NPORT-EX 2 NPORT_MGGP_4483787870.htm

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

July 31, 2021 (unaudited)

(Showing Percentage of Total Value of Investments)

 

  Face
Amount
(000)		   Value
(000)		 
FIXED INCOME SECURITIES (97.2%)          
Argentina (0.1%)          
Corporate Bonds (0.1%)          
Banco Hipotecario SA,          
BADLAR + 4.00%, 38.13%, 11/7/22 (a)(b)  ARS25,000   $323 
Tarjeta Naranja SA,          
BADLAR + 3.50%, 37.60%, 4/11/22 (a)(b)  $1,717    113 
         436 
Brazil (6.7%)          
Sovereign (6.7%)          
Brazil Notas do Tesouro Nacional, Series F,          
10.00%, 1/1/23 – 1/1/27  BRL180,445    36,372 
           
Chile (1.8%)          
Sovereign (1.8%)          
Bonos de la Tesoreria de la Republica en pesos,          
2.30%, 10/1/28 (b)  CLP3,010,000    3,526 
2.80%, 10/1/33 (b)   1,365,000    1,493 
4.50%, 3/1/26   3,250,000    4,591 
         9,610 
China (9.3%)          
Sovereign (9.3%)          
China Government Bond,          
1.99%, 4/9/25  CNY16,200    2,449 
2.68%, 5/21/30   72,300    10,959 
2.94%, 10/17/24   16,000    2,506 
3.13%, 11/21/29   123,320    19,398 
3.29%, 10/18/23   96,070    15,148 
         50,460 
Colombia (4.8%)          
Corporate Bond (0.2%)          
Fideicomiso PA Costera,          
6.25%, 1/15/34 (b)  COP4,979,415    1,363 
           
Sovereign (4.6%)          
Colombia Government International Bond,          
9.85%, 6/28/27   1,466,000    451 
Colombian TES,          
Series B          
6.00%, 4/28/28   15,850,000    3,956 
6.25%, 11/26/25   7,500,000    1,977 
7.75%, 9/18/30   9,477,000    2,575 
10.00%, 7/24/24   34,928,500    10,261 
Financiera de Desarrollo Territorial SA Findeter,          
7.88%, 8/12/24 (b)   21,492,000    5,682 
         24,902 
         26,265 

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

July 31, 2021 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

Czech Republic (2.5%)          
Sovereign (2.5%)          
Czech Republic Government Bond,          
0.45%, 10/25/23    CZK155,000    7,072 
1.20%, 3/13/31   57,320    2,553 
2.00%, 10/13/33   64,240    3,076 
2.75%, 7/23/29   16,500    832 
         13,533 
Dominican Republic (0.9%)          
Sovereign (0.9%)          
Dominican Republic International Bond,          
8.90%, 2/15/23 (b)  DOP22,000    407 
9.75%, 6/5/26 (b)   224,000    4,496 
         4,903 
Egypt (1.6%)          
Sovereign (1.6%)          
Egypt Government Bond,          
13.77%, 1/5/24    EGP101,200    6,371 
14.06%, 1/12/26   37,100    2,340 
         8,711 
Hungary (2.4%)          
Sovereign (2.4%)          
Hungary Government Bond,          
3.00%, 10/27/27  HUF2,385,380    8,289 
5.50%, 6/24/25   1,246,570    4,667 
         12,956 
India (3.9%)          
Sovereign (3.9%)          
India Government Bond,          
8.40%, 7/28/24  INR1,445,000    21,250 
           
Indonesia (9.1%)          
Sovereign (9.1%)          
Indonesia Treasury Bond,          
6.50%, 6/15/25 – 2/15/31  IDR351,836,000    25,183 
7.00%, 9/15/30   72,200,000    5,254 
7.50%, 6/15/35   54,470,000    3,964 
8.38%, 4/15/39   32,160,000    2,505 
8.75%, 5/15/31   154,628,000    12,538 
         49,444 
Kazakhstan (0.4%)          
Sovereign (0.4%)          
Development Bank of Kazakhstan JSC,          
10.95%, 5/6/26 (b)   KZT996,000    2,352 

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

July 31, 2021 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

Malaysia (6.0%)          
Sovereign (6.0%)          
Malaysia Government Bond,          
2.63%, 4/15/31  MYR19,139    4,333 
3.76%, 5/22/40   17,000    3,910 
3.90%, 11/30/26   3,600    907 
3.96%, 9/15/25   10,498    2,625 
4.18%, 7/15/24   51,713    12,929 
4.23%, 6/30/31   31,667    8,027 
         32,731 
Mexico (14.1%)          
Sovereign (14.1%)          
Mexican Bonos,          
Series M          
7.50%, 6/3/27  MXN507,456    26,548 
7.75%, 5/29/31   193,557    10,323 
10.00%, 12/5/24   79,164    4,430 
Petroleos Mexicanos,           
(Units)          
7.65%, 11/24/21 (b)(c)   704,300    35,374 
         76,675 
Peru (2.0%)          
Sovereign (2.0%)          
Peru Government Bond,          
5.40%, 8/12/34     PEN1,322    280 
5.94%, 2/12/29   1,570    397 
6.35%, 8/12/28   40,000    10,418 
         11,095 
Poland (8.0%)          
Sovereign (8.0%)          
Republic of Poland Government Bond,          
0.25%, 10/25/26     PLN5,420    1,343 
1.25%, 10/25/30   8,250    2,084 
3.25%, 7/25/25   66,900    19,001 
5.75%, 9/23/22   76,500    21,154 
         43,582 
Romania (2.2%)          
Sovereign (2.2%)          
Romania Government Bond,          
4.75%, 2/24/25 – 10/11/34  RON36,900    9,489 
5.80%, 7/26/27   9,410    2,606 
         12,095 
Russia (6.6%)          
Sovereign (6.6%)          
Russian Federal Bond - OFZ,          
6.90%, 5/23/29  RUB745,152    10,303 
7.00%, 8/16/23   215,087    2,959 
7.70%, 3/23/33   342,500    5,008 
7.95%, 10/7/26   256,141    3,696 
8.15%, 2/3/27   961,800    14,046 
         36,012 

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

July 31, 2021 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

Serbia (0.2%)          
Sovereign (0.2%)          
Serbia Treasury Bonds,          
4.50%, 1/11/26 – 8/20/32   RSD118,500    1,317 
           
South Africa (6.8%)          
Sovereign (6.8%)          
Republic of South Africa Government Bond,          
8.00%, 1/31/30  ZAR266,590    17,327 
8.25%, 3/31/32   37,242    2,323 
8.75%, 1/31/44   264,860    15,266 
9.00%, 1/31/40   29,300    1,754 
         36,670 
Thailand (5.1%)          
Sovereign (5.1%)          
Thailand Government Bond,          
1.60%, 12/17/29     THB305,000    9,458 
2.13%, 12/17/26   63,000    2,045 
2.40%, 12/17/23   250,000    7,942 
3.63%, 6/16/23   100,000    3,220 
3.85%, 12/12/25   116,460    4,016 
4.88%, 6/22/29   28,500    1,093 
         27,774 
Turkey (1.6%)          
Sovereign (1.6%)          
Turkey Government Bond,          
7.10%, 3/8/23  TRY19,550    1,984 
9.20%, 9/22/21   4,000    469 
10.70%, 8/17/22   3,285    364 
11.00%, 3/2/22 – 2/24/27   58,996    5,609 
         8,426 
Uruguay (0.7%)          
Sovereign (0.7%)          
Uruguay Government International Bond,          
8.50%, 3/15/28 (b)   UYU69,890    1,666 
9.88%, 6/20/22 (b)   63,800    1,499 
9.88%, 6/20/22   17,260    406 
         3,571 
Zambia (0.4%)          
Sovereign (0.4%)          
Zambia Government Bond,          
11.00%, 1/25/26     ZMW23,610    646 
13.00%, 1/25/31   60,930    1,396 
         2,042 
TOTAL FIXED INCOME SECURITIES (Cost $600,329)        528,282 

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

July 31, 2021 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

SHORT-TERM INVESTMENTS (2.8%)          
U.S. Treasury Security (1.6%)          
U.S. Treasury Bill,                 
0.03%, 11/4/21 (Cost $8,555) (d)  $8,556    8,555 

 

   Shares      
Investment Company (0.2%)                 
Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class (e) (Cost $852)   851,752    852 

 

   Face
Amount
(000)		      
Sovereign (1.0%)          
Egypt (1.0%)          
Egypt Treasury Bill,          
13.25%, 9/7/21 (Cost $5,217)   EGP83,100    5,225 
TOTAL SHORT-TERM INVESTMENTS (Cost $14,624)        14,632 
TOTAL INVESTMENTS (100.0%) (Cost $614,953)  (f)(g)(h)        542,914 
LIABILITIES IN EXCESS OF OTHER ASSETS        (95,209)
NET ASSETS       $447,705 

 

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 July 31, 2021. 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 July 31, 2021.
(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 nine months ended July 31, 2021, 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.
(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 nine months ended July 31, 2021, the Fund did not engage in any cross-trade transactions.
(h) At July 31, 2021, the aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. The aggregate gross unrealized appreciation is approximately $10,203,000 and the aggregate gross unrealized depreciation is approximately $82,537,000, resulting in net unrealized depreciation of approximately $72,334,000.

 

BADLAR Buenos Aires Deposits of Large Amount Rate.
OFZ Obilgatsyi Federal’novo Zaima (Russian Federal Loan Obligation).

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

Portfolio of Investments

Third Quarter Report

July 31, 2021 (unaudited)(cont’d)

(Showing Percentage of Total Value of Investments)

 

Foreign Currency Forward Exchange Contracts:
The Fund had the following foreign currency forward exchange contracts open at July 31, 2021:

 

Counterparty  Contracts
to
Deliver
(000)		  In
Exchange
For
(000)		  Delivery
Date		  Unrealized
Appreciation
(Depreciation)
(000)		  
Barclays Bank PLC  $4,575  HUF1,360,000  8/25/21  $ (79 )
Barclays Bank PLC  $2,832  MYR11,700  8/25/21    (62 )
Barclays Bank PLC  $4,922  THB155,000  8/25/21    (207 )
BNP Paribas SA  CLP2,836,000  $3,711  8/25/21    (24 )
BNP Paribas SA  CLP228,000  $317  8/25/21    16  
BNP Paribas SA  IDR17,000,000  $1,162  8/25/21    (11 )
BNP Paribas SA  IDR41,900,000  $2,901  8/25/21    8  
BNP Paribas SA  $4,291  CLP3,064,000  8/25/21    (256 )
BNP Paribas SA  $5,741  CZK120,000  8/25/21    (161 )
BNP Paribas SA  $4,446  HUF1,280,000  8/25/21    (215 )
Citibank NA  MXN682,600  $33,934  8/25/21    (257 )
Goldman Sachs International  $1,479  RON6,000  8/25/21    (33 )
JPMorgan Chase Bank NA  PLN26,000  $7,026  8/25/21    276  
JPMorgan Chase Bank NA  $2,240  MXN45,000  8/25/21    15  
State Street Bank and Trust Co.  COP31,300,000  $8,511  8/25/21    450  
State Street Bank and Trust Co.  CZK12,600  $587  8/25/21    1  
State Street Bank and Trust Co.  INR1,645,000  $22,161  8/25/21    101  
State Street Bank and Trust Co.  PEN9,000  $2,426  8/25/21    210  
UBS AG  $2,190  ZAR31,180  8/25/21    (67 )
              $ (295 )

 

 

ARS — Argentine Peso
BRL — Brazilian Real
CLP — Chilean Peso
CNY — Chinese Yuan Renminbi
COP — Colombian Peso
CZK — Czech Koruna
DOP — Dominican Peso
EGP — Egyptian Pound
HUF — Hungarian Forint
IDR — Indonesian Rupiah
INR — Indian Rupee
KZT — Kazakhstan Tenge
MXN — Mexican Peso
MYR — Malaysian Ringgit
PEN — Peruvian Nuevo Sol
PLN — Polish Zloty
RON — Romanian New Leu
RSD — Serbian Dinar
RUB — Russian Ruble
THB — Thai Baht
TRY — Turkish Lira
UYU — Uruguay Peso
ZAR — South African Rand
ZMW — Zambian Kwacha

 

 

 

 

Portfolio Composition

 

Classification  Percentage of
Total Investments		 
Sovereign   97.0%
Other*   3.0 
Total Investments   100.0%**

 

* Industries and/or investment types representing less than 5% of total investments.
** Does not include open foreign currency forward exchange contracts with net unrealized depreciation of approximately $295,000.

 

 

 

 

Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.

 

Notes to the Portfolio of Investments ▪ July 31, 2021 (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. If only bid prices are available then the latest bid price may be used. If Morgan Stanley Investment Management Inc. (the “Adviser”), a wholly-owned subsidiary of Morgan Stanley, determines that the price provided by the outside pricing service/vendor or exchange does not reflect the security’s fair value or is unable to provide a price, prices from brokers or dealers may also be utilized. In these circumstances, the value of the security will be the mean of bid and asked prices obtained from brokers or dealers; (2) when market quotations are not readily available, including circumstances under which 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) 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 (4) 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.

 

 

 

 

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 July 31, 2021:

 

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  $—   $1,799   $—   $1,799 
Sovereign   —    526,483    —    526,483 
Total Fixed Income Securities   —    528,282    —    528,282 
Short-Term Investments                    
Investment Company   852    —    —    852 
Sovereign   —    5,225         5,225 
U.S. Treasury Security   —    8,555    —    8,555 
Total Short-Term Investments   852    13,780    —    14,632 
Foreign Currency Forward Exchange Contracts   —    1,077    —    1,077 
Total Assets   852    543,139    —    543,991 
Liabilities:                    
Foreign Currency Forward Exchange Contracts   —    (1,372)   —    (1,372)
Total  $852   $541,767   $—   $542,619 

 

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment's valuation changes.