Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report – January 31, 2024 (unaudited)
Portfolio of Investments
(Showing Percentage of Total Value of Investments)
Face Amount (000) | Value (000) | |||||||
Fixed Income Securities (95.0%) | ||||||||
Armenia (2.9%) | ||||||||
Sovereign (2.9%) | ||||||||
Republic of Armenia Treasury Bond, | ||||||||
9.00%, 4/29/26 | AMD | 99,880 | $ | 241 | ||||
9.25%, 4/29/28 | 1,221,820 | 2,905 | ||||||
9.60%, 10/29/33 | 2,505,588 | 5,907 | ||||||
9.75%, 10/29/50 - 10/29/52 | 694,472 | 1,610 | ||||||
10,663 | ||||||||
Benin (0.6%) | ||||||||
Sovereign (0.6%) | ||||||||
Benin Government International Bond, | ||||||||
4.88%, 1/19/32 | EUR | 1,314 | 1,158 | |||||
5.75%, 3/26/26 | 204 | 217 | ||||||
6.88%, 1/19/52 | 1,086 | 926 | ||||||
2,301 | ||||||||
Chile (1.7%) | ||||||||
Sovereign (1.7%) | ||||||||
Bonos de la Tesoreria de la Republica en pesos, | ||||||||
5.00%, 10/1/28 | CLP | 3,520,000 | 3,804 | |||||
5.30%, 11/1/37 | 2,410,000 | 2,585 | ||||||
6,389 | ||||||||
Colombia (5.7%) | ||||||||
Corporate Bond (0.3%) | ||||||||
Fideicomiso PA Costera, | ||||||||
6.25%, 1/15/34 (a) | COP | 4,979,415 | 1,157 | |||||
Sovereign (5.4%) | ||||||||
Colombian TES, Series B | ||||||||
5.75%, 11/3/27 | 24,995,000 | 5,806 | ||||||
6.00%, 4/28/28 | 8,982,000 | 2,084 | ||||||
7.00%, 6/30/32 | 15,440,600 | 3,431 | ||||||
7.75%, 9/18/30 | 6,916,000 | 1,667 | ||||||
Colombian TES, | ||||||||
7.00%, 3/26/31 | 8,239,000 | 1,876 | ||||||
Financiera de Desarrollo Territorial SA Findeter, | ||||||||
7.88%, 8/12/24 (a) | 20,551,000 | 5,107 | ||||||
19,971 | ||||||||
21,128 | ||||||||
Czech Republic (4.2%) | ||||||||
Sovereign (4.2%) | ||||||||
Czech Republic Government Bond, | ||||||||
1.20%, 3/13/31 | CZK | 57,320 | 2,114 | |||||
2.00%, 10/13/33 | 117,440 | 4,379 | ||||||
2.75%, 7/23/29 | 214,430 | 8,930 | ||||||
15,423 | ||||||||
Dominican Republic (7.2%) | ||||||||
Sovereign (7.2%) | ||||||||
Dominican Republic Central Bank Note, | ||||||||
8.00%, 3/12/27 (a) | DOP | 15,000 | 239 | |||||
12.00%, 10/3/25 (a) | 59,260 | 1,028 | ||||||
13.00%, 12/5/25 (a) | 217,000 | 3,835 | ||||||
Dominican Republic International Bond, | ||||||||
8.00%, 1/15/27 - 2/12/27 (a) | 114,000 | 1,820 | ||||||
11.25%, 9/15/35 (a) | 261,150 | 4,791 | ||||||
12.00%, 8/8/25 (a) | 262,700 | 4,546 | ||||||
12.75%, 9/23/29 (a) | 357,200 | 6,763 | ||||||
13.63%, 2/3/33 | 160,750 | 3,320 | ||||||
26,342 | ||||||||
El Salvador (0.2%) | ||||||||
Sovereign (0.2%) | ||||||||
El Salvador Government International Bond, | ||||||||
5.88%, 1/30/25 | $ | 648 | 617 | |||||
Honduras (0.0%)‡ | ||||||||
Sovereign (0.0%)‡ | ||||||||
Honduras Government International Bond, | ||||||||
7.50%, 3/15/24 | 92 | 92 | ||||||
Hungary (3.2%) | ||||||||
Sovereign (3.2%) | ||||||||
Hungary Government Bond, | ||||||||
2.25%, 4/20/33 | HUF | 438,100 | 921 | |||||
3.00%, 10/27/27 - 4/25/41 | 2,685,730 | 6,014 | ||||||
3.25%, 10/22/31 | 687,060 | 1,631 | ||||||
4.00%, 4/28/51 | 139,450 | 272 |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 31, 2024 (unaudited)
Portfolio of Investments (cont'd)
(Showing Percentage of Total Value of Investments)
Face Amount (000) | Value (000) | |||||||
Sovereign (cont’d) | ||||||||
4.50%, 5/27/32 | HUF | 110,380 | $ | 282 | ||||
4.75%, 11/24/32 | 977,610 | 2,537 | ||||||
11,657 | ||||||||
India (4.3%) | ||||||||
Sovereign (4.3%) | ||||||||
India Government Bond, | ||||||||
7.10%, 4/18/29 | INR | 962,360 | 11,593 | |||||
7.26%, 2/6/33 | 336,750 | 4,086 | ||||||
15,679 | ||||||||
Indonesia (10.1%) | ||||||||
Sovereign (10.1%) | ||||||||
Indonesia Treasury Bond, | ||||||||
6.50%, 2/15/31 | IDR | 114,953,000 | 7,226 | |||||
7.00%, 9/15/30 - 2/15/33 | 142,861,000 | 9,290 | ||||||
7.13%, 6/15/42 - 6/15/43 | 83,550,000 | 5,439 | ||||||
7.38%, 5/15/48 | 7,875,000 | 527 | ||||||
7.50%, 6/15/35 | 83,000,000 | 5,591 | ||||||
8.38%, 4/15/39 | 65,600,000 | 4,759 | ||||||
8.75%, 5/15/31 | 58,978,000 | 4,193 | ||||||
37,025 | ||||||||
Jordan (0.7%) | ||||||||
Sovereign (0.7%) | ||||||||
Jordan Government International Bond, | ||||||||
4.95%, 7/7/25 | 2,735 | 2,635 | ||||||
Malaysia (5.9%) | ||||||||
Sovereign (5.9%) | ||||||||
Malaysia Government Bond, | ||||||||
3.58%, 7/15/32 | MYR | 6,289 | 1,304 | |||||
3.76%, 5/22/40 | 60,220 | 12,245 | ||||||
4.07%, 6/15/50 | 3,400 | 705 | ||||||
4.23%, 6/30/31 | 29,504 | 6,432 | ||||||
