N-Q 1 d28888dnq.htm PRUDENTIAL GLOBAL SHORT DURATION HIGH YIELD FUND, INC. Prudential Global 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:

   811-22724

Exact name of registrant as specified in charter:

   Prudential Global 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:

   7/31/2016

Date of reporting period:

   10/31/2015


Item 1. Schedule of Investments


Prudential Global Short Duration High Yield Fund, Inc.

Schedule of Investments

as of October 31, 2015 (Unaudited)

 

      Interest
Rate
   Maturity
Date
     Principal
Amount (000)#
     Value  

LONG-TERM INVESTMENTS — 136.8%

           

BANK LOANS(a) — 4.9%

           

Building Materials & Construction — 0.5%

           

Materis CHRYSO SA (France)

   4.750%      08/13/21       EUR 3,000       $ 3,267,611   
           

 

 

 

Capital Goods — 0.4%

           

Laureate Education, Inc.

   5.000%      06/16/18         2,431         2,087,241   

Neff Rental LLC

   7.250%      06/09/21         1,054         948,420   
           

 

 

 
     3,035,661   
           

 

 

 

Chemicals — 0.1%

           

Axalta Coating Systems (US Holdings), Inc.

   3.750%      02/01/20         897         894,069   
           

 

 

 

Foods — 1.1%

           

Agrokor DD Spv2 (Croatia), PIK

   9.500%      06/04/18       EUR     4,700         5,161,896   

Jacobs Douwe Egberts (Netherlands)

   4.250%      07/02/22       EUR 1,848         2,033,575   
           

 

 

 
     7,195,471   
           

 

 

 

Gaming — 0.9%

           

Gala Group Finance PLC (United Kingdom)

   5.506%      05/25/18       GBP 4,000         6,157,261   
           

 

 

 

Industrial — 0.5%

           

Verisure Holding AB (Sweden)

   3.939%      11/30/22       EUR 3,000         3,294,237   
           

 

 

 

Metals — 0.5%

           

Murray Energy Corp.

   7.500%      04/16/20         4,988         3,258,498   
           

 

 

 

Non-Captive Finance — 0.1%

           

Scout24 AG (Germany)

   4.250%      02/28/21       EUR 909         997,735   
           

 

 

 

Technology — 0.4%

           

BMC Software Finance, Inc.

   5.000%      09/10/20         2,736         2,457,126   
           

 

 

 

Telecommunications — 0.4%

           

Communications Sales & Leasing, Inc.

   5.000%      10/24/22         3,092         2,911,870   
           

 

 

 

TOTAL BANK LOANS
(cost $38,669,062)

                  33,469,539   
           

 

 

 

CORPORATE BONDS — 86.3%

           

Airlines — 1.8%

           

Continental Airlines, Inc., Pass-Through Trust, Series 2012-3, Class C, Pass-Through Certificates(b)

   6.125%      04/29/18         11,780         12,138,112   
           

 

 

 

Auto Parts & Equipment — 0.4%

           

American Axle & Manufacturing, Inc., Gtd. Notes

   7.750%      11/15/19         2,722         3,041,835   
           

 

 

 

Building Materials — 2.7%

           

Unifrax I LLC/Unifrax Holding Co., Gtd. Notes, 144A
(original cost $6,120,000; purchased
07/28/14)(c)(d)

   7.500%      02/15/19         6,000         5,790,000   

US Concrete, Inc., Sr. Sec’d. Notes

   8.500%      12/01/18         8,200         8,507,500   

USG Corp., Sr. Unsec’d. Notes

   9.750%      01/15/18         3,750         4,209,375   
           

 

 

 
     18,506,875   
           

 

 

 

Chemicals — 3.6%

           

Axalta Coating Systems US Holdings Inc./Axalta Coating Systems Dutch Holding B BV, Gtd. Notes, 144A

   7.375%      05/01/21         14,123         14,935,072   

Hexion US Finance Corp., Sr. Sec’d. Notes(b)

   8.875%      02/01/18         1,755         1,342,575   

PolyOne Corp., Sr. Unsec’d. Notes(b)

   7.375%      09/15/20         5,704         5,945,850   

Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., Sec’d. Notes, 144A(b)

   6.500%      04/15/21         1,990         1,990,000   
           

 

 

 
     24,213,497   
           

 

 

 


Commercial Services — 5.6%

           

Hertz Corp. (The), Gtd. Notes

   4.250%      04/01/18         3,125         3,164,062   

Hertz Corp. (The), Gtd. Notes

   6.750%      04/15/19         3,000         3,078,750   

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

   7.500%      10/15/18         3,069         3,138,053   

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

   8.250%      12/15/17         3,750         3,768,750   

Interactive Data Corp., Gtd. Notes, 144A

   5.875%      04/15/19         7,990         8,039,937   

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

   9.250%      09/01/19         3,900         3,100,500   

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

   7.000%      05/15/18         6,950         7,141,125   

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

   7.000%      06/15/17         6,140         6,619,657   
           

 

 

 
     38,050,834   
           

 

 

 

Computers — 0.1%

           

SunGard Data Systems, Inc., Gtd. Notes

   6.625%      11/01/19         740         765,900   
           

 

 

 

Construction & Engineering — 0.6%

           

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

   8.250%      10/15/18         4,725         4,441,500   
           

 

 

 

Containers & Packaging — 3.0%

           

AEP Industries, Inc., Sr. Unsec’d. Notes(b)

   8.250%      04/15/19         6,110         6,293,300   

Beverage Packaging Holdings Luxembourg II SA (New Zealand), Gtd. Notes, 144A(b)

   6.000%      06/15/17         1,875         1,884,375   

Greif, Inc., Sr. Unsec’d. Notes

   6.750%      02/01/17         865         901,745   

Greif, Inc., Sr. Unsec’d. Notes

   7.750%      08/01/19         6,050         6,783,563   

PaperWorks Industries, Inc., Sr. Sec’d. Notes, 144A(b)

   9.500%      08/15/19         3,025         3,009,875   

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

   6.500%      12/01/20         1,260         1,408,050   
           

 

 

 
     20,280,908   
           

 

 

 

Distribution/Wholesale — 1.5%

           

Brightstar Corp., Gtd. Notes, 144A
(original cost $7,528,263; purchased 01/04/13-11/14/14)(c)(d)

