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:   5/31/2013
Date of reporting period:   2/28/2013

 

 

 

Item  1. Schedule of Investments

Prudential Short Duration High Yield Fund, Inc.

Schedule of Investments

as of February 28, 2013 (Unaudited)

 

Description

   

Moody’s

Ratings†

   

Interest

Rate

   

Maturity Date

   

Principal

Amount (000)#

   

Value

LONG-TERM INVESTMENTS — 129.2%

         

BANK LOANS(a) — 9.8%

         

Cable — 0.6%

               

Newsday LLC

    NR    3.805%    10/12/16    $           4,000    $       3,990,000
              

 

Electric — 0.6%

               

Calpine Corp.

    B1    4.000    10/09/19    3,791    3,815,537
              

 

Gaming — 0.3%

               

MGM Resorts International

    Ba2    4.250    12/20/19    2,000    2,025,714
              

 

Healthcare & Pharmaceutical — 0.3%

      

Alliance Healthcare Services, Inc.

    Ba3    7.250    06/01/16    2,250    2,255,625
              

 

Media & Entertainment — 2.6%

         

Ancestry.com, Inc.

    B1    7.000    12/31/18    4,500    4,477,500

Getty Images, Inc.

    B1    4.750    10/18/19    7,000    7,058,751

Gray Television, Inc.

    B2    4.750    10/14/19    4,820    4,868,018
              

 

               16,404,269
              

 

Metals — 0.8%

               

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

    Ba1    5.250    10/18/17    4,988    5,047,764
              

 

Pipelines & Other — 0.8%

         

Energy Transfer Equity LP

    Ba2    3.750    03/24/17    5,000    5,014,585
              

 

Technology — 3.8%

               

Alcatel-Lucent (USA), Inc.

    B1    7.250    01/30/19    3,000    3,032,814

First Data Corp.

    B1    5.202    09/24/18    1,675    1,675,000

Flextronics International Ltd. (Singapore),
Tranche A3

    Ba1    2.454    10/01/14    248    247,693

Tranche DD-A1A

    Ba1    2.454    10/01/14    71    71,176

Tranche DD-A1B

    Ba1    2.454    10/01/14    51    51,061

Tranche DD-A2

    Ba1    2.454    10/01/14    61    61,273

Tranche DD-A3

    Ba1    2.454    10/01/14    71    71,485

Freescale Semiconductor, Inc.

    B1    4.452    12/01/16    13,000    13,005,421

Kronos, Inc.

    Ba3    9.750    04/30/20    3,750    3,831,251

RP Crown Parent LLC

    B1    6.750    12/21/18    2,250    2,278,125
              

 

               24,325,299
              

 

TOTAL BANK LOANS
(cost $61,504,403)

          62,878,793
              

 

CORPORATE BONDS — 119.4%

         

Aerospace & Defense — 3.2%

         

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

    Ba2    4.250    01/15/16    5,000    5,187,500

Sr. Unsec’d. Notes, 144A

    Ba2    6.300    05/01/14    1,725    1,802,625

Sr. Unsec’d. Notes, 144A

    Ba2    7.500    03/15/18    1,875    2,130,469

Esterline Technologies Corp., Gtd. Notes(b)

    Ba2    6.625    03/01/17    8,000    8,180,000

TransDigm, Inc., Gtd. Notes(b)

    B3    7.750    12/15/18    3,000    3,292,500
              

 

               20,593,094
              

 

Automotive — 7.5%

         

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

    Ba1    9.250    01/15/17    9,688    10,656,800

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

    B1    8.000    06/15/19    7,500    8,221,875

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

    Ba2    4.500    09/15/19    7,450    7,599,000

Delphi Corp., Gtd. Notes(b)

    Ba1    5.875    05/15/19    4,765    5,098,550

Lear Corp.,
Gtd. Notes

    Ba2    7.875    03/15/18    6,350    6,873,875

Gtd. Notes

    Ba2    8.125    03/15/20    2,000    2,230,000

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

    Ba2    7.250    03/15/17    6,557    7,540,550
              

 

