<PAGE>
--------------------------------
MORGAN STANLEY
DEAN WITTER
EMERGING MARKETS
DEBT FUND, INC.
--------------------------------
FIRST QUARTER REPORT
MARCH 31, 2000
MORGAN STANLEY DEAN WITTER
INVESTMENT MANAGEMENT INC.
INVESTMENT ADVISER
MORGAN STANLEY DEAN WITTER
EMERGING MARKETS DEBT FUND, INC.
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DIRECTORS AND OFFICERS
Barton M. Biggs
CHAIRMAN OF THE BOARD
OF DIRECTORS
Harold J. Schaaff, Jr.
PRESIDENT AND DIRECTOR
Peter J. Chase
DIRECTOR
John W. Croghan
DIRECTOR
Graham E. Jones
DIRECTOR
John A. Levin
DIRECTOR
William G. Morton, Jr.
DIRECTOR
Stefanie V. Chang
VICE PRESIDENT
Joseph P. Stadler
VICE PRESIDENT
Mary E. Mullin
SECRETARY
Belinda A. Brady
TREASURER
Robin L. Conkey
ASSISTANT TREASURER
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INVESTMENT ADVISER
Morgan Stanley Dean Witter Investment Management Inc.
1221 Avenue of the Americas
New York, New York 10020
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ADMINISTRATOR
The Chase Manhattan Bank
73 Tremont Street
Boston, Massachusetts 02108
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CUSTODIAN
The Chase Manhattan Bank
3 Chase MetroTech Center
Brooklyn, New York 11245
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SHAREHOLDER SERVICING AGENT
Boston Equiserve
Investor Relations Department
P.O. Box 644
Boston, Massachusetts 02102-0644
(800) 730-6001
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LEGAL COUNSEL
Rogers & Wells LLP
200 Park Avenue
New York, New York 10166
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INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
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For additional Fund information, including the Fund's net asset value per share
and information regarding the investments comprising the Fund's portfolio,
please call 1-800-221-6726 or visit our website at
www.msdw.com/institutional/investmentmanagement.
<PAGE>
LETTER TO SHAREHOLDERS
---------
For the three months ended March 31, 2000, the Morgan Stanley Dean Witter
Emerging Markets Debt Fund, Inc. (the "Fund") had a total return, based on net
asset value per share, of 8.87% compared to 6.57% for the J.P. Morgan Emerging
Markets Bond Global Index (the "Index") and 7.62% for the J.P. Morgan Emerging
Markets Bond Plus Index. For the period from the Fund's commencement of
operations on July 23, 1993 through March 31, 2000, the Fund's total return,
based on net asset value per share, was 133.70% compared to 117.01% for the
Index and 122.97% for the J.P. Morgan Emerging Markets Bond Plus Index.
Commencing with this report, the Fund's performance will be compared to the J.P.
Morgan Emerging Markets Bond Global Index as it has more comprehensive coverage
of geographic regions and types of securities in which the Fund may invest. On
March 31, 2000, the closing price of the Fund's shares on the New York Stock
Exchange was $7 5/8, representing a 13.5% discount to the Fund's net asset value
per share.
During the past year, investors have been slowly--but surely--reassessing
emerging markets risk. The realization that emerging market debt had been overly
penalized during the 1998 Russian crisis coupled with broadly improving
macro-economic fundamentals resulted in a dramatic tightening of emerging debt
spreads. The extreme undervaluation of emerging bond spreads in 1999 left it
immune to the spread-widening trend in virtually every other fixed income
sector. Appropriately, the process, which had started with the Russia crisis,
appears to have concluded there as well. The rally in Russia largely contributed
to the 6.57% percent return in the Index. Mexico was another strong contributor
to the Index as it was upgraded to investment grade by Moody's.
The Fund's overweight-Russia position during the first quarter largely
contributed to the outperformance. Within that overweight, a large holding of
Russia Principal Notes was instrumental. To a lesser extent, the favorable
reassessment of Brazilian and Mexican credit fundamentals--countries in which
the Fund was overweighted--contributed to excess returns. Also helping was the
Fund's structural Asian underweight--a position reflecting our view that the
region's good news, while certainly impressive, had already been priced in.
