MSD Morgan Stanley Emerging Market Debt Fund Inc

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments

(Showing Percentage of Total Value of Investments)

 

		Face Amount (000)				Value (000)
Fixed Income Securities (93.0%)
Albania (2.0%)
Sovereign (2.0%)
Albania Government International Bond,
3.50%, 11/23/31		EUR	539			$	524
5.90%, 6/9/28			2,413				2,680
							3,204
Angola (0.6%)
Sovereign (0.6%)
Angolan Government International Bond,
8.75%, 4/14/32		$	1,100				1,014
Argentina (1.1%)
Sovereign (1.1%)
Argentine Republic Government International Bond,
3.50%, 7/9/41 (a)			1,000				405
3.63%, 7/9/35 (a)			1,500				626
4.25%, 1/9/38 (a)			1,400				652
							1,683
Bahamas (0.3%)
Sovereign (0.3%)
Bahamas Government International Bond,
8.95%, 10/15/32			400				389
Bahrain (1.6%)
Sovereign (1.6%)
Bahrain Government International Bond,
5.45%, 9/16/32			1,000				919
5.63%, 5/18/34			800				723
7.00%, 10/12/28			900				928
							2,570
Barbados (0.7%)
Sovereign (0.7%)
Barbados Government International Bond,
6.50%, 10/1/29			1,129				1,074
Benin (2.3%)
Sovereign (2.3%)
Benin Government International Bond,
4.88%, 1/19/32		EUR	400				365
4.95%, 1/22/35			580				510
6.88%, 1/19/52			2,930				2,602
7.96%, 2/13/38		$	200				195
							3,672
Brazil (3.8%)
Corporate Bonds (3.8%)
3R Lux SARL,
9.75%, 2/5/31 (b)			570				597
Braskem Netherlands Finance BV,
8.50%, 1/23/81			704				706
Coruripe Netherlands BV,
10.00%, 2/10/27			1,050				953
FORESEA Holding SA,
7.50%, 6/15/30			1,100				1,035
Gol Finance SA 1 Month Term SOFR + 10.50%,
15.83%, 1/29/25 (b)(c)			133				129
MC Brazil Downstream Trading SARL,
7.25%, 6/30/31			941				853
MV24 Capital BV,
6.75%, 6/1/34			651				613
Samarco Mineracao SA,
9.50%, 6/30/31			1,279				1,155
							6,041
Cameroon (0.1%)
Sovereign (0.1%)
Republic of Cameroon International Bond,
5.95%, 7/7/32		EUR	213				178
Chile (2.0%)
Corporate Bonds (1.2%)
AES Andes SA,
6.30%, 3/15/29 (b)		$	267				270
7.13%, 3/26/79			1,170				1,159
Liberty Latin America Ltd.,
2.00%, 7/15/24			388				379
							1,808
Sovereign (0.8%)
Chile Government International Bond,
2.55%, 7/27/33			1,100				896
3.50%, 1/25/50			600				439
							1,335
							3,143

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments (cont'd)

(Showing Percentage of Total Value of Investments)

 