4.70%, 10/15/42 | 3,900 | 891 | ||||||
21,577 | ||||||||
Mexico (5.4%) | ||||||||
Sovereign (5.4%) | ||||||||
Mexican Bonos, | ||||||||
7.50%, 6/3/27 | MXN | 50,000 | 2,752 | |||||
7.75%, 5/29/31 | 133,000 | 7,151 | ||||||
8.50%, 5/31/29 - 11/18/38 | 117,679 | 6,601 | ||||||
Petroleos Mexicanos, | ||||||||
4.25%, 1/15/25 | $ | 1,850 | 1,811 | |||||
6.88%, 10/16/25 | 1,720 | 1,708 | ||||||
20,023 | ||||||||
Panama (0.0%)‡ | ||||||||
Sovereign (0.0%)‡ | ||||||||
Panama Bonos del Tesoro, | ||||||||
6.38%, 7/25/33 | 118 | 111 | ||||||
Paraguay (0.7%) | ||||||||
Corporate Bond (0.7%) | ||||||||
Itau BBA International PLC, | ||||||||
0.00%, 2/19/30 | PYG | 18,493,970 | 2,703 | |||||
Peru (8.9%) | ||||||||
Sovereign (8.9%) | ||||||||
Peru Government Bond, | ||||||||
5.94%, 2/12/29 | PEN | 81,570 | 21,873 | |||||
6.15%, 8/12/32 | 15,580 | 4,033 | ||||||
6.35%, 8/12/28 | 10,000 | 2,741 | ||||||
7.30%, 8/12/33 | 14,016 | 3,890 | ||||||
32,537 | ||||||||
Romania (4.6%) | ||||||||
Sovereign (4.6%) | ||||||||
Romania Government Bond, | ||||||||
2.50%, 10/25/27 | RON | 31,700 | 6,092 | |||||
4.25%, 4/28/36 | 8,910 | 1,600 | ||||||
4.75%, 2/24/25 - 10/11/34 | 29,455 | 6,217 | ||||||
5.80%, 7/26/27 | 9,410 | 2,028 | ||||||
8.75%, 10/30/28 | 3,970 | 951 | ||||||
16,888 | ||||||||
Serbia (3.2%) | ||||||||
Sovereign (3.2%) | ||||||||
Serbia Treasury Bonds, | ||||||||
4.50%, 8/20/32 | RSD | 869,800 | 7,250 | |||||
7.00%, 10/26/31 | 454,530 | 4,464 | ||||||
11,714 | ||||||||
South Africa (11.0%) | ||||||||
Sovereign (11.0%) | ||||||||
Republic of South Africa Government Bond, | ||||||||
8.00%, 1/31/30 | ZAR | 72,930 | 3,595 | |||||
8.75%, 1/31/44 | 336,800 | 13,305 |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 31, 2024 (unaudited)
Portfolio of Investments (cont'd)
(Showing Percentage of Total Value of Investments)
Face Amount (000) | Value (000) | |||||||
Sovereign (cont’d) | ||||||||
9.00%, 1/31/40 | ZAR | 343,230 | $ | 14,279 | ||||
10.50%, 12/21/26 - 12/21/26 | 164,400 | 9,187 | ||||||
40,366 | ||||||||
Supranational (0.1%) | ||||||||
Sovereign (0.1%) | ||||||||
International Finance Corp., | ||||||||
16.00%, 2/21/25 | UZS | 7,000,000 | 567 | |||||
Suriname (1.1%) | ||||||||
Sovereign (1.1%) | ||||||||
Suriname Government International Bond, | ||||||||
7.95%, 7/15/33 (a) | $ | 3,225 | 2,762 | |||||
9.00%, 12/31/50 (a)(b) | 1,656 | 1,118 | ||||||
3,880 | ||||||||
Thailand (3.2%) | ||||||||
Sovereign (3.2%) | ||||||||
Thailand Government Bond, | ||||||||
1.59%, 12/17/35 | THB | 70,000 | 1,746 | |||||
1.60%, 12/17/29 - 6/17/35 | 70,328 | 1,839 | ||||||
1.88%, 6/17/49 | 50,000 | 1,045 | ||||||
2.00%, 6/17/42 | 226,000 | 5,487 | ||||||
3.30%, 6/17/38 | 50,000 | 1,477 | ||||||
11,594 | ||||||||
Turkey (0.6%) | ||||||||
Sovereign (0.6%) | ||||||||
Turkiye Government Bond, | ||||||||
17.30%, 7/19/28 | TRY | 52,600 | 1,346 | |||||
26.20%, 10/5/33 | 30,000 | 995 | ||||||
2,341 | ||||||||
Uruguay (3.9%) | ||||||||
Sovereign (3.9%) | ||||||||
Uruguay Government International Bond, | ||||||||
3.88%, 7/2/40 | UYU | 154,917 | 4,246 | |||||
8.25%, 5/21/31 | 48,060 | 1,162 | ||||||
8.50%, 3/15/28 (a) | 69,890 | 1,745 | ||||||
9.75%, 7/20/33 | 270,166 | 7,139 | ||||||
14,292 | ||||||||
Uzbekistan (4.8%) | ||||||||
Corporate Bonds (1.4%) | ||||||||
Ipoteka-Bank ATIB, | ||||||||
16.00%, 4/16/24 | UZS | 10,170,000 | 817 | |||||
Uzbek Industrial & Construction Bank ATB via Daryo Finance BV, | ||||||||
18.75%, 6/15/25 | 48,515,300 | 4,116 | ||||||
4,933 | ||||||||
Senior Loan Interests (1.2%) | ||||||||
Europe Asia Investment Finance BV, | ||||||||
18.70%, 7/21/26 | 51,573,170 | 4,375 | ||||||
Sovereign (2.2%) | ||||||||
Republic of Uzbekistan International Bond, | ||||||||
14.00%, 7/19/24 | 45,910,000 | 3,715 | ||||||
16.25%, 10/12/26 | 55,720,000 | 4,508 | ||||||
8,223 | ||||||||
17,531 | ||||||||
Venezuela (0.2%) | ||||||||
Sovereign (0.2%) | ||||||||
Venezuela Government International Bond, | ||||||||
7.00%, 3/31/38 (c)(d)(e) | $ | 205 | 32 | |||||
7.65%, 4/21/25 (c)(d)(e) | 593 | 89 | ||||||
8.25%, 10/13/24 (c)(d)(e) | 899 | 133 | ||||||
9.00%, 5/7/23 (c)(d)(e) | 307 | 45 | ||||||
9.25%, 9/15/27 - 5/7/28 (c)(d)(e) | 1,347 | 236 | ||||||
9.38%, 1/13/34 (c)(d)(e) | 108 | 19 | ||||||
11.75%, 10/21/26 (c)(d)(e) | 138 | 26 | ||||||
580 | ||||||||
Zambia (0.6%) | ||||||||
Sovereign (0.6%) | ||||||||
Zambia Government Bond, | ||||||||
