerEMTN 5.75% /2007 600,000 634,752 0.11 Bank of America sr unsecur unsubord GUS unsecur sr nts SerEMTN 3.625% /2008 250,000 258,356 0.04 4.125% /2007 600,000 618,981 0.10 Tenet Healthcare unsecur sr nts Smiths Industries unsecur sr unsubord 6.875% /2031 (USD) 250,000 174,711 0.03 7.25% /2016 (GBP) 325,000 569,887 0.10 Altria Group nts 7% /2013 (USD) 175,000 162,338 0.03 Hammerson unsecur sr unsubord 6.25% /2008 500,000 551,473 0.09 Total for United States of America 4.44 MBNA Europe Funding bnk gtd SerEMTN 6.5% /2007 450,000 481,333 0.08 Netherlands Allied Domecq Financial Services co gtd Bank Nederlandse Gemeenten Ser EMTN 6.625% /2011 (GBP) 300,000 464,886 0.08 unsecur sr unsubord 0.8% /2008 (JPY) 1,450,000,000 11,103,796 1.85 Pearson 6.125% /2007 425,000 448,843 0.08 Deutsche Telekom International Finance TI Group unsecur unsubord 6.375% unsecur co gtd 8.125% /2012 2,800,000 3,627,680 0.61 18/07/2005 80,000 80,112 0.01 Allianz Finance II unsecur subord co gtd 6.125% /2022 (1) 1,860,000 2,171,593 0.36 Total for United Kingdom 4.17 Munich Re Finance unsecur subord co gtd 6.75% /2023 (1) 1,350,000 1,609,578 0.27 952347-1-007 x-cat 8/22/05 17:52 Page 60

Morgan Stanley SICAV 30 June 2005 60

Euro Strategic Bond Fund

Canada France Abitibi-Consolidated unsecur debentures France Telecom unsecur sr unsubord 8.85% /2030 (USD) 900,000 716,813 0.12 SerEMTN 8.125% /2033 1,060,000 1,631,975 0.27 Abitibi-Consolidated unsecur nts Thales sr nts SerEMTN 4.375% /2011 1,470,000 1,564,301 0.26 8.55% /2010 (USD) 275,000 238,350 0.04 France Telecom unsecur sr unsubord SerEMTN 7% /2009 1,320,000 1,549,020 0.26 Veolia Environnement unsecur sr unsubord Total for Canada 0.16 SerEMTN 4.875% /2013 1,150,000 1,267,732 0.21 BNP Paribas subord SerEMTN Ireland 3.125% /2015 (1) 1,100,000 1,109,381 0.19 MDP Acquisitions unsecur sr nts SerEUR Michelin (C.G.D.E.) subord SerTSDR 10.125% /2012 400,000 414,000 0.07 6.375% /2033 (1) 950,000 1,080,373 0.18 Vivendi Universal sr nts 3.625% /2010 1,020,000 1,036,693 0.17 Total for Ireland 0.07 Alcatel unsecur unsubord 4.375% /2009 950,000 985,768 0.17 SFR 3.375% /2012 900,000 897,995 0.15 Vivendi Environnement sr nts SerEMTN Luxembourg 5.875% /2008 650,000 712,238 0.12 SES Global unsecur sr unsubord co gtd Thomson CSF sr nts SerEMTN 6.125% 4.5% /2008 150,000 158,300 0.03 14/11/2005 600,000 608,130 0.10 Crown European co gtd 6.25% /2011 500,000 527,500 0.09 Total for Luxembourg 0.03 France Telecom unsecur sr unsubord SerEMTN 7.25% /2013 340,000 426,059 0.07 Total for Corporate Bonds 18.00

Total for France 2.24 Total Investment Securities 559,991,292 93.74

Italy Total NAV 597,413,480 100.00 Olivetti Finance unsecur unsubord co gtd SerEMTN 7.25% /2012 2,550,000 3,105,517 0.53 Olivetti Finance co gtd SerEMTN 7.75% /2033 750,000 1,039,853 0.17 (1) Variable coupon rates are those quoted as of 30 June 2005. Sanpaolo IMI subord SerEMTN 3.75% /2015 (1) 935,000 969,642 0.16

Total for Italy 0.86

Sweden ABB International Finance unsecur sr unsubord SerEMTN 11% /2008 1,165,000 1,377,786 0.23 Telefonaktiebolaget LM Ericsson SerEMTN 6.75% /2010 800,000 898,000 0.15 Assa Abloy nts SerEMTN 5.125% /2006 115,000 119,261 0.02

Total for Sweden 0.40

Spain Santander International Debt bnk gtd SerEMTN 2.166% /2008 (1) 2,250,000 2,247,711 0.38

Total for Spain 0.38

Finland Stora Enso nts SerEMTN 3.25% /2010 1,900,000 1,905,177 0.32

Total for Finland 0.32

Mexico Pemex Project Funding Master Trust co gtd SerRegS 6.625% /2010 1,450,000 1,643,574 0.28

Total for Mexico 0.28

Switzerland Adecco Financial Service co gtd 6% /2006 1,200,000 1,230,299 0.21

Total for Switzerland 0.21 952347-1-007 x-cat 8/22/05 17:52 Page 61

61 Morgan Stanley SICAV 30 June 2005

European Currencies High Yield Bond Fund

worldwide primarily in lower rated and Nominal in Euro unless Market % of net unrated ﬁxed income securities issued by Investment speciﬁed value assets

Chemicals governments, agencies and corporations Cognis Deutschland Ser144A priv plmt 6.895% /2013 (1) 900,000 922,500 1.72 that offer a yield above that generally available Kronos International sr secur SerEUR 8.875% /2009 770,000 820,050 1.53 on debt securities in the four highest rating SGL Carbon Luxembourg sr nts Ser144A priv plmt 8.5% /2012 650,000 715,000 1.33 categories of S&P or Moody’s denominated Rockwood Specialities Group co gtd Ser144A priv plmt 7.625% /2014 700,000 705,250 1.31 Rhodia sr nts 8% /2010 700,000 700,000 1.30 in European currencies. Lucite International Finance sr nts SerA&B 10.25% /2010 655,000 691,025 1.28 Rhodia sr subord 9.25% /2011 635,000 631,825 1.17 Ineos Vinyls Finance co gtd Ser144A priv plmt 9.125% /2011 500,000 512,500 0.95 CHANGE IN NET ASSET VALUE PER SHARE Huntsman International sr subord SerRegS For the six months ended 30 June 2005 7.5% /2015 500,000 503,750 0.93 Nalco sr nts 7.75% /2011 400,000 434,000 0.81 Equistar Chemicals / Equistar Funding unsecur sr nts 10.625% /2011 (USD) 220,000 201,684 0.37 0.09% (0.09)% (0.58)% 1.89% 2.0 Nalco sr subord nts 9% /2013 140,000 153,300 0.28 IMC Global co gtd unsecur sr SerB 10.875% /2008 (USD) 23,000 21,538 0.04

Total for Chemicals 13.02 1.5 Manufacturing Manitowoc unsecur sr subord 10.375% /2011 760,000 843,600 1.57 MTU Aero Engines Investment GmbH & Co sr nts Ser144A priv plmt 8.25% /2014 650,000 757,673 1.41 1.0 ABB International Finance unsecur sr unsubord SerEMTN 11% /2008 630,000 747,338 1.39 Flowserve Finance unsecur co gtd SerEUR 12.25% /2010 627,000 676,376 1.25 0.5 Flender Holding sr nts Ser144A priv plmt 11% /2010 475,000 578,313 1.07 ABB International Finance sr 6.5% /2011 500,000 566,249 1.05 Levi Strauss & Co sr unsubord 8.625% /2013 550,000 528,000 0.97 Heckler & Koch secur sr Ser144A priv plmt 0.0 9.25% /2011 415,000 466,875 0.87 Propex Fabrics co gtd 10% /2012 (USD) 510,000 404,074 0.75 NMHG Holding unsecur co gtd 10% /2009 (USD) 445,000 389,493 0.72 Amsted Industries sr nts Ser144A priv -0.5 plmt 10.25% /2011 (USD) 295,000 264,322 0.49 Oxford Industries sr nts 8.875% /2011 (USD) 130,000 115,941 0.22

Total for Manufacturing 11.76

-1.0 I A B Metals Crown European co gtd 6.25% /2011 1,300,000 1,371,500 2.55 Corus Group unsecur co gtd I Fund (net of expenses) Class I shares 6.75% /2008 (GBP) 550,000 802,050 1.49 Owens Brockway Glass Container co gtd A Fund (net of expenses) Class A shares 6.75% / 2014 725,000 742,219 1.38 Impress Metal Packaging sr subord Fund (net of expenses) Class B shares B 9.875% /2007 (DEM) 1,275,000 660,046 1.22 Merrill Lynch European Currency Constrained High Trimas unsecur co gtd 9.875% /2012 (USD) 510,000 357,531 0.66 Yield Index (expressed in Euro) Gerresheimer Holdings co gtd Ser144A priv plmt 7.875% /2015 300,000 299,250 0.55 Murrin Murrin Holdings secur sr nts defaulted 9.375% /2007 (2) (USD) 905,000 75 0.00

Total for Metals 7.85

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:52 Page 62

Morgan Stanley SICAV 30 June 2005 62

European Currencies High Yield Bond Fund

Cable Total for Forest Product 3.64 Cablecom Luxembourg co gtd Ser144A priv plmt 9.375% /2014 935,000 1,060,056 1.98 Kabel Deutschland co gtd sr Ser144A Retail priv plmt 10.75% /2014 625,000 723,438 1.34 Victoria Acquisition III sr nts Ser144A TVN Finance unsecur sr co gtd Ser144A priv plmt 7.875% /2014 900,000 832,499 1.54 priv plmt 9.5% /2013 500,000 578,360 1.07 Buhrmann US sr subord nts 8.25% /2014 (USD) 440,000 364,127 0.68 Telenet Communications sr nts Ser144A Petro Stopping Centers / Petro Financial priv plmt 9% /2013 500,000 567,500 1.05 secur 9% /2012 (USD) 400,000 335,172 0.62 Renaissance Media Group unsecur sr disc Jean Coutu Group sr subord nts co gtd step cpn 10% to 15/04/2008 (USD) 185,000 152,715 0.28 8.5% /2014 (USD) 350,000 287,468 0.53 Jean Coutu Group sr nts 7.625% /2012 (USD) 165,000 142,023 0.26 Total for Cable 5.72 Total for Retail 3.63 952347-1-007 x-cat 8/22/05 17:52 Page 63

63 Morgan Stanley SICAV 30 June 2005

European Currencies High Yield Bond Fund

STATEMENT OF INVESTMENTS (continued) Nominal in Transferable securities admitted to official exchange listing or dealt Euro unless Market % of net specified in on another regulated market. As at 30 June 2005, expressed Investment value assets in Euro. Government Bond US Treasury Bill 0% 14/07/2005 (3) 50,000.00 41,139.00 0.08 Nominal in Euro unless Market % of net Total for Government Bond 0.08 Investment specified value assets Total transferable securities admitted to official exchange Financials listing or dealt in on another regulated market 50,461,436 93.61 Barry Callebaut Services sr subord Ser144A priv plmt 9.25% /2010 500,000 563,750 1.06 MDP Acquisitions unsecur sr nts SerEUR Other transferable securities not admitted to official exchange listing 10.125% /2012 450,000 470,250 0.87 General Motors Acceptance unsecur sr or dealt in on another regulated market. unsubord SerEMTN 5.375% /2011 500,000 448,813 0.83 Medcath Holdings 9.875% /2012 (USD) 315,000 293,348 0.54 Commercial Services Iron Mountain sr subord Ser144A priv plmt Total for Financials 3.30 7.25% /2014 (GBP) 550,000 773,405 1.43

Total for Commercial Services 1.43 Transportation Fiat Finance & Trade unsecur sr unsubord co gtd SerEMTN 5.75% /2006 1,050,000 1,059,450 1.97 Cable General Motors unsecur 7.25% / 2013 830,000 719,105 1.33 Antenna TV sr nts Ser144A priv plmt 7.25% /2015 600,000 585,000 1.09 Total for Transportation 3.30 Total for Cable 1.09 Information Technology Xerox unsecur sr nts 9.75% /2009 750,000 892,500 1.66 Broadcasting Riverdeep Group sr nts Ser144A priv plmt Paxson Communications Pfd Stock 14 74,517 0.14 9.25% /2011 750,000 813,750 1.51 Paxson 98,311 5,261 0.01

Total for Information Technology 3.17 Total for Broadcasting 0.15

Utility Telecommunications AES sr nts 8.375% /2011 (GBP) 431,000 644,549 1.19 XO Communications Pfd Stock 27,911 232 0.00 Nevada Power secur SerA 8.25% /2011 (USD) 275,000 257,406 0.48 Maxcom Telecom sr unsecur co gtd TNP Enterprises sr unsecur subord nts defaulted step cpn 0% to 01/03/2006 / SerB 10.25% /2010 (USD) 210,000 183,893 0.34 10% to 01/03/2007 (2) (USD) 448 11 0.00 PSEG Energy Holdings unsecur nts Esprit Telecom Group sr nts defaulted 7.75% /2007 (USD) 60,000 51,520 0.10 11% /2008 (2) (DEM) 10,090,000 0 0.00 XO Communications unsecur sr nts Total for Utility 2.11 defaulted 10.75% /2009 (2) (USD) 1,350,000 0 0.00

Total for Telecommunications 0.00 Household Johnsondiversey sr subord nts SerEURO 9.625% /2012 825,000 812,625 1.51 Total other transferable securities not admitted to ofﬁcial exchange listing or dealt in on another regulated market 1,438,426 2.67 Total for Household 1.51 Total Investment Securities 51,899,862 96.28

Wireless Communications Total NAV 53,904,055 100.00 SBA Communications sr nts 8.5% /2012 (USD) 510,000 458,020 0.84 SBA Telecommunications / SBA Communications sr disc nts step cpn (1) Variable coupon rates are those quoted as of 30 June 2005. 0% to 15/12/2007 / (2) This security is valued at its fair market value. See note 2(a). 9.75% to 15/12/2011 (USD) 130,000 99,764 0.19 (3) Security held as collateral against bond futures positions by the broker.

Total for Wireless Communications 1.03

Gaming & Leisure Station Casinos sr subord nts Ser144A priv plmt 6.875% /2016 (USD) 280,000 239,847 0.44 Isle of Capri Casinos sr subord nts 7% /2014 (USD) 225,000 188,534 0.35

Total for Gaming & Leisure 0.79

Commercial Services Allied Waste North America secur 6.375% /2011 (USD) 350,000 279,483 0.52

Total for Commercial Services 0.52 952347-1-007 x-cat 8/22/05 17:52 Page 64

Morgan Stanley SICAV 30 June 2005 64

Global Bond Fund

instrument and currency selection. The Fund Nominal in US dollars Market % of net consists of domestic, international and Investment unless speciﬁed value assets Euromarket ﬁxed income securities of varying Government Bonds

France maturities denominated in US Dollars and Government of France OAT 5.5% /2029 (EUR) 21,200,000 32,998,409 10.03 French Treasury Note BTAN 3% /2008 (EUR) 8,600,000 10,610,648 3.22 other currencies, including emerging markets. Government of France OAT 5.5% /2010 (EUR) 3,000,000 4,102,047 1.25

Total for France 14.50

CHANGE IN NET ASSET VALUE PER SHARE Germany For the six months ended 30 June 2005 Bundesobligation Ser139 4% /2007 (EUR) 12,000,000 14,921,992 4.54 Bundesrepublik Ser97 6.5% /2027 (EUR) 5,800,000 10,027,933 3.05 Deutsche Bundesrepublik Ser04 4.25% /2014 (EUR) 7,300,000 9,617,891 2.92 (4.84)% (5.04)% (5.49)% (3.96)% 0 Total for Germany 10.51 -1 -2 Japan -3 Development Bank of Japan unsecur -4 govt gtd 2.875% /2006 (JPY) 1,100,000,000 10,351,786 3.14 -5 Japan Bank for International Cooperation govt gtd 0.35% /2008 (JPY) 700,000,000 6,379,963 1.94 -6 Development Bank of Japan govt gtd I A B SerINTL 1.7% /2022 (JPY) 670,000,000 6,072,944 1.85

I Fund (net of expenses) Class I shares Total for Japan 6.93

A Fund (net of expenses) Class A shares United Kingdom B Fund (net of expenses) Class B shares UK Treasury 5% /2014 (GBP) 9,600,000 18,298,164 5.56

Citi World Government Bond Index (expressed in US Total for United Kingdom 5.56 dollars)

Supra-National European Investment Bank nts (0.42)% (0.45)% (3.96)% SerEMTN 2.125% /2007 (JPY) 1,200,000,000 11,355,596 3.45 0 Inter-American Development Bank -1 unsecur 1.9% /2009 (JPY) 300,000,000 2,895,822 0.88 -2 International Bank for Reconstruction & Development nts 5% /2006 2,000,000 2,019,000 0.61 -3 -4 Total for Supra-National 4.94 -5 -6 Netherlands IX AX Government of Netherlands 5% /2011 (EUR) 10,000,000 13,580,076 4.13

IX Fund (net of expenses) Class IX shares Total for Netherlands 4.13

AX Fund (net of expenses) Class AX shares Canada Citi World Government Bond Index (expressed in US Government of Canada 5.25% /2012 (CAD) 9,300,000 8,292,443 2.52 dollars) Province of Ontario nts SerEMTN 1.875% /2010 (JPY) 200,000,000 1,936,761 0.59

Total for Canada 3.11

United States of America US Treasury 3.5% /2006 7,000,000 6,994,531 2.12 US Treasury 5.5% /2028 1,000,000 1,169,063 0.36

Total for United States of America 2.48

Italy Republic of Italy SerINTL 0.375% /2006 (JPY) 450,000,000 4,086,061 1.24

Please refer to the prospectus for a full disclosure of the investment aim. Total for Italy 1.24 952347-1-007 x-cat 8/22/05 17:52 Page 65

65 Morgan Stanley SICAV 30 June 2005

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Morgan Stanley SICAV 30 June 2005 66

Global Bond Fund

Total for United Kingdom 4.64 Sweden Telefonaktiebolaget LM Ericsson Netherlands SerEMTN 6.75% /2010 (EUR) 500,000 676,503 0.21 Bank Nederlandse Gemeenten unsecur ABB International Finance unsecur sr sr unsubord 0.8% /2008 (JPY) 430,000,000 3,969,037 1.21 unsubord SerEMTN 11% /2008 (EUR) 450,000 641,478 0.19 Rabobank Nederland nts SerEMTN 0.2% /2008 (JPY) 350,000,000 3,166,549 0.96 Total for Sweden 0.40 Deutsche Telekom International Finance unsecur co gtd 8.125% /2012 (EUR) 650,000 1,015,073 0.31 Munich Re Finance unsecur subord co Canada gtd 6.75% /2023 (1) (EUR) 600,000 862,269 0.26 Abitibi-Consolidated unsecur debentures Koninklikje Ahold unsecur sr unsubord 8.85% /2030 600,000 576,007 0.18 SerEMTN 5.875% /2008 (EUR) 550,000 707,757 0.22 Bowater Canada Finance unsecur co gtd Altadis Finance co gtd 4.25% /2008 (EUR) 200,000 253,531 0.08 7.95% /2011 355,000 378,075 0.11 RWE Finance unsecur sr unsubord co Abitibi-Consolidated unsecur nts gtd SerEMTN 5.5% /2007 (EUR) 61,000 78,736 0.02 8.55% /2010 200,000 208,942 0.06

Total for Netherlands 3.06 Total for Canada 0.35

Germany Spain KfW - Kreditanstalt fuer Wiederaufbau Santander International Debt bnk gtd govt gtd 1.85% /2010 (JPY) 1,000,000,000 9,716,609 2.95 SerEMTN 2.166% /2008 (1) (EUR) 950,000 1,143,918 0.35

Total for Germany 2.95 Total for Spain 0.35

Austria Australia Oesterreichische Kontrollbank unsecur Mantis Reef nts Ser144A priv plmt gvt gtd 1.8% /2010 (JPY) 990,000,000 9,566,086 2.91 4.692% /2008 845,000 847,009 0.26

Total for Austria 2.91 Total for Australia 0.26

Ireland Switzerland Depfa ACS Bank 0.75% /2008 (JPY) 700,000,000 6,448,670 1.96 Adecco Financial Service co gtd 6% /2006 (EUR) 550,000 679,681 0.21

Total for Ireland 1.96 Total for Switzerland 0.21

France Mexico Compagnie de Financement Foncier Pemex Project Funding Master Trust co nts SerEMTN 0.4% /2006 (JPY) 400,000,000 3,631,058 1.10 gtd SerRegS 6.625% /2010 (EUR) 475,000 648,975 0.20 France Telecom unsecur sr unsubord SerEMTN 7% /2009 (EUR) 510,000 721,384 0.22 Total for Mexico 0.20 952347-1-007 x-cat 8/22/05 17:52 Page 67

67 Morgan Stanley SICAV 30 June 2005

Global Bond Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US dollars.

Nominal in US dollars Market % of net Investment unless speciﬁed value assets

Corporate Bonds (continued)

Hong Kong Hutchison Whampoa International co gtd SerRegS 6.5% /2013 425,000 460,056 0.14

Total for Hong Kong 0.14

Total for Corporate Bonds 29.16

Mortgage and Asset Backed Securities

United States of America Caterpillar Financial Asset Trust 2005-A A3 3.9% /2009 1,975,000 1,973,122 0.59 Daimler Chrysler Auto Trust 2005-B A3 4.04% /2009 1,775,000 1,778,011 0.54 Ford Credit Auto Owner Trust 2005-B A3 4.17% /2009 1,475,000 1,479,389 0.45 USAA Auto Owner Trust 2005-1 A3 3.9% /2009 1,375,000 1,373,680 0.42 Wachovia Auto Owner Trust 2005-A A3 4.06% /2009 1,175,000 1,177,360 0.36 Honda Auto Receivables Owner Trust 2005-2 A3 3.93% /2009 1,175,000 1,174,724 0.36 USAA Auto Owner Trust 2004-3 A3 3.16% /2009 1,175,000 1,163,333 0.35 Wachovia Auto Owner Trust 2004-B A3 2.91% /2009 1,000,000 987,640 0.30 CIT Equipment Collateral 2004-EF1 A3 3.5% /2008 975,000 963,698 0.29 World Omni Auto Receivables Trust 2004-A A3 3.29% /2008 950,000 942,708 0.29 CNH Equipment Trust 2005-A A3 4.02% /2009 900,000 900,610 0.27

Total for United States of America 4.22

Total for Mortgage and Asset Backed Securities 4.22

Government Guaranteed Bonds

United States of America Fannie Mae SerEMTN 1.75% /2008 (JPY) 300,000,000 2,828,887 0.86

Total for United States of America 0.86

Total for Government Guaranteed Bonds 0.86

Total Investment Securities 299,999,275 91.18

Total NAV 329,014,626 100.00

(1) Variable coupon rates are those quoted as of 30 June 2005. 952347-1-007 x-cat 8/22/05 17:52 Page 68

Morgan Stanley SICAV 30 June 2005 68

Global Convertible Bond (Euro) Fund

primarily in convertible bonds issued by Nominal in Euro unless Market % of net companies organised or operating in either Investment speciﬁed value assets

Electrical Components & Equipment the developed or emerging markets which will Siemens Finance co gtd SerSIE CV 1.375% /2010 7,000,000 8,031,919 2.35 be denominated in global currencies. Tyco International Group co gtd unsecur CV 2.75% to 15/01/2018 (USD) 6,395,000 6,870,639 2.00 Toshiba unsecur CV 0% /2011 (JPY) 790,000,000 6,039,293 1.76 SPX unsecur sr nts CV 0% /2021 (USD) 6,510,000 3,503,847 1.02

CHANGE IN NET ASSET VALUE PER SHARE Total for Electrical Components & Equipment 7.13 For the six months ended 30 June 2005

Integrated Telecommunication Services SK Telecom nts CV 0% /2009 (USD) 10,510,000 9,090,036 2.66 (1.48)% (1.71)% (2.22)% (1.63)% France Telecom CV 1.6% /2009 180,000 4,950,000 1.44 0 Deutsche Telekom International Finance co gtd CV 6.5% /2006 3,350,000 3,825,700 1.12 Tiscali Finance unsecur unsubord co gtd CV 4.25% /2006 3,475,000 3,441,988 1.00 Colt Telecom Group sr nts SerRegS CV 2% /2007 695,000 831,539 0.24 -0.5 Total for Integrated Telecommunication Services 6.46

Investment Banking & Brokerage Goldman Sachs Group Pfd Stock 485,310 10,904,427 3.18 -1.0 Feringghi Capital co gtd SerRegS CV 0% /2009 (USD) 7,600,000 6,659,891 1.94

Total for Investment Banking & Brokerage 5.12

-1.5 Consumer Finance American Express sr nts Ser144A priv plmt step cpn CV 1.85% to 01/12/2006 / 0% to 01/12/2033 (USD) 9,150,000 7,761,957 2.26 Providian Financial nts CV 0% /2021 (USD) 15,980,000 7,175,654 2.09

-2.0 Total for Consumer Finance 4.35

Electric Utilities RWE unsecur CV 0% /2007 9,600,000 9,307,200 2.72 Reliance Energy unsecur sr unsubord CV -2.5 0% /2009 (USD) 6,675,000 5,229,770 1.52 I A B Total for Electric Utilities 4.24

Fund (net of expenses) Class I shares I Computer Storage & Peripherals ASML Holding subord SerRegS CV A Fund (net of expenses) Class A shares 5.75% /2006 (USD) 5,960,000 5,327,830 1.55 B Fund (net of expenses) Class B shares Brocade Communications Systems unsecur subord nts CV 2% /2007 (USD) 6,380,000 4,988,717 1.45 Merrill Lynch G300 Global Convertible Index Lite-On Technology CV 0% /2009 (USD) 3,830,000 3,316,516 0.97 (expressed in local currency) Total for Computer Storage & Peripherals 3.97

Wireless Telecommunication Services Nextel Communications sr nts CV 5.25% /2010 (USD) 10,610,000 8,868,441 2.58 Millicom International Cellular CV 4% /2010 (USD) 5,650,000 4,425,834 1.29

Total for Wireless Telecommunication Services 3.87

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:52 Page 69

69 Morgan Stanley SICAV 30 June 2005

Global Convertible Bond (Euro) Fund

Construction & Farm Machinery & Heavy Trucks Semiconductors Agco sr subord nts CV 1.75% /2033 (USD) 7,185,000 6,251,519 1.82 STMicroelectronics sr nts SerRegS CV 0% /2013 (USD) 8,730,000 6,865,017 2.00 International Rectifier unsecur Total for Construction & Farm Machinery & Heavy Trucks 1.82 subord nts CV 4.25% /2007 (USD) 6,375,000 5,209,586 1.52 Reinsurance Total for Semiconductors 3.52 Swiss Re American Holding unsecur subord co gtd SerRegS CV 3.25% /2021 (1) (USD) 8,000,000 6,209,981 1.81 Other Diversified Financial Services KBC Internationale Financieringsmaatschappij Total for Reinsurance 1.81 nts SerEMTN CV 0% /2009 (GBP) 5,370,000 7,105,361 2.07 Forester unsecur unsubord co gtd CV Government Bonds 3.75% /2009 (GBP) 2,325,000 4,246,752 1.24 Swiss Confederation unsecur sr CV 0.25% /2007 (CHF) 9,595,000 6,198,158 1.81 Total for Other Diversified Financial Services 3.31 Total for Government Bonds 1.81 Gas Utilities Xinao Gas Holdings CV 0% /2009 (HKD) 33,900,000 3,771,971 1.10 Advertising El Paso Pfd Stock (USD) 4,230 3,757,640 1.10 Publicis Groupe unsubord CV 0.75% /2008 11,749,100 3,460,110 1.01 El Paso unsecur debentures CV Interpublic Group sr nts unsecur CV 0% /2021 (USD) 8,130,000 3,642,262 1.06 4.5% /2023 (USD) 2,600,000 2,620,816 0.76

Total for Gas Utilities 3.26 Total for Advertising 1.77

Footwear Multi-line Insurance Reebok International debentures SerB CV Swiss RE Germany Holding co gtd 2% /2024 (USD) 8,140,000 7,116,211 2.08 SerRUKN CV 6.125% /2007 5,575,000 5,452,350 1.59 Yue Yuen Industrial Holdings unsubord CV 0% /2008 (USD) 4,735,000 3,919,481 1.14 Total for Multi-line Insurance 1.59

Total for Footwear 3.22 Leisure Facilities Rank Group unsecur unsubord CV IT Consulting & Other Services 3.875% /2009 (GBP) 3,630,000 5,321,345 1.55 LogicaCMG co gtd CV 2.875% /2008 7,035,000 6,722,576 1.96 CapGemini sr unsecur SerCAP CV Total for Leisure Facilities 1.55 1% /2012 7,729,700 2,912,937 0.85

Total for IT Consulting & Other Services 2.81 Diversiﬁed Commercial & Professional Services Exult unsecur sr nts CV 2.5% /2010 (USD) 6,650,000 5,075,704 1.48

Auto Parts & Equipment Total for Diversified Commercial & Professional Services 1.48 Valeo unsubord SerFR CV 2.375% /2011 11,025,000 5,438,633 1.59 Lear sr unsecur co gtd CV 0% /2022 (USD) 9,055,000 3,408,725 0.99 Diversified Banks Total for Auto Parts & Equipment 2.58 Marshall & Ilsley Pfd Stock 148,950 3,421,766 1.00 AMCORP Capital Labuan co gtd SerRegS CV 1% /2010 (USD) 2,100,000 1,515,742 0.44 Paper Packaging Sealed Air sr nts Ser144A priv plmt CV Total for Diversified Banks 1.44 3% /2033 (USD) 8,690,000 7,146,441 2.08