		Face Amount (000)				Value (000)
China (1.2%)
Corporate Bonds (1.2%)
China Oil & Gas Group Ltd.,
4.70%, 6/30/26		$	500			$	427
KWG Group Holdings Ltd.,
7.88%, 8/30/24 (d)(e)			654				49
Longfor Group Holdings Ltd.,
3.85%, 1/13/32			338				146
Shimao Group Holdings Ltd.,
5.60%, 7/15/26 (d)(e)			1,783				57
Sunac China Holdings Ltd., PIK
1.00%, 9/30/32 (d)(e)(f)			123				8
6.00%, 9/30/26 (d)(e)(f)			99				11
6.25%, 9/30/27 (d)(e)(f)			99				11
6.50%, 9/30/27 (d)(e)(f)			199				18
6.75%, 9/30/28 (d)(e)(f)			298				22
7.00%, 9/30/29 (d)(e)(f)			298				21
7.25%, 9/30/30 (d)(e)(f)			140				10
Times China Holdings Ltd.,
5.55%, 6/4/24 (d)(e)			2,015				54
6.75%, 7/16/23 (d)(e)			410				13
Yuexiu REIT MTN Co. Ltd.,
2.65%, 2/2/26			1,241				1,100
							1,947
Colombia (2.2%)
Corporate Bonds (2.2%)
ABRA Global Finance
6.00% Cash, 5.50% PIK,
11.50%, 3/2/28 (b)(f)			354				327
Aris Mining Corp.,
6.88%, 8/9/26			900				812
Avianca Midco 2 PLC,
9.00%, 12/1/28			1,120				1,081
Bancolombia SA,
6.91%, 10/18/27			55				55
Canacol Energy Ltd.,
5.75%, 11/24/28			1,337				593
SierraCol Energy Andina LLC,
6.00%, 6/15/28			733				645
							3,513
Costa Rica (0.7%)
Corporate Bond (0.1%)
Liberty Costa Rica Senior Secured Finance,
10.88%, 1/15/31 (b)			118				124
Sovereign (0.6%)
Costa Rica Government International Bond,
6.55%, 4/3/34			1,000				1,037
							1,161
Dominican Republic (1.8%)
Sovereign (1.8%)
Dominican Republic International Bond,
4.88%, 9/23/32			900				808
5.88%, 1/30/60			200				171
5.95%, 1/25/27			400				399
6.00%, 7/19/28			200				199
6.85%, 1/27/45 (b)			900				894
7.45%, 4/30/44 (b)			400				422
							2,893
Ecuador (2.1%)
Corporate Bond (0.2%)
International Airport Finance SA,
12.00%, 3/15/33			190				202
Sovereign (1.9%)
Ecuador Government International Bond,
0.00%, 7/31/30			1,975				978
2.50%, 7/31/40 (a)			294				144
3.50%, 7/31/35 (a)			3,497				1,849
6.00%, 7/31/30 (a)			91				62
							3,033
							3,235
Egypt (7.0%)
Sovereign (7.0%)
Egypt Government International Bond,
4.75%, 4/16/26		EUR	480				488
5.25%, 10/6/25 (b)		$	440				424
5.63%, 4/16/30		EUR	2,012				1,784
5.75%, 5/29/24		$	400				399
6.38%, 4/11/31 (b)		EUR	1,136				1,019
6.88%, 4/30/40		$	121				89

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments (cont'd)

(Showing Percentage of Total Value of Investments)

 

		Face Amount (000)				Value (000)
Sovereign (cont'd)
7.05%, 1/15/32		$	466			$	387
7.50%, 2/16/61			500				360
7.60%, 3/1/29			200				185
7.63%, 5/29/32			200				171
7.90%, 2/21/48 (b)			1,117				850
8.15%, 11/20/59			200				153
8.50%, 1/31/47			2,416				1,923
8.70%, 3/1/49			1,063				862
8.75%, 9/30/51			648				526
8.88%, 5/29/50			1,739				1,433
							11,053
El Salvador (1.8%)
Sovereign (1.8%)
El Salvador Government International Bond,
5.88%, 1/30/25			889				855
6.38%, 1/18/27			998				872
7.63%, 2/1/41			560				410
7.65%, 6/15/35			40				30
8.25%, 4/10/32			840				699
							2,866
Ethiopia (1.9%)
Sovereign (1.9%)
Ethiopia International Bond,
6.63%, 12/11/24 (d)(e)			4,077				2,996
Gabon (0.3%)
Sovereign (0.3%)
Gabon Government International Bond,
6.95%, 6/16/25 (b)			400				393
Georgia (0.5%)
Corporate Bond (0.5%)
TBC Bank JSC,
10.78%, 10/3/24 (g)			740				742
Ghana (3.0%)
Corporate Bonds (0.9%)
Kosmos Energy Ltd.,
7.50%, 3/1/28			413				401
7.75%, 5/1/27			315				311
Tullow Oil PLC,
10.25%, 5/15/26			656				624
							1,336
Sovereign (2.1%)
Ghana Government International Bond,
6.38%, 2/11/27 (d)(e)			788				406
7.63%, 5/16/29 (d)(e)			400				207
7.75%, 4/7/29 (d)(e)			717				373
7.88%, 3/26/27 - 2/11/35 (d)(e)			738				381
8.13%, 1/18/26 - 3/26/32 (d)(e)			629				328
8.63%, 4/7/34 (d)(e)			859				443
8.63%, 6/16/49 (d)(e)			1,000				506
8.75%, 3/11/61 (d)(e)			610				313
8.88%, 5/7/42 (d)(e)			710				362
							3,319
							4,655
Guatemala (0.7%)
Sovereign (0.7%)
Guatemala Government Bond,
3.70%, 10/7/33			600				497
4.65%, 10/7/41 (b)			400				322
6.13%, 6/1/50 (b)			380				355
							1,174
Honduras (0.1%)
Sovereign (0.1%)
Honduras Government International Bond,
6.25%, 1/19/27			150				145
Hungary (1.7%)
Corporate Bonds (0.9%)
MBH Bank Nyrt,
8.63%, 10/19/27		EUR	493				563
OTP Bank Nyrt,
8.75%, 5/15/33		$	746				776
							1,339

