Edgar Filing: BABSON CAPITAL GLOBAL SHORT DURATION HIGH YIELD FUND

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, 2013

Date of reporting period: September 30, 2013

Item 1. Schedule of Investments.

Babson Capital Global Short Duration High Yield Fund
SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2013

					Effective interest rate‡			Due date		Principal		Cost		Fair value

Fixed Income — 122.37%*:
Bank Loans — 19.60%*:
	Beverage, Food and Tobacco — 0.91%*:
			Performance Food Group Company		6.25	%	11/30/2019		$	4,631,699	$	4,606,716	$	4,568,012
				Total Beverage, Food and Tobacco						4,631,699		4,606,716		4,568,012

	Broadcasting and Entertainment — 1.38%*:
			Deluxe Entertainment Services Group, Inc.		8.00		7/3/2017			5,265,528		5,078,276		5,028,579
			TWCC Holding Corp.		7.00		12/11/2020			1,822,860		1,804,632		1,868,432
				Total Broadcasting and Entertainment						7,088,388		6,882,908		6,897,011

	Buildings and Real Estate — 0.77%*:
			Tomkins Air Distribution		9.25		5/11/2020			3,773,513		3,716,929		3,839,549
				Total Buildings and Real Estate						3,773,513		3,716,929		3,839,549

	Chemicals, Plastics and Rubber — 1.23%*:
			Cytec Monarch		8.25		3/20/2020			6,000,000		6,161,276		6,135,000
				Total Chemicals, Plastics and Rubber						6,000,000		6,161,276		6,135,000

	Diversified/Conglomerate Manufacturing — 1.16%*:
			Alliance Laundry Systems LLC		9.50		11/30/2019			1,728,930		1,711,655		1,739,735
			Northern Tool & Equipment Company, Inc.		7.00		12/6/2018			4,060,714		3,980,017		4,060,714
				Total Diversified/Conglomerate Manufacturing						5,789,644		5,691,672		5,800,449

	Diversified/Conglomerate Service — 2.35%*:
			Endurance International Group Inc.		6.25		10/18/2017			5,955,000		5,895,469		5,973,639
			Redprarie Corporation		6.75		12/14/2018			2,977,500		2,920,799		2,994,442
			Redprarie Corporation		11.25		12/14/2019			2,702,244		2,650,389		2,749,533
				Total Diversified/Conglomerate Service						11,634,744		11,466,657		11,717,614

	Electronics — 1.55%*:
			Kronos, Inc.		9.75		4/26/2020			7,500,000		7,425,012		7,753,125
				Total Electronics						7,500,000		7,425,012		7,753,125

	Farming and Agriculture — 0.45%*:
			Allflex Holdings, Inc.		8.00		7/17/2021			2,232,322		2,209,999		2,258,373
				Total Farming and Agriculture						2,232,322		2,209,999		2,258,373

	Finance — 1.44%*:
			Confie Seguros Holding		10.25		5/8/2019			1,880,257		1,857,084		1,882,607
			Cunningham Lindsey Group, Inc.		9.25		4/18/2020			2,338,636		2,364,048		2,324,020
			Transfirst Holdings Inc.		11.00		6/30/2018			1,004,072		975,534		1,019,766
			Wall Street Systems Inc.		9.25		4/24/2020			1,980,000		1,980,000		1,992,375
				Total Finance						7,202,965		7,176,666		7,218,768

	Healthcare, Education and Childcare — 1.71%*:
			Air Medical Group Holdings		6.50		6/20/2018			2,239,233		2,216,854		2,278,419
			Sage Products Holdings Iii, LLC		9.25		5/31/2020			3,325,292		3,275,431		3,400,111
			TriZetto Group		8.50		3/27/2019			3,325,000		3,309,161		2,876,125
				Total Healthcare, Education and Childcare						8,889,525		8,801,446		8,554,655

	Mining, Steel, Iron and Non-Precious Metals — 1.68%*:
			Boomerang Tube, LLC		11.00		10/8/2017			4,712,929		4,682,141		4,571,541
			Oxbow Carbon		8.00		1/18/2020			3,750,000		3,712,500		3,825,000
				Total Mining, Steel, Iron and Non-Precious Metals						8,462,929		8,394,641		8,396,541

