Prudential Short Duration High Yield Fund, Inc.

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number:   811-22632
Exact name of registrant as specified in charter:   Prudential Short Duration High Yield Fund, Inc.
Address of principal executive offices:  

Gateway Center 3,

100 Mulberry Street,

Newark, New Jersey 07102

Name and address of agent for service:  

Deborah A. Docs

Gateway Center 3,

100 Mulberry Street,

Newark, New Jersey 07102

Registrant’s telephone number, including area code:   800-225-1852
Date of fiscal year end:   5/31/2014
Date of reporting period:   2/28/2014

 

 

 

Item 1. Schedule of Investments

Prudential Short Duration High Yield Fund, Inc.

Schedule of Investments

as of February 28, 2014 (Unaudited)

 

      Interest
Rate		      Maturity Date      Principal
Amount (000)#		      Value  

LONG-TERM INVESTMENTS — 135.0%

            

BANK LOANS(a) — 5.2%

            

Cable — 0.5%

            

Newsday LLC

      3.655 %       10/12/16         2,954       $     2,957,539   
           

 

 

  

Electric — 0.6%

            

Calpine Corp.

      4.000 %       10/09/19         3,753         3,764,777   
           

 

 

  

Energy - Other — 0.3%

            

Samson Investment Co.

      5.000 %       09/25/18         1,850         1,863,413   
           

 

 

  

Gaming — 0.3%

            

MGM Resorts International

      3.500 %       12/20/19         1,980         1,976,288   
           

 

 

  

Healthcare & Pharmaceutical — 0.2%

            

Catalent Pharma Solutions, Inc.

      6.500 %       12/29/17         1,500         1,516,875   
           

 

 

  

Media & Entertainment — 0.7%

            

Getty Images, Inc.

      4.750 %       10/18/19         2,930         2,793,022   

Gray Television, Inc.

      4.750 %       10/11/19         1,432         1,439,595   
           

 

 

  
              4,232,617   
           

 

 

  

Metals — 0.8%

            

FMG Resources (August 2006) Pty. Ltd. (Australia)

      4.250 %       06/30/19         4,938         4,983,915   
           

 

 

  

Property & Casualty Insurance — 0.6%

            

Asurion LLC

      3.750 %       03/03/17         4,000         4,000,000   
           

 

 

  

Technology — 1.2%

            

Ancestry.com, Inc.

      4.500 %       12/28/18         1,772         1,779,567   

First Data Corp

      4.246 %       09/24/18         1,675         1,678,141   

Kronos, Inc.

      9.750 %       04/30/20         3,743         3,808,441   
           

 

 

  
              7,266,149   
           

 

 

  

TOTAL BANK LOANS
(cost $32,340,616)

               32,561,573   
           

 

 

  

CORPORATE BONDS — 129.3%

            

Aerospace & Defense — 2.1%

            

Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(b)

      6.300 %       05/01/14         1,725         1,737,937   

Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(b)

      7.500 %       03/15/18         2,875         3,234,375   

Michael Baker International, Inc., Sr. Sec’d. Notes, 144A(b)

      8.250 %       10/15/18         4,825         5,180,844   

TransDigm, Inc., Gtd. Notes(b)

      7.750 %       12/15/18         3,000         3,213,750   
           

 

 

  
              13,366,906   
           

 

 

  

Automobiles — 3.9%

            

Chrysler Group LLC/CG Co.-Issuer, Sec’d. Notes(b)

      8.000 %       06/15/19         7,500         8,250,000   

General Motors Co., Sr. Unsec’d. Notes, 144A(b)

      3.500 %       10/02/18         2,925         3,020,063   

Lear Corp., Gtd. Notes

      7.875 %       03/15/18         5,646         5,878,897   

Lear Corp., Gtd. Notes

      8.125 %       03/15/20         1,402         1,535,190   

Meritor, Inc., Gtd. Notes

      10.625 %       03/15/18         1,650         1,742,813   

Schaeffler Holding Finance BV (Germany), Sr. Sec’d. Notes, PIK, 144A

      6.875 %       08/15/18         3,850         4,100,250   
           

 

 

  
              24,527,213   
           

 

 

  

Building Materials & Construction — 5.9%

            

Beazer Homes USA, Inc., Gtd. Notes

      9.125 %       06/15/18         2,000         2,120,000   

Beazer Homes USA, Inc., Sr. Sec’d. Notes(b)

      6.625 %       04/15/18         4,775         5,157,000   

 

Building Materials Corp. of America, Sr. Notes, 144A
(original cost $2,103,860; purchased 06/20/13)(b)(c)(d)

      6.875 %      08/15/18         2,000             2,102,500   

Cemex Finance LLC (Mexico), Sr. Sec’d. Notes, 144A(b)

      9.875 %      04/30/19         5,000         5,725,000   

D.R. Horton, Inc., Gtd. Notes(b)