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments (cont'd)

(Showing Percentage of Total Value of Investments)

 

		Face Amount (000)				Value (000)
Sovereign (0.8%)
Hungary Government International Bond,
2.13%, 9/22/31		$	600			$	477
6.25%, 9/22/32 (b)			800				833
							1,310
							2,649
India (1.6%)
Corporate Bonds (1.6%)
Azure Power Energy Ltd.,
3.58%, 8/19/26			783				709
Indiabulls Housing Finance Ltd.,
4.50%, 9/28/26			567				557
Vedanta Resources Finance II PLC,
13.88%, 1/21/27 - 12/9/28			1,384				1,272
							2,538
Indonesia (2.7%)
Corporate Bonds (0.6%)
LLPL Capital Pte. Ltd.,
6.88%, 2/4/39			766				767
Minejesa Capital BV,
5.63%, 8/10/37			218				199
							966
Sovereign (2.1%)
Indonesia Government International Bond,
4.70%, 2/10/34			2,107				2,062
5.10%, 2/10/54			1,176				1,141
							3,203
							4,169
Iraq (0.1%)
Sovereign (0.1%)
Iraq International Bond,
5.80%, 1/15/28			205				193
Ivory Coast (3.8%)
Sovereign (3.8%)
Ivory Coast Government International Bond,
4.88%, 1/30/32		EUR	300				280
6.63%, 3/22/48			2,867				2,529
6.88%, 10/17/40			1,000				936
8.25%, 1/30/37		$	2,154				2,165
							5,910
Jamaica (0.6%)
Corporate Bond (0.6%)
Digicel Intermediate Holdings Ltd./Digicel International Finance Ltd./Difl U.S., PIK,
12.00%, 5/25/27 (f)			1,000				984
Jordan (0.8%)
Sovereign (0.8%)
Jordan Government International Bond,
5.85%, 7/7/30			539				497
7.38%, 10/10/47			173				153
7.50%, 1/13/29			302				302
7.75%, 1/15/28			292				297
							1,249
Kazakhstan (0.4%)
Sovereign (0.4%)
Kazakhstan Government International Bond,
6.50%, 7/21/45			500				562
Kenya (2.6%)
Sovereign (2.6%)
Republic of Kenya Government International Bond,
8.00%, 5/22/32			1,196				1,124
9.75%, 2/16/31			2,950				3,028
							4,152
Kuwait (0.4%)
Sovereign (0.4%)
Kuwait International Government Bond,
3.50%, 3/20/27			720				699
Lebanon (0.1%)
Sovereign (0.1%)
Lebanon Government International Bond,
6.85%, 3/23/27 (d)(e)			1,960				133

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments (cont'd)

(Showing Percentage of Total Value of Investments)

 

