UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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: April 30, 2023
Item 1 - Report to Shareholders
Adviser
Domestic Debt Fund, Inc.
April 30, 2023 (unaudited)
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Back Cover |
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
6 Month* | One Year | Five Years | Ten Years | |
Net Asset Value ("NAV") | 16.95 % | 7.96 % | -2.16 % | -3.90 % |
Market Price | 17.81 % | 7.24 % | -2.22 % | -4.59 % |
J.P. Morgan Government Bond Index — Emerging Markets Global Diversified Index(2) | 16.06 % | 6.56 % | -1.62 % | -1.77 % |
Distributions | |
Total Distributions per share for the period | $0.15 |
Current Distribution Rate at NAV(3) | 5.86 % |
Current Distribution Rate at Market Price(3) | 6.94 % |
% Premium/(Discount) to NAV(4) | (15.57 )% |
* | Cumulative return |
(1) | All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future. |
(2) | The J.P. Morgan Government Bond Index — Emerging Markets Global Diversified Index tracks local currency government bonds issued by emerging markets. The Index is unmanaged and its returns do not include any sales charges or fees. Such costs would lower performance. It is not possible to invest directly in an index. |
(3) | The Distribution Rate is based on the Fund’s last regular distribution per share in the period (annualized) divided by the Fund’s NAV or market price at the end of the period. The Fund’s distributions may be comprised of amounts characterized for federal income tax purposes as qualified and non-qualified ordinary dividends, capital gains and non-dividend distributions, also known as return of capital. The Fund will determine the federal income tax character of distributions paid to a shareholder after the end of the calendar year. The Fund’s distributions are determined by the investment adviser based on its current assessment of the Fund’s long-term return potential. Fund distributions may be affected by numerous factors including changes in Fund performance, the cost of financing for leverage, portfolio holdings, realized and projected returns, and other factors. As portfolio and market conditions change, the rate of distributions paid by the Fund could change. |
(4) | The shares of the Fund often trade at a discount or premium to their net asset value. The discount or premium may vary over time and may be higher or lower than what is quoted in this report. |
April 30, 2023 (unaudited)
Face Amount (000) | Value (000) | ||
Fixed Income Securities (97.5%) | |||
Argentina (0.1%) | |||
Corporate Bond (0.1%) | |||
Provincia de Cordoba, | |||
6.88%, 12/10/25 | $ | 451 | $376 |
Armenia (0.9%) | |||
Sovereign (0.9%) | |||
Republic of Armenia International Bond, | |||
7.15%, 3/26/25 | 2,532 | 2,573 | |
Republic of Armenia Treasury Bonds, | |||
9.75%, 10/29/52 | AMD | 360,380 | 806 |
3,379 | |||
Benin (0.1%) | |||
Sovereign (0.1%) | |||
Benin Government International Bond, | |||
5.75%, 3/26/26 | EUR | 204 | 220 |
Bolivia (0.3%) | |||
Sovereign (0.3%) | |||
Bolivian Government International Bond, | |||
5.95%, 8/22/23 | $ | 1,512 | 1,377 |
Brazil (7.2%) | |||
Sovereign (7.2%) | |||
Brazil Notas do Tesouro Nacional, Series F | |||
10.00%, 1/1/25 - 1/1/29 | BRL | 146,615 | 28,231 |
Colombia (3.9%) | |||
Corporate Bond (0.2%) | |||
Fideicomiso PA Costera, | |||
6.25%, 1/15/34(a) | COP | 4,979,415 | 934 |
Sovereign (3.7%) | |||
Colombia Government International Bond, | |||
9.85%, 6/28/27 | 1,466,000 | 293 | |
Colombian TES, | |||
5.75%, 11/3/27 | 24,995,000 | 4,299 | |
6.00%, 4/28/28 | 8,982,000 | 1,533 | |
7.00%, 6/30/32 | 10,640,000 | 1,666 | |
Colombian TES, Series B | |||
7.00%, 3/26/31 | 8,239,000 | 1,345 | |
7.75%, 9/18/30 | 6,916,000 | 1,197 |
Face Amount (000) | Value (000) | ||
Financiera de Desarrollo Territorial SA Findeter, | |||
7.88%, 8/12/24(a) | COP | 20,551,000 | $4,031 |
14,364 | |||
15,298 | |||
Czech Republic (3.6%) | |||
Sovereign (3.6%) | |||
Czech Republic Government Bond, | |||
1.20%, 3/13/31 | CZK | 57,320 | 2,089 |
2.00%, 10/13/33 | 87,240 | 3,230 | |
2.75%, 7/23/29 | 214,430 | 9,003 | |
14,322 | |||
Dominican Republic (6.7%) | |||
Sovereign (6.7%) | |||
Dominican Republic Central Bank Notes, | |||
13.00%, 12/5/25(a) | DOP | 97,000 | 1,832 |
Dominican Republic International Bond, | |||
8.00%, 1/15/27 - 3/12/27 (a) | 129,000 | 2,074 | |
9.75%, 6/5/26(a) | 224,000 | 4,082 | |
12.00%, 8/8/25 - 10/3/25 (a) | 440,580 | 8,123 | |
12.75%, 9/23/29(a) | 357,200 | 7,257 | |
13.63%, 2/3/33 | 136,000 | 2,956 | |
26,324 | |||
El Salvador (0.2%) | |||
Sovereign (0.2%) | |||
El Salvador Government International Bond, | |||
5.88%, 1/30/25 | $ | 249 | 208 |
6.38%, 1/18/27 | 945 | 596 | |
804 | |||
Honduras (0.0%)‡ | |||
Sovereign (0.0%)‡ | |||
Honduras Government International Bond, | |||
7.50%, 3/15/24 | 92 | 91 | |
Hungary (1.6%) | |||
Sovereign (1.6%) | |||
Hungary Government Bond, | |||
2.25%, 4/20/33 | HUF | 677,000 | 1,276 |
3.00%, 10/27/27 - 4/25/41 | 1,741,430 | 3,796 |
April 30, 2023 (unaudited)
(Showing Percentage of Total Value of Investments)
Face Amount (000) | Value (000) | ||
Sovereign (cont’d) | |||
3.25%, 10/22/31 | HUF | 375,640 | $804 |
4.00%, 4/28/51 | 139,450 | 247 | |
6,123 | |||
India (2.8%) | |||
Sovereign (2.8%) | |||
India Government Bond, | |||
7.10%, 4/18/29 | INR | 897,900 | 10,991 |
Indonesia (11.0%) | |||
Sovereign (11.0%) | |||
Indonesia Treasury Bond, | |||
6.50%, 6/15/25 - 2/15/31 | IDR | 218,206,000 | 14,920 |
7.00%, 9/15/30 | 20,194,000 | 1,415 | |
7.13%, 6/15/42 - 6/15/43 | 151,601,000 | 10,565 | |
7.38%, 5/15/48 | 10,528,000 | 745 | |
7.50%, 6/15/35 | 83,000,000 | 5,980 | |
8.38%, 4/15/39 | 65,600,000 | 5,071 | |
8.75%, 5/15/31 | 58,978,000 | 4,535 | |
43,231 | |||
Ivory Coast (0.3%) | |||
Sovereign (0.3%) | |||
Ivory Coast Government International Bond, | |||
5.13%, 6/15/25 | EUR | 1,079 | 1,164 |
Jordan (0.7%) | |||
Sovereign (0.7%) | |||
Jordan Government International Bond, | |||
4.95%, 7/7/25 | $ | 2,735 | 2,640 |
Macedonia (0.5%) | |||
Sovereign (0.5%) | |||
North Macedonia Government International Bond, | |||
2.75%, 1/18/25 | EUR | 585 | 610 |
3.68%, 6/3/26 | 140 | 143 | |
5.63%, 7/26/23 | 1,089 | 1,204 | |
1,957 | |||
Malaysia (5.6%) | |||
Sovereign (5.6%) | |||
Malaysia Government Bond, | |||
3.76%, 5/22/40 | MYR | 60,220 | 12,949 |
Face Amount (000) | Value (000) | ||
4.07%, 6/15/50 | MYR | 3,400 | $737 |
4.23%, 6/30/31 | 37,167 | 8,557 | |
22,243 | |||
Mexico (13.4%) | |||
Sovereign (13.4%) | |||
Mexican Bonos, | |||
7.50%, 6/3/27 | MXN | 100,000 | 5,265 |
7.75%, 5/29/31 | 378,709 | 19,782 | |
8.50%, 5/31/29 - 11/18/38 | 116,015 | 6,316 | |
Mexican Udibonos, | |||
2.75%, 11/27/31 | 140,107 | 6,896 | |
4.00%, 11/30/28 | 203,794 | 11,087 | |
Petroleos Mexicanos, | |||
4.25%, 1/15/25 | $ | 1,850 | 1,764 |
6.88%, 10/16/25 | 1,720 | 1,696 | |
52,806 | |||
Peru (4.2%) | |||
Sovereign (4.2%) | |||
Peru Government Bond, | |||
5.35%, 8/12/40 | PEN | 8,818 | 1,877 |
5.40%, 8/12/34 | 3,376 | 769 | |
5.94%, 2/12/29 | 1,570 | 401 | |
6.15%, 8/12/32 | 44,480 | 10,991 | |
6.35%, 8/12/28 | 10,000 | 2,624 | |
16,662 | |||
Poland (4.7%) | |||
Sovereign (4.7%) | |||
Republic of Poland Government Bond, | |||
0.25%, 10/25/26 | PLN | 5,420 | 1,077 |
2.50%, 7/25/27 | 39,077 | 8,222 | |
3.25%, 7/25/25 | 40,563 | 9,229 | |
18,528 | |||
Romania (4.8%) | |||
Sovereign (4.8%) | |||
Romania Government Bond, | |||
2.50%, 10/25/27 | RON | 31,700 | 5,876 |
4.75%, 2/24/25 - 10/11/34 | 41,875 | 8,433 | |
5.80%, 7/26/27 | 9,410 | 2,009 | |
8.75%, 10/30/28 | 3,970 | 947 |
April 30, 2023 (unaudited)
(Showing Percentage of Total Value of Investments)
Face Amount (000) | Value (000) | ||
Sovereign (cont’d) | |||
Romanian Government International Bond, | |||
3.00%, 2/27/27 | $ | 1,950 | $1,784 |
19,049 | |||
Serbia (3.9%) | |||
Sovereign (3.9%) | |||
Serbia Treasury Bonds, | |||
4.50%, 1/11/26 - 8/20/32 | RSD | 1,542,790 | 12,973 |
5.88%, 2/8/28 | 268,050 | 2,554 | |
15,527 | |||
South Africa (10.4%) | |||
Sovereign (10.4%) | |||
Republic of South Africa Government Bond, | |||
8.00%, 1/31/30 | ZAR | 38,330 | 1,878 |
8.75%, 1/31/44 | 423,900 | 17,613 | |
9.00%, 1/31/40 | 343,230 | 14,909 | |
10.50%, 12/21/26 | 113,100 | 6,497 | |
40,897 | |||
Supranational (0.2%) | |||
Sovereign (0.2%) | |||
International Finance Corp., | |||
16.00%, 2/21/25 | UZS | 7,000,000 | 627 |
Suriname (0.4%) | |||
Sovereign (0.4%) | |||
Suriname Government International Bond, | |||
9.25%, 10/26/26 | $ | 2,020 | 1,450 |
12.88%, 12/30/23(a) | 326 | 242 | |
1,692 | |||
Thailand (5.2%) | |||
Sovereign (5.2%) | |||
Thailand Government Bond, | |||
1.59%, 12/17/35 | THB | 70,000 | 1,825 |
1.60%, 12/17/29 - 6/17/35 | 249,950 | 6,956 | |
1.88%, 6/17/49 | 50,000 | 1,156 | |
2.00%, 6/17/42 | 226,000 | 5,678 | |
3.30%, 6/17/38 | 50,000 | 1,541 | |
3.65%, 6/20/31 | 100,000 | 3,186 | |
20,342 |
Face Amount (000) | Value (000) | ||
Uruguay (2.4%) | |||
Sovereign (2.4%) | |||
Uruguay Government International Bond, | |||
3.88%, 7/2/40 | UYU | 273,528 | $7,499 |
8.50%, 3/15/28(a) | 69,890 | 1,696 | |
Uruguay Monetary Regulation Bill, | |||
0.00%, 7/3/24 | 15,950 | 363 | |
9,558 | |||
Uzbekistan (1.8%) | |||
Corporate Bond (0.2%) | |||
Ipoteka-Bank ATIB, | |||
16.00%, 4/16/24 | UZS | 10,170,000 | 856 |
Sovereign (1.6%) | |||
Republic of Uzbekistan International Bond, | |||
14.00%, 7/19/24 | 45,910,000 | 3,964 | |
14.50%, 11/25/23 | 27,520,000 | 2,422 | |
6,386 | |||
7,242 | |||
Zambia (0.6%) | |||
Sovereign (0.6%) | |||
Zambia Government Bond, | |||
11.00%, 1/25/26 | ZMW | 42,090 | 1,875 |
13.00%, 1/25/31 | 11,835 | 360 | |
13.00%, 12/27/31 | 1,070 | 31 | |
14.00%, 4/24/32 | 3,515 | 108 | |
2,374 | |||
Total Fixed Income Securities (Cost $403,302) | 384,075 | ||
Short-Term Investments (2.5%) |
U.S. Treasury Security (1.1%) | |||
U.S. Treasury Bill, 5.01%, 11/30/23 (Cost $4,292) (b) | $ | 4,416 | $4,301 |
April 30, 2023 (unaudited)
(Showing Percentage of Total Value of Investments)
Shares | Value (000) | ||
Investment Company (1.4%) | |||
Morgan Stanley Institutional Liquidity Funds - Treasury Securities Portfolio - Institutional Class (See Note F) (Cost $5,400) | 5,400,293 | $5,400 | |
Total Short-Term Investments (Cost $9,692) | 9,701 | ||
TOTAL INVESTMENTS EXCLUDING PURCHASED OPTIONS (109.8%)(COST $412,994) | 393,776 | ||
TOTAL PURCHASED OPTIONS OUTSTANDING (0.0%) ‡ (COST $225) | 206 | ||
TOTAL INVESTMENTS (100%) (Cost $413,219)(c)(d) | 393,982 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS | (35,313 ) | ||
NET ASSETS | 358,669 |
‡ | Amount is less than 0.05%. |
(a) | 144A security — Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. |
(b) | Rate shown is the yield to maturity at April 30, 2023. |
(c) | Securities are available for collateral in connection with open foreign currency forward exchange contracts, futures contracts and swap agreements. |
(d) | At April 30, 2023, the aggregate cost for federal income tax purposes is $413,219,000. The aggregate gross unrealized appreciation is $16,807,000 and the aggregate gross unrealized depreciation is $36,897,000, resulting in net unrealized depreciation of $20,090,000. |
April 30, 2023 (unaudited)
Foreign Currency Forward Exchange Contracts: | ||||||
The Fund had the following foreign currency forward exchange contracts open at April 30, 2023: | ||||||
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Delivery Date | Unrealized Appreciation (Depreciation) (000) | ||
Bank of America NA | MXN | 34,835 | $ | 1,883 | 6/21/23 | $(35 ) |
Bank of America NA | PEN | 7,228 | $ | 1,893 | 6/21/23 | (52 ) |
Barclays Bank PLC | EUR | 349 | CZK | 8,216 | 6/21/23 | (2 ) |
Barclays Bank PLC | EUR | 1,905 | HUF | 813,165 | 1/30/24 | 126 |
Barclays Bank PLC | $ | 4,391 | KRW | 5,700,000 | 6/21/23 | (120 ) |
Barclays Bank PLC | $ | 1,364 | MYR | 6,143 | 6/21/23 | 18 |
Barclays Bank PLC | $ | 914 | MYR | 4,117 | 6/21/23 | 12 |
Barclays Bank PLC | $ | 6,071 | MYR | 27,383 | 6/21/23 | 88 |
Barclays Bank PLC | $ | 9,059 | MYR | 40,857 | 6/21/23 | 131 |
Barclays Bank PLC | $ | 5,379 | MYR | 23,800 | 6/21/23 | (25 ) |
Barclays Bank PLC | $ | 1,649 | TRY | 34,000 | 5/18/23 | 32 |
Barclays Bank PLC | ZAR | 64,152 | $ | 3,435 | 6/21/23 | (56 ) |
BNP Paribas SA | COP | 3,621,829 | $ | 751 | 6/21/23 | (12 ) |
BNP Paribas SA | IDR | 10,700,000 | $ | 716 | 7/25/23 | (12 ) |
BNP Paribas SA | PLN | 4,600 | EUR | 976 | 6/21/23 | (24 ) |
BNP Paribas SA | $ | 7,174 | BRL | 36,400 | 6/2/23 | 80 |
BNP Paribas SA | $ | 2,461 | IDR | 38,000,000 | 7/25/23 | 125 |
BNP Paribas SA | $ | 322 | KRW | 422,000 | 7/21/23 | (5 ) |
Citibank NA | EGP | 11,200 | $ | 333 | 5/22/23 | (3 ) |
Citibank NA | EUR | 2,140 | CZK | 50,932 | 6/21/23 | 15 |
Citibank NA | HUF | 201,183 | EUR | 524 | 6/21/23 | (6 ) |
Citibank NA | MXN | 41,766 | $ | 2,165 | 6/21/23 | (135 ) |
Citibank NA | MXN | 32,500 | $ | 1,767 | 6/21/23 | (22 ) |
Citibank NA | PEN | 4,818 | $ | 1,271 | 6/21/23 | (25 ) |
Citibank NA | PEN | 2,169 | $ | 573 | 6/21/23 | (11 ) |
Citibank NA | $ | 1,738 | EGP | 56,000 | 5/22/23 | (60 ) |
Citibank NA | $ | 11,415 | THB | 393,460 | 6/21/23 | 163 |
Citibank NA | $ | 254 | UYU | 9,937 | 6/21/23 | — @ |
Citibank NA | UYU | 139,867 | $ | 3,576 | 6/22/23 | (5 ) |
Goldman Sachs International | CZK | 35,300 | EUR | 1,493 | 6/21/23 | 1 |
Goldman Sachs International | EGP | 44,800 | $ | 1,302 | 5/22/23 | (41 ) |
Goldman Sachs International | EUR | 6,415 | CZK | 151,039 | 6/21/23 | (31 ) |
Goldman Sachs International | EUR | 603 | RON | 3,000 | 6/21/23 | 3 |
Goldman Sachs International | IDR | 50,731,000 | $ | 3,328 | 7/11/23 | (125 ) |
Goldman Sachs International | MXN | 36,312 | $ | 1,967 | 6/21/23 | (33 ) |
Goldman Sachs International | MYR | 2,060 | $ | 467 | 5/15/23 | 5 |
Goldman Sachs International | PEN | 1,802 | $ | 473 | 6/21/23 | (12 ) |
Goldman Sachs International | PEN | 850 | $ | 223 | 6/21/23 | (5 ) |
Goldman Sachs International | $ | 329 | IDR | 5,000,000 | 7/25/23 | 11 |
April 30, 2023 (unaudited)
Foreign Currency Forward Exchange Contracts: (cont'd) | ||||||
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Delivery Date | Unrealized Appreciation (Depreciation) (000) | ||
Goldman Sachs International | $ | 773 | MYR | 3,320 | 5/15/23 | $(28 ) |
Goldman Sachs International | $ | 405 | MYR | 1,740 | 5/15/23 | (14 ) |
Goldman Sachs International | $ | 1,767 | THB | 60,000 | 6/21/23 | (2 ) |
Goldman Sachs International | ZAR | 27,597 | $ | 1,491 | 6/21/23 | (11 ) |
Goldman Sachs International | ZAR | 40,882 | $ | 2,208 | 6/21/23 | (17 ) |
Goldman Sachs International | ZAR | 65,000 | $ | 3,537 | 6/21/23 | (—@ ) |
Goldman Sachs International | ZAR | 65,000 | $ | 3,556 | 6/21/23 | 18 |
Goldman Sachs International | ZAR | 65,048 | $ | 3,474 | 6/21/23 | (66 ) |
Goldman Sachs International | ZAR | 55,837 | $ | 3,103 | 6/21/23 | 65 |
Goldman Sachs International | ZAR | 55,837 | $ | 3,105 | 6/21/23 | 67 |
Goldman Sachs International | ZAR | 53,789 | $ | 2,989 | 6/21/23 | 61 |
Goldman Sachs International | ZAR | 55,837 | $ | 3,106 | 6/21/23 | 67 |
Goldman Sachs International | ZAR | 7,064 | $ | 381 | 6/21/23 | (4 ) |
Goldman Sachs International | ZAR | 10,465 | $ | 564 | 6/21/23 | (6 ) |
Goldman Sachs International | ZAR | 10,465 | $ | 564 | 6/21/23 | (5 ) |
Goldman Sachs International | ZAR | 7,064 | $ | 381 | 6/21/23 | (4 ) |
Goldman Sachs International | ZAR | 10,465 | $ | 564 | 6/21/23 | (5 ) |
Goldman Sachs International | ZAR | 7,064 | $ | 381 | 6/21/23 | (3 ) |
Goldman Sachs International | ZAR | 6,404 | $ | 346 | 6/21/23 | (3 ) |
Goldman Sachs International | ZAR | 9,487 | $ | 512 | 6/21/23 | (4 ) |
HSBC Bank PLC | EUR | 1,158 | CZK | 28,000 | 6/21/23 | 28 |
HSBC Bank PLC | EUR | 4,785 | PLN | 22,707 | 6/21/23 | 154 |
HSBC Bank PLC | IDR | 93,031,000 | $ | 6,086 | 7/25/23 | (243 ) |
HSBC Bank PLC | INR | 60,000 | $ | 729 | 6/21/23 | (2 ) |
HSBC Bank PLC | PLN | 13,900 | EUR | 2,929 | 6/21/23 | (94 ) |
HSBC Bank PLC | $ | 2,681 | EUR | 2,425 | 5/5/23 | (8 ) |
HSBC Bank PLC | $ | 6,086 | IDR | 93,031,000 | 7/25/23 | 243 |
HSBC Bank PLC | $ | 5,626 | IDR | 85,000,000 | 7/25/23 | 157 |
JPMorgan Chase Bank NA | EUR | 2,378 | HUF | 910,000 | 6/21/23 | 20 |
JPMorgan Chase Bank NA | MXN | 36,713 | $ | 1,900 | 6/21/23 | (122 ) |
JPMorgan Chase Bank NA | $ | 1,886 | UZS | 23,672,156 | 10/24/23 | 92 |
JPMorgan Chase Bank NA | $ | 630 | UZS | 7,827,844 | 11/7/23 | 22 |
Standard Chartered Bank | EUR | 790 | CZK | 18,847 | 6/21/23 | 8 |
Standard Chartered Bank | EUR | 275 | CZK | 6,557 | 6/21/23 | 3 |
Standard Chartered Bank | MXN | 45,393 | $ | 2,354 | 6/21/23 | (145 ) |
Standard Chartered Bank | PEN | 8,682 | $ | 2,274 | 6/21/23 | (61 ) |
Standard Chartered Bank | $ | 5,029 | CLP | 4,085,000 | 6/22/23 | (2 ) |
Standard Chartered Bank | $ | 1,064 | THB | 36,790 | 6/21/23 | 19 |
State Street Bank and Trust Co. | EUR | 349 | $ | 379 | 5/5/23 | (5 ) |
State Street Bank and Trust Co. | EUR | 372 | $ | 404 | 5/5/23 | (6 ) |
April 30, 2023 (unaudited)
Foreign Currency Forward Exchange Contracts: (cont'd) | ||||||
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Delivery Date | Unrealized Appreciation (Depreciation) (000) | ||
State Street Bank and Trust Co. | EUR | 1,469 | $ | 1,596 | 5/5/23 | $(23 ) |
State Street Bank and Trust Co. | EUR | 186 | $ | 202 | 5/5/23 | (3 ) |
State Street Bank and Trust Co. | EUR | 1,681 | $ | 1,827 | 5/5/23 | (26 ) |
State Street Bank and Trust Co. | EUR | 186 | $ | 202 | 5/5/23 | (3 ) |
State Street Bank and Trust Co. | EUR | 1,470 | $ | 1,596 | 5/5/23 | (24 ) |
State Street Bank and Trust Co. | EUR | 1,682 | $ | 1,826 | 5/5/23 | (28 ) |
State Street Bank and Trust Co. | EUR | 348 | $ | 378 | 5/5/23 | (6 ) |
State Street Bank and Trust Co. | EUR | 372 | $ | 404 | 5/5/23 | (6 ) |
State Street Bank and Trust Co. | EUR | 193 | $ | 210 | 5/5/23 | (3 ) |
State Street Bank and Trust Co. | EUR | 387 | $ | 420 | 5/5/23 | (6 ) |
State Street Bank and Trust Co. | EUR | 362 | $ | 393 | 5/5/23 | (6 ) |
State Street Bank and Trust Co. | EUR | 1,522 | $ | 1,652 | 5/5/23 | (26 ) |
State Street Bank and Trust Co. | EUR | 1,743 | $ | 1,892 | 5/5/23 | (29 ) |
State Street Bank and Trust Co. | $ | 2,271 | ZAR | 41,599 | 6/21/23 | (7 ) |
UBS AG | COP | 9,170,000 | $ | 1,891 | 6/21/23 | (40 ) |
UBS AG | CZK | 24,000 | $ | 1,078 | 6/21/23 | (43 ) |
UBS AG | EUR | 275 | CZK | 6,557 | 6/21/23 | 3 |
UBS AG | EUR | 790 | CZK | 18,847 | 6/21/23 | 8 |
UBS AG | EUR | 1,589 | HUF | 608,124 | 6/21/23 | 14 |
UBS AG | EUR | 2,118 | HUF | 810,389 | 6/21/23 | 18 |
UBS AG | EUR | 2,191 | HUF | 839,611 | 6/21/23 | 22 |
UBS AG | EUR | 1,644 | HUF | 630,053 | 6/21/23 | 16 |
UBS AG | EUR | 524 | $ | 577 | 6/21/23 | (2 ) |
UBS AG | HUF | 202,668 | EUR | 530 | 6/21/23 | (4 ) |
UBS AG | HUF | 202,618 | EUR | 529 | 6/21/23 | (5 ) |
UBS AG | HUF | 86,421 | EUR | 226 | 6/21/23 | (2 ) |
UBS AG | KRW | 4,795,000 | $ | 3,713 | 6/21/23 | 120 |
UBS AG | MXN | 129,226 | $ | 7,039 | 6/21/23 | (77 ) |
UBS AG | PEN | 3,986 | $ | 1,046 | 6/21/23 | (26 ) |
UBS AG | PEN | 1,882 | $ | 494 | 6/21/23 | (12 ) |
UBS AG | $ | 2,730 | CLP | 2,215,000 | 6/22/23 | (5 ) |
UBS AG | $ | 15,407 | CNH | 104,775 | 5/8/23 | (278 ) |
UBS AG | $ | 3,240 | IDR | 50,731,000 | 7/11/23 | 212 |
UBS AG | $ | 16,876 | KRW | 21,795,000 | 6/21/23 | (545 ) |
UBS AG | $ | 3,992 | MXN | 73,294 | 6/21/23 | 43 |
UBS AG | ZAR | 27,648 | $ | 1,506 | 9/18/23 | 14 |
UBS AG | ZAR | 40,959 | $ | 2,231 | 9/18/23 | 21 |
$(627 ) |
April 30, 2023 (unaudited)
Call Options Purchased: | |||||||||
The Fund had the following call options purchased open at April 30, 2023: | |||||||||
Counterparty | Description | Strike Price | Expiration Date | Number of Contracts | Notional Amount (000) | Value (000) | Premiums Paid (000) | Unrealized Depreciation (000) | |
BNP Paribas SA | USD/CNH | 7.00 | Jan–24 | 21,600,000 | $21,600 | $206 | $225 | $(20) |
Call Options Written: | |||||||||
The Fund had the following call options written open at April 30, 2023: | |||||||||
Counterparty | Description | Strike Price | Expiration Date | Number of Contracts | Notional Amount (000) | Value (000) | Premiums Paid (000) | Unrealized Appreciation (000) | |
BNP Paribas SA | USD/CNH | CNH | 7.50 | Jan 26 | (21,600,000) | $21,600 | $(49) | $(79) | $30 |
Futures Contracts: | ||||||
The Fund had the following futures contracts open at April 30, 2023: | ||||||
Number of Contracts | Expiration Date | Notional Amount (000) | Value (000) | Unrealized Depreciation (000) | ||
Short: | ||||||
U.S. Treasury 10 yr. Note (United States) | 27 | Jun-23 | $ | (2,700,000) | $(3,110 ) | $(99 ) |
U.S. Treasury 10 yr. Ultra Note (United States) | 35 | Jun-23 | $ | (3,500,000) | (4,251 ) | (161 ) |
$(260 ) |
Interest Rate Swap Agreements: | ||||||||||
The Fund had the Following Interest Rate Swap Agreements open at April 30, 2023: | ||||||||||
Swap Counterparty | Floating Rate Index | Pay/ Receive Floating Rate | Fixed Rate | Payment Frequency Paid/ Received | Maturity Date | Notional Amount (000) | Value (000) | Upfront Payment Paid (Received) (000) | Unrealized Appreciation (Depreciation) (000) | |
Morgan Stanley & Co. LLC* | WIBOR | Pay | (6.02 )% | Annual/ Semi-Annual | 12/21/27 | PLN | 15,270 | $(59 ) | $— | $(59 ) |
Morgan Stanley & Co. LLC* | WIBOR | Pay | (5.85 ) | Annual/ Semi-Annual | 12/21/32 | 9,110 | (63 ) | — | (63 ) | |
Morgan Stanley & Co. LLC* | WIBOR | Pay | (5.56 ) | Annual/ Semi-Annual | 12/21/27 | 13,330 | 12 | — | 12 | |
Morgan Stanley & Co. LLC* | WIBOR | Pay | (5.53 ) | Annual/ Semi-Annual | 12/21/32 | 7,990 | (8 ) | — | (8 ) | |
Morgan Stanley & Co. LLC* | US CPI All Urban Consumers Index | Pay | 2.13 | Quarterly/ Quarterly | 6/21/28 | THB | 331,600 | (56 ) | — | (56 ) |
Morgan Stanley & Co. LLC* | US CPI All Urban Consumers Index | Pay | 2.42 | Quarterly/ Quarterly | 12/21/27 | CNY | 284,209 | (536 ) | — | (536 ) |
Morgan Stanley & Co. LLC* | US CPI All Urban Consumers Index | Pay | 3.19 | Quarterly/ Quarterly | 7/26/25 | KRW | 20,000,000 | (46 ) | — | (46 ) |
Morgan Stanley & Co. LLC* | US CPI All Urban Consumers Index | Pay | 3.61 | Quarterly/ Quarterly | 6/21/28 | 13,120,000 | 224 | — | 224 | |
Morgan Stanley & Co. LLC* | JIBAR | Pay | 7.67 | Quarterly/ Quarterly | 1/19/28 | ZAR | 13,200 | (21 ) | — | (21 ) |
April 30, 2023 (unaudited)
Interest Rate Swap Agreements: (cont'd) | ||||||||||
Swap Counterparty | Floating Rate Index | Pay/ Receive Floating Rate | Fixed Rate | Payment Frequency Paid/ Received | Maturity Date | Notional Amount (000) | Value (000) | Upfront Payment Paid (Received) (000) | Unrealized Appreciation (Depreciation) (000) | |
Morgan Stanley & Co. LLC* | JIBAR | Pay | 7.71 % | Quarterly/ Quarterly | 1/19/28 | 12,810 | $(19 ) | $— | $(19 ) | |
Morgan Stanley & Co. LLC* | JIBAR | Pay | 7.71 | Quarterly/ Quarterly | 1/20/28 | 13,590 | (20 ) | — | (20 ) | |
Morgan Stanley & Co. LLC* | JIBAR | Pay | 8.26 | Quarterly/ Quarterly | 2/27/28 | 46,319 | (11 ) | — | (11 ) | |
Morgan Stanley & Co. LLC* | JIBAR | Pay | 8.38 | Quarterly/ Quarterly | 2/27/28 | 44,310 | 1 | — | 1 | |
Morgan Stanley & Co. LLC* | JIBAR | Pay | 8.39 | Quarterly/ Quarterly | 2/24/28 | 41,356 | 2 | — | 2 | |
Morgan Stanley & Co. LLC* | JIBAR | Pay | 8.39 | Quarterly/ Quarterly | 2/24/28 | 44,015 | 2 | — | 2 | |
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 8.56 | Quarterly/ Quarterly | 4/18/28 | MXN | 46,900 | 4 | — | 4 |
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 8.73 | Quarterly/ Quarterly | 4/17/28 | 61,000 | 28 | — | 28 | |
Morgan Stanley & Co. LLC* | 1 Month TIIE | Pay | 9.19 | Quarterly/ Quarterly | 2/18/28 | 150,700 | 211 | — | 211 | |
Morgan Stanley & Co. LLC* | US CPI All Urban Consumers Index | Pay | 14.26 | Annual/ Semi-Annual | 7/3/23 | BRL | 36,050 | 25 | — | 25 |
Morgan Stanley & Co. LLC* | US CPI All Urban Consumers Index | Pay | 14.52 | Annual/ Semi-Annual | 1/2/24 | 82,920 | 187 | — | 187 | |
$(143 ) | $— | $(143 ) |
@ | Value is less than $500. |
AMD — | Armenian Dram |
BRL — | Brazilian Real |
CLP — | Chilean Peso |
CNH — | Chinese Yuan Renminbi Offshore |
CNY — | Chinese Yuan Renminbi |
COP — | Colombian Peso |
CZK — | Czech Koruna |
DOP — | Dominican Peso |
EGP — | Egyptian Pound |
EUR — | Euro |
HUF — | Hungarian Forint |
IDR — | Indonesian Rupiah |
INR — | Indian Rupee |
KRW — | South Korean Won |
MXN — | Mexican Peso |
MYR — | Malaysian Ringgit |
PEN — | Peruvian Nuevo Sol |
PLN — | Polish Zloty |
RON — | Romanian New Leu |
RSD — | Serbia Dinar |
THB — | Thai Baht |
TRY — | Turkish Lira |
USD — | United States Dollar |
UYU — | Uruguay Peso |
UZS — | Uzbekistan Som |
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 short futures contracts with a value of approximately $7,361,000 and total unrealized depreciation of approximately $260,000. Does not include open foreign currency forward exchange contracts with net unrealized depreciation of approximately $627,000. Also does not include open swap agreements with net unrealized depreciation of approximately $143,000. |
April 30, 2023 (unaudited)
Statement of Assets and Liabilities | April 30, 2023 (000) |
Assets: | |
Investments in Securities of Unaffiliated Issuers, at Value (Cost $407,819) | $388,582 |
Investment in Security of Affiliated Issuer, at Value (Cost $5,400) | 5,400 |
Total Investments in Securities, at Value (Cost $413,219) | 393,982 |
Foreign Currency, at Value (Cost $12,611) | 12,618 |
Interest Receivable | 8,527 |
Unrealized Appreciation on Foreign Currency Forward Exchange Contracts | 2,325 |
Receivable for Investments Sold | 1,710 |
Tax Reclaim Receivable | 1,426 |
Receivable for Variation Margin on Futures Contracts | 147 |
Due from Broker | 146 |
Receivable from Affiliate | 30 |
Other Assets | 76 |
Total Assets | 420,987 |
Liabilities: | |
Payable for Line of Credit | 55,090 |
Unrealized Depreciation on Foreign Currency Forward Exchange Contracts | 2,952 |
Due to Broker | 1,490 |
Payable for Investments Purchased | 749 |
Bank Overdraft | 737 |
Deferred Capital Gain Country Tax | 493 |
Payable for Advisory Fees | 346 |
Payable for Variation Margin on Swap Agreements | 226 |
Payable for Custodian Fees | 59 |
Payable for Professional Fees | 56 |
Options Written, at Value | 49 |
Payable for Administration Fees | 28 |
Payable for Stockholder Servicing Agent Fees | 2 |
Other Liabilities | 41 |
Total Liabilities | 62,318 |
Net Assets | |
Applicable to 65,745,882 Issued and Outstanding $0.01 Par Value Shares (100,000,000 Shares Authorized) | $358,669 |
Net Asset Value Per Share | $5.46 |
Net Assets Consist of: | |
Common Stock | $657 |
Paid-in-Capital | 542,809 |
Total Accumulated Loss | (184,797 ) |
Net Assets | $358,669 |
April 30, 2023 (unaudited)
Statement of Operations | Six Months Ended April 30, 2023 (000) |
Investment Income: | |
Interest from Securities of Unaffiliated Issuer (Net of $148 of Foreign Taxes Withheld) | $14,490 |
Dividends from Security of Affiliated Issuer (Note F) | 220 |
Total Investment Income | 14,710 |
Expenses: | |
Advisory Fees (Note B) | 2,012 |
Interest Expense on Line of Credit (Note G) | 1,832 |
Administration Fees (Note C) | 161 |
Custodian Fees (Note D) | 129 |
Line of Credit Commitment Fees (Note G) | 105 |
Professional Fees | 81 |
Stockholder Reporting Expenses | 31 |
Stockholder Servicing Agent Fees | 7 |
Directors' Fees and Expenses | 3 |
Other Expenses | 82 |
Total Expenses | 4,443 |
Rebate from Morgan Stanley Affiliate (Note F) | (11 ) |
Net Expenses | 4,432 |
Net Investment Income | 10,278 |
Realized Gain (Loss): | |
Investments Sold (Net of $327 of Capital Gain Country Tax) | (12,771 ) |
Foreign Currency Forward Exchange Contracts | 6,491 |
Foreign Currency Translation | 489 |
Futures Contracts | 481 |
Swap Agreements | (753 ) |
Net Realized Loss | (6,063 ) |
Change in Unrealized Appreciation (Depreciation): | |
Investments (Net of Increase in Deferred Capital Gain Country Tax of $167) | 52,318 |
Foreign Currency Forward Exchange Contracts | (5,499 ) |
Foreign Currency Translation | 591 |
Futures Contracts | (772 ) |
Options Written | 30 |
Swap Agreements | 635 |
Net Change in Unrealized Appreciation (Depreciation) | 47,303 |
Net Realized Gain and Change in Unrealized Appreciation (Depreciation) | 41,240 |
Net Increase in Net Assets Resulting from Operations | $51,518 |
April 30, 2023
Statements of Changes in Net Assets | Six Months Ended April 30, 2023 (unaudited) (000) | Year Ended October 31, 2022 (000) |
Increase (Decrease) in Net Assets: | ||
Operations: | ||
Net Investment Income | $10,278 | $19,765 |
Net Realized Loss | (6,063 ) | (122,690 ) |
Net Change in Unrealized Appreciation (Depreciation) | 47,303 | 17,122 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 51,518 | (85,803 ) |
Dividends and Distributions to Stockholders | (9,867 ) | — |
Paid-in-Capital | — | (21,456 ) |
Capital Share Transactions: | ||
Repurchase of Shares (241,675 and 104,568 shares) | (1,043 ) | (573 ) |
Net Decrease in Net Assets Resulting from Capital Share Transactions | (1,043 ) | (573 ) |
Total Increase (Decrease) | 40,608 | (107,832 ) |
Net Assets: | ||
Beginning of Period | 318,061 | 425,893 |
End of Period | $358,669 | $318,061 |
April 30, 2023 (unaudited)
Statement of Cash Flows | Six Months Ended April 30, 2023 (000) |
Cash Flows From Operating Activities | |
Net Increase in Net Assets Resulting from Operations | $51,518 |
Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by (Used for) Operating Activities: | |
Proceeds from (Payments on) Sales and Maturities of Long-Term Investments | 119,220 |
Proceeds from (Payments on) Foreign Currency Forward Exchange Contracts, Foreign Currency Transactions, Futures Contracts and Swap Agreements | 7,241 |
Proceeds from (Payments on) Purchases of Long-Term Investments | (118,761 ) |
Net (Increase) Decrease in Short-Term Investments | 16,938 |
Net (Increase) Decrease in Receivable for Variation Margin on Futures Contracts and Swap Agreements | 256 |
Net (Increase) Decrease in Interest Receivable | (873 ) |
Net (Increase) Decrease in Receivables Related to Operations | (376 ) |
Net Increase (Decrease) in Advisory Fees Payable | 21 |
Net Increase (Decrease) in Interest Payable | 56 |
Net Increase (Decrease) in Payables Related to Operations | 565 |
Net Realized (Gain) Loss for Investments Sold, Foreign Currency Forward Exchange Contracts, Foreign Currency Translation, Futures Contracts and Swap Agreements | 6,063 |
Net Change in Unrealized Appreciation (Depreciation) for Investments, Foreign Currency Forward Exchange Contracts, Foreign Currency Translation, Futures Contracts, Options Written and Swap Agreements | (47,303 ) |
Accretion/Amortization of Discounts and Premiums | (1,560 ) |
Net Cash Provided by (Used for) Operating Activities | 33,005 |
Cash Flows From Financing Activities: | |
Cash Payments for Line of Credit | (11,944 ) |
Cash Paid for Repurchase of Shares | (1,043 ) |
Cash Distribution Paid | (9,867 ) |
Net Cash Provided by (Used for) Financing Activities | (22,854 ) |
Net Increase (Decrease) in Cash | 10,151 |
Cash and Foreign Currency at Beginning of Period* | 1,730 |
Cash and Foreign Currency at End of Period* | $11,881 |
Supplemental Disclosure of Cash Flow Information: | |
Interest Paid on Line of Credit during the Period | $1,776 |
* | Includes cash of approximately $319,000 and $0, foreign currency of approximately $1,411,000 and $12,618,000 and bank overdraft of $0 and $737,000 as of October 31, 2022 and April 30, 2023, respectively. |
April 30, 2023 (unaudited)
Six Months Ended April 30, 2023 (Unaudited) | Year Ended October 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net Asset Value, Beginning of Period | $4.82 | $6.44 | $6.75 | $7.63 | $7.25 | $8.72 |
Net Investment Income(1) | 0.16 | 0.30 | 0.31 | 0.37 | 0.51 | 0.68 |
Net Realized and Unrealized Gain (Loss) | 0.63 | (1.59 ) | (0.23 ) | (0.79 ) | 0.45 | (1.56 ) |
Total from Investment Operations | 0.79 | (1.29 ) | 0.08 | (0.42 ) | 0.96 | (0.88 ) |
Distributions from and/or in Excess of: | ||||||
Net Investment Income | (0.15 ) | — | (0.14 ) | — | — | (0.20 ) |
Paid-in-Capital | — | (0.33 ) | (0.25 ) | (0.46 ) | (0.59 ) | (0.40 ) |
Total Distributions | (0.15 ) | (0.33 ) | (0.39 ) | (0.46 ) | (0.59 ) | (0.60 ) |
Anti-Dilutive Effect of Share Repurchase Program | 0.00 (2) | 0.00 (2) | — | — | 0.01 | 0.01 |
Net Asset Value, End of Period | $5.46 | $4.82 | $6.44 | $6.75 | $7.63 | $7.25 |
Per Share Market Value, End of Period | $4.61 | $4.04 | $5.77 | $5.59 | $6.95 | $6.12 |
TOTAL INVESTMENT RETURN:(3) | ||||||
Market Value | 17.81 %(4) | (24.96 )% | 9.98 % | (13.13 )% | 23.78 % | (15.32 )% |
Net Asset Value | 16.95 %(4) | (19.78 )% | 1.66 % | (4.45 )% | 14.71 % | (9.81 )% |
RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA: | ||||||
Net Assets, End of Period (Thousands) | $358,669 | $318,061 | $425,893 | $446,354 | $504,034 | $481,634 |
Ratio of Expenses to Average Net Assets | 2.57 %(5)(6) | 2.12 %(6) | 1.90 %(6) | 2.26 %(6) | 3.14 %(6) | 3.11 %(6) |
Ratio of Expenses to Average Net Assets Excluding Interest Expense | 1.50 %(5)(6) | 1.55 %(6) | 1.53 %(6) | 1.57 %(6) | 1.68 %(6) | 1.72 %(6) |
Ratio of Net Investment Income to Average Net Assets | 6.04 %(5)(6) | 5.34 %(6) | 4.45 %(6) | 5.31 %(6) | 6.68 %(6) | 8.06 %(6) |
Ratio of Rebate from Morgan Stanley Affiliate to Average Net Assets | 0.01 %(5) | 0.00 %(7) | 0.00 %(7) | 0.01 % | 0.01 % | 0.00 %(7) |
Portfolio Turnover Rate | 28 %(4) | 67 % | 42 % | 41 % | 36 % | 20 % |
(1) | Per share amount is based on average shares outstanding. |
(2) | Amount is less than $0.005 per share. |
(3) | Total investment return based on net asset value per share reflects the effects of changes in net asset value on the performance of the Fund during each period, and assumes dividends and distributions, if any, were reinvested. This percentage is not an indication of the performance of a stockholder’s investment in the Fund based on market value due to differences between the market price of the stock and the net asset value per share of the Fund. Total returns are based upon the market value and net asset value on the last business day of each period. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | The Ratio of Expenses and Ratio of Net Investment Income reflect the rebate of certain Fund expenses in connection with the investments in Morgan Stanley affiliates during the period. The effect of the rebate on the ratios is disclosed in the above table as “Ratio of Rebate from Morgan Stanley Affiliates to Average Net Assets.” |
(7) | Amount is less than 0.005%. |
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
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 | $— | $2,166 | $— | $2,166 |
Sovereign | — | 381,909 | — | 381,909 |
Total Fixed Income Securities | — | 384,075 | — | 384,075 |
Call Options Purchased | — | 206 | — | 206 |
Short-Term Investments | ||||
Investment Company | 5,400 | — | — | 5,400 |
U.S. Treasury Security | — | 4,301 | — | 4,301 |
Total Short-Term Investments | 5,400 | 4,301 | — | 9,701 |
Foreign Currency Forward Exchange Contracts | — | 2,325 | — | 2,325 |
Interest Rate Swap Agreements | — | 696 | — | 696 |
Total Assets | 5,400 | 391,603 | — | 397,003 |
Liabilities: | ||||
Call Option Written | — | (49 ) | — | (49 ) |
Foreign Currency Forward Exchange Contracts | — | (2,952 ) | — | (2,952 ) |
Futures Contracts | (260 ) | — | — | (260 ) |
Interest Rate Swap Agreements | — | (839 ) | — | (839 ) |
Total Liabilities | (260 ) | (3,840 ) | — | (4,100 ) |
Total | $5,140 | $387,763 | $— | $392,903 |
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
Asset Derivatives Statement of Assets and Liabilities Location | Primary Risk Exposure | Value (000) | |
Foreign Currency Forward Exchange Contracts | Unrealized Appreciation on Foreign Currency Forward Exchange Contracts | Currency Risk | $2,325 |
Swap Agreements | Variation Margin on Swap Agreements | Interest Rate Risk | 696 (a) |
Purchased Options | Investments, at Value (Purchased Options) | Currency Risk | 206 (b) |
Total | $3,227 |
Liability Derivatives Statement of Assets and Liabilities Location | Primary Risk Exposure | Value (000) | |
Foreign Currency Forward Exchange Contracts | Unrealized Depreciation on Foreign Currency Forward Exchange Contracts | Currency Risk | $(2,952 ) |
Futures Contracts | Variation Margin on Futures Contracts | Interest Rate Risk | (260 )(a) |
Swap Agreements | Variation Margin on Swap Agreements | Interest Rate Risk | (839 )(a) |
Options Written | Investments, at Value (Options Written) | Currency Risk | (49 ) |
Total | $(4,100 ) |
(a) | This amount represents the cumulative appreciation (depreciation) as reported in the Portfolio of Investments. The Statement of Assets and Liabilities only reflects the current day’s net variation margin. |
(b) | Amount is included in Investments in Securities in the Statement of Assets and Liabilities. |
April 30, 2023 (unaudited)
Net Realized Gain (Loss) | ||
Primary Risk Exposure | Derivative Type | Value (000) |
Currency Risk | Foreign Currency Forward Exchange Contracts | $6,491 |
Interest Rate Risk | Futures Contracts | 481 |
Interest Rate Risk | Swap Agreements | (753 ) |
Total | $6,219 |
Net Change in Unrealized Appreciation (Depreciation) | ||
Primary Risk Exposure | Derivative Type | Value (000) |
Currency Risk | Foreign Currency Forward Exchange Contracts | $(5,499 ) |
Interest Rate Risk | Futures Contracts | (772 ) |
Interest Rate Risk | Swap Agreements | 635 |
Currency Risk | Investments (Purchased Options) | (20 )(a) |
Currency Risk | Options Written | 30 |
Total | $(5,626 ) |
(a) | Amounts are included in Change in Unrealized Appreciation (Depreciation) on Investments in the Statement of Operations. |
Gross Amounts of Assets and Liabilities Presented in the Statement of Assets and Liabilities | ||
Derivatives(a) | Assets(b) (000) | Liabilities(b) (000) |
Foreign Currency Forward Exchange Contracts | $2,325 | $(2,952 ) |
Gross Amounts of Assets and Liabilities Presented in the Statement of Assets and Liabilities | ||
Derivatives(a) | Assets(b) (000) | Liabilities(b) (000) |
Purchased Options | $206 (c) | $— |
Options Written | — | (49 ) |
Total | $2,531 | $(3,001 ) |
(a) | Excludes exchange-traded derivatives. |
(b) | Absent an event of default or early termination, OTC derivative assets and liabilities are presented gross and not offset in the Statement of Assets and Liabilities. |
(c) | Amount is included in Investments in Securities in the Statement of Assets and Liabilities. |
April 30, 2023 (unaudited)
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||
Counterparty | Gross Asset Derivatives Presented in the Statement of Assets and Liabilities (000) | Financial Instrument (000) | Collateral Received(a) (000) | Net Amount (not less than $0) (000) |
Barclays Bank PLC | $407 | $(203 ) | $(204 ) | $0 |
BNP Paribas SA | 411 | (53 ) | (358 ) | 0 |
Citibank NA | 178 | (178 ) | — | 0 |
Goldman Sachs International | 298 | (298 ) | — | 0 |
HSBC Bank PLC | 582 | (347 ) | — | 235 |
JPMorgan Chase Bank NA | 134 | (122 ) | (12 ) | 0 |
Standard Chartered Bank | 30 | (30 ) | — | 0 |
UBS AG | 491 | (491 ) | — | 0 |
Total | $2,531 | $(1,722 ) | $(574 ) | $235 |
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||
Counterparty | Gross Liability Derivatives Presented in the Statement of Assets and Liabilities (000) | Financial Instrument (000) | Collateral Pledged(a) (000) | Net Amount (not less than $0) (000) |
Bank of America NA | $87 | $— | $— | $87 |
Gross Amounts Not Offset in the Statement of Assets and Liabilities | ||||
Counterparty | Gross Liability Derivatives Presented in the Statement of Assets and Liabilities (000) | Financial Instrument (000) | Collateral Pledged(a) (000) | Net Amount (not less than $0) (000) |
Barclays Bank PLC | $203 | $(203 ) | $— | $0 |
BNP Paribas SA | 53 | (53 ) | — | 0 |
Citibank NA | 267 | (178 ) | — | 89 |
Goldman Sachs International | 419 | (298 ) | — | 121 |
HSBC Bank PLC | 347 | (347 ) | — | 0 |
JPMorgan Chase Bank NA | 122 | (122 ) | — | 0 |
Standard Chartered Bank | 208 | (30 ) | — | 178 |
State Street Bank and Trust Co. | 207 | — | — | 207 |
UBS AG | 1,039 | (491 ) | (548 ) | 0 |
Total | $2,952 | $(1,722 ) | $(548 ) | $682 |
(a) | In some instances, the actual collateral received or pledged may be more than the amount shown here due to overcollateralization. |
Foreign Currency Forward Exchange Contracts: | |
Average monthly principal amount | $344,430,000 |
Futures Contracts: | |
Average monthly notional value | $4,838,000 |
Purchased Options: | |
Average monthly notional amount | $10,800,000 |
Swap Agreements: | |
Average monthly notional amount | $194,424,000 |
Written Options: | |
Average monthly notional amount | $10,800,000 |
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
2022 Distributions Paid From: | 2021 Distributions Paid From: | ||
Ordinary Income (000) | Paid-in- Capital (000) | Ordinary Income (000) | Paid-in- Capital (000) |
$— | $21,456 | $9,231 | $16,545 |
Total Accumulated Loss (000) | Paid-in- Capital (000) |
$60,452 | $(60,452) |
Affiliated Investment Company | Value October 31, 2022 (000) | Purchases At Cost (000) | Proceeds From Sales (000) | Dividend Income (000) |
Liquidy Funds | $8,418 | $283,182 | $286,200 | $220 |
April 30, 2023 (unaudited)
Affiliated Investment Company (cont'd) | Realized Gain (Loss) (000) | Change in Unrealized Appreciation (Depreciation) (000) | Value April 30, 2023 (000) |
Liquidy Funds | $— | $— | $5,400 |
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
Corporate Debt Obligations. The Fund may invest in debt obligations of non-governmental issuers located in emerging market countries and denominated in the local currency. Corporate debt obligations generally represent an issuer's obligation to repay to the investor (or lender) the amount borrowed plus interest over a specified time period. A typical corporate bond specifies a fixed date
April 30, 2023 (unaudited)
Corporate debt obligations come in many varieties and may differ in the way that interest is calculated, the amount and frequency of payments, the type of collateral, if any, and the presence of special features (e.g., conversion rights). The Fund's investments in bonds and notes. The Fund may invest in convertible bonds and warrant structures, which are fixed income securities with imbedded warrants which are exercisable into other debt or equity securities, provided that upon conversion of such securities into equity securities, such equities are promptly disposed of.
Other Debt Obligations. The Fund may invest up to 20% of its Managed Assets in debt obligations other than those of issuers located in emerging market countries and denominated in the local currency, including, but not limited to, eurobonds, Yankee dollar obligations, global bonds and Brady Bonds.
Currency. The Fund is no longer limited to investing 20% of its Managed Assets in currencies of selected emerging market countries.
Loan Participations and Assignments. The Fund may invest in fixed and floating rate loans arranged through private negotiations between an issuer of Sovereign Debt Obligations and one or more financial institutions. The Fund's investments in Loans in most instances will be in the form of participations in Loans or assignments of all or a portion of Loans from third parties. The Fund's investment in Participations typically will result in the Fund having a contractual relationship only with the Lender and not with the borrower. The Fund will have the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender selling the Participation and only upon receipt by the Lender of the payments from the borrower.
When the Fund purchases Assignments from Lenders it will acquire direct rights against the borrower on the Loan. Because Assignments are arranged through private negotiations between potential assignees and potential assignors, however, the rights and obligations acquired by the Fund as the purchaser of an Assignment may differ from, and be more limited than, those held by the assigning Lender. The assignability of certain Sovereign Debt Obligations is restricted by the governing documentation as to the nature of the assignee such that the only way in which the Fund may acquire an interest in a Loan is through a Participation and not an Assignment.
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
April 30, 2023 (unaudited)
Computershare Trust Company, N.A.
P.O. Box 505000
Louisville, Kentucky 40233
1 (800) 231-2608
April 30, 2023 (unaudited)
FACTS | WHAT DOES MSIM DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: ◾ Social Security number and income ◾ investment experience and risk tolerance ◾ checking account number and wire transfer instructions |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons MSIM chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does MSIM share? | Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No |
For our marketing purposes — to offer our products and services to you | Yes | No |
For joint marketing with other financial companies | No | We don't share |
For our investment management affiliates’ everyday business purposes — information about your transactions, experiences, and creditworthiness | Yes | Yes |
For our affiliates’ everyday business purposes — information about your transactions and experiences | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don't share |
For our investment management affiliates to market to you | Yes | Yes |
April 30, 2023 (unaudited)
Reasons we can share your personal information | Does MSIM share? | Can you limit this sharing? |
For our affiliates to market to you | No | We don't share |
For non-affiliates to market to you | No | We don't share |
To limit our sharing | Call toll-free (844) 312-6327 or email: imprivacyinquiries@morganstanley.com Please note: If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing. |
Questions? | Call toll-free (844) 312-6327 or email: imprivacyinquiries@morganstanley.com |
Who we are | |
Who is providing this notice? | Morgan Stanley Investment Management Inc. and its investment management affiliates (“MSIM”) (see Investment Management Affiliates definition below) |
What we do | |
How does MSIM protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does MSIM collect my personal information? | We collect your personal information, for example, when you ◾ open an account or make deposits or withdrawals from your account ◾ buy securities from us or make a wire transfer ◾ give us your contact information We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
April 30, 2023 (unaudited)
What we do | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only ◾ sharing for affiliates’ everyday business purposes — information about your creditworthiness ◾ affiliates from using your information to market to you ◾ sharing for non-affiliates to market to you State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | MSIM Investment Management Affiliates include registered investment advisers, registered broker-dealers, and registered and unregistered funds in the Investment Management Division. Investment Management Affiliates does not include entities associated with Morgan Stanley Wealth Management, such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Affiliates | Companies related by common ownership or control. They can be financial and non-financial companies. ◾ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies. ◾ MSIM does not share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between non-affiliated financial companies that together market financial products or services to you. ◾ MSIM doesn’t jointly market |
Other important information |
Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Non-affiliates unless you provide us with your written consent to share such information. |
California: Except as permitted by law, we will not share personal information we collect about California residents with Non-affiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
522 Fifth Avenue
New York, New York 10036
25 Cabot Square, Canary Wharf
London, E14 4QA, England
One Congress Street
Boston, Massachusetts 02114
P.O. Box 505000
Louisville, Kentucky 40233
1095 Avenue of the Americas
New York, New York 10036
1155 Avenue of the Americas,
22nd Floor
New York, New York 10036
200 Clarendon Street
Boston, Massachusetts 02116
5711082 EXP 06.30.24
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable for semiannual reports.
Item 6.
(a) See Item 1.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable for semiannual reports.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Applicable only to annual reports filed by closed-end funds.
Item 9. Closed-End Fund Repurchases
REGISTRANT PURCHASE OF EQUITY SECURITIES
Period | (a) Total Number of Shares (or Units) Purchased | (b) Average Price Paid per Share (or Unit) | (c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs | |||||||
November 2022 | 162,527 | N/A | N/A | ||||||||
December 2022 | — | N/A | N/A | ||||||||
January 2023 | — | N/A | N/A | ||||||||
February 2023 | — | N/A | N/A | ||||||||
March 2023 | 79,148 | N/A | N/A | ||||||||
April 2023 | — | N/A | N/A | ||||||||
Total | 241,675 | $ | 4.32 | N/A | N/A |
Item 10. Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominee to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.
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Item 11. Controls and Procedures
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-CSR 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 registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) For the Semi-Annual period April 30, 2023, the Fund earned income and incurred the following costs and expenses as a result of its securities lending activities:
Fund | Revenue Split | Cash Collateral Management Fees | Administration Fees | Indemnification Fees | Rebates to Borrowers | Other Fees | Total Costs of the Securities Lending Activities | Net Income from the Securities Lending Activities | ||||||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
(b) Pursuant to an agreement between the Fund and State Street Bank and Trust Company (“State Street”), the Fund may lend its securities through State Street as securities lending agent to certain qualified borrowers. As securities lending agent of the Fund, State Street administers the Fund’s securities lending program. These services include arranging the loans of securities with approved borrowers and their return to the Fund upon loan termination, negotiating the terms of such loans, selecting the securities to be loaned and monitoring dividend activity relating to loaned securities. State Street also marks to market daily the value of loaned securities and collateral and may require additional collateral as necessary from borrowers. State Street may also, in its capacity as securities lending agent, invest cash received as collateral in pre-approved investments in accordance with the Securities Lending Authorization Agreement. State Street maintains records of loans made and income derived therefrom and makes available such records that the Fund deems necessary to monitor the securities lending program.
Item 13. Exhibits
(a) Code of Ethics – Not applicable for semiannual reports.
(c) Section 906 certification.
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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 | |
June 20, 2023 |
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 | |
June 20, 2023 | |
/s/ Francis J. Smith | |
Francis J. Smith | |
Principal Financial Officer | |
June 20, 2023 |
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