N-Q 1 a05-20901_4nq.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

[Annotated Form N-Q]

 

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

 

 

 

 

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-07694

 

MORGAN STANLEY EMERGING MARKETS DEBT FUND, INC.

(Exact name of registrant as specified in charter)

1221 AVENUE OF THE AMERICAS 22ND FLOOR NEW YORK, NY

10020

(Address of principal executive offices)

(Zip code)

RONALD E. ROBISON
1221 AVENUE OF THE AMERICAS 33RD FLOOR NEW YORK, NY, 10020

(Name and address of agent for service)

 

 

 

Registrant’s telephone number, including area code:

1-800-221-6726

 

 

Date of fiscal year end:

12/31

 

 

Date of reporting period:

9/30/05

 

 


 

Item 1.  Schedule of Investments.

 

The Fund’s schedule of investment as of the close of the reporting period prepared pursuant to Rule 12-12 Regulation S-X is as follows:

 


 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Third Quarter Report

September 30, 2005 (unaudited)

 

Portfolio of Investments

(Showing Percentage of Total Value of Investments)

 

 

 

 

 

Face

 

 

 

 

 

 

 

Amount

 

Value

 

 

 

 

 

(000)

 

(000)

 

DEBT INSTRUMENTS (97.6%)

 

 

 

 

 

 

 

Argentina (3.9%)

 

 

 

 

 

 

 

Sovereign (3.9%)

 

 

 

 

 

 

 

Republic of Argentina

 

 

 

 

 

 

 

1.33%, 12/31/38

 

(a)

 

$

411

 

$

162

 

5.83%, 12/31/33

 

(c)

 

17,250

 

7,849

 

8.28%, 12/31/33

 

 

 

398

 

409

 

Republic of Argentina (Linked Variable Rate)

 

 

 

 

 

 

 

87.961%, 4/10/49

 

(b)

 

3,770

 

1,602

 

 

 

 

 

 

 

10,022

 

Brazil (15.1%)

 

 

 

 

 

 

 

Sovereign (14.0%)

 

 

 

 

 

 

 

Federative Republic of Brazil

 

 

 

 

 

 

 

4.25%, 4/15/24

 

(c)

 

5,280

 

5,102

 

6.00%, 4/15/24

 

(c)

 

1,490

 

1,441

 

8.00%, 1/15/18

 

 

 

8,549

 

9,075

 

8.875%, 10/14/19-4/15/24

 

 

 

9,938

 

10,799

 

10.50%, 7/14/14

 

 

 

1,740

 

2,111

 

14.50%, 10/15/09

 

 

 

6,040

 

7,870

 

 

 

 

 

 

 

36,398

 

Corporate (1.1%)

 

 

 

 

 

 

 

Banco ABN Amro Real SA

 

 

 

 

 

 

 

Zero Coupon, 7/21/06

 

(e)

 

2,340

 

2,533

 

 

 

 

 

 

 

38,931

 

Bulgaria (1.5%)

 

 

 

 

 

 

 

Sovereign (1.5%)

 

 

 

 

 

 

 

Republic of Bulgaria

 

 

 

 

 

 

 

8.25%, 1/15/15

 

(e)

 

1,699

 

2,105

 

Republic of Bulgaria (Registered)

 

 

 

 

 

 

 

8.25%, 1/15/15

 

 

 

1,490

 

1,846

 

 

 

 

 

 

 

3,951

 

Chile (1.7%)

 

 

 

 

 

 

 

Corporate (1.7%)

 

 

 

 

 

 

 

Empresa Nacional de Petroleo

 

 

 

 

 

 

 

6.75%, 11/15/12

 

(e)

 

4,170

 

4,512

 

Colombia (1.3%)

 

 

 

 

 

 

 

Sovereign (1.3%)

 

 

 

 

 

 

 

Republic of Colombia

 

 

 

 

 

 

 

9.75%, 4/9/11

 

 

 

1,453

 

1,667

 

10.375%, 1/28/33

 

 

 

370

 

485

 

11.75%, 2/25/20

 

 

 

925

 

1,291

 

 

 

 

 

 

 

3,443

 

India (0.0%)

 

 

 

 

 

 

 

Corporate (0.0%)

 

 

 

 

 

 

 

Surashtra Cement and Chemical Ltd.

