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)

 

522 Fifth Avenue, New York, New York

 

10036

(Address of principal executive offices)

 

(Zip code)

Sara Furber

522 Fifth Avenue, New York, New York 10036

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-296-6963

 

 

Date of fiscal year end:

December 31, 2011

 

 

 

 

Date of reporting period:

March 31, 2011

 

 


 

Item 1.  Schedule of Investments.

 

The Fund’s 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 Debt Fund, Inc.

Portfolio of Investments

First Quarter Report

March 31, 2011 (unaudited)

(Showing Percentages of Total Value of Investments)

 

 

 

Face
Amount
(000)

 

Value
(000)

 

Fixed Income Securities (89.8%)

 

 

 

 

 

Argentina (5.2%)

 

 

 

 

 

Sovereign (5.2%)

 

 

 

 

 

Argentina Bonos,

 

 

 

 

 

7.00%, 10/3/15

 

$

 11,689

 

$

11,017

 

Republic of Argentina,

 

 

 

 

 

2.50%, 12/31/38 (a)(b)

 

2,188

 

955

 

8.28%, 12/31/33 (b)

 

3,963

 

3,552

 

 

 

 

 

15,524

 

Belarus (0.4%)

 

 

 

 

 

Sovereign (0.4%)

 

 

 

 

 

Republic of Belarus,

 

 

 

 

 

8.75%, 8/3/15

 

1,030

 

921

 

8.95%, 1/26/18

 

380

 

332

 

 

 

 

 

1,253

 

Belize (0.2%)

 

 

 

 

 

Sovereign (0.2%)

 

 

 

 

 

Government of Belize,

 

 

 

 

 

6.00%, 2/20/29

 

770

 

649

 

 

 

 

 

 

 

Brazil (10.2%)

 

 

 

 

 

Corporate Bonds (2.1%)

 

 

 

 

 

Banco Safra Cayman Islands Ltd.,

 

 

 

 

 

6.75%, 1/27/21 (c)

 

1,360

 

1,413

 

6.75%, 1/27/21

 

230

 

239

 

Fibria Overseas Finance Ltd.,

 

 

 

 

 

6.75%, 3/3/21 (b)(c)

 

1,650

 

1,712

 

Odebrecht Finance Ltd.,

 

 

 

 

 

6.00%, 4/5/23 (c)(d)

 

2,870

 

2,855

 

 

 

 

 

6,219

 

Sovereign (8.1%)

 

 

 

 

 

Banco Nacional de Desenvolvimento, Economico e Social,

 

 

 

 

 

5.50%, 7/12/20 (c)

 

1,960

 

2,004

 

6.37%, 6/16/18 (c)

 

1,380

 

1,508

 

Federative Republic of Brazil,

 

 

 

 

 

5.88%, 1/15/19 (b)

 

8,525

 

9,484

 

7.13%, 1/20/37

 

2,090

 

2,482

 

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

 

6,564

 

8,726

 

 

 

 

 

24,204

 

 

 

 

 

30,423

 

Chile (1.4%)

 

 

 

 

 

Corporate Bond (0.6%)

 

 

 

 

 

Banco Santander Chile,

 

 

 

 

 

6.50%, 9/22/20

 

CLP

931,000

 

1,818

 

 


 

 

 

Face
Amount
(000)

 

Value
(000)

 

Sovereign (0.8%)

 

 

 

 

 

Chile Government International Bond,

 

 

 

 

 

5.50%, 8/5/20

 

CLP

1,080,000

 

$

2,229

 

 

 

 

 

4,047

 

Colombia (2.6%)

 

 

 

 

 

Sovereign (2.6%)

 

 

 

 

 

Republic of Colombia,

 

 

 

 

 

7.38%, 3/18/19 (b)

 

$

 2,550

 

3,073

 

11.75%, 2/25/20 (b)

 

3,015

 

4,549

 

 

 

 

 

7,622

 

Croatia (0.5%)

 

 

 

 

 

Sovereign (0.5%)

 

 

 

 

 

Republic of Croatia,

 

 

 

 

 

6.63%, 7/14/20 (c)

 

1,340

 

1,385

 

 

 

 

 

 

 

Dominican Republic (0.7%)

 

 

 

 

 

Sovereign (0.7%)

 

 

 

 

 

Dominican Republic,

 

 

 

 

 

