NPORT-EX 2 NPORT_MGGP_90717276_0123.htm

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

January 31, 2023 (unaudited)

(Showing Percentage of Total Value of Investments) 

 

   Face
Amount
(000)		   Value
(000)		 
FIXED INCOME SECURITIES (96.6%)        
Argentina (0.1%)        
Corporate Bond (0.1%)        
Provincia de Cordoba,          
 6.88%, 12/10/25  $451   $391 
           
Armenia (0.6%)          
Sovereign (0.6%)          
Republic of Armenia International Bond,          
 7.15%, 3/26/25   2,532    2,574 
           
Benin (0.1%)          
Sovereign (0.1%)          
Benin Government International Bond,          
 5.75%, 3/26/26  EUR204    218 
           
Bolivia (0.4%)          
Sovereign (0.4%)          
Bolivian Government International Bond,          
 5.95%, 8/22/23  $1,512    1,474 
           
Brazil (8.5%)          
Sovereign (8.5%)          
Brazil Notas do Tesouro Nacional,          
Series F,          
10.00%, 1/1/25 – 1/1/27  BRL187,850    35,226 
           
Chile (2.0%)          
Sovereign (2.0%)          
Bonos de la Tesoreria de la Republica en pesos,          
4.00%, 3/1/23 (a)  CLP6,600,000    8,299 
           
Colombia (3.9%)          
Corporate Bond (0.2%)          
Fideicomiso PA Costera,          
 6.25%, 1/15/34 (a)  COP4,979,415    978 
           
Sovereign (3.7%)          
Colombia Government International Bond,          
 9.85%, 6/28/27   1,466,000    287 
Colombian TES,          
Series B          
5.75%, 11/3/27   27,338,000    4,589 
6.00%, 4/28/28   12,982,000    2,158 
7.00%, 3/26/31 – 6/30/32   18,879,000    2,946 
7.75%, 9/18/30   6,916,000    1,169 
Financiera de Desarrollo Territorial SA Findeter,          
7.88%, 8/12/24 (a)   20,551,000    4,035 
         15,184 
         16,162 

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

January 31, 2023 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

Czech Republic (5.0%)          
Sovereign (5.0%)          
Czech Republic Government Bond,          
 0.45%, 10/25/23  CZK155,000    6,783 
 1.20%, 3/13/31   57,320    2,018 
 2.00%, 10/13/33   87,240    3,129 
 2.75%, 7/23/29   214,430    8,729 
         20,659 
Dominican Republic (6.4%)          
Sovereign (6.4%)          
Dominican Republic International Bond,          
 8.00%, 1/15/27 – 3/12/27(a)  DOP129,000    1,911 
 8.90%, 2/15/23 (a)   188,800    3,331 
 9.75%, 6/5/26 (a)   224,000    3,750 
 12.00%, 8/8/25 – 10/3/25(a)   440,580    7,302 
 12.75%, 9/23/29 (a)   357,200    6,420 
 13.00%, 12/5/25   97,000    1,604 
 13.63%, 2/3/33   136,000    2,396 
         26,714 
Ecuador (0.2%)          
Sovereign (0.2%)          
Ecuador Government International Bond,          
 1.50%, 7/31/40 (b)  $1,985    843 
           
Honduras (0.0%) (c)          
Sovereign (0.0%) (c)          
Honduras Government International Bond,          
 7.50%, 3/15/24   185    184 
           
Hungary (3.9%)          
Sovereign (3.9%)          
Hungary Government Bond,          
 3.00%, 10/27/27  HUF1,387,460    2,987 
 3.25%, 10/22/31   375,640    742 
 5.50%, 6/24/25   922,750    2,270 
 6.00%, 11/24/23   3,900,000    10,214 
         16,213 
Indonesia (10.2%)          
Sovereign (10.2%)          
Indonesia Treasury Bond,          
 6.50%, 6/15/25 – 2/15/31  IDR218,206,000    14,536 
 7.00%, 9/15/30   20,194,000    1,375 
 7.13%, 6/15/42 – 6/15/43   151,601,000    10,334 
 7.38%, 5/15/48   10,528,000    720 
 7.50%, 6/15/35   83,000,000    5,837 
 8.38%, 4/15/39   65,600,000    4,963 
 8.75%, 5/15/31   58,978,000    4,455 
         42,220 

