N-Q 1 babson_nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS 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
 



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, 2015



Date of reporting period:  September 30, 2015

 
 

 
 
Item 1. Schedule of Investments
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2015 (Unaudited)
 
         
EFFECTIVE INTEREST RATE‡
 
DUE DATE
 
PRINCIPAL
 
COST
 
FAIR VALUE
 
Fixed Income — 129.62%*:
Bank Loans§ — 20.36%*:
 
Broadcasting and Entertainment — 0.44%*:
 
Learfield Communications Inc.
8.75
 
10/8/2021
 
1,800,000
$
1,814,621
$
1,786,500
 
Total Broadcasting and Entertainment
       
1,800,000
 
1,814,621
 
1,786,500
                             
 
Cargo Transport — 1.11%*:
 
Direct ChassisLink Inc. (add on facility)
8.25
 
11/12/2019
 
637,866
 
637,866
 
626,703
 
Direct ChassisLink Inc.
8.25
 
11/12/2019
 
3,933,333
 
3,876,206
 
3,864,500
 
Total Cargo Transport
       
4,571,199
 
4,514,072
 
4,491,203
                             
 
Chemicals, Plastics and Rubber — 0.84%*:
 
Flint Group Holdings+
8.25
 
9/30/2022
 
3,451,145
 
3,436,877
 
3,390,750
 
Total Chemicals, Plastics and Rubber
       
3,451,145
 
3,436,877
 
3,390,750
                             
 
Diversified/Conglomerate Service — 1.62%*:
 
Redprarie Corporation
6.00
 
12/21/2018
 
2,925,394
 
2,885,195
 
2,596,287
 
Redprarie Corporation
11.25
 
12/14/2019
 
4,632,646
 
4,658,363
 
3,979,443
 
Total Diversified/Conglomerate Service
       
7,558,040
 
7,543,558
 
6,575,730
                             
 
Diversified Natural Resources, Precious Metals and Minerals — 1.31%*:
 
Caraustar Industries Inc.
8.00
 
5/1/2019
 
5,305,327
 
5,324,214
 
5,284,106
 
Total Diversified Natural Resources, Precious Metals and Minerals
       
5,305,327
 
5,324,214
 
5,284,106
                             
 
Electronics — 1.88%*:
 
Kronos, Inc.
9.75
 
4/30/2020
 
7,485,880
 
7,411,033
 
7,612,241
 
Total Electronics
       
7,485,880
 
7,411,033
 
7,612,241
                             
 
Farming and Agriculture — 1.51%*:
 
Allflex Holdings, Inc.
8.00
 
7/19/2021
 
6,232,322
 
6,230,328
 
6,131,047
 
Total Farming and Agriculture
       
6,232,322
 
6,230,328
 
6,131,047
                             

 
 
 
 
 
 

 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2015 (continued)
 
 
Finance — 1.02%*:
 
Cunningham Lindsey Group, Inc.
9.25
 
6/10/2020
 
5,504,015
$
5,514,053
$
4,128,011
 
Total Finance
       
5,504,015
 
5,514,053
 
4,128,011
                             
 
Healthcare, Education and Childcare — 0.75%*:
 
Sage Products Holdings III, LLC
9.25
 
6/15/2020
 
3,011,585
 
2,966,428
 
3,016,614
 
Total Healthcare, Education and Childcare
       
3,011,585
 
2,966,428
 
3,016,614
                             
 
Leisure, Amusement, Motion Pictures and Entertainment — 0.19%*:
 
Exterion Media+
7.00
 
3/30/2018
 
700,000
 
772,618
 
782,184
 
Total Leisure, Amusement, Motion Pictures and Entertainment
       
700,000
 
772,618
 
782,184
                           
 
 
Mining, Steel, Iron and Non-Precious Metals — 1.11%*:
 
Boomerang Tube, LLC
11.19
 
12/31/2015
 
1,609,355
 
1,597,428
 
1,609,355
 
Boomerang Tube, LLC>
11.75
 
10/11/2017
 
5,089,201
 
5,056,255
 
2,544,601
 
Murray Energy Corp.
7.50
 
4/9/2020
 
449,201
 
436,511
 
348,005
 
Total Mining, Steel, Iron and Non-Precious Metals
       
7,147,757
 
7,090,194
 
4,501,961
                             
 
Oil and Gas — 7.07%*:
 
