babson_nq.htm
 



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549


 
FORM N-Q
 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 


811-22562
Investment Company Act file number:


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, 2014



Date of reporting period:  September 30, 2014
 
 
 
 
 
 
Item 1. Schedule of Investments.
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2014
 
 
Effective
interest rate‡
Due date
  
Principal
    
Cost
    
Fair value
  
   
Fixed Income — 132.30%*:
  
Bank Loans — 22.13%*:
  
Broadcasting and Entertainment — 0.36%*:
  
Learfield Communications Inc.
   8.75
10/8/2021
     1,800,000     $ 1,819,154     $ 1,791,000  
Total Broadcasting and Entertainment
           1,800,000       1,819,154       1,791,000  
                               
Cargo Transport — 0.95%*:
  
Direct ChassisLink Inc.
   9.25
11/12/2019
     644,325       644,325       650,769  
Direct ChassisLink Inc.
   8.25
11/30/2021
     3,971,428       3,913,748       4,011,143  
Total Cargo Transport
           4,615,753       4,558,073       4,661,912  
                               
Chemicals, Plastics and Rubber — 0.47%*:
  
Flint Group Holdings+
   8.25
9/30/2022
     1,175,573       1,173,006       1,150,592  
Flint Group Holdings+
   8.25
5/2/2022
     1,175,573       1,173,006       1,150,592  
Total Chemicals, Plastics and Rubber
           2,351,146       2,346,012       2,301,184  
                               
Diversified/Conglomerate Manufacturing — 0.35%*:
  
Alliance Laundry Systems LLC
   9.50
12/10/2019
     1,728,930       1,711,655       1,741,897  
Total Diversified/Conglomerate Manufacturing
           1,728,930       1,711,655       1,741,897  
                               
Diversified/Conglomerate Service — 1.84%*:
  
Redprarie Corporation
   6.00
12/21/2018
     2,955,169       2,903,838       2,872,838  
Redprarie Corporation
   11.25
12/14/2019
     5,773,672       5,790,202       5,472,633  
Triple Point Technology, Inc.
   5.25
7/10/2020
     797,361       726,789       721,611  
Total Diversified/Conglomerate Service
           9,526,202       9,420,829       9,067,082  
                               
Electronics — 1.56%*:
  
Kronos, Inc.
   9.75
4/30/2020
     7,485,880       7,411,033       7,682,384  
Total Electronics
           7,485,880       7,411,033       7,682,384  
                               
Farming and Agriculture — 1.25%*:
  
Allflex Holdings, Inc.
   8.00
7/17/2021
     6,232,322       6,234,999       6,185,580  
Total Farming and Agriculture
           6,232,322       6,234,999       6,185,580  
                               
 
 
 
 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2014 (continued)
 
Finance — 1.60%*:
  
Confie Seguros Holding
   10.25
5/8/2019
     2,380,257     $ 2,354,953     $ 2,393,657  
Cunningham Lindsey Group, Inc.
   9.25
6/10/2020
     5,504,015       5,521,890       5,497,135  
Total Finance
           7,884,272       7,876,843       7,890,792  
                               
Healthcare, Education and Childcare — 0.69%*:
  
Sage Products Holdings III, LLC
   9.25
6/15/2020
     3,325,292       3,275,431       3,391,798  
Total Healthcare, Education and Childcare
           3,325,292       3,275,431       3,391,798  
                               
Mining, Steel, Iron and Non-Precious Metals — 0.92%*:
  
Boomerang Tube, LLC
   11.00
10/11/2017
     5,160,880       5,124,403       4,541,574  
Total Mining, Steel, Iron and Non-Precious Metals
           5,160,880       5,124,403       4,541,574  
                               
Oil and Gas — 10.25%*:
  
Bowie Resource Partners LLC
   6.75
8/17/2020
     247,271       247,271       246,652  
Caelus Energy Alaska
   8.75
4/2/2021
     15,863,828       15,663,654       15,625,871  
Fieldwood Energy LLC
   8.38
9/30/2020
     3,270,185       3,350,411       3,274,272  
Jonah Energy LLC
   7.50
5/12/2021
     2,451,429       2,463,750       2,420,786  
MD America Energy, LLC
   9.50
7/2/2019
     6,922,738       6,581,967       6,738,109  
NFR Energy LLC
   8.75
12/31/2018
     12,834,465       12,934,267       12,818,422  
Templar Energy
   8.50
11/25/2020
     9,700,000       9,409,119       9,396,875  
Total Oil and Gas
           51,289,916       50,650,439       50,520,987  
                               
