NPORT-EX 2 NPORT_MGGA_70666706_0921.htm

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

September 30, 2021 (unaudited)

(Showing Percentage of Total Value of Investments)

 

   Face
Amount
(000)		   Value
(000)		 
Fixed Income Securities  (93.6%)          
Angola  (1.2%)          
Sovereign  (1.2%)          
Angolan Government International Bond,          
8.00%, 11/26/29  (a)  $1,400   $1,437 
9.38%, 5/8/48  (a)   1,010    1,046 
         2,483 
Argentina  (1.1%)          
Sovereign  (1.1%)          
Argentine Republic Government International Bond,          
0.50%, 7/9/30  (b)   887    327 
1.00%, 7/9/29   167    64 
1.13%, 7/9/35  (b)   1,625    536 
2.00%, 1/9/38  (b)   3,840    1,499 
         2,426 
Armenia  (0.5%)          
Sovereign  (0.5%)          
Republic of Armenia International Bond,          
3.60%, 2/2/31   500    474 
3.95%, 9/26/29   550    538 
         1,012 
Azerbaijan  (0.9%)          
Sovereign  (0.9%)          
Republic of Azerbaijan International Bond,          
3.50%, 9/1/32   1,928    1,971 
           
Bahrain  (0.7%)          
Sovereign  (0.7%)          
Bahrain Government International Bond,          
7.50%, 9/20/47   1,445    1,492 
           
Belarus  (0.5%)          
Sovereign  (0.5%)          
Republic of Belarus International Bond,          
6.20%, 2/28/30 (a)   400   354 
Republic of Belarus Ministry of Finance,          
6.38%, 2/24/31 (a)   710    627 
         981 
Brazil  (3.4%)          
Corporate Bonds  (1.0%)          
Braskem Netherlands Finance BV,          
4.50%, 1/31/30 (a)   1,150    1,225 
MARB BondCo PLC,          
3.95%, 1/29/31 (a)   660    631 
Suzano Austria GmbH,          
3.75%, 1/15/31   225    232 
         2,088 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

Sovereign  (2.4%)          
Brazilian Government International Bond,          
 3.88%, 6/12/30   590    573 
 4.50%, 5/30/29   470    483 
 5.00%, 1/27/45   2,288    2,141 
 6.00%, 4/7/26   1,610    1,851 
         5,048 
         7,136 
Chile  (1.9%)          
Corporate Bond  (0.5%)          
Colbun SA,          
 3.15%, 3/6/30 (a)   1,110    1,144 
           
Sovereign  (1.4%)          
Chile Government International Bond,          
 3.50%, 1/25/50   1,570    1,572 
 3.86%, 6/21/47   250    269 
Empresa Nacional del Petroleo,          
 4.75%, 12/6/21   1,102    1,110 
         2,951 
         4,095 
China  (3.4%)          
Sovereign  (3.4%)          
Sinopec Group Overseas Development 2012 Ltd.,          
 4.88%, 5/17/42   970    1,205 
Sinopec Group Overseas Development 2013 Ltd.,          
 4.38%, 10/17/23   3,040    3,251 
Sinopec Group Overseas Development 2018 Ltd.,          
 2.95%, 11/12/29 (a)(c)   1,770    1,857 
Three Gorges Finance I Cayman Islands Ltd.,          
 3.70%, 6/10/25 (a)   780    839 
         7,152 
Colombia  (2.2%)          
Corporate Bond  (0.1%)          
Termocandelaria Power Ltd.,          
 7.88%, 1/30/29 (a)   296    309 
           
Sovereign  (2.1%)          
Colombia Government International Bond,          
 3.00%, 1/30/30  (c)   1,531    1,450 
 4.13%, 5/15/51   1,000    861 
 5.00%, 6/15/45   2,230    2,182 
         4,493 
         4,802 
Costa Rica  (0.7%)          
Sovereign  (0.7%)          
Costa Rica Government International Bond,          
 6.13%, 2/19/31  (a)   505    519 
 7.00%, 4/4/44   340    337 
 7.16%, 3/12/45   710    713 
         1,569 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

Croatia  (0.3%)           
Sovereign  (0.3%)           
Croatia Government International Bond,           
 6.00%, 1/26/24    480    536 
            
Dominican Republic  (4.1%)           
Sovereign  (4.1%)           
Dominican Republic International Bond,           
 4.88%, 9/23/32  (a)    710    726 
 5.30%, 1/21/41  (a)    550    545 
 5.88%, 1/30/60  (a)    1,190    1,167 
 5.88%, 1/30/60    500    491 
 6.00%, 7/19/28  (a)    560    634 
 6.85%, 1/27/45  (a)    1,252    1,401 
 6.88%, 1/29/26  (a)    1,605    1,858 
 7.45%, 4/30/44  (a)    666    796 
 9.75%, 6/5/26  (a)  DOP 48,050    1,034 
          8,652 
Ecuador  (2.0%)           
Sovereign  (2.0%)           
Ecuador Government International Bond,           
 0.00%, 7/31/30  (a)  $ 351    189 
 0.50%, 7/31/40  (a)(b)    1,421    831 
 0.50%, 7/31/40  (b)    522    305 
 1.00%, 7/31/35  (a)(b)    2,302    1,528 
 1.00%, 7/31/35  (b)    550    365 
 5.00%, 7/31/30  (a)(b)    1,184    997 
          4,215 
Egypt  (4.9%)           
Sovereign  (4.9%)           
Egypt Government Bond,           
 13.77%, 1/5/24  EGP 29,270    1,852 
 14.06%, 1/12/26    18,950    1,199 
Egypt Government International Bond,           
 4.75%, 4/16/26  EUR 480    560 
 5.25%, 10/6/25  (a)  $ 710    725 
 5.80%, 9/30/27  (a)  EUR 1,190    1,171 
 6.38%, 4/11/31  (a)  $ 1,610    1,834 
 7.50%, 2/16/61  (a)    1,030    907 
 7.90%, 2/21/48  (a)    490    449 
 8.15%, 11/20/59  (a)    1,260    1,166 
 8.88%, 5/29/50  (a)    430    427 
          10,290 
El Salvador  (0.7%)           
Sovereign  (0.7%)           
El Salvador Government International Bond,           
 6.38%, 1/18/27    1,785    1,339 
 8.63%, 2/28/29  (a)    250    192 
          1,531 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

Gabon  (0.4%)          
Sovereign  (0.4%)          
Republic of Gabon,          
 6.95%, 6/16/25 (a)   740    803 
           
Ghana  (1.3%)          
Sovereign  (1.3%)          
Ghana Government International Bond,          
 8.63%, 6/16/49  (a)   690    620 
 8.88%, 5/7/42  (a)   910    849 
 8.95%, 3/26/51  (a)   1,340    1,225 
         2,694 
Guatemala  (0.9%)          
Sovereign  (0.9%)          
Guatemala Government Bond,          
 4.88%, 2/13/28   970    1,050 
 6.13%, 6/1/50  (a)   380    439 
Republic of Guatemala,          
 4.65%, 10/7/41   400    390 
         1,879 
Honduras  (0.1%)          
Sovereign  (0.1%)          
Honduras Government International Bond,          
 5.63%, 6/24/30 (a)   230    240 
           
Hungary  (1.0%)          
Sovereign  (1.0%)          
Hungary Government International Bond,          
 5.38%, 3/25/24   1,250    1,389 
 7.63%, 3/29/41   454    758 
         2,147 
India  (0.4%)          
Sovereign  (0.4%)          
Export-Import Bank of India,          
 3.38%, 8/5/26 (a)   800    850 
           
Indonesia  (5.6%)          
Sovereign  (5.6%)          
Indonesia Government International Bond,          
 3.85%, 7/18/27   450    500 
 4.13%, 1/15/25   2,670    2,927 
 4.45%, 4/15/70   700    801 
 4.75%, 1/8/26  (a)   1,360    1,546 
 5.13%, 1/15/45  (a)   1,014    1,230 
 5.35%, 2/11/49  (c)   200    258 
 5.88%, 1/15/24   1,360    1,517 
Pertamina Persero PT,          
 4.30%, 5/20/23   1,100    1,159 
 6.45%, 5/30/44  (a)   310    406 
 6.50%, 11/7/48  (a)   1,070    1,423 
         11,767 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

Ivory Coast  (0.4%)           
Sovereign  (0.4%)           
Ivory Coast Government International Bond,           
 4.88%, 1/30/32 (a)  EUR 780    882 
            
Jamaica  (0.8%)           
Sovereign  (0.8%)           
Jamaica Government International Bond,           
 7.88%, 7/28/45  $ 740    1,029 
 8.00%, 3/15/39    420    584 
          1,613 
Jordan  (0.5%)           
Sovereign  (0.5%)           
Jordan Government International Bond,           
 7.38%, 10/10/47 (a)    950    988 
            
Kazakhstan  (1.8%)           
Sovereign  (1.8%)           
Kazakhstan Government International Bond,           
 5.13%, 7/21/25  (a)    520    598 
 5.13%, 7/21/25    1,100    1,266 
 6.50%, 7/21/45    430    623 
KazMunayGas National Co., JSC,           
 6.38%, 10/24/48 (a)    1,070    1,379 
          3,866 
Kenya  (0.8%)           
Sovereign  (0.8%)           
Kenya Government International Bond,           
 8.00%, 5/22/32 (a)    1,440    1,596 
            
Lebanon  (0.3%)           
Sovereign  (0.3%)           
Lebanon Government International Bond,           
6.85%, 3/23/27 – 5/25/29 (d)(e)    3,490    587 
            
Luxembourg  (0.2%)           
Corporate Bond  (0.2%)           
Millicom International Cellular SA,           
 4.50%, 4/27/31 (a)    384    402 
            
Malaysia  (1.4%)           
Sovereign  (1.4%)           
Petronas Capital Ltd.,           
 3.50%, 3/18/25 – 4/21/30    2,810    3,037 
            
Mexico  (7.4%)           
Corporate Bond  (0.3%)           
Cemex SAB de CV,           
 5.13%, 6/8/26 (a)(f)    520    530 
            
Sovereign  (7.1%)           
Banco Nacional de Comercio Exterior SNC,           
 2.72%, 8/11/31 (a)    800    805 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

Mexican Bonos,           
 Series M           
 7.75%, 5/29/31  MXN 39,900    1,983 
Mexico Government International Bond,           
 3.75%, 1/11/28 – 4/19/71  $ 1,250    1,297 
 4.15%, 3/28/27  (c)    1,822    2,058 
 4.50%, 4/22/29    470    529 
Petroleos Mexicanos,           
 6.35%, 2/12/48    679    575 
 6.84%, 1/23/30    2,213    2,289 
 6.88%, 10/16/25  (a)    745    817 
 6.95%, 1/28/60    718    628 
 7.69%, 1/23/50    4,250    4,030 
          15,011 
          15,541 
Mongolia  (0.6%)           
Sovereign  (0.6%)           
Mongolia Government International Bond,           
 4.45%, 7/7/31  (a)    530    515 
 5.13%, 4/7/26  (a)    310    326 
 5.63%, 5/1/23    506    532 
          1,373 
Morocco  (0.4%)           
Sovereign  (0.4%)           
Morocco Government International Bond,           
 4.00%, 12/15/50 (a)    820    750 
            
Nigeria  (2.9%)           
Corporate Bond  (0.6%)           
IHS Netherlands Holdco BV,           
 8.00%, 9/18/27 (a)    1,100    1,178 
            
Sovereign  (2.3%)           
Nigeria Government International Bond,           
 6.38%, 7/12/23    530    560 
 6.50%, 11/28/27  (a)    870    904 
 7.14%, 2/23/30  (a)    1,420    1,452 
 7.38%, 9/28/33  (a)    220    222 
 8.25%, 9/28/51  (a)    490    495 
 9.25%, 1/21/49  (a)    1,200    1,309 
          4,942 
          6,120 
Oman  (3.1%)           
Sovereign  (3.1%)           
Oman Government International Bond,           
 6.00%, 8/1/29  (a)(c)    2,950    3,110 
 6.25%, 1/25/31  (a)    3,280    3,516 
          6,626 
Panama  (2.1%)           
Corporate Bond  (0.2%)           
AES Panama Generation Holdings SRL,           
 4.38%, 5/31/30 (a)    500    516 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

Sovereign  (1.9%)           
Panama Government International Bond,           
 3.87%, 7/23/60    550    540 
 4.00%, 9/22/24    2,084    2,238 
 4.50%, 4/1/56    810    884 
 8.88%, 9/30/27    278    380 
          4,042 
          4,558 
Paraguay  (1.2%)           
Sovereign  (1.2%)           
Paraguay Government International Bond,           
 4.95%, 4/28/31  (a)    710    804 
 5.40%, 3/30/50  (a)    1,260    1,452 
 6.10%, 8/11/44  (a)    200    244 
          2,500 
Peru  (2.4%)           
Corporate Bonds  (0.4%)           
Fondo MIVIVIENDA SA,           
 3.50%, 1/31/23 (a)    491    505 
Intercorp Peru Ltd.,           
 3.88%, 8/15/29    440    430 
          935 
Sovereign  (2.0%)           
Corporación Financiera de Desarrollo SA,           
 5.25%, 7/15/29 (a)    978    1,025 
Peruvian Government International Bond,           
 5.63%, 11/18/50  (c)    850    1,154 
 6.55%, 3/14/37    1,550    2,096 
          4,275 
          5,210 
Philippines  (2.0%)           
Sovereign  (2.0%)           
Philippine Government International Bond,           
 3.95%, 1/20/40    720    787 
 9.50%, 2/2/30    2,200    3,414 
          4,201 
Poland  (0.5%)           
Sovereign  (0.5%)           
Republic of Poland Government International Bond,           
 3.00%, 3/17/23    1,094    1,136 
            
Qatar  (3.4%)           
Sovereign  (3.4%)           
Qatar Government International Bond,           
 3.75%, 4/16/30  (a)    1,165    1,314 
 4.00%, 3/14/29    710    809 
 4.82%, 3/14/49  (a)    3,460    4,459 
 4.82%, 3/14/49    490    631 
          7,213 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

Romania  (1.4%)           
Sovereign  (1.4%)           
Romanian Government International Bond,           
 1.75%, 7/13/30  (a)  EUR 420    477 
 2.00%, 4/14/33    420    465 
 4.00%, 2/14/51  $ 1,100    1,100 
 4.38%, 8/22/23    160    171 
 4.88%, 1/22/24    650    707 
          2,920 
Russia  (3.7%)           
Sovereign  (3.7%)           
Russian Foreign Bond - Eurobond,           
 4.50%, 4/4/22    2,400    2,447 
 5.63%, 4/4/42    4,200    5,451 
          7,898 
Saudi Arabia  (2.8%)           
Corporate Bond  (0.5%)           
SA Global Sukuk Ltd.,           
 2.69%, 6/17/31 (a)    1,040    1,051 
            
Sovereign  (2.3%)           
Saudi Government International Bond,           
 3.45%, 2/2/61  (a)    1,070    1,053 
 4.38%, 4/16/29    1,538    1,775 
 5.25%, 1/16/50  (a)    1,580    2,048 
          4,876 
          5,927 
Senegal  (0.6%)           
Sovereign  (0.6%)           
Senegal Government International Bond,           
 6.25%, 5/23/33 (a)    1,140    1,191 
            
Serbia  (0.2%)           
Sovereign  (0.2%)           
Serbia International Bond,           
 2.13%, 12/1/30 (a)    400    375 
            
South Africa  (1.4%)           
Sovereign  (1.4%)           
Eskom Holdings SOC Ltd.,           
 8.45%, 8/10/28    929    1,031 
Republic of South Africa Government International Bond,           
 4.30%, 10/12/28    2,000    2,015 
          3,046 
Sri Lanka  (1.5%)           
Sovereign  (1.5%)           
Sri Lanka Government International Bond,           
 6.20%, 5/11/27    2,250    1,385 
 7.55%, 3/28/30    2,740    1,680 
          3,065 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

Turkey  (3.4%)           
Sovereign  (3.4%)           
Hazine Mustesarligi Varlik Kiralama AS,           
 5.13%, 6/22/26 (a)(c)    920    911 
Turkey Government International Bond,           
 4.88%, 4/16/43  (c)    1,300    1,014 
 5.75%, 3/22/24    2,140    2,193 
 5.88%, 6/26/31    1,070    1,007 
 6.38%, 10/14/25    1,080    1,111 
 6.88%, 3/17/36    1,000    974 
          7,210 
Ukraine  (2.4%)           
Sovereign  (2.4%)           
Ukraine Government International Bond,           
 7.75%, 9/1/23 – 9/1/26    4,730    5,106 
            
United Arab Emirates  (3.3%)           
Corporate Bond  (0.6%)           
Galaxy Pipeline Assets Bidco Ltd.,           
 3.25%, 9/30/40 (a)    1,265    1,278 
            
Sovereign  (2.7%)           
Abu Dhabi Government International Bond,           
 2.50%, 9/30/29  (a)    1,950    2,039 
 2.70%, 9/2/70  (a)    1,000    897 
3.13%, 5/3/26 – 4/16/30    1,531    1,660 
DP World Crescent Ltd.,           
 4.85%, 9/26/28    930    1,063 
          5,659 
          6,937 
Uruguay  (1.5%)           
Sovereign  (1.5%)           
Uruguay Government International Bond,           
 4.38%, 10/27/27    1,260    1,448 
 5.10%, 6/18/50    1,385    1,766 
          3,214 
Uzbekistan  (0.3%)           
Sovereign  (0.3%)           
Republic of Uzbekistan Bond,           
 3.70%, 11/25/30 (a)    550    534 
            
Venezuela  (0.4%)           
Sovereign  (0.4%)           
Petroleos de Venezuela SA,           
 6.00%, 11/15/26 (d)(e)    15,570    934 
            
Zambia  (0.3%)           
Sovereign  (0.3%)           
Zambia Government International Bond,           
 5.38%, 9/20/22    865    652 
 Total Fixed Income Securities (Cost $203,771)         197,931 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

    No. of
Warrants		      
Warrant  (0.0%)          
Venezuela  (0.0%)          
Venezuela Government International Bond, Oil-Linked Payment Obligation, expires 4/15/20 (g) (Cost $—)   5,450    12 

 

    Shares      
Short-Term Investments  (6.4%)          
Securities held as Collateral on Loaned Securities  (2.2%)          
Investment Company  (1.8%)          
Morgan Stanley Institutional Liquidity Funds -  Treasury Securities Portfolio - Institutional Class (h)   3,752,787    3,753 

 

    Face
Amount
(000)		      
Repurchase Agreements  (0.4%)          
HSBC Securities USA, Inc., (0.05%, dated 9/30/21, due 10/1/21; proceeds $196; fully collateralized by U.S. Government obligations; 0.00% - 0.13% due 10/7/21-12/31/22; valued at $200)  $196    196 
Merrill Lynch & Co., Inc., (0.05%, dated 9/30/21, due 10/1/21; proceeds $667; fully collateralized by a U.S. Government obligation; 0.38% due 4/15/24; valued at $680)   667    667 
         863 

Total Securities Held as Collateral on Loan Securities
(Cost $4,616)

        4,616 

 

 

    Shares      
Investment Company  (3.6%)          
Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class  (h) (Cost $7,652)   7,651,564    7,652 

 

    Face
Amount
(000)		      
Egypt  (0.6%)          
Sovereign  (0.6%)          
Egypt Treasury Bill,          
12.95%, 9/13/22 (Cost $1,180)  EGP20,800    1,185 
Total Short-Term Investments (Cost $13,448)        13,453 
Total Investments (100.0%) (Cost $217,219) Including $8,434 of Securities Loaned (i)(j)(k)        211,396 
Liabilities in Excess of Other Assets        (5,645)
Net Assets       $205,751 

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

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) Multi-step – Coupon rate changes in predetermined increments to maturity. Rate disclosed is as of September 30, 2021. Maturity date disclosed is the ultimate maturity date.
(c) All or a portion of this security was on loan. The value of loaned securities and related collateral outstanding at September 30, 2021, were approximately $8,434,000 and $8,627,000, respectively. The Fund received cash collateral of approximately $4,639,000 of which approximately $4,616,000 was subsequently invested in a Repurchase Agreement and Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class as reported in the Portfolio of Investments.  At September 30, 2021, there was uninvested cash collateral of approximately $23,000, which is not reflected in the Portfolio of Investments.  The remaining collateral of approximately $3,988,000 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.
(d) Issuer in bankruptcy.
(e) Non-income producing security; bond in default.
(f) Perpetual – One or more securities do not have a predetermined maturity date. Rates for these securities are fixed for a period of time, after which they revert to a floating rate. Interest rates in effect are as of September 30, 2021.
(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, 2021, advisory fees paid were reduced by approximately $2,000 relating to the Fund's investment in the Liquidity Funds.
(i) Securities are available for collateral in connection with purchase of 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, 2021, the Fund did not engage in any cross-trade transactions.
(k) At September 30, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $11,198,000 and the aggregate gross unrealized depreciation is approximately $16,979,000, resulting in net unrealized depreciation of approximately $5,781,000.

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

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

(Showing Percentage of Total Value of Investments)

 

Foreign Currency Forward Exchange Contracts:

 

The Fund had the following foreign currency forward exchange contracts open at September 30, 2021:

 

Counterparty  Contracts
to
Deliver
(000)		  In
Exchange
For
(000)		  Delivery
Date		  Unrealized
Appreciation
(Depreciation)
(000)		 
BNP Paribas SA  $529  EUR450  11/22/21  $(7)
Citibank NA  MXN21,600  $1,047  11/22/21   8 
JPMorgan Chase Bank NA  EUR4,300  $5,027  11/22/21   41 
              $42 

 

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

 

 

 

 

Portfolio Composition*

 

Classification  Percentage of
Total Investments		 
Sovereign   91.2%
Other**   8.8 
Total Investments   100.0%***

 

 

* Percentages indicated are based upon total investments (excluding Securities held as Collateral on Loaned Securities) as of September 30, 2021.
** Industries and/or investment types representing less than 5% of total investments.
*** Does not include open foreign currency forward exchange contracts with net unrealized appreciation of approximately $42,000.

 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

 

Notes to the Portfolio of Investments ▪ September 30, 2021 (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: Financial Accounting Standards Board (“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, 2021:

 

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  $—   $9,431   $—   $9,431 
Sovereign   —    188,500    —    188,500 
Total Fixed Income Securities   —    197,931    —    197,931 
Warrant   —    12    —    12 
Short-Term Investments                    
Investment Company   11,405    —    —    11,405 
Repurchase Agreements   —    863    —    863 
Sovereign   —    1,185    —    1,185 
Total Short-Term Investments   11,405    2,048    —    13,453 
Foreign Currency Forward Exchange Contracts   —    49    —    49 
Total Assets   11,405    200,040    —    211,445 
Liabilities:                    
Foreign Currency Forward Exchange Contract   —    (7)   —    (7)
Total  $11,405   $200,033   $—   $211,438 

 

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