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:   8/31/2013

 

 

 

Item 1. Schedule of Investments

Prudential Short Duration High Yield Fund, Inc.

Schedule of Investments

as of August 31, 2013 (Unaudited)

 

    

Interest
Rate

   

Maturity Date

   

Principal
Amount (000)#

   

Value

LONG-TERM INVESTMENTS — 130.0%

            

BANK LOANS(a) — 6.2%

            

Cable — 0.6%

            

Newsday LLC

    3.690%    10/12/16    3,938    $       3,945,846
           

 

Electric — 0.6%

            

Calpine Corp.

    4.000%    10/09/19    3,772    3,779,124
           

 

Gaming — 0.3%

            

MGM Resorts International

    3.500%    12/20/19    1,990    1,983,367
           

 

Healthcare & Pharmaceutical — 0.2%

            

Catalent Pharma Solutions, Inc.

    6.500%    12/29/17    1,500    1,504,688
           

 

Media & Entertainment — 1.9%

            

Getty Images, Inc.

    4.750%    10/18/19    6,965    6,705,993

Gray Television, Inc.

    4.750%    10/14/19    4,820    4,840,906
           

 

            11,546,899
           

 

Metals — 0.8%

            

FMG Resources (August 2006) Pty. Ltd.

    5.250%    10/18/17    4,963    4,975,596
           

 

Pipelines & Other — 0.4%

            

Energy Transfer Equity LP

    3.750%    03/24/17    2,250    2,260,625
           

 

Technology — 1.4%

            

Ancestry.com, Inc.

    5.250%    12/28/18    3,280    3,297,801

First Data Corp.

    4.180%    09/24/18    1,675    1,652,667

Kronos, Inc.

    9.750%    04/30/20    3,750    3,876,563
           

 

            8,827,031
           

 

TOTAL BANK LOANS
(cost $38,705,490)

             38,823,176
           

 

CORPORATE BONDS — 123.8%

            

Aerospace & Defense — 2.1%

            

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

    4.250%    01/15/16    5,000    5,168,750

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

    6.300%    05/01/14    1,725    1,768,125

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

    7.500%    03/15/18    2,875    3,176,875

TransDigm, Inc., Gtd. Notes(d)

    7.750%    12/15/18    3,000    3,210,000
           

 

            13,323,750
           

 

Automobiles — 7.8%

            

American Axle & Manufacturing Holdings, Inc., Sr. Sec’d. Notes, 144A(d)

    9.250%    01/15/17    9,688    10,341,940

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

    8.000%    06/15/19    7,500    8,146,875

Continental Rubber of America Corp., Sr. Sec’d. Notes, 144A

    4.500%    09/15/19    5,350    5,406,175

Dana Holding Corp., Sr. Unsec’d. Notes

    6.500%    02/15/19    225    239,062

Delphi Corp., Gtd. Notes(d)

    5.875%    05/15/19    2,765    2,930,900

Lear Corp., Gtd. Notes

    7.875%    03/15/18    5,646    6,012,990

Lear Corp., Gtd. Notes

    8.125%    03/15/20    1,670    1,824,475

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

    6.875%    08/15/18    3,850    4,004,000

Titan International, Inc., Sr. Sec’d. Notes, 144A(d)

    7.875%    10/01/17    2,500    2,650,000

TRW Automotive, Inc., Gtd. Notes, 144A

    7.250%    03/15/17    6,557    7,409,410
           

 

            48,965,827
           

 

Building Materials & Construction — 3.7%

            

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

    6.625%    04/15/18    4,075    4,294,031

Building Materials Corp. of America, Sr. Notes, 144A (original cost $2,103,860; purchased 06/20/2013)(b)(c)

    6.875%    08/15/18    2,000    2,125,000

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

    9.500%    12/14/16    1,644    1,734,420

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

    4.750%    05/15/17    3,000    3,075,000

Lennar Corp., Gtd. Notes(d)

    4.750%    12/15/17    5,075    5,151,125

Standard Pacific Corp., Gtd. Notes(d)