7.50%, 5/6/21 (b)(c)

 

590

 

603

 

7.50%, 5/6/21

 

670

 

685

 

9.04%, 1/23/18

 

754

 

837

 

 

 

 

 

2,125

 

Ecuador (0.7%)

 

 

 

 

 

Sovereign (0.7%)

 

 

 

 

 

Republic of Ecuador,

 

 

 

 

 

9.38%, 12/15/15

 

2,235

 

2,202

 

 

 

 

 

 

 

Georgia (0.3%)

 

 

 

 

 

Sovereign (0.3%)

 

 

 

 

 

Republic of Georgia,

 

 

 

 

 

7.50%, 4/15/13

 

940

 

1,011

 

 

 

 

 

 

 

Ghana (1.2%)

 

 

 

 

 

Sovereign (1.2%)

 

 

 

 

 

Republic of Ghana,

 

 

 

 

 

8.50%, 10/4/17 (b)(c)

 

2,016

 

2,288

 

8.50%, 10/4/17

 

1,080

 

1,204

 

 

 

 

 

3,492

 

India (0.3%)

 

 

 

 

 

Corporate Bond (0.3%)

 

 

 

 

 

Reliance Holdings USA, Inc.,

 

 

 

 

 

6.25%, 10/19/40 (c)

 

810

 

769

 

 


 

 

 

Face
Amount
(000)

 

Value
(000)

 

Indonesia (4.3%)

 

 

 

 

 

Corporate Bonds (0.4%)

 

 

 

 

 

Pindo Deli Finance Mauritius Ltd.,

 

 

 

 

 

Tranche A

 

 

 

 

 

3.31%, 4/28/15 (c)(e)(f)

 

$

421

 

$

103

 

Tranche B

 

 

 

 

 

3.31%, 4/28/18 (c)(e)(f)

 

1,852

 

204

 

Tranche C

 

 

 

 

 

Zero Coupon, 4/28/27 (c)(e)(f)

 

7,471

 

168

 

Tjiwi Kimia Finance Mauritius Ltd.,

 

 

 

 

 

Tranche A

 

 

 

 

 

3.31%, 4/28/15 (e)(f)

 

1,404

 

351

 

Tranche B

 

 

 

 

 

3.31%, 4/28/18 (c)(e)(f)

 

1,621

 

316

 

Tranche C

 

 

 

 

 

1.00%, 4/28/27 (c)(e)(f)

 

3,620

 

127

 

 

 

 

 

1,269

 

Sovereign (3.9%)

 

 

 

 

 

Majapahit Holding BV,

 

 

 

 

 

7.75%, 1/20/20

 

2,500

 

2,825

 

Republic of Indonesia,

 

 

 

 

 

6.88%, 1/17/18

 

320

 

364

 

7.75%, 1/17/38 (c)

 

1,353

 

1,627

 

7.75%, 1/17/38

 

630

 

758

 

11.63%, 3/4/19

 

1,930

 

2,779

 

11.63%, 3/4/19 (c)

 

2,169

 

3,123

 

 

 

 

 

11,476

 

 

 

 

 

12,745

 

Ivory Coast (0.3%)

 

 

 

 

 

Sovereign (0.3%)

 

 

 

 

 

Ivory Coast,

 

 

 

 

 

2.50%, 12/31/32 (a)(g)

 

1,563

 

739

 

 

 

 

 

 

 

Jamaica (0.2%)

 

 

 

 

 

Sovereign (0.2%)

 

 

 

 

 

Jamaica Government International Bond,

 

 

 

 

 

8.00%, 6/24/19

 

640

 

669

 

 

 

 

 

 

 

Kazakhstan (3.8%)

 

 

 

 

 

Sovereign (3.8%)

 

 

 

 

 

Development Bank of Kazakhstan JSC,

 

 

 

 

 

5.50%, 12/20/15 (b)(c)

 

1,250

 

1,309

 

5.50%, 12/20/15

 

230

 

240

 

Intergas Finance BV,

 

 

 

 

 

6.38%, 5/14/17

 

700

 

746

 

 


 

 

 

Face
Amount
(000)

 

Value
(000)

 

KazMunayGas National Co.,

 

 

 

 

 

6.38%, 4/9/21 (c)

 

$

2,430

 

$

2,527

 

6.38%, 4/9/21

 

440

 

456

 