Detracting from the Fund's returns were the overweights in Argentina--where we
were disappointed by the absence of a growth pick-up--and the Philippines--where
a political scandal soured investor sentiment and offset favorable economic
fundamentals.
By the middle of March, emerging market debt spreads compared unfavorably to
other fixed income alternatives. Indeed, triple-B and double-B corporate spreads
had widened to levels fairly close to that of a number of emerging market
credits. Simply put, emerging market debt was no longer cheap. We believe that
the risk of non-dedicated investors reducing their exposures to emerging market
debt in order to take advantage of historically cheap valuation elsewhere was
quite high. While emerging market credit fundamentals remained quite supportive,
the ongoing dislocations in other fixed income sectors, the extreme volatility
in global equity markets and the less attractive relative valuations, caused us
to position the Fund more defensively. In mid-March, we reduced the Fund's
exposure to emerging market debt by reducing spread duration and by emphasizing
lower beta countries.
That said, we reiterate our constructive long-term view of emerging markets. As
we have been noting in recent commentaries, we remain encouraged--and, indeed,
pleasantly surprised--by the commitment of major emerging economies to an
orthodox set of policy parameters. Indeed, the strong growth being enjoyed by
many emerging market countries this year, has not resulted in reform fatigue.
Fortunately, continued macroeconomic prudence--typically costly in
socio-economic terms--is being buffeted by rising global demand and the return
of capital inflows. We hope that the return of stability to G3 financial markets
will herald a resumption of the rally in emerging markets later this year.
Sincerely,
/s/ Harold J. Schaaff, Jr.*
Harold J. Schaaff, Jr.*
PRESIDENT AND DIRECTOR
April 2000
THE INFORMATION CONTAINED IN THIS OVERVIEW REGARDING SPECIFIC SECURITIES IS FOR
INFORMATIONAL PURPOSES ONLY AND SHOULD NOT BE CONSTRUED AS A RECOMMENDATION TO
PURCHASE OR SELL THE SECURITIES MENTIONED.
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DAILY NET ASSET AND MARKET VALUES, AS WELL AS MONTHLY PORTFOLIO INFORMATION FOR
THE FUND, ARE AVAILABLE ON OUR WEBSITE AT
www.msdw.com/institutional/investmentmanagement.
* HAROLD J. SCHAAFF, JR. WAS ELECTED PRESIDENT AND DIRECTOR OF THE FUND ON MARCH
20, 2000. MR. SCHAAFF JOINED MORGAN STANLEY DEAN WITTER IN 1989 AND IS A
MANAGING DIRECTOR OF MORGAN STANLEY & CO. INCORPORATED AND MORGAN STANLEY DEAN
WITTER INVESTMENT MANAGEMENT INC. HE FORMERLY SERVED AS GENERAL COUNSEL AND
SECRETARY OF MORGAN STANLEY DEAN WITTER INVESTMENT MANAGEMENT INC.
2
<PAGE>
MORGAN STANLEY DEAN WITTER EMERGING MARKETS DEBT FUND, INC.
