<PAGE>
ANNUAL REPORT MARCH 31, 2000
Prudential
High Yield Total Return Fund, Inc.
Fund Type Junk bond and stock
Objective Total return through high current income and capital
appreciation
(GRAPHIC)
This report is not authorized for distribution to prospective
investors unless preceded or accompanied by a
current prospectus.
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.
(LOGO)
<PAGE>
Build on the Rock
Investment Goals and Style
Prudential High Yield Total Return Fund seeks total
return through high current income and capital
appreciation. The Fund invests primarily in
securities rated BB and below by independent rating
agencies, and unrated securities of comparable
quality, that is, "junk bonds." Junk bonds have a
higher risk of default of payment of principal and
interest. The Fund also invests in equity-related
securities, convertible securities, and preferred
stock. There can be no assurance that the Fund will
achieve its investment objective.
Portfolio Composition
Expressed as a percentage of
total investments as of 3/31/00
85.6% Corporate Bonds
6.1 Preferred Stocks
4.0 Common Stocks
0.9 Warrants
0.6 Convertible Bonds
0.4 Foreign Government Bonds
0.3 REITs
0.1 Trade Claims
2.0 Cash & Equivalents
Credit Quality
Expressed as a percentage of total investments
as of 3/31/00
1.1% BBB
6.9 BB
53.9 B
11.7 CCC
1.5 CC
11.9 Not Rated
11.0 Equity
2.0 Short-Term/Cash
Ten Largest Holdings
Expressed as a percentage of net assetsas of
3/31/00
1.8% R & B Falcon Corp.
1.7 Level 3 Communications, Inc.
1.7 AES Corp.
1.7 United Pan Europe Communications
1.6 Diamond Cable Co.
1.5 Capstar Broadcasting
1.4 New Millennium Homes
1.4 Aircraft Funding Corp.
1.4 US Healthworks, Inc.
1.3 Versatel Telecom BV
<PAGE>
www.prudential.com (800) 225-1852
Performance at a Glance
Cumulative Total Returns1 As of 3/31/00
One Since
Year Inception2
Class A 1.38% -1.63%
Class B 0.88 -2.60
Class C 0.88 -2.60
Class Z 1.63 -1.24
Lipper High Current
Yield Fund Avg.3 0.06 -2.36
Average Annual Total Returns1 As of 3/31/00
One Since
Year Inception2
Class A -2.68% -2.96%
Class B -4.12 -3.52
Class C -1.13 -1.89
Class Z 1.63 -0.65
Distributions and Yields As of 3/31/00
Total Distributions 30-Day
Paid for 12 Months SEC Yield
Class A $0.79 10.56%
Class B $0.75 10.49
Class C $0.75 10.39
Class Z $0.81 11.29
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost.
1 Source: Prudential Investments Fund Management
LLC and Lipper Inc. The cumulative total returns do
not take into account sales charges. The average
annual total returns do take into account
applicable sales charges. The Fund charges a
maximum front-end sales charge of 4% for Class A
shares. Class B shares are subject to a declining
contingent deferred sales charge (CDSC) of 5%, 4%,
3%, 2%, 1%, and 1% for six years. Class B shares
will automatically convert to Class A shares, on a
quarterly basis, approximately seven years after
purchase. Class C shares are subject to a front-end
sales charge of 1% and a CDSC of 1% for 18 months.
Class Z shares are not subject to a sales charge or
distribution and service (12b-1) fees.
2 Inception date: Class A, B, C, and Z, 5/5/98.
3 Lipper average returns are for all funds in each
share class for the one-year and since-inception
periods in the High Current Yield Fund category.
The Lipper average is unmanaged. High Current Yield
funds aim at high (relative) current yield from
fixed-income securities, have no quality or
maturity restrictions, and tend to invest in lower-
grade debt securities.
1
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Message From the Fund's President May 16, 2000
Dear Shareholder,
During its fiscal year that ended on March 31,
2000, the Class A shares of Prudential High Yield
Total Return Fund generated a 1.38% return, which
exceeded the 0.06% return of the Lipper High
Current Yield Fund Average, and the -1.82% return
of the Lehman Brothers High Yield Bond Index. After
initial sales charges, the Class A shares posted a
negative return of 2.68%.
The Fund benefited from an increased exposure to
common stocks, which generally performed better
than high-yield bonds during its fiscal year. On an
absolute basis, however, the unattractive returns
provided by high-yield products reflected the
bearish conditions in most U.S. fixed-income
markets, including junk bonds.
STAYING THE COURSE AMID UPS AND DOWNS OF FINANCIAL
MARKETS
Many investors consider selling an asset class that
has performed poorly in favor of investments that
are currently gaining in value. However, changes in
asset allocation should reflect basic shifts in an
investor's time horizon and tolerance for risk--not
recent fluctuations in the performance of financial
markets. One strategy may be to own a diversified
portfolio of mutual funds that invests in stocks,
bonds, and money market instruments because this
approach may help to reduce risk.
Deciding on the appropriate level of
diversification is not easy. It requires an
understanding of an investor's risk tolerance and
overall investment strategy. In these volatile
times, we recommend consulting your financial
advisor to develop your asset allocation goals.
Thank you for your continued confidence in
Prudential mutual funds.
Sincerely,
John R. Strangfeld, President
Prudential High Yield Total Return Fund, Inc.
2
<PAGE>
www.prudential.com (800) 225-1852
Investment Adviser's Report
Dear Shareholder,
Concern that a supercharged U.S. economy and rising
oil prices might rekindle higher inflation led the
Federal Reserve to unleash a series of five
interest-rate increases during our fiscal year that
ended on March 31, 2000. For much of this 12-month
period, investors responded by requiring higher
yields (and lower prices) on U.S. fixed-income
securities, including high-yield bonds. Default
rates also climbed in 1999 as a growing number of
companies failed to make interest and principal
payments on their junk bonds. This trend further
depressed returns on high-yield bonds versus other
fixed-income markets.
increased exposure to stocks benefited the Fund
In light of the less favorable conditions in the
high-yield bond market, we increased the Fund's
exposure to common stocks because they offered more
potential for capital appreciation. There was a
record level of stock issuance by high-yield
companies during 1999, led by the technology,
telecommunications, and cable sectors. High-yield
equity securities of these three industries posted
stellar returns in 1999, then erased some of their
gains in the first three months of 2000.
Our purchases of shares in the telecommunications
and technology sectors helped to increase common
stocks to 4.0% of the Fund's net assets as of March
31, 2000, up from 1.3% a year earlier. While our
portfolio contained gainers and losers, stocks
overall had a net positive impact on the Fund's
performance. The larger exposure to equities was
the primary reason the Fund's share classes,
without sales charges factored in, performed better
than both their Lipper Average and the Lehman
Index, which do not consider sales charges.
Concern about defaults plagued high-yield bonds
Gains in the prices of some of the Fund's stocks
were partially offset by declines in the prices of
some of its junk bonds. Investor demand for junk
bonds faded amid concern that the Fed might hike
rates enough to
3
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Investment Adviser's Report
materially slow U.S. economic growth and hurt
corporate credit quality. The U.S. central bank
raised its target for the federal funds rate (the
rate U.S. banks charge each other for overnight
loans) by a quarter of a percentage point five
times, which lifted the rate to 6.00%.
Besides the trend toward tighter monetary policy,
the number of companies that defaulted on their
junk bonds climbed in 1999. Many of the debt
securities that defaulted were concentrated in the
healthcare and energy sectors. Many were also
simply lower-quality bonds issued during a more
receptive, arguably overly receptive, market
environment that lasted from the mid-1990s through
the first half of 1998. Taken together, the moves
by the Fed and the rising junk-bond default rate
(which appears to have peaked in 1999) caused the
high-yield bond market to perform worse than all
other U.S. fixed-income markets during our fiscal
year, according to Lehman Brothers' indexes.
Given the increasing default rate in 1999, negative
events among lower-quality junk bonds outpaced
positive developments. Therefore, we cut the Fund's
exposure to lower-quality junk bonds, such as those
rated CCC. The BB ratings category, the highest in
the junk bond market, was one of the best-
performing high-yield credit tiers during our
fiscal year. But because BB-rated bonds also carry
the lowest yields in the junk bond market, they
accounted for less than 8.0% of the Fund's total
investments throughout the 12 months. By contrast,
bonds rated single-B comprised more than 50% of the
Fund's total investments for most of our fiscal
year.
4
<PAGE>
www.prudential.com (800) 225-1852
We increased telecom but cut consumer products and
media
Among the various sectors of the high-yield bond
market, we increased the Fund's exposure to
telecommunications bonds to 19.5% of its total
investments by the end of its fiscal year from
16.2% at the beginning. While this sector exhibits
greater price volatility, we believe it still
offers strong fundamental growth at a good value.
We purchased more bonds of Level 3, a U.S.-based
provider of telecommunications services, and
Versatel, which is based in Europe. Conversely, we
lowered the Fund's exposure to the consumer
products and media sectors. In the case of the
former, we reduced exposure because of the sector's
extreme volatility, while we trimmed an overweight
position in the latter. Many bonds in the media
sector performed well in 1999 due to acquisitions
by better-rated companies.
Looking Ahead
We believe the junk bond default rate will not
increase in 2000 unless there is an economic
recession. Nevertheless, the default rate remains
higher than in the past several years. With this in
mind, we plan to continue to improve the Fund's
credit quality by reducing its exposure to the
lowest-quality junk bonds and boosting its exposure
to better-rated junk bonds. In addition, we will
continue to be selective buyers of common stocks or
securities with equity participation, such as
convertible bonds or bonds with warrants to
purchase common stock.
Prudential High Yield Total Return Fund Management
Team
5
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Financial
Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------
LONG-TERM INVESTMENTS 96.1%
Corporate Bonds 83.9%
----------------------------------------------------------------------------------------
Aerospace 0.7%
BE Aerospace, Inc., Sr. Sub.