      4.750 %      05/15/17         3,000         3,210,000   

Lennar Corp., Gtd. Notes

      4.500 %      06/15/19         2,600         2,655,250   

Lennar Corp., Gtd. Notes(b)

      4.750 %      12/15/17         5,075         5,392,187   

Standard Pacific Corp., Gtd. Notes(b)

      10.750 %      09/15/16         4,000         4,860,000   

Toll Brothers Finance Corp., Gtd. Notes

      4.000 %      12/31/18         400         410,000   

Toll Brothers Finance Corp., Gtd. Notes(b)

      8.910 %      10/15/17         1,600         1,936,000   

US Concrete, Inc., Sr. Sec’d. Notes, 144A

      8.500 %      12/01/18         3,325         3,532,813   
          

 

 

  
             37,100,750   
          

 

 

  

Cable — 8.6%

           

Cablevision Systems Corp., Sr. Unsec’d. Notes(b)

      7.750 %      04/15/18         750         868,125   

Cablevision Systems Corp., Sr. Unsec’d. Notes(b)

      8.625 %      09/15/17         6,200         7,393,500   

CCO Holdings LLC/CCO Holdings Capital Corp.,
Gtd. Notes(b)

      7.000 %      01/15/19         9,160         9,698,150   

CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes

      7.250 %      10/30/17         900         956,250   

CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes

      8.125 %      04/30/20         1,000         1,095,000   

Columbus International, Inc. (Barbados),
Sr. Sec’d. Notes, RegS
(original cost $4,983,956; purchased 09/18/12)(c)(d)

      11.500 %      11/20/14         4,485         4,742,887   

CSC Holdings LLC, Sr. Unsec’d. Notes(b)

      8.625 %      02/15/19         2,500         3,000,000   

DISH DBS Corp., Gtd. Notes(b)

      4.250 %      04/01/18         6,600         6,864,000   

Nara Cable Funding Ltd. (Spain), Sr. Sec’d. Notes, 144A

      8.875 %      12/01/18         1,000         1,087,500   

Nara Cable Funding Ltd. (Spain), Sr. Sec’d. Notes, 144A

      8.875 %      12/01/18         2,000         2,160,000   

UPC Holding BV (Netherlands), Sec’d. Notes, 144A(b)

      9.875 %      04/15/18         8,455         8,962,300   

Videotron Ltee (Canada), Gtd. Notes

      9.125 %      04/15/18         187         194,480   

Virgin Media Finance PLC (United Kingdom), Gtd. Notes(b)

      8.375 %      10/15/19         1,350         1,454,625   

Virgin Media Secured Finance PLC (United Kingdom),
Sr. Sec’d. Notes(b)

      6.500 %      01/15/18         5,500         5,699,375   
          

 

 

  
             54,176,192   
          

 

 

  

Capital Goods — 7.7%

           

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes

      8.250 %      01/15/19         1,700         1,829,625   

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., Gtd. Notes, 144A(b)

      2.988 %(a)      12/01/17         6,375         6,438,750   

Blueline Rental Finance Corp., Sec’d. Notes, 144A (original cost $1,142,313; purchased 01/16/14 - 02/12/14)(c)(d)

      7.000 %      02/01/19         1,125         1,188,281   

CNH America LLC, Gtd. Notes(b)

      7.250 %      01/15/16         7,235         7,958,500   

CNH Capital LLC, Gtd. Notes(b)

      3.875 %      11/01/15         2,075         2,134,656   

Columbus McKinnon Corp., Gtd. Notes(b)

      7.875 %      02/01/19         2,900         3,132,000   

Hertz Corp. (The), Gtd. Notes(b)

      4.250 %      04/01/18         3,875         4,000,938   

Hertz Corp. (The), Gtd. Notes

      6.750 %      04/15/19         925         990,906   

Hertz Corp. (The), Gtd. Notes(b)

      7.500 %      10/15/18         3,250         3,473,438   

Interline Brands, Inc., Gtd. Notes(b)

      7.500 %      11/15/18         1,450         1,537,725   

International Wire Group Holdings, Inc., Sr. Sec’d. Notes, 144A

      8.500 %      10/15/17         1,000         1,090,000   

Laureate Education, Inc., Gtd. Notes, 144A

      9.250 %      09/01/19         3,875         4,146,250   

Safway Group Holding LLC/Safway Finance Corp.,
Sec’d. Notes, 144A

      7.000 %      05/15/18         1,400         1,487,500   

United Rentals North America, Inc., Gtd. Notes(b)

      9.250 %      12/15/19         6,543         7,197,300   

WireCo WorldGroup, Inc., Gtd. Notes(b)

      9.500 %      05/15/17         2,000         2,060,000   
          

 

 

  
             48,665,869   
          

 

 

  

Chemicals — 5.8%

           

Ashland, Inc., Sr. Unsec’d. Notes(b)