INVESTMENT SUMMARY AS OF MARCH 31, 2000 (UNAUDITED)
-------------------------------------------------------------------------------
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<TABLE>
<CAPTION>
HISTORICAL
INFORMATION
TOTAL RETURN (%)
-------------------------------------------------------------------------
MARKET VALUE (1) NET ASSET VALUE (2) INDEX (3)
----------------------- --------------------- ----------------------
AVERAGE AVERAGE AVERAGE
CUMULATIVE ANNUAL CUMULATIVE ANNUAL CUMULATIVE ANNUAL
---------- ------- ---------- ------- ---------- -------
<S> <C> <C> <C> <C> <C> <C>
Fiscal Year to Date 15.45% -- 8.87% -- 6.57% --
One Year 16.38 16.38% 39.46 39.46% 25.76 25.76%
Five Year 123.37 17.44 174.52 22.38 150.52 20.16
Since Inception* 102.04 11.09 133.70 13.53 117.01 12.28
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
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RETURNS AND PER SHARE INFORMATION
[GRAPH]
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31, THREE MONTHS
ENDED
MARCH 31,
1993* 1994 1995 1996 1997 1998 1999 2000
----- ------ ------ ------ ------ ------ ------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value Per Share .............. $18.96 $12.23 $12.40 $17.31 $15.21 $7.01 $8.36 $8.82
Market Value Per Share ................. $18.13 $11.38 $12.50 $15.13 $15.38 $7.19 $6.81 $7.63
Premium/(Discount) ..................... -4.4% -7.0% 0.8% -12.6% 1.1% 2.6% -18.5% -13.5%
Income Dividends ....................... $0.16 $1.49 $1.72 $1.08 $1.27 $1.41 $1.01 $0.24
Capital Gains Distributions ............ -- $0.41 -- -- $3.44 $2.94 -- --
Fund Total Return (2) .................. 35.96% -25.95% 26.85%+ 50.98% 21.71% -33.00% 36.58% 8.87%
JPM EMB Global Index Total Return (3) .. 18.67% -18.35% 26.38% 35.23% 11.95% -11.54% 24.18% 6.57%
JPM EMB Plus Index Total Return (4) .... 18.67% -18.93% 26.77% 39.31% 13.02% -14.35% 25.97% 7.62%
</TABLE>
(1) Assumes dividends and distributions, if any, were reinvested.
(2) 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. These percentages are not an indication of the performance of a
shareholder'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.
(3) The J.P. Morgan Emerging Markets Bond Global Index (the "JPM EMB Global
Index") tracks total returns for U.S. dollar-denominated debt instruments
issued by emerging markets sovereign and quasi-sovereign entities: Brady
bonds, loans, Eurobonds and local market instruments. The JPM EMB Global
Index includes coverage of 27 emerging market countries. Because JPM EMB
Global Index was not available prior to January 1, 1994, the performance of
the J.P. Morgan Emerging Markets Bond Index is shown for the period July
23, 1993 to December 31, 1993, and used for purposes of computing
cumulative performance of the benchmark index for that period.
(4) The J.P. Morgan Emerging Markets Bond Plus Index (the "JPM EMB Plus Index")
is a market weighted index composed of all Brady bonds, outstanding loans
and Eurobonds, as well as U.S. Dollar local market instruments of
Argentina, Brazil, Bulgaria, Colombia, Ecuador, Mexico, Morocco, Nigeria,
Panama, Peru, the Philippines, Poland, Russia, South Korea and Venezuela.
Because the JPM EMB Plus Index was not available prior to January 1, 1994,
the performance of the J.P. Morgan Emerging Markets Bond Index is shown for
the period July 23, 1993 to December 31, 1993, and used for purposes of
computing cumulative performance of the benchmark index for that period.
* The Fund commenced operations on July 23, 1993.
+ This return does not include the effect of the rights issued in connection
with the Rights Offering.
3
<PAGE>
Morgan Stanley Dean Witter Emerging Markets Debt Fund, Inc.
