Edgar Filing: BABSON CAPITAL GLOBAL SHORT DURATION HIGH YIELD FUND

Unassociated Document

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-22562

Babson Capital Global Short Duration High Yield Fund

(Exact name of registrant as specified in charter)

550 South Tryon Street, Charlotte, NC 28202

(Address of principal executive offices) (Zip code)

Janice M. Bishop

Secretary and Chief Legal Officer

c/o Babson Capital Management LLC

Independence Wharf

470 Atlantic Avenue

Boston, MA 02210

(Name and address of agent for service)

704-805-7200

Registrant's telephone number, including area code

Date of fiscal year end: December 31

Date of reporting period: March 31, 2013

Item 1. Schedule of Investments.

Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
March 31, 2013

					Effective interest rate‡		Due date		Principal		Cost		Fair value

Fixed Income — 122.74%*:
Bank Loans — 23.73%*:
	Automobile — 1.73%*:
			Schaeffler Finance+		4.75	%	1/27/2017	$	4,500,000	$	5,857,395	$	5,785,187
			Schaeffler Finance+		3.75		1/27/2017		2,247,447		2,930,774		2,879,113
				Total Automobile					6,747,447		8,788,169		8,664,300

	Broadcasting and Entertainment — 0.59%*:
			Deluxe Entertainment Services Group, Inc.		6.50		7/3/2017		1,471,580		1,431,112		1,415,175
			Deluxe Entertainment Services Group, Inc.		8.00		7/3/2017		1,605,446		1,495,486		1,543,910
				Total Broadcasting and Entertainment					3,077,026		2,926,598		2,959,085

	Buildings and Real Estate — 0.78%*:
			Tomkins Air Distribution		9.25		5/1/2020		3,773,513		3,716,929		3,872,568
				Total Buildings and Real Estate					3,773,513		3,716,929		3,872,568

	Chemicals, Plastics and Rubber — 1.74%*:
			Cytec Monarch		7.50		3/31/2020		2,000,000		2,055,000		2,042,500
			Houghton International Inc.		5.25		11/30/2019		2,837,229		2,808,864		2,879,788
			Pinnacle Operating Corp.		11.50		5/13/2019		4,000,000		3,803,966		3,796,680
				Total Chemicals, Plastics and Rubber					8,837,229		8,667,830		8,718,968

	Diversified/Conglomerate Manufacturing — 2.49%*:
			Alliance Laundry Systems LLC		9.50		11/30/2019		1,728,930		1,711,655		1,767,831
			Navistar International Corp		6.00		7/30/2017		2,565,000		2,566,969		2,590,009
			Northern Tool & Equipment Company, Inc.		7.00		12/6/2018		4,285,714		4,200,538		4,328,571
			ValleyCrest		8.00		10/5/2016		3,729,855		3,729,855		3,757,829
				Total Diversified/Conglomerate Manufacturing					12,309,499		12,209,017		12,444,240

	Diversified/Conglomerate Service — 2.38%*:
			Endurance International Group Inc.		6.25		10/18/2017		6,000,000		5,940,019		6,033,780
			Redprarie Corporation		6.75		12/14/2018		3,000,000		2,942,225		3,056,250
			Redprarie Corporation		11.25		12/14/2019		2,702,244		2,649,862		2,822,710
				Total Diversified/Conglomerate Service					11,702,244		11,532,106		11,912,740

	Diversified Natural Resources, Precious Metals and Minerals — 0.73%*:
			Osmose Holdings, Inc.		6.75		5/2/2018		3,616,487		3,580,334		3,652,652
				Total Diversified Natural Resources, Precious Metals and Minerals					3,616,487		3,580,334		3,652,652

	Electronics — 1.56%*:
			Kronos, Inc.		9.75		4/26/2020		7,500,000		7,425,012		7,818,750
				Total Electronics					7,500,000		7,425,012		7,818,750