Total for Paper Packaging 2.08 Regional Banks Citibank unsubord CV 2.875% /2007 (USD) 5,400,000 4,832,685 1.41

Casinos & Gaming Total for Regional Banks 1.41 International Game Technology debentures sr unsecur CV 0% /2033 (USD) 13,050,000 7,118,576 2.07 Gold Total for Casinos & Gaming 2.07 AngloGold Holdings co gtd SerRegS CV 2.375% /2009 (USD) 6,200,000 4,817,112 1.40

Data Processing & Outsourced Services Total for Gold 1.40 Fair Isaac sr nts SerB CV 1.5% /2023 (USD) 7,705,000 6,504,200 1.90

Total for Data Processing & Outsourced Services 1.90 Distributors Rallye CV 3.25% /2013 5,411,000 4,741,389 1.38

Total for Distributors 1.38 952347-1-007 x-cat 8/22/05 17:52 Page 70

Morgan Stanley SICAV 30 June 2005 70

Global Convertible Bond (Euro) Fund

Nominal in Total for Aerospace & Defense 0.46 Euro unless Market % of net Investment speciﬁed value assets Property & Casualty Insurance XL Capital Pfd Stock 76,568 1,521,387 0.44 Photographic Products Eastman Kodak sr nts CV 3.375% /2033 (USD) 5,020,000 4,482,329 1.31 Total for Property & Casualty Insurance 0.44

Total for Photographic Products 1.31 Alternative Carriers Colt Telecom Group SerRegS CV 2% /2006 690,000 796,950 0.23 Broadcasting & Cable TV Liberty Media unsecur sr debentures CV Total for Alternative Carriers 0.23 0.75% /2023 (USD) 4,935,000 4,350,137 1.27 Total Investment Securities 315,141,189 91.85 Total for Broadcasting & Cable TV 1.27 Total NAV 343,093,118 100.00

Communications Equipment Nortel Networks unsecur co gtd CV (1) Variable coupon rates are those quoted as of 30 June 2005. 4.25% /2008 (USD) 5,590,000 4,333,311 1.26

Total for Communications Equipment 1.26

Life & Health Insurance Swiss Life unsecur CV 0.625% /2010 (CHF) 6,325,000 4,189,947 1.22

Total for Life & Health Insurance 1.22

Food Retail Albertson’s Pfd Stock 216,973 4,017,785 1.17

Total for Food Retail 1.17

Specialty Chemicals Tata Chemicals unsubord CV 1% /2010 (USD) 4,420,000 3,737,574 1.09

Total for Specialty Chemicals 1.09

Construction & Engineering ABB International Finance SerABBN CV 3.5% /2010 (CHF) 4,700,000 3,507,215 1.02

Total for Construction & Engineering 1.02

Automobile Manufacturers Tata Motors unsecur unsubord Ser2 CV 1% /2011 (USD) 4,030,000 3,201,332 0.93

Total for Automobile Manufacturers 0.93

Oil & Gas Exploration & Production Chesapeake Energy Pfd Stock 31,170 2,957,703 0.86

Total for Oil & Gas Exploration & Production 0.86

Publishing & Printing News Corp Finance Trust II unsecur Pfd Stock 37,790 2,921,369 0.85

Total for Publishing & Printing 0.85

Packaged Foods & Meats Royal Numico subord unsecur CV 3% /2010 1,080,000 1,761,524 0.51

Total for Packaged Foods & Meats 0.51 952347-1-007 x-cat 8/22/05 17:52 Page 71

71 Morgan Stanley SICAV 30 June 2005

Global Convertible Bond (USD) Fund

primarily in convertible bonds issued by Nominal in US dollars Market % of net companies organised or operating in either Investment unless speciﬁed value assets

Electrical Components & Equipment the developed or emerging markets which will Tyco International Group co gtd unsecur CV 2.75% to 15/01/2018 1,365,000 1,767,675 2.40 be denominated in global currencies. Siemens Finance co gtd SerSIE CV 1.375% /2010 (EUR) 1,100,000 1,521,343 2.06 Toshiba unsecur CV 0% /2011 (JPY) 130,000,000 1,197,886 1.62 SPX unsecur sr nts CV 0% /2021 1,025,000 664,969 0.90

CHANGE IN NET ASSET VALUE PER SHARE Total for Electrical Components & Equipment 6.98 For the six months ended 30 June 2005

Integrated Telecommunication Services SK Telecom nts CV 0% /2009 1,770,000 1,845,225 2.51 (1.11)% (1.36)% (1.82)% (1.63)% France Telecom CV 1.6% /2009 (EUR) 43,300 1,435,273 1.94 0 Deutsche Telekom International Finance co gtd CV 6.5% /2006 (EUR) 550,000 757,080 1.02 Colt Telecom Group sr nts SerRegS CV 2% /2007 (EUR) 125,000 180,269 0.24

Total for Integrated Telecommunication Services 5.71

-0.5 Investment Banking & Brokerage Goldman Sachs Group SerPFE CV 4.8% /2006 91,660 2,482,428 3.36 Feringghi Capital co gtd SerRegS CV 0% /2009 1,200,000 1,267,500 1.72

Total for Investment Banking & Brokerage 5.08

-1.0 Electric Utilities RWE unsecur CV 0% /2007 (EUR) 1,650,000 1,928,168 2.61 Reliance Energy unsecur sr unsubord CV 0% /2009 1,000,000 944,375 1.28

Total for Electric Utilities 3.89 -1.5 Other Diversiﬁed Financial Services KBC Internationale Financieringsmaatschappij nts SerEMTN CV 0% /2009 (GBP) 1,150,000 1,834,100 2.49 Forester unsecur unsubord co gtd CV 3.75% /2009 (GBP) 390,000 858,641 1.16

-2.0 Total for Other Diversiﬁed Financial Services 3.65 I A B Gas Utilities El Paso Pfd Stock 905 969,029 1.31 Fund (net of expenses) Class I shares I El Paso unsecur debentures CV 0% /2021 1,740,000 939,600 1.27 Xinao Gas Holdings CV 0% /2009 (HKD) 5,530,000 741,824 1.01 A Fund (net of expenses) Class A shares

B Fund (net of expenses) Class B shares Total for Gas Utilities 3.59

Merrill Lynch G300 Global Convertible Index (expressed in local currency) Semiconductors STMicroelectronics sr nts SerRegS CV 0% /2013 1,465,000 1,388,603 1.88 International Rectiﬁer unsecur subord nts CV 4.25% /2007 1,105,000 1,088,425 1.47

Total for Semiconductors 3.35

Footwear Reebok International debentures SerB CV 2% /2024 1,370,000 1,443,638 1.96 Yue Yuen Industrial Holdings unsubord CV 0% /2008 855,000 853,076 1.15

Total for Footwear 3.11 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:52 Page 72

Morgan Stanley SICAV 30 June 2005 72

Global Convertible Bond (USD) Fund

STATEMENT OF INVESTMENTS (continued) Nominal in US dollars Market % of net Transferable securities admitted to official exchange listing or dealt Investment unless specified value assets in on another regulated market. As at 30 June 2005, expressed Leisure Facilities in US dollars. Rank Group unsecur unsubord CV 3.875% /2009 (GBP) 750,000 1,325,224 1.79 Nominal in US dollars Market % of net Total for Leisure Facilities 1.79 Investment unless specified value assets

Data Processing & Outsourced Services IT Consulting & Other Services Fair Isaac sr nts SerB CV 1.5% /2023 1,290,000 1,312,575 1.78 LogicaCMG co gtd CV 2.875% /2008 (EUR) 1,240,000 1,428,257 1.94 CapGemini sr unsecur SerCAP CV 1% /2012 (EUR) 1,662,100 754,986 1.02 Total for Data Processing & Outsourced Services 1.78

Total for IT Consulting & Other Services 2.96 Construction & Farm Machinery & Heavy Trucks Agco sr subord nts CV 1.75% /2033 1,205,000 1,263,744 1.71 Computer Storage & Peripherals ASML Holding subord SerRegS CV Total for Construction & Farm Machinery & Heavy Trucks 1.71 5.75% /2006 1,275,000 1,373,813 1.86 Lite-On Technology CV 0% /2009 660,000 688,875 0.93 Government Bonds Swiss Confederation unsecur sr CV Total for Computer Storage & Peripherals 2.79 0.25% /2007 (CHF) 1,610,000 1,253,594 1.70

Auto Parts & Equipment Total for Government Bonds 1.70 Valeo unsubord SerFR CV 2.375% /2011 (EUR) 1,937,500 1,152,036 1.56 Diversiﬁed Banks Lear sr unsecur co gtd CV 0% /2022 1,710,000 775,913 1.05 Marshall & Ilsley Pfd Stock 27,880 771,997 1.05 AMCORP Capital Labuan co gtd SerRegS CV Total for Auto Parts & Equipment 2.61 1% /2010 400,000 348,000 0.47

Consumer Finance Total for Diversiﬁed Banks 1.52 American Express sr nts Ser144A priv plmt step cpn CV 1.85% to 01/12/2006 / Multi-line Insurance 0% to 01/12/2033 1,730,000 1,768,925 2.39 Swiss RE Germany Holding co gtd SerRUKN CV 6.125% /2007 (EUR) 900,000 1,060,948 1.44 Total for Consumer Finance 2.39 Total for Multi-line Insurance 1.44 Reinsurance Swiss Re American Holding unsecur subord Diversiﬁed Commercial Services co gtd SerRegS CV 3.25% /2021 (1) 1,710,000 1,599,962 2.17 Exult unsecur sr nts CV 2.5% /2010 1,150,000 1,058,000 1.43

Total for Reinsurance 2.17 Total for Diversiﬁed Commercial Services 1.43

Advertising Gold Publicis Groupe unsubord CV AngloGold Holdings co gtd SerRegS CV 0.75% /2008 (EUR) 2,629,400 933,373 1.26 2.375% /2009 1,060,000 992,715 1.34 Interpublic Group sr nts unsecur CV 4.5% /2023 545,000 662,175 0.90 Total for Gold 1.34

Total for Advertising 2.16 Wireless Telecommunication Services Millicom International Cellular CV 4% /2010 1,050,000 991,400 1.34 Paper Packaging Sealed Air sr nts Ser144A priv plmt CV Total for Wireless Telecommunication Services 1.34 3% /2033 1,510,000 1,496,788 2.03

Total for Paper Packaging 2.03 Distributors Rallye CV 3.25% /2013 (EUR) 936,700 989,331 1.34

Casinos & Gaming Total for Distributors 1.34 International Game Technology debentures sr unsecur CV 0% /2033 2,275,000 1,495,813 2.02 Regional Banks Total for Casinos & Gaming 2.02 Citibank unsubord CV 2.875% /2007 900,000 970,845 1.31

Total for Regional Banks 1.31 Application Software Mercury Interactive unsecur nts CV 4.75% /2007 1,400,000 1,377,250 1.86 Photographic Products Eastman Kodak sr nts CV 3.375% /2033 900,000 968,625 1.31 Total for Application Software 1.86 Total for Photographic Products 1.31 952347-1-007 x-cat 8/22/05 17:52 Page 73

73 Morgan Stanley SICAV 30 June 2005

Global Convertible Bond (USD) Fund

Nominal in Total for Property & Casualty Insurance 0.36 US dollars Market % of net Investment unless speciﬁed value assets Alternative Carriers Colt Telecom Group SerRegS CV Broadcasting & Cable TV 2% /2006 (EUR) 130,000 180,983 0.24 Liberty Media unsecur sr debentures CV 0.75% /2023 905,000 961,563 1.30 Total for Alternative Carriers 0.24 Total for Broadcasting & Cable TV 1.30 Total Investment Securities 63,214,205 85.57

Communications Equipment Total NAV 73,872,852 100.00 Nortel Networks unsecur co gtd CV 4.25% /2008 1,015,000 948,391 1.28 (1) Variable coupon rates are those quoted as of 30 June 2005. Total for Communications Equipment 1.28

Food Retail Albertson’s Pfd Stock 40,002 892,845 1.21

Total for Food Retail 1.21

Life & Health Insurance Swiss Life unsecur CV 0.625% /2010 (CHF) 1,100,000 878,322 1.19

Total for Life & Health Insurance 1.19

Construction & Engineering ABB International Finance SerABBN CV 3.5% /2010 (CHF) 960,000 863,472 1.17

Total for Construction & Engineering 1.17

Specialty Chemicals Tata Chemicals unsubord CV 1% /2010 700,000 713,474 0.97

Total for Specialty Chemicals 0.97

Automobile Manufacturers Tata Motors unsecur unsubord Ser2 CV 1% /2011 690,000 660,675 0.89

Total for Automobile Manufacturers 0.89

Oil & Gas Exploration & Production Chesapeake Energy Pfd Stock 5,180 592,463 0.80

Total for Oil & Gas Exploration & Production 0.80

Publishing & Printing News Corp Finance Trust II unsecur Pfd Stock 0.75% /2023 5,820 542,308 0.73

Total for Publishing & Printing 0.73

Packaged Foods & Meats Royal Numico subord unsecur CV 3% /2010 (EUR) 230,000 452,174 0.61

Total for Packaged Foods & Meats 0.61

Aerospace & Defense BAE Systems Pfd Stock 130,000 336,345 0.46

Total for Aerospace & Defense 0.46 952347-1-007 x-cat 8/22/05 17:52 Page 74

Morgan Stanley SICAV 30 June 2005 74

Short Maturity Euro Bond Fund

instrument selection. This objective will be Nominal in Euro unless Market % of net achieved by investing in high quality ﬁxed Investment speciﬁed value assets

Germany income securities denominated in Euro. Bundesobligation Ser142 3% /2008 55,000,000 56,287,468 9.09 Bundesobligation Ser139 4% /2007 43,000,000 44,360,950 7.18 The Fund will invest primarily, in order to Bundesobligation Ser140 4.5% /2007 40,000,000 42,022,000 6.80 Nrw.bank jumbo pfandbriefe 5.25% /2008 12,000,000 12,906,270 2.09 reduce volatility, in individual securities with Rheinboden Hypoteken Bank Ser94 jumbo pfandbriefe 5.25% /2008 12,000,000 12,891,270 2.09 maturity dates having a maximum of ﬁve years. Depfa Pfandbriefbank secur jumbo pfandbriefe Ser478 5% /2006 11,000,000 11,311,850 1.83 Hypothekenbank in Essen jumbo pfandbriefe SerRegS 2.75% /2007 11,000,000 11,137,214 1.80 Eurohypo secur jumbo pfandbriefe CHANGE IN NET ASSET VALUE PER SHARE Ser748 4% /2007 10,000,000 10,298,500 1.67 Deutsche Bank Finance bk gtd For the six months ended 30 June 2005 5.375% /2012 (1) 4,000,000 4,205,800 0.68

Total for Germany 33.23 1.80% 1.62% 1.09% 2.21% 2.5 Netherlands Government of Netherlands 3% /2006 36,000,000 36,378,000 5.88 Government of Netherlands 2.75% /2009 33,000,000 33,518,199 5.42 Government of Netherlands 2.5% /2008 16,000,000 16,145,936 2.61 Rabobank Nederland unsecur sr unsubord SerEMTN 4.875% /2006 6,000,000 6,148,650 0.99 2.0 RWE Finance unsecur sr unsubord co gtd SerEMTN 5.5% /2007 3,848,000 4,120,631 0.67 SNS Bank Nederland sr unsecur unsubord SerEMTN 6% /2007 3,600,000 3,896,550 0.63 ING Verzekeringen unsecur sr unsubord 1.5 3.75% /2009 3,700,000 3,857,509 0.62 ABN Amro Bank subord SerEMTN 4.625% /2009 3,500,000 3,750,688 0.61 Unilever unsecur unsubord co gtd SerEMTN 5.125% /2006 3,500,000 3,593,332 0.58 Allianz Finance II sr unsecur unsubord 1.0 co gtd 4.625% /2007 3,125,000 3,295,266 0.53 Cooper Industries Finance unsecur sr unsubord co gtd 6.25% 25/10/2005 3,075,000 3,110,999 0.50 Bank Nederlandse Gemeenten unsecur sr unsubord SerEMTN 4.75% /2006 3,000,000 3,050,816 0.49 Royal KPN unsecur sr unsubord SerEMTN 0.5 4.75% /2008 2,800,000 2,984,380 0.48 Aegon unsecur sr unsubord SerEMTN 4.625% /2008 2,500,000 2,645,431 0.43 DaimlerChrysler International Finance sr unsecur unsubord co gtd SerEMTN 6.125% /2006 2,500,000 2,565,925 0.42 0.0 Honeywell Holding sr unsubord unsecur I A B co gtd 5.25% /2006 2,175,000 2,262,326 0.37 Volkswagen International Finance unsecur unsubord co gtd SerEMTN 4.75% /2007 2,000,000 2,075,120 0.34 Fund (net of expenses) Class I shares I EADS Finance unsecur sr unsubord co gtd SerEMTN 4.625% /2010 1,300,000 1,398,803 0.23 A Fund (net of expenses) Class A shares

B Fund (net of expenses) Class B shares Total for Netherlands 21.80

MSCI EMU Sovereign Debt Index 1-3 Years (expressed in Euro) France French Treasury Note BTAN 3% /2008 54,000,000 55,274,400 8.93 French Treasury Note BTAN 4.5% /2006 30,000,000 30,771,000 4.98 Dexia Municipal Agency secur collateralized SerEMTN 5.5% /2006 11,000,000 11,299,970 1.83 Aventis unsecur sr unsubord SerEMTN 5% /2006 5,425,000 5,542,777 0.90 Thomson CSF sr nts SerEMTN 6.125% 14/11/2005 5,250,000 5,321,138 0.86 Schneider Electric unsecur sr unsubord SerEMTN 6.125% /2007 2,000,000 2,162,280 0.35 Please refer to the prospectus for a full disclosure of the investment aim. Total for France 17.85 952347-1-007 x-cat 8/22/05 17:52 Page 75

75 Morgan Stanley SICAV 30 June 2005

Short Maturity Euro Bond Fund

United States of America Total for Sweden 0.88 Freddie Mac unsecur sr nts SerINTL 4.625% /2007 10,000,000 10,400,500 1.68 Italy MBNA Amer Euro Struc OFF Ser1997-H Sanpaolo IMI sr nts SerEMTN 3.5% /2013 (1) 3,700,000 3,812,943 0.62 class A 5.625% /2007 (FRF) 46,000,000 7,508,751 1.21 Bank of America sr unsecur unsubord 3.625% /2008 7,000,000 7,233,975 1.17 Total for Italy 0.62 General Electric Capital unsecur sr unsubord SerEMTN 5.125% /2007 6,070,000 6,404,305 1.04 Spain Citigroup unsecur unsubord SerINTL Santander International Debt bnk gtd 4.625% /2007 5,600,000 5,901,336 0.95 SerEMTN 2.166% /2008 (1) 3,520,000 3,516,419 0.57 Household Finance unsecur unsubord 5.25% 23/11/2005 3,875,000 3,919,865 0.63 Total for Spain 0.57 Procter & Gamble unsecur sr unsubord 5.75% 26/09/2005 3,800,000 3,829,754 0.62 Total Investment Securities 581,126,481 93.99 Citibank Credit Card Master Trust I sr unsubord class A Ser97-5 5.75% /2007 (DEM) 7,000,000 3,824,673 0.62 Total NAV 618,259,920 100.00 JP Morgan Chase & Co nts SerEMTN 3.875% /2008 3,600,000 3,767,328 0.61 Lehman Brothers Holdings sr nts SerEMTN 5.625% /2006 3,525,000 3,590,379 0.58 (1) Variable coupon rates are those quoted as of 30 June 2005. General Motors Acceptance unsecur unsubord SerEMTN 6% /2008 3,200,000 3,137,136 0.51 New York Life Funding secur sr nts SerEMTN 5.125% /2006 2,950,000 3,016,080 0.49 Countrywide Home Loans co gtd SerEMTN 2.75% /2006 2,150,000 2,159,149 0.35 Ford Motor Credit sr nts SerEMTN 6.75% /2008 2,000,000 2,053,900 0.33 Goldman Sachs Group nts SerEMTN 2.545% /2006 (1) 2,000,000 2,009,582 0.33 Ford Motor Credit sr nts SerEMTN 5.75% /2009 2,000,000 1,967,400 0.32 Goldman Sachs Group sr nts 4.125% /2008 1,500,000 1,566,375 0.25

Total for United States of America 11.69

United Kingdom John Hancock Global Fund secur SerEMTN 3.875% /2006 6,750,000 6,814,125 1.11 TI Group unsecur unsubord 6.375% 18/07/2005 5,469,000 5,476,684 0.89 British Telecom step cpn 6.375% to 15/02/2006 5,000,000 5,125,025 0.83 Royal Bank of Scotland unsecur subord nts SerEMTN 4.875% /2009 3,500,000 3,781,645 0.61 ASIF III unsecur sr unsubord SerEMTN 5.125% /2007 3,500,000 3,675,700 0.59 OTE unsecur unsubord co gtd SerRegS 6.125% /2007 3,150,000 3,333,803 0.54 Vodafone Group unsecur nts SerEMTN 5.75% /2006 3,130,000 3,272,885 0.53 NGG Finance sr unsecur unsubord co gtd 5.25% /2006 2,900,000 2,995,120 0.48 Nationwide Building Society nts SerEMTN 3.125% /2010 2,150,000 2,186,925 0.35 Travelers Insurance Company Institutional Funding sr secur SerEMTN 4.25% /2006 1,500,000 1,525,650 0.25

Total for United Kingdom 6.18

Australia BOS International unsecur unsubord bnk gtd SerEMTN 3.75% /2008 5,000,000 5,216,363 0.84 Australia & New Zealand Banking Group sr nts SerEMTN 3.125% /2010 2,000,000 2,040,494 0.33

Total for Australia 1.17 952347-1-007 x-cat 8/22/05 17:52 Page 76

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primarily in US Dollar denominated fixed Nominal in US dollars Market % of net income securities issued by governments, Investment unless specified value assets agencies and corporations either in the US Government Bonds United States of America domestic markets or in the Euromarkets. US Treasury 4.25% /2013 31,350,000 32,070,070 9.44 US Treasury 3.875% /2013 21,925,000 21,918,148 6.45 The Fund may also invest on an ancillary basis US Treasury 8.125% /2019 12,050,000 16,996,148 5.00 US Treasury 6.375% /2027 8,545,000 11,003,023 3.24 in foreign fixed income securities, including Federal Home Loan Bank disc nts 0% 20/07/2005 10,000,000 9,977,250 2.94 emerging markets fixed income securities. US Treasury Strip cpn 0% /2025 19,750,000 8,326,552 2.45 US Treasury 3.125% /2007 7,900,000 7,827,172 2.30 US Treasury Notes 4.25% /2013 7,000,000 7,152,031 2.11 US Treasury 1.875% /2006 6,000,000 5,947,500 1.75 US Treasury 6.125% /2029 4,290,000 5,437,575 1.60 CHANGE IN NET ASSET VALUE PER SHARE US Treasury 3.5% /2006 5,000,000 4,996,094 1.47 US Treasury Strip cpn 0% /2027 5,000,000 1,938,560 0.57 For the six months ended 30 June 2005 US Treasury Strip cpn 0% /2025 2,190,000 919,231 0.27 US Treasury Bill 0% 14/07/2005 (2) 500,000 495,616 0.15 U.S. Treasury 7.625% /2025 250,000 358,086 0.11 2.66% 2.51% 1.99% 2.51% US Treasury Bill 0% 14/07/2005 (2) 20,000 19,739 0.01 3 Total for United States of America 39.86 2 Mexico 1 United Mexican States nts SerMTNA 8% /2022 1,185,000 1,442,027 0.43 United Mexican States nts 8.375% /2011 200,000 232,580 0.07 0 United Mexican States SerMTN 8.3% /2031 175,000 216,361 0.06 I A B Total for Mexico 0.56

I Fund (net of expenses) Class I shares Total for Government Bonds 40.42 A Fund (net of expenses) Class A shares

B Fund (net of expenses) Class B shares Mortgage and Asset Backed Securities

Lehman Brothers Aggregate Index United States of America (expressed in US dollars) Freddie Mac Gold Pool 5.5% /2016 11,050,000 11,336,609 3.35 FNMA TBA 4.5% /2019 7,700,000 7,654,281 2.26 FNMA TBA 6% /2034 6,550,000 6,711,703 1.99 FNMA TBA 5% 4,100,000 4,135,875 1.23 2.65% 0.31% 0.27% 2.51% FNMA Pool 545819 6.5% /2032 3,724,875 3,862,411 1.14 3 American Express Credit Account Master Trust 2003-3 A 3.33% /2010 (1) 3,300,000 3,309,698 0.97 2 FNMA TBA 5% /2019 3,000,000 3,030,000 0.89 MBNA Credit Card Master Note Trust 1 2003-A3 A3 3.34 /2010 (1) 2,675,000 2,683,564 0.79 USAA Auto Owner Trust 2004-2 A4 3.58% /2011 2,500,000 2,478,998 0.73 0 Nissan Auto Receivables Owner Trust S IX AX 2005-B A3 3.99% /2009 2,400,000 2,398,500 0.71 Structured Asset Securities 2005-WF2 A1 3.394% /2035 (1) 2,396,843 2,396,306 0.71 Fund (net of expenses) Class S shares S Harley-Davidson Motorcycle Trust 2005-1 A2 3.76% /2012 2,300,000 2,286,534 0.67 IX Fund (net of expenses) Class IX shares Saxon Asset Securities Trust 2005-2 A2A AX Fund (net of expenses) Class AX shares 3.404% /2035 (1) 2,266,507 2,265,090 0.67 USAA Auto Owner Trust 2004-3 A3 Lehman Brothers Aggregate Index 3.16% /2009 2,250,000 2,227,660 0.66 (expressed in US dollars) Merrill Auto Trust Securitization 2005-1 A3 4.1% /2009 2,225,000 2,227,086 0.66 Capital Auto Receivables Asset Trust 2005-1 A4 4.05% /2009 2,200,000 2,204,050 0.65 Park Place Securities 2005-WHQ3 A2A 3.39% /2035 (1) 2,103,034 2,103,443 0.62 Caterpillar Financial Asset Trust 2005-A A3 3.9% /2009 1,925,000 1,923,171 0.57 FNMA Pool 616766 7% /2031 1,782,280 1,880,037 0.55 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:52 Page 77

