N-Q 1 a18-8801_4nq.htm 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, New York

 

10036

(Address of principal executive offices)

 

(Zip code)

 

John H. Gernon

522 Fifth Avenue, New York, New York 10036

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

212-296-0289

 

 

Date of fiscal year end:

October 31,

 

 

Date of reporting period:

January 31, 2018

 

 


 

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, 2018 (unaudited)

(Showing Percentage of Total Value of Investments)

 

 

 

Face
Amount
(000)

 

Value
(000)

 

Fixed Income Securities (94.7%)

 

 

 

 

 

Argentina (4.5%)

 

 

 

 

 

Corporate Bonds (4.5%)

 

 

 

 

 

Autonomous City of Buenos Aires Argentina,

 

 

 

 

 

BADLAR + 3.25%, 26.16%, 3/29/24 (a)

 

ARS

92,677

 

$

4,687

 

Banco Hipotecario SA,

 

 

 

 

 

BADLAR + 4.00%, 25.94%, 11/7/22 (a)(b)

 

25,000

 

1,362

 

Provincia de Buenos Aires,

 

 

 

 

 

BADLAR + 3.83%, 26.96%, 5/31/22 (a)

 

218,010

 

11,404

 

Provincia de Mendoza Argentina,

 

 

 

 

 

BADLAR + 4.38%, 27.50%, 6/9/21 (a)

 

172,370

 

8,744

 

Tarjeta Naranja SA,

 

 

 

 

 

BADLAR + 3.50%, 26.56%, 4/11/22 (a)(b)

 

$

5,150

 

4,674

 

YPF SA,

 

 

 

 

 

BADLAR + 4.00%, 27.13%, 7/7/20 (a)(b)

 

9,137

 

8,297

 

 

 

 

 

39,168

 

Brazil (14.3%)

 

 

 

 

 

Sovereign (14.3%)

 

 

 

 

 

Brazil Notas do Tesouro Nacional, Series F,

 

 

 

 

 

 

10.00%, 1/1/21 — 1/1/25

 

BRL

383,064

 

124,173

 

 

 

 

 

 

 

Chile (0.9%)

 

 

 

 

 

Sovereign (0.9%)

 

 

 

 

 

Bonos de la Tesoreria de la Republica en pesos,

 

 

 

 

 

5.00%, 3/1/35

 

CLP

3,570,000

 

5,889

 

Chile Government International Bond,

 

 

 

 

 

5.50%, 8/5/20

 

1,165,000

 

2,028

 

 

 

 

 

7,917

 

Colombia (5.3%)

 

 

 

 

 

Corporate Bond (0.2%)

 

 

 

 

 

Fideicomiso PA Costera,

 

 

 

 

 

6.25%, 1/15/34 (b)

 

COP

4,979,415

 

1,835

 

 

 

 

 

 

 

Sovereign (5.1%)

 

 

 

 

 

Colombia Government International Bond,

 

 

 

 

 

9.85%, 6/28/27

 

1,466,000

 

648

 

Colombian TES,

 

 

 

 

 

6.00%, 4/28/28

 

15,000,000

 

5,103

 

7.75%, 9/18/30

 

16,848,100

 

6,508

 

10.00%, 7/24/24

 

44,128,500

 

18,805

 

11.00%, 7/24/20

 

14,087,000

 

5,630

 

Financiera de Desarrollo Territorial SA Findeter,

 

 

 

 

 

7.88%, 8/12/24 (b)

 

21,492,000

 

7,789

 

 

 

 

 

44,483

 

 

 

 

 

46,318

 

Georgia (0.7%)

 

 

 

 

 

Corporate Bond (0.7%)

 

 

 

 

 

Bank of Georgia JSC,

 

 

 

 

 

11.00%, 6/1/20 (b)

 

GEL

14,300

 

5,813

 

 


 

Hungary (3.4%)

 

 

 

 

 

Sovereign (3.4%)

 

 

 

 

 

Hungary Government Bond,

 

 

 

 

 

3.00%, 10/27/27

 

HUF

3,407,390

 

14,404

 

5.50%, 6/24/25

 

2,992,920

 

14,920

 

 

 

 

 

29,324

 

India (2.7%)

 

 

 

 

 

Sovereign (2.7%)

 

 

 

 

 

India Government Bond,

 

 

 

 

 

8.40%, 7/28/24

 

INR

1,445,000

 

23,722

 

 

 

 

 

 

 

Indonesia (9.1%)

 

 

 

 

 

Sovereign (9.1%)

 

 

 

 

 

Indonesia Treasury Bond,

 

