UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR/A
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-23308
PPM Funds
(Exact name of Registrant as specified in charter)
225 West Wacker Drive, Suite 1200, Chicago, Illinois 60606
(Address of principal executive offices)
225 West Wacker Drive, Suite 1200, Chicago, Illinois 60606
(Mailing address)
Daniel W. Koors
PPM Funds
225 West Wacker Drive, Suite 1200
Chicago, Illinois 60606
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312)338-5800
Date of Fiscal Year End: December 31
Date of Reporting Period: December 31, 2018
*Explanatory Note
The Registrant is filing this amendment to its FormN-CSR for the period ended December 31, 2018, originally filed with the Securities and Exchange Commission on March 5, 2019 (Accession Number0001193125-19-064063). The purpose of this amendment is to include the Report of Independent Registered Public Accounting Firm.
This Amendment, which includes the Report of Independent Registered Public Accounting Firm, to the Registrant’s FormN-CSR is incorporated herein by reference to the FormN-CSR filed on EDGAR on March 5, 2019 (Accession Number0001193125-19-064063).
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.
Item 1. Report to Shareholders.
PPMFunds
December 31, 2018
PPM Funds including: PPM Core Plus Fixed Income Fund (PKPIX), PPM Credit Fund (PKDIX), PPM Floating Rate Income Fund (PKFIX), PPM High Yield Core Fund (PKHIX), PPM Long Short Credit Fund (PKLIX), PPM Strategic Income Fund (PKSIX), PPM Large Cap Value Fund (PZLIX), PPM Mid Cap Value Fund (PZMIX) and PPM Small Cap Value Fund (PZSIX)
PPM Funds Supplements to Prospectus
PPMFunds | PPM Core Plus Fixed Income Fund (Unaudited) |
Composition as of December 31, 2018:
Corporate Bonds and Notes | 42.3 | % |
Government and Agency Obligations | 41.3 | |
Non-US Government Agency ABS | 12.0 | |
Senior Loan Interests | 1.6 | |
Short Term Investments | 2.5 | |
Securities Lending Collateral | 0.3 | |
Total Investments | 100.0 | % |
Total Return* |
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Institutional Class† |
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Since Inception | 0.07 | % | |||
†Inception date July 16, 2018 *The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
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Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses. |
For the period July 16, 2018 through December 31, 2018, PPM Core Plus Fixed Income Fund underperformed its benchmark providing a return of 0.07% (Net) for Institutional Class shares compared to 1.23% (Net) for the Bloomberg Barclays US Aggregate Bond Index.
The Fund’s underweight allocation to sovereign debt was the primary contributor to relative return, while the Fund’s security selection and overweight allocation to investment grade (“IG”) corporate bonds and high yield bonds were the primary detractors from relative return. However, in the fourth quarter we tactically added to our overweight position in IG corporate bonds as yield spreads became more attractive.
We believe IG market fundamentals remain constructive. The US gross domestic product (GDP) is expected to grow at a rate of 2.5% in 2019, with areas of concern (e.g. housing) anticipated to represent a small portion of overall GDP. In our view, earnings will likely slow down absent a boost from tax reform. We will continue to seek opportunities to increase the allocation to IG corporate bonds if spreads continue to widen.
2
PPMFunds | PPM Credit Fund (Unaudited) |
Composition as of December 31, 2018: | ||
Corporate Bonds and Notes | 74.7 | % |
Non-US Government ABS | 12.8 | |
Government and Agency Obligations | 9.0 | |
Short Term Investments | 2.8 | |
Securities Lending Collateral | 0.7 | |
Total Investments | 100.0 | % |
Total Return* |
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Institutional Class† |
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Since Inception | -1.11 | % | ||||
†Inception date July 16, 2018 *The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
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Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses. |
For the period July 16, 2018 through December 31, 2018, PPM Credit Fund underperformed its benchmark providing a return of -1.11% (Net) for Institutional Class shares compared to -0.35% (Net) for ICE BofAML Custom 85/15 Index.
The Fund’s out of index allocations to US Treasury securities and asset-backed securities (“ABS”) were the primary contributors to relative return over the period. The Fund’s security selection within corporate bonds was the primary detractor from relative return since the Fund’s inception. In the fourth quarter we tactically added to our position in investment grade (“IG”) corporate bonds as yield spreads became more attractive.
We believe IG market fundamentals remain constructive. The US gross domestic product (“GDP”) is expected to grow at a rate of 2.5% in 2019, with areas of concern (e.g. housing) anticipated to represent a small portion of overall GDP. In our view, earnings growth will likely slow in 2019. We subsequently trimmed risk into January strength. We will continue to seek opportunities to increase the allocation to IG corporate bonds and to add risk if yield spreads continue to widen.
3
PPMFunds | PPM Floating Rate Income Fund (Unaudited) |
PPM Floating Rate Income Fund
Total Return* |
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Institutional Class† |
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Since Inception | -3.05 | % | ||||
†Inception date May 01, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
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The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2018: | ||
Senior Loan Interests | 94.1 | % |
Corporate Bonds and Notes | 3.5 | |
Investment Companies | 0.1 | |
Short Term Investments | 2.0 | |
Securities Lending Collateral | 0.3 | |
Total Investments | 100.0 | % |
For the period May 1, 2018 through December 31, 2018, PPM Floating Rate Income Fund underperformed its benchmark providing a return of -3.05% (Net) for Institutional Class shares compared to -1.40% (Net) for the S&P/LSTA Leveraged Loan Index.
Trading costs, initial loan settlement timing and cash holdings associated with the Fund’s launch detracted from performance since the Fund’s inception.
In our view, the US economic story through 2018 continued to be relatively solid, especially in the first half of 2018, although there were some signs of slowing. Into 2019, we find that jobs numbers remain solid, inflation appears under control, earnings are encouraging and defaults are low. We also believe that the overall decline in market prices of loans seen in the last quarter of 2018 has been driven by significant fund outflows rather than underlying changes in fundamentals. Our outlook includes risks consistent with 2018 themes. A global growth slowdown and growing European/Brexit headwinds could cause difficulty, and any slowdown could be potentially exacerbated by trade and tariff policy. Central banks also remain a risk, with the market anticipating fewer foreign interest rate increases, as well as potential rate cuts from the US Federal Reserve in 2019.
4
PPMFunds | PPM High Yield Core Fund (Unaudited) |
Composition as of December 31, 2018: | ||
Corporate Bonds and Notes | 79.7 | % |
Investment Companies | 4.5 | |
Senior Loan Interests | 4.2 | |
Common Stocks | 2.6 | |
Preferred Stocks | 0.1 | |
Short Term Investments | 4.3 | |
Securities Lending Collateral | 4.6 | |
Total Investments | 100.0 | % |
Total Return* |
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Institutional Class† |
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Since Inception | -4.74 | % | ||||
†Inception date July 16, 2018 *The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
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Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses. |
For the period July 16, 2018 through December 31, 2018, PPM High Yield Core Fund underperformed its benchmark providing a return of -4.74% (Net) for Institutional Class shares compared to -2.84% (Net) for the ICE BofAML US High Yield Index.
The Fund’s allocation to corporate loans and bonds in the leisure industry were the largest contributors for the period, while the Fund’s allocation to equity-like investments and bonds in the energy industry were the largest detractors.
We expect economic and earnings growth to slow from 2018’s brisk pace but to remain positive and supportive for HY performance in 2019. As of the date of this report, the HY market does not appear to have 2008 level imbalances, and we do not believe leverage is extended for most of the market. We find defaults remain quite low, and while the distress ratio has increased, it remains below long-term averages. We expect HY issuance to remain low during 2019.
While the HY market experienced significant outflows in 2018, as of the date of this report, we believe investors could reverse course given currently elevated yields. Risks to our outlook include a sharper economic and profit slowdown, potentially exacerbated by trade disputes. Further declines in commodity prices are also a risk. Central banks are a concern, with the market anticipating fewer foreign interest rate increases and potential rate cuts from the US Federal Reserve in 2019.
5
PPMFunds | PPM Long Short Credit Fund (Unaudited) |
Composition as of December 31, 2018: | ||
Corporate Bonds and Notes | 63.6 | % |
Senior Loan Interests | 18.9 | |
Non-US Government Agency ABS | 11.0 | |
Investment Companies | 2.4 | |
Government and Agency Obligations | 0.6 | |
Common Stocks | 0.1 | |
Short Term Investments | 3.4 | |
Net Long (Short) Investments | 100.0 | % |
Total Return* |
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Institutional Class† |
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Since Inception | -3.08 | % | ||||
†Inception date July 16, 2018 *The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
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Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses. |
For the period July 16, 2018 through December 31, 2018, PPM Long Short Credit Fund underperformed its benchmark providing a return of -3.08% (Net) for Institutional Class shares compared to 0.99% (Net) for the ICE BofAML US 3-Month Treasury Bill Index. As the Fund is benchmarked against a cash equivalent benchmark, the Fund was positioned almost entirely out of index throughout the period. The Fund’s short credit positions in credit default swap agreements on indices (“CDX”) and out of index allocation to asset-backed securities (“ABS”) contributed most to the Fund’s performance since the Fund’s inception. Long credit positions in corporate bonds, notably energy related issues, detracted most from Fund performance. In the fourth quarter we tactically added to our overweight position in investment grade (“IG”) corporate bonds as yield spreads became more attractive.
We believe IG and high yield (“HY”) market fundamentals remain constructive. The US gross domestic product (“GDP”) is expected to grow at a rate of 2.5% in 2019, with areas of concern (e.g. housing) anticipated to represent a small portion of overall GDP. In our view, earnings will likely slow down absent aa boost from tax reform. We expect economic and earnings growth to slow from 2018’s brisk pace but to remain positive and supportive for HY performance in 2019. As of the date of this report, the HY market does not appear to have 2008 level imbalances, and we do not believe leverage is extended for most of the market. We will continue to seek opportunities to increase the allocation to IG corporate bonds if spreads continue to widen.
6
PPMFunds | PPM Strategic Income Fund (Unaudited) |
PPM Strategic Income Fund
††45% Bloomberg Barclays US Aggregate Bond Index, 45% Bloomberg Barclays US Corporate High Yield Index, 10% Bloomberg Barclays Global Aggregate Bond Index
Total Return* |
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Institutional Class†‡ |
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1 Year | (3.76) | % | ||||
5 Year | 2.24 | |||||
Since Inception | 2.58 | |||||
†Inception date December 03, 2012 |
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‡ Prior to July 2, 2018, performance numbers reflect performance of the Class A shares of JNL/PPM America Strategic Income Fund. *The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. Prior to the Fund’s inception there was no waiver/reimbursement. |
The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2018: | ||
Corporate Bonds and Notes | 73.1 | % |
Senior Loan Interests | 7.0 | |
Non-US Government Agency ABS | 6.7 | |
Government and Agency Obligations | 5.9 | |
Investment Companies | 1.0 | |
Common Stocks | 0.2 | |
Other Equity Interests | — | |
Short Term Investments | 4.4 | |
Securities Lending Collateral | 1.7 | |
Net Long (Short) Investments | 100.0 | % |
For the year ended December 31, 2018, PPM Strategic Income Fund underperformed its primary benchmark providing a return of - 3.76% (Net) for Institutional Class shares compared to 0.01% (Net) for the Bloomberg Barclays US Aggregate Bond Index. The Fund also underperformed the returns of its other benchmarks, the Bloomberg Barclays US Corporate High Yield Index and the Bloomberg Barclays Global Aggregate Bond Index, which returned -2.08% (Net) and -1.20% (Net), respectively. The Fund also underperformed its blended benchmark return of -1.02%. The blended benchmark is comprised of 45% Bloomberg Barclays US Aggregate Bond Index, 45% Bloomberg Barclays US Corporate High Yield Index, and 10% Bloomberg Barclays Global Aggregate Bond Index (“Custom Index”).
Effective July 2, 2018, PPM Strategic Income Fund acquired JNL/PPM America Strategic Income Fund. See Note 9 in the Notes to Financial Statements for additional details about the reorganization.
For the period January 1, 2018 through July 1, 2018, the Fund was sub-advised by PPM America, Inc. and was the sole series of JNL Strategic Income Fund LLC. During the period, the Fund provided a return of -1.73% (Net) for Class A shares compared to -1.62% (Net) for the Bloomberg Barclays US Aggregate Bond Index, 0.16% (Net) for the Bloomberg Barclays US Corporate High Yield Index, - 1.46% (Net) for the Bloomberg Barclays Global Aggregate Bond Index and -0.79% (Net) for the Fund’s Custom Index. The Fund’s out of index allocation to corporate loans was the primary contributor to relative return while the Fund’s security selection within corporate bonds and underweight allocation to US Treasury securities were the primary detractors during this period. In the fourth quarter we tactically added to our overweight position in investment grade “IG” corporate bonds as yield spreads became more attractive.
Following the reorganization on July 2, 2018, PPM America, Inc. assumed sole management responsibility for the Fund. Class A shares were exchanged for Institutional Shares and the total net annual fund operating expense ratio and management fee were lowered. For the period July 2, 2018 through December 31, 2018, the Fund provided a return of -2.06% (Net) for Institutional Class shares compared to 1.66% (Net) for the Bloomberg Barclays US Aggregate Bond Index, 2.24% (Net) for the Bloomberg Barclays US Corporate High Yield Index, 0.26% (Net) for the Bloomberg Barclays Global Aggregate Bond Index, and -.23% (Net) for the Fund’s Custom Index.
The Fund’s overweight allocation to asset-backed securities was the primary contributor, while the Fund’s overweight to corporate bonds and out of index allocation to equity-like investments were the primary detractors from relative return since the Fund’s July 2, 2018 inception date.
We believe IG and HY market fundamentals remain constructive. The US gross domestic product (“GDP”) is expected to grow at a rate of 2.5% in 2019, with areas of concern (e.g. housing) anticipated to represent a small portion of overall GDP. In our view, earnings will likely slow down absent a boost from tax reform. We expect economic and earnings growth to slow from 2018’s brisk pace but to remain positive and supportive for HY performance in 2019. As of the date of this report, the HY market does not appear to have 2008 level imbalances, and we do not believe leverage is extended for most of the market. We will continue to seek opportunities to increase the allocation to IG corporate bonds if spreads continue to widen.
7
PPMFunds | PPM Large Cap Value Fund (Unaudited) |
PPM Large Cap Value Fund
Total Return* |
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Institutional Class† |
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Since Inception | -12.45 | % | ||||
†Inception date May 01, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
|
The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2018: | ||
Financials | 24.7 | % |
Health Care | 15.9 | |
Information Technology | 12.2 | |
Energy | 10.1 | |
Industrials | 9.4 | |
Consumer Discretionary | 9.3 | |
Communication Services | 6.4 | |
Consumer Staples | 4.8 | |
Utilities | 3.3 | |
Materials | 3.2 | |
Other Short Term Investments | 0.7 | |
Total Investments | 100.0 | % |
For the period May 1, 2018 through December 31, 2018, PPM Large Cap Value Fund underperformed its benchmark by posting a return of -12.45% (Net) for Institutional Class shares compared to -6.07% (Net) for the S&P 500 Value Index.
The Fund’s underperformance relative to the S&P 500 Value Index can be attributed to both individual security selection and the related sector allocation as a result of the Fund’s bottom-up security selection process.
Positive security selection influences on relative performance included names in industrials (Lockheed Martin Corp. (“Lockheed”) up 0.1% and not holding General Electric Co. down 45.1%) and materials (underweight Berry Global Group Inc. (“Berry Global”) down 1.5%). Negative security selection influences on relative performance included names in financials (Bank OZK down 50.7% and Lincoln National Corp. down 26.7%) and energy (Halliburton Co. down 49.1%).
Positive sector influence on relative performance primarily included overweight positions in consumer discretionary and health care. Negative sector influence on relative performance included underweight positions in consumer staples and real estate.
Positions added to the Fund during the period included AES Corp., Alliance Data Systems Corp., Berry Global, Leidos Holdings Inc. and Vistra Energy Corp. Positions sold included Cognizant Technology Solutions Corp., HP Inc., Lockheed and Diamond Offshore Drilling Inc.
Relative to the benchmark during the period, the Fund’s overweight positions include health care, energy, financials, consumer discretionary and communication services. The Fund’s underweight positions include consumer staples, real estate, information technology, utilities, industrials and materials.
We see the US equity market environment as supportive going into 2019, though trade remains a significant wild card. Following the correction in the fourth quarter, equity market valuations and earnings growth expectations have been reset near long term averages. Although late cycle fears persist, consensus expectations are for only a slight moderation in the economic growth seen in 2018. In our view, it appears that a recession is unlikely in 2019, but we would expect increased market volatility amid tariff and trade uncertainty, as well as US Federal Reserve (“Fed”) overtightening fears. Fed policy was less accommodative in 2018. Going forward, the pace of monetary policy could be more dovish than expected if benign inflation expectations continue despite the much improved labor market. Overall, we remain optimistic going into 2019.
8
PPMFunds | PPM Mid Cap Value Fund (Unaudited) |
PPM Mid Cap Value Fund
Total Return* |
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Institutional Class† |
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Since Inception | -16.96 | % | ||||
†Inception date May 01, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
|
The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2018: | ||
Financials | 23.2 | % |
Consumer Discretionary | 17.0 | |
Industrials | 11.0 | |
Information Technology | 10.0 | |
Materials | 8.8 | |
Energy | 8.5 | |
Health Care | 6.6 | |
Utilities | 5.9 | |
Consumer Staples | 4.5 | |
Communication Services | 2.5 | |
Real Estate | 1.5 | |
Other Short Term Investments | 0.5 | |
Total Investments | 100.0 | % |
For the period May 1, 2018 through December 31, 2018, PPM Mid Cap Value Fund underperformed its benchmark by posting a return of -16.96% (Net) for Institutional Class shares compared to -10.48% (Net) for the Russell MidCap Value Index.
The Fund’s underperformance relative to the Russell MidCap Value Index was attributed to both individual security selection and the related sector allocation as a result of the Fund’s bottom-up security selection process.
Positive security selection influences on relative performance primarily included names in consumer discretionary (Helen of Troy Ltd. up 47.1% and Foot Locker Inc. up 25.2%). Negative security selection influences on relative performance included names in energy (Superior Energy Services Inc. down 68.8%) and financials (Bank OZK down 50.7%).
Positive sector influences on relative performance included an overweight position in information technology (“IT”). Negative sector influences on relative performance included sector positioning in energy and utilities.
Positions added to the Fund during the period included AES Corp., Berry Global Group Inc., Huntsman Corp., Leidos Holdings Inc., Regency Centers Corp. and Sterling Bancorp. Positions sold included Hill-Rom Holdings Inc., Owens & Minor Inc., Cognizant Technology Solutions Corp., Esterline Technologies Corp., Steelcase Inc. Class A, Olin Corp. and LifePoint Health Inc.
Relative to the benchmark during the period, the Fund’s overweight positions include consumer discretionary, financials, energy, materials and IT. The Fund’s underweight positions include real estate, utilities, industrials, communication services, consumer staples and health care.
We see the US equity market environment as supportive going into 2019, though trade remains a significant wild card. Following the correction in the fourth quarter, equity market valuations and earnings growth expectations have been reset near long term averages. Although late cycle fears persist, consensus expectations are for only a slight moderation in the economic growth seen in 2018. In our view, it appears that a recession is unlikely in 2019, but we would expect increased market volatility amid tariff and trade uncertainty, as well as US Federal Reserve “(Fed”) overtightening fears. Fed policy was less accommodative in 2018. Going forward, the pace of monetary policy could be more dovish than expected if benign inflation expectations continue despite the much improved labor market. Overall, we remain optimistic going into 2019.
9
PPMFunds | PPM Small Cap Value Fund (Unaudited) |
PPM Small Cap Value Fund
Total Return* |
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Institutional Class† |
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Since Inception | -17.29 | % | ||||
†Inception date May 01, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
|
The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2018: | ||
Financials | 20.0 | % |
Industrials | 18.1 | |
Information Technology | 16.9 | |
Consumer Discretionary | 14.2 | |
Energy | 9.1 | |
Health Care | 6.5 | |
Materials | 5.0 | |
Communication Services | 2.6 | |
Consumer Staples | 2.6 | |
Utilities | 2.2 | |
Real Estate | 2.1 | |
Other Short Term Investments | 0.7 | |
Total Investments | 100.0 | % |
For the period May 1, 2018 through December 31, 2018, PPM Small Cap Value Fund underperformed its benchmark by posting a return of -17.29% (Net) for Institutional Class shares compared to -11.70% (Net) for the Russell 2000 Value Index.
The Fund’s underperformance relative to the Russell 2000 Value Index was attributed to both individual security selection and the related sector allocation as a result of the Fund’s bottom-up security selection process.
Positive security selection influences on relative performance included names in industrials (Esterline Technologies Corp. up 69.0% and Aerojet Rocketdyne Holdings Inc. up 26.1%) and health care (Integer Holdings Corp. up 38.9%). Negative security selection influences on relative performance included names in financials (FCB Financial Holdings Inc. Class A down 41.9% and Axos Financial Inc. down 37.5%) and information technology (“IT”) (Belden Inc. down 32.0%).
Positive sector influence on relative performance included sector positioning in IT and materials. Negative sector influences on relative performance included sector positioning in energy and real estate.
Positions added to the Fund during the period included Diamond Offshore Drilling Inc. Positions sold included Superior Industries International Inc. and LifePoint Health Inc.
Relative to the benchmark during the period, the Fund’s overweight positions include energy, health care, IT and communication services. The Fund’s underweight positions include real estate, financials, consumer staples, industrials, utilities and materials as well as a slight underweight in consumer discretionary.
We see the US equity market environment as supportive going into 2019, though trade remains a significant wild card. Following the correction in the fourth quarter, equity market valuations and earnings growth expectations have been reset near long term averages. Although late cycle fears persist, consensus expectations are for only a slight moderation in the economic growth seen in 2018. In our view, it appears that a recession is unlikely in 2019, but we would expect increased market volatility amid tariff and trade uncertainty, as well as US Federal Reserve (“Fed”) overtightening fears. Fed policy was less accommodative in 2018. Going forward, the pace of monetary policy could be more dovish than expected if benign inflation expectations continue despite the much improved labor market. Overall, we remain optimistic going into 2019.
10
PPMFunds (Unaudited)
December 31, 2018
Important Disclosures and Glossary
Before investing, investors should carefully read the prospectus and/or summary prospectus and consider the investment objectives, risk, charges and expenses. For this and more complete information about the Funds, investors may obtain a prospectus or summary prospectus by calling 1-844-446-4PPM (1-844-446-4776) or by visiting www.ppmamerica.com/ppmfunds/.
Certain comments in this annual report are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “believe,” “may,” “will,” “anticipate” and other similar terms. We cannot promise future returns. Our opinions are a reflection of our best judgment at the time this report is compiled, and we disclaim any obligation to update or revise forward-looking statements.
The discussion of the Funds’ investments and investment strategy (including current investment themes, the portfolio managers’ research and investment process, and portfolio characteristics) represents the Funds’ investments and the views of the portfolio managers and PPM America, Inc., the Funds’ investment adviser, at the time of this report, and are subject to change without notice.
Past performance is no guarantee of future results. Current performance may be lower or higher than the performance shown. All returns reflect the reinvestment of income dividends and capital gains. You cannot invest directly in an index.
Mutual fund investing involves risk. The value of your investment in a Fund could go down as well as up. Investing in the bond market is subject to certain risks including market, credit, interest rate and liquidity. Investments in asset-backed securities including residential mortgage-backed securities, commercial mortgage-backed securities, asset-backed securities and other structured finance investments, are subject to declines in prepayment activity during times of rising interest rates, which may lengthen the duration of the security. Investments in derivatives can be highly volatile, and the gains or losses from derivatives can be substantially greater than those that would have occurred if a Fund had not used such instruments. Additionally, a Fund’s use of derivative instruments may involve risks different from, or possibly greater than, the risks associated with investing directly in securities and other more traditional investments including leverage, liquidity, interest rate, market, counterparty and credit risk. Investments in equity securities generally have greater price volatility than fixed-income securities. As a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions, the price of equity or equity-related securities will fluctuate and can decline and reduce the value of a portfolio investing in equity or equity-related securities.
The ICE BofAML Custom 85/15 Index (HY Ratings restricted) provides a custom measure of investment grade and below investment grade bonds, and is a blend of the ICE BofAML A to BBB Index (C0C0) (85%) and the ICE BofAML BB-B US High Yield Constrained Index (HUC4) (15%). The ICE BofAML A-BBB US Corporate Index is a subset of ICE BofAML US Corporate Index including all securities rated A1 through BBB3, inclusive. ICE BofAML BB-B US High Yield Constrained Index contains all securities in The ICE BofAML US High Yield Index rated BB1 through B3, based on an average of Moody's, S&P and Fitch, but caps issuer exposure at 2%.
The S&P/LSTA Leveraged Loan Index provides a broad, market value-weighted measure of US institutional leveraged loans. It includes the institutional tranches of loans syndicated to US loan investors.
The ICE BofAML US High Yield Constrained Index provides a measure of below investment grade bonds, is constructed based on the ICE BofAML US High Yield Index and imposes a 2% issuer cap. The ICE BofAML US High Yield Index provides a broad measure of below investment grade, USD-denominated fixed rate corporate debt. It includes corporate bonds with risk exposures to countries that are members of the FX-G10, Western Europe or territories of the US and Western Europe.
The ICE BofAML US 3-Month Treasury Bill Index measures a single US Treasury Bill issue purchased at the beginning of the month and held for a full month. The index often holds the most recent 3-month Bill, but can also instead hold a seasoned 6-month Bill.
The Bloomberg Barclays US Aggregate Bond Index provides a broad measure of US investment grade, USD-denominated fixed rate bonds. It includes Treasuries, government-rated issues, corporate bonds, MBS, CMBS and ABS securities.
11
PPMFunds (Unaudited)
December 31, 2018
The Bloomberg Barclays US High Yield Index provides a broad measure of below investment grade, USD-denominated fixed rate bonds. It includes publicly-issued US and SEC-registered global corporate and non-corporate securities, including Canadian and global bonds, but excludes Eurobonds and debt issues from countries designated as emerging markets.
The Bloomberg Barclays Global Aggregate Index provides a broad measure of global investment grade, fixed rate bonds. The three major components of this index are the US Aggregate, Pan-European Aggregate and the Asian-Pacific Aggregate indices. It also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD 144A securities.
The Bloomberg Barclays Custom 45/45/10 Index provides a custom measure of US investment grade and below investment grade and global investment grade fixed rate bonds. It is a blend of the Bloomberg Barclays US Aggregate Index (45%), the Bloomberg Barclays US High Yield Index (45%) and the Bloomberg Barclays Global Aggregate Index ex US (10%). The Bloomberg Barclays US Aggregate Index provides a broad measure of US investment grade, USD-denominated fixed rate bonds. The Bloomberg Barclays US High Yield Index provides a broad measure of below investment grade, USD-denominated fixed rate bonds. The Bloomberg Barclays Global Aggregate Index ex US provides a broad measure of global investment grade, fixed rate bonds, but excludes US related securities.
The S&P 500 Value Index provides a measure of US large cap value stocks and is constructed based on the S&P 500 Index. Additionally, the S&P 500 Value Index includes stocks that exhibit strong value characteristics based on the evaluation of book value-to-price, earnings-to-price and sales-to-price ratios. The S&P 500 Index provides a broad measure, market capitalization-weighted measure of US large cap stocks.
The Russell Midcap Value Index provides a broad, market capitalization-weighted measure of US mid cap value stocks and is constructed based on the Russell Midcap Index. Additionally, the Russell Midcap Value Index includes stocks that exhibit strong value characteristics based on the evaluation of metrics such as book value-to-price and forecasted growth rates. The Russell Midcap Index provides a broad, market capitalization-weighted measure of US mid cap stocks.
The Russell 2000 Value Index provides a broad, market capitalization-weighted measure of value oriented US small cap stocks. It measures the performance of companies within the Russell 2000 Index which have lower price-to-book ratios and lower forecasted growth values. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations
12
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
PPM Core Plus Fixed Income Fund | |||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 12.1% | |||||||
American Airlines Pass-Through Trust | |||||||
Series 2016-AA-2, 3.20%, 06/15/28 | 179,900 | 167,865 | |||||
American Tower Trust I | |||||||
Series 2013-A-2, 3.07%, 03/15/23 (a) | 265,000 | 259,702 | |||||
AmeriCredit Automobile Receivables Trust | |||||||
Series 2016-A3-1, 1.81%, 10/08/20 | 915 | 915 | |||||
Ascentium Equipment Receivables Trust | |||||||
Series 2017-A2-2A, 2.00%, 05/11/20 (a) | 27,302 | 27,178 | |||||
Series 2018-A2-1A, 2.92%, 12/10/20 (a) | 73,000 | 72,946 | |||||
Series 2017-A3-2A, 2.31%, 12/10/21 (a) | 64,000 | 63,163 | |||||
Banc of America Re-REMIC Trust | |||||||
Series 2015-B-200P, REMIC, 3.49%, 04/16/25 (a) | 375,000 | 370,158 | |||||
BCC Funding XIV LLC | |||||||
Series 2018-A2-1A, 2.96%, 06/20/23 (a) | 98,157 | 97,888 | |||||
BMW Floorplan Master Owner Trust | |||||||
Series 2018-A1-1, 3.15%, 05/17/21 (a) | 100,000 | 99,764 | |||||
Capital One Multi-Asset Execution Trust | |||||||
Series 2016-A1-A1, 2.91%, (1M USD LIBOR + 0.45%), 04/15/19 (b) | 500,000 | 500,445 | |||||
CCG Receivables Trust | |||||||
Series 2018-A2-1, 2.50%, 02/14/21 (a) | 104,775 | 104,137 | |||||
Chase Issuance Trust | |||||||
Series 2014-A5-A5, 2.83%, (1M USD LIBOR + 0.37%), 04/15/19 (b) | 500,000 | 500,287 | |||||
Series 2016-A-A2, 1.37%, 06/17/19 | 250,000 | 248,168 | |||||
CIG Auto Receivables Trust | |||||||
Series 2017-A-1A, 2.71%, 05/15/23 (a) | 89,089 | 88,574 | |||||
Citibank Credit Card Issuance Trust | |||||||
Series 2017-A9-A9, 1.80%, 09/20/19 | 700,000 | 694,435 | |||||
Continental Airlines Inc. Pass-Through Trust | |||||||
Series 2012-B-1, 6.25%, 04/11/20 | 11,064 | 11,217 | |||||
Series 2012-A-1, 4.15%, 04/11/24 | 54,697 | 54,779 | |||||
Series 2012-A-2, 4.00%, 10/29/24 | 48,649 | 47,875 | |||||
CSMC Trust | |||||||
Series 2017-A3-HL2, 3.50%, 10/25/47 (a) (b) | 101,667 | 99,515 | |||||
Dell Equipment Finance Trust | |||||||
Series 2018-A2A-1, 2.97%, 10/22/20 (a) | 106,000 | 105,981 | |||||
Series 2017-A3-2, 2.19%, 10/24/22 (a) | 100,000 | 99,330 | |||||
Engs Commercial Finance Trust | |||||||
Series 2018-A1-1A, 2.97%, 02/22/21 (a) | 61,240 | 61,131 | |||||
Foundation Finance Trust | |||||||
Series 2017-A-1A, 3.30%, 08/15/22 (a) | 65,044 | 64,650 | |||||
Freddie Mac Multifamily Aggregation Risk Transfer | |||||||
Series 2017-A-KT01, REMIC, 2.82%, (1M USD LIBOR + 0.32%), 02/25/20 (b) | 225,000 | 224,515 | |||||
GLS Auto Receivables Trust | |||||||
Series 2018-A-3A, 3.35%, 08/15/22 (a) | 76,465 | 76,483 | |||||
GM Financial Automobile Leasing Trust | |||||||
Series 2017-A3-1, 2.06%, 05/20/20 | 216,443 | 215,709 | |||||
GM Financial Consumer Automobile Receivables Trust | |||||||
Series 2018-A1-3, 2.37%, 07/16/19 | 43,238 | 43,229 | |||||
GreatAmerica Leasing Receivables Funding LLC | |||||||
Series 2017-A3-1, 2.06%, 06/22/20 (a) | 82,776 | 82,436 | |||||
Series 2018-A3-1, 2.60%, 06/15/21 (a) | 100,000 | 99,514 | |||||
GS Mortgage Securities Trust | |||||||
Series 2017-B-SLP, REMIC, 3.77%, 10/12/22 (a) | 158,000 | 158,516 | |||||
JPMorgan Mortgage Trust | |||||||
Series 2017-A6-6, REMIC, 3.00%, 01/25/48 (a) (b) | 110,324 | 109,076 | |||||
Kubota Credit Owner Trust | |||||||
Series 2016-A3-1A, 1.50%, 07/15/20 (a) | 141,072 | 140,252 | |||||
Series 2018-A2-1A, 2.80%, 02/16/21 (a) | 141,000 | 140,766 | |||||
MVW Owner Trust | |||||||
Series 2013-A-1A, 2.15%, 04/22/30 (a) | 95,911 | 94,832 | |||||
PSMC Trust | |||||||
Series 2018-A1-3, REMIC, 4.00%, 08/25/48 (a) | 98,259 | 98,618 | |||||
Sequoia Mortgage Trust | |||||||
Series 2018-A1-8, REMIC, 4.00%, 11/25/48 (a) (b) | 132,732 | 131,169 |
Shares/Par1 | Value ($) |
United Auto Credit Securitization Trust | |||||||
Series 2018-A-2, 2.89%, 03/10/21 (a) | 54,389 | 54,327 | |||||
Verizon Owner Trust | |||||||
Series 2017-A-2A, 1.92%, 12/20/21 (a) | 500,000 | 495,050 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
Series 2017-B-C38, 3.92%, 07/15/50 (b) | 57,000 | 55,185 | |||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $6,060,493) | 6,059,780 | ||||||
CORPORATE BONDS AND NOTES 42.5% | |||||||
Communication Services 3.1% | |||||||
AT&T Inc. | |||||||
3.96%, (3M USD LIBOR + 1.18%), 06/12/24 (b) | 165,000 | 160,049 | |||||
5.25%, 03/01/37 | 87,000 | 85,459 | |||||
CCO Holdings LLC | |||||||
5.13%, 05/01/27 (a) | 63,000 | 58,642 | |||||
Charter Communications Operating LLC | |||||||
4.91%, 07/23/25 | 84,000 | 83,481 | |||||
5.38%, 04/01/38 | 105,000 | 96,921 | |||||
6.83%, 10/23/55 | 51,000 | 52,090 | |||||
Comcast Corp. | |||||||
4.15%, 10/15/28 | 203,000 | 206,258 | |||||
4.60%, 10/15/38 | 143,000 | 144,554 | |||||
3.40%, 07/15/46 | 60,000 | 49,714 | |||||
4.95%, 10/15/58 | 85,000 | 86,895 | |||||
Hughes Satellite Systems Corp. | |||||||
5.25%, 08/01/26 | 71,000 | 65,142 | |||||
Netflix Inc. | |||||||
6.38%, 05/15/29 (a) | 201,000 | 199,459 | |||||
Numericable - SFR SA | |||||||
7.38%, 05/01/26 (a) | 95,000 | 87,134 | |||||
Sprint Spectrum Co. LLC | |||||||
3.36%, 09/20/21 (a) | 137,500 | 135,609 | |||||
Vodafone Group Plc | |||||||
5.00%, 05/30/38 | 32,000 | 29,929 | |||||
1,541,336 | |||||||
Consumer Discretionary 1.5% | |||||||
Fiat Chrysler Automobiles NV | |||||||
5.25%, 04/15/23 | 84,000 | 82,302 | |||||
Ford Motor Co. | |||||||
5.29%, 12/08/46 | 45,000 | 36,975 | |||||
Hilton Worldwide Finance LLC | |||||||
4.63%, 04/01/25 | 14,000 | 13,380 | |||||
Home Depot Inc. | |||||||
3.90%, 12/06/28 | 52,000 | 53,295 | |||||
4.50%, 12/06/48 | 30,000 | 31,023 | |||||
Nemak SAB de CV | |||||||
4.75%, 01/23/25 (a) | 200,000 | 186,689 | |||||
Sands China Ltd. | |||||||
5.40%, 08/08/28 (a) (c) | 311,000 | 300,239 | |||||
Target Corp. | |||||||
3.90%, 11/15/47 | 62,000 | 57,093 | |||||
760,996 | |||||||
Consumer Staples 2.5% | |||||||
Anheuser-Busch InBev Worldwide Inc. | |||||||
3.65%, 02/01/26 (a) | 140,000 | 132,081 | |||||
4.90%, 02/01/46 (a) | 162,000 | 149,961 | |||||
BAT Capital Corp. | |||||||
3.56%, 08/15/27 | 80,000 | 71,037 | |||||
4.39%, 08/15/37 | 165,000 | 135,298 | |||||
4.54%, 08/15/47 | 35,000 | 27,948 | |||||
Conagra Brands Inc. | |||||||
4.60%, 11/01/25 | 129,000 | 130,191 | |||||
5.40%, 11/01/48 | 65,000 | 59,990 | |||||
General Mills Inc. | |||||||
4.20%, 04/17/28 | 21,000 | 20,523 | |||||
JBS Investments II GmbH | |||||||
7.00%, 01/15/26 (a) | 200,000 | 197,030 | |||||
Pilgrim's Pride Corp. | |||||||
5.88%, 09/30/27 (a) | 64,000 | 58,349 | |||||
Post Holdings Inc. | |||||||
5.63%, 01/15/28 (a) | 22,000 | 20,256 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
13
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) |
Reynolds American Inc. | |||||||
4.45%, 06/12/25 | 105,000 | 101,422 | |||||
5.70%, 08/15/35 | 46,000 | 45,325 | |||||
7.00%, 08/04/41 | 45,000 | 47,935 | |||||
Tyson Foods Inc. | |||||||
5.10%, 09/28/48 | 57,000 | 54,683 | |||||
1,252,029 | |||||||
Energy 4.1% | |||||||
Andeavor Logistics LP | |||||||
3.50%, 12/01/22 | 46,000 | 44,528 | |||||
4.25%, 12/01/27 | 41,000 | 38,676 | |||||
5.20%, 12/01/47 | 45,000 | 40,532 | |||||
Cheniere Corpus Christi Holdings LLC | |||||||
5.88%, 03/31/25 | 50,000 | 49,827 | |||||
5.13%, 06/30/27 | 195,000 | 183,835 | |||||
Columbia Pipeline Group Inc. | |||||||
5.80%, 06/01/45 | 45,000 | 47,415 | |||||
Continental Resources Inc. | |||||||
4.38%, 01/15/28 | 81,000 | 76,531 | |||||
Denbury Resources Inc. | |||||||
9.00%, 05/15/21 (a) | 25,000 | 23,375 | |||||
Diamondback Energy Inc. | |||||||
4.75%, 11/01/24 (a) | 187,000 | 180,510 | |||||
Endeavor Energy Resources LP | |||||||
5.50%, 01/30/26 (a) | 14,000 | 14,211 | |||||
5.75%, 01/30/28 (a) | 14,000 | 14,281 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 173,000 | 166,780 | |||||
5.50%, 06/01/27 | 29,000 | 28,329 | |||||
5.80%, 06/15/38 | 80,000 | 77,385 | |||||
6.13%, 12/15/45 | 20,000 | 19,372 | |||||
Enterprise Products Operating LLC | |||||||
4.15%, 10/16/28 | 95,000 | 94,725 | |||||
4.80%, 02/01/49 | 84,000 | 81,418 | |||||
EP Energy LLC | |||||||
8.00%, 11/29/24 (a) (d) | 105,000 | 76,537 | |||||
8.00%, 02/15/25 (a) | 30,000 | 12,387 | |||||
Everest Acquisition Finance Inc. | |||||||
7.75%, 05/15/26 (a) | 35,000 | 31,038 | |||||
Marathon Petroleum Corp. | |||||||
3.80%, 04/01/28 (a) | 30,000 | 28,247 | |||||
4.50%, 04/01/48 (a) | 35,000 | 29,386 | |||||
MPLX LP | |||||||
4.00%, 03/15/28 | 137,000 | 128,803 | |||||
5.50%, 02/15/49 | 67,000 | 64,947 | |||||
Nabors Industries Inc. | |||||||
5.50%, 01/15/23 (d) | 20,000 | 15,845 | |||||
PDC Energy Inc. | |||||||
5.75%, 05/15/26 | 60,000 | 53,178 | |||||
Petroleos Mexicanos | |||||||
6.50%, 01/23/29 | 85,000 | 79,262 | |||||
Sabine Pass Liquefaction LLC | |||||||
4.20%, 03/15/28 | 203,000 | 193,643 | |||||
Transocean Pontus Ltd. | |||||||
6.13%, 08/01/25 (a) | 20,000 | 19,272 | |||||
Transocean Proteus Ltd. | |||||||
6.25%, 12/01/24 (a) | 140,000 | 135,330 | |||||
2,049,605 | |||||||
Financials 16.3% | |||||||
AerCap Ireland Capital Ltd. | |||||||
3.50%, 05/26/22 | 115,000 | 111,458 | |||||
3.65%, 07/21/27 | 75,000 | 64,991 | |||||
American Express Co. | |||||||
3.70%, 08/03/23 | 250,000 | 250,722 | |||||
Athene Global Funding | |||||||
4.00%, 01/25/22 (a) | 176,000 | 177,806 | |||||
Athene Holding Ltd. | |||||||
4.13%, 01/12/28 | 110,000 | 99,669 | |||||
Bank of America Corp. | |||||||
6.25%, (callable at 100 beginning 09/05/24) (e) | 75,000 | 73,875 | |||||
3.55%, 03/05/24 | 167,000 | 164,882 | |||||
4.00%, 01/22/25 | 86,000 | 83,923 |
Shares/Par1 | Value ($) |
4.25%, 10/22/26 | 240,000 | 233,743 | |||||
3.25%, 10/21/27 | 27,000 | 24,951 | |||||
Barclays Plc | |||||||
4.97%, 05/16/29 (b) (f) | 200,000 | 193,042 | |||||
Bayer US Finance II LLC | |||||||
4.25%, 12/15/25 (a) | 78,000 | 76,156 | |||||
4.38%, 12/15/28 (a) | 75,000 | 71,791 | |||||
BNP Paribas SA | |||||||
3.50%, 03/01/23 (a) | 110,000 | 107,098 | |||||
Capital One Financial Corp. | |||||||
3.75%, 03/09/27 | 125,000 | 116,367 | |||||
3.80%, 01/31/28 | 147,000 | 135,677 | |||||
Citigroup Inc. | |||||||
5.90%, (callable at 100 beginning 02/15/23) (d) (e) | 100,000 | 93,021 | |||||
2.75%, 04/25/22 | 75,000 | 72,696 | |||||
4.45%, 09/29/27 | 252,000 | 242,954 | |||||
3.89%, 01/10/28 (b) | 136,000 | 130,835 | |||||
4.13%, 07/25/28 | 8,000 | 7,504 | |||||
Credit Agricole SA | |||||||
3.75%, 04/24/23 (a) | 250,000 | 244,590 | |||||
Credit Suisse AG | |||||||
6.50%, 08/08/23 (a) | 275,000 | 287,103 | |||||
Credit Suisse Group AG | |||||||
7.50%, (callable at 100 beginning 12/11/23) (a) (e) | 200,000 | 204,000 | |||||
4.21%, 06/12/24 (a) | 250,000 | 248,089 | |||||
Dell EMC | |||||||
8.35%, 07/15/46 (a) | 204,000 | 220,980 | |||||
General Motors Financial Co. Inc. | |||||||
4.20%, 03/01/21 | 75,000 | 75,147 | |||||
Glencore Funding LLC | |||||||
3.00%, 10/27/22 (a) | 62,000 | 59,488 | |||||
GLP Capital LP | |||||||
5.30%, 01/15/29 | 125,000 | 122,715 | |||||
Goldman Sachs Group Inc. | |||||||
2.60%, 12/27/20 | 77,000 | 75,546 | |||||
3.00%, 04/26/22 | 66,000 | 64,047 | |||||
2.91%, 07/24/23 | 63,000 | 60,012 | |||||
4.00%, 03/03/24 | 62,000 | 61,079 | |||||
4.25%, 10/21/25 | 90,000 | 86,219 | |||||
4.22%, 05/01/29 | 155,000 | 149,662 | |||||
6.75%, 10/01/37 | 80,000 | 90,697 | |||||
HSBC Holdings Plc | |||||||
6.88%, (callable at 100 beginning 06/01/21) (e) (f) | 200,000 | 205,402 | |||||
4.29%, 09/12/26 | 200,000 | 197,460 | |||||
4.38%, 11/23/26 | 200,000 | 193,594 | |||||
Icahn Enterprises LP | |||||||
6.38%, 12/15/25 | 111,000 | 107,459 | |||||
Intesa Sanpaolo SpA | |||||||
3.88%, 01/12/28 (a) | 140,000 | 118,950 | |||||
James Hardie International Finance DAC | |||||||
5.00%, 01/15/28 (a) | 54,000 | 46,604 | |||||
JPMorgan Chase & Co. | |||||||
5.30%, (callable at 100 beginning 05/01/20) (e) | 60,000 | 59,437 | |||||
4.02%, 12/05/24 | 202,000 | 203,510 | |||||
2.95%, 10/01/26 | 107,000 | 98,662 | |||||
3.78%, 02/01/28 (b) | 47,000 | 45,549 | |||||
4.01%, 04/23/29 | 62,000 | 60,913 | |||||
4.20%, 07/23/29 | 42,000 | 41,893 | |||||
4.45%, 12/05/29 | 82,000 | 83,309 | |||||
JPMorgan Chase Bank NA | |||||||
3.22%, 03/01/25 | 114,000 | 109,723 | |||||
3.51%, 01/23/29 | 62,000 | 58,713 | |||||
Lincoln National Corp. | |||||||
3.80%, 03/01/28 | 21,000 | 20,304 | |||||
4.35%, 03/01/48 | 35,000 | 32,348 | |||||
Lloyds Banking Group Plc | |||||||
7.50%, (callable at 100 beginning 09/27/25) (e) | 200,000 | 192,520 | |||||
Macquarie Group Ltd. | |||||||
5.03%, 01/15/30 (a) | 125,000 | 123,663 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
14
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) |
Morgan Stanley | |||||||
4.88%, 11/01/22 | 194,000 | 200,235 | |||||
4.10%, 05/22/23 | 143,000 | 143,506 | |||||
3.88%, 04/29/24 | 219,000 | 217,971 | |||||
3.63%, 01/20/27 | 104,000 | 98,897 | |||||
Santander UK Group Holdings Plc | |||||||
4.80%, 11/15/24 | 242,000 | 240,025 | |||||
UBS AG | |||||||
2.45%, 12/01/20 (a) | 200,000 | 196,260 | |||||
Volkswagen Group of America Finance LLC | |||||||
4.63%, 11/13/25 (a) | 250,000 | 247,843 | |||||
Wells Fargo & Co. | |||||||
5.88%, (callable at 100 beginning 06/15/25) (e) | 100,000 | 98,750 | |||||
2.63%, 07/22/22 | 75,000 | 72,271 | |||||
4.48%, 01/16/24 | 15,000 | 15,153 | |||||
Ziggo Secured Finance BV | |||||||
5.50%, 01/15/27 (a) | 60,000 | 54,000 | |||||
8,167,459 | |||||||
Health Care 3.7% | |||||||
Abbott Laboratories | |||||||
4.75%, 11/30/36 | 59,000 | 61,530 | |||||
Actavis Funding SCS | |||||||
4.55%, 03/15/35 | 41,000 | 39,022 | |||||
Becton Dickinson & Co. | |||||||
3.36%, 06/06/24 | 176,000 | 168,799 | |||||
Centene Corp. | |||||||
4.75%, 05/15/22 | 72,000 | 71,463 | |||||
6.13%, 02/15/24 | 8,000 | 8,202 | |||||
4.75%, 01/15/25 | 25,000 | 23,903 | |||||
Centene Escrow I Corp. | |||||||
5.38%, 06/01/26 (a) | 117,000 | 114,268 | |||||
CVS Health Corp. | |||||||
4.30%, 03/25/28 | 185,000 | 181,110 | |||||
4.78%, 03/25/38 | 117,000 | 112,715 | |||||
5.05%, 03/25/48 | 179,000 | 174,833 | |||||
Express Scripts Holding Co. | |||||||
3.40%, 03/01/27 | 114,000 | 105,784 | |||||
Halfmoon Parent Inc. | |||||||
4.38%, 10/15/28 (a) | 100,000 | 100,658 | |||||
4.90%, 12/15/48 (a) | 148,000 | 144,875 | |||||
Mednax Inc. | |||||||
6.25%, 01/15/27 (a) | 65,000 | 62,725 | |||||
Mylan Inc. | |||||||
5.20%, 04/15/48 (a) | 23,000 | 18,766 | |||||
Perrigo Finance Plc | |||||||
4.90%, 12/15/44 | 11,000 | 8,438 | |||||
Perrigo Finance Unltd. Co. | |||||||
4.38%, 03/15/26 | 31,000 | 27,957 | |||||
UnitedHealth Group Inc. | |||||||
3.75%, 07/15/25 | 45,000 | 45,400 | |||||
3.45%, 01/15/27 | 40,000 | 39,469 | |||||
3.88%, 12/15/28 | 60,000 | 60,702 | |||||
Valeant Pharmaceuticals International Inc. | |||||||
6.50%, 03/15/22 (a) | 15,000 | 15,084 | |||||
5.88%, 05/15/23 (a) | 10,000 | 9,225 | |||||
7.00%, 03/15/24 (a) | 40,000 | 40,517 | |||||
6.13%, 04/15/25 (a) | 57,000 | 49,543 | |||||
5.50%, 03/01/23 - 11/01/25 (a) | 68,000 | 63,247 | |||||
WellCare Health Plans Inc. | |||||||
5.25%, 04/01/25 | 100,000 | 96,277 | |||||
5.38%, 08/15/26 (a) | 46,000 | 44,492 | |||||
1,889,004 | |||||||
Industrials 2.8% | |||||||
ACCO Brands Corp. | |||||||
5.25%, 12/15/24 (a) | 28,000 | 25,105 | |||||
Aircastle Ltd. | |||||||
4.40%, 09/25/23 | 41,000 | 40,181 | |||||
4.13%, 05/01/24 | 75,000 | 70,314 | |||||
Ashtead Capital Inc. | |||||||
5.25%, 08/01/26 (a) | 128,000 | 123,600 | |||||
Aviation Capital Group LLC | |||||||
4.38%, 01/30/24 (a) | 105,000 | 104,395 |
Shares/Par1 | Value ($) |
Avolon Holdings Funding Ltd. | |||||||
5.13%, 10/01/23 (a) | 165,000 | 158,473 | |||||
Bombardier Inc. | |||||||
8.75%, 12/01/21 (a) | 70,000 | 72,100 | |||||
7.50%, 03/15/25 (a) | 9,000 | 8,483 | |||||
General Electric Co. | |||||||
5.00%, (callable at 100 beginning 01/21/21) (e) (g) | 525,000 | 404,250 | |||||
General Motors Co. | |||||||
5.95%, 04/01/49 | 60,000 | 54,613 | |||||
Johnson Controls International Plc | |||||||
5.13%, 09/14/45 | 41,000 | 40,757 | |||||
Mexico City Airport Trust | |||||||
5.50%, 07/31/47 (g) (h) | 40,000 | 35,261 | |||||
Standard Industries Inc. | |||||||
4.75%, 01/15/28 (a) | 116,000 | 96,806 | |||||
Union Pacific Corp. | |||||||
3.60%, 09/15/37 | 64,000 | 57,250 | |||||
4.38%, 09/10/38 | 100,000 | 98,535 | |||||
1,390,123 | |||||||
Information Technology 1.2% | |||||||
Broadcom Corp. | |||||||
3.88%, 01/15/27 | 57,000 | 51,158 | |||||
Microsoft Corp. | |||||||
3.45%, 08/08/36 | 142,000 | 134,443 | |||||
3.95%, 08/08/56 | 97,000 | 94,955 | |||||
NXP BV | |||||||
4.13%, 06/01/21 (a) | 200,000 | 197,987 | |||||
5.35%, 03/01/26 (a) | 67,000 | 67,730 | |||||
Oracle Corp. | |||||||
4.00%, 11/15/47 | 83,000 | 77,271 | |||||
623,544 | |||||||
Materials 3.0% | |||||||
Anglo American Capital Plc | |||||||
4.88%, 05/14/25 (a) | 121,000 | 118,905 | |||||
4.75%, 04/10/27 (a) | 200,000 | 190,879 | |||||
4.50%, 03/15/28 (a) | 200,000 | 186,475 | |||||
CF Industries Inc. | |||||||
3.40%, 12/01/21 (a) | 165,000 | 161,116 | |||||
4.50%, 12/01/26 (a) | 65,000 | 63,694 | |||||
Corning Inc. | |||||||
5.85%, 11/15/68 | 148,000 | 149,806 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 | 221,000 | 204,955 | |||||
5.40%, 11/14/34 | 70,000 | 55,490 | |||||
Reynolds Group Issuer Inc. | |||||||
5.94%, (3M USD LIBOR + 3.50%), 07/15/21 (a) (b) | 200,000 | 199,302 | |||||
Syngenta Finance NV | |||||||
5.68%, 04/24/48 (a) | 200,000 | 164,120 | |||||
1,494,742 | |||||||
Real Estate 0.5% | |||||||
Boston Properties LP | |||||||
4.50%, 12/01/28 | 173,000 | 176,991 | |||||
Crown Castle International Corp. | |||||||
2.25%, 09/01/21 | 50,000 | 48,462 | |||||
ERP Operating LP | |||||||
3.50%, 03/01/28 | 54,000 | 52,616 | |||||
278,069 | |||||||
Utilities 3.8% | |||||||
AES Corp. | |||||||
4.00%, 03/15/21 | 215,000 | 211,390 | |||||
Ameren Illinois Co. | |||||||
4.50%, 03/15/49 | 104,000 | 109,675 | |||||
Avangrid Inc. | |||||||
3.15%, 12/01/24 | 160,000 | 154,452 | |||||
Basin Electric Power Cooperative | |||||||
4.75%, 04/26/47 (a) | 107,000 | 110,388 | |||||
Commonwealth Edison Co. | |||||||
3.75%, 08/15/47 | 89,000 | 82,510 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
15
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) |
Electricite de France SA | |||||||
4.50%, 09/21/28 (a) | 200,000 | 193,769 | |||||
Exelon Corp. | |||||||
3.50%, 06/01/22 (i) | 110,000 | 107,492 | |||||
5.10%, 06/15/45 | 85,000 | 87,994 | |||||
FirstEnergy Corp. | |||||||
3.90%, 07/15/27 | 185,000 | 179,242 | |||||
4.85%, 07/15/47 (c) | 65,000 | 65,060 | |||||
Indiana Michigan Power Co. | |||||||
4.25%, 08/15/48 | 69,000 | 68,143 | |||||
Oncor Electric Delivery Co. LLC | |||||||
2.95%, 04/01/25 | 180,000 | 175,751 | |||||
Pacific Gas & Electric Co. | |||||||
3.30%, 12/01/27 | 100,000 | 81,750 | |||||
Southern California Edison Co. | |||||||
4.13%, 03/01/48 | 46,000 | 43,881 | |||||
Southern Co. | |||||||
2.95%, 07/01/23 | 196,000 | 189,405 | |||||
Wisconsin Energy Corp. | |||||||
3.55%, 06/15/25 | 50,000 | 49,511 | |||||
1,910,413 | |||||||
Total Corporate Bonds And Notes (cost $22,047,497) | 21,357,320 | ||||||
SENIOR LOAN INTERESTS 1.6% | |||||||
Communication Services 0.4% | |||||||
CenturyLink Inc. | |||||||
Term Loan B, 5.27%, (3M LIBOR + 2.75%), 01/15/25 (b) | 116,820 | 108,759 | |||||
Sprint Communications Inc. | |||||||
1st Lien Term Loan B, 4.88%, (3M LIBOR + 2.50%), 02/01/24 (b) | 83,932 | 79,666 | |||||
188,425 | |||||||
Consumer Discretionary 0.5% | |||||||
Charter Communications Operating LLC | |||||||
Term Loan B, 4.35%, (3M LIBOR + 2.00%), 04/30/25 (b) | 64,350 | 61,543 | |||||
CSC Holdings LLC | |||||||
1st Lien Term Loan, 4.71%, (3M LIBOR + 2.25%), 07/15/25 (b) | 44,436 | 42,059 | |||||
Golden Nugget Inc. | |||||||
Incremental Term Loan B, 5.19%, (3M LIBOR + 2.75%), 09/07/23 (b) | 36,452 | 34,994 | |||||
Incremental Term Loan B, 5.28%, (3M LIBOR + 2.75%), 10/04/23 (b) | 45,581 | 43,758 | |||||
UFC Holdings LLC | |||||||
1st Lien Term Loan, 5.78%, (3M LIBOR + 3.25%), 07/22/23 (b) | 59,242 | 57,584 | |||||
239,938 | |||||||
Consumer Staples 0.5% | |||||||
JBS USA LLC | |||||||
Term Loan B, 4.89%, (3M LIBOR + 2.50%), 10/30/22 (b) | 39,757 | 38,167 | |||||
Term Loan B, 5.30%, (3M LIBOR + 2.50%), 06/30/24 (b) | 231,913 | 222,636 | |||||
260,803 | |||||||
Energy 0.1% | |||||||
TEX Operations Co. LLC | |||||||
Term Loan B, 4.34%, (3M LIBOR + 2.00%), 08/04/23 (b) | 36,131 | 34,756 | |||||
Traverse Midstream Partners LLC | |||||||
Term Loan, 6.60%, (3M LIBOR + 4.00%), 09/22/24 (b) | 33,000 | 31,598 | |||||
66,354 | |||||||
Materials 0.1% | |||||||
BWAY Holding Co. | |||||||
Term Loan B, 5.66%, (3M LIBOR + 3.25%), 04/03/24 (b) | 49,373 | 46,329 | |||||
Total Senior Loan Interests (cost $838,154) | 801,849 | ||||||
GOVERNMENT AND AGENCY OBLIGATIONS 41.5% | |||||||
Mortgage-Backed Securities 23.8% | |||||||
Federal Home Loan Mortgage Corp. | |||||||
3.00%, 07/01/32 - 11/01/46 | 190,850 | 188,666 |
Shares/Par1 | Value ($) |
3.50%, 01/01/46 - 11/01/47 | 1,655,603 | 1,657,145 | |||||
4.00%, 10/01/45 - 06/01/48 | 156,799 | 160,071 | |||||
Federal National Mortgage Association | |||||||
3.50%, 11/01/32 - 01/01/48 | 861,026 | 867,878 | |||||
TBA, 3.00%, 01/15/33 (j) | 438,000 | 437,198 | |||||
3.00%, 09/01/32 - 05/01/46 | 2,299,285 | 2,250,478 | |||||
4.00%, 07/01/47 - 08/01/48 | 1,096,087 | 1,119,164 | |||||
4.50%, 05/01/47 - 07/01/48 | 1,442,256 | 1,494,535 | |||||
Government National Mortgage Association | |||||||
3.50%, 04/20/46 - 05/20/47 | 2,102,347 | 2,118,996 | |||||
4.00%, 04/20/47 - 07/20/47 | 1,497,840 | 1,536,351 | |||||
4.50%, 08/20/48 - 09/20/48 | 86,419 | 89,478 | |||||
11,919,960 | |||||||
Sovereign 0.4% | |||||||
Mexico Government International Bond | |||||||
3.75%, 01/11/28 | 220,000 | 206,533 | |||||
U.S. Treasury Securities 17.3% | |||||||
U.S. Treasury Bond | |||||||
3.75%, 08/15/41 | 461,000 | 521,002 | |||||
3.13%, 11/15/41 | 372,000 | 381,300 | |||||
2.50%, 02/15/45 - 02/15/46 | 659,000 | 597,200 | |||||
U.S. Treasury Note | |||||||
1.38%, 04/30/20 | 586,000 | 577,027 | |||||
2.00%, 02/15/22 | 835,000 | 823,388 | |||||
1.88%, 04/30/22 | 602,000 | 590,430 | |||||
1.63%, 05/31/23 | 709,000 | 682,966 | |||||
2.75%, 02/15/24 | 900,000 | 909,844 | |||||
2.50%, 05/15/24 | 626,000 | 625,022 | |||||
2.88%, 07/31/25 | 321,000 | 326,617 | |||||
1.50%, 08/15/26 | 808,000 | 745,380 | |||||
2.25%, 11/15/25 - 08/15/27 | 1,950,000 | 1,904,593 | |||||
8,684,769 | |||||||
Total Government And Agency Obligations (cost $20,696,449) | 20,811,262 | ||||||
SHORT TERM INVESTMENTS 2.8% | |||||||
Investment Companies 2.5% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.29% (k) | 1,255,699 | 1,255,699 | |||||
Securities Lending Collateral 0.3% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% (k) | 161,620 | 161,620 | |||||
Total Short Term Investments (cost $1,417,319) | 1,417,319 | ||||||
Total Investments 100.5% (cost $51,059,912) | 50,447,530 | ||||||
Other Derivative Instruments (0.0)% | (2,123) | ||||||
Other Assets and Liabilities, Net (0.5)% | (247,297) | ||||||
Total Net Assets 100.0% | 50,198,110 |
(a) The Adviser has deemed this security which is exempt from registration under the Securities Act of 1933, as amended, to be liquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited. As of December 31, 2018, the value and the percentage of net assets of these liquid securities were $10,776,327 and 21.5%, respectively.