	Finance — 1.61%*:
			Confie Seguros Holding		10.25		5/8/2019		1,500,000		1,470,351		1,531,875
			Confie Seguros Holding		10.25		3/15/2019		400,000		410,000		408,500
			Cunningham Lindsey Group, Inc.		9.25		4/18/2020		3,000,000		3,059,939		3,071,250
			Transfirst Holdings Inc.		11.00		6/30/2018		1,004,072		974,048		1,018,511
			Wall Street Systems Inc.		9.25		4/24/2020		1,980,000		1,984,989		1,989,900
				Total Finance					7,884,072		7,899,327		8,020,036

	Healthcare, Education and Childcare — 3.38%*:
			Air Medical Group Holdings		6.50		6/20/2018		2,256,154		2,233,606		2,304,097
			Gentiva Health Services Inc.		6.50		8/17/2016		3,934,426		3,887,735		3,955,751
			PRA International		10.50		11/30/2019		1,743,299		1,708,747		1,760,732
			PRA International		9.25		12/10/2019		101,129		102,899		102,140
			Sage Products Holdings Iii, LLC		4.25		11/30/2019		2,000,000		1,980,008		2,012,500
			Sage Products Holdings Iii, LLC		9.25		5/31/2020		3,325,292		3,275,431		3,416,737
			TriZetto Group		8.50		3/27/2019		3,325,000		3,309,161		3,358,250
				Total Healthcare, Education and Childcare					16,685,300		16,497,587		16,910,207

	Leisure, Amusement, Motion Pictures and Entertainment — 0.60%*:
			Jacob's Entertainment		6.25		10/16/2018		2,992,500		2,949,550		3,011,203
				Total Leisure, Amusement, Motion Pictures and Entertainment					2,992,500		2,949,550		3,011,203

	Mining, Steel, Iron and Non-Precious Metals — 1.05%*:
			Boomerang Tube, LLC		11.00		10/8/2017		2,962,500		2,927,514		2,992,125
			Boomerang Tube, LLC		11.00		10/11/2017		378,377		384,053		382,161
			Constellium Holdco B.V.+		6.25		3/15/2020		1,819,073		1,809,978		1,850,907
				Total Mining, Steel, Iron and Non-Precious Metals					5,159,950		5,121,545		5,225,193

	Oil and Gas — 2.84%*:
			Chesapeake Energy Corporation		5.75		12/2/2017		2,000,000		1,968,426		2,059,760
			EP Energy		4.50		4/30/2019		3,000,000		2,992,508		3,036,240
			NFR Energy LLC		8.75		12/31/2018		5,008,901		5,045,096		5,124,757
			Vantage Drilling Company		6.25		10/17/2017		2,962,500		2,888,419		2,981,016
			Venoco, Inc.		8.50		6/30/2017		955,565		976,379		981,843
				Total Oil and Gas					13,926,966		13,870,828		14,183,616

	Retail Store — 2.25%*:
			BJ's Wholesale Club, Inc.		9.75		3/13/2020		4,000,000		4,142,503		4,131,680
			FleetPride		9.25		5/8/2020		3,000,000		2,942,052		3,000,000
			Smart & Final Holdings Corp.		10.50		11/8/2020		4,000,000		3,881,925		4,125,000
				Total Retail Store					11,000,000		10,966,480		11,256,680

				Total Bank Loans					115,212,233		116,151,312		118,650,238

Corporate Bonds — 99.01%*:
	Aerospace and Defense* — 0.49%*:
			Ducommun Inc.		9.75	%	7/15/2018	$	2,230,000	$	2,402,081	$	2,453,000
				Total Aerospace and Defense					2,230,000		2,402,081		2,453,000