   9.500%      12/01/16         7,030         7,066,556   

Brightstar Corp., Sr. Unsec’d. Notes, 144A
(original cost $2,770,643; purchased 07/26/13-11/13/13)(c)(d)

   7.250%      08/01/18         2,750         2,860,000   
           

 

 

 
     9,926,556   
           

 

 

 

Diversified Financial Services — 3.7%

           

CoreLogic, Inc., Gtd. Notes

   7.250%      06/01/21         5,350         5,630,875   

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

   8.875%      09/01/17         7,500         8,325,000   

KCG Holdings, Inc., Sr. Sec’d. Notes, 144A(b)

   6.875%      03/15/20         1,275         1,211,250   

OneMain Financial Holdings, Inc., Gtd. Notes, 144A(b)

   6.750%      12/15/19         4,875         5,173,594   

SLM Corp., Sr. Unsec’d. Notes, MTN(b)

   8.450%      06/15/18         4,775         5,121,187   
           

 

 

 
     25,461,906   
           

 

 

 

Diversified Machinery — 0.6%

           

Case New Holland Industrial, Inc. (United Kingdom), Gtd. Notes

   7.875%      12/01/17         2,000         2,162,500   

Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A
(original cost $1,823,125; purchased 03/21/14-10/06/14)(b)(c)(d)

   8.750%      12/15/19         1,675         1,612,355   
           

 

 

 
     3,774,855   
           

 

 

 

Electric — 3.8%

           

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

   3.324%(a)      06/01/19         1,150         1,095,814   

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

   7.375%      07/01/21         1,525         1,624,125   

DPL, Inc., Sr. Unsec’d. Notes(b)

   6.500%      10/15/16         219         223,927   

DPL, Inc., Sr. Unsec’d. Notes(b)

   7.250%      10/15/21         2,825         2,835,594   

Dynegy, Inc., Gtd. Notes(b)

   6.750%      11/01/19         5,350         5,336,625   


GenOn Energy, Inc., Sr. Unsec’d. Notes(b)

   7.875%      06/15/17         1,750         1,623,125   

GenOn Energy, Inc., Sr. Unsec’d. Notes

   9.500%      10/15/18         3,375         2,970,000   

Mirant Mid Atlantic LLC, Series B, Pass-Through Trust, Pass-Through Certificates

   9.125%      06/30/17         470         474,865   

NRG Energy, Inc., Gtd. Notes

   7.625%      01/15/18         5,734         6,006,365   

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

   7.875%      05/15/21         675         671,625   

NRG Energy, Inc., Gtd. Notes

   8.250%      09/01/20         2,750         2,818,750   

NRG REMA LLC, Series B, Pass-Through Certificates(d)

   9.237%      07/02/17         434         448,338   
           

 

 

 
         26,129,153   
           

 

 

 

Electrical Components & Equipment — 0.5%

           

Anixter, Inc., Gtd. Notes

   5.625%      05/01/19         1,000         1,057,500   

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

   9.500%      05/15/17         2,600         2,366,000   
           

 

 

 
              3,423,500   
           

 

 

 

Energy-Coal — 0.1%

           

Peabody Energy Corp., Gtd. Notes(b)

   6.000%      11/15/18         2,600         455,000   
           

 

 

 

Entertainment — 5.1%

           

CCM Merger, Inc., Gtd. Notes, 144A
(original cost $2,995,000; purchased
05/21/14-08/17/15)(b)(c)(d)

   9.125%      05/01/19         2,800         2,968,000   

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

   5.250%      03/15/21         4,175         4,352,438   

Cinemark USA, Inc., Gtd. Notes(b)

   7.375%      06/15/21         2,550         2,696,625   

GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(b)

   4.375%      11/01/18         1,120         1,159,200   

Isle of Capri Casinos, Inc., Gtd. Notes

   8.875%      06/15/20         5,525         5,939,375   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A
(original cost $4,741,313; purchased
07/30/13-08/25/15)(c)(d)

   5.000%      08/01/18         4,650         4,801,125   

National CineMedia LLC, Sr. Sec’d. Notes(b)

   6.000%      04/15/22         675         702,810   

National CineMedia LLC, Sr. Unsec’d. Notes(b)

   7.875%      07/15/21         1,500         1,582,500   

Penn National Gaming, Inc., Sr. Unsec’d. Notes(b)

   5.875%      11/01/21         475         484,500   

Pinnacle Entertainment, Inc., Gtd. Notes

   8.750%      05/15/20         6,750         7,028,437   

Scientific Games Corp., Gtd. Notes(b)

   8.125%      09/15/18         3,150         2,866,500   
           

 

 

 
     34,581,510   
           

 

 

 

Environmental Control — 0.1%

           

Clean Harbors, Inc., Gtd. Notes

   5.250%      08/01/20         950         988,000   
           

 

 

 

Food — 1.6%

           

Diamond Foods, Inc., Gtd. Notes, 144A(b)

   7.000%      03/15/19         4,800         5,022,000   

Shearer’s Foods LLC/Chip Finance Corp., Sr. Sec’d. Notes, 144A(b)

   9.000%      11/01/19         3,750         3,975,000   

Smithfield Foods, Inc., Sr. Unsec’d. Notes(b)

   7.750%      07/01/17         1,507         1,631,328   
           

 

 

 
     10,628,328   
           

 

 

 

Healthcare-Products — 0.5%

           

Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Gtd. Notes, 144A(b)

   4.875%      04/15/20         3,325         3,187,844   
           

 

 

 

Healthcare-Services — 5.1%

           

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

   8.000%      11/15/19         10,108         10,512,320   

HCA, Inc., Gtd. Notes

   6.500%      02/15/16         2,500         2,532,500   

HCA, Inc., Gtd. Notes

   8.000%      10/01/18         2,050         2,324,188   

HCA, Inc., Sr. Sec’d. Notes(b)

   3.750%      03/15/19         1,300         1,322,750   

Kindred Healthcare, Inc., Gtd. Notes, 144A(b)

   8.000%      01/15/20         3,525         3,692,437   

Select Medical Corp., Gtd. Notes(b)

   6.375%      06/01/21         2,000         1,770,000   

Tenet Healthcare Corp., Sr. Sec’d. Notes

   6.250%      11/01/18         2,626         2,796,690   

Tenet Healthcare Corp., Sr. Unsec’d. Notes

   5.000%      03/01/19         9,775         9,555,062   
           

 

 

 
     34,505,947   
           

 

 

 


Home Builders — 5.9%

           

Beazer Homes USA, Inc., Gtd. Notes(b)

     5.750      06/15/19         4,875         4,692,187   

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

     6.625      04/15/18         8,250         8,518,125   

D.R. Horton, Inc., Gtd. Notes

     6.500      04/15/16         2,525         2,569,188   

KB Home, Gtd. Notes(b)

     4.750      05/15/19         1,950         1,917,620   

KB Home, Gtd. Notes

     7.250      06/15/18         3,500         3,745,000   

Lennar Corp., Gtd. Notes(b)

     4.500      06/15/19         3,125         3,242,188   

Lennar Corp., Gtd. Notes

     4.500      11/15/19         5,000         5,175,000   

Standard Pacific Corp., Gtd. Notes

     8.375      05/15/18         7,750         8,912,500   

William Lyon Homes, Inc., Gtd. Notes(b)

     8.500      11/15/20         1,000         1,075,000   
           

 

 

 
         39,846,808   
           

 

 

 

Housewares — 0.2%

           

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

     6.625      12/15/20         1,405         1,447,150   
           

 

 

 

Internet — 1.3%

           

Ancestry.com, Inc., Gtd. Notes

     11.000      12/15/20         3,500         3,823,750   

Zayo Group LLC/Zayo Capital, Inc., Gtd. Notes

     10.125      07/01/20         4,521         4,927,890   
           

 

 

 
     8,751,640   
           

 

 

 

Iron/Steel — 0.9%

           

AK Steel Corp., Sr. Sec’d. Notes(b)

     8.750      12/01/18         2,671         2,570,303   

Cliffs Natural Resources, Inc., Sr. Unsec’d. Notes(b)(d)

     5.950      01/15/18         2,100         1,081,500   

JMC Steel Group, Inc., Sr. Unsec’d. Notes, 144A(b)

     8.250      03/15/18         1,250         850,000   

Steel Dynamics, Inc., Gtd. Notes

     6.125      08/15/19         1,400         1,449,000   
           

 

 

 
     5,950,803   
           

 

 

 

Leisure — 0.7%

           

Jarden Corp., Gtd. Notes(b)

     7.500      05/01/17         1,307         1,408,293   

NCL Corp. Ltd., Sr. Unsec’d. Notes, 144A(b)

     5.250      11/15/19         1,200         1,245,000   

Royal Caribbean Cruises Ltd., Sr. Unsec’d. Notes(b)

     7.250      03/15/18         1,650         1,806,750   
           

 

 

 
     4,460,043   
           

 

 

 

Lodging — 3.7%

           

Boyd Gaming Corp., Gtd. Notes

     9.000      07/01/20         5,583         6,015,682   

MGM Resorts International, Gtd. Notes

     7.625      01/15/17         6,889         7,327,623   

MGM Resorts International, Gtd. Notes

     8.625      02/01/19         7,500         8,475,000   

Station Casinos LLC, Gtd. Notes(b)

     7.500      03/01/21         3,275         3,496,063   
           

 

 

 
     25,314,368   
           

 

 

 

Machinery-Construction & Mining — 0.9%

           

Terex Corp., Gtd. Notes(b)

     6.500      04/01/20         5,850         5,893,875   
           

 

 

 

Media — 8.5%

           

AMC Networks, Inc., Gtd. Notes

     7.750      07/15/21         9,000         9,652,500   

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

     7.750      04/15/18         2,065         2,168,250   

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

     8.625      09/15/17         6,031         6,407,938   

Carlson Travel Holdings, Inc., Sr. Unsec’d. Notes, PIK, 144A (original cost $2,100,000;
purchased 06/26/14)(b)(c)(d)

     7.500      08/15/19         2,100         2,110,500   

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

     6.500      04/30/21         11,843         12,427,748   

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

     7.000      01/15/19         1,734         1,781,685   


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

     7.375      06/01/20         1,000         1,037,500   

Cequel Communications Holdings I LLC/Cequel Capital Corp., Sr. Unsec’d. Notes, 144A(b)

     6.375      09/15/20         2,405         2,408,006   

Clear Channel Worldwide Holdings, Inc., Gtd. Notes(b)

     7.625      03/15/20         260         263,900   

DISH DBS Corp., Gtd. Notes

     4.250      04/01/18         2,355         2,352,056   

DISH DBS Corp., Gtd. Notes

     7.875      09/01/19         1,900         2,084,851   

Entercom Radio LLC, Gtd. Notes

     10.500      12/01/19         5,000         5,200,000   

Harron Communications LP/Harron Finance Corp., Sr. Unsec’d. Notes, 144A
(original cost $8,118,125;
purchased 04/14/15-06/11/15)(c)(d)

     9.125      04/01/20         7,400         7,899,500   

Univision Communications, Inc., Gtd. Notes, 144A
(original cost $2,231,338; purchased 08/26/15-09/09/15)(b)(c)(d)

     8.500      05/15/21         2,130         2,225,850   
           

 

 

 
         58,020,284   
           

 

 

 

Mining — 0.4%

           

Alcoa, Inc., Sr. Unsec’d. Notes

     6.750      07/15/18         2,700         2,980,463   
           

 

 

 

Miscellaneous Manufacturing — 1.8%

           

Koppers, Inc., Gtd. Notes

     7.875      12/01/19         7,075         7,075,000   

SPX FLOW, Inc., Gtd. Notes(b)

     6.875      09/01/17         5,205         5,517,300   
           

 

 

 
     12,592,300   
           

 

 

 

Oil & Gas — 1.7%

           

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

     6.500      05/20/21         1,700         1,755,250   

Citgo Holding, Inc., Sr. Sec’d. Notes, 144A

     10.750      02/15/20         2,550         2,562,750   

EP Energy LLC/EP Energy Finance, Inc., Gtd. Notes

     9.375      05/01/20         1,000         870,000   

Kodiak Oil & Gas Corp., Gtd. Notes

     8.125      12/01/19         3,500         3,526,250   

Sunoco LP/Sunoco Finance Corp., Gtd. Notes, 144A(b)