(b) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are presented. Certain variable rate securities do not indicate a reference rate and spread because they are determined by the issuer, remarketing agent, or offering documents and are based on current market conditions. The coupon rate for securities with certain features outlined in the offering documents may vary from the stated reference rate and spread. This includes, but is not limited to, securities with deferred rates, contingent distributions, caps, floors, and fixed-rate to float-rate features. In addition, variable rates for government and agency collateralized mortgage obligations (“CMO”) and mortgage-backed securities (“MBS”) are determined by tranches of underlying mortgage-backed security pools’ cash flows into securities and pass-through rates which reflects the rate earned on the asset pool after management and guarantee fees are paid to the securitizing corporation. CMO and MBS variable rates are determined by a formula set forth in the security’s offering documents.
(c) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(d) All or a portion of the security was on loan as of December 31, 2018.
(e) Perpetual security. Next contractual call date presented, if applicable.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
16
PPMFunds
Schedules of Investments
December 31, 2018
(f) Convertible security.
(g) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited.
(h) Security is restricted to resale to institutional investors. See Restricted Securities in the Schedules of Investments.
(i) Security is a step-up bond where the coupon may increase or step up at a future date or as the result of an upgrade or downgrade to the credit rating of the issuer. Rate stated was the coupon as of December 31, 2018.
(j) All or a portion of the security was purchased on a delayed delivery basis. As of December 31, 2018, the total payable for investments purchased on a delayed delivery basis was $430,974.
(k) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2018.
Restricted Securities | ||||||||||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | |||||||||||||
Mexico City Airport Trust, 5.50%, 07/31/47 | 07/16/18 | 36,362 | 35,261 | 0.1 | ||||||||||||
PPM Core Plus Fixed Income Fund — Futures Contracts | ||||||||||||||||
Reference Entity | Contracts Long (Short)1 | Expiration | Notional 1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | |||||||||||
U.S. Treasury Long Bond | 15 | March 2019 | 2,087,996 | 7,031 | 102,004 | |||||||||||
U.S. Treasury Note, 10-Year | (38) | March 2019 | (4,538,858) | (16,408) | (97,736) | |||||||||||
U.S. Treasury Note, 2-Year | (3) | March 2019 | (633,046) | (422) | (3,892) | |||||||||||
U.S. Treasury Note, 5-Year | 14 | March 2019 | 1,588,381 | 3,500 | 17,244 | |||||||||||
Ultra 10-Year U.S. Treasury Note | 6 | March 2019 | 755,346 | 2,813 | 25,123 | |||||||||||
Ultra Long Term U.S. Treasury Bond | 2 | March 2019 | 303,986 | 1,188 | 17,327 | |||||||||||
(2,298) | 60,070 |
PPM Core Plus Fixed Income Fund — Centrally Cleared Credit Default Swap Agreements | ||||||||||||||||||
Reference Entity2 | Fixed Receive/ Pay Rate8 (%) | Expiration | Notional1,7 | Value6 ($) | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Credit default swap agreements - sell protection4 | ||||||||||||||||||
CDX.NA.HY.31 (Q) | 5.00 | 12/20/23 | (240,000) | 4,784 | 175 | (8,032) | ||||||||||||
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
17
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
PPM Credit Fund | |||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 12.8% | |||||||
American Express Credit Account Master Trust | |||||||
Series 2014-B-1, 2.96%, (1M USD LIBOR + 0.50%), 05/15/19 (a) | 500,000 | 500,480 | |||||
AmeriCredit Automobile Receivables Trust | |||||||
Series 2016-A3-1, 1.81%, 10/08/20 | 915 | 915 | |||||
Ascentium Equipment Receivables LLC | |||||||
Series 2018-A2-2A, 3.27%, 10/12/21 (b) | 190,000 | 190,668 | |||||
Ascentium Equipment Receivables Trust | |||||||
Series 2017-A2-2A, 2.00%, 05/11/20 (b) | 27,302 | 27,178 | |||||
Series 2018-A2-1A, 2.92%, 12/10/20 (b) | 73,000 | 72,946 | |||||
Series 2017-A3-2A, 2.31%, 12/10/21 (b) | 64,000 | 63,163 | |||||
Banc of America Re-REMIC Trust | |||||||
Series 2015-B-200P, REMIC, 3.49%, 04/16/25 (b) | 375,000 | 370,158 | |||||
Bank of The West Auto Trust | |||||||
Series 2018-A3-1, 3.43%, 12/15/22 (b) | 148,000 | 148,970 | |||||
BCC Funding XIV LLC | |||||||
Series 2018-A2-1A, 2.96%, 06/20/23 (b) | 98,156 | 97,888 | |||||
BMW Floorplan Master Owner Trust | |||||||
Series 2018-A1-1, 3.15%, 05/17/21 (b) | 100,000 | 99,764 | |||||
California Republic Auto Receivables Trust | |||||||
Series 2017-A3-1, 1.90%, 09/16/19 | 122,603 | 122,233 | |||||
CCG Receivables Trust | |||||||
Series 2018-A2-1, 2.50%, 02/14/21 (b) | 104,775 | 104,137 | |||||
CIG Auto Receivables Trust | |||||||
Series 2017-A-1A, 2.71%, 05/15/23 (b) | 44,545 | 44,287 | |||||
Citibank Credit Card Issuance Trust | |||||||
Series 2017-A9-A9, 1.80%, 09/20/19 | 600,000 | 595,230 | |||||
Continental Airlines Inc. Pass-Through Trust | |||||||
Series 2012-A-1, 4.15%, 04/11/24 | 134,191 | 134,392 | |||||
CSMC Trust | |||||||
Series 2017-A3-HL2, 3.50%, 10/25/47 (a) (b) | 103,405 | 101,216 | |||||
Dell Equipment Finance Trust | |||||||
Series 2018-A2-2, 3.16%, 08/24/20 (b) | 100,000 | 100,138 | |||||
Series 2018-A2A-1, 2.97%, 10/22/20 (b) | 105,000 | 104,981 | |||||
Series 2017-A3-2, 2.19%, 10/24/22 (b) | 100,000 | 99,330 | |||||
DLL LLC | |||||||
Series 2018-A3-ST2, 3.46%, 01/20/22 (b) | 124,000 | 124,762 | |||||
Series 2018-A4-ST2, 3.59%, 06/20/24 (b) | 144,000 | 145,868 | |||||
Engs Commercial Finance Trust | |||||||
Series 2018-A1-1A, 2.97%, 02/22/21 (b) | 61,240 | 61,131 | |||||
First Investors Auto Owner Trust | |||||||
Series 2018-A1-2A, 3.23%, 11/16/20 (b) | 73,433 | 73,590 | |||||
Foundation Finance Trust | |||||||
Series 2017-A-1A, 3.30%, 08/15/22 (b) | 64,419 | 64,028 | |||||
GLS Auto Receivables Trust | |||||||
Series 2018-A-3A, 3.35%, 08/15/22 (b) | 76,464 | 76,483 | |||||
GM Financial Automobile Leasing Trust | |||||||
Series 2017-A3-1, 2.06%, 05/20/20 | 216,443 | 215,709 | |||||
GM Financial Consumer Automobile Receivables Trust | |||||||
Series 2018-A2-4, 2.93%, 06/16/20 | 103,000 | 102,895 | |||||
Series 2017-A3-1A, 1.78%, 10/18/21 (b) | 250,000 | 247,761 | |||||
Series 2018-B-4, 3.45%, 09/16/22 | 41,000 | 41,640 | |||||
GreatAmerica Leasing Receivables Funding LLC | |||||||
Series 2017-A3-1, 2.06%, 06/22/20 (b) | 82,776 | 82,436 | |||||
Series 2018-A3-1, 2.60%, 06/15/21 (b) | 100,000 | 99,514 | |||||
GS Mortgage Securities Trust | |||||||
Series 2017-C-SLP, REMIC, 3.92%, 10/12/22 (b) | 100,000 | 100,130 | |||||
Houston Galleria Mall Trust | |||||||
Series 2015-A1A2-HGLR, REMIC, 3.09%, 03/06/25 (b) | 100,000 | 96,185 | |||||
JPMorgan Mortgage Trust | |||||||
Series 2018-1A4-6, 3.50%, 12/25/48 (a) (b) | 52,212 | 51,488 | |||||
Series 2018-A5-1, REMIC, 3.50%, 04/25/25 (b) | 88,918 | 87,745 | |||||
Series 2017-A6-6, REMIC, 3.00%, 01/25/48 (a) (b) | 110,324 | 109,076 | |||||
Kubota Credit Owner Trust | |||||||
Series 2016-A3-1A, 1.50%, 07/15/20 (b) | 141,072 | 140,252 | |||||
Series 2018-A2-1A, 2.80%, 02/16/21 (b) | 101,000 | 100,833 | |||||
Marlin Leasing Receivables LLC | |||||||
Series 2018-A2-1A, 3.05%, 10/20/20 (b) | 42,000 | 41,981 | |||||
Series 2018-A3-1A, 3.36%, 04/20/23 (b) | 81,000 | 81,049 | |||||
Shares/Par1 | Value ($) | ||||||
MVW Owner Trust | |||||||
Series 2013-A-1A, 2.15%, 04/22/30 (b) | 78,327 | 77,446 | |||||
PSMC Trust | |||||||
Series 2018-A3-2, REMIC, 3.50%, 06/25/48 (b) | 115,702 | 114,233 | |||||
Santander Retail Auto Lease Trust | |||||||
Series 2018-A2A-A, REMIC, 2.71%, 01/20/20 (b) | 92,496 | 92,321 | |||||
United Airlines Inc. Pass-Through Trust | |||||||
Series 2018-B-1, 4.60%, 03/01/26 | 28,000 | 27,678 | |||||
Series 2018-A-1, 3.70%, 03/01/30 | 150,000 | 143,685 | |||||
United Auto Credit Securitization Trust | |||||||
Series 2018-A-2, 2.89%, 03/10/21 (b) | 54,389 | 54,327 | |||||
Verizon Owner Trust | |||||||
Series 2017-A1A-3A, 2.06%, 04/20/22 (b) | 512,000 | 505,956 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
Series 2017-B-C38, 3.92%, 07/15/50 (a) | 58,000 | 56,153 | |||||
Westlake Automobile Receivables Trust | |||||||
Series 2018-A2A-2A, 2.84%, 09/15/21 (b) | 77,524 | 77,405 | |||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $6,267,073) | 6,271,834 | ||||||
CORPORATE BONDS AND NOTES 74.5% | |||||||
Communication Services 5.1% | |||||||
21st Century Fox America Inc. | |||||||
6.55%, 03/15/33 | 38,000 | 47,972 | |||||
6.90%, 08/15/39 | 36,000 | 46,963 | |||||
Altice Luxembourg SA | |||||||
8.13%, 02/01/27 (b) | 200,000 | 188,500 | |||||
AMC Entertainment Holdings Inc. | |||||||
6.13%, 05/15/27 | 68,000 | 58,197 | |||||
AT&T Inc. | |||||||
5.25%, 03/01/37 | 145,000 | 142,431 | |||||
4.35%, 06/15/45 | 59,000 | 50,098 | |||||
4.75%, 05/15/46 | 127,000 | 112,826 | |||||
CCO Holdings LLC | |||||||
5.50%, 05/01/26 (b) | 36,000 | 34,650 | |||||
5.13%, 05/01/27 (b) | 61,000 | 56,781 | |||||
5.88%, 05/01/27 (b) | 33,000 | 32,114 | |||||
Charter Communications Operating LLC | |||||||
6.48%, 10/23/45 | 59,000 | 60,115 | |||||
5.38%, 04/01/38 - 05/01/47 | 212,000 | 194,377 | |||||
Cincinnati Bell Inc. | |||||||
7.00%, 07/15/24 (b) | 100,000 | 82,908 | |||||
Comcast Corp. | |||||||
4.15%, 10/15/28 | 108,000 | 109,734 | |||||
4.60%, 10/15/38 | 143,000 | 144,554 | |||||
4.00%, 08/15/47 | 100,000 | 91,018 | |||||
4.05%, 11/01/52 | 50,000 | 44,895 | |||||
4.95%, 10/15/58 | 170,000 | 173,790 | |||||
DISH DBS Corp. | |||||||
7.75%, 07/01/26 | 41,000 | 33,919 | |||||
iHeartCommunications Inc. | |||||||
0.00%, 03/01/21 (c) (d) | 65,000 | 43,498 | |||||
Netflix Inc. | |||||||
5.88%, 11/15/28 (b) | 165,000 | 160,588 | |||||
6.38%, 05/15/29 (b) | 101,000 | 100,226 | |||||
Sirius XM Radio Inc. | |||||||
5.38%, 07/15/26 (b) | 75,000 | 70,852 | |||||
5.00%, 08/01/27 (b) | 95,000 | 86,769 | |||||
Sprint Capital Corp. | |||||||
6.88%, 11/15/28 | 105,000 | 99,261 | |||||
Time Warner Cable Inc. | |||||||
6.75%, 06/15/39 | 40,000 | 40,648 | |||||
Time Warner Entertainment Co. LP | |||||||
8.38%, 03/15/23 | 55,000 | 62,757 | |||||
Vodafone Group Plc | |||||||
4.38%, 05/30/28 | 88,000 | 85,535 | |||||
Walt Disney Co. | |||||||
3.00%, 07/30/46 | 32,000 | 26,349 | |||||
Zayo Group LLC | |||||||
5.75%, 01/15/27 (b) | 30,000 | 26,699 | |||||
2,509,024 | |||||||
Consumer Discretionary 5.2% | |||||||
21st Century Fox America Inc. | |||||||
4.75%, 09/15/44 | 29,000 | 31,253 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
18
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Amazon.com Inc. | |||||||
3.88%, 08/22/37 | 90,000 | 87,792 | |||||
4.25%, 08/22/57 | 130,000 | 128,323 | |||||
Beazer Homes USA Inc. | |||||||
5.88%, 10/15/27 | 35,000 | 27,650 | |||||
Delphi Jersey Holdings Plc | |||||||
5.00%, 10/01/25 (b) | 60,000 | 50,402 | |||||
Delta Merger Sub Inc. | |||||||
6.00%, 09/15/26 (b) | 53,000 | 50,083 | |||||
Dollar General Corp. | |||||||
3.25%, 04/15/23 | 112,000 | 109,490 | |||||
Ford Motor Co. | |||||||
7.45%, 07/16/31 | 40,000 | 41,148 | |||||
5.29%, 12/08/46 | 53,000 | 43,548 | |||||
GLP Capital LP | |||||||
5.38%, 04/15/26 | 203,000 | 200,891 | |||||
5.75%, 06/01/28 | 39,000 | 39,372 | |||||
Golden Nugget Inc. | |||||||
6.75%, 10/15/24 (b) | 70,000 | 65,963 | |||||
8.75%, 10/01/25 (b) | 59,000 | 56,633 | |||||
Hilton Domestic Operating Co. Inc. | |||||||
4.25%, 09/01/24 | 54,000 | 51,093 | |||||
Hilton Worldwide Finance LLC | |||||||
4.63%, 04/01/25 | 5,000 | 4,778 | |||||
Home Depot Inc. | |||||||
2.13%, 09/15/26 | 81,000 | 73,032 | |||||
3.90%, 12/06/28 | 41,000 | 42,021 | |||||
4.50%, 12/06/48 | 49,000 | 50,671 | |||||
KB Home | |||||||
7.63%, 05/15/23 | 65,000 | 65,962 | |||||
KFC Holding Co. | |||||||
4.75%, 06/01/27 (b) | 135,000 | 125,682 | |||||
Lennar Corp. | |||||||
4.75%, 11/29/27 | 20,000 | 18,158 | |||||
Lowe`s Cos. Inc. | |||||||
4.05%, 05/03/47 | 99,000 | 85,221 | |||||
Marriott International Inc. | |||||||
6.50%, 09/15/26 (b) | 67,000 | 64,607 | |||||
Mohegan Tribal Gaming Authority | |||||||
7.88%, 10/15/24 (b) (e) | 89,000 | 82,817 | |||||
Nemak SAB de CV | |||||||
4.75%, 01/23/25 (b) | 200,000 | 186,689 | |||||
Royal Caribbean Cruises Ltd. | |||||||
5.25%, 11/15/22 | 30,000 | 31,402 | |||||
Sands China Ltd. | |||||||
5.13%, 08/08/25 (b) (f) | 200,000 | 197,954 | |||||
5.40%, 08/08/28 (b) (f) | 200,000 | 193,080 | |||||
Schaeffler Verwaltung Zwei GmbH | |||||||
5.25%, 09/15/23 (b) (g) | 57,000 | 51,844 | |||||
5.50%, 09/15/26 (b) (g) | 131,000 | 114,280 | |||||
Time Warner Inc. | |||||||
7.63%, 04/15/31 | 59,000 | 73,487 | |||||
VOC Escrow Ltd. | |||||||
5.00%, 02/15/28 (b) | 125,000 | 115,968 | |||||
2,561,294 | |||||||
Consumer Staples 4.3% | |||||||
Anheuser-Busch InBev Worldwide Inc. | |||||||
4.70%, 02/01/36 (b) | 53,000 | 49,320 | |||||
4.90%, 02/01/46 (b) | 371,000 | 343,429 | |||||
BAT Capital Corp. | |||||||
3.56%, 08/15/27 | 341,000 | 302,794 | |||||
4.39%, 08/15/37 | 158,000 | 129,558 | |||||
4.54%, 08/15/47 | 158,000 | 126,165 | |||||
Constellation Brands Inc. | |||||||
4.25%, 05/01/23 | 70,000 | 70,591 | |||||
Dr. Pepper Snapple Group Inc. | |||||||
2.55%, 09/15/26 | 50,000 | 43,096 | |||||
General Mills Inc. | |||||||
4.20%, 04/17/28 | 115,000 | 112,389 | |||||
4.70%, 04/17/48 (e) | 37,000 | 33,883 | |||||
JBS Investments GmbH | |||||||
7.25%, 04/03/24 (b) | 171,000 | 173,480 | |||||
Kraft Heinz Foods Co. | |||||||
4.38%, 06/01/46 | 155,000 | 128,982 | |||||
Shares/Par1 | Value ($) | ||||||
Kroger Co. | |||||||
4.65%, 01/15/48 | 24,000 | 21,653 | |||||
Maple Escrow Subsidiary Inc. | |||||||
4.99%, 05/25/38 (b) | 30,000 | 29,087 | |||||
Matterhorn Merger Sub LLC | |||||||
8.50%, 06/01/26 (b) | 125,000 | 99,553 | |||||
Philip Morris International Inc. | |||||||
4.25%, 11/10/44 | 75,000 | 68,346 | |||||
Pilgrim's Pride Corp. | |||||||
5.75%, 03/15/25 (b) | 32,000 | 30,089 | |||||
5.88%, 09/30/27 (b) | 74,000 | 67,466 | |||||
Reynolds American Inc. | |||||||
4.45%, 06/12/25 | 49,000 | 47,330 | |||||
5.70%, 08/15/35 | 86,000 | 84,738 | |||||
Tyson Foods Inc. | |||||||
4.55%, 06/02/47 | 12,000 | 10,524 | |||||
5.10%, 09/28/48 | 57,000 | 54,683 | |||||
Wm. Wrigley Jr. Co. | |||||||
3.38%, 10/21/20 (b) | 86,000 | 86,210 | |||||
2,113,366 | |||||||
Energy 7.3% | |||||||
Alta Mesa Holdings LP | |||||||
7.88%, 12/15/24 (e) | 107,000 | 67,875 | |||||
Anadarko Petroleum Corp. | |||||||
7.95%, 06/15/39 | 51,000 | 60,141 | |||||
Andeavor Logistics LP | |||||||
4.25%, 12/01/27 | 61,000 | 57,542 | |||||
5.20%, 12/01/47 | 66,000 | 59,447 | |||||
Callon Petroleum Co. | |||||||
6.38%, 07/01/26 | 125,000 | 116,392 | |||||
Canadian Natural Resources Ltd. | |||||||
3.85%, 06/01/27 | 55,000 | 52,003 | |||||
Cenovus Energy Inc. | |||||||
4.45%, 09/15/42 | 59,000 | 45,369 | |||||
Chaparral Energy Inc. | |||||||
8.75%, 07/15/23 (b) | 42,000 | 30,045 | |||||
Cheniere Corpus Christi Holdings LLC | |||||||
5.88%, 03/31/25 | 40,000 | 39,862 | |||||
5.13%, 06/30/27 | 140,000 | 131,984 | |||||
Concho Resources Inc. | |||||||
4.88%, 10/01/47 | 51,000 | 48,518 | |||||
Continental Resources Inc. | |||||||
4.38%, 01/15/28 | 81,000 | 76,531 | |||||
Diamondback Energy Inc. | |||||||
4.75%, 11/01/24 (b) | 123,000 | 118,731 | |||||
Endeavor Energy Resources LP | |||||||
5.50%, 01/30/26 (b) | 9,000 | 9,135 | |||||
5.75%, 01/30/28 (b) | 9,000 | 9,180 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 139,000 | 134,003 | |||||
5.50%, 06/01/27 | 99,000 | 96,708 | |||||
5.80%, 06/15/38 | 51,000 | 49,333 | |||||
5.15%, 03/15/45 | 40,000 | 34,764 | |||||
Enterprise Products Operating LLC | |||||||
4.15%, 10/16/28 | 85,000 | 84,754 | |||||
6.13%, 10/15/39 | 86,000 | 95,601 | |||||
4.80%, 02/01/49 | 84,000 | 81,418 | |||||
EP Energy LLC | |||||||
8.00%, 02/15/25 (b) | 142,000 | 58,634 | |||||
Floatel International AB | |||||||
9.00%, 04/11/24 (b) | 100,000 | 93,620 | |||||
Halliburton Co. | |||||||
3.80%, 11/15/25 | 60,000 | 58,181 | |||||
4.85%, 11/15/35 | 59,000 | 58,193 | |||||
HollyFrontier Corp. | |||||||
5.88%, 04/01/26 | 110,000 | 111,292 | |||||
Kinder Morgan Energy Partners LP | |||||||
7.75%, 03/15/32 | 87,000 | 104,557 | |||||
Kinder Morgan Inc. | |||||||
4.30%, 03/01/28 | 90,000 | 88,181 | |||||
5.20%, 03/01/48 | 50,000 | 47,822 | |||||
Marathon Oil Corp. | |||||||
4.40%, 07/15/27 | 90,000 | 85,767 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
19
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Marathon Petroleum Corp. | |||||||
3.80%, 04/01/28 (b) | 30,000 | 28,247 | |||||
4.50%, 04/01/48 (b) | 35,000 | 29,386 | |||||
MPLX LP | |||||||
4.00%, 03/15/28 | 68,000 | 63,931 | |||||
4.50%, 04/15/38 | 40,000 | 35,178 | |||||
5.20%, 03/01/47 | 60,000 | 55,817 | |||||
4.70%, 04/15/48 | 25,000 | 21,706 | |||||
5.50%, 02/15/49 | 55,000 | 53,315 | |||||
Nabors Industries Inc. | |||||||
5.50%, 01/15/23 (e) | 25,000 | 19,806 | |||||
5.75%, 02/01/25 | 50,000 | 37,734 | |||||
Oasis Petroleum Inc. | |||||||
6.25%, 05/01/26 (b) (e) | 101,000 | 85,032 | |||||
PDC Energy Inc. | |||||||
5.75%, 05/15/26 | 112,000 | 99,266 | |||||
Petroleos Mexicanos | |||||||
6.50%, 01/23/29 | 68,000 | 63,410 | |||||
6.75%, 09/21/47 | 200,000 | 165,378 | |||||
Sabine Pass Liquefaction LLC | |||||||
5.75%, 05/15/24 | 165,000 | 172,974 | |||||
5.00%, 03/15/27 | 89,000 | 89,670 | |||||
4.20%, 03/15/28 | 159,000 | 151,671 | |||||
SM Energy Co. | |||||||
6.63%, 01/15/27 | 37,000 | 32,745 | |||||
Sunoco Logistics Partners Operations LP | |||||||
4.95%, 01/15/43 | 22,000 | 18,689 | |||||
Transocean Guardian Ltd. | |||||||
5.88%, 01/15/24 (b) | 23,000 | 22,071 | |||||
Transocean Pontus Ltd. | |||||||
6.13%, 08/01/25 (b) | 15,000 | 14,454 | |||||
Transocean Proteus Ltd. | |||||||
6.25%, 12/01/24 (b) | 96,800 | 93,571 | |||||
USA Compression Partners LP | |||||||
6.88%, 04/01/26 (b) | 38,000 | 36,465 | |||||
3,596,099 | |||||||
Financials 26.3% | |||||||
ABN AMRO Bank NV | |||||||
2.65%, 01/19/21 (b) | 250,000 | 246,146 | |||||
AerCap Ireland Capital Ltd. | |||||||
3.65%, 07/21/27 | 78,000 | 67,591 | |||||
3.88%, 01/23/28 | 35,000 | 30,672 | |||||
American International Group Inc. | |||||||
4.20%, 04/01/28 | 52,000 | 50,552 | |||||
4.50%, 07/16/44 | 24,000 | 21,371 | |||||
4.80%, 07/10/45 | 158,000 | 146,998 | |||||
4.75%, 04/01/48 | 68,000 | 62,263 | |||||
Ardagh Packaging Finance Plc | |||||||
6.00%, 02/15/25 (b) | 200,000 | 184,799 | |||||
Bank of America Corp. | |||||||
2.50%, 10/21/22 | 112,000 | 107,499 | |||||
4.13%, 01/22/24 | 52,000 | 52,584 | |||||
3.55%, 03/05/24 | 158,000 | 155,996 | |||||
4.00%, 04/01/24 - 01/22/25 | 149,000 | 148,906 | |||||
3.95%, 04/21/25 | 276,000 | 267,662 | |||||
3.37%, 01/23/26 | 75,000 | 72,472 | |||||
4.45%, 03/03/26 | 24,000 | 23,742 | |||||
4.25%, 10/22/26 | 13,000 | 12,661 | |||||
4.18%, 11/25/27 | 79,000 | 75,854 | |||||
3.42%, 12/20/28 | 80,000 | 74,958 | |||||
Barclays Plc | |||||||
4.97%, 05/16/29 (a) (h) | 200,000 | 193,042 | |||||
4.95%, 01/10/47 | 195,000 | 173,236 | |||||
Bayer US Finance II LLC | |||||||
4.25%, 12/15/25 (b) | 133,000 | 129,857 | |||||
4.38%, 12/15/28 (b) | 127,000 | 121,567 | |||||
Berkshire Hathaway Finance Corp. | |||||||
4.20%, 08/15/48 | 125,000 | 124,248 | |||||
Blackstone Holdings Finance Co. LLC | |||||||
4.00%, 10/02/47 (b) | 44,000 | 38,187 | |||||
BNP Paribas SA | |||||||
3.38%, 01/09/25 (b) | 200,000 | 187,965 | |||||
Boral Finance Pty Ltd. | |||||||
3.75%, 05/01/28 (b) | 146,000 | 135,518 | |||||
Shares/Par1 | Value ($) | ||||||
Capital One Financial Corp. | |||||||
3.30%, 10/30/24 | 120,000 | 113,334 | |||||
3.75%, 03/09/27 | 102,000 | 94,955 | |||||
3.80%, 01/31/28 | 73,000 | 67,377 | |||||
CIT Group Inc. | |||||||
4.75%, 02/16/24 | 149,000 | 143,417 | |||||
5.25%, 03/07/25 | 16,000 | 15,691 | |||||
6.13%, 03/09/28 | 17,000 | 16,929 | |||||
Citigroup Inc. | |||||||
3.14%, 01/24/23 | 153,000 | 150,423 | |||||
3.20%, 10/21/26 | 123,000 | 113,575 | |||||
4.45%, 09/29/27 | 138,000 | 133,046 | |||||
3.89%, 01/10/28 (a) | 225,000 | 216,456 | |||||
3.67%, 07/24/28 (a) | 342,000 | 323,385 | |||||
4.13%, 07/25/28 | 26,000 | 24,388 | |||||
Credit Suisse Group AG | |||||||
6.25%, (callable at 100 beginning 12/18/24) (b) (i) | 69,000 | 65,119 | |||||
4.21%, 06/12/24 (b) | 250,000 | 248,089 | |||||
3.87%, 01/12/29 (b) | 250,000 | 232,684 | |||||
Dell EMC | |||||||
5.88%, 06/15/21 (b) | 41,000 | 41,039 | |||||
7.13%, 06/15/24 (b) | 38,000 | 38,671 | |||||
8.35%, 07/15/46 (b) | 135,000 | 146,237 | |||||
Enel Finance International NV | |||||||
4.88%, 06/14/29 (b) | 250,000 | 237,818 | |||||
ERAC USA Finance LLC | |||||||
4.50%, 02/15/45 (b) | 27,000 | 25,090 | |||||
Five Corners Funding Trust | |||||||
4.42%, 11/15/23 (b) | 212,000 | 218,185 | |||||
GE Capital International Funding Co. | |||||||
4.42%, 11/15/35 | 174,000 | 146,285 | |||||
General Motors Financial Co. Inc. | |||||||
4.30%, 07/13/25 | 46,000 | 43,455 | |||||
4.00%, 10/06/26 | 84,000 | 76,313 | |||||
GLP Capital LP | |||||||
5.30%, 01/15/29 | 87,000 | 85,410 | |||||
Goldman Sachs Group Inc. | |||||||
2.35%, 11/15/21 | 29,000 | 27,962 | |||||
3.00%, 04/26/22 | 59,000 | 57,254 | |||||
2.91%, 06/05/23 - 07/24/23 | 171,000 | 163,172 | |||||
4.00%, 03/03/24 | 119,000 | 117,232 | |||||
3.50%, 01/23/25 - 11/16/26 | 176,000 | 166,421 | |||||
3.75%, 05/22/25 | 179,000 | 171,252 | |||||
4.25%, 10/21/25 | 34,000 | 32,572 | |||||
3.85%, 01/26/27 | 102,000 | 95,999 | |||||
3.69%, 06/05/28 (a) | 9,000 | 8,369 | |||||
3.81%, 04/23/29 | 70,000 | 65,150 | |||||
4.22%, 05/01/29 | 301,000 | 290,635 | |||||
5.15%, 05/22/45 | 16,000 | 14,878 | |||||
Icahn Enterprises LP | |||||||
6.38%, 12/15/25 | 132,000 | 127,790 | |||||
Intercontinental Exchange Inc. | |||||||
4.25%, 09/21/48 | 66,000 | 64,864 | |||||
Intesa Sanpaolo SpA | |||||||
3.88%, 01/12/28 (b) | 100,000 | 84,964 | |||||
James Hardie International Finance DAC | |||||||
5.00%, 01/15/28 (b) | 17,000 | 14,672 | |||||
JPMorgan Chase & Co. | |||||||
5.30%, (callable at 100 beginning 05/01/20) (i) | 79,000 | 78,259 | |||||
4.25%, 10/15/20 | 66,000 | 67,162 | |||||
2.97%, 01/15/23 | 218,000 | 212,339 | |||||
4.02%, 12/05/24 | 162,000 | 163,211 | |||||
2.95%, 10/01/26 | 219,000 | 201,934 | |||||
3.78%, 02/01/28 (a) | 185,000 | 179,287 | |||||
4.01%, 04/23/29 | 125,000 | 122,809 | |||||
4.20%, 07/23/29 | 169,000 | 168,571 | |||||
4.45%, 12/05/29 | 66,000 | 67,054 | |||||
3.96%, 11/15/48 | 100,000 | 89,127 | |||||
JPMorgan Chase Bank NA | |||||||
3.22%, 03/01/25 | 237,000 | 228,108 | |||||
LafargeHolcim Finance US LLC | |||||||
4.75%, 09/22/46 (b) | 200,000 | 174,607 | |||||
Liberty Mutual Group Inc. | |||||||
4.25%, 06/15/23 (b) | 51,000 | 51,384 | |||||
4.85%, 08/01/44 (b) | 125,000 | 121,851 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
20
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Lincoln National Corp. | |||||||
3.80%, 03/01/28 | 42,000 | 40,608 | |||||
4.35%, 03/01/48 | 70,000 | 64,697 | |||||
Lloyds Banking Group Plc | |||||||
7.50%, (callable at 100 beginning 09/27/25) (i) | 200,000 | 192,520 | |||||
4.45%, 05/08/25 (h) | 200,000 | 197,779 | |||||
3.57%, 11/07/28 | 200,000 | 178,358 | |||||
Markel Corp. | |||||||
4.30%, 11/01/47 | 250,000 | 218,208 | |||||
MetLife Inc. | |||||||
4.37%, 09/15/23 | 45,000 | 46,685 | |||||
Mitsubishi UFJ Financial Group Inc. | |||||||
3.46%, 03/02/23 | 250,000 | 248,504 | |||||
Morgan Stanley | |||||||
3.88%, 04/29/24 | 101,000 | 100,525 | |||||
3.70%, 10/23/24 | 98,000 | 96,322 | |||||
3.13%, 07/27/26 | 103,000 | 95,054 | |||||
4.35%, 09/08/26 | 181,000 | 176,026 | |||||
3.63%, 01/20/27 | 196,000 | 186,383 | |||||
3.59%, 07/22/28 (a) | 50,000 | 47,250 | |||||
4.38%, 01/22/47 | 50,000 | 47,728 | |||||
Nationwide Building Society | |||||||
4.36%, 08/01/24 (b) | 200,000 | 196,135 | |||||
Navient Corp. | |||||||
6.75%, 06/15/26 | 41,000 | 34,033 | |||||
Reckitt Benckiser Treasury Services Plc | |||||||
2.75%, 06/26/24 (b) | 223,000 | 210,302 | |||||
Royal Bank of Canada | |||||||
3.70%, 10/05/23 | 125,000 | 125,652 | |||||
Santander UK Group Holdings Plc | |||||||
4.80%, 11/15/24 | 200,000 | 198,368 | |||||
SLM Corp. | |||||||
5.50%, 01/25/23 | 54,000 | 47,342 | |||||
Sumitomo Mitsui Financial Group Inc. | |||||||
2.85%, 01/11/22 | 250,000 | 245,214 | |||||
Volkswagen Group of America Finance LLC | |||||||
4.75%, 11/13/28 (b) | 250,000 | 243,218 | |||||
Wells Fargo & Co. | |||||||
4.10%, 06/03/26 | 64,000 | 62,313 | |||||
4.40%, 06/14/46 | 23,000 | 21,252 | |||||
Wells Fargo Bank NA | |||||||
5.85%, 02/01/37 | 75,000 | 84,472 | |||||
Westpac Banking Corp. | |||||||
2.75%, 01/11/23 | 125,000 | 121,242 | |||||
12,878,796 | |||||||
Health Care 6.2% | |||||||
Abbott Laboratories | |||||||
3.75%, 11/30/26 | 95,000 | 94,085 | |||||
4.75%, 11/30/36 | 33,000 | 34,415 | |||||
AbbVie Inc. | |||||||
4.50%, 05/14/35 | 91,000 | 85,037 | |||||
4.88%, 11/14/48 | 92,000 | 85,848 | |||||
Actavis Funding SCS | |||||||
4.85%, 06/15/44 | 29,000 | 27,393 | |||||
Becton Dickinson & Co. | |||||||
3.73%, 12/15/24 | 78,000 | 75,360 | |||||
3.70%, 06/06/27 | 216,000 | 204,159 | |||||
Catalent Pharma Solutions Inc. | |||||||
4.88%, 01/15/26 (b) | 21,000 | 19,753 | |||||
Celgene Corp. | |||||||
4.63%, 05/15/44 | 64,000 | 56,429 | |||||
4.35%, 11/15/47 | 77,000 | 64,445 | |||||
Centene Corp. | |||||||
4.75%, 01/15/25 | 99,000 | 94,654 | |||||
Centene Escrow I Corp. | |||||||
5.38%, 06/01/26 (b) | 148,000 | 144,544 | |||||
CVS Health Corp. | |||||||
2.88%, 06/01/26 | 47,000 | 42,609 | |||||
4.30%, 03/25/28 | 80,000 | 78,318 | |||||
4.78%, 03/25/38 | 146,000 | 140,653 | |||||
5.05%, 03/25/48 | 222,000 | 216,832 | |||||
Express Scripts Holding Co. | |||||||
3.40%, 03/01/27 | 58,000 | 53,820 | |||||
Shares/Par1 | Value ($) | ||||||
Forest Laboratories Inc. | |||||||
5.00%, 12/15/21 (b) | 118,000 | 121,410 | |||||
Gilead Sciences Inc. | |||||||
3.65%, 03/01/26 | 38,000 | 37,265 | |||||
4.15%, 03/01/47 | 83,000 | 76,895 | |||||
Halfmoon Parent Inc. | |||||||
4.80%, 08/15/38 (b) | 60,000 | 59,452 | |||||
4.90%, 12/15/48 (b) | 116,000 | 113,551 | |||||
HCA Inc. | |||||||
5.00%, 03/15/24 | 7,000 | 6,941 | |||||
5.25%, 06/15/26 | 71,000 | 70,323 | |||||
5.50%, 06/15/47 | 63,000 | 59,881 | |||||
Humana Inc. | |||||||
4.63%, 12/01/42 | 40,000 | 39,727 | |||||
Lifepoint Health Inc. | |||||||
9.75%, 12/01/26 (b) | 125,000 | 119,060 | |||||
Mednax Inc. | |||||||
6.25%, 01/15/27 (b) | 40,000 | 38,600 | |||||
Mylan Inc. | |||||||
5.20%, 04/15/48 (b) | 141,000 | 115,045 | |||||
Tenet Healthcare Corp. | |||||||
8.13%, 04/01/22 | 11,000 | 11,015 | |||||
6.75%, 06/15/23 (e) | 16,000 | 15,020 | |||||
4.63%, 07/15/24 | 39,000 | 36,328 | |||||
Thermo Fisher Scientific Inc. | |||||||
3.20%, 08/15/27 | 33,000 | 30,710 | |||||
UnitedHealth Group Inc. | |||||||
3.88%, 12/15/28 | 57,000 | 57,667 | |||||
4.45%, 12/15/48 | 51,000 | 52,294 | |||||
Valeant Pharmaceuticals International Inc. | |||||||
6.50%, 03/15/22 (b) | 10,000 | 10,056 | |||||
5.88%, 05/15/23 (b) | 14,000 | 12,915 | |||||
7.00%, 03/15/24 (b) | 25,000 | 25,323 | |||||
6.13%, 04/15/25 (b) | 102,000 | 88,656 | |||||
5.50%, 03/01/23 - 11/01/25 (b) | 146,000 | 136,031 | |||||
8.50%, 01/31/27 (b) | 23,000 | 22,284 | |||||
WellCare Health Plans Inc. | |||||||
5.25%, 04/01/25 | 96,000 | 92,426 | |||||
5.38%, 08/15/26 (b) | 46,000 | 44,492 | |||||
Zimmer Biomet Holdings Inc. | |||||||
3.55%, 04/01/25 | 39,000 | 37,286 | |||||
3,049,007 | |||||||
Industrials 5.3% | |||||||
ACCO Brands Corp. | |||||||
5.25%, 12/15/24 (b) | 6,000 | 5,380 | |||||
Aircastle Ltd. | |||||||
4.40%, 09/25/23 | 41,000 | 40,181 | |||||
4.13%, 05/01/24 | 107,000 | 100,315 | |||||
Ashtead Capital Inc. | |||||||
4.13%, 08/15/25 (b) | 56,000 | 51,325 | |||||
5.25%, 08/01/26 (b) | 132,000 | 127,462 | |||||
4.38%, 08/15/27 (b) | 26,000 | 23,419 | |||||
Aviation Capital Group LLC | |||||||
4.38%, 01/30/24 (b) | 104,000 | 103,401 | |||||
Avolon Holdings Funding Ltd. | |||||||
5.13%, 10/01/23 (b) | 100,000 | 96,044 | |||||
Burlington Northern Santa Fe LLC | |||||||
4.05%, 06/15/48 | 63,000 | 60,567 | |||||
CNH Industrial NV | |||||||
4.50%, 08/15/23 | 115,000 | 115,774 | |||||
CSX Corp. | |||||||
4.75%, 11/15/48 | 31,000 | 31,401 | |||||
General Electric Co. | |||||||
5.00%, (callable at 100 beginning 01/21/21) (i) (j) | 218,000 | 167,860 | |||||
4.50%, 03/11/44 | 50,000 | 40,838 | |||||
General Motors Co. | |||||||
5.00%, 10/01/28 | 195,000 | 185,081 | |||||
International Lease Finance Corp. | |||||||
8.25%, 12/15/20 | 45,000 | 48,286 | |||||
Johnson Controls International Plc | |||||||
5.13%, 09/14/45 | 60,000 | 59,645 | |||||
Lockheed Martin Corp. | |||||||
3.55%, 01/15/26 | 117,000 | 116,100 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
21
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Owens Corning Inc. | |||||||
4.40%, 01/30/48 | 150,000 | 113,262 | |||||
Park Aerospace Holdings Ltd. | |||||||
4.50%, 03/15/23 (b) | 136,000 | 127,553 | |||||
5.50%, 02/15/24 (b) (e) | 24,000 | 23,202 | |||||
Siemens Financieringsmaatschappij NV | |||||||
2.35%, 10/15/26 (b) | 198,000 | 181,031 | |||||
Standard Industries Inc. | |||||||
5.00%, 02/15/27 (b) | 150,000 | 132,083 | |||||
4.75%, 01/15/28 (b) | 63,000 | 52,576 | |||||
Union Pacific Corp. | |||||||
4.05%, 03/01/46 | 84,000 | 77,278 | |||||
4.50%, 09/10/48 | 125,000 | 123,940 | |||||
United Rentals North America Inc. | |||||||
6.50%, 12/15/26 (e) | 53,000 | 52,205 | |||||
4.88%, 01/15/28 | 48,000 | 42,138 | |||||
United Technologies Corp. | |||||||
2.65%, 11/01/26 | 51,000 | 45,908 | |||||
Verisk Analytics Inc. | |||||||
4.00%, 06/15/25 | 98,000 | 98,323 | |||||
5.50%, 06/15/45 | 125,000 | 126,563 | |||||
2,569,141 | |||||||
Information Technology 2.8% | |||||||
Broadcom Corp. | |||||||
3.88%, 01/15/27 | 258,000 | 231,559 | |||||
3.50%, 01/15/28 | 74,000 | 63,798 | |||||
Fidelity National Information Services Inc. | |||||||
3.00%, 08/15/26 | 71,000 | 65,343 | |||||
4.75%, 05/15/48 | 72,000 | 68,107 | |||||
Fiserv Inc. | |||||||
4.20%, 10/01/28 (f) | 80,000 | 79,912 | |||||
Microsoft Corp. | |||||||
3.70%, 08/08/46 | 79,000 | 75,972 | |||||
NXP BV | |||||||
4.63%, 06/01/23 (b) | 147,000 | 145,561 | |||||
5.35%, 03/01/26 (b) | 99,000 | 100,079 | |||||
Oracle Corp. | |||||||
2.65%, 07/15/26 | 120,000 | 111,655 | |||||
3.85%, 07/15/36 | 59,000 | 55,823 | |||||
3.80%, 11/15/37 | 50,000 | 46,455 | |||||
4.00%, 07/15/46 - 11/15/47 | 127,000 | 118,335 | |||||
Radiate Holdco LLC | |||||||
6.88%, 02/15/23 (b) | 88,000 | 80,140 | |||||
Visa Inc. | |||||||
4.30%, 12/14/45 | 99,000 | 102,901 | |||||
1,345,640 | |||||||
Materials 3.9% | |||||||
Anglo American Capital Plc | |||||||
4.88%, 05/14/25 (b) | 260,000 | 255,499 | |||||
Ardagh Packaging Finance Plc | |||||||
4.63%, 05/15/23 (b) | 159,000 | 150,090 | |||||
Berry Global Inc. | |||||||
4.50%, 02/15/26 (b) | 60,000 | 55,160 | |||||
BWAY Holding Co. | |||||||
7.25%, 04/15/25 (b) | 116,000 | 104,413 | |||||
Cemex SAB de CV | |||||||
5.70%, 01/11/25 (b) | 200,000 | 192,041 | |||||
Corning Inc. | |||||||
5.35%, 11/15/48 | 75,000 | 76,265 | |||||
5.85%, 11/15/68 | 67,000 | 67,818 | |||||
Dow Chemical Co. | |||||||
4.63%, 10/01/44 | 51,000 | 46,210 | |||||
FMG Resources August 2006 Pty Ltd. | |||||||
4.75%, 05/15/22 (b) | 31,000 | 29,450 | |||||
Freeport-McMoRan Inc. | |||||||
3.10%, 03/15/20 | 105,000 | 102,639 | |||||
4.55%, 11/14/24 | 165,000 | 153,021 | |||||
5.45%, 03/15/43 | 113,000 | 86,021 | |||||
NOVA Chemicals Corp. | |||||||
4.88%, 06/01/24 (b) | 38,000 | 34,509 | |||||
Olin Corp. | |||||||
5.13%, 09/15/27 | 81,000 | 74,871 | |||||
5.00%, 02/01/30 | 57,000 | 49,844 | |||||
Shares/Par1 | Value ($) | ||||||
Reynolds Group Issuer Inc. | |||||||
5.13%, 07/15/23 (b) | 103,000 | 98,003 | |||||
Samarco Mineracao SA | |||||||
0.00%, 09/26/24 (b) (c) (d) | 200,000 | 156,677 | |||||
Sherwin-Williams Co. | |||||||
4.50%, 06/01/47 | 34,000 | 30,732 | |||||
Syngenta Finance NV | |||||||
5.68%, 04/24/48 (b) | 200,000 | 164,120 | |||||
1,927,383 | |||||||
Real Estate 2.9% | |||||||
American Tower Corp. | |||||||
3.60%, 01/15/28 | 250,000 | 234,221 | |||||
AvalonBay Communities Inc. | |||||||
3.20%, 01/15/28 | 84,000 | 79,672 | |||||
Boston Properties LP | |||||||
4.50%, 12/01/28 | 86,000 | 87,984 | |||||
Crown Castle International Corp. | |||||||
2.25%, 09/01/21 | 55,000 | 53,308 | |||||
4.45%, 02/15/26 | 66,000 | 65,686 | |||||
3.70%, 06/15/26 | 143,000 | 135,830 | |||||
3.65%, 09/01/27 | 20,000 | 18,628 | |||||
3.80%, 02/15/28 | 227,000 | 213,280 | |||||
Equinix Inc. | |||||||
5.75%, 01/01/25 | 46,000 | 46,374 | |||||
5.38%, 05/15/27 | 63,000 | 62,336 | |||||
ERP Operating LP | |||||||
3.50%, 03/01/28 | 54,000 | 52,616 | |||||
Host Hotels & Resorts LP | |||||||
3.75%, 10/15/23 | 86,000 | 84,379 | |||||
Realty Income Corp. | |||||||
3.65%, 01/15/28 | 97,000 | 93,885 | |||||
Regency Centers Corp. | |||||||
3.60%, 02/01/27 | 43,000 | 41,185 | |||||
Simon Property Group LP | |||||||
3.38%, 06/15/27 - 12/01/27 | 166,000 | 160,074 | |||||
1,429,458 | |||||||
Utilities 5.2% | |||||||
AES Corp. | |||||||
4.50%, 03/15/23 | 164,000 | 159,884 | |||||
5.13%, 09/01/27 | 73,000 | 70,538 | |||||
Alabama Power Co. | |||||||
3.70%, 12/01/47 | 150,000 | 137,142 | |||||
Ameren Illinois Co. | |||||||
4.50%, 03/15/49 | 52,000 | 54,837 | |||||
Appalachian Power Co. | |||||||
3.30%, 06/01/27 | 150,000 | 143,187 | |||||
Avangrid Inc. | |||||||
3.15%, 12/01/24 | 199,000 | 192,099 | |||||
Dominion Resources Inc. | |||||||
5.20%, 08/15/19 | 49,000 | 49,559 | |||||
Duke Energy Corp. | |||||||
3.95%, 08/15/47 | 75,000 | 67,189 | |||||
Duke Energy Florida LLC | |||||||
3.80%, 07/15/28 | 112,000 | 113,398 | |||||
Duquesne Light Holdings Inc. | |||||||
6.40%, 09/15/20 (b) | 121,000 | 125,983 | |||||
5.90%, 12/01/21 (b) | 116,000 | 122,038 | |||||
Eversource Energy | |||||||
4.25%, 04/01/29 | 104,000 | 106,007 | |||||
Exelon Corp. | |||||||
3.95%, 06/15/25 | 63,000 | 62,356 | |||||
5.10%, 06/15/45 | 52,000 | 53,831 | |||||
4.45%, 04/15/46 | 200,000 | 190,290 | |||||
FirstEnergy Corp. | |||||||
4.35%, 01/15/25 (b) | 88,000 | 88,910 | |||||
4.85%, 07/15/47 (f) | 40,000 | 40,037 | |||||
FirstEnergy Transmission LLC | |||||||
5.45%, 07/15/44 (b) | 67,000 | 72,133 | |||||
Florida Power & Light Co. | |||||||
3.70%, 12/01/47 | 150,000 | 140,140 | |||||
Nevada Power Co. | |||||||
6.65%, 04/01/36 | 18,000 | 22,922 | |||||
Pacific Gas & Electric Co. | |||||||
3.30%, 12/01/27 | 250,000 | 204,375 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
22
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
5.40%, 01/15/40 | 38,000 | 33,735 | |||||
Sempra Energy | |||||||
4.00%, 02/01/48 | 70,000 | 59,749 | |||||
Southern California Edison Co. | |||||||
4.13%, 03/01/48 | 37,000 | 35,296 | |||||
Wisconsin Energy Corp. | |||||||
3.55%, 06/15/25 | 44,000 | 43,569 | |||||
Xcel Energy Inc. | |||||||
4.70%, 05/15/20 | 107,000 | 108,261 | |||||
6.50%, 07/01/36 | 22,000 | 27,336 | |||||
2,524,801 | |||||||
Total Corporate Bonds And Notes (cost $37,866,049) | 36,504,009 | ||||||
GOVERNMENT AND AGENCY OBLIGATIONS 9.0% | |||||||
U.S. Treasury Securities 9.0% | |||||||
U.S. Treasury Bond | |||||||
2.50%, 02/15/45 | 870,000 | 789,389 | |||||
U.S. Treasury Note | |||||||
2.88%, 10/31/23 | 2,663,000 | 2,707,938 | |||||
2.25%, 02/15/27 | 950,000 | 922,687 | |||||
Total Government And Agency Obligations (cost $4,362,891) | 4,420,014 | ||||||
SHORT TERM INVESTMENTS 3.4% | |||||||
Investment Companies 0.5% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.29% (k) | 252,201 | 252,201 | |||||
Securities Lending Collateral 0.7% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% (k) | 339,300 | 339,300 | |||||
Treasury Securities 2.2% | |||||||
U.S. Treasury Bill | |||||||
2.33%, 01/15/19 (l) | 1,100,000 | 1,099,018 | |||||
Total Short Term Investments (cost $1,690,519) | 1,690,519 | ||||||
Total Investments 99.7% (cost $50,186,532) | 48,886,376 | ||||||
Other Derivative Instruments (0.0)% | (9,703) | ||||||
Other Assets and Liabilities, Net 0.3% | 141,788 | ||||||
Total Net Assets 100.0% | 49,018,461 |
(a) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are presented. Certain variable rate securities do not indicate a reference rate and spread because they are determined by the issuer, remarketing agent, or offering documents and are based on current market conditions. The coupon rate for securities with certain features outlined in the offering documents may vary from the stated reference rate and spread. This includes, but is not limited to, securities with deferred rates, contingent distributions, caps, floors, and fixed-rate to float-rate features. In addition, variable rates for government and agency collateralized mortgage obligations (“CMO”) and mortgage-backed securities (“MBS”) are determined by tranches of underlying mortgage-backed security pools’ cash flows into securities and pass-through rates which reflects the rate earned on the asset pool after management and guarantee fees are paid to the securitizing corporation. CMO and MBS variable rates are determined by a formula set forth in the security’s offering documents.
(b) The Adviser has deemed this security which is exempt from registration under the Securities Act of 1933, as amended, to be liquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited. As of December 31, 2018, the value and the percentage of net assets of these liquid securities were $15,397,676 and 31.4%, respectively.
(c) Non-income producing security.
(d) Issuer was in bankruptcy and/or was in default relating to principal and/or interest. Partial or no payments were paid on the last interest or dividend date.
(e) All or a portion of the security was on loan as of December 31, 2018.
(f) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(g) Pay-in-kind security. Stated coupon is the pay-in-kind rate. The interest earned by the security may be paid in cash or additional par.
(h) Convertible security.
(i) Perpetual security. Next contractual call date presented, if applicable.
(j) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited.
(k) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2018.
(l) The coupon rate represents the yield to maturity.