    10.750%    09/15/16    4,000    4,750,000

Toll Brothers Finance Corp., Gtd. Notes

    8.910%    10/15/17    1,600    1,880,000
           

 

            23,009,576
           

 

Cable — 6.8%

            

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

    7.750%    04/15/18    750    823,125

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

    8.625%    09/15/17    6,200    7,052,500

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

    7.000%    01/15/19    6,200    6,556,500

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

    11.500%    11/20/14    4,485    4,821,375

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

    8.625%    02/15/19    2,500    2,875,000

DISH DBS Corp., Gtd. Notes

    4.250%    04/01/18    6,600    6,501,000

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

    9.875%    04/15/18    7,250    7,866,250

Videotron Ltee (Canada), Gtd. Notes

    9.125%    04/15/18    187    196,116

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

    6.500%    01/15/18    5,500    5,733,750
           

 

            42,425,616
           

 

Capital Goods — 5.6%

            

CNH America LLC, Gtd. Notes(d)

    7.250%    01/15/16    7,235    7,886,150

CNH Capital LLC, Gtd. Notes(d)

    3.875%    11/01/15    2,075    2,116,500

Columbus McKinnon Corp., Gtd. Notes(d)

    7.875%    02/01/19    2,900    3,045,000

Griffon Corp., Gtd. Notes(d)

    7.125%    04/01/18    3,000    3,183,750

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

    7.500%    11/15/18    1,450    1,522,500

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

    9.250%    09/01/19    2,125    2,295,000

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

    7.000%    05/15/18    1,200    1,206,000

SPX Corp., Gtd. Notes(d)

    7.625%    12/15/14    3,212    3,420,780

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

    9.250%    12/15/19    7,437    8,338,736

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

    9.500%    05/15/17    2,000    2,070,000
           

 

            35,084,416
           

 

Chemicals — 2.4%

            

Ashland, Inc., Sr. Unsec’d. Notes, 144A

    3.000%    03/15/16    4,675    4,733,438

INEOS Group Holdings SA (Luxembourg), Gtd. Notes, 144A (original cost $1,050,000; purchased 05/02/2013)(b)(c)

    6.125%    08/15/18    1,050    1,015,875

Koppers, Inc., Gtd. Notes(d)

    7.875%    12/01/19    5,274    5,669,550

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

    9.250%    08/01/19    2,850    2,907,000

PetroLogistics LP/PetroLogistics Finance Corp.,
Gtd. Notes, 144A

    6.250%    04/01/20    1,000    967,500
           

 

            15,293,363
           

 

Consumer — 2.1%

            

Jarden Corp., Gtd. Notes(d)

    7.500%    05/01/17    3,750    4,171,875

PVH Corp., Sr. Unsec’d. Notes(d)

    7.375%    05/15/20    1,750    1,890,000

QVC, Inc., Sr. Sec’d. Notes, 144A

    7.500%    10/01/19    750    808,559

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

    7.000%    05/15/19    2,735    2,926,450

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

    7.625%    10/01/18    2,753    3,128,096
           

 

            12,924,980
           

 

Electric — 4.8%

            

AES Corp. (The), Sr. Unsec’d. Notes(d)

    8.000%    10/15/17    4,000    4,600,000

AES Corp. (The), Sr. Unsec’d. Notes

    9.750%    04/15/16    6,120    7,129,800

Calpine Corp., Sr. Sec’d. Notes, 144A

    7.250%    10/15/17    275    286,688

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

    9.237%    07/02/17    2,155    2,225,054

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

    9.681%    07/02/26    900    954,000

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

    9.125%    06/30/17    819    859,553

NRG Energy, Inc., Gtd. Notes

    7.625%    01/15/18    7,000    7,752,500

Public Service Co. of New Mexico, Sr. Unsec’d. Notes(d)

    7.950%    05/15/18    5,500    6,559,184
           

 

            30,366,779
           

 

Energy — Integrated — 0.2%

            