               48,220,650
              

 

Banking — 0.5%

               

Ally Financial, Inc., Gtd. Notes(b)

    B1    8.300    02/12/15    3,000    3,337,500
              

 

Building Materials & Construction — 3.3%

               

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

    B2    6.625    04/15/18    2,075    2,217,656

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

    B(c)    9.500    12/14/16    5,000    5,425,000

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

    Ba2    4.750    05/15/17    3,000    3,165,000

Lennar Corp., Gtd. Notes(b)

    Ba3    4.750    12/15/17    5,075    5,265,313

Standard Pacific Corp., Gtd. Notes(b)

    B3    10.750    09/15/16    4,000    4,980,000
              

 

               21,052,969
              

 

Cable — 6.6%

               

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

    B1    7.750    04/15/18    750    825,000

Sr. Unsec’d. Notes(b)

    B1    8.625    09/15/17    5,300    6,148,000

Cequel Communications Holdings I LLC and Cequel Capital Corp.,
Sr. Unsec’d. Notes, 144A

    B3    8.625    11/15/17    7,700    8,239,000

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

    B2    11.500    11/20/14    4,485    5,028,806

CSC Holdings LLC,
Sr. Unsec’d. Notes

    Ba3    8.500    06/15/15    1,200    1,245,000

Sr. Unsec’d. Notes(b)

    Ba3    8.625    02/15/19    2,500    2,981,250

DISH DBS Corp., Gtd. Notes

    Ba2    4.625    07/15/17    4,500    4,657,500

Echostar DBS Corp., Gtd. Notes

    Ba2    7.125    02/01/16    3,965    4,411,063

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

    B2    9.875    04/15/18    7,250    8,120,000

Videotron Ltee (Canada), Gtd. Notes

    Ba2    9.125    04/15/18    414    436,770
              

 

               42,092,389
              

 

Capital Goods — 6.8%

               

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

    B2    9.625    03/15/18    5,115    5,652,075

CNH America LLC, Gtd. Notes(b)

    Ba2    7.250    01/15/16    7,235    8,103,200

CNH Capital LLC, Gtd. Notes

    Ba2    3.875    11/01/15    2,075    2,132,062

Columbus McKinnon Corp., Gtd. Notes(b)

    B1    7.875    02/01/19    2,900    3,124,750

Griffon Corp., Gtd. Notes(b)

    B1    7.125    04/01/18    3,000    3,247,500

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

    B2    7.500    11/15/18    1,450    1,569,625

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

    Caa1    9.250    09/01/19    3,325    3,615,938

SPX Corp., Gtd. Notes(b)

    Ba2    7.625    12/15/14    5,867    6,417,031

United Rentals Merger Sub Corp., Gtd. Notes(b)

    B3    9.250    12/15/19    5,000    5,700,000

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

    B3    9.500    05/15/17    4,000    4,190,000
              

 

               43,752,181
              

 

Chemicals — 3.9%

               

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

    Ba1    3.000    03/15/16    4,675    4,733,437

Koppers, Inc., Gtd. Notes(b)

    B1    7.875    12/01/19    4,074    4,481,400

MacDermid, Inc., Gtd. Notes, 144A
(original cost $4,954,225;
purchased 11/13/12 - 02/26/13)(d)(e)

    Caa1    9.500    04/15/17    4,750    4,934,062

NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes(b)

    Ba2    8.375    11/01/16    7,673    8,306,023

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

    Caa1    9.250    08/01/19    2,850    2,835,750
              

 

               25,290,672
              

 

Consumer — 1.9%

               

Jarden Corp., Gtd. Notes

    B2    7.500    05/01/17    3,000    3,393,750

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

    Ba3    7.000    05/15/19    2,735    2,967,475

Sr. Unsec’d. Notes(b)