     5.500      08/01/20         1,050         1,076,250   

WPX Energy, Inc., Sr. Unsec’d. Notes(b)

     7.500      08/01/20         1,825         1,706,375   
           

 

 

 
     11,496,875   
           

 

 

 

Oil & Gas Services — 0.2%

           

PHI, Inc., Gtd. Notes

     5.250      03/15/19         1,475         1,305,375   
           

 

 

 

Pharmaceuticals — 1.9%

           

Capsugel SA, Sr. Unsec’d. Notes, PIK, 144A(b)

     7.000      05/15/19         1,825         1,838,688   

Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A

     7.250      12/15/20         2,150         2,222,562   

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

     5.375      03/15/20         7,975         6,938,250   

Valeant Pharmaceuticals International, Inc., Gtd. Notes, 144A

     6.375      10/15/20         2,390         2,139,050   
           

 

 

 
     13,138,550   
           

 

 

 

Pipelines — 0.4%

           

Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A (original cost $2,842,188;
purchased 01/10/13-02/22/13)(c)(d)

     6.000      01/15/19         2,850         2,885,625   
           

 

 

 

Real Estate Investment Trusts (REITs) — 0.2%

           

MPT Operating Partnership LP/MPT Finance Corp., Gtd.
Notes(b)

     6.375      02/15/22         1,475         1,541,375   
           

 

 

 

Retail — 2.2%

           

Family Tree Escrow LLC, Gtd. Notes, 144A(b)

     5.250      03/01/20         850         886,125   

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

     8.625      06/15/20         1,550         1,538,375   

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

     8.500      06/15/19         1,150         1,357,000   

 


Landry’s, Inc., Gtd. Notes, 144A
(original cost $9,372,486; purchased 11/20/14-09/30/15)(b)(c)(d)

     9.375      05/01/20         8,725         9,357,562   

Petco Holdings, Inc., Sr. Unsec’d. Notes, PIK, 144A (original cost $1,938,281;
purchased 01/30/13)(c)(d)

     8.500      10/15/17         1,875         1,907,813   
           

 

 

 
     15,046,875   
           

 

 

 

Semiconductors — 1.6%

           

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

     5.000      05/15/21         1,765         1,822,362   

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

     6.000      01/15/22         8,650         9,212,250   
           

 

 

 
     11,034,612   
           

 

 

 

Software — 5.9%

           

Audatex North America, Inc., Gtd. Notes, 144A

     6.000      06/15/21         7,440         7,492,155   

Emdeon, Inc., Gtd. Notes

     11.000      12/31/19         8,700         9,265,500   

First Data Corp., Gtd. Notes(b)

     11.750      08/15/21         2,975         3,391,500   

First Data Corp., Gtd. Notes

     12.625      01/15/21         10,960         12,562,900   

Infor US, Inc., Sr. Sec’d. Notes, 144A
(original cost $2,252,250;
purchased 08/11/15)(c)(d)

     5.750      08/15/20         2,275         2,320,500   

MedAssets, Inc., Gtd. Notes(b)

     8.000      11/15/18         5,319         5,418,731   
           

 

 

 
     40,451,286   
           

 

 

 

Telecommunications — 6.6%

           

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

     14.750      12/01/16         2,500         2,809,375   

CommScope Holding Co., Inc., Sr. Sec’d. Notes, 144A(b)

     4.375      06/15/20         3,475         3,544,500   

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

     6.625      06/01/20         6,355         6,609,200   

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

     8.125      10/01/18         1,500         1,582,500   

Level 3 Financing, Inc., Gtd. Notes

     7.000      06/01/20         4,700         4,982,000   

Level 3 Financing, Inc., Gtd. Notes

     8.625      07/15/20         6,600         6,971,250   

Qwest Capital Funding, Inc., Gtd. Notes

     6.500      11/15/18         4,000         4,200,000   

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

     8.375      08/15/17         5,850         5,974,312   

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

     6.542      04/28/20         1,375         1,409,375   

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

     6.625      11/15/20         1,000         1,030,000   

Windstream Corp., Gtd. Notes(b)

     7.750      10/15/20         2,000         1,800,000   

Windstream Holdings, Inc., Gtd. Notes

     7.875      11/01/17         3,750         3,977,325   
           

 

 

 
     44,889,837   
           

 

 

 

Transportation — 0.9%

           

XPO Logistics, Inc., Sr. Unsec’d. Notes, 144A

     7.875      09/01/19         6,100         6,138,125   
           

 

 

 

TOTAL CORPORATE BONDS
(cost $600,810,237)

   

         587,688,329   
           

 

 

 

FOREIGN BONDS — 45.6%

           

Argentina — 0.6%

           

YPF SA, Sr. Unsec’d. Notes, RegS(b)

     8.875      12/19/18         400         413,000   

YPF SA, Sr. Unsec’d. Notes, 144A(b)

     8.875      12/19/18         3,830         3,954,475   
           

 

 

 
     4,367,475   
           

 

 

 

Australia — 0.1%

           

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

     8.250      11/01/19         972         826,200   
           

 

 

 

Barbados — 0.4%

           

Columbus International, Inc., Gtd. Notes, RegS (original cost $1,075,000;
purchased 06/11/15)(b)(c)(d)

     7.375      03/30/21         1,000         1,040,000   

Columbus International, Inc., Gtd. Notes, 144A (original cost $1,899,500;
purchased 08/03/15-08/26/15)(b)(c)(d)

     7.375      03/30/21         1,800         1,872,000   
           

 

 

 
              2,912,000   
           

 

 

 

 


Brazil — 2.4%

           

Bertin SA/Bertin Finance Ltd., Gtd. Notes, RegS

     10.250      10/05/16         6,000         6,337,500   

Bertin SA/Bertin Finance Ltd., Gtd. Notes, 144A

     10.250      10/05/16         1,980         2,091,375   

JBS USA LLC/JBS USA Finance, Inc., Gtd.
Notes, 144A
(original cost $1,068,500; purchased
06/10/15)(b)(c)(d)

     8.250      02/01/20         1,000         1,047,500   

Minerva Luxembourg SA, Gtd. Notes, 144A(b)