Caelus Energy Alaska
8.75
 
4/2/2021
 
17,863,828
 
17,333,106
 
12,593,999
 
Fieldwood Energy LLC
8.38
 
9/30/2020
 
16,407,298
 
12,427,780
 
4,512,007
 
Jonah Energy LLC
7.50
 
5/12/2021
 
1,963,216
 
1,978,504
 
1,570,573
 
MD America Energy, LLC
9.50
 
7/2/2019
 
6,922,738
 
6,632,317
 
6,230,465
 
NFR Energy LLC>
8.75
 
12/31/2018
 
7,684,465
 
7,774,974
 
1,287,148
 
Templar Energy
8.50
 
9/30/2021
 
5,580,408
 
5,429,793
 
2,464,699
 
Total Oil and Gas
       
56,421,953
 
51,576,474
 
28,658,891
                             
 
Printing and Publishing — 0.80%*:
 
Springer+
8.00
 
8/14/2021
 
2,850,000
 
3,271,891
 
3,256,260
 
Total Printing and Publishing
       
2,850,000
 
3,271,891
 
3,256,260
                             
 
Retail Store — 0.71%*:
 
FleetPride
9.25
 
5/19/2020
 
3,000,000
 
2,951,779
 
2,880,000
 
Total Retail Store
       
3,000,000
 
2,951,779
 
2,880,000
                             
 
Total Bank Loans
       
115,039,223
 
110,418,140
 
82,495,498
                             
Corporate Bonds — 109.26%*:
 
Aerospace and Defense — 1.37%*:
 
CPI International Inc.#
8.75
   
2/15/2018
 
5,550,000
 
5,670,012
 
5,536,125
 
Total Aerospace and Defense
       
5,550,000
 
5,670,012
 
5,536,125
                             
 
Automobile — 9.34%*:
 
Accuride Corp#
9.50
 
8/1/2018
 
11,210,000
 
11,283,435
 
11,266,050
 
Affinia#
7.75
 
5/1/2021
 
3,240,000
 
3,321,984
 
3,402,000
 
Allied Specialty Vehicles#^
8.50
 
11/1/2019
 
6,000,000
 
5,965,020
 
6,240,000
 
J.B. Poindexter & Co. Inc.#^
9.00
 
4/1/2022
 
8,235,000
 
8,579,676
 
8,667,338
 
International Automotive Components Group, S.A.#^
9.13
 
6/1/2018
 
8,125,000
 
8,219,114
 
8,246,875
 
Total Automobile
       
36,810,000
 
37,369,229
 
37,822,263
                             
 
Banking — 0.59%*:
 
Lock AS+^
7.00
 
8/15/2021
 
2,050,000
 
2,664,670
 
2,394,129
 
Total Banking
       
2,050,000
 
2,664,670
 
2,394,129
                             
 
Beverage, Food and Tobacco — 2.56%*:
 
Boparan Finance PLC+^
5.50
 
7/15/2021
 
650,000
 
936,064
 
860,865
 
EWOS+^
6.75
 
11/1/2020
 
2,000,000
 
2,730,090
 
2,391,249
 
Findus+^
9.13
 
7/1/2018
 
1,850,000
 
2,420,260
 
2,150,096
 
Findus+^
9.50
 
7/1/2018
 
1,500,000
 
2,589,481
 
2,376,900
 
Pizza Express+^
6.63
 
8/1/2021
 
1,700,000
 
2,857,058
 
2,599,962
 
Total Beverage, Food and Tobacco
       
7,700,000
 
11,532,953
 
10,379,072
                             
 
Broadcasting and Entertainment — 2.97%*:
 
Arqiva Finance#+^
9.50
 
3/31/2020
 
5,000,000
 
7,877,774
 
8,172,604
 
RCN Cable#^
8.50
 
8/15/2020
 
3,733,000
 
3,846,401
 
3,854,323
 
Total Broadcasting and Entertainment
       
8,733,000
 
11,724,175
 
12,026,927
                             

 

 
 
 

 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2015 (continued)
 
 
Buildings and Real Estate — 5.63%*:
 
Forestar Real Estate Group Inc.#^
8.50
 
6/1/2022
 
6,591,000
$
6,798,314
$
6,821,685
 
Keystone Financing+^
9.50
 
10/15/2019
 
3,900,000
 
6,222,072
 
6,253,687
 
Lyon Williams Homes, Inc.#
8.50
 
11/15/2020
 
8,000,000
 
8,042,722
 
8,580,000
 
Paroc Group+^
6.25
 
5/15/2020
 
1,050,000
 
1,444,431
 
1,141,011
 
Total Buildings and Real Estate
       
19,541,000
 
22,507,539
 
22,796,383
                             
 
Cargo Transport — 3.63%*:
 
Kenan Advantage Group, Inc.^
7.88
 
7/31/2023
 
7,000,000
 
7,000,000
 
7,105,000
 
Moto Hospitality Limited+^
6.38
 
9/1/2020
 
2,400,000
 
3,584,497
 
3,674,518
 
World Flight Services, Inc.+^
9.50
 
7/15/2022
 
1,250,000
 
1,417,941
 
1,410,725
 
XPO Logistics, Inc.^
6.50
 
6/15/2022
 
3,000,000
 
3,000,000
 
2,536,875
 
Total Cargo Transport
       
13,650,000
 
15,002,438
 
14,727,118
                             
 
Chemicals, Plastics and Rubber — 9.18%*:
 
Associated Asphalt Partners LLC#^
8.50
 
2/15/2018
 
1,839,000
 
1,839,000
 
1,802,220
 
Chemours Co.#^
7.00
 
5/15/2025
 
5,962,000
 
5,488,087
 
3,920,015
 
Ciech Group Finance#+^
9.50
 
11/30/2019
 
2,100,000
 
2,790,141
 
2,515,973
 
Consolidated Energy Finance S.A.#+^
6.75
 
10/15/2019
 
4,630,000
 
4,535,842
 
4,375,350
 
Cornerstone Chemical Co.#^
9.38
 
3/15/2018
 
4,725,000
 
4,822,236
 
4,914,000
 
LSB Industries, Inc.#
7.75
 
8/1/2019
 
4,000,000
 
3,987,684
 
3,795,000
 
Omnova Solutions, Inc.#
7.88
 
11/1/2018
 
4,154,000
 
4,242,606
 
4,112,460
 
Pinnacle Operating Corp.#^
9.00
 
11/15/2020
 
2,635,000
 
2,641,488
 
2,555,950
 
TPC Group, Inc.#^
8.75
 
12/15/2020
 
8,398,000
 
8,413,825
 
7,180,290
 
Univar USA Inc.^
6.75
 
7/15/2023
 
2,172,000
 
2,172,000
 
2,014,530
 
Total Chemicals, Plastics and Rubber
       
40,615,000
 
40,932,909
 
37,185,788
                             
 
Containers, Packaging and Glass — 5.39%*:
 
Coveris Holdings S.A.#^
7.88
 
11/1/2019
 
7,600,000
 
7,655,001
 
7,201,000
 
Horizon Holdings+^
7.25
 
8/1/2023
 
3,750,000
 
4,116,582
 
4,199,993
 
Multi Packaging Solutions, Inc.#^
8.50
 
8/15/2021
 
6,105,000
 
6,132,568
 
6,333,938
 
Onex Wizard Acquisition Co+^
7.75
 
2/15/2023
 
3,600,000
 
4,134,082
 
4,123,228
 
Total Containers, Packaging and Glass
       
21,055,000
 
22,038,233
 
21,858,159
                             
 
Diversified/Conglomerate Manufacturing — 3.43%*:
 
Appvion Inc.#^
9.00
 
6/1/2020
 
13,200,000
 
13,416,714
 
6,600,000
 
Carlisle Transportation Products#^
8.25
 
12/15/2019
 
3,950,000
 
4,042,079
 
4,196,875
 
StoneMor Partners L.P.#
7.88
 
6/1/2021
 
3,000,000
 
2,944,274
 
3,082,500
 
Total Diversified/Conglomerate Manufacturing
       
20,150,000
 
20,403,067
 
13,879,375
                             
 
Diversified/Conglomerate Service — 1.64%*:
 
Carlson Travel Holdings Inc.#^
7.50
 
8/15/2019
 
2,690,000
 
2,725,787
 
2,696,725
 
Verisure Holdings#+^
6.47
 
9/1/2018
 
3,500,000
 
4,474,946
 
3,944,163
 
Total Diversified/Conglomerate Service
       
6,190,000
 
7,200,733
 
6,640,888
                             
 
Diversified Natural Resources, Precious Metals and Minerals — 0.83%*:
 
Lecta S.A.#+^
8.88
 
5/15/2019
 
1,090,000
 
1,418,992
 
1,291,660
 
Lecta S.A.#+^
5.49
 
5/15/2018
 
1,900,000
 
2,396,577
 
2,081,841
 
Total Diversified Natural Resources, Precious Metals and Minerals
       
2,990,000
 
3,815,569
 
3,373,501
                             
 
Electronics — 2.02%*:
 