	Automobile — 6.78%*:
			Accuride Corp		9.50		8/1/2018		6,800,000		6,691,261		6,953,000
			Affinia Group, Inc.		9.00		11/30/2014		12,000,000		12,054,666		12,030,120
			J.B. Poindexter & Co. Inc. ^		9.00		4/1/2022		4,500,000		4,622,967		4,702,500
			Meritor, Inc. ^		10.63		3/15/2018		3,000,000		3,064,250		3,236,250
			Meritor, Inc. ^		7.88		3/1/2026		1,552,000		1,523,085		1,574,310
			UCI International, Inc.		8.63		2/15/2019		5,215,000		5,175,887		5,397,525
				Total Automobile					33,067,000		33,132,116		33,893,705

	Broadcasting and Entertainment — 1.41%*:
			Arqiva Finance+^		9.50		3/31/2020		2,700,000		4,129,025		4,246,122
			CET 21 Spol Sro+^		9.00		11/1/2017		2,000,000		2,786,625		2,781,623
				Total Broadcasting and Entertainment					4,700,000		6,915,650		7,027,745

	Buildings and Real Estate — 4.88%*:
			Ainsworth Lumber Ltd^		7.50		12/15/2017		5,750,000		5,770,043		6,267,500
			Cemex International Capital LLC+^		9.88		4/30/2019		2,890,000		3,816,761		4,223,196
			Lyon Williams Homes, Inc.^		8.50		11/15/2020		8,000,000		8,057,304		8,720,000
			Roofing Supply LLC^		10.00		6/1/2020		4,605,000		5,082,593		5,203,650
				Total Buildings and Real Estate					21,245,000		22,726,701		24,414,346

	Cargo Transport — 3.77%*:
			CEVA Group PLC+^		8.38		12/1/2017		5,000,000		4,878,810		5,150,000
			Kenan Advantage Group, Inc.^		8.38		12/15/2018		8,000,000		8,000,000		8,400,000
			Moto Hospitality Limited+^		10.25		3/15/2017		2,000,000		3,094,404		3,069,302
			Quality Distribution Inc.		9.88		11/1/2018		2,040,000		2,192,012		2,244,000
				Total Cargo Transport					17,040,000		18,165,226		18,863,302

	Chemicals, Plastics and Rubber — 7.37%*:
			Associated Asphalt, Inc. ^		8.50		2/15/2018		2,300,000		2,300,000		2,346,000
			Ciech Group Finance+^		9.50		11/30/2019		1,200,000		1,538,876		1,695,893
			Cornerstone Chemical Company^		9.38		3/15/2018		5,375,000		5,520,148		5,482,500
			Omnova Solutions, Inc.		7.88		11/1/2018		1,630,000		1,670,131		1,735,950
			Perstorp Holding AB+^		9.00		5/15/2017		7,030,000		9,089,363		9,484,534
			TPC Group, Inc. ^		8.75		12/15/2020		7,065,000		7,153,446		7,365,262
			Tronox Worldwide LLC^		6.38		8/15/2020		9,000,000		8,933,919		8,730,000
				Total Chemicals, Plastics and Rubber					33,600,000		36,205,883		36,840,139

	Containers, Packaging and Glass — 1.75%*:
			Bormioli Rocco & Figlio S.P.A.+^		10.00		8/1/2018		1,500,000		1,995,257		1,961,237
			Pretium Packaging, LLC		11.50		4/1/2016		6,265,000		6,441,014		6,797,525
				Total Containers, Packaging and Glass					7,765,000		8,436,271		8,758,762

	Diversified/Conglomerate Service — 3.26%*:
			Brickman Group Holdings, Inc.^		9.13		11/1/2018		6,670,000		6,824,682		7,253,625
			Verisure Holdings+^		6.71		9/1/2018		3,500,000		4,478,495		4,486,489
			Verisure Holdings+^		8.75		9/1/2018		3,240,000		4,446,240		4,537,379
				Total Diversified/Conglomerate Service					13,410,000		15,749,417		16,277,493

	Diversified Natural Resources, Precious Metals and Minerals — 0.70%*:
			Lecta S.A.+^		8.88		5/15/2019		1,090,000		1,433,188		1,447,870
			Lecta S.A.+^		5.73		5/15/2018		1,600,000		2,038,500		2,030,457
				Total Diversified Natural Resources, Precious Metals and Minerals					2,690,000		3,471,688		3,478,327