		Face Amount (000)				Value (000)
Macedonia (2.3%)
Sovereign (2.3%)
North Macedonia Government International Bond,
1.63%, 3/10/28		EUR	2,252			$	2,117
6.96%, 3/13/27			1,333				1,509
							3,626
Mexico (3.2%)
Corporate Bonds (1.4%)
BBVA Bancomer SA,
5.13%, 1/18/33		$	550				512
8.45%, 6/29/38 (b)			220				232
Grupo Aeromexico SAB de CV,
8.50%, 3/17/27			420				417
Total Play Telecomunicaciones SA de CV,
7.50%, 11/12/25			1,285				998
							2,159
Sovereign (1.8%)
Mexico Government International Bond,
4.88%, 5/19/33			840				797
Petroleos Mexicanos,
6.84%, 1/23/30			1,456				1,285
6.88%, 8/4/26			803				780
							2,862
							5,021
Moldova (0.4%)
Corporate Bond (0.4%)
Aragvi Finance International DAC,
8.45%, 4/29/26			879				692
Montenegro (0.9%)
Sovereign (0.9%)
Montenegro Government International Bond,
2.88%, 12/16/27		EUR	276				273
7.25%, 3/12/31		$	1,137				1,158
							1,431
Morocco (0.6%)
Sovereign (0.6%)
Morocco Government International Bond,
3.00%, 12/15/32			500				402
4.00%, 12/15/50 (b)			820				562
							964
Nigeria (1.3%)
Corporate Bond (0.4%)
Access Bank PLC,
6.13%, 9/21/26			621				577
Sovereign (0.9%)
Nigeria Government International Bond,
7.38%, 9/28/33			686				589
8.25%, 9/28/51			1,003				824
							1,413
							1,990
Oman (1.7%)
Sovereign (1.7%)
Oman Government International Bond,
5.38%, 3/8/27			500				498
6.25%, 1/25/31			1,300				1,347
6.75%, 1/17/48			500				513
7.38%, 10/28/32			270				301
							2,659
Pakistan (0.4%)
Sovereign (0.4%)
Pakistan Government International Bond,
6.88%, 12/5/27			407				348
7.38%, 4/8/31			428				338
							686
Panama (2.8%)
Corporate Bonds (1.0%)
AES Panama Generation Holdings SRL,
4.38%, 5/31/30			1,375				1,194
Multibank, Inc.,
7.75%, 2/3/28 (b)			370				374
							1,568

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments (cont'd)

(Showing Percentage of Total Value of Investments)

 

		Face Amount (000)				Value (000)
Sovereign (1.8%)
Panama Government International Bond,
2.25%, 9/29/32		$	2,176			$	1,559
3.16%, 1/23/30			826				689
3.87%, 7/23/60			550				320
4.50%, 4/1/56			410				268
							2,836
							4,404
Papua New Guinea (0.5%)
Corporate Bond (0.5%)
Puma International Financing SA,
5.00%, 1/24/26			729				707
Paraguay (0.8%)
Corporate Bond (0.7%)
Frigorifico Concepcion SA,
7.70%, 7/21/28			1,152				1,011
Sovereign (0.1%)
Paraguay Government International Bond,
5.40%, 3/30/50 (b)			200				176
							1,187
Peru (1.3%)
Corporate Bonds (1.3%)
Auna SAA,
10.00%, 12/15/29 (b)			1,412				1,470
Peru LNG Srl,
5.38%, 3/22/30			632				551
							2,021
Philippines (1.7%)
Sovereign (1.7%)
Philippine Government International Bond,
5.00%, 7/17/33			1,590				1,594
5.50%, 1/17/48			1,080				1,099
							2,693
Romania (1.6%)
Sovereign (1.6%)
Romanian Government International Bond,
1.75%, 7/13/30		EUR	400				355
2.00%, 4/14/33			745				619
6.38%, 1/30/34		$	1,110				1,128
6.63%, 9/27/29		EUR	400				467
							2,569
Serbia (0.8%)
Sovereign (0.8%)
Serbia International Bond,
2.05%, 9/23/36			432				327
2.13%, 12/1/30		$	1,000				795
6.50%, 9/26/33			200				205
							1,327
Sri Lanka (2.7%)
Sovereign (2.7%)
Sri Lanka Government International Bond,
5.75%, 4/18/49 (d)(e)			320				190
6.20%, 5/11/27 (d)(e)			2,850				1,688
6.35%, 6/28/24 (d)(e)			200				118
6.83%, 7/18/26 (d)(e)			731				439
6.85%, 3/14/24 - 11/3/25 (d)(e)			2,938				1,761
							4,196
Suriname (3.5%)
Sovereign (3.5%)
Suriname Government International Bond,
7.95%, 7/15/33 (b)(d)(e)			3,642				3,346
9.00%, 12/31/50 (b)(c)(d)(e)			2,964				2,190
							5,536
Tanzania, United Republic of (3.7%)
Corporate Bond (0.1%)
HTA Group Ltd.,
2.88%, 3/18/27			200				178
Sovereign (3.6%)
Tanzania Loan Term,
10.76%, 2/27/31 (c)			5,600				5,600
							5,778
Trinidad And Tobago (0.3%)
Sovereign (0.3%)
Trinidad & Tobago Government International Bond,
4.50%, 6/26/30			500				469

