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: | 655 Broad Street, 17th Floor, | |
| Newark, New Jersey 07102 | ||
| Name and address of agent for service: | Deborah A. Docs | |
| 655 Broad Street, 17th Floor, | ||
| Newark, New Jersey 07102 | ||
| Registrant’s telephone number, including area code: | 973-367-7521 | |
| Date of fiscal year end: | 5/31/2018 | |
| Date of reporting period: | 2/28/2018 | |
Item 1. Schedule of Investments
Prudential Short Duration High Yield Fund, Inc.
Schedule of Investments
as of February 28, 2018 (unaudited)
| Interest Rate |
Maturity Date | Principal Amount (000)# |
Value | |||||||||||||
| LONG-TERM INVESTMENTS — 128.5% |
||||||||||||||||
| BANK LOANS — 7.7% |
||||||||||||||||
| Aerospace & Defense — 0.2% |
||||||||||||||||
| StandardAero Aviation Holdings, Inc., Initial Term Loan, 1 Month LIBOR + 3.750% |
5.400 | %(c) | 07/07/22 | 898 | $ | 904,717 | ||||||||||
|
|
|
|||||||||||||||
| Commercial Services — 0.6% |
||||||||||||||||
| Laureate Education, Inc., Series 2024 Term Loan, 1 Month LIBOR + 3.500% |
5.150 | %(c) | 04/26/24 | 3,051 | 3,066,609 | |||||||||||
|
|
|
|||||||||||||||
| Foods — 0.6% |
||||||||||||||||
| CEC Entertainment, Inc., First Lien Term B Loan, 1 Month LIBOR + 3.250% |
4.900 | %(c) | 02/15/21 | 3,213 | 3,103,944 | |||||||||||
|
|
|
|||||||||||||||
| Non-Captive Finance — 0.4% |
||||||||||||||||
| Exela Intermediate LLC, First Lien Term B Loan, 1 Month LIBOR + 7.500% |
9.080 | %(c) | 06/30/23 | 1,988 | 1,941,539 | |||||||||||
|
|
|
|||||||||||||||
| Packaging & Containers — 0.2% |
||||||||||||||||
| Coveris Holdings SA (Luxembourg), USD Term B-1 Loan, 3 Month LIBOR + 4.250% |
5.940 | %(c) | 06/29/22 | 1,378 | 1,380,185 | |||||||||||
|
|
|
|||||||||||||||
| Retail — 0.8% |
||||||||||||||||
| Academy Ltd., Initial Term Loan, 1 Month LIBOR + 4.000% |
5.535 | %(c) | 07/01/22 | 2,606 | 2,075,963 | |||||||||||
| Sally Holdings LLC, Term B-2 Loan^ |
4.500 | % | 07/05/24 | 2,475 | 2,462,625 | |||||||||||
|
|
|
|||||||||||||||
| 4,538,588 | ||||||||||||||||
|
|
|
|||||||||||||||
| Software — 1.1% |
||||||||||||||||
| BMC Software Finance, Inc., Initial B-2 US Term Loan, 1 Month LIBOR + 3.250% |
4.900 | %(c) | 09/12/22 | 3,550 | 3,559,214 | |||||||||||
| Symantec Corp., Term A-5 Loan, 2 Month LIBOR + 1.750% |
3.390 | %(c) | 08/01/21 | 2,564 | 2,564,102 | |||||||||||
|
|
|
|||||||||||||||
| 6,123,316 | ||||||||||||||||
|
|
|
|||||||||||||||
| Technology — 1.6% |
||||||||||||||||
| Informatica LLC, Dollar Term B-1 Loan, 3 Month LIBOR + 3.250% |
4.940 | %(c) | 08/05/22 | 1,485 | 1,491,438 | |||||||||||
| McAfee LLC, Closing Date USD Term Loan, |
6.150 | %(c) | 09/30/24 | 5,638 | 5,665,394 | |||||||||||
| McAfee LLC, Second Lien Initial Loan, 1 Month LIBOR + 8.500% |
10.150 | %(c) | 09/29/25 | 1,850 | 1,850,000 | |||||||||||
|
|
|
|||||||||||||||
| 9,006,832 | ||||||||||||||||
|
|
|
|||||||||||||||
| Telecommunications — 1.5% |
||||||||||||||||
| Frontier Communications Corp., Term B-1 Loan, 1 Month LIBOR + 3.750% |
5.400 | %(c) | 06/15/24 | 1,131 | 1,109,313 | |||||||||||
| Intelsat Jackson Holdings SA (Luxembourg), Tranche B-5 Term Loan |
6.630 | % | 01/02/24 | 3,025 | 3,030,043 | |||||||||||
| West Corp., First Lien Term B Loan, 1 Month LIBOR + 4.000% |
5.650 | %(c) | 10/10/24 | 4,100 | 4,133,595 | |||||||||||
|
|
|
|||||||||||||||
| 8,272,951 | ||||||||||||||||
|
|
|
|||||||||||||||
| Wireless — 0.7% |
||||||||||||||||
| Digicel International Finance Ltd., First Lien Initial Term B Loan, 3 Month LIBOR + 3.250% |
5.020 | %(c) | 05/27/24 | 2,394 | 2,397,991 | |||||||||||
| Xplornet Communications, Inc. (Canada), Term B Loan, 3 Month LIBOR + 4.750% |
6.440 | %(c) | 09/09/21 | 1,520 | 1,533,805 | |||||||||||
|
|
|
|||||||||||||||
| 3,931,796 | ||||||||||||||||
|
|
|
|||||||||||||||
| TOTAL BANK LOANS |
42,270,477 | |||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS — 120.8% |
| |||||||||||||||
| Advertising — 0.8% |
| |||||||||||||||
| Lamar Media Corp., Gtd. Notes |
5.875 | % | 02/01/22 | 1,423 | 1,452,741 | |||||||||||
| Outfront Media Capital LLC/Outfront Media Capital Corp., Gtd. Notes(aa) |
5.625 | % | 02/15/24 | 2,650 | 2,679,812 | |||||||||||
|
|
|
|||||||||||||||
| 4,132,553 | ||||||||||||||||
|
|
|
|||||||||||||||
| Aerospace & Defense — 0.7% |
| |||||||||||||||
| StandardAero Aviation Holdings, Inc., Gtd. Notes, 144A |
10.000 | % | 07/15/23 | 800 | 868,000 | |||||||||||
| TransDigm, Inc., Gtd. Notes |
6.000 | % | 07/15/22 | 3,150 | 3,224,812 | |||||||||||
|
|
|
|||||||||||||||
| 4,092,812 | ||||||||||||||||
|
|
|
|||||||||||||||
| Auto Manufacturers — 0.3% |
| |||||||||||||||
| Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A |
4.250 | % | 11/15/19 | 1,600 | 1,608,000 | |||||||||||
|
|
|
|||||||||||||||
| Auto Parts & Equipment — 0.9% |
| |||||||||||||||
| American Axle & Manufacturing, Inc., Gtd. Notes(aa) |
7.750 | % | 11/15/19 | 2,500 | 2,656,250 | |||||||||||
| IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, Cash coupon 4.125% or PIK 4.875%, 144A |
4.125 | % | 09/15/21 | 2,200 | 2,194,500 | |||||||||||
|
|
|
|||||||||||||||
| 4,850,750 | ||||||||||||||||
|
|
|
|||||||||||||||
| Banks — 0.8% |
| |||||||||||||||
| CIT Group, Inc., Sr. Unsec’d. Notes(aa) |
5.000 | % | 08/15/22 | 4,175 | 4,305,469 | |||||||||||
|
|
|
|||||||||||||||
| Building Materials — 0.7% |
| |||||||||||||||
| Griffon Corp., Gtd. Notes |
5.250 | % | 03/01/22 | 1,708 | 1,712,270 | |||||||||||
| Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes |
6.125 | % | 07/15/23 | 170 | 175,100 | |||||||||||
| Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes |
8.500 | % | 04/15/22 | 1,750 | 1,912,688 | |||||||||||
|
|
|
|||||||||||||||
| 3,800,058 | ||||||||||||||||
|
|
|
|||||||||||||||
| Chemicals — 5.7% |
| |||||||||||||||
| A. Schulman, Inc., Gtd. Notes |
6.875 | % | 06/01/23 | 2,250 | 2,385,000 | |||||||||||
| Ashland LLC, Gtd. Notes |
4.750 | % | 08/15/22 | 1,460 | 1,492,850 | |||||||||||
| Chemours Co. (The), Gtd. Notes(aa) |
6.625 | % | 05/15/23 | 7,805 | 8,205,006 | |||||||||||
| Chemours Co. (The), Gtd. Notes |
7.000 | % | 05/15/25 | 1,035 | 1,115,213 | |||||||||||
| Hexion, Inc., Sr. Sec’d. Notes, 144A(aa) |
10.375 | % | 02/01/22 | 735 | 716,625 | |||||||||||
| Kraton Polymers LLC/Kraton Polymers Capital Corp., Gtd. Notes, 144A |
10.500 | % | 04/15/23 | 1,975 | 2,207,063 | |||||||||||
| NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes, 144A(aa) |
4.875 | % | 06/01/24 | 3,110 | 3,071,125 | |||||||||||
| Platform Specialty Products Corp., Sr. Unsec’d. Notes, 144A |
6.500 | % | 02/01/22 | 1,145 | 1,175,056 | |||||||||||
| PQ Corp., Sr. Sec’d. Notes, 144A(aa) |
6.750 | % | 11/15/22 | 3,800 | 4,009,000 | |||||||||||
| Tronox Finance LLC, Gtd. Notes, 144A(aa) |
7.500 | % | 03/15/22 | 5,645 | 5,856,687 | |||||||||||
| W.R. Grace & Co., Gtd. Notes, 144A(aa) |
5.125 | % | 10/01/21 | 765 | 791,775 | |||||||||||
|
|
|
|||||||||||||||
| 31,025,400 | ||||||||||||||||
|
|
|
|||||||||||||||
| Commercial Services — 1.6% |
| |||||||||||||||
| Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Gtd. Notes, 144A(aa) |
6.375 | % | 08/01/23 | 4,450 | 4,472,250 | |||||||||||
| Nielsen Co. Luxembourg SARL (The), Gtd. Notes, 144A |
5.500 | % | 10/01/21 | 2,215 | 2,264,837 | |||||||||||
| Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes |
4.500 | % | 10/01/20 | 325 | 326,219 | |||||||||||
| Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes, 144A |
5.000 | % | 04/15/22 | 1,500 | 1,516,875 | |||||||||||
|
|
|
|||||||||||||||
| 8,580,181 | ||||||||||||||||
|
|
|
|||||||||||||||
| Computers — 4.1% |
| |||||||||||||||
| Dell International LLC/EMC Corp., Gtd. Notes, 144A(aa) |
5.875 | % | 06/15/21 | 6,550 | 6,697,375 | |||||||||||
| Dell International LLC/EMC Corp., Gtd. Notes, 144A(aa) |
7.125 | % | 06/15/24 | 4,000 | 4,305,000 | |||||||||||
| NCR Corp., Gtd. Notes |
4.625 | % | 02/15/21 | 1,075 | 1,066,938 | |||||||||||
| NCR Corp., Gtd. Notes |
5.000 | % | 07/15/22 | 1,882 | 1,886,705 | |||||||||||
| NCR Corp., Gtd. Notes(aa) |
5.875 | % | 12/15/21 | 2,685 | 2,731,987 | |||||||||||
| NCR Corp., Gtd. Notes |
6.375 | % | 12/15/23 | 2,350 | 2,444,000 | |||||||||||
| Western Digital Corp., Sr. Sec’d. Notes, 144A |
7.375 | % | 04/01/23 | 2,850 | 3,097,950 | |||||||||||
|
|
|
|||||||||||||||
| 22,229,955 | ||||||||||||||||
|
|
|
|||||||||||||||
| Distribution/Wholesale — 0.3% |
| |||||||||||||||
| Global Partners LP/GLP Finance Corp., Gtd. Notes |
6.250 | % | 07/15/22 | 550 | 551,375 | |||||||||||
| Global Partners LP/GLP Finance Corp., Gtd. Notes |
7.000 | % | 06/15/23 | 1,350 | 1,375,313 | |||||||||||
|
|
|
|||||||||||||||
| 1,926,688 | ||||||||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services — 2.3% |
| |||||||||||||||
| Alliance Data Systems Corp., Gtd. Notes, 144A |
5.375 | % | 08/01/22 | 2,545 | 2,554,544 | |||||||||||
| Alliance Data Systems Corp., Gtd. Notes, 144A |
6.375 | % | 04/01/20 | 2,500 | 2,505,750 | |||||||||||
| FBM Finance, Inc., Sr. Sec’d. Notes, 144A |
8.250 | % | 08/15/21 | 850 | 896,750 | |||||||||||
| Navient Corp., Sr. Unsec’d. Notes(aa) |
6.500 | % | 06/15/22 | 4,965 | 5,176,012 | |||||||||||
| Navient Corp., Sr. Unsec’d. Notes |
6.625 | % | 07/26/21 | 525 | 548,625 | |||||||||||
| Navient Corp., Sr. Unsec’d. Notes, MTN |
8.000 | % | 03/25/20 | 425 | 455,281 | |||||||||||
| VFH Parent LLC/Orchestra Co-Issuer, Inc., Sec’d. Notes, 144A |
6.750 | % | 06/15/22 | 325 | 340,633 | |||||||||||
|
|
|
|||||||||||||||
| 12,477,595 | ||||||||||||||||
|
|
|
|||||||||||||||
| Electric — 7.0% |
| |||||||||||||||
| AES Corp., Sr. Unsec’d. Notes |
7.375 | % | 07/01/21 | 1,250 | 1,375,000 | |||||||||||
| Calpine Corp., Sr. Sec’d. Notes, 144A |
5.875 | % | 01/15/24 | 550 | 561,688 | |||||||||||
| Calpine Corp., Sr. Unsec’d. Notes(aa) |
5.375 | % | 01/15/23 | 2,805 | 2,734,875 | |||||||||||
| Calpine Corp., Sr. Unsec’d. Notes |
5.500 | % | 02/01/24 | 2,325 | 2,176,781 | |||||||||||
| DPL, Inc., Sr. Unsec’d. Notes(aa) |
6.750 | % | 10/01/19 | 3,160 | 3,318,000 | |||||||||||
| DPL, Inc., Sr. Unsec’d. Notes(aa) |
7.250 | % | 10/15/21 | 2,325 | 2,534,250 | |||||||||||
| Dynegy, Inc., Gtd. Notes(aa) |
7.375 | % | 11/01/22 | 8,925 | 9,404,719 | |||||||||||
| Dynegy, Inc., Gtd. Notes |
7.625 | % | 11/01/24 | 1,350 | 1,451,250 | |||||||||||
| Dynegy, Inc., Gtd. Notes |
8.034 | % | 02/02/24 | 775 | 809,875 | |||||||||||
| Dynegy, Inc., Gtd. Notes, 144A |
8.000 | % | 01/15/25 | 1,500 | 1,629,375 | |||||||||||
| GenOn Energy, Inc., Sr. Unsec’d. Notes(d)(dd) |
7.875 | % | 06/15/17 | 750 | 639,375 | |||||||||||
| GenOn Energy, Inc., Sr. Unsec’d. Notes (original cost $2,644,511; purchased 05/18/15-09/09/15)(d)(dd)(f) |
9.500 | % | 10/15/18 | 2,625 | 2,185,312 | |||||||||||
| GenOn Energy, Inc., Sr. Unsec’d. Notes (original cost $941,438; purchased 12/08/15-02/03/16)(d)(dd)(f) |
9.875 | % | 10/15/20 | 1,400 | 1,165,500 | |||||||||||
| NRG Energy, Inc., Gtd. Notes(aa) |
6.250 | % | 07/15/22 | 3,325 | 3,433,062 | |||||||||||
| NRG Energy, Inc., Gtd. Notes(aa) |
6.250 | % | 05/01/24 | 3,625 | 3,751,875 | |||||||||||