9.13%, 7/2/18

 

1,930

 

2,334

 

9.13%, 7/2/18 (c)

 

3,080

 

3,742

 

 

 

 

 

11,354

 

Lithuania (0.9%)

 

 

 

 

 

Sovereign (0.9%)

 

 

 

 

 

Republic of Lithuania,

 

 

 

 

 

6.13%, 3/9/21 (b)(c)

 

520

 

533

 

6.75%, 1/15/15 (c)

 

160

 

175

 

7.38%, 2/11/20

 

1,790

 

2,003

 

 

 

 

 

2,711

 

Malaysia (1.0%)

 

 

 

 

 

Sovereign (1.0%)

 

 

 

 

 

Malaysia Government Bond,

 

 

 

 

 

3.21%, 5/31/13

 

MYR

8,960

 

2,958

 

 

 

 

 

 

 

Mexico (11.4%)

 

 

 

 

 

Corporate Bonds (0.8%)

 

 

 

 

 

Cemex SAB de CV,

 

 

 

 

 

9.00%, 1/11/18 (c)

 

$

1,900

 

2,002

 

9.00%, 1/11/18

 

280

 

295

 

 

 

 

 

2,297

 

Sovereign (10.6%)

 

 

 

 

 

Mexican Bonos,

 

 

 

 

 

8.00%, 6/11/20

 

MXN

61,932

 

5,404

 

Pemex Project Funding Master Trust,

 

 

 

 

 

6.63%, 6/15/35

 

$

2,566

 

2,587

 

6.63%, 6/15/38 (b)

 

1,750

 

1,751

 

8.63%, 12/1/23

 

1,990

 

2,408

 

Petroleos Mexicanos,

 

 

 

 

 

5.50%, 1/21/21 (b)

 

5,430

 

5,539

 

8.00%, 5/3/19 (b)

 

1,750

 

2,110

 

United Mexican States,

 

 

 

 

 

5.63%, 1/15/17

 

419

 

464

 

5.95%, 3/19/19

 

3,782

 

4,234

 

6.05%, 1/11/40

 

1,760

 

1,822

 

6.75%, 9/27/34

 

4,674

 

5,296

 

 

 

 

 

31,615

 

 

 

 

 

33,912

 

 


 

 

 

Face
Amount
(000)

 

Value
(000)

 

Pakistan (0.8%)

 

 

 

 

 

Sovereign (0.8%)

 

 

 

 

 

Pakistan Government International Bond,

 

 

 

 

 

7.13%, 3/31/16

 

$

100

 

$

85

 

Republic of Pakistan,

 

 

 

 

 

6.88%, 6/1/17

 

2,610

 

2,147

 

 

 

 

 

2,232

 

Panama (2.1%)

 

 

 

 

 

Sovereign (2.1%)

 

 

 

 

 

Republic of Panama,

 

 

 

 

 

5.20%, 1/30/20

 

1,810

 

1,928

 

7.13%, 1/29/26 (b)

 

1,140

 

1,358

 

8.88%, 9/30/27 (b)

 

483

 

655

 

9.38%, 4/1/29

 

1,569

 

2,220

 

 

 

 

 

6,161

 

Peru (4.3%)

 

 

 

 

 

Corporate Bond (0.4%)

 

 

 

 

 

Banco de Credito del Peru,

 

 

 

 

 

5.38%, 9/16/20

 

1,210

 

1,150

 

 

 

 

 

 

 

Sovereign (3.9%)

 

 

 

 

 

Republic of Peru,

 

 

 

 

 

7.35%, 7/21/25 (b)

 

2,410

 

2,876

 

8.20%, 8/12/26

 

PEN

10,650

 

4,192

 

8.75%, 11/21/33

 

$

3,340

 

4,501

 

 

 

 

 

11,569

 

 

 

 

 

12,719

 

Philippines (4.1%)

 

 

 

 

 

Sovereign (4.1%)

 

 

 

 

 

Republic of Philippines,

 

 

 

 

 

4.00%, 1/15/21 (b)

 

5,506

 

5,217

 

8.38%, 6/17/19

 

1,491

 

1,886

 

8.88%, 3/17/15

 

669

 

826

 

9.50%, 2/2/30

 

3,072

 

4,339

 

 

 

 

 

12,268

 

Russia (11.8%)

 

 

 

 

 

Corporate Bonds (1.3%)

 

 

 

 

 

Novatek Finance Ltd.,

 

 

 

 

 

6.60%, 2/3/21 (b)(c)

 

2,380

 

2,511

 

 


 

 

 

Face
Amount
(000)

 

Value
(000)

 

Vimpel Communications Via VIP Finance Ireland Ltd. OJSC,

 

 

 

 

 

7.75%, 2/2/21 (b)(c)

 

$

1,390

 

$

1,466

 

 

 

 

 

3,977

 

Sovereign (10.5%)

 

 

 

 

 

RSHB Capital SA for OJSC Russian Agricultural Bank,

 

 

 

 

 

6.30%, 5/15/17 (c)

 

2,104

 

2,214

 

7.18%, 5/16/13 (c)

 

2,030

 

2,213

 

Russian Federation,

 

 

 

 

 

5.00%, 4/29/20

 

5,400

 

5,488

 

7.50%, 3/31/30 (c)

 

1,026

 

1,203

 

7.50%, 3/31/30

 

8,485

 

9,958

 

Russian Federation (Registered),

 

 

 

 

 

12.75%, 6/24/28

 

4,225

 

7,415

 

Russian Foreign Bond - Eurobond,

 

 

 

 

 

7.85%, 3/10/18 (c)

 

RUB

80,000

 

2,879

 

 

 

 

 

31,370

 

 

 

 

 

35,347

 

South Africa (1.2%)

 

 

 

 

 

Sovereign (1.2%)

 

 

 

 

 

Eskom Holdings Ltd.,

 

 

 

 

 

5.75%, 1/26/21 (c)

 

$

3,556

 

3,623

 

 

 

 

 

 

 

Sri Lanka (0.6%)

 

 

 

 

 

Sovereign (0.6%)

 

 

 

 

 

Sri Lanka Government International Bond,

 

 

 

 

 

6.25%, 10/4/20 (c)

 

650

 

635

 

6.25%, 10/4/20

 

1,240

 

1,212

 

 

 

 

 

1,847

 

Turkey (7.9%)

 

 

 

 

 

Sovereign (7.9%)

 

 

 

 

 

Republic of Turkey,

 

 

 

 

 

5.63%, 3/30/21

 

2,150

 

2,204

 

6.75%, 5/30/40

 

3,080

 

3,211

 

6.88%, 3/17/36

 

2,904

 

3,088

 

7.00%, 3/11/19

 

3,490

 

3,961

 

7.50%, 7/14/17 - 11/7/19

 

3,266

 

3,814

 

8.00%, 2/14/34

 

1,360

 

1,637

 

11.88%, 1/15/30

 

3,371

 

5,604

 

 

 

 

 

23,519

 

Ukraine (4.7%)

 

 

 

 

 

Sovereign (4.7%)

 

 

 

 

 

Ukraine Government,

 

 

 

 

 

6.58%, 11/21/16

 

4,349

 

4,432

 

 


 

 

 

Face
Amount
(000)

 

Value
(000)

 

6.75%, 11/14/17

 

$

4,580

 

$

4,667

 

7.75%, 9/23/20 (c)

 

1,700

 

1,762

 

7.75%, 9/23/20

 

2,970

 

3,066

 

 

 

 

 

13,927

 

Uruguay (0.2%)

 

 

 

 

 

Sovereign (0.2%)

 

 

 

 

 

Republic of Uruguay,

 

 

 

 

 

8.00%, 11/18/22

 

589

 

736

 

 

 

 

 

 

 

Venezuela (6.5%)

 

 

 

 

 

Sovereign (6.5%)

 

 

 

 

 

Petroleos de Venezuela SA,

 

 

 

 

 

5.13%, 10/28/16

 

4,910

 

3,020

 

Republic of Venezuela,

 

 

 

 

 

5.75%, 2/26/16

 

1,066

 

794

 

6.00%, 12/9/20

 

1,340

 

801

 

7.00%, 3/31/38

 

1,761

 

999

 

7.65%, 4/21/25

 

2,850

 

1,746

 

9.00%, 5/7/23

 

600

 

414

 

9.25%, 9/15/27 (b)

 

7,085

 

5,260

 

9.25%, 5/7/28

 

53

 

36

 

10.75%, 9/19/13 (b)

 

6,220

 

6,276

 

 

 

 

 

19,346

 

Total Fixed Income Securities (Cost $260,610)

 

 

 

267,315

 

 

 

 

No. of
Warrants

 

 

 

Warrants (0.2%)

 

 

 

 

 

Nigeria (0.1%)

 

 

 

 

 

Central Bank of Nigeria, expires 11/15/20 (e)(f)

 

2,250

 

405

 

 

 

 

 

 

 

Venezuela (0.1%)

 

 

 

 

 

Republic of Venezuela, Oil-Linked Payment Obligation, expires 4/15/20 (e)(f)

 

5,450

 

162

 

Total Warrants (Cost $—)

 

 

 

567

 

 

 

 

Shares

 

 

 

Short-Term Investments (10.0%)

 

 

 

 

 

Securities held as Collateral on Loaned Securities (9.2%)

 

 

 

 

 

Investment Company (8.0%)

 

 

 

 

 

Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (h)

 

23,703,621

 

23,704

 

 


 

 

 

Face
Amount
(000)

 

Value
(000)

 

Repurchase Agreements (1.2%)

 

 

 

 

 

Barclays Capital, Inc., (0.05%, dated 3/31/11, due 4/1/11; proceeds $1,242; fully collateralized by U.S. Government Obligations; U.S. Treasury Bill 0.00% due 9/29/11; U.S. Treasury Note 4.25% due 9/30/12; valued at $1,267)

 

$

1,242

 

$

1,242

 

Nomura Holdings, Inc., (0.24%, dated 03/31/11, due 4/1/11; proceeds $2,397; fully collateralized by a U.S. Government Agency; Federal National Mortgage Association 5.00% due 5/1/40; valued at $2,445)

 

2,397

 

2,397

 

 

 

 

 

3,639

 

Total Securities held as Collateral on Loaned Securities (Cost $27,343)

 

 

 

27,343

 

 

 

 

Shares

 

 

 

Investment Company (0.8%)

 

 

 

 

 

Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (h) (Cost $2,254)

 

2,254,062

 

2,254

 

Total Short-Term Investments (Cost $29,597)

 

 

 

29,597

 

Total Investments (100.0%) (Cost $290,207) Including $26,727 of Securities Loaned +

 

 

 

297,479

 

Liabilities in Excess of Other Assets

 

 

 

(28,853

)

Net Assets

 

 

 

$

268,626

 

 

(a)

Step Bond — Coupon rate increases in increments to maturity. Rate disclosed is as of March 31, 2011. Maturity date disclosed is the ultimate maturity date.

(b)

The value of loaned securities and related collateral outstanding at March 31, 2011 were approximately $26,727,000 and $27,343,000, respectively. The Fund received cash collateral of approximately $27,343,000 which was subsequently invested in Repurchase Agreements and Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class as reported in the Portfolio of Investments. The Fund has the right under the lending agreement to recover the securities from the borrower on demand.

(c)

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

(d)

When-issued security.

(e)

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 March 31, 2011.

(f)

Security has been deemed illiquid at March 31, 2011.

(g)

Issuer is in default.

(h)

The Fund invests in the Morgan Stanley Institutional Liquidity Funds - Money Market Portfolio - Institutional Class (the “Liquidity Fund”), an open-end management investment company managed by the Investment Adviser. Investment advisory fees paid by the Fund are reduced by an amount equal to the advisory and administrative service fees paid by the Liquidity Fund with respect to assets invested by the Fund in the Liquidity Fund.

+

At March 31, 2011, the U.S. Federal income tax cost basis of investments was approximately $290,207,000 and, accordingly, net unrealized appreciation for U.S. Federal income tax purposes was approximately $7,272,000 of which approximately $15,940,000 related to appreciated securities and approximately $8,668,000 related to depreciated securities.