    Ba3    7.625    10/01/18    2,753    3,248,540

Spectrum Brands, Inc., Sr. Sec’d. Notes(b)

    Ba3    9.500    06/15/18    2,000    2,267,500
              

 

               11,877,265
              

 

Electric — 4.4%

               

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

    Ba3    8.000    10/15/17    4,000    4,620,000

Sr. Unsec’d. Notes(b)

    Ba3    9.750    04/15/16    6,120    7,282,800

Calpine Construction Finance Co. LP/CCFC Finance Corp., Sr. Sec’d. Notes, 144A(b)

    Ba3    8.000    06/01/16    6,260    6,604,300

GenOn REMA LLC,
Pass-thru Certs., Ser. B(d)

    B1    9.237    07/02/17    1,050    1,157,861

Pass-thru Certs., Ser. C(b)

    B1    9.681    07/02/26    900    981,000

Mirant Mid-Atlantic Pass-Through Trust B,
Pass-thru Certs., Ser. B

    Ba1    9.125    06/30/17    1,030    1,142,815

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

    Baa3    7.950    05/15/18    5,500    6,637,746
              

 

               28,426,522
              

 

Energy — Integrated — 0.3%

               

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

    Ba2    7.250    12/12/21    1,500    1,717,500
              

 

Energy — Other — 5.8%

               

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

    Ba3    9.500    05/15/16    8,025    8,486,437

Harvest Operations Corp. (Canada), Gtd. Notes

    Ba2    6.875    10/01/17    2,725    3,024,750

Hornbeck Offshore Services, Inc., Gtd. Notes

    Ba3    8.000    09/01/17    3,000    3,191,250

Offshore Group Investment Ltd. (Cayman Islands), Sr. Sec’d. Notes

    B3    11.500    08/01/15    6,177    6,732,930

Parker Drilling Co., Gtd. Notes(b)

    B1    9.125    04/01/18    5,000    5,412,500

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

    B1    8.625    10/15/19    2,000    2,285,000

Range Resources Corp., Gtd. Notes

    Ba3    7.250    05/01/18    2,000    2,090,000

Tesoro Corp., Gtd. Notes

    Ba1    4.250    10/01/17    3,675    3,822,000

WPX Energy, Inc., Sr. Unsec’d. Notes

    Ba1    5.250    01/15/17    2,000    2,080,000
              

 

               37,124,867
              

 

Foods — 9.1%

               

ARAMARK Corp.,
Gtd. Notes

    B3    8.500    02/01/15    5,000    5,025,050

Sr. Unsec’d. Notes, 144A

    B3    5.750    03/15/20    950    969,000

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

    B3    8.625    05/01/16    2,000    2,040,020

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

    Ba1    7.250    09/01/16    3,052    3,460,205

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

    B3    8.125    09/01/18    6,000    6,585,000

Gtd. Notes(b)

    B3    8.375    11/15/17    3,499    3,783,294

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

    Ba2    8.500    12/15/18    5,175    5,886,562

Dole Food Co., Inc., Sec’d. Notes, 144A

    B2    8.000    10/01/16    2,000    2,087,500

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

    B2    8.875    08/15/16    2,700    2,922,750

Ingles Markets, Inc., Sr. Unsec’d. Notes(b)

    B1    8.875    05/15/17    4,185    4,404,713

JBS USA LLC/JBS USA Finance, Inc.,
Gtd. Notes
(original cost $2,315,000;
purchased 05/02/12)(b)(d)(e)

    B1    11.625    05/01/14    2,000    2,212,500

Michael Foods Group, Inc., Gtd. Notes

    B3    9.750    07/15/18    5,505    6,124,313

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

    B2    7.375    11/15/18    1,990    2,138,006

SUPERVALU, Inc., Sr. Unsec’d. Notes

    Caa1    7.500    11/15/14    2,354    2,362,851

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

    Ba2    7.750    03/01/18    7,600    8,217,500
              

 

               58,219,264
              

 

