- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
March 26 2009 - 11:22AM
Edgar (US Regulatory)
[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
|
811-22011
|
|
|
MORGAN STANLEY EMERGING MARKETS DOMESTIC DEBT FUND, INC.
|
(Exact name of registrant as specified in charter)
|
|
522 FIFTH AVENUE
NEW YORK, NY
|
|
10036
|
(Address of principal executive offices)
|
|
(Zip code)
|
|
RANDY TAKIAN
522 FIFTH AVENUE
NEW YORK, NY, 10036
|
(Name and address of agent for service)
|
|
Registrants
telephone number, including area code:
|
1-800-231-2608
|
|
|
Date of
fiscal year end:
|
10/31
|
|
|
|
|
Date of
reporting period:
|
1/31/09
|
|
|
|
|
|
|
|
|
Form N-Q is to be used by management investment companies, other than
small business investment companies registered on Form N-S (§§ 239:24 and 274.5
of this chapter), to file reports with the Commission, not later than 60 days
after the close of the first and third fiscal quarters, pursuant to rule 30b1-5
under The investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information
provided on Form N-Q in its regulatory, disclosure review, inspection, and
policymaking roles.
A registrant
is required to disclose the information specified by Form N-Q, and the
Commission will make this information public. A registrant is not required to
respond to the collection of information contained in Form N-Q unless the Form
displays a currently valid Office of Management and Budget (OMB) control
number. Please direct comments concerning
the accuracy of the information collection burden estimate and any suggestions
for reducing the burden to the Secretary, Securities and Exchange Commission,
450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. § 3507.
Item 1.
Schedule of Investments.
The Funds schedule of investments as of the close of the
reporting period prepared pursuant to Rule 12-12 of Regulation S-X is as
follows:
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.
Portfolio of Investments
(Showing
Percentage of Total Value of Investments)
First Quarter Report
January 31,
2009 (unaudited)
|
|
Face Amount
(000)
|
|
Value
(000)
|
|
|
Debt Instruments (94.6%)
|
|
|
|
|
|
|
|
Brazil (16.1%)
|
|
|
|
|
|
|
|
Sovereign (16.1%)
|
|
|
|
|
|
|
|
Brazil Notas do Tesouro Nacional,
|
|
|
|
|
|
|
|
10.00%, 7/1/10
|
|
BRL
|
109,030
|
|
$
|
46,646
|
|
|
Brazil Notas do Tesouro Nacional,
Series F,
|
|
|
|
|
|
|
|
10.00%, 1/1/14
|
|
|
359,247
|
|
139,870
|
|
|
|
|
|
|
|
186,516
|
|
|
Colombia (3.7%)
|
|
|
|
|
|
|
|
Sovereign (3.7%)
|
|
|
|
|
|
|
|
Jupiter, S.p.V., Colombian Peso Linked
Bonds,
|
|
|
|
|
|
|
|
13.50%, 9/15/14
|
|
$
|
75,000
|
|
43,301
|
|
|
Hungary (6.7%)
|
|
|
|
|
|
|
|
Sovereign (6.7%)
|
|
|
|
|
|
|
|
Republic of Hungary,
|
|
|
|
|
|
|
|
6.25%, 8/24/10
|
|
HUF
|
4,665,130
|
|
18,921
|
|
|
6.75%, 2/24/17