Printing and Publishing — 0.07%*:
  
Wausau Paper Corp.
   6.50
7/22/2020
     363,998       356,802       357,628  
Total Printing and Publishing
           363,998       356,802       357,628  
                               
Retail Store — 0.59%*:
  
FleetPride
   9.25
5/19/2020
     3,000,000       2,944,828       2,927,490  
Total Retail Store
           3,000,000       2,944,828       2,927,490  
                               
Telecommunications — 1.23%*:
  
Eircom Finance Ltd+
   4.59
9/30/2017
     5,000,000       6,627,923       6,081,619  
Total Telecommunications
           5,000,000       6,627,923       6,081,619  
                               
Total Bank Loans
           109,764,591       110,358,424       109,142,927  
                               
Corporate Bonds — 110.17%*:
  
Aerospace and Defense — 1.18%*:
  
Intrepid Aviation Group Holdings#^
   6.88
2/15/2019
     5,825,000       5,825,000       5,839,563  
Total Aerospace and Defense
           5,825,000       5,825,000       5,839,563  
                               
Automobile — 7.22%*:
  
Accuride Corp#
   9.50
8/1/2018
     7,700,000       7,621,285       8,027,250  
Affinia
   7.75
5/1/2021
     3,240,000       3,333,322       3,329,100  
Allied Specialty Vehicles#^
   8.50
11/1/2019
     6,000,000       5,965,020       6,255,000  
J.B. Poindexter & Co. Inc.#^
   9.00
4/1/2022
     6,000,000       6,173,346       6,442,500  
International Automotive Components Group, S.A.^
   9.13
6/1/2018
     6,491,000       6,553,613       6,848,005  
Meritor Inc.
   7.88
3/1/2026
     2,010,000       1,992,372       2,905,706  
Tupy SA+^
   6.63
7/17/2024
     1,750,000       1,750,000       1,780,625  
Total Automobile
           33,191,000       33,388,958       35,588,186  
                               
Banking — 0.25%*:
  
Lock AS+^
   7.00
8/15/2021
     950,000       1,275,134       1,229,902  
Total Banking
           950,000       1,275,134       1,229,902  
                               
Beverage, Food and Tobacco — 1.58%*:
  
EWOS+^
   6.75
11/1/2020
     2,300,000       3,138,594       2,760,360  
Findus+^
   9.13
7/1/2018
     1,850,000       2,420,893       2,488,538  
Findus+^
   9.50
7/1/2018
     1,500,000       2,630,697       2,562,414  
Total Beverage, Food and Tobacco
           5,650,000       8,190,184       7,811,312  
                               
Broadcasting and Entertainment — 1.82%*:
  
Arqiva Finance+^
   9.50
3/31/2020
     5,000,000       7,911,926       8,957,607  
Total Broadcasting and Entertainment
           5,000,000       7,911,926       8,957,607  
                               
 
 
 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2014 (continued)
 
Buildings and Real Estate — 5.24%*:
  
Forestar Real Estate Group Inc.^
   8.50
6/1/2022
     6,591,000     $ 6,820,023     $ 6,755,775  
Keystone Financing+^
   9.50
10/15/2019
     2,650,000       4,262,488       4,208,166  
Lyon Williams Homes, Inc.#
   8.50
11/15/2020
     8,000,000       8,049,205       8,640,000  
Monier Holdings SCA+^
   5.20
10/15/2020
     100,000       138,844       127,474  
Paroc Group+^
   6.25
5/15/2020
     1,050,000       1,444,431       1,287,015  
Roofing Supply LLC#^
   10.00
6/1/2020
     4,605,000       5,003,641       4,835,250  
Total Buildings and Real Estate
           22,996,000       25,718,632       25,853,680  
                               
Cargo Transport — 2.74%*:
  