Notes B1 9.50% 11/01/08 $ 250 $ 215,000
Stellex Technologies, Inc.,
Sr. Sub. Notes B3 9.50 11/01/07 1,000 650,000
------------
865,000
----------------------------------------------------------------------------------------
Automotive 2.3%
Collins & Aikman Products Co.,
Sr. Sub. Notes B2 11.50 4/15/06 100 95,250
Federal Mogul Corp., Sr. Notes Ba2 7.50 1/15/09 195 150,084
Hayes Wheels Int'l., Inc.,
Sr. Sub. Notes B2 9.125 7/15/07 500 447,500
JPS Automotive Products Corp.,
Sr. Notes B1 11.125 6/15/01 650 654,875
MSX Int'l., Inc., Gtd. Sr. Sub.
Notes B-(a) 11.375 1/15/08 500 465,000
Paragon Corp. Holdings, Inc.,
Sr. Notes B3 9.625 4/01/08 155 54,250
Stanadyne Automotive Corp.,
Sr. Sub. Notes B(a) 10.25 12/15/07 250 202,500
Tenneco Automotive, Inc.,
Sr. Sub. Notes NR 11.625 10/15/09 375 363,750
Venture Holdings, Sr. Notes B2 9.50 7/01/05 460 391,000
------------
2,824,209
----------------------------------------------------------------------------------------
Broadcasting & Other Media 2.6%
Alliance Atlantis Communications
Corp., Sr. Sub. Notes B2 13.00 12/15/09 300 298,500
Capstar Broadcasting,
Sr. Disc. Notes,
Zero Coupon (until 2/1/02) B2 12.75 2/01/09 2,000 1,760,000
Imax Corp., Sr. Notes Ba2 7.875 12/01/05 100 91,250
</TABLE>
See Notes to Financial Statements 7
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Lin Holdings Corp., Sr. Disc.
Notes, Zero Coupon (until
3/1/03) B3 10.00% 3/01/08 $ 500 $ 308,750
Radio Unica Corp., Sr. Disc.
Notes, Zero Coupon (until
8/1/02) Caa1 11.75 8/01/06 500 303,750
XM Satellite Radio Holdings,
Inc.,
Sr. Sec'd. Notes NR 14.00 3/15/10 345 326,025
------------
3,088,275
----------------------------------------------------------------------------------------
Building/Construction 1.8%
New Millenium Homes, Sr. Notes
(cost $1,953,041; purchased
5/27/98) NR 13.50 9/03/04 2,000(b) 1,740,000
Nortek, Inc., Sr. Notes B1 9.125 9/01/07 420 384,300
------------
2,124,300
----------------------------------------------------------------------------------------
Cable 8.6%
Adelphia Communications Corp.,
Sr. Notes B1 10.50 7/15/04 500 505,000
Sr. Notes, PIK B1 9.50 2/15/04 43 41,870
Avalon Cable Holdings LLC,
Sr. Disc. Notes,
Zero Coupon (until 12/1/02) B2 11.875 12/01/08 1,000 630,000
Charter Communications Holdings
LLC, Sr. Notes B2 10.25 1/15/10 500 480,000
Classic Cable, Inc.,
Sr. Sub. Notes B3 10.50 3/01/10 345 341,550
Coaxial Communications, Inc.,
Sr. Notes B3 10.00 8/15/06 250 241,250
CSC Holdings, Inc., Sr. Sub.
Debs. Ba3 10.50 5/15/16 225 244,125
Diamond Cable Co., Sr. Disc.
Notes, Zero Coupon (until
12/15/00) (United Kingdom) B3 11.75 12/15/05 2,000(e) 1,910,000
International Cabletel, Inc., Sr.
Disc. Notes, Zero Coupon (until
4/15/00) B3 12.75 4/15/05 500 507,500
</TABLE>
8 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Mediacom LLC, Sr. Notes B2 7.875% 2/15/11 $ 250 $ 215,000
Multicanal S.A., (Argentina) B1 13.125 4/15/09 500(e) 522,500
NTL Communications Corp.,
Sr. Disc. Notes, Zero Coupon
(until 10/1/03) B3 12.375 10/01/08 1,500 990,000
Rogers Cablesystems Ltd.,
Gtd. Sr. Sub. Debs. (Canada) B2 11.00 12/01/15 215(e) 241,875
Scott Cable Communications, Inc.,
Jr. Notes, PIK (cost $6,472;
purchased 3/17/98) NR 16.00 7/18/02 18(b) 5,436
Telewest Communications PLC,
Sr. Disc. Notes, Zero Coupon
(until 2/01/05) (United Kingdom) B1 11.375 2/01/10 620(e) 353,400
United Int'l. Holdings, Inc., Sr.
Disc. Notes, Zero Coupon
(until 2/15/03) B3 10.75 2/15/08 1,500 1,027,500
United-Pan Europe
Communications, Inc.,
Sr. Disc. Notes, Zero Coupon
(until 8/01/04) (Netherlands) B2 12.50 8/01/09 2,050(e) 1,025,000
Sr. Notes (Netherlands) B2 10.875 8/01/09 1,060(e) 1,001,700
------------
10,283,706
----------------------------------------------------------------------------------------
Chemicals 2.1%
Avecia Group PLC, Gtd. Sr. Notes
(United Kingdom) B2 11.00 7/01/09 595(e) 586,075
Huntsman ICI Chemicals LLC,
Sr. Sub. Notes B2 10.125 7/01/09 650 627,250
Lyondell Chemical Co., Sr. Sub.
Notes B2 10.875 5/01/09 750 701,250
Polymer Group, Inc., Gtd.
Sr. Sub. Notes B2 8.75 3/01/08 145 126,150
Sterling Chemical Holdings, Inc.,
Sr. Disc. Notes,
Zero Coupon (until 8/15/01) Caa 13.50 8/15/08 472 155,760
</TABLE>
See Notes to Financial Statements 9
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Sterling Chemical, Inc., Sr. Sub.
Notes B3 11.75% 8/15/06 $ 465 $ 395,250
------------
2,591,735
----------------------------------------------------------------------------------------
Consumer 2.4%
Coinstar, Inc., Sr. Disc. Notes,
Zero Coupon (until 10/1/99) NR 13.00 10/01/06 800 800,000
Corning Consumer Product Co.,
Sr. Sub. Notes B3 9.625 5/01/08 1,080 680,400
Desa Int'l., Inc., Sr. Sub. Notes B3 9.875 12/15/07 750 540,000
La Petite Academy, Inc., Sr.
Notes B3 10.00 5/15/08 500 305,000
Packaged Ice, Inc., Sr. Notes B3 9.75 2/01/05 500 420,000
Revlon Consumer Products Corp.,
Sr. Notes B3 9.00 11/01/06 290 205,900
------------
2,951,300
----------------------------------------------------------------------------------------
Containers/Packaging 1.4%
Graham Packaging Holdings Co.,
Sr. Disc. Notes,
Zero Coupon (until 1/15/03) Caa1 10.75 1/15/09 2,000 1,140,000
Packaging Resources, Inc.,
Gtd. Sr. Notes (cost $321,616;
purchased 1/14/00) NR 13.00 6/30/03 322(b) 273,374
Radnor Holdings Corp., Gtd. Sr.
Notes B2 10.00 12/01/03 300 255,000
------------
1,668,374
----------------------------------------------------------------------------------------
Drugs & Health Care 4.2%
Columbia/HCA Healthcare Corp.,
Debs. Ba2 7.50 11/15/95 105 80,719
Concentra Operating Corp.,
Sr. Sub. Notes B3 13.00 8/15/09 650 520,000
Harborside Healthcare Corp.,
Sr. Sub. Disc. Notes,
Zero Coupon (until 8/1/03) B3 11.00 8/01/08 750 240,000
HEALTHSOUTH Corp., Sr. Notes Baa3 6.875 6/15/05 740 645,842
</TABLE>
10 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Integrated Health Svcs., Inc.,
Sr. Sub. Notes C 9.25% 1/15/08 $ 4,000(d) $ 80,000
Lifepoint Hospitals Holdings,
Inc.,
Sr. Sub. Notes B3 10.75 5/15/09 130 130,325
Magellan Health Svcs., Inc.,
Sr. Sub. Notes B3 9.00 2/15/08 1,500 1,035,000
Mariner Post-Acute Network, Inc.,
Sr. Sub. Disc. Notes, Zero
Coupon (until 11/1/02) C 10.50 11/01/07 1,840(d) 9,200
Team Health, Inc.,
Gtd. Sr. Sub. Notes B3 12.00 3/15/09 750 675,000
US Healthworks, Inc.,
Sr. Disc. Notes (cost
$1,929,750; purchased 6/25/98) NR 13.00 10/15/04 1,500(b) 1,650,000
------------
5,066,086
----------------------------------------------------------------------------------------
Energy 4.7%
Canadian Forest Oil Ltd.,
Sr. Sub. Notes (Canada) B2 8.75 9/15/07 215(e) 197,800
Comstock Resources, Inc.,
Sr. Notes B2 11.25 5/01/07 500 485,000
DI Industries, Inc., Sr. Notes B1 8.875 7/01/07 425 386,750
Gothic Prod. Corp., Sr. Sec'd.
Notes B3 11.125 5/01/05 550 467,500
Gulf Canada Resources Ltd.,
Sr. Sub. Debs. (Canada) Ba2 9.625 7/01/05 110(e) 110,275
Sr. Notes (Canada) Ba1 8.35 8/01/06 515(e) 500,837
Houston Expl. Co., Sr. Sub. Notes B2 8.625 1/01/08 130 118,300
Leviathan Gas Pipeline LLP,
Sr. Sub. Notes Ba2 10.375 6/01/09 350 357,000
Parker Drilling Co., Sr. Notes B1 9.75 11/15/06 525 506,625
Plains Resources, Inc.,
Sr. Sub. Notes B2 10.25 3/15/06 150 144,188
R & B Falcon Corp., Sr. Notes Ba3 12.25 3/15/06 1,250 1,343,750
RBF Finance Co., Gtd. Sr. Sec'd.
Notes Ba3 11.00 3/15/06 170 181,900
</TABLE>
See Notes to Financial Statements 11
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Swift Energy Co., Sr. Sub. Notes B2 10.25% 8/01/09 $ 355 $ 340,800
Vintage Petroleum, Inc., Sr. Sub.