	Oil and Gas — 3.02%*:
			Bowie Resource Partners LLC		6.75		8/7/2020			260,285		260,285		261,586
			Chesapeake Energy Corporation		5.75		12/4/2017			2,000,000		1,968,630		2,033,120
			Fieldwood Energy LLC		8.38		9/30/2020			270,185		262,079		269,088
			NFR Energy LLC		8.75		12/31/2018			7,008,901		7,094,663		7,022,077
			Rice Energy		8.50		9/26/2018			5,489,920		5,467,657		5,503,645
				Total Oil and Gas						15,029,291		15,053,314		15,089,516

	Retail Store — 1.95%*:
			BJ's Wholesale Club, Inc.		9.75		3/13/2020			4,000,000		4,095,549		4,071,680
			FleetPride		9.25		5/8/2020			3,000,000		2,940,143		2,765,640
			Smart & Final Holdings Corp.		10.50		11/8/2020			2,871,795		2,789,031		2,900,513
				Total Retail Store						9,871,795		9,824,723		9,737,833

				Total Bank Loans						98,106,815		97,411,958		97,966,447

Corporate Bonds — 102.77%*:
	Aerospace and Defense* — 0.49%*:
			Ducommun Inc.		9.75	%	7/15/2018		$	2,230,000	$	2,388,613	$	2,475,300
				Total Aerospace and Defense						2,230,000		2,388,613		2,475,300

	Automobile — 5.90%*:
			Accuride Corp		9.50		8/1/2018			6,800,000		6,698,581		7,089,000
			J.B. Poindexter & Co. Inc.^		9.00		4/1/2022			6,000,000		6,189,368		6,300,000
			International Automotive Components Group, S.A.^		9.13		6/1/2018			4,866,000		4,885,407		5,011,980
			Meritor Inc.		10.63		3/15/2018			3,000,000		3,059,110		3,240,000
			Meritor Inc.^		7.88		3/1/2026			2,010,000		1,992,901		2,521,294
			UCI International, Inc.		8.63		2/15/2019			5,215,000		5,175,888		5,319,300
				Total Automobile						27,891,000		28,001,255		29,481,574

	Beverage, Food and Tobacco — 0.53%*:
			Findus+^		9.13		7/1/2018			1,850,000		2,421,618		2,646,683
				Total Beverage, Food and Tobacco						1,850,000		2,421,618		2,646,683

	Broadcasting and Entertainment — 1.73%*:
			Arqiva Finance+^		9.50		3/31/2020			5,000,000		7,945,723		8,661,162
				Total Broadcasting and Entertainment						5,000,000		7,945,723		8,661,162

	Buildings and Real Estate — 2.92%*:
			Builders FirstSource Inc.^		7.63		6/1/2021			1,020,000		1,020,000		1,020,000
			Lyon Williams Homes, Inc.		8.50		11/15/2020			8,000,000		8,054,974		8,440,000
			Roofing Supply LLC^		10.00		6/1/2020			4,605,000		5,057,288		5,134,575
				Total Buildings and Real Estate						13,625,000		14,132,262		14,594,575

	Cargo Transport — 2.77%*:
			Kenan Advantage Group, Inc.^		8.38		12/15/2018			8,000,000		8,000,000		8,390,000
			Moto Hospitality Limited+^		10.25		3/15/2017			2,000,000		3,106,481		3,436,134
			Quality Distribution Inc.		9.88		11/1/2018			1,836,000		1,962,980		1,996,650
				Total Cargo Transport						11,836,000		13,069,461		13,822,784

	Chemicals, Plastics and Rubber — 8.15%*:
			Associated Asphalt Partners LLC^		8.50		2/15/2018			2,300,000		2,300,000		2,300,000
			Ciech Group Finance+^		9.50		11/30/2019			1,200,000		1,538,876		1,773,587
			Cornerstone Chemical Co.^		9.38		3/15/2018			7,975,000		8,219,246		8,353,813
			Ineos+^		6.13		8/15/2018			970,000		970,000		948,175
			LSB Industries, Inc.^		7.75		8/1/2019			3,000,000		3,000,000		3,112,500
			Omnova Solutions, Inc.		7.88		11/1/2018			1,630,000		1,667,202		1,715,575
			Perstorp Holding AB+^		9.00		5/15/2017			2,620,000		3,416,934		3,686,247
			Pinnacle Operating Corp.^		9.00		11/15/2020			2,635,000		2,643,240		2,697,581
			TPC Group, Inc.^		8.75		12/15/2020			7,065,000		7,149,248		7,223,963
			Tronox Worldwide LLC		6.38		8/15/2020			9,000,000		8,937,230		8,910,000
				Total Chemicals, Plastics and Rubber						38,395,000		39,841,976		40,721,441

	Containers, Packaging and Glass — 2.70%*:
			Bormioli Rocco & Figlio S.P.A.+^		10.00		8/1/2018			1,500,000		1,991,377		2,206,837
			Multi Packaging Solutions, Inc.^		8.50		8/15/2021			4,605,000		4,570,462		4,558,950
			Pretium Packaging, LLC		11.50		4/1/2016			6,265,000		6,415,261		6,719,213
				Total Containers, Packaging and Glass						12,370,000		12,977,100		13,485,000

	Diversified/Conglomerate Manufacturing — 0.62%*:
			StoneMor Partners L.P.^		7.88		6/1/2021			3,000,000		2,937,004		3,082,500
				Total Diversified/Conglomerate Manufacturing						3,000,000		2,937,004		3,082,500

	Diversified/Conglomerate Service — 2.58%*:
			Bravida+^		6.59		6/15/2019			5,500,000		837,999		871,569
			Brickman Group Holdings, Inc.^		9.13		11/1/2018			6,670,000		6,813,775		7,136,900
			Verisure Holdings+		6.72		9/1/2018			3,500,000		4,476,132		4,888,863
				Total Diversified/Conglomerate Service						15,670,000		12,127,906		12,897,332

	Diversified Natural Resources, Precious Metals and Minerals — 1.12%*:
			ENCE+		7.25		2/15/2020			650,000		874,938		918,924
			Lecta S.A.+^		8.88		5/15/2019			1,090,000		1,430,469		1,394,904
			Lecta S.A.+^		5.73		5/15/2018			2,600,000		3,245,688		3,271,192
				Total Diversified Natural Resources, Precious Metals and Minerals						4,340,000		5,551,095		5,585,020

	Electronics — 1.70%*:
			International Wire Group, Inc.^		8.50		10/15/2017			8,086,000		8,246,585		8,490,300
				Total Electronics						8,086,000		8,246,585		8,490,300

	Farming and Agriculture — 0.92%*:
			Chiquita Brands International Inc.^		7.88		2/1/2021			4,350,000		4,318,419		4,621,875
				Total Farming and Agriculture						4,350,000		4,318,419		4,621,875

	Finance — 6.25%*:
			Arrow Global Finance+^		7.88		3/1/2020			500,000		791,653		830,298
			Cabot Financial+^		10.38		10/1/2019			3,750,000		6,319,570		6,890,481
			Equiniti Group Ltd.+^		7.13		12/15/2018			1,460,000		2,222,582		2,434,515
			First Data Corp.^		11.25		1/15/2021			6,000,000		5,992,500		6,270,000
			Lowell Group Financing PLC+^		10.75		4/1/2019			2,000,000		3,401,531		3,670,876
			Marlin Financial+^		10.50		8/1/2020			1,350,000		2,055,045		2,344,743
			TMF Group Holding+^		5.60		12/1/2018			1,400,000		1,802,552		1,922,401
			TMF Group Holding+^		9.88		12/1/2019			2,000,000		2,686,388		2,851,917
			Travelex+^		8.00		8/1/2018			2,500,000		3,823,597		4,047,272
				Total Finance						20,960,000		29,095,418		31,262,503

	Healthcare, Education and Childcare — 6.16%*:
			Care UK Health+		9.75		8/1/2017			4,000,000		6,573,147		6,702,283
			Cerba European Lab+^		7.00		2/1/2020			450,000		599,464		620,958
			Crown Newco PLC+^		8.88		2/15/2019			5,100,000		8,315,556		8,235,794
			Prospect Medical Holdings Inc^		8.38		5/1/2019			5,000,000		5,089,492		5,250,000
			Tenet Healthcare Corporation^		8.13		4/1/2022			3,700,000		3,700,000		3,861,875
			Unilabs+^		8.50		7/15/2018			1,850,000		2,337,810		2,596,627
			Valeant+^		7.50		7/15/2021			3,260,000		3,260,000		3,512,650
				Total Healthcare, Education and Childcare						23,360,000		29,875,469		30,780,187

	Hotels, Motels, Inns and Gaming — 0.96%*:
			Gala Group Finance+		8.88		9/1/2018			2,750,000		4,439,400		4,819,824
				Total Hotels, Motels, Inns and Gaming						2,750,000		4,439,400		4,819,824

	Insurance — 0.20%*:
			Towergate Finance PLC+^		8.50		2/15/2018			600,000		941,119		1,023,069
				Total Insurance						600,000		941,119		1,023,069

	Leisure, Amusement, Motion Pictures and Entertainment — 1.02%*:
			Odeon & Uci Finco+		9.00		8/1/2018			2,560,000		4,230,668		4,165,129
			Vue Cinimas+^		7.88		7/15/2020			550,000		835,727		926,105
				Total Leisure, Amusement, Motion Pictures and Entertainment						3,110,000		5,066,395		5,091,234

	Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 3.33%*:
			Cleaver-Brooks, Inc.^		8.75		12/15/2019			4,740,000		4,871,675		5,119,200
			KM Germany Holding+^		8.75		12/15/2020			1,450,000		1,876,585		2,113,660
			Milacron LLC^		8.38		5/15/2019			5,800,000		5,946,519		6,336,500
			Xerium Technologies		8.88		6/15/2018			3,000,000		2,883,725		3,075,000
				Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic)						14,990,000		15,578,504		16,644,360

	Mining, Steel, Iron and Non-Precious Metals — 4.59%*:
			Alba Group PLC+^		8.00		5/15/2018			2,500,000		3,340,013		3,340,188
			Ausdrill Finance Pty Ltd.+^		6.88		11/1/2019			6,000,000		6,000,000		5,550,000
			Barminco Finance Pty Ltd.+^		9.00		6/1/2018			6,000,000		5,933,763		5,475,000
			Hecla Mining Company^		6.88		5/1/2021			5,425,000		5,389,481		5,126,625
			New World Resources N.V.+^		7.88		5/1/2018			3,350,000		4,312,857		3,437,586
				Total Mining, Steel, Iron and Non-Precious Metals						23,275,000		24,976,114		22,929,399

	Oil and Gas — 26.61%*:
			Alta Mesa Holdings, LP		9.63		10/15/2018			4,275,000		4,370,383		4,510,125
			Calumet Specialty Products		9.38		5/1/2019			7,365,000		7,883,605		8,083,087
			CHC Helicopter+		9.25		10/15/2020			4,620,000		4,734,304		4,920,300
			CHC Helicopter+		9.38		6/1/2021			3,000,000		3,000,000		2,985,000
			Era Group Inc.		7.75		12/15/2022			3,000,000		2,949,330		3,007,500
			Ferrellgas Partners LP		8.63		6/15/2020			7,135,000		7,000,015		7,402,563
			Gibson Energy Holdings+^		6.75		7/15/2021			1,915,000		1,885,815		1,977,238
			Halcon Resources Corporation		9.75		7/15/2020			5,000,000		5,267,327		5,287,500
			Headwaters, Inc.		7.63		4/1/2019			3,000,000		3,120,310		3,150,000
			Hercules Offshore, Inc.^		10.25		4/1/2019			6,865,000		7,198,733		7,688,800
			Linn Energy, LLC		8.63		4/15/2020			4,000,000		4,054,550		4,135,000
			Magnum Hunter Resources, Corp^		9.75		5/15/2020			3,000,000		3,055,834		3,105,000
			Midstates Petroleum Company Inc.^		10.75		10/1/2020			5,800,000		6,114,182		6,090,000
			Midstates Petroleum Company Inc.^		9.25		6/1/2021			6,065,000		6,024,643		5,989,188
			Millennium Offshore+^		9.50		2/15/2018			6,000,000		6,000,000		6,195,000
			Niska Gas Storage		8.88		3/15/2018			6,500,000		6,716,004		6,727,500
			Northern Tier Energy LLC^		7.13		11/15/2020			6,000,000		6,000,000		6,000,000
			Pbf Holding Company LLC		8.25		2/15/2020			6,000,000		6,273,114		6,210,000
			Penn Virginia Corp		8.50		5/1/2020			4,000,000		4,000,000		4,060,000
			Quicksilver Resources^		7.88		8/1/2018			1,210,000		1,203,744		1,261,425
			Resolute Energy Corp.		8.50		5/1/2020			7,285,000		7,437,329		7,503,550
			RKI Exploration and Production, LLC^		8.50		8/1/2021			5,405,000		5,444,322		5,432,025
			Samson Investment Company^		10.25		2/15/2020			5,000,000		5,246,334		5,300,000
			Seven Generations Energy Ltd.+^		8.25		5/15/2020			3,645,000		3,645,000		3,763,463
			Shelf Drilling Holdings Ltd+^		8.63		11/1/2018			6,000,000		6,075,194		6,375,000
			Welltec+^		8.00		2/1/2019			5,500,000		5,722,250		5,857,500
				Total Oil and Gas						127,585,000		130,422,322		133,016,764

	Personal and Nondurable Consumer Products (Manufacturing Only) — 0.43%*:
			Grohe Holdings+^		8.75		12/15/2017			1,530,000		2,065,992		2,140,133
				Total Personal and Nondurable Consumer Products (Manufacturing Only)						1,530,000		2,065,992		2,140,133

	Personal, Food and Miscellaneous — 1.69%*:
			Cerved Holding Spa+^		8.00		1/15/2021			4,000,000		5,345,149		5,546,687
			Teamsystem S.P.A.+^		7.38		5/15/2020			2,180,000		2,771,533		2,905,271
				Total Personal, Food and Miscellaneous						6,180,000		8,116,682		8,451,958

	Printing and Publishing — 1.30%*:
			Cenveo Corporation		8.88		2/1/2018			3,750,000		3,441,788		3,731,250
			R.R. Donnelley & Sons Company		7.88		3/15/2021			2,570,000		2,557,150		2,756,325
				Total Printing and Publishing						6,320,000		5,998,938		6,487,575

	Retail Store — 9.28%*:
			Brighthouse Group PLC+^		7.88		5/15/2018			2,000,000		3,115,687		3,306,621
			GRD Holding Corp.^		10.75		6/1/2019			3,150,000		3,225,711		3,339,000
			HD Supply, Inc.		11.50		7/15/2020			5,000,000		5,282,884		5,962,500
			House Fraser PLC+^		8.88		8/15/2018			5,000,000		8,141,371		8,637,688
			Matalan Finance PLC+^		8.88		4/29/2016			4,000,000		6,463,454		6,653,715
			New Look Retail Group Limited+^		8.75		5/14/2018			4,000,000		6,007,042		6,572,770
			Pantry, Inc		8.38		8/1/2020			875,000		907,961		923,125
			Spencer Spirit Holdings, Inc.^		11.00		5/1/2017			5,970,000		6,378,601		6,358,050
			Takko Fashion+^		9.88		4/15/2019			3,500,000		4,504,599		4,616,602
				Total Retail Store						33,495,000		44,027,310		46,370,071

	Telecommunications — 7.34%*:
			Manutencoop Facility Management+^		8.50		8/1/2020			2,570,000		3,371,191		3,407,289
			Numericable Finance+^		8.09		10/15/2018			5,500,000		7,088,086		7,626,694
			Nara Cable FDG Ltd+^		8.88		12/1/2018			8,667,000		8,261,548		9,063,685
			Norcell Sweden+^		9.25		9/29/2018			19,500,000		3,230,312		3,267,851
			Sprint Nextel Corporation^		7.25		9/15/2021			2,650,000		2,650,000		2,676,500
			UPC Broadband+^		6.75		3/15/2023			1,830,000		1,932,214		2,003,479
			Wind Acquisition+^		11.75		7/15/2017			6,000,000		8,247,638		8,634,568
				Total Telecommunications						46,717,000		34,780,989		36,680,066

	Textiles & Leather — 1.48%*:
			Perry Ellis International Inc		7.88		4/1/2019			7,000,000		7,265,201		7,385,000
				Total Textiles & Leather						7,000,000		7,265,201		7,385,000

				Total Corporate Bonds						466,515,000		496,608,870		513,647,689

				Total Fixed Income						564,621,815		594,020,829		611,614,136

Other liabilities and assets — (22.37)%														(111,791,211)
				Net Assets — 100%									$	499,822,925



‡		The effective interest rates are based on settled commitment amount.
*		Calculated as a percentage of net assets applicable to common shareholders.
+		Foreign security.
		Distributions of investments by country of issue (excluding temporary cash investments) as a percentage of total investment in securities, is as follows:
		US		United States	64.6%
		GB		United Kingdom	14.4%
		IT		Italy	3.7%
		SE		Sweden	2.5%
		CA		Canada	2.3%
		FR		France	2.1%
		AE		United Arab Emirates	2.1%
		DE		Germany	2.0%
		AU		Australia	1.8%
		ES		Spain	1.6%
		NL		Netherlands	1.1%
		DK		Denmark	1.0%
		Other		(Individually less than 1%)	0.9%
					100.0%

^		Security exempt from registration under Rule 144a of the Securities Act of 1933. These securities may only be resold in transactions exempt from
		registration, normally to qualified institutional buyers.
		Bank loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for bank loans are the current interest rates at September 30, 2013. Bank loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown.

Tax Basis

The cost basis of investments for federal income tax purposes at September 30, 2013 for Babson Capital Global Short Duration High Yield Fund (the “Fund”) was as follows*:

Cost of investments	$594,021,043
Gross unrealized appreciation	21,021,528
Gross unrealized depreciation	(3,428,435)
Net unrealized appreciation	$ 17,593,093

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

Fair Value

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

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

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

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

The following is a summary of the inputs used as of September 30, 2013 in valuing the Fund’s investments.

Description	Level 1		Level 2			Level 3		Total Investments
Assets: Fixed Income:
Bank Loans	$	-	$	100,664,028		$	-	$	100,664,028
Bonds		-		510,950,108			-		510,950,108
Total Fixed Income		-		611,614,136			-		611,614,136
Liabilities: Derivative Securities:
Foreign Exchange Contracts		-		(6,193,168	)		-		(6,193,168	)
Total Derivative Securities		-		(6,193,168	)		-		(6,193,168	)

Total Investments	$	-	$	605,420,968		$	-	$	605,420,968

Derivative Instruments

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

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

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

During the period from January 1, 2013 through September 30, 2013, the Fund’s direct investment in derivatives consisted of forward foreign currency exchange contracts.

The following is a summary of the fair value of derivative instruments held directly by the Fund as of September 30, 2013. 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, 2013:

Derivatives	Statement of Assets and Liabilities Location	Fair Value
Foreign exchange contracts:
Forward Foreign Currency
Exchange Contracts	Payables	$	(6,193,168	)
Total		$	(6,193,168	)

The effect of derivative instruments on the Statement of Operations for period January 1, 2013 through September 30, 2013:

Amount of Realized Gain/(Loss) on Derivatives
	Forward Currency Exchange Contracts
Derivatives	Forward Currency Exchange Contracts
Foreign exchange contracts	$	(8,182	)
Total	$	(8,182	)


Change in Unrealized Appreciation/(Depreciation) on Derivatives
	Forward Currency Exchange Contracts
Derivatives	Forward Currency Exchange Contracts
Foreign exchange contracts	$	(6,193,168	)
Total	$	(6,193,168	)

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 and Principal Executive Officer

Date November 22, 2013

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

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

Russell D. Morrison, President and Principal Executive Officer

Date November 22, 2013

By (Signature and Title) /s/ Patrick Hoefling

Patrick Hoefling, Chief Financial Officer

Date November 22, 2013