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

January 31, 2023 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

Iraq (0.4%)          
Sovereign (0.4%)          
Iraq International Bond,          
 6.75%, 3/9/23  $1,800    1,800 
           
Ivory Coast (0.3%)          
Sovereign (0.3%)          
Ivory Coast Government International Bond,          
 5.13%, 6/15/25  EUR1,079    1,138 
           
Jordan (0.6%)          
Sovereign (0.6%)          
Jordan Government International Bond,          
 4.95%, 7/7/25  $2,735    2,657 
           
Macedonia (0.5%)          
Sovereign (0.5%)          
North Macedonia Government International Bond,          
 2.75%, 1/18/25  EUR585    598 
 3.68%, 6/3/26   140    142 
 5.63%, 7/26/23   1,089    1,186 
         1,926 
Malaysia (4.0%)          
Sovereign (4.0%)          
Malaysia Government Bond,          
 3.76%, 5/22/40  MYR2,100    468 
 3.88%, 3/14/25   30,800    7,290 
 4.23%, 6/30/31   37,167    8,959 
         16,717 
Mexico (10.1%)          
Corporate Bonds (0.8%)          
Petroleos Mexicanos,          
 4.25%, 1/15/25  $1,850    1,773 
 6.88%, 10/16/25   1,720    1,725 
         3,498 
Sovereign (9.3%)          
Mexican Bonos,          
Series M          
7.50%, 6/3/27  MXN147,957    7,477 
7.75%, 5/29/31   378,709    19,029 
8.00%, 12/7/23   113,400    5,889 
8.50%, 5/31/29 – 11/18/38   116,015    6,098 
         38,493 
         41,991 
Peru (4.3%)          
Sovereign (4.3%)          
Corp. Financiera de Desarrollo SA,          
 5.25%, 7/15/29  $1,780    1,728 

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

January 31, 2023 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

Peru Government Bond,          
 5.40%, 8/12/34  PEN3,376    702 
 5.94%, 2/12/29   1,570    371 
 6.15%, 8/12/32   55,980    12,747 
 6.35%, 8/12/28   10,000    2,440 
         17,988 
Poland (4.3%)          
Sovereign (4.3%)          
Republic of Poland Government Bond,          
 0.25%, 10/25/26  PLN5,420    1,019 
 2.50%, 7/25/27   39,077    7,831 
 3.25%, 7/25/25   40,563    8,779 
         17,629 
Romania (4.3%)          
Sovereign (4.3%)          
Romania Government Bond,          
 2.50%, 10/25/27  RON31,700    5,707 
 4.75%, 2/24/25 – 10/11/34   41,875    8,242 
 5.80%, 7/26/27   9,410    1,965 
Romanian Government International Bond,          
 3.00%, 2/27/27  $1,950    1,773 
         17,687 
Serbia (3.6%)          
Sovereign (3.6%)          
Serbia Treasury Bonds,          
 4.50%, 1/11/26 – 8/20/32  RSD1,542,790    12,503 
 5.88%, 2/8/28   268,050    2,453 
         14,956 
South Africa (10.9%)          
Sovereign  (10.9%)          
Republic of South Africa Government Bond,          
 8.75%, 1/31/44  ZAR477,328    21,662 
 9.00%, 1/31/40   343,230    16,284 
 10.50%, 12/21/26   113,100    7,020 
         44,966 
Suriname (0.3%)          
Sovereign (0.3%)          
Suriname Government International Bond,          
 9.25%, 10/26/26  $1,646    1,305 
           
Thailand (5.8%)          
Sovereign (5.8%)          
Thailand Government Bond,          
 1.59%, 12/17/35  THB70,000    1,855 
 1.60%, 12/17/29 – 6/17/35   290,700    8,377 
 1.88%, 6/17/49   50,000    1,148 
 2.00%, 6/17/42   226,000    5,837 
 3.30%, 6/17/38   50,000    1,580 
 3.65%, 6/20/31   100,000    3,311 
 4.88%, 6/22/29   50,000    1,757 
         23,865 

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

January 31, 2023 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

Uruguay (3.3%)          
Sovereign (3.3%)          
Uruguay Government International Bond,          
 3.88%, 7/2/40  UYU353,418    9,805 
 8.50%, 3/15/28 (a)   69,890    1,683 
Uruguay Monetary Regulation Bills,          
 0.0%, 2/1/23 – 7/3/24   86,850    2,184 
         13,672 
Uzbekistan (2.1%)          
Corporate Bond (0.2%)          
Ipoteka-Bank ATIB,          
 16.00%, 4/16/24  UZS10,170,000    856 
           
Sovereign (1.9%)          
Republic of Uzbekistan International Bond,          
 4.75%, 2/20/24   1,800    1,771 
 14.00%, 7/19/24   43,410,000    3,682 
 14.50%, 11/25/23   27,520,000    2,406 
         7,859 
         8,715 
Zambia (0.5%)          
Sovereign (0.5%)          
Zambia Government Bond,          
 11.00%, 1/25/26  ZMW42,090    1,611 
 13.00%, 1/25/31 – 12/27/31   12,905    362 
 14.00%, 4/24/32   3,515    99 
         2,072 
TOTAL FIXED INCOME SECURITIES (Cost $433,765)        400,261 
SHORT-TERM INVESTMENTS (3.4%)          
U.S. Treasury Securities (1.0%)          
U.S. Treasury Bills,          
 4.49%, 3/16/23 (d)  $250    249 
 3.84%, 3/16/23 (d)   3,866    3,849 
TOTAL U.S. TREASURY SECURITIES (Cost $4.098)        4,098 

 

   Shares      
Investment Company (2.4%)          
Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class (e) (Cost $9,987)   9,986,562    9,987 
TOTAL SHORT-TERM INVESTMENTS (Cost $14,085)        14,085 
TOTAL INVESTMENTS (100.0%) (Cost $447,850) (f)(g)(h)        414,346 
LIABILITIES IN EXCESS OF OTHER ASSETS        (59,765)
NET ASSETS       $354,581 

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

January 31, 2023 (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 January 31, 2023. Maturity date disclosed is the ultimate maturity date.
(c) Amount is less than 0.05%.
(d) Rate shown is the yield to maturity at January 31, 2023.
(e) 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 three months ended January 31, 2023, advisory fees paid were reduced by approximately $7,000 relating to the Fund's investment in the Liquidity Funds.
(f) Securities are available for collateral in connection with securities purchased on a forward commitment basis, foreign currency forward exchange contracts, futures contracts and swap agreements.
(g) 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 January 31, 2023, the Fund did not engage in any cross-trade transactions.
(h) At January 31, 2023, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $16,616,000 and the aggregate gross unrealized depreciation is approximately $48,760,000, resulting in net unrealized depreciation of approximately $32,144,000.

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

January 31, 2023 (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 January 31, 2023:

 

Counterparty   Contracts
to
Deliver
(000)		     In
Exchange
For
(000)		     Delivery
Date		   Unrealized
Appreciation
(Depreciation)
(000)		  
Bank of America NA   KRW 8,750,000     $ 6,876     3/15/23   $ (238 )
Barclays Bank PLC   EUR 2,035     HUF 813,176     4/28/23     60  
Barclays Bank PLC   EUR 1,905     HUF 813,165     1/30/24     175  
Barclays Bank PLC   MYR 1,700     $ 385     3/15/23     (14 )
Barclays Bank PLC   PEN 11,531     $ 2,984     3/15/23     (4 )
Barclays Bank PLC   PEN 1,154     $ 299     3/15/23     (— @)
Barclays Bank PLC   $ 2,285     HUF 813,176     4/28/23     (83 )
Barclays Bank PLC   $ 2,285     HUF 813,165     1/30/24     (202 )
Barclays Bank PLC   $ 1,045     MXN 21,000     3/15/23     62  
Barclays Bank PLC   $ 5,049     MYR 22,200     2/10/23     157  
Barclays Bank PLC   $ 8,424     MYR 36,900     3/15/23     246  
BNP Paribas SA   BRL 19,323     $ 3,563     2/2/23     (243 )
BNP Paribas SA   $ 3,736     CLP 3,250,000     3/15/23     320  
BNP Paribas SA   $ 1,949     IDR 30,301,000     3/6/23     71  
BNP Paribas SA   $ 27,626     SGD 37,220     3/15/23     728  
BNP Paribas SA   $ 1,786     TRY 34,000     2/17/23     9  
BNP Paribas, N.A.   $ 3,789     BRL 19,323     2/2/23     17  
Citibank NA   BRL 11,111     $ 2,120     3/2/23     (58 )
Citibank NA   THB 50,800     $ 1,477     3/15/23     (68 )
Citibank NA   $ 2,205     EGP 56,000     2/21/23     (380 )
Citibank NA   $ 7,478     PEN 28,988     3/15/23     34  
Citibank NA   $ 1,709     UYU 67,000     4/11/23     (26 )
Citibank NA   $ 2,365     UYU 94,000     2/6/23     61  
Citibank NA   UYU 27,000     $ 673     2/6/23     (24 )
Citibank NA   UYU 35,667     $ 880     4/10/23     (16 )
Citibank NA   UYU 36,200     $ 892     4/10/23     (18 )
Citibank NA   UYU 57,063     $ 1,406     4/11/23     (28 )
Citibank NA   UYU 67,000     $ 1,728     2/6/23     (2 )
Citibank NA   ZAR 46,800     $ 2,729     3/15/23     49  
Goldman Sachs International   BRL 2,220     $ 421     3/2/23     (14 )
Goldman Sachs International   COP 13,064,629     $ 2,683     3/15/23     (92 )
Goldman Sachs International   EUR 4,799     PLN 22,707     3/15/23     10  
Goldman Sachs International   IDR 50,731,000     $ 3,328     7/11/23     (48 )
Goldman Sachs International   MXN 80,618     $ 4,179     3/15/23     (71 )
Goldman Sachs International   MXN 29,850     $ 1,560     3/15/23     (14 )
Goldman Sachs International   MXN 10,000     $ 500     3/15/23     (27 )
Goldman Sachs International   MXN 5,500     $ 282     3/15/23     (8 )
Goldman Sachs International   PLN 13,900     EUR 2,938     3/15/23     (17 )
Goldman Sachs International   SGD 14,070     $ 10,393     3/15/23     (325 )
Goldman Sachs International   SGD 23,150     $ 17,059     3/15/23     (576 )
Goldman Sachs International   THB 17,900     $ 528     3/15/23     (16 )
Goldman Sachs International   THB 14,300     $ 416     3/15/23     (19 )
Goldman Sachs International   $ 2,908     BRL 15,560     3/2/23     142  
Goldman Sachs International   $ 6,818     CNH 47,755     2/17/23     258  
Goldman Sachs International   $ 3,182     EUR 2,938     3/15/23     20  
Goldman Sachs International   $ 2,566     MXN 51,265     3/15/23     136  
Goldman Sachs International   $ 8,666     MYR 37,673     2/10/23     169  
Goldman Sachs International   $ 3,712     MYR 16,427     2/10/23     140  
Goldman Sachs International   $ 5,240     PLN 22,707     3/15/23     (15 )
HSBC Bank PLC   BRL 2,600     $ 495     3/2/23     (15 )

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

January 31, 2023 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

HSBC Bank PLC   CLP 6,500,000     $ 7,412     3/15/23     (702 )
HSBC Bank PLC   EUR 3,650     CZK 89,480     3/15/23     (41 )
HSBC Bank PLC   IDR 36,043,130     $ 2,381     4/10/23     (20 )
HSBC Bank PLC   $ 3,937     CZK 89,480     3/15/23     144  
HSBC Bank PLC   $ 9,425     EUR 8,656     3/15/23     11  
HSBC Bank PLC   $ 4,037     IDR 62,730,000     3/6/23     146  
HSBC Bank PLC   $ 3,196     IDR 50,000,000     4/10/23     136  
HSBC Bank PLC   $ 10,102     KRW 13,095,000     3/15/23     545  
HSBC Bank PLC   $ 6,695     KRW 8,700,000     3/15/23     379  
HSBC Bank PLC   $ 10,095     ZAR 179,949     3/15/23     210  
HSBC Bank PLC   $ 804     ZAR 13,800     3/15/23     (14 )
HSBC Bank PLC   ZAR 4,800     $ 279     3/15/23     4  
JPMorgan Chase Bank NA   MXN 18,482     $ 971     3/15/23     (3 )
JPMorgan Chase Bank NA   PEN 25,352     $ 6,536     3/15/23     (35 )
JPMorgan Chase Bank NA   PEN 2,536     $ 654     3/15/23     (4 )
JPMorgan Chase Bank NA   $ 1,257     BRL 6,808     2/2/23     84  
JPMorgan Chase Bank NA   $ 105     BRL 575     3/2/23     7  
JPMorgan Chase Bank NA   $ 4,212     KRW 5,460,100     3/15/23     227  
JPMorgan Chase Bank NA   $ 14,479     THB 494,300     3/15/23     559  
JPMorgan Chase Bank NA   $ 630     UZS 7,827,844     11/7/23     1  
JPMorgan Chase Bank NA   $ 1,886     UZS 23,672,156     10/24/23     31  
JPMorgan Chase Bank NA   ZAR 72,296     $ 4,158     3/15/23     18  
JPMorgan Chase Bank NA   ZAR 39,883     $ 2,310     3/15/23     26  
JPMorgan Chase Bank, N.A.   BRL 6,808     $ 1,335     2/2/23     (6 )
STANDARD CHARTERED BANK   COP 1,100,000     $ 228     3/15/23     (6 )
STANDARD CHARTERED BANK   EUR 1,427     RON 7,100     3/15/23     10  
STANDARD CHARTERED BANK   MXN 1,262     $ 64     3/15/23     (3 )
STANDARD CHARTERED BANK   MXN 55,502     $ 2,796     3/15/23     (130 )
STANDARD CHARTERED BANK   PEN 20,967     $ 5,405     3/15/23     (29 )
STANDARD CHARTERED BANK   PEN 2,098     $ 541     3/15/23     (3 )
STANDARD CHARTERED BANK   $ 3,734     CLP 3,250,000     3/15/23     322  
STANDARD CHARTERED BANK   $ 1,630     CNH 11,420     2/17/23     63  
STANDARD CHARTERED BANK   $ 1,555     RON 7,100     3/15/23     (1 )
STANDARD CHARTERED BANK   ZAR 10,544     $ 606     3/15/23     2  
State Street Bank & Trust Co.   BRL 12,515     $ 2,454     2/2/23     (11 )
State Street Bank and Trust Co.   COP 1,027,200     $ 210     3/15/23     (8 )
State Street Bank and Trust Co.   EUR 557     $ 599     2/10/23     (6 )
State Street Bank and Trust Co.   EUR 278     $ 300     2/10/23     (3 )
State Street Bank and Trust Co.   EUR 6,460     $ 6,954     2/10/23     (73 )
State Street Bank and Trust Co.   EUR 2,515     $ 2,707     2/10/23     (28 )
State Street Bank and Trust Co.   EUR 574     $ 618     2/10/23     (6 )
State Street Bank and Trust Co.   EUR 287     $ 309     2/10/23     (3 )
State Street Bank and Trust Co.   EUR 6,657     $ 7,170     2/10/23     (71 )
State Street Bank and Trust Co.   EUR 2,591     $ 2,791     2/10/23     (28 )
State Street Bank and Trust Co.   $ 2,294     BRL 12,515     2/2/23     172  
State Street Bank and Trust Co.   ZAR 239,521     $ 13,594     3/15/23     (122 )
UBS AG   BRL 1,229     $ 235     3/2/23     (6 )
UBS AG   CZK 14,000     EUR 578     3/15/23     (12 )
UBS AG   EUR 1,514     CZK 37,400     3/15/23     (36 )
UBS AG   IDR 93,031,000     $ 5,965     3/6/23     (237 )
UBS AG   $ 187     BRL 1,025     3/2/23     14  
UBS AG   $ 6,577     CNH 45,600     2/17/23     180  
UBS AG   $ 1,614     CZK 37,400     3/15/23     91  
UBS AG   $ 626     EUR 578     3/15/23     4  
UBS AG   $ 3,240     IDR 50,731,000     7/11/23     136  
                        $ 2,078  

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

January 31, 2023 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

Futures Contracts:

The Fund had the following futures contracts open at January 31, 2023:

 

   Number
of
Contracts		   Expiration
Date		  Notional Amount
(000)		   Value
(000)		   Unrealized
Depreciation
(000)		 
Short:                      
U.S. Treasury 10 yr. Ultra Note  35   Mar-23   (3,500)  $(4,242)  $(96)
U.S. Treasury 10 yr. Note  27   Mar-23   (2,700)   (3,092)   (52)
                    $(148)

 

Interest Rate Swap Agreements:

The Fund had the following interest rate swap agreements open at January 31, 2023:

 

Swap Counterparty  Floating Rate
Index		  Pay/Receive
Floating Rate		   Fixed
Rate		   Payment Frequency
Paid/ Received		  Maturity
Date		  Notional
Amount
(000)		   Value
(000)		   Upfront
Payment
Paid
(000)		   Unrealized
Appreciation
(Depreciation)
(000)		 
Morgan Stanley & Co. LLC*  BRL-CDI  Pay   13.46%  Annual/Semi-Annual  1/2/24  $36,750   $(5)  $—   $(5)
Morgan Stanley & Co. LLC*  BRL-CDI  Pay   13.66   Annual/Semi-Annual  1/2/24   35,750    7    —    7 
Morgan Stanley & Co. LLC*  BRL-CDI  Pay   13.69   Annual/Semi-Annual  1/2/24   436,701    112    —    112 
Morgan Stanley & Co. LLC*  BRL-CDI  Pay   14.07   Annual/Semi-Annual  1/2/24   57,520    59    —    59 
Morgan Stanley & Co. LLC*  BRL-CDI  Pay   14.15   Annual/Semi-Annual  1/2/24   58,610    70    —    70 
Morgan Stanley & Co. LLC*  BRL-CDI  Pay   14.20   Annual/Semi-Annual  1/2/24   82,550    105    —    105 
Morgan Stanley & Co. LLC*  BRL-CDI  Pay   14.25   Annual/Semi-Annual  7/3/23   36,050    23    —    23 
Morgan Stanley & Co. LLC*  BRL-CDI  Pay   14.34   Annual/Semi-Annual  1/2/24   38,400    60    —    60 
Morgan Stanley & Co. LLC*  BRL-CDI  Pay   14.52   Annual/Semi-Annual  1/2/24   82,920    158    —    158 
Morgan Stanley & Co. LLC*  CNRR  Pay   2.42   Quarterly/Quarterly  12/21/27  CNY284,209    (869)   —    (869)
Morgan Stanley & Co. LLC*   US CPI All Urban Consumers Index  Pay   3.19   Quarterly/Quarterly  7/26/25  KRW45,000,000    (121)   —    (121)
Morgan Stanley & Co. LLC*  WIBOR  Receive   5.53   Annual/Semi-Annual  12/21/32  PLN7,990    (18)   —    (18)
Morgan Stanley & Co. LLC*  WIBOR  Receive   5.56   Annual/Semi-Annual  12/21/27   13,330    (7)   —    (7)
Morgan Stanley & Co. LLC*  WIBOR  Receive   5.85   Annual/Semi-Annual  12/21/32   9,110    (70)   —    (70)
Morgan Stanley & Co. LLC*  WIBOR  Receive   6.02   Annual/Semi-Annual  12/21/27   15,270    (76)   —    (76)
Morgan Stanley & Co. LLC*  JIBAR  Pay   7.67   Quarterly/Quarterly  1/19/28  ZAR13,200    (—@)    —    (—@)
Morgan Stanley & Co. LLC*  JIBAR  Pay   7.71   Quarterly/Quarterly  1/19/28   12,810    1    —    1 
Morgan Stanley & Co. LLC*  JIBAR  Pay   7.71   Quarterly/Quarterly  1/20/28   13,590    1    —    1 
                         $(570)  $—   $(570)

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

January 31, 2023 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

@  Value is less than $500.
*  Cleared swap agreement, the broker is Morgan Stanley & Co. LLC.
CDI  CHESS Depositary Interest.
JIBAR  Johannesburg Interbank Agreed Rate.
WIBOR  Warsaw Interbank Offer Rate.
BRL — Brazilian Real
CLP — Chilean Peso
CNH — Chinese Yuan Renminbi Offshore
CNY — Chinese Yuan Renminbi
COP — Colombian Peso
CZK — Czech Koruna
DOP — Dominican Peso
EGP — Egyptian Pound
EUR — Euro
HUF — Hungarian Forint
IDR — Indonesian Rupiah
KRW — South Korean Won
MXN — Mexican Peso
MYR — Malaysian Ringgit
PEN — Peruvian Nuevo Sol
PLN — Polish Zloty
RON — Romanian New Leu
SGD — Singapore Dollar
RSD — Serbian Dinar
THB — Thai Baht
TRY — Turkish Lira
USD — United States Dollar
UYU — Uruguay Peso
UZS — Uzbekistani Som
ZAR — South African Rand
ZMW — Zambian Kwacha

 

 

 

 

Portfolio Composition

 

Classification  Percentage of
Total Investments		 
Sovereign   95.2%
Others*   4.8 
Total Investments   100.0%**

 

* Industries and/or investment types representing less than 5% of total investments.
** Does not include open short futures contracts with a value of approximately $7,334,000 and total unrealized depreciation of approximately $148,000. Does not include open foreign currency forward exchange contracts with net unrealized appreciation of approximately $2,078,000. Also does not include open swap agreements with net unrealized depreciation of approximately $570,000.

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

 

Notes to the Portfolio of Investments ▪ January 31, 2023 (unaudited)

 

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 Morgan Stanley Investment Management Inc. (the “Adviser”), a wholly-owned subsidiary of Morgan Stanley, 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) when market quotations are not readily available, as defined by Rule 2a-5 under the Act, 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 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; (3) 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; (4) 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; (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, which became effective September 8, 2022, 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.

 

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 January 31, 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  $—   $5,723   $—   $5,723 
Sovereign   —    394,538    —    394,538 
Total Fixed Income Securities   —    400,261    —    400,261 
Short-Term Investments                    
Investment Company   9,987    —    —    9,987 
U.S. Treasury Securities   —    4,098    —    4,098 
Total Short-Term Investments   9,987    4,098    —    14,085 
Foreign Currency Forward Exchange Contracts   —    6,386    —    6,386 
Interest Rate Swap Agreements   —    596    —    596 
Total Assets   9,987    411,341    —    421,328 
Liabilities:                    
Foreign Currency Forward Exchange Contracts   —    (4,308)   —    (4,308)
Futures Contracts   (148)   —    —    (148)
Interest Rate Swap Agreements   —    (1,166)   —    (1,166)
Total Liabilities   (148)   (5,474)   —    (5,622)
Total  $9,839   $405,867   $—   $415,706 

 

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