International Wire Group, Inc.#^
8.50
 
10/15/2017
 
8,086,000
 
8,173,310
 
8,166,860
 
Total Electronics
       
8,086,000
 
8,173,310
 
8,166,860
                             
 
Farming and Agriculture — 0.42%*:
 
Chiquita Brands International Inc.#
7.88
 
2/1/2021
 
1,602,000
 
1,590,369
 
1,702,125
 
Total Farming and Agriculture
       
1,602,000
 
1,590,369
 
1,702,125

 
 
 
 
 
 
 

 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2015 (continued)
 
 
 
Finance — 10.15%*:
 
Cabot Financial+^
6.50
   
4/1/2021
 
300,000
$
494,821
$
443,476
 
Cabot Financial#+^
10.38
 
10/1/2019
 
3,750,000
 
6,241,683
 
6,091,048
 
Equiniti Newco+^
7.13
 
12/15/2018
 
1,700,000
 
2,668,927
 
2,623,614
 
First Data Corp.#
11.25
 
1/15/2021
 
3,896,000
 
3,888,500
 
4,256,380
 
Galaxy Bidco Ltd.+^
6.38
 
11/15/2020
 
650,000
 
1,053,229
 
987,217
 
Galaxy Finco Ltd.+^
7.88
 
11/15/2021
 
3,900,000
 
6,351,890
 
5,811,209
 
Lowell Group Financing PLC#+^
10.75
 
4/1/2019
 
3,000,000
 
5,080,432
 
4,880,871
 
Lowell Group Financing PLC+^
5.88
   
4/1/2019
 
650,000
 
1,083,586
 
991,642
 
Marlin Financial+^
10.50
 
8/1/2020
 
1,850,000
 
2,939,147
 
3,078,436
 
National Financial Partners Corp.^
9.00
 
7/15/2021
 
1,720,000
 
1,711,400
 
1,659,800
 
TMF Group Holding+^
9.88
 
12/1/2019
 
5,000,000
 
6,261,653
 
5,923,145
 
Travelex+^
8.00
 
8/1/2018
 
2,800,000
 
4,347,230
 
4,383,935
 
Total Finance
       
29,216,000
 
42,122,498
 
41,130,773
                             
 
Grocery — 1.02%*:
 
Post Holdings^
7.75
 
3/15/2024
 
1,882,000
 
1,882,000
 
1,929,050
 
Post Holdings^
8.00
 
7/15/2025
 
1,232,000
 
1,232,000
 
1,268,960
 
Premier Foods Finance+^
6.50
 
3/15/2021
 
700,000
 
1,163,161
 
944,579
 
Total Grocery
       
3,814,000
 
4,277,161
 
4,142,589
                             
 
Healthcare, Education and Childcare — 10.46%*:
 
Cerba+^
8.25
 
2/1/2020
 
3,450,000
 
3,896,434
 
3,883,963
 
Cognita Financing+^
7.75
 
8/15/2021
 
1,900,000
 
2,967,127
 
2,917,328
 
Crown Newco PLC#+^
8.88
 
2/15/2019
 
6,600,000
 
10,867,589
 
10,308,600
 
Ephios Bondco PLC+^
6.25
 
7/1/2022
 
250,000
 
290,926
 
278,932
 
HomeVi SAS+^
6.88
 
8/15/2021
 
1,200,000
 
1,606,856
 
1,382,790
 
Kindred Healthcare, Inc.#^
8.75
 
1/15/2023
 
3,199,000
 
3,199,000
 
3,466,916
 
Prospect Medical Holdings Inc.#^
8.38
 
5/1/2019
 
5,000,000
 
5,061,814
 
5,225,000
 
Tenet Healthcare Corporation#
8.13
 
4/1/2022
 
3,700,000
 
3,700,000
 
3,932,730
 
Unilabs+^
7.25
 
7/15/2018
 
2,600,000
 
3,580,226
 
2,874,750
 
Unilabs+^
8.50
 
7/15/2018
 
2,450,000
 
3,205,638
 
2,833,462
 
Valeant^
6.13
 
4/15/2025
 
2,006,000
 
2,006,000
 
1,910,715
 
Valeant#+^
7.50
 
7/15/2021
 
3,260,000
 
3,260,000
 
3,357,800
 
Total Healthcare, Education and Childcare
       
35,615,000
 
43,641,610
 
42,372,986
                             
 
Hotels, Motels, Inns and Gaming — 0.79%*:
 
Gala Group Finance#+^
8.88
 
9/1/2018
 
2,025,000
 
3,254,289
 
3,204,221
 
Total Hotels, Motels, Inns and Gaming
       
2,025,000
 
3,254,289
 
3,204,221
                             
 
Insurance — 2.92%*:
 
