Edgar Filing: Prudential Short Duration High Yield Fund, Inc.

Prudential Short Duration High Yield Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT 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, 17^th Floor
		Newark, New Jersey 07102

Name and address of agent for service:		Deborah A. Docs
		655 Broad Street, 17^th 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:		11/30/2017


Item 1		–		Reports to Stockholders

LOGO

PRUDENTIAL SHORT DURATION HIGH YIELD FUND, INC.

SEMIANNUAL REPORT

NOVEMBER 30, 2017

LOGO

To enroll in e-delivery, go to pgiminvestments.com/edelivery

Objective: High level of current income

Highlights (unaudited)

•

Issue selection within the telecom and technology sectors were some of the largest positive contributors to performance.

•

Overall sector allocation modestly detracted from returns.

The views expressed in this report and information about the Fund’s portfolio holdings are for the period covered by this report and are subject to change thereafter.

PGIM Fixed Income is a unit of PGIM, Inc. (PGIM), a registered investment adviser. PGIM is a Prudential Financial Company. ^© 2018 Prudential Financial, Inc. and its related entities. The Prudential logo and the Rock symbol are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.


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Letter from the President

LOGO

Dear Shareholder:

We hope you find the semiannual report for the Prudential Short Duration High Yield Fund, Inc. informative and useful. The report covers performance for the six-month period ended November 30, 2017.

Since market conditions change over time, we believe it is important to maintain a diversified portfolio of funds consistent with your tolerance for risk, time horizon, and financial goals.

Your financial advisor can help you create a diversified investment plan that may include funds covering all the basic asset classes and that reflects your personal investor profile and risk tolerance. However, diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.

At PGIM Investments, we consider it a great privilege and responsibility to help investors participate in opportunities across global markets while meeting their toughest investment challenges. We’re part of PGIM, a top-10 global investment manager with more than $1 trillion in assets under management. This investment expertise allows us to deliver actively managed funds and strategies to meet the needs of investors around the globe.

Thank you for choosing our family of funds.

Sincerely,

LOGO

Stuart S. Parker, President

Prudential Short Duration High Yield Fund, Inc.

January 16, 2018


Prudential Short Duration High Yield Fund, Inc.			3

Your Fund’s Performance (unaudited)

Performance data quoted represent past performance and assume the reinvestment of all dividends. Past performance does not guarantee future results. An investor may obtain performance data as of the most recent month-end by visiting our website at www.pgiminvestments.com.

Investment Objective

The Fund seeks to provide a high level of current income by investing primarily in higher-rated, below-investment-grade fixed income instruments.* The Fund seeks to maintain a weighted average portfolio duration of three years or less and a weighted average maturity of five years or less.

*There can be no guarantee the Fund will achieve its objective. Higher-rated high yield bonds, commonly referred to as “junk bonds,” are below investment grade and are considered speculative. They are rated Ba, B by Moody’s Investors Service, Inc. (Moody’s); BB, B by S&P Global Ratings (S&P) and Fitch, Inc. (Fitch); or comparably rated by another nationally recognized statistical rating organization (NRSRO), or if unrated, are considered by PGIM Fixed Income to be of comparable quality.


Performance Snapshot as of 11/30/17
Price per Share		Total Return for Six Months Ended 11/30/17
$16.55 (NAV)		1.60%
$14.75 (Market Price)		–1.88%

Total returns are based on changes in net asset value (NAV) or market price, respectively. NAV total return assumes the reinvestment of all distributions, including returns of capital, if any, at NAV. Market Price total return assumes the reinvestment of all distributions, including returns of capital, if any, in additional shares in accordance with the Fund’s Dividend Reinvestment Plan.

Source: PGIM Investments LLC


Key Fund Statistics as of 11/30/17
Duration	2.3 years	Average Maturity	3.7 years

Duration shown includes the impact of leverage. Duration measures investment risk that takes into account both a bond’s interest payments and its value to maturity. Average Maturity is the average number of years to maturity of the Fund’s bonds.


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Credit Quality expressed as a percentage of total investments as of 11/30/17 (%)
BBB			6.6
BB			49.0
B			36.7
CCC			4.5
Not Rated			1.2
Cash/Cash Equivalents			1.9
Total Investments			100.0

Source: PGIM Fixed Income

Credit ratings reflect the highest rating assigned by an NRSRO such as Moody’s, S&P, or Fitch. Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent and are widely used. The Not Rated category consists of securities that have not been rated by an NRSRO. Credit ratings are subject to change. Values may not sum to 100.0% due to rounding.


Yield and Dividends as of 11/30/17
Total Monthly Dividends Paid per Share for Period	Current Monthly Dividend Paid per Share	Yield at Market Price as of 11/30/17
$0.5550	$0.0925	7.53%

Yield at market price is the annualized rate determined by dividing current monthly dividend paid per share by the market price per share as of November 30, 2017.


Prudential Short Duration High Yield Fund, Inc.			5

Strategy and Performance Overview (unaudited)

How did the Fund perform?

The Prudential Short Duration High Yield Fund, Inc. returned 1.60% on a net basis for the six-month reporting period ended November 30, 2017, underperforming the 1.82% return of its benchmark, the Bloomberg Barclays US High Yield Ba/B 1-5 Year 1% Issuer Constrained Index (the Index). While also underperforming the 2.01% return of the Lipper High Yield Funds (Leveraged) average, the Fund outperformed its benchmark on a gross basis.

What were market conditions?

•

The short duration, higher quality high yield corporate bond market, as represented by the Index, generated positive returns during the reporting period, but underperformed the broader high yield corporate bond market, as represented by the Bloomberg Barclays High Yield Index, by 46 basis points. (A basis point is ¹/₁₀₀^th of a percent.) The Index’s yield to worst ended the period at 4.47%, 39 basis points higher than it was at the beginning of the period. The yield to worst is the lowest potential yield that can be received on a portfolio of bonds without the issuers actually defaulting.

•

Overall, the performance of high yield bonds continued the positive trend that had begun after the November 2016 US election, which had sparked a rally in the global capital markets.

•

Although lower taxes, regulatory rollbacks, and increased infrastructure spending were expected to drive US economic growth, volatility in oil prices and interest rates dampened investor sentiment in June 2017, when the current fiscal period began. Nevertheless, high yield bonds closed the month with a positive total return.

•

In the third quarter, high yield bonds generated solid returns on the back of record high equity prices, improving commodity prices, a manageable new-issue calendar, and investors’ ongoing search for yield. That said, the high yield bond market was not completely immune to the impact of various global events, including geopolitical tensions between the US and North Korea, the terror attack in Barcelona, and the effects of Hurricanes Harvey and Irma.

•

In October, high yield bonds continued to perform well, supported by a “reflation trade” in the stock market, the firmer backdrop for energy bonds, and optimism about both the Republicans’ tax plan and third-quarter corporate earnings. In a reflation trade, investors generally favor assets that might benefit from rising economic growth and inflation.

•

High yield bond performance wavered during the first half of November, when the market experienced a sharp sell-off amid heavy retail mutual fund withdrawals, shocks from a handful of companies, and sector-based selling. Valuations dropped approximately 1.4%, testing the resolve of investors, who had experienced only three down months (in which losses were less than 0.4% in each instance) during the previous 20-month period. In the second half of November, high yield bonds regained much lost ground due to surprising progress on US tax reform and rallying oil and stock prices.


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•

The top-performing industries in the high yield bond market during the period were electric utilities, metals & mining, and financials. The electric utilities industry was the leading performer, driven by attractive valuations, positive merger and acquisition trends (most notably Vistra Energy’s acquisition of Dynegy), and continued improvement in the fundamentals of independent power producers. The worst performers were those that posted negative total returns, including food & drug retail, telecommunications, consumer products, and cable. Food and drug retail was the weakest-performing industry as the market assessed the impact of Amazon’s acquisition of Whole Foods Market and the potential squeeze on traditional grocers’ profit margins. Telecommunications companies came under pressure because of lackluster earnings from CenturyLink and Frontier Communications, as well as news that Sprint and T-Mobile were calling off merger talks.

•

According to Moody’s, the trailing 12-month US speculative-grade issuer default rate was 3.4% on November 30th, a modest up tick from the end of the third quarter. In 2017, most defaults were by issuers in the oil & gas and retail sectors. Looking ahead, Moody’s expects the advertising, printing, and publishing sector to contribute most to default activity during the next 12 months.

What worked?

•

The Fund’s underweight to telecommunications and overweight to electric utilities bolstered relative performance.

•

Security selection in the telecommunications, technology, upstream energy, and consumer non-cyclical sectors added value.

•

Within individual security selection, the Fund’s positioning in Dynegy (electric utilities), Claire’s (retail), Windstream Holdings and Altice (telecommunications), and Valeant Pharmaceuticals (health care & pharmaceutical) contributed positively to results.

What didn’t work?

•

Sector allocations detracted modestly from the Fund’s relative returns. An overweight position in the health care & pharmaceutical sector hurt performance most during the period. The Fund’s underweights in the rebounding upstream energy sector, coupled with its underweights in finance & insurance and transportation & environmental services, also limited results.

•

The Fund was hindered by security selection in the health care & pharmaceutical, electric utilities, and midstream energy sectors.