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STATEMENT OF INVESTMENTS (continued) Nominal in US dollars Market % of net Transferable securities admitted to official exchange listing or dealt Investment unless specified value assets in on another regulated market. As at 30 June 2005, expressed Mortgage and Asset Backed Securities (continued) in US dollars. United States of America (continued) Nominal in FNMA Pool 622546 6.5% /2031 427,140 445,096 0.13 US dollars Market % of net TXU Electric Delivery Transition Bond 2004-1 Investment unless specified value assets A2 4.81% /2014 425,000 430,704 0.13 FNMA Pool 651475 6.5% /2032 397,305 411,716 0.12 Mortgage and Asset Backed Securities (continued) Freddie Mac Gold Pool C59760 7.5% /2027 364,412 391,283 0.12 FNMA Pool 611283 6.5% /2031 372,825 386,591 0.11 United States of America (continued) Fannie Mae FNR 2003-39 IO 6% /2033 (1) 2,159,262 352,707 0.10 Honda Auto Receivables Owner Trust 2005-3 FNMA Pool 254516 6.5% /2032 321,881 333,556 0.10 A3 3.87% /2009 1,850,000 1,843,641 0.54 FNMA Pool 253585 8% /2031 304,963 327,923 0.10 Structured Asset Investment Loan Trust Freddie Mac Gold Pool C01086 7.5% /2030 300,559 321,847 0.09 2005-5 A6 3.404% /2035 (1) 1,783,827 1,784,487 0.53 Freddie Mac FHR 2557 IW 6% /2032 2,806,100 319,155 0.09 FNMA Pool 555798 6.5% /2033 1,657,280 1,718,473 0.51 Fannie Mae FNR 2003-25 IK 7% /2033 1,715,553 317,340 0.09 Daimler Chrysler Auto Trust 2005-B A3 FNMA Pool 648063 7% /2032 296,367 312,637 0.09 4.04% /2009 1,700,000 1,702,883 0.50 FNMA Pool 545762 6.5% /2032 298,347 309,168 0.09 Asset Backed Funding Certificates 2005-WF1 FNMA Pool 648736 6.5% /2032 284,452 294,769 0.09 A2A 3.39% /2035 (1) 1,675,830 1,677,004 0.49 FNMA Pool 535127 8% /2030 273,125 293,835 0.09 National City Auto Receivables Trust 2004-A Freddie Mac Gold Pool C43014 7.5% /2030 272,247 292,273 0.09 A4 2.88% /2011 1,700,000 1,660,542 0.49 Freddie Mac Gold Pool G01031 7.5% /2029 268,413 288,205 0.08 MBNA Master Credit Card Trust 2000-E A Freddie Mac Gold Pool A10594 7.5% /2027 256,257 274,861 0.08 7.8% /2012 1,430,000 1,651,203 0.49 Freddie Mac Gold Pool D95307 7.5% /2021 254,025 272,397 0.08 Harley Davidson Motorcycle Trust 2005-2 FNMA Pool 253894 6.5% /2031 254,217 263,603 0.08 A2 4.07% /2012 1,575,000 1,576,339 0.46 FNMA Pool 659833 6.5% /2032 253,836 263,043 0.08 Chase Credit Card Master Trust 2001-4 A Burlington Northern and Santa Fe Railway 5.5% /2008 1,490,000 1,515,609 0.45 pass thru certs 4.575% /2021 255,000 256,797 0.08 Specialty Underwritting & Residential Finance FNMA Pool 655062 7.5% /2032 236,740 253,050 0.07 2005-BC2 A2A 3.414% /2035 (1) 1,501,601 1,502,521 0.44 FNMA Pool 672440 8% /2032 232,333 249,818 0.07 USAA Auto Owner Trust 2005-1 A3 Freddie Mac Gold Pool C77120 6.5% /2033 235,865 244,363 0.07 3.9% /2009 1,500,000 1,498,560 0.44 FNMA Pool 535190 8% /2030 224,789 241,834 0.07 Master Asset Backed Securities Trust FNMA Pool 253813 8% /2031 207,156 222,753 0.07 2005-OPT1 A3 3.40% /2035 (1) 1,403,098 1,404,083 0.41 FNMA Pool 535996 7.5% /2031 208,273 222,627 0.07 Ford Credit Auto Owner Trust 2005-B A3 FNMA Pool 570642 8% /2031 205,227 220,679 0.06 4.17% /2009 1,375,000 1,379,092 0.41 FNMA Pool 602073 7.5% /2031 196,133 209,644 0.06 Volkswagen Auto Lease Trust 2005-A A3 FNMA Pool 566789 7.5% /2031 195,774 209,266 0.06 3.82% /2008 1,350,000 1,347,891 0.40 FNMA Pool 66127 8% /2032 190,941 205,311 0.06 GSAMP Trust 2005-AHL A1 3.40 % /2035 (1) 1,266,248 1,267,139 0.37 FNMA Pool 323991 7.5% /2029 190,693 203,942 0.06 Wachovia Auto Owner Trust 2005-A A3 FNMA Pool 625393 6.5% /2032 195,694 202,792 0.06 4.06% /2009 1,250,000 1,252,511 0.37 FNMA Pool 637851 6.5% 2032 190,253 197,154 0.06 CNH Equipment Trust 2005-A A3 Freddie Mac Gold Pool D78850 7.5% /2027 181,225 194,382 0.06 4.02% /2009 1,225,000 1,225,831 0.36 CVS pass thru certs Ser144A priv plmt Honda Auto Receivables Owner Trust 6.204% /2025 172,944 190,757 0.06 2005-2 A3 3.93% /2009 1,175,000 1,174,724 0.35 Fannie Mae Strip 317 IO 8% /2031 879,220 176,155 0.05 Freddie Mac Gold Pool B18584 5% /2020 1,053,193 1,064,722 0.31 Fannie Mae FNS 313-2 6.5% /2031 981,353 172,819 0.05 FNMA Pool 254487 7.5% /2032 954,424 1,020,176 0.30 Freddie Mac Gold Pool C41688 7.5% /2030 159,443 170,736 0.05 Wachovia Auto Owner Trust 2004-B A3 Freddie Mac Gold Pool C57125 7.5% /2031 157,381 168,528 0.05 2.91% /2009 1,000,000 987,640 0.29 Fannie Mae FNR 2003-49 IO 6.5% /2033 929,202 165,871 0.05 Capital Auto Receivables Asset Trust 2004-2 FNMA Pool 729408 6.5% /2033 155,562 161,099 0.05 A2 3.35% /2008 975,000 966,450 0.28 Freddie Mac Gold Pool C47090 7.5% /2031 144,385 155,006 0.05 Freddie Mac Gold Pool B18409 5% /2020 915,670 925,694 0.27 Freddie Mac Gold Pool C39195 7.5% /2030 142,700 152,807 0.04 World Omni Auto Receivables Trust 2004-A Fannie Mae FNR 2003-35 IU 6% /2033 897,540 146,949 0.04 A3 3.29% /2008 925,000 917,900 0.27 FNMA Pool 590049 7% /2031 138,792 146,405 0.04 Freddie Mac Gold Pool C43084 7.5% /2030 854,339 915,385 0.27 Freddie Mac Gold Pool C44335 7.5% /2030 132,886 142,297 0.04 CIT Equipment Collateral 2004-EF1 A3 FNMA Pool 628751 7.5% /2032 124,773 133,368 0.04 3.5% /2008 925,000 914,277 0.27 FNMA Pool 592229 7.5% /2031 123,664 132,183 0.04 FNMA Pool 555254 6.5% /2033 751,765 779,523 0.23 Freddie Mac Gold Pool C68730 7.5% /2026 119,655 128,457 0.04 FNMA Pool 632578 6.5% /2032 690,380 715,871 0.21 FNMA Pool 655588 8% /2032 114,679 123,309 0.04 MBNA Master Credit Card Trust 2000-I A Fannie Mae FNR 2001-4 SA 4.31% /2031 (1) 1,361,098 122,413 0.04 6.9% /2008 700,000 703,515 0.21 Fannie Mae FNR 2003-82 IA 6% /2032 1,142,557 118,025 0.03 FNMA Pool 651342 6.5% /2032 675,395 699,893 0.21 FNMA Pool 254613 7% /2032 109,111 115,101 0.03 FNMA Pool 535148 8% /2030 623,506 670,784 0.20 FNMA Pool 573254 7.5% /2031 107,472 114,879 0.03 FNMA Pool 254311 6.5% /2032 622,994 645,591 0.19 Freddie Mac Gold Pool C39840 7.5% /2030 106,646 114,476 0.03 FNMA Pool 685448 6.5% /2033 594,922 616,100 0.18 Freddie Mac Gold Pool G01303 7.5% /2031 106,543 114,086 0.03 Fannie Mae FNR 2003-33 IA unsecur Freddie Mac Gold Pool C39839 7.5% /2030 101,239 108,686 0.03 6.5% /2033 3,683,119 615,386 0.18 Freddie Mac Gold Pool C41463 7.5% /2030 101,448 108,633 0.03 FNMA Pool 490758 6.5% /2029 571,417 593,207 0.17 FNMA Pool 253114 8% /2030 94,924 102,071 0.03 Freddie Mac Gold Pool B18161 5% /2020 586,552 592,973 0.17 Freddie Mac Gold Pool C90299 7.5% /2019 94,425 101,233 0.03 Freddie Mac Gold Pool B16509 5% /2019 547,040 552,902 0.16 FNMA Pool 596192 7.5% /2031 90,725 96,975 0.03 Freddie Mac Gold Pool B13429 5% /2019 537,091 542,846 0.16 FNMA Pool 545395 8% /2031 89,360 96,088 0.03 Citibank Credit Card Issuance Trust 2000-C1 C1 FNMA Pool 521221 7.5% /2029 88,344 94,482 0.03 7.45% /2007 535,000 539,495 0.16 FNMA Pool 254240 7% /2032 88,814 93,689 0.03 Freddie Mac Gold Pool C39936 7.5% /2030 496,163 532,749 0.16 FNMA Pool 190308 7.5% /2030 87,557 93,591 0.03 Freddie Mac Gold Pool B18110 5% /2020 510,041 515,507 0.15 FNMA Pool 630529 7.5% /2032 87,546 93,577 0.03 FNMA MBS 30yr 7.5% 450,000 480,797 0.14 FNMA Pool 253794 6.5% /2031 89,337 92,636 0.03 952347-1-007 x-cat 8/22/05 17:52 Page 78

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STATEMENT OF INVESTMENTS (continued) Nominal in US dollars Market % of net Transferable securities admitted to official exchange listing or dealt Investment unless specified value assets in on another regulated market. As at 30 June 2005, expressed Mortgage and Asset Backed Securities (continued) in US dollars. United States of America (continued) Nominal in FNMA Pool 253437 8% /2030 31,848 34,246 0.01 US dollars Market % of net FNMA Pool 559146 7% /2030 31,241 32,956 0.01 Investment unless specified value assets FNMA Pool 545551 8% /2032 30,146 32,415 0.01 FNMA Pool 520075 7% /2029 30,668 32,369 0.01 Mortgage and Asset Backed Securities (continued) FNMA Pool 568354 8% /2031 29,872 32,173 0.01 FNMA Pool 637716 7.5% /2032 28,256 30,203 0.01 United States of America (continued) FNMA Pool 550017 7.5% /2030 27,392 29,280 0.01 Freddie Mac Gold Pool C47063 7.5% /2031 85,370 91,417 0.03 Fannie Mae Strip 2000-32 SM 5.29% /2030 (1) 320,909 28,649 0.01 Freddie Mac Gold Pool C36249 7.5% /2030 85,370 91,416 0.03 FNMA Pool 576022 8% /2029 26,450 28,506 0.01 Freddie Mac Gold Pool C66709 7.5% /2032 83,118 89,004 0.03 Freddie Mac Gold Pool C39781 8% /2030 26,057 28,054 0.01 FNMA Pool 557184 8% /2030 82,110 88,292 0.03 FNMA Strip 7% /2032 152,115 27,947 0.01 FNMA Pool 541903 7.5% /2030 81,949 87,597 0.03 FNMA Pool 535533 8% /2030 25,445 27,361 0.01 FNMA Pool 535898 8% /2031 80,060 86,088 0.03 FNMA Pool 601971 7.5% /2031 25,548 27,308 0.01 FNMA Pool 254383 7.5% /2032 80,289 85,820 0.03 FNMA Pool 601136 8% /2031 25,351 27,260 0.01 FNMA Pool 190292 7.5% /2027 78,333 83,954 0.02 FNMA Pool 339552 7% /2026 25,491 26,975 0.01 FNMA Pool 254448 6.5% /2032 80,204 83,113 0.02 FNMA Pool 559287 7.5% /2030 24,956 26,676 0.01 Freddie Mac Gold Pool C80401 7.5% /2026 76,352 81,982 0.02 Fannie Mae FNR 2002-50 SC 4.79% /2029 (1) 595,489 26,210 0.01 Freddie Mac Gold Pool G00876 6.5% /2028 75,921 78,900 0.02 Freddie Mac Gold Pool C36886 8% /2030 23,796 25,620 0.01 Freddie Mac FHR 2500 SD 4.78% /2032 (1) 747,880 76,912 0.02 Fannie Mae Strip 2000-46 SA FNMA Pool 710944 6.5% /2033 72,506 75,087 0.02 6.6175% /2030 (1) 275,359 25,309 0.01 FNMA Pool 535204 8% /2030 65,952 70,917 0.02 FNMA Pool 616898 7.5% /2031 23,530 25,151 0.01 FNMA Pool 485674 6.5% 2029 67,173 69,734 0.02 FNMA Pool 591183 8% /2031 23,093 24,832 0.01 Government National Mortgage Association FNMA Pool 579400 7% /2031 23,494 24,783 0.01 GNR 1999-27 SE 5.36% /2029 (1) 642,546 69,235 0.02 FNMA Pool 538501 8% /2030 22,336 24,018 0.01 Freddie Mac Gold Pool C45610 7.5% /2030 64,314 68,869 0.02 FNMA Pool 624309 7.5% /2032 22,350 23,890 0.01 FNMA Pool 571075 7% /2031 64,667 68,214 0.02 Fannie Mae Strip 2000-34 S 5.24% /2030 (1) 253,024 23,089 0.01 Freddie Mac Gold Pool C01214 7.5% /2031 61,280 65,619 0.02 FNMA Pool 594355 7.5% /2031 20,588 22,006 0.01 FNMA Pool 653071 6.5% /2032 62,541 64,809 0.02 FNMA Pool 313687 7% /2027 20,772 21,951 0.01 FNMA Pool 704153 6.5% /2033 60,311 62,458 0.02 FNMA Pool 537867 8% /2030 20,226 21,749 0.01 FNMA Pool 531578 7.5% /2030 58,142 62,149 0.02 FNMA Pool 567146 7% /2031 19,127 20,178 0.01 FNMA Pool 671440 8% /2032 57,219 61,527 0.02 FNMA Pool 646944 7% /2032 18,921 19,960 0.01 FNMA Pool 251626 7% /2018 57,482 60,882 0.02 FNMA Pool 252589 6.5% /2029 19,112 19,841 0.01 Freddie Mac Gold Pool G01167 7.5% /2031 56,753 60,772 0.02 Freddie Mac Gold Pool C01025 8% /2030 17,689 19,045 0.01 Freddie Mac Gold Pool C53765 7.5% /2031 55,568 59,502 0.02 FNMA Pool 504341 7% /2029 17,974 18,971 0.01 FNMA Pool 545003 8% /2031 54,837 58,965 0.02 Government National Mortgage Association FNMA Pool 545078 7.5% /2031 52,341 55,949 0.02 Strip 1999-30 SA IO 4.76% /2029 (1) 279,474 18,908 0.01 FNMA Pool 591854 7.5% /2031 52,240 55,839 0.02 FNMA Pool 632288 6.5% /2032 17,029 17,657 0.01 Government National Mortgage Association Government National Mortgage Association GNR 2001-22 SK 4.91% /2031 (1) 548,448 54,622 0.02 GNR 2001-46 SA 4.34% /2031 (1) 276,092 17,108 0.01 FNMA Pool 615166 7.5% /2031 50,126 53,581 0.02 FNMA Pool 253516 8% /2030 15,607 16,782 0.00 FNMA Pool 545562 7.5% /2032 49,375 52,778 0.02 Freddie Mac Gold Pool C41920 8% /2030 15,509 16,698 0.00 FNMA Pool 583355 8% /2031 49,021 52,712 0.02 FNMA Pool 253346 7.5% /2030 15,501 16,569 0.00 FNMA Pool 524488 7.5% /2030 48,956 52,330 0.02 Freddie Mac Gold Pool C42445 8% /2030 15,059 16,214 0.00 FNMA Pool 535757 8% /2031 46,830 50,381 0.01 FNMA Pool 711986 6.5% /2033 15,061 15,597 0.00 FNMA Pool 253643 7.5% /2031 45,693 48,842 0.01 FNMA Pool 591189 6.5% /2031 14,918 15,469 0.00 FNMA Pool 415853 7.5% /2028 45,119 48,356 0.01 Freddie Mac Gold Pool G01135 8% /2030 14,351 15,451 0.00 FNMA Pool 527244 6.5% /2029 46,544 48,321 0.01 FNMA Pool 496029 6.5% /2029 14,686 15,247 0.00 FNMA Pool 529548 7.5% /2030 42,173 45,079 0.01 FNMA Pool 568963 7.5% /2031 13,400 14,324 0.00 FNMA Pool 532814 7.5% /2030 40,841 43,678 0.01 FNMA Pool 654099 6.5% /2032 13,239 13,720 0.00 FNMA Pool 644789 7% /2032 41,143 43,401 0.01 FNMA Pool 667021 6.5% /2032 13,052 13,525 0.00 FNMA Pool 253481 8% /2030 40,341 43,378 0.01 FNMA Pool 563584 8% /2030 12,249 13,172 0.00 FNMA Pool 535481 8% /2030 40,069 43,086 0.01 FNMA Pool 254677 6.5% /2033 12,619 13,077 0.00 FNMA Pool 568165 7.5% /2031 39,624 42,355 0.01 Fannie Mae Strip 307 IO 8% /2030 72,590 12,438 0.00 Freddie Mac Strip 215 IO 8% /2031 208,511 42,123 0.01 FNMA Pool 675952 6.5% /2032 11,597 12,031 0.00 FNMA Pool 545620 7.5% /2032 39,040 41,730 0.01 FNMA Pool 522601 8% /2029 11,087 11,928 0.00 FNMA Pool 514574 7.5% /2030 38,672 41,359 0.01 FNMA Pool 702022 6.5% /2033 11,498 11,907 0.00 FNMA Pool 630738 7% /2032 38,874 41,008 0.01 Freddie Mac Gold Pool C01221 8% /2031 10,940 11,778 0.00 FNMA Pool 554693 8% /2030 38,061 40,926 0.01 FNMA Pool 535198 8% /2030 10,911 11,738 0.00 Fannie Mae Strip 306 IO 8% /2030 201,789 40,569 0.01 FNMA Pool 343010 7.5% /2026 10,830 11,606 0.00 FNMA Pool 636445 7% /2032 38,245 40,344 0.01 FNMA Pool 589499 6.5% /2031 10,982 11,388 0.00 FNMA Pool 252806 7.5% /2029 36,731 39,283 0.01 Fannie Mae Strip 296 2 8% /2024 56,915 10,844 0.00 FNMA Pool 251898 6.5% /2028 37,626 39,060 0.01 FNMA Pool 584953 7.5% /2031 9,842 10,520 0.00 FNMA Pool 252807 8% /2029 35,669 38,374 0.01 FNMA Pool 621265 8% /2032 9,773 10,509 0.00 FNMA Pool 526645 7.5% /2029 35,560 38,031 0.01 FNMA Pool 571788 7.5% /2031 8,060 8,620 0.00 FNMA Pool 529097 8% /2030 35,051 37,690 0.01 FNMA Pool 571106 7.5% /2031 7,762 8,297 0.00 Freddie Mac Gold Pool C47928 7.5% /2031 35,045 37,528 0.01 FNMA Pool 541938 8% /2030 7,417 7,976 0.00 FNMA Pool 558690 7.5% /2030 35,033 37,447 0.01 FNMA Pool 637459 7.5% /2032 6,882 7,356 0.00 FNMA Pool 713672 6.5% /2032 35,533 36,822 0.01 Freddie Mac Strip 2234 SC IO 5.33% /2029 (1) 138,751 7,228 0.00 FNMA Pool 541247 8% /2030 34,239 36,817 0.01 FNMA Pool 548831 8% /2030 6,585 7,081 0.00 Fannie Mae Strip 1997-53 PI 8% /2027 176,290 36,280 0.01 FNMA Pool 581649 8% /2031 6,003 6,455 0.00 FNMA Pool 580991 7.5% /2031 33,683 36,004 0.01 FNMA Pool 254572 8% /2032 5,785 6,220 0.00 FNMA Pool 654424 7% /2032 34,035 35,904 0.01 FNMA Pool 190317 8% /2031 5,577 5,997 0.00 952347-1-007 x-cat 8/22/05 17:52 Page 79

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STATEMENT OF INVESTMENTS (continued) Nominal in US dollars Market % of net Transferable securities admitted to official exchange listing or dealt Investment unless specified value assets in on another regulated market. As at 30 June 2005, expressed Corporate Bonds (continued) in US dollars. United States of America (continued) Nominal in TCI Communications unsecur sr debentures US dollars Market % of net 7.875% /2026 440,000 547,189 0.16 Investment unless specified value assets SLM nts SerMTNA 5% /2013 525,000 538,797 0.16 Pacific Gas & Electric 6.05% /2034 480,000 528,096 0.16 Mortgage and Asset Backed Securities (continued) HSBC Finance nts 6.75% /2011 475,000 526,876 0.16 Arizona Public Service nts 5.8% /2014 480,000 514,917 0.15 United States of America (continued) Goldman Sachs Group unsecur sr nts FNMA Pool 563934 8% /2031 5,532 5,949 0.00 6.6% /2012 460,000 509,973 0.15 FNMA Pool 532807 7.5% /2030 5,326 5,696 0.00 World Financial Properties pass thru certs FNMA Pool 259113 7.5% /2030 5,221 5,581 0.00 Ser144A priv plmt 6.91% /2013 465,377 503,978 0.15 FNMA Pool 566917 7.5% /2031 4,813 5,145 0.00 Carolina Power & Light 1st mortgage FNMA Pool 494724 6.5% /2029 4,819 5,003 0.00 5.125% /2013 485,000 500,049 0.15 FNMA Pool 547424 8% /2030 3,222 3,465 0.00 Cooper Industries unsecur co gtd 5.25% /2007 475,000 484,011 0.14 FNMA Pool 561316 6.5% /2030 2,056 2,133 0.00 International Lease Finance unsecur nts FNMA Pool 600298 7.5% /2031 1,585 1,694 0.00 3.75% /2007 490,000 483,979 0.14 FNMA Pool 634589 8% /2031 1,564 1,682 0.00 Comcast sr unsecur co gtd 6.5% /2015 430,000 477,545 0.14 FNMA Pool 515611 7.5% /2029 1,508 1,613 0.00 FPL Group Capital nts 3.25% /2006 475,000 473,488 0.14 FNMA Pool 511789 7.5% /2030 1,228 1,312 0.00 News America Holdings co gtd sr debentures FNMA Pool 592703 8% /2031 1,208 1,299 0.00 7.75% /2024 390,000 465,588 0.14 Fannie Mae Strip 2000-31 SB IO 4.69% /2027 (1) 79,673 1,230 0.00 Residential Capital nts Ser144A priv plmt FNMA Pool 549123 7.5% /2030 587 627 0.00 6.375% /2010 460,000 462,338 0.14 Wellpoint Health Networks sr unsecur nts Total for United States of America 38.63 6.375% /2006 450,000 460,050 0.14 EOP Operating LP unsecur sr nts Total for Mortgage and Asset Backed Securities 38.63 6.763% /2007 435,000 455,743 0.13 Southwest Airlines pass thru certs 5.496% /2006 445,000 452,833 0.13 Corporate Bonds COX Communications nts 4.625% /2010 450,000 448,288 0.13 Time Warner unsecur co gtd 7.7% /2032 350,000 438,629 0.13 United States of America Federated Department Stores unsecur sr nts AIG SunAmerica Global Financing VI sr nts 6.625% /2008 405,000 432,983 0.13 secur Ser144A priv plmt 6.3% /2011 1,385,000 1,510,188 0.44 Household Finance unsecur sr unsubord Fleetboston Financial nts 7.25% /2005 1,005,000 1,012,388 0.29 5.875% /2009 410,000 430,673 0.13 World Financial Properties pass thru certs American General Finance nts SerMTNH Ser144A priv plmt 6.95% /2013 929,458 1,006,535 0.29 4.625% /2010 425,000 427,885 0.13 Marsh & McLennan Cos nts 5.375% /2014 970,000 965,768 0.28 Public Service Electric & Gas SerMTNB J.P. Morgan Chase & Co unsecur subord nts 5% /2013 410,000 422,541 0.12 6% /2009 900,000 948,889 0.28 Altria Group nts 7% /2013 370,000 413,711 0.12 Aetna ‘New’ sr nts unsecur 7.875% /2011 820,000 948,073 0.28 Weyerhaeuser unsecur unsubord nts America West Airlines pass thru certs Ser01-1 6% /2006 405,000 412,170 0.12 7.1% /2021 861,261 909,784 0.27 Kraft Foods nts 5.625% /2011 375,000 396,675 0.12 Farmers Exchange Capital nts Ser144A priv Safeway sr unsecur debentures 7.25% /2031 335,000 385,574 0.11 plmt 7.05% /2028 835,000 900,326 0.26 Union Pacific nts 3.625% /2010 390,000 374,684 0.11 Marriott International unsecur nts SerE AT&T Wireless Services sr nts unsecur 7% /2008 845,000 898,863 0.26 8.75% /2031 265,000 367,737 0.11 General Electric Capital nts SerMTNA SLM nts 4% /2010 370,000 365,452 0.11 6.75% /2032 725,000 892,563 0.26 CIT Group sr nts 2.875% /2006 365,000 360,228 0.11 Citigroup unsecur subord nts 5.625% /2012 800,000 854,022 0.25 Northrop Grumman nts 4.079% /2006 355,000 355,228 0.10 M&I Marshall & Ilsley Bank nts SerBKNT Raytheon sr unsecur nts 8.3% /2010 305,000 353,548 0.10 3.8% /2008 835,000 829,509 0.24 FedEx nts 2.65% /2007 355,000 345,909 0.10 Albertson’s unsecur debentures 7.45% /2029 715,000 803,725 0.24 Altria Group unsecur debentures 7.75% /2027 290,000 345,087 0.10 Sealed Air nts Ser144A priv plmt Detroit Edison Ser144A priv plmt 4.8% /2015 340,000 343,300 0.10 5.625% /2013 720,000 737,957 0.22 Norfolk Southern nts 7.35% /2007 325,000 342,983 0.10 Axa Financial unsecur sr nts 6.5% /2008 670,000 709,722 0.21 Mohawk Industries unsecur nts SerD MBNA nts 3.64% /2008 (1) 695,000 697,592 0.21 7.2% /2012 300,000 342,461 0.10 Countrywide Home Loans nts SerMTNL DaimlerChrysler NA co gtd 8.5% /2031 265,000 332,145 0.10 3.25% /2008 700,000 680,538 0.20 Consolidated Natural Gas sr nts 5% /2014 325,000 330,192 0.10 Ford Motor Credit nts 7.25% /2011 705,000 673,298 0.20 Harrah’s Operating Ser144A priv plmt Caterpillar Financial Services nts SerMTNF 5.625% /2015 325,000 328,923 0.10 3.35% /2007 (1) 665,000 666,161 0.20 Citicorp subord nts SerMTNF 6.375% /2008 305,000 326,072 0.10 MBNA nts 6.125% /2013 620,000 663,819 0.20 CC Funding Trust I sr nts 6.9% /2007 310,000 323,366 0.10 Wachovia nts 4.95% /2006 640,000 649,074 0.19 Exelon unsecur sr nts 6.75% /2011 290,000 320,732 0.09 St Paul Travelers sr nts 5.01% /2007 630,000 638,292 0.19 Household Finance unsecur sr unsubord Hyatt Equities nts Ser144A priv plmt 6.4% /2008 295,000 312,801 0.09 6.875% /2007 595,000 614,094 0.18 Nisource Finance nts 3.85438% /2009 (1) 310,000 311,494 0.09 Miller Brewing nts Ser144A priv plmt Textron Financial nts 4.125% /2008 310,000 310,058 0.09 4.25% /2008 570,000 567,179 0.17 General Electric Capital sr nts SerMTNA Citicorp subord nts 6.75% 15/08/2005 565,000 567,043 0.17 4.25% /2010 300,000 299,499 0.09 Washington Mutual subord nts 8.25% /2010 490,000 564,466 0.17 Consumers Energy SerH 4.8% /2009 295,000 297,359 0.09 Clorox sr nts 3.525% /2007 (1) 560,000 561,145 0.17 Huntington National Bank sr nts SerBKNT Consolidated Natural Gas Company sr nts 4.375% /2010 295,000 294,978 0.09 unsecur unsubord SerC 6.25% /2011 500,000 547,775 0.16 MBNA America Bank subord nts 7.125% /2012 250,000 287,536 0.08 952347-1-007 x-cat 8/22/05 17:52 Page 80

Morgan Stanley SICAV 30 June 2005 80

US Bond Fund

United Kingdom Total for Austria 0.10 Systems 2001 Asset Trust pass thru certs Ser144A priv plmt 6.664% /2013 749,301 815,760 0.24 Nationwide Building Society nts Ser144A priv South Korea plmt 4.25% /2010 690,000 688,130 0.20 LG Electronics Ser144A priv plmt 5% /2010 280,000 279,410 0.08 WPP Finance UK co gtd 5.875% /2014 350,000 369,662 0.11 Total for South Korea 0.08 Total for United Kingdom 0.55 Total for Corporate Bonds 17.26 952347-1-007 x-cat 8/22/05 17:52 Page 81

81 Morgan Stanley SICAV 30 June 2005

US Bond Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US dollars.

Nominal in US dollars Market % of net Investment unless speciﬁed value assets

Government Agency Bonds

United States of America Freddie Mac disc nts unsecur 0% 1/7/2005 18,500,000 18,414,818 5.42 Fannie Mae unsecur nts 4.25% /2009 9,440,000 9,530,724 2.81 Freddie Mac unsecur nts 5.125% /2013 3,550,000 3,566,064 1.05

Total for United States of America 9.28

Total for Government Agency Bonds 9.28

Total Investment Securities 358,609,984 105.59

Total NAV 339,621,059 100.00

(1) Variable coupon rates are those quoted as of 30 June 2005. (2) Security held as collateral against bond futures positions by the broker. 952347-1-007 x-cat 8/22/05 17:52 Page 82

Morgan Stanley SICAV 30 June 2005 82

US Dollar Short Duration Fund

INVESTMENT AIMS STATEMENT OF INVESTMENTS To seek to maximise yield and total return Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed primarily by investing in high quality US Dollar in US dollars.

denominated ﬁxed income securities issued Nominal in US dollars Market % of net by governments, agencies and corporations. Investment unless speciﬁed value assets The Fund will be managed to maintain Mortgage and Asset Backed Securities

United States of America a duration of up to 12 months at all times. FNMA Pool 758575 6.5% /2034 968,723 1,002,918 3.91 American Express Credit Account Master Trust The Fund may also hold up to 49% of its net 2001-2 A 5.53% /2008 500,000 506,250 1.97 Freddie Mac Gold Pool C01441 7.5% /2032 391,921 419,673 1.63 assets in cash and cash equivalents. FNMA Pool 628075 7.5% /2032 359,075 383,812 1.50 Daimler Chrysler Auto Trust 2005-A A3 3.49% /2008 350,000 347,913 1.36 TXU Electric Delivery Transition Bond 2004-1 A1 3.52% /2011 350,640 346,867 1.35 CHANGE IN NET ASSET VALUE PER SHARE FNMA Pool 657323 7.5% /2032 307,768 328,970 1.28 For the six months ended 30 June 2005 FNMA Pool 632894 7.5% /2030 296,207 316,620 1.24 Honda Auto Receivables Owner Trust 2002-4 A4 2.7% /2008 300,000 297,671 1.16 FNMA Pool 252717 7.5% /2029 263,009 281,365 1.10 0.78% 0.49% 1.45% FNMA Pool 794386 4.12% /2034 (1) 273,061 276,387 1.08 1.5 USAA Auto Owner Trust 2004-3 A3 3.16% /2009 250,000 247,518 0.97 Wachovia Auto Owner Trust 2004-B A3 2.91% /2009 250,000 246,910 0.96 FNMA Pool 571041 6.5% /2031 234,937 243,612 0.95 Fannie Mae FNR 2005-27 NA 5.5% /2024 238,963 242,915 0.95 1.2 FNMA Pool 607636 7.5% /2031 218,272 233,309 0.91 FNMA Pool 652290 6.5% /2032 221,334 229,362 0.90 Nissan Auto Receivables Owner Trust 2005-A A3 3.54% /2008 225,000 223,668 0.87 Ford Credit Auto Owner Trust 2002-B A4 4.75% /2006 219,434 219,989 0.86 0.9 FNMA Pool 735540 4.554% /2035 (1) 214,484 215,356 0.84 Harley-Davidson Motorcycle Trust 2002-2 A2 3.09% /2010 206,227 204,902 0.80 New Century Home Equity Loan Trust 2004-4 A3 3.454% /2035 (1) 202,770 202,914 0.79 World Omni Auto Receivables Trust 0.6 2004-A A3 3.29% /2008 (1) 200,000 198,465 0.77 John Deere Owner Trust 2004-A A3 2.32% /2007 200,000 197,110 0.77 Freddie Mac Non Gold Pool 780926 4.352% /2033 (1) 194,775 193,482 0.76 0.3 Capital Auto Receivables Asset Trust 2002-3 A3 3.58% /2006 186,796 186,901 0.73 FNMA Pool 725695 3.673% /2034 (1) 186,330 186,283 0.73 Freddie Mac Non Gold Pool 1G0820 4.375% /2035 (1) 175,000 175,739 0.69 Merrill Lynch Mortgage Investors WMC1 A2A 0.0 3.414% /2035 (1) 166,007 166,153 0.65 I A Freddie Mac Gold Pool C01380 7.5% /2032 155,074 166,055 0.65 Wells Fargo Home Equity Trust 2004-2 AI1A 3.484% /2018 (1) 164,074 164,204 0.64 I Fund (net of expenses) Class I shares Residential Asset Securities 2004-KS9 AI1 3.484% /2021 (1) 162,762 162,897 0.64 Fund (net of expenses) Class A shares A Freddie Mac Non Gold Pool 781757 3 Month US LIBOR Index (expressed in US dollars) 3.594% /2034 (1) 161,191 159,052 0.62 Merrill Lynch Mortgage Investors 2004-HE2 A2A 3.514% /2035 (1) 158,592 158,712 0.62 Nissan Auto Receivables Owner Trust 2002-B A4 4.6% /2007 150,783 151,149 0.59 Honda Auto Receivables Owner Trust 2005-1 A3 3.53% /2008 150,000 149,128 0.58 Fifth Third Auto Trust 2004-A A3 3.19% /2008 150,000 148,882 0.58 FNMA Pool 735559 4.245% /2035 (1) 146,503 147,238 0.57 GSAMP Trust 2005-NC1 A1 3.434% /2035 (1) 139,930 140,046 0.55 Freddie Mac FHR 2104 TE 5.5% /2012 135,798 136,417 0.53 Asset Backed Funding Certiﬁcates 2004-OPT5 A2 3.504% /2025 (1) 131,068 131,172 0.51 FNMA Pool 826211 4.778% /2035 (1) 125,000 126,000 0.49 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:52 Page 83

83 Morgan Stanley SICAV 30 June 2005

US Dollar Short Duration Fund

STATEMENT OF INVESTMENTS (continued) Nominal in US dollars Market % of net Transferable securities admitted to official exchange listing or dealt Investment unless specified value assets in on another regulated market. As at 30 June 2005, expressed Corporate Bonds (continued) in US dollars. United States of America (continued) Nominal in American Honda Finance nts Ser144A priv plmt US dollars Market % of net 3.85% /2008 140,000 138,333 0.54 Investment unless specified value assets TIAA Global Markets unsecur sr co gtd Ser144A priv plmt 3.875% /2008 135,000 134,250 0.52 Mortgage and Asset Backed Securities (continued) FPL Group Capital nts 3.25% /2006 130,000 129,586 0.51 John Hancock Financial Services sr nts United States of America (continued) 5.625% /2008 110,000 115,208 0.45 FNMA Pool 773300 4.257% /2035 (1) 121,178 121,983 0.48 General Electric Capital nts SerMTNA 5% /2007 105,000 106,936 0.42 FNMA Pool 779346 3.801% /2034 (1) 120,352 120,089 0.47 Citicorp subord nts 6.75% 15/08/2005 105,000 105,380 0.41 Freddie Mac Gold Pool C30218 6.5% /2029 113,295 117,597 0.46 American General Finance nts SerMTNH FNMA Pool 254250 7.5% /2032 102,385 109,438 0.43 4.625% /2010 100,000 100,679 0.39 FNMA Pool 552886 7.5% /2031 102,205 109,249 0.43 ING Security Life Institutional Funding nts FNMA MBS 30yr 7.5% 100,000 106,844 0.42 Ser144A priv plmt 2.7% /2007 100,000 97,400 0.38 Freddie Mac Gold Pool C46909 7.5% /2030 79,731 85,429 0.33 Bank of New York unsecur sr nts 5.2% /2007 95,000 96,907 0.38 Freddie Mac Gold Pool G01479 7.5% /2032 74,269 79,527 0.31 John Deere Capital unsecur sr nts 4.5% /2007 80,000 80,740 0.32 Asset Backed Funding Certificates Cooper Industries unsecur co gtd 5.25% /2007 70,000 71,328 0.28 2004-HE1 A1 3.444% /2022 (1) 77,463 77,515 0.30 Wells Fargo & Co nts 3.45 % /2006 (1) 70,000 70,024 0.27 Freddie Mac Gold Pool C01372 7.5% /2032 68,374 73,216 0.29 Allstate Financial Global Funding II nts Ser144A FNMA Pool 635079 6.5% /2032 66,193 68,594 0.27 priv plmt 2.625% /2006 70,000 68,724 0.27 FNMA Pool 253733 7.5% /2021 60,061 64,236 0.25 Southwest Airlines pass thru certs 5.496% /2006 55,000 55,968 0.22 FNMA Pool 634650 7.5% /2032 53,828 57,536 0.22 Allstate Life Global Funding Trusts secur nts FNMA Pool 520823 7.5% /2029 43,362 46,375 0.18 Ser04-1 4.5% /2009 55,000 55,539 0.22 Freddie Mac Gold Pool C75106 6.5% /2032 39,038 40,444 0.16 McDonnell Douglas unsecur nts 6.875% /2006 50,000 51,787 0.20 FNMA Pool 652016 7.5% /2032 35,131 37,551 0.15 CIT Group sr nts SerMTN 3.44 % 4/11/2005 (1) 50,000 50,033 0.20 FNMA Pool 569411 7.5% /2031 10,788 11,531 0.05 Countrywide Home Loans nts SerMTNL FNMA Pool 538135 7.5% /2030 9,828 10,510 0.04 3.25% /2008 50,000 48,610 0.19 FNMA Pool 524945 7.5% /2030 3,827 4,091 0.02 Johnson Controls unsecur sr nts 5% /2006 45,000 45,520 0.18 Freddie Mac Gold Pool C38620 6.5% /2030 3,858 4,002 0.02 Detroit Edison sr 6.125% /2010 40,000 43,197 0.17 FNMA Pool 254133 7.5% /2031 3,322 3,551 0.01 Textron Financial nts 4.125% /2008 40,000 40,007 0.16 FNMA Pool 579794 7.5% /2031 1,737 1,858 0.01 Prudential Funding nts SerMTN priv plmt FNMA Pool 537999 7.5% /2030 389 416 0.00 6.6% /2008 35,000 37,340 0.15 Axa Financial unsecur sr nts 6.5% /2008 35,000 37,075 0.14 Total for United States of America 45.35 First Union subord nts 6.875% 15/09/2005 35,000 35,217 0.14 TIAA Global Markets nts priv plmt 4.125% /2007 35,000 35,138 0.14 Total for Mortgage and Asset Backed Securities 45.35 Bank of America unsecur sr nts 3.875% /2008 35,000 34,899 0.14 General Electric Capital nts SerMTNA 5.375% /2007 30,000 30,702 0.12 Corporate Bonds International Lease Finance nts SerMTNQ 4.625% /2008 25,000 25,154 0.10 United States of America Wisconsin Electric Power nts 3.5% /2007 10,000 9,860 0.04 Canadian Imperial Bank of Commerce deposit nts SerYCD 3.46 % /2007 (1) 405,000 405,498 1.58 Total for United States of America 26.27 Citicorp subord nts SerMTNF 6.375% /2008 330,000 352,800 1.38 Golden West Financial unsecur sr nts 5.5% /2006 320,000 325,321 1.27 United Kingdom Metropolitan Life Global Funding I nts Ser144A GlaxoSmithKline Capital co gtd 2.375% /2007 200,000 195,028 0.75 priv plmt 3.375% /2007 270,000 265,768 1.04 Nationwide Building Society sr nts Ser144A Target unsecur sr nts 5.95% /2006 255,000 259,512 1.01 priv plmt 2.625% /2007 130,000 127,293 0.50 UnitedHealth Group unsecur sr nts 5.2% /2007 250,000 254,701 0.99 Vodafone Group unsecur nts 7.75% /2010 35,000 39,929 0.16 Washington Mutual nts 7.5% /2006 215,000 223,109 0.87 JP Morgan Chase & Co unsecur subord nts Total for United Kingdom 1.41 7% /2009 195,000 214,453 0.84 Honeywell International nts 5.125% /2006 205,000 208,269 0.81 Canada Prudential Financial sr nts Ser144A priv plmt Conoco Funding co gtd 5.45% /2006 230,000 234,374 0.91 6.375% /2006 200,000 204,846 0.80 Berkshire Hathaway Finance nts 3.4% /2007 200,000 197,549 0.77 Total for Canada 0.91 Lehman Brothers Holdings nts unsecur 8.25% /2007 180,000 194,048 0.76 Wachovia nts 4.95% /2006 190,000 192,694 0.75 Australia World Financial Properties pass thru certs Mantis Reef nts Ser144A priv plmt Ser144A priv plmt 6.91% /2013 171,095 185,286 0.72 4.692% /2008 200,000 200,476 0.78 US Bancorp sr nts SerMTNN 5.1% /2007 180,000 183,723 0.72 KEY Bank subord nts SerBKN1 7.125% /2006 165,000 170,258 0.66 Total for Australia 0.78 Goldman Sachs Group unsecur nts 4.125% /2008 165,000 165,028 0.64 Germany Household Finance unsecur sr unsubord KfW - Kreditanstalt fuer Wiederaufbau govt gtd 6.4% /2008 155,000 164,353 0.64 3.25% /2007 185,000 182,838 0.71 Public Service Electric & Gas 3.577 % /2006 (1) 160,000 160,029 0.62 CIT Group nts 6.5% /2006 155,000 157,446 0.61 Verizon/New England sr nts 6.5% /2011 140,000 152,283 0.59 Total for Germany 0.71 Suntrust Bank subord nts SerBKNT 7.25% /2006 135,000 139,856 0.55 952347-1-007 x-cat 8/22/05 17:52 Page 84

Morgan Stanley SICAV 30 June 2005 84

US Dollar Short Duration Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US dollars.

Nominal in US dollars Market % of net Investment unless speciﬁed value assets

Corporate Bonds (continued)

Netherlands Monumental Global Funding II secur Ser144A priv plmt 6.05% /2006 250,000 252,906 0.99 ABN Amro Bank unsecur sr nts 3.31% /2007 (1) 100,000 100,029 0.39

Total for Netherlands 1.38

Total for Corporate Bonds 31.46

Government Bonds

United States of America Federal Home Loan Bank disc nts 0 % 20/07/2005 1,300,000 1,297,044 5.06 US Treasury Bill 0% 14/07/2005 (2) 120,000 118,432 0.47

Total for United States of America 5.53

Canada Province of Ontario nts 3.35% /2007 235,000 232,532 0.91 Province of Quebec unsecur debentures SerPJ 6.125% /2011 180,000 196,559 0.77

Total for Canada 1.68

Total for Government Bonds 7.21

Government Agency Bonds

United States of America Federal Home Loan Bank disc nts 0% /13/07/2005 1,200,000 1,198,640 4.68 Freddie Mac disc nts unsecur 0% /2005 700,000 696,777 2.72

Total for United States of America 7.40

Total for Government Agency Bonds 7.40

Total Investment Securities 23,416,796 91.42

Total NAV 25,615,443 100.00

(1) Variable coupon rates are those quoted as of 30 June 2005. (2) Security held as collateral against bond futures positions by the broker. 952347-1-007 x-cat 8/22/05 17:52 Page 85

85 Morgan Stanley SICAV 30 June 2005

Euro Liquidity Fund

INVESTMENT AIMS* CHANGE IN NET ASSET VALUE PER SHARE For the six months ended 30 June 2005 To provide liquidity and high current income, to

the extent consistent with the preservation of 0.86% 0.79% 0.46% 0.99% 1.00 capital, primarily by investing in high quality 0.75

short-term transferable debt securities that are 0.50

denominated in Euro, provided that, at the 0.25

0.00 time of acquisition, their initial or residual I A B maturity does not exceed 397 days (with the I Fund (net of expenses) Class I shares

exception of ﬂoating rate notes whose initial or A Fund (net of expenses) Class A shares

residual maturity may not exceed 24 months) B Fund (net of expenses) Class B shares taking into account any ﬁnancial instruments 1 Month Euro LIBID Index (expressed in Euro) connected therewith, or the terms and 0.86% 0.99% conditions governing those securities provide 1.00 that the applicable interest rate is adjusted at 0.75 0.50 least annually on the basis of market 0.25

conditions. The Fund may also hold up to 49% 0.00 IX of its net assets in cash and cash equivalents.

IX Fund (net of expenses) Class IX shares

* The investment objective changed on 17 May 2005: Prior to that date, the Fund’s investment aim as 1 Month Euro LIBID Index (expressed in Euro) set out in the Annual and Semi annual reports was: “To provide liquidity and high current income, to the extent consistent with the preservation of capital, primarily by investing in high quality short-term transferable debt securities that are denominated in Euro, provided that, at the time of acquisition, their initial or residual maturity does not exceed 12 months. The Fund may also hold up to 49% of its net assets in cash and cash equivalents.” STATEMENT OF INVESTMENTS Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in Euro.

Nominal in Euro unless Amortised % of net Investment speciﬁed Cost assets

Commercial Paper

Chariot Funding 30/09/2005 12,000,000 11,936,640 2.84 Ivory Funding 16/09/2005 10,219,000 10,172,899 2.42 Tulip Euro Funding 01/07/2005 10,000,000 10,000,000 2.37 Silver Tower Funding 18/07/2005 10,000,000 9,990,493 2.37 Societe Generale Australia 29/07/2005 10,000,000 9,983,773 2.37 Spintab 09/09/2005 10,000,000 9,959,467 2.36 Banque Federale du Credit Mutuel 26/09/2005 10,000,000 9,947,785 2.36 Compass Securitization 05/07/2005 9,750,000 9,747,740 2.31 Ulster Bank Finance 09/09/2005 9,500,000 9,461,413 2.25 Bank of Western Australia 01/07/2005 9,000,000 9,000,000 2.14 Quasar Securitization 14/07/2005 8,914,000 8,907,149 2.11 LMA 26/07/2005 8,700,000 8,687,292 2.06 Sedna Finance 10/08/2005 7,000,000 6,983,725 1.66 Cancara Asset Securitization 25/07/2005 6,305,000 6,296,136 1.49 Erasmus Capital Group 30/08/2005 6,153,000 6,131,524 1.45 Thames Asset Global Securitization 06/07/2005 6,071,000 6,069,240 1.44 Toyota Kreditbank 18/07/2005 6,000,000 5,994,097 1.42 Links Finance 19/07/2005 6,000,000 5,993,674 1.42 Solitaire Funding 22/09/2005 6,000,000 5,971,105 1.42 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:52 Page 86

Morgan Stanley SICAV 30 June 2005 86

Euro Liquidity Fund

STATEMENT OF INVESTMENTS (continued) Nominal in Euro unless Amortised % of net Transferable securities admitted to official exchange listing or dealt Investment specified Cost assets in on another regulated market. As at 30 June 2005, expressed Corporate Bonds (continued) in Euro. Australia Nominal in National Australia Bank unsecur unsubord Euro unless Amortised % of net SerEMTN 2.178% 30/09/2005 5,750,000 5,750,483 1.36 Investment specified Cost assets Commonwealth Bank of Australia nts SerEMTN 2.131% 01/08/2005 4,000,000 3,999,926 0.95 Commercial Paper (continued) Total for Australia 2.31 Dexia Bank 05/08/2005 5,500,000 5,488,786 1.30 MANE Funding 18/07/2005 5,103,000 5,097,882 1.21 France National Australia Bank 05/07/2005 5,000,000 4,998,837 1.19 Caisse Nationale des Caisses d’Epargne Rabobank Ireland 05/07/2005 5,000,000 4,998,833 1.19 et de Prevoyance sr unsubord SerEMTN Ormond Quay Funding 06/07/2005 5,000,000 4,998,544 1.19 2.106% 14/11/2005 5,000,000 4,999,171 1.19 Amstel Euro Funding 07/07/2005 5,000,000 4,998,226 1.19 Caisse Nationale des Caisses d’Epargne MANE Funding 21/07/2005 5,000,000 4,994,156 1.19 et de Prevoyance sr nts unsecur SerEMTN Links Finance 28/07/2005 5,000,000 4,992,129 1.18 2.09% 17/11/2005 2,000,000 1,999,739 0.47 Amstel Euro Funding 17/08/2005 5,000,000 4,986,332 1.18 Banque Federative du Credit Mutuel sr nts Toyota Kreditbank 29/08/2005 5,000,000 4,982,866 1.18 SerEMTN 2.286% 18/11/2005 500,000 500,284 0.12 LMA 06/07/2005 4,600,000 4,598,649 1.09 Centauri 13/07/2005 4,500,000 4,496,852 1.07 Toyota Kreditbank 27/07/2005 4,500,000 4,493,178 1.07 Total for France 1.78 Dexia Bank 20/09/2005 4,500,000 4,478,851 1.06 Quasar Securitization 01/08/2005 4,465,000 4,456,890 1.06 Italy Whistlejacket Capital 25/07/2005 4,148,000 4,142,125 0.98 Unicredito Italiano Bank sr nts unsecur Tango 26/08/2005 4,150,000 4,136,564 0.98 SerEMTN 2.146% 24/08/2005 4,500,000 4,499,907 1.07 Ormond Quay Funding 23/08/2005 4,000,000 3,987,629 0.95 Swedish National Housing Finance Total for Italy 1.07 02/09/2005 4,000,000 3,985,402 0.95 Grampian Funding 15/07/2005 3,500,000 3,497,130 0.83 HSBC Bank Australia 26/07/2005 3,500,000 3,494,874 0.83 Ireland KBC Dublin Capital 05/07/2005 3,000,000 2,999,297 0.71 Unicredito Italiano Bank sr unsubord Erasmus Capital Group 16/09/2005 2,558,000 2,546,572 0.60 SerEMTN 2.134% 20/07/2006 1,300,000 1,299,673 0.31 Nordea Bank 01/07/2005 2,500,000 2,500,000 0.59 Unicredito Italiano Bank bnk gtd SerEMTN Compass Securitization 18/07/2005 2,000,000 1,998,099 0.47 2.133% 24/07/2006 1,000,000 999,748 0.24 Silver Tower Funding 29/07/2005 2,000,000 1,996,723 0.47 National Australia Bank 02/08/2005 2,000,000 1,996,251 0.47 Total for Ireland 0.55 Bank of Western Australia 06/09/2005 2,000,000 1,992,202 0.47 Ormond Quay Funding 07/09/2005 2,000,000 1,992,071 0.47 Sweden Whistlejacket Capital 18/07/2005 1,140,000 1,138,865 0.27 Spintab sr nts SerEMTN 2.125% 17/11/2005 2,000,000 1,999,870 0.47 MANE Funding 11/07/2005 1,000,000 999,394 0.24

Total for Sweden 0.47 Total for Commercial Paper 65.89

Corporate Bonds Germany Deutsche Bank Ser337 1.15% 15/07/2005 1,500,000 1,499,431 0.36

Cayman Islands Total for Germany 0.36 Parkland Finance sr nts unsecur SerEMTN 2.137% 07/07/2005 9,500,000 9,500,000 2.25 Total for Corporate Bonds 21.61 Centauri nts SerEMTN 2.125% 10/11/2006 6,000,000 5,998,371 1.42 Beta Finance nts SerEMTN 2.126% 15/11/2006 6,000,000 5,998,351 1.42 Interest Bearing Certiﬁcates of Deposit Beta Finance nts SerEMTN 2.146% 03/01/2006 5,000,000 4,999,746 1.19 BNP Paribas 2.10% 14/07/05 4,500,000 4,496,594 1.07 Centauri nts SerEMTN 2.146% 03/01/2006 5,000,000 4,999,746 1.19 Dorada sr nts SerEMTN 2.146% 03/01/2006 5,000,000 4,999,746 1.19 Total for Interest Bearing Certiﬁcates of Deposit 1.07

Total for Cayman Islands 8.66 Total Investment Securities 373,238,847 88.57

United Kingdom Total NAV 421,427,955 100.00 Whistlejacket Capital nts SerEMTN 2.125% 22/08/2005 5,000,000 4,999,785 1.19 Alliance Leicesters unsecur sr unsubord SerEMTN 2.203% 23/01/2006 4,500,000 4,501,433 1.07 Barclays Bank nts SerEMTN 2.127% 17/07/2006 4,500,000 4,499,639 1.07

Total for United Kingdom 3.33

Spain Banco Bilbao Vizcaya Argentaria unsecur 2.154% 20/10/2005 13,000,000 12,998,844 3.08

Total for Spain 3.08 952347-1-007 x-cat 8/22/05 17:52 Page 87

87 Morgan Stanley SICAV 30 June 2005

US Dollar Liquidity Fund

INVESTMENT AIMS* CHANGE IN NET ASSET VALUE PER SHARE For the six months ended 30 June 2005 To provide liquidity and high current income,

to the extent consistent with the preservation 1.20% 1.05% 1.00 1.26% 2.0 of capital, primarily by investing in high quality 1.5

short-term transferable debt securities that 1.0 are denominated in US Dollars, provided that, 0.5 0.0 at the time of acquisition, their initial or I A B residual maturity does not exceed 397 days I Fund (net of expenses) Class I shares

(with the exception of ﬂoating rate notes A Fund (net of expenses) Class A shares

whose initial or residual maturity may not B Fund (net of expenses) Class B shares

Salomon 3 Month US T-Bill Index (expressed in US dol- exceed 24 months) taking into account any lars) ﬁnancial instruments connected therewith, or

1.17% 0.98% 0.97% 1.26% the terms and conditions governing those 2.0

securities provide that the applicable interest 1.5 rate is adjusted at least annually on the basis 1.0 of market conditions. The Fund may also hold 0.5 0.0 up to 49% of its net assets in cash and cash IX AX BX

equivalents. IX Fund (net of expenses) Class IX shares

AX Fund (net of expenses) Class AX shares

* The investment objective changed on 17 May 2005: Prior to that date, the Fund’s investment BX Fund (net of expenses) Class BX shares aim as set out in the Annual and Semi annual reports was: “To provide liquidity and high current income, to the extent consistent with the preservation of capital, primarily by investing in high Salomon 3 Month US T-Bill Index quality short-term transferable debt securities that are denominated in US Dollars, provided that, (expressed in US dollars) at the time of acquisition, their initial or residual maturity does not exceed 12 months. The Fund may also hold up to 49% of its net assets in cash and cash equivalents.”

STATEMENT OF INVESTMENTS Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US dollars.

Nominal in US dollars Amortised % of net Investment unless speciﬁed Cost assets

Commercial Paper

Daimlerchrysler 10/08/2005 11,000,000 10,961,256 4.01 Golden Fish 22/07/2005 10,000,000 9,980,808 3.65 CAFCO 26/07/2005 10,000,000 9,978,194 3.65 Scaldis Capital 18/08/2005 10,000,000 9,957,467 3.64 HBOS Treasury Services 28/07/2005 8,600,000 8,579,876 3.14 Blue Ridge Assets Funding 05/07/2005 8,000,000 7,997,280 2.92 Falcon Asset Securitization 05/08/2005 8,000,000 7,975,344 2.92 Amsterdam Funding 18/07/2005 7,000,000 6,989,654 2.55 Skandinaviska Enskilda 14/07/2005 6,500,000 6,492,630 2.37 Gemini Securitization 08/07/2005 6,000,000 5,996,348 2.19 Amsterdam Funding 04/08/2005 6,000,000 5,982,037 2.19 Sydney Capital 01/07/2005 5,000,000 5,000,000 1.83 Mortgage International Network 06/07/2005 5,000,000 4,997,736 1.83 Ranger Funding 15/07/2005 5,000,000 4,993,817 1.83 Thames Asset Global Securitization 21/07/2005 5,000,000 4,990,972 1.82 Ranger Funding 25/07/2005 5,000,000 4,989,233 1.82 Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:52 Page 88

Morgan Stanley SICAV 30 June 2005 88

US Dollar Liquidity Fund

STATEMENT OF INVESTMENTS (continued) Transferable securities admitted to ofﬁcial exchange listing or dealt in on another regulated market. As at 30 June 2005, expressed in US dollars.

Nominal in US dollars Amortised % of net Investment unless speciﬁed Cost assets

Commercial Paper (continued)

Thames Asset Global Securitization 26/07/2005 5,000,000 4,988,715 1.82 Spintab 12/08/2005 5,000,000 4,981,508 1.82 Sydney Capital 16/08/2005 5,000,000 4,979,683 1.82 Preferred Receivables 29/08/2005 5,000,000 4,973,532 1.82 Old Line Funding 15/07/2005 4,065,000 4,059,941 1.48 Sydney Capital 12/07/2005 4,000,000 3,996,126 1.46 New Center 18/07/2005 3,000,000 2,995,573 1.09 Svenska Handelsbanken 03/08/2005 3,000,000 2,991,310 1.09 Swedbank 19/07/2005 2,900,000 2,895,433 1.06 Skandinaviska Enskilda 13/07/2005 2,800,000 2,797,013 1.02 Gemini Securitization 19/07/2005 2,072,000 2,068,581 0.76 BGL 25/07/2005 2,050,000 2,045,627 0.75 BNP Paribas 10/08/2005 2,000,000 1,992,822 0.73 HBOS Treasury Services 24/08/2005 2,000,000 1,990,160 0.73 Danske 08/07/2005 1,900,000 1,898,833 0.69 Danske 02/08/2005 1,875,000 1,869,517 0.68 Galleon Capital 15/07/2005 1,425,000 1,423,205 0.52 UBS Finance 22/07/2005 1,250,000 1,247,703 0.46 Yorktown Capital 06/07/2005 1,071,000 1,070,508 0.39

Total for Commercial Paper 62.55

Corporate Bonds

United States of America Lloyds TSB Bank 3.23% 30/09/2005 15,000,000 14,997,958 5.48 Citigroup nts sr unsecur 3.37% 01/09/2005 13,250,000 13,251,641 4.84 General Electric nts 3.2106% 24/10/2005 10,000,000 10,002,790 3.66 General Electric Capital nts unsecur SerMTNA 3.41% 03/02/2006 7,000,000 7,010,288 2.56 Wells Fargo & Co nts SerMTN 3.51% 29/09/2005 7,000,000 7,001,343 2.56 Wells Fargo & Co nts 3.45% 03/03/2006 6,000,000 6,005,566 2.20

Total for United States of America 21.30

Switzerland UBS Stamford nts SerYCD 3.03% 03/01/2006 2,000,000 1,999,270 0.73

Total for Switzerland 0.73

Total for Corporate Bonds 22.03

Interest Bearing Certiﬁcates of Deposit

Barclays Bank 3.11% 11/07/2005 9,000,000 9,000,011 3.29 HBOS Treasury Services 3.07% 13/07/2005 2,855,000 2,854,966 1.04 BNP Paribas 3.04% 12/07/2005 1,425,000 1,424,972 0.52

Total for Interest Bearing Certiﬁcates of Deposit 4.85

Federal Agency Discount Notes

Federal Home Loan Bank System unsecur SerDB05 3.045% 02/08/2005 600,000 599,978 0.22

Total for Federal Agency Discount Notes 0.22

Total Investment Securities 245,277,226 89.65

Total NAV 273,596,039 100.00 952347-1-007 x-cat 8/22/05 17:52 Page 89

89 Morgan Stanley SICAV 30 June 2005

Global Diversiﬁed (Euro) Fund

diversified portfolio of equity and fixed Market % of net Investment Holding value assets income securities. The Fund may invest from Equities & Warrants 30% to 80% of the net assets in equities and United States of America Oracle 238,733 2,687,690 1.15 convertible securities and from 20% to 70% Pfizer 113,117 2,612,666 1.12 Intel 100,746 2,194,037 0.93 of the net assets in fixed income securities. Altria Group 37,654 2,033,663 0.86 Loews - Carolina Group 73,310 2,010,726 0.85 The Fund may hold up to 30% of its net Watson Pharmaceuticals 71,671 1,782,038 0.76 Alcoa 78,546 1,713,826 0.73 assets in cash and cash equivalents, as Johnson & Johnson 31,231 1,702,308 0.72 Time Warner 119,322 1,661,114 0.70 News ‘A’ 110,923 1,500,937 0.64 market conditions dictate. Cisco Systems 93,113 1,495,555 0.63 Xerox 126,723 1,490,797 0.63 Microsoft 67,076 1,396,223 0.59 Goldman Sachs Group 15,990 1,363,597 0.58 Tyco International 55,716 1,354,823 0.57 CHANGE IN NET ASSET VALUE PER SHARE Devon Energy 30,104 1,256,009 0.53 For the six months ended 30 June 2005 Valero Energy 18,579 1,216,456 0.52 KLA - Tencor 33,301 1,212,302 0.51 Williams Companies 77,457 1,200,396 0.51 Newmont Mining 27,590 909,404 0.39 6.52% 6.21% 5.68% 9.94% 10 Total for United States of America 13.92

Japan Mitsubishi Estate 165,000 1,509,936 0.65 Mitsui OSK Lines 274,000 1,406,695 0.60 8 Toyota Motor 47,000 1,398,451 0.59 Sumitomo Mitsui Financial Group 220 1,236,639 0.52 Ito-Yokado 42,000 1,158,393 0.49 Taisei 392,000 1,098,795 0.47 NTT DoCoMo 822 1,010,356 0.43 Ricoh 77,000 1,000,111 0.42 6 Pioneer 77,000 968,948 0.41 Toray Industries 238,000 938,256 0.40 Bank of Yokohama 187,000 898,377 0.38 Kubota 146,000 665,297 0.28

4 Total for Japan 5.64

United Kingdom Unilever 310,877 2,472,571 1.05 British Energy Group 389,101 2,330,455 0.99 Compass Group 665,697 2,325,384 0.99 2 GlaxoSmithKline 99,723 2,032,958 0.86 Legal & General Group 1,100,009 1,878,284 0.80 Shell Transport & Trading 203,703 1,636,072 0.69

Total for United Kingdom 5.38 0 I A B France France Telecom 102,004 2,483,797 1.05 Renault 25,269 1,830,739 0.78 I Fund (net of expenses) Class I shares BNP Paribas 30,951 1,751,827 0.74 A Fund (net of expenses) Class A shares Total 8,148 1,584,786 0.67 Thomson 79,077 1,578,377 0.67 B Fund (net of expenses) Class B shares Sanoﬁ-Aventis 22,930 1,559,240 0.66

50% MSCI World (Net) Index / 50% JPM Global Total for France 4.57 Government (Traded) Index (expressed in Euro)

Germany Metro 47,077 1,918,388 0.81 Deutsche Post Regd 86,070 1,667,176 0.71 E.ON 22,240 1,631,526 0.69 Siemens Regd 24,687 1,498,007 0.64

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:52 Page 90

Morgan Stanley SICAV 30 June 2005 90

Global Diversiﬁed (Euro) Fund

STATEMENT OF INVESTMENTS (continued) Holding/ Nominal in Transferable securities admitted to ofﬁcial exchange listing or dealt Euro unless Market % of net in on another regulated market. As at 30 June 2005, expressed Investment speciﬁed value assets in Euro. Equities & Warrants (continued)

Market % of net Finland Investment Holding value assets Nokia 114,274 1,598,693 0.68

Equities & Warrants (continued) Total for Finland 0.68

Germany (continued) South Africa Schering 26,936 1,371,581 0.58 Steinhoff International Holdings 717,183 1,352,455 0.57 Altana 28,186 1,327,561 0.56 Total for South Africa 0.57 Total for Germany 3.99

Hong Kong Canada Henderson Land Development 338,000 1,341,999 0.57 Barrick Gold 74,380 1,592,072 0.67 Meridian Gold 95,259 1,431,236 0.61 Total for Hong Kong 0.57 Nexen 52,088 1,302,038 0.55 Placer Dome 77,237 1,006,673 0.43 Total for Equities & Warrants 47.49

Total for Canada 2.26 Government Bonds

Netherlands United States of America TNT 117,207 2,466,035 1.04 US Treasury 4.75% /2014 (USD) 7,620,000 6,689,271 2.84 Aegon 163,655 1,759,291 0.75 US Treasury 0.875% /2010 (USD) 6,900,000 5,591,205 2.37 US Treasury 3.625% /2007 (USD) 5,710,000 4,735,732 2.01 Total for Netherlands 1.79 US Treasury 5.5% /2028 (USD) 2,960,000 2,870,888 1.22

Switzerland Total for United States of America 8.44 Roche Holding ‘Genußschein’ 18,865 1,970,770 0.84 Zürich Financial Services Regd 13,353 1,888,094 0.80 Italy Republic of Italy SerINTL Total for Switzerland 1.64 0.375% /2006 (JPY) 761,000,000 5,732,761 2.43 Republic of Italy 3.75% /2007 (USD) 5,760,000 4,756,235 2.02 Italy Infrastrutture nts SerCPI 2.25% /2019 4,110,000 4,587,171 1.95 Telecom Italia ‘RNC’ 816,466 1,761,525 0.74 UniCredito Italiano 352,881 1,546,501 0.66 Total for Italy 6.40

Total for Italy 1.40 France Government of France 3% /2012 4,550,000 5,599,883 2.38 Barbados French Treasury Note BTAN 3% /2008 5,440,000 5,568,384 2.36 Nabors Industries 45,417 2,245,699 0.95 Total for France 4.74 Total for Barbados 0.95 Germany Brazil Deutsche Bundesrepublik Ser99 4% /2009 5,200,000 5,520,177 2.34 Companhia Vale do Rio Doce ADR 86,333 2,125,109 0.90 Deutsche Bundesrepublik Principal Strips 0% /2028 4,500,000 1,929,600 0.82 Total for Brazil 0.90 Total for Germany 3.16

South Korea Samsung Electronics GDR Regd 1/2 non vtg Pfd 15,185 2,050,325 0.87 Sweden Swedish Government Ser3105 Total for South Korea 0.87 3.5% /2015 (SEK) 33,550,000 4,656,661 1.98

Total for Sweden 1.98 Russian Federation Pyaterochka Holding GDR 166,734 1,971,178 0.84 New Zealand Total for Russian Federation 0.84 Government of New Zealand Ser216 4.5% /2016 (NZD) 6,040,000 4,634,594 1.97

Australia Total for New Zealand 1.97 Macquarie Infrastructure Group 746,015 1,956,519 0.83

Total for Government Bonds 26.69 Total for Australia 0.83

Spain Banco Bilbao Vizcaya Argentaria 126,674 1,627,761 0.69

Total for Spain 0.69 952347-1-007 x-cat 8/22/05 17:52 Page 91

91 Morgan Stanley SICAV 30 June 2005

Global Diversiﬁed (Euro) Fund

(1) Variable coupon rates are those quoted as of 30 June 2005. Total for Germany 4.65

United States of America DaimlerChrysler NA Holding unsecur sr co gtd SerEMTN 2.597% /2007 (1) 870,000 868,734 0.37 Citigroup nts 5.75% /2006 (USD) 1,030,000 868,583 0.37 Coca-Cola Enterprises sr nts unsecur SerEMTN 5.875% /2007 810,000 855,570 0.36 Goldman Sachs Group nts 4.25% /2010 800,000 850,683 0.36 General Electric Capital unsecur sr unsubord SerEMTN 5.125% /2007 785,000 828,234 0.35

Total for United States of America 1.81

Netherlands Bank Nederlandse Gemeenten 3.5% /2008 unsecur sr unsubord SerEMTN 2,750,000 2,840,926 1.21 Deutsche Telekom International Finance unsecur unsubord co gtd 6.375% /2006 795,000 824,236 0.35

Total for Netherlands 1.56

United Kingdom HBOS Treasury Services bnk gtd SerEMTN 2.1705% /2009 (1) 870,000 869,272 0.37 FCE Bank unsubord SerEMTN 5.75% /2006 (GBP) 450,000 660,508 0.28 ASIF III secur SerEMTN 5.75% /2005 625,000 629,773 0.27

Total for United Kingdom 0.92

France Renault unsecur sr unsubord SerEMTN 6.125% /2009 740,000 831,668 0.35 Caisse d’Amortissement de la Dette Sociale unsubord SerEMTN 3.25% /2007 (USD) 1,000,000 817,066 0.35

Total for France 0.70

South Korea Korea Development Bank nts 4.25% /2007 (USD) 1,060,000 879,205 0.37

Total for South Korea 0.37

Mexico Pemex Project Funding Master Trust co gtd SerRegS 6.625% /2010 770,000 872,794 0.37

Total for Mexico 0.37

Italy Olivetti Finance unsecur unsubord co gtd SerEMTN 7.25% /2012 715,000 870,763 0.37

Total for Italy 0.37 952347-1-007 x-cat 8/22/05 17:52 Page 92

Morgan Stanley SICAV 30 June 2005 92

Global Diversiﬁed (USD) Fund

globally diversified portfolio of equity and Market % of net Investment Holding value assets fixed income securities. The Fund may invest Equities & Warrants from 30% to 80% of the net assets in equities United States of America Oracle 16,835 228,451 1.14 and convertible securities and from 20% to Pfizer 8,071 224,697 1.11 Intel 7,329 192,386 0.95 70% of the net assets in fixed income Johnson & Johnson 2,719 178,638 0.88 Altria Group 2,649 172,450 0.85 securities. The Fund may hold up to 30% of Loews - Carolina Group 4,888 161,597 0.80 Alcoa 5,765 151,620 0.75 its net assets in cash and cash equivalents, Xerox 10,403 147,515 0.73 Watson Pharmaceuticals 4,751 142,387 0.71 Time Warner 8,459 141,942 0.70 as market conditions dictate. Cisco Systems 6,549 126,789 0.63 News ‘A’ 7,583 123,679 0.61 Goldman Sachs Group 1,173 120,573 0.60 Microsoft 4,718 118,375 0.59 Tyco International 3,950 115,775 0.57 CHANGE IN NET ASSET VALUE PER SHARE Devon Energy 2,114 106,313 0.53 For the six months ended 30 June 2005 Valero Energy 1,305 102,991 0.51 Williams Companies 5,443 101,675 0.50 KLA - Tencor 2,267 99,476 0.49 0.32% 0.06% (0.43)% (2.08)% Newmont Mining 2,471 98,173 0.49 0.5 Total for United States of America 14.14

Japan Mitsubishi Estate 14,000 154,424 0.77 0 Toyota Motor 3,800 136,284 0.68 Mitsui OSK Lines 22,000 136,140 0.67 Taisei 30,000 101,360 0.50 Ricoh 6,000 93,934 0.47 NTT DoCoMo 62 91,856 0.45 -0.5 Ito-Yokado 2,700 89,760 0.44 Sumitomo Mitsui Financial Group 13 88,080 0.44 Bank of Yokohama 15,000 86,860 0.43 Pioneer 5,700 86,456 0.43 -1.0 Toray Industries 18,000 85,532 0.42 Kubota 10,000 54,926 0.27

Total for Japan 5.97

-1.5 United Kingdom Unilever 22,475 215,463 1.07 Compass Group 44,072 185,564 0.92 GlaxoSmithKline 7,545 185,398 0.92 British Energy Group 25,206 181,968 0.90 -2.0 Legal & General Group 77,903 160,337 0.79 Shell Transport & Trading 15,066 145,853 0.72

Total for United Kingdom 5.32 -2.5 I A B France France Telecom 7,478 219,481 1.10 Renault 1,782 155,618 0.77 I Fund (net of expenses) Class I shares BNP Paribas 2,174 148,316 0.73 A Fund (net of expenses) Class A shares Total 570 133,631 0.66 Thomson 5,463 131,433 0.65 B Fund (net of expenses) Class B shares Sanoﬁ-Aventis 1,562 128,027 0.63

50% MSCI World (Net) Index / 50% IPM Global Total for France 4.54 Government (Traded) Index (expressed in US dollars)

Germany Metro 3,297 161,942 0.80 Deutsche Post Regd 6,322 147,604 0.73 Siemens Regd 1,829 133,774 0.66 E.ON 1,489 131,664 0.65

Please refer to the prospectus for a full disclosure of the investment aim. 952347-1-007 x-cat 8/22/05 17:52 Page 93

93 Morgan Stanley SICAV 30 June 2005

Global Diversiﬁed (USD) Fund

STATEMENT OF INVESTMENTS (continued) Holding/ Nominal in Transferable securities admitted to ofﬁcial exchange listing or dealt US dollars Market % of net in on another regulated market. As at 30 June 2005, expressed Investment unless speciﬁed value assets in US dollars. Equities & Warrants (continued)

Market % of net Spain Investment Holding value assets Banco Bilbao Vizcaya Argentaria 8,851 137,091 0.68

Equities & Warrants (continued) Total for Spain 0.68

Germany (continued) Hong Kong Schering 1,994 122,385 0.61 Henderson Land Development 26,000 124,429 0.62 Altana 1,979 112,352 0.56 Total for Hong Kong 0.62 Total for Germany 4.01

South Africa Canada Steinhoff International Holdings 48,225 109,617 0.54 Barrick Gold 5,219 134,650 0.67 Meridian Gold 6,688 121,120 0.60 Total for South Africa 0.54 Nexen 3,658 110,216 0.55 Placer Dome 5,419 85,132 0.42 Total for Equities & Warrants 47.95

Total for Canada 2.24 Government Bonds

Switzerland Italy Roche Holding ‘Genußschein’ 1,552 195,427 0.97 Republic of Italy 3.75% /2007 415,000 413,050 2.05 Zürich Financial Services Regd 940 160,209 0.79 Republic of Italy SerINTL 0.375% /2006 (JPY) 45,000,000 408,606 2.02 Infrastrutture nts SerCPI 2.25% /2019 (EUR) 275,000 378,403 1.87 Total for Switzerland 1.76 Republic of Italy nts 3.25% /2009 340,000 330,803 1.64 Infrastrutture nts SerCPI 2.25% /2019 (EUR) 20,000 26,906 0.13 Netherlands TNT 7,213 182,926 0.91 Total for Italy 7.71 Aegon 11,886 154,013 0.76

United States of America Total for Netherlands 1.67 US Treasury 4.75% /2014 550,000 581,969 2.89 US Treasury 0.875% /2010 505,000 493,243 2.44 Italy US Treasury 5.5% /2028 285,000 333,183 1.65 Telecom Italia ‘RNC’ 58,540 152,236 0.75 US Treasury 3.625% /2007 320,000 319,899 1.58 UniCredito Italiano 24,670 130,318 0.65 Total for United States of America 8.56 Total for Italy 1.40 Supra-National Barbados European Investment Bank nts 3% /2006 415,000 412,012 2.05 Nabors Industries 3,271 194,952 0.97 International Bank for Reconstruction & Development nts 5% /2006 405,000 408,848 2.02 Total for Barbados 0.97 Total for Supra-National 4.07

Brazil Companhia Vale do Rio Doce ADR 5,964 176,952 0.88 France French Treasury Note BTAN 3% /2008 (EUR) 395,000 487,350 2.41 Total for Brazil 0.88 Government of France 3% /2012 (EUR) 162,000 240,323 1.19

Total for France 3.60 Russian Federation Pyaterochka Holding GDR 12,222 174,164 0.86 Sweden Total for Russian Federation 0.86 Swedish Government Ser3105 3.5% /2015 (SEK) 2,440,000 408,211 2.02

Australia Total for Sweden 2.02 Macquarie Infrastructure Group 53,189 168,140 0.83

Total for Australia 0.83 New Zealand Government of New Zealand Ser216 4.5% /2016 (NZD) 430,000 397,701 1.97 South Korea Samsung Electronics GDR 813 132,926 0.66 Total for New Zealand 1.97 Samsung Electronics GDR Regd 1/2 non vtg Pfd 202 32,876 0.16

Total for South Korea 0.82 Germany Deutsche Bundesrepublik Principal Strips 0% /2028 (EUR) 300,000 155,056 0.77 Finland Nokia 8,404 141,715 0.70 Total for Germany 0.77

Total for Finland 0.70 Total for Government Bonds 28.70 952347-1-007 x-cat 8/22/05 17:52 Page 94

Morgan Stanley SICAV 30 June 2005 94

Global Diversiﬁed (USD) Fund

Total for Germany 2.39 (1) Variable coupon rates are those quoted as of 30 June 2005. Netherlands Bank Nederlandse Gemeenten nts SerEMTN 4.375% /2009 305,000 309,270 1.53 Deutsche Telekom International Finance unsecur unsubord co gtd 6.375% /2006 (EUR) 60,000 74,981 0.37

Total for Netherlands 1.90

United States of America Citigroup nts 5.75% /2006 80,000 81,316 0.39 Goldman Sachs Group nts 4.25% /2010 (EUR) 60,000 76,903 0.38 Coca-Cola Enterprises sr nts unsecur SerEMTN 5.875% /2007 (EUR) 60,000 76,390 0.38 General Electric Capital unsecur sr unsubord SerEMTN 5.125% /2007 (EUR) 60,000 76,304 0.38 DaimlerChrysler NA Holding unsecur sr co gtd SerEMTN 2.597% /2007 (1) (EUR) 55,000 66,198 0.33

Total for United States of America 1.86

United Kingdom HBOS Treasury Services bnk gtd SerEMTN 2.1705% /2009 (1) (EUR) 65,000 78,282 0.39 FCE Bank unsubord SerEMTN 5.75% /2006 (GBP) 40,000 70,768 0.35 ASIF III secur SerEMTN 5.75% /2005 (EUR) 50,000 60,728 0.30

Total for United Kingdom 1.04

France Caisse d’Amortissement de la Dette Sociale unsubord SerEMTN 3.25% /2007 80,000 78,787 0.39 Renault unsecur sr unsubord SerEMTN 6.125% /2009 (EUR) 50,000 67,733 0.34

Total for France 0.73

Italy Olivetti Finance unsecur unsubord co gtd SerEMTN 7.25% /2012 (EUR) 55,000 80,736 0.40

Total for Italy 0.40

South Korea Korea Development Bank nts 4.25% /2007 80,000 79,980 0.40

Total for South Korea 0.40

Canada Imperial Tobacco Canada unsecur co gtd 5.125% /2006 (EUR) 60,000 75,012 0.37

Total for Canada 0.37 952347-1-007 x-cat 8/22/05 17:52 Page 95

95 Morgan Stanley SICAV 30 June 2005

Open forward foreign currency exchange contracts

Unrealized gain/(loss) as at Fund Maturity date Amount bought Amount sold 30 June 2005

Emerging Markets Equity Fund 22 July 2005 5,364,000 USD 35,155,656 ZAR 99,352 14 November 2005 98,962,182 ZAR 12,108,591 EUR (14,904) 14 November 2005 15,479,288 USD 98,962,182 ZAR 815,971 14 November 2005 11,921,000 EUR 98,962,182 ZAR (212,497)

Total for Emerging Markets Equity Fund USD 687,922

European Equity Fund 4 August 2005 1,685,605 GBP 3,785,000 CHF 55,706 4 August 2005 1,648,939 GBP 18,000,000 DKK 32,557 4 August 2005 5,071,759 GBP 7,400,000 EUR 129,758

Total for European Equity Fund EUR 218,021

Global Brands Fund 21 July 2005 255,731,627 USD 134,155,000 GBP 15,270,863

Total for Global Brands Fund USD 15,270,863

World Equity Fund 4 August 2005 130,000,000 JPY 958,896 EUR 20,809 4 August 2005 668,009 USD 530,000 EUR 28,485 4 August 2005 849,571 USD 6,200,000 SEK 55,379 4 August 2005 110,000,000 JPY 1,074,014 USD (77,362) 4 August 2005 1,300,000 GBP 2,475,265 USD (146,385) 4 August 2005 3,500,000 CAD 2,821,799 USD 19,462 4 August 2005 3,150,000 AUD 2,449,535 USD (60,541)

Total for World Equity Fund (USD 160,153)

Euro Corporate Bond Fund 7 July 2005 1,634,603 EUR 2,042,842 USD (60,033) 13 July 2005 20,337,065 EUR 26,415,000 USD (1,570,924) 14 July 2005 760,238 EUR 525,000 GBP (20,404)

Total for Euro Corporate Bond Fund (EUR 1,651,361)

Euro Strategic Bond Fund 7July 2005 1,524,611 EUR 2,025,000 USD (155,225) 12 July 2005 1,502,897 EUR 200,000,000 JPY 3,219 13 July 2005 7,134,738 EUR 9,260,000 USD (545,291) 14 July 2005 1,453,254 EUR 1,000,000 GBP (33,684)

Total for Euro Strategic Bond Fund (EUR 730,981)

European Currencies High Yield Bond Fund 26 July 2005 12,498,000 EUR 16,606,762 USD (1,269,081) 23 September 2005 1,131,854 USD 623,000 GBP 14,298 23 September 2005 2,705,840 USD 1,490,000 GBP 33,236

Total for European Currencies High Yield Bond Fund (EUR 1,221,547)

Global Bond Fund 7 July 2005 1,555,158 USD 1,900,000 CAD 13,724 13 July 2005 4,172,335 USD 3,250,000 EUR 253,729 14 July 2005 1,714,947 USD 950,000 GBP 11,692

Total for Global Bond Fund USD 279,145

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 96

Morgan Stanley SICAV 30 June 2005 96

Open forward foreign currency exchange contracts (continued)

Unrealized gain/(loss) as at Fund Maturity date Amount bought Amount sold 30 June 2005

Global Convertible Bond (Euro) Fund 22 July 2005 13,903,784 EUR 21,400,000 CHF 76,871 22 July 2005 17,325,651 EUR 12,195,000 GBP (796,886) 22 July 2005 8,916,413 EUR 1,368,000,000 JPY (1,347,558) 22 July 2005 201,195,653 EUR 272,200,000 USD (24,490,557)

Total for Global Convertible Bond (Euro) Fund (EUR 26,558,130)

Global Convertible Bond (USD) Fund 22 July 2005 3,239,124 USD 3,850,000 CHF 238,888 22 July 2005 14,178,218 USD 10,485,000 EUR 1,532,263 22 July 2005 4,671,968 USD 2,385,000 GBP 397,237 22 July 2005 1,258,096 USD 126,500,000 JPY 113,366

Total for Global Convertible Bond (USD) Fund USD 2,281,754

Global Diversiﬁed (Euro) Fund 18 August 2005 13,791,068 EUR 9,479,000 GBP (267,706) 18 August 2005 4,565,635 EUR 42,102,000 SEK 95,139 18 August 2005 31,355,307 EUR 39,351,000 USD (1,237,311)

Total for Global Diversiﬁed (Euro) Fund (EUR 1,409,878)

Global Diversiﬁed (USD) Fund 18 August 2005 3,573,112 USD 2,845,000 EUR 138,173 18 August 2005 1,242,295 USD 679,000 GBP 26,413

Total for Global Diversiﬁed (USD) Fund USD 164,586

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 97

97 Morgan Stanley SICAV 30 June 2005

Open futures contracts

Unrealized Number Notional gain/(loss) as at Fund Maturity date of contracts commitments 30 June 2005

Emerging Markets Debt Fund US 2yr T-note Future September 2005 (197) 29,580

Total for Emerging Markets Debt Fund (USD 40,929,828)* USD 29,580

* Cash USD 361,199 held as collateral.

Euro Corporate Bond Fund US 5yr T-note Future September 2005 (69) 2,684 US 10yr T-note Future September 2005 (91) 12,386 US Long Bond Future September 2005 (65) (56,310) US 10yr SWAPNote September 2005 (60) (22,800)

Total for Euro Corporate Bond Fund (EUR 28,538,531)** (EUR 64,040)

** Cash EUR 721,013 held as collateral.

Euro Strategic Bond Fund US 10yr T-Note Future September 2005 (81) 11,025 US Long Bond Future September 2005 (32) (27,722)

Total for Euro Strategic Bond Fund (EUR 10,749,614)*** (EUR 16,697)

*** Cash EUR 199,543 held as collateral.

European Currencies High Yield Bond Fund US 5yr T-note Future September 2005 (54) 324

Total for European Currencies High Yield Bond Fund (EUR 4,874,829)**** EUR 324

**** 50,000 US Treasury Bill 14/07/2005 held as collateral.

Global Bond Fund US 5yr T-note Future September 2005 (223) (13,296) US 10yr T-note Future September 2005 (48) (43,500)

Total for Global Bond Fund (USD 29,703,438)***** (USD 56,796)

***** Cash USD 510,658 held as collateral.

US Bond Fund US 5yr T-note Future September 2005 (483) (25,262) US 2yr T-note Future September 2005 (430) 56,194 US 10yr T-note Future September 2005 53 (6,469) US Long Bond Future September 2005 (8) 7,750

Total for US Bond Fund (USD 148,845,391)****** USD 32,213

****** 520,000 US Treasury Bill 14/07/2005 held as collateral. ****** Cash USD 713,313 held as collateral.

US Dollar Short Duration Fund US 5yr T-note Future September 2005 (15) (3,058) US 2yr T-note Future September 2005 (35) (4,819) US 10yr T-note Future September 2005 (5) (4,757)

Total for US Dollar Short Duration Fund (USD 9,470,469)******* (USD 12,634)

******* 120,000 US Treasury Bill 14/07/2005 held as collateral. ******* Cash USD 8,571 held as collateral.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 98

Morgan Stanley SICAV 30 June 2005 98

Statement of assets and liabilities As at 30 June 2005

Emerging Emerging European Asian Asian Europe and Markets European European Small Cap Combined Equity Property Middle East Equity Equity Property Value totals of all Fund Fund Equity Fund Fund Fund Fund Fund funds +

USD USD EUR USD EUR EUR EUR USD

Assets Investment securities - at cost 297,121,596 261,503,323 134,934,793 325,915,254 221,114,678 312,302,551 48,015,357 13,131,905,984 Unrealized appreciation/(depreciation) 74,729,083 7,580,912 18,956,330 81,356,607 20,448,721 66,358,350 8,528,098 1,193,537,522

Investment securities at market value 371,850,679 269,084,235 153,891,123 407,271,861 241,563,399 378,660,901 56,543,455 14,325,443,506

Unrealized gain on open futures contracts ------62,184 Unrealized gain on open forward foreign exchange contracts - - - 687,922 218,021 - - 18,947,073 Cash at banks 9,844,962 16,892,727 7,540,539 8,411,098 4,309,787 2,789,896 2,328,884 515,502,858 Time deposits ------197,144,108 Receivables for investments sold 849,208 588,728 - 3,808,855 336,197 1,535,169 85,768 65,054,834 Receivables for subscriptions 1,114,200 8,572,670 1,995,259 636,575 434,360 7,028,768 827,834 84,091,676 Accrued income and prepaid expenses 1,063,325 914,401 138,770 1,449,067 379,838 1,197,526 90,981 103,216,215

Total assets 384,722,374 296,052,761 163,565,691 422,265,378 247,241,602 391,212,260 59,876,922 15,309,462,454

Liabilities Unrealized loss on open futures contracts ------166,750 Unrealized loss on open forward foreign exchange contracts ------38,216,924 Bank overdrafts - - 14 - - - - 17 Distribution payable ------11,072 Payables for investments purchased 181,338 9,360,490 15,174 2,729,073 - - 575,354 161,376,028 Payables for redemptions 1,008,203 495,815 940,594 646,242 416,990 2,269,934 407,881 83,363,026 Other payables and accrued expenses 966,775 623,205 542,585 1,668,532 744,304 1,025,680 263,391 37,929,631

Total liabilities 2,156,316 10,479,510 1,498,367 5,043,847 1,161,294 3,295,614 1,246,626 321,063,448

Net asset value 382,566,058 285,573,251 162,067,324 417,221,531 246,080,308 387,916,646 58,630,296 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 99

99 Morgan Stanley SICAV 30 June 2005

Statement of assets and liabilities (continued) As at 30 June 2005

Global Japanese Latin European Global Small Cap Global Equity Japanese American Combined Value Equity Brands Value Value Equity Growth Value Equity Equity totals of all Fund Fund Fund Fund Fund Fund Fund funds +

EUR USD USD USD JPY JPY USD USD

Assets Investment securities - at cost 331,495,648 1,362,935,579 154,810,643 1,078,552,517 18,359,034,394 51,988,270,718 257,403,766 13,131,905,984 Unrealized appreciation/(depreciation) 47,708,325 177,071,145 30,073,155 131,764,933 2,261,010,006 4,840,200,282 81,012,802 1,193,537,522

Investment securities at market value 379,203,973 1,540,006,724 184,883,798 1,210,317,450 20,620,044,400 56,828,471,000 338,416,568 14,325,443,506

Unrealized gain on open futures contracts ------62,184 Unrealized gain on open forward foreign exchange contracts - 15,270,863 - - - - - 18,947,073 Cash at banks 4,479,641 103,990,030 9,005,545 34,858,665 2,144,188,876 459,508,420 4,760,651 515,502,858 Time deposits ------197,144,108 Receivables for investments sold - - 705,307 - 12,240,470 - 5,295,631 65,054,834 Receivables for subscriptions 1,504,640 3,629,967 122,270 837,078 54,898,116 584,397,957 1,260,969 84,091,676 Accrued income and prepaid expenses 758,813 3,221,609 175,154 2,794,591 13,330,220 16,610,093 704,915 103,216,215

Total assets 385,947,067 1,666,119,193 194,892,074 1,248,807,784 22,844,702,082 57,888,987,470 350,438,734 15,309,462,454

Liabilities Unrealized loss on open futures contracts ------166,750 Unrealized loss on open forward foreign exchange contracts ------38,216,924 Bank overdrafts ------17 Distribution payable ------11,072 Payables for investments purchased 60,830 27,844,957 2,502,492 - 1,497,486,962 - 3,070,412 161,376,028 Payables for redemptions 1,068,362 16,647,864 1,169,073 988,892 39,724,506 118,821,127 811,268 83,363,026 Other payables and accrued expenses 1,106,121 3,903,337 634,203 3,185,114 61,095,522 161,948,253 904,570 37,929,631

Total liabilities 2,235,313 48,396,158 4,305,768 4,174,006 1,598,306,990 280,769,380 4,786,250 321,063,448

Net asset value 383,711,754 1,617,723,035 190,586,306 1,244,633,778 21,246,395,092 57,608,218,090 345,652,484 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 100

Morgan Stanley SICAV 30 June 2005 100

Statement of assets and liabilities (continued) As at 30 June 2005

US US Emerging US Equity US Small Cap US World Markets Combined Equity Growth Property Growth Value Equity Equity Debt totals of all Fund Fund Fund Fund Fund Fund Fund funds +

USD USD USD USD USD USD USD USD

Assets Investment securities - at cost 143,395,691 245,878,018 127,942,077 189,588,648 1,599,603,808 78,041,500 204,141,837 13,131,905,984 Unrealized appreciation/(depreciation) 12,950,637 30,008,874 37,121,514 37,769,689 80,379,982 5,751,194 15,052,872 1,193,537,522

Investment securities at market value 156,346,328 275,886,892 165,063,591 227,358,337 1,679,983,790 83,792,694 219,194,709 14,325,443,506

Unrealized gain on open futures contracts ------29,580 62,184 Unrealized gain on open forward foreign exchange contracts ------18,947,073 Cash at banks 8,980,338 4,630,537 1,846,741 16,436,901 51,252,319 1,160,615 8,287,791 515,502,858 Time deposits ------197,144,108 Receivables for investments sold 5,228,128 3,648,941 128,195 2,578,046 432,549 197,175 17,967 65,054,834 Receivables for subscriptions 1,839,592 167,091 3,989,496 555,326 8,682,547 - 995,236 84,091,676 Accrued income and prepaid expenses 121,352 83,185 541,880 90,109 2,748,985 101,368 3,789,173 103,216,215

Total assets 172,515,738 284,416,646 171,569,903 247,018,719 1,743,100,190 85,251,852 232,314,456 15,309,462,454

Liabilities Unrealized loss on open futures contracts ------166,750 Unrealized loss on open forward foreign exchange contracts - - - - - 160,153 - 38,216,924 Bank overdrafts ------17 Distribution payable ------11,072 Payables for investments purchased 5,007,462 1,709,999 597,079 4,587,155 889,138 394,929 482,656 161,376,028 Payables for redemptions 310,665 324,817 339,977 155,806 15,980,970 50,179 544,367 83,363,026 Other payables and accrued expenses 496,426 780,828 956,367 715,946 4,516,472 290,776 694,453 37,929,631

Total liabilities 5,814,553 2,815,644 1,893,423 5,458,907 21,386,580 896,037 1,721,476 321,063,448

Net asset value 166,701,185 281,601,002 169,676,480 241,559,812 1,721,713,610 84,355,815 230,592,980 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 101

101 Morgan Stanley SICAV 30 June 2005

Statement of assets and liabilities (continued) As at 30 June 2005

Euro Euro European Global Global Euro Corporate Strategic Currencies High Global Convertible Convertible Combined Bond Bond Bond Yield Bond Bond Bond Bond totals of all Fund Fund Fund Fund Fund (Euro) Fund (USD) Fund funds +

EUR EUR EUR EUR USD EUR USD USD

Assets Investment securities - at cost 834,928,211 371,697,623 536,951,534 59,572,898 290,604,520 304,633,342 64,373,951 13,131,905,984 Unrealized appreciation/(depreciation) 40,351,780 13,952,824 23,039,758 (7,673,036) 9,394,755 10,507,847 (1,159,746) 1,193,537,522

Investment securities at market value 875,279,991 385,650,447 559,991,292 51,899,862 299,999,275 315,141,189 63,214,205 14,325,443,506

Unrealized gain on open futures contracts - - - 324 - - - 62,184 Unrealized gain on open forward foreign exchange contracts - - - - 279,145 - 2,281,754 18,947,073 Cash at banks 985,751 1,550,489 1,035,522 1,756,369 32,228,223 54,719,388 9,237,833 515,502,858 Time deposits 42,725,585 3,742,807 22,328,089 - - - - 197,144,108 Receivables for investments sold 10,282,250 1,900,260 143,361 226,840 8,071,875 7,399,221 1,727,864 65,054,834 Receivables for subscriptions 11,644,953 1,577,659 3,639,931 454,507 628,035 2,667,359 182,118 84,091,676 Accrued income and prepaid expenses 22,173,681 7,229,316 14,439,074 1,033,327 4,261,794 2,005,822 372,830 103,216,215

Total assets 963,092,211 401,650,978 601,577,269 55,371,229 345,468,347 381,932,979 77,016,604 15,309,462,454

Liabilities Unrealized loss on open futures contracts - 64,040 16,697 - 56,796 - - 166,750 Unrealized loss on open forward foreign exchange contracts - 1,651,361 730,981 1,221,547 - 26,558,130 - 38,216,924 Bank overdrafts ------17 Distribution payable ------11,072 Payables for investments purchased 18,922,716 1,847,281 2,035,627 - 8,717,192 1,318,540 330,086 161,376,028 Payables for redemptions 4,625,269 3,682,474 430,472 92,942 7,039,776 8,968,145 2,597,527 83,363,026 Other payables and accrued expenses 1,582,012 684,779 950,012 152,685 639,957 1,995,046 216,139 37,929,631

Total liabilities 25,129,997 7,929,935 4,163,789 1,467,174 16,453,721 38,839,861 3,143,752 321,063,448

Net asset value 937,962,214 393,721,043 597,413,480 53,904,055 329,014,626 343,093,118 73,872,852 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 102

Morgan Stanley SICAV 30 June 2005 102

Statement of assets and liabilities (continued) As at 30 June 2005

Short Maturity US Dollar Euro US Dollar Global Global Combined Euro Bond US Bond Short Duration Liquidity Liquidity Diversiﬁed Diversiﬁed totals of all Fund Fund Fund Fund Fund (Euro) Fund (USD) Fund funds +

EUR USD USD EUR USD EUR USD USD

Assets Investment securities - at cost 578,154,031 350,737,739 23,733,462 373,238,847 245,277,226 188,397,851 17,120,325 13,131,905,984 Unrealized appreciation/(depreciation) 2,972,450 7,872,245 (316,666) - - 12,603,833 274,357 1,193,537,522

Investment securities at market value 581,126,481 358,609,984 23,416,796 373,238,847 245,277,226 201,001,684 17,394,682 14,325,443,506

Unrealized gain on open futures contracts - 32,213 - - - - - 62,184 Unrealized gain on open forward foreign exchange contracts ------164,586 18,947,073 Cash at banks 781,847 21,597,396 2,181,924 232,621 115,437 36,610,950 2,672,544 515,502,858 Time deposits 23,314,222 - - 48,103,401 28,130,000 - - 197,144,108 Receivables for investments sold - 4,157,319 13,029 - - 842,630 70,540 65,054,834 Receivables for subscriptions 4,376,316 686,378 - - - 684,637 14,465 84,091,676 Accrued income and prepaid expenses 12,435,557 3,029,438 192,288 377,282 433,462 1,386,055 137,862 103,216,215

Total assets 622,034,423 388,112,728 25,804,037 421,952,151 273,956,125 240,525,956 20,454,679 15,309,462,454

Liabilities Unrealized loss on open futures contracts - - 12,634 - - - - 166,750 Unrealized loss on open forward foreign exchange contracts - - - - - 1,409,878 - 38,216,924 Bank overdrafts ------17 Distribution payable - - - 6 11,065 - - 11,072 Payables for investments purchased - 47,218,906 106,828 - - 1,744,372 150,753 161,376,028 Payables for redemptions 2,649,782 602,352 - - - 1,164,866 11,430 83,363,026 Other payables and accrued expenses 1,124,721 670,411 69,132 524,190 349,021 530,835 100,777 37,929,631

Total liabilities 3,774,503 48,491,669 188,594 524,196 360,086 4,849,951 262,960 321,063,448

Net asset value 618,259,920 339,621,059 25,615,443 421,427,955 273,596,039 235,676,005 20,191,719 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 103

103 Morgan Stanley SICAV 30 June 2005

Statement of changes in number of shares For the six months ended 30 June 2005

Emerging Emerging Asian Asian Europe and Markets European European Equity Property Middle East Equity Equity Property Fund Fund Equity Fund Fund Fund Fund

USD USD EUR USD EUR EUR

Shares at the start of the period 8,972,611 5,580,621 220,611 7,770,860 4,192,728 4,555,283 Number of shares issued 1,365,964 9,572,310 870,531 737,641 319,088 2,959,046 Number of shares redeemed (1,726,930) (943,391) (655,682) (2,361,349) (826,159) (2,250,862)

Shares at the end of the period 8,611,645 14,209,540 435,460 6,147,152 3,685,657 5,263,467

Net asset value per share class I 24.02 10.97 39.02 20.53 7.27 25.42

Shares at the start of the period 6,758,576 6,327,048 1,011,962 14,609,547 33,421,259 10,643,145 Number of shares issued 2,332,815 7,997,633 2,868,053 5,605,957 5,004,079 7,319,738 Number of shares redeemed (2,237,798) (2,799,456) (1,124,977) (6,513,809) (10,900,264) (8,741,804)

Shares at the end of the period 6,853,593 11,525,225 2,755,038 13,701,695 27,525,074 9,221,079

Net asset value per share class A 22.86 10.45 37.97 19.57 7.05 24.25

Shares at the start of the period 779,061 331,916 471,650 1,176,632 4,188,947 1,076,904 Number of shares issued 383,185 1,040,838 679,711 313,162 593,087 1,067,330 Number of shares redeemed (257,227) (453,556) (282,562) (249,980) (1,008,571) (798,180)

Shares at the end of the period 905,019 919,198 868,799 1,239,814 3,773,463 1,346,054

Net asset value per share class B 21.08 10.13 37.26 18.37 6.70 22.66

Shares at the start of the period ------Number of shares issued - - 207,420 505 - 329 Number of shares redeemed ------

Shares at the end of the period - - 207,420 505 - 329

Net asset value per share class IX - - *39.01 *20.53 - *25.42

Shares at the start of the period ------Number of shares issued - - 224 529 - 345 Number of shares redeemed ------

Shares at the end of the period - - 224 529 - 345

Net asset value per share class AX - - *37.97 *19.57 - *24.25

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class BX ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class M ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class MX ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class S ------

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 104

Morgan Stanley SICAV 30 June 2005 104

Statement of changes in number of shares (continued) For the six months ended 30 June 2005

European Global Japanese Small Cap European Global Small Cap Global Equity Value Value Equity Brands Value Value Equity Growth Fund Fund Fund Fund Fund Fund

EUR EUR USD USD USD JPY

Shares at the start of the period 223,977 2,763,707 9,420,087 2,506,821 12,839,516 1,600,653 Number of shares issued 225,503 433,885 12,245,654 280,058 1,393,096 6,018,366 Number of shares redeemed (209,112) (302,033) (5,620,316) (490,284) (1,718,801) (1,287,286)

Shares at the end of the period 240,368 2,895,559 16,045,425 2,296,595 12,513,811 6,331,733

Net asset value per share class I 36.73 28.67 44.16 30.24 40.01 844.08

Shares at the start of the period 717,528 11,043,452 13,836,418 4,008,410 19,385,135 11,932,872 Number of shares issued 1,100,515 2,188,166 10,105,777 1,422,413 2,873,328 15,830,101 Number of shares redeemed (689,514) (3,568,572) (5,509,938) (1,752,227) (4,056,609) (9,267,833)

Shares at the end of the period 1,128,529 9,663,046 18,432,257 3,678,596 18,201,854 18,495,140

Net asset value per share class A 35.91 27.25 42.93 28.79 38.06 818.51

Shares at the start of the period 99,863 1,486,441 2,204,849 570,357 1,596,300 842,752 Number of shares issued 252,904 461,531 1,454,073 165,939 143,967 584,698 Number of shares redeemed (85,403) (463,659) (783,841) (174,211) (283,951) (463,004)

Shares at the end of the period 267,364 1,484,313 2,875,081 562,085 1,456,316 964,446

Net asset value per share class B 34.61 25.18 41.01 27.09 35.13 789.28

Shares at the start of the period ------Number of shares issued 231 - - - - 1,339 Number of shares redeemed ------

Shares at the end of the period 231 - - - - 1,339

Net asset value per share class IX *36.73 - - - - *844.08

Shares at the start of the period ------Number of shares issued 236 - - - - 1,380 Number of shares redeemed ------

Shares at the end of the period 236 - - - - 1,380

Net asset value per share class AX *35.91 - - - - *818.52

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class BX ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class M ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class MX ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class S ------

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 105

105 Morgan Stanley SICAV 30 June 2005

Statement of changes in number of shares (continued) For the six months ended 30 June 2005

Latin US US Japanese American US Equity US Small Cap Value Equity Equity Equity Growth Property Growth Fund Fund Fund Fund Fund Fund

JPY USD USD USD USD USD

Shares at the start of the period 12,515,746 9,072,013 28,946 2,004,267 2,042,992 1,190,090 Number of shares issued 8,758,872 1,308,146 260 367,278 941,272 126,385 Number of shares redeemed (5,344,585) (2,248,111) (12,336) (267,046) (1,510,617) (389,994)

Shares at the end of the period 15,930,033 8,132,048 16,870 2,104,499 1,473,647 926,481

Net asset value per share class I 959.53 27.89 25.02 29.78 39.08 41.74

Shares at the start of the period 45,129,380 3,442,488 7,385,978 8,915,963 1,966,162 4,716,463 Number of shares issued 14,855,173 2,999,922 3,195,321 2,020,652 1,716,049 1,868,454 Number of shares redeemed (19,261,402) (3,113,373) (3,930,636) (4,086,376) (1,059,078) (1,925,911)

Shares at the end of the period 40,723,151 3,329,037 6,650,663 6,850,239 2,623,133 4,659,006

Net asset value per share class A 912.68 26.55 24.62 28.31 37.33 39.71

Shares at the start of the period 6,437,935 740,286 81,994 1,040,755 357,698 508,190 Number of shares issued 982,473 1,018,439 52,749 142,154 138,282 69,630 Number of shares redeemed (1,246,086) (510,718) (28,560) (229,412) (85,273) (90,216)

Shares at the end of the period 6,174,322 1,248,007 106,183 953,497 410,707 487,604

Net asset value per share class B 834.65 24.42 23.75 26.20 34.39 36.63

Shares at the start of the period ------Number of shares issued 1,156 - - - 270 - Number of shares redeemed ------

Shares at the end of the period 1,156 - - - 270 -

Net asset value per share class IX *959.54 - - - *39.09 -

Shares at the start of the period ------Number of shares issued 1,215 - - - 282 - Number of shares redeemed ------

Shares at the end of the period 1,215 - - - 282 -

Net asset value per share class AX *912.69 - - - *37.34 -

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class BX ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class M ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class MX ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class S ------

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 106

Morgan Stanley SICAV 30 June 2005 106

Statement of changes in number of shares (continued) For the six months ended 30 June 2005

Emerging Euro Euro US World Markets Euro Corporate Strategic Value Equity Equity Debt Bond Bond Bond Fund Fund Fund Fund Fund Fund

USD USD USD EUR EUR EUR

Shares at the start of the period 12,225,103 3,225,791 774,923 19,102,268 2,955,164 5,041,330 Number of shares issued 15,130,282 3,440 492,569 6,900,845 2,135,770 5,729,184 Number of shares redeemed (4,205,157) (3,083,914) (475,748) (7,569,802) (767,511) (1,733,347)

Shares at the end of the period 23,150,228 145,317 791,744 18,433,311 4,323,423 9,037,167

Net asset value per share class I 20.47 22.16 46.74 11.06 31.91 30.25

Shares at the start of the period 59,732,227 8,386,263 2,983,275 39,645,774 7,002,972 10,448,013 Number of shares issued 34,986,972 1,179,963 2,042,660 27,065,441 3,753,545 4,169,898 Number of shares redeemed (33,475,872) (5,932,813) (1,421,804) (12,890,194) (3,223,185) (4,594,509)

Shares at the end of the period 61,243,327 3,633,413 3,604,131 53,821,021 7,533,332 10,023,402

Net asset value per share class A 19.46 21.59 44.47 10.68 31.37 29.21

Shares at the start of the period 2,846,686 151,303 745,571 1,191,163 413,453 741,765 Number of shares issued 1,245,790 15,807 142,445 2,344,064 509,724 520,880 Number of shares redeemed (975,545) (35,989) (76,785) (1,529,516) (279,213) (106,239)

Shares at the end of the period 3,116,931 131,121 811,231 2,005,711 643,964 1,156,406

Net asset value per share class B 17.99 20.56 41.06 9.92 30.21 27.02

Shares at the start of the period ------Number of shares issued 492 - - - - 271 Number of shares redeemed ------

Shares at the end of the period 492 - - - - 271

Net asset value per share class IX *20.47 - - - - *30.25

Shares at the start of the period ------Number of shares issued 518 - - - - 281 Number of shares redeemed ------

Shares at the end of the period 518 - - - - 281

Net asset value per share class AX *19.46 - - - - *29.20

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class BX ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class M ------

Shares at the start of the period ------Number of shares issued - - - - - Number of shares redeemed - - - - -

Shares at the end of the period ------

Net asset value per share class MX ------

Shares at the start of the period - - - 13,273,164 - - Number of shares issued - - - 3,120,235 - - Number of shares redeemed - - - (3,353,763) - -

Shares at the end of the period - - - 13,039,636 - -

Net asset value per share class S - - - 10.70 - -

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 107

107 Morgan Stanley SICAV 30 June 2005

Statement of changes in number of shares (continued) For the six months ended 30 June 2005

European Global Global Currencies High Global Convertible Convertible Short Maturity Yield Bond Bond Bond Bond Euro Bond US Bond Fund Fund (Euro) Fund (USD) Fund Fund Fund

EUR USD EUR USD EUR USD

Shares at the start of the period 3,727,800 4,456,073 8,693,860 2,361,090 13,697,817 915,853 Number of shares issued 445,333 1,217,976 2,696,008 1,105,841 1,572,469 3,580,293 Number of shares redeemed (2,960,908) (2,128,996) (6,642,217) (2,064,927) (4,270,363) (2,424,232)

Shares at the end of the period 1,212,225 3,545,053 4,747,651 1,402,004 10,999,923 2,071,914

Net asset value per share class I 11.31 28.50 28.58 29.35 17.55 21.19

Shares at the start of the period 2,934,163 9,681,095 12,720,696 1,708,599 24,516,815 10,188,037 Number of shares issued 1,650,295 2,949,479 4,422,103 334,464 11,489,722 2,986,990 Number of shares redeemed (2,233,421) (4,600,350) (10,189,718) (971,156) (13,059,116) (3,640,418)

Shares at the end of the period 2,351,037 8,030,224 6,953,081 1,071,907 22,947,421 9,534,609

Net asset value per share class A 10.96 27.50 28.19 28.96 16.92 20.45

Shares at the start of the period 1,246,007 216,922 561,045 54,020 2,325,067 817,016 Number of shares issued 1,178,502 146,660 377,268 17,270 1,205,229 360,214 Number of shares redeemed (1,009,328) (82,162) (521,801) (11,373) (1,191,190) (295,696)

Shares at the end of the period 1,415,181 281,420 416,512 59,917 2,339,106 881,534

Net asset value per share class B 10.20 25.31 27.37 28.13 15.83 18.92

Shares at the start of the period ------Number of shares issued - 349 - - - 473 Number of shares redeemed ------

Shares at the end of the period - 349 - - - 473

Net asset value per share class IX - *28.50 - - - *21.19

Shares at the start of the period ------Number of shares issued - 362 - - - 490 Number of shares redeemed ------

Shares at the end of the period - 362 - - - 490

Net asset value per share class AX - *27.51 - - - *20.45

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class BX ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class M ------

Shares at the start of the period ------Number of shares issued ------Number of shares redeemed ------

Shares at the end of the period ------

Net asset value per share class MX ------

Shares at the start of the period - - - - - 3,896,849 Number of shares issued - - - - - 927,342 Number of shares redeemed - - - - - (723,437)

Shares at the end of the period - - - - - 4,100,754

Net asset value per share class S - - - - - 20.50

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 108

Morgan Stanley SICAV 30 June 2005 108

Statement of changes in number of shares (continued) For the six months ended 30 June 2005

US Dollar Euro US Dollar Global Global Short Duration Liquidity Liquidity Diversiﬁed Diversiﬁed Fund Fund Fund (Euro) Fund (USD) Fund

USD EUR USD EUR USD

Shares at the start of the period 4,308,076 9,397,796 8,289,674 1,108,288 48,676 Number of shares issued 1,010 11,258,241 1,125,520 833,390 238,831 Number of shares redeemed (2,771,983) (9,785,627) (2,436,343) (110,781) (4,437)

Shares at the end of the period 1,537,103 10,870,410 6,978,851 1,830,897 283,070

Net asset value per share class I 10.36 11.68 11.80 28.41 31.47

Shares at the start of the period 760,076 16,748,422 2,729,117 3,435,708 242,555 Number of shares issued 256,313 20,208,401 15,155,678 3,121,994 216,772 Number of shares redeemed (180,887) (18,142,878) (16,215,426) (640,928) (196,201)

Shares at the end of the period 835,502 18,813,945 1,669,369 5,916,774 263,126

Net asset value per share class A 10.23 11.53 11.50 27.86 30.88

Shares at the start of the period 170,399 11,471,579 1,219,176 421,242 78,148 Number of shares issued 55,923 3,519,313 2,285,824 425,724 44,460 Number of shares redeemed (111,712) (7,939,077) (2,634,165) (139,230) (17,217)

Shares at the end of the period 114,610 7,051,815 870,835 707,736 105,391

Net asset value per share class B 9.94 10.99 11.16 26.59 29.97

Shares at the start of the period - 59,015 9,541,797 - - Number of shares issued - 228,589 445,311 - - Number of shares redeemed - (165,000) (5,669,128) - -

Shares at the end of the period - 122,604 4,317,980 - -

Net asset value per share class IX - 1.00 1.00 - -

Shares at the start of the period - 10 162,094,975 - - Number of shares issued - - 88,803,851 - - Number of shares redeemed - (1) (93,945,728) - -

Shares at the end of the period - 9 156,953,098 - -

Net asset value per share class AX - 1.00 1.00 - -

Shares at the start of the period - - 1,201,955 - - Number of shares issued - - 335,138 - - Number of shares redeemed - - (464,251) - -

Shares at the end of the period - - 1,072,842 - -

Net asset value per share class BX - - 1.00 - -

Shares at the start of the period - - - - - Number of shares issued - - - - - Number of shares redeemed - - - - -

Shares at the end of the period - - - - -

Net asset value per share class M - - - - -

Shares at the start of the period - - - - - Number of shares issued - - - - - Number of shares redeemed - - - - -

Shares at the end of the period - - - - -

Net asset value per share class MX - - - - -

Shares at the start of the period - - - - - Number of shares issued - - - - - Number of shares redeemed - - - - -

Shares at the end of the period - - - - -

Net asset value per share class S - - - - -

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 109

109 Morgan Stanley SICAV 30 June 2005

Statement of operations and changes in net assets For the six months ended 30 June 2005

Emerging Emerging Asian Asian Europe and Markets European European Combined Equity Property Middle East Equity Equity Property totals of all Fund Fund Equity Fund Fund Fund Fund funds +

USD USD EUR USD EUR EUR USD

Income Dividends (net of withholding taxes) 5,644,862 3,400,924 1,843,335 6,964,202 4,530,642 6,622,564 119,781,952 Interest on bonds - - - 46,547 - - 104,901,867 Bank interest 83,729 38,451 - 126,133 - 21,876 5,475,735 Income from securities lending 194,706 - - 136,180 316,094 263,715 2,834,769

Total income 5,923,297 3,439,375 1,843,335 7,273,062 4,846,736 6,908,155 232,994,323

Expenses Investment advisory fees 1,945,079 1,112,166 869,315 3,151,493 1,467,559 2,127,177 75,029,903 Custodian fees 184,919 43,063 120,637 217,778 53,500 67,718 2,481,298 Administration fees and transfer agent fees 185,663 132,254 118,837 240,282 158,675 201,938 7,558,751 Professional fees 65,878 41,248 26,657 81,417 49,307 61,966 2,610,784 Taxe d’abonnement 92,579 59,050 32,311 107,827 62,702 81,491 3,588,420 Printing and publication fees 72,996 61,274 43,413 77,757 56,004 63,609 2,714,465 Bank interest - - 12,995 - 145 - 35,223 Transaction fees 157,731 26,056 25,215 240,781 31,901 52,641 1,205,296 Class speciﬁc expenses - Class I 81,063 41,813 7,805 55,584 10,751 45,916 1,867,189 - Class A 114,475 73,503 54,219 207,652 153,363 162,433 6,499,821 - Class B 95,853 28,053 129,216 123,796 140,485 148,411 4,929,039 - Class IX - - 283 - - - 2,107 - Class AX ------34,785 - Class BX ------253 - Class MX ------332,189 Tax charges (excluding Taxe d’abonnement) - - - 237,423 - - 75,530 Other fees 3,935 2,586 1,913 3,317 1,911 1,914 107,414

Total expenses 3,000,171 1,621,066 1,442,816 4,745,107 2,186,303 3,015,214 109,072,467

Less: expenses fee waiver - - 42,283 20,711 - - 848,434

Net investment income/(loss) 2,923,126 1,818,309 442,802 2,548,666 2,660,433 3,892,941 124,770,290

Net realized gain/(loss) on sales of investments 11,002,281 362,012 10,401,297 41,653,043 6,618,130 28,941,221 373,722,824 Net realised gain/(loss) on ﬁnancial futures contracts ------(39,296,194) Net realized gain/(loss) on foreign exchange transactions (88,167) (32,424) 72,680 (566,655) 78,168 131,801 29,644,938

Net realized proﬁt/(loss) for the period 13,837,240 2,147,897 10,916,779 43,635,054 9,356,731 32,965,963 488,841,858

Net change in unrealized appreciation/ (depreciation) on investments 1,939,405 (3,588,517) 13,291,333 (26,881,961) 14,445,910 15,006,637 (64,352,769) Net change in unrealized appreciation/ (depreciation) on ﬁnancial futures contracts ------(49,085) Net change in unrealized appreciation/ (depreciation) on foreign exchange transactions - - - 2,660,720 526,733 - (35,471,637)

Net change in net assets as a result of operations 15,776,645 (1,440,620) 24,208,112 19,413,813 24,329,374 47,972,600 388,968,367

Dividend distribution ------(1,878,419)

Proceeds received on subscription of shares 92,966,227 197,339,509 159,262,401 127,656,366 39,387,030 255,581,840 7,517,621,514 Net amount paid on redemption of shares (96,284,623) (43,344,254) (71,974,327) (173,956,629) (85,425,895) (260,980,867) (6,970,623,913)

Net change in net assets as a result of capital transactions (3,318,396) 153,995,255 87,288,074 (46,300,263) (46,038,865) (5,399,027) 546,997,601

Total increase/(decrease) in net assets 12,458,249 152,554,635 111,496,186 (26,886,450) (21,709,491) 42,573,573 934,087,549

Net assets at beginning of period 370,107,809 133,018,616 50,571,138 444,107,981 267,789,799 345,343,073 14,853,494,779 Translation difference ------(799,183,322)

Net assets at end of period 382,566,058 285,573,251 162,067,324 417,221,531 246,080,308 387,916,646 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds. Please refer to page 127 for Fund expense ratios for each class of each Fund.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 110

Morgan Stanley SICAV 30 June 2005 110

Statement of operations and changes in net assets (continued) For the six months ended 30 June 2005

European Global Japanese Small Cap European Global Small Cap Global Equity Combined Value Value Equity Brands Value Value Equity Growth totals of all Fund Fund Fund Fund Fund Fund funds +

EUR EUR USD USD USD JPY USD

Income Dividends (net of withholding taxes) 882,957 7,277,606 22,767,975 2,213,347 17,580,551 102,352,192 119,781,952 Interest on bonds ------104,901,867 Bank interest 1,896 20,156 871,487 70,319 585,125 - 5,475,735 Income from securities lending - 396,912 - - 535,815 - 2,834,769

Total income 884,853 7,694,674 23,639,462 2,283,666 18,701,491 102,352,192 232,994,323

Expenses Investment advisory fees 415,843 2,365,683 7,360,463 1,381,146 7,281,391 122,383,459 75,029,903 Custodian fees 16,418 80,725 228,873 30,855 178,328 2,033,448 2,481,298 Administration fees and transfer agent fees 81,182 214,863 500,493 163,950 519,133 12,323,027 7,558,751 Professional fees 20,351 64,129 177,360 43,943 191,270 3,786,899 2,610,784 Taxe d’abonnement 16,226 92,767 346,987 51,010 316,944 4,491,438 3,588,420 Printing and publication fees 39,655 62,440 139,870 61,173 142,507 6,056,742 2,714,465 Bank interest - - - - - 125,791 35,223 Transaction fees 45,097 34,836 20,992 89,284 33,290 7,807,478 1,205,296 Class speciﬁc expenses - Class I 4,216 30,895 219,553 28,789 206,239 952,535 1,867,189 - Class A 29,003 196,678 499,570 86,124 532,474 9,922,188 6,499,821 - Class B 40,536 197,469 525,339 86,702 310,653 3,761,710 4,929,039 - Class IX - - - - - 56 2,107 - Class AX - - - - - 127 34,785 - Class BX ------253 - Class MX ------332,189 Tax charges (excluding Taxe d’abonnement) ------75,530 Other fees 4,391 1,912 9,100 2,494 2,494 266,490 107,414

Total expenses 712,918 3,342,397 10,028,600 2,025,470 9,714,723 173,911,388 109,072,467

Less: expenses fee waiver 61,200 - - 2,913 - 133,899 848,434

Net investment income/(loss) 233,135 4,352,277 13,610,862 261,109 8,986,768 (71,425,297) 124,770,290

Net realized gain/(loss) on sales of investments 2,025,181 10,405,671 20,902,270 13,530,012 26,700,297 370,831,296 373,722,824 Net realised gain/(loss) on ﬁnancial futures contracts ------(39,296,194) Net realized gain/(loss) on foreign exchange transactions (32,161) 60,750 (15,063,573) (179,546) (70,766) (4,783,033) 29,644,938

Net realized proﬁt/(loss) for the period 2,226,155 14,818,698 19,449,559 13,611,575 35,616,299 294,622,966 488,841,858

Net change in unrealized appreciation/ (depreciation) on investments 3,828,716 24,513,773 (15,150,065) (10,076,674) (57,646,397) 1,127,318,640 (64,352,769) Net change in unrealized appreciation/ (depreciation) on ﬁnancial futures contracts ------(49,085) Net change in unrealized appreciation/ (depreciation) on foreign exchange transactions - - 31,303,378 - - - (35,471,637)

Net change in net assets as a result of operations 6,054,871 39,332,471 35,602,872 3,534,901 (22,030,098)1,421,941,606 388,968,367

Dividend distribution ------(1,878,419)

Proceeds received on subscription of shares 53,068,005 79,024,842 1,031,817,183 52,933,253 171,415,580 17,579,384,475 7,517,621,514 Net amount paid on redemption of shares (33,483,210) (111,319,141) (515,023,655) (67,922,460) (233,231,996) (8,583,561,921) (6,970,623,913)

Net change in net assets as a result of capital transactions 19,584,795 (32,294,299) 516,793,528 (14,989,207) (61,816,416) 8,995,822,554 546,997,601

Total increase/(decrease) in net assets 25,639,666 7,038,172 552,396,400 (11,454,306) (83,846,514) 10,417,764,160 934,087,549

Net assets at beginning of period 32,990,630 376,673,582 1,065,326,635 202,040,612 1,328,480,292 10,828,630,932 14,853,494,779 Translation difference ------(799,183,322)

Net assets at end of period 58,630,296 383,711,754 1,617,723,035 190,586,306 1,244,633,778 21,246,395,092 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds. Please refer to page 127 for Fund expense ratios for each class of each Fund.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 111

111 Morgan Stanley SICAV 30 June 2005

Statement of operations and changes in net assets (continued) For the six months ended 30 June 2005

Latin US US Japanese American US Equity US Small Cap Combined Value Equity Equity Equity Growth Property Growth totals of all Fund Fund Fund Fund Fund Fund funds +

JPY USD USD USD USD USD USD

Income Dividends (net of withholding taxes) 438,886,989 5,786,752 942,293 680,346 1,367,906 643,886 119,781,952 Interest on bonds - - 129 - - - 104,901,867 Bank interest - 97,051 88,014 59,272 50,811 78,429 5,475,735 Income from securities lending 5,660,785 56,815 - - 6,159 - 2,834,769

Total income 444,547,774 5,940,618 1,030,436 739,618 1,424,876 722,315 232,994,323

Expenses Investment advisory fees 362,348,235 1,960,908 957,471 1,764,151 777,900 1,603,948 75,029,903 Custodian fees 7,874,672 89,631 13,292 22,271 11,092 17,316 2,481,298 Administration fees and transfer agent fees 32,443,566 178,669 167,884 176,013 96,549 131,231 7,558,751 Professional fees 9,636,496 60,617 39,036 55,313 33,896 46,409 2,610,784 Taxe d’abonnement 14,755,409 82,039 38,849 64,070 31,225 52,094 3,588,420 Printing and publication fees 9,349,396 70,842 58,940 63,180 55,839 62,376 2,714,465 Bank interest 56,669 - - - - - 35,223 Transaction fees 5,380,506 36,920 10,071 9,409 9,333 11,793 1,205,296 Class speciﬁc expenses - Class I 5,518,558 90,842 243 22,055 16,380 14,186 1,867,189 - Class A 29,382,609 63,235 117,896 149,703 58,196 121,569 6,499,821 - Class B 29,878,785 108,446 11,667 142,883 66,676 99,731 4,929,039 - Class IX 56 - - - - - 2,107 - Class AX 125 - - - - - 34,785 - Class BX ------253 - Class MX ------332,189 Tax charges (excluding Taxe d’abonnement) - - - - (161,893) - 75,530 Other fees 263,380 2,490 5,122 2,493 2,495 2,494 107,414

Total expenses 506,888,462 2,744,639 1,420,471 2,471,541 997,688 2,163,147 109,072,467

Less: expenses fee waiver ------848,434

Net investment income/(loss) (62,340,688) 3,195,979 (390,035) (1,731,923) 427,188 (1,440,832) 124,770,290

Net realized gain/(loss) on sales of investments 624,761,928 39,472,602 1,149,784 9,466,434 8,578,728 14,541,530 373,722,824 Net realised gain/(loss) on ﬁnancial futures contracts ------(39,296,194) Net realized gain/(loss) on foreign exchange transactions (814,729) 144,604 24,603 7,012 63,749 6,297 29,644,938

Net realized proﬁt/(loss) for the period 561,606,511 42,813,185 784,352 7,741,523 9,069,665 13,106,995 488,841,858

Net change in unrealized appreciation/ (depreciation) on investments 476,981,790 (12,456,010) (2,346,951) (12,035,879) 3,951 (4,621,881) (64,352,769) Net change in unrealized appreciation/ (depreciation) on ﬁnancial futures contracts ------(49,085) Net change in unrealized appreciation/ (depreciation) on foreign exchange transactions ------(35,471,637)

Net change in net assets as a result of operations 1,038,588,301 30,357,175 (1,562,599) (4,294,356) 9,073,616 8,485,114 388,968,367

Dividend distribution ------(1,878,419)

Proceeds received on subscription of shares 22,410,446,836 134,033,039 79,385,589 69,692,968 97,833,951 78,364,451 7,517,621,514 Net amount paid on redemption of shares (23,165,532,715) (148,682,245) (97,343,317) (124,576,128) (91,983,732) (90,291,256) (6,970,623,913)

Net change in net assets as a result of capital transactions (755,085,879) (14,649,206) (17,957,728) (54,883,160) 5,850,219 (11,926,805) 546,997,601

Total increase/(decrease) in net assets 283,502,422 15,707,969 (19,520,327) (59,177,516) 14,923,835 (3,441,691) 934,087,549

Net assets at beginning of period 57,324,715,668 329,944,515 186,221,512 340,778,518 154,752,645 245,001,503 14,853,494,779 Translation difference ------(799,183,322)

Net assets at end of period 57,608,218,090 345,652,484 166,701,185 281,601,002 169,676,480 241,559,812 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds. Please refer to page 127 for Fund expense ratios for each class of each Fund.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 112

Morgan Stanley SICAV 30 June 2005 112

Statement of operations and changes in net assets (continued) For the six months ended 30 June 2005

Emerging Euro Euro US World Markets Euro Corporate Strategic Combined Value Equity Equity Debt Bond Bond Bond totals of all Fund Fund Fund Fund Fund Fund funds +

USD USD USD EUR EUR EUR USD

Income Dividends (net of withholding taxes) 15,365,264 1,557,113 - - - - 119,781,952 Interest on bonds - - 7,315,820 17,345,181 8,247,333 9,955,908 104,901,867 Bank interest 825,452 15,014 106,189 291,626 62,902 110,179 5,475,735 Income from securities lending 137,338 131,856 136,872 36,373 - 28,675 2,834,769

Total income 16,328,054 1,703,983 7,558,881 17,673,180 8,310,235 10,094,762 232,994,323

Expenses Investment advisory fees 10,248,084 897,357 1,323,597 2,778,759 1,202,485 1,604,045 75,029,903 Custodian fees 120,697 22,050 29,224 119,021 47,692 69,823 2,481,298 Administration fees and transfer agent fees 683,270 108,733 129,038 319,724 164,907 212,657 7,558,751 Professional fees 238,239 44,071 41,707 122,928 58,712 75,040 2,610,784 Taxe d’abonnement 415,179 34,435 51,918 216,734 91,179 123,732 3,588,420 Printing and publication fees 177,728 59,846 58,859 97,219 61,122 71,968 2,714,465 Bank interest ------35,223 Transaction fees 18,558 54,785 8,572 4,623 4,535 5,969 1,205,296 Class speciﬁc expenses - Class I 166,835 17,952 14,129 85,471 44,860 74,533 1,867,189 - Class A 903,924 88,979 102,268 357,329 165,258 203,231 6,499,821 - Class B 288,868 16,505 172,625 105,660 98,867 145,042 4,929,039 - Class IX (1) - - - - (1) 2,107 - Class AX (1) - - - - (1) 34,785 - Class BX ------253 - Class MX - - - 177,074 - - 332,189 Tax charges (excluding Taxe d’abonnement) ------75,530 Other fees 2,497 2,521 2,492 1,913 1,910 1,916 107,414

Total expenses 13,263,877 1,347,234 1,934,429 4,386,455 1,941,527 2,587,954 109,072,467

Less: expenses fee waiver ------848,434

Net investment income/(loss) 3,064,177 356,749 5,624,452 13,286,725 6,368,708 7,506,808 124,770,290

Net realized gain/(loss) on sales of investments 55,700,605 15,011,123 2,146,435 6,584,983 1,005,398 2,555,023 373,722,824 Net realised gain/(loss) on ﬁnancial futures contracts - - 88,898 - (22,542,941)(7,913,677) (39,296,194) Net realized gain/(loss) on foreign exchange transactions (51,371) (460,878) 174,627 2,279 22,016,633 7,779,448 29,644,938

Net realized proﬁt/(loss) for the period 58,713,411 14,906,994 8,034,412 19,873,987 6,847,798 9,927,602 488,841,858

Net change in unrealized appreciation/ (depreciation) on investments (65,415,569) (25,105,169) 2,272,253 15,567,937 7,527,739 12,608,465 (64,352,769) Net change in unrealized appreciation/ (depreciation) on ﬁnancial futures contracts - - (1,954) - 105,121 48,673 (49,085) Net change in unrealized appreciation/ (depreciation) on foreign exchange transactions - 1,107,610 - - (3,417,365)(1,369,374) (35,471,637)

Net change in net assets as a result of operations (6,702,158) (9,090,565) 10,304,711 35,441,924 11,063,293 21,215,366 388,968,367

Dividend distribution ------(1,878,419)

Proceeds received on subscription of shares 1,002,315,300 26,177,504 115,092,754 411,987,126 197,145,785 301,840,607 7,517,621,514 Net amount paid on redemption of shares (750,936,217) (196,004,812) (84,107,917) (266,608,446) (131,314,862) (184,223,108) (6,970,623,913)

Net change in net assets as a result of capital transactions 251,379,083 (169,827,308) 30,984,837 145,378,680 65,830,923 117,617,499 546,997,601

Total increase/(decrease) in net assets 244,676,925 (178,917,873) 41,289,548 180,820,604 76,894,216 138,832,865 934,087,549

Net assets at beginning of period 1,477,036,685 263,273,688 189,303,432 757,141,610 316,826,827 458,580,615 14,853,494,779 Translation difference ------(799,183,322)

Net assets at end of period 1,721,713,610 84,355,815 230,592,980 937,962,214 393,721,043 597,413,480 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds. Please refer to page 127 for Fund expense ratios for each class of each Fund.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 113

113 Morgan Stanley SICAV 30 June 2005

Statement of operations and changes in net assets (continued) For the six months ended 30 June 2005

European Global Global Currencies High Global Convertible Convertible Short Maturity Combined Yield Bond Bond Bond Bond Euro Bond US Bond totals of all Fund Fund (Euro) Fund (USD) Fund Fund Fund funds +

EUR USD EUR USD EUR USD USD

Income Dividends (net of withholding taxes) 14,226 - 678,556 138,511 - - 119,781,952 Interest on bonds 2,528,106 6,107,579 4,660,937 1,005,459 13,064,297 7,511,052 104,901,867 Bank interest 3,902 177,166 - 4,562 185,098 363,200 5,475,735 Income from securities lending 26,528 15,414 - - 44,454 - 2,834,769

Total income 2,572,762 6,300,159 5,339,493 1,148,532 13,293,849 7,874,252 232,994,323

Expenses Investment advisory fees 239,153 1,301,286 2,362,468 460,374 2,267,860 1,162,488 75,029,903 Custodian fees 9,061 53,487 68,529 15,042 91,255 26,791 2,481,298 Administration fees and transfer agent fees 67,025 191,653 258,249 70,857 256,305 168,259 7,558,751 Professional fees 23,307 69,977 97,413 34,393 103,510 61,361 2,610,784 Taxe d’abonnement 15,191 92,473 143,662 30,687 164,275 85,750 3,588,420 Printing and publication fees 40,968 75,456 84,908 55,438 84,137 70,106 2,714,465 Bank interest - - 12,926 - - - 35,223 Transaction fees 2,582 5,544 15,292 9,741 3,899 2,266 1,205,296 Class speciﬁc expenses - Class I 9,869 50,802 95,064 31,552 85,825 14,016 1,867,189 - Class A 22,022 186,029 237,792 32,418 309,407 156,291 6,499,821 - Class B 71,271 33,582 73,850 8,761 193,970 88,857 4,929,039 - Class IX ------2,107 - Class AX ------34,785 - Class BX ------253 - Class MX - - - - - 104,596 332,189 Tax charges (excluding Taxe d’abonnement) ------75,530 Other fees 1,914 2,496 1,911 2,523 1,908 2,580 107,414

Total expenses 502,363 2,062,785 3,452,064 751,786 3,562,351 1,943,361 109,072,467

Less: expenses fee waiver 21,482 - - - - - 848,434

Net investment income/(loss) 2,091,881 4,237,374 1,887,429 396,746 9,731,498 5,930,891 124,770,290

Net realized gain/(loss) on sales of investments 104,552 14,325,208 (3,854,838) 1,586,830 (1,435,793) 1,224,981 373,722,824 Net realised gain/(loss) on ﬁnancial futures contracts (61,774) (382,214) - - - 129,246 (39,296,194) Net realized gain/(loss) on foreign exchange transactions 1,440,438 (2,149,938) 8,213,370 (2,247,759) (4,795) (63,198) 29,644,938

Net realized proﬁt/(loss) for the period 3,575,097 16,030,430 6,245,961 (264,183) 8,290,910 7,221,920 488,841,858

Net change in unrealized appreciation/ (depreciation) on investments (917,800) (36,338,519) 33,082,441 (7,984,685) 2,318,271 2,016,933 (64,352,769) Net change in unrealized appreciation/ (depreciation) on ﬁnancial futures contracts 324 77,187 - - - (284,274) (49,085) Net change in unrealized appreciation/ (depreciation) on foreign exchange transactions (3,188,348) 614,075 (50,259,169)6,452,019 - - (35,471,637)

Net change in net assets as a result of operations (530,727) (19,616,827) (10,930,767) (1,796,849) 10,609,181 8,954,579 388,968,367

Dividend distribution ------(1,878,419)

Proceeds received on subscription of shares 35,336,394 122,814,312 213,975,377 42,826,708 238,379,202 159,780,998 7,517,621,514 Net amount paid on redemption of shares (68,021,753) (193,789,895) (492,617,481) (88,934,033) (311,459,122) (144,267,861) (6,970,623,913)

Net change in net assets as a result of capital transactions (32,685,359) (70,975,583) (278,642,104) (46,107,325) (73,079,920) 15,513,137 546,997,601

Total increase/(decrease) in net assets (33,216,086) (90,592,410) (289,572,871) (47,904,174) (62,470,739) 24,467,716 934,087,549

Net assets at beginning of period 87,120,141 419,607,036 632,665,989 121,777,026 680,730,659 315,153,343 14,853,494,779 Translation difference ------(799,183,322)

Net assets at end of period 53,904,055 329,014,626 343,093,118 73,872,852 618,259,920 339,621,059 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds. Please refer to page 127 for Fund expense ratios for each class of each Fund.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 114

Morgan Stanley SICAV 30 June 2005 114

Statement of operations and changes in net assets (continued) For the six months ended 30 June 2005

US Dollar Euro US Dollar Global Global Combined Short Duration Liquidity Liquidity Diversiﬁed Diversiﬁed totals of all Fund Fund Fund (Euro) Fund (USD) Fund funds +

USD EUR USD EUR USD USD

Income Dividends (net of withholding taxes) - - - 1,115,393 105,680 119,781,952 Interest on bonds 673,158 4,327,602 3,439,862 1,097,798 106,989 104,901,867 Bank interest 3,707 368,306 460,458 182 878 5,475,735 Income from securities lending - - - - - 2,834,769

Total income 676,865 4,695,908 3,900,320 2,213,373 213,547 232,994,323

Expenses Investment advisory fees 77,445 873,941 616,062 877,274 73,921 75,029,903 Custodian fees 2,797 54,075 21,265 23,732 2,317 2,481,298 Administration fees and transfer agent fees 46,674 163,291 262,759 69,775 43,109 7,558,751 Professional fees 28,100 78,715 61,468 34,759 18,645 2,610,784 Taxe d’abonnement 8,854 22,073 13,308 48,072 4,387 3,588,420 Printing and publication fees 46,386 61,721 63,386 48,297 47,080 2,714,465 Bank interest - - - - - 35,223 Transaction fees 773 2,389 843 14,632 21,050 1,205,296 Class speciﬁc expenses - Class I 10,399 32,723 22,778 15,579 2,372 1,867,189 - Class A 6,017 50,746 7,878 93,262 5,634 6,499,821 - Class B 6,357 424,985 3,405 79,990 15,490 4,929,039 - Class IX - 46 1,688 - - 2,107 - Class AX - - 34,785 - - 34,785 - Class BX - - 253 - - 253 - Class MX - - - - - 332,189 Tax charges (excluding Taxe d’abonnement) - - - - - 75,530 Other fees 1,091 1,791 4,033 4,384 5,004 107,414

Total expenses 234,893 1,766,496 1,113,911 1,309,756 239,009 109,072,467

Less: expenses fee waiver 140,306 198,560 176,197 - 91,218 848,434

Net investment income/(loss) 582,278 3,127,972 2,962,606 903,617 65,756 124,770,290

Net realized gain/(loss) on sales of investments (444,090) 118 419,257 3,946,070 506,023 373,722,824 Net realised gain/(loss) on ﬁnancial futures contracts 93,165 - - - - (39,296,194) Net realized gain/(loss) on foreign exchange transactions - - - (720,103) 74,925 29,644,938

Net realized proﬁt/(loss) for the period 231,353 3,128,090 3,381,863 4,129,584 646,704 488,841,858

Net change in unrealized appreciation/ (depreciation) on investments 59,390 - - 10,262,535 (897,652)(64,352,769) Net change in unrealized appreciation/ (depreciation) on ﬁnancial futures contracts (38,132) - - - - (49,085) Net change in unrealized appreciation/ (depreciation) on foreign exchange transactions - - - (2,861,767)240,269 (35,471,637)

Net change in net assets as a result of operations 252,611 3,128,090 3,381,863 11,530,352 (10,679) 388,968,367

Dividend distribution - (1,570) (1,876,401) - - (1,878,419)

Proceeds received on subscription of shares 3,171,114 401,796,524 300,213,805 117,777,399 15,485,290 7,517,621,514 Net amount paid on redemption of shares (31,540,353) (409,520,315) (342,191,757) (23,919,479) (6,646,867) (6,970,623,913)

Net change in net assets as a result of capital transactions (28,369,239) (7,723,791) (41,977,952) 93,857,920 8,838,423 546,997,601

Total increase/(decrease) in net assets (28,116,628) (4,597,271) (40,472,490) 105,388,272 8,827,744 934,087,549

Net assets at beginning of period 53,732,071 426,025,226 314,068,529 130,287,733 11,363,975 14,853,494,779 Translation difference - - - - - (799,183,322)

Net assets at end of period 25,615,443 421,427,955 273,596,039 235,676,005 20,191,719 14,988,399,006

+ Represents the combined totals of all Morgan Stanley SICAV Funds. Please refer to page 127 for Fund expense ratios for each class of each Fund.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 115

115 Morgan Stanley SICAV 30 June 2005

Statement of share and net assets statistics As at 30 June 2005

Emerging Emerging European Asian Asian Europe and Markets European European Small Cap Equity Property Middle East Equity Equity Property Value Fund Fund Equity Fund Fund Fund Fund Fund

USD USD EUR USD EUR EUR EUR

Net asset value per share class I 31 December 2003 19.68 8.38 24.00 15.78 6.31 16.17 25.61 31 December 2004 22.96 11.15 30.44 19.48 6.60 21.98 32.25 30 June 2005 24.02 10.97 39.02 20.53 7.27 25.42 36.73

Net asset value per share class A 31 December 2003 18.94 8.07 23.57 15.17 6.17 15.59 25.31 31 December 2004 21.93 10.65 29.71 18.62 6.42 21.04 31.65 30 June 2005 22.86 10.45 37.97 19.57 7.05 24.25 35.91

Net asset value per share class B 31 December 2003 17.72 7.91 23.31 14.42 5.96 14.79 24.76 31 December 2004 20.32 10.38 29.24 17.55 6.13 19.76 30.65 30 June 2005 21.08 10.13 37.26 18.37 6.70 22.66 34.61

Net asset value per share class IX 31 December 2003 ------31 December 2004 ------30 June 2005 - - *39.01 *20.53 - *25.42 *36.73

Net asset value per share class AX 31 December 2003 ------31 December 2004 ------30 June 2005 - - *37.97 *19.57 - *24.25 *35.91

Net asset value per share class BX 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class M 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class MX 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class S 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net assets 31 December 2003 281,339,773 6,634,396 18,527,224 403,760,221 223,588,535 116,102,002 25,476,737 31 December 2004 370,107,809 133,018,616 50,571,138 444,107,981 267,789,799 345,343,073 32,990,630 30 June 2005 382,566,058 285,573,251 162,067,324 417,221,531 246,080,308 387,916,646 58,630,296

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 116

Morgan Stanley SICAV 30 June 2005 116

Statement of share and net assets statistics (continued) As at 30 June 2005

Global Japanese European Global Small Cap Global Equity Japanese Latin Value Equity Brands Value Value Equity Growth Value Equity American Equity Fund Fund Fund Fund Fund Fund Fund

EUR USD USD USD JPY JPY USD

Net asset value per share class I 31 December 2003 23.29 37.59 23.58 35.53 674.27 841.19 17.40 31 December 2004 25.78 42.64 29.48 40.55 773.02 936.02 25.35 30 June 2005 28.67 44.16 30.24 40.01 844.08 959.53 27.89

Net asset value per share class A 31 December 2003 22.37 36.93 22.69 34.16 660.92 808.76 16.73 31 December 2004 24.58 41.60 28.18 38.71 752.29 893.50 24.22 30 June 2005 27.25 42.93 28.79 38.06 818.51 912.68 26.55

Net asset value per share class B 31 December 2003 20.98 35.79 21.67 32.01 646.06 750.76 15.62 31 December 2004 22.83 39.94 26.64 35.91 728.89 821.17 22.39 30 June 2005 25.18 41.01 27.09 35.13 789.28 834.65 24.42

Net asset value per share class IX 31 December 2003 ------31 December 2004 ------30 June 2005 - - - - *844.08 *959.54 -

Net asset value per share class AX 31 December 2003 ------31 December 2004 ------30 June 2005 - - - - *818.52 *912.69 -

Net asset value per share class BX 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class M 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class MX 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class S 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net assets 31 December 2003 509,968,082 560,951,061 145,691,128 1,126,420,955 4,522,662,812 39,481,035,648 200,538,655 31 December 2004 376,673,582 1,065,326,635 202,040,612 1,328,480,292 10,828,630,932 57,324,715,668 329,944,515 30 June 2005 383,711,754 1,617,723,035 190,586,306 1,244,633,778 21,246,395,092 57,608,218,090 345,652,484

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 117

117 Morgan Stanley SICAV 30 June 2005

Statement of share and net assets statistics (continued) As at 30 June 2005

US US Emerging US Equity US Small Cap US World Markets Equity Growth Property Growth Value Equity Equity Debt Fund Fund Fund Fund Fund Fund Fund

USD USD USD USD USD USD USD

Net asset value per share class I 31 December 2003 23.43 27.72 27.12 33.76 17.56 20.31 40.37 31 December 2004 25.18 29.79 36.45 39.88 20.58 22.79 44.22 30 June 2005 25.02 29.78 39.08 41.74 20.47 22.16 46.74

Net asset value per share class A 31 December 2003 23.21 26.66 26.19 32.47 16.89 19.92 38.74 31 December 2004 24.85 28.44 34.94 38.08 19.65 22.24 42.19 30 June 2005 24.62 28.31 37.33 39.71 19.46 21.59 44.47

Net asset value per share class B 31 December 2003 22.72 25.04 24.49 30.41 15.85 19.27 36.31 31 December 2004 24.09 26.45 32.35 35.30 18.25 21.29 39.14 30 June 2005 23.75 26.20 34.39 36.63 17.99 20.56 41.06

Net asset value per share class IX 31 December 2003 ------31 December 2004 ------30 June 2005 - - *39.09 - *20.47 - -

Net asset value per share class AX 31 December 2003 ------31 December 2004 ------30 June 2005 - - *37.34 - *19.46 - -

Net asset value per share class BX 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class M 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class MX 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class S 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net assets 31 December 2003 54,528,276 693,983,138 80,450,421 201,342,256 318,786,259 296,590,165 250,992,165 31 December 2004 186,221,512 340,778,518 154,752,645 245,001,503 1,477,036,685 263,273,688 189,303,432 30 June 2005 166,701,185 281,601,002 169,676,480 241,559,812 1,721,713,610 84,355,815 230,592,980

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 118

Morgan Stanley SICAV 30 June 2005 118

Statement of share and net assets statistics (continued) As at 30 June 2005

Euro Euro European Global Global Euro Corporate Strategic Currencies Global Convertible Convertible Bond Bond Bond High Yield Bond Bond Bond Fund Fund Fund Bond Fund Fund (Euro) Fund (USD) Fund

EUR EUR EUR EUR USD EUR USD

Net asset value per share class I 31 December 2003 9.94 28.81 27.14 10.08 27.32 27.52 28.32 31 December 2004 10.61 30.92 29.00 11.30 29.95 29.01 29.68 30 June 2005 11.06 31.91 30.25 11.31 28.50 28.58 29.35

Net asset value per share class A 31 December 2003 9.66 28.50 26.36 9.83 26.53 27.33 28.15 31 December 2004 10.26 30.46 28.05 10.97 28.96 28.68 29.36 30 June 2005 10.68 31.37 29.21 10.96 27.50 28.19 28.96

Net asset value per share class B 31 December 2003 9.10 27.86 24.75 9.29 24.78 26.94 27.75 31 December 2004 9.58 29.48 26.07 10.26 26.78 27.99 28.65 30 June 2005 9.92 30.21 27.02 10.20 25.31 27.37 28.13

Net asset value per share class IX 31 December 2003 ------31 December 2004 ------30 June 2005 - - *30.25 - *28.50 - -

Net asset value per share class AX 31 December 2003 ------31 December 2004 ------30 June 2005 - - *29.20 - *27.51 - -

Net asset value per share class BX 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class M 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class MX 31 December 2003 ------31 December 2004 ------30 June 2005 ------

Net asset value per share class S 31 December 2003 ------31 December 2004 10.27 ------30 June 2005 10.70 ------

Net assets 31 December 2003 708,179,106 237,150,177 210,629,408 81,130,049 313,574,180 209,214,455 100,933,849 31 December 2004 757,141,610 316,826,827 458,580,615 87,120,141 419,607,036 632,665,989 121,777,026 30 June 2005 937,962,214 393,721,043 597,413,480 53,904,055 329,014,626 343,093,118 73,872,852

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 119

119 Morgan Stanley SICAV 30 June 2005

Statement of share and net assets statistics (continued) As at 30 June 2005

Short Maturity US Dollar Euro US Dollar Global Global Euro Bond US Bond Short Duration Liquidity Liquidity Diversiﬁed Diversiﬁed Fund Fund Fund Fund Fund (Euro) Fund(USD) Fund

EUR USD USD EUR USD EUR USD

Net asset value per share class I 31 December 2003 16.76 19.82 10.17 11.38 11.55 24.96 28.84 31 December 2004 17.24 20.64 10.28 11.58 11.66 26.67 31.37 30 June 2005 17.55 21.19 10.36 11.68 11.80 28.41 31.47

Net asset value per share class A 31 December 2003 16.26 19.25 10.11 11.26 11.32 24.68 28.54 31 December 2004 16.65 19.95 10.18 11.44 11.38 26.23 30.86 30 June 2005 16.92 20.45 10.23 11.53 11.50 27.86 30.88

Net asset value per share class B 31 December 2003 15.44 18.07 9.97 10.86 10.98 23.91 28.12 31 December 2004 15.66 18.55 9.94 10.94 11.05 25.16 30.10 30 June 2005 15.83 18.92 9.94 10.99 11.16 26.59 29.97

Net asset value per share class IX 31 December 2003 - - - 1.00 1.00 - - 31 December 2004 - - - 1.00 1.00 - - 30 June 2005 - *21.19 - 1.00 1.00 - -

Net asset value per share class AX 31 December 2003 - - - 1.00 1.00 - - 31 December 2004 - - - 1.00 1.00 - - 30 June 2005 - *20.45 - 1.00 1.00 - -

Net asset value per share class BX 31 December 2003 - - - - 1.00 - - 31 December 2004 - - - - 1.00 - - 30 June 2005 - - - - 1.00 - -

Net asset value per share class M 31 December 2003 - - - 11.44 - - - 31 December 2004 ------30 June 2005 ------

Net asset value per share class MX 31 December 2003 - - - - 1.00 - - 31 December 2004 ------30 June 2005 ------

Net asset value per share class S 31 December 2003 ------31 December 2004 - 19.97 - - - - - 30 June 2005 - 20.50 - - - - -

Net assets 31 December 2003 692,302,357 347,242,863 150,107,241 695,040,192 435,322,738 52,925,352 9,836,107 31 December 2004 680,730,659 315,153,343 53,732,071 426,025,226 314,068,529 130,287,733 11,363,975 30 June 2005 618,259,920 339,621,059 25,615,443 421,427,955 273,596,039 235,676,005 20,191,719

* Share class opened for subscriptions on 1 June 2005.