 

 

 

 

8.38%, 3/15/34

 

IDR

291,441,000

 

24,750

 

8.75%, 5/15/31

 

412,855,000

 

35,801

 

9.00%, 3/15/29

 

204,725,000

 

18,377

 

 

 

 

 

78,928

 

Malaysia (4.6%)

 

 

 

 

 

Sovereign (4.6%)

 

 

 

 

 

Malaysia Government Bond,

 

 

 

 

 

3.96%, 9/15/25

 

MYR

23,754

 

6,077

 

4.18%, 7/15/24

 

111,175

 

28,979

 

4.23%, 6/30/31

 

19,500

 

4,884

 

 

 

 

 

39,940

 

Mexico (9.9%)

 

 

 

 

 

Sovereign (9.9%)

 

 

 

 

 

Mexican Bonos,

 

 

 

 

 

Series M

 

 

 

 

 

6.50%, 6/10/21

 

MXN

443,184

 

23,118

 

7.50%, 6/3/27

 

212,300

 

11,315

 

7.75%, 5/29/31

 

62,900

 

3,396

 

8.00%, 12/7/23

 

129,000

 

7,091

 

Petroleos Mexicanos,

 

 

 

 

 

(Units)

 

 

 

 

 

7.65%, 11/24/21 (b)(c)

 

791,300

 

40,819

 

 

 

 

 

85,739

 

Peru (3.7%)

 

 

 

 

 

Sovereign (3.7%)

 

 

 

 

 

Peru Government Bond,

 

 

 

 

 

(Units)

 

 

 

 

 

5.70%, 8/12/24 (c)

 

PEN

44,037

 

15,154

 

6.15%, 8/12/32 (b)

 

20,660

 

7,159

 

Peruvian Government International Bond,

 

 

 

 

 

(Units)

 

 

 

 

 

5.70%, 8/12/24 (b)(c)

 

14,001

 

4,818

 

8.20%, 8/12/26 (c)

 

13,154

 

5,196

 

 

 

 

 

32,327

 

 


 

Poland (9.4%)

 

 

 

 

 

Sovereign (9.4%)

 

 

 

 

 

Poland Government Bond,

 

 

 

 

 

3.25%, 7/25/25

 

PLN

29,850

 

8,956

 

5.25%, 10/25/20

 

75,898

 

24,681

 

5.75%, 9/23/22

 

141,500

 

48,066

 

 

 

 

 

81,703

 

Romania (1.2%)

 

 

 

 

 

Sovereign (1.2%)

 

 

 

 

 

Romania Government Bond,

 

 

 

 

 

4.75%, 2/24/25

 

RON

36,275

 

9,913

 

 

 

 

 

 

 

Russia (5.7%)

 

 

 

 

 

Sovereign (5.7%)

 

 

 

 

 

Russian Federal Bond - OFZ,

 

 

 

 

 

7.00%, 8/16/23

 

RUB

765,785

 

13,728

 

7.10%, 10/16/24

 

500,000

 

8,949

 

7.60%, 7/20/22

 

438,000

 

8,036

 

8.15%, 2/3/27

 

961,800

 

18,368

 

 

 

 

 

49,081

 

South Africa (7.3%)

 

 

 

 

 

Sovereign (7.3%)

 

 

 

 

 

South Africa Government Bond,

 

 

 

 

 

6.75%, 3/31/21

 

ZAR

83,700

 

6,952

 

7.25%, 1/15/20

 

24

 

2

 

7.75%, 2/28/23

 

54,000

 

4,565

 

8.00%, 1/31/30

 

658,850

 

51,748

 

 

 

 

 

63,267

 

Thailand (2.5%)

 

 

 

 

 

Sovereign (2.5%)

 

 

 

 

 

Thailand Government Bond,

 

 

 

 

 

3.63%, 6/16/23

 

THB

630,000

 

21,919

 

 

 

 

 

 

 

Turkey (7.8%)

 

 

 

 

 

Corporate Bond (3.2%)

 

 

 

 

 

Turkiye Garanti Bankasi AS,

 

 

 

 

 

7.38%, 3/7/18 (b)

 

TRY

102,980

 

27,362

 

 

 

 

 

 

 

Sovereign (4.6%)

 

 

 

 

 

Turkey Government Bond,

 

 

 

 

 

7.10%, 3/8/23

 

38,300

 

8,508

 

8.00%, 3/12/25

 

24,250

 

5,371

 

9.20%, 9/22/21

 

22,000

 

5,382

 

10.50%, 1/15/20

 

29,475

 

7,579

 

10.60%, 2/11/26

 

