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:  March 31, 2014
 
 
 
 
 
 
Item 1. Schedule of Investments.
 
 
Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS
March 31, 2014
 
   
Effective
interest rate‡
  
Due date
  
Principal
    
Cost
    
Fair value
  
   
Fixed Income — 131.76%*:
  
Bank Loans — 20.65%*:
  
Beverage, Food and Tobacco — 0.91%*:
  
Performance Food Group Company
     6.25 %  
11/14/2019
     4,608,482     $ 4,583,616     $ 4,669,913  
Total Beverage, Food and Tobacco
                 4,608,482       4,583,616       4,669,913  
                                     
Broadcasting and Entertainment — 1.53%*:
  
Deluxe Entertainment Services Group, Inc.
     6.50    
12/31/2025
     5,100,980       4,921,706       5,109,499  
Learfield Communications Inc.
     8.75    
10/8/2021
     1,800,000       1,820,488       1,836,000  
TWCC Holding Corp.
     7.00    
6/26/2020
     971,479       961,765       943,549  
Total Broadcasting and Entertainment
                 7,872,459       7,703,959       7,889,048  
                                     
Buildings and Real Estate — 1.82%*:
  
Monier Holdings SCA+
     6.00    
4/16/2018
     4,000,000       5,430,582       5,538,182  
Tomkins Air Distribution
     9.25    
5/11/2020
     3,773,513       3,716,929       3,820,682  
Total Buildings and Real Estate
                 7,773,513       9,147,511       9,358,864  
                                     
Cargo Transport — 0.86%*:
  
Ceva Group PLC
     5.50    
3/4/2019
     113,448       111,747       112,975  
Ceva Group PLC
     5.50    
3/19/2021
     140,263       138,159       139,679  
Ceva Group PLC
     5.50    
3/12/2021
     165,016       162,541       164,328  
Direct ChassisLink Inc.
     8.25    
10/31/2019
     3,990,476       3,931,390       3,990,476  
Total Cargo Transport
                 4,409,203       4,343,837       4,407,458  
                                     
Chemicals, Plastics and Rubber — 2.11%*:
  
Cytec Monarch
     8.25    
4/3/2020
     6,000,000       6,097,443       6,090,000  
Flint Group Holdings+
     7.00    
6/30/2018
     2,537,855       3,479,278       3,499,196  
Flint Group Holdings+
     7.33    
6/30/2016
     1,255,773       1,251,064       1,261,273  
Total Chemicals, Plastics and Rubber
                 9,793,628       10,827,785       10,850,469  
                                     
Diversified/Conglomerate Manufacturing — 0.34%*:
  
Alliance Laundry Systems LLC
     9.50    
12/10/2019
     1,728,930       1,711,655       1,746,219  
Total Diversified/Conglomerate Manufacturing
                 1,728,930       1,711,655       1,746,219  
                                     
Diversified/Conglomerate Service — 2.15%*:
  
Redprarie Corporation
     6.00    
12/21/2018
     2,970,056       2,913,559       2,957,671  
Redprarie Corporation
     11.25    
12/14/2019
     5,773,672       5,792,878       5,845,843  
Triple Point Technology, Inc.
     9.25    
7/9/2021
     1,543,627       1,372,778       1,408,560  
Triple Point Technology, Inc.
     5.25    
7/10/2020
     904,545       819,077       850,273  
Total Diversified/Conglomerate Service
                 11,191,900       10,898,292       11,062,347  
                                     
Electronics — 1.51%*:
  
Kronos, Inc.
     9.75    
4/30/2020
     7,485,880       7,411,033       7,747,886  
Total Electronics
                 7,485,880       7,411,033       7,747,886  
                                     
Farming and Agriculture — 0.44%*:
  
Allflex Holdings, Inc.
     8.00    
7/17/2021
     2,232,322       2,209,999       2,259,110  
Total Farming and Agriculture
                 2,232,322       2,209,999       2,259,110  
                                     
 
 
 
 
 
 
Finance — 1.61%*:
  
Confie Seguros Holding
     10.25    
5/8/2019
     2,380,257     $ 2,353,679     $ 2,390,682  
Cunningham Lindsey Group, Inc.
     9.25    
6/10/2020
     3,910,507       3,926,701       3,900,730  
Wall Street Systems Inc.
     9.25    
10/26/2020
     1,980,000       1,980,000       1,994,850  
Total Finance
                 8,270,764       8,260,380       8,286,262  
                                     
Healthcare, Education and Childcare — 1.95%*:
  
Air Medical Group Holdings
     5.00    
6/29/2018
     2,229,934       2,207,648       2,232,722  
Sage Products Holdings III, LLC
     9.25    
6/15/2020
     3,325,292       3,275,431       3,400,111  
TriZetto Group
     4.75    
5/2/2018
     1,014,751       955,596       1,009,678  
TriZetto Group
     8.50    
3/28/2019
     3,394,500       3,370,883       3,411,473  
Total Healthcare, Education and Childcare
                 9,964,477       9,809,558       10,053,984  
                                     
Mining, Steel, Iron and Non-Precious Metals — 1.00%*:
  
Boomerang Tube, LLC
     11.01    
10/11/2017
     5,304,238       5,262,433       5,145,111  
Total Mining, Steel, Iron and Non-Precious Metals
                 5,304,238       5,262,433       5,145,111  
                                     
Oil and Gas — 3.71%*:
  
 Bowie Resource Partners LLC
     6.75    
8/17/2020
     253,778       253,778       256,315  
 Fieldwood Energy LLC
     8.38    
9/30/2020
     270,185       262,141       281,049  
 NFR Energy LLC
     8.75    
12/31/2018
     12,834,465       12,947,706       12,986,938  
 Rice Energy
     8.50    
10/11/2018
     5,457,345       5,430,688       5,552,849  
Total Oil and Gas
                 18,815,773       18,894,313       19,077,151  
                                     
Printing and Publishing — 0.14%*:
  
Bureau Van Dijk+
     8.00    
3/31/2021
     500,000       678,588       695,717  
Total Printing and Publishing
                 500,000       678,588       695,717  
                                     
Retail Store — 0.57%*:
  
FleetPride
     9.25    
5/19/2020
     3,000,000       2,941,798       2,947,500  
Total Retail Store
                 3,000,000       2,941,798       2,947,500  
                                     
Total Bank Loans
                 102,951,569       104,684,757       106,197,039  
                                     
Corporate Bonds — 111.11%*:
  
Aerospace and Defense — 1.17%*:
  
Intrepid Aviation Group Holdings^#
     6.88    
2/15/2019
     5,825,000       5,825,000       6,028,875  
Total Aerospace and Defense
                 5,825,000       5,825,000       6,028,875  
                                     
Automobile — 6.21%*:
  
Accuride Corp#
     9.50    
8/1/2018
     7,700,000       7,614,426       7,892,500  
Allied Specialty Vehicles^#
     8.50    
11/1/2019
     6,000,000       5,965,020       6,390,000  
 Grupo Antolin Dutch^+
     4.75    
4/1/2021
     950,000       1,316,847       1,323,433  
 J.B. Poindexter & Co. Inc.^#
     9.00    
4/1/2022
     6,000,000       6,181,522       6,420,000  
 International Automotive Components Group, S.A.^#
     9.13    
6/1/2018
     6,491,000       6,560,797       6,848,005  
 Meritor Inc.
     7.88    
3/1/2026
     2,010,000       1,992,644       3,067,762  
Total Automobile
                 29,151,000       29,631,256       31,941,700  
                                     
Beverage, Food and Tobacco — 1.18%*:
  
 EWOS+^
     6.75    
11/1/2020
     2,300,000       3,140,037       3,271,591  
Findus+^
     9.13    
7/1/2018
     1,850,000       2,421,242       2,781,971  
Total Beverage, Food and Tobacco
                 4,150,000       5,561,279       6,053,562  
                                     
Broadcasting and Entertainment — 1.85%*:
  
Arqiva Finance+^
     9.50    
3/31/2020
     5,000,000       7,929,368       9,502,692  
Total Broadcasting and Entertainment
                 5,000,000       7,929,368       9,502,692  
                                     
 
 
 
 
 
 
Buildings and Real Estate — 2.95%*:
  
Deutsche Raststatten+^
     6.75    
12/30/2020
     750,000     $ 1,017,708     $ 1,128,818  
 Lyon Williams Homes, Inc.#
     8.50    
11/15/2020
     8,000,000       8,052,252       8,900,000  
 Roofing Supply LLC^#
     10.00    
6/1/2020
     4,605,000       5,031,043       5,146,088  
Total Buildings and Real Estate
                 13,355,000       14,101,003       15,174,906  
                                     
Cargo Transport — 2.72%*:
  
 Kenan Advantage Group, Inc.^#
     8.38    
12/15/2018
     8,000,000       8,000,000       8,400,000  
 Moto Hospitality Limited+^#
     10.25    
3/15/2017
     2,000,000       3,120,099       3,601,020  
Quality Distribution Inc.#
     9.88    
11/1/2018
     1,836,000       1,952,629       2,005,830  
Total Cargo Transport
                 11,836,000       13,072,728       14,006,850  
                                     
Chemicals, Plastics and Rubber — 5.52%*:
  
Associated Asphalt Partners LLC^#
     8.50    
2/15/2018
     2,069,000       2,069,000       2,167,277  
 Ciech Group Finance+^#
     9.50    
11/30/2019
     1,200,000       1,538,876       1,912,905  
 Cornerstone Chemical Co.^#
     9.38    
3/15/2018
     7,975,000       8,196,016       8,453,500  
Kerneos Tech Group^+
     5.75    
3/1/2021
     200,000       274,190       282,657  
 LSB Industries, Inc.^
     7.75    
8/1/2019
     3,000,000       3,000,000       3,217,500  
 Omnova Solutions, Inc.#
     7.88    
11/1/2018
     1,630,000       1,664,108       1,740,025  
 Pinnacle Operating Corp.^#
     9.00    
11/15/2020
     2,635,000       2,642,894       2,845,800  
TPC Group, Inc.^#
     8.75    
12/15/2020
     7,065,000       7,144,875       7,745,006  
Total Chemicals, Plastics and Rubber
                 25,774,000       26,529,959       28,364,670  
                                     
Containers, Packaging and Glass — 2.49%*:
  
Innovia Group Finance^+
     5.29    
3/31/2020
     750,000       1,021,099       1,043,575  
Multi Packaging Solutions, Inc.^
     8.50    
8/15/2021
     4,605,000       4,570,463       5,042,475  
Pretium Packaging, LLC#
     11.50    
4/1/2016
     6,265,000       6,388,170       6,703,550  
Total Containers, Packaging and Glass
                 11,620,000       11,979,732       12,789,600  
                                     
Diversified/Conglomerate Manufacturing — 3.14%*:
  
Appvion Inc.^#
     9.00    
6/1/2020
     10,090,000       10,326,142       10,291,800  
Carlisle Transportation Products^#
     8.25    
12/15/2019
     1,950,000       1,950,000       2,101,125  
StoneMor Partners L.P.^#
     7.88    
6/1/2021
     3,000,000       2,940,033       3,082,500  
Waterjet Holdings, Inc.^
     7.63    
2/1/2020
     645,000       645,000       683,700  
Total Diversified/Conglomerate Manufacturing
                 15,685,000       15,861,175       16,159,125  
                                     
Diversified/Conglomerate Service — 1.14%*:
  
Bravida+^
     6.31    
6/15/2019
     5,500,000       837,999       880,792  
Verisure Holdings+^#
     6.79    
9/1/2018
     3,500,000       4,476,132       4,978,509  
Total Diversified/Conglomerate Service
                 9,000,000       5,314,131       5,859,301  
                                     
Diversified Natural Resources, Precious Metals and Minerals — 1.06%*:
  
Lecta S.A.+^#
     8.88    
5/15/2019
     1,090,000       1,427,513       1,474,977  
Lecta S.A.+^#
     5.72    
5/15/2018
     2,600,000       3,258,034       3,492,361  
Metsa Board Corp.^+
     4.00    
3/13/2019
     350,000       481,168       482,421  
Total Diversified Natural Resources, Precious Metals and Minerals
                 4,040,000       5,166,715       5,449,759  
                                     
Electronics — 1.71%*:
  
International Wire Group, Inc.^#
     8.50    
10/15/2017
     8,086,000       8,229,344       8,813,740  
Total Electronics
                 8,086,000       8,229,344       8,813,740  
                                     
Farming and Agriculture — 0.92%*:
  
Chiquita Brands International Inc.#
     7.88    
2/1/2021
     4,247,000       4,216,167       4,740,714  
Total Farming and Agriculture
                 4,247,000       4,216,167       4,740,714  
 
 
 
 
 
 
Finance — 6.66%*:
  
Cabot Financial+^
     6.50    
4/1/2021
     300,000     $ 494,821     $ 498,266  
Cabot Financial+^#
     10.38    
10/1/2019
     3,750,000       6,300,976       7,127,019  
First Data Corp.#
     11.25    
1/15/2021
     6,000,000       5,992,500       6,847,500  
Galaxy Finco Ltd.+^
     6.38    
11/15/2020
     650,000       1,053,229       1,117,233  
Galaxy Finco Ltd.+^
     7.88    
11/15/2021
     2,150,000       3,471,657       3,699,944  
Jurassic Holdings^#
     6.88    
2/15/2021
     1,005,000       1,005,000       1,035,150  
Lowell Group Financing PLC+^#
     10.75    
4/1/2019
     2,000,000       3,388,991       3,776,070  
Lowell Group Financing PLC+^
     5.88    
4/1/2019
     650,000       1,083,586       1,081,148  
Marlin Financial+^
     10.50    
8/1/2020
     1,350,000       2,055,045       2,611,190  
Sophia Holding Finance LP^#
     9.63    
12/1/2018
     1,375,000       1,361,250       1,440,312  
TMF Group Holding+^#
     5.61    
12/1/2018
     1,400,000       1,802,552       1,952,829  
TMF Group Holding+^
     9.88    
12/1/2019
     2,000,000       2,684,593       3,079,064  
Total Finance
                 22,630,000       30,694,200       34,265,725  
                                     
Grocery — 0.15%*:
  
Premier Foods Finance^+
     6.50    
3/15/2021
     450,000       753,163       769,043  
Total Grocery
                 450,000       753,163       769,043  
                                     
Healthcare, Education and Childcare — 7.34%*:
  
Care UK Health+#
     9.75    
8/1/2017
     4,000,000       6,536,266       7,093,877  
Crown Newco PLC+^#
     8.88    
2/15/2019
     6,100,000       10,055,888       10,739,043  
Prospect Medical Holdings  Inc^#
     8.38    
5/1/2019
     5,000,000       5,082,955       5,475,000  
Tenet Healthcare Corporation
     8.13    
4/1/2022
     3,700,000       3,700,000       4,134,750  
Unilabs+^
     7.53    
7/15/2018
     2,800,000       3,865,602       3,934,589  
Unilabs+^
     8.50    
7/15/2018
     1,850,000       2,341,923       2,695,214  
Valeant+^
     7.50    
7/15/2021
     3,260,000       3,260,000       3,667,500  
Total Healthcare, Education and Childcare
                 26,710,000       34,842,634       37,739,973  
                                     
Hotels, Motels, Inns and Gaming — 0.98%*:
  
Gala Group Finance+#
     8.88    
9/1/2018
     2,250,000       3,632,409       4,013,637  
N.H. Hotels S.A.+^
     6.88    
11/15/2019
     700,000       950,428       1,046,331  
Total Hotels, Motels, Inns and Gaming
                 2,950,000       4,582,837       5,059,968  
                                     
Insurance — 2.44%*:
  
Hastings Insurance Group+^
     8.00    
10/21/2020
     3,550,000       5,727,686       6,184,669  
Towergate Finance PLC^+
     10.50    
2/15/2019
     3,000,000       5,145,616       5,301,502  
Towergate Finance PLC^+
     8.50    
2/15/2018
     600,000       938,822       1,062,801  
Total Insurance
                 7,150,000       11,812,124       12,548,972  
                                     
Leisure, Amusement, Motion Pictures and Entertainment — 1.95%*:
  
Palace Entertainment Holdings^
     8.88    
4/15/2017
     4,324,000       4,470,074       4,486,150  
Vue Cinimas+^
     7.88    
7/15/2020
     550,000       835,727       1,001,137  
Travelex+^
     8.00    
8/1/2018
     2,500,000       3,823,597       4,547,288  
Total Leisure, Amusement, Motion Pictures and Entertainment
                 7,374,000       9,129,398       10,034,575  
                                     
Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 4.01%*:
  
Cleaver-Brooks, Inc.^#
     8.75    
12/15/2019
     4,740,000       4,863,234       5,237,700  
KM Germany Holding+^
     8.75    
12/15/2020
     1,450,000       1,876,585       2,237,635  
Milacron LLC^#
     8.38    
5/15/2019
     5,800,000       5,935,872       6,409,000  
Xerium Technologies
     8.88    
6/15/2018
     6,324,000       6,370,546       6,750,870  
Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic)
                 18,314,000       19,046,237       20,635,205  
                                     
 
 
 
 
 
 
Mining, Steel, Iron and Non-Precious Metals — 3.72%*:
  
Ausdrill Finance Pty Ltd.+^#
     6.88    
11/1/2019
     3,000,000     $ 3,000,000     $ 2,730,000  
Barminco Finance Pty Ltd.+^#
     9.00    
6/1/2018
     6,000,000       5,939,608       5,520,000  
Hecla Mining Company#
     6.88    
5/1/2021
     5,425,000       5,391,421       5,262,250  
Murray Energy Corp^
     8.63    
6/15/2021
     1,050,000       1,102,362       1,105,125  
Westmoreland Escrow Corp.^
     10.75    
2/1/2018
     2,870,000       3,061,120       3,135,475  
 Wise Metals^#
     8.75    
12/15/2018
     1,280,000       1,280,000       1,372,800  
 Total Mining, Steel, Iron and Non-Precious Metals
                 19,625,000       19,774,511       19,125,650  
                                     
Oil and Gas — 31.27%*:
  
 Alta Mesa Holdings, LP#
     9.63    
10/15/2018
     4,275,000       4,362,692       4,595,625  
 Calumet Specialty Products#
     7.63    
1/15/2022
     1,135,000       1,117,907       1,203,100  
 Calumet Specialty Products#
     9.38    
5/1/2019
     7,365,000       7,845,544       8,368,481  
Calumet Specialty Products^
     6.50    
4/15/2021
     6,000,000       6,000,000       6,045,000  
CHC Helicopter+#
     9.25    
10/15/2020
     4,158,000       4,254,142       4,516,627  
CHC Helicopter#
     9.38    
6/1/2021
     3,000,000       3,000,000       3,180,000  
Era Group Inc.#
     7.75    
12/15/2022
     6,019,000       5,986,759       6,350,045  
Ferrellgas Partners LP#
     8.63    
6/15/2020
     7,135,000       7,007,542       7,580,937  
Halcon Resources Corporation#
     9.75    
7/15/2020
     4,300,000       4,441,576       4,627,000  
Halcon Resources Corporation^#
     8.88    
5/15/2021
     2,316,000       2,339,018       2,402,850  
Headwaters, Inc.#
     7.63    
4/1/2019
     3,000,000       3,111,094       3,232,500  
Hercules Offshore, Inc.^#
     10.25    
4/1/2019
     6,865,000       7,174,676       7,723,125  
Linn Energy, LLC
     8.63    
4/15/2020
     7,873,000       8,084,445       8,552,046  
Magnum Hunter Resources, Corp
     9.75    
5/15/2020
     3,000,000       3,052,801       3,322,500  
Midstates Petroleum Company Inc.#
     10.75    
10/1/2020
     8,800,000       9,324,744       9,724,000  
Midstates Petroleum Company Inc.
     9.25    
6/1/2021
     8,065,000       8,111,027       8,427,925  
Millennium Offshore+^
     9.50    
2/15/2018
     6,000,000       6,000,000       6,360,000  
Niska Gas Storage^+
     6.50    
4/1/2019
     6,000,000       6,000,000       5,910,000  
Northern Tier Energy LLC#
     7.13    
11/15/2020
     6,000,000       6,000,000       6,420,000  
Pbf Holding Company LLC#
     8.25    
2/15/2020
     6,000,000       6,256,038       6,510,000  
Penn Virginia Corp
     8.50    
5/1/2020
     4,000,000       4,000,000       4,450,000  
 Quicksilver Resources^#
     7.00    
6/21/2019
     2,861,000       2,852,674       2,832,390  
Resolute Energy Corp.#
     8.50    
5/1/2020
     7,285,000       7,428,303       7,612,825  
RKI Exploration and Production, LLC^#
     8.50    
8/1/2021
     5,405,000       5,442,577       5,837,400  
Samson Investment Company^#
     10.75    
2/15/2020
     5,000,000       5,219,181       5,450,000  
Shelf Drilling Holdings Ltd+^#
     8.63    
11/1/2018
     6,000,000       6,069,083       6,495,000  
 Topaz Marine SA+^#
     8.63    
11/1/2018
     6,877,000       6,923,726       7,220,850  
 Welltec+^#
     8.00    
2/1/2019
     5,500,000       5,704,832       5,857,500  
 Total Oil and Gas
                 150,234,000       153,110,381       160,807,726  
                                     
Personal, Food and Miscellaneous — 2.81%*:
  
 Brake Brothers Acquisition PLC+^
     7.13    
12/15/2018
     3,050,000       4,964,946       5,186,470  
 Cerved Holding Spa+^
     8.00    
1/15/2021
     4,000,000       5,343,756       6,076,350  
 Teamsystem S.P.A.+^
     7.38    
5/15/2020
     2,180,000       2,775,847       3,197,233  
 Total Personal, Food and Miscellaneous
                 9,230,000       13,084,549       14,460,053  
 
 
 
 
 
 
Printing and Publishing — 0.57%*:
  
  R.R. Donnelley & Sons Company
     7.88    
3/15/2021
     2,570,000     $ 2,557,150     $ 2,942,650  
 Total Printing and Publishing
                 2,570,000       2,557,150       2,942,650  
                                     
Retail Store — 8.81%*:
  
   Brighthouse Group PLC+^
     7.88    
5/15/2018
     2,000,000       3,114,883       3,537,802  
 GRD Holding Corp.^#
     10.75    
6/1/2019
     3,150,000       3,220,613       3,465,000  
   HD Supply, Inc.#
     11.50    
7/15/2020
     5,000,000       5,268,089       5,950,000  
   House Fraser PLC+^#
     8.88    
8/15/2018
     4,000,000       6,504,706       7,235,383  
   HSS Financing PLC^+
     6.75    
8/1/2019
     950,000       1,572,535       1,643,174  
   New Look Retail Group Limited+^
     8.75    
5/14/2018
     5,000,000       7,709,174       8,940,533  
   Pantry, Inc#
     8.38    
8/1/2020
     875,000       906,091       945,000  
 Quicksilver, Inc.^#
     7.88    
8/1/2018
     1,210,000       1,203,744       1,315,875  
   Spencer Spirit Holdings, Inc.^#
     11.00    
5/1/2017
     5,970,000       6,328,712       6,328,200  
   Takko Fashion+^
     9.88    
4/15/2019
     4,650,000       6,084,835       5,970,491  
  Total Retail Store
                 32,805,000       41,913,382       45,331,458  
                                     
Telecommunications — 6.91%*:
  
   Digicel Group Ltd^+
     7.13    
4/1/2022
     2,000,000       2,000,000       2,022,500  
   Eircom Finance Ltd^+
     9.25    
5/15/2020
     1,450,000       2,158,890       2,214,842  
   Manutencoop Facility Management+^
     8.50    
8/1/2020
     4,570,000       6,122,372       6,972,702  
   Nara Cable FDG Ltd+^#
     8.88    
12/1/2018
     6,000,000       5,694,518       6,487,500  
   Norcell Sweden+^
     9.25    
9/29/2018
     19,500,000       3,210,116       3,291,527  
   Play Finance^+
     6.50    
8/1/2019
     1,200,000       1,641,071       1,727,582  
   Sprint Nextel Corporation^#
     7.25    
9/15/2021
     2,650,000       2,650,000       2,888,500  
   UPC Broadband+^
     6.75    
3/15/2023
     1,000,000       1,055,855       1,235,790  
 Wind Acquisition+^
     11.75    
7/15/2017
     6,000,000       8,192,040       8,698,252  
  Total Telecommunications
                 44,370,000       32,724,862       35,539,195  
                                     
Textiles & Leather — 1.43%*:
  
   Perry Ellis International Inc#
     7.88    
4/1/2019
     7,000,000       7,245,038       7,332,500  
  Total Textiles & Leather
                 7,000,000       7,245,038       7,332,500  
   
  Total Corporate Bonds
                 499,181,000       534,688,323       571,478,187  
                                     
  Total Fixed Income
                 602,132,569       639,373,080       677,675,226  
                                     
Other assets and liabilities — (31.76)%
       (163,338,402 )
Net Assets — 100%
     $ 514,336,824  
                                     
 
 
 
 
 
 
 
‡  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
     63.8 %  
United Kingdom
     14.4 %  
Italy
     3.7 %  
Germany
     2.9 %  
Sweden
     2.3 %  
Canada
     2.1 %  
United Arab Emirates
     1.9 %  
Netherlands
     1.2 %  
Australia
     1.2 %  
Spain
     1.1 %  
Azerbaijan
     1.1 %  
(Individually less than 1%)
     4.3 %  
      100.0 %  
 
^ 
Security exempt from registration under Rule 144a of the Securities Act of 1933.  These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

 
Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at March 31, 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 3/31/2014
                  
                         
Counterparty
Currency
Contract Type
Delivery Date
  
Value
    
Aggregate Face Value
    
Unrealized Appreciation / (Depreciation)
  
Credit Suisse
                        
Swiss francs
Sell
4/30/2014
   $ (44,917 )   $ (45,257 )   $ (340 )
Swiss francs
Sell
5/15/2014
     (30,144 )     (30,152 )     (8 )
British pounds
Sell
4/10/2014
     (55,814,064 )     (56,845,361 )     (1,031,297 )
British pounds
Sell
4/30/2014
     (3,252,614 )     (3,291,886 )     (39,272 )
British pounds
Sell
5/15/2014
     (12,990,819 )     (12,999,171 )     (8,352 )
Euros
Buy
4/10/2014
     2,214,374       2,230,367       15,993  
Euros
Buy
5/15/2014
     2,632,202       2,631,663       (539 )
Euros
Sell
4/10/2014
     (11,920,658 )     (11,971,518 )     (50,860 )
Euros
Sell
4/30/2014
     (773,808 )     (778,323 )     (4,515 )
Euros
Sell
5/15/2014
     (4,450,548 )     (4,408,702 )     41,846  
Swedish krona
Sell
5/15/2014
     (129,413 )     (126,756 )     2,657  
U.S. Dollars
Buy
4/10/2014
     67,734,721       67,734,721       -  
U.S. Dollars
Buy
4/30/2014
     4,071,339       4,071,339       -  
U.S. Dollars
Buy
5/15/2014
     17,600,925       17,600,925       -  
U.S. Dollars
Sell
4/10/2014
     (2,214,374 )     (2,214,374 )     -  
U.S. Dollars
Sell
5/15/2014
     (2,632,202 )     (2,632,202 )     -  
            -       (1,074,687 )     (1,074,687 )
                               
J.P. Morgan
                              
Swiss francs
Sell
4/30/2014
   $ (11,280 )   $ (11,314 )   $ (34 )
British pounds
Sell
4/10/2014
     (748,045 )     (750,159 )     (2,114 )
Euros
Buy
4/10/2014
     3,610,897       3,650,693       39,796  
Euros
Sell
4/10/2014
     (52,736,324 )     (53,176,133 )     (439,809 )
Euros
Sell
5/15/2014
     (1,321,065 )     (1,308,657 )     12,408  
U.S. Dollars
Buy
4/10/2014
     53,484,369       53,484,369       -  
U.S. Dollars
Buy
4/30/2014
     11,281       11,281       -  
U.S. Dollars
Buy
5/15/2014
     1,321,065       1,321,065       -  
U.S. Dollars
Sell
4/10/2014
     (3,610,898 )     (3,610,898 )     -  
            -       (389,753 )     (389,753 )
                               
Morgan Stanley
                            
Swiss francs
Sell
4/30/2014
   $ (1,171,047 )   $ (1,190,267 )   $ (19,220 )
British pounds
Buy
5/15/2014
     3,539,008       3,549,536       10,528  
British pounds
Sell
4/30/2014
     (30,985,545 )     (31,168,745 )     (183,200 )
British pounds
Sell
5/15/2014
     (1,766,036 )     (1,785,096 )     (19,060 )
Euros
Buy
4/10/2014
     5,770,986       5,772,822       1,836  
Euros
Sell
4/30/2014
     (27,604,421 )     (27,840,120 )     (235,699 )
Swedish krona
Sell
4/30/2014
     (4,268,695 )     (4,246,881 )     21,814  
U.S. Dollars
Buy
4/30/2014
     64,029,708       64,029,708       -  
U.S. Dollars
Buy
5/15/2014
     1,766,036       1,766,036       -  
U.S. Dollars
Sell
4/10/2014
     (5,770,986 )     (5,770,986 )     -  
U.S. Dollars
Sell
5/15/2014
     (3,539,008 )     (3,539,008 )     -  
            -       (423,001 )     (423,001 )
                               
            -       (1,887,441 )     (1,887,441 )
                               
 
 
 
 
 
 
 
 
Tax Basis

The cost basis of investments for federal income tax purposes at March 31, 2014 for Babson Capital Global Short Duration High Yield Fund (the “Fund”) was as follows*:
 
Cost of investments   $ 639,373,080    
Gross unrealized appreciation     39,552,460    
Gross unrealized depreciation     (1,250,314 )  
Net unrealized appreciation   $ 38,302,146    

*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 in 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, 2014 in valuing the Fund’s investments:
 
Description             
  
Level 1
    
Level 2
    
Level 3
    
Total
Investments
  
Assets:
Fixed Income:
                        
   Bank Loans
   $ -     $ 102,206,563     $ 3,990,476     $ 106,497,039  
   Bonds
     -       571,478,187       -       571,478,187  
Total Fixed Income
     -       673,684,750       3,990,476       677,675,226  
Liabilities:
Derivative Securities:
                                
   Foreign Exchange Contracts
     -       (1,887,441 )     -       (1,887,441 )
Total Derivative Securities
     -       (1,887,441 )     -       (1,887,441 )
                                 
Total Investments
   $ -     $ 671,797,309     $ 3,990,476     $ 675,787,785  
 
 
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, 2014.

Type of Assets
  
Fair value as of March 31, 2014
  
Valuation
Techniques(s)
Unobservable
Input
  
Range (Weighted Average)
               
Bank Loan
      
 
Direct ChassisLink, Inc.
   $ 3,990,476  
 
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 ended March 31, 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 March 31, 2014
    
Change in Unrealized Appreciation / Depreciation from Investments Held as of March 31, 2014
  
Fixed Income
                                                
Bank Loan
   $ 4,000,000     $ -     $ -     $ -     $ -     $ 9,524     $ 3,990,476     $ 9,524  
 
 
 
Derivative Instruments
 
The following is a description of the derivative instruments that the Fund utilizes as part of its investment strategy, including the primary underlying risk exposures related to the instrument.
 
Forward Foreign Currency Exchange Contracts – The Fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives.  The Fund 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 would have recognized a liability on the Statement of Assets and Liabilities as a result of forward foreign exchange contracts with Credit Suisse, J.P. Morgan and Morgan Stanley.  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 a liability of $1,887,441 in net unrealized depreciation on forward foreign exchange contracts
 
During the period ended March 31, 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 March 31, 2014.  These derivatives are presented in the Schedule of Investments.
 
Fair values of derivative instruments as of March 31, 2014:
 
Derivatives   Statement of Assets and Liabilities Location   Fair Value    
Foreign exchange contracts:            
  Forward Foreign Currency            
    Exchange Contracts  
Payables
 $ (1,887,441 )  
Total
       (1,887,441 )  
 
 
The effect of derivative instruments on the Statement of Operations for the period ended January 1, 2014 through March 31, 2014:
 
Amount of Realized Gain/(Loss) on Derivatives

Derivatives  
Forward Currency Exchange Contracts
    
Foreign exchange contracts:  $ (2,247,257 )  
Total
  $ (2,247,257 )  
 
 
Change in Unrealized Appreciation/(Depreciation) on Derivatives
 
Derivatives  
Forward Currency Exchange Contracts
    
Foreign exchange contracts:  $ 1,287,636    
Total
  $ 1,287,636    
 
 
 
 
 
 

Offsetting of Financial and Derivative Assets and Liabilities

   
Forward Foreign Exchange Contracts
    
Assets:
        
    Forward foreign exchange contracts*
   $ 227,933,789    
Liabilities:
          
    Forward foreign exchange contracts *
     229,821,230    
Total Financial and Derivative Net Liabilities
     (1,887,441 )  
* 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    May XX, 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    May XX, 2014                                                                                                
 
 
By (Signature and Title)  /s/ Patrick Hoefling                                                        
                                                  Patrick Hoefling, Chief Financial Officer

Date    May XX, 2014