•

Among individual issues, overweight positions in the health care sector, including Community Health Systems and Tenet Healthcare, detracted from performance. An overweight in retailer PetSmart was also negative.


Prudential Short Duration High Yield Fund, Inc.			7

Strategy and Performance Overview (continued)

How did the Fund’s borrowing (leverage) strategy affect its performance?

•

The Fund’s use of leverage contributed positively to results as the returns of the securities purchased were in excess of the cost of borrowing.

•

As of November 30, 2017, the Fund had borrowed $170 million and was about 23.6% leveraged. During the reporting period, the average amount of leverage utilized by the Fund was approximately 24.2%.

Did the Fund use derivatives and how did they affect performance?

•

The Fund used derivatives, specifically currency forwards, to hedge the currency risk from owning non-US dollar-denominated bonds. The Fund also used US Treasury futures to hedge interest rate risk relative to the Index.

•

During the reporting period, the use of these derivatives helped mitigate the impact of fluctuating currencies and interest rates on the Fund.

Current Outlook

•

In the near term, PGIM Fixed Income favors high yield corporate bonds because of improving fundamentals and favorable market technicals (supply/demand dynamics).

•

Despite elevated risks in some sectors like retail, health care, and commodities, default rates should remain low. PGIM Fixed Income’s main concern is a recession triggered by an unanticipated development. However, such a scenario is likely to result in less spread widening than in previous recessions given the relative caution currently exhibited by issuers and investors.

•

At the end of the reporting period, key positioning themes were continued underweights in the energy, finance & insurance, and banking sectors. Sector overweights included technology, building materials & construction, health care & pharmaceutical, and cable.

Benchmark Definitions

Bloomberg Barclays US High Yield Ba/B 1-5 Year 1% Issuer Constrained Index—The Bloomberg Barclays US High Yield Ba/B 1-5 Year 1% Issuer Constrained Index is an unmanaged index which represents performance of US higher-rated short duration high yield bonds.

Source: Bloomberg Barclays

Lipper High Yield Funds (Leveraged) Average—The Lipper High Yield Funds (Leveraged) Average (Lipper Average) represent Funds that aim at high (relative) current yield from fixed income securities, have no quality or maturity restrictions, and tend to invest in lower-grade debt issues. These funds can be leveraged via the use of debt, preferred equity, and/or reverse repurchase agreements.

Investors cannot invest directly in an index or average.


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Looking for additional information?

The Fund is traded under the symbol “ISD” and its closing market price is available in most financial websites under the NYSE listings. The daily NAV is available online under the symbol “XISDX” on most financial websites. Barron’s and The Wall Street Journal ’s Monday edition both carry closed-end fund tables that provide additional information. In addition, the Fund issues press releases that can be found on most major financial websites as well as on www.pgiminvestments.com.

In a continuing effort to provide information concerning the Fund, shareholders may go to www.pgiminvestments.com or call (800) 451-6788 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for the Fund’s current NAV, market price, and other information.


Prudential Short Duration High Yield Fund, Inc.			9

Schedule of Investments (unaudited)

as of November 30, 2017


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
LONG-TERM INVESTMENTS 126.8%

BANK LOANS 8.4%

Aerospace & Defense 0.2%
StandardAero Aviation Holdings, Inc., Initial Term Loan, 1 Month LIBOR + 3.750%^		5.100	%(c)		07/07/22		900	$	904,500

Commercial Services 1.0%
Laureate Education, Inc., Series 2024 Term Loan, 1 Month LIBOR + 4.500%		5.850	(c)		04/26/24		3,924		3,940,222
LSC Communications, Inc., First Lien Term B Loan, 1 Month LIBOR + 5.500%		6.838	(c)		09/30/22		1,626		1,630,215

									5,570,437

Food 0.6%
CEC Entertainment, Inc., First Lien Term B Loan, 1 Month LIBOR + 3.000%		4.350	(c)		02/15/21		3,222		3,114,422

Non-Captive Finance 0.4%
Exela Intermediate LLC, First Lien Term B Loan, 3 Month LIBOR + 7.500%		8.678	(c)		06/30/23		2,000		1,886,250

Packaging & Containers 0.3%
Coveris Holdings SA (Luxembourg), USD Term B-1 Loan, 3 Month LIBOR + 4.250%^		5.583	(c)		06/29/22		1,382		1,380,324

Retail 1.1%
Academy, Ltd., Initial Term Loan, 1 Month LIBOR + 4.000%		5.306	(c)		07/01/22		2,613		2,109,947
Rite Aid Corp., Tranche 2 Term Loan (Second Lien), 1 Month LIBOR + 3.875%		5.085	(c)		06/21/21		1,700		1,700,000
Sally Holdings LLC, Term B-2 Loan		4.500			07/05/24		2,475		2,468,812

									6,278,759

Software 1.1%
BMC Software Finance, Inc., Initial B-1 US Term Loans, 1 Month LIBOR + 3.750%		5.100	(c)		09/10/22		3,559		3,565,020
Symantec Corp., Term A-5 Loan, 2 Month LIBOR + 1.750%^		3.030	(c)		08/01/21		2,564		2,560,897

									6,125,917

Technology 1.8%
Evergreen Skills Lux Sarl, First Lien Initial Term Loan, 1 Month LIBOR + 4.750%		6.100	(c)		04/28/21		1,900		1,824,000

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			11

Schedule of Investments (unaudited) (continued)

as of November 30, 2017


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
BANK LOANS (Continued)

Technology (cont’d.)
Informatica Corp., Dollar Term Loan, 3 Month LIBOR + 3.500%		4.833	%(c)		08/05/22		1,741	$	1,746,300
McAfee LLC,
First Lien Closing Date USD Term Loan, 3 Month LIBOR + 4.500%		5.833	(c)		09/30/24		4,650		4,667,759
Second Lien Initial Loan, 3 Month LIBOR + 8.500%		9.833	(c)		09/29/25		1,850		1,868,500

									10,106,559

Telecommunications 1.4%
Frontier Communications Corp., Term B-1 Loan, 1 Month LIBOR + 3.750%		5.090	(c)		06/17/24		3,716		3,521,940
West Corp., First Lien Term B Loan, 1 Month LIBOR + 4.000%		5.350	(c)		10/10/24		4,100		4,092,313

									7,614,253

Wireless 0.5%
Digicel International Finance Ltd., First Lien Initial Term B Loan, 1 Month LIBOR + 3.750%		5.080	(c)		05/27/24		2,400		2,403,000
Xplornet Communications, Inc. (Canada), Term B Loan, 3 Month LIBOR + 4.750%		6.083	(c)		09/09/21		572		577,485

									2,980,485

TOTAL BANK LOANS (cost $45,616,660)									45,961,906


CORPORATE BONDS 118.4%

Auto Manufacturers 0.3%
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		4.250			11/15/19		1,600		1,632,000

Auto Parts & Equipment 1.1%
American Axle & Manufacturing, Inc.,
Gtd. Notes		5.125			02/15/19		1,415		1,415,000
Gtd. Notes(aa)		7.750			11/15/19		2,500		2,728,125
IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, Cash coupon 4.125% or PIK 4.875%, 144A		4.125			09/15/21		2,200		2,235,222

									6,378,347

Banks 0.8%
CIT Group, Inc., Sr. Unsec’d. Notes(aa)		5.000			08/15/22		4,175		4,462,031

See Notes to Financial Statements.


12


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Beverages 0.2%
Cott Beverages, Inc. (Canada), Gtd. Notes		5.375	%		07/01/22		1,300	$	1,352,000

Building Materials 0.8%
Griffon Corp., Gtd. Notes		5.250			03/01/22		1,708		1,740,537
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A		5.125			02/15/21		675		695,162
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes		8.500			04/15/22		1,750		1,944,688

									4,380,387

Chemicals 6.3%
A. Schulman, Inc., Gtd. Notes		6.875			06/01/23		1,250		1,309,375
Ashland LLC, Gtd. Notes		4.750			08/15/22		1,650		1,720,125
CF Industries, Inc., Gtd. Notes(aa)		7.125			05/01/20		3,970		4,352,112
Chemours Co. (The),
Gtd. Notes(aa)		6.625			05/15/23		6,480		6,852,600
Gtd. Notes		7.000			05/15/25		1,035		1,132,031
Hexion, Inc., Sr. Sec’d. Notes, 144A(aa)		10.375			02/01/22		735		676,421
NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes, 144A(aa)		4.875			06/01/24		4,350		4,404,375
Platform Specialty Products Corp., Sr. Unsec’d. Notes, 144A		6.500			02/01/22		1,145		1,183,644
PQ Corp., Sr. Sec’d. Notes, 144A		6.750			11/15/22		800		862,000
PQ Corp./Eco Finance Corp., Gtd. Notes, 144A		8.500			11/01/22		555		580,669
Rain CII Carbon LLC/CII Carbon Corp., Sec’d. Notes, 144A(aa)		8.250			01/15/21		4,770		4,901,175
Tronox Finance LLC, Gtd. Notes, 144A(aa)		7.500			03/15/22		3,985		4,164,325
W.R. Grace & Co., Gtd. Notes, 144A(aa)		5.125			10/01/21		2,540		2,689,225

									34,828,077

Commercial Services 2.1%
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Gtd. Notes, 144A(aa)		6.375			08/01/23		4,450		4,583,500
Nielsen Co. Luxembourg SARL (The), Gtd. Notes, 144A		5.500			10/01/21		2,215		2,278,681
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes		4.500			10/01/20		325		328,656
Gtd. Notes, 144A		5.000			04/15/22		1,500		1,544,025
Service Corp. International, Sr. Unsec’d. Notes(aa)		7.625			10/01/18		2,603		2,710,374

									11,445,236

Computers 3.3%
Dell International LLC/EMC Corp., Gtd. Notes, 144A(aa)		5.875			06/15/21		5,150		5,356,024

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			13

Schedule of Investments (unaudited) (continued)

as of November 30, 2017


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Computers (cont’d.)
NCR Corp.,
Gtd. Notes		4.625	%		02/15/21		1,075	$	1,080,375
Gtd. Notes		5.000			07/15/22		1,882		1,910,230
Gtd. Notes(aa)		5.875			12/15/21		2,685		2,759,911
Gtd. Notes		6.375			12/15/23		1,850		1,949,438
Western Digital Corp.,
Gtd. Notes		10.500			04/01/24		1,694		1,967,581
Sr. Sec’d. Notes, 144A(aa)		7.375			04/01/23		2,850		3,099,375

									18,122,934

Distribution/Wholesale 0.1%
Global Partners LP/GLP Finance Corp., Gtd. Notes		7.000			06/15/23		500		512,500

Diversified Financial Services 2.8%
Alliance Data Systems Corp.,
Gtd. Notes, 144A		5.375			08/01/22		2,545		2,583,175
Gtd. Notes, 144A		6.375			04/01/20		2,500		2,517,500
FBM Finance, Inc., Sr. Sec’d. Notes, 144A		8.250			08/15/21		850		907,375
Navient Corp.,
Sr. Unsec’d. Notes(aa)		6.500			06/15/22		4,965		5,213,250
Sr. Unsec’d. Notes		6.625			07/26/21		525		555,188
Sr. Unsec’d. Notes, MTN		8.000			03/25/20		425		463,250
OneMain Financial Holdings LLC, Gtd. Notes, 144A(aa)		6.750			12/15/19		2,575		2,658,687
VFH Parent LLC/Orchestra Co-Issuer, Inc., Sec’d. Notes, 144A		6.750			06/15/22		325		340,844

									15,239,269

Electric 6.6%
AES Corp., Sr. Unsec’d. Notes		7.375			07/01/21		1,250		1,406,250
Calpine Corp.,
Sr. Sec’d. Notes, 144A		5.875			01/15/24		550		567,875
Sr. Unsec’d. Notes		5.375			01/15/23		1,375		1,369,844
Sr. Unsec’d. Notes		5.500			02/01/24		1,475		1,425,219
DPL, Inc.,
Sr. Unsec’d. Notes(aa)		6.750			10/01/19		3,160		3,310,100
Sr. Unsec’d. Notes(aa)		7.250			10/15/21		2,325		2,574,937
Dynegy, Inc.,
Gtd. Notes(aa)		7.375			11/01/22		8,925		9,538,594
Gtd. Notes		7.625			11/01/24		1,350		1,469,813
Gtd. Notes		8.034			02/02/24		775		817,625

See Notes to Financial Statements.


14


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Electric (cont’d.)
GenOn Energy, Inc.,
Sr. Unsec’d. Notes(d)		7.875	%		06/15/17		750	$	540,000
Sr. Unsec’d. Notes(d)		9.500			10/15/18		2,625		1,863,750
Sr. Unsec’d. Notes(d)		9.875			10/15/20		1,400		994,000
NRG Energy, Inc.,
Gtd. Notes(aa)		6.250			07/15/22		3,325		3,462,156
Gtd. Notes		6.250			05/01/24		2,575		2,723,062
Gtd. Notes(aa)		6.625			03/15/23		2,800		2,903,880
NRG REMA LLC, Series C, Pass-Through Certificates(aa)		9.681			07/02/26		1,100		742,170
Red Oak Power LLC, Series B, Sr. Sec’d. Notes		9.200			11/30/29		375		423,750

									36,133,025

Electronics 0.6%
Jabil, Inc.,
Sr. Unsec’d. Notes		5.625			12/15/20		690		736,575
Sr. Unsec’d. Notes(aa)		8.250			03/15/18		2,700		2,737,935

									3,474,510

Entertainment 6.2%
AMC Entertainment Holdings, Inc., Gtd. Notes(aa)		5.875			02/15/22		1,000		1,017,500
Carmike Cinemas, Inc, Sec’d. Notes, 144A(aa)		6.000			06/15/23		2,250		2,362,500
CCM Merger, Inc., Sr. Unsec’d. Notes, 144A (original cost $3,200,000; purchased 03/08/17)(aa)(f)		6.000			03/15/22		3,200		3,288,000
Churchill Downs, Inc., Gtd. Notes(aa)		5.375			12/15/21		4,740		4,870,350
Eldorado Resorts, Inc., Gtd. Notes		7.000			08/01/23		2,200		2,362,250
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes(aa)		4.375			11/01/18		3,175		3,206,750
International Game Technology PLC, Sr. Sec’d. Notes, 144A(aa)		6.250			02/15/22		3,150		3,437,437
Jacobs Entertainment, Inc., Sec’d. Notes, 144A		7.875			02/01/24		600		645,000
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		2,662,875
Scientific Games International, Inc.,
Gtd. Notes(aa)		6.625			05/15/21		1,975		2,034,250
Gtd. Notes		10.000			12/01/22		500		550,625
Sr. Sec’d. Notes, 144A(aa)		7.000			01/01/22		2,925		3,085,875

									34,073,412

Environmental Control 0.5%
Clean Harbors, Inc., Gtd. Notes(aa)		5.125			06/01/21		2,600		2,632,500

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			15

Schedule of Investments (unaudited) (continued)

as of November 30, 2017


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Food 2.5%
Hearthside Group Holdings LLC/Hearthside Finance Co., Gtd. Notes, 144A(aa)		6.500	%		05/01/22		925	$	949,281
JBS Investments GmbH (Brazil), Gtd. Notes, 144A		7.750			10/28/20		1,500		1,537,500
JBS USA LUX SA/JBS USA Finance, Inc. (Brazil),
Gtd. Notes, 144A(aa)		7.250			06/01/21		4,600		4,700,648
Gtd. Notes, 144A		7.250			06/01/21		1,050		1,072,974
Gtd. Notes, 144A		8.250			02/01/20		275		276,719
Shearer’s Foods LLC/Chip Finance Corp., Sr. Sec’d. Notes, 144A(aa)		9.000			11/01/19		3,325		3,399,813
SUPERVALU, Inc.,
Sr. Unsec’d. Notes		6.750			06/01/21		1,700		1,644,750
Sr. Unsec’d. Notes		7.750			11/15/22		225		218,250

									13,799,935

Forest Products & Paper 0.8%
Cascades, Inc. (Canada), Gtd. Notes, 144A		5.500			07/15/22		1,982		2,043,938
Mercer International, Inc. (Canada), Sr. Unsec’d. Notes		7.750			12/01/22		2,360		2,501,600

									4,545,538

Hand/Machine Tools 0.1%
Apex Tool Group LLC, Gtd. Notes, 144A		7.000			02/01/21		850		805,375

Healthcare-Products 0.7%
Avantor, Inc., Sr. Sec’d. Notes, 144A		6.000			10/01/24		375		375,234
Mallinckrodt International Finance SA/Mallinckrodt CB LLC,
Gtd. Notes, 144A(aa)		4.875			04/15/20		2,460		2,373,900
Gtd. Notes, 144A		5.750			08/01/22		1,540		1,420,650

									4,169,784

Healthcare-Services 9.2%
Acadia Healthcare Co., Inc.,
Gtd. Notes		5.125			07/01/22		500		499,445
Gtd. Notes		5.625			02/15/23		1,575		1,582,875
Centene Corp., Sr. Unsec’d. Notes		5.625			02/15/21		2,375		2,452,188
CHS/Community Health Systems, Inc.,
Gtd. Notes		6.875			02/01/22		2,175		1,310,438
Gtd. Notes		7.125			07/15/20		1,375		1,072,500
Gtd. Notes(aa)		8.000			11/15/19		3,950		3,540,187
Sr. Sec’d. Notes		6.250			03/31/23		1,600		1,496,000

See Notes to Financial Statements.


16


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Healthcare-Services (cont’d.)
HCA Healthcare, Inc., Sr. Unsec’d. Notes(aa)		6.250	%		02/15/21		1,750	$	1,874,688
HCA, Inc.,
Gtd. Notes		5.875			05/01/23		100		106,000
Gtd. Notes		7.500			02/15/22		1,225		1,381,188
Sr. Sec’d. Notes(aa)		3.750			03/15/19		3,075		3,113,437
Sr. Sec’d. Notes		4.250			10/15/19		1,625		1,667,656
Kindred Healthcare, Inc., Gtd. Notes(aa)		8.000			01/15/20		5,775		5,818,312
LifePoint Health, Inc., Gtd. Notes		5.500			12/01/21		3,125		3,160,156
MEDNAX, Inc., Gtd. Notes, 144A		5.250			12/01/23		500		512,500
Molina Healthcare, Inc., Gtd. Notes(aa)		5.375			11/15/22		2,250		2,351,250
Select Medical Corp., Gtd. Notes(aa)		6.375			06/01/21		2,500		2,565,625
Surgery Center Holdings, Inc., Gtd. Notes, 144A		8.875			04/15/21		2,450		2,468,375
Tenet Healthcare Corp.,
Sr. Sec’d. Notes		4.375			10/01/21		175		175,000
Sr. Sec’d. Notes		4.750			06/01/20		1,525		1,555,958
Sr. Sec’d. Notes, 144A(aa)		4.625			07/15/24		3,375		3,324,375
Sr. Unsec’d. Notes		6.750			02/01/20		475		479,750
Sr. Unsec’d. Notes		6.750			06/15/23		4,775		4,464,529
Sr. Unsec’d. Notes		8.125			04/01/22		2,150		2,128,500
Universal Health Services, Inc., Sr. Sec’d. Notes, 144A		4.750			08/01/22		1,325		1,358,125

									50,459,057

Home Builders 9.0%
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unsec’d. Notes, 144A(aa)		6.875			02/15/21		3,225		3,297,562
AV Homes, Inc., Gtd. Notes		6.625			05/15/22		1,475		1,543,278
Beazer Homes USA, Inc.,
Gtd. Notes		5.750			06/15/19		717		754,643
Gtd. Notes(aa)		8.750			03/15/22		2,800		3,069,500
Brookfield Residential Properties, Inc. (Canada), Gtd. Notes, 144A(aa)		6.500			12/15/20		2,765		2,816,844
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A		6.125			07/01/22		750		783,038
CalAtlantic Group, Inc.,
Gtd. Notes		6.250			12/15/21		350		385,000
Gtd. Notes(aa)		8.375			05/15/18		4,200		4,300,800
KB Home,
Gtd. Notes(aa)		4.750			05/15/19		3,609		3,685,691
Gtd. Notes(aa)		7.250			06/15/18		2,000		2,047,500
Lennar Corp.,
Gtd. Notes(aa)		4.125			01/15/22		2,600		2,658,500
Gtd. Notes		4.500			11/15/19		1,000		1,026,250

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			17

Schedule of Investments (unaudited) (continued)

as of November 30, 2017


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Home Builders (cont’d.)
M/I Homes, Inc., Gtd. Notes(aa)		6.750	%		01/15/21		3,175	$	3,294,062
Mattamy Group Corp. (Canada), Sr. Unsec’d. Notes, 144A		6.875			12/15/23		1,225		1,286,311
Meritage Homes Corp., Gtd. Notes(aa)		4.500			03/01/18		3,900		3,909,750
New Home Co. Inc., (The), Gtd. Notes		7.250			04/01/22		1,525		1,578,375
PulteGroup, Inc., Gtd. Notes		4.250			03/01/21		1,850		1,918,635
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A(aa)		5.250			04/15/21		4,300		4,379,894
Gtd. Notes, 144A		5.625			03/01/24		700		728,000
TRI Pointe Group, Inc., Gtd. Notes		4.875			07/01/21		2,400		2,514,000
William Lyon Homes, Inc.,
Gtd. Notes(aa)		5.750			04/15/19		2,950		2,972,125
Gtd. Notes		7.000			08/15/22		400		413,000

									49,362,758

Internet 0.5%
TIBCO Software, Inc., Sr. Unsec’d. Notes, 144A		11.375			12/01/21		2,500		2,718,750

Iron/Steel 2.3%
ArcelorMittal (Luxembourg), Sr. Unsec’d. Notes		6.125			06/01/18		7,200		7,336,800
BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC (Australia), Gtd. Notes, 144A(aa)		6.500			05/15/21		3,405		3,549,712
Signode Industrial Group LUX SA/Signode Industrial Group US, Inc., Gtd. Notes, 144A		6.375			05/01/22		1,950		2,006,063

									12,892,575

Leisure Time 0.2%
NCL Corp. Ltd., Sr. Unsec’d. Notes, 144A		4.750			12/15/21		1,125		1,164,375

Lodging 4.4%
Boyd Gaming Corp., Gtd. Notes		6.875			05/15/23		300		319,500
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Properties, Sr. Sec’d. Notes		8.000			10/01/20		10,700		10,940,750
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp.,
Sec’d. Notes, 144A		10.250			11/15/22		975		1,071,281
Sr. Sec’d. Notes, 144A		6.750			11/15/21		2,125		2,244,531
MGM Resorts International, Gtd. Notes(aa)		8.625			02/01/19		8,880		9,445,656

									24,021,718

See Notes to Financial Statements.


18


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Machinery-Diversified 1.1%
Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A(aa)		8.750	%		12/15/19		1,425	$	1,464,188
CNH Industrial Capital LLC, Gtd. Notes(aa)		4.375			11/06/20		1,900		1,978,850
Zebra Technologies Corp., Sr. Unsec’d. Notes		7.250			10/15/22		2,584		2,724,828

									6,167,866

Media 14.7%
AMC Networks, Inc., Gtd. Notes		4.750			12/15/22		1,203		1,231,090
Cablevision Systems Corp., Sr. Unsec’d. Notes(aa)		7.750			04/15/18		2,250		2,289,375
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes		5.250			03/15/21		150		153,375
Sr. Unsec’d. Notes(aa)		5.250			09/30/22		10,455		10,742,512
Sr. Unsec’d. Notes, 144A		4.000			03/01/23		1,690		1,688,944
Cequel Communications Holdings I LLC/Cequel Capital Corp.,
Sr. Unsec’d. Notes, 144A(aa)		5.125			12/15/21		4,595		4,612,231
Sr. Unsec’d. Notes, 144A		5.125			12/15/21		2,160		2,161,339
Sr. Unsec’d. Notes, 144A(aa)		6.375			09/15/20		6,586		6,676,557
Clear Channel Worldwide Holdings, Inc.,
Series A, Gtd. Notes(aa)		6.500			11/15/22		3,090		3,109,312
Series A, Gtd. Notes		7.625			03/15/20		465		453,375
Series B, Gtd. Notes		6.500			11/15/22		1,385		1,405,775
Series B, Gtd. Notes		7.625			03/15/20		985		975,150
Cogeco Communications, Inc. (Canada), Gtd. Notes, 144A(aa)		4.875			05/01/20		2,500		2,531,250
CSC Holdings LLC, Sr. Unsec’d. Notes		7.875			02/15/18		880		886,600
DISH DBS Corp.,
Gtd. Notes(aa)		5.125			05/01/20		2,875		2,954,063
Gtd. Notes(aa)		6.750			06/01/21		5,643		6,009,795
Mediacom Broadband LLC/Mediacom Broadband Corp.,
Sr. Unsec’d. Notes		5.500			04/15/21		1,800		1,827,000
Sr. Unsec’d. Notes(aa)		6.375			04/01/23		6,819		7,040,617
Midcontinent Communications/Midcontinent Finance Corp., Gtd. Notes, 144A		6.875			08/15/23		250		265,625
Nexstar Broadcasting, Inc., Gtd. Notes, 144A		6.125			02/15/22		1,035		1,071,225
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes		5.750			01/15/23		400		427,000
SFR Group SA (France), Sr. Sec’d. Notes, 144A(aa)		6.000			05/15/22		3,500		3,528,455
Sinclair Television Group, Inc.,
Gtd. Notes(aa)		5.375			04/01/21		2,585		2,643,163
Gtd. Notes		6.125			10/01/22		2,975		3,086,563
Sirius XM Radio, Inc., Gtd. Notes, 144A		3.875			08/01/22		450		453,465

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			19

Schedule of Investments (unaudited) (continued)

as of November 30, 2017


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Media (cont’d.)
TEGNA, Inc.,
Gtd. Notes		5.125	%		10/15/19		346	$	350,758
Gtd. Notes, 144A(aa)		4.875			09/15/21		3,030		3,090,600
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		4,946,800
Videotron Ltd. (Canada), Gtd. Notes		5.000			07/15/22		345		363,544

									81,101,458

Mining 3.5%
First Quantum Minerals Ltd. (Zambia), Gtd. Notes, 144A		7.000			02/15/21		1,365		1,416,188
FMG Resources August 2006 Pty Ltd. (Australia), Sr. Sec’d. Notes, 144A(aa)		9.750			03/01/22		4,164		4,632,450
Freeport-McMoRan, Inc.,
Gtd. Notes		2.375			03/15/18		1,419		1,417,226
Gtd. Notes		3.550			03/01/22		650		641,063
Gtd. Notes		6.500			11/15/20		2,000		2,039,600
International Wire Group, Inc., Sec’d. Notes, 144A		10.750			08/01/21		1,500		1,368,750
Kinross Gold Corp. (Canada), Gtd. Notes		5.125			09/01/21		840		886,200
New Gold, Inc. (Canada), Gtd. Notes, 144A(aa)		6.250			11/15/22		3,505		3,618,912
Teck Resources Ltd. (Canada), Gtd. Notes(aa)		4.500			01/15/21		3,124		3,229,435

									19,249,824

Miscellaneous Manufacturing 2.7%
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A		7.500			12/01/24		6,850		6,907,540
Sr. Unsec’d. Notes, 144A(aa)		8.750			12/01/21		6,525		7,218,347
EnPro Industries, Inc., Gtd. Notes		5.875			09/15/22		500		520,000

									14,645,887

Oil & Gas 6.8%
Antero Resources Corp.,
Gtd. Notes		5.125			12/01/22		275		281,875
Gtd. Notes		5.375			11/01/21		925		948,125
Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsec’d. Notes, 144A(aa)		10.000			04/01/22		4,558		4,956,825
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A(aa)		10.750			02/15/20		3,000		3,172,500
CNX Resources Corp.,
Gtd. Notes(aa)		5.875			04/15/22		5,008		5,120,680
Gtd. Notes		8.000			04/01/23		814		868,945

See Notes to Financial Statements.