51,200

 

12,996

 

 

 

 

 

39,836

 

 

 

 

 

67,198

 

Uruguay (1.7%)

 

 

 

 

 

Sovereign (1.7%)

 

 

 

 

 

Uruguay Government International Bond,

 

 

 

 

 

8.50%, 3/15/28 (b)

 

UYU

69,890

 

2,399

 

 


 

9.88%, 6/20/22 (b)

 

344,500

 

12,618

 

 

 

 

 

15,017

 

Total Fixed Income Securities (Cost $856,098)

 

 

 

821,467

 

Short-Term Investments (5.3%)

 

 

 

 

 

U.S. Treasury Security (1.0%)

 

 

 

 

 

U.S. Treasury Bill,

 

 

 

 

 

1.19%, 4/26/18 (d) (Cost $8,208)

 

$

8,230

 

8,203

 

 

 

 

Shares

 

Value
(000)

 

Investment Company (0.4%)

 

 

 

 

 

Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class (e) (Cost $3,199)

 

3,198,768

 

3,199

 

 

 

 

Face
Amount
(000)

 

 

 

Egypt (2.4%)

 

 

 

 

 

Sovereign (2.4%)

 

 

 

 

 

Egypt Treasury Bills,

 

 

 

 

 

17.85%, 3/13/18

 

EGP

117,050

 

6,508

 

18.15%, 4/3/18

 

181,500

 

10,018

 

18.60%, 3/27/18

 

67,825

 

3,740

 

 

 

 

 

20,266

 

Nigeria (1.5%)

 

 

 

 

 

Sovereign (1.5%)

 

 

 

 

 

Nigeria Treasury Bill,

 

 

 

 

 

22.45%, 8/16/18

 

NGN

5,181,000

 

13,261

 

Total Sovereign (Cost $33,083)

 

 

 

33,527

 

Total Short-Term Investments (Cost $44,490)

 

 

 

44,929

 

Total Investments (100.0%) (Cost $900,588) (f)(g)(h)

 

 

 

866,396

 

Liabilities in Excess of Other Assets

 

 

 

(242,363

)

Net Assets

 

 

 

$

624,033

 

 

Country assignments and aggregations are based generally on third party vendor classifications and information, and may be different from the assignments and aggregations under the policies set forth in the Fund’s prospectus and/or statement of additional information relating to geographic classifications.

 

(a)

Floating or Variable rate securities: The rates disclosed are as of January 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description in the Portfolio of Investments. Certain variable rate securities may not be based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description in the Portfolio of Investments.

(b)

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

(c)

Consists of one or more classes of securities traded together as a unit.

(d)

Rate shown is the yield to maturity at January 31, 2018.

 


 

(e)

The Fund invests in the Institutional Class of the Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - (the “Liquidity Funds”), an open-end management investment company managed by the Adviser. 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 Fund due to its investment in the Liquidity Funds. For the three months ended January 31, 2018, advisory fees paid were reduced by approximately $4,000 relating to the Fund’s investment in the Liquidity Funds.

(f)

Securities are available for collateral in connection with open foreign currency forward exchange contracts and futures contracts.

(g)

The Fund is permitted to purchase and sell securities (“cross-trade”) from and to other Morgan Stanley Funds as well as other funds and client accounts for which the Adviser or an affiliate of the Adviser serves as investment adviser, pursuant to procedures approved by the Directors in compliance with Rule 17a-7 under the Act (the “Rule”). Each cross-trade is executed at the current market price in compliance with provisions of the Rule. For the three months ended January 31, 2018, the Fund did not engage in any cross-trade transactions.

(h)

At January 31, 2018, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $52,367,000 and the aggregate gross unrealized depreciation is approximately $87,514,000, resulting in net unrealized depreciation of approximately $35,147,000.

BADLAR

Buenos Aires Deposits of Large Amount Rate.

OFZ

Obilgatsyi Federal’novo Zaima (Russian Federal Loan Obligation).