 

 

 

 

 

 

 

19.00% (expired maturity)

 

(f)

 

INR

30,000

 

—

@

Indonesia (3.0%)

 

 

 

 

 

 

 

Corporate (3.0%)

 

 

 

 

 

 

 

Pindo Deli Finance Mauritius

 

 

 

 

 

 

 

Tranche A, 4,675%, 4/28/15

 

(c)(e)

 

$

1,313

 

1,083

 

Tranche B, 4,675%, 4/28/18

 

(c)(e)

 

3,413

 

1,792

 

Tranche C, 4.675%, 4/28/27

 

(c)(e)

 

6,884

 

1,549

 

Tijiwi Kimia Finance Mauritius Ltd.

 

 

 

 

 

 

 

Tranche A, 4.675%, 4/28/15

 

(c)(e)

 

1,054

 

901

 

Tranche B, 4.675%, 4/28/18

 

(c)(e)

 

2,714

 

1,778

 

Tranche C, 4.675%, 4/28/27

 

(c)(e)

 

3,352

 

888

 

 

 

 

 

 

 

7,991

 

 

1


 

Ivory Coast (0.1%)

 

 

 

 

 

 

 

Sovereign (0.1%)

 

 

 

 

 

 

 

Republic of Ivory Coast

 

 

 

 

 

 

 

2.00%, 3/29/18

 

(b)

 

2,045

 

378

 

Malaysia (3.5%)

 

 

 

 

 

 

 

Sovereign (3.5%)

 

 

 

 

 

 

 

Government of Malaysia

 

 

 

 

 

 

 

7.50%, 7/15/11

 

 

 

1,390

 

1,579

 

8.75%, 6/1/09

 

 

 

6,720

 

7,623

 

 

 

 

 

 

 

9,202

 

Mexico (19.6%)

 

 

 

 

 

 

 

Corporate (8.6%)

 

 

 

 

 

 

 

Pemex Project Funding Master Trust

 

 

 

 

 

 

 

4.71%, 6/15/10

 

(c)(e)

 

4,250

 

4,433

 

8.625%, 12/1/23

 

(e)

 

1,740

 

2,127

 

9.125%, 10/13/10

 

 

 

4,040

 

4,737

 

9.50%, 9/15/27

 

(e)

 

4,860

 

6,427

 

9.50%, 9/15/27

 

 

 

2,060

 

2,722

 

Satelites Mexicanos S.A. de CV

 

 

 

 

 

 

 

10.125% (expired Maturity)

 

(b)

 

3,343

 

1,805

 

 

 

 

 

 

 

22,251

 

Sovereign (11.0%)

 

 

 

 

 

 

 

United Mexican States

 

 

 

 

 

 

 

8.125%, 12/30/19

 

 

 

5,363

 

6,516

 

8.30%, 8/15/31

 

 

 

1,940

 

2,430

 

8.375%, 1/14/11

 

(d)

 

10,210

 

11,767

 

10.375%, 2/17/09

 

 

 

3,430

 

4,017

 

11.50%, 5/15/26

 

 

 

2,338

 

3,758

 

 

 

 

 

 

 

28,488

 

 

 

 

 

 

 

50,739

 

Nigeria (1.1%)

 

 

 

 

 

 

 

Sovereign (1.1%)

 

 

 

 

 

 

 

Central Bank of Nigeria Par Bond

 

 

 

 

 

 

 

6.25%, 11/15/20

 

(a)

 

2,750

 

2,764

 

Panama (1.9%)

 

 

 

 

 

 

 

Sovereign (1.9%)

 

 

 

 

 

 

 

Republic of Panama

 

 

 

 

 

 

 

9.375%, 4/1/29

 

 

 

1,890

 

2,410

 

9.625%, 2/8/11

 

 

 

1,510

 

1,812

 

10.75%, 5/15/20

 

 

 

490

 

685

 