20


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Oil & Gas (cont’d.)
Endeavor Energy Resources LP/EER Finance, Inc.,
Sr. Unsec’d. Notes, 144A		5.500	%		01/30/26		1,925	$	1,949,063
Sr. Unsec’d. Notes, 144A		7.000			08/15/21		2,500		2,587,500
Sr. Unsec’d. Notes, 144A		8.125			09/15/23		700		752,500
Extraction Oil & Gas, Inc./Extraction Finance Corp., Gtd. Notes, 144A(aa)		7.875			07/15/21		3,275		3,463,312
MEG Energy Corp. (Canada), Gtd. Notes, 144A		6.375			01/30/23		3,750		3,435,937
Noble Holding International Ltd. (United Kingdom), Gtd. Notes		7.750			01/15/24		950		821,750
Range Resources Corp., Gtd. Notes		5.875			07/01/22		1,000		1,027,500
RSP Permian, Inc., Gtd. Notes		6.625			10/01/22		1,375		1,447,188
Sunoco LP/Sunoco Finance Corp.,
Gtd. Notes		5.500			08/01/20		850		873,800
Gtd. Notes(aa)		6.250			04/15/21		2,750		2,853,125
Teine Energy Ltd. (Canada), Sr. Unsec’d. Notes, 144A		6.875			09/30/22		1,500		1,545,000
WPX Energy, Inc.,
Sr. Unsec’d. Notes		6.000			01/15/22		225		231,750
Sr. Unsec’d. Notes		7.500			08/01/20		1,021		1,107,785

									37,445,160

Packaging & Containers 3.5%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Sr. Sec’d. Notes, 144A		4.250			09/15/22		2,300		2,351,463
Coveris Holdings SA (Luxembourg), Gtd. Notes, 144A(aa)		7.875			11/01/19		4,375		4,385,937
Greif, Inc., Sr. Unsec’d. Notes(aa)		7.750			08/01/19		6,050		6,503,750
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer LU, Sr. Sec’d. Notes(aa)		5.750			10/15/20		4,775		4,855,578
Sealed Air Corp., Gtd. Notes, 144A(aa)		6.500			12/01/20		1,045		1,149,500

									19,246,228

Pharmaceuticals 1.4%
Allergan, Inc., Gtd. Notes(aa)		1.350			03/15/18		2,240		2,236,959
Endo Finance LLC, Gtd. Notes, 144A		5.750			01/15/22		175		145,687
Endo Finance LLC/Endo Finco, Inc.,
Gtd. Notes, 144A		5.375			01/15/23		1,000		780,000
Gtd. Notes, 144A		7.250			01/15/22		1,500		1,305,000
Valeant Pharmaceuticals International, Inc.,
Gtd. Notes, 144A		5.375			03/15/20		2,250		2,227,500
Gtd. Notes, 144A		7.500			07/15/21		150		148,125
Sr. Sec’d. Notes, 144A		6.500			03/15/22		775		813,750

									7,657,021

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			21

Schedule of Investments (unaudited) (continued)

as of November 30, 2017


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Pipelines 2.0%
DCP Midstream Operating LP, Gtd. Notes, 144A		4.750	%		09/30/21		1,000	$	1,027,500
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes		6.000			05/15/23		3,050		3,095,750
NGPL PipeCo LLC, Sr. Unsec’d. Notes, 144A		4.375			08/15/22		1,200		1,230,000
Rockies Express Pipeline LLC,
Sr. Unsec’d. Notes, 144A		5.625			04/15/20		1,600		1,676,000
Sr. Unsec’d. Notes, 144A(aa)		6.000			01/15/19		2,150		2,219,230
Sr. Unsec’d. Notes, 144A		6.850			07/15/18		1,900		1,935,625

									11,184,105

Real Estate 1.0%
Crescent Communities LLC/Crescent Venture, Inc., Sr. Sec’d. Notes, 144A		8.875			10/15/21		2,037		2,164,312
Greystar Real Estate Partners LLC, Sr. Sec’d. Notes, 144A		8.250			12/01/22		1,693		1,797,763
Realogy Group LLC/Realogy Co-Issuer Corp., Gtd. Notes, 144A		5.250			12/01/21		1,425		1,482,000

									5,444,075

Real Estate Investment Trusts (REITs) 1.9%
CyrusOne LP/CyrusOne Finance Corp., Gtd. Notes, 144A		5.000			03/15/24		700		728,000
FelCor Lodging LP, Gtd. Notes		6.000			06/01/25		2,150		2,284,375
RHP Hotel Properties LP/RHP Finance Corp.,
Gtd. Notes		5.000			04/15/21		1,150		1,170,125
Gtd. Notes(aa)		5.000			04/15/23		500		513,750
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes(aa)		5.500			02/01/21		2,625		2,707,031
SBA Communications Corp.,
Sr. Unsec’d. Notes		4.875			07/15/22		500		517,500
Sr. Unsec’d. Notes, 144A		4.000			10/01/22		2,400		2,412,000

									10,332,781

Retail 5.2%
CEC Entertainment, Inc., Gtd. Notes		8.000			02/15/22		800		764,000
Claire’s Stores, Inc.,
Sr. Sec’d. Notes, 144A		6.125			03/15/20		400		224,000
Sr. Sec’d. Notes, 144A		9.000			03/15/19		1,700		1,034,875
Ferrellgas LP/Ferrellgas Finance Corp.,
Gtd. Notes		6.750			06/15/23		725		672,438
Sr. Unsec’d. Notes		6.750			01/15/22		675		635,344

See Notes to Financial Statements.


22


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Retail (cont’d.)
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.,
Sr. Unsec’d. Notes		8.625	%		06/15/20		900	$	796,500
Sr. Unsec’d. Notes		8.625			06/15/20		2,350		2,079,750
Hot Topic, Inc., Sr. Sec’d. Notes, 144A		9.250			06/15/21		1,530		1,139,850
L Brands, Inc.,
Gtd. Notes		5.625			10/15/23		1,545		1,662,806
Gtd. Notes(aa)		6.625			04/01/21		3,325		3,657,866
Gtd. Notes		7.000			05/01/20		1,175		1,286,625
Gtd. Notes		8.500			06/15/19		975		1,059,094
Men’s Wearhouse, Inc. (The), Gtd. Notes		7.000			07/01/22		825		793,031
Neiman Marcus Group Ltd. LLC, Gtd. Notes, 144A		8.000			10/15/21		1,312		747,840
PetSmart, Inc., Gtd. Notes, 144A(aa)		7.125			03/15/23		3,375		2,463,750
PF Chang’s China Bistro, Inc., Gtd. Notes, 144A		10.250			06/30/20		1,100		968,000
Rite Aid Corp.,
Gtd. Notes		9.250			03/15/20		1,200		1,221,000
Gtd. Notes, 144A(aa)		6.125			04/01/23		3,500		3,237,500
Ruby Tuesday, Inc., Gtd. Notes		7.625			05/15/20		1,125		1,144,687
Tops Holding LLC/Tops Markets II Corp., Sr. Sec’d. Notes, 144A		8.000			06/15/22		725		413,250
Yum! Brands, Inc., Sr. Unsec’d. Notes(aa)		3.875			11/01/20		2,400		2,448,000

									28,450,206

Semiconductors 1.2%
NXP BV/NXP Funding LLC (Netherlands),
Gtd. Notes, 144A		3.875			09/01/22		1,500		1,528,125
Gtd. Notes, 144A(aa)		4.125			06/15/20		2,900		2,980,656
Gtd. Notes, 144A		4.125			06/01/21		2,200		2,261,864

									6,770,645

Software 3.9%
BMC Software Finance, Inc., Sr. Unsec’d. Notes, 144A		8.125			07/15/21		2,735		2,768,340
First Data Corp., Gtd. Notes, 144A(aa)		7.000			12/01/23		9,250		9,805,000
Infor US, Inc., Sr. Sec’d. Notes, 144A(aa)		5.750			08/15/20		5,340		5,491,869
Nuance Communications, Inc., Gtd. Notes, 144A(aa)		5.375			08/15/20		3,380		3,427,320

									21,492,529

Telecommunications 6.9%
Aegis Merger Sub, Inc., Sr. Unsec’d. Notes, 144A		10.250			02/15/23		2,000		2,175,000
Anixter, Inc., Gtd. Notes(aa)		5.625			05/01/19		1,500		1,552,500
CenturyLink, Inc., Series S, Sr. Unsec’d. Notes(aa)		6.450			06/15/21		4,825		4,800,875