Hastings Insurance Group+^
8.00
 
10/21/2020
 
3,550,000
 
5,718,312
 
5,724,680
 
Onex York Acquisition Corp.#^
8.50
 
10/1/2022
 
3,524,000
 
3,524,000
 
2,995,400
 
Towergate Finance PLC+^
8.50
 
3/2/2020
 
66,825
 
100,361
 
105,264
 
Towergate Finance PLC+^
8.75
 
4/2/2020
 
2,165,054
 
3,550,797
 
3,004,972
 
Total Insurance
       
9,305,879
 
12,893,470
 
11,830,316
                             
 
Leisure, Amusement, Motion Pictures and Entertainment — 3.45%*:
 
CPUK Finance Ltd+^
7.00
 
2/28/2042
 
2,100,000
 
3,277,154
 
3,176,764
 
Odeon & UCI Finco+^
9.00
 
8/1/2018
 
500,000
 
795,967
 
780,765
 
Palace Entertainment Holdings#^
8.88
 
4/15/2017
 
4,324,000
 
4,402,134
 
4,259,140
 
Vue Cinimas+^
7.88
 
7/15/2020
 
3,650,000
 
5,858,331
 
5,763,251
 
Total Leisure, Amusement, Motion Pictures and Entertainment
       
10,574,000
 
14,333,586
 
13,979,920
                             
 
Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 1.92%*:
 
KM Germany Holding#+^
8.75
 
12/15/2020
 
1,160,000
 
1,501,268
 
1,380,391
 
Xerium Technologies#
8.88
 
6/15/2018
 
6,324,000
 
6,354,467
 
6,418,860
 
Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic)
       
7,484,000
 
7,855,735
 
7,799,251
                             

 

 
 
 

 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2015 (continued)
 
 
Mining, Steel, Iron and Non-Precious Metals — 2.62%*:
                 
 
   
Constellium Holdco B.V.#^
7.00
 
1/15/2023
   
2,950,000
$
3,538,250
$
2,890,897
 
   
Hecla Mining Company#
6.88
 
5/1/2021
   
4,388,000
 
4,360,020
 
3,532,340
 
   
Murray Energy Corp.^
11.25
  4/15/2021    
8,000,000
 
7,762,112
 
4,200,000
       
Total Mining, Steel, Iron and Non-Precious Metals
     
15,338,000
 
15,660,382
 
10,623,237
                             
 
Oil and Gas — 16.06%*:
                   
     
Baytex Energy Ltd.#+^
5.63
 
6/1/2024
   
4,000,000
 
3,293,858
 
3,160,000
     
Calumet Specialty Products#
7.63
 
1/15/2022
   
1,135,000
 
1,117,907
 
1,055,550
     
Calumet Specialty Products#
6.50
   4/15/2021    
6,000,000
 
5,929,892
 
5,400,000
     
CHC Helicopter#
9.38
 
6/1/2021
   
1,950,000
 
2,032,286
 
741,000
     
CITGO Holding Inc.#^
10.75
 
2/15/2020
   
7,584,000
 
7,403,811
 
7,413,360
     
Eclipse Resources Corp.^
8.88
 
7/15/2023
   
2,181,000
 
2,124,027
 
1,755,705
     
Ferrellgas Partners LP#
8.63
 
6/15/2020
   
7,135,000
 
7,032,300
 
7,135,000
     
Jupiter Resources Inc.#+^
8.50
 
10/1/2022
   
10,025,000
 
9,581,569
 
5,639,063
     
Kosmos Energy Ltd. #+^
7.88
 
8/1/2021
   
5,070,000
 
4,619,854
 
4,309,500
     
Kosmos Energy Ltd. #^
7.88
 
8/1/2021
   
1,085,000
 
1,003,550
 
922,250
     
Magnum Hunter Resources Corp.
9.75
 
5/15/2020
   
2,000,000
 
1,738,292
 
900,000
     
Millennium Offshore#+^
9.50
 
2/15/2018
   
6,000,000
 
6,000,000
 
5,116,302
     
Pbf Holding Company LLC#
8.25
 
2/15/2020
   
6,000,000
 
6,200,449
 
6,138,000
     
Pbf Logistics LP^
6.88
 
5/15/2023
   
1,117,000
 
1,117,000
 
968,998
     
Seventy Seven Energy Inc.^
6.50
 
7/15/2022
   
7,500,000
 
4,947,627
 
2,925,000
     
Topaz Marine SA#+^
8.63
 
11/1/2018
   
6,877,000
 
6,910,349
 
6,077,549
     
Welltec#+^
8.00
 
2/1/2019
   
5,951,000
 
6,029,596
 
5,400,533
       
Total Oil and Gas
         
81,610,000
 
77,082,367
 
65,057,810
                             
 
Personal, Food and Miscellaneous — 2.87%*:
                   