 

 

 

 

 

 

4,907

 

Peru (2.1%)

 

 

 

 

 

 

 

Sovereign (2.1%)

 

 

 

 

 

 

 

Republic of Peru

 

 

 

 

 

 

 

8.375%, 5/3/16

 

 

 

1,610

 

1,892

 

8.75%, 11/21/33

 

 

 

1,460

 

1,770

 

9.875%, 2/6/15

 

 

 

1,385

 

1,776

 

 

 

 

 

 

 

5,438

 

Philippines (8.0%)

 

 

 

 

 

 

 

Sovereign (8.0%)

 

 

 

 

 

 

 

Republic of Philippines

 

 

 

 

 

 

 

8.875%, 3/17/15

 

 

 

8,670

 

9,298

 

9.50%, 2/2/30

 

 

 

8,510

 

9,106

 

10.625%, 3/16/25

 

 

 

2,080

 

2,439

 

 

 

 

 

 

 

20,843

 

Qatar (0.8%)

 

 

 

 

 

 

 

Sovereign (0.8%)

 

 

 

 

 

 

 

State of Qatar (Registered)

 

 

 

 

 

 

 

9.75%, 6/15/30

 

 

 

1,260

 

1,941

 

Russia (20.4%)

 

 

 

 

 

 

 

Corporate (1.9%)

 

 

 

 

 

 

 

Gaz Capital for Gazprom

 

 

 

 

 

 

 

8.625%, 4/28/34

 

 

 

3,670

 

4,832

 

Sovereign (18.5%)

 

 

 

 

 

 

 

Aries Vermoegensverwaltungs GmbH

 

 

 

 

 

 

 

9.60%, 10/25/14

 

 

 

4,250

 

5,621

 

Russian Federation

 

 

 

 

 

 

 

5.00%, 3/31/30

 

(a)(e)

 

4,684

 

5,387

 

Russian Federation (Registered)

 

 

 

 

 

 

 

5.00%, 3/31/30

 

(a)

 

965

 

1,110

 

8.25%, 3/31/10

 

 

 

5,870

 

6,350

 

11.00%, 7/24/18

 

 

 

7,051

 

10,788

 

12.75%, 6/24/28

 

(d)

 

10,080

 

19,001

 

 

 

 

 

 

 

48,257

 

 

 

 

 

 

 

53,089

 

 

2


 

Tunisia (0.3%)

 

 

 

 

 

 

 

Sovereign (0.3%)

 

 

 

 

 

 

 

Banque Centrale de Tunisie

 

 

 

 

 

 

 

7.375%, 4/25/12

 

 

 

750

 

851

 

Turkey (7.1%)

 

 

 

 

 

 

 

Sovereign (7.1%)

 

 

 

 

 

 

 

Citigroup Global Markets Holdings, Inc.

 

 

 

 

 

 

 

(Turkish Lira Index Linked)

 

 

 

 

 

 

 

Zero Coupon, 2/23/06

 

 

 

5,780

 

8,395

 

Zero Coupon, 9/28/06

 

 

 

1,540

 

1,691

 

Credit Suisse First Boston

 

 

 

 

 

 

 

7.20%, 8/20/11

 

 

 

3,700

 

3,759

 

Republic of Turkey

 

 

 

 

 

 

 

11.00%, 1/14/13

 

 

 

3,570

 

4,583

 

 

 

 

 

 

 

18,428

 

Venezuela (6.2%)

 

 

 

 

 

 

 

Sovereign (6.2%)

 

 

 

 

 

 

 

Republic of Venezuela

 

 

 

 

 

 

 

8.50%, 10/8/14

 

 

 

1,510

 

1,680

 

9.375%, 1/13/34

 

 

 

7,072

 

8,391

 

10.75%, 9/19/13

 

 

 

4,890

 

6,112

 

 

 

 

 

 

 

16,183

 

TOTAL DEBT INSTRUMENTS

 

 

 

 

 

 

 

(Cost $238,736)

 

 

 

 

 

253,613

 

 

 

 

 

 

No. of

 

 

 

 

 

 

 

Warrants

 

 

 

WARRANTS (0.2%)

 

 

 

 

 

 

 

Nigeria (0.1%)

 

 

 

 

 

 

 

Central Bank of Nigeria, expiring 11/15/20

 

 

 

3,000

 

153

 

Venezuela (0.1%)

 

 

 

 

 

 

 

Republic of Venezuela Oil-Linked Payment Obligation, expiring 4/15/20

 

 

 

11,350

 

289

 

TOTAL WARRANTS

 

 

 

 

 

 

 

(Cost $@—)

 

 

 

 

 

442

 

 

 

 

 

 

Face

 

 

 

 

 

 

 

Amount

 

 

 

 

 

 

 

(000)

 

 

 

SHORT-TERM INVESTMENT (2.2%)

 

 

 

 

 

 

 

United States (2.2%)

 

 

 

 

 

 

 

Repurchase Agreement (2.2%)

 

 

 

 

 

 

 

J.P. Morgan Securities, Inc., 3.70%,
dated 9/30/05, due 10/3/05
repurchase price $5,695 (Cost $5,693)

 

(g)

 

$

5,693

 

5,693

 

TOTAL INVESTMENTS + (100.0%)

 

 

 

 

 

 

 

(Cost $238,736)

 

 

 

 

 

259,748

 

LIABILITIES IN EXCESS OF OTHER ASSETS

 

 

 

 

 

(17,549

)

NET ASSETS

 

 

 

 

 

$

242,199

 

 

(a)

Step Bond - coupon rate increases to maturity. Rate disclosed is as of September 30, 2005. Maturity date disclosed is ultimate maturity.

(b)

Security is in default.

(c)

Variable/Floating Rate Security — Interest rate changes on these instruments are based on changes in designated base rates.

 

The rates shown are those in effect on September 30, 2005.

(d)

Denotes all or a portion of securities subject to repurchase under the Reverse Repurchase Agreements as of September 30, 2005.

(e)

144A Security - Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid.

(f)

Security was valued at fair value. At September 30, 2005, the Fund held a fair valued security, valued at less than $500, representing less than 0.05% of net assets.

(g)

Represents the Fund’s undivided interest in a joint repurchase agreement which has a total value of $633,510,000. The repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of Investments as follows: Federal Home Loan Mortgage Corporation: 0.00% to 4.20%, due 12/1/05 to 5/27/11; Federal National Mortgage Association: 0.00% to 5.50%, due 10/7/05 to 1/12/15; Federal Farm Credit Bank: 0.00% to 5.50%, due 10/7/05 to 8/17/20; Federal Home Loan Bank: 0.00% to 5.375%, due 3/28/06 to 8/15/19; and Tennessee Valley Authority: 4.375% to 7.125%, due 11/13/08 to 1/15/38, which had a total value of $646,181,745. The investment in the repurchase agreement is through participation in a joint account with affiliated parties pursuant to exemptive relief received by the Fund from the SEC.

+

At September 30, 2005, the U.S. Federal income tax cost basis of investments was approximately $238,736,000 and, accordingly, net unrealized appreciation for U.S. Federal income tax purposes was $21,012,000 of which $27,252,000 related to appreciated securities and $6,240,000 related to depreciated securities.

 

 

@

Value/Face Amount is less than $500.

INR

Indian Rupee

 

3


 

Item 2.  Controls and Procedures.

 

(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

 

(b)  There were no changes in the Fund’s internal control over financial reporting that occurred during the registrant’s fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

 

Item 3.  Exhibits.

 


 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)

Morgan Stanley Emerging Markets Debt Fund, Inc.

 

By:

/s/ Ronald E. Robison

 

Name:

Ronald E. Robison

 

Title:

Principal Executive Officer

 

Date:

November 21, 2005

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:

/s/ Ronald E. Robison

 

Name:

Ronald E. Robison

 

Title:

Principal Executive Officer

 

Date:

November 21, 2005

 

 

 

 

By:

/s/ James Garrett

 

Name:

James Garrett

 

Title:

Principal Financial Officer

 

Date:

November 21, 2005