	Ecological — 0.17%*:
			ENCE+		7.25		2/15/2020		650,000		874,938		844,037
				Total Ecological					650,000		874,938		844,037

	Electronics — 1.44%*:
			International Wire Group, Inc.^		8.50		10/15/2017		7,000,000		7,162,684		7,210,000
				Total Electronics					7,000,000		7,162,684		7,210,000

	Farming and Agriculture — 0.91%*:
			Chiquita Brands^		7.88		2/1/2021		4,350,000		4,318,419		4,562,062
				Total Farming and Agriculture					4,350,000		4,318,419		4,562,062

	Finance — 6.94%*:
			Arrow Global Finance+^		7.88		3/1/2020		500,000		791,653		757,981
			Cabot Financial+^		10.38		10/1/2019		5,000,000		8,432,021		8,413,991
			Evertec, Inc.		11.00		10/1/2018		11,000,000		12,168,966		12,485,000
			First Data^		11.25		1/15/2021		5,000,000		5,000,000		5,200,000
			Lowell Group Financing PLC+^		10.75		4/1/2019		2,000,000		3,412,822		3,394,466
			TMF Group Holding+^		5.59		12/1/2018		1,400,000		1,802,552		1,812,542
			TMF Group Holding+^		9.88		12/1/2019		2,000,000		2,687,648		2,640,619
				Total Finance					26,900,000		34,295,662		34,704,599

	Healthcare, Education and Childcare — 4.51%*:
			Care UK Health+		9.75		8/1/2017		2,300,000		3,869,314		3,582,119
			Cerba European Lab+^		7.00		2/1/2020		450,000		599,464		585,487
			Crown Newco PLC+^		8.88		2/15/2019		4,500,000		7,387,291		6,940,118
			Prospect Medical Holdings Inc^		8.38		5/1/2019		5,000,000		5,095,690		5,325,000
			Voyage Care+^		6.50		8/1/2018		500,000		800,077		773,024
			Warner Chilcott Company, LLC		7.75		9/15/2018		5,000,000		5,266,738		5,343,750
				Total Healthcare, Education and Childcare					17,750,000		23,018,574		22,549,498

	Hotels, Motels, Inns and Gaming — 1.78%*:
			Gala Group Finance+		8.88		9/1/2018		5,500,000		8,831,701		8,879,325
				Total Hotels, Motels, Inns and Gaming					5,500,000		8,831,701		8,879,325

	Leisure, Amusement, Motion Pictures and Entertainment — 1.36%*:
			Odeon & Uci Finco+		9.00		8/1/2018		4,200,000		6,967,062		6,796,530
				Total Leisure, Amusement, Motion Pictures and Entertainment					4,200,000		6,967,062		6,796,530

	Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 3.98%*:
			Cleaver-Brooks, Inc.^		8.75		12/15/2019		4,740,000		4,879,853		5,113,275
			KM Germany Holding+^		8.75		12/15/2020		1,450,000		1,876,585		2,007,755
			Milacron LLC^		8.38		5/15/2019		5,800,000		5,956,734		6,409,000
			Milacron LLC^		7.75		2/15/2021		3,400,000		3,400,000		3,514,750
			Xerium Technologies		8.88		6/15/2018		3,000,000		2,873,515		2,872,500
				Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic)					18,390,000		18,986,687		19,917,280