Kenan Advantage Group, Inc.#^
   8.38
12/15/2018
     8,000,000       8,000,000       8,350,000  
Moto Hospitality Limited+^
   10.25
3/15/2017
     2,000,000       3,134,694       3,444,922  
Quality Distribution Inc.
   9.88
11/1/2018
     1,632,000       1,726,144       1,713,600  
Total Cargo Transport
           11,632,000       12,860,838       13,508,522  
                               
Chemicals, Plastics and Rubber — 5.55%*:
  
Associated Asphalt Partners LLC^
   8.50
2/15/2018
     2,069,000       2,069,000       2,151,760  
Ciech Group Finance+^
   9.50
11/30/2019
     1,200,000       1,538,876       1,689,970  
Cornerstone Chemical Co.#^
   9.38
3/15/2018
     7,975,000       8,171,998       8,373,750  
LSB Industries, Inc.
   7.75
8/1/2019
     3,000,000       3,000,000       3,180,000  
Omnova Solutions, Inc.
   7.88
11/1/2018
     1,630,000       1,660,917       1,658,525  
Pinnacle Operating Corp.#^
   9.00
11/15/2020
     2,635,000       2,642,462       2,812,862  
TPC Group, Inc.#^
   8.75
12/15/2020
     7,065,000       7,140,299       7,506,562  
Total Chemicals, Plastics and Rubber
           25,574,000       26,223,552       27,373,429  
                               
Containers, Packaging and Glass — 2.19%*:
  
Innovia Group Finance+^
   5.08
3/31/2020
     750,000       1,021,099       937,820  
Multi Packaging Solutions, Inc.^
   8.50
8/15/2021
     6,105,000       6,140,690       6,318,675  
Paperworks Industries, Inc.^
   9.50
8/15/2019
     3,500,000       3,581,300       3,561,250  
Total Containers, Packaging and Glass
           10,355,000       10,743,089       10,817,745  
                               
Diversified/Conglomerate Manufacturing — 3.34%*:
  
Appvion Inc.#^
   9.00
6/1/2020
     13,200,000       13,458,431       10,906,500  
Carlisle Transportation Products^
   8.25
12/15/2019
     1,950,000       1,950,000       2,081,625  
Heat Exchangers+^
   5.38
6/15/2021
     300,000       408,886       370,581  
StoneMor Partners L.P.^
   7.88
6/1/2021
     3,000,000       2,943,191       3,090,000  
Total Diversified/Conglomerate Manufacturing
           18,450,000       18,760,508       16,448,706  
                               
Diversified/Conglomerate Service — 1.59%*:
  
Bravida+^
   6.25
6/15/2019
     4,500,000       685,636       639,454  
Carlson Travel Holdings Inc.^
   7.50
8/15/2019
     2,690,000       2,733,397       2,716,900  
Verisure Holdings+^
   6.66
9/1/2018
     3,500,000       4,475,420       4,464,906  
Total Diversified/Conglomerate Service
           10,690,000       7,894,453       7,821,260  
                               
Diversified Natural Resources, Precious Metals and Minerals — 0.93%*:
  
Lecta S.A.+^
   8.88
5/15/2019
     1,090,000       1,424,482       1,411,839  
Lecta S.A.+^
   5.70
5/15/2018
     2,600,000       3,272,231       3,177,220  
Total Diversified Natural Resources, Precious Metals and Minerals
           3,690,000       4,696,713       4,589,059  
                               
Electronics — 1.76%*:
  
International Wire Group, Inc.#^
   8.50
10/15/2017
     8,086,000       8,211,379       8,672,235  
Total Electronics
           8,086,000       8,211,379       8,672,235  
                               
Farming and Agriculture — 0.93%*:
  
Chiquita Brands International Inc.
   7.88
2/1/2021
     4,247,000       4,216,167       4,586,760  
Total Farming and Agriculture
           4,247,000       4,216,167       4,586,760  
 
 
 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2014 (continued)
 
Finance — 6.39%*:
  