PPM Credit Fund — Futures Contracts | ||||||||||||||||
Reference Entity | Contracts Long (Short)1 | Expiration | Notional 1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | |||||||||||
U.S. Treasury Long Bond | 30 | March 2019 | 4,175,980 | 14,063 | 204,020 | |||||||||||
U.S. Treasury Note, 10-Year | (40) | March 2019 | (4,778,483) | (15,625) | (102,143) | |||||||||||
U.S. Treasury Note, 2-Year | (3) | March 2019 | (633,046) | (422) | (3,891) | |||||||||||
U.S. Treasury Note, 5-Year | 16 | March 2019 | 1,806,489 | 4,000 | 28,511 | |||||||||||
Ultra 10-Year U.S. Treasury Note | (6) | March 2019 | (760,149) | (2,813) | (20,320) | |||||||||||
Ultra Long Term U.S. Treasury Bond | (15) | March 2019 | (2,286,189) | (8,906) | (123,654) | |||||||||||
(9,703) | (17,477) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
23
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
PPM Floating Rate Income Fund (a) | |||||||
CORPORATE BONDS AND NOTES 3.5% | |||||||
Communication Services 0.5% | |||||||
AMC Entertainment Holdings Inc. | |||||||
6.13%, 05/15/27 | 30,000 | 25,675 | |||||
CCO Holdings LLC | |||||||
5.13%, 05/01/27 (b) | 30,000 | 27,925 | |||||
CenturyLink Inc. | |||||||
7.50%, 04/01/24 (c) | 30,000 | 29,068 | |||||
DISH DBS Corp. | |||||||
5.00%, 03/15/23 | 30,000 | 24,709 | |||||
Frontier Communications Corp. | |||||||
11.00%, 09/15/25 | 30,000 | 18,694 | |||||
Live Nation Entertainment Inc. | |||||||
4.88%, 11/01/24 (b) | 30,000 | 28,537 | |||||
Netflix Inc. | |||||||
5.88%, 11/15/28 (b) | 30,000 | 29,198 | |||||
Sirius XM Radio Inc. | |||||||
5.38%, 07/15/26 (b) | 30,000 | 28,341 | |||||
Sprint Corp. | |||||||
7.13%, 06/15/24 | 30,000 | 29,683 | |||||
241,830 | |||||||
Consumer Discretionary 0.3% | |||||||
1011778 B.C. Unltd. Liability Co. | |||||||
5.00%, 10/15/25 (b) | 30,000 | 27,601 | |||||
American Axle & Manufacturing Inc. | |||||||
6.50%, 04/01/27 (c) | 30,000 | 26,950 | |||||
Delta Merger Sub Inc. | |||||||
6.00%, 09/15/26 (b) | 10,000 | 9,450 | |||||
Goodyear Tire & Rubber Co. | |||||||
4.88%, 03/15/27 | 30,000 | 26,500 | |||||
Mohegan Tribal Gaming Authority | |||||||
7.88%, 10/15/24 (b) (c) | 30,000 | 27,916 | |||||
Sally Holdings LLC | |||||||
5.63%, 12/01/25 (c) | 30,000 | 27,685 | |||||
Scientific Games International Inc. | |||||||
5.00%, 10/15/25 (b) | 30,000 | 26,882 | |||||
172,984 | |||||||
Consumer Staples 0.2% | |||||||
JBS Investments GmbH | |||||||
7.25%, 04/03/24 (b) | 30,000 | 30,435 | |||||
Post Holdings Inc. | |||||||
5.63%, 01/15/28 (b) | 30,000 | 27,621 | |||||
Sigma Holdco BV | |||||||
7.88%, 05/15/26 (b) | 30,000 | 25,961 | |||||
Spectrum Brands Inc. | |||||||
5.75%, 07/15/25 | 30,000 | 28,499 | |||||
112,516 | |||||||
Energy 0.6% | |||||||
Alta Mesa Holdings LP | |||||||
7.88%, 12/15/24 | 30,000 | 19,030 | |||||
Cheniere Corpus Christi Holdings LLC | |||||||
5.13%, 06/30/27 | 30,000 | 28,282 | |||||
Cheniere Energy Partners LP | |||||||
5.63%, 10/01/26 (b) | 28,000 | 26,342 | |||||
Continental Resources Inc. | |||||||
4.50%, 04/15/23 | 30,000 | 29,547 | |||||
Energy Transfer LP | |||||||
5.50%, 06/01/27 | 30,000 | 29,306 | |||||
EP Energy LLC | |||||||
8.00%, 02/15/25 (b) | 30,000 | 12,387 | |||||
Everest Acquisition Finance Inc. | |||||||
7.75%, 05/15/26 (b) | 30,000 | 26,604 | |||||
Nabors Industries Inc. | |||||||
5.75%, 02/01/25 | 30,000 | 22,641 | |||||
Regency Energy Partners LP | |||||||
5.88%, 03/01/22 | 30,000 | 31,272 | |||||
Rowan Cos. Inc. | |||||||
7.38%, 06/15/25 | 30,000 | 24,148 | |||||
Transocean Proteus Ltd. | |||||||
6.25%, 12/01/24 (b) | 24,000 | 23,199 | |||||
272,758 | |||||||
Shares/Par1 | Value ($) | ||||||
Financials 0.4% | |||||||
Ally Financial Inc. | |||||||
5.75%, 11/20/25 | 30,000 | 29,843 | |||||
CIT Group Inc. | |||||||
6.13%, 03/09/28 | 30,000 | 29,875 | |||||
Dell EMC | |||||||
7.13%, 06/15/24 (b) | 30,000 | 30,530 | |||||
Icahn Enterprises LP | |||||||
6.38%, 12/15/25 | 30,000 | 29,043 | |||||
James Hardie International Finance DAC | |||||||
5.00%, 01/15/28 (b) | 10,000 | 8,630 | |||||
Level 3 Financing Inc. | |||||||
5.38%, 01/15/24 | 30,000 | 28,595 | |||||
SLM Corp. | |||||||
5.50%, 01/25/23 | 30,000 | 26,301 | |||||
182,817 | |||||||
Health Care 0.5% | |||||||
Centene Corp. | |||||||
4.75%, 01/15/25 | 30,000 | 28,683 | |||||
Centene Escrow I Corp. | |||||||
5.38%, 06/01/26 (b) | 17,000 | 16,603 | |||||
Community Health Systems Inc. | |||||||
8.63%, 01/15/24 (b) | 30,000 | 29,742 | |||||
HCA Inc. | |||||||
5.25%, 06/15/26 | 30,000 | 29,714 | |||||
Tenet Healthcare Corp. | |||||||
6.75%, 06/15/23 (c) | 30,000 | 28,163 | |||||
5.13%, 05/01/25 | 30,000 | 27,999 | |||||
Valeant Pharmaceuticals International Inc. | |||||||
6.13%, 04/15/25 (b) | 30,000 | 26,075 | |||||
5.50%, 11/01/25 (b) | 30,000 | 28,035 | |||||
WellCare Health Plans Inc. | |||||||
5.38%, 08/15/26 (b) | 45,000 | 43,524 | |||||
258,538 | |||||||
Industrials 0.4% | |||||||
Aircastle Ltd. | |||||||
5.00%, 04/01/23 | 30,000 | 29,854 | |||||
Ashtead Capital Inc. | |||||||
5.25%, 08/01/26 (b) | 93,000 | 89,803 | |||||
Bombardier Inc. | |||||||
6.00%, 10/15/22 (b) | 30,000 | 28,132 | |||||
Standard Industries Inc. | |||||||
4.75%, 01/15/28 (b) | 20,000 | 16,691 | |||||
United Rentals North America Inc. | |||||||
4.88%, 01/15/28 | 30,000 | 26,337 | |||||
190,817 | |||||||
Information Technology 0.0% | |||||||
CommScope Technologies LLC | |||||||
5.00%, 03/15/27 (b) | 30,000 | 24,321 | |||||
Materials 0.4% | |||||||
BWAY Holding Co. | |||||||
7.25%, 04/15/25 (b) | 30,000 | 27,003 | |||||
Crown Americas LLC | |||||||
4.75%, 02/01/26 (b) | 30,000 | 28,391 | |||||
FMG Resources August 2006 Pty Ltd. | |||||||
5.13%, 03/15/23 (b) | 30,000 | 28,395 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 | 30,000 | 27,822 | |||||
Hexion Inc. | |||||||
10.38%, 02/01/22 (b) | 30,000 | 23,711 | |||||
Koppers Inc. | |||||||
6.00%, 02/15/25 (b) | 30,000 | 26,577 | |||||
Olin Corp. | |||||||
5.13%, 09/15/27 | 30,000 | 27,730 | |||||
189,629 | |||||||
Real Estate 0.1% | |||||||
MGM Growth Properties Operating Partnership LP | |||||||
5.63%, 05/01/24 | 30,000 | 29,688 | |||||
Utilities 0.1% | |||||||
AES Corp. | |||||||
5.50%, 04/15/25 | 30,000 | 29,859 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
24
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Calpine Corp. | |||||||
5.75%, 01/15/25 | 30,000 | 27,395 | |||||
57,254 | |||||||
Total Corporate Bonds And Notes (cost $1,864,575) | 1,733,152 | ||||||
SENIOR LOAN INTERESTS 95.0% | |||||||
Communication Services 4.8% | |||||||
CBS Radio Inc. | |||||||
Term Loan B, 5.26%, (3M LIBOR + 2.75%), 11/18/24 (d) | 156,173 | 146,803 | |||||
CenturyLink Inc. | |||||||
Term Loan B, 5.27%, (3M LIBOR + 2.75%), 01/15/25 (d) | 99,248 | 92,400 | |||||
Cincinnati Bell Inc. | |||||||
Term Loan, 5.77%, (3M LIBOR + 3.25%), 10/02/24 (d) | 99,750 | 95,831 | |||||
Cogeco Communications (USA) II LP | |||||||
1st Lien Term Loan, 4.72%, (1M LIBOR + 2.38%), 08/11/24 (d) | 199,000 | 187,890 | |||||
Consolidated Communications Inc. | |||||||
Term Loan B, 5.34%, (1M LIBOR + 3.00%), 09/29/23 (d) | 149,368 | 139,473 | |||||
Frontier Communications Corp. | |||||||
Term Loan B-1, 6.10%, (3M LIBOR + 3.75%), 05/31/24 (d) | 84,445 | 78,165 | |||||
GoodRx Inc. | |||||||
1st Lien Term Loan, 5.43%, (3M LIBOR + 3.00%), 10/10/25 (d) | 100,000 | 96,125 | |||||
GTT Communications Inc. | |||||||
Term Loan B, 5.27%, (3M LIBOR + 2.75%), 04/27/25 (d) | 119,400 | 112,137 | |||||
Intelsat Jackson Holdings SA | |||||||
Term Loan B-3, 6.26%, (3M LIBOR + 3.75%), 11/27/23 (d) | 130,000 | 125,589 | |||||
Maxar Technologies Ltd. | |||||||
Term Loan B, 5.15%, (3M LIBOR + 2.75%), 07/07/24 (d) | 143,598 | 131,751 | |||||
MTN Infrastructure TopCo Inc. | |||||||
1st Lien Term Loan B, 5.34%, (3M LIBOR + 3.00%), 10/27/24 (d) | 49,625 | 47,169 | |||||
Securus Technologies Holdings Inc. | |||||||
1st Lien Term Loan, 0.00%, (3M LIBOR + 4.50%), 06/20/24 (d) (e) | 122,400 | 117,504 | |||||
1st Lien Term Loan, 7.02%, (3M LIBOR + 4.50%), 06/20/24 (d) | 30,370 | 29,155 | |||||
Sprint Communications Inc. | |||||||
1st Lien Term Loan B, 4.88%, (3M LIBOR + 2.50%), 02/01/24 (d) | 337,424 | 320,273 | |||||
Term Loan, 5.38%, (3M LIBOR + 3.00%), 02/05/24 (d) | 70,000 | 67,550 | |||||
Telesat Canada | |||||||
Term Loan B-4, 4.89%, (3M LIBOR + 2.50%), 11/17/23 (d) | 187,827 | 177,402 | |||||
Tribune Media Co. | |||||||
Term Loan C, 5.52%, (3M LIBOR + 3.00%), 01/20/24 (d) | 125,000 | 122,437 | |||||
Vestcom Parent Holdings Inc. | |||||||
1st Lien Term Loan, 6.34%, (3M LIBOR + 4.00%), 12/15/23 (d) (f) | 74,808 | 72,564 | |||||
1st Lien Term Loan, 8.50%, (3M PRIME + 3.00%), 12/16/23 (d) (f) | 4 | 4 | |||||
Windstream Services LLC | |||||||
Term Loan B-6, 6.46%, (3M LIBOR + 4.00%), 03/29/21 (d) | 99,239 | 88,145 | |||||
Ziggo Secured Finance Partnership | |||||||
Term Loan E, 4.96%, (3M LIBOR + 2.50%), 04/15/25 (d) | 100,000 | 94,000 | |||||
2,342,367 | |||||||
Consumer Discretionary 21.0% | |||||||
1011778 B.C. Unltd. Liability Co. | |||||||
Term Loan B-3, 4.59%, (3M LIBOR + 2.25%), 02/15/24 (d) | 338,135 | 321,509 | |||||
24 Hour Fitness Worldwide Inc. | |||||||
Term Loan B, 5.84%, (3M LIBOR + 3.50%), 05/30/25 (d) | 169,150 | 165,062 | |||||
Shares/Par1 | Value ($) | ||||||
Allied Universal Holdco LLC | |||||||
Term Loan, 6.14%, (3M LIBOR + 3.75%), 07/28/22 (d) | 134,207 | 127,027 | |||||
Altra Industrial Motion Corp. | |||||||
Term Loan B, 4.34%, (3M LIBOR + 2.00%), 09/26/25 (d) | 59,104 | 56,001 | |||||
AMC Entertainment Holdings Inc. | |||||||
Term Loan B, 4.71%, (3M LIBOR + 2.25%), 12/15/23 (d) | 169,139 | 162,120 | |||||
American Axle & Manufacturing Inc. | |||||||
Term Loan B, 4.74%, (3M LIBOR + 2.25%), 03/10/24 (d) | 40,036 | 37,784 | |||||
Term Loan B, 4.76%, (3M LIBOR + 2.25%), 03/10/24 (d) | 58,949 | 55,633 | |||||
Bass Pro Group LLC | |||||||
Term Loan B, 7.52%, (3M LIBOR + 5.00%), 11/15/23 (d) | 188,944 | 180,347 | |||||
Boing US Holdco Inc. | |||||||
1st Lien Term Loan, 5.84%, (3M LIBOR + 3.25%), 09/20/24 (d) | 39,800 | 38,009 | |||||
Bombardier Recreational Products Inc. | |||||||
Term Loan B, 4.35%, (3M LIBOR + 2.00%), 06/30/23 (d) | 169,575 | 163,781 | |||||
Boyd Gaming Corp. | |||||||
Term Loan B-3, 4.67%, (3M LIBOR + 2.25%), 09/15/23 (d) | 169,073 | 162,521 | |||||
Caesars Entertainment Operating Co. | |||||||
Term Loan, 4.34%, (3M LIBOR + 2.00%), 04/03/24 (d) | 168,722 | 159,864 | |||||
Caesars Resort Collection LLC | |||||||
1st Lien Term Loan B, 5.09%, (3M LIBOR + 2.75%), 12/23/24 (d) | 436,941 | 418,839 | |||||
Callaway Golf Co. | |||||||
Term Loan B, 0.00%, (3M LIBOR + 4.50%), 12/31/25 (d) (e) | 28,000 | 27,650 | |||||
Camelot UK Holdco Ltd. | |||||||
Term Loan, 5.59%, (1M LIBOR + 3.25%), 10/03/23 (d) | 153,550 | 145,872 | |||||
Charter Communications Operating LLC | |||||||
Term Loan B, 4.35%, (3M LIBOR + 2.00%), 04/30/25 (d) | 198,496 | 189,838 | |||||
CityCenter Holdings LLC | |||||||
Term Loan B, 4.59%, (1M LIBOR + 2.25%), 04/14/24 (d) | 168,715 | 159,375 | |||||
Coinamatic Canada Inc. | |||||||
1st Lien Term Loan, 5.59%, (3M LIBOR + 3.25%), 05/13/22 (d) | 3,994 | 3,864 | |||||
Constellis Holdings LLC | |||||||
1st Lien Term Loan, 7.39%, (1M LIBOR + 5.00%), 04/17/24 (d) (f) | 69,646 | 66,164 | |||||
Core & Main LP | |||||||
Term Loan B, 5.71%, (3M LIBOR + 3.00%), 07/19/24 (d) | 52,752 | 50,862 | |||||
Term Loan B, 5.74%, (3M LIBOR + 3.00%), 07/19/24 (d) | 46,745 | 45,070 | |||||
Creative Artists Agency LLC | |||||||
Term Loan B, 5.47%, (1M LIBOR + 3.00%), 02/15/24 (d) | 49,749 | 47,884 | |||||
CSC Holdings LLC | |||||||
Term Loan B, 4.96%, (3M LIBOR + 2.50%), 01/12/26 (d) | 199,000 | 190,459 | |||||
CWGS Group LLC | |||||||
Term Loan, 5.09%, (1M LIBOR + 2.75%), 11/02/23 (d) | 662 | 596 | |||||
Term Loan, 5.13%, (1M LIBOR + 2.75%), 11/02/23 (d) | 168,047 | 151,382 | |||||
Delta 2 (LUX) SARL | |||||||
Term Loan, 5.02%, (3M LIBOR + 2.50%), 02/01/24 (d) | 170,000 | 160,366 | |||||
DexKo Global Inc. | |||||||
Term Loan, 5.84%, (3M LIBOR + 3.50%), 07/24/24 (d) | 49,749 | 47,967 | |||||
Dynacast International LLC | |||||||
Term Loan B-2, 5.77%, (3M LIBOR + 3.25%), 01/28/22 (d) (f) | 99,289 | 94,077 | |||||
Eldorado Resorts LLC | |||||||
Term Loan B, 4.75%, (1M LIBOR + 2.25%), 03/15/24 (d) | 54,000 | 51,525 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
25
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Equinox Holdings Inc. | |||||||
1st Lien Term Loan, 5.52%, (1M LIBOR + 3.00%), 03/08/24 (d) | 89,547 | 86,301 | |||||
ESH Hospitality Inc. | |||||||
Term Loan B, 4.34%, (3M LIBOR + 2.00%), 08/30/23 (d) | 158,281 | 151,726 | |||||
Fitness International LLC | |||||||
Term Loan B, 5.59%, (1M LIBOR + 3.25%), 04/13/25 (d) | 129,350 | 123,853 | |||||
Garda World Security Corp. | |||||||
Term Loan, 6.24%, (3M LIBOR + 3.50%), 05/12/24 (d) | 49,243 | 46,822 | |||||
Term Loan, 8.00%, (3M PRIME + 2.50%), 05/12/24 (d) | 125 | 119 | |||||
Golden Nugget Inc. | |||||||
Incremental Term Loan B, 5.19%, (3M LIBOR + 2.75%), 09/07/23 (d) | 130,696 | 125,468 | |||||
Incremental Term Loan B, 5.28%, (3M LIBOR + 2.75%), 10/04/23 (d) | 163,428 | 156,891 | |||||
Hayward Industries Inc. | |||||||
1st Lien Term Loan, 6.02%, (3M LIBOR + 3.50%), 08/04/24 (d) | 99,496 | 95,475 | |||||
Helix Gen Funding LLC | |||||||
Term Loan B, 6.09%, (3M LIBOR + 3.75%), 03/02/24 (d) | 57,305 | 53,491 | |||||
Hoffmaster Group Inc. | |||||||
1st Lien Term Loan, 6.34%, (1M LIBOR + 4.00%), 11/11/23 (d) | 37,215 | 36,471 | |||||
iHeartCommunications Inc. | |||||||
Term Loan D, 0.00%, 01/30/19 (g) (h) | 150,000 | 100,209 | |||||
Inmar Holdings Inc. | |||||||
1st Lien Term Loan, 5.84%, (3M LIBOR + 3.50%), 04/25/24 (d) | 39,698 | 38,507 | |||||
Interior Logic Group Inc. | |||||||
Term Loan B, 6.39%, (1M LIBOR + 4.00%), 05/21/25 (d) | 99,750 | 97,256 | |||||
International Textile Group Inc. | |||||||
1st Lien Term Loan, 7.35%, (3M LIBOR + 5.00%), 04/19/24 (d) | 98,750 | 96,281 | |||||
Intrawest Resorts Holdings Inc. | |||||||
Term Loan B-1, 5.35%, (3M LIBOR + 3.00%), 06/28/24 (d) | 129,023 | 123,432 | |||||
IRB Holding Corp. | |||||||
1st Lien Term Loan, 5.68%, (3M LIBOR + 3.25%), 01/18/25 (d) | 223,587 | 212,743 | |||||
Jo-Ann Stores Inc. | |||||||
Term Loan, 7.48%, (3M LIBOR + 5.00%), 09/29/23 (d) | 49,741 | 47,192 | |||||
Jostens Inc. | |||||||
Term Loan, 0.00%, (3M LIBOR + 5.50%), 12/17/25 (d) (e) | 55,000 | 53,419 | |||||
Las Vegas Sands LLC | |||||||
Term Loan B, 4.09%, (3M LIBOR + 1.75%), 03/27/25 (d) | 99,250 | 94,550 | |||||
Liberty Cablevision of Puerto Rico LLC | |||||||
1st Lien Term Loan, 5.94%, (3M LIBOR + 3.50%), 12/24/21 (d) | 50,000 | 47,781 | |||||
Lifetime Brands Inc. | |||||||
Term Loan B, 5.84%, (3M LIBOR + 3.50%), 03/13/25 (d) | 64,675 | 61,683 | |||||
Lions Gate Capital Holdings LLC | |||||||
Term Loan B, 4.77%, (3M LIBOR + 2.25%), 03/20/25 (d) | 198,500 | 190,685 | |||||
LTF Merger Sub Inc. | |||||||
Term Loan B, 5.46%, (3M LIBOR + 2.75%), 06/22/22 (d) | 168,719 | 162,017 | |||||
Marriott Ownership Resorts Inc. | |||||||
Term Loan B, 4.59%, (3M LIBOR + 2.25%), 08/29/25 (d) | 48,000 | 46,800 | |||||
Mavis Tire Express Services Corp. | |||||||
1st Lien Term Loan, 5.75%, (3M LIBOR + 3.25%), 03/15/25 (d) (f) | 196,960 | 189,574 | |||||
Delayed Draw Term Loan, 5.75%, (3M LIBOR + 3.25%), 03/15/25 (d) (f) | 4,713 | 4,536 | |||||
Michaels Stores Inc. | |||||||
Term Loan B, 4.84%, (3M LIBOR + 2.50%), 01/01/23 (d) | 68,954 | 65,764 | |||||
Shares/Par1 | Value ($) | ||||||
Term Loan B, 4.97%, (3M LIBOR + 2.50%), 01/01/23 (d) | 26,054 | 24,849 | |||||
Term Loan B, 5.01%, (3M LIBOR + 2.50%), 01/01/23 (d) | 4,492 | 4,284 | |||||
Mohegan Tribal Gaming Authority | |||||||
Term Loan B, 6.34%, (3M LIBOR + 4.00%), 10/30/23 (d) | 29,844 | 26,501 | |||||
Neiman Marcus Group Inc. | |||||||
Term Loan, 5.63%, (1M LIBOR + 3.25%), 10/25/20 (d) | 233,929 | 197,013 | |||||
NPC International Inc. | |||||||
1st Lien Term Loan, 5.84%, (3M LIBOR + 3.50%), 04/05/24 (d) | 49,747 | 46,414 | |||||
Numericable Group SA | |||||||
Term Loan B-11, 5.09%, (3M LIBOR + 2.75%), 07/31/25 (d) | 198,990 | 181,678 | |||||
NVA Holdings Inc. | |||||||
Term Loan B-3, 5.09%, (3M LIBOR + 2.75%), 01/31/25 (d) | 168,727 | 158,603 | |||||
Party City Holdings Inc. | |||||||
Term Loan B, 4.85%, (3M LIBOR + 2.50%), 08/19/22 (d) | 82,875 | 79,802 | |||||
Penn National Gaming Inc. | |||||||
1st Lien Term Loan B, 4.71%, (3M LIBOR + 2.25%), 08/15/25 (d) | 90,000 | 86,682 | |||||
Petco Animal Supplies Inc. | |||||||
Term Loan B, 5.78%, (3M LIBOR + 3.25%), 01/12/23 (d) | 124,361 | 90,576 | |||||
PetSmart Inc. | |||||||
Term Loan B-2, 5.38%, (3M LIBOR + 3.00%), 03/11/22 (d) | 49,742 | 39,172 | |||||
Playa Resorts Holding BV | |||||||
Term Loan B, 5.27%, (3M LIBOR + 2.75%), 04/07/24 (d) | 178,642 | 166,425 | |||||
ProQuest LLC | |||||||
Term Loan B, 5.59%, (3M LIBOR + 3.25%), 10/24/21 (d) | 79,578 | 77,389 | |||||
Rodan & Fields LLC | |||||||
Term Loan B, 6.46%, (3M LIBOR + 4.00%), 06/07/25 (d) | 49,750 | 45,583 | |||||
Term Loan B, 8.50%, (3M PRIME + 3.00%), 06/07/25 (d) | 125 | 115 | |||||
Sally Holdings LLC | |||||||
Term Loan B-1, 4.60%, (3M LIBOR + 2.25%), 07/05/24 (d) | 99,242 | 94,528 | |||||
Scientific Games International Inc. | |||||||
Term Loan B-5, 5.09%, (3M LIBOR + 2.75%), 08/14/24 (d) | 65,156 | 60,991 | |||||
Term Loan B-5, 5.24%, (3M LIBOR + 2.75%), 08/14/24 (d) | 272,294 | 254,886 | |||||
Serta Simmons Bedding LLC | |||||||
1st Lien Term Loan, 5.88%, (3M LIBOR + 3.50%), 10/21/23 (d) | 97,194 | 80,994 | |||||
1st Lien Term Loan, 5.93%, (3M LIBOR + 3.50%), 10/21/23 (d) | 27,300 | 22,750 | |||||
ServiceMaster Co. | |||||||
Term Loan B, 4.84%, (3M LIBOR + 2.50%), 11/08/23 (d) | 98,776 | 96,512 | |||||
Shutterfly Inc. | |||||||
Term Loan B-2, 5.10%, (3M LIBOR + 2.75%), 08/17/24 (d) | 99,501 | 96,081 | |||||
SIWF Holdings Inc. | |||||||
1st Lien Term Loan, 6.72%, (3M LIBOR + 4.25%), 05/25/25 (d) | 114,462 | 110,958 | |||||
Spin Holdco Inc. | |||||||
Term Loan B, 5.69%, (3M LIBOR + 3.25%), 11/14/22 (d) | 99,244 | 94,481 | |||||
SRAM LLC | |||||||
Term Loan B, 5.14%, (3M LIBOR + 2.75%), 03/15/24 (d) | 44,898 | 42,653 | |||||
Term Loan B, 5.22%, (3M LIBOR + 2.75%), 03/15/24 (d) | 43,469 | 41,296 | |||||
Term Loan B, 7.25%, (3M PRIME + 1.75%), 03/15/24 (d) | 612 | 582 | |||||
Staples Inc. | |||||||
Term Loan B, 6.54%, (3M LIBOR + 4.00%), 08/15/24 (d) | 179,095 | 171,335 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
26
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Stars Group Holdings BV | |||||||
Incremental Term Loan, 6.30%, (3M LIBOR + 3.50%), 06/29/25 (d) | 296,510 | 285,886 | |||||
Station Casinos LLC | |||||||
Term Loan B, 4.85%, (3M LIBOR + 2.50%), 05/24/23 (d) | 168,691 | 161,582 | |||||
Tenneco Inc. | |||||||
Term Loan B, 5.27%, (3M LIBOR + 2.75%), 10/01/25 (d) | 187,500 | 175,687 | |||||
TI Group Automotive Systems LLC | |||||||
Term Loan, 4.84%, (3M LIBOR + 2.50%), 06/25/22 (d) | 170,000 | 164,759 | |||||
Trader Corp. | |||||||
Term Loan B, 5.51%, (3M LIBOR + 3.00%), 09/28/23 (d) | 45,000 | 43,087 | |||||
Truck Hero Inc. | |||||||
1st Lien Term Loan, 6.26%, (3M LIBOR + 3.75%), 05/17/24 (d) | 99,496 | 96,056 | |||||
UFC Holdings LLC | |||||||
1st Lien Term Loan, 5.78%, (3M LIBOR + 3.25%), 07/22/23 (d) | 218,451 | 212,334 | |||||
Univision Communications Inc. | |||||||
Term Loan C-5, 5.09%, (3M LIBOR + 2.75%), 03/15/24 (d) | 125,759 | 113,550 | |||||
USS Ultimate Holdings Inc. | |||||||
1st Lien Term Loan, 6.09%, (3M LIBOR + 3.75%), 08/11/24 (d) | 79,597 | 77,275 | |||||
Vivid Seats Ltd. | |||||||
1st Lien Term Loan, 5.84%, (3M LIBOR + 3.50%), 06/21/24 - 06/27/24 (d) | 74,496 | 70,646 | |||||
WASH Multifamily Laundry Systems LLC | |||||||
1st Lien Term Loan, 5.59%, (3M LIBOR + 3.25%), 05/15/22 (d) | 25,842 | 25,002 | |||||
WideOpenWest Finance LLC | |||||||
Term Loan B, 5.72%, (3M LIBOR + 3.25%), 08/19/23 (d) | 139,045 | 128,443 | |||||
William Morris Endeavor Entertainment LLC | |||||||
1st Lien Term Loan, 5.28%, (3M LIBOR + 2.75%), 05/11/25 (d) | 210,016 | 192,427 | |||||
WMG Acquisition Corp. | |||||||
Term Loan F, 4.47%, (3M LIBOR + 2.13%), 11/01/23 (d) | 170,000 | 163,327 | |||||
10,293,688 | |||||||
Consumer Staples 3.8% | |||||||
8th Avenue Food & Provisions Inc. | |||||||
1st Lien Term Loan, 6.10%, (3M LIBOR + 3.75%), 09/19/25 (d) | 70,000 | 68,425 | |||||
Albertsons LLC | |||||||
Term Loan B-6, 5.69%, (3M LIBOR + 3.00%), 06/22/23 (d) | 159,192 | 150,834 | |||||
American Seafoods Group LLC | |||||||
1st Lien Term Loan, 5.10%, (3M LIBOR + 2.75%), 07/27/23 (d) | 68,959 | 66,115 | |||||
ATS Consolidated Inc. | |||||||
1st Lien Term Loan, 6.09%, (3M LIBOR + 3.75%), 02/23/25 (d) | 137,028 | 133,089 | |||||
BJ's Wholesale Club Inc. | |||||||
1st Lien Term Loan, 5.43%, (3M LIBOR + 3.00%), 01/26/24 (d) | 256,908 | 249,265 | |||||
Coty Inc. | |||||||
Term Loan B, 4.63%, (3M LIBOR + 2.25%), 03/29/25 (d) | 169,575 | 156,221 | |||||
Del Monte Foods Inc. | |||||||
1st Lien Term Loan, 5.90%, (6M LIBOR + 3.25%), 01/26/21 (d) | 34,726 | 28,458 | |||||
1st Lien Term Loan, 7.75%, (6M PRIME + 2.25%), 01/26/21 (d) | 91 | 75 | |||||
Diamond (BC) BV | |||||||
Term Loan, 5.53%, (1M LIBOR + 3.00%), 07/24/24 (d) | 84,573 | 77,807 | |||||
Dole Food Co. Inc. | |||||||
Term Loan B, 0.00%, (1M LIBOR + 2.75%), 03/22/24 (d) (e) | — | — | |||||
Term Loan B, 5.09%, (1M LIBOR + 2.75%), 03/22/24 (d) | 51,822 | 50,202 | |||||
Term Loan B, 5.14%, (1M LIBOR + 2.75%), 03/22/24 (d) | 1,215 | 1,177 | |||||
Shares/Par1 | Value ($) | ||||||
Term Loan B, 5.18%, (1M LIBOR + 2.75%), 03/22/24 (d) | 25,911 | 25,101 | |||||
Term Loan B, 7.25%, (1M PRIME + 1.75%), 03/22/24 (d) | 27 | 26 | |||||
Hearthside Food Solutions LLC | |||||||
Term Loan B, 6.03%, (3M LIBOR + 3.69%), 05/17/25 (d) | 169,150 | 161,877 | |||||
JBS USA LLC | |||||||
Term Loan B, 4.89%, (3M LIBOR + 2.50%), 10/30/22 (d) | 24,690 | 23,703 | |||||
Term Loan B, 5.30%, (3M LIBOR + 2.50%), 06/30/24 (d) | 144,022 | 138,261 | |||||
Portillo's Holdings LLC | |||||||
1st Lien Term Loan, 6.89%, (3M LIBOR + 4.50%), 08/01/21 (d) | 89,094 | 87,869 | |||||
Post Holdings Inc. | |||||||
Incremental Term Loan, 4.51%, (3M LIBOR + 2.00%), 05/24/24 (d) | 59,972 | 57,674 | |||||
Sigma Bidco BV | |||||||
Term Loan B-2, 5.40%, (3M LIBOR + 3.00%), 03/07/25 (d) | 99,500 | 93,945 | |||||
U.S. Foods Inc. | |||||||
Term Loan B, 4.34%, (3M LIBOR + 2.00%), 06/27/23 (d) | 168,702 | 161,532 | |||||
United Natural Foods Inc. | |||||||
Term Loan B, 6.59%, (3M LIBOR + 4.25%), 10/22/25 (d) | 94,000 | 76,375 | |||||
Utz Quality Foods LLC | |||||||
1st Lien Term Loan, 5.84%, (3M LIBOR + 3.50%), 11/14/24 (d) | 59,698 | 57,684 | |||||
1,865,715 | |||||||
Energy 2.0% | |||||||
Arctic LNG Carriers Ltd. | |||||||
Term Loan, 6.84%, (3M LIBOR + 4.50%), 04/21/23 (d) (f) | 49,622 | 47,885 | |||||
EG Finco Ltd. | |||||||
Term Loan, 6.81%, (3M LIBOR + 4.00%), 06/30/25 (d) | 198,500 | 190,808 | |||||
Encino Acquisition Partners Holdings LLC | |||||||
2nd Lien Term Loan, 9.09%, (3M LIBOR + 6.75%), 09/26/25 (d) (f) | 90,000 | 84,600 | |||||
Equitrans Midstream Corp. | |||||||
Term Loan B, 0.00%, (3M LIBOR + 4.50%), 12/13/23 (d) (e) | 24,000 | 23,420 | |||||
HFOTCO LLC | |||||||
Term Loan B, 5.10%, (3M LIBOR + 2.75%), 06/19/25 (d) | 64,675 | 63,220 | |||||
Lucid Energy Group II LLC | |||||||
1st Lien Term Loan, 5.50%, (3M LIBOR + 3.00%), 01/31/25 (d) | 198,749 | 182,352 | |||||
Medallion Midland Acquisition LLC | |||||||
1st Lien Term Loan, 5.59%, (3M LIBOR + 3.25%), 10/31/24 (d) | 99,248 | 93,417 | |||||
Summit Midstream Partners Holdings LLC | |||||||
Term Loan B, 8.34%, (3M LIBOR + 6.00%), 05/15/22 (d) | 45,124 | 44,109 | |||||
Traverse Midstream Partners LLC | |||||||
Term Loan, 6.60%, (3M LIBOR + 4.00%), 09/22/24 (d) | 200,000 | 191,500 | |||||
Ultra Resources Inc. | |||||||
1st Lien Term Loan, 6.47%, (3M LIBOR + 4.00%), 04/14/24 (d) | 54,000 | 47,992 | |||||
969,303 | |||||||
Financials 10.7% | |||||||
Acrisure LLC | |||||||
Term Loan B, 6.77%, (3M LIBOR + 4.25%), 11/22/23 (d) | 243,341 | 235,281 | |||||
Advisor Group Inc. | |||||||
Term Loan , 6.08%, (3M LIBOR + 3.75%), 08/13/25 (d) | 109,725 | 107,530 | |||||
AlixPartners LLP | |||||||
Term Loan B, 5.09%, (3M LIBOR + 2.75%), 03/28/24 (d) | 142,229 | 136,336 | |||||
Alliant Holdings I Inc. | |||||||
Term Loan B, 5.21%, (3M LIBOR + 2.75%), 05/07/25 (d) | 149,250 | 140,752 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
27
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Altice Financing SA | |||||||
Term Loan B, 5.17%, (3M LIBOR + 2.75%), 07/31/25 (d) | 266 | 251 | |||||
Term Loan B, 5.22%, (3M LIBOR + 2.75%), 07/31/25 (d) | 104,468 | 98,573 | |||||
Altice France SA | |||||||
Term Loan B-13, 6.46%, (3M LIBOR + 4.00%), 07/13/26 (d) | 230,000 | 216,775 | |||||
AmWINS Group Inc. | |||||||
Term Loan B, 5.09%, (3M LIBOR + 2.75%), 01/19/24 (d) | 76,644 | 73,099 | |||||
Term Loan B, 5.14%, (3M LIBOR + 2.75%), 01/19/24 (d) | 22,597 | 21,552 | |||||
AssuredPartners Inc. | |||||||
1st Lien Term Loan, 5.77%, (3M LIBOR + 3.25%), 10/22/24 (d) | 193,532 | 182,284 | |||||
Asurion LLC | |||||||
Term Loan B-4, 5.34%, (3M LIBOR + 3.00%), 08/04/22 (d) | 401,692 | 385,050 | |||||
Auris Luxembourg III SARL | |||||||
Term Loan B-7, 5.39%, (3M LIBOR + 3.00%), 01/17/22 (d) | 168,689 | 164,050 | |||||
Term Loan B, 0.00%, (3M LIBOR + 3.75%), 07/23/25 (d) (e) | 150,000 | 145,594 | |||||
BCP Renaissance Parent LLC | |||||||
Term Loan B, 6.03%, (3M LIBOR + 3.50%), 09/20/24 (d) | 199,000 | 193,279 | |||||
Cetera Group Inc. | |||||||
Term Loan , 6.59%, (3M LIBOR + 4.25%), 08/15/25 (d) | 84,000 | 81,550 | |||||
Crown Finance US Inc. | |||||||
Term Loan, 4.84%, (3M LIBOR + 2.50%), 02/05/25 (d) | 198,500 | 187,251 | |||||
Duff & Phelps Corp. | |||||||
Term Loan B, 5.77%, (1M LIBOR + 3.25%), 12/04/24 (d) | 89,424 | 84,413 | |||||
Edelman Financial Group | |||||||
1st Lien Term Loan, 5.69%, (3M LIBOR + 3.25%), 06/26/25 (d) | 92,500 | 88,866 | |||||
Encapsys LLC | |||||||
1st Lien Term Loan, 5.59%, (3M LIBOR + 3.25%), 10/27/24 (d) | 49,749 | 48,298 | |||||
Garrett LX III SARL | |||||||
Term Loan B, 5.33%, (3M LIBOR + 2.50%), 09/22/25 (d) | 49,875 | 47,007 | |||||
GTCR Valor Cos. Inc. | |||||||
Term Loan B-1, 5.14%, (3M LIBOR + 2.75%), 06/30/23 (d) | 78,770 | 75,541 | |||||
HUB International Ltd. | |||||||
Term Loan B, 5.24%, (3M LIBOR + 2.75%), 04/25/25 (d) | 109,176 | 102,864 | |||||
Ineos US Finance LLC | |||||||
Term Loan B, 4.34%, (3M LIBOR + 2.00%), 03/31/24 (d) | 168,722 | 159,020 | |||||
ION Trading Technologies SARL | |||||||
Incremental Term Loan B, 6.52%, (1M LIBOR + 4.00%), 11/21/24 (d) (f) | 125,964 | 118,721 | |||||
iStar Inc. | |||||||
Term Loan B, 5.13%, (3M LIBOR + 2.75%), 06/30/20 (d) | 74,625 | 71,453 | |||||
Term Loan B, 5.22%, (3M LIBOR + 2.75%), 06/30/20 (d) | 75,000 | 71,812 | |||||
Jane Street Group LLC | |||||||
Term Loan B, 5.53%, (3M LIBOR + 3.00%), 08/25/22 (d) | 147,731 | 143,422 | |||||
Level 3 Financing Inc. | |||||||
Term Loan B, 4.75%, (3M LIBOR + 2.25%), 02/16/24 (d) | 340,000 | 322,150 | |||||
LPL Holdings Inc. | |||||||
1st Lien Term Loan B, 4.73%, (3M LIBOR + 2.25%), 09/23/24 (d) | 169,146 | 162,486 | |||||
NAB Holdings LLC | |||||||
Term Loan, 5.39%, (3M LIBOR + 3.00%), 01/15/25 (d) | 59,699 | 56,640 | |||||
NFP Corp. | |||||||
Term Loan B, 5.34%, (3M LIBOR + 3.00%), 01/06/24 (d) | 168,709 | 159,219 | |||||
Shares/Par1 | Value ($) | ||||||
PMHC II Inc. | |||||||
1st Lien Term Loan, 6.00%, (3M LIBOR + 3.50%), 03/20/25 (d) | 19,341 | 17,600 | |||||
1st Lien Term Loan, 6.41%, (3M LIBOR + 3.50%), 03/20/25 (d) | 14,600 | 13,286 | |||||
Sedgwick Claims Management Services Inc. | |||||||
Term Loan B, 0.00%, (3M LIBOR + 3.25%), 11/06/25 (d) (e) | 210,000 | 200,113 | |||||
SolarWinds Holdings Inc. | |||||||
Term Loan B, 5.27%, (3M LIBOR + 2.75%), 02/06/24 (d) | 168,722 | 161,921 | |||||
Solera LLC | |||||||
Term Loan B, 5.27%, (3M LIBOR + 2.75%), 03/03/23 (d) | 169,130 | 159,089 | |||||
Telenet Financing USD LLC | |||||||
Term Loan AN, 4.71%, (3M LIBOR + 2.25%), 08/31/26 (d) | 170,000 | 161,384 | |||||
TKC Holdings Inc. | |||||||
1st Lien Term Loan, 6.28%, (3M LIBOR + 3.75%), 02/08/23 (d) | 168,712 | 159,961 | |||||
Travelport Finance Lux SARL | |||||||
Term Loan B, 5.12%, (3M LIBOR + 2.50%), 03/16/25 (d) | 168,179 | 165,005 | |||||
Unitymedia Finance LLC | |||||||
Term Loan E, 4.46%, (3M LIBOR + 2.00%), 05/24/23 (d) | 100,000 | 96,841 | |||||
Veritas Bermuda Ltd. | |||||||
Term Loan B, 6.89%, (3M LIBOR + 4.50%), 01/27/23 (d) | 12,287 | 10,435 | |||||
5,226,754 | |||||||
Health Care 13.9% | |||||||
Accelerated Health Systems LLC | |||||||
Term Loan B, 5.85%, (3M LIBOR + 3.50%), 11/02/25 (d) | 20,000 | 19,650 | |||||
ADMI Corp. | |||||||
Term Loan B, 5.34%, (3M LIBOR + 3.00%), 04/06/24 (d) | 79,600 | 75,487 | |||||
Air Methods Corp. | |||||||
Term Loan B, 5.89%, (3M LIBOR + 3.50%), 04/12/24 (d) | 35,000 | 27,550 | |||||
Alliance Healthcare Services Inc. | |||||||
Term Loan B, 6.84%, (3M LIBOR + 4.50%), 10/20/23 (d) | 127,547 | 124,783 | |||||
Alphabet Holding Co. Inc. | |||||||
1st Lien Term Loan, 5.84%, (3M LIBOR + 3.50%), 08/15/24 (d) | 64,673 | 57,882 | |||||
Amneal Pharmaceuticals LLC | |||||||
Term Loan B, 5.87%, (3M LIBOR + 3.50%), 03/26/25 (d) | 248,711 | 235,238 | |||||
ATI Holdings Acquisition Inc. | |||||||
Term Loan, 5.96%, (3M LIBOR + 3.50%), 05/10/23 - 05/15/23 (d) | 129,008 | 123,848 | |||||
Catalent Pharma Solutions Inc. | |||||||
Term Loan B, 4.59%, (1M LIBOR + 2.25%), 05/08/21 (d) | 106,967 | 103,625 | |||||
CCS-CMGC Holdings, Inc. | |||||||
1st Lien Term Loan, 7.84%, (3M LIBOR + 5.50%), 09/25/25 (d) | 100,000 | 96,500 | |||||
Change Healthcare Holdings Inc. | |||||||
Term Loan B, 5.09%, (3M LIBOR + 2.75%), 02/02/24 - 02/03/24 (d) | 428,024 | 405,017 | |||||
CHG Healthcare Services Inc. | |||||||
1st Lien Term Loan B, 5.52%, (3M LIBOR + 3.00%), 06/07/23 (d) | 61,117 | 58,519 | |||||
1st Lien Term Loan B, 5.53%, (3M LIBOR + 3.00%), 06/07/23 (d) | 108,883 | 104,256 | |||||
Community Health Systems Inc. | |||||||
Term Loan H, 5.96%, (3M LIBOR + 3.25%), 01/27/21 (d) | 142,002 | 136,222 | |||||
Concentra Inc. | |||||||
1st Lien Term Loan, 5.13%, (3M LIBOR + 2.75%), 06/01/22 (d) | 150,000 | 143,250 | |||||
DaVita Inc. | |||||||
Term Loan B, 5.09%, (1M LIBOR + 2.75%), 06/20/21 (d) | 168,675 | 167,115 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
28
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Diplomat Pharmacy Inc. | |||||||
Term Loan B, 6.85%, (3M LIBOR + 4.50%), 12/31/24 (d) | 37,269 | 36,865 | |||||
DJO Finance LLC | |||||||
Term Loan, 5.59%, (3M LIBOR + 3.25%), 06/27/20 (d) | 94,434 | 93,065 | |||||
Term Loan, 5.65%, (3M LIBOR + 3.25%), 06/27/20 (d) | 94,692 | 93,319 | |||||
Endo Luxembourg Finance Co. I SARL | |||||||
Term Loan B, 6.63%, (3M LIBOR + 4.25%), 04/12/24 (d) | 153,967 | 145,498 | |||||
Envision Healthcare Corp. | |||||||
1st Lien Term Loan, 6.09%, (3M LIBOR + 3.75%), 09/27/25 (d) | 398,000 | 369,997 | |||||
Equian LLC | |||||||
Term Loan B, 5.76%, (3M LIBOR + 3.25%), 05/20/24 (d) | 74,496 | 71,851 | |||||
ExamWorks Group Inc. | |||||||
Term Loan, 5.59%, (1M LIBOR + 3.25%), 07/27/23 (d) | 168,714 | 163,779 | |||||
Gentiva Health Services Inc. | |||||||
1st Lien Term Loan, 6.31%, (3M LIBOR + 3.75%), 06/20/25 (d) | 176,165 | 170,439 | |||||
GHX Ultimate Parent Corp. | |||||||
1st Lien Term Loan, 6.06%, (3M LIBOR + 3.25%), 06/24/24 (d) | 129,018 | 121,492 | |||||
Global Medical Response Inc. | |||||||
Term Loan B-1, 5.68%, (3M LIBOR + 3.25%), 04/28/22 (d) | 168,722 | 157,174 | |||||
Greatbatch Ltd. | |||||||
1st Lien Term Loan B, 5.39%, (3M LIBOR + 3.00%), 10/27/22 (d) | 130,559 | 126,948 | |||||
Jaguar Holding Co. II | |||||||
Term Loan, 4.84%, (3M LIBOR + 2.50%), 08/18/22 (d) | 267,918 | 253,852 | |||||
Kindred Healthcare Inc. | |||||||
1st Lien Term Loan, 7.56%, (3M LIBOR + 5.00%), 06/21/25 (d) (f) | 94,762 | 88,129 | |||||
Kinetic Concepts Inc. | |||||||
Term Loan B, 5.64%, (3M LIBOR + 3.25%), 01/30/24 (d) | 58,994 | 56,560 | |||||
MPH Acquisition Holdings LLC | |||||||
Term Loan B, 5.55%, (3M LIBOR + 2.75%), 06/07/23 (d) | 327,192 | 309,196 | |||||
Ortho-Clinical Diagnostics SA | |||||||
Term Loan B, 5.76%, (3M LIBOR + 3.25%), 06/01/25 (d) | 224,516 | 207,747 | |||||
Term Loan B, 6.06%, (3M LIBOR + 3.25%), 06/01/25 (d) | 61,134 | 56,568 | |||||
Parexel International Corp. | |||||||
Term Loan B, 5.09%, (3M LIBOR + 2.75%), 08/06/24 (d) | 228,416 | 205,860 | |||||
PharMerica Corp. | |||||||
1st Lien Term Loan, 5.96%, (3M LIBOR + 3.50%), 09/25/24 (d) | 168,725 | 160,571 | |||||
Prestige Brands Inc. | |||||||
Term Loan B-4, 4.34%, (3M LIBOR + 2.00%), 01/20/24 (d) | 94,048 | 90,320 | |||||
Prospect Medical Holdings Inc. | |||||||
Term Loan B, 7.94%, (3M LIBOR + 5.50%), 02/12/24 (d) | 169,150 | 166,613 | |||||
Radiology Partners Holdings LLC | |||||||
1st Lien Term Loan B, 6.66%, (3M LIBOR + 4.25%), 06/28/25 (d) | 18,750 | 18,328 | |||||
1st Lien Term Loan B, 6.87%, (3M LIBOR + 4.25%), 06/28/25 (d) | 18,750 | 18,328 | |||||
RadNet Inc. | |||||||
Term Loan, 6.19%, (3M LIBOR + 3.75%), 06/30/23 (d) | 72,288 | 71,204 | |||||
RegionalCare Hospital Partners Holdings Inc. | |||||||
Term Loan B, 7.13%, (3M LIBOR + 4.50%), 11/09/25 (d) | 167,000 | 158,024 | |||||
Select Medical Corp. | |||||||
Term Loan B, 7.00%, (3M PRIME + 1.50%), 02/13/24 (d) | 131 | 125 | |||||
Term Loan B, 4.96%, (3M LIBOR + 2.50%), 06/30/24 (d) | 168,581 | 160,995 | |||||
Shares/Par1 | Value ($) | ||||||
Sound Inpatient Physicians | |||||||
1st Lien Term Loan, 5.27%, (3M LIBOR + 2.75%), 06/19/25 (d) | 136,812 | 131,084 | |||||
Surgery Center Holdings Inc. | |||||||
Term Loan B, 5.60%, (3M LIBOR + 3.25%), 06/18/24 (d) | 168,719 | 160,178 | |||||
Team Health Holdings Inc. | |||||||
1st Lien Term Loan, 5.09%, (3M LIBOR + 2.75%), 01/12/24 (d) | 228,584 | 203,726 | |||||
U.S. Anesthesia Partners Inc. | |||||||
Term Loan, 5.34%, (3M LIBOR + 3.00%), 06/16/24 (d) | 148,992 | 142,064 | |||||
U.S. Renal Care Inc. | |||||||
1st Lien Term Loan, 6.64%, (3M LIBOR + 4.25%), 11/17/22 (d) | 168,696 | 160,177 | |||||
Universal Health Services Inc. | |||||||
Term Loan, 0.00%, (3M LIBOR + 3.00%), 10/10/25 (d) (e) (f) | 63,000 | 60,795 | |||||
Valeant Pharmaceuticals International Inc. | |||||||
Term Loan B, 5.38%, (3M LIBOR + 3.00%), 05/19/25 (d) | 274,312 | 261,436 | |||||
Verscend Holding Corp. | |||||||
Term Loan B, 7.02%, (3M LIBOR + 4.50%), 08/08/25 (d) | 189,525 | 182,892 | |||||
Vizient Inc. | |||||||
Term Loan B-4, 5.09%, (3M LIBOR + 2.75%), 02/13/23 (d) | 50,000 | 48,541 | |||||
6,802,682 | |||||||
Industrials 11.6% | |||||||
Accudyne Industries LLC | |||||||
Term Loan, 5.34%, (3M LIBOR + 3.00%), 08/02/24 (d) | 151,776 | 143,656 | |||||
AI Mistral Holdco Ltd. | |||||||
Term Loan B, 5.34%, (3M LIBOR + 3.00%), 01/26/24 (d) | 114,418 | 107,267 | |||||
Altran Technologies SA | |||||||
Term Loan B, 5.04%, (3M LIBOR + 2.25%), 01/31/25 (d) | 59,699 | 58,431 | |||||
Avolon LLC | |||||||
Term Loan B-3, 4.47%, (3M LIBOR + 2.00%), 01/15/25 (d) | 156,508 | 150,118 | |||||
Brand Energy & Infrastructure Services Inc. | |||||||
Term Loan, 6.73%, (3M LIBOR + 4.25%), 06/16/24 - 06/17/24 (d) | 126,042 | 119,407 | |||||
Term Loan, 6.76%, (3M LIBOR + 4.25%), 06/17/24 (d) | 37,649 | 35,667 | |||||
Brickman Group Ltd. LLC | |||||||
1st Lien Term Loan B, 4.88%, (3M LIBOR + 2.50%), 08/09/25 (d) | 57,783 | 55,038 | |||||
1st Lien Term Loan B, 5.00%, (3M LIBOR + 2.50%), 08/15/25 (d) | 68,582 | 65,325 | |||||
Brookfield WEC Holdings Inc. | |||||||
1st Lien Term Loan, 6.27%, (3M LIBOR + 3.75%), 07/26/25 (d) | 225,000 | 217,487 | |||||
Builders FirstSource Inc. | |||||||
Term Loan B, 5.39%, (3M LIBOR + 3.00%), 02/29/24 (d) | 99,490 | 92,916 | |||||
Cortes NP Acquisition Corp. | |||||||
Term Loan B, 6.71%, (3M LIBOR + 4.00%), 11/30/23 (d) | 250,000 | 226,250 | |||||
DAE Aviation Holdings Inc. | |||||||
1st Lien Term Loan, 6.09%, (3M LIBOR + 3.75%), 06/25/22 (d) | 144,754 | 142,764 | |||||
DG Investment Intermediate Holdings 2 Inc. | |||||||
1st Lien Term Loan, 5.34%, (3M LIBOR + 3.00%), 01/31/25 (d) | 99,291 | 93,830 | |||||
Electrical Components International Inc. | |||||||
1st Lien Term Loan, 6.64%, (3M LIBOR + 4.25%), 06/22/25 (d) | 62,187 | 60,011 | |||||
Element Materials Technology Group US Holdings Inc. | |||||||
Term Loan B, 5.84%, (1M LIBOR + 3.50%), 06/28/24 - 06/29/24 (d) | 79,598 | 78,006 | |||||
Engineered Machinery Holdings Inc. | |||||||
1st Lien Term Loan, 5.64%, (3M LIBOR + 3.25%), 07/25/24 (d) | 59,699 | 57,534 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
29
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
EWT Holdings III Corp. | |||||||
Term Loan, 5.34%, (1M LIBOR + 3.00%), 12/13/24 (d) | 64,673 | 62,652 | |||||
Filtration Group Corp. | |||||||
1st Lien Term Loan, 5.52%, (3M LIBOR + 3.00%), 03/27/25 (d) | 168,725 | 162,258 | |||||
Gardner Denver Inc. | |||||||
Term Loan B, 5.09%, (1M LIBOR + 2.75%), 07/30/24 (d) | 126,608 | 121,979 | |||||
Gates Global LLC | |||||||
Term Loan B, 5.09%, (3M LIBOR + 2.75%), 04/01/24 (d) | 267,965 | 253,980 | |||||
GFL Environmental Inc. | |||||||
Term Loan B, 5.39%, (3M LIBOR + 3.00%), 05/11/25 (d) | 150,460 | 140,003 | |||||
Term Loan B, 5.55%, (3M LIBOR + 3.00%), 05/30/25 (d) | 18,785 | 17,479 | |||||
Harbor Freight Tools USA Inc. | |||||||
Term Loan B, 4.84%, (3M LIBOR + 2.50%), 08/16/23 (d) | 98,660 | 92,834 | |||||
Hillman Group Inc. | |||||||
Term Loan B, 6.34%, (1M LIBOR + 4.00%), 05/16/25 (d) | 119,400 | 113,131 | |||||
IBC Capital Ltd. | |||||||
1st Lien Term Loan, 6.55%, (3M LIBOR + 3.75%), 09/11/23 (d) | 37,219 | 35,777 | |||||
Janus International Group LLC | |||||||
1st Lien Term Loan, 5.34%, (3M LIBOR + 3.00%), 02/07/25 (d) | 92,205 | 88,978 | |||||
L&W Inc. | |||||||
Term Loan B, 6.51%, (1M LIBOR + 4.00%), 05/18/25 (d) (f) | 99,500 | 96,515 | |||||
Milacron LLC | |||||||
Term Loan B, 4.84%, (3M LIBOR + 2.50%), 09/23/23 (d) | 160,423 | 149,995 | |||||
Minimax GmbH & Co. KG | |||||||
Term Loan B-1C, 5.34%, (3M LIBOR + 3.00%), 06/18/25 (d) | 74,625 | 72,200 | |||||
Navistar Financial Corp. | |||||||
Term Loan B, 6.13%, (1M LIBOR + 3.75%), 07/25/25 (d) | 224,437 | 214,338 | |||||
Pelican Products Inc. | |||||||
1st Lien Term Loan, 5.88%, (3M LIBOR + 3.50%), 04/18/25 (d) | 99,500 | 94,027 | |||||
Pike Corp. | |||||||
Term Loan B, 6.03%, (3M LIBOR + 3.50%), 03/13/25 (d) | 94,344 | 92,182 | |||||
PODS LLC | |||||||
1st Lien Term Loan, 5.18%, (3M LIBOR + 2.75%), 11/21/24 (d) | 99,246 | 94,863 | |||||
Prime Security Services Borrower LLC | |||||||
1st Lien Term Loan, 5.09%, (3M LIBOR + 2.75%), 05/02/22 (d) | 387,705 | 368,707 | |||||
Reece Ltd. | |||||||
Term Loan B, 4.40%, (3M LIBOR + 2.00%), 06/01/25 (d) | 74,625 | 71,267 | |||||
Robertshaw US Holding Corp. | |||||||
1st Lien Term Loan, 6.06%, (3M LIBOR + 3.50%), 02/14/25 (d) | 99,250 | 90,069 | |||||
Spectrum Holdings III Corp. | |||||||
1st Lien Term Loan, 5.59%, (3M LIBOR + 3.25%), 01/26/25 (d) | 90,317 | 85,802 | |||||
Tempo Acquisition LLC | |||||||
Term Loan, 5.34%, (3M LIBOR + 3.00%), 04/20/24 (d) | 307,758 | 293,909 | |||||
Titan Acquisition Ltd. | |||||||
Term Loan B, 5.52%, (3M LIBOR + 3.00%), 03/16/25 (d) | 203,550 | 185,653 | |||||
Trans Union LLC | |||||||
Term Loan B-3, 4.34%, (3M LIBOR + 2.00%), 04/09/23 (d) | 163,558 | 157,015 | |||||
TransDigm Inc. | |||||||
Term Loan G, 4.84%, (3M LIBOR + 2.50%), 08/22/24 (d) | 198,496 | 186,906 | |||||
Term Loan E, 4.84%, (3M LIBOR + 2.50%), 05/14/25 (d) | 119,398 | 112,403 | |||||
Shares/Par1 | Value ($) | ||||||
USI Inc. | |||||||
Term Loan, 5.39%, (3M LIBOR + 3.00%), 05/16/24 (d) | 198,742 | 187,066 | |||||
USIC Holdings Inc. | |||||||
Term Loan B, 5.77%, (3M LIBOR + 3.25%), 12/09/23 (d) | 89,290 | 84,602 | |||||
VC GB Holdings Inc. | |||||||
1st Lien Term Loan, 5.34%, (3M LIBOR + 3.00%), 02/28/24 (d) | 59,708 | 56,126 | |||||
West Corp. | |||||||
Term Loan, 6.53%, (3M LIBOR + 4.00%), 10/03/24 (d) | 198,571 | 181,817 | |||||
5,668,240 | |||||||
Information Technology 15.0% | |||||||
Almonde Inc. | |||||||
1st Lien Term Loan, 6.30%, (3M LIBOR + 3.50%), 04/26/24 (d) | 321,114 | 298,407 | |||||
2nd Lien Term Loan, 10.05%, (3M LIBOR + 7.25%), 04/27/25 (d) | 50,000 | 45,893 | |||||
Ancestry.com Operations Inc. | |||||||
1st Lien Term Loan, 5.60%, (1M LIBOR + 3.25%), 10/19/23 (d) | 302,579 | 288,585 | |||||
Applied Systems Inc. | |||||||
1st Lien Term Loan, 5.39%, (3M LIBOR + 3.00%), 09/06/24 (d) | 168,719 | 160,423 | |||||
AppLovin Corp. | |||||||
Term Loan B, 6.19%, (3M LIBOR + 3.75%), 07/13/26 (d) | 86,000 | 84,280 | |||||
Avast Software BV | |||||||
Term Loan B, 4.89%, (3M LIBOR + 2.50%), 09/30/23 (d) | 96,250 | 92,929 | |||||
Avaya Inc. | |||||||
Term Loan B, 6.69%, (3M LIBOR + 4.25%), 12/14/24 (d) | 95,960 | 92,481 | |||||
Term Loan B, 6.71%, (3M LIBOR + 4.25%), 12/14/24 (d) | 157,634 | 151,920 | |||||
Blackhawk Network Holdings Inc. | |||||||
1st Lien Term Loan, 5.52%, (3M LIBOR + 3.00%), 05/31/25 (d) | 114,425 | 108,633 | |||||
BMC Software Finance Inc. | |||||||
Term Loan B, 7.05%, (3M LIBOR + 4.25%), 06/30/25 (d) | 217,500 | 209,276 | |||||
Brave Parent Holdings Inc. | |||||||
1st Lien Term Loan, 6.39%, (3M LIBOR + 4.00%), 04/17/25 (d) | 49,875 | 48,004 | |||||
Camelot UK Holdco Ltd. | |||||||
Term Loan, 5.59%, (1M LIBOR + 3.25%), 10/03/23 (d) | 11,677 | 11,093 | |||||
Cvent Inc. | |||||||
1st Lien Term Loan, 6.27%, (3M LIBOR + 3.75%), 11/30/24 (d) (f) | 99,374 | 94,903 | |||||
Cypress Intermediate Holdings III Inc. | |||||||
1st Lien Term Loan, 5.35%, (1M LIBOR + 3.00%), 03/30/24 (d) | 168,715 | 159,858 | |||||
Dell International LLC | |||||||
Term Loan B, 4.35%, (3M LIBOR + 2.00%), 09/07/23 (d) | 268,643 | 257,675 | |||||
DigiCert Inc. | |||||||
Term Loan B-1, 6.34%, (3M LIBOR + 4.00%), 09/19/24 (d) | 169,151 | 165,205 | |||||
DTI Holdco Inc. | |||||||
Term Loan B, 7.28%, (1M LIBOR + 4.75%), 09/29/23 (d) | 99,238 | 92,539 | |||||
Dynatrace LLC | |||||||
1st Lien Term Loan, 5.77%, (3M LIBOR + 3.25%), 08/08/25 (d) | 83,000 | 80,199 | |||||
EVO Payments International LLC | |||||||
1st Lien Term Loan, 5.76%, (3M LIBOR + 3.25%), 12/22/23 (d) | 93,949 | 90,504 | |||||
First Data Corp. | |||||||
Term Loan, 4.50%, (1M LIBOR + 2.00%), 04/26/24 (d) | 400,000 | 381,200 | |||||
Global Tel*Link Corp. | |||||||
1st Lien Term Loan, 6.96%, (1M LIBOR + 4.25%), 11/29/25 (d) | 149,417 | 145,184 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
30
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
GlobalLogic Holdings Inc. | |||||||
1st Lien Term Loan, 5.59%, (3M LIBOR + 3.25%), 07/27/25 (d) | 87,281 | 84,008 | |||||
Go Daddy Operating Co. LLC | |||||||
Term Loan, 4.59%, (3M LIBOR + 2.25%), 02/15/24 (d) | 168,714 | 160,784 | |||||
Infor US Inc. | |||||||
Term Loan B-6, 5.14%, (3M LIBOR + 2.75%), 02/07/22 (d) | 197,411 | 188,867 | |||||
Information Resources Inc. | |||||||
1st Lien Term Loan, 7.02%, (3M LIBOR + 4.50%), 11/06/25 (d) | 210,000 | 204,225 | |||||
Kronos Inc. | |||||||
Term Loan B, 5.39%, (3M LIBOR + 3.00%), 11/01/23 (d) | 599 | 568 | |||||
Term Loan B, 5.54%, (3M LIBOR + 3.00%), 11/01/23 (d) | 238,300 | 225,987 | |||||
Lumentum Holdings | |||||||
1st Lien Term Loan, 4.89%, (3M LIBOR + 2.50%), 08/08/25 (d) | 22,000 | 21,175 | |||||
MA FinanceCo. LLC | |||||||
Term Loan B-3, 4.84%, (3M LIBOR + 2.50%), 04/19/24 (d) | 32,083 | 29,811 | |||||
McAfee LLC | |||||||
Term Loan B, 6.10%, (3M LIBOR + 3.75%), 09/30/24 (d) | 196,521 | 190,708 | |||||
MH Sub I LLC | |||||||
1st Lien Term Loan, 6.25%, (3M LIBOR + 3.75%), 08/09/24 (d) | 198,742 | 188,060 | |||||
MLN US HoldCo LLC | |||||||
1st Lien Term Loan, 0.00%, (3M LIBOR + 4.50%), 07/13/25 (d) (e) | 10,000 | 9,669 | |||||
1st Lien Term Loan, 7.02%, (3M LIBOR + 4.50%), 07/13/25 (d) | 65,000 | 62,847 | |||||
NaviHealth Inc. | |||||||
Term Loan B, 7.38%, (3M LIBOR + 5.00%), 08/01/25 (d) (f) | 90,000 | 84,600 | |||||
NeuStar Inc. | |||||||
Term Loan B-4, 5.84%, (3M LIBOR + 3.50%), 08/08/24 (d) | 198,492 | 190,305 | |||||
PowerSchool | |||||||
Term Loan B, 5.63%, (3M LIBOR + 3.25%), 06/15/25 (d) (f) | 125,000 | 118,125 | |||||
Presidio Inc. | |||||||
Term Loan B, 5.09%, (3M LIBOR + 2.75%), 02/02/24 (d) | 1,524 | 1,461 | |||||
Term Loan B, 5.15%, (3M LIBOR + 2.75%), 02/02/24 (d) | 119,914 | 114,917 | |||||
PSAV Holdings LLC | |||||||
1st Lien Term Loan, 5.59%, (3M LIBOR + 3.25%), 02/23/25 (d) | 49,831 | 47,090 | |||||
1st Lien Term Loan, 5.63%, (3M LIBOR + 3.25%), 02/23/25 (d) | 27,785 | 26,257 | |||||
1st Lien Term Loan, 5.96%, (3M LIBOR + 3.25%), 02/23/25 (d) | 25,863 | 24,441 | |||||
Rackspace Hosting Inc. | |||||||
Incremental 1st Lien Term Loan, 5.58%, (1M LIBOR + 3.00%), 11/03/23 (d) | 238,788 | 210,133 | |||||
Radiate Holdco LLC | |||||||
1st Lien Term Loan, 5.52%, (3M LIBOR + 3.00%), 12/09/23 (d) | 178,837 | 168,302 | |||||
Refinitiv US Holdings Inc. | |||||||
Term Loan, 6.27%, (3M LIBOR + 3.75%), 09/12/25 (d) | 305,000 | 289,750 | |||||
Riverbed Technology Inc. | |||||||
Term Loan, 5.60%, (3M LIBOR + 3.25%), 04/22/22 (d) | 170,000 | 159,982 | |||||
Rocket Software Inc. | |||||||
Term Loan , 6.75%, (3M LIBOR + 4.25%), 11/20/25 (d) | 120,000 | 117,300 | |||||
Seattle Spinco Inc. | |||||||
Term Loan B-3, 4.84%, (3M LIBOR + 2.50%), 04/19/24 (d) | 216,664 | 201,318 | |||||
Sirius Computer Solutions Inc. | |||||||
Term Loan, 6.77%, (3M LIBOR + 4.25%), 10/30/22 (d) | 115,731 | 113,850 | |||||
Shares/Par1 | Value ($) | ||||||
Skillsoft Corp. | |||||||
1st Lien Term Loan, 7.09%, (1M LIBOR + 4.75%), 04/22/21 (d) | 99,483 | 80,166 | |||||
Sophia LP | |||||||
Term Loan B, 6.05%, (1M LIBOR + 3.25%), 09/30/22 (d) | 168,692 | 162,124 | |||||
SS&C Technologies Holdings Europe SARL | |||||||
Term Loan B-4, 4.59%, (3M LIBOR + 2.25%), 02/27/25 (d) | 83,875 | 78,962 | |||||
SS&C Technologies Inc. | |||||||
Term Loan B-3, 4.59%, (3M LIBOR + 2.25%), 02/27/25 (d) | 221,122 | 208,171 | |||||
SurveyMonkey Inc. | |||||||
Term Loan B, 6.10%, (3M LIBOR + 3.75%), 10/10/25 (d) (f) | 73,703 | 71,492 | |||||
TriTech Software Systems | |||||||
Term Loan B, 6.09%, (3M LIBOR + 3.75%), 08/16/25 (d) | 90,000 | 87,862 | |||||
VeriFone Inc. | |||||||
1st Lien Term Loan, 6.64%, (3M LIBOR + 4.00%), 08/09/25 (d) | 180,000 | 173,507 | |||||
Veritas Bermuda Ltd. | |||||||
Term Loan B, 6.84%, (3M LIBOR + 4.50%), 01/27/23 (d) | 37,460 | 31,815 | |||||
Vertafore Inc. | |||||||
1st Lien Term Loan, 6.05%, (3M LIBOR + 3.25%), 06/04/25 (d) | 56,250 | 53,314 | |||||
WEX Inc. | |||||||
Term Loan B-2, 4.59%, (3M LIBOR + 2.25%), 06/30/24 (d) | 99,237 | 95,231 | |||||
7,336,375 | |||||||
Materials 10.3% | |||||||
American Builders & Contractors Supply Co. Inc. | |||||||
Term Loan B, 4.34%, (3M LIBOR + 2.00%), 10/31/23 (d) | 129,015 | 122,473 | |||||
Avantor Inc. | |||||||
1st Lien Term Loan, 6.57%, (3M LIBOR + 3.75%), 09/22/24 (d) | 188,844 | 182,549 | |||||
Ball Metalpack Finco LLC | |||||||
1st Lien Term Loan B, 6.84%, (3M LIBOR + 4.50%), 07/25/25 (d) (f) | 99,500 | 96,266 | |||||
Berry Global Inc. | |||||||
Term Loan S, 4.14%, (3M LIBOR + 1.75%), 02/02/20 (d) | 113,750 | 111,606 | |||||
BOYD Corp. | |||||||
1st Lien Term Loan, 6.02%, (3M LIBOR + 3.50%), 08/15/25 (d) | 119,700 | 112,419 | |||||
BWAY Holding Co. | |||||||
Term Loan B, 5.66%, (3M LIBOR + 3.25%), 04/03/24 (d) | 337,859 | 317,023 | |||||
Caraustar Industries Inc. | |||||||
Term Loan B, 7.89%, (3M LIBOR + 5.50%), 03/09/22 (d) | 79,595 | 78,799 | |||||
Composite Resins Holding BV | |||||||
Term Loan B, 6.83%, (3M LIBOR + 4.25%), 06/27/25 (d) (f) | 64,676 | 62,897 | |||||
Consolidated Container Co. LLC | |||||||
1st Lien Term Loan, 5.09%, (1M LIBOR + 2.75%), 05/10/24 - 05/22/24 (d) | 129,022 | 123,001 | |||||
Cyanco Intermediate Corp. | |||||||
Term Loan B, 5.85%, (1M LIBOR + 3.50%), 03/07/25 (d) | 29,775 | 28,708 | |||||
Emerald Performance Materials LLC | |||||||
1st Lien Term Loan, 5.84%, (1M LIBOR + 3.50%), 07/23/21 (d) | 49,707 | 47,967 | |||||
Flex Acquisition Co. Inc. | |||||||
1st Lien Term Loan, 5.35%, (3M LIBOR + 3.00%), 12/15/23 (d) | 169,141 | 159,133 | |||||
GYP Holdings III Corp. | |||||||
Term Loan B, 5.09%, (3M LIBOR + 2.75%), 05/15/25 (d) | 94,525 | 88,853 | |||||
Houghton International Inc. | |||||||
Term Loan B, 5.59%, (1M LIBOR + 3.25%), 12/13/19 (d) | 59,683 | 59,086 | |||||
Invictus U.S. LLC | |||||||
1st Lien Term Loan, 5.50%, (3M LIBOR + 3.00%), 02/14/25 (d) | 59,699 | 58,008 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
31
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Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
2nd Lien Term Loan, 9.25%, (3M LIBOR + 6.75%), 02/15/26 (d) | 40,000 | 39,900 | |||||
Klockner-Pentaplast of America Inc. | |||||||
Term Loan B-2, 6.77%, (3M LIBOR + 4.25%), 06/30/22 (d) | 198,492 | 160,779 | |||||
Kraton Polymers LLC | |||||||
Term Loan, 4.84%, (3M LIBOR + 2.50%), 03/03/25 (d) | 148,513 | 143,780 | |||||
MacDermid Inc. | |||||||
Term Loan B-6, 5.34%, (3M LIBOR + 3.00%), 06/07/23 (d) | 100,000 | 99,250 | |||||
Messer Industries GmbH | |||||||
Term Loan, 0.00%, (3M LIBOR + 2.50%), 09/19/25 (d) (e) | 121,000 | 114,547 | |||||
Nexeo Solutions LLC | |||||||
Term Loan, 5.64%, (3M LIBOR + 3.25%), 06/09/23 (d) | 32,049 | 31,408 | |||||
Term Loan, 5.78%, (3M LIBOR + 3.25%), 06/09/23 (d) | 33,957 | 33,278 | |||||
Term Loan, 5.96%, (3M LIBOR + 3.25%), 06/09/23 (d) | 33,490 | 32,820 | |||||
OCI Beaumont LLC | |||||||
Term Loan, 6.39%, (3M LIBOR + 4.00%), 02/14/25 (d) | 49,749 | 48,692 | |||||
Onex TSG Holdings II Corp. | |||||||
1st Lien Term Loan, 6.34%, (3M LIBOR + 4.00%), 07/31/22 (d) | 50,000 | 47,500 | |||||
Platform Specialty Products Corp. | |||||||
Term Loan, 0.00%, (3M LIBOR + 2.25%), 11/14/25 (d) (e) | 80,000 | 77,500 | |||||
Polymer Additives Inc. | |||||||
1st Lien Term Loan, 8.35%, (3M LIBOR + 6.00%), 07/25/25 (d) (f) | 100,000 | 90,000 | |||||
PQ Corp. | |||||||
Term Loan B, 5.03%, (3M LIBOR + 2.50%), 02/08/25 (d) | 155,697 | 147,133 | |||||
Prince Minerals Inc. | |||||||
1st Lien Term Loan, 6.09%, (3M LIBOR + 3.50%), 03/20/25 (d) | 15,809 | 14,386 | |||||
Pro Mach Group Inc. | |||||||
Term Loan B, 5.43%, (3M LIBOR + 3.00%), 03/07/25 (d) | 129,025 | 122,305 | |||||
Proampac PG Borrower LLC | |||||||
1st Lien Term Loan, 0.00%, (3M LIBOR + 3.50%), 11/18/23 (d) (e) | — | — | |||||
1st Lien Term Loan, 5.98%, (3M LIBOR + 3.50%), 11/18/23 (d) | 75,813 | 72,212 | |||||
1st Lien Term Loan, 6.02%, (3M LIBOR + 3.50%), 11/18/23 (d) | 34,116 | 32,495 | |||||
1st Lien Term Loan, 6.08%, (3M LIBOR + 3.50%), 11/18/23 (d) | 37,755 | 35,962 | |||||
1st Lien Term Loan, 6.09%, (3M LIBOR + 3.50%), 11/18/23 (d) | 14,368 | 13,686 | |||||
1st Lien Term Loan, 6.14%, (3M LIBOR + 3.50%), 11/18/23 (d) | 46,453 | 44,247 | |||||
1st Lien Term Loan, 7.75%, (3M LIBOR + 3.50%), 11/18/23 (d) | 532 | 507 | |||||
Quikrete Holdings Inc. | |||||||
1st Lien Term Loan, 5.09%, (3M LIBOR + 2.75%), 11/03/23 (d) | 255,000 | 242,411 | |||||
Reynolds Group Holdings Inc. | |||||||
Term Loan, 5.09%, (3M LIBOR + 2.75%), 02/05/23 (d) | 451,682 | 429,098 | |||||
Schenectady International Group Inc. | |||||||
1st Lien Term Loan, 7.19%, (3M LIBOR + 4.75%), 08/21/25 (d) (f) | 180,000 | 172,800 | |||||
Solenis International LP | |||||||
1st Lien Term Loan, 6.71%, (3M LIBOR + 4.00%), 12/18/25 (d) | 62,187 | 60,011 | |||||
Starfruit Finco BV | |||||||
Term Loan B, 5.60%, (3M LIBOR + 3.25%), 09/20/25 (d) | 192,000 | 183,360 | |||||
TricorBraun Holdings Inc. | |||||||
1st Lien Term Loan, 6.14%, (3M LIBOR + 3.75%), 11/29/23 (d) | 194,715 | 190,334 | |||||
1st Lien Delayed Draw Term Loan, 6.54%, (3M LIBOR + 3.75%), 11/30/23 (d) | 19,621 | 19,179 | |||||
Shares/Par1 | Value ($) | ||||||
1st Lien Delayed Draw Term Loan, 8.00%, (3M PRIME + 2.75%), 11/30/23 (d) | 50 | 49 | |||||
Trident TPI Holdings Inc. | |||||||
Term Loan B-1, 5.59%, (3M LIBOR + 3.25%), 10/05/24 (d) | 49,624 | 46,523 | |||||
Trinseo Materials Operating SCA | |||||||
Term Loan, 4.34%, (3M LIBOR + 2.00%), 09/06/24 (d) | 99,246 | 94,408 | |||||
Tronox Blocked Borrower LLC | |||||||
Term Loan B, 5.34%, (3M LIBOR + 3.00%), 09/15/24 (d) | 51,009 | 49,406 | |||||
Tronox Finance LLC | |||||||
Term Loan B, 5.34%, (3M LIBOR + 3.00%), 09/11/24 (d) | 117,713 | 114,013 | |||||
Univar Inc. | |||||||
Term Loan B, 4.59%, (3M LIBOR + 2.25%), 07/01/24 (d) | 211,039 | 201,437 | |||||
Venator Materials Corp. | |||||||
Term Loan B, 5.34%, (1M LIBOR + 3.00%), 06/28/24 (d) | 39,798 | 37,958 | |||||
Wilsonart LLC | |||||||
Term Loan B, 5.64%, (3M LIBOR + 3.25%), 12/19/23 (d) | 158,941 | 151,690 | |||||
5,043,852 | |||||||
Real Estate 1.0% | |||||||
Capital Automotive LP | |||||||
1st Lien Term Loan, 4.85%, (1M LIBOR + 2.50%), 03/21/24 (d) | 198,990 | 190,732 | |||||
2nd Lien Term Loan, 8.52%, (3M LIBOR + 6.00%), 03/21/25 (d) | 123,522 | 121,592 | |||||
MGM Growth Properies Operating Partnership LP | |||||||
Term Loan B, 4.34%, (3M LIBOR + 2.00%), 04/20/23 (d) | 99,235 | 94,805 | |||||
VICI Properties 1 LLC | |||||||
Term Loan B, 4.50%, (3M LIBOR + 2.00%), 12/13/24 (d) | 100,000 | 95,266 | |||||
502,395 | |||||||
Utilities 0.9% | |||||||
Calpine Corp. | |||||||
Term Loan B-5, 4.89%, (3M LIBOR + 2.50%), 05/23/22 (d) | 158,561 | 150,360 | |||||
NEP/NCP Holdco Inc. | |||||||
1st Lien Term Loan, 5.77%, (3M LIBOR + 3.25%), 10/05/25 (d) | 120,000 | 114,676 | |||||
Vistra Energy Corp. | |||||||
1st Lien Term Loan B-3, 4.34%, (3M LIBOR + 2.00%), 12/11/25 (d) | 52,659 | 50,560 | |||||
1st Lien Term Loan B-3, 4.46%, (3M LIBOR + 2.00%), 12/11/25 (d) | 146,341 | 140,508 | |||||
456,104 | |||||||
Total Senior Loan Interests (cost $49,015,261) | 46,507,475 | ||||||
INVESTMENT COMPANIES 0.1% | |||||||
Eaton Vance Senior Floating-Rate Trust | 900 | 11,295 | |||||
Invesco Senior Income Trust | 3,500 | 13,685 | |||||
Voya Prime Rate Trust | 3,080 | 13,829 | |||||
Total Investment Companies (cost $42,453) | 38,809 | ||||||
SHORT TERM INVESTMENTS 2.4% | |||||||
Investment Companies 2.1% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.29% (i) | 1,008,284 | 1,008,284 | |||||
Securities Lending Collateral 0.3% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% (i) | 143,850 | 143,850 | |||||
Total Short Term Investments (cost $1,152,134) | 1,152,134 | ||||||
Total Investments 101.0% (cost $52,074,423) | 49,431,570 | ||||||
Other Derivative Instruments (0.0)% | (2,312) | ||||||
Other Assets and Liabilities, Net (1.0)% | (500,101) | ||||||
Total Net Assets 100.0% | 48,929,157 |
(a) The Fund had an unfunded commitment at December 31, 2018. See Unfunded Commitments in the Schedules of Investments.
