UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

Investment Company Act file number: 811-22562

Barings Global Short Duration High Yield Fund
(Exact name of registrant as specified in charter)

300 South Tryon Street

Charlotte, NC 28202

(Address of principal executive offices) (Zip code)

Janice M. Bishop

Secretary and Chief Legal Officer

c/o Barings LLC

Independence Wharf

470 Atlantic Avenue

Boston, MA 02210

 (Name and address of agent for service)

Registrant's telephone number, including area code

Date of fiscal year end: December 31, 2017

Date of reporting period:  September 30, 2017

 

Item 1. Schedule of Investments.

 

Barings Global Short Duration High Yield Fund

SCHEDULE OF INVESTMENTS

September 30, 2017 (Unaudited)

 

 

										SHARES		COST		FAIR VALUE
Equities — 0.60%*:
Common Stocks — 0.60%*:
			Pinnacle Operating Corp.¤							1,368,352	$	643,125	$	957,846
			Sabine Oil & Gas LLC¤							4,262		248,858		174,742
			Sabine Oil & Gas LLC¤							13,512		60,669		84,450
			Sabine Oil & Gas LLC¤							2,407		6,547		12,637
			Templar Energy LLC¤							86,571		865,704		800,776
			Templar Energy LLC¤							135,392		734,072		507,721
				Total Common Stocks						1,610,496		2,558,975		2,538,172
				Total Equities						1,610,496		2,558,975		2,538,172
					EFFECTIVE INTEREST RATE‡			DUE DATE		PRINCIPAL		COST		FAIR VALUE
Fixed Income — 132.09%*:
Bank Loans§ — 26.28%*:
	Automobile — 0.86%*:
			Fleetpride		5.33 (3 Month LIBOR USD + 4.000%)	%	11/19/2019			800,208	$	728,754	$	787,540
			FleetPride		9.33 (3 Month LIBOR USD + 8.000%)		5/19/2020			2,983,420		2,951,568		2,859,101
				Total Automobile						3,783,628		3,680,322		3,646,641
	Beverage, Food and Tobacco — 0.18%*:
			Del Monte Food Consumer Products, Inc.		4.58 (3 Month LIBOR USD + 3.250%)			2/18/2021		902,709		814,097		772,141
				Total Beverage, Food and Tobacco						902,709		814,097		772,141
	Broadcasting and Entertainment — 1.03%*:
			Endemol+		7.05 (3 Month LIBOR USD + 5.750%)		8/11/2021			4,561,632		4,355,356		4,390,571
				Total Broadcasting and Entertainment						4,561,632		4,355,356		4,390,571
	Buildings and Real Estate — 0.70%*:
			Beacon Roofing Supply		6.06 (3 Month LIBOR USD + 4.750%)		8/24/2018			3,000,000		3,000,000		3,000,000
				Total Buildings and Real Estate						3,000,000		3,000,000		3,000,000
	Chemicals, Plastics and Rubber — 0.47%*:
			Colouroz Investment 2 LLC+		8.56 (3 Month LIBOR USD + 7.250%)		9/7/2022			2,033,201		2,026,865		1,987,454
				Total Chemicals, Plastics and Rubber						2,033,201		2,026,865		1,987,454
	Diversified/Conglomerate Manufacturing — 2.09%*:
			Commercial Vehicle Group Inc.¤		7.24 (1 Month LIBOR USD + 6.000%)		4/12/2023			634,398		622,155		634,398
			Pelican Products, Inc.		9.58 (3 Month LIBOR USD + 8.250%)		4/9/2021			8,344,100		8,351,654		8,281,519
				Total Diversified/Conglomerate Manufacturing						8,978,498		8,973,809		8,915,917
	Diversified/Conglomerate Service — 1.93%*:
			Cologix		8.24 (1 Month LIBOR USD + 7.000%)		3/21/2025			1,000,000		990,000		1,006,670
			Misys (Finastra)+		8.57 (3 Month LIBOR USD + 7.250%)		6/16/2025			7,085,136		7,207,592		7,198,995
				Total Diversified/Conglomerate Service						8,085,136		8,197,592		8,205,665
	Farming and Agriculture —  1.44%*:
			Allflex Holdings, Inc.		8.31 (3 Month LIBOR USD + 7.000%)		7/19/2021			6,114,731		6,101,500		6,119,807
				Total Farming and Agriculture						6,114,731		6,101,500		6,119,807

					EFFECTIVE INTEREST RATE‡			DUE DATE		PRINCIPAL		COST		FAIR VALUE
	Finance — 1.82%*:
			Cunningham Lindsey Group, Inc.¤		5.08 (3 Month LIBOR USD + 3.750%)	%	12/10/2019			249,933	$	237,079	$	243,684
			Cunningham Lindsey Group, Inc.		9.33 (3 Month LIBOR USD + 8.000%)		6/10/2020			5,504,015		5,506,527		4,664,653
			Focus Financial¤		8.80 (3 Month LIBOR USD + 7.500%)		5/9/2025			2,800,000		2,861,781		2,835,000
				Total Finance						8,553,948		8,605,387		7,743,337
	Healthcare, Education and Childcare — 0.70%*:
			Prospect Medical Holdings¤		7.50 (6 Month LIBOR USD + 6.000%)		6/30/2022			2,969,925		2,940,226		3,007,049
				Total Healthcare, Education and Childcare						2,969,925		2,940,226		3,007,049
	Home and Office Furnishings, Housewares, and Durable Consumer Products — 1.56%*:
			AOT Bedding		9.31 (3 Month LIBOR USD + 8.000%)		11/8/2024			6,933,333		6,891,007		6,651,701
				Total Home and Office Furnishings, Housewares, and Durable Consumer Products						6,933,333		6,891,007		6,651,701
	Information Technology — 1.22%*:
			Digicert, Inc.		9.32 (3 Month LIBOR USD + 8.000%)		9/19/2025			5,154,237		5,209,716		5,195,058
				Total Information Technology						5,154,237		5,209,716		5,195,058
	Insurance — 0.90%*:
			AmWins Group Inc.		7.99 (1 Month LIBOR USD + 6.750%)		1/24/2025			3,750,000		3,837,168		3,822,675
				Total Insurance						3,750,000		3,837,168		3,822,675
	Mining, Steel, Iron and Non-Precious Metals — 2.79%*:
			Boomerang Tube, LLC¤		19.24 (1 Month LIBOR USD + 18.000%)		9/1/2018			189,752		189,752		189,752
			Boomerang Tube, LLC¤		16.24 PIK		2/1/2019			2,191,575		2,191,575		2,191,575
			Boomerang Tube, LLC¤		18.74 PIK		2/1/2019			1,861,887		1,861,887		204,808
			Boomerang Tube, LLC¤		19.24 (1 Month LIBOR USD + 18.000%)		2/5/2021			189,752		189,752		189,752
			Boomerang Tube, LLC¤		15.00		2/1/2022			1,550,482		1,551,482		1,550,481
			Boomerang Tube, LLC¤		20.00 PIK		2/1/2022			819,295		771,006		737,365
			Boomerang Tube, LLC¤		19.24 (1 Month LIBOR USD + 18.000%)		9/1/2026			189,752		189,752		189,752
			Murray Energy Corp.		8.58 (3 Month LIBOR USD + 7.250%)		4/16/2020			7,233,214		6,989,361		6,615,426
				Total Mining, Steel, Iron and Non-Precious Metals						14,225,709		13,934,567		11,868,911
	Oil and Gas — 8.49%*:
			Caelus Energy Alaska		8.82 (3 Month LIBOR USD + 7.500%)		4/2/2021			17,863,828		17,443,586		15,653,180
			Fieldwood Energy LLC		8.33 (3 Month LIBOR USD + 7.000%)		9/30/2020			5,651,171		5,172,047		4,944,774
			Fieldwood Energy LLC		8.46 (3 Month LIBOR USD + 7.125%)		9/30/2020			8,925,706		7,301,294		3,516,728
			Fieldwood Energy LLC		8.46 (3 Month LIBOR USD + 7.125%)		10/2/2020			7,481,592		6,120,529		5,124,890
			Gulf Finance, LLC		6.59 (3 Month LIBOR USD + 5.250%)		8/25/2023			3,876,710		3,737,896		3,641,704
			Jonah Energy LLC		7.74 (3 Month LIBOR USD + 6.500%)		5/12/2021			3,301,497		3,269,061		3,293,244
				Total Oil and Gas						47,100,504		43,044,413		36,174,520
	Printing and Publishing — 0.10%*:
			Springer¤+		9.00 (3 Month LIBOR USD + 8.000%)		8/14/2021			374,063		425,976		442,102
				Total Printing and Publishing						374,063		425,976		442,102
				Total Bank Loans						126,521,254		122,038,001		111,943,549
Corporate Bonds — 105.81%*:
	Aerospace and Defense — 1.10%*:
			Swissport Investments+^		6.75			12/15/2021		950,000		1,040,150		1,192,975
			Triumph Group, Inc.^		7.75		8/15/2025			1,289,000		1,289,000		1,356,672
			VistaJet Malta Finance PLC#^		7.75			6/1/2020		2,360,000		2,123,571		2,124,000
				Total Aerospace and Defense						4,599,000		4,452,721		4,673,647
	Automobile — 5.26%*:
			Gates Global LLC#^		6.00		7/15/2022			4,740,000		4,276,600		4,870,350
			International Automotive Components Group, S.A.#^		9.13		6/1/2018			8,125,000		8,150,370		8,125,000
			J.B. Poindexter & Co. Inc.#^		9.00			4/1/2022		8,989,000		9,277,730		9,393,505
				Total Automobile						21,854,000		21,704,700		22,388,855
	Beverage, Food and Tobacco — 2.39%*:
			Boparan Finance plc+^		5.50		7/15/2021			1,700,000		2,018,287		2,141,316
			Carrols Corp.#		8.00		5/1/2022			709,000		727,544		753,312
			JBS USA LLC#^		8.25		2/1/2020			6,000,000		5,992,848		6,060,000
			Manitowoc Foodservice#		9.50		2/15/2024			1,074,000		1,074,000		1,233,758
				Total Beverage, Food and Tobacco						9,483,000		9,812,679		10,188,386

					EFFECTIVE INTEREST RATE‡			DUE DATE		PRINCIPAL		COST		FAIR VALUE
	Broadcasting and Entertainment — 4.98%*:
			Arqiva Finance+#^		9.50	%	3/31/2020			5,000,000	$	7,810,765	$	7,117,397
			Clear Channel Worldwide Holdings Inc.#		7.63		3/15/2020			8,165,000		7,897,722		8,042,525
			Clear Channel Worldwide Holdings Inc.#		7.63		3/15/2020			1,277,000		1,277,000		1,261,037
			Dish DBS Corp.#		7.75		7/1/2026			3,094,000		3,128,683		3,552,438
			Entertainment One Ltd.+^		6.88		12/15/2022			850,000		1,282,376		1,243,786
				Total Broadcasting and Entertainment						18,386,000		21,396,546		21,217,183
	Buildings and Real Estate — 1.39%*:
			Beazer Homes USA Inc.#		8.75		3/15/2022			3,198,000		3,256,199		3,534,989
			Cemex S.A.B. de C.V.+#^		7.75			4/16/2026		602,000		601,916		691,698
			CD&R Waterworks Merger^		6.13		8/15/2025			94,000		94,000		96,468
			Keystone Financing+^		9.50		10/15/2019			1,140,685		1,740,207		1,586,598
				Total Buildings and Real Estate						5,034,685		5,692,322		5,909,753
	Cargo Transport — 7.43%*:
			Direct ChassisLink Inc.#^		10.00		6/15/2023			7,894,000		8,061,127		8,861,015
			Kenan Advantage Group, Inc.#^		7.88		7/31/2023			10,000,000		10,067,081		10,275,000
			World Flight Services, Inc.+^		9.50		7/15/2022			5,650,000		6,249,506		7,274,884
			XPO Logistics, Inc.#^		6.50		6/15/2022			5,000,000		4,875,975		5,250,000
				Total Cargo Transport						28,544,000		29,253,689		31,660,899
	Chemicals, Plastics and Rubber — 8.08%*:
			Chemours Co.#		7.00		5/15/2025			5,962,000		5,557,055		6,602,915
			Consolidated Energy Finance S.A.#^		6.75		10/15/2019			3,198,000		3,129,193		3,253,965
			Consolidated Energy Finance S.A.^		6.88		6/15/2025			1,779,000		1,770,105		1,865,726
			CVR Partners LP#^		9.25		6/15/2023			6,213,000		6,135,079		6,616,845
			Pinnacle Operating Corp.#^		9.00		5/15/2023			1,993,613		1,993,613		1,883,964
			Platform Specialty Products Corporation#^		10.38		5/1/2021			5,539,000		5,611,929		6,037,510
			TPC Group, Inc.#^		8.75		12/15/2020			8,398,000		8,408,148		8,146,060
				Total Chemicals, Plastics and Rubber						33,082,613		32,605,122		34,406,985
	Containers, Packaging and Glass — 6.82%*:
			Ardagh Packaging+^		6.75		5/15/2024			3,550,000		4,101,243		4,677,894
			Bormioli+^		10.00		8/1/2018			3,450,000		3,858,552		4,110,470
			Coveris Holdings S.A.#^		7.88		11/1/2019			11,530,000		11,528,259		11,357,050
			Horizon Holdings+^		7.25		8/1/2023			2,000,000		2,195,510		2,520,600
			Onex Wizard Acquisition Co+^		7.75		2/15/2023			5,100,000		5,760,077		6,374,247
				Total Containers, Packaging and Glass						25,630,000		27,443,641		29,040,261
	Diversified/Conglomerate Manufacturing — 1.61%*:
			Appvion Inc.¤#^		9.00		6/1/2020			13,200,000		13,322,179		3,960,000
			StoneMor Partners L.P.#		7.88		6/1/2021			3,000,000		2,944,275		2,880,000
				Total Diversified/Conglomerate Manufacturing						16,200,000		16,266,454		6,840,000
	Diversified/Conglomerate Service — 3.15%*:
			Carlson Travel Holdings Inc.^		9.50		12/15/2024			1,305,000		1,305,000		1,239,750
			CSVC Acquisition Corp.#^		7.75		6/15/2025			5,197,000		5,187,000		5,093,060
			Loxam+^		6.00		4/15/2025			800,000		861,762		1,025,883
			Zachry Holdings Inc.#^		7.50		2/1/2020			5,875,000		5,850,666		6,051,250
				Total Diversified/Conglomerate Service						13,177,000		13,204,428		13,409,943
	Diversified Natural Resources, Precious Metals and Minerals — 0.50%*:
			IAMGOLD Corporation+^		7.00		4/15/2025			2,000,000		2,000,000		2,112,500
				Total Diversified Natural Resources, Precious Metals and Minerals						2,000,000		2,000,000		2,112,500
	Electronics — 4.23%*:
			ADT Corp/Protection One#^		9.25		5/15/2023			8,255,000		8,647,884		9,109,888
			Microsemi Corporation#^		9.13		4/15/2023			691,000		691,000		790,331
			TIBCO Software, Inc.#^		11.38		12/1/2021			2,915,000		3,159,501		3,191,925
			Western Digital Corporation#		10.50		4/1/2024			4,224,000		4,340,341		4,963,200
				Total Electronics						16,085,000		16,838,726		18,055,344

					EFFECTIVE INTEREST RATE‡			DUE DATE		PRINCIPAL		COST		FAIR VALUE
	Finance — 5.34%*:
			Galaxy Finco Ltd.+^		7.88	%	11/15/2021			3,900,000	$	6,351,493	$	5,330,511
			GFKL Financial Services+^		8.50		11/1/2022			3,975,000		5,710,361		5,739,826
			GFKL Financial Services+^		11.00		11/1/2023			1,600,000		2,235,289		2,412,167
			High Ridge Brands Co.^		8.88		3/15/2025			2,982,000		2,982,000		2,840,355
			Icahn Enterprises#		6.75		2/1/2024			3,000,000		2,996,250		3,165,000
			Virtu Financial LLC^		6.75		6/15/2022			3,132,000		3,132,000		3,261,195
				Total Finance						18,589,000		23,407,393		22,749,054
	Grocery — 0.59%*:
			Premier Foods Finance+^		6.50		3/15/2021			1,850,000		2,662,302		2,523,370
				Total Grocery						1,850,000		2,662,302		2,523,370
	Healthcare, Education and Childcare — 9.49%*:
			CHS/Community Health Systems, Inc.		6.88		2/1/2022			2,000,000		1,770,210		1,570,000
			CHS/Community Health Systems, Inc.		6.25		3/31/2023			685,000		685,000		673,012
			Cognita Financing+^		7.75		8/15/2021			2,200,000		3,433,413		3,065,914
			Endo International^		6.00		2/1/2025			1,500,000		1,354,754		1,215,000
			Horizon Pharma plc#^		8.75		11/1/2024			1,595,000		1,597,399		1,670,763
			IDH Finance PLC+^		6.25		8/15/2022			1,150,000		1,506,794		1,425,740
			Kindred Healthcare, Inc.#		8.75		1/15/2023			3,998,000		4,047,789		3,727,735
			Regionalcare Hospital Partners, Inc.#^		8.25		5/1/2023			9,996,000		10,099,590		10,508,295
			Tenet Healthcare Corporation#		8.13		4/1/2022			4,700,000		4,676,550		4,782,250
			Valeant#^		6.13		4/15/2025			7,006,000		6,331,933		6,139,008
			Valeant#^		7.50		7/15/2021			3,260,000		3,260,000		3,251,850
			Valeant^		6.38		10/15/2020			1,000,000		933,705		1,002,500
			Valeant^		6.50		3/15/2022			488,000		488,000		516,060
			Valeant^		7.00		3/15/2024			831,000		831,000		887,167
				Total Healthcare, Education and Childcare						40,409,000		41,016,137		40,435,294
	Hotels, Motels, Inns and Gaming — 0.81%*:
			TVL Finance Plc+^		8.50		5/15/2023			2,340,000		3,333,776		3,463,070
				Total Hotels, Motels, Inns and Gaming						2,340,000		3,333,776		3,463,070
	Insurance — 1.18%*:
			Onex York Acquisition Corp.#^		8.50		10/1/2022			5,102,000		5,009,732		5,025,470
				Total Insurance						5,102,000		5,009,732		5,025,470
	Leisure, Amusement, Motion Pictures and Entertainment — 2.09%*:
			Perform Group+^		8.50		11/15/2020			2,400,000		3,129,984		3,344,634
			WMG Acquisition Group#^		6.75		4/15/2022			5,299,000		5,164,188		5,570,574
				Total Leisure, Amusement, Motion Pictures and Entertainment						7,699,000		8,294,172		8,915,208
	Machinery (Non-Agriculture, Non-Construct, Non-Electronic) — 3.06%*:
			Apex Tool Group LLC#^		7.00		2/1/2021			4,896,000		4,478,861		4,528,800
			Park-Ohio Holdings Corp.		6.63		4/15/2027			808,000		808,000		870,620
			Xerium Technologies#		9.50		8/15/2021			8,200,000		8,282,950		8,487,000
				Total Machinery (Non-Agriculture, Non-Construct, Non-Electronic)						13,904,000		13,569,811		13,886,420
	Mining, Steel, Iron and Non-Precious Metals — 7.14%*:
			Allegheny Technologies Inc.#		7.88		8/15/2023			3,000,000		3,118,587		3,251,250
			Alliance Resources Partners, L.P.^		7.50		5/1/2025			823,000		823,000		853,862
			Big River Steel LLC^		7.25		9/1/2025			1,547,000		1,547,000		1,641,367
			Constellium Holdco B.V.+#^		7.00		1/15/2023			3,350,000		3,933,626		4,203,634
			Hecla Mining Company#		6.88		5/1/2021			5,888,000		5,708,692		6,109,094
			Kissner Milling Company Limited#^		8.38			12/1/2022		6,475,000		6,468,077		6,539,750
			SunCoke Energy Inc.^		7.50		6/15/2025			2,743,000		2,702,212		2,832,148
			TMS International Corp.^		7.25			8/15/2025		2,250,000		2,250,000		2,300,625
			United States Steel Corp.#		6.88		8/15/2025			2,093,000		2,093,000		2,140,093
			Zekelman Industries Inc.^		9.88			6/15/2023		489,000		489,000		551,348
				Total Mining, Steel, Iron and Non-Precious Metals						28,658,000		29,133,194		30,423,171

					EFFECTIVE INTEREST RATE‡			DUE DATE		PRINCIPAL		COST		FAIR VALUE
	Oil and Gas — 14.64%*:
			CITGO Holding Inc.#^		10.75	%	2/15/2020			8,584,000	$	8,483,739	$	9,249,260
			Covey Park Energy LLC^		7.50		5/15/2025			397,000		397,000		411,391
			EP Energy#		9.38		5/1/2020			7,375,000		4,661,734		6,139,687
			EP Energy#^		8.00			2/15/2025		5,055,000		4,960,308		3,936,581
			Ferrellgas Partners LP#		8.63		6/15/2020			8,060,000		8,001,497		7,657,000
			Ferrellgas Partners LP		8.63		6/15/2020			1,254,000		1,213,149		1,191,300
			Globe Luxembourg SA+^		9.88			4/1/2022		400,000		394,699		415,000
			Jonah Energy LLC^		7.25		10/15/2025			2,214,000		2,214,000		2,233,373
			Jupiter Resources Inc.+#^		8.50		10/1/2022			13,375,000		11,908,644		9,596,563
			Kosmos Energy Ltd.#^		7.88		8/1/2021			3,984,000		3,870,735		4,123,440
			Kosmos Energy Ltd.#^		7.88		8/1/2021			5,164,000		4,886,576		5,344,740
			Pbf Holding Company LLC		7.00		11/15/2023			1,000,000		997,500		1,028,750
			Pbf Logistics LP#		6.88		5/15/2023			1,117,000		1,117,000		1,147,718
			Topaz Marine SA+^		9.13		7/26/2022			8,500,000		8,500,000		8,506,375
			Welltec+#^		8.00		2/1/2019			1,387,000		1,365,319		1,387,000
				Total Oil and Gas						67,866,000		62,971,900		62,368,178
	Personal Transportation — 1.81%*:
			Hertz Corporation		7.38		1/15/2021			2,000,000		1,898,791		2,007,500
			Hertz Corporation		6.25		10/15/2022			2,000,000		1,733,429		1,900,000
			Hertz Corporation#^		7.63		6/1/2022			3,678,000		3,672,214		3,792,938
				Total Personal Transportation						7,678,000		7,304,434		7,700,438
	Retail Store — 3.11%*:
			Boing Group Finance+^		6.63		7/15/2019			3,050,000		4,159,473		3,664,470
			HSS Financing PLC+^		6.75		8/1/2019			816,000		1,240,099		1,049,701
			Maxeda DIY+^		6.13		7/15/2022			750,000		855,529		927,156
			Takko Fashion+^		9.88		4/15/2019			2,300,000		3,042,265		2,776,799
			Travelex+^		8.00		5/15/2022			4,000,000		4,421,260		4,845,763
				Total Retail Store						10,916,000		13,718,626		13,263,889
	Telecommunications — 7.60%*:
			Altice S.A.+#^		7.75		5/15/2022			3,240,000		3,240,000		3,438,450
			Altice S.A.+#^		7.50		5/15/2026			2,622,000		2,671,577		2,884,200
			Altice S.A.+#^		7.63			2/15/2025		1,250,000		1,317,774		1,348,437
			Digicel Limited+#^		6.00		4/15/2021			4,000,000		3,576,328		3,904,560
			GTT Communications^		7.88		12/31/2024			3,044,000		3,118,361		3,234,250
			Hughes Satellite Systems Corp		6.63		8/1/2026			3,000,000		2,923,319		3,210,000
			Numericable-SFR+#^		7.38			5/1/2026		3,183,000		3,206,928		3,437,640
			Sprint Corp.#		7.88		9/15/2023			4,428,000		4,305,786		5,136,480
			Wind Acquisition+#^		7.38		4/23/2021			5,545,000		5,260,045		5,766,800
				Total Telecommunications						30,312,000		29,620,118		32,360,817

					EFFECTIVE INTEREST RATE‡			DUE DATE		PRINCIPAL		COST		FAIR VALUE
	Textiles & Leather — 0.55%*:
			Perry Ellis International Inc#		7.88	%	4/1/2019			2,334,000	$	2,361,621	$	2,334,000
				Total Textiles & Leather						2,334,000		2,361,621		2,334,000
	Utilities — 1.26%*:
			NRG Energy#		7.25		5/15/2026			5,000,000		4,976,059		5,362,500
				Total Utilities						5,000,000		4,976,059		5,362,500
				Total Corporate Bonds						436,732,298		448,050,303		450,714,635
				Total Fixed Income						563,253,552		570,088,304		562,658,184
				Total Investments						564,864,048		572,647,279		565,196,356
Other assets and liabilities — (32.69)%														(139,237,300)
				Net Assets — 100%									$	425,959,056

‡

The effective interest rates are based on settled commitment amount.

*

Calculated as a percentage of net assets applicable to common shareholders.

¤

Value determined using significant unobservable inputs, security is categorized as Level 3.

§

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, 2017. 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.

+

Foreign security.

#

All or a portion of the security is segregated as collateral for the credit facility.  See Note 8 to the financial statements for further disclosure.

^

Security exempt from registration under Rule 144a of the Securities Act of 1933.  These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers.

Distributions of investments by country of risk.  Percentage of assets are expressed by market value excluding cash and accrued income as of September 30, 2017.

				United States	75.0%
				United Kingdom	10.0%
				France	4.1%
				Canada	2.1%
				Italy	1.7%
				United Arab Emirates	1.5%
				Switzerland	1.3%
				(Individually less than 1%)	4.3%
					100.0%

Tax Basis

The cost basis of investments for federal income tax purposes at September 30, 2017 for Barings Global Short Duration High Yield Fund (the “Fund”) was as follows*:

 

Cost of investments		$	572,647,279
Gross unrealized appreciation			23,766,813
Gross unrealized depreciation			(31,272,345	)
Net unrealized depreciation		$	(7,505,532	)

 

*The above table only reflects tax adjustments through December 31, 2016.  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 is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.  A three-tier hierarchy is utilized to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes.  Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk.  For example, market participants would consider the risk inherent in a particular valuation technique used to measure fair value, such as a pricing model, and/or the risk inherent in the inputs to the valuation technique.  Inputs may be observable or unobservable.  Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity.  Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances.  The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

Level 1 – quoted prices in active markets for identical securities

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

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

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

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

The following is a summary of the inputs used as of September 30, 2017 in valuing the Fund’s investments:

The following table is a summary of quantitative information about significant unobservable valuation inputs for Level 3 fair value measurement for investments held as of September 30, 2017.

 

 

Pinnacle Operating Corp. restructured its debt securities on March 15, 2017.  The Fund subsequently received a new equity security, which is considered Level 3.

The Fund discloses transfers between levels based on valuations at the end of the reporting period.  The following is a reconciliation of Level 3 investments based upon the inputs used to determine fair value:

 

	BALANCE AT DECEMBER 31, 2016	TRANSFERS INTO LEVEL 3	TRANSFERS OUT OF LEVEL 3	PURCHASES	SALES	ACCRETION OF DISCOUNT	REALIZED GAIN LOSS	CHANGE IN UNREALIZED	BALANCE AT September 30, 2017	CHANGE IN UNREALIZED APPRECIATION / DEPRECIATION FROM INVESTMENTS HELD AS OF September 30, 2017
Common Stocks
Equities	$2,110,595	$0	$0	$662,149	$0	$0	$0	($234,572)	$2,538,172	($234,572)
Fixed Income
Bank Loans	$3,871,669	$3,692,835	$0	$5,162,895	($3,990)	$3,738	$77	($311,506)	$12,415,718	($311,506)
Corporate Bonds	$0	$3,960,000	$0	$0	$0	$0	$0	$0	$3,960,000	$0
Total	$5,982,264	$7,652,835	$0	$5,825,044	($3,990)	$3,738	$77	($546,078)	$18,913,890	($546,078)

B.  Cash and Cash Equivalents

Cash and cash equivalents consist principally of short term investments that are readily convertible into cash and have original maturities of three months or less.  At September 30, 2017, all cash and cash equivalents are held by U.S. Bank, N.A.

C.  Investment Transactions, Related Investment Income and Expenses

Investment transactions are accounted for on a trade-date basis.  Interest income is recorded on the accrual basis, including the amortization of premiums and accretion of discounts on bonds held using the yield-to-maturity method.

Realized gains and losses on investment transactions and unrealized appreciation and depreciation of investments are reported for financial statement and Federal income tax purposes on the identified cost method.

Expenses are recorded on the accrual basis as incurred.

D.  Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates.

E.  Federal Income Taxation

The Fund has elected to be taxed as a Regulated Investment Company (“RIC”) under sub-chapter M of the U.S. Internal Revenue Code of 1986, as amended, and intends to maintain this qualification and to distribute substantially all of its net taxable income to its shareholders.

F. Dividends and Distributions

The Fund declares and pays dividends monthly from net investment income. To the extent that these distributions exceed net investment income, they may be classified as return of capital. The Fund also pays a distribution at least annually from its net realized capital gains, if any. Dividends and distributions are recorded on the ex-dividend date. All common shares have equal dividend and other distribution rights. A notice disclosing the source(s) of a distribution will be provided if payment is made from any source other than net investment income. Any such notice would be provided only for informational purposes in order to comply with the requirements of Section 19(a) of the 1940 Act and not for tax reporting purposes. The tax composition of the Fund’s distributions for each calendar year is reported on Internal Revenue Service Form 1099-DIV.

Dividends from net investment income and distributions from realized gains from investment transactions have been determined in accordance with Federal income tax regulations and may differ from net investment income and realized gains recorded by the Fund for financial reporting purposes. These differences, which could be temporary or permanent in nature may result in reclassification of distributions; however, net investment income, net realized gains and losses, and net assets are not affected.

G.  Derivative Instruments

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

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

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

The Fund recognized a liability on the Statement of Assets and Liabilities as a result of forward foreign exchange contracts with BNY Mellon and J.P. Morgan.  The Fund’s policy is to recognize an asset equal to the net value of all forward foreign exchange contracts with an unrealized gain and a liability equal to the net value of all forward foreign exchange contracts with an unrealized loss.  The Fund has recognized an asset of $729,908 in net unrealized appreciation and a liability of $755,863 in net unrealized depreciation on forward foreign exchange contracts.  Outstanding forward foreign exchange contracts as of September 30, 2017 are indicative of the volume of activity during the period.

For the period from January 1, 2017 through September 30, 2017, the Fund’s direct investment in derivatives consisted of forward foreign exchange contracts.

The following is a summary of the fair value of derivative instruments held directly by the Fund as of September 30, 2017.  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, 2017:

The effect of derivative instruments on the Statement of Operations for the period from January 1, 2017 through September 30, 2017:

Amount of Realized Gain/(Loss) on Derivatives

H.   Offsetting of Financial and Derivative Assets and Liabilities

The following is a summary by counterparty of the fair value of derivative investments subject to Master Netting Agreements and collateral pledged (received), if any, as of September 30, 2017.

 

 

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.

 

By (Signature and Title)  /s/ Sean Feeley                                          

                                             Sean Feeley, President

Date  November 29, 2017                                                                      

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/ Sean Feeley                                          

                                            Sean Feeley, President

Date  November 29, 2017                                                                      

 

 

By (Signature and Title)  /s/ Carlene Pollock                                    

                                            Carlene Pollock, Chief Financial Officer

Date  November 29, 2017