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments (cont'd)

(Showing Percentage of Total Value of Investments)

 

		Face Amount (000)				Value (000)
Tunisia (0.7%)
Sovereign (0.7%)
Tunisian Republic,
5.75%, 1/30/25		$	220			$	208
6.38%, 7/15/26		EUR	938				855
							1,063
Turkey (2.2%)
Corporate Bonds (1.0%)
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS,
9.50%, 7/10/36		$	687				639
WE Soda Investments Holding PLC,
9.50%, 10/6/28			880				916
							1,555
Sovereign (1.2%)
Turkiye Government International Bond,
4.88%, 4/16/43			560				395
6.13%, 10/24/28			800				783
7.63%, 5/15/34			800				804
							1,982
							3,537
Ukraine (1.3%)
Sovereign (1.3%)
Ukraine Government International Bond,
6.88%, 5/21/31 (d)(e)			800				235
7.25%, 3/15/35 (d)(e)			1,076				313
7.38%, 9/25/34 (d)(e)			500				147
7.75%, 9/1/24 - 9/1/29 (d)(e)			2,646				961
7.75%, 8/1/41 (c)(d)(e)			440				245
9.75%, 11/1/30 (d)(e)			400				141
							2,042
United Arab Emirates (2.2%)
Sovereign (2.2%)
Finance Department Government of Sharjah,
4.00%, 7/28/50			1,800				1,190
4.38%, 3/10/51			300				211
6.50%, 11/23/32			650				677
6.50%, 11/23/32 (b)			1,300				1,354
							3,432
Uruguay (1.2%)
Sovereign (1.2%)
Uruguay Government International Bond,
4.38%, 1/23/31			790				774
5.10%, 6/18/50			500				486
5.75%, 10/28/34			600				634
							1,894
Uzbekistan (0.3%)
Corporate Bonds (0.3%)
Ipoteka-Bank ATIB,
5.50%, 11/19/25			230				221
Uzbek Industrial and Construction Bank ATB,
5.75%, 12/2/24			249				245
							466
Venezuela (0.5%)
Sovereign (0.5%)
Petroleos de Venezuela SA,
6.00%, 11/15/26 (d)(e)			4,600				441
8.50%, 10/27/20 (d)(e)			206				166
Venezuela Government International Bond,
7.00%, 3/31/38 (d)(e)			130				20
8.25%, 10/13/24 (d)(e)			36				5
9.00%, 5/7/23 (d)(e)			111				17
9.25%, 9/15/27 - 5/7/28 (d)(e)			508				89
9.38%, 1/13/34 (d)(e)			36				6
11.95%, 8/5/31 (d)(e)			58				10
12.75%, 8/23/22 (d)(e)			89				15
							769
Vietnam (0.5%)
Corporate Bond (0.5%)
Mong Duong Finance Holdings BV,
5.13%, 5/7/29			883				845
Zambia (1.0%)
Sovereign (1.0%)
Zambia Government International Bond,
5.38%, 9/20/22 (d)(e)			387				257

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments (cont'd)

(Showing Percentage of Total Value of Investments)

 

		Face Amount (000)				Value (000)
Sovereign (cont'd)
8.50%, 4/14/24 (d)(e)		$	1,058			$	785
8.97%, 7/30/27 (d)(e)			650				480
							1,522
Total Fixed Income Securities (Cost $149,102)							146,505

 

		No. of Warrants
Warrants (0.0%)‡
Venezuela (0.0%)‡
Venezuela Government International Bond, Oil-Linked Payment Obligation (h)(i) (Cost $—)			5,450				38

 

		Shares
Short-Term Investments (7.4%)
Investment Company (7.2%)
Morgan Stanley Institutional Liquidity Funds — Treasury Securities Portfolio — Institutional Class, 5.16% (j) (Cost $11,363)			11,362,824				11,363

 

		Face Amount (000)
United States (0.2%)
U.S. Treasury Security (0.2%)
U.S. Treasury Bill,
5.31%, 8/1/24 (k) (Cost $319)		$	325				319
Total Short-Term Investments (Cost $11,682)							11,682
Total Investments (100.4%) (Cost $160,784)(l)(m)(n)							158,225
Liabilities in Excess of Other Assets (0.4%)							(688	)
Net Assets (100.0%)						$	157,537

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments (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.