Portfolio Summary as of March 31, 2000 (Unaudited)
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DIVERSIFICATION OF TOTAL INVESTMENTS
[CHART]
<TABLE>
<S> <C>
Debt Securities (97.6%)
Short-Term Investments (2.4%)
</TABLE>
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COUNTRY WEIGHTINGS
[CHART]
<TABLE>
<S> <C>
Argentina (21.1%)
Mexico (17.3%)
Brazil (16.7%)
Russia (12.3%)
Peru (5.2%)
Philippines (5.0%)
Colombia (4.1%)
Venezuela (3.2%)
Indonesia (2.1%)
Bulgaria (1.9%)
Other (11.1%)
</TABLE>
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TEN LARGEST HOLDINGS*
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
<S> <C>
1. Russia Principal Note, PIK
6.906% 12/15/20 (Russia) 7.3%
2. United Mexican States Discount Bond 'B'
5.875% 12/31/19 (Mexico) 6.5
3. Republic of Argentina Par Bond 'L-GP'
6.00%, 3/31/23 (Argentina) 6.2
4. Republic of Argentina
11.75%, 4/7/09 (Argentina) 4.6
5. Federative Republic of Brazil Global Bond
14.50%, 10/15/09 (Brazil) 4.5
6. Republic of Peru Front Loaded Interest
Reduction Bond 3.25%, 3/7/17 (Peru) 4.1%
7. Republic of Argentina 'L'
7.375%, 3/31/05 (Argentina) 4.0
8. Federative Republic of Brazil Bond
6.938%, 4/15/06 (Brazil) 3.8
9. United Mexican States Global Bond
11.375%, 9/15/16 (Mexico) 3.4
10. Republic of Argentina
12.00%, 2/1/20 (Argentina) 3.2
----
47.6%
----
----
</TABLE>
* Excludes short-term investments.
4
<PAGE>
FINANCIAL STATEMENTS
------
STATEMENT OF NET ASSETS (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
------
MARCH 31, 2000
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
DEBT INSTRUMENTS(97.6%)
-------------------------------------------------------------------------------
ARGENTINA (21.1%)
CORPORATE (3.1%)
(a)Cablevision S.A.
13.75%, 5/1/09 U.S.$ 500 U.S.$ 495
(a)CIA International Telecom
10.375%, 8/1/04 ARP 2,370 2,152
10.375%, 8/1/04 250 227
Nortel Inversora 'A'
6.00%, 3/31/07 U.S.$ 5,678 3,413
---------------
6,287
---------------
SOVEREIGN (18.0%)
Republic of Argentina
11.75%, 4/7/09 9,360 9,243
12.00%, 2/1/20 6,350 6,423
(b)Republic of Argentina 'L'
7.375%, 3/31/05 8,624 8,076
Republic of Argentina Par
Bond 'L-GP'
6.00%, 3/31/23 17,750 12,464
---------------
36,206
---------------
42,493
---------------
-------------------------------------------------------------------------------
BRAZIL (16.7%)
SOVEREIGN (16.7%)
Federal Republic of Brazil
12.25%, 3/6/30 2,600 2,515
12.75%, 1/15/20 2,700 2,670
Federal Republic of Brazil 'C'
Bond
8.00%, 4/15/14 1,941 1,459
Federative Republic of Brazil
Bond 'EI' (Registered)
6.938%, 4/15/06 3,337 3,036
Federative Republic of Brazil
Bond 'EI-L'
6.938%, 4/15/06 4,982 4,532
Federative Republic of Brazil
Bond PIK 'C'
8.00%, 4/15/14 5,564 4,183
(b)Federative Republic of Brazil
Debt Conversion Bond 'L'
7.00%, 4/15/12 2,760 2,098
(b)Federative Republic of Brazil
Debt Conversion Bond 'L'
(Registered)
7.00%, 4/15/12 2,290 1,740
Federative Republic of Brazil
Global Bond
14.50%, 10/15/09 8,317 9,074
-------------------------------------------------------------------------------
SOVEREIGN (CONTINUED)
(b)Federative Republic of Brazil
New Money Bond 'L'
7.00%, 4/15/09 U.S.$ 2,700 U.S.$ 2,291
---------------
33,598
---------------
-------------------------------------------------------------------------------
BULGARIA (1.9%)
SOVEREIGN (1.9%)
(b)Republic of Bulgaria Discount
Bond 'A' Euro
7.063%, 7/28/24 4,800 3,899
---------------
-------------------------------------------------------------------------------
COLOMBIA (4.1%)
CORPORATE (0.3%)
(a,c)Occidente y Caribe 'B'
0.00%, 3/15/04 1,050 630
---------------
SOVEREIGN (3.8%)
Republic of Colombia
9.75%, 4/23/09 1,700 1,505
11.75%, 2/25/20 6,250 6,062
---------------
7,567
---------------
8,197
---------------
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ECUADOR (0.8%)
SOVEREIGN (0.8%)
(b)Republic of Ecuador
Discount Bond
6.75%, 2/28/25 4,020 1,678
---------------
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INDIA (0.3%)
CORPORATE (0.3%)
Surashtra Cement and
Chemical Ltd.