11.00%, 1/25/26 - 6/28/26 | ZMW | 44,154 | 1,462 | |||||
12.00%, 6/28/28 - 11/29/28 | 9,000 | 238 | ||||||
13.00%, 1/25/31 | 15,270 | 370 | ||||||
13.00%, 12/27/31 | 1,070 | 25 | ||||||
14.00%, 4/24/32 | 3,515 | 84 | ||||||
2,179 | ||||||||
Total Fixed Income Securities (Cost $364,726) | 348,834 | |||||||
Short-Term Investments (4.9%) |
U.S. Treasury Security (2.5%) | ||||||||
U.S. Treasury Bill, 5.53%, 5/2/24 (Cost $9,202) (f) | $ | 9,308 | 9,205 |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 31, 2024 (unaudited)
Portfolio of Investments (cont'd)
Shares | Value (000) | |||||||
Investment Company (2.4%) | ||||||||
Morgan Stanley Institutional Liquidity Funds — Treasury Securities Portfolio — Institutional Class (g) (Cost $8,927) | 8,927,143 | $ | 8,927 | |||||
Total Short-Term Investments (Cost $18,129) | 18,132 | |||||||
TOTAL INVESTMENTS EXCLUDING PURCHASED OPTIONS (99.9%)(Cost $382,855) | 366,966 | |||||||
TOTAL PURCHASED OPTIONS OUTSTANDING (0.1%) (Cost $176) | 228 | |||||||
TOTAL INVESTMENTS (100%) (Cost $383,031)(h)(i) | 367,194 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (13,784 | ) | ||||||
NET ASSETS | 353,410 |
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) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
(b) | Floating or variable rate securities: The rates disclosed are as of January 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. |
(c) | Issuer in bankruptcy. |
(d) | Non-income producing security; bond in default. |
(e) | All or a portion of the security is subject to delayed delivery. |
(f) | Rate shown is the yield to maturity at January 31, 2024. |
(g) | 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. January 31, 2024, advisory fees paid were reduced by $12,000 relating to the Fund's investment in the Liquidity Fund. |
(h) | 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, 2024, the Fund did not engage in any cross-trade transactions. |
(i) | At January 31, 2024, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $16,470,000 and the aggregate gross unrealized depreciation is approximately $32,440,000, resulting in net unrealized depreciation of approximately $15,970,000. |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 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 January 31, 2024:
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Delivery Date | Unrealized Appreciation (Depreciation) (000) | ||||||||
Australia & New Zealand Banking Group Ltd. | $ | 481 | TRY | 17,879 | 9/23/24 | $ | (16 | ) | ||||
Bank of America NA | $ | 1,569 | MXN | 27,350 | 3/20/24 | 8 | ||||||
Bank of America NA | UYU | 129,930 | $ | 3,196 | 3/20/24 | (111 | ) | |||||
Barclays Bank PLC | MYR | 980 | $ | 211 | 2/13/24 | 4 | ||||||
Barclays Bank PLC | MYR | 1,700 | $ | 366 | 3/20/24 | 5 | ||||||
Barclays Bank PLC | TRY | 69,301 | $ | 1,809 | 9/20/24 | (2 | ) | |||||
Barclays Bank PLC | TRY | 16,168 | $ | 460 | 6/21/24 | (1 | ) | |||||
Barclays Bank PLC | TRY | 17,879 | $ | 466 | 9/23/24 | — | @ | |||||
Barclays Bank PLC | $ | 10,288 | IDR | 161,852,300 | 3/20/24 | (39 | ) | |||||
Barclays Bank PLC | $ | 991 | MYR | 4,594 | 2/13/24 | (20 | ) | |||||
Barclays Bank PLC | $ | 1,094 | MYR | 5,066 | 2/13/24 | (22 | ) | |||||
Barclays Bank PLC | $ | 12,029 | MYR | 55,890 | 3/20/24 | (179 | ) | |||||
Barclays Bank PLC | $ | 1,892 | TRY | 69,301 | 9/20/24 | (81 | ) | |||||
Barclays Bank PLC | $ | 478 | TRY | 16,168 | 6/21/24 | (16 | ) | |||||
Barclays Bank PLC | $ | 4,296 | TRY | 167,216 | 12/16/24 | (269 | ) | |||||
Barclays Bank PLC | $ | 2,857 | TRY | 97,185 | 6/20/24 | (77 | ) | |||||
Barclays Bank PLC | $ | 1,537 | TRY | 66,738 | 1/29/25 | 8 | ||||||
Barclays Bank PLC | $ | 420 | ZAR | 7,829 | 3/20/24 | (4 | ) | |||||
BNP Paribas SA | BRL | 158,073 | $ | 32,110 | 2/2/24 | 205 | ||||||
BNP Paribas SA | BRL | 29,896 | $ | 6,073 | 2/2/24 | 39 | ||||||
BNP Paribas SA | BRL | 15,170 | $ | 3,052 | 5/3/24 | 19 | ||||||
BNP Paribas SA | BRL | 1,740 | $ | 351 | 2/2/24 | — | @ | |||||
BNP Paribas SA | BRL | 15,170 | $ | 3,062 | 2/2/24 | 1 | ||||||
BNP Paribas SA | EUR | 1,307 | HUF | 499,500 | 4/11/24 | (19 | ) | |||||
BNP Paribas SA | $ | 358 | BRL | 1,740 | 2/2/24 | (6 | ) | |||||
BNP Paribas SA | $ | 3,082 | BRL | 15,170 | 2/2/24 | (20 | ) | |||||
BNP Paribas SA | $ | 6,015 | BRL | 29,896 | 5/3/24 | (38 | ) | |||||
BNP Paribas SA | $ | 31,805 | BRL | 158,073 | 5/3/24 | (199 | ) | |||||