 

‡	Amount is less than 0.05%.
(a)	Multi-step — Coupon rate changes in predetermined increments to maturity. Rate disclosed is as of March 31, 2024. Maturity date disclosed is the ultimate maturity date.
(b)	144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.
(c)	Floating or variable rate securities: The rates disclosed are as of March 31, 2024. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description in the Portfolio of Investments.
(d)	Issuer in bankruptcy.
(e)	Non-income producing security; bond in default.
(f)	Income may be paid in additional securities and/or cash at the discretion of the issuer.
(g)	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 March 31, 2024.
(h)	Perpetual maturity date. Date disclosed is the last expiration date.
(i)	Non-income producing security.
(j)	The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - (the "Liquidity Fund"), an open-end management investment company managed by the Adviser. Advisory fees paid by the Fund are reduced by an amount equal to its pro-rata share of the advisory and administration fees paid by the Fund due to its investment in the Liquidity Fund. For the three months ended March 31, 2024, advisory fees paid were reduced by approximately $1,000 relating to the Fund's investment in the Liquidity Fund.
(k)	Rate shown is the yield to maturity at March 31, 2024.
(l)	Securities are available for collateral in connection with securities purchased on a forward commitment basis, open foreign currency forward exchange contracts, futures contracts and swap agreements.
(m)	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 three months ended March 31, 2024, the Fund did not engage in any cross-trade transactions.
(n)	At March 31, 2024, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $9,950,000 and the aggregate gross unrealized depreciation is approximately $12,186,000, resulting in net unrealized depreciation of approximately $2,236,000.
DAC	Designated Activity Company.
MTN	Medium Term Note.
PIK	Payment-in-Kind.
REIT	Real Estate Investment Trust.
SOFR	Secured Overnight Financing Rate.

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments (cont'd)

 

Foreign Currency Forward Exchange Contracts:

The Fund had the following foreign currency forward exchange contracts open at March 31, 2024:            

 

Counterparty		Contracts to Deliver (000)				In Exchange For (000)				Delivery Date			Unrealized Appreciation (Depreciation) (000)
Citibank NA		EUR	123			$	133			4/5/24		$	1
Citibank NA		$	1,086			EUR	1,000			4/5/24			(7	)
Citibank NA		$	120			EUR	109			4/5/24			(2	)
Citibank NA		$	551			EUR	505			4/5/24			(6	)
Citibank NA		$	127			EUR	117			4/5/24			(1	)
Citibank NA		$	591			EUR	544			4/5/24			(4	)
Citibank NA		$	282			EUR	258			4/5/24			(3	)
Citibank NA		$	127			EUR	116			4/5/24			(1	)
Citibank NA		$	271			EUR	249			4/5/24			(2	)
Citibank NA		$	117			EUR	108			4/5/24			(1	)
Goldman Sachs International		EUR	1,470			$	1,598			4/5/24			12
HSBC Bank PLC		EUR	628			$	681			4/5/24			3
HSBC Bank PLC		EUR	342			$	370			4/5/24			1
HSBC Bank PLC		EUR	2,163			$	2,352			4/5/24			18
HSBC Bank PLC		EUR	2,317			$	2,520			4/5/24			20
HSBC Bank PLC		EUR	75			$	82			4/5/24			1
HSBC Bank PLC		EUR	255			$	278			4/5/24			2
HSBC Bank PLC		EUR	248			$	270			4/5/24			2
HSBC Bank PLC		EUR	206			$	224			4/5/24			2
HSBC Bank PLC		EUR	76			$	83			4/5/24			1
HSBC Bank PLC		EUR	252			$	274			4/5/24			2
HSBC Bank PLC		EUR	343			$	373			4/5/24			3
HSBC Bank PLC		EUR	245			$	266			4/5/24			2
HSBC Bank PLC		EUR	1,059			$	1,152			4/5/24			9
HSBC Bank PLC		EUR	1,023			$	1,112			4/5/24			9
HSBC Bank PLC		EUR	1,549			$	1,685			4/5/24		$	13
HSBC Bank PLC		EUR	203			$	221			4/5/24			2
HSBC Bank PLC		EUR	1,237			$	1,345			4/5/24			10
HSBC Bank PLC		EUR	347			$	378			4/5/24			3
HSBC Bank PLC		EUR	2,345			$	2,551			4/5/24			21
HSBC Bank PLC		EUR	1,072			$	1,166			4/5/24			10
HSBC Bank PLC		EUR	1,251			$	1,361			4/5/24			11
HSBC Bank PLC		EUR	1,035			$	1,126			4/5/24			9
HSBC Bank PLC		EUR	2,188			$	2,381			4/5/24			20
HSBC Bank PLC		EUR	1,568			$	1,705			4/5/24			14
HSBC Bank PLC		$	164			EUR	150			4/5/24			(1	)
HSBC Bank PLC		$	162			EUR	149			4/5/24			(1	)
State Street Bank & Trust Co.		EUR	100			$	109			4/5/24			1
State Street Bank & Trust Co.		EUR	141			$	153			4/5/24			1
UBS AG		EUR	450			$	491			4/5/24			5
UBS AG		EUR	200			$	219			4/5/24			3
UBS AG		EUR	186			$	202			4/5/24			2
UBS AG		EUR	173			$	188			4/5/24			1
UBS AG		$	587			EUR	540			4/5/24			(4	)
UBS AG		$	212			EUR	194			4/5/24			(3	)
UBS AG		$	119			EUR	109			4/5/24			(2	)
UBS AG		$	194			EUR	179			4/5/24			(1	)
UBS AG		$	117			EUR	108			4/5/24			(1	)
												$	174