| NRG REMA LLC, Series C, Pass-Through Certificates(aa) |
9.681 | % | 07/02/26 | 1,100 | 666,188 | |||||||||||
| Red Oak Power LLC, Series B, Sr. Sec’d. Notes |
9.200 | % | 11/30/29 | 375 | 425,625 | |||||||||||
|
|
|
|||||||||||||||
| 38,262,750 | ||||||||||||||||
|
|
|
|||||||||||||||
| Electronics — 0.1% |
| |||||||||||||||
| Jabil, Inc., Sr. Unsec’d. Notes |
5.625 | % | 12/15/20 | 690 | 726,225 | |||||||||||
|
|
|
|||||||||||||||
| Entertainment — 5.5% |
| |||||||||||||||
| AMC Entertainment Holdings, Inc., Gtd. Notes(aa) |
5.875 | % | 02/15/22 | 1,250 | 1,260,937 | |||||||||||
| Carmike Cinemas, Inc, Sec’d. Notes, 144A(aa) |
6.000 | % | 06/15/23 | 2,250 | 2,345,625 | |||||||||||
| CCM Merger, Inc., Sr. Unsec’d. Notes, 144A(aa) |
6.000 | % | 03/15/22 | 4,000 | 4,042,320 | |||||||||||
| Eldorado Resorts, Inc., Gtd. Notes(aa) |
7.000 | % | 08/01/23 | 2,200 | 2,326,500 | |||||||||||
| GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(aa) |
4.375 | % | 11/01/18 | 3,175 | 3,175,000 | |||||||||||
| GLP Capital LP/GLP Financing II, Inc., Gtd. Notes |
5.375 | % | 11/01/23 | 1,500 | 1,563,750 | |||||||||||
| International Game Technology PLC, Sr. Sec’d. Notes, 144A(aa) |
6.250 | % | 02/15/22 | 3,150 | 3,327,187 | |||||||||||
| Jacobs Entertainment, Inc., Sec’d. Notes, 144A |
7.875 | % | 02/01/24 | 600 | 641,250 | |||||||||||
| NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A(aa) |
5.000 | % | 08/01/18 | 4,550 | 4,550,000 | |||||||||||
| National CineMedia LLC, Sr. Sec’d. Notes(aa) |
6.000 | % | 04/15/22 | 2,630 | 2,653,012 | |||||||||||
| Regal Entertainment Group, Sr. Unsec’d. Notes |
5.750 | % | 03/15/22 | 425 | 436,688 | |||||||||||
| Scientific Games International, Inc., Gtd. Notes(aa) |
6.625 | % | 05/15/21 | 1,975 | 2,038,990 | |||||||||||
| Scientific Games International, Inc., Gtd. Notes |
10.000 | % | 12/01/22 | 500 | 542,500 | |||||||||||
| Scientific Games International, Inc., Sr. Sec’d. Notes, 144A(aa) |
7.000 | % | 01/01/22 | 975 | 1,026,188 | |||||||||||
|
|
|
|||||||||||||||
| 29,929,947 | ||||||||||||||||
|
|
|
|||||||||||||||
| Environmental Control — 0.5% |
| |||||||||||||||
| Clean Harbors, Inc., Gtd. Notes(aa) |
5.125 | % | 06/01/21 | 2,600 | 2,616,250 | |||||||||||
|
|
|
|||||||||||||||
| Foods — 2.7% |
| |||||||||||||||
| Hearthside Group Holdings LLC/Hearthside Finance Co., Gtd. Notes, 144A(aa) |
6.500 | % | 05/01/22 | 925 | 931,938 | |||||||||||
| JBS Investments GmbH (Brazil), Gtd. Notes, 144A |
7.750 | % | 10/28/20 | 1,500 | 1,533,750 | |||||||||||
| JBS USA LUX SA/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A |
7.250 | % | 06/01/21 | 1,050 | 1,063,125 | |||||||||||
| JBS USA LUX SA/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A(aa) |
7.250 | % | 06/01/21 | 6,325 | 6,404,062 | |||||||||||
| JBS USA LUX SA/JBS USA Finance, Inc. (Brazil), Gtd. Notes, 144A |
8.250 | % | 02/01/20 | 275 | 275,055 | |||||||||||
| Shearer’s Foods LLC/Chip Finance Corp., Sr. Sec’d. Notes, |
9.000 | % | 11/01/19 | 3,325 | 3,379,031 | |||||||||||
| SUPERVALU, Inc., Sr. Unsec’d. Notes |
6.750 | % | 06/01/21 | 1,000 | 987,500 | |||||||||||
|
|
|
|||||||||||||||
| 14,574,461 | ||||||||||||||||
|
|
|
|||||||||||||||
| Forest Products & Paper — 0.5% |
| |||||||||||||||
| Cascades, Inc. (Canada), Gtd. Notes, 144A |
5.500 | % | 07/15/22 | 1,982 | 2,006,775 | |||||||||||
| Mercer International, Inc. (Canada), Sr. Unsec’d. Notes |
7.750 | % | 12/01/22 | 590 | 623,925 | |||||||||||
|
|
|
|||||||||||||||
| 2,630,700 | ||||||||||||||||
|
|
|
|||||||||||||||
| Gas — 0.3% |
| |||||||||||||||
| AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes |
5.625 | % | 05/20/24 | 375 | 376,875 | |||||||||||
| Rockpoint Gas Storage Canada Ltd. (Canada), Sr. Sec’d. Notes, 144A |
7.000 | % | 03/31/23 | 1,350 | 1,350,000 | |||||||||||
|
|
|
|||||||||||||||
| 1,726,875 | ||||||||||||||||
|
|
|
|||||||||||||||
| Hand/Machine Tools — 0.2% |
| |||||||||||||||
| Apex Tool Group LLC, Gtd. Notes, 144A |
7.000 | % | 02/01/21 | 850 | 865,470 | |||||||||||
|
|
|
|||||||||||||||
| Healthcare-Products — 0.8% |
| |||||||||||||||
| Avantor, Inc., Sr. Sec’d. Notes, 144A |
6.000 | % | 10/01/24 | 375 | 375,000 | |||||||||||
| Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A(aa) |
4.875 | % | 04/15/20 | 2,460 | 2,380,050 | |||||||||||
| Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A |
5.750 | % | 08/01/22 | 1,540 | 1,362,900 | |||||||||||
|
|
|
|||||||||||||||
| 4,117,950 | ||||||||||||||||
|
|
|
|||||||||||||||
| Healthcare-Services — 10.2% |
| |||||||||||||||
| Acadia Healthcare Co., Inc., Gtd. Notes |
5.125 | % | 07/01/22 | 500 | 506,050 | |||||||||||
| Acadia Healthcare Co., Inc., Gtd. Notes |
5.625 | % | 02/15/23 | 2,625 | 2,693,119 | |||||||||||
| Acadia Healthcare Co., Inc., Gtd. Notes |
6.500 | % | 03/01/24 | 600 | 619,500 | |||||||||||
| Centene Corp., Sr. Unsec’d. Notes |
5.625 | % | 02/15/21 | 2,900 | 2,968,875 | |||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes |
6.875 | % | 02/01/22 | 775 | 505,688 | |||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes |
7.125 | % | 07/15/20 | 875 | 739,375 | |||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes(aa) |
8.000 | % | 11/15/19 | 3,950 | 3,715,014 | |||||||||||
| CHS/Community Health Systems, Inc., Sr. Sec’d. Notes |
6.250 | % | 03/31/23 | 1,600 | 1,456,000 | |||||||||||
| HCA Healthcare, Inc., Sr. Unsec’d. Notes(aa) |
6.250 | % | 02/15/21 | 1,750 | 1,841,875 | |||||||||||
| HCA, Inc., Gtd. Notes |
5.875 | % | 05/01/23 | 100 | 105,150 | |||||||||||