(b) The Adviser has deemed this security which is exempt from registration under the Securities Act of 1933, as amended, to be liquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited. As of December 31, 2018, the value and the percentage of net assets of these
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
32
PPMFunds
Schedules of Investments
December 31, 2018
liquid securities were $854,562 and 1.7%, respectively.
(c) All or a portion of the security was on loan as of December 31, 2018.
(d) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are presented. Certain variable rate securities do not indicate a reference rate and spread because they are determined by the issuer, remarketing agent, or offering documents and are based on current market conditions. The coupon rate for securities with certain features outlined in the offering documents may vary from the stated reference rate and spread. This includes, but is not limited to, securities with deferred rates, contingent distributions, caps, floors, and fixed-rate to float-rate features. In addition, variable rates for government and agency collateralized mortgage obligations (“CMO”) and mortgage-backed securities (“MBS”) are determined by tranches of underlying mortgage-backed security pools’ cash flows into securities and pass-through rates which reflects the rate earned on the asset pool after management and guarantee fees are paid to the securitizing corporation. CMO and MBS variable rates are determined by a formula set forth in the security’s offering documents.
(e) This senior loan will settle after December 31, 2018. The reference rate and spread presented will go into effect upon settlement.
(f) Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the PPM Funds' Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(g) Non-income producing security.
(h) Issuer was in bankruptcy and/or was in default relating to principal and/or interest. Partial or no payments were paid on the last interest or dividend date.
(i) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2018.
Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
GlobalLogic Holdings Inc. – Delayed Draw Term Loan | 12,438 | (406) | ||||
Mavis Tire Express Services Corp. – Delayed Draw Term Loan* | 26,958 | (935) | ||||
39,396 | (1,341) |
* Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the PPM Funds’ Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
PPM Floating Rate Income Fund — Futures Contracts | ||||||||||||||||
Reference Entity | Contracts Long (Short)1 | Expiration | Notional 1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | |||||||||||
U.S. Treasury Note, 10-Year | (4) | March 2019 | (477,751) | (1,562) | (10,311) | |||||||||||
U.S. Treasury Note, 5-Year | (3) | March 2019 | (338,859) | (750) | (5,204) | |||||||||||
(2,312) | (15,515) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
33
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
PPM High Yield Core Fund | |||||||
COMMON STOCKS 2.7% | |||||||
Consumer Discretionary 0.5% | |||||||
Frontdoor Inc. (a) | 1,000 | 26,610 | |||||
MGM Resorts International | 3,000 | 72,780 | |||||
Michaels Cos. Inc. (a) (b) | 5,000 | 67,700 | |||||
ServiceMaster Global Holdings Inc. (a) | 2,000 | 73,480 | |||||
240,570 | |||||||
Consumer Staples 0.1% | |||||||
B&G Foods Inc. (b) | 2,500 | 72,275 | |||||
Energy 0.6% | |||||||
Chaparral Energy Inc. - Class A (a) | 16,675 | 82,041 | |||||
MPLX LP | 2,200 | 66,660 | |||||
Summit Midstream Partners LP | 5,000 | 50,250 | |||||
Williams Cos. Inc. | 2,988 | 65,885 | |||||
264,836 | |||||||
Financials 0.5% | |||||||
JPMorgan Chase & Co. | 2,500 | 244,050 | |||||
Health Care 0.2% | |||||||
Bausch Health Cos. Inc. (a) | 4,200 | 77,574 | |||||
Industrials 0.1% | |||||||
Builders FirstSource Inc. (a) | 5,000 | 54,550 | |||||
Materials 0.7% | |||||||
Freeport-McMoRan Inc. - Class B | 6,700 | 69,077 | |||||
Huntsman Corp. | 6,000 | 115,740 | |||||
LyondellBasell Industries NV - Class A | 1,800 | 149,688 | |||||
334,505 | |||||||
Total Common Stocks (cost $1,885,736) | 1,288,360 | ||||||
PREFERRED STOCKS 0.1% | |||||||
Financials 0.1% | |||||||
Morgan Stanley - Series K, 5.85%, (callable at 25 beginning 04/15/27) (c) | 3,000 | 72,840 | |||||
Total Preferred Stocks (cost $77,790) | 72,840 | ||||||
CORPORATE BONDS AND NOTES 82.5% | |||||||
Communication Services 14.4% | |||||||
Altice Luxembourg SA | |||||||
8.13%, 02/01/27 (d) | 200,000 | 188,500 | |||||
AMC Entertainment Holdings Inc. | |||||||
6.13%, 05/15/27 | 169,000 | 144,636 | |||||
CB Escrow Corp. | |||||||
8.00%, 10/15/25 (d) | 267,000 | 221,564 | |||||
CCO Holdings LLC | |||||||
5.13%, 02/15/23 - 05/01/27 | 726,000 | 683,161 | |||||
5.88%, 05/01/27 (d) | 200,000 | 194,633 | |||||
CenturyLink Inc. | |||||||
5.63%, 04/01/25 | 333,000 | 293,412 | |||||
DISH DBS Corp. | |||||||
5.13%, 05/01/20 | 150,000 | 148,946 | |||||
5.00%, 03/15/23 | 175,000 | 144,135 | |||||
Frontier Communications Corp. | |||||||
11.00%, 09/15/25 | 300,000 | 186,942 | |||||
8.50%, 04/01/26 (d) | 100,000 | 87,509 | |||||
9.00%, 08/15/31 | 50,000 | 26,863 | |||||
Gannett Co. Inc. | |||||||
5.50%, 09/15/24 (b) (d) | 50,000 | 48,501 | |||||
iHeartCommunications Inc. | |||||||
0.00%, 03/01/21 (a) (e) | 208,000 | 139,194 | |||||
0.00%, 03/01/21 (a) (d) (e) | 107,000 | 70,712 | |||||
Intelsat Jackson Holdings SA | |||||||
5.50%, 08/01/23 | 115,000 | 101,083 | |||||
8.50%, 10/15/24 (d) | 260,000 | 250,900 | |||||
9.75%, 07/15/25 (d) | 200,000 | 201,530 | |||||
Level 3 Communications Inc. | |||||||
5.75%, 12/01/22 | 167,000 | 164,063 | |||||
Live Nation Entertainment Inc. | |||||||
4.88%, 11/01/24 (d) | 235,000 | 223,538 | |||||
5.63%, 03/15/26 (d) | 57,000 | 55,718 | |||||
MDC Partners Inc. | |||||||
6.50%, 05/01/24 (d) | 235,000 | 213,982 | |||||
Shares/Par1 | Value ($) | ||||||
Netflix Inc. | |||||||
5.75%, 03/01/24 | 167,000 | 169,539 | |||||
5.88%, 11/15/28 (d) | 150,000 | 145,989 | |||||
6.38%, 05/15/29 | 201,000 | 199,459 | |||||
Numericable - SFR SA | |||||||
7.38%, 05/01/26 | 320,000 | 293,504 | |||||
Sinclair Television Group Inc. | |||||||
5.88%, 03/15/26 (d) | 125,000 | 116,752 | |||||
Sirius XM Radio Inc. | |||||||
5.38%, 07/15/26 (d) | 300,000 | 283,408 | |||||
Sprint Capital Corp. | |||||||
6.88%, 11/15/28 | 200,000 | 189,068 | |||||
Sprint Corp. | |||||||
7.13%, 06/15/24 | 500,000 | 494,719 | |||||
Sprint Nextel Corp. | |||||||
6.00%, 11/15/22 | 167,000 | 164,073 | |||||
Telesat Canada | |||||||
8.88%, 11/15/24 (d) | 186,000 | 193,529 | |||||
T-Mobile USA Inc. | |||||||
6.50%, 01/15/24 | 167,000 | 170,762 | |||||
5.13%, 04/15/25 | 167,000 | 161,544 | |||||
4.75%, 02/01/28 | 62,000 | 57,106 | |||||
Univision Communications Inc. | |||||||
5.13%, 02/15/25 (d) | 176,000 | 154,860 | |||||
Windstream Services LLC | |||||||
6.38%, 08/01/23 (d) | 180,000 | 71,387 | |||||
Zayo Group LLC | |||||||
6.00%, 04/01/23 | 304,000 | 287,834 | |||||
6,943,055 | |||||||
Consumer Discretionary 11.8% | |||||||
1011778 B.C. Unltd. Liability Co. | |||||||
5.00%, 10/15/25 (d) | 250,000 | 230,009 | |||||
Altice SA | |||||||
7.63%, 02/15/25 (d) | 200,000 | 149,983 | |||||
American Axle & Manufacturing Inc. | |||||||
6.50%, 04/01/27 (b) | 169,000 | 151,817 | |||||
ARAMARK Services Inc. | |||||||
4.75%, 06/01/26 | 152,000 | 143,028 | |||||
5.00%, 02/01/28 (d) | 39,000 | 36,493 | |||||
Churchill Downs Inc. | |||||||
4.75%, 01/15/28 (d) | 136,000 | 123,048 | |||||
Delta Merger Sub Inc. | |||||||
6.00%, 09/15/26 (d) | 63,000 | 59,533 | |||||
Fiat Chrysler Automobiles NV | |||||||
5.25%, 04/15/23 | 84,000 | 82,302 | |||||
Gibson Brands Inc. | |||||||
0.00%, 08/01/18 (a) (d) (e) | 400,000 | 332,048 | |||||
GLP Capital LP | |||||||
5.38%, 04/15/26 | 126,000 | 124,691 | |||||
Golden Nugget Inc. | |||||||
6.75%, 10/15/24 (d) | 150,000 | 141,349 | |||||
8.75%, 10/01/25 (d) | 100,000 | 95,988 | |||||
Goodyear Tire & Rubber Co. | |||||||
5.00%, 05/31/26 | 30,000 | 27,030 | |||||
4.88%, 03/15/27 | 95,000 | 83,916 | |||||
Hilton Domestic Operating Co. Inc. | |||||||
4.25%, 09/01/24 | 320,000 | 302,775 | |||||
Hilton Worldwide Finance LLC | |||||||
4.63%, 04/01/25 | 21,000 | 20,069 | |||||
JC Penney Corp. Inc. | |||||||
5.88%, 07/01/23 (d) | 125,000 | 99,886 | |||||
KB Home | |||||||
7.63%, 05/15/23 | 201,000 | 203,973 | |||||
KFC Holding Co. | |||||||
4.75%, 06/01/27 (d) | 196,000 | 182,471 | |||||
L Brands Inc. | |||||||
5.25%, 02/01/28 | 200,000 | 170,937 | |||||
M/I Homes Inc. | |||||||
6.75%, 01/15/21 | 267,000 | 265,485 | |||||
Marriott International Inc. | |||||||
6.50%, 09/15/26 (d) | 55,000 | 53,036 | |||||
Men's Wearhouse Inc. | |||||||
7.00%, 07/01/22 | 105,000 | 105,818 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
34
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Mohegan Tribal Gaming Authority | |||||||
7.88%, 10/15/24 (d) | 200,000 | 186,106 | |||||
National Football League Reciprocal Trust | |||||||
3.96%, 10/05/28 (f) (g) | 200,000 | 202,042 | |||||
Neiman Marcus Group Ltd. Inc. | |||||||
9.50%, 10/15/21 (d) (h) | 200,000 | 84,000 | |||||
Nemak SAB de CV | |||||||
4.75%, 01/23/25 | 200,000 | 186,689 | |||||
PetSmart Inc. | |||||||
8.88%, 06/01/25 (b) (d) | 267,000 | 155,698 | |||||
Sally Holdings LLC | |||||||
5.63%, 12/01/25 (b) | 150,000 | 138,425 | |||||
Sands China Ltd. | |||||||
5.40%, 08/08/28 (i) | 311,000 | 300,239 | |||||
Schaeffler Verwaltung Zwei GmbH | |||||||
5.25%, 09/15/23 (d) (h) | 213,000 | 193,734 | |||||
Scientific Games International Inc. | |||||||
5.00%, 10/15/25 (d) | 346,000 | 310,043 | |||||
Sotheby's | |||||||
4.88%, 12/15/25 (d) | 225,000 | 205,110 | |||||
Stars Group Holdings BV | |||||||
7.00%, 07/15/26 (d) | 85,000 | 82,603 | |||||
Station Casinos LLC | |||||||
5.00%, 10/01/25 (d) | 167,000 | 151,417 | |||||
VOC Escrow Ltd. | |||||||
5.00%, 02/15/28 (d) | 125,000 | 115,969 | |||||
Williams Scotsman International Inc. | |||||||
6.88%, 08/15/23 (d) | 60,000 | 57,416 | |||||
Wyndham Destinations Inc. | |||||||
4.15%, 04/01/24 (j) | 100,000 | 95,881 | |||||
5,651,057 | |||||||
Consumer Staples 4.2% | |||||||
BAT Capital Corp. | |||||||
3.56%, 08/15/27 | 150,000 | 133,194 | |||||
4.39%, 08/15/37 | 150,000 | 122,998 | |||||
4.54%, 08/15/47 | 150,000 | 119,777 | |||||
Coty Inc. | |||||||
6.50%, 04/15/26 (b) (d) | 125,000 | 108,045 | |||||
JBS Investments GmbH | |||||||
7.25%, 04/03/24 (d) | 342,000 | 346,960 | |||||
JBS Investments II GmbH | |||||||
7.00%, 01/15/26 | 200,000 | 197,030 | |||||
Matterhorn Merger Sub LLC | |||||||
8.50%, 06/01/26 (d) | 250,000 | 199,106 | |||||
Minerva Luxembourg SA | |||||||
5.88%, 01/19/28 (d) | 200,000 | 174,364 | |||||
Pilgrim's Pride Corp. | |||||||
5.88%, 09/30/27 | 105,000 | 95,729 | |||||
Post Holdings Inc. | |||||||
5.63%, 01/15/28 | 142,000 | 130,741 | |||||
Sigma Holdco BV | |||||||
7.88%, 05/15/26 (d) | 300,000 | 259,608 | |||||
Spectrum Brands Inc. | |||||||
5.75%, 07/15/25 | 159,000 | 151,044 | |||||
2,038,596 | |||||||
Energy 12.9% | |||||||
Alta Mesa Holdings LP | |||||||
7.88%, 12/15/24 (b) | 400,000 | 253,738 | |||||
Ascent Resources Utica Holdings LLC | |||||||
7.00%, 11/01/26 (d) | 195,000 | 176,475 | |||||
Bruin E&P Partners LLC | |||||||
8.88%, 08/01/23 (d) | 200,000 | 177,910 | |||||
Callon Petroleum Co. | |||||||
6.38%, 07/01/26 | 125,000 | 116,392 | |||||
Chaparral Energy Inc. | |||||||
8.75%, 07/15/23 (d) | 140,000 | 100,150 | |||||
Cheniere Corpus Christi Holdings LLC | |||||||
5.88%, 03/31/25 | 235,000 | 234,189 | |||||
5.13%, 06/30/27 | 440,000 | 414,808 | |||||
Cheniere Energy Partners LP | |||||||
5.25%, 10/01/25 | 233,000 | 217,027 | |||||
5.63%, 10/01/26 (d) | 84,000 | 79,027 | |||||
Chesapeake Energy Corp. | |||||||
8.00%, 01/15/25 (b) | 182,000 | 161,023 | |||||
Shares/Par1 | Value ($) | ||||||
CNX Midstream Partners LP | |||||||
6.50%, 03/15/26 (d) | 73,000 | 69,080 | |||||
Continental Resources Inc. | |||||||
4.50%, 04/15/23 | 200,000 | 196,977 | |||||
Denbury Resources Inc. | |||||||
7.50%, 02/15/24 (d) | 125,000 | 100,621 | |||||
Diamondback Energy Inc. | |||||||
4.75%, 11/01/24 | 75,000 | 72,397 | |||||
5.38%, 05/31/25 | 100,000 | 97,568 | |||||
Endeavor Energy Resources LP | |||||||
5.75%, 01/30/28 | 19,000 | 19,381 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 147,000 | 141,715 | |||||
5.50%, 06/01/27 | 172,000 | 168,019 | |||||
Ensco Plc | |||||||
5.20%, 03/15/25 (b) | 167,000 | 111,427 | |||||
Enterprise Products Operating LLC | |||||||
4.80%, 02/01/49 | 127,000 | 123,096 | |||||
EP Energy LLC | |||||||
8.00%, 02/15/25 | 450,000 | 185,812 | |||||
Everest Acquisition Finance Inc. | |||||||
7.75%, 05/15/26 | 32,000 | 28,377 | |||||
Extraction Oil & Gas Inc. | |||||||
7.38%, 05/15/24 (d) | 167,000 | 139,025 | |||||
5.63%, 02/01/26 (d) | 125,000 | 93,346 | |||||
Hess Infrastructure Partners LP | |||||||
5.63%, 02/15/26 (d) | 91,000 | 88,475 | |||||
Nabors Industries Inc. | |||||||
5.50%, 01/15/23 (b) | 267,000 | 211,530 | |||||
5.75%, 02/01/25 | 75,000 | 56,601 | |||||
NGPL PipeCo LLC | |||||||
4.88%, 08/15/27 (d) | 100,000 | 95,104 | |||||
Noble Holding International Ltd. | |||||||
7.88%, 02/01/26 (d) | 200,000 | 170,575 | |||||
Parsley Energy LLC | |||||||
5.25%, 08/15/25 (d) | 150,000 | 136,170 | |||||
PBF Logistics LP | |||||||
6.88%, 05/15/23 | 200,000 | 196,216 | |||||
Precision Drilling Corp. | |||||||
7.13%, 01/15/26 (d) | 167,000 | 145,217 | |||||
Rowan Cos. Inc. | |||||||
7.38%, 06/15/25 | 86,000 | 69,226 | |||||
Shelf Drilling Holdings Ltd. | |||||||
8.25%, 02/15/25 (d) | 104,000 | 89,626 | |||||
SM Energy Co. | |||||||
5.00%, 01/15/24 (b) | 50,000 | 43,722 | |||||
Southwestern Energy Co. | |||||||
7.50%, 04/01/26 | 100,000 | 94,548 | |||||
7.75%, 10/01/27 | 100,000 | 95,269 | |||||
SRC Energy Inc. | |||||||
6.25%, 12/01/25 | 72,000 | 60,284 | |||||
Summit Midstream Partners LP | |||||||
9.50%, (callable at 104 beginning 12/15/22) (c) | 175,000 | 161,745 | |||||
Transocean Inc. | |||||||
7.50%, 04/15/31 (b) | 399,000 | 303,765 | |||||
Transocean Proteus Ltd. | |||||||
6.25%, 12/01/24 | 304,000 | 293,859 | |||||
Trinidad Drilling Ltd. | |||||||
6.63%, 02/15/25 (d) | 50,000 | 50,385 | |||||
USA Compression Partners LP | |||||||
6.88%, 04/01/26 (d) | 79,000 | 75,808 | |||||
Weatherford International Ltd. | |||||||
9.88%, 02/15/24 (b) | 167,000 | 103,192 | |||||
WildHorse Resource Development Corp. | |||||||
6.88%, 02/01/25 | 213,000 | 201,122 | |||||
6,220,019 | |||||||
Financials 11.4% | |||||||
Acrisure LLC | |||||||
7.00%, 11/15/25 (d) | 225,000 | 191,406 | |||||
Ally Financial Inc. | |||||||
4.63%, 05/19/22 | 167,000 | 164,408 | |||||
5.75%, 11/20/25 (b) | 167,000 | 166,124 | |||||
Altice Financing SA | |||||||
6.63%, 02/15/23 (d) | 333,000 | 320,473 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
35
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Ardagh Packaging Finance Plc | |||||||
6.00%, 02/15/25 (d) | 267,000 | 246,707 | |||||
Barclays Plc | |||||||
4.97%, 05/16/29 (k) (l) | 200,000 | 193,042 | |||||
CIT Group Inc. | |||||||
4.75%, 02/16/24 | 125,000 | 120,316 | |||||
5.25%, 03/07/25 | 19,000 | 18,632 | |||||
6.13%, 03/09/28 | 20,000 | 19,917 | |||||
Citigroup Inc. | |||||||
5.90%, (callable at 100 beginning 02/15/23) (b) (c) | 283,000 | 263,249 | |||||
Dana Financing Luxembourg SARL | |||||||
6.50%, 06/01/26 (d) | 125,000 | 120,038 | |||||
Dell EMC | |||||||
5.88%, 06/15/21 (d) | 142,000 | 142,134 | |||||
7.13%, 06/15/24 (d) | 224,000 | 227,957 | |||||
GLP Capital LP | |||||||
5.30%, 01/15/29 | 125,000 | 122,715 | |||||
Goldman Sachs Group Inc. | |||||||
4.22%, 05/01/29 | 125,000 | 120,695 | |||||
Hexion US Finance Corp. | |||||||
6.63%, 04/15/20 | 167,000 | 133,339 | |||||
Icahn Enterprises LP | |||||||
6.38%, 12/15/25 | 249,000 | 241,058 | |||||
Intelsat Connect Finance SA | |||||||
9.50%, 02/15/23 (d) | 115,000 | 98,973 | |||||
Jack Ohio Finance LLC | |||||||
10.25%, 11/15/22 (d) | 167,000 | 177,020 | |||||
James Hardie International Finance DAC | |||||||
5.00%, 01/15/28 | 78,000 | 67,317 | |||||
JPMorgan Chase & Co. | |||||||
5.30%, (callable at 100 beginning 05/01/20) (c) | 222,000 | 219,919 | |||||
Level 3 Financing Inc. | |||||||
5.38%, 01/15/24 | 167,000 | 159,181 | |||||
5.25%, 03/15/26 | 267,000 | 247,867 | |||||
Lions Gate Capital Holdings LLC | |||||||
5.88%, 11/01/24 (d) | 150,000 | 147,372 | |||||
Lloyds Banking Group Plc | |||||||
7.50%, (callable at 100 beginning 09/27/25) (c) | 200,000 | 192,520 | |||||
Navient Corp. | |||||||
6.75%, 06/15/26 | 82,000 | 68,067 | |||||
Nordic Aviation Capital A/S | |||||||
4.61%, 02/22/23 (f) (g) | 100,000 | 95,761 | |||||
4.84%, 02/22/25 (f) (g) | 100,000 | 93,288 | |||||
5.02%, 02/22/28 (f) (g) | 100,000 | 89,756 | |||||
Resideo Funding Inc. | |||||||
6.13%, 11/01/26 (d) | 44,000 | 43,451 | |||||
SLM Corp. | |||||||
5.50%, 01/25/23 | 265,000 | 232,324 | |||||
Springleaf Finance Corp. | |||||||
7.13%, 03/15/26 | 128,000 | 114,386 | |||||
Toll Brothers Finance Corp. | |||||||
4.88%, 03/15/27 | 202,000 | 183,820 | |||||
Vertiv Intermediate Holding Corp. | |||||||
13.00%, 02/15/22 (d) (h) | 283,000 | 262,519 | |||||
Ziggo Bond Finance BV | |||||||
6.00%, 01/15/27 (d) | 200,000 | 173,414 | |||||
5,479,165 | |||||||
Health Care 9.9% | |||||||
Catalent Pharma Solutions Inc. | |||||||
4.88%, 01/15/26 (d) | 21,000 | 19,753 | |||||
Centene Corp. | |||||||
4.75%, 05/15/22 | 76,000 | 75,433 | |||||
6.13%, 02/15/24 | 142,000 | 145,588 | |||||
Centene Escrow I Corp. | |||||||
5.38%, 06/01/26 | 156,000 | 152,357 | |||||
Charles River Laboratories International Inc. | |||||||
5.50%, 04/01/26 (d) | 77,000 | 76,040 | |||||
Community Health Systems Inc. | |||||||
8.63%, 01/15/24 (d) | 100,000 | 99,140 | |||||
Crimson Merger Sub Inc. | |||||||
6.63%, 05/15/22 (d) | 333,000 | 297,552 | |||||
Endo Finance LLC | |||||||
5.38%, 01/15/23 (d) | 250,000 | 187,909 | |||||
Shares/Par1 | Value ($) | ||||||
HCA Inc. | |||||||
5.00%, 03/15/24 | 167,000 | 165,580 | |||||
5.25%, 06/15/26 | 325,000 | 321,899 | |||||
5.38%, 02/01/25 - 09/01/26 | 195,000 | 190,656 | |||||
4.50%, 02/15/27 | 267,000 | 253,095 | |||||
5.63%, 09/01/28 | 64,000 | 61,920 | |||||
Hologic Inc. | |||||||
4.38%, 10/15/25 (d) | 104,000 | 97,079 | |||||
Lifepoint Health Inc. | |||||||
9.75%, 12/01/26 (d) | 200,000 | 190,497 | |||||
Mednax Inc. | |||||||
6.25%, 01/15/27 | 182,000 | 175,630 | |||||
MPH Acquisition Holdings LLC | |||||||
7.13%, 06/01/24 (d) | 164,000 | 152,928 | |||||
Mylan Inc. | |||||||
4.55%, 04/15/28 (d) | 78,000 | 72,861 | |||||
5.20%, 04/15/48 | 125,000 | 101,991 | |||||
Prestige Brands Inc. | |||||||
6.38%, 03/01/24 (d) | 19,000 | 18,362 | |||||
Tenet Healthcare Corp. | |||||||
4.50%, 04/01/21 | 160,000 | 156,618 | |||||
8.13%, 04/01/22 | 204,000 | 204,284 | |||||
6.75%, 06/15/23 (b) | 296,000 | 277,876 | |||||
Tennessee Merger Sub Inc. | |||||||
6.38%, 02/01/25 (b) (d) | 161,000 | 131,488 | |||||
Valeant Pharmaceuticals International Inc. | |||||||
5.50%, 03/01/23 | 84,000 | 76,712 | |||||
5.88%, 05/15/23 | 65,000 | 59,961 | |||||
6.13%, 04/15/25 | 584,000 | 507,598 | |||||
8.50%, 01/31/27 (d) | 37,000 | 35,849 | |||||
Verscend Escrow Corp. | |||||||
9.75%, 08/15/26 (d) | 62,000 | 58,269 | |||||
WellCare Health Plans Inc. | |||||||
5.25%, 04/01/25 | 339,000 | 326,379 | |||||
5.38%, 08/15/26 | 48,000 | 46,426 | |||||
4,737,730 | |||||||
Industrials 4.6% | |||||||
ACCO Brands Corp. | |||||||
5.25%, 12/15/24 | 120,000 | 107,593 | |||||
Advanced Disposal Services Inc. | |||||||
5.63%, 11/15/24 (d) | 167,000 | 164,399 | |||||
AECOM | |||||||
5.13%, 03/15/27 | 75,000 | 64,201 | |||||
Ashtead Capital Inc. | |||||||
4.13%, 08/15/25 (d) | 33,000 | 30,245 | |||||
5.25%, 08/01/26 | 114,000 | 110,081 | |||||
4.38%, 08/15/27 (d) | 75,000 | 67,556 | |||||
Bombardier Inc. | |||||||
5.75%, 03/15/22 (d) | 171,000 | 160,314 | |||||
7.50%, 03/15/25 | 190,000 | 179,075 | |||||
Hertz Corp. | |||||||
5.50%, 10/15/24 (d) | 200,000 | 146,530 | |||||
Navistar International Corp. | |||||||
6.63%, 11/01/25 (d) | 184,000 | 177,854 | |||||
Park Aerospace Holdings Ltd. | |||||||
4.50%, 03/15/23 (d) | 170,000 | 159,441 | |||||
5.50%, 02/15/24 (b) (d) | 30,000 | 29,003 | |||||
Prime Security Services Borrower LLC | |||||||
9.25%, 05/15/23 (d) | 142,000 | 146,407 | |||||
Sensata Technologies BV | |||||||
5.00%, 10/01/25 (d) | 125,000 | 117,886 | |||||
Standard Industries Inc. | |||||||
4.75%, 01/15/28 | 170,000 | 141,871 | |||||
United Rentals North America Inc. | |||||||
4.88%, 01/15/28 | 467,000 | 409,972 | |||||
2,212,428 | |||||||
Information Technology 2.3% | |||||||
CDK Global Inc. | |||||||
5.88%, 06/15/26 | 67,000 | 66,897 | |||||
CommScope Technologies LLC | |||||||
5.00%, 03/15/27 (d) | 125,000 | 101,339 | |||||
First Data Corp. | |||||||
5.00%, 01/15/24 (d) | 233,000 | 224,802 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
36
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
NXP BV | |||||||
3.88%, 09/01/22 (d) | 250,000 | 242,203 | |||||
Radiate Holdco LLC | |||||||
6.88%, 02/15/23 (d) | 88,000 | 80,140 | |||||
Refinitiv US Holdings Inc. | |||||||
8.25%, 11/15/26 (d) | 182,000 | 166,315 | |||||
Sanmina Corp. | |||||||
4.38%, 06/01/19 (d) | 100,000 | 99,994 | |||||
Western Digital Corp. | |||||||
4.75%, 02/15/26 | 163,000 | 141,402 | |||||
1,123,092 | |||||||
Materials 7.5% | |||||||
Anglo American Capital Plc | |||||||
4.75%, 04/10/27 | 367,000 | 350,263 | |||||
Berry Global Inc. | |||||||
4.50%, 02/15/26 (d) | 153,000 | 140,657 | |||||
BWAY Holding Co. | |||||||
5.50%, 04/15/24 (d) | 167,000 | 157,235 | |||||
7.25%, 04/15/25 (d) | 233,000 | 209,726 | |||||
Cemex SAB de CV | |||||||
5.70%, 01/11/25 (d) | 200,000 | 192,041 | |||||
CF Industries Inc. | |||||||
3.45%, 06/01/23 | 50,000 | 46,299 | |||||
5.38%, 03/15/44 | 50,000 | 40,750 | |||||
Crown Americas LLC | |||||||
4.75%, 02/01/26 (d) | 100,000 | 94,635 | |||||
Eldorado Gold Corp. | |||||||
6.13%, 12/15/20 (d) | 100,000 | 91,282 | |||||
FMG Resources August 2006 Pty Ltd. | |||||||
4.75%, 05/15/22 (d) | 179,000 | 170,051 | |||||
5.13%, 03/15/23 - 05/15/24 (d) | 315,000 | 295,462 | |||||
Freeport-McMoRan Inc. | |||||||
3.10%, 03/15/20 | 267,000 | 260,995 | |||||
4.55%, 11/14/24 | 244,000 | 226,286 | |||||
5.40%, 11/14/34 | 267,000 | 211,654 | |||||
FXI Holdings Inc. | |||||||
7.88%, 11/01/24 (d) | 188,000 | 161,684 | |||||
NOVA Chemicals Corp. | |||||||
4.88%, 06/01/24 (d) | 28,000 | 25,428 | |||||
5.25%, 06/01/27 (d) | 96,000 | 84,925 | |||||
Olin Corp. | |||||||
5.13%, 09/15/27 | 200,000 | 184,866 | |||||
5.00%, 02/01/30 | 39,000 | 34,104 | |||||
Rain CII Carbon LLC | |||||||
7.25%, 04/01/25 (d) | 87,000 | 79,802 | |||||
Reynolds Group Issuer Inc. | |||||||
5.13%, 07/15/23 (d) | 221,000 | 210,277 | |||||
Silgan Holdings Inc. | |||||||
4.75%, 03/15/25 | 220,000 | 206,166 | |||||
Trinseo Materials Operating SCA | |||||||
5.38%, 09/01/25 (d) | 125,000 | 109,407 | |||||
3,583,995 | |||||||
Real Estate 1.8% | |||||||
Communications Sales & Leasing Inc. | |||||||
7.13%, 12/15/24 (d) | 150,000 | 123,129 | |||||
Equinix Inc. | |||||||
5.38%, 05/15/27 | 280,000 | 277,047 | |||||
ESH Hospitality Inc. | |||||||
5.25%, 05/01/25 (d) | 281,000 | 264,440 | |||||
MGM Growth Properties Operating Partnership LP | |||||||
4.50%, 09/01/26 | 148,000 | 134,201 | |||||
PulteGroup Inc. | |||||||
5.00%, 01/15/27 | 65,000 | 59,150 | |||||
857,967 | |||||||
Utilities 1.7% | |||||||
AES Corp. | |||||||
5.50%, 04/15/25 | 369,000 | 367,263 | |||||
5.13%, 09/01/27 | 200,000 | 193,255 | |||||
Calpine Corp. | |||||||
5.75%, 01/15/25 | 300,000 | 273,947 | |||||
834,465 | |||||||
Total Corporate Bonds And Notes (cost $42,521,758) | 39,681,569 | ||||||
Shares/Par1 | Value ($) | ||||||
SENIOR LOAN INTERESTS 4.3% | |||||||
Communication Services 0.2% | |||||||
Frontier Communications Corp. | |||||||
Term Loan B-1, 6.10%, (3M LIBOR + 3.75%), 05/31/24 (k) | 98,747 | 91,403 | |||||
Consumer Discretionary 1.5% | |||||||
Bass Pro Group LLC | |||||||
Term Loan B, 7.52%, (3M LIBOR + 5.00%), 11/15/23 (k) | 444,375 | 424,156 | |||||
Gibson Brands Inc. | |||||||
Term Loan, 0.00%, (1M PRIME + 8.00%), 06/30/19 (f) (k) (m) | 14,305 | 17,166 | |||||
Term Loan, 11.32%, (1M LIBOR + 9.00%), 06/30/19 (f) (k) | 42,667 | 51,200 | |||||
DIP Term Loan, 11.34%, (1M LIBOR + 9.00%), 06/30/19 (f) (k) | 87,028 | 104,434 | |||||
Jo-Ann Stores Inc. | |||||||
Term Loan, 7.48%, (3M LIBOR + 5.00%), 09/29/23 (k) | 96,839 | 91,876 | |||||
Stars Group Holdings BV | |||||||
Incremental Term Loan, 6.30%, (3M LIBOR + 3.50%), 06/29/25 (k) | 55,719 | 53,724 | |||||
742,556 | |||||||
Consumer Staples 0.2% | |||||||
BJ's Wholesale Club Inc. | |||||||
1st Lien Term Loan, 5.43%, (3M LIBOR + 3.00%), 01/26/24 (k) | 91,948 | 89,212 | |||||
Energy 0.4% | |||||||
Encino Acquisition Partners Holdings LLC | |||||||
2nd Lien Term Loan, 9.09%, (3M LIBOR + 6.75%), 09/26/25 (f) (k) | 170,000 | 159,800 | |||||
Medallion Midland Acquisition LLC | |||||||
1st Lien Term Loan, 5.59%, (3M LIBOR + 3.25%), 10/31/24 (k) | 49,500 | 46,592 | |||||
206,392 | |||||||
Financials 0.2% | |||||||
Acrisure LLC | |||||||
Term Loan B, 6.77%, (3M LIBOR + 4.25%), 11/22/23 (k) | 98,750 | 95,479 | |||||
Health Care 1.4% | |||||||
Alphabet Holding Co. Inc. | |||||||
1st Lien Term Loan, 5.84%, (3M LIBOR + 3.50%), 08/15/24 (k) | 246,875 | 220,953 | |||||
2nd Lien Term Loan , 10.09%, (3M LIBOR + 7.75%), 08/09/25 (k) | 100,000 | 82,000 | |||||
Envision Healthcare Corp. | |||||||
1st Lien Term Loan, 6.09%, (3M LIBOR + 3.75%), 09/27/25 (k) | 199,000 | 184,998 | |||||
RegionalCare Hospital Partners Holdings Inc. | |||||||
Term Loan B, 7.13%, (3M LIBOR + 4.50%), 11/09/25 (k) | 200,000 | 189,250 | |||||
677,201 | |||||||
Information Technology 0.2% | |||||||
Refinitiv US Holdings Inc. | |||||||
Term Loan, 6.27%, (3M LIBOR + 3.75%), 09/12/25 (k) | 80,000 | 76,000 | |||||
Materials 0.2% | |||||||
Schenectady International Group Inc. | |||||||
1st Lien Term Loan, 7.19%, (3M LIBOR + 4.75%), 08/21/25 (f) (k) | 100,000 | 96,000 | |||||
Total Senior Loan Interests (cost $2,150,520) | 2,074,243 | ||||||
INVESTMENT COMPANIES 4.6% | |||||||
Eaton Vance Senior Floating-Rate Trust | 5,500 | 69,025 | |||||
Invesco Senior Income Trust | 17,500 | 68,425 | |||||
Kayne Anderson MLP Investment Co. | 5,000 | 68,800 | |||||
PIMCO Floating Rate Strategy Fund | 7,300 | 69,569 | |||||
SPDR Barclays High Yield Bond ETF | 58,000 | 1,948,220 | |||||
Total Investment Companies (cost $2,356,653) | 2,224,039 | ||||||
SHORT TERM INVESTMENTS 9.2% | |||||||
Investment Companies 4.5% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.29% (n) | 2,158,557 | 2,158,557 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
37
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | |||||
Securities Lending Collateral 4.7% | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% (n) | 2,280,948 | 2,280,948 | ||||
Total Short Term Investments (cost $4,439,505) | 4,439,505 | |||||
Total Investments 103.4% (cost $53,431,962) | 49,780,556 | |||||
Other Derivative Instruments (0.0)% | (8,594) | |||||
Other Assets and Liabilities, Net (3.4)% | (1,651,313) | |||||
Total Net Assets 100.0% | 48,120,649 |
(a) Non-income producing security.
(b) All or a portion of the security was on loan as of December 31, 2018.
(c) Perpetual security. Next contractual call date presented, if applicable.
(d) The Adviser has deemed this security which is exempt from registration under the Securities Act of 1933, as amended, to be liquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited. As of December 31, 2018, the value and the percentage of net assets of these liquid securities were $16,757,829 and 34.8%, respectively.
(e) Issuer was in bankruptcy and/or was in default relating to principal and/or interest. Partial or no payments were paid on the last interest or dividend date. The aggregate value of these securities represented 1.1% of the Fund’s net assets.
(f) Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the PPM Funds' Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(g) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited.
(h) Pay-in-kind security. Stated coupon is the pay-in-kind rate. The interest earned by the security may be paid in cash or additional par.
(i) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(j) Security is a step-up bond where the coupon may increase or step up at a future date or as the result of an upgrade or downgrade to the credit rating of the issuer. Rate stated was the coupon as of December 31, 2018.
(k) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are presented. Certain variable rate securities do not indicate a reference rate and spread because they are determined by the issuer, remarketing agent, or offering documents and are based on current market conditions. The coupon rate for securities with certain features outlined in the offering documents may vary from the stated reference rate and spread. This includes, but is not limited to, securities with deferred rates, contingent distributions, caps, floors, and fixed-rate to float-rate features. In addition, variable rates for government and agency collateralized mortgage obligations (“CMO”) and mortgage-backed securities (“MBS”) are determined by tranches of underlying mortgage-backed security pools’ cash flows into securities and pass-through rates which reflects the rate earned on the asset pool after management and guarantee fees are paid to the securitizing corporation. CMO and MBS variable rates are determined by a formula set forth in the security’s offering documents.
(l) Convertible security.
(m) This senior loan will settle after December 31, 2018. The reference rate and spread presented will go into effect upon settlement.
(n) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2018.