	Mining, Steel, Iron and Non-Precious Metals — 4.58%*:
			Alpha Natural Resources, Inc.		9.75		4/15/2018		3,000,000		3,113,667		3,217,500
			Ausdrill Finance Pty Ltd.+^		6.88		11/1/2019		6,000,000		6,000,000		6,135,000
			Fortescue Metals Group Ltd.+^		8.25		11/1/2019		2,000,000		2,067,662		2,157,500
			Inmet Mining Corporation+^		7.50		6/1/2021		3,500,000		3,514,591		3,788,750
			Kaiser Aluminum Corporation		8.25		6/1/2020		800,000		870,170		896,000
			New World Resources N.V.+^		7.88		5/1/2018		3,350,000		4,315,452		4,330,283
			Rain CII Carbon LLC^		8.25		1/15/2021		1,390,000		1,390,000		1,501,200
			Rain CII Carbon LLC^		8.50		1/15/2021		650,000		855,139		866,533
				Total Mining, Steel, Iron and Non-Precious Metals					20,690,000		22,126,681		22,892,766

	Oil and Gas — 24.70%*:
			Alta Mesa Holdings, LP		9.63		10/15/2018		4,275,000		4,377,654		4,510,125
			Calumet Specialty Products		9.38		5/1/2019		7,365,000		7,919,926		8,248,800
			CHC Helicopter+		9.25		10/15/2020		4,620,000		4,740,027		4,911,638
			Chesapeake Oilfield Operating LLC^		6.63		11/15/2019		6,000,000		5,770,680		6,180,000
			Era Group Inc.^		7.75		12/15/2022		3,000,000		2,949,330		3,090,000
			Ferrellgas Partners LP		8.63		6/15/2020		7,135,000		6,992,771		7,242,025
			Halcon Resources Corporation^		9.75		7/15/2020		8,000,000		8,461,942		8,840,000
			Headwaters, Inc.		7.63		4/1/2019		3,000,000		3,129,226		3,210,000
			Hercules Offshore, Inc.^		10.25		4/1/2019		6,865,000		7,221,746		7,637,312
			Magnum Hunter Resources, Corp^		9.75		5/15/2020		3,000,000		3,058,682		3,150,000
			Midstates Petroleum Company Inc.^		10.75		10/1/2020		5,000,000		5,290,633		5,550,000
			Millennium Offshore+^		9.50		2/15/2018		6,000,000		6,000,000		6,060,000
			Niska Gas Storage		8.88		3/15/2018		6,500,000		6,735,800		6,776,250
			Northern Tier Energy LLC^		7.13		11/15/2020		6,000,000		6,000,000		6,360,000
			Pbf Holding Company LLC		8.25		2/15/2020		6,000,000		6,288,897		6,600,000
			Quicksilver Resources, Inc.		8.25		8/1/2015		3,000,000		2,813,337		2,951,250
			Resolute Energy Corp.^		8.50		5/1/2020		7,285,000		7,445,490		7,539,975
			Samson Investment Company^		9.75		2/15/2020		6,000,000		6,376,098		6,375,000
			Shelf Drilling Holdings Ltd+^		8.63		11/1/2018		6,000,000		6,080,933		6,360,000
			Venoco, Inc.		11.50		10/1/2017		5,500,000		5,565,574		5,885,000
			Welltec+^		8.00		2/1/2019		5,500,000		5,739,262		6,008,750
				Total Oil and Gas					116,045,000		118,958,008		123,486,125

	Personal and Nondurable Consumer Products (Manufacturing Only) — 0.41%*:
			Grohe Holdings+^		8.75		12/15/2017		1,530,000		2,073,404		2,050,473
				Total Personal and Nondurable Consumer Products (Manufacturing Only)					1,530,000		2,073,404		2,050,473

	Personal, Food and Miscellaneous — 0.50%*:
			Cerved Holding Spa+^		8.00		1/15/2021		2,000,000		2,662,411		2,474,491
				Total Personal, Food and Miscellaneous					2,000,000		2,662,411		2,474,491

	Printing and Publishing — 2.38%*:
			Cenveo Corporation		8.88		2/1/2018		5,750,000		5,232,329		5,750,000
			R.R. Donnelley & Sons Company		7.25		5/15/2018		3,309,000		3,242,744		3,478,586
			R.R. Donnelley & Sons Company		7.88		3/15/2021		2,570,000		2,557,150		2,679,225
				Total Printing and Publishing					11,629,000		11,032,223		11,907,811

	Retail Store — 6.52%*:
			DFS Furniture Holdings PLC+^		7.63		8/15/2018		300,000		450,552		460,281
			GRD Holding Corp.^		10.75		6/1/2019		3,150,000		3,230,447		3,311,437
			HD Supply, Inc.		11.50		7/15/2020		5,000,000		5,296,510		5,925,000
			House Fraser PLC+^		8.88		8/15/2018		4,000,000		6,494,389		6,320,940
			Matalan Finance PLC+^		8.88		4/29/2016		4,000,000		6,469,248		6,032,243
			Pantry, Inc^		8.38		8/1/2020		875,000		909,610		938,437
			Spencer Spirit Holdings, Inc.^		11.00		5/1/2017		5,000,000		5,370,250		5,462,500
			Takko Fashion+^		9.88		4/15/2019		3,340,000		4,302,950		4,167,936
				Total Retail Store					25,665,000		32,523,956		32,618,774

	Telecommunications — 6.95%*:
			Bite Finance+^		7.45		2/15/2018		950,000		1,275,877		1,225,677
			Numericable Finance+^		8.07		10/15/2018		5,500,000		7,088,086		7,226,452
			Nara Cable FDG Ltd+^		8.88		12/1/2018		8,000,000		7,554,804		8,260,000
			Nokia Siemens Networks+^		6.75		4/15/2018		2,200,000		2,856,586		2,860,265
			Norcell Sweden+^		9.25		9/29/2018		19,500,000		3,249,571		3,216,810
			UPC Broadband+^		6.75		3/15/2023		1,830,000		1,932,214		1,932,556
			Wind Acquisition+^		7.38		2/15/2018		4,565,000		5,668,372		5,984,720
			Wind Acquisition+^		11.75		7/15/2017		3,000,000		4,173,682		4,057,068
				Total Telecommunications					45,545,000		33,799,192		34,763,548

	Textiles & Leather — 1.47%*:
			Perry Ellis International Inc		7.88		4/1/2019		7,000,000		7,284,679		7,350,000
				Total Utilities					7,000,000		7,284,679		7,350,000

				Total Corporate Bonds					450,591,000		482,121,314		495,014,138

				Total Fixed Income					565,803,233		598,272,626		613,664,376

Other liabilities and assets — (22.74)%													(113,681,676)
				Net Assets — 100%								$	499,982,700



‡		The effective interest rates are based on settled commitment amount.
*		Calculated as a percentage of net assets applicable to common shareholders.
+		Foreign security.
		Distributions of investments by country of issue (execluding temporary cash investments) as a percentage of total investment in securities, is as follows:
		US		United States	67.6%
		GB		United Kingdom	9.7%
		SE		Sweden	3.5%
		DE		Germany	2.4%
		IT		Italy	2.4%
		NL		Netherlands	2.3%
		ES		Spain	2.1%
		AE		United Arab Emirates	2.0%
		FR		France	1.8%
		AU		Australia	1.4%
		CZ		Czech Republic	1.2%
		DK		Denmark	1.0%
		Other		(Individually less than 1%)	2.6%
					100.0%

^		Security exempt from registration under Rule 144a of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.
		Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at March 31, 2013. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown.

Tax Basis

The cost basis of investments for federal income tax purposes at March 31, 2013 for Babson Capital Global Short Duration High Yield Fund was as follows*:

Cost of investments	$	598,272,840
Gross unrealized appreciation		18,156,521
Gross unrealized depreciation		(2,764,985	)
Net unrealized appreciation	$	15,391,536

*The above tables only reflects tax adjustments through December 31, 2012. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Funds’ most recent annual reports.

Fair Value

Fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. For example, market participants would consider the risk inherent in a particular valuation technique used to measure fair value, such as a pricing model, and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, 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)

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security in new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised is determining fair value is greatest for instruments categorized in level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The following is a summary of the inputs used as of March 31, 2013 in valuing the Fund’s investments

Description	Level 1		Level 2		Level 3		Total Investments
Assets: Fixed Income:
Bank Loans	$	-	$	118,650,238	$	-	$	118,650,238
Bonds		-		495,014,138		-		495,014,138
Total Fixed Income		-		613,664,376		-		613,664,376
Derivative Securities:
Foreign Exchange Contracts		-		5,457,727		-		5,457,727
Total Derivative Securities		-		5,457,727		-		5,457,727

Total Investments	$	-	$	619,122,103	$	-	$	619,122,103

Derivative Instruments

The following is a description of the derivative instruments that the Fund utilizes as part of its investment strategy, including the primary underlying risk exposures related to the instrument.

Forward Foreign Currency Exchange Contracts – The Fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund may use forward currency exchange contracts to hedge against changes in the value of foreign currencies. The Fund may enter into forward currency exchange contracts obligating the Fund to deliver or receive a currency at a specified future date. Forward contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time the forward contract expires. Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. The Fund considers the creditworthiness of each counterparty to a contract in evaluating potential credit risk quarterly. The Fund is also subject to credit risk with respect to the counterparties to the derivative contracts which are not cleared through a central counterparty but instead are traded over-the-counter between two counterparties. If a counterparty to an over-the-counter derivative becomes bankrupt or otherwise fails to perform its obligations under a derivative contract due to financial difficulties, the Fund may experience significant delays in obtaining any recovery under the derivative contract in a bankruptcy or other reorganization proceeding. The Fund may obtain only a limited recovery or may obtain no recovery in such circumstances. The counterparty risk for cleared derivatives is generally lower than for uncleared over-the-counter derivative transactions since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Fund. In addition, in the event of a bankruptcy of a clearing house, the Fund could experience a loss of the funds deposited with such clearing house as margin and of any profits on its open positions. The counter party risk to the Fund is limited to the net unrealized gain, in any, on the contract.

The use of forward currency exchange contracts does not eliminate fluctuations in the underlying prices of the Fund’s investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward currency exchange contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward currency exchange contract would limit the risk of loss due to a decline in the value of a particular currency; however it would also limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the amount of receivable or payable reflected on the Statement of Assets and Liabilities.

During the period from January 1, 2013 through March 31, 2013, the Fund’s direct investment in derivatives consisted of forward foreign currency exchange contracts.

The following is a summary of the fair value of derivative instruments held directly by the Fund as of March 31, 2013. These derivatives are presented in the Schedule of Investments.

Fair values of derivative instruments on the Statement of Assets and Liabilities as of March 31, 2013:

Derivatives	Statement of Assets and Liabilities Location	Fair Value
Foreign exchange contracts:
Forward Foreign Currency
Exchange Contracts	Receivables	$	5,457,727
Total		$	5,457,727

The effect of derivative instruments on the Statement of Operations for period January 1, 2013 through March 31, 2013:

Amount of Realized Gain/(Loss) on Derivatives

	Forward Currency Exchange Contracts
Derivatives	Forward Currency Exchange Contracts
Foreign exchange contracts	$	(1,585,162	)
Total	$	(1,585,162	)


Change in Unrealized Appreciation/(Depreciation) on Derivatives

	Forward Currency Exchange Contracts
Derivatives	Forward Currency Exchange Contracts
Foreign exchange contracts	$	5,457,727
Total	$	5,457,727

Item 2. Controls and Procedures.

(a)

The Registrant’s President and Chief Financial Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

(b)

There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 3. Exhibits.

Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.

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.

(Registrant)

By (Signature and Title) /s/ Russ Morrison

Russ Morrison, President and Principal Executive Officer

Date May 30, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title) /s/ Russ Morrison

Russ Morrison. President

Date May 30, 2013

By (Signature and Title) /s/ Patrick Hoefling

Patrick Hoefling, Chief Financial Officer

Date May 30, 2013