UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
| Investment Company Act file number: | 811-22724 | |
| Exact name of registrant as specified in charter: | Prudential Global Short Duration High Yield Fund, Inc. | |
| Address of principal executive offices: | Gateway Center 3, | |
| 100 Mulberry Street, | ||
| Newark, New Jersey 07102 | ||
| Name and address of agent for service: | Deborah A. Docs | |
| Gateway Center 3, | ||
| 100 Mulberry Street, | ||
| Newark, New Jersey 07102 | ||
| Registrant’s telephone number, including area code: | 973-367-7521 | |
| Date of fiscal year end: | 7/31/2014 | |
| Date of reporting period: | 4/30/2014 | |
| Item 1. | Schedule of Investments |
Prudential Global Short Duration High Yield Fund, Inc.
Schedule of Investments
as of April 30, 2014 (Unaudited)
| Description |
Interest
Rate |
Maturity Date | Principal Amount (000)# |
Value | ||||||||||||
| LONG-TERM INVESTMENTS — 139.4% |
||||||||||||||||
| BANK LOANS(a) — 12.6% |
||||||||||||||||
| Automotive — 0.7% |
||||||||||||||||
| Alliance Auto |
8.000 | % | 11/26/20 | EUR | 3,000 | $ | 4,120,422 | |||||||||
| Schaeffler AG (Germany) |
4.750 | % | 01/27/17 | EUR | 814 | 1,130,881 | ||||||||||
|
|
|
|||||||||||||||
| 5,251,303 | ||||||||||||||||
|
|
|
|||||||||||||||
| Cable — 1.9% |
||||||||||||||||
| Newsday LLC |
3.650 | % | 10/12/16 | 3,692 | 3,690,000 | |||||||||||
| Numericable SAS (France) |
4.260 | % | 12/29/17 | EUR | 2,000 | 2,760,821 | ||||||||||
| Numericable SAS (France) |
4.510 | % | 12/31/18 | EUR | 2,000 | 2,767,181 | ||||||||||
| Ziggo BV |
3.077 | % | 01/15/22 | EUR | 2,842 | 3,877,076 | ||||||||||
| Ziggo BV |
3.500 | % | 01/15/22 | EUR | 1,158 | 1,585,032 | ||||||||||
|
|
|
|||||||||||||||
| 14,680,110 | ||||||||||||||||
|
|
|
|||||||||||||||
| Capital Goods — 1.9% |
||||||||||||||||
| British Car Auctions Ltd. (United Kingdom) |
5.040 | % | 02/29/20 | EUR | 3,000 | 4,141,232 | ||||||||||
| Laureate Education, Inc. |
5.000 | % | 06/16/18 | 2,468 | 2,431,377 | |||||||||||
| OGF SA (France) |
4.230 | % | 10/30/20 | EUR | 2,500 | 3,496,549 | ||||||||||
| Tank & Rast GmbH |
3.810 | % | 12/10/18 | EUR | 3,500 | 4,867,855 | ||||||||||
|
|
|
|||||||||||||||
| 14,937,013 | ||||||||||||||||
|
|
|
|||||||||||||||
| Chemicals — 0.1% |
||||||||||||||||
| Axalta Coating Systems (US Holdings), Inc. |
4.000 | % | 02/01/20 | 1,000 | 996,111 | |||||||||||
|
|
|
|||||||||||||||
| Consumer — 0.7% |
||||||||||||||||
| AA Group (United Kingdom) |
3.520 | % | 01/01/20 | GBP | 3,047 | 5,124,501 | ||||||||||
|
|
|
|||||||||||||||
| Energy - Other — 0.3% |
||||||||||||||||
| Samson Co-invest I LP |
5.000 | % | 09/25/18 | 2,300 | 2,297,603 | |||||||||||
|
|
|
|||||||||||||||
| Gaming — 0.9% |
||||||||||||||||
| Gala Group Finance PLC (United Kingdom) |
5.490 | % | 05/27/18 | GBP | 4,000 | 6,766,225 | ||||||||||
|
|
|
|||||||||||||||
| Healthcare & Pharmaceutical — 0.2% |
||||||||||||||||
| Catalent Pharma Solutions, Inc. |
6.500 | % | 12/29/17 | 1,700 | 1,704,250 | |||||||||||
|
|
|
|||||||||||||||
| Insurance — 0.4% |
||||||||||||||||
| Asurion LLC |
3.750 | % | 03/03/17 | 3,000 | 2,988,750 | |||||||||||
|
|
|
|||||||||||||||
| Non-Captive Finance — 3.4% |
||||||||||||||||
| RBS WorldPay, Inc. (United Kingdom) |
5.750 | % | 11/29/19 | GBP | 1,800 | 3,058,444 | ||||||||||
| Saga Group Ltd. |
4.511 | % | 04/30/20 | GBP | 3,000 | 5,055,675 | ||||||||||
| Santander Asset Management |
5.000 | % | 12/17/20 | GBP | 2,494 | 4,194,635 | ||||||||||
| Scandlines GmbH (Germany) |
4.750 | % | 12/03/20 | EUR | 5,000 | 6,987,798 | ||||||||||
| Scout24 AG |
4.557 | % | 02/28/21 | EUR | 5,000 | 6,987,521 | ||||||||||
|
|
|
|||||||||||||||
| 26,284,073 | ||||||||||||||||
|
|
|
|||||||||||||||
| Retailers — 1.0% |
||||||||||||||||
| Alliance Boots Ltd. (United Kingdom) |
3.460 | % | 07/09/15 | GBP | 1,494 | 2,518,336 | ||||||||||
| Alliance Boots Ltd. (United Kingdom) |
3.970 | % | 07/09/17 | GBP | 2,000 | 3,376,781 | ||||||||||
| B&M Retail Ltd. (United Kingdom) |
5.770 | % | 03/06/20 | GBP | 1,000 | 1,691,346 | ||||||||||
|
|
|
|||||||||||||||
| 7,586,463 | ||||||||||||||||
|
|
|
|||||||||||||||
| Technology — 1.1% |
||||||||||||||||
| Ancestry.com, Inc. |
4.500 | % | 12/28/18 | 1,785 | 1,782,891 | |||||||||||
| Avago Technologies Finance Pte Ltd. |
3.750 | % | 05/31/21 | 5,000 | 5,010,940 | |||||||||||
| Interactive Data Corp. |
4.750 | % | 05/02/21 | 2,000 | 1,996,876 | |||||||||||
|
|
|
|||||||||||||||
| 8,790,707 | ||||||||||||||||
|
|
|
|||||||||||||||
| TOTAL BANK LOANS |
|
97,407,109 | ||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS — 69.8% |
||||||||||||||||
| Aerospace & Defense 0.6% |
||||||||||||||||
| Michael Baker International, Inc., Sr. Sec’d. Notes, |
8.250 | % | 10/15/18 | 4,725 | 5,020,313 | |||||||||||
|
|
|
|||||||||||||||
| Automotive — 2.0% |
||||||||||||||||
| Chrysler Group LLC/CG Co-Issuer, Inc., Sec’d. Notes |
8.000 | % | 06/15/19 | 8,000 | 8,760,000 | |||||||||||
| Chrysler Group LLC/CG Co-Issuer, Inc., Sec’d. Notes, 144A |
8.000 | % | 06/15/19 | 1,400 | 1,533,000 | |||||||||||
| General Motors Co., Sr. Unsec’d. Notes, 144A(b) |
3.500 | % | 10/02/18 | 2,300 | 2,348,875 | |||||||||||
| Lear Corp., Gtd. Notes(b) |
8.125 | % | 03/15/20 | 2,420 | 2,637,800 | |||||||||||
|
|
|
|||||||||||||||
| 15,279,675 | ||||||||||||||||
|
|
|
|||||||||||||||
| Building Materials & Construction — 3.6% |
||||||||||||||||
| Beazer Homes USA, Inc., Gtd. Notes, 144A |
5.750 | % | 06/15/19 | 2,050 | 2,024,375 | |||||||||||
| Beazer Homes USA, Inc., Sr. Sec’d. Notes(b) |
6.625 | % | 04/15/18 | 4,000 | 4,270,000 | |||||||||||
| BMBG Bond Finance SCA (Luxembourg), Sr. Sec’d. Notes, 144A |
5.327 | %(a) | 10/15/20 | EUR | 4,800 | 6,702,729 | ||||||||||
| D.R. Horton, Inc., Gtd. Notes(b) |
6.500 | % | 04/15/16 | 4,525 | 4,932,250 | |||||||||||
| Lennar Corp., Gtd. Notes(b) |
4.500 | % | 06/15/19 | 3,125 | 3,160,156 | |||||||||||
| Standard Pacific Corp., Gtd. Notes(b) |
8.375 | % | 05/15/18 | 3,050 | 3,599,000 | |||||||||||
| US Concrete, Inc., Sr. Sec’d. Notes, 144A(b) |
8.500 | % | 12/01/18 | 2,650 | 2,868,625 | |||||||||||
|
|
|
|||||||||||||||
| 27,557,135 | ||||||||||||||||
|
|
|
|||||||||||||||
| Cable — 3.7% |
||||||||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes |
7.750 | % | 04/15/18 | 2,065 | 2,341,194 | |||||||||||
| Cablevision Systems Corp., Sr. Unsec’d. Notes(b) |
8.625 | % | 09/15/17 | 9,046 | 10,651,665 | |||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(b) |
7.000 | % | 01/15/19 | 5,200 | 5,492,500 | |||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(b) |
7.250 | % | 10/30/17 | 8,355 | 8,845,856 | |||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Gtd. Notes(b) |
8.125 | % | 04/30/20 | 1,000 | 1,096,250 | |||||||||||
|
|
|
|||||||||||||||
| 28,427,465 | ||||||||||||||||
|
|
|
|||||||||||||||
| Capital Goods — 2.8% |
||||||||||||||||
| BlueLine Rental Finance Corp., Sec’d. Notes, 144A |
7.000 | % | 02/01/19 | 1,350 | 1,444,500 | |||||||||||
| Cleaver-Brooks, Inc., Sr. Sec’d. Notes, 144A |
8.750 | % | 12/15/19 | 1,400 | 1,550,500 | |||||||||||
| Laureate Education, Inc., Gtd. Notes, 144A(b) |
9.250 | % | 09/01/19 | 3,900 | 4,114,500 | |||||||||||
| Safway Group Holding LLC/Safway Finance Corp., Sec’d. Notes, 144A(b) |
7.000 | % | 05/15/18 | 1,450 | 1,537,000 | |||||||||||
| SPX Corp., Gtd. Notes(b) |
6.875 | % | 09/01/17 | 6,205 | 7,042,675 | |||||||||||
| Terex Corp., Gtd. Notes(b) |
6.500 | % | 04/01/20 | 5,850 | 6,347,250 | |||||||||||
|
|
|
|||||||||||||||
| 22,036,425 | ||||||||||||||||
|
|
|
|||||||||||||||
| Chemicals — 1.0% |
||||||||||||||||
| Celanese US Holdings LLC, Gtd. Notes |
6.625 | % | 10/15/18 | 605 | 636,763 | |||||||||||
| Hexion US Finance Corp., Sr. Sec’d. Notes |
8.875 | % | 02/01/18 | 2,000 | 2,082,500 | |||||||||||
| Huntsman International LLC, Gtd. Notes(b) |
8.625 | % | 03/15/20 | 1,500 | 1,642,500 | |||||||||||
| Koppers, Inc., Gtd. Notes(b) |
7.875 | % | 12/01/19 | 2,500 | 2,671,875 | |||||||||||
| Olin Corp., Sr. Unsec’d. Notes |
8.875 | % | 08/15/19 | 500 | 531,875 | |||||||||||
| PetroLogistics LP/PetroLogistics Finance Corp., Gtd. Notes |
6.250 | % | 04/01/20 | 225 | 229,781 | |||||||||||
|
|
|
|||||||||||||||
| 7,795,294 | ||||||||||||||||
|
|
|
|||||||||||||||
| Construction Machinery — 0.5% |
||||||||||||||||
| United Rentals North America, Inc., Sec’d. Notes(b) |
5.750 | % | 07/15/18 | 3,500 | 3,745,000 | |||||||||||
|
|
|
|||||||||||||||
| Consumer — 2.4% |
||||||||||||||||
| AA Bond Co. Ltd. (United Kingdom), Sec’d. Notes, RegS |
9.500 | % | 07/31/43 | GBP | 4,000 | 7,597,758 |
| Jarden Corp., Gtd. Notes(b) |
7.500 | % | 05/01/17 | 3,000 | 3,446,250 | |||||||||||
| Service Corp. International, Sr. Unsec’d. Notes(b) |
7.000 | % | 06/15/17 | 6,000 | 6,750,000 | |||||||||||
| West Corp., Gtd. Notes(b) |
8.625 | % | 10/01/18 | 890 | 950,075 | |||||||||||
|
|
|
|||||||||||||||
| 18,744,083 | ||||||||||||||||
|
|
|
|||||||||||||||
| Electric — 0.9% |
||||||||||||||||
| AES Corp. (The), Sr. Unsec’d. Notes(b) |
8.000 | % | 10/15/17 | 1,365 | 1,620,938 | |||||||||||
| DPL, Inc., Sr. Unsec’d. Notes(b) |
6.500 | % | 10/15/16 | 1,250 | 1,350,000 | |||||||||||
| Mirant Mid Atlantic LLC, Series B, Pass-Through Trust, Pass-Through Certificates(b) |
9.125 | % | 06/30/17 | 835 | 897,881 | |||||||||||
| NRG Energy, Inc., Gtd. Notes(b) |
7.625 | % | 01/15/18 | 1,575 | 1,783,687 | |||||||||||
| Reliant Energy Midatlantic Power, Series B, Pass-Through Certificates(b)(d) |
9.237 | % | 07/02/17 | 1,075 | 1,096,051 | |||||||||||
|
|
|
|||||||||||||||
| 6,748,557 | ||||||||||||||||
|
|
|
|||||||||||||||
| Energy - Other — 1.3% |
||||||||||||||||
| EP Energy LLC/EP Energy Finance, Inc., |
9.375 | % | 05/01/20 | 1,500 | 1,728,750 | |||||||||||
| Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Notes, 144A |
8.000 | % | 02/15/20 | 4,920 | 5,307,450 | |||||||||||
| Kodiak Oil & Gas Corp., Gtd. Notes(b) |
8.125 | % | 12/01/19 | 1,325 | 1,470,750 | |||||||||||
| PHI, Inc., Gtd. Notes, 144A(b) |
5.250 | % | 03/15/19 | 1,475 | 1,497,125 | |||||||||||
|
|
|
|||||||||||||||
| 10,004,075 | ||||||||||||||||
|
|
|
|||||||||||||||
| Foods — 3.2% |
||||||||||||||||
| Constellation Brands, Inc., Gtd. Notes(b) |
7.250 | % | 09/01/16 | 1,100 | 1,237,500 | |||||||||||
| Cott Beverages, Inc., Gtd. Notes(b) |
8.125 | % | 09/01/18 | 8,204 | 8,675,730 | |||||||||||
| Michael Foods Group, Inc., Gtd. Notes(b) |
