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 5th FLOOR NEW YORK, NY

10020

(Address of principal executive offices)

(Zip code)

RONALD E. ROBISON
1221 AVENUE OF THE AMERICAS 5th 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:

9/30/06

Face
Amount

Value

(000)

(000)

DEBT INSTRUMENTS (98.4%)

Argentina (3.6%)

Sovereign (3.6%)

Republic of Argentina

5.83%, 12/31/33

$

16,530

$

6,728

8.28%, 12/31/33

(a

)

416

399

Republic of Argentina (Linked Variable Rate)

206.81%, 4/10/49

(b

)

3,770

1,640

8,767

Brazil (10.8%)

Corporate (0.7%)

Banco ABN Amro Real S.A.

Zero Coupon, 12/13/07

BRL

3,650

1,725

Sovereign (10.1%)

Citigroup, Inc.

6.00%, 5/18/09

$

2,000

2,006

Federative Republic of Brazil

8.00%, 1/15/18

3,144

3,462

8.88%, 10/14/19 - 4/15/24

7,688

9,150

10.50%, 7/14/14

1,740

2,191

14.50%, 10/15/09

6,040

7,565

24,374

26,099

Bulgaria (1.6%)

Sovereign (1.6%)

Republic of Bulgaria

8.25%, 1/15/15

1,699

2,007

Republic of Bulgaria (Registered)

8.25%, 1/15/15

1,490

1,760

3,767

Chile (1.8%)

Corporate (1.8%)

Empresa Nacional de Petroleo

6.75%, 11/15/12

(c

)

4,170

4,409

Colombia (3.2%)

Sovereign (3.2%)

Republic of Colombia

7.38%, 9/18/37

2,040

2,071

8.13%, 5/21/24

1,420

1,569

8.25%, 12/22/14

1,040

1,153

9.75%, 4/9/11

1,264

1,381

11.75%, 2/25/20

1,075

1,510

7,684

Ecuador (1.1%)

Sovereign (1.1%)

Republic of Ecuador

9.38%, 12/15/15

470

457

10.00%, 8/15/30

(d

)

2,500

2,294

2,751

Indonesia (3.5%)

Corporate (3.5%)

Pindo Deli Finance Mauritius

Tranche A, 6.50%, 4/28/15

(c)(e

)

1,521

1,164

Tranche B, 6.50%, 4/28/18

(e

)

3,413

1,758

Tranche C, 6.50%, 4/28/27

(c

)

6,884

861

Tijiwi Kimia Finance Mauritius Ltd.

Tranche A, 6.50%, 4/28/15

(e

)

1,396

1,068

Tranche A, 6.50%, 4/28/15

(c)(e

)

2,161

1,653

Tranche B, 6.50%, 4/28/18

(c)(e

)

2,714

1,452

Tranche C, 6.50%, 4/28/27

(c

)

3,352

453

8,409

Ivory Coast (0.2%)

Sovereign (0.2%)

Republic of Ivory Coast

19.73%, 3/31/18

(b

)

2,045

521

Malaysia (1.1%)

Sovereign (1.1%)

Government of Malaysia

7.50%, 7/15/11

420

458

8.75%, 6/1/09

1,929

2,092

2,550

Mexico (20.5%)

Corporate (7.8%)

Pemex Project Funding Master Trust

6.69%, 6/15/10

(c)(e

)

4,250

4,354

8.63%, 12/1/23

1,740

2,097

9.50%, 9/15/27

5,920

7,740

9.13%, 10/13/10

4,040

4,533

18,724

Sovereign (12.7%)

Mexican Bonos

8.00%, 12/17/15

MXN

54,910

4,926

10.00%, 12/5/24

144,342

14,976

United Mexican States

7.50%, 1/14/12

$

1,700

1,870

8.13%, 12/30/19

2,174

2,614

8.38%, 1/14/11

4,400

4,921

11.50%, 5/15/26

828

1,313

30,620

49,344

Nigeria (2.2%)

Sovereign (2.2%)

Central Bank of Nigeria Par Bond

6.25%, 11/15/20

(d

)

2,750

2,743

Central Bank of Nigeria Credit-Linked Mortgage Bond

15.00%, 1/30/09

2,378

2,543

5,286

Panama (2.6%)

Sovereign (2.6%)

Republic of Panama

7.13%, 1/29/26

1,910

2,010

7.25%, 3/15/15

700

751

9.38%, 4/1/29

1,890

2,447

9.63%, 2/8/11

906

1,040

6,248

Peru (2.9%)

Sovereign (2.9%)

Republic of Peru

8.38%, 5/3/16

1,150

1,331

8.75%, 11/21/33

3,130

3,850

9.88%, 2/6/15

1,385

1,721

6,902

Philippines (12.3%)

Sovereign (12.3%)

Republic of Philippines

8.88%, 3/17/15

(h

)

10,980

12,572

9.00%, 2/15/13

2,240

2,528

9.50%, 2/2/30

9,365

11,566

10.63%, 3/16/25

2,080

2,782

29,448

Qatar (0.8%)

Sovereign (0.8%)

State of Qatar (Registered)

9.75%, 6/15/30

1,260

1,868

Russia (15.1%)

Corporate (3.3%)