BNP Paribas SA | $ | 1,005 | BRL | 5,010 | 4/2/24 | — | @ | |||||
BNP Paribas SA | $ | 31,911 | BRL | 158,073 | 2/2/24 | (6 | ) | |||||
BNP Paribas SA | $ | 6,035 | BRL | 29,896 | 2/2/24 | (1 | ) | |||||
BNP Paribas SA | $ | 456 | CLP | 396,000 | 3/20/24 | (32 | ) | |||||
BNP Paribas SA | $ | 16,848 | EUR | 15,500 | 2/9/24 | (92 | ) | |||||
BNP Paribas SA | $ | 110 | ZAR | 2,090 | 3/20/24 | 1 | ||||||
BNP Paribas SA | ZAR | 40,334 | $ | 2,131 | 3/20/24 | (14 | ) | |||||
BNP Paribas SA | ZAR | 27,303 | $ | 1,443 | 3/20/24 | (10 | ) | |||||
BNP Paribas SA | ZAR | 6,181 | $ | 327 | 3/20/24 | (2 | ) | |||||
Citibank NA | AMD | 74,630 | $ | 187 | 9/6/24 | 7 | ||||||
Citibank NA | AMD | 225,194 | $ | 554 | 9/16/24 | 11 |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 31, 2024 (unaudited)
Portfolio of Investments (cont'd)
Foreign Currency Forward Exchange Contracts: (cont'd)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Delivery Date | Unrealized Appreciation (Depreciation) (000) | ||||||||
Citibank NA | EUR | 919 | $ | 1,005 | 2/9/24 | $ | 12 | |||||
Citibank NA | EUR | 1,354 | $ | 1,472 | 2/9/24 | 9 | ||||||
Citibank NA | EUR | 2,790 | $ | 3,040 | 2/9/24 | 25 | ||||||
Citibank NA | PEN | 4,440 | $ | 1,172 | 3/20/24 | 6 | ||||||
Citibank NA | PEN | 21,170 | $ | 5,588 | 3/20/24 | 30 | ||||||
Citibank NA | RON | 15,800 | EUR | 3,164 | 3/20/24 | (4 | ) | |||||
Citibank NA | $ | 1,154 | UYU | 45,500 | 3/20/24 | 4 | ||||||
Citibank NA | $ | 1,154 | UYU | 45,500 | 3/20/24 | 4 | ||||||
Citibank NA | $ | 983 | UYU | 38,930 | 3/20/24 | 8 | ||||||
Citibank NA | $ | 263 | ZAR | 5,019 | 3/20/24 | 4 | ||||||
Citibank NA | $ | 66 | ZAR | 1,276 | 3/20/24 | 1 | ||||||
Citibank NA | ZAR | 96,859 | $ | 5,079 | 3/20/24 | (74 | ) | |||||
Citibank NA | ZAR | 14,844 | $ | 778 | 3/20/24 | (11 | ) | |||||
Citibank NA | ZAR | 65,565 | $ | 3,438 | 3/20/24 | (50 | ) | |||||
Citibank NA | ZAR | 3,799 | $ | 198 | 3/20/24 | (4 | ) | |||||
Citibank NA | ZAR | 24,787 | $ | 1,291 | 3/20/24 | (28 | ) | |||||
Citibank NA | ZAR | 16,778 | $ | 874 | 3/20/24 | (19 | ) | |||||
Citibank NA | ZAR | 20,000 | $ | 1,077 | 3/20/24 | 13 | ||||||
Credit Agricole CIB | MYR | 1,080 | $ | 233 | 2/13/24 | 5 | ||||||
Goldman Sachs International | CNH | 83,300 | $ | 11,746 | 3/20/24 | 124 | ||||||
Goldman Sachs International | COP | 2,765,250 | $ | 679 | 3/20/24 | (25 | ) | |||||
Goldman Sachs International | COP | 15,751,829 | $ | 3,868 | 3/20/24 | (143 | ) | |||||
Goldman Sachs International | COP | 4,003,100 | $ | 1,013 | 3/20/24 | (6 | ) | |||||
Goldman Sachs International | CZK | 24,000 | $ | 1,058 | 3/20/24 | 15 | ||||||
Goldman Sachs International | PEN | 19,839 | $ | 5,218 | 3/20/24 | 9 | ||||||
Goldman Sachs International | PEN | 4,162 | $ | 1,095 | 3/20/24 | 2 | ||||||
Goldman Sachs International | RON | 2,059 | EUR | 412 | 3/20/24 | (1 | ) | |||||
Goldman Sachs International | RON | 772 | EUR | 155 | 3/20/24 | (— | @) | |||||
Goldman Sachs International | $ | 15,197 | CNH | 107,775 | 3/20/24 | (161 | ) | |||||
Goldman Sachs International | $ | 19,633 | MXN | 347,432 | 3/20/24 | 396 | ||||||
Goldman Sachs International | $ | 19,902 | MXN | 352,186 | 3/20/24 | 401 | ||||||
Goldman Sachs International | $ | 1,058 | TRY | 38,809 | 9/20/24 | (44 | ) | |||||
Goldman Sachs International | $ | 306 | UZS | 3,881,612 | 2/26/24 | 4 | ||||||
Goldman Sachs International | $ | 371 | UZS | 4,690,000 | 2/26/24 | 3 | ||||||
Goldman Sachs International | ZAR | 28,745 | $ | 1,495 | 3/20/24 | (34 | ) | |||||
HSBC Bank PLC | EUR | 1,199 | HUF | 458,500 | 4/11/24 | (16 | ) | |||||
HSBC Bank PLC | EUR | 1,385 | HUF | 542,395 | 2/29/24 | 24 | ||||||
HSBC Bank PLC | IDR | 26,731,000 | $ | 1,710 | 3/20/24 | 17 | ||||||
HSBC Bank PLC | IDR | 59,758,785 | $ | 3,823 | 3/20/24 | 39 | ||||||
HSBC Bank PLC | THB | 31,000 | $ | 890 | 3/20/24 | 13 |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 31, 2024 (unaudited)
Portfolio of Investments (cont'd)
Foreign Currency Forward Exchange Contracts: (cont'd)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Delivery Date | Unrealized Appreciation (Depreciation) (000) | ||||||||
HSBC Bank PLC | THB | 222,900 | $ | 6,354 | 3/20/24 | $ | 49 | |||||
HSBC Bank PLC | TRY | 48,200 | $ | 1,544 | 3/8/24 | 7 | ||||||
HSBC Bank PLC | $ | 2,851 | IDR | 44,561,673 | 3/20/24 | (29 | ) | |||||
HSBC Bank PLC | $ | 80 | THB | 2,800 | 3/20/24 | (1 | ) | |||||
HSBC Bank PLC | $ | 23,207 | THB | 808,012 | 3/20/24 | (348 | ) | |||||
HSBC Bank PLC | $ | 1,026 | TRY | 32,011 | 3/8/24 | (5 | ) | |||||
HSBC Bank PLC | $ | 1,165 | TRY | 36,343 | 3/8/24 | (5 | ) | |||||
HSBC Bank PLC | $ | 876 | TRY | 31,855 | 9/20/24 | (43 | ) | |||||
HSBC Bank PLC | $ | 68 | ZAR | 1,301 | 3/20/24 | 2 | ||||||
HSBC Bank PLC | ZAR | 16,884 | $ | 879 | 3/20/24 | (20 | ) | |||||
HSBC Bank PLC | ZAR | 3,823 | $ | 199 | 3/20/24 | (4 | ) | |||||
HSBC Bank PLC | ZAR | 24,943 | $ | 1,298 | 3/20/24 | (29 | ) | |||||
ICBC Standard Bank PLC | $ | 481 | UZS | 6,241,388 | 5/14/24 | 3 | ||||||
JPMorgan Chase Bank NA | BRL | 15,170 | $ | 3,130 | 2/2/24 | 69 | ||||||
JPMorgan Chase Bank NA | BRL | 29,896 | $ | 6,035 | 2/2/24 | 1 | ||||||
JPMorgan Chase Bank NA | BRL | 156,333 | $ | 31,560 | 2/2/24 | 6 | ||||||
JPMorgan Chase Bank NA | EUR | 5,348 | HUF | 2,054,594 | 4/11/24 | (48 | ) | |||||
JPMorgan Chase Bank NA | EUR | 2,425 | HUF | 925,022 | 2/20/24 | (23 | ) | |||||
JPMorgan Chase Bank NA | EUR | 829 | HUF | 321,979 | 3/1/24 | 7 | ||||||
JPMorgan Chase Bank NA | KRW | 4,795,000 | $ | 3,685 | 3/20/24 | 83 | ||||||
JPMorgan Chase Bank NA | MXN | 29,600 | $ | 1,719 | 3/20/24 | 12 | ||||||
JPMorgan Chase Bank NA | PEN | 2,300 | $ | 614 | 3/20/24 | 10 | ||||||
JPMorgan Chase Bank NA | TRY | 28,567 | $ | 887 | 3/20/24 | (12 | ) | |||||
JPMorgan Chase Bank NA | $ | 32,261 | BRL | 156,333 | 2/2/24 | (707 | ) | |||||
JPMorgan Chase Bank NA | $ | 6,169 | BRL | 29,896 | 2/2/24 | (135 | ) | |||||
JPMorgan Chase Bank NA | $ | 3,062 | BRL | 15,170 | 2/2/24 | (1 | ) | |||||
JPMorgan Chase Bank NA | $ | 20,257 | KRW | 26,357,000 | 3/20/24 | (458 | ) | |||||
JPMorgan Chase Bank NA | $ | 140 | NGN | 118,852 | 6/20/24 | (65 | ) | |||||
JPMorgan Chase Bank NA | $ | 15,932 | SGD | 21,280 | 2/26/24 | (52 | ) | |||||
JPMorgan Chase Bank NA | $ | 3,321 | SGD | 4,398 | 2/26/24 | (39 | ) | |||||
JPMorgan Chase Bank NA | $ | 915 | TRY | 28,567 | 3/20/24 | (16 | ) | |||||
JPMorgan Chase Bank NA | $ | 1,839 | UZS | 23,672,156 | 4/19/24 | 15 | ||||||
JPMorgan Chase Bank NA | $ | 573 | UZS | 7,827,844 | 11/1/24 | (1 | ) | |||||
JPMorgan Chase Bank NA | $ | 503 | UZS | 7,044,984 | 1/6/25 | — | @ | |||||
JPMorgan Chase Bank NA | $ | 349 | UZS | 4,745,798 | 10/22/24 | (1 | ) | |||||
JPMorgan Chase Bank NA | $ | 349 | UZS | 4,763,246 | 10/24/24 | — | @ | |||||
JPMorgan Chase Bank NA | ZAR | 16,700 | $ | 893 | 3/20/24 | 5 | ||||||
Royal Bank of Canada | EUR | 23,573 | PLN | 102,973 | 3/20/24 | 176 | ||||||
Royal Bank of Canada | EUR | 690 | PLN | 3,000 | 3/20/24 | 2 | ||||||
Standard Chartered Bank | CZK | 24,520 | EUR | 1,000 | 3/20/24 | 17 |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 31, 2024 (unaudited)
Portfolio of Investments (cont'd)
Foreign Currency Forward Exchange Contracts: (cont'd)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Delivery Date | Unrealized Appreciation (Depreciation) (000) | ||||||||
Standard Chartered Bank | EUR | 6,509 | CZK | 159,598 | 3/20/24 | $ | (110 | ) | ||||
Standard Chartered Bank | EUR | 180 | RON | 900 | 3/20/24 | — | @ | |||||
Standard Chartered Bank | EUR | 921 | $ | 1,001 | 2/9/24 | 6 | ||||||
Standard Chartered Bank | PEN | 7,952 | $ | 2,101 | 3/20/24 | 13 | ||||||
Standard Chartered Bank | PEN | 37,911 | $ | 10,016 | 3/20/24 | 62 | ||||||
Standard Chartered Bank | $ | 4,659 | PEN | 17,636 | 3/20/24 | (29 | ) | |||||
Standard Chartered Bank | $ | 90 | PEN | 340 | 3/20/24 | (1 | ) | |||||
Standard Chartered Bank | $ | 2,869 | UZS | 36,224,675 | 2/15/24 | 33 | ||||||
State Street Bank and Trust Co. | EUR | 188 | $ | 206 | 2/9/24 | 3 | ||||||
State Street Bank and Trust Co. | EUR | 378 | $ | 414 | 2/9/24 | 6 | ||||||
State Street Bank and Trust Co. | EUR | 189 | $ | 207 | 2/9/24 | 3 | ||||||
State Street Bank and Trust Co. | EUR | 1,176 | $ | 1,290 | 2/9/24 | 19 | ||||||
State Street Bank and Trust Co. | EUR | 1,896 | $ | 2,080 | 2/9/24 | 31 | ||||||
State Street Bank and Trust Co. | EUR | 189 | $ | 207 | 2/9/24 | 3 | ||||||
State Street Bank and Trust Co. | EUR | 378 | $ | 414 | 2/9/24 | 6 | ||||||
State Street Bank and Trust Co. | EUR | 1,176 | $ | 1,290 | 2/9/24 | 19 | ||||||
State Street Bank and Trust Co. | EUR | 1,896 | $ | 2,080 | 2/9/24 | 30 | ||||||
State Street Bank and Trust Co. | EUR | 1,883 | $ | 2,065 | 2/9/24 | 30 | ||||||
State Street Bank and Trust Co. | EUR | 375 | $ | 411 | 2/9/24 | 6 | ||||||
State Street Bank and Trust Co. | EUR | 1,168 | $ | 1,281 | 2/9/24 | 18 | ||||||
State Street Bank and Trust Co. | $ | 5,120 | EUR | 4,667 | 2/9/24 | (75 | ) | |||||
State Street Bank and Trust Co. | $ | 4,809 | EUR | 4,385 | 2/9/24 | (69 | ) | |||||
State Street Bank and Trust Co. | $ | 5,433 | EUR | 4,954 | 2/9/24 | (78 | ) | |||||
UBS AG | CLP | 1,141,030 | $ | 1,286 | 3/20/24 | 63 | ||||||
UBS AG | CLP | 2,466,386 | $ | 2,780 | 3/20/24 | 137 | ||||||
UBS AG | EUR | 1,394 | CZK | 34,190 | 3/20/24 | (24 | ) | |||||
UBS AG | EUR | 5,172 | HUF | 1,999,630 | 3/20/24 | 4 | ||||||
UBS AG | EUR | 6,111 | HUF | 2,362,800 | 3/20/24 | 5 | ||||||
UBS AG | EUR | 2,094 | HUF | 813,165 | 2/29/24 | 17 | ||||||
UBS AG | EUR | 3,885 | PLN | 16,970 | 3/20/24 | 29 | ||||||
UBS AG | HUF | 2,172,149 | EUR | 5,618 | 3/20/24 | (5 | ) | |||||
UBS AG | PEN | 13,232 | $ | 3,495 | 3/20/24 | 20 | ||||||
UBS AG | PEN | 2,775 | $ | 733 | 3/20/24 | 4 | ||||||
UBS AG | PLN | 13,900 | EUR | 3,182 | 3/20/24 | (24 | ) | |||||
UBS AG | $ | 3,750 | CLP | 3,326,715 | 3/20/24 | (185 | ) | |||||
UBS AG | $ | 876 | TRY | 31,855 | 9/20/24 | (43 | ) | |||||
UBS AG | $ | 223 | ZAR | 4,259 | 3/20/24 | 4 | ||||||
UBS AG | ZAR | 150,434 | $ | 7,863 | 3/20/24 | (140 | ) | |||||
$ | (2,210 | ) |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 31, 2024 (unaudited)
Portfolio of Investments (cont'd)
Put Options Purchased:
The Fund had the following put options purchased open at January 31, 2024:
Counterparty | Description | Strike Price | Expiration Date | Number of Contracts | Notional Amount (000) | Value (000) | Premiums Paid (000) | Unrealized Appreciation (000) | ||||||||||||||||||||
JPMorgan Chase Bank NA | USD/CNH | CNH | 85.50 | Jan–29 | 9,800,000 | $ | 9,800 | $ | 106 | $ | 81 | $ | 26 | |||||||||||||||
JPMorgan Chase Bank NA | USD/CNH | CNH | 85.50 | Jan–29 | 11,200,000 | 11,200 | 122 | 95 | 27 | |||||||||||||||||||
$ | 228 | $ | 176 | $ | 53 |
Futures Contracts: |
The Fund had the following futures contracts open at January 31, 2024: |
Number of Contracts | Expiration Date | Notional Amount (000) | Value (000) | Unrealized Appreciation (Depreciation) (000) | |||||||||||
Short: | |||||||||||||||
Euro-Buxl 30 yr. Bond (Germany) | 3 | Mar-24 | EUR | (300 | ) | $ | (446 | ) | $ | — | @ | ||||
German Euro-Bund Index (Germany) | 6 | Mar-24 | (600 | ) | (881 | ) | (10 | ) | |||||||
U.S. Treasury 5 yr. Note (United States) | 35 | Mar-24 | $ | (3,500 | ) | (3,794 | ) | (81 | ) | ||||||
U.S. Treasury 10 yr. Note (United States) | 2 | Mar-24 | (200 | ) | (224 | ) | (7 | ) | |||||||
$ | (98 | ) |
Centrally Cleared Interest Rate Swap Agreements: |
The Fund had the following centrally cleared interest rate swap agreements open at January 31, 2024: |
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 | 1 Month TIIE | Receive | 8.21 | % | Monthly/Monthly | 7/13/33 | MXN | 90,000 | $ | (153 | ) | $ | — | $ | (153 | ) | ||||||||||
Morgan Stanley & Co. LLC | 1 Month TIIE | Receive | 8.73 | Monthly/Monthly | 4/17/28 | 17,300 | (3 | ) | — | (3 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | 1 Month TIIE | Receive | 9.14 | Monthly/Monthly | 9/4/28 | 170,000 | 151 | — | 151 | |||||||||||||||||
Morgan Stanley & Co. LLC | 1 Month TIIE | Receive | 9.19 | Monthly/Monthly | 2/18/28 | 19,700 | 13 | — | 13 | |||||||||||||||||
Morgan Stanley & Co. LLC | 1 Month TIIE | Receive | 10.80 | Monthly/Monthly | 1/8/25 | 790,350 | (21 | ) | — | (21 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | 1 Month TIIE | Receive | 10.82 | Monthly/Monthly | 1/7/25 | 895,840 | (15 | ) | — | (15 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | 1 Month TIIE | Receive | 10.88 | Monthly/Monthly | 1/6/25 | 326,310 | 4 | — | 4 | |||||||||||||||||
Morgan Stanley & Co. LLC | 3 Month KSDA | Receive | 3.32 | Quarterly/ Quarterly | 6/21/33 | KRW | 3,131,000 | 21 | — | 21 | ||||||||||||||||
Morgan Stanley & Co. LLC | 3 Month KSDA | Receive | 3.59 | Quarterly/ Quarterly | 9/20/33 | 7,265,000 | 180 | — | 180 | |||||||||||||||||
Morgan Stanley & Co. LLC | 6 Month CLICP | Pay | 5.56 | Semi-Annual/Semi-Annual | 12/20/33 | CLP | 1,900,000 | (22 | ) | — | (22 | ) |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 31, 2024 (unaudited)
Portfolio of Investments (cont'd)
Centrally Cleared Interest Rate Swap Agreements: (cont'd)