| HCA, Inc., Gtd. Notes |
7.500 | % | 02/15/22 | 2,800 | 3,097,500 | |||||||||||
| HCA, Inc., Sr. Sec’d. Notes(aa) |
4.750 | % | 05/01/23 | 4,700 | 4,782,250 | |||||||||||
| Kindred Healthcare, Inc., Gtd. Notes(aa) |
8.000 | % | 01/15/20 | 3,550 | 3,794,062 | |||||||||||
| LifePoint Health, Inc., Gtd. Notes(aa) |
5.500 | % | 12/01/21 | 3,125 | 3,148,438 | |||||||||||
| MEDNAX, Inc., Gtd. Notes, 144A |
5.250 | % | 12/01/23 | 1,743 | 1,784,396 | |||||||||||
| Molina Healthcare, Inc., Gtd. Notes(aa) |
5.375 | % | 11/15/22 | 2,550 | 2,537,250 | |||||||||||
| Select Medical Corp., Gtd. Notes(aa) |
6.375 | % | 06/01/21 | 2,500 | 2,549,750 | |||||||||||
| Surgery Center Holdings, Inc., Gtd. Notes, 144A |
8.875 | % | 04/15/21 | 2,450 | 2,541,875 | |||||||||||
| Tenet Healthcare Corp., Sr. Sec’d. Notes |
4.375 | % | 10/01/21 | 175 | 174,125 | |||||||||||
| Tenet Healthcare Corp., Sr. Sec’d. Notes |
4.750 | % | 06/01/20 | 1,525 | 1,547,875 | |||||||||||
| Tenet Healthcare Corp., Sr. Sec’d. Notes |
6.000 | % | 10/01/20 | 2,098 | 2,181,899 | |||||||||||
| Tenet Healthcare Corp., Sr. Sec’d. Notes, 144A(aa) |
4.625 | % | 07/15/24 | 3,375 | 3,240,000 | |||||||||||
| Tenet Healthcare Corp., Sr. Unsec’d. Notes |
6.750 | % | 02/01/20 | 475 | 492,219 | |||||||||||
| Tenet Healthcare Corp., Sr. Unsec’d. Notes |
6.750 | % | 06/15/23 | 4,775 | 4,775,000 | |||||||||||
| Tenet Healthcare Corp., Sr. Unsec’d. Notes(aa) |
8.125 | % | 04/01/22 | 2,950 | 3,112,250 | |||||||||||
| Universal Health Services, Inc., Sr. Sec’d. Notes, 144A |
4.750 | % | 08/01/22 | 1,000 | 1,012,500 | |||||||||||
|
|
|
|||||||||||||||
| 55,922,035 | ||||||||||||||||
|
|
|
|||||||||||||||
| Home Builders — 9.0% |
| |||||||||||||||
| Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unsec’d. Notes, 144A(aa) |
6.875 | % | 02/15/21 | 3,600 | 3,645,000 | |||||||||||
| AV Homes, Inc., Gtd. Notes |
6.625 | % | 05/15/22 | 2,050 | 2,116,625 | |||||||||||
| Beazer Homes USA, Inc., Gtd. Notes(aa) |
8.750 | % | 03/15/22 | 4,950 | 5,346,000 | |||||||||||
| Brookfield Residential Properties, Inc. (Canada), Gtd. Notes, |
6.500 | % | 12/15/20 | 2,765 | 2,815,323 | |||||||||||
| Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A |
6.125 | % | 07/01/22 | 750 | 774,375 | |||||||||||
| KB Home, Gtd. Notes(aa) |
4.750 | % | 05/15/19 | 3,609 | 3,654,112 | |||||||||||
| KB Home, Gtd. Notes(aa) |
7.250 | % | 06/15/18 | 2,000 | 2,020,000 | |||||||||||
| Lennar Corp., Gtd. Notes(aa) |
4.125 | % | 01/15/22 | 2,600 | 2,574,000 | |||||||||||
| Lennar Corp., Gtd. Notes |
4.500 | % | 11/15/19 | 1,000 | 1,013,750 | |||||||||||
| Lennar Corp., Gtd. Notes, 144A |
6.250 | % | 12/15/21 | 350 | 373,555 | |||||||||||
| Lennar Corp., Gtd. Notes, 144A(aa) |
8.375 | % | 05/15/18 | 4,200 | 4,242,000 | |||||||||||
| M/I Homes, Inc., Gtd. Notes(aa) |
6.750 | % | 01/15/21 | 3,175 | 3,270,250 | |||||||||||
| Mattamy Group Corp. (Canada), Sr. Unsec’d. Notes, 144A |
6.875 | % | 12/15/23 | 1,225 | 1,284,719 | |||||||||||
| New Home Co., Inc. (The), Gtd. Notes |
7.250 | % | 04/01/22 | 1,525 | 1,582,188 | |||||||||||
| PulteGroup, Inc., Gtd. Notes |
4.250 | % | 03/01/21 | 1,850 | 1,882,375 | |||||||||||
| Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., Gtd. Notes, 144A(aa) |
5.250 | % | 04/15/21 | 3,300 | 3,333,000 | |||||||||||
| Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., Gtd. Notes, 144A |
5.625 | % | 03/01/24 | 1,910 | 1,948,200 | |||||||||||
| Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., Gtd. Notes, 144A |
5.875 | % | 04/15/23 | 350 | 364,105 | |||||||||||
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc., Gtd. Notes |
4.375 | % | 06/15/19 | 1,288 | 1,291,220 | |||||||||||
| TRI Pointe Group, Inc., Gtd. Notes(aa) |
4.875 | % | 07/01/21 | 2,400 | 2,412,000 | |||||||||||
| William Lyon Homes, Inc., Gtd. Notes(aa) |
5.750 | % | 04/15/19 | 2,950 | 2,957,375 | |||||||||||
| William Lyon Homes, Inc., Gtd. Notes |
7.000 | % | 08/15/22 | 400 | 410,000 | |||||||||||
|
|
|
|||||||||||||||
| 49,310,172 | ||||||||||||||||
|
|
|
|||||||||||||||
| Internet — 0.9% |
| |||||||||||||||
| TIBCO Software, Inc., Sr. Unsec’d. Notes, 144A |
11.375 | % | 12/01/21 | 4,500 | 4,905,810 | |||||||||||
|
|
|
|||||||||||||||
| Iron/Steel — 1.5% |
| |||||||||||||||
| BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC (Australia), Gtd. Notes, 144A(aa) |
6.500 | % | 05/15/21 | 3,405 | 3,532,688 | |||||||||||
| Cleveland-Cliffs, Inc., Sr. Sec’d. Notes, 144A(aa) |
4.875 | % | 01/15/24 | 2,925 | 2,855,531 | |||||||||||
| Signode Industrial Group LUX SA/Signode Industrial Group US, Inc., Gtd. Notes, 144A |
6.375 | % | 05/01/22 | 1,950 | 2,018,250 | |||||||||||
|
|
|
|||||||||||||||
| 8,406,469 | ||||||||||||||||
|
|
|
|||||||||||||||
| Leisure Time — 0.4% |
| |||||||||||||||
| NCL Corp. Ltd., Sr. Unsec’d. Notes, 144A |
4.750 | % | 12/15/21 | 1,125 | 1,148,906 | |||||||||||
| Silversea Cruise Finance Ltd., Sr. Sec’d. Notes, 144A |
7.250 | % | 02/01/25 | 850 | 907,375 | |||||||||||
|
|
|
|||||||||||||||
| 2,056,281 | ||||||||||||||||
|
|
|
|||||||||||||||
| Lodging — 2.3% |
| |||||||||||||||
| Boyd Gaming Corp., Gtd. Notes |
6.875 | % | 05/15/23 | 300 | 316,500 | |||||||||||
| Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Sec’d. Notes, 144A |
10.250 | % | 11/15/22 | 975 | 1,067,625 | |||||||||||
| Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Sr. Sec’d. Notes, 144A(aa) |
6.750 | % | 11/15/21 | 4,100 | 4,272,077 | |||||||||||
| MGM Resorts International, Gtd. Notes |
6.000 | % | 03/15/23 | 400 | 425,500 | |||||||||||
| MGM Resorts International, Gtd. Notes(aa) |
8.625 | % | 02/01/19 | 6,380 | 6,699,000 | |||||||||||
|
|
|
|||||||||||||||
| 12,780,702 | ||||||||||||||||
|
|
|
|||||||||||||||
| Media — 16.5% |
| |||||||||||||||
| Altice US Finance I Corp., Sr. Sec’d. Notes, 144A |
5.375 | % | 07/15/23 | 250 | 254,063 | |||||||||||
| AMC Networks, Inc., Gtd. Notes(aa) |
4.750 | % | 12/15/22 | 4,403 | 4,436,022 | |||||||||||
| AMC Networks, Inc., Gtd. Notes |
5.000 | % | 04/01/24 | 150 | 150,375 | |||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes |
5.250 | % | 03/15/21 | 150 | 152,063 | |||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes(aa) |
5.250 | % | 09/30/22 | 10,455 | 10,644,497 | |||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A |
4.000 | % | 03/01/23 | 1,690 | 1,645,637 | |||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A |
5.125 | % | 05/01/23 | 1,240 | 1,263,250 | |||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A |
5.875 | % | 04/01/24 | 1,115 | 1,151,684 | |||||||||||
| Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A |
5.125 | % | 12/15/21 | 2,160 | 2,147,191 | |||||||||||
| Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A(aa) |
5.125 | % | 12/15/21 | 4,595 | 4,577,769 | |||||||||||
| Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A(aa) |
6.375 | % | 09/15/20 | 7,586 | 7,671,342 | |||||||||||
| Clear Channel Worldwide Holdings, Inc., Series A, Gtd. Notes(aa) |
6.500 | % | 11/15/22 | 3,090 | 3,168,795 | |||||||||||
| Clear Channel Worldwide Holdings, Inc., Series A, Gtd. Notes |
7.625 | % | 03/15/20 | 465 | 460,350 | |||||||||||
| Clear Channel Worldwide Holdings, Inc., Series B, Gtd. Notes |
6.500 | % | 11/15/22 | 1,385 | 1,419,625 | |||||||||||
| Clear Channel Worldwide Holdings, Inc., Series B, Gtd. Notes |
7.625 | % | 03/15/20 | 1,985 | 1,982,519 | |||||||||||
| DISH DBS Corp., Gtd. Notes(aa) |
5.125 | % | 05/01/20 | 2,875 | 2,871,406 | |||||||||||
| DISH DBS Corp., Gtd. Notes(aa) |
6.750 | % | 06/01/21 | 5,643 | 5,798,182 | |||||||||||
| Mediacom Broadband LLC/Mediacom Broadband Corp., Sr. Unsec’d. Notes |
5.500 | % | 04/15/21 | 1,800 | 1,809,000 | |||||||||||
| Mediacom Broadband LLC/Mediacom Broadband Corp., Sr. Unsec’d. Notes(aa) |
6.375 | % | 04/01/23 | 6,819 | 6,988,793 | |||||||||||
| Midcontinent Communications/Midcontinent Finance Corp., Gtd. Notes, 144A |
6.875 | % | 08/15/23 | 3,300 | 3,485,625 | |||||||||||
| Nexstar Broadcasting, Inc., Gtd. Notes, 144A |
6.125 | % | 02/15/22 | 1,035 | 1,066,050 | |||||||||||
| Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes |
5.750 | % | 01/15/23 | 400 | 415,000 | |||||||||||
| Radiate Holdco LLC/Radiate Finance, Inc., Sr. Unsec’d. Notes, 144A |
6.625 | % | 02/15/25 | 150 | 143,625 | |||||||||||
| Radiate Holdco LLC/Radiate Finance, Inc., Sr. Unsec’d. Notes, 144A |
6.875 | % | 02/15/23 | 875 | 872,813 | |||||||||||
| SFR Group SA (France), Sr. Sec’d. Notes, 144A(aa) |
6.000 | % | 05/15/22 | 3,800 | 3,690,750 | |||||||||||
| Sinclair Television Group, Inc., Gtd. Notes(aa) |
5.375 | % | 04/01/21 | 3,120 | 3,159,000 | |||||||||||
| Sinclair Television Group, Inc., Gtd. Notes |
6.125 | % | 10/01/22 | 2,975 | 3,067,969 | |||||||||||
| Sirius XM Radio, Inc., Gtd. Notes, 144A |
3.875 | % | 08/01/22 | 450 | 441,000 | |||||||||||
| TEGNA, Inc., Gtd. Notes |
5.125 | % | 10/15/19 | 346 | 350,758 | |||||||||||
| TEGNA, Inc., Gtd. Notes |
6.375 | % | 10/15/23 | 2,100 | 2,189,250 | |||||||||||
| TEGNA, Inc., Gtd. Notes, 144A(aa) |
4.875 | % | 09/15/21 | 3,030 | 3,071,662 | |||||||||||
| Tribune Media Co., Gtd. Notes(aa) |
5.875 | % | 07/15/22 | 4,045 | 4,125,900 | |||||||||||
| Univision Communications, Inc., Sr. Sec’d. Notes, 144A |
6.750 | % | 09/15/22 | 4,768 | 4,928,920 | |||||||||||
| Videotron Ltd. (Canada), Gtd. Notes |
5.000 | % | 07/15/22 | 345 | 355,350 | |||||||||||
|
|
|
|||||||||||||||
| 89,956,235 | ||||||||||||||||
|
|
|
|||||||||||||||
| Metal Fabricate/Hardware — 0.9% |
| |||||||||||||||
| Zekelman Industries, Inc., Sr. Sec’d. Notes, 144A |
9.875 | % | 06/15/23 | 4,654 | 5,119,400 | |||||||||||
|
|
|
|||||||||||||||
| Mining — 5.7% |
| |||||||||||||||
| First Quantum Minerals Ltd. (Zambia), Gtd. Notes, 144A(aa) |
7.000 | % | 02/15/21 | 5,490 | 5,661,562 | |||||||||||
| FMG Resources August 2006 Pty Ltd. (Australia), Sr. Sec’d. Notes, 144A |
9.750 | % | 03/01/22 | 9,314 | 10,288,617 | |||||||||||
| Freeport-McMoRan, Inc., Gtd. Notes |
3.550 | % | 03/01/22 | 650 | 632,320 | |||||||||||
| International Wire Group, Inc., Sec’d. Notes, 144A |
10.750 | % | 08/01/21 | 1,500 | 1,391,250 | |||||||||||
| Kinross Gold Corp. (Canada), Gtd. Notes |
5.125 | % | 09/01/21 | 840 | 867,300 | |||||||||||
| New Gold, Inc. (Canada), Gtd. Notes, 144A(aa) |
6.250 | % | 11/15/22 | 5,005 | 5,142,638 | |||||||||||
| Teck Resources Ltd. (Canada), Gtd. Notes(aa) |
4.500 | % | 01/15/21 | 3,124 | 3,164,612 | |||||||||||
| Teck Resources Ltd. (Canada), Gtd. Notes, 144A |
8.500 | % | 06/01/24 | 3,500 | 3,893,750 | |||||||||||
|
|
|
|||||||||||||||
| 31,042,049 | ||||||||||||||||
|
|
|
|||||||||||||||
| Miscellaneous Manufacturing — 2.7% |
| |||||||||||||||
| Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(aa) |
7.500 | % | 12/01/24 | 6,850 | 7,115,438 | |||||||||||
| Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A(aa) |
8.750 | % | 12/01/21 | 6,525 | 7,153,031 | |||||||||||
| EnPro Industries, Inc., Gtd. Notes |
5.875 | % | 09/15/22 | 500 | 518,275 | |||||||||||
|
|
|
|||||||||||||||
| 14,786,744 | ||||||||||||||||
|
|
|
|||||||||||||||
| Oil & Gas — 6.2% |
| |||||||||||||||
| Alta Mesa Holdings LP/Alta Mesa Finance Sevices Corp., Gtd. Notes |
7.875 | % | 12/15/24 | 2,225 | 2,369,625 | |||||||||||
| Antero Resources Corp., Gtd. Notes |
5.125 | % | 12/01/22 | 275 | 277,406 | |||||||||||
| Antero Resources Corp., Gtd. Notes |
5.375 | % | 11/01/21 | 925 | 945,813 | |||||||||||
| Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsec’d. Notes, 144A(aa) |
10.000 | % | 04/01/22 | 4,558 | 4,854,270 | |||||||||||
| Citgo Holding, Inc., Sr. Sec’d. Notes, 144A(aa) |
10.750 | % | 02/15/20 | 3,400 | 3,646,500 | |||||||||||
| CNX Resources Corp., Gtd. Notes(aa) |
5.875 | % | 04/15/22 | 5,008 | 5,036,170 | |||||||||||
| CNX Resources Corp., Gtd. Notes |
8.000 | % | 04/01/23 | 1,289 | 1,364,729 | |||||||||||
| Denbury Resources, Inc., Sec’d. Notes, 144A |
9.000 | % | 05/15/21 | 500 | 511,250 | |||||||||||
| Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A |
5.500 | % | 01/30/26 | 1,925 | 1,910,562 | |||||||||||
| MEG Energy Corp. (Canada), Gtd. Notes, 144A(aa) |
6.375 | % | 01/30/23 | 3,950 | 3,387,125 | |||||||||||
| MEG Energy Corp. (Canada), Gtd. Notes, 144A |
7.000 | % | 03/31/24 | 325 | 277,063 | |||||||||||
| Range Resources Corp., Gtd. Notes |
5.000 | % | 03/15/23 | 1,325 | 1,295,187 | |||||||||||
| Range Resources Corp., Gtd. Notes |
5.875 | % | 07/01/22 | 1,000 | 1,015,000 | |||||||||||
| RSP Permian, Inc., Gtd. Notes |
6.625 | % | 10/01/22 | 1,375 | 1,433,437 | |||||||||||
| Sunoco LP/Sunoco Finance Corp., Gtd. Notes, 144A |
4.875 | % | 01/15/23 | 2,200 | 2,188,780 | |||||||||||
| Teine Energy Ltd. (Canada), Sr. Unsec’d. Notes, 144A |
6.875 | % | 09/30/22 | 1,500 | 1,530,000 | |||||||||||
| WPX Energy, Inc., Sr. Unsec’d. Notes |
6.000 | % | 01/15/22 | 725 | 752,188 | |||||||||||
| WPX Energy, Inc., Sr. Unsec’d. Notes |
7.500 | % | 08/01/20 | 1,021 | 1,092,470 | |||||||||||
|
|
|
|||||||||||||||
| 33,887,575 | ||||||||||||||||
|
|
|
|||||||||||||||
| Packaging & Containers — 3.2% |
| |||||||||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Sr. Sec’d. Notes, 144A |
4.250 | % | 09/15/22 | 2,300 | 2,291,375 | |||||||||||
| Coveris Holdings SA (Luxembourg), Gtd. Notes, 144A(aa) |
7.875 | % | 11/01/19 | 4,375 | 4,340,438 | |||||||||||
| Greif, Inc., Sr. Unsec’d. Notes(aa) |
7.750 | % | 08/01/19 | 6,050 | 6,352,500 | |||||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, Sr. Sec’d. Notes(aa) |
5.750 | % | 10/15/20 | 3,610 | 3,664,075 | |||||||||||
| Sealed Air Corp., Gtd. Notes, 144A(aa) |
6.500 | % | 12/01/20 | 1,045 | 1,112,925 | |||||||||||
|
|
|
|||||||||||||||
| 17,761,313 | ||||||||||||||||
|
|
|
|||||||||||||||
| Pharmaceuticals — 1.0% |
| |||||||||||||||
| Allergan, Inc., Gtd. Notes(aa) |
1.350 | % | 03/15/18 | 2,240 | 2,239,612 | |||||||||||
| Endo Finance LLC, Gtd. Notes, 144A |
5.750 | % | 01/15/22 | 175 | 143,062 | |||||||||||
| Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A |
5.375 | % | 01/15/23 | 1,000 | 747,500 | |||||||||||
| Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A |
5.375 | % | 03/15/20 | 1,592 | 1,588,020 | |||||||||||
| Valeant Pharmaceuticals International, Inc., Sr. Sec’d. Notes, 144A |
6.500 | % | 03/15/22 | 775 | 806,000 | |||||||||||
|
|
|
|||||||||||||||
| 5,524,194 | ||||||||||||||||
|
|
|
|||||||||||||||
| Pipelines — 2.0% |
| |||||||||||||||
| DCP Midstream Operating LP, Gtd. Notes, 144A |
4.750 | % | 09/30/21 | 1,000 | 1,017,500 | |||||||||||
| Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes(aa) |
6.000 | % | 05/15/23 | 3,050 | 3,041,460 | |||||||||||
| NGPL PipeCo LLC, Sr. Unsec’d. Notes, 144A |
4.375 | % | 08/15/22 | 1,200 | 1,197,000 | |||||||||||
| Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A |
5.625 | % | 04/15/20 | 1,600 | 1,662,000 | |||||||||||
| Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A(aa) |
6.000 | % | 01/15/19 | 2,150 | 2,198,375 | |||||||||||
| Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A |
6.850 | % | 07/15/18 | 1,900 | 1,923,750 | |||||||||||
|
|
|
|||||||||||||||
| 11,040,085 | ||||||||||||||||
|
|
|
|||||||||||||||
| Real Estate — 0.7% |
| |||||||||||||||
| Crescent Communities LLC/Crescent Venture, Inc., Sr. Sec’d. Notes, 144A |
8.875 | % | 10/15/21 | 2,037 | 2,149,035 | |||||||||||
| Realogy Group LLC/Realogy Co-Issuer Corp., Gtd. Notes, 144A |
5.250 | % | 12/01/21 | 1,425 | 1,442,813 | |||||||||||
|
|
|
|||||||||||||||
| 3,591,848 | ||||||||||||||||
|
|
|
|||||||||||||||
| Real Estate Investment Trusts (REITs) — 2.0% |
| |||||||||||||||
| CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes |
5.000 | % | 03/15/24 | 700 | 705,250 | |||||||||||
| FelCor Lodging LP, Gtd. Notes |
6.000 | % | 06/01/25 | 2,150 | 2,201,063 | |||||||||||
| RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes |
5.000 | % | 04/15/21 | 1,150 | 1,154,313 | |||||||||||
| RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes(aa) |
5.000 | % | 04/15/23 | 500 | 502,500 | |||||||||||
| Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes(aa) |
5.500 | % | 02/01/21 | 2,625 | 2,684,062 | |||||||||||
| SBA Communications Corp., Sr. Unsec’d. Notes |
4.875 | % | 07/15/22 | 500 | 506,250 | |||||||||||
| SBA Communications Corp., Sr. Unsec’d. Notes, 144A |
4.000 | % | 10/01/22 | 2,400 | 2,352,000 | |||||||||||
| VICI Properties 1 LLC/VICI FC, Inc., Sec’d. Notes |
8.000 | % | 10/15/23 | 748 | 827,856 | |||||||||||
|
|
|
|||||||||||||||
| 10,933,294 | ||||||||||||||||
|
|
|
|||||||||||||||
| Retail — 5.2% |
| |||||||||||||||
| Brinker International, Inc., Gtd. Notes, 144A |
5.000 | % | 10/01/24 | 1,050 | 1,035,563 | |||||||||||
| CEC Entertainment, Inc., Gtd. Notes |
8.000 | % | 02/15/22 | 800 | 776,000 | |||||||||||
| Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A |
6.125 | % | 03/15/20 | 400 | 266,000 | |||||||||||
| Claire’s Stores, Inc., Sr. Sec’d. Notes, 144A |
9.000 | % | 03/15/19 | 600 | 408,000 | |||||||||||
| Ferrellgas LP/Ferrellgas Finance Corp., Gtd. Notes |
6.750 | % | 06/15/23 | 725 | 659,750 | |||||||||||
| Ferrellgas LP/Ferrellgas Finance Corp., Sr. Unsec’d. Notes |
6.750 | % | 01/15/22 | 675 | 631,125 | |||||||||||
| Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes |
8.625 | % | 06/15/20 | 900 | 825,750 | |||||||||||
| Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., Sr. Unsec’d. Notes |
8.625 | % | 06/15/20 | 2,350 | 2,156,125 | |||||||||||
| Golden Nugget, Inc., Sr. Unsec’d. Notes, 144A |
6.750 | % | 10/15/24 | 725 | 743,125 | |||||||||||
| Hot Topic, Inc., Sr. Sec’d. Notes, 144A |
9.250 | % | 06/15/21 | 955 | 945,450 | |||||||||||
| L Brands, Inc., Gtd. Notes |
5.625 | % | 02/15/22 | 1,000 | 1,040,000 | |||||||||||
| L Brands, Inc., Gtd. Notes |
5.625 | % | 10/15/23 | 2,770 | 2,908,500 | |||||||||||
| L Brands, Inc., Gtd. Notes(aa) |
6.625 | % | 04/01/21 | 3,325 | 3,548,407 | |||||||||||
| L Brands, Inc., Gtd. Notes |
7.000 | % | 05/01/20 | 1,175 | 1,257,984 | |||||||||||
| Men’s Wearhouse, Inc. (The), Gtd. Notes |
7.000 | % | 07/01/22 | 525 | 522,375 | |||||||||||
| Neiman Marcus Group Ltd. LLC, Gtd. Notes, 144A |
8.000 | % | 10/15/21 | 575 | 347,875 | |||||||||||
| PetSmart, Inc., Gtd. Notes, 144A(aa) |
7.125 | % | 03/15/23 | 3,375 | 2,151,225 | |||||||||||
| PF Chang’s China Bistro, Inc., Gtd. Notes, 144A |
10.250 | % | 06/30/20 | 1,100 | 957,000 | |||||||||||
| Rite Aid Corp., Gtd. Notes(aa) |
9.250 | % | 03/15/20 | 1,200 | 1,213,500 | |||||||||||
| Rite Aid Corp., Gtd. Notes, 144A(aa) |
6.125 | % | 04/01/23 | 3,350 | 3,366,750 | |||||||||||
| Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes |
5.500 | % | 11/01/23 | 200 | 200,000 | |||||||||||
| Yum! Brands, Inc., Sr. Unsec’d. Notes(aa) |
3.875 | % | 11/01/20 | 2,400 | 2,415,000 | |||||||||||
|
|
|
|||||||||||||||
| 28,375,504 | ||||||||||||||||
|
|
|
|||||||||||||||
| Semiconductors — 0.8% |
| |||||||||||||||
| NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A |
3.875 | % | 09/01/22 | 1,500 | 1,503,300 | |||||||||||
| NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A(aa) |
4.125 | % | 06/15/20 | 2,900 | 2,950,750 | |||||||||||
|
|
|
|||||||||||||||
| 4,454,050 | ||||||||||||||||
|
|
|
|||||||||||||||
| Software — 4.8% |
| |||||||||||||||
| BMC Software Finance, Inc., Sr. Unsec’d. Notes, 144A(aa) |
8.125 | % | 07/15/21 | 2,735 | 2,745,256 | |||||||||||
| First Data Corp., Gtd. Notes, 144A(aa) |
7.000 | % | 12/01/23 | 12,725 | 13,377,156 | |||||||||||
| Infor US, Inc., Gtd. Notes |
6.500 | % | 05/15/22 | 2,000 | 2,045,000 | |||||||||||
| Infor US, Inc., Sr. Sec’d. Notes, 144A(aa) |
5.750 | % | 08/15/20 | 5,340 | 5,446,800 | |||||||||||
| Nuance Communications, Inc., Gtd. Notes, 144A(aa) |
5.375 | % | 08/15/20 | 2,480 | 2,501,700 | |||||||||||
|
|
|
|||||||||||||||
| 26,115,912 | ||||||||||||||||
|
|
|
|||||||||||||||
| Telecommunications — 7.3% |
| |||||||||||||||
| Anixter, Inc., Gtd. Notes(aa) |
5.625 | % | 05/01/19 | 1,500 | 1,531,875 | |||||||||||
| CenturyLink, Inc., Series S, Sr. Unsec’d. Notes(aa) |
6.450 | % | 06/15/21 | 4,825 | 4,933,563 | |||||||||||
| CommScope, Inc., Gtd. Notes, 144A(aa) |
5.000 | % | 06/15/21 | 5,940 | 6,021,675 | |||||||||||
| Frontier Communications Corp., Sr. Unsec’d. Notes |
8.125 | % | 10/01/18 | 1,775 | 1,805,530 | |||||||||||
| Intelsat Jackson Holdings SA (Luxembourg), Sr. Sec’d. Notes, 144A |
9.500 | % | 09/30/22 | 590 | 675,550 | |||||||||||
| Level 3 Financing, Inc., Gtd. Notes |
5.375 | % | 08/15/22 | 250 | 252,500 | |||||||||||
| Level 3 Financing, Inc., Gtd. Notes(aa) |
6.125 | % | 01/15/21 | 6,022 | 6,123,621 | |||||||||||
| Qwest Capital Funding, Inc., Gtd. Notes |
6.500 | % | 11/15/18 | 1,000 | 1,018,750 | |||||||||||
| Sprint Communications, Inc., Gtd. Notes, 144A |
7.000 | % | 03/01/20 | 3,000 | 3,168,750 | |||||||||||
| Sprint Corp., Gtd. Notes(aa) |
7.250 | % | 09/15/21 | 3,225 | 3,370,125 | |||||||||||
| Sprint Corp., Gtd. Notes(aa) |
7.875 | % | 09/15/23 | 4,910 | 5,081,850 | |||||||||||
| T-Mobile USA, Inc., Gtd. Notes |
6.000 | % | 03/01/23 | 875 | 910,000 | |||||||||||
| T-Mobile USA, Inc., Gtd. Notes |
6.625 | % | 04/01/23 | 2,750 | 2,847,350 | |||||||||||
| T-Mobile USA, Inc., Gtd. Notes |
6.836 | % | 04/28/23 | 2,000 | 2,075,000 | |||||||||||
|
|
|
|||||||||||||||
| 39,816,139 | ||||||||||||||||
|
|
|
|||||||||||||||
| Textiles — 0.7% |
||||||||||||||||
| Springs Industries, Inc., Sr. Sec’d. Notes(aa) |
6.250 | % | 06/01/21 | 3,875 | 3,942,812 | |||||||||||
|
|
|
|||||||||||||||
| Transportation — 0.4% |
||||||||||||||||
| XPO Logistics, Inc., Gtd. Notes, 144A |
6.500 | % | 06/15/22 | 1,875 | 1,947,656 | |||||||||||
|
|
|
|||||||||||||||
| Trucking & Leasing — 0.6% |
||||||||||||||||
| DAE Funding LLC (United Arab Emirates), Gtd. Notes, 144A |
4.500 | % | 08/01/22 | 1,475 | 1,430,750 | |||||||||||
| Park Aerospace Holdings Ltd. (Ireland), Gtd. Notes, 144A |
4.500 | % | 03/15/23 | 200 | 193,000 | |||||||||||
| Park Aerospace Holdings Ltd. (Ireland), Gtd. Notes, 144A |
5.250 | % | 08/15/22 | 1,300 | 1,301,625 | |||||||||||
| Park Aerospace Holdings Ltd. (Ireland), Gtd. Notes, 144A |
5.500 | % | 02/15/24 | 100 | 100,500 | |||||||||||