Gaming — 7.1%

Boyd Gaming Corp., Gtd. Notes(b)

    B3    9.125    12/01/18    5,120    5,312,000

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

    B2    11.250    06/01/17    10,000    10,637,500

Isle of Capri Casinos, Inc., Gtd. Notes

    B2    7.750    03/15/19    2,000    2,170,000

MGM Resorts International,
Gtd. Notes(b)

    B3    7.500    06/01/16    2,000    2,202,500

Gtd. Notes(b)

    B3    10.000    11/01/16    3,000    3,570,000

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

    B1    8.625    08/01/17    3,125    3,320,313

Gtd. Notes(b)

    B3    8.750    05/15/20    2,224    2,393,580

Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Sec’d. Notes, 144A(b)

    B2    8.625    04/15/16    6,825    7,311,281

Yonkers Racing Corp.,
Sec’d. Notes, 144A
(original cost $8,393,939;
purchased 05/03/12 - 05/09/12)(b)(d)(e)

    B1    11.375    07/15/16    7,681    8,295,480
              

 

               45,212,654
              

 

Healthcare & Pharmaceutical —7.3%

Accellent, Inc., Sr. Sec’d. Notes(b)

    B1    8.375    02/01/17    2,552    2,705,120

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

    B3    9.250    07/01/17    7,320    7,887,300

HCA, Inc.,
Sr. Sec’d. Notes(b)

    Ba3    8.500    04/15/19    4,000    4,430,000

Sr. Unsec’d. Notes(b)

    B3    6.375    01/15/15    7,500    8,043,750

Sr. Unsec’d. Notes, MTN(b)

    B3    9.000    12/15/14    6,203    6,885,330

MedAssets, Inc., Gtd. Notes(b)

    B3    8.000    11/15/18    5,450    5,967,750

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

    B1    6.500    07/15/16    10,000    10,506,250
              

 

               46,425,500
              

 

Lodging —1.0%

FelCor Lodging LP, Sr. Sec’d. Notes

    B2    10.000    10/01/14    5,866    6,621,248
              

 

Media & Entertainment —15.4%

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

    B2    8.000    05/15/18    4,900    5,322,625

AMC Entertainment, Inc., Gtd. Notes

    Caa1    9.750    12/01/20    6,325    7,289,562

Belo Corp., Gtd. Notes(b)

    Ba1    8.000    11/15/16    8,500    9,158,750

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

    B1    9.125    08/01/18    6,492    7,271,040

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

    Ba1    8.750    11/15/14    6,254    6,973,210

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

    Ba2    7.375    12/01/17    8,300    8,881,000

Lamar Media Corp., Gtd. Notes

    Ba2    9.750    04/01/14    3,091    3,349,871

LIN Television Corp., Gtd. Notes

    B3    8.375    04/15/18    1,500    1,633,125

NAI Entertainment Holdings LLC,
Sr. Sec’d. Notes, 144A
(original cost $8,104,630;
purchased 06/05/12 -12/12/12)(b)(d)(e)

    B1    8.250    12/15/17    7,296    7,952,640

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

    B1    5.000    03/15/15    1,310    1,377,138

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

    B3    8.875    04/15/17    4,500    4,950,000

Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes(b)

    B2    11.625    02/01/14    9,792    10,697,760

Regal Cinemas Corp., Gtd. Notes(b)

    B2    8.625    07/15/19    2,000    2,220,000

Salem Communications Corp., Sec’d. Notes

    B2    9.625    12/15/16    2,000    2,212,500

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

    Ba3    9.250    11/01/17    6,500    7,052,500

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

    Caa1    11.125    06/01/18    4,625    5,185,781

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

    B3    6.000    05/15/17    6,500    6,776,250
              

 

               98,303,752
              

 

