Babson Capital Global Short Duration High Yield Fund
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c / o Babson Capital Management LLC
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550 South Tryon St.
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Charlotte, NC 28202
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704.805.7200
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http://www.BabsonCapital.com/bgh
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ADVISER
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Babson Capital Management LLC
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550 South Tryon St.
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Suite 3300
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Charlotte, NC 28202
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SUB-ADVISOR
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Babson Capital Global Advisors Limited
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61 Aldwych
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London, UK
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WC2B 4AE
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COUNSEL TO THE FUND
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Ropes & Gray LLP
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Prudential Tower
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800 Boylston Street
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Boston, Massachusetts 02110
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CUSTODIAN
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US Bank
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MK-WI-S302
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1555 N. River Center Drive
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Milwaukee, WI 53212
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TRANSFER AGENT & REGISTRAR
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U.S. Bancorp Fund Services, LLC
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615 E. Michigan St.
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Milwaukee, WI 53202
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FUND ADMINISTRATION/ACCOUNTING
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U.S. Bancorp Fund Services, LLC
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615 E. Michigan St.
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Milwaukee, WI 53202
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PROXY VOTING POLICIES & PROCEDURES
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The Trustees of Babson Capital Global Short Duration High Yield Fund (the “Fund”) have delegated proxy voting responsibilities relating to the voting of securities held by the Fund to Babson Capital Management LLC (“Babson Capital”). A description of Babson Capital’s proxy voting policies and procedures is available (1) without charge, upon request, by calling, toll-free 1-866-399-1516; (2) on the Fund’s website at http://www.BabsonCapital.com/bgh; and (3) on the U.S. Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
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FORM N-Q
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The Fund will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This information is available (i) on the SEC’s website at http://www.sec.gov; and (ii) at the SEC’s Public Reference Room in Washington, DC (which information on their operation may be obtained by calling 1-800-SEC-0330). A complete schedule of portfolio holdings as of each quarter-end is available on the Trust’s website at http://www.BabsonCapital.com/bgh or upon request by calling, toll-free, 1-866-399-1516.
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*
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Percentage of assets are expressed by market value and may vary over time. The percentages shown above represent a percentage of the Fund’s invested assets as of June 30, 2013.
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June 30, 2013 | ||||
Assets
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||||
Investments, at fair value (cost $603,851,929)
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$ | 604,344,571 | ||
Cash
|
11,165,780 | |||
Foreign currency, at fair value (cost $5,599,334)
|
5,580,483 | |||
Receivable for investments sold
|
17,404,046 | |||
Interest receivable
|
11,246,316 | |||
Unrealized appreciation on forward foreign exchange contracts
|
46,814 | |||
Prepaid expenses and other assets
|
28,315 | |||
Total assets
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649,816,325 | |||
Liabilities
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||||
Payable for investments purchased
|
19,877,562 | |||
Payable to adviser
|
533,911 | |||
Dividend payable
|
3,363,701 | |||
Accrued expenses and other liabilities
|
486,600 | |||
Note payable
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138,000,000 | |||
Total liabilities
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162,261,774 | |||
Total net assets
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$ | 487,554,551 | ||
Net Assets
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Common stock, $0.00001 par value; 20,057,849 shares issued and outstanding (unlimited shares authorized)
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$ | 201 | ||
Additional paid-in capital
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477,890,815 | |||
Undistributed net investment income
|
401,164 | |||
Accumulated net realized gain
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8,720,155 | |||
Net unrealized appreciation
|
542,216 | |||
Total net assets
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$ | 487,554,551 | ||
Net asset value per share
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$ | 24.31 |
Period from
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January 1, 2013
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through
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June 30, 2013
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Investment Income
|
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Interest income
|
$ | 25,230,493 | ||
Total investment income
|
25,230,493 | |||
Operating Expenses
|
||||
Advisory fees
|
3,129,533 | |||
Administrator fees
|
930,177 | |||
Interest expense
|
776,334 | |||
Directors’ fees
|
146,173 | |||
Professional fees
|
73,917 | |||
Printing and mailing expense
|
43,122 | |||
Registration fees
|
14,876 | |||
Other operating expenses
|
756 | |||
Total operating expenses
|
5,114,888 | |||
Net investment income
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20,115,605 | |||
Realized and Unrealized Gains (Losses) on Investments
|
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Net realized gain on investments
|
5,315,817 | |||
Net realized gain on forward foreign exchange contracts
|
2,681,571 | |||
Net realized gain on foreign currency and translation
|
419,947 | |||
Net realized gain on investments