19.00%, 6/26/00 INR 30,000 642
---------------
-------------------------------------------------------------------------------
INDONESIA (2.1%)
CORPORATE (2.1%)
Indah Kiat International
Finance 'B'
11.875%, 6/15/02 U.S.$ 900 783
Tjiwi Kimia International
Global Bond
13.25%, 8/1/01 3,300 2,970
13.25%, 8/1/01 500 450
---------------
4,203
-------------------------------------------------------------------------------
IVORY COAST (0.5%)
SOVEREIGN (0.5%)
(b)Republic of Ivory Coast Front
Load Interest Reduction Bond
2.00%, 3/29/18 5,500 990
---------------
-------------------------------------------------------------------------------
5
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
JORDAN (0.4%)
SOVEREIGN (0.4%)
(a,b)Jordan Discount Bond
0.00%, 12/23/23 U.S.$ 1,061 U.S.$ 859
---------------
-------------------------------------------------------------------------------
MEXICO (17.3%)
CORPORATE (3.1%)
Grupo Elektra S.A.
12.00%, 4/1/08 900 864
(a)Nuevo Grupo Iusacell S.A.
14.25%, 12/1/06 1,300 1,402
(a)Sanluis Corp. S.A.
8.875%, 3/18/08 2,400 2,217
(a)TV Azteca 'B'
10.50%, 2/15/07 1,900 1,795
---------------
6,278
---------------
SOVEREIGN (14.2%)
United Mexican States
7.50%, 3/8/10 EUR 1,650 1,604
(b)United Mexican States
Discount Bond 'B'
5.875%, 12/31/19 U.S.$ 13,350 13,183
United Mexican States
Euro Bond
10.375%, 2/17/09 1,550 1,675
United Mexican States
Global Bond
11.375%, 9/15/16 5,776 6,881
United Mexican States Par
Bond 'W-B'
6.25%, 12/31/19 6,200 5,289
---------------
28,632
---------------
34,910
---------------
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MOROCCO (1.3%)
SOVEREIGN (1.3%)
(b)Morocco R&C 'A'
6.844%, 1/1/09 2,993 2,702
---------------
-------------------------------------------------------------------------------
PANAMA (0.8%)
SOVEREIGN (0.8%)
Republic of Panama Global
Bond
8.875%, 9/30/27 850 750
(b)Republic of Panama Past Due
Interest Bond PIK
7.063%, 7/17/16 929 791
---------------
1,541
---------------
-------------------------------------------------------------------------------
PERU (5.2%)
SOVEREIGN (5.2%)
(c)Peru Past Due Interest Bond
4.50%, 3/7/17 2,920 1,953
-------------------------------------------------------------------------------
SOVEREIGN (CONTINUED)
Republic of Peru Front Loaded
Interest Reduction Bond
(c)3.75%, 3/7/17 U.S.$ 13,250 U.S.$ 8,215
(b)3.75%, 3/7/17 498 309
---------------
10,477
---------------
-------------------------------------------------------------------------------
PHILIPPINES (5.0%)
CORPORATE (1.0%)
(a)Bayan Telecommunications, Inc.
13.50%, 7/15/06 2,400 2,070
---------------
SOVEREIGN (4.0%)
Republic of Philippines
9.875%, 1/15/19 2,100 1,916
10.625%, 3/16/25 6,400 6,122
---------------
8,038
---------------
10,108
---------------
-------------------------------------------------------------------------------
POLAND (1.2%)
CORPORATE (1.2%)
(a)Netia Holdings II B.V.
13.125%, 6/15/09 1,500 1,485
(a)PTC International Finance II S.A.
