Barings Funds Trust NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number(s) 811-22845

Babson Capital Funds Trust

(Exact Name of Registrant as Specified in Charter)

550 South Tryon Street

Suite 3300

Charlotte, NC 28202

(Address of Principal Executive Offices)

Registrant’s telephone number, including area code: (704) 805-7200

Janice M. Bishop

Vice President, 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)

Date of fiscal year end: June 30

Date of reporting period: June 30, 2016

Item 1.

Reports to Stockholders.

The Report to Shareholders is attached hereto.

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BABSON CAPITAL FUNDS TRUST

Annual Report

June 30, 2016

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BCFT Service Providers

ADVISER

Babson Capital Management LLC

550 South Tryon Street

Suite 3300

Charlotte, NC 28202

SUB-ADVISER

Babson Capital Global Advisors Limited

61 Aldwych

London, UK

WC2B 4AE

COUNSEL TO THE TRUST

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02110

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Deloitte & Touche LLP

200 Berkeley Street

Boston, MA 02116

CUSTODIAN

State Street Bank & Trust

One Lincoln Street

Boston, MA 02111

TRANSFER AGENT AND REGISTRAR

ALPS Fund Services, Inc.

1290 Broadway

Suite 1100

Denver, CO 80203

FUND ADMINISTRATION/ACCOUNTING

State Street Bank & Trust

One Lincoln Street

Boston, MA 02111

FUND DISTRIBUTOR

ALPS Distributors, Inc.

1290 Broadway

Suite 1100

Denver, CO 80203

BLUE SKY ADMINISTRATION

Boston Financial Data Services

2000 Crown Colony Drive

Quincy, MA 02169

PROXY VOTING POLICIES & PROCEDURES

The Trustees of Babson Capital Funds Trust (the “Trust”) have delegated proxy voting responsibilities relating to the voting of securities held by the Trust 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 1-877-766-0014; (2) on the Trust’s website at http://www.BabsonCapital.com; and (3) on the U.S. Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

FORM N-Q

The Trust 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 or upon request by calling, toll-free, 1-877-766-0014.

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Anthony Sciacca

President

Babson Capital Funds Trust

Babson Capital Funds Trust

Babson Global Floating Rate Fund

Babson Global Credit Income Opportunities Fund

Babson Active Short Duration Bond Fund

Babson Total Return Bond Fund

Babson Emerging Markets Debt Blended Total Return Fund

Babson Emerging Markets Local Currency Debt Fund

Babson Global High Yield Fund

Babson U.S. High Yield Fund

Dear Shareholder,

The first half of 2016 began with a continuation of the slow growth, low interest rate environment that has become a familiar mantra, and ended with a seismic shock that caught nearly everyone by surprise, with Britons voting in favor of leaving the European Union (EU). Although the results of the United Kingdom’s June referendum on EU membership rattled financial markets, as evidenced by the extreme post-vote market reaction, the true long-term impact of the decision will take time to materialize. In the near term, the United Kingdom’s divorce from the EU will likely be messy and costly in terms of slower growth for the United Kingdom, Europe and the world. However, the Brexit vote may serve as a catalyst for long-needed governance reforms within the EU.

In the U.S., real Gross Domestic Product (GDP) growth slowed for the third consecutive quarter, and household consumption, which accounts for about 70% of the U.S. economy, grew at its weakest pace in two years. The euro-area economy grew at its fastest pace in a year during the first quarter of 2016, but its growth rate is likely to slow in the second quarter according to the European Central Bank, and the results of the Brexit vote should cloud the outlook for euro zone growth even further. In Asia, the Bank of Japan refrained from monetary easing at its June meeting — preferring not to front-run the Brexit vote —but it may soon take action to stabilize Japan’s growth and halt a rising yen. Recent manufacturing data in China has weakened, leading to additional concerns for China’s growth outlook. Globally, uncertain growth prospects continue to drive safe-haven sovereign yields lower. Thus, market uncertainty remains the prevalent economic theme globally, and one cannot help but think what role anti-establishment fervor and nationalistic sentiment will play in the upcoming elections in Europe and the U.S.

Particularly when times are uncertain, investors should seek out experienced firms with a proven history of investment stewardship. At Babson, our mutual fund platform offers a diverse selection of institutional quality investment vehicles that provide investors with access to the global fixed income markets. With investment teams in local markets conducting rigorous fundamental analysis on every company in which we invest, we continually monitor market risk factors and base our investment decisions on thorough research, prudent risk management and the time-tested principles of portfolio diversification. We view our relationship with our shareholders as a partnership, and we are committed to helping you achieve your long-term goals by adhering to investment disciplines that have proven successful over many market cycles.

On behalf of the entire Babson team, we thank you for your partnership, we value the trust you have placed in us and we look forward to helping you achieve your investment objectives.

Sincerely,

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Anthony Sciacca

Cautionary Notice: Certain statements contained in this report may be “forward looking” statements. Investors are cautioned not to place undue reliance on forward-looking statements, which speak only as of the date in which they are made and reflect management’s current estimates, projections, expectations or beliefs, and which are subject to risks and uncertainties that may cause actual results to differ materially. These statements are subject to change at any time based upon economic, market or other conditions and may not be relied upon as investment advice or an indication of the Trust’s trading intent. References to specific securities are not recommendations of such securities, and may not be representative of the Trusts’s current or future investments. We undertake no obligation to publicly update these forward looking statements, whether as a result of new information, future events, or otherwise.

ALPS Distributors, Inc. is the distributor for the Babson Capital mutual funds. ALPS and Babson Capital Management LLC are separate and unaffiliated. A prospectus can be obtained by calling 1.855.439.5459. Read the prospectus carefully before investing. Investors should carefully consider the investment objective, risks, charges and expenses of any mutual fund before investing. This and other important information is contained in the prospectus.

BCM000496 08/31/2017

Babson Global Floating Rate Fund 2016 Annual Report

Investment Objective

The investment objective of the Babson Global Floating Rate Fund (“Global Floating Rate Fund” or the “Fund”) is to seek a high level of current income. Preservation of capital is a secondary goal.

Portfolio Management Commentary

How did the Fund perform?

The Fund reported a net total rate of return for the annual reporting period from July 1, 2015 through June 30, 2016 of 0.22% and underperformed the Credit Suisse Global Loan Benchmark (the “Benchmark”), which returned 1.24%.¹

What factors influenced performance of the Fund?

For the annual reporting period, the Fund’s European loans and both U.S. and European bonds were the largest contributors to performance relative to the Benchmark. The Fund’s U.S. loan holdings, however, negatively impacted Fund performance. Commodity related companies comprised seven of the Fund’s top ten detractors.

Although prices for most U.S. senior secured loans and high yield bonds of commodity-related issuers bottomed in mid-February, the sector faced significant selling pressure over the past twelve months and detracted from performance. The Fund was negatively impacted by its exposure to these credits relative to the Benchmark. Seven of the Fund’s bottom ten contributors to its underperformance were commodity-related issuers. In our view, the underlying credit fundamentals for many of these issuers imply a higher value than current trading levels. We feel the selling was indiscriminate at times. While it is difficult to predict the price of commodities, we believe that most of these companies have sufficient liquidity and flexibility in their capital expenditure and operating budgets to withstand the volatility in commodity prices for longer than their current prices would suggest.

Describe recent portfolio activity.

The number of holdings in the portfolio decreased by ten credits, from 197 to 187 over the year while the Fund’s asset size remained basically unchanged. Over the last 12 months, the Fund increased its exposure to the U.S. and reduced its exposure to Europe. The Fund’s U.S. exposure increased by 4.9% to 69.2%.

However, despite the decrease in European exposure, the Fund remained overweight to European assets relative to the global senior secured loan market. The Fund increased its exposure to U.S. assets over the past twelve months as prices widened more significantly than in Europe which, in our opinion, positions the Fund to capture the best risk-adjusted returns from the market.

Over the past 12 months, the Fund’s top three sector exposures have changed as only Healthcare, Education and Childcare remained in the top three. Three sectors had changes larger than 2.0% during the previous twelve months with Diversified/Conglomerate Services down 3.6%, Finance down 2.4% and Telecommunications down 2.1%. The two largest sector increases were Containers, Packaging and Glass and Electronics, which both increased 1.9%.

Describe portfolio positioning at period end.

The Fund finished the annual reporting period, June 30, 2016, with a 83.8% weighting to global senior secured loans. The remainder of the portfolio was invested in global high yield bonds (9.2%), primarily senior secured bonds, and cash (7.0%).

^1. Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance results reflect past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Credit Suisse Global Loan Benchmark is a market capitalization weighted average of the Credit Suisse Leveraged Loan Index and the Credit Suisse Western European Leveraged Loan Index. The Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market. The Credit Suisse Western European Leveraged Loan Index is designed to mirror the investable universe of the Western European leveraged loan market, with loans denominated in U.S. and Western European currencies. Indices are unmanaged. It is not possible to invest directly in an index.

Babson Global Floating Rate Fund 2016 Annual Report

From an industry perspective, the Fund remains well-diversified across a number of sectors based on Moody’s Industry Classification, with higher concentrations in Healthcare, Education and Childcare (11.1%), Chemicals, Plastics and Rubber (7.9%), and Retail Stores (6.6%) as of June 30, 2016.

As of June 30, 2016, the Fund had the following credit quality breakdown: 2.9% in Baa assets, 20.5% in Ba assets, 54.6% in single-B credits and 5.5% in Caa and below assets. Approximately 8.3% of the Fund’s assets are not publicly rated, primarily consisting of European issuers that we believe have a credit quality similar to that of other assets in the portfolio. Cash and accrued assets accounted for the remaining 8.3% of the portfolio assets. Over the course of the year, the single-B and not publically rated assets decreased as the Fund’s exposure to Baa, Ba and Caa and below assets all increased.²

The top five countries in the portfolio at the end of the annual reporting period are the United States (69.2%), the United Kingdom (10.7%), Germany (8.6%), France (2.9%) and Canada (2.1%). Overall, the Fund has exposure to 17 different countries, and we continue to focus on building a well-diversified portfolio of global floating rate securities.

Describe market and portfolio outlook.

The global high yield markets held up relatively well following the Brexit referendum. While we expect to see some headline-driven weakness in high yield markets in the near term—particularly in sterling denominated credits—it will take time for the economic implications of the vote to become clear.

That said, outside of commodity related sectors, credit fundamentals for high yield borrowers across geographies remain largely intact. Further, we believe the European high yield markets will benefit from the expansion of the European Central Bank’s purchasing program to include corporate credit.

Negative pressure in the near term will most likely stem from broader market sentiment rather than the fundamentals of individual credits.

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Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

Babson Global Floating Rate Fund 2016 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

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*	The percentages shown above represent a percentage of the assets as of June 30, 2016.

COUNTRY COMPOSITION (% OF ASSETS**)

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**	Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2016.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

Investment Objective

The investment objective of the Babson Global Credit Income Opportunities Fund (“Global Credit Income Opportunities Fund” or the “Fund”) is to seek an absolute return, primarily through current income and secondarily through capital appreciation.

Portfolio Management Commentary

How did the Fund perform?

The Fund reported a net total rate of return for the annual reporting period from July 1, 2015 through June 30, 2016, of -0.61% and underperformed the 3 Month USD LIBOR + 500 basis points¹ Benchmark, which retuned 5.63%.²

What factors influenced performance of the Fund?

During the annual reporting period, the main contributor to performance was the Fund’s allocation to high yield bonds in both the U.S and Europe. European loans also were a minor positive contributor.

Commodity related issuers, including Energy, Metals & Minerals and Utilities, faced significant pressure over the past twelve months and all three sectors were major detractors from performance. The Fund’s Collateralized Loan Obligation (CLO) holdings also had a negative impact on performance during the last year. Eight of the Fund’s bottom ten contributors to its underperformance were commodity-related issuers or CLOs. While commodity related names and CLOs were a detractor for the full year, in the quarter ended June 30, 2016 all were positive contributors.

The Fund’s special situation credits had a negative impact on performance during the annual reporting period; however, we believe these assets provide attractive current income to the portfolio and should contribute to the Fund’s performance in the future.

Describe recent portfolio activity.

The number of holdings in the portfolio increased over the year as the Fund grew since July 1, 2015. Despite the increased number of holdings, the Fund’s positioning between the U.S. and Europe remained fairly consistent although there was some movement within individual countries within Europe.

During the year, the Fund reduced its exposure to global senior secured loans (down 6.4%) and increased its exposure to global high yield bonds (up 7.1%) to focus on what we believe to be a more attractive part of the below investment grade market from a risk-adjusted basis.

The following sectors all had shifts of greater than 1% over the last twelve months, Healthcare, Education and Childcare down 2.1%. Telecommunications down 2.0%, Oil & Gas down 1.6%, and Chemicals, Plastics & Rubber up 2.2%.

Describe portfolio positioning at period end.

The Fund finished the annual reporting period, June 30, 2016, with an allocation of 53.9%, 22.8%, and 15.3% to global high yield bonds, global senior secured loans and CLOs, respectively. The remainder of the portfolio was invested in a few opportunistic special situation credits at 1.6%, equity at 0.4% and cash at 6.0%. A significant portion of the portfolio (59.1%) is senior secured in nature (includes CLOs backed by secured loans), which can potentially mitigate principal loss in the event that default rates increase.

^1.	A unit that is equal to 1/100th of 1% or 0.01%.

^2.

Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance results reflect past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The 3 Month USD LIBOR (London Interbank Offered Rate) is an average interest rate, determined by the Intercontinental Exchange, that banks charge one another for the use of short-term money (3 months) in England’s Eurodollar market. The return shown includes 3 Month USD LIBOR plus 500 bps, or 5% per annum. LIBOR is unmanaged. It is not possible to invest directly in LIBOR. No assurance can be given that the Fund’s performance will exceed that of LIBOR by any given increment, or at all.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

From an industry perspective, the Fund remains well-diversified across a number of sectors based on Moody’s Industry Classification, with higher concentrations in Oil and Gas (6.3%), Chemicals, Plastics & Rubber (5.9%), and Healthcare, Education and Childcare (5.2%) as of June 30, 2016.

As of June 30, 2016, the Fund had the following credit quality breakdown excluding cash and accrued income: 0.7% in Baa assets, 31.7% in Ba assets, 50.4% in single-B credits and 13.4% in Caa and below. Approximately 3.8% of the Fund’s assets are not publicly rated, primarily consisting of European issuers that we believe have a credit quality similar to that of other assets in the portfolio. Over the last twelve months, there were not any material changes to the ratings profile of the Fund.³

The Top 5 countries in the portfolio at the end of the annual reporting period are the United States (64.0%), the United Kingdom (10.5%), Germany (6.4%), the Netherlands (3.9%), and France (3.2%). The Cayman Islands exposure related to the Fund’s CLO holdings is included in the United States. Overall, the Fund has exposure to 22 different countries, and we continue to focus on building a well-diversified portfolio of global high yield securities.

Describe market and portfolio outlook.

The global high yield markets held up relatively well following the Brexit referendum. While we expect to see some headline-driven weakness in high yield markets in the near term — particularly in sterling denominated credits — it will take time for the economic implications of the vote to become clear.

That said, outside of commodity-related sectors, credit fundamentals for high yield borrowers across geographies remain largely intact. Further, we believe the European high yield markets will benefit from the expansion of the European Central Bank’s purchasing program to include corporate credit.

Negative pressure in the near term will most likely stem from broader market sentiment rather than the fundamentals of individual credits.

^3.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

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*	The percentages shown above represent a percentage of the assets as of June 30, 2016.

COUNTRY COMPOSITION (% OF ASSETS**)

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**	Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2016.

Babson Active Short Duration Fund 2016 Annual Report

Investment Objective

Babson Active Short Duration Bond Fund (“Active Short Duration Bond Fund” or the “Fund”) seeks to achieve a high total rate of return primarily from current income while minimizing fluctuations in capital values by investing primarily in a diversified portfolio of short-term investment grade fixed income securities.

Portfolio Management Commentary

How did the Fund perform?

The Fund was launched on July 8, 2015 and reported a net total rate of return since inception through June 30, 2016 of 1.36%, outperforming the Barclays U.S. 1-3 Year Government Bond Index, which returned 1.18%.¹

What factors influenced performance of the Fund?

Duration positioning positively contributed to performance. The front-end of the U.S. Treasury yield curve, between the one to three years, flattened substantially as the market priced in a lower probability of an extended series of Federal Reserve interest rate hikes over the last six months. The Fund was at its maximum duration of approximately 2.9 years during much of 2015. However, over the first six months of 2016 as the short-end of the yield curve flattened, the duration of the Fund has shortened to 1.8 years in accordance with our process.

The securitized sector positively impacted performance over the period. Asset-backed securities (ABS) with allocations to student loans and commercial collateral were the largest contributing sub-sectors. Allocations to U.S. agency mortgage-backed securities (MBS) and commercial mortgage-backed securities (CMBS) also benefitted.

The Fund’s allocation to corporate credit was mixed; investment grade corporate credit helped performance, while allocations to BB-rated high yield bonds and convertible securities were the primary detractors to performance, driven largely by the sell-off in Metals & Mining and Oil & Gas producers during the first quarter.

Describe recent portfolio activity.

Since inception, the Fund has experienced positive inflows and portfolio activity has been allocated across corporate, securitized, and government sectors.

ABS secondary market trading volume was steady in the second quarter and the Fund added exposure of commercial sectors such as Student Loans, Automobile, Timeshares, Medical, and Movie Receivables.

Following the unexpected decision of British voters to leave the European Union, the Fund exited holdings to European banks and purchased shorter emerging market securities offering a significant spread pick-up to developed market corporate credit.

Describe portfolio positioning at period end.

The Fund’s duration ended the period at 1.8 years. Since the beginning of 2016, duration has been steadily shortened from the strategy’s maximum of three years as the slope of the U.S. Treasury yield curve between one and three years has flattened.

From a sector perspective, the Fund continues to be well-diversified across corporates, securitized, and governments. The corporate allocation is at approximately 41%, with 35% in investment grade corporates and 6% in BB-rated and crossover high yield. However, a more cautious positioning is warranted given the macro-economic

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Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance results reflect past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Barclays U.S. 1-3 Year Government Bond Index is comprised of the U.S. Treasury and U.S. Agency Indices. The U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government) that have remaining maturities of more than one year and up to but not including 3 years. Indices are unmanaged. It is not possible to invest directly in an index.

Babson Active Short Duration Fund 2016 Annual Report

headwinds. The Banking sector has been reduced through sales of European paper and the Fund exited the Energy sector in the first quarter. Opportunities are in specific single names, often post-merger and acquisition event new issuance, where we believe the company fundamentals and spreads provide attractive opportunities.

During the period, the securitized ABS allocation was brought to approximately 25%. Automotive loan collateral represents the largest positioning, followed by FFELP Student Loans. Additional collateral consists of timeshares and whole business franchise receivables. An active CMBS positioning remains in shorter-maturity seasoned issues.

The agency mortgage-backed securities allocation (4.0%) is in lower coupon 15-year Federal National Mortgage Associations (Fannie Mae’s).

Describe market and portfolio outlook.

Volatility will likely persist in the near-term driven by changes in commodity price levels, slow global economic growth, and signs of deterioration in corporate fundamentals. This has driven the U.S. Treasury yield curve flatter between one and three years. In accordance with our duration management process, the duration of the Fund was shortened to approximately 1.8 years. Given the current slope of the yield curve, we will look to further reduce duration.

The Fund will continue to maintain the large underweight in both Treasury and Agency securities with likely an active allocation to corporate bonds. Issuance has remained robust due to the low interest rate environment, and the Fund’s credit exposure is focused on short/intermediate maturities with attractive roll-down characteristics.

The Fund will continue to selectively add exposure to ABS, such as subprime automobile receivables, student loans, and franchise whole business deals as opportunities arise.

Babson Active Short Duration Fund 2016 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

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*	The percentages shown above represent a percentage of the assets as of June 30, 2016.

Babson Total Return Bond Fund 2016 Annual Report

Investment Objective

Babson Total Return Bond Fund (“Total Return Bond Fund” or the “Fund”) seeks a superior total rate of return by investing in fixed income instruments.

Portfolio Management Commentary

How did the Fund perform?

The Fund was launched on July 8, 2015 and reported a net total rate of return since inception through June 30, 2016 of 4.89%, underperforming the Barclays U.S. Aggregate Bond Index, which returned 5.48%.¹

What factors influenced performance of the Fund?

Although the Fund rebounded since the end of February, over the reporting period, an overweight to investment grade corporate credit and an allocation to convertible securities were the primary detractors to performance. Within those allocations, exposures to Oil & Gas producers, as well as commodity miners, were the main negative drivers, with most of the underperformance coming in the first quarter of 2016.

An allocation to high yield was the primary contributor to performance as spreads rebounded significantly in the second quarter of 2016.

Asset-backed securities (ABS) were the primary detractor in the securitized sector, largely due to holdings in government guaranteed FFELP student loans, which underperformed during the period.

Downside derivative mitigation, such as using investment grade CDX index credit default swaps (a swap where the seller compensates the buyer in the event of a default) to partially hedge our longer duration ABS exposures, IGCDX put spread options (purchased put options on credit default swaps), and USD/CNH (long US dollar currency forwards and short the Chinese Renminbi currency forward) position benefitted performance during the period.

Describe recent portfolio activity.

Given the uncertainty and regulatory environment following the British referendum to leave the European Union, the Fund recently exited holdings in European banks. Purchases were in emerging market corporates that offer a significant spread pick-up to developed market credit.

The agency mortgage-backed securities allocation remains underweight while opportunistically rotating from 30-year conventional pass-throughs to 15-year conventional pass-throughs based on relative value.

The Fund selectively added exposure to asset-backed securities in consumer and commercial sectors such as student loans, business franchise whole loans and automobile receivables.

Describe portfolio positioning at period end.

Duration and the yield curve for the Fund were neutral relative to the benchmark.

The largest overweight relative to the benchmark remains in corporate credit, representing approximately a 48.2% allocation versus 31.0% for the index. High yield corporates made up 8.6% of that exposure. Diversified Industrials and Banking were the largest sectors within corporate credit. The Energy allocation represented about 2.9%. During the period, the Fund exited a convertible securities allocation.

^1.

Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance results reflect past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Barclays U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. Indices are unmanaged. It is not possible to invest directly in an index.

Babson Total Return Bond Fund 2016 Annual Report

Within agency mortgage-backed securities, the Fund was underweight (23.7%) relative to the benchmark (27.7%). There has been a rotation from To-Be-Announced (TBA) securities into call-protected MBS pools.

During the period, the allocation to ABS was increased and is comprised of traditional automotive loan collateral, FFELP student loans, and compelling collateral such as timeshares, cell towers, and personal consumer loans.

Commercial mortgage-backed securities made up 4.9% of the Fund, representing a 3.2% overweight. BBB-rated tranches backed by 2012 vintage collateral represent the best value, however, they are difficult to source given their strong underwriting profile. The Fund has gained exposure to these vintages using CMBX, a synthetic index.

Describe market and portfolio outlook.

Numerous secular and cyclical changes are working their way through the credit markets, creating volatility and opportunities during the period. Global growth continues at a modest pace.

After a brief downdraft post-Brexit results, risk assets have recovered nicely as central banks around the world stepped up in surprisingly effective and coordinated ways to calm market fears. Still, there is a growing nervousness globally over reliance on monetary policy to promote growth and support asset prices.

With an overall decline in corporate fundamentals, the Fund is focusing on specific single names, often post-merger and acquisition event, where we believe spreads provide attractive opportunities.

The Fund remains overweight in spread sectors such as Corporates and Structured Products relative to liquid products such as governments and agencies and seeks to add alpha (the return in excess to the benchmark) by investing in under covered sectors where we have competitive advantages, such as esoteric ABS, CLOs, and emerging market corporates.

Babson Total Return Bond Fund 2016 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

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*	The percentages shown above represent a percentage of the assets as of June 30, 2016.

Babson Emerging Markets Debt Blended Total Return Fund 2016 Annual Report

Investment Objective

The investment objective of the Babson Emerging Markets Debt Blended Total Return Fund (“EMD Blended Total Return “ or the “Fund”) is to seek to achieve maximum total return, consistent with preservation of capital and prudent investment management, through high current income generation and, where appropriate, capital appreciation.

Portfolio Management Commentary

How did the Fund perform?

The Fund was launched on October 21, 2015 and reported a net total rate of return since inception through June 30, 2016 of 2.79%.¹

What factors influenced performance of the Fund?

For the semi-annual reporting period, the Fund’s positioning in South African rates and currency, Mexican rates, government bonds and corporate bonds, the Russian Rouble and Serbian rates were the primary contributors to performance. Corporate holdings in Petrobras, Office Cherifien Des Pho and Vale, also aided returns. Key detractors from performance were the Fund’s local rates positioning in Brazil, the Mexican Peso, and Singaporean Dollar, while the Fund’s holding in Proman Holding also detracted from returns.

The emerging markets debt sector performed well during the first half of 2016 as central banks remained accommodative, oil and commodities continued to strengthen and infrastructure spending in China took hold. Dovish sentiment from the Federal Reserve and the European Central Bank, coupled with the Bank of England’s announcement of pending Brexit-induced easing, provided support to the markets.

Within the portfolio, South Africa contributed 1.25% as both rates and the South African Rand recovered from President Zuma’s missteps in 2015 and from a recovery in commodities. The Fund’s positioning in Brazilian rates, ahead of what turned out to be a peaceful transition to interim President Temer, was the largest performance detractor (-1.84%).

Describe recent portfolio activity.

During the first half of 2016, the Fund added 13.6% to Brazilian credits across corporates, sovereign and local rates and increased Mexican exposure by 6.5% to 23.3% as we added exposure to corporate credits in energy and financials. Additionally, the Fund took a notable position in Argentinean debt (3.7%), as the country made its long awaited return to external markets, following the 2001 default and holdout restructuring under new president Mauricio Macri.

Describe portfolio positioning at period end.

The Fund finished the annual reporting period, June 30, 2016, with a 45% exposure to emerging markets corporate bonds, 25% exposure to emerging markets local debt and currencies, 27% exposure to sovereign hard currency bonds and a 3% cash position.

The top five countries in the portfolio at the end of the annual reporting period are Mexico (23.3%), Brazil (18.9%), South Africa (6.1%), Colombia (5.6%), and Chile (4.1%). The top five corporate bonds are Petrobras (4.67%), Marfrig Global Foods (4.1%), PEMEX (4.0%), AES Corp (3.67%) and Vale (2.7%). Overall, the Fund has exposure to 20 countries, 22 corporates, and 22 different currencies.

^1.

Babson Emerging Markets Debt Blended Total Return Fund 2016 Annual Report

Describe market and portfolio outlook.

We remain optimistic that some emerging markets headwinds are poised to reverse and become tailwinds or at least stabilize.

Credit selection will be key to seeking the best risk-adjusted return opportunities across the emerging markets corporate debt spectrum.

Lower net supply, driven by reduced issuance and heightened buyback activity, will likely serve as a strong supportive technical factor for emerging markets corporate debt. For emerging markets sovereigns, we continue to favor Central European countries, as well as Caribbean and Central American countries which should continue to be beneficiaries of the pickup in growth out of core Europe and the United States.

Currency valuations have adjusted significantly over the past 24 months and we are now seeing some emerging markets currencies at their most attractive levels in more than 10 years, thereby providing for selective emerging markets growth prospects.

The portfolio continues to be positioned in selective rates where inflation is falling along with narrowing current account deficits. A picture of global disinflation should remain favorable for emerging markets local debt and the Fund.

Babson Emerging Markets Debt Blended Total Return Fund 2016 Annual Report

PORTFOLIO COMPOSITION (% OF ASSETS*)

LOGO

*	The percentages shown above represent a percentage of the assets as of June 30, 2016.

COUNTRY COMPOSITION (% OF ASSETS**) (is this country of issue?)

LOGO

**	Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2016.

Babson Emerging Markets Local Currency Debt Fund 2016 Annual Report

Investment Objective

The investment objective of the Babson Emerging Markets Local Currency Debt Fund (“EM Local Debt Fund” or the “Fund”) is to seek long-term total return through investment in a diversified portfolio of emerging markets local currency-denominated debt securities.

Portfolio Management Commentary

How did the Fund perform?

The Fund was launched on December 8, 2015 and reported a net total rate of return since inception through June 30, 2016 of 12.74%, outperforming the J.P. Morgan Government Bond Index Emerging Markets (GBI-EM) Global Diversified Index, which returned 12.20%.¹

What factors influenced performance of the Fund?

For the semi-annual reporting period, the Fund’s overall long-duration and overweight in currencies positively impacted Fund performance. The Fund’s positions in Colombia, South Africa and Serbia were the primary drivers of positive performance versus the benchmark. The Fund’s underweight duration in Brazil, Polish Zloty versus the Euro and underweight positioning in Turkish rates were detractors from performance relative to the benchmark.

For the first six months of 2016, EM Local Debt Fund has materially appreciated on the heels of accommodative global central banks, stronger oil and commodity prices and infrastructure growth in China. Emerging markets currencies gained 5.25% versus the U.S. Dollar on higher oil and commodity prices, while rates gained 7.47% on lower global growth and low inflation. Brazil has turned in the strongest performance for the benchmark as both rates and the Real have rallied on the heels of the Brazilian Senate’s vote in favor of accepting the petition for President Dilma Rousseff’s impeachment and a peaceful transition to Interim President Temer. In late June, Colombia, another top contributor, declared an end to the war with the FARC, the country’s largest rebel group, thereby ending 50 years of war. Mexico was the only country to negatively detract from performance, as its currency lost 6.4% year-to-date.

Describe recent portfolio activity.

Over the quarter, the Fund increased its position in the Mexican Peso during periods of weakness, as we believe it is one of the least expensive currencies in the benchmark. The Fund also increased its exposure to Peru following the Presidential election, which we believe is a favorable outcome for the country.

Describe portfolio positioning at period end.

The Fund finished the annual reporting period, June 30, 2016, with a 93% exposure to Emerging Market bonds and a 7% cash position.

The Top 5 countries in the portfolio at the end of the annual reporting period are Brazil (12.3%), Malaysia (11.1%), Indonesia (10.6%), Colombia (10.6%) and South Africa (7.3%). Overall, the Fund has exposure to 23 different countries and 34 different currencies.

^1.

Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance results reflect past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. J.P. Morgan GBI-EM Global Diversified consists of regularly traded, fixed-rate, domestic currency government bonds which international investors can readily access. The maximum weight to any country in the index is capped at 10%. The performance of the index does not reflect the deduction of expenses associated with a fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of the fund expenses, including sales charges if applicable. Indices are unmanaged. It is not possible to invest directly in an index.

Babson Emerging Markets Local Currency Debt Fund 2016 Annual Report

Describe market and portfolio outlook.

We remain optimistic that some Emerging Markets headwinds are poised to reverse and become tailwinds or at least stabilize.

The portfolio continues to add to constructive positioning on selected European and Latin American currencies, less so on Asian currencies, while maintaining a watchful eye on commodity prices.

Babson Emerging Markets Local Currency Debt Fund 2016 Annual Report

COUNTRY COMPOSITION (% OF ASSETS*)

LOGO

*	Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2016.

CONTRIBUTION TO DURATION (IN YEARS)

LOGO

**	The values shown above represent the contribution to duration, in years, of the assets as of June 30, 2016.

Babson Global High Yield Fund 2016 Annual Report

Investment Objective

The investment objective of the Babson Global High Yield Fund (“Global High Yield Fund” or the “Fund”) is to seek to provide high current income generation and, where appropriate, capital appreciation.

Portfolio Management Commentary

How did the Fund perform?

The Fund was launched on October 30, 2015 and reported a net total rate of return since inception through June 30, 2016 of 4.62%, outperforming the Bank of America Merrill Lynch Non-Financial Developed Markets High Yield Constrained Index (the “Index”), which returned 4.30%. As a reminder, following the January 28^th, 2016 Board of Trustee’s meeting, the Fund changed the Index from the Bank of America Merrill Lynch Global Non-Financial High Yield Constrained Index to the Bank of America Merrill Lynch Non-Financial Developed Markets High Yield Constrained Index. The previous index returned 4.91% over the same time period.

What factors influenced performance of the Fund?

On a year-to-date basis through June 30, 2016, the underperformance relative to the Index can largely be attributed to the Oil and Gas, and Mining, Steel, Iron and Non-Precious Metals sectors. Within these sectors, lower quality credits continued to recover from the heavy losses suffered in 2015 and early 2016 which helped Index performance to appreciate significantly over this time period. With the Fund’s slight underweight towards these sectors as well as its upward credit quality bias, performance lagged, but we remain well positioned as we believe there will be bouts of volatility in the commodity sector through the remainder of the year.

Prudent credit selection within the single-B ratings category was a primary positive contributor to performance over the past six months as well as the Fund’s underweight in the double-B segment compared to the Index. The Fund’s credit selection within the triple-C ratings category and overweight to the single-B ratings segment negatively impacted performance relative to the Index.

From a region perspective, the Fund’s overweight positioning to the European market and credit selection negatively impacted performance compared to the Index as the European market did not rally as strongly as the U.S. market on the back of the recovery of U.S. focused, commodity related assets. Furthermore, credit selection within the U.S. portfolio of the Fund had a negative impact on performance relative to the Index due to the portfolio’s upward credit quality bias in the commodity sectors as mentioned previously.

Describe recent portfolio activity.

The Fund remains underweight in the double-B ratings category relative to the Index, favoring single-B and triple-C rated credits that we believe will continue to outperform. Over the past six months, the Fund’s allocation shifted slightly by deploying cash and increasing exposure to single-B and triple-C credits given the continued rally seen in the lower tier of the market.

^1.

Total return describes the return to an investor based on the Class Y net expense ratio and includes the reinvestment of dividends and capital gains. Performance results reflect past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. The net asset value (NAV) will fluctuate with market conditions. All returns 1-year or less are cumulative. The Bank of America Merrill Lynch Non-Financial Developed Markets High Yield Constrained Index contains all securities in the Bank of America Merrill Lynch Global High Yield Index that are non-financials and from developed markets countries, but caps issuer exposure at 2%. Developed markets is defined as an FX-G10 member, a Western European nation, or a territory of the U.S. or a Western European nation. Indices are unmanaged. It is not possible to invest directly in an index.

Babson Global High Yield Fund 2016 Annual Report

As previously mentioned, the Fund’s weighting toward the Oil and Gas, and Mining, Steel, Iron and Non-Precious Metals sectors is now a slight underweight, due largely to meaningful upward moves in market values as the sectors recovered from their February troughs. That said, these sectors represent the largest sector composition shift over the past six months and now represent the largest sector exposure when combined.

The Fund’s weighting between regions remained very similar since the beginning of the year with no meaningful shifts. The Fund continues to emphasize an overweight to the European market and an underweight to the U.S. market.

Describe portfolio positioning at period end.

On a traded basis, the Fund finished the fiscal year-end with a 28.4% weighting to senior secured high yield bonds and a 68.7% weighting to senior unsecured bonds.

From an industry perspective, the Fund remains well-diversified across a number of Moody’s-based sectors, with higher concentrations in Oil & Gas (13.4%), Telecommunications (7.3%), and Healthcare, Education and Childcare (6.9%) as of fiscal year-end.

In terms of portfolio credit quality as of June 30, 2016, the Fund had the following weighting breakdown: 3.5% in Baa, 31.1% in Ba, 52.9% in single-B, 9.7% in Caa and below and 2.9% in cash and accrued income.²

The Top 5 countries in the portfolio as of the fiscal year-end are currently represented by the U.S. (69.6%), the U.K. (10.4%), France (5.8%), Germany (2.7%) and Portugal (2.0%). Overall, the Fund has exposure to 15 countries and supports our focus on building a well-diversified portfolio of global high yield bonds.

Describe market and portfolio outlook.

The global high yield markets held up relatively well following the Brexit referendum. While we expect to see some headline-driven weakness in high yield markets in the near term — particularly in sterling denominated credits — it will take time for the economic implications of the vote to become clear.

Negative pressure in the near-term will most likely stem from broader market sentiment rather than the fundamentals of individual credits. Additionally, the macro-driven volatility tied to Brexit may result in some spread widening, which could present opportunities in quality credits that have been trading at tighter levels following the recent strong performance.

^2.

Babson Global High Yield Fund 2016 Annual Report

CREDIT QUALITY COMPOSITION (% OF ASSETS*)

LOGO

*	The percentages shown above represent a percentage of the assets as of June 30, 2016.

COUNTRY COMPOSITION (% OF ASSETS*)

LOGO

*	Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2016.

Babson U.S. High Yield Fund 2016 Annual Report

Investment Objective

The investment objective of the Babson U.S. High Yield Fund (“U.S. High Yield Fund” or the “Fund”) is to seek to achieve a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities.

Portfolio Management Commentary

How did the Fund perform?

The Fund was launched on October 30, 2015 and reported a net total rate of return since inception through June 30, 2016 of 5.52%, outperforming the Barclays Capital U.S. Corporate High Yield Index (the “Index”), which returned 3.84%.¹

What factors influenced performance of the Fund?

On a year-to-date basis through June 30, 2016, one of the main reasons for the underperformance relative to the Index can be attributed to the Oil and Gas, and Mining, Steel, Iron and Non-Precious Metals sectors. Within these sectors, lower quality credits continued to recover from the heavy losses suffered in 2015 and early 2016 which helped Index performance to appreciate significantly over this time period. With the Fund’s slight underweight towards these sectors as well as its upward credit quality bias, performance lagged, but we remain well positioned as we believe there will be bouts of volatility in the commodity sector through the remainder of the year.

Prudent credit selection within the single-B ratings category was a primary contributor to performance over the past six months as well as the Fund’s underweight in the double-B segment compared to the Index. The Fund’s credit selection within the triple-C segment and overweight to the single-B ratings category negatively impacted performance relative to the Index.

Describe recent portfolio activity.

The Fund remains underweight the double-B ratings category relative to the Index, favoring single-B and triple-C rated credits that we believe will continue to outperform. Over the past six months, the Fund’s allocation shifted slightly by deploying cash and increasing exposure to single-B and triple-C credits given the continued rally seen in the lower tier of the market.

As previously mentioned, the Fund’s weighting toward the Oil and Gas, and Mining, Steel, Iron and Non-Precious Metals sectors is now a slight underweight, due largely to meaningful upward moves in market values as the sectors recovered from their February troughs. That said, these sectors represent the largest sector shift over the past six months and now represent the largest sector exposure when combined.

Describe portfolio positioning at period end.

On a traded basis, the Fund finished the fiscal year-end with a weighting to high yield bonds of over 85%. The portfolio was also invested in senior secured loans (1.2%).

^1.

Babson U.S. High Yield Fund 2016 Annual Report

From a sector perspective, the Fund remains well-diversified across a number of Moody’s-based sectors, with higher concentrations in Oil and Gas (13.8%), Telecommunications (8.2%), and Healthcare, Education and Childcare (7.4%) as of the fiscal year-end.

In terms of portfolio credit quality as of June 30, 2016, the Fund had the following weighting breakdown: 6.2% in Baa, 31.2% in Ba, 46.2% in single-B, 11.4% in Caa and below and cash and accrued income at 4.9%.²

Describe market and portfolio outlook.

Although fears of a Brexit related market panic quickly subsided, almost all details remain unknown regarding the terms and process of the United Kingdom’s departure from the European Union, which is expected to take years to complete. Assumptions are that global central banks will remain accommodative in the near term with the likelihood of a rate hike in the U.S. being pushed even further into the future. Ultimately, we do not expect Brexit to have major ramifications for U.S. based issuers, although foreign exchange headwinds will likely persist for companies with European operations.

^2. Ratings shown are the highest rating given by one of the following national rating agencies: S&P, Moody’s or Fitch. Additional information about ratings can be found, respectively, at www.standardandpoors.com, www.moodys.com and www.fitchratings.com. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings categories used by S&P and Fitch; BB, B, CCC/CC/C and D are below investment grade ratings categories used by S&P and Fitch. Aaa, Aa, A and Baa are investment grade ratings categories used by Moody’s; Ba, B, Caa/Ca and C are below investment grade ratings categories used by Moody’s. Bonds backed by U.S. Government or agency securities are given an implied rating equal to the rating of such securities. Holdings designated Not Publicly Rated are not rated by these national rating agencies.

Babson U.S. High Yield Fund 2016 Annual Report

CREDIT QUALITY COMPOSITION (% OF ASSETS*)

LOGO

*	The percentages shown above represent a percentage of the assets as of June 30, 2016.

COUNTRY COMPOSITION (% OF ASSETS*)

LOGO

*	Percentage of assets are expressed by market value excluding cash and accrued income, and may vary over time. The percentages shown above represent a percentage of the assets as of June 30, 2016.

Babson Capital Funds Trust 2016 Annual Report

SHAREHOLDER EXPENSES (UNAUDITED)

As a shareholder of Babson Global Floating Rate Fund, Babson Global Credit Income Opportunities Fund, Babson Active Short Duration Bond Fund, Babson Total Return Bond Fund, Babson Emerging Markets Debt Blended Total Return Fund, Babson Emerging Markets Local Currency Debt Fund, Babson Global High Yield Fund or Babson U.S. High Yield Fund you incur ongoing expenses, such as management fees, shareholder service fees, distribution fees and other fund expenses. The following table is intended to help you understand your ongoing expenses (in dollars and cents) of investing in the Funds and to compare these expenses with the ongoing expenses of investing in other funds.

The table is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2016 to June 30, 2016.

Actual Expenses

The first line in the table below provides information about the actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for the Fund under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line in the table below provides information about the hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Babson Global Floating Rate Fund


	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.05	%	$	1,000.00	$	1,037.40	$	1,018.70	$	5.32
Hypothetical		1.05	%		1,000.00		1,019.60		1,009.80		5.27

Class C
Actual		1.80	%		1,000.00		1,033.50		1,016.75		9.10
Hypothetical		1.80	%		1,000.00		1,015.90		1,007.95		9.02

Class I
Actual		0.75	%		1,000.00		1,038.90		1,019.45		3.80
Hypothetical		0.75	%		1,000.00		1,021.10		1,010.55		3.77

Class Y
Actual		0.75	%		1,000.00		1,038.90		1,019.45		3.80
Hypothetical		0.75	%		1,000.00		1,021.10		1,010.55		3.77

*	For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 182/366.

Babson Capital Funds Trust 2016 Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Babson Global Credit Income Opportunities Fund


	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.20	%	$	1,000.00	$	1,044.30	$	1,022.15	$	6.10
Hypothetical		1.20	%		1,000.00		1,018.90		1,009.45		6.02

Class C
Actual		1.95	%		1,000.00		1,040.40		1,020.20		9.89
Hypothetical		1.95	%		1,000.00		1,015.20		1,007.60		9.77

Class I
Actual		0.95	%		1,000.00		1,045.60		1,022.80		4.83
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.77

Class Y
Actual		0.95	%		1,000.00		1,045.60		1,022.80		4.83
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.77

Babson Active Short Duration Bond Fund


	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		0.65	%	$	1,000.00	$	1,022.00	$	1,011.00	$	3.27
Hypothetical		0.65	%		1,000.00		1,021.60		1,010.80		3.27

Class C
Actual		1.40	%**		1,000.00		1,018.10		1,009.05		7.02
Hypothetical		1.40	%**		1,000.00		1,017.90		1,008.95		7.02

Class I
Actual		0.40	%		1,000.00		1,022.90		1,011.45		2.01
Hypothetical		0.40	%		1,000.00		1,022.90		1,011.45		2.01

Class Y
Actual		0.40	%		1,000.00		1,023.20		1,011.60		2.01
Hypothetical		0.40	%		1,000.00		1,022.90		1,011.45		2.01

*	For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 182/366.

**	Expenses shown reflect an overaccrual of 12b-1 fees for the period of $1,478 at a rate of 0.50% of net assets. Subsequent to the period, the Fund was reimbursed for the overaccrued amount.

Babson Capital Funds Trust 2016 Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Babson Total Return Bond Fund


	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		0.80	%	$	1,000.00	$	1,055.80	$	1,027.90	$	4.09
Hypothetical		0.80	%		1,000.00		1,020.90		1,010.45		4.02

Class C
Actual		1.55	%		1,000.00		1,051.90		1,025.95		7.91
Hypothetical		1.55	%		1,000.00		1,017.20		1,008.60		7.77

Class I
Actual		0.55	%		1,000.00		1,057.10		1,028.55		2.81
Hypothetical		0.55	%		1,000.00		1,022.10		1,011.05		2.77

Class Y
Actual		0.55	%		1,000.00		1,057.10		1,028.55		2.81
Hypothetical		0.55	%		1,000.00		1,022.10		1,011.05		2.77

Babson Emerging Markets Debt Blended Total Return Fund


	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.20	%	$	1,000.00	$	1,063.00	$	1,031.50	$	6.16
Hypothetical		1.20	%		1,000.00		1,018.90		1,009.45		6.02

Class C
Actual		1.95	%		1,000.00		1,059.10		1,029.55		9.98
Hypothetical		1.95	%		1,000.00		1,015.20		1,007.60		9.77

Class I
Actual		0.95	%		1,000.00		1,064.30		1,032.15		4.88
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.77

Class Y
Actual		0.95	%		1,000.00		1,064.30		1,032.15		4.88
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.77

*	For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 182/366.

Babson Capital Funds Trust 2016 Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Babson Emerging Markets Local Currency Debt Fund


	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.20	%	$	1,000.00	$	1,158.30	$	1,079.15	$	6.44
Hypothetical		1.20	%		1,000.00		1,018.90		1,009.45		6.02

Class C
Actual		1.95	%		1,000.00		1,154.10		1,077.05		10.44
Hypothetical		1.95	%		1,000.00		1,015.20		1,007.60		9.77

Class I
Actual		0.95	%		1,000.00		1,159.80		1,079.90		5.10
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.77

Class Y
Actual		0.95	%		1,000.00		1,159.80		1,079.90		5.10
Hypothetical		0.95	%		1,000.00		1,020.10		1,010.05		4.77

Babson Global High Yield Fund


	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.05	%	$	1,000.00	$	1,070.60	$	1,035.30	$	5.41
Hypothetical		1.05	%		1,000.00		1,019.60		1,009.80		5.27

Class C
Actual		1.80	%		1,000.00		1,066.60		1,033.30		9.25
Hypothetical		1.80	%		1,000.00		1,015.90		1,007.95		9.02

Class I
Actual		0.80	%		1,000.00		1,071.90		1,035.95		4.12
Hypothetical		0.80	%		1,000.00		1,020.90		1,010.45		4.02

Class Y
Actual		0.80	%		1,000.00		1,071.90		1,035.95		4.12
Hypothetical		0.80	%		1,000.00		1,020.90		1,010.45		4.02

*	For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 182/366.

Babson Capital Funds Trust 2016 Annual Report

SHAREHOLDER EXPENSES (UNAUDITED) (CONTINUED)

Babson U.S. High Yield Fund


	EXPENSE RATIO			BEGINNING AMOUNT		ENDING VALUE		AVERAGE VALUE		OPERATING EXPENSE INCURRED*
Class A
Actual		1.00	%	$	1,000.00	$	1,084.80	$	1,042.40	$	5.18
Hypothetical		1.00	%		1,000.00		1,019.90		1,009.95		5.02

Class C
Actual		1.75	%		1,000.00		1,080.80		1,040.40		9.05
Hypothetical		1.75	%		1,000.00		1,016.20		1,008.10		8.77

Class I
Actual		0.75	%		1,000.00		1,086.10		1,043.05		3.89
Hypothetical		0.75	%		1,000.00		1,021.10		1,010.55		3.77

Class Y
Actual		0.75	%		1,000.00		1,086.10		1,043.05		3.89
Hypothetical		0.75	%		1,000.00		1,021.10		1,010.55		3.77

*	For each Class of the Fund, net expenses are equal to the annualized expense ratio net of any expenses waived or reimbursed by the advisor for such class multiplied by the average account value over the period, multiplied by 182/366.