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8,417,335 | |||
Net unrealized depreciation of investments
|
(10,868,157 | ) | ||
Net unrealized appreciation of forward foreign exchange contracts
|
2,758,044 | |||
Net unrealized depreciation of foreign currency and translation
|
(20,590 | ) | ||
Net unrealized depreciation on investments
|
(8,130,703 | ) | ||
Net realized and unrealized gains on investments
|
286,632 | |||
Net increase in net assets resulting from operations
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$ | 20,402,237 |
Period from
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January 1, 2013
|
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through
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June 30, 2012
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Reconciliation of net increase in net assets applicable to common stockholders resulting from operations to net cash used in operating activities
|
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Net increase in net assets applicable to common stockholders resulting from operations
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$ | 20,402,237 | ||
Adjustments to reconcile net increase in net assets applicable to common stockholders resulting from operations to net cash used in operating activities:
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Purchases of long-term investments
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(228,602,127 | ) | ||
Proceeds from sales of long-term investments
|
203,373,381 | |||
Purchases of foreign currency, net
|
448,365 | |||
Forward currency exchange contracts, net
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(2,758,043 | ) | ||
Net unrealized depreciation
|
10,878,470 | |||
Net realized gain
|
(5,978,383 | ) | ||
Amortization and acretion
|
615,304 | |||
Changes in operating assets and liabilities:
|
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Increase in interest receivable
|
(2,567,213 | ) | ||
Decrease in prepaid expenses and other assets
|
(8,655 | ) | ||
Increase in receivable for investments sold
|
(15,371,110 | ) | ||
Decrease in payable for investments purchased
|
(21,335,447 | ) | ||
Decrease in payable to Adviser
|
(308,183 | ) | ||
Decrease in accrued expenses and other liabilities
|
27,830 | |||
Net cash used in operating activities
|
(41,183,574 | ) | ||
Cash Flows From Financing Activities
|
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Advances from note payable
|
38,000,000 | |||
Distributions paid to common stockholders
|
(19,850,097 | ) | ||
Net cash provided by financing activities
|
18,149,903 | |||
Net change in cash
|
(23,033,671 | ) | ||
Cash--beginning of period
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34,199,451 | |||
Cash--end of period
|
$ | 11,165,780 | ||
Non-Cash Financing Activities
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Reinvestment of distributions by common stockholders in additional common shares
|
$ | 324,847 |
(1) | Commencement of operations. |
Period from
January 1, 2013 through
June 30, 2013
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Period from
October 26, 2012 (1)
through
December 31, 2012
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Operations
|
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Net investment income
|
$ | 20,115,605 | $ | 3,668,210 | ||||
Net realized gain on investments
|
8,417,335 | 458,814 | ||||||
Net unrealized depreciation on investments
|
(8,130,703 | ) | 8,672,919 | |||||
Net increase in net assets resulting from operations
|
20,402,237 | 12,799,943 | ||||||
Dividends to Common Shareholders
|
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Net investment income
|
(20,177,140 | ) | (3,361,505 | ) | ||||
Total dividends to common shareholders
|
(20,177,140 | ) | (3,361,505 | ) | ||||
Capital Share Transactions
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Net proceeds from sale of shares
|
- | 477,466,104 | (2) | |||||
Issuance of 13,099 common shares from reinvestment of
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distributions to stockholders
|
324,847 | - | ||||||
Net increase in net assets capital stock transactions
|
324,847 | 477,466,104 | ||||||
Total increase in net assets
|
549,944 | 486,904,542 | ||||||
Net Assets
|
||||||||
Beginning of period
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487,004,607 | 100,065 | ||||||
End of period (includes undistributed net investment income of 401,164)
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$ | 487,554,551 | $ | 487,004,607 |
(1) Commencement of operations.
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(2) Proceeds from sale of shares of $501,013,750 net of sales load paid and offering costs of $23,547,646.
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Period From January 1, 2013 through June 30, 2013 |
Period From October 26, 2012 (1) through December 31, 2012 |
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Per Common Share Data (2)
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Net asset value, beginning of period
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$ | 24.30 | 23.82 | (3) | ||||
Income from investment operations:
|
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Net investment income
|
1.01 | 0.18 | ||||||
Net realized and unrealized gains on investments
|
0.01 | 0.47 | ||||||
Total decrease from investment operations
|
1.02 | 0.65 | ||||||
Less distributions to common stockholders:
|
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Net investment income
|
(1.01 | ) | (0.17 | ) | ||||
Total distributions to common stockholders
|
(1.01 | ) | (0.17 | ) | ||||
Net asset value, end of period
|
$ | 24.31 | $ | 24.30 | ||||
Per common share market value, end of period
|
$ | 22.95 | $ | 23.77 | ||||
Total investment return based on net asset value (2)(4)
|
4.26 | % | 2.69 | % | ||||
Total investment return based on market value (2)(4)
|
0.58 | % | (4.27 | )% | ||||
Supplemental Data and Ratios
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Net assets, end of period (000’s)
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$ | 487,555 | $ | 487,005 | ||||
Ratio of expenses to average net assets(5)
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2.07 | % | 1.85 |
%
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Ratio of net investment income to average net assets(5)
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8.15 | % | 4.70 |
%
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Portfolio turnover rate(2)
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33.21 | % | 4.74 | % |
(1) | Commencement of operations. |
(2) | Not annualized. |
(3) | Net asset value at the beginning of the period reflects the deduction of the sales load and offering costs of $1.18 per share paid by the shareholder from the $25.00 offering price. |
(4) |
Total investment return calculation assumes reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan. Total investment return does not reflect brokerage commissions.