Metals — 6.8%

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

    Ba1    5.000    02/25/17    3,600    3,745,800

Sr. Unsec’d. Notes

    Ba1    5.375    06/01/13    3,225    3,254,080

Sr. Unsec’d. Notes

    Ba1    6.125    06/01/18    2,500    2,695,745

Sr. Unsec’d. Notes

    Ba1    9.500    02/15/15    4,500    5,079,375

ArcelorMittal USA LLC, Gtd. Notes(b)

    Ba1    6.500    04/15/14    2,000    2,096,360

Arch Coal, Inc., Gtd. Notes, 144A(b)

    B3    9.875    06/15/19    675    666,562

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

    B1    12.500    07/08/15    5,000    5,412,500

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

    B1    8.000    04/01/17    4,200    4,567,500

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

    B1    6.375    02/01/16    2,000    2,085,000

Gtd. Notes, 144A(b)

    B1    7.000    11/01/15    3,300    3,456,750

Optima Specialty Steel, Inc.,
Sr. Sec’d. Notes, 144A(b)

    B2    12.500    12/15/16    875    945,000

Peabody Energy Corp., Gtd. Notes

    Ba1    6.000    11/15/18    7,099    7,542,688

Steel Dynamics, Inc., Gtd. Notes, 144A

    Ba2    6.125    08/15/19    1,725    1,845,750
              

 

               43,393,110
              

 

Non-Captive Finance — 1.4%

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

    Ba3    4.250    08/15/17    8,750    9,056,250
              

 

Packaging — 3.0%

Ardagh Packaging Finance PLC (Ireland),
Sr. Sec’d. Notes, 144A
(original cost $3,217,500;
purchased 05/14/12 - 05/18/12)(d)(e)

    Ba3    7.375    10/15/17    3,000    3,270,000

BWAY Holding Co., Gtd. Notes
(original cost $1,107,500;
purchased 07/20/12)(d)(e)

    B3    10.000    06/15/18    1,000    1,122,500

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

    Ba3    7.375    05/15/16    5,965    6,859,750

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

    Caa2    9.875    08/15/19    3,000    3,285,000

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

    B1    8.125    09/15/19    4,000    4,490,000
              

 

               19,027,250
              

 

Paper — 0.5%

Longview Fibre Paper & Packaging, Inc.,
Sr. Sec’d. Notes, 144A
(original cost $2,907,000;
purchased 05/01/12)(b)(d)(e)

    B2    8.000    06/01/16    2,850    2,992,500
              

 

Pipelines & Other — 1.6%

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

    B2    9.125    10/01/17    5,000    5,375,000

Rockies Express Pipeline LLC,
Sr. Unsec’d. Notes, 144A

    Ba2    6.000    01/15/19    1,650    1,617,000

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

    Ba3    7.500    10/01/18    3,050    3,294,000
              

 

               10,286,000
              

 

Real Estate Investment Trusts — 0.6%

DuPont Fabros Technology LP, Gtd. Notes

    Ba1    8.500    12/15/17    3,495    3,796,444
              

 

Retailers — 1.8%

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

    B2    9.000    03/15/19    700    777,000

Dollar General Corp., Gtd. Notes

    Ba2    4.125    07/15/17    675    713,812

Petco Holdings, Inc., Sr. Notes, PIK, 144A

    Caa1    8.500    10/15/17    2,900    2,987,000

QVC, Inc., Sr. Sec’d. Notes, 144A

    Ba2    7.500    10/01/19    750    827,769

Toys “R” Us—Delaware, Inc.,
Sr. Sec’d. Notes, 144A(b)

    B1    7.375    09/01/16    4,500    4,567,500

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

    Ba1    8.500    12/01/17    1,500    1,578,750
              

 

               11,451,831
              

 

Technology — 13.9%

Anixter, Inc.,
Gtd. Notes

    Ba3    5.950    03/01/15    1,000    1,057,500

Gtd. Notes

    Ba3    10.000    03/15/14    1,400    1,508,500

Audatex North America, Inc.,
Gtd. Notes, 144A(b)