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Portfolio of Investments (cont'd)

 

Futures Contracts:

The Fund had the following futures contracts open at March 31, 2024:

 

		Number of Contracts				Expiration Date		Notional Amount (000)				Value (000)				Unrealized Appreciation (Depreciation) (000)
Long:
U.S. Treasury Long Bond (United States)			60			Jun-24		$	6,000			$	7,226			$	23
U.S. Treasury Ultra Long Bond (United States)			130			Jun-24			13,000				16,770				154
U.S. Treasury 2 yr. Note (United States)			4			Jun-24			800				818				—	@
U.S. Treasury 5 yr. Note (United States)			176			Jun-24			17,600				18,835				(5	)
U.S. Treasury 10 yr. Ultra Note (United States)			61			Jun-24			6,100				6,991				21
Short:
Euro-Buxl 30 yr. Bond Index (Germany)			10			Jun-24		EUR	(1,000	)		$	(1,465	)		$	(27	)
German Euro-Bobl Index (Germany)			68			Jun-24			(6,800	)			(8,675	)			(25	)
German Euro-Bund Index (Germany)			46			Jun-24			(4,600	)			(6,619	)			(37	)
German Euro-Schatz Index (Germany)			12			Jun-24			(1,200	)			(1,369	)			(—	@)
U.S. Treasury 10 yr. Note (United States)			19			Jun-24		$	(1,900	)			(2,105	)			(—	@)
																$	104

 

Credit Default Swap Agreements:                  

The Fund had the following credit default swap agreements open at March 31, 2024:                  

 

Swap Counterparty and Reference Obligation		Credit Rating of Reference Obligation		Buy/Sell Protection		Pay/ Received Fixed Rate				Payment Frequency		Maturity Date		Notional Amount (000)				Value (000)				Upfront Payment Received (000)				Unrealized Appreciation (Depreciation) (000)
Goldman Sachs International Panama Government International Bonds		NR		Sell			1.00	%		Quarterly		6/20/29		$	295			$	(11	)		$	(12	)		$	1
JPMorgan Chase Bank NA Panama Government International Bonds		NR		Sell			1.00			Quarterly		6/20/29			331				(13	)			(13	)		$	—	@
Goldman Sachs International Panama Government International Bonds		NR		Sell			1.00			Quarterly		6/20/29			829				(31	)			(31	)		$	—	@
Goldman Sachs International Vietnam Government International Bonds		NR		Sell			1.00			Quarterly		6/20/29			400				(4	)			(3	)		$	(1	)
Barclays Bank PLC Benin Government International Bonds		NR		Sell			1.00			Quarterly		6/20/27			100				(5	)			(9	)		$	4
Goldman Sachs International Panama Government International Bonds		NR		Sell			1.00			Quarterly		6/20/29			219				(8	)			(7	)		$	(1	)
Barclays Bank PLC Benin Government International Bonds		NR		Sell			1.00			Quarterly		6/20/27			100				(5	)			(9	)		$	4
Morgan Stanley & Co. LLC* Egypt Government International Bonds		NR		Sell			1.00			Quarterly		12/20/28			303				(49	)			(87	)		$	38
																		$	(126	)		$	(171	)		$	45