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(5) |
Annualized for periods less than one full year.
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Effective
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Interest Rate ‡
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Due Date
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Principal
|
Cost
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Fair Value
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Fixed Income — 123.95%*:
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Bank Loans — 20.77%*:
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Beverage, Food and Tobacco — 0.34%*:
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Performance Food Group Company
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6.25 | % |
11/30/2019
|
1,678,736 | $ | 1,670,349 | $ | 1,661,949 | ||||||||||
Total Beverage, Food and Tobacco
|
1,678,736 | 1,670,349 | 1,661,949 | |||||||||||||||
Broadcasting and Entertainment — 1.46%*:
|
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Deluxe Entertainment Services Group, Inc.
|
8.75 |
7/3/2017
|
5,452,390 | 5,254,043 | 5,270,662 | |||||||||||||
TWCC Holding Corp.
|
7.00 |
12/11/2020
|
1,822,860 | 1,804,632 | 1,831,975 | |||||||||||||
Total Broadcasting and Entertainment
|
7,275,250 | 7,058,675 | 7,102,637 | |||||||||||||||
Buildings and Real Estate — 0.79%*:
|
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Tomkins Air Distribution
|
9.25 |
5/11/2020
|
3,773,513 | 3,716,929 | 3,877,285 | |||||||||||||
Total Buildings and Real Estate
|
3,773,513 | 3,716,929 | 3,877,285 | |||||||||||||||
Chemicals, Plastics and Rubber — 2.25%*:
|
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Cytec Monarch
|
8.25 |
3/20/2020
|
6,000,000 | 6,176,127 | 6,000,000 | |||||||||||||
Pinnacle Operating Corp.
|
11.50 |
5/13/2019
|
4,856,269 | 4,659,755 | 4,953,394 | |||||||||||||
Total Chemicals, Plastics and Rubber
|
10,856,269 | 10,835,882 | 10,953,394 | |||||||||||||||
Diversified/Conglomerate Manufacturing — 1.67%*:
|
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Allflex Holdings, Inc.
|
8.00 |
6/11/2020
|
2,232,322 | 2,209,999 | 2,230,938 | |||||||||||||
Alliance Laundry Systems LLC
|
9.50 |
11/30/2019
|
1,728,930 | 1,711,655 | 1,752,702 | |||||||||||||
Northern Tool & Equipment Company, Inc.
|
7.00 |
12/6/2018
|
4,135,714 | 4,053,511 | 4,156,393 | |||||||||||||
Total Diversified/Conglomerate Manufacturing
|
8,096,966 | 7,975,165 | 8,140,033 | |||||||||||||||
Diversified/Conglomerate Service — 2.41%*:
|
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Endurance International Group Inc.
|
6.25 |
10/18/2017
|
5,970,000 | 5,910,319 | 5,992,388 | |||||||||||||
Redprarie Corporation
|
6.75 |
12/14/2018
|
2,985,000 | 2,928,031 | 2,993,716 | |||||||||||||
Redprarie Corporation
|
11.25 |
12/14/2019
|
2,702,244 | 2,650,308 | 2,783,311 | |||||||||||||
Total Diversified/Conglomerate Service
|
11,657,244 | 11,488,658 | 11,769,415 | |||||||||||||||
Diversified Natural Resources, Precious Metals and Minerals — 0.73%*:
|
||||||||||||||||||
Osmose Holdings, Inc.
|
4.75 |
5/2/2018
|
3,598,426 | 3,562,455 | 3,587,920 | |||||||||||||
Total Diversified Natural Resources, Precious Metals and Minerals
|
3,598,426 | 3,562,455 | 3,587,920 | |||||||||||||||
Electronics — 1.58%*:
|
||||||||||||||||||
Kronos, Inc.