      3.000 %      03/15/16         4,675         4,780,187   

Celanese U.S. Holdings LLC, Gtd. Notes

      6.625 %      10/15/18         495         524,700   

Hexion U.S. Finance Corp., Sr. Sec’d. Notes

      8.875 %      02/01/18         1,500         1,563,750   

Huntsman International LLC, Gtd. Notes

      8.625 %      03/15/20         2,000         2,207,500   

 

Koppers, Inc., Gtd. Notes(b)

      7.875 %       12/01/19         5,494             5,919,785   

Olin Corp., Sr. Unsec’d. Notes(b)

      8.875 %       08/15/19         2,000         2,150,000   

Orion Engineered Carbons Bondco GmbH (Germany), Sr. Sec’d. Notes, 144A

      9.625 %       06/15/18         4,000         4,360,000   

Orion Engineered Carbons Finance & Co. SCA (Luxembourg), Gtd. Notes, PIK, 144A

      9.250 %       08/01/19         2,850         2,964,000   

PetroLogistics LP/PetroLogistics Finance Corp., Gtd. Notes

      6.250 %       04/01/20         1,000         1,015,000   

Taminco Global Chemical Corp. (Belgium), Sec’d. Notes, 144A(b)

      9.750 %       03/31/20         9,800         11,123,000   
           

 

 

  
              36,607,922   
           

 

 

  

Consumer — 2.7%

            

Jarden Corp., Gtd. Notes(b)

      7.500 %       05/01/17         3,750         4,312,500   

PVH Corp., Sr. Unsec’d. Notes(b)

      7.375 %       05/15/20         2,250         2,503,125   

QVC, Inc., Sr. Sec’d. Notes, 144A

      7.500 %       10/01/19         750         802,362   

Scotts Miracle-Gro Co. (The), Gtd. Notes(b)

      6.625 %       12/15/20         2,000         2,167,500   

Service Corp. International, Sr. Unsec’d. Notes(b)

      7.000 %       05/15/19         3,235         3,437,187   

Service Corp. International, Sr. Unsec’d. Notes(b)

      7.625 %       10/01/18         2,753         3,200,363   

West Corp., Gtd. Notes

      8.625 %       10/01/18         690         743,475   
           

 

 

  
              17,166,512   
           

 

 

  

Electric — 3.7%

            

AES Corp. (The), Sr. Unsec’d. Notes

      8.000 %       10/15/17         4,000         4,740,000   

AES Corp. (The), Sr. Unsec’d. Notes

      9.750 %       04/15/16         6,120         7,221,600   

DPL, Inc., Sr. Unsec’d. Notes

      6.500 %       10/15/16         750         808,125   

GenOn REMA LLC, Pass-Through Certificates Ser. B(c)

      9.237 %       07/02/17         1,088         1,077,157   

GenOn REMA LLC, Pass-Through Certificates Ser. C(b)

      9.681 %       07/02/26         900         873,000   

Mirant Mid Atlantic LLC, Pass-Through Certificates Ser. B

      9.125 %       06/30/17         819         859,460   

NRG Energy, Inc., Gtd. Notes(b)

      7.625 %       01/15/18         7,000         7,910,000   
           

 

 

  
              23,489,342   
           

 

 

  

Energy - Integrated — 0.3%

            

Pacific Rubiales Energy Corp. (Colombia), Gtd. Notes, 144A(b)

      7.250 %       12/12/21         1,500         1,612,500   
           

 

 

  

Energy - Other — 4.2%

            

Cie Generale de Geophysique-Veritas (France),
Gtd. Notes(b)

      9.500 %       05/15/16         5,030         5,231,200   

Denbury Resources, Inc., Gtd. Notes

      8.250 %       02/15/20         2,740         2,996,875   

EP Energy LLC/EP Energy Finance, Inc., Sr. Unsec’d. Notes

      9.375 %       05/01/20         1,250         1,446,875   

Hercules Offshore, Inc., Sr. Sec’d. Notes, 144A

      7.125 %       04/01/17         750         792,188   

Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Notes, 144A
(original cost $7,717,500; purchased 03/15/13)(b)(c)(d)

      8.000 %       02/15/20         7,000         7,560,000   

Kodiak Oil & Gas Corp., Gtd. Notes

      8.125 %       12/01/19         1,275         1,418,437   

Seitel, Inc., Gtd. Notes

      9.500 %       04/15/19         475         488,063   

SESI LLC, Gtd. Notes

      6.375 %       05/01/19         2,550         2,722,125   

Tesoro Corp., Gtd. Notes(b)

      4.250 %       10/01/17         3,675         3,867,937   
           

 

 

  
              26,523,700   
           

 

 

  

Foods — 7.6%

            

ARAMARK Corp., Gtd. Notes, 144A

      5.750 %       03/15/20         950         1,002,250   

Constellation Brands, Inc., Gtd. Notes(b)