PPM High Yield Core Fund — Futures Contracts | ||||||||||||||||
Reference Entity | Contracts Long (Short)1 | Expiration | Notional 1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | |||||||||||
U.S. Treasury Long Bond | (3) | March 2019 | (418,999) | (1,406) | (19,001) | |||||||||||
U.S. Treasury Note, 10-Year | (6) | March 2019 | (716,627) | (2,344) | (15,466) | |||||||||||
U.S. Treasury Note, 5-Year | (2) | March 2019 | (225,983) | (500) | (3,392) | |||||||||||
Ultra 10-Year U.S. Treasury Note | (8) | March 2019 | (1,011,064) | (3,750) | (29,561) | |||||||||||
Ultra Long Term U.S. Treasury Bond | (1) | March 2019 | (152,413) | (594) | (8,244) | |||||||||||
(8,594) | (75,664) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
38
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
PPM Long Short Credit Fund | |||||||
COMMON STOCKS 0.1% | |||||||
Energy 0.1% | |||||||
Chaparral Energy Inc. - Class A (a) | 8,604 | 42,332 | |||||
Total Common Stocks (cost $159,653) | 42,332 | ||||||
INVESTMENT COMPANIES 2.5% | |||||||
Kayne Anderson MLP Investment Co. | 2,582 | 35,528 | |||||
SPDR Barclays High Yield Bond ETF (b) | 36,000 | 1,209,240 | |||||
Total Investment Companies (cost $1,329,960) | 1,244,768 | ||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 11.5% | |||||||
American Airlines Pass-Through Trust | |||||||
Series 2013-B-2, 5.60%, 07/15/20 (c) | 126,311 | 126,993 | |||||
American Express Credit Account Master Trust | |||||||
Series 2017-A-4, 1.64%, 05/15/19 (b) | 400,000 | 398,072 | |||||
Ascentium Equipment Receivables Trust | |||||||
Series 2018-A2-1A, 2.92%, 12/10/20 (c) | 57,000 | 56,958 | |||||
Series 2017-A3-2A, 2.31%, 12/10/21 (c) | 75,000 | 74,019 | |||||
BCC Funding XIV LLC | |||||||
Series 2018-A2-1A, 2.96%, 06/20/23 (c) | 98,156 | 97,888 | |||||
BMW Floorplan Master Owner Trust | |||||||
Series 2018-A1-1, 3.15%, 05/17/21 (c) | 121,000 | 120,715 | |||||
BX Trust | |||||||
Series 2018-A-IND, 3.21%, (1M USD LIBOR + 0.75%), 10/15/20 (b) (c) (d) | 748,883 | 741,526 | |||||
CCG Receivables Trust | |||||||
Series 2018-A1-2, 2.47%, 08/14/19 (c) | 290,783 | 290,528 | |||||
Series 2018-A2-1, 2.50%, 02/14/21 (c) | 94,392 | 93,817 | |||||
Chrysler Capital Auto Receivables Trust | |||||||
Series 2016-A3-BA, 1.64%, 07/15/21 (b) (c) | 526,748 | 524,289 | |||||
CIG Auto Receivables Trust | |||||||
Series 2017-A-1A, 2.71%, 05/15/23 (c) | 35,908 | 35,701 | |||||
Citibank Credit Card Issuance Trust | |||||||
Series 2017-A9-A9, 1.80%, 09/20/19 | 300,000 | 297,615 | |||||
Series 2017-A4-A4, 2.60%, (1M USD LIBOR + 0.22%), 04/07/20 (d) | 500,000 | 500,320 | |||||
Dell Equipment Finance Trust | |||||||
Series 2018-A2A-1, 2.97%, 10/22/20 (c) | 100,000 | 99,982 | |||||
Engs Commercial Finance Trust | |||||||
Series 2018-A1-1A, 2.97%, 02/22/21 (c) | 61,240 | 61,131 | |||||
Freddie Mac Multifamily Aggregation Risk Transfer | |||||||
Series 2017-A-KT01, REMIC, 2.82%, (1M USD LIBOR + 0.32%), 02/25/20 (d) | 257,000 | 256,446 | |||||
GLS Auto Receivables Trust | |||||||
Series 2018-A-3A, 3.35%, 08/15/22 (c) | 76,464 | 76,483 | |||||
GM Financial Consumer Automobile Receivables Trust | |||||||
Series 2018-A1-4, 2.46%, 04/16/19 | 205,275 | 205,163 | |||||
Series 2018-A1-3, 2.37%, 07/16/19 (b) | 92,609 | 92,589 | |||||
GS Mortgage Securities Trust | |||||||
Series 2017-B-SLP, REMIC, 3.77%, 10/12/22 (c) | 175,000 | 175,572 | |||||
Prestige Auto Receivables Trust | |||||||
Series 2018-A1-1A, 2.53%, 10/15/19 (c) | 248,212 | 248,108 | |||||
Santander Retail Auto Lease Trust | |||||||
Series 2018-A2B-A, REMIC, 2.74%, (1M USD LIBOR + 0.27%), 01/20/20 (c) (d) | 486,822 | 486,537 | |||||
United Auto Credit Securitization Trust | |||||||
Series 2018-A-2, 2.89%, 03/10/21 (c) | 54,389 | 54,327 | |||||
Verizon Owner Trust | |||||||
Series 2016-A-1A, 1.42%, 01/20/21 (c) | 221,799 | 220,907 | |||||
Voya CLO Ltd. | |||||||
Series 2013-A1R-2A, 3.46%, (3M USD LIBOR + 0.97%), 04/25/31 (c) (d) | 250,000 | 243,156 | |||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $5,594,462) | 5,578,842 | ||||||
CORPORATE BONDS AND NOTES 66.7% | |||||||
Communication Services 4.7% | |||||||
AT&T Inc. | |||||||
3.96%, (3M USD LIBOR + 1.18%), 06/12/24 (d) | 250,000 | 242,498 | |||||
5.25%, 03/01/37 | 80,000 | 78,583 | |||||
CB Escrow Corp. | |||||||
8.00%, 10/15/25 (c) | 125,000 | 103,729 | |||||
CCO Holdings LLC | |||||||
5.13%, 05/01/27 (c) | 130,000 | 121,008 | |||||
Shares/Par1 | Value ($) | ||||||
Charter Communications Operating LLC | |||||||
4.91%, 07/23/25 | 171,000 | 169,943 | |||||
6.83%, 10/23/55 | 40,000 | 40,855 | |||||
Comcast Corp. | |||||||
4.15%, 10/15/28 | 108,000 | 109,734 | |||||
4.60%, 10/15/38 | 143,000 | 144,554 | |||||
4.95%, 10/15/58 | 85,000 | 86,895 | |||||
DISH DBS Corp. | |||||||
7.75%, 07/01/26 | 133,000 | 110,030 | |||||
Hughes Satellite Systems Corp. | |||||||
5.25%, 08/01/26 | 83,000 | 76,153 | |||||
iHeartCommunications Inc. | |||||||
0.00%, 03/01/21 (a) (e) | 250,000 | 167,300 | |||||
Intelsat Jackson Holdings SA | |||||||
8.50%, 10/15/24 (c) | 63,000 | 60,795 | |||||
9.75%, 07/15/25 (c) | 64,000 | 64,490 | |||||
Netflix Inc. | |||||||
6.38%, 05/15/29 (c) | 201,000 | 199,459 | |||||
Numericable - SFR SA | |||||||
7.38%, 05/01/26 (c) | 200,000 | 183,440 | |||||
Radiate Holdco LLC | |||||||
6.63%, 02/15/25 (c) | 33,000 | 28,453 | |||||
Sprint Corp. | |||||||
7.13%, 06/15/24 | 58,000 | 57,387 | |||||
Sprint Spectrum Co. LLC | |||||||
3.36%, 09/20/21 (c) | 137,500 | 135,609 | |||||
Telesat Canada | |||||||
8.88%, 11/15/24 (c) | 77,000 | 80,117 | |||||
2,261,032 | |||||||
Consumer Discretionary 3.7% | |||||||
American Axle & Manufacturing Inc. | |||||||
6.50%, 04/01/27 | 135,000 | 121,274 | |||||
Delta Merger Sub Inc. | |||||||
6.00%, 09/15/26 (c) | 42,000 | 39,689 | |||||
Dollar Tree Inc. | |||||||
3.15%, (3M USD LIBOR + 0.70%), 04/17/20 (d) | 400,000 | 397,554 | |||||
Fiat Chrysler Automobiles NV | |||||||
5.25%, 04/15/23 | 84,000 | 82,302 | |||||
General Motors Co. | |||||||
5.20%, 04/01/45 | 66,000 | 54,773 | |||||
Golden Nugget Inc. | |||||||
6.75%, 10/15/24 (c) | 72,000 | 67,847 | |||||
Hilton Worldwide Finance LLC | |||||||
4.63%, 04/01/25 (b) | 8,000 | 7,645 | |||||
Home Depot Inc. | |||||||
3.90%, 12/06/28 | 52,000 | 53,295 | |||||
KB Home | |||||||
7.63%, 05/15/23 | 127,000 | 128,879 | |||||
Mattamy Group Corp. | |||||||
6.50%, 10/01/25 (c) | 16,000 | 14,543 | |||||
Nemak SAB de CV | |||||||
4.75%, 01/23/25 (c) | 200,000 | 186,689 | |||||
Sands China Ltd. | |||||||
5.40%, 08/08/28 (c) (f) | 311,000 | 300,239 | |||||
Schaeffler Verwaltung Zwei GmbH | |||||||
4.88%, 09/15/21 (c) (g) | 200,000 | 190,451 | |||||
Target Corp. | |||||||
3.90%, 11/15/47 | 63,000 | 58,014 | |||||
VOC Escrow Ltd. | |||||||
5.00%, 02/15/28 (c) | 125,000 | 115,969 | |||||
1,819,163 | |||||||
Consumer Staples 5.9% | |||||||
Anheuser-Busch InBev Worldwide Inc. | |||||||
4.90%, 02/01/46 (c) | 200,000 | 185,137 | |||||
BAT Capital Corp. | |||||||
3.20%, (3M USD LIBOR + 0.59%), 08/14/20 (d) | 416,000 | 411,704 | |||||
3.56%, 08/15/27 | 76,000 | 67,485 | |||||
4.39%, 08/15/37 | 218,000 | 178,758 | |||||
Conagra Brands Inc. | |||||||
3.22%, (3M USD LIBOR + 0.75%), 10/22/20 (d) | 500,000 | 500,960 | |||||
General Mills Inc. | |||||||
4.20%, 04/17/28 | 21,000 | 20,523 | |||||
High Ridge Brands Co. | |||||||
8.88%, 03/15/25 (h) (i) | 30,000 | 13,149 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
39
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
JBS Investments GmbH | |||||||
7.25%, 04/03/24 (c) | 75,000 | 76,088 | |||||
JBS Investments II GmbH | |||||||
7.00%, 01/15/26 (c) | 200,000 | 197,030 | |||||
JBS USA Lux SA | |||||||
6.75%, 02/15/28 (c) | 100,000 | 97,685 | |||||
Kraft Heinz Foods Co. | |||||||
3.19%, (3M USD LIBOR + 0.57%), 02/10/21 (d) | 333,000 | 331,638 | |||||
3.95%, 07/15/25 | 79,000 | 77,123 | |||||
Matterhorn Merger Sub LLC | |||||||
8.50%, 06/01/26 (c) | 125,000 | 99,553 | |||||
Pilgrim's Pride Corp. | |||||||
5.88%, 09/30/27 (c) | 47,000 | 42,850 | |||||
Post Holdings Inc. | |||||||
5.63%, 01/15/28 (c) | 82,000 | 75,498 | |||||
Reynolds American Inc. | |||||||
4.45%, 06/12/25 | 287,000 | 277,220 | |||||
Sigma Holdco BV | |||||||
7.88%, 05/15/26 (c) | 200,000 | 173,072 | |||||
Tyson Foods Inc. | |||||||
5.10%, 09/28/48 | 57,000 | 54,683 | |||||
2,880,156 | |||||||
Energy 7.9% | |||||||
Alta Mesa Holdings LP | |||||||
7.88%, 12/15/24 | 178,000 | 112,914 | |||||
Andeavor Logistics LP | |||||||
3.50%, 12/01/22 | 46,000 | 44,528 | |||||
4.25%, 12/01/27 | 40,000 | 37,732 | |||||
5.20%, 12/01/47 | 44,000 | 39,632 | |||||
Callon Petroleum Co. | |||||||
6.38%, 07/01/26 | 125,000 | 116,392 | |||||
Cheniere Corpus Christi Holdings LLC | |||||||
5.88%, 03/31/25 | 69,000 | 68,762 | |||||
5.13%, 06/30/27 | 207,000 | 195,148 | |||||
CITGO Holding Inc. | |||||||
10.75%, 02/15/20 (c) | 62,000 | 63,214 | |||||
Columbia Pipeline Group Inc. | |||||||
5.80%, 06/01/45 | 91,000 | 95,883 | |||||
Continental Resources Inc. | |||||||
4.38%, 01/15/28 | 121,000 | 114,324 | |||||
Denbury Resources Inc. | |||||||
9.25%, 03/31/22 (b) (c) | 14,000 | 12,941 | |||||
7.50%, 02/15/24 (c) | 80,000 | 64,398 | |||||
Diamondback Energy Inc. | |||||||
4.75%, 11/01/24 (c) | 187,000 | 180,510 | |||||
Endeavor Energy Resources LP | |||||||
5.50%, 01/30/26 (b) (c) | 19,000 | 19,286 | |||||
5.75%, 01/30/28 (c) | 19,000 | 19,381 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 192,000 | 185,097 | |||||
5.50%, 06/01/27 | 29,000 | 28,329 | |||||
5.80%, 06/15/38 | 95,000 | 91,895 | |||||
Enterprise Products Operating LLC | |||||||
4.15%, 10/16/28 | 95,000 | 94,725 | |||||
4.80%, 02/01/49 | 84,000 | 81,418 | |||||
EP Energy LLC | |||||||
8.00%, 11/29/24 (c) | 108,000 | 78,723 | |||||
8.00%, 02/15/25 (c) | 219,000 | 90,429 | |||||
Extraction Oil & Gas Inc. | |||||||
7.38%, 05/15/24 (c) | 75,000 | 62,436 | |||||
Marathon Petroleum Corp. | |||||||
3.80%, 04/01/28 (c) | 30,000 | 28,247 | |||||
4.50%, 04/01/48 (c) | 35,000 | 29,386 | |||||
MPLX LP | |||||||
4.00%, 03/15/28 | 137,000 | 128,803 | |||||
5.50%, 02/15/49 | 42,000 | 40,713 | |||||
Nabors Industries Inc. | |||||||
5.75%, 02/01/25 | 124,000 | 93,581 | |||||
NGPL PipeCo LLC | |||||||
4.88%, 08/15/27 (c) | 23,000 | 21,874 | �� | ||||
Parsley Energy LLC | |||||||
5.38%, 01/15/25 (c) | 166,000 | 153,611 | |||||
PDC Energy Inc. | |||||||
5.75%, 05/15/26 | 63,000 | 55,837 | |||||
Shares/Par1 | Value ($) | ||||||
Petroleos Mexicanos | |||||||
6.50%, 01/23/29 | 85,000 | 79,263 | |||||
Sabine Pass Liquefaction LLC | |||||||
5.63%, 03/01/25 | 88,000 | 91,370 | |||||
4.20%, 03/15/28 | 154,000 | 146,901 | |||||
SM Energy Co. | |||||||
6.75%, 09/15/26 | 50,000 | 44,698 | |||||
Southwestern Energy Co. | |||||||
7.75%, 10/01/27 (b) | 500,000 | 476,346 | |||||
Summit Midstream Holdings LLC | |||||||
5.75%, 04/15/25 | 74,000 | 66,973 | |||||
Summit Midstream Partners LP | |||||||
9.50%, (callable at 104 beginning 12/15/22) (j) | 249,000 | 230,140 | |||||
Transocean Pontus Ltd. | |||||||
6.13%, 08/01/25 (c) | 20,000 | 19,272 | |||||
Transocean Proteus Ltd. | |||||||
6.25%, 12/01/24 (c) | 218,400 | 211,114 | |||||
Trinidad Drilling Ltd. | |||||||
6.63%, 02/15/25 (c) | 20,000 | 20,154 | |||||
3,836,380 | |||||||
Financials 19.1% | |||||||
Acrisure LLC | |||||||
7.00%, 11/15/25 (c) | 128,000 | 108,889 | |||||
AerCap Ireland Capital Ltd. | |||||||
3.65%, 07/21/27 | 172,000 | 149,047 | |||||
American Express Credit Corp. | |||||||
2.91%, (3M USD LIBOR + 0.33%), 05/03/19 (d) | 499,000 | 498,953 | |||||
Athene Global Funding | |||||||
3.63%, (3M USD LIBOR + 1.23%), 07/01/22 (c) (d) | 333,000 | 334,321 | |||||
Athene Holding Ltd. | |||||||
4.13%, 01/12/28 | 111,000 | 100,575 | |||||
Bank of America Corp. | |||||||
3.13%, (3M USD LIBOR + 0.66%), 07/21/21 (d) | 100,000 | 99,531 | |||||
3.49%, (3M USD LIBOR + 1.00%), 04/24/23 (d) | 166,000 | 164,075 | |||||
3.55%, 03/05/24 | 78,000 | 77,011 | |||||
4.00%, 01/22/25 | 209,000 | 203,952 | |||||
4.25%, 10/22/26 | 105,000 | 102,263 | |||||
Barclays Plc | |||||||
4.97%, 05/16/29 (d) (k) | 200,000 | 193,042 | |||||
Bayer US Finance II LLC | |||||||
4.25%, 12/15/25 (c) | 78,000 | 76,156 | |||||
4.38%, 12/15/28 (c) | 75,000 | 71,791 | |||||
BMW US Capital LLC | |||||||
2.79%, (3M USD LIBOR + 0.38%), 04/06/20 (c) (d) | 333,000 | 331,461 | |||||
Capital One Financial Corp. | |||||||
3.38%, (3M USD LIBOR + 0.76%), 05/12/20 (d) | 333,000 | 332,396 | |||||
3.75%, 03/09/27 | 124,000 | 115,436 | |||||
3.80%, 01/31/28 | 147,000 | 135,677 | |||||
Citigroup Inc. | |||||||
5.90%, (callable at 100 beginning 02/15/23) (j) | 112,000 | 104,184 | |||||
3.45%, (3M USD LIBOR + 0.96%), 04/25/22 (b) (d) | 249,000 | 245,724 | |||||
4.45%, 09/29/27 | 253,000 | 243,918 | |||||
3.89%, 01/10/28 (d) | 111,000 | 106,785 | |||||
4.13%, 07/25/28 | 10,000 | 9,380 | |||||
Credit Suisse AG | |||||||
6.50%, 08/08/23 (c) | 225,000 | 234,903 | |||||
Credit Suisse Group AG | |||||||
7.50%, (callable at 100 beginning 07/17/23) (b) (c) (j) | 200,000 | 195,908 | |||||
Dell EMC | |||||||
8.35%, 07/15/46 (c) | 135,000 | 146,237 | |||||
Eagle Holding Co. II LLC | |||||||
8.38%, 05/15/22 (c) (g) | 47,000 | 45,095 | |||||
Glencore Funding LLC | |||||||
3.00%, 10/27/22 (c) | 61,000 | 58,529 | |||||
GLP Capital LP | |||||||
5.30%, 01/15/29 | 125,000 | 122,715 | |||||
Goldman Sachs Group Inc. | |||||||
3.55%, (3M USD LIBOR + 0.73%), 12/27/20 (b) (d) | 382,000 | 380,414 | |||||
3.00%, 04/26/22 | 22,000 | 21,349 | |||||
2.91%, 07/24/23 | 20,000 | 19,051 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
40
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
4.00%, 03/03/24 | 43,000 | 42,361 | |||||
4.22%, 05/01/29 | 108,000 | 104,281 | |||||
Hexion US Finance Corp. | |||||||
6.63%, 04/15/20 | 83,000 | 66,270 | |||||
HSBC Holdings Plc | |||||||
3.64%, (3M USD LIBOR + 1.00%), 05/18/24 (d) | 200,000 | 194,754 | |||||
Icahn Enterprises LP | |||||||
6.38%, 12/15/25 | 110,000 | 106,491 | |||||
Intesa Sanpaolo SpA | |||||||
3.88%, 01/12/28 (c) | 115,000 | 97,709 | |||||
James Hardie International Finance DAC | |||||||
5.00%, 01/15/28 (c) | 52,000 | 44,878 | |||||
JPMorgan Chase & Co. | |||||||
5.30%, (callable at 100 beginning 05/01/20) (j) | 200,000 | 198,125 | |||||
4.02%, 12/05/24 | 202,000 | 203,510 | |||||
3.78%, 02/01/28 (d) | 51,000 | 49,425 | |||||
4.20%, 07/23/29 | 46,000 | 45,883 | |||||
4.45%, 12/05/29 | 82,000 | 83,309 | |||||
JPMorgan Chase Bank NA | |||||||
2.97%, (3M USD LIBOR + 0.23%), 09/01/20 (b) (d) | 500,000 | 499,782 | |||||
3.51%, 01/23/29 | 60,000 | 56,819 | |||||
Lincoln National Corp. | |||||||
3.80%, 03/01/28 | 21,000 | 20,304 | |||||
4.35%, 03/01/48 | 35,000 | 32,348 | |||||
Lloyds Banking Group Plc | |||||||
7.50%, (callable at 100 beginning 09/27/25) (j) | 200,000 | 192,520 | |||||
Macquarie Group Ltd. | |||||||
5.03%, 01/15/30 (c) | 125,000 | 123,663 | |||||
Morgan Stanley | |||||||
3.40%, (3M USD LIBOR + 0.93%), 07/22/22 (d) | 125,000 | 123,245 | |||||
4.10%, 05/22/23 | 349,000 | 350,235 | |||||
3.81%, (3M USD LIBOR + 1.22%), 05/08/24 (d) | 166,000 | 163,523 | |||||
4.35%, 09/08/26 | 89,000 | 86,554 | |||||
3.63%, 01/20/27 | 67,000 | 63,712 | |||||
New York Life Global Funding | |||||||
2.56%, (3M USD LIBOR + 0.16%), 10/01/20 (c) (d) | 500,000 | 500,114 | |||||
Resideo Funding Inc. | |||||||
6.13%, 11/01/26 (c) | 44,000 | 43,451 | |||||
Santander UK Group Holdings Plc | |||||||
4.80%, 11/15/24 | 242,000 | 240,025 | |||||
Volkswagen Group of America Finance LLC | |||||||
4.63%, 11/13/25 (c) | 250,000 | 247,843 | |||||
Wells Fargo & Co. | |||||||
5.88%, (callable at 100 beginning 06/15/25) (j) | 136,000 | 134,300 | |||||
Ziggo Secured Finance BV | |||||||
5.50%, 01/15/27 (c) | 130,000 | 117,000 | |||||
9,261,202 | |||||||
Health Care 6.0% | |||||||
Abbott Laboratories | |||||||
4.75%, 11/30/36 | 42,000 | 43,801 | |||||
Becton Dickinson & Co. | |||||||
3.68%, (3M USD LIBOR + 0.88%), 12/29/20 (b) (d) | 400,000 | 396,622 | |||||
3.36%, 06/06/24 | 166,000 | 159,208 | |||||
Catalent Pharma Solutions Inc. | |||||||
4.88%, 01/15/26 (c) | 21,000 | 19,753 | |||||
Centene Corp. | |||||||
4.75%, 05/15/22 | 52,000 | 51,612 | |||||
6.13%, 02/15/24 (b) | 6,000 | 6,152 | |||||
Centene Escrow I Corp. | |||||||
5.38%, 06/01/26 (c) | 156,000 | 152,357 | |||||
Community Health Systems Inc. | |||||||
8.63%, 01/15/24 (c) | 50,000 | 49,570 | |||||
CVS Health Corp. | |||||||
4.30%, 03/25/28 | 140,000 | 137,056 | |||||
4.78%, 03/25/38 | 62,000 | 59,729 | |||||
5.05%, 03/25/48 | 179,000 | 174,833 | |||||
Express Scripts Holding Co. | |||||||
3.40%, 03/01/27 | 50,000 | 46,397 | |||||
Halfmoon Parent Inc. | |||||||
4.38%, 10/15/28 (b) (c) | 100,000 | 100,658 | |||||
4.90%, 12/15/48 (b) (c) | 111,000 | 108,656 | |||||
Shares/Par1 | Value ($) | ||||||
HCA Inc. | |||||||
4.25%, 10/15/19 | 400,000 | 399,550 | |||||
Lifepoint Health Inc. | |||||||
9.75%, 12/01/26 (c) | 200,000 | 190,497 | |||||
Mednax Inc. | |||||||
6.25%, 01/15/27 (c) | 83,000 | 80,095 | |||||
Prestige Brands Inc. | |||||||
6.38%, 03/01/24 (b) (c) | 13,000 | 12,563 | |||||
Tenet Healthcare Corp. | |||||||
8.13%, 04/01/22 | 21,000 | 21,029 | |||||
6.75%, 06/15/23 (b) | 30,000 | 28,163 | |||||
4.63%, 07/15/24 | 51,000 | 47,506 | |||||
Valeant Pharmaceuticals International Inc. | |||||||
6.50%, 03/15/22 (c) | 6,000 | 6,033 | |||||
5.50%, 03/01/23 - 11/01/25 (c) | 110,000 | 102,347 | |||||
5.88%, 05/15/23 (c) | 17,000 | 15,682 | |||||
7.00%, 03/15/24 (c) | 19,000 | 19,245 | |||||
6.13%, 04/15/25 (c) | 65,000 | 56,496 | |||||
8.50%, 01/31/27 (c) | 17,000 | 16,471 | |||||
Watson Pharmaceuticals Inc. | |||||||
3.25%, 10/01/22 | 333,000 | 324,606 | |||||
WellCare Health Plans Inc. | |||||||
5.25%, 04/01/25 | 61,000 | 58,729 | |||||
5.38%, 08/15/26 (c) | 46,000 | 44,492 | |||||
2,929,908 | |||||||
Industrials 6.3% | |||||||
AECOM | |||||||
5.13%, 03/15/27 (b) | 605,000 | 517,887 | |||||
Aircastle Ltd. | |||||||
4.40%, 09/25/23 | 41,000 | 40,181 | |||||
4.13%, 05/01/24 | 46,000 | 43,126 | |||||
Ashtead Capital Inc. | |||||||
5.25%, 08/01/26 (c) | 124,000 | 119,738 | |||||
Aviation Capital Group LLC | |||||||
4.38%, 01/30/24 (c) | 104,000 | 103,401 | |||||
Avolon Holdings Funding Ltd. | |||||||
5.13%, 10/01/23 (b) (c) | 250,000 | 240,111 | |||||
Bombardier Inc. | |||||||
5.75%, 03/15/22 (c) | 34,000 | 31,875 | |||||
7.50%, 03/15/25 (c) | 84,000 | 79,170 | |||||
BWX Technologies Inc. | |||||||
5.38%, 07/15/26 (c) | 165,000 | 159,786 | |||||
General Electric Co. | |||||||
5.00%, (callable at 100 beginning 01/21/21) (b) (h) (j) | 625,000 | 481,250 | |||||
General Motors Co. | |||||||
5.95%, 04/01/49 | 40,000 | 36,409 | |||||
International Lease Finance Corp. | |||||||
6.25%, 05/15/19 | 100,000 | 100,873 | |||||
Johnson Controls International Plc | |||||||
5.13%, 09/14/45 (b) | 41,000 | 40,757 | |||||
Mexico City Airport Trust | |||||||
5.50%, 07/31/47 (h) (i) | 40,000 | 35,261 | |||||
Standard Industries Inc. | |||||||
4.75%, 01/15/28 (c) | 112,000 | 93,468 | |||||
Tempo Acquisition LLC | |||||||
6.75%, 06/01/25 (c) | 56,000 | 52,746 | |||||
Union Pacific Corp. | |||||||
3.60%, 09/15/37 | 78,000 | 69,773 | |||||
4.38%, 09/10/38 | 50,000 | 49,267 | |||||
United Rentals North America Inc. | |||||||
6.50%, 12/15/26 | 39,000 | 38,415 | |||||
United Technologies Corp. | |||||||
1.90%, 05/04/20 | 333,000 | 326,730 | |||||
Westinghouse Air Brake Technologies Corp. | |||||||
3.84%, (3M USD LIBOR + 1.05%), 09/15/21 (d) | 375,000 | 374,444 | |||||
3,034,668 | |||||||
Information Technology 1.8% | |||||||
Broadcom Corp. | |||||||
3.88%, 01/15/27 | 100,000 | 89,752 | |||||
Intel Corp. | |||||||
2.70%, (3M USD LIBOR + 0.08%), 05/11/20 (d) | 250,000 | 249,007 | |||||
Microsoft Corp. | |||||||
3.45%, 08/08/36 | 133,000 | 125,922 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
41
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
3.95%, 08/08/56 | 50,000 | 48,946 | |||||
NXP BV | |||||||
4.13%, 06/01/21 (c) | 200,000 | 197,987 | |||||
5.35%, 03/01/26 (c) | 67,000 | 67,730 | |||||
Oracle Corp. | |||||||
4.00%, 11/15/47 | 33,000 | 30,722 | |||||
Radiate Holdco LLC | |||||||
6.88%, 02/15/23 (c) | 85,000 | 77,408 | |||||
887,474 | |||||||
Materials 6.9% | |||||||
Anglo American Capital Plc | |||||||
4.88%, 05/14/25 (c) | 121,000 | 118,905 | |||||
4.75%, 04/10/27 (c) | 200,000 | 190,879 | |||||
4.50%, 03/15/28 (c) | 200,000 | 186,475 | |||||
Berry Global Inc. | |||||||
4.50%, 02/15/26 (c) | 153,000 | 140,657 | |||||
BWAY Holding Co. | |||||||
7.25%, 04/15/25 (c) | 183,000 | 164,720 | |||||
CF Industries Inc. | |||||||
3.40%, 12/01/21 (c) | 116,000 | 113,269 | |||||
4.50%, 12/01/26 (c) | 188,000 | 184,224 | |||||
Corning Inc. | |||||||
5.85%, 11/15/68 | 148,000 | 149,806 | |||||
EI du Pont de Nemours & Co. | |||||||
3.07%, (3M USD LIBOR + 0.53%), 05/01/20 (d) | 352,000 | 352,342 | |||||
FMG Resources August 2006 Pty Ltd. | |||||||
4.75%, 05/15/22 (c) | 105,000 | 99,751 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 (b) | 291,000 | 269,873 | |||||
5.40%, 11/14/34 | 90,000 | 71,344 | |||||
FXI Holdings Inc. | |||||||
7.88%, 11/01/24 (c) | 153,000 | 131,583 | |||||
Hexion Inc. | |||||||
10.38%, 02/01/22 (c) | 57,000 | 45,052 | |||||
Martin Marietta Materials Inc. | |||||||
3.33%, (3M USD LIBOR + 0.65%), 05/22/20 (d) | 333,000 | 330,549 | |||||
Rain CII Carbon LLC | |||||||
7.25%, 04/01/25 (c) | 100,000 | 91,727 | |||||
Reynolds Group Issuer Inc. | |||||||
5.94%, (3M USD LIBOR + 3.50%), 07/15/21 (c) (d) | 161,000 | 160,438 | |||||
Sherwin-Williams Co. | |||||||
2.25%, 05/15/20 | 333,000 | 327,865 | |||||
Syngenta Finance NV | |||||||
5.68%, 04/24/48 (c) | 200,000 | 164,120 | |||||
Trinseo Materials Operating SCA | |||||||
5.38%, 09/01/25 (c) | 71,000 | 62,143 | |||||
3,355,722 | |||||||
Real Estate 0.5% | |||||||
Boston Properties LP | |||||||
4.50%, 12/01/28 | 173,000 | 176,991 | |||||
Communications Sales & Leasing Inc. | |||||||
7.13%, 12/15/24 (c) | 95,000 | 77,982 | |||||
254,973 | |||||||
Utilities 3.9% | |||||||
AES Corp. | |||||||
4.00%, 03/15/21 | 215,000 | 211,390 | |||||
Ameren Illinois Co. | |||||||
4.50%, 03/15/49 | 104,000 | 109,675 | |||||
Avangrid Inc. | |||||||
3.15%, 12/01/24 | 159,000 | 153,486 | |||||
Basin Electric Power Cooperative | |||||||
4.75%, 04/26/47 (c) | 100,000 | 103,166 | |||||
Commonwealth Edison Co. | |||||||
3.75%, 08/15/47 | 32,000 | 29,667 | |||||
Electricite de France SA | |||||||
4.50%, 09/21/28 (c) | 200,000 | 193,769 | |||||
Exelon Corp. | |||||||
3.50%, 06/01/22 (l) | 83,000 | 81,108 | |||||
5.10%, 06/15/45 | 112,000 | 115,945 | |||||
FirstEnergy Corp. | |||||||
3.90%, 07/15/27 | 207,000 | 200,557 | |||||
4.85%, 07/15/47 (f) | 37,000 | 37,034 | |||||
Shares/Par1 | Value ($) | ||||||
Indiana Michigan Power Co. | |||||||
4.25%, 08/15/48 | 69,000 | 68,143 | |||||
Sempra Energy | |||||||
2.94%, (3M USD LIBOR + 0.50%), 01/15/21 (d) | 333,000 | 327,468 | |||||
Southern California Edison Co. | |||||||
4.13%, 03/01/48 | 46,000 | 43,881 | |||||
Southern Co. | |||||||
2.95%, 07/01/23 | 135,000 | 130,457 | |||||
Wisconsin Energy Corp. | |||||||
3.55%, 06/15/25 | 85,000 | 84,168 | |||||
1,889,914 | |||||||
Total Corporate Bonds And Notes (cost $33,711,760) | 32,410,592 | ||||||
SENIOR LOAN INTERESTS 19.8% | |||||||
Communication Services 2.0% | |||||||
CBS Radio Inc. | |||||||
Term Loan B, 5.26%, (3M LIBOR + 2.75%), 11/18/24 (d) | 73,206 | 68,814 | |||||
CenturyLink Inc. | |||||||
Term Loan B, 5.27%, (3M LIBOR + 2.75%), 01/15/25 (d) | 248,744 | 231,580 | |||||
Frontier Communications Corp. | |||||||
Term Loan B-1, 6.10%, (3M LIBOR + 3.75%), 05/31/24 (d) | 248,737 | 230,239 | |||||
Sprint Communications Inc. | |||||||
1st Lien Term Loan B, 4.88%, (3M LIBOR + 2.50%), 02/01/24 (d) | 149,241 | 141,655 | |||||
Virgin Media Bristol LLC | |||||||
Term Loan K, 4.96%, (3M LIBOR + 2.50%), 02/10/26 (d) | 150,000 | 141,732 | |||||
Windstream Services LLC | |||||||
Term Loan B-6, 6.46%, (3M LIBOR + 4.00%), 03/29/21 (d) | 149,237 | 132,553 | |||||
946,573 | |||||||
Consumer Discretionary 7.3% | |||||||
1011778 B.C. Unltd. Liability Co. | |||||||
Term Loan B-3, 4.59%, (3M LIBOR + 2.25%), 02/15/24 (d) | 224,334 | 213,303 | |||||
American Axle & Manufacturing Inc. | |||||||
Term Loan B, 4.74%, (3M LIBOR + 2.25%), 03/10/24 (d) | 86,077 | 81,236 | |||||
Term Loan B, 4.76%, (3M LIBOR + 2.25%), 03/10/24 (d) | 126,740 | 119,611 | |||||
ARAMARK Services Inc. | |||||||
Term Loan B-2, 4.09%, (3M LIBOR + 1.75%), 03/28/24 (d) | 132,531 | 128,183 | |||||
Term Loan, 4.09%, (3M LIBOR + 1.75%), 03/01/25 (d) | 187,000 | 181,235 | |||||
Caesars Entertainment Operating Co. | |||||||
Term Loan, 4.34%, (3M LIBOR + 2.00%), 04/03/24 (d) | 223,869 | 212,116 | |||||
Caesars Resort Collection LLC | |||||||
1st Lien Term Loan B, 5.09%, (3M LIBOR + 2.75%), 12/23/24 (d) | 248,744 | 238,438 | |||||
Charter Communications Operating LLC | |||||||
Term Loan B, 4.35%, (3M LIBOR + 2.00%), 04/30/25 (d) | 198,995 | 190,315 | |||||
CityCenter Holdings LLC | |||||||
Term Loan B, 4.59%, (1M LIBOR + 2.25%), 04/14/24 (d) | 198,990 | 187,974 | |||||
CSC Holdings LLC | |||||||
1st Lien Term Loan, 4.71%, (3M LIBOR + 2.25%), 07/15/25 (d) | 159,595 | 151,057 | |||||
Eldorado Resorts LLC | |||||||
Term Loan B, 4.75%, (1M LIBOR + 2.25%), 03/15/24 (d) | 85,000 | 81,105 | |||||
Four Seasons Hotels Ltd. | |||||||
1st Lien Term Loan, 4.34%, (3M LIBOR + 2.00%), 11/30/23 (d) | 124,365 | 119,058 | |||||
Golden Nugget Inc. | |||||||
Incremental Term Loan B, 5.09%, (3M LIBOR + 2.75%), 09/07/23 (d) | 1,390 | 1,334 | |||||
Incremental Term Loan B, 5.19%, (3M LIBOR + 2.75%), 09/07/23 (d) | 84,437 | 81,060 | |||||
Incremental Term Loan B, 5.28%, (3M LIBOR + 2.75%), 10/04/23 (d) | 105,585 | 101,361 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
42
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Marriott Ownership Resorts Inc. | |||||||
Term Loan B, 4.59%, (3M LIBOR + 2.25%), 08/29/25 (d) | 348,000 | 339,300 | |||||
Mohegan Tribal Gaming Authority | |||||||
Term Loan B, 6.34%, (3M LIBOR + 4.00%), 10/30/23 (d) | 198,958 | 176,675 | |||||
Numericable Group SA | |||||||
Term Loan B-11, 5.09%, (3M LIBOR + 2.75%), 07/31/25 (d) | 298,485 | 272,517 | |||||
Seminole Hard Rock Entertainment Inc. | |||||||
Term Loan B, 5.15%, (3M LIBOR + 2.75%), 05/15/20 (d) | 199,474 | 196,148 | |||||
SIWF Holdings Inc. | |||||||
1st Lien Term Loan, 6.72%, (3M LIBOR + 4.25%), 05/25/25 (d) | 64,675 | 62,695 | |||||
Staples Inc. | |||||||
Term Loan B, 6.54%, (3M LIBOR + 4.00%), 08/15/24 (d) | 124,372 | 118,983 | |||||
UFC Holdings LLC | |||||||
1st Lien Term Loan, 5.78%, (3M LIBOR + 3.25%), 07/22/23 (d) | 84,567 | 82,200 | |||||
Univision Communications Inc. | |||||||
Term Loan C-5, 5.09%, (3M LIBOR + 2.75%), 03/15/24 (d) | 228,788 | 206,577 | |||||
3,542,481 | |||||||
Consumer Staples 1.4% | |||||||
BJ's Wholesale Club Inc. | |||||||
1st Lien Term Loan, 5.43%, (3M LIBOR + 3.00%), 01/26/24 (d) | 116,776 | 113,302 | |||||
Diamond (BC) BV | |||||||
Term Loan, 5.53%, (1M LIBOR + 3.00%), 07/24/24 (d) | 169,146 | 155,614 | |||||
Dole Food Co. Inc. | |||||||
Term Loan B, 5.09%, (1M LIBOR + 2.75%), 03/22/24 (d) | 48,584 | 47,064 | |||||
Term Loan B, 5.14%, (1M LIBOR + 2.75%), 03/22/24 (d) | 1,139 | 1,103 | |||||
Term Loan B, 5.18%, (1M LIBOR + 2.75%), 03/22/24 (d) | 24,292 | 23,532 | |||||
Term Loan B, 7.25%, (1M PRIME + 1.75%), 03/22/24 (d) | 25 | 25 | |||||
JBS USA LLC | |||||||
Term Loan B, 4.89%, (3M LIBOR + 2.50%), 10/30/22 (d) | 48,777 | 46,826 | |||||
Term Loan B, 5.30%, (3M LIBOR + 2.50%), 06/30/24 (d) | 284,527 | 273,146 | |||||
660,612 | |||||||
Energy 1.8% | |||||||
California Resources Corp. | |||||||
1st Lien Term Loan, 7.26%, (3M LIBOR + 4.75%), 11/08/22 (d) | 125,000 | 120,834 | |||||
Encino Acquisition Partners Holdings LLC | |||||||
2nd Lien Term Loan, 9.09%, (3M LIBOR + 6.75%), 09/26/25 (d) (m) | 140,000 | 131,600 | |||||
Equitrans Midstream Corp. | |||||||
Term Loan B, 0.00%, (3M LIBOR + 4.50%), 12/13/23 (d) (n) | 75,000 | 73,187 | |||||
Foresight Energy LLC | |||||||
1st Lien Term Loan, 8.28%, (1M LIBOR + 5.75%), 03/16/22 (d) | 140,000 | 136,791 | |||||
TEX Operations Co. LLC | |||||||
Term Loan B, 4.34%, (3M LIBOR + 2.00%), 08/04/23 (d) | 283,553 | 272,761 | |||||
Traverse Midstream Partners LLC | |||||||
Term Loan, 6.60%, (3M LIBOR + 4.00%), 09/22/24 (d) | 100,000 | 95,750 | |||||
Ultra Resources Inc. | |||||||
1st Lien Term Loan, 6.47%, (3M LIBOR + 4.00%), 04/14/24 (d) | 75,000 | 66,656 | |||||
897,579 | |||||||
Financials 0.5% | |||||||
Level 3 Financing Inc. | |||||||
Term Loan B, 4.75%, (3M LIBOR + 2.25%), 02/16/24 (d) | 250,000 | 236,875 | |||||
Shares/Par1 | Value ($) | ||||||
Health Care 2.4% | |||||||
Air Methods Corp. | |||||||
Term Loan B, 5.89%, (3M LIBOR + 3.50%), 04/12/24 (d) | 90,000 | 70,843 | |||||
Alphabet Holding Co. Inc. | |||||||
1st Lien Term Loan, 5.84%, (3M LIBOR + 3.50%), 08/15/24 (d) | 89,547 | 80,144 | |||||
Change Healthcare Holdings Inc. | |||||||
Term Loan B, 5.09%, (3M LIBOR + 2.75%), 02/02/24 - 02/03/24 (d) | 160,822 | 152,178 | |||||
Endo Luxembourg Finance Co. I SARL | |||||||
Term Loan B, 6.63%, (3M LIBOR + 4.25%), 04/12/24 (d) | 134,318 | 126,931 | |||||
Envision Healthcare Corp. | |||||||
1st Lien Term Loan, 6.09%, (3M LIBOR + 3.75%), 09/27/25 (d) | 298,000 | 277,033 | |||||
PharMerica Corp. | |||||||
1st Lien Term Loan, 5.96%, (3M LIBOR + 3.50%), 09/25/24 (d) | 129,348 | 123,097 | |||||
RegionalCare Hospital Partners Holdings Inc. | |||||||
Term Loan B, 7.13%, (3M LIBOR + 4.50%), 11/09/25 (d) | 250,000 | 236,562 | |||||
Surgery Center Holdings Inc. | |||||||
Term Loan B, 5.60%, (3M LIBOR + 3.25%), 06/18/24 (d) | 99,496 | 94,460 | |||||
1,161,248 | |||||||
Industrials 0.6% | |||||||
Gardner Denver Inc. | |||||||
Term Loan B, 5.09%, (1M LIBOR + 2.75%), 07/30/24 (d) | 97,215 | 93,660 | |||||
Tempo Acquisition LLC | |||||||
Term Loan, 5.34%, (3M LIBOR + 3.00%), 04/20/24 (d) | 228,838 | 218,541 | |||||
312,201 | |||||||
Information Technology 1.5% | |||||||
Ancestry.com Operations Inc. | |||||||
1st Lien Term Loan, 5.60%, (1M LIBOR + 3.25%), 10/19/23 (d) | 213,900 | 204,007 | |||||
First Data Corp. | |||||||
Term Loan, 4.50%, (1M LIBOR + 2.00%), 07/08/22 (d) | 179,960 | 172,537 | |||||
Radiate Holdco LLC | |||||||
1st Lien Term Loan, 5.52%, (3M LIBOR + 3.00%), 12/09/23 (d) | 154,215 | 145,130 | |||||
Refinitiv US Holdings Inc. | |||||||
Term Loan, 6.27%, (3M LIBOR + 3.75%), 09/12/25 (d) | 66,000 | 62,700 | |||||
SS&C Technologies Holdings Europe SARL | |||||||
Term Loan B-4, 4.59%, (3M LIBOR + 2.25%), 02/27/25 (d) | 44,644 | 42,029 | |||||
SS&C Technologies Inc. | |||||||
Term Loan B-3, 4.59%, (3M LIBOR + 2.25%), 02/27/25 (d) | 117,698 | 110,804 | |||||
737,207 | |||||||
Materials 1.5% | |||||||
Berry Global Inc. | |||||||
Term Loan S, 4.14%, (3M LIBOR + 1.75%), 02/02/20 (d) | 196,875 | 193,164 | |||||
BWAY Holding Co. | |||||||
Term Loan B, 5.66%, (3M LIBOR + 3.25%), 04/03/24 (d) | 198,990 | 186,718 | |||||
Klockner-Pentaplast of America Inc. | |||||||
Term Loan B-2, 6.77%, (3M LIBOR + 4.25%), 06/30/22 (d) | 149,244 | 120,888 | |||||
MacDermid Inc. | |||||||
Term Loan B-7, 4.84%, (3M LIBOR + 2.50%), 06/07/20 (d) | 100,000 | 99,469 | |||||
Messer Industries GmbH | |||||||
Term Loan, 0.00%, (3M LIBOR + 2.50%), 09/19/25 (d) (n) | 121,000 | 114,547 | |||||
714,786 | |||||||
Real Estate 0.3% | |||||||
MGM Growth Properies Operating Partnership LP | |||||||
Term Loan B, 4.34%, (3M LIBOR + 2.00%), 04/20/23 (d) | 149,233 | 142,571 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
43
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Utilities 0.5% | |||||||
Calpine Corp. | |||||||
Term Loan B-5, 4.89%, (3M LIBOR + 2.50%), 05/23/22 (d) | 198,969 | 188,678 | |||||
Vistra Operations Co. LLC | |||||||
Term Loan B-2, 4.59%, (3M LIBOR + 2.25%), 12/14/23 (d) | 74,619 | 71,573 | |||||
260,251 | |||||||
Total Senior Loan Interests (cost $10,122,794) | 9,612,384 | ||||||
GOVERNMENT AND AGENCY OBLIGATIONS 0.6% | |||||||
Sovereign 0.4% | |||||||
Mexico Government International Bond | |||||||
3.75%, 01/11/28 | 220,000 | 206,533 | |||||
U.S. Treasury Securities 0.2% | |||||||
U.S. Treasury Note | |||||||
2.88%, 07/31/25 | 79,000 | 80,383 | |||||
Total Government And Agency Obligations (cost $287,070) | 286,916 | ||||||
SHORT TERM INVESTMENTS 3.6% | |||||||
Investment Companies 3.6% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.29% (o) | 1,751,526 | 1,751,526 | |||||
Total Short Term Investments (cost $1,751,526) | 1,751,526 | ||||||
Total Investments 104.8% (cost $52,957,225) | 50,927,360 | ||||||
Total Securities Sold Short (5.8)% (proceeds $2,888,826) | (2,823,924) | ||||||
Other Derivative Instruments 0.1% | 58,409 | ||||||
Other Assets and Liabilities, Net 0.9% | 412,410 | ||||||
Total Net Assets 100.0% | 48,574,255 |
(a) Non-income producing security.
(b) All or a portion of the security is pledged or segregated as collateral.
(c) The Adviser has deemed this security which is exempt from registration under the Securities Act of 1933, as amended, to be liquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited. As of December 31, 2018, the value and the percentage of net assets of these liquid securities were $14,948,196 and 30.8%, respectively.
(d) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are presented. Certain variable rate securities do not indicate a reference rate and spread because they are determined by the issuer, remarketing agent, or offering documents and are based on current market conditions. The coupon rate for securities with certain features outlined in the offering documents may vary from the stated reference rate and spread. This includes, but is not limited to, securities with deferred rates, contingent distributions, caps, floors, and fixed-rate to float-rate features. In addition, variable rates for government and agency collateralized mortgage obligations (“CMO”) and mortgage-backed securities (“MBS”) are determined by tranches of underlying mortgage-backed security pools’ cash flows into securities and pass-through rates which reflects the rate earned on the asset pool after management and guarantee fees are paid to the securitizing corporation. CMO and MBS variable rates are determined by a formula set forth in the security’s offering documents.
(e) Issuer was in bankruptcy and/or was in default relating to principal and/or interest. Partial or no payments were paid on the last interest or dividend date.
(f) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(g) Pay-in-kind security. Stated coupon is the pay-in-kind rate. The interest earned by the security may be paid in cash or additional par.
(h) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited.
(i) Security is restricted to resale to institutional investors. See Restricted Securities in the Schedules of Investments.
(j) Perpetual security. Next contractual call date presented, if applicable.
(k) Convertible security.
(l) Security is a step-up bond where the coupon may increase or step up at a future date or as the result of an upgrade or downgrade to the credit rating of the issuer. Rate stated was the coupon as of December 31, 2018.
(m) Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the PPM Funds' Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(n) This senior loan will settle after December 31, 2018. The reference rate and spread presented will go into effect upon settlement.
(o) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2018.
Shares/Par1 | Value ($) | ||||||
SECURITIES SOLD SHORT (5.8%) | |||||||
CORPORATE BONDS AND NOTES (5.8%) | |||||||
Consumer Discretionary (1.0%) | |||||||
Harley-Davidson Inc. | |||||||
3.50%, 07/28/25 | (500,000) | (477,444) | |||||
Energy (0.8%) | |||||||
Southwestern Energy Co. | |||||||
6.20%, 01/23/25 (a) | (432,000) | (390,126) | |||||
Industrials (1.5%) | |||||||
AECOM | |||||||
5.88%, 10/15/24 | (750,000) | (744,056) | |||||
Shares/Par1 | Value ($) | ||||||
Information Technology (0.6%) | |||||||
Intel Corp. | |||||||
4.10%, 05/11/47 | (275,000) | (271,720) | |||||
Materials (0.9%) | |||||||
International Paper Co. | |||||||
3.00%, 02/15/27 | (500,000) | (457,107) | |||||
Real Estate (1.0%) | |||||||
Simon Property Group LP | |||||||
3.30%, 01/15/26 | (500,000) | (483,471) | |||||
Total Corporate Bonds And Notes (proceeds $2,888,826) | (2,823,924) | ||||||
Total Securities Sold Short (5.8%) (proceeds $2,888,826) | (2,823,924) |
(a) Security is a step-up bond where the coupon may increase or step up at a future date or as the result of an upgrade or downgrade to the credit rating of the issuer. Rate stated was the coupon as of December 31, 2018.
Restricted Securities | |||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | ||||||
High Ridge Brands Co., 8.88%, 03/15/25 | 07/16/18 | 14,336 | 13,149 | — | |||||
Mexico City Airport Trust, 5.50%, 07/31/47 | 07/16/18 | 36,362 | 35,261 | 0.1 | |||||
50,698 | 48,410 | 0.1 |
PPM Long Short Credit Fund — Futures Contracts | ||||||||||||||||
Reference Entity | Contracts Long (Short)1 | Expiration | Notional 1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | |||||||||||
U.S. Treasury Long Bond | (14) | March 2019 | (1,955,329) | (6,562) | (88,671) | |||||||||||
U.S. Treasury Note, 10-Year | (66) | March 2019 | (7,883,118) | (25,781) | (169,913) | |||||||||||
U.S. Treasury Note, 2-Year | (22) | March 2019 | (4,642,339) | (3,094) | �� | (28,536) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
44
PPMFunds
Schedules of Investments
December 31, 2018
PPM Long Short Credit Fund — Futures Contracts (continued) | ||||||||||||||||
Reference Entity | Contracts Long (Short)1 | Expiration | Notional 1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | |||||||||||
U.S. Treasury Note, 5-Year | (57) | March 2019 | (6,438,176) | (14,250) | (99,012) | |||||||||||
Ultra 10-Year U.S. Treasury Note | (9) | March 2019 | (1,147,670) | (4,219) | (23,033) | |||||||||||
Ultra Long Term U.S. Treasury Bond | (4) | March 2019 | (613,206) | (2,375) | (29,419) | |||||||||||
(56,281) | (438,584) |
PPM Long Short Credit Fund — Centrally Cleared Credit Default Swap Agreements | ||||||||||||||||||
Reference Entity2 | Fixed Receive/ Pay Rate8 (%) | Expiration | Notional1,7 | Value6 ($) | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Credit default swap agreements - purchase protection3 | ||||||||||||||||||
CDX.NA.IG.31 (Q) | 1.00 | 12/20/23 | 3,750,000 | (20,816) | (694) | 35,746 | ||||||||||||
Credit default swap agreements - sell protection4 | ||||||||||||||||||
CDX.NA.HY.31 (Q) | 5.00 | 12/20/23 | (500,000) | 9,966 | 365 | (17,033) | ||||||||||||
PPM Long Short Credit Fund — OTC Credit Default Swap Agreements | ||||||||||||||||||||||||||
Reference Entity2 | Counter-party | Implied Credit Spread 5 (%) | Fixed Receive/ Pay Rate8 (%) | Expiration | Notional 1,7 ($) | Value6 ($) | Premiums Paid (Received) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||
Credit default swap agreements - purchase protection3 | ||||||||||||||||||||||||||
L Brands Inc. (Q) | JPM | N/A | 1.00 | 12/20/23 | 1,000,000 | 103,772 | 99,924 | 3,848 | ||||||||||||||||||
Viacom Inc. (Q) | CGM | N/A | 1.00 | 12/20/23 | 600,000 | 11,247 | 562 | 10,685 | ||||||||||||||||||
1,600,000 | 115,019 | 100,486 | 14,533 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
45
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
PPM Strategic Income Fund | |||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 6.8% | |||||||
American Airlines Pass-Through Trust | |||||||
Series 2013-B-2, 5.60%, 07/15/20 (a) | 211,570 | 212,713 | |||||
Series 2013-A-2, 4.95%, 01/15/23 | 33,320 | 33,873 | |||||
Series 2016-AA-2, 3.20%, 06/15/28 | 162,810 | 151,918 | |||||
American Tower Trust I | |||||||
Series 2013-A-2, 3.07%, 03/15/23 (a) | 338,000 | 331,242 | |||||
Ascentium Equipment Receivables Trust | |||||||
Series 2017-A2-2A, 2.00%, 05/11/20 (a) | 65,925 | 65,624 | |||||
Series 2018-A2-1A, 2.92%, 12/10/20 (a) | 73,000 | 72,946 | |||||
Series 2017-A3-2A, 2.31%, 12/10/21 (a) | 113,000 | 111,522 | |||||
Series 2016-A3-1A, REMIC, 1.92%, 12/10/19 (a) | 7,163 | 7,161 | |||||
CCG Receivables Trust | |||||||
Series 2018-A2-1, 2.50%, 02/14/21 (a) | 254,857 | 253,306 | |||||
CIG Auto Receivables Trust | |||||||
Series 2017-A-1A, 2.71%, 05/15/23 (a) | 92,725 | 92,189 | |||||
Continental Airlines Inc. Pass-Through Trust | |||||||
Series 2012-A-2, 4.00%, 10/29/24 | 104,034 | 102,380 | |||||
CSMC Trust | |||||||
Series 2017-A3-HL2, 3.50%, 10/25/47 (a) (b) | 124,260 | 121,630 | |||||
Dell Equipment Finance Trust | |||||||
Series 2016-B-1, 2.03%, 01/22/19 (a) | 28,833 | 28,826 | |||||
Series 2018-A2A-1, 2.97%, 10/22/20 (a) | 107,000 | 106,981 | |||||
Series 2017-A3-2, 2.19%, 10/24/22 (a) | 155,000 | 153,962 | |||||
Engs Commercial Finance Trust | |||||||
Series 2018-A1-1A, 2.97%, 02/22/21 (a) | 61,240 | 61,131 | |||||
Foundation Finance Trust | |||||||
Series 2017-A-1A, 3.30%, 08/15/22 (a) | 156,356 | 155,409 | |||||
GLS Auto Receivables Trust | |||||||
Series 2018-A-3A, 3.35%, 08/15/22 (a) | 77,386 | 77,404 | |||||
GM Financial Consumer Automobile Receivables Trust | |||||||
Series 2018-A1-3, 2.37%, 07/16/19 | 67,871 | 67,857 | |||||
GreatAmerica Leasing Receivables Funding LLC | |||||||
Series 2018-A3-1, 2.60%, 06/15/21 (a) | 125,000 | 124,392 | |||||
Series 2018-A4-1, 2.83%, 06/17/24 (a) | 100,000 | 99,618 | |||||
GS Mortgage Securities Trust | |||||||
Series 2017-B-SLP, REMIC, 3.77%, 10/12/22 (a) | 392,000 | 393,281 | |||||
Hilton Grand Vacations Trust | |||||||
Series 2017-A-AA, 2.66%, 12/26/28 (a) | 167,741 | 166,004 | |||||
MVW Owner Trust | |||||||
Series 2017-A-1A, 2.42%, 12/20/34 (a) | 153,412 | 150,508 | |||||
United Auto Credit Securitization Trust | |||||||
Series 2018-A-2, 2.89%, 03/10/21 (a) | 54,389 | 54,327 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
Series 2017-B-C38, 3.92%, 07/15/50 (b) | 125,000 | 121,019 | |||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $3,318,733) | 3,317,223 | ||||||
CORPORATE BONDS AND NOTES 75.0% | |||||||
Communication Services 9.2% | |||||||
Altice Luxembourg SA | |||||||
5.88%, 02/01/27, EUR (a) | 100,000 | 112,837 | |||||
AMC Entertainment Holdings Inc. | |||||||
6.13%, 05/15/27 | 83,000 | 71,034 | |||||
AT&T Inc. | |||||||
3.96%, (3M USD LIBOR + 1.18%), 06/12/24 (b) | 165,000 | 160,049 | |||||
5.25%, 03/01/37 | 48,000 | 47,150 | |||||
CB Escrow Corp. | |||||||
8.00%, 10/15/25 (a) | 125,000 | 103,729 | |||||
CBS Radio Inc. | |||||||
7.25%, 11/01/24 (a) (c) | 72,000 | 67,205 | |||||
CCO Holdings LLC | |||||||
5.13%, 05/01/27 (a) | 211,000 | 196,406 | |||||
5.88%, 05/01/27 (a) | 125,000 | 121,645 | |||||
Charter Communications Operating LLC | |||||||
4.91%, 07/23/25 | 278,000 | 276,281 | |||||
5.38%, 04/01/38 | 123,000 | 113,536 | |||||
Comcast Corp. | |||||||
3.38%, 08/15/25 | 68,000 | 66,341 | |||||
4.15%, 10/15/28 | 203,000 | 206,258 | |||||
4.60%, 10/15/38 | 143,000 | 144,554 | |||||
3.40%, 07/15/46 | 75,000 | 62,143 | |||||
Shares/Par1 | Value ($) | ||||||
4.95%, 10/15/58 | 85,000 | 86,895 | |||||
DISH DBS Corp. | |||||||
5.00%, 03/15/23 | 237,000 | 195,199 | |||||
7.75%, 07/01/26 | 83,000 | 68,665 | |||||
Frontier Communications Corp. | |||||||
11.00%, 09/15/25 | 48,000 | 29,911 | |||||
Hughes Satellite Systems Corp. | |||||||
6.50%, 06/15/19 | 75,000 | 75,750 | |||||
iHeartCommunications Inc. | |||||||
0.00%, 03/01/21 (d) (e) | 229,000 | 153,247 | |||||
Intelsat Jackson Holdings SA | |||||||
8.50%, 10/15/24 (a) | 116,000 | 111,940 | |||||
Live Nation Entertainment Inc. | |||||||
5.38%, 06/15/22 (a) | 42,000 | 41,685 | |||||
4.88%, 11/01/24 (a) | 87,000 | 82,757 | |||||
5.63%, 03/15/26 (a) | 40,000 | 39,100 | |||||
NBCUniversal Enterprise Inc. | |||||||
5.25%, (callable at 100 beginning 03/19/21) (a) (f) | 318,000 | 322,108 | |||||
Netflix Inc. | |||||||
4.38%, 11/15/26 (c) | 94,000 | 85,847 | |||||
5.88%, 11/15/28 (a) | 70,000 | 68,128 | |||||
4.63%, 05/15/29, EUR (a) | 150,000 | 168,403 | |||||
Numericable - SFR SA | |||||||
7.38%, 05/01/26 (a) | 68,000 | 62,370 | |||||
Radiate Holdco LLC | |||||||
6.63%, 02/15/25 (a) | 45,000 | 38,800 | |||||
Sinclair Television Group Inc. | |||||||
5.88%, 03/15/26 (a) | 94,000 | 87,798 | |||||
Sirius XM Radio Inc. | |||||||
6.00%, 07/15/24 (a) | 153,000 | 154,006 | |||||
Sprint Corp. | |||||||
7.13%, 06/15/24 | 44,000 | 43,535 | |||||
Sprint Nextel Corp. | |||||||
7.00%, 03/01/20 (a) | 292,000 | 299,672 | |||||
Sprint Spectrum Co. LLC | |||||||
3.36%, 09/20/21 (a) | 46,063 | 45,430 | |||||
Telesat Canada | |||||||
8.88%, 11/15/24 (a) | 107,000 | 111,331 | |||||
T-Mobile USA Inc. | |||||||
6.00%, 04/15/24 | 54,000 | 54,039 | |||||
Vodafone Group Plc | |||||||
5.00%, 05/30/38 | 36,000 | 33,670 | |||||
Wind Tre SpA | |||||||
2.63%, 01/20/23, EUR (a) | 209,000 | 216,026 | |||||
Zayo Group LLC | |||||||
5.75%, 01/15/27 (a) | 67,000 | 59,627 | |||||
4,485,107 | |||||||
Consumer Discretionary 6.9% | |||||||
1011778 B.C. Unltd. Liability Co. | |||||||
5.00%, 10/15/25 (a) | 113,000 | 103,964 | |||||
24 Hour Holdings III LLC | |||||||
8.00%, 06/01/22 (a) (c) | 93,000 | 88,154 | |||||
American Axle & Manufacturing Inc. | |||||||
6.50%, 04/01/27 (c) | 200,000 | 179,665 | |||||
Beazer Homes USA Inc. | |||||||
5.88%, 10/15/27 | 53,000 | 41,870 | |||||
Boyd Gaming Corp. | |||||||
6.88%, 05/15/23 | 86,000 | 86,847 | |||||
Delphi Jersey Holdings Plc | |||||||
5.00%, 10/01/25 (a) | 66,000 | 55,442 | |||||
Delta Merger Sub Inc. | |||||||
6.00%, 09/15/26 (a) | 42,000 | 39,689 | |||||
Fiat Chrysler Automobiles NV | |||||||
5.25%, 04/15/23 | 84,000 | 82,302 | |||||
Ford Motor Co. | |||||||
5.29%, 12/08/46 | 53,000 | 43,548 | |||||
GLP Capital LP | |||||||
5.38%, 04/15/26 | 51,000 | 50,470 | |||||
Golden Nugget Inc. | |||||||
6.75%, 10/15/24 (a) | 205,000 | 193,177 | |||||
Home Depot Inc. | |||||||
2.13%, 09/15/26 | 146,000 | 131,638 | |||||
3.90%, 12/06/28 | 52,000 | 53,295 | |||||
4.50%, 12/06/48 | 30,000 | 31,023 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
46
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
KB Home | |||||||
4.75%, 05/15/19 | 106,000 | 105,777 | |||||
7.50%, 09/15/22 | 104,000 | 107,186 | |||||
KFC Holding Co. | |||||||
4.75%, 06/01/27 (a) | 124,000 | 115,441 | |||||
Mattamy Group Corp. | |||||||
6.50%, 10/01/25 (a) | 15,000 | 13,634 | |||||
MGM Resorts International | |||||||
6.75%, 10/01/20 | 417,000 | 429,603 | |||||
Mohegan Tribal Gaming Authority | |||||||
7.88%, 10/15/24 (a) | 161,000 | 149,816 | |||||
Nemak SAB de CV | |||||||
4.75%, 01/23/25 (a) | 191,000 | 178,288 | |||||
New Cotai LLC | |||||||
10.63%, 05/01/19 (a) (g) | 122,781 | 69,461 | |||||
Sands China Ltd. | |||||||
5.40%, 08/08/28 (a) (h) | 311,000 | 300,239 | |||||
Schaeffler Holding Finance BV | |||||||
3.50%, 05/15/22, EUR (a) | 222,000 | 255,119 | |||||
Scientific Games International Inc. | |||||||
5.00%, 10/15/25 (a) | 258,000 | 231,188 | |||||
Target Corp. | |||||||
3.90%, 11/15/47 | 54,000 | 49,726 | |||||
Tenneco Inc. | |||||||
5.38%, 12/15/24 | 45,000 | 38,910 | |||||
VOC Escrow Ltd. | |||||||
5.00%, 02/15/28 (a) | 130,000 | 120,607 | |||||
3,346,079 | |||||||
Consumer Staples 3.9% | |||||||
Anheuser-Busch InBev Worldwide Inc. | |||||||
3.65%, 02/01/26 (a) | 150,000 | 141,516 | |||||
4.90%, 02/01/46 (a) | 153,000 | 141,630 | |||||
BAT Capital Corp. | |||||||
3.56%, 08/15/27 | 79,000 | 70,149 | |||||
4.39%, 08/15/37 | 165,000 | 135,298 | |||||
4.54%, 08/15/47 | 83,000 | 66,276 | |||||
Conagra Brands Inc. | |||||||
5.40%, 11/01/48 | 65,000 | 59,990 | |||||
Cott Holdings Inc. | |||||||
5.50%, 04/01/25 (a) | 99,000 | 93,590 | |||||
General Mills Inc. | |||||||
4.20%, 04/17/28 | 21,000 | 20,523 | |||||
High Ridge Brands Co. | |||||||
8.88%, 03/15/25 (i) (j) | 46,000 | 20,162 | |||||
JBS Investments GmbH | |||||||
7.25%, 04/03/24 (a) | 143,000 | 145,074 | |||||
JBS Investments II GmbH | |||||||
7.00%, 01/15/26 (a) | 200,000 | 197,030 | |||||
JBS USA Lux SA | |||||||
6.75%, 02/15/28 (a) | 101,000 | 98,661 | |||||
Matterhorn Merger Sub LLC | |||||||
8.50%, 06/01/26 (a) | 125,000 | 99,553 | |||||
Pilgrim's Pride Corp. | |||||||
5.88%, 09/30/27 (a) | 75,000 | 68,378 | |||||
Post Holdings Inc. | |||||||
5.63%, 01/15/28 (a) | 177,000 | 162,966 | |||||
Reynolds American Inc. | |||||||
4.45%, 06/12/25 | 81,000 | 78,240 | |||||
5.70%, 08/15/35 | 53,000 | 52,222 | |||||
Sigma Holdco BV | |||||||
7.88%, 05/15/26 (a) | 250,000 | 216,340 | |||||
Tyson Foods Inc. | |||||||
5.10%, 09/28/48 | 58,000 | 55,642 | |||||
1,923,240 | |||||||
Energy 9.2% | |||||||
Alta Mesa Holdings LP | |||||||
7.88%, 12/15/24 (c) | 206,000 | 130,675 | |||||
Andeavor Logistics LP | |||||||
3.50%, 12/01/22 | 45,000 | 43,560 | |||||
4.25%, 12/01/27 | 40,000 | 37,732 | |||||
5.20%, 12/01/47 | 44,000 | 39,632 | |||||
Antero Resources Corp. | |||||||
5.13%, 12/01/22 | 33,000 | 31,018 | |||||
Shares/Par1 | Value ($) | ||||||
Callon Petroleum Co. | |||||||
6.38%, 07/01/26 | 125,000 | 116,392 | |||||
Cheniere Corpus Christi Holdings LLC | |||||||
5.88%, 03/31/25 | 82,000 | 81,717 | |||||
5.13%, 06/30/27 | 199,000 | 187,606 | |||||
CITGO Holding Inc. | |||||||
10.75%, 02/15/20 (a) | 94,000 | 95,841 | |||||
Columbia Pipeline Group Inc. | |||||||
5.80%, 06/01/45 | 42,000 | 44,254 | |||||
Continental Resources Inc. | |||||||
4.50%, 04/15/23 | 123,000 | 121,141 | |||||
4.38%, 01/15/28 | 108,000 | 102,041 | |||||
Denbury Resources Inc. | |||||||
9.25%, 03/31/22 (a) | 112,000 | 103,528 | |||||
7.50%, 02/15/24 (a) | 80,000 | 64,398 | |||||
Diamondback Energy Inc. | |||||||
4.75%, 11/01/24 (a) | 187,000 | 180,510 | |||||
5.38%, 05/31/25 | 100,000 | 97,568 | |||||
Endeavor Energy Resources LP | |||||||
5.50%, 01/30/26 (a) | 19,000 | 19,286 | |||||
5.75%, 01/30/28 (a) | 19,000 | 19,381 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 169,000 | 162,924 | |||||
5.50%, 06/01/27 | 71,000 | 69,356 | |||||
5.80%, 06/15/38 | 80,000 | 77,385 | |||||
6.13%, 12/15/45 | 27,000 | 26,152 | |||||
Enterprise Products Operating LLC | |||||||
4.15%, 10/16/28 | 95,000 | 94,725 | |||||
4.80%, 02/01/49 | 84,000 | 81,418 | |||||
EP Energy LLC | |||||||
8.00%, 11/29/24 (a) (c) | 83,000 | 60,500 | |||||
8.00%, 02/15/25 (a) | 234,000 | 96,622 | |||||
Extraction Oil & Gas Inc. | |||||||
7.38%, 05/15/24 (a) | 76,000 | 63,269 | |||||
Kinder Morgan Energy Partners LP | |||||||
5.00%, 08/15/42 | 50,000 | 46,120 | |||||
Marathon Petroleum Corp. | |||||||
3.80%, 04/01/28 (a) | 30,000 | 28,247 | |||||
4.50%, 04/01/48 (a) | 35,000 | 29,386 | |||||
MPLX LP | |||||||
4.00%, 03/15/28 | 142,000 | 133,503 | |||||
5.50%, 02/15/49 | 63,000 | 61,070 | |||||
Nabors Industries Inc. | |||||||
5.50%, 01/15/23 (c) | 26,000 | 20,598 | |||||
5.75%, 02/01/25 | 125,000 | 94,336 | |||||
NGPL PipeCo LLC | |||||||
4.88%, 08/15/27 (a) | 23,000 | 21,874 | |||||
Oasis Petroleum Inc. | |||||||
6.25%, 05/01/26 (a) (c) | 96,000 | 80,822 | |||||
ONEOK Inc. | |||||||
7.50%, 09/01/23 | 81,000 | 90,907 | |||||
Parsley Energy LLC | |||||||
5.25%, 08/15/25 (a) | 106,000 | 96,227 | |||||
PDC Energy Inc. | |||||||
5.75%, 05/15/26 | 63,000 | 55,837 | |||||
Petroleos Mexicanos | |||||||
6.50%, 03/13/27 - 01/23/29 | 242,000 | 227,134 | |||||
Regency Energy Partners LP | |||||||
5.88%, 03/01/22 | 122,000 | 127,175 | |||||
5.00%, 10/01/22 | 63,000 | 64,228 | |||||
Sabine Pass Liquefaction LLC | |||||||
5.75%, 05/15/24 | 104,000 | 109,026 | |||||
5.63%, 03/01/25 | 13,000 | 13,498 | |||||
5.00%, 03/15/27 | 84,000 | 84,632 | |||||
4.20%, 03/15/28 | 179,000 | 170,749 | |||||
Spectra Energy Partners LP | |||||||
3.50%, 03/15/25 | 66,000 | 62,991 | |||||
Summit Midstream Partners LP | |||||||
9.50%, (callable at 104 beginning 12/15/22) (f) | 250,000 | 231,064 | |||||
Transocean Guardian Ltd. | |||||||
5.88%, 01/15/24 (a) | 28,000 | 26,869 | |||||
Transocean Inc. | |||||||
9.00%, 07/15/23 (a) | 125,000 | 124,336 | |||||
7.50%, 01/15/26 (a) | 39,000 | 34,281 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
47
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Transocean Pontus Ltd. | |||||||
6.13%, 08/01/25 (a) | 20,000 | 19,272 | |||||
Transocean Proteus Ltd. | |||||||
6.25%, 12/01/24 (a) | 128,800 | 124,503 | |||||
Trinidad Drilling Ltd. | |||||||
6.63%, 02/15/25 (a) | 27,000 | 27,208 | |||||
Weatherford International Ltd. | |||||||
9.88%, 02/15/24 (c) | 47,000 | 29,042 | |||||
4,483,566 | |||||||
Financials 21.4% | |||||||
Acrisure LLC | |||||||
7.00%, 11/15/25 (a) | 128,000 | 108,889 | |||||
AerCap Ireland Capital Ltd. | |||||||
3.65%, 07/21/27 | 68,000 | 58,925 | |||||
Ally Financial Inc. | |||||||
5.75%, 11/20/25 | 142,000 | 141,255 | |||||
American Express Co. | |||||||
3.70%, 08/03/23 | 250,000 | 250,722 | |||||
Antero Resources Finance Corp. | |||||||
5.38%, 11/01/21 | 176,000 | 170,611 | |||||
Ardagh Packaging Finance Plc | |||||||
6.00%, 02/15/25 (a) | 164,000 | 151,535 | |||||
Athene Global Funding | |||||||
4.00%, 01/25/22 (a) | 179,000 | 180,837 | |||||
Athene Holding Ltd. | |||||||
4.13%, 01/12/28 | 111,000 | 100,575 | |||||
Bank of America Corp. | |||||||
6.25%, (callable at 100 beginning 09/05/24) (f) | 86,000 | 84,710 | |||||
6.30%, (callable at 100 beginning 03/10/26) (f) | 55,000 | 56,044 | |||||
3.55%, 03/05/24 | 130,000 | 128,351 | |||||
3.86%, 07/23/24 | 161,000 | 160,772 | |||||
4.00%, 01/22/25 | 193,000 | 188,339 | |||||
4.25%, 10/22/26 | 111,000 | 108,106 | |||||
3.25%, 10/21/27 | 27,000 | 24,951 | |||||
Barclays Plc | |||||||
8.00%, (callable at 100 beginning 12/15/20), EUR (f) | 167,000 | 201,598 | |||||
4.97%, 05/16/29 (b) (k) | 200,000 | 193,042 | |||||
Bayer US Finance II LLC | |||||||
4.25%, 12/15/25 (a) | 77,000 | 75,180 | |||||
4.38%, 12/15/28 (a) | 74,000 | 70,834 | |||||
Capital One Financial Corp. | |||||||
3.75%, 03/09/27 | 107,000 | 99,610 | |||||
3.80%, 01/31/28 | 147,000 | 135,677 | |||||
Citigroup Inc. | |||||||
5.90%, (callable at 100 beginning 02/15/23) (f) | 290,000 | 269,761 | |||||
4.45%, 09/29/27 | 375,000 | 361,538 | |||||
3.89%, 01/10/28 (b) | 125,000 | 120,253 | |||||
Credit Suisse AG | |||||||
6.50%, 08/08/23 (a) | 310,000 | 323,644 | |||||
Credit Suisse Group AG | |||||||
7.50%, (callable at 100 beginning 12/11/23) (a) (f) | 204,000 | 208,080 | |||||
3.87%, 01/12/29 (a) | 17,000 | 15,822 | |||||
Dell EMC | |||||||
5.88%, 06/15/21 (a) | 49,000 | 49,046 | |||||
7.13%, 06/15/24 (a) | 38,000 | 38,671 | |||||
8.35%, 07/15/46 (a) | 189,000 | 204,732 | |||||
Eagle Holding Co. II LLC | |||||||
8.38%, 05/15/22 (a) (g) | 40,000 | 38,379 | |||||
Five Corners Funding Trust | |||||||
4.42%, 11/15/23 (a) | 125,000 | 128,647 | |||||
General Electric Capital Corp. | |||||||
6.75%, 03/15/32 | 83,000 | 86,732 | |||||
Glencore Funding LLC | |||||||
3.00%, 10/27/22 (a) | 61,000 | 58,529 | |||||
GLP Capital LP | |||||||
5.30%, 01/15/29 | 125,000 | 122,715 | |||||
Goldman Sachs Group Inc. | |||||||
3.00%, 04/26/22 | 43,000 | 41,727 | |||||
2.91%, 07/24/23 | 42,000 | 40,008 | |||||
4.00%, 03/03/24 | 58,000 | 57,138 | |||||
4.25%, 10/21/25 | 182,000 | 174,354 | |||||
4.22%, 05/01/29 | 145,000 | 140,007 | |||||
6.75%, 10/01/37 | 94,000 | 106,569 | |||||
Shares/Par1 | Value ($) | ||||||
HSBC Holdings Plc | |||||||
6.88%, (callable at 100 beginning 06/01/21) (f) (k) | 229,000 | 235,185 | |||||
4.29%, 09/12/26 | 200,000 | 197,460 | |||||
4.38%, 11/23/26 | 56,000 | 54,206 | |||||
Icahn Enterprises LP | |||||||
6.25%, 02/01/22 | 90,000 | 89,766 | |||||
6.38%, 12/15/25 | 151,000 | 146,184 | |||||
Intesa Sanpaolo SpA | |||||||
3.88%, 01/12/28 (a) | 100,000 | 84,964 | |||||
James Hardie International Finance DAC | |||||||
5.00%, 01/15/28 (a) | 80,000 | 69,043 | |||||
JPMorgan Chase & Co. | |||||||
5.30%, (callable at 100 beginning 05/01/20) (f) | 146,000 | 144,631 | |||||
4.02%, 12/05/24 | 202,000 | 203,510 | |||||
2.95%, 10/01/26 | 184,000 | 169,662 | |||||
3.78%, 02/01/28 (b) | 30,000 | 29,074 | |||||
4.01%, 04/23/29 | 62,000 | 60,913 | |||||
4.20%, 07/23/29 | 27,000 | 26,931 | |||||
4.45%, 12/05/29 | 82,000 | 83,309 | |||||
JPMorgan Chase Bank NA | |||||||
2.97%, (3M USD LIBOR + 0.23%), 09/01/20 (b) | 500,000 | 499,782 | |||||
3.51%, 01/23/29 | 72,000 | 68,183 | |||||
Lincoln National Corp. | |||||||
3.80%, 03/01/28 | 21,000 | 20,304 | |||||
4.35%, 03/01/48 | 35,000 | 32,348 | |||||
Lloyds Banking Group Plc | |||||||
7.50%, (callable at 100 beginning 09/27/25) (f) | 200,000 | 192,520 | |||||
Macquarie Group Ltd. | |||||||
5.03%, 01/15/30 (a) | 125,000 | 123,663 | |||||
Morgan Stanley | |||||||
3.65%, (3M USD LIBOR + 1.18%), 01/20/22 (b) | 100,000 | 99,672 | |||||
3.40%, (3M USD LIBOR + 0.93%), 07/22/22 (b) | 125,000 | 123,245 | |||||
4.88%, 11/01/22 | 167,000 | 172,367 | |||||
4.10%, 05/22/23 | 138,000 | 138,488 | |||||
3.88%, 04/29/24 | 73,000 | 72,657 | |||||
4.35%, 09/08/26 | 84,000 | 81,691 | |||||
3.63%, 01/20/27 | 60,000 | 57,056 | |||||
National Rural Utilities Cooperative Finance Corp. | |||||||
4.75%, 04/30/43 (b) | 131,000 | 122,976 | |||||
Navient Corp. | |||||||
6.75%, 06/15/26 | 96,000 | 79,688 | |||||
New York Life Global Funding | |||||||
2.56%, (3M USD LIBOR + 0.16%), 10/01/20 (a) (b) | 300,000 | 300,069 | |||||
Resideo Funding Inc. | |||||||
6.13%, 11/01/26 (a) | 44,000 | 43,451 | |||||
Santander UK Group Holdings Plc | |||||||
4.80%, 11/15/24 | 242,000 | 240,025 | |||||
Thames Water Kemble Finance Plc | |||||||
7.75%, 04/01/19, GBP | 83,000 | 106,820 | |||||
Virgin Media Secured Finance Plc | |||||||
5.13%, 01/15/25, GBP (a) | 209,000 | 263,840 | |||||
5.00%, 04/15/27, GBP (a) | 115,000 | 138,326 | |||||
Volkswagen Group of America Finance LLC | |||||||
4.63%, 11/13/25 (a) | 250,000 | 247,843 | |||||
Wells Fargo & Co. | |||||||
5.88%, (callable at 100 beginning 06/15/25) (f) | 88,000 | 86,900 | |||||
4.48%, 01/16/24 | 54,000 | 54,551 | |||||
Ziggo Bond Finance BV | |||||||
6.00%, 01/15/27 (a) | 229,000 | 198,559 | |||||
10,436,777 | |||||||
Health Care 6.8% | |||||||
Abbott Laboratories | |||||||
4.75%, 11/30/36 | 90,000 | 93,859 | |||||
AbbVie Inc. | |||||||
2.90%, 11/06/22 | 77,000 | 75,088 | |||||
Actavis Funding SCS | |||||||
4.55%, 03/15/35 | 82,000 | 78,044 | |||||
Catalent Pharma Solutions Inc. | |||||||
4.88%, 01/15/26 (a) | 21,000 | 19,753 | |||||
Celgene Corp. | |||||||
4.35%, 11/15/47 | 63,000 | 52,727 | |||||
Centene Corp. | |||||||
4.75%, 05/15/22 | 77,000 | 76,426 | |||||
4.75%, 01/15/25 | 101,000 | 96,567 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
48
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Centene Escrow I Corp. | |||||||
5.38%, 06/01/26 (a) | 156,000 | 152,357 | |||||
Community Health Systems Inc. | |||||||
8.63%, 01/15/24 (a) | 141,000 | 139,787 | |||||
CVS Health Corp. | |||||||
4.30%, 03/25/28 | 125,000 | 122,371 | |||||
4.78%, 03/25/38 | 118,000 | 113,678 | |||||
5.05%, 03/25/48 | 179,000 | 174,833 | |||||
Express Scripts Holding Co. | |||||||
3.40%, 03/01/27 | 117,000 | 108,568 | |||||
Gilead Sciences Inc. | |||||||
4.80%, 04/01/44 | 46,000 | 45,850 | |||||
4.50%, 02/01/45 | 63,000 | 60,404 | |||||
Halfmoon Parent Inc. | |||||||
4.38%, 10/15/28 (a) | 100,000 | 100,658 | |||||
4.90%, 12/15/48 (a) | 148,000 | 144,875 | |||||
HCA Holdings Inc. | |||||||
6.25%, 02/15/21 | 417,000 | 426,554 | |||||
HCA Inc. | |||||||
5.38%, 09/01/26 | 80,000 | 77,817 | |||||
inVentiv Group Holdings Inc. | |||||||
7.50%, 10/01/24 (a) | 33,000 | 34,380 | |||||
Lifepoint Health Inc. | |||||||
9.75%, 12/01/26 (a) | 200,000 | 190,497 | |||||
Mylan Inc. | |||||||
5.20%, 04/15/48 (a) | 27,000 | 22,030 | |||||
Prestige Brands Inc. | |||||||
6.38%, 03/01/24 (a) | 13,000 | 12,563 | |||||
Tenet Healthcare Corp. | |||||||
4.50%, 04/01/21 | 176,000 | 172,280 | |||||
4.38%, 10/01/21 | 25,000 | 24,206 | |||||
8.13%, 04/01/22 | 37,000 | 37,051 | |||||
6.75%, 06/15/23 | 53,000 | 49,755 | |||||
UnitedHealth Group Inc. | |||||||
3.75%, 07/15/25 | 45,000 | 45,400 | |||||
3.45%, 01/15/27 | 40,000 | 39,469 | |||||
3.88%, 12/15/28 | 61,000 | 61,713 | |||||
Valeant Pharmaceuticals International Inc. | |||||||
6.50%, 03/15/22 (a) | 16,000 | 16,089 | |||||
5.88%, 05/15/23 (a) | 17,000 | 15,682 | |||||
7.00%, 03/15/24 (a) | 49,000 | 49,633 | |||||
6.13%, 04/15/25 (a) | 104,000 | 90,394 | |||||
5.50%, 03/01/23 - 11/01/25 (a) | 126,000 | 117,278 | |||||
8.50%, 01/31/27 (a) | 19,000 | 18,409 | |||||
WellCare Health Plans Inc. | |||||||
5.25%, 04/01/25 | 148,000 | 142,490 | |||||
5.38%, 08/15/26 (a) | 47,000 | 45,459 | |||||
3,344,994 | |||||||
Industrials 5.2% | |||||||
AECOM | |||||||
5.13%, 03/15/27 | 400,000 | 342,404 | |||||
Aircastle Ltd. | |||||||
4.40%, 09/25/23 | 41,000 | 40,181 | |||||
4.13%, 05/01/24 | 72,000 | 67,501 | |||||
Allison Transmission Inc. | |||||||
5.00%, 10/01/24 (a) | 76,000 | 73,049 | |||||
Ashtead Capital Inc. | |||||||
5.25%, 08/01/26 (a) | 133,000 | 128,428 | |||||
Aviation Capital Group LLC | |||||||
4.38%, 01/30/24 (a) | 104,000 | 103,401 | |||||
Avolon Holdings Funding Ltd. | |||||||
5.13%, 10/01/23 (a) | 250,000 | 240,111 | |||||
Bombardier Inc. | |||||||
8.75%, 12/01/21 (a) | 63,000 | 64,890 | |||||
6.13%, 01/15/23 (a) | 82,000 | 76,833 | |||||
7.50%, 03/15/25 (a) | 68,000 | 64,090 | |||||
BWX Technologies Inc. | |||||||
5.38%, 07/15/26 (a) | 165,000 | 159,786 | |||||
CNH Industrial NV | |||||||
4.50%, 08/15/23 | 94,000 | 94,633 | |||||
Equifax Inc. | |||||||
3.60%, 08/15/21 | 165,000 | 164,719 | |||||
General Electric Co. | |||||||
5.00%, (callable at 100 beginning 01/21/21) (f) (i) | 520,000 | 400,400 | |||||
Shares/Par1 | Value ($) | ||||||
General Motors Co. | |||||||
5.95%, 04/01/49 | 60,000 | 54,613 | |||||
International Lease Finance Corp. | |||||||
4.63%, 04/15/21 | 86,000 | 86,620 | |||||
Johnson Controls International Plc | |||||||
5.13%, 09/14/45 | 41,000 | 40,757 | |||||
Mexico City Airport Trust | |||||||
5.50%, 07/31/47 (i) (j) | 40,000 | 35,261 | |||||
Standard Industries Inc. | |||||||
4.75%, 01/15/28 (a) | 168,000 | 140,202 | |||||
Tempo Acquisition LLC | |||||||
6.75%, 06/01/25 (a) | 70,000 | 65,932 | |||||
Union Pacific Corp. | |||||||
4.38%, 09/10/38 | 50,000 | 49,267 | |||||
United Rentals North America Inc. | |||||||
6.50%, 12/15/26 | 39,000 | 38,415 | |||||
2,531,493 | |||||||
Information Technology 1.4% | |||||||
Broadcom Corp. | |||||||
3.88%, 01/15/27 | 54,000 | 48,466 | |||||
Microsoft Corp. | |||||||
3.45%, 08/08/36 | 156,000 | 147,698 | |||||
3.95%, 08/08/56 | 90,000 | 88,102 | |||||
NXP BV | |||||||
4.13%, 06/01/21 (a) | 167,000 | 165,320 | |||||
5.35%, 03/01/26 (a) | 67,000 | 67,730 | |||||
Oracle Corp. | |||||||
4.00%, 11/15/47 | 82,000 | 76,340 | |||||
Radiate Holdco LLC | |||||||
6.88%, 02/15/23 (a) | 83,000 | 75,587 | |||||
669,243 | |||||||
Materials 5.8% | |||||||
Anglo American Capital Plc | |||||||
4.88%, 05/14/25 (a) | 121,000 | 118,905 | |||||
4.75%, 04/10/27 (a) | 159,000 | 151,749 | |||||
4.50%, 03/15/28 (a) | 408,000 | 380,409 | |||||
Berry Global Inc. | |||||||
4.50%, 02/15/26 (a) | 159,000 | 146,173 | |||||
BWAY Holding Co. | |||||||
7.25%, 04/15/25 (a) | 167,000 | 150,319 | |||||
CF Industries Inc. | |||||||
3.40%, 12/01/21 (a) | 156,000 | 152,327 | |||||
4.50%, 12/01/26 (a) | 77,000 | 75,453 | |||||
Corning Inc. | |||||||
5.85%, 11/15/68 | 148,000 | 149,806 | |||||
Crown Americas LLC | |||||||
4.50%, 01/15/23 | 81,000 | 79,005 | |||||
Flex Acquisition Co. Inc. | |||||||
6.88%, 01/15/25 (a) | 55,000 | 49,026 | |||||
FMG Resources August 2006 Pty Ltd. | |||||||
4.75%, 05/15/22 (a) | 88,000 | 83,601 | |||||
5.13%, 03/15/23 (a) | 72,000 | 68,149 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 | 187,000 | 173,424 | |||||
5.40%, 11/14/34 | 278,000 | 220,374 | |||||
FXI Holdings Inc. | |||||||
7.88%, 11/01/24 (a) | 156,000 | 134,163 | |||||
Hexion Inc. | |||||||
10.38%, 02/01/22 (a) | 43,000 | 33,986 | |||||
Olin Corp. | |||||||
5.00%, 02/01/30 | 64,000 | 55,965 | |||||
PSPC Escrow Corp. | |||||||
6.00%, 02/01/23, EUR (a) | 136,000 | 159,323 | |||||
Rain CII Carbon LLC | |||||||
7.25%, 04/01/25 (a) | 115,000 | 105,485 | |||||
Samarco Mineracao SA | |||||||
0.00%, 11/01/22 (d) (e) (i) (j) | 110,000 | 83,213 | |||||
Syngenta Finance NV | |||||||
5.68%, 04/24/48 (a) | 200,000 | 164,120 | |||||
Trinseo Materials Operating SCA | |||||||
5.38%, 09/01/25 (a) | 89,000 | 77,898 | |||||
2,812,873 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
49
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Real Estate 0.8% | |||||||
Boston Properties LP | |||||||
4.50%, 12/01/28 | 173,000 | 176,991 | |||||
Crown Castle International Corp. | |||||||
2.25%, 09/01/21 | 57,000 | 55,247 | |||||
Equinix Inc. | |||||||
2.88%, 10/01/25, EUR | 150,000 | 164,542 | |||||
396,780 | |||||||
Utilities 4.4% | |||||||
AES Corp. | |||||||
4.00%, 03/15/21 | 91,000 | 89,472 | |||||
5.50%, 04/15/25 | 254,000 | 252,805 | |||||
Ameren Illinois Co. | |||||||
4.50%, 03/15/49 | 104,000 | 109,675 | |||||
Calpine Corp. | |||||||
5.25%, 06/01/26 (a) | 100,000 | 91,250 | |||||
Commonwealth Edison Co. | |||||||
3.75%, 08/15/47 | 42,000 | 38,937 | |||||
Electricite de France SA | |||||||
4.50%, 09/21/28 (a) | 200,000 | 193,770 | |||||
Enel SpA | |||||||
8.75%, 09/24/73 (a) (b) | 165,000 | 173,250 | |||||
Exelon Corp. | |||||||
5.10%, 06/15/45 | 67,000 | 69,360 | |||||
FirstEnergy Corp. | |||||||
3.90%, 07/15/27 | 151,000 | 146,300 | |||||
4.85%, 07/15/47 (h) | 53,000 | 53,049 | |||||
Indiana Michigan Power Co. | |||||||
4.25%, 08/15/48 | 69,000 | 68,143 | |||||
MidAmerican Energy Holdings Co. | |||||||
6.13%, 04/01/36 | 41,000 | 48,921 | |||||
NextEra Energy Partners LP | |||||||
4.25%, 09/15/24 (a) | 69,000 | 63,483 | |||||
Oncor Electric Delivery Co. LLC | |||||||
2.95%, 04/01/25 | 146,000 | 142,554 | |||||
Pacific Gas & Electric Co. | |||||||
4.30%, 03/15/45 | 92,000 | 72,766 | |||||
Southern California Edison Co. | |||||||
4.13%, 03/01/48 | 46,000 | 43,881 | |||||
Southern Co. | |||||||
2.95%, 07/01/23 | 211,000 | 203,900 | |||||
Southern Water Greensands Financing Plc | |||||||
8.50%, 04/15/19, GBP | 175,000 | 226,244 | |||||
Wisconsin Energy Corp. | |||||||
3.55%, 06/15/25 | 42,000 | 41,589 | |||||
2,129,349 | |||||||
Total Corporate Bonds And Notes (cost $38,086,145) | 36,559,501 | ||||||
SENIOR LOAN INTERESTS 7.1% | |||||||
Communication Services 1.0% | |||||||
CenturyLink Inc. | |||||||
Term Loan B, 5.27%, (3M LIBOR + 2.75%), 01/15/25 (b) | 222,750 | 207,380 | |||||
Frontier Communications Corp. | |||||||
Term Loan B-1, 6.10%, (3M LIBOR + 3.75%), 05/31/24 (b) | 122,259 | 113,166 | |||||
Sprint Communications Inc. | |||||||
1st Lien Term Loan B, 4.88%, (3M LIBOR + 2.50%), 02/01/24 (b) | 160,368 | 152,216 | |||||
472,762 | |||||||
Consumer Discretionary 1.5% | |||||||
Caesars Entertainment Operating Co. | |||||||
Term Loan, 4.34%, (3M LIBOR + 2.00%), 04/03/24 (b) | 145,530 | 137,890 | |||||
Charter Communications Operating LLC | |||||||
Term Loan B, 4.35%, (3M LIBOR + 2.00%), 04/30/25 (b) | 49,500 | 47,341 | |||||
CSC Holdings LLC | |||||||
1st Lien Term Loan, 4.71%, (3M LIBOR + 2.25%), 07/15/25 (b) | 68,593 | 64,923 | |||||
Golden Nugget Inc. | |||||||
Incremental Term Loan B, 5.09%, (3M LIBOR + 2.75%), 09/07/23 (b) | — | — | |||||
Incremental Term Loan B, 5.19%, (3M LIBOR + 2.75%), 09/07/23 (b) | 41,036 | 39,395 | |||||
Shares/Par1 | Value ($) | ||||||
Incremental Term Loan B, 5.28%, (3M LIBOR + 2.75%), 10/04/23 (b) | 51,314 | 49,261 | |||||
Marriott Ownership Resorts Inc. | |||||||
Term Loan B, 4.59%, (3M LIBOR + 2.25%), 08/09/25 (b) | 268,000 | 261,300 | |||||
Stars Group Holdings BV | |||||||
Incremental Term Loan, 6.30%, (3M LIBOR + 3.50%), 06/29/25 (b) | 44,775 | 43,171 | |||||
UFC Holdings LLC | |||||||
1st Lien Term Loan, 5.78%, (3M LIBOR + 3.25%), 07/22/23 (b) | 96,513 | 93,810 | |||||
737,091 | |||||||
Consumer Staples 0.5% | |||||||
JBS USA LLC | |||||||
Term Loan B, 4.89%, (3M LIBOR + 2.50%), 10/30/22 (b) | 36,854 | 35,380 | |||||
Term Loan B, 5.30%, (3M LIBOR + 2.50%), 06/30/24 (b) | 214,979 | 206,380 | |||||
241,760 | |||||||
Energy 1.4% | |||||||
California Resources Corp. | |||||||
1st Lien Term Loan, 7.26%, (3M LIBOR + 4.75%), 11/08/22 (b) | 101,000 | 97,634 | |||||
Encino Acquisition Partners Holdings LLC | |||||||
2nd Lien Term Loan, 9.09%, (3M LIBOR + 6.75%), 09/26/25 (b) (l) | 140,000 | 131,600 | |||||
Equitrans Midstream Corp. | |||||||
Term Loan B, 0.00%, (3M LIBOR + 4.50%), 12/13/23 (b) (m) | 75,000 | 73,187 | |||||
Foresight Energy LLC | |||||||
1st Lien Term Loan, 8.28%, (1M LIBOR + 5.75%), 03/16/22 (b) | 114,096 | 111,481 | |||||
TEX Operations Co. LLC | |||||||
Term Loan B, 4.34%, (3M LIBOR + 2.00%), 08/04/23 (b) | 121,364 | 116,745 | |||||
Traverse Midstream Partners LLC | |||||||
Term Loan, 6.60%, (3M LIBOR + 4.00%), 09/22/24 (b) | 101,000 | 96,708 | |||||
Ultra Resources Inc. | |||||||
1st Lien Term Loan, 6.47%, (3M LIBOR + 4.00%), 04/14/24 (b) | 75,000 | 66,656 | |||||
694,011 | |||||||
Health Care 1.5% | |||||||
Alphabet Holding Co. Inc. | |||||||
1st Lien Term Loan, 5.84%, (3M LIBOR + 3.50%), 08/15/24 (b) | 78,233 | 70,018 | |||||
2nd Lien Term Loan , 10.09%, (3M LIBOR + 7.75%), 08/09/25 (b) | 55,000 | 45,100 | |||||
Change Healthcare Holdings Inc. | |||||||
Term Loan B, 5.09%, (3M LIBOR + 2.75%), 02/02/24 - 02/03/24 (b) | 157,104 | 148,658 | |||||
Envision Healthcare Corp. | |||||||
1st Lien Term Loan, 6.09%, (3M LIBOR + 3.75%), 09/27/25 (b) | 298,000 | 277,033 | |||||
RegionalCare Hospital Partners Holdings Inc. | |||||||
Term Loan B, 0.00%, (3M LIBOR + 4.50%), 11/09/25 (b) (m) | 200,000 | 189,250 | |||||
730,059 | |||||||
Industrials 0.4% | |||||||
Gol LuxCo SA | |||||||
1st Lien Term Loan, 6.50%, 08/18/20 | 165,000 | 168,713 | |||||
Information Technology 0.1% | |||||||
Refinitiv US Holdings Inc. | |||||||
Term Loan, 6.27%, (3M LIBOR + 3.75%), 09/12/25 (b) | 66,000 | 62,700 | |||||
Materials 0.6% | |||||||
BWAY Holding Co. | |||||||
Term Loan B, 5.66%, (3M LIBOR + 3.25%), 04/03/24 (b) | 73,256 | 68,739 | |||||
Klockner-Pentaplast of America Inc. | |||||||
Term Loan B-2, 6.77%, (3M LIBOR + 4.25%), 06/30/22 (b) | 124,058 | 100,487 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
50
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | ||||||
Messer Industries GmbH | |||||||
Term Loan, 0.00%, (3M LIBOR + 2.50%), 09/19/25 (b) (m) | 121,000 | 114,547 | |||||
283,773 | |||||||
Utilities 0.1% | |||||||
Calpine Corp. | |||||||
Term Loan B-8, 4.10%, (3M LIBOR + 1.75%), 12/26/19 (b) | 48,143 | 47,625 | |||||
Total Senior Loan Interests (cost $3,592,956) | 3,438,494 | ||||||
GOVERNMENT AND AGENCY OBLIGATIONS 6.0% | |||||||
Mortgage-Backed Securities 4.1% | |||||||
Federal Home Loan Mortgage Corp. | |||||||
4.00%, 11/01/40 | 263,858 | 271,434 | |||||
3.00%, 08/01/46 | 31,165 | 30,435 | |||||
3.00%, 11/01/46 | 23,616 | 23,062 | |||||
3.50%, 11/01/47 | 20,605 | 20,602 | |||||
Federal National Mortgage Association | |||||||
3.00%, 08/01/30 - 04/01/31 | 88,960 | 89,127 | |||||
TBA, 3.00%, 01/15/33 (n) | 21,000 | 20,962 | |||||
4.50%, 12/01/43 - 07/01/48 | 250,532 | 260,393 | |||||
4.00%, 10/01/44 - 08/01/48 | 73,062 | 74,631 | |||||
3.50%, 11/01/45 - 01/01/48 | 391,172 | 391,942 | |||||
3.00%, 05/01/43 - 04/01/46 | 266,383 | 261,306 | |||||
Government National Mortgage Association | |||||||
3.50%, 04/20/46 | 11,849 | 11,956 | |||||
3.50%, 08/20/46 - 09/20/46 | 368,841 | 372,060 | |||||
4.00%, 07/20/47 | 166,231 | 170,446 | |||||
1,998,356 | |||||||
Municipal 0.3% | |||||||
Port Authority of New York & New Jersey | |||||||
4.46%, 10/01/62 | 130,000 | 132,263 | |||||
Sovereign 0.4% | |||||||
Mexico Government International Bond | |||||||
3.75%, 01/11/28 | 225,000 | 211,227 | |||||
U.S. Treasury Securities 1.2% | |||||||
U.S. Treasury Bond | |||||||
2.50%, 02/15/46 | 447,000 | 404,605 | |||||
U.S. Treasury Note | |||||||
2.88%, 07/31/25 | 79,000 | 80,383 | |||||
2.25%, 11/15/25 | 77,000 | 75,316 | |||||
560,304 | |||||||
Total Government And Agency Obligations (cost $2,898,939) | 2,902,150 | ||||||
OTHER EQUITY INTERESTS 0.0% | |||||||
Quicksilver Resources Inc. Escrow (d) (l) (o) | 2,309,000 | — | |||||
Quicksilver Resources Inc. Escrow (d) (l) (o) | 291,000 | — | |||||
T-Mobile USA Inc. Escrow (d) (l) (o) | 54,000 | — | |||||
T-Mobile USA Inc. Escrow (d) (l) (o) | 77,000 | — | |||||
Total Other Equity Interests (cost $0) | — | ||||||
COMMON STOCKS 0.2% | |||||||
Energy 0.2% | |||||||
Chaparral Energy Inc. (a) (d) | 117 | 576 | |||||
Chaparral Energy Inc. - Class A (d) | 12,574 | 61,864 | |||||
Denbury Resources Inc. (d) | 26,197 | 44,797 | |||||
Total Common Stocks (cost $365,278) | 107,237 | ||||||
INVESTMENT COMPANIES 1.0% | |||||||
SPDR Barclays High Yield Bond ETF (c) | 14,900 | 500,491 | |||||
Total Investment Companies (cost $525,631) | 500,491 | ||||||
Shares/Par1 | Value ($) | ||||||
SHORT TERM INVESTMENTS 6.2% | |||||||
Investment Companies 4.5% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.29% (p) | 2,192,835 | 2,192,835 | |||||
Securities Lending Collateral 1.7% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.35% (p) | 831,060 | 831,060 | |||||
Total Short Term Investments (cost $3,023,895) | 3,023,895 | ||||||
Total Investments 102.3% (cost $51,811,577) | 49,848,991 | ||||||
Total Securities Sold Short (1.0)% (proceeds $502,488) | (496,037) | ||||||
Other Derivative Instruments (0.0)% | (19,122) | ||||||
Other Assets and Liabilities, Net (1.3)% | (620,897) | ||||||
Total Net Assets 100.0% | 48,712,935 |
(a) The Adviser has deemed this security which is exempt from registration under the Securities Act of 1933, as amended, to be liquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited. As of December 31, 2018, the value and the percentage of net assets of these liquid securities were $18,237,697 and 37.4%, respectively.
(b) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are presented. Certain variable rate securities do not indicate a reference rate and spread because they are determined by the issuer, remarketing agent, or offering documents and are based on current market conditions. The coupon rate for securities with certain features outlined in the offering documents may vary from the stated reference rate and spread. This includes, but is not limited to, securities with deferred rates, contingent distributions, caps, floors, and fixed-rate to float-rate features. In addition, variable rates for government and agency collateralized mortgage obligations (“CMO”) and mortgage-backed securities (“MBS”) are determined by tranches of underlying mortgage-backed security pools’ cash flows into securities and pass-through rates which reflects the rate earned on the asset pool after management and guarantee fees are paid to the securitizing corporation. CMO and MBS variable rates are determined by a formula set forth in the security’s offering documents.
(c) All or a portion of the security was on loan as December 31, 2018.
(d) Non-income producing security.
(e) Issuer was in bankruptcy and/or was in default relating to principal and/or interest. Partial or no payments were paid on the last interest or dividend date.
(f) Perpetual security. Next contractual call date presented, if applicable.
(g) Pay-in-kind security. Stated coupon is the pay-in-kind rate. The interest earned by the security may be paid in cash or additional par.
(h) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(i) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees. Determinations of liquidity are unaudited.
(j) Security is restricted to resale to institutional investors. See Restricted Securities in the Schedules of Investments.
(k) Convertible security.
(l) Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the PPM Funds' Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(m) This senior loan will settle after December 31, 2018. The reference rate and spread presented will go into effect upon settlement.
(n) All or a portion of the security was purchased on a delayed delivery basis. As of December 31, 2018, the total payable for investments purchased on a delayed delivery basis was $20,642.
(o) Contingent distributions represent the right to receive additional distributions, if any, during the reorganization of the underlying company.
(p) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2018.
Shares/Par1 | Value ($) | ||||||
SECURITIES SOLD SHORT (1.0%) | |||||||
CORPORATE BONDS AND NOTES (1.0%) | |||||||
Industrials (1.0%) | |||||||
AECOM | |||||||
5.88%, 10/15/24 | (500,000) | (496,037) | |||||
Total Corporate Bonds And Notes (proceeds $502,488) | (496,037) | ||||||
Total Securities Sold Short (1.0%) (proceeds $502,488) | (496,037) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
51
PPMFunds
Schedules of Investments
December 31, 2018
Summary of Investments by Country^ | Total Long Term Investments | |
Australia | 0.6 | % |
Belgium | 0.6 | |
Brazil | 0.7 | |
Canada | 1.2 | |
Cayman Islands | 0.1 | |
France | 0.8 | |
Germany | 1.4 | |
Hong Kong | 0.1 | |
Ireland | 1.0 | |
Italy | 1.0 | |
Luxembourg | 0.2 | |
Macau | 0.6 | |
Mexico | 1.4 | |
Netherlands | 1.7 | |
Switzerland | 2.0 | |
United Kingdom | 6.9 | |
United States of America | 79.7 | |
100.0 | % | |
^A country table is presented as a percentage of the Fund’s total long term investments because its strategy includes investment in non-U.S. securities as deemed significant by the Fund’s Adviser. |
Restricted Securities | |||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | ||||||
High Ridge Brands Co., 8.88%, 03/15/25 | 03/20/17 | 21,266 | 20,162 | — | |||||
Mexico City Airport Trust, 5.50%, 07/31/47 | 09/14/17 | 35,468 | 35,261 | 0.1 | |||||
Samarco Mineracao SA, 0.00%, 11/01/22 | 12/05/12 | 80,155 | 83,213 | 0.2 | |||||
136,889 | 138,636 | 0.3 |
PPM Strategic Income Fund — Futures Contracts | ||||||||||||||||
Reference Entity | Contracts Long (Short)1 | Expiration | Notional 1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | |||||||||||
U.S. Treasury Long Bond | 11 | March 2019 | 1,535,060 | 5,156 | 70,940 | |||||||||||
U.S. Treasury Note, 10-Year | (66) | March 2019 | (7,883,118) | (26,954) | (169,913) | |||||||||||
U.S. Treasury Note, 2-Year | (4) | March 2019 | (844,062) | (563) | (5,189) | |||||||||||
U.S. Treasury Note, 5-Year | 8 | March 2019 | 912,550 | 967 | 4,949 | |||||||||||
Ultra 10-Year U.S. Treasury Note | 18 | March 2019 | 2,266,038 | 8,438 | 75,369 | |||||||||||
Ultra Long Term U.S. Treasury Bond | (11) | March 2019 | (1,683,650) | (6,531) | (83,568) | |||||||||||
(19,487) | (107,412) |
PPM Strategic Income Fund — Centrally Cleared Credit Default Swap Agreements | ||||||||||||||||||
Reference Entity2 | Fixed Receive/ Pay Rate8 (%) | Expiration | Notional1,7 | Value6 ($) | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Credit default swap agreements - sell protection4 | ||||||||||||||||||
CDX.NA.HY.31 (Q) | 5.00 | 12/20/23 | (500,000) | 9,967 | 365 | (16,934) | ||||||||||||
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
52
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | |||||
PPM Large Cap Value Fund | ||||||
COMMON STOCKS 99.2% | ||||||
Communication Services 6.4% | ||||||
AT&T Inc. | 5,100 | 145,554 | ||||
Comcast Corp. - Class A | 2,600 | 88,530 | ||||
Viacom Inc. - Class B | 5,100 | 131,070 | ||||
365,154 | ||||||
Consumer Discretionary 9.3% | ||||||
Best Buy Co. Inc. | 850 | 45,016 | ||||
Foot Locker Inc. | 1,300 | 69,160 | ||||
General Motors Co. | 4,300 | 143,835 | ||||
Macy's Inc. | 2,500 | 74,450 | ||||
Newell Brands Inc. | 4,300 | 79,937 | ||||
Royal Caribbean Cruises Ltd. | 1,200 | 117,348 | ||||
529,746 | ||||||
Consumer Staples 4.8% | ||||||
Altria Group Inc. | 2,200 | 108,658 | ||||
Archer-Daniels-Midland Co. | 2,600 | 106,522 | ||||
Campbell Soup Co. (a) | 1,800 | 59,382 | ||||
274,562 | ||||||
Energy 10.0% | ||||||
Apache Corp. | 4,100 | 107,625 | ||||
Chevron Corp. | 1,400 | 152,306 | ||||
Halliburton Co. | 4,500 | 119,610 | ||||
National Oilwell Varco Inc. | 2,600 | 66,820 | ||||
Occidental Petroleum Corp. | 1,300 | 79,794 | ||||
Patterson-UTI Energy Inc. | 4,400 | 45,540 | ||||
571,695 | ||||||
Financials 24.7% | ||||||
Allstate Corp. | 1,800 | 148,734 | ||||
Bank of America Corp. | 5,000 | 123,200 | ||||
Bank OZK | 4,200 | 95,886 | ||||
Citigroup Inc. | 2,150 | 111,929 | ||||
Goldman Sachs Group Inc. | 700 | 116,935 | ||||
Hartford Financial Services Group Inc. | 3,500 | 155,575 | ||||
Huntington Bancshares Inc. | 6,700 | 79,864 | ||||
JPMorgan Chase & Co. | 1,300 | 126,906 | ||||
Lincoln National Corp. | 2,600 | 133,406 | ||||
Morgan Stanley | 3,150 | 124,897 | ||||
PNC Financial Services Group Inc. | 650 | 75,992 | ||||
Wells Fargo & Co. | 2,400 | 110,592 | ||||
1,403,916 | ||||||
Health Care 15.9% | ||||||
AbbVie Inc. | 1,900 | 175,161 |
Shares/Par1 | Value ($) | |||||
Cigna Corp. | 500 | 94,960 | ||||
CVS Health Corp. | 1,700 | 111,384 | ||||
Gilead Sciences Inc. | 2,200 | 137,610 | ||||
McKesson Corp. | 1,100 | 121,517 | ||||
Merck & Co. Inc. | 1,400 | 106,974 | ||||
Pfizer Inc. | 3,600 | 157,140 | ||||
904,746 | ||||||
Industrials 9.4% | ||||||
Caterpillar Inc. | 1,300 | 165,191 | ||||
Delta Air Lines Inc. | 2,400 | 119,760 | ||||
Spirit Aerosystems Holdings Inc. - Class A | 1,600 | 115,344 | ||||
Terex Corp. | 2,000 | 55,140 | ||||
Textron Inc. | 1,700 | 78,183 | ||||
533,618 | ||||||
Information Technology 12.2% | ||||||
Alliance Data Systems Corp. | 475 | 71,288 | ||||
Apple Inc. | 375 | 59,153 | ||||
Avnet Inc. | 2,800 | 101,080 | ||||
Cisco Systems Inc. | 2,500 | 108,325 | ||||
Intel Corp. | 1,500 | 70,395 | ||||
International Business Machines Corp. | 750 | 85,252 | ||||
Leidos Holdings Inc. | 1,500 | 79,080 | ||||
Microsoft Corp. | 1,200 | 121,884 | ||||
696,457 | ||||||
Materials 3.2% | ||||||
Berry Global Group Inc. (b) | 1,850 | 87,930 | ||||
Nucor Corp. | 1,800 | 93,258 | ||||
181,188 | ||||||
Utilities 3.3% | ||||||
AES Corp. | 4,200 | 60,732 | ||||
Edison International | 1,100 | 62,447 | ||||
Vistra Energy Corp. (b) | 2,800 | 64,092 | ||||
187,271 | ||||||
Total Common Stocks (cost $6,598,717) | 5,648,353 | |||||
SHORT TERM INVESTMENTS 0.7% | ||||||
Investment Companies 0.7% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.29% (c) | 38,481 | 38,481 | ||||
Total Short Term Investments (cost $38,481) | 38,481 | |||||
Total Investments 99.9% (cost $6,637,198) | 5,686,834 | |||||
Other Assets and Liabilities, Net 0.1% | 5,895 | |||||
Total Net Assets 100.0% | 5,692,729 |
(a) All or a portion of the security was on loan as of December 31, 2018.
(b) Non-income producing security.
(c) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2018.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
53
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | |||||
PPM Mid Cap Value Fund | ||||||
COMMON STOCKS 99.4% | ||||||
Communication Services 2.5% | ||||||
Meredith Corp. (a) | 1,400 | 72,716 | ||||
Viacom Inc. - Class B | 1,700 | 43,690 | ||||
116,406 | ||||||
Consumer Discretionary 17.0% | ||||||
American Axle & Manufacturing Holdings Inc. (b) | 10,600 | 117,660 | ||||
Best Buy Co. Inc. | 975 | 51,636 | ||||
Foot Locker Inc. | 1,500 | 79,800 | ||||
Helen of Troy Ltd. (b) | 800 | 104,944 | ||||
Macy's Inc. | 2,800 | 83,384 | ||||
Newell Brands Inc. | 4,300 | 79,937 | ||||
Penske Automotive Group Inc. | 1,700 | 68,544 | ||||
Royal Caribbean Cruises Ltd. | 1,200 | 117,348 | ||||
Tupperware Brands Corp. | 2,400 | 75,768 | ||||
779,021 | ||||||
Consumer Staples 4.5% | ||||||
Campbell Soup Co. (a) | 2,700 | 89,073 | ||||
Ingredion Inc. | 1,300 | 118,820 | ||||
207,893 | ||||||
Energy 8.5% | ||||||
Apache Corp. | 1,400 | 36,750 | ||||
Diamond Offshore Drilling Inc. (b) | 4,600 | 43,424 | ||||
Helix Energy Solutions Group Inc. (b) | 6,300 | 34,083 | ||||
National Oilwell Varco Inc. | 1,600 | 41,120 | ||||
Patterson-UTI Energy Inc. | 5,500 | 56,925 | ||||
PBF Energy Inc. - Class A | 3,500 | 114,345 | ||||
Superior Energy Services Inc. (b) | 18,500 | 61,975 | ||||
388,622 | ||||||
Financials 23.1% | ||||||
Allstate Corp. | 1,100 | 90,893 | ||||
American Financial Group Inc. | 1,300 | 117,689 | ||||
Bank OZK | 4,300 | 98,169 | ||||
Hartford Financial Services Group Inc. | 2,900 | 128,905 | ||||
Huntington Bancshares Inc. | 9,100 | 108,472 | ||||
Janus Henderson Group Plc | 5,500 | 113,960 | ||||
Lincoln National Corp. | 2,200 | 112,882 | ||||
Reinsurance Group of America Inc. | 900 | 126,207 | ||||
Sterling Bancorp | 2,900 | 47,879 | ||||
TCF Financial Corp. | 6,000 | 116,940 | ||||
1,061,996 | ||||||
Health Care 6.6% | ||||||
Cigna Corp. | 500 | 94,960 | ||||
Magellan Health Services Inc. (b) | 1,600 | 91,024 | ||||
McKesson Corp. | 1,050 | 115,994 | ||||
301,978 | ||||||
Industrials 11.0% | ||||||
Delta Air Lines Inc. | 1,800 | 89,820 | ||||
Kennametal Inc. | 3,200 | 106,496 | ||||
Spirit Aerosystems Holdings Inc. - Class A | 1,650 | 118,948 | ||||
Terex Corp. | 4,000 | 110,280 | ||||
Textron Inc. | 1,700 | 78,183 | ||||
503,727 | ||||||
Information Technology 10.0% | ||||||
Avnet Inc. | 3,000 | 108,300 | ||||
Belden Inc. | 2,400 | 100,248 | ||||
CACI International Inc. - Class A (b) | 400 | 57,612 | ||||
Leidos Holdings Inc. | 1,200 | 63,264 | ||||
Semtech Corp. (b) | 1,800 | 82,566 | ||||
Teradyne Inc. | 1,500 | 47,070 | ||||
459,060 | ||||||
Materials 8.8% | ||||||
Allegheny Technologies Inc. (b) | 2,100 | 45,717 | ||||
Berry Global Group Inc. (b) | 1,400 | 66,542 | ||||
Huntsman Corp. | 3,900 | 75,231 | ||||
Nucor Corp. | 900 | 46,629 | ||||
Reliance Steel & Aluminum Co. | 1,400 | 99,638 | ||||
Steel Dynamics Inc. | 2,300 | 69,092 | ||||
402,849 | ||||||
Shares/Par1 | Value ($) | |||||
Real Estate 1.5% | ||||||
Regency Centers Corp. | 1,200 | 70,416 | ||||
Utilities 5.9% | ||||||
AES Corp. | 6,500 | 93,990 | ||||
Edison International | 1,200 | 68,124 | ||||
PNM Resources Inc. | 2,700 | 110,943 | ||||
273,057 | ||||||
Total Common Stocks (cost $5,599,403) | 4,565,025 | |||||
SHORT TERM INVESTMENTS 0.5% | ||||||
Investment Companies 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.29% (c) | 20,957 | 20,957 | ||||
Total Short Term Investments (cost $20,957) | 20,957 | |||||
Total Investments 99.9% (cost $5,620,360) | 4,585,982 | |||||
Other Assets and Liabilities, Net 0.1% | 4,429 | |||||
Total Net Assets 100.0% | 4,590,411 |
(a) All or a portion of the security was on loan as of December 31, 2018.
(b) Non-income producing security.
(c) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2018.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
54
PPMFunds
Schedules of Investments
December 31, 2018
Shares/Par1 | Value ($) | |||||
PPM Small Cap Value Fund | ||||||
COMMON STOCKS 99.7% | ||||||
Communication Services 2.7% | ||||||
Meredith Corp. (a) | 4,200 | 218,148 | ||||
Consumer Discretionary 14.2% | ||||||
American Axle & Manufacturing Holdings Inc. (b) | 18,400 | 204,240 | ||||
Helen of Troy Ltd. (b) | 1,600 | 209,888 | ||||
Penske Automotive Group Inc. | 5,400 | 217,728 | ||||
Skechers U.S.A. Inc. - Class A (b) | 9,100 | 208,299 | ||||
Tower International Inc. | 8,000 | 190,400 | ||||
Tupperware Brands Corp. | 4,400 | 138,908 | ||||
1,169,463 | ||||||
Consumer Staples 2.6% | ||||||
Cott Corp. | 9,400 | 131,036 | ||||
Ingredion Inc. | 900 | 82,260 | ||||
213,296 | ||||||
Energy 9.1% | ||||||
Diamond Offshore Drilling Inc. (b) | 11,000 | 103,840 | ||||
Helix Energy Solutions Group Inc. (b) | 27,500 | 148,775 | ||||
Patterson-UTI Energy Inc. | 13,000 | 134,550 | ||||
PBF Energy Inc. - Class A | 6,400 | 209,088 | ||||
Superior Energy Services Inc. (b) | 46,000 | 154,100 | ||||
750,353 | ||||||
Financials 20.1% | ||||||
Axos Financial Inc. (b) | 8,000 | 201,440 | ||||
Banc of California Inc. | 15,000 | 199,650 | ||||
FCB Financial Holdings Inc. - Class A (b) | 6,200 | 208,196 | ||||
Independent Bank Corp. | 3,000 | 210,930 | ||||
Janus Henderson Group Plc | 8,300 | 171,976 | ||||
Reinsurance Group of America Inc. | 600 | 84,138 | ||||
Renasant Corp. | 6,800 | 205,224 | ||||
Sterling Bancorp | 9,400 | 155,194 | ||||
TCF Financial Corp. | 10,700 | 208,543 | ||||
1,645,291 | ||||||
Health Care 6.5% | ||||||
Hill-Rom Holdings Inc. | 900 | 79,695 | ||||
Integer Holdings Corp. (b) | 2,200 | 167,772 | ||||
Magellan Health Services Inc. (b) | 3,700 | 210,493 | ||||
Owens & Minor Inc. | 12,600 | 79,758 | ||||
537,718 | ||||||
Industrials 18.2% | ||||||
Aerojet Rocketdyne Holdings Inc. (b) | 3,600 | 126,828 | ||||
Apogee Enterprises Inc. | 4,900 | 146,265 |
Shares/Par1 | Value ($) | |||||
Esterline Technologies Corp. (b) | 900 | 109,305 | ||||
GATX Corp. | 2,500 | 177,025 | ||||
Kennametal Inc. | 6,000 | 199,680 | ||||
SkyWest Inc. | 4,500 | 200,115 | ||||
Steelcase Inc. - Class A | 9,400 | 139,402 | ||||
Terex Corp. | 7,500 | 206,775 | ||||
Triumph Group Inc. | 16,000 | 184,000 | ||||
1,489,395 | ||||||
Information Technology 17.0% | ||||||
Belden Inc. | 4,800 | 200,496 | ||||
Benchmark Electronics Inc. | 6,300 | 133,434 | ||||
CACI International Inc. - Class A (b) | 1,400 | 201,642 | ||||
CSG Systems International Inc. | 3,800 | 120,726 | ||||
Electronics for Imaging Inc. (b) | 3,800 | 94,240 | ||||
Photronics Inc. (b) | 8,800 | 85,184 | ||||
Semtech Corp. (b) | 3,600 | 165,132 | ||||
SYNNEX Corp. | 1,800 | 145,512 | ||||
Teradyne Inc. | 3,100 | 97,278 | ||||
Verint Systems Inc. (b) | 3,600 | 152,316 | ||||
1,395,960 | ||||||
Materials 5.0% | ||||||
Allegheny Technologies Inc. (b) | 7,200 | 156,744 | ||||
Olin Corp. | 8,300 | 166,913 | ||||
Reliance Steel & Aluminum Co. | 1,200 | 85,404 | ||||
409,061 | ||||||
Real Estate 2.1% | ||||||
Kite Realty Group Trust | 12,300 | 173,307 | ||||
Utilities 2.2% | ||||||
PNM Resources Inc. | 4,400 | 180,796 | ||||
Total Common Stocks (cost $10,402,106) | 8,182,788 | |||||
SHORT TERM INVESTMENTS 0.7% | ||||||
Investment Companies 0.7% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.29% (c) | 56,991 | 56,991 | ||||
Total Short Term Investments (cost $56,990) | 56,991 | |||||
Total Investments 100.4% (cost $10,459,096) | 8,239,779 | |||||
Other Assets and Liabilities, Net (0.4)% | (36,570) | |||||
Total Net Assets 100.0% | 8,203,209 |
(a) All or a portion of the security was on loan as of December 31, 2018.
(b) Non-income producing security.
(c) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2018.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
55
PPMFunds
Schedules of Investments
December 31, 2018
Currency Abbreviations:
EUR - European Currency Unit (Euro) |
GBP - British Pound |
USD - United States Dollar |
Abbreviations:
CDX.NA.HY - Credit Derivatives Index - North American - High Yield | |
CDX.NA.IG - Credit Derivatives Index - North American - Investment Grade | |
CLO - Collateralized Loan Obligation | |
DIP – Debtor-in-possession | |
ETF - Exchange Traded Fund | |
LIBOR - London Interbank Offered Rate | |
REMIC - Real Estate Mortgage Investment Conduit | |
SPDR - Standard & Poor's Depositary Receipt | |
TBA - To Be Announced (Securities purchased on a delayed delivery basis) | |
UFJ - United Financial of Japan | |
U.S. or US - United States |
Counterparty Abbreviations:
BOA – Bank of America NA | |
CGM - Citigroup Global Markets | |
JPM - J.P. Morgan Securities Inc. | |
MLP – Merrill Lynch Professional Clearing Corp. | |
SSB – State Street Brokerage Services, Inc. |
1Par and notional amounts are listed in USD unless otherwise noted. Options are quoted in number of contracts or notional. Futures are quoted in contracts.
2For Funds with derivatives that received or paid periodic payments, the frequency of periodic payments are defined as follows: (A) - Annually; (E) - Expiration Date; (M) - Monthly; (Q) - Quarterly; (S) - Semi-Annually.
3If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the referenced obligation agreement and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
4If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay the buyer of protection an amount equal to the notional amount of the referenced obligation and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the reference obligation or underlying securities comprising the referenced index.
5Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swap agreements on corporate issues and sovereign issues serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the applicable agreement.
6The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
7The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs is limited to the total notional amount which is defined under the terms of each swap agreement.
8If the Fund is a buyer of protection, the Fund pays the fixed rate. If the Fund is a seller of protection, the Fund receives the fixed rate.
"-” Amount rounds to less than 0.05%.
Short Term Investments in Affiliates
During the period, PPM Strategic Income Fund acquired JNL/PPM America Strategic Income Fund. Prior to the acquisition, JNL/PPM America Strategic Income Fund invested in the JNL Government Money Market Fund, which is managed by an affiliate of JNL/PPM America Strategic Income Fund’s Adviser. The JNL Government Money Market Fund is offered as a cash management tool and is not available for direct purchase by members of the public. There was no realized or unrealized gain or loss relating to transactions in this investment during the period ended December 31, 2018.
JNL Government Money Market Fund |
| Beginning Amortized Cost/ Value($) |
| Purchases ($) |
| Sales Proceeds($) |
| Dividend Income($) |
| Ending Amortized Cost/ Value($) |
| Percentage of Net Assets(%) |
|
PPM Strategic Income Fund |
| 234,790 |
| 18,480,661 |
| 18,715,451 |
| 3,184 |
| — |
| — |
|
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 56
56
PPMFunds
Statements of Assets and Liabilities
December 31, 2018
|
| PPM Core Plus Fixed Income Fund |
| PPM Credit Fund |
| PPM Floating Rate Income Fund |
| PPM High Yield Core Fund |
| PPM Long Short Credit Fund |
|
| |||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Investments - unaffiliated, at value | $ | 50,447,530 |
| $ | 48,886,376 |
| $ | 49,431,570 |
| $ | 49,780,556 |
| $ | 50,927,360 |
|
| |
Variation margin on futures |
| 14,531 |
|
| 18,063 |
|
| — |
|
| — |
|
| — |
|
| |
Variation margin on swap agreements |
| 175 |
|
| — |
|
| — |
|
| — |
|
| 365 |
|
| |
OTC swap agreements |
| — |
|
| — |
|
| — |
|
| — |
|
| 14,533 |
|
| |
OTC swap premiums paid |
| — |
|
| — |
|
| — |
|
| — |
|
| 100,486 |
|
| |
Cash |
| — |
|
| — |
|
| 354,533 |
|
| — |
|
| 62,294 |
|
| |
Receivable from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities sold |
| — |
|
| — |
|
| 85,887 |
|
| 104,260 |
|
| — |
|
|
| Dividends and interest |
| 347,985 |
|
| 497,764 |
|
| 124,820 |
|
| 681,352 |
|
| 406,174 |
|
|
| Adviser |
| — |
|
| — |
|
| 1,364 |
|
| — |
|
| — |
|
|
| Deposits with brokers and counterparties |
| 52,987 |
|
| 52,912 |
|
| 6,864 |
|
| 34,496 |
|
| 234,815 |
|
|
Other assets |
| 2,560 |
|
| 2,513 |
|
| 2,532 |
|
| 2,511 |
|
| 2,513 |
|
| |
Total assets |
| 50,865,768 |
|
| 49,457,628 |
|
| 50,007,570 |
|
| 50,603,175 |
|
| 51,748,540 |
|
| |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Cash overdraft |
| 12,266 |
|
| 25,348 |
|
| — |
|
| 35,509 |
|
| — |
|
| |
Securities sold short, at value |
| — |
|
| — |
|
| — |
|
| — |
|
| 2,823,924 |
|
| |
Variation margin on futures |
| 16,829 |
|
| 27,766 |
|
| 2,312 |
|
| 8,594 |
|
| 56,281 |
|
| |
Variation margin on swap agreements |
| — |
|
| — |
|
| — |
|
| — |
|
| 694 |
|
| |
Payable for: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities purchased |
| 431,557 |
|
| — |
|
| 898,548 |
|
| 103,740 |
|
| 193,447 |
|
|
| Return of securities loaned |
| 161,620 |
|
| 339,300 |
|
| 143,850 |
|
| 2,280,948 |
|
| — |
|
|
| Dividends/interest on securities sold short |
| — |
|
| — |
|
| — |
|
| — |
|
| 43,535 |
|
|
| Interest expense and brokerage charges |
| — |
|
| — |
|
| — |
|
| — |
|
| 3,206 |
|
|
| Advisory fees |
| 16,952 |
|
| 18,683 |
|
| 23,117 |
|
| 21,500 |
|
| 20,788 |
|
|
| Administrative fees |
| 4,238 |
|
| 4,152 |
|
| 4,203 |
|
| 3,909 |
|
| 4,158 |
|
|
| Other expenses |
| 24,196 |
|
| 23,918 |
|
| 6,383 |
|
| 28,326 |
|
| 28,252 |
|
|
Total liabilities |
| 667,658 |
|
| 439,167 |
|
| 1,078,413 |
|
| 2,482,526 |
|
| 3,174,285 |
|
| |
Net assets | $ | 50,198,110 |
| $ | 49,018,461 |
| $ | 48,929,157 |
| $ | 48,120,649 |
| $ | 48,574,255 |
|
| |
Net assets consist of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Paid-in capital | $ | 50,952,376 |
| $ | 50,527,609 |
| $ | 51,661,356 |
| $ | 51,928,875 |
| $ | 51,164,590 |
|
| |
Total distributable earnings (loss) |
| (754,266 | ) |
| (1,509,148 | ) |
| (2,732,199 | ) |
| (3,808,226 | ) |
| (2,590,335 | ) |
| |
Net assets | $ | 50,198,110 |
| $ | 49,018,461 |
| $ | 48,929,157 |
| $ | 48,120,649 |
| $ | 48,574,255 |
|
| |
Net assets - Institutional Class | $ | 50,198,110 |
| $ | 49,018,461 |
| $ | 48,929,157 |
| $ | 48,120,649 |
| $ | 48,574,255 |
|
| |
Shares outstanding - Institutional Class |
| 5,097,567 |
|
| 5,055,393 |
|
| 5,192,372 |
|
| 5,198,274 |
|
| 5,121,055 |
|
| |
Net asset value per share - Institutional Class | $ | 9.85 |
| $ | 9.70 |
| $ | 9.42 |
| $ | 9.26 |
| $ | 9.49 |
|
| |
Investments - unaffiliated, at cost | $ | 51,059,912 |
| $ | 50,186,532 |
| $ | 52,074,423 |
| $ | 53,431,962 |
| $ | 52,957,225 |
|
| |
Proceeds from securities sold short |
| — |
|
| — |
|
| — |
|
| — |
|
| 2,888,826 |
|
| |
Securities on loan included in |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments - unaffiliated, at value |
| 159,901 |
|
| 332,958 |
|
| 141,326 |
|
| 2,300,700 |
|
| — |
|
|
See accompanying Notes to Financial Statements.
57
PPMFunds
Statements of Assets and Liabilities
December 31, 2018
|
| PPM Strategic Income Fund |
| PPM Large Cap Value Fund |
| PPM Mid Cap Value Fund |
| PPM Small Cap Value Fund |
|
| ||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Investments - unaffiliated, at value | $ | 49,848,991 |
| $ | 5,686,834 |
| $ | 4,585,982 |
| $ | 8,239,779 |
|
| |
Variation margin on futures |
| 14,561 |
|
| — |
|
| — |
|
| — |
|
| |
Variation margin on swap agreements |
| 365 |
|
| — |
|
| — |
|
| — |
|
| |
Foreign currency |
| 44,472 |
|
| — |
|
| — |
|
| — |
|
| |
Receivable from: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities sold |
| — |
|
| — |
|
| — |
|
| 1,378 |
|
|
| Dividends and interest |
| 552,922 |
|
| 11,771 |
|
| 9,657 |
|
| 12,054 |
|
|
| Deposits with brokers and counterparties |
| 103,199 |
|
| — |
|
| — |
|
| — |
|
|
Other assets |
| 2,513 |
|
| 300 |
|
| 241 |
|
| 435 |
|
| |
Total assets |
| 50,567,023 |
|
| 5,698,905 |
|
| 4,595,880 |
|
| 8,253,646 |
|
| |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Cash overdraft |
| 27,263 |
|
| — |
|
| — |
|
| 37,989 |
|
| |
Securities sold short, at value |
| 496,037 |
|
| — |
|
| — |
|
| — |
|
| |
Variation margin on futures |
| 34,048 |
|
| — |
|
| — |
|
| — |
|
| |
Payable for: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities purchased |
| 412,118 |
|
| — |
|
| — |
|
| — |
|
|
| Return of securities loaned |
| 831,060 |
|
| — |
|
| — |
|
| — |
|
|
| Dividends/interest on securities sold short |
| 6,275 |
|
| — |
|
| — |
|
| — |
|
|
| Interest expense and brokerage charges |
| 199 |
|
| — |
|
| — |
|
| — |
|
|
| Advisory fees |
| 20,762 |
|
| 3,015 |
|
| 2,846 |
|
| 5,867 |
|
|
| Administrative fees |
| 4,152 |
|
| 502 |
|
| 407 |
|
| 733 |
|
|
| Other expenses |
| 22,174 |
|
| 2,659 |
|
| 2,216 |
|
| 5,848 |
|
|
Total liabilities |
| 1,854,088 |
|
| 6,176 |
|
| 5,469 |
|
| 50,437 |
|
| |
Net assets | $ | 48,712,935 |
| $ | 5,692,729 |
| $ | 4,590,411 |
| $ | 8,203,209 |
|
| |
Net assets consist of: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Paid-in capital | $ | 50,956,161 |
| $ | 6,646,671 |
| $ | 5,680,795 |
| $ | 10,476,138 |
|
| |
Total distributable earnings (loss) |
| (2,243,226 | ) |
| (953,942 | ) |
| (1,090,384 | ) |
| (2,272,929 | ) |
| |
Net assets | $ | 48,712,935 |
| $ | 5,692,729 |
| $ | 4,590,411 |
| $ | 8,203,209 |
|
| |
Net assets - Institutional Class | $ | 48,712,935 |
| $ | 5,692,729 |
| $ | 4,590,411 |
| $ | 8,203,209 |
|
| |
Shares outstanding - Institutional Class |
| 5,098,372 |
|
| 667,288 |
|
| 572,112 |
|
| 1,025,569 |
|
| |
Net asset value per share - Institutional Class | $ | 9.55 |
| $ | 8.53 |
| $ | 8.02 |
| $ | 8.00 |
|
| |
Investments - unaffiliated, at cost | $ | 51,811,577 |
| $ | 6,637,198 |
| $ | 5,620,360 |
| $ | 10,459,096 |
|
| |
Foreign currency cost |
| 45,846 |
|
| — |
|
| — |
|
| — |
|
| |
Proceeds from securities sold short |
| 502,488 |
|
| — |
|
| — |
|
| — |
|
| |
Securities on loan included in |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments - unaffiliated, at value |
| 815,207 |
|
| 59,382 |
|
| 161,789 |
|
| 218,148 |
|
|
See accompanying Notes to Financial Statements.
58
PPMFunds
Statements of Operations
For the Period Ended December 31, 2018
|
|
| PPM Core Plus Fixed Income Fund(a) |
| PPM Credit Fund(a) |
| PPM Floating Rate Income Fund(b) |
| PPM High Yield Core Fund(a) |
| PPM Long Short Credit Fund(a) |
|
| |||||
Investment income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Dividends | $ | — |
| $ | — |
| $ | 801 |
| $ | 67,051 |
| $ | 30,902 |
|
| ||
Foreign taxes withheld |
| — |
|
| — |
|
| — |
|
| (603 | ) |
| — |
|
| ||
Interest |
| 877,009 |
|
| 988,268 |
|
| 1,540,186 |
|
| 1,361,759 |
|
| 1,032,799 |
|
| ||
Securities lending |
| 1,513 |
|
| 2,851 |
|
| 1,876 |
|
| 25,182 |
|
| — |
|
| ||
Total investment income |
| 878,522 |
|
| 991,119 |
|
| 1,542,863 |
|
| 1,453,389 |
|
| 1,063,701 |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Advisory fees |
| 92,499 |
|
| 102,729 |
|
| 166,079 |
|
| 127,061 |
|
| 115,554 |
|
| ||
Administrative fees |
| 23,125 |
|
| 22,828 |
|
| 30,196 |
|
| 23,102 |
|
| 23,111 |
|
| ||
Legal fees |
| 11,996 |
|
| 11,896 |
|
| 15,097 |
|
| 12,067 |
|
| 11,979 |
|
| ||
Transfer agent fees |
| 13,326 |
|
| 13,225 |
|
| 19,996 |
|
| 13,470 |
|
| 13,328 |
|
| ||
Board of trustee fees |
| 16,213 |
|
| 16,087 |
|
| 20,620 |
|
| 16,335 |
|
| 16,208 |
|
| ||
Chief compliance officer fees |
| 8,139 |
|
| 8,022 |
|
| 8,321 |
|
| 8,209 |
|
| 8,189 |
|
| ||
Registration and filing fees |
| 7,677 |
|
| 7,725 |
|
| 11,509 |
|
| 7,726 |
|
| 7,724 |
|
| ||
Dividends/interest on securities sold short |
| — |
|
| — |
|
| — |
|
| — |
|
| 46,549 |
|
| ||
Net short holdings borrowing fees |
| — |
|
| — |
|
| — |
|
| — |
|
| 15,214 |
|
| ||
Other expenses |
| 6,407 |
|
| 6,374 |
|
| 14,353 |
|
| 6,464 |
|
| 6,406 |
|
| ||
Total expenses |
| 179,382 |
|
| 188,886 |
|
| 286,171 |
|
| 214,434 |
|
| 264,262 |
|
| ||
Expense waiver |
| (63,772 | ) |
| (63,329 | ) |
| (74,798 | ) |
| (51,089 | ) |
| (40,722 | ) |
| ||
Net expenses |
| 115,610 |
|
| 125,557 |
|
| 211,373 |
|
| 163,345 |
|
| 223,540 |
|
| ||
Net investment income (loss) |
| 762,912 |
|
| 865,562 |
|
| 1,331,490 |
|
| 1,290,044 |
|
| 840,161 |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and unrealized gain (loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Investments - unaffiliated |
| (76,382 | ) |
| (184,036 | ) |
| (52,446 | ) |
| (32,949 | ) |
| (31,857 | ) |
| |
| Securities sold short |
| — |
|
| — |
|
| — |
|
| — |
|
| 15,867 |
|
| |
| Futures contracts |
| (106,808 | ) |
| 66,778 |
|
| (2,706 | ) |
| 57,248 |
|
| (12,008 | ) |
| |
| Swap agreements |
| 2,037 |
|
| — |
|
| — |
|
| — |
|
| (11,989 | ) |
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investments - unaffiliated |
| (612,382 | ) |
| (1,300,156 | ) |
| (2,644,194 | ) |
| (3,651,406 | ) |
| (2,029,865 | ) |
| |
| Investment securities sold short |
| — |
|
| — |
|
| — |
|
| — |
|
| 64,902 |
|
| |
| Futures contracts |
| 60,070 |
|
| (17,477 | ) |
| (15,515 | ) |
| (75,664 | ) |
| (438,584 | ) |
| |
| Swap agreements |
| (8,032 | ) |
| — |
|
| — |
|
| — |
|
| 33,246 |
|
| |
Net realized and unrealized gain (loss) |
| (741,497 | ) |
| (1,434,891 | ) |
| (2,714,861 | ) |
| (3,702,771 | ) |
| (2,410,288 | ) |
| ||
Change in net assets from operations | $ | 21,415 |
| $ | (569,329 | ) | $ | (1,383,371 | ) | $ | (2,412,727 | ) | $ | (1,570,127 | ) |
|
(a) | Period from commencement of operations July 16, 2018. |
(b) | Period from commencement of operations May 1, 2018. |
See accompanying Notes to Financial Statements.
59
PPMFunds
Statements of Operations
For the Period Ended December 31, 2018
|
|
| PPM Strategic Income Fund(b) |
| PPM Large Cap Value Fund(c) |
| PPM Mid Cap Value Fund(c) |
| PPM Small Cap Value Fund(c) |
|
| ||||
Investment income |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Dividends (a) | $ | 18,724 |
| $ | 113,623 |
| $ | 81,546 |
| $ | 93,589 |
|
| ||
Foreign taxes withheld |
| (8,945 | ) |
| — |
|
| — |
|
| (229 | ) |
| ||
Interest |
| 3,153,504 |
|
| 1,042 |
|
| 899 |
|
| 1,409 |
|
| ||
Securities lending |
| 6,323 |
|
| 531 |
|
| 610 |
|
| 246 |
|
| ||
Total investment income |
| 3,169,606 |
|
| 115,196 |
|
| 83,055 |
|
| 95,015 |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Advisory fees |
| 371,621 |
|
| 26,245 |
|
| 25,901 |
|
| 46,473 |
|
| ||
Administrative fees |
| 86,655 |
|
| 4,374 |
|
| 3,700 |
|
| 5,809 |
|
| ||
Legal fees |
| 13,076 |
|
| 2,029 |
|
| 1,855 |
|
| 2,608 |
|
| ||
Transfer agent fees |
| 13,853 |
|
| 6,280 |
|
| 5,974 |
|
| 6,948 |
|
| ||
Board of trustee fees |
| 19,875 |
|
| 2,785 |
|
| 2,556 |
|
| 3,565 |
|
| ||
Chief compliance officer fees |
| 8,158 |
|
| 1,050 |
|
| 868 |
|
| 1,582 |
|
| ||
Registration and filing fees |
| 8,947 |
|
| 1,458 |
|
| 1,516 |
|
| 1,866 |
|
| ||
Dividends/interest on securities sold short |
| 959 |
|
| — |
|
| — |
|
| — |
|
| ||
Net short holdings borrowing fees |
| 199 |
|
| — |
|
| — |
|
| — |
|
| ||
Other expenses |
| 9,298 |
|
| 1,216 |
|
| 1,147 |
|
| 1,478 |
|
| ||
Total expenses |
| 532,641 |
|
| 45,437 |
|
| 43,517 |
|
| 70,329 |
|
| ||
Expense waiver |
| (56,965 | ) |
| (12,630 | ) |
| (10,215 | ) |
| (12,237 | ) |
| ||
Net expenses |
| 475,676 |
|
| 32,807 |
|
| 33,302 |
|
| 58,092 |
|
| ||
Net investment income (loss) |
| 2,693,930 |
|
| 82,389 |
|
| 49,753 |
|
| 36,923 |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and unrealized gain (loss) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Investments - unaffiliated |
| (662,552 | ) |
| 58,923 |
|
| 50,256 |
|
| 174,490 |
|
| |
| Foreign currency |
| 74,164 |
|
| — |
|
| — |
|
| — |
|
| |
| Futures contracts |
| 392,874 |
|
| — |
|
| — |
|
| — |
|
| |
| Swap agreements |
| 4,224 |
|
| — |
|
| — |
|
| — |
|
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investments - unaffiliated |
| (5,229,333 | ) |
| (950,364 | ) |
| (1,034,378 | ) |
| (2,219,317 | ) |
| |
| Investment securities sold short |
| 6,451 |
|
| — |
|
| — |
|
| — |
|
| |
| Foreign currency |
| (1,502 | ) |
| — |
|
| — |
|
| — |
|
| |
| Futures contracts |
| (107,412 | ) |
| — |
|
| — |
|
| — |
|
| |
| Swap agreements |
| (16,934 | ) |
| — |
|
| — |
|
| — |
|
| |
Net realized and unrealized gain (loss) |
| (5,540,020 | ) |
| (891,441 | ) |
| (984,122 | ) |
| (2,044,827 | ) |
| ||
Change in net assets from operations | $ | (2,846,090 | ) | $ | (809,052 | ) | $ | (934,369 | ) | $ | (2,007,904 | ) |
| ||
(a) | Affiliated income | $ | 3,184 |
| $ | — |
| $ | — |
| $ | — |
|
|
(b) | PPM Strategic Income Fund commenced operations on July 2, 2018. Prior to the open of business on July 2, 2018, PPM Strategic Income Fund acquired JNL/PPM America Strategic Income Fund, the sole series of JNL Strategic Income Fund LLC. JNL/PPM America Strategic Income Fund is considered the accounting survivor for financial reporting purposes, and as a result, the Statement of Operations includes activity for the period January 1, 2018 through July 1, 2018. |
(c) | Period from commencement of operations May 1, 2018. |
See accompanying Notes to Financial Statements.
60
PPMFunds
Statements of Changes in Net Assets
For the Period Ended December 31, 2018
|
| PPM Core Plus Fixed Income Fund(a) |
| PPM Credit Fund(a) |
| PPM Floating Rate Income Fund(b) |
| PPM High Yield Core Fund(a) |
| PPM Long Short Credit Fund(a) |
|
| |||||
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Net investment income (loss) | $ | 762,912 |
| $ | 865,562 |
| $ | 1,331,490 |
| $ | 1,290,044 |
| $ | 840,161 |
|
| |
Net realized gain (loss) |
| (181,153 | ) |
| (117,258 | ) |
| (55,152 | ) |
| 24,299 |
|
| (39,987 | ) |
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| (depreciation) |
| (560,344 | ) |
| (1,317,633 | ) |
| (2,659,709 | ) |
| (3,727,070 | ) |
| (2,370,301 | ) |
|
Change in net assets from operations |
| 21,415 |
|
| (569,329 | ) |
| (1,383,371 | ) |
| (2,412,727 | ) |
| (1,570,127 | ) |
| |
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
From distributable earnings |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (789,149 | ) |
| (949,736 | ) |
| (1,348,828 | ) |
| (1,412,909 | ) |
| (1,039,348 | ) |
|
Total distributions to shareholders |
| (789,149 | ) |
| (949,736 | ) |
| (1,348,828 | ) |
| (1,412,909 | ) |
| (1,039,348 | ) |
| |
Share transactions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Proceeds from the sale of shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 50,282,086 |
|
| 49,708,470 |
|
| 90,407,643 |
|
| 50,724,773 |
|
| 50,133,382 |
|
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 671,758 |
|
| 818,056 |
|
| 1,186,479 |
|
| 1,210,512 |
|
| 1,039,348 |
|
|
Cost of shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| — |
|
| — |
|
| (39,943,766 | ) |
| — |
|
| — |
|
|
Change in net assets from |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| share transactions |
| 50,953,844 |
|
| 50,526,526 |
|
| 51,650,356 |
|
| 51,935,285 |
|
| 51,172,730 |
|
|
Change in net assets |
| 50,186,110 |
|
| 49,007,461 |
|
| 48,918,157 |
|
| 48,109,649 |
|
| 48,563,255 |
|
| |
Net assets beginning of period |
| 12,000 |
|
| 11,000 |
|
| 11,000 |
|
| 11,000 |
|
| 11,000 |
|
| |
Net assets end of year | $ | 50,198,110 |
| $ | 49,018,461 |
| $ | 48,929,157 |
| $ | 48,120,649 |
| $ | 48,574,255 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1Share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Shares sold |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 5,029,490 |
|
| 4,972,032 |
|
| 9,109,027 |
|
| 5,073,616 |
|
| 5,013,379 |
|
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 68,077 |
|
| 83,361 |
|
| 121,148 |
|
| 124,658 |
|
| 106,576 |
|
|
Shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| — |
|
| — |
|
| (4,038,803 | ) |
| — |
|
| — |
|
|
Change in shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 5,097,567 |
|
| 5,055,393 |
|
| 5,191,372 |
|
| 5,198,274 |
|
| 5,119,955 |
|
|
Purchases and sales of long term |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchase of securities | $ | 10,087,423 |
| $ | 11,614,776 |
| $ | 65,083,909 |
| $ | 9,764,487 |
| $ | 31,029,301 |
|
| |
Purchase of U.S. government securities |
| 2,917,908 | (c) |
| 6,638,216 |
|
| — |
|
| — |
|
| 336,587 |
|
| |
Total purchases | $ | 13,005,331 |
| $ | 18,252,992 |
| $ | 65,083,909 |
| $ | 9,764,487 |
| $ | 31,365,888 |
|
| |
Proceeds from sales of securities | $ | 11,066,386 |
| $ | 12,065,601 |
| $ | 16,329,788 |
| $ | 8,585,095 |
| $ | 15,373,730 |
|
| |
Proceeds from sales of U.S. government |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| securities |
| 1,599,564 | (c) |
| 5,466,450 |
|
| — |
|
| — |
|
| — |
|
|
Total proceeds from sales | $ | 12,665,950 |
| $ | 17,532,051 |
| $ | 16,329,788 |
| $ | 8,585,095 |
| $ | 15,373,730 |
|
| |
Securities sold short covers | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 543,806 |
|
| |
Securities sold short proceeds | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 3,444,726 |
|
|
(a) | Period from commencement of operations July 16, 2018. |
(b) | Period from commencement of operations May 1, 2018. |
(c) | Amounts exclude $3,192,515 and $2,755,313 of purchases and sales, respectively, of dollar roll transaction securities. |
See accompanying Notes to Financial Statements.
61
PPMFunds
Statements of Changes in Net Assets
For the Period Ended December 31, 2018
|
| PPM Strategic Income Fund(a) |
| PPM Large Cap Value Fund(b) |
| PPM Mid Cap Value Fund(b) |
| PPM Small Cap Value Fund(b) |
|
| ||||
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Net investment income (loss) | $ | 2,693,930 |
| $ | 82,389 |
| $ | 49,753 |
| $ | 36,923 |
|
| |
Net realized gain (loss) |
| (191,290 | ) |
| 58,923 |
|
| 50,256 |
|
| 174,490 |
|
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| (depreciation) |
| (5,348,730 | ) |
| (950,364 | ) |
| (1,034,378 | ) |
| (2,219,317 | ) |
|
Change in net assets from operations |
| (2,846,090 | ) |
| (809,052 | ) |
| (934,369 | ) |
| (2,007,904 | ) |
| |
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
| |
From distributable earnings |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (1,247,974 | ) |
| (145,178 | ) |
| (156,015 | ) |
| (268,510 | ) |
|
Total distributions to shareholders |
| (1,247,974 | ) |
| (145,178 | ) |
| (156,015 | ) |
| (268,510 | ) |
| |
Share transactions1 |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Proceeds from the sale of shares |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 407,642 |
|
| 6,491,339 |
|
| 5,513,780 |
|
| 15,533,780 |
|
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 1,070,823 |
|
| 144,620 |
|
| 156,015 |
|
| 229,843 |
|
|
Cost of shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (70,000,000 | ) |
| — |
|
| — |
|
| (5,295,000 | ) |
|
Change in net assets from |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| share transactions |
| (68,521,535 | ) |
| 6,635,959 |
|
| 5,669,795 |
|
| 10,468,623 |
|
|
Change in net assets |
| (72,615,599 | ) |
| 5,681,729 |
|
| 4,579,411 |
|
| 8,192,209 |
|
| |
Net assets beginning of year |
| 121,328,534 |
|
| 11,000 |
|
| 11,000 |
|
| 11,000 |
|
| |
Net assets end of year | $ | 48,712,935 |
| $ | 5,692,729 |
| $ | 4,590,411 |
| $ | 8,203,209 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1Share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Shares sold |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 40,724 |
|
| 649,134 |
|
| 552,537 |
|
| 1,495,594 |
|
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 109,000 |
|
| 17,054 |
|
| 19,575 |
|
| 28,875 |
|
|
Shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (6,971,159 | ) |
| — |
|
| — |
|
| (500,000 | ) |
|
Change in shares |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (6,821,435 | ) |
| 666,188 |
|
| 572,112 |
|
| 1,024,469 |
|
|
Purchases and sales of long term |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchase of securities | $ | 47,363,920 |
| $ | 7,621,673 |
| $ | 6,848,897 |
| $ | 12,193,481 |
|
| |
Purchase of U.S. government securities |
| 970,305 | (c) |
| — |
|
| — |
|
| — |
|
| |
Total purchases | $ | 48,334,225 |
| $ | 7,621,673 |
| $ | 6,848,897 |
| $ | 12,193,481 |
|
| |
Proceeds from sales of securities | $ | 108,527,196 |
| $ | 1,081,879 |
| $ | 1,299,751 |
| $ | 1,963,438 |
|
| |
Proceeds from sales of U.S. government |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| securities |
| 4,319,296 | (c) |
| — |
|
| — |
|
| — |
|
|
Total proceeds from sales | $ | 112,846,492 |
| $ | 1,081,879 |
| $ | 1,299,751 |
| $ | 1,963,438 |
|
| |
Securities sold short proceeds | $ | 502,500 |
| $ | — |
| $ | — |
| $ | — |
|
|
(a) | PPM Strategic Income Fund commenced operations on July 2, 2018. Prior to the open of business on July 2, 2018, PPM Strategic Income Fund acquired JNL/PPM Strategic Income Fund. JNL/PPM Strategic Income Fund is considered the accounting survivor for financial reporting purposes, and as a result, the Statement of Changes in Net Assets includes activity for the period January 1, 2018 through July 1, 2018. Shares redeemed amount has been restated to give effect to the impact of the exchange of shares due to PPM Strategic Income Fund’s acquisition of JNL/PPM America Strategic Income Fund. See Note 9 in the Notes to Financial Statements. |
(b) | Period from commencement of operations May 1, 2018. |
(c) | Amounts exclude $484,784 and $406,119 of purchases and sales, respectively, of dollar roll transaction securities. |
See accompanying Notes to Financial Statements.
62
PPMFunds
Statements of Changes in Net Assets (in thousands)
For the Year Ended December 31, 2017
|
| PPM Strategic Income Fund(a) |
|
| ||
Operations |
|
|
|
| ||
Net investment income (loss) | $ | 4,531 |
|
| ||
Net realized gain (loss) |
| 668 |
|
| ||
Net change in unrealized appreciation |
|
|
|
| ||
| (depreciation) |
| 2,485 |
|
| |
Change in net assets from operations |
| 7,684 |
|
| ||
Share transactions1 |
|
|
|
| ||
Proceeds from the sale of shares |
| — |
|
| ||
Cost of shares redeemed |
| — |
|
| ||
Change in net assets from |
|
|
|
| ||
| share transactions |
| — |
|
| |
Change in net assets |
| 7,684 |
|
| ||
Net assets beginning of period |
| 113,634 |
|
| ||
Net assets end of year | $ | 121,318 |
|
| ||
Undistributed (excess of distributions |
|
|
|
| ||
| over) net investment income (loss) | $ | — |
|
| |
(a) | PPM Strategic Income Fund commenced operations on July 2, 2018. Prior to the open of business on July 2, 2018, PPM Strategic Income Fund acquired JNL/PPM Strategic Income Fund. JNL/PPM Strategic Income Fund is considered the accounting survivor for financial reporting purposes, and as a result, the Statement of Changes in Net Assets for the year ended December 31, 2017 reflects activity of the acquired fund formerly in JNL Strategic Income Fund LLC. | |||||
See accompanying Notes to Financial Statements.
63
PPMFunds
Financial Highlights
For a Share Outstanding
|
|
|
| Increase (decrease) from |
| Distributions from |
|
|
|
| Supplemental data |
|
|
| Ratios(a) |
|
| ||||||||||||
Period ended | Net asset value, beginning of period($) | Net investment income (loss)($)(b) | Net realized & unrealized gains (losses)($) | Total from investment operations($) |
| Net investment income($) | Net realized gains on investment transactions($) | Net asset value, end of period($) | Total return(%) | Net assets,end of period (in thousands)($) | Portfolio turnover (%)(c) |
| Net expenses to average net assets(%) | Total expenses to average net assets(%) | Net investment income (loss) to average net assets(%) | ||||||||||||||
| |||||||||||||||||||||||||||||
PPM Core Plus Fixed Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
12/31/18 | * | 10.00 |
| 0.15 |
| (0.14) |
| 0.01 |
|
| (0.16) |
| — |
| 9.85 |
| 0.07 |
| 50,198 |
| 25 | (d) |
| 0.50 |
| 0.78 |
| 3.30 |
|
| |||||||||||||||||||||||||||||
PPM Credit Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
12/31/18 | * | 10.00 |
| 0.17 |
| (0.28) |
| (0.11) |
|
| (0.18) |
| (0.01) |
| 9.70 |
| (1.11) |
| 49,018 |
| 37 |
|
| 0.55 |
| 0.83 |
| 3.79 |
|
| |||||||||||||||||||||||||||||
PPM Floating Rate Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
12/31/18 | * | 10.00 |
| 0.29 |
| (0.57) |
| (0.28) |
|
| (0.30) |
| — |
| 9.42 |
| (3.05) |
| 48,929 |
| 34 |
|
| 0.70 |
| 0.95 |
| 4.41 |
|
| |||||||||||||||||||||||||||||
PPM High Yield Core Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
12/31/18 | * | 10.00 |
| 0.25 |
| (0.71) |
| (0.46) |
|
| (0.26) |
| (0.02) |
| 9.26 |
| (4.74) |
| 48,121 |
| 18 |
|
| 0.70 |
| 0.92 |
| 5.53 |
|
| |||||||||||||||||||||||||||||
PPM Long Short Credit Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
12/31/18 | * | 10.00 |
| 0.17 |
| (0.47) |
| (0.30) |
|
| (0.17) |
| (0.04) |
| 9.49 |
| (3.08) |
| 48,574 |
| 38 |
|
| 0.97 | (e) | 1.14 | (e) | 3.64 |
|
| |||||||||||||||||||||||||||||
PPM Strategic Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
12/31/18 | * | 10.18 | (g) | 0.41 | (g) | (0.79) | (g) | (0.38) | (g) |
| (0.22) |
| (0.03) |
| 9.55 |
| (3.76) |
| 48,713 |
| 76 | (f) |
| 0.72 | (e) | 0.80 | (e) | 4.08 |
|
12/31/17 |
| 9.53 | (g) | 0.38 | (g) | 0.27 | (g) | 0.65 | (g) |
| — |
| — |
| 10.18 | (g) | 6.78 |
| 121,318 |
| 67 | (f) |
| — |
| 0.76 |
| 3.84 |
|
12/31/16 |
| 8.63 | (g) | 0.36 | (g) | 0.54 | (g) | 0.90 | (g) |
| — |
| — |
| 9.53 | (g) | 10.40 |
| 113,634 |
| 83 | (f) |
| — |
| 0.75 |
| 3.98 |
|
12/31/15 |
| 8.98 | (g) | 0.39 | (g) | (0.74) | (g) | (0.35) | (g) |
| — |
| — |
| 8.63 | (g) | (3.92) |
| 102,890 |
| 76 | (f) |
| — |
| 0.75 |
| 4.30 |
|
12/31/14 |
| 8.76 | (g) | 0.37 | (g) | (0.15) | (g) | 0.22 | (g) |
| — |
| — |
| 8.98 | (g) | 2.49 |
| 107,074 |
| 81 | (f) |
| — |
| 0.75 |
| 4.12 |
|
| |||||||||||||||||||||||||||||
PPM Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
12/31/18 | * | 10.00 |
| 0.13 |
| (1.37) |
| (1.24) |
|
| (0.13) |
| (0.10) |
| 8.53 |
| (12.45) |
| 5,693 |
| 17 |
|
| 0.75 |
| 1.04 |
| 1.88 |
|
| |||||||||||||||||||||||||||||
PPM Mid Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
12/31/18 | * | 10.00 |
| 0.09 |
| (1.79) |
| (1.70) |
|
| (0.09) |
| (0.19) |
| 8.02 |
| (16.96) |
| 4,590 |
| 24 |
|
| 0.90 |
| 1.18 |
| 1.34 |
|
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PPM Small Cap Value Fund |
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Institutional Class |
|
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12/31/18 | * | 10.00 |
| 0.04 |
| (1.77) |
| (1.73) |
|
| (0.04) |
| (0.23) |
| 8.00 |
| (17.29) |
| 8,203 |
| 22 |
|
| 1.00 |
| 1.21 |
| 0.64 |
|
* | Commencement of operations was as follows: May 1, 2018 - PPM Floating Rate Income Fund, PPM Large Cap Value Fund, PPM Mid Cap Value Fund and PPM Small Cap Value Fund; July 16, 2018 - PPM Core Plus Fixed Income Fund, PPM Credit Fund, PPM High Yield Core Fund and PPM Long Short Credit Fund. PPM Strategic Income Fund commenced operations on July 2, 2018. Prior to the open of business on July 2, 2018, PPM Strategic Income Fund acquired JNL/PPM America Strategic Income Fund, the sole series of JNL Strategic Income Fund LLC. | |||||||||||
(a) | Annualized for periods less than one year. | |||||||||||
(b) | Calculated using the average shares method. | |||||||||||
(c) | Portfolio turnover is not annualized for periods of less than one year. Dollar roll transactions are excluded for purposes of calculating portfolio turnover. Portfolio turnover is calculated on the basis of the Fund as a whole. | |||||||||||
(d) | Portfolio turnover including dollar roll transactions for PPM Core Plus Fixed Income Fund was 31% in 2018. | |||||||||||
(e) | The net and total expense ratios to average net assets without dividend expenses, net borrowing fees on securities sold short or interest expense for the following Funds were as follows: | |||||||||||
December 31, 2018 (%) | ||||||||||||
PPM Long Short Credit Fund | ||||||||||||
Institutional Class – Net expenses / Total expenses 1 | 0.70/0.87 | |||||||||||
PPM Strategic Income Fund | ||||||||||||
Institutional Class – Net expenses / Total expenses 1 | 0.72/0.80 | |||||||||||
1 Fund contractually waives a portion of advisory fees. | ||||||||||||
(f) | Portfolio turnover including dollar roll transactions for PPM Strategic Income Fund was 115%, 106%, 101%, 67% and 77% in 2014, 2015, 2016, 2017 and 2018, respectively. | |||||||||||
(g) | Prior to the open of business on July 2, 2018, PPM Strategic Income Fund acquired JNL/PPM America Strategic Income Fund, the sole series of JNL Strategic Income Fund LLC. JNL/PPM America Strategic Income Fund is considered the accounting survivor for financial reporting purposes, and as a result, the per share activity has been retroactively restated to give effect to the impact of the exchange of shares. See Note 9 in the Notes to Financial Statements. |
See accompanying Notes to Financial Statements.
64
PPMFunds
Notes to Financial Statements
December 31, 2018
NOTE 1. ORGANIZATION
PPM Funds (the “Trust”) is an open-ended management investment company, organized under the laws of the Commonwealth of Massachusetts, by a Declaration of Trust, dated November 9, 2017, as amended and restated March 12, 2018. The Trust is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended ("the 1940 Act"), and its shares are registered under the Securities Act of 1933, as amended ("the 1933 Act"). The Trust consists of nine series (collectively, the “Funds” and each individually a “Fund”): PPM Core Plus Fixed Income Fund, PPM Credit Fund, PPM Floating Rate Income Fund, PPM High Yield Core Fund, PPM Long Short Credit Fund, PPM Strategic Income Fund, PPM Large Cap Value Fund, PPM Mid Cap Value Fund and PPM Small Cap Value Fund. The Funds initially intend to offer only Institutional Class shares. Each Fund represents shares of beneficial interest in a separate portfolio of securities and other assets, each with its own investment objective, policies and strategies. PPM Floating Rate Income Fund, PPM Large Cap Value Fund, PPM Mid Cap Value Fund and PPM Small Cap Value Fund commenced operations on May 1, 2018. PPM Strategic Income Fund commenced operations on July 2, 2018. PPM Core Plus Fixed Income Fund, PPM Credit Fund, PPM High Yield Core Fund and PPM Long Short Credit Fund commenced operations on July 16, 2018. On the commencement date, PPM Core Plus Fixed Income Fund, PPM Credit Fund, PPM High Yield Core Fund and PPM Long Short Credit Fund received in-kind contributions in the form of securities in the amounts of $48,522,472, $47,365,077, $47,719,286 and $34,928,621, respectively. The Funds are classified as diversified under the 1940 Act, except PPM Floating Rate Income Fund, which is classified as a non-diversified fund.
PPM America, Inc. (“PPM” or “Adviser”) serves as the investment adviser of the Funds, with responsibility for the professional investment supervision and management of the Funds. The Adviser is an indirect, wholly-owned subsidiary of Prudential plc, a publicly traded company incorporated in the United Kingdom. Prudential plc is not affiliated in any manner with Prudential Financial, Inc., a company whose principal place of business is in the United States of America. Jackson National Asset Management LLC (“JNAM” or “Administrator”), an affiliate of PPM, serves as the administrator. JNAM is an indirect wholly-owned subsidiary of Jackson National Life Insurance Company® (“Jackson”), a US-based financial services company, which in turn is an indirect wholly-owned subsidiary of Prudential plc.
The initial shares of each Fund were sold to PPM at a net asset value of $10.00 per share (aggregate purchase amount of $100,000). As of December 31, 2018, PPM or affiliates under common ownership owned 100% of the outstanding shares of beneficial interest in each of the Funds.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are investment companies and follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”. The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements in conformity with US generally accepted accounting principles (“GAAP”).
Security Valuation. Under the Trust’s valuation policy and procedures, the Board of Trustees (“Board” or “Trustees”) has delegated the daily operational oversight of the securities valuation function to the JNAM Valuation Committee (“Valuation Committee”), which consists of certain officers of the Trust and certain members of JNAM management. The Valuation Committee is responsible for determining fair valuations for any security for which market quotations are not readily available. For those securities fair valued under procedures adopted by the Board, the Valuation Committee reviews and affirms the reasonableness of the fair valuation determinations after considering all relevant information that is reasonably available. The Valuation Committee’s fair valuation determinations are subject to review by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. For fair valuation determinations that are deemed material, the Board is promptly notified of the fair valuation.
The net asset value ("NAV") of a Fund's shares is generally determined once each day on which the New York Stock Exchange (“NYSE”) is open, at the close of the regular trading session of the NYSE (normally, 4:00 PM Eastern Time, Monday through Friday). Equity securities are generally valued at the official closing price of the exchange where the security is principally traded. If there is no official closing price for the security on the valuation date, the security may be valued at the most recent sale or quoted bid price prior to close. Stocks not listed on a national or foreign stock exchange may be valued at the closing bid price on the over the counter (“OTC”) market. Investments in mutual funds are valued at the NAV per share determined as of the close of the NYSE on each valuation date. Short-term securities maturing within sixty (60) days are valued at amortized cost, unless it is determined that such practice does not approximate market value. Debt securities are generally valued by independent pricing services approved by the Board. Pricing services utilized to value debt and derivative instruments may use various pricing techniques which take into account appropriate factors such as: yield; credit quality; coupon rate; maturity; type of issue; trading characteristics; call features; credit ratings; broker quotes; and other relevant data. Term loans are generally valued at the composite bid prices provided by approved pricing services. Futures contracts traded on an exchange are generally valued at the exchange’s settlement price. If the settlement price is not available, exchange traded futures are valued at the last sales price as of the close of business on the primary exchange. If the last trade is determined to not be representative of fair value, exchange traded options are valued at the current day’s mid-price.
Market quotations may not be readily available for certain investments or it may be determined that a quotation of an investment does not represent fair value. In such instances, the investment is valued as determined in good faith using procedures approved by the Board. Situations that may require an investment to be fair valued may include instances where a security is thinly traded, halted or restricted as to resale. In addition, investments may be fair valued based on the occurrence of a significant event. Significant events may be specific to a particular issuer, such as mergers, restructurings or defaults. Alternatively, significant events may affect an entire market, such as natural disasters, government actions, and significant changes in the value of US securities markets. Securities are fair valued based on observable and unobservable inputs, including the Administrator's or Valuation Committee’s own assumptions in determining the fair value of an investment. Under the procedures approved by the Board, the Administrator may utilize pricing services or other sources in determining the fair value of an investment. Factors considered to determine fair value may include fundamental analytical data relating to the security; the nature and duration of restrictions, if any, on the disposition of the security; trading volume on markets, exchanges, or among dealers;
65
PPMFunds
Notes to Financial Statements
December 31, 2018
evaluation of the forces which influence the market in which the security is traded; the type of security; the financial statements of the issuer, or other financial information about the issuer; the cost of the security at its date of purchase; the size of the Fund’s holding; the discount from market value of unrestricted securities of the same class, if applicable, at the time of purchase or at a later date; reports prepared by analysts; information as to any transactions in or offers for the security; the existence of any merger proposal, tender offer or other extraordinary event relating to the security; the price and extent of public or dealer trading in similar securities or derivatives of the issuer or of comparable companies; trading in depositary receipts; foreign currency exchange activity; changes in the interest rate environment; trading prices of financial products that are tied to baskets of foreign securities; and any other matters considered relevant.
If an investment is valued at a fair value for purposes of calculating a Fund’s NAV, the value may be different from the last quoted price for the investment depending on the source and method used to determine the value. Although there can be no assurance, in general, the fair value of the investment is the amount the owner of such investment might reasonably expect to receive in an orderly transaction between market participants upon its current sale.
Distributions to Shareholders. Dividends from net investment income are declared daily and paid monthly for PPM Core Plus Fixed Income Fund, PPM Credit Fund, PPM Floating Rate Income Fund, PPM High Yield Core Fund, PPM Long Short Credit Fund and PPM Strategic Income Fund. PPM Large Cap Value Fund, PPM Mid Cap Value Fund and PPM Small Cap Value Fund declare and pay dividends from net investment income, if any, annually. Distributions of net realized capital gains, if any, are declared and distributed at least annually for all the Funds only to the extent they exceeded available capital loss carryovers. The amount and timing of distributions are determined in accordance with federal income tax regulations which may differ from GAAP.
Other Service Providers. State Street Bank and Trust Company (“State Street” or "Custodian") acts as custodian and securities lending agent for the Funds. The Custodian has custody of all securities and cash of the Trust maintained in the United States and attends to the collection of principal and income and payment for and collection of proceeds of securities bought and sold by the Trust.
The Trust has entered into a Transfer Agency Agreement with UMB Fund Services, Inc. UMB Fund Services, Inc. is the transfer agent and dividend disbursing agent of all shares.
Security Transactions and Investment Income. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses are determined on the specific identification basis. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date. Corporate actions involving foreign securities, including dividends, are recorded when the information becomes available. Income received in lieu of dividends for securities loaned is included in dividends in the Statements of Operations. Interest income, including level-yield amortization of discounts and premiums on debt securities and convertible bonds, is accrued daily. A Fund may place a debt obligation on non-accrual status and reduce related interest income by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses are recorded on an accrual basis. Expenses of the Trust that are directly attributable to a specific Fund are charged to that Fund. Other Trust level expenses are allocated to the Funds based on the average daily net assets of each Fund.
Foreign Taxes. The Funds may be subject to foreign taxes on income, gains on investments or foreign currency purchases and repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon the current interpretations of tax rules and regulations that exist in the markets in which the Funds invest.
Guarantees and Indemnifications. Under the Trust's organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, certain of the Funds’ contracts with service providers contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Funds cannot be determined and the Funds have no historical basis for predicting the likelihood of any such claims.
Use of Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Recent Accounting Pronouncements. In March 2017, FASB issued Accounting Standard Update (“ASU”) 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20) – Premium Amortization on Purchased Callable Debt Securities. The amendments in this ASU require that certain callable debt securities held at a premium be amortized to the earliest call date. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. Management has evaluated the amendments and determined that they will not have a significant impact on the Funds’ financial statements.
In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820) – Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The amendments in this ASU modify the disclosure requirements on fair value measurements. Among the requirements, entities will be required to make additional disclosures about significant unobservable inputs in developing Level 3 fair value measurements and are permitted to remove disclosure of the amount and reason for transfers between Level 1 and Level 2. This ASU is effective for annual periods beginning after December 15, 2019, and interim periods within those annual periods. Management has elected early adoption for the removal of the transfers between Level 1 and Level 2 disclosure and is currently evaluating the impact that the remainder of the ASU will have on the Funds’ financial statements.
66
PPMFunds
Notes to Financial Statements
December 31, 2018
In August 2018, the SEC adopted Final Rule Release No. 33-10532, Disclosure Update and Simplification. The rule intends to simplify financial statement disclosures by removing duplicative, redundant or outdated disclosure requirements. The rule was effective November 5, 2018, and the Funds’ Statements of Assets and Liabilities and Statements of Changes in Net Assets for the year ended December 31, 2018 have been modified to conform to the rule.
NOTE 3. FASB ASC TOPIC 820, “FAIR VALUE MEASUREMENT”
Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820, "Fair Value Measurement". This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. Various inputs are used in determining the value of a Fund’s investments under FASB ASC Topic 820 guidance. The inputs are summarized into three broad categories:
Level 1 includes valuations based on quoted prices of identical securities in active markets, including valuations for securities listed on a national or foreign stock exchange or investments in mutual funds.
Level 2 includes valuations determined from significant direct or indirect observable inputs. Direct observable inputs include broker quotes, third party prices, closing prices of similar securities in active markets, closing prices for identical or similar securities in non-active markets or corporate action or reorganization entitlement values. Indirect significant observable inputs include factors such as interest rates, yield curves, prepayment speeds or credit ratings. Level 2 includes valuations for fixed income securities, including certain term loans, OTC derivatives, centrally cleared swap agreements, broker quotes in active markets, securities subject to corporate actions, securities valued at amortized cost, swap agreements valued by pricing services, ADRs and GDRs for which quoted prices in active markets are not available or securities limited by foreign ownership.
Level 3 includes valuations determined from significant unobservable inputs including the Administrator's own assumptions in determining the fair value of the investment. Inputs used to determine the fair value of Level 3 securities include security specific inputs such as: credit quality, credit rating spreads, issuer news, trading characteristics, call features, maturity or anticipated cash flows; or industry specific inputs such as: trading activity of similar markets or securities, changes in the security’s underlying index or changes in comparable securities’ models. Level 3 valuations include securities; term loans that do not meet certain liquidity thresholds; securities where prices may be unavailable due to halted trading, restricted to resale due to market events, or newly issued; private placements; or investments for which reliable quotes are otherwise not available.
To assess the continuing appropriateness of security valuation, the Administrator regularly compares current day prices with prior day prices, transaction prices and alternative vendor prices. When the comparison results exceed pre-defined thresholds, the Administrator challenges the prices exceeding tolerance levels with the pricing service or broker. To verify Level 3 unobservable inputs, the Administrator uses a variety of techniques as appropriate to substantiate these valuation approaches including a regular review of key inputs and assumptions, transaction back-testing or disposition analysis and review of related market activity.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes each Fund’s investments in securities and other financial instruments as of December 31, 2018, by valuation level.
. Level 1 ($) . | . Level 2 ($) . | . Level 3 ($) . | . Other ¹ ($) . | . Total ($) . | ||||||
PPM Core Plus Fixed Income Fund | ||||||||||
Assets - Securities | ||||||||||
Non-U.S. Government Agency Asset-Backed Securities | — | 6,059,780 | — | — | 6,059,780 | |||||
Corporate Bonds And Notes | — | 21,357,320 | — | — | 21,357,320 | |||||
Senior Loan Interests | — | 801,849 | — | — | 801,849 | |||||
Government And Agency Obligations | — | 20,811,262 | — | — | 20,811,262 | |||||
Short Term Investments | 1,417,319 | — | — | — | 1,417,319 | |||||
1,417,319 | 49,030,211 | — | — | 50,447,530 | ||||||
Assets - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | 161,698 | — | — | — | 161,698 | |||||
161,698 | — | — | — | 161,698 | ||||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (101,628 | ) | — | — | — | (101,628 | ) | |||
Centrally Cleared Credit Default Swap Agreements | — | (8,032 | ) | — | — | (8,032 | ) | |||
(101,628 | ) | (8,032 | ) | — | — | (109,660 | ) | |||
PPM Credit Fund | ||||||||||
Assets - Securities | ||||||||||
Non-U.S. Government Agency Asset-Backed Securities | — | 6,271,834 | — | — | 6,271,834 | |||||
Corporate Bonds And Notes | — | 36,504,009 | — | — | 36,504,009 | |||||
Government And Agency Obligations | — | 4,420,014 | — | — | 4,420,014 | |||||
Short Term Investments | 591,501 | 1,099,018 | — | — | 1,690,519 | |||||
591,501 | 48,294,875 | — | — | 48,886,376 | ||||||
Assets - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | 232,531 | — | — | — | 232,531 | |||||
232,531 | — | — | — | 232,531 |
67
PPMFunds
Notes to Financial Statements
December 31, 2018
. Level 1 ($) . | . Level 2 ($) . | . Level 3 ($) . | . Other ¹ ($) . | . Total ($) . | ||||||
PPM Credit Fund (continued) | ||||||||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (250,008 | ) | — | — | — | (250,008 | ) | |||
(250,008 | ) | — | — | — | (250,008 | ) | ||||
PPM Floating Rate Income Fund | ||||||||||
Assets - Securities | ||||||||||
Corporate Bonds And Notes | — | 1,733,152 | — | — | 1,733,152 | |||||
Senior Loan Interests | — | 44,792,828 | 1,714,647 | — | 46,507,475 | |||||
Investment Companies | 38,809 | — | — | — | 38,809 | |||||
Short Term Investments | 1,152,134 | — | — | — | 1,152,134 | |||||
1,190,943 | 46,525,980 | 1,714,647 | — | 49,431,570 | ||||||
Liabilities - Securities | ||||||||||
Senior Loan Interests3 | — | (406 | ) | (935 | ) | — | (1,341 | ) | ||
— | (406 | ) | (935 | ) | — | (1,341 | ) | |||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (15,515 | ) | — | — | — | (15,515 | ) | |||
(15,515 | ) | — | — | — | (15,515 | ) | ||||
PPM High Yield Core Fund | ||||||||||
Assets - Securities | ||||||||||
Common Stocks | 1,288,360 | — | — | — | 1,288,360 | |||||
Preferred Stocks | 72,840 | — | — | — | 72,840 | |||||
Corporate Bonds And Notes | — | 39,200,722 | 480,847 | — | 39,681,569 | |||||
Senior Loan Interests | — | 1,645,643 | 428,600 | — | 2,074,243 | |||||
Investment Companies | 2,224,039 | — | — | — | 2,224,039 | |||||
Short Term Investments | 4,439,505 | — | — | — | 4,439,505 | |||||
8,024,744 | 40,846,365 | 909,447 | — | 49,780,556 | ||||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (75,664 | ) | — | — | — | (75,664 | ) | |||
(75,664 | ) | — | — | — | (75,664 | ) | ||||
PPM Long Short Credit Fund | ||||||||||
Assets - Securities | ||||||||||
Common Stocks | 42,332 | — | — | — | 42,332 | |||||
Investment Companies | 1,244,768 | — | — | — | 1,244,768 | |||||
Non-U.S. Government Agency Asset-Backed Securities | — | 5,578,842 | — | — | 5,578,842 | |||||
Corporate Bonds And Notes | — | 32,410,592 | — | — | 32,410,592 | |||||
Senior Loan Interests | — | 9,480,784 | 131,600 | — | 9,612,384 | |||||
Government And Agency Obligations | — | 286,916 | — | — | 286,916 | |||||
Short Term Investments | 1,751,526 | — | — | — | 1,751,526 | |||||
3,038,626 | 47,757,134 | 131,600 | — | 50,927,360 | ||||||
Liabilities - Securities | ||||||||||
Corporate Bonds And Notes | — | (2,823,924 | ) | — | — | (2,823,924 | ) | |||
— | (2,823,924 | ) | — | — | (2,823,924 | ) | ||||
Assets - Investments in Other Financial Instruments2 | ||||||||||
Centrally Cleared Credit Default Swap Agreements | — | 35,746 | — | — | 35,746 | |||||
OTC Credit Default Swap Agreements | — | 14,533 | — | — | 14,533 | |||||
— | 50,279 | — | — | 50,279 | ||||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (438,584 | ) | — | — | — | (438,584 | ) | |||
Centrally Cleared Credit Default Swap Agreements | — | (17,033 | ) | — | — | (17,033 | ) | |||
(438,584 | ) | (17,033 | ) | — | — | (455,617 | ) | |||
PPM Strategic Income Fund | ||||||||||
Assets - Securities | ||||||||||
Non-U.S. Government Agency Asset-Backed Securities | — | 3,317,223 | — | — | 3,317,223 | |||||
Corporate Bonds And Notes | — | 36,559,501 | — | — | 36,559,501 | |||||
Senior Loan Interests | — | 3,306,894 | 131,600 | — | 3,438,494 | |||||
Government And Agency Obligations | — | 2,902,150 | — | — | 2,902,150 | |||||
Other Equity Interests | — | — | — | — | — | |||||
Common Stocks | 107,237 | — | — | — | 107,237 | |||||
Investment Companies | 500,491 | — | — | — | 500,491 | |||||
Short Term Investments | 3,023,895 | — | — | — | 3,023,895 | |||||
3,631,623 | 46,085,768 | 131,600 | — | 49,848,991 | ||||||
Liabilities - Securities | ||||||||||
Corporate Bonds And Notes | — | (496,037 | ) | — | — | (496,037 | ) | |||
— | (496,037 | ) | — | — | (496,037 | ) | ||||
Assets - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | 151,258 | — | — | — | 151,258 | |||||
151,258 | — | — | — | 151,258 | ||||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (258,670 | ) | — | — | — | (258,670 | ) | |||
Centrally Cleared Credit Default Swap Agreements | — | (16,934 | ) | — | — | (16,934 | ) | |||
(258,670 | ) | (16,934 | ) | — | — | (275,604 | ) |
68
PPMFunds
Notes to Financial Statements
December 31, 2018
. Level 1 ($) . | . Level 2 ($) . | . Level 3 ($) . | . Other ¹ ($) . | . Total ($) . | ||||||
PPM Large Cap Value Fund | ||||||||||
Assets - Securities | ||||||||||
Common Stocks | 5,648,353 | — | — | — | 5,648,353 | |||||
Short Term Investments | 38,481 | — | — | — | 38,481 | |||||
5,686,834 | — | — | — | 5,686,834 | ||||||
PPM Mid Cap Value Fund | ||||||||||
Assets - Securities | ||||||||||
Common Stocks | 4,565,025 | — | — | — | 4,565,025 | |||||
Short Term Investments | 20,957 | — | — | — | 20,957 | |||||
4,585,982 | — | — | — | 4,585,982 | ||||||
PPM Small Cap Value Fund | ||||||||||
Assets - Securities | ||||||||||
Common Stocks | 8,182,788 | — | — | — | 8,182,788 | |||||
Short Term Investments | 56,991 | — | — | — | 56,991 | |||||
8,239,779 | — | — | — | 8,239,779 |
1 Certain investments that are measured at fair value using the NAV per share practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Schedules of Investments. Although there can be no assurance, in general, the fair value of the investment using the NAV per share practical expedient is the amount the owner of such investment might reasonably expect to receive in an orderly transaction between market participants upon its current sale. As of December 31, 2018, no investments were valued using the NAV per share practical expedient.
2 Derivatives are reflected at the unrealized appreciation (depreciation) on the instrument.
3 Unfunded commitments in PPM Floating Rate Income Fund are not reflected in the Schedules of Investments. Net unrealized appreciation (depreciation) is reflected as an asset or liability in the table. See Unfunded Commitments in the Schedules of Investments.
Significant changes in unobservable valuation inputs to a different amount might result in a significantly higher or lower fair value measurement than the one used in a security’s valuation. The Funds recognize transfers between levels as of the beginning of the period for financial reporting purposes. There were no significant transfers into or out of Level 3 for the year. There were no significant Level 3 valuations for which unobservable valuation inputs were developed at December 31, 2018.
NOTE 4. SECURITIES AND OTHER INVESTMENTS
Securities Lending and Securities Lending Collateral. All Funds are approved to participate in agency based securities lending with the Funds’ custodian, State Street. Per the securities lending agreements, State Street is authorized to loan securities on behalf of the Funds to approved borrowers and is required to maintain collateral. Each Fund receives either cash or non-cash collateral against the loaned securities in an amount equal to at least 100% of the market value of the loaned securities. Generally, cash and non-cash collateral received for the following types of securities on loan are as follows: US equities – 102%; US corporate fixed income – 102%; US government fixed income – 102%; international equities – 105%; international corporate fixed income – 105%; sovereign fixed income – 102%; and asset backed investments – 102%. Collateral requirements are evaluated at the close of each business day; any additional collateral required is generally delivered to the Fund on the next business day. The duration of each loan is determined by the agent and borrower and generally may be terminated at any time. Certain loans may be negotiated to mature on a specified date. State Street has agreed to indemnify the Funds in the event of default by a third party borrower. A Fund may experience a delay in the recovery of its securities or incur a loss if the borrower breaches its agreement with the Fund or becomes insolvent. For cash collateral, the Fund receives income from the investment of cash collateral, in addition to lending fees and rebates negotiated with the borrower. The Funds bear the market risk with respect to the collateral investment and securities loaned. The Funds also bear the risk that State Street may default on its obligations to the Funds. Non-cash collateral may include US government securities; US government agencies’ debt securities; and US government-sponsored agencies’ debt securities and mortgage-backed securities. Certain Funds receive non-cash collateral in the form of securities received, which the Funds may not sell or re-pledge and accordingly are not reflected in the Statements of Assets and Liabilities. For non-cash collateral, the Funds receive lending fees negotiated with the borrower. State Street has agreed to indemnify the Funds with respect to the market risk related to the non-cash collateral investments.
The cash collateral is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, a money market fund and a series of State Street Navigator Securities Lending Trust, which is an open-end management company registered under the 1940 Act. The Funds also bear the risk of any deficiency in the amount of collateral available for return to a borrower due to a decline in value of the State Street Navigator Securities Lending Government Money Market Portfolio.
Cash collateral received from the borrower is recorded in the Statements of Assets and Liabilities as payable for return of securities loaned. Investments acquired with such cash collateral are reported as Investments - unaffiliated, at value on the Statements of Assets and Liabilities. The value of securities on loan is disclosed as Securities on loan included in investments - unaffiliated, at value on the Statements of Assets and Liabilities. Each Fund’s net exposure to a borrower is determined by the amount of any excess or shortfall in cash collateral received compared to the value of securities on loan.
US Government Agencies or Government Sponsored Enterprises. Certain Funds may invest in US government agencies or government sponsored enterprises. US government securities are obligations of, and in certain cases, guaranteed by, the US government, its agencies or instrumentalities. Some US government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association, are supported by the full faith and credit of the US government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the US Department of the Treasury (“US Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the US government to purchase the agency’s obligations; and still others, such as those of the Student Loan Marketing Association, are supported only by the credit of the instrumentality. US government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest paying securities of similar maturities.
Government-related guarantors (i.e., guarantors that are not backed by the full faith and credit of the US government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA purchases conventional (i.e., not insured or guaranteed by any government
69
PPMFunds
Notes to Financial Statements
December 31, 2018
agency) residential mortgages from a list of approved seller/servicers, which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the US government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the US government.
FNMA and FHMLC were placed into conservatorship by the Federal Housing Finance Agency (“FHFA”). As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and each enterprise’s assets. In connection with the conservatorship, the US Treasury entered into a Senior Preferred Stock Purchase Agreement with FNMA and FHLMC. This agreement contains various covenants that severely limit each enterprise’s operations. In exchange for entering into these agreements, the US Treasury received senior preferred stock in each enterprise and warrants to purchase each enterprise’s common stock. The US Treasury created a new secured lending facility, which is available to FNMA and FHLMC as a liquidity backstop and created a temporary program to purchase mortgage-backed securities issued by FNMA and FHLMC. FNMA and FHLMC are continuing to operate as going concerns while in conservatorship and each remains liable for all of its obligations, including its guaranty obligations, associated with its mortgage-backed securities.
Unregistered Securities. The Funds may own certain investment securities that are unregistered and thus restricted as to resale. These securities may also be referred to as “private placements”. Unregistered securities may be “illiquid” because there is no readily available market for sale of the securities. Where future dispositions of the securities require registration under the 1933 Act, the Funds have the right to include those securities in such registration generally without cost to the Funds. The Funds have no right to require registration of unregistered securities.
Senior and Junior Loans. Certain Funds may invest in Senior loans or secured and unsecured subordinated loans, second lien loans and subordinated bridge loans (“Junior loans”) which are purchased or sold on a when-issued or delayed-delivery basis and may be settled a month or more after the trade date. Interest income on these loans is accrued based on the terms of the securities. Senior and Junior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan.
Unfunded Commitments. Certain Funds may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers’ discretion. Unfunded loan commitments and funded portions of credit agreements are marked-to-market daily. Net unrealized appreciation/depreciation on unfunded commitments is reflected in other assets or payable for investment securities purchased in the Statements of Assets and Liabilities, as applicable, and net change in unrealized appreciation (depreciation) on investments - unaffiliated in the Statements of Operations.
NOTE 5. INVESTMENT TRANSACTION AGREEMENTS AND COLLATERAL
Under various agreements, certain investment transactions require collateral to be pledged to or from a Fund and a counterparty or segregated at the Custodian and the collateral is managed pursuant to the terms of the agreement. US Treasury Bills and US dollars are generally the preferred forms of collateral, although other forms of high quality or sovereign securities may be used. Securities held by a Fund that are used as collateral are identified as such within the Schedules of Investments. Collateral for OTC financial derivative transactions paid to or received from brokers and counterparties is included in receivable from deposits with brokers and counterparties or payable for deposits from counterparties in the Statements of Assets and Liabilities, as applicable.
Counterparty Agreements. Certain Funds enter into various types of agreements with counterparties, which govern the terms of certain transactions and mitigate the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. A Fund may net exposure and collateralize multiple transaction types governed by the same agreement with the same counterparty and may close out and net its total exposure to a counterparty in the event of a default and/or termination event with respect to all the transactions governed under a single agreement with a counterparty. Each agreement defines whether the Fund is contractually able to net settle daily payments. Additionally, certain circumstances, such as laws of a particular jurisdiction or settlement of amounts due in different currencies, may prohibit or restrict the right of offset as defined in the agreements.
These agreements also help limit credit and counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral) governed under the relevant agreement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of agreement. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant agreement. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds’ Adviser attempts to limit counterparty risk by only entering into agreements with counterparties that the Adviser believes to have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For swap agreements executed with a Derivatives Clearing Organization (“DCO”) in a multilateral or other trade facility platform (“centrally cleared swaps”), counterparty risk is reduced by shifting exposure from the counterparty to the DCO. Additionally, the DCO has broad powers to provide an orderly liquidation in the event of a default.
Customer Account Agreements. Customer Account Agreements and related addendums govern exchange traded or centrally cleared derivative transactions such as futures, options on futures and centrally cleared derivatives. If a Fund transacts in exchange traded or centrally cleared derivatives, the Adviser is a party to agreements with (1) a Futures Commissions Merchant (“FCM”) in which the FCM facilitates the execution of the exchange traded and centrally cleared derivative with the DCO and (2) with an executing broker/swap dealer to agree to the terms of the swap and resolution process in the event the centrally cleared swap is not accepted for clearing by the designated DCO. Exchange traded and centrally cleared derivatives transactions require posting an amount of cash or cash equivalents equal to a certain percentage of the contract amount known as the “initial margin” as determined by each relevant clearing agency and is segregated at an FCM which is registered with the Commodity Futures Trading Commission (“CFTC”) or the
70
PPMFunds
Notes to Financial Statements
December 31, 2018
applicable regulator. The Fund receives from, or pays to, the counterparty an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments are known as the “variation margin”. Variation margin on the Statements of Assets and Liabilities may include variation margin on closed unsettled derivative transactions. Variation margin received may not be netted between exchange traded and centrally cleared derivatives. In the event of default, counterparty risk is significantly reduced as creditors to the FCM do not have claim to the Fund’s assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk.
International Swaps and Derivatives Association Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”). ISDA Master Agreements govern OTC financial derivative transactions entered into by PPM and select counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, events of default, termination and maintenance of collateral. Termination includes conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election of early termination could be material to the financial statements. In the event of default, the total financial derivative value exposure will be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty. The amount of collateral exchanged is based on provisions within the ISDA Master Agreements and is determined by the net exposure with the counterparty and is not identified for a specific OTC derivative instrument.
Prime Brokerage Arrangements and Other Securities Borrowing Agreements. Certain Funds may enter into Prime Brokerage Arrangements or Securities Borrowing Agreements to facilitate execution and/or clearing of listed equity option transactions or short sales of securities between the Fund and select counterparties. The arrangements provide general guidelines surrounding the rights, obligations and other events, including but not limited to, margin, execution and settlement. These arrangements maintain provisions for, among other things, payments, maintenance of collateral, events of default, and termination. Cash margin and securities delivered as collateral are typically in the possession of the prime broker or lending agent and offset any obligations due to the prime broker or lending agent. Cash collateral held at the prime broker is reflected in Cash collateral segregated for short sales in the Statements of Assets and Liabilities. In the event of default, the value of securities sold short will be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty.
NOTE 6. FINANCIAL DERIVATIVE INSTRUMENTS
Futures Contracts. A Fund may buy and sell futures on equities and indices. A futures contract is a standardized contract obligating two parties to exchange a specified asset at an agreed upon price and date. Variation margin is recorded by the Fund until the contracts are terminated at which time realized gains and losses are recognized. Futures contracts involve to varying degrees, risk of loss in excess of the variation margin recorded by the Fund. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in value of the securities held by the Fund or the change in the value of an underlying entity and the prices of the futures contracts and the possibility the Fund may not be able to enter into a closing transaction because of an illiquid market. With futures, counterparty risk to the Fund is reduced because futures contracts are exchange traded and the exchange’s clearinghouse, acting as counterparty to all exchange traded futures, guarantees the futures contracts against default.
Swap Agreements. Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the OTC market or executed and centrally cleared with a DCO.
Swap agreements are marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. For OTC swaps, premiums paid or received at the beginning of the measurement period are recorded as an asset or liability by the Fund and represent payments made or received upon entering into the OTC swap to compensate for differences between the stated terms of the OTC swap and prevailing market conditions relating to credit spreads, interest rates, currency exchange rates and other relevant factors as appropriate. These upfront payments are recorded as a realized gain or loss upon termination or maturity of the OTC swap. For centrally cleared swaps, daily changes in valuation are recorded as a receivable or payable, as appropriate, and received from or paid to the DCO on a daily basis until the contracts are terminated at which time a realized gain or loss is recorded. The use of centrally cleared swaps may require a Fund to commit initial and variation margin that may otherwise not be required under an OTC swap. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss. Net periodic payments received or paid by a Fund are included as part of realized gain or loss.
Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the unrealized gain or loss recorded by a Fund. Such risks include that there is no liquid market for OTC swaps, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreement and that there may be unfavorable changes in interest rates or value of underlying securities. Centrally cleared swaps involve to varying degrees, risk of loss in excess of the variation margin recorded by the Fund.
Credit Default Swap Agreements. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return if a credit event occurs for the referenced entity, obligation or index. As a seller of protection, a Fund will generally receive from the buyer of protection a premium in return for such protection and/or a fixed rate of income throughout the term of the swap if there is no credit event. A credit event is defined under the terms of each swap agreement and may include, but is not limited to, underlying entity default, bankruptcy, restructuring, write-down, principal shortfall or interest shortfall. As a seller, a Fund adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the credit default swap. If a Fund is a seller or buyer of protection and a credit event occurs, as defined under the terms of that particular credit default swap agreement, the Fund will either pay to or receive from the buyer or seller of protection an amount prescribed in that particular swap agreement. Until a credit event occurs, recovery values are determined by market makers considering either industry standard recovery rates or entity specific factors and considerations. When a credit event occurs, the recovery value is determined by a facilitated auction, administered by ISDA, whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
71
PPMFunds
Notes to Financial Statements
December 31, 2018
A Fund may use credit default swap agreements on corporate or sovereign issues to provide a measure of protection against defaults of an issuer (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).
A Fund may use credit default swap agreements on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligation’s default. Unlike credit default swaps on corporate or sovereign issues, deliverable obligations in most instances would be limited to the specific referenced obligation because performance for asset-backed securities can vary across deals. Write-downs, such as prepayments and principal pay downs, or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts.
A Fund may use credit default swap agreements on credit indices to hedge a portfolio of credit default swap agreements or bonds, to protect investors owning bonds against default and to speculate on changes in credit quality. A credit index is a basket of credit instruments or exposures designed to represent a portion of the credit market. These indices consist of reference credits that are considered to be the liquid entities in the credit default swap market based on the index sector. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities and emerging market securities. These components can be determined based upon various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the issuers in the index, and if there is a credit event, the credit event is settled based on that issuer’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each issuer has an equal weight in the index.
Either as a seller of protection or a buyer of protection of a credit default swap agreement, a Fund’s maximum risk of loss from counterparty risk is the fair value of the agreement. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement as disclosed in the Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.
FASB ASC Topic 815, “Derivatives and Hedging” and Financial Instruments Eligible for Offset. FASB ASC Topic 815 includes the requirement for enhanced qualitative disclosures about objectives and strategies for using derivative instruments and disclosures regarding credit related contingent features in derivative instruments, as well as quantitative disclosures in the semi-annual and annual financial statements about fair value, gains and losses, and volume of activity for derivative instruments. Information about these instruments is disclosed in the context of each instrument’s primary underlying risk exposure which is categorized as credit, commodity, equity price, interest rate and foreign currency exchange rate risk. The following disclosures include: (1) Objectives and strategies for each Fund’s derivative investments during the year; (2) A summary table of the fair valuations of each Fund’s derivative instruments categorized by risk exposure, which references the location on the Statements of Assets and Liabilities and the realized and unrealized gain or loss on the Statements of Operations for each derivative instrument as of December 31, 2018. Funds which held only one type of derivative during the year are not included in the tables as the location on the Statements of Assets and Liabilities and the realized and unrealized gain loss on the Statements of Operations can be referenced directly on each Fund’s respective statements; (3) A summary table of derivative instruments and certain investments of each Fund, which are subject to master netting agreements or a similar agreement and are eligible for offset in the Statements of Assets and Liabilities as of December 31, 2018. For Funds which held only one type of derivative during the year, amounts eligible for offset are presented gross in the Statements of Assets and Liabilities. Net exposure can be referenced in the assets and liabilities on the Statements of Assets and Liabilities and, if collateral exists, the net exposure is offset by collateral identified in the segregated or pledged collateral table; and (4) A table reflecting each Fund’s average monthly derivative volume for the year ended December 31, 2018.
PPM Core Plus Fixed Income Fund Derivative Strategies - The Fund entered into futures contracts to hedge duration and to increase the Fund's exposure to interest rate or yield curve risk. The Fund entered into credit default swap agreements as a substitute for investment in physical securities, to obtain credit exposure, to provide a measure of protection against defaults of issuers and to manage credit exposure.
PPM Core Plus Fixed Income Fund - Derivative Instruments Categorized by Risk Exposure |
| ||||||||||||
|
| Commodity($) |
| Credit($) |
| Equity($) |
| Foreign Exchange($) |
| Interest Rate($) |
| Total($) |
|
Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2018 |
| ||||||||||||
Derivative instruments assets: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Variation margin on futures contracts8 | — |
| — |
| — |
| — |
| 14,531 |
| 14,531 |
|
| Variation margin on swap agreements8 | — |
| 175 |
| — |
| — |
| — |
| 175 |
|
Total derivative instruments assets | — |
| 175 |
| — |
| — |
| 14,531 |
| 14,706 |
| |
Derivative instruments liabilities: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Variation margin on futures contracts8 | — |
| — |
| — |
| — |
| 16,829 |
| 16,829 |
|
Total derivative instruments liabilities | — |
| — |
| — |
| — |
| 16,829 |
| 16,829 |
| |
The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2018 |
| ||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures contracts | — |
| — |
| — |
| — |
| (106,808 | ) | (106,808 | ) |
| Swap agreements | — |
| 2,037 |
| — |
| — |
| — |
| 2,037 |
|
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
| ||
| Futures contracts | — |
| — |
| — |
| — |
| 60,070 |
| 60,070 |
|
| Swap agreements | — |
| (8,032 | ) | — |
| — |
| — |
| (8,032 | ) |
72
PPMFunds
Notes to Financial Statements
December 31, 2018
PPM Core Plus Fixed Income Fund – Average Derivative Volume1
|
| Cost of Options Purchased and Written ($) |
| Notional Value at Purchase of Futures Contracts ($) |
| Cost of Forward Foreign Currency Contracts ($) |
| Notional Amount of Interest Rate Swap Agreements ($) |
| Notional Amount of Cross-Currency Swap Agreements ($) |
| Notional Amount of Credit Default Swap Agreements ($) |
| Notional Amount of Total Return Swap Agreements ($) |
|
Average monthly volume | — |
| 11,947,634 |
| — |
| — |
| — |
| 80,000 |
| — |
|
73
PPMFunds
Notes to Financial Statements
December 31, 2018
PPM Long Short Credit Fund Derivative Strategies - The Fund entered into futures contracts to manage or adjust the risk profile of the Fund, establish net short positions for individual markets, currencies and securities, and adjust the Fund's portfolio duration. The Fund entered into credit default swap agreements as a substitute for investment in physical securities, to manage or adjust the risk profile of the Fund, to replace more traditional direct investments or to obtain exposure to certain markets.
PPM Long Short Credit Fund - Derivative Instruments Categorized by Risk Exposure |
| ||||||||||||
|
| Commodity($) |
| Credit($) |
| Equity($) |
| Foreign Exchange($) |
| Interest Rate($) |
| Total($) |
|
Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2018 |
| ||||||||||||
Derivative instruments assets: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Variation margin on swap agreements8 | — |
| 365 |
| — |
| — |
| — |
| 365 |
|
| OTC swap agreements | — |
| 14,533 |
| — |
| — |
| — |
| 14,533 |
|
| OTC swap premiums paid | — |
| 100,486 |
| — |
| — |
| — |
| 100,486 |
|
Total derivative instruments assets | — |
| 115,384 |
| — |
| — |
| — |
| 115,384 |
| |
Derivative instruments liabilities: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Variation margin on futures contracts8 | — |
| — |
| — |
| — |
| 56,281 |
| 56,281 |
|
| Variation margin on swap agreements8 | — |
| 694 |
| — |
| — |
| — |
| 694 |
|
Total derivative instruments liabilities | — |
| 694 |
| — |
| — |
| 56,281 |
| 56,975 |
| |
The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2018 |
| ||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures contracts | — |
| — |
| — |
| — |
| (12,008 | ) | (12,008 | ) |
| Swap agreements | — |
| (11,989 | ) | — |
| — |
| — |
| (11,989 | ) |
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
| ||
| Futures contracts | — |
| — |
| — |
| — |
| (438,584 | ) | (438,584 | ) |
| Swap agreements | — |
| 33,246 |
| — |
| — |
| — |
| 33,246 |
|
PPM Long Short Credit Fund – Derivative and Financial Instruments Eligible for Offset
Gross Amount Presented in the Statements of | Total Collateral 5 | |||||||||||
Assets and Liabilities1($) | Financial Instruments2($) | Collateral3($) | Net Amount4($) | Cash($) | Security($) | |||||||
Derivative Assets by Counterparty* | ||||||||||||
CGM | 10,685 | — | — | 10,685 | — | — | ||||||
JPM | 3,848 | — | — | 3,848 | — | — | ||||||
Derivatives eligible for offset | 14,533 | — | — | 14,533 | ||||||||
Derivatives not eligible for offset | 100,851 | — | — | |||||||||
115,384 | ||||||||||||
Derivative Liabilities by Counterparty* | ||||||||||||
Derivatives eligible for offset | — | — | — | — | ||||||||
Derivatives not eligible for offset | 56,975 | 234,815 | — | |||||||||
56,975 |
PPM Long Short Credit Fund – Average Derivative Volume1
|
| Cost of Options Purchased and Written ($) |
| Notional Value at Purchase of Futures Contracts ($) |
| Cost of Forward Foreign Currency Contracts ($) |
| Notional Amount of Interest Rate Swap Agreements ($) |
| Notional Amount of Cross-Currency Swap Agreements ($) |
| Notional Amount of Credit Default Swap Agreements ($) |
| Notional Amount of Total Return Swap Agreements ($) |
|
Average monthly volume | — |
| 22,387,406 |
| — |
| — |
| — |
| 5,266,667 |
| — |
|
74
PPMFunds
Notes to Financial Statements
December 31, 2018
PPM Strategic Income Fund Derivative Strategies - The Fund entered into futures contracts and credit default swap agreements to hedge duration or to increase the Fund's exposure to interest rate or yield curve risk
PPM Strategic Income Fund - Derivative Instruments Categorized by Risk Exposure |
| ||||||||||||
|
| Commodity($) |
| Credit($) |
| Equity($) |
| Foreign Exchange($) |
| Interest Rate($) |
| Total($) |
|
Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2018 |
| ||||||||||||
Derivative instruments assets: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Variation margin on futures contracts8 | — |
| — |
| — |
| — |
| 14,561 |
| 14,561 |
|
| Variation margin on swap agreements8 | — |
| 365 |
| — |
| — |
| — |
| 365 |
|
Total derivative instruments assets | — |
| 365 |
| — |
| — |
| 14,561 |
| 14,926 |
| |
Derivative instruments liabilities: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Variation margin on futures contracts8 | — |
| — |
| — |
| — |
| 34,048 |
| 34,048 |
|
Total derivative instruments liabilities | — |
| — |
| — |
| — |
| 34,048 |
| 34,048 |
| |
The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2018 |
| ||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures contracts | — |
| — |
| — |
| — |
| 392,874 |
| 392,874 |
|
| Swap agreements | — |
| 4,224 |
| — |
| — |
| — |
| 4,224 |
|
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
| ||
| Futures contracts | — |
| — |
| — |
| — |
| (107,412 | ) | (107,412 | ) |
| Swap agreements | — |
| (16,934 | ) | — |
| — |
| — |
| (16,934 | ) |
PPM Strategic Income Fund – Average Derivative Volume1
|
| Cost of Options Purchased and Written ($) |
| Notional Value at Purchase of Futures Contracts ($) |
| Cost of Forward Foreign Currency Contracts ($) |
| Notional Amount of Interest Rate Swap Agreements ($) |
| Notional Amount of Cross-Currency Swap Agreements ($) |
| Notional Amount of Credit Default Swap Agreements ($) |
| Notional Amount of Total Return Swap Agreements ($) |
|
Average monthly volume | — |
| 16,968,743 |
| — |
| — |
| — |
| 76,923 |
| — |
|
1 The derivative instruments outstanding as of December 31, 2018, as disclosed in the Schedules of Investments, and the amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the year ended December 31, 2018, as disclosed in the Statements of Operations, also serve as indicators of the derivative volume for the Funds.
The derivative strategy for Funds which held only one type of derivative during the year is as follows: PPM Credit Fund entered into futures contracts to hedge duration or to increase the Fund's exposure to interest rate or yield curve risk. PPM Floating Rate Income Fund and PPM High Yield Core Fund entered into futures contracts to obtain exposure to or hedge changes in interest rates.
The derivative instruments outstanding as of December 31, 2018, as disclosed in the Schedules of Investments, and the amounts of realized gains and losses and change in unrealized gains and losses on derivative instruments during the year ended December 31, 2018, as disclosed in the Statements of Operations, also serve as indicators of the derivative volume for the Funds. For Funds which held only one type of derivative during the year, the average monthly derivative volume is as follows:
|
|
|
|
|
| Notional Value at Purchase of Futures Contracts ($) |
|
PPM Credit Fund | 15,024,233 |
| |
PPM Floating Rate Income Fund | 744,401 |
| |
PPM High Yield Core Fund | 3,219,305 |
|
75
PPMFunds
Notes to Financial Statements
December 31, 2018
Pledged Collateral. The following table summarizes cash and securities collateral pledged for the Funds at December 31, 2018:
|
|
| Futures Contracts | Swap Agreements |
| ||
| Counterparties |
| Pledged or Segregated Cash($) |
| Pledged or Segregated Cash($) |
|
|
PPM Core Plus Fixed Income Fund | MLP |
| 40,234 |
| 12,753 |
|
|
PPM Credit Fund | MLP |
| 52,912 |
| — |
|
|
PPM Floating Rate Income Fund | BOA |
| 6,864 |
| — |
|
|
PPM High Yield Core Fund | MLP |
| 34,496 |
| — |
|
|
PPM Strategic Income Fund | BOA |
| 76,632 |
| 26,567 |
|
|
| Lending Agent/Prime Broker |
| Segregated Securities($) |
|
|
PPM Long Short Credit Fund | SSB |
| 4,260,407 |
|
|
PPM Strategic Income Fund | SSB |
| 744,435 |
|
|
None of the futures contracts held by the Funds are subject to master netting agreements or a similar agreement and are not eligible for offset in the Statements of Assets and Liabilities as of December 31, 2018. Net exposure to the Funds for futures contracts is the variation margin in addition to any collateral pledged for the initial margin on the futures contracts.
NOTE 7. INVESTMENT RISKS AND REGULATORY MATTERS
The Funds' risks include, but are not limited to, the following:
Market Risk. Stock market risk refers to the fact that stock (equity securities) prices typically fluctuate more than the values of other types of securities, typically in response to changes in the particular company’s financial condition and factors affecting the market in general. Over time, the stock market tends to move in cycles, with periods when stock prices rise, and periods when stock prices decline. A slower-growth or recessionary economic environment could have an adverse effect on the price of the various stocks held by the Fund. Consequently, a broad-based market drop may also cause a stock’s price to fall. Bond market risk generally refers to credit risk and interest rate risk.
Interest Rate Risk. When interest rates increase, fixed-income securities generally will decline in value. A wide variety of factors can cause interest rates to rise such as central bank monetary policies, inflation rates and general economic conditions. Fixed-income securities with longer durations tend to be more sensitive to changes in interest rates than those with shorter durations.
Issuer Risk. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the market as a whole. A security’s value may decline for reasons that directly relate to the issuer, such as management performance, corporate governance, financial leverage and reduced demand for the issuer’s goods or services.
Prepayment Risk. During periods of falling interest rates, there is the risk that a debt security with a high stated interest rate will be prepaid before its expected maturity date and that a Fund may have to reinvest the proceeds in an investment that may have a lower interest rate. In addition, prepayment rates are difficult to predict and the potential impact of prepayment on the price of a debt instrument depends on the terms of the instrument.
Credit Risk. Credit risk is the actual or perceived risk that the issuer of a bond, borrower, guarantor, counterparty, or other entity responsible for payment will not pay interest and principal payments when due. The price of a debt security can decline in response to changes in the financial condition of the issuer, borrower, guarantor, counterparty, or other entity responsible for payment. The Fund could lose money if the issuer or guarantor of a fixed-income security, or the counterparty to a derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Changes in an issuer’s financial strength, the market’s perception of the issuer’s financial strength or in a security’s credit rating, which reflects a third party’s assessment of the credit risk presented by a particular issuer, may affect debt securities’ value. When a fixed-income security is not rated, PPM may have to assess the risk of the security itself. The Fund may incur substantial losses on debt securities that are inaccurately perceived to present a different amount of credit risk by the market, PPM or the rating agencies than such securities actually do. In addition, to the extent the Fund invests in municipal bonds, they are subject to the risk that litigation, legislation or other political events, local business or economic conditions, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest.
Counterparty Risk. A Fund will be subject to credit risk with respect to the counterparties to the derivative contracts (whether a clearing corporation in the case of exchange-traded instruments or another third party in the case of over-the-counter instruments) and other instruments, such as repurchase and reverse repurchase agreements, entered into directly by a Fund or held by special purpose or structured vehicles in which a Fund invests. If a counterparty becomes bankrupt or insolvent or otherwise fails or is unwilling to perform its obligations to a Fund due to financial difficulties or for other reasons, the Fund may experience significant losses or delays in realizing on any collateral the counterparty has provided to a Fund in respect of the counterparty’s obligations to the Fund or recovering collateral that a Fund has provided to the counterparty and is entitled to recover. In addition, in the event of the bankruptcy, insolvency or other event of default (e.g., cross-default) of a counterparty to a derivative transaction, the derivative transaction would typically be terminated at its fair market value. If a Fund is owed this fair market value in the termination of the derivative transaction and its claim is
76
PPMFunds
Notes to Financial Statements
December 31, 2018
unsecured, the Fund will likely be treated as a general creditor of such counterparty. A Fund may obtain only a limited recovery or may obtain no recovery in such circumstances.
Leverage Risk. Certain transactions, such as reverse repurchase agreements, futures, forwards, swaps, or other derivative instruments, include the use of leverage and may cause the Fund to liquidate portfolio positions at disadvantageous times to satisfy its obligations or to meet asset segregation requirements. The effect of using leverage is to increase the Fund’s potential gains and losses in comparison to the amount of the Fund’s assets (that is, assets other than borrowed assets) at risk, which may cause the Fund’s portfolio to be more volatile. If the Fund uses leverage, the Fund has the risk of capital losses that exceed the net assets of the Fund.
Senior Loans Risk. The senior loans in which a Fund invests are usually rated below investment grade. The amount of public information with respect to loans may be less extensive than that available for registered or exchange listed securities. An economic downturn generally leads to a higher non-payment, and a senior loan may lose significant value before a default occurs. A secured senior loan may not be adequately collateralized. Moreover, any specific collateral used to secure a senior loan may decline in value or become illiquid, which would adversely affect the senior loan’s value.
Cybersecurity Risk. Cyber-attacks could disrupt daily operations related to trading and portfolio management. In addition, technology disruptions and cyber-attacks may impact the operations or securities prices of an issuer or a group of issuers, and thus may have an adverse impact on the value of a Fund’s investments. Cyber-attacks on PPM and service providers could cause business failures or delays in daily processing and a Fund may not be able to issue a NAV per share. As a result, cyber-attacks could impact the performance of a Fund.
NOTE 8. INVESTMENT ADVISORY FEES AND TRANSACTIONS WITH AFFILIATES
Advisory and Administrative Fees. The Trust has entered into an Investment Advisory and Management Agreement (the "Investment Advisory Agreement") with PPM. Subject to the oversight of the Trust’s Board of Trustees, PPM is responsible for managing the affairs of the Trust including, but not limited to, continuously providing the Trust with investment advice and business management to the Funds. Pursuant to the Investment Advisory Agreement, PPM receives an annual fee accrued daily and payable monthly, at an annual rate of 0.40% of the average daily net assets of the PPM Core Plus Fixed Income Fund, 0.45% of the average daily net assets of the PPM Credit Fund, 0.55% of the average daily net assets of the PPM Floating Rate Income Fund, 0.55% of the average daily net assets of the PPM High Yield Core Fund, 0.50% of the average daily net assets of the PPM Long Short Credit Fund, 0.50% of the average daily net assets of the PPM Strategic Income Fund, 0.60% of the average daily net assets of the PPM Large Cap Value Fund, 0.70% of the average daily net assets of the PPM Mid Cap Value Fund and 0.80% of the average daily net assets of the PPM Small Cap Value Fund.
The Trust has entered into an Administration Agreement with JNAM, an affiliate of PPM. JNAM is an indirect wholly-owned subsidiary of Jackson, a US-based financial services company, which in turn is an indirect wholly-owned subsidiary of Prudential plc. Pursuant to the Administration Agreement, JNAM receives an annual fee accrued daily and payable monthly, at an annual rate of 0.10% of the average daily net assets of each Fund. In return for the fees paid under the Administration Agreement, JNAM provides or procures all necessary administrative functions and services for the operation of the Funds. This includes, among other things, fund accounting; calculation of the daily NAV of each Fund; monitoring the Funds’ expense accruals; calculating monthly total return; prospectus and statement of additional information compliance monitoring; preparing certain financial statements of the Trust; and preparing the Trust’s regulatory filings. In addition, JNAM, at its own expense, arranges for legal, audit, custody (except overdraft and interest expense), printing and mailing of financial statements and prospectuses, a portion of the Chief Compliance Officer costs, and other services necessary for the operation of the Funds. Each Fund is responsible for investment advisory services; transfer agency services; trading expenses including brokerage commissions; interest expenses; taxes; costs and expenses associated with short sales; nonrecurring and extraordinary expenses; registration fees; license fees; directors’ and officers’ insurance; the fees and expenses of the independent Trustees; independent legal counsel to the independent Trustees; and a portion of the costs associated with the Chief Compliance Officer.
Advisory Fee Waivers. The Trust and the Adviser have entered into an Expense Limitation Agreement whereby PPM has contractually agreed to waive a portion of its management fee and/or reimburse expenses for each of the Funds to the extent necessary to limit the annualized ordinary operating expenses (excluding taxes, interest, all commissions and other normal charges incident to the purchase and sale of portfolio securities, dividend and interest expenses related to short sales, indirect expenses of investing in other investment companies, and extraordinary expenses) to 0.50% for the PPM Core Plus Fixed Income Fund, 0.55% for the PPM Credit Fund, 0.70% for the PPM Floating Rate Income Fund, 0.70% for the PPM High Yield Core Fund, 0.70% for the PPM Long Short Credit Fund, 0.65% for the PPM Strategic Income Fund, 0.75% for the PPM Large Cap Value Fund, 0.90% for the PPM Mid Cap Value Fund and 1.00% for the PPM Small Cap Value Fund for an initial term expiring on April 30, 2019. Any waived amounts are not subject to future recoupment by the Adviser.
Security Transactions. Security transactions can occur in the Funds where both the buyer and seller of the security are portfolios or accounts for which PPM serves as the Adviser. Such transactions occur to eliminate transaction costs normally associated with security trading activity. Such transactions are subject to compliance with Rule 17a-7 under the 1940 Act (“Rule 17a-7 transactions”) and are reviewed by the Chief Compliance Officer. Rule 17a-7 trades are executed at current market price at the time of the transaction. There were no 17a-7 transactions that were deemed significant by the Administrator during the year ended December 31, 2018.
NOTE 9. FUND ACQUISITION
Tax Free Exchange. The following tables include information related to an acquisition completed prior to the open of business on July 2, 2018. The acquisition qualified as an Internal Revenue Code Section 351(a) transaction where no gain or loss is recognized and was completed as an exchange of Institutional shares of a Fund in the Trust for Class A shares of a fund in JNL Strategic Income Fund LLC (“Company”) pursuant to a plan of reorganization approved by the Trust’s and Company’s Boards. The purpose of the acquisition was to facilitate the acquisition of a fund with a similar investment strategy into the Trust. Although the fund in the Company was legally dissolved, it is considered the accounting survivor for financial reporting purposes.
77
PPMFunds
Notes to Financial Statements
December 31, 2018
|
|
|
|
|
| Acquired Fund |
| Acquiring Fund |
|
|
| ||||
Acquired Fund |
| Acquiring Fund |
| Net Assets on Acquisition Date($) |
| Shares Outstanding on Acquisition Date |
| Net Assets on Acquisition Date($) |
| Shares Outstanding on Acquisition Date |
| Shares of Acquiring Fund Issued in Exchange |
| ||
JNL/PPM America Strategic Income Fund |
| PPM Strategic Income Fund |
|
|
|
|
|
|
|
|
|
|
| ||
| Class A |
|
| N/A |
| 49,475,482 |
| 4,151,078 |
| — |
| — |
| — |
|
N/A |
|
| Institutional Class |
| — |
| — |
| 11,000 |
| 1,100 |
| 4,947,548 |
| |
Acquired Fund | Cost of Investments($) |
| Value of Investments($) |
| Net Unrealized Appreciation/ (Depreciation)($) |
|
JNL/PPM America Strategic Income Fund | 47,271,731 |
| 47,271,731 |
| — |
|
NOTE 10. INCOME TAX MATTERS
Each Fund is treated as a separate tax payer for federal income tax purposes. Each Fund intends to qualify as a regulated investment company ("RIC") and to distribute substantially all net investment income and net capital gains, if any, to its shareholders and otherwise comply with Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to RICs. Therefore, no federal income tax provision is required.
The following information for the Funds is presented on an income tax basis. Differences between amounts for financial statements and federal income tax purposes are primarily due to timing and character differences in recognizing certain gains and losses on investment transactions. Permanent differences between financial statement and federal income tax reporting are reclassified within the capital accounts based on their federal income tax treatment. Temporary differences do not require reclassification. Permanent differences may include but are not limited to the following: expired capital loss carryforwards, foreign currency reclassifications, premium amortization or paydown reclassifications, reclassifications on the sale of passive foreign investment company ("PFIC") or Real Estate Investment Trust ("REIT") securities, net operating losses, accounting treatment of notional principal contracts and partnerships, equalization and other distribution adjustments. These reclassifications have no impact on net assets.
| Net Increase(Decrease) |
| ||
| Total Distributable Earnings (Loss)($) |
| Paid-in Capital($) |
|
PPM Core Plus Fixed Income Fund | 13,468 |
| (13,468 | ) |
PPM Credit Fund | 9,917 |
| (9,917 | ) |
PPM Floating Rate Income Fund | 139 |
| (139 | ) |
PPM High Yield Core Fund | 17,410 |
| (17,410 | ) |
PPM Long Short Credit Fund | 19,140 |
| (19,140 | ) |
PPM Strategic Income Fund | (1,424,696 | ) | 1,424,696 |
|
PPM Large Cap Value Fund | 288 |
| (288 | ) |
PPM Small Cap Value Fund | 3,485 |
| (3,485 | ) |
At December 31, 2018, the following Funds had capital loss carryforwards available for US federal income tax purposes to offset future net realized capital gains. The amount and character of the capital loss carryforwards are listed in the table below.
|
| Capital Loss Carryforwards with No Expiration |
|
|
| ||
|
| Short Term ($) |
| Long Term ($) |
| Total ($) |
|
PPM Core Plus Fixed Income Fund |
| 42,054 |
| 26,709 |
| 68,763 |
|
PPM Floating Rate Income Fund |
| 42,248 |
| — |
| 42,248 |
|
At December 31, 2018, the following Funds treated as RICs had capital, currency and/or passive foreign investment company (“PFIC”) mark-to-market losses realized after October 31, 2018 (“Post-October losses”), which were deferred for tax purposes to the first day of the following fiscal year, January 1, 2019:
| Amount($) |
|
PPM Core Plus Fixed Income Fund | 60,991 |
|
PPM Credit Fund | 197,203 |
|
PPM Floating Rate Income Fund | 45,618 |
|
PPM High Yield Core Fund | 156,803 |
|
PPM Long Short Credit Fund | 661,290 |
|
PPM Strategic Income Fund | 270,040 |
|
PPM Large Cap Value Fund | 2,932 |
|
PPM Mid Cap Value Fund | 53,047 |
|
78
PPMFunds
Notes to Financial Statements
December 31, 2018
PPM Small Cap Value Fund | 26,645 |
|
As of December 31, 2018, the cost of investments and the components of net unrealized appreciation (depreciation) for the Funds were as follows:
|
| Tax Cost of Investments($) |
| Gross Unrealized Appreciation($) |
| Gross Unrealized Depreciation($) |
| Net Unrealized Appreciation (Depreciation)($) |
|
PPM Core Plus Fixed Income Fund | 51,062,166 |
| 194,698 |
| (809,334 | ) | (614,636 | ) | |
PPM Credit Fund | 50,198,320 |
| 145,301 |
| (1,457,245 | ) | (1,311,944 | ) | |
PPM Floating Rate Income Fund | 52,074,423 |
| 1,007 |
| (2,643,860 | ) | (2,642,853 | ) | |
PPM High Yield Core Fund | 53,431,978 |
| 22,804 |
| (3,674,226 | ) | (3,651,422 | ) | |
PPM Long Short Credit Fund |
|
|
|
|
|
|
|
| |
| Long Investments | 52,957,492 |
| 42,431 |
| (2,072,563 | ) | (2,030,132 | ) |
| Short Investments | 2,888,827 |
| 65,308 |
| (405 | ) | 64,903 |
|
PPM Strategic Income Fund |
|
|
|
|
|
|
|
| |
| Long Investments | 51,823,196 |
| 92,993 |
| (2,067,198 | ) | (1,974,205 | ) |
| Short Investments | 502,488 |
| 6,451 |
| — |
| 6,451 |
|
PPM Large Cap Value Fund | 6,637,845 |
| 105,983 |
| (1,056,994 | ) | (951,011 | ) | |
PPM Mid Cap Value Fund | 5,623,907 |
| 82,245 |
| (1,120,170 | ) | (1,037,925 | ) | |
PPM Small Cap Value Fund | 10,486,063 |
| 192,297 |
| (2,438,581 | ) | (2,246,284 | ) |
As of December 31, 2018, the components of net unrealized appreciation (depreciation) for derivatives were as follows:
|
| Tax Cost/Premiums/Adjustment($) |
| Gross Unrealized Appreciation($) |
| Gross Unrealized Depreciation($) |
| Net Unrealized Appreciation (Depreciation)($) |
|
PPM Core Plus Fixed Income Fund | |||||||||
Futures | 60,070 | — | — | — | |||||
Swap Agreements | (417 | ) | — | (7,198 | ) | (7,198 | ) | ||
PPM Credit Fund | |||||||||
Futures | (17,477 | ) | — | — | — | ||||
PPM Floating Rate Income Fund | |||||||||
Futures | (15,515 | ) | — | — | — | ||||
PPM High Yield Core Fund | |||||||||
Futures | (75,644 | ) | — | — | — | ||||
PPM Long Short Credit Fund |
|
| |||||||
Futures | (438,584 | ) | — | — | — | ||||
Swap Agreements | 96,497 | 50,279 | (13,044 | ) | 37,235 | ||||
PPM Strategic Income Fund | |||||||||
Futures | (107,412 | ) | — | — | — | ||||
Swap Agreements | (875 | ) | — | (16,059 | ) | (16,059 | ) |
As of December 31, 2018, the components of distributable taxable earnings for US federal income tax purposes were as follows:
| Undistributed Net Ordinary Income*($) |
| Undistributed Net Long-Term Capital Gain($) |
| Unrealized Gains (Losses)**($) |
| Capital Loss Carryforward($) |
|
PPM Core Plus Fixed Income Fund | — |
| — |
| (685,503 | ) | (68,763 | ) |
PPM Credit Fund | — |
| — |
| (1,509,148 | ) | — |
|
PPM Floating Rate Income Fund | — |
| — |
| (2,689,812 | ) | (42,248 | ) |
PPM High Yield Core Fund | — |
| — |
| (3,808,226 | ) | — |
|
PPM Long Short Credit Fund | — |
| — |
| (2,590,335 | ) | — |
|
PPM Strategic Income Fund | 5,411 |
| — |
| (2,248,637 | ) | — |
|
PPM Large Cap Value Fund | — |
| — |
| (953,942 | ) | — |
|
PPM Mid Cap Value Fund | 589 |
| — |
| (1,090,973 | ) | — |
|
PPM Small Cap Value Fund | — |
| — |
| (2,272,929 | ) | — |
|
* Undistributed net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.
** Unrealized gains (losses) are adjusted for open wash sale loss deferrals.
The tax character of distributions paid during the Funds’ fiscal year ended December 31, 2018 was as follows:
| Net Ordinary Income*($) |
| Long-term Capital Gain**($) |
| Return of Capital($) |
PPM Core Plus Fixed Income Fund | 789,149 |
| — |
| — |
PPM Credit Fund | 885,316 |
| 64,420 |
| — |
PPM Floating Rate Income Fund | 1,348,828 |
| — |
| — |
PPM High Yield Core Fund | 1,360,524 |
| 52,385 |
| — |
79
PPMFunds
Notes to Financial Statements
December 31, 2018
| Net Ordinary Income*($) |
| Long-term Capital Gain**($) |
| Return of Capital($) |
PPM Long Short Credit Fund | 931,733 |
| 107,615 |
| — |
PPM Strategic Income Fund | 1,190,745 |
| 57,229 |
| — |
PPM Large Cap Value Fund | 145,178 |
| — |
| — |
PPM Mid Cap Value Fund | 155,959 |
| 56 |
| — |
PPM Small Cap Value Fund | 267,927 |
| 583 |
| — |
* Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.
** The Funds designated as a long-term capital gain dividend, pursuant to the Internal Revenue Code section 852(b)(3), the amount necessary to reduce earnings and profits of the
Funds related to net capital gains to zero for the year ended December 31, 2018.
FASB ASC Topic 740 “Income Taxes” provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FASB ASC Topic 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing each Fund’s tax return to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold would result in the Funds recording a tax expense in the current year. FASB ASC Topic 740 requires that management evaluate the tax positions taken in returns which remain subject to examination by the Internal Revenue Service and certain other jurisdictions. Management completed an evaluation of the Funds’ tax positions and based on that evaluation, determined that no provision for federal income tax was required in the Funds’ financial statements during the year ended December 31, 2018.
NOTE 11. SUBSEQUENT EVENTS
Management has evaluated subsequent events for the Funds through the date the financial statements are issued and has concluded there are no events that required adjustments to the financial statements or disclosure in the notes to the financial statements.
80
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees
PPM Funds:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of each series within PPM Funds including PPM Core Plus Fixed Income Fund (commenced operations July 16, 2018), PPM Credit Fund (commenced operations July 16, 2018), PPM Floating Rate Income Fund (commenced operations May 1, 2018), PPM High Yield Core Fund (commenced operations July 16, 2018), PPM Long Short Credit Fund (commenced operations July 16, 2018), PPM Strategic Income Fund (commenced operations July 2, 2018), PPM Large Cap Value Fund (commenced operations May 1, 2018), PPM Mid Cap Value Fund (commenced operations May 1, 2018), and PPM Small Cap Value Fund (commenced operations May 1, 2018) (the “Funds”), as of December 31, 2018, the related statements of operations for the period since commencement of operations then ended and the statements of changes in net assets for the period since commencement of operations then ended and the related notes (collectively, the financial statements) and the financial highlights for the period since commencement of operations in the period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2018, the results of their operations, the changes in their net assets and their financial highlights for the period since commencement of operations then ended in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2018, by correspondence with the custodians, transfer agents and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP
We have served as the auditor of one or more PPM investment companies since 2018.
Chicago, Illinois
February 25, 2019
81
PPMFunds
Additional Disclosures (Unaudited)
December 31, 2018
Disclosure of Fund Expenses. Shareholders incur ongoing costs, which include costs for portfolio management, administrative services and other operating expenses. Operating expenses such as these are deducted from each Fund’s gross income and directly reduce the final investment return. These expenses are expressed as a percentage of the Fund’s average net assets; this percentage is known as the Fund’s expense ratio. The examples below use the expense ratio and are intended to help the investor understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
Expenses Using Actual Fund Return. This section provides information about the actual account values and actual expenses incurred by the Fund. Use the information in this section, together with the amount invested, to estimate the expenses paid over the period. Simply divide the account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses paid during this period.
Expenses Using Hypothetical 5% Return. This section provides information that can be used to compare each Fund’s costs with those of other mutual funds. It assumes that the Fund’s expense ratio for the period is unchanged and assumes an annual 5% return before expenses, which is not the Fund’s actual return. This example is useful in making comparisons because the SEC requires all mutual funds to make the 5% calculation.
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| Expenses Using Actual Fund Return |
| Expenses Using Hypothetical 5% Return | ||||||||
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| Annualized Expense Ratios(%) |
| Beginning Account Value 07/01/18($) |
| Ending Account Value 12/31/18($) |
| Expenses Paid During Period($)† |
| Beginning Account Value 07/01/18($) |
| Ending Account Value 12/31/18($) |
| Expenses Paid During Period($)†† |
PPM Core Plus Fixed Income Fund |
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| Institutional Class* | 0.50 |
| 1,000.00 |
| 1,000.70 |
| 2.32 |
| 1,000.00 |
| 1,022.68 |
| 2.55 |
PPM Credit Fund |
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| Institutional Class* | 0.55 |
| 1,000.00 |
| 988.90 |
| 2.53 |
| 1,000.00 |
| 1,022.43 |
| 2.80 |
PPM Floating Rate Income Fund |
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| Institutional Class | 0.70 |
| 1,000.00 |
| 977.50 |
| 3.49 |
| 1,000.00 |
| 1,021.68 |
| 3.57 |
PPM High Yield Core Fund |
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| Institutional Class* | 0.70 |
| 1,000.00 |
| 952.60 |
| 3.16 |
| 1,000.00 |
| 1,021.68 |
| 3.57 |
PPM Long Short Credit Fund |
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| Institutional Class* | 0.97 |
| 1,000.00 |
| 969.20 |
| 4.42 |
| 1,000.00 |
| 1,020.32 |
| 4.94 |
PPM Strategic Income Fund |
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| Institutional Class | 0.65 |
| 1,000.00 |
| 979.40 |
| 3.24 |
| 1,000.00 |
| 1,021.93 |
| 3.31 |
PPM Large Cap Value Fund |
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| Institutional Class | 0.75 |
| 1,000.00 |
| 872.00 |
| 3.54 |
| 1,000.00 |
| 1,021.42 |
| 3.82 |
PPM Mid Cap Value Fund |
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| Institutional Class | 0.90 |
| 1,000.00 |
| 819.80 |
| 4.13 |
| 1,000.00 |
| 1,020.67 |
| 4.58 |
PPM Small Cap Value Fund |
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| Institutional Class | 1.00 |
| 1,000.00 |
| 800.70 |
| 4.54 |
| 1,000.00 |
| 1,020.16 |
| 5.09 |
† For Classes with at least 6-month’s operating history, expenses paid during the period are equal to the annualized net expense ratio, multiplied by the average account value over the
period, then multiplied by 184/365 (to reflect the most recent 6-month period). For Classes with less than 6-month’s operating history, expenses paid during the period are equal to the
annualized net expenses ratio, multiplied by the average account value over the period since inception, then multiplied by 169/365 (to reflect the period since the Class’ inception).
* Institutional class has less than 6-month’s operating history and the amounts reported in Expenses Using Actual Fund Return are not comparable to Expenses Using Hypothetical 5% Return.
†† Expenses paid during the period are equal to the annualized net expense ratio, multiplied by the average account value over the period, then multiplied by 184/365 (to reflect the period since the Fund’s inception).
Other Federal Income Tax Information. The information reported below is for the year ended December 31, 2018. Qualified dividend information will be provided on each shareholders' 2018 Form 1099-DIV.
For the year ended December 31, 2018, the following Funds hereby designate the following percentages, or the maximum amount allowable under the Internal Revenue Code ("Code"), as qualified dividends:
PPM Large Cap Value Fund | 75.95% |
PPM Mid Cap Value Fund | 45.68% |
PPM Small Cap Value Fund | 30.75% |
For the year ended December 31, 2018, the following Funds hereby designate the following percentages, or the maximum amount allowable under the Code, as distributions eligible for the dividends received deduction for corporations:
PPM Large Cap Value Fund | 76.42% |
PPM Mid Cap Value Fund | 45.97% |
PPM Small Cap Value Fund | 30.25% |
82
PPMFunds
Additional Disclosures (Unaudited)
December 31, 2018
Quarterly Portfolio Holdings. The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. It is also available upon request from the Transfer Agent by calling the Funds toll-free at 1-844-446-4PPM (1-844-446-4776).
Proxy Voting Policies and Procedures and Proxy Voting Record. A description of the Policy that the Funds’ Adviser used to vote proxies relating to portfolio securities and additional information on how the Funds voted any proxies relating to portfolio securities during the 12-month period ended June 30, 2018, are available (1) without charge, upon request by calling 1-844-446-4PPM (1-844-446-4776), (2) by writing PPM Funds, P.O. Box 2175, Milwaukee, Wisconsin 53201-2175, (3) online at www.ppmamerica.com/ppmfunds, and (4) by visiting the SEC’s website at www.sec.gov.
The Statement of Additional Information includes additional information about Fund Trustees and may be obtained at no charge by calling 1-844-446-4PPM (1-844-446-4776) or by writing PPM Funds, P.O. Box 2175, Milwaukee, Wisconsin 53201-2175, or visiting www.ppmamerica.com/ppmfunds.
83
Trustees and Officers of PPM Funds (“Trust”)
Name and (Age) | Position(s) Held with Trust | Length of Time Served | Principal Occupation(s) | Other Directorships Held During Past 5 Years |
Interested Trustee | ||||
Mark Mandich (58)1 | Trustee 2 Chief Executive Officer and President | Since inception | Chief Executive Officer and President, PPM (5/2015 to present), previously Executive Vice President and Chief Operating Officer, PPM (11/2000 to 4/2015); Chief Executive Officer, Curian Capital LLC (8/2014 to 5/2015); Manager, Curian Capital LLC (5/2015 to present); Manager, Curian Clearing LLC (5/2015 to present) | None. |
Independent Trustees | ||||
Kevin Callahan (53) | Trustee 2 | Since inception | Founder, Fairway Capital (1/2017 to present), previously Chief Operating Officer, Adams Street Partners (7/1994 to 12/2016) | None. |
Ronald A. Nyberg (65) | Trustee 2 and Independent Chair of the Board of Trustees | Since inception | Partner, Momkus LLC (7/2016 to present), previously Partner, Nyberg & Cassioppi, LLC (10/2000 to 6/2016) | Trustee, Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Transparent Value Trust, Claymore Exchange-Traded Fund Trust, Claymore Exchange-Traded Fund Trust 2, Western Asset/Claymore Inflation-Linked Opportunities & Income Fund, Western Asset/Claymore Inflation-Linked Securities & Income Fund, Advent Claymore Convertible Securities & Income Fund, Advent/Claymore Enhanced Growth & Income Fund, Advent Claymore Convertible Securities & Income Fund II, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Credit Allocation Fund, Guggenheim Energy & Income Fund, Fiduciary/Claymore MLP Opportunity Fund and Guggenheim Enhanced Equity Income Fund. |
Janet D. Olsen (62) | Trustee 2 | Since inception | Retired (1/2014 to present) | Director, ETF Series Solutions. |
1 Mr. Mandich is an “interested person” of the Trust due to his position with PPM, the Adviser. | ||||
2 The Interested Trustee and the Independent Trustees are elected to serve for an indefinite term. | ||||
3 The Board Chairperson may be reelected for a second three-year term. If the Board Chairperson has served two consecutive terms, he or she may not serve again as the Board Chairperson, unless at least one year has elapsed since the end of his or her second consecutive term as Board Chairperson. |
84
Trustees and Officers of PPM Funds (“Trust”)
Name and (Age) | Position(s) Held with Trust | Length of Time Served | Principal Occupation(s) | |
Officers | ||||
Thomas E. Barnicle (58) | Vice President | Since inception | Executive Vice President and Chief Administrative Officer of PPM (10/2015 to present); Senior Vice President, Information Technology and Office Services of PPM (5/2010 to 10/2015) | |
Emily J. Bennett (35) | Vice President and Secretary | Since inception | Assistant Vice President of JNAM (2/2018 to present) and Associate General Counsel of JNAM (3/2016 to present); Senior Attorney of JNAM (10/2013 to 3/2016); Assistant Secretary of other investment companies advised by JNAM (3/2016 to present, 5/2012 to present, and 3/2016 to 7/2018); Assistant Secretary of Curian Series Trust (5/2012 to 2/2016) | |
Mary T. Capasso (47) | Vice President, Chief Legal Officer and Assistant Secretary | Since inception | Senior Vice President and General Counsel of PPM (6/2018 to present); Vice President and Deputy General Counsel of PPM (8/2015 to 6/2018); previously Assistant General Counsel of Harris Associates LP (until 8/2015) | |
Daniel W. Koors (48) | Vice President Treasurer and Principal Financial Officer | Since inception Since inception | Senior Vice President of JNAM (1/2009 to present) and Chief Operating Officer of JNAM (4/2011 to present); Treasurer and Chief Financial Officer of Curian Series Trust (11/2010 to 2/2016); Vice President of other Investment Companies advised by JNAM (1/2018 to present, 12/2006 to present, and 8/2012 to 7/2018); Treasurer and Chief Financial Officer (Principal Financial Officer) of other Investment Companies advised by JNAM (9/2006 to present and 10/2011 to present) | |
Michael H. Markowitz (54) | Vice President | Since inception | Executive Vice President of PPM (3/2018 to present) and Head of Business Development (12/2016 to present); Senior Managing Director of PPM (12/2016 to 2/2018); previously Senior Managing Director, Corporate Strategy, Head of Traditional Asset Management, Mesirow Financial (4/2014-11/2016); President, Chief Investment Officer, Horizon Cash Management (4/2012- 2/2014) | |
Colleen P. McDermott (58) | Vice President | Since inception | Managing Director, Product Management of PPM (8/2017 to present); previously Managing Director, Senior Product Manager, Guggenheim Investments (5/2011 to 6/2017) | |
Mark D. Nerud (52) | Principal Executive Officer | Since inception | Chief Executive Officer of JNAM (1/2010 to present); President of JNAM (1/2007 to present); Managing Board Member of JNAM (5/2015 to present); President and Chief Executive Officer of Curian Series Trust (8/2014 to 2/2016); Managing Board Member of Curian Capital, LLC (1/2011 to 4/2015); Managing Board Member of Curian Clearing LLC (1/2011 to 4/2015); President and Chief Executive Officer (Principal Executive Officer) of other investment companies advised by JNAM (8/2014 to present, 12/2006 to present, and 8/2012 to 7/2018) | |
Joseph O’Boyle (56) | Chief Compliance Officer Anti-Money Laundering Officer | Since inception Since inception | Vice President of JNAM (8/2015 to present); Acting Chief Compliance Officer of JNAM (6/2018 to 8/2018); Vice President of other investment companies advised by JNAM (1/2018 to present); Acting Chief Compliance Officer and Acting Anti-Money Laundering Officer of other investment companies advised by JNAM (6/2018 to 8/2018), Anti-Money Laundering Officer of another investment company advised by JNAM (12/2015 to 1/2018); Chief Compliance Officer of Curian Series Trust (5/2012 to 2/2016) | |
Rebecca A. Paulzine (39) | Vice President and Assistant Secretary | Since November 2018 | Vice President and Senior Counsel of PPM (9/2018 to present); Associate General Counsel, Edward Jones (9/2014 to 9/2018); Senior Counsel, Thrivent Financial for Lutherans (1/2010 to 9/2014) | |
Susan S. Rhee (47) | Vice President and Assistant Secretary | Since inception | Senior Vice President and General Counsel of JNAM (1/2010 to present); Secretary of JNAM (11/2000 to present); Vice President, Chief Legal Officer, and Secretary of other investment companies advised by JNAM (10/2011 to present, 2/2004 to present, and 8/2012 to present); Vice President, Chief Legal Officer, and Secretary of Curian Series Trust (11/2010 to 2/2016) |
85
Trustees and Officers of PPM Funds (“Trust”)
The business address of the Interested Trustee and each officer affiliated with PPM is 225 W. Wacker Drive, Suite 1200, Chicago, IL 60606. The address of the Independent Trustees is c/o PPM Funds, 225 W. Wacker Drive, Suite 1200, Chicago, IL 60606. The business address of each officer affiliated with JNAM is 1 Corporate Way, Lansing, MI 48951.
86
Trustees and Officers of PPM Funds (“Trust”)
The interested Trustee and the Officers of the Trust or the Adviser do not receive any compensation from the Trust for their services as Trustees or Officers. The Independent Trustees received the following compensation for their services for the twelve-month period ended December 31, 2018:
Independent Trustee | Aggregate Compensation from the Trust | Pension or Retirement Benefits Accrued As Part of Fund Expenses | Estimated Annual Benefits Upon Retirement | Total Compensation from the Trust |
Kevin Callahan | $37,000 | $0 | $0 | $37,000 |
Ronald A. Nyberg | $37,000 | $0 | $0 | $37,000 |
Janet D. Olsen | $37,000 | $0 | $0 | $37,000 |
87
PPMFUNDS
SUPPLEMENT DATED JANUARY 8, 2019 TO THE
PROSPECTUS DATED MARCH 26, 2018
PPM Floating Rate Income Fund PKFIX
PPM High Yield Core Fund PKHIX
PPM Long Short Credit Fund PKLIX
PPM Strategic Income Fund PKSIX
(each a “Fund,” and collectively, the “Funds”)
This supplement provides new and additional information that affects information contained in the Funds’ Prospectus and should be read in conjunction with the Prospectus.
Scott Richards has decided to retire from PPM America, Inc. (“PPM”) effective December 31, 2019. Scott joined PPM in 2008 and has spent the last ten years helping build our high yield capabilities. On January 1, 2019, Scott will transition into an advisory capacity and will continue to work alongside the high yield team until his retirement at the end of 2019.
Accordingly, the following changes are being made to the Prospectus, effective January 1, 2019:
In the section entitled “Fund Summaries” of the Prospectus, all information related to Scott Richards in the Portfolio Managers table under “Portfolio Management” for each Fund is deleted in its entirety.
Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant had adopted a code of ethics, as defined in Item 2 of FormN-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no substantive amendments or any waivers to this code of ethics during the period covered by this report. A copy of this code of ethics is filed as Exhibit 12(a)(1) to this FormN-CSR.
Item 3. Audit Committee Financial Expert.
The registrant has named Kevin Callahan as an Audit Committee financial expert serving on its Audit Committee. Kevin Callahan is not an “interested person” of the Trust, as that term is defined by Section 2(a)(19) of the Investment Company Act of 1940, as amended, and is considered “independent” for purposes of this Item.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or Board of Trustees.
Item 4. Principal Accountant Fees and Services.
(a)-(d)
The administrator of the registrant is responsible for payment of all expenses associated with the annual audit and other required services of the independent registered accounting firm, and all expenses associated with the preparation and filing of the tax returns.
KPMG LLP (“KPMG”) was appointed by the Board of Managers as the independent registered public accounting firm of the registrant for the fiscal year ended December 31, 2018. The following table sets forth aggregate fees billed by KPMG for the respective period for professional services rendered to the registrant.
Fees for Services Rendered to the Registrant by KPMG
Fiscal Year | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | ||||
2018 | $168,352 | $0 | $0 | $0 |
Fees for Services Rendered to Adviser Entities by KPMG
The following table sets forth the amount of fees that were billed by KPMG for the respective period to any entity controlling, controlled by, or under common control with the investment adviser that provided ongoing services to the registrant (“Adviser Entities”) that were directly related to the registrant’s operations and financial reporting.
Fiscal Year | Audit-Related Fees | Tax Fees | All Other Fees | |||
2018 | $0 | $0 | $0 |
(e)(1) The Audit Committee is authorized topre-approvenon-audit services provided by the registrant’s auditors, if they find it appropriate in light of their fiduciary duties and in the exercise of their good faith business judgment and compatible with the auditors’ independence. The Chairman of the Audit Committee is authorized to approve audit andnon-audit services for newly established Funds of the registrant on the same terms as the full Audit Committee previously had approved for the then existing Funds.
(e)(2) 0%
(f) Not applicable.
(g) The aggregate fees billed for allnon-audit fees to the registrant and Adviser Entities for the fiscal year ended December 31, 2018 was $20,415.
(h) For the fiscal year ended December 31, 2018, the Audit Committee of the registrant’s Board of Managers considered the provision ofnon-audit services that were rendered to the Adviser Entities that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X and concluded that such services were compatible with maintaining KPMG’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) Included as a part of the report to shareholders filed under Item 1.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes have been made.
Item 11. Controls and Procedures.
(a) The registrant maintains disclosure controls and procedures that are designed to ensure that information required to be disclosed in the registrant’s filings under the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, is recorded, processed, summarized, and reported
within the periods specified in the rules and forms of the U.S. Securities and Exchange Commission. Such information is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosure. The registrant’s management, including the principal executive officer and the principal financial officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives.
Within ninety (90) days prior to the filing date of this report on FormN-CSR, the registrant had carried out an evaluation, under the supervision and with the participation of the registrant’s management, including the registrant’s principal executive officer and the registrant’s principal financial officer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures. Based on such evaluation, the registrant’s principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures are effective.
(b) There have been no significant changes in the registrant’s internal controls over financial reporting during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal controls over financial reporting. There have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect the internal controls subsequent to the date of their evaluation in connection with the preparation of this report on FormN-CSR.
Item 12. Exhibits.
(a) | (1) Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (as defined in Item 2(b) of FormN-CSR) is attached hereto. |
(2) The certifications required by Rule30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto. |
(3) Not applicable. |
(b) | The certification required by Rule30a-2(b) under the Investment Company Act of 1940, as amended, is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
PPM Funds | ||
By: | /s/ Mark D. Nerud | |
Mark D. Nerud | ||
Principal Executive Officer | ||
Date: | March 21, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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: | /s/ Mark D. Nerud | |
Mark D. Nerud | ||
Principal Executive Officer | ||
Date: | March 21, 2019 | |
By: | /s/ Daniel W. Koors | |
Daniel W. Koors | ||
Principal Financial Officer | ||
Date: | March 21, 2019 |
EXHIBIT LIST
Exhibit 12(a)(1) | Registrant’s Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. | |
Exhibit 12(a)(2) | Certification of the Principal Executive Officer required by Rule30a-2(a) under the Investment Company Act of 1940, as amended. | |
Certification of the Principal Financial Officer required by Rule30a-2(a) under the Investment Company Act of 1940, as amended. | ||
Exhibit 12(b) | Certification required by Rule30a-2(b) under the Investment Company Act of 1940, as amended. |