[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
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Investment Company Act file number |
811-05921 |
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MORGAN STANLEY EMERGING MARKETS DOMESTIC DEBT FUND, INC. |
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(Exact name of registrant as specified in charter) |
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522 FIFTH AVENUE |
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10036 |
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(Address of principal executive offices) |
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(Zip code) |
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RONALD E. ROBISON |
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(Name and address of agent for service) |
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Registrant’s telephone number, including area code: |
1-800-281-2715 |
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Date of fiscal year end: |
10/31 |
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Date of reporting period: |
1/31/08 |
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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 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 Domestic Debt Fund, Inc.
Portfolio of Investments
First Quarter Report
January 31, 2008 (unaudited)
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Face |
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Amount |
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Value |
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(000) |
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(000) |
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DEBT INSTRUMENTS (99.3%) |
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Argentina (4.1%) |
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Sovereign (4.1%) |
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Republic of Argentina, |
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5.83%, 12/31/33 |
$ |
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(a)185,900 |
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$ |
71,153 |
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Brazil (13.6%) |
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Sovereign (13.6%) |
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Federative Republic of Brazil, |
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10.00%, 1/1/14 |
BRL |
176,047 |
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89,270 |
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Nota do Tesouro Nacional, |
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10.00%, 7/1/10 - 1/1/17 |
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285,020 |
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149,665 |
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238,935 |
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Colombia (4.4%) |
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Sovereign (4.4%) |
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Jupiter, S.p.V., Colombian Peso |
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Linked Bonds, |
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13.50%, 9/15/14 |
$ |
(a)75,000 |
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77,364 |
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Egypt (4.6%) |
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Sovereign (4.6%) |
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Arab Republic of Egypt, |
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8.75%, 7/18/12 |
EGP |
(c)426,980 |
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79,519 |
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Hungary (11.7%) |
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Sovereign (11.7%) |
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Republic of Hungary, |
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6.25%, 8/24/10 |
HUF |
13,000,000 |
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72,684 |
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6.75%, 2/24/17 |
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4,834,840 |
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26,972 |
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7.25%, 6/12/12 |
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18,460,000 |
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105,666 |
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205,322 |
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Indonesia (19.7%) |
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Corporate (0.9%) |
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Pindo Deli Finance BV, |
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Tranche A, 4.25%, 4/28/15 |
$ |
(a)(c)1,941 |
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1,640 |
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Tranche A, 4.29%, 4/28/15 |
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(a)191 |
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161 |
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Tranche B, 4.25%, 4/28/18 |
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(a)(c)8,336 |
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3,835 |
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Tranche C, Zero Coupon, 4/28/27 |
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(a)(c)2,227 |
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239 |
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Tjiwi Kimia Finance BV, |
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Tranche A, 4.25%, 4/28/15 |
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(a)868 |
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734 |
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Tranche A, 4.25%, 4/28/15 |
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(a)(c)5,748 |
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4,857 |
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Tranche B, 4.29%, 4/28/15 - 4/28/18 |
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(a)(c)9,360 |
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4,306 |
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Tranche C, Zero Coupon, 4/28/27 |
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(a)(c)998 |
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107 |
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15,879 |
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Sovereign (18.8%) |
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Barclays Bank plc, Indonesian |
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Government Bond Linked Notes, |
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10.00%, 7/17/17 |
IDR |
(a)(c)800,000,000 |
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87,903 |
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Citigroup, Inc., Indonesian Indexed |
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Credit Linked Unsecured Notes, |
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Zero Coupon, 7/19/17 |
$ |
28,776 |
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26,630 |
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Credit Suisse, Republic of Indonesia |
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Government Bonds Credit Linked Notes, |
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5.79%, 5/2/14 |
IDR |
(c)50,000 |
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56,935 |
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10.00%, 7/17/17 |
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(c)154,683,530 |
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16,996 |
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Republic of Indonesia Government, |
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10.00%, 7/15/17 |
$ |
500,000,000 |
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54,940 |
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JPMorgan Chase & Co., London, |
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Indonesian Treasury Bill Linked Notes, |
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10.00%, 7/19/17 - 9/17/24 |
IDR |
(c)807,525,000 |
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86,141 |
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329,545 |
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345,424 |
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Malaysia (5.3%) |
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Sovereign (5.3%) |
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Government of Malaysia, |
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3.72%, 6/15/12 |
MYR |
295,000 |
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92,141 |
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Mexico (12.0%) |
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Sovereign (12.0%) |
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Mexican Bonos, |
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8.00%, 12/17/15 |
MXN |
790,000 |
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74,556 |
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10.00%, 12/5/24 - 11/20/36 |
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1,187,849 |
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135,425 |
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209,981 |
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Peru (1.4%) |