      7.250 %       09/01/16         3,052         3,456,390   

 

Cott Beverages, Inc., Gtd. Notes(b)

      8.125 %       09/01/18         6,750             7,205,625   

Dave Buster’s, Inc., Gtd. Notes(b)

      11.000 %       06/01/18         3,000         3,228,750   

Michael Foods Group, Inc., Gtd. Notes

      9.750 %       07/15/18         5,505         5,924,756   

Pilgrim’s Pride Corp., Gtd. Notes

      7.875 %       12/15/18         2,250         2,435,625   

Stater Brothers Holdings, Inc., Gtd. Notes(b)

      7.375 %       11/15/18         2,990         3,158,187   

Sun Merger Sub, Inc., Sr. Unsec’d. Notes, 144A

      5.250 %       08/01/18         2,625         2,752,969   

Tops Holding Corp./Tops Markets LLC, Sr. Sec’d. Notes

      8.875 %       12/15/17         6,000         6,570,000   

TreeHouse Foods, Inc., Gtd. Notes

      7.750 %       03/01/18         7,600         7,926,800   

U.S. Foods, Inc., Gtd. Notes
(original cost $4,385,000; purchased 01/02/14)(c)(d)

      8.500 %       06/30/19         4,000         4,335,000   
           

 

 

  
              47,996,352   
           

 

 

  

Gaming — 8.0%

            

Boyd Gaming Corp., Gtd. Notes(b)

      9.125 %       12/01/18         5,120         5,568,000   

Caesars Entertainment Operating Co., Inc.,
Sr. Sec’d. Notes(b)

      11.250 %       06/01/17         10,000         10,212,500   

Caesars Entertainment Resort Properties LLC, Sr. Sec’d. Notes, 144A

      8.000 %       10/01/20         1,575         1,675,406   

CCM Merger, Inc., Gtd. Notes, 144A
(original cost $3,254,265;
purchased 09/04/13 - 09/10/13)(c)(d)

      9.125 %       05/01/19         3,118         3,312,875   

GLP Capital LP/GLP Financing II, Inc., Gtd. Notes, 144A

      4.375 %       11/01/18         2,775         2,879,063   

Isle of Capri Casinos, Inc., Gtd. Notes(b)

      7.750 %       03/15/19         3,000         3,258,750   

MGM Resorts International, Gtd. Notes(b)

      7.500 %       06/01/16         2,000         2,230,000   

MGM Resorts International, Gtd. Notes

      7.625 %       01/15/17         1,500         1,706,250   

MGM Resorts International, Gtd. Notes(b)

      10.000 %       11/01/16         5,000         6,000,000   

MTR Gaming Group, Inc., Sec’d. Notes(b)

      11.500 %       08/01/19         3,000         3,390,000   

Peninsula Gaming LLC/Peninsula Gaming Corp.,
Gtd. Notes, 144A

      8.375 %       02/15/18         4,000         4,330,000   

Pinnacle Entertainment, Inc., Gtd. Notes(b)

      7.500 %       04/15/21         1,000         1,087,500   

Pinnacle Entertainment, Inc., Gtd. Notes(b)

      8.750 %       05/15/20         4,474         4,921,400   
           

 

 

  
              50,571,744   
           

 

 

  

Healthcare & Pharmaceutical — 9.0%

            

Accellent, Inc., Sr. Sec’d. Notes

      8.375 %       02/01/17         4,277         4,469,465   

Capella Healthcare, Inc., Gtd. Notes(b)

      9.250 %       07/01/17         4,828         5,165,960   

Capsugel SA, Sr. Unsec’d. Notes, PIK, 144A
(original cost $750,000; purchased 10/31/13)(d)

      7.000 %       05/15/19         750         778,125   

CHS/Community Health Systems, Inc., Gtd. Notes(b)

      8.000 %       11/15/19         5,972         6,634,892   

ConvaTec Finance International SA (Luxembourg), Sr. Unsec’d. Notes, PIK, 144A

      8.250 %       01/15/19         1,525         1,570,750   

ConvaTec Healthcare E SA (Luxembourg), Gtd. Notes, 144A

      10.500 %       12/15/18         5,615         6,246,688   

Emdeon, Inc., Gtd. Notes

      11.000 %       12/31/19         8,000         9,240,000   

Forest Laboratories, Inc., Sr. Unsec’d. Notes, 144A

      4.375 %       02/01/19         675         722,250   

HCA, Inc., Gtd. Notes

      8.000 %       10/01/18         1,325         1,580,063   

HCA, Inc., Sr. Sec’d. Notes(b)

      8.500 %       04/15/19         3,000         3,150,000   

HCA, Inc., Sr. Unsec’d. Notes(b)

      6.375 %       01/15/15         1,325         1,379,656   

HCA, Inc., Sr. Unsec’d. Notes, MTN(b)