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 | 6 Month CLICP | Pay | 5.23 | % | Semi-Annual/Semi-Annual | 9/20/33 | $ | 8,037,300 | (10 | ) | $ | — | $ | (10 | ) | |||||||||||
Morgan Stanley & Co. LLC | 6 Month PRIBO | Receive | 3.94 | Semi-Annual/Semi-Annual | 9/20/33 | CZK | 24,972 | 18 | — | 18 | ||||||||||||||||
Morgan Stanley & Co. LLC | 6 Month PRIBO | Receive | 3.96 | Semi-Annual/Semi-Annual | 9/20/33 | 49,943 | 39 | — | 39 | |||||||||||||||||
Morgan Stanley & Co. LLC | 6 Month PRIBO | Receive | 3.96 | Semi-Annual/Semi-Annual | 9/20/33 | 75,085 | 60 | — | 60 | |||||||||||||||||
Morgan Stanley & Co. LLC | 6 Month PRIBO | Receive | 3.96 | Semi-Annual/Semi-Annual | 9/20/33 | 20,700 | 16 | — | 16 | |||||||||||||||||
Morgan Stanley & Co. LLC | 6 Month PRIBO | Receive | 4.15 | Semi-Annual/Semi-Annual | 9/20/28 | 37,900 | 22 | — | 22 | |||||||||||||||||
Morgan Stanley & Co. LLC | 6 Month PRIBO | Receive | 4.33 | Semi-Annual/Semi-Annual | 12/20/33 | 13,430 | 34 | — | 34 | |||||||||||||||||
Morgan Stanley & Co. LLC | 6 Month WIBOR | Pay | 6.02 | Annual/Semi-Annual | 12/21/27 | PLN | 10,000 | (124 | ) | — | (124 | ) | ||||||||||||||
Morgan Stanley & Co. LLC | 6 Month WIBOR | Pay | 5.85 | Annual/Semi-Annual | 12/21/32 | 9,110 | (208 | ) | — | (208 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | 6 Month WIBOR | Pay | 5.56 | Annual/Semi-Annual | 12/21/27 | 13,330 | (111 | ) | — | (111 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | 6 Month WIBOR | Receive | 5.16 | Semi-Annual/Semi-Annual | 6/21/28 | 17,000 | 204 | — | 204 | |||||||||||||||||
Morgan Stanley & Co. LLC | 6 Month WIBOR | Receive | 5.26 | Semi-Annual/Semi-Annual | 6/12/28 | 40,000 | 522 | — | 522 | |||||||||||||||||
Morgan Stanley & Co. LLC | BRL-CDI | Receive | 9.70 | Maturity/Maturity | 1/4/27 | BRL | 20,700 | (11 | ) | — | (11 | ) | ||||||||||||||
Morgan Stanley & Co. LLC | BRL-CDI | Receive | 9.88 | Maturity/Maturity | 1/4/27 | 15,600 | 11 | — | 11 | |||||||||||||||||
Morgan Stanley & Co. LLC | BRL-CDI | Receive | 10.31 | Annual/Maturity | 1/2/25 | 27,500 | 4 | — | 4 | |||||||||||||||||
Morgan Stanley & Co. LLC | BRL-CDI | Receive | 10.55 | Annual/Maturity | 1/2/25 | 23,911 | (7 | ) | — | (7 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | BRL-CDI | Receive | 10.56 | Annual/Maturity | 1/2/25 | 51,089 | (15 | ) | — | (15 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | BRL-CDI | Receive | 10.92 | Annual/Maturity | 1/2/25 | 40,850 | 46 | — | 46 | |||||||||||||||||
Morgan Stanley & Co. LLC | BRL-CDI | Receive | 11.00 | Annual/Maturity | 1/2/25 | 162,000 | 167 | — | 167 | |||||||||||||||||
Morgan Stanley & Co. LLC | BRL-CDI | Receive | 11.29 | Annual/Maturity | 7/1/24 | 168,200 | (49 | ) | — | (49 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | CNRR | Receive | 2.22 | Quarterly/ Quarterly | 3/20/29 | CNY | 10,700 | 6 | — | 6 | ||||||||||||||||
Morgan Stanley & Co. LLC | CNRR | Receive | 2.29 | Quarterly/ Quarterly | 9/20/28 | 161,600 | 193 | — | 193 |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 31, 2024 (unaudited)
Portfolio of Investments (cont'd)
Centrally Cleared Interest Rate Swap Agreements: (cont'd)
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 | CNRR | Receive | 2.35 | % | Quarterly/ Quarterly | 3/20/29 | 12,000 | $ | 17 | $ | — | $ | 17 | |||||||||||||
Morgan Stanley & Co. LLC | CNRR | Receive | 2.39 | Quarterly/ Quarterly | 12/20/28 | 17,330 | 31 | — | 31 | |||||||||||||||||
Morgan Stanley & Co. LLC | CNRR | Receive | 2.42 | Quarterly/ Quarterly | 12/21/27 | 134,000 | 257 | — | 257 | |||||||||||||||||
Morgan Stanley & Co. LLC | CNRR | Receive | 2.43 | Quarterly/ Quarterly | 9/20/28 | 5,000 | 10 | — | 10 | |||||||||||||||||
Morgan Stanley & Co. LLC | CNRR | Receive | 2.44 | Quarterly/ Quarterly | 12/20/28 | 89,100 | 187 | — | 187 | |||||||||||||||||
Morgan Stanley & Co. LLC | CNRR | Receive | 2.48 | Quarterly/ Quarterly | 9/20/28 | 14,400 | 34 | — | 34 | |||||||||||||||||
Morgan Stanley & Co. LLC | CPIBR | Receive | 8.91 | Quarterly/ Quarterly | 12/20/33 | COP | 5,699,000 | 148 | — | 148 | ||||||||||||||||
Morgan Stanley & Co. LLC | MIBOR | Receive | 6.73 | Semi-Annual/Semi-Annual | 12/20/25 | INR | 1,917,000 | 179 | — | 179 | ||||||||||||||||
Morgan Stanley & Co. LLC | MIBOR | Receive | 6.74 | Semi-Annual/Semi-Annual | 12/20/25 | 526,000 | 51 | — | 51 | |||||||||||||||||