     12.250      02/10/22         3,325         3,591,000   

Petrobras Global Finance BV, Gtd. Notes(b)

     2.000      05/20/16         1,500         1,478,250   

Petrobras Global Finance BV, Gtd. Notes(b)

     3.875      01/27/16         2,000         1,995,000   
           

 

 

 
              16,540,625   
           

 

 

 

Canada — 4.3%

           

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

     4.750      04/15/19         1,525         1,319,125   

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

     7.500      03/15/18         3,975         3,935,250   

Brookfield Residential Properties, Inc., Gtd. Notes, 144A

     6.500      12/15/20         3,025         3,032,562   

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

     6.750      01/01/20         3,600         3,816,000   

Kissner Milling Co., Ltd., Sr. Sec’d. Notes, 144A (original cost $2,103,000; purchased
05/15/14-02/03/15)(b)(c)(d)

     7.250      06/01/19         2,100         2,128,875   

Lundin Mining Corp., Sr. Sec’d. Notes, 144A(b)

     7.500      11/01/20         4,975         5,024,750   

NCSG Crane & Heavy Haul Services, Sec’d. Notes, 144A

     9.500      08/15/19         1,925         1,116,500   

Telesat Canada/Telesat LLC, Gtd. Notes, 144A

     6.000      05/15/17         7,740         7,856,100   

Tembec Industries, Inc., Sr. Sec’d. Notes, 144A(b)

     9.000      12/15/19         1,250         1,000,000   
           

 

 

 
                  29,229,162   
           

 

 

 

Colombia — 0.3%

           

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

     5.375      01/26/19         400         174,000   

Pacific Rubiales Energy Corp., Gtd. Notes, 144A

     7.250      12/12/21         4,000         1,640,000   
           

 

 

 
              1,814,000   
           

 

 

 

France — 4.9%

           

Alcatel-Lucent USA, Inc., Gtd. Notes, 144A

     4.625      07/01/17         2,800         2,884,000   

Alcatel-Lucent USA, Inc., Gtd. Notes, 144A

     6.750      11/15/20         5,150         5,471,875   

Alcatel-Lucent USA, Inc., Gtd. Notes, 144A

     8.875      01/01/20         5,995         6,482,094   

Cerba European Lab SAS, Sr. Sec’d. Notes, RegS(b)

     7.000      02/01/20       EUR     1,700         1,948,855   

Dry Mix Solutions Investissements SAS, Sr. Sec’d. Notes, 144A

     4.212 %(a)       06/15/21       EUR 3,500         3,714,069   

Financiere Quick SAS, Sr. Sec’d. Notes, 144A(b)

     4.701 %(a)       04/15/19       EUR 1,525         1,497,179   

Loxam SAS, Sr. Sub. Notes, RegS(b)

     7.375      01/24/20       EUR 1,600         1,876,003   

Numericable Group SA, Sr. Sec’d. Notes, 144A

     4.875      05/15/19         5,470         5,497,350   

Picard Groupe SA, Sr. Sec’d. Notes, 144A(b)

     4.250 %(a)       08/01/19       EUR 825         910,305   

THOM Europe SAS, Sr. Sec’d. Notes, 144A

     7.375      07/15/19       EUR 2,500         2,927,819   
           

 

 

 
              33,209,549   
           

 

 

 

Germany — 4.1%

           

BMBG Bond Finance SCA, Sr. Sec’d. Notes, 144A(b)

     4.951 %(a)       10/15/20       EUR 4,800         5,289,454   

Galapagos SA, Sr. Sec’d. Notes, 144A(b)

     4.712 %(a)       06/15/21       EUR 5,000         5,263,476   

Schaeffler Holding Finance BV, Gtd. Notes, 144A

     3.250      05/15/19       EUR 2,000         2,235,039   

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

     6.250      11/15/19         1,450         1,529,750   

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

     6.875      08/15/18         6,150         6,365,250   

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

     6.875      08/15/18       EUR 1,900         2,167,686   

Techem GmbH, Sr. Sec’d. Notes, MTN, RegS

     6.125      10/01/19       EUR 3,000         3,457,795   

Trionista TopCo GmbH, Gtd. Notes, RegS(b)

     6.875      04/30/21       EUR 1,000         1,165,717   

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

     4.000      04/29/20         225         227,250   
           

 

 

 
              27,701,417   
           

 

 

 


Indonesia — 0.6%

           

Berau Capital Resources Pte Ltd. , Sr. Sec’d. Notes, RegS (original cost $6,237,063; purchased
01/03/13-02/04/13)(b)(c)(d)(e)

     12.500      07/08/49         5,725         1,688,875   

TBG Global Pte Ltd., Gtd. Notes, RegS(b)

     4.625      04/03/18         500         497,500   

TBG Global Pte Ltd., Gtd. Notes, 144A(b)

     4.625      04/03/18         1,500         1,492,500   

Theta Capital Pte Ltd., Gtd. Notes, RegS(b)

     7.000      05/16/19         350         350,099   
           

 

 

 
              4,028,974   
           

 

 

 

Ireland — 1.3%

           

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., Gtd. Notes, 144A(b)

     6.250      01/31/19         950         960,687   

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., Gtd. Notes, 144A(b)

     6.750      01/31/21         1,950         1,998,750   

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., Gtd. Notes, 144A(b)

     9.125      10/15/20         1,425         1,492,702   

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., Gtd. Notes, 144A(b)

     9.125      10/15/20         500         524,380   

Smurfit Kappa Acquisitions, Sr. Unsec’d. Notes, 144A(b)

     4.875      09/15/18         4,038         4,239,900   
           

 

 

 
              9,216,419   
           

 

 

 

Italy — 1.9%

           

GCL Holdings SCA, Sec’d. Notes, RegS(b)

     9.375      04/15/18       EUR     1,400         1,603,702   

TeamSystem Holding SpA, Sr. Sec’d. Notes, RegS(b)

     7.375      05/15/20       EUR 1,700         1,949,790   

Telecom Italia Capital SA, Gtd. Notes(b)

     6.999      06/04/18         4,045         4,459,613   

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

     3.951 %(a)       07/15/20       EUR 2,000         2,191,053   

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

     6.500      04/30/20         2,600         2,743,000   
           

 

 

 
              12,947,158   
           

 

