NPORT-EX 2 NPORT_5835869293361112.htm

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)

(Showing Percentage of Total Value of Investments)

 

   Face
Amount
(000)		   Value
(000)		 
Fixed Income Securities (93.7%)        
         
Angola (0.9%)          
Sovereign (0.9%)          
Angolan Government International Bond,          
8.00%, 11/26/29 (a)  $1,400   $1,113 
9.38%, 5/8/48 (a)   1,010    793 
         1,906 
Argentina (1.5%)          
Corporate Bonds (1.0%)          
Province of Santa Fe,          
6.90%, 11/1/27 (a)   1,180    767 
Provincia de Cordoba,          
7.45%, 9/1/24 (a)   750    431 
Provincia de Entre Rios Argentina,          
8.75%, 2/8/25 (a)(b)(c)   1,730    969 
         2,167 
Sovereign (0.5%)          
Argentine Republic Government International Bond,          
0.13%, 7/9/30 – 7/9/35(d)   2,512    990 
1.00%, 7/9/29   167    76 
         1,066 
         3,233 
Azerbaijan (1.1%)          
Sovereign (1.1%)          
Republic of Azerbaijan International Bond,          
3.50%, 9/1/32   2,448    2,361 
           
Bahrain (1.1%)          
Sovereign (1.1%)          
Bahrain Government International Bond,          
7.50%, 9/20/47   2,090    2,228 
           
Belarus (0.7%)          
Sovereign (0.7%)          
Republic of Belarus International Bond,          
6.20%, 2/28/30 (a)   850    797 
Republic of Belarus Ministry of Finance,          
6.38%, 2/24/31 (a)   710    666 
         1,463 
Brazil (5.3%)          
Corporate Bonds (2.6%)          
Braskem Netherlands Finance BV,          
4.50%, 1/31/30 (a)   1,150    1,075 
CSN Islands XI Corp.,          
6.75%, 1/28/28 (a)   1,260    1,223 
Minerva Luxembourg SA,          
5.88%, 1/19/28 (a)   1,000    1,040 
Petrobras Global Finance BV,          
5.09%, 1/15/30   846    890 
6.75%, 6/3/50   400    434 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

Rumo Luxembourg Sarl,          
7.38%, 2/9/24    512    538 
Suzano Austria GmbH,          
3.75%, 1/15/31   225    226 
         5,426 
Sovereign (2.7%)          
Brazilian Government International Bond,          
3.88%, 6/12/30   590    591 
4.50%, 5/30/29   470    502 
5.00%, 1/27/45   2,588    2,618 
6.00%, 4/7/26   1,610    1,883 
         5,594 
         11,020 
Chile (2.2%)          
Corporate Bond (0.6%)          
Colbun SA,          
3.15%, 3/6/30 (a)   1,110    1,200 
           
Sovereign (1.6%)          
Chile Government International Bond,          
3.50%, 1/25/50   1,570    1,796 
3.86%, 6/21/47   250    300 
Empresa Nacional del Petroleo,          
4.75%, 12/6/21   1,102    1,140 
         3,236 
         4,436 
China (5.5%)          
Corporate Bond (0.5%)          
Fufeng Group Ltd.,          
5.88%, 8/28/21   1,050    1,079 
           
Sovereign (5.0%)          
Sinopec Group Overseas Development 2012 Ltd.,          
4.88%, 5/17/42     1,810    2,387 
Sinopec Group Overseas Development 2013 Ltd.,          
4.38%, 10/17/23   3,040    3,337 
Sinopec Group Overseas Development 2018 Ltd.,          
2.95%, 11/12/29 (a)   1,770    1,896 
Three Gorges Finance I Cayman Islands Ltd.,          
2.30%, 6/2/21 (a)   2,000    2,012 
3.70%, 6/10/25 (a)   780    860 
         10,492 
         11,571 
Colombia (2.9%)          
Corporate Bonds (0.9%)          
Geopark Ltd.,          
6.50%, 9/21/24 (a)   850    807 
Millicom International Cellular SA,          
6.63%, 10/15/26 (a)   420    451 
Termocandelaria Power Ltd.,          
7.88%, 1/30/29 (a)   660    710 
         1,968 

 

 

 

  

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

Sovereign (2.0%)          
Colombia Government International Bond,          
3.00%, 1/30/30 (e)   1,531    1,569 
5.00%, 6/15/45   2,230    2,606 
         4,175 
         6,143 
Costa Rica (0.9%)          
Sovereign (0.9%)          
Costa Rica Government International Bond,          
6.13%, 2/19/31 (a)   1,290    1,218 
7.16%, 3/12/45   780    715 
         1,933 
Croatia (0.4%)          
Sovereign (0.4%)          
Croatia Government International Bond,          
6.00%, 1/26/24   680    788 
           
Dominican Republic (3.1%)          
Sovereign (3.1%)          
Dominican Republic International Bond,          
5.88%, 1/30/60 (a)   1,190    1,130 
6.00%, 7/19/28 (a)   560    604 
6.85%, 1/27/45 (a)   1,252    1,325 
6.88%, 1/29/26 (a)   1,605    1,790 
7.45%, 4/30/44 (a)   666    753 
9.75%, 6/5/26 (a)  DOP48,050    841 
         6,443 
Ecuador (1.6%)          
Sovereign (1.6%)          
Ecuador Government International Bond,          
0.00%, 7/31/30 (a)  $351    165 
0.50%, 7/31/30 – 7/31/40 (a)(d)   5,707    3,250 
         3,415 
Egypt (3.8%)          
Sovereign (3.8%)          
Arab Republic of Egypt,          
5.25%, 10/6/25   710    712 
Egypt Government International Bond,          
4.75%, 4/16/26  EUR480    537 
6.13%, 1/31/22 (a)(e)  $390    401 
6.38%, 4/11/31 (a)  EUR1,610    1,761 
6.59%, 2/21/28  $600    595 
7.50%, 1/31/27 (a)(e)   840    885 
7.90%, 2/21/48 (a)   490    454 
8.15%, 11/20/59 (a)   2,200    2,060 
8.88%, 5/29/50 (a)   430    427 
              7,832  

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

El Salvador (1.2%)                
Sovereign (1.2%)                
El Salvador Government International Bond,                
6.38%, 1/18/27     1,785       1,546  
7.12%, 1/20/50 (a)     410       322  
8.63%, 2/28/29 (a)     760       724  
              2,592  
Gabon (0.5%)                
Sovereign (0.5%)                
Gabon Government International Bond,                
6.63%, 2/6/31 (a)     360       323  
Republic of Gabon,                
6.95%, 6/16/25 (a)     740       697  
              1,020  
Ghana (1.1%)                
Sovereign (1.1%)                
Ghana Government International Bond,                
8.63%, 6/16/49 (a)     1,450       1,226  
8.95%, 3/26/51 (a)     1,340       1,164  
              2,390  
Guatemala (1.2%)                
Sovereign (1.2%)                
Guatemala Government Bond,                
4.88%, 2/13/28     1,810       2,002  
6.13%, 6/1/50 (a)     380       456  
              2,458  
Honduras (0.3%)                
Sovereign (0.3%)                
Honduras Government International Bond,                
5.63%, 6/24/30 (a)     230       247  
8.75%, 12/16/20     400       405  
              652  
Hungary (1.3%)                
Sovereign (1.3%)                
Hungary Government International Bond,                
5.38%, 3/25/24     1,250       1,435  
7.63%, 3/29/41     690       1,236  
              2,671  
India (0.4%)                
Sovereign (0.4%)                
Export-Import Bank of India,                
3.38%, 8/5/26 (a)     800       845  

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

Indonesia (5.9%)        
Sovereign (5.9%)        
Indonesia Government International Bond,        
3.85%, 7/18/27   450    507 
4.13%, 1/15/25   2,670    2,986 
4.45%, 4/15/70   1,000    1,190 
4.75%, 1/8/26 (a)   1,360    1,582 
5.13%, 1/15/45 (a)   1,014    1,279 
5.35%, 2/11/49   200    266 
5.88%, 1/15/24   1,360    1,569 
Pertamina Persero PT,          
4.30%, 5/20/23   1,100    1,181 
6.45%, 5/30/44 (a)   310    405 
6.50%, 11/7/48 (a)   1,070    1,429 
         12,394 
Iraq (0.5%)          
Sovereign (0.5%)          
Iraq International Bond,          
6.75%, 3/9/23 (a)   1,140    1,092 
           
Jamaica (1.1%)          
Sovereign (1.1%)          
Jamaica Government International Bond,          
7.88%, 7/28/45   740    942 
8.00%, 3/15/39   1,010    1,314 
         2,256 
Jordan (0.5%)          
Sovereign (0.5%)          
Jordan Government International Bond,          
7.38%, 10/10/47 (a)   950    947 
           
Kazakhstan (1.9%)          
Sovereign (1.9%)          
Kazakhstan Government International Bond,          
5.13%, 7/21/25 (a)   520    603 
5.13%, 7/21/25   1,100    1,276 
6.50%, 7/21/45   430    669 
KazMunayGas National Co., JSC,          
6.38%, 10/24/48 (a)   1,070    1,370 
         3,918 
Kenya (0.7%)          
Sovereign (0.7%)          
Kenya Government International Bond,          
8.00%, 5/22/32 (a)   1,440    1,425 
           
Lebanon (0.3%)          
Sovereign (0.3%)          
Lebanon Government International Bond,          
6.85%, 3/23/27 – 5/25/29 (b)(c)   3,490    574 

 

Lithuania (0.4%)        
Sovereign (0.4%)        
Lithuania Government International Bond,          
6.63%, 2/1/22   760    821 
           
Malaysia (0.4%)          
Sovereign (0.4%)          
Petronas Capital Ltd.,          
3.50%, 3/18/25   810    891 

 

 

 

 

  

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

Mexico (7.2%)          
Corporate Bond (0.6%)          
Orbia Advance Corp SAB de CV,          
5.50%, 1/15/48 (a)   1,180    1,328 
           
Sovereign (6.6%)          
Banco Nacional de Comercio Exterior SNC,          
3.80%, 8/11/26 (a)   410    411 
Mexican Bonos, Series M          
7.50%, 6/3/27    MXN20,315    1,022 
Mexico Government International Bond,          
3.75%, 1/11/28  $1,410    1,521 
4.15%, 3/28/27   2,756    3,071 
4.50%, 4/22/29   470    528 
4.60%, 1/23/46   530    573 
Petroleos Mexicanos,          
6.35%, 2/12/48   679    512 
6.84%, 1/23/30 (a)   2,213    1,978 
6.95%, 1/28/60 (a)   718    556 
7.69%, 1/23/50   500    419 
7.69%, 1/23/50 (a)   3,750    3,144 
         13,735 
         15,063 
Mongolia (0.6%)          
Sovereign (0.6%)          
Mongolia Government International Bond,          
5.13%, 4/7/26 (a)(f)   310    312 
5.63%, 5/1/23     940    970 
         1,282 
Nigeria (2.5%)          
Corporate Bond (0.5%)          
IHS Netherlands Holdco BV,          
8.00%, 9/18/27 (a)   1,100    1,133 
           
Sovereign (2.0%)          
Nigeria Government International Bond,          
6.38%, 7/12/23   530    543 
6.50%, 11/28/27 (a)   870    831 
7.14%, 2/23/30 (a)   1,020    972 
9.25%, 1/21/49 (a)   1,830    1,823 
         4,169 
         5,302 
           
Oman (1.3%)        
Sovereign (1.3%)        
Oman Government International Bond,          
6.00%, 8/1/29 (a)   2,950    2,727 
           
Panama (3.3%)          
Corporate Bond (0.3%)          
AES Panama Generation Holdings SRL,          
4.38%, 5/31/30 (a)   500    514 

 

 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

           
Sovereign (3.0%)          
Aeropuerto Internacional de Tocumen SA,          
5.63%, 5/18/36 (a)   1,150    1,278 
Panama Government International Bond,          
3.87%, 7/23/60   550    632 
4.00%, 9/22/24   2,684    2,942 
4.50%, 4/1/56   810    1,018 
8.88%, 9/30/27   278    399 
         6,269 
         6,783 
Paraguay (2.2%)          
Sovereign (2.2%)          
Paraguay Government International Bond,          
4.63%, 1/25/23 (a)   930    986 
4.70%, 3/27/27 (a)   640    729 
4.95%, 4/28/31 (a)   710    821 
5.40%, 3/30/50 (a)   660    805 
6.10%, 8/11/44 (a)   878    1,141 
         4,482 
Peru (3.5%)          
Corporate Bond (0.3%)          
Fondo MIVIVIENDA SA,          
3.50%, 1/31/23 (a)   491    513 
           
Sovereign (3.2%)          
Corporación Financiera de Desarrollo SA,          
2.40%, 9/28/27 (a)   370    373 
5.25%, 7/15/29 (a)   978    1,053 
Peruvian Government International Bond,          
5.63%, 11/18/50   850    1,357 
6.55%, 3/14/37   1,550    2,349 
Petroleos del Peru SA,          
4.75%, 6/19/32 (a)   1,440    1,562 
         6,694 
         7,207 
Philippines (2.1%)          
Sovereign (2.1%)          
Philippine Government International Bond,          
3.95%, 1/20/40   700    831 
9.50%, 2/2/30   2,200    3,631 
         4,462 

 

Poland (1.7%)        
Sovereign (1.7%)        
Republic of Poland Government International Bond,          
3.00%, 3/17/23   1,701    1,806 
4.00%, 1/22/24   1,620    1,807 
         3,613 

  

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

Qatar (3.4%)          
Sovereign (3.4%)          
Qatar Government International Bond,          
3.75%, 4/16/30 (a)   890    1,033 
4.00%, 3/14/29   1,060    1,242 
4.82%, 3/14/49 (a)   3,150    4,252 
4.82%, 3/14/49   490    661 
         7,188 
Romania (0.4%)          
Sovereign (0.4%)          
Romanian Government International Bond,          
4.38%, 8/22/23   680    740 
           
Russia (3.8%)          
Sovereign (3.8%)          
Russian Foreign Bond - Eurobond,          
4.50%, 4/4/22     2,800    2,939 
5.63%, 4/4/42     3,800    5,089 
         8,028 
Saudi Arabia (1.9%)          
Sovereign (1.9%)          
Saudi Government International Bond,          
4.38%, 4/16/29   1,538    1,804 
5.25%, 1/16/50 (a)   1,580    2,128 
         3,932 
Senegal (0.5%)          
Sovereign (0.5%)          
Senegal Government International Bond,          
6.25%, 5/23/33 (a)   1,140    1,128 
           
South Africa (1.2%)          
Sovereign (1.2%)          
Eskom Holdings SOC Ltd.,          
6.75%, 8/6/23     550    508 
7.13%, 2/11/25   1,210    1,110 
8.45%, 8/10/28 (a)   840    776 
         2,394 
Sri Lanka (0.9%)          
Sovereign (0.9%)          
Sri Lanka Government International Bond,          
6.20%, 5/11/27   2,250    1,552 
7.55%, 3/28/30   440    304 
         1,856 
Turkey (2.4%)                
Sovereign  (2.4%)                
Turkey Government International Bond,                
4.88%, 4/16/43     1,300       972  
5.63%, 3/30/21     1,350       1,360  
6.88%, 3/17/36     1,000       940  
7.25%, 12/23/23     1,580       1,633  
              4,905  

 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

Ukraine  (2.3%)                
Sovereign  (2.3%)                
Ukraine Government International Bond,
7.75%, 9/1/23 – 9/1/26		     4,730       4,770  
United Arab Emirates  (2.0%)                
Corporate Bond  (0.5%)                
DP World Crescent Ltd.,                
4.85%, 9/26/28     930       1,032  
Sovereign  (1.5%)                
Abu Dhabi Government International Bond,                
2.50%, 9/30/29 (a)     1,950       2,088  
3.13%, 5/3/26     1,031       1,135  
              3,223  
              4,255  
Uruguay  (1.6%)                
Sovereign  (1.6%)                
Uruguay Government International Bond,                
4.38%, 10/27/27     1,260       1,460  
5.10%, 6/18/50     1,385       1,869  
              3,329  
Venezuela  (0.2%)                
Sovereign  (0.2%)                
Petroleos de Venezuela SA,                
6.00%, 11/15/26 (b)(c)     15,570       467  
Total Fixed Income Securities (Cost $202,103)             195,631  
 
      No. of
Warrants		          
Warrants  (0.0%)                
Nigeria  (0.0%)                
Central Bank of Nigeria Bond, expires 11/15/20       2,250       8  
Venezuela  (0.0%)                
Venezuela Government International Bond, Oil-Linked Payment Obligation, expires 4/15/20 (g)     5,450       12  
Total Warrants (Cost $—)             20  

 

    Shares        
Short-Term Investments (6.3%)            
Securities held as Collateral on Loaned Securities (1.2%)                
Investment Company (1.0%)                
Morgan Stanley Institutional Liquidity Funds -Treasury Securities Portfolio - Institutional Class (h) (Cost $2,026)     2,026,386       2,026  

 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

      Face
Amount
(000)		          
Repurchase Agreements (0.2%)                
Barclays Capital, Inc., (0.06%, dated 9/30/20, due 10/1/20; proceeds $307; fully collateralized by a U.S. Government obligation; 2.13% due 5/15/22; valued at $312)   $ 307       307  
Merrill Lynch & Co., Inc., (0.05%, dated 9/30/20, due 10/1/20; proceeds $38; fully collateralized by U.S. Government obligations; 1.50% due 10/31/24; valued at $39)     38       38  
Merrill Lynch & Co., Inc., (0.06%, dated 9/30/20, due 10/1/20; proceeds $118; fully collateralized by U.S. Government obligations; 1.50% due 10/31/24; valued at $120)     118       118  
              463  
Total Securities held as Collateral on Loaned Securities (Cost $2,489)             2,489  

 

      Shares          
Investment Company (4.1%)                
Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class (h) (Cost $8,570)     8,569,747       8,570  
                 
      Face
Amount
(000)		          
Egypt (1.0%)                
Sovereign (1.0%)                
Egypt Treasury Bills,                
13.60%, 3/2/21   EGP 3,375       204  
13.65%, 3/2/21     5,600       339  
13.66%, 3/2/21     8,400       508  
13.68%, 3/2/21     12,050       729  
13.69%, 3/2/21     5,625       340  
13.70%, 3/2/21     850       51  
Total Sovereign (Cost $2,141)             2,171  
Total Short-Term Investments (Cost $13,200)             13,230  
Total Investments (100.0%) (Cost $215,303) Including $2,847 of Securities Loaned (i)(j)(k)             208,881  
Liabilities in Excess of Other Assets             (3,907 )
Net Assets           $ 204,974  

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

Country assignments and aggregations are based generally on third party vendor classifications and information, and may be different from the assignments and aggregations under the policies set forth in the Fund's prospectus and/or statement of additional information relating to geographic classifications.

 

 

 
(a) 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(b) Issuer in bankruptcy.
(c) Non-income producing security; bond in default.
(d) Multi-step — Coupon rate changes in predetermined increments to maturity. Rate disclosed is as of September 30, 2020. Maturity date disclosed is the ultimate maturity date.
(e) All or a portion of this security was on loan. The value of loaned securities and related collateral outstanding at September 30, 2020, were approximately $2,847,000 and $2,901,000, respectively. The Fund received cash collateral of approximately $2,489,000 which was subsequently invested in Repurchase Agreements and Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class as reported in the Portfolio of Investments. The remaining collateral of approximately $412,000 was received in the form of U.S. Government obligations, which the Fund cannot sell or re-pledge and accordingly are not reflected in the Portfolio of Investments. The Fund has the right under the securities lending agreement to recover the securities from the borrower on demand.
(f) When-issued security.
(g) Perpetual maturity date. Date disclosed is the last expiration date.
(h) The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - (the "Liquidity Funds"), an open-end management investment company managed by the Adviser, both directly and as a portion of the securities held as collateral on loaned securities. Advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Funds. For the nine months ended September 30, 2020, advisory fees paid were reduced by approximately $12,000 relating to the Fund's investment in the Liquidity Funds.
(i) Securities are available for collateral in connection with an open foreign currency forward exchange contract.
(j) The Fund is permitted to purchase and sell securities ("cross-trade") from and to other Morgan Stanley Funds as well as other funds and client accounts for which the Adviser or an affiliate of the Adviser serves as investment adviser, pursuant to procedures approved by the Directors in compliance with Rule 17a-7 under the Act (the "Rule"). Each cross-trade is executed at the current market price in compliance with provisions of the Rule. For the nine months ended September 30, 2020, the Fund did not engage in any cross-trade transactions.
(k) At September 30, 2020, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $13,444,000 and the aggregate gross unrealized depreciation is approximately $19,845,000, resulting in net unrealized depreciation of approximately $6,401,000.
 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2020 (unaudited)(cont’d)

 

Foreign Currency Forward Exchange Contract:

 

The Fund had the following foreign currency forward exchange contract open at September 30, 2020:

 
Counterparty  Contracts
to
Deliver
(000)		    In
Exchange
For
(000)		   Delivery
Date		   Unrealized
Appreciation
(000)		 
UBS AG  EUR   2,050   $2,428   12/9/20  $21 

 

DOP   —   Dominican Peso
EGP   —   Egyptian Pound
EUR   —   Euro
MXN   —   Mexican Peso

 

 

 

 

Portfolio Composition*
Classification     Percentage of
Total Investments		  
Sovereign     86.9 %
Corporate Bonds     7.9  
Short-Term Investments     5.2  
Other**     0.0  
Total Investments     100.0 %***

 

 

 

* Percentages indicated are based upon total investments (excluding Securities held as Collateral on Loaned Securities) as of September 30, 2020.
** Amount is less than 0.05%.
*** Does not include an open foreign currency forward exchange contract with unrealized appreciation of approximately $21,000.

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

 

Notes to the Portfolio of Investments ▪ September 30, 2020 (unaudited)

 

Security Valuation: (1) Bonds and other fixed income securities may be valued according to the broadest and most representative market. In addition, bonds and other fixed income securities may be valued on the basis of prices provided by a pricing service/vendor. The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads and/or other market data and specific security characteristics. Alternatively, if a valuation is not available from an outside pricing service/vendor, and the security trades on an exchange, the security may be valued at its latest reported sale price (or at the exchange official closing price if such exchange reports an official closing price), prior to the time when assets are valued. If there are no sales on a given day and if there is no official exchange closing price for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available in the relevant exchanges. If only bid prices are available then the latest bid price may be used. If Morgan Stanley Investment Management Inc. (the “Adviser”) determines that the price provided by the outside pricing service/vendor or exchange does not reflect the security’s fair value or is unable to provide a price, prices from brokers or dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from brokers or dealers; (2) an equity portfolio security listed or traded on an exchange is valued at its latest reported sales price (or at the exchange official closing price if such exchange reports an official closing price), and if there were no sales on a given day and if there is no official exchange closing price for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available on the relevant exchanges. If only bid prices are available then the latest bid price may be used. Listed equity securities not traded on the valuation date with no reported bid and asked prices available on the exchange are valued at the mean between the current bid and asked prices obtained from one or more reputable brokers or dealers. In cases where a security is traded on more than one exchange, the security is valued on the exchange designated as the primary market; (3) when market quotations are not readily available, including circumstances under which the Adviser determines that the closing price, last sale price or the mean between the last reported bid and asked prices are not reflective of a security’s market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund's Board of Directors (the "Directors"). Occasionally, developments affecting the closing prices of securities and other assets may occur between the times at which valuations of such securities are determined (that is, close of the foreign market on which the securities trade) and the close of business of the New York Stock Exchange (“NYSE”). If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Directors or by the Adviser using a pricing service and/or procedures approved by the Directors; (4) quotations of foreign portfolio securities, other assets and liabilities and forward contracts stated in foreign currency are translated into U.S. dollar equivalents at the prevailing market rates prior to the close of the NYSE; and (5) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day.

 

The Directors have responsibility for determining in good faith the fair value of the investments, and the Directors may appoint others, such as the Fund's Adviser or a valuation committee, to assist the Directors in determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Directors. Under procedures approved by the Directors, the Fund's Adviser has formed a Valuation Committee whose members are approved by the Directors. The Valuation Committee provides administration and oversight of the Fund’s valuation policies and procedures, which are reviewed at least annually by the Directors. These procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. 

 

 

 

 

Fair Value Measurement: FASB Accounting Standards CodificationTM ("ASC") 820, "Fair Value Measurement" (“ASC 820”), defines fair value as the value that the Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The inputs are summarized in the three broad levels listed below: 

 

• Level 1 – unadjusted quoted prices in active markets for identical investments 

 

• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) 

 

• Level 3 – significant unobservable inputs including the Fund’s own assumptions in determining the fair value of investments. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer's financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

 

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

 

 

 

 

The following is a summary of the inputs used to value the Fund's investments as of September 30, 2020:

 

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

 

Investment Type   Level 1
Unadjusted
quoted
prices
(000)		     Level 2
Other
significant
observable
inputs
(000)		     Level 3
Significant
unobservable
inputs
(000)		     Total
(000)		  
Assets:
Fixed Income Securities                                
Corporate Bonds   $ —     $ 16,360     $ —     $ 16,360  
Sovereign     —       179,271       —       179,271  
Total Fixed Income Securities     —       195,631       —       195,631  
Warrants     —       20       —       20  
Short-Term Investments                                
Investment Company     10,596       —       —       10,596  
Repurchase Agreements     —       463       —       463  
Sovereign     —       2,171       —       2,171  
Total Short-Term Investments     10,596       2,634       —       13,230  
Foreign Currency Forward Exchange Contract     —       21       —       21  
Total Assets   $ 10,596     $ 198,306     $ —     $ 208,902