 

@	Value is less than $500.
*	Cleared swap agreement, the broker is Morgan Stanley & Co. LLC.

EUR —

Euro

 

 

Portfolio Composition  

 

Classification		Percentage of Total Investments
Sovereign			71.5	%
Corporate Bonds			21.1
Short-Term Investments			7.4
Other*			—	‡
Total Investments			100.0	%**

 

*	Industries and/or investment types representing less than 5% of total investments.
‡	Amount is less than 0.05%.
**	Does not include open futures contracts with a value of approximately $70,873,000 and total unrealized appreciation of approximately $104,000. Does not include open foreign currency forward exchange contracts with net unrealized appreciation of approximately $174,000. Also does not include an open swap agreement with total unrealized appreciation of approximately $45,000.

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Notes to the Portfolio of Investments

 

Security Valuation:

 

(1) Fixed income securities may be valued by an outside pricing service/vendor approved by the Fund’s Board of Directors (the “Directors”). The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads and/or other market data and specific security characteristics. If the Adviser determines that the price provided by the outside pricing service/vendor does not reflect the security’s fair value or is unable to provide a price, prices from reputable brokers/dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from reputable brokers/dealers; (2) 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/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, as defined by Rule 2a-5 under the Act, including circumstances under which the Adviser or the Sub-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 approved by and under the general supervision of the Directors. Each business day, the Fund uses a third-party pricing service approved by the Directors to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE; (4) futures are valued at the settlement price on the exchange on which they trade or, if a settlement price is unavailable, at the last sale price on the exchange; (5) over-the-counter (“OTC”) swaps may be valued by an outside pricing service approved by the Directors or quotes from a broker/dealer. Swaps cleared on a clearinghouse or exchange may be valued using the closing price provided by the clearinghouse or exchange; (6) foreign exchange transactions (“spot contracts”) and foreign exchange forward contracts (“forward contracts”) are valued daily using an independent pricing vendor at the spot and forward rates, respectively, as of the close of the NYSE; and (7) 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.

 

In connection with Rule 2a-5 of the Act, the Directors have designated the Fund’s Adviser as its valuation designee. The valuation designee has responsibility for determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Directors. Under procedures approved by the Directors, the Fund’s Adviser, as valuation designee, 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.

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

First Quarter Report – March 31, 2024 (unaudited)

Notes to the Portfolio of Investments (cont'd)

 

Fair Value Measurement: Financial Accounting Standards Board (“FASB”) Accounting Standards Codification^TM ("ASC") 820, "Fair Value Measurement" (“ASC 820”), defines fair value as the price that would be received to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in valuing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs); and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in valuing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund's investments. The inputs are summarized in the three broad levels listed below:

 

•

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

 

•

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

 

•

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 March 31, 2024:

 

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		$	—			$	33,319			$	—			$	33,319
Sovereign			—				113,186				—				113,186
Total Fixed Income Securities			—				146,505				—				146,505
Warrants			—				38				—				38
Short-Term Investments
U.S. Treasury Security			—				319				—				319
Investment Company			11,363				—				—				11,363
Total Short-Term Investments			11,363				319				—				11,682
Foreign Currency Forward Exchange Contracts			—				214				—				214
Futures Contracts		$	198			$	—			$	—			$	198
Credit Default Swap Agreements			—				47				—				47
Total Assets		$	11,561			$	147,123			$	—			$	158,684
Liabilities:
Foreign Currency Forward Exchange Contracts			—				(40	)			—				(40	)
Futures Contracts			(94	)			—				—				(94	)
Credit Default Swap Agreements			—				(2	)			—				(2	)
Total Liabilities			(94	)			(42	)			—				(136	)
Total		$	11,467			$	147,081			$	—			$	158,548

 

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

 

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