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

    7.250%    12/12/21    1,500    1,552,500
           

 

Energy — Other — 6.1%

            

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

    9.500%    05/15/16    5,030    5,281,500

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

    9.375%    05/01/20    1,250    1,375,000

Hercules Offshore, Inc., Gtd. Notes, 144A

    10.500%    10/15/17    4,300    4,547,250

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

    7.125%    04/01/17    750    795,000

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    7,612,500

Parker Drilling Co., Gtd. Notes(d)

    9.125%    04/01/18    9,000    9,585,000

Plains Exploration & Production Co., Gtd. Notes(d)

    8.625%    10/15/19    2,000    2,220,154

Seitel, Inc., Gtd. Notes

    9.500%    04/15/19    1,125    1,130,625

Tesoro Corp., Gtd. Notes(d)

    4.250%    10/01/17    3,675    3,720,938

WPX Energy, Inc., Sr. Unsec’d. Notes

    5.250%    01/15/17    2,000    2,120,000
           

 

            38,387,967
           

 

Foods — 7.5%

            

ARAMARK Corp., Gtd. Notes, 144A(d)

    5.750%    03/15/20    950    969,000

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

    7.250%    09/01/16    3,052    3,452,575

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

    8.125%    09/01/18    6,750    7,247,812

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

    8.375%    11/15/17    3,499    3,673,950

Darling International, Inc., Gtd. Notes(d)

    8.500%    12/15/18    5,175    5,692,500

Fiesta Restaurant Group, Inc., Sec’d. Notes(d)

    8.875%    08/15/16    2,700    2,875,500

JBS USA LLC/JBS USA Finance, Inc. (Brazil), Gtd. Notes (original cost $2,315,000; purchased 05/02/2012)(b)(c)(d)

    11.625%    05/01/14    2,000    2,100,000

Michael Foods Group, Inc., Gtd. Notes

    9.750%    07/15/18    5,505    6,041,738

Pilgrim’s Pride Corp., Gtd. Notes

    7.875%    12/15/18    2,250    2,430,000

Stater Bros. Holdings, Inc., Gtd. Notes(d)

    7.375%    11/15/18    1,990    2,104,425

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

    5.250%    08/01/18    800    803,000

Tops Holding Corp./Tops Markets LLC, Sr. Sec’d. Notes, 144A (original cost $1,668,750;
purchased 05/21/2013)(b)(c)(d)

    8.875%    12/15/17    1,500    1,657,500

TreeHouse Foods, Inc., Gtd. Notes(d)

    7.750%    03/01/18    7,600    8,056,000
           

 

            47,104,000
           

 

Foreign Agency — 0.6%

            

Harvest Operations Corp. (South Korea), Gtd. Notes(d)

    6.875%    10/01/17    3,725    4,023,000
           

 

Gaming — 5.5%

            

Boyd Gaming Corp., Gtd. Notes(d)

    9.125%    12/01/18    5,120    5,580,800

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

    11.250%    06/01/17    10,000    10,300,000

Isle of Capri Casinos, Inc., Gtd. Notes

    7.750%    03/15/19    3,000    3,097,500

MGM Resorts International, Gtd. Notes(d)

    7.500%    06/01/16    2,000    2,200,000

MGM Resorts International, Gtd. Notes

    7.625%    01/15/17    1,500    1,653,750

MGM Resorts International, Gtd. Notes(d)

    10.000%    11/01/16    5,000    5,875,000

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

    8.375%    02/15/18    2,000    2,150,000

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

    8.750%    05/15/20    3,474    3,751,920
           

 

           

34,608,970

           

 

Healthcare & Pharmaceutical — 9.3%

            

Accellent, Inc., Sr. Sec’d. Notes(d)

    8.375%    02/01/17    4,277    4,394,617

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

    9.250%    07/01/17    7,320    7,804,950

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

    8.000%    11/15/19    4,147    4,354,350

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

    8.250%    01/15/19    1,525    1,502,125

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

    10.500%    12/15/18    5,115    5,728,800

HCA, Inc., Sr. Sec’d. Notes(d)

    8.500%    04/15/19    4,000    4,320,000

HCA, Inc., Sr. Unsec’d. Notes(d)

    6.375%    01/15/15    4,250    4,473,125

HCA, Inc., Sr. Unsec’d. Notes, MTN(d)

    9.000%    12/15/14    6,203    6,699,240

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

    7.375%    09/01/18    450    456,750

MedAssets, Inc., Gtd. Notes(d)

    8.000%    11/15/18    5,450    5,858,750

Valeant Pharmaceuticals International, Inc.,
Gtd. Notes, 144A(d)

    6.500%    07/15/16    10,000    10,350,000

VPII Escrow Corp., Sr. Unsec’d. Notes, 144A

    6.750%    08/15/18    2,000    2,117,500
           

 

           

58,060,207

           

 

Media & Entertainment — 15.1%

            

Allbritton Communications Co.,
Sr. Unsec’d. Notes(d)

    8.000%    05/15/18    4,900    5,292,000

AMC Entertainment, Inc.,
Gtd. Notes

    9.750%    12/01/20    6,325    7,226,312

Belo Corp., Gtd. Notes(d)

    8.000%    11/15/16    7,000    7,350,000

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

    9.125%    08/01/18    6,492    7,108,740

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

    8.750%    11/15/14    6,254    6,754,320

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

    9.375%    11/15/17    2,000    2,122,500

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

    7.375%    12/01/17    5,115    5,319,600

Intelsat Jackson Holdings SA (Luxembourg),
Gtd. Notes

    7.250%    04/01/19    4,000    4,290,000

Lamar Media Corp., Gtd. Notes

    9.750%    04/01/14    1,779    1,854,608

LIN Television Corp., Gtd. Notes

    8.375%    04/15/18    2,250    2,401,875

NAI Entertainment Holdings LLC,
Sr. Sec’d. Notes, 144A (original cost $7,639,915;
purchased 06/05/12 - 12/12/12)(b)(c)(d)

    8.250%    12/15/17    6,882    7,454,582

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A (original cost $1,225,000;
purchased 07/30/2013)(b)(c)

    5.000%    08/01/18    1,225    1,240,313

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

    5.000%    03/15/15    1,310    1,368,950

Nexstar Broadcasting, Inc./Mission Broadcasting, Inc.,
Sec’d. Notes(d)

    8.875%    04/15/17    4,500    4,848,750

Nielsen Finance LLC/Nielsen Finance Co. (Netherlands),
Gtd. Notes(d)

    11.625%    02/01/14    3,595    3,743,473

Regal Cinemas Corp., Gtd. Notes(d)

    8.625%    07/15/19    2,000    2,162,500

Sinclair Television Group, Inc., Sec’d. Notes, 144A(d)

    9.250%    11/01/17    7,200    7,614,000

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

    11.125%    06/01/18    6,690    7,375,725

Telesat Canada/Telesat LLC (Canada),
Sr. Unsec’d. Notes, 144A(d)

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

WMG Acquisition Corp., Gtd. Notes

    11.500%    10/01/18    1,400    1,613,500
           

 

           

94,819,248

           

 

Metals — 5.5%

            

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

    5.000%    02/25/17    3,600    3,681,000

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

    6.125%    06/01/18    1,800    1,854,000

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

    9.500%    02/15/15    6,000    6,585,000

Arch Coal, Inc., Gtd. Notes, 144A

    9.875%    06/15/19    675    587,250

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

    9.000%    06/01/18    2,400    2,100,000

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

    12.500%    07/08/15    5,000    5,200,000

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

    8.000%    04/01/17    4,200    4,431,000

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

    6.375%    02/01/16    2,000    2,050,000

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

    7.000%    11/01/15    1,850    1,905,500

Peabody Energy Corp., Gtd. Notes

    6.000%    11/15/18    4,074    4,053,630

Steel Dynamics, Inc., Gtd. Notes

    6.125%    08/15/19    1,725    1,811,250
           

 

            34,258,630
           

 

Non-Captive Finance — 2.4%

            

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

    4.250%    08/15/17    8,575    8,682,187

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

    3.875%    04/15/18    1,350    1,289,250

International Lease Finance Corp., Sr. Unsec’d. Notes

    8.875%    09/01/17    4,000    4,555,000

SLM Corp., Sr. Unsec’d. Notes, MTN

    8.000%    03/25/20    425    462,188
           

 

            14,988,625
           

 

Packaging — 3.4%

            

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

    7.375%    10/15/17    3,000    3,206,250

BWAY Holding Co., Gtd. Notes (original cost $1,107,500;
purchased 07/20/2012)(b)(c)

    10.000%    06/15/18    1,000    1,095,000

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

    7.375%    05/15/16    5,965    6,695,713

Plastipak Holdings, Inc., Sr. Notes, 144A
(original cost $2,691,000; purchased 06/12/13)(b)(c)

    10.625%    08/15/19    2,400    2,640,000

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

    9.875%    08/15/19    3,000    3,187,500

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

    8.125%    09/15/19    4,000    4,440,000
           

 

            21,264,463
           

 

Paper — 0.5%

            

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

    4.875%    09/15/18    3,450    3,450,000
           

 

Pipelines & Other — 1.8%

            

Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes(d)

    9.125%    10/01/17    5,750    6,023,125

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    1,956,500

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

    7.500%    10/01/18    3,050    3,271,125
           

 

            11,250,750
           

 

Real Estate Investment Trusts — 1.4%

            

DuPont Fabros Technology LP, Gtd. Notes(d)

    8.500%    12/15/17    2,195    2,315,725

Felcor Lodging LP, Sr. Sec’d. Notes

    10.000%    10/01/14    5,866    6,320,615
           

 

            8,636,340
           

 

Retailers — 1.8%

            

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

    6.125%    03/15/20    400    398,000

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

    9.000%    03/15/19    3,450    3,842,438

Michaels Stores, Inc., Gtd. Notes

    7.750%    11/01/18    1,600    1,722,000

Petco Holdings, Inc.,
Sr. Notes, PIK, 144A (original cost $3,580,094;
purchased 10/04/12 - 06/04/13)(b)(c)

    8.500%    10/15/17    3,500    3,570,000

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

    8.500%    12/01/17    1,500    1,578,750
           

 

            11,111,188
           

 

Technology — 17.2%

            

Anixter, Inc., Gtd. Notes

    10.000%    03/15/14    4,377    4,563,022

Audatex North America, Inc., Gtd. Notes

    6.750%    06/15/18    6,750    7,171,875

Avaya, Inc., Sec’d. Notes, 144A

    10.500%    03/01/21    1,250    965,625

Brightstar Corp.,
Gtd. Notes, 144A (original cost $4,777,750;
purchased 04/27/12 - 03/27/13)(b)(c)(d)

    9.500%    12/01/16    4,500    4,702,500

Brightstar Corp., Sr. Unsec’d. Notes, 144A (original cost $1,831,001; purchased 07/26/2013)(b)(c)

    7.250%    08/01/18    1,850    1,822,250

CDW LLC/CDW Finance Corp., Gtd. Notes

    8.500%    04/01/19    1,500    1,648,125

CDW LLC/CDW Finance Corp., Gtd. Notes

    12.535%    10/12/17    3,924    4,095,675

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

    8.000%    12/15/18    2,639    2,896,303

Ceridian Corp., Gtd. Notes

    11.250%    11/15/15    12,825    12,985,312

Ceridian Corp., Gtd. Notes, PIK

    12.250%    11/15/15    3,198    3,245,970

CommScope, Inc.,
Gtd. Notes, 144A (original cost $7,113,185;
purchased 01/07/13 - 07/22/13)(b)(c)(d)