Gaz Capital for Gazprom

8.63%, 4/28/34

3,670

4,571

RSHB Capital S.A. for OJSC Russian Agricultural Bank

7.18%, 5/16/13

(c

)

2,800

2,919

7.18%, 5/16/13

270

281

7,771

Sovereign (11.8%)

Russian Federation

5.00%, 3/31/30

(c)(d

)

3,384

3,780

Russian Federation (Registered)

5.00%, 3/31/30

(d

)

5,000

5,584

8.25%, 3/31/10

3,098

3,262

11.00%, 7/24/18

5,901

8,490

12.75%, 6/24/28

4,080

7,329

28,445

36,216

South Africa (0.6%)

Sovereign (0.6%)

Republic of South Africa

13.50%, 9/15/15

ZAR

9,075

1,522

Trinidad (1.0%)

Corporate (1.0%)

National Gas of Trinidad & Tobago, Ltd.

6.05%, 1/15/36

(c

)

$

2,369

2,282

Tunisia (0.3%)

Sovereign (0.3%)

Banque Centrale de Tunisie

7.38%, 4/25/12

750

817

Turkey (6.8%)

Sovereign (6.8%)

Citigroup Global Markets Holdings, Inc.
(Turkish Lira Index Linked)

Zero Coupon, 6/28/07

6,120

5,641

J.P. Morgan Chase & Co.

Zero Coupon, 6/27/07

5,309

4,558

Republic of Turkey

7.00%, 9/26/16

2,920

2,876

11.00%, 1/14/13

2,470

2,984

11.50%, 1/23/12

320

387

16,446

Venezuela (6.4%)

Sovereign (6.4%)

Republic of Venezuela

8.50%, 10/8/14

1,510

1,676

9.38%, 1/13/34

2,732

3,384

10.75%, 9/19/13

8,330

10,204

15,264

TOTAL DEBT INSTRUMENTS

(Cost $228,718)

236,600

No. of

Warrants

WARRANTS (0.9%)

Argentina (0.5%)

Republic of Argentina

expiring 12/15/35

(a)(g

)

1,182,042

118

expiring 12/15/35

(g

)

37,715,134

1,111

1,229

Nigeria (0.2%)

Central Bank of Nigeria

expiring 11/15/20

(g

)

3,000

600

Venezuela (%)

Republic of Venezuela Oil-Linked Payment Obligation,

expiring 4/15/20

(g

)

11,350

409

TOTAL WARRANTS

(Cost $589)

2,238

Face

Amount

(000)

SHORT-TERM INVESTMENT (0.7%)

United States (0.7%)

Repurchase Agreement (0.7%)

J.P. Morgan Securities, Inc., 5.25%,

dated 9/29/06, due 10/2/06,

repurchase price $1,738 (Cost $1,737)

(f)

$

1,737

1,737

TOTAL INVESTMENTS + (100.0%)

(Cost $231,044)

240,575

LIABILITIES IN EXCESS OF OTHER ASSETS

(3,040

)

NET ASSETS

$

237,535

(a)

Security was valued at fair value. At September 30, 2006, the Fund held $517,000 of fair valued securities, representing

0.2% of net assets.

(b)

Issuer is in default.

(c)

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

liquid.

(d)

Step Bond - coupon rate increases in increments to maturity. Rate disclosed is as of September 30, 2006. Maturity date

disclosed is ultimate maturity.

(e)

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, 2006.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement which has a total value of $1,401,259,000. The

repurchase agreement was fully collateralized by U.S. government agency securities at the date of this Portfolio of

Investments as follows: Federal Farm Credit Bank, 0.00% to 7.43%, due 10/2/06 to 10/23/35; Federal Home Loan Bank,

0.00% to 6.94%, due 10/2/06 to 7/15/36; Federal Home Loan Mortgage Corporation, 0.00% to 6.94%, due 10/10/06 to

9/7/21; Federal National Mortgage Association, 0.00% to 10.35%, due 10/5/06 to 3/11/19; Tennessee Valley Authority,

5.38% to 7.13%, due 11/13/08 to 4/1/36 which had a total value of $1,429,288,878. 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.

(g)

Non-income producing.

(h)

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

30, 2006.

BRL

Brazilian Real

MXN

Mexican Peso

ZAR

South African Rand

+

At September 30, 2006, the U.S. Federal income tax cost basis of investments was approximately $231,044,000 and, accordingly, net unrealized appreciation for U.S. Federal income tax purposes was $9,531,000 of which $19,728,000 related to appreciated securities and $10,197,000 related to depreciated securities.

Net

Unrealized

Number

Appreciation

of

Value

(Depreciation)

Contracts

(000)

Expiration Date

(000)

Short:

U.S. Treasury

2 yr. Note

364

$

74,438

Dec-06

$

(227

)

(Registrant)

Morgan Stanley Emerging Markets Debt Fund, Inc.

By:

/s/ Ronald E. Robison

Name:

Ronald E. Robison

Title:

Principal Executive Officer

Date:

November 21, 2006

By:

/s/ Ronald E. Robison

Name:

Ronald E. Robison

Title:

Principal Executive Officer

Date:

November 21, 2006

By:

/s/ James Garrett

Name:

James Garrett

Title:

Principal Financial Officer

Date:

November 21, 2006