Notes B1 9.75 6/30/09 505 508,787
------------
5,649,512
----------------------------------------------------------------------------------------
Entertainment 1.0%
Bally Total Fitness Holdings
Corp.,
Sr. Sub. Notes B3 9.875 10/15/07 665 608,475
Intrawest Corp., Sr. Notes B1 10.50 2/01/10 250 240,000
SFX Entertainment, Inc.,
Sr. Sub. Notes B3 9.125 2/01/08 375 375,000
------------
1,223,475
----------------------------------------------------------------------------------------
Environmental 2.1%
Allied Waste North America, Inc.,
Sr. Sub. Notes B2 10.00 8/01/09 1,600 1,184,000
ICF Kaiser Int'l., Inc., Sr. Sub.
Notes B3 13.00 12/31/03 2,020(d) 1,010,000
IT Group, Inc., Sr. Sub. Notes B3 11.25 4/01/09 360 334,800
------------
2,528,800
----------------------------------------------------------------------------------------
Financial Services 2.5%
Aircraft Funding, Sr. Notes (cost
$2,046,781; purchased 7/1/98) NR 12.00 7/15/00 2,000(b) 1,700,000
DeGeorge Home Alliance, Inc.,
Sr. Notes Caa 12.00 4/01/01 300(d) 15,000
Hanvit Bank, Sr. Notes B1 12.75 3/01/10 500 515,000
Metris Cos., Inc.,
Sr. Notes Ba3 10.125 7/15/06 500 477,500
Superior National Insurance
Group, Inc., Sr. Notes NR 10.75 12/01/17 1,000(d) 250,000
------------
2,957,500
----------------------------------------------------------------------------------------
Food & Beverage 2.9%
Agrilink Foods, Inc.,
Sr. Sub. Notes B3 11.875 11/01/08 820 762,600
Aurora Foods Inc., Sr. Sub. Notes B1 9.875 2/15/07 385 145,337
</TABLE>
12 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Del Monte Foods Co.,
Sr. Disc. Notes, Zero Coupon
(until 12/15/02) B3 12.50% 12/15/07 $ 60 $ 44,400
Dominos, Inc., Sr. Sub. Notes B3 10.375 1/15/09 25 22,875
Fresh Foods, Inc., Sr. Sub. Notes B3 10.75 6/01/06 500 320,000
Grupo Azucarero, S.A.,
Sr. Notes (Mexico) B3 11.50 1/15/05 1,250(e) 512,500
Iowa Select Farms L.P., Sr. Sub.
Notes B3 10.75 12/01/05 1,125 225,000
Nebco Evans Holdings Co.,
Sr. Disc. Notes C Zero 7/15/07 500(c) 625
Purina Mills, Inc., Sr. Sub.
Notes
(cost $1,494,322; purchased
7/9/99) B2 9.00 3/15/10 2,000(b)(d) 580,000
SFAC New Holdings, Inc.,
Sr. Sec'd. Disc. Debs., Zero
Coupon (until 6/15/04) B3 13.00 6/15/09 460 32,184
Sr. Sub. Notes CCC(a) 13.25 8/15/03 526 378,720
SFC New Holdings, Inc., Sr.
Notes,
Zero Coupon (until 6/15/05) NR 11.00 12/15/09 296 30
Stater Brothers Holdings, Inc.,
Sr. Notes B2 10.75 8/15/06 225 222,750
Sun World International, Inc.,
Gtd. First Mtge. Notes B2 11.25 4/15/04 50 48,500
Vlasic Foods Int'l., Inc.,
Sr. Sub. Notes B2 10.25 7/01/09 265(d) 166,950
------------
3,462,471
----------------------------------------------------------------------------------------
Gaming 2.8%
Alliance Gaming Corp., Sr. Sub.
Notes B3 10.00 8/01/07 665 365,750
Boyd Gaming Corp., Sr. Sub. Notes B1 9.50 7/15/07 165 151,800
Harveys Casino Resorts,
Sr. Sub. Notes B2 10.625 6/01/06 250 252,500
Isle Capri Black Hawk LLC,
First Mtge. Notes B2 13.00 8/31/04 1,000 1,090,000
Santa Fe Hotel, Inc., First Mtge.
Notes Caa 11.00 12/15/00 1,000 970,000
Trump Atlantic City Assoc., First
Mtge. Notes B3 11.25 5/01/06 170 113,900
</TABLE>
See Notes to Financial Statements 13
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Venetian Casino Resort LLC, Gtd.
First Mtge. Notes B-(a) 12.25% 11/15/04 $ 505 $ 469,650
------------
3,413,600
----------------------------------------------------------------------------------------
Industrials 1.7%
AMM Holdings, Inc., Sr. Disc.
Notes, Zero Coupon (until
7/1/03) B-(a) 13.50 7/01/09 2,000 240,000
Applied Power, Inc., Sr. Sub.
Notes B1 8.75 4/01/09 250 256,250
Eagle-Picher Industries, Inc.,
Sr. Sub. Notes B3 9.375 3/01/08 400 340,000
Gentek, Inc., Gtd. Sr. Sub. Notes B2 11.00 8/01/09 300 298,500
Motors & Gears, Inc., Sr. Notes B3 10.75 11/15/06 150 144,000
Thermadyne Holdings Corp.,
Sr. Disc. Notes, Zero Coupon
(until 6/1/03) CCC1(a) 12.50 6/01/08 500 210,000
Sr. Sub. Notes B3 9.875 6/01/08 500 400,000
United Rentals, Inc., Sr. Sub.
Notes B1 8.80 8/15/08 245 210,700
------------
2,099,450
----------------------------------------------------------------------------------------
Lodging & Leisure 1.0%
HMH Properties, Inc., Sr. Notes Ba2 7.875 8/01/08 500 417,500
Lodgian Financing Corp.,
Gtd., Sr. Sub. Notes B3 12.25 7/15/09 65 57,200
Town Sports Int'l., Inc., Sr.
Notes B2 9.75 10/15/04 775 724,625
------------
1,199,325
----------------------------------------------------------------------------------------
Mining 0.8%
Great Lakes Carbon Corp.,
Sr. Disc. Deb., Zero Coupon
(until 5/15/03) B-(a) 13.125 5/15/09 185 96,200
Sr. Sub. Notes, PIK B3 10.25 5/15/08 1,000 910,000
------------
1,006,200
----------------------------------------------------------------------------------------
Oil Services 0.1%
Eott Energy Partners L.P.,
Sr. Notes Ba2 11.00 10/01/09 120 119,400
</TABLE>
14 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Miscellaneous Services 0.3%
Production Resource LLC, Sr. Sub.
Notes Caa1 11.50% 1/15/08 $ 1,000 $ 400,000
----------------------------------------------------------------------------------------
Paper & Forest Products 2.6%
Ainsworth Lumber Ltd., Sr. Notes,
PIK B2 12.50 7/15/07 500 510,000
Doman Industries Ltd.,
Sr. Notes (Canada) B1 8.75 3/15/04 415(e) 340,300
Sr. Notes, Ser. B (Canada) B1 9.25 11/15/07 100(e) 78,000
Maxxam Group Holdings, Inc.,
Sr. Notes B3 12.00 8/01/03 500 460,000
Repap New Brunswick, Inc.,
Sr. Sec'd. Notes Caa 10.625 4/15/05 510 464,100
Riverwood Int'l. Corp.,
Sr. Notes B3 10.625 8/01/07 85 83,725
Sr. Sub. Notes Caa 10.875 4/01/08 85 81,600
Stone Container Corp.,
Sr. Notes B2 12.58 8/01/16 250 265,000
Sr. Sub. Debs. B3 12.25 4/01/02 750 755,625
Stone Container Finance Co.,
Gtd. Sr. Notes (Canada) B2 11.50 8/15/06 95(e) 100,225
------------
3,138,575
----------------------------------------------------------------------------------------
Printing/Publishing 1.8%
American Lawyer Media
Holdings, Inc., Sr. Disc. Notes,
Zero Coupon (until 12/15/02) B3 12.25 12/15/08 1,000 637,500
Phoenix Color Corp., Sr. Sub.
Notes B3 10.375 2/01/09 1,000 905,000
World Color Press, Inc.,
Sr. Sub. Notes Baa3 8.375 11/15/08 250 232,500
Sr. Sub. Notes Baa3 7.75 2/15/09 500 460,000
------------
2,235,000
----------------------------------------------------------------------------------------
Restaurants 1.0%
Advantica Restaurant Group, Inc.,
Sr. Notes B3 11.25 1/15/08 750(d) 534,375
</TABLE>
See Notes to Financial Statements 15
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ameriking, Inc., Sr. Notes B3 10.75% 12/01/06 $ 215 $ 180,600
CKE Restaurants, Inc.,
Gtd. Sr. Sub. Notes B2 9.125 5/01/09 650 471,250
------------
1,186,225
----------------------------------------------------------------------------------------
Retail 2.0%
Big 5 Holdings Corp., Sr. Disc.
Notes, Zero Coupon (until
11/30/02) NR 13.45 11/30/08 1,000 490,000
Musicland Group, Inc., Sr. Sub.
Notes B3 9.00 6/15/03 1,500 1,365,000
Phar-Mor, Inc., Sr. Notes B3 11.72 9/11/02 545 490,500
Specialty Retailers, Inc., Sr.
Notes B2 8.50 7/15/05 375 112,500
------------
2,458,000
----------------------------------------------------------------------------------------
Steel & Metals 3.1%
Algoma Steel, Inc., First Mtg.
Notes B2 12.375 7/15/05 440 429,000
Continental Global Group, Inc.,
Sr. Notes B2 11.00 4/01/07 1,500 600,000
Golden Northwest Aluminum, Inc.,
Gtd. First Mtge. Notes B2 12.00 12/15/06 175 182,000
Kaiser Aluminum & Chemical Corp.,
Sr. Sub. Notes B3 12.75 2/01/03 1,000 925,000
LTV Corp., Sr. Notes Ba3 11.75 11/15/09 215 208,550
National Steel Corp., Gtd. Sec'd.
First Mtge. Ba3 9.875 3/01/09 85 82,875
Sheffield Steel Corp., First Mtg.