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Sovereign (1.4%) |
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Republic of Peru, |
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12.25%, 8/10/11 |
PEN |
59,605 |
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24,373 |
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South Africa (12.8%) |
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Sovereign (12.8%) |
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Republic of South Africa, |
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13.00%, 8/31/10 |
ZAR |
(b)1,159,000 |
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167,593 |
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Standard Bank plc, |
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African Currency Basket Linked Bonds, |
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Zero Coupon, 2/25/08 - 12/15/08 |
$ |
(a)54,952 |
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56,270 |
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223,863 |
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Turkey (9.7%) |
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Sovereign (9.7%) |
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Republic of Turkey, |
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Zero Coupon, 11/26/08 - 8/5/09 |
TRY |
238,309 |
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170,202 |
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TOTAL DEBT INSTRUMENTS (Cost $1,747,597) |
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1,738,277 |
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U.S. TREASURY SECURITY (0.1%) |
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United States (0.1%) |
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U.S. Treasury Bill |
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3.90%, 4/24/08 (Cost $1,511) |
$ |
(d)1,525 |
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1,518 |
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No. of |
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PUT OPTIONS PURCHASED (0.2%) |
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Turkey (0.2%) |
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Turkish Lira Put |
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@ $1.297, expiring 7/4/08 (Cost $22,080) |
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185,000,000 |
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4,097 |
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Shares |
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SHORT-TERM INVESTMENT (0.4%) |
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United States (0.4%) |
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Investment Company |
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Morgan Stanley Institutional |
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(e)7,181,437 |
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7,182 |
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TOTAL INVESTMENTS (100.0%) + (Cost $1,778,369) |
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1,751,074 |
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LIABILITIES IN EXCESS OF OTHER ASSETS |
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(354,684 |
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NET ASSETS |
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$ |
1,396,390 |
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(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, 2008. |
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(b) |
Denotes all or a portion of securities subject to repurchase under the Reverse Repurchase Agreements as of January 31, 2008. |
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(c) |
144A Security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
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(d) |
Rate shown is the Yield to Maturity at January 31, 2008. |
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(e) |
The Portfolio invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Money Market Portfolio (the “Liquidity Fund”), an open-end management investment company managed by the Adviser. For the three months ended January 31, 2008, advisory fees paid were reduced by $4,000 relating to the Portfolio’s investment in the Liquidity Fund. For the same period, income distributions earned by the Portfolio are recorded as interest from affiliates was $303,000. During the three months ended January 31, 2008, cost of purchases and sales in the Liquidity Fund were $194,904,000 and $209,453,000, respectively. |
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At January 31, 2008, the U.S. Federal income tax cost basis of investments was approximately $1,778,369,000 and, accordingly, net unrealized depreciation for U.S. Federal income tax purposes was $27,296,000 of which $50,406,000 related to appreciated securities and $77,701,000 related to depreciated securities. |
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BRL |
— Brazilian Real |
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EGP |
— Egyptian Pound |
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HUF |
— Hungary Forint |
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IDR |
— Indonesian Rupiah |
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MXN |
— Mexican Peso |
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MYR |
— Malaysian Ringgit |
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PEN |
— Peruvian Nuevo Sol |
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TRY |
— Turkish Lira |
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ZAR |
— South African Rand |
Total Return Swap Contracts
The Fund had the following total return swap agreement(s) open at period end:
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Swap Counterparty |
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Pay |
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Receive |
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Termination Date |
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Notional |
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Unrealized |
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Citigroup |
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USD-LIBOR -BBA + 0.20 |
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7.34 |
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2/13/17 |
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RUB 982,224 |
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$ |
(88 |
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BBA — British Bankers’ Association
LIBOR — London Inter Bank Offer Rate
RUB — Russian Ruble
At January 31, 2008, the Fund had a reverse repurchase agreement outstanding with Lehman Brothers as follows:
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Lehman Brothers Agreement |
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Maturity in |
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Value of Securities Subject to Repurchase |
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$ |
164,691,875 |
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Liability Under Reverse Repurchase Agreement |
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$ |
164,691,875 |
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Weighted Average Days to Maturity |
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22.83 |
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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.
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(Registrant) |
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Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. |
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By: |
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/s/ Ronald E. Robison |
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Name: |
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Ronald E. Robison |
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Title: |
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Principal Executive Officer |
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Date: |
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March 20, 2008 |
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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.
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By: |
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/s/ Ronald E. Robison |
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Name: |
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Ronald E. Robison |
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Title: |
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Principal Executive Officer |
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Date: |
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March 20, 2008 |
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By: |
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/s/ James Garrett |
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Name: |
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James Garrett |
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Title: |
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Principal Financial Officer |
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Date: |
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March 20, 2008 |
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