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			23

Schedule of Investments (unaudited) (continued)

as of November 30, 2017


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)

Telecommunications (cont’d.)
CommScope, Inc., Gtd. Notes, 144A(aa)		5.000	%		06/15/21		5,940	$	6,087,757
Frontier Communications Corp.,
Sr. Unsec’d. Notes		6.250			09/15/21		475		351,500
Sr. Unsec’d. Notes		8.125			10/01/18		1,775		1,761,688
Sr. Unsec’d. Notes		8.500			04/15/20		235		214,878
Sr. Unsec’d. Notes		9.250			07/01/21		750		603,285
Intelsat Jackson Holdings SA (Luxembourg), Sr. Sec’d. Notes, 144A		9.500			09/30/22		590		679,975
Level 3 Financing, Inc., Gtd. Notes(aa)		6.125			01/15/21		6,022		6,127,385
Qwest Capital Funding, Inc., Gtd. Notes		6.500			11/15/18		1,000		1,037,050
Sprint Corp.,
Gtd. Notes		7.250			09/15/21		2,390		2,545,350
Gtd. Notes(aa)		7.875			09/15/23		4,635		4,994,212
T-Mobile USA, Inc.,
Gtd. Notes		6.000			03/01/23		875		918,028
Gtd. Notes		6.125			01/15/22		1,000		1,035,000
Gtd. Notes		6.625			04/01/23		2,750		2,877,188

									37,761,671

Textiles 0.7%
Springs Industries, Inc., Sr. Sec’d. Notes(aa)		6.250			06/01/21		3,875		3,962,188

Transportation 0.2%
XPO Logistics, Inc., Gtd. Notes, 144A		6.500			06/15/22		925		966,625

Trucking & Leasing 0.3%
DAE Funding LLC (United Arab Emirates), Gtd. Notes, 144A		4.500			08/01/22		1,475		1,467,625

TOTAL CORPORATE BONDS (cost $654,061,171)									651,951,987


						Shares

COMMON STOCK 0.0%

Oil, Gas & Consumable Fuels
Frontera Energy Corp. (Colombia)* (cost $43,940)							1,033		30,050

TOTAL LONG-TERM INVESTMENTS (cost $699,721,771)									697,943,943

See Notes to Financial Statements.


24


Description	Shares		Value
SHORT-TERM INVESTMENT 2.8%

AFFILIATED MUTUAL FUND
Prudential Investment Portfolios 2 - Prudential Core Ultra Short Bond Fund (cost $15,672,673)(w)		15,672,673	$	15,672,673


TOTAL INVESTMENTS 129.6% (cost $715,394,444)				713,616,616
Liabilities in excess of other assets(z) (29.6)%				(163,091,519	)

NET ASSETS 100.0%			$	550,525,097

The following abbreviations are used in the semiannual report:

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.

EUR—Euro

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 $4,845,721 and 0.9% of net assets.

(aa)

Represents security, or a portion thereof, with aggregate value of $367,419,096 segregated as collateral for amount of $170,000,000 borrowed and outstanding as of November 30, 2017. Of such securities, securities in the amount of $5,715,643 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 November 30, 2017.

(d)	Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity.

(f)	Indicates a restricted security; the original cost of such security is $3,200,000. The value of $3,288,000 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.

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

Forward foreign currency exchange contracts outstanding at November 30, 2017:


Purchase Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
OTC forward foreign currency exchange contracts:
Euro,
Expiring 12/04/17	Citigroup Global Markets	EUR	217	$	259,378	$	258,642	$	(736	)
Expiring 12/04/17	Goldman Sachs & Co.	EUR	217		259,182		258,641		(541	)

				$	518,560	$	517,283		(1,277	)

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			25

Schedule of Investments (unaudited) (continued)

as of November 30, 2017

Forward foreign currency exchange contracts outstanding at November 30, 2017 (continued):



Sale Contracts	Counterparty	Notional Amount (000)		Value at Settlement Date		Current Value		Unrealized Appreciation (Depreciation)
OTC forward foreign currency exchange contracts:
Euro,
Expiring 12/04/17	Citigroup Global Markets	EUR	217	$	255,351	$	258,642	$	(3,291	)
Expiring 12/04/17	Goldman Sachs & Co.	EUR	217		255,022		258,642		(3,620	)
Expiring 02/02/18	Citigroup Global Markets	EUR	217		260,411		259,692		719
Expiring 02/02/18	Goldman Sachs & Co.	EUR	217		260,214		259,692		522

				$	1,030,998	$	1,036,668		(5,670	)

								$	(6,947	)

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 November 30, 2017 in valuing such portfolio securities:


	Level 1		Level 2			Level 3
Investments in Securities
Bank Loans	$	—	$	41,116,185		$	4,845,721
Corporate Bonds		—		651,951,987			—
Common Stock		30,050		—			—
Affiliated Mutual Fund		15,672,673		—			—
Other Financial Instruments*
OTC Forward Foreign Currency Exchange Contracts		—		(6,947	)		—

Total	$	15,702,723	$	693,061,225		$	4,845,721

Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

During the period, there were no transfers between Level 1, Level 2 and Level 3 to report.

See Notes to Financial Statements.


26

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of November 30, 2017 were as follows:


Media	14.7	%
Healthcare-Services	9.2
Home Builders	9.0
Telecommunications	8.3
Oil & Gas	6.8
Electric	6.6
Chemicals	6.3
Retail	6.3
Entertainment	6.2
Software	5.0
Lodging	4.4
Packaging & Containers	3.8
Mining	3.5
Computers	3.3
Commercial Services	3.1
Food	3.1
Affiliated Mutual Fund	2.8
Diversified Financial Services	2.8
Miscellaneous Manufacturing	2.7
Iron/Steel	2.3
Pipelines	2.0
Real Estate Investment Trusts (REITs)	1.9
Technology	1.8
Pharmaceuticals	1.4
Semiconductors	1.2
Auto Parts & Equipment	1.1
Machinery-Diversified	1.1	%
Real Estate	1.0
Forest Products & Paper	0.8
Banks	0.8
Building Materials	0.8
Healthcare-Products	0.7
Textiles	0.7
Electronics	0.6
Wireless	0.5
Internet	0.5
Environmental Control	0.5
Non-Captive Finance	0.4
Auto Manufacturers	0.3
Trucking & Leasing	0.3
Beverages	0.2
Leisure Time	0.2
Transportation	0.2
Aerospace & Defense	0.2
Hand/Machine Tools	0.1
Distribution/Wholesale	0.1
Oil, Gas & Consumable Fuels	0.0	*

	129.6
Liabilities in excess of other assets	(29.6	)

	100.0	%

*	Less than +/- 0.05%

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			27

Schedule of Investments (unaudited) (continued)

as of November 30, 2017

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Fund invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is foreign exchange contracts risk. The effect of such derivative instruments on the Fund’s’ financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

Fair values of derivative instruments as of November 30, 2017 as presented in the Statement of Assets and Liabilities:

Derivatives not accounted

for as hedging instruments,

carried at fair value

Asset Derivatives

Liability Derivatives

Balance Sheet
Location

Fair
Value

Balance Sheet
Location

Fair
Value

Foreign exchange contracts

Unrealized appreciation on OTC forward foreign currency exchange contracts

1,241

Unrealized depreciation on OTC forward foreign currency exchange contracts

8,188

The effects of derivative instruments on the Statement of Operations for the six months ended November 30, 2017 are as follows:


Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Forward Currency Contracts
Foreign exchange contracts	$	(299,997	)


Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Forward Currency Contracts
Foreign exchange contracts	$	108,685

See Notes to Financial Statements.


28

For the six months ended November 30, 2017, the Fund’s average volume of derivative activities is as follows:


Forward Foreign Currency Exchange Contracts—Purchased(1)		Forward Foreign Currency Exchange Contracts—Sold(1)
$	3,396,940	$	5,171,607

(1)	Value at Settlement Date.

Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:

The Fund invested in OTC derivatives and entered into financial instruments/transactions during the reporting period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for OTC derivatives and financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below.

Offsetting of financial instrument/transaction assets and liabilities:


Description	Gross Market Value of Recognized Assets/(Liabilities)		Collateral Pledged/(Received)(2)			Net Amount
Securities on Loan	$	5,715,643	$	(5,715,643	)	$	—

Offsetting of OTC derivative assets and liabilities:


Counterparty	Gross Amounts of Recognized Assets(1)		Gross Amounts of Recognized Liabilities(1)			Net Amounts of Recognized Assets/ (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount
Citigroup Global Markets	$	719	$	(4,027	)	$	(3,308	)	$	—	$	(3,308	)
Goldman Sachs & Co.		522		(4,161	)		(3,639	)		—		(3,639	)

	$	1,241	$	(8,188	)	$	(6,947	)	$	—	$	(6,947	)

(1)	Includes unrealized appreciation/(depreciation) on swaps and forwards, premiums paid/(received) on swap agreements and market value of purchased and written options, as represented on the Statement of Assets and Liabilities.

(2)	Collateral amount disclosed by the Fund is limited to the market value of financial instruments/transactions and the Fund’s OTC derivative exposure by counterparty.