9.750 | % | 07/15/18 | 5,130 | 5,450,625 | |||||||||||
| Pilgrim’s Pride Corp., Gtd. Notes(b) |
7.875 | % | 12/15/18 | 2,000 | 2,142,500 | |||||||||||
| Smithfield Foods, Inc., Sr. Unsec’d. Notes, 144A(b) |
5.250 | % | 08/01/18 | 1,450 | 1,511,625 | |||||||||||
| Tops Holding Corp./Tops Markets LLC, Sr. Sec’d Notes(b) |
8.875 | % | 12/15/17 | 5,250 | 5,722,500 | |||||||||||
|
|
|
|||||||||||||||
| 24,740,480 | ||||||||||||||||
|
|
|
|||||||||||||||
| Gaming — 5.7% |
||||||||||||||||
| Boyd Gaming Corp., Gtd. Notes(b) |
9.125 | % | 12/01/18 | 9,060 | 9,716,850 | |||||||||||
| Caesars Entertainment Operating Co., Inc., |
11.250 | % | 06/01/17 | 9,073 | 8,664,715 | |||||||||||
| Caesars Entertainment Resort Properties LLC, |
8.000 | % | 10/01/20 | 1,900 | 1,976,000 | |||||||||||
| GLP Capital LP/GLP Financing II, Inc., Gtd. Notes, 144A(b) |
4.375 | % | 11/01/18 | 1,975 | 2,044,125 | |||||||||||
| Isle of Capri Casinos, Inc., Gtd. Notes(b) |
7.750 | % | 03/15/19 | 3,500 | 3,745,000 | |||||||||||
| MGM Resorts International, Gtd. Notes(b) |
7.500 | % | 06/01/16 | 3,750 | 4,171,875 | |||||||||||
| MGM Resorts International, Gtd. Notes(b) |
7.625 | % | 01/15/17 | 5,889 | 6,698,737 | |||||||||||
| Pinnacle Entertainment, Inc., Gtd. Notes(b) |
8.750 | % | 05/15/20 | 6,750 | 7,377,750 | |||||||||||
|
|
|
|||||||||||||||
| 44,395,052 | ||||||||||||||||
|
|
|
|||||||||||||||
| Healthcare & Pharmaceutical — 6.4% |
||||||||||||||||
| Capella Healthcare, Inc., Gtd. Notes(b) |
9.250 | % | 07/01/17 | 1,000 | 1,057,500 | |||||||||||
| Capsugel FinanceCo SCA, Gtd. Notes, RegS |
9.875 | % | 08/01/19 | EUR | 2,000 | 3,028,441 | ||||||||||
| Capsugel SA, Sr. Unsec’d. Notes, PIK, 144A |
7.000 | % | 05/15/19 | 650 | 669,500 | |||||||||||
| Catalent Pharma Solutions, Inc., Gtd. Notes(b) |
9.750 | % | 04/15/17 | EUR | 3,500 | 4,917,869 | ||||||||||
| CHS/Community Health Systems, Inc., Gtd. Notes(b) |
8.000 | % | 11/15/19 | 4,308 | 4,711,875 | |||||||||||
| Emdeon, Inc., Gtd. Notes |
11.000 | % | 12/31/19 | 2,000 | 2,310,000 | |||||||||||
| HCA Holdings, Inc., Sr. Unsec’d. Notes(b) |
7.750 | % | 05/15/21 | 1,000 | 1,098,750 | |||||||||||
| HCA, Inc., Gtd. Notes(b) |
8.000 | % | 10/01/18 | 1,300 | 1,542,125 | |||||||||||
| HCA, Inc., Sr. Sec’d. Notes(b) |
3.750 | % | 03/15/19 | 3,800 | 3,828,500 | |||||||||||
| HCA, Inc., Sr. Unsec’d. Notes(b) |
6.500 | % | 02/15/16 | 7,500 | 8,137,500 | |||||||||||
| MedAssets, Inc., Gtd. Notes(b) |
8.000 | % | 11/15/18 | 4,500 | 4,781,250 | |||||||||||
| Tenet Healthcare Corp., Sr. Unsec’d Notes, 144A |
5.000 | % | 03/01/19 | 1,450 | 1,453,625 | |||||||||||
| Valeant Pharmaceuticals International, Gtd. Notes, 144A(b) |
6.750 | % | 08/15/18 | 2,600 | 2,814,500 | |||||||||||
| Valeant Pharmaceuticals International, Gtd. Notes, 144A(b) |
6.875 | % | 12/01/18 | 8,268 | 8,722,740 | |||||||||||
|
|
|
|||||||||||||||
| 49,074,175 | ||||||||||||||||
|
|
|
|||||||||||||||
| Lodging — 0.3% |
||||||||||||||||
| Royal Caribbean Cruises Ltd., Sr. Unsec’d. Notes |
7.250 | % | 03/15/18 | 2,150 | 2,494,000 | |||||||||||
|
|
|
|||||||||||||||
| Media & Entertainment 3.5% |
||||||||||||||||
| AMC Entertainment, Inc., Gtd. Notes(b) |
9.750 | % | 12/01/20 | 6,300 | 7,245,000 | |||||||||||
| Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., Gtd. Notes(b) |
9.125 | % | 08/01/18 | 3,375 | 3,585,937 | |||||||||||
| NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., Sr. Sec’d. Notes, 144A (original cost $1,875,000; purchased 07/30/13)(b)(c)(d) |
5.000 | % | 08/01/18 | 1,875 | 1,954,688 | |||||||||||
| Nielsen Finance LLC/Nielsen Finance Co., Gtd. Notes(b) |
7.750 | % | 10/15/18 | 1,500 | 1,595,625 | |||||||||||
| SSI Investments II Ltd./SSI Co-Issuer LLC, Gtd. Notes(b) |
11.125 | % | 06/01/18 | 11,796 | 12,503,760 | |||||||||||
|
|
|
|||||||||||||||
| 26,885,010 | ||||||||||||||||
|
|
|
|||||||||||||||
| Metals — 3.0% |
||||||||||||||||
| AK Steel Corp., Sr. Sec’d. Notes(b) |
8.750 | % | 12/01/18 | 8,450 | 9,442,875 | |||||||||||
| Peabody Energy Corp., Gtd. Notes(b) |
6.000 | % | 11/15/18 | 4,600 | 4,887,500 | |||||||||||
| Steel Dynamics, Inc., Gtd. Notes(b) |
6.125 | % | 08/15/19 | 2,000 | 2,185,000 | |||||||||||
| Westmoreland Coal Co./Westmoreland Partners, Sr. Sec’d. Notes |
10.750 | % | 02/01/18 | 4,000 | 4,350,000 | |||||||||||
| Wise Metals Group LLC/Wise Alloys Finance Corp., |
8.750 | % | 12/15/18 | 2,325 | 2,464,500 | |||||||||||
|
|
|
|||||||||||||||
| 23,329,875 | ||||||||||||||||
|
|
|
|||||||||||||||
| Non-Captive Finance — 2.0% |
||||||||||||||||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp., |
4.875 | % | 03/15/19 | 800 | 811,000 | |||||||||||
| International Lease Finance Corp., Sr. Unsec’d. Notes(b) |
8.875 | % | 09/01/17 | 7,500 | 8,915,625 | |||||||||||
| SLM Corp., Sr. Unsec’d. Notes(b) |
8.450 | % | 06/15/18 | 5,000 | 5,893,750 | |||||||||||
|
|
|
|||||||||||||||
| 15,620,375 | ||||||||||||||||
|
|
|
|||||||||||||||
| Packaging — 2.4% |
||||||||||||||||
| AEP Industries, Inc., Sr. Unsec’d. Notes(b) |
8.250 | % | 04/15/19 | 4,185 | 4,451,794 | |||||||||||
| Beverage Packaging Holdings Luxembourg II SA, |
5.625 | % | 12/15/16 | 4,000 | 4,085,000 | |||||||||||
| Beverage Packaging Holdings Luxembourg II SA, |
6.000 | % | 06/15/17 | 1,875 | 1,931,250 | |||||||||||
| BWAY Holding Co., Gtd. Notes |
10.000 | % | 06/15/18 | 1,750 | 1,846,250 | |||||||||||
| Greif, Inc., Sr. Unsec’d. Notes(b) |
6.750 | % | 02/01/17 | 865 | 960,150 | |||||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, |
9.000 | % | 04/15/19 | 1,050 | 1,120,875 | |||||||||||
| Sealed Air Corp., Gtd. Notes, 144A(b) |
8.125 | % | 09/15/19 | 3,685 | 4,099,562 | |||||||||||
|
|
|
|||||||||||||||
| 18,494,881 | ||||||||||||||||
|
|
|
|||||||||||||||
| Pipelines & Other — 0.4% |
||||||||||||||||
| Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A |
6.000 | % | 01/15/19 | 2,850 | 2,935,500 | |||||||||||
|
|
|
|||||||||||||||
| Restaurants — 0.3% |
||||||||||||||||
| Dave & Buster’s, Inc., Gtd. Notes(b) |
11.000 | % | 06/01/18 | 2,112 | 2,241,360 | |||||||||||
|
|
|
|||||||||||||||
| Retailers — 1.6% |
||||||||||||||||
| Academy Ltd./Academy Finance Corp., Gtd. Notes, 144A |
9.250 | % | 08/01/19 | 4,750 | 5,171,562 | |||||||||||
| HT Intermediate Holdings Corp., Sr. Unsec’d. Notes, PIK, 144A |
12.000 | % | 05/15/19 | 425 | 431,375 | |||||||||||
| Michaels Stores, Inc., Gtd. Notes(b) |
7.750 | % | 11/01/18 | 4,060 | 4,298,525 | |||||||||||
| Petco Holdings, Inc., Sr. Notes, PIK, 144A |
8.500 | % | 10/15/17 | 2,375 | 2,422,975 | |||||||||||
|
|
|
|||||||||||||||
| 12,324,437 | ||||||||||||||||
|
|
|
|||||||||||||||
| Technology — 14.9% |
||||||||||||||||
| Anixter, Inc., Gtd. Notes(b) |
5.625 | % | 05/01/19 | 1,000 | 1,067,500 | |||||||||||
| Avaya, Inc., Sec’d. Notes, 144A |
10.500 | % | 03/01/21 | 1,300 | 1,183,000 | |||||||||||
| Brightstar Corp., Gtd. Notes, 144A |
9.500 | % | 12/01/16 | 5,450 | 5,913,250 | |||||||||||
| Brightstar Corp., Sr. Unsec’d. Notes, 144A |
7.250 | % | 08/01/18 | 2,750 | 3,018,125 | |||||||||||
| CDW LLC/CDW Finance Corp., Gtd. Notes(b) |
8.500 | % | 04/01/19 | 10,615 | 11,610,156 | |||||||||||
| CDW LLC/CDW Finance Corp., Gtd. Notes |
12.535 | % | 10/12/17 | 943 | 985,435 | |||||||||||
| CDW LLC/CDW Finance Corp., Sr. Sec’d. Notes(b) |
8.000 | % | 12/15/18 | 4,300 | 4,617,125 | |||||||||||
| Ceridian Corp., Gtd. Notes (original cost $12,769,000; |
11.250 | % | 11/15/15 | 12,400 | 12,555,000 | |||||||||||
| Ceridian Corp., Gtd. Notes, PIK (original cost $3,735,000; |
12.250 | % | 11/15/15 | 3,600 | 3,636,000 | |||||||||||
| CommScope, Inc., Gtd. Notes, 144A(b) |
8.250 | % | 01/15/19 | 8,911 | 9,646,157 | |||||||||||
| First Data Corp., Gtd. Notes |
12.625 | % | 01/15/21 | 2,805 | 3,366,000 | |||||||||||
| First Data Corp., Sr. Sec’d. Notes, 144A(b) |
7.375 | % | 06/15/19 | 4,500 | 4,826,250 | |||||||||||
| First Data Corp., Sr. Sec’d. Notes, 144A(b) |
8.875 | % | 08/15/20 | 1,210 | 1,341,588 | |||||||||||
| Freescale Semiconductor, Inc., Gtd. Notes |
10.750 | % | 08/01/20 | 4,716 | 5,423,400 | |||||||||||
| iGATE Corp., Gtd. Notes, 144A(b) |
4.750 | % | 04/15/19 | 1,250 | 1,264,063 | |||||||||||
| Interactive Data Corp., Gtd. Notes |
10.250 | % | 08/01/18 | 12,435 | 13,390,941 | |||||||||||
| Interactive Data Corp., Gtd. Notes, 144A |
5.875 | % | 04/15/19 | 5,075 | 5,094,031 | |||||||||||
| Interactive Data Corp., Sr. Unsec’d. Notes, PIK, 144A(b) |
8.250 | % | 12/15/17 | 2,250 | 2,295,000 | |||||||||||
| SunGard Data Systems, Inc., Gtd. Notes(b) |
7.375 | % | 11/15/18 | 6,461 | 6,848,660 | |||||||||||
| TransUnion Holding Co., Inc., Sr. Unsec’d. Notes |
9.625 | % | 06/15/18 | 2,500 | 2,634,375 | |||||||||||
| TransUnion LLC/TransUnion Financing Corp., Gtd. Notes(b) |
11.375 | % | 06/15/18 | 13,138 | 14,048,463 | |||||||||||
|
|
|
|||||||||||||||
| 114,764,519 | ||||||||||||||||
|
|
|
|||||||||||||||
| Telecommunications — 5.1% |
||||||||||||||||
| CenturyLink, Inc., Sr. Unsec’d. Notes |
5.150 | % | 06/15/17 | 695 | 751,469 | |||||||||||
| Embarq Corp., Sr. Unsec’d. Notes (original cost $3,824,953; |
7.082 | % | 06/01/16 | 3,321 | 3,697,920 | |||||||||||
| Frontier Communications Corp., Sr. Unsec’d. Notes(b) |
8.250 | % | 04/15/17 | 1,500 | 1,745,625 | |||||||||||
| Level 3 Financing, Inc., Gtd. Notes(b) |
8.125 | % | 07/01/19 | 3,000 | 3,281,250 | |||||||||||
| Level 3 Financing, Inc., Gtd. Notes, 144A(b) |
3.846 | %(a) | 01/15/18 | 1,270 | 1,289,050 | |||||||||||
| Sprint Communications, Inc., Gtd. Notes, 144A |
9.000 | % | 11/15/18 | 580 | 706,875 | |||||||||||
| Sprint Communications, Inc., Sr. Unsec’d. Notes(b) |
8.375 | % | 08/15/17 | 13,800 | 16,215,000 | |||||||||||
| Sprint Communications, Inc., Sr. Unsec’d. Notes(b) |
9.125 | % | 03/01/17 | 500 | 591,875 | |||||||||||
| T-Mobile USA, Inc., Gtd. Notes(b) |
6.464 | % | 04/28/19 | 6,350 | 6,731,000 | |||||||||||
| Windstream Holdings, Inc., Gtd. Notes(b) |
7.875 | % | 11/01/17 | 3,750 | 4,307,812 | |||||||||||
|
|
|
|||||||||||||||
| 39,317,876 | ||||||||||||||||
|
|
|
|||||||||||||||
| Transportation — 2.2% |
||||||||||||||||
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc., |
8.250 | % | 01/15/19 | 1,145 | 1,219,425 | |||||||||||
| Hertz Corp. (The), Gtd. Notes(b) |
4.250 | % | 04/01/18 | 3,125 | 3,226,562 | |||||||||||
| Hertz Corp. (The), Gtd. Notes(b) |
6.750 | % | 04/15/19 | 3,000 | 3,217,500 | |||||||||||