Cabot Financial+^
   6.50
4/1/2021
     300,000     $ 494,821     $ 466,402  
Cabot Financial+^
   10.38
10/1/2019
     3,750,000       6,281,040       6,593,459  
First Data Corp.#
   11.25
1/15/2021
     3,896,000       3,888,500       4,436,570  
Galaxy Finco Ltd.+^
   6.38
11/15/2020
     650,000       1,053,229       1,029,505  
Galaxy Finco Ltd.+^
   7.88
11/15/2021
     3,900,000       6,352,094       6,219,705  
Lowell Group Financing PLC+^
   10.75
4/1/2019
     2,000,000       3,375,535       3,521,926  
Lowell Group Financing PLC+^
   5.88
4/1/2019
     650,000       1,083,586       1,022,129  
Marlin Financial+^
   10.50
8/1/2020
     1,350,000       2,055,045       2,445,692  
Sophia Holding Finance LP^
   9.63
12/1/2018
     1,375,000       1,361,250       1,388,750  
TMF Group Holding+^
   5.69
12/1/2018
     1,400,000       1,802,552       1,774,928  
TMF Group Holding+^
   9.88
12/1/2019
     2,000,000       2,682,729       2,627,663  
Total Finance
           21,271,000       30,430,381       31,526,729  
                               
Grocery — 0.23%*:
  
Premier Foods Finance+^
   6.50
3/15/2021
     800,000       1,328,680       1,145,822  
Total Grocery
           800,000       1,328,680       1,145,822  
                               
Healthcare, Education and Childcare — 8.28%*:
  
Crown Newco PLC+^
   8.88
2/15/2019
     6,600,000       10,917,034       11,181,000  
Elli Finance+^
   8.75
6/15/2019
     5,000,000       8,726,460       8,547,459  
HomeVi SAS+^
   6.88
8/15/2021
     1,450,000       1,941,618       1,886,375  
Prospect Medical Holdings Inc.#^
   8.38
5/1/2019
     5,000,000       5,076,193       5,368,750  
Tenet Healthcare Corporation
   8.13
4/1/2022
     3,700,000       3,700,000       4,060,750  
Unilabs+^
   7.45
7/15/2018
     2,600,000       3,586,139       3,234,689  
Unilabs+^
   8.50
7/15/2018
     2,450,000       3,208,158       3,068,186  
Valeant+^
   7.50
7/15/2021
     3,260,000       3,260,000       3,488,200  
Total Healthcare, Education and Childcare
           30,060,000       40,415,602       40,835,409  
                               
Hotels, Motels, Inns and Gaming — 0.70%*:
  
Gala Group Finance+
   8.88
9/1/2018
     2,025,000       3,264,942       3,430,534  
Total Hotels, Motels, Inns and Gaming
           2,025,000       3,264,942       3,430,534  
                               
Insurance — 1.83%*:
  
Hastings Insurance Group+^
   8.00
10/21/2020
     3,550,000       5,724,529       6,014,944  
Onex York Acquisition Corp.^
   8.50
10/1/2022
     2,546,000       2,546,000       2,530,087  
Towergate Finance PLC+^
   8.50
2/15/2018
     300,000       468,172       462,025  
Total Insurance
           6,396,000       8,738,701       9,007,056  
                               
Leisure, Amusement, Motion Pictures and Entertainment — 2.05%*:
  
Palace Entertainment Holdings^
   8.88
4/15/2017
     4,324,000       4,448,342       4,475,340  
Travelex+^
   8.00
8/1/2018
     2,800,000       4,352,545       4,743,636  
Vue Cinimas+^
   7.88
7/15/2020
     550,000       835,727       895,862  
Total Leisure, Amusement, Motion Pictures and Entertainment
           7,674,000       9,636,614       10,114,838  
                               
Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 3.81%*:
  
Cleaver-Brooks, Inc.^
   8.75
12/15/2019
     4,740,000       4,854,410       5,131,050  
KM Germany Holding+^
   8.75
12/15/2020
     1,450,000       1,876,585       2,000,840  
Milacron LLC#^
   8.38
5/15/2019
     4,640,000       4,739,500       4,988,000  
Xerium Technologies#
   8.88
6/15/2018
     6,324,000       6,365,254       6,671,820  
Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic)
           17,154,000       17,835,749       18,791,710  
                               
 
 
 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2014 (continued)
 
Mining, Steel, Iron and Non-Precious Metals — 3.55%*:
  
Barminco Finance Pty Ltd.+^
   9.00
6/1/2018
     6,000,000     $ 5,945,653     $ 5,190,000  
First Quantum Minerals Ltd.+^
   7.25
5/15/2022
     1,300,000       1,300,000       1,329,250  
Hecla Mining Company#
   6.88
5/1/2021
     4,388,000       4,356,250       4,124,720  
Murray Energy Corp^
   8.63
6/15/2021
     1,050,000       1,099,625       1,086,750  
Murray Energy Corp^
   9.50
12/5/2020
     2,492,000       2,738,341       2,741,200  
Westmoreland Escrow Corp.
   10.75
2/1/2018
     2,870,000       3,040,272       3,013,500  
Total Mining, Steel, Iron and Non-Precious Metals
           18,100,000       18,480,141       17,485,420  
                               
Oil and Gas — 29.12%*:
  
American Energy - Woodford, LLC^
   9.00
9/15/2022
     4,350,000       4,172,323       4,034,625  
Calumet Specialty Products
   7.63
1/15/2022
     1,135,000       1,117,907       1,152,025  
Calumet Specialty Products^
   6.50
4/15/2021
     6,000,000       6,000,000       5,700,000  
CHC Helicopter+
   9.25
10/15/2020
     2,358,000       2,404,069       2,511,270  
CHC Helicopter#
   9.38
6/1/2021
     5,000,000       5,095,615       5,275,000  
Era Group Inc.#
   7.75
12/15/2022
     6,019,000       5,985,993       6,319,950  
Ferrellgas Partners LP#
   8.63
6/15/2020
     7,135,000       7,015,444       7,420,400  
Halcon Resources Corporation
   9.75
7/15/2020
     4,300,000       4,433,463       4,375,250  
Halcon Resources Corporation
   8.88
5/15/2021
     2,316,000       2,338,002       2,281,260  
Headwaters, Inc.
   7.63
4/1/2019
     3,000,000       3,101,567       3,127,500  
Hercules Offshore, Inc.#^
   10.25
4/1/2019
     6,865,000       7,149,525       6,538,913  
Jupiter Resources Inc.+^
   8.50
10/1/2022
     14,325,000       13,657,080       12,713,438  
Kosmos Energy Ltd.+^
   7.88
8/1/2021
     1,222,000       1,245,360       1,234,220  
Linn Energy, LLC#
   8.63
4/15/2020
     7,873,000       8,070,436       8,138,714  
Midstates Petroleum Company Inc.#
   10.75
10/1/2020
     8,800,000       9,294,603       9,130,000  
Midstates Petroleum Company Inc.#
   9.25
6/1/2021
     8,065,000       8,108,602       7,944,025  
Millennium Offshore+^
   9.50
2/15/2018
     6,000,000       6,000,000       6,360,000  
Niska Gas Storage+^
   6.50
4/1/2019
     7,850,000       7,747,533       6,868,750  
Pbf Holding Company LLC#
   8.25
2/15/2020
     6,000,000       6,238,091       6,285,000  
Penn Virginia Corp
   8.50
5/1/2020
     4,000,000       4,000,000       4,200,000  
Resolute Energy Corp.#
   8.50
5/1/2020
     7,285,000       7,418,965       7,303,212  
RKI Exploration and Production, LLC#^
   8.50
8/1/2021
     5,405,000       5,440,644       5,580,662  
Shelf Drilling Holdings Ltd+#^
   8.63
11/1/2018
     6,000,000       6,062,752       6,300,000  
Topaz Marine SA+^
   8.63
11/1/2018
     6,877,000       6,919,497       7,119,070  
Welltec+^
   8.00
2/1/2019
     5,500,000       5,686,595       5,692,500  
Total Oil and Gas
           143,680,000       144,704,066       143,605,784  
                               
Personal, Food and Miscellaneous — 3.49%*:
  
Brake Brothers Acquisition PLC+^
   7.13
12/15/2018
     5,000,000       8,312,417       7,781,470  
Cerved Holding Spa+^
   8.00
1/15/2021
     2,700,000       3,611,473       3,734,228  
Pizza Express+^
   6.63
8/1/2021
     1,350,000       2,293,227       2,129,448  
Teamsystem S.P.A.+^
   7.38
5/15/2020
     2,680,000       3,548,696       3,537,317  
Total Personal, Food and Miscellaneous
           11,730,000       17,765,813       17,182,463  
 
 
 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2014 (continued)
 
Printing and Publishing — 0.85%*:
  
R.R. Donnelley & Sons Company
   7.88
3/15/2021
     2,570,000     $ 2,557,150     $ 2,820,575  
Zebra Technologies Corp.^
   7.25
10/15/2022
     1,359,000       1,359,000       1,359,000  
Total Printing and Publishing
           3,929,000       3,916,150       4,179,575  
                               
Retail Store — 7.52%*:
  
Boing Group Finance+^
   6.63
7/15/2019
     3,050,000       4,169,309       3,563,399  
Brighthouse Group PLC+^
   7.88
5/15/2018
     2,000,000       3,114,028       3,210,505  
GRD Holding Corp.^
   10.75
6/1/2019
     3,150,000       3,215,236       3,472,875  
HD Supply, Inc.#
   11.50
7/15/2020
     5,000,000       5,252,518       5,762,500  
House Fraser PLC+^
   8.88
8/15/2018
     4,000,000       6,489,301       6,873,632  
HSS Financing PLC+^
   6.75
8/1/2019
     450,000       744,885       749,574  
New Look Retail Group Limited+^
   8.75
5/14/2018
     5,000,000       7,714,669       8,450,190  
Pantry, Inc
   8.38
8/1/2020
     875,000       904,127       914,375  
Takko Fashion+^
   9.88
4/15/2019
     3,800,000       4,986,152       4,103,672  
Total Retail Store
           27,325,000       36,590,225       37,100,722  
                               
Telecommunications — 4.60%*:
  
Altice S.A.+^
   7.75
5/15/2022
     3,240,000       3,240,000       3,345,300  
Digicel Group Ltd+^
   7.13
4/1/2022
     2,000,000       2,000,000       1,996,000  
Eircom Finance Ltd+^
   9.25
5/15/2020
     1,450,000       2,147,227       1,982,526  
Manutencoop Facility Management+^
   8.50
8/1/2020
     2,840,000       3,851,251       3,524,308  
Norcell Sweden+^
   9.25
9/29/2018
     19,500,000       3,190,050       2,891,761  
Numericable Group+^
   5.38
5/15/2022
     700,000       967,158       913,599  
Numericable Group+
   5.63
5/15/2024
     950,000       1,312,572       1,237,605  
Numericable Group+^
   6.00
5/15/2022
     1,280,000       1,280,000       1,289,600  
Numericable Group+^
   6.25
5/15/2024
     690,000       690,000       688,275  
Sprint Nextel Corporation^
   7.25
9/15/2021
     2,650,000       2,650,000       2,759,312  
UPC Broadband+^
   6.75
3/15/2023
     430,000       454,017       492,066  
Wind Acquisition+^
   7.00
4/23/2021
     1,200,000       1,655,698       1,561,896  
Total Telecommunications
           36,930,000       23,437,973       22,682,248  
                               
Textiles & Leather — 1.43%*:
  
Perry Ellis International Inc#
   7.88
4/1/2019
     7,000,000       7,224,167       7,070,000  
Total Textiles & Leather
           7,000,000       7,224,167       7,070,000  
   
Total Corporate Bonds
           500,410,000       539,685,737       543,256,276  
                               
Total Fixed Income
           610,174,591       650,044,161       652,399,203  
                               
Other assets and liabilities — (32.30)%
       (159,266,991 )
Net Assets — 100%
     $ 493,132,212  
                               
 
 
 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2014 (continued)
 
‡
The effective interest rates are based on settled commitment amount.
*
Calculated as a percentage of net assets applicable to common shareholders.
+
Foreign security.
#
All or a portion of the security is segregated as collateral for the credit facility.  See Note 8 to the financial statements for further disclosure.
 
Distributions of investments by country of issue (excluding temporary cash investments) as a percentage of total investment in securities, is as follows:
 
 
United States
     62.4 %  
 
United Kingdom
     17.3 %  
 
Canada
     3.9 %  
 
Sweden
     2.2 %  
 
United Arab Emirates
     1.9 %  
 
Italy
     1.9 %  
 
France
     1.4 %  
 
Germany
     1.4 %  
 
Ireland
     1.2 %  
 
Azerbaijan
     1.1 %  
 
(Individually less than 1%)
     5.2 %  
        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 September 30, 2014. 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.
 
 
 
 
 
 
FORWARD FOREIGN EXCHANGE CONTRACTS at September 30, 2014 (Unaudited)
        
                         
Counterparty
Currency
Contract Type
Delivery Date
  
Value
    
Aggregate Face
Value
    
Unrealized Appreciation / (Depreciation)
  
J.P. Morgan
                        
Swedish krona
Buy
10/15/2014
   $ 9,957     $ 9,839     $ (118 )
Swedish krona
Sell
10/15/2014
     (3,754,843 )     (3,702,576 )     52,267  
Swiss francs
Buy
10/15/2014
     36,392       35,618       (774 )
British pounds
Buy
10/15/2014
     22,737       22,693       (44 )
British pounds
Sell
10/15/2014
     (106,095,614 )     (106,687,946 )     (592,332 )
Euros
Sell
10/15/2014
     (74,382,489 )     (72,722,194 )     1,660,295  
U.S. Dollars
Buy
10/15/2014
     184,232,946       184,232,946       -  
U.S. Dollars
Sell
10/15/2014
     (69,086 )     (69,086 )     -  
            -       1,119,294       1,119,294  
                               
Morgan Stanley
                            
Swedish krona
Buy
10/15/2014
   $ 17,279     $ 17,045     $ (234 )
British pounds
Buy
10/15/2014
     208,930       207,479       (1,451 )
Euros
Buy
10/15/2014
     5,236,087       5,234,447       (1,640 )
Euros
Sell
10/2/2014
     (5,199,379 )     (5,198,640 )     739  
Swiss francs
Buy
10/15/2014
     695,342       694,231       (1,111 )
Swiss francs
Sell
10/2/2014
     (658,908 )     (658,549 )     359  
Swiss francs
Sell
10/15/2014
     (1,258,586 )     (1,231,700 )     26,886  
U.S. Dollars
Buy
10/2/2014
     5,858,287       5,858,287       -  
U.S. Dollars
Buy
10/15/2014
     1,258,586       1,258,586       -  
U.S. Dollars
Sell
10/15/2014
     (6,157,638 )     (6,157,638 )     -  
            -       23,548       23,548  
                               
            -       1,142,842       1,142,842  
                               
 
 
 
 
 
 
Tax Basis

The cost basis of investments for federal income tax purposes at September 30, 2014 for Babson Capital Global Short Duration High Yield Fund (the “Fund”) was as follows*:
 
Cost of investments   $ 650,040,647    
Gross unrealized appreciation     18,208,571    
Gross unrealized depreciation     (15,850,015 )  
Net unrealized appreciation   $ 2,358,556    

*The above table only reflects tax adjustments through December 31, 2013.  For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report.
 

Fair Value
 
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.  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 is 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 September 30, 2014 in valuing the Fund’s investments
 
 
Description             
  
Level 1
    
Level 2
    
Level 3
    
Total
Investments
  
Assets:
Fixed Income:
                        
   Bank Loans
   $ -     $  104,481,015     $ 4,661,912     $ 109,142,927  
   Bonds
     -      
    543,256,273
       -       543,256,273  
Total Fixed Income
     -      
    647,737,288
       4,661,912       652,399,200  
Derivative Securities:
                                
   Foreign Exchange Contracts
     -      
            1,142,8422
       -       1,142,842  
Total Derivative Securities
     -      
            1,142,8422
       -       1,142,842  
                                 
Total Investments
   $ -     $ 648,880,130     $ 4,661,912     $ 653,542,042  
 
 
 
The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of September 30, 2014.

Type of Assets
  
Fair value as of September 30, 2014
  
Valuation
Techniques(s)
Unobservable
Input
  
Range (Weighted Average)
  
                 
Bank Loan
        
 
Direct ChassisLink, Inc.
   $ 4,011,143  
 
Market Comparables
 
Forward EBITA Multiple
    
5.25x – 8.25x
(6.75x)
  
Direct ChassisLink, Inc.
   $ 650,769  
Market Comparables
Forward EBITA Multiple
    
5.25x – 8.25x
(6.75x)
  
 
The Fund discloses transfers between levels based on valuations at the end of the reporting period. There were no transfers between Levels 1, 2, or 3 for the period from January 1, 2014 through September 30, 2014. The following is a reconciliation of Level 3 investments based upon the inputs used to determine fair value:
 

 
 
 
 
 
 
   
Balance as of December 31, 2013
    
Purchases
    
Sales
    
Accretion of Discount
    
Net
Realized
Gain
(Loss)
    
Change in Unrealized Appreciation / Depreciation
    
Balance as of September 30, 2014
    
Change in Unrealized Appreciation / Depreciation from Investments Held as of September 30, 2014
  
Fixed Income
                                                
Bank Loan
   $ 4,000,000     $ 645,940     $ (30,186 )   $ 1,481     $ 418     $ 44,259     $ 4,661,912     $ 44,259  
 
 
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 Exchange Contracts – The Fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives.  The Fund transacted in and currently holds forward foreign exchange contracts to hedge against changes in the value of foreign currencies.  The Fund entered into forward foreign exchange contracts obligating the Fund to deliver or receive a currency at a specified future date.  Forward foreign exchange 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 counterparty risk to the Fund is limited to the net unrealized gain, if any, on the contract.
 
The use of forward foreign 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 foreign exchange contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign 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.
 
 
 
 
 
 
The Fund recognized a liability on the Statement of Assets and Liabilities as a result of forward foreign exchange contracts with Morgan Stanley and J.P. Morgan.  The Fund’s policy is to recognize an asset equal to the net value of all forward foreign exchange contracts with an unrealized gain and a liability equal to the net value of all forward foreign exchange contracts with an unrealized loss.  The Fund has recognized an asset of $1,142,842 in net unrealized appreciation on forward foreign exchange contracts.
 
During the period from January 1, 2014 through September 30, 2014, the Fund’s direct investment in derivatives consisted of forward foreign exchange contracts.
 
The following is a summary of the fair value of derivative instruments held directly by the Fund as of September 30, 2014.  These derivatives are presented in the Schedule of Investments.
 
  Fair values of derivative instruments as of September 30, 2014:
 
Derivatives   Statement of Assets and Liabilities Location   Fair Value    
Foreign exchange contracts:            
  Forward Foreign            
    Exchange Contracts  
Receivables
 $ 1,142,842    
Total
       1,142,842    
 
 
The effect of derivative instruments on the Statement of Operations for the period from January 1, 2014 through September 30, 2014:
 
Amount of Realized Gain/(Loss) on Derivatives

Derivatives  
Forward  Foreign Exchange Contracts
    
Forward Foreign Exchange Contracts
  $ 4,318,258    
Total
  $ 4,318,258    
 
Change in Unrealized Appreciation/(Depreciation) on Derivatives
 
Derivatives  
Forward Currency Exchange Contracts
    
Forward Foreign Exchange Contracts
  $ 4,317,919    
Total
  $ 4,317,919    
 
 
 
 
 
 
Offsetting of Financial and Derivative Assets and Liabilities
 
   
Forward Foreign Exchange Contracts
    
Assets:
        
    Forward foreign exchange contracts*
   $ 187,598,908    
Liabilities:
          
    Forward foreign exchange contracts *
     186,456,066    
Total Financial and Derivative Net Liabilities
   $ 1,142,842    
* Covered by master netting agreements.
 
          
 
 
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)       Babson Capital Global Short Duration High Yield Fund          

 
By (Signature and Title)  /s/ Russell D. Morrison                                                 
                                                  Russell D. Morrison, President

Date    November 25, 2014                                                                                         

 
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/ Russell D. Morrison                                                 
                                                  Russell D. Morrison, President

Date    November 25, 2014                                                                                         
 
 
By (Signature and Title)  /s/ Patrick Hoefling                                                        
                                                  Patrick Hoefling, Chief Financial Officer

Date    November 25, 2014