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			29

Statement of Assets & Liabilities (unaudited)

as of November 30, 2017


Assets
Investments at value, including securities on loan of $5,715,643
Unaffiliated investments (cost $699,721,771)	$	697,943,943
Affiliated investments (cost $15,672,673)		15,672,673
Cash		30,849
Foreign currency, at value (cost $475,277)		510,347
Dividends and interest receivable		11,273,481
Receivable for investments sold		750,139
Unrealized appreciation on OTC forward foreign currency exchange contracts		1,241
Prepaid expenses		4,436

Total Assets		726,187,109


Liabilities
Loan payable		170,000,000
Payable for investments purchased		4,670,862
Management fee payable		474,278
Loan interest payable		301,688
Accrued expenses and other liabilities		103,471
Dividends payable		57,732
Deferred directors’ fees		45,793
Unrealized depreciation on OTC forward foreign currency exchange contracts		8,188

Total Liabilities		175,662,012


Net Assets	$	550,525,097


Net assets were comprised of:
Common stock, at par	$	33,257
Paid-in capital in excess of par		633,874,484

		633,907,741
Distributions in excess of net investment income		(631,279	)
Accumulated net realized loss on investment and foreign currency transactions		(81,001,660	)
Net unrealized depreciation on investments and foreign currencies		(1,749,705	)

Net assets, November 30, 2017	$	550,525,097

Net asset value per share ($550,525,097 ÷ 33,256,724 shares of common stock issued and outstanding)	$	16.55

See Notes to Financial Statements.


30

Statement of Operations (unaudited)

Six Months Ended November 30, 2017


Net Investment Income (Loss)
Income
Interest income	$	20,162,044
Affiliated dividend income		108,297
Other income		39,157

Total income		20,309,498


Expenses
Management fee		2,941,698
Loan interest expense		1,773,700
Custodian and accounting fees		63,318
Shareholders’ reports		35,075
Legal fees and expenses		27,674
Audit fee		22,030
Directors’ fees		20,808
Registration fees		17,047
Transfer agent’s fees and expenses		10,539
Miscellaneous		8,136

Total expenses		4,920,025

Net investment income (loss)		15,389,473


Realized And Unrealized Gain (Loss) On Investments And Foreign Currency Transactions
Net realized gain (loss) on:
Investment transactions		680,566
Forward currency contract transactions		(299,997	)
Foreign currency transactions		(729,074	)

		(348,505	)

Net change in unrealized appreciation (depreciation) on:
Investments		(6,252,377	)
Forward currency contracts		108,685
Foreign currencies		16,094

		(6,127,598	)

Net gain (loss) on investment and foreign currency transactions		(6,476,103	)

Net Increase (Decrease) In Net Assets Resulting From Operations	$	8,913,370

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			31

Statement of Changes in Net Assets (unaudited)


	Six Months Ended November 30, 2017			Year Ended May 31, 2017
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	15,389,473		$	32,671,530
Net realized gain (loss) on investment and foreign currency transactions		(348,505	)		(425,244	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(6,127,598	)		11,073,826

Net increase (decrease) in net assets resulting from operations		8,913,370			43,320,112

Dividends from net investment income		(18,457,482	)		(41,654,047	)

Total increase (decrease)		(9,544,112	)		1,666,065

Net Assets:
Beginning of period		560,069,209			558,403,144

End of period(a)	$	550,525,097		$	560,069,209

(a) Includes undistributed/(distributions in excess of) net investment income of:	$	(631,279	)	$	2,436,730

See Notes to Financial Statements.


32

Statement of Cash Flows

For Six Months Ended November 30, 2017


Increase (Decrease) in Cash
Cash flows from operating activities:
Interest and dividends paid (excluding discount and premium amortization of $(2,273,669))	$	22,760,067
Operating expenses paid		(3,137,576	)
Loan interest paid		(1,777,598	)
Purchases of long-term portfolio investments		(247,214,323	)
Proceeds from disposition of long-term portfolio investments		263,586,170
Net purchases and sales of short-term investments		3,719,387
Increase in receivable for investments sold		(750,139	)
Decrease in payable for investments purchased		(8,167,347	)
Increase in prepaid expenses		(3,182	)
Net cash received from foreign currency transactions		(289,243	)
Effect of exchange rate changes		16,093

Net cash provided from operating activities		28,742,309


Cash flows from financing activities:
Cash dividends paid		(18,477,793	)
Decrease in borrowings		(10,000,000	)

Net cash used in financing activities		(28,477,793	)

Net increase (decrease) in cash		264,516
Cash at beginning of period, including foreign currency		276,680

Cash at end of period, including foreign currency	$	541,196


Reconciliation of Net Increase (Decrease) in Net Assets to Net Cash Provided from Operating Activities
Net increase in net assets resulting from operations	$	8,913,370

Increase in investments		22,364,903
Net realized loss on investment and foreign currency transactions		348,505
Decrease in net unrealized depreciation on investments and foreign currencies		6,127,598
Net cash paid from foreign currency transactions		(289,243	)
Effect of exchange rate changes		16,093
Decrease in interest and dividends receivable		176,900
Increase in receivable for investments sold		(750,139	)
Increase in prepaid expenses		(3,182	)
Decrease in payable for investments purchased		(8,167,347	)
Decrease in loan interest payable		(3,898	)
Increase in management fee payable and accrued expenses and other liabilities		3,570
Increase in deferred directors’ fees		5,179

Total adjustments		19,828,939

Net cash provided from operating activities	$	28,742,309

See Notes to Financial Statements.


Prudential Short Duration High Yield Fund, Inc.			33

Notes to Financial Statements (unaudited)

Prudential Short Duration High Yield Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified, closed-end management investment company. The Fund was incorporated as a Maryland corporation on November 14, 2011.

The investment objective of the Fund is to provide a high level of current income.

1. Accounting Policies

The Fund follows investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services—Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Fund consistently follows such policies in the preparation of its financial statements.

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


34

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 recent transaction prices for identical or comparable securities. 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 are classified as Level 3 in the fair value hierarchy.

OTC derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an approved independent third-party vendor source. The Fund utilizes the market approach when quoted prices in broker-dealer markets are available but also includes consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing OTC derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated OTC derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain OTC derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

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


Prudential Short Duration High Yield Fund, Inc.			35

Notes to Financial Statements (unaudited) (continued)

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 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.

Restricted and Illiquid Securities: Subject to guidelines adopted by the Board, the Fund may invest without limit in illiquid securities, including those which are restricted as to disposition under securities law (“restricted securities”). Restricted securities are valued pursuant to the valuation procedures noted above. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, cannot be sold within seven days in the ordinary course of business at approximately the amount at which the Fund has valued the investment. Therefore, the Fund may find it difficult to sell illiquid securities at the time considered most advantageous by its Subadviser and may incur expenses that would not be incurred in the sale of securities that were freely marketable. Certain securities that would otherwise be considered illiquid because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. These Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act, may be deemed liquid by the Fund’s Subadviser under the guidelines adopted by the Directors of the Fund. However, the liquidity of the Fund’s investments in Rule 144A securities could be impaired if trading does not develop or declines.

Foreign Currency Translation: The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:

(i) market value of investment securities, other assets and liabilities—at the current rates of exchange;

(ii) purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets of the Fund are presented at the foreign exchange rates and market values at the close of the period, the Fund does not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Fund does not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized


36

foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Notwithstanding the above, the Fund does isolate the effect of fluctuations in foreign currency exchange rates when determining the gain (loss) upon the sale or maturity of foreign currency denominated debt obligations; such amounts are included in net realized gains (losses) on foreign currency transactions.

Net realized gains (losses) on foreign currency transactions represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies.

Concentration of Risk: The ability of debt securities issuers (other than those issued or guaranteed by the U.S. Government) held by the Fund to meet their obligations may be affected by the economic or political developments in a specific industry, region or country. Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of domestic origin as a result of, among other factors, the possibility of political or economic instability or the level of governmental supervision and regulation of foreign securities markets.

Forward and Cross Currency Contracts: A forward currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The Fund enters into forward currency contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings or specific receivables and payables denominated in a foreign currency and to gain exposure to certain currencies. The contracts are valued daily at current forward exchange rates and any unrealized gain (loss) is included in net unrealized appreciation (depreciation) on investments and foreign currencies. Gain (loss) is realized on the settlement date of the contract equal to the difference between the settlement value of the original and negotiated forward contracts. This gain (loss), if any, is included in net realized gain (loss) on forward and cross currency contract transactions. Risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. Forward currency contracts involve risks from currency exchange rate and credit risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Fund’s maximum risk of loss from counterparty credit risk is the net value of the cash flows to be received from the counterparty at the end of the contract’s life. A cross currency contract is a forward contract where a specified amount of one foreign currency will be exchanged for a specified amount of another foreign currency.

Master Netting Arrangements: The Fund is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of the Fund. A master netting arrangement


Prudential Short Duration High Yield Fund, Inc.			37

Notes to Financial Statements (unaudited) (continued)

between the Fund and the counterparty permits the Fund to offset amounts payable by the Fund to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Fund to cover the Fund’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.

The Fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Fund is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or re-pledged, is presented in the Schedule of Investments. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified in the Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Fund and the applicable counterparty. Collateral requirements are determined based on the Fund’s net position with each counterparty. Termination events applicable to the Fund may occur upon a decline in the Fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Fund’s counterparties to elect early termination could impact the Fund’s future derivative activity.

Bank Loans: The Fund may invest in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. The Fund may acquire interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, the Fund generally will succeed to all the rights and obligations of an assigning lending institution and


38

becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Fund generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, the Fund generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Fund may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Fund will assume the credit risk of both the borrower and the institution selling the participation to the Fund.

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

Cash Flow Information: The Fund invests in securities and distributes dividends from net investment income, which are paid in cash or are reinvested at the discretion of stockholders. These activities are reported in the Statement of Changes in Net Assets and additional information on cash receipts and cash payments is presented in the Statement of Cash Flows.

Accounting practices that do not affect reporting activities on a cash basis include carrying investments at value, accruing income on PIK securities and accreting discounts and amortizing premiums on debt obligations.

Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.

Taxes: It is the Fund’s policy to continue to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable net income and capital gains, if any, to its stockholders. Therefore, no federal income tax provision is required. Withholding taxes on foreign dividends, interest and capital gains, if any, are recorded, net of reclaimable amounts, at the time the related income is earned. However, due to the timing of when distributions are made by the Fund, the Fund may be subject to an excise tax of 4% of the amount by which 98% of the Fund’s annual taxable income for the calendar year and 98.2% of its net capital gains for a one-year period ending on October 31 exceed the distributions from such taxable income and net capital gains for the calendar year.


Prudential Short Duration High Yield Fund, Inc.			39

Notes to Financial Statements (unaudited) (continued)

Dividends and Distributions: The Fund intends to make a level dividend distribution each month to the holders of Common Stock. The level dividend rate may be modified by the Board from time to time, and will be based upon the past and projected performance and expenses of the Fund. The Fund intends to also make a distribution during or with respect to each calendar year (which may be combined with a regular monthly distribution), which will generally include any net investment income and net realized capital gain for the year not otherwise distributed.

PGIM Investments has received an order from the Securities and Exchange Commission (the “SEC”) granting the Fund an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 thereunder to permit certain closed-end funds managed by PGIM Investments to include realized long-term capital gains as a part of their respective regular distributions to the holders of Common Stock more frequently than would otherwise be permitted by the 1940 Act (generally once per taxable year). The Fund intends to rely on this exemptive order. The Board may, at the request of PGIM Investments, adopt a managed distribution policy.

Dividends and distributions to stockholders, which are determined in accordance with federal income tax regulations and which may differ from generally accepted accounting principles, are recorded on the ex-date. Permanent book/tax differences relating to income and gain (loss) are reclassified amongst undistributed net investment income, accumulated net realized gain (loss) and paid-in capital in excess of par, as appropriate.

Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

2. Agreements

The Fund has a management agreement with PGIM Investments. Pursuant to this agreement, PGIM Investments has responsibility for all investment advisory services and supervises the subadviser’s performance of such services. In addition, under the management agreement, PGIM Investments provides all of the administrative functions necessary for the organization, operation and management of the Fund. PGIM Investments administers the corporate affairs of the Fund and, in connection therewith, furnishes the Fund with office facilities, together with those ordinary clerical and bookkeeping services which are not being furnished by, the Fund’s custodian (the Custodian), and the Fund’s transfer agent. PGIM Investments is also responsible for the staffing and management of dedicated groups of legal, marketing, compliance and related personnel necessary for the operation of the Fund. The legal, marketing, compliance and related personnel are also responsible for the management and oversight of the various service providers to the Fund, including, but not limited to, the custodian, transfer agent, and accounting agent.


40

PGIM Investments has entered into a subadvisory agreement with PGIM, Inc., which provides subadvisory services to the Fund through its PGIM Fixed Income unit. The subadvisory agreement provides that PGIM, Inc. will furnish investment advisory services in connection with the management of the Fund. In connection therewith, PGIM, Inc. is obligated to keep certain books and records of the Fund. PGIM Investments pays for the services of PGIM, Inc., the cost of compensation of officers of the Fund, occupancy and certain clerical and bookkeeping costs of the Fund. The Fund bears all other cost and expenses.

The management fee paid to PGIM Investments is accrued daily and payable monthly, at an annual rate of 0.80% of the average daily value of the Fund’s investable assets. “Investable assets” refers to the net assets attributable to the outstanding Common Stock of the Fund plus the liquidation preference of any outstanding preferred stock issued by the Fund, the principal amount of any borrowings and the principal on any debt securities issued by the Fund.

PGIM Investments and PGIM, Inc. are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).

3. Other Transactions with Affiliates

The Fund may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Such transactions are subject to ratification by the Board. For the reporting period ended November 30, 2017 no such transactions were entered into by the Fund.

The Fund may invest its overnight sweep cash in the Prudential Core Ultra Short Bond Fund (the “Core Fund”), a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. Earnings from the Core Fund are disclosed on the Statement of Operations as “Affiliated dividend income”.

4. Portfolio Securities

The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the six months ended November 30, 2017, were $247,214,323 and $262,954,146, respectively.

On June 14, 2017, GenOn Energy, Inc. and its subsidiaries filed for bankruptcy under Chapter 11. In connection with the Chapter 11 plan for reorganization (the “GenOn Reorganization Plan”) GenOn Energy, Inc. and its subsidiaries will issue 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


Prudential Short Duration High Yield Fund, Inc.			41

Notes to Financial Statements (unaudited) (continued)

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 received a backstop fee of $261,500 in conjunction with this commitment. As of November 17, 2017, the commitment agreement was terminated and PGIM, Inc. was not obligated to purchase any unsubscribed shares of the bond offering.

5. Tax Information

The United States federal income tax basis of the Fund’s investments and the net unrealized depreciation as of November 30, 2017 were as follows:


Tax Basis	$	722,061,804

Gross Unrealized Appreciation		7,356,042
Gross Unrealized Depreciation		(15,808,177	)

Net Unrealized Depreciation	$	(8,452,135	)

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

For federal income tax purposes, the Fund had a capital loss carryforward as of May 31, 2017 of approximately $72,087,000 which can be carried forward for an unlimited period. No capital gains distributions are expected to be paid to shareholders until net gains have been realized in excess of such losses.

Management has analyzed the Fund’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Fund’s financial statements for the current reporting period. The Fund’s federal, state and local income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

6. Capital

There are 1 billion shares of $0.001 par value common stock authorized. Prior to commencement of operations on April 30, 2012, the Fund issued 5,240 shares of common stock to Prudential at an aggregate purchase price of $100,084. As of November 30, 2017, Prudential owned 8,271 shares of the Fund.

For the six months ended November 30, 2017, the Fund did not issue any shares of common stock in connection with the Fund’s dividend reinvestment plan.


42

7. Borrowings and Re-hypothecation

The Fund currently is a party to a committed credit facility (the “credit facility”) with a financial institution. The credit facility provides for a maximum commitment of $240 million. Interest on any borrowings under the credit facility is payable at the negotiated rates. The Fund’s obligations under the credit facility are secured by the assets of the Fund segregated for the purpose of securing the amount borrowed. The purpose of the credit facility is to provide the Fund with portfolio leverage and to meet its general cash flow requirements.

The Fund utilized the credit facility during the six months ended November 30, 2017. The average daily outstanding loan balance for the 183 days that the Fund utilized the facility during the period was $177,322,404, borrowed at a weighted average interest rate of 1.97%. The maximum loan balance outstanding during the period was $180,000,000. At November 30, 2017, the Fund had an outstanding loan balance of $170,000,000.

Re-hypothecation: The credit facility agreement permits, subject to certain conditions, the financial institution to re-hypothecate, up to the amount outstanding under the facility, portfolio securities segregated by the Fund as collateral. The Fund continues to receive interest on re-hypothecated securities. The Fund also has the right under the agreement to recall the re-hypothecated securities from the financial institution on demand. If the financial institution fails to deliver the recalled security in a timely manner, the Fund will be compensated by the financial institution for any fees or losses related to the failed delivery or, in the event a recalled security will not be returned by the financial institution, the Fund, upon notice to the financial institution, may reduce the loan balance outstanding by the value of the recalled security failed to be returned plus accrued interest. The Fund will receive a portion of the fees earned by the financial institution in connection with the rehypothecation of portfolio securities. Such earnings are disclosed in the Statement of Operations under Other income.

8. Subsequent Event

Dividends and Distributions: On November 30, 2017 the Fund declared monthly dividends of $0.0925 per share payable on December 29, 2017, January 8, 2018 and February 28, 2018, respectively, to shareholders of record on December 15, 2017, December 29, 2017 and February 16, 2018, respectively. The ex-dates were determined to be December 14, December 28, 2017 and February 15, 2018, respectively.


Prudential Short Duration High Yield Fund, Inc.			43

Financial Highlights (unaudited)

Six Months

Ended

November 30,

Year Ended May 31,

2017

2016

2015

2014

2013

Per Share Operating Performance(a):

Net Asset Value, Beginning of Period

$16.84

$16.79

$17.84

$18.82

$19.18

$18.75

Income (loss) from investment operations: