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

PGIM 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:		PGIM 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:		5/31/2018

Item 1 – Reports to Stockholders

LOGO

PGIM SHORT DURATION HIGH YIELD FUND, INC.

(Formerly known as Prudential Short Duration High Yield Fund, Inc.)

ANNUAL REPORT

MAY 31, 2018

LOGO

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

Objective: High level of current income

Highlights (unaudited)

•

Strong individual security selection in the technology, cable & satellite, consumer non-cyclical, and electric utilities sectors contributed to the Fund’s positive returns, particularly its overweights in NRG Energy, Vistra Energy, Bombardier (aerospace & defense), and JBS USA Holdings (consumer non-cyclical), as well as an underweight to Ultra Petroleum (upstream energy).

•

The Fund’s top-performing sector over the 12-month period was electric utilities. Electric utilities performed best, driven by attractive valuations, improving fundamentals and positive merger-and-acquisition trends (most notably Vistra Energy’s acquisition of Dynegy). An underweight to the telecom sector also boosted performance.

•

Overall sector allocation detracted from performance. The Fund’s overweight to the technology sector hurt performance the most, even though certain individual bonds did well. An overweight to healthcare & pharmaceuticals, as well as an underweight to the upstream energy sector, also limited results.

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. PGIM and the PGIM logo are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.


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Table of Contents



Letter from the President			5

Your Fund’s Performance			6

Strategy and Performance Overview			8

Holdings and Financial Statements			11


PGIM Short Duration High Yield Fund, Inc.			3

This Page Intentionally Left Blank

Letter from the President

LOGO

Dear Shareholder:

We hope you find the annual report for the PGIM Short Duration High Yield Fund, Inc. informative and useful. The report covers performance for the 12-month period ended May 31, 2018.

We have important information to share with you. Effective June 11, 2018, Prudential Mutual Funds were renamed PGIM Funds. This renaming is part of our ongoing effort to further build our reputation and establish our global brand, which began when our firm adopted PGIM Investments as its name in April 2017. Please note that while the Fund’s name and CUSIP number have changed, its management, operation, and ticker symbol remained the same.

Over the reporting period, global economic growth continued its positive momentum, and central banks gradually tightened monetary policy. The US economy experienced moderate expansion and robust employment levels.

Equity returns were solid, due to healthy earnings expectations and the anticipated impact from tax reform. Global equities, including emerging markets, generally posted strong returns. US equities soared on new regulatory policy and revised corporate tax legislation. However, late in the period, volatility arose on jitters over inflation and rising interest rates, tariffs, and a potential trade war.

In bond markets, US Treasury yields rose across both short and longer maturities. European bonds followed and often led during the period. In Japan, the policy stance kept yields considerably lower. US corporate bonds handily outpaced Treasuries. Although most bond market sectors delivered positive returns, a great deal of gains were erased at the end of the period. In March, the Federal Reserve hiked interest rates for the sixth time since 2015, based on confidence in the economy.

Regarding your investments with PGIM, 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. PGIM is 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

PGIM Short Duration High Yield Fund, Inc.

July 16, 2018


PGIM Short Duration High Yield Fund, Inc.			5

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 5/31/18
Price per Share		Total Return for 12 Months Ended 5/31/18
$16.29 (NAV)		3.30%
$14.07 (Market Price)		–2.89%

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 5/31/18
Duration	2.9 years	Average Maturity	4.0 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 5/31/18 (%)
BBB			5.1
BB			50.3
B			37.2
CCC			4.2
Not Rated			1.4
Cash/Cash Equivalents			1.8
Total Investments			100.0

Source: PGIM Fixed Income

Credit ratings reflect the highest rating assigned by a nationally recognized statistical rating organization (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 5/31/18
Total Monthly Dividends Paid per Share for Period	Current Monthly Dividend Paid per Share	Yield at Market Price as of 5/31/18
$1.09	$0.085	7.25%

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 May 31, 2018.


PGIM Short Duration High Yield Fund, Inc.			7

Strategy and Performance Overview (unaudited)

How did the Fund perform?

For the 12-month reporting period that ended May 31, 2018, the PGIM Short Duration High Yield Fund generated a positive NAV return of 3.30%, outperforming the 3.02% return of the Bloomberg Barclays US High Yield Ba/B 1-5 year (1% constrained) Index (the Index) and underperforming the 3.31% return of the Lipper High Yield Funds (Leveraged) Average.

For the reporting period, the short duration, higher quality portion of the high yield market, as measured by the Index returned 3.02%, outperforming the broader high yield market as represented by the Bloomberg Barclays High Yield Index by 67 Basis Points (bps). A Basis Point is 1/100th of a percent. The yield-to-worst of the Index ended May at 5.43%, 135 bps higher for the one-year period.

What were conditions like in the short-term US high yield corporate bond market?

Very early in the period, the high yield market was mixed due to volatility in the price of crude oil and interest rates. In June 2017, crude oil dipped as low as $42.50 a barrel while 10-year Treasury yields bottomed at 2.13%. In the third quarter of 2017, high yield bonds performed solidly, helped by record-high equity prices, improving commodity prices, a manageable new-issue calendar, and institutional investors’ reach for yield. However, growing threats from North Korea, terrorist attacks in Barcelona, and devastating hurricanes in the US tempered optimism.

The fourth quarter of 2017 was also positive but volatile. High yield spreads tightened early in the quarter, fueled by rising equity prices and oil prices that topped $60 a barrel, and were a few basis points below their post-crisis level by late October. Momentum then stalled due to uncertainty about tax reform and global growth, along with risk in several sectors (e.g., retail, healthcare, and telecom). The sharp decline abruptly changed direction later in the year as buyers moved in at cheaper levels.

The high yield market moved higher early in 2018 on optimism that the US tax reform law approved by Congress in December would fuel economic growth. Despite rising rates, high yield spreads rallied. Volatility in equities, however, sparked heavy outflows from retail investors. Trade war threats between the US and China did little to soothe market sentiment. During the final two months of the period, high yield returns were modest.

According to Moody’s, the trailing 12-month US speculative grade issuer default rate ended May at 3.7%. Most defaults were issuers in the retail and oil and gas sectors.

What worked?

•


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Holdings (consumer non-cyclical), as well as an underweight to Ultra Petroleum (upstream energy).

•

What didn’t work?

•

Security selection in the retailers & restaurants and metals & mining sectors hindered the Fund’s performance. Overweights in PetSmart and Community Health Systems were among the largest single name detractors.

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

The Fund’s use of leverage contributed positively to results as returns of the underlying securities within the portfolio exceeded the cost of borrowing. As of May 31, 2018, the Fund had borrowed $165 million and was about 23.4% leveraged. During the reporting period, the average amount of leverage utilized by the Fund was about 23.7%.

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 derivatives helped immunize any impact from fluctuating currencies.

Current outlook

The near-term outlook for high yield bonds is positive due to improving fundamentals and favorable technicals (limited net supply and strong institutional demand from Asia). However, the outlook is less bullish long term due to potential tail risks, the asymmetric return profile on high yield that these risks can create in a tight-spread environment, and the growing possibility of an economic contraction in two to three years. Despite elevated risks in select sectors, default rates should remain low over the next two years.

Key positioning themes for the Fund are overweights to the technology, media & entertainment, cable, and building materials & construction sectors. The Fund is also overweight electric utilities. An underweight to energy continues to be a sizable theme. Other underweights include the consumer, finance and banking sectors.


PGIM Short Duration High Yield Fund, Inc.			9

Strategy and Performance Overview (continued)

Were there any changes to the management of the Fund’s portfolio?

Effective September 30, 2018, Terence Wheat will no longer serve as a portfolio manager for the Fund. Given the depth and experience of the Fund’s existing portfolio management team, PGIM Fixed Income does not believe that any additional portfolio managers are currently necessary, and that Mr. Wheat’s removal will not have any material impact on the Fund’s investment strategy.