Morgan Stanley & Co. LLC | THOR | Receive | 2.68 | Quarterly/ Quarterly | 6/21/33 | THB | 120,000 | 18 | — | 18 | ||||||||||||||||
Morgan Stanley & Co. LLC | THOR | Receive | 2.95 | Quarterly/ Quarterly | 12/20/28 | 251,200 | 228 | — | 228 | |||||||||||||||||
$ | 2,122 | $ | — | $ | 2,122 |
@ | Value is less than $500. |
AMD | — Armenian Dram |
BRL | — Brazilian Real |
CLP | — Chilean Peso |
CNH | — Chinese Yuan Renminbi Offshore |
CNY | — Chinese Yuan Renminbi |
COP | — Colombian Peso |
CZK | — Czech Koruna |
DOP | — Dominican Peso |
EUR | — Euro |
HUF | — Hungarian Forint |
IDR | — Indonesian Rupiah |
INR | — Indian Rupee |
KRW | — South Korean Won |
MXN | — Mexican Peso |
MYR | — Malaysian Ringgit |
NGN | — Nigerian Naira |
PEN | — Peruvian Nuevo Sol |
PLN | — Polish Zloty |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
First Quarter Report − January 31, 2024 (unaudited)
Portfolio of Investments (cont'd)
PYG | — Paraguay Guarani |
RON | — Romanian New Leu |
RSD | — Serbia Dinar |
SGD | — Singapore Dollar |
THB | — Thai Baht |
TRY | — Turkish Lira |
USD | — United States Dollar |
UYU | — Uruguay Peso |
UZS | — Uzbekistan Som |
ZAR | — South African Rand |
ZMW | — Zambian Kwacha |
Portfolio Composition |
Classification | Percentage of Total Investments | |||
Sovereign | 91.5 | % | ||
Other* | 8.5 | |||
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 $5,345,000 and net unrealized depreciation of approximately $98,000. Does not include open foreign currency forward exchange contracts with net unrealized depreciation of approximately $2,210,000. Also does not include open swap agreements with net unrealized appreciation of approximately $2,122,000. |
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
January 31, 2024 (unaudited)
Notes to 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 Morgan Stanley Investment Management Inc. (the “Adviser”) or Morgan Stanley Investment Management Limited (“MSIM Limited”)(the “Sub-Adviser”), each 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 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) 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; (3) listed options are valued at the last reported sales price on the exchange on which they are listed (or at the exchange official closing price if such exchange reports an official closing price). If an official closing price or last reported sales price is unavailable, the listed option should be fair valued at the mean between its latest bid and ask prices. Unlisted options are valued at the mean between their latest bid and ask prices from a broker/dealer or valued by a pricing service/vendor; (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 Domestic Debt Fund, Inc.
January 31, 2024 (unaudited)
Notes to Portfolio of Investments (cont'd)
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.
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
January 31, 2024 (unaudited)
Notes to Portfolio of Investments (cont'd)
The following is a summary of the inputs used to value the Fund’s investments as of January 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 | $ | — | $ | 8,793 | $ | — | $ | 8,793 | ||||||||
Senior Loan Interests | — | 4,375 | — | 4,375 | ||||||||||||
Sovereign | — | 335,666 | — | 335,666 | ||||||||||||
Total Fixed Income Securities | — | 348,834 | — | 348,834 | ||||||||||||
Put Options Purchased | $ | — | $ | 228 | $ | — | $ | 228 | ||||||||
Short-Term Investments | ||||||||||||||||
U.S. Treasury Security | — | 9,205 | — | 9,205 | ||||||||||||
Investment Company | 8,927 | — | — | 8,927 | ||||||||||||
Total Short-Term Investments | 8,927 | 9,205 | — | 18,132 | ||||||||||||
Foreign Currency Forward Exchange Contracts | — | 2,511 | — | 2,511 | ||||||||||||
Future Contract | — | — | — | — | ||||||||||||
Centrally Cleared Interest Rate Swap Agreements | — | 2,871 | — | 2,871 | ||||||||||||
Total Assets | $ | 8,927 | $ | 363,649 | $ | — | $ | 372,576 | ||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Forward Exchange Contracts | — | (4,721 | ) | — | (4,721 | ) | ||||||||||
Futures Contracts | (98 | ) | — | — | (98 | ) | ||||||||||
Centrally Cleared Interest Rate Swap Agreements | — | (749 | ) | — | (749 | ) | ||||||||||
Total Liabilities | (98 | ) | (5,470 | ) | — | (5,568 | ) | |||||||||
Total | $ | 8,829 | $ | 358,179 | $ | — | $ | 367,008 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes.