[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 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:

3/31/06

 

 



 

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.

First Quarter Report

March 31, 2006 (unaudited)

 

Portfolio of Investments

(Showing Percentage of Total Value of Investments)

 

 

 

 

 

Face
Amount

 

Value

 

 

 

 

 

(000)

 

(000)

 

DEBT INSTRUMENTS (97.0%)

 

 

 

 

 

 

 

Argentina (3.0%)

 

 

 

 

 

 

 

Sovereign (3.0%)

 

 

 

 

 

 

 

Republic of Argentina

 

 

 

 

 

 

 

5.83%, 12/31/33

 

 

 

$

12,710

 

$

5,338

 

8.28%, 12/31/33

 

(e)

 

407

 

399

 

Republic of Argentina (Linked Variable Rate)

 

 

 

 

 

 

 

87.96%, 4/10/49

 

(b)

 

3,770

 

1,546

 

 

 

 

 

 

 

7,283

 

Brazil (15.8%)

 

 

 

 

 

 

 

Corporate (3.2%)

 

 

 

 

 

 

 

Banco ABN Amro Real S.A.

 

 

 

 

 

 

 

Zero Coupon, 7/21/06

 

(d)

 

2,340

 

2,849

 

15.86%, 12/31/07

 

 

 

6,000

 

2,831

 

Citigroup, Inc.

 

 

 

 

 

 

 

Zero Coupon, 5/18/09

 

 

 

2,000

 

1,995

 

 

 

 

 

 

 

7,675

 

Sovereign (12.6%)

 

 

 

 

 

 

 

Federative Republic of Brazil

 

 

 

 

 

 

 

5.19%, 4/15/24

 

(c)

 

5,280

 

5,283

 

6.00%, 4/15/24

 

(c)

 

1,490

 

1,491

 

8.00%, 1/15/18

 

 

 

3,144

 

3,414

 

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

 

 

 

8,688

 

10,058

 

10.50%, 7/14/14

 

 

 

1,740

 

2,171

 

14.50%, 10/15/09

 

 

 

6,040

 

7,746

 

 

 

 

 

 

 

30,163

 

 

 

 

 

 

 

37,838

 

Bulgaria (1.6%)

 

 

 

 

 

 

 

Sovereign (1.6%)

 

 

 

 

 

 

 

Republic of Bulgaria (Registered)

 

 

 

 

 

 

 

8.25%, 1/15/15

 

 

 

3,189

 

3,743

 

Chile (1.8%)

 

 

 

 

 

 

 

Corporate (1.8%)

 

 

 

 

 

 

 

Empresa Nacional de Petroleo

 

 

 

 

 

 

 

6.75%, 11/15/12

 

(d)

 

4,170

 

4,376

 

Colombia (2.3%)

 

 

 

 

 

 

 

Sovereign (2.3%)

 

 

 

 

 

 

 

Republic of Colombia

 

 

 

 

 

 

 

8.125%, 5/21/24

 

 

 

1,420

 

1,597

 

8.25%, 12/22/14

 

 

 

1,040

 

1,175

 

9.75%, 4/9/11

 

 

 

1,361

 

1,516

 

11.75%, 2/25/20

 

 

 

925

 

1,323

 

 

 

 

 

 

 

5,611

 

Ecuador (1.3%)

 

 

 

 

 

 

 

Sovereign (1.3%)

 

 

 

 

 

 

 

Republic of Ecuador

 

 

 

 

 

 

 

9.00%, 8/15/30

 

(a)

 

2,500

 

2,531

 

9.375%, 12/15/15

 

 

 

470

 

496

 

 

 

 

 

 

 

3,027

 

India (0.0%)

 

 

 

 

 

 

 

Corporate (0.0%)

 

 

 

 

 

 

 

Surashtra Cement & Chemical Ltd.

 

 

 

 

 

 

 

19.00%, (expired maturity)

 

(e)(g)

 

INR

30,000

 

@—

 

Indonesia (4.6%)

 

 

 

 

 

 

 

Corporate (4.6%)

 

 

 

 

 

 

 

Pindo Deli Finance Mauritius

 

 

 

 

 

 

 

Tranche A, 5.66%, 4/28/15

 

(c)(d)

 

$

1,659

 

1,369

 

Tranche B, 5.66%, 4/28/18

 

(c)

 

3,413

 

1,997

 

Tranche C, 5.66%, 4/28/25

 

(c)(d)

 

6,884

 

1,755

 

Tijiwi Kimia Finance Mauritius Ltd.

 

 

 

 

 

 

 

Tranche A, 5.66%, 4/28/15

 

(c)(d)

 

3,878

 

3,199

 

 



 

Tranche B, 5.66%, 4/28/18

 

(c)(d)

 

2,714

 

1,723

 

Tranche C, 5.66%, 4/28/27

 

(c)(d)

 

3,352

 

855

 

 

 

 

 

 

 

10,898

 

Ivory Coast (0.2%)

 

 

 

 

 

 

 

Sovereign (0.2%)

 

 

 

 

 

 

 

Republic of Ivory Coast

 

 

 

 

 

 

 

2.50%, 3/29/18

 

(b)

 

2,045

 

522

 

Malaysia (1.7%)

 

 

 

 

 

 

 

Sovereign (1.7%)

 

 

 

 

 

 

 

Government of Malaysia

 

 

 

 

 

 

 

7.50%, 7/15/11

 

 

 

420

 

457

 

8.75%, 6/1/09

 

 

 

3,290

 

3,601

 

 

 

 

 

 

 

4,058

 

Mexico (16.9%)

 

 

 

 

 

 

 

Corporate (8.3%)

 

 

 

 

 

 

 

Pemex Project Funding Master Trust

 

 

 

 

 

 

 

6.21%, 6/15/10

 

(c)(d)

 

4,250

 

4,373

 

8.625%, 12/1/23

 

 

 

1,740

 

2,049

 

9.125%, 10/13/10

 

 

 

4,040

 

4,555

 

9.50%, 9/15/27

 

(d)

 

5,900

 

7,565

 

10.00%, 9/15/27

 

 

 

1,020

 

1,302

 

 

 

 

 

 

 

19,844

 

Sovereign (8.6%)

 

 

 

 

 

 

 

Mexican Bonos

 

 

 

 

 

 

 

10.00%, 12/5/24

 

 

 

MXN

49,092

 

5,047

 

8.125%, 12/30/19

 

 

 

$

3,393

 

3,995

 

8.375%, 1/14/11

 

 

 

6,100

 

6,774

 

11.50%, 5/15/26

 

 

 

828

 

1,287

 

United Mexican States, MTN

 

 

 

 

 

 

 

8.30%, 8/15/31

 

 

 

2,905

 

3,518

 

 

 

 

 

 

 

20,621

 

 

 

 

 

 

 

40,465

 

Nigeria (2.2%)

 

 

 

 

 

 

 

Sovereign (2.2%)

 

 

 

 

 

 

 

Central Bank of Nigeria

 

 

 

 

 

 

 

6.25%, 11/15/20

 

(a)(c)

 

2,750

 

2,736

 

Central Bank of Nigeria Credit-Linked Treasury Bond

 

 

 

 

 

 

 

15.00%, 1/30/09

 

 

 

2,378

 

2,549

 

 

 

 

 

 

 

5,285

 

Panama (2.3%)

 

 

 

 

 

 

 

Sovereign (2.3%)

 

 

 

 

 

 

 

Republic of Panama

 

 

 

 

 

 

 

7.125%, 1/29/26

 

 

 

1,910

 

1,958

 

9.375%, 4/1/29

 

 

 

1,890

 

2,405

 

9.625%, 2/8/11

 

 

 

906

 

1,049

 

 

 

 

 

 

 

5,412

 

Peru (2.1%)

 

 

 

 

 

 

 

Sovereign (2.1%)

 

 

 

 

 

 

 

Republic of Peru

 

 

 

 

 

 

 

7.84%, 8/12/20

 

 

 

PEN

3,350

 

962

 

8.375%, 5/3/16

 

 

 

$

1,150

 

1,253

 

8.75%, 11/21/33

 

 

 

1,050

 

1,176

 

9.875%, 2/6/15

 

 

 

1,385

 

1,641

 

 

 

 

 

 

 

5,032

 

Philippines (11.8%)

 

 

 

 

 

 

 

Sovereign (11.8%)

 

 

 

 

 

 

 

Republic of Philippines

 

 

 

 

 

 

 

8.875%, 3/17/15

 

(j)

 

10,980

 

12,449

 

9.50%, 2/2/30

 

 

 

11,055

 

13,155

 

10.625%, 3/16/25

 

 

 

2,080

 

2,707

 

 

 

 

 

 

 

28,311

 

Qatar (0.8%)

 

 

 

 

 

 

 

Sovereign (0.8%)

 

 