Babson Capital Funds Trust 2016 Annual Report

FINANCIAL REPORT


Statements of Assets and Liabilities		32

Statements of Operations		36

Statements of Changes in Net Assets		40

Financial Highlights		44

Schedule of Investments		76-149

Notes to the Financial Statements		150-191

Report of Independent Registered Public Accounting Firm		193

Interested Trustee		194

Independent Trustees		195-196

Officers of the Trust		197-198

Joint Privacy Notice		199

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2016


	BABSON GLOBAL FLOATING RATE FUND		BABSON GLOBAL CREDIT INCOME OPPORTUNITIES FUND		BABSON ACTIVE SHORT DURATION BOND FUND		BABSON TOTAL RETURN BOND FUND

Assets
Investments, at fair value (cost $184,287,909, $109,705,371, $155,298,241 and $29,712,167, respectively)	$	172,663,644	$	101,427,091	$	156,314,542	$	30,229,477
Foreign currency, at value (cost $259,658, $84,539, $0 and $0, respectively)		250,492		80,118		–		–
Receivable for investments sold		12,590,172		2,879,654		3,968,747		127,373
Receivable for TBA securities sold		–		–		6,184,980		6,671,000
Receivable for Fund shares sold		4,856,491		118,401		2,228,584		–
Interest receivable		1,180,699		1,506,908		767,788		144,759
Receivable from adviser (see Note 3)		–		–		31,187		–
Receivable for variation margin on open centrally cleared swap contracts		–		–		2,382		757
Receivable for variation margin on open futures contracts		–		–		30,502		381
Foreign tax reclaims receivable		–		562		–		–
Unrealized appreciation on forward foreign currency exchange contracts		1,819,442		1,379,685		48,523		24,351
Prepaid expenses		25,664		15,436		45,782		27,206

Total assets		193,386,604		107,407,855		169,623,017		37,225,304


Liabilities
Payable for investments purchased		19,958,347		6,567,586		687,093		575,670
Payable for TBA and when-issued securities purchased		–		–		12,334,548		10,429,138
Payable for Fund shares repurchased		6,352,737		40,187		426,852		–
Swap contracts, at fair value (up-front net premiums received of $0, $0, $21,801 and $5,251, respectively)		–		–		38,457		9,614
Investment advisory fee payable (see Note 3)		12,613		41,722		–		73,912
Cash collateral Due to Broker		–		1,400,000		–		–
Distribution fees payable		7,547		5,398		7,801		208
Dividends payable		223,318		319,125		78,415		53,860
Unrealized depreciation on forward foreign currency exchange contracts		22,671		802		50,495		25,963
Accrued expenses and other liabilities		166,343		112,339		134,853		48,930

Total liabilities		26,743,576		8,487,159		13,758,514		11,217,295

Total net assets	$	166,643,028	$	98,920,696	$	155,864,503	$	26,008,009

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

June 30, 2016


	BABSON GLOBAL FLOATING RATE FUND			BABSON GLOBAL CREDIT INCOME OPPORTUNITIES FUND			BABSON ACTIVE SHORT DURATION BOND FUND			BABSON TOTAL RETURN BOND FUND

Composition of net assets
Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized	$	182		$	112		$	156		$	26
Additional paid-in capital		180,676,757			110,245,423			155,044,037			25,539,236
Undistributed (distributions in excess of) net investment income		(1,114,593	)		(704,256	)		29,798			(5,783	)
Accumulated net realized loss		(3,104,075	)		(3,745,669	)		(86,065	)		(127,592	)
Net unrealized appreciation (depreciation)		(9,815,243	)		(6,874,914	)		876,577			602,122

Total net assets	$	166,643,028		$	98,920,696		$	155,864,503		$	26,008,009


Class A
Net assets applicable to outstanding shares	$	13,979,936		$	12,340,432		$	39,991,908		$	210,898

Shares of beneficial interest outstanding		1,530,805			1,402,367			4,007,382			20,709

Net asset value per share outstanding	$	9.13		$	8.80		$	9.98		$	10.18

Maximum offering price per share outstanding (Net asset value plus sales charge of 3.00%, 4.00%, 0.00% and 4.00%, respectively)	$	9.41		$	9.17		$	9.98		$	10.60


Class C
Net assets applicable to outstanding shares	$	6,803,093		$	3,578,440		$	256,745		$	204,290

Shares of beneficial interest outstanding		747,594			407,067			25,746			20,061

Net asset value per share outstanding	$	9.10		$	8.79		$	9.97		$	10.18
												��

Class I
Net assets applicable to outstanding shares	$	19,902,985		$	24,689,344		$	5,970,513		$	12,581,626

Shares of beneficial interest outstanding		2,175,504			2,806,051			598,837			1,235,482

Net asset value per share outstanding	$	9.15		$	8.80		$	9.97		$	10.18


Class Y
Net assets applicable to outstanding shares	$	125,957,014		$	58,312,480		$	109,645,337		$	13,011,195

Shares of beneficial interest outstanding		13,771,934			6,627,553			10,995,127			1,277,658

Net asset value per share outstanding	$	9.15		$	8.80		$	9.97		$	10.18

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2016


	BABSON EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND			BABSON EMERGING MARKETS LOCAL CURRENCY DEBT FUND		BABSON GLOBAL HIGH YIELD FUND			BABSON U.S. HIGH YIELD FUND

Assets
Investments, at fair value (cost $9,643,460, $5,101,929, $25,604,275 and $28,081,456, respectively)	$	9,753,116		$	5,325,242	$	25,116,074		$	28,262,879
Foreign currency, at value (cost $0, $1,962, $5,212 and $0, respectively)		–			2,020		4,915			–
Receivable for Fund shares sold		–			–		100,000			–
Interest and dividends receivable		236,846			195,200		472,140			498,922
Swap contracts, at fair value		12,211			42,875		–			–
Foreign tax reclaims receivable		–			437		–			–
Unrealized appreciation on forward foreign currency exchange contracts		147,954			110,160		284,477			–
Prepaid expenses		26,670			26,254		26,569			26,875

Total assets		10,176,797			5,702,188		26,004,175			28,788,676


Liabilities
Payable for investments purchased		–			–		482,368			692,857
Swap contracts, at fair value (up-front net premiums received of $0, $0, $0 and $0, respectively)		8,941			6,395		–			–
Investment advisory fee payable (see Note 3)		69,009			57,854		58,478			58,955
Distribution fees payable		198			108		103			118
Dividends payable		40,485			23,425		139,100			141,827
Unrealized depreciation on forward foreign currency exchange contracts		114,417			111,356		3,588			–
Accrued expenses and other liabilities		40,759			42,538		49,395			49,667

Total liabilities		273,809			241,676		733,032			943,424

Total net assets	$	9,902,988		$	5,460,512	$	25,271,143		$	27,845,252


Composition of net assets
Shares of beneficial interest outstanding (par value $0.00001 per share), unlimited number of shares authorized	$	10		$	5	$	25		$	27
Additional paid-in capital		10,003,090			4,999,995		25,138,737			27,375,232
Undistributed (distributions in excess of) net investment income		(81,669	)		197,484		54,471			–
Accumulated net realized gain (loss)		(165,820	)		6,820		291,015			288,570
Net unrealized appreciation (depreciation)		147,377			256,208		(213,105	)		181,423

Total net assets	$	9,902,988		$	5,460,512	$	25,271,143		$	27,845,252

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)

June 30, 2016


	BABSON EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND		BABSON EMERGING MARKETS LOCAL CURRENCY DEBT FUND		BABSON GLOBAL HIGH YIELD FUND		BABSON U.S. HIGH YIELD FUND

Class A
Net assets applicable to outstanding shares	$	198,062	$	109,210	$	100,529	$	206,005

Shares of beneficial interest outstanding		20,006		10,000		10,000		20,315

Net asset value per share outstanding	$	9.90	$	10.92	$	10.05	$	10.14

Maximum offering price per share outstanding (Net asset value plus sales charge of 4.00%)	$	10.31	$	11.38	$	10.47	$	10.56


Class C
Net assets applicable to outstanding shares	$	198,058	$	109,211	$	100,530	$	101,407

Shares of beneficial interest outstanding		20,006		10,000		10,000		10,000

Net asset value per share outstanding	$	9.90	$	10.92	$	10.05	$	10.14


Class I
Net assets applicable to outstanding shares	$	4,753,355	$	2,621,046	$	12,465,604	$	14,863,305

Shares of beneficial interest outstanding		480,156		240,000		1,240,000		1,465,647

Net asset value per share outstanding	$	9.90	$	10.92	$	10.05	$	10.14


Class Y
Net assets applicable to outstanding shares	$	4,753,513	$	2,621,045	$	12,604,480	$	12,674,535

Shares of beneficial interest outstanding		480,156		240,000		1,253,816		1,249,880

Net asset value per share outstanding	$	9.90	$	10.92	$	10.05	$	10.14

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF OPERATIONS

For the Year Ended June 30, 2016


	BABSON GLOBAL FLOATING RATE FUND			BABSON GLOBAL CREDIT INCOME OPPORTUNITIES FUND			BABSON ACTIVE SHORT DURATION BOND FUND⁽¹⁾			BABSON TOTAL RETURN BOND FUND ⁽¹⁾

Investment Income
Interest income	$	9,328,891		$	6,484,302		$	2,080,708		$	596,697
Dividends		–			–			4,013			215,851
Other income		187,220			26,736			2,075			–

Total investment income		9,516,111			6,511,038			2,086,796			812,548


Operating Expenses
Advisory fees		1,060,920			651,423			341,708			97,807
12b-1 distribution and servicing plan
Class A		15,553			30,395			31,717			489
Class C		63,221			33,689			2,957			1,948
Administrator fees		331,845			181,586			157,980			52,130
Custody fees		236,908			138,770			124,990			44,386
Professional fees		143,254			130,089			77,637			57,247
Transfer agent fees		71,179			68,588			61,092			33,237
Directors’ fees		88,411			66,373			39,353			28,989
Registration fees		61,244			59,908			25,610			7,671
Printing and mailing expenses		46,073			32,927			14,461			6,681
Interest expense		–			–			45			20
Other operating expenses		63,448			39,033			39,859			21,046

Total operating expenses		2,182,056			1,432,781			917,409			351,651
Reimbursement of expenses
Class A		(41,735	)		(84,890	)		(67,053	)		(9,393	)
Class C		(44,450	)		(32,198	)		(11,887	)		(9,402	)
Class I		(123,249	)		(148,155	)		(103,766	)		(98,306	)
Class Y		(663,440	)		(278,319	)		(293,654	)		(97,608	)

Net operating expenses		1,309,182			889,219			441,049			136,942

Net investment income		8,206,929			5,621,819			1,645,747			675,606

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF OPERATIONS (CONTINUED)

For the Year Ended June 30, 2016


	BABSON GLOBAL FLOATING RATE FUND			BABSON GLOBAL CREDIT INCOME OPPORTUNITIES FUND			BABSON ACTIVE SHORT DURATION BOND FUND⁽¹⁾			BABSON TOTAL RETURN BOND FUND ⁽¹⁾

Realized and Unrealized Gains (Losses) on Investments
Net realized loss on investments	$	(3,884,661	)	$	(3,949,580	)	$	(142,905	)	$	(111,557	)
Net realized gain (loss) on forward foreign currency exchange contracts		144,895			(76,585	)		–			(7,665	)
Net realized gain on foreign currency and translation		670,785			480,416			–			10
Net realized gain on futures contracts		–			–			56,839			41,803
Net realized gain on swap contracts		–			–			11,753			2,982
Net realized gain on written options		–			847,320			–			–

Net realized loss		(3,068,981	)		(2,698,429	)		(74,313	)		(74,427	)

Net change in unrealized appreciation (depreciation) on investments		(6,790,834	)		(4,505,610	)		1,016,301			517,310
Net change in unrealized appreciation on unfunded loan commitments		4,592			4,592			–			–
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		2,166,841			1,522,515			(1,972	)		(1,612	)
Net change in unrealized depreciation on foreign currency and translation		(91,659	)		(45,464	)		–			–
Net change in unrealized appreciation (depreciation) on futures contracts		–			–			(120,041	)		91,118
Net change in unrealized depreciation on swap contracts		–			–			(17,711	)		(4,694	)
Net change in unrealized depreciation on written option contracts		–			(62,523	)		–			–

Net change in unrealized appreciation (depreciation)		(4,711,060	)		(3,086,490	)		876,577			602,122

Net realized and unrealized gains (losses) on investments		(7,780,041	)		(5,784,919	)		802,264			527,695

Net increase (decrease) in net assets resulting from operations	$	426,888		$	(163,100	)	$	2,448,011		$	1,203,301

(1)

Fund commenced operations on July 8, 2015.

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF OPERATIONS (CONTINUED)

For the Year Ended June 30, 2016


	BABSON EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND ⁽¹⁾			BABSON EMERGING MARKETS LOCAL CURRENCY DEBT FUND ⁽³⁾			BABSON GLOBAL HIGH YIELD FUND⁽²⁾			BABSON U.S. HIGH YIELD FUND ⁽²⁾

Investment Income
Interest income (net of withholding tax of $7,390, $9,166, $0 and $0, respectively)	$	511,115		$	281,973		$	1,105,860		$	1,182,800
Other income		–			–			3,229			–

Total investment income		511,115			281,973			1,109,089			1,182,800


Operating Expenses
Advisory fees		49,860			21,357			97,064			95,231
12b-1 distribution and servicing plan
Class A		333			142			162			194
Class C		1,330			570			647			647
Administrator fees		23,430			15,063			35,380			36,991
Custody fees		20,761			15,707			25,448			25,748
Professional fees		39,730			38,832			43,587			40,939
Transfer agent fees		22,719			10,384			15,475			14,281
Directors’ fees		12,204			11,624			14,007			14,252
Registration fees		3,087			2,277			4,618			4,882
Printing and mailing expenses		4,532			479			6,646			7,099
Other operating expenses		5,722			3,776			8,840			9,130

Total operating expenses		183,708			120,211			251,874			249,394
Reimbursement of expenses
Class A		(7,521	)		(4,254	)		(3,949	)		(3,482	)
Class C		(7,541	)		(4,266	)		(3,955	)		(3,608	)
Class I		(52,975	)		(43,597	)		(57,679	)		(58,706	)
Class Y		(52,974	)		(43,598	)		(57,693	)		(54,424	)

Net operating expenses		62,697			24,496			128,598			129,174

Net investment income		448,418			257,477			980,491			1,053,626


Realized and Unrealized Gains (Losses) on Investments
Net realized gain on investments(4)		109,387			127,298			268,896			288,570
Net realized loss on forward foreign currency exchange contracts		(256,581	)		(40,748	)		(44,058	)		–
Net realized gain (loss) on foreign currency and translation		(14,608	)		2,395			120,648			–
Net realized loss on futures contracts		(6,838	)		–			–			–
Net realized gain (loss) on swap contracts		(166,095	)		21,286			–			–

Net realized gain (loss)		(334,735	)		110,231			345,486			288,570

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF OPERATIONS (CONTINUED)

For the Year Ended June 30, 2016


	BABSON EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND ⁽¹⁾			BABSON EMERGING MARKETS LOCAL CURRENCY DEBT FUND ⁽³⁾			BABSON GLOBAL HIGH YIELD FUND⁽²⁾			BABSON U.S. HIGH YIELD FUND ⁽²⁾
Net change in unrealized appreciation (depreciation) on investments(5)	$	109,656		$	217,854		$	(488,201	)	$	181,423
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		33,537			(1,196	)		280,889			–
Net change in unrealized appreciation (depreciation) on foreign currency and translation		914			3,070			(5,793	)		–
Net change in unrealized appreciation on swap contracts		3,270			36,480			–			–

Net change in unrealized appreciation (depreciation)		147,377			256,208			(213,105	)		181,423

Net realized and unrealized gains (losses) on investments		(187,358	)		366,439			132,381			469,993

Net increase in net assets resulting from operations	$	261,060		$	623,916		$	1,112,872		$	1,523,619

(1)

Fund commenced operations on October 21, 2015.

(2)

Fund commenced operations on October 30, 2015.

(3)

Fund commenced operations on December 8, 2015.

(4)

Net of foreign capital gains taxes of $265.

(5)

Net unrealized depreciation of foreign capital gains taxes of $5,459.

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS


	BABSON GLOBAL FLOATING RATE FUND						BABSON GLOBAL CREDIT INCOME OPPORTUNITIES FUND
	FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015

Operations
Net investment income	$	8,206,929		$	5,541,218		$	5,621,819		$	4,332,948
Net realized gain (loss) on investments		(3,068,981	)		1,558,409			(2,698,429	)		451,988
Net change in unrealized depreciation on investments		(4,711,060	)		(5,820,218	)		(3,086,490	)		(4,970,881	)

Net increase (decrease) in net assets from operations		426,888			1,279,409			(163,100	)		(185,945	)


Dividends to Common Shareholders
Net investment income
Class A		(304,354	)		(805,770	)		(835,584	)		(1,114,861	)

Class C		(268,027	)		(199,251	)		(205,363	)		(136,768	)

Class I		(1,191,256	)		(2,251,195	)		(1,782,878	)		(2,110,134	)

Class Y		(6,742,434	)		(4,937,396	)		(3,292,537	)		(2,778,042	)

Net realized gain
Class A		–			(11,345	)		–			(186,020	)

Class C		–			(2,779	)		–			(25,871	)

Class I		–			(27,574	)		–			(340,131	)

Class Y		–			(49,009	)		–			(416,997	)

Total dividends to common shareholders		(8,506,071	)		(8,284,319	)		(6,116,362	)		(7,108,824	)


Capital Share Transactions
Net proceeds from sale of shares		76,837,249			103,090,790			38,204,380			42,681,717
Net Asset Value of shares issued to shareholders in payment of distributions declared		6,057,323			8,079,411			2,714,185			6,926,691
Cost of shares redeemed		(74,331,498	)		(52,643,055	)		(17,451,036	)		(24,420,068	)
Redemption fees		–			5,459			–			13,600

Net increase in net assets resulting from capital stock transactions		8,563,074			58,532,605			23,467,529			25,201,940

Total increase in net assets		483,891			51,527,695			17,188,067			17,907,171


Net Assets
Beginning of year		166,159,137			114,631,442			81,732,629			63,825,458

End of year (includes undistributed net investment income of $(1,114,593), $385,459, $(704,256) and $832,841, respectively)	$	166,643,028		$	166,159,137		$	98,920,696		$	81,732,629

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)


	BABSON ACTIVE SHORT DURATION BOND FUND			BABSON TOTAL RETURN BOND FUND
	PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾			PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Operations
Net investment income	$	1,645,747		$	675,606
Net realized loss on investments		(74,313	)		(74,427	)
Net change in unrealized appreciation on investments		876,577			602,122

Net increase in net assets resulting from operations		2,448,011			1,203,301


Dividends to Common Shareholders
Net investment income
Class A		(189,128	)		(5,003	)

Class C		(2,030	)		(3,522	)

Class I		(328,113	)		(336,827	)

Class Y		(1,108,430	)		(338,788	)

Net realized gain
Class A		–			(403	)

Class C		–			(402	)

Class I		–			(24,782	)

Class Y		–			(24,827	)

Total dividends to common shareholders		(1,627,701	)		(734,554	)


Capital Share Transactions
Net proceeds from sale of shares		209,020,134			25,427,645
Net Asset Value of shares issued to shareholders in payment of distributions declared		841,543			111,617
Cost of shares redeemed		(54,817,484	)		–

Net increase in net assets resulting from capital stock transactions		155,044,193			25,539,262

Total increase in net assets		155,864,503			26,008,009


Net Assets
Beginning of year		–			–

End of period (includes undistributed and distributions in excess of net investment income of $29,798 and $(5,783), respectively)	$	155,864,503		$	26,008,009

(1)

Fund commenced operations on July 8, 2015.

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS


	BABSON EMERGING MARKETS DEBT BLENDED TOTAL RETURN FUND			BABSON EMERGING MARKETS LOCAL CURRENCY DEBT FUND
	PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016⁽¹⁾			PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016⁽²⁾

Operations
Net investment income	$	448,418		$	257,477
Net realized gain (loss) on investments		(334,735	)		110,231
Net change in unrealized appreciation on investments		147,377			256,208

Net increase in net assets resulting from operations		261,060			623,916


Dividends to Common Shareholders
Net investment income
Class A		(6,867	)		(3,143	)

Class C		(5,895	)		(2,726	)

Class I		(172,655	)		(78,768	)

Class Y		(172,655	)		(78,767	)

Net realized gain
Class A		(62	)		–

Class C		(62	)		–

Class I		(1,488	)		–

Class Y		(1,488	)		–

Total dividends to common shareholders		(361,172	)		(163,404	)


Capital Share Transactions
Net proceeds from sale of shares		10,000,000			5,000,000
Net Asset Value of shares issued to shareholders in payment of distributions declared		3,100			–

Net increase in net assets resulting from capital stock transactions		10,003,100			5,000,000

Total increase in net assets		9,902,988			5,460,512


Net Assets
Beginning of year		—			—

End of period (includes undistributed and distributions in excess of net investment income of $(81,669) and $197,484, respectively)	$	9,902,988		$	5,460,512

(1)

Fund commenced operations on October 21, 2015.

(2)

Fund commenced operations on December 8, 2015.

See accompanying Notes to the Financial Statements.

Babson Capital Funds Trust 2016 Annual Report

STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)


	BABSON GLOBAL HIGH YIELD FUND			BABSON U.S. HIGH YIELD FUND
	PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016⁽¹⁾			PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Operations
Net investment income	$	980,491		$	1,053,626
Net realized gain on investments		345,486			288,570
Net change in unrealized appreciation (depreciation) on investments		(213,105	)		181,423

Net increase in net assets resulting from operations		1,112,872			1,523,619


Dividends to Common Shareholders
Net investment income
Class A		(3,764	)		(4,605	)

Class C		(3,285	)		(3,286	)

Class I		(486,534	)		(559,016	)

Class Y		(486,908	)		(486,719	)

Total dividends to common shareholders		(980,491	)		(1,053,626	)


Capital Share Transactions
Net proceeds from sale of shares		25,138,500			27,302,500
Net Asset Value of shares issued to shareholders in payment of distributions declared		262			72,759

Net increase in net assets resulting from capital stock transactions		25,138,762			27,375,259

Total increase in net assets		25,271,143			27,845,252


Net Assets
Beginning of year		–			–

End of period (includes undistributed net investment income of $54,471 and $0, respectively)	$	25,271,143		$	27,845,252

(1)

Fund commenced operations on October 30, 2015.

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS


	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	9.60		$	10.20		$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.44			0.44			0.30
Net realized and unrealized gain (loss) on investments		(0.45	)		(0.35	)		0.08

Total increase from investment operations		(0.01	)		0.09			0.38

Less dividends and distributions:
From net investment income		(0.46	)		(0.68	)		(0.18	)
From net realized gain		–			(0.01	)		–

Total dividends and distributions		(0.46	)		(0.69	)		(0.18	)

Redemption fees		0.00			0.00	⁽³⁾		0.00

Net asset value, at end of year	$	9.13		$	9.60		$	10.20

Total investment return⁽⁴⁾		(0.04	)%		0.95	%		3.81	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	13,980		$	5,153		$	12,464
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		1.72	%		1.74	%		2.27	%⁽⁷⁾
Ratio of net expenses to average net assets		1.05	%		1.05	%		1.05	%⁽⁷⁾
Ratio of net investment income to average net assets		4.74	%		4.44	%		3.76	%⁽⁷⁾
Portfolio turnover rate		62.99	%		63.17	%		49.51	%⁽⁵⁾

(1)

Fund commenced operations on September 16, 2013.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.05% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	9.57		$	10.16		$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.37			0.35			0.24
Net realized and unrealized gain (loss) on investments		(0.45	)		(0.33	)		0.07

Total increase from investment operations		(0.08	)		0.02			0.31

Less dividends and distributions:
From net investment income		(0.39	)		(0.60	)		(0.15	)
From net realized gain		–			(0.01	)		–

Total dividends and distributions		(0.39	)		(0.61	)		(0.15	)

Redemption fees		0.00			0.00	⁽³⁾		0.00

Net asset value, at end of year	$	9.10		$	9.57		$	10.16

Total investment return⁽⁴⁾		(0.81	)%		0.30	%		3.15	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	6,803		$	5,461		$	2,396
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		2.50	%		3.12	%		4.97	%⁽⁷⁾
Ratio of net expenses to average net assets		1.80	%		1.80	%		1.80	%⁽⁷⁾
Ratio of net investment income to average net assets		4.04	%		3.60	%		3.07	%⁽⁷⁾
Portfolio turnover rate		62.99	%		63.17	%		49.51	%⁽⁵⁾

(1)

Fund commenced operations on September 16, 2013.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.80% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	9.62		$	10.21		$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.47			0.46			0.30
Net realized and unrealized gain (loss) on investments		(0.45	)		(0.34	)		0.10

Total increase from investment operations		0.02			0.12			0.40

Less dividends and distributions:
From net investment income		(0.49	)		(0.70	)		(0.19	)
From net realized gain		–			(0.01	)		–

Total dividends and distributions		(0.49	)		(0.71	)		(0.19	)

Redemption fees		0.00			0.00	⁽³⁾		0.00

Net asset value, at end of year	$	9.15		$	9.62		$	10.21

Total investment return⁽⁴⁾		0.25	%		1.34	%		4.04	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	19,903		$	25,885		$	32,772
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		1.29	%		1.31	%		1.52	%⁽⁷⁾
Ratio of net expenses to average net assets		0.75	%		0.75	%		0.75	%⁽⁷⁾
Ratio of net investment income to average net assets		5.07	%		4.69	%		3.72	%⁽⁷⁾
Portfolio turnover rate		62.99	%		63.17	%		49.51	%⁽⁵⁾

(1)

Fund commenced operations on September 16, 2013.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	9.62		$	10.21		$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.47			0.45			0.30
Net realized and unrealized gain (loss) on investments		(0.45	)		(0.33	)		0.10

Total increase from investment operations		0.02			0.12			0.40

Less dividends and distributions:
From net investment income		(0.49	)		(0.70	)		(0.19	)
From net realized gain		–			(0.01	)		–

Total dividends and distributions		(0.49	)		(0.71	)		(0.19	)

Redemption fees		0.00			0.00	⁽³⁾		0.00

Net asset value, at end of year	$	9.15		$	9.62		$	10.21

Total investment return⁽⁴⁾		0.22	%		1.28	%		4.04	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	125,957		$	129,659		$	66,999
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		1.27	%		1.25	%		1.53	%⁽⁷⁾
Ratio of net expenses to average net assets		0.75	%		0.75	%		0.75	%⁽⁷⁾
Ratio of net investment income to average net assets		5.08	%		4.58	%		3.80	%⁽⁷⁾
Portfolio turnover rate		62.99	%		63.17	%		49.51	%⁽⁵⁾

(1)

Fund commenced operations on September 16, 2013.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .75% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS A
	FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	9.51		$	10.45		$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.56			0.54			0.40
Net realized and unrealized gain (loss) on investments		(0.66	)		(0.57	)		0.33

Total increase (decrease) from investment operations		(0.10	)		(0.03	)		0.73

Less dividends and distributions:
From net investment income		(0.61	)		(0.78	)		(0.28	)
From net realized gain		–			(0.13	)		–

Total dividends and distributions		(0.61	)		(0.91	)		(0.28	)

Redemption fees		0.00			0.00	⁽³⁾		0.00

Net asset value, at end of year	$	8.80		$	9.51		$	10.45

Total investment return⁽⁴⁾		(0.84	)%		(0.11	)%		7.30	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	12,340		$	12,718		$	2,591
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		1.90	%		1.98	%		3.95	%⁽⁷⁾
Ratio of net expenses to average net assets		1.20	%		1.20	%		1.20	%⁽⁷⁾
Ratio of net investment income to average net assets		6.28	%		5.46	%		4.88	%⁽⁷⁾
Portfolio turnover rate		58.08	%		84.65	%		99.72	%⁽⁵⁾

(1)

Fund commenced operations on September 16, 2013.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.20% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS C
	FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	9.50		$	10.45		$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.49			0.47			0.35
Net realized and unrealized gain (loss) on investments		(0.65	)		(0.58	)		0.32

Total increase (decrease) from investment operations		(0.16	)		(0.11	)		0.67

Less dividends and distributions:
From net investment income		(0.55	)		(0.71	)		(0.22	)
From net realized gain		–			(0.13	)		–

Total dividends and distributions		(0.55	)		(0.84	)		(0.22	)

Redemption fees		0.00			0.00	⁽³⁾		0.00

Net asset value, at end of year	$	8.79		$	9.50		$	10.45

Total investment return⁽⁴⁾		(1.59	)%		(0.93	)%		6.75	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	3,578		$	3,579		$	944
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		2.91	%		4.09	%		10.50	%⁽⁷⁾
Ratio of net expenses to average net assets		1.95	%		1.95	%		1.95	%⁽⁷⁾
Ratio of net investment income to average net assets		5.50	%		4.79	%		4.39	%⁽⁷⁾
Portfolio turnover rate		58.08	%		84.65	%		99.72	%⁽⁵⁾

(1)

Fund commenced operations on September 16, 2013.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.95% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS I
	FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 ⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	9.51		$	10.46		$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.58			0.56			0.41
Net realized and unrealized gain (loss) on investments		(0.65	)		(0.58	)		0.35

Total increase (decrease) from investment operations		(0.07	)		(0.02	)		0.76

Less dividends and distributions:
From net investment income		(0.64	)		(0.80	)		(0.30	)
From net realized gain		–			(0.13	)		–

Total dividends and distributions		(0.64	)		(0.93	)		(0.30	)

Redemption fees		0.00			0.00	⁽³⁾		0.00

Net asset value, at end of year	$	8.80		$	9.51		$	10.46

Total investment return⁽⁴⁾		(0.61	)%		0.05	%		7.59	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	24,689		$	26,428		$	26,406
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		1.54	%		1.58	%		1.83	%⁽⁷⁾
Ratio of net expenses to average net assets		0.95	%		0.95	%		0.95	%⁽⁷⁾
Ratio of net investment income to average net assets		6.54	%		5.69	%		5.02	%⁽⁷⁾
Portfolio turnover rate		58.08	%		84.65	%		99.72	%⁽⁵⁾

(1)

Fund commenced operations on September 16, 2013.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .95% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS Y
	FOR THE YEAR ENDED JUNE 30, 2016			FOR THE YEAR ENDED JUNE 30, 2015			PERIOD FROM SEPTEMBER 16, 2013 THROUGH JUNE 30, 2014 ⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	9.51		$	10.46		$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.59			0.56			0.41
Net realized and unrealized gain (loss) on investments		(0.66	)		(0.58	)		0.35

Total increase (decrease) from investment operations		(0.07	)		(0.02	)		0.76

Less dividends and distributions:
From net investment income		(0.64	)		(0.80	)		(0.30	)
From net realized gain		–			(0.13	)		–

Total dividends and distributions		(0.64	)		(0.93	)		(0.30	)

Redemption fees		0.00			0.00	⁽³⁾		0.00

Net asset value, at end of year	$	8.80		$	9.51		$	10.46

Total investment return⁽⁴⁾		(0.61	)%		0.05	%		7.59	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	58,312		$	39,006		$	33,885
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		1.55	%		1.58	%		1.84	%⁽⁷⁾
Ratio of net expenses to average net assets		0.95	%		0.95	%		0.95	%⁽⁷⁾
Ratio of net investment income to average net assets		6.56	%		5.67	%		5.04	%⁽⁷⁾
Portfolio turnover rate		58.08	%		84.65	%		99.72	%⁽⁵⁾

(1)

Fund commenced operations on September 16, 2013.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .95% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Active Short Duration Bond Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS A
	PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 ⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.15
Net realized and unrealized loss on investments		(0.03	)⁽³⁾

Total increase from investment operations		0.12

Less dividends and distributions:
From net investment income		(0.14	)

Net asset value, at end of year	$	9.98

Total investment return⁽⁴⁾		1.17	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	39,992
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		1.18	%⁽⁷⁾
Ratio of net expenses to average net assets		0.65	%⁽⁷⁾
Ratio of net investment income to average net assets		1.51	%⁽⁷⁾
Portfolio turnover rate		218.67	%⁽⁵⁾

(1)

Fund commenced operations on July 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

The per share amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of fund shares and the per share amount of realized and unrealized gains and losses at such time.

(4)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .65% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Active Short Duration Bond Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS C
	PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 ⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.07
Net realized and unrealized loss on investments		(0.03	)⁽³⁾

Total increase from investment operations		0.04

Less dividends and distributions:
From net investment income		(0.07	)

Net asset value, at end of year	$	9.97

Total investment return⁽⁴⁾		0.39	%⁽⁵⁾^,(8)


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	257
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		5.44	%^(7),(8)
Ratio of net expenses to average net assets		1.40	%^(7),(8)
Ratio of net investment income to average net assets		0.71	%^(7),(8)
Portfolio turnover rate		218.67	%⁽⁵⁾

(1)

Fund commenced operations on July 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

(4)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.90% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

(8)

Expenses shown reflect an overaccrual of 12b-1 fees for the period of $1,478 or 0.50% of average net assets over the period. Subsequent to the period, the Fund was reimbursed for the overaccrued amount.

See accompanying Notes to the Financial Statements.

Babson Active Short Duration Bond Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS I
	PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.16
Net realized and unrealized loss on investments		(0.03	)⁽³⁾

Total increase from investment operations		0.13

Less dividends and distributions:
From net investment income		(0.16	)

Net asset value, at end of year	$	9.97

Total investment return⁽⁴⁾		1.35	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	5,971
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁷⁾		0.96	%⁽⁶⁾
Ratio of net expenses to average net assets		0.44	%⁽⁶⁾
Ratio of net investment income to average net assets		1.67	%⁽⁶⁾
Portfolio turnover rate		218.67	%⁽⁵⁾

(1)

Fund commenced operations on July 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

(4)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

Annualized for periods less than one full year.

(7)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.40% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

Babson Active Short Duration Bond Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS Y
	PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.17
Net realized and unrealized loss on investments		(0.04	)⁽³⁾

Total increase from investment operations		0.13

Less dividends and distributions:
From net investment income		(0.16	)

Net asset value, at end of year	$	9.97

Total investment return⁽⁴⁾		1.36	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	109,645
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		0.87	%⁽⁷⁾
Ratio of net expenses to average net assets		0.41	%⁽⁷⁾
Ratio of net investment income to average net assets		1.73	%⁽⁷⁾
Portfolio turnover rate		218.67	%⁽⁵⁾

(1)

Fund commenced operations on July 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

(4)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.40% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Total Return Bond Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS A
	PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.25
Net realized and unrealized gain on investments		0.20

Total increase from investment operations		0.45

Less dividends and distributions:
From net investment income		(0.25	)
From net realized gain		(0.02	)

Total dividends and distributions		(0.27	)

Net asset value, at end of year	$	10.18

Total investment return⁽³⁾		4.63	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	211
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		5.60	%⁽⁶⁾
Ratio of net expenses to average net assets		0.80	%⁽⁶⁾
Ratio of net investment income to average net assets		2.52	%⁽⁶⁾
Portfolio turnover rate		434.37	%⁽⁴⁾

(1)

Fund commenced operations on July 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .80% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Total Return Bond Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS C
	PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.17
Net realized and unrealized gain on investments		0.21

Total increase from investment operations		0.38

Less dividends and distributions:
From net investment income		(0.18	)
From net realized gain		(0.02	)

Total dividends and distributions		(0.20	)

Net asset value, at end of year	$	10.18

Total investment return⁽³⁾		3.87	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	204
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		6.38	%⁽⁶⁾
Ratio of net expenses to average net assets		1.55	%⁽⁶⁾
Ratio of net investment income to average net assets		1.77	%⁽⁶⁾
Portfolio turnover rate		434.37	%⁽⁴⁾

(1)

Fund commenced operations on July 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.55% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Total Return Bond Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS I
	PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.27
Net realized and unrealized gain on investments		0.20

Total increase from investment operations		0.47

Less dividends and distributions:
From net investment income		(0.27	)
From net realized gain		(0.02	)

Total dividends and distributions		(0.29	)

Net asset value, at end of year	$	10.18

Total investment return⁽³⁾		4.89	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	12,582
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		1.37	%⁽⁶⁾
Ratio of net expenses to average net assets		0.55	%⁽⁶⁾
Ratio of net investment income to average net assets		2.77	%⁽⁶⁾
Portfolio turnover rate		434.37	%⁽⁴⁾

(1)

Fund commenced operations on July 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .55% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Total Return Bond Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS Y
	PERIOD FROM JULY 8, 2015 THROUGH JUNE 30, 2016 ⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.27
Net realized and unrealized gain on investments		0.20

Total increase from investment operations		0.47

Less dividends and distributions:
From net investment income		(0.27	)
From net realized gain		(0.02	)

Total dividends and distributions		(0.29	)

Net asset value, at end of year	$	10.18

Total investment return⁽³⁾		4.89	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	13,011
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		1.36	%⁽⁶⁾
Ratio of net expenses to average net assets		0.55	%⁽⁶⁾
Ratio of net investment income to average net assets		2.77	%⁽⁶⁾
Portfolio turnover rate		434.37	%⁽⁴⁾

(1)

Fund commenced operations on July 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed .55% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Emerging Markets Debt Blended Total Return Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS A
	PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.43
Net realized and unrealized loss on investments		(0.19	)

Total increase from investment operations		0.24

Less dividends and distributions:
From net investment income		(0.34	)
From net realized gain		(0.00	)⁽³⁾

Total dividends and distributions		(0.34	)

Net asset value, at end of year	$	9.90

Total investment return⁽⁴⁾		2.62	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	198
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		6.82	%⁽⁷⁾
Ratio of net expenses to average net assets		1.16	%⁽⁷⁾
Ratio of net investment income to average net assets		6.52	%⁽⁷⁾
Portfolio turnover rate		83.26	%⁽⁵⁾

(1)

Fund commenced operations on October 21, 2015.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.20% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Emerging Markets Debt Blended Total Return Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS C
	PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.38
Net realized and unrealized loss on investments		(0.19	)

Total increase from investment operations		0.19

Less dividends and distributions:
From net investment income		(0.29	)
From net realized gain		(0.00	)⁽³⁾

Total dividends and distributions		(0.29	)

Net asset value, at end of year	$	9.90

Total investment return⁽⁴⁾		2.10	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	198
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		7.57	%⁽⁷⁾
Ratio of net expenses to average net assets		1.90	%⁽⁷⁾
Ratio of net investment income to average net assets		5.79	%⁽⁷⁾
Portfolio turnover rate		83.26	%⁽⁵⁾

(1)

Fund commenced operations on October 21, 2015.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.95% as a percentage of average daily net assets.

(7)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Emerging Markets Debt Blended Total Return Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS I
	PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 ⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.45
Net realized and unrealized loss on investments		(0.19	)

Total increase from investment operations		0.26

Less dividends and distributions:
From net investment income		(0.36	)
From net realized gain		(0.00	)⁽³⁾

Total dividends and distributions		(0.36	)

Net asset value, at end of year	$	9.90

Total investment return⁽⁴⁾		2.79	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	4,753
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁷⁾		2.58	%⁽⁶⁾
Ratio of net expenses to average net assets		0.92	%⁽⁶⁾
Ratio of net investment income to average net assets		6.77	%⁽⁶⁾
Portfolio turnover rate		83.26	%⁽⁵⁾

(1)

Fund commenced operations on October 21, 2015.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

Annualized for periods less than one full year.

(7)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.95% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

Babson Emerging Markets Debt Blended Total Return Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS Y
	PERIOD FROM OCTOBER 21, 2015 THROUGH JUNE 30, 2016 ⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.45
Net realized and unrealized loss on investments		(0.19	)

Total increase from investment operations		0.26

Less dividends and distributions:
From net investment income		(0.36	)
From net realized gain		(0.00	)⁽³⁾

Total dividends and distributions		(0.36	)

Net asset value, at end of year	$	9.90

Total investment return⁽⁴⁾		2.79	%⁽⁵⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	4,754
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁷⁾		2.58	%⁽⁶⁾
Ratio of net expenses to average net assets		0.92	%⁽⁶⁾
Ratio of net investment income to average net assets		6.77	%⁽⁶⁾
Portfolio turnover rate		83.26	%⁽⁵⁾

(1)

Fund commenced operations on October 21, 2015.

(2)

Calculated using average shares outstanding.

(3)

Amount rounds to less than $.01 per share.

(4)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(5)

Not annualized.

(6)

Annualized for periods less than one full year.

(7)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.95% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

Babson Emerging Markets Local Currency Debt Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS A
	PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.50
Net realized and unrealized gain on investments		0.73

Total increase from investment operations		1.23

Less dividends and distributions:
From net investment income		(0.31	)

Net asset value, at end of year	$	10.92

Total investment return⁽³⁾		12.58	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	109
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		8.55	%⁽⁵⁾
Ratio of net expenses to average net assets		1.08	%⁽⁵⁾
Ratio of net investment income to average net assets		8.82	%⁽⁵⁾
Portfolio turnover rate		37.68	%⁽⁴⁾

(1)

Fund commenced operations on December 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

Annualized for periods less than one full year.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.20% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

Babson Emerging Markets Local Currency Debt Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS C
	PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.46
Net realized and unrealized gain on investments		0.73

Total increase from investment operations		1.19

Less dividends and distributions:
From net investment income		(0.27	)

Net asset value, at end of year	$	10.92

Total investment return⁽³⁾		12.13	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	109
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		9.30	%⁽⁶⁾
Ratio of net expenses to average net assets		1.81	%⁽⁶⁾
Ratio of net investment income to average net assets		8.09	%⁽⁶⁾
Portfolio turnover rate		37.68	%⁽⁴⁾

(1)

Fund commenced operations on December 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.95% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Emerging Markets Local Currency Debt Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS I
	PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.52
Net realized and unrealized gain on investments		0.73

Total increase from investment operations		1.25

Less dividends and distributions:
From net investment income		(0.33	)

Net asset value, at end of year	$	10.92

Total investment return⁽³⁾		12.73	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	2,621
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		4.03	%⁽⁶⁾
Ratio of net expenses to average net assets		0.84	%⁽⁶⁾
Ratio of net investment income to average net assets		9.07	%⁽⁶⁾
Portfolio turnover rate		37.68	%⁽⁴⁾

(1)

Fund commenced operations on December 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.95% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Emerging Markets Local Currency Debt Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS Y
	PERIOD FROM DECEMBER 8, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.52
Net realized and unrealized gain on investments		0.73

Total increase from investment operations		1.25

Less dividends and distributions:
From net investment income		(0.33	)

Net asset value, at end of year	$	10.92

Total investment return⁽³⁾		12.73	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	2,621
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		4.03	%⁽⁶⁾
Ratio of net expenses to average net assets		0.84	%⁽⁶⁾
Ratio of net investment income to average net assets		9.07	%⁽⁶⁾
Portfolio turnover rate		37.68	%⁽⁴⁾

(1)

Fund commenced operations on December 8, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.95% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Global High Yield Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS A
	PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.38
Net realized and unrealized gain on investments		0.05

Total increase from investment operations		0.43

Less dividends and distributions:
From net investment income		(0.38	)

Net asset value, at end of year	$	10.05

Total investment return⁽³⁾		4.45	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	101
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		7.14	%⁽⁶⁾
Ratio of net expenses to average net assets		1.04	%⁽⁶⁾
Ratio of net investment income to average net assets		5.83	%⁽⁶⁾
Portfolio turnover rate		83.24	%⁽⁴⁾

(1)

Fund commenced operations on October 30, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.05% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Global High Yield Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS C
	PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.33
Net realized and unrealized gain on investments		0.05

Total increase from investment operations		0.38

Less dividends and distributions:
From net investment income		(0.33	)

Net asset value, at end of year	$	10.05

Total investment return⁽³⁾		3.94	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	101
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		7.89	%⁽⁶⁾
Ratio of net expenses to average net assets		1.78	%⁽⁶⁾
Ratio of net investment income to average net assets		5.09	%⁽⁶⁾
Portfolio turnover rate		83.24	%⁽⁴⁾

(1)

Fund commenced operations on October 30, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.80% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson Global High Yield Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS I
	PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.39
Net realized and unrealized gain on investments		0.05

Total increase from investment operations		0.44

Less dividends and distributions:
From net investment income		(0.39	)

Net asset value, at end of year	$	10.05

Total investment return⁽³⁾		4.62	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	12,466
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		1.51	%⁽⁵⁾
Ratio of net expenses to average net assets		0.79	%⁽⁵⁾
Ratio of net investment income to average net assets		6.08	%⁽⁵⁾
Portfolio turnover rate		83.24	%⁽⁴⁾

(1)

Fund commenced operations on October 30, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

Annualized for periods less than one full year.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.80% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

Babson Global High Yield Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS Y
	PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.39
Net realized and unrealized gain on investments		0.05

Total increase from investment operations		0.44

Less dividends and distributions:
From net investment income		(0.39	)

Net asset value, at end of year	$	10.05

Total investment return⁽³⁾		4.62	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	12,604
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		1.51	%⁽⁶⁾
Ratio of net expenses to average net assets		0.79	%⁽⁶⁾
Ratio of net investment income to average net assets		6.08	%⁽⁶⁾
Portfolio turnover rate		83.24	%⁽⁴⁾

(1)

Fund commenced operations on October 30, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.80% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson U.S. High Yield Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS A
	PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.39
Net realized and unrealized gain on investments		0.13

Total increase from investment operations		0.52

Less dividends and distributions:
From net investment income		(0.38	)

Net asset value, at end of year	$	10.14

Total investment return⁽³⁾		5.36	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	206
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁵⁾		5.47	%⁽⁶⁾
Ratio of net expenses to average net assets		0.99	%⁽⁶⁾
Ratio of net investment income to average net assets		5.93	%⁽⁶⁾
Portfolio turnover rate		77.52	%⁽⁴⁾

(1)

Fund commenced operations on October 30, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.00% as a percentage of average daily net assets.

(6)

Annualized for periods less than one full year.

See accompanying Notes to the Financial Statements.

Babson U.S. High Yield Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS C
	PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.33
Net realized and unrealized gain on investments		0.14

Total increase from investment operations		0.47

Less dividends and distributions:
From net investment income		(0.33	)

Net asset value, at end of year	$	10.14

Total investment return⁽³⁾		4.85	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	101
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		7.30	%⁽⁵⁾
Ratio of net expenses to average net assets		1.73	%⁽⁵⁾
Ratio of net investment income to average net assets		5.08	%⁽⁵⁾
Portfolio turnover rate		77.52	%⁽⁴⁾

(1)

Fund commenced operations on October 30, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation does not consider the effects of sales loads and assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

Annualized for periods less than one full year.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 1.75% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

Babson U.S. High Yield Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS I
	PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 ⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.40
Net realized and unrealized gain on investments		0.13

Total increase from investment operations		0.53

Less dividends and distributions:
From net investment income		(0.39	)

Net asset value, at end of year	$	10.14

Total investment return⁽³⁾		5.53	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	14,863
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		1.38	%⁽⁵⁾
Ratio of net expenses to average net assets		0.74	%⁽⁵⁾
Ratio of net investment income to average net assets		6.11	%⁽⁵⁾
Portfolio turnover rate		77.52	%⁽⁴⁾

(1)

Fund commenced operations on October 30, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

Annualized for periods less than one full year.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.75% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

Babson U.S. High Yield Fund 2016 Annual Report

FINANCIAL HIGHLIGHTS (CONTINUED)


	CLASS Y
	PERIOD FROM OCTOBER 30, 2015 THROUGH JUNE 30, 2016 ⁽¹⁾

Per Common Share Data
Net asset value, beginning of year	$	10.00
Income from investment operations:
Net investment income⁽²⁾		0.39
Net realized and unrealized gain on investments		0.14

Total increase from investment operations		0.53

Less dividends and distributions:
From net investment income		(0.39	)

Net asset value, at end of year	$	10.14

Total investment return⁽³⁾		5.52	%⁽⁴⁾


Supplemental Data and Ratios
Net assets, end of year (000’s)	$	12,675
Ratio of total expenses (before reductions and reimbursements) to average net assets⁽⁶⁾		1.42	%⁽⁵⁾
Ratio of net expenses to average net assets		0.74	%⁽⁵⁾
Ratio of net investment income to average net assets		6.06	%⁽⁵⁾
Portfolio turnover rate		77.52	%⁽⁴⁾

(1)

Fund commenced operations on October 30, 2015.

(2)

Calculated using average shares outstanding.

(3)

Total investment return calculation assumes the reinvestment of dividends at actual prices pursuant to the Fund’s dividend reinvestment plan.

(4)

Not annualized.

(5)

Annualized for periods less than one full year.

(6)

The Adviser has agreed to waive and/or reimburse certain fees and/or expense so that, on an annualized basis, such expenses incurred will not exceed 0.75% as a percentage of average daily net assets.

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2016


						SHARES		COST		FAIR VALUE
*Common Stocks — 0.0%:**
Boomerang Tube LLC¤							2,007		$–		$–
Southcross Energy Partners LP¤							22		–		7,480
Southcross Holdings, L.P.¤							22		–		–

Total Common Stocks							2,051		–		7,480


Total Equities							2,051		–		7,480


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 93.0%:**

Bank Loans — 83.8%§:**

*Aerospace and Defense — 1.3%:**
Swissport Investments SA+		6.25	%		2/9/2022		700,000		744,876		765,033
TransDigm, Inc.		3.75			5/14/2022		997,597		987,691		981,077
TransDigm, Inc.		3.75			6/9/2023		500,000		496,272		491,770

Total Aerospace and Defense							2,197,597		2,228,839		2,237,880


*Automobile — 1.7%:**
FPC Holdings, Inc.		5.25			11/19/2019		1,687,589		1,615,002		1,420,393
Gates Global, Inc.		4.25			7/6/2021		1,457,327		1,452,957		1,379,302

Total Automobile							3,144,916		3,067,959		2,799,695


*Beverage, Food and Tobacco — 1.6%:**
Burton’s Foods Ltd.+		5.73			11/27/2020		500,000		674,165		584,918
CTI Foods Holding Co, LLC		4.50			6/29/2020		1,371,857		1,361,757		1,358,138
Del Monte Foods, Inc.		4.25			2/18/2021		244,375		243,564		227,269
Deoleo SA+		4.50			6/11/2021		500,000		677,357		436,503

Total Beverage, Food and Tobacco							2,616,232		2,956,843		2,606,828


*Broadcasting and Entertainment — 3.3%:**
All3Media International+		5.25			6/30/2021		1,500,000		2,302,471		1,865,839
Cumulus Media Holdings, Inc.		4.25			12/23/2020		152,239		150,470		106,377
DLG Acquisitions Ltd.+		8.25			6/30/2022		500,000		672,001		468,869
Tech Finance & Co. S.C.A+		5.00			7/10/2020		484,541		541,296		532,917
Tele Columbus AG+		4.50			1/4/2021		500,000		546,701		548,494
Univision Communications, Inc.		4.00			3/1/2020		1,975,030		1,974,505		1,962,331

Total Broadcasting and Entertainment							5,111,810		6,187,444		5,484,827


*Buildings and Real Estate — 2.5%:**
Avocado BidCo Luxembourg Sarl+		5.25			2/28/2023		500,000		552,353		552,101
Builders FirstSource, Inc.		6.00			7/31/2022		1,583,526		1,578,862		1,581,547
Cemex SAB de CV+		3.50			7/23/2020		97,070		106,733		107,319
Cemex SAB de CV+		3.96			7/23/2020		441,849		441,849		433,012
DTZ US Borrower LLC		4.25			11/4/2021		1,548,443		1,543,474		1,524,256

Total Buildings and Real Estate							4,170,888		4,223,271		4,198,235

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)

*Cargo Transport — 1.0%:**
XPO Logistics, Inc.		5.50	%		11/1/2021		1,737,588		$1,714,987		$1,737,588


*Chemicals, Plastics and Rubber — 7.6%:**
Allnex (Luxembourg) & Cy S.C.A.+		4.25			5/31/2023		1,127,743		1,217,002		1,199,330
Allnex USA, Inc.+		4.25			5/31/2023		322,257		320,646		318,229
Chromaflo Technologies Corp.		4.50			12/2/2019		1,202,903		1,201,223		1,181,852
Flint Group GmbH+		4.25			9/7/2021		497,500		534,459		547,960
Flint Group GmbH+		4.50			9/7/2021		90,107		89,431		88,587
Flint Group US LLC+		4.50			9/7/2021		545,072		540,982		535,877
MacDermid European Holdings B.V.		5.50			6/7/2020		496,250		524,303		544,518
MacDermid, Inc.		5.50			6/7/2020		1,470,052		1,444,306		1,448,736
Methanol Holdings (Trinidad) Ltd.		4.25			6/30/2022		1,124,106		1,114,445		1,101,624
Novacap S.A.+		5.00			6/22/2023		500,000		558,050		553,626
OXEA Finance & Cy S.C.A.+		4.50			1/15/2020		494,924		523,736		523,153
OXEA Finance LLC+		4.25			1/15/2020		352,314		346,995		340,204
Styrolution Group GmbH+		6.50			11/7/2019		591,000		729,991		655,534
Tronox Pigments (United States) B.V.+		4.50			3/19/2020		1,396,401		1,345,485		1,333,563
Univar, Inc.		4.25			7/1/2022		978,185		977,110		962,642
Vantage Specialty Chemicals, Inc.		5.00			2/10/2019		1,431,372		1,422,225		1,406,323

Total Chemicals, Plastics and Rubber							12,620,186		12,890,389		12,741,758


*Containers, Packaging and Glass — 6.1%:**
Consolidated Container Co. LLC		5.00			7/3/2019		1,477,509		1,476,022		1,423,152
Consolidated Container Co. LLC		7.75			1/3/2020		188,280		185,884		168,354
Hilex Poly Co. LLC		6.00			12/5/2021		400,686		397,535		400,686
Horizon Holdings III SAS+		4.50			8/1/2022		1,000,000		1,129,171		1,104,667
Mauser US Corporate LLC+		4.50			7/31/2021		1,556,468		1,556,584		1,523,393
Mauser US Corporate LLC+		8.75			7/31/2022		120,928		101,622		111,405
Multi Packaging Solutions, Inc.		4.25			9/30/2020		1,867,712		1,857,496		1,844,365
Prolampac Intermediate, Inc.		5.75			8/18/2022		951,795		943,431		938,708
Prolampac Intermediate, Inc.		9.25			8/18/2023		1,000,000		982,122		940,000
Tekni-Plex, Inc.		4.50			6/1/2022		1,663,481		1,643,457		1,630,211

Total Containers, Packaging and Glass							10,226,859		10,273,324		10,084,941


*Diversified/Conglomerate Manufacturing — 2.8%:**
Acosta Holdco, Inc.		4.25			9/26/2021		1,401,353		1,393,999		1,345,299
MTS Systems Corp.		4.25			6/21/2023		392,809		388,881		391,336
Pelican Products, Inc.		5.25			4/10/2020		967,841		966,050		938,806
STS Operating, Inc.		4.75			2/12/2021		302,043		302,320		265,798
Tennessee Acquisition Holding B.V.+		5.25			1/27/2023		500,000		534,944		545,858
Triple Point Technology, Inc.		5.25			7/10/2020		336,858		316,873		275,661
Triple Point Technology, Inc.††		9.25			7/10/2021		145,677		138,062		88,863
West Corp.		2.71			7/1/2019		482,319		471,037		469,055
West Corp.		3.75			6/1/2023		285,286		283,859		284,039

Total Diversified/Conglomerate Manufacturing							4,814,186		4,796,025		4,604,715

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)

*Diversified/Conglomerate Service — 5.1%:**
Aquilex Holdings LLC		5.00	%		12/31/2020		183,676		$183,378		$174,492
Atrium Innovations, Inc.+		4.25			2/13/2021		1,118,590		1,112,324		1,083,634
EIG Investors Corp.		6.48			11/9/2019		801,725		802,228		762,304
Garda World Security Corp.+		4.00			11/6/2020		912,967		908,431		884,665
Men’s Wearhouse, Inc. (The)		4.50			6/18/2021		914,636		827,235		878,051
MH Sub I LLC		4.75			7/8/2021		580,887		578,483		576,048
MH Sub I LLC		8.50			7/8/2022		400,000		396,981		386,000
Northgate Information Solutions Ltd.+		6.50			3/23/2022		500,000		517,319		549,787
Power Team Services LLC		8.25			11/6/2020		500,000		496,856		485,000
Prime Security Services Borrower, LLC		4.75			5/2/2022		256,119		253,623		256,439
RP Crown Parent LLC		6.00			12/21/2018		542,637		543,780		509,569
RP Crown Parent LLC		11.25			12/20/2019		678,572		687,724		560,955
Vogue International, Inc.		7.25			2/14/2020		1,427,081		1,436,410		1,424,412

Total Diversified/Conglomerate Service							8,816,890		8,744,772		8,531,356


*Ecological — 2.0%:**
Biffa Waste Services Ltd.+		5.59			1/30/2018		2,000,000		3,187,299		2,559,886
Emerald 3 Ltd.+		8.00			5/31/2022		390,426		387,496		347,480
PHS Group PLC+		6.00			4/17/2020		299,197		462,964		396,565

Total Ecological							2,689,623		4,037,759		3,303,931


*Electronics — 4.3%:**
CDW LLC		3.25			4/29/2020		1,184,699		1,180,146		1,183,052
Dell Inc.		3.25			5/24/2023		1,800,000		1,791,000		1,792,494
Informatica Corp.		4.50			8/5/2022		1,588,000		1,586,257		1,542,059
Renaissance Learning, Inc.		4.50			4/9/2021		1,478,574		1,461,802		1,439,761
Western Digital Corp.		6.25			4/29/2023		1,186,188		1,156,232		1,189,901

Total Electronics							7,237,461		7,175,437		7,147,267


*Finance — 4.9%:**
Alliant Holdings I, Inc.		4.50			8/12/2022		1,240,602		1,230,792		1,220,752
Confie Seguros Holdings II Co.		5.75			11/9/2018		528,596		527,331		521,989
Cunningham Lindsey US, Inc.		5.00			12/10/2019		483,581		482,237		386,865
Cunningham Lindsey US, Inc.		9.25			6/10/2020		748,546		749,763		276,962
Eze Castle Software, Inc.		4.00			4/6/2020		971,818		967,894		965,744
First Data Corp.		4.20			7/8/2022		1,022,479		1,015,485		1,012,254
GENEX Holdings, Inc.		5.25			5/30/2021		1,488,608		1,483,732		1,458,836
Moneygram International, Inc.		4.25			3/27/2020		825,229		778,396		779,065
SAM Finance Lux Sarl+		5.00	��		12/17/2020		335,477		542,055		446,269
Sedgwick Claims Management Services, Inc.		3.75			3/1/2021		488,750		487,934		477,142
Sedgwick Claims Management Services, Inc.		6.75			2/28/2022		561,418		560,904		537,558

Total Finance							8,695,104		8,826,523		8,083,436

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)

*Healthcare, Education and Childcare — 9.9%:**
ADMI Corp.		5.25	%		4/30/2022		1,485,000		$1,494,350		$1,485,000
Amedes Holding AG+		4.75			8/19/2022		500,000		533,751		554,392
AmSurg Corp.		3.50			7/16/2021		379,033		379,023		379,023
CareCore National LLC		5.50			3/5/2021		663,745		663,453		612,305
Explorer Holdings, Inc.		6.00			5/2/2023		528,674		523,495		528,452
Financiere Verdi+		5.50			9/30/2022		500,000		529,891		555,846
Greatbatch Ltd.		5.25			10/27/2022		1,496,250		1,485,613		1,481,287
Jaguar Holding Co. II		4.25			8/18/2022		898,098		894,154		888,893
Kindred Healthcare, Inc.		4.25			4/9/2021		1,686,117		1,637,188		1,631,319
MI Opco Holdings, Inc.		5.75			10/27/2022		433,482		429,543		432,398
Ortho-Clinical Diagnostics, Inc.		4.75			6/30/2021		2,030,840		2,020,194		1,917,458
Rodenstock GmbH+		4.14			5/30/2019		1,500,000		1,766,839		1,564,747
Synarc-Biocore Holdings LLC		5.50			3/10/2021		488,750		485,458		478,975
Synarc-Biocore Holdings LLC		9.25			3/10/2022		500,000		496,427		475,000
Team Health, Inc.		3.75			11/23/2022		465,424		467,722		464,647
Tecomet, Inc.		5.75			12/5/2021		875,916		843,511		823,361
Tunstall Group Holdings Ltd.+		5.74			10/16/2020		500,000		794,461		619,697
Valeant Pharmaceuticals International		5.00			4/1/2022		1,717,928		1,680,724		1,670,204

Total Healthcare, Education and Childcare							16,649,257		17,125,797		16,563,004


*Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.8%:**
Leslie’s Poolmart, Inc.		4.25			10/16/2019		1,282,448		1,279,643		1,271,765


*Hotels, Motels, Inns and Gaming — 1.4%:**
Compass Holdco 2 Ltd.+		5.81			11/10/2022		500,000		755,482		661,105
Cyan Blue Holdco 3 Ltd.+		6.25			2/25/2022		500,000		735,886		657,970
Financiere Sun S.A.S.+		6.00			3/14/2023		500,000		535,686		529,212
HNVR Holdco Ltd.+		6.25			5/31/2023		500,000		549,876		540,310

Total Hotels, Motels, Inns and Gaming							2,000,000		2,576,930		2,388,597


*Insurance — 2.5%:**
Asurion LLC		4.25			7/8/2020		578,867		540,354		564,395
Asurion LLC		5.00			5/24/2019		895,890		875,630		890,479
Hub International Ltd.		4.00			10/2/2020		1,712,521		1,707,180		1,679,692
York Risk Services Holding Corp.		4.75			10/1/2021		1,180,662		1,154,289		1,033,079

Total Insurance							4,367,940		4,277,453		4,167,645


*Leisure, Amusement, Entertainment — 2.8%:**
AP NMT Acquisition B.V.+		6.75			8/13/2021		610,321		586,753		498,681
AP NMT Acquisition B.V.+		7.00			8/13/2021		534,955		646,763		500,461
AP NMT Acquisition B.V.+		10.00			8/13/2022		182,720		153,135		116,484
Delta 2 (Lux) Sarl+		4.75			7/30/2021		1,587,247		1,583,171		1,524,249
Delta 2 (Lux) Sarl+		7.75			7/31/2022		437,500		436,840		413,984
Tackle Sarl+		5.50			6/15/2022		500,000		553,792		554,992
WMG Acquisition Corp.		3.75			7/1/2020		1,056,162		1,049,160		1,042,960

Total Leisure, Amusement, Entertainment							4,908,905		5,009,614		4,651,811

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)

*Machinery Non-Agriculture, Non-Construction, Non-Electronic — 5.6%:**
Alison Bidco Sarl+		5.25	%		8/29/2021		292,056		$289,892		$284,512
Apex Tool Group LLC		4.50			1/31/2020		1,984,616		1,957,463		1,935,000
Doncasters Finance US LLC		4.50			4/9/2020		1,698,022		1,653,681		1,633,497
Gardner Denver, Inc.		4.25			7/30/2020		1,630,786		1,550,201		1,497,600
Husky Injection Molding Systems Ltd.+		4.25			6/30/2021		937,249		936,576		929,929
Husky Injection Molding Systems Ltd.+		7.25			6/30/2022		369,936		356,368		357,451
Intelligrated, Inc.		4.50			7/30/2018		1,697,045		1,690,611		1,682,196
Schenck Measuring and Process Technologies+		6.25			5/13/2022		500,000		547,767		548,866
Silver II US Holdings LLC		4.00			12/13/2019		435,311		431,985		389,603

Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							9,545,021		9,414,544		9,258,654


*Mining, Steel, Iron and Non-Precious Metals — 3.1%:**
Arch Coal, Inc.		5.00			1/31/2017		540,905		540,905		532,792
Arch Coal, Inc.		7.50			5/16/2018		1,479,606		1,297,709		678,769
Boomerang Tube LLC¤		15.00			2/2/2020		32,825		32,900		32,825
Boomerang Tube LLC¤		17.50			2/2/2020		72,403		72,403		72,403
Boomerang Tube LLC¤		15.65			2/2/2020		87,925		87,925		87,925
Boomerang Tube LLC¤		20.00			2/2/2020		31,324		28,767		28,192
Fortescue Metals Group Ltd. (FMG Resources)+		4.25			6/30/2019		1,320,413		1,232,936		1,260,994
H.C. Starck GmbH+		8.00			5/30/2020		1,043,603		1,040,548		967,605
Murray Energy Corp.		7.50			4/16/2020		742,142		725,161		538,052
Peabody Energy Corp.		4.25			9/24/2020		617,204		566,238		260,510
Peabody Energy Corp.		10.00			9/12/2017		160,099		153,100		164,701
Zekelman Industries, Inc.		6.00			6/14/2021		601,399		595,385		600,395

Total Mining, Steel, Iron and Non-Precious Metals							6,729,848		6,373,977		5,225,163


*Oil and Gas — 3.8%:**
Caelus Energy Alaska O3 LLC		8.75			4/15/2020		1,692,308		1,554,755		998,461
CITGO Holding, Inc.		9.50			5/12/2018		618,276		616,473		622,141
Drillships Financing Holding, Inc.		6.00			3/31/2021		984,772		863,305		383,076
Fieldwood Energy LLC		7.00			9/28/2018		555,855		492,305		457,652
Fieldwood Energy LLC PIK		7.13			9/30/2020		1,613,838		754,143		629,619
Floatel International Ltd.		6.00			6/27/2020		402,352		399,639		243,825
Paragon Offshore Finance Co.		5.25			7/18/2021		545,863		456,294		136,466
Sabine Oil & Gas LLC~		10.00			12/31/2018		700,000		706,294		23,625
Seadrill Partners Finco LLC		4.00			2/21/2021		1,774,626		1,186,056		787,934
Southcross Holdings Borrower LP		9.00			4/13/2023		19,460		19,460		16,347
Templar Energy LLC		8.50			11/25/2020		361,162		287,351		90,291
TPF II Power LLC		5.52			10/2/2021		499,094		496,270		496,808
Western Refining, Inc.		4.50			6/23/2023		1,500,000		1,470,000		1,459,380

Total Oil and Gas							11,267,606		9,302,345		6,345,625

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)

*Personal and Non-Durable Consumer Products Mfg. Only — 0.3%:**
Coty Inc.		3.50	%		10/27/2022		500,000		$567,238		$553,027


*Personal Transportation — 0.8%:**
Travelport Finance (Luxembourg) Sarl		5.00			9/2/2021		1,305,933		1,304,074		1,297,771


*Personal, Food and Miscellaneous — 0.1%:**
Redtop Acquisitions Ltd.+		8.25			6/3/2021		155,189		153,912		146,364


*Printing and Publishing — 1.6%:**
Cengage Learning Holdings II L.P.		4.25			6/7/2023		941,511		932,096		929,742
Springer Science+Business Media Deutschland GmbH+		3.50			8/14/2020		1,892,619		1,883,290		1,816,914

Total Printing and Publishing							2,834,130		2,815,386		2,746,656


*Retail Stores — 5.3%:**
Academy, Ltd.		5.00			7/1/2022		1,588,853		1,549,580		1,485,578
Advantage Sales & Marketing, Inc.		4.25			7/23/2021		1,582,446		1,575,973		1,539,593
Container Store, Inc. (The)		4.25			4/6/2019		498,587		452,742		432,524
Kirk Beauty One GmbH+		6.00			8/13/2022		799,999		889,638		887,897
Mattress Holding Corp.		6.25			10/20/2021		1,564,722		1,520,986		1,525,604
Maxeda DIY B.V.+		7.00			6/28/2019		583,334		648,219		521,580
NBTY, Inc.		5.00			5/5/2023		1,800,000		1,797,495		1,783,926
Talbots, Inc. (The)		5.50			3/19/2020		730,735		711,592		706,986

Total Retail Stores							9,148,676		9,146,225		8,883,688


*Telecommunications — 0.7%:**
Eircom Finco Sarl+		4.50			5/31/2022		500,000		544,791		545,065
Equinix, Inc.		4.50			1/8/2023		498,750		747,158		662,301

Total Telecommunications							998,750		1,291,949		1,207,366


*Utilities — 0.9%:**
Dynegy, Inc.		4.00			6/20/2023		1,500,000		1,485,000		1,472,820

Total Bank Loans							147,273,043		149,247,659		139,742,413

Corporate Bonds — 9.2%:**

*Aerospace and Defense — 0.1%:**
Swissport Investments SA+		6.75			12/15/2021		100,000		109,490		113,749


*Banking — 0.1%:**
Lock AS+		5.50	^#		8/15/2020		100,000		110,780		108,756
Lock AS+		7.00			8/15/2021		100,000		134,225		112,917

Total Banking							200,000		245,005		221,673


*Beverage, Food and Tobacco — 0.1%:**
Pizzaexpress Financing 2 PLC+		6.63			8/1/2021		100,000		169,730		124,783

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Broadcasting and Entertainment — 0.1%:**
Entertainment One Ltd.+		6.88	%		12/15/2022		100,000		$150,241		$133,711


*Buildings and Real Estate — 0.1%:**
Paroc Group Oy+		6.25			5/15/2020		100,000		137,565		110,087
Paroc Group Oy MTN+		4.99	^#		5/15/2020		100,000		137,565		106,814

Total Buildings and Real Estate							200,000		275,130		216,901


*Cargo Transport — 0.3%:**
Deck Chassis Acquisition, Inc.^		10.00			6/15/2023		336,000		336,000		347,760
WFS Global Holding SAS+		9.50			7/15/2022		100,000		113,435		103,762

Total Cargo Transport							436,000		449,435		451,522


*Chemicals, Plastics and Rubber — 0.3%:**
Ineos Finance PLC+		4.00			5/1/2023		150,000		162,382		159,647
Pinnacle Operating Corp.^		9.00			11/15/2020		500,000		528,431		420,000
TPC Group, Inc.^		8.75			12/15/2020		1,000		725		783

Total Chemicals, Plastics and Rubber							651,000		691,538		580,430


*Containers, Packaging and Glass — 0.6%:**
Innovia Group Finance PLC+		4.74	^#		3/31/2020		500,000		684,794		546,552
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu^#^		4.13			7/15/2021		222,000		219,784		222,555
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu^		5.13			7/15/2023		178,000		178,000		180,225
Verallia Packaging SASU+		5.13			8/1/2022		100,000		109,775		113,610

Total Containers, Packaging and Glass							1,000,000		1,192,353		1,062,942


*Diversified/Conglomerate Manufacturing — 0.3%:**
Appvion, Inc.^		9.00			6/1/2020		460,000		466,443		260,475
Galapagos SA+		4.49	^#		6/15/2021		200,000		272,630		205,304

Total Diversified/Conglomerate Manufacturing							660,000		739,073		465,779


*Diversified/Conglomerate Service — 0.7%:**
Carlson Travel Holdings, Inc. PIK^		7.50			8/15/2019		470,000		474,066		448,850
Sabre GLBL, Inc.^		5.38			4/15/2023		561,000		571,534		573,622
Verisure Holding AB+		6.00			11/1/2022		100,000		110,105		118,133

Total Diversified/Conglomerate Service							1,131,000		1,155,705		1,140,605


*Electronics — 0.2%:**
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		271,000		271,000		287,260


*Finance — 1.0%:**
Arrow Global Finance PLC+		4.75			5/1/2023		100,000		111,201		109,310
Arrow Global Finance PLC+		4.99	^#		11/1/2021		150,000		167,753		165,630

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

Finance (Continued)
First Data Corp.^		5.00	%		1/15/2024		179,000		$177,910		$179,448
Galaxy Bidco Ltd.+		5.59	^#		11/15/2019		100,000		161,168		131,527
Garfunkelux Holdco 3 SA+		8.50			11/1/2022		250,000		386,655		314,807
Marlin Intermediate Holdings PLC MTN+		10.50			8/1/2020		500,000		825,386		718,875

Total Finance							1,279,000		1,830,073		1,619,597


*Grocery — 0.1%:**
Premier Foods Finance PLC+		5.57	^#		3/16/2020		100,000		167,370		124,571
Premier Foods Finance PLC+		6.50			3/15/2021		100,000		146,396		126,469

Total Grocery							200,000		313,766		251,040


*Healthcare, Education and Childcare — 1.3%:**
Care UK Health & Social Care PLC+		5.59	^#		7/15/2019		343,000		521,188		374,427
HCA, Inc.		5.25			6/15/2026		82,000		82,000		85,126
Prospect Medical Holdings, Inc.^		8.38			5/1/2019		435,000		456,126		452,400
Tenet Healthcare Corp.^#		4.15			6/15/2020		789,000		785,808		779,138
Unilabs Subholding AB+		7.25	^#		7/15/2018		400,000		549,479		436,354

Total Healthcare, Education and Childcare							2,049,000		2,394,601		2,127,445


*Hotels, Motels, Inns and Gaming — 0.2%:**
Gala Group Finance PLC+		8.88			9/1/2018		125,714		196,315		171,373
TVL Finance PLC+		8.50			5/15/2023		100,000		147,170		128,366

Total Hotels, Motels, Inns and Gaming							225,714		343,485		299,739


*Leisure, Amusement, Entertainment — 0.4%:**
Odeon & UCI Finco PLC MTN+		9.00			8/1/2018		100,000		157,204		134,190
Vougeot Bidco PLC+		5.00	^#		7/15/2020		100,000		134,939		109,532
WMG Acquisition Corp.		6.25			1/15/2021		387,000		466,220		440,210

Total Leisure, Amusement, Entertainment							587,000		758,363		683,932


*Oil and Gas — 0.5%:**
Sabine Pass Liquefaction LLC		5.63			3/1/2025		495,000		495,000		493,144
Shelf Drilling Holdings Ltd.+^		8.63			11/1/2018		438,000		380,345		321,930

Total Oil and Gas							933,000		875,345		815,074


*Personal Transportation — 0.1%:**
AA Bond Co. Ltd.+		5.50			7/31/2043		150,000		223,140		190,202


*Personal, Food and Miscellaneous — 0.3%:**
Brakes Capital+		7.13			12/15/2018		300,000		512,081		413,593
Brakes Capital MTN+		4.74	^#		12/15/2018		100,000		136,645		112,018

Total Personal, Food and Miscellaneous							400,000		648,726		525,611


*Retail Stores — 1.4%:**
Boing Group Financing PLC MTN+		6.63			7/15/2019		350,000		397,624		356,174
Brighthouse Group PLC MTN+		7.88			5/15/2018		150,000		242,271		179,549

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

Retail Stores (Continued)
House of Fraser Funding PLC+		6.32	^#%		9/15/2020		300,000		$464,335		$371,579
HSS Financing PLC+		6.75			8/1/2019		68,000		112,557		88,171
Takko Luxembourg 2 S.C.A. MTN+		9.88			4/15/2019		425,000		360,239		267,658
Travelex Financing PLC+		6.59	^#		8/1/2018		700,000		1,122,407		927,215
Travelex Financing PLC+		8.00			8/1/2018		100,000		158,773		134,057

Total Retail Stores							2,093,000		2,858,206		2,324,403


*Telecommunications — 0.7%:**
Numericable-SFR+		5.38			5/15/2022		100,000		138,295		112,484
Numericable-SFR SA^+		7.38			5/1/2026		217,000		217,000		214,559
Numericable-SFR SAS+		5.63			5/15/2024		100,000		138,165		111,625
Numericable-SFR SAS+^		6.00			5/15/2022		646,000		645,327		628,235
Wind Acquisition Finance SA+		4.13	^#		7/15/2020		150,000		159,292		163,806

Total Telecommunications							1,213,000		1,298,079		1,230,709


*Utilities — 0.3%:**
Calpine Corp.^		5.25			6/1/2026		449,000		449,000		447,878

Total Corporate Bonds							14,427,714		17,441,484		15,314,985

Total Fixed Income							161,700,757		166,689,143		155,057,398


*Short-Term Investment — 10.6%:**

*Bank Deposit — 10.6%:**
State Street Bank & Trust Co. Euro Time Deposit		0.01			7/1/2016		17,598,766		17,598,766		17,598,766

Total Investments							179,301,574		184,287,909		172,663,644


Other assets and liabilities — (3.6%)											(6,020,616	)


Net Assets — 100.0%											$166,643,028

MTN	Medium Term Note

PIK	Payment-in-kind

‡‡	Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

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

+	Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:


		United States			69.1%
		United Kingdom			10.8%
		Germany			8.6%
		France			2.9%
		Canada			2.1%
		Netherlands			1.4%
		Luxembourg			1.0%
		Other (Individually less than 1%)			4.1%

		Total			100.0%

See accompanying Notes to the Financial Statements.

Babson Global Floating Rate Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016

^	Security acquired in a transaction 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 June 30, 2016. 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.

#	Variable rate security. The interest rate shown is the rate in effect at June 30, 2016.

¤	For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2).

††	Illiquid security.

~	Defaulted security.

A summary of outstanding financial instruments at June 30, 2016 is as follows:

Forward Foreign Currency Exchange Contracts to Buy

EXPIRATION
DATE

COUNTERPARTY

LOCAL
CURRENCY

VALUE IN USD

IN
EXCHANGE

FOR USD

NET UNREALIZED

(DEPRECIATION)

7/14/16

Morgan Stanley & Co.

EUR

1,030,894

1,144,388

1,167,059

(22,671

)

Forward Foreign Currency Exchange Contracts to Sell


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION
7/14/16	Morgan Stanley & Co.		EUR	19,508,862		21,656,653		22,174,079	$	517,426
7/14/16	Morgan Stanley & Co.		GBP	10,383,160		13,823,268		15,125,284		1,302,016

Net unrealized appreciation on forward foreign exchange contracts to sell									$	1,819,442

Currency Legend


EUR	–	Euro
GBP	–	British Pound Sterling

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2016


						SHARES		COST		FAIR VALUE
*Equities — 0.4%:**

*Common Stocks — 0.4%:**

*Energy Equipment and Services — 0.0%:**
Southcross Energy Partners LP¤							11		$–		$3,740
Southcross Holdings, L.P.(1)¤							11		–		–

Total Energy Equipment and Services							22		–		3,740


*Mining, Steel, Iron and Non-Precious Metals — 0.0%:**
Boomerang Tube LLC¤							2,007		–		–


*Retail Stores — 0.4%:**
Maxeda DIY B.V.¤+							18,859,871		373,738		418,595
Maxeda DIY B.V.¤+							10,446		–		–

Total Retail Stores							18,870,317		373,738		418,595

Total Common Stocks							18,872,346		373,738		422,335

Total Equities							18,872,346		373,738		422,335

	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 94.2%:**

*Asset-Backed Securities — 15.3%:**

*CDO/CLO — 15.3%:**
ALM VI Ltd. 2012-6A ER^		7.23	^#%		7/15/2026		371,795		230,356		257,052
Apidos CLO XII 2013-12A F^		5.53	^#		4/15/2025		500,000		451,875		328,664
Apidos CLO XV 2013-15A E^		6.13	^#		10/20/2025		500,000		465,123		339,689
Apidos CLO XVI 2013-16A D^		5.13	^#		1/19/2025		500,000		442,694		397,811
Atlas Senior Loan Fund VI Ltd. 2014-6A E^		5.83	^#		10/15/2026		800,000		735,393		634,592
Atrium IX 9A E^		5.67	^#		2/28/2024		500,000		425,078		425,691
Avery Point IV CLO Ltd. 2014-1A E^		5.24	^#		4/25/2026		500,000		463,831		371,993
BlueMountain CLO Ltd. 2014-1A^		Zero Coupon			4/30/2026		250,000		239,846		151,935
Cairn CLO B.V. 2013-3A E+^		4.90	^#		10/20/2028		1,000,000		1,024,133		928,275
Carlyle Global Market Strategies CLO Ltd. 2013-3A D^		5.23	^#		7/15/2025		500,000		460,710		407,187
Carlyle Global Market Strategies CLO Ltd. 2013-4A E^		5.13	^#		10/15/2025		500,000		465,696		404,993
Carlyle Global Market Strategies CLO Ltd. 2013-4A F^		5.83	^#		10/15/2025		500,000		458,383		331,216
Carlyle Global Market Strategies CLO Ltd. 2014-1A E^		5.08	^#		4/17/2025		1,000,000		893,280		794,170
Carlyle Global Market Strategies CLO Ltd. 2014-5A D^		5.40	^#		10/16/2025		500,000		455,594		401,317
Dryden 41 Senior Loan Fund 2015-41A E^		6.28	^#		1/15/2028		500,000		466,242		421,336
Dryden XXXI Senior Loan Fund 2014-31A E^		4.88	^#		4/18/2026		1,000,000		898,673		751,275
Dryden XXXI Senior Loan Fund 2014-31A F^		5.98	^#		4/18/2026		500,000		463,832		298,623
Eaton Vance CLO Ltd. 2013-1A D^		5.63	^#		11/13/2024		500,000		467,898		407,076
GoldenTree Loan Opportunities VII Ltd. 2013-7A F^		5.89	^#		4/25/2025		500,000		469,210		336,519

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)

CDO/CLO (Continued)
LCM XIII LP 13A E^		5.48	^#%		1/19/2023		750,000		$707,677		$638,751
LCM XV LP 15A E1^		5.11	^#		8/25/2024		500,000		469,832		394,811
LCM XVII LP 17A E^		5.38	^#		10/15/2026		1,000,000		902,772		803,130
Madison Park Funding XIII Ltd. 2014-13A^		Zero Coupon			1/19/2025		500,000		394,736		354,753
Oak Hill Credit Partners X Ltd. 2014-10A^		Zero Coupon			7/20/2026		500,000		453,505		283,924
OHA Credit Partners IX Ltd. 2013-9A E^		5.63			10/20/2025		500,000		470,375		415,331
Pinnacle Park CLO Ltd. 2014-1A E^		5.58	^#		4/15/2026		500,000		471,820		392,733
Seneca Park CLO Ltd. 2014-1A E^		5.33	^#		7/17/2026		1,020,000		933,579		761,009
Silver Spring CLO Ltd. 2014-1A E^		5.53	^#		10/15/2026		1,000,000		910,783		506,569
Symphony CLO XI Ltd. 2013-11A D^		4.63	^#		1/17/2025		500,000		456,082		485,608
Tryon Park CLO Ltd. 2013-1A D^		5.03	^#		7/15/2025		500,000		466,314		396,610
Voya CLO Ltd. 2013-2A E^		6.14	^#		4/25/2025		500,000		468,776		326,356
Voya CLO Ltd. 2013-3A D^		5.13	^#		1/18/2026		750,000		680,800		601,660
Voya CLO Ltd. 2014-3A D^		5.64	^#		7/25/2026		500,000		459,893		388,045

Total CDO/CLO							19,941,795		18,224,791		15,138,704

Total Asset-Backed Securities							19,941,795		18,224,791		15,138,704


Bank Loans — 24.3%§:**

*Aerospace and Defense — 1.1%:**
Swissport Investments SA+		6.25			2/9/2022		500,000		532,054		546,452
TransDigm, Inc.		3.75			5/14/2022		497,603		492,194		489,363

Total Aerospace and Defense							997,603		1,024,248		1,035,815


*Beverage, Food and Tobacco — 0.4%:**
Deoleo SA+		4.50			6/11/2021		500,000		554,155		436,503


*Broadcasting and Entertainment — 0.6%:**
All3Media International+		5.25			6/30/2021		500,000		834,582		621,947


*Chemicals, Plastics and Rubber — 2.3%:**
Allnex (Luxembourg) & Cy S.C.A.+		4.25			5/31/2023		285,162		283,736		281,597
Allnex USA, Inc.+		4.25			5/31/2023		214,838		213,764		212,153
MacDermid, Inc.		5.50			6/7/2020		464,875		456,733		458,134
Methanol Holdings (Trinidad) Ltd.		4.25			6/30/2022		348,965		345,966		341,986
Styrolution Group GmbH+		6.50			11/7/2019		492,500		608,326		546,279
Tronox Pigments (United States) B.V.		4.50			3/19/2020		498,715		479,217		476,272

Total Chemicals, Plastics and Rubber							2,305,055		2,387,742		2,316,421


*Containers, Packaging and Glass — 0.6%:**
Consolidated Container Co. LLC		7.75			1/3/2020		94,140		92,942		84,177
Prolampac Intermediate, Inc.		9.25			8/18/2023		500,000		491,061		470,000

Total Containers, Packaging and Glass							594,140		584,003		554,177

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)

*Diversified/Conglomerate Manufacturing — 0.8%:**
MTS Systems Corp.		4.25	%		6/21/2023		111,340		$109,842		$110,923
Triple Point Technology, Inc.		5.25			7/10/2020		336,858		316,873		275,661
Triple Point Technology, Inc.††		9.25			7/10/2021		50,846		47,922		31,016
West Corp.		2.71			7/1/2019		356,497		348,158		346,693

Total Diversified/Conglomerate Manufacturing							855,541		822,795		764,293


*Diversified/Conglomerate Service — 2.1%:**
Aquilex Holdings LLC		5.00			12/31/2020		91,838		91,689		87,246
Atrium Innovations, Inc.+		4.25			2/13/2021		459,352		458,202		444,997
MH Sub I LLC		8.50			7/8/2022		650,000		646,694		627,250
Power Team Services LLC		8.25			11/6/2020		300,000		299,037		291,000
RP Crown Parent LLC		6.00			12/21/2018		542,637		543,780		509,569
RP Crown Parent LLC		11.25			12/20/2019		178,571		182,012		147,619

Total Diversified/Conglomerate Service							2,222,398		2,221,414		2,107,681


*Ecological — 0.8%:**
Biffa Waste Services Ltd.+		5.59			1/30/2018		500,000		702,492		639,972
Emerald 3 Ltd.+		8.00			5/31/2022		196,488		193,638		174,874

Total Ecological							696,488		896,130		814,846


*Electronics — 0.2%:**
Western Digital Corp.		6.25			4/29/2023		205,471		199,445		206,114


*Finance — 0.9%:**
Moneygram International, Inc.		4.25			3/27/2020		632,629		604,358		597,240
Sedgwick Claims Management Services, Inc.		3.75			3/1/2021		291,932		291,444		284,998

Total Finance							924,561		895,802		882,238


*Healthcare, Education and Childcare — 1.9%:**
Rodenstock GmbH+		4.14			5/30/2019		500,000		533,123		521,582
Synarc-Biocore Holdings LLC		5.50			3/10/2021		391,861		389,221		384,024
Synarc-Biocore Holdings LLC		9.25			3/10/2022		500,000		496,427		475,000
Tecomet, Inc.		5.75			12/5/2021		576,570		548,549		541,976

Total Healthcare, Education and Childcare							1,968,431		1,967,320		1,922,582


*Hotels, Motels, Inns and Gaming — 0.7%:**
Compass Holdco 2 Ltd.+		5.82			11/10/2022		500,000		755,482		661,105


*Leisure, Amusement, Entertainment — 1.5%:**
AP NMT Acquisition B.V.+		7.00			8/13/2021		399,222		487,112		373,480
AP NMT Acquisition B.V.+		10.00			8/13/2022		300,000		281,518		191,250
Delta 2 (Lux) Sarl+		7.75			7/31/2022		125,000		124,628		118,281
WMG Acquisition Corp.		3.75			7/1/2020		790,545		784,550		780,663

Total Leisure, Amusement, Entertainment							1,614,767		1,677,808		1,463,674

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)

*Machinery Non-Agriculture, Non-Construction, Non-Electronic — 1.0%:**
Alison Bidco Sarl+		5.25	%		8/29/2021		146,028		$144,946		$142,256
Gardner Denver, Inc.		4.25			7/30/2020		864,934		824,936		794,295

Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							1,010,962		969,882		936,551


*Mining, Steel, Iron and Non-Precious Metals — 1.2%:**
Arch Coal, Inc.		5.00			1/31/2017		269,993		269,993		265,943
Arch Coal, Inc.		7.50			5/16/2018		738,547		732,820		338,808
Boomerang Tube LLC¤		15.00			2/2/2020		32,825		32,900		32,825
Boomerang Tube LLC¤		15.65			2/2/2020		87,925		87,925		87,925
Boomerang Tube LLC¤		17.50			2/2/2020		72,403		72,403		72,403
Boomerang Tube LLC¤		20.00			2/2/2020		31,324		28,767		28,192
Murray Energy Corp.		7.50			4/16/2020		197,750		193,225		143,369
Zekelman Industries, Inc.		6.00			6/14/2021		180,195		178,393		179,894

Total Mining, Steel, Iron and Non-Precious Metals							1,610,962		1,596,426		1,149,359


*Oil and Gas — 2.8%:**
American Energy – Marcellus LLC		7.50			8/4/2021		60,369		59,708		8,955
Caelus Energy Alaska O3 LLC		8.75			4/15/2020		846,154		774,350		499,231
Fieldwood Energy LLC		7.00			9/30/2018		649,368		575,127		534,644
Fieldwood Energy LLC PIK		7.13			9/30/2020		1,885,340		767,304		735,543
Floatel International Ltd.		6.00			6/27/2020		201,176		199,820		121,913
Jonah Energy LLC		7.50			5/12/2021		173,566		171,753		151,436
Paragon Offshore Finance Co.		5.25			7/18/2021		479,874		390,543		119,968
Seadrill Partners Finco LLC		4.00			2/21/2021		253,761		160,141		112,670
Southcross Holdings Borrower LP		9.00			4/13/2023		9,730		9,730		8,173
Western Refining, Inc.		4.50			6/23/2023		500,000		490,000		486,460

Total Oil and Gas							5,059,338		3,598,476		2,778,993


*Printing and Publishing — 2.0%:**
Springer Science+Business Media Deutschland GmbH+		3.75			8/14/2020		500,000		559,816		552,101
Springer Science+Business Media Deutschland GmbH+		9.00			8/14/2021		1,300,000		1,496,048		1,471,528

Total Printing and Publishing							1,800,000		2,055,864		2,023,629


*Retail Stores — 2.1%:**
Academy, Ltd.		5.00			7/1/2022		497,341		475,749		465,014
Container Store, Inc. (The)		4.25			4/6/2019		498,587		452,742		432,524
Mattress Holding Corp.		6.25			10/20/2021		623,952		608,664		608,354
Maxeda DIY B.V.+		7.00			6/28/2019		583,333		635,206		521,579

Total Retail Stores							2,203,213		2,172,361		2,027,471

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Bank Loans (Continued)

*Utilities — 1.3%:**
Dynegy, Inc.		4.00	%		6/20/2023		499,093		$494,102		$490,050
EFS Cogen Holdings I LLC		4.25			6/22/2023		794,138		786,180		795,130

Total Utilities							1,293,231		1,280,282		1,285,180


Total Bank Loans							26,862,161		26,494,217		23,988,579

Corporate Bonds — 54.6%:**

*Aerospace and Defense — 0.8%:**
CPI International, Inc.		8.75			2/15/2018		814,000		824,199		807,895


*Automobile — 3.4%:**
Allied Specialty Vehicles, Inc.^		8.50			11/1/2019		1,000,000		1,022,242		1,012,500
Gates Global LLC/Gates Global Co.^		6.00			7/15/2022		1,000,000		775,486		875,000
International Automotive Components Group SA^		9.13			6/1/2018		940,000		956,280		940,000
JB Poindexter & Co., Inc.^		9.00			4/1/2022		500,000		521,420		520,000

Total Automobile							3,440,000		3,275,428		3,347,500


*Banking — 0.3%:**
Lock AS+		7.00			8/15/2021		250,000		335,562		282,293


*Beverage, Food and Tobacco — 0.9%:**
Boparan Finance PLC+		5.50			7/15/2021		450,000		625,868		522,682
Pizzaexpress Financing 2 PLC+		6.63			8/1/2021		150,000		254,595		187,175
US Foods, Inc.^		5.88			6/15/2024		154,000		154,000		157,850

Total Beverage, Food and Tobacco							754,000		1,034,463		867,707


*Broadcasting and Entertainment — 2.6%:**
DISH DBS Corp.^		7.75			7/1/2026		750,000		755,615		772,500
Entertainment One Ltd.+		6.88			12/15/2022		200,000		302,472		267,422
RCN Telecom Services LLC/RCN Capital Corp.^		8.50			8/15/2020		775,000		777,436		794,375
Unitymedia GmbH+		3.75			1/15/2027		300,000		335,460		304,626
Univision Communications, Inc.^		8.50			5/15/2021		393,000		400,809		410,685

Total Broadcasting and Entertainment							2,418,000		2,571,792		2,549,608


*Buildings and Real Estate — 1.9%:**
Brookfield Residential Properties, Inc.^+		6.38			5/15/2025		400,000		365,076		365,000
Cemex Finance LLC+^		9.38			10/12/2022		400,000		434,122		440,000
Cemex SAB de CV+		4.38			3/5/2023		100,000		111,980		107,746
Keystone Financing PLC+		9.50			10/15/2019		350,000		564,491		469,618
Paroc Group Oy+		6.25			5/15/2020		100,000		137,565		110,087
Paroc Group Oy MTN+		4.99	^#		5/15/2020		100,000		137,565		106,813
William Lyon Homes, Inc.		7.00			8/15/2022		295,000		300,349		292,050

Total Buildings and Real Estate							1,745,000		2,051,148		1,891,314

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Cargo Transport — 2.9%:**
Deck Chassis Acquisition, Inc.^		10.00	%		6/15/2023		580,000		$580,000		$600,300
DH Services Luxembourg Sarl^		7.75			12/15/2020		200,000		204,415		209,500
Moto Finance PLC+		6.38			9/1/2020		200,000		300,551		271,575
OPE KAG Finance Sub, Inc.^		7.88			7/31/2023		1,367,000		1,367,000		1,346,495
WFS Global Holding SAS+		9.50			7/15/2022		150,000		170,153		155,643
WFS Global Holding SAS+		12.50			12/30/2022		300,000		328,145		298,660

Total Cargo Transport							2,797,000		2,950,264		2,882,173


*Chemicals, Plastics and Rubber — 3.6%:**
Consolidated Energy Finance SA+^		6.75			10/15/2019		1,000,000		994,310		940,000
Huntsman International LLC		4.25			4/1/2025		300,000		279,134		301,131
Ineos Finance PLC+		4.00			5/1/2023		200,000		216,510		212,863
LSB Industries, Inc.		7.75			8/1/2019		270,000		232,239		268,988
Monitchem HoldCo 3 SA+		5.25			6/15/2021		100,000		112,352		109,310
OMNOVA Solutions, Inc.		7.88			11/1/2018		723,000		733,034		723,000
Pinnacle Operating Corp.^		9.00			11/15/2020		600,000		613,261		504,000
PSPC Escrow Corp.		6.00			2/1/2023		250,000		243,335		234,435
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc.		6.38			5/1/2022		200,000		219,674		223,226

Total Chemicals, Plastics and Rubber							3,643,000		3,643,849		3,516,953


*Containers, Packaging and Glass — 3.7%:**
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.+		6.75			5/15/2024		300,000		343,086		337,919
Coveris Holdings SA^		7.88			11/1/2019		900,000		902,481		874,125
Iron Mountain Europe PLC+		6.13			9/15/2022		300,000		432,933		402,769
Mustang Merger Corp.^		8.50			8/15/2021		750,000		746,622		783,750
SIG Combibloc Holdings SCA+		7.75			2/15/2023		400,000		459,340		467,382
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc.^		6.38			5/1/2022		500,000		488,957		478,125
Verallia Packaging SASU+		5.13			8/1/2022		300,000		340,753		340,832

Total Containers, Packaging and Glass							3,450,000		3,714,172		3,684,902


*Diversified Natural Resources, Precious Metals and Minerals — 0.2%:**
Ence Energia y Celulosa SA+		5.38			11/1/2022		200,000		224,776		233,259


*Diversified/Conglomerate Manufacturing — 3.2%:**
Appvion, Inc.^		9.00			6/1/2020		500,000		510,716		283,125
CTP Transportation Products LLC/CTP Finance, Inc.^		8.25			12/15/2019		648,000		662,012		570,240
EnPro Industries, Inc.		5.88			9/15/2022		400,000		403,792		402,000
Galapagos SA+		5.38			6/15/2021		175,000		219,658		179,058
Griffon Corp.^		5.25			3/1/2022		800,000		790,257		790,000
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary		7.88			6/1/2021		500,000		515,431		495,000
West Corp.^		5.38			7/15/2022		500,000		477,420		465,000

Total Diversified/Conglomerate Manufacturing							3,523,000		3,579,286		3,184,423

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Diversified/Conglomerate Service — 2.3%:**
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.^		6.38	%		4/1/2024		261,000		$258,393		$258,390
Carlson Travel Holdings, Inc. PIK^		7.50			8/15/2019		665,000		672,237		635,075
Verisure Holding AB+		6.00			11/1/2022		450,000		500,405		531,598
Zachry Holdings, Inc.^		7.50			2/1/2020		871,000		868,038		862,290

Total Diversified/Conglomerate Service							2,247,000		2,299,073		2,287,353


*Electronics — 1.0%:**
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		491,000		491,000		520,460
WESCO Distribution, Inc.^		5.38			6/15/2024		443,000		443,000		443,000

Total Electronics							934,000		934,000		963,460


*Finance — 3.4%:**
Arrow Global Finance PLC+		4.75	^#		5/1/2023		100,000		111,201		109,310
Cabot Financial Luxembourg SA+		10.38			10/1/2019		100,000		170,917		140,447
Galaxy Finco Ltd.+		7.88			11/15/2021		550,000		817,083		717,543
Garfunkelux Holdco 3 SA+		7.50			8/1/2022		100,000		110,662		108,645
Garfunkelux Holdco 3 SA+		8.50			11/1/2022		650,000		1,006,940		818,499
Marlin Intermediate Holdings PLC MTN+		10.50			8/1/2020		200,000		306,392		287,550
National Financial Partners Corp.^		9.00			7/15/2021		279,000		277,807		268,886
TMF Group Holding BV+		9.88			12/1/2019		800,000		1,076,055		947,282

Total Finance							2,779,000		3,877,057		3,398,162


*Grocery — 0.3%:**
Premier Foods Finance PLC+		6.50			3/15/2021		200,000		338,743		252,937


*Healthcare, Education and Childcare — 3.3%:**
Alere, Inc.^		6.38			7/1/2023		490,000		490,000		510,825
Capsugel SA PIK^		7.00			5/15/2019		500,000		504,660		501,250
Care UK Health & Social Care PLC+		5.59	^#		7/15/2019		100,000		153,513		109,163
Cerberus Nightingale 1 Sarl+		8.25			2/1/2020		550,000		627,428		621,959
Cognita Financing PLC+		7.75			8/15/2021		350,000		545,450		472,469
ConvaTec Healthcare E SA^		10.50			12/15/2018		200,000		202,518		204,500
Ephios Bondco PLC+		6.25			7/1/2022		100,000		114,600		117,079
Kinetic Concepts, Inc./KCI USA, Inc.^		7.88			2/15/2021		199,000		209,399		211,561
Tenet Healthcare Corp.		6.75			6/15/2023		294,000		292,680		281,505
Unilabs Subholding AB+		8.50			7/15/2018		200,000		281,209		226,478

Total Healthcare, Education and Childcare							2,983,000		3,421,457		3,256,789


*Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.5%:**
LSF9 Balta Issuer SA+		7.75			9/15/2022		400,000		480,303		467,515


*Hotels, Motels, Inns and Gaming — 0.4%:**
Gala Electric Casinos PLC+		11.50			6/1/2019		63,636		110,775		87,363
TVL Finance PLC+		8.50			5/15/2023		250,000		366,342		320,915

Total Hotels, Motels, Inns and Gaming							313,636		477,117		408,278

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Leisure, Amusement, Entertainment — 2.6%:**
CPUK Finance Ltd.+		7.00	%		2/28/2042		483,000		$734,387		$659,068
Interval Acquisition Corp.		5.63			4/15/2023		459,000		459,000		460,148
Odeon & UCI Finco PLC MTN+		9.00			8/1/2018		200,000		318,173		268,380
Perform Group Financing PLC+		8.50			11/15/2020		150,000		224,140		180,717
WMG Acquisition Corp.^		6.75			4/15/2022		950,000		898,786		957,125

Total Leisure, Amusement, Entertainment							2,242,000		2,634,486		2,525,438


*Machinery Non-Agriculture, Non-Construction, Non-Electronic — 2.3%:**
Apex Tool Group LLC^		7.00			2/1/2021		750,000		657,631		646,875
Milacron LLC/Mcron Finance Corp.^		7.75			2/15/2021		905,000		929,319		932,150
Xerium Technologies, Inc.		8.88			6/15/2018		720,000		731,827		709,200

Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							2,375,000		2,318,777		2,288,225


*Mining, Steel, Iron and Non-Precious Metals — 0.7%:**
BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC^+		6.50			5/15/2021		166,000		166,000		171,876
Constellium NV+		7.00			1/15/2023		600,000		644,246		536,342

Total Mining, Steel, Iron and Non-Precious Metals							766,000		810,246		708,218


*Oil and Gas — 3.5%:**
Calumet Specialty Products Partners LP/Calumet Finance Corp.		6.50			4/15/2021		500,000		500,000		357,500
Calumet Specialty Products Partners LP/Calumet Finance Corp.		7.75			4/15/2023		250,000		175,250		171,875
Citgo Holding, Inc.^		10.75			2/15/2020		350,000		340,455		351,750
Energy Transfer Equity LP		5.50			6/1/2027		111,000		95,348		104,340
EP Energy LLC/Everest Acquisition Finance, Inc.		9.38			5/1/2020		350,000		278,871		247,625
Genesis Energy LP/Genesis Energy Finance Corp.		6.75			8/1/2022		500,000		480,526		485,000
Kosmos Energy Ltd.^		7.88			8/1/2021		571,000		532,242		551,015
Shelf Drilling Holdings Ltd.+^		8.63			11/1/2018		439,000		381,213		322,665
Sunoco LP/Sunoco Finance Corp.^		5.50			8/1/2020		302,000		302,000		298,225
Sunoco LP/Sunoco Finance Corp.^		6.25			4/15/2021		600,000		598,559		598,500

Total Oil and Gas							3,973,000		3,684,464		3,488,495


*Personal and Non-Durable Consumer Products Mfg. Only — 0.1%:**
WEPA Hygieneprodukte GmbH+		3.75			5/15/2024		100,000		114,230		110,995


*Personal Transportation — 1.2%:**
AA Bond Co. Ltd.+		5.50			7/31/2043		600,000		847,469		760,809
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.^		5.25			3/15/2025		500,000		451,273		452,500

Total Personal Transportation							1,100,000		1,298,742		1,213,309

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Personal, Food and Miscellaneous — 0.3%:**
Landry’s, Inc.^		9.38	%		5/1/2020		70,000		$73,417		$73,500
Wagamama Finance PLC+		7.88			2/1/2020		200,000		298,487		270,909

Total Personal, Food and Miscellaneous							270,000		371,904		344,409


*Printing and Publishing — 1.0%:**
Cimpress NV^		7.00			4/1/2022		470,000		457,153		465,300
MHGE Parent LLC/MHGE Parent Finance, Inc.^		8.50			8/1/2019		500,000		507,939		505,000

Total Printing and Publishing							970,000		965,092		970,300


*Retail Stores — 2.7%:**
BiSoho SAS+		5.88			5/1/2023		100,000		114,230		113,746
Boing Group Financing PLC MTN+		6.63			7/15/2019		200,000		272,200		203,528
Brighthouse Group PLC MTN+		7.88			5/15/2018		150,000		242,271		179,549
Dollar Tree, Inc.^		5.25			3/1/2020		50,000		51,129		51,500
Dollar Tree, Inc.^		5.75			3/1/2023		815,000		839,744		865,938
Douglas GmbH+		6.25			7/15/2022		550,000		614,377		650,036
House of Fraser Funding PLC+		6.32	^#		9/15/2020		150,000		232,168		185,789
HSS Financing PLC+		6.75			8/1/2019		204,000		307,969		264,514
Takko Luxembourg 2 S.C.A. MTN+		9.88			4/15/2019		300,000		329,851		188,935

Total Retail Stores							2,519,000		3,003,939		2,703,535


*Telecommunications — 5.0%:**
Altice Financing SA^+		7.50			5/15/2026		825,000		827,101		808,500
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.88			5/1/2027		391,000		391,000		403,707
eircom Finance DAC+		4.50			5/31/2022		150,000		170,363		164,249
LGE HoldCo VI BV+		7.13			5/15/2024		250,000		309,712		305,875
Numericable-SFR SA^+		7.38			5/1/2026		397,000		397,000		392,534
Numericable-SFR SAS+		5.63			5/15/2024		100,000		138,165		111,625
Numericable-SFR SAS+^		6.00			5/15/2022		315,000		315,000		306,337
T-Mobile USA, Inc.		6.50			1/15/2026		294,000		294,000		310,170
Telenet Finance VI Luxembourg SCA+		4.88			7/15/2027		100,000		114,290		112,640
UPCB Finance IV Ltd.+		4.00			1/15/2027		250,000		278,660		268,074
Virgin Media Finance PLC+		6.38			10/15/2024		250,000		375,512		331,148
VTR Finance BV^+		6.88			1/15/2024		250,000		243,404		249,245
Wind Acquisition Finance SA+		3.75	^#		7/15/2020		100,000		135,965		107,646
Wind Acquisition Finance SA+		4.00			7/15/2020		200,000		243,182		218,621
Wind Acquisition Finance SA+^		7.38			4/23/2021		850,000		801,636		809,625

Total Telecommunications							4,722,000		5,034,990		4,899,996


*Textiles and Leather — 0.2%:**
Hanesbrands, Inc.^		4.88			5/15/2026		167,000		167,000		167,601

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Utilities — 0.3%:**
NRG Energy, Inc.^		7.25	%		5/15/2026		327,000		$327,000		$325,365

Total Corporate Bonds							52,421,636		56,763,559		54,028,407


Total Fixed Income							99,225,592		101,482,567		93,155,690


*Short-Term Investment — 7.9%:**

*Bank Deposit — 7.9%:**
State Street Bank & Trust Co. Euro Time Deposit		0.01			7/1/2016		7,849,066		7,849,066		7,849,066

Total Investments							125,947,004		109,705,371		101,427,091


Other assets and liabilities — (2.5%)											(2,506,395	)


Net Assets — 100.0%											$98,920,696

MTN	Medium Term Note

PIK	Payment-in-kind

‡‡	Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

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

+	Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:


		United States			64.0%
		United Kingdom			10.5%
		Germany			6.4%
		Netherlands			3.9%
		France			3.2%
		Switzerland			1.6%
		Cayman Islands			1.3%
		Italy			1.2%
		Trinidad And Tobago			1.0%
		Other (Individually less than 1%)			6.9%

		Total			100.0%

^	Security acquired in a transaction 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.

#	Variable rate security. The interest rate shown is the rate in effect at June 30, 2016.

††	Illiquid security.

¤	For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2).

(1)	Non-income producing security.

See accompanying Notes to the Financial Statements.

Babson Global Credit Income Opportunities Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016

A summary of outstanding financial instruments at June 30, 2016 is as follows:

Forward Foreign Currency Exchange Contracts to Buy


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/14/16	Bank of America N.A.		EUR	384,522		426,855		425,565	$	1,290
7/14/16	JPMorgan Chase Bank N.A.		GBP	224,713		299,164		299,966		(802	)

Net unrealized appreciation on forward foreign exchange contracts to buy									$	488

Forward Foreign Currency Exchange Contracts to Sell


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION
7/14/16	Citibank N.A.		EUR	674,045		748,253		764,011	$	15,758
7/14/16	JPMorgan Chase Bank N.A.		EUR	14,193,436		15,756,035		16,134,251		378,216
7/14/16	Morgan Stanley & Co.		EUR	647,500		718,785		734,692		15,907
7/14/16	JPMorgan Chase Bank N.A.		GBP	7,718,113		10,275,248		11,243,762		968,514

Net unrealized appreciation on forward foreign exchange contracts to sell									$	1,378,395

Currency Legend


EUR	–	Euro
GBP	–	British Pound Sterling

See accompanying Notes to the Financial Statements.

Babson Active Short Duration Bond Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 95.4%:**

Asset-Backed Securities — 30.5%:**

*CDO/CLO — 9.8%:**
AIMCO CLO Series 2014-A A^		2.17	^#%		7/20/2026		450,000		$448,894		$448,142
ALM XIV Ltd. 2014-14A A1^		2.06	^#		7/28/2026		500,000		498,819		497,961
American Credit Acceptance Receivables Trust 2016-2^		2.22			7/13/2020		462,612		462,601		462,753
Apidos CLO XVII Series 2014-17A A1^		2.13	^#		4/17/2026		450,000		448,894		449,293
Atlas Senior Loan Fund V Ltd. 2014-1A A^		2.18	^#		7/16/2026		500,000		499,629		497,769
BlueMountain CLO Ltd. 2013-3A A^		2.04	^#		10/29/2025		500,000		496,948		497,409
BlueMountain CLO Ltd. 2015-2A A1^		2.06	^#		7/18/2027		500,000		492,597		496,183
Carlyle Global Market Strategies CLO Ltd. 2014-1A A^		2.15	^#		4/17/2025		500,000		500,000		499,341
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1^		2.13	^#		10/15/2026		250,000		250,000		248,884
Chesapeake Funding II LLC^		1.88			6/15/2028		290,000		289,985		289,956
CPS Auto Receivables Trust 2016-B^		2.07			11/15/2019		241,115		241,107		240,938
Credit Acceptance Auto Loan Trust 2016-2^		2.42			11/15/2023		300,000		299,931		302,766
Diamond Resorts Owner Trust 2013-1^		1.95			1/20/2025		504,314		501,052		501,491
Diamond Resorts Owner Trust 2015-2^		2.99			5/22/2028		229,141		231,829		234,053
DRB Prime Student Loan Trust 2016-B^		2.89			6/25/2040		300,000		299,909		302,042
DT Auto Owner Trust 2016-2^		2.92			5/15/2020		460,000		459,991		461,947
Earnest Student Loan Program 2016-B LLC^		2.49	^#		2/26/2035		480,000		480,000		479,993
Elara HGV Timeshare Issuer 2016-A LLC^		2.73			4/25/2028		350,000		349,994		349,959
Flagship Credit Auto Trust 2013-2^		3.21			8/15/2019		250,000		252,734		252,538
Galaxy XX CLO Ltd. 2015-20A A^		2.08	^#		7/20/2027		250,000		246,902		248,079
Goldentree Loan Opportunities VIII Ltd. 2014-8A A^		2.08	^#		4/19/2026		900,000		896,014		896,470
LCM XVI LP 16A A^		2.13	^#		7/15/2026		250,000		250,000		249,254
Leaf Receivables Funding 11 LLC^		1.00	^#		6/15/2017		451,648		451,648		451,652
Madison Park Funding XII Ltd. 2014-12A A^		2.13	^#		7/20/2026		250,000		248,326		249,573
Madison Park Funding XIV Ltd. 2014-14A A2^		2.08	^#		7/20/2026		250,000		249,852		249,142
Morgan Stanley ABS Capital I, Inc. Trust 2005-WMC6		1.20	^#		7/25/2035		43,631		43,199		43,384
Navitas Equipment Receivables LLC 2015-1^		2.12			11/15/2018		292,200		292,112		292,351
NextGear Floorplan Master Owner Trust^		2.14	^#		4/15/2021		490,000		490,000		491,043
OHA Credit Partners VI Ltd. Series 2012-6A AR^		1.85	^#		5/15/2023		623,675		621,033		622,296
OHA Loan Funding 2015-1 Ltd.^		2.13	^#		2/15/2027		350,000		350,000		349,301
OnDeck Asset Securitization Trust II LLC^		4.21			5/17/2020		110,000		109,993		110,447
Oscar US Funding Trust 2015 1A A4^		2.44			6/15/2022		270,000		262,118		267,767
Oxford Finance Funding 2016-1 LLC^		3.97			6/17/2024		170,000		170,000		169,896
Santander Drive Auto Receivables Trust 2015-2		2.44			4/15/2021		420,000		422,983		424,404
Santander Drive Auto Receivables Trust 2016-1		4.02			4/15/2022		430,000		440,840		444,100
Seneca Park CLO Ltd. 2014-1A A^		2.11	^#		7/17/2026		360,000		358,492		359,131
SMB Private Education Loan Trust 2015-A^		1.44	^#		6/15/2027		100,000		98,188		96,058
SMB Private Education Loan Trust 2016-A^		1.14	^#		5/15/2023		550,000		550,000		549,998

See accompanying Notes to the Financial Statements.

Babson Active Short Duration Bond Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)

CDO/CLO (Continued)
SoFi Professional Loan Program 2016-B LLC^		1.64	^#%		6/25/2033		350,000		$350,000		$349,998
SoFi Professional Loan Program 2016-B LLC^		1.68			3/25/2031		340,000		339,972		339,730
Symphony CLO XV Ltd. 2014-15A A^		2.08	^#		10/17/2026		250,000		248,063		249,366
Westlake Automobile Receivables Trust 2016-2^		1.57			6/17/2019		290,000		289,983		290,341

Total CDO/CLO							15,308,336		15,284,632		15,307,199


*Other Asset-Backed Securities — 20.7%:**
321 Henderson Receivables II LLC 2006-3A A1^		0.64	^#		9/15/2041		223,522		216,477		213,262
Access Group, Inc. 2002-A A2		1.96	^#		9/25/2037		950,000		871,974		897,750
Access Group, Inc. 2005-1 A3		0.80	^#		6/22/2022		111,773		110,292		110,306
Access Group, Inc. 2015-1 A^		1.15	^#		7/25/2056		191,209		186,977		186,924
Access Group, Inc. 2015-1 B^		1.95	^#		7/25/2058		100,000		86,230		87,238
Alterna Funding I LLC Series 2014-1A^		1.64			2/15/2021		353,743		349,543		344,015
American Credit Acceptance Receivables Trust 2015-3 A^		1.95			9/12/2019		86,319		86,314		86,231
American Credit Acceptance Receivables Trust 2016-1A^		2.37			5/12/2020		92,252		92,251		92,285
AmeriCredit Automobile Receivables Trust 2014-1 D		2.54			6/8/2020		310,000		309,588		313,119
Arbys Funding LLC 2015-1A A2^		4.97			10/30/2045		79,600		79,600		83,083
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-W10		1.35	^#		10/25/2034		391,969		354,284		349,980
ARI Fleet Lease Trust 2016-A A3^		2.11			7/15/2024		200,000		199,962		203,317
Avis Budget Rental Car Funding AESOP LLC Series 2012-3A A^		2.10			3/20/2019		240,000		238,759		241,209
BlueVirgo Trust 2015-1A^		3.00			12/15/2022		330,443		329,078		329,330
California Republic Auto Receivables Trust 2015-4 A4^		2.58			6/15/2021		180,000		179,984		184,912
Capital Automotive REIT 2010-1A A^		5.73			12/15/2038		91,587		95,313		93,711
CarFinance Capital Auto Trust 2013-2A^		4.04			8/15/2019		650,000		653,082		653,119
CarFinance Capital Auto Trust 2014-2^		1.44			11/16/2020		186,428		184,825		185,601
Cazenovia Creek Funding I LLC 2015-1A A^		2.00			12/10/2023		283,296		280,312		281,880
Chase Issuance Trust Series 2014-A1		1.15			1/15/2019		3,000,000		3,004,719		3,006,007
Citi Held For Asset Issuance 2015-PM1 A^		1.85			12/15/2021		34,421		34,421		34,332
Citi Held For Asset Issuance 2015-PM2 A^		2.35			3/15/2022		53,007		53,003		52,959
Citi Held For Asset Issuance 2015-PM3 A^		2.56			5/16/2022		63,443		63,443		63,456
CKE Restaurant Holdings, Inc. 2013-1A A2^		4.47			3/20/2043		461,356		465,790		461,722
CLI Funding V LLC 2013-1A^		2.83			3/18/2028		67,500		67,164		64,765
CLI Funding V LLC 2014-1A A^		3.29			6/18/2029		197,581		191,751		189,302
College Loan Corp. Trust I 2005-2 B		1.12	^#		1/15/2037		237,576		207,933		198,359
CPS Auto Receivables Trust 2013-A A^		1.31			6/15/2020		165,562		164,965		163,968

See accompanying Notes to the Financial Statements.

Babson Active Short Duration Bond Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)

Other Asset-Backed Securities (Continued)
CPS Auto Receivables Trust 2014-D A^		1.49	%		4/15/2019		173,612		$172,839		$173,638
CPS Auto Receivables Trust 2015-B A^		1.65			11/15/2019		187,441		185,880		186,442
CPS Auto Receivables Trust 2015-C A^		1.77			6/17/2019		66,158		66,154		66,094
CPS Auto Receivables Trust 2015-C B^		2.55			2/18/2020		100,000		99,985		99,968
CPS Auto Receivables Trust 2016-A A^		2.25			10/15/2019		136,625		136,620		136,965
Credit Suisse ABS Repackaging Trust 2013-A B^		2.50			1/25/2030		129,282		122,823		122,227
DB Master Finance LLC 2015-1A A2I^		3.26			2/20/2045		488,812		483,395		493,358
Diamond Resorts Owner Trust 2013-2 A^		2.27			5/20/2026		762,638		756,478		760,782
Diamond Resorts Owner Trust 2015-1 A^		2.73			7/20/2027		52,238		52,233		52,756
Diamond Resorts Owner Trust 2015-2 B^		3.54			5/22/2028		83,324		83,320		84,923
Domino’s Pizza Master Issuer LLC 2012-1A A2^		5.22			1/25/2042		236,050		241,774		242,943
Domino’s Pizza Master Issuer LLC 2015 1A-A2I^		3.48			10/25/2045		338,300		332,389		347,704
DRB Prime Student Loan Trust 2015-A A2^		3.06			7/25/2031		120,697		119,128		120,674
DRB Prime Student Loan Trust 2015-B A2^		3.17			7/25/2031		318,456		317,186		323,800
DRB Prime Student Loan Trust 2015-B A3^		2.54			4/27/2026		72,484		72,476		72,381
DRB Prime Student Loan Trust 2015-D A1^		2.15	^#		1/25/2040		267,401		261,642		260,821
DRB Prime Student Loan Trust 2015-D A2^		3.20			1/25/2040		486,303		485,462		496,549
DRB Prime Student Loan Trust 2016-A A1^		2.45	^#		4/25/2040		323,652		322,988		322,725
Drive Auto Receivables Trust 2015-CA A3^		1.38			10/15/2018		170,493		170,489		170,477
Drive Auto Receivables Trust 2016-B^		2.56			6/15/2020		130,000		129,996		130,407
Drug Royalty LP 1 2012-1 A1^		5.88	^#		7/15/2024		90,820		92,981		92,536
DT Auto Owner Trust 2015-3A A^		1.66			3/15/2019		49,287		49,284		49,330
DT Auto Owner Trust 2016-1A A^		2.00			9/16/2019		230,526		230,518		231,213
DT Auto Owner Trust 2016-1A B^		2.79			5/15/2020		230,000		229,990		231,415
Education Funding Capital Trust IV 2004-1 A5		1.45	^#		6/15/2043		50,000		47,028		48,333
Elara HGV Timeshare Issuer LLC 2014-A B^		3.02			2/25/2027		50,502		50,059		50,414
Element Rail Leasing II LLC 2015-1A A1^		2.71			2/19/2045		528,468		523,723		517,902
Element Rail Leasing II LLC 2015-1A A1+^		3.97			3/19/2046		163,766		163,767		165,010
Entegry New Orleans Storm Recovery Funding I LLC 2015-1 A		2.67			6/1/2027		169,078		169,040		176,967
Enterprise Fleet Financing LLC 2016-1 A2^		1.83			9/20/2021		600,000		599,922		599,852
Exeter Automobile Receivables Trust 2015-3A A^		2.00			3/16/2020		177,137		177,208		177,341
First Franklin Mortgage Loan Trust 2005 FF3 M3		1.17	^#		4/25/2035		621,945		618,866		616,195
First Investors Auto Owner Trust 2015-2A A1^		1.59			12/16/2019		35,796		35,796		35,743
First Investors Auto Owner Trust 2016-1A A1^		1.92			5/15/2020		368,922		368,914		370,350
Flagship Credit Auto Trust 2014-1^		1.21			4/15/2019		139,328		138,997		138,924
Flagship Credit Auto Trust 2015-2 A^		1.98			10/15/2020		92,211		92,203		91,975
Flagship Credit Auto Trust 2015-3^		2.38			10/15/2020		123,211		123,211		123,428
Flagship Credit Auto Trust 2016-1 A^		2.77			12/15/2020		434,736		433,763		438,218
FNA 2015-1 Trust^		3.24			12/10/2023		444,901		445,128		444,431
Ford Credit Auto Owner Trust 2015-2 A^		2.44			1/15/2027		130,000		131,204		134,614
FRS I LLC 2013-1A A1^		1.80			4/15/2043		46,717		46,234		45,641
Global SC Finance II SRL 2014-1A A1+^		3.19			7/17/2029		250,583		250,528		238,894

See accompanying Notes to the Financial Statements.

Babson Active Short Duration Bond Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)

Other Asset-Backed Securities (Continued)
Goal Capital Funding Trust 2007-1 C1		1.04	^#%		6/25/2042		200,277		$196,072		$197,210
Goal Structured Solution Trust 2015-1 B^		1.95	^#		9/25/2043		100,000		75,573		87,188
Green Tree Agency Advance Funding Trust I 2015-T2 AT2^		3.09			10/15/2048		100,000		100,000		100,421
GSAMP Trust 2005-SEA2 A1^		0.80	^#		1/25/2045		67,373		64,723		66,650
Hilton Grand Vacations Trust 2013-A^		2.28			1/25/2026		94,496		93,038		94,624
Miramax LLC 2014-1A A2^		3.34			7/20/2026		148,428		148,942		148,956
MVW Owner Trust 2013-1A A^		2.15			4/22/2030		239,778		236,597		237,970
MVW Owner Trust 2015-1A A^		2.52			12/20/2032		78,336		78,330		78,893
National Collegiate Student Loan Trust 2006-3		0.60	^#		10/25/2027		28,003		27,699		27,892
Nations Equipment Finance Funding III LLC 2016-1A A^		3.61			2/20/2021		358,533		358,526		359,269
Navient Private Education Loan Trust 2015-BA A1^		1.04	^#		5/15/2023		23,666		23,637		23,643
Nelnet Student Loan Trust 2008-3 A4		2.31	^#		11/25/2024		225,000		229,097		226,905
NextGear Floorplan Master Owner Trust 2015-2A A^		2.38			10/15/2020		100,000		99,992		100,020
NRZ Advance Receivables Trust 2015-T3 AT3^		2.54			11/15/2046		430,000		430,000		430,127
Ocwen Master Advance Receivables Trust 2015-T1 AT1^		2.54			9/17/2046		100,000		100,000		100,007
Ocwen Master Advance Receivables Trust 2015-T2 AT2^		2.53			11/15/2046		100,000		100,000		100,116
OneMain Financial Issuance Trust 2014-2A A^		2.47			9/18/2024		230,000		230,781		230,499
Oscar US Funding Trust 2016 1A A1^		0.95			4/17/2017		121,168		121,168		121,063
Oscar US Funding Trust 2016 1A A2B^		2.14			7/15/2020		200,000		200,000		199,822
PHEAA Student Loan Trust 2003-1 A3		1.95	^#		7/25/2042		350,000		349,564		350,128
Popular ABS Mortgage Pass-Through Trust 2006-B A3		0.73	^#		5/25/2036		139,300		133,569		135,996
Prestige Auto Receivables Trust 2016 1A A1^		0.85			4/17/2017		197,139		197,139		197,142
Santander Drive Auto Receivables Trust 2014-4 B		1.82			5/15/2019		260,000		260,982		260,912
Santander Drive Auto Receivables Trust 2014-4 D		3.10			11/16/2020		540,000		546,574		550,158
Santander Drive Auto Receivables Trust 2016-1 A1		0.85			2/15/2017		60,106		60,106		60,108
Santander Drive Auto Receivables Trust 2016-1 A3		1.62			3/16/2020		180,000		179,974		180,047
Santander Drive Auto Receivables Trust 2016-1 B		2.47			12/15/2020		360,000		359,982		360,265
SBA Tower Trust 2014-1A C^		2.90			10/15/2044		390,000		389,703		395,415
Sierra Timeshare Receivables Funding LLC 2014-1A A^		2.07			3/20/2030		139,542		138,676		139,231
Sierra Timeshare Receivables Funding LLC 2014-2A A^		2.05			6/20/2031		125,338		123,891		125,083
Sierra Timeshare Receivables Funding LLC 2014-3A A^		2.30			10/20/2031		458,211		455,363		459,601

See accompanying Notes to the Financial Statements.

100

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)

Other Asset-Backed Securities (Continued)
Sierra Timeshare Receivables Funding LLC 2015 3A B^		3.08	%		9/20/2032		68,149		$68,149		$68,323
Sierra Timeshare Receivables Funding LLC 2015-1A A^		2.40			3/22/2032		351,089		346,627		353,552
Sierra Timeshare Receivables Funding LLC 2015-2A B^		3.02			6/20/2032		55,208		55,196		55,436
Sierra Timeshare Receivables Funding LLC 2015-3A A^		2.58			9/20/2032		68,149		68,136		68,835
SLC Private Student Loan Trust 2006-A A5		0.80	^#		7/15/2036		267,774		266,197		266,044
SLC Private Student Loan Trust 2006-A C		1.08	^#		7/15/2036		350,000		308,331		303,977
SLC Student Loan Trust 2005-1 B		0.83	^#		2/15/2045		302,107		250,915		251,518
SLM Student Loan Trust 2003-14 A6		0.94	^#		7/25/2025		40,000		38,391		37,630
SLM Student Loan Trust 2003-4 B		1.30	^#		6/15/2038		146,761		134,160		121,697
SLM Student Loan Trust 2005-4 B		0.82	^#		7/25/2040		461,353		382,749		390,188
SLM Student Loan Trust 2006-1 A5		0.75	^#		7/26/2021		100,000		96,787		97,813
SLM Student Loan Trust 2006-9 A5		0.74	^#		1/26/2026		150,000		145,911		146,801
SLM Student Loan Trust 2008-5 A4		2.34	^#		7/25/2023		95,904		96,984		95,934
SLM Student Loan Trust 2012-5 A2		0.75	^#		6/25/2019		89,336		88,807		88,717
SLM Student Loan Trust 2013-6 A3		1.10	^#		6/25/2055		180,000		171,766		176,562
SoFi Consumer Loan Program 2016-1 LLC^		3.26			8/25/2025		600,000		599,935		603,187
SoFi Professional Loan Program LLC 2014-B A1^		1.70	^#		8/25/2032		306,543		301,420		306,542
SoFi Professional Loan Program LLC 2015-C A2^		2.51			8/25/2033		76,029		75,628		76,798
SoFi Professional Loan Program LLC 2016 A A1^		2.20	^#		8/25/2036		302,342		299,674		304,589
SoFi Professional Loan Program LLC 2016 A A2^		2.76			12/26/2036		331,106		328,118		329,572
SpringCastle America Funding LLC 2014-AA A^		2.70			5/25/2023		392,292		392,257		393,626
SPS Servicer Advance Receivable 2015-T3 AT3^		2.92			7/15/2047		100,000		99,991		100,438
SVO VOI Mortgage LLC 2012-AA A^		2.00			9/20/2029		527,425		519,840		521,587
Taco Bell Funding LLC^		3.83			5/25/2046		330,000		331,104		336,428
Trinity Rail Leasing LP 2012-1A A1^		2.27			1/15/2043		71,729		69,548		69,978
United Auto Credit Securitization Trust 2016-1 A^		2.00			10/15/2017		101,977		101,974		101,952
Wendys Funding LLC 2015 1A A2I^		3.37			6/15/2045		744,375		741,821		748,469
Westgate Resorts LLC 2015-2A A^		3.20			7/20/2028		351,902		351,454		352,599
Westlake Automobile Receivables Trust 2016-1A A1^		0.85			1/15/2017		69,565		69,561		69,566
Westlake Automobile Receivables Trust 2016-1A A2B^		1.49	^#		1/15/2019		420,000		420,000		420,721

Total Other Asset-Backed Securities							32,600,296		32,120,784		32,260,942

Total Asset-Backed Securities							47,908,632		47,405,416		47,568,141

See accompanying Notes to the Financial Statements.

101

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡			COST		FAIR VALUE
Corporate Bonds — 41.0%:**

*Advertising — 0.4%:**
S&P Global, Inc.		2.50	%		8/15/2018		260,000			$260,895		$265,357
S&P Global, Inc.		3.30			8/14/2020		300,000			308,979		313,873

Total Advertising							560,000			569,874		579,230


*Aerospace/Defense — 1.0%:**
Harris Corp.		2.00			4/27/2018		500,000			499,769		502,546
Harris Corp.		2.70			4/27/2020		170,000			166,937		172,310
L-3 Communications Corp.		5.20			10/15/2019		745,000			781,525		811,120

Total Aerospace/Defense							1,415,000			1,448,231		1,485,976


*Agriculture — 1.0%:**
Bunge Ltd. Finance Corp.		3.50			11/24/2020		725,000			736,935		759,958
Imperial Brands Finance PLC+^		2.05			7/20/2018		335,000			333,826		338,756
Imperial Brands Finance PLC+^		2.95			7/21/2020		407,000			413,793		419,121

Total Agriculture							1,467,000			1,484,554		1,517,835


*Airlines — 0.3%:**
WestJet Airlines Ltd.+^		3.50			6/16/2021		490,000			489,339		493,908


*Auto Manufacturers — 2.0%:**
American Honda Finance Corp.+		1.70			2/22/2019		395,000			394,930		401,831
Ford Motor Credit Co. LLC		2.24			6/15/2018		730,000			726,818		737,360
Ford Motor Credit Co. LLC		3.34			3/18/2021		315,000			315,000		326,695
General Motors Co.		3.50			10/2/2018		250,000			254,518		257,394
General Motors Financial Co.		3.20			7/13/2020		690,000			682,459		699,019
Hyundai Capital America^		2.00			7/1/2019		70,000			69,951		70,432
Hyundai Capital America+^		2.40			10/30/2018		150,000			150,063		152,095
Hyundai Capital America^		2.55			2/6/2019		250,000			250,393		254,127
Hyundai Capital America+^		3.00			10/30/2020		280,000			285,398		290,399

Total Auto Manufacturers							3,130,000			3,129,530		3,189,352


*Auto Parts&Equipment — 1.0%:**
Goodyear Tire & Rubber Co. (The)		5.13			11/15/2023		750,000			773,127		774,375
Lear Corp.		4.75			1/15/2023		750,000			774,024		770,625

Total Auto Parts&Equipment							1,500,000			1,547,151		1,545,000


*Beverages — 0.7%:**
Anheuser-Busch InBev Finance, Inc.+		2.65			2/1/2021		295,000			294,152		305,919
Coca-Cola Femsa SAB de CV+		2.38			11/26/2018		594,000			601,163		605,426
Molson Coors Brewing Co.		2.10			7/15/2021		170,000			169,935		170,517

Total Beverages							1,059,000	��		1,065,250		1,081,862


*Biotechnology — 0.5%:**
Celgene Corp.		2.13			8/15/2018		420,000			420,827		426,277
Celgene Corp.		2.25			5/15/2019		250,000			250,439		254,168
Celgene Corp.		2.88			8/15/2020		110,000			113,364		113,754

Total Biotechnology							780,000			784,630		794,199

See accompanying Notes to the Financial Statements.

102

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Chemicals — 1.5%:**
Airgas, Inc.		2.38	%		2/15/2020		250,000		$247,945		$255,143
Airgas, Inc.		3.05			8/1/2020		450,000		457,973		468,375
Ecolab, Inc.		2.00			1/14/2019		235,000		234,677		238,066
Incitec Pivot Finance LLC+^		6.00			12/10/2019		195,000		210,495		212,787
LyondellBasell Industries NV		5.00			4/15/2019		637,000		677,183		689,478
RPM International, Inc.		6.13			10/15/2019		180,000		197,831		200,294
RPM International, Inc.		6.50			2/15/2018		265,000		282,700		283,505

Total Chemicals							2,212,000		2,308,804		2,347,648


*Commercial Banks — 6.2%:**
ANZ New Zealand Int’l Ltd.+^		2.25			2/1/2019		745,000		745,474		756,553
Bank of America Corp.		5.42			3/15/2017		1,000,000		1,025,397		1,028,096
Bank of America Corp. MTN		2.25			4/21/2020		850,000		831,664		854,752
CIT Group, Inc.		4.25			8/15/2017		835,000		846,924		850,448
Credit Agricole SA+^		2.13			4/17/2018		245,000		246,553		247,687
First Horizon National Corp.		3.50			12/15/2020		745,000		741,445		751,822
First Tennessee Bank N.A.		2.95			12/1/2019		550,000		546,933		552,507
Goldman Sachs Group, Inc. (The)		2.38			1/22/2018		590,000		596,442		597,930
Goldman Sachs Group, Inc. (The)		2.55			10/23/2019		650,000		649,670		665,051
Goldman Sachs Group, Inc. (The)		2.88			2/25/2021		90,000		89,860		92,270
Itau Unibanco Holding SA+^		2.85			5/26/2018		400,000		395,515		398,400
Mitsubishi UFJ Trust & Banking Corp.+^		2.65			10/19/2020		650,000		651,262		667,707
Morgan Stanley		2.13			4/25/2018		415,000		417,740		419,343
Morgan Stanley		2.45			2/1/2019		590,000		590,184		601,077
Regions Bank		7.50			5/15/2018		212,000		233,439		232,499
Regions Financial Corp.		2.00			5/15/2018		500,000		498,817		500,874
Regions Financial Corp.		3.20			2/8/2021		260,000		261,279		267,618
SVB Financial Group		5.38			9/15/2020		200,000		220,217		223,257

Total Commercial Banks							9,527,000		9,588,815		9,707,891


*Commercial Services — 0.3%:**
Western Union Co. (The)		5.93			10/1/2016		400,000		404,442		403,912


*Construction Materials — 0.5%:**
Masco Corp.		3.50			4/1/2021		260,000		261,416		265,278
Masco Corp.		7.13			3/15/2020		390,000		444,007		449,085

Total Construction Materials							650,000		705,423		714,363


*Diversified Financial Services — 2.9%:**
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust+		2.75			5/15/2017		415,000		414,331		415,279
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust+		3.95			2/1/2022		380,000		379,301		380,000
Air Lease Corp.		2.13			1/15/2018		530,000		526,225		527,350
Air Lease Corp.		2.63			9/4/2018		125,000		124,548		124,974
Air Lease Corp.		3.38			1/15/2019		200,000		203,882		204,000

See accompanying Notes to the Financial Statements.

103

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

Diversified Financial Services (Continued)
Ally Financial, Inc.		4.75	%		9/10/2018		795,000		$811,723		$810,900
BGC Partners, Inc.^		5.13			5/27/2021		470,000		467,491		471,980
Icahn Enterprises LP/Icahn Enterprises Finance Corp.		3.50			3/15/2017		750,000		749,657		753,225
International Lease Finance Corp.		3.88			4/15/2018		350,000		351,433		356,412
Lazard Group LLC		4.25			11/14/2020		385,000		398,634		409,797

Total Diversified Financial Services							4,400,000		4,427,225		4,453,917


*Electric — 1.4%:**
Ameren Corp.		2.70			11/15/2020		330,000		331,410		339,866
EDP Finance BV+^		4.13			1/15/2020		660,000		674,156		680,856
EDP Finance BV+^		4.90			10/1/2019		89,000		93,857		94,534
Entergy Texas, Inc.		2.55			6/1/2021		170,000		169,692		175,560
Entergy Texas, Inc.		7.13			2/1/2019		300,000		336,107		339,808
IPALCO Enterprises, Inc.		5.00			5/1/2018		150,000		156,480		156,750
Southern Co. (The)		1.85			7/1/2019		130,000		129,976		131,645
Southern Co. (The)		2.35			7/1/2021		260,000		259,653		265,162

Total Electric							2,089,000		2,151,331		2,184,181


*Electronics — 0.1%:**
FLIR Systems, Inc.		3.13			6/15/2021		155,000		154,894		159,148
Tech Data Corp.		3.75			9/21/2017		60,000		61,260		61,481

Total Electronics							215,000		216,154		220,629


*Engineering&Construction — 0.2%:**
SBA Tower Trust^		3.60			4/15/2043		330,000		328,651		332,229


*Environmental Control — 0.3%:**
Clean Harbors, Inc.		5.25			8/1/2020		415,000		423,370		424,856


*Food — 0.5%:**
JBS Investments GmbH+^		7.75			10/28/2020		415,000		445,047		437,825
Tyson Foods, Inc.		2.65			8/15/2019		335,000		337,684		344,160

Total Food							750,000		782,731		781,985


*Forestry and Paper Products — 0.5%:**
Sappi Papier Holding GmbH+^		7.75			7/15/2017		700,000		729,348		726,250


*Hand/Machine Tools — 0.2%:**
Stanley Black & Decker, Inc.		2.45			11/17/2018		325,000		326,873		332,066


*Healthcare-Products — 0.5%:**
Boston Scientific Corp.		2.85			5/15/2020		350,000		354,021		362,580
Zimmer Biomet Holdings, Inc.		2.00			4/1/2018		480,000		480,657		484,011

Total Healthcare-Products							830,000		834,678		846,591

See accompanying Notes to the Financial Statements.

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Healthcare-Services — 2.2%:**
Aetna, Inc.		1.90	%		6/7/2019		410,000		$409,699		$415,326
Anthem, Inc.		1.88			1/15/2018		250,000		250,071		251,415
Cigna Corp.		4.00			2/15/2022		252,000		268,793		271,436
Cigna Corp.		4.50			3/15/2021		420,000		454,873		461,071
HCA, Inc.		3.75			3/15/2019		725,000		735,318		750,375
Humana, Inc.		6.30			8/1/2018		150,000		162,814		164,090
Laboratory Corp. of America Holdings		2.63			2/1/2020		420,000		419,207		428,984
UnitedHealth Group, Inc.		1.70			2/15/2019		750,000		752,472		757,909

Total Healthcare-Services							3,377,000		3,453,247		3,500,606


*Home Builders — 0.5%:**
Lennar Corp.		4.50			6/15/2019		150,000		153,449		155,685
Lennar Corp.		4.50			11/15/2019		500,000		513,607		520,825
Lennar Corp.		4.75			4/1/2021		140,000		140,000		145,600

Total Home Builders							790,000		807,056		822,110


*Housewares — 0.3%:**
Newell Brands, Inc.		2.60			3/29/2019		455,000		454,904		466,912


*Insurance — 2.8%:**
American International Group, Inc.		3.30			3/1/2021		700,000		699,397		723,174
CNA Financial Corp.		5.75			8/15/2021		341,000		377,770		392,614
Lincoln National Corp.		6.25			2/15/2020		300,000		332,306		337,294
Reinsurance Group of America, Inc.		5.63			3/15/2017		450,000		461,933		462,872
TIAA Asset Management Finance Co. LLC^		2.95			11/1/2019		835,000		845,828		855,422
Trinity Acquisition PLC+		3.50			9/15/2021		600,000		602,405		621,954
Unum Group		3.00			5/15/2021		120,000		119,746		122,728
Willis Group Holdings PLC+		5.75			3/15/2021		370,000		407,957		413,733
XLIT Ltd.+		5.75			10/1/2021		335,000		380,513		383,140

Total Insurance							4,051,000		4,227,855		4,312,931


*Internet — 0.5%:**
Alibaba Group Holding Ltd.+		2.50			11/28/2019		250,000		248,405		252,923
Expedia, Inc.		7.46			8/15/2018		539,000		593,486		596,064

Total Internet							789,000		841,891		848,987


*Investment Company Security — 0.5%:**
Ares Capital Corp.		3.88			1/15/2020		150,000		155,570		155,150
Ares Capital Corp.		4.88			11/30/2018		200,000		207,568		209,260
FS Investment Corp.		4.00			7/15/2019		335,000		338,467		338,382

Total Investment Company Security							685,000		701,605		702,792


*IT Services — 0.7%:**
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		3.48			6/1/2019		325,000		324,921		332,933

See accompanying Notes to the Financial Statements.

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

IT Services (Continued)
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		4.42	%		6/15/2021		180,000		$179,949		$185,269
Leidos Holdings, Inc.		4.45			12/1/2020		500,000		496,946		500,000

Total IT Services							1,005,000		1,001,816		1,018,202


*Leisure Time — 0.1%:**
Brunswick Corp.^		4.63			5/15/2021		225,000		225,262		227,813


*Lodging — 0.4%:**
Marriott International, Inc.		2.30			1/15/2022		300,000		298,773		301,803
Marriott International, Inc.		2.88			3/1/2021		275,000		274,159		284,280

Total Lodging							575,000		572,932		586,083


*Machinery-Diversified — 0.2%:**
Case New Holland Industrial, Inc.+		7.88			12/1/2017		360,000		380,525		387,000


*Media — 0.9%:**
Charter Communications Operating LLC/Charter Communications Operating Capital^		3.58			7/23/2020		415,000		415,636		432,347
Sirius XM Radio, Inc.^		4.25			5/15/2020		385,000		386,217		389,225
Sirius XM Radio, Inc.^		5.75			8/1/2021		200,000		206,788		207,750
Viacom, Inc.		6.13			10/5/2017		400,000		416,332		421,637

Total Media							1,400,000		1,424,973		1,450,959


*Mining — 0.5%:**
Glencore Canada Corp.+		5.50			6/15/2017		596,000		611,978		609,523
Glencore Finance Canada Ltd.+^		2.70			10/25/2017		140,000		139,689		139,475

Total Mining							736,000		751,667		748,998


*Miscellaneous Manufacturing — 0.2%:**
Tyco Electronics Group SA+		2.35			8/1/2019		135,000		134,946		137,050
Tyco Electronics Group SA+		2.38			12/17/2018		200,000		201,966		202,961

Total Miscellaneous Manufacturing							335,000		336,912		340,011


*Office/Business Equip — 0.1%:**
Pitney Bowes, Inc.		4.75			5/15/2018		200,000		209,087		210,908


*Packaging and Containers — 0.5%:**
Graphic Packaging International, Inc.		4.75			4/15/2021		750,000		787,149		784,215


*Pharmaceuticals — 2.0%:**
AbbVie, Inc.		1.80			5/14/2018		720,000		721,388		725,054
Actavis Funding SCS+		2.35			3/12/2018		335,000		336,471		339,566
Baxalta, Inc.		2.00			6/22/2018		330,000		329,958		330,168
Express Scripts Holding Co.		3.30			2/25/2021		675,000		674,613		707,814
Mylan NV+^		2.50			6/7/2019		330,000		329,638		334,382
Mylan NV+^		3.15			6/15/2021		635,000		634,272		644,111

Total Pharmaceuticals							3,025,000		3,026,340		3,081,095

See accompanying Notes to the Financial Statements.

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Real Estate Investment Trusts — 2.2%:**
American Tower Corp.		3.30	%		2/15/2021		180,000		$179,758		$187,776
American Tower Corp.		4.50			1/15/2018		300,000		310,683		312,984
Crown Castle International Corp.		3.40			2/15/2021		372,000		383,796		388,344
DDR Corp.		4.75			4/15/2018		445,000		462,897		464,283
DDR Corp. MTN		7.50			7/15/2018		31,000		34,130		34,206
Digital Realty Trust LP		3.40			10/1/2020		385,000		389,357		399,624
Duke Realty LP		3.88			2/15/2021		100,000		103,338		105,785
Duke Realty LP		6.50			1/15/2018		140,000		148,996		150,425
HCP, Inc.		6.00			1/30/2017		390,000		399,741		400,211
Highwoods Realty LP		7.50			4/15/2018		370,000		403,657		403,737
Regency Centers LP		5.88			6/15/2017		150,000		155,740		155,906
Weyerhaeuser Co.		7.38			10/1/2019		315,000		357,168		362,077

Total REITS							3,178,000		3,329,261		3,365,358


*Retail — 1.5%:**
AutoNation, Inc.		3.35			1/15/2021		355,000		356,178		363,509
Best Buy Co., Inc.		5.00			8/1/2018		200,000		206,148		210,624
CVS Health Corp.		2.13			6/1/2021		555,000		553,481		561,825
Dollar Tree, Inc.^		5.75			3/1/2023		750,000		790,641		796,875
Home Depot, Inc. (The)		2.00			4/1/2021		305,000		303,991		313,152
QVC, Inc.		3.13			4/1/2019		103,000		105,602		105,739

Total Retail							2,268,000		2,316,041		2,351,724


*Semiconductors — 0.7%:**
KLA-Tencor Corp.		2.38			11/1/2017		390,000		391,892		393,324
KLA-Tencor Corp.+		3.38			11/1/2019		200,000		204,508		206,824
NXP BV/NXP Funding LLC^		4.13			6/1/2021		500,000		500,000		507,500

Total Semiconductors							1,090,000		1,096,400		1,107,648


*Transportation — 1.4%:**
Asciano Finance Ltd.+^		5.00			4/7/2018		550,000		568,459		568,265
Penske Truck Leasing Co. LP/PTL Finance Corp.^		3.05			1/9/2020		200,000		202,357		203,635
PT Penske Truck Leasing Co. LP/L Finance Corp.^		2.50			6/15/2019		285,000		281,055		288,105
PT Penske Truck Leasing Co. LP/L Finance Corp.^		3.20			7/15/2020		135,000		134,921		138,082
PT Penske Truck Leasing Co. LP/L Finance Corp.^		3.30			4/1/2021		60,000		59,756		61,678
Ryder System, Inc.		2.50			3/1/2018		250,000		250,700		253,754
Ryder System, Inc.		2.55			6/1/2019		185,000		184,632		188,539
Ryder System, Inc.		2.88			9/1/2020		200,000		198,180		203,445
TTX Co.^		2.25			2/1/2019		250,000		249,724		254,233

Total Transportation							2,115,000		2,129,784		2,159,736

See accompanying Notes to the Financial Statements.

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Trucking and Leasing — 0.8%:**
Aviation Capital Group Corp.^		2.88	%		9/17/2018		480,000		$478,279		$475,200
Aviation Capital Group Corp.^		6.75			4/6/2021		200,000		221,406		226,000
GATX Corp.		2.60			3/30/2020		495,000		484,181		491,973

Total Trucking and Leasing							1,175,000		1,183,866		1,193,173

Total Corporate Bonds							61,828,000		63,004,977		63,831,141


Mortgage-Backed Securities — 3.3%:**
Banc of America Commercial Mortgage Trust 2007-4 AM		6.00	^#		2/10/2051		255,000		272,364		265,705
Banc of America Commercial Mortgage Trust 2008-1 A4		6.44	^#		2/10/2051		194,621		211,571		204,831
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 AM		5.24			12/11/2038		220,000		229,889		221,677
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 AM		5.57	^#		10/12/2041		220,000		230,503		220,834
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17 AM		5.92	^#		6/11/2050		160,000		171,742		164,270
CD 2007-CD4 Commercial Mortgage Trust		5.32			12/11/2049		198,137		200,844		200,219
COMM Mortgage Trust 2007-C9 AM		5.65	^#		12/10/2049		100,000		106,578		103,055
Fannie Mae Connecticut Avenue Securities CAS 2015-C03 1M1		1.95	^#		7/25/2025		179,189		179,261		179,699
Fannie Mae Connecticut Avenue Securities CAS 2015-C04 1M1		2.05	^#		4/25/2028		114,066		114,066		114,220
Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M1		1.90	^#		7/25/2028		241,278		241,277		242,110
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7 AM		5.99	^#		4/17/2045		164,248		170,414		164,030
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC18		5.47	^#		6/12/2047		700,000		717,141		705,169
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20		5.79	^#		2/12/2051		247,420		257,351		256,875
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 AM		6.09	^#		2/12/2051		210,000		228,137		219,166
ML-CFC Commercial Mortgage Trust 2006-3 AM		5.46	^#		7/12/2046		700,000		712,612		700,586
ML-CFC Commercial Mortgage Trust 2006-4 AM		5.20			12/12/2049		210,000		219,517		211,947
Morgan Stanley Capital I Trust 2006-IQ12 AM		5.37			12/15/2043		290,000		303,299		292,085
Morgan Stanley Capital I Trust 2008-TOP29 A4		6.48	^#		1/11/2043		187,928		205,548		198,585
Wachovia Bank Commercial Mortgage Trust 2006-C29 AM		5.34			11/15/2048		280,000		289,046		282,706
Wachovia Bank Commercial Mortgage Trust 2007-C33 A1A		6.15	^#		2/15/2051		195,736		210,522		203,258

Total Mortgage-Backed Securities							5,067,623		5,271,682		5,151,027

See accompanying Notes to the Financial Statements.

108

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE

U.S. Treasury & Government Agencies — 20.6%:**
Education Funding Capital Trust IV		0.84	^#%		12/16/2024		197,000		$196,608		$194,819
Federal Home Loan Mortgage Corp.		4.00			3/15/2040		496,375		530,000		530,811
Federal National Mortgage Association REMICS 2015-62 VA		4.00			10/25/2026		135,323		146,085		149,861
Federal National Mortgage Association TBA		3.00			8/1/2031		5,900,000		6,179,036		6,179,328
Federal National Mortgage Association 2015-58 JP		2.50			3/25/2037		100,493		102,658		104,309
Goal Capital Funding Trust 2010-1 A^		1.36	^#		8/25/2048		130,929		125,536		127,088
Navient Student Loan Trust 2014-1 A1		0.70	^#		3/25/2021		133,816		133,369		133,584
SLM Student Loan Trust 2003-12 A5^		0.93	^#		9/15/2022		100,973		100,287		100,659
SLM Student Loan Trust 2005-8 A3		0.75	^#		10/25/2024		152,429		151,771		152,372
U.S. Treasury Note``¹		0.75			2/28/2018		15,880,000		15,879,726		15,923,416
U.S. Treasury Note		1.38			4/30/2020		2,770,000		2,764,829		2,822,153
U.S. Treasury Note		1.75			10/31/2018		5,460,000		5,559,489		5,599,061

Total U.S. Treasury & Government Agencies							31,457,338		31,869,394		32,017,461

Total Fixed Income							146,261,593		147,551,469		148,567,770


Short-Term Investments — 4.9%:**

*Bank Deposit — 0.0%:**
State Street Bank & Trust Co. Euro Time Deposit		0.01			7/1/2016		47,434		47,434		47,434


*Commercial Paper — 4.9%:**

*Construction Materials — 0.7%:**
Mohawk Industries, Inc.^		0.01			7/1/2016		1,200,000		1,200,000		1,200,000


*Electric — 1.3%:**
Nextera Energy Capital Holdings, Inc.^		0.01			7/7/2016		2,000,000		1,999,774		1,999,774


*Oil and Gas Services — 1.6%:**
Spectra Energy Capital^		0.01			7/6/2016		2,500,000		2,499,722		2,499,722


*Pipelines — 1.3%:**
Potash Corp. of Saskatchewan, Inc.+^		0.01			7/5/2016		2,000,000		1,999,842		1,999,842

Total Commercial Paper							7,700,000		7,699,338		7,699,338

Total Short-Term Investments							7,747,434		7,746,772		7,746,772

Total Investments							154,009,027		155,298,241		156,314,542


Other assets and liabilities — (0.3%)*											(450,039	)


Net Assets — 100.0%											$155,864,503

See accompanying Notes to the Financial Statements.

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June 30, 2016

MTN	Medium Term Note

TBA	To Be Announced: Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement.

1	All or a portion of this security is held for swaps collateral.

‡‡	Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

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

+	Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:


		United States			91.0%
		Canada			1.7%
		Other (Individually less than 1%)			7.3%

		Total			100.0%

^	Security acquired in a transaction 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.

#	Variable rate security. The interest rate shown is the rate in effect at June 30, 2016.

``	Security has been fully or partially segregated to cover margin requirements for open futures contracts as of June 30, 2016.

A summary of outstanding derivatives at June 30, 2016 is as follows:

Forward Foreign Currency Exchange Contracts to Buy


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED (DEPRECIATION)
3/15/17	JPMorgan Chase Bank N.A.		CNH	14,511,200		2,149,505		2,200,000	$	(50,495	)

Forward Foreign Currency Exchange Contracts to Sell


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION
3/15/17	JPMorgan Chase Bank N.A.		CNH	29,376,600		4,351,477		4,400,000	$	48,523

Net unrealized appreciation on forward foreign exchange contracts to sell									$	48,523

Currency Legend


CNH		–		Chinese Yuan Renminbi

Futures

TYPE

EXPIRATION

DATE

CONTRACTS

POSITION

FAIR VALUE

UNREALIZED

APPRECIATION

Long Futures

U.S. 2-Year Treasury Note

09/30/16

248

Long

54,393,375

312,198

See accompanying Notes to the Financial Statements.

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June 30, 2016



TYPE	EXPIRATION DATE		CONTRACTS		POSITION		FAIR VALUE		UNREALIZED DEPRECIATION
Short Futures
U.S. 10-Year Treasury Note		09/21/16		61		Short	$	8,112,047	$	(185,668	)
U.S. 10-Year Ultra Bond		09/21/16		3		Short		437,015		(15,127	)
U.S. 5-Year Treasury Note		09/30/16		123		Short		15,026,180		(231,444	)

Total Short Futures										(432,239	)

OTC Credit Default Swaps – Sell Protection ⁽¹⁾⁽²⁾


REFERENCE OBLIGATION	FIXED-DEAL RECEIVED RATE			MATURITY DATE		COUNTERPARTY	ORIGINAL NOTIONAL AMOUNT		CURRENT NOTIONAL AMOUNT⁽³⁾		UPFRONT PREMIUMS PAID/ (RECEIVED)			FAIR VALUE ⁽⁴⁾			UNREALIZED APPRECIATION/ (DEPRECIATION)
CMBX.NA.BBB-.6†		3.00	%		11/17/2045	JPMorgan Chase Bank N.A.		230,000	$	230,000	$	553		$	(17,010	)	$	(17,563	)
CMBX.NA.BBB-.6†		3.00	%		5/11/2063	Goldman Sachs & Co.		290,000	$	290,000		(22,354	)		(21,447	)		907


											$	(21,801	)	$	(38,457	)	$	(16,656	)

Centrally Cleared Credit Default Swaps – Buy Protection

REFERENCE

OBLIGATION

FIXED-DEAL

RECEIVED

RATE

MATURITY

DATE

ORIGINAL

NOTIONAL

AMOUNT

CURRENT

NOTIONAL

AMOUNT⁽²⁾

UPFRONT

PREMIUMS

PAID/

(RECEIVED)

FAIR

VALUE ⁽³⁾

UNREALIZED

APPRECIATION/

(DEPRECIATION)

CDX.NA.IG.26 in

1.00%

6/20/2021

1,530,000

(14,707

)

(15,762

)

(1,055

)

(1)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)

Represents an investment grade index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated investment grade or higher. Rating represents a weighted average of the credit ratings of all the companies underlying the single name CDS within the index.

(3)	The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit event as defined under the terms of that particular swap agreement.

(4)

The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the expected amount paid or received for the credit derivative if the amount of the swap agreement was closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreements.

†	Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index.

See accompanying Notes to the Financial Statements.

111

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SCHEDULE OF INVESTMENTS

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Fixed Income — 87.2%:**

Asset-Backed Securities — 19.2%:**

*CDO/CLO — 4.8%:**
ALM XIV Ltd. 2014-14A A1^		2.06	^#%		7/28/2026		250,000		$249,409		$248,981
Atlas Senior Loan Fund V Ltd. 2014-1A A^		2.18	^#		7/16/2026		250,000		249,815		248,884
Carlyle Global Market Strategies CLO Ltd. 2014-1A A^		2.15	^#		4/17/2025		250,000		250,000		249,671
Carlyle Global Market Strategies CLO Ltd. 2014-4A A1^		2.13	^#		10/15/2026		250,000		250,000		248,884
Madison Park Funding XIV Ltd. 2014-14A A2^		2.08	^#		7/20/2026		250,000		249,852		249,142

Total CDO/CLO							1,250,000		1,249,076		1,245,562


*Other Asset-Backed Securities — 14.4%:**
Access Group, Inc. 2006-1 B		1.11	^#		8/25/2037		79,288		69,103		64,353
Access Group, Inc. 2015-1 A^		1.15	^#		7/25/2056		83,134		81,294		81,271
Access Group, Inc. 2015-1 B^		1.95	^#		7/25/2058		100,000		86,230		87,238
American Credit Acceptance Receivables Trust 2016-1A^		2.37			5/12/2020		23,063		23,063		23,071
AmeriCredit Automobile Receivables Trust 2016-2		2.87			11/8/2021		20,000		20,000		20,508
Arbys Funding LLC 2015-1A A2^		4.97			10/30/2045		39,800		39,800		41,541
Argent Securities, Inc. Asset-Backed Pass- Through Certificates Series 2004-W10		1.35	^#		10/25/2034		70,554		63,771		62,996
Citi Held For Asset Issuance 2015-PM1 A^		1.85			12/15/2021		34,421		34,421		34,332
CKE Restaurant Holdings, Inc. 2013-1A A2^		4.47			3/20/2043		123,662		126,640		123,761
CLI Funding VI LLC^		4.21			2/18/2041		93,747		93,737		90,843
College Loan Corp. Trust I 2005-2 B		1.12	^#		1/15/2037		124,728		109,165		104,139
CPS Auto Receivables Trust 2013-A A^		1.31			6/15/2020		70,364		70,110		69,687
Credit Suisse ABS Repackaging Trust 2013-A B^		2.50			1/25/2030		53,868		51,245		50,928
DB Master Finance LLC 2015-1^		3.98			2/20/2045		49,375		50,406		50,806
DB Master Finance LLC 2015-1A A2I^		3.26			2/20/2045		98,750		98,780		99,668
Diamond Resorts Owner Trust 2013-2 A^		2.27			5/20/2026		55,577		55,202		55,442
Diamond Resorts Owner Trust 2015-1 A^		2.73			7/20/2027		52,238		52,233		52,756
Domino’s Pizza Master Issuer LLC 2015 1A-A2I^		3.48			10/25/2045		59,700		59,700		61,360
Domino’s Pizza Master Issuer LLC 2015-1A A2II^		4.47			10/25/2045		59,700		59,700		61,513
DRB Prime Student Loan Trust 2015-B^		2.35	^#		10/27/2031		81,106		80,958		80,957
Drive Auto Receivables Trust 2015-CA A3^		1.38			10/15/2018		94,718		94,716		94,709
Drive Auto Receivables Trust 2016-B^		2.56			6/15/2020		20,000		19,999		20,063
Drug Royalty LP 1 2012-1 A1^		5.88	^#		7/15/2024		41,282		42,447		42,062
Element Rail Leasing II LLC 2015-1A A1^		2.71			2/19/2045		81,303		78,505		79,677
Entegry New Orleans Storm Recovery Funding I LLC 2015-1 A		2.67			6/1/2027		93,932		93,911		98,315
First Franklin Mortgage Loan Trust 2005 FF3 M3		1.17	^#		4/25/2035		107,804		107,270		106,807
Flagship Credit Auto Trust 2016-2^		3.05			8/16/2021		60,000		59,997		60,341

See accompanying Notes to the Financial Statements.

112

Babson Total Return Bond Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Asset-Backed Securities (Continued)

Other Asset-Backed Securities (Continued)
FNA 2015-1 Trust^		3.24	%		12/10/2023		63,556		$63,615		$63,489
GSAMP Trust 2005-SEA2 A1^		0.80	^#		1/25/2045		18,586		17,855		18,386
J.G. Wentworth XXXV LLC 2015-2A A^		3.87			3/15/2058		49,672		49,634		51,201
Miramax LLC 2014-1A A2^		3.34			7/20/2026		70,680		71,158		70,931
Nelnet Student Loan Trust 2008-3 A4		2.31	^#		11/25/2024		125,000		127,276		126,058
NRZ Advance Receivables Trust 2015-T3 AT3^		2.54			11/15/2046		100,000		100,000		100,029
Ocwen Master Advance Receivables Trust 2015-T1 AT1^		2.54			9/17/2046		100,000		100,000		100,007
OneMain Financial Issuance Trust 2014-2A A^		2.47			9/18/2024		130,000		130,441		130,282
Popular ABS Mortgage Pass-Through Trust 2006-B A3		0.73	^#		5/25/2036		67,660		64,877		66,055
Santander Drive Auto Receivables Trust 2014-4 B		1.82			5/15/2019		120,000		120,453		120,421
Sierra Timeshare Receivables Funding LLC 2015-2A B^		3.02			6/20/2032		55,208		55,196		55,436
SLC Private Student Loan Trust 2006-A A5		0.80	^#		7/15/2036		76,507		76,056		76,013
SLC Private Student Loan Trust 2006-A C		1.08	^#		7/15/2036		140,000		124,303		121,591
SLC Student Loan Trust 2005-1 B		0.83	^#		2/15/2045		114,801		98,104		95,577
SLM Student Loan Trust 2002-7 A11		1.75	^#		3/15/2028		50,000		49,390		49,867
SLM Student Loan Trust 2003-4 B		1.30	^#		6/15/2038		83,165		76,024		68,962
SLM Student Loan Trust 2005-4 B		0.82	^#		7/25/2040		112,849		95,365		95,442
SoFi Consumer Loan Program 2016-1 LLC^		3.26			8/25/2025		100,000		99,989		100,531
SoFi Professional Loan Program LLC 2016 A A2^		2.76			12/26/2036		94,602		93,748		94,163
SpringCastle America Funding LLC 2014-AA A^		2.70			5/25/2023		46,152		46,284		46,309
Taco Bell Funding LLC^		3.83			5/25/2046		80,000		80,253		81,558
Taco Bell Funding LLC^		4.97			5/25/2046		70,000		70,640		72,197
Wendys Funding LLC 2015 1A A2I^		3.37			6/15/2045		129,025		128,582		129,735

Total Other Asset-Backed Securities							3,869,577		3,761,646		3,753,384

Total Asset-Backed Securities							5,119,577		5,010,722		4,998,946

Corporate Bonds — 34.0%:**

*Advertising — 0.6%:**
S&P Global, Inc.		3.30			8/14/2020		45,000		44,956		47,081
S&P Global, Inc.		4.00			6/15/2025		50,000		50,197		54,579
WPP Finance 2010+		5.63			11/15/2043		35,000		38,212		40,209

Total Advertising							130,000		133,365		141,869


*Aerospace/Defense — 0.0%:**
Spirit AeroSystems, Inc.		3.85			6/15/2026		5,000		4,996		5,167


*Agriculture — 1.3%:**
Altria Group, Inc.		2.85			8/9/2022		50,000		48,340		52,371
Altria Group, Inc.		4.25			8/9/2042		30,000		26,835		32,755
Bunge Ltd. Finance Corp.		3.50			11/24/2020		5,000		4,996		5,241

See accompanying Notes to the Financial Statements.

113

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

Agriculture (Continued)
Imperial Tobacco Finance PLC+^		3.75	%		7/21/2022		200,000		$197,156		$211,060
Reynolds American, Inc.		4.45			6/12/2025		30,000		30,620		33,598

Total Agriculture							315,000		307,947		335,025


*Airlines — 0.3%:**
WestJet Airlines Ltd.+^		3.50			6/16/2021		80,000		79,892		80,638


*Auto Manufacturers — 1.2%:**
Ford Motor Co.		7.45			7/16/2031		60,000		76,235		80,452
General Motors Co.		5.20			4/1/2045		35,000		34,580		34,675
General Motors Financial Co., Inc.		3.20			7/6/2021		130,000		129,762		130,207
General Motors Financial Co., Inc.		3.70			5/9/2023		25,000		24,937		25,130
General Motors Financial Co., Inc.		4.30			7/13/2025		50,000		49,668		51,299

Total Auto Manufacturers							300,000		315,182		321,763


*Beverages — 0.6%:**
Anheuser-Busch InBev Finance, Inc.+		3.65			2/1/2026		50,000		49,919		53,562
Anheuser-Busch InBev Worldwide, Inc.+		8.20			1/15/2039		35,000		52,381		55,781
Molson Coors Brewing Co.		3.00			7/15/2026		40,000		39,938		39,961
Molson Coors Brewing Co.		4.20			7/15/2046		10,000		9,936		10,043

Total Beverages							135,000		152,174		159,347


*Biotechnology — 0.4%:**
Amgen, Inc.		5.15			11/15/2041		25,000		26,057		28,451
Celgene Corp.		3.55			8/15/2022		60,000		59,856		62,861
Gilead Sciences, Inc.		4.75			3/1/2046		10,000		9,959		11,371

Total Biotechnology							95,000		95,872		102,683


*Chemicals — 0.7%:**
LYB International Finance B.V.		5.25			7/15/2043		35,000		36,005		38,272
RPM International, Inc.		6.13			10/15/2019		90,000		99,290		100,147
Westlake Chemical Corp.		3.60			7/15/2022		50,000		49,526		51,174

Total Chemicals							175,000		184,821		189,593


*Commercial Banks — 4.7%:**
Associated Banc-Corp		2.75			11/15/2019		45,000		45,208		45,543
Associated Banc-Corp		4.25			1/15/2025		70,000		70,020		72,263
Bank of America Corp.		4.45			3/3/2026		25,000		25,000		26,148
Bank of America Corp.		7.63			6/1/2019		120,000		137,647		138,892
Bank of America Corp. MTN		3.95			4/21/2025		45,000		43,931		45,826
Bank of America Corp. MTN		4.00			4/1/2024		25,000		25,582		26,682
Bank of America Corp. MTN		5.88			2/7/2042		25,000		28,709		31,557
Bank of Nova Scotia (The)+		4.50			12/16/2025		20,000		19,998		20,779
Citigroup, Inc.		3.88			3/26/2025		60,000		58,425		60,607
Citigroup, Inc.		4.60			3/9/2026		45,000		44,913		47,708

See accompanying Notes to the Financial Statements.

114

Babson Total Return Bond Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

Commercial Banks (Continued)
Goldman Sachs Group, Inc. (The)		5.15	%		5/22/2045		70,000	$	67,755	$	73,028
Goldman Sachs Group, Inc. (The)		5.95			1/15/2027		50,000		55,956		57,626
ICICI Bank Ltd.+^		4.75			11/25/2016		200,000		202,402		202,300
JPMorgan Chase & Co.		4.50			1/24/2022		25,000		26,637		27,821
JPMorgan Chase & Co.		4.95			6/1/2045		40,000		39,303		43,919
Morgan Stanley		3.95			4/23/2027		100,000		94,873		101,130
Morgan Stanley MTN		6.63			4/1/2018		110,000		118,938		119,215
SVB Financial Group		3.50			1/29/2025		40,000		39,102		39,878
Wells Fargo & Co. MTN		4.30			7/22/2027		40,000		39,857		43,189

Total Commercial Banks							1,155,000		1,184,256		1,224,111


*Commercial Services — 0.2%:**
ERAC USA Finance LLC^		5.63			3/15/2042		20,000		21,553		24,248
Total System Services, Inc.		4.80			4/1/2026		15,000		14,960		16,266

Total Commercial Services							35,000		36,513		40,514


*Construction Materials — 0.4%:**
Masco Corp.		3.50			4/1/2021		48,000		47,844		48,974
Owens Corning		4.20			12/1/2024		50,000		49,353		52,319

Total Construction Materials							98,000		97,197		101,293


*Distribution/Wholesale — 0.2%:**
Ingram Micro, Inc.		4.95			12/15/2024		45,000		46,253		44,821


*Diversified Financial Services — 1.9%:**
Affiliated Managers Group, Inc.		4.25			2/15/2024		50,000	��	51,409		52,925
Air Lease Corp.		2.63			9/4/2018		110,000		109,602		109,977
Air Lease Corp.		3.38			1/15/2019		25,000		25,504		25,500
Air Lease Corp.		3.38			6/1/2021		5,000		4,955		5,125
Brookfield Finance, Inc.+		4.25			6/2/2026		60,000		59,425		61,329
Discover Financial Services		3.75			3/4/2025		30,000		28,874		30,223
General Electric Co. MTN		6.88			1/10/2039		35,000		46,910		52,831
Lazard Group LLC		4.25			11/14/2020		130,000		135,983		138,373
Legg Mason, Inc.		4.75			3/15/2026		5,000		4,998		5,273

Total Diversified Financial Services							450,000		467,660		481,556


*Electric — 1.6%:**
Appalachian Power Co.		6.70			8/15/2037		30,000		37,610		38,802
CMS Energy Corp.		3.88			3/1/2024		50,000		51,338		54,378
Duke Energy Florida LLC		3.10			8/15/2021		50,000		51,326		53,220
Indianapolis Power & Light Co.^		4.05			5/1/2046		45,000		44,700		46,338
LG&E and KU Energy LLC		4.38			10/1/2021		50,000		53,599		55,177
NiSource Finance Corp.		6.13			3/1/2022		50,000		56,953		59,499
PPL Capital Funding, Inc.		3.10			5/15/2026		35,000		34,956		35,380

See accompanying Notes to the Financial Statements.

115

Babson Total Return Bond Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

Electric (Continued)
Puget Sound Energy, Inc.		4.30	%		5/20/2045		30,000	$	30,665	$	34,329
Southwestern Public Service Co.		6.00			10/1/2036		30,000		35,682		38,430

Total Electric							370,000		396,829		415,553


*Electrical Components and Equipment — 0.2%:**
Legrand France SA+		8.50			2/15/2025		35,000		46,796		47,499


*Electronics — 0.5%:**
Agilent Technologies, Inc.		3.88			7/15/2023		50,000		50,570		52,928
FLIR Systems, Inc.		3.13			6/15/2021		25,000		24,983		25,669
Jabil Circuit, Inc.		7.75			7/15/2016		50,000		50,110		50,050

Total Electronics							125,000		125,663		128,647


*Environmental Control — 0.5%:**
Republic Services, Inc.		4.75			5/15/2023		50,000		54,136		57,239
Waste Management, Inc.		7.00			7/15/2028		50,000		65,054		68,093

Total Environmental Control							100,000		119,190		125,332


*Food — 0.3%:**
Kraft Heinz Foods Co.^		2.80			7/2/2020		40,000		40,226		41,538
Kraft Heinz Foods Co.^		3.00			6/1/2026		20,000		19,913		20,163
Whole Foods Market, Inc.^		5.20			12/3/2025		20,000		19,974		21,564

Total Food							80,000		80,113		83,265


*Forestry and Paper Products — 0.7%:**
Celulosa Arauco y Constitucion SA+		4.75			1/11/2022		30,000		31,135		31,955
Domtar Corp.		4.40			4/1/2022		50,000		50,776		51,848
International Paper Co.		9.38			5/15/2019		73,000		85,975		86,942

Total Forestry and Paper Products							153,000		167,886		170,745


*Gas — 0.3%:**
CenterPoint Energy Resources Corp.		4.50			1/15/2021		25,000		26,733		27,127
CenterPoint Energy Resources Corp.		5.85			1/15/2041		20,000		23,425		23,212
Laclede Group, Inc. (The)		4.70			8/15/2044		25,000		25,259		26,348

Total Gas							70,000		75,417		76,687


*Healthcare-Products — 0.1%:**
Zimmer Biomet Holdings, Inc.		3.55			4/1/2025		35,000		34,266		36,075


*Healthcare-Services — 0.3%:**
Aetna, Inc.		2.40			6/15/2021		35,000		34,997		35,710
Aetna, Inc.		3.20			6/15/2026		40,000		39,851		41,153
Aetna, Inc.		4.38			6/15/2046		10,000		9,990		10,385

Total Healthcare-Services							85,000		84,838		87,248

See accompanying Notes to the Financial Statements.

116

Babson Total Return Bond Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Housewares — 0.4%:**
Newell Rubbermaid, Inc.		3.85	%		4/1/2023		40,000	$	39,988	$	42,427
Newell Rubbermaid, Inc.		3.90			11/1/2025		20,000		19,941		20,949
Toro Co. (The)		7.80			6/15/2027		25,000		32,044		32,842

Total Housewares							85,000		91,973		96,218


*Insurance — 2.2%:**
Allstate Corp. (The)		5.75	^#		8/15/2053		110,000		116,547		112,805
American International Group, Inc.		3.30			3/1/2021		30,000		29,974		30,993
American International Group, Inc.		3.90			4/1/2026		20,000		19,990		20,611
Arch Capital Group US, Inc.		5.14			11/1/2043		25,000		25,311		27,113
Brown & Brown, Inc.		4.20			9/15/2024		13,000		13,087		13,258
Liberty Mutual Group, Inc.^		4.25			6/15/2023		50,000		51,520		53,112
Marsh & McLennan Cos., Inc.		5.88			8/1/2033		20,000		23,157		24,706
Prudential Financial, Inc.		8.88	^#		6/15/2038		100,000		117,130		110,000
Reinsurance Group of America, Inc.		3.95			9/15/2026		40,000		39,998		41,216
Trinity Acquisition PLC+		4.40			3/15/2026		5,000		4,979		5,220
Unum Group		3.00			5/15/2021		20,000		19,958		20,455
Unum Group		4.00			3/15/2024		30,000		30,835		30,975
Willis North America, Inc.+		7.00			9/29/2019		50,000		55,559		56,605
XLIT Ltd.+		5.50			3/31/2045		30,000		28,766		29,634

Total Insurance							543,000		576,811		576,703


*Internet — 1.1%:**
Baidu, Inc.+		2.25			11/28/2017		200,000		200,719		201,807
Expedia, Inc.^		5.00			2/15/2026		40,000		39,822		41,275
Expedia, Inc.		7.46			8/15/2018		45,000		49,624		49,764

Total Internet							285,000		290,165		292,846


*Investment Company Security — 0.2%:**
Ares Capital Corp.		3.88			1/15/2020		30,000		30,594		31,030	��
FS Investment Corp.		4.00			7/15/2019		30,000		30,473		30,303

Total Investment Company Security							60,000		61,067		61,333


*Iron/Steel — 0.2%:**
Reliance Steel & Aluminum Co.		6.20			11/15/2016		55,000		55,919		55,829


*IT Services — 0.4%:**
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		4.42			6/15/2021		45,000		44,987		46,317
Leidos Holdings, Inc.		4.45			12/1/2020		50,000		50,360		50,000

Total IT Services							95,000		95,347		96,317


*Lodging — 0.7%:**
Marriott International, Inc.		2.30			1/15/2022		70,000		69,714		70,421
Wyndham Worldwide Corp.		5.63			3/1/2021		90,000		97,798		100,480

Total Lodging							160,000		167,512		170,901

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Media — 0.8%:**
Charter Communications Operating LLC / Charter Communications Operating Capital^		4.46	%		7/23/2022		90,000	$	90,000	$	96,726
Discovery Communications LLC		4.88			4/1/2043		25,000		22,751		22,554
Time Warner Cable, Inc.		4.50			9/15/2042		60,000		49,241		55,887
Time Warner Cable, Inc.		5.50			9/1/2041		35,000		32,632		36,763

Total Media							210,000		194,624		211,930


*Medical Equipment and Devices Manufacturing — 0.2%:**
St. Jude Medical, Inc.		2.80			9/15/2020		40,000		39,984		41,235


*Miscellaneous Manufacturing — 0.4%:**
Carlisle Cos., Inc.		3.75			11/15/2022		50,000		50,183		51,437
Textron, Inc.		4.30			3/1/2024		50,000		51,314		53,732

Total Miscellaneous Manufacturing							100,000		101,497		105,169


*Oil and Gas — 1.6%:**
Anadarko Petroleum Corp.		5.55			3/15/2026		20,000		19,939		22,086
Exxon Mobil Corp.		3.04			3/1/2026		45,000		45,000		47,768
Newfield Exploration Co.		5.38			1/1/2026		140,000		139,863		136,150
Petroleos Mexicanos+		5.50			1/21/2021		55,000		59,274		58,239
Phillips 66		4.30			4/1/2022		50,000		52,327		54,610
Phillips 66		4.65			11/15/2034		30,000		29,841		31,980
Pioneer Natural Resources Co.		7.50			1/15/2020		50,000		57,144		58,547
Rowan Cos., Inc.		4.88			6/1/2022		8,000		7,985		7,000

Total Oil and Gas							398,000		411,373		416,380


*Oil and Gas Services — 0.5%:**
Schlumberger Holdings Corp.^		4.00			12/21/2025		25,000		24,984		26,906
SESI LLC		7.13			12/15/2021		32,000		33,676		30,800
Weatherford International Ltd.		5.95			4/15/2042		30,000		25,119		21,300
Weatherford International Ltd.		6.00			3/15/2018		50,000		51,930		52,500

Total Oil and Gas Services							137,000		135,709		131,506


*Packaging and Containers — 0.4%:**
Brambles USA, Inc.+^		4.13			10/23/2025		10,000		9,977		10,726
Brambles USA, Inc.+^		5.35			4/1/2020		50,000		54,255		55,528
Sonoco Products Co.		4.38			11/1/2021		41,000		43,367		44,129

Total Packaging and Containers							101,000		107,599		110,383


*Pharmaceuticals — 2.0%:**
AbbVie, Inc.		3.20			5/14/2026		60,000		59,774		60,779
AbbVie, Inc.		4.50			5/14/2035		30,000		29,817		31,355
Actavis Funding SCS+		3.45			3/15/2022		50,000		49,735		51,928
Allergan, Inc.		2.80			3/15/2023		50,000		46,557		49,714
AstraZeneca PLC+		6.45			9/15/2037		35,000		44,926		47,772

See accompanying Notes to the Financial Statements.

118

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

Pharmaceuticals (Continued)
Express Scripts Holding Co.		3.00	%		7/15/2023		60,000	$	59,947	$	60,067
Express Scripts Holding Co.		3.30			2/25/2021		10,000		9,980		10,486
Express Scripts Holding Co.		4.80			7/15/2046		25,000		24,956		24,967
McKesson Corp.		6.00			3/1/2041		50,000		55,905		63,146
Mylan NV+^		3.95			6/15/2026		25,000		24,809		25,300
Mylan NV+^		5.25			6/15/2046		40,000		39,994		41,668
Mylan, Inc.		2.55			3/28/2019		60,000		59,697		60,737

Total Pharmaceuticals							495,000		506,097		527,919


*Pipelines — 1.1%:**
Energy Transfer Partners LP		4.75			1/15/2026		30,000		29,821		30,852
Enterprise Products Operating LLC		5.95			2/1/2041		25,000		26,724		29,337
Kinder Morgan Energy Partners LP MTN		6.95			1/15/2038		30,000		32,038		33,107
Kinder Morgan, Inc.		3.05			12/1/2019		35,000		35,106		35,366
Magellan Midstream Partners LP		5.00			3/1/2026		65,000		65,514		73,530
MPLX LP		4.00			2/15/2025		77,000		75,490		69,944

Total Pipelines							262,000		264,693		272,136


*Property & Casualty Insurance — 0.0%:**
Marsh & McLennan Cos., Inc.		3.75			3/14/2026		10,000		9,993		10,547


*Real Estate — 0.1%:**
Prologis LP		3.35			2/1/2021		25,000		25,465		26,451


*Real Estate Investment Trusts — 0.9%:**
American Tower Corp.		3.45			9/15/2021		80,000		80,059		83,269
Brandywine Operating Partnership LP		4.95			4/15/2018		40,000		41,746		41,974
DDR Corp.		4.75			4/15/2018		3,000		3,132		3,130
Digital Realty Trust LP		3.40			10/1/2020		20,000		19,961		20,760
Digital Realty Trust LP		3.95			7/1/2022		35,000		35,220		36,663
Host Hotels & Resorts LP		4.75			3/1/2023		50,000		52,267		53,405

Total REITS							228,000		232,385		239,201


*Retail — 2.3%:**
CVS Health Corp.		2.88			6/1/2026		10,000		9,915		10,219
CVS Health Corp.		3.50			7/20/2022		120,000		119,955		129,203
CVS Pass-Through Trust^		5.93			1/10/2034		31,087		35,615		36,041
El Puerto de Liverpool SAB de CV+^		3.95			10/2/2024		200,000		199,088		204,750
O’Reilly Automotive, Inc.		3.55			3/15/2026		10,000		9,983		10,485
O’Reilly Automotive, Inc.		3.85			6/15/2023		45,000		45,816		48,517
O’Reilly Automotive, Inc.		4.88			1/14/2021		30,000		32,581		33,460
Signet UK Finance plc+		4.70			6/15/2024		34,000		33,069		33,182
Wal-Mart Stores, Inc.		5.63			4/1/2040		30,000		35,676		40,392
Walgreens Boots Alliance, Inc.		2.70			11/18/2019		25,000		25,166		25,830
Walgreens Boots Alliance, Inc.		3.80			11/18/2024		35,000		34,605		37,082

Total Retail							570,087		581,469		609,161

See accompanying Notes to the Financial Statements.

119

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Semiconductors — 0.3%:**
KLA-Tencor Corp.		4.65	%		11/1/2024		30,000	$	30,151	$	32,726
Lam Research Corp.		2.75			3/15/2020		50,000		49,927		51,096

Total Semiconductors							80,000		80,078		83,822


*Software — 0.2%:**
Broadridge Financial Solutions, Inc.		3.40			6/27/2026		20,000		19,918		20,216
Oracle Corp.		5.38			7/15/2040		35,000		39,051		42,319

Total Software							55,000		58,969		62,535


*Telecommunications — 0.5%:**
AT&T, Inc.		3.40			5/15/2025		40,000		38,493		40,916
AT&T, Inc.		6.55			2/15/2039		25,000		29,016		30,808
Telefonaktiebolaget LM Ericsson+		4.13			5/15/2022		30,000		31,245		32,457
Verizon Communications, Inc.		3.50			11/1/2024		35,000		34,405		37,224

Total Telecommunications							130,000		133,159		141,405


*Transportation — 0.3%:**
Burlington Northern Santa Fe LLC		6.75			3/15/2029		25,000		31,034		34,251
Penske Truck Leasing Co. LP/PTL Finance Corp.^		3.38			2/1/2022		45,000		44,217		45,891

Total Transportation							70,000		75,251		80,142


*Trucking and Leasing — 0.2%:**
Aviation Capital Group Corp.^		2.88			9/17/2018		40,000		39,867		39,600

Total Corporate Bonds							8,305,087		8,574,132		8,859,100

*Foreign Government — 0.5%:**

*Canada — 0.2%:**
Province of Quebec Canada+		2.63			2/13/2023		25,000		25,226		26,233
Province of Quebec Canada+		7.50			9/15/2029		15,000		21,577		22,748

Total Canada							40,000		46,803		48,981


*Mexico — 0.3%:**
Mexico Government International Bond+		5.55			1/21/2045		60,000		64,701		71,850

Total Foreign Government							100,000		111,504		120,831


*Mortgage-Backed Securities — 5.5%:**
Banc of America Commercial Mortgage Trust 2008-1 A4		6.44	^#		2/10/2051		108,123		117,540		113,795
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 AM		5.24			12/11/2038		120,000		125,394		120,915
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 AM		5.57	^#		10/12/2041		120,000		125,729		120,455
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17 AM		5.92	^#		6/11/2050		85,000		91,238		87,268
Fannie Mae Connecticut Avenue Securities CAS 2015-C03 1M1		1.95	^#		7/25/2025		85,328		85,424		85,571

See accompanying Notes to the Financial Statements.

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


		EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government (Continued)

Mortgage-Backed Securities (Continued)
Fannie Mae Connecticut Avenue Securities CAS 2015-C04 1M1			2.05	^# %		4/25/2028		57,033	$	57,033	$	57,110
GS Mortgage Securities Trust 2015-GC32 B			4.55	^#		7/10/2048		100,000		102,919		107,323
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7 AM			5.99	^#		4/17/2045		89,590		92,953		89,471
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 AM			6.09	^#		2/12/2051		110,000		119,500		114,801
ML-CFC Commercial Mortgage Trust 2006-3 AM			5.46	^#		7/12/2046		70,000		72,690		70,059
ML-CFC Commercial Mortgage Trust 2006-4 AM	��		5.20			12/12/2049		120,000		125,439		121,112
Morgan Stanley Capital I Trust 2006-IQ12 AM			5.37			12/15/2043		120,000		125,948		120,863
Morgan Stanley Capital I Trust 2008-TOP29 A4			6.48	^#		1/11/2043		106,220		116,179		112,244
Wachovia Bank Commercial Mortgage Trust 2007-C33 A1A			6.15	^#		2/15/2051		106,765		114,830		110,868

Total Mortgage-Backed Securities								1,398,059		1,472,816		1,431,855


*U.S. Treasury & Government Agencies — 28.0%:**
Federal Home Loan Mortgage Corp.			3.50			11/1/2045		242,696		252,660		258,436
Federal Home Loan Mortgage Corp.			3.50			6/1/2046		175,000		183,859		184,945
Federal Home Loan Mortgage Corp.			4.50			8/1/2040		21,578		23,747		23,955
Federal Home Loan Mortgage Corp.			4.50			10/1/2040		30,244		33,112		33,384
Federal Home Loan Mortgage Corp.			4.50			10/1/2041		38,072		41,670		42,006
Federal Home Loan Mortgage Corp.			4.50			1/1/2042		28,398		31,087		31,302
Federal Home Loan Mortgage Corp.			4.50			5/1/2042		153,107		167,272		167,886
Federal Home Loan Mortgage Corp.			4.50			9/1/2043		25,386		27,866		28,172
Federal National Mortgage Association			3.50			12/1/2028		68,553		73,025		72,857
Federal National Mortgage Association			3.50			11/1/2045		316,176		329,517		336,122
Federal National Mortgage Association			3.50			12/1/2045		434,994		450,330		463,104
Federal National Mortgage Association			3.50			1/1/2046		293,151		304,655		312,893
Federal National Mortgage Association			4.00			9/1/2042		79,639		86,152		86,886
Federal National Mortgage Association			4.50			9/1/2040		16,339		17,908		17,985
Federal National Mortgage Association			4.50			3/1/2041		22,824		25,130		25,240
Federal National Mortgage Association			4.50			10/1/2042		31,177		34,135		34,342
Federal National Mortgage Association			4.50			11/1/2042		58,037		63,769		64,258
Federal National Mortgage Association			5.00			6/1/2040		15,399		17,165		17,345
Federal National Mortgage Association			5.00			7/1/2040		122,763		136,248		137,091
Federal National Mortgage Association			5.00			2/1/2044		46,268		51,466		51,665
Federal National Mortgage Association TBA			2.50			8/1/2031		875,000		903,257		903,984
Federal National Mortgage Association TBA			2.50			7/1/2046		575,000		574,349		582,367
Federal National Mortgage Association TBA			3.00			8/1/2031		750,000		785,478		785,508
Federal National Mortgage Association TBA			3.00			8/1/2046		125,000		129,336		129,468
Federal National Mortgage Association TBA			4.50			7/1/2046		175,000		190,598		191,051
Government National Mortgage Association TBA			3.00			7/1/2046		250,000		261,172		261,392

See accompanying Notes to the Financial Statements.

121

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
U.S. Treasury & Government Agencies (Continued)
Government National Mortgage Association TBA		3.00	%		8/1/2046		675,000	$	699,520	$	704,136
Government National Mortgage Association TBA		4.00			7/1/2046		50,000		53,344		53,445
Government National Mortgage Association TBA		4.50			7/1/2046		175,000		188,043		187,852
U.S. Treasury Bond		2.50			5/15/2046		15,000		15,671		15,631
U.S. Treasury Bond		2.88			8/15/2045		15,000		15,753		16,843
U.S. Treasury Bond``1		3.00			11/15/2044		655,000		657,425		753,097
U.S. Treasury Bond		3.50			2/15/2039		185,000		223,485		233,476
U.S. Treasury Notes		1.25			3/31/2021		70,000		70,575		70,815

Total U.S. Treasury & Government Agencies							6,809,801		7,118,779		7,278,939


Total Fixed Income							21,732,524		22,287,953		22,689,671


						SHARES		COST		FAIR VALUE
*Mutual Fund — 8.8%:**
Babson U.S. High Yield Fund							225,647		2,172,465		2,288,057


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE

Short-Term Investments — 20.2%:**

*Bank Deposit — 3.1%:**
State Street Bank & Trust Co. Euro Time Deposit		0.01			7/1/2016		805,781		805,781		805,781


*Commercial Paper — 17.1%:**

*Advertising — 2.4%:**
WPP CP LLC		Zero Coupon			9/9/2016		625,000		623,627		623,627


*Auto Manufacturers — 2.4%:**
Hyundai Capital America+		Zero Coupon			8/22/2016		625,000		623,871		623,871


*Chemicals — 2.4%:**
ONEOK Partners LP		Zero Coupon			7/12/2016		625,000		624,790		624,790


*Commercial Services — 2.4%:**
ERAC USA Finance LLC		Zero Coupon			8/18/2016		625,000		624,208		624,208


*Media — 2.4%:**
Thomson Reuters Corp.		Zero Coupon			7/18/2016		625,000		624,705		624,705


*Pipelines — 5.1%:**
Potash Corp. of Saskatchewan, Inc.+		Zero Coupon			7/6/2016		700,000		699,925		699,925

See accompanying Notes to the Financial Statements.

122

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Commercial Paper (Continued)

Pipelines (Continued)
TransCanada American Investments Ltd.		Zero Coupon	%		7/11/2016		625,000		$624,842		$624,842

Total Pipelines							1,325,000		1,324,767		1,324,767

Total Commercial Paper							4,450,000		4,445,968		4,445,968

Total Short-Term Investments							5,255,781		5,251,749		5,251,749

Total Investments							27,213,952		29,712,167		30,229,477


Other assets and liabilities — (16.2%)*											(4,221,468	)


Net Assets — 100.0%											$26,008,009

MTN	Medium Term Note

TBA	To Be Announced: Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement.

1	All or a portion of this security is held for open swaps collateral.

‡‡	Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

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

+	Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:


		United States			87.7%
		United Kingdom			3.2%
		Canada			3.1%
		Kenya			2.1%
		Mexico			1.1%
		Other (Individually less than 1%)			2.8%

		Total			100.0%

^	Security acquired in a transaction 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.

#	Variable rate security. The interest rate shown is the rate in effect at June 30, 2016.

``	Security has been fully or partially segregated to cover margin requirements for open futures contracts as of June 30, 2016.

A summary of outstanding derivatives at June 30, 2016 is as follows:

Cross Currency Forward Foreign Currency Exchange Contracts


EXPIRATION DATE	DELIVER/RECEIVE	COUNTERPARTY	CONTRACT AMOUNT PURCHASED		CONTRACT AMOUNT SOLD		NET UNREALIZED APPRECIATION (DEPRECIATION)
9/29/16	CZK/EUR	Citibank N.A.		25,000		678,263	$	(52	)
7/26/16	EUR/HUF	Citibank N.A.		5,639,222		18,004		(176	)
7/26/16	EUR/PLN	JPMorgan Chase Bank N.A.		136,861		30,979		266
7/26/16	EUR/PLN	Bank of America N.A.		132,412		30,000		227
7/26/16	HRK/EUR	BNP Paribas S.A.		56,000		421,288		77

Net unrealized appreciation on cross currency forward foreign exchange contracts							$	342

See accompanying Notes to the Financial Statements.

123

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016

Forward Foreign Currency Exchange Contracts to Buy


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
12/6/16	JPMorgan Chase Bank N.A.		ARS	117,600		7,204		7,000	$	204
7/26/16	BNP Paribas		AUD	9,694		7,224		7,000		224
3/15/17	JPMorgan Chase Bank N.A.		CNH	5,441,700		806,065		825,000		(18,935	)
7/26/16	Bank of America N.A.		COP	101,486,560		34,578		33,953		625
7/26/16	BNP Paribas		INR	947,555		13,982		14,044		(62	)
7/26/16	JPMorgan Chase Bank N.A.		KZT	11,655,000		34,195		35,000		(805	)
7/26/16	Citibank N.A.		MXN	1,191,951		65,069		69,000		(3,931	)
7/26/16	BNP Paribas		MXN	726,381		39,653		39,000		653
7/26/16	BNP Paribas		SEK	112,161		13,269		14,000		(731	)
9/13/16	BNP Paribas		THB	2,449,774		69,632		69,310		322
7/26/16	Bank of America N.A.		TRY	40,956		14,152		14,191		(39	)
7/26/16	Citibank N.A.		TRY	62,779		21,693		21,000		693
7/26/16	JPMorgan Chase Bank N.A.		ZAR	448,569		30,328		30,618		(290	)
7/26/16	Goldman Sachs		ZAR	313,602		21,203		20,702		501
7/26/16	BNP Paribas		ZAR	240,820		16,282		15,000		1,282

Net unrealized depreciation on forward foreign exchange contracts to buy									$	(20,289	)

Forward Foreign Currency Exchange Contracts to Sell


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/26/16	BNP Paribas		AUD	9,703		7,231		7,341	$	110
7/26/16	Bank of America N.A.		CHF	13,835		14,187		14,304		117
2/22/17	JPMorgan Chase Bank N.A.		CNH	237,722		35,261		35,000		(261	)
3/15/17	JPMorgan Chase Bank N.A.		CNH	11,016,225		1,631,804		1,650,000		18,196
7/26/16	Goldman Sachs		HKD	271,429		34,996		35,000		4
7/26/16	JPMorgan Chase Bank N.A.		ILS	55,222		14,314		14,714		400
7/26/16	JPMorgan Chase Bank N.A.		INR	947,555		13,982		14,012		30
7/26/16	Bank of America N.A.		PHP	660,226		14,001		13,969		(32	)
7/26/16	BNP Paribas		SGD	49,135		36,468		36,310		(158	)
7/26/16	Bank of America N.A.		TRY	64,223		22,192		22,000		(192	)
7/26/16	Bank of America N.A.		ZAR	245,233		16,580		17,000		420
7/26/16	Goldman Sachs		ZAR	757,758		51,232		50,933		(299	)

Net unrealized appreciation on forward foreign exchange contracts to sell									$	18,335

See accompanying Notes to the Financial Statements.

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Currency Legend


ARS	–	Argentine Peso
AUD	–	Australian Dollar
CHF	–	Swiss Franc
CNH	–	Chinese Yuan Renminbi
COP	–	Colombian Peso
CZK	–	Czech Koruna
EUR	–	Euro
HKD	–	Hong Kong Dollar
HRK	–	Croatian Kuna
HUF	–	Hungarian Forint
ILS	–	Israeli Shekel
INR	–	Indian Rupee
KZT	–	Kazakhstan Tenge
MXN	–	Mexican Peso
PHP	–	Philippines Peso
PLN	–	Polish Zloty
SEK	–	Swedish Krona
SGD	–	Singapore Dollar
THB	–	Thai Baht
TRY	–	New Turkish Lira
ZAR	–	South African Rand

Futures


TYPE	EXPIRATION DATE	CONTRACTS		POSITION		FAIR VALUE		UNREALIZED APPRECIATION
Long Futures
U.S. 2-Year Treasury Note	09/30/16		13		Long	$	2,851,266	$	18,522
U.S. 5-Year Treasury Note	09/30/16		24		Long		2,931,937		48,690
U.S. Long Bond	09/21/16		1		Long		172,344		9,664
U.S. Ultra Bond	09/21/16		4		Long		745,500		38,362

								$	115,238


TYPE	EXPIRATION DATE	CONTRACTS		POSITION		FAIR VALUE		UNREALIZED DEPRECIATION
Short Futures
U.S. 10-Year Treasury Note	09/21/16		8		Short	$	1,063,875	$	(24,120	)

See accompanying Notes to the Financial Statements.

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OTC Credit Default Swaps – Sell Protection⁽¹⁾⁽²⁾


REFERENCE OBLIGATION	FIXED-DEAL RECEIVED RATE	MATURITY DATE		COUNTERPARTY	ORIGINAL NOTIONAL AMOUNT		CURRENT NOTIONAL AMOUNT⁽³⁾		UPFRONT PREMIUMS PAID/ (RECEIVED)			FAIR VALUE⁽⁴⁾			UNREALIZED APPRECIATION/ (DEPRECIATION)
CMBX.NA.BBB-.6†	3.00%		11/17/2045	JPMorgan Chase Bank N.A.		60,000	$	60,000	$	144		$	(4,437	)	$	(4,581	)
CMBX.NA.BBB-.6†	3.00%		5/11/2063	Goldman Sachs & Co.		70,000	$	70,000		(5,395	)		(5,177	)		218

									$	(5,251	)	$	(9,614	)	$	(4,363	)

Centrally Cleared Credit Default Swaps – Buy Protection

REFERENCE

OBLIGATION

FIXED-DEAL

RECEIVED RATE

MATURITY

DATE

ORIGINAL
NOTIONAL

AMOUNT

CURRENT
NOTIONAL

AMOUNT⁽²⁾

UPFRONT
PREMIUMS

PAID/

(RECEIVED)

FAIR

VALUE⁽³⁾

UNREALIZED
APPRECIATION/
(DEPRECIATION)

CDX.NA.IG.26

1.00%

6/20/2021

480,000

(4,614

)

(4,945

)

(331

)

(1)

(2)

(3)

The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit event as defined under the terms of that particular swap agreement.

(4)

†

Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index.

See accompanying Notes to the Financial Statements.

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	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
*Fixed Income — 95.5%:**

*Corporate Bonds — 44.9%:**

*Auto Parts&Equipment — 1.5%:**
Metalsa SA de CV+^		4.90	%		4/24/2023		150,000		$136,259		$146,625


*Chemicals — 2.1%:**
OCP SA+		6.88			4/25/2044		200,000		209,915		210,691


*Commercial Banks — 8.2%:**
BBVA Bancomer SA+^		5.35	^#		11/12/2029		200,000		198,550		197,500
BBVA Bancomer SA+^		6.75			9/30/2022		200,000		222,319		222,274
Sberbank of Russia Via SB Capital SA+^		5.50	^#		2/26/2024		200,000		186,757		198,500
Turkiye Halk Bankasi AS+^		3.88			2/5/2020		200,000		194,645		194,000

Total Commercial Banks							800,000		802,271		812,274


*Construction Materials — 1.7%:**
Cemex SAB de CV+^		4.38			3/5/2023		150,000		165,046		161,618


*Electric — 5.8%:**
Abengoa Transmision Sur SA+^		6.88			4/30/2043		200,000		204,988		208,000
AES El Salvador Trust II+^		6.75			3/28/2023		200,000		181,363		172,000
Empresa Electrica Angamos SA+		4.88			5/25/2029		200,000		189,338		192,750

Total Electric							600,000		575,689		572,750


*Food — 4.1%:**
Marfrig Holdings Europe BV+^		8.00			6/8/2023		200,000		197,398		203,250
Marfrig Overseas Ltd.+^		9.50			5/4/2020		200,000		206,232		204,696

Total Food							400,000		403,630		407,946


*Gas — 2.4%:**
Fermaca Enterprises S de RL de CV+^		6.38			3/30/2038		241,727		235,700		240,519


*Home Furnishings — 2.0%:**
Arcelik AS+^		5.00			4/3/2023		200,000		195,604		197,844


*Iron/Steel — 2.7%:**
Vale Overseas Ltd.+		4.38			1/11/2022		135,000		124,809		126,522
Vale Overseas Ltd.+		5.88			6/10/2021		140,000		140,000		140,175

Total Iron/Steel							275,000		264,809		266,697


*Media — 4.0%:**
Altice Financing SA+^		6.63			2/15/2023		200,000		196,510		196,374
VTR Finance BV+^		6.88			1/15/2024		200,000		186,063		199,396

Total Media							400,000		382,573		395,770


*Oil and Gas — 8.7%:**
Petrobras Global Finance BV+		3.25			4/1/2019		450,000		475,144		465,054
Petroleos Mexicanos+		3.50			1/30/2023		200,000		181,002		188,320
Petroleos Mexicanos+		4.88			1/24/2022		200,000		201,950		204,478

Total Oil and Gas							850,000		858,096		857,852

See accompanying Notes to the Financial Statements.

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	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE

Corporate Bonds (Continued)

*Telecommunications — 1.7%:**
Digicel Ltd.+^		6.75	%		3/1/2023		200,000		$187,918		$170,000

Total Corporate Bonds							4,466,727		4,417,510		4,440,586


*Foreign Government — 50.6%:**

*Argentina — 3.7%:**
Argentine Republic Government International Bond+		7.50			4/22/2026		150,000		150,000		162,150
Provincia de Cordoba+^		7.13			6/10/2021		200,000		200,000		200,500

Total Argentina							350,000		350,000		362,650


*Armenia — 2.1%:**
Armenia International Bond+^		6.00			9/30/2020		200,000		198,860		202,500


*Brazil — 5.8%:**
Brazil Notas do Tesouro Nacional Serie B+		6.00			8/15/2050		460,000		386,513		331,825
Brazilian Government International Bond+		8.25			1/20/2034		200,000		230,974		243,000

Total Brazil							660,000		617,487		574,825


*Colombia — 5.4%:**
Colombia Government International Bond+		5.63			2/26/2044		200,000		206,497		222,000
Colombian TES+		7.75			9/18/2030		900,000,000		276,363		310,062

Total Colombia							900,200,000		482,860		532,062


*Croatia — 2.1%:**
Croatia Government Bond+^		5.50			4/4/2023		200,000		207,612		211,920


*Dominican Republic — 2.1%:**
Dominican Republic International Bond+^		5.88			4/18/2024		200,000		196,865		209,000


*El Salvador — 2.0%:**
Republic of El Salvador+^		7.38			12/1/2019		200,000		205,960		200,500


*Ghana — 2.1%:**
Republic of Ghana+^		10.75			10/14/2030		200,000		213,705		210,700


*Indonesia — 2.5%:**
Indonesia Treasury Bond+		8.38			3/15/2034		3,140,000,000		214,663		250,637


*Jamaica — 2.1%:**
Government of Jamaica+		6.75			4/28/2028		200,000		202,410		209,600


*Malaysia — 4.0%:**
Malaysia Government Bond+		4.13			4/15/2032		1,610,000		360,450		392,839


*Mexico — 8.8%:**
Mexican Bonos+		7.75			11/13/2042		7,100,000		483,289		449,452
United Mexican States+		5.75			10/12/2110		380,000		368,282		418,000

Total Mexico							7,480,000		851,571		867,452


*South Africa — 5.8%:**
South Africa Government Bond+		8.75			2/28/2048		9,300,000		624,731		577,495

See accompanying Notes to the Financial Statements.

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE

Foreign Government (Continued)

*Uruguay — 2.1%:**
Republica Orient Uruguay+		4.38	%		10/27/2027		200,000		$199,426		$211,000

Total Foreign Government							4,061,000,000		4,926,600		5,013,180


Total Fixed Income							4,065,466,727		9,344,110		9,453,766


*Short-Term Investment — 3.0%:**

*Bank Deposit — 3.0%:**
State Street Bank & Trust Co. Euro Time Deposit		0.01			7/1/2016		299,350		299,350		299,350

Total Investments							4,065,766,077		9,643,460		9,753,116


Other assets and liabilities — 1.5%											149,872


Net Assets — 100.0%											$9,902,988

‡‡	Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

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

+	Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:


		Mexico			23.6%
		Brazil			18.1%
		South Africa			6.1%
		Colombia			5.6%
		Malaysia			4.2%
		Chile			4.2%
		Turkey			4.2%
		Jamaica			4.0%
		El Salvador			3.9%
		Argentina			3.8%
		Indonesia			2.7%
		Croatia			2.2%
		Uruguay			2.2%
		Ghana			2.2%
		Morocco			2.2%
		Dominican Republic			2.2%
		Peru			2.2%
		Armenia			2.2%
		Russia			2.1%
		Israel			2.1%

		Total			100.0%

^	Security acquired in a transaction 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.

#	Variable rate security. The interest rate shown is the rate in effect at June 30, 2016.

See accompanying Notes to the Financial Statements.

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A summary of outstanding derivatives at June 30, 2016 is as follows:

Forward Foreign Currency Exchange Contracts to Buy Cross Currency Forward Foreign Currency Exchange Contracts


EXPIRATION DATE	DELIVER/RECEIVE	COUNTERPARTY	CONTRACT AMOUNT PURCHASED		CONTRACT AMOUNT SOLD		NET UNREALIZED APPRECIATION (DEPRECIATION)
9/29/16	CZK/EUR	Citibank N.A.		352,000		9,549,936	$	(726	)
7/19/16	EUR/PLN	Citibank N.A.		1,963,040		445,000		3,308
7/19/16	EUR/PLN	Goldman Sachs & Co.		1,808,059		417,955		(5,932	)
7/26/16	EUR/RSD	BNP Paribas S.A.		5,805,600		47,001		(39	)
7/26/16	HRK/EUR	BNP Paribas S.A.		792,000		5,958,216		1,080
7/26/16	HUF/EUR	Citibank N.A.		141,370		44,262,285		1,440

Net unrealized depreciation on cross currency forward foreign exchange contracts							$	(869	)


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
12/6/16	JPMorgan Chase Bank N.A.		ARS	1,629,600		99,826		97,000	$	2,826
7/26/16	BNP Paribas S.A.		AUD	134,325		100,101		97,000		3,101
2/22/17	JPMorgan Chase Bank N.A.		CNH	223,512		33,153		34,000		(847	)
7/26/16	BNP Paribas S.A.		COP	527,962,250		179,884		180,421		(537	)
7/19/16	JPMorgan Chase Bank N.A.		EUR	420,675		467,076		479,901		(12,825	)
7/19/16	BNP Paribas S.A.		EUR	62,251		69,117		70,180		(1,063	)
7/19/16	Bank of America N.A.		HUF	127,109,790		446,760		462,033		(15,273	)
7/26/16	BNP Paribas S.A.		INR	12,732,035		187,874		188,701		(827	)
7/26/16	JPMorgan Chase Bank N.A.		KZT	160,839,000		471,885		483,000		(11,115	)
7/26/16	JPMorgan Chase Bank N.A.		MXN	8,265,499		451,216		454,920		(3,704	)
7/26/16	BNP Paribas S.A.		MXN	10,299,716		562,265		553,000		9,265
7/26/16	BNP Paribas S.A.		RUB	12,939,409		201,180		194,440		6,740
7/26/16	BNP Paribas S.A.		SEK	1,546,225		182,917		193,000		(10,083	)
7/26/16	Citibank N.A.		SGD	92,778		68,861		69,000		(139	)
9/13/16	BNP Paribas S.A.		THB	34,269,913		974,077		969,578		4,499
7/26/16	Bank of America N.A.		TRY	1,340,724		463,283		447,993		15,290
7/26/16	Citibank N.A.		TRY	863,965		298,540		289,000		9,540
7/26/16	Goldman Sachs & Co.		ZAR	4,377,007		295,931		288,942		6,989
7/26/16	BNP Paribas S.A.		ZAR	3,403,591		230,118		212,000		18,118

Net unrealized appreciation on forward foreign exchange contracts to buy									$	19,955

See accompanying Notes to the Financial Statements.

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Forward Foreign Currency Exchange Contracts to Sell


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/26/16	BNP Paribas S.A.		AUD	135,719		101,140		102,683	$	1,543
7/26/16	Goldman Sachs & Co.		BRL	1,340,102		414,471		382,122		(32,349	)
7/26/16	Bank of America N.A.		CHF	196,650		201,655		203,326		1,671
2/22/17	JPMorgan Chase Bank N.A.		CNH	3,396,030		503,722		500,000		(3,722	)
7/19/16	JPMorgan Chase Bank N.A.		EUR	1,378,186		1,530,202		1,572,129		41,927
7/19/16	Goldman Sachs & Co.		EUR	78,053		86,662		88,000		1,338
7/26/16	Goldman Sachs & Co.		HKD	3,745,726		482,946		483,000		54
7/12/16	Bank of America N.A.		IDR	3,430,661,700		260,194		253,496		(6,698	)
7/26/16	JPMorgan Chase Bank N.A.		ILS	808,614		209,596		215,455		5,859
7/26/16	JPMorgan Chase Bank N.A.		INR	12,732,035		187,874		188,274		400
7/26/16	Citibank N.A.		MYR	1,596,736		400,335		405,582		5,247
7/26/16	Bank of America N.A.		PHP	9,384,641		199,012		198,566		(446	)
7/26/16	BNP Paribas S.A.		SGD	748,763		555,742		553,326		(2,416	)
7/26/16	Bank of America N.A.		TRY	1,626,025		561,867		560,007		(1,860	)
7/26/16	Bank of America N.A.		ZAR	5,523,085		373,417		381,136		7,719
7/26/16	JPMorgan Chase Bank N.A.		ZAR	10,868,412		734,816		731,000		(3,816	)

Net unrealized appreciation on forward foreign exchange contracts to sell									$	14,451

Currency Legend


ARS	–	Argentine Peso
AUD	–	Australian Dollar
BRL	–	Brazilian Real
CHF	–	Swiss Franc
CNH	–	Chinese Yuan Renminbi
COP	–	Colombian Peso
CZK	–	Czech Koruna
EUR	–	Euro
HKD	–	Hong Kong Dollar
HRK	–	Croatian Kuna
HUF	–	Hungarian Forint
IDR	–	Indonesian Rupiah
ILS	–	Israeli Shekel
INR	–	Indian Rupee
KRW	–	South Korean Won
KZT	–	Kazakhstan Tenge
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
PHP	–	Philippines Peso
PLN	–	Polish Zloty
RSD	–	Serbian Dinar
RUB	–	Russian Ruble
SEK	–	Swedish Krona
SGD	–	Singapore Dollar
THB	–	Thai Baht

See accompanying Notes to the Financial Statements.

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TRY	–	New Turkish Lira
ZAR	–	South African Rand

OTC – Interest Rate Swaps


DESCRIPTION	NOTIONAL AMOUNT		UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Agreement with Bank of America N.A. dated 12/9/15 receiving a fixed rate of 12.50% paying the notional amount multiplied by the BRL-CDI rate. Expiring 1/2/25	BRL	625,257	$	2,769		$	2,769
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 receiving a fixed rate of 2.46% paying the notional amount multiplied by the PLN-WIBOR rate. Expiring 6/21/26	PLN	1,100,000		6,834			6,834
Agreement with JPMorgan Chase Bank N.A. dated 4/26/16 paying a fixed rate of 1.79% receiving the notional amount multiplied by the PLN-WIBOR rate. Expiring 6/21/19	PLN	3,300,000		(3,702	)		(3,702	)
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 paying a fixed rate of 1.64% receiving the notional amount multiplied by the KRW-KSDA rate. Expiring 5/20/26	KRW	190,000,000		(5,239	)		(5,239	)
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 receiving a fixed rate of 1.67% paying the notional amount multiplied by the ILS-TELBO rate. Expiring 5/23/26	ILS	610,000		2,608			2,608

See accompanying Notes to the Financial Statements.

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
*Fixed Income — 90.8%:**

*Foreign Government — 90.8%+:**

*Argentina — 2.0%:**
Argentine Bonad Bonds¤		1.75	%		10/28/2016		112,000		$107,294		$110,510


*Brazil — 9.5%:**
Brazil Letras do Tesouro Nacional		Zero Coupon			1/1/2017		518,000		129,087		151,375
Brazil Notas do Tesouro Nacional Serie B		6.00			8/15/2020		313,000		252,708		223,178
Brazil Notas do Tesouro Nacional Serie B		6.00			8/15/2050		200,000		163,908		144,657

Total Brazil							1,031,000		545,703		519,210


*Chile — 0.9%:**
Chile Government International Bond		5.50			8/5/2020		32,300,000		48,065		51,519


*Colombia — 9.8%:**
Colombian TES		7.75			9/18/2030		1,552,000,000		425,907		536,867


*Croatia — 2.0%:**
Croatia Government Bond		4.25			12/14/2026		700,000		110,516		106,698


*Ghana — 0.5%:**
Ghana Government Bond		24.75			3/1/2021		100,000		26,816		25,848


*Hungary — 4.7%:**
Hungary Government Bond		6.00			11/24/2023		7,650,000		32,176		32,598
Hungary Government Bond		6.75			10/22/2028		47,000,000		233,026		223,104

Total Hungary							54,650,000		265,202		255,702


*Indonesia — 10.0%:**
Indonesia Treasury Bond		8.25			7/15/2021		475,000,000		36,089		37,421
Indonesia Treasury Bond		8.38			3/15/2034		6,369,000,000		436,074		508,378

Total Indonesia							6,844,000,000		472,163		545,799


*Malaysia — 10.3%:**
Malaysia Government Bond		3.48			3/15/2023		1,720,000		385,871		420,134
Malaysia Government Bond		4.50			4/15/2030		550,000		128,541		140,825

Total Malaysia							2,270,000		514,412		560,959


*Mexico — 4.4%:**
Mexican Bonos		7.75			11/13/2042		3,830,000		246,638		240,261


*Peru — 2.0%:**
Peru Government Bond		7.84			8/12/2020		330,000		98,419		110,183


*Philippines — 4.1%:**
Philippine Government International Bond		4.95			1/15/2021		10,000,000		220,116		221,053


*Poland — 4.8%:**
Poland Government Bond		5.75			4/25/2029		820,000		277,049		263,408

See accompanying Notes to the Financial Statements.

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Foreign Government (Continued)

*Romania — 3.8%:**
Romania Government Bond		5.80	%		7/26/2027		230,000		$67,782		$66,105
Romania Government Bond		6.75			6/11/2017		550,000		141,015		142,514

Total Romania							780,000		208,797		208,619


*Russia — 4.6%:**
Russian Federal Bond—OFZ		7.05			1/19/2028		2,800,000		36,205		40,205
Russian Federal Inflation Linked Bond		2.50			8/16/2023		13,482,378		194,374		208,406

Total Russia							16,282,378		230,579		248,611


*South Africa — 6.7%:**
South Africa Government Bond		8.75			2/28/2048		5,900,000		361,543		368,444


*Thailand — 4.4%:**
Thailand Government Bond		1.20			7/14/2021		8,504,160		226,638		237,931


*Turkey — 4.5%:**
Turkey Government Bond		8.00			3/12/2025		750,000		241,551		244,901


*Uruguay — 1.8%:**
Uruguay Government International Bond		4.38			12/15/2028		3,419,112		105,604		99,802

Total Foreign Government							8,537,778,650		4,733,012		4,956,325


Total Fixed Income							8,537,778,650		4,733,012		4,956,325

*Short-Term Investment — 6.7%:**

*Bank Deposit — 6.7%:**
State Street Bank & Trust Co. Euro Time Deposit		0.01			7/1/2016		368,917		368,917		368,917

Total Investments							8,538,147,567		5,101,929		5,325,242


Other assets and liabilities — 2.5%*											135,270


Net Assets — 100.0%											$5,460,512

‡‡	Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

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

+	Foreign security.

See accompanying Notes to the Financial Statements.

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Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:


		Malaysia			11.3%
		Indonesia			11.0%
		Colombia			10.8%
		Brazil			10.5%
		South Africa			7.4%
		Poland			5.3%
		Hungary			5.2%
		Russia			5.0%
		Turkey			5.0%
		Mexico			4.9%
		Thailand			4.8%
		Philippines			4.5%
		Romania			4.2%
		Argentina			2.2%
		Peru			2.2%
		Croatia			2.2%
		Uruguay			2.0%
		Chile			1.0%
		Other (Individually less than 1%)			0.5%

		Total			100.0%

¤	For fair value measurement disclosure purposes, security is categorized as Level 3 (See Note 2).

A summary of outstanding derivatives at June 30, 2016 is as follows:

Cross Currency Forward Foreign Currency Exchange Contracts


EXPIRATION DATE	DELIVER/RECEIVE	COUNTERPARTY	CONTRACT AMOUNT PURCHASED		CONTRACT AMOUNT SOLD		NET UNREALIZED APPRECIATION (DEPRECIATION)
9/29/16	CZK/EUR	Citibank N.A.		191,000		5,181,926		(228	)
7/26/16	EUR/HUF	Citibank N.A.		9,491,810		30,304		(290	)
7/26/16	EUR/HUF	JPMorgan Chase Bank N.A.		7,620,710		24,000		135
7/26/16	EUR/PLN	JPMorgan Chase Bank N.A.		75,387		17,000		119
7/26/16	EUR/PLN	Bank of America N.A.		582,612		132,000		236
7/26/16	EUR/RON	Goldman Sachs & Co.		810,405		181,199		(2,305	)
7/26/16	EUR/RSD	BNP Paribas S.A.		6,165,000		49,911		(36	)
7/26/16	HRK/EUR	BNP Paribas S.A.		525,653		3,954,489		560
7/26/16	HUF/EUR	Citibank N.A.		25,000		7,828,990		244
7/26/16	PLN/EUR	JPMorgan Chase Bank N.A.		51,091		225,724		(148	)
7/26/16	RON/EUR	Bank of America N.A.		32,000		143,580		294

Net unrealized depreciation on cross currency forward foreign exchange contracts							$	(1,419	)

See accompanying Notes to the Financial Statements.

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Forward Foreign Currency Exchange Contracts to Buy


EXPIRATION DATE		COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
	12/6/16	Citibank N.A.		ARS	845,000		52,110		50,000	$	2,110
	3/1/17	JPMorgan Chase Bank N.A.		ARS	1,881,000		110,332		100,000		10,332
	7/26/16	BNP Paribas S.A.		AUD	69,239		51,517		50,000		1,517
	7/26/16	BNP Paribas S.A.		BRL	222,115		68,888		61,034		7,854
	7/26/16	Goldman Sachs & Co.		BRL	257,615		79,898		77,325		2,573
	7/26/16	BNP Paribas S.A.		COP	245,151,224		83,940		83,157		783
	7/26/16	JPMorgan Chase Bank N.A.		EUR	258,806		287,736		294,706		(6,970	)
	7/26/16	JPMorgan Chase Bank N.A.		HUF	71,409,975		251,295		252,264		(969	)
	7/12/16	Bank of America N.A.		IDR	696,089,880		52,846		52,249		597
	7/26/16	BNP Paribas S.A.		INR	6,990,550		103,184		103,607		(423	)
	7/26/16	JPMorgan Chase Bank N.A.		KZT	35,964,000		105,515		108,000		(2,485	)
	7/26/16	Bank of America N.A.		MXN	1,043,675		56,463		55,000		1,463
	7/26/16	BNP Paribas S.A.		MXN	3,240,779		175,327		174,000		1,327
	7/26/16	JPMorgan Chase Bank N.A.		MXN	8,521,595		461,020		458,563		2,457
	7/26/16	Goldman Sachs & Co.		MYR	275,493		69,012		67,702		1,310
	9/6/16	JPMorgan Chase Bank N.A.		PLN	2,677,802		674,952		705,679		(30,727	)
	7/26/16	BNP Paribas S.A.		RUB	12,865,322		200,271		192,057		8,214
	7/26/16	BNP Paribas S.A.		SEK	865,245		102,213		108,000		(5,787	)
	9/13/16	BNP Paribas S.A.		THB	15,663,033		445,201		443,145		2,056
	7/26/16	Citibank N.A.		TRY	215,244		74,400		72,000		2,400
	7/26/16	JPMorgan Chase Bank N.A.		TRY	1,922,532		664,534		640,025		24,509
	7/26/16	Bank of America N.A.		ZAR	4,300,145		292,376		270,913		21,463
	7/26/16	BNP Paribas S.A.		ZAR	786,679		53,488		49,000		4,488

	Net unrealized appreciation on forward foreign exchange contracts to buy									$	48,092

Forward Foreign Currency Exchange Contracts to Sell


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/26/16	BNP Paribas S.A.		AUD	69,711		51,866		49,807	$	(2,059	)
7/26/16	BNP Paribas S.A.		BRL	823,215		255,316		228,742		(26,574	)
7/26/16	Citibank N.A.		CAD	32,517		25,040		26,000		960
7/26/16	Goldman Sachs & Co.		CAD	33,545		25,832		26,000		168
7/26/16	BNP Paribas S.A.		CHF	98,547		101,294		99,541		(1,753	)
7/26/16	BNP Paribas S.A.		CLP	66,527,421		100,281		95,126		(5,155	)
2/22/17	JPMorgan Chase Bank N.A.		CNH	1,698,015		251,844		250,000		(1,844	)
7/26/16	JPMorgan Chase Bank N.A.		COP	259,497,939		88,853		86,744		(2,109	)
7/26/16	JPMorgan Chase Bank N.A.		EUR	730,305		811,939		816,285		4,346
7/26/16	Goldman Sachs & Co.		HKD	2,101,639		270,975		271,000		25
7/26/16	Goldman Sachs & Co.		HUF	9,522,268		33,509		33,174		(335	)
7/12/16	Bank of America N.A.		IDR	454,240,000		34,485		34,000		(485	)
7/26/16	BNP Paribas S.A.		ILS	357,894		92,969		92,728		(241	)
7/26/16	JPMorgan Chase Bank N.A.		INR	6,990,550		103,183		103,372		189
7/26/16	JPMorgan Chase Bank N.A.		JPY	5,682,726		55,428		52,000		(3,428	)

See accompanying Notes to the Financial Statements.

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June 30, 2016


EXPIRATION DATE		COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
	7/26/16	Citibank N.A.		MYR	444,245		111,284		112,841	$	1,557
	7/26/16	Bank of America N.A.		NOK	436,637		52,179		54,000		1,821
	7/26/16	BNP Paribas S.A.		NOK	423,892		50,655		51,000		345
	7/26/16	Bank of America N.A.		PHP	19,097,670		405,061		407,026		1,965
	9/6/16	JPMorgan Chase Bank N.A.		PLN	178,752		45,055		44,584		(471	)
	7/26/16	JPMorgan Chase Bank N.A.		RON	892,495		219,322		221,065		1,743
	7/26/16	BNP Paribas S.A.		RUB	7,645,052		119,008		116,000		(3,008	)
	7/26/16	JPMorgan Chase Bank N.A.		SGD	352,442		261,829		254,609		(7,220	)
	7/26/16	Bank of America N.A.		TRY	992,995		343,235		342,388		(847	)
	8/26/16	Citibank N.A.		UYU	2,924,531		93,525		90,235		(3,290	)
	7/26/16	JPMorgan Chase Bank N.A.		ZAR	2,958,706		201,169		199,000		(2,169	)

	Net unrealized depreciation on forward foreign exchange contracts to sell									$	(47,869	)

Currency Legend


ARS	–	Argentine Peso
AUD	–	Australian Dollar
BRL	–	Brazilian Real
CAD	–	Canadian Dollar
CHF	–	Swiss Franc
CLP	–	Chilean Peso
CNH	–	Chinese Yuan Renminbi
COP	–	Colombian Peso
CZK	–	Czech Republic Koruna
EUR	–	Euro
HKD	–	Hong Kong Dollar
HRK	–	Croatian Kuna
HUF	–	Hungarian Forint
IDR	–	Indonesian Rupiah
ILS	–	Israeli Shekel
INR	–	Indian Rupee
JPY	–	Japanese Yen
KRW	–	South Korean Won
KZT	–	Kazakhstani Tenge
MXN	–	Mexican Peso
MYR	–	Malaysian Ringgit
NOK	–	Norwegian Krona
PHP	–	Philippines Peso
PLN	–	Polish Zloty
RON	–	New Romanian Leu
RSD	–	Serbian Dinar
RUB	–	Russian Ruble
SEK	–	Swedish Krona
SGD	–	Singapore Dollar
THB	–	Thai Baht
TRY	–	New Turkish Lira
UYU	–	Uruguayan Peso
ZAR	–	South African Rand

See accompanying Notes to the Financial Statements.

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June 30, 2016

OTC – Interest Rate Swaps


DESCRIPTION	NOTIONAL AMOUNT			UNREALIZED APPRECIATION (DEPRECIATION)			VALUE
Agreement with Bank of America N.A. dated 12/9/15 receiving a fixed rate of 8.68% paying the notional amount multiplied by the ZAR-JIBAR rate. Expiring 12/9/25		ZAR	8,000,000	$	13,197		$	13,197
Agreement with Bank of America N.A. dated 5/23/16 paying a fixed rate of 13.13% receiving the notional amount multiplied by the BRL-CDI rate. Expiring 7/3/17		BRL	1,788,280		1,565			1,565
Agreement with Bank of America N.A. dated 6/24/16 paying a fixed rate of 12.68% receiving the notional amount multiplied by the BRL-CDI rate. Expiring 1/2/18		BRL	1,753,202		1,564			1,564
Agreement with Bank of America N.A. dated 6/24/16 receiving a fixed rate of 12.50% paying the notional amount multiplied by the BRL-CDI rate. Expiring 1/2/25		BRL	220,679		980			980
Agreement with JPMorgan Chase Bank N.A. dated 12/12/15 paying a fixed rate of 0.25% receiving the notional amount multiplied by the CZK-PRIBO rate. Expiring 2/16/21		CZK	2,500,000		154			154
Agreement with JPMorgan Chase Bank N.A. dated 12/9/15 receiving a fixed rate of 6.35% paying the notional amount multiplied by the MXN-TIIE rate. Expiring 11/27/25		MXN	4,750,000		5,946			5,946
Agreement with JPMorgan Chase Bank N.A. dated 4/26/16 paying a fixed rate of 1.26% receiving the notional amount multiplied by the CL-CLICP rate. Expiring 4/28/21		CLP	76,404,734		13,616			13,616
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 paying a fixed rate of 1.64% receiving the notional amount multiplied by the KRW-KSDA rate. Expiring 5/20/26		KRW	159,000,000		(4,384	)		(4,384	)
Agreement with JPMorgan Chase Bank N.A. dated 5/19/16 receiving a fixed rate of 1.67% paying the notional amount multiplied by the ILS-TELBOR rate. Expiring 5/23/26		ILS	510,000		2,185			2,185
Agreement with JPMorgan Chase Bank N.A. dated 6/17/16 paying a fixed rate of 1.79% receiving the notional amount multiplied by the PLN-WIBOR rate. Expiring 6/21/19		PLN	1,800,000		(2,011	)		(2,011	)
Agreement with JPMorgan Chase Bank N.A. dated 6/7/16 receiving a fixed rate of 2.46% paying the notional amount multiplied by the PLN-WIBOR rate. Expiring 6/21/26		PLN	600,000		3,668			3,668

Total Interest Rate Swaps								36,480

See accompanying Notes to the Financial Statements.

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	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
*Fixed Income — 97.6%:**

*Corporate Bonds — 97.6%:**

*Aerospace and Defense — 2.0%:**
CPI International, Inc.		8.75	%		2/15/2018		500,000		$502,740		$496,251


*Automobile — 2.5%:**
Gates Global LLC/Gates Global Co.^		6.00			7/15/2022		125,000		96,936		109,375
International Automotive Components Group SA^		9.13			6/1/2018		250,000		251,913		250,000
JB Poindexter & Co., Inc.^		9.00			4/1/2022		250,000		263,090		260,000

Total Automobile							625,000		611,939		619,375


*Banking — 0.9%:**
Lock AS+		7.00			8/15/2021		200,000		230,033		225,834


*Beverage, Food and Tobacco — 3.6%:**
Boparan Finance PLC+		5.50			7/15/2021		250,000		357,519		290,379
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC^		5.00			6/1/2024		117,000		117,000		119,047
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC^		5.25			6/1/2026		125,000		125,000		128,125
Manitowoc Foodservice, Inc.^		9.50			2/15/2024		250,000		250,000		279,375
Performance Food Group, Inc.^		5.50			6/1/2024		95,000		95,000		96,663

Total Beverage, Food and Tobacco							837,000		944,519		913,589


*Broadcasting and Entertainment — 4.4%:**
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.75			2/15/2026		250,000		250,000		257,500
DISH DBS Corp.^		7.75			7/1/2026		316,000		316,000		325,480
Entertainment One Ltd.+		6.88			12/15/2022		100,000		150,241		133,710
Gray Television, Inc.		7.50			10/1/2020		174,000		180,867		181,395
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH+		3.50			1/15/2027		200,000		214,585		213,627

Total Broadcasting and Entertainment							1,040,000		1,111,693		1,111,712


*Buildings and Real Estate — 2.6%:**
Brookfield Residential Properties, Inc.+^		6.50			12/15/2020		250,000		249,443		249,375
GEO Group, Inc. (The)		6.00			4/15/2026		250,000		250,000		252,500
Paroc Group Oy+		6.25			5/15/2020		150,000		158,827		165,131

Total Buildings and Real Estate							650,000		658,270		667,006


*Cargo Transport — 5.2%:**
Deck Chassis Acquisition, Inc.^		10.00			6/15/2023		300,000		300,000		310,500
OPE KAG Finance Sub, Inc.^		7.88			7/31/2023		750,000		779,834		738,750
WFS Global Holding SAS+		9.50			7/15/2022		250,000		281,017		259,404

Total Cargo Transport							1,300,000		1,360,851		1,308,654

See accompanying Notes to the Financial Statements.

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Chemicals, Plastics and Rubber — 6.2%:**
Consolidated Energy Finance SA+^		6.75	%		10/15/2019		370,000		$364,049		$347,800
CVR Partners LP/CVR Nitrogen Finance Corp.^		9.25			6/15/2023		250,000		243,785		254,375
LBC Tank Terminals Holding Netherlands BV^		6.88			5/15/2023		215,000		207,100		207,475
LSB Industries, Inc.		7.75			8/1/2019		263,000		227,168		262,014
Platform Specialty Products Corp.^		10.38			5/1/2021		392,000		392,000		394,940
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc.		6.38			5/1/2022		100,000		117,119		111,613

Total Chemicals, Plastics and Rubber							1,590,000		1,551,221		1,578,217


*Containers, Packaging and Glass — 5.9%:**
Coveris Holdings SA^		7.88			11/1/2019		372,000		350,589		361,305
Horizon Holdings I SASU+		7.25			8/1/2023		300,000		343,484		344,661
Mustang Merger Corp.^		8.50			8/15/2021		334,000		349,999		349,030
Plastipak Holdings, Inc.^		6.50			10/1/2021		125,000		125,605		127,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu^		7.00			7/15/2024		141,000		141,000		145,159
SIG Combibloc Holdings SCA+		7.75			2/15/2023		150,000		173,096		175,268

Total Containers, Packaging and Glass							1,422,000		1,483,773		1,502,923


*Diversified/Conglomerate Manufacturing — 1.8%:**
EnPro Industries, Inc.		5.88			9/15/2022		221,000		223,033		222,105
West Corp.^		5.38			7/15/2022		250,000		240,234		232,500

Total Diversified/Conglomerate Manufacturing							471,000		463,267		454,605


*Diversified/Conglomerate Service — 2.5%:**
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.^		6.38			4/1/2024		115,000		111,252		113,850
Infor Software Parent LLC/Infor Software Parent, Inc. PIK^		7.13			5/1/2021		304,000		267,034		269,040
Zachry Holdings, Inc.^		7.50			2/1/2020		250,000		252,701		247,500

Total Diversified/Conglomerate Service							669,000		630,987		630,390


*Electronics — 3.9%:**
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		5.88			6/15/2021		140,000		140,000		142,768
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		7.13			6/15/2024		154,000		154,000		160,841
NXP BV/NXP Funding LLC^		4.63			6/1/2023		250,000		250,000		254,375
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25			5/15/2023		250,000		250,000		265,000
Western Digital Corp.^		10.50			4/1/2024		150,000		150,000		160,500

Total Electronics							944,000		944,000		983,484

See accompanying Notes to the Financial Statements.

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡			COST		FAIR VALUE
Corporate Bonds (Continued)

*Finance — 3.5%:**
Galaxy Finco Ltd.+		7.88	%		11/15/2021		250,000			$381,739		$326,156
Garfunkelux Holdco 3 SA+		8.50			11/1/2022		300,000			460,335		377,769
TMF Group Holding BV+		9.88			12/1/2019		150,000			182,895		177,615

Total Finance							700,000			1,024,969		881,540


*Grocery — 0.5%:**
Premier Foods Finance PLC+		6.50			3/15/2021		100,000			146,396		126,469


*Healthcare, Education and Childcare — 6.9%:**
Alere, Inc.^		6.38			7/1/2023		250,000			256,898		260,625
Capsugel SA PIK^		7.00			5/15/2019		290,000			292,142		290,725
Cerberus Nightingale 1 Sarl+		8.25			2/1/2020		100,000			110,512		113,084
HCA, Inc.		5.38			2/1/2025		375,000			381,201		384,375
HCA, Inc.		5.88			2/15/2026		125,000			125,000		129,687
RegionalCare Hospital Partners Holdings, Inc.^		8.25			5/1/2023		132,000			132,000		135,300
Valeant Pharmaceuticals International, Inc.^		6.13			4/15/2025		525,000			451,765		421,312

Total Healthcare, Education and Childcare							1,797,000			1,749,518		1,735,108


*Home and Office Furnishings, Housewares, and Durable Consumer Products — 0.7%:**
LSF9 Balta Issuer SA+		7.75			9/15/2022		150,000			171,799		175,318


*Hotels, Motels, Inns and Gaming — 0.5%:**
TVL Finance PLC+		8.50			5/15/2023		100,000			146,115		128,366


*Insurance — 1.7%:**
CNO Financial Group, Inc.		5.25			5/30/2025		250,000			251,810		257,500
York Risk Services Holding Corp.^		8.50			10/1/2022		250,000			225,185		184,375

Total Insurance							500,000			476,995		441,875


*Leisure, Amusement, Entertainment — 6.2%:**
Brunswick Corp.		7.13			8/1/2027		817,000			869,188		878,684
CPUK Finance Ltd.+		7.00			2/28/2042		200,000			311,716		272,906
Odeon & UCI Finco PLC MTN+		9.00			8/1/2018		100,000	��		157,204		134,190
Perform Group Financing PLC+		8.50			11/15/2020		100,000			149,427		120,478
WMG Acquisition Corp.^		6.75			4/15/2022		150,000			151,125		151,125

Total Leisure, Amusement, Entertainment							1,367,000			1,638,660		1,557,383


*Machinery Non-Agriculture, Non-Construction, Non-Electronic — 1.3%:**
Apex Tool Group LLC^		7.00			2/1/2021		88,000			77,355		75,900
Xerium Technologies, Inc.		8.88			6/15/2018		250,000			252,932		246,250

Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							338,000			330,287		322,150


*Mining, Steel, Iron and Non-Precious Metals — 5.8%:**
Constellium NV+		7.00			1/15/2023		130,000			125,563		116,207
Constellium NV+^		7.88			4/1/2021		250,000			250,000		257,813

See accompanying Notes to the Financial Statements.

141

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

Mining, Steel, Iron and Non-Precious Metals (Continued)
Freeport-McMoRan, Inc.		3.55	%		3/1/2022		313,000		$247,578		$275,440
Freeport-McMoRan, Inc.		4.00			11/14/2021		107,000		83,092		96,668
Hecla Mining Co.		6.88			5/1/2021		250,000		215,388		239,375
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^		7.38			2/1/2020		324,000		270,540		272,160
United States Steel Corp.^		8.38			7/1/2021		117,000		117,000		122,850
Zekelman Industries, Inc.^		9.88			6/15/2023		92,000		92,000		92,920

Total Mining, Steel, Iron and Non-Precious Metals							1,583,000		1,401,161		1,473,433


*Oil and Gas — 13.4%:**
Calumet Specialty Products Partners LP/Calumet Finance Corp.		6.50			4/15/2021		150,000		107,561		107,250
Calumet Specialty Products Partners LP/Calumet Finance Corp.		7.75			4/15/2023		52,000		49,567		35,750
Citgo Holding, Inc.^		10.75			2/15/2020		341,000		345,505		342,705
Continental Resources, Inc.		5.00			9/15/2022		250,000		217,838		244,375
Energy Transfer Equity LP		5.88			1/15/2024		157,000		146,120		152,683
EP Energy LLC/Everest Acquisition Finance, Inc.		9.38			5/1/2020		508,000		457,363		359,410
Genesis Energy LP/Genesis Energy Finance Corp.		6.75			8/1/2022		250,000		244,773		242,500
Hornbeck Offshore Services, Inc.		5.88			4/1/2020		250,000		157,007		158,125
Kosmos Energy Ltd.^		7.88			8/1/2021		250,000		225,068		241,250
Laredo Petroleum, Inc.		7.38			5/1/2022		250,000		238,409		250,625
Newfield Exploration Co.		5.38			1/1/2026		250,000		241,674		243,125
Sabine Pass Liquefaction LLC^		5.88			6/30/2026		250,000		250,000		250,937
Summit Midstream Holdings LLC/Summit Midstream Finance Corp.		5.50			8/15/2022		291,000		208,771		250,260
Tullow Oil PLC+^		6.25			4/15/2022		250,000		196,549		200,000
Weatherford International Ltd.		7.75			6/15/2021		125,000		125,000		121,719
Weatherford International Ltd.		8.25			6/15/2023		125,000		125,000		118,750
WPX Energy, Inc.		6.00			1/15/2022		68,000		61,312		63,240

Total Oil and Gas							3,817,000		3,397,517		3,382,704


*Personal Transportation — 1.8%:**
AA Bond Co. Ltd.+		5.50			7/31/2043		350,000		498,195		443,805


*Retail Stores — 4.9%:**
Brighthouse Group PLC MTN+		7.88			5/15/2018		100,000		147,385		119,699
Debenhams PLC+		5.25			7/15/2021		150,000		232,699		189,193
Dollar Tree, Inc.^		5.75			3/1/2023		500,000		523,995		531,250
HSS Financing PLC+		6.75			8/1/2019		68,000		97,975		88,172
Penske Automotive Group, Inc.		5.50			5/15/2026		250,000		250,000		237,500
Takko Luxembourg 2 S.C.A. MTN+		9.88			4/15/2019		100,000		69,633		62,978

Total Retail Stores							1,168,000		1,321,687		1,228,792

See accompanying Notes to the Financial Statements.

142

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Telecommunications — 7.3%:**
Altice Financing SA+^		6.63	%		2/15/2023		250,000		$251,621		$245,468
Altice Financing SA^+		7.50			5/15/2026		250,000		250,000		245,000
Digicel Ltd.^+		6.00			4/15/2021		250,000		228,077		214,300
Numericable-SFR SA^+		7.38			5/1/2026		350,000		350,000		346,062
Sprint Corp.		7.88			9/15/2023		250,000		229,995		204,375
Virgin Media Secured Finance PLC MTN+		5.13			1/15/2025		150,000		227,282		194,695
Wind Acquisition Finance SA+^		7.38			4/23/2021		200,000		190,698		190,500
Ziggo Bond Finance BV+		4.63			1/15/2025		200,000		206,029		211,407

Total Telecommunications							1,900,000		1,933,702		1,851,807


*Textiles and Leather — 1.6%:**
Hanesbrands, Inc.^		4.63			5/15/2024		167,000		167,000		167,417
Hanesbrands, Inc.^		4.88			5/15/2026		246,000		246,000		246,886

Total Textiles and Leather							413,000		413,000		414,303

Total Corporate Bonds							24,531,000		25,143,294		24,655,093

Total Fixed Income							24,531,000		25,143,294		24,655,093


*Short-Term Investment — 1.8%:**

*Bank Deposit — 1.8%:**
State Street Bank & Trust Co. Euro Time Deposit		0.01			7/1/2016		460,981		460,981		460,981

Total Investments							24,991,981		25,604,275		25,116,074


Other assets and liabilities — 0.6%*											155,069


Net Assets — 100.0%											$25,271,143

MTN	Medium Term Note

PIK	Payment-in-kind

‡‡	Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

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

+	Foreign security.

See accompanying Notes to the Financial Statements.

143

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SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:


		United States			69.6%
		United Kingdom			10.4%
		France			5.8%
		Germany			2.7%
		Portugal			2.0%
		Netherlands			1.6%
		Trinidad And Tobago			1.4%
		Canada			1.0%
		Other (Individually less than 1%)			5.5%

		Total			100.0%

^	Security acquired in a transaction 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.

A summary of outstanding financial instruments at June 30, 2016 is as follows:

Forward Foreign Currency Exchange Contracts to Buy


EXPIRATION DATE	COUNTERPARTY	LOCAL CURRENCY			VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION (DEPRECIATION)
7/8/16	BNP Paribas S.A.		EUR	55,385		61,470		60,840	$	630
7/8/16	Goldman Sachs & Co.		EUR	106,560		118,267		121,533		(3,266	)
7/8/16	JPMorgan Chase Bank N.A.		EUR	12,095		13,424		13,746		(322	)
7/8/16	Citibank N.A.		GBP	62,603		83,341		82,505		836

Net unrealized depreciation on forward foreign exchange contracts to buy									$	(2,122	)

Forward Foreign Currency Exchange Contracts to Sell


EXPIRATION DATE	COUNTERPARTY		LOCAL CURRENCY		VALUE IN USD		IN EXCHANGE FOR USD		NET UNREALIZED APPRECIATION
7/8/16	Citibank N.A.	EUR		2,353,593		2,612,162		2,629,959	$	17,797
7/8/16	Citibank N.A.	GBP		2,350,919		3,129,700		3,394,914		265,214

Net unrealized appreciation on forward foreign exchange contracts to sell									$	283,011

Currency Legend


EUR	–	Euro
GBP	–	British Pound Sterling

See accompanying Notes to the Financial Statements.

144

Babson U.S. High Yield Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
*Fixed Income — 95.8%:**

*Bank Loans — 1.2%§:**

*Oil and Gas — 1.2%:**
Fieldwood Energy LLC		7.00	%		9/28/2018		172,215		$152,526		$141,790
Fieldwood Energy LLC PIK		7.13			9/30/2020		500,000		188,813		195,069

Total Oil and Gas							672,215		341,339		336,859


Total Bank Loans							672,215		341,339		336,859

*Corporate Bonds — 94.6%:**

*Aerospace and Defense — 2.6%:**
American Airlines Group, Inc.^		4.63			3/1/2020		250,000		248,923		238,750
CPI International, Inc.		8.75			2/15/2018		500,000		502,740		496,250

Total Aerospace and Defense							750,000		751,663		735,000


*Automobile — 2.8%:**
Gates Global LLC/Gates Global Co.^		6.00			7/15/2022		125,000		96,936		109,375
International Automotive Components Group SA^		9.13			6/1/2018		250,000		251,914		250,000
JB Poindexter & Co., Inc.^		9.00			4/1/2022		410,000		431,459		426,400

Total Automobile							785,000		780,309		785,775


*Beverage, Food and Tobacco — 3.9%:**
Carrols Restaurant Group, Inc.		8.00			5/1/2022		260,000		274,589		280,150
KeHE Distributors LLC/KeHE Finance Corp.^		7.63			8/15/2021		200,000		198,250		197,750
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC^		5.00			6/1/2024		117,000		117,000		119,047
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC^		5.25			6/1/2026		125,000		125,000		128,125
Manitowoc Foodservice, Inc.^		9.50			2/15/2024		250,000		250,000		279,375
Performance Food Group, Inc.^		5.50			6/1/2024		95,000		95,000		96,663

Total Beverage, Food and Tobacco							1,047,000		1,059,839		1,101,110

*Broadcasting and Entertainment — 4.9%:**
CCO Holdings LLC/CCO Holdings Capital Corp.^		5.75			2/15/2026		500,000		500,000		515,000
DISH DBS Corp.^		7.75			7/1/2026		316,000		316,000		325,480
Gray Television, Inc.		7.50			10/1/2020		249,000		257,752		259,583
RCN Telecom Services LLC/RCN Capital Corp.^		8.50			8/15/2020		250,000		257,220		256,250

Total Broadcasting and Entertainment							1,315,000		1,330,972		1,356,313


*Buildings and Real Estate — 4.6%:**
Brookfield Residential Properties, Inc.+^		6.50			12/15/2020		250,000		249,443		249,375
GEO Group, Inc. (The)		6.00			4/15/2026		250,000		250,000		252,500
M/I Homes, Inc.		6.75			1/15/2021		250,000		250,000		248,750
MPT Operating Partnership LP/MPT Finance Corp.		6.38			3/1/2024		495,000		495,000		527,175

Total Buildings and Real Estate							1,245,000		1,244,443		1,277,800

See accompanying Notes to the Financial Statements.

145

Babson U.S. High Yield Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Cargo Transport — 3.8%:**
Deck Chassis Acquisition, Inc.^		10.00	%		6/15/2023		300,000		$300,000		$310,500
OPE KAG Finance Sub, Inc.^		7.88			7/31/2023		750,000		779,835		738,750

Total Cargo Transport							1,050,000		1,079,835		1,049,250


*Chemicals, Plastics and Rubber — 5.9%:**
Consolidated Energy Finance SA+^		6.75			10/15/2019		370,000		364,049		347,800
CVR Partners LP/CVR Nitrogen Finance Corp.^		9.25			6/15/2023		250,000		243,784		254,375
LBC Tank Terminals Holding Netherlands BV^		6.88			5/15/2023		250,000		240,814		241,250
LSB Industries, Inc.		7.75			8/1/2019		263,000		227,167		262,014
OMNOVA Solutions, Inc.		7.88			11/1/2018		141,000		140,423		141,000
Platform Specialty Products Corp.^		10.38			5/1/2021		392,000		392,000		394,940

Total Chemicals, Plastics and Rubber							1,666,000		1,608,237		1,641,379


*Containers, Packaging and Glass — 5.1%:**
Coveris Holdings SA^		7.88			11/1/2019		500,000		462,925		485,625
Mustang Merger Corp.^		8.50			8/15/2021		333,000		348,951		347,985
Plastipak Holdings, Inc.^		6.50			10/1/2021		125,000		125,605		127,500
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu^		7.00			7/15/2024		141,000		141,000		145,159
Sealed Air Corp.^		6.88			7/15/2033		300,000		310,463		318,000

Total Containers, Packaging and Glass							1,399,000		1,388,944		1,424,269


*Diversified/Conglomerate Manufacturing — 3.2%:**
Amsted Industries, Inc.^		5.38			9/15/2024		200,000		192,911		196,000
EnPro Industries, Inc.		5.88			9/15/2022		220,000		222,024		221,100
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary		7.88			6/1/2021		250,000		258,586		247,500
West Corp.^		5.38			7/15/2022		250,000		240,234		232,500

Total Diversified/Conglomerate Manufacturing							920,000		913,755		897,100


*Diversified/Conglomerate Service — 2.3%:**
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.^		6.38			4/1/2024		115,000		111,252		113,850
Infor Software Parent LLC/Infor Software Parent, Inc. PIK^		7.13			5/1/2021		319,000		280,156		282,315
Zachry Holdings, Inc.^		7.50			2/1/2020		250,000		252,701		247,500

Total Diversified/Conglomerate Service							684,000		644,109		643,665


*Electronics — 4.9%:**
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		5.88			6/15/2021		140,000		140,000		142,768
Diamond 1 Finance Corp./Diamond 2 Finance Corp.^		7.13			6/15/2024		154,000		154,000		160,841
NXP BV/NXP Funding LLC^		4.63			6/1/2023		270,000		270,000		274,725

See accompanying Notes to the Financial Statements.

146

Babson U.S. High Yield Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡			COST		FAIR VALUE
Corporate Bonds (Continued)

Electronics (Continued)
Prime Security Services Borrower LLC/Prime Finance, Inc.^		9.25	%		5/15/2023		250,000			$250,000		$265,000
WESCO Distribution, Inc.^		5.38			6/15/2024		250,000			250,000		250,000
Western Digital Corp.^		10.50			4/1/2024		250,000			250,000		267,500

Total Electronics							1,314,000			1,314,000		1,360,834


*Finance — 0.9%:**
Aircastle Ltd.		5.00			4/1/2023		250,000			250,000		254,050


*Healthcare, Education and Childcare — 7.4%:**
Alere, Inc.^		6.38			7/1/2023		325,000			335,898		338,813
Capsugel SA PIK^		7.00			5/15/2019		290,000			292,142		290,725
HCA, Inc.		5.25			6/15/2026		225,000			225,000		233,578
HCA, Inc.		5.38			2/1/2025		375,000			381,201		384,375
RegionalCare Hospital Partners Holdings, Inc.^		8.25			5/1/2023		132,000			132,000		135,300
Tenet Healthcare Corp.		6.75			6/15/2023		250,000			250,583		239,375
Valeant Pharmaceuticals International, Inc.^		6.13			4/15/2025		534,000			459,256		428,535

Total Healthcare, Education and Childcare							2,131,000			2,076,080		2,050,701


*Insurance — 1.6%:**
CNO Financial Group, Inc.		5.25			5/30/2025		250,000			251,810		257,500
York Risk Services Holding Corp.^		8.50			10/1/2022		250,000			225,185		184,375

Total Insurance							500,000			476,995		441,875


*Leisure, Amusement, Entertainment — 4.1%:**
Brunswick Corp.^		4.63			5/15/2021		375,000			378,367		379,688
Brunswick Corp.		7.13			8/1/2027		567,000			604,597		609,808
WMG Acquisition Corp.^		6.75			4/15/2022		150,000			151,125		151,125

Total Leisure, Amusement, Entertainment							1,092,000			1,134,089		1,140,621


*Machinery Non-Agriculture, Non-Construction, Non-Electronic — 1.2%:**
Apex Tool Group LLC^		7.00			2/1/2021		96,000			84,383		82,800
Xerium Technologies, Inc.		8.88			6/15/2018		250,000			252,932		246,250

Total Machinery Non-Agriculture, Non-Construction, Non-Electronic							346,000			337,315		329,050


*Mining, Steel, Iron and Non-Precious Metals — 5.2%:**
Constellium NV+^		7.88			4/1/2021		300,000			300,000		309,375
Freeport-McMoRan, Inc.		3.55			3/1/2022		353,000	��		280,599		310,640
Freeport-McMoRan, Inc.		4.00			11/14/2021		107,000			83,091		96,668
Hecla Mining Co.		6.88			5/1/2021		250,000			215,388		239,375
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.^		7.38			2/1/2020		325,000			271,375		273,000
United States Steel Corp.^		8.38			7/1/2021		117,000			117,000		122,850
Zekelman Industries, Inc.^		9.88			6/15/2023		92,000			92,000		92,920

Total Mining, Steel, Iron and Non-Precious Metals							1,544,000			1,359,453		1,444,828

See accompanying Notes to the Financial Statements.

147

Babson U.S. High Yield Fund 2016 Annual Report

SCHEDULE OF INVESTMENTS (CONTINUED)

June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Oil and Gas — 12.6%:**
Calumet Specialty Products Partners LP/Calumet Finance Corp.		6.50	%		4/15/2021		150,000		$107,561		$107,250
Calumet Specialty Products Partners LP/Calumet Finance Corp.		7.75			4/15/2023		53,000		50,520		36,438
Citgo Holding, Inc.^		10.75			2/15/2020		341,000		345,505		342,705
Continental Resources, Inc.		5.00			9/15/2022		250,000		217,838		244,375
Energy Transfer Equity LP		5.88			1/15/2024		174,000		161,944		169,215
EP Energy LLC/Everest Acquisition Finance, Inc.		9.38			5/1/2020		507,000		456,460		358,702
Genesis Energy LP/Genesis Energy Finance Corp.		6.75			8/1/2022		250,000		244,773		242,500
Hornbeck Offshore Services, Inc.		5.88			4/1/2020		250,000		157,007		158,125
Kosmos Energy Ltd.^		7.88			8/1/2021		250,000		225,068		241,250
Newfield Exploration Co.		5.38			1/1/2026		250,000		241,674		243,125
Sabine Pass Liquefaction LLC^		5.88			6/30/2026		250,000		250,000		250,937
SM Energy Co.		6.50			1/1/2023		250,000		185,048		232,500
Summit Midstream Holdings LLC/Summit Midstream Finance Corp.		5.50			8/15/2022		295,000		211,641		253,700
Sunoco LP/Sunoco Finance Corp.^		6.25			4/15/2021		250,000		250,000		249,375
Tullow Oil PLC+^		6.25			4/15/2022		250,000		196,549		200,000
Welltec A/S+^		8.00			2/1/2019		200,000		190,220		185,750

Total Oil and Gas							3,970,000		3,491,808		3,515,947


*Personal Transportation — 0.9%:**
Watco Cos. LLC/Watco Finance Corp.^		6.38			4/1/2023		250,000		250,582		247,500


*Personal, Food and Miscellaneous — 1.5%:**
Landry’s, Inc.^		9.38			5/1/2020		405,000		430,576		425,250


*Printing and Publishing — 0.9%:**
MHGE Parent LLC/MHGE Parent Finance, Inc.^		8.50			8/1/2019		250,000		252,129		252,500


*Retail Stores — 2.8%:**
Dollar Tree, Inc.^		5.75			3/1/2023		500,000		523,995		531,250
Penske Automotive Group, Inc.		5.50			5/15/2026		250,000		250,000		237,500

Total Retail Stores							750,000		773,995		768,750


*Telecommunications — 8.2%:**
Altice Financing SA+^		6.63			2/15/2023		250,000		251,622		245,468
Altice Financing SA+^		7.50			5/15/2026		250,000		250,000		245,000
Digicel Ltd.+^		6.00			4/15/2021		250,000		227,931		214,300
Numericable-SFR SA+^		7.38			5/1/2026		350,000		350,000		346,062
Numericable-SFR SAS+^		6.00			5/15/2022		250,000		251,602		243,125
Sprint Corp.		7.88			9/15/2023		250,000		229,995		204,375
T-Mobile USA, Inc.		6.50			1/15/2026		500,000		500,000		527,500
Wind Acquisition Finance SA+^		7.38			4/23/2021		284,000		260,101		270,510

Total Telecommunications							2,384,000		2,321,251		2,296,340

See accompanying Notes to the Financial Statements.

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June 30, 2016


	EFFECTIVE INTEREST RATE			DUE DATE		PRINCIPAL ‡‡		COST		FAIR VALUE
Corporate Bonds (Continued)

*Textiles and Leather — 1.5%:**
Hanesbrands, Inc.^		4.63	%		5/15/2024		167,000		$167,000		$167,417
Hanesbrands, Inc.^		4.88			5/15/2026		246,000		246,000		246,886

Total Textiles and Leather							413,000		413,000		414,303


*Utilities — 1.8%:**
NRG Energy, Inc.^		7.25			5/15/2026		250,000		250,000		248,750
Teine Energy Ltd.+^		6.88			9/30/2022		250,000		228,678		245,000

Total Utilities							500,000		478,678		493,750

Total Corporate Bonds							26,960,000		26,162,057		26,347,960

Total Fixed Income							27,632,215		26,503,396		26,684,819

*Short-Term Investment — 5.7%:**

*Bank Deposit — 5.7%:**
State Street Bank & Trust Co. Euro Time Deposit		0.01			7/1/2016		1,578,060		1,578,060		1,578,060

Total Investments							29,210,275		28,081,456		28,262,879


Other assets and liabilities — (1.5%)*											(417,627	)


Net Assets — 100.0%											$27,845,252

PIK	Payment-in-kind

‡‡	Unless otherwise indicated, all principal amounts are denominated in United States Dollars.

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

+	Foreign security.

Distributions of investments by country of risk (excluding temporary cash investments) as a percentage of total investments in securities, is as follows:


		United States			88.4%
		France			3.4%
		Canada			1.9%
		Portugal			1.8%
		Trinidad And Tobago			1.3%
		Italy			1.0%
		Other (Individually less than 1%)			2.2%

		Total			100.0%

^	Security acquired in a transaction 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.

#	Variable rate security. The interest rate shown is the rate in effect at June 30, 2016.

See accompanying Notes to the Financial Statements.

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1.	Organization

Babson Capital Funds Trust (the “Trust”) was organized as a business trust under the laws of the Commonwealth of Massachusetts on May 3, 2013 and commenced operations on September 16, 2013. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. As of June 30, 2016, the Trust consists of eight non-diversified funds (separately, a “Fund” and collectively, the “Funds”): Babson Global Floating Rate Fund (“Global Floating Rate Fund”), Babson Global Credit Income Opportunities Fund (“Global Credit Income Opportunities Fund”), Babson Active Short Duration Bond Fund (“Active Short Duration Bond Fund”), Babson Total Return Bond Fund (“Total Return Bond Fund”), Babson Emerging Markets Debt Blended Total Return Fund (“Emerging Markets Blended Total Return Fund”), Babson Emerging Markets Local Currency Debt Fund (“Emerging Markets Local Currency Debt Fund”), Babson Global High Yield Fund (“Global High Yield Fund”) and Babson U.S. High Yield Fund (“U.S. High Yield Fund”). Active Short Duration Bond Fund and Total Return Bond Fund commenced operations on July 8, 2015. Emerging Markets Debt Blended Total Return Fund commenced operations on October 21, 2015. Emerging Markets Local Currency Debt Fund commenced operations on December 8, 2015. Global High Yield Fund and U.S. High Yield Fund commenced operations on October 30, 2015.

Babson Capital Management LLC (the “Adviser”), a wholly-owned indirect subsidiary of Massachusetts Mutual Life Insurance Company, is a registered investment adviser under the 1940 Act and serves as investment adviser to the Funds.

Babson Capital Global Advisors Limited (“BCGA”), an indirect wholly-owned subsidiary of the Adviser, serves as a sub-adviser with respect to the Global Floating Rate Fund, Global Credit Income Opportunities Fund, Total Return Bond Fund, Emerging Markets Debt Blended Total Return Fund and Global High Yield Fund European investments.

Cornerstone Real Estate Advisers LLC (“Cornerstone”), a direct wholly-owned subsidiary of the Adviser, serves as a sub-adviser with respect to the Active Short Duration Bond Fund and Total Return Bond Fund investment in commercial mortgage-backed securities.

The primary investment objective of the Global Floating Rate Fund is to seek a high level of current income. The

Fund seeks preservation of capital as a secondary investment objective. The investment objective of the Global Credit Income Opportunities Fund is to seek an absolute return, primarily through current income and secondarily through capital appreciation. The investment objective of the Active Short Duration Bond Fund is to seek to achieve a high total rate of return primarily from current income while minimizing fluctuations in capital values by investing primarily in a diversified portfolio of short-term investment grade fixed income securities. The investment objective of the Total Return Bond Fund is to seek a superior total rate of return by investing in fixed income instruments. The investment objective of the Emerging Markets Debt Blended Total Return Fund is to seek to achieve maximum total return, consistent with preservation of capital and prudent investment management, through high current income generation and, where appropriate, capital appreciation. The investment objective of the Emerging Markets Local Currency Debt Fund is to seek long-term total return through investment in a diversified portfolio of emerging markets local currency denominated debt securities. The investment objective of the Global High Yield Fund is to seek to provide high current income generation and, where appropriate, capital appreciation. The investment objective of the U.S. High Yield Fund is to seek to achieve a high level of total return, with an emphasis on current income, by investing primarily in high yield debt and related securities.

There can be no assurance that the Funds will achieve their investment objectives. Under normal market conditions, the Global Floating Rate Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in income producing floating rate debt securities, consisting of floating rate loans, bonds and notes, issued primarily by North American and Western European companies. Such instruments are primarily, at the time of purchase, rated below-investment grade (below Baa3 by Moody’s Investors Service, Inc. (“Moody’s”) or below BBB- by either Standard & Poor’s Rating Services, a division of the McGraw-Hill Company, Inc. (“S&P”) or Fitch, Inc. (“Fitch”)) or unrated but judged by the Adviser or BCGA to be of comparable quality. Under normal circumstances, the Global Credit Income Opportunities Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in debt instruments, consisting of loans, bonds and notes, based in U.S. and non-U.S. markets, as well as over-the-counter and

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June 30, 2016

exchange traded derivatives. Investments may be issued or guaranteed by governments and their agencies, corporations, financial institutions and supranational organizations that the Global Floating Rate Fund and Global Credit Income Opportunities Fund believe have the potential to provide a high total return over time. A significant portion of the Global Floating Rate Fund and Global Credit Income Opportunities Fund’s investments in debt instruments will be denominated in a currency other than the U.S. dollar. Although the investments in non-U.S. dollar denominated assets may be on a currency hedged or unhedged basis, the Global Floating Rate Fund and Global Credit Income Opportunities Fund expect that, under current market conditions, they will seek to hedge substantially all of their exposure to foreign currencies. Under normal market conditions, the Active Short Duration Bond Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in investment grade fixed income securities (rated Baa or higher by Moody’s or BBB or higher by S&P or, if unrated, determined to be of comparable quality by the Adviser). These typically include U.S. dollar-denominated corporate obligations, securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, U.S. and foreign issuer dollar-denominated bonds including, but not limited to, corporate obligations, government and agency issues, private placement bonds, securities subject to resale pursuant to Rule 144A, mortgage-backed, and other asset-backed securities. Under normal market conditions, the Total Return Bond Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in fixed income securities. These typically include: U.S. dollar denominated corporate obligations and bank loans, securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, U.S. and foreign issuer dollar denominated bonds including, but not limited to, corporate obligations, government and agency issues, private placement bonds, securities subject to resale pursuant to Rule 144A, convertible bonds, mortgage-backed, and other asset-backed securities. Under normal market conditions, the Emerging Markets Debt Blended Total Return Fund will invest at least 80% of its net assets (including the amount of any borrowings for investment purposes) in (i) securities denominated in currencies of the emerging market countries, (ii) fixed income securities or debt instruments issued by emerging market entities or sovereign nations, and/or (iii) debt instruments

denominated in or based on the currencies, interest rates, or issues of emerging market countries. Emerging market countries are defined to include any country that did not become a member of the Organization for Economic Cooperation and Development (O.E.C.D.) prior to 1975 and Turkey. Certain emerging market countries are referred to as “frontier” market countries. The Fund will likely focus its investments in Asia, Africa, the Middle East, Latin America and the developing countries of Europe. Under normal market conditions, the Emerging Markets Local Currency Debt Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in local currency-denominated debt instruments issued by emerging markets governments, and their quasi sovereign agencies (including supranational and sub-national government issuers). The Adviser will select the Fund’s country and currency composition based on its evaluation of relative interest rates, inflation rates, exchange rates, monetary and fiscal policies, trade and current account balances, legal and political developments, and any other specific factors the Adviser believes to be relevant. The Fund will likely focus its investments in Asia, Africa, the Middle East, Latin America and the developing countries of Europe. Under normal conditions, the Global High Yield Fund will invest at least 80% of its net assets (including the amount of any borrowing for investment purposes) in below investment grade (“high yield”) fixed and floating rate corporate debt securities including bonds, notes and other fixed and floating rate income securities issued primarily by North American and Western European companies. For this purpose, debt instruments issued by issuers based in the Channel Islands, Cayman Islands and Bermuda will be considered North American and Western European companies. Such debt securities may be secured or unsecured, and, either senior or subordinated. Secured debt means that collateral has been pledged as security against default, while investors in senior debt instruments are legally entitled to be repaid ahead of investors in subordinated (i.e. non-senior) instruments issued by the same corporation. Derivative instruments that provide exposure to such high yield debt securities or have similar economic characteristics may be used to satisfy the Fund’s 80% policy. The Adviser expects that such instruments will primarily, at the time of purchase, be rated below investment grade (commonly referred to as “junk bonds”) by at least one credit rating agency (below Baa3 by Moody’s or below BBB- by either S&P, or Fitch) or unrated but judged by the Adviser or BCGA, to be of comparable quality. The Fund may invest in high

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June 30, 2016

yield securities of any rating, including securities that are in default at the time of purchase. Under normal circumstances, the U.S. High Yield Fund invests at least 80% of its net assets (including the amount of any borrowings for investment purposes) in lower rated fixed income securities (rated below Baa3 by Moody’s or BBB- by S&P (using the lower rating) or, if unrated, determined by the Adviser to be of comparable quality), and at least 80% of its net assets (including the amount of any borrowings for investment purposes) in securities of U.S. issuers. The Fund may also invest in convertible securities, preferred stocks, warrants, bank loans, and other fixed income securities, including Rule 144A securities, of both U.S. and foreign issuers. Currently, the Adviser does not expect that the Fund will invest more than 20% of its total assets in bank loans. The Fund may invest up to 15% of its total assets in securities that are not denominated in U.S. dollars including, but not limited to, corporate bonds, government and agency issues, Rule 144A securities, convertible securities, bank loans, mortgage-backed, and asset-backed securities.

Each Fund has four classes of shares: Class A, C, I, and Y, each with different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class C, I, and Y shares. There may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without an initial sales charge and redeemed within the first year of purchase (subject to certain exceptions as set forth in each Fund’s prospectus) and Class C shares redeemed within the first year of purchase. All classes of shares have equal voting rights, with the exception of matters that relate solely to one class.

2.	Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by the Funds in the preparation of their financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”).

Valuation of Investments

The Funds’ investments in fixed income securities are generally valued using the prices provided directly by independent third party services or provided directly from one or more broker dealers or market makers, each in accordance with the valuation policies and procedures approved by the Funds’ Board of Trustees (the “Board”).

The pricing services may use valuation models or matrix pricing, which consider yield or prices with respect to comparable bond quotations from bond dealers or by reference to other securities that are considered comparable in such characteristics as credit rating, interest rates and maturity date to determine the current value. The Funds’ investments in bank loans are normally valued at the bid quotation obtained from dealers in loans by an independent pricing service in accordance with the Funds’ valuation policies and procedures approved by the Board. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value. Derivative financial instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Futures traded on inactive markets are valued using broker quotations. OTC derivative financial instruments, such as foreign currency contracts, options contracts, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of an independent pricing service providers or broker dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by independent pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates.

The assets and liabilities shown in the Statements of Assets and Liabilities related to investments purchased for “to-be-announced” (“TBA”) or when-issued securities approximate fair value and are determined using Level 2 inputs, as of June 30, 2016. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts are determined using Level 1 inputs as of June 30, 2016.

A Valuation Committee, made up of officers of the Trust and employees of the Adviser, is responsible for determining, in accordance with the Funds’ valuation policies and procedures approved by the Board; (1) whether market quotations are readily available for investments held by the Fund; and (2) the fair value of investments held by the Fund for which market quotations are not readily available or are deemed not reliable by the Adviser. In certain cases, authorized

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June 30, 2016

pricing service vendors may not provide prices for a security held by the Funds, or the price provided by such pricing service vendor is deemed unreliable by the Adviser. In such cases, the Funds may use market maker quotations provided by an established market maker for that security (i.e., broker quotes) to value the security if the Adviser has experience obtaining quotations from the market maker and the Adviser determines that quotations obtained from the market maker in the past have generally been reliable (or, if the Adviser has no such experience with respect to a market maker, it determines based on other information available to it that quotations to be obtained by it from the market maker are reasonably likely to be reliable). In any such case, the Adviser will review any market quotations so obtained in light of other information in its possession for their general reliability.

Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Bank loan positions are valued at the bid price from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche.

Bank loans in which the Funds may invest have similar risks to lower-rated fixed income securities. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. Senior secured bank loans are supported by collateral; however, the value of the collateral may be insufficient to cover the amount owed to the Funds. By relying on a third party to administer a loan, the Funds are subject to the risk that the third party will fail to perform its obligations. The loans in which the Funds will invest are largely floating rate instruments; therefore, the interest rate risk generally is lower than for fixed-rate debt obligations. However, from the perspective of the

borrower, an increase in interest rates may adversely affect the borrower’s financial condition. Due to the unique and customized nature of loan agreements evidencing loans and the private syndication thereof, loans are not as easily purchased or sold as publicly traded securities. Although the range of investors in loans has broadened in recent years, there can be no assurance that future levels of supply and demand in loan trading will provide the degree of liquidity which currently exists in the market. In addition, the terms of the loans may restrict their transferability without borrower consent. These factors may have an adverse effect on the market price and the Funds’ ability to dispose of particular portfolio investments. A less liquid secondary market also may make it more difficult for the Funds to obtain precise valuations of the high yield loans in its portfolio.

The Funds may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Fair value is defined as the price that the Funds 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

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June 30, 2016

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 Funds’ own assumptions in determining the fair value of investments)

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

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

The following is a summary of the inputs used as of June 30, 2016 in valuing the Funds’ investments:

Global Floating Rate Fund


DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3			TOTAL INVESTMENTS

Assets:*
Equities:
Common Stocks	$	–	$	7,480		$	0	**	$	7,480

Total Equities		–		7,480			0			7,480

Fixed Income:
Bank Loans		–		139,521,068			221,345			139,742,413
Corporate Bonds		–		15,314,985			–			15,314,985

Total Fixed Income		–		154,836,053			221,345			155,057,398

Short-Term Investment		–		17,598,766			–			17,598,766
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		1,819,442			–			1,819,442

Total	$	–	$	174,261,741		$	221,345		$	174,483,086

Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(22,671	)		–			(22,671	)

Total Investments	$	–	$	174,239,070		$	221,345		$	174,460,415

There were no transfers between levels during the year ended June 30, 2016.

Includes two securities valued at $0.

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June 30, 2016

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:


INVESTMENTS IN SECURITIES	BALANCE AS OF JULY 1, 2015		REALIZED GAIN (LOSS)		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)		NET TRANSFERS IN (OUT) OF LEVEL 3		ACCRUED PREMIUMS/ DISCOUNTS		PURCHASES		SALES			BALANCE AS OF JUNE 30, 2016		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2016

Fixed Income
Bank Loans	$	1,054,891	$	4,275	$	12,254	$	–	$	2,994	$	225,330	$	(1,078,399	)	$	221,345	$	12,254

Total	$	1,054,891	$	4,275	$	12,254	$	–	$	2,994	$	225,330	$	(1,078,399	)	$	221,345	$	12,254

Global Credit Income Opportunities Fund


DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS

Assets:*
Equities:
Common Stocks	$	–	$	3,740		$	418,595	$	422,335

Total Equities		–		3,740			418,595		422,335

Fixed Income:
Asset-Backed Securities		–		15,138,704			–		15,138,704
Bank Loans		–		23,767,234			221,345		23,988,579
Corporate Bonds		–		54,028,407			–		54,028,407

Total Fixed Income		–		92,934,345			221,345		93,155,690

Short-Term Investment		–		7,849,066			–		7,849,066
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		1,379,685			–		1,379,685

Total	$	–	$	102,166,836		$	639,940	$	102,806,776

Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(802	)		–		(802	)

Total Investments	$	–	$	102,166,034		$	639,940	$	102,805,974

There were no transfers between levels during the year ended June 30, 2016.

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June 30, 2016

The following is a reconciliation of investments with unobservable inputs (Level 3) that were used in determining fair value:


INVESTMENTS IN SECURITIES	BALANCE AS OF JULY 1, 2015		REALIZED GAIN (LOSS)		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)		NET TRANSFERS IN (OUT) OF LEVEL 3		ACCRUED PREMIUMS/ DISCOUNTS		PURCHASES		SALES			BALANCE AS OF JUNE 30, 2016		CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) FROM INVESTMENTS HELD AT JUNE 30, 2016

Equities
Common Stock	$	–	$	–	$	44,857	$	–	$	–	$	373,738	$	–		$	418,595	$	44,857

Fixed Income
Bank Loans	$	808,335	$	9,861	$	1,638	$	–	$	2,992	$	225,331	$	(826,812	)	$	221,345	$	(650	)

Total	$	808,335	$	9,861	$	46,495	$	–	$	2,992	$	599,069	$	(826,812	)	$	639,940	$	44,207

Active Short Duration Bond Fund


DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL INVESTMENTS

Assets:*
Fixed Income:
Asset-Backed Securities	$	–		$	47,568,141		$	–	$	47,568,141
Corporate Bonds		–			63,831,141			–		63,831,141
Mortgage-Backed Securities		–			5,151,027			–		5,151,027
U.S. Treasury & Government Agencies		–			32,017,461			–		32,017,461

Total Fixed Income		–			148,567,770			–		148,567,770
									��
Short-Term Investments:
Bank Deposit		–			47,434			–		47,434
Commercial Paper		–			7,699,338			–		7,699,338

Total Short-Term Investments		–			7,746,772			–		7,746,772

Derivative Securities:
Forward Foreign Currency Exchange Contracts		–			48,523			–		48,523
Futures**		312,198			–			–		312,198

Total Derivative Securities		312,198			48,523			–		360,721


Total	$	312,198		$	156,363,065		$	–	$	156,675,263


Liabilities:*
Derivative Securities:
OTC – Credit Default Swaps		–			(38,457	)		–		(38,457	)
Centrally Cleared Credit Default Swaps**		–			(1,055	)		–		(1,055	)
Forward Foreign Currency Exchange Contracts		–			(50,495	)		–		(50,495	)
Futures**		(432,239	)		–			–		(432,239	)

Total Derivative Securities		(432,239	)		(90,007	)		–		(522,246	)


Total Investments	$	(120,041	)	$	156,273,058		$	–	$	156,153,017

There were no transfers between levels during the year ended June 30, 2016.

Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities.

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June 30, 2016

Total Return Bond Fund


DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL INVESTMENTS

Assets:*
Fixed Income:
Asset-Backed Securities	$	–		$	4,998,946		$	–	$	4,998,946
Corporate Bonds		–			8,859,100			–		8,859,100
Foreign Government		–			120,831			–		120,831
Mortgage-Backed Securities		–			1,431,855			–		1,431,855
U.S. Treasury & Government Agencies		–			7,278,939			–		7,278,939

Total Fixed Income		–			22,689,671			–		22,689,671

Mutual Fund:
Mutual Fund		2,288,057			–			–		2,288,057
Short-Term Investments:
Bank Deposit		–			805,781			–		805,781
Commercial Paper		–			4,445,968			–		4,445,968

Total Short-Term Investments		–			5,251,749			–		5,251,749

Derivative Securities:
Forward Foreign Currency Exchange Contracts		–			24,351			–		24,351
Futures**		115,238			–			–		115,238

Total Derivative Securities		115,238			24,351			–		139,589


Total	$	2,403,295		$	27,965,771		$	–	$	30,369,066


Liabilities:*
Derivative Securities:
OTC – Credit Default Swaps		–			(9,614	)		–		(9,614	)
Centrally Cleared Credit Default Swaps**		–			(331	)		–		(331	)
Forward Foreign Currency Exchange Contracts		–			(25,963	)		–		(25,963	)
Futures**		(24,120	)		–			–		(24,120	)

Total Derivative Securities		(24,120	)		(35,908	)		–		(60,028	)


Total Investments	$	2,379,175		$	27,929,863		$	–	$	30,309,038

There were no transfers between levels during the year ended June 30, 2016.

Centrally Cleared Swaps and Futures are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities.

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June 30, 2016

Emerging Markets Debt Blended Total Return Fund


DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS

Assets:*
Fixed Income:
Corporate Bonds	$	–	$	4,440,586		$	–	$	4,440,586
Foreign Government		–		5,013,180			–		5,013,180

Total Fixed Income		–		9,453,766			–		9,453,766

Short-Term Investment		–		299,350			–		299,350
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		147,954			–		147,954
Interest Rate Swaps		–		12,211			–		12,211

Total Derivative Securities		–		160,165			–		160,165


Total	$	–	$	9,913,281		$	–	$	9,913,281


Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(114,417	)		–		(114,417	)
Interest Rate Swaps		–		(8,941	)		–		(8,941	)

Total Derivative Securities		–		(123,358	)		–		(123,358	)


Total Investments	$	–	$	9,789,923		$	–	$	9,789,923

There were no transfers between levels during the year ended June 30, 2016.

Emerging Markets Local Currency Debt Fund


DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS

Assets:*
Fixed Income:
Foreign Government	$	–	$	4,956,325		$	–	$	4,956,325

Total Fixed Income		–		4,956,325			–		4,956,325

Short-Term Investment		–		368,917			–		368,917
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		110,160			–		110,160
Interest Rate Swaps		–		42,875			–		42,875

Total Derivative Securities		–		153,035			–		153,035


Total	$	–	$	5,478,277		$	–	$	5,478,277


Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(111,356	)		–		(111,356	)
Interest Rate Swaps		–		(6,395	)		–		(6,395	)

Total Derivative Securities		–		(117,751	)		–		(117,751	)


Total Investments	$	–	$	5,360,526		$	–	$	5,360,526

There were no transfers between levels during the year ended June 30, 2016.

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June 30, 2016

Global High Yield Fund


DESCRIPTION	LEVEL 1		LEVEL 2			LEVEL 3		TOTAL INVESTMENTS

Assets:*
Fixed Income:
Corporate Bonds	$	–	$	24,655,093		$	–	$	24,655,093

Total Fixed Income		–		24,655,093			–		24,655,093

Short-Term Investment		–		460,981			–		460,981
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		284,477			–		284,477

Total	$	–	$	25,400,551		$	–	$	25,400,551


Liabilities:*
Derivative Securities:
Forward Foreign Currency Exchange Contracts		–		(3,588	)		–		(3,588	)

Total Investments	$	–	$	25,396,963		$	–	$	25,396,963

There were no transfers between levels during the year ended June 30, 2016.

U.S. High Yield Fund


DESCRIPTION	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL INVESTMENTS

Assets:*
Fixed Income:
Bank Loans	$	–	$	336,859	$	–	$	336,859
Corporate Bonds		–		26,347,960		–		26,347,960

Total Fixed Income		–		26,684,819		–		26,684,819

Short-Term Investment		–		1,578,060		–		1,578,060

Total	$	–	$	28,262,879	$	–	$	28,262,879

There were no transfers between levels during the year ended June 30, 2016.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

The Funds may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are

delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair

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June 30, 2016

value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Cash and Short-Term Investments

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 June 30, 2016, all cash and cash equivalents are held by the custodian.

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.

Redemption Fees

Effective July 1, 2015, the Funds no longer had redemption fees.

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 at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.

Federal Income Taxation

The Funds have 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 intend to maintain this qualification and to distribute substantially all of their net taxable income to their shareholders. As of June 30, 2016, the Funds had no

uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Funds file a U.S. federal income tax return annually after their fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of the filings.

Dividends and Distributions

Each Fund declares a dividend daily based on the Adviser’s projections of the Funds’ estimated net investment income and distributes such dividend monthly. To the extent that these distributions exceed net investment income, they may be classified as return of capital. The Funds also pay a distribution at least annually from their 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 Funds’ 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 Funds 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.

Bank Loans

The Funds may invest in bank loans, which usually take the form of loan participations and assignments. Loan participations and assignments are agreements to make money available to U.S. or foreign corporations, partnerships or other business entities (the “Borrower”) in a specified amount, at a specified rate and within a specified time. A loan is typically originated, negotiated and structured by a U.S. or foreign bank, insurance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Agent typically administers and enforces the loan on behalf of

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June 30, 2016

the other Loan Investors in the syndicate and may hold any collateral on behalf of the Loan Investors. Such loan participations and assignments are typically senior, secured and collateralized in nature. The Funds record an investment when the Borrower withdraws money and records interest as earned. These loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or London InterBank Offered Rate (“LIBOR”).

The loans in which the Funds invest may be subject to some restrictions on resale. For example, the Funds may be contractually obligated to receive approval from the Agent and/or Borrower prior to the sale of these investments. The Funds generally have no right to enforce compliance with the terms of the loan agreement with the Borrower. As a result, the Funds assume the credit risk of the Borrower, the selling participant and any other persons interpositioned between the Funds and the Borrower (“Intermediate Participants”). In the event that the Borrower, selling participant or Intermediate Participants become insolvent or enter into bankruptcy, the Funds may incur certain costs and delays in realizing payment or may suffer a loss of principal and/or interest.

Unfunded commitments represent the remaining obligation of the Funds to the Borrower. At any point in time, up to the maturity date of the issue, the Borrower may demand the unfunded portion. Until demanded by the Borrower, unfunded commitments are not recognized as an asset on the Statements of Assets and Liabilities. Unrealized appreciation/depreciation on unfunded commitments presented on the Statements of Assets and Liabilities represents mark to market of the unfunded portion of the Funds’ bank loans. As of June 30, 2016, the Funds had no unfunded loan commitments.

Derivative Instruments

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

The Funds are subject to foreign currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may use forward foreign currency exchange contracts to hedge against changes in the value of foreign currencies. The Funds may enter into forward foreign currency exchange contracts obligating the Funds 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 Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk quarterly. The Funds are also subject to credit risk with respect to the counterparties to derivative contracts that 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 Funds may experience significant delays in obtaining any recovery under the derivative contract in a bankruptcy or other reorganization proceeding. The Funds 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 Funds. In addition, in the event of a bankruptcy of a clearing house, the Funds 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 Funds is limited to the net unrealized gain, if any, on the contract.

The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the Funds’ investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency exchange contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign 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

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June 30, 2016

or payable reflected on the Statement of Assets and Liabilities.

The Funds may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position in lieu of holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by a Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. Each Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract.

The Funds may purchase call or put options. When a Fund purchases an option, the premium paid by the Fund is recorded as an asset and is subsequently adjusted to the current fair value of the option purchased. Purchasing call options tends to increase the Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease the Fund’s exposure to the underlying instrument. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying security to determine the realized gain or loss. The risks associated with purchasing put and call options are potential loss of the premium paid and, in the instances of over-the-counter derivatives, the failure of the counterparty to honor its obligation under the contract.

The Funds may enter into swap options (“swaptions”). A swaption is an option to enter into a pre-defined swap agreement by some specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed rate receiver or a fixed rate buyer. Depending on the terms of the particular option agreement, a Fund generally will incur a greater degree of risk when the Fund writes a swaption than the Fund will incur when it purchases a swaption. When a Fund purchases a swaption, the Fund’s risk of loss is limited to the amount of the premium it has paid should it decide to let the swaption expire unexercised.

When a Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities

as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when a Fund writes a put option, it is exposed to a decline in the price of the underlying security.

Whether an option which a Fund has written expires on its stipulated expiration date or a Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which a Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which the Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.

The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Funds’ exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities, currencies and interest rates.

Transactions in written option contracts for the Global Credit Income Opportunities Fund for the period ended June 30, 2016 are as follows:


	NUMBER OF CONTRACTS/ NOTIONAL AMOUNT			PREMIUMS RECEIVED
Options outstanding at June 30, 2015		30,000,000		$	382,000
Options written		125,000,000			1,672,020
Options terminated in closing purchase transactions		(155,000,000	)		(2,054,020	)
Options expired		–			–

Options outstanding at June 30, 2016		–		$	–

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June 30, 2016

The Funds may enter into credit default swap contracts. As a seller of a credit default swap contract (“seller of protection”), a Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty (or central clearing party in the case of centrally cleared swaps) in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund receives from the counterparty (or central clearing party in the case of centrally cleared swaps) a periodic stream of payments over the term of the contract.

As a purchaser of a credit default swap contract (“buyer of protection”), a Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty (or central clearing party in the case of centrally cleared swaps) in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, a Fund would make periodic payments to the counterparty (or central clearing party in the case of centrally cleared swaps) over the term of the contracts, provided no event of default has occurred.

These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. During the period, Active Short Duration Bond Fund and Total Return Bond Fund entered into credit default swaps based on a CMBX index, which is comprised of commercial mortgage-backed securities and a CDX index, which is comprised of North American and Emerging Market companies.

Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by a Fund, payment of the agreed-upon amount made by a Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by a Fund, the agreed-upon amount received by a Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by a Fund.

Any upfront payments made or received upon entering a credit default swap contract would be amortized or

accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where a Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the central clearing party daily.

Entering into swap agreements involves counterparty and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, that there may be unfavorable changes in interest rates, and, in the case of credit default swaps, that the Adviser does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the central clearing party.

Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment

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June 30, 2016

stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

During the period ended June 30, 2016, the Funds’ direct investment in derivatives consisted of forward foreign currency exchange contracts, futures contracts, credit default swaps, interest rate swaps, purchased options, and written options.

The following is a summary of the fair value of derivative instruments held directly by the Funds as of June 30, 2016:

Global Floating Rate Fund


ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts		Unrealized appreciation on forward foreign currency exchange contracts	$	1,819,442

Total			$	1,819,442


LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts		Unrealized depreciation on forward foreign currency exchange contracts	$	(22,671	)

Total			$	(22,671	)

Global Credit Income Opportunities Fund


ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts		Unrealized appreciation on forward foreign currency exchange contracts	$	1,379,685

Total			$	1,379,685


LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts		Unrealized depreciation on forward foreign currency exchange contracts	$	(802	)

Total			$	(802	)

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June 30, 2016

Active Short Duration Bond Fund


ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	48,523		$	–		$	–		$	48,523
Futures Contracts	Includes cumulative unrealized appreciation/ depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–			312,198			–			312,198

Total		$	48,523		$	312,198		$	–		$	360,721


LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized depreciation on forward foreign currency exchange contracts	$	(50,495	)	$	–		$	–		$	(50,495	)
Futures Contracts	Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–			(432,239	)		–			(432,239	)
OTC – Swaps Contracts	Swap contracts, at fair value		–			–			(38,457	)		(38,457	)
Centrally Cleared Credit Default Swaps Contracts	Includes cumulative unrealized appreciation/depreciation of swaps contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–			–			(1,055	)		(1,055	)

Total		$	(50,495	)	$	(432,239	)	$	(39,512	)	$	(522,246	)

165

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Total Return Bond Fund


ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts	$	24,351		$	–		$	–		$	24,351
Futures Contracts	Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–			115,238			–			115,238

Total		$	24,351		$	115,238		$	–		$	139,589


LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	Unrealized depreciation on forward foreign currency exchange contracts	$	(25,963	)	$	–		$	–		$	(25,963	)
Futures Contracts	Includes cumulative unrealized appreciation/ depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–			(24,120	)		–			(24,120	)
OTC – Swaps Contracts	Swap contracts, at fair value		–			–			(9,614	)		(9,614	)
Centrally Cleared Credit Default Swaps Contracts	Includes cumulative unrealized appreciation/ depreciation of swaps contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.		–			–			(331	)		(331	)

Total		$	(25,963	)	$	(24,120	)	$	(9,945	)	$	(60,028	)

166

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Emerging Markets Debt Blended Total Return Fund


ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			TOTAL
Forward Foreign Currency Exchange Contracts		Unrealized appreciation on forward foreign currency exchange contracts	$	147,954		$	–		$	147,954
Swaps Contracts		Swap contracts, at fair value		–			12,211			12,211

Total			$	147,954		$	12,211		$	160,165


LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			TOTAL
Forward Foreign Currency Exchange Contracts		Unrealized depreciation on forward foreign currency exchange contracts	$	(114,417	)	$	–		$	(114,417	)
Swaps Contracts		Swap contracts, at fair value		–			(8,941	)		(8,941	)

Total			$	(114,417	)	$	(8,941	)	$	(123,358	)

Emerging Markets Local Currency Debt Fund


ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts		Unrealized appreciation on forward foreign currency exchange contracts	$	110,160	$	–	$	110,160
Swaps Contracts		Swap contracts, at fair value		–		42,875		42,875

Total			$	110,160	$	42,875	$	153,035

167

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016



LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			TOTAL
Forward Foreign Currency Exchange Contracts		Unrealized depreciation on forward foreign currency exchange contracts	$	(111,356	)	$	–		$	(111,356	)
Swaps Contracts		Swap contracts, at fair value		–			(6,395	)		(6,395	)

Total			$	(111,356	)	$	(6,395	)	$	(117,751	)

Global High Yield Fund


ASSET DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts		Unrealized appreciation on forward foreign currency exchange contracts	$	284,477

Total			$	284,477


LIABILITY DERIVATIVES	STATEMENTS OF ASSETS AND LIABILITIES LOCATION		FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts		Unrealized depreciation on forward foreign currency exchange contracts	$	(3,588	)

Total			$	(3,588	)

Amount of Realized Gain/(Loss) on Derivatives:

Global Floating Rate Fund


	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	144,895

Total	$	144,895

Global Credit Income Opportunities Fund


	FOREIGN EXCHANGE CONTRACTS RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	(76,585	)	$	–		$	(76,585	)
Purchased Options⁽¹⁾		–			(940,540	)		(940,540	)
Options Written		–			847,320			847,320

Total	$	(76,585	)	$	(93,220	)	$	(169,805	)

(1)

Statements of Operations location: Net realized gain on investments.

168

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Active Short Duration Bond Fund


	INTEREST RATE RISK		CREDIT RISK		TOTAL
Futures Contracts	$	56,839	$	–	$	56,839
Purchased Options⁽¹⁾		57,582		–		57,582
Swaps Contracts		–		11,753		11,753

Total	$	114,421	$	11,753	$	126,174

(1)

Statements of Operations location: Net realized gain on investments.

Total Return Bond Fund


	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	(7,665	)	$	–	$	–	$	(7,665	)
Futures Contracts		–			41,803		–		41,803
Purchased Options⁽¹⁾		–			104,558		–		104,558
Swaps Contracts		–			–		2,982		2,982

Total	$	(7,665	)	$	146,361	$	2,982	$	141,678

(1)

Statements of Operations location: Net realized gain on investments.

Emerging Markets Debt Blended Total Return Fund


	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	(256,581	)	$	–		$	–	$	(256,581	)
Futures Contracts		–			(6,838	)		–		(6,838	)
Swaps Contracts		–			(170,485	)		4,390		(166,095	)

Total	$	(256,581	)	$	(177,323	)	$	4,390	$	(429,514	)

Emerging Markets Local Currency Debt Fund


	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	(40,748	)	$	–	$	(40,748	)
Swaps Contracts		–			21,286		21,286

Total	$	(40,748	)	$	21,286	$	(19,462	)

169

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Global High Yield Fund


	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	(44,058	)

Total	$	(44,058	)

Change in Unrealized Appreciation/(Depreciation) on Derivatives:

Global Floating Rate Fund


	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	2,166,841

Total	$	2,166,841

Global Credit Income Opportunities Fund


	FOREIGN EXCHANGE CONTRACTS RISK		CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	1,522,515	$	–		$	1,522,515
Purchased Options		–		30,173			30,173
Options Written		–		(62,523	)		(62,523	)

Total	$	1,522,515	$	(32,350	)	$	1,490,165

Active Short Duration Bond Fund


	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK			CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	(1,972	)	$	–		$	–		$	(1,972	)
Futures Contracts		–			(120,041	)		–			(120,041	)
Swaps Contracts		–			–			(17,711	)		(17,711	)

Total	$	(1,972	)	$	(120,041	)	$	(17,711	)	$	(139,724	)

Total Return Bond Fund


	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK		CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts	$	(1,612	)	$	–	$	–		$	(1,612	)
Futures Contracts		–			91,118		–			91,118
Swaps Contracts		–			–		(4,694	)		(4,694	)

Total	$	(1,612	)	$	91,118	$	(4,694	)	$	84,812

170

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Emerging Markets Debt Blended Total Return Fund


	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	33,537	$	–	$	33,537
Swaps Contracts		–		3,270		3,270

Total	$	33,537	$	3,270	$	36,807

Emerging Markets Local Currency Debt Fund


	FOREIGN EXCHANGE CONTRACTS RISK			INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts	$	(1,196	)	$	–	$	–
Swaps Contracts		–			36,480		36,480

Total	$	(1,196	)	$	36,480	$	35,284

Global High Yield Fund


	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts	$	280,889

Total	$	280,889

Number of contracts, notional amounts of shares/units:

Global Floating Rate Fund


	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts⁽¹⁾	$	40,776,616

Total	$	40,776,616

(1)

Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

Global Credit Income Opportunities Fund


	FOREIGN EXCHANGE CONTRACTS RISK		CREDIT RISK			TOTAL
Forward Foreign Currency Exchange Contracts⁽¹⁾	$	24,877,913	$	–		$	24,877,913
Purchased Options⁽¹⁾		–		24,230,769			24,230,769
Written Options⁽¹⁾		–		(24,230,769	)		(24,230,769	)

Total	$	24,877,913	$	–		$	24,877,913

(1)

Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

171

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Active Short Duration Bond Fund


	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts⁽¹⁾		2,200,000		–		–		2,200,000
Futures Contracts⁽²⁾		–		266		–		266
Purchased Options⁽¹⁾		1,020,000		3,125,000		–		4,145,000
Swap Contracts⁽¹⁾		–		–		502,500		502,500

Total		3,220,000		3,125,266		502,500		6,847,766

(1)

Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

(2)

Volume of derivative activity is based on an average of month-end contracts outstanding during the period.

Total Return Bond Fund


	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts⁽¹⁾		1,571,877		–		–		1,571,877
Futures Contracts⁽²⁾		–		47		–		47
Purchased Options⁽¹⁾		–		3,892,500		–		3,892,500
Swap Contracts⁽¹⁾		–		–		135,000		135,000

Total		1,571,877		3,892,547		135,000		5,599,424

(1)

Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

(2)

Volume of derivative activity is based on an average of month-end contracts outstanding during the period.

Emerging Markets Debt Blended Total Return Fund


	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		CREDIT RISK		TOTAL
Forward Foreign Currency Exchange Contracts⁽¹⁾		14,587,836		–		–		14,587,836
Futures Contracts⁽²⁾		–		2		–		2
Swap Contracts⁽¹⁾		–		43,781,275		111,111		43,892,386

Total		14,587,836		43,781,277		111,111		58,480,224

(1)

Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

(2)

Volume of derivative activity is based on an average of month-end contracts outstanding during the period.

Emerging Markets Local Currency Debt Fund


	FOREIGN EXCHANGE CONTRACTS RISK		INTEREST RATE RISK		TOTAL
Forward Foreign Currency Exchange Contracts⁽¹⁾		9,376,554		–		9,376,554
Swap Contracts⁽¹⁾		–		95,603,252		95,603,252

Total		9,376,554		95,603,252		104,979,806

(1)

Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

172

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Global High Yield Fund


	FOREIGN EXCHANGE CONTRACTS RISK
Forward Foreign Currency Exchange Contracts⁽¹⁾		6,311,793

Total		6,311,793

(1)

Volume of derivative activity is based on an average of month-end notional amounts outstanding during the period.

Disclosures about Offsetting Assets and Liabilities

The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosure requirements are intended to help better assess the effect or potential effect of offsetting arrangements on a Fund’s financial position. In addition, FASB issued Accounting Standards Update No. 2013-01 “Clarifying the Scope of Offsetting Assets and Liabilities” (“ASU 2013-01”), specifying which transactions are subject to disclosures about offsetting. In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements. The result would cause the Fund to accelerate payment of any net liability owed to the counterparty.

The following tables illustrate gross and net information about recognized assets eligible for offset in the Statement of Assets and Liabilities; and disclose such amounts subject to an enforceable master netting agreement or similar agreement, by counterparty. A master netting agreement is an agreement between two counterparties who have multiple contracts with each other that provides for the net settlement of all contracts, as well as cash collateral, through a single payment in the event of default on or termination of any one contract:

Global Floating Rate Fund


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	1,819,442	$	–	$	1,819,442

Total	$	1,819,442	$	–	$	1,819,442

173

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED ^(a)		NET AMOUNT ^(b)
Morgan Stanley & Co.	$	1,819,442	$	(22,671	)	$	–	$	1,796,771

Total	$	1,819,442	$	(22,671	)	$	–	$	1,796,771

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	22,671	$	–	$	22,671

Total	$	22,671	$	–	$	22,671


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL PLEDGED ^(a)		NET AMOUNT ^(b)
Morgan Stanley & Co.	$	22,671	$	(22,671	)	$	–	$	–

Total	$	22,671	$	(22,671	)	$	–	$	–

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.

Global Credit Income Opportunities Fund


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	1,379,685	$	–	$	1,379,685

Total	$	1,379,685	$	–	$	1,379,685

174

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED ^(a)			NET AMOUNT ^(b)
Bank of America N.A.	$	1,290	$	–		$	–		$	1,290
Citibank N.A.		15,758		–			–			15,758
JPMorgan Chase Bank N.A.		1,346,730		(802	)		(1,345,928	)		–
Morgan Stanley & Co.		15,907		–			–			15,907

Total	$	1,379,685	$	(802	)	$	(1,345,928	)	$	32,955

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	802	$	–	$	802

Total	$	802	$	–	$	802


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL PLEDGED ^(a)		NET AMOUNT ^(b)
JPMorgan Chase Bank N.A.	$	802	$	(802	)	$	–	$	–

Total	$	802	$	(802	)	$	–	$	–

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.

175

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Active Short Duration Bond Fund


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	48,523	$	–	$	48,523

Total	$	48,523	$	–	$	48,523


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED^(a)		NET AMOUNT^(b)
JPMorgan Chase Bank N.A.	$	48,523	$	(48,523	)	$	–	$	–

Total	$	48,523	$	(48,523	)	$	–	$	–

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	50,495	$	–	$	50,495
Swap Contracts		38,457		–		38,457

Total	$	88,952	$	–	$	88,952


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL PLEDGED^(a)		NET AMOUNT^(b)
Goldman Sachs & Co.	$	21,447	$	–		$	–	$	21,447
JPMorgan Chase Bank N.A.		67,505		(48,523	)		–		18,982

Total	$	88,952	$	(48,523	)	$	–	$	40,429

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.

176

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Total Return Bond Fund


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	24,351	$	–	$	24,351

Total	$	24,351	$	–	$	24,351


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED^(a)		NET AMOUNT^(b)
Bank of America N.A.	$	1,389	$	(263	)	$	–	$	1,126
BNP Paribas S.A.		2,668		(951	)		–		1,717
Citibank N.A.		693		(693	)		–		–
Goldman Sachs & Co.		505		(505	)		–		–
JPMorgan Chase Bank N.A.		19,096		(19,096	)		–		–

Total	$	24,351	$	(21,508	)	$	–	$	2,843

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	25,963	$	–	$	25,963
Swap contracts		9,614		–		9,614

Total	$	35,577	$	–	$	35,577

177

Babson Capital Funds Trust 2016 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL PLEDGED ^(a)		NET AMOUNT^(b)
Bank of America N.A.	$	263	$	(263	)	$	–	$	–
BNP Paribas S.A.		951		(951	)		–		–
Citibank N.A.		4,159		(693	)		–		3,466
Goldman Sachs & Co.		5,476		(505	)		–		4,971
JPMorgan Chase Bank N.A.		24,728		(19,096	)		–		5,632

Total	$	35,577	$	(21,508	)	$	–	$	14,069

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.

Emerging Markets Debt Blended Total Return Fund


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	147,954	$	–	$	147,954
Swap contracts		12,211		–		12,211

Total	$	160,165	$	–	$	160,165


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES

COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED ^(a)		NET AMOUNT^(b)
Bank of America N.A.	$	27,449	$	(24,277	)	$	–	$	3,172
BNP Paribas S.A.		44,346		(14,965	)		–		29,381
Citibank N.A.		19,535		(865	)		–		18,670
Goldman Sachs & Co.		8,381		(8,381	)		–		–
JPMorgan Chase Bank N.A.		60,454		(44,970	)		–		15,484

Total	$	160,165	$	(93,458	)	$	–	$	66,707

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.

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June 30, 2016


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	114,417	$	–	$	114,417
Swap contracts		8,941		–		8,941

Total	$	123,358	$	–	$	123,358


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL PLEDGED^(a)		NET AMOUNT^(b)
Bank of America N.A.	$	24,277	$	(24,277	)	$	–	$	–
BNP Paribas S.A.		14,965		(14,965	)		–		–
Citibank N.A.		865		(865	)		–		–
Goldman Sachs & Co.		38,281		(8,381	)		–		29,900
JPMorgan Chase Bank N.A.		44,970		(44,970	)		–		–

Total	$	123,358	$	(93,458	)	$	–	$	29,900

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.

Emerging Markets Local Currency Debt Fund


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	110,160	$	–	$	110,160
Swap contracts		42,875		–		42,875

Total	$	153,035	$	–	$	153,035

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June 30, 2016


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL RECEIVED^(a)		NET AMOUNT^(b)
Bank of America N.A.	$	45,145	$	(1,332	)	$	–	$	43,813
BNP Paribas S.A.		27,144		(27,144	)		–		–
Citibank N.A.		7,271		(3,808	)		–		3,463
Goldman Sachs & Co.		4,076		(2,640	)		–		1,436
JPMorgan Chase Bank N.A.		69,399		(64,935	)		–		4,464

Total	$	153,035	$	(99,859	)	$	–	$	53,176

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	111,356	$	–	$	111,356
Swap contracts		6,395		–		6,395

Total	$	117,751	$	–	$	117,751


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS			CASH COLLATERAL PLEDGED ^(a)		NET AMOUNT^(b)
Bank of America N.A.	$	1,332	$	(1,332	)	$	–	$	–
BNP Paribas S.A.		45,036		(27,144	)		–		17,892
Citibank N.A.		3,808		(3,808	)		–		–
Goldman Sachs & Co.		2,640		(2,640	)		–		–
JPMorgan Chase Bank N.A.		64,935		(64,935	)		–		–

Total	$	117,751	$	(99,859	)	$	–	$	17,892

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.

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June 30, 2016

Global High Yield Fund


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	284,477	$	–	$	284,477

Total	$	284,477	$	–	$	284,477


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL RECEIVED^(a)		NET AMOUNT^(b)
BNP Paribas S.A.	$	630	$	–	$	–	$	630
Citibank N.A.		283,847		–		–		283,847

Total	$	284,477	$	–	$	–	$	284,477

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.


DESCRIPTION	GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES		NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES
Forward Foreign Currency Exchange Contracts	$	3,588	$	–	$	3,588

Total	$	3,588	$	–	$	3,588


			GROSS AMOUNTS NOT OFFSET IN THE STATEMENTS OF ASSETS AND LIABILITIES
COUNTERPARTY	NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENTS OF ASSETS AND LIABILITIES		FINANCIAL INSTRUMENTS		CASH COLLATERAL PLEDGED^(a)		NET AMOUNT^(b)
Goldman Sachs & Co.	$	3,266	$	–	$	–	$	3,266
JPMorgan Chase Bank N.A.		322		–		–		322

Total	$	3,588	$	–	$	–	$	3,588

(a)

Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Assets and Liabilities, for each respective counterparty.

(b)

Net Amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.

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June 30, 2016

Foreign Securities

Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include valuation of currencies and adverse political and economic developments. Moreover, securities of many foreign companies, foreign governments, and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government.

Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. Foreign currency transactions are translated into U.S. dollars on the following basis: (i) market value of investment securities, assets and liabilities at the daily rates of exchange, and (ii) purchases and sales of investment securities, dividend and interest income and certain expenses at the rates of exchange prevailing on the respective dates of such transactions. For financial reporting purposes, the Funds do not isolate changes in the exchange rate of investment securities from the fluctuations arising from changes in the market prices of securities. However, for Federal income tax purposes, the Funds do isolate and treat as ordinary income the effect of changes in foreign exchange rates on realized gain or loss from the sale of investment securities and payables and receivables arising from trade-date and settlement-date differences.

Counterparty Risk

The Funds seek to manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations. The Adviser monitors the financial stability of the Funds’ counterparties.

3.	Advisory Fee

The Funds have entered into an Investment Management Agreement (the “Agreement”) with the Adviser. Pursuant to the Agreement, the Funds have agreed to pay the Adviser a fee payable at the end of each calendar month as set forth below:


Global Floating Rate Fund		0.65% of average daily net assets
Global Credit Income Opportunities Fund		0.75% of average daily net assets


Active Short Duration Bond Fund		0.35%* of average daily net assets
Total Return Bond Fund		0.40%* of average daily net assets
Emerging Markets Debt Blended Total Return Fund		0.75%* of average daily net assets
Emerging Markets Local Currency Debt Fund		0.75%* of average daily net assets
Global High Yield Fund		0.60%* of average daily net assets
U.S. High Yield Fund		0.55%* of average daily net assets

Annualized

The Adviser has contractually agreed to waive and/or reimburse a portion of its fees and/or reimburse expenses (excluding 12b-1 fees, interest expenses, taxes, fees incurred in acquiring and disposing of securities and extraordinary expenses) such that total net annual operating expenses for each class do not exceed the following rates:


	CLASS A			CLASS C			CLASS I			CLASS Y
Global Floating Rate Fund		1.05	%		1.80	%		0.75	%		0.75	%
Global Credit Income Opportunities Fund		1.20	%		1.95	%		0.95	%		0.95	%
Active Short Duration Bond Fund*		0.65	%		0.90	%		0.40	%		0.40	%
Total Return Bond Fund		0.80	%		1.55	%		0.55	%		0.55	%
Emerging Markets Debt Blended Total Return Fund		1.20	%		1.95	%		0.95	%		0.95	%
Emerging Markets Local Currency Debt Fund		1.20	%		1.95	%		0.95	%		0.95	%
Global High Yield Fund		1.05	%		1.80	%		0.80	%		0.80	%
U.S. High Yield Fund		1.00	%		1.75	%		0.75	%		0.75	%

From the period July 9, 2015 through September 27, 2015, the rates were 0.80% for Class A, 1.55% for Class C, 0.55% for Class I and 0.55% for Class Y.

Pursuant to the expense waiver/reimbursement agreement, the Adviser is entitled to be reimbursed for

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June 30, 2016

any fees the Adviser waives and Fund expenses that the Adviser reimburses for a period of three years following such fee waivers and expense reimbursements, to the extent that such reimbursement of the Adviser by a Fund will not cause the Fund to exceed any applicable expense limitation that is in place for the Fund.

The contractual management fee waiver and expense reimbursement agreements between the Funds and the Adviser will remain in effect until November 1, 2016 and may be terminated only upon the approval of the Funds’ Board of Trustees.

Subject to the supervision of the Adviser and the Board, BCGA and Cornerstone manage the investment and reinvestment of a portion of the assets of the Funds, as allocated from time to time to BCGA and Cornerstone. The Adviser (not the Funds) will pay a portion of the fees it receives to BCGA and Cornerstone in return for their services.

The investment adviser or its affiliates voluntarily agreed to waive certain fees for the Emerging Markets Debt Blended Total Return Fund, the Emerging Markets Local Currency Debt Fund, the Global High Yield Fund and the U.S. High Yield Fund in order to maintain a minimum net investment income of not less than $0. Such arrangements may be discontinued by the investment adviser at any time. For the year ended June 30, 2016 the amount of the waivers were $1,933, $3,267, $1,630 and $1,528, respectively.

4.	12b-1 Distribution and Service Plan

ALPS Distributors, Inc. (the “Distributor”) is the Distributor of the Funds’ shares as of June 30, 2016.

The Funds have adopted a Distribution and Shareholder Services Plan (the “Plan”), pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund’s Class A and Class C shares may compensate certain financial institutions, including the Distributor, for certain distribution and shareholder servicing activities. The Funds’ Class A shares may expend an aggregate amount, on an annual basis, not to exceed 0.25% of the value of the average daily net assets of a Fund attributable to Class A shares and 1.00% (0.50% for Active Short Duration Bond Fund) of the value of the average daily net assets of a Fund attributable to Class C shares. The Plan provides that the distribution and service fees are payable to the Distributor regardless of the amounts actually expended by the Distributor for distribution of the Funds’ shares and service activities.

Under its terms, the Funds’ Plan shall remain in effect from year to year, provided such continuance is approved

annually by a vote of a majority of the Boards’ members and a majority of those Boards’ members who are not “interested persons” of the Funds and who have no direct or indirect financial interest in the operation of the Plan or in any agreement related to the Plan.

5.	Sales Charges and Commissions

For the year ended June 30, 2016, the amount of sales charges retained by the Distributor on sales of Class A and Class C shares of the Funds were as follows:


	CLASS A		CLASS C
Global Floating Rate Fund	$	3,223	$	4,407
Global Credit Income Opportunities Fund		–		902
Active Short Duration Bond Fund		–		100

For the year ended June 30, 2016, the Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers:


	DISTRIBUTOR COMMISSIONS		DEALERS’ CONCESSIONS
Global Floating Rate Fund	$	8,261	$	–
Global Credit Income Opportunities Fund		108		–
Active Short Duration Bond Fund		100		–
Total Return Bond Fund		–		–
Emerging Markets Debt Blended Total Return Fund		–		–
Global High Yield Fund		–		–
U.S. High Yield Fund		–		–
Emerging Markets Local Currency Debt Fund		–		–

6.	Administrator, Custody, and Transfer Agent Fees

The Funds have engaged State Street Bank and Trust (“SSB”) to serve as the Funds’ administrator, custodian, and fund accountant. SSB also served as transfer agent from the period July 1, 2015 to November 6, 2015. Effective November 7, 2015, the Funds engaged ALPS Fund Services, Inc. (“ALPS”) as transfer agent. For each of these services, the Funds have agreed to pay SSB and ALPS fees payable at the end of each calendar month pursuant to fee agreements between SSB, ALPS, and the Funds, respectively. For the year ended June 30, 2016,

the aggregate effective fee forthese services was at

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June 30, 2016

the following annual rate of each Fund’s average daily managed assets:


Global Floating Rate Fund	0.39	%
Global Credit Income Opportunities Fund	0.45	%
Active Short Duration Bond Fund	0.35	%
Total Return Bond Fund	0.53	%
Emerging Markets Debt Blended Total Return Fund	1.01	%
Emerging Markets Local Currency Debt Fund	1.45	%
Global High Yield Fund	0.47	%
U.S. High Yield Fund	0.44	%

7.	Income Taxes

It is the Funds’ intention to qualify as a RIC under subchapter M of the Internal Revenue Code and distribute all of its taxable income. Accordingly, no provision for Federal income taxes is required in the financial statements.

The tax character of dividends paid to shareholders during the tax year ended June 30, 2015 was as follows:


	ORDINARY INCOME		NET LONG-TERM CAPITAL GAINS		TOTAL DISTRIBUTIONS PAID
Global Floating Rate Fund	$	8,284,319	$	–	$	8,284,319
Global Credit Income Opportunities Fund		7,108,559		265		7,108,824

The tax character of dividends paid to shareholders during the year ended June 30, 2016 was as follows:


	ORDINARY INCOME		NET LONG-TERM CAPITAL GAINS		TOTAL DISTRIBUTIONS PAID
Global Floating Rate Fund	$	8,506,071	$	–	$	8,506,071
Global Credit Income Opportunities Fund		6,116,362		–		6,116,362
Active Short Duration Bond Fund		1,627,701		–		1,627,701
Total Return Bond Fund		732,690		1,864		734,554
Emerging Markets Debt Blended Total Return Fund		358,072		3,100		361,172
Emerging Markets Local Currency Debt Fund		163,404		–		163,404
Global High Yield Fund		980,491		–		980,491
U.S. High Yield Fund		1,053,626		–		1,053,626

As of June 30, 2016, the components of distributable earnings on a tax-basis were as follows:


	UNDISTRIBUTED ORDINARY INCOME		UNDISTRIBUTED LONG-TERM CAPITAL GAINS		CAPITAL LOSS CARRYFORWARDS			OTHER TEMPORARY DIFFERENCES			UNREALIZED APPRECIATION (DEPRECIATION)			TOTAL DISTRIBUTABLE EARNINGS
Global Floating Rate Fund	$	–	$	–	$	(1,879,277	)		(223,318	)	$	(11,931,316	)	$	(14,033,911	)
Global Credit Income Opportunities Fund		–		–		(2,734,993	)		(319,126	)		(8,270,720	)		(11,324,839	)
Active Short Duration Bond Fund		90,502		–		(200,887	)		(78,416	)		1,009,111			820,310
Total Return Bond Fund		43,383		–		(37,575	)		(53,860	)		516,799			468,747
Emerging Markets Debt Blended Total Return Fund		–		–		(165,784	)		(40,485	)		106,157			(100,112	)

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June 30, 2016


	UNDISTRIBUTED ORDINARY INCOME		UNDISTRIBUTED LONG-TERM CAPITAL GAINS		CAPITAL LOSS CARRYFORWARDS		OTHER TEMPORARY DIFFERENCES			UNREALIZED APPRECIATION (DEPRECIATION)			TOTAL DISTRIBUTABLE EARNINGS
Emerging Markets Local Currency Debt Fund		220,909		222		–		(23,425	)		262,806			460,512
Global High Yield Fund		565,223		200,252		–		(139,100	)		(493,994	)		132,381
U.S. High Yield Fund		430,397		–		–		(141,827	)		181,423			469,993

In accordance with the Regulated Investment Company Modernization Act of 2010, the Funds will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) indefinitely.

Post-enactment losses will also retain their character as either short-term or long-term and be utilized before any pre-enactment losses.

On June 30, 2016, the following funds had capital loss carryforwards available to be offset against future net capital gains through the indicated expiration dates as follows:

EXPIRING JUNE 30,

2016

2017

2018

UNLIMITED -
SHORT

TERM

UNLIMITED -
LONG

TERM

Global Floating Rate Fund

–

828,275

159,728

Global Credit Income Opportunities

–

953,908

1,395,956

Active Short Duration Bond Fund

–

15,294

Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of June 30, 2016, Active Short Duration Bond Fund, Total Return Bond Fund and Emerging Markets Debt Blended Total Return Fund have elected to defer current year post-October losses of $185,593, $37,575 and $124,600, respectively.

As of June 30, 2016, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:


	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
Global Floating Rate Fund	$	184,607,211	$	636,790	$	(12,580,357	)	$	(11,943,567	)
Global Credit Income Opportunities Fund		109,722,294		963,055		(9,258,258	)		(8,295,203	)
Active Short Duration Bond Fund		155,305,432		1,249,128		(240,018	)		1,009,110
Total Return Bond Fund		29,712,914		629,947		(113,384	)		516,563
Emerging Markets Debt Blended Total Return Fund		9,643,460		243,405		(133,749	)		109,656
Emerging Markets Local Currency Debt Fund		5,101,929		265,518		(42,205	)		223,313
Global High Yield Fund		25,604,275		442,020		(930,221	)		(488,201	)
U.S. High Yield Fund		28,081,456		650,783		(469,360	)		181,423

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June 30, 2016

The difference between book-basis and tax-basis unrealized gains (losses) is attributable to wash sales.

Permanent items identified during the year ended June 30, 2016 have been reclassified among the components of net assets based on their tax basis treatment as follows:


	UNDISTRIBUTED NET INVESTMENT INCOME			ACCUMULATED NET REALIZED GAIN (LOSS)
Global Floating Rate Fund	$	(1,200,910	)	$	1,200,910
Global Credit Income Opportunities Fund		(1,042,554	)		1,042,554
Active Short Duration Bond Fund		11,752			(11,752	)
Total Return Bond Fund		2,751			(2,751	)


	UNDISTRIBUTED NET INVESTMENT INCOME			ACCUMULATED NET REALIZED GAIN (LOSS)
Emerging Markets Debt Blended Total Return Fund	$	(172,015	)	$	172,015
Emerging Markets Local Currency Debt Fund		103,411			(103,411	)
Global High Yield Fund		54,471			(54,471	)
U.S. High Yield Fund		–			–

The permanent differences are primarily attributable to foreign currency gains (losses) and the tax treatment of certain distributions.

8.	Investment Transactions

Purchases and sales of securities (excluding short-term debt securities) for the year ended June 30, 2016 were as follows:


	PURCHASES		SALES		GOVERNMENT PURCHASES		GOVERNMENT SALES
Global Floating Rate Fund	$	111,808,460	$	96,350,433	$	–	$	–
Global Credit Income Opportunities Fund		79,800,535		47,124,187		–		–
Active Short Duration Bond Fund		143,749,531		24,051,909		227,094,545		196,279,704
Total Return Bond Fund		22,487,842		4,341,509		107,561,251		100,630,581
Emerging Markets Debt Blended Total Return Fund		16,741,059		7,495,934		–		–
Emerging Markets Local Currency Debt Fund		6,231,646		1,769,899		–		–
Global High Yield Fund		45,438,304		19,736,486		–		–
U.S. High Yield Fund		45,774,872		19,024,184		–		–

9.	Common Stock

Transactions in common stock for the year ended June 30, 2016 were as follows:

Global Floating Rate Fund


	FOR THE YEAR ENDED JUNE 30, 2016						FOR THE YEAR ENDED JUNE 30, 2015
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		1,852,982		$	17,065,312			1,046,486		$	10,379,529
Shares sold through reinvestments of distributions		32,710			300,004			83,026			807,940
Shares redeemed		(891,508	)		(8,232,099	)		(1,815,123	)		(17,653,590	)
Redemption fees		–			–			–			676

Net increase (decrease)		994,184		$	9,133,217			(685,611	)	$	(6,465,445	)

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June 30, 2016


	FOR THE YEAR ENDED JUNE 30, 2016						FOR THE YEAR ENDED JUNE 30, 2015
CLASS C	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		373,886		$	3,471,934			335,871		$	3,264,612
Shares sold through reinvestments of distributions		26,532			241,938			19,258			185,848
Shares redeemed		(223,482	)		(2,060,431	)		(20,267	)		(195,905	)
Redemption fees		–			–			–			169

Net increase		176,936		$	1,653,441			334,862		$	3,254,724

CLASS I
Shares sold		–		$	–			–		$	–
Shares sold through reinvestments of distributions		19,954			191,212			234,264			2,279,655
Shares redeemed		(535,014	)		(5,000,000	)		(753,573	)		(7,271,983	)
Redemption fees		–			–			–			1,694

Net decrease		(515,060	)	$	(4,808,788	)		(519,309	)	$	(4,990,634	)

CLASS Y
Shares sold		6,086,197		$	56,300,003			9,236,912		$	89,446,649
Shares sold through reinvestments of distributions		579,714			5,324,169			493,939			4,805,968
Shares redeemed		(6,374,723	)		(59,038,968	)		(2,813,208	)		(27,521,577	)
Redemption fees		–			–			–			2,920

Net increase		291,188		$	2,585,204			6,917,643		$	66,733,960

Global Credit Income Opportunities Fund


	FOR THE YEAR ENDED JUNE 30, 2016						FOR THE YEAR ENDED JUNE 30, 2015
CLASS A	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		649,098		$	5,795,169			2,316,931		$	23,545,838
Shares sold through reinvestments of distributions		84,775			750,428			127,930			1,237,474
Shares redeemed		(668,631	)		(5,921,877	)		(1,355,520	)		(13,184,266	)
Redemption fees		–			–			–			2,624

Net increase		65,242		$	623,720			1,089,341		$	11,601,670

CLASS C
Shares sold		112,563		$	1,006,877			285,284		$	2,802,118
Shares sold through reinvestments of distributions		17,988			158,913			13,552			130,085
Shares redeemed		(100,203	)		(894,804	)		(12,493	)		(121,540	)
Redemption fees		–			–			–			343

Net increase		30,348		$	270,986			286,343		$	2,811,006

CLASS I
Shares sold		–		$	–			–		$	–
Shares sold through reinvestments of distributions		27,127			255,093			253,647			2,450,842
Shares redeemed		–			–			–			–
Redemption fees		–			–			–			4,679

Net increase		27,127		$	255,093			253,647		$	2,455,521

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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016


	FOR THE YEAR ENDED JUNE 30, 2016						FOR THE YEAR ENDED JUNE 30, 2015
CLASS Y	SHARES			AMOUNT			SHARES			AMOUNT
Shares sold		3,557,814		$	31,402,334			1,654,908		$	16,333,761
Shares sold through reinvestments of distributions		173,660			1,549,751			321,379			3,108,290
Shares redeemed		(1,205,725	)		(10,634,355	)		(1,114,834	)		(11,114,262	)
Redemption fees		–			–			–			5,954

Net increase		2,525,749		$	22,317,730			861,453		$	8,333,743

Active Short Duration Bond Fund


	PERIOD FROM JULY 8, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES			AMOUNT
Shares sold		4,326,156		$	42,899,831
Shares sold through reinvestments of distributions		18,550			184,208
Shares redeemed		(337,324	)		(3,344,883	)

Net increase		4,007,382		$	39,739,156

CLASS C
Shares sold		47,683		$	474,468
Shares sold through reinvestments of distributions		124			1,231
Shares redeemed		(22,061	)		(218,571	)

Net increase		25,746		$	257,128

Shares sold		2,230,000		$	22,300,000
Shares sold through reinvestments of distributions		4,437			44,099
Shares redeemed		(1,635,600	)		(16,250,000	)

Net increase		598,837		$	6,094,099

CLASS Y
Shares sold		14,461,202		$	143,345,835
Shares sold through reinvestments of distributions		61,721			612,005
Shares redeemed		(3,527,796	)		(35,004,030	)

Net increase		10,995,127		$	108,953,810

Commencement of operations

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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Total Return Bond Fund


	PERIOD FROM JULY 8, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES		AMOUNT
Shares sold		20,626	$	206,304
Shares sold through reinvestments of distributions		83		821
Shares redeemed		–		–

Net increase		20,709	$	207,125

CLASS C
Shares sold		20,000	$	200,000
Shares sold through reinvestments of distributions		61		596
Shares redeemed		–		–

Net increase		20,061	$	200,596

CLASS I
Shares sold		1,230,000	$	12,300,000
Shares sold through reinvestments of distributions		5,482		54,097
Shares redeemed		–		–

Net increase		1,235,482	$	12,354,097

CLASS Y
Shares sold		1,271,976	$	12,721,341
Shares sold through reinvestments of distributions		5,682		56,103
Shares redeemed		–		–

Net increase		1,277,658	$	12,777,444

Commencement of operations

Emerging Markets Debt Blended Total Return Fund


	PERIOD FROM OCTOBER 21, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES		AMOUNT
Shares sold		20,000	$	200,000
Shares sold through reinvestments of distributions		6		62
Shares redeemed		–		–

Net increase		20,006	$	200,062

CLASS C
Shares sold		20,000	$	200,000
Shares sold through reinvestments of distributions		6		62
Shares redeemed		–		–

Net increase		20,006	$	200,062

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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016


	PERIOD FROM OCTOBER 21, 2015* THROUGH JUNE 30, 2016
CLASS I	SHARES		AMOUNT
Shares sold		480,000	$	4,800,000
Shares sold through reinvestments of distributions		156		1,488
Shares redeemed		–		–

Net increase		480,156	$	4,801,488

CLASS Y
Shares sold		480,000	$	4,800,000
Shares sold through reinvestments of distributions		156		1,488
Shares redeemed		–		–

Net increase		480,156	$	4,801,488

Commencement of operations

Emerging Markets Local Currency Debt Fund


	PERIOD FROM DECEMBER 8, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES		AMOUNT
Shares sold		10,000	$	100,000
Shares sold through reinvestments of distributions		–		–
Shares redeemed		–		–

Net increase		10,000	$	100,000

CLASS C
Shares sold		10,000	$	100,000
Shares sold through reinvestments of distributions		–		–
Shares redeemed		–		–

Net increase		10,000	$	100,000

Shares sold		240,000	$	2,400,000
Shares sold through reinvestments of distributions		–		–
Shares redeemed		–		–

Net increase		240,000	$	2,400,000

CLASS Y
Shares sold		240,000	$	2,400,000
Shares sold through reinvestments of distributions		–		–
Shares redeemed		–		–

Net increase		240,000	$	2,400,000

Commencement of operations

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NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2016

Global High Yield Fund


	PERIOD FROM OCTOBER 30, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES		AMOUNT
Shares sold		10,000	$	100,000
Shares sold through reinvestments of distributions		–		–
Shares redeemed		–		–

Net increase		10,000	$	100,000

CLASS C
Shares sold		10,000	$	100,000
Shares sold through reinvestments of distributions		–		–
Shares redeemed		–		–

Net increase		10,000	$	100,000

CLASS I
Shares sold		1,240,000	$	12,400,000
Shares sold through reinvestments of distributions		–		–
Shares redeemed		–		–

Net increase		1,240,000	$	12,400,000

CLASS Y
Shares sold		1,253,790	$	12,538,500
Shares sold through reinvestments of distributions		27		262
Shares redeemed		–		–

Net increase		1,253,817	$	12,538,762

Commencement of operations

U.S. High Yield Fund


	PERIOD FROM OCTOBER 30, 2015* THROUGH JUNE 30, 2016
CLASS A	SHARES		AMOUNT
Shares sold		20,304	$	202,500
Shares sold through reinvestments of distributions		11		107
Shares redeemed		–		–

Net increase		20,315	$	202,607

CLASS C
Shares sold		10,000	$	100,000
Shares sold through reinvestments of distributions		–		–
Shares redeemed		–		–

Net increase		10,000	$	100,000

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Babson Capital Funds Trust 2015 Annual Report

NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)

June 30, 2015


	PERIOD FROM OCTOBER 30, 2015* THROUGH JUNE 30, 2016
CLASS I	SHARES		AMOUNT
Shares sold		1,458,295	$	14,500,000
Shares sold through reinvestments of distributions		7,352		72,465
Shares redeemed		–		–

Net increase		1,465,647	$	14,572,465

CLASS Y
Shares sold		1,249,862	$	12,500,000
Shares sold through reinvestments of distributions		18		187
Shares redeemed		–		–

Net increase		1,249,880	$	12,500,187

Commencement of operations

10.

Line of Credit

During the year ended June 30, 2016, the Trust (the “Borrower”) entered into a Credit Agreement (the “Credit Agreement”) with State Street Bank and Trust Company (the “Bank”). The Credit Agreement provides for a revolving credit facility of $40,000,000 (the “Facility Amount”) to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. Per the Credit Agreement, outstanding principal on the loan shall bear interest at a variable rate per annum equal to the higher of (a) the Federal Funds Rate as in effect on the day of the borrowing plus 1.25% and (b) the Overnight LIBOR rate as in effect on the day of the borrowing plus 1.25%. In addition, the Borrower shall pay to the Bank a commitment fee at the rate of 0.25% per

annum on the daily unused portion of the Facility Amount. As of June 30, 2016, there were no loans outstanding pursuant to the Credit Agreement.

11.

Subsequent Events

Management has considered the circumstances under which the Funds should recognize or make disclosures regarding events or transactions occurring subsequent to June 30, 2016 through the date the financial statements were issued. Adjustments or additional disclosures, if any, have been included in these financial statements.

Effective July 18, 2016, Duncan Robertson was elected by the Board of Trustees as President.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of Babson Capital Funds Trust and Shareholders of Babson Global Floating Rate Fund, Babson Global Credit Income Opportunities, Babson Active Short Duration Bond Fund, Babson Total Return Bond Fund, Babson Emerging Market Debt Blended Total Return Fund, Babson Emerging Market Local Currency Debt Fund, Babson Global High Yield Fund, and Babson U.S. High Yield Fund (collectively, the “Funds”):

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Babson Capital Funds Trust (the “Funds”) comprising of Babson Global Floating Rate Fund, Babson Global Credit Income Opportunities Fund, Babson Emerging Market Local Currency Debt Fund, Babson Emerging Market Debt Blended Total Return Fund, Babson Total Return Fund, Babson Global High Yield Fund, Babson Active Short Duration Bond Fund and Babson U.S. High Yield Fund as of June 30, 2016, and the related statements of operations for the period then ended, and the statements of changes in net assets and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2016, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds constituting Babson Capital Funds Trust as of June 30, 2016, the results of their operations for the period then ended, and the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

August 26, 2016

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INTERESTED TRUSTEE

NAME (AGE), ADDRESS

POSITION(S)
WITH THE
TRUST

OFFICE
TERM
AND
LENGTH
OF TIME
SERVED

PRINCIPAL OCCUPATIONS
DURING PAST 5 YEARS

PORTFOLIOS
OVERSEEN
IN FUND
COMPLEX

OTHER DIRECTORSHIPS HELD BY
DIRECTOR

Thomas M. Finke (52)

550 South Tryon Street

Suite 3300

Charlotte, NC 28202

Trustee

Trustee since 2013

Chairman and Chief Executive Officer (since 2008), Member of the Board of Managers (since 2006), President (2007-2008), Managing Director (2002-2008), Babson; Chief Investment Officer and Executive Vice President (2008-2011), Massachusetts Mutual Life Insurance Company.

Trustee (since 2013), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson); Chairman (2012-2015), Director (since 2008), Babson Capital Management (UK) Limited (investment advisory firm); Chairman and Director (2012-2015), Babson Capital Global Advisors Limited (investment advisory firm); Director (since 2008), Babson Capital Guernsey Limited (holding company); Vice Chairman and Manager (since 2011), MM Asset Management Holding LLC (holding company); Manager (since 2011), Wood Creek Capital Management, LLC (investment advisory firm); Chairman and Director (since 2007), Cornerstone Real Estate Advisers LLC (real estate advisory firm); Director (since 2004), Jefferies Finance LLC (finance company); Manager (2007-2015), Credit Strategies Management LLC (general partner of an investment fund); Manager (since 2005), Loan Strategies Management, LLC (general partner of an investment fund); Manager (since 2005), Jefferies Finance CP Funding LLC (investment company); Manager (2004-2012), Class C Member LLC (equity holding company); Chairman, Chief Executive Officer and Director (2009-2011), MassMutual Capital Partners, LLC (investment company); Director (2007-2011), Scottish Re Group Limited (reinsurance specialist).

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INDEPENDENT TRUSTEES


NAME (AGE), ADDRESS	POSITION(S) WITH THE TRUST	OFFICE TERM AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS	PORTFOLIOS OVERSEEN IN FUND COMPLEX	OTHER DIRECTORSHIPS HELD BY DIRECTOR
Thomas W. Bunn (62) 550 South Tryon Street Suite 3300 Charlotte, NC 28202	Trustee	Trustee since 2013	Retired (since 2009); Vice Chairman (2002-2009), Head of National Banking (2006-2009), Head of Corporate and Investment Banking (2002-2006), KeyCorp (commercial and investment banking firm).	9	Trustee (since 2013), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson); Director (since 2010), Southern Weaving Co. (webbing and sleeving design and manufacturing company); Trustee (since 2010), Wake Forest University Board of Trustees; Member (since 1998), Babcock School of Business Board of Visitors; Senior Operating Advisor (since 2010), Sound Harbor Partners (investment management firm); Director (since 2009), Nature Conservancy of North Carolina; Director (2010-2016), SquareTwo Financial (asset recovery and management firm); Director (2009-2014), Kiawah Island Conservancy.

Rodney J. Dillman (64) 550 South Tryon Street Suite 3300 Charlotte, NC 28202	Trustee, Chairman	Trustee since 2013	Retired (since 2012); Deputy General Counsel (2011-2012), Senior Vice President (2008-2012), Vice President (2000-2008), Massachusetts Mutual Life Insurance Company; Member of the Board of Directors and President (2008-2011), MassMutual International LLC; General Counsel (2006-2008), Babson.	9	Trustee (since 2012), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson); Director (since 2016), Social Reality, Inc. (digital platform technology and management software company for internet advertising); Director (2008-2011), Compania de Seguros CorpVida S.A. (insurance company); Director (2009-2011), MassMutual Europe S.A. (insurance company); Director (2008-2011), MassMutual Asia Limited (insurance company); Director (2008-2011), MassMutual Life Insurance Company; Director (2008-2010), MassMutual Mercuries Life Insurance Company.

Bernard A. Harris, Jr. (60) 550 South Tryon Street Suite 3300 Charlotte, NC 28202	Trustee	Trustee since 2013	Chief Executive Officer and Managing Partner (since 2002), Vesalius Ventures, Inc.; Director and President (since 1998), The Space Agency; President (since 1999), The Harris Foundation; Clinical Scientist, Flight Surgeon and Astronaut (1986-1996), NASA.	9	Trustee (since 2012), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson); Trustee (since 2011), Salient Midstream & MLP Fund and Salient MLP & Energy Infrastructure Fund; Trustee (since 2010), Salient Absolute Return Fund; Director (since 2009), Monebo Technologies Inc. (medical technology design company); Director (since 2009), The Endowment Funds (TEF); Director (since 2008), US Physical Therapy (USPH); Director (since 2012), E-Cardio, Inc. (provides services for cardiac monitoring).

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INDEPENDENT TRUSTEES (CONTINUED)


NAME (AGE), ADDRESS	POSITION(S) WITH THE TRUST	OFFICE TERM AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS	PORTFOLIOS OVERSEEN IN FUND COMPLEX	OTHER DIRECTORSHIPS HELD BY DIRECTOR
Thomas W. Okel (53) 550 South Tryon Street Suite 3300 Charlotte, NC 28202	Trustee	Trustee since 2013	Executive Director (since 2011), Catawba Lands Conservancy; Global Head of Syndicated Capital Markets (1998-2010), Bank of America Merrill Lynch.	9	Trustee (since 2012), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson); Trustee (since 2015), Horizon Funds (mutual fund complex).

Martin A. Sumichrast (49) 550 South Tryon Street Suite 3300 Charlotte, NC 28202	Trustee	Trustee since 2013	Vice Chairman and Principal (since 2013), Siskey Capital, LLC (merchant banking); Managing Director (2012-2013), Washington Capital, LLC (family office); Managing Director (2009-2012), Lomond International (business advisory firm).	9	Trustee (since 2012), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson); Director (since 2014), Kure Corp. (retail); Director (since 2014), Jadeveon Clowney Help-In-Time Foundation; Director (since 2015), Social Reality, Inc. (digital platform technology and management software company for internet advertising); Chairman and Director (since 2015), Level Beauty Group Inc. (a retail/e-commerce beauty investment/management company).

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OFFICERS OF THE TRUST


NAME (AGE), ADDRESS	POSITION(S) WITH THE TRUST	OFFICE TERM* AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
Anthony J. Sciacca (45) 550 South Tryon Street Charlotte, NC 28202	President	Since 2013	Head of Babson Capital Strategic Investors (since 2014), Head of Global Business Development Group (since 2008), Managing Director (since 2006), Babson.

Russell D. Morrison (52) 550 South Tryon Street Charlotte, NC 28202	Senior Vice President	Since 2013	Vice Chairman (since 2014), Member of the Board of Managers (since 2014), Head of Global Fixed Income Group (since 2012), Head of Global High Yield Investments Group (2010-2012); Co-Head U.S. Loan Team (2006-2009), Managing Director (since 2002), Babson; Chairman and Director (since 2015), Babson Capital Management (UK) Limited (investment advisory firm); Chairman and Director (since 2015), Babson Capital Global Advisors Limited (investment advisory firm); President (since 2012), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson).

Carlene Pollock (49) 550 South Tryon Street Charlotte, NC 28202	Chief Financial Officer	Since 2016	Assistant Treasurer (2015-2016), Babson Capital Funds Trust; Director (since 2015), Babson; Director (2013-2015), Corrum Capital Management (investment adviser); Vice President (2008-2013), Bank of New York Mellon (third party administrator); Chief Financial Officer (since 2016), Assistant Treasurer (2015-2016), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson).

Andrew Lennon (42) 550 South Tryon Street Charlotte, NC 28202	Treasurer	Since 2013	Managing Director (since 2010), Director (2005-2009), Babson; Treasurer (since 2013), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson).

Paul J. Thompson (43) 550 South Tryon Street Charlotte, NC 28202	Vice President	Since 2013	Chief Financial Officer (since 2015), Chief Operating Officer and Head of Global Investment Services (since 2010), Head of Operations and Portfolio/Client Services (2002-2010), Managing Director (since 2008), Babson.

Paul Gehrig (49) 550 South Tryon Street Charlotte, NC 28202	Vice President	Since 2013	Managing Director (since 2008), Babson.

Brian W. Pope (38) 550 South Tryon Street Charlotte, NC 28202	Vice President	Since 2013	Director (since 2009), Babson

Duncan Robertson (47) 550 South Tryon Street Charlotte, NC 28202	Vice President	Since 2014	Managing Director (since 2008), Babson.

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OFFICERS OF THE TRUST (CONTINUED)


NAME (AGE), ADDRESS	POSITION(S) WITH THE TRUST	OFFICE TERM* AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS
Melissa LaGrant (43) 550 South Tryon Street Charlotte, NC 28202	Chief Compliance Officer	Since 2013	Managing Director (since 2005), Babson; Chief Compliance Officer (since 2013), Babson Capital Finance LLC; Chief Compliance Officer (since 2006), Babson Capital Corporate Investors and Babson Capital Participation Investors (closed-end investment companies advised by Babson); Chief Compliance Officer (since 2012), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson).

Janice M. Bishop (52) 550 South Tryon Street Charlotte, NC 28202	Vice President, Secretary and Chief Legal Officer	Since 2013	Senior Counsel and Managing Director (since 2014), Counsel (2007-2014), Babson; Vice President, Secretary and Chief Legal Officer (since 2015), Associate Secretary (2008-2015), Babson Capital Corporate Investors and Babson Capital Participation Investors (closed-end investment companies advised by Babson); Vice President, Secretary and Chief Legal Officer (since 2012), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson); Vice President and Secretary (since 2015), Assistant Secretary (2008-2015), CI Subsidiary Trust and PI Subsidiary Trust.

Michelle Manha (44) 550 South Tryon Street Charlotte, NC 28202	Assistant Secretary	Since 2013	Associate General Counsel and Managing Director (since 2014), Counsel (2008-2014), Babson; Assistant Secretary (since 2012), Babson Capital Global Short Duration High Yield Fund, (closed-end investment company advised by Babson).
Kristin Goodchild (31) 550 South Tryon Street Charlotte, NC 28202	Assistant Secretary	Since 2015	Senior Paralegal (since 2013), Paralegal (2008-2012), Babson; Assistant Secretary (since 2015), Babson Capital Global Short Duration High Yield Fund (closed-end investment company advised by Babson); Associate Secretary (since 2015), Babson Capital Corporate Investors and Babson Capital Participation Investors (closed-end investment companies advised by Babson); Assistant Secretary (since 2015), CI Subsidiary Trust and PI Subsidiary Trust.

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JOINT PRIVACY NOTICE OF BABSON CAPITAL MANAGEMENT LLC AND

BABSON CAPITAL FUNDS TRUST

LOGO

This privacy notice is being provided on behalf of Babson Capital Management LLC and its affiliates; Babson Capital Securities LLC; Babson Capital Management (Australia) Pty Ltd.; Babson Capital Management (Japan) KK; Babson Capital Cornerstone Asia Limited; Babson Capital Funds Trust; Babson Capital Global Short Duration High Yield Fund; Babson Capital Corporate Investors and Babson Capital Participation Investors (together, for purposes of this privacy notice, “Babson Capital”).

When you use Babson Capital you entrust us not only with your hard-earned assets but also with your personal and financial data. We consider your data to be private and confidential, and protecting its confidentiality is important to us. Our policies and procedures regarding your personal information are summarized below.

We may collect non-public personal information about you from:

Applications or other forms, interviews, or by other means;

Consumer or other reporting agencies, government agencies, employers or others;

Your transactions with us, our affiliates, or others; and

Our Internet website.

We may share the financial information we collect with our financial service affiliates, such as insurance companies, investment companies and securities broker-dealers. Additionally, so that we may continue to offer you products and services that best meet your investment needs and to effect transactions that you request or authorize, we may disclose the information we collect, as described above, to companies that perform administrative or marketing services on our behalf, such as transfer agents, custodian banks, service providers or printers and mailers that assist us in the distribution of investor materials or that provide operational support to Babson Capital. These companies are required to protect this information and will use this information only for the services for which we hire them, and are not permitted to use or share this information for any other purpose. Some of these companies may perform such services in jurisdictions other than the United States. We may share some or all of the information we collect with other financial institutions with whom we jointly market products. This may be done only if it is permitted by the state in which you live. Some disclosures may be limited to your name, contact and transaction information with us or our affiliates.

Any disclosures will be only to the extent permitted by federal and state law. Certain disclosures may require us to get an “opt-in” or “opt-out” from you. If this is required, we will do so before information is shared. Otherwise, we do not share any personal information about our customers or former customers unless authorized by the customer or as permitted by law.

We restrict access to personal information about you to those employees who need to know that information to provide products and services to you. We maintain physical, electronic and procedural safeguards that comply with legal standards to guard your personal information. As an added measure, we do not include personal or account information in non-secure e-mails that we send you via the Internet without your prior consent. We advise you not to send such information to us in non-secure e-mails.

This joint notice describes the privacy policies of Babson Capital, the Funds and Babson Capital Securities LLC. It applies to all Babson Capital and the Funds accounts you presently have, or may open in the future, using your social security number or federal taxpayer identification number – whether or not you remain a shareholder of our Funds or as an advisory client of Babson Capital. As mandated by rules issued by the Securities and Exchange Commission, we will be sending you this notice annually, as long as you own shares in the Funds or have an account with Babson Capital.

Babson Capital Securities LLC is a member of the Financial Industry Regulatory Authority (FINRA) and the Securities Investor Protection Corporation (SIPC). Investors may obtain information about SIPC including the SIPC brochure by contacting SIPC online at www.sipc.org or calling (202)-371-8300. Investors may obtain information about FINRA including the FINRA Investor Brochure by contacting FINRA online at www.finra.org or by calling (800) 289-9999.

May 2016

199

LOGO

Babson Capital Funds Trust

ANNUAL REPORT

June 30, 2016

LOGO

Item 2.

Code of Ethics.

The Registrant adopted a Code of Ethics for Principal Executive and Senior Financial Officers (the “Code”) on July 29, 2013, which is available on the Registrant’s website at www.babsoncapital.com/funds/mutual-funds. During the period covered by this Form N-CSR, there were no amendments to, or waivers from, the Code.

Item 3.

Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that Dr. Bernard A. Harris, Jr., Mr. Thomas W. Okel and Mr. Martin A. Sumichrast, constituting all the members of the Registrant’s Audit Committee, are audit committee financial experts. Dr. Harris, Mr. Okel and Mr. Sumichrast are “independent” for purposes of this Item 3 as required by applicable regulation.

Item 4.

Principal Accountant Fees and Services.

The Registrant has engaged its principal accountant, Deloitte & Touche LLP (“Deloitte”), to perform audit services, audit-related services, tax services and other services. The following tables detail the aggregate fees billed or expected to be billed for each of the last two fiscal years by Deloitte.

Fees Billed to the Registrant:


	Year Ended June 30, 2016		Year Ended June 30, 2015
Audit Fees	$	241,960	$	130,850
Audit-Related Fees	$	0	$	0
Tax Fees	$	90,000	$	54,000
All Other Fees	$	0	$	0

Total Fees	$	331,960	$	184,850

Non-Audit Fees Billed to Babson Capital and MassMutual:


	Year Ended June 30, 2016		Year Ended June 30, 2015
Audit Fees	$	3,511,806	$	3,396,868
Audit-Related Fees	$	0	$	0
Tax Fees	$	2,156,622	$	1,687,113
All Other Fees	$	963,660	$	2,031,819

Total Fees	$	6,632,088	$	7,115,800

The category “Audit Fees” refers to performing an audit of the Registrant’s, Babson Capital Management LLC’s (“Babson Capital”) or Massachusetts Mutual Life Insurance Company’s (“MassMutual”) annual financial statements or services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements. The category “Audit-Related Fees” reflects fees billed by Deloitte for various non-audit and non-tax services rendered to the Registrant, Babson Capital, and MassMutual. Preparation of Federal, state and local income tax and tax compliance work are representative of the fees reported in the “Tax Fees” category. The category “All Other Fees” represents fees billed by Deloitte for consulting rendered to the Registrant, Babson Capital, and MassMutual.

The Sarbanes-Oxley Act of 2002 and its implementing regulations allow the Registrant’s Audit Committee to establish a pre-approval policy for certain services rendered by the Registrant’s principal accountant, Deloitte. During the fiscal year ended June 30, 2016, the Registrant’s Audit Committee approved all of the services rendered to the Registrant by Deloitte and did not rely on such a pre-approval policy for any such services.

The Audit Committee has also reviewed the aggregate fees billed for professional services rendered by Deloitte for the years ended June 30, 2015 and June 30, 2016 for the Registrant and for the non-audit services provided to Babson Capital, and Babson Capital’s parent, MassMutual. As part of this review, the Audit Committee considered whether the provision of such non-audit services was compatible with maintaining the principal accountant’s independence.

Item 5.

Audit Committee of Listed Registrants.

Not applicable.

Item 6.

Schedule of Investments.

(a)	The Registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under Item 1 of this form.

(b)	Not applicable.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.

Portfolio Managers of Closed-End Investment Management Companies.

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10.

Submission of Matters to a Vote of Security Holders.

There have been no material changes to procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11.

Controls and Procedures.

(a)

The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”), are effective as of the date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(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) that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.

Exhibits.


(a)(1)		The Registrant has posted its Code of Ethics on its website at www.babsoncapital.com/funds/mutual-funds.

(a)(2)		Certifications pursuant to Rule 30a-2(a) under the 1940 Act are attached hereto.

		Exhibit 99.1 Cert
		Exhibit 99.2 Cert

(a)(3)		Not applicable.

(b)		Certification pursuant to Rule 30a-2(b) under the 1940 Act is attached hereto.

		Exhibit 99.906 Cert

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 Funds Trust

By (Signature and Title)		/s/ Duncan Robertson
		*Duncan Robertson, President (Principal Executive Officer)*


Date		September 8, 2016

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/ Duncan Robertson
		*Duncan Robertson, President (Principal Executive Officer)*


Date		September 8, 2016



By (Signature and Title)		/s/ Carlene Pollock
		*Carlene Pollock, Chief Financial Officer (Principal Financial Officer)*


Date		September 8, 2016

Barings Funds Trust N-CSRCertified annual shareholder report (management investment company)