Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Portfolio of Investments

(Showing Percentage of Total Value of Investments)

 

   Face Amount   Value 
   (000)   (000) 
FIXED INCOME SECURITIES (96.6%)          
Albania (2.1%)          
Sovereign (2.1%)          
Albania Government International Bond,          
3.50%, 10/9/25  EUR324   $331 
5.90%, 6/9/28  2,562    2,644 
         2,975 
Angola (1.1%)          
Sovereign (1.1%)          
Angolan Government International Bond,          
8.75%, 4/14/32  $1,900    1,532 
           
Argentina (0.9%)          
Sovereign (0.9%)          
Argentine Republic Government International Bond,          
1.00%, 7/9/29   500    140 
3.50%, 7/9/41 (a)   800    207 
4.25%, 1/9/38 (a)   3,400    1,004 
         1,351 
Armenia (0.2%)          
Corporate Bond (0.2%)          
Ardshinbank CJSC Via Dilijan Finance BV,          
6.50%, 1/28/25   300    296 
           
Bahrain (2.4%)          
Sovereign (2.4%)          
Bahrain Government International Bond,          
5.45%, 9/16/32   1,720    1,502 
5.63%, 5/18/34   1,000    858 
7.00%, 10/12/28   900    915 
7.50%, 9/20/47   200    178 
         3,453 
Barbados (1.4%)          
Sovereign (1.4%)          
Barbados Government International Bond,          
6.50%, 10/1/29   2,109    1,970 
           
Benin (1.9%)          
Sovereign (1.9%)          
Benin Government International Bond,          
4.88%, 1/19/32  EUR400    315 
4.95%, 1/22/35  580    422 
6.88%, 1/19/52  2,930    2,076 
         2,813 
Brazil (4.5%)          
Corporate Bonds (4.5%)          
Coruripe Netherlands BV,          
10.00%, 2/10/27  $1,250    917 
FORESEA Holding SA,          
7.50%, 6/15/30   730    687 
Guara Norte Sarl,          
5.20%, 6/15/34   619    528 
Hidrovias International Finance Sarl,          
4.95%, 2/8/31   1,000    803 
MC Brazil Downstream Trading Sarl,          
7.25%, 6/30/31   1,150    883 
Minerva Luxembourg SA,          
8.88%, 9/13/33 (b)   1,210    1,203 
MV24 Capital BV,          
6.75%, 6/1/34   678    599 
Natura &Co. Luxembourg Holdings Sarl,          
6.00%, 4/19/29   171    157 
Natura Cosmeticos SA,          
4.13%, 5/3/28   69    59 
Samarco Mineracao SA,          
5.75%, 10/24/23 (c)(d)   750    591 
         6,427 
Bulgaria (0.2%)          
Corporate Bond (0.2%)          
Bulgarian Energy Holding EAD,          
2.45%, 7/22/28  EUR330    293 
           
Burkina Faso (0.8%)          
Corporate Bond (0.8%)          
Endeavour Mining PLC,          
5.00%, 10/14/26  $1,280    1,146 
           
Chile (2.6%)          
Corporate Bonds (1.3%)          
AES Andes SA,          
7.13%, 3/26/79   970    916 
Liberty Latin America Ltd.,          
2.00%, 7/15/24   451    426 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Portfolio of Investments (cont’d)

(Showing Percentage of Total Value of Investments)

 

   Face Amount   Value 
   (000)   (000) 
Corporate Bonds (cont’d)          
VTR Comunicaciones SpA,          
4.38%, 4/15/29  $422   $234 
5.13%, 1/15/28   385    217 
         1,793 
Sovereign (1.3%)          
Chile Government International Bond,          
2.45%, 1/31/31   200    165 
2.55%, 7/27/33   1,390    1,071 
3.50%, 1/25/50   990    662 
         1,898 
         3,691 
China (1.3%)          
Corporate Bonds (1.3%)          
KWG Group Holdings Ltd.,          
7.88%, 8/30/24 (c)(d)   654    59 
Longfor Group Holdings Ltd.,          
3.85%, 1/13/32   338    144 
Meituan,          
0.00%, 4/27/27   900    798 
Shimao Group Holdings Ltd.,          
5.60%, 7/15/26   1,783    62 
Sunac China Holdings Ltd.,          
8.35%, 4/19/23 (c)(d)   1,080    163 
Times China Holdings Ltd.,          
5.55%, 6/4/24 (c)(d)   2,015    71 
6.75%, 7/16/23 (c)(d)   410    14 
Yuexiu REIT MTN Co. Ltd.,          
2.65%, 2/2/26   629    542 
         1,853 
Colombia (2.2%)          
Corporate Bonds (2.2%)          
ABRA Global Finance          
6.00% Cash, 5.50% PIK,          
11.50%, 3/2/28 (b)(e)   771    619 
Aris Mining Corp.,          
6.88%, 8/9/26   1,150    920 
Avianca Midco 2 PLC,          
9.00%, 12/1/28   430    367 
Canacol Energy Ltd.,          
5.75%, 11/24/28  827    657 
SierraCol Energy Andina LLC,          
6.00%, 6/15/28   733    584 
         3,147 
Costa Rica (0.9%)          
Corporate Bond (0.6%)          
Liberty Costa Rica Senior Secured Finance,          
10.88%, 1/15/31 (b)   860    863 
           