 


 

Foreign Currency Exchange Contracts Information:

 

The Fund had the following foreign currency exchange contract(s) open at period end:

 

Counterparty

 

Currency
to
Deliver
(000)

 

Value
(000)

 

Settlement
Date

 

In
Exchange
For
(000)

 

Value
(000)

 

Unrealized
Appreciation
(Depreciation)
(000)

 

JPMorgan Chase Bank

 

BRL

5,014

 

$

3,071

 

4/4/11

 

USD

3,003

 

$

3,003

 

$

(68

)

JPMorgan Chase Bank

 

USD

3,001

 

3,001

 

4/4/11

 

BRL

5,014

 

3,071

 

70

 

JPMorgan Chase Bank

 

USD

5,799

 

5,799

 

4/7/11

 

KRW

6,527,133

 

5,949

 

150

 

JPMorgan Chase Bank

 

USD

2,877

 

2,877

 

4/7/11

 

THB

87,743

 

2,900

 

23

 

JPMorgan Chase Bank

 

USD

2,892

 

2,892

 

4/11/11

 

INR

131,001

 

2,934

 

42

 

JPMorgan Chase Bank

 

EUR

1,900

 

2,691

 

4/18/11

 

USD

2,646

 

2,646

 

(45

)

JPMorgan Chase Bank

 

USD

1,483

 

1,483

 

4/25/11

 

CLP

716,345

 

1,497

 

14

 

JPMorgan Chase Bank

 

USD

3,024

 

3,024

 

5/16/11

 

CNY

19,800

 

3,030

 

6

 

JPMorgan Chase Bank

 

USD

2,704

 

2,704

 

6/14/11

 

SGD

3,440

 

2,729

 

25

 

 

 

 

 

$

27,542

 

 

 

 

 

$

27,759

 

$

217

 

 

BRL

—

Brazilian Real

CLP

—

Chilean Peso

CNY

—

Chinese Yuan Renminbi

EUR

—

Euro

INR

—

Indian Rupee

KRW

—

South Korean Won

MXN

—

Mexican New Peso

MYR

—

Malaysian Ringgit

PEN

—

Peruvian Nuevo Sol

RUB

—

Russian Ruble

SGD

—

Singapore Dollar

THB

—

Thai Baht

USD

—

United States Dollar

 


 

Fair Value Measurement Information:

 

The following is a summary of the inputs used to value the Fund’s net assets as of March 31, 2011. (See Notes to the Portfolio of Investments for further information regarding fair value measurement.)

 

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

 

$

—

 

$

17,499

 

$

—

 

$

17,499

 

Sovereign

 

—

 

249,816

 

—

 

249,816

 

Total Fixed Income Securities

 

—

 

267,315

 

—

 

267,315

 

Warrants

 

—

 

567

 

—

 

567

 

Short-Term Investments

 

 

 

 

 

 

 

 

 

Investment Companies

 

25,958

 

—

 

—

 

25,958

 

Repurchase Agreements

 

—

 

3,639

 

—

 

3,639

 

Total Short-Term Investments

 

25,958

 

3,639

 

—

 

29,597

 

Foreign Currency Exchange Contracts

 

—

 

330

 

—

 

330

 

Total Assets

 

25,958

 

271,851

 

—

 

297,809

 

Liabilities:

 

 

 

 

 

 

 

 

 

Foreign Currency Exchange Contracts

 

—

 

(113

)

—

 

(113

)

Total

 

$

25,958

 

$

271,738

 

$

—

 

$

297,696

 

 

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Fund recognizes transfers between the levels as of the end of the period. As of March 31, 2011, the Fund did not have any significant investments transfer between valuation levels.

 


 

Morgan Stanley Emerging Markets Debt Fund, Inc.

Notes to the Portfolio of Investments · March 31, 2011 (unaudited)

 

Security Valuation: Securities listed on a foreign exchange are valued at their closing price except as noted below. 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 ask prices. 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. Short-term debt securities purchased with remaining maturities of 60 days or less are valued at amortized cost, unless the Board of Directors (the “Directors”) determines such valuation does not reflect the securities’ market value, in which case these securities will be valued at their fair value as determined in good faith under procedures adopted by the Directors.

 

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 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 issuer’s 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.

 

Fair Value Measurement: Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosure (“ASC 820”), defines fair value 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. 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 securities

 

·                 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.

 


 

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 not found 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.

 

(a) A separate certification for each principal executive officer and principal financial officer of the registrant are attached hereto.

 


 

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.

 

Morgan Stanley Emerging Markets Debt Fund, Inc.

 

/s/ Sara Furber

 

Sara Furber

 

Principal Executive Officer

 

May 24, 2011

 

 

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.

 

/s/ Sara Furber

 

Sara Furber

 

Principal Executive Officer

 

May 24, 2011

 

 

/s/ Francis Smith

 

Francis Smith

 

Principal Financial Officer

 

May 24, 2011