|
9.75 |
4/26/2020
|
7,500,000 | 7,425,012 | 7,687,500 | |||||||||||||
Total Electronics
|
7,500,000 | 7,425,012 | 7,687,500 | |||||||||||||||
Finance — 1.49%*:
|
||||||||||||||||||
Confie Seguros Holding
|
10.25 |
5/8/2019
|
1,880,257 | 1,859,599 | 1,899,059 | |||||||||||||
Cunningham Lindsey Group, Inc.
|
9.25 |
4/18/2020
|
2,338,636 | 2,373,235 | 2,362,023 | |||||||||||||
Transfirst Holdings Inc.
|
11.00 |
6/30/2018
|
1,004,072 | 975,474 | 1,021,644 | |||||||||||||
Wall Street Systems Inc.
|
9.25 |
4/24/2020
|
1,980,000 | 1,980,000 | 1,987,425 | |||||||||||||
Total Finance
|
7,202,965 | 7,188,308 | 7,270,151 |
Effective
|
||||||||||||||||||
Interest Rate ‡
|
Due Date
|
Principal
|
Cost
|
Fair Value
|
||||||||||||||
Bank Loans (Continued)
|
||||||||||||||||||
Healthcare, Education and Childcare — 3.02%*:
|
||||||||||||||||||
Air Medical Group Holdings
|
6.50 |
6/20/2018
|
2,244,874 | 2,222,438 | 2,267,322 | |||||||||||||
Gentiva Health Services Inc.
|
6.50 |
8/17/2016
|
3,934,426 | 3,888,139 | 3,929,508 | |||||||||||||
PRA International
|
10.50 |
11/30/2019
|
1,844,428 | 1,811,515 | 1,867,484 | |||||||||||||
Sage Products Holdings Iii, LLC
|
9.25 |
5/31/2020
|
3,325,292 | 3,275,431 | 3,383,484 | |||||||||||||
TriZetto Group
|
8.50 |
3/27/2019
|
3,325,000 | 3,309,161 | 3,291,750 | |||||||||||||
Total Healthcare, Education and Childcare
|
14,674,020 | 14,506,684 | 14,739,548 | |||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 0.66%*:
|
||||||||||||||||||
Boomerang Tube, LLC
|
11.00 |
10/8/2017
|
3,256,298 | 3,227,675 | 3,207,454 | |||||||||||||
Total Mining, Steel, Iron and Non-Precious Metals
|
3,256,298 | 3,227,675 | 3,207,454 | |||||||||||||||
Oil and Gas — 2.36%*:
|
||||||||||||||||||
Chesapeake Energy Corporation
|
5.75 |
12/2/2017
|
2,000,000 | 1,968,532 | 2,024,580 | |||||||||||||
NFR Energy LLC
|
8.75 |
12/31/2018
|
7,008,901 | 7,099,685 | 6,973,856 | |||||||||||||
Rice Energy
|
8.50 |
9/26/2018
|
2,503,689 | 2,501,345 | 2,497,430 | |||||||||||||
Total Oil and Gas
|
11,512,590 | 11,569,562 | 11,495,866 | |||||||||||||||
Retail Store — 2.01%*:
|
||||||||||||||||||
BJ’s Wholesale Club, Inc.
|
9.75 |
3/13/2020
|
4,000,000 | 4,118,769 | 4,070,000 | |||||||||||||
FleetPride
|
9.25 |
5/8/2020
|
3,000,000 | 2,942,212 | 2,842,500 | |||||||||||||
Smart & Final Holdings Corp.
|
10.50 |
11/8/2020
|
2,871,795 | 2,786,096 | 2,886,154 | |||||||||||||
Total Retail Store
|
9,871,795 | 9,847,077 | 9,798,654 | |||||||||||||||
Total Bank Loans
|
100,954,072 | 100,072,431 | 101,291,806 | |||||||||||||||
Corporate Bonds — 103.18%*:
|
||||||||||||||||||
Aerospace and Defense — 0.50%*:
|
||||||||||||||||||
Ducommun Inc.
|
9.75 | % |
7/15/2018
|
2,230,000 | $ | 2,395,448 | $ | 2,436,275 | ||||||||||
Total Aerospace and Defense
|
2,230,000 | 2,395,448 | 2,436,275 | |||||||||||||||
Automobile — 5.64%*:
|
||||||||||||||||||
Accuride Corp
|
9.50 |
8/1/2018
|
6,800,000 | 6,694,948 | 6,919,000 | |||||||||||||
J.B. Poindexter & Co. Inc.^
|
9.00 |
4/1/2022
|
4,500,000 | 4,620,643 | 4,725,000 | |||||||||||||
International Automotive Components Group, S.A.^
|
9.13 |
6/1/2018
|
4,866,000 | 4,886,246 | 4,866,000 | |||||||||||||
Meritor Inc.
|
10.63 |
3/15/2018
|
3,000,000 | 3,061,709 | 3,247,500 | |||||||||||||
Meritor Inc.^
|
7.88 |
3/1/2026
|
2,010,000 | 1,993,045 | 2,443,406 | |||||||||||||
UCI International, Inc.
|
8.63 |
2/15/2019
|
5,215,000 | 5,175,888 | 5,319,300 | |||||||||||||
Total Automobile
|
26,391,000 | 26,432,479 | 27,520,206 | |||||||||||||||
Broadcasting and Entertainment — 1.88%*:
|
||||||||||||||||||
Arqiva Finance+^
|
9.50 |
3/31/2020
|
5,000,000 | 7,952,243 | 7,832,938 | |||||||||||||
CET 21 Spol Sro+^
|
9.00 |
11/1/2017
|
950,000 | 1,319,200 | 1,349,088 | |||||||||||||
Total Broadcasting and Entertainment
|
5,950,000 | 9,271,443 | 9,182,026 |
Effective
|
||||||||||||||||||
Interest Rate ‡
|
Due Date
|
Principal
|
Cost
|
Fair Value
|
||||||||||||||
Corporate Bonds (Continued)
|
||||||||||||||||||
Buildings and Real Estate — 5.12%*:
|
||||||||||||||||||
Ainsworth Lumber Ltd^
|
7.50 |
12/15/2017
|
4,250,000 | 4,269,223 | 4,505,000 | |||||||||||||
Brookfield Residential Properties+^
|
6.13 |
7/1/2022
|
1,620,000 | 1,620,000 | 1,589,625 | |||||||||||||
Builders FirstSource Inc.^
|
7.63 |
6/1/2021
|
1,020,000 | 1,020,000 | 986,850 | |||||||||||||
Cemex International Capital LLC+^
|
9.88 |
4/30/2019
|
2,890,000 | 3,812,822 | 4,213,157 | |||||||||||||
Lyon Williams Homes, Inc.^
|
8.50 |
11/15/2020
|
8,000,000 | 8,055,979 | 8,700,000 | |||||||||||||
Roofing Supply LLC^
|
10.00 |
6/1/2020
|
4,605,000 | 5,070,160 | 4,984,913 | |||||||||||||
Total Buildings and Real Estate
|
22,385,000 | 23,848,184 | 24,979,545 | |||||||||||||||
Cargo Transport — 2.80%*:
|
||||||||||||||||||
Kenan Advantage Group, Inc.^
|
8.38 |
12/15/2018
|
8,000,000 | 8,000,000 | 8,320,000 | |||||||||||||
Moto Hospitality Limited+^
|
10.25 |
3/15/2017
|
2,000,000 | 3,100,342 | 3,125,570 | |||||||||||||
Quality Distribution Inc.
|
9.88 |
11/1/2018
|
2,040,000 | 2,186,636 | 2,218,500 | |||||||||||||
Total Cargo Transport
|
12,040,000 | 13,286,978 | 13,664,070 | |||||||||||||||
Chemicals, Plastics and Rubber — 7.51%*:
|
||||||||||||||||||
Associated Asphalt Partners LLC^
|
8.50 |
2/15/2018
|
2,300,000 | 2,300,000 | 2,311,500 | |||||||||||||
Ciech Group Finance+^
|
9.50 |
11/30/2019
|
1,200,000 | 1,538,876 | 1,663,499 | |||||||||||||
Cornerstone Chemical Co.^
|
9.38 |
3/15/2018
|
7,975,000 | 8,229,588 | 8,373,750 | |||||||||||||
Ineos+^
|
6.13 |
8/15/2018
|
970,000 | 970,000 | 926,350 | |||||||||||||
Ineos+
|
6.50 |
8/15/2018
|
1,450,000 | 1,894,558 | 1,805,356 | |||||||||||||
Omnova Solutions, Inc.
|
7.88 |
11/1/2018
|
1,630,000 | 1,668,700 | 1,695,200 | |||||||||||||
Perstorp Holding AB+^
|
9.00 |
5/15/2017
|
3,130,000 | 4,071,933 | 4,114,883 | |||||||||||||
TPC Group, Inc.^
|
8.75 |
12/15/2020
|
7,065,000 | 7,151,399 | 7,223,963 | |||||||||||||
Tronox Worldwide LLC^
|
6.38 |
8/15/2020
|
9,000,000 | 8,935,548 | 8,482,500 | |||||||||||||
Total Chemicals, Plastics and Rubber
|
34,720,000 | 36,760,602 | 36,597,001 | |||||||||||||||
Containers, Packaging and Glass — 1.78%*:
|
||||||||||||||||||
Bormioli Rocco & Figlio S.P.A.+^
|
10.00 |
8/1/2018
|
1,500,000 | 1,993,361 | 1,981,751 | |||||||||||||
Pretium Packaging, LLC
|
11.50 |
4/1/2016
|
6,265,000 | 6,428,208 | 6,703,550 | |||||||||||||
Total Containers, Packaging and Glass
|
7,765,000 | 8,421,569 | 8,685,301 | |||||||||||||||
Diversified/Conglomerate Manufacturing — 0.60%*:
|
||||||||||||||||||
StoneMor Partners L.P.^
|
7.88 |
6/1/2021
|
3,000,000 | 2,935,512 | 2,940,000 | |||||||||||||
Total Diversified/Conglomerate Manufacturing
|
3,000,000 | 2,935,512 | 2,940,000 | |||||||||||||||
Diversified/Conglomerate Service — 4.39%*:
|
||||||||||||||||||
Bravida+
|
5.21 |
6/15/2019
|
650,000 | 850,396 | 846,068 | |||||||||||||
Bravida+
|
6.60 |
6/15/2019
|
5,500,000 | 837,999 | 820,149 | |||||||||||||
Brickman Group Holdings, Inc.^
|
9.13 |
11/1/2018
|
6,670,000 | 6,819,368 | 7,136,900 | |||||||||||||
Equiniti Group Ltd.+
|
7.13 |
12/15/2018
|
1,460,000 | 2,222,582 | 2,215,492 | |||||||||||||
Ista 2007+
|
6.88 |
4/30/2021
|
900,000 | 1,183,946 | 1,159,764 | |||||||||||||
Teamsystem S.P.A.+
|
7.38 |
5/15/2020
|
2,180,000 | 2,769,368 | 2,681,514 | |||||||||||||
Verisure Holdings+^
|
6.71 |
9/1/2018
|
3,500,000 | 4,476,657 | 4,544,360 | |||||||||||||
Verisure Holdings+^
|
8.75 |
9/1/2018
|
1,440,000 | 1,971,574 | 2,014,943 | |||||||||||||
Total Diversified/Conglomerate Service
|
22,300,000 | 21,131,890 | 21,419,190 |
Effective
Interest Rate ‡
|
Due Date
|
Principal
|
Cost
|
Fair Value
|
||||||||||||||
Corporate Bonds (Continued)
|
||||||||||||||||||
Diversified Natural Resources, Precious Metals and Minerals — 0.92%*:
|
||||||||||||||||||
Lecta S.A.+^
|
8.88
|
5/15/2019
|
1,090,000
|
1,431,858
|
1,340,757
|
|||||||||||||
Lecta S.A.+^
|
5.70
|
5/15/2018
|
2,600,000
|
3,240,273
|
3,130,451
|
|||||||||||||
Total Diversified Natural Resources, Precious Metals and Minerals
|
3,690,000
|
4,672,131
|
4,471,208
|
|||||||||||||||
Ecological — 0.18%*:
|
||||||||||||||||||
ENCE+
|
7.25
|
2/15/2020
|
650,000
|
874,938
|
862,989
|
|||||||||||||
Total Ecological
|
650,000
|
874,938
|
862,989
|
|||||||||||||||
Electronics — 1.68%*:
|
||||||||||||||||||
International Wire Group, Inc.^
|
8.50
|
10/15/2017
|
8,086,000
|
8,254,781
|
8,207,290
|
|||||||||||||
Total Electronics
|
8,086,000
|
8,254,781
|
8,207,290
|
|||||||||||||||
Farming and Agriculture — 0.94%*:
|
||||||||||||||||||
Chiquita Brands International Inc.^
|
7.88
|
2/1/2021
|
4,350,000
|
4,318,419
|
4,556,625
|
|||||||||||||
Total Farming and Agriculture
|
4,350,000
|
4,318,419
|
4,556,625
|
|||||||||||||||
Finance — 5.30%*:
|
||||||||||||||||||
Arrow Global Finance+^
|
7.88
|
3/1/2020
|
500,000
|
791,653
|
739,718
|
|||||||||||||
Brighthouse Group PLC+
|
7.88
|
5/15/2018
|
2,000,000
|
3,116,052
|
3,027,316
|
|||||||||||||
Cabot Financial+^
|
10.38
|
10/1/2019
|
5,000,000
|
8,421,220
|
8,336,755
|
|||||||||||||
First Data Corp.^
|
11.25
|
1/15/2021
|
6,000,000
|
5,992,500
|
5,985,000
|
|||||||||||||
Lowell Group Financing PLC+^
|
10.75
|
4/1/2019
|
2,000,000
|
3,407,234
|
3,327,097
|
|||||||||||||
TMF Group Holding+^
|
5.59
|
12/1/2018
|
1,400,000
|
1,802,552
|
1,827,912
|
|||||||||||||
TMF Group Holding+^
|
9.88
|
12/1/2019
|
2,000,000
|
2,687,237
|
2,603,285
|
|||||||||||||
Total Finance
|
18,900,000
|
26,218,448
|
25,847,083
|
|||||||||||||||
Healthcare, Education and Childcare — 4.87%*:
|
||||||||||||||||||
Care UK Health+
|
9.75
|
8/1/2017
|
4,000,000
|
6,590,157
|
6,175,093
|
|||||||||||||
Cerba European Lab+^
|
7.00
|
2/1/2020
|
450,000
|
599,464
|
578,417
|
|||||||||||||
Crown Newco PLC+^
|
8.88
|
2/15/2019
|
5,100,000
|
8,320,362
|
7,601,752
|
|||||||||||||
Prospect Medical Holdings Inc^
|
8.38
|
5/1/2019
|
5,000,000
|
5,092,647
|
5,225,000
|
|||||||||||||
Valeant+^
|
7.50
|
7/15/2021
|
3,260,000
|
3,260,000
|
3,374,100
|
|||||||||||||
Voyage Care+^
|
6.50
|
8/1/2018
|
500,000
|
800,077
|
764,282
|
|||||||||||||
Total Healthcare, Education and Childcare
|
18,310,000
|
24,662,707
|
23,718,644
|
|||||||||||||||
Hotels, Motels, Inns and Gaming — 1.97%*:
|
||||||||||||||||||
Elior+
|
6.50
|
5/1/2020
|
600,000
|
783,085
|
792,700
|
|||||||||||||
Gala Group Finance+
|
8.88
|
9/1/2018
|
5,500,000
|
8,829,067
|
8,833,729
|
|||||||||||||
Total Hotels, Motels, Inns and Gaming
|
6,100,000
|
9,612,152
|
9,626,429
|
|||||||||||||||
Insurance — 0.19%*:
|
||||||||||||||||||
Towergate Finance PLC+
|
8.50
|
2/15/2018
|
600,000
|
942,052
|
938,200
|
|||||||||||||
Total Insurance
|
600,000
|
942,052
|
938,200
|
Effective
Interest Rate ‡
|
Due Date
|
Principal
|
Cost
|
Fair Value
|
||||||||||||||
Corporate Bonds (Continued)
|
||||||||||||||||||
Leisure, Amusement, Motion Pictures and Entertainment — 1.38%*:
|
||||||||||||||||||
Odeon & Uci Finco+
|
9.00
|
8/1/2018
|
4,200,000
|
6,958,456
|
6,723,398
|
|||||||||||||
Total Leisure, Amusement, Motion Pictures and Entertainment
|
4,200,000
|
6,958,456
|
6,723,398
|
|||||||||||||||
Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 3.25%*:
|
||||||||||||||||||
Cleaver-Brooks, Inc.^
|
8.75
|
12/15/2019
|
4,740,000
|
4,875,829
|
4,977,000
|
|||||||||||||
KM Germany Holding+^
|
8.75
|
12/15/2020
|
1,450,000
|
1,876,585
|
1,936,454
|
|||||||||||||
Milacron LLC^
|
8.38
|
5/15/2019
|
5,800,000
|
5,951,682
|
5,916,000
|
|||||||||||||
Xerium Technologies
|
8.88
|
6/15/2018
|
3,000,000
|
2,878,840
|
3,015,000
|
|||||||||||||
Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic)
|
14,990,000
|
15,582,936
|
15,844,454
|
|||||||||||||||
Mining, Steel, Iron and Non-Precious Metals — 4.79%*:
|
||||||||||||||||||
Ausdrill Finance Pty Ltd.+^
|
6.88
|
11/1/2019
|
6,000,000
|
6,000,000
|
5,730,000
|
|||||||||||||
Barminco Finance Pty Ltd.+
|
9.00
|
6/1/2018
|
6,000,000
|
5,930,804
|
5,280,000
|
|||||||||||||
Fortescue Metals Group Ltd.+^
|
8.25
|
11/1/2019
|
2,000,000
|
2,065,703
|
2,060,000
|
|||||||||||||
Hecla Mining Company^
|
6.88
|
5/1/2021
|
4,925,000
|
4,929,966
|
4,567,938
|
|||||||||||||
Kaiser Aluminum Corporation
|
8.25
|
6/1/2020
|
800,000
|
868,256
|
886,000
|
|||||||||||||
New World Resources N.V.+^
|
7.88
|
5/1/2018
|
3,350,000
|
4,314,207
|
2,583,598
|
|||||||||||||
Rain CII Carbon LLC^
|
8.25
|
1/15/2021
|
1,390,000
|
1,390,000
|
1,390,000
|
|||||||||||||
Rain CII Carbon LLC
|
8.50
|
1/15/2021
|
650,000
|
855,139
|
846,068
|
|||||||||||||
Total Mining, Steel, Iron and Non-Precious Metals
|
25,115,000
|
26,354,075
|
23,343,604
|
|||||||||||||||
Oil and Gas — 28.02%*:
|
||||||||||||||||||
Alta Mesa Holdings, LP
|
9.63
|
10/15/2018
|
4,275,000
|
4,374,097
|
4,435,312
|
|||||||||||||
Calumet Specialty Products
|
9.38
|
5/1/2019
|
7,365,000
|
7,901,988
|
7,880,550
|
|||||||||||||
CHC Helicopter+
|
9.25
|
10/15/2020
|
4,620,000
|
4,737,224
|
4,735,500
|
|||||||||||||
CHC Helicopter+^
|
9.38
|
6/1/2021
|
3,000,000
|
3,000,000
|
2,970,000
|
|||||||||||||
Chesapeake Oilfield Operating LLC^
|
6.63
|
11/15/2019
|
6,000,000
|
5,768,559
|
5,940,000
|
|||||||||||||
Era Group Inc.^
|
7.75
|
12/15/2022
|
3,000,000
|
2,949,330
|
3,000,000
|
|||||||||||||
Ferrellgas Partners LP
|
8.63
|
6/15/2020
|
7,135,000
|
6,996,321
|
7,259,863
|
|||||||||||||
Gibson Energy Holdings+^
|
6.75
|
7/15/2021
|
1,915,000
|
1,885,815
|
1,910,213
|
|||||||||||||
Halcon Resources Corporation^
|
9.75
|
7/15/2020
|
8,000,000
|
8,451,259
|
7,980,000
|
|||||||||||||
Headwaters, Inc.
|
7.63
|
4/1/2019
|
3,000,000
|
3,124,792
|
3,135,000
|
|||||||||||||
Hercules Offshore, Inc.^
|
10.25
|
4/1/2019
|
6,865,000
|
7,210,302
|
7,482,850
|
|||||||||||||
Magnum Hunter Resources, Corp^
|
9.75
|
5/15/2020
|
3,000,000
|
3,057,349
|
3,045,000
|
|||||||||||||
Midstates Petroleum Company Inc.^
|
10.75
|
10/1/2020
|
5,800,000
|
6,121,746
|
5,829,000
|
|||||||||||||
Midstates Petroleum Company Inc.^
|
9.25
|
6/1/2021
|
6,065,000
|
6,023,778
|
5,701,100
|
|||||||||||||
Millennium Offshore+^
|
9.50
|
2/15/2018
|
6,000,000
|
6,000,000
|
6,150,000
|
|||||||||||||
Niska Gas Storage
|
8.88
|
3/15/2018
|
6,500,000
|
6,726,005
|
6,743,750
|
|||||||||||||
Northern Tier Energy LLC^
|
7.13
|
11/15/2020
|
6,000,000
|
6,000,000
|
6,060,000
|
|||||||||||||
Pbf Holding Company LLC
|
8.25
|
2/15/2020
|
6,000,000
|
6,281,246
|
6,285,000
|
|||||||||||||
Penn Virginia Corp^
|
8.50
|
5/1/2020
|
4,000,000
|
4,000,000
|
3,880,000
|
|||||||||||||
Resolute Energy Corp.^
|
8.50
|
5/1/2020
|
7,285,000
|
7,441,683
|
7,412,488
|
|||||||||||||
Samson Investment Company^
|
10.00
|
2/15/2020
|
7,000,000
|
7,383,135
|
7,376,250
|
Effective
Interest Rate ‡
|
Due Date
|
Principal
|
Cost
|
Fair Value
|
||||||||||||||
Corporate Bonds (Continued)
|
||||||||||||||||||
Oil and Gas (Continued)
|
||||||||||||||||||
Seven Generations Energy Ltd.+^
|
8.25
|
5/15/2020
|
3,645,000
|
3,645,000
|
3,626,775
|
|||||||||||||
Shelf Drilling Holdings Ltd+^
|
8.63
|
11/1/2018
|
6,000,000
|
6,078,139
|
6,240,000
|
|||||||||||||
Venoco, Inc.
|
11.50
|
10/1/2017
|
5,500,000
|
5,562,686
|
5,816,250
|
|||||||||||||
Welltec+^
|
8.00
|
2/1/2019
|
5,500,000
|
5,730,855
|
5,720,000
|
|||||||||||||
Total Oil and Gas
|
133,470,000
|
136,451,309
|
136,614,901
|
|||||||||||||||
< |