Sovereign (0.3%)          
Costa Rica Government International Bond,          
6.55%, 4/3/34   440    429 
         1,292 
Dominican Republic (2.3%)          
Sovereign (2.3%)          
Dominican Republic International Bond,          
4.88%, 9/23/32   900    733 
5.88%, 1/30/60   800    575 
6.00%, 7/19/28 (b)   600    572 
6.85%, 1/27/45 (b)   900    769 
7.45%, 4/30/44 (b)   800    733 
         3,382 
Egypt (1.8%)          
Sovereign (1.8%)          
Egypt Government International Bond,          
4.75%, 4/16/26  EUR480    356 
5.25%, 10/6/25 (b)  $440    340 
5.75%, 5/29/24   400    372 
6.38%, 4/11/31 (b)  EUR800    473 
6.88%, 4/30/40  $121    63 
7.50%, 2/16/61   1,000    508 
7.90%, 2/21/48 (b)   490    253 
8.88%, 5/29/50   390    213 
         2,578 
El Salvador (1.0%)          
Sovereign (1.0%)          
El Salvador Government International Bond,          
5.88%, 1/30/25   99    90 
6.38%, 1/18/27   700    574 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Portfolio of Investments (cont’d)

(Showing Percentage of Total Value of Investments)

 

   Face Amount   Value 
   (000)   (000) 
Sovereign (cont’d)          
7.63%, 2/1/41  $463   $318 
7.65%, 6/15/35   40    28 
8.25%, 4/10/32   572    457 
         1,467 
Ethiopia (1.0%)          
Sovereign (1.0%)          
Ethiopia International Bond,          
6.63%, 12/11/24   2,230    1,449 
           
Gabon (0.2%)          
Sovereign (0.2%)          
Gabon Government International Bond,          
6.95%, 6/16/25 (b)   400    358 
           
Georgia (0.4%)          
Corporate Bond (0.4%)          
TBC Bank JSC,          
10.78%, 10/3/24 (f)   540    529 
           
Ghana (2.3%)          
Corporate Bonds (0.9%)          
Kosmos Energy Ltd.,          
7.50%, 3/1/28   413    371 
7.75%, 5/1/27   315    292 
Tullow Oil PLC,          
10.25%, 5/15/26   656    571 
         1,234 
Sovereign (1.4%)          
Ghana Government International Bond,          
6.38%, 2/11/27 (c)(d)   360    161 
7.63%, 5/16/29 (c)(d)   200    89 
7.75%, 4/7/29 (c)(d)   205    91 
8.13%, 3/26/32 (c)(d)   215    95 
8.63%, 4/7/34 (c)(d)   649    289 
8.63%, 6/16/49 (c)(d)   2,229    954 
8.75%, 3/11/61 (c)(d)   408    175 
8.88%, 5/7/42 (c)(d)   486    208 
         2,062 
         3,296 
Guatemala (0.7%)          
Sovereign (0.7%)          
Guatemala Government Bond,          
3.70%, 10/7/33   600    462 
4.65%, 10/7/41 (b)   400    297 
6.13%, 6/1/50 (b)   380    329 
         1,088 
Honduras (0.1%)          
Sovereign (0.1%)          
Honduras Government International Bond,          
6.25%, 1/19/27   150    142 
           
Hungary (2.2%)          
Corporate Bond (0.6%)          
OTP Bank Nyrt,          
8.75%, 5/15/33   810    805 
           