    8.250%    01/15/19    6,473    7,055,570

Freescale Semiconductor, Inc., Sr. Sec’d. Notes, 144A

    9.250%    04/15/18    12,300    13,284,000

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

    8.250%    12/15/17    1,950    1,974,375

Interactive Data Corp., Gtd. Notes(d)

    10.250%    08/01/18    11,374    12,653,575

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

    7.750%    07/15/16    2,000    2,265,000

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

    3.750%    06/01/18    5,525    5,338,531

NXP BV/NXP Funding LLC (Netherlands),
Sr. Sec’d. Notes, 144A

    9.750%    08/01/18    1,641    1,813,305

Seagate Technology HDD Holdings, Gtd. Notes

    6.800%    10/01/16    419    466,138

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

    6.500%    05/15/19    3,700    3,940,500

SunGard Data Systems, Inc., Gtd. Notes

    6.625%    11/01/19    825    837,375

SunGard Data Systems, Inc., Gtd. Notes

    7.375%    11/15/18    1,500    1,593,750

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

    8.125%    06/15/18    950    1,001,063

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

    11.375%    06/15/18    9,800    10,902,500

Unisys Corp., Sr. Unsec’d. Notes(d)

    6.250%    08/15/17    727    766,985
           

 

            107,989,324
           

 

Telecommunications — 8.7%

            

Clearwire Communications LLC/Clearwire Finance, Inc.,
Sr. Sec’d. Notes, 144A

    12.000%    12/01/15    4,633    4,887,815

Clearwire Communications LLC/Clearwire Finance, Inc.,
Sr. Sec’d. Notes, 144A(d)

    12.000%    12/01/15    5,500    5,802,500

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

    8.250%    09/01/17    3,000    3,120,000

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

    10.500%    04/15/18    3,750    4,040,625

Embarq Corp., Sr. Unsec’d. Notes
(original cost $6,915,000; purchased 04/11/13)(b)(c)(d)

    7.082%    06/01/16    6,000    6,747,456

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

    8.250%    04/15/17    2,000    2,250,000

Qwest Communications International, Inc., Gtd. Notes

    7.125%    04/01/18    1,500    1,558,125

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

    6.000%    12/01/16    1,800    1,908,000

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

    8.375%    08/15/17    7,550    8,474,875

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

    9.125%    03/01/17    1,900    2,180,250

T-mobile USA, Inc., Sr. Unsec’d. Notes, 144A

    5.250%    09/01/18    3,175    3,206,750

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

    12.250%    07/15/17    4,245    4,340,512

Windstream Corp., Gtd. Notes(d)

    7.875%    11/01/17    5,250    5,827,500
           

 

            54,344,408
           

 

Transportation — 1.5%

            

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

    8.250%    01/15/19    1,700    1,848,750

Hertz Corp. (The), Gtd. Notes

    7.500%    10/15/18    3,250    3,510,000

Hertz Corp. (The), Gtd. Notes, 144A

    4.250%    04/01/18    3,875    3,797,500
           

 

            9,156,250
           

 

TOTAL CORPORATE BONDS
(cost $776,129,954)

             776,400,177
           

 

TOTAL LONG-TERM INVESTMENTS
(cost $814,835,444)

             815,223,353
           

 

SHORT-TERM INVESTMENT — 0.9%

      
              

Shares

     

AFFILIATED MONEY MARKET MUTUAL FUND

      

Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $5,350,355)(e)

    5,350,355    5,350,355
           

 

TOTAL INVESTMENTS — 130.9%
(cost $820,185,799)(f)

             820,573,708

LIABILITIES IN EXCESS OF OTHER ASSETS — (30.9)%

       (193,684,966)
           

 

NET ASSETS — 100.0%

             $    626,888,742
           

 

 

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.
MTN    Medium Term Note
PIK    Payment-In-Kind
RegS    Regulations 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.