| Hertz Corp. (The), Gtd. Notes(b) |
7.500 | % | 10/15/18 | 5,646 | 5,984,760 | |||||||||||
| Kenan Advantage Group, Inc. (The), Sr. Unsec’d. Notes, 144A |
8.375 | % | 12/15/18 | 2,930 | 3,138,763 | |||||||||||
|
|
|
|||||||||||||||
| 16,787,010 | ||||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS |
538,762,572 | |||||||||||||||
|
|
|
|||||||||||||||
| FOREIGN BONDS — 57.0% |
||||||||||||||||
| Australia — 2.2% |
||||||||||||||||
| Barminco Finance Pty Ltd., Gtd. Notes, 144A |
9.000 | % | 06/01/18 | 3,000 | 2,760,000 | |||||||||||
| FMG Resources (August 2006) Pty Ltd., Gtd. Notes, 144A(b) |
6.000 | % | 04/01/17 | 1,200 | 1,263,000 | |||||||||||
| FMG Resources (August 2006) Pty Ltd., Gtd. Notes, 144A(b) |
6.875 | % | 02/01/18 | 6,000 | 6,330,000 | |||||||||||
| FMG Resources (August 2006) Pty Ltd., Gtd. Notes, 144A(b) |
8.250 | % | 11/01/19 | 6,000 | 6,630,000 | |||||||||||
|
|
|
|||||||||||||||
| 16,983,000 | ||||||||||||||||
|
|
|
|||||||||||||||
| Belgium — 1.6% |
||||||||||||||||
| Taminco Global Chemical Corp., Sec’d. Notes, 144A(b) |
9.750 | % | 03/31/20 | 10,899 | 12,274,999 | |||||||||||
|
|
|
|||||||||||||||
| Brazil — 2.7% |
||||||||||||||||
| Bertin SA/Bertin Finance Ltd., Gtd. Notes, RegS(b) |
10.250 | % | 10/05/16 | 6,000 | 6,757,500 | |||||||||||
| Bertin SA/Bertin Finance Ltd., Gtd. Notes, 144A(b) |
10.250 | % | 10/05/16 | 1,980 | 2,229,975 | |||||||||||
| JBS Finance II Ltd., Gtd. Notes, RegS |
8.250 | % | 01/29/18 | 750 | 802,500 | |||||||||||
| JBS Finance II Ltd., Gtd. Notes, 144A |
8.250 | % | 01/29/18 | 2,646 | 2,831,220 | |||||||||||
| Minerva Luxembourg SA, Gtd. Notes, 144A |
12.250 | % | 02/10/22 | 3,325 | 3,773,875 | |||||||||||
| NET Servicos de Comunicacao SA, Gtd. Notes |
7.500 | % | 01/27/20 | 3,750 | 4,050,000 | |||||||||||
|
|
|
|||||||||||||||
| 20,445,070 | ||||||||||||||||
|
|
|
|||||||||||||||
| Canada — 2.8% |
||||||||||||||||
| Bombardier, Inc., Sr. Unsec’d. Notes, 144A(b) |
4.750 | % | 04/15/19 | 1,525 | 1,551,688 | |||||||||||
| Bombardier, Inc., Sr. Unsec’d. Notes, 144A(b) |
7.500 | % | 03/15/18 | 8,375 | 9,547,500 | |||||||||||
| Cascades, Inc., Gtd. Notes(b) |
7.875 | % | 01/15/20 | 2,100 | 2,241,750 | |||||||||||
| Telesat Canada/Telesat LLC, Gtd. Notes, 144A(b) |
6.000 | % | 05/15/17 | 7,590 | 7,846,162 | |||||||||||
|
|
|
|||||||||||||||
| 21,187,100 | ||||||||||||||||
|
|
|
|||||||||||||||
| Colombia — 0.4% |
||||||||||||||||
| Pacific Rubiales Energy Corp., Gtd. Notes, 144A(b) |
7.250 | % | 12/12/21 | 2,500 | 2,731,250 | |||||||||||
|
|
|
|||||||||||||||
| Cyprus — 0.2% |
||||||||||||||||
| Ocean Rig UDW, Inc., Sr. Unsec’d. Notes, 144A |
7.250 | % | 04/01/19 | 1,400 | 1,337,000 | |||||||||||
|
|
|
|||||||||||||||
| France — 4.0% |
||||||||||||||||
| Alcatel-Lucent USA, Inc., Gtd. Notes, 144A |
4.625 | % | 07/01/17 | 2,800 | 2,866,500 | |||||||||||
| CGG SA, Bonds, 144A |
5.875 | % | 05/15/20 | EUR | 4,000 | 5,708,934 | ||||||||||
| Financiere Quick SAS, Sr. Sec’d. Notes, 144A(b) |
5.075 | %(a) | 04/15/19 | EUR | 2,525 | 3,494,295 | ||||||||||
| Novalis SAS, Sr. Sec’d. Notes, MTN, 144A(b) |
6.000 | % | 06/15/18 | EUR | 2,525 | 3,716,213 | ||||||||||
| Numericable Finance & Co. SCA, Sr. Sec’d. Notes, RegS |
8.750 | % | 02/15/19 | EUR | 1,300 | 2,122,780 | ||||||||||
| Numericable Group SA, Sr. Sec’d. Notes, 144A |
4.875 | % | 05/15/19 | 11,850 | 11,968,500 | |||||||||||
| Picard Groupe SA, Sr. Sec’d. Notes, 144A |
4.548 | %(a) | 08/01/19 | EUR | 825 | 1,164,569 | ||||||||||
|
|
|
|||||||||||||||
| 31,041,791 | ||||||||||||||||
|
|
|
| Germany — 4.8% |
||||||||||||||||
| Kabel Deutschland Holding AG, Sr. Unsec’d. Notes, RegS(b) |
6.500 | % | 07/31/17 | EUR | 6,060 | 8,889,065 | ||||||||||
| Schaeffler Holding Finance BV, Sr. Sec’d. Notes, PIK, 144A(b) |
6.875 | % | 08/15/18 | EUR | 4,650 | 4,934,812 | ||||||||||
| Schaeffler Holding Finance BV, Sr. Sec’d. Notes, PIK, 144A(b) |
6.875 | % | 08/15/18 | EUR | 1,900 | 2,792,800 | ||||||||||
| Techem GmbH, Sr. Sec’d. Notes, MTN, RegS(b) |
6.125 | % | 10/01/19 | EUR | 3,000 | 4,532,297 | ||||||||||
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, |
7.500 | % | 03/15/19 | EUR | 2,000 | 2,989,734 | ||||||||||
| Unitymedia KabelBW GmbH, Sec’d. Notes, RegS(b) |
9.625 | % | 12/01/19 | EUR | 8,500 | 12,794,811 | ||||||||||
|
|
|
|||||||||||||||
| 36,933,519 | ||||||||||||||||
|
|
|
|||||||||||||||
| Indonesia — 1.2% |
||||||||||||||||
| Berau Capital Resources Pte Ltd., Sr. Sec’d. Notes, RegS(b) |
12.500 | % | 07/08/15 | 7,700 | 7,988,750 | |||||||||||
| Theta Capital Pte Ltd., Gtd. Notes, RegS |
7.000 | % | 05/16/19 | 800 | 826,156 | |||||||||||
|
|
|
|||||||||||||||
| 8,814,906 | ||||||||||||||||
|
|
|
|||||||||||||||
| Ireland — 1.9% |
||||||||||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., |
6.250 | % | 01/31/19 | 400 | 417,000 | |||||||||||
| Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., |
7.375 | % | 10/15/17 | EUR | 3,000 | 4,394,908 | ||||||||||
| Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., |
7.375 | % | 10/15/17 | EUR | 2,000 | 2,929,939 | ||||||||||
| Smurfit Kappa Acquisitions, Sr. Sec’d. Notes, RegS |
7.750 | % | 11/15/19 | EUR | 2,000 | 2,961,987 | ||||||||||
| Smurfit Kappa Acquisitions, Sr. Sec’d. Notes, 144A |
4.875 | % | 09/15/18 | 4,038 | 4,260,090 | |||||||||||
|
|
|
|||||||||||||||
| 14,963,924 | ||||||||||||||||
|
|
|
|||||||||||||||
| Italy — 1.9% |
||||||||||||||||
| Fiat Finance & Trade SA, Ser. G, Gtd. Notes, MTN, RegS |
6.375 | % | 04/01/16 | EUR | 6,000 | 8,910,933 | ||||||||||
| Telecom Italia Capital SA, Gtd. Notes |
6.999 | % | 06/04/18 | 5,175 | 5,918,906 | |||||||||||
|
|
|
|||||||||||||||
| 14,829,839 | ||||||||||||||||
|
|
|
|||||||||||||||
| Jamaica — 0.9% |
||||||||||||||||
| Digicel Group Ltd., Sr. Unsec’d. Notes, 144A |
8.250 | % | 09/01/17 | 7,000 | 7,262,850 | |||||||||||
|
|
|
|||||||||||||||
| Luxembourg — 6.0% |
||||||||||||||||
| Aguila 3 SA, Sr. Sec’d. Notes, 144A |
7.875 | % | 01/31/18 | 1,975 | 2,091,031 | |||||||||||
| ArcelorMittal, Sr. Unsec’d. Notes |
6.125 | % | 06/01/18 | 5,600 | 6,139,000 | |||||||||||
| ArcelorMittal SA, Sr. Unsec’d. Notes |
5.000 | % | 02/25/17 | 4,400 | 4,658,500 | |||||||||||
| ConvaTec Finance International SA, Sr. Unsec’d. Notes, PIK, 144A |
8.250 | % | 01/15/19 | 1,275 | 1,303,688 | |||||||||||
| ConvaTec Healthcare E SA, Gtd. Notes, RegS |
10.875 | % | 12/15/18 | EUR | 3,570 | 5,468,915 | ||||||||||
| ConvaTec Healthcare E SA, Sr. Sec’d. Notes, RegS |
7.375 | % | 12/15/17 | EUR | 5,000 | 7,335,599 | ||||||||||
| Geo Debt Finance SCA, Sr. Sec’d. Notes, 144A |
7.500 | % | 08/01/18 | EUR | 5,700 | 8,410,979 | ||||||||||
| Intelsat Jackson Holdings SA, Gtd. Notes |
7.250 | % | 04/01/19 | 3,109 | 3,330,516 | |||||||||||
| Orion Engineered Carbons Finance & Co. SCA, Gtd. Notes, PIK, 144A |
9.250 | % | 08/01/19 | 2,950 | 3,079,063 | |||||||||||
| Telenet Finance Luxembourg SCA, Sr. Sec’d. Notes, RegS |
6.375 | % | 11/15/20 | EUR | 3,000 | 4,463,058 | ||||||||||
|
|
|
|||||||||||||||
| 46,280,349 | ||||||||||||||||
|
|
|
|||||||||||||||
| Mexico — 1.5% |
||||||||||||||||
| Cemex Espana Luxembourg, Sr. Sec’d. Notes, RegS(b) |
9.250 | % | 05/12/20 | 1,350 | 1,468,125 | |||||||||||
| Cemex Espana Luxembourg, Sr. Sec’d. Notes, 144A(b) |
9.250 | % | 05/12/20 | 4,000 | 4,350,000 | |||||||||||
| Cemex Espana Luxembourg, Sr. Sec’d. Notes, 144A(b) |
9.875 | % | 04/30/19 | 3,000 | 3,432,000 | |||||||||||
| Cemex SAB de CV, Sr. Sec’d. Notes, RegS(b) |
9.000 | % | 01/11/18 | 2,345 | 2,532,600 | |||||||||||
|
|
|
|||||||||||||||
| 11,782,725 | ||||||||||||||||
|
|
|
|||||||||||||||
| Netherlands — 2.9% |
||||||||||||||||
| Carlson Wagonlit BV, Sr. Sec’d. Notes, 144A(b) |
7.500 | % | 06/15/19 | EUR | 2,000 | 3,010,544 | ||||||||||
| Hydra Dutch Holdings II BV, Sr. Sec’d. Notes, 144A |
5.844 | %(a) | 04/15/19 | EUR | 2,000 | 2,747,031 | ||||||||||
| NXP BV/NXP Funding LLC, Gtd. Notes, 144A |
3.500 | % | 09/15/16 | 600 | 614,250 | |||||||||||
| NXP BV/NXP Funding LLC, Gtd. Notes, 144A(b) |
3.750 | % | 06/01/18 | 6,845 | 6,836,444 | |||||||||||
| Sensata Technologies BV, Gtd. Notes, 144A(b) |
6.500 | % | 05/15/19 | 6,260 | 6,682,550 | |||||||||||
| Stampos BV, Sr. Sec’d. Notes, 144A(b) |
5.288 | %(a) | 05/15/19 | EUR | 2,000 | 2,802,189 | ||||||||||
|
|
|
|||||||||||||||
| 22,693,008 | ||||||||||||||||
|
|
|
|||||||||||||||
| Nigeria — 1.5% |
||||||||||||||||
| Afren PLC, Sr. Sec’d. Notes, RegS(b) |
10.250 | % | 04/08/19 | 1,250 | 1,415,625 | |||||||||||
| Afren PLC, Sr. Sec’d. Notes, RegS(b) |
11.500 | % | 02/01/16 | 3,050 | 3,446,500 | |||||||||||
| Afren PLC, Sr. Sec’d. Notes, 144A(b) |
10.250 | % | 04/08/19 | 2,000 | 2,265,000 | |||||||||||
| Afren PLC, Sr. Sec’d. Notes, 144A(b) |
11.500 | % | 02/01/16 | 3,780 | 4,271,400 | |||||||||||
|
|
|
|||||||||||||||
| 11,398,525 | ||||||||||||||||
|
|
|
|||||||||||||||
| Peru — 1.5% |
||||||||||||||||
| Corp. Pesquera Inca SAC, Gtd. Notes, 144A |
9.000 | % | 02/10/17 | 7,941 | 8,238,788 | |||||||||||
| Peru Enhanced Pass-Through Finance Ltd., |
1.410 | % | 05/31/18 | 3,873 | 3,620,255 | |||||||||||
|
|
|
|||||||||||||||
| 11,859,043 | ||||||||||||||||
|
|
|
|||||||||||||||
| Poland — 2.0% |
||||||||||||||||
| Eileme 2 AB, Sr. Sec’d. Notes, RegS |
11.750 | % | 01/31/20 | EUR | 7,400 | 12,370,976 | ||||||||||
| TVN Finance Corp. III AB, Gtd. Notes, RegS |
7.875 | % | 11/15/18 | EUR | 2,000 | 2,934,240 | ||||||||||
|
|
|
|||||||||||||||
| 15,305,216 | ||||||||||||||||
|
|
|
|||||||||||||||
| Russia — 2.1% |
||||||||||||||||
| Evraz Group SA, Gtd. Notes, 144A |
8.250 | % | 11/10/15 | 2,500 | 2,495,775 | |||||||||||
| Evraz Group SA, Sr. Unsec’d. Notes, 144A |
7.400 | % | 04/24/17 | 3,000 | 2,872,500 | |||||||||||
| Gazprom OAO Via Gaz Capital SA, Sr. Unsec’d. Notes, 144A |
8.146 | % | 04/11/18 | 2,000 | 2,205,000 | |||||||||||
| Sibur Securities Ltd., Gtd. Notes, 144A |
3.914 | % | 01/31/18 | 2,000 | 1,755,000 | |||||||||||
| Wind Acquisition Finance SA, Sr. Sec’d. Notes, RegS |
7.375 | % | 02/15/18 | EUR | 3,585 | 5,247,191 | ||||||||||
| Wind Acquisition Finance SA, Sr. Sec’d. Notes, 144A |
7.250 | % | 02/15/18 | 1,750 | 1,841,875 | |||||||||||
|
|
|
|||||||||||||||
| 16,417,341 | ||||||||||||||||
|
|
|
|||||||||||||||
| Spain — 2.7% |
||||||||||||||||
| Abengoa Finance SAU, Gtd. Notes, RegS(b) |
8.875 | % | 02/05/18 | EUR | 2,000 | 3,131,959 | ||||||||||
| Nara Cable Funding Ltd., Sr. Sec’d. Notes, 144A |
8.875 | % | 12/01/18 | 4,550 | 4,914,000 | |||||||||||
| Nara Cable Funding Ltd., Sr. Sec’d. Notes, 144A(b) |
8.875 | % | 12/01/18 | 10,288 | 11,033,880 | |||||||||||
| Ono Finance II PLC, Gtd. Notes, 144A |
10.875 | % | 07/15/19 | 1,500 | 1,668,750 | |||||||||||
|
|
|
|||||||||||||||
| 20,748,589 | ||||||||||||||||
|
|
|
|||||||||||||||
| Sweden — 0.2% |
||||||||||||||||
| Bravida Holding AB, Sr. Sec’d. Notes, 144A |
5.304 | %(a) | 06/15/19 | EUR | 1,200 | 1,688,124 | ||||||||||
|
|
|
|||||||||||||||
| Switzerland — 2.5% |
||||||||||||||||
| Gategroup Finance SA, Gtd. Notes, MTN, RegS |
6.750 | % | 03/01/19 | EUR | 3,000 | 4,475,028 | ||||||||||
| Sunrise Communications International SA, Sr. Sec’d. Notes, MTN, RegS |
7.000 | % | 12/31/17 | EUR | 10,000 | 14,641,093 | ||||||||||
|
|
|
|||||||||||||||
| 19,116,121 | ||||||||||||||||
|
|
|
|||||||||||||||
| United Kingdom — 9.0% |
||||||||||||||||
| Bond Mission Critical Services PLC, Sr. Sec’d. Notes, 144A(b) |
6.269 | %(a) | 05/01/19 | GBP | 3,000 | 5,103,161 | ||||||||||
| Boparan Finance PLC, Gtd. Notes, RegS(b) |
9.875 | % | 04/30/18 | GBP | 5,000 | 9,053,995 | ||||||||||
| Boparan Finance PLC, Gtd. Notes, 144A(b) |
9.875 | % | 04/30/18 | GBP | 1,000 | 1,810,799 | ||||||||||
| Eco-Bat Finance PLC, Gtd. Notes, RegS(b) |
7.750 | % | 02/15/17 | EUR | 3,310 | 4,761,018 | ||||||||||
| Elli Finance UK PLC, Sr. Sec’d. Notes, RegS(b) |
8.750 | % | 06/15/19 | GBP | 2,050 | 3,841,933 | ||||||||||
| Equiniti Newco 2 PLC, Sec’d. Notes, 144A(a)(b)(d) |
6.271 | % | 12/15/18 | GBP | 1,250 | 2,134,231 | ||||||||||
| Gala Group Finance PLC, Sr. Sec’d. Notes, RegS(b) |
8.875 | % | 09/01/18 | GBP | 1,465 | 2,631,994 | ||||||||||
| Galaxy Bidco Ltd., Sr. Sec’d. Notes, 144A |
5.521 | %(a) | 11/15/19 | GBP | 2,450 | 4,167,581 | ||||||||||
| IDH Finance PLC, Sr. Sec’d. Notes, MTN, 144A(b) |
6.000 | % | 12/01/18 | GBP | 3,000 | 5,286,773 | ||||||||||
| Innovia Group Finance PLC, Sr. Sec’d. Notes, 144A(b) |
5.287 | %(a) | 03/31/20 | EUR | 2,000 | 2,795,505 | ||||||||||
| Jaguar Land Rover Automotive PLC, Gtd. Notes, RegS |
8.125 | % | 05/15/18 | GBP | 4,000 | 7,171,270 | ||||||||||
| Phones4u Finance PLC, Sr. Sec’d. Notes, RegS(b) |
9.500 | % | 04/01/18 | GBP | 4,000 | 7,050,044 | ||||||||||
| Priory Group No. 3 PLC, Sr. Sec’d. Notes, RegS(b) |
7.000 | % | 02/15/18 | GBP | 3,700 | 6,590,633 | ||||||||||
| Virgin Media Finance PLC, Gtd. Notes(b) |
8.375 | % | 10/15/19 | 6,343 | 6,779,081 | |||||||||||
| Virgin Media Secured Finance PLC, Sr. Sec’d. Notes |
6.500 | % | 01/15/18 | 500 | 517,200 | |||||||||||
|
|
|
|||||||||||||||
| 69,695,218 | ||||||||||||||||
|
|
|
|||||||||||||||
| Venezuela — 0.5% |
||||||||||||||||
| Petroleos de Venezuela SA, Gtd. Notes, RegS |
8.500 | % | 11/02/17 | 4,400 | 3,960,000 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL FOREIGN BONDS |
|
439,749,507 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL LONG-TERM INVESTMENTS |
|
1,075,919,188 | ||||||||||||||
|
|
|
|||||||||||||||
| SHORT-TERM INVESTMENT — 2.3% |
||||||||||||||||
| Shares | ||||||||||||||||
| AFFILIATED MONEY MARKET MUTUAL FUND |
|
|||||||||||||||
| Prudential Investment Portfolios 2 — Prudential |
18,147,506 | 18,147,506 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS — 141.7% |
|
1,094,066,694 | ||||||||||||||
| Liabilities in excess of other assets(h) — (41.7)% |
|
(322,189,278 | ) | |||||||||||||
|
|
|
|||||||||||||||
| NET ASSETS — 100.0% |
|
$ | 771,877,416 | |||||||||||||
|
|
|
|||||||||||||||
The following abbreviations are used in the portfolio descriptions:
| 144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
| RegS | Regulation S. Security was purchased pursuant to Regulation S and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons, except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | |
| MTN | Medium Term Note | |
| PIK | Payment-in-Kind | |
| EUR | Euro | |
| GBP | British Pound |
| # | Principal amount shown in U.S. dollars unless otherwise stated. |
| (a) | Variable rate instrument. The interest rate shown reflects the rate in effect at April 30, 2014. |
| (b) | Represents security, or portion thereof, with an aggregate value of $648,254,835, segregated as collateral for amount of $313,000,000 borrowed and outstanding as of April 30, 2014. |
| (c) | Indicates a restricted security; the aggregate original cost of the restricted securities is $58,590,684. The aggregate value, $58,343,362, is approximately 7.6% of net assets. |
| (d) | Indicates a security or securities that have been deemed illiquid. |
| (e) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
| (f) | Prudential Investments LLC, the manager of the Fund, also serves as manager of the Prudential Investment Portfolios 2 — Prudential Core Taxable Money Market Fund. |
| (g) | The United States federal income tax basis of investments and net unrealized appreciation were as follows: |
| Tax Basis |
$ | 1,090,252,705 | ||
|
|
|
|||
| Appreciation |
17,100,156 | |||
| Depreciation |
(13,286,167 | ) | ||
|
|
|
|||
| Net Unrealized Appreciation |
$ | 3,813,989 | ||
|
|
|
The book basis may differ from tax basis due to certain tax related adjustments.