11.25%, 12/1/09 1,000 1,025
---------------
2,510
---------------
-------------------------------------------------------------------------------
RUSSIA (12.3%)
SOVEREIGN (12.3%)
(b)Russia Interest Arrears Notes
6.906%, 12/15/15 1,950 578
(b)Russia Principal Note, PIK
6.906%, 12/15/20 50,346 14,647
Russian Federation (Registered)
10.00%, 6/26/07 6,350 4,731
12.75%, 6/24/28 5,700 4,852
---------------
24,808
---------------
-------------------------------------------------------------------------------
SOUTH AFRICA (0.9%)
SOVEREIGN (0.9%)
Republic of South Africa
13.00%, 8/31/10 ZAR 12,400 1,787
---------------
-------------------------------------------------------------------------------
SOUTH KOREA (1.5%)
SOVEREIGN (1.5%)
Korea Monetary Stab Bond
Zero Coupon, 7/31/00 U.S.$ 3,500,000 3,091
---------------
-------------------------------------------------------------------------------
TURKEY (1.0%)
CORPORATE (1.0%)
(a)Cellco Finance NV
15.00%, 8/1/05 1,910 2,034
---------------
-------------------------------------------------------------------------------
6
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-----------------------------------------------------------------------------
<S> <C> <C>
VENEZUELA (3.2%)
SOVEREIGN (3.2%)
(b)Republic of Venezuela Debt
Conversion Bond 'DL'
7.00%, 12/18/07 U.S.$ 3,048 U.S.$ 2,459
Republic of Venezuela
Global Bond
9.25%, 9/15/27 5,900 3,900
---------------
6,359
---------------
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TOTAL DEBT INSTRUMENTS
(Cost U.S.$186,259) 196,886
---------------
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NO. OF
RIGHTS
-------------------------------------------------------------------------------
RIGHTS (0.0%)
-------------------------------------------------------------------------------
MEXICO
United Mexican States
Value Recovery Rights,
expiring 06/30/03
(Cost U.S.$--@) 20,567,000 -- @
---------------
-------------------------------------------------------------------------------
NO. OF
WARRANTS
-------------------------------------------------------------------------------
WARRANTS(0.0%)
-------------------------------------------------------------------------------
COLOMBIA (0.0%)
Occidente y Caribe,
expiring 3/15/04
(Cost U.S.$27) 41,200 62
---------------
-------------------------------------------------------------------------------
FACE
AMOUNT
(000)
-------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS(2.4%)
-------------------------------------------------------------------------------
TURKEY (1.8%)
BILLS
Turkey Treasury Bill
08/23/00 TRL 2,525,000,000 3,519
---------------
-------------------------------------------------------------------------------
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
UNITED STATES (0.6%)
REPURCHASE AGREEMENT
Chase Securities, Inc. 5.90%,
dated 3/31/00, due
4/03/00, to be
repurchased at U.S.$1,266
United States Federal
Home Loan Note, 7.10%,
due 3/21/02, valued at
U.S.$1,291 U.S.$ 1,265 U.S.$ 1,265
---------------
-------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost U.S.$5,074) 4,784
---------------
-------------------------------------------------------------------------------
TOTAL INVESTMENTS(100.0%)
(Cost U.S.$191,360) 201,732
---------------
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
Other Assets 63,369
Liabilities (70,675) (7,306)
-----------------------------------
-------------------------------------------------------------------------------
NET ASSETS
Applicable to 22,046,681 issued and
outstanding U.S.$0.01 par value shares
(100,000,000 shares authorized) U.S.$ 194,426
---------------
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE U.S.$ 8.82
---------------
-------------------------------------------------------------------------------
</TABLE>
(a) -- 144A Security--certain conditions for public sale may exist.
(b) -- Variable/floating rate security--rate disclosed is as of March 31, 2000.
(c) -- Step Bond--coupon rate increases in increments to maturity. Rate
disclosed is as of March 31, 2000. Maturity date disclosed is ultimate
maturity.
@ -- Amount is less than U.S.$500.
PIK -- Payment-in-Kind. Income may be paid in additional securities or cash at
the discretion of the issuer.