|
|
|
|||||||||||||||
| 3,025,875 | ||||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS |
|
659,182,243 | ||||||||||||||
|
|
|
|||||||||||||||
| Shares | ||||||||||||||||
| COMMON STOCK — 0.0% |
|
|||||||||||||||
| Oil, Gas & Consumable Fuels |
||||||||||||||||
| Frontera Energy Corp. (Colombia)* |
1,033 | 34,223 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
701,486,943 | ||||||||||||||
|
|
|
|||||||||||||||
| SHORT-TERM INVESTMENT — 0.7% |
|
|||||||||||||||
| AFFILIATED MUTUAL FUND |
|
|||||||||||||||
| Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund |
|
3,608,768 | 3,608,768 | |||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS — 129.2% |
705,095,711 | |||||||||||||||
| Liabilities in excess of other assets — (29.2)% |
(159,156,432 | ) | ||||||||||||||
|
|
|
|||||||||||||||
| NET ASSETS — 100.0% |
$ | 545,939,279 | ||||||||||||||
|
|
|
|||||||||||||||
The following abbreviations are used in the quarterly schedule of portfolio holdings:
| 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. | |
| LIBOR | London Interbank Offered Rate | |
| MTN | Medium Term Note | |
| OTC | Over-the-counter | |
| PIK | Payment-in-Kind | |
| # | Principal amount is shown in U.S. dollars unless otherwise stated. | |
| * | Non-income producing security. | |
| ^ | Indicates a Level 3 security. The aggregate value of Level 3 securities is $2,462,625 and 0.5% of net assets. | |
| (aa) | Represents security, or a portion thereof, with aggregate value of $382,807,547 segregated as collateral for amount of $175,000,000 borrowed and outstanding as of February 28, 2018. Of such securities, securities in the amount of $3,507,940 have been loaned for which, the amount borrowed serves as collateral. | |
| (c) | Variable rate instrument. The interest rate shown reflects the rate in effect at February 28, 2018. | |
| (d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. | |
| (dd) | On June 14, 2017, GenOn Energy, Inc. and its subsidiaries filed for bankruptcy under Chapter 11. In connection with the Chapter 11 plan of reorganization (the “GenOn Reorganization Plan”) GenOn Energy, Inc. and its subsidiaries issued a 144A high yield bond offering for the exit financing of the bankruptcy. As part of the GenOn Reorganization Plan and restructuring of the existing bond, PGIM, Inc. had agreed to participate in a backstop commitment of $5,230,000 for the new bond offering. Under the commitment agreement, the Fund would have been obligated to purchase all of the unsubscribed shares of the bond offering. The Fund has received a backstop fee of $261,500 in conjunction with this commitment. As of November 17, 2017, the agreement was terminated and PGIM, Inc. was not obligated to purchase any unsubscribed shares of the bond offering. | |
| (f) | Indicates a restricted security; the aggregate original cost of such securities is $3,585,949. The aggregate value of $3,350,812 is 0.6% of net assets. | |
| (w) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Ultra Short Bond Fund. |
Fair Value Measurements:
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 - unadjusted quoted prices generally in active markets for identical securities.
Level 2 - quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3 - 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, 2018 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
| Investments in Securities |
||||||||||||
| Bank Loans |
$ | — | $ | 39,807,852 | $ | 2,462,625 | ||||||
| Corporate Bonds |
— | 659,182,243 | — | |||||||||
| Common Stock |
34,223 | — | — | |||||||||
| Affiliated Mutual Fund |
3,608,768 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Total |
$ | 3,642,991 | $ | 698,990,095 | $ | 2,462,625 | ||||||
|
|
|
|
|
|
|
|||||||
During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.
Notes to Schedule of Investments (unaudited)
Securities Valuation: The Fund holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) 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 PGIM Investments LLC (“PGIM Investments” or “the Manager”). Under the current valuation procedures, the Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets and liabilities. 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 Schedule of Investments.
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 OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Fund utilizes the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on 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. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 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 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 manager 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 unaffiliated mutual funds to calculate their net asset values.
The Fund may invest without limit in illiquid securities, including those that are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above.
The Fund may invest its overnight sweep cash in the Prudential Core Ultra Short Bond Fund, a series of the Prudential Investment Portfolios 2, registered under the Investment Company Act of 1940, as amended, and managed by PGIM Investments.
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, 2018
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, 2018
| By (Signature and Title)* |
/s/ M. Sadiq Peshimam | |
| M. Sadiq Peshimam | ||
| Treasurer and Principal Financial and Accounting Officer |
Date April 18, 2018
| * | Print the name and title of each signing officer under his or her signature |