      9.000 %       12/15/14         6,203         6,559,672   

Healthcare Technology Intermediate, Inc., Sr. Unsec’d. Notes, PIK, 144A

      7.375 %       09/01/18         450         465,750   

MedAssets, Inc., Gtd. Notes(b)

      8.000 %       11/15/18         6,450         6,941,812   

Valeant Pharmaceuticals International, Gtd. Notes, 144A(b)

      6.750 %       08/15/18         2,000         2,205,000   
           

 

 

  
              57,110,083   
           

 

 

  

Media & Entertainment — 9.4%

            

AMC Entertainment, Inc., Gtd. Notes

      9.750 %       12/01/20         5,140         5,930,275   

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes(b)

      9.125 %       08/01/18         4,392         4,715,910   

 

Gannett Co., Inc, Gtd. Notes(b)

      8.750 %       11/15/14         6,254             6,566,700   

Gannett Co., Inc., Gtd. Notes

      9.375 %       11/15/17         2,000         2,100,000   

Inmarsat Finance PLC (United Kingdom), Gtd. Notes,
144A(b)

      7.375 %       12/01/17         840         873,600   

Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes

      7.250 %       04/01/19         4,000         4,310,000   

LIN Television Corp., Gtd. Notes(b)

      8.375 %       04/15/18         2,470         2,590,412   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A
(original cost $1,225,000; purchased 07/30/13)(c)(d)

      5.000 %       08/01/18         1,225         1,277,063   

New York Times Co. (The), Sr. Unsec’d. Notes(b)

      5.000 %       03/15/15         1,310         1,347,662   

Regal Cinemas Corp., Gtd. Notes

      8.625 %       07/15/19         2,000         2,142,000   

SSI Investments II Ltd./SSI Co-Issuer LLC, Gtd. Notes(b)

      11.125 %       06/01/18         11,220         12,019,425   

Telesat Canada/Telesat LLC (Canada), Gtd. Notes, 144A(b)

      6.000 %       05/15/17         7,400         7,677,500   

WMG Acquisition Corp., Gtd. Notes(b)

      11.500 %       10/01/18         6,700         7,621,250   
           

 

 

  
              59,171,797   
           

 

 

  

Metals — 9.1%

            

AK Steel Corp., Sr. Sec’d. Notes(b)

      8.750 %       12/01/18         6,691         7,535,739   

ArcelorMittal SA (Luxembourg), Sr. Unsec’d. Notes

      5.000 %       02/25/17         3,600         3,847,500   

ArcelorMittal SA (Luxembourg), Sr. Unsec’d. Notes

      6.125 %       06/01/18         1,800         1,980,000   

ArcelorMittal SA (Luxembourg), Sr. Unsec’d. Notes

      9.500 %       02/15/15         6,000         6,435,000   

Arch Coal, Inc., Gtd. Notes

      9.875 %       06/15/19         675         610,875   

Barminco Finance Pty Ltd. (Australia), Gtd. Notes, 144A

      9.000 %       06/01/18         2,400         2,256,000   

Berau Capital Resources Pte Ltd. (Indonesia), Sr. Sec’d. Notes, 144A

      12.500 %       07/08/15         5,000         5,275,000   

CONSOL Energy, Inc., Gtd. Notes(b)

      8.000 %       04/01/17         4,200         4,383,750   

FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A

      6.375 %       02/01/16         2,000         2,066,000   

FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A(b)

      6.875 %       02/01/18         4,000         4,210,000   

FMG Resources (August 2006) Pty Ltd. (Australia), Gtd. Notes, 144A

      7.000 %       11/01/15         2,316         2,399,608   

Peabody Energy Corp., Gtd. Notes(b)

      6.000 %       11/15/18         4,074         4,410,105   

Steel Dynamics, Inc., Gtd. Notes(b)

      6.125 %       08/15/19         3,025         3,304,812   

Westmoreland Coal Co./Westmoreland Partners, Sr. Sec’d. Notes

      10.750 %       02/01/18         5,000         5,450,000   

Wise Metals Group LLC/Wise Alloys Finance Corp., Sr. Sec’d. Notes, 144A

      8.750 %       12/15/18         3,325         3,591,000   
           

 

 

  
              57,755,389   
           

 

 

  

Non-Captive Finance — 2.3%

            

CIT Group, Inc., Sr. Unsec’d. Notes(b)

      4.250 %       08/15/17         4,600         4,824,250   

International Lease Finance Corp., Sr. Unsec’d. Notes(b)

      3.875 %       04/15/18         1,350         1,388,813   

International Lease Finance Corp., Sr. Unsec’d. Notes(b)

      8.875 %       09/01/17         4,000         4,800,000   

SLM Corp., Sr. Unsec’d. Notes, MTN

      8.000 %       03/25/20         425         490,875   

SLM Corp., Sr. Unsec’d. Notes, MTN(b)

