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, 2015



Date of reporting period:  March 31, 2015

 
 
 

Item 1. Schedule of Investments.
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
March 31, 2015 (Unaudited)
 
   
EFFECTIVE
INTEREST
RATE‡
  
DUE DATE
  
PRINCIPAL
    
COST
    
FAIR VALUE
  
   
Fixed Income — 127.85%*:
  
Bank Loans§ — 21.10%*:
  
Broadcasting and Entertainment — 0.41%*:
  
Learfield Communications Inc.
     8.75    
10/8/2021
     1,800,000     $ 1,816,517     $ 1,795,500  
Total Broadcasting and Entertainment
                 1,800,000       1,816,517       1,795,500  
                                     
Cargo Transport — 1.01%*:
  
Direct ChassisLink Inc. (add on facility)
     8.25    
11/12/2019
     641,096       641,096       620,260  
Direct ChassisLink Inc.
     8.25    
11/30/2021
     3,952,381       3,894,977       3,823,929  
Total Cargo Transport
                 4,593,477       4,536,073       4,444,189  
                                     
Chemicals, Plastics and Rubber — 0.75%*:
  
Flint Group Holdings+
     8.25    
9/30/2022
     3,451,145       3,437,640       3,307,336  
Total Chemicals, Plastics and Rubber
                 3,451,145       3,437,640       3,307,336  
                                     
Diversified/Conglomerate Service — 1.60%*:
  
Redprarie Corporation
     6.00    
12/21/2018
     2,940,281       2,894,693       2,893,119  
Redprarie Corporation
     11.25    
12/14/2019
     4,632,646       4,664,851       4,183,882  
Total Diversified/Conglomerate Service
                 7,572,927       7,559,544       7,077,001  
                                     
Electronics — 1.73%*:
  
Kronos, Inc.
     9.75    
4/30/2020
     7,485,880       7,411,033       7,644,955  
Total Electronics
                 7,485,880       7,411,033       7,644,955  
                                     
Farming and Agriculture — 1.41%*:
  
Allflex Holdings, Inc.
     8.00    
7/17/2021
     6,232,322       6,232,100       6,224,532  
Total Farming and Agriculture
                 6,232,322       6,232,100       6,224,532  
                                     


 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
March 31, 2015 (continued)
 
Finance — 1.74%*:
  
Confie Seguros Holding
     10.25    
5/8/2019
     2,380,257     $ 2,356,556     $ 2,370,331  
Cunningham Lindsey Group, Inc.
     9.25    
6/10/2020
     5,504,015       5,517,331       5,325,135  
Total Finance
                 7,884,272       7,873,887       7,695,466  
                                     
Healthcare, Education and Childcare — 0.76%*:
  
Sage Products Holdings III, LLC
     9.25    
6/15/2020
     3,325,292       3,275,431       3,354,388  
Total Healthcare, Education and Childcare
                 3,325,292       3,275,431       3,354,388  
                                     
Mining, Steel, Iron and Non-Precious Metals — 0.63%*:
  
Boomerang Tube, LLC
     11.75    
10/11/2017
     5,017,522       4,985,743       2,759,637  
Total Mining, Steel, Iron and Non-Precious Metals
                 5,017,522       4,985,743       2,759,637  
                                     
Oil and Gas — 9.22%*:
  
Caelus Energy Alaska
     8.75    
4/2/2021
     17,863,828       17,309,223       14,142,257  
Fieldwood Energy LLC
     8.38    
9/30/2020
     10,787,706       9,584,570       7,867,366  
Jonah Energy LLC
     7.50    
5/12/2021
     1,963,216       1,980,152       1,740,725  
MD America Energy, LLC
     9.50    
7/2/2019
     6,922,738       6,607,000       6,678,296  
NFR Energy LLC
     8.75    
12/31/2018
     7,684,465       7,776,170       3,758,164  
Templar Energy
     8.50    
9/30/2021
     9,700,000       9,424,423       6,551,574  
Total Oil and Gas
                 54,921,953       52,681,538       40,738,382  
                                     
Retail Store — 0.64%*:
  
FleetPride
     9.25    
5/19/2020
     3,000,000       2,948,555       2,835,000  
Total Retail Store
                 3,000,000       2,948,555       2,835,000  
                                     
Telecommunications — 1.20%*:
  
Eircom Finance Ltd+^
     4.54    
9/30/2017
     5,000,000       6,665,290       5,290,209  
Total Telecommunications
                 5,000,000       6,665,290       5,290,209  
                                     
Total Bank Loans
                 110,284,790       109,423,351       93,166,595  
                                     
Corporate Bonds — 106.75%*:
  
Aerospace and Defense — 1.58%*:
  
Intrepid Aviation Group Holdings#^
     6.88    
2/15/2019
     3,000,000       3,000,000       2,745,000  
 CPI International Inc.
     8.75    
2/15/2018
     4,122,000       4,224,140       4,219,897  
Total Aerospace and Defense
                 7,122,000       7,224,140       6,964,897  
                                     
Automobile — 9.11%*:
  
Accuride Corp#
     9.50    
8/1/2018
     11,210,000       11,297,260       11,686,425  
Affinia#
     7.75    
5/1/2021
     3,240,000       3,327,855       3,353,400  
Allied Specialty Vehicles#^
     8.50    
11/1/2019
     6,000,000       5,965,020       6,315,000  
 J.B. Poindexter & Co. Inc.#^
     9.00    
4/1/2022
     8,235,000       8,599,733       8,934,975  
 International Automotive Components Group, S.A.#^
     9.13    
6/1/2018
     8,125,000       8,234,606       8,257,031  
Tupy SA#+^
     6.63    
7/17/2024
     1,750,000       1,750,000       1,680,000  
Total Automobile
                 38,560,000       39,174,474       40,226,831  
                                     
Banking — 0.54%*:
  
Lock AS+^
     7.00    
8/15/2021
     2,050,000       2,665,247       2,374,885  
Total Banking
                 2,050,000       2,665,247       2,374,885  
                                     
Beverage, Food and Tobacco — 2.04%*:
  
 EWOS+^
     6.75    
11/1/2020
     2,300,000       3,137,241       2,454,764  
Findus+^
     9.13    
7/1/2018
     1,850,000       2,420,573       2,106,070  
Findus+^
     9.50    
7/1/2018
     1,500,000       2,610,596       2,353,033  
Pizza Express+
     6.63    
8/1/2021
     1,350,000       2,293,227       2,107,468  
Total Beverage, Food and Tobacco
                 7,000,000       10,461,637       9,021,335  
                                     
Broadcasting and Entertainment — 2.75%*:
  
Arqiva Finance+^
     9.50    
3/31/2020
     5,000,000       7,895,144       8,194,265  
 RCN Cable#^
     8.50    
8/15/2020
     3,733,000       3,855,905       3,956,980  
Total Broadcasting and Entertainment
                 8,733,000       11,751,049       12,151,245  
                                     
 
 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
March 31, 2015 (continued)

Buildings and Real Estate — 5.24%*:
  
Forestar Real Estate Group Inc.#^
     8.50    
6/1/2022
     6,591,000     $ 6,810,003     $ 6,360,315  
Keystone Financing+^
     9.50    
10/15/2019
     2,650,000       4,262,488       4,161,938  
Lyon Williams Homes, Inc.#
     8.50    
11/15/2020
     8,000,000       8,046,024       8,660,000  
Monier Holdings SCA+^
     5.07    
10/15/2020
     100,000       138,845       108,526  
Paroc Group+^
     6.25    
5/15/2020
     1,050,000       1,444,431       1,072,558  
Roofing Supply LLC#^
     10.00    
6/1/2020
     2,834,000       3,058,441       2,770,235  
Total Buildings and Real Estate
                 21,225,000       23,760,232       23,133,572  
                                     
Cargo Transport — 4.42%*:
  
Kenan Advantage Group, Inc.#^
     8.38    
12/15/2018
     10,750,000       10,856,224       11,180,000  
Moto Hospitality Limited#+^
     10.25    
3/15/2017
     2,000,000       3,149,044       3,115,126  
Moto Hospitality Limited+^
     6.38    
9/1/2020
     2,400,000       3,584,497       3,595,746  
Quality Distribution Inc.#
     9.88    
11/1/2018
     1,541,000       1,620,481       1,614,198  
Total Cargo Transport
                 16,691,000       19,210,246       19,505,070  
                                     
Chemicals, Plastics and Rubber — 6.63%*:
  
Associated Asphalt Partners LLC#^
     8.50    
2/15/2018
     1,839,000       1,839,000       1,756,245  
Ciech Group Finance#+^
     9.50    
11/30/2019
     2,100,000       2,799,955       2,498,495  
Consolidated Energy Finance S.A.#+^
     6.75    
10/15/2019
     4,630,000       4,528,582       4,664,725  
Cornerstone Chemical Co.#^
     9.38    
3/15/2018
     4,725,000       4,839,673       4,890,375  
LSB Industries, Inc.#
     7.75    
8/1/2019
     3,000,000       3,000,000       3,127,500  
Omnova Solutions, Inc.#
     7.88    
11/1/2018
     3,154,000       3,230,868       3,201,310  
Pinnacle Operating Corp.#^
     9.00    
11/15/2020
     2,635,000       2,641,984       2,661,350  
TPC Group, Inc.#^
     8.75    
12/15/2020
     7,065,000       7,135,554       6,464,475  
Total Chemicals, Plastics and Rubber
                 29,148,000       30,015,616       29,264,475  
                                     
Containers, Packaging and Glass — 3.32%*:
  
Innovia Group Finance+^
     5.03    
3/31/2020
     750,000       1,021,099       796,354  
Multi Packaging Solutions, Inc.#^
     8.50    
8/15/2021
     6,105,000       6,136,733       6,181,313  
Onex Wizard Acquisition Co+^
     7.75    
2/15/2023
     3,600,000       4,134,082       4,091,912  
Paperworks Industries, Inc.#^
     9.50    
8/15/2019
     3,500,000       3,574,538       3,587,500  
Total Containers, Packaging and Glass
                 13,955,000       14,866,452       14,657,079  
                                     
Diversified/Conglomerate Manufacturing — 3.67%*:
  
Appvion Inc.#^
     9.00    
6/1/2020
     13,200,000       13,438,037       8,679,000  
Carlisle Transportation Products#^
     8.25    
12/15/2019
     3,950,000       4,051,320       4,068,500  
Heat Exchangers+^
     5.38    
6/15/2021
     300,000       408,886       331,509  
StoneMor Partners L.P.#
     7.88    
6/1/2021
     3,000,000       2,944,275       3,150,000  
Total Diversified/Conglomerate Manufacturing
                 20,450,000       20,842,518       16,229,009  
                                     
Diversified/Conglomerate Service — 1.60%*:
  
Bravida+^
     5.65    
6/15/2019
     4,500,000       685,636       527,743  
Carlson Travel Holdings Inc.#^
     7.50    
8/15/2019
     2,690,000       2,729,788       2,723,625  
Verisure Holdings#+^
     6.54    
9/1/2018
     3,500,000       4,475,420       3,838,627  
Total Diversified/Conglomerate Service
                 10,690,000       7,890,844       7,089,995  
                                     
Diversified Natural Resources, Precious Metals and Minerals — 0.91%*:
  
Lecta S.A.#+^
     8.88    
5/15/2019
     1,090,000       1,421,695       1,239,409  
Lecta S.A.#+^
     5.55    
5/15/2018
     2,600,000       3,284,026       2,774,672  
Total Diversified Natural Resources, Precious Metals and Minerals
                 3,690,000       4,705,721       4,014,081  
                                     
Electronics — 1.89%*:
  
International Wire Group, Inc.#^
     8.50    
10/15/2017
     8,086,000       8,192,721       8,369,010  
Total Electronics
                 8,086,000       8,192,721       8,369,010  
                                     
Farming and Agriculture — 0.40%*:
  
Chiquita Brands International Inc.#
     7.88    
2/1/2021
     1,602,000       1,590,369       1,754,190  
Total Farming and Agriculture
                 1,602,000       1,590,369       1,754,190  

 

 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
March 31, 2015 (continued)
 
Finance — 7.56%*:
  
Cabot Financial+^
     6.50    
4/1/2021
     300,000     $ 494,821     $ 419,207  
Cabot Financial#+^
     10.38    
10/1/2019
     3,750,000       6,261,753       6,113,435  
Cerved Holding Spa+^
     8.00    
1/15/2021
     2,700,000       3,609,978       3,164,448  
First Data Corp.#
     11.25    
1/15/2021
     3,896,000       3,888,500       4,431,700  
Galaxy Bidco Ltd.+^
     6.38    
11/15/2020
     650,000       1,053,229       969,104  
Galaxy Finco Ltd.+^
     7.88    
11/15/2021
     3,900,000       6,351,994       5,681,331  
Lowell Group Financing PLC#+^
     10.75    
4/1/2019
     3,000,000       5,107,044       4,828,446  
Lowell Group Financing PLC+^
     5.88    
4/1/2019
     650,000       1,083,586       915,995  
Marlin Financial+^
     10.50    
8/1/2020
     1,850,000       2,945,939       3,025,566  
TMF Group Holding#+^
     5.42    
12/1/2018
     1,400,000       1,802,552       1,521,812  
TMF Group Holding+^
     9.88    
12/1/2019
     2,000,000       2,681,014       2,301,456  
Total Finance
                 24,096,000       35,280,410       33,372,500  
                                     
Grocery — 0.22%*:
  
Premier Foods Finance+^
     6.50    
3/15/2021
     700,000       1,162,135       954,007  
Total Grocery
                 700,000       1,162,135       954,007  
                                     
Healthcare, Education and Childcare — 10.39%*:
  
Cerba+^
     8.25    
2/1/2020
     2,200,000       2,503,916       2,457,205  
Crown Newco PLC#+^
     8.88    
2/15/2019
     6,600,000       10,892,885       10,186,320  
Elli Finance+^
     8.75    
6/15/2019
     5,000,000       8,680,377       7,577,678  
HomeVi SAS+^
     6.88    
8/15/2021
     1,450,000       1,941,618       1,656,550  
Kindred Healthcare, Inc.^
     8.75    
1/15/2023
     3,199,000       3,199,000       3,502,905  
Prospect Medical Holdings Inc.#^
     8.38    
5/1/2019
     5,000,000       5,069,125       5,312,500  
Tenet Healthcare Corporation#
     8.13    
4/1/2022
     3,700,000       3,700,000       4,079,250  
Unilabs+^
     7.32    
7/15/2018
     2,600,000       3,583,218       2,769,080  
Unilabs+^
     8.50    
7/15/2018
     2,450,000       3,206,863       2,746,312  
Valeant^
     6.13    
4/15/2025
     2,006,000       2,006,000       2,076,210  
Valeant#+^
     7.50    
7/15/2021
     3,260,000       3,260,000       3,525,886  
Total Healthcare, Education and Childcare
                 37,465,000       48,043,002       45,889,896  
                                     
Hotels, Motels, Inns and Gaming — 0.71%*:
  
Gala Group Finance#+
     8.88    
9/1/2018
     2,025,000       3,259,721       3,150,250  
Total Hotels, Motels, Inns and Gaming
                 2,025,000       3,259,721       3,150,250  
                                     
Insurance — 2.11%*:
  
Hastings Insurance Group+^
     8.00    
10/21/2020
     3,550,000       5,721,462       5,565,216  
Onex York Acquisition Corp.#^
     8.50    
10/1/2022
     3,524,000       3,524,000       3,330,180  
Towergate Finance PLC+^
     8.50    
2/15/2018
     300,000       466,998       433,893  
Total Insurance
                 7,374,000       9,712,460       9,329,289  
                                     
Leisure, Amusement, Motion Pictures and Entertainment — 3.27%*:
  
Palace Entertainment Holdings#^
     8.88    
4/15/2017
     4,324,000       4,425,678       4,388,860  
Travelex+^
     8.00    
8/1/2018
     2,800,000       4,349,941       4,350,793  
Vue Cinimas+^
     7.88    
7/15/2020
     3,650,000       5,861,004       5,685,105  
Total Leisure, Amusement, Motion Pictures and Entertainment
                 10,774,000       14,636,623       14,424,758  
                                     
Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 2.95%*:
  
KM Germany Holding+
     8.75    
12/15/2020
     1,305,000       1,688,927       1,539,306  
Milacron LLC#^
     8.38    
5/15/2019
     4,640,000       4,730,339       4,953,200  
Xerium Technologies#
     8.88    
6/15/2018
     6,324,000       6,359,909       6,529,530  
Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic)
                 12,269,000       12,779,175       13,022,036  
                                     


 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
March 31, 2015 (continued)

Mining, Steel, Iron and Non-Precious Metals — 2.82%*:
  
Constellium Holdco B.V.+^
     7.00    
1/15/2023
     2,250,000     $ 2,764,909     $ 2,455,012  
Hecla Mining Company#
     6.88    
5/1/2021
     4,388,000       4,358,101       3,883,380  
Murray Energy Corp#^
     8.63    
6/15/2021
     1,050,000       1,096,735       1,097,250  
Murray Energy Corp#^
     9.50    
12/5/2020
     4,492,000       4,673,007       5,031,040  
Total Mining, Steel, Iron and Non-Precious Metals
                 12,180,000       12,892,752       12,466,682  
                                     
Oil and Gas — 16.68%*:
  
Baytex Energy Ltd.+^
     5.63    
6/1/2024
     4,000,000       3,266,608       3,660,000  
Calumet Specialty Products#
     7.63    
1/15/2022
     1,135,000       1,117,907       1,146,350  
Calumet Specialty Products#^
     6.50    
4/15/2021
     8,000,000       7,924,736       7,760,000  
CHC Helicopter#+
     9.25    
10/15/2020
     1,722,600       1,753,280       1,455,597  
CHC Helicopter#
     9.38    
6/1/2021
     3,250,000       3,340,132       1,950,000  
CITGO Holding Inc.^
     10.75    
2/15/2020
     6,934,000       6,713,846       7,142,020  
Era Group Inc.#
     7.75    
12/15/2022
     3,019,000       3,035,871       2,913,335  
Ferrellgas Partners LP#
     8.63    
6/15/2020
     7,135,000       7,023,667       7,366,887  
Headwaters, Inc.#
     7.63    
4/1/2019
     3,000,000       3,091,719       3,125,100  
Jupiter Resources Inc.#+^
     8.50    
10/1/2022
     10,025,000       9,559,367       8,220,500  
Kosmos Energy Ltd.#+^
     7.88    
8/1/2021
     2,722,000       2,536,602       2,511,045  
Millennium Offshore#+^
     9.50    
2/15/2018
     6,000,000       6,000,000       5,390,490  
Pbf Holding Company LLC#
     8.25    
2/15/2020
     6,000,000       6,219,737       6,337,500  
Resolute Energy Corp.#
     8.50    
5/1/2020
     7,285,000       7,409,198       3,059,700  
Topaz Marine SA#+^
     8.63    
11/1/2018
     6,877,000       6,915,003       6,052,035  
Welltec#+^
     8.00    
2/1/2019
     5,951,000       6,040,890       5,593,940  
Total Oil and Gas
                 83,055,600       81,948,563       73,684,499  
                                     
Personal, Food and Miscellaneous — 2.39%*:
  
Brake Brothers Acquisition PLC+^
     7.13    
12/15/2018
     5,000,000       8,306,855       7,528,815  
Teamsystem S.P.A.+^
     7.38    
5/15/2020
     2,680,000       3,549,011       3,045,337  
Total Personal, Food and Miscellaneous
                 7,680,000       11,855,866       10,574,152  


 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
March 31, 2015 (continued)

Printing and Publishing — 0.69%*:
  
Cimpress N.V.^
     7.00  
4/1/2022
     1,560,000     $ 1,560,000     $ 1,579,500  
Zebra Technologies Corp.#^
     7.25  
10/15/2022
     1,359,000       1,359,000       1,464,323  
Total Printing and Publishing
               2,919,000       2,919,000       3,043,823  
                                   
Retail Store — 8.21%*:
  
Boing Group Finance+^
     6.63  
7/15/2019
     3,050,000       4,167,720       3,164,979  
Brighthouse Group PLC+^
     7.88  
5/15/2018
     2,000,000       3,113,206       2,699,776  
 GRD Holding Corp.#^
     10.75  
6/1/2019
     3,150,000       3,209,607       3,425,625  
HD Supply, Inc.#
     11.50  
7/15/2020
     5,000,000       5,236,156       5,781,250  
House Fraser PLC#+^
     8.88  
8/15/2018
     6,500,000       10,626,427       10,216,338  
HSS Financing PLC+^
     6.75  
8/1/2019
     306,000       506,522       475,480  
New Look Retail Group Limited+^
     8.75  
5/14/2018
     5,000,000       7,720,112       7,750,731  
Pantry, Inc#
     8.38  
8/1/2020
     875,000       902,111       993,125  
Takko Fashion+^
     9.88  
4/15/2019
     3,800,000       4,985,019       1,736,522  
Total Retail Store
               29,681,000       40,466,880       36,243,826  
                                   
Telecommunications — 3.01%*:
  
Altice Financing+^
     6.63  
2/15/2023
     661,000       661,000       680,830  
Altice S.A.#+^
     7.75  
5/15/2022
     3,240,000       3,240,000       3,294,675  
Eircom Finance Ltd+^     9.25  
5/15/2020
     1,450,000       2,136,426       1,695,528  
Numericable Group+^
     5.38  
5/15/2022
     700,000       967,158       786,617  
Numericable Group+
     5.63  
5/15/2024
     950,000       1,312,572       1,077,767  
Numericable Group+^
     6.00  
5/15/2022
     1,280,000       1,280,000       1,296,000  
Numericable Group+^
     6.25  
5/15/2024
     690,000       690,000       698,625  
Sprint Nextel Corporation#     7.25  
9/15/2021
     2,650,000       2,650,000       2,663,250  
UPC Broadband+^     6.75  
3/15/2023
     430,000       454,018       485,619  
Wind Acquisition+^
     7.00  
4/23/2021
     550,000       758,861       629,825  
Total Telecommunications
               12,601,000       14,150,035       13,308,736  
                                   
Textiles & Leather — 1.64%*:
  
Perry Ellis International Inc#
     7.88  
4/1/2019
     7,000,000       7,202,561       7,227,500  
Total Textiles & Leather
               7,000,000       7,202,561       7,227,500  
   
Total Corporate Bonds
               438,821,600       498,660,449       471,447,628  
                                   
Total Fixed Income
               549,106,390       608,083,800       564,614,223  
                                   
Other assets and liabilities — (27.85)%
       (122,988,662 )
Net Assets — 100%
     $ 441,625,561  
                                   
                                   


 
 
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
March 31, 2015 (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.
^
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, 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 March 31, 2015.
 
 
    
United States
59.8%
                  
     
United Kingdom
20.9%
                  
       
Canada
3.0%
                
       
France
2.0%
                  
       
Sweden
1.8%
                  
       
Germany
1.2%
                  
       
Ireland
1.2%
                  
       
Italy
1.2%
                  
       
Netherlands
1.1%
                  
       
Azerbaijan
1.1%
                  
       
(Individually less than 1%)
6.6%
                  
         
100.0%
                  
                             


 
 
 

FORWARD FOREIGN EXCHANGE CONTRACTS at March 31, 2015 (Unaudited)
        
                         
Counterparty
Currency
Contract Type
Delivery Date
  
Value
    
Aggregate Face
Value
    
Unrealized Appreciation / (Depreciation)
  
J.P. Morgan
                        
British pounds
Sell
4/16/2015
   $ (114,161,544 )   $ (112,150,079 )   $ 2,011,465  
U.S. Dollars
Buy
4/16/2015
     114,161,544       114,161,544       -  
            -       2,011,465       2,011,465  
                               
Morgan Stanley
                              
British pounds
Sell
4/16/2015
   $ (3,571,222 )   $ (3,559,774 )   $ 11,448  
Euros
Sell
4/16/2015
     (63,696,018 )     (63,125,896 )     570,122  
Swedish krona
Sell
4/16/2015
     (547,086 )     (538,941 )     8,145  
Swiss francs
Sell
4/16/2015
     (504,260 )     (511,208 )     (6,948 )
U.S. Dollars
Buy
4/16/2015
     68,318,586       68,318,586       -  
            -       582,767       582,767  
                               
            -       2,594,232       2,594,232  

 
 
 
 

Tax Basis

The cost basis of investments for federal income tax purposes at March 31, 2015 for Babson Capital Global Short Duration High Yield Fund (the “Fund”) was as follows*:
 
 
Cost of investments  $
608,083,800
 Gross unrealized appreciation                  14,174,276
 Gross unrealized depreciation       (57,643,854)
 Net unrealized depreciation         $  (43,469,577)
                                                                                                                                                        
*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 March 31, 2015 in valuing the Fund’s investments:
 

 
 
 
 
 
Description
  
Level 1
    
Level 2
    
Level 3
    
Total Investments
  
Assets:
                        
Fixed Income:
                        
Bank Loans
   $ -     $ 88,722,406     $ 4,444,189     $ 93,166,595  
Bonds
     -       471,447,628       -       471,447,628  
Total Fixed Income
   $ -     $ 560,170,034     $ 4,444,189     $ 564,614,223  
Derivative Securities:
                                
Foreign Exchange Contracts:
   $ -     $ 2,601,180     $ -     $ 2,601,180  
Total Derivative Securities
     -       2,601,180       -       2,601,180  
Total Assets
   $ -     $ 562,771,214     $ 4,444,189     $ 567,215,403  
Liabilities:
                                
Foreign Exchange Contracts
   $ -     $ 6,948     $ -     $ 6,948  
Total Liabilities:
   $ -     $ 6,948     $ -     $ 6,948  

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 March 31, 2015.

Type of Assets
Fair value as of
March 31, 2014
Valuation
Techniques(s)
Unobservable Input
       
Second Lien
Term Loans
  
 
Direct ChassisLink, Inc.
 
$ 4,444,189
 
Market Comparables
 
Average of broker quotes for comparable securities:  $99.40;
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 March 31, 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
March 31, 2015
    
Change in Unrealized Appreciation / Depreciation from Investments
Held as of
March 31, 2015
  
Fixed Income
                                                
Bank Loan
   $ 4,477,282     $ -     $ (11,139 )   $ -     $ 138     $ (22,092 )   $ 4,444,189     $ (22,092 )

 
Derivative Instruments
 
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, 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 $2,601,180 in net unrealized appreciation and a liability of $6,948 in net unrealized depreciation on forward foreign exchange contracts.  Outstanding forward foreign exchange contracts as of March 31, 2015 are indicative of the volume of activity during the period.
 
 
 
 
 
 
 
For the period from January 1, 2015 through March 31, 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 March 31, 2015.  These derivatives are presented in the Schedule of Investments.
 
Fair values of derivative instruments as of March 31, 2015:
 
 
 
Statement of Assets and
Liabilities
Location
  
Fair Value
  
Derivatives
        
Forward Foreign Exchange Contracts
Unrealized Appreciation
   $ 2,601,180  
Total Asset Derivatives
     $ 2,601,180  
Liability Derivatives
          
Forward Foreign Exchange Contracts
Unrealized Depreciation
   $ 6,948  
Total Liability Derivatives
     $ 6,948  

 
     The effect of derivative instruments on the Statement of Operations for the period from January 1, 2015 through March 31, 2015:
 
Amount of Realized Gain/(Loss) on Derivatives
  
     
 
Forward Foreign
Exchange Contracts
  
Derivatives
Forward Foreign Exchange Contracts
   $ 11,557,203  
Total
   $ 11,557,203  
     
     
Change in Unrealized Appreciation/(Depreciation) on Derivatives
  
         
 
Forward Foreign
Exchange Contracts
  
Derivatives
Forward Foreign Exchange Contracts
   $ 1,348,666  
Total
   $ 1,348,666  

 
 
 
 

 
H.   Offsetting of Financial and Derivative Assets and Liabilities
 
   
J.P. Morgan
    
Morgan Stanley
  
Assets:
            
Forward foreign exchange contracts*
   $ 2,011,465     $ 589,715  
Total Assets
   $ 2,011,465     $ 589,715  
Liabilities:
                
Forward foreign exchange contracts*
   $ -     $ 6,948  
Total Liabilities
   $ -     $ 6,948  
Net Exposure
   $ 2,011,465     $ 582,767  
   
 
 
 
 
 
 
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, President              
                                                Russell D. Morrison, President

Date  May 29, 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  May 29, 2015                                                                    
 
 
By (Signature and Title) /s/ Patrick Hoefling                                    
                                        Patrick Hoefling, Chief Financial Officer

Date  May 29, 2015