 

 

Luxembourg — 4.1%

           

Altice Financing SA, Sr. Sec’d. Notes, 144A(b)

     7.875      12/15/19         1,700         1,775,437   

ArcelorMittal, Sr. Unsec’d. Notes(b)

     5.250      02/25/17         4,300         4,332,250   

ArcelorMittal, Sr. Unsec’d. Notes(b)

     6.000      08/05/20         900         856,688   

ArcelorMittal, Sr. Unsec’d. Notes(b)

     6.125      06/01/18         3,500         3,508,750   

ArcelorMittal, Sr. Unsec’d. Notes(b)

     6.250      03/01/21         1,100         1,038,813   

ArcelorMittal, Sr. Unsec’d. Notes(b)

     10.600      06/01/19         1,115         1,232,075   

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

     8.250      01/15/19         1,275         1,271,812   

ConvaTec Healthcare E SA, Gtd. Notes, RegS(b)

     10.875      12/15/18       EUR 3,570         4,054,909   

GCS Holdco Finance I SA, Sr. Sec’d. Notes, RegS(b)

     6.500      11/15/18       EUR 1,787         2,029,530   

Intelsat Jackson Holdings SA, Gtd. Notes(b)

     7.250      04/01/19         6,209         5,820,937   

Intelsat Jackson Holdings SA, Gtd. Notes(b)

     7.250      10/15/20         2,000         1,825,000   
           

 

 

 
                  27,746,201   
           

 

 

 

Mexico — 1.3%

           

Cemex Espana Luxembourg, Sr. Sec’d. Notes, 144A

     9.875      04/30/19         5,500         5,864,375   

Cemex Espana SA, Sr. Sec’d. Notes, RegS(b)

     9.875      04/30/19         1,500         1,599,375   

Cemex SAB de CV, Sr. Sec’d. Notes, 144A(b)

     6.500      12/10/19         1,315         1,334,725   
           

 

 

 
              8,798,475   
           

 

 

 

Netherlands — 2.7%

           

Carlson Wagonlit BV, Sr. Sec’d. Notes, 144A (original cost $3,016,933; purchased
04/07/14)(c)(d)

     7.500      06/15/19       EUR 2,000         2,306,913   

InterXion Holding NV, Sr. Sec’d. Notes, RegS(b)

     6.000      07/15/20       EUR 2,000         2,332,138   

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

     3.750      06/01/18         100         100,250   

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

     4.125      06/15/20         3,865         3,942,300   

UPCB Finance V Ltd., Sr. Sec’d. Notes, 144A(b)

     7.250      11/15/21         5,294         5,637,897   

UPCB Finance VI Ltd., Sr. Sec’d. Notes, 144A(b)

     6.875      01/15/22         3,600         3,807,000   
           

 

 

 
              18,126,498   
           

 

 

 


New Zealand — 0.2%

           

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Gtd. Notes(b)

     9.875      08/15/19         750         789,375   

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Sr. Sec’d. Notes(b)

     5.750      10/15/20         959         997,360   
           

 

 

 
              1,786,735   
           

 

 

 

Peru — 0.4%

           

Peru Enhanced Pass-Through Finance Ltd., Pass-Through Certificates, RegS(b)

     1.390 %(f)       05/31/18         2,582         2,488,770   
           

 

 

 

Poland — 1.7%

           

Eileme 2 AB, Sec’d. Notes, RegS(b)

     11.625      01/31/20         1,000         1,080,100   

Eileme 2 AB, Sr. Sec’d. Notes, RegS(b)

     11.750      01/31/20       EUR     7,400         8,768,062   

TVN Finance Corp. III AB, Gtd. Notes, RegS(b)

     7.875      11/15/18       EUR 1,666         1,869,574   
           

 

 

 
              11,717,736   
           

 

 

 

Russia — 3.0%

           

Evraz Group SA, Sr. Unsec’d. Notes, RegS(b)

     7.400      04/24/17         500         516,312   

Gazprom OAO Via GAZ Capital SA, Sr. Unsec’d. Notes, RegS(b)

     3.755      03/15/17       EUR 2,000         2,215,795   

Gazprom OAO Via GAZ Capital SA, Sr. Unsec’d. Notes, RegS(b)

     5.092      11/29/15         500         501,178   

Gazprom OAO Via GAZ Capital SA, Sr. Unsec’d. Notes, RegS(b)

     6.212      11/22/16         1,000         1,034,700   

Gazprom OAO Via GAZ Capital SA, Sr. Unsec’d. Notes, RegS(b)

     8.146      04/11/18         815         881,977   

Gazprom OAO Via Gaz Capital SA, Sr. Unsec’d. Notes, 144A(b)

     4.300      11/12/15         1,500         1,500,015   

Gazprom OAO Via Gaz Capital SA, Sr. Unsec’d. Notes, 144A(b)

     8.146      04/11/18         2,000         2,164,360   

Lukoil International Finance BV, Gtd. Notes, RegS(b)

     3.416      04/24/18         1,950         1,900,587   

Russian Foreign Bond - Eurobond, Sr. Unsec’d. Notes, RegS(b)

     3.500      01/16/19         1,400         1,412,250   

Sberbank of Russia Via SB Capital SA, Sr. Unsec’d. Notes, MTN, RegS(b)

     5.400      03/24/17         1,000         1,022,500   

Severstal OAO Via Steel Capital SA, Sr. Unsec’d. Notes, RegS(b)

     4.450      03/19/18         1,500         1,485,300   

Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, Sr. Unsec’d. Notes, RegS(b)

     9.125      04/30/18         2,175         2,397,938   

Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, Sr. Unsec’d. Notes, 144A(b)

     9.125      04/30/18         2,200         2,425,500   

VTB Bank OJSC Via VTB Capital SA, Sr. Unsec’d. Notes, RegS(b)

     6.000      04/12/17         1,000         1,028,054   
           

 

 

 
                  20,486,466   
           

 

 

 

Spain — 0.3%

           

Gestamp Funding Luxembourg SA, Sr. Sec’d. Notes, 144A(b)

     5.625      05/31/20         2,000         2,050,000   
           

 

 

 

Sweden — 0.1%

           

Verisure Holding AB, Sr. Sec’d. Notes, 144A(b)

     6.000      11/01/22       EUR 500         562,196   
           

 

 

 

Switzerland — 0.4%

           

Gategroup Finance SA, Gtd. Notes, MTN, RegS(b)

     6.750      03/01/19       EUR 2,143         2,475,698   
           

 

 

 

 


United Kingdom — 10.5%

           

Anglian Water Osprey Financing PLC, Sr. Sec’d. Notes, MTN(b)

     7.000      01/31/18       GBP 2,000         3,345,255   

Bakkavor Finance 2 PLC, Sr. Sec’d. Notes, RegS(b)

     8.750      06/15/20       GBP 1,000         1,688,043   

Elli Finance UK PLC, Sr. Sec’d. Notes, RegS

     8.750      06/15/19       GBP 1,050         1,435,802   

Fiat Chrysler Automobiles NV, Sr. Unsec’d. Notes(b)

     4.500      04/15/20         1,275         1,287,750   

Fiat Finance & Trade SA, Ser. G, Gtd. Notes, MTN, RegS(b)

     6.375      04/01/16       EUR 6,000         6,727,353   

Gala Group Finance PLC, Sr. Sec’d. Notes, RegS(b)

     8.875      09/01/18       GBP 1,319         2,129,137   

Grainger PLC, Sr. Sec’d. Notes, RegS(b)

     5.000      12/16/20       GBP 3,565         5,723,944   

Iceland Bondco PLC, Sr. Sec’d. Notes, 144A(b)

     4.830 %(a)       07/15/20       GBP 1,074         1,436,294   

IDH Finance PLC, Sr. Sec’d. Notes, 144A

     5.585 %(a)       12/01/18       GBP 1,700         2,607,603   

IDH Finance PLC, Sr. Sec’d. Notes, MTN, 144A

     6.000      12/01/18       GBP 1,500         2,333,200   

Innovia Group Finance PLC, Sr. Sec’d. Notes, 144A

     4.962 %(a)       03/31/20       EUR 2,000         2,144,318   

Interoute Finco PLC, Sr. Sec’d. Notes, 144A(b)

     7.375      10/15/20       EUR 1,275         1,479,868   

Jaguar Land Rover Automotive PLC, Gtd. Notes,
144A(b)

     4.250      11/15/19         1,850         1,882,375   

Jerrold Finco PLC, Sr. Sec’d. Notes, RegS(b)

     9.750      09/15/18       GBP 400         676,759   

Jerrold Finco PLC, Sr. Sec’d. Notes, 144A(b)

     9.750      09/15/18       GBP 2,000         3,383,795   

Kelda Finance No 3 PLC, Sr. Sec’d. Notes, RegS(b)

     5.750      02/17/20       GBP 1,370         2,209,660   

MEIF Renewable Energy UK PLC, Sr. Sec’d. Notes, RegS(b)

     6.750      02/01/20       GBP 1,350         2,070,744   

Pendragon PLC, Sr. Sec’d. Notes, RegS(b)

     6.875      05/01/20       GBP 2,000         3,214,991   

Pizzaexpress Financing 2 PLC, Sr. Sec’d. Notes,
RegS(b)

     6.625      08/01/21       GBP 1,500         2,404,498   

Priory Group No. 3 PLC, Sr. Sec’d. Notes, RegS

     7.000      02/15/18       GBP 2,265         3,595,823   

R&R Ice Cream PLC, Sr. Sec’d. Notes, RegS(b)

     5.500      05/15/20       GBP 500         791,030   

Sable International Finance Ltd., Sr. Sec’d. Notes, 144A(b)

     8.750      02/01/20         5,000         5,281,250   

Stonegate Pub Co. Financing PLC, 144A(b)

     5.750      04/15/19       GBP 3,000         4,657,936   

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

     5.500      01/15/21       GBP 1,500         2,467,896   

Voyage Care Bondco PLC, Sr. Sec’d. Notes, RegS(b)

     6.500      08/01/18       GBP 2,030         3,192,021   

William Hill PLC, Gtd. Notes, RegS(b)

     4.250      06/05/20       GBP 2,000         3,113,245   
           

 

 

 
              71,280,590   
           

 

 

 

TOTAL FOREIGN BONDS
(cost $336,482,526)

              310,312,344   
           

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $975,961,825)

              931,470,212   
           

 

 

 

SHORT-TERM INVESTMENT — 0.3%

           
                   Shares         

AFFILIATED MONEY MARKET MUTUAL FUND

           

Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund
(cost $1,971,430)(g)

           1,971,430         1,971,430   
           

 

 

 

TOTAL INVESTMENTS — 137.1%
(cost $977,933,255)(h)

              933,441,642   

Liabilities in excess of other assets(i) — (37.1)%

              (252,814,711
           

 

 

 

NET ASSETS — 100.0%

            $     680,626,931   
           

 

 

 

 

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.
MTN    Medium Term Note
OTC    Over-the-counter
PIK    Payment-in-Kind


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.
EUR    Euro
GBP    British Pound

 

# Principal amount shown in U.S. dollars unless otherwise stated.
(a) Variable rate instrument. The interest rate shown reflects the rate in effect at October 31, 2015.
(b) Represents security, or portion thereof, with an aggregate value of $570,831,769 segregated as collateral for amount of $275,000,000 borrowed and outstanding as of October 31, 2015.
(c) Indicates a restricted security; the aggregate original cost of the restricted securities is $70,233,008. The aggregate value of $63,889,549 is approximately 9.4% of net assets.
(d) Indicates a security or securities that have been deemed illiquid.
(e) Represents issuer in default on interest payments. Non-income producing security.
(f) Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date.
(g) Prudential Investments LLC, the manager of the Fund, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund.
(h) The United States federal income tax basis of investments and net unrealized depreciation were as follows:

 

Tax Basis

   $ 993,663,722   
  

 

 

 

Appreciation

     3,217,453   

Depreciation

     (63,439,533
  

 

 

 

Net Unrealized Depreciation

   $ (60,222,080
  

 

 

 

 

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

 

(i) Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end:

Forward foreign currency exchange contracts outstanding at October 31, 2015:

 

Purchase Contracts

  

Counterparty

   Notional
Amount

(000)
     Value at
Settlement Date
     Current
Value
     Unrealized
Appreciation
(Depreciation)(1)
 