     
Brake Brothers Acquisition PLC+^
7.13
 
12/15/2018
   
5,000,000
 
8,301,115
 
7,790,636
     
Carrols Corp.#
8.00
 
5/1/2022
   
709,000
 
733,856
 
746,223
     
Teamsystem S.P.A.+^
7.38
 
5/15/2020
   
2,680,000
 
3,549,312
 
3,085,984
       
Total Personal, Food and Miscellaneous
       
8,389,000
 
12,584,283
 
11,622,843
 

 
 

 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2015 (continued)
 
 
Printing and Publishing — 0.63%*:
 
Cimpress N.V.#^
7.00
 
4/1/2022
 
1,560,000
$
1,560,000
$
1,505,400
 
McGraw-Hill Education^
8.50
 
8/1/2019
 
1,044,000
 
1,034,614
 
1,038,780
 
Total Printing and Publishing
       
2,604,000
 
2,594,614
 
2,544,180
                             
 
Retail Store — 4.26%*:
 
Boing Group Finance+^
6.63
 
7/15/2019
 
3,050,000
 
4,166,165
 
3,216,383
 
Brighthouse Group PLC#+^
7.88
 
5/15/2018
 
2,000,000
 
3,112,360
 
2,860,298
 
Douglas Holding+^
6.25
 
7/15/2022
 
2,150,000
 
2,401,644
 
2,480,838
 
HD Supply, Inc.#
11.50
 
7/15/2020
 
5,000,000
 
5,218,936
 
5,650,000
 
HSS Financing PLC+^
6.75
 
8/1/2019
 
306,000
 
506,522
 
454,221
 
Takko Fashion+^
9.88
 
4/15/2019
 
3,800,000
 
4,983,913
 
2,590,147
 
Total Retail Store
       
16,306,000
 
20,389,540
 
17,251,887
                             
 
Telecommunications — 2.53%*:
 
Altice Financing#+^
6.63
 
2/15/2023
 
661,000
 
661,000
 
635,799
 
Altice S.A.#+^
7.75
 
5/15/2022
 
3,240,000
 
3,240,000
 
2,948,400
 
Eircom Finance Ltd#+^
9.25
 
5/15/2020
 
1,450,000
 
2,126,000
 
1,736,947
 
Frontier Communications^
10.50
 
9/15/2022
 
1,706,000
 
1,706,000
 
1,663,350
 
Sprint Nextel Corporation#
7.25
 
9/15/2021
 
2,650,000
 
2,650,000
 
2,169,688
 
UPC Broadband+^
6.75
 
3/15/2023
 
430,000
 
454,018
 
473,768
 
Wind Acquisition+^
7.00
 
4/23/2021
 
550,000
 
758,861
 
613,037
 
Total Telecommunications
       
10,687,000
 
11,595,879
 
10,240,989
                             
 
Textiles & Leather — 0.58%*:
 
Perry Ellis International Inc#
7.88
 
4/1/2019
 
2,334,000
 
2,394,266
 
2,357,340
 
Total Textiles & Leather
       
2,334,000
 
2,394,266
 
2,357,340
 
 
Total Corporate Bonds
       
430,023,879
 
481,304,886
 
442,647,055
                             
 
Total Fixed Income
       
545,063,102
 
591,723,026
 
525,142,553
                             
Other assets and liabilities — (29.62)%
 
(120,010,736)
 
Net Assets — 100%
$
405,131,817
                             
                             

 
 
 

 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
September 30, 2015 (continued)
 
 
The effective interest rates are based on settled commitment amount.
     
*
 
Calculated as a percentage of net assets applicable to common shareholders.
       
>
 
Defaulted security.
                   
+
 
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.
^
 
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, 2015. 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.
   
Distributions of investments by country of risk.  Percentage of assets are expressed by market value excluding cash and accrued income as of September 30, 2015.
 