|
|
|
10,896,620
|
|
39,351
|
|
|
7.25%, 6/12/12
|
|
|
4,776,500
|
|
18,773
|
|
|
|
|
|
|
|
77,045
|
|
|
Indonesia (10.8%)
|
|
|
|
|
|
|
|
Corporate (0.7%)
|
|
|
|
|
|
|
|
Pindo Deli Finance Mauritius,
|
|
|
|
|
|
|
|
Tranche A, 3.18%, 4/28/15(a)(b)
|
|
$
|
1,390
|
|
772
|
|
|
Tranche A, 3.18%, 4/28/15(a)
|
|
|
137
|
|
76
|
|
|
Tranche B, 3.18%, 4/28/18(a)(b)
|
|
|
8,336
|
|
2,126
|
|
|
Tranche C, Zero Coupon, 4/28/25(a)(b)
|
|
|
2,227
|
|
122
|
|
|
Tjiwi Kimia Finance Mauritius Ltd.,
|
|
|
|
|
|
|
|
Tranche A, 3.15%, 4/28/15(a)(b)
|
|
|
4,152
|
|
2,304
|
|
|
Tranche A, 3.18%, 4/28/15(a)
|
|
|
627
|
|
348
|
|
|
Tranche B, 3.15%, 4/28/18(a)(b)
|
|
|
9,360
|
|
2,387
|
|
|
Tranche C, Zero Coupon, 4/28/27(a)(b)
|
|
|
998
|
|
55
|
|
|
|
|
|
|
|
8,190
|
|
|
Sovereign (10.1%)
|
|
|
|
|
|
|
|
Barclays Bank plc, Indonesian Government
Bond Linked Notes,
|
|
|
|
|
|
|
|
10.00%, 7/17/17
|
|
IDR
|
750,000,000
|
|
60,278
|
|
|
Citigroup, Inc., Indonesian Indexed
Credit Linked Unsecured Notes,
|
|
|
|
|
|
|
|
Zero Coupon, 7/19/17
|
|
$
|
28,828
|
|
19,730
|
|
|
Credit Suisse, Republic of Indonesia
Government Bonds Credit Linked Notes,
|
|
|
|
|
|
|
|
10.00%, 7/15/17
|
|
IDR
|
154,683,530
|
|
12,432
|
|
|
JPMorgan Chase & Co., London, Indonesian
Treasury Bill Linked Notes,
|
|
|
|
|
|
|
|
10.00%, 7/15/17
|
|
|
192,525,000
|
|
15,476
|
|
|
Republic of Indonesia,
|
|
|
|
|
|
|
|
6.88%, 1/17/18
|
|
$
|
5,000
|
|
3,925
|
|
|
6.88%, 1/17/18 (b)
|
|
|
7,000
|
|
5,495
|
|
|
|
|
|
|
|
117,336
|
|
|
|
|
|
|
|
125,526
|
|
|
Malaysia (6.8%)
|
|
|
|
|
|
|
|
Sovereign (6.8%)
|
|
|
|
|
|
|
|
Government of Malaysia,
|
|
|
|
|
|
|
|
3.72%, 6/15/12
|
|
MYR
|
105,000
|
|
30,074
|
|
|
3.83%, 9/28/11
|
|
|
169,720
|
|
48,500
|
|
|
|
|
|
|
|
78,574
|
|
|
Mexico (18.8%)
|
|
|
|
|
|
|
|
Sovereign (18.8%)
|
|
|
|
|
|
|
|
Mexican Bonos,
|
|
|
|
|
|
|
|
7.75%, 12/14/17
|
|
MXN
|
1,561,924
|
|
109,247
|
|
|
8.00%, 12/17/15
|
|
|
101,200
|
|
7,168
|
|
|
9.50%, 12/18/14
|
|
|
360,000
|
|
27,403
|
|
|
10.00%, 11/20/36
|
|
|
620,000
|
|
52,600
|
|
|
United Mexican States,
|
|
|
|
|
|
|
|
5.95%, 3/19/19
|
|
$
|
22,184
|
|
21,696
|
|
|
|
|
|
|
|
218,114
|
|
|
Multi-Country (1.5%)
|
|
|
|
|
|
|
|
Sovereign (1.5%)
|
|
|
|
|
|
|
|
Standard Bank plc, African Currency Basket Linked
Bonds,
|
|
|
|
|
|
|
|
11.30%, 5/15/09
|
|
|
21,400
|
|
17,610
|
|
|
South Africa (2.7%)
|
|
|
|
|
|
|
|
Sovereign (2.7%)
|
|
|
|
|
|
|
|
Republic of South Africa,
|
|
|
|
|
|
|
|
7.38%, 4/25/12
|
|
|
30,000
|
|
30,900
|
|
|
South Korea (3.4%)
|
|
|
|
|
|
|
|
Sovereign (3.4%)
|
|
|
|
|
|
|
|
Export-Import Bank of Korea,
|
|
|
|
|
|
|
|
4.50%, 8/12/09
|
|
|
20,000
|
|
19,913
|
|
|
Korea Development Bank,
|
|
|
|
|
|
|
|
4.75%, 7/20/09
|
|
|
14,500
|
|
14,394
|
|
|
5.30%, 1/17/13
|
|
|
5,000
|
|
4,548
|
|
|
|
|
|
|
|
38,855
|
|
|
Thailand (6.5%)
|
|
|
|
|
|
|
|
Sovereign (6.5%)
|
|
|
|
|
|
|
|
Kingdom of Thailand,
|
|
|
|
|
|
|
|
4.25%, 3/13/13
|
|
THB
|
1,597,940
|
|
49,274
|
|
|
5.25%, 7/13/13
|
|
|
795,100
|
|
25,549
|
|
|
|
|
|
|
|
74,823
|
|
|
Turkey (14.4%)
|
|
|
|
|
|
|
|
Sovereign (14.4%)
|
|
|
|
|
|
|
|
Republic of Turkey,
|
|
|
|
|
|
|
|
Zero Coupon, 8/5/09 - 6/23/10
|
|
TRY
|
292,424
|
|
151,671
|
|
|
16.00%, 3/7/12
|
|
|
24,060
|
|
14,671
|
|
|
|
|
|
|
|
166,342
|
|
|
Venezuela (3.2%)
|
|
|
|
|
|
|
|
Sovereign (3.2%)
|
|
|
|
|
|
|
|
Republic of Venezuela,
|
|
|
|
|
|
|
|
9.25%, 5/7/28
|
|
$
|
64,500
|
|
29,799
|
|
|
9.38%, 1/13/34
|
|
|
7,500
|
|
3,563
|
|
|
10.75%, 9/19/13
|
|
|
5,000
|
|
3,400
|
|
|
|
|
|
|
|
36,762
|
|
|
Total Debt Instruments
(Cost $1,332,022)
|
|
|
|
|
1,094,368
|
|
|
Loans (2.8%)
|
|
|
|
|
|
|
|
Colombia (1.0%)
|
|
|
|
|
|
|
|
Corporate (1.0%)
|
|
|
|
|
|
|
|
MFI WWB Cali,
|
|
|
|
|
|
|
|
12.50%, 2/28/11 (c)(d)
|
|
COP
|
15,103,760
|
|
6,201
|
|
|
MFI WWB Popoyan,
|
|
|
|
|
|
|
|
12.50%, 2/28/11 (c)(d)
|
|
|
13,215,790
|
|
5,426
|
|
|
|
|
|
|
|
11,627
|
|
|
Kazakhstan (0.6%)
|
|
|
|
|
|
|
|
Corporate (0.6%)
|
|
|
|
|
|
|
|
MFI KMF,
|
|
|
|
|
|
|
|
15.50%, 2/28/11 (c)(d)
|
|
KZT
|
905,197
|
|
7,428
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Face Amount
|
|
Value
|
|
|
|
(000)
|
|
(000
)
|
|
Mexico (1.0%)
|
|
|
|
|
|
|
Corporate (1.0%)
|
|
|
|
|
|
|
MFI Finsol,
|
|
|
|
|
|
|
14.00%, 2/28/11 (c)(d)
|
|
MXN
|
161,685
|
|
$
|
11,254
|
|
Peru (0.2%)
|
|
|
|
|
|
|
Corporate (0.2%)
|
|
|
|
|
|
|
MFI Confranz,
|
|
|
|
|
|
|
10.40%, 2/28/11 (c)(d)
|
|
PEN
|
8,672
|
|
2,725
|
|
Total Loans
(Cost
$40,569)
|
|
|
|
|
33,034
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
Short-Term Investment (2.6%)
|
|
|
|
|
|
United States (2.6%)
|
|
|
|
|
|
Investment Company (2.6%)
|
|
|
|
|
|
Morgan Stanley Institutional Liquidity
Money Market Portfolio Institutional Class
(Cost $29,645)(e)
|
|
29,645,043
|
|
29,645
|
|
Total Investments (100.0%)
(Cost
$1,402,236) +
|
|
|
|
1,157,047
|
|
Liabilities in Excess of Other Assets
|
|
|
|
(201,120
|
)
|
Net Assets
|
|
|
|
$
|
955,927
|
|
|
|
|
|
|
|
|
(a)
Variable/Floating Rate Security Interest rate changes on these
instruments are based on changes in a designated base rate. The rates shown are
those in effect on January 31, 2009.
(b)
144A security Certain conditions for public sale may exist. Unless
otherwise noted, these securities are deemed to be liquid.
(c)
Security has been deemed illiquid at January 31, 2009.
(d)
At January 31, 2009, the Fund held approximately $33,034,000 of
fair valued securities, representing 3.5% of net assets. These securities have
been fair valued as determined in good faith under procedures established by
and under the general supervision of the Funds Directors.
(e)
The Fund invests in the Morgan Stanley Institutional Liquidity Money
Market Portfolio Institutional Class (the Liquidity Fund), an open-end
management investment company managed by the Adviser. Investment 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 Liquidity Fund. For the period
ended January 31, 2009, advisory fees paid were reduced by approximately
$5,000 relating to the Funds investments in the Liquidity Fund. For the same
period, income distributions earned by the Fund are recorded as dividends from
affiliates and totaled approximately $85,000. For the period ended January 31,
2009, the approximate cost of purchases and sales in the Liquidity Fund were
$261,884,000 and $236,985,000, respectively.
+
At
January 31, 2009, the U.S. Federal income tax cost basis of investments
was approximately $1,402,236,000 and, accordingly, net unrealized depreciation
for U.S. Federal income tax purposes was $245,189,000 of which $10,596,000
related to appreciated securities and $255,785,000 related to depreciated
securities.
Foreign Currency Exchange Contract Information:
The
Fund had the following foreign currency exchange contract(s) open at
period end:
|
|
|
|
|
|
|
|
|
|
Net
|
|
Currency
|
|
|
|
|
|
In
|
|
|
|
Unrealized
|
|
to
|
|
|
|
|
|
Exchange
|
|
|
|
Appreciation
|
|
Deliver
|
|
Value
|
|
Settlement
|
|
For
|
|
Value
|
|
(Depreciation)
|
|
(000)
|
|
(000)
|
|
Date
|
|
(000)
|
|
(000)
|
|
(000)
|
|
BRL
|
|
216,900
|
|
$
|
92,708
|
|
3/3/09
|
|
USD
|
|
93,855
|
|
$
|
93,855
|
|
$
|
1,147
|
|
BRL
|
|
216,900
|
|
93,492
|
|
2/3/09
|
|
USD
|
|
90,075
|
|
90,075
|
|
(3,417
|
)
|
BRL
|
|
48,275
|
|
20,808
|
|
2/2/09
|
|
USD
|
|
20,934
|
|
20,934
|
|
126
|
|
BRL
|
|
32,310
|
|
13,927
|
|
2/3/09
|
|
USD
|
|
13,474
|
|
13,474
|
|
(453
|
)
|
BRL
|
|
52,004
|
|
22,415
|
|
2/2/09
|
|
USD
|
|
22,571
|
|
22,571
|
|
156
|
|
COP
|
|
80,000,000
|
|
32,721
|
|
2/23/09
|
|
USD
|
|
35,398
|
|
35,398
|
|
2,677
|
|
COP
|
|
56,000,000
|
|
22,931
|
|
2/17/09
|
|
USD
|
|
24,839
|
|
24,839
|
|
1,908
|
|
USD
|
|
$
|
94,716
|
|
94,716
|
|
2/3/09
|
|
BRL
|
|
$
|
216,900
|
|
93,491
|
|
(1,225
|
)
|
USD
|
|
14,253
|
|
14,253
|
|
2/3/09
|
|
BRL
|
|
32,310
|
|
13,927
|
|
(326
|
)
|
USD
|
|
12,491
|
|
12,491
|
|
2/12/09
|
|
EUR
|
|
9,116
|
|
11,670
|
|
(821
|
)
|
USD
|
|
5,844
|
|
5,844
|
|
2/12/09
|
|
MXN
|
|
79,565
|
|
5,528
|
|
(316
|
)
|
USD
|
|
19,377
|
|
19,377
|
|
2/23/09
|
|
MXN
|
|
271,238
|
|
18,800
|
|
(577
|
)
|
|
|
|
|
$
|
445,683
|
|
|
|
|
|
|
|
$
|
444,562
|
|
$
|
(1,121
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BRL
|
|
Brazilian Real
|
COP
|
|
Colombian Peso
|
EUR
|
|
Euro
|
HUF
|
|
Hungarian Forint
|
IDR
|
|
Indonesian Rupiah
|
KZT
|
|
Kazakhstan Tenge
|
MXN
|
|
Mexican Peso
|
MYR
|
|
Malaysian Ringgit
|
PEN
|
|
Peruvian Sol
|
THB
|
|
Thailand Baht
|
TRY
|
|
Turkish Lira
|
USD
|
|
United States Dollar
|
Notes to Portfolio of Investments (unaudited)
The
Fund adopted Financial Accounting Standards Board Statement of Financial
Accounting Standards No. 157, Fair Value Measurements (SFAS 157),
effective January 1, 2008. In accordance with SFAS 157, fair value is
defined as the price that the Fund would receive to sell an investment or pay
to transfer a liability in a timely transaction with an independent buyer in
the principal market, or in the absence of a principal market the most
advantageous market for the investment or liability. SFAS 157 establishes a
three-tier hierarchy to distinguish between (1) inputs that reflect the
assumptions market participants would use in pricing 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 entitys own assumptions about the assumptions market participants
would use in pricing 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 Funds investments. The
inputs are summarized in the three broad levels listed below.
Level
1 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 Funds own assumptions in determining the fair value of investments)
The
inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
The
following is a summary of the inputs used as of January 31, 2009 in
valuing the Funds investments carried at value:
Valuation Inputs
|
|
Investments in
Securities
(000)
|
|
Other Financial
Instruments*
(000)
|
|
Level 1 - Quoted Prices
|
|
$
|
29,645
|
|
$
|
|
|
Level 2 - Other Significant Observable
Inputs
|
|
1,094,368
|
|
(1,121
|
)
|
Level 3 - Significant Unobservable Inputs
|
|
33,034
|
|
|
|
Total
|
|
$
|
1,157,047
|
|
$
|
(1,121
|
)
|
*Other financial instruments include
forwards.
Following
is a reconciliation of investments in which significant unobservable inputs
(Level 3) were used in determining value:
|
|
Investments in
Securities
(000)
|
|
Balance as of 10/31/2008
|
|
$
|
34,807
|
|
Accrued discounts/premiums
|
|
|
|
Realized gain (loss)
|
|
|
|
Change in unrealized appreciation
(depreciation)
|
|
(1,773
|
)
|
Net purchases (sales)
|
|
|
|
Net transfers in and/or out of Level 3
|
|
|
|
Balance as of 1/31/2009
|
|
$
|
33,034
|
|
The amount of total realized gains or
losses for the period included in earnings attributable to the change in
unrealized gains or losses relating to assets and liabilities still held at
1/31/2009
|
|
$
|
(1,773
|
)
|
Security Valuation
Bonds and other fixed income securities may be valued according to
the broadest and most representative market. In addition, bonds and other fixed
income securities may be valued on the basis of prices provided by a pricing
service. The prices provided by a pricing service take into account broker
dealer market price quotations for institutional size trading in similar groups
of securities, security quality, maturity, coupon and other security characteristics
as well as any developments related to the specific
securities.
Securities listed on a foreign exchange are valued at their closing price.
Unlisted securities and listed securities not traded on the valuation date for
which market quotations are readily available are valued at the mean between
the current bid and asked prices obtained from reputable brokers. Equity
securities listed on a U.S. exchange are valued at the latest quoted sales
price on the valuation date. Equity securities listed or traded on NASDAQ, for
which market quotations are available, are valued at the NASDAQ Official
Closing Price. Debt securities purchased with remaining maturities of 60 days
or less are valued at amortized cost, if it approximates market value.
All
other securities and investments for which market values are not readily
available, including restricted securities, and those securities for which it
is inappropriate to determine prices in accordance with the aforementioned
procedures, are valued at fair value as determined in good faith under
procedures adopted by the Board of Directors (the Directors), although the
actual calculations may be done by others. 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 issuers financial statements or
other available documents and, if necessary, available information concerning
other securities in similar circumstances.
Most
foreign markets close before the New York Stock Exchange (NYSE).
Occasionally, developments that could affect 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 on the NYSE. If these developments
are expected to materially affect the value of the securities, the valuations
may be adjusted to reflect the estimated fair value as of the close of the
NYSE, as determined in good faith under procedures established by the
Directors.
Item 2.
Controls and Procedures.
(a) The Funds principal executive officer and
principal financial officer have concluded that the Funds 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
Commissions 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 Funds internal
control over financial reporting that occurred during the registrants fiscal
quarter that has materially affected, or is reasonably likely to materially
affect, the Funds 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 Domestic Debt Fund,
Inc.
|
|
|
|
By:
|
|
/s/ Randy Takian
|
|
|
|
Name:
|
|
Randy Takian
|
|
|
Title:
|
|
Principal Executive Officer
|
|
|
Date:
|
|
March 19, 2009
|
|
|
|
|
|
|
|
|
|
|
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/ Randy Takian
|
|
|
|
Name:
|
|
Randy Takian
|
|
|
Title:
|
|
Principal Executive Officer
|
|
|
Date:
|
|
March 19, 2009
|
|
|
By:
|
|
/s/ James Garrett
|
|
|
|
Name:
|
|
James Garrett
|
|
|
Title:
|
|
Principal Financial Officer
|
|
|
Date:
|
|
March 19, 2009
|
|
|
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