Notes (cost $288,946;
purchased 7/01/99) B-(a) 11.50 12/01/05 325(b) 260,000
WHX Corp., Sr. Notes B3 10.50 4/15/05 1,150 1,052,250
------------
3,739,675
----------------------------------------------------------------------------------------
Supermarkets 0.9%
Pantry, Inc., Sr. Sub. Notes B3 10.25 10/15/07 1,250 1,106,250
</TABLE>
16 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Technology 2.5%
Ampex Corp., Sr. Notes B+(a) 12.00% 3/15/03 $ 1,000 $ 950,000
InterAct Systems, Inc.,
Sr. Disc. Notes, PIK NR 14.00 8/01/03 1,508 814,050
Intersil Corp., Sr. Sub. Notes B3 13.25 8/15/09 137 156,180
South Carolina G Holdings Corp.,
Gtd. Notes B2 12.00 8/01/09 400 428,000
Viasystems, Inc., Sr. Sub. Notes B3 9.75 6/01/07 680 571,200
------------
2,919,430
----------------------------------------------------------------------------------------
Telecommunications 19.5%
Allegiance Telecom, Inc.,
Sr. Disc. Notes, Zero Coupon
(until 2/15/03) B(a) 11.75 2/15/08 330 224,400
Sr. Notes B(a) 12.875 5/15/08 500 532,500
AMSC Acquisition Co., Inc.,
Sr. Notes NR 12.25 4/01/08 750 675,000
Bestel S.A. De CV, Sr. Disc.
Notes, Zero Coupon (until
5/15/01) (Mexico) NR 12.75 5/15/05 1,500(e) 1,140,000
Caprock Communications Corp.,
Sr. Notes B3 12.00 7/15/08 500 490,000
CD Radio, Inc., Sr. Disc. Notes,
Zero Coupon (until 12/1/02) CCC+(a) 15.00 12/01/07 1,000 550,000
Exodus Communications, Inc.,
Sr. Notes NR 10.75 12/15/09 295 293,525
Global Crossing Holdings Ltd.,
Sr. Notes Ba2 9.50 11/15/09 260 251,550
Globix Corp., Sr. Notes NR 12.50 2/01/10 505 464,600
GT Group Telecom, Inc., Sr. Disc.
Notes, Zero Coupon (until
2/01/05) NR 13.25 2/01/10 1,170 631,800
Hyperion Telecommunications,
Inc., Sr. Disc. Notes, Zero
Coupon (until 4/15/01) (cost
$328,978; purchased 9/22/99) B3 13.00 4/15/03 370(b) 340,400
</TABLE>
See Notes to Financial Statements 17
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ICG Holdings, Inc., Sr. Disc.
Notes, Zero Coupon (until
9/15/00) B3 13.50% 9/15/05 $ 415 $ 388,025
ImpSat Corp., Sr. Notes B3 12.375 6/15/08 1,000 900,000
KMC Telecom Holdings, Inc.,
Sr. Notes CCC1(a) 13.50 5/15/09 340 319,600
Level 3 Communications, Inc.,
Sr. Disc. Notes, Zero Coupon
(until 3/15/03) B3 12.875 3/15/08 2,000 995,000
Sr. Disc. Notes, Zero Coupon
(until 12/1/03) B3 10.50 12/01/08 2,000 1,100,000
Metromedia Fiber Network, Inc.,
Sr. Notes B2 10.00% 12/15/09 535 508,250
Microcell Telecommunications,
Inc., Sr. Disc. Notes, Zero
Coupon (until 6/1/04) B3 12.00 6/01/09 1,250 803,125
Millicom Int'l. Cellular, Sr.
Disc. Notes, Zero Coupon (until
6/01/01) B3 13.50 6/01/06 740 629,000
Netia Holdings BV, Gtd. Sr. Notes
(Poland) B3 10.25 11/01/07 500(e) 422,500
Nextel Communications, Inc.,
Sr. Disc. Notes, Zero Coupon
(until 9/15/02) B1 10.65 9/15/07 1,505 1,098,650
Nextel Partners, Inc., Sr. Disc.
Notes, Zero Coupon (until
2/1/04) B3 14.00 2/01/09 286 180,895
Nextlink Communications, Inc.,
Sr. Notes B2 10.50 12/01/09 295 280,250
Sr. Notes B2 10.75 6/01/09 515 494,400
Northeast Optic Network, Inc.,
Sr. Notes NR 12.75 8/15/08 500 500,000
Primus Telecommunications Group,
Inc., Sr. Notes B3 12.75 10/15/09 430 417,100
PSINet, Inc., Sr. Notes B3 11.00 8/01/09 950 931,000
RCN Corp.,
Sr. Notes B3 10.00 10/15/07 50 45,250
Sr. Notes B3 10.125 1/15/10 325 292,500
</TABLE>
18 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
RSL Communications Ltd.,
Sr. Notes B2 12.25% 11/15/06 $ 250 $ 247,500
Sr. Notes B2 12.00 11/01/08 100 93,500
Spectrasite Holdings, Inc., Sr.
Disc. Notes, Zero Coupon (until
4/15/04) B3 11.25 4/15/09 350 191,625
Splitrock Svcs., Inc., Sr. Notes NR 11.75 7/15/08 225 238,500
Tritel PCS, Inc., Sr. Sub. Disc.
Notes
Zero Coupon (until 5/15/04) B3 12.75 5/15/09 1,000 615,000
Triton PCS, Inc.,
Sr. Sub. Disc. Notes, Zero
Coupon (until 5/01/03) B3 11.00 5/01/08 445 305,938
US Unwired, Inc.,
Sr. Sub. Disc. Notes, Zero
Coupon (until 11/01/04) CCC+(a) 13.375 11/01/09 1,255 668,287
U.S. Xchange LLC, Sr. Notes NR 15.00 7/01/08 750 547,500
Verio, Inc.,
Sr. Notes B3 11.25 12/01/08 35 34,650
Sr. Notes B3 10.625 11/15/09 500 482,500
Versatel Telecom BV, Sr. Notes
(Netherlands) B3 13.25 5/15/08 1,000(e) 1,015,000
Viatel, Inc., Sr. Notes B-(a) 11.25 4/15/08 1,000 910,000
Voicestream Wireless Corp.,
Sr. Notes B2 10.375 11/15/09 505 505,000
Williams Communications
Group, Inc., Sr. Notes B2 10.875 10/01/09 920 906,200
Winstar Communications, Inc.,
Sr. Disc. Notes, Zero Coupon
(until 10/15/00) B3 14.00 10/15/05 500 515,000
Worldwide Fiber, Inc., Sr. Notes B3 12.50 12/15/05 500 492,500
------------
23,668,020
----------------------------------------------------------------------------------------
Textiles 0.6%
Cluett American Corp., Sr. Sub.
Notes B3 10.125 5/15/08 250 165,000
Collins & Aikman Floorcovering,
Sr. Sub. Notes B3 10.00 1/15/07 45 42,300
</TABLE>
See Notes to Financial Statements 19
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Moody's Principal
Rating Interest Maturity Amount Value
Description (Unaudited) Rate Date (000) (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Steel Heddle Mfg. Co., Sr. Sub.
Notes B3 10.625% 6/01/08 $ 1,000 $ 500,000
------------
707,300
----------------------------------------------------------------------------------------
Transportation/Trucking/Shipping 1.0+%
American Commercial Lines LLC,
Sr. Notes B1 10.25 6/30/08 1,000 830,000
Trism, Inc., Sr. Sub. Notes NR 12.00 2/04/05 435 326,163
------------
1,156,163
----------------------------------------------------------------------------------------
Utility 2.9%
AES Corp.,
Sr. Notes Ba1 9.50 6/01/09 750 720,000
Sr. Sub. Debs. Ba1 8.875 11/01/27 1,750 1,347,500
TNP Enterprises, Inc., Sr. Sub.
Notes Ba3 10.25 4/01/10 500 501,250
York Power Funding, Sr. Sec'd.
Notes (Cayman Islands) NR 12.00 10/30/07 1,000(e) 980,000
------------
3,548,750
Total corporate bonds
(cost $118,961,629) 101,386,106
------------
<CAPTION>
CONVERTIBLE BONDS 0.6%
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Key Energy Group, Inc., Sr. Sub.
Notes
(cost $772,400) NR 5.00 9/15/04 1,000 760,000
------------
<CAPTION>
FOREIGN GOVERNMENT BONDS 0.4%
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Republic of Brazil
(cost $496,027) B2 11.625 4/15/04 500(e) 501,250
------------
<CAPTION>
COMMON STOCKS 3.9%
Shares
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AmeriKing, Inc. 50 500
Baycorp Holdings, Ltd.(c) 19,000 413,250
Beverly Enterprises, Inc.(c) 40,000 147,500
Canadian Airlines Corp.(c) 4,400 3,940
Charter Communications, Inc.(c) 39,000 558,797
</TABLE>
20 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Value
Description Shares (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Chesapeake Energy Corp. 12,000 $ 39,000
Classic Communications, Inc.(c) 3,000 50,010
Dobson Communications Corp.(c) 2,400 55,200
Dr. Pepper Bottling Holdings, Inc.
(cost $250,500; purchased 9/19/97) 11,500(b) 287,500
Electronic Retailing Systems Int'l., Inc.(c) 40,000 37,500
Firearms Training Systems, Inc.(c) 122,000 76,250
Flag Telecom Holdings Ltd.(c) 5,100 115,388
Forstmann & Co., Inc.(c) 13,304 426
Fresh Del Monte Produce, Inc.(c) 5,000 42,500
Grand Union Co.(c) 90,772 266,643
Grant Geophysical, Inc.(c) 28,675 28,675
GT Group Telecom, Inc.(c) 2,800 58,450
Jordon Telecommunications(c) 125 3,750
McLeodusa, Inc. 2,286 193,868
Packaging Corporation America 32,900 345,450
Premier Cruises, Ltd.(c) 74,059 240,692
RCN Corp. 5,500 296,312
RSL Communications, Ltd.(c) 5,000 120,000
Samuels Jewelers, Inc.(c) 23,750 155,859
SFAC Holdings, Inc.(c) 25 0
Star Gas Partners L.P. 440 5,995
Telecorp PCS, Inc.(c) 10,000 517,500
Trism, Inc.(c) 27,543 4,131
Voicestream Wireless Corp.(c) 1,983 255,462
Waste Systems Int'l., Inc. 131,410 377,804
------------
Total common stocks
(cost $6,288,912) 4,698,352
------------
PREFERRED STOCKS 6.0%
<CAPTION>
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Adelphia Communications Corp., $13.00 8,750 936,250
AmeriKing, Inc., $13.00 1,182 13,004
Century Maintenance Supply, Inc., $13.25 12,091 1,027,735
Cluett American Corp., $12.50 8,986 242,622
Dobson Communications Corp., $13.00 826 875,560
Geneva Steel Co., $14.00 3,000 555
</TABLE>
See Notes to Financial Statements 21
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<CAPTION>
Value
Description Shares (Note 1)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Global Crossing Holdings, Ltd., $10.50 3,750 $ 369,375
Harborside Healthcare Corp., $13.50 608 182,400
InterAct Systems, Inc., $14.00 2,910 756,600
Paxson Communications Corp., $12.50 1,273 1,298,460
R & B Falcon Corp., $13.875 611 678,210
Rural Cellular Corp., $11.375 7 6,790
Supermarkets General Holdings Corp., $3.52 10,000 20,625
Waste Systems Int'l., Inc.,
$3.375 1,608 863,496
------------
Total preferred stocks
(cost $8,859,695) 7,271,682
------------
<CAPTION>
REAL ESTATE INVESTMENT TRUSTS 0.3%
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Meditrust, Notes 500 300,000
La Quinta Inns, Inc., Sr. Notes 150 90,750
------------
Total real estate investment
trusts
(cost $481,244) 390,750
------------
<CAPTION>
TRADE CLAIM 0.1%
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Montgomery Ward (cost $245,635;
purchased 8/19/98) 2,450(b)(c) 85,763
------------
</TABLE>
<TABLE>
<CAPTION>
Expiration Value
Date Warrants (Note 1)
------------------------------------------------------------------------------------------------------------
WARRANTS(c) 0.9%
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
American Banknote Corp. 12/1/02 750 8
American Mobile Satellite Corp. 4/1/08 750 86,250
Anker Coal Group, Inc. (cost $0; purchased 11/19/98) 10/31/30 28(b) 0
Bestel S.A. De CV 5/15/05 1,500 16,500
Birch Telecom, Inc. 6/15/08 1,000 5,500
GT Group Telecom, Inc. 2/1/10 1,170 0
HF Holdings, Inc. 7/15/02 4,375 6,562
InterAct Systems, Inc. 8/1/03 2,910 29
Intermediate Act Electronic Mktg., Inc. 12/15/09 2,910 72,750
Isle Capri Casinos, Inc. 3/5/01 2,968 30
R & B Falcon Corp. 5/1/09 550 192,500
</TABLE>
22 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Portfolio of Investments as of March 31, 2000 Cont'd.
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Expiration Value
Description Date Warrants (Note 1)
-------------------------------------------------------------------------------------------------------------
Star Choice Communications (cost $87; purchased 3/21/00)
12/15/05 8,685(b) $ 49,939
Versatel Telecom International BV 5/15/08 1,000 600,000
XM Satellite Radio, Inc. 3/3/10 345 0
------------
Total warrants (cost $50,997) 1,030,068
------------
Total long-term investments (cost $136,156,539) 116,123,971
------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS 1.9%
Principal
Interest Maturity Amount
Corporate Bonds Rate Date (000)
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Johnson Controls, Inc.
(cost $2,335,178) 6.33% 4/03/00 $ 2,336 2,335,178
------------
Total Investments 98.0%
(cost $138,491,717; Note 4) 118,459,149
Other assets in excess of
liabilities 2.0% 2,416,584
------------
Net Assets 100% $120,875,733
------------
------------
</TABLE>
(a) Standard & Poor's Rating.
(b) Indicates a restricted security; the aggregate cost of such securities is
$8,866,128. The aggregate value $6,972,412 is approximately 5.7% of net
assets.
(c) Non-income producing securities.
(d) Represents issuer in default on interest payments; non-income producing
security.
(e) US$ denominated foreign bonds.
NR--Not rated by Moody's or Standard & Poor's.
PIK--Payment in kind securities.
L.P.--Limited Partnership.
LLC--Limited Liability Company.
LLP--Limited Liability Partnership.
The Fund's current Prospectus contains a description of Moody's and Standard &
Poor's ratings.
See Notes to Financial Statements 23
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Statement of Assets and Liabilities as of March 31, 2000
<TABLE>
<CAPTION>
March 31, 2000
<S> <C> <C>
----------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $138,491,717) $118,459,149
Dividends and interest receivable 2,892,301
Receivable for investments sold 2,140,800
Receivable for Fund shares sold 399,722
Receivable from manager 212,090
Other assets 112,334
----------------
Total assets 124,216,396
----------------
LIABILITIES
Bank overdraft 94,962
Payable for investments purchased 2,049,284
Payable for Fund shares reacquired 529,119
Dividends payable 304,706
Accrued expenses and other liabilities 293,683
Due to Distributor 68,909
----------------
Total liabilities 3,340,663
----------------
NET ASSETS $120,875,733
----------------
----------------
Net assets were comprised of:
Common stock, at par $ 1,473
Paid-in capital in excess of par 150,381,247
----------------
150,382,720
Undistributed net investment income 46,874
Accumulated net realized loss on investments (9,757,797)
Net unrealized depreciation on investments (19,796,064)
----------------
Net assets, March 31, 2000 $120,875,733
----------------
----------------
</TABLE>
24 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Statement of Assets and Liabilities as of March 31, 2000
<TABLE>
<CAPTION>
March 31, 2000
<S> <C> <C>
----------------------------------------------------------------------------------------
Class A:
Net asset value and redemption price per share
($23,137,158 / 2,819,548 shares of common stock issued
and outstanding) $8.21
Maximum sales charge (4% of offering price) .34
Maximum offering price to public $8.55
Class B:
Net asset value, offering price and redemption price per
share ($82,438,197 / 10,045,364 shares of common stock
issued and outstanding) $8.21
Class C:
Net asset value and redemption price per share
($13,617,583 / 1,659,544 shares of common stock issued
and outstanding) $8.21
Sales charge (1% of offering price) .08
Offering price to public $8.29
Class Z:
Net asset value, offering price and redemption price per
share ($1,682,795 / 205,001 shares of common stock
issued and outstanding) $8.21
</TABLE>
See Notes to Financial Statements 25
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Statement of Operations
<TABLE>
<CAPTION>
Year Ended
March 31, 2000
<S> <C> <C>
---------------------------------------------------------------------------------------
NET INVESTMENT INCOME
Income
Interest $ 15,532,724
Dividends 337,317
-----------------
Total income 15,870,041
-----------------
Expenses
Management fee 935,483
Distribution fee--Class A 80,386
Distribution fee--Class B 699,601
Distribution fee--Class C 124,255
Custodian's fees and expenses 195,000
Reports to shareholders 150,000
Transfer agent's fees and expenses 127,000
Registration fees 70,000
Amortization of organizational costs 36,014
Audit fees and expenses 30,000
Legal fees and expenses 25,000
Directors' fees 6,000
Amortization of offering cost 519
Miscellaneous 14,410
-----------------
Net expenses 2,493,668
Less: Management fee waiver (Note 2) (255,022)
-----------------
Net expenses 2,238,646
-----------------
Net investment income 13,631,395
-----------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investment transactions (5,819,171)
Options written 10,000
-----------------
(5,809,171)
Net change in unrealized depreciation of investments (7,145,217)
-----------------
Net loss on investments (12,954,388)
-----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 677,007
-----------------
-----------------
</TABLE>
26 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
May 5, 1998(a)
Year Ended Through
March 31, 2000 March 31, 1999
<S> <C> <C> <C>
-----------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations
Net investment income $ 13,631,395 $ 12,113,394
Net realized loss on investment transactions (5,809,171) (3,948,626)
Net change in unrealized depreciation of
investments (7,145,217) (12,650,847)
-------------- --------------
Net increase (decrease) in net assets
resulting from operations 677,007 (4,486,079)
-------------- --------------
Dividends and distributions (Note 1)
Dividends from net investment income
Class A (3,165,069) (3,017,075)
Class B (8,723,889) (7,451,879)
Class C (1,548,954) (1,460,665)
Class Z (193,483) (183,775)
-------------- --------------
(13,631,395) (12,113,394)
-------------- --------------
Distributions in excess of net investment
income
Class A -- (50,574)
Class B -- (132,431)
Class C -- (25,580)
Class Z -- (3,622)
-------------- --------------
-- (212,207)
-------------- --------------
Fund share transactions (Net of share
conversions)
(Note 5)
Net proceeds from shares sold(b) 35,075,107 200,008,881
Net asset value of shares issued in
reinvestment of dividends and
distributions 8,145,708 7,763,506
Cost of shares reacquired (65,764,308) (34,687,093)
-------------- --------------
Net increase (decrease) in net assets from
Fund share transactions (22,543,493) 173,085,294
-------------- --------------
Total increase (decrease) (35,497,881) 156,273,614
NET ASSETS
Beginning of period 156,373,614 100,000
-------------- --------------
End of period $120,875,733 $156,373,614
-------------- --------------
-------------- --------------
</TABLE>
------------------------------
(a) Commencement of investment operations.
(b) For year ended March 31, 2000 includes shares issued in connection with
acquisition of Prudential Distressed Securities Fund.
See Notes to Financial Statements 27
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Notes to Financial Statements
Prudential High Yield Total Return Fund, Inc. (the 'Fund') is registered
under the Investment Company Act of 1940 as a diversified, open-end management
investment company. The Fund was incorporated in Maryland on February 18, 1997.
The Fund issued 2,500 shares each of Class A, Class B, Class C and Class Z
common stock for $100,000 on February 18, 1998 to Prudential Investments Fund
Management LLC ('PIFM'). The Fund commenced investment operations on May 5,
1998. The primary investment objective of the Fund is total return through high
current income and capital appreciation. It seeks to achieve this objective by
investing in high yield fixed income securities, equity securities that were
attached to or included in a unit with fixed income securities at the time of
purchase, convertible securities and preferred stocks.
Note 1. Accounting Policies
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements.
Security Valuation: Portfolio securities that are actively traded in
the over-the-counter market, including listed securities for which the primary
market is believed to be over-the-counter, are valued at prices provided by
principal market makers and pricing agents. Any security for which the primary
market is on an exchange is valued at the last sales price on such exchange on
the day of valuation or, if there was no sale on such day, the last bid price
quoted on such day. Securities issued in private placements are valued at the
bid price or the mean between the bid and asked prices, if available, provided
by principal market makers. Any security for which a reliable market quotation
is unavailable is valued at fair value as determined in good faith by or under
the direction of the Fund's Board of Directors.
Short-term securities which mature in more than 60 days are valued at
current market quotations. Short-term securities which mature in 60 days or less
are valued at amortized cost, which approximates market value.
Repurchase Agreements: In connection with transactions in repurchase
agreements, it is the Fund's policy that its custodian or designated
subcustodians, under triparty repurchase agreements as the case may be, take
possession of the underlying collateral securities, the value of which exceeds
the principal amount of the repurchase transaction, including accrued interest
and, to the extent that any repurchase transaction exceeds one business day, the
value of the collateral is marked-to-market on a daily basis to ensure the
adequacy of the collateral. If the seller defaults and the value of the
collateral declines or if bankruptcy proceedings are
28
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Notes to Financial Statements Cont'd.
commenced with respect to the seller of the security, realization of the
collateral by the Fund may be delayed or limited.
All securities are valued as of 4:15 p.m., New York time.
The Fund may hold up to 15% of its net assets in illiquid securities,
including those which are restricted as to disposition under securities law
('restricted securities'). Certain issues of restricted securities held by the
Fund at March 31, 2000 include registration rights under which the Fund may
demand registration by the issuer, of which the Fund may bear the cost of such
registration. Restricted securities, sometimes referred to as private
placements, are valued pursuant to the valuation procedures noted above.
Securities Transactions and Net Investment Income: Securities
transactions are recorded on the trade date. Realized gains and losses on sales
of portfolio securities are calculated on an identified cost basis. Interest
income is recorded on an accrual basis and dividend income is recorded on the
ex-dividend date. The Fund accretes discount and amortizes premium as
adjustments to interest income. Income from payment-in-kind bonds is recorded
daily based on an effective interest method. Expenses are recorded on the
accrual basis which may require the use of certain estimates by management.
Net investment income (other than distribution fees) and unrealized and
realized gains or losses are allocated daily to each class of shares of the Fund
based upon the relative proportion of net assets of each class at the beginning
of the day.
Dividends and Distributions: The Fund declares daily and pays dividends
of net investment income monthly and makes distributions at least annually of
any net capital gains. Dividends and distributions are recorded on the
ex-dividend date. Income distributions and capital gain distributions are
determined in accordance with income tax regulations which may differ from
generally accepted accounting principles.
Options: The Fund may either purchase or write options in order to
hedge against adverse market movements or fluctuations in value caused by
changes in prevailing interest rates or foreign currency exchange rates with
respect to securities or currencies which the Fund currently owns or intends to
purchase. When the Fund purchases an option, it pays a premium and an amount
equal to that premium is recorded as an investment. When the Fund writes an
option, it receives a premium and an amount equal to that premium is recorded as
a liability. The investment or liability is adjusted daily to reflect the
current market value of the option. If an option expires unexercised, the Fund
realizes a gain or loss to the extent of the premium received or paid. If an
option is exercised, the premium received or paid is an adjustment to the
proceeds from the sale or the cost basis of the purchase in determining
29
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Notes to Financial Statements Cont'd.
whether the Fund has realized a gain or a loss. The difference between the
premium and the amount received or paid on effecting a closing purchase or sale
transaction is also treated as a realized gain or loss. Gain or loss on
purchased options is included in net realized gain (loss) on investment
transactions. Gain or loss on written options is presented separately as net
realized gain (loss) on written option transactions.
The Fund, as writer of an option, has no control over whether the
underlying securities or currencies may be sold (called) or purchased (put). As
a result, the Fund bears the market risk of an unfavorable change in the price
of the security or currency underlying the written option. The Fund, as
purchaser of an option, bears the risk of the potential inability of the
counterparties to meet the terms of their contracts.
Taxes: It is the intent of the Fund to continue to meet the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income to its shareholders.
Therefore, no federal income tax provision is required.
Offering and Organization Expenses: Approximately $283,300 were
incurred in connection with the organization of the Fund. Offering cost of
approximately $110,400 and organization cost of approximately $172,900 are being
amortized ratably over a period of twelve months and sixty months, respectively,
from the date the Fund commenced investment operations.
Reclassification of Capital Accounts: The Fund accounts for and reports
distributions to shareholders in accordance with the American Institute of
Certified Public Accountants' Statement of Position 93-2: Determination,
Disclosure and Financial Statement Presentation of Income, Capital Gain, and
Return of Capital Distributions by Investment Companies. The effect of applying
this statement was to decrease paid-in capital in excess of par and increase
accumulated net investment income by $46,874 for certain expenses not deductible
for tax purposes. Net investment income, net realized gains and net assets were
not affected by this change.
Note 2. Agreements
The Fund has a management agreement with PIFM. Pursuant to this agreement PIFM
has responsibility for all investment advisory services and supervises the
subadviser's performance of such services. PIFM has entered into a subadvisory
agreement with The Prudential Investment Corporation ('PIC'); PIC furnishes
investment advisory services in connection with the management of the Fund. PIFM
pays for the subadviser's services, the compensation of officers of the Fund,
occupancy and certain clerical and bookkeeping costs of the Fund. The Fund bears
all other costs and expenses.
The management fee paid to PIFM is computed daily and payable monthly, at
an annual rate of .65% of the Fund's average daily net assets. PIFM agreed to
waive a
30
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Notes to Financial Statements Cont'd.
portion of its management fee. The waiver was .30 of 1% of the Fund's average
daily net assets for the period April 1, 1999 through May 31, 1999. Effective
June 1, 1999, such waiver was .15 of 1% of the Fund's average daily net assets.
The waiver amounted to $255,022 ($0.017 per share; .18 of 1% of the Fund's
average daily net assets). The Fund is not required to reimburse PIFM for such
waiver. Effective April 1, 2000 PIFM eliminated its management fee waiver.
The Fund has a distribution agreement with Prudential Investment
Management Services LLC ('PIMS'), which acts as the distributor of the Class A,
Class B, Class C and Class Z shares of the Fund. The Fund compensates PIMS for
distributing and servicing the Fund's Class A, Class B and Class C shares
pursuant to plans of distribution (the 'Class A, B and C Plans'), regardless of
expenses actually incurred by them. The distribution fees are accrued daily and
payable monthly. No distribution or service fees are paid to PIMS as distributor
of the Class Z shares of the Fund.
Pursuant to the Class A, B and C Plans, the Fund compensates PIMS with
respect to Class A, B and C shares, for distribution-related activities at an
annual rate of up to .30 of 1%, 1% and 1% of the average daily net assets of the
Class A, B and C shares, respectively. Such expenses under the Plans were .25 of
1%, .75 of 1% and .75 of 1% of the average daily net assets of the Class A, B
and C shares, respectively, for the fiscal year ended March 31, 2000.
PIMS has advised the Fund that it received approximately $41,800 and
$29,400 in front-end sales charges resulting from sales of Class A and Class C
shares, respectively, during the year ended March 31, 2000. From these fees,
PIMS paid such sales charges to affiliated broker-dealers, which in turn paid
commissions to salespersons and incurred other distribution costs.
PIMS has advised the Fund that for the year ended March 31, 2000, it
received approximately $468,500 and $11,300 in contingent deferred sales charges
imposed upon certain redemptions by Class B and Class C shareholders,
respectively.
PIFM, PIC and PIMS are wholly owned subsidiaries of The Prudential
Insurance Company of America.
The Fund, along with other affiliated registered investment companies (the
'Funds'), entered into a syndicated credit agreement ('SCA') with an
unaffiliated lender. The maximum commitment under the SCA is $1 billion.
Interest on any such borrowings will be at market rates. The purpose of the
agreement is to serve as an alternative source of funding for capital share
redemptions. The Funds pay a commitment fee of .080 of 1% of the unused portion
of the credit facility. The commitment fee is accrued and paid quarterly on a
pro rata basis by the Funds. The expiration date of the SCA is March 9, 2001.
Prior to March 9, 2000, the commitment fee was
31
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Notes to Financial Statements Cont'd.
.065 of 1% of the unused portion of the credit facility. The Fund did not borrow
any amounts pursuant to the SCA during the year ended March 31, 2000.
Note 3. Other Transactions with Affiliates
Prudential Mutual Fund Services LLC, a wholly owned subsidiary of PIFM, serves
as the Fund's transfer agent and during the year ended March 31, 2000, the Fund
incurred fees of approximately $120,000 for the services of PMFS. As of March
31, 2000, approximately $9,600 of such fees were due to PMFS. Transfer agent
fees and expenses in the Statement of Operations include certain out-of-pocket
expenses paid to nonaffiliates.
At March 31, 2000, the net receivable of $212,090 due from the manager
includes $236,504 relating to an unrealized loss in connection with an
investment transaction. This unrealized loss has been included in net change in
unrealized depreciation of investments in the Statement of Operations.
Note 4. Portfolio Securities
Purchases and sales of investment securities, other than short-term investments,
for the year ended March 31, 2000 were $138,803,651 and $160,943,548,
respectively.
Transactions in options written during the year ended March 31, 2000 were
as follows:
<TABLE>
<CAPTION>
Number of Premiums
Contracts Received
--------- --------
<S> <C> <C>
Options outstanding at March 31, 1999 -- --
Options written 500 $ 10,000
Options expired 500 10,000
--------- --------
Options outstanding at March 31, 2000 -- $ --
</TABLE>
The federal income tax basis of the Fund's investments as of March 31,
2000 was $138,657,951; accordingly, net unrealized depreciation for federal
income tax purposes was $20,198,802 (gross unrealized appreciation--$3,830,974;
gross unrealized depreciation--$24,029,776).
For federal income tax purposes, the Fund had a capital loss carryforward
as of March 31, 2000, of approximately $8,678,148, of which $1,697,618 expires
in 2007 and $6,980,530 expires in 2008. In addition, the Fund has elected to
treat net capital losses of approximately $913,415 incurred in the five month
period ended March 31, 2000 as having occurred in the current fiscal year.
32
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Notes to Financial Statements Cont'd.
Note 5. Capital
The Fund offers Class A, Class B, Class C and Class Z shares. Class A shares are
sold with a front-end sales charge of up to 4%. Class B shares are sold with a
contingent deferred sales charge which declines from 5% to zero depending on the
period of time the shares are held. Class C shares are sold with a front-end
sales charge of 1% and a contingent deferred sales charge of 1% during the first
18 months. Class B shares will automatically convert to Class A shares on a
quarterly basis approximately seven years after purchase. A special exchange
privilege is also available for shareholders who qualify to purchase Class A
shares at net asset value. Class Z shares are not subject to any sales or
redemption charge and are offered exclusively for sale to a limited group of
investors. Of the 14,729,457 shares of common stock issued and outstanding at
March 31, 2000, Prudential Bank and Trust owned 11,393.
The Fund has 2.5 billion shares of $0.0001 par value common stock
authorized; 1 billion shares for Class A and 500 million shares each for Class
B, Class C and Class Z.
Transactions in shares of common stock were as follows:
<TABLE>
<CAPTION>
Class A Shares Amount
----------------------------------------------------------- ---------- ------------
<S> <C> <C>
Year ended March 31, 2000:
Shares sold 976,232 $ 9,080,865
Shares issued in connection with acquisition of Prudential
Distressed Securities Fund (Note 6) 69,637 590,579
Shares issued in reinvestment of dividends 249,600 2,154,014
Shares reacquired (2,762,076) (23,742,436)
---------- ------------
Net decrease in shares outstanding before conversions (1,466,607) (11,916,978)
Shares issued upon conversion and/or exchange from Class B 69,457 597,173
---------- ------------
Net decrease in shares outstanding (1,397,150) $(11,319,805)
---------- ------------
---------- ------------
May 5, 1998(a) through March 31, 1999:
Shares sold 5,287,840 $ 51,217,401
Shares issued in reinvestment of dividends and
distributions 223,342 2,028,273
Shares reacquired (1,316,676) (11,925,521)
---------- ------------
Net increase in shares outstanding before conversions 4,194,506 41,320,153
Shares issued upon conversion from Class B 19,692 174,213
---------- ------------
Net increase in shares outstanding 4,214,198 $ 41,494,366
---------- ------------
---------- ------------
</TABLE>
33
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Notes to Financial Statements Cont'd.
<TABLE>
<CAPTION>
Class B Shares Amount
----------------------------------------------------------- ---------- ------------
Year ended March 31, 1999:
<S> <C> <C>
Shares sold 2,005,636 $ 18,038,865
Shares issued in connection with acquisition of Prudential
Distressed Securities Fund (Note 6) 182,384 1,546,694
Shares issued in reinvestment of dividends 574,564 4,953,680
Shares reacquired (3,587,910) (30,685,872)
---------- ------------
Net decrease in shares outstanding before conversion (825,326) (6,146,633)
Shares reacquired upon conversion and/or exchange into
Class A (69,463) (597,173)
---------- ------------
Net decrease in shares outstanding (894,789) $ (6,743,806)
---------- ------------
---------- ------------
May 5, 1998(a) through March 31, 1999:
Shares sold 12,231,118 $119,622,135
Shares issued in reinvestment of dividends and
distributions 514,809 4,669,308
Shares reacquired (1,788,582) (16,165,146)
---------- ------------
Net increase in shares outstanding before conversion 10,957,345 108,126,297
Shares reacquired upon conversion into Class A (19,692) (174,213)
---------- ------------
Net increase in shares outstanding 10,937,653 $107,952,084
---------- ------------
---------- ------------
<CAPTION>
Class C
-----------------------------------------------------------
<S> <C> <C>
Year ended March 31, 2000:
Shares sold 456,465 $ 4,116,251
Shares issued in connection with acquisition of Prudential
Distressed Securities Fund (Note 6) 40,835 346,284
Shares issued in reinvestment of dividends 101,770 878,590
Shares reacquired (1,100,472) (9,540,313)
---------- ------------
Net decrease in shares outstanding (501,402) $ (4,199,188)
---------- ------------
---------- ------------
May 5, 1998(a) through March 31, 1999:
Shares sold 2,556,202 $ 24,882,076
Shares issued in reinvestment of dividends and
distributions 98,953 898,112
Shares reacquired (496,709) (4,436,511)
---------- ------------
Net increase in shares outstanding 2,158,446 $ 21,343,677
---------- ------------
---------- ------------
<CAPTION>
Class Z
-----------------------------------------------------------
<S> <C> <C>
Year ended March 31, 2000:
Shares sold 156,866 $ 1,355,569
Shares issued in reinvestment of dividends 18,479 159,424
Shares reacquired (207,613) (1,795,687)
---------- ------------
Net decrease in shares outstanding (32,268) $ (280,694)
---------- ------------
---------- ------------
May 5, 1998(a) through March 31, 1999:
Shares sold 452,123 $ 4,287,269
Shares issued in reinvestment of dividends and
distributions 18,552 167,813
Shares reacquired (235,906) (2,159,915)
---------- ------------
Net increase in shares outstanding 234,769 $ 2,295,167
---------- ------------
---------- ------------
</TABLE>
------------------------------
(a) Commencement of investment operations.
34
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Notes to Financial Statements Cont'd.
Note 6. Acquisition of Prudential Distressed Securities Fund
On January 14, 2000, the High Yield Total Return Fund acquired all the net
assets of Prudential Distressed Securities Fund, Inc. ('Distressed Securities')
pursuant to a plan of reorganization approved by Distressed Securities
shareholders on May 26, 1999. The acquisition was accomplished by a tax-free
exchange of 69,637 Class A shares, 182,384 Class B shares and 40,835 Class C
shares of the High Yield Total Return Fund (valued at $2,483,555 in the
aggregate) for 58,352 Class A shares, 152,526 Class B shares and 34,150 Class C
shares, respectively, of Distressed Securities outstanding on January 14, 2000.
Distressed Securities' net assets at that date ($2,483,555), including
$1,638,031 of unrealized depreciation were combined with those of the High Yield
Total Return Fund. The aggregate net assets of the High Yield Total Return Fund
and Distressed Securities immediately before the acquisition were $135,419,598
and $2,483,555, respectively.
35
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Financial Highlights
<TABLE>
<CAPTION>
Class A
--------------
Year Ended
March 31, 2000
---------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year $ 8.91
--------------
Income from investment operations
Net investment income(d) .85
Net realized and unrealized loss on investments (.70)
--------------
Total from investment operations .15
--------------
Less distributions
Dividends from net investment income (.85)
Distributions in excess of net investment income --
--------------
Total distributions (.85)
--------------
Net asset value, end of year $ 8.21
--------------
--------------
TOTAL RETURN(b) 1.38%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000) $ 23,137
Average net assets (000) $ 32,154
Ratios to average net assets(d):
Expenses, including distribution fees 1.18%
Expenses, excluding distribution fees .93%
Net investment income 9.84%
For Classes A, B, C and Z shares:
Portfolio turnover rate 101%
</TABLE>
------------------------------
(a) Commencement of investment operations.
(b) Total return does not consider the effects of sales loads. Total return is
calculated assuming a purchase of shares on the first day and a sale on the
last day of each period reported and includes reinvestment of dividends and
distributions. Total returns for periods of less than a full year are not
annualized.
(c) Annualized.
(d) Net of management fee waiver.
36 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Financial Highlights Cont'd.
<TABLE>
<CAPTION>
Class A Class B
---------------------- ---------------------------------------------
May 5, 1998(a) Year Ended May 5, 1998(a)
through March 31, 1999 March 31, 2000 through March 31, 1999
------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 10.00 $ 8.91 $ 10.00
---------- ---------- ----------
.79 .80 .74
(1.08) (.70) (1.08)
---------- ---------- ----------
(.29) .10 (.34)
---------- ---------- ----------
(.79) (.80) (.74)
(.01) -- (.01)
---------- ---------- ----------
(.80) (.80) (.75)
---------- ---------- ----------
$ 8.91 $ 8.21 $ 8.91
---------- ---------- ----------
---------- ---------- ----------
(2.97)% .88% (3.45)%
$ 37,558 $ 82,438 $ 97,454
$ 35,147 $ 93,280 $ 92,201
1.06%(c) 1.68% 1.64%(c)
0.89%(c) 0.93% 0.89%(c)
9.52%(c) 9.35% 8.97%(c)
97%
</TABLE>
See Notes to Financial Statements 37
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Financial Highlights Cont'd.
<TABLE>
<CAPTION>
Class C
--------------
Year Ended
March 31, 2000
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year $ 8.91
--------------
Income from investment operations
Net investment income(d) .80
Net realized and unrealized loss on investments (.70)
--------------
Total from investment operations .10
--------------
Less distributions
Dividends from net investment income (.80)
Distributions in excess of net investment income --
--------------
Total distributions (.80)
--------------
Net asset value, end of year $ 8.21
--------------
--------------
TOTAL RETURN(b) .88%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000) $ 13,618
Average net assets (000) $ 16,567
Ratios to average net assets(d):
Expenses, including distribution fees 1.68%
Expenses, excluding distribution fees .93%
Net investment income 9.35%
</TABLE>
------------------------------
(a) Commencement of investment operations.
(b) Total return does not consider the effects of sales loads. Total return is
calculated assuming a purchase of shares on the first day and a sale on the
last day of each period reported and includes reinvestment of dividends and
distributions. Total returns for periods of less than a full year are not
annualized.
(c) Annualized.
(d) Net of management fee waiver.
38 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Financial Highlights Cont'd.
<TABLE>
<CAPTION>
Class C Class Z
---------------------- ---------------------------------------------
May 5, 1998(a) Year Ended May 5, 1998(a)
through March 31, 1999 March 31, 2000 through March 31, 1999
------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 10.00 $ 8.91 $ 10.00
---------- ---------- ----------
.74 .87 .80
(1.08) (.70) (1.08)
---------- ---------- ----------
(.34) .17 (.28)
---------- ---------- ----------
(.74) (.87) (.80)
(.01) -- (.01)
---------- ---------- ----------
(.75) (.87) (.81)
---------- ---------- ----------
$ 8.91 $ 8.21 $ 8.91
---------- ---------- ----------
---------- ---------- ----------
(3.45)% 1.63% (2.82)%
$ 19,249 $ 1,683 $ 2,113
$ 18,089 $ 1,919 $ 2,060
1.64%(c) 0.93% 0.89%(c)
0.89%(c) 0.93% 0.89%(c)
8.96%(c) 10.08% 9.90%(c)
</TABLE>
See Notes to Financial Statements 39
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Report of Independent Accountants
To the Shareholders and Board of Directors of
Prudential High Yield Total Return Fund, Inc.
In our opinion, the accompanying statement of assets and liabilities,
including the portfolio of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Prudential High Yield Total Return
Fund, Inc. (the 'Fund') at March 31, 2000, the results of its operations for the
year then ended and the changes in its net assets and the financial highlights
for the year then ended and for the period May 5, 1998 (commencement of
operations) through March 31, 1999, in conformity with accounting principles
generally accepted in the United States. These financial statements and
financial highlights (hereafter referred to as 'financial statements') are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at March 31,
2000 by correspondence with the custodian and brokers, provides a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York
May 23, 2000
40 See Notes to Financial Statements
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Federal Income Tax Information (Unaudited)
We are required by the Internal Revenue Code to advise you within 60 days
of the Fund's fiscal year end (March 31, 2000) as to the federal tax status of
dividends paid by the Fund during such fiscal period. Accordingly, we are
advising you that in the fiscal period ended March 31, 2000, dividends were paid
of $.79, $.75, $.75 and $.81 per share (representing net investment income for
Class A, B, C and Z shares respectively, which are taxable as ordinary income).
Further, we wish to advise you that 2.43% of the ordinary income dividends paid
in the fiscal period ended March 31, 2000 qualified for the corporate dividends
received deduction available to corporate taxpayers.
In January 2001, you will be advised on IRS Form 1099 DIV or substitute
1099 DIV as to the federal tax status of the dividends received by you in
calendar year 2000.
See Notes to Financial Statements 41
<PAGE>
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Class A Growth of a $10,000 Investment
(GRAPH)
Average Annual Total Returns as of 3/31/00
One Year Five Years Ten Years Since Inception
With Sales Charge -2.68% N/A N/A -2.96%
Without Sales Charge 1.38% N/A N/A -0.86%
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost. The graph compares a $10,000
investment in Prudential High Yield Total Return
Fund, Inc. (Class A shares) with a similar
investment in the Lehman Brothers High Yield Bond
Index (the Index) by portraying the initial account
values at the commencement of operations of Class A
shares, and at the end of the current fiscal year
(March 31), as measured on a quarterly basis,
beginning in May 1998 for Class A shares. For
purposes of the graph, and unless otherwise
indicated, it has been assumed that (a) the maximum
applicable front-end sales charge was deducted from
the initial $10,000 investment in Class A shares;
(b) all recurring fees (including management fees)
were deducted; and (c) all dividends and
distributions were reinvested.
The Index is a weighted index that covers the
universe of fixed-rate, noninvestment-grade debt.
The bonds included in the Index must be dollar-
denominated and nonconvertible, and have at least
one year remaining to maturity and an outstanding
par value of at least $100 million.The Index is
unmanaged, and the total return includes the
reinvestment of all dividends, but does not include
the effect of sales charges or operating expenses
of a mutual fund. The securities that comprise the
Index may differ substantially from the securities
in the Fund's portfolio. The Index is not the only
index that may be used to characterize performance
of bond funds. Other indexes may portray different
comparative performance. Investors cannot invest
directly in an index.
This graph is furnished to you in accordance with
SEC regulations.
<PAGE>
www.prudential.com (800) 225-1852
Class B Growth of a $10,000 Investment
(GRAPH)
Average Annual Total Returns as of 3/31/00
One Year Five Years Ten Years Since Inception
With Sales Charge -4.12% N/A N/A -3.52%
Without Sales Charge 0.88% N/A N/A -1.37%
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost. The graph compares a $10,000
investment in Prudential High Yield Total Return
Fund, Inc. (Class B shares) with a similar
investment in the Lehman Brothers High Yield Bond
Index (the Index) by portraying the initial account
values at the commencement of operations of Class B
shares, and at the end of the current fiscal year
(March 31), as measured on a quarterly basis,
beginning in May 1998 for Class B shares. For
purposes of the graph, and unless otherwise
indicated, it has been assumed that (a) the maximum
applicable contingent deferred sales charge was
deducted from the value of the investment in Class
B shares, assuming full redemption on March 31,
2000; (b) all recurring fees (including management
fees) were deducted; and (c) all dividends and
distributions were reinvested. Class B shares will
automatically convert to Class A shares, on a
quarterly basis, beginning approximately seven
years after purchase. This conversion feature is
not reflected in the graph.
The Index is a weighted index that covers the
universe of fixed-rate, noninvestment-grade debt.
The bonds included in the Index must be dollar-
denominated and nonconvertible, and have at least
one year remaining to maturity and an outstanding
par value of at least $100 million.The Index is
unmanaged, and the total return includes the
reinvestment of all dividends, but does not include
the effect of sales charges or operating expenses
of a mutual fund. The securities that comprise the
Index may differ substantially from the securities
in the Fund's portfolio. The Index is not the only
index that may be used to characterize performance
of bond funds. Other indexes may portray different
comparative performance. Investors cannot invest
directly in an index.
This graph is furnished to you in accordance with
SEC regulations.
<PAGE>
Prudential High Yield Total Return Fund, Inc.
Class C Growth of a $10,000 Investment
Average Annual Total Returns as of 3/31/00
One Year Five Years Ten Years Since Inception
With Sales Charge -1.13% N/A N/A -1.89%
Without Sales Charge 0.88% N/A N/A -1.38%
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost. The graph compares a $10,000
investment in Prudential High Yield Total Return
Fund, Inc. (Class C shares) with a similar
investment in the Lehman Brothers High Yield Bond
Index (the Index) by portraying the initial account
values at the commencement of operations of Class C
shares, and at the end of the current fiscal year
(March 31), as measured on a quarterly basis,
beginning in May 1998 for Class C shares. For
purposes of the graph, and unless otherwise
indicated, it has been assumed that (a) the maximum
applicable front-end sales charge was deducted from
the initial $10,000 investment in Class C shares;
(b) the maximum applicable contingent deferred
sales charge was deducted from the value of the
investment in Class C shares, assuming full
redemption on March 31, 2000; (c) all recurring
fees (including management fees) were deducted; and
(d) all dividends and distributions were
reinvested.
The Index is a weighted index that covers the
universe of fixed-rate, noninvestment-grade debt.
The bonds included in the Index must be dollar-
denominated and nonconvertible, and have at least
one year remaining to maturity and an outstanding
par value of at least $100 million.The Index is
unmanaged, and the total return includes the
reinvestment of all dividends, but does not include
the effect of sales charges or operating expenses
of a mutual fund. The securities that comprise the
Index may differ substantially from the securities
in the Fund's portfolio. The Index is not the only
index that may be used to characterize performance
of bond funds. Other indexes may portray different
comparative performance. Investors cannot invest
directly in an index.
This graph is furnished to you in accordance with
SEC regulations.
<PAGE>
www.prudential.com (800) 225-1852
Class Z Growth of a $10,000 Investment
Average Annual Total Returns as of 3/31/00
One Year Five Years Ten Years Since Inception
With Sales Charge 1.63% N/A N/A -0.65%
Without Sales Charge 1.63% N/A N/A -0.65%
Past performance is not indicative of future
results. Principal and investment return will
fluctuate so that an investor's shares, when
redeemed, may be worth more or less than their
original cost. The graph compares a $10,000
investment in Prudential High Yield Total Return
Fund, Inc. (Class Z shares) with a similar
investment in the Lehman Brothers High Yield Bond
Index (the Index) by portraying the initial account
values at the commencement of operations of Class Z
shares, and at the end of the current fiscal year
(March 31), as measured on a quarterly basis,
beginning in May 1998 for Class Z shares. For
purposes of the graph, and unless otherwise
indicated, it has been assumed that (a) all
recurring fees (including management fees) were
deducted; and (b) all dividends and distributions
were reinvested. Class Z shares are not subject to
a sales charge or distribution and service (12b-1)
fees.
The Index is a weighted index that covers the
universe of fixed-rate, noninvestment-grade debt.
The bonds included in the Index must be dollar-
denominated and nonconvertible, and have at least
one year remaining to maturity and an outstanding
par value of at least $100 million.The Index is
unmanaged, and the total return includes the
reinvestment of all dividends, but does not include
the effect of sales charges or operating expenses
of a mutual fund. The securities that comprise the
Index may differ substantially from the securities
in the Fund's portfolio. The Index is not the only
index that may be used to characterize performance
of bond funds. Other indexes may portray different
comparative performance. Investors cannot invest
directly in an index.
This graph is furnished to you in accordance with
SEC regulations.
For More Information
Prudential Mutual Funds
Gateway Center Three
100 Mulberry Street
Newark, NJ 07102-4077
(800) 225-1852
Visit Prudential's web site at:
http://www.prudential.com
Directors
Eugene C. Dorsey
Delayne D. Gold
Robert F. Gunia
Thomas T. Mooney
Stephen P. Munn
David R. Odenath, Jr.
Richard A. Redeker
John R. Strangfeld
Nancy H. Teeters
Louis A. Weil, III
Officers
John R. Strangfeld, President
Robert F. Gunia, Vice President
David R. Odenath, Jr., Vice President
Grace C. Torres, Treasurer
Stephen M. Ungerman, Assistant Treasurer
Deborah A. Docs, Secretary
William V. Healey, Assistant Secretary
Manager
Prudential Investments
Fund Management
LLCGateway Center Three
100 Mulberry Street
Newark, NJ 07102-4077
Investment Adviser
The Prudential Investment Corporation
Prudential Plaza
Newark, NJ 07102-3777
Distributor
Prudential Investment
Management Services
LLCGateway Center Three
100 Mulberry Street
Newark, NJ 07102-4077
Custodian
State Street Bank and Trust Company
One Heritage Drive
North Quincy, MA 02171
Transfer Agent
Prudential Mutual Fund Services LLC
194 Wood Avenue South
Iselin, NJ 08830
Independent Accountants
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
Legal Counsel
Swidler Berlin Shereff Friedman, LLP
The Chrysler Building
405 Lexington Avenue
New York, NY 10174
Fund Symbols NASDAQ CUSIP
Class A PYRAX 74437D109
Class B PYRBX 74437D208
Class C PHYCX 74437D307
Class Z -- 74437D406
MF 181E
(LOGO) Printed on Recycled Paper