The accompanying notes are an integral part of these ﬁnancial statements. 952347-1-007 x-cat 8/22/05 17:52 Page 120

Morgan Stanley SICAV 30 June 2005 120

Notes to the ﬁnancial statements As at 30 June 2005

1 THE COMPANY such Classes and realized capital gains, reduced by realized losses, if any attributable to such Classes. Such dividends, if any will be The Company was incorporated on 21 November 1988 under declared on each Dealing Day in the case of the Liquidity Funds the laws of the Grand Duchy of Luxembourg as a “Société and on the last Dealing Day of June and December in the case d’Investissement à Capital Variable” (“SICAV”) and is registered of the Bond Funds, Equity Funds and Asset Allocation Funds. as an undertaking for collective investment pursuant to Part 1 of the Law of 30 March 1988. The Company is an The following significant changes were made in the six months Undertaking for Collective Investment in Transferable Securities to 30 June 2005: (“UCITS”) for the purpose of the Council Directive • On 1 January 2005, Morgan Stanley Investment Management EEC/85/611 (“UCITS Directive”). Limited’s appointment as Sub-Advisor to the Morgan Stanley The exclusive purpose of the Company is to invest the funds SICAV European Equity Fund and Morgan Stanley SICAV available to it in transferable securities and other assets permitted World Equity Fund was terminated, and management of those by law, with the purpose of spreading investment risks and funds reverted to Morgan Stanley Investment Management, Inc. affording its shareholders the results of the management of its • With effect from 17 May 2005 a redemption fee of 2% of assets. The Company is presently structured to provide both redemption proceeds may be applied by the Company where institutional and individual investors with a variety of equity, the Directors, in their discretion, determine that the Shareholder bond, liquidity and asset allocation Funds. At the date of this has engaged in trading practices which adversely affect the report thirty-five Funds are open for subscription. interests of the Company’s shareholders. The redemption fee is Fund Date of launch retained by the Company for the benefit of continuing Asian Equity Fund 8 October 1991 Shareholders of the relevant Fund and in particular is intended Asian Property Fund 1 July 1997 to defray the costs associated with the sale of portfolio Emerging Europe and Middle East Equity Fund 16 October 2000 Emerging Markets Equity Fund 27 July 1993 securities to satisfy redemption and conversion requests, European Equity Fund 3 April 2000 thereby reducing the possible impact of such costs. European Property Fund 1 July 1997 European Small Cap Value Fund 12 November 2001 European Value Equity Fund 5 March 1991 • With effect from 17 May 2005, to the extent that the Global Brands Fund 30 October 2000 Directors consider that it is in the best interests of Global Small Cap Value Fund 14 December 1993 Global Value Equity Fund 7 November 1989 Shareholders, taking into account factors including the Japanese Equity Growth Fund 3 July 2000 prevailing market conditions, the level of subscriptions and Japanese Value Equity Fund 25 May 1993 Latin American Equity Fund 2 August 1994 redemptions in a particular Fund and the size of the Fund, the US Equity Fund 3 December 2001 Net Asset Value of a Fund may be adjusted to reflect the US Equity Growth Fund 25 August 1992 US Property Fund 9 January 1996 estimated dealing spreads, costs and charges to be incurred by US Small Cap Growth Fund 27 August 1991 the Fund in liquidating or purchasing investments to satisfy US Value Equity Fund 17 May 1994 World Equity Fund 31 July 2000 the net transactions on a particular Dealing Day. The adjustment Emerging Markets Debt Fund 11 April 1995 shall not exceed 1% of the Net Asset Value of the relevant Fund Euro Bond Fund 15 September 1992 Euro Corporate Bond Fund 3 September 2001 on the relevant Dealing Day. Euro Strategic Bond Fund 25 February 1991 European Currencies High Yield Bond Fund 27 May 1997 • On 1 June 2005, Share Classes “AX” and “IX” of the Global Global Bond Fund 7 November 1989 Bond Fund, the Euro Strategic Bond Fund, the US Property Global Convertible Bond (Euro) Fund 16 July 2002 Global Convertible Bond (USD) Fund 16 July 2002 Fund, the US Bond Fund, the Japanese Value Equity Fund, Short Maturity Euro Bond Fund 2 August 1994 the US Value Equity Fund, the Emerging Markets Equity Fund, US Bond Fund 25 August 1992 US Dollar Short Duration Fund 24 July 2002 the European Property Fund, the Japanese Equity Growth Euro Liquidity Fund 31 January 2000 Fund, the Emerging Europe and Middle East Equity Fund and US Dollar Liquidity Fund 1 April 1998 Global Diversified (Euro) Fund 12 December 2001 the European Small Cap Value Fund opened for subscription. Global Diversified (USD) Fund 12 December 2001 2 SIGNIFICANT ACCOUNTING POLICIES Each Class of Shares within each Fund has a different fee structure but participates in the same pool of assets within a The financial statements are presented in accordance with given Fund. For the “IX”, “AX” and “BX” Classes of Shares of generally accepted accounting principles in Luxembourg. the Bond Funds, Equity Funds and Asset Allocation Funds, the a) Valuation of securities Company intends to declare dividends which will be equal to at Securities listed on a recognised stock exchange or dealt on least 85% of the net investment income attributable to such any other regulated market are valued at their last available Classes. For the “IX”, “AX” and “BX” Classes of Shares of the prices, or, in the event that there should be several such Liquidity Funds, the Company intends to declare dividends markets, on the basis of their last available prices on the which will be equal to the net investment income attributable to main market for the relevant security. 952347-1-007 x-cat 8/22/05 17:52 Page 121

121 Morgan Stanley SICAV 30 June 2005

Notes to the ﬁnancial statements (continued) As at 30 June 2005

In the event that the last available price does not truly Securities transactions are accounted for on the date the reflect the fair market value of the relevant securities, the securities are purchased or sold. Realised gains or losses on value of such securities will be based on the reasonably the sale of securities are determined on the basis of the foreseeable sales price determined prudently and in good average cost method. faith pursuant to procedures established by the Directors. d) Translation of foreign currencies Securities not listed or traded on a stock exchange or not Transactions in foreign currencies are translated into the dealt on another regulated market are valued on the basis of currency of each Fund at the exchange rate ruling at the the reasonably foreseeable sales price determined prudently date of the transactions. Assets and liabilities denominated and in good faith pursuant to procedures established by the in foreign currencies are translated into the currency of Directors. each Fund at the exchange rates ruling at the date of the statement of assets and liabilities. Securities with a known short-term maturity date, are valued using an amortised cost method. This involves The combined statement of assets and liabilities is valuing an investment at its cost and thereafter assuming presented in US dollars at the exchange rates ruling at the a constant amortisation to maturity of any discount or date of the statement of assets and liabilities, while the premium, regardless of the impact of fluctuating interest combined statement of operations and changes in net assets rates on the market value of the investments. is presented in US dollars at the average exchange rates ruling during the six months. Events may occur between the determination of an investment’s last available price and the determination of e) Forward settlement transactions the Fund’s Net asset Value per Share at the valuation point The Company may, to a limited extent, enter into forward that may, in the opinion of the Directors, mean that the settlement transactions for the purpose of efficient portfolio last available price does not reflect the fair market value of management or hedging with broker-dealers who make the investment. In such circumstances the price of such markets in these transactions and who are first class investment shall be adjusted in accordance with the financial institutions that specialise in these types of procedures adopted from time to time by the Directors in transactions and are participants in the over-the-counter their discretion. markets. Such transactions consist of the purchase or sale of debt securities at their current price with delivery and If since the time of determination of the net asset value there settlement at a specified future date (which could be in two has been a material change in the quotations in the markets to twelve months time). on which a substantial portion of the investments attributable to the relevant class of shares are dealt in or As settlement date approaches for such transactions, the quoted, the Company may, in order to safeguard the interests Company may agree with the relevant broker-dealer either of the shareholders and the Company, cancel the first to buy or sell the debt securities back to such broker-dealer valuation and carry out further valuations as appropriate. or to roll the trade for a further period with any gains or losses realised on the trade paid to, or received from, the b) Valuation of forward foreign currency exchange and broker-dealer. Purchase transactions are, however, entered futures contracts into by the Company with a view to acquiring the relevant Forward and futures contracts as disclosed on pages 95 to 97, debt securities. which are traded on exchanges or on other organised markets are valued at the last available prices of these contracts on The Company may pay customary fees included in the exchanges and organised markets on which the particular price of the debt securities to the relevant broker-dealer in futures or forwards contracts are traded by the Company. order to finance the cost to such broker-dealer of the delayed settlement. The liquidating value of futures or options contracts not traded on exchanges or on other organised markets shall As of 30 June 2005, there were no forward settlement mean their net liquidating value determined, pursuant to the transaction positions. policies established by the board of directors, on a basis f) Valuation of repurchase agreements consistently applied for each different variety of contracts. Under a repurchase agreement, the Company purchases c) Income and securities transactions securities and agrees to re-sell them at a mutually agreed Dividend income is recorded on the ex. dividend date. upon date and price. Repurchase agreements are valued at Interest income is accrued daily. Discounts are accreted as cost with interest accrued from the date of purchase. adjustments to interest income. Income from securities lending is recorded on a cash receipts basis. 952347-1-007 x-cat 8/22/05 17:52 Page 122

Morgan Stanley SICAV 30 June 2005 122

Notes to the ﬁnancial statements (continued) As at 30 June 2005

3 SECURITIES LENDING the impact such fee may have on the performance of the Fund in instances where the Fund’s net assets are of insufﬁcient size. As of 30 June 2005, the Company loaned securities having a value of USD 1,577,283,177 and received collateral with a The Funds are subject to a monthly shareholder service fee at market value at 30 June 2005 of USD 1,655,585,367. a maximum annual rate of 0.25% of the Funds’ aggregate average daily net asset value attributable to all Classes of Shares 4 RELATED PARTY TRANSACTIONS of the Funds. For the foreseeable future, the Company has reduced the fees for shareholder service so that the Equity Under the terms of an investment advisory agreement, Morgan Funds, Bond Funds and Asset Allocation Funds are subject to Stanley Investment Management, Inc. has been appointed a monthly shareholder service fee at the annual rate of 0.08% Investment Adviser with responsibility for advising the Company of the Funds’ aggregate average daily net asset value attributable within the scope of the day-to-day management of the various to Classes I and IX Shares and at the annual rate of 0.15% of Funds. The Investment Adviser is entitled to receive from the the Funds’ aggregate average daily net asset value attributable to Company a fee payable monthly in arrears, and calculated on the Classes A and AX Shares and Classes B and BX Shares. basis of the average daily net assets (before deduction of the fee) The Company has similarly reduced the fees for shareholder of each Fund attributable to each Class of Shares. service so that the Liquidity Funds will be subject to a monthly All expenses are paid directly by the Company and fees paid to shareholder service fee at the annual rate of 0.05% of such the Investment Adviser are at the following annual rates: Funds’ aggregate average daily net asset value attributable to the

Class I, IX, M, Class A, B, relevant Class of Shares. Class S shares are subject to a monthly Fund name MX and S(2) AX and BX(1) shareholder service fee at the annual rate of 0.25% of the

Asian Equity Fund 0.75 1.40 Funds’ aggregate average daily net asset value attributable to Asian Property Fund 0.75 1.40 Class S shares. Emerging Europe and Middle East Equity Fund(5) 1.10 1.60 Emerging Markets Equity Fund(5) 1.10 1.60 The shareholder service fee is paid to Morgan Stanley European Equity Fund 0.70 1.20 European Property Fund(5) 0.75 1.40 Investment Management Limited (the “Distributor”) as European Small Cap Value Fund(5) 0.95 1.60 compensation for providing certain services to shareholders. European Value Equity Fund 0.75 1.40 Global Brands Fund 0.75 1.40 Global Small Cap Value Fund 0.95 1.60 The Distributor is also paid a distribution fee for the Equity Global Value Equity Fund 0.75 1.40 Funds, Bond Funds and Asset Allocation Funds, accrued daily Japanese Equity Growth Fund(5) 0.95 1.60 Japanese Value Equity Fund(5) 0.75 1.40 and paid monthly, at the annual rate of 1.00% of the average Latin American Equity Fund 1.00 1.60 daily net asset value of Classes B and BX Shares as compensation US Equity Fund 0.70 1.20 US Equity Growth Fund 0.70 1.40 for providing distribution-related services to the Funds with US Property Fund(5) 0.75 1.40 respect to such Shares. US Small Cap Growth Fund 0.95 1.60 US Value Equity Fund(5) 0.70 1.40 The Liquidity Funds will pay the Distributor a distribution fee, World Equity Fund 0.75 1.20 Emerging Markets Debt Fund 0.90 1.40 accrued daily and paid monthly, at the annual rate of 0.75% of Euro Bond Fund(2) 0.45 0.80 the average daily net asset value for Classes B and BX Shares. Euro Corporate Bond Fund 0.45 0.80 Euro Strategic Bond Fund(5) 0.45 0.80 European Currencies High Yield Bond Fund 0.50 0.85 a) Morgan Stanley Investment Management Inc. and the Global Bond Fund(5) 0.45 0.80 sub-advisers for the Morgan Stanley SICAV have entered Global Convertible Bond (Euro) Fund 0.60 1.00 Global Convertible Bond (USD) Fund 0.60 1.00 into the following types of transactions in which a connected Short Maturity Euro Bond Fund 0.45 0.80 person had a material interest: US Bond Fund(2)(5) 0.45 0.80 US Dollar Short Duration Fund 0.35 0.70 i) The transaction is in relation to an investment in respect Euro Liquidity Fund(1)(3)(5) 0.20 0.35 US Dollar Liquidity Fund(1)(4)(5) 0.20 0.60 of which an affiliated firm benefited from a commission, Global Diversified (Euro) Fund 0.60 1.10 fee, mark up or mark down; or Global Diversified (USD) Fund 0.60 1.10 ii) The transaction is in relation to a placing and/or a new (1) Only the US Dollar Liquidity Fund and the Euro Liquidity Fund issue Class BX Shares at present. (2) Only the US Bond Fund and the Euro Bond Fund issue Class S Shares at present. issue in which the affiliated company was a member of (3) The investment advisory fee for Class A, AX, B and BX Shares increased from 0.35 to 0.50% on the underwriting syndicate. 1 January 2005. (4) The investment advisory fee for Class A, AX, B and BX Shares decreased from 0.60% to 0.50% on 1 January 2005. All the transactions executed on behalf of the Morgan Stanley (5) Only these funds issue Class AX and IX at present. SICAV were entered into in the ordinary course of business and on normal commercial terms. In the case of any individual Fund, the Investment Adviser may The Company has entered into a securities lending contract choose to waive all of its fee or any portion thereof at its with Morgan Stanley & Co. International Limited, Morgan absolute discretion for an indefinite period, in order to reduce Stanley Trading GmbH & Co KG, Morgan Stanley Securities 952347-1-007 x-cat 8/22/05 17:52 Page 123

123 Morgan Stanley SICAV 30 June 2005

Notes to the ﬁnancial statements (continued) As at 30 June 2005

Limited, Morgan Stanley & Co Incorporated and MSDW 7 SOFT COMMISSIONS ARRANGEMENTS Equity Finance Service I (Cayman) Limited which is under During the six months, Morgan Stanley Investment normal commercial terms. The arrangement is exclusive in Management Inc. and the sub-advisers for the Morgan Stanley relation to certain securities. SICAV entered into soft commission arrangements with brokers in respect of which certain goods and services used to 5 TAXATION support the investment decision making process were received. Under current law and practice, the Company is not liable to Such goods and services included data and quotation services, any Luxembourg income tax, or any Luxembourg capital gains specialist industry, company and consumer research, portfolio tax on the realised capital appreciation of the assets of the and market analysis, performance measurement services and Company nor are dividends paid by the Company liable to any computer hardware and software used for the delivery of such Luxembourg withholding tax. The Company is, however, liable services. to annual tax in Luxembourg calculated at the rate of 0.05% of the net asset value of all Funds (except the Liquidity Funds for 8 STATEMENTS OF PORTFOLIO CHANGES which the rate is 0.01% of the net asset value of the Liquidity A statement giving the changes in the portfolio of investments Funds). This tax is payable quarterly on the basis of the net for the six months ended 30 June 2005 is available to assets of the relevant Funds, calculated at the end of the quarter shareholders, free of charge, on request from the Company’s to which the tax relates. No stamp or other tax will be payable registered ofﬁce, and also from the Paying Agents in countries in Luxembourg in connection with the issue of Shares of the where the company is registered to sell its Shares. Company, except a once and for all tax of Euro 1,239.47 which was paid upon incorporation. Please see list of Paying Agents on page 125. Dividends, interest and capital gains on securities held by the 9 OVERDRAFT FACILITY Company may be subject to non-recoverable withholding tax or capital gains tax in the country of origin. The Fund has access to an overdraft facility (the “Facility”) established with J.P. Morgan Bank Luxembourg S.A. 6 RATES OF EXCHANGE The Facility is intended to provide if necessary for short-term/ temporary ﬁnancing, subject to certain restrictions, in The rates of exchange used for translation into U.S. dollars of connection with abnormal redemption activity. Borrowings assets and liabilities, including securities and foreign currency pursuant to the Facility are subject to interest at a mutually holdings, as of 30 June 2005 were: agreed upon rate.

Currency 10 LIABILITY OF THE COMPANY AUD 1.316 = $1.00 BRL 2.356 = $1.00 The Directors shall maintain for each Fund a separate pool of CAD 1.234 = $1.00 CHF 1.285 = $1.00 assets. As between Shareholders, each pool of assets shall be CZK 24.925 = $1.00 invested for the exclusive beneﬁt of the relevant Fund. DKK 6.180 = $1.00 EGP 5.787 = $1.00 EUR 0.830 = $1.00 With regard to third parties, in particular towards the Company’s GBP 0.558 = $1.00 creditors, the Company shall be considered as one single legal HKD 7.776 = $1.00 HUF 207.500 = $1.00 entity. The Company as a whole shall be responsible for all IDR 10,000.000 = $1.00 obligations whatever be the Fund such liabilities are attributable ILS 4.496 = $1.00 INR 43.478 = $1.00 to, save where other terms have been agreed upon with speciﬁc JOD 0.709 = $1.00 creditors. JPY 111.111 = $1.00 KRW 1,000.000 = $1.00 LBP 1,506.500 = $1.00 11 INVESTMENT COMMITTEE MAD 9.091 = $1.00 MXN 10.741 = $1.00 The Directors have established an Investment Committee which MYR 3.799 = $1.00 NOK 6.562 = $1.00 is responsible for making strategic recommendations to the NZD 1.441 = $1.00 Board concerning the management of the assets of the Emerging OMR 0.385 = $1.00 PLN 3.356 = $1.00 Markets Equity Fund. Members of the Investment Committee SEK 7.819 = $1.00 are not remunerated by the Company for performing this role. SGD 1.685 = $1.00 THB 41.322 = $1.00 TND 1.328 = $1.00 TRL 1.340 = $1.00 TWD 31.646 = $1.00 ZAR 6.667 = $1.00 952347-1-007 x-cat 8/22/05 17:52 Page 124

Morgan Stanley SICAV 30 June 2005 124

Directors and service providers

DIRECTORS INVESTMENT ADVISER DISTRIBUTOR Adolf Bründler Morgan Stanley Morgan Stanley Investment Managing Director Investment Management Inc Management Limited Private Banking 1221 Avenue of the Americas 25 Cabot Square Bank Morgan Stanley AG New York, NY 10020 Canary Wharf Zurich USA London E14 4QA United Kingdom Freddy Brausch INVESTMENT SUB-ADVISERS Partner (Lawyer) Morgan Stanley Investment CUSTODIAN BANK Linklaters Loesch Management Limited J.P. Morgan Bank Grand Duchy of Luxembourg 25 Cabot Square Luxembourg S.A. Canary Wharf European Bank Michael Green London E14 4QA and Business Center Managing Director United Kingdom 6, route de Trèves Morgan Stanley Investment L-2633 Senningerberg Management Limited Morgan Stanley Investment Grand Duchy of Luxembourg London Management Company 23 Church Street ADMINISTRATOR, PAYING Ronald Robison 16-01 Capital Square AND DOMICILIARY AGENT Managing Director Singapore, 049481 J.P. Morgan Bank Morgan Stanley Investment Luxembourg S.A. Management Inc. Morgan Stanley Asset European Bank New York & Investment Trust and Business Center Management Co., Limited 6, route de Trèves Stefano Russo Yebisu Garden Place Tower L-2633 Senningerberg Managing Director 20-3, Ebisu 4-Chome Grand Duchy of Luxembourg Morgan Stanley Bank Shibuya-ku, Tokyo 150-6009 International Limited Japan REGISTRAR AND TRANSFER Bank Limited AGENT Milan Morgan Stanley Investment First European Advisors Inc. Transfer Agent S.A. 1221 Avenue of the Americas 5, rue Thomas Edison New York, NY 10020 L-1445 Strassen USA Grand Duchy of Luxembourg

Morgan Stanley & Co. AUDITOR International Limited 25 Cabot Square Ernst & Young S.A. Canary Wharf 6, rue Jean Monnet London E14 4QA L-2180 Luxembourg United Kingdom Grand Duchy of Luxembourg

REGISTERED OFFICE LEGAL ADVISER European Bank Linklaters Loesch and Business Center 4, rue Carlo Hemmer 6, route de Trèves L-1011 Luxembourg L-2633 Senningerberg Grand Duchy of Luxembourg Grand Duchy of Luxembourg 952347-1-007 x-cat 8/22/05 17:52 Page 125

125 Morgan Stanley SICAV 30 June 2005

Paying and information agents

Copies of the Financial Reports of the Company can be obtained from the following Paying and Information Agents.

AUSTRIA ITALY SPAIN Meinl Bank Aktiengesellschaft C/O CITCO Bank Nederland N.V. Morgan Stanley Dean Witter, Bauernmarkt 2 Strada 1 Palazzo F5 S.V., S.A. (sociedad unipersonal) Postfach 99 20090 Assago Milanoﬁori Serrano 55 A-1014 Wien Italy 28006 Madrid Austria Spain C/O Banca Popolare FRANCE Commercio E Industria S.p.A. SWITZERLAND Natexis Banques Populaires Via della Moscova, 33 Bank Morgan Stanley AG 45, rue Saint Dominique 20121 Milano Bahnhofstrasse 92 75007 Paris Italy 8023 Zurich France Switzerland C/O Banca Sella S.p.A. GERMANY Via Italia, 2 UNITED KINGDOM 13900 Biella Morgan Stanley Bank AG Morgan Stanley Investment Italy Junghofstrasse 13-15 Management Limited 60311 Frankfurt am Main 25 Cabot Square C/O Banca Popolare di Lodi Germany London E14 4QA S.c.a.r.l. United Kingdom Via Polenghi Lombardo, 13 GREECE 26900 Lodi Alpha Bank Italy 40, Stadiou Street GR-102 52 Athens C/O Iccrea Banca S.p.A. Greece Via Torino, 146 00184 Roma HONG KONG Italy Morgan Stanley Dean Witter Asia Limited C/O IntesaBCI S.p.A. 30th Floor Foro Buonaparte, 35 Three Exchange Square 20121 Milano Central Italy Hong Kong C/O Rasbank S.p.A. IRELAND Piazza Erculea, 15 J.P. Morgan Administration 20122 Milano Services (Ireland) Limited Italy JPMorgan House International Financial Services C/O BIPOP Carire S.p.A. Centre Via Leonardo da Vinci, 74 Dublin 1 25122 Brescia Ireland Italy

NETHERLANDS ABN Amro Trust Company (Nederland) B.V. P.O. Box 1469 1000 BL Amsterdam The Netherlands 952347-1-007 x-cat 8/22/05 17:52 Page 126

Morgan Stanley SICAV 30 June 2005 126

Appendix 1: Fund expense ratios* As at 30 June 2005

The following ﬁgures show the total expenses charged to each Class of each Fund open as at 30 June 2005, calculated net of any fee waivers and expressed as a percentage of average net assets for the six months. For further information in relation to the expenses charged to the Funds, please refer to pages 109 to 114.

Funds Name Total Expense Ratio (%) Funds Name Total Expense Ratio (%)

Equity Funds US Value Equity Fund B - USD 2.75 Asian Equity Fund A - USD 1.96 US Value Equity Fund I - USD 0.98 Asian Equity Fund B - USD 2.96 US Value Equity Fund IX - USD 0.98 Asian Equity Fund I - USD 1.24 World Equity Fund A - USD 1.74 Asian Property Fund A - USD 1.87 World Equity Fund B - USD 2.74 Asian Property Fund B - USD 2.87 World Equity Fund I - USD 1.22 Asian Property Fund I - USD 1.15 Emerging Europe and Middle East Equity Fund A - EUR 2.36 Bond Funds Emerging Europe and Middle East Equity Fund AX - EUR 2.36 Emerging Markets Debt Fund A - USD 1.87 Emerging Europe and Middle East Equity Fund B - EUR 2.98 Emerging Markets Debt Fund B - USD 2.87 Emerging Europe and Middle East Equity Fund I - EUR 1.79 Emerging Markets Debt Fund I - USD 1.30 Emerging Europe and Middle East Equity Fund IX - EUR 1.79 Euro Bond Fund A - EUR 1.18 Emerging Markets Equity Fund A - USD 2.19 Euro Bond Fund B - EUR 2.18 Emerging Markets Equity Fund AX - USD 2.19 Euro Bond Fund I - EUR 0.76 Emerging Markets Equity Fund B - USD 3.00 Euro Bond Fund S - EUR 0.93 Emerging Markets Equity Fund I - USD 1.62 Euro Corporate Bond Fund A - EUR 1.20 Emerging Markets Equity Fund IX - USD 1.62 Euro Corporate Bond Fund B - EUR 2.20 European Equity Fund A - EUR 1.67 Euro Corporate Bond Fund I - EUR 0.78 European Equity Fund B - EUR 2.67 Euro Strategic Bond Fund A - EUR 1.18 European Equity Fund I - EUR 1.10 Euro Strategic Bond Fund AX - EUR 1.18 European Property Fund A - EUR 1.85 Euro Strategic Bond Fund B - EUR 2.18 European Property Fund AX - EUR 1.85 Euro Strategic Bond Fund I - EUR 0.76 European Property Fund B - EUR 2.85 Euro Strategic Bond Fund IX - EUR 0.76 European Property Fund I - EUR 1.13 European Currencies High Yield Bond Fund A - EUR 1.42 European Property Fund IX - EUR 1.13 European Currencies High Yield Bond Fund B - EUR 2.42 European Small Cap Value Fund A - EUR 2.32 European Currencies High Yield Bond Fund I - EUR 1.00 European Small Cap Value Fund AX - EUR 2.32 Global Bond Fund A - USD 1.21 European Small Cap Value Fund B - EUR 3.32 Global Bond Fund AX - USD 1.21 European Small Cap Value Fund I - EUR 1.60 Global Bond Fund B - USD 2.21 European Small Cap Value Fund IX - EUR 1.60 Global Bond Fund I - USD 0.79 European Value Equity Fund A - EUR 1.84 Global Bond Fund IX - USD 0.79 European Value Equity Fund B - EUR 2.84 Global Convertible Bond (Euro) Fund A - EUR 1.39 European Value Equity Fund I - EUR 1.12 Global Convertible Bond (Euro) Fund B - EUR 2.39 Global Brands Fund A - USD 1.77 Global Convertible Bond (Euro) Fund I - EUR 0.92 Global Brands Fund B - USD 2.77 Global Convertible Bond (USD) Fund A - USD 1.50 Global Brands Fund I - USD 1.05 Global Convertible Bond (USD) Fund B - USD 2.50 Global Small Cap Value Fund A - USD 2.19 Global Convertible Bond (USD) Fund I - USD 1.03 Global Small Cap Value Fund B - USD 3.15 Short Maturity Euro Bond Fund A - EUR 1.16 Global Small Cap Value Fund I - USD 1.47 Short Maturity Euro Bond Fund B - EUR 2.16 Global Value Equity Fund A - USD 1.77 Short Maturity Euro Bond Fund I - EUR 0.74 Global Value Equity Fund B - USD 2.77 US Bond Fund A - USD 1.19 Global Value Equity Fund I - USD 1.05 US Bond Fund AX - USD 1.19 Japanese Equity Growth Fund A - JPY 2.20 US Bond Fund B - USD 2.19 Japanese Equity Growth Fund AX - JPY 2.20 US Bond Fund I - USD 0.77 Japanese Equity Growth Fund B - JPY 3.16 US Bond Fund IX - USD 0.77 Japanese Equity Growth Fund I - JPY 1.48 US Bond Fund S - USD 0.94 Japanese Equity Growth Fund IX - JPY 1.48 US Dollar Short Duration Fund A - USD 0.82 Japanese Value Equity Fund A - JPY 1.82 US Dollar Short Duration Fund B - USD 1.82 Japanese Value Equity Fund AX - JPY 1.82 US Dollar Short Duration Fund I - USD 0.40 Japanese Value Equity Fund B - JPY 2.82 Japanese Value Equity Fund I - JPY 1.10 Liquidity Funds Japanese Value Equity Fund IX - JPY 1.10 Euro Liquidity Fund A - EUR 0.60 Latin American Equity Fund A - USD 2.07 Euro Liquidity Fund B - EUR 1.48 Latin American Equity Fund B - USD 3.07 Euro Liquidity Fund I - EUR 0.42 Latin American Equity Fund I - USD 1.40 Euro Liquidity Fund AX - EUR 0.00 US Equity Fund A - USD 1.75 Euro Liquidity Fund IX - EUR 0.43 US Equity Fund B - USD 2.75 US Dollar Liquidity Fund A - USD 0.80 US Equity Fund I - USD 1.18 US Dollar Liquidity Fund B - USD 0.80 US Equity Growth Fund A - USD 1.83 US Dollar Liquidity Fund I - USD 0.40 US Equity Growth Fund B - USD 2.83 US Dollar Liquidity Fund AX - USD 0.80 US Equity Growth Fund I - USD 1.06 US Dollar Liquidity Fund BX - USD 0.80 US Property Fund A - USD 1.92 US Dollar Liquidity Fund IX - USD 0.40 US Property Fund AX - USD 1.92 US Property Fund B - USD 2.92 Asset Allocation Funds US Property Fund I - USD 1.20 Global Diversified (Euro) Fund A - EUR 1.52 US Property Fund IX - USD 1.20 Global Diversified (Euro) Fund B - EUR 2.52 US Small Cap Growth Fund A - USD 2.05 Global Diversified (Euro) Fund I - EUR 0.95 US Small Cap Growth Fund B - USD 3.05 Global Diversified (USD) Fund A - USD 1.87 US Small Cap Growth Fund I - USD 1.33 Global Diversified (USD) Fund B - USD 2.87 US Value Equity Fund A - USD 1.75 Global Diversified (USD) Fund I - USD 1.30 US Value Equity Fund AX - USD 1.75

* Please refer to Note 4 for details of changes to the Investment Advisory Fees during the period. 952347-1-007 x-cat 8/22/05 17:52 Page 127 952347-1-007 x-cat 8/22/05 17:52 Page C 952347-1-007 x-cat 8/22/05 17:52 Page D

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