      8.450 %       06/15/18         2,550         3,018,562   
           

 

 

  
              14,522,500   
           

 

 

  

Packaging — 5.2%

            

AEP Industries, Inc., Sr. Unsec’d. Notes

      8.250 %       04/15/19         3,550         3,780,750   

Ardagh Packaging Finance PLC (Luxembourg), Gtd. Notes, 144A

      6.250 %       01/31/19         200         207,500   

Ardagh Packaging Finance PLC (Luxembourg), Gtd. Notes, 144A

      9.125 %       10/15/20         3,000         3,330,000   

Ardagh Packaging Finance PLC (Luxembourg), Sr. Sec’d. Notes, 144A

      7.375 %       10/15/17         3,000         3,210,000   

 

Beverage Packaging Holdings Luxembourg II SA, Gtd. Notes, 144A

      5.625 %       12/15/16         3,275             3,377,344   

Beverage Packaging Holdings Luxembourg II SA, Gtd. Notes, 144A

      6.000 %       06/15/17         1,150         1,196,000   

BWAY Holding Co., Gtd. Notes
(original cost $1,929,688;
purchased 07/20/12 - 09/11/13)(c)(d)

      10.000 %       06/15/18         1,750         1,872,500   

Greif, Inc., Sr. Unsec’d. Notes

      6.750 %       02/01/17         1,200         1,332,000   

Owens-Brockway Glass Container, Inc., Gtd. Notes(b)

      7.375 %       05/15/16         5,965         6,643,519   

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Gtd. Notes

      9.875 %       08/15/19         3,000         3,382,500   

Sealed Air Corp., Gtd. Notes, 144A(b)

      8.125 %       09/15/19         4,000         4,485,000   
           

 

 

  
              32,817,113   
           

 

 

  

Paper — 0.6%

            

Smurfit Kappa Acquisitions (Ireland), Sr. Sec’d. Notes, 144A

      4.875 %       09/15/18         3,450         3,631,125   
           

 

 

  

Pipelines & Other — 0.8%

            

Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A
(original cost $2,144,688;
purchased 01/10/13 - 05/02/13)(b)(c)(d)

      6.000 %       01/15/19         2,150         2,150,000   

Suburban Propane Partners LP/Suburban Energy Finance Corp., Sr. Unsec’d. Notes(b)

      7.500 %       10/01/18         3,050         3,248,250   
           

 

 

  
              5,398,250   
           

 

 

  

Real Estate Investment Trusts — 1.0%

            

Felcor Lodging LP, Sr. Sec’d. Notes(b)

      10.000 %       10/01/14         5,866         6,151,968   
           

 

 

  

Retailers — 2.7%

            

Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A

      9.250 %       08/01/19         4,250         4,653,750   

Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A

      6.125 %       03/15/20         400         380,000   

Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A(b)

      9.000 %       03/15/19         5,200         5,473,000   

HT Intermediate Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A

      12.000 %       05/15/19         350         355,250   

Michaels Stores, Inc., Gtd. Notes(b)

      7.750 %       11/01/18         3,800         4,075,500   

Petco Holdings, Inc., Sr. Notes, PIK, 144A
(original cost $348,250; purchased 10/04/12)(c)(d)

      8.500 %       10/15/17         350         357,438   

Toys “R” US Property Co. II LLC, Sr. Sec’d. Notes

      8.500 %       12/01/17         1,500         1,543,125   
           

 

 

  
              16,838,063   
           

 

 

  

Technology — 18.9%

            

Alcatel-Lucent USA, Inc. (France), Gtd. Notes, 144A

      4.625 %       07/01/17         2,800         2,887,500   

Anixter International, Inc., Gtd. Notes

      5.625 %       05/01/19         1,500         1,605,000   

Anixter International, Inc., Gtd. Notes

      10.000 %       03/15/14         4,377         4,387,067   

Avaya, Inc., Sec’d. Notes, 144A

      10.500 %       03/01/21         1,250         1,184,375   

Brightstar Corp., Gtd. Notes, 144A
(original cost $5,328,375;
purchased 04/27/12 - 02/12/14)(b)(c)(d)

      9.500 %       12/01/16         5,000         5,475,000   

Brightstar Corp., Sr. Unsec’d. Notes, 144A
(original cost $3,193,501;
purchased 07/26/13 - 10/23/13)(c)(d)

      7.250 %       08/01/18         3,100         3,371,250   

CDW LLC/CDW Finance Corp., Gtd. Notes(b)

      8.500 %       04/01/19         6,475         7,122,500   

CDW LLC/CDW Finance Corp., Gtd. Notes(b)

      12.535 %       10/12/17         662         695,100   

CDW LLC/CDW Finance Corp., Sr. Sec’d. Notes(b)