    Ba2    6.750    06/15/18    7,750    8,273,125

Avaya, Inc., Gtd. Notes

    Caa2    9.750    11/01/15    3,000    2,951,250

CDW LLC/CDW Finance Corp.,
Gtd. Notes

    Caa1    12.535    10/12/17    9,674    10,387,457

Sr. Sec’d. Notes

    B1    8.000    12/15/18    2,500    2,768,750

Ceridian Corp.,
Gtd. Notes

    Caa2    11.250    11/15/15    2,000    2,050,000

Gtd. Notes, PIK

    Caa2    12.250    11/15/15    1,000    1,022,500

CommScope, Inc., Gtd. Notes, 144A
(original cost $6,005,685;
purchased 01/07/13 - 02/06/13)(b)(d)(e)

    B3    8.250    01/15/19    5,473    5,938,205

Equinix, Inc., Sr. Unsec’d. Notes

    Ba3    4.875    04/01/20    1,325    1,325,000

First Data Corp.,
Gtd. Notes

    Caa1    9.875    09/24/15    600    617,250

Gtd. Notes, 144A

    Caa1    9.875    09/24/15    3,000    3,086,250

Gtd. Notes

    Caa1    10.550    09/24/15    2,300    2,360,674

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

    Caa1    8.250    12/15/17    1,950    1,989,000

Interactive Data Corp., Gtd. Notes(b)

    B3    10.250    08/01/18    10,950    12,414,562

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

    Ba1    7.750    07/15/16    2,000    2,305,000

Sr. Unsec’d. Notes

    Ba1    8.250    03/15/18    360    432,900

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

    B1    9.750    08/01/18    641    732,343

Seagate HDD Cayman (Cayman Islands),
Gtd. Notes

    Ba1    7.750    12/15/18    1,500    1,636,875

Seagate Technology HDD Holdings (Cayman Islands), Gtd. Notes

    Ba1    6.800    10/01/16    3,170    3,566,250

STATS ChipPAC Ltd. (Singapore),
Gtd. Notes, 144A

    Ba1    7.500    08/12/15    6,625    6,956,250

SunGard Data Systems, Inc., Gtd. Notes, 144A

    Caa1    6.625    11/01/19    825    847,688

TransUnion Holding Co., Inc., Sr. Unsec’d. Notes, PIK, 144A

    Caa1    8.125    06/15/18    950    995,125

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

    B2    11.375    06/15/18    9,500    10,948,750

Unisys Corp., Sr. Unsec’d. Notes(b)

    B1    6.250    08/15/17    2,500    2,693,750
              

 

               88,864,954
              

 

Telecommunications — 5.7%

               

Brightstar Corp., Gtd. Notes, 144A
(original cost $3,909,750;
purchased 04/27/12 - 12/10/12)(b)(d)(e)

    B1    9.500    12/01/16    3,700    3,959,000

Cricket Communications, Inc., Sr. Sec’d. Notes(b)

    Ba2    7.750    05/15/16    8,643    9,085,522

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

    Caa1    10.500    04/15/18    4,000    4,400,000

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

    B1    8.250    09/01/17    3,000    3,165,000

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

    Ba2    8.250    04/15/17    2,000    2,285,000

Sprint Nextel Corp.,
Sr. Unsec’d. Notes(b)

    B3    6.000    12/01/16    2,300    2,484,000

Sr. Unsec’d. Notes(b)

    B3    8.375    08/15/17    5,550    6,438,000

Sr. Unsec’d. Notes(b)

    B3    9.125    03/01/17    1,300    1,535,625

Windstream Corp., Gtd. Notes(b)

    Ba3    7.875    11/01/17    3,000    3,397,500
              

 

               36,749,647
              

 

TOTAL CORPORATE BONDS
(cost $753,620,276)

                763,886,013
              

 

TOTAL LONG-TERM INVESTMENTS
(cost $815,124,679)

                826,764,806
              

 

SHORT-TERM INVESTMENT — 4.3%

               
                   

Shares

     