 

 

 

 

 

State of Qatar (Registered)

 

 

 

 

 

 

 

9.75%, 6/15/30

 

 

 

1,260

 

1,852

 

Russia (14.5%)

 

 

 

 

 

 

 

Corporate (4.1%)

 

 

 

 

 

 

 

Gaz Capital for Gazprom

 

 

 

 

 

 

 

8.625%, 4/28/34

 

 

 

3,670

 

4,532

 

 



 

Sovereign (10.4%)

 

 

 

 

 

 

 

Aries Vermoegensverwaltungs GmbH

 

 

 

 

 

 

 

9.60%, 10/25/14

 

 

 

4,250

 

5,313

 

Russian Federation

 

 

 

 

 

 

 

5.00%, 3/31/30

 

(a)(d)

 

3,384

 

3,710

 

Russian Federation (Registered)

 

 

 

 

 

 

 

5.00%, 3/31/30

 

(a)

 

@—

 

@—

 

8.25%, 3/31/10

 

 

 

3,485

 

3,694

 

11.00%, 7/24/18

 

 

 

7,151

 

10,271

 

12.75%, 6/24/28

 

 

 

4,080

 

7,293

 

 

 

 

 

 

 

30,281

 

 

 

 

 

 

 

34,813

 

Trinidad (1.0%)

 

 

 

 

 

 

 

Corporate (1.0%)

 

 

 

 

 

 

 

National Gas of Trinidad & Tobago Ltd.

 

 

 

 

 

 

 

6.05%, 1/15/36

 

(d)

 

2,369

 

2,281

 

Tunisia (0.3%)

 

 

 

 

 

 

 

Sovereign (0.3%)

 

 

 

 

 

 

 

Banque Centrale de Tunisie

 

 

 

 

 

 

 

7.375%, 4/25/12

 

 

 

750

 

811

 

Turkey (5.8%)

 

 

 

 

 

 

 

Sovereign (5.8%)

 

 

 

 

 

 

 

Citigroup Global Markets Holdings, Inc.

 

 

 

 

 

 

 

(Turkish Lira Index Linked)

 

 

 

 

 

 

 

Zero Coupon, 6/28/07

 

(d)

 

6,120

 

6,112

 

Republic of Turkey

 

 

 

 

 

 

 

11.00%, 1/14/13

 

 

 

3,570

 

4,498

 

11.50%, 1/23/12

 

 

 

2,700

 

3,389

 

 

 

 

 

 

 

13,999

 

Venezuela (7.0%)

 

 

 

 

 

 

 

Sovereign (7.0%)

 

 

 

 

 

 

 

Republic of Venezuela

 

 

 

 

 

 

 

8.50%, 10/8/14

 

 

 

1,510

 

1,695

 

9.375%, 1/13/34

 

 

 

7,072

 

9,051

 

10.75%, 9/19/13

 

 

 

4,890

 

6,110

 

 

 

 

 

 

 

16,856

 

TOTAL DEBT INSTRUMENTS

 

 

 

 

 

 

 

(Cost $219,547)

 

 

 

 

 

232,473

 

 

 

 

 

 

No. of
Warrants

 

 

 

WARRANTS (0.9%)

 

 

 

 

 

 

 

Argentina (0.5%)

 

 

 

 

 

 

 

Republic of Argentina

 

 

 

 

 

 

 

Zero Coupon, 12/15/35

 

 

 

37,715

 

1,122

 

Zero Coupon, 12/15/35

 

(e)

 

1,182

 

110

 

 

 

 

 

 

 

1,232

 

Mexico (0.1%)

 

 

 

 

 

 

 

United Mexican States

 

 

 

 

 

 

 

expiring 9/1/06

 

 

 

2

 

181

 

Nigeria (0.2%)

 

 

 

 

 

 

 

Central Bank of Nigeria,

 

 

 

 

 

 

 

expiring 11/15/20

 

 

 

3,000

 

438

 

Venezuela (0.1%)

 

 

 

 

 

 

 

Republic of Venezuela Oil-Linked Payment Obligation,

 

 

 

 

 

 

 

expiring 4/15/20

 

 

 

11,350

 

386

 

TOTAL WARRANTS

 

 

 

 

 

 

 

(Cost $669)

 

 

 

 

 

2,237

 

 

 

 

 

 

No. of
Warrants

 

 

 

CALL OPTIONS PURCHASED (0.0%)

 

 

 

 

 

 

 

Brazil (0.0%)

 

 

 

 

 

 

 

Federative Republic of Brazil

 

 

 

 

 

 

 

5/06 @ $2.164 (Cost $78)

 

(h)

 

2,603,650

 

78

 

 

 

 

 

 

Face
Amount

 

 

 

 

 

 

 

(000)

 

 

 

SHORT-TERM INVESTMENT (2.0%)

 

 

 

 

 

 

 

United States (2.0%)

 

 

 

 

 

 

 

Repurchase Agreement (2.0%)

 

 

 

 

 

 

 

 



 

J.P. Morgan Securities, Inc., 4.73%,

 

 

 

 

 

 

 

dated 3/31/06, due 4/3/06

 

 

 

 

 

 

 

repurchase price $4,794 (Cost $4,792)

 

(f)

 

$

4,792

 

4,792

 

TOTAL INVESTMENTS+ (100.0%)

 

 

 

 

 

 

 

(Cost $225,086)

 

 

 

 

 

239,580

 

LIABILITIES IN EXCESS OF OTHER ASSETS

 

 

 

 

 

(426

)

NET ASSETS

 

 

 

 

 

$

239,154

 

 


(a)

Step Bond — coupon rate increases to maturity. Rate disclosed is as of March 31, 2006. 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 March 31, 2006.

(d)

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

(e)

Security was valued at fair value. At March 31, 2006, the Fund held a fair valued security, valued at less than $500,

 

representing less than 0.05% of net assets.

(f)

Represents the Fund’s undivided interest in a joint repurchase agreement which has a total value of $935,502,000. 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 Corp., 3.23% to 6.08%, due 4/1/19 to 2/1/37; Federal National Mortgage Association, Conventional Pools, 3.60% to 6.39%, due 5/1/28 to 4/1/44, which had a total value of $954, 214, 908. 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)

Security has been deemed illiquid - At March 31, 2006.

(h)

Non-income producing security.

(i)

Covered call option contracts written in connection with securities held.

(j)

Denotes all or a portion of securities subject to repurchase under the Reverse Repurchase Agreements as of March 31, 2006.

@

Face Amount/Value is less than $500.

INR

Indian Rupee

MTN

Medium Term Note

MXN

Mexican Peso

PEN

Peruvian Nuevo Sol

+

At March 31, 2006, the U.S. Federal income tax cost basis of investments was approximately $225,086,000 and, accordingly, net unrealized appreciation for U.S. Federal income tax purposes was $14,494,000 of which $21,647,000 related to appreciated securities and $7,153,000 related to depreciated securities.

 



 

Futures Contracts:

The Fund had the following futures contract(s) open at period end:

 

 

 

 

 

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

Unrealized

 

 

 

Number

 

 

 

 

 

Appreciation

 

 

 

of

 

Value

 

Expiration

 

(Depreciation)

 

 

 

Contracts

 

(000)

 

Date

 

(000)

 

Short:

 

 

 

 

 

 

 

 

 

2 Year U.S.

 

 

 

 

 

 

 

 

 

Treasury Note

 

239

 

$

48,722

 

Jun-06

 

$

91

 

 

Written Option Contracts:

 

The Fund had the following written option contract(s) open at period end:

 

 

 

 

 

Number

 

 

 

 

 

 

 

 

 

of

 

Value

 

Expiration

 

 

 

 

 

Contracts

 

(000)

 

Date

 

 

 

 

 

 

 

 

 

 

 

CALL OPTIONS WRITTEN (0.0%)

 

 

 

 

 

 

 

 

 

Brazil (0.0%)

 

 

 

 

 

 

 

 

 

Federative Republic of Brazil

 

 

 

 

 

 

 

 

 

Strike price $2.30 (Cost $78)

 

(h)(i)

 

7,050,690

 

$

(65

)

May-06

 

 

 

 

 

 

Total

 

 

 

Number

 

Premiums

 

 

 

of

 

Received

 

 

 

Contracts

 

(000)

 

Options Outstanding - 12/31/05

 

 

$

 

Options Written

 

7,050,690

 

78

 

Options Terminated in Closing Purchase Transactions

 

 

 

Options Exercised

 

 

 

Options Expired

 

 

 

Options Outstanding - 3/31/06

 

7,050,690

 

$

78

 

 



 

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:

May 18, 2006

 

 

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:

May 18, 2006

 

 

 

 

By:

/s/ James Garrett

 

Name:

James Garrett

 

Title:

Principal Financial Officer

 

Date:

May 18, 2006