Sovereign (1.6%)          
Hungary Government International Bond,          
5.38%, 9/12/33  EUR196    200 
6.25%, 9/22/32 (b)  $2,150    2,101 
         2,301 
         3,106 
India (1.6%)          
Corporate Bonds (1.4%)          
Indiabulls Housing Finance Ltd.,          
4.50%, 9/28/26   567    517 
JSW Steel Ltd.,          
5.05%, 4/5/32   940    755 
Vedanta Resources Finance II PLC,          
13.88%, 1/21/24   800    717 
         1,989 
Sovereign (0.2%)          
Export-Import Bank of India,          
5.50%, 1/18/33 (b)   400    384 
         2,373 
Indonesia (4.0%)          
Corporate Bonds (1.3%)          
APL Realty Holdings Pte. Ltd.,          
5.95%, 6/2/24   510    396 
Minejesa Capital BV,          
4.63%, 8/10/30   1,706    1,522 
         1,918 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Portfolio of Investments (cont’d)

(Showing Percentage of Total Value of Investments)

 

   Face Amount   Value 
   (000)   (000) 
Sovereign (2.7%)          
Indonesia Government International Bond,          
4.65%, 9/20/32  $1,400   $1,312 
4.85%, 1/11/33   1,940    1,850 
5.13%, 1/15/45 (b)   800    725 
         3,887 
         5,805 
Iraq (0.3%)          
Sovereign (0.3%)          
Iraq International Bond,          
5.80%, 1/15/28   445    413 
           
Ivory Coast (2.6%)          
Sovereign (2.6%)          
Ivory Coast Government International Bond,          
4.88%, 1/30/32  EUR900    727 
6.63%, 3/22/48  2,867    2,092 
6.88%, 10/17/40  1,128    887 
         3,706 
Jamaica (0.6%)          
Corporate Bond (0.6%)          
Digicel International Finance Ltd./Digicel international Holdings Ltd.,          
8.75%, 5/25/24  $1,000    902 
           
Jordan (0.8%)          
Sovereign (0.8%)          
Jordan Government International Bond,          
7.38%, 10/10/47 (b)   750    621 
7.50%, 1/13/29   300    293 
7.75%, 1/15/28   292    292 
         1,206 
Kazakhstan (0.8%)          
Sovereign (0.8%)          
Kazakhstan Government International Bond,          
6.50%, 7/21/45   1,100    1,122 
           
Kenya (1.0%)          
Sovereign (1.0%)          
Republic of Kenya Government International Bond,          
8.00%, 5/22/32  1,800    1,404 
           
Kuwait (0.5%)          
Sovereign (0.5%)          
Kuwait International Government Bond,          
3.50%, 3/20/27   720    683 
           
Lebanon (0.2%)          
Sovereign (0.2%)          
Lebanon Government International Bond,          
6.85%, 3/23/27 - 5/25/29 (c)(d)   2,870    236 
           
Macedonia (2.9%)          
Sovereign (2.9%)          
North Macedonia Government International Bond,          
1.63%, 3/10/28  EUR2,165    1,866 
6.96%, 3/13/27  2,092    2,257 
         4,123 
Mexico (5.1%)          
Corporate Bonds (3.3%)          
Banco Mercantil del Norte SA,          
7.63%, 12/31/99 (f)  $213    196 
8.38%, 10/14/30 (f)   254    241 
BBVA Bancomer SA,          
5.13%, 1/18/33   474    409 
8.45%, 6/29/38 (b)   423    417 
Braskem Idesa SAPI,          
6.99%, 2/20/32   940    566 
7.45%, 11/15/29   562    351 
Cemex SAB de CV,          
5.13%, 6/8/26 (f)   440    412 
9.13%, 3/14/28 (b)(f)   352    367 
Grupo Aeromexico SAB de CV,          
8.50%, 3/17/27   420    394 
Total Play Telecomunicaciones SA de CV,          
7.50%, 11/12/25   1,975    1,415 
         4,768 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Portfolio of Investments (cont’d)

(Showing Percentage of Total Value of Investments)

 

   Face Amount   Value 
   (000)   (000) 
Sovereign (1.8%)          
Petroleos Mexicanos,          
4.25%, 1/15/25  $200   $191 
5.95%, 1/28/31   1,200    860 
6.35%, 2/12/48   400    229 
6.70%, 2/16/32   600    446 
6.88%, 8/4/26   400    369 
10.00%, 2/7/33 (b)   587    523 
         2,618 
         7,386 
Moldova (0.3%)          
Corporate Bond (0.3%)          
Aragvi Finance International DAC,          
8.45%, 4/29/26   660    455 
           