 


 

Foreign Currency Forward Exchange Contracts:

 

The Fund had the following foreign currency forward exchange contracts open at January 31, 2018:

 

Counterparty

 

Contracts
to
Deliver
(000)

 

In
Exchange
For
(000)

 

Delivery
Date

 

Unrealized
Appreciation
(Depreciation)
(000)

 

JPMorgan Chase Bank NA

 

BRL

174,588

 

$

52,397

 

2/2/18

 

$

(2,401

)

JPMorgan Chase Bank NA

 

BRL

161,588

 

$

51,097

 

2/2/18

 

378

 

JPMorgan Chase Bank NA

 

BRL

13,000

 

$

4,111

 

2/2/18

 

30

 

JPMorgan Chase Bank NA

 

$

3,973

 

BRL

13,000

 

2/2/18

 

107

 

JPMorgan Chase Bank NA

 

$

50,998

 

BRL

161,588

 

2/2/18

 

(280

)

JPMorgan Chase Bank NA

 

$

55,207

 

BRL

174,588

 

2/2/18

 

(409

)

JPMorgan Chase Bank NA

 

TRY

85,220

 

$

22,541

 

2/5/18

 

(118

)

JPMorgan Chase Bank NA

 

MXN

482,750

 

$

24,895

 

2/8/18

 

(1,017

)

JPMorgan Chase Bank NA

 

CLP

1,850,000

 

$

3,054

 

2/12/18

 

(14

)

JPMorgan Chase Bank NA

 

COP

15,000,000

 

$

5,180

 

2/12/18

 

(103

)

JPMorgan Chase Bank NA

 

$

6,768

 

CLP

4,125,000

 

2/12/18

 

74

 

JPMorgan Chase Bank NA

 

$

10,507

 

RUB

595,000

 

2/12/18

 

65

 

JPMorgan Chase Bank NA

 

$

7,508

 

RON

29,510

 

2/13/18

 

375

 

JPMorgan Chase Bank NA

 

ZAR

120,000

 

$

9,643

 

2/16/18

 

(465

)

Citibank NA

 

$

6,452

 

KZT

2,100,000

 

2/20/18

 

19

 

JPMorgan Chase Bank NA

 

INR

1,200,000

 

$

18,660

 

2/20/18

 

(162

)

JPMorgan Chase Bank NA

 

$

12,078

 

CZK

250,000

 

2/20/18

 

213

 

State Street Bank and Trust Co.

 

$

3,413

 

MYR

13,500

 

2/20/18

 

48

 

JPMorgan Chase Bank NA

 

PLN

60,000

 

$

17,931

 

2/26/18

 

(7

)

JPMorgan Chase Bank NA

 

$

26,991

 

THB

849,950

 

2/26/18

 

161

 

JPMorgan Chase Bank NA

 

BRL

161,588

 

$

50,848

 

3/2/18

 

285

 

JPMorgan Chase Bank NA

 

BRL

4,000

 

$

1,255

 

3/2/18

 

3

 

JPMorgan Chase Bank NA

 

NGN

4,600,000

 

$

11,757

 

8/20/18

 

(586

)

 

 

 

 

 

 

 

 

$

(3,804

)

 

Futures Contracts:

 

The Fund had the following futures contracts open at January 31, 2018:

 

 

 

Number
of
Contracts

 

Expiration
Date

 

Notional Amount
(000)

 

Value
(000)

 

Unrealized
Appreciation
(000)

 

Short:

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury 10 yr. Note

 

493

 

Mar-18

 

(49,300

)

$

(59,938

)

$

1,549

 

German Euro Bund

 

247

 

Mar-18

 

(24,700

)

(48,704

)

1,300

 

 

 

 

 

 

 

 

 

 

 

$

2,849

 

 

ARS

—

Argentine Peso

BRL

—

Brazilian Real

CLP

—

Chilean Peso

COP

—

Colombian Peso

CZK

—

Czech Koruna

EGP

—

Egyptian Pound

EUR

—

Euro

GEL

—

Georgian Lari

HUF

—

Hungarian Forint

IDR

—

Indonesian Rupiah

INR

—

Indian Rupee

KZT

—

Kazakhstan Tenge

MXN

—

Mexican Peso

MYR

—

Malaysian Ringgit

 


 

NGN

—

Nigerian Naira

PEN

—

Peruvian Nuevo Sol

PLN

—

Polish Zloty

RON

—

Romanian New Leu

RUB

—

Russian Ruble

THB

—

Thai Baht

TRY

—

Turkish Lira

UYU

—

Uruguay Peso

ZAR

—

South African Rand

 


 

Portfolio Composition

 

Classification

 

Percentage of
Total Investments

 

Sovereign

 

86.1

%

Corporate Bonds

 

8.6

 

Short-Term Investments

 

5.3

 

Total Investments

 

100.0

%*

 

*

Does not include open short futures contracts with an underlying face amount of approximately $108,642,000 with total unrealized appreciation of approximately $2,849,000. Does not include open foreign currency forward exchange contracts with net unrealized depreciation of approximately $3,804,000.

 


 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

 

Notes to the Portfolio of Investments · January 31, 2018 (unaudited)

 

Security Valuation: (1) 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/vendor. The pricing service/vendor may employ a pricing model that takes into account, among other things, bids, yield spreads, and/or other market data and specific security characteristics. Alternatively, if a valuation is not available from an outside pricing service/vendor, and the security trades on an exchange, the security may be valued at its latest reported sale price (or at the exchange official closing price if such exchange reports an official closing price), prior to the time when assets are valued. If there are no sales on a given day and if there is no official exchange closing price for that day, the security is valued at the mean between the last reported bid and asked prices if such bid and asked prices are available in the relevant exchanges; (2) when market quotations are not readily available, including circumstances under which Morgan Stanley Investment Management Inc. (the “Adviser”) determines that the closing price, last sale price or the mean between the last reported bid and asked prices are not reflective of a security’s market value, portfolio securities are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Fund’s Board of Directors (the “Directors”). Occasionally, developments affecting 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 of the New York Stock Exchange (“NYSE”). If developments occur during such periods that are expected to materially affect the value of such securities, such valuations may be adjusted to reflect the estimated fair value of such securities as of the close of the NYSE, as determined in good faith by the Directors or by the Adviser using a pricing service and/or procedures approved by the Directors; (3) futures are valued at the settlement price on the exchange on which they trade or, if a settlement price is unavailable, at the last sale price on the exchange; (4) quotations of foreign portfolio securities, other assets and liabilities and forward contracts stated in foreign currency are translated into U.S. dollar equivalents at the prevailing market rates prior to the close of the NYSE; and (5) investments in mutual funds, including the Morgan Stanley Institutional Liquidity Funds, are valued at the net asset value as of the close of each business day.

 

The Directors have responsibility for determining in good faith the fair value of the investments, and the Directors may appoint others, such as the Fund’s Adviser or a valuation committee, to assist the Directors in determining fair value and to make the actual calculations pursuant to the fair valuation methodologies previously approved by the Directors. Under procedures approved by the Directors, the Fund’s Adviser has formed a Valuation Committee whose members are approved by the Directors. The Valuation Committee provides administration and oversight of the Fund’s valuation policies and procedures, which are reviewed at least annually by the Directors. These procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.

 

The Fund has procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available. Under these procedures, the Valuation Committee convenes on a regular and ad hoc basis to review such securities and considers a number of factors, including valuation methodologies and significant unobservable valuation inputs, when arriving at fair value. The Valuation Committee may employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed. The Valuation Committee employs various methods for calibrating these valuation approaches including a regular review of valuation methodologies, key inputs and assumptions, transactional back-testing or disposition analysis, and reviews of any related market activity.

 

Fair Value Measurement: Financial Accounting Standards Board (“FASB”) Accounting Standards CodificationTM (“ASC”) 820, “Fair Value Measurement” (“ASC 820”), defines fair value as the value 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 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 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.

 

The following is a summary of the inputs used to value the Fund’s investments as of January 31, 2018.

 

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

 

$

—

 

$

74,178

 

$

—

 

$

74,178

 

Sovereign

 

—

 

747,289

 

—

 

747,289

 

Total Fixed Income Securities

 

—

 

821,467

 

—

 

821,467

 

Short-Term Investments

 

 

 

 

 

 

 

 

 

U.S. Treasury Security

 

—

 

8,203

 

—

 

8,203

 

Investment Company

 

3,199

 

—

 

—

 

3,199

 

Sovereign

 

—

 

33,527

 

—

 

33,527

 

Total Short-Term Investments

 

3,199

 

41,730

 

—

 

44,929

 

Foreign Currency Forward Exchange Contracts

 

—

 

1,758

 

—

 

1,758

 

Futures Contracts

 

2,849

 

—

 

—

 

2,849

 

Total Assets

 

6,048

 

864,955

 

—

 

871,003

 

Liabilities:

 

 

 

 

 

 

 

 

 

Foreign Currency Forward Exchange Contracts

 

—

 

(5,562

)

—

 

(5,562

)

Total

 

$

6,048

 

$

859,393

 

$

—

 

$

865,441

 

 

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 January 31, 2018, the Fund did not have any investments transfer between investment levels.

 


 

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.

 

(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 Domestic Debt Fund, Inc.

 

 

 

/s/ John H. Gernon

 

John H. Gernon

 

Principal Executive Officer

 

March 20, 2018

 

 

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/ John H. Gernon

 

John H. Gernon

 

Principal Executive Officer

 

March 20, 2018

 

 

 

/s/ Francis Smith

 

Francis Smith

 

Principal Financial Officer

 

March 20, 2018