OTC forward foreign currency exchange contracts:

  

British Pound,

                 

Expiring 11/03/15

   Goldman Sachs & Co.      GBP         19,657       $ 30,099,073       $ 30,302,839       $ 203,766   

Expiring 11/03/15

   JPMorgan Chase      GBP         19,657         30,099,072         30,302,839         203,767   

Euro,

                 

Expiring 11/03/15

   Bank of America      EUR         16,492         18,224,196         18,136,645         (87,551

Expiring 11/03/15

   Citigroup Global Markets      EUR         16,492         18,225,038         18,136,645         (88,393

Expiring 11/03/15

   Deutsche Bank AG      EUR         16,492         18,224,197         18,136,646         (87,551

Expiring 11/03/15

   JPMorgan Chase      EUR         16,492         18,224,197         18,136,646         (87,551

Expiring 11/03/15

   UBS AG      EUR         16,492         18,229,145         18,136,646         (92,499

Expiring 12/02/15

   Bank of America      EUR         2,975         3,263,347         3,272,784         9,437   
           

 

 

    

 

 

    

 

 

 
            $   154,588,265       $   154,561,690       $ (26,575
           

 

 

    

 

 

    

 

 

 

Sale Contracts

  

Counterparty

   Notional
Amount

(000)
     Value at
Settlement Date
     Current
Value
     Unrealized
Appreciation
(Depreciation)(1)
 

OTC forward foreign currency exchange contracts:

  

British Pound,

                 

Expiring 11/03/15

   Citigroup Global Markets      GBP         3,054       $ 4,626,145       $ 4,707,984       $ (81,839

Expiring 11/03/15

   Goldman Sachs & Co.      GBP         17,337         26,307,023         26,725,371         (418,348

Expiring 11/03/15

   JPMorgan Chase      GBP         17,337         26,306,937         26,725,371         (418,434

Expiring 11/03/15

   Morgan Stanley      GBP         1,587         2,431,759         2,446,952         (15,193

Expiring 12/02/15

   Goldman Sachs & Co.      GBP         19,657         30,094,158         30,298,121         (203,963

Expiring 12/02/15

   JPMorgan Chase      GBP         19,657         30,094,453         30,298,122         (203,669


Forward foreign currency exchange contracts outstanding at October 31, 2015 (continued):

 

Sale Contracts

  

Counterparty

   Notional
Amount

(000)
     Value at
Settlement Date
     Current
Value
     Unrealized
Appreciation
(Depreciation)(1)
 

OTC forward foreign currency exchange contracts (cont’d.):

  

Euro,

                 

Expiring 11/03/15

   Bank of America      EUR         11,624         12,994,439         12,782,612         211,827   

Expiring 11/03/15

   Barclays Capital Group      EUR         11,624         12,994,498         12,782,612         211,886   

Expiring 11/03/15

   Citigroup Global Markets      EUR         1,096         1,231,441         1,204,943         26,498   

Expiring 11/03/15

   Citigroup Global Markets      EUR         11,624         12,994,498         12,782,612         211,886   

Expiring 11/03/15

   Deutsche Bank AG      EUR         11,624         12,994,439         12,782,612         211,827   

Expiring 11/03/15

   Goldman Sachs & Co.      EUR         11,624         12,994,439         12,782,612         211,827   

Expiring 11/03/15

   JPMorgan Chase      EUR         11,624         12,994,381         12,782,612         211,769   

Expiring 11/03/15

   UBS AG      EUR         11,624         12,994,497         12,782,612         211,885   

Expiring 12/02/15

   Bank of America      EUR         16,492         18,231,042         18,143,670         87,372   

Expiring 12/02/15

   Citigroup Global Markets      EUR         16,492         18,232,246         18,143,670         88,576   

Expiring 12/02/15

   Deutsche Bank AG      EUR         16,492         18,231,701         18,143,669         88,032   

Expiring 12/02/15

   JPMorgan Chase      EUR         16,492         18,231,618         18,143,669         87,949   

Expiring 12/02/15

   UBS AG      EUR         16,492         18,236,583         18,143,669         92,914   
           

 

 

    

 

 

    

 

 

 
   $   303,216,297       $   302,603,495       $   612,802   
           

 

 

    

 

 

    

 

 

 
      $ 586,227   
                 

 

 

 

 

(1) The amount represents fair value of derivative instruments subject to foreign exchange contracts risk exposure as of October 31, 2015.

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 - 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 October 31, 2015 in valuing such portfolio securities:

 

     Level 1      Level 2      Level 3  

Investments in Securities

        

Bank Loans

   $ —         $ 32,521,119       $ 948,420   

Corporate Bonds

     —           587,688,329         —     

Foreign Bonds

     —           310,312,344         —     

Affiliated Money Market Mutual Fund

     1,971,430         —           —     

Other Financial Instruments*

        

OTC Forward Foreign Currency Exchange Contracts

     —           586,227         —     
  

 

 

    

 

 

    

 

 

 

Total

   $   1,971,430       $   931,108,019       $   948,420   
  

 

 

    

 

 

    

 

 

 

 

* Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and exchange-traded swap contracts, which are recorded at the unrealized appreciation/depreciation on the instrument, and OTC swap contracts which are recorded at fair value.


Notes to Schedule of Investments (Unaudited)

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

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

Common and preferred stocks, exchange-traded funds, and derivative instruments such as futures or options 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 where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy.

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

Common and preferred 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. Such securities are valued using model prices to the extent that the valuation meets the established confidence level for each security. If the confidence level is not met or the vendor does not provide a model price, securities are valued in accordance with exchange-traded common and preferred stocks discussed above.

Participatory Notes (P-notes) are generally valued based upon the value of a related underlying security that trades actively in the market and are classified as Level 2 in the fair value hierarchy.

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

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

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.

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 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 invest 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 Global Short Duration High Yield Fund, Inc.

 

By (Signature and Title)*

   /s/ Deborah A. Docs
   Deborah A. Docs
   Secretary of the Fund

Date     December 18, 2015

     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     December 18, 2015

  

By (Signature and Title)*

   /s/ M. Sadiq Peshimam
   M. Sadiq Peshimam
   Treasurer and Principal Financial Officer

Date     December 18, 2015

 

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