     
United States
60.2%
                 
       
United Kingdom
20.3%
                 
       
France
2.7%
                 
       
Germany
2.5%
                 
       
Canada
2.3%
                 
       
Sweden
1.8%
                 
       
Azerbaijan
1.2%
                 
       
Netherlands
1.1%
                 
       
Denmark
1.0%
                 
       
(Individually less than 1%)
6.9%
                 
         
100.0%
                 
                             
                             
                             

 
 
 
 

 
 
 
FORWARD FOREIGN EXCHANGE CONTRACTS at September 30, 2015 (Unaudited)
 
             
Counterparty
Currency
Contract Type
Delivery Date
Value
Aggregate Face
Value
Unrealized
Appreciation /
(Depreciation)
J.P. Morgan
           
British pounds
Buy
10/14/2015
 $           128,806
 $            128,575
 $                 (231)
British pounds
Sell
10/2/2015
            (128,814)
              (128,582)
                      232
British pounds
Sell
10/14/2015
    (105,739,289)
      (103,945,612)
           1,793,677
Euros
Sell
10/14/2015
       (68,045,725)
        (68,129,804)
               (84,079)
U.S. Dollars
Buy
10/2/2015
              128,814
                128,814
                            -
U.S. Dollars
Buy
10/14/2015
      173,785,014
        173,785,014
                            -
U.S. Dollars
Sell
10/14/2015
            (128,806)
              (128,806)
                            -
       
                            -
            1,709,599
           1,709,599
             
Morgan Stanley
           
Euros
Buy
10/2/2015
 $           771,082
 $            771,030
 $                   (52)
Euros
Sell
10/14/2015
            (771,211)
              (771,164)
                        47
Swiss francs
Sell
10/14/115
            (500,196)
              (501,492)
                 (1,296)
U.S. Dollars
Buy
10/14/2015
           1,271,407
            1,271,407
                            -
U.S. Dollars
Sell
10/2/2015
            (771,082)
              (771,082)
                            -
       
                            -
                   (1,301)
                 (1,301)
             
       
                            -
            1,708,298
           1,708,298

 
 
 
 
 

 
 
Tax Basis

The cost basis of investments for federal income tax purposes at September 30, 2015 for Babson Capital Global Short Duration High Yield Fund (the “Fund”) was as follows*:
 

Cost of investments                                                                          $591,723,026
Gross unrealized appreciation                                                                  7,704,185
Gross unrealized depreciation                                                               (74,284,658)
Net unrealized depreciation                                                                 $(66,580,473)

*The above table only reflects tax adjustments through December 31, 2014.  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, 2015 in valuing the Fund’s investments
 
 
 

 
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total Investments
 
Assets:
                       
Fixed Income:
                       
Bank Loans
  $ -     $ 76,394,940     $ 6,100,558     $ 82,495,498  
Bonds
    -       442,647,055       -       442,647,055  
Total Fixed Income
  $ -     $ 519,041,995     $ 6,100,558     $ 525,142,553  
Derivative Securities:
                               
Foreign Exchange Contracts:
  $ -     $ 1,793,956     $ -     $ 1,793,956  
Total Derivative Securities
    -       1,793,956       -       1,793,956  
Total Assets
  $ -     $ 520,835,951     $ 6,100,558     $ 526,936,509  
Liabilities:
                               
Foreign Exchange Contracts
  $ -     $ 85,658     $ -     $ 85,658  
Total Liabilities:
  $ -     $ 85,658     $ -     $ 85,658  

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, 2015.

Type of Assets
 
Fair value as of September 30, 2015
 
Valuation Techniques(s)
 
Unobservable Input
 
           
Second Lien
Term Loans
 
 
Boomerang Tube, LLC
  $ 1,609,355  
 
Market Comparables
 
Average of broker quotes for
comparable securities:  $100.00;
Discount for lack of marketability: 1%.
 
 
 
Direct ChassisLink, Inc.
  $ 4,491,203  
 
Market Comparables
Average of broker quotes for
comparable securities:  $98.13;
Discount for lack of marketability: 1%.
 
.


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, 2015 through September 30, 2015. The following is a reconciliation of Level 3 investments based upon the inputs used to determine fair value:

     
Balance
as of
December 31, 2014
   
Purchases
   
Sales
   
Accretion
of
Discount
   
Net
Realized
Gain
(Loss)
   
Change in Unrealized Appreciation / Depreciation
   
Balance as
of
September 30, 2015
   
Change in Unrealized Appreciation / Depreciation
from
Investments
Held as of
September 30, 2015
 
Fixed Income
                                                 
Bank Loan
  $ 4,477,282     $ 1,609,355     $ (28,572 )   $ (16,772 )   $ 415     $ 58,850     $ 6,100,558     $ 58,850  


 
 

 
 
B.  Cash and Cash Equivalents
 
Cash and cash equivalents consist principally of short term investments that are readily convertible into cash and have original maturities of three months or less.  At September 30, 2015, all cash and cash equivalents are held by U.S. Bank, N.A.
 
C.  Investment Transactions, Related Investment Income and Expenses
 
Investment transactions are accounted for on a trade-date basis.  Interest income is recorded on the accrual basis, including the amortization of premiums and accretion of discounts on bonds held using the yield-to-maturity method.
 
Realized gains and losses on investment transactions and unrealized appreciation and depreciation of investments are reported for financial statement and Federal income tax purposes on the identified cost method.
 
Expenses are recorded on the accrual basis as incurred.
 
D.  Use of Estimates
 
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates.
 
E.  Federal Income Taxation
 
The Fund has elected to be taxed as a Regulated Investment Company (“RIC”) under sub-chapter M of the U.S. Internal Revenue Code of 1986, as amended, and intends to maintain this qualification and to distribute substantially all of its net taxable income to its shareholders.
 
F. Dividends and Distributions
 
The Fund declares and pays dividends monthly from net investment income. To the extent that these distributions exceed net investment income, they may be classified as return of capital. The Fund also pays a distribution at least annually from its net realized capital gains, if any. Dividends and distributions are recorded on the ex-dividend date. All common shares have equal dividend and other distribution rights. A notice disclosing the source(s) of a distribution will be provided if payment is made from any source other than net investment income. Any such notice would be provided only for informational purposes in order to comply with the requirements of Section 19(a) of the 1940 Act and not for tax reporting purposes. The tax composition of the Fund’s distributions for each calendar year is reported on Internal Revenue Service Form 1099-DIV.
 
Dividends from net investment income and distributions from realized gains from investment transactions have been determined in accordance with Federal income tax regulations and may differ from net investment income and realized gains recorded by the Fund for financial reporting purposes. These differences, which could be temporary or permanent in nature may result in reclassification of distributions; however, net investment income, net realized gains and losses, and net assets are not affected.
 
G.  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 counter party risk to the Fund is limited to the net unrealized gain, in 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 an asset 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 $1,793,956 in net unrealized appreciation and a liability of $85,658 in net unrealized depreciation on forward foreign exchange contracts.  Outstanding forward foreign exchange contracts as of September 30, 2015 are indicative of the volume of activity during the period.
 
For the period from January 1, 2015 through September 30, 2015, 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, 2015.  These derivatives are presented in the Schedule of Investments.
 
Fair values of derivative instruments on the Statement of Assets and Liabilities as of September 30, 2015:
 

 
 
Statement of Assets and
Liabilities Location
 
Fair Value
Derivatives
       
Forward Foreign Exchange Contracts
Unrealized Appreciation
  $ 1,793,956  
Total Asset Derivatives
    $ 1,793,956  
Liability Derivatives
         
Forward Foreign Exchange Contracts
Unrealized Depreciation
  $ 85,658  
Total Liability Derivatives
    $ 85,658  
 

 
 
 

 
 
 The effect of derivative instruments on the Statement of Operations for the period from January 1, 2015 through September 30, 2015:
 
Amount of Realized Gain/(Loss) on Derivatives
 
 
Forward Foreign
Exchange Contracts
 Derivatives      
Forward Foreign Exchange Contracts
    $ 6,956,867  
Total
    $ 6,956,867  
         
Change in Unrealized Appreciation/(Depreciation) on Derivatives  
 
   
Forward Foreign
Exchange Contracts
Derivatives
 
Forward Foreign Exchange Contracts
    $ 462,732  
Total
    $ 462,732  

 
H.   Offsetting of Financial and Derivative Assets and Liabilities
 
The following is a summary by counterparty of the fair value of derivative investments subject to Master Netting Agreements and collateral pledged (received), if any, as of September 30, 2015.
 
   
J.P. MORGAN
   
MORGAN
STANLEY
 
Assets:
           
   Forward foreign exchange contracts
  $ 1,793,909     $ 47  
Total Assets
  $ 1,793,909     $ 47  
Liabilities:
               
   Forward foreign exchange     contracts
    $ 84,310     $ 1,348  
Total Liabilities
  $ 84,310     $ 1,348  
Net Exposure
  $ 1,709,599     $ (1,301 )
 
 
 
 

 
 
Item 2. Controls and Procedures.
 
(a)  
The Registrant’s President and Treasurer 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 XX, 2015                                                                               

 

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 XX, 2015                                                                               

By (Signature and Title)  /s/ Patrick Hoefling                                                      
 Patrick Hoefling, Chief Financial Officer

Date  November XX, 2015