 

# Principal amount shown in U.S. dollars unless otherwise stated.
(a) Variable rate instrument. The interest rate shown reflects the rate in effect at August 31, 2013.
(b) Indicates a security or securities that have been deemed illiquid.
(c) Indicates a restricted security; the aggregate cost of the restricted securities is $58,864,199. The aggregate value, $57,616,421, is approximately 9.2% of net assets.
(d) Represents security, or a portion thereof, with an aggregate value of $457,462,611, segregated as collateral for amount of $209,000,000 borrowed and outstanding as of August 31, 2013. Of such securities, securities in the amount of $201,974,592, have been loaned for which, the amount borrowed serves as collateral.
(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

    $ 831,093,642   
  

 

 

  

Appreciation

      4,303,745   

Depreciation

      (14,823,679 ) 
  

 

 

  

Net Unrealized Depreciation

    $ (10,519,934 ) 
  

 

 

  

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 August 31, 2013 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

         

Bank Loans

    $ —         $ 38,823,176       $ —     

Corporate Bonds

      —           774,586,624         1,813,553   

Affiliated Money Market Mutual Fund

      5,350,355         —           —     
  

 

 

     

 

 

     

 

 

  

Total

    $ 5,350,355       $ 813,409,800       $ 1,813,553   
  

 

 

     

 

 

     

 

 

  

Notes to Schedule of Investments (Unaudited)

Securities Valuation: The Fund holds portfolio 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 Trustees (the “Board”) has delegated fair valuation responsibilities to Prudential Investments LLC (“PI” or “Manager”) through the adoption of Valuation Procedures for valuation of the Fund’s securities. Under the current Valuation Procedures, a Valuation Committee is established and responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures allow the Fund to utilize independent pricing vendor services, quotations from market makers and other valuation methods in events when market quotations are not readily available or not representative of the fair value of the securities. A record of the Valuation Committee’s actions is subject to review, approval and ratification by the Board at its next regularly scheduled quarterly meeting.

Various inputs are used in determining the value of the Fund’s investments, which are summarized in the three broad level hierarchies based on any observable inputs used as described in the table following the Schedule of Investments. The valuation methodologies and significant inputs used in determining the fair value of securities and other assets classified as Level 1, Level 2 and Level 3 of the hierarchy are as follows:

Common stocks, exchange-traded funds and financial derivative instruments (including futures contracts and certain options and swap contracts on securities), 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 of the fair value hierarchy.

In the event there is no sale or official closing price on such day, these securities are valued at the mean between the last reported bid and asked prices, or at the last bid price in absence of an asked price. These securities are classified as Level 2 of the fair value hierarchy as these inputs are considered as significant other observable inputs 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 as they have the ability to be purchased or sold at their net asset value on the date of valuation.

Fixed income securities traded in the over-the-counter market, such as corporate bonds, municipal bonds, U.S. Government agencies issues and guaranteed obligations, U.S. Treasury obligations and sovereign issues are usually valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices usually after evaluating observable inputs including yield curves, credit rating, yield spreads, default rates, cash flows as well as broker/dealer quotations and reported trades. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Asset-backed and mortgage-related securities are usually valued by approved independent pricing vendors. The pricing vendors provide the prices using their internal pricing models with inputs from deal terms, tranche level attributes, yield curves, prepayment speeds, default rates and broker/dealer quotes. Securities valued using such vendor prices are classified as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as option contracts, foreign currency contracts and swaps agreements, are usually valued using pricing vendor services, which derive the valuation based on underlying asset prices, indices, spreads, interest rates, exchange rates and other inputs. These instruments are categorized as Level 2 of the fair value hierarchy.

Securities and other assets that cannot be priced using the methods described above are valued with pricing methodologies approved by the Board of Trustees. In the event there are unobservable inputs used when determining such valuations, the securities will be classified as Level 3 of 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 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 October 21, 2013

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

 

By (Signature and Title)*   

/s/ Stuart S. Parker

   Stuart S. Parker
   President and Principal Executive Officer
Date October 21, 2013

 

By (Signature and Title)*   

/s/ Grace C. Torres

   Grace C. Torres
   Treasurer and Principal Financial Officer
Date October 21, 2013

 

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