Mongolia (0.3%)          
Corporate Bond (0.3%)          
Mongolian Mining Corp./Energy Resources LLC,          
9.25%, 4/15/24   388    388 
           
Morocco (0.6%)          
Sovereign (0.6%)          
Morocco Government International Bond,          
3.00%, 12/15/32   500    382 
4.00%, 12/15/50 (b)   820    510 
         892 
Nigeria (3.2%)          
Corporate Bonds (0.6%)          
IHS Netherlands Holdco BV,          
8.00%, 9/18/27 (b)   383    322 
SEPLAT Energy PLC,          
7.75%, 4/1/26   624    534 
         856 
Sovereign (2.6%)          
Nigeria Government International Bond,          
6.50%, 11/28/27 (b)   820    686 
7.38%, 9/28/33   1,212    899 
7.63%, 11/28/47   200    134 
7.70%, 2/23/38   1,108    779 
8.25%, 9/28/51   1,860    1,293 
         3,791 
         4,647 
Oman (2.6%)          
Sovereign (2.6%)          
Oman Government International Bond,          
5.38%, 3/8/27  500    488 
6.25%, 1/25/31 (b)   2,530    2,504 
6.75%, 1/17/48   500    461 
7.38%, 10/28/32   270    286 
         3,739 
Panama (2.4%)          
Corporate Bonds (1.2%)          
C&W Senior Financing DAC,          
6.88%, 9/15/27   1,136    1,000 
Multibank, Inc.,          
7.75%, 2/3/28 (b)   756    763 
         1,763 
Sovereign (1.2%)          
Panama Bonos del Tesoro,          
6.38%, 7/25/33   187    177 
Panama Government International Bond,          
2.25%, 9/29/32   1,280    930 
3.87%, 7/23/60   550    320 
4.50%, 4/1/56   410    271 
         1,698 
         3,461 
Paraguay (1.4%)          
Corporate Bond (0.7%)          
Frigorifico Concepcion SA,          
7.70%, 7/21/28   1,152    954 
           
Sovereign (0.7%)          
Paraguay Government International Bond,          
5.40%, 3/30/50 (b)   1,264    1,000 
         1,954 
Peru (2.6%)          
Corporate Bonds (1.9%)          
Auna SAA,          
6.50%, 11/20/25   1,440    1,327 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Portfolio of Investments (cont’d)

(Showing Percentage of Total Value of Investments)

 

   Face Amount   Value 
   (000)   (000) 
Corporate Bonds (cont’d)          
Hunt Oil Co. of Peru LLC Sucursal Del Peru,          
8.55%, 9/18/33 (b)  $448   $453 
Peru LNG Srl,          
5.38%, 3/22/30   1,326    1,042 
         2,822 
Sovereign (0.7%)          
Peruvian Government International Bond,          
2.78%, 1/23/31   300    247 
3.00%, 1/15/34   400    309 
3.55%, 3/10/51   200    132 
6.55%, 3/14/37   300    311 
         999 
         3,821 
Romania (5.5%)          
Sovereign (5.5%)          
Romanian Government International Bond,          
1.75%, 7/13/30 (b)  EUR3,320    2,664 
2.00%, 1/28/32 - 4/14/33  796    582 
2.12%, 7/16/31  681    535 
2.13%, 3/7/28  300    276 
3.62%, 5/26/30  28    26 
3.75%, 2/7/34 (b)  999    837 
4.00%, 2/14/51  $1,100    704 
6.13%, 1/22/44   800    717 
6.63%, 9/27/29  EUR1,395    1,519 
         7,860 
Senegal (0.2%)          
Sovereign (0.2%)          
Senegal Government International Bond,          
6.25%, 5/23/33  $400    322 
           