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 the 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.

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.


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Schedule of Investments

as of May 31, 2018


Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
LONG-TERM INVESTMENTS 126.1%

BANK LOANS 8.7%

Commercial Services 0.6%
Laureate Education, Inc., Series 2024 Term Loan, 1 Month LIBOR + 3.500%		5.480	%(c)		04/26/24		3,051	$	3,067,561

Computers 1.3%
McAfee, LLC,
Closing Date USD Term Loan, 1 Month LIBOR + 4.500%		6.470	(c)		09/30/24		5,084		5,125,553
Second Lien Initial Loan, 1 Month LIBOR + 8.500%		10.470	(c)		09/29/25		1,850		1,871,584

									6,997,137

Diversified Financial Services 0.4%
Exela Intermediate LLC, First Lien Term B Loan, 3 Month LIBOR + 7.500%		9.570	(c)		06/30/23		1,975		1,988,578

Engineering & Construction 0.2%
StandardAero Aviation Holdings, Inc., Initial Term Loan, 1 Month LIBOR + 3.750%		5.730	(c)		07/07/22		895		898,318

Foods 0.3%
Shearer’s Foods LLC, First Lien Term Loan, 3 Month LIBOR + 4.095%^		6.473	(c)		06/30/21		1,442		1,429,305

Retail 1.4%
Academy, Ltd., Initial Term Loan, 1 - 3 Month LIBOR + 4.000%		5.938	(c)		07/01/22		2,599		2,051,285
CEC Entertainment, Inc., First Lien Term B Loan, 1 Month LIBOR + 3.250%		5.230	(c)		02/15/21		3,205		2,988,519
Sally Holdings LLC, Term B-2 Loan		4.500			07/05/24		2,825		2,749,078

									7,788,882

Software 1.7%
Almonde, Inc., First Lien Dollar Term Loan, 3 Month LIBOR + 3.500%		5.807	(c)		06/13/24		1,995		1,961,934
BMC Software Finance, Inc., Initial B-2 US Term Loan, 1 Month LIBOR + 3.250%		5.230	(c)		09/10/22		3,541		3,544,022

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			11

Schedule of Investments (continued)

as of May 31, 2018


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

Software (cont’d.)
Informatica LLC, Dollar Term B-1 Loan, 1 Month LIBOR + 3.250%		5.230	%(c)		08/05/22		1,481	$	1,490,300
Symantec Corp., Term A-5 Loan, 3 Month LIBOR + 1.750%		4.080	(c)		08/01/21		2,564		2,551,282

									9,547,538

Telecommunications 2.8%
Digicel International Finance Ltd., First Lien Initial Term B Loan, 3 Month LIBOR + 3.250%		5.610	(c)		05/27/24		2,388		2,328,301
Intelsat Jackson Holdings SA (Luxembourg),
Tranche B-3 Term Loan, 1 Month LIBOR + 3.750%		5.718	(c)		11/27/23		1,000		1,002,778
Tranche B-5 Term Loan		6.630			01/02/24		3,795		3,880,388
West Corp., Initial Term B Loan, 1 Month LIBOR + 4.000%		5.980	(c)		10/10/24		4,090		4,082,720
Xplornet Communications, Inc. (Canada), New Term B Loan, 3 Month LIBOR + 4.000%		6.300	(c)		09/09/21		4,034		4,072,097

									15,366,284

TOTAL BANK LOANS (cost $46,802,743)									47,083,603


CORPORATE BONDS 117.4%

Advertising 0.6%
Outfront Media Capital LLC/Outfront Media Capital Corp., Gtd. Notes(aa)		5.625			02/15/24		3,040		3,055,200

Aerospace/Defense 3.2%
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A(aa)		7.500			12/01/24		6,850		7,141,125
Sr. Unsec’d. Notes, 144A(aa)		8.750			12/01/21		6,525		7,242,750
TransDigm, Inc., Gtd. Notes(aa)		6.000			07/15/22		3,150		3,193,312

									17,577,187

Auto Manufacturers 0.3%
Jaguar Land Rover Automotive PLC (United Kingdom), Gtd. Notes, 144A		4.250			11/15/19		1,600		1,604,000

See Notes to Financial Statements.


12


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

Auto Parts & Equipment 0.7%
American Axle & Manufacturing, Inc., Gtd. Notes(aa)		7.750	%		11/15/19		2,500	$	2,628,125
IHO Verwaltungs GmbH (Germany), Sr. Sec’d. Notes, Cash coupon 4.125% or PIK 4.875%, 144A		4.125			09/15/21		1,400		1,386,000

									4,014,125

Banks 1.0%
CIT Group, Inc.,
Sr. Unsec’d. Notes(aa)		5.000			08/15/22		4,175		4,242,844
Sr. Unsec’d. Notes		5.250			03/07/25		900		913,500

									5,156,344

Building Materials 1.6%
Griffon Corp., Gtd. Notes		5.250			03/01/22		6,603		6,371,895
Summit Materials LLC/Summit Materials Finance Corp.,
Gtd. Notes		6.125			07/15/23		170		171,700
Gtd. Notes		8.500			04/15/22		1,750		1,881,250

									8,424,845

Chemicals 5.6%
A Schulman, Inc., Gtd. Notes		6.875			06/01/23		2,735		2,872,434
Ashland LLC, Gtd. Notes		4.750			08/15/22		1,460		1,465,475
Blue Cube Spinco LLC,
Gtd. Notes		9.750			10/15/23		370		423,188
Gtd. Notes		10.000			10/15/25		2,215		2,580,475
Chemours Co. (The),
Gtd. Notes		6.625			05/15/23		7,805		8,197,435
Gtd. Notes		7.000			05/15/25		1,445		1,549,762
Hexion, Inc., Sr. Sec’d. Notes, 144A(aa)		10.375			02/01/22		735		721,219
NOVA Chemicals Corp. (Canada),
Sr. Unsec’d. Notes, 144A(aa)		4.875			06/01/24		4,795		4,585,219
Sr. Unsec’d. Notes, 144A		5.250			08/01/23		760		756,200
Platform Specialty Products Corp., Gtd. Notes, 144A		6.500			02/01/22		1,145		1,173,625

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			13

Schedule of Investments (continued)

as of May 31, 2018


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

Chemicals (cont’d.)
PQ Corp., Sr. Sec’d. Notes, 144A(aa)		6.750	%		11/15/22		3,800	$	3,999,500
TPC Group, Inc., Sr. Sec’d. Notes, 144A		8.750			12/15/20		1,343		1,323,526
W.R. Grace & Co., Gtd. Notes, 144A		5.625			10/01/24		900		931,500

									30,579,558

Commercial Services 2.3%
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Gtd. Notes, 144A(aa)		6.375			08/01/23		3,700		3,719,425
Nielsen Co. Luxembourg SARL (The), Gtd. Notes, 144A		5.500			10/01/21		2,215		2,226,075
Nielsen Finance LLC/Nielsen Finance Co.,
Gtd. Notes		4.500			10/01/20		1,325		1,326,656
Gtd. Notes, 144A(aa)		5.000			04/15/22		5,500		5,455,835

									12,727,991

Computers 4.1%
Dell International LLC/EMC Corp.,
Gtd. Notes, 144A(aa)		5.875			06/15/21		6,550		6,724,407
Gtd. Notes, 144A(aa)		7.125			06/15/24		4,775		5,130,565
NCR Corp.,
Gtd. Notes		4.625			02/15/21		2,575		2,549,250
Gtd. Notes		5.000			07/15/22		1,882		1,853,770
Gtd. Notes(aa)		5.875			12/15/21		3,235		3,276,731
Gtd. Notes		6.375			12/15/23		2,350		2,416,999

									21,951,722

Distribution/Wholesale 0.3%
Global Partners LP/GLP Finance Corp.,
Gtd. Notes		6.250			07/15/22		550		534,875
Gtd. Notes		7.000			06/15/23		1,350		1,339,875

									1,874,750

See Notes to Financial Statements.


14


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

Diversified Financial Services 2.4%
Alliance Data Systems Corp.,
Gtd. Notes, 144A		5.375	%		08/01/22		2,545	$	2,557,725
Gtd. Notes, 144A, MTN		5.875			11/01/21		2,900		2,954,375
FBM Finance, Inc., Sr. Sec’d. Notes, 144A		8.250			08/15/21		850		889,780
Navient Corp.,
Sr. Unsec’d. Notes(aa)		6.500			06/15/22		4,965		5,126,362
Sr. Unsec’d. Notes		6.625			07/26/21		525		544,688
Sr. Unsec’d. Notes, MTN		8.000			03/25/20		425		451,988
VFH Parent LLC/Orchestra Co-Issuer, Inc., Sec’d. Notes, 144A		6.750			06/15/22		325		336,573

									12,861,491

Electric 6.6%
Calpine Corp.,
Sr. Sec’d. Notes, 144A		5.875			01/15/24		550		548,625
Sr. Unsec’d. Notes(aa)		5.375			01/15/23		2,805		2,671,762
Sr. Unsec’d. Notes(aa)		5.500			02/01/24		2,325		2,115,750
DPL, Inc.,
Sr. Unsec’d. Notes(aa)		6.750			10/01/19		1,564		1,620,695
Sr. Unsec’d. Notes(aa)		7.250			10/15/21		2,325		2,534,250
GenOn Energy, Inc.,
Sr. Unsec’d. Notes(d)		7.875			06/15/17		750		688,125
Sr. Unsec’d. Notes(d)		9.500			10/15/18		2,625		2,355,938
Sr. Unsec’d. Notes(d)		9.875			10/15/20		1,400		1,260,000
NRG Energy, Inc.,
Gtd. Notes(aa)		6.250			07/15/22		3,325		3,424,750
Gtd. Notes(aa)		6.250			05/01/24		3,625		3,742,812
NRG REMA LLC, Pass-Through Certificates, Series C(aa)		9.681			07/02/26		1,100		698,500
Red Oak Power LLC, Series B, Sr. Sec’d. Notes		9.200			11/30/29		775		884,469
Vistra Energy Corp.,
Gtd. Notes(aa)		7.375			11/01/22		8,925		9,374,820
Gtd. Notes		7.625			11/01/24		1,350		1,449,563
Gtd. Notes		8.034			02/02/24		775		817,625
Gtd. Notes, 144A		8.000			01/15/25		1,500		1,623,750

									35,811,434

Electronics 0.1%
Jabil, Inc., Sr. Unsec’d. Notes		5.625			12/15/20		690		722,223

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			15

Schedule of Investments (continued)

as of May 31, 2018


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

Engineering & Construction 0.1%
StandardAero Aviation Holdings, Inc., Gtd. Notes, 144A		10.000	%		07/15/23		725	$	783,000

Entertainment 4.0%
AMC Entertainment Holdings, Inc., Gtd. Notes(aa)		5.875			02/15/22		1,250		1,265,625
Carmike Cinemas, Inc., Sec’d. Notes, 144A(aa)		6.000			06/15/23		2,250		2,311,875
CCM Merger, Inc., Sr. Unsec’d. Notes, 144A(aa)		6.000			03/15/22		4,000		4,070,800
Eldorado Resorts, Inc., Gtd. Notes(aa)		7.000			08/01/23		2,200		2,312,750
GLP Capital LP/GLP Financing II, Inc., Gtd. Notes		5.375			11/01/23		1,500		1,545,000
International Game Technology PLC, Sr. Sec’d. Notes, 144A(aa)		6.250			02/15/22		3,150		3,244,500
Jacobs Entertainment, Inc., Sec’d. Notes, 144A		7.875			02/01/24		600		627,000
National CineMedia LLC, Sr. Sec’d. Notes(aa)		6.000			04/15/22		2,630		2,669,450
Scientific Games International, Inc.,
Gtd. Notes(aa)		6.625			05/15/21		3,000		3,060,000
Gtd. Notes		10.000			12/01/22		500		536,255

									21,643,255

Environmental Control 0.5%
Clean Harbors, Inc., Gtd. Notes(aa)		5.125			06/01/21		2,600		2,616,250

Foods 1.9%
B&G Foods, Inc., Gtd. Notes		4.625			06/01/21		1,400		1,379,000
JBS Investments GmbH (Brazil), Gtd. Notes, 144A		7.750			10/28/20		1,500		1,530,000
JBS USA LUX SA/JBS USA Finance, Inc. (Brazil),
Gtd. Notes, 144A		7.250			06/01/21		1,050		1,061,813
Gtd. Notes, 144A(aa)		7.250			06/01/21		6,325		6,396,156

									10,366,969

See Notes to Financial Statements.


16


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

Forest Products & Paper 0.5%
Cascades, Inc. (Canada), Gtd. Notes, 144A		5.500	%		07/15/22		1,982	$	1,977,045
Mercer International, Inc. (Canada), Sr. Unsec’d. Notes		7.750			12/01/22		590		619,500

									2,596,545

Gas 0.4%
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes		5.625			05/20/24		375		371,250
Rockpoint Gas Storage Canada Ltd. (Canada), Sr. Sec’d. Notes, 144A(aa)		7.000			03/31/23		1,725		1,740,094

									2,111,344

Healthcare-Products 0.7%
Mallinckrodt International Finance SA/Mallinckrodt CB LLC,
Gtd. Notes, 144A(aa)		4.875			04/15/20		1,960		1,886,500
Gtd. Notes, 144A		5.750			08/01/22		2,040		1,764,600

									3,651,100

Healthcare-Services 8.3%
Acadia Healthcare Co., Inc.,
Gtd. Notes		5.125			07/01/22		500		500,000
Gtd. Notes		5.625			02/15/23		2,625		2,654,531
Gtd. Notes		6.500			03/01/24		600		621,000
Centene Corp., Sr. Unsec’d. Notes		5.625			02/15/21		2,400		2,464,104
CHS/Community Health Systems, Inc.,
Gtd. Notes		6.875			02/01/22		775		406,875
Gtd. Notes		7.125			07/15/20		875		735,000
Sr. Sec’d. Notes		6.250			03/31/23		1,475		1,375,438
HCA Healthcare, Inc., Sr. Unsec’d. Notes(aa)		6.250			02/15/21		1,750		1,833,125
HCA, Inc.,
Gtd. Notes(aa)		7.500			02/15/22		2,800		3,059,000
Sr. Sec’d. Notes(aa)		4.750			05/01/23		4,700		4,729,375
LifePoint Health, Inc., Gtd. Notes(aa)		5.500			12/01/21		3,125		3,136,719
MEDNAX, Inc., Gtd. Notes, 144A		5.250			12/01/23		1,743		1,716,855

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			17

Schedule of Investments (continued)

as of May 31, 2018


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

Healthcare-Services (cont’d.)
Molina Healthcare, Inc., Gtd. Notes(aa)		5.375	%		11/15/22		2,550	$	2,549,770
Select Medical Corp., Gtd. Notes(aa)		6.375			06/01/21		2,500		2,534,375
Surgery Center Holdings, Inc., Gtd. Notes, 144A		8.875			04/15/21		2,450		2,511,250
Tenet Healthcare Corp.,
Sr. Sec’d. Notes		4.375			10/01/21		175		173,250
Sr. Sec’d. Notes		4.750			06/01/20		1,525		1,532,168
Sr. Sec’d. Notes		6.000			10/01/20		2,603		2,687,597
Sr. Sec’d. Notes, 144A(aa)		4.625			07/15/24		2,325		2,234,906
Sr. Unsec’d. Notes		6.750			02/01/20		475		491,031
Sr. Unsec’d. Notes		6.750			06/15/23		4,775		4,751,125
Sr. Unsec’d. Notes(aa)		8.125			04/01/22		2,400		2,511,000

									45,208,494

Home Builders 8.5%
Ashton Woods USA LLC/Ashton Woods Finance Co., Sr. Unsec’d. Notes, 144A(aa)		6.875			02/15/21		3,950		3,979,625
AV Homes, Inc., Gtd. Notes		6.625			05/15/22		2,050		2,083,825
Beazer Homes USA, Inc., Gtd. Notes(aa)		8.750			03/15/22		4,950		5,308,875
Brookfield Residential Properties, Inc. (Canada), Gtd. Notes, 144A(aa)		6.500			12/15/20		2,765		2,806,475
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), Gtd. Notes, 144A		6.125			07/01/22		750		757,575
KB Home,
Gtd. Notes(aa)		4.750			05/15/19		3,609		3,631,737
Gtd. Notes(aa)		7.250			06/15/18		2,000		2,001,750
Lennar Corp.,
Gtd. Notes(aa)		4.125			01/15/22		2,600		2,565,862
Gtd. Notes		4.500			11/15/19		1,000		1,008,750
Gtd. Notes, 144A		6.250			12/15/21		350		366,625
M/I Homes, Inc., Gtd. Notes(aa)		6.750			01/15/21		3,675		3,780,656
Mattamy Group Corp. (Canada), Sr. Unsec’d. Notes, 144A		6.875			12/15/23		2,225		2,288,969
New Home Co., Inc. (The), Gtd. Notes		7.250			04/01/22		2,400		2,460,000

See Notes to Financial Statements.


18


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

Home Builders (cont’d.)
PulteGroup, Inc., Gtd. Notes		4.250	%		03/01/21		1,850	$	1,854,625
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.,
Gtd. Notes, 144A(aa)		5.250			04/15/21		3,300		3,312,375
Gtd. Notes, 144A		5.625			03/01/24		1,910		1,871,227
Gtd. Notes, 144A		5.875			04/15/23		350		353,500
TRI Pointe Group, Inc., Gtd. Notes(aa)		4.875			07/01/21		2,400		2,406,000
TRI Pointe Group, Inc./TRI Pointe Homes, Inc., Gtd. Notes		4.375			06/15/19		1,288		1,288,000
William Lyon Homes, Inc.,
Gtd. Notes		7.000			08/15/22		400		409,000
Sr. Unsec’d. Notes, 144A		6.000			09/01/23		1,550		1,548,062

									46,083,513

Home Furnishings 0.2%
Tempur Sealy International, Inc., Gtd. Notes		5.625			10/15/23		1,075		1,085,750

Internet 0.6%
Zayo Group LLC/Zayo Capital, Inc., Gtd. Notes		6.000			04/01/23		3,470		3,517,712

Iron/Steel 1.0%
AK Steel Corp., Sr. Sec’d. Notes		7.500			07/15/23		475		499,344
BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC (Australia), Gtd. Notes, 144A(aa)		6.500			05/15/21		2,043		2,107,354
Cleveland-Cliffs, Inc., Sr. Sec’d. Notes, 144A(aa)		4.875			01/15/24		2,925		2,857,374

									5,464,072

Leisure Time 0.4%
NCL Corp. Ltd., Sr. Unsec’d. Notes, 144A		4.750			12/15/21		909		909,000
Silversea Cruise Finance Ltd., Sr. Sec’d. Notes, 144A		7.250			02/01/25		1,425		1,485,563

									2,394,563

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			19

Schedule of Investments (continued)

as of May 31, 2018


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

Lodging 2.3%
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp.,
Sec’d. Notes, 144A		10.250	%		11/15/22		975	$	1,060,313
Sr. Sec’d. Notes, 144A(aa)		6.750			11/15/21		4,100		4,223,000
MGM Resorts International,
Gtd. Notes		6.000			03/15/23		400		414,000
Gtd. Notes(aa)		8.625			02/01/19		6,380		6,597,494

									12,294,807

Media 19.9%
Altice France SA (France), Sr. Sec’d. Notes, 144A(aa)		6.000			05/15/22		5,300		5,280,125
Altice US Finance I Corp., Sr. Sec’d. Notes, 144A		5.375			07/15/23		3,165		3,117,525
AMC Networks, Inc.,
Gtd. Notes(aa)		4.750			12/15/22		5,683		5,718,519
Gtd. Notes		5.000			04/01/24		150		145,133
CCO Holdings LLC/CCO Holdings Capital Corp.,
Sr. Unsec’d. Notes		5.125			02/15/23		350		349,125
Sr. Unsec’d. Notes		5.250			03/15/21		150		151,125
Sr. Unsec’d. Notes(aa)		5.250			09/30/22		7,365		7,429,444
Sr. Unsec’d. Notes, 144A		4.000			03/01/23		1,690		1,614,153
Sr. Unsec’d. Notes, 144A(aa)		5.125			05/01/23		4,890		4,859,437
Sr. Unsec’d. Notes, 144A		5.875			04/01/24		1,115		1,124,756
Cequel Communications Holdings I LLC/Cequel Capital Corp.,
Sr. Unsec’d. Notes, 144A(aa)		5.125			12/15/21		4,930		4,905,449
Sr. Unsec’d. Notes, 144A(aa)		5.125			12/15/21		8,303		8,262,481
Clear Channel Worldwide Holdings, Inc.,
Series A, Gtd. Notes		7.625			03/15/20		1,085		1,076,863
Series A, Gtd. Notes(aa)		6.500			11/15/22		3,090		3,151,800
Series B, Gtd. Notes		6.500			11/15/22		1,973		2,014,926
Series B, Gtd. Notes		7.625			03/15/20		2,515		2,515,000
DISH DBS Corp.,
Gtd. Notes(aa)		5.125			05/01/20		2,875		2,839,062
Gtd. Notes		5.875			07/15/22		480		450,240
Gtd. Notes(aa)		6.750			06/01/21		5,643		5,643,000
Mediacom Broadband LLC/Mediacom Broadband Corp., Sr. Unsec’d. Notes		5.500			04/15/21		1,800		1,817,730
Midcontinent Communications/Midcontinent Finance Corp., Gtd. Notes, 144A		6.875			08/15/23		4,960		5,220,400
Nexstar Broadcasting, Inc., Gtd. Notes, 144A		6.125			02/15/22		1,035		1,062,169

See Notes to Financial Statements.


20


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

Media (cont’d.)
Quebecor Media, Inc. (Canada), Sr. Unsec’d. Notes(aa)		5.750	%		01/15/23		6,160	$	6,267,800
Radiate Holdco LLC/Radiate Finance, Inc.,
Sr. Unsec’d. Notes, 144A		6.625			02/15/25		150		137,625
Sr. Unsec’d. Notes, 144A		6.875			02/15/23		1,055		1,002,250
Sinclair Television Group, Inc.,
Gtd. Notes(aa)		5.375			04/01/21		3,120		3,135,600
Gtd. Notes		6.125			10/01/22		4,475		4,575,687
Gtd. Notes, 144A		5.625			08/01/24		580		577,651
Sirius XM Radio, Inc., Gtd. Notes, 144A		3.875			08/01/22		450		434,273
TEGNA, Inc.,
Gtd. Notes		5.125			10/15/19		346		346,865
Gtd. Notes		6.375			10/15/23		4,735		4,900,725
Gtd. Notes, 144A(aa)		4.875			09/15/21		3,030		3,037,575
Tribune Media Co., Gtd. Notes(aa)		5.875			07/15/22		4,045		4,090,506
Univision Communications, Inc.,
Sr. Sec’d. Notes, 144A(aa)		5.125			05/15/23		3,035		2,875,662
Sr. Sec’d. Notes, 144A(aa)		6.750			09/15/22		5,258		5,389,450
UPCB Finance IV Ltd. (Netherlands), Sr. Sec’d. Notes, 144A		5.375			01/15/25		2,000		1,920,000
Videotron Ltd. (Canada), Gtd. Notes		5.000			07/15/22		345		350,175

									107,790,306

Metal Fabricate/Hardware 1.3%
Novelis Corp., Gtd. Notes, 144A		6.250			08/15/24		2,033		2,058,616
Zekelman Industries, Inc., Sr. Sec’d. Notes, 144A(aa)		9.875			06/15/23		4,654		5,107,765

									7,166,381

Mining 3.2%
First Quantum Minerals Ltd. (Zambia), Gtd. Notes, 144A(aa)		7.000			02/15/21		2,255		2,266,275
Freeport-McMoRan, Inc.,
Gtd. Notes		3.550			03/01/22		650		628,063
Gtd. Notes		3.875			03/15/23		3,775		3,628,756
International Wire Group, Inc., Sec’d. Notes, 144A		10.750			08/01/21		1,500		1,402,500

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			21

Schedule of Investments (continued)

as of May 31, 2018


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

Mining (cont’d.)
Lundin Mining Corp. (Chile), Sr. Sec’d. Notes, 144A		7.875	%		11/01/22		440	$	461,648
New Gold, Inc. (Canada), Gtd. Notes, 144A(aa)		6.250			11/15/22		2,605		2,660,356
Teck Resources Ltd. (Canada),
Gtd. Notes(aa)		4.500			01/15/21		2,454		2,475,473
Gtd. Notes, 144A		8.500			06/01/24		3,500		3,871,875

									17,394,946

Miscellaneous Manufacturing 0.1%
EnPro Industries, Inc., Gtd. Notes		5.875			09/15/22		500		511,250

Oil & Gas 6.4%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., Gtd. Notes		7.875			12/15/24		2,225		2,330,687
Antero Resources Corp.,
Gtd. Notes		5.125			12/01/22		275		276,375
Gtd. Notes		5.375			11/01/21		925		934,712
Gtd. Notes		5.625			06/01/23		1,500		1,522,500
Ascent Resources Utica Holdings LLC/ARU Finance Corp., Sr. Unsec’d. Notes, 144A(aa)		10.000			04/01/22		4,858		5,234,495
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A(aa)		10.750			02/15/20		4,150		4,430,125
CNX Resources Corp.,
Gtd. Notes(aa)		5.875			04/15/22		5,008		5,051,820
Gtd. Notes		8.000			04/01/23		515		547,188
Denbury Resources, Inc., Sec’d. Notes, 144A		9.000			05/15/21		500		531,250
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A		5.500			01/30/26		1,925		1,886,500
MEG Energy Corp. (Canada),
Gtd. Notes, 144A(aa)		6.375			01/30/23		3,950		3,564,875
Gtd. Notes, 144A		7.000			03/31/24		325		293,313
Range Resources Corp.,
Gtd. Notes		5.000			03/15/23		1,325		1,285,250
Gtd. Notes		5.875			07/01/22		1,000		1,007,500
RSP Permian, Inc., Gtd. Notes		6.625			10/01/22		1,375		1,433,437
Sunoco LP/Sunoco Finance Corp., Gtd. Notes, 144A		4.875			01/15/23		2,200		2,101,022

See Notes to Financial Statements.


22


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

Oil & Gas (cont’d.)
Teine Energy Ltd. (Canada), Sr. Unsec’d. Notes, 144A		6.875	%		09/30/22		775	$	784,688
WPX Energy, Inc.,
Sr. Unsec’d. Notes		6.000			01/15/22		725		761,250
Sr. Unsec’d. Notes		8.250			08/01/23		450		510,750

									34,487,737

Packaging & Containers 2.7%
ARD Finance SA (Luxembourg), Sr. Sec’d. Notes, Cash coupon 7.125% or PIK 7.875%		7.125			09/15/23		1,350		1,350,000
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland), Sr. Sec’d. Notes, 144A		4.250			09/15/22		2,300		2,277,000
Greif, Inc., Sr. Unsec’d. Notes(aa)		7.750			08/01/19		5,500		5,720,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, Sr. Sec’d. Notes(aa)		5.750			10/15/20		4,143		4,168,829
Sealed Air Corp., Gtd. Notes, 144A(aa)		6.500			12/01/20		1,045		1,099,862

									14,615,691

Pharmaceuticals 0.3%
Endo Finance LLC, Gtd. Notes, 144A		5.750			01/15/22		175		146,563
Endo Finance LLC/Endo Finco, Inc., Gtd. Notes, 144A		5.375			01/15/23		1,000		742,200
Valeant Pharmaceuticals International, Inc., Sr. Sec’d. Notes, 144A		6.500			03/15/22		775		805,380

									1,694,143

Pipelines 1.3%
DCP Midstream Operating LP, Gtd. Notes, 144A		4.750			09/30/21		1,000		1,012,500
Genesis Energy LP/Genesis Energy Finance Corp., Gtd. Notes(aa)		6.000			05/15/23		3,050		2,973,750

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			23

Schedule of Investments (continued)

as of May 31, 2018


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

Pipelines (cont’d.)
NGPL PipeCo LLC, Sr. Unsec’d. Notes, 144A		4.375	%		08/15/22		1,200	$	1,198,500
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A		6.850			07/15/18		1,900		1,907,125

									7,091,875

Real Estate 0.8%
Crescent Communities LLC/Crescent Ventures, Inc., Sr. Sec’d. Notes, 144A(aa)		8.875			10/15/21		2,137		2,265,220
Realogy Group LLC/Realogy Co-Issuer Corp., Gtd. Notes, 144A		5.250			12/01/21		1,425		1,435,687
WeWork Cos., Inc., Gtd. Notes, 144A		7.875			05/01/25		950		894,321

									4,595,228

Real Estate Investment Trusts (REITs) 2.1%
FelCor Lodging LP, Gtd. Notes		6.000			06/01/25		2,150		2,209,125
RHP Hotel Properties LP/RHP Finance Corp., Gtd. Notes		5.000			04/15/21		850		854,250
Sabra Health Care LP/Sabra Capital Corp., Gtd. Notes(aa)		5.500			02/01/21		2,625		2,686,491
SBA Communications Corp.,
Sr. Unsec’d. Notes		4.875			07/15/22		500		493,437
Sr. Unsec’d. Notes, 144A		4.000			10/01/22		4,400		4,224,000
VICI Properties 1 LLC/VICI FC, Inc., Sec’d. Notes		8.000			10/15/23		748		829,777

									11,297,080

Retail 4.9%
Brinker International, Inc., Gtd. Notes, 144A		5.000			10/01/24		1,050		1,034,250
CEC Entertainment, Inc., Gtd. Notes		8.000			02/15/22		1,000		891,250
Ferrellgas LP/Ferrellgas Finance Corp.,
Gtd. Notes		6.750			06/15/23		725		641,625
Sr. Unsec’d. Notes		6.750			01/15/22		675		619,312
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp.,
Sr. Unsec’d. Notes		8.625			06/15/20		900		866,250
Sr. Unsec’d. Notes(aa)		8.625			06/15/20		2,350		2,261,875

See Notes to Financial Statements.


24


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

Retail (cont’d.)
Golden Nugget, Inc.,
Gtd. Notes, 144A		8.750	%		10/01/25		800	$	834,000
Sr. Unsec’d. Notes, 144A		6.750			10/15/24		1,400		1,415,750
Hot Topic, Inc., Sr. Sec’d. Notes, 144A		9.250			06/15/21		955		912,025
L Brands, Inc.,
Gtd. Notes		5.625			02/15/22		1,000		1,017,500
Gtd. Notes(aa)		5.625			10/15/23		2,770		2,832,325
Gtd. Notes(aa)		6.625			04/01/21		3,750		3,946,875
Gtd. Notes		7.000			05/01/20		750		793,125
Neiman Marcus Group Ltd. LLC, Gtd. Notes, 144A		8.000			10/15/21		150		107,250
PetSmart, Inc., Gtd. Notes, 144A(aa)		7.125			03/15/23		3,375		1,622,700
PF Chang’s China Bistro, Inc., Gtd. Notes, 144A		10.250			06/30/20		1,050		884,625
Rite Aid Corp., Gtd. Notes, 144A		6.125			04/01/23		3,225		3,305,625
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes		5.500			11/01/23		200		197,500
Yum! Brands, Inc., Sr. Unsec’d. Notes(aa)		3.875			11/01/20		2,400		2,388,000

									26,571,862

Semiconductors 0.7%
NXP BV/NXP Funding LLC (Netherlands), Gtd. Notes, 144A		3.875			09/01/22		1,090		1,082,506
Sensata Technologies BV, Gtd. Notes, 144A		4.875			10/15/23		2,680		2,680,000

									3,762,506

Software 6.2%
BMC Software Finance, Inc., Sr. Unsec’d. Notes, 144A(aa)		8.125			07/15/21		2,735		2,803,649
First Data Corp., Gtd. Notes, 144A(aa)		7.000			12/01/23		13,875		14,536,837
Infor Software Parent LLC/Infor Software Parent, Inc., Sr. Unsec’d. Notes, 144A, Cash coupon 7.125% or PIK 7.875%		7.125			05/01/21		670		673,350
Infor US, Inc.,
Gtd. Notes		6.500			05/15/22		2,455		2,494,894
Sr. Sec’d. Notes, 144A(aa)		5.750			08/15/20		5,340		5,426,775

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			25

Schedule of Investments (continued)

as of May 31, 2018


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

Software (cont’d.)
Nuance Communications, Inc., Gtd. Notes, 144A(aa)		5.375	%		08/15/20		2,480	$	2,489,300
TIBCO Software, Inc., Sr. Unsec’d. Notes, 144A(aa)		11.375			12/01/21		4,500		4,893,750

									33,318,555

Telecommunications 7.2%
Anixter, Inc., Gtd. Notes(aa)		5.625			05/01/19		1,500		1,530,000
CenturyLink, Inc.,
Series S, Sr. Unsec’d. Notes(aa)		6.450			06/15/21		5,800		5,938,040
Series V, Sr. Unsec’d. Notes		5.625			04/01/20		1,500		1,518,750
CommScope, Inc.,
Gtd. Notes, 144A(aa)		5.000			06/15/21		3,740		3,758,700
Gtd. Notes, 144A		5.500			06/15/24		1,715		1,719,288
Intelsat Jackson Holdings SA (Luxembourg), Sr. Sec’d. Notes, 144A		9.500			09/30/22		590		676,140
Level 3 Financing, Inc.,
Gtd. Notes		5.375			08/15/22		250		250,000
Gtd. Notes(aa)		6.125			01/15/21		6,022		6,089,747
Level 3 Parent LLC, Sr. Unsec’d. Notes		5.750			12/01/22		925		925,000
Qwest Capital Funding, Inc., Gtd. Notes		6.500			11/15/18		1,000		1,012,500
Sprint Communications, Inc., Gtd. Notes, 144A(aa)		7.000			03/01/20		4,500		4,703,625
Sprint Corp.,
Gtd. Notes(aa)		7.250			09/15/21		3,225		3,337,875
Gtd. Notes(aa)		7.875			09/15/23		4,910		5,153,045
T-Mobile USA, Inc.,
Gtd. Notes		6.000			03/01/23		875		905,625
Gtd. Notes		6.375			03/01/25		1,200		1,253,880

									38,772,215

See Notes to Financial Statements.


26


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

Textiles 0.8%
Eagle Intermediate Global Holding BV/Ruyi US Finance LLC (China), Sr. Sec’d. Notes, 144A		7.500	%		05/01/25		150	$	153,045
Springs Industries, Inc., Sr. Sec’d. Notes		6.250			06/01/21		4,125		4,194,300

									4,347,345

Transportation 0.4%
XPO Logistics, Inc., Gtd. Notes, 144A		6.500			06/15/22		1,875		1,920,000

Trucking & Leasing 0.9%
Avolon Holdings Funding Ltd. (Ireland), Gtd. Notes, 144A		5.500			01/15/23		1,675		1,660,344
DAE Funding LLC (United Arab Emirates), Gtd. Notes, 144A		4.500			08/01/22		1,475		1,408,625
Park Aerospace Holdings Ltd. (Ireland),
Gtd. Notes, 144A		4.500			03/15/23		200		190,500
Gtd. Notes, 144A		5.250			08/15/22		1,300		1,282,125
Gtd. Notes, 144A		5.500			02/15/24		100		98,125

									4,639,719

TOTAL CORPORATE BONDS (cost $642,984,366)									636,155,083


						Shares
COMMON STOCK 0.0%

Oil, Gas & Consumable Fuels
Frontera Energy Corp. (Colombia)* (cost $43,940)							1,033		30,265

TOTAL LONG-TERM INVESTMENTS (cost $689,831,049)									683,268,951

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			27

Schedule of Investments (continued)

as of May 31, 2018


Description	Shares		Value
SHORT-TERM INVESTMENT 3.4%

AFFILIATED MUTUAL FUND
PGIM Core Ultra Short Bond Fund (cost $18,214,256)(w)		18,214,256	$	18,214,256


TOTAL INVESTMENTS 129.5% (cost $708,045,305)				701,483,207
Liabilities in excess of other assets (29.5)%				(159,822,956	)

NET ASSETS 100.0%			$	541,660,251

The following abbreviations are used in the annual 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.

LIBOR—London Interbank Offered Rate

MTN—Medium Term Note

PIK—Payment-in-Kind

REITs—Real Estate Investment Trusts

*	Non-income producing security.

#	Principal amount is shown in U.S. dollars unless otherwise stated.

^	Indicates a Level 3 security. The aggregate value of Level 3 securities is $1,429,305 and 0.3% of net assets.

(aa)

Represents security, or a portion thereof, with aggregate value of $361,922,464 segregated as collateral for amount of $165,000,000 borrowed and outstanding as of May 31, 2018. Of such securities, securities in the amount of $4,297,840 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 May 31, 2018.

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

(w)	PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund.

Fair Value Measurements:

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—unadjusted quoted prices generally in active markets for identical securities.

Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of May 31, 2018 in valuing such portfolio securities:


	Level 1		Level 2		Level 3
Investments in Securities
Bank Loans	$	—	$	45,654,298	$	1,429,305
Corporate Bonds		—		636,155,083		—

See Notes to Financial Statements.


28


	Level 1		Level 2		Level 3
Investments in Securities (continued)
Common Stock	$	30,265	$	—	$	—
Affiliated Mutual Fund		18,214,256		—		—

Total	$	18,244,521	$	681,809,381	$	1,429,305

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

Industry Classification:

The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of May 31, 2018 were as follows (unaudited):


Media	19.9	%
Telecommunications	10.0
Home Builders	8.5
Healthcare-Services	8.3
Software	7.9
Electric	6.6
Oil & Gas	6.4
Retail	6.3
Chemicals	5.6
Computers	5.4
Entertainment	4.0
Affiliated Mutual Fund	3.4
Aerospace/Defense	3.2
Mining	3.2
Commercial Services	2.9
Diversified Financial Services	2.8
Packaging & Containers	2.7
Lodging	2.3
Foods	2.2
Real Estate Investment Trusts (REITs)	2.1
Building Materials	1.6
Metal Fabricate/Hardware	1.3
Pipelines	1.3
Banks	1.0
Iron/Steel	1.0
Trucking & Leasing	0.9	%
Real Estate	0.8
Textiles	0.8
Semiconductors	0.7
Healthcare-Products	0.7
Auto Parts & Equipment	0.7
Internet	0.6
Advertising	0.6
Environmental Control	0.5
Forest Products & Paper	0.5
Leisure Time	0.4
Transportation	0.4
Gas	0.4
Auto Manufacturers	0.3
Pharmaceuticals	0.3
Distribution/Wholesale	0.3
Engineering & Construction	0.3
Home Furnishings	0.2
Electronics	0.1
Miscellaneous Manufacturing	0.1

	129.5
Liabilities in excess of other assets	(29.5	)

	100.0	%

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.

The Fund did not hold any derivative instruments as of May 31, 2018, accordingly, no derivative positions were presented in the Statement of Assets and Liabilities.

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			29

Schedule of Investments (continued)

as of May 31, 2018

The effects of derivative instruments on the Statement of Operations for the year ended May 31, 2018 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	$	(304,794	)


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	$	115,632

For the year ended May 31, 2018, 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)
$	2,038,164	$	3,102,964

(1)	Value at Settlement Date.

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

The Fund 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 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)(1)			Net Amount
Securities on Loan	$	4,297,840	$	(4,297,840	)	$	—

(1)	Collateral amount disclosed by the Fund is limited to the market value of financial instruments/transactions.

See Notes to Financial Statements.


30

Statement of Assets & Liabilities

as of May 31, 2018


Assets
Investments at value, including securities on loan of $4,297,840:
Unaffiliated investments (cost $689,831,049)	$	683,268,951
Affiliated investments (cost $18,214,256)		18,214,256
Cash		24,297
Dividends and interest receivable		11,568,644
Receivable for investments sold		2,804,566
Prepaid expenses		1,146

Total Assets		715,881,860


Liabilities
Loan payable		165,000,000
Payable for investments purchased		8,179,767
Management fee payable		480,322
Loan interest payable		395,846
Accrued expenses and other liabilities		72,169
Deferred directors’ fees		48,803
Dividends payable		44,702

Total Liabilities		174,221,609


Net Assets	$	541,660,251


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

		633,907,741
Undistributed net investment income		648,719
Accumulated net realized loss on investment and foreign currency transactions		(86,334,111	)
Net unrealized depreciation on investments and foreign currencies		(6,562,098	)

Net assets, May 31, 2018	$	541,660,251

Net asset value per share ($541,660,251 ÷ 33,256,724 shares of common stock issued and outstanding)	$	16.29

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			31

Statement of Operations

Year Ended May 31, 2018


Net Investment Income (Loss)
Income
Interest income	$	39,746,713
Affiliated dividend income		237,198
Other income		39,157

Total income		40,023,068


Expenses
Management fee		5,776,678
Loan interest and commitment expense		3,909,272
Custodian and accounting fees		178,459
Shareholders’ reports		73,881
Legal fees and expenses		48,819
Audit fee		43,718
Directors’ fees		34,886
Registration fees		34,167
Transfer agent’s fees and expenses		20,945
Miscellaneous		18,840

Total expenses		10,139,665

Net investment income (loss)		29,883,403


Realized And Unrealized Gain (Loss) On Investment And Foreign Currency Transactions
Net realized gain (loss) on:
Investment transactions		(184,652	)
Forward currency contract transactions		(304,794	)
Foreign currency transactions		(696,237	)

		(1,185,683	)

Net change in unrealized appreciation (depreciation) on:
Investments		(11,036,647	)
Forward currency contracts		115,632
Foreign currencies		(18,976	)

		(10,939,991	)

Net gain (loss) on investment and foreign currency transactions		(12,125,674	)

Net Increase (Decrease) In Net Assets Resulting From Operations	$	17,757,729

See Notes to Financial Statements.


32

Statements of Changes in Net Assets


	Year Ended May 31,
	2018			2017
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$	29,883,403		$	32,671,530
Net realized gain (loss) on investment and foreign currency transactions		(1,185,683	)		(425,244	)
Net change in unrealized appreciation (depreciation) on investments and foreign currencies		(10,939,991	)		11,073,826

Net increase (decrease) in net assets resulting from operations		17,757,729			43,320,112


Dividends from net investment income		(36,166,687	)		(41,654,047	)

Total increase (decrease)		(18,408,958	)		1,666,065

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

End of year(a)	$	541,660,251		$	560,069,209

(a) Includes undistributed/(distributions in excess of) net investment income of:	$	648,719		$	2,436,730

See Notes to Financial Statements.


PGIM Short Duration High Yield Fund, Inc.			33

Statement of Cash Flows

For Year Ended May 31, 2018


Increase (Decrease) in Cash
Cash flows from operating activities:
Interest and dividends received (excluding discount and premium amortization of $(4,384,560))	$	44,289,365
Operating expenses paid		(6,243,892	)
Loan interest paid		(3,819,012	)
Purchases of long-term portfolio investments		(506,723,096	)
Proceeds from disposition of long-term portfolio investments		530,749,384
Net purchases and sales of short-term investments		1,177,803
Increase in receivable for investments sold		(2,804,566	)
Decrease in payable for investments purchased		(4,658,442	)
Net cash paid from forward currency contract transactions		(304,794	)
Net cash paid from foreign currency transactions		(696,237	)
Decrease in prepaid expenses		108
Effect of exchange rate changes		(18,976	)

Net cash provided from operating activities		50,947,645


Cash flows from financing activities:
Cash dividends paid		(36,200,028	)
Decrease in borrowing		(15,000,000	)

Net cash used in financing activities		(51,200,028	)

Net increase (decrease) in cash		(252,383	)
Cash at beginning of year, including foreign currency		276,680

Cash at end of year, including foreign currency	$	24,297


Reconciliation of Net Increase (Decrease) in Net Assets to Net Cash Provided from Operating Activities
Net increase in net assets resulting from operations		17,757,729

Decrease in investments		29,588,651
Net realized loss on investment and foreign currency transactions		1,185,683
Decrease in net unrealized depreciation on investments and foreign currencies		10,939,991
Net cash paid from forward currency contract transactions		(304,794	)
Net cash paid from foreign currency transactions		(696,237	)
Effect of exchange rate changes		(18,976	)
Increase in interest and dividends receivable		(118,263	)
Increase in receivable for investments sold		(2,804,566	)
Decrease in prepaid expenses		108
Decrease in payable for investments purchased		(4,658,442	)
Decrease in loan interest payable		90,260
Increase in accrued expenses and other liabilities		(21,688	)
Decrease in deferred directors’ fees		8,189

Total adjustments		33,189,916

Net cash provided from operating activities	$	50,947,645

See Notes to Financial Statements.


34

Notes to Financial Statements

PGIM Short Duration High Yield Fund, Inc. (formerly known as 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”). Pursuant to the Board’s delegation of fair valuation of a Fund’s securities to the Manager, a Valuation Committee is hereby established as two persons, being one or more officers of the Fund, including: the Fund’s Treasurer (or the Treasurer’s direct reports); and the Fund’s Chief or Deputy Chief Compliance Officer (or Vice-President-level direct reports of the Chief or Deputy Chief Compliance Officer). Under the current valuation procedures, the Valuation Committee of the Board 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.

For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Fund’s foreign investments may change on days when investors cannot purchase or redeem Fund shares.

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.


PGIM Short Duration High Yield Fund, Inc.			35

Notes to Financial Statements (continued)

Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.

Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Fund utilizes the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.

Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.

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.


36

Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.

When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.

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 transaction costs 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 Board 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 foreign currency gains (losses) are included in the reported net realized gains (losses) on


PGIM Short Duration High Yield Fund, Inc.			37

Notes to Financial Statements (continued)

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.

Additionally, 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.

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 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.


38

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 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.


PGIM Short Duration High Yield Fund, Inc.			39

Notes to Financial Statements (continued)

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.

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.


40

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. 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 May 31, 2018 no such transactions were entered into by the Fund.

The Fund may invest its overnight sweep cash in the PGIM 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”.


PGIM Short Duration High Yield Fund, Inc.			41

Notes to Financial Statements (continued)

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 year ended May 31, 2018, were $506,723,096 and $526,776,843, respectively.

A summary of cost of purchases and proceeds from sales of shares of affiliated mutual funds for the year ended May 31, 2018, is presented as follows:


Affiliated Mutual Funds*	Value, Beginning of Year		Cost of Purchases		Proceeds from Sales		Change in Unrealized Gain (Loss)		Realized Gain (Loss)		Value, End of Year		Shares, End of Year		Dividend Income
PGIM Core Ultra Short Bond Fund	$	19,392,059	$	331,180,239	$	332,358,042	$	—	$	—	$	18,214,256		18,214,256	$237,198

*	The Fund did not have any capital gain distributions during the reporting period.

5. Distributions and Tax Information

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. In order to present undistributed net investment income, accumulated net realized loss on investment and foreign currency transactions and paid-in capital in excess of par on the Statement of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to undistributed net investment income and accumulated net realized loss on investment and foreign currency transactions. For the year ended May 31, 2018, the adjustments were to increase undistributed net investment income and increase accumulated net realized loss on investment and foreign currency transactions by $4,495,273 due to differences in the treatment for book and tax purposes of premium amortization, certain transactions involving foreign securities, paydowns and other book to tax differences. Net investment income, net realized gain (loss) on investment and foreign currency transactions and net assets were not affected by this change.

For the years ended May 31, 2018 and May 31, 2017, the tax character of dividends paid by the Fund were $36,166,687 and $41,654,047 of ordinary income, respectively.

As of May 31, 2018, the accumulated undistributed earnings on a tax basis was $1,278,144 of ordinary income. This differs from the amount shown on the Statement of Assets and Liabilities primarily due to cumulative timing differences between financial and tax reporting.


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The United States federal income tax basis of the Fund’s investments and the net unrealized depreciation as of May 31, 2018 were as follows:

Tax Basis

Gross

Unrealized

Appreciation

Gross

Unrealized

Depreciation

Net

Unrealized

Depreciation

$713,558,276

$4,175,591

$(16,250,660)

$(12,075,069)

The difference between book basis and tax basis was primarily attributable to deferred losses on wash sales, differences in the treatment of premium amortization for book and tax purposes and other book to tax differences.

For federal income tax purposes, the Fund had a capital loss carryforward as of May 31, 2018 of approximately $81,322,000 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 and Ownership

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 May 31, 2018, Prudential owned 8,583 shares of the Fund.

For the year ended May 31, 2018, the Fund did not issue any shares of Common Stock in connection with the Fund’s dividend reinvestment plan.

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 and a commitment. 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 year ended May 31, 2018. The average daily outstanding loan balance for the 365 days that the Fund utilized the facility during the period was $171,191,781, borrowed at a weighted average interest rate of 2.25% and commitment fees. The maximum loan balance outstanding during the period was $180,000,000. At May 31, 2018, the Fund had an outstanding loan balance of $165,000,000.


PGIM Short Duration High Yield Fund, Inc.			43

Notes to Financial Statements (continued)

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. Distributions

Dividends and Distributions: On May 31, 2018 the Fund declared monthly dividends of $0.0850 per share payable on June 29, 2018, July 31, 2018 and August 31, 2018, respectively, to shareholders of record on June 15, 2018, July 13, 2018 and August 17, 2018, respectively. The ex-dates are June 14, 2018 , July 12, 2018 and August 16, 2018, respectively.

9. Other Risks

The Fund’s risks include, but are not limited to, the following:

Bond Obligations Risk: The Fund’s holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk,” which is the risk that the issuer may call a bond held by the Fund for redemption before it matures and the Fund may not be able to reinvest at the same level and therefore would earn less income.

Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Fund. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Fund. The Fund’s use of derivatives may also increase the amount of taxes payable by shareholders. Other risks arise from the potential inability to terminate or close out of derivatives positions. A liquid secondary market may not always exist for the Fund’s derivatives positions. Generally, many over-the-counter derivative


44

instruments will not have liquidity beyond the counterparty to the instrument. Over-the-counter derivative instruments also involve the risk that the other party will not meet its obligations to the Fund.

Emerging Markets Risk: The risks of foreign investments are greater for investments in or exposed to emerging markets. Emerging market countries typically have economic and political systems that are less fully developed, and can be expected to be less stable, than those of more developed countries. For example, the economies of such countries can be subject to rapid and unpredictable rates of inflation or deflation. Low trading volumes may result in a lack of liquidity and price volatility. Emerging market countries may have policies that restrict investment by non-US investors, or that prevent non-US investors from withdrawing their money at will.

Foreign Securities Risk: The Fund’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Fund may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Fund’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.

Interest Rate Risk: The market price of the Fund’s investments will change in response to changes in interest rates and other factors. During periods of rising interest rates, the market price of fixed income instruments generally declines. As interest rates increase, slower than expected principal payments may extend the average life of securities, potentially locking in below-market interest rates and reducing the Fund’s value. In typical market interest rate environments, the prices of long-term debt obligations generally fluctuate more than prices of short-term debt obligations as interest rates change. Fluctuations in the market price of the Fund’s instruments will not affect interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s NAV.

Leverage Risk: The Fund may seek to enhance the level of its current distributions to holders of common stock through the use of leverage. The Fund may use leverage through borrowings, including loans from certain financial institutions. The Fund may borrow in amounts up to 331/3% (as determined immediately after borrowing) of the Fund’s investable assets. The use of leverage can create special risks. There can be no assurance that any leveraging strategy the Fund employs will be successful during any period in which it is employed.

Liquidity Risk: The Fund may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk includes the risk that the Fund may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. When there is no willing buyer and investments cannot be readily sold at the desired time or price, the Fund may have to accept a lower price or may not be able to sell the instrument at all. An inability to sell a portfolio position can adversely affect the Fund’s value or prevent the Fund from being able to take advantage of other investment opportunities.


PGIM Short Duration High Yield Fund, Inc.			45

Notes to Financial Statements (continued)

Market and Credit Risk: Securities markets may be volatile and the market prices of the Fund’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Fund fall, the value of an investment in the Fund will decline. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

Risks of Investments in Bank Loans: The Fund’s ability to receive payments of principal and interest and other amounts in connection with loans (whether through participations, assignments or otherwise) will depend primarily on the financial condition of the borrower. The failure by the Fund to receive scheduled interest or principal payments on a loan because of a default, bankruptcy or any other reason would adversely affect the income of the Fund and would likely reduce the value of its assets. Even with loans secured by collateral, there is the risk that the value of the collateral may decline, may be insufficient to meet the obligations of the borrower, or be difficult to liquidate. In the event of a default, the Fund may have difficulty collecting on any collateral and would not have the ability to collect on any collateral for an uncollateralized loan. Further, the Fund’s access to collateral, if any, may be limited by bankruptcy laws.


46

Financial Highlights


	Year Ended May 31,
	2018			2017			2016			2015			2014
Per Share Operating Performance(a):
Net Asset Value, Beginning of Year		$16.84			$16.79			$17.84			$18.82			$19.18
Income (loss) from investment operations:
Net investment income (loss)		0.90			0.98			1.06			1.20			1.22
Net realized and unrealized gain (loss) on investment and foreign currency transactions		(0.36	)		0.32			(0.75	)		(0.59	)		0.02
Total from investment operations		0.54			1.30			0.31			0.61			1.24
Less Dividends:
Dividends from net investment income		(1.09	)		(1.25	)		(1.36	)		(1.59	)		(1.60	)
Net asset value, end of year		$16.29			$16.84			$16.79			$17.84			$18.82
Market price, end of year		$14.07			$15.59			$15.58			$15.75			$17.84
Total Return(b):		(2.89)%			8.36%			8.23%			(2.92)%			0.24%
Ratios/Supplemental Data:
Net assets, end of year (000)		$541,660			$560,069			$558,403			$593,165			$626,021
Average net assets (000)		$550,742			$559,484