      8.000 %       12/15/18         6,139         6,645,467   

Ceridian Corp., Gtd. Notes
(original cost $9,363,656;
purchased 01/07/13 - 04/24/13)(c)(d)

      11.250 %       11/15/15         9,075         9,131,719   

Ceridian Corp., Gtd. Notes, PIK
(original cost $3,315,450;
purchased 02/19/13 - 05/16/13)(c)(d)

      12.250 %       11/15/15         3,198         3,217,987   

CommScope, Inc., Gtd. Notes, 144A
(original cost $10,550,656;
purchased 01/07/13 - 02/05/14)(b)(d)

      8.250 %       01/15/19         9,637         10,504,330   

First Data Corp., Sr. Sec’d. Notes, 144A(b)

      7.375 %       06/15/19         2,500         2,709,375   

 

First Data Corp., Sr. Sec’d. Notes, 144A(b)

      8.875 %      08/15/20         1,715             1,907,937   

Freescale Semiconductor, Inc., Gtd. Notes

      10.750 %      08/01/20         795         924,188   

Igloo Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A

      8.250 %      12/15/17         1,950         1,964,625   

Interactive Data Corp., Gtd. Notes(b)

      10.250 %      08/01/18         12,624         13,657,590   

Jabil Circuit, Inc., Sr. Unsec’d. Notes(b)

      7.750 %      07/15/16         2,000         2,277,500   

Jabil Circuit, Inc., Sr. Unsec’d. Notes

      8.250 %      03/15/18         1,325         1,593,313   

NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A(b)

      3.750 %      06/01/18         5,525         5,587,156   

Seagate HDD Cayman, Gtd. Notes, 144A

      3.750 %      11/15/18         2,500         2,581,250   

Sensata Technologies BV, Gtd. Notes, 144A(b)

      6.500 %      05/15/19         3,700         3,977,500   

SunGard Data Systems, Inc., Gtd. Notes

      6.625 %      11/01/19         825         881,719   

SunGard Data Systems, Inc., Gtd. Notes

      7.375 %      11/15/18         10,890         11,597,850   

TransUnion Holding Co., Inc., Sr. Unsec’d. Notes

      8.125 %      06/15/18         950         1,002,250   

TransUnion LLC/TransUnion Financing Corp., Gtd.
Notes(b)

      11.375 %      06/15/18         11,800         12,744,000   
          

 

 

  
             119,633,548   
          

 

 

  

Telecommunications — 9.8%

           

CenturyLink, Inc., Sr. Unsec’d. Notes

      5.150 %      06/15/17         565         605,963   

Cincinnati Bell, Inc., Gtd. Notes

      8.750 %      03/15/18         1,520         1,590,300   

Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A

      8.250 %      09/01/17         5,000         5,200,000   

Digicel Group Ltd. (Jamaica), Sr. Unsec’d. Notes, 144A

      10.500 %      04/15/18         1,750         1,859,375   

Eileme 2 AB (Poland), Sr. Sec’d. Notes, 144A

      11.625 %      01/31/20         750         897,188   

Embarq Corp., Sr. Unsec’d. Notes
(original cost $4,869,313;
purchased 04/11/13)(b)(c)(d)

      7.082 %      06/01/16         4,225         4,730,711   

Frontier Communications Corp., Sr. Unsec’d. Notes(b)

      8.250 %      04/15/17         2,000         2,325,000   

Level 3 Financing, Inc., Gtd. Notes

      8.125 %      07/01/19         2,000         2,200,000   

Level 3 Financing, Inc., Gtd. Notes, 144A

      3.846 %(a)      01/15/18         1,645         1,669,675   

Satelites Mexicanos SA de CV (Mexico), Sr. Sec’d. Notes

      9.500 %      05/15/17         5,070         5,412,225   

Sprint Communications, Inc., Gtd. Notes, 144A(b)

      9.000 %      11/15/18         3,000         3,675,000   

Sprint Communications, Inc., Sr. Unsec’d.
Notes(b)

      6.000 %      12/01/16         1,800         1,968,750   

Sprint Communications, Inc., Sr. Unsec’d.
Notes(b)

      8.375 %      08/15/17         7,550         8,842,937   

Sprint Communications, Inc., Sr. Unsec’d.
Notes(b)

      9.125 %      03/01/17         1,900         2,246,750   

T-Mobile USA, Inc., Gtd. Notes(b)

      6.464 %      04/28/19         6,700         7,152,250   

Wind Acquisition Holdings Finance SA (Italy), Sr. Sec’d. Notes, 144A

      12.250 %      07/15/17         4,505         4,685,206   

Windstream Corp., Gtd. Notes(b)

      7.875 %      11/01/17         6,250         7,156,250   
          

 

 

  
             62,217,580   
          

 

 

  

TOTAL CORPORATE BONDS
(cost $805,172,009)

              817,052,418   
          

 

 

  

FOREIGN AGENCY — 0.5%

           

Harvest Operations Corp. (South Korea),
Gtd. Notes(b)
(cost $3,218,219)

      6.875 %      10/01/17         3,050         3,294,000   
          

 

 

  

TOTAL LONG-TERM INVESTMENTS
(cost $840,730,844)

              852,907,991   
          

 

 

  

 

 

     Shares         

SHORT-TERM INVESTMENT — 0.2%

      

AFFILIATED MONEY MARKET MUTUAL FUND

      

Prudential Investment Portfolios 2 — Prudential
Core Taxable Money Market Fund
(cost $1,473,544)(e)

      1,473,544         1,473,544   
     

 

 

  

TOTAL INVESTMENTS — 135.2%
(cost $842,204,388)(f)

         854,381,535   

Liabilities in excess of other assets — (35.2)%

         (222,623,039 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 631,758,496   
     

 

 

  

 

The following abbreviations are used in the portfolio descriptions:

 

144A    Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid.
RegS    Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
MTN    Medium Term Note
PIK    Payment-in-Kind

 

# Principal amount shown in U.S. dollars unless otherwise stated.
(a) Variable rate instrument. The interest rate shown reflects the rate in effect at February 28, 2014.
(b) Represents security, or a portion thereof, with aggregate value of $493,016,813, segregated as collateral for amount of $245,000,000 borrowed and outstanding as of February 28, 2014. Of such securities, securities in the amount of $98,581,424 have been loaned for which, the amount borrowed serves as collateral.
(c) Indicates a security or securities that have been deemed illiquid.
(d) Indicates a restricted security; the aggregate original cost of the restricted securities is $66,605,471. The aggregate value, $66,107,666, is approximately 10.5% of net assets.
(e) Prudential Investments LLC, the manager of the Fund, also serves as manager of the Prudential Investment Portfolios 2 —Prudential Core Taxable Money Market Fund.
(f) The United States federal income tax basis of investments and net unrealized depreciation were as follows:

 

Tax Basis

    $ 854,978,198   
  

 

 

  

Appreciation

      11,463,455   

Depreciation

      (12,060,118 ) 
  

 

 

  

Net Unrealized Depreciation

    $ (596,663 ) 
  

 

 

  

The book basis may differ from tax basis due to certain tax related adjustments.

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below.

Level 1 - quoted prices generally in active markets for identical securities.

Level 2 - other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.

Level 3 - significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of February 28, 2014 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

         

Bank Loans

    $ —         $ 32,561,573       $ —     

Corporate Bonds

      —           815,102,261         1,950,157   

Foreign Agency

      —           3,294,000         —     

Affiliated Money Market Mutual Fund

      1,473,544         —           —     
  

 

 

     

 

 

     

 

 

  

Total

    $ 1,473,544       $ 850,957,834       $ 1,950,157   
  

 

 

     

 

 

     

 

 

  

 

Notes to Schedule of Investments (Unaudited)

Security Valuation: The Fund holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Directors (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Fund to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.

Various inputs determine how the Fund’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.

Common stocks, exchange-traded funds, and derivative instruments that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price; they are classified as Level 1 in the fair value hierarchy except for exchange-traded and cleared swaps which are classified as level 2 in the fair value hierarchy, as the prices are not public.

In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an asked price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable and considered to be significant to the valuation.

Common stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation.

Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Fixed income securities traded in the over-the-counter market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.

Over-the-counter derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.

Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.

 

The Fund may hold up to 15% of its net assets in illiquid securities, including repurchase agreements which have a maturity of longer than seven days, certain securities with legal or contractual restrictions on resale (restricted securities, sometimes referred to as Private Placements) and securities that are not readily marketable. Restricted securities are valued pursuant to the valuation procedures noted above.

The Fund may invest in open market or receive pursuant to debt restructuring, securities that pay in kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income. The interest rate on PIK debt is paid out over time.

The Fund invests in the Prudential Core Taxable Money Market Fund, a portfolio of the Prudential Investment Portfolios 2, registered under the Investment Company Act of 1940, as amended, and managed by PI.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website. (www.sec.gov).

 

Item 2. Controls and Procedures

 

  (a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

 

  (b) There have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 3. Exhibits

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 – Attached hereto.

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) Prudential Short Duration High Yield Fund, Inc.

 

By (Signature and Title)*  

/s/ Deborah A. Docs

   
  Deborah A. Docs   
  Secretary of the Fund   
Date     April 18, 2014     

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

 

By (Signature and Title)*  

/s/ Stuart S. Parker

   
  Stuart S. Parker   
  President and Principal Executive Officer
Date    April 18, 2014     
By (Signature and Title)*  

/s/ Grace C. Torres

   
  Grace C. Torres   
  Treasurer and Principal Financial Officer
Date    April 18, 2014     

 

* Print the name and title of each signing officer under his or her signature.