Serbia (1.7%)          
Sovereign (1.7%)          
Serbia International Bond,          
1.50%, 6/26/29  EUR1,240    1,011 
2.05%, 9/23/36  432    272 
2.13%, 12/1/30 (b)  $1,400    1,031 
6.50%, 9/26/33   200    191 
         2,505 
South Africa (1.1%)          
Corporate Bonds (1.1%)          
Petra Diamonds U.S. Treasury PLC          
6.07% Cash, 3.96 % PIK,          
9.75%, 3/8/26 (e)   221    193 
Sasol Financing USA LLC,          
5.50%, 3/18/31   1,270    997 
8.75%, 5/3/29   357    344 
         1,534 
Sri Lanka (2.4%)          
Sovereign (2.4%)          
Sri Lanka Government International Bond,          
5.75%, 4/18/23 (c)(d)   320    154 
6.20%, 5/11/27 (c)(d)   2,850    1,331 
6.35%, 6/28/24 (c)(d)   200    96 
6.75%, 4/18/28 (c)(d)   400    188 
6.83%, 7/18/26 (c)(d)   400    193 
6.85%, 3/14/24 - 11/3/25 (c)(d)   2,770    1,340 
7.85%, 3/14/29 (c)(d)   200    94 
         3,396 
Suriname (5.8%)          
Sovereign (5.8%)          
Suriname Government International Bond,          
9.25%, 10/26/26 (c)(d)   6,515    5,619 
12.88%, 12/30/23 (a)(b)(c)(d)   2,993    2,697 
         8,316 
Tanzania, United Republic Of (0.7%)          
Corporate Bonds (0.7%)          
HTA Group Ltd.,          
2.88%, 3/18/27   200    165 
7.00%, 12/18/25   900    869 
         1,034 
Trinidad And Tobago (0.3%)          
Sovereign (0.3%)          
Trinidad & Tobago Government International Bond,          
4.50%, 6/26/30   500    461 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Portfolio of Investments (cont’d)

(Showing Percentage of Total Value of Investments)

 

   Face Amount   Value 
   (000)   (000) 
Sovereign (cont’d)          
Turkey (2.1%)          
Corporate Bonds (2.1%)          
Limak Iskenderun Uluslararasi Liman Isletmeciligi AS,          
9.50%, 7/10/36  $1,134   $1,023 
Ulker Biskuvi Sanayi AS,          
6.95%, 10/30/25   1,080    1,018 
WE Soda Investments Holding PLC,          
9.50%, 10/6/28   992    1,002 
         3,043 
Ukraine (0.9%)          
Sovereign (0.9%)          
Ukraine Government Bond,          
7.75%, 9/1/25 (c)(d)   745    247 
Ukraine Government International Bond,          
6.88%, 5/21/31 (c)(d)   1,500    401 
7.75%, 9/1/24 - 9/1/28 (c)(d)   1,601    525 
7.75%, 8/1/41 (c)(d)(g)   440    204 
         1,377 
United Arab Emirates (3.2%)          
Sovereign (3.2%)          
Finance Department Government of Sharjah,          
4.00%, 7/28/50   2,562    1,496 
4.38%, 3/10/51   500    314 
6.50%, 11/23/32 (b)   2,750    2,747 
         4,557 
Uruguay (1.7%)          
Sovereign (1.7%)          
Uruguay Government International Bond,          
4.38%, 1/23/31   790    757 
5.10%, 6/18/50   1,080    960 
5.75%, 10/28/34   710    724 
         2,441 
Uzbekistan (1.6%)          
Corporate Bonds (0.3%)          
Ipoteka-Bank ATIB,          
5.50%, 11/19/25   230    209 
Uzbek Industrial and Construction Bank ATB,          
5.75%, 12/2/24   249    238 
         447 
Sovereign (1.3%)          
Republic of Uzbekistan International Bond,          
3.70%, 11/25/30 (b)   301    236 
3.90%, 10/19/31   1,000    782 
5.38%, 2/20/29   900    808 
         1,826 
         2,273 
Venezuela (0.3%)          
Sovereign (0.3%)          
Petroleos de Venezuela SA,          
6.00%, 11/15/26 (c)(d)   8,500    489 
           
Vietnam (0.6%)          
Corporate Bond (0.6%)          
Mong Duong Finance Holdings BV,          
5.13%, 5/7/29   957    869 
           
Zambia (0.2%)          
Sovereign (0.2%)          
Zambia Government International Bond,          
8.50%, 4/14/24 (c)(d)   587    324 
TOTAL FIXED INCOME SECURITIES (COST $158,422)        139,151 

 

   No. of
Warrants		    
WARRANTS (0.0%)‡          
Venezuela (0.0%)‡          
Venezuela Government International Bond, Oil-Linked Payment Obligation, expires 4/15/20 (h)(i) (Cost $—)   5,450   27 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Portfolio of Investments (cont’d)

(Showing Percentage of Total Value of Investments)

 

   Shares   Value
(000)		 
SHORT-TERM INVESTMENTS (2.3%)          
Investment Company (2.2%)          
Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class (j) (Cost $3,076)   3,076,262   $3,076 

 

   Face Amount
(000)		     
United States (0.1%)          
U.S. Treasury Security (0.1%)          
U.S. Treasury Bill,          
4.47%, 11/30/23 (k) (Cost $174)  $175   174 
TOTAL SHORT-TERM INVESTMENTS (COST $3,250)        3,250 
Total Investments (98.9%) (Cost $161,672) (l)(m)(n)        142,428 
Other Assets in Excess of Liabilities (1.1%)        1,591 
Net Assets (100.0%)       $144,019 

 

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 September 30, 2023. 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) Issuer in bankruptcy.
(d) Non-income producing security; bond in default.
(e) Income may be paid in additional securities and/or cash at the discretion of the issuer.
(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, 2023.
(g) Floating or variable rate securities: The rates disclosed are as of September 30, 2023. 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.
(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 Funds"), 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 Funds. For the nine months ended September 30, 2023, advisory fees paid were reduced by approximately $9,000 relating to the Fund's investment in the Liquidity Funds.
(k) Rate shown is the yield to maturity at September 30, 2023.
(l) Securities are available for collateral in connection with purchase of open foreign currency forward exchange contracts and futures contracts.
(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 nine months ended September 30, 2023, the Fund did not engage in any cross-trade transactions.
(n) At September 30, 2023, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $3,319,000 and the aggregate gross unrealized depreciation is approximately $23,777,000, resulting in net unrealized depreciation of approximately $20,458,000.
DAC Designated Activity Company.
MTN Medium Term Note.
PIK Payment-in-Kind.
REIT Real Estate Investment Trust.

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Portfolio of Investments (cont’d)

 

Foreign Currency Forward Exchange Contracts:            

The Fund had the following foreign currency forward exchange contracts open at September 30, 2023:            

 

Counterparty  Contracts
to Deliver
(000)		  In
Exchange
For
(000)		  Delivery
Date		  Unrealized
Appreciation
(Depreciation)
(000)		 
Barclays Bank PLC  EUR1,498  $1,608  10/6/23  $24 
Citibank NA  EUR90  $97  10/6/23   1 
Citibank NA  $220  EUR205  10/6/23   (4)
HSBC Bank PLC  EUR385  $414  10/6/23   7 
HSBC Bank PLC  EUR438  $471  10/6/23   8 
HSBC Bank PLC  EUR1,729  $1,859  10/6/23   31 
HSBC Bank PLC  EUR942  $1,013  10/6/23   17 
HSBC Bank PLC  EUR382  $411  10/6/23   7 
HSBC Bank PLC  EUR396  $426  10/6/23   7 
HSBC Bank PLC  EUR77  $83  10/6/23   1 
State Street Bank and Trust Co.  EUR701  $751  10/6/23   10 
State Street Bank and Trust Co.  EUR1,726  $1,851  10/6/23   26 
State Street Bank and Trust Co.  EUR726  $778  10/6/23   11 
State Street Bank and Trust Co.  EUR803  $861  10/6/23   12 
State Street Bank and Trust Co.  EUR3,172  $3,402  10/6/23   48 
State Street Bank and Trust Co.  EUR707  $758  10/6/23   11 
State Street Bank and Trust Co.  EUR1,728  $1,857  10/6/23   30 
State Street Bank and Trust Co.  EUR438  $471  10/6/23   7 
State Street Bank and Trust Co.  EUR385  $414  10/6/23   7 
State Street Bank and Trust Co.  EUR382  $410  10/6/23   7 
State Street Bank and Trust Co.  EUR942  $1,012  10/6/23   16 
State Street Bank and Trust Co.  EUR396  $425  10/6/23   7 
State Street Bank and Trust Co.  EUR2,681  $2,875  10/6/23   40 
State Street Bank and Trust Co.  EUR1,459  $1,565  10/6/23   22 
State Street Bank and Trust Co.  EUR678  $727  10/6/23   10 
State Street Bank and Trust Co.  EUR613  $657  10/6/23   9 
State Street Bank and Trust Co.  EUR593  $636  10/6/23  $9 
State Street Bank and Trust Co.  EUR597  $640  10/6/23   9 
UBS AG  EUR74  $80  10/6/23   1 
UBS AG  EUR173  $183  10/6/23   —@
              $391 

 

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Portfolio of Investments (cont’d)

 

Futures Contracts:

The Fund had the following futures contracts open at September 30, 2023:

 

   Number of
Contracts		   Expiration
Date		  Notional
Amount
(000)		   Value
(000)		   Unrealized
Appreciation
(Depreciation)
(000)		 
Long:                      
U.S. Treasury 2 yr. Note (United States)  12   Dec-23  $2,400   $2,433   $(7)
U.S. Treasury 5 yr. Note (United States)  54   Dec-23   5,400    5,689    (50)
U.S. Treasury 10 yr. Note (United States)  3   Dec-23   300    324    (6)
U.S. Treasury 10 yr. Ultra Note (United States)  203   Dec-23   20,300    22,647    (638)
U.S. Treasury Long Bond (United States)  11   Dec-23   1,100    1,252    (69)
U.S. Treasury Ultra Bond (United States)  146   Dec-23   14,600    17,328    (1,275)
Short:                      
Euro-Buxl 30 yr. Bond (Germany)  13   Dec-23  EUR(1,300)   (1,682)   117 
German Euro-Bobl Index (Germany)  57   Dec-23   (5,700)   (6,975)   72 
German Euro-Bund Index (Germany)  68   Dec-23   (6,800)   (9,248)   193 
U.S. Treasury 5 yr. Note (United States)  75   Dec-23  $(7,500)   (7,902)   57 
U.S. Treasury 10 yr. Note (United States)  13   Dec-23   (1,300)   (1,405)   1 
                    $(1,605)

 

EUR — Euro

USD — United States Dollar

 

 

Portfolio Composition  

 

Classification  Percentage of
Total Investments		 
Sovereign  68.1%
Corporate Bonds  29.6 
Other*  2.3 
Total Investments  100.0%**

 

* Industries and/or investment types representing less than 5% of total investments.
** Does not include open long/short futures contracts with a value of approximately $76,885 and net unrealized depreciation of approximately $1,605,000. Does not include open foreign currency forward exchange contracts with net unrealized appreciation of approximately $391,000.

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Notes to the Portfolio of Investments

 

The ongoing conflict between Russia and Ukraine has led many countries, including the U.S., to impose economic sanctions on Russian governmental institutions, Russian entities, and Russian individuals. These sanctions have had a negative impact on the Russian economy and currency, and on investments and companies economically tied to Russia, Ukraine and certain neighboring countries. In response, Russia imposed its own restrictions against investors and countries outside Russia. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the adverse effects of the conflict on the global economy. The escalation or continuation of the conflict between Russia and Ukraine or other hostilities presents heightened risks relating to, among other things, cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, and potential increased volatility in commodity, currency and other financial markets. This conflict could continue to adversely affect global markets performance and liquidity, thereby negatively affecting the value of the Fund’s investments beyond any direct exposure to Russian or Ukrainian issuers, markets or economies. The duration and extent of the economic impacts resulting from the military conflict between Russia and Ukraine and related sanctions remains uncertain at this time.

 

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 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 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. 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) 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) 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 (6) 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.

 

Fair Value Measurement: Financial Accounting Standards Board (“FASB”) Accounting Standards CodificationTM ("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.

 

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report – September 30, 2023 (unaudited)

Notes to the Portfolio of Investments (cont’d)

 

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, 2023:

 

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  $—   $42,128   $—   $42,128 
Sovereign   —    97,023    —    97,023 
Total Fixed Income Securities   —    139,151    —    139,151 
Warrant   —    27    —    27 
Short-Term Investments
U.S. Treasury Security   —    174    —    174 
Investment Company   3,076    —    —    3,076 
Total Short-Term Investments   3,076    174    —    3,250 
Foreign Currency Forward Exchange Contracts   —    395    —    395 
Futures Contracts   440    —    —    440 
Total Assets   3,516    139,747    —    143,263 
Liabilities:
Foreign Currency Forward Exchange Contract   —    (4)   —    (4)
Futures Contracts   (2,045)   —    —    (2,045)
Total Liabilities   (2,045)   (4)   —    (2,049)
Total  $1,471   $139,743   $—   $141,214 

 

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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