AFFILIATED MONEY MARKET MUTUAL FUND

               

Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $27,731,556)(f)

    27,731,556    27,731,556
              

 

TOTAL INVESTMENTS — 133.5%
(cost $842,856,235)(g)

    854,496,362

LIABILITIES IN EXCESS OF OTHER ASSETS — (33.5)%

    (214,299,159)
              

 

NET ASSETS — 100.0%

    $640,197,203
              

 

 

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
NR    Not Rated
PIK    Payment-in-Kind

 

† The ratings reflected are as of February 28, 2013. Ratings of certain bonds may have changed subsequent to that date. The Fund’s current Statement of Additional Information contains a description of Moody’s and Standard & Poor’s ratings.
# 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, 2013.
(b) Represents security, or a portion thereof, segregated as collateral for loan outstanding. There was a loan balance of $229,000,000 outstanding at February 28, 2013, which was used to provide the Fund with portfolio leverage and meet its general cash flow requirements.
(c) Standard & Poor’s Rating.
(d) Indicates a security that has been deemed illiquid.
(e) Indicates a restricted security; the aggregate original cost of such securities is $45,899,185. The aggregate value of $45,705,693 is approximately 7.1% of net assets.
(f) Prudential Investments LLC, the manager of the Fund, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.
(g) The United States federal income tax basis of the Fund’s investments and the net unrealized appreciation as of February 28, 2013 were as follows:

 

Tax Basis     Appreciation     Depreciation     Net  Unrealized
Appreciation		  
$ 850,311,719      $ 10,167,697      $ (5,983,054 )    $ 4,184,643   

The difference between book basis and tax basis is primarily attributable to deferred losses on wash sales and differences in the treatment of premium amortization as of the most recent fiscal year end.

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, 2013 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

         

Bank Loans

    $ —         $ 55,755,150       $ 7,123,643   

Corporate Bonds

      —           760,604,337         3,281,676   

Affiliated Money Market Mutual Fund

      27,731,556         —           —     
  

 

 

     

 

 

     

 

 

  

Total

    $ 27,731,556       $ 816,359,487       $ 10,405,319   
  

 

 

     

 

 

     

 

 

  

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Bank Loans     Corporate
Bonds		  

Balance as of 05/31/12

    $ —        $ —     

Realized gain (loss)

      —          —     

Change in unrealized appreciation (depreciation)*

      46,961        235,624   

Purchases

      7,257,500        969,750   

Sales

      (180,818 )      (205,779 ) 

Accrued discount/premium

      —          —     

Transfers into Level 3

      —          2,282,081   

Transfers out of Level 3

      —          —     
  

 

 

    

 

 

  

Balance as of 02/28/13

    $ 7,123,643      $ 3,281,676   
  

 

 

    

 

 

  

 

* Of which, $282,585 was included in Net Assets relating to securities held at the reporting period end.

It is the Fund’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, there were 2 Corporate Bonds transferred into Level 3 as a result of using single broker quotes.

Included in the table above, under Level 3, are securities that were fair valued using pricing methodologies approved by the Valuation Committee, which contain unobservable inputs. Such methodologies include, but not limited to, using prices provided by a single broker/dealer, the cost of the investment, and prices of any recent transactions or bids/offers for such securities or any comparable securities.

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.

For common stocks traded on foreign securities exchanges, certain valuation adjustments will be applied when events occur after the close of the security’s foreign market and before the Fund’s normal pricing time. These securities 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 of the fair value hierarchy as the adjustment factors are considered as significant other observable inputs 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.

Short-term debt securities of sufficient credit quality, which mature in sixty days or less, are valued using amortized cost method, which approximates fair value. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between the principal amount due at maturity and cost. These securities are categorized 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 Valuation Committee. 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 April 22, 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 April 22, 2013      
By (Signature and Title)*      

/s/ Grace C. Torres

      Grace C. Torres
      Treasurer and Principal Financial Officer
Date April 22, 2013      

 

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