| (h) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Forward foreign currency exchange contracts outstanding at April 30, 2014:
| Purchase Contracts |
Counterparty |
Notional Amount (000) |
Value
at Settlement Date Payable |
Current Value |
Unrealized Appreciation(1)(2) |
|||||||||||||||||
| British Pound, |
Bank of America | GBP | 640 | $ | 1,074,131 | $ | 1,080,853 | $ | 6,722 | |||||||||||||
| Euro, |
Barclays Capital Group | EUR | 290 | 400,000 | 401,676 | 1,676 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 1,474,131 | $ | 1,482,529 | $ | 8,398 | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| Sale Contracts |
Counterparty |
Notional Amount (000) |
Value
at Settlement Date Receivable |
Current Value |
Unrealized Depreciation(1)(2) |
|||||||||||||||||
| British Pound, |
Deutsche Bank AG | GBP | 52,687 | $ | 87,645,489 | $ | 88,937,991 | $ | (1,292,502 | ) | ||||||||||||
| Euro, |
||||||||||||||||||||||
| Expiring 05/27/14 |
Barclays Capital Group | EUR | 69,577 | 95,500,574 | 96,521,322 | (1,020,748 | ) | |||||||||||||||
| Expiring 05/27/14 |
Citigroup Global Markets | EUR | 4,625 | 6,386,425 | 6,415,912 | (29,487 | ) | |||||||||||||||
| Expiring 05/27/14 |
Credit Suisse First Boston Corp. | EUR | 4,767 | 6,605,376 | 6,613,026 | (7,650 | ) | |||||||||||||||
| Expiring 05/27/14 |
Credit Suisse First Boston Corp. | EUR | 4,000 | 5,526,892 | 5,549,043 | (22,151 | ) | |||||||||||||||
| Expiring 05/27/14 |
Goldman Sachs & Co. | EUR | 2,124 | 2,938,679 | 2,945,986 | (7,307 | ) | |||||||||||||||
| Expiring 05/27/14 |
Hong Kong & Shanghai Bank | EUR | 69,577 | 95,493,616 | 96,521,322 | (1,027,706 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| $ | 300,097,051 | $ | 303,504,602 | $ | (3,407,551 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| $ | (3,399,153 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| (1) | Cash of $2,180,000 has been segregated to cover requirements for open forward foreign currency exchange contracts as of April 30, 2014. |
| (2) | The amount represents fair value of derivative instruments subject to foreign exchange contracts risk exposure as of April 30, 2014. |
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are summarized in the three broad levels listed below.
Level 1 - quoted prices generally in active markets for identical securities.
Level 2 - other significant observable inputs including, but not limited to, quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates, and amortized cost.
Level 3 - significant unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of April 30, 2014 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
| Investments in Securities |
||||||||||||
| Bank Loans |
$ | — | $ | 83,081,155 | $ | 14,325,954 | ||||||
| Corporate Bonds |
— | 537,666,521 | 1,096,051 | |||||||||
| Foreign Bonds |
— | 439,749,507 | — | |||||||||
| Affiliated Money Market Mutual Fund |
18,147,506 | — | — | |||||||||
| Other Financial Instruments* |
||||||||||||
| Forward Foreign Currency Exchange Contracts |
— | (3,399,153 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
| Total |
$ | 18,147,506 | $ | 1,057,098,030 | $ | 15,422,005 | ||||||
|
|
|
|
|
|
|
|||||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| Bank Loans | Corporate Bonds | Foreign Bonds | ||||||||||
| Balance as of 7/31/13 |
$ | 2,993,078 | $ | — | $ | 1,596,424 | ||||||
| Realized gain (loss) |
150,703 | — | — | |||||||||
| Change in unrealized appreciation |
1,047,206 | (22,163 | ) | — | ||||||||
| Purchases |
11,312,860 | — | — | |||||||||
| Sales |
(2,884,589 | ) | — | — | ||||||||
| Accrued discount/premium |
3,509 | — | — | |||||||||
| Transfers into Level 3 |
1,703,187 | 1,118,214 | — | |||||||||
| Transfers out of Level 3 |
— | — | (1,596,424 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| Balance as of 4/30/14 |
$ | 14,325,954 | $ | 1,096,051 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
| * | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swaps contracts, which are recorded at the unrealized appreciation/depreciation of the instrument. |
| ** | Of which, $1,025,043 was included in Net Assets relating to securities held at the reporting period end. |
It is the Portfolio’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, there was one Foreign Bond transferred out of Level 3 as a result of being priced by a vendor and one Corporate Bond and one Bank Loan transferred into level 3 as a result of being priced using a single broker quote.
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board of Directors, which contain unobservable inputs. Such methodologies include, but are not limited to, using prices provided by a single broker/dealer, the cost of the investment, and broker quotes adjusted for changes in yields of comparable U.S. Government and other securities using fixed income securities valuation models.
Notes to Schedule of Investments (Unaudited)
Security Valuation: The Fund holds securities and other assets that are fair valued at the close of each day the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Directors (the “Board”) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (“PI” or “Manager”). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Fund to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how the Fund’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
Common stocks, exchange-traded funds, and derivative instruments that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy except for exchange-traded and cleared swaps which are classified as Level 2 in the fair value hierarchy, as the prices marked at the official settle are not public.
In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and asked prices, or at the last bid price in the absence of an asked price. These securities are classified as Level 2 in the fair value hierarchy, as the inputs are observable and considered to be significant to the valuation.
Common stocks traded on foreign securities exchanges are valued using pricing vendor services that provide model prices derived using adjustment factors based on information such as local closing price, relevant general and sector indices, currency fluctuations, depositary receipts, and futures, as applicable. Securities valued using such model prices are classified as Level 2 in the fair value hierarchy, as the adjustment factors are observable and considered to be significant to the valuation. Securities not valued using such model prices are valued in accordance with exchange- traded common stocks discussed above.
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 over-the-counter market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
Over-the-counter derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
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 significant unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment
adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net asset values.
The Fund may invest up to 15% of its net assets in illiquid securities, including repurchase agreements which have a maturity of longer than seven days, certain securities with legal or contractual restrictions on resale (restricted securities, sometimes referred to as Private Placements) and securities that are not readily marketable. Restricted securities are valued pursuant to the valuation procedures noted above.
The Fund invests in the Prudential Core Taxable Money Market Fund, a portfolio of the Prudential Investment Portfolios 2, registered under the Investment Company Act of 1940, as amended, and managed by PI.
Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website. (www.sec.gov).
| Item 2. | Controls and Procedures |
| (a) | It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
| (b) | There have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. |
| Item 3. | Exhibits |
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 – Attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Prudential Global Short Duration High Yield Fund, Inc.
| By (Signature and Title)* | /s/ Deborah A. Docs | |
| Deborah A. Docs | ||
| Secretary of the Fund |
Date June 19, 2014
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | /s/ Stuart S. Parker | |
| Stuart S. Parker | ||
| President and Principal Executive Officer |
Date June 19, 2014
| By (Signature and Title)* | /s/ M. Sadiq Peshimam | |
| M. Sadiq Peshimam | ||
| Treasurer and Principal Financial Officer |
Date June 19, 2014
| * | Print the name and title of each signing officer under his or her signature. |