UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
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)634-2500
Date of Fiscal Year End: December 31
Date of Reporting Period: January 1, 2019 – June 30, 2019
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 Semi-Annual Report June 30, 2019 Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the PPM Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds. Instead, the reports will be made available on PPM America’s website (www.ppmamerica.com/ppmfunds/), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by doing one of the following: Calling1-844-446-4PPM(1-844-446-4776) Logging into your account online Beginning on January 1, 2019, you may elect to receive all future reports in paper free of charge. You can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by contacting the Funds at the phone number ore-mail address listed above or by logging into your account online. Your election to receive reports in paper will apply to all PPM Funds that you own.
PPMFunds (Unaudited)
June 30, 2019
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
Privacy Policy
PPMFunds Schedules of Investments (Unaudited) June 30, 2019 |
PPM Core Plus Fixed Income Fund
Composition as of June 30, 2019: | ||
Government and Agency Obligations | 43.2 | % |
Corporate Bonds and Notes | 42.2 | |
Non-US Government Agency ABS | 8.0 | |
Senior Loan Interests | 1.8 | |
Short Term Investments | 4.7 | |
Securities Lending Collateral | 0.1 | |
Total Investments | 100.0 | % |
PPM Credit Fund
Composition as of June 30, 2019: | ||
Corporate Bonds and Notes | 86.6 | % |
Government and Agency Obligations | 7.8 | |
Non-US Government Agency ABS | 3.1 | |
Senior Loan Interests | 0.4 | |
Short Term Investments | 1.3 | |
Securities Lending Collateral | 0.8 | |
Total Investments | 100.0 | % |
PPM Floating Rate Income Fund
Composition as of June 30, 2019: | ||
Senior Loan Interests | 91.5 | % |
Corporate Bonds and Notes | 3.1 | |
Warrants | 0.0 | |
Common Stocks | 0.0 | |
Short Term Investments | 5.1 | |
Securities Lending Collateral | 0.3 | |
Total Investments | 100.0 | % |
PPM High Yield Core Fund
Composition as of June 30, 2019: | ||
Corporate Bonds and Notes | 83.4 | % |
Senior Loan Interests | 5.6 | |
Investment Companies | 2.9 | |
Common Stocks | 0.4 | |
Warrants | 0.1 | |
Short Term Investments | 3.5 | |
Securities Lending Collateral | 4.1 | |
Total Investments | 100.0 | % |
PPM Long Short Credit Fund
Composition as of June 30, 2019: | ||
Corporate Bonds and Notes | 68.3 | % |
Senior Loan Interests | 18.1 | |
Non-US Government Agency ABS | 5.2 | |
Investment Companies | 2.4 | |
Government and Agency Obligations | 0.6 | |
Common Stocks | 0.1 | |
Warrants | 0.1 | |
Short Term Investments | 5.2 | |
Net Long (Short) Investments | 100.0 | % |
PPM Strategic Income Fund
Composition as of June 30, 2019: | ||
Corporate Bonds and Notes | 72.1 | % |
Government and Agency Obligations | 8.4 | |
Senior Loan Interests | 7.8 | |
Non-US Government Agency ABS | 6.4 | |
Investment Companies | 1.0 | |
Common Stocks | 0.2 | |
Warrants | 0.1 | |
Other Equity Interests | - | |
Short Term Investments | 2.5 | |
Securities Lending Collateral | 1.5 | |
Total Investments | 100.0 | % |
PPM Large Cap Value Fund
Composition as of June 30, 2019: | ||
Financials | 24.1 | % |
Health Care | 16.1 | |
Information Technology | 14.0 | |
Consumer Discretionary | 9.4 | |
Industrials | 8.7 | |
Energy | 8.5 | |
Communication Services | 7.2 | |
Consumer Staples | 4.9 | |
Utilities | 3.3 | |
Materials | 3.2 | |
Short Term Investments | 0.6 | |
Total Investments | 100.0 | % |
PPM Mid Cap Value Fund
Composition as of June 30, 2019: | ||
Financials | 23.6 | % |
Consumer Discretionary | 14.5 | |
Information Technology | 12.0 | |
Industrials | 11.9 | |
Materials | 8.6 | |
Health Care | 6.9 | |
Utilities | 6.2 | |
Energy | 5.3 | |
Communication Services | 4.5 | |
Consumer Staples | 4.4 | |
Real Estate | 1.9 | |
Short Term Investments | 0.2 | |
Total Investments | 100.0 | % |
PPM Small Cap Value Fund
Composition as of June 30, 2019: | ||
Financials | 19.7 | % |
Industrials | 17.7 | |
Information Technology | 16.2 | |
Consumer Discretionary | 14.6 | |
Energy | 7.5 | |
Health Care | 6.6 | |
Materials | 5.2 | |
Consumer Staples | 3.3 | |
Real Estate | 3.1 | |
Communication Services | 2.4 | |
Utilities | 2.4 | |
Securities Lending Collateral | 1.0 | |
Short Term Investments | 0.3 | |
Total Investments | 100.0 | % |
See accompanying Notes to Financial Statements.
2
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
PPM Core Plus Fixed Income Fund | |||||||
GOVERNMENT AND AGENCY OBLIGATIONS 44.6% | |||||||
U.S. Treasury Securities 23.0% | |||||||
U.S. Treasury Bond | |||||||
3.75%, 08/15/41 | 461,000 | 565,517 | |||||
3.13%, 11/15/41 | 372,000 | 415,943 | |||||
2.50%, 02/15/45 - 02/15/46 | 852,000 | 846,960 | |||||
3.00%, 02/15/48 | 47,000 | 51,406 | |||||
U.S. Treasury Note | |||||||
2.38%, 04/15/21 | 260,000 | 262,600 | |||||
2.00%, 02/15/22 (a) | 945,000 | 951,202 | |||||
1.88%, 04/30/22 | 678,000 | 680,542 | |||||
1.63%, 08/31/22 - 05/31/23 | 2,335,000 | 2,325,394 | |||||
2.75%, 02/15/24 | 900,000 | 939,375 | |||||
2.50%, 02/15/22 - 05/15/24 | 761,000 | 784,841 | |||||
2.13%, 05/15/25 | 196,000 | 199,216 | |||||
2.88%, 07/31/25 | 671,000 | 710,841 | |||||
1.88%, 06/30/26 (a) | 310,000 | 310,000 | |||||
1.50%, 08/15/26 | 878,000 | 855,090 | |||||
2.25%, 11/15/25 - 08/15/27 | 2,192,000 | 2,243,375 | |||||
3.13%, 11/15/28 | 285,000 | 312,431 | |||||
12,454,733 | |||||||
Mortgage-Backed Securities 21.6% | |||||||
Federal Home Loan Mortgage Corporation | |||||||
4.00%, 10/01/45 - 09/01/48 | 194,978 | 202,758 | |||||
3.00%, 07/01/32 - 11/01/46 | 178,271 | 181,720 | |||||
3.50%, 01/01/46 - 11/01/48 | 1,805,808 | 1,860,415 | |||||
4.50%, 11/01/48 | 72,099 | 75,492 | |||||
REMIC, 2.72%, (1M USD LIBOR + 0.32%), 02/25/20 (b) | 225,000 | 225,086 | |||||
Federal National Mortgage Association, Inc. | |||||||
TBA, 2.50%, 07/15/33 (a) | 205,000 | 206,334 | |||||
TBA, 3.50%, 07/15/33 (a) | 332,000 | 342,615 | |||||
3.00%, 09/01/32 - 11/01/48 | 2,638,290 | 2,679,643 | |||||
4.00%, 07/01/47 - 08/01/48 | 1,048,997 | 1,091,913 | |||||
4.50%, 05/01/47 - 05/01/48 | 1,159,365 | 1,220,247 | |||||
3.50%, 12/01/33 - 01/01/48 | 372,971 | 385,154 | |||||
TBA, 3.00%, 07/15/48 (a) | 143,000 | 144,184 | |||||
Government National Mortgage Association | |||||||
3.50%, 04/20/46 - 05/20/47 | 1,378,127 | 1,426,107 | |||||
4.00%, 04/20/47 - 07/20/47 | 1,063,206 | 1,110,087 | |||||
TBA, 3.50%, 07/15/48 (a) | 98,000 | 101,220 | |||||
TBA, 4.50%, 07/15/48 (a) | 315,000 | 328,362 | |||||
TBA, 3.00%, 08/15/48 (a) | 90,000 | 91,797 | |||||
4.50%, 01/20/49 | 33,364 | 34,835 | |||||
11,707,969 | |||||||
Total Government And Agency Obligations (cost $23,327,834) | 24,162,702 | ||||||
CORPORATE BONDS AND NOTES 43.6% | |||||||
Financials 16.9% | |||||||
AerCap Ireland Capital Designated Activity Company | |||||||
3.50%, 05/26/22 | 115,000 | 117,225 | |||||
AIA Group Limited | |||||||
3.60%, 04/09/29 (c) | 200,000 | 209,231 | |||||
American Water Capital Corp. | |||||||
3.45%, 06/01/29 | 175,000 | 181,860 | |||||
Athene Global Funding | |||||||
4.00%, 01/25/22 (c) | 176,000 | 182,236 | |||||
Bank of America Corporation | |||||||
6.25%, (callable at 100 beginning 09/05/24) (d) | 75,000 | 81,134 | |||||
4.00%, 01/22/25 | 86,000 | 90,450 | |||||
4.25%, 10/22/26 | 240,000 | 256,857 | |||||
3.56%, 04/23/27 | 130,000 | 135,406 | |||||
3.25%, 10/21/27 | 27,000 | 27,658 | |||||
Barclays PLC | |||||||
5.09%, 06/20/30 | 100,000 | 102,336 | |||||
Bayer US Finance II LLC | |||||||
4.25%, 12/15/25 (c) | 39,000 | 41,222 | |||||
4.38%, 12/15/28 (c) | 103,000 | 108,498 | |||||
BlackRock, Inc. | |||||||
3.25%, 04/30/29 | 137,000 | 143,410 | |||||
Capital One Financial Corporation | |||||||
3.75%, 03/09/27 | 125,000 | 128,957 | |||||
Shares/Par1 | Value ($) | ||||||
Citigroup Inc. | |||||||
2.10%, 06/12/20 | 500,000 | 498,977 | |||||
2.75%, 04/25/22 | 75,000 | 75,729 | |||||
4.45%, 09/29/27 | 252,000 | 270,929 | |||||
3.89%, 01/10/28 (b) | 68,000 | 71,806 | |||||
4.13%, 07/25/28 | 8,000 | 8,446 | |||||
Credit Suisse Group AG | |||||||
7.50%, (callable at 100 beginning 12/11/23) (c) (d) | 200,000 | 220,250 | |||||
6.50%, 08/08/23 (c) | 275,000 | 302,418 | |||||
4.21%, 06/12/24 (c) | 250,000 | 261,920 | |||||
Danske Bank A/S | |||||||
5.38%, 01/12/24 (c) | 225,000 | 243,047 | |||||
Diamond Finance International Limited | |||||||
8.35%, 07/15/46 (c) | 113,000 | 142,411 | |||||
General Motors Financial Company, Inc. | |||||||
4.20%, 03/01/21 | 75,000 | 76,553 | |||||
Glencore Funding LLC | |||||||
3.00%, 10/27/22 (c) | 62,000 | 62,382 | |||||
4.88%, 03/12/29 (c) | 130,000 | 136,866 | |||||
GLP Financing, LLC | |||||||
5.30%, 01/15/29 | 111,000 | 119,886 | |||||
HSBC Holdings PLC | |||||||
6.88%, (callable at 100 beginning 06/01/21) (d) (e) | 200,000 | 210,435 | |||||
4.38%, 11/23/26 | 200,000 | 211,305 | |||||
Icahn Enterprises L.P. | |||||||
6.38%, 12/15/25 | 10,000 | 10,221 | |||||
6.25%, 05/15/26 (c) (f) | 230,000 | 232,411 | |||||
James Hardie International Finance Designated Activity Company | |||||||
5.00%, 01/15/28 (c) | 54,000 | 53,685 | |||||
JPMorgan Chase & Co. | |||||||
5.30%, (callable at 100 beginning 05/01/20) (d) | 60,000 | 60,675 | |||||
4.02%, 12/05/24 | 202,000 | 214,356 | |||||
3.22%, 03/01/25 | 114,000 | 117,159 | |||||
3.96%, 01/29/27 | 107,000 | 114,401 | |||||
3.78%, 02/01/28 (b) | 47,000 | 49,741 | |||||
3.51%, 01/23/29 | 68,000 | 70,719 | |||||
4.01%, 04/23/29 | 62,000 | 66,759 | |||||
4.20%, 07/23/29 | 36,000 | 39,320 | |||||
Lloyds Banking Group PLC | |||||||
6.75%, (callable at 100 beginning 06/27/26) (d) | 76,000 | 77,671 | |||||
7.50%, (callable at 100 beginning 09/27/25) (d) | 109,000 | 114,398 | |||||
Markel Corporation | |||||||
5.00%, 05/20/49 | 78,000 | 84,849 | |||||
Metropolitan Life Global Funding I | |||||||
3.60%, 01/11/24 (c) | 235,000 | 247,842 | |||||
Morgan Stanley | |||||||
4.88%, 11/01/22 | 194,000 | 207,479 | |||||
4.10%, 05/22/23 | 143,000 | 150,330 | |||||
3.88%, 04/29/24 | 104,000 | 110,127 | |||||
3.63%, 01/20/27 | 104,000 | 108,807 | |||||
Nordic Aviation Capital DAC | |||||||
5.58%, 03/14/24 (g) (h) | 135,000 | 142,015 | |||||
PNC Bank, National Association | |||||||
2.79%, (3M USD LIBOR + 0.35%), 03/12/21 (b) | 500,000 | 500,476 | |||||
Santander UK Group Holdings PLC | |||||||
4.80%, 11/15/24 | 161,000 | 171,477 | |||||
Spirit Realty, L.P. | |||||||
4.00%, 07/15/29 | 135,000 | 136,178 | |||||
The Goldman Sachs Group, Inc. | |||||||
2.91%, 07/24/23 | 63,000 | 63,573 | |||||
4.25%, 10/21/25 | 90,000 | 95,314 | |||||
3.85%, 01/26/27 | 29,000 | 30,290 | |||||
4.22%, 05/01/29 | 75,000 | 80,329 | |||||
6.75%, 10/01/37 | 80,000 | 104,580 | |||||
The PNC Financial Services Group, Inc. | |||||||
3.45%, 04/23/29 | 130,000 | 136,601 | |||||
UBS AG | |||||||
2.45%, 12/01/20 (c) | 200,000 | 200,127 | |||||
Volkswagen Group of America, Inc. | |||||||
4.63%, 11/13/25 (c) | 250,000 | 270,973 | |||||
Wells Fargo & Company | |||||||
2.63%, 07/22/22 | 75,000 | 75,526 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
3
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
4.48%, 01/16/24 | 15,000 | 16,071 | |||||
3.20%, 06/17/27 | 200,000 | 203,710 | |||||
Ziggo Secured Finance B.V. | |||||||
5.50%, 01/15/27 (c) | 60,000 | 60,989 | |||||
9,139,019 | |||||||
Energy 4.6% | |||||||
Andeavor Logistics LP | |||||||
3.50%, 12/01/22 | 46,000 | 47,124 | |||||
5.20%, 12/01/47 | 45,000 | 48,162 | |||||
Cheniere Corpus Christi Holdings, LLC | |||||||
5.88%, 03/31/25 | 29,000 | 32,288 | |||||
5.13%, 06/30/27 | 125,000 | 135,840 | |||||
Columbia Pipeline Group, Inc. | |||||||
5.80%, 06/01/45 | 45,000 | 52,801 | |||||
Continental Resources, Inc. | |||||||
4.38%, 01/15/28 | 81,000 | 85,283 | |||||
Denbury Resources Inc. | |||||||
9.00%, 05/15/21 (c) | 25,000 | 24,612 | |||||
Diamondback Energy, Inc. | |||||||
4.75%, 11/01/24 (c) | 187,000 | 192,018 | |||||
Endeavor Energy Resources, L.P. | |||||||
5.50%, 01/30/26 (c) | 14,000 | 14,521 | |||||
5.75%, 01/30/28 (c) | 14,000 | 14,779 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 173,000 | 180,490 | |||||
5.25%, 04/15/29 | 94,000 | 104,982 | |||||
5.80%, 06/15/38 | 80,000 | 89,109 | |||||
6.13%, 12/15/45 | 20,000 | 22,862 | |||||
Energy Transfer Operating, L.P. | |||||||
6.25%, 04/15/49 | 40,000 | 47,319 | |||||
Enlink Midstream, LLC | |||||||
5.38%, 06/01/29 | 84,000 | 86,207 | |||||
Enterprise Products Operating LLC | |||||||
3.35%, 03/15/23 | 44,000 | 45,262 | |||||
3.13%, 07/31/29 | 176,000 | 176,799 | |||||
4.80%, 02/01/49 | 84,000 | 93,819 | |||||
4.20%, 01/31/50 | 60,000 | 61,592 | |||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 73,000 | 70,384 | |||||
Everest Acquisition, LLC | |||||||
8.00%, 11/29/24 (c) | 105,000 | 70,358 | |||||
7.75%, 05/15/26 (c) | 35,000 | 31,261 | |||||
Marathon Petroleum Corporation | |||||||
3.80%, 04/01/28 | 30,000 | 30,516 | |||||
MPLX LP | |||||||
4.00%, 03/15/28 | 137,000 | 142,102 | |||||
Petroleos Mexicanos | |||||||
6.50%, 01/23/29 | 85,000 | 82,238 | |||||
Sabine Pass Liquefaction, LLC | |||||||
4.20%, 03/15/28 | 278,000 | 291,683 | |||||
Transocean Pontus Limited | |||||||
6.13%, 08/01/25 (c) | 18,900 | 19,469 | |||||
Transocean Poseidon Limited | |||||||
6.88%, 02/01/27 (c) | 49,000 | 51,847 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (c) | 131,250 | 135,720 | |||||
2,481,447 | |||||||
Utilities 3.9% | |||||||
Ameren Illinois Company | |||||||
4.50%, 03/15/49 | 104,000 | 121,516 | |||||
AVANGRID, Inc. | |||||||
3.15%, 12/01/24 | 160,000 | 162,833 | |||||
Basin Electric Power Cooperative | |||||||
4.75%, 04/26/47 (c) | 107,000 | 118,486 | |||||
Commonwealth Edison Company | |||||||
3.75%, 08/15/47 | 89,000 | 91,906 | |||||
DPL Inc. | |||||||
4.35%, 04/15/29 (c) | 132,000 | 133,635 | |||||
Electricite de France | |||||||
4.50%, 09/21/28 (c) | 200,000 | 219,266 | |||||
Exelon Corporation | |||||||
5.10%, 06/15/45 | 85,000 | 98,839 | |||||
FirstEnergy Corp. | |||||||
3.90%, 07/15/27 | 93,000 | 97,548 | |||||
Shares/Par1 | Value ($) | ||||||
Indiana Michigan Power Company | |||||||
4.25%, 08/15/48 | 69,000 | 75,764 | |||||
Nevada Power Company | |||||||
3.70%, 05/01/29 | 159,000 | 169,955 | |||||
Oncor Electric Delivery Company LLC | |||||||
2.95%, 04/01/25 | 180,000 | 184,535 | |||||
Southern California Edison Company | |||||||
4.13%, 03/01/48 | 46,000 | 46,099 | |||||
The AES Corporation | |||||||
4.00%, 03/15/21 | 215,000 | 218,829 | |||||
The Southern Company | |||||||
2.95%, 07/01/23 | 196,000 | 198,647 | |||||
Vistra Operations Company LLC | |||||||
3.55%, 07/15/24 (c) | 174,000 | 175,301 | |||||
2,113,159 | |||||||
Health Care 3.6% | |||||||
Abbott Laboratories | |||||||
4.75%, 11/30/36 | 59,000 | 69,936 | |||||
Bausch Health Companies Inc. | |||||||
6.50%, 03/15/22 (c) | 15,000 | 15,548 | |||||
5.88%, 05/15/23 (c) | 3,000 | 3,037 | |||||
5.50%, 03/01/23 - 11/01/25 (c) | 52,000 | 54,090 | |||||
8.50%, 01/31/27 (c) | 21,000 | 23,120 | |||||
5.75%, 08/15/27 (c) | 33,000 | 34,669 | |||||
7.00%, 03/15/24 - 01/15/28 (c) | 47,000 | 49,759 | |||||
Bristol-Myers Squibb Company | |||||||
4.13%, 06/15/39 (c) | 119,000 | 128,805 | |||||
4.25%, 10/26/49 (c) | 151,000 | 166,269 | |||||
Catalent Pharma Solutions, Inc. | |||||||
5.00%, 07/15/27 (c) | 15,000 | 15,247 | |||||
Centene Corporation | |||||||
4.75%, 05/15/22 - 01/15/25 | 97,000 | 99,509 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (c) | 117,000 | 123,155 | |||||
Cigna Corporation | |||||||
4.38%, 10/15/28 (c) | 248,000 | 267,281 | |||||
CVS Health Corporation | |||||||
4.78%, 03/25/38 | 117,000 | 121,919 | |||||
5.05%, 03/25/48 | 171,000 | 182,112 | |||||
Express Scripts Holding Company | |||||||
3.40%, 03/01/27 | 114,000 | 115,586 | |||||
HCA Inc. | |||||||
4.13%, 06/15/29 | 133,000 | 136,661 | |||||
5.13%, 06/15/39 | 55,000 | 57,139 | |||||
Mylan Inc | |||||||
5.20%, 04/15/48 | 23,000 | 21,336 | |||||
Perrigo Finance Unlimited Company | |||||||
4.38%, 03/15/26 | 31,000 | 31,056 | |||||
4.90%, 12/15/44 | 11,000 | 9,794 | |||||
UnitedHealth Group Incorporated | |||||||
3.75%, 07/15/25 | 45,000 | 48,020 | |||||
3.10%, 03/15/26 | 43,000 | 44,482 | |||||
WellCare Health Plans, Inc. | |||||||
5.25%, 04/01/25 | 100,000 | 104,404 | |||||
5.38%, 08/15/26 (c) | 46,000 | 48,823 | |||||
1,971,757 | |||||||
Communication Services 3.1% | |||||||
Altice France | |||||||
7.38%, 05/01/26 (c) | 95,000 | 97,376 | |||||
AT&T Inc. | |||||||
3.62%, (3M USD LIBOR + 1.18%), 06/12/24 (b) | 375,000 | 379,377 | |||||
5.25%, 03/01/37 | 87,000 | 97,526 | |||||
Charter Communications Operating, LLC | |||||||
4.91%, 07/23/25 | 160,000 | 173,586 | |||||
5.38%, 04/01/38 | 45,000 | 48,437 | |||||
6.83%, 10/23/55 | 51,000 | 60,073 | |||||
Comcast Corporation | |||||||
4.60%, 10/15/38 | 218,000 | 249,564 | |||||
3.40%, 07/15/46 | 60,000 | 57,254 | |||||
4.95%, 10/15/58 | 60,000 | 73,098 | |||||
Hughes Satellite Systems Corporation | |||||||
5.25%, 08/01/26 | 71,000 | 72,953 | |||||
Netflix, Inc. | |||||||
5.38%, 11/15/29 (c) | 36,000 | 38,289 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
4
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
Sirius XM Radio Inc. | |||||||
4.63%, 07/15/24 (c) | 74,000 | 75,694 | |||||
5.50%, 07/01/29 (c) | 95,000 | 97,405 | |||||
Sprint Spectrum Co LLC | |||||||
3.36%, 09/20/21 (c) | 112,500 | 112,670 | |||||
Vodafone Group Public Limited Company | |||||||
5.00%, 05/30/38 | 32,000 | 34,737 | |||||
1,668,039 | |||||||
Consumer Staples 3.0% | |||||||
Altria Group, Inc. | |||||||
4.40%, 02/14/26 | 168,000 | 179,575 | |||||
Anheuser-Busch Companies, LLC | |||||||
4.90%, 02/01/46 | 162,000 | 180,094 | |||||
Anheuser-Busch InBev Worldwide Inc. | |||||||
4.75%, 01/23/29 | 49,000 | 55,558 | |||||
BAT Capital Corp. | |||||||
4.39%, 08/15/37 | 165,000 | 156,792 | |||||
JBS Investments II GmbH | |||||||
7.00%, 01/15/26 (c) | 200,000 | 216,073 | |||||
JBS USA Food Company | |||||||
5.88%, 07/15/24 (c) | 16,000 | 16,463 | |||||
JBS USA LUX SA | |||||||
6.50%, 04/15/29 (c) | 84,000 | 91,241 | |||||
Mars, Incorporated | |||||||
3.95%, 04/01/49 (c) | 197,000 | 210,889 | |||||
Post Holdings, Inc. | |||||||
5.63%, 01/15/28 (c) | 22,000 | 22,604 | |||||
Reynolds American Inc. | |||||||
5.70%, 08/15/35 | 46,000 | 50,491 | |||||
7.00%, 08/04/41 | 45,000 | 53,736 | |||||
Walmart Inc. | |||||||
2.85%, 07/08/24 | 260,000 | 267,946 | |||||
3.25%, 07/08/29 | 116,000 | 122,187 | |||||
1,623,649 | |||||||
Materials 2.6% | |||||||
Anglo American Capital PLC | |||||||
4.88%, 05/14/25 (c) | 121,000 | 130,278 | |||||
4.75%, 04/10/27 (c) | 200,000 | 211,966 | |||||
Berry Global Escrow Corporation | |||||||
4.88%, 07/15/26 (c) | 76,000 | 77,615 | |||||
CF Industries, Inc. | |||||||
3.40%, 12/01/21 (c) | 165,000 | 168,196 | |||||
4.50%, 12/01/26 (c) | 349,000 | 365,373 | |||||
Corning Incorporated | |||||||
5.85%, 11/15/68 | 58,000 | 68,435 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 | 170,000 | 173,856 | |||||
5.40%, 11/14/34 | 70,000 | 66,885 | |||||
NOVA Chemicals Corporation | |||||||
4.88%, 06/01/24 (c) | 130,000 | 134,914 | |||||
Olin Corporation | |||||||
5.00%, 02/01/30 | 41,000 | 40,620 | |||||
1,438,138 | |||||||
Industrials 2.6% | |||||||
Aircastle Limited | |||||||
4.40%, 09/25/23 | 41,000 | 42,526 | |||||
4.13%, 05/01/24 | 75,000 | 77,005 | |||||
Ashtead Capital, Inc. | |||||||
5.25%, 08/01/26 (c) | 128,000 | 134,025 | |||||
Aviation Capital Group LLC | |||||||
4.38%, 01/30/24 (c) | 105,000 | 110,316 | |||||
Avolon Holdings Funding Limited | |||||||
5.13%, 10/01/23 (c) | 110,000 | 116,314 | |||||
5.25%, 05/15/24 (c) | 158,000 | 168,568 | |||||
General Electric Company | |||||||
5.00%, (callable at 100 beginning 01/21/21) (d) | 419,000 | 402,156 | |||||
General Motors Company | |||||||
5.95%, 04/01/49 | 30,000 | 31,480 | |||||
Park Aerospace Holdings Limited | |||||||
5.25%, 08/15/22 (c) | 190,000 | 200,661 | |||||
Union Pacific Corporation | |||||||
4.38%, 09/10/38 | 100,000 | 110,016 | |||||
1,393,067 | |||||||
Shares/Par1 | Value ($) | ||||||
Information Technology 1.6% | |||||||
Broadcom Corporation | |||||||
3.88%, 01/15/27 | 57,000 | 55,868 | |||||
Broadcom Inc. | |||||||
4.25%, 04/15/26 (c) | 130,000 | 132,756 | |||||
International Business Machines Corporation | |||||||
4.25%, 05/15/49 | 117,000 | 125,484 | |||||
Microsoft Corporation | |||||||
3.45%, 08/08/36 | 142,000 | 149,865 | |||||
3.95%, 08/08/56 | 97,000 | 107,037 | |||||
NXP B.V. | |||||||
4.13%, 06/01/21 (c) | 200,000 | 204,542 | |||||
Oracle Corporation | |||||||
4.00%, 11/15/47 | 83,000 | 89,203 | |||||
864,755 | |||||||
Consumer Discretionary 0.9% | |||||||
Fiat Chrysler Automobiles N.V. | |||||||
5.25%, 04/15/23 | 103,000 | 108,852 | |||||
GLP Financing, LLC | |||||||
5.75%, 06/01/28 | 15,000 | 16,537 | |||||
Hilton Worldwide Holdings Inc. | |||||||
4.63%, 04/01/25 | 14,000 | 14,329 | |||||
Nemak, S.A.B. de C.V. | |||||||
4.75%, 01/23/25 (c) | 126,000 | 127,097 | |||||
The Home Depot, Inc. | |||||||
2.95%, 06/15/29 | 200,000 | 205,042 | |||||
471,857 | |||||||
Real Estate 0.8% | |||||||
Boston Properties Limited Partnership | |||||||
2.75%, 10/01/26 | 36,000 | 35,421 | |||||
4.50%, 12/01/28 | 145,000 | 160,451 | |||||
Crown Castle International Corp. | |||||||
2.25%, 09/01/21 | 50,000 | 49,765 | |||||
HCP, Inc. | |||||||
3.25%, 07/15/26 | 25,000 | 25,182 | |||||
3.50%, 07/15/29 | 46,000 | 46,179 | |||||
Realty Income Corporation | |||||||
3.25%, 06/15/29 | 113,000 | 115,029 | |||||
432,027 | |||||||
Total Corporate Bonds And Notes (cost $22,513,123) | 23,596,914 | ||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 8.2% | |||||||
American Airlines, Inc. | |||||||
Series 2016-AA-2, 3.20%, 06/15/28 | 175,400 | 177,680 | |||||
American Tower Trust | |||||||
Series 2013-A-2, 3.07%, 03/15/23 (c) | 265,000 | 265,999 | |||||
Ascentium Equipment Receivables Trust | |||||||
Series 2017-A2-2A, 2.00%, 05/11/20 (c) | 12,094 | 12,084 | |||||
Series 2018-A2-1A, 2.92%, 12/10/20 (c) | 44,674 | 44,763 | |||||
Series 2017-A3-2A, 2.31%, 12/10/21 (c) | 64,000 | 64,057 | |||||
BAMLL Commercial Mortgage Securities Trust | |||||||
Series 2015-B-200P, REMIC, 3.49%, 04/16/25 (c) | 375,000 | 388,846 | |||||
BCC Funding XIV, LLC | |||||||
Series 2018-A2-1A, 2.96%, 06/20/23 (c) | 69,710 | 70,051 | |||||
CCG Receivables Trust | |||||||
Series 2018-A2-1, 2.50%, 02/14/21 (c) | 70,367 | 70,510 | |||||
CIG Auto Receivables Trust | |||||||
Series 2017-A-1A, 2.71%, 05/15/23 (c) | 54,044 | 54,041 | |||||
Citibank Credit Card Issuance Trust | |||||||
Series 2017-A9-A9, 1.80%, 09/20/19 | 700,000 | 699,096 | |||||
CSMC Trust | |||||||
Series 2017-A3-HL2, 3.50%, 09/25/24 (b) (c) | 96,553 | 98,024 | |||||
Dell Equipment Finance Trust | |||||||
Series 2018-A2A-1, 2.97%, 10/22/20 (c) | 72,669 | 72,855 | |||||
Series 2017-A3-2, 2.19%, 10/24/22 (c) | 100,000 | 99,895 | |||||
Engs Commercial Finance Trust | |||||||
Series 2018-A1-1A, 2.97%, 02/22/21 (c) | 33,664 | 33,722 | |||||
Foundation Finance Trust | |||||||
Series 2017-A-1A, 3.30%, 08/15/22 (c) | 52,347 | 52,558 | |||||
GLS Auto Receivables Trust | |||||||
Series 2019-A-1A, 3.37%, 03/15/21 (c) | 131,592 | 132,278 | |||||
Series 2018-A-3A, 3.35%, 08/15/22 (c) | 51,378 | 51,650 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
5
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
GM Financial Automobile Leasing Trust | ||||||||||
Series 2017-A3-1, 2.06%, 05/20/20 | 58,532 | 58,502 | ||||||||
Series 2018-A3-1, 2.61%, 01/20/21 | 200,000 | 200,238 | ||||||||
GreatAmerica Financial Services Corporation | ||||||||||
Series 2017-A3-1, 2.06%, 06/22/20 (c) | 36,721 | 36,686 | ||||||||
Series 2019-A2-1, 2.97%, 09/15/20 (c) | 140,000 | 140,643 | ||||||||
Series 2018-A3-1, 2.60%, 06/15/21 (c) | 100,000 | 100,302 | ||||||||
GS Mortgage Securities Corp Trust | ||||||||||
Series 2017-B-SLP, REMIC, 3.77%, 10/12/22 (c) | 158,000 | 163,135 | ||||||||
J.P. Morgan Mortgage Trust | ||||||||||
Series 2017-A6-6, REMIC, 3.00%, 03/25/25 (b) (c) | 102,394 | 102,628 | ||||||||
Kubota Credit Owner Trust | ||||||||||
Series 2016-A3-1A, 1.50%, 07/15/20 (c) | 48,752 | 48,680 | ||||||||
Series 2018-A2-1A, 2.80%, 02/16/21 (c) | 92,044 | 92,224 | ||||||||
MVW Owner Trust | ||||||||||
Series 2013-A-1A, 2.15%, 04/22/30 (c) | 76,745 | 76,446 | ||||||||
PSMC Trust | ||||||||||
Series 2018-A1-3, REMIC, 4.00%, 02/25/41 (c) | 90,001 | 92,082 | ||||||||
Sequoia Mortgage Trust | ||||||||||
Series 2019-A4-1, REMIC, 4.00%, 02/25/26 (c) | 45,203 | 46,237 | ||||||||
Series 2018-A1-8, REMIC, 4.00%, 06/25/40 (b) (c) | 116,586 | 117,852 | ||||||||
United Airlines, Inc. | ||||||||||
Series 2012-B-1, 6.25%, 04/11/20 | 9,797 | 9,930 | ||||||||
Series 2012-A-1, 4.15%, 04/11/24 | 52,852 | 54,744 | ||||||||
Series 2012-A-2, 4.00%, 10/29/24 | 47,031 | 49,072 | ||||||||
United Auto Credit Securitization Trust | ||||||||||
Series 2018-A-2, 2.89%, 03/10/21 (c) | 18,318 | 18,325 | ||||||||
Verizon Owner Trust | ||||||||||
Series 2017-A-2A, 1.92%, 12/20/21 (c) | 500,000 | 499,006 | ||||||||
Volvo Financial Equipment LLC | ||||||||||
Series 2019-A2-1A, 2.90%, 11/15/21 (c) | 114,000 | 114,542 | ||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||
Series 2017-B-C38, 3.92%, 06/17/27 (b) | 57,000 | 59,229 | ||||||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $4,395,714) | 4,468,612 | |||||||||
SENIOR LOAN INTERESTS 1.8% | ||||||||||
Consumer Discretionary 0.6% | ||||||||||
Charter Communications Operating, LLC | ||||||||||
2017 Term Loan B, 4.33%, (3M LIBOR + 2.00%), 04/30/25 (b) | 64,025 | 63,929 | ||||||||
CSC Holdings, LLC | ||||||||||
2017 1st Lien Term Loan, 4.64%, (3M LIBOR + 2.25%), 07/15/25 (b) | 44,211 | 43,451 | ||||||||
Golden Nugget, Inc. | ||||||||||
2017 Incremental Term Loan B, 5.14%, (3M LIBOR + 2.75%), 09/07/23 (b) | 36,189 | 35,856 | ||||||||
2017 Incremental Term Loan B, 5.15%, (3M LIBOR + 2.75%), 10/04/23 (b) | 45,141 | 44,726 | ||||||||
PCI Gaming Authority | ||||||||||
Term Loan, 5.40%, (3M LIBOR + 3.00%), 05/15/26 (b) | 164,000 | 164,171 | ||||||||
352,133 | ||||||||||
Communication Services 0.5% | ||||||||||
CenturyLink, Inc. | ||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 01/15/25 (b) | 116,230 | 113,389 | ||||||||
Nexstar Broadcasting, Inc. | ||||||||||
2019 Term Loan B4, 0.00%, (3M LIBOR + 2.75%), 06/13/26 (b) (i) | 78,551 | 78,256 | ||||||||
Sprint Communications, Inc. | ||||||||||
1st Lien Term Loan B, 4.94%, (3M LIBOR + 2.50%), 02/01/24 (b) | 83,505 | 82,148 | ||||||||
273,793 | ||||||||||
Financials 0.2% | ||||||||||
Blackstone CQP Holdco LP | ||||||||||
Term Loan B, 5.89%, (3M LIBOR + 3.50%), 05/29/24 (b) | 65,586 | 65,651 | ||||||||
UFC Holdings, LLC | ||||||||||
2019 Term Loan, 5.66%, (3M LIBOR + 3.25%), 04/25/26 (b) | 59,091 | 58,933 | ||||||||
124,584 | ||||||||||
Shares/Par1 | Value ($) | |||||||||
Consumer Staples 0.2% | ||||||||||
JBS USA Lux S.A. | ||||||||||
2019 Term Loan B, 4.90%, (3M LIBOR + 2.50%), 04/27/26 (b) | 95,551 | 95,312 | ||||||||
Energy 0.1% | ||||||||||
TEX Operations Co. LLC | ||||||||||
Exit Term Loan B, 4.40%, (3M LIBOR + 2.00%), 08/04/23 (b) | 24,535 | 24,489 | ||||||||
Traverse Midstream Partners LLC | ||||||||||
Term Loan, 6.59%, (3M LIBOR + 4.00%), 09/22/24 (b) | 32,753 | 32,331 | ||||||||
56,820 | ||||||||||
Utilities 0.1% | ||||||||||
PG&E Corp | ||||||||||
DIP Term Loan, 4.69%, (3M LIBOR + 2.25%), 12/31/20 (b) | 52,500 | 52,631 | ||||||||
Materials 0.1% | ||||||||||
BWAY Holding Company | ||||||||||
2017 Term Loan B, 5.85%, (3M LIBOR + 3.25%), 04/03/24 (b) | 49,123 | 47,383 | ||||||||
Total Senior Loan Interests (cost $1,007,397) | 1,002,656 | |||||||||
SHORT TERM INVESTMENTS 5.0% | ||||||||||
Investment Companies 4.9% | ||||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.32% (j) | 2,640,352 | 2,640,352 | ||||||||
Securities Lending Collateral 0.1% | ||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.33% (j) | 42,640 | 42,640 | ||||||||
Total Short Term Investments (cost $2,682,992) | 2,682,992 | |||||||||
Total Investments 103.2% (cost $53,927,060) | 55,913,876 | |||||||||
Other Derivative Instruments (0.0)% | (3,475) | |||||||||
Other Assets and Liabilities, Net (3.2)% | (1,732,942) | |||||||||
Total Net Assets 100.0% | 54,177,459 |
(a) All or a portion of the security was purchased on a delayed delivery basis. As of June 30, 2019, the total payable for investments purchased on a delayed delivery basis was $2,458,499.
(b) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of June 30, 2019. 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 reflect 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 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. As of June 30, 2019, the value and the percentage of net assets of these liquid securities was $11,529,030 and 21.3% of the fund.
(d) Perpetual security. Next contractual call date presented, if applicable.
(e) Convertible security.
(f) All or a portion of the security was on loan as of June 30, 2019.
(g) Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the PPM Funds' Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(h) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees.
(i) This senior loan will settle after June 30, 2019. If a reference rate and spread is presented, it will go into effect upon settlement.
(j) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2019.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
6
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
PG&E Corp. – DIP Delayed Draw Term Loan | 17,413 | 131 | ||||
17,413 | 131 |
PPM Core Plus Fixed Income Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Long Contracts | |||||||||||||||
United States 10 Year Ultra Bond | 2 | September 2019 | 276,284 | 63 | (34) | ||||||||||
United States 2 Year Note | 9 | October 2019 | 1,928,279 | (329) | 8,323 | ||||||||||
United States 5 Year Note | 20 | October 2019 | 2,339,823 | — | 23,302 | ||||||||||
United States Long Bond | 15 | September 2019 | 2,280,970 | (1,875) | 52,936 | ||||||||||
United States Ultra Bond | 1 | September 2019 | 176,783 | (188) | 780 | ||||||||||
(2,329) | 85,307 | ||||||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (28) | September 2019 | (3,533,898) | (907) | (49,227) | ||||||||||
PPM Core Plus Fixed Income Fund — Centrally Cleared Credit Default Swap Agreements | ||||||||||||||||||
Reference Entity2 | Fixed Receive/ Pay Rate6 (%) | Expiration | Notional1,5 | Value4 ($) | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Credit default swap agreements - purchase protection3 | ||||||||||||||||||
CDX.NA.IG.32 (Q) | 1.00 | 06/20/24 | 500,000 | (10,694) | (239) | (2,123) | ||||||||||||
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
7
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
PPM Credit Fund | |||||||
CORPORATE BONDS AND NOTES 87.1% | |||||||
Financials 32.4% | |||||||
ABN AMRO Bank N.V. | |||||||
2.65%, 01/19/21 (a) | 250,000 | 250,987 | |||||
AerCap Ireland Capital Designated Activity Company | |||||||
3.65%, 07/21/27 | 78,000 | 77,546 | |||||
3.88%, 01/23/28 | 35,000 | 35,114 | |||||
Ally Financial Inc. | |||||||
3.88%, 05/21/24 | 97,000 | 99,371 | |||||
4.63%, 05/19/22 - 03/30/25 | 28,000 | 29,461 | |||||
American Honda Finance Corporation | |||||||
2.20%, 06/27/22 | 216,000 | 215,703 | |||||
2.40%, 06/27/24 | 238,000 | 237,627 | |||||
American International Group, Inc. | |||||||
4.50%, 07/16/44 | 24,000 | 25,307 | |||||
4.80%, 07/10/45 | 158,000 | 173,072 | |||||
4.75%, 04/01/48 | 68,000 | 74,705 | |||||
American Water Capital Corp. | |||||||
4.15%, 06/01/49 | 125,000 | 134,852 | |||||
Ameriprise Financial, Inc. | |||||||
3.00%, 03/22/22 | 61,000 | 62,066 | |||||
Ardagh Packaging Finance Public Limited Company | |||||||
6.00%, 02/15/25 (a) | 200,000 | 207,349 | |||||
Bank of America Corporation | |||||||
2.50%, 10/21/22 | 112,000 | 112,183 | |||||
4.13%, 01/22/24 | 52,000 | 55,563 | |||||
3.55%, 03/05/24 | 158,000 | 163,522 | |||||
4.00%, 04/01/24 - 01/22/25 | 149,000 | 158,472 | |||||
3.95%, 04/21/25 | 276,000 | 289,255 | |||||
3.37%, 01/23/26 | 75,000 | 77,377 | |||||
4.45%, 03/03/26 | 24,000 | 25,883 | |||||
4.25%, 10/22/26 | 13,000 | 13,913 | |||||
3.56%, 04/23/27 | 125,000 | 130,198 | |||||
4.18%, 11/25/27 | 79,000 | 83,768 | |||||
3.42%, 12/20/28 | 118,000 | 121,519 | |||||
3.97%, 03/05/29 | 40,000 | 42,757 | |||||
4.33%, 03/15/50 | 51,000 | 56,728 | |||||
Bank of Montreal | |||||||
2.90%, 03/26/22 (b) | 100,000 | 101,510 | |||||
Bayer US Finance II LLC | |||||||
4.25%, 12/15/25 (a) | 67,000 | 70,817 | |||||
4.38%, 12/15/28 (a) | 175,000 | 184,341 | |||||
Berkshire Hathaway Finance Corporation | |||||||
4.20%, 08/15/48 | 125,000 | 139,582 | |||||
BlackRock, Inc. | |||||||
3.25%, 04/30/29 | 132,000 | 138,176 | |||||
BMW US Capital, LLC | |||||||
2.00%, 04/11/21 (a) | 50,000 | 49,595 | |||||
2.95%, 04/14/22 (a) (c) | 125,000 | 126,809 | |||||
BNP Paribas | |||||||
3.38%, 01/09/25 (a) | 200,000 | 203,287 | |||||
Boral Finance Pty Limited | |||||||
3.75%, 05/01/28 (a) | 146,000 | 147,041 | |||||
Capital One Financial Corporation | |||||||
3.30%, 10/30/24 | 120,000 | 122,900 | |||||
3.75%, 03/09/27 | 102,000 | 105,229 | |||||
3.80%, 01/31/28 | 73,000 | 75,425 | |||||
CIT Group Inc. | |||||||
4.75%, 02/16/24 | 149,000 | 158,306 | |||||
5.25%, 03/07/25 | 16,000 | 17,543 | |||||
6.13%, 03/09/28 | 17,000 | 19,407 | |||||
Citigroup Inc. | |||||||
3.14%, 01/24/23 | 153,000 | 155,532 | |||||
3.35%, 04/24/25 | 69,000 | 71,212 | |||||
3.20%, 10/21/26 | 109,000 | 111,111 | |||||
4.45%, 09/29/27 | 138,000 | 148,366 | |||||
3.89%, 01/10/28 (d) | 239,000 | 252,376 | |||||
3.67%, 07/24/28 (d) | 291,000 | 303,826 | |||||
4.13%, 07/25/28 | 26,000 | 27,449 | |||||
Commonwealth Bank of Australia | |||||||
3.45%, 03/16/23 (a) | 250,000 | 259,030 | |||||
Shares/Par1 | Value ($) | ||||||
Credit Suisse Group AG | |||||||
6.25%, (callable at 100 beginning 12/18/24) (a) (e) | 69,000 | 71,588 | |||||
4.21%, 06/12/24 (a) | 250,000 | 261,920 | |||||
3.87%, 01/12/29 (a) | 250,000 | 257,494 | |||||
Diamond Finance International Limited | |||||||
5.88%, 06/15/21 (a) | 41,000 | 41,652 | |||||
7.13%, 06/15/24 (a) | 38,000 | 40,110 | |||||
8.35%, 07/15/46 (a) | 50,000 | 63,014 | |||||
ERAC USA Finance LLC | |||||||
4.50%, 02/15/45 (a) | 27,000 | 28,684 | |||||
Five Corners Funding Trust | |||||||
4.42%, 11/15/23 (a) | 212,000 | 227,460 | |||||
GE Capital International Funding Company Unlimited Company | |||||||
4.42%, 11/15/35 | 157,000 | 155,278 | |||||
General Motors Financial Company, Inc. | |||||||
4.00%, 10/06/26 | 84,000 | 84,970 | |||||
Glencore Funding LLC | |||||||
4.88%, 03/12/29 (a) | 175,000 | 184,243 | |||||
GLP Financing, LLC | |||||||
5.30%, 01/15/29 | 77,000 | 83,164 | |||||
HSBC Holdings PLC | |||||||
3.97%, 05/22/30 | 300,000 | 312,994 | |||||
HSBC USA Inc. | |||||||
4.88%, 08/24/20 | 62,000 | 63,646 | |||||
Icahn Enterprises L.P. | |||||||
6.38%, 12/15/25 | 9,000 | 9,199 | |||||
6.25%, 05/15/26 (a) | 240,000 | 242,515 | |||||
James Hardie International Finance Designated Activity Company | |||||||
5.00%, 01/15/28 (a) | 17,000 | 16,901 | |||||
JPMorgan Chase & Co. | |||||||
5.30%, (callable at 100 beginning 05/01/20) (e) | 79,000 | 79,889 | |||||
2.97%, 01/15/23 | 218,000 | 220,962 | |||||
3.21%, 04/01/23 | 250,000 | 254,929 | |||||
4.02%, 12/05/24 | 162,000 | 171,909 | |||||
3.22%, 03/01/25 | 237,000 | 243,567 | |||||
3.96%, 01/29/27 | 219,000 | 234,148 | |||||
3.78%, 02/01/28 (d) | 185,000 | 195,787 | |||||
3.51%, 01/23/29 | 23,000 | 23,920 | |||||
4.01%, 04/23/29 | 196,000 | 211,043 | |||||
4.20%, 07/23/29 | 146,000 | 159,462 | |||||
3.70%, 05/06/30 (d) | 65,000 | 68,503 | |||||
KKR Group Finance Co. VI LLC | |||||||
3.75%, 07/01/29 (a) | 125,000 | 128,033 | |||||
LafargeHolcim Finance US LLC | |||||||
4.75%, 09/22/46 (a) | 200,000 | 197,026 | |||||
Liberty Mutual Group Inc. | |||||||
4.25%, 06/15/23 (a) | 12,000 | 12,678 | |||||
4.57%, 02/01/29 (a) | 39,000 | 42,844 | |||||
4.85%, 08/01/44 (a) | 125,000 | 137,282 | |||||
Lincoln National Corporation | |||||||
3.80%, 03/01/28 | 42,000 | 44,059 | |||||
4.35%, 03/01/48 | 70,000 | 73,699 | |||||
Lloyds Banking Group PLC | |||||||
6.75%, (callable at 100 beginning 06/27/26) (e) | 90,000 | 91,979 | |||||
7.50%, (callable at 100 beginning 09/27/25) (e) | 162,000 | 170,022 | |||||
3.57%, 11/07/28 | 200,000 | 200,407 | |||||
Markel Corporation | |||||||
4.30%, 11/01/47 | 250,000 | 244,641 | |||||
5.00%, 05/20/49 | 60,000 | 65,269 | |||||
MassMutual Global Funding II | |||||||
2.50%, 04/13/22 - 10/17/22 (a) | 154,000 | 154,828 | |||||
MetLife, Inc. | |||||||
4.37%, 09/15/23 | 45,000 | 48,561 | |||||
Metropolitan Life Global Funding I | |||||||
3.38%, 01/11/22 (a) | 48,000 | 49,321 | |||||
Mitsubishi UFJ Financial Group Inc | |||||||
3.22%, 03/07/22 | 70,000 | 71,492 | |||||
3.46%, 03/02/23 | 250,000 | 257,666 | |||||
Morgan Stanley | |||||||
3.88%, 04/29/24 | 101,000 | 106,951 | |||||
3.70%, 10/23/24 | 98,000 | 103,230 | |||||
3.13%, 07/27/26 | 103,000 | 104,927 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
8
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
4.35%, 09/08/26 | 181,000 | 193,984 | |||||
3.63%, 01/20/27 | 196,000 | 205,059 | |||||
3.59%, 07/22/28 (d) | 50,000 | 51,935 | |||||
4.38%, 01/22/47 | 30,000 | 33,371 | |||||
Navient Corporation | |||||||
7.25%, 09/25/23 | 13,000 | 13,886 | |||||
New York Life Global Funding | |||||||
1.70%, 09/14/21 (a) | 120,000 | 118,597 | |||||
2.88%, 04/10/24 (a) | 349,000 | 356,259 | |||||
New York Life Insurance Company | |||||||
4.45%, 05/15/69 (a) | 48,000 | 52,919 | |||||
Nordic Aviation Capital DAC | |||||||
5.58%, 03/14/24 (f) (g) | 115,000 | 120,976 | |||||
Principal Financial Group, Inc. | |||||||
3.70%, 05/15/29 | 16,000 | 16,724 | |||||
Reckitt Benckiser Treasury Services PLC | |||||||
2.75%, 06/26/24 (a) | 223,000 | 224,809 | |||||
Reinsurance Group of America, Incorporated | |||||||
3.90%, 05/15/29 | 45,000 | 46,637 | |||||
Royal Bank of Canada | |||||||
3.70%, 10/05/23 (b) | 125,000 | 131,682 | |||||
Santander UK Group Holdings PLC | |||||||
4.80%, 11/15/24 | 200,000 | 213,015 | |||||
SLM Corporation | |||||||
5.50%, 01/25/23 | 41,000 | 42,114 | |||||
Standard Chartered PLC | |||||||
4.31%, 05/21/30 (a) | 100,000 | 103,700 | |||||
Sumitomo Mitsui Financial Group, Inc. | |||||||
2.85%, 01/11/22 | 250,000 | 252,310 | |||||
Synchrony Financial | |||||||
5.15%, 03/19/29 | 59,000 | 63,575 | |||||
The Blackstone Group L.P. | |||||||
4.00%, 10/02/47 (a) | 44,000 | 42,936 | |||||
The Goldman Sachs Group, Inc. | |||||||
2.91%, 07/24/23 | 117,000 | 118,064 | |||||
4.00%, 03/03/24 | 119,000 | 126,206 | |||||
3.75%, 05/22/25 | 179,000 | 186,939 | |||||
4.25%, 10/21/25 | 34,000 | 36,008 | |||||
3.50%, 01/23/25 - 11/16/26 | 176,000 | 181,112 | |||||
3.85%, 01/26/27 | 128,000 | 133,692 | |||||
3.69%, 06/05/28 (d) | 9,000 | 9,295 | |||||
3.81%, 04/23/29 | 70,000 | 72,875 | |||||
4.22%, 05/01/29 | 250,000 | 267,764 | |||||
5.15%, 05/22/45 | 16,000 | 18,296 | |||||
The Huntington National Bank | |||||||
2.38%, 03/10/20 | 80,000 | 80,120 | |||||
The PNC Financial Services Group, Inc. | |||||||
3.45%, 04/23/29 | 250,000 | 262,694 | |||||
The Toronto-Dominion Bank | |||||||
2.65%, 06/12/24 | 250,000 | 252,129 | |||||
USA Compression Finance Corp. | |||||||
6.88%, 04/01/26 | 38,000 | 40,216 | |||||
6.88%, 09/01/27 (a) | 44,000 | 46,185 | |||||
Volkswagen Group of America, Inc. | |||||||
4.75%, 11/13/28 (a) | 215,000 | 233,616 | |||||
Wells Fargo & Company | |||||||
4.10%, 06/03/26 | 64,000 | 67,871 | |||||
3.20%, 06/17/27 | 250,000 | 254,638 | |||||
4.40%, 06/14/46 | 23,000 | 24,891 | |||||
Wells Fargo Bank, National Association | |||||||
2.60%, 01/15/21 | 80,000 | 80,300 | |||||
2.90%, 05/27/22 | 250,000 | 252,299 | |||||
5.85%, 02/01/37 | 75,000 | 96,247 | |||||
Westpac Banking Corporation | |||||||
2.75%, 01/11/23 | 125,000 | 126,515 | |||||
17,509,494 | |||||||
Energy 8.7% | |||||||
Alta Mesa Holdings, LP | |||||||
7.88%, 12/15/24 | 107,000 | 41,389 | |||||
Anadarko Petroleum Corporation | |||||||
7.95%, 06/15/39 | 51,000 | 70,091 | |||||
Andeavor Logistics LP | |||||||
4.25%, 12/01/27 | 19,000 | 20,079 | |||||
5.20%, 12/01/47 | 66,000 | 70,638 | |||||
Shares/Par1 | Value ($) | ||||||
Apache Corporation | |||||||
5.35%, 07/01/49 | 50,000 | 52,811 | |||||
Callon Petroleum Company | |||||||
6.38%, 07/01/26 | 125,000 | 126,148 | |||||
Canadian Natural Resources Limited | |||||||
2.95%, 01/15/23 | 42,000 | 42,421 | |||||
3.85%, 06/01/27 | 55,000 | 57,017 | |||||
Chaparral Energy, Inc. | |||||||
8.75%, 07/15/23 (a) (c) | 42,000 | 25,675 | |||||
Cheniere Corpus Christi Holdings, LLC | |||||||
5.88%, 03/31/25 | 23,000 | 25,608 | |||||
5.13%, 06/30/27 | 42,000 | 45,642 | |||||
Chesapeake Energy Corporation | |||||||
7.00%, 10/01/24 (c) | 50,000 | 44,913 | |||||
Concho Resources Inc. | |||||||
4.88%, 10/01/47 | 51,000 | 57,456 | |||||
Continental Resources, Inc. | |||||||
4.50%, 04/15/23 | 48,000 | 50,435 | |||||
4.38%, 01/15/28 | 81,000 | 85,283 | |||||
Diamondback Energy, Inc. | |||||||
4.75%, 11/01/24 (a) | 123,000 | 126,300 | |||||
Endeavor Energy Resources, L.P. | |||||||
5.50%, 01/30/26 (a) | 9,000 | 9,335 | |||||
5.75%, 01/30/28 (a) | 9,000 | 9,501 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 139,000 | 145,018 | |||||
5.50%, 06/01/27 | 50,000 | 55,899 | |||||
5.25%, 04/15/29 | 112,000 | 125,085 | |||||
5.80%, 06/15/38 | 51,000 | 56,807 | |||||
5.15%, 03/15/45 | 40,000 | 40,920 | |||||
Energy Transfer Operating, L.P. | |||||||
6.25%, 04/15/49 | 98,000 | 115,931 | |||||
Enlink Midstream, LLC | |||||||
5.38%, 06/01/29 | 72,000 | 73,892 | |||||
Enterprise Products Operating LLC | |||||||
3.35%, 03/15/23 | 51,000 | 52,463 | |||||
3.13%, 07/31/29 | 121,000 | 121,549 | |||||
6.13%, 10/15/39 | 86,000 | 107,950 | |||||
4.80%, 02/01/49 | 124,000 | 138,495 | |||||
4.20%, 01/31/50 | 57,000 | 58,512 | |||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 42,000 | 40,495 | |||||
Everest Acquisition, LLC | |||||||
8.00%, 11/29/24 (a) | 70,000 | 46,905 | |||||
Floatel International Ltd. | |||||||
9.00%, 04/11/24 (a) | 100,000 | 88,750 | |||||
Halliburton Company | |||||||
3.80%, 11/15/25 | 60,000 | 62,887 | |||||
4.85%, 11/15/35 | 59,000 | 63,058 | |||||
HollyFrontier Corporation | |||||||
5.88%, 04/01/26 | 110,000 | 120,358 | |||||
Kinder Morgan Energy Partners, L.P. | |||||||
7.75%, 03/15/32 | 87,000 | 118,991 | |||||
Kinder Morgan, Inc. | |||||||
4.30%, 03/01/28 | 90,000 | 96,291 | |||||
5.20%, 03/01/48 | 50,000 | 56,429 | |||||
Marathon Oil Corporation | |||||||
4.40%, 07/15/27 | 90,000 | 95,393 | |||||
Marathon Petroleum Corporation | |||||||
3.80%, 04/01/28 | 30,000 | 30,516 | |||||
4.50%, 04/01/48 | 35,000 | 35,085 | |||||
MPLX LP | |||||||
4.13%, 03/01/27 | 14,000 | 14,646 | |||||
4.00%, 03/15/28 | 96,000 | 99,575 | |||||
4.50%, 04/15/38 | 40,000 | 40,364 | |||||
4.70%, 04/15/48 | 25,000 | 25,422 | |||||
5.50%, 02/15/49 | 55,000 | 62,190 | |||||
Nabors Industries, Inc. | |||||||
5.75%, 02/01/25 | 50,000 | 44,330 | |||||
Petroleos Mexicanos | |||||||
6.50%, 03/13/27 - 01/23/29 | 368,000 | 361,950 | |||||
Sabine Pass Liquefaction, LLC | |||||||
5.75%, 05/15/24 | 165,000 | 183,263 | |||||
4.20%, 03/15/28 | 461,000 | 483,690 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
9
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
Saudi Arabian Oil Company | |||||||
2.88%, 04/16/24 (a) | 200,000 | 201,244 | |||||
Sunoco Logistics Partners Operations L.P. | |||||||
4.95%, 01/15/43 | 22,000 | 21,757 | |||||
TransCanada PipeLines Limited | |||||||
4.25%, 05/15/28 | 100,000 | 107,990 | |||||
Transocean Guardian Limited | |||||||
5.88%, 01/15/24 (a) | 21,735 | 22,165 | |||||
Transocean Pontus Limited | |||||||
6.13%, 08/01/25 (a) | 14,175 | 14,602 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (a) | 90,750 | 93,841 | |||||
4,685,450 | |||||||
Communication Services 7.3% | |||||||
Altice Luxembourg Fr SA | |||||||
8.13%, 02/01/27 (a) | 200,000 | 210,043 | |||||
AT&T Inc. | |||||||
2.80%, 02/17/21 | 123,000 | 123,802 | |||||
3.62%, (3M USD LIBOR + 1.18%), 06/12/24 (d) | 70,000 | 70,817 | |||||
5.25%, 03/01/37 | 93,000 | 104,252 | |||||
4.90%, 08/15/37 | 54,000 | 58,319 | |||||
4.85%, 03/01/39 | 135,000 | 144,801 | |||||
4.30%, 02/15/30 - 12/15/42 | 106,000 | 109,107 | |||||
4.35%, 03/01/29 - 06/15/45 | 259,000 | 273,097 | |||||
4.75%, 05/15/46 | 100,000 | 105,352 | |||||
4.50%, 03/09/48 | 27,000 | 27,675 | |||||
CCO Holdings, LLC | |||||||
5.50%, 05/01/26 (a) | 36,000 | 37,718 | |||||
5.88%, 05/01/27 (a) | 33,000 | 34,830 | |||||
5.38%, 06/01/29 (a) | 61,000 | 62,993 | |||||
Charter Communications Operating, LLC | |||||||
5.38%, 04/01/38 - 05/01/47 | 212,000 | 226,498 | |||||
Cincinnati Bell Inc. | |||||||
7.00%, 07/15/24 (a) | 100,000 | 88,246 | |||||
Comcast Corporation | |||||||
4.60%, 10/15/38 | 205,000 | 234,682 | |||||
4.00%, 08/15/47 | 100,000 | 105,299 | |||||
4.05%, 11/01/52 | 50,000 | 53,110 | |||||
4.95%, 10/15/58 | 170,000 | 207,111 | |||||
Discovery Communications, LLC | |||||||
5.20%, 09/20/47 | 25,000 | 26,390 | |||||
Fox Corporation | |||||||
5.48%, 01/25/39 (a) | 60,000 | 70,585 | |||||
NBCUniversal Media, LLC | |||||||
4.38%, 04/01/21 | 165,000 | 171,077 | |||||
Netflix, Inc. | |||||||
5.38%, 11/15/29 (a) | 46,000 | 48,925 | |||||
Nexstar Escrow Inc. | |||||||
5.63%, 07/15/27 (a) | 30,000 | 30,751 | |||||
Sirius XM Radio Inc. | |||||||
4.63%, 07/15/24 (a) | 35,000 | 35,801 | |||||
5.38%, 07/15/26 (a) | 75,000 | 77,821 | |||||
5.00%, 08/01/27 (a) | 95,000 | 96,772 | |||||
5.50%, 07/01/29 (a) | 68,000 | 69,721 | |||||
Spectrum Management Holding Company, LLC | |||||||
6.75%, 06/15/39 | 40,000 | 46,803 | |||||
Sprint Capital Corporation | |||||||
6.88%, 11/15/28 | 105,000 | 108,772 | |||||
Telefonica Emisiones, S.A.U. | |||||||
4.10%, 03/08/27 | 150,000 | 159,454 | |||||
Time Warner Cable Enterprises LLC | |||||||
8.38%, 03/15/23 | 55,000 | 65,172 | |||||
TWDC Enterprise 18 Corp. | |||||||
6.55%, 03/15/33 (a) | 38,000 | 52,222 | |||||
6.90%, 08/15/39 (a) | 36,000 | 53,692 | |||||
4.75%, 09/15/44 (a) | 29,000 | 35,327 | |||||
3.00%, 07/30/46 | 32,000 | 30,225 | |||||
Verizon Communications Inc. | |||||||
3.50%, 11/01/24 | 167,000 | 175,278 | |||||
4.02%, 12/03/29 (a) | 70,000 | 75,870 | |||||
4.86%, 08/21/46 | 140,000 | 162,740 | |||||
Vodafone Group Public Limited Company | |||||||
4.38%, 05/30/28 | 88,000 | 94,993 | |||||
3,966,143 | |||||||
Shares/Par1 | Value ($) | ||||||
Health Care 7.2% | |||||||
Abbott Laboratories | |||||||
3.75%, 11/30/26 | 95,000 | 102,502 | |||||
4.75%, 11/30/36 | 33,000 | 39,117 | |||||
AbbVie Inc. | |||||||
4.50%, 05/14/35 | 91,000 | 93,346 | |||||
4.45%, 05/14/46 | 17,000 | 16,731 | |||||
4.88%, 11/14/48 | 75,000 | 78,831 | |||||
Allergan Funding SCS | |||||||
4.85%, 06/15/44 | 29,000 | 30,084 | |||||
Bausch Health Companies Inc. | |||||||
6.50%, 03/15/22 (a) | 10,000 | 10,366 | |||||
5.50%, 03/01/23 - 11/01/25 (a) | 92,000 | 95,709 | |||||
5.88%, 05/15/23 (a) | 3,000 | 3,037 | |||||
7.00%, 03/15/24 - 01/15/28 (a) | 37,000 | 39,000 | |||||
6.13%, 04/15/25 (a) | 32,000 | 32,639 | |||||
8.50%, 01/31/27 (a) | 133,000 | 146,426 | |||||
5.75%, 08/15/27 (a) | 37,000 | 38,871 | |||||
Becton, Dickinson and Company | |||||||
3.73%, 12/15/24 | 78,000 | 81,865 | |||||
Bristol-Myers Squibb Company | |||||||
4.13%, 06/15/39 (a) | 114,000 | 123,393 | |||||
4.25%, 10/26/49 (a) | 145,000 | 159,662 | |||||
Catalent Pharma Solutions, Inc. | |||||||
5.00%, 07/15/27 (a) | 16,000 | 16,263 | |||||
Celgene Corporation | |||||||
4.63%, 05/15/44 | 64,000 | 72,771 | |||||
4.35%, 11/15/47 | 77,000 | 85,063 | |||||
Centene Corporation | |||||||
4.75%, 01/15/25 | 99,000 | 102,165 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (a) | 148,000 | 155,786 | |||||
Cigna Corporation | |||||||
3.20%, 09/17/20 (a) | 111,000 | 111,987 | |||||
4.38%, 10/15/28 (a) | 118,000 | 127,174 | |||||
4.80%, 08/15/38 (a) | 60,000 | 64,591 | |||||
4.90%, 12/15/48 (a) | 32,000 | 34,791 | |||||
CVS Health Corporation | |||||||
2.88%, 06/01/26 | 15,000 | 14,723 | |||||
4.78%, 03/25/38 | 146,000 | 152,139 | |||||
5.05%, 03/25/48 | 222,000 | 236,427 | |||||
Forest Laboratories, LLC | |||||||
5.00%, 12/15/21 (a) | 118,000 | 123,757 | |||||
Gilead Sciences, Inc. | |||||||
3.65%, 03/01/26 | 38,000 | 40,209 | |||||
4.00%, 09/01/36 | 17,000 | 17,923 | |||||
4.15%, 03/01/47 | 69,000 | 72,384 | |||||
GlaxoSmithKline Capital PLC | |||||||
2.88%, 06/01/22 | 125,000 | 127,180 | |||||
HCA Inc. | |||||||
5.00%, 03/15/24 | 7,000 | 7,623 | |||||
5.63%, 09/01/28 | 20,000 | 21,624 | |||||
5.13%, 06/15/39 | 52,000 | 54,022 | |||||
5.25%, 06/15/26 - 06/15/49 | 196,000 | 208,704 | |||||
Humana Inc. | |||||||
4.63%, 12/01/42 | 40,000 | 42,385 | |||||
Legacy Lifepoint Health, Inc. | |||||||
9.75%, 12/01/26 (a) | 125,000 | 130,905 | |||||
Mylan Inc | |||||||
5.20%, 04/15/48 | 141,000 | 130,799 | |||||
Par Pharmaceutical, Inc. | |||||||
7.50%, 04/01/27 (a) | 86,000 | 84,449 | |||||
Pfizer Inc. | |||||||
2.80%, 03/11/22 | 46,000 | 46,886 | |||||
2.75%, 06/03/26 | 37,000 | 37,523 | |||||
Tenet Healthcare Corporation | |||||||
8.13%, 04/01/22 | 11,000 | 11,550 | |||||
4.63%, 07/15/24 | 39,000 | 39,606 | |||||
UnitedHealth Group Incorporated | |||||||
2.88%, 12/15/21 | 125,000 | 126,848 | |||||
3.10%, 03/15/26 | 41,000 | 42,413 | |||||
4.45%, 12/15/48 | 51,000 | 58,600 | |||||
WellCare Health Plans, Inc. | |||||||
5.25%, 04/01/25 | 96,000 | 100,228 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
10
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
5.38%, 08/15/26 (a) | 46,000 | 48,823 | ||||||||
Zimmer Biomet Holdings, Inc. | ||||||||||
3.55%, 04/01/25 | 39,000 | 40,192 | ||||||||
3,880,092 | ||||||||||
Utilities 6.3% | ||||||||||
AEP Transmission Company, LLC | ||||||||||
3.80%, 06/15/49 | 40,000 | 41,102 | ||||||||
Alabama Power Company | ||||||||||
3.70%, 12/01/47 | 150,000 | 152,172 | ||||||||
Ameren Illinois Company | ||||||||||
4.50%, 03/15/49 | 52,000 | 60,758 | ||||||||
Appalachian Power Company | ||||||||||
3.30%, 06/01/27 | 150,000 | 152,808 | ||||||||
AVANGRID, Inc. | ||||||||||
3.15%, 12/01/24 | 199,000 | 202,524 | ||||||||
Calpine Corporation | ||||||||||
5.25%, 06/01/26 (a) | 26,000 | 26,468 | ||||||||
Dominion Energy, Inc. | ||||||||||
5.20%, 08/15/19 | 49,000 | 49,115 | ||||||||
DPL Inc. | ||||||||||
4.35%, 04/15/29 (a) | 127,000 | 128,573 | ||||||||
Duke Energy Corporation | ||||||||||
3.95%, 08/15/47 | 75,000 | 75,713 | ||||||||
Duke Energy Florida, LLC | ||||||||||
3.20%, 01/15/27 | 38,000 | 39,192 | ||||||||
3.80%, 07/15/28 | 122,000 | 132,130 | ||||||||
Duquesne Light Holdings, Inc. | ||||||||||
6.40%, 09/15/20 (a) | 121,000 | 126,088 | ||||||||
5.90%, 12/01/21 (a) | 116,000 | 124,071 | ||||||||
Eversource Energy | ||||||||||
2.80%, 05/01/23 | 34,000 | 34,379 | ||||||||
Exelon Corporation | ||||||||||
5.10%, 06/15/45 | 32,000 | 37,210 | ||||||||
4.45%, 04/15/46 | 200,000 | 215,000 | ||||||||
FirstEnergy Transmission, LLC | ||||||||||
4.35%, 01/15/25 (a) | 88,000 | 94,368 | ||||||||
5.45%, 07/15/44 (a) | 67,000 | 80,228 | ||||||||
Florida Power & Light Company | ||||||||||
3.70%, 12/01/47 | 150,000 | 156,529 | ||||||||
Nevada Power Company | ||||||||||
3.70%, 05/01/29 | 106,000 | 113,303 | ||||||||
6.65%, 04/01/36 | 18,000 | 24,501 | ||||||||
NextEra Energy Capital Holdings, Inc. | ||||||||||
2.90%, 04/01/22 | 119,000 | 120,844 | ||||||||
PacifiCorp | ||||||||||
4.15%, 02/15/50 | 125,000 | 138,335 | ||||||||
Public Service Company of New Hampshire | ||||||||||
3.60%, 07/01/49 | 250,000 | 255,047 | ||||||||
Sempra Energy | ||||||||||
4.00%, 02/01/48 | 70,000 | 68,501 | ||||||||
Southern California Edison Company | ||||||||||
4.13%, 03/01/48 | 37,000 | 37,079 | ||||||||
Tampa Electric Company | ||||||||||
4.45%, 06/15/49 | 18,000 | 20,160 | ||||||||
The AES Corporation | ||||||||||
4.50%, 03/15/23 | 164,000 | 168,377 | ||||||||
5.13%, 09/01/27 | 73,000 | 77,022 | ||||||||
The Connecticut Light and Power Company | ||||||||||
4.00%, 04/01/48 | 47,000 | 51,405 | ||||||||
Vistra Operations Company LLC | ||||||||||
3.55%, 07/15/24 (a) | 82,000 | 82,613 | ||||||||
5.00%, 07/31/27 (a) | 28,000 | 28,963 | ||||||||
WEC Energy Group Inc. | ||||||||||
2.45%, 06/15/20 | 96,000 | 95,998 | ||||||||
3.55%, 06/15/25 | 44,000 | 46,177 | ||||||||
Xcel Energy Inc. | ||||||||||
4.70%, 05/15/20 | 107,000 | 107,901 | ||||||||
6.50%, 07/01/36 | 22,000 | 28,881 | ||||||||
3,393,535 | ||||||||||
Industrials 6.2% | ||||||||||
Aircastle Limited | ||||||||||
4.40%, 09/25/23 | 41,000 | 42,526 | ||||||||
4.13%, 05/01/24 | 135,000 | 138,610 | ||||||||
Shares/Par1 | Value ($) | |||||||||
Ashtead Capital, Inc. | ||||||||||
4.13%, 08/15/25 (a) | 56,000 | 56,569 | ||||||||
5.25%, 08/01/26 (a) | 172,000 | 180,097 | ||||||||
4.38%, 08/15/27 (a) | 26,000 | 26,033 | ||||||||
Aviation Capital Group LLC | ||||||||||
4.38%, 01/30/24 (a) | 104,000 | 109,265 | ||||||||
Avolon Holdings Funding Limited | ||||||||||
5.13%, 10/01/23 (a) | 100,000 | 105,740 | ||||||||
5.25%, 05/15/24 (a) | 277,000 | 295,528 | ||||||||
Bombardier Inc. | ||||||||||
7.88%, 04/15/27 (a) | 53,000 | 53,061 | ||||||||
Burlington Northern Santa FE, LLC | ||||||||||
4.05%, 06/15/48 | 63,000 | 69,405 | ||||||||
CNH Industrial N.V. | ||||||||||
4.50%, 08/15/23 | 115,000 | 120,493 | ||||||||
CSX Corporation | ||||||||||
4.75%, 11/15/48 | 31,000 | 36,016 | ||||||||
Equifax Inc. | ||||||||||
3.30%, 12/15/22 | 250,000 | 255,157 | ||||||||
General Electric Company | ||||||||||
5.00%, (callable at 100 beginning 01/21/21) (e) | 188,000 | 180,442 | ||||||||
4.50%, 03/11/44 | 50,000 | 48,452 | ||||||||
General Motors Company | ||||||||||
5.00%, 10/01/28 | 195,000 | 205,662 | ||||||||
Hubbell Incorporated | ||||||||||
3.35%, 03/01/26 | 250,000 | 251,063 | ||||||||
International Lease Finance Corporation | ||||||||||
8.25%, 12/15/20 | 45,000 | 48,545 | ||||||||
Owens Corning | ||||||||||
4.40%, 01/30/48 | 150,000 | 127,045 | ||||||||
Park Aerospace Holdings Limited | ||||||||||
4.50%, 03/15/23 (a) | 136,000 | 140,641 | ||||||||
5.50%, 02/15/24 (a) | 24,000 | 25,853 | ||||||||
Siemens Financieringsmaatschappij N.V. | ||||||||||
2.90%, 05/27/22 (a) | 73,000 | 74,229 | ||||||||
Standard Industries Inc. | ||||||||||
5.00%, 02/15/27 (a) | 28,000 | 28,350 | ||||||||
4.75%, 01/15/28 (a) | 63,000 | 62,528 | ||||||||
Union Pacific Corporation | ||||||||||
4.05%, 03/01/46 | 84,000 | 87,817 | ||||||||
4.50%, 09/10/48 | 125,000 | 141,763 | ||||||||
United Technologies Corporation | ||||||||||
2.65%, 11/01/26 | 51,000 | 51,216 | ||||||||
Verisk Analytics, Inc. | ||||||||||
4.00%, 06/15/25 (c) | 98,000 | 104,578 | ||||||||
5.50%, 06/15/45 | 125,000 | 147,798 | ||||||||
Waste Connections US, Inc. | ||||||||||
3.50%, 05/01/29 | 44,000 | 45,752 | ||||||||
Waste Management, Inc. | ||||||||||
3.20%, 06/15/26 | 36,000 | 37,446 | ||||||||
3.45%, 06/15/29 | 54,000 | 56,824 | ||||||||
3,354,504 | ||||||||||
Consumer Staples 4.5% | ||||||||||
Anheuser-Busch Companies, LLC | ||||||||||
4.90%, 02/01/46 | 371,000 | 412,437 | ||||||||
BAT Capital Corp. | ||||||||||
4.39%, 08/15/37 | 130,000 | 123,533 | ||||||||
4.54%, 08/15/47 | 106,000 | 98,724 | ||||||||
Constellation Brands, Inc. | ||||||||||
4.25%, 05/01/23 | 70,000 | 74,411 | ||||||||
Energizer Holdings, Inc. | ||||||||||
7.75%, 01/15/27 (a) | 15,000 | 16,215 | ||||||||
General Mills, Inc. | ||||||||||
4.70%, 04/17/48 (c) | 37,000 | 39,904 | ||||||||
JBS Investments GmbH | ||||||||||
7.25%, 04/03/24 (a) | 171,000 | 177,648 | ||||||||
JBS USA Food Company | ||||||||||
5.88%, 07/15/24 (a) | 16,000 | 16,463 | ||||||||
JBS USA LUX SA | ||||||||||
6.50%, 04/15/29 (a) | 107,000 | 116,223 | ||||||||
Keurig Dr Pepper Inc. | ||||||||||
2.55%, 09/15/26 | 50,000 | 47,766 | ||||||||
4.99%, 05/25/38 | 30,000 | 33,009 | ||||||||
4.42%, 12/15/46 | 100,000 | 99,980 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
11
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
5.09%, 05/25/48 | 25,000 | 27,969 | ||||||||
Kraft Heinz Foods Company | ||||||||||
4.38%, 06/01/46 | 70,000 | 66,479 | ||||||||
Mars, Incorporated | ||||||||||
3.60%, 04/01/34 (a) | 44,000 | 46,860 | ||||||||
3.95%, 04/01/49 (a) | 95,000 | 101,698 | ||||||||
Matterhorn Merger Sub LLC | ||||||||||
8.50%, 06/01/26 (a) (c) | 121,000 | 107,086 | ||||||||
Philip Morris International Inc. | ||||||||||
3.38%, 08/15/29 | 125,000 | 128,660 | ||||||||
4.25%, 11/10/44 | 75,000 | 78,270 | ||||||||
Pilgrim's Pride Corporation | ||||||||||
5.75%, 03/15/25 (a) | 55,000 | 55,854 | ||||||||
Reynolds American Inc. | ||||||||||
5.70%, 08/15/35 | 86,000 | 94,396 | ||||||||
The Kroger Co. | ||||||||||
4.65%, 01/15/48 | 24,000 | 24,130 | ||||||||
Tyson Foods, Inc. | ||||||||||
4.55%, 06/02/47 | 12,000 | 12,537 | ||||||||
5.10%, 09/28/48 | 100,000 | 112,746 | ||||||||
Walmart Inc. | ||||||||||
2.85%, 07/08/24 | 250,000 | 257,641 | ||||||||
WM. Wrigley Jr. Company | ||||||||||
3.38%, 10/21/20 (a) | 86,000 | 87,167 | ||||||||
2,457,806 | ||||||||||
Consumer Discretionary 4.3% | ||||||||||
Adient US LLC | ||||||||||
7.00%, 05/15/26 (a) | 13,000 | 13,375 | ||||||||
Amazon.com, Inc. | ||||||||||
3.88%, 08/22/37 | 90,000 | 99,058 | ||||||||
Beazer Homes USA, Inc. | ||||||||||
5.88%, 10/15/27 | 35,000 | 30,407 | ||||||||
Delphi Technologies PLC | ||||||||||
5.00%, 10/01/25 (a) | 60,000 | 53,400 | ||||||||
Discovery Communications, LLC | ||||||||||
4.13%, 05/15/29 | 61,000 | 63,464 | ||||||||
5.30%, 05/15/49 | 25,000 | 26,857 | ||||||||
Dollar General Corporation | ||||||||||
3.25%, 04/15/23 | 112,000 | 115,087 | ||||||||
Fiat Chrysler Automobiles N.V. | ||||||||||
5.25%, 04/15/23 | 31,000 | 32,761 | ||||||||
GLP Financing, LLC | ||||||||||
5.38%, 04/15/26 | 203,000 | 219,754 | ||||||||
5.75%, 06/01/28 | 49,000 | 54,022 | ||||||||
Hilton Worldwide Holdings Inc. | ||||||||||
4.63%, 04/01/25 | 5,000 | 5,117 | ||||||||
IHO Verwaltungs GmbH | ||||||||||
5.50%, 09/15/26 (a) (h) | 131,000 | 127,375 | ||||||||
IHOL Verwaltungs GmbH | ||||||||||
6.75%, 05/15/27 (a) (h) | 200,000 | 201,000 | ||||||||
KFC Holding Co. | ||||||||||
5.00%, 06/01/24 (a) | 8,000 | 8,261 | ||||||||
Lowe`s Companies, Inc. | ||||||||||
4.05%, 05/03/47 | 60,000 | 59,715 | ||||||||
4.55%, 04/05/49 | 101,000 | 108,898 | ||||||||
Marriott Ownership Resorts, Inc. | ||||||||||
6.50%, 09/15/26 | 119,000 | 127,628 | ||||||||
Mohegan Tribal Gaming Authority | ||||||||||
7.88%, 10/15/24 (a) (c) | 76,000 | 74,351 | ||||||||
Nemak, S.A.B. de C.V. | ||||||||||
4.75%, 01/23/25 (a) | 91,000 | 91,792 | ||||||||
New Golden Nugget Inc. | ||||||||||
6.75%, 10/15/24 (a) | 70,000 | 72,107 | ||||||||
8.75%, 10/01/25 (a) | 59,000 | 61,959 | ||||||||
Royal Caribbean Cruises Ltd. | ||||||||||
5.25%, 11/15/22 | 30,000 | 32,448 | ||||||||
Sands China Ltd. | ||||||||||
5.13%, 08/08/25 (i) | 132,000 | 142,600 | ||||||||
5.40%, 08/08/28 (i) | 63,000 | 68,799 | ||||||||
The Home Depot, Inc. | ||||||||||
2.13%, 09/15/26 | 81,000 | 79,257 | ||||||||
3.90%, 12/06/28 | 41,000 | 45,160 | ||||||||
2.95%, 06/15/29 | 125,000 | 128,151 | ||||||||
4.50%, 12/06/48 | 49,000 | 57,831 | ||||||||
Shares/Par1 | Value ($) | |||||||||
VOC Escrow Ltd. | ||||||||||
5.00%, 02/15/28 (a) | 63,000 | 63,810 | ||||||||
Warner Media, LLC | ||||||||||
7.63%, 04/15/31 | 59,000 | 78,553 | ||||||||
2,342,997 | ||||||||||
Information Technology 4.3% | ||||||||||
Broadcom Corporation | ||||||||||
3.88%, 01/15/27 | 220,000 | 215,632 | ||||||||
3.50%, 01/15/28 | 74,000 | 69,973 | ||||||||
Broadcom Inc. | ||||||||||
4.25%, 04/15/26 (a) | 100,000 | 102,120 | ||||||||
Dell International L.L.C. | ||||||||||
5.30%, 10/01/29 (a) (i) | 125,000 | 131,554 | ||||||||
Fidelity National Information Services, Inc. | ||||||||||
3.00%, 08/15/26 | 71,000 | 71,911 | ||||||||
4.75%, 05/15/48 | 47,000 | 52,242 | ||||||||
Fiserv, Inc. | ||||||||||
3.20%, 07/01/26 | 250,000 | 255,570 | ||||||||
4.20%, 10/01/28 (i) | 80,000 | 86,617 | ||||||||
International Business Machines Corporation | ||||||||||
2.85%, 05/13/22 | 234,000 | 237,949 | ||||||||
3.00%, 05/15/24 | 100,000 | 102,680 | ||||||||
4.25%, 05/15/49 | 100,000 | 107,251 | ||||||||
Microsoft Corporation | ||||||||||
3.70%, 08/08/46 | 79,000 | 85,754 | ||||||||
NXP B.V. | ||||||||||
4.63%, 06/01/23 (a) | 147,000 | 154,965 | ||||||||
5.35%, 03/01/26 (a) | 99,000 | 109,511 | ||||||||
4.30%, 06/18/29 (a) | 95,000 | 97,868 | ||||||||
Oracle Corporation | ||||||||||
3.85%, 07/15/36 | 59,000 | 62,838 | ||||||||
3.80%, 11/15/37 | 39,000 | 41,285 | ||||||||
4.00%, 11/15/47 | 83,000 | 89,203 | ||||||||
Radiate HoldCo, LLC | ||||||||||
6.88%, 02/15/23 (a) | 88,000 | 88,176 | ||||||||
ViaSat, Inc. | ||||||||||
5.63%, 04/15/27 (a) | 31,000 | 32,250 | ||||||||
Visa Inc. | ||||||||||
4.30%, 12/14/45 | 99,000 | 116,954 | ||||||||
2,312,303 | ||||||||||
Materials 3.3% | ||||||||||
Anglo American Capital PLC | ||||||||||
4.88%, 05/14/25 (a) | 260,000 | 279,936 | ||||||||
Berry Global Escrow Corporation | ||||||||||
4.88%, 07/15/26 (a) | 94,000 | 95,998 | ||||||||
CF Industries, Inc. | ||||||||||
4.50%, 12/01/26 (a) | 106,000 | 110,973 | ||||||||
5.38%, 03/15/44 | 200,000 | 187,780 | ||||||||
Corning Incorporated | ||||||||||
5.85%, 11/15/68 | 67,000 | 79,054 | ||||||||
DuPont de Nemours, Inc | ||||||||||
4.21%, 11/15/23 | 72,000 | 76,960 | ||||||||
4.49%, 11/15/25 | 60,000 | 66,358 | ||||||||
5.42%, 11/15/48 | 13,000 | 15,783 | ||||||||
FMG Resources (August 2006) Pty Ltd | ||||||||||
4.75%, 05/15/22 (a) | 31,000 | 31,775 | ||||||||
Freeport-McMoRan Inc. | ||||||||||
5.45%, 03/15/43 | 113,000 | 103,515 | ||||||||
Glencore Finance (Canada) Limited | ||||||||||
5.55%, 10/25/42 (a) (j) | 21,000 | 21,927 | ||||||||
Mauser Packaging Solutions Holding Company | ||||||||||
7.25%, 04/15/25 (a) | 40,000 | 38,593 | ||||||||
NOVA Chemicals Corporation | ||||||||||
4.88%, 06/01/24 (a) | 127,000 | 131,801 | ||||||||
Olin Corporation | ||||||||||
5.13%, 09/15/27 | 27,000 | 27,712 | ||||||||
5.00%, 02/01/30 | 80,000 | 79,259 | ||||||||
Reynolds Group Holdings Inc. | ||||||||||
5.13%, 07/15/23 (a) | 103,000 | 104,946 | ||||||||
Samarco Mineracao S/A | ||||||||||
0.00%, 09/26/24 (g) (k) (l) (m) | 200,000 | 159,129 | ||||||||
The Dow Chemical Company | ||||||||||
4.25%, 10/01/34 | 65,000 | 67,982 | ||||||||
4.80%, 05/15/49 (a) | 51,000 | 54,876 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
12
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||||||||
WRKCo Inc. | |||||||||||||
3.90%, 06/01/28 | 39,000 | 39,971 | |||||||||||
1,774,328 | |||||||||||||
Real Estate 2.6% | |||||||||||||
American Tower Corporation | |||||||||||||
3.80%, 08/15/29 | 176,000 | 182,159 | |||||||||||
AvalonBay Communities, Inc. | |||||||||||||
3.20%, 01/15/28 | 84,000 | 86,793 | |||||||||||
Boston Properties Limited Partnership | |||||||||||||
2.75%, 10/01/26 | 18,000 | 17,710 | |||||||||||
4.50%, 12/01/28 | 72,000 | 79,672 | |||||||||||
Crown Castle International Corp. | |||||||||||||
2.25%, 09/01/21 | 55,000 | 54,741 | |||||||||||
3.80%, 02/15/28 | 89,000 | 92,168 | |||||||||||
5.20%, 02/15/49 | 31,000 | 35,412 | |||||||||||
Equinix, Inc. | |||||||||||||
5.75%, 01/01/25 | 46,000 | 47,892 | |||||||||||
5.38%, 05/15/27 | 63,000 | 67,620 | |||||||||||
ERP Operating Limited Partnership | |||||||||||||
3.50%, 03/01/28 | 54,000 | 56,897 | |||||||||||
3.00%, 07/01/29 | 125,000 | 126,538 | |||||||||||
HCP, Inc. | |||||||||||||
3.25%, 07/15/26 | 18,000 | 18,131 | |||||||||||
3.50%, 07/15/29 | 32,000 | 32,124 | |||||||||||
Host Hotels & Resorts, L.P. | |||||||||||||
3.75%, 10/15/23 | 86,000 | 88,135 | |||||||||||
Realty Income Corporation | |||||||||||||
3.00%, 01/15/27 | 29,000 | 29,186 | |||||||||||
3.65%, 01/15/28 | 68,000 | 71,451 | |||||||||||
3.25%, 06/15/29 | 104,000 | 105,868 | |||||||||||
Regency Centers, L.P. | |||||||||||||
3.60%, 02/01/27 | 43,000 | 44,336 | |||||||||||
Simon Property Group, L.P. | |||||||||||||
3.38%, 06/15/27 (c) | 154,000 | 159,993 | |||||||||||
3.38%, 12/01/27 | 12,000 | 12,463 | |||||||||||
1,409,289 | |||||||||||||
Total Corporate Bonds And Notes (cost $44,749,242) | 47,085,941 | ||||||||||||
GOVERNMENT AND AGENCY OBLIGATIONS 7.8% | |||||||||||||
U.S. Treasury Securities 7.8% | |||||||||||||
U.S. Treasury Bond | |||||||||||||
2.50%, 02/15/45 | 870,000 | 865,786 | |||||||||||
U.S. Treasury Note | |||||||||||||
1.13%, 08/31/21 | 50,000 | 49,320 | |||||||||||
2.38%, 02/29/24 | 2,050,000 | 2,107,016 | |||||||||||
2.25%, 02/15/27 | 1,170,000 | 1,198,336 | |||||||||||
Total Government And Agency Obligations (cost $4,025,417) | 4,220,458 | ||||||||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 3.1% | |||||||||||||
Citibank Credit Card Issuance Trust | |||||||||||||
Series 2017-A9-A9, 1.80%, 09/20/19 | 600,000 | 599,226 | |||||||||||
Dell Equipment Finance Trust | |||||||||||||
Series 2018-A2-2, 3.16%, 08/24/20 (a) | 95,400 | 95,943 | |||||||||||
GreatAmerica Financial Services Corporation | |||||||||||||
Series 2017-A3-1, 2.06%, 06/22/20 (a) | 36,721 | 36,686 | |||||||||||
Series 2018-A3-1, 2.60%, 06/15/21 (a) | 100,000 | 100,302 | |||||||||||
Kubota Credit Owner Trust | |||||||||||||
Series 2016-A3-1A, 1.50%, 07/15/20 (a) | 48,752 | 48,680 | |||||||||||
United Airlines Pass Through Certificates | |||||||||||||
Series 2018-A-1, 3.70%, 03/01/30 | 147,389 | 148,524 | |||||||||||
United Airlines Pass-Through Trust | |||||||||||||
Series 2018-B-1, 4.60%, 03/01/26 | 27,062 | 28,004 | |||||||||||
United Airlines, Inc. | |||||||||||||
Series 2012-A-1, 4.15%, 04/11/24 | 129,663 | 134,304 | |||||||||||
Verizon Owner Trust | |||||||||||||
Series 2017-A1A-3A, 2.06%, 04/20/22 (a) | 512,000 | 511,425 | |||||||||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $1,684,887) | 1,703,094 | ||||||||||||
SENIOR LOAN INTERESTS 0.4% | |||||||||||||
Communication Services 0.1% | |||||||||||||
Nexstar Media Group, Inc. | |||||||||||||
Bridge Term Loan, 0.00%, 11/30/19 (d) (n) | 67,000 | 66,079 | |||||||||||
Shares/Par1 | Value ($) | ||||||||||||
Materials 0.1% | |||||||||||||
BWAY Holding Company | |||||||||||||
2017 Term Loan B, 5.85%, (3M LIBOR + 3.25%), 04/03/24 (d) | 59,695 | 57,581 | |||||||||||
Utilities 0.1% | |||||||||||||
PG&E Corp | |||||||||||||
DIP Term Loan, 4.69%, (3M LIBOR + 2.25%), 12/31/20 (d) | 52,500 | 52,631 | |||||||||||
Financials 0.1% | |||||||||||||
Blackstone CQP Holdco LP | |||||||||||||
Term Loan B, 5.89%, (3M LIBOR + 3.50%), 05/29/24 (d) | 18,919 | 18,938 | |||||||||||
Total Senior Loan Interests (cost $196,778) | 195,229 | ||||||||||||
SHORT TERM INVESTMENTS 2.2% | |||||||||||||
Investment Companies 1.2% | |||||||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.32% (o) | 626,180 | 626,180 | |||||||||||
Securities Lending Collateral 0.8% | |||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.33% (o) | 437,060 | 437,060 | |||||||||||
U.S. Treasury Securities 0.2% | |||||||||||||
U.S. Treasury Bill | |||||||||||||
2.27%, 09/12/19 (p) | 100,000 | 99,580 | |||||||||||
Total Short Term Investments (cost $1,162,803) | 1,162,820 | ||||||||||||
Total Investments 100.6% (cost $51,819,127) | 54,367,542 | ||||||||||||
Other Derivative Instruments (0.0)% | (2,289) | ||||||||||||
Other Assets and Liabilities, Net (0.6)% | (307,500) | ||||||||||||
Total Net Assets 100.0% | 54,057,753 |
(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. As of June 30, 2019, the value and the percentage of net assets of these liquid securities was $13,825,349 and 25.6% of the fund.
(b) Convertible security.
(c) All or a portion of the security was on loan as of June 30, 2019.
(d) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of June 30, 2019. 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 reflect 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) Perpetual security. Next contractual call date presented, if applicable.
(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.
(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 June 30, 2019.
(k) Non-income producing security.
(l) As of June 30, 2019, 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.
(m) Security is restricted to resale to institutional investors. See the table of Restricted
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
13
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Securities below.
(n) This senior loan will settle after June 30, 2019. If a reference rate and spread is presented, it will go into effect upon settlement.
(o) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2019.
(p) The coupon rate represents the yield to maturity.
Restricted Securities | ||||||||||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | |||||||||||||
Samarco Mineracao S/A, 0.00%, 09/26/24 | 07/16/18 | 142,215 | 159,129 | 0.3 | ||||||||||||
Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
PG&E Corp. – DIP Delayed Draw Term Loan | 17,413 | 131 | ||||
17,413 | 131 |
PPM Credit Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Long Contracts | |||||||||||||||
United States 2 Year Note | 14 | October 2019 | 2,996,222 | (571) | 16,270 | ||||||||||
United States Long Bond | 33 | September 2019 | 5,007,279 | (4,125) | 127,315 | ||||||||||
(4,696) | 143,585 | ||||||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (21) | September 2019 | (2,651,091) | (656) | (36,253) | ||||||||||
United States 10 Year Ultra Bond | (16) | September 2019 | (2,179,981) | (500) | (30,019) | ||||||||||
United States 5 Year Note | (7) | October 2019 | (825,303) | — | (1,791) | ||||||||||
United States Ultra Bond | (19) | September 2019 | (3,295,876) | 3,563 | (77,811) | ||||||||||
2,407 | (145,874) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
14
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
PPM Floating Rate Income Fund | |||||||
SENIOR LOAN INTERESTS 93.2% | |||||||
Consumer Discretionary 20.3% | |||||||
1011778 B.C. Unlimited Liability Company | |||||||
Term Loan B3, 4.65%, (3M LIBOR + 2.25%), 02/15/24 (a) | 212,050 | 210,284 | |||||
24 Hour Fitness Worldwide, Inc. | |||||||
2018 Term Loan B, 5.94%, (3M LIBOR + 3.50%), 05/30/25 (a) | 93,489 | 93,038 | |||||
Adient US LLC | |||||||
Term Loan B, 6.82%, (3M LIBOR + 4.25%), 05/03/24 (a) | 30,000 | 29,194 | |||||
Term Loan B, 6.89%, (3M LIBOR + 4.25%), 05/03/24 (a) | 90,000 | 87,582 | |||||
Allied Universal Holdco LLC | |||||||
Term Loan, 6.15%, (3M LIBOR + 3.75%), 07/28/22 (a) | 133,517 | 133,212 | |||||
2019 Delayed Draw Term Loan, 0.00%, (3M LIBOR + 4.25%), 06/18/26 (a) (b) | 4,054 | 4,034 | |||||
2019 Term Loan B, 0.00%, (3M LIBOR + 4.25%), 06/18/26 (a) (b) | 40,946 | 40,741 | |||||
Alterra Mountain Company | |||||||
Term Loan B1, 5.40%, (3M LIBOR + 3.00%), 06/28/24 (a) | 128,371 | 127,729 | |||||
Altra Industrial Motion Corp. | |||||||
2018 Term Loan B, 4.40%, (3M LIBOR + 2.00%), 09/26/25 (a) | 95,644 | 93,792 | |||||
American Axle and Manufacturing, Inc. | |||||||
Term Loan B, 4.66%, (3M LIBOR + 2.25%), 03/10/24 (a) | 101,986 | 99,660 | |||||
Term Loan B, 4.84%, (3M LIBOR + 2.25%), 03/10/24 (a) | 51,745 | 50,565 | |||||
Bass Pro Group, LLC | |||||||
Term Loan B, 7.40%, (3M LIBOR + 5.00%), 11/15/23 (a) | 93,228 | 88,897 | |||||
Boing US Holdco Inc. | |||||||
2017 1st Lien Term Loan, 5.67%, (3M LIBOR + 3.25%), 09/20/24 (a) | 39,600 | 39,435 | |||||
Bombardier Recreational Products, Inc. | |||||||
2016 Term Loan B, 4.40%, (3M LIBOR + 2.00%), 06/30/23 (a) | 168,725 | 166,194 | |||||
2019 Incremental Term Loan B2, 0.00%, (3M LIBOR + 2.50%), 05/23/25 (a) (b) | 5,000 | 4,952 | |||||
Boyd Gaming Corporation | |||||||
Term Loan B3, 4.61%, (3M LIBOR + 2.25%), 09/15/23 (a) | 111,707 | 110,997 | |||||
Burlington Coat Factory Warehouse Corporation | |||||||
2017 Term Loan B5, 4.40%, (3M LIBOR + 2.00%), 11/17/24 (a) | 95,000 | 95,179 | |||||
Caesars Entertainment Operating Company | |||||||
Exit Term Loan, 0.00%, (3M LIBOR + 2.00%), 04/03/24 (a) (b) | 34,911 | 34,595 | |||||
Term Loan, 4.40%, (3M LIBOR + 2.00%), 04/03/24 (a) | 167,870 | 166,349 | |||||
Caesars Resort Collection, LLC | |||||||
2017 1st Lien Term Loan B, 5.15%, (3M LIBOR + 2.75%), 12/23/24 (a) | 365,088 | 358,622 | |||||
Callaway Golf Company | |||||||
Term Loan B, 6.92%, (3M LIBOR + 4.50%), 12/31/25 (a) | 42,893 | 43,250 | |||||
Camelot UK Holdco Limited | |||||||
Term Loan, 5.68%, (1M LIBOR + 3.25%), 10/03/23 (a) | 82,612 | 82,760 | |||||
Champ Acquisition Corporation | |||||||
Term Loan, 7.83%, (3M LIBOR + 5.50%), 12/17/25 (a) | 54,725 | 54,041 | |||||
Charter Communications Operating, LLC | |||||||
2017 Term Loan B, 4.33%, (3M LIBOR + 2.00%), 04/30/25 (a) | 311,913 | 311,445 | |||||
CityCenter Holdings, LLC | |||||||
2017 Term Loan B, 4.65%, (1M LIBOR + 2.25%), 04/14/24 (a) | 242,668 | 241,542 | |||||
Coinamatic Canada Inc. | |||||||
Canadian 1st Lien Term Loan, 5.65%, (3M LIBOR + 3.25%), 05/13/22 (a) | 3,973 | 3,894 | |||||
Shares/Par1 | Value ($) | ||||||
Constellis Holdings, LLC | |||||||
2017 1st Lien Term Loan, 7.58%, (1M LIBOR + 5.00%), 04/17/24 (a) | 69,293 | 51,970 | |||||
Core & Main LP | |||||||
2017 Term Loan B, 0.00%, (3M LIBOR + 3.00%), 07/19/24 (a) (b) | 56,000 | 55,807 | |||||
2017 Term Loan B, 5.52%, (3M LIBOR + 3.00%), 07/19/24 (a) | 98,995 | 98,655 | |||||
Creative Artists Agency, LLC | |||||||
2018 Term Loan B, 5.40%, (1M LIBOR + 3.00%), 02/15/24 (a) | 94,270 | 93,893 | |||||
CSC Holdings, LLC | |||||||
2017 1st Lien Term Loan, 4.64%, (3M LIBOR + 2.25%), 07/15/25 (a) | 150,000 | 147,421 | |||||
2018 Term Loan B, 4.89%, (3M LIBOR + 2.50%), 01/12/26 (a) | 198,000 | 195,171 | |||||
Dana Incorporated | |||||||
Term Loan B, 0.00%, (3M LIBOR + 2.25%), 02/27/26 (a) (b) | 35,000 | 34,898 | |||||
Term Loan B, 4.65%, (3M LIBOR + 2.25%), 02/27/26 (a) | 94,763 | 94,486 | |||||
Delta 2 (LUX) S.a.r.l. | |||||||
Term Loan, 4.90%, (3M LIBOR + 2.50%), 02/01/24 (a) | 145,000 | 141,447 | |||||
DexKo Global Inc. | |||||||
Term Loan, 5.90%, (3M LIBOR + 3.50%), 07/24/24 (a) | 49,590 | 49,342 | |||||
Dynacast International LLC | |||||||
Term Loan B2, 5.58%, (3M LIBOR + 3.25%), 01/28/22 (a) | 98,711 | 95,010 | |||||
Eldorado Resorts LLC | |||||||
2017 Term Loan B, 4.69%, (1M LIBOR + 2.25%), 03/15/24 (a) | 93,999 | 93,560 | |||||
Equinox Holdings, Inc. | |||||||
2017 1st Lien Term Loan, 5.40%, (1M LIBOR + 3.00%), 03/08/24 (a) | 89,093 | 88,797 | |||||
ESH Hospitality, Inc. | |||||||
2018 Term Loan B, 4.40%, (3M LIBOR + 2.00%), 08/30/23 (a) | 157,489 | 157,195 | |||||
Fitness International, LLC | |||||||
2018 Term Loan B, 5.65%, (1M LIBOR + 3.25%), 04/13/25 (a) | 121,834 | 120,819 | |||||
Four Seasons Hotels Limited | |||||||
New 1st Lien Term Loan, 4.40%, (3M LIBOR + 2.00%), 11/30/23 (a) | 189,031 | 188,532 | |||||
Golden Nugget, Inc. | |||||||
2017 Incremental Term Loan B, 5.14%, (3M LIBOR + 2.75%), 09/07/23 (a) | 78,859 | 78,133 | |||||
2017 Incremental Term Loan B, 5.15%, (3M LIBOR + 2.75%), 10/04/23 (a) | 98,366 | 97,461 | |||||
Hayward Industries, Inc. | |||||||
1st Lien Term Loan, 5.90%, (3M LIBOR + 3.50%), 08/04/24 (a) | 98,992 | 96,796 | |||||
Helix Gen Funding, LLC | |||||||
Term Loan B, 6.15%, (3M LIBOR + 3.75%), 03/02/24 (a) | 57,305 | 53,836 | |||||
Hoffmaster Group, Inc. | |||||||
2018 1st Lien Term Loan, 6.33%, (1M LIBOR + 4.00%), 11/11/23 (a) | 37,025 | 36,840 | |||||
Hoya Midco, LLC | |||||||
2017 1st Lien Term Loan, 5.90%, (3M LIBOR + 3.50%), 06/21/24 - 06/27/24 (a) | 73,663 | 72,835 | |||||
Inmar Holdings, Inc. | |||||||
2017 1st Lien Term Loan, 6.33%, (3M LIBOR + 4.00%), 04/25/24 (a) | 129,039 | 121,749 | |||||
Interior Logic Group Holdings IV LLC | |||||||
2018 Term Loan B, 6.33%, (1M LIBOR + 4.00%), 05/21/25 (a) | 99,250 | 97,637 | |||||
International Textile Group, Inc | |||||||
1st Lien Term Loan, 7.33%, (3M LIBOR + 5.00%), 04/19/24 (a) (c) | 625 | 575 | |||||
1st Lien Term Loan, 7.44%, (3M LIBOR + 5.00%), 04/19/24 (a) (c) | 97,500 | 89,700 | |||||
IRB Holding Corp | |||||||
1st Lien Term Loan, 5.64%, (3M LIBOR + 3.25%), 01/18/25 (a) | 222,460 | 219,437 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
15
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
Jo-Ann Stores, Inc. | �� | ||||||
Term Loan, 7.59%, (3M LIBOR + 5.00%), 09/29/23 (a) | 48,519 | 43,505 | |||||
Las Vegas Sands LLC | |||||||
2018 Term Loan B, 4.15%, (3M LIBOR + 1.75%), 03/27/25 (a) | 218,145 | 216,335 | |||||
Liberty Cablevision of Puerto Rico LLC | |||||||
1st Lien Term Loan, 5.89%, (3M LIBOR + 3.50%), 12/24/21 (a) | 50,000 | 49,750 | |||||
Life Time Fitness Inc | |||||||
2017 Term Loan B, 5.27%, (3M LIBOR + 2.75%), 06/22/22 (a) | 167,864 | 167,025 | |||||
Lifetime Brands, Inc. | |||||||
Term Loan B, 5.90%, (3M LIBOR + 3.50%), 03/13/25 (a) | 23,696 | 23,518 | |||||
Term Loan B, 5.94%, (3M LIBOR + 3.50%), 03/13/25 (a) | 40,653 | 40,348 | |||||
Lions Gate Capital Holdings LLC | |||||||
2018 Term Loan B, 4.65%, (3M LIBOR + 2.25%), 03/20/25 (a) | 177,200 | 175,797 | |||||
MA FinanceCo., LLC | |||||||
2017 Term Loan B2, 4.65%, (3M LIBOR + 2.25%), 11/19/21 (a) | 50,000 | 49,396 | |||||
Marriott Ownership Resorts, Inc. | |||||||
2018 Term Loan B, 4.65%, (3M LIBOR + 2.25%), 08/09/25 (a) | 92,535 | 92,458 | |||||
Mavis Tire Express Services Corp. | |||||||
2018 1st Lien Term Loan, 5.65%, (3M LIBOR + 3.25%), 03/15/25 (a) | 202,037 | 197,744 | |||||
Michaels Stores, Inc. | |||||||
2018 Term Loan B, 4.90%, (3M LIBOR + 2.50%), 01/01/23 (a) | 208,570 | 201,663 | |||||
Mohegan Tribal Gaming Authority | |||||||
2016 Term Loan B, 6.40%, (3M LIBOR + 4.00%), 10/30/23 (a) | 29,687 | 27,604 | |||||
NPC International, Inc. | |||||||
1st Lien Term Loan, 5.94%, (3M LIBOR + 3.50%), 04/05/24 (a) | 49,621 | 39,821 | |||||
Numericable Group SA | |||||||
USD Term Loan B11, 5.15%, (3M LIBOR + 2.75%), 07/31/25 (a) | 197,980 | 188,152 | |||||
NVA Holdings, Inc. | |||||||
Term Loan B3, 5.15%, (3M LIBOR + 2.75%), 01/31/25 (a) | 167,881 | 167,601 | |||||
Party City Holdings Inc. | |||||||
2018 Term Loan B, 4.91%, (3M LIBOR + 2.50%), 08/19/22 (a) | 82,239 | 81,607 | |||||
PCI Gaming Authority | |||||||
Term Loan, 5.40%, (3M LIBOR + 3.00%), 05/15/26 (a) | 141,000 | 141,147 | |||||
Penn National Gaming, Inc. | |||||||
2018 1st Lien Term Loan B, 4.65%, (3M LIBOR + 2.25%), 08/15/25 (a) | 149,400 | 148,723 | |||||
PetSmart, Inc. | |||||||
Consenting Term Loan, 6.67%, (3M LIBOR + 4.25%), 03/11/22 (a) | 8,031 | 7,807 | |||||
Playa Resorts Holding B.V. | |||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 04/07/24 (a) | 177,737 | 169,872 | |||||
ProQuest LLC | |||||||
New Term Loan B, 5.65%, (3M LIBOR + 3.25%), 10/24/21 (a) | 79,155 | 78,858 | |||||
Rodan & Fields, LLC | |||||||
2018 Term Loan B, 6.39%, (3M LIBOR + 4.00%), 06/07/25 (a) | 49,375 | 44,273 | |||||
2018 Term Loan B, 8.50%, (3M PRIME + 4.00%), 06/07/25 (a) | 125 | 112 | |||||
Scientific Games International, Inc. | |||||||
2018 Term Loan B5, 5.15%, (3M LIBOR + 2.75%), 08/14/24 (a) | 44,883 | 44,166 | |||||
2018 Term Loan B5, 5.23%, (3M LIBOR + 2.75%), 08/14/24 (a) | 186,396 | 183,420 | |||||
Serta Simmons Bedding, LLC | |||||||
1st Lien Term Loan, 5.89%, (3M LIBOR + 3.50%), 10/21/23 (a) | 27,300 | 17,574 | |||||
1st Lien Term Loan, 5.91%, (3M LIBOR + 3.50%), 10/21/23 (a) | 96,560 | 62,161 | |||||
Shares/Par1 | Value ($) | ||||||
ServiceMaster Company | |||||||
2016 Term Loan B, 4.90%, (3M LIBOR + 2.50%), 11/08/23 (a) | 26,297 | 26,258 | |||||
Shutterfly, Inc. | |||||||
Term Loan B2, 0.00%, (3M LIBOR + 2.50%), 08/17/24 (a) (b) | 20,000 | 19,985 | |||||
Term Loan B2, 4.91%, (3M LIBOR + 2.50%), 08/17/24 (a) | 74,882 | 74,826 | |||||
Sinclair Television Group Inc. | |||||||
Term Loan B2, 4.66%, (3M LIBOR + 2.25%), 01/06/24 (a) | 94,515 | 93,216 | |||||
SIWF Holdings Inc. | |||||||
1st Lien Term Loan, 6.65%, (3M LIBOR + 4.25%), 05/25/25 (a) | 113,887 | 112,748 | |||||
Six Flags Theme Parks, Inc. | |||||||
2019 Term Loan B, 4.41%, (3M LIBOR + 2.00%), 04/09/26 (a) | 90,000 | 90,028 | |||||
Spin Holdco Inc. | |||||||
2017 Term Loan B, 5.85%, (3M LIBOR + 3.25%), 11/14/22 (a) | 98,992 | 96,907 | |||||
SRAM, LLC | |||||||
2018 Term Loan B, 0.00%, (3M LIBOR + 2.75%), 03/15/24 (a) (b) | 25,000 | 24,937 | |||||
2018 Term Loan B, 5.23%, (3M LIBOR + 2.75%), 03/15/24 (a) | 36,735 | 36,643 | |||||
2018 Term Loan B, 5.29%, (3M LIBOR + 2.75%), 03/15/24 (a) | 39,592 | 39,493 | |||||
2018 Term Loan B, 7.25%, (3M LIBOR + 2.75%), 03/15/24 (a) | 1,633 | 1,629 | |||||
Staples, Inc. | |||||||
7 Year Term Loan, 7.60%, (3M LIBOR + 5.00%), 04/05/26 (a) | 125,000 | 119,824 | |||||
Stars Group Holdings B.V. (The) | |||||||
2018 USD Incremental Term Loan, 5.83%, (3M LIBOR + 3.50%), 06/29/25 (a) | 265,845 | 265,707 | |||||
Station Casinos LLC | |||||||
2016 Term Loan B, 4.91%, (3M LIBOR + 2.50%), 05/24/23 (a) | 167,818 | 166,949 | |||||
2016 Term Loan B, 0.00%, (3M LIBOR + 2.50%), 06/08/23 (a) (b) | 125,000 | 124,352 | |||||
Tenneco, Inc. | |||||||
2018 Term Loan B, 5.40%, (3M LIBOR + 3.00%), 10/01/25 (a) | 186,563 | 171,964 | |||||
TI Group Automotive Systems, L.L.C. | |||||||
Term Loan, 4.90%, (3M LIBOR + 2.50%), 06/25/22 (a) | 159,212 | 157,487 | |||||
Trader Corporation | |||||||
2017 Term Loan B, 5.40%, (3M LIBOR + 3.00%), 09/28/23 (a) | 45,000 | 44,775 | |||||
TruGreen Limited Partnership | |||||||
2019 Term Loan, 6.16%, (3M LIBOR + 3.75%), 03/19/26 (a) | 60,000 | 60,038 | |||||
Univision Communications Inc. | |||||||
Term Loan C5, 5.15%, (3M LIBOR + 2.75%), 03/15/24 (a) | 122,313 | 116,312 | |||||
WASH Multifamily Laundry Systems, LLC | |||||||
2015 1st Lien Term Loan, 5.65%, (3M LIBOR + 3.25%), 05/15/22 (a) | 25,641 | 25,129 | |||||
WideOpenWest Finance LLC | |||||||
2017 Term Loan B, 5.65%, (3M LIBOR + 3.25%), 08/19/23 (a) | 158,290 | 154,412 | |||||
William Morris Endeavor Entertainment, LLC | |||||||
2018 1st Lien Term Loan, 5.36%, (3M LIBOR + 2.75%), 05/11/25 (a) | 258,785 | 249,295 | |||||
WMG Acquisition Corp. | |||||||
2018 Term Loan F, 4.53%, (3M LIBOR + 2.13%), 11/01/23 (a) | 170,000 | 167,535 | |||||
10,544,871 | |||||||
Information Technology 13.6% | |||||||
24 Hour Fitness Worldwide, Inc. | |||||||
2018 Term Loan B, 0.00%, (3M LIBOR + 1.75%), 03/31/23 (a) (b) | 65,000 | 64,043 | |||||
Almonde, Inc. | |||||||
1st Lien Term Loan, 6.10%, (3M LIBOR + 3.50%), 04/26/24 (a) | 164,383 | 159,954 | |||||
USD 1st Lien Term Loan, 6.10%, (3M LIBOR + 3.50%), 04/26/24 (a) | 25,367 | 24,683 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
16
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
2nd Lien Term Loan, 9.65%, (3M LIBOR + 7.25%), 04/27/25 (a) | 50,000 | 49,510 | |||||
Ancestry.com Operations Inc. | |||||||
2017 1st Lien Term Loan, 5.66%, (1M LIBOR + 3.25%), 10/19/23 (a) | 172,579 | 171,932 | |||||
AppLovin Corporation | |||||||
2018 Term Loan B, 5.90%, (3M LIBOR + 3.50%), 07/13/26 (a) | 135,445 | 135,022 | |||||
Avast Software B.V. | |||||||
2018 USD Term Loan B, 4.58%, (3M LIBOR + 2.25%), 09/30/23 (a) | 49,845 | 49,689 | |||||
Avaya, Inc. | |||||||
2018 Term Loan B, 6.65%, (3M LIBOR + 4.25%), 12/14/24 (a) | 252,313 | 240,959 | |||||
Banff Merger Sub Inc | |||||||
2018 USD Term Loan B, 6.58%, (3M LIBOR + 4.25%), 06/30/25 (a) | 216,413 | 204,577 | |||||
Blackhawk Network Holdings, Inc | |||||||
2018 1st Lien Term Loan, 5.40%, (3M LIBOR + 3.00%), 05/31/25 (a) | 113,850 | 112,878 | |||||
Brave Parent Holdings, Inc. | |||||||
1st Lien Term Loan, 6.58%, (3M LIBOR + 4.00%), 04/17/25 (a) | 49,624 | 49,097 | |||||
Cabot Microelectronics Corporation | |||||||
Term Loan B, 4.69%, (3M LIBOR + 2.25%), 11/01/25 (a) | 40,550 | 40,474 | |||||
Camelot UK Holdco Limited | |||||||
2017 Repriced Term Loan, 5.68%, (1M LIBOR + 3.25%), 10/03/23 (a) | 11,616 | 11,637 | |||||
CommScope, Inc. | |||||||
2019 Term Loan B, 5.65%, (3M LIBOR + 3.25%), 02/07/26 (a) | 97,300 | 96,911 | |||||
Cvent, Inc. | |||||||
1st Lien Term Loan, 6.15%, (3M LIBOR + 3.75%), 11/30/24 (a) | — | — | |||||
Cypress Intermediate Holdings III, Inc. | |||||||
2017 1st Lien Term Loan, 5.16%, (1M LIBOR + 2.75%), 03/30/24 (a) | 167,859 | 165,383 | |||||
Dell International LLC | |||||||
2017 Term Loan B, 4.41%, (3M LIBOR + 2.00%), 09/07/23 (a) | 417,286 | 414,958 | |||||
DigiCert, Inc. | |||||||
2017 Term Loan B1, 6.40%, (3M LIBOR + 4.00%), 09/19/24 (a) | 168,303 | 167,462 | |||||
DTI Holdco, Inc. | |||||||
2018 Term Loan B, 7.33%, (1M LIBOR + 4.75%), 09/29/23 (a) | 98,730 | 90,296 | |||||
Dynatrace LLC | |||||||
2018 1st Lien Term Loan, 5.40%, (3M LIBOR + 3.00%), 08/08/25 (a) | 81,133 | 80,909 | |||||
Entegris, Inc. | |||||||
2018 Term Loan B, 4.40%, (3M LIBOR + 2.00%), 11/05/25 (a) | 44,775 | 44,747 | |||||
Eta Australia Holdings III Pty Ltd | |||||||
Term Loan, 6.40%, (3M LIBOR + 4.00%), 03/08/26 (a) | 60,000 | 59,963 | |||||
EVO Payments International LLC | |||||||
2018 1st Lien Term Loan, 5.66%, (3M LIBOR + 3.25%), 12/22/23 (a) | 93,241 | 92,863 | |||||
Financial & Risk US Holdings, Inc. | |||||||
2018 USD Term Loan, 6.15%, (3M LIBOR + 3.75%), 09/12/25 (a) | 169,150 | 163,916 | |||||
First Data Corporation | |||||||
Term Loan, 4.40%, (1M LIBOR + 2.00%), 04/26/24 (a) | 400,000 | 399,504 | |||||
Global Tel*Link Corporation | |||||||
2018 1st Lien Term Loan, 6.65%, (1M LIBOR + 4.25%), 11/29/25 (a) | 148,670 | 141,918 | |||||
GlobalLogic Holdings Inc. | |||||||
2018 Add On 1st Lien Term Loan, 5.65%, (3M LIBOR + 3.25%), 07/27/25 (a) | 86,844 | 86,518 | |||||
Go Daddy Operating Company, LLC | |||||||
Term Loan, 4.40%, (3M LIBOR + 2.00%), 02/15/24 (a) | 126,663 | 126,631 | |||||
II-VI Incorporated | |||||||
Term Loan B, 0.00%, (3M LIBOR + 3.50%), 06/28/26 (a) (b) | 116,250 | 114,434 | |||||
Shares/Par1 | Value ($) | ||||||
Infor (US), Inc. | |||||||
Term Loan B6, 5.08%, (3M LIBOR + 2.75%), 02/07/22 (a) | 82,339 | 82,075 | |||||
IRI Holdings, Inc. | |||||||
2018 1st Lien Term Loan, 7.02%, (3M LIBOR + 4.50%), 11/06/25 (a) | 208,950 | 208,166 | |||||
Lumentum Holdings | |||||||
2018 1st Lien Term Loan, 4.90%, (3M LIBOR + 2.50%), 08/08/25 (a) | 96,515 | 95,912 | |||||
MA FinanceCo., LLC | |||||||
USD Term Loan B3, 4.90%, (3M LIBOR + 2.50%), 04/19/24 (a) | 30,907 | 30,251 | |||||
McAfee, LLC | |||||||
2018 USD Term Loan B, 6.16%, (3M LIBOR + 3.75%), 09/29/24 (a) | 18,558 | 18,520 | |||||
2018 USD Term Loan B, 6.18%, (3M LIBOR + 3.75%), 09/30/24 (a) | 176,978 | 176,619 | |||||
MH Sub I, LLC | |||||||
2017 1st Lien Term Loan, 6.15%, (3M LIBOR + 3.75%), 08/09/24 (a) | 152,019 | 149,168 | |||||
MKS Instruments, Inc. | |||||||
2018 Term Loan B5, 4.65%, (3M LIBOR + 2.25%), 01/18/26 (a) | 44,888 | 44,901 | |||||
MLN US HoldCo LLC | |||||||
2018 1st Lien Term Loan, 6.94%, (3M LIBOR + 4.50%), 07/13/25 (a) | 89,587 | 85,388 | |||||
NaviHealth, Inc. | |||||||
2018 Term Loan B, 7.41%, (3M LIBOR + 5.00%), 08/01/25 (a) (c) | 89,325 | 88,432 | |||||
NeuStar, Inc. | |||||||
2018 Term Loan B4, 5.90%, (3M LIBOR + 3.50%), 08/08/24 (a) | 197,487 | 191,069 | |||||
Nuvei Technologies Corp. | |||||||
2019 Term Loan, 0.00%, (3M LIBOR + 5.00%), 06/21/26 (a) (b) | 45,000 | 44,325 | |||||
ON Semiconductor Corporation | |||||||
2018 1st Lien Term Loan B, 4.15%, (3M LIBOR + 1.75%), 03/31/23 (a) | 80,000 | 78,822 | |||||
Presidio, Inc. | |||||||
2017 Refinanced Term Loan B, 5.15%, (3M LIBOR + 2.75%), 02/02/24 (a) | 1,524 | 1,517 | |||||
2017 Refinanced Term Loan B, 5.34%, (3M LIBOR + 2.75%), 02/02/24 (a) | 112,292 | 111,777 | |||||
PSAV Holdings LLC | |||||||
2018 1st Lien Term Loan, 5.58%, (3M LIBOR + 3.25%), 02/23/25 (a) | 3,061 | 2,971 | |||||
2018 1st Lien Term Loan, 5.66%, (3M LIBOR + 3.25%), 02/23/25 (a) | 50,065 | 48,579 | |||||
2018 1st Lien Term Loan, 5.69%, (3M LIBOR + 3.25%), 02/23/25 (a) | 49,831 | 48,351 | |||||
Rackspace Hosting, Inc. | |||||||
2017 Incremental 1st Lien Term Loan, 5.58%, (1M LIBOR + 3.00%), 11/03/23 (a) | 165,941 | 152,915 | |||||
Radiate Holdco, LLC | |||||||
1st Lien Term Loan, 5.40%, (3M LIBOR + 3.00%), 12/09/23 (a) | 202,863 | 197,930 | |||||
Rocket Software, Inc. | |||||||
2018 Term Loan, 6.65%, (3M LIBOR + 4.25%), 11/20/25 (a) | 119,700 | 116,857 | |||||
Seattle Spinco, Inc. | |||||||
USD Term Loan B3, 4.90%, (3M LIBOR + 2.50%), 04/19/24 (a) | 208,725 | 204,290 | |||||
Sirius Computer Solutions, Inc. | |||||||
Term Loan, 6.65%, (3M LIBOR + 4.25%), 10/30/22 (a) | 107,337 | 107,740 | |||||
2019 Term Loan B, 0.00%, (3M LIBOR + 4.25%), 05/22/26 (a) (b) | 90,000 | 89,737 | |||||
Sophia, L.P. | |||||||
2017 Term Loan B, 5.58%, (1M LIBOR + 3.25%), 09/30/22 (a) | 163,263 | 162,733 | |||||
SS&C Technologies Holdings Europe S.A.R.L. | |||||||
2018 Term Loan B4, 0.00%, (3M LIBOR + 2.25%), 02/27/25 (a) (b) | 12,368 | 12,312 | |||||
2018 Term Loan B4, 4.65%, (3M LIBOR + 2.25%), 02/27/25 (a) | 77,430 | 77,082 | |||||
SS&C Technologies Inc. | |||||||
2018 Term Loan B3, 0.00%, (3M LIBOR + 2.25%), 02/27/25 (a) (b) | 17,632 | 17,553 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
17
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
2018 Term Loan B3, 4.65%, (3M LIBOR + 2.25%), 02/27/25 (a) | 112,907 | 112,399 | ||||||||
SurveyMonkey Inc. | ||||||||||
2018 Term Loan B, 6.14%, (3M LIBOR + 3.75%), 10/10/25 (a) (c) | 73,333 | 73,333 | ||||||||
TriTech Software Systems | ||||||||||
2018 Term Loan B, 6.15%, (3M LIBOR + 3.75%), 08/16/25 (a) | 89,550 | 88,356 | ||||||||
Verifone Systems, Inc. | ||||||||||
2018 1st Lien Term Loan, 6.52%, (3M LIBOR + 4.00%), 08/09/25 (a) | 204,100 | 197,467 | ||||||||
Vertafore, Inc. | ||||||||||
2018 1st Lien Term Loan, 5.65%, (3M LIBOR + 3.25%), 06/04/25 (a) | 55,969 | 53,706 | ||||||||
Western Digital Corporation | ||||||||||
2018 Term Loan B4, 4.15%, (3M LIBOR + 1.75%), 04/29/23 (a) | 198,992 | 194,680 | ||||||||
WEX Inc. | ||||||||||
2017 Term Loan B2, 0.00%, 07/01/23 (a) (b) | 50,000 | 49,509 | ||||||||
Term Loan B3, 4.65%, (3M LIBOR + 2.25%), 05/17/26 (a) | 98,735 | 97,765 | ||||||||
7,074,075 | ||||||||||
Industrials 11.5% | ||||||||||
1199169 B.C. Unlimited Liability Company | ||||||||||
2019 Term Loan B2, 6.33%, (3M LIBOR + 4.00%), 01/25/26 (a) | 24,126 | 24,212 | ||||||||
Advanced Disposal Services Inc. | ||||||||||
Term Loan B3, 4.64%, (3M LIBOR + 2.25%), 11/10/23 (a) | 174,526 | 174,220 | ||||||||
AI Mistral Holdco Limited | ||||||||||
2017 Term Loan B, 5.40%, (3M LIBOR + 3.00%), 01/26/24 (a) | 113,835 | 99,179 | ||||||||
Allegiant Travel Company | ||||||||||
Term Loan B, 7.07%, (3M LIBOR + 4.50%), 01/29/24 (a) | 89,775 | 89,719 | ||||||||
Altran Technologies | ||||||||||
2018 USD Term Loan B, 4.89%, (3M LIBOR + 2.50%), 01/31/25 (a) | 59,398 | 59,287 | ||||||||
American Airlines, Inc. | ||||||||||
Repriced Term Loan B, 4.40%, (3M LIBOR + 2.00%), 04/28/23 (a) | 232,602 | 229,171 | ||||||||
Avolon TLB Borrower 1 (US) LLC | ||||||||||
Term Loan B3, 4.13%, (3M LIBOR + 1.75%), 01/15/25 (a) | 107,519 | 107,318 | ||||||||
Beacon Roofing Supply, Inc. | ||||||||||
2017 Term Loan B, 0.00%, (3M LIBOR + 2.25%), 01/02/25 (a) (b) | 60,000 | 59,220 | ||||||||
Brand Energy & Infrastructure Services, Inc. | ||||||||||
Term Loan, 6.73%, (3M LIBOR + 4.25%), 06/16/24 (a) | 76,143 | 73,510 | ||||||||
Term Loan, 6.84%, (3M LIBOR + 4.25%), 06/16/24 - 06/17/24 (a) | 49,068 | 47,371 | ||||||||
2017 Term Loan, 6.84%, (3M LIBOR + 4.25%), 06/17/24 (a) | 37,649 | 36,347 | ||||||||
BrightView Landscapes, LLC | ||||||||||
2018 1st Lien Term Loan B, 4.94%, (3M LIBOR + 2.50%), 08/09/25 - 08/15/25 (a) | 125,730 | 125,416 | ||||||||
Brookfield WEC Holdings Inc. | ||||||||||
2018 1st Lien Term Loan, 5.90%, (3M LIBOR + 3.50%), 07/26/25 (a) | 223,875 | 223,315 | ||||||||
Builders FirstSource, Inc. | ||||||||||
2017 Term Loan B, 5.33%, (3M LIBOR + 3.00%), 02/29/24 (a) | 34,102 | 33,953 | ||||||||
Cortes NP Acquisition Corporation | ||||||||||
2017 Term Loan B, 6.33%, (3M LIBOR + 4.00%), 11/30/23 (a) | 250,000 | 237,500 | ||||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||||
2018 1st Lien Term Loan, 5.40%, (3M LIBOR + 3.00%), 01/31/25 (a) | 98,791 | 95,334 | ||||||||
Dynasty Acquisition Co., Inc. | ||||||||||
2019 Term Loan B1, 6.33%, (3M LIBOR + 4.00%), 01/25/26 (a) | 44,874 | 45,034 | ||||||||
Electrical Components International, Inc. | ||||||||||
2018 1st Lien Term Loan, 6.58%, (3M LIBOR + 4.25%), 06/22/25 (a) | 81,825 | 74,460 | ||||||||
Shares/Par1 | Value ($) | |||||||||
Element Materials Technology Group US Holdings Inc. | ||||||||||
2017 USD Term Loan B, 6.15%, (1M LIBOR + 3.50%), 06/28/24 - 06/29/24 (a) | 79,196 | 78,899 | ||||||||
Engineered Machinery Holdings, Inc. | ||||||||||
USD 1st Lien Term Loan, 5.58%, (3M LIBOR + 3.25%), 07/25/24 (a) | 59,397 | 57,764 | ||||||||
EWT Holdings III Corp. | ||||||||||
Term Loan, 5.40%, (1M LIBOR + 3.00%), 12/13/24 (a) | 64,345 | 64,023 | ||||||||
Filtration Group Corporation | ||||||||||
2018 1st Lien Term Loan, 5.40%, (3M LIBOR + 3.00%), 03/27/25 (a) | 167,875 | 167,365 | ||||||||
Gardner Denver, Inc. | ||||||||||
2017 USD Term Loan B, 5.15%, (1M LIBOR + 2.75%), 07/30/24 (a) | 123,285 | 123,363 | ||||||||
Gates Global LLC | ||||||||||
2017 USD Repriced Term Loan B, 5.15%, (3M LIBOR + 2.75%), 04/01/24 (a) | 196,962 | 195,574 | ||||||||
GFL Environmental Inc. | ||||||||||
2018 USD Term Loan B, 5.40%, (3M LIBOR + 3.00%), 05/11/25 (a) | 168,347 | 165,461 | ||||||||
Hamilton Holdco, LLC | ||||||||||
2018 Term Loan B, 4.33%, (3M LIBOR + 2.00%), 06/01/25 (a) | 149,061 | 147,943 | ||||||||
Harbor Freight Tools USA, Inc. | ||||||||||
2018 Term Loan B, 4.90%, (3M LIBOR + 2.50%), 08/16/23 (a) | 168,660 | 163,995 | ||||||||
Hillman Group Inc. (The) | ||||||||||
2018 Term Loan B, 6.40%, (1M LIBOR + 4.00%), 05/16/25 (a) | 118,800 | 114,196 | ||||||||
IBC Capital Limited | ||||||||||
2018 1st Lien Term Loan, 6.15%, (3M LIBOR + 3.75%), 09/11/23 (a) | 66,880 | 66,657 | ||||||||
Janus International Group, LLC | ||||||||||
2018 1st Lien Term Loan, 5.40%, (3M LIBOR + 3.00%), 02/07/25 (a) (c) | 91,741 | 90,824 | ||||||||
L&W, Inc. | ||||||||||
2018 Term Loan B, 6.40%, (1M LIBOR + 4.00%), 05/18/25 (a) (c) | 99,000 | 96,525 | ||||||||
MX Holdings US, Inc. | ||||||||||
2018 USD Term Loan B1C, 5.40%, (3M LIBOR + 3.00%), 06/18/25 (a) | 74,249 | 74,064 | ||||||||
Navistar International Corporation | ||||||||||
2017 1st Lien Term Loan B, 5.91%, (3M LIBOR + 3.50%), 11/01/24 (a) | 130,000 | 129,553 | ||||||||
Panther BF Aggregator 2 LP | ||||||||||
USD Term Loan B, 5.90%, (3M LIBOR + 3.50%), 03/13/26 (a) | 177,300 | 175,860 | ||||||||
Pelican Products, Inc. | ||||||||||
2018 1st Lien Term Loan, 5.91%, (3M LIBOR + 3.50%), 04/18/25 (a) | 99,000 | 97,144 | ||||||||
Pike Corporation | ||||||||||
2018 Term Loan B, 5.91%, (3M LIBOR + 3.50%), 03/13/25 (a) | 91,855 | 91,905 | ||||||||
PODS, LLC | ||||||||||
2018 1st Lien Term Loan, 5.16%, (3M LIBOR + 2.75%), 11/21/24 (a) | 98,995 | 97,428 | ||||||||
Prime Security Services Borrower, LLC | ||||||||||
2016 1st Lien Term Loan, 5.15%, (3M LIBOR + 2.75%), 05/02/22 (a) | 237,312 | 235,554 | ||||||||
Rexnord LLC | ||||||||||
2017 Term Loan B, 4.40%, (3M LIBOR + 2.00%), 08/21/24 (a) | 140,000 | 139,790 | ||||||||
Robertshaw US Holding Corp | ||||||||||
2018 1st Lien Term Loan, 5.94%, (3M LIBOR + 3.50%), 02/14/25 (a) (c) | 98,750 | 90,850 | ||||||||
Sabre Industries, Inc. | ||||||||||
2019 Term Loan B, 6.89%, (3M LIBOR + 4.50%), 04/09/26 (a) (d) | 95,000 | 94,822 | ||||||||
Spectrum Holdings III Corp. | ||||||||||
1st Lien Term Loan, 5.65%, (3M LIBOR + 3.25%), 01/26/25 (a) | 89,863 | 84,695 | ||||||||
Tempo Acquisition LLC | ||||||||||
Term Loan, 5.40%, (3M LIBOR + 3.00%), 04/20/24 (a) | 193,769 | 192,841 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
18
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
Titan Acquisition Limited | ||||||||||
2018 Term Loan B, 5.40%, (3M LIBOR + 3.00%), 03/16/25 (a) | 202,524 | 193,129 | ||||||||
Trans Union, LLC | ||||||||||
Term Loan B3, 4.40%, (3M LIBOR + 2.00%), 04/09/23 (a) | 154,102 | 153,745 | ||||||||
TransDigm, Inc. | ||||||||||
2018 Term Loan G, 4.83%, (3M LIBOR + 2.50%), 08/22/24 (a) | 197,494 | 193,214 | ||||||||
2018 Term Loan E, 4.83%, (3M LIBOR + 2.50%), 05/14/25 (a) | 118,797 | 115,926 | ||||||||
USI, Inc. | ||||||||||
Term Loan, 5.33%, (3M LIBOR + 3.00%), 05/16/24 (a) | 98,242 | 95,664 | ||||||||
USIC Holdings, Inc. | ||||||||||
2017 Term Loan B, 5.40%, (3M LIBOR + 3.00%), 12/09/23 (a) | 88,849 | 88,109 | ||||||||
VC GB Holdings, Inc. | ||||||||||
2017 1st Lien Term Loan, 5.40%, (3M LIBOR + 3.00%), 02/28/24 (a) | 59,417 | 58,080 | ||||||||
West Corporation | ||||||||||
Term Loan, 6.44%, (3M LIBOR + 4.00%), 10/03/24 (a) | 112,568 | 104,876 | ||||||||
XPO Logistics, Inc. | ||||||||||
2019 Term Loan B1, 4.88%, (3M LIBOR + 2.50%), 02/24/25 (a) | 95,000 | 95,034 | ||||||||
5,969,438 | ||||||||||
Health Care 11.1% | ||||||||||
Accelerated Health Systems, LLC | ||||||||||
Term Loan B, 5.92%, (3M LIBOR + 3.50%), 11/02/25 (a) | 19,900 | 19,925 | ||||||||
ADMI Corp. | ||||||||||
2018 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 04/06/24 (a) | 149,024 | 146,490 | ||||||||
Agiliti Health, Inc | ||||||||||
Term Loan, 5.50%, (3M LIBOR + 3.00%), 10/18/25 (a) | 63,000 | 62,764 | ||||||||
Air Methods Corporation | ||||||||||
2017 Term Loan B, 5.83%, (3M LIBOR + 3.50%), 04/12/24 (a) | 34,878 | 28,178 | ||||||||
Alliance Healthcare Services, Inc. | ||||||||||
2017 Term Loan B, 6.90%, (3M LIBOR + 4.50%), 10/20/23 (a) (c) | 125,912 | 120,246 | ||||||||
Alphabet Holding Company, Inc. | ||||||||||
2017 1st Lien Term Loan, 5.90%, (3M LIBOR + 3.50%), 08/15/24 (a) | 64,345 | 60,613 | ||||||||
Amneal Pharmaceuticals LLC | ||||||||||
2018 Term Loan B, 5.94%, (3M LIBOR + 3.50%), 03/26/25 (a) | 282,372 | 279,961 | ||||||||
Athenahealth, Inc. | ||||||||||
2019 Term Loan B, 6.83%, (3M LIBOR + 4.50%), 01/25/26 (a) | 225 | 224 | ||||||||
2019 Term Loan B, 7.05%, (3M LIBOR + 4.50%), 01/25/26 (a) | 89,775 | 89,476 | ||||||||
ATI Holdings Acquisition, Inc. | ||||||||||
2016 Term Loan, 0.00%, (3M LIBOR + 3.50%), 05/10/23 (a) (b) | 40,000 | 39,383 | ||||||||
2016 Term Loan, 5.90%, (3M LIBOR + 3.50%), 05/10/23 (a) | 6,431 | 6,332 | ||||||||
Term Loan, 5.90%, (3M LIBOR + 3.50%), 05/10/23 - 05/15/23 (a) | 121,914 | 120,035 | ||||||||
Auris Luxembourg III S.a.r.l. | ||||||||||
2019 USD Term Loan B2, 6.15%, (3M LIBOR + 3.75%), 07/23/25 (a) | 150,000 | 150,075 | ||||||||
Change Healthcare Holdings LLC | ||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 02/02/24 - 02/03/24 (a) | 226,840 | 224,940 | ||||||||
CHG Healthcare Services, Inc | ||||||||||
2017 1st Lien Term Loan B, 5.44%, (3M LIBOR + 3.00%), 06/07/23 (a) | 167,638 | 166,500 | ||||||||
Concentra Inc. | ||||||||||
2018 1st Lien Term Loan, 5.21%, (3M LIBOR + 2.75%), 06/01/22 (a) | 100,619 | 100,493 | ||||||||
DaVita, Inc. | ||||||||||
Term Loan B, 5.14%, (1M LIBOR + 2.75%), 06/20/21 (a) | 167,792 | 167,478 | ||||||||
Shares/Par1 | Value ($) | |||||||||
Endo Luxembourg Finance Company I S.a r.l. | ||||||||||
2017 Term Loan B, 6.65%, (3M LIBOR + 4.25%), 04/12/24 (a) | 153,185 | 143,484 | ||||||||
Envision Healthcare Corporation | ||||||||||
2018 1st Lien Term Loan, 6.15%, (3M LIBOR + 3.75%), 09/27/25 (a) | 13,346 | 11,762 | ||||||||
Equian LLC | ||||||||||
Add on Term Loan B, 5.65%, (3M LIBOR + 3.25%), 05/20/24 (a) | 116,663 | 116,488 | ||||||||
ExamWorks Group, Inc. | ||||||||||
Term Loan, 5.65%, (1M LIBOR + 3.25%), 07/27/23 (a) | 167,853 | 167,399 | ||||||||
Gentiva Health Services, Inc. | ||||||||||
2018 1st Lien Term Loan, 6.19%, (3M LIBOR + 3.75%), 06/20/25 (a) | 140,282 | 140,282 | ||||||||
GHX Ultimate Parent Corporation | ||||||||||
2017 1st Lien Term Loan, 5.58%, (3M LIBOR + 3.25%), 06/24/24 (a) | 128,363 | 125,795 | ||||||||
Global Medical Response, Inc. | ||||||||||
2018 Term Loan B1, 5.64%, (3M LIBOR + 3.25%), 04/28/22 (a) | 102,743 | 96,597 | ||||||||
Jaguar Holding Company II | ||||||||||
Term Loan, 4.90%, (3M LIBOR + 2.50%), 08/18/22 (a) | 127,255 | 126,446 | ||||||||
Kindred Healthcare LLC | ||||||||||
2018 1st Lien Term Loan, 7.44%, (3M LIBOR + 5.00%), 06/21/25 (a) | 94,288 | 92,873 | ||||||||
Kinetic Concepts, Inc. | ||||||||||
2017 USD Term Loan B, 5.58%, (3M LIBOR + 3.25%), 01/30/24 (a) | 58,844 | 58,832 | ||||||||
MPH Acquisition Holdings LLC | ||||||||||
2016 Term Loan B, 5.08%, (3M LIBOR + 2.75%), 06/07/23 (a) | 284,916 | 271,992 | ||||||||
National Mentor Holdings, Inc. | ||||||||||
2019 Term Loan B, 6.66%, (3M LIBOR + 4.25%), 03/09/26 (a) | 115,417 | 115,754 | ||||||||
2019 Term Loan C, 6.66%, (3M LIBOR + 4.25%), 03/09/26 (a) | 7,187 | 7,208 | ||||||||
Ortho-Clinical Diagnostics SA | ||||||||||
2018 Term Loan B, 5.68%, (3M LIBOR + 3.25%), 06/01/25 (a) | 183,764 | 176,492 | ||||||||
Parexel International Corporation | ||||||||||
Term Loan B, 5.15%, (3M LIBOR + 2.75%), 08/06/24 (a) | 187,682 | 179,538 | ||||||||
Phoenix Guarantor Inc | ||||||||||
Term Loan B, 6.92%, (3M LIBOR + 4.50%), 02/12/26 (a) | 137,222 | 136,502 | ||||||||
Prestige Brands, Inc. | ||||||||||
Term Loan B4, 0.00%, (3M LIBOR + 2.00%), 01/20/24 (a) (b) | 35,000 | 34,807 | ||||||||
Term Loan B4, 4.40%, (3M LIBOR + 2.00%), 01/20/24 (a) | 88,643 | 88,155 | ||||||||
Prospect Medical Holdings, Inc. | ||||||||||
2018 Term Loan B, 7.94%, (3M LIBOR + 5.50%), 02/12/24 (a) | 71,364 | 67,141 | ||||||||
Radiology Partners Holdings, LLC | ||||||||||
2018 1st Lien Term Loan B, 0.00%, (3M LIBOR + 4.75%), 06/28/25 (a) (b) | 10,000 | 9,969 | ||||||||
2018 1st Lien Term Loan B, 7.34%, (3M LIBOR + 4.75%), 06/28/25 (a) | 46,590 | 46,445 | ||||||||
2018 1st Lien Term Loan B, 7.39%, (3M LIBOR + 4.75%), 06/28/25 (a) | 30,622 | 30,527 | ||||||||
RadNet, Inc. | ||||||||||
Reprice Term Loan, 6.11%, (3M LIBOR + 3.50%), 06/30/23 (a) | 70,252 | 70,252 | ||||||||
Reprice Term Loan, 8.00%, (3M PRIME + 2.50%), 06/30/23 (a) | 1,018 | 1,018 | ||||||||
RegionalCare Hospital Partners Holdings, Inc. | ||||||||||
2018 Term Loan B, 6.90%, (3M LIBOR + 4.50%), 11/09/25 (a) | 165,748 | 164,652 | ||||||||
2018 Term Loan B, 9.00%, (3M LIBOR + 4.50%), 11/09/25 (a) | 418 | 415 | ||||||||
Select Medical Corporation | ||||||||||
2017 Term Loan B, 4.85%, (3M LIBOR + 2.50%), 03/06/25 (a) | 153,852 | 152,988 | ||||||||
Sound Inpatient Physicians | ||||||||||
2018 1st Lien Term Loan, 5.15%, (3M LIBOR + 2.75%), 06/19/25 (a) | 136,125 | 135,785 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
19
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||||||||
Surgery Center Holdings, Inc. | |||||||||||||
2017 Term Loan B, 5.66%, (3M LIBOR + 3.25%), 06/18/24 (a) | 167,864 | 161,709 | |||||||||||
Team Health Holdings, Inc. | |||||||||||||
1st Lien Term Loan, 5.15%, (3M LIBOR + 2.75%), 01/12/24 (a) | 187,624 | 165,813 | |||||||||||
Tivity Health Inc | |||||||||||||
Term Loan A, 6.65%, (3M LIBOR + 4.25%), 03/08/24 (a) | 26,250 | 26,053 | |||||||||||
Term Loan B, 7.65%, (3M LIBOR + 5.25%), 03/08/26 (a) | 28,690 | 28,654 | |||||||||||
U.S. Anesthesia Partners, Inc. | |||||||||||||
2017 Term Loan, 0.00%, (3M LIBOR + 3.00%), 06/16/24 (a) (b) | 50,000 | 48,875 | |||||||||||
Term Loan, 5.40%, (3M LIBOR + 3.00%), 06/16/24 (a) | 148,235 | 144,900 | |||||||||||
U.S. Renal Care, Inc. | |||||||||||||
2019 Term Loan B, 0.00%, (3M LIBOR + 5.00%), 06/11/26 (a) (b) | 60,000 | 58,810 | |||||||||||
Valeant Pharmaceuticals International, Inc. | |||||||||||||
2018 Term Loan B, 5.41%, (3M LIBOR + 3.00%), 05/19/25 (a) | 234,649 | 234,504 | |||||||||||
Verscend Holding Corp. | |||||||||||||
2018 Term Loan B, 6.90%, (3M LIBOR + 4.50%), 08/08/25 (a) | 188,575 | 188,458 | |||||||||||
Vizient, Inc. | |||||||||||||
2019 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 04/17/26 (a) | 39,900 | 39,829 | |||||||||||
Wellpath Holdings, Inc. | |||||||||||||
2018 1st Lien Term Loan, 7.90%, (3M LIBOR + 5.50%), 09/25/25 (a) | 99,500 | 97,759 | |||||||||||
5,748,075 | |||||||||||||
Financials 10.7% | |||||||||||||
Acrisure, LLC | |||||||||||||
2017 Term Loan B, 6.77%, (3M LIBOR + 4.25%), 11/22/23 (a) | 242,725 | 241,310 | |||||||||||
Advisor Group, Inc. | |||||||||||||
2018 Term Loan, 6.15%, (3M LIBOR + 3.75%), 08/13/25 (a) | 109,175 | 109,039 | |||||||||||
AlixPartners, LLP | |||||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 03/28/24 (a) | 101,607 | 101,255 | |||||||||||
Alliant Holdings Intermediate, LLC | |||||||||||||
2018 Term Loan B, 5.40%, (3M LIBOR + 3.00%), 05/07/25 (a) | 118,651 | 115,104 | |||||||||||
Altice Financing SA | |||||||||||||
2017 USD Term Loan B, 5.14%, (3M LIBOR + 2.75%), 07/31/25 (a) | 104,203 | 98,634 | |||||||||||
Altice France S.A. | |||||||||||||
2018 Term Loan B13, 6.39%, (3M LIBOR + 4.00%), 07/13/26 (a) | 228,850 | 223,701 | |||||||||||
AmWINS Group, Inc. | |||||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 01/19/24 (a) | 76,137 | 75,534 | |||||||||||
2017 Term Loan B, 5.17%, (3M LIBOR + 2.75%), 01/19/24 (a) | 22,597 | 22,418 | |||||||||||
Aretec Group, Inc. | |||||||||||||
2018 Term Loan, 6.65%, (3M LIBOR + 4.25%), 08/15/25 (a) | 83,580 | 81,386 | |||||||||||
AssuredPartners, Inc. | |||||||||||||
2017 1st Lien Add-On Term Loan, 5.90%, (3M LIBOR + 3.50%), 10/22/24 (a) | 192,422 | 190,257 | |||||||||||
Asurion LLC | |||||||||||||
2017 Term Loan B4, 5.40%, (3M LIBOR + 3.00%), 08/04/22 (a) | 177,526 | 177,018 | |||||||||||
BCP Renaissance Parent LLC | |||||||||||||
2017 Term Loan B, 6.08%, (3M LIBOR + 3.50%), 09/20/24 (a) | 198,000 | 197,293 | |||||||||||
Belron Finance US LLC | |||||||||||||
2018 Term Loan B, 5.04%, (3M LIBOR + 2.50%), 11/19/25 (a) | 94,763 | 94,644 | |||||||||||
Blackstone CQP Holdco LP | |||||||||||||
Term Loan B, 5.89%, (3M LIBOR + 3.50%), 05/29/24 (a) | 24,599 | 24,624 | |||||||||||
Canyon Valor Companies, Inc. | |||||||||||||
USD 2017 Term Loan B1, 5.08%, (3M LIBOR + 2.75%), 06/30/23 (a) | 78,351 | 77,802 | |||||||||||
Shares/Par1 | Value ($) | ||||||||||||
Crown Finance US, Inc. | |||||||||||||
Term Loan, 4.65%, (3M LIBOR + 2.25%), 02/05/25 (a) | 207,919 | 204,345 | |||||||||||
Deerfield Dakota Holding, LLC | |||||||||||||
2018 Term Loan B, 5.65%, (1M LIBOR + 3.25%), 12/04/24 (a) | 88,974 | 86,098 | |||||||||||
Edelman Financial Center, LLC | |||||||||||||
2018 1st Lien Term Loan, 5.64%, (3M LIBOR + 3.25%), 06/26/25 (a) | 92,038 | 91,659 | |||||||||||
Encapsys, LLC | |||||||||||||
1st Lien Term Loan, 5.65%, (3M LIBOR + 3.25%), 10/27/24 (a) | 48,586 | 48,323 | |||||||||||
Garrett LX III S.a r.l. | |||||||||||||
2018 USD Term Loan B, 4.82%, (3M LIBOR + 2.50%), 09/22/25 (a) | 124,437 | 122,103 | |||||||||||
Hub International Limited | |||||||||||||
2018 Term Loan B, 5.59%, (3M LIBOR + 3.00%), 04/25/25 (a) | 108,627 | 105,824 | |||||||||||
Ineos US Finance LLC | |||||||||||||
2017 USD Term Loan B, 4.40%, (3M LIBOR + 2.00%), 03/31/24 (a) | 167,870 | 165,486 | |||||||||||
ION Trading Technologies S.a.r.l. | |||||||||||||
USD Incremental Term Loan B, 6.33%, (1M LIBOR + 4.00%), 11/21/24 (a) | 125,964 | 121,848 | |||||||||||
iStar, Inc. | |||||||||||||
2016 Term Loan B, 5.13%, (3M LIBOR + 2.75%), 06/30/20 (a) | 75,000 | 74,812 | |||||||||||
2016 Term Loan B, 5.17%, (3M LIBOR + 2.75%), 06/30/20 (a) | 73,875 | 73,690 | |||||||||||
Jane Street Group, LLC | |||||||||||||
2018 Term Loan B, 5.40%, (3M LIBOR + 3.00%), 08/25/22 (a) | 146,991 | 145,950 | |||||||||||
Level 3 Financing Inc. | |||||||||||||
2017 Term Loan B, 4.65%, (3M LIBOR + 2.25%), 02/16/24 (a) | 340,000 | 337,110 | |||||||||||
LPL Holdings, Inc. | |||||||||||||
2017 1st Lien Term Loan B, 4.65%, (3M LIBOR + 2.25%), 09/23/24 (a) | 168,291 | 167,713 | |||||||||||
NAB Holdings LLC | |||||||||||||
Term Loan, 5.33%, (3M LIBOR + 3.00%), 01/15/25 (a) | 59,398 | 58,557 | |||||||||||
NFP Corp. | |||||||||||||
Term Loan B, 5.40%, (3M LIBOR + 3.00%), 01/06/24 (a) | 167,848 | 162,996 | |||||||||||
PMHC II, Inc. | |||||||||||||
2018 1st Lien Term Loan, 5.90%, (3M LIBOR + 3.50%), 03/20/25 (a) | 19,216 | 17,422 | |||||||||||
2018 1st Lien Term Loan, 6.41%, (3M LIBOR + 3.50%), 03/20/25 (a) | 14,600 | 13,237 | |||||||||||
Sedgwick Claims Management Services, Inc. | |||||||||||||
2018 Term Loan B, 5.65%, (3M LIBOR + 3.25%), 11/06/25 (a) | 208,950 | 205,778 | |||||||||||
SolarWinds Holdings, Inc. | |||||||||||||
2018 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 02/06/24 (a) | 167,870 | 166,936 | |||||||||||
Solera, LLC | |||||||||||||
USD Term Loan B, 5.15%, (3M LIBOR + 2.75%), 03/03/23 (a) | 168,261 | 166,947 | |||||||||||
Telenet Financing USD LLC | |||||||||||||
USD Term Loan AN, 4.64%, (3M LIBOR + 2.25%), 08/31/26 (a) | 170,000 | 168,057 | |||||||||||
TKC Holdings, Inc. | |||||||||||||
2017 1st Lien Term Loan, 6.16%, (3M LIBOR + 3.75%), 02/08/23 (a) | 96,095 | 93,963 | |||||||||||
Travelport Finance (Luxembourg) S.a.r.l. | |||||||||||||
2019 Term Loan, 7.54%, (3M LIBOR + 5.00%), 03/18/26 (a) | 90,000 | 84,473 | |||||||||||
UFC Holdings, LLC | |||||||||||||
2019 Term Loan, 5.66%, (3M LIBOR + 3.25%), 04/25/26 (a) | 128,123 | 127,779 | |||||||||||
Unitymedia Finance LLC | |||||||||||||
2018 Term Loan E, 4.39%, (3M LIBOR + 2.00%), 05/24/23 (a) | 100,000 | 99,716 | |||||||||||
Term Loan B, 4.64%, (3M LIBOR + 2.25%), 09/30/25 (a) | 85,000 | 84,717 | |||||||||||
UPC Financing Partnership | |||||||||||||
USD Term Loan AR, 4.89%, (3M LIBOR + 2.50%), 01/15/26 (a) | 170,000 | 169,753 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
20
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||||
Ventia Deco LLC | ||||||||||||
2019 Term Loan, 0.00%, 05/21/26 (a) (b) | 47,500 | 47,411 | ||||||||||
Veritas Bermuda Ltd. | ||||||||||||
USD Repriced Term Loan B, 6.94%, (3M LIBOR + 4.50%), 01/27/23 (a) | 38,626 | 35,077 | ||||||||||
USD Repriced Term Loan B, 7.10%, (3M LIBOR + 4.50%), 01/27/23 (a) | 10,868 | 9,870 | ||||||||||
VFH Parent LLC | ||||||||||||
2019 Term Loan B, 6.04%, (3M LIBOR + 3.50%), 03/02/26 (a) | 145,000 | 145,181 | ||||||||||
Victory Capital Holdings, Inc. | ||||||||||||
2019 Term Loan B, 0.00%, (3M LIBOR + 3.25%), 05/30/26 (a) (b) | 90,000 | 90,038 | ||||||||||
5,522,888 | ||||||||||||
Materials 9.8% | ||||||||||||
American Builders & Contractors Supply Co., Inc. | ||||||||||||
2018 Term Loan B, 4.40%, (3M LIBOR + 2.00%), 10/31/23 (a) | 178,231 | 175,483 | ||||||||||
Avantor, Inc. | ||||||||||||
2017 1st Lien Term Loan, 5.40%, (3M LIBOR + 3.00%), 09/22/24 (a) | 76,478 | 76,764 | ||||||||||
Ball Metalpack, LLC | ||||||||||||
2018 1st Lien Term Loan B, 7.02%, (3M LIBOR + 4.50%), 07/25/25 (a) | 99,250 | 97,637 | ||||||||||
Berry Global, Inc. | ||||||||||||
2018 Term Loan S, 4.16%, (3M LIBOR + 1.75%), 02/02/20 (a) | 73,125 | 73,020 | ||||||||||
USD Term Loan U, 0.00%, (3M LIBOR + 2.50%), 05/17/26 (a) (b) | 54,094 | 53,694 | ||||||||||
BWAY Holding Company | ||||||||||||
2017 Term Loan B, 5.85%, (3M LIBOR + 3.25%), 04/03/24 (a) | 211,461 | 203,971 | ||||||||||
Charter NEX US, Inc. | ||||||||||||
Incremental Term Loan, 5.90%, (3M LIBOR + 3.50%), 05/16/24 (a) | 69,667 | 69,353 | ||||||||||
Composite Resins Holding B.V. | ||||||||||||
2018 Term Loan B, 6.82%, (3M LIBOR + 4.25%), 06/27/25 (a) (c) | 64,512 | 63,705 | ||||||||||
Consolidated Container Company LLC | ||||||||||||
2017 1st Lien Term Loan, 5.15%, (1M LIBOR + 2.75%), 05/10/24 - 05/22/24 (a) | 128,371 | 126,093 | ||||||||||
Emerald Performance Materials, LLC | ||||||||||||
New 1st Lien Term Loan, 5.90%, (1M LIBOR + 3.50%), 07/23/21 (a) | 49,413 | 49,187 | ||||||||||
Ferro Corporation | ||||||||||||
2018 USD Term Loan B1, 4.58%, (3M LIBOR + 2.25%), 02/14/24 (a) | 59,848 | 59,325 | ||||||||||
2018 USD Term Loan B2, 4.58%, (3M LIBOR + 2.25%), 02/14/24 (a) | 47,832 | 47,414 | ||||||||||
2018 USD Term Loan B3, 4.58%, (3M LIBOR + 2.25%), 02/14/24 (a) | 46,815 | 46,405 | ||||||||||
Flex Acquisition Company, Inc. | ||||||||||||
1st Lien Term Loan, 5.44%, (3M LIBOR + 3.00%), 12/15/23 (a) | 166,821 | 158,271 | ||||||||||
Gemini HDPE LLC | ||||||||||||
Term Loan B, 0.00%, (3M LIBOR + 2.50%), 08/04/24 (a) (b) | 100,000 | 99,625 | ||||||||||
GYP Holdings III Corp. | ||||||||||||
2018 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 05/15/25 (a) | 128,962 | 125,442 | ||||||||||
Hexion Inc | ||||||||||||
DIP Term Loan, 5.35%, (3M LIBOR + 2.75%), 10/01/20 (a) | 106,000 | 105,934 | ||||||||||
USD Exit Term Loan, 0.00%, (3M LIBOR + 3.50%), 06/27/26 (a) (b) | 126,587 | 126,429 | ||||||||||
Houghton International, Inc. | ||||||||||||
USD Term Loan B, 0.00%, (1M LIBOR + 3.25%), 12/13/19 (a) (b) | 50,000 | 49,875 | ||||||||||
USD Term Loan B, 5.65%, (1M LIBOR + 3.25%), 12/13/19 (a) | 59,365 | 59,217 | ||||||||||
Invictus U.S., LLC | ||||||||||||
1st Lien Term Loan, 5.52%, (3M LIBOR + 3.00%), 02/14/25 (a) | 21,190 | 20,951 | ||||||||||
Klockner-Pentaplast of America, Inc. | ||||||||||||
USD 2017 Term Loan B2, 6.65%, (3M LIBOR + 4.25%), 06/30/22 (a) | 197,487 | 174,480 | ||||||||||
Shares/Par1 | Value ($) | |||||||||||
Kraton Polymers, LLC | ||||||||||||
Term Loan, 4.90%, (3M LIBOR + 2.50%), 03/03/25 (a) | 148,513 | 147,919 | ||||||||||
LTI Holdings, Inc. | ||||||||||||
2018 Add On 1st Lien Term Loan, 5.90%, (3M LIBOR + 3.50%), 08/15/25 (a) | 119,100 | 112,476 | ||||||||||
Messer Industries GmbH | ||||||||||||
2018 USD Term Loan, 4.83%, (3M LIBOR + 2.50%), 10/10/25 (a) | 121,000 | 119,261 | ||||||||||
Momentive Performance Materials Inc. | ||||||||||||
Term Loan B, 5.59%, (3M LIBOR + 3.25%), 04/18/24 (a) | 76,000 | 75,240 | ||||||||||
OCI Beaumont LLC | ||||||||||||
Term Loan, 6.33%, (3M LIBOR + 4.00%), 02/14/25 (a) (c) | 49,499 | 49,437 | ||||||||||
Onex TSG Intermediate Corp. | ||||||||||||
1st Lien Term Loan, 6.40%, (3M LIBOR + 4.00%), 07/31/22 (a) | 50,000 | 49,750 | ||||||||||
Perstorp Holding AB | ||||||||||||
USD Term Loan B, 7.27%, (3M LIBOR + 4.75%), 04/03/26 (a) | 94,763 | 92,867 | ||||||||||
Platform Specialty Products Corporation | ||||||||||||
Term Loan, 4.65%, (3M LIBOR + 2.25%), 11/14/25 (a) | 79,600 | 79,277 | ||||||||||
PMHC II, Inc. | ||||||||||||
2018 1st Lien Term Loan, 0.00%, (3M LIBOR + 3.50%), 03/20/25 (a) (b) | 40,000 | 36,267 | ||||||||||
2018 1st Lien Term Loan, 6.15%, (3M LIBOR + 3.50%), 03/20/25 (a) | 15,684 | 14,220 | ||||||||||
Polar US Borrower, LLC | ||||||||||||
2018 1st Lien Term Loan, 7.08%, (3M LIBOR + 4.75%), 08/21/25 (a) | 4,657 | 4,593 | ||||||||||
2018 1st Lien Term Loan, 7.35%, (3M LIBOR + 4.75%), 08/21/25 (a) | 174,669 | 172,267 | ||||||||||
Polymer Additives, Inc. | ||||||||||||
2018 1st Lien Term Loan, 8.40%, (3M LIBOR + 6.00%), 07/25/25 (a) | 99,500 | 94,525 | ||||||||||
PQ Corporation | ||||||||||||
2018 Term Loan B, 5.08%, (3M LIBOR + 2.50%), 02/08/25 (a) | 155,697 | 154,896 | ||||||||||
Pro Mach Group, Inc. | ||||||||||||
2018 Term Loan B, 5.14%, (3M LIBOR + 2.75%), 03/07/25 (a) | 128,700 | 123,767 | ||||||||||
Proampac PG Borrower LLC | ||||||||||||
2016 1st Lien Term Loan, 5.88%, (3M LIBOR + 3.50%), 11/18/23 (a) | 75,281 | 72,129 | ||||||||||
2016 1st Lien Term Loan, 6.02%, (3M LIBOR + 3.50%), 11/18/23 (a) | 45,389 | 43,489 | ||||||||||
2016 1st Lien Term Loan, 6.07%, (3M LIBOR + 3.50%), 11/18/23 (a) | 52,123 | 49,941 | ||||||||||
2016 1st Lien Term Loan, 6.08%, (3M LIBOR + 3.50%), 11/18/23 (a) | 34,116 | 32,688 | ||||||||||
2016 1st Lien Term Loan, 8.00%, (3M LIBOR + 3.50%), 11/18/23 (a) | 532 | 510 | ||||||||||
Quikrete Holdings, Inc. | ||||||||||||
2016 1st Lien Term Loan, 5.15%, (3M LIBOR + 2.75%), 11/03/23 (a) | 205,000 | 201,185 | ||||||||||
Reynolds Group Holdings Inc. | ||||||||||||
Term Loan, 5.15%, (3M LIBOR + 2.75%), 02/05/23 (a) | 130,783 | 129,696 | ||||||||||
Solenis Holdings LLC | ||||||||||||
2018 1st Lien Term Loan, 6.52%, (3M LIBOR + 4.00%), 06/26/25 (a) | 61,875 | 61,024 | ||||||||||
2018 1st Lien Term Loan, 6.40%, (3M LIBOR + 4.00%), 12/18/25 (a) | 156 | 154 | ||||||||||
Starfruit Finco B.V | ||||||||||||
2018 USD Term Loan B, 5.67%, (3M LIBOR + 3.25%), 09/20/25 (a) | 192,000 | 188,721 | ||||||||||
TricorBraun Holdings, Inc. | ||||||||||||
2016 1st Lien Term Loan, 6.14%, (3M LIBOR + 3.75%), 11/29/23 (a) | 17,462 | 17,161 | ||||||||||
2016 1st Lien Term Loan, 6.35%, (3M LIBOR + 3.75%), 11/29/23 (a) | 196,327 | 192,941 | ||||||||||
Trident TPI Holdings, Inc. | ||||||||||||
2017 USD Term Loan B1, 5.65%, (3M LIBOR + 3.25%), 10/05/24 (a) | 49,373 | 46,627 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
21
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||||
Trinseo Materials Operating S.C.A. | ||||||||||||
Term Loan, 4.40%, (3M LIBOR + 2.00%), 09/06/24 (a) | 98,744 | 97,551 | ||||||||||
Tronox Finance LLC | ||||||||||||
Term Loan B, 5.44%, (3M LIBOR + 3.00%), 09/11/24 (a) | 187,315 | 185,275 | ||||||||||
Univar Inc. | ||||||||||||
2017 USD Term Loan B, 4.65%, (3M LIBOR + 2.25%), 07/01/24 (a) | 198,632 | 197,949 | ||||||||||
Wilsonart LLC | ||||||||||||
2017 Term Loan B, 5.58%, (3M LIBOR + 3.25%), 12/19/23 (a) | 158,135 | 154,221 | ||||||||||
5,060,299 | ||||||||||||
Communication Services 6.7% | ||||||||||||
AMC Entertainment Holdings, Inc. | ||||||||||||
2019 Term Loan B, 5.23%, (3M LIBOR + 3.00%), 04/22/26 (a) | 167,858 | 167,354 | ||||||||||
CenturyLink, Inc. | ||||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 01/15/25 (a) | 168,570 | 164,450 | ||||||||||
Cincinnati Bell, Inc. | ||||||||||||
Term Loan, 5.65%, (3M LIBOR + 3.25%), 10/02/24 (a) | 99,250 | 98,485 | ||||||||||
Cogeco Communications (USA) II L.P. | ||||||||||||
2017 1st Lien Term Loan, 4.65%, (1M LIBOR + 2.25%), 08/11/24 (a) | 198,000 | 195,913 | ||||||||||
Consolidated Communications, Inc. | ||||||||||||
2016 Term Loan B, 5.41%, (1M LIBOR + 3.00%), 09/29/23 (a) | 173,167 | 165,347 | ||||||||||
Entercom Media Corp. | ||||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 11/18/24 (a) | 139,789 | 139,498 | ||||||||||
Frontier Communications Corp. | ||||||||||||
2017 Term Loan B1, 6.16%, (3M LIBOR + 3.75%), 05/31/24 (a) | 84,017 | 82,267 | ||||||||||
GoodRx, Inc. | ||||||||||||
1st Lien Term Loan, 0.00%, (3M LIBOR + 2.75%), 09/28/25 (a) (b) | 30,000 | 29,728 | ||||||||||
1st Lien Term Loan, 5.14%, (3M LIBOR + 2.75%), 10/10/25 (a) | 98,399 | 97,508 | ||||||||||
Gray Television, Inc. | ||||||||||||
2018 Term Loan C, 0.00%, (3M LIBOR + 2.50%), 10/30/25 (a) (b) | 60,000 | 59,910 | ||||||||||
2018 Term Loan C, 4.93%, (3M LIBOR + 2.50%), 10/30/25 (a) | 94,650 | 94,508 | ||||||||||
Hargray Communications Group, Inc. | ||||||||||||
2017 Term Loan B, 0.00%, (3M LIBOR + 2.75%), 03/23/24 (a) (b) | 60,000 | 59,588 | ||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 03/23/24 (a) | 49,873 | 49,530 | ||||||||||
iHeartCommunications, Inc. | ||||||||||||
Exit Term Loan, 6.58%, (3M LIBOR + 4.00%), 05/04/26 (a) | 19,726 | 19,745 | ||||||||||
Intelsat Jackson Holdings S.A. | ||||||||||||
2017 Term Loan B3, 6.15%, (3M LIBOR + 3.75%), 11/27/23 (a) | 105,000 | 103,819 | ||||||||||
Maxar Technologies Ltd. | ||||||||||||
Term Loan B, 5.16%, (3M LIBOR + 2.75%), 07/07/24 (a) | 142,873 | 128,764 | ||||||||||
MTN Infrastructure TopCo Inc | ||||||||||||
1st Lien Term Loan B, 5.40%, (3M LIBOR + 3.00%), 10/27/24 (a) | 99,249 | 98,504 | ||||||||||
1st Lien Term Loan B, 0.00%, (3M LIBOR + 3.00%), 11/17/24 (a) (b) | 55,000 | 54,587 | ||||||||||
Nexstar Broadcasting, Inc. | ||||||||||||
2019 Term Loan B4, 0.00%, (3M LIBOR + 2.75%), 06/13/26 (a) (b) | 141,741 | 141,210 | ||||||||||
SBA Senior Finance II LLC | ||||||||||||
2018 Term Loan B, 4.41%, (3M LIBOR + 2.00%), 03/26/25 (a) | 174,559 | 172,238 | ||||||||||
Securus Technologies Holdings, Inc. | ||||||||||||
2017 1st Lien Term Loan, 6.83%, (3M LIBOR + 4.50%), 06/20/24 (a) | 100,039 | 92,453 | ||||||||||
Sprint Communications, Inc. | ||||||||||||
1st Lien Term Loan B, 4.94%, (3M LIBOR + 2.50%), 02/01/24 (a) | 335,707 | 330,252 | ||||||||||
2018 Term Loan B, 5.50%, (3M LIBOR + 3.00%), 02/05/24 (a) | 69,650 | 68,932 | ||||||||||
Shares/Par1 | Value ($) | |||||||||||
Telesat Canada | ||||||||||||
Term Loan B4, 4.83%, (3M LIBOR + 2.50%), 11/17/23 (a) | 186,881 | 184,623 | ||||||||||
Tribune Media Company | ||||||||||||
Term Loan C, 5.40%, (3M LIBOR + 3.00%), 01/20/24 (a) | 125,000 | 124,714 | ||||||||||
Vestcom Parent Holdings, Inc. | ||||||||||||
2016 1st Lien Term Loan, 6.40%, (3M LIBOR + 4.00%), 12/15/23 (a) (c) (d) | 73,395 | 69,726 | ||||||||||
2016 1st Lien Term Loan, 8.50%, (3M PRIME + 3.00%), 12/16/23 (a) (c) (d) | 13 | 12 | ||||||||||
Virgin Media Bristol LLC | ||||||||||||
USD Term Loan K, 4.89%, (3M LIBOR + 2.50%), 02/10/26 (a) | 210,000 | 209,091 | ||||||||||
Windstream Holdings Inc. | ||||||||||||
DIP Term Loan, 4.90%, (3M LIBOR + 2.50%), 03/08/21 (a) | 55,000 | 55,000 | ||||||||||
Ziggo Secured Finance Partnership | ||||||||||||
USD Term Loan E, 4.89%, (3M LIBOR + 2.50%), 04/15/25 (a) | 200,000 | 195,772 | ||||||||||
3,453,528 | ||||||||||||
Consumer Staples 4.9% | ||||||||||||
8th Avenue Food & Provisions, Inc. | ||||||||||||
2018 1st Lien Term Loan, 6.17%, (3M LIBOR + 3.75%), 09/19/25 (a) | 69,650 | 69,585 | ||||||||||
Albertsons, LLC | ||||||||||||
USD 2017 Term Loan B6, 5.40%, (3M LIBOR + 3.00%), 06/22/23 (a) | 158,384 | 158,146 | ||||||||||
American Seafoods Group LLC | ||||||||||||
2017 1st Lien Term Loan, 5.16%, (3M LIBOR + 2.75%), 07/27/23 (a) | 1,494 | 1,487 | ||||||||||
2017 1st Lien Term Loan, 5.18%, (3M LIBOR + 2.75%), 07/27/23 (a) | 97,465 | 97,039 | ||||||||||
BJ's Wholesale Club, Inc. | ||||||||||||
2017 1st Lien Term Loan, 5.16%, (3M LIBOR + 2.75%), 01/26/24 (a) | 255,620 | 255,646 | ||||||||||
CHG PPC Parent LLC | ||||||||||||
2018 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 03/16/25 (a) | 99,748 | 98,813 | ||||||||||
Coty Inc. | ||||||||||||
2018 USD Term Loan B, 4.67%, (3M LIBOR + 2.25%), 03/29/25 (a) | 168,300 | 164,092 | ||||||||||
Del Monte Foods, Inc. | ||||||||||||
1st Lien Term Loan, 5.77%, (6M LIBOR + 3.25%), 01/26/21 (a) | 34,543 | 24,257 | ||||||||||
1st Lien Term Loan, 7.75%, (6M PRIME + 2.25%), 01/26/21 (a) | 91 | 64 | ||||||||||
Diamond (BC) B.V. | ||||||||||||
Term Loan, 5.58%, (1M LIBOR + 3.00%), 07/24/24 (a) | 84,146 | 73,838 | ||||||||||
Dole Food Company Inc. | ||||||||||||
2017 Term Loan B, 5.15%, (1M LIBOR + 2.75%), 03/22/24 (a) | 52,330 | 51,038 | ||||||||||
2017 Term Loan B, 5.19%, (1M LIBOR + 2.75%), 03/22/24 (a) | 52,330 | 51,038 | ||||||||||
2017 Term Loan B, 5.29%, (1M LIBOR + 2.75%), 03/22/24 (a) | 52,766 | 51,463 | ||||||||||
2017 Term Loan B, 7.25%, (1M PRIME + 1.75%), 03/22/24 (a) | 76 | 74 | ||||||||||
Hearthside Food Solutions, LLC | ||||||||||||
2018 Term Loan B, 0.00%, (3M LIBOR + 3.69%), 05/17/25 (a) (b) | 30,000 | 29,255 | ||||||||||
2018 Term Loan B, 6.09%, (3M LIBOR + 3.69%), 05/17/25 (a) | 168,300 | 164,123 | ||||||||||
Hostess Brands, LLC | ||||||||||||
Term Loan, 4.69%, (3M LIBOR + 2.25%), 08/03/23 (a) | 50,951 | 50,579 | ||||||||||
2017 Repriced Term Loan, 4.83%, (3M LIBOR + 2.25%), 08/03/23 (a) | 73,733 | 73,195 | ||||||||||
JBS USA Lux S.A. | ||||||||||||
2019 Term Loan B, 4.90%, (3M LIBOR + 2.50%), 04/27/26 (a) | 156,448 | 156,057 | ||||||||||
Portillo's Holdings, LLC | ||||||||||||
1st Lien Term Loan, 6.83%, (3M LIBOR + 4.50%), 08/01/21 (a) | 88,629 | 88,518 | ||||||||||
Post Holdings Inc. | ||||||||||||
2017 Series A Incremental Term Loan, 4.40%, (3M LIBOR + 2.00%), 05/24/24 (a) | 129,973 | 129,250 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
22
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||||
Sigma Bidco B.V. | ||||||||||||
2018 USD Term Loan B2, 5.60%, (3M LIBOR + 3.00%), 03/07/25 (a) | 99,250 | 97,927 | ||||||||||
United Natural Foods, Inc. | ||||||||||||
Term Loan B, 6.65%, (3M LIBOR + 4.25%), 10/22/25 (a) | 183,080 | 152,963 | ||||||||||
US Foods, Inc. | ||||||||||||
2016 Term Loan B, 4.40%, (3M LIBOR + 2.00%), 06/27/23 (a) | 217,709 | 216,052 | ||||||||||
UTZ Quality Foods, LLC | ||||||||||||
1st Lien Term Loan, 5.90%, (3M LIBOR + 3.50%), 11/14/24 (a) | 129,220 | 127,766 | ||||||||||
Verra Mobility Corporation | ||||||||||||
2018 1st Lien Term Loan, 6.15%, (3M LIBOR + 3.75%), 02/23/25 (a) | 136,338 | 136,622 | ||||||||||
2,518,887 | ||||||||||||
Energy 2.1% | ||||||||||||
Arctic LNG Carriers Ltd | ||||||||||||
Term Loan, 6.83%, (3M LIBOR + 4.50%), 04/21/23 (a) (c) | 89,269 | 87,483 | ||||||||||
EG America LLC | ||||||||||||
2018 USD Term Loan, 6.33%, (3M LIBOR + 4.00%), 06/30/25 (a) | 23,188 | 22,772 | ||||||||||
Term Loan, 6.33%, (3M LIBOR + 4.00%), 06/30/25 (a) | 174,313 | 171,190 | ||||||||||
Encino Acquisition Partners Holdings, LLC | ||||||||||||
2018 2nd Lien Term Loan, 9.15%, (3M LIBOR + 6.75%), 09/26/25 (a) (c) | 41,008 | 37,522 | ||||||||||
Equitrans Midstream Corporation | ||||||||||||
Term Loan B, 6.90%, (3M LIBOR + 4.50%), 12/13/23 (a) | 103,740 | 104,194 | ||||||||||
HFOTCO LLC | ||||||||||||
2018 Term Loan B, 5.16%, (3M LIBOR + 2.75%), 06/19/25 (a) | 94,199 | 94,081 | ||||||||||
Lower Cadence Holdings LLC | ||||||||||||
Term Loan B, 6.44%, (3M LIBOR + 4.00%), 05/10/26 (a) | 90,000 | 89,437 | ||||||||||
Medallion Midland Acquisition, LLC | ||||||||||||
1st Lien Term Loan, 5.65%, (3M LIBOR + 3.25%), 10/31/24 (a) | 98,747 | 96,031 | ||||||||||
Natgasoline LLC | ||||||||||||
Term Loan B, 5.94%, (3M LIBOR + 3.50%), 10/31/25 (a) | 94,525 | 94,289 | ||||||||||
Summit Midstream Partners Holdings, LLC | ||||||||||||
Term Loan B, 8.40%, (3M LIBOR + 6.00%), 05/15/22 (a) | 30,866 | 30,403 | ||||||||||
TEX Operations Co. LLC | ||||||||||||
Exit Term Loan B, 4.40%, (3M LIBOR + 2.00%), 08/04/23 (a) | 68,080 | 67,953 | ||||||||||
Traverse Midstream Partners LLC | ||||||||||||
Term Loan, 6.59%, (3M LIBOR + 4.00%), 09/22/24 (a) | 198,500 | 195,947 | ||||||||||
1,091,302 | ||||||||||||
Utilities 1.5% | ||||||||||||
Calpine Corporation | ||||||||||||
Term Loan B5, 4.83%, (3M LIBOR + 2.50%), 05/23/22 (a) | 157,739 | 156,796 | ||||||||||
Term Loan B9, 5.08%, (3M LIBOR + 2.75%), 03/22/26 (a) | 170,000 | 169,655 | ||||||||||
NEP/NCP Holdco, Inc. | ||||||||||||
2018 1st Lien Term Loan, 5.65%, (3M LIBOR + 3.25%), 10/05/25 (a) | 119,400 | 119,027 | ||||||||||
PG&E Corp | ||||||||||||
DIP Term Loan, 4.69%, (3M LIBOR + 2.25%), 12/31/20 (a) | 127,500 | 127,819 | ||||||||||
Vistra Operations Company LLC | ||||||||||||
1st Lien Term Loan B3, 4.39%, (3M LIBOR + 2.00%), 12/11/25 (a) | 133,342 | 133,126 | ||||||||||
1st Lien Term Loan B3, 4.44%, (3M LIBOR + 2.00%), 12/11/25 (a) | 52,159 | 52,074 | ||||||||||
758,497 | ||||||||||||
Real Estate 1.0% | ||||||||||||
Capital Automotive L.P. | ||||||||||||
2017 1st Lien Term Loan, 4.91%, (1M LIBOR + 2.50%), 03/21/24 (a) | 93,513 | 92,210 | ||||||||||
2017 2nd Lien Term Loan, 8.41%, (3M LIBOR + 6.00%), 03/21/25 (a) | 123,522 | 123,600 | ||||||||||
Shares/Par1 | Value ($) | |||||||||||
MGM Growth Properties Operating Partnership LP | ||||||||||||
2016 Term Loan B, 4.40%, (3M LIBOR + 2.00%), 04/20/23 (a) | 173,531 | 172,311 | ||||||||||
VICI Properties 1 LLC | ||||||||||||
Replacement Term Loan B, 4.40%, (3M LIBOR + 2.00%), 12/13/24 (a) | 155,000 | 153,062 | ||||||||||
541,183 | ||||||||||||
Total Senior Loan Interests (cost $49,204,983) | 48,283,043 | |||||||||||
CORPORATE BONDS AND NOTES 3.1% | ||||||||||||
Energy 0.6% | ||||||||||||
Cheniere Energy Partners, L.P. | ||||||||||||
5.63%, 10/01/26 (e) | 54,000 | 56,975 | ||||||||||
Continental Resources, Inc. | ||||||||||||
4.50%, 04/15/23 | 30,000 | 31,522 | ||||||||||
Enlink Midstream, LLC | ||||||||||||
5.38%, 06/01/29 | 65,000 | 66,708 | ||||||||||
Everest Acquisition, LLC | ||||||||||||
7.75%, 05/15/26 (e) | 60,000 | 53,591 | ||||||||||
Regency Energy Partners LP | ||||||||||||
5.88%, 03/01/22 | 30,000 | 32,157 | ||||||||||
Transocean Proteus Limited | ||||||||||||
6.25%, 12/01/24 (e) | 63,000 | 65,146 | ||||||||||
306,099 | ||||||||||||
Financials 0.4% | ||||||||||||
Ardagh Packaging Finance Public Limited Company | ||||||||||||
6.00%, 02/15/25 (e) | 58,000 | 60,131 | ||||||||||
Diamond Finance International Limited | ||||||||||||
7.13%, 06/15/24 (e) | 30,000 | 31,666 | ||||||||||
Icahn Enterprises L.P. | ||||||||||||
6.25%, 05/15/26 (e) (f) | 31,000 | 31,325 | ||||||||||
James Hardie International Finance Designated Activity Company | ||||||||||||
5.00%, 01/15/28 (e) | 10,000 | 9,942 | ||||||||||
Level 3 Financing, Inc. | ||||||||||||
5.38%, 01/15/24 | 30,000 | 30,630 | ||||||||||
Springleaf Finance Corporation | ||||||||||||
7.13%, 03/15/26 | 65,000 | 70,949 | ||||||||||
234,643 | ||||||||||||
Health Care 0.4% | ||||||||||||
Bausch Health Companies Inc. | ||||||||||||
6.13%, 04/15/25 (e) | 13,000 | 13,260 | ||||||||||
5.50%, 11/01/25 (e) | 21,000 | 21,886 | ||||||||||
8.50%, 01/31/27 (e) | 67,000 | 73,763 | ||||||||||
5.75%, 08/15/27 (e) | 8,000 | 8,405 | ||||||||||
Community Health Systems, Inc. | ||||||||||||
8.63%, 01/15/24 (e) | 30,000 | 30,072 | ||||||||||
Tenet Healthcare Corporation | ||||||||||||
6.75%, 06/15/23 | 36,000 | 36,192 | ||||||||||
5.13%, 05/01/25 | 30,000 | 30,300 | ||||||||||
213,878 | ||||||||||||
Materials 0.4% | ||||||||||||
FMG Resources (August 2006) Pty Ltd | ||||||||||||
5.13%, 03/15/23 - 05/15/24 (e) (f) | 57,000 | 59,018 | ||||||||||
FXI Holdings, Inc. | ||||||||||||
7.88%, 11/01/24 (e) | 66,000 | 61,488 | ||||||||||
Koppers Inc. | ||||||||||||
6.00%, 02/15/25 (e) | 30,000 | 28,187 | ||||||||||
Olin Corporation | ||||||||||||
5.13%, 09/15/27 | 39,000 | 40,028 | ||||||||||
5.00%, 02/01/30 | 17,000 | 16,843 | ||||||||||
205,564 | ||||||||||||
Communication Services 0.4% | ||||||||||||
AMC Entertainment Holdings, Inc. | ||||||||||||
6.13%, 05/15/27 (f) | 50,000 | 44,708 | ||||||||||
Iheartcommunications, Inc. | ||||||||||||
6.38%, 05/01/26 | 4,509 | 4,784 | ||||||||||
8.38%, 05/01/27 | 8,172 | 8,553 | ||||||||||
Live Nation Entertainment, Inc. | ||||||||||||
4.88%, 11/01/24 (e) | 30,000 | 30,861 | ||||||||||
Nexstar Escrow Inc. | ||||||||||||
5.63%, 07/15/27 (e) | 8,000 | 8,200 | ||||||||||
Sirius XM Radio Inc. | ||||||||||||
5.50%, 07/01/29 (e) | 65,000 | 66,645 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
23
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||||
Sprint Corporation | ||||||||||||
7.13%, 06/15/24 | 30,000 | 31,828 | ||||||||||
195,579 | ||||||||||||
Industrials 0.3% | ||||||||||||
Aircastle Limited | ||||||||||||
5.00%, 04/01/23 | 30,000 | 31,591 | ||||||||||
Ashtead Capital, Inc. | ||||||||||||
5.25%, 08/01/26 (e) | 93,000 | 97,378 | ||||||||||
Bombardier Inc. | ||||||||||||
7.88%, 04/15/27 (e) | 27,000 | 27,031 | ||||||||||
156,000 | ||||||||||||
Consumer Staples 0.2% | ||||||||||||
Energizer Holdings, Inc. | ||||||||||||
7.75%, 01/15/27 (e) | 65,000 | 70,263 | ||||||||||
JBS Investments GmbH | ||||||||||||
7.25%, 04/03/24 (e) | 30,000 | 31,166 | ||||||||||
101,429 | ||||||||||||
Utilities 0.2% | ||||||||||||
Calpine Corporation | ||||||||||||
5.25%, 06/01/26 (e) | 50,000 | 50,901 | ||||||||||
The AES Corporation | ||||||||||||
5.50%, 04/15/25 | 30,000 | 31,207 | ||||||||||
82,108 | ||||||||||||
Consumer Discretionary 0.1% | ||||||||||||
Eldorado Resorts, Inc. | ||||||||||||
6.00%, 09/15/26 | 10,000 | 10,916 | ||||||||||
Mohegan Tribal Gaming Authority | ||||||||||||
7.88%, 10/15/24 (e) (f) | 54,000 | 52,828 | ||||||||||
63,744 | ||||||||||||
Information Technology 0.1% | ||||||||||||
Dell International L.L.C. | ||||||||||||
5.30%, 10/01/29 (e) (g) | 50,000 | 52,622 | ||||||||||
Total Corporate Bonds And Notes (cost $1,587,263) | 1,611,666 | |||||||||||
WARRANTS 0.1% | ||||||||||||
iHeartMedia, Inc. (d) (h) (i) | 703 | 10,580 | ||||||||||
Total Warrants (cost $13,203) | 10,580 | |||||||||||
COMMON STOCKS 0.0% | ||||||||||||
Communication Services 0.0% | ||||||||||||
Clear Channel Outdoor Holdings, Inc. (h) | 1,875 | 8,850 | ||||||||||
iHeartMedia, Inc. - Class A (d) (h) | 94 | 1,415 | ||||||||||
Total Common Stocks (cost $11,100) | 10,265 | |||||||||||
SHORT TERM INVESTMENTS 5.5% | ||||||||||||
Investment Companies 5.2% | ||||||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.32% (j) | 2,683,316 | 2,683,316 | ||||||||||
Shares/Par1 | Value ($) | |||||||||||
Securities Lending Collateral 0.3% | ||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.33% (j) | 162,943 | 162,943 | ||||||||||
Total Short Term Investments (cost $2,846,259) | 2,846,259 | |||||||||||
Total Investments 101.9% (cost $53,662,808) | 52,761,813 | |||||||||||
Other Derivative Instruments (0.0)% | (95) | |||||||||||
Other Assets and Liabilities, Net (1.9)% | (960,970) | |||||||||||
Total Net Assets 100.0% | 51,800,748 |
(a) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of June 30, 2019. 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 reflect 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) This senior loan will settle after June 30, 2019. If a reference rate and spread is presented, it will go into effect upon settlement.
(c) 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.
(d) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees.
(e) 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. As of June 30, 2019, the value and the percentage of net assets of these liquid securities was $1,092,750 and 2.1% of the fund.
(f) All or a portion of the security was on loan as of June 30, 2019.
(g) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(h) Non-income producing security.
(i) Security fair valued in good faith as a Level 2 security in accordance with the procedures approved by the PPM Funds' Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(j) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2019.
Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
Mavis Tire Express Services Corp. – 2018 Delayed Draw Term Loan | 25,574 | (470) | ||||
PG&E Corp. – DIP Delayed Draw Term Loan | 42,288 | 319 | ||||
67,862 | (151) |
PPM Floating Rate Income Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (1) | September 2019 | (126,983) | (64) | (986) | ||||||||||
United States 10 Year Ultra Bond | (1) | September 2019 | (135,473) | (31) | (2,652) | ||||||||||
United States 5 Year Note | (4) | October 2019 | (467,414) | — | (5,211) | ||||||||||
(95) | (8,849) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
24
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
PPM High Yield Core Fund | |||||||
CORPORATE BONDS AND NOTES 86.9% | |||||||
Communication Services 17.6% | |||||||
Altice France | |||||||
7.38%, 05/01/26 (a) | 320,000 | 328,002 | |||||
Altice Luxembourg Fr SA | |||||||
8.13%, 02/01/27 (a) | 200,000 | 210,043 | |||||
AMC Entertainment Holdings, Inc. | |||||||
6.13%, 05/15/27 (b) | 169,000 | 151,115 | |||||
CB Escrow Corp. | |||||||
8.00%, 10/15/25 (a) | 267,000 | 229,007 | |||||
CCO Holdings, LLC | |||||||
5.88%, 05/01/27 (a) | 420,000 | 443,296 | |||||
5.00%, 02/01/28 (a) | 167,000 | 170,459 | |||||
5.38%, 06/01/29 (a) | 371,000 | 383,118 | |||||
CenturyLink, Inc. | |||||||
6.75%, 12/01/23 (b) | 125,000 | 135,072 | |||||
5.63%, 04/01/25 (b) | 125,000 | 127,265 | |||||
Clear Channel Worldwide Holdings, Inc. | |||||||
9.25%, 02/15/24 (a) | 126,000 | 136,710 | |||||
Consolidated Communications, Inc. | |||||||
6.50%, 10/01/22 | 175,000 | 163,410 | |||||
CSC Holdings, LLC | |||||||
5.50%, 04/15/27 (a) | 250,000 | 262,549 | |||||
7.50%, 04/01/28 (a) | 500,000 | 550,141 | |||||
DISH DBS Corporation | |||||||
5.13%, 05/01/20 | 150,000 | 150,882 | |||||
5.00%, 03/15/23 | 175,000 | 168,030 | |||||
Frontier Communications Corporation | |||||||
10.50%, 09/15/22 | 35,000 | 23,703 | |||||
11.00%, 09/15/25 | 115,000 | 71,660 | |||||
8.50%, 04/01/26 (a) | 100,000 | 97,093 | |||||
9.00%, 08/15/31 | 50,000 | 28,398 | |||||
Gannett Co., Inc. | |||||||
5.50%, 09/15/24 (a) | 125,000 | 128,515 | |||||
Hughes Satellite Systems Corporation | |||||||
6.63%, 08/01/26 | 250,000 | 262,552 | |||||
Iheartcommunications, Inc. | |||||||
6.38%, 05/01/26 | 18,565 | 19,697 | |||||
8.38%, 05/01/27 | 158,651 | 166,050 | |||||
Intelsat Jackson Holdings S.A. | |||||||
8.50%, 10/15/24 (a) | 260,000 | 257,459 | |||||
9.75%, 07/15/25 (a) | 290,000 | 296,796 | |||||
Level 3 Parent, LLC | |||||||
5.75%, 12/01/22 | 167,000 | 168,510 | |||||
Liberty Media Corporation | |||||||
8.25%, 02/01/30 | 100,000 | 99,750 | |||||
Live Nation Entertainment, Inc. | |||||||
4.88%, 11/01/24 (a) | 235,000 | 241,742 | |||||
5.63%, 03/15/26 (a) | 57,000 | 59,857 | |||||
MDC Partners Inc. | |||||||
6.50%, 05/01/24 (a) | 220,000 | 202,053 | |||||
Netflix, Inc. | |||||||
5.75%, 03/01/24 | 167,000 | 180,813 | |||||
5.88%, 11/15/28 | 150,000 | 166,206 | |||||
6.38%, 05/15/29 (a) | 76,000 | 86,316 | |||||
5.38%, 11/15/29 (a) | 36,000 | 38,289 | |||||
Nexstar Escrow Inc. | |||||||
5.63%, 07/15/27 (a) | 47,000 | 48,176 | |||||
Qwest Corporation | |||||||
6.88%, 09/15/33 | 75,000 | 74,715 | |||||
Radiate HoldCo, LLC | |||||||
6.63%, 02/15/25 (a) | 125,000 | 121,389 | |||||
Sinclair Television Group, Inc. | |||||||
5.88%, 03/15/26 (a) | 250,000 | 255,662 | |||||
Sirius XM Radio Inc. | |||||||
4.63%, 07/15/24 (a) | 37,000 | 37,847 | |||||
5.38%, 07/15/26 (a) | 425,000 | 440,987 | |||||
5.50%, 07/01/29 (a) | 71,000 | 72,797 | |||||
Sprint Capital Corporation | |||||||
6.88%, 11/15/28 | 200,000 | 207,185 | |||||
Sprint Communications, Inc. | |||||||
6.00%, 11/15/22 | 167,000 | 174,099 | |||||
Shares/Par1 | Value ($) | ||||||
Sprint Corporation | |||||||
7.13%, 06/15/24 | 500,000 | 530,469 | |||||
Telecom Italia Capital, Societe Anonyme | |||||||
6.00%, 09/30/34 | 109,000 | 110,688 | |||||
Telesat Canada | |||||||
8.88%, 11/15/24 (a) | 186,000 | 201,753 | |||||
T-Mobile USA, Inc. | |||||||
6.50%, 01/15/24 (c) | 167,000 | 173,004 | |||||
5.13%, 04/15/25 | 167,000 | 173,948 | |||||
4.75%, 02/01/28 | 62,000 | 64,077 | |||||
Windstream Services, LLC | |||||||
0.00%, 10/31/25 (c) (d) (e) (f) | 150,000 | 153,726 | |||||
Zayo Group, LLC | |||||||
6.00%, 04/01/23 | 304,000 | 311,560 | |||||
9,356,640 | |||||||
Financials 13.2% | |||||||
Acrisure, LLC | |||||||
7.00%, 11/15/25 (a) | 115,000 | 104,168 | |||||
Ally Financial Inc. | |||||||
4.63%, 05/19/22 | 167,000 | 174,051 | |||||
3.88%, 05/21/24 | 195,000 | 199,767 | |||||
5.75%, 11/20/25 | 71,000 | 78,699 | |||||
Altice Financing S.A. | |||||||
6.63%, 02/15/23 (a) | 104,000 | 106,574 | |||||
Ardagh Packaging Finance Public Limited Company | |||||||
6.00%, 02/15/25 (a) | 267,000 | 276,811 | |||||
CIT Group Inc. | |||||||
4.75%, 02/16/24 | 125,000 | 132,807 | |||||
5.25%, 03/07/25 | 19,000 | 20,832 | |||||
6.13%, 03/09/28 | 20,000 | 22,832 | |||||
Citigroup Inc. | |||||||
5.90%, (callable at 100 beginning 02/15/23) (g) | 118,000 | 122,208 | |||||
Commscope Finance LLC | |||||||
6.00%, 03/01/26 (a) | 95,000 | 97,405 | |||||
8.25%, 03/01/27 (a) | 160,000 | 163,355 | |||||
Credit Suisse Group AG | |||||||
6.25%, (callable at 100 beginning 12/18/24) (a) (g) | 250,000 | 259,375 | |||||
Diamond Finance International Limited | |||||||
5.88%, 06/15/21 (a) | 142,000 | 144,257 | |||||
7.13%, 06/15/24 (a) | 224,000 | 236,436 | |||||
6.02%, 06/15/26 (a) | 264,000 | 291,170 | |||||
Eagle Holding Company II, LLC | |||||||
7.75%, 05/15/22 (a) (h) | 78,000 | 79,041 | |||||
Glencore Funding LLC | |||||||
4.88%, 03/12/29 (a) | 75,000 | 78,961 | |||||
HSBC Holdings PLC | |||||||
6.38%, (callable at 100 beginning 09/17/24) (g) (i) | 125,000 | 129,531 | |||||
Icahn Enterprises L.P. | |||||||
6.38%, 12/15/25 | 139,000 | 142,079 | |||||
6.25%, 05/15/26 (a) | 269,000 | 271,819 | |||||
IHS Luxembourg S.A R.L. | |||||||
5.75%, 04/15/25 (a) | 35,000 | 35,916 | |||||
6.50%, 06/01/26 (a) | 125,000 | 131,691 | |||||
Intelsat Connect Finance S.A. | |||||||
9.50%, 02/15/23 (a) | 115,000 | 101,745 | |||||
Jack Ohio Finance LLC | |||||||
10.25%, 11/15/22 (a) | 167,000 | 179,107 | |||||
James Hardie International Finance Designated Activity Company | |||||||
5.00%, 01/15/28 (a) | 78,000 | 77,545 | |||||
JPMorgan Chase & Co. | |||||||
5.30%, (callable at 100 beginning 05/01/20) (g) | 222,000 | 224,497 | |||||
Level 3 Financing, Inc. | |||||||
5.38%, 01/15/24 | 167,000 | 170,505 | |||||
5.25%, 03/15/26 | 267,000 | 276,697 | |||||
Lions Gate Capital Holdings LLC | |||||||
5.88%, 11/01/24 (a) | 150,000 | 154,326 | |||||
Lloyds Banking Group PLC | |||||||
6.75%, (callable at 100 beginning 06/27/26) (g) | 122,000 | 124,682 | |||||
7.50%, (callable at 100 beginning 09/27/25) (g) | 162,000 | 170,022 | |||||
Navient Corporation | |||||||
7.25%, 09/25/23 | 140,000 | 149,540 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
25
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
5.88%, 10/25/24 | 82,000 | 82,897 | |||||
Nexstar Escrow Corporation | |||||||
5.63%, 08/01/24 (a) | 250,000 | 258,825 | |||||
Nordic Aviation Capital DAC | |||||||
5.83%, 03/14/26 (c) (j) | 125,000 | 132,871 | |||||
Rassman, Joel H. | |||||||
4.88%, 03/15/27 | 105,000 | 110,293 | |||||
Resideo Funding Inc. | |||||||
6.13%, 11/01/26 (a) | 44,000 | 45,697 | |||||
Springleaf Finance Corporation | |||||||
6.13%, 03/15/24 | 88,000 | 94,600 | |||||
7.13%, 03/15/26 | 287,000 | 313,266 | |||||
6.63%, 01/15/28 | 38,000 | 39,895 | |||||
Telenet Finance Luxembourg Notes S.À R.L. | |||||||
5.50%, 03/01/28 (a) | 200,000 | 202,250 | |||||
USA Compression Finance Corp. | |||||||
6.88%, 04/01/26 | 79,000 | 83,606 | |||||
6.88%, 09/01/27 (a) | 242,000 | 254,020 | |||||
Vertiv Intermediate Holding Corporation | |||||||
13.00%, 02/15/22 (a) (h) | 283,000 | 273,171 | |||||
Ziggo Bond Finance B.V. | |||||||
6.00%, 01/15/27 (a) | 200,000 | 200,808 | |||||
7,020,650 | |||||||
Consumer Discretionary 13.1% | |||||||
Adient US LLC | |||||||
7.00%, 05/15/26 (a) | 132,000 | 135,808 | |||||
Allied Universal Holdco LLC | |||||||
6.63%, 07/15/26 (a) | 71,000 | 72,065 | |||||
9.75%, 07/15/27 (a) | 79,000 | 78,704 | |||||
Altice S.A. | |||||||
7.63%, 02/15/25 (a) | 200,000 | 188,307 | |||||
AMC Entertainment Inc. | |||||||
5.75%, 06/15/25 (b) | 65,000 | 60,153 | |||||
American Axle & Manufacturing, Inc. | |||||||
6.50%, 04/01/27 (b) | 169,000 | 168,546 | |||||
Aramark Services, Inc. | |||||||
4.75%, 06/01/26 | 152,000 | 154,387 | |||||
5.00%, 02/01/28 (a) | 39,000 | 40,109 | |||||
Beazer Homes USA, Inc. | |||||||
6.75%, 03/15/25 | 75,000 | 72,207 | |||||
5.88%, 10/15/27 | 80,000 | 69,501 | |||||
Churchill Downs Incorporated | |||||||
4.75%, 01/15/28 (a) | 136,000 | 136,692 | |||||
CRC Escrow Issuer, LLC | |||||||
5.25%, 10/15/25 (a) | 125,000 | 125,015 | |||||
Delphi Technologies PLC | |||||||
5.00%, 10/01/25 (a) | 162,000 | 144,181 | |||||
Fiat Chrysler Automobiles N.V. | |||||||
5.25%, 04/15/23 | 94,000 | 99,341 | |||||
GLP Financing, LLC | |||||||
5.38%, 04/15/26 | 126,000 | 136,399 | |||||
Hilton Domestic Operating Company Inc. | |||||||
4.25%, 09/01/24 | 170,000 | 172,692 | |||||
5.13%, 05/01/26 | 178,000 | 185,593 | |||||
Hilton Worldwide Holdings Inc. | |||||||
4.63%, 04/01/25 | 21,000 | 21,493 | |||||
IHOL Verwaltungs GmbH | |||||||
6.75%, 05/15/27 (a) (h) | 200,000 | 201,000 | |||||
J. C. Penney Company, Inc. | |||||||
5.88%, 07/01/23 (a) | 125,000 | 104,824 | |||||
KB Home | |||||||
7.63%, 05/15/23 | 201,000 | 225,171 | |||||
KFC Holding Co. | |||||||
5.00%, 06/01/24 (a) | 12,000 | 12,391 | |||||
5.25%, 06/01/26 (a) | 44,000 | 46,177 | |||||
4.75%, 06/01/27 (a) | 140,000 | 143,770 | |||||
L Brands, Inc. | |||||||
7.50%, 06/15/29 | 130,000 | 129,954 | |||||
Lennar Corporation | |||||||
4.75%, 11/29/27 | 148,000 | 155,714 | |||||
M/I Homes, Inc. | |||||||
6.75%, 01/15/21 | 267,000 | 271,517 | |||||
Marriott Ownership Resorts, Inc. | |||||||
6.50%, 09/15/26 | 180,000 | 193,050 | |||||
Shares/Par1 | Value ($) | ||||||
MGM China Holdings Limited | |||||||
5.88%, 05/15/26 (a) | 72,000 | 74,011 | |||||
Mohegan Tribal Gaming Authority | |||||||
7.88%, 10/15/24 (a) (b) | 186,000 | 181,965 | |||||
National Football League | |||||||
3.96%, 10/05/28 (c) (j) | 200,000 | 212,221 | |||||
Nemak, S.A.B. de C.V. | |||||||
4.75%, 01/23/25 (a) | 126,000 | 127,097 | |||||
New Golden Nugget Inc. | |||||||
6.75%, 10/15/24 (a) | 150,000 | 154,516 | |||||
8.75%, 10/01/25 (a) | 100,000 | 105,016 | |||||
Panther BF Aggregator 2 LP | |||||||
8.50%, 05/15/27 (a) | 132,000 | 135,945 | |||||
Party City Holdings Inc. | |||||||
6.63%, 08/01/26 (a) (b) | 125,000 | 121,277 | |||||
PetSmart, Inc. | |||||||
5.88%, 06/01/25 (a) | 269,000 | 260,906 | |||||
Restaurant Brands International Limited Partnership | |||||||
5.00%, 10/15/25 (a) | 250,000 | 252,185 | |||||
Sally Holdings, LLC | |||||||
5.63%, 12/01/25 (b) | 150,000 | 147,053 | |||||
Scientific Games International, Inc. | |||||||
5.00%, 10/15/25 (a) | 346,000 | 349,375 | |||||
8.25%, 03/15/26 (a) | 125,000 | 131,006 | |||||
Sotheby's, Inc. | |||||||
4.88%, 12/15/25 (a) | 100,000 | 101,663 | |||||
Staples, Inc. | |||||||
7.50%, 04/15/26 (a) | 123,000 | 122,118 | |||||
Stars Group Holdings B.V. | |||||||
7.00%, 07/15/26 (a) | 85,000 | 89,888 | |||||
Taylor Morrison Communities, Inc. | |||||||
5.88%, 06/15/27 (a) | 172,000 | 175,058 | |||||
The Men's Wearhouse, Inc. | |||||||
7.00%, 07/01/22 | 155,000 | 151,049 | |||||
Viking Cruises Limited | |||||||
5.88%, 09/15/27 (a) | 160,000 | 161,963 | |||||
VOC Escrow Ltd. | |||||||
5.00%, 02/15/28 (a) | 125,000 | 126,608 | |||||
Williams Scotsman International, Inc. | |||||||
6.88%, 08/15/23 (a) | 119,000 | 123,774 | |||||
Wyndham Destinations, Inc. | |||||||
5.40%, 04/01/24 (k) | 100,000 | 104,684 | |||||
5.75%, 04/01/27 (l) | 35,000 | 36,532 | |||||
6,990,671 | |||||||
Energy 11.4% | |||||||
Antero Midstream Partners LP | |||||||
5.38%, 09/15/24 | 100,000 | 100,207 | |||||
5.75%, 03/01/27 - 01/15/28 (a) | 178,000 | 177,428 | |||||
Ascent Resources - Utica, LLC | |||||||
7.00%, 11/01/26 (a) | 195,000 | 178,403 | |||||
Brazos Valley Longhorn, L.L.C. | |||||||
6.88%, 02/01/25 | 213,000 | 202,927 | |||||
Bruin E&P Partners, LLC | |||||||
8.88%, 08/01/23 (a) | 186,000 | 157,749 | |||||
Callon Petroleum Company | |||||||
6.38%, 07/01/26 | 125,000 | 126,148 | |||||
Chaparral Energy, Inc. | |||||||
8.75%, 07/15/23 (a) (b) | 165,000 | 100,866 | |||||
Cheniere Corpus Christi Holdings, LLC | |||||||
5.88%, 03/31/25 | 235,000 | 261,642 | |||||
5.13%, 06/30/27 | 194,000 | 210,823 | |||||
Cheniere Energy Partners, L.P. | |||||||
5.25%, 10/01/25 | 233,000 | 240,787 | |||||
5.63%, 10/01/26 (a) | 134,000 | 141,383 | |||||
Chesapeake Energy Corporation | |||||||
8.00%, 01/15/25 (b) | 182,000 | 167,908 | |||||
CNX Midstream Partners LP | |||||||
6.50%, 03/15/26 (a) | 108,000 | 102,871 | |||||
Continental Resources, Inc. | |||||||
4.50%, 04/15/23 | 200,000 | 210,146 | |||||
Diamondback Energy, Inc. | |||||||
4.75%, 11/01/24 (a) | 75,000 | 77,012 | |||||
5.38%, 05/31/25 | 100,000 | 105,226 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
26
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
Energy Transfer LP | |||||||
5.25%, 04/15/29 | 94,000 | 104,982 | |||||
Enlink Midstream, LLC | |||||||
4.85%, 07/15/26 | 86,000 | 86,941 | |||||
5.38%, 06/01/29 | 231,000 | 237,070 | |||||
Ensco Rowan PLC | |||||||
5.20%, 03/15/25 (b) | 167,000 | 122,642 | |||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 98,000 | 94,488 | |||||
Everest Acquisition, LLC | |||||||
8.00%, 11/29/24 (a) | 115,000 | 77,059 | |||||
7.75%, 05/15/26 (a) | 32,000 | 28,582 | |||||
Extraction Oil & Gas, Inc. | |||||||
7.38%, 05/15/24 (a) | 84,000 | 72,745 | |||||
Hess Infrastructure Partners LP | |||||||
5.63%, 02/15/26 (a) | 91,000 | 93,849 | |||||
Murphy Oil USA, Inc. | |||||||
5.75%, 08/15/25 | 76,000 | 78,850 | |||||
Nabors Industries, Inc. | |||||||
5.50%, 01/15/23 (b) | 117,000 | 109,415 | |||||
5.75%, 02/01/25 | 75,000 | 66,495 | |||||
NGPL PipeCo LLC | |||||||
4.88%, 08/15/27 (a) | 100,000 | 105,750 | |||||
Noble Corporation | |||||||
7.88%, 02/01/26 (a) | 200,000 | 172,046 | |||||
Parsley Energy, LLC | |||||||
5.25%, 08/15/25 (a) | 150,000 | 152,449 | |||||
PBF Logistics LP | |||||||
6.88%, 05/15/23 | 200,000 | 206,119 | |||||
Precision Drilling Corporation | |||||||
5.25%, 11/15/24 | 100,000 | 92,696 | |||||
7.13%, 01/15/26 (a) | 167,000 | 162,304 | |||||
Sabine Pass Liquefaction, LLC | |||||||
4.20%, 03/15/28 | 160,000 | 167,875 | |||||
Shelf Drilling Management Services DMCC | |||||||
8.25%, 02/15/25 (a) | 204,000 | 189,207 | |||||
Southwestern Energy Company | |||||||
7.50%, 04/01/26 | 100,000 | 94,846 | |||||
SRC Energy Inc. | |||||||
6.25%, 12/01/25 | 72,000 | 65,534 | |||||
Summit Midstream Partners, LP | |||||||
9.50%, (callable at 104 beginning 12/15/22) (g) | 42,000 | 37,926 | |||||
Targa Resource Corporation | |||||||
5.88%, 04/15/26 | 165,000 | 175,507 | |||||
Transocean Inc | |||||||
7.50%, 01/15/26 (a) | 264,000 | 252,157 | |||||
Transocean Poseidon Limited | |||||||
6.88%, 02/01/27 (a) | 69,000 | 73,009 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (a) | 135,000 | 139,598 | |||||
Whiting Petroleum Corporation | |||||||
6.25%, 04/01/23 | 192,000 | 191,594 | |||||
WPX Energy, Inc. | |||||||
5.75%, 06/01/26 | 47,000 | 48,685 | |||||
6,061,946 | |||||||
Health Care 11.0% | |||||||
Bausch Health Companies Inc. | |||||||
6.13%, 04/15/25 (a) | 200,000 | 203,995 | |||||
5.50%, 11/01/25 (a) | 154,000 | 160,496 | |||||
8.50%, 01/31/27 (a) | 548,000 | 603,317 | |||||
5.75%, 08/15/27 (a) | 81,000 | 85,096 | |||||
7.00%, 01/15/28 (a) | 24,000 | 24,865 | |||||
Catalent Pharma Solutions, Inc. | |||||||
5.00%, 07/15/27 (a) | 15,000 | 15,247 | |||||
Centene Corporation | |||||||
4.75%, 05/15/22 | 76,000 | 77,805 | |||||
6.13%, 02/15/24 | 142,000 | 148,751 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (a) | 281,000 | 295,783 | |||||
Community Health Systems, Inc. | |||||||
8.63%, 01/15/24 (a) | 100,000 | 100,239 | |||||
8.00%, 03/15/26 (a) | 125,000 | 120,036 | |||||
HCA Inc. | |||||||
5.00%, 03/15/24 | 119,000 | 129,589 | |||||
Shares/Par1 | Value ($) | ||||||
5.25%, 06/15/26 | 325,000 | 359,900 | |||||
5.38%, 09/01/26 | 62,000 | 66,795 | |||||
4.50%, 02/15/27 | 267,000 | 284,235 | |||||
5.63%, 09/01/28 | 220,000 | 237,866 | |||||
5.88%, 02/01/29 | 34,000 | 37,201 | |||||
5.13%, 06/15/39 | 54,000 | 56,100 | |||||
Hologic, Inc. | |||||||
4.38%, 10/15/25 (a) | 104,000 | 105,399 | |||||
Legacy Lifepoint Health, Inc. | |||||||
9.75%, 12/01/26 (a) | 200,000 | 209,448 | |||||
Mednax, Inc. | |||||||
6.25%, 01/15/27 (a) | 252,000 | 247,905 | |||||
MPH Acquisition Holdings LLC | |||||||
7.13%, 06/01/24 (a) | 149,000 | 139,582 | |||||
Muzinich U.S. High Yield Corporate Bond Fund | |||||||
9.75%, 08/15/26 (a) | 62,000 | 64,474 | |||||
Mylan Inc | |||||||
4.55%, 04/15/28 (b) | 78,000 | 77,118 | |||||
5.20%, 04/15/48 | 43,000 | 39,889 | |||||
Ortho-Clinical Diagnostics, Inc. | |||||||
6.63%, 05/15/22 (a) | 333,000 | 321,376 | |||||
Par Pharmaceutical, Inc. | |||||||
7.50%, 04/01/27 (a) | 247,000 | 242,546 | |||||
Polaris Intermediate School | |||||||
8.50%, 12/01/22 (a) (h) | 75,000 | 66,215 | |||||
Tenet Healthcare Corporation | |||||||
4.50%, 04/01/21 | 160,000 | 162,800 | |||||
8.13%, 04/01/22 | 204,000 | 214,208 | |||||
6.75%, 06/15/23 | 296,000 | 297,581 | |||||
6.25%, 02/01/27 (a) | 118,000 | 121,540 | |||||
Tennessee Merger Sub, Inc. | |||||||
6.38%, 02/01/25 (a) (b) | 161,000 | 121,763 | |||||
WellCare Health Plans, Inc. | |||||||
5.25%, 04/01/25 | 339,000 | 353,931 | |||||
5.38%, 08/15/26 (a) | 48,000 | 50,946 | |||||
5,844,037 | |||||||
Industrials 6.5% | |||||||
ACCO Brands Corporation | |||||||
5.25%, 12/15/24 (a) | 120,000 | 121,462 | |||||
Advanced Disposal Services, Inc. | |||||||
5.63%, 11/15/24 (a) | 167,000 | 174,786 | |||||
Aircastle Limited | |||||||
4.13%, 05/01/24 | 207,000 | 212,535 | |||||
4.25%, 06/15/26 | 130,000 | 131,219 | |||||
Ashtead Capital, Inc. | |||||||
4.13%, 08/15/25 (a) | 33,000 | 33,335 | |||||
5.25%, 08/01/26 (a) | 214,000 | 224,074 | |||||
4.38%, 08/15/27 (a) | 75,000 | 75,094 | |||||
Avolon Holdings Funding Limited | |||||||
5.25%, 05/15/24 (a) | 150,000 | 160,033 | |||||
Bombardier Inc. | |||||||
5.75%, 03/15/22 (a) | 171,000 | 173,701 | |||||
7.50%, 03/15/25 (a) | 151,000 | 151,591 | |||||
7.88%, 04/15/27 (a) | 80,000 | 80,092 | |||||
Hertz Vehicle Financing II LP | |||||||
7.63%, 06/01/22 (a) | 100,000 | 103,863 | |||||
5.50%, 10/15/24 (a) | 200,000 | 191,188 | |||||
Navistar International Corporation | |||||||
6.63%, 11/01/25 (a) | 184,000 | 192,699 | |||||
Park Aerospace Holdings Limited | |||||||
4.50%, 03/15/23 (a) | 170,000 | 175,801 | |||||
Prime Security Services Borrower, LLC | |||||||
9.25%, 05/15/23 (a) | 51,000 | 53,552 | |||||
Sensata Technologies B.V. | |||||||
5.00%, 10/01/25 (a) | 125,000 | 130,431 | |||||
Standard Industries Inc. | |||||||
4.75%, 01/15/28 (a) | 170,000 | 168,725 | |||||
Tempo Acquisition, LLC | |||||||
6.75%, 06/01/25 (a) | 100,000 | 103,014 | |||||
TransDigm Inc. | |||||||
6.50%, 05/15/25 | 100,000 | 101,192 | |||||
6.25%, 03/15/26 (a) | 195,000 | 204,320 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
27
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
United Rentals (North America), Inc. | ||||||||||
4.88%, 01/15/28 | 467,000 | 476,340 | ||||||||
3,439,047 | ||||||||||
Materials 5.5% | ||||||||||
Berry Global Escrow Corporation | ||||||||||
4.88%, 07/15/26 (a) | 128,000 | 130,720 | ||||||||
5.63%, 07/15/27 (a) | 89,000 | 92,515 | ||||||||
Berry Global, Inc. | ||||||||||
5.13%, 07/15/23 | 125,000 | 127,805 | ||||||||
4.50%, 02/15/26 (a) | 53,000 | 52,292 | ||||||||
CEMEX S.A.B. de C.V. | ||||||||||
5.70%, 01/11/25 (a) | 250,000 | 259,665 | ||||||||
CF Industries, Inc. | ||||||||||
5.38%, 03/15/44 | 50,000 | 46,945 | ||||||||
Crown Americas LLC | ||||||||||
4.25%, 09/30/26 | 160,000 | 163,205 | ||||||||
FMG Resources (August 2006) Pty Ltd | ||||||||||
4.75%, 05/15/22 (a) | 179,000 | 183,476 | ||||||||
5.13%, 03/15/23 - 05/15/24 (a) (b) | 315,000 | 326,122 | ||||||||
Freeport-McMoRan Inc. | ||||||||||
4.55%, 11/14/24 | 175,000 | 178,970 | ||||||||
5.40%, 11/14/34 | 217,000 | 207,343 | ||||||||
FXI Holdings, Inc. | ||||||||||
7.88%, 11/01/24 (a) | 188,000 | 175,149 | ||||||||
Koppers Inc. | ||||||||||
6.00%, 02/15/25 (a) | 70,000 | 65,770 | ||||||||
Mauser Packaging Solutions Holding Company | ||||||||||
7.25%, 04/15/25 (a) | 108,000 | 104,201 | ||||||||
NOVA Chemicals Corporation | ||||||||||
4.88%, 06/01/24 (a) | 128,000 | 132,839 | ||||||||
5.25%, 06/01/27 (a) | 76,000 | 80,937 | ||||||||
Olin Corporation | ||||||||||
5.13%, 09/15/27 | 136,000 | 139,586 | ||||||||
5.00%, 02/01/30 | 99,000 | 98,083 | ||||||||
Reynolds Group Holdings Inc. | ||||||||||
5.13%, 07/15/23 (a) | 221,000 | 225,175 | ||||||||
The Chemours Company | ||||||||||
5.38%, 05/15/27 | 33,000 | 31,604 | ||||||||
Trinseo Materials Operating S.C.A. | ||||||||||
5.38%, 09/01/25 (a) | 125,000 | 120,249 | ||||||||
2,942,651 | ||||||||||
Consumer Staples 3.4% | ||||||||||
Albertsons Companies, Inc. | ||||||||||
6.63%, 06/15/24 | 125,000 | 129,489 | ||||||||
5.75%, 03/15/25 | 50,000 | 50,370 | ||||||||
BAT Capital Corp. | ||||||||||
3.56%, 08/15/27 | 150,000 | 149,280 | ||||||||
4.54%, 08/15/47 | 101,000 | 94,067 | ||||||||
Cott Holdings Inc. | ||||||||||
5.50%, 04/01/25 (a) | 161,000 | 164,038 | ||||||||
Coty Inc. | ||||||||||
6.50%, 04/15/26 (a) (b) | 125,000 | 121,635 | ||||||||
Energizer Holdings, Inc. | ||||||||||
7.75%, 01/15/27 (a) | 113,000 | 122,150 | ||||||||
JBS Investments GmbH | ||||||||||
7.25%, 04/03/24 (a) | 242,000 | 251,409 | ||||||||
JBS USA LUX SA | ||||||||||
6.50%, 04/15/29 (a) | 96,000 | 104,275 | ||||||||
Matterhorn Merger Sub LLC | ||||||||||
8.50%, 06/01/26 (a) | 234,000 | 207,093 | ||||||||
Pilgrim's Pride Corporation | ||||||||||
5.75%, 03/15/25 (a) | 60,000 | 60,931 | ||||||||
5.88%, 09/30/27 (a) | 40,000 | 41,368 | ||||||||
Post Holdings, Inc. | ||||||||||
5.63%, 01/15/28 (a) | 142,000 | 145,895 | ||||||||
Sigma Holdco B.V. | ||||||||||
7.88%, 05/15/26 (a) | 125,000 | 116,002 | ||||||||
Spectrum Brands, Inc. | ||||||||||
5.75%, 07/15/25 | 49,000 | 50,914 | ||||||||
1,808,916 | ||||||||||
Utilities 1.9% | ||||||||||
Calpine Corporation | ||||||||||
5.75%, 01/15/25 | 75,000 | 74,441 | ||||||||
5.25%, 06/01/26 (a) | 336,000 | 342,054 | ||||||||
Shares/Par1 | Value ($) | |||||||||
The AES Corporation | ||||||||||
5.50%, 04/15/25 | 369,000 | 383,849 | ||||||||
5.13%, 09/01/27 | 200,000 | 211,019 | ||||||||
Vistra Operations Company LLC | ||||||||||
5.00%, 07/31/27 (a) | 29,000 | 29,998 | ||||||||
1,041,361 | ||||||||||
Information Technology 1.9% | ||||||||||
Broadcom Inc. | ||||||||||
4.25%, 04/15/26 (a) | 175,000 | 178,710 | ||||||||
First Data Corporation | ||||||||||
5.00%, 01/15/24 (a) | 233,000 | 238,745 | ||||||||
Radiate HoldCo, LLC | ||||||||||
6.88%, 02/15/23 (a) | 88,000 | 88,176 | ||||||||
Refinitiv US Holdings Inc. | ||||||||||
8.25%, 11/15/26 (a) | 132,000 | 135,872 | ||||||||
ViaSat, Inc. | ||||||||||
5.63%, 09/15/25 - 04/15/27 (a) | 244,000 | 242,233 | ||||||||
Western Digital Corporation | ||||||||||
4.75%, 02/15/26 | 113,000 | 111,141 | ||||||||
994,877 | ||||||||||
Real Estate 1.4% | ||||||||||
Equinix, Inc. | ||||||||||
5.38%, 05/15/27 | 280,000 | 300,535 | ||||||||
ESH Hospitality, Inc. | ||||||||||
5.25%, 05/01/25 (a) | 281,000 | 288,041 | ||||||||
PulteGroup, Inc. | ||||||||||
5.00%, 01/15/27 | 165,000 | 173,083 | ||||||||
761,659 | ||||||||||
Total Corporate Bonds And Notes (cost $45,177,688) | 46,262,455 | |||||||||
SENIOR LOAN INTERESTS 5.8% | ||||||||||
Health Care 1.1% | ||||||||||
Alphabet Holding Company, Inc. | ||||||||||
2017 1st Lien Term Loan, 5.90%, (3M LIBOR + 3.50%), 08/15/24 (m) | 245,625 | 231,379 | ||||||||
2017 2nd Lien Term Loan, 10.19%, (3M LIBOR + 7.75%), 08/09/25 (m) | 100,000 | 88,333 | ||||||||
MPH Acquisition Holdings LLC | ||||||||||
2016 Term Loan B, 5.08%, (3M LIBOR + 2.75%), 06/07/23 (m) | 100,000 | 95,464 | ||||||||
RegionalCare Hospital Partners Holdings, Inc. | ||||||||||
2018 Term Loan B, 6.90%, (3M LIBOR + 4.50%), 11/09/25 (m) | 198,500 | 197,188 | ||||||||
2018 Term Loan B, 9.00%, (3M LIBOR + 4.50%), 11/09/25 (m) | 500 | 497 | ||||||||
612,861 | ||||||||||
Information Technology 1.0% | ||||||||||
Almonde, Inc. | ||||||||||
1st Lien Term Loan, 6.10%, (3M LIBOR + 3.50%), 04/26/24 (m) | 86,170 | 83,849 | ||||||||
USD 1st Lien Term Loan, 6.10%, (3M LIBOR + 3.50%), 04/26/24 (m) | 13,297 | 12,939 | ||||||||
Financial & Risk US Holdings, Inc. | ||||||||||
2018 USD Term Loan, 6.15%, (3M LIBOR + 3.75%), 09/12/25 (m) | 179,349 | 173,800 | ||||||||
Radiate Holdco, LLC | ||||||||||
1st Lien Term Loan, 5.40%, (3M LIBOR + 3.00%), 12/09/23 (m) | 99,491 | 97,071 | ||||||||
SS&C Technologies Holdings Europe S.A.R.L. | ||||||||||
2018 Term Loan B4, 4.65%, (3M LIBOR + 2.25%), 02/27/25 (m) | 25,747 | 25,631 | ||||||||
SS&C Technologies Inc. | ||||||||||
2018 Term Loan B3, 4.65%, (3M LIBOR + 2.25%), 02/27/25 (m) | 37,543 | 37,374 | ||||||||
Verifone Systems, Inc. | ||||||||||
2018 1st Lien Term Loan, 6.52%, (3M LIBOR + 4.00%), 08/09/25 (m) | 99,749 | 96,507 | ||||||||
527,171 | ||||||||||
Consumer Discretionary 0.8% | ||||||||||
Bass Pro Group, LLC | ||||||||||
Term Loan B, 7.40%, (3M LIBOR + 5.00%), 11/15/23 (m) | 173,315 | 165,263 | ||||||||
Liberty Cablevision of Puerto Rico LLC | ||||||||||
1st Lien Term Loan, 5.89%, (3M LIBOR + 3.50%), 12/24/21 (m) | 100,000 | 99,500 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
28
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
Stars Group Holdings B.V. (The) | ||||||||||
2018 USD Incremental Term Loan, 5.83%, (3M LIBOR + 3.50%), 06/29/25 (m) | 49,958 | 49,932 | ||||||||
UFC Holdings, LLC | ||||||||||
2019 Term Loan, 5.69%, (3M LIBOR + 3.25%), 07/22/23 (m) | 99,744 | 99,477 | ||||||||
414,172 | ||||||||||
Communication Services 0.6% | ||||||||||
AMC Entertainment Holdings, Inc. | ||||||||||
2019 Term Loan B, 5.23%, (3M LIBOR + 3.00%), 04/22/26 (m) | 26,932 | 26,852 | ||||||||
Frontier Communications Corp. | ||||||||||
2017 Term Loan B1, 6.16%, (3M LIBOR + 3.75%), 05/31/24 (m) | 98,246 | 96,199 | ||||||||
iHeartCommunications, Inc. | ||||||||||
Exit Term Loan, 6.58%, (3M LIBOR + 4.00%), 05/04/26 (m) | 81,225 | 81,301 | ||||||||
Nexstar Media Group, Inc. | ||||||||||
Bridge Term Loan, 0.00%, 11/30/19 (m) (n) | 67,000 | 66,079 | ||||||||
Windstream Holdings Inc. | ||||||||||
DIP Term Loan, 4.90%, (3M LIBOR + 2.50%), 03/08/21 (m) | 77,000 | 77,000 | ||||||||
347,431 | ||||||||||
Materials 0.6% | ||||||||||
BWAY Holding Company | ||||||||||
2017 Term Loan B, 5.85%, (3M LIBOR + 3.25%), 04/03/24 (m) | 166,152 | 160,267 | ||||||||
Hexion Inc | ||||||||||
DIP Term Loan, 5.35%, (3M LIBOR + 2.75%), 10/01/20 (m) | 61,000 | 60,962 | ||||||||
Polar US Borrower, LLC | ||||||||||
2018 1st Lien Term Loan, 7.08%, (3M LIBOR + 4.75%), 08/21/25 (m) | 2,586 | 2,550 | ||||||||
2018 1st Lien Term Loan, 7.35%, (3M LIBOR + 4.75%), 08/21/25 (m) | 97,038 | 95,704 | ||||||||
319,483 | ||||||||||
Industrials 0.4% | ||||||||||
1199169 B.C. Unlimited Liability Company | ||||||||||
2019 Term Loan B2, 6.33%, (3M LIBOR + 4.00%), 01/25/26 (m) | 24,126 | 24,212 | ||||||||
Dynasty Acquisition Co., Inc. | ||||||||||
2019 Term Loan B1, 6.33%, (3M LIBOR + 4.00%), 01/25/26 (m) | 44,874 | 45,034 | ||||||||
Panther BF Aggregator 2 LP | ||||||||||
USD Term Loan B, 5.90%, (3M LIBOR + 3.50%), 03/13/26 (m) | 54,700 | 54,256 | ||||||||
Tempo Acquisition LLC | ||||||||||
Term Loan, 5.40%, (3M LIBOR + 3.00%), 04/20/24 (m) | 99,654 | 99,176 | ||||||||
222,678 | ||||||||||
Energy 0.4% | ||||||||||
Encino Acquisition Partners Holdings, LLC | ||||||||||
2018 2nd Lien Term Loan, 9.15%, (3M LIBOR + 6.75%), 09/26/25 (j) (m) | 113,410 | 103,770 | ||||||||
Lower Cadence Holdings LLC | ||||||||||
Term Loan B, 6.44%, (3M LIBOR + 4.00%), 05/10/26 (m) | 114,000 | 113,287 | ||||||||
217,057 | ||||||||||
Real Estate 0.4% | ||||||||||
Communications Sales & Leasing, Inc. | ||||||||||
2017 Term Loan B, 7.44%, (1M LIBOR + 5.00%), 10/24/22 (m) | 198,980 | 193,788 | ||||||||
Financials 0.2% | ||||||||||
Acrisure, LLC | ||||||||||
2017 Term Loan B, 6.77%, (3M LIBOR + 4.25%), 11/22/23 (m) | 98,500 | 97,926 | ||||||||
Consumer Staples 0.2% | ||||||||||
BJ's Wholesale Club, Inc. | ||||||||||
2017 1st Lien Term Loan, 5.16%, (3M LIBOR + 2.75%), 01/26/24 (m) | 91,487 | 91,496 | ||||||||
Shares/Par1 | Value ($) | |||||||||
Utilities 0.1% | ||||||||||
PG&E Corp | ||||||||||
DIP Term Loan, 4.69%, (3M LIBOR + 2.25%), 12/31/20 (m) | 52,500 | 52,631 | ||||||||
Total Senior Loan Interests (cost $3,125,092) | 3,096,694 | |||||||||
INVESTMENT COMPANIES 3.1% | ||||||||||
Eaton Vance Senior Floating-Rate Trust | 3,750 | 49,087 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 14,450 | 1,574,181 | ||||||||
Total Investment Companies (cost $1,573,806) | 1,623,268 | |||||||||
COMMON STOCKS 0.4% | ||||||||||
Energy 0.2% | ||||||||||
Chaparral Energy, Inc. - Class A (d) | 9,408 | 44,312 | ||||||||
MPLX LP | 2,200 | 70,818 | ||||||||
115,130 | ||||||||||
Materials 0.1% | ||||||||||
Freeport-McMoRan Inc. - Class B | 6,700 | 77,787 | ||||||||
Communication Services 0.1% | ||||||||||
Clear Channel Outdoor Holdings, Inc. (d) | 8,143 | 38,435 | ||||||||
iHeartMedia, Inc. (c) (d) (j) | 107,000 | — | ||||||||
iHeartMedia, Inc. (c) (d) (j) | 208,000 | — | ||||||||
iHeartMedia, Inc. - Class A (c) (d) | 386 | 5,809 | ||||||||
44,244 | ||||||||||
Total Common Stocks (cost $402,090) | 237,161 | |||||||||
WARRANTS 0.1% | ||||||||||
iHeartMedia, Inc. (c) (d) (o) | 2,897 | 43,600 | ||||||||
Total Warrants (cost $53,585) | 43,600 | |||||||||
SHORT TERM INVESTMENTS 7.9% | ||||||||||
Securities Lending Collateral 4.2% | ||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.33% (p) | 2,262,375 | 2,262,375 | ||||||||
Investment Companies 3.7% | ||||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.32% (p) | 1,949,599 | 1,949,599 | ||||||||
Total Short Term Investments (cost $4,211,974) | 4,211,974 | |||||||||
Total Investments 104.2% (cost $54,544,235) | 55,475,152 | |||||||||
Other Derivative Instruments (0.0)% | (519) | |||||||||
Other Assets and Liabilities, Net (4.2)% | (2,241,460) | |||||||||
Total Net Assets 100.0% | 53,233,173 |
(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. As of June 30, 2019, the value and the percentage of net assets of these liquid securities was $26,648,174 and 50.1% of the fund.
(b) All or a portion of the security was on loan as of June 30, 2019.
(c) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees.
(d) Non-income producing security.
(e) As of June 30, 2019, 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) Security is restricted to resale to institutional investors. See the table of Restricted Securities below.
(g) Perpetual security. Next contractual call date presented, if applicable.
(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) Convertible security.
(j) 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.
(k) 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 June 30, 2019.
(l) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(m) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of June 30, 2019. 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
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
29
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
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 reflect 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.
(n) This senior loan will settle after June 30, 2019. If a reference rate and spread is presented, it will go into effect upon settlement.
(o) Security fair valued in good faith as a Level 2 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.
(p) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2019.
Restricted Securities | ||||||||||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | |||||||||||||
Windstream Services, LLC, 0.00%, 10/31/25 | 05/31/19 | 151,125 | 153,726 | 0.3 | ||||||||||||
Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
PG&E Corp. – DIP Delayed Draw Term Loan | 17,413 | 131 | ||||
17,413 | 131 |
PPM High Yield Core Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Long Contracts | |||||||||||||||
United States 2 Year Note | 2 | October 2019 | 429,253 | (81) | 1,103 | ||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (15) | September 2019 | (1,900,608) | (469) | (18,923) | ||||||||||
United States 10 Year Ultra Bond | (3) | September 2019 | (407,414) | (94) | (6,961) | ||||||||||
United States 5 Year Note | (12) | October 2019 | (1,402,241) | — | (15,635) | ||||||||||
United States Long Bond | (1) | September 2019 | (152,345) | 125 | (3,248) | ||||||||||
(438) | (44,767) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
30
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
PPM Long Short Credit Fund | |||||||
CORPORATE BONDS AND NOTES 75.3% | |||||||
Financials 24.5% | |||||||
Acrisure, LLC | |||||||
7.00%, 11/15/25 (a) | 128,000 | 115,944 | |||||
Ally Financial Inc. | |||||||
3.88%, 05/21/24 | 47,000 | 48,149 | |||||
American Express Company | |||||||
2.20%, 10/30/20 (b) | 750,000 | 748,674 | |||||
American Water Capital Corp. | |||||||
3.45%, 06/01/29 | 170,000 | 176,664 | |||||
Athene Global Funding | |||||||
3.83%, (3M USD LIBOR + 1.23%), 07/01/22 (a) (c) | 333,000 | 335,650 | |||||
Bank of America Corporation | |||||||
3.25%, (3M USD LIBOR + 0.66%), 07/21/21 (c) | 100,000 | 100,252 | |||||
3.58%, (3M USD LIBOR + 1.00%), 04/24/23 (c) | 166,000 | 167,303 | |||||
4.00%, 01/22/25 | 209,000 | 219,814 | |||||
4.25%, 10/22/26 | 105,000 | 112,375 | |||||
4.33%, 03/15/50 | 1,199,000 | 1,333,674 | |||||
Barclays PLC | |||||||
5.09%, 06/20/30 | 100,000 | 102,336 | |||||
Bayer US Finance II LLC | |||||||
4.25%, 12/15/25 (a) | 39,000 | 41,222 | |||||
4.38%, 12/15/28 (a) | 103,000 | 108,498 | |||||
BMW US Capital, LLC | |||||||
2.97%, (3M USD LIBOR + 0.38%), 04/06/20 (a) (c) | 333,000 | 333,672 | |||||
Capital One Financial Corporation | |||||||
3.30%, (3M USD LIBOR + 0.76%), 05/12/20 (c) | 333,000 | 334,389 | |||||
3.75%, 03/09/27 | 124,000 | 127,926 | |||||
Citigroup Inc. | |||||||
2.10%, 06/12/20 | 500,000 | 498,977 | |||||
3.54%, (3M USD LIBOR + 0.96%), 04/25/22 (b) (c) | 249,000 | 251,103 | |||||
4.45%, 09/29/27 | 253,000 | 272,004 | |||||
3.89%, 01/10/28 (c) | 67,000 | 70,750 | |||||
4.13%, 07/25/28 | 10,000 | 10,557 | |||||
Credit Suisse Group AG | |||||||
7.50%, (callable at 100 beginning 07/17/23) (a) (d) | 200,000 | 213,549 | |||||
6.50%, 08/08/23 (a) | 225,000 | 247,433 | |||||
Danske Bank A/S | |||||||
5.38%, 01/12/24 (a) | 226,000 | 244,127 | |||||
Diamond Finance International Limited | |||||||
8.35%, 07/15/46 (a) | 99,000 | 124,767 | |||||
Ford Motor Credit Company LLC | |||||||
5.73%, (3M USD LIBOR + 3.14%), 01/07/22 (c) | 250,000 | 258,782 | |||||
Glencore Funding LLC | |||||||
3.00%, 10/27/22 (a) | 61,000 | 61,375 | |||||
4.88%, 03/12/29 (a) | 125,000 | 131,602 | |||||
GLP Financing, LLC | |||||||
5.30%, 01/15/29 | 110,000 | 118,806 | |||||
HSBC Holdings PLC | |||||||
3.52%, (3M USD LIBOR + 1.00%), 05/18/24 (c) | 200,000 | 200,350 | |||||
Icahn Enterprises L.P. | |||||||
6.38%, 12/15/25 | 10,000 | 10,221 | |||||
6.25%, 05/15/26 (a) | 221,000 | 223,316 | |||||
James Hardie International Finance Designated Activity Company | |||||||
5.00%, 01/15/28 (a) | 52,000 | 51,696 | |||||
JPMorgan Chase & Co. | |||||||
5.30%, (callable at 100 beginning 05/01/20) (d) | 200,000 | 202,250 | |||||
4.02%, 12/05/24 | 202,000 | 214,356 | |||||
3.78%, 02/01/28 (c) | 51,000 | 53,974 | |||||
3.51%, 01/23/29 | 66,000 | 68,639 | |||||
4.20%, 07/23/29 | 40,000 | 43,688 | |||||
JPMorgan Chase Bank, National Association | |||||||
2.75%, (3M USD LIBOR + 0.23%), 09/01/20 (b) (c) | 500,000 | 499,961 | |||||
Lloyds Banking Group PLC | |||||||
6.75%, (callable at 100 beginning 06/27/26) (d) | 97,000 | 99,133 | |||||
7.50%, (callable at 100 beginning 09/27/25) (d) | 109,000 | 114,398 | |||||
Shares/Par1 | Value ($) | ||||||
Markel Corporation | |||||||
5.00%, 05/20/49 | 78,000 | 84,849 | |||||
Metropolitan Life Global Funding I | |||||||
3.60%, 01/11/24 (a) | 235,000 | 247,842 | |||||
Morgan Stanley | |||||||
3.52%, (3M USD LIBOR + 0.93%), 07/22/22 (c) | 125,000 | 125,744 | |||||
4.10%, 05/22/23 | 349,000 | 366,890 | |||||
4.35%, 09/08/26 | 89,000 | 95,384 | |||||
3.63%, 01/20/27 | 67,000 | 70,097 | |||||
New York Life Global Funding | |||||||
2.75%, (3M USD LIBOR + 0.16%), 10/01/20 (a) (b) (c) | 500,000 | 500,269 | |||||
Nordic Aviation Capital DAC | |||||||
5.58%, 03/14/24 (e) (f) | 135,000 | 142,015 | |||||
PNC Bank, National Association | |||||||
2.79%, (3M USD LIBOR + 0.35%), 03/12/21 (b) (c) | 500,000 | 500,476 | |||||
Santander UK Group Holdings PLC | |||||||
4.80%, 11/15/24 | 161,000 | 171,477 | |||||
Spirit Realty, L.P. | |||||||
4.00%, 07/15/29 | 130,000 | 131,135 | |||||
Springleaf Finance Corporation | |||||||
6.63%, 01/15/28 | 37,000 | 38,845 | |||||
The Goldman Sachs Group, Inc. | |||||||
3.04%, (3M USD LIBOR + 0.73%), 12/27/20 (b) (c) | 382,000 | 382,640 | |||||
2.91%, 07/24/23 (b) | 20,000 | 20,182 | |||||
3.85%, 01/26/27 | 10,000 | 10,445 | |||||
4.22%, 05/01/29 | 54,000 | 57,837 | |||||
USA Compression Finance Corp. | |||||||
6.88%, 09/01/27 (a) | 67,000 | 70,328 | |||||
Volkswagen Group of America, Inc. | |||||||
4.63%, 11/13/25 (a) | 250,000 | 270,973 | |||||
Wells Fargo & Company | |||||||
2.15%, 01/30/20 (b) | 500,000 | 499,466 | |||||
Ziggo Secured Finance B.V. | |||||||
5.50%, 01/15/27 (a) | 130,000 | 132,144 | |||||
12,611,394 | |||||||
Energy 7.9% | |||||||
Alta Mesa Holdings, LP | |||||||
7.88%, 12/15/24 | 119,000 | 46,030 | |||||
Andeavor Logistics LP | |||||||
3.50%, 12/01/22 | 46,000 | 47,124 | |||||
5.20%, 12/01/47 | 44,000 | 47,092 | |||||
Callon Petroleum Company | |||||||
6.38%, 07/01/26 | 125,000 | 126,148 | |||||
Cheniere Corpus Christi Holdings, LLC | |||||||
5.88%, 03/31/25 | 41,000 | 45,648 | |||||
5.13%, 06/30/27 | 134,000 | 145,620 | |||||
Columbia Pipeline Group, Inc. | |||||||
5.80%, 06/01/45 | 91,000 | 106,775 | |||||
Continental Resources, Inc. | |||||||
4.38%, 01/15/28 | 121,000 | 127,399 | |||||
Denbury Resources Inc. | |||||||
9.25%, 03/31/22 (a) (b) | 14,000 | 13,218 | |||||
7.75%, 02/15/24 (a) | 80,000 | 66,603 | |||||
Diamondback Energy, Inc. | |||||||
4.75%, 11/01/24 (a) | 187,000 | 192,018 | |||||
Endeavor Energy Resources, L.P. | |||||||
5.50%, 01/30/26 (a) (b) | 19,000 | 19,707 | |||||
5.75%, 01/30/28 (a) | 19,000 | 20,058 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 192,000 | 200,312 | |||||
5.25%, 04/15/29 | 94,000 | 104,982 | |||||
5.80%, 06/15/38 | 95,000 | 105,817 | |||||
Energy Transfer Operating, L.P. | |||||||
6.25%, 04/15/49 | 40,000 | 47,319 | |||||
Enlink Midstream, LLC | |||||||
5.38%, 06/01/29 | 82,000 | 84,155 | |||||
Enterprise Products Operating LLC | |||||||
3.35%, 03/15/23 | 43,000 | 44,233 | |||||
3.13%, 07/31/29 | 173,000 | 173,785 | |||||
4.80%, 02/01/49 | 84,000 | 93,819 | |||||
4.20%, 01/31/50 | 58,000 | 59,539 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
31
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 70,000 | 67,491 | |||||
Everest Acquisition, LLC | |||||||
8.00%, 11/29/24 (a) | 171,000 | 114,583 | |||||
Extraction Oil & Gas, Inc. | |||||||
7.38%, 05/15/24 (a) | 75,000 | 64,951 | |||||
Marathon Petroleum Corporation | |||||||
3.80%, 04/01/28 | 30,000 | 30,516 | |||||
MPLX LP | |||||||
4.00%, 03/15/28 | 137,000 | 142,102 | |||||
Nabors Industries, Inc. | |||||||
5.75%, 02/01/25 | 124,000 | 109,939 | |||||
NGPL PipeCo LLC | |||||||
4.88%, 08/15/27 (a) | 23,000 | 24,323 | |||||
Parsley Energy, LLC | |||||||
5.38%, 01/15/25 (a) | 166,000 | 170,030 | |||||
PDV America, Inc. | |||||||
10.75%, 02/15/20 (a) | 62,000 | 64,140 | |||||
Petroleos Mexicanos | |||||||
6.50%, 01/23/29 | 85,000 | 82,237 | |||||
Sabine Pass Liquefaction, LLC | |||||||
5.63%, 03/01/25 | 88,000 | 98,365 | |||||
4.20%, 03/15/28 | 230,000 | 241,320 | |||||
Southwestern Energy Company | |||||||
7.75%, 10/01/27 | 500,000 | 479,287 | |||||
Summit Midstream Holdings, LLC | |||||||
5.75%, 04/15/25 | 74,000 | 64,859 | |||||
Summit Midstream Partners, LP | |||||||
9.50%, (callable at 104 beginning 12/15/22) (d) | 125,000 | 112,874 | |||||
Transocean Pontus Limited | |||||||
6.13%, 08/01/25 (a) (b) | 18,900 | 19,469 | |||||
Transocean Poseidon Limited | |||||||
6.88%, 02/01/27 (a) | 49,000 | 51,847 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (a) | 204,750 | 211,724 | |||||
4,067,458 | |||||||
Communication Services 7.8% | |||||||
Altice France | |||||||
7.38%, 05/01/26 (a) | 200,000 | 205,001 | |||||
AT&T Inc. | |||||||
3.62%, (3M USD LIBOR + 1.18%), 06/12/24 (c) | 450,000 | 455,253 | |||||
5.25%, 03/01/37 | 80,000 | 89,679 | |||||
CB Escrow Corp. | |||||||
8.00%, 10/15/25 (a) | 125,000 | 107,213 | |||||
Charter Communications Operating, LLC | |||||||
4.91%, 07/23/25 | 330,000 | 358,022 | |||||
6.83%, 10/23/55 | 40,000 | 47,116 | |||||
Comcast Corporation | |||||||
4.60%, 10/15/38 | 174,000 | 199,193 | |||||
4.95%, 10/15/58 | 64,000 | 77,971 | |||||
DISH DBS Corporation | |||||||
7.75%, 07/01/26 | 66,000 | 64,680 | |||||
Hughes Satellite Systems Corporation | |||||||
5.25%, 08/01/26 | 83,000 | 85,282 | |||||
Iheartcommunications, Inc. | |||||||
6.38%, 05/01/26 | 14,918 | 15,828 | |||||
8.38%, 05/01/27 | 27,038 | 28,299 | |||||
Intelsat Jackson Holdings S.A. | |||||||
8.50%, 10/15/24 (a) | 63,000 | 62,384 | |||||
9.75%, 07/15/25 (a) | 64,000 | 65,500 | |||||
Netflix, Inc. | |||||||
5.38%, 11/15/29 (a) | 34,000 | 36,162 | |||||
Nexstar Escrow Inc. | |||||||
5.63%, 07/15/27 (a) | 30,000 | 30,751 | |||||
Radiate HoldCo, LLC | |||||||
6.63%, 02/15/25 (a) | 33,000 | 32,047 | |||||
Sirius XM Radio Inc. | |||||||
4.63%, 07/15/24 (a) | 72,000 | 73,648 | |||||
5.50%, 07/01/29 (a) | 92,000 | 94,329 | |||||
Sprint Corporation | |||||||
7.13%, 06/15/24 | 58,000 | 61,534 | |||||
Sprint Spectrum Co LLC | |||||||
3.36%, 09/20/21 (a) | 112,500 | 112,670 | |||||
Shares/Par1 | Value ($) | ||||||
Telesat Canada | |||||||
8.88%, 11/15/24 (a) | 77,000 | 83,521 | |||||
Verizon Communications Inc. | |||||||
4.02%, 12/03/29 (a) (b) | 1,510,000 | 1,636,615 | |||||
4,022,698 | |||||||
Consumer Staples 6.4% | |||||||
Altria Group, Inc. | |||||||
4.40%, 02/14/26 | 163,000 | 174,231 | |||||
Anheuser-Busch Companies, LLC | |||||||
4.90%, 02/01/46 | 137,000 | 152,302 | |||||
Anheuser-Busch InBev Worldwide Inc. | |||||||
4.75%, 01/23/29 | 47,000 | 53,290 | |||||
BAT Capital Corp. | |||||||
3.12%, (3M USD LIBOR + 0.59%), 08/14/20 (c) | 416,000 | 416,885 | |||||
4.39%, 08/15/37 | 218,000 | 207,156 | |||||
Conagra Brands, Inc. | |||||||
3.34%, (3M USD LIBOR + 0.75%), 10/22/20 (b) (c) | 500,000 | 500,028 | |||||
JBS Investments GmbH | |||||||
7.25%, 04/03/24 (a) | 75,000 | 77,916 | |||||
JBS Investments II GmbH | |||||||
7.00%, 01/15/26 (a) | 200,000 | 216,073 | |||||
JBS USA Finance, Inc. | |||||||
6.75%, 02/15/28 (a) | 100,000 | 108,570 | |||||
JBS USA Food Company | |||||||
5.88%, 07/15/24 (a) | 15,000 | 15,434 | |||||
JBS USA LUX SA | |||||||
6.50%, 04/15/29 (a) | 74,000 | 80,379 | |||||
Kraft Heinz Foods Company | |||||||
3.12%, (3M USD LIBOR + 0.57%), 02/10/21 (c) | 333,000 | 332,483 | |||||
Mars, Incorporated | |||||||
3.95%, 04/01/49 (a) | 189,000 | 202,325 | |||||
Matterhorn Merger Sub LLC | |||||||
8.50%, 06/01/26 (a) | 125,000 | 110,626 | |||||
Post Holdings, Inc. | |||||||
5.63%, 01/15/28 (a) | 82,000 | 84,249 | |||||
Reynolds American Inc. | |||||||
4.45%, 06/12/25 | 119,000 | 126,089 | |||||
Sigma Holdco B.V. | |||||||
7.88%, 05/15/26 (a) | 200,000 | 185,603 | |||||
Walmart Inc. | |||||||
2.85%, 07/08/24 | 250,000 | 257,641 | |||||
3,301,280 | |||||||
Health Care 6.4% | |||||||
Abbott Laboratories | |||||||
4.75%, 11/30/36 | 42,000 | 49,785 | |||||
Actavis LLC | |||||||
3.25%, 10/01/22 | 333,000 | 338,045 | |||||
Bausch Health Companies Inc. | |||||||
6.50%, 03/15/22 (a) | 6,000 | 6,219 | |||||
5.88%, 05/15/23 (a) | 4,000 | 4,050 | |||||
5.50%, 03/01/23 - 11/01/25 (a) | 81,000 | 84,245 | |||||
8.50%, 01/31/27 (a) | 63,000 | 69,359 | |||||
5.75%, 08/15/27 (a) | 40,000 | 42,023 | |||||
7.00%, 03/15/24 - 01/15/28 (a) | 43,000 | 45,056 | |||||
Becton, Dickinson and Company | |||||||
3.48%, (3M USD LIBOR + 0.88%), 12/29/20 (b) (c) | 300,000 | 301,105 | |||||
Bristol-Myers Squibb Company | |||||||
4.13%, 06/15/39 (a) | 115,000 | 124,475 | |||||
4.25%, 10/26/49 (a) | 145,000 | 159,662 | |||||
Catalent Pharma Solutions, Inc. | |||||||
5.00%, 07/15/27 (a) | 15,000 | 15,247 | |||||
Centene Corporation | |||||||
4.75%, 05/15/22 | 52,000 | 53,235 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (a) | 156,000 | 164,207 | |||||
Cigna Corporation | |||||||
4.38%, 10/15/28 (a) (b) | 210,000 | 226,326 | |||||
Community Health Systems, Inc. | |||||||
8.63%, 01/15/24 (a) | 50,000 | 50,120 | |||||
8.00%, 03/15/26 (a) | 125,000 | 120,036 | |||||
CVS Health Corporation | |||||||
4.78%, 03/25/38 | 62,000 | 64,607 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
32
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
5.05%, 03/25/48 | 164,000 | 174,658 | |||||
Express Scripts Holding Company | |||||||
3.40%, 03/01/27 | 50,000 | 50,696 | |||||
HCA Inc. | |||||||
4.25%, 10/15/19 (b) | 400,000 | 401,626 | |||||
4.13%, 06/15/29 | 126,000 | 129,468 | |||||
5.13%, 06/15/39 | 53,000 | 55,061 | |||||
Legacy Lifepoint Health, Inc. | |||||||
9.75%, 12/01/26 (a) | 200,000 | 209,448 | |||||
Par Pharmaceutical, Inc. | |||||||
7.50%, 04/01/27 (a) | 164,000 | 161,042 | |||||
Tenet Healthcare Corporation | |||||||
8.13%, 04/01/22 | 21,000 | 22,051 | |||||
4.63%, 07/15/24 | 51,000 | 51,792 | |||||
WellCare Health Plans, Inc. | |||||||
5.25%, 04/01/25 | 61,000 | 63,687 | |||||
5.38%, 08/15/26 (a) | 46,000 | 48,823 | |||||
3,286,154 | |||||||
Utilities 5.8% | |||||||
Ameren Illinois Company | |||||||
4.50%, 03/15/49 | 104,000 | 121,516 | |||||
AVANGRID, Inc. | |||||||
3.15%, 12/01/24 | 159,000 | 161,816 | |||||
Basin Electric Power Cooperative | |||||||
4.75%, 04/26/47 (a) | 100,000 | 110,735 | |||||
Commonwealth Edison Company | |||||||
3.75%, 08/15/47 | 32,000 | 33,045 | |||||
DPL Inc. | |||||||
4.35%, 04/15/29 (a) | 127,000 | 128,573 | |||||
Electricite de France | |||||||
4.50%, 09/21/28 (a) (b) | 200,000 | 219,266 | |||||
Exelon Corporation | |||||||
5.10%, 06/15/45 | 112,000 | 130,235 | |||||
FirstEnergy Corp. | |||||||
3.90%, 07/15/27 | 112,000 | 117,477 | |||||
Florida Power & Light Company | |||||||
2.97%, (3M USD LIBOR + 0.40%), 05/06/22 (b) (c) | 750,000 | 749,569 | |||||
Indiana Michigan Power Company | |||||||
4.25%, 08/15/48 | 69,000 | 75,764 | |||||
Nevada Power Company | |||||||
3.70%, 05/01/29 | 159,000 | 169,955 | |||||
Sempra Energy | |||||||
3.10%, (3M USD LIBOR + 0.50%), 01/15/21 (c) | 333,000 | 331,886 | |||||
Southern California Edison Company | |||||||
4.13%, 03/01/48 | 46,000 | 46,099 | |||||
The AES Corporation | |||||||
4.00%, 03/15/21 | 215,000 | 218,829 | |||||
The Southern Company | |||||||
2.95%, 07/01/23 | 135,000 | 136,823 | |||||
Vistra Operations Company LLC | |||||||
3.55%, 07/15/24 (a) (b) | 168,000 | 169,256 | |||||
5.00%, 07/31/27 (a) | 57,000 | 58,961 | |||||
2,979,805 | |||||||
Industrials 5.8% | |||||||
Aircastle Limited | |||||||
4.40%, 09/25/23 | 41,000 | 42,526 | |||||
4.13%, 05/01/24 | 46,000 | 47,230 | |||||
Ashtead Capital, Inc. | |||||||
5.25%, 08/01/26 (a) | 124,000 | 129,837 | |||||
Aviation Capital Group LLC | |||||||
4.38%, 01/30/24 (a) | 104,000 | 109,265 | |||||
Avolon Holdings Funding Limited | |||||||
3.63%, 05/01/22 (a) | 125,000 | 126,661 | |||||
5.13%, 10/01/23 (a) (b) | 175,000 | 185,044 | |||||
5.25%, 05/15/24 (a) | 342,000 | 364,876 | |||||
Bombardier Inc. | |||||||
5.75%, 03/15/22 (a) | 34,000 | 34,537 | |||||
7.50%, 03/15/25 (a) | 65,000 | 65,254 | |||||
7.88%, 04/15/27 (a) | 75,000 | 75,087 | |||||
General Electric Company | |||||||
5.00%, (callable at 100 beginning 01/21/21) (b) (d) | 479,000 | 459,744 | |||||
Shares/Par1 | Value ($) | ||||||
Siemens Financieringsmaatschappij N.V. | |||||||
1.30%, 09/13/19 (a) | 500,000 | 499,319 | |||||
Tempo Acquisition, LLC | |||||||
6.75%, 06/01/25 (a) | 56,000 | 57,688 | |||||
Union Pacific Corporation | |||||||
4.38%, 09/10/38 | 50,000 | 55,008 | |||||
United Technologies Corporation | |||||||
1.90%, 05/04/20 | 333,000 | 331,872 | |||||
Westinghouse Air Brake Technologies Corporation | |||||||
3.71%, (3M USD LIBOR + 1.30%), 09/15/21 (c) | 375,000 | 373,315 | |||||
2,957,263 | |||||||
Materials 5.5% | |||||||
Anglo American Capital PLC | |||||||
4.88%, 05/14/25 (a) | 121,000 | 130,278 | |||||
4.75%, 04/10/27 (a) | 200,000 | 211,966 | |||||
Berry Global Escrow Corporation | |||||||
4.88%, 07/15/26 (a) (b) | 100,000 | 102,125 | |||||
CF Industries, Inc. | |||||||
3.40%, 12/01/21 (a) | 116,000 | 118,247 | |||||
4.50%, 12/01/26 (a) | 362,000 | 378,982 | |||||
Corning Incorporated | |||||||
5.85%, 11/15/68 | 58,000 | 68,435 | |||||
FMG Resources (August 2006) Pty Ltd | |||||||
4.75%, 05/15/22 (a) | 105,000 | 107,626 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 (b) | 218,000 | 222,945 | |||||
5.40%, 11/14/34 | 90,000 | 85,995 | |||||
FXI Holdings, Inc. | |||||||
7.88%, 11/01/24 (a) | 153,000 | 142,541 | |||||
Martin Marietta Materials, Inc. | |||||||
3.17%, (3M USD LIBOR + 0.65%), 05/22/20 (c) | 333,000 | 333,373 | |||||
Mauser Packaging Solutions Holding Company | |||||||
7.25%, 04/15/25 (a) | 92,000 | 88,764 | |||||
NOVA Chemicals Corporation | |||||||
4.88%, 06/01/24 (a) | 250,000 | 259,450 | |||||
Olin Corporation | |||||||
5.00%, 02/01/30 | 38,000 | 37,648 | |||||
Reynolds Group Holdings Inc. | |||||||
6.10%, (3M USD LIBOR + 3.50%), 07/15/21 (a) (c) | 161,000 | 161,321 | |||||
The Sherwin-Williams Company | |||||||
2.25%, 05/15/20 | 333,000 | 332,361 | |||||
Trinseo Materials Operating S.C.A. | |||||||
5.38%, 09/01/25 (a) | 71,000 | 68,301 | |||||
2,850,358 | |||||||
Consumer Discretionary 2.4% | |||||||
Adient US LLC | |||||||
7.00%, 05/15/26 (a) | 13,000 | 13,375 | |||||
American Axle & Manufacturing, Inc. | |||||||
6.50%, 04/01/27 | 105,000 | 104,718 | |||||
Dollar Tree, Inc. | |||||||
3.29%, (3M USD LIBOR + 0.70%), 04/17/20 (b) (c) | 400,000 | 400,075 | |||||
Fiat Chrysler Automobiles N.V. | |||||||
5.25%, 04/15/23 | 103,000 | 108,852 | |||||
GLP Financing, LLC | |||||||
5.75%, 06/01/28 | 14,000 | 15,435 | |||||
Hilton Worldwide Holdings Inc. | |||||||
4.63%, 04/01/25 (b) | 8,000 | 8,188 | |||||
KB Home | |||||||
7.63%, 05/15/23 | 127,000 | 142,272 | |||||
Nemak, S.A.B. de C.V. | |||||||
4.75%, 01/23/25 (a) | 126,000 | 127,097 | |||||
New Golden Nugget Inc. | |||||||
6.75%, 10/15/24 (a) | 72,000 | 74,168 | |||||
Panther BF Aggregator 2 LP | |||||||
6.25%, 05/15/26 (a) | 70,000 | 72,738 | |||||
VOC Escrow Ltd. | |||||||
5.00%, 02/15/28 (a) | 125,000 | 126,608 | |||||
Williams Scotsman International, Inc. | |||||||
6.88%, 08/15/23 (a) | 57,000 | 59,287 | |||||
1,252,813 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
33
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
Information Technology 2.3% | ||||||||||
Broadcom Corporation | ||||||||||
3.88%, 01/15/27 | 100,000 | 98,015 | ||||||||
Broadcom Inc. | ||||||||||
4.25%, 04/15/26 (a) | 125,000 | 127,650 | ||||||||
Intel Corporation | ||||||||||
2.62%, (3M USD LIBOR + 0.08%), 05/11/20 (c) | 250,000 | 250,150 | ||||||||
International Business Machines Corporation | ||||||||||
4.25%, 05/15/49 | 111,000 | 119,049 | ||||||||
Microsoft Corporation | ||||||||||
3.45%, 08/08/36 | 133,000 | 140,367 | ||||||||
3.95%, 08/08/56 | 50,000 | 55,174 | ||||||||
NXP B.V. | ||||||||||
4.13%, 06/01/21 (a) | 200,000 | 204,542 | ||||||||
Oracle Corporation | ||||||||||
4.00%, 11/15/47 | 33,000 | 35,466 | ||||||||
Radiate HoldCo, LLC | ||||||||||
6.88%, 02/15/23 (a) | 85,000 | 85,170 | ||||||||
ViaSat, Inc. | ||||||||||
5.63%, 04/15/27 (a) | 43,000 | 44,734 | ||||||||
1,160,317 | ||||||||||
Real Estate 0.5% | ||||||||||
Boston Properties Limited Partnership | ||||||||||
2.75%, 10/01/26 | 36,000 | 35,421 | ||||||||
4.50%, 12/01/28 | 145,000 | 160,451 | ||||||||
HCP, Inc. | ||||||||||
3.25%, 07/15/26 | 24,000 | 24,175 | ||||||||
3.50%, 07/15/29 | 43,000 | 43,167 | ||||||||
263,214 | ||||||||||
Total Corporate Bonds And Notes (cost $37,664,300) | 38,752,754 | |||||||||
SENIOR LOAN INTERESTS 20.0% | ||||||||||
Consumer Discretionary 6.8% | ||||||||||
1011778 B.C. Unlimited Liability Company | ||||||||||
Term Loan B3, 4.65%, (3M LIBOR + 2.25%), 02/15/24 (c) | 223,192 | 221,333 | ||||||||
American Axle and Manufacturing, Inc. | ||||||||||
Term Loan B, 4.66%, (3M LIBOR + 2.25%), 03/10/24 (c) | 140,822 | 137,610 | ||||||||
Term Loan B, 4.84%, (3M LIBOR + 2.25%), 03/10/24 (c) | 71,450 | 69,820 | ||||||||
Aramark Services, Inc. | ||||||||||
2018 Term Loan B2, 4.19%, (3M LIBOR + 1.75%), 03/28/24 (c) | 132,531 | 132,034 | ||||||||
Term Loan, 4.08%, (3M LIBOR + 1.75%), 03/01/25 (c) | 187,000 | 186,205 | ||||||||
Caesars Entertainment Operating Company | ||||||||||
Term Loan, 4.40%, (3M LIBOR + 2.00%), 04/03/24 (c) | 222,739 | 220,721 | ||||||||
Caesars Resort Collection, LLC | ||||||||||
2017 1st Lien Term Loan B, 5.15%, (3M LIBOR + 2.75%), 12/23/24 (c) | 247,487 | 243,104 | ||||||||
Charter Communications Operating, LLC | ||||||||||
2017 Term Loan B, 4.33%, (3M LIBOR + 2.00%), 04/30/25 (c) | 197,990 | 197,693 | ||||||||
CityCenter Holdings, LLC | ||||||||||
2017 Term Loan B, 4.65%, (1M LIBOR + 2.25%), 04/14/24 (c) | 197,980 | 197,061 | ||||||||
CSC Holdings, LLC | ||||||||||
2017 1st Lien Term Loan, 4.64%, (3M LIBOR + 2.25%), 07/15/25 (c) | 158,785 | 156,055 | ||||||||
Eldorado Resorts LLC | ||||||||||
2017 Term Loan B, 4.69%, (1M LIBOR + 2.25%), 03/15/24 (c) | 85,000 | 84,602 | ||||||||
Four Seasons Hotels Limited | ||||||||||
New 1st Lien Term Loan, 4.40%, (3M LIBOR + 2.00%), 11/30/23 (c) | 123,731 | 123,404 | ||||||||
Golden Nugget, Inc. | ||||||||||
2017 Incremental Term Loan B, 5.14%, (3M LIBOR + 2.75%), 09/07/23 (c) | 83,829 | 83,058 | ||||||||
2017 Incremental Term Loan B, 5.15%, (3M LIBOR + 2.75%), 10/04/23 (c) | 104,566 | 103,604 | ||||||||
Marriott Ownership Resorts, Inc. | ||||||||||
2018 Term Loan B, 4.65%, (3M LIBOR + 2.25%), 08/09/25 (c) | 346,260 | 345,973 | ||||||||
Shares/Par1 | Value ($) | |||||||||
Mohegan Tribal Gaming Authority | ||||||||||
2016 Term Loan B, 6.40%, (3M LIBOR + 4.00%), 10/30/23 (c) | 197,916 | 184,026 | ||||||||
Numericable Group SA | ||||||||||
USD Term Loan B11, 5.15%, (3M LIBOR + 2.75%), 07/31/25 (c) | 296,970 | 282,228 | ||||||||
PCI Gaming Authority | ||||||||||
Term Loan, 5.40%, (3M LIBOR + 3.00%), 05/15/26 (c) | 235,000 | 235,244 | ||||||||
SIWF Holdings Inc. | ||||||||||
1st Lien Term Loan, 6.65%, (3M LIBOR + 4.25%), 05/25/25 (c) | 64,350 | 63,707 | ||||||||
Univision Communications Inc. | ||||||||||
Term Loan C5, 5.15%, (3M LIBOR + 2.75%), 03/15/24 (c) | 222,518 | 211,601 | ||||||||
3,479,083 | ||||||||||
Communication Services 2.5% | ||||||||||
AMC Entertainment Holdings, Inc. | ||||||||||
2019 Term Loan B, 5.23%, (3M LIBOR + 3.00%), 04/22/26 (c) | 47,880 | 47,736 | ||||||||
CenturyLink, Inc. | ||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 01/15/25 (c) | 247,487 | 241,439 | ||||||||
Entercom Media Corp. | ||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 11/18/24 (c) | 49,120 | 49,017 | ||||||||
Frontier Communications Corp. | ||||||||||
2017 Term Loan B1, 6.16%, (3M LIBOR + 3.75%), 05/31/24 (c) | 123,109 | 120,545 | ||||||||
iHeartCommunications, Inc. | ||||||||||
Exit Term Loan, 6.58%, (3M LIBOR + 4.00%), 05/04/26 (c) | 65,264 | 65,325 | ||||||||
Nexstar Broadcasting, Inc. | ||||||||||
2019 Term Loan B4, 0.00%, (3M LIBOR + 2.75%), 06/13/26 (c) (g) | 249,152 | 248,218 | ||||||||
Nexstar Media Group, Inc. | ||||||||||
Bridge Term Loan, 0.00%, 11/30/19 (c) (g) | 64,000 | 63,120 | ||||||||
Sprint Communications, Inc. | ||||||||||
1st Lien Term Loan B, 4.94%, (3M LIBOR + 2.50%), 02/01/24 (c) | 148,481 | 146,068 | ||||||||
Virgin Media Bristol LLC | ||||||||||
USD Term Loan K, 4.89%, (3M LIBOR + 2.50%), 02/10/26 (c) | 150,000 | 149,350 | ||||||||
Windstream Services, LLC | ||||||||||
Repriced Term Loan B6, 10.50%, (3M PRIME + 5.00%), 03/29/21 (c) | 149,237 | 153,287 | ||||||||
1,284,105 | ||||||||||
Materials 2.3% | ||||||||||
Berry Global, Inc. | ||||||||||
2018 Term Loan S, 4.16%, (3M LIBOR + 1.75%), 02/02/20 (c) | 126,562 | 126,382 | ||||||||
USD Term Loan U, 0.00%, (3M LIBOR + 2.50%), 05/17/26 (c) (g) | 196,875 | 195,420 | ||||||||
BWAY Holding Company | ||||||||||
2017 Term Loan B, 5.85%, (3M LIBOR + 3.25%), 04/03/24 (c) | 287,989 | 277,788 | ||||||||
Hexion Inc | ||||||||||
DIP Term Loan, 5.35%, (3M LIBOR + 2.75%), 10/01/20 (c) | 127,000 | 126,921 | ||||||||
USD Exit Term Loan, 0.00%, (3M LIBOR + 3.50%), 06/27/26 (c) (g) | 197,038 | 196,792 | ||||||||
Klockner-Pentaplast of America, Inc. | ||||||||||
USD 2017 Term Loan B2, 6.65%, (3M LIBOR + 4.25%), 06/30/22 (c) | 148,489 | 131,190 | ||||||||
Messer Industries GmbH | ||||||||||
2018 USD Term Loan, 4.83%, (3M LIBOR + 2.50%), 10/10/25 (c) | 121,000 | 119,261 | ||||||||
1,173,754 | ||||||||||
Health Care 1.9% | ||||||||||
Air Methods Corporation | ||||||||||
2017 Term Loan B, 5.83%, (3M LIBOR + 3.50%), 04/12/24 (c) | 89,685 | 72,458 | ||||||||
Alphabet Holding Company, Inc. | ||||||||||
2017 1st Lien Term Loan, 5.90%, (3M LIBOR + 3.50%), 08/15/24 (c) | 89,093 | 83,926 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
34
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
Change Healthcare Holdings LLC | ||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 02/02/24 - 02/03/24 (c) | 159,988 | 158,648 | ||||||||
Endo Luxembourg Finance Company I S.a r.l. | ||||||||||
2017 Term Loan B, 6.65%, (3M LIBOR + 4.25%), 04/12/24 (c) | 133,636 | 125,173 | ||||||||
Phoenix Guarantor Inc | ||||||||||
Term Loan B, 6.92%, (3M LIBOR + 4.50%), 02/12/26 (c) | 166,667 | 165,792 | ||||||||
RegionalCare Hospital Partners Holdings, Inc. | ||||||||||
2018 Term Loan B, 6.90%, (3M LIBOR + 4.50%), 11/09/25 (c) | 248,125 | 246,485 | ||||||||
2018 Term Loan B, 9.00%, (3M LIBOR + 4.50%), 11/09/25 (c) | 625 | 621 | ||||||||
Surgery Center Holdings, Inc. | ||||||||||
2017 Term Loan B, 5.66%, (3M LIBOR + 3.25%), 06/18/24 (c) | 98,992 | 95,362 | ||||||||
948,465 | ||||||||||
Energy 1.8% | ||||||||||
California Resources Corporation | ||||||||||
2017 1st Lien Term Loan, 7.05%, (3M LIBOR + 4.75%), 11/08/22 (c) | 125,000 | 119,286 | ||||||||
Encino Acquisition Partners Holdings, LLC | ||||||||||
2018 2nd Lien Term Loan, 9.15%, (3M LIBOR + 6.75%), 09/26/25 (c) (e) | 123,003 | 112,548 | ||||||||
Equitrans Midstream Corporation | ||||||||||
Term Loan B, 6.90%, (3M LIBOR + 4.50%), 12/13/23 (c) | 74,812 | 75,140 | ||||||||
Lower Cadence Holdings LLC | ||||||||||
Term Loan B, 6.40%, (3M LIBOR + 4.00%), 05/10/26 (c) | 320,000 | 318,000 | ||||||||
TEX Operations Co. LLC | ||||||||||
Exit Term Loan B, 4.40%, (3M LIBOR + 2.00%), 08/04/23 (c) | 192,551 | 192,191 | ||||||||
Traverse Midstream Partners LLC | ||||||||||
Term Loan, 6.59%, (3M LIBOR + 4.00%), 09/22/24 (c) | 99,250 | 97,974 | ||||||||
915,139 | ||||||||||
Information Technology 1.3% | ||||||||||
Ancestry.com Operations Inc. | ||||||||||
2017 1st Lien Term Loan, 5.66%, (1M LIBOR + 3.25%), 10/19/23 (c) | 213,900 | 213,098 | ||||||||
Financial & Risk US Holdings, Inc. | ||||||||||
2018 USD Term Loan, 6.15%, (3M LIBOR + 3.75%), 09/12/25 (c) | 65,670 | 63,638 | ||||||||
First Data Corporation | ||||||||||
Term Loan, 4.40%, (1M LIBOR + 2.00%), 07/08/22 (c) | 144,225 | 144,046 | ||||||||
Radiate Holdco, LLC | ||||||||||
1st Lien Term Loan, 5.40%, (3M LIBOR + 3.00%), 12/09/23 (c) | 153,430 | 149,699 | ||||||||
SS&C Technologies Holdings Europe S.A.R.L. | ||||||||||
2018 Term Loan B4, 4.65%, (3M LIBOR + 2.25%), 02/27/25 (c) | 41,214 | 41,029 | ||||||||
SS&C Technologies Inc. | ||||||||||
2018 Term Loan B3, 4.65%, (3M LIBOR + 2.25%), 02/27/25 (c) | 60,097 | 59,827 | ||||||||
671,337 | ||||||||||
Consumer Staples 0.9% | ||||||||||
BJ's Wholesale Club, Inc. | ||||||||||
2017 1st Lien Term Loan, 5.16%, (3M LIBOR + 2.75%), 01/26/24 (c) | 116,191 | 116,203 | ||||||||
Diamond (BC) B.V. | ||||||||||
Term Loan, 5.58%, (1M LIBOR + 3.00%), 07/24/24 (c) | 168,291 | 147,676 | ||||||||
Dole Food Company Inc. | ||||||||||
2017 Term Loan B, 5.15%, (1M LIBOR + 2.75%), 03/22/24 (c) | 24,291 | 23,692 | ||||||||
2017 Term Loan B, 5.19%, (1M LIBOR + 2.75%), 03/22/24 (c) | 24,291 | 23,692 | ||||||||
2017 Term Loan B, 5.29%, (1M LIBOR + 2.75%), 03/22/24 (c) | 24,494 | 23,889 | ||||||||
2017 Term Loan B, 7.25%, (1M PRIME + 1.75%), 03/22/24 (c) | 35 | 35 | ||||||||
Shares/Par1 | Value ($) | |||||||||
JBS USA Lux S.A. | ||||||||||
2019 Term Loan B, 4.90%, (3M LIBOR + 2.50%), 04/27/26 (c) | 147,002 | 146,634 | ||||||||
481,821 | ||||||||||
Industrials 0.9% | ||||||||||
Gardner Denver, Inc. | ||||||||||
2017 USD Term Loan B, 5.15%, (1M LIBOR + 2.75%), 07/30/24 (c) | 94,663 | 94,723 | ||||||||
Panther BF Aggregator 2 LP | ||||||||||
USD Term Loan B, 5.90%, (3M LIBOR + 3.50%), 03/13/26 (c) | 146,600 | 145,410 | ||||||||
Tempo Acquisition LLC | ||||||||||
Term Loan, 5.40%, (3M LIBOR + 3.00%), 04/20/24 (c) | 227,677 | 226,586 | ||||||||
466,719 | ||||||||||
Financials 0.8% | ||||||||||
Blackstone CQP Holdco LP | ||||||||||
Term Loan B, 5.89%, (3M LIBOR + 3.50%), 05/29/24 (c) | 94,595 | 94,689 | ||||||||
Level 3 Financing Inc. | ||||||||||
2017 Term Loan B, 4.65%, (3M LIBOR + 2.25%), 02/16/24 (c) | 250,000 | 247,875 | ||||||||
UFC Holdings, LLC | ||||||||||
2019 Term Loan, 5.66%, (3M LIBOR + 3.25%), 04/25/26 (c) | 84,351 | 84,125 | ||||||||
426,689 | ||||||||||
Utilities 0.5% | ||||||||||
Calpine Corporation | ||||||||||
Term Loan B5, 4.83%, (3M LIBOR + 2.50%), 05/23/22 (c) | 197,938 | 196,754 | ||||||||
PG&E Corp | ||||||||||
DIP Term Loan, 4.69%, (3M LIBOR + 2.25%), 12/31/20 (c) | 75,000 | 75,187 | ||||||||
271,941 | ||||||||||
Real Estate 0.3% | ||||||||||
MGM Growth Properties Operating Partnership LP | ||||||||||
2016 Term Loan B, 4.40%, (3M LIBOR + 2.00%), 04/20/23 (c) | 148,465 | 147,422 | ||||||||
Total Senior Loan Interests (cost $10,407,135) | 10,266,475 | |||||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 5.7% | ||||||||||
American Airlines, Inc. | ||||||||||
Series 2013-B-2, 5.60%, 07/15/20 (a) | 90,873 | 92,554 | ||||||||
Ascentium Equipment Receivables Trust | ||||||||||
Series 2018-A2-1A, 2.92%, 12/10/20 (a) | 34,883 | 34,952 | ||||||||
Series 2017-A3-2A, 2.31%, 12/10/21 (a) | 75,000 | 75,066 | ||||||||
BCC Funding XIV, LLC | ||||||||||
Series 2018-A2-1A, 2.96%, 06/20/23 (a) | 69,710 | 70,051 | ||||||||
BX Commercial Mortgage Trust | ||||||||||
Series 2018-A-IND, 3.14%, (1M USD LIBOR + 0.75%), 10/15/20 (a) (b) (c) | 609,093 | 609,092 | ||||||||
CCG Receivables Trust | ||||||||||
Series 2018-A2-1, 2.50%, 02/14/21 (a) | 63,394 | 63,522 | ||||||||
Chrysler Capital Auto Receivables Trust | ||||||||||
Series 2016-A3-BA, 1.64%, 07/15/21 (a) (b) | 186,861 | 186,625 | ||||||||
CIG Auto Receivables Trust | ||||||||||
Series 2017-A-1A, 2.71%, 05/15/23 (a) | 21,783 | 21,782 | ||||||||
Citibank Credit Card Issuance Trust | ||||||||||
Series 2017-A9-A9, 1.80%, 09/20/19 | 300,000 | 299,613 | ||||||||
Series 2017-A4-A4, 2.64%, (1M USD LIBOR + 0.22%), 04/07/20 (b) (c) | 500,000 | 500,392 | ||||||||
Dell Equipment Finance Trust | ||||||||||
Series 2018-A2A-1, 2.97%, 10/22/20 (a) | 68,555 | 68,731 | ||||||||
Engs Commercial Finance Trust | ||||||||||
Series 2018-A1-1A, 2.97%, 02/22/21 (a) | 33,664 | 33,722 | ||||||||
GLS Auto Receivables Trust | ||||||||||
Series 2019-A-1A, 3.37%, 03/15/21 (a) | 127,480 | 128,145 | ||||||||
Series 2018-A-3A, 3.35%, 08/15/22 (a) | 51,378 | 51,650 | ||||||||
GreatAmerica Financial Services Corporation | ||||||||||
Series 2019-A2-1, 2.97%, 09/15/20 (a) | 136,000 | 136,624 | ||||||||
GS Mortgage Securities Corp Trust | ||||||||||
Series 2017-B-SLP, REMIC, 3.77%, 10/12/22 (a) | 175,000 | 180,688 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
35
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
Santander Retail Auto Lease Trust | ||||||||||
Series 2018-A2B-A, REMIC, 2.65%, (1M USD LIBOR + 0.27%), 01/20/20 (a) (c) | 231,018 | 231,018 | ||||||||
United Auto Credit Securitization Trust | ||||||||||
Series 2018-A-2, 2.89%, 03/10/21 (a) | 18,318 | 18,325 | ||||||||
Verizon Owner Trust | ||||||||||
Series 2016-A-1A, 1.42%, 01/20/21 (a) | 36,962 | 36,909 | ||||||||
Volvo Financial Equipment LLC | ||||||||||
Series 2019-A2-1A, 2.90%, 11/15/21 (a) | 110,000 | 110,523 | ||||||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $2,937,729) | 2,949,984 | |||||||||
INVESTMENT COMPANIES 2.6% | ||||||||||
Kayne Anderson MLP Investment Co. | 2,582 | 39,530 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF (b) | 12,000 | 1,307,279 | ||||||||
Total Investment Companies (cost $1,329,960) | 1,346,809 | |||||||||
GOVERNMENT AND AGENCY OBLIGATIONS 0.7% | ||||||||||
Mortgage-Backed Securities 0.5% | ||||||||||
Federal Home Loan Mortgage Corporation | ||||||||||
REMIC, 2.72%, (1M USD LIBOR + 0.32%), 02/25/20 (c) | 257,000 | 257,098 | ||||||||
U.S. Treasury Securities 0.2% | ||||||||||
U.S. Treasury Note | ||||||||||
2.88%, 07/31/25 | 79,000 | 83,691 | ||||||||
Total Government And Agency Obligations (cost $336,407) | 340,789 | |||||||||
COMMON STOCKS 0.1% | ||||||||||
Energy 0.1% | ||||||||||
Chaparral Energy, Inc. - Class A (h) | 8,604 | 40,525 | ||||||||
Communication Services 0.0% | ||||||||||
Clear Channel Outdoor Holdings, Inc. (h) | 6,438 | 30,387 | ||||||||
iHeartMedia, Inc. (e) (f) (h) | 250,000 | — | ||||||||
iHeartMedia, Inc. - Class A (f) (h) | 310 | 4,666 | ||||||||
35,053 | ||||||||||
Total Common Stocks (cost $196,887) | 75,578 | |||||||||
WARRANTS 0.1% | ||||||||||
iHeartMedia, Inc. (f) (h) (i) | 2,328 | 35,036 | ||||||||
Total Warrants (cost $42,970) | 35,036 | |||||||||
SHORT TERM INVESTMENTS 5.7% | ||||||||||
Investment Companies 5.7% | ||||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.32% (j) | 2,946,089 | 2,946,089 | ||||||||
Total Short Term Investments (cost $2,946,089) | 2,946,089 | |||||||||
Total Investments 110.2% (cost $55,861,477) | 56,713,514 | |||||||||
Total Securities Sold Short (10.0)% (proceeds $4,795,710) | (5,150,654) | |||||||||
Other Derivative Instruments (0.0)% | (1,161) | |||||||||
Other Assets and Liabilities, Net (0.2)% | (119,728) | |||||||||
Total Net Assets 100.0% | 51,441,971 |
(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. As of June 30, 2019, the value and the percentage of net assets of these liquid securities was $16,827,740 and 32.7% of the fund.
(b) All or a portion of the security is pledged or segregated as collateral.
(c) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of June 30, 2019. 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 reflect 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.
(d) Perpetual security. Next contractual call date presented, if applicable.
(e) 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.
(f) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees.
(g) This senior loan will settle after June 30, 2019. If a reference rate and spread is presented, it will go into effect upon settlement.
(h) Non-income producing security.
(i) Security fair valued in good faith as a Level 2 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.
(j) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2019.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
36
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
SECURITIES SOLD SHORT (10.0%) | |||||||
CORPORATE BONDS AND NOTES (10.0%) | |||||||
Financials (2.6%) | |||||||
Bank of America Corporation | |||||||
3.95%, 01/23/49 | (1,250,000) | (1,331,336) | |||||
Communication Services (2.4%) | |||||||
Verizon Communications Inc. | |||||||
4.52%, 09/15/48 | (1,123,000) | (1,261,760) | |||||
Real Estate (1.0%) | |||||||
Simon Property Group, L.P. | |||||||
3.30%, 01/15/26 | (500,000) | (518,077) | |||||
Consumer Discretionary (1.0%) | |||||||
Harley-Davidson, Inc. | |||||||
3.50%, 07/28/25 | (500,000) | (510,250) | |||||
Materials (1.0%) | |||||||
International Paper Company | |||||||
3.00%, 02/15/27 | (500,000) | (496,171) | |||||
Energy (0.8%) | |||||||
Southwestern Energy Company | |||||||
6.20%, 01/23/25 (a) | (432,000) | (396,388) | |||||
Industrials (0.6%) | |||||||
The Boeing Company | |||||||
3.85%, 11/01/48 | (320,000) | (334,116) | |||||
Information Technology (0.6%) | |||||||
Intel Corporation | |||||||
4.10%, 05/11/47 | (275,000) | (302,556) | |||||
Total Corporate Bonds And Notes (proceeds $4,795,710) | (5,150,654) | ||||||
Total Securities Sold Short (10.0%) (proceeds $4,795,710) | (5,150,654) |
(a) Security is a step-up bond where the coupon may increase or step up at a future date or as the result of an upgrade or downgrade to the credit rating of the issuer. Rate stated was the coupon as of June 30, 2019.
Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
PG&E Corp. – DIP Delayed Draw Term Loan | 24,875 | 188 | ||||
24,875 | 188 |
PPM Long Short Credit Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (44) | September 2019 | (5,546,371) | (1,375) | (84,254) | ||||||||||
United States 10 Year Ultra Bond | (18) | September 2019 | (2,445,187) | (563) | (41,063) | ||||||||||
United States 2 Year Note | (17) | October 2019 | (3,640,473) | 693 | (17,553) | ||||||||||
United States 5 Year Note | (59) | October 2019 | (6,895,765) | — | (75,454) | ||||||||||
United States Long Bond | (9) | September 2019 | (1,371,109) | 1,125 | (29,235) | ||||||||||
United States Ultra Bond | (4) | September 2019 | (693,174) | 750 | (17,076) | ||||||||||
630 | (264,635) |
PPM Long Short Credit Fund — Centrally Cleared Credit Default Swap Agreements | ||||||||||||||||||
Reference Entity2 | Fixed Receive/ Pay Rate6 (%) | Expiration | Notional1,5 | Value4 ($) | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Credit default swap agreements - purchase protection3 | ||||||||||||||||||
CDX.NA.IG.32 (Q) | 1.00 | 06/20/24 | 3,750,000 | (80,204) | (1,791) | (15,919) | ||||||||||||
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
37
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
PPM Strategic Income Fund | |||||||
CORPORATE BONDS AND NOTES 72.7% | |||||||
Financials 23.0% | |||||||
Acrisure, LLC | |||||||
7.00%, 11/15/25 (a) | 128,000 | 115,944 | |||||
Ally Financial Inc. | |||||||
3.88%, 05/21/24 | 48,000 | 49,173 | |||||
5.75%, 11/20/25 | 142,000 | 157,398 | |||||
American Express Company | |||||||
2.20%, 10/30/20 | 500,000 | 499,116 | |||||
3.70%, 08/03/23 | 150,000 | 157,398 | |||||
American Water Capital Corp. | |||||||
3.45%, 06/01/29 | 170,000 | 176,664 | |||||
Antero Resources Finance Corporation | |||||||
5.38%, 11/01/21 | 176,000 | 173,995 | |||||
Ardagh Packaging Finance Public Limited Company | |||||||
6.00%, 02/15/25 (a) | 164,000 | 170,026 | |||||
Athene Global Funding | |||||||
4.00%, 01/25/22 (a) | 179,000 | 185,342 | |||||
Bank of America Corporation | |||||||
6.25%, (callable at 100 beginning 09/05/24) (b) | 86,000 | 93,033 | |||||
6.30%, (callable at 100 beginning 03/10/26) (b) | 55,000 | 61,308 | |||||
3.55%, 03/05/24 | 63,000 | 65,202 | |||||
3.86%, 07/23/24 | 98,000 | 102,798 | |||||
4.00%, 01/22/25 | 193,000 | 202,986 | |||||
4.25%, 10/22/26 | 111,000 | 118,796 | |||||
3.25%, 10/21/27 | 27,000 | 27,658 | |||||
Barclays PLC | |||||||
8.00%, (callable at 100 beginning 12/15/20), EUR (b) | 167,000 | 205,302 | |||||
5.09%, 06/20/30 | 100,000 | 102,336 | |||||
Bayer US Finance II LLC | |||||||
4.25%, 12/15/25 (a) | 39,000 | 41,222 | |||||
4.38%, 12/15/28 (a) | 102,000 | 107,445 | |||||
BlackRock, Inc. | |||||||
3.25%, 04/30/29 | 135,000 | 141,316 | |||||
Capital One Financial Corporation | |||||||
3.75%, 03/09/27 | 107,000 | 110,387 | |||||
Citigroup Inc. | |||||||
2.10%, 06/12/20 | 600,000 | 598,773 | |||||
4.45%, 09/29/27 | 375,000 | 403,168 | |||||
3.89%, 01/10/28 (c) | 59,000 | 62,302 | |||||
Credit Suisse Group AG | |||||||
7.50%, (callable at 100 beginning 12/11/23) (a) (b) | 204,000 | 224,655 | |||||
6.50%, 08/08/23 (a) | 310,000 | 340,908 | |||||
3.87%, 01/12/29 (a) | 17,000 | 17,510 | |||||
Danske Bank A/S | |||||||
5.38%, 01/12/24 (a) | 226,000 | 244,127 | |||||
Diamond Finance International Limited | |||||||
5.88%, 06/15/21 (a) | 49,000 | 49,779 | |||||
7.13%, 06/15/24 (a) | 38,000 | 40,110 | |||||
8.35%, 07/15/46 (a) | 107,000 | 134,849 | |||||
Five Corners Funding Trust | |||||||
4.42%, 11/15/23 (a) | 125,000 | 134,116 | |||||
General Electric Capital Corporation | |||||||
6.75%, 03/15/32 | 83,000 | 102,235 | |||||
Glencore Funding LLC | |||||||
3.00%, 10/27/22 (a) | 61,000 | 61,375 | |||||
4.88%, 03/12/29 (a) | 125,000 | 131,602 | |||||
GLP Financing, LLC | |||||||
5.30%, 01/15/29 | 110,000 | 118,806 | |||||
HSBC Holdings PLC | |||||||
6.88%, (callable at 100 beginning 06/01/21) (b) (d) | 229,000 | 240,948 | |||||
4.38%, 11/23/26 | 56,000 | 59,165 | |||||
Icahn Enterprises L.P. | |||||||
6.25%, 02/01/22 | 90,000 | 92,453 | |||||
6.38%, 12/15/25 | 14,000 | 14,310 | |||||
6.25%, 05/15/26 (a) | 226,000 | 228,369 | |||||
James Hardie International Finance Designated Activity Company | |||||||
5.00%, 01/15/28 (a) | 80,000 | 79,533 | |||||
Shares/Par1 | Value ($) | ||||||
JPMorgan Chase & Co. | |||||||
5.30%, (callable at 100 beginning 05/01/20) (b) | 146,000 | 147,642 | |||||
4.02%, 12/05/24 | 202,000 | 214,356 | |||||
3.96%, 01/29/27 | 184,000 | 196,727 | |||||
3.78%, 02/01/28 (c) | 30,000 | 31,749 | |||||
3.51%, 01/23/29 | 76,000 | 79,039 | |||||
4.01%, 04/23/29 | 62,000 | 66,759 | |||||
4.20%, 07/23/29 | 23,000 | 25,121 | |||||
JPMorgan Chase Bank, National Association | |||||||
2.75%, (3M USD LIBOR + 0.23%), 09/01/20 (c) | 500,000 | 499,961 | |||||
Lloyds Banking Group PLC | |||||||
6.75%, (callable at 100 beginning 06/27/26) (b) | 92,000 | 94,023 | |||||
7.50%, (callable at 100 beginning 09/27/25) (b) | 109,000 | 114,398 | |||||
Markel Corporation | |||||||
5.00%, 05/20/49 | 78,000 | 84,849 | |||||
Metropolitan Life Global Funding I | |||||||
3.60%, 01/11/24 (a) | 235,000 | 247,842 | |||||
Morgan Stanley | |||||||
3.77%, (3M USD LIBOR + 1.18%), 01/20/22 (c) | 100,000 | 100,931 | |||||
3.52%, (3M USD LIBOR + 0.93%), 07/22/22 (c) | 125,000 | 125,744 | |||||
4.88%, 11/01/22 | 167,000 | 178,603 | |||||
4.10%, 05/22/23 | 138,000 | 145,074 | |||||
4.35%, 09/08/26 | 84,000 | 90,026 | |||||
3.63%, 01/20/27 | 60,000 | 62,773 | |||||
National Rural Utilities Cooperative Finance Corporation | |||||||
4.75%, 04/30/43 (c) | 131,000 | 128,425 | |||||
New York Life Global Funding | |||||||
2.75%, (3M USD LIBOR + 0.16%), 10/01/20 (a) (c) | 300,000 | 300,161 | |||||
Nordic Aviation Capital DAC | |||||||
5.58%, 03/14/24 (e) (f) | 135,000 | 142,015 | |||||
PNC Bank, National Association | |||||||
2.79%, (3M USD LIBOR + 0.35%), 03/12/21 (c) | 500,000 | 500,476 | |||||
Santander UK Group Holdings PLC | |||||||
4.80%, 11/15/24 | 161,000 | 171,477 | |||||
Spirit Realty, L.P. | |||||||
4.00%, 07/15/29 | 130,000 | 131,135 | |||||
Springleaf Finance Corporation | |||||||
6.63%, 01/15/28 | 38,000 | 39,895 | |||||
The Goldman Sachs Group, Inc. | |||||||
2.91%, 07/24/23 | 42,000 | 42,382 | |||||
4.25%, 10/21/25 | 182,000 | 192,747 | |||||
3.85%, 01/26/27 | 19,000 | 19,845 | |||||
4.22%, 05/01/29 | 67,000 | 71,761 | |||||
6.75%, 10/01/37 | 94,000 | 122,881 | |||||
The PNC Financial Services Group, Inc. | |||||||
3.45%, 04/23/29 | 130,000 | 136,601 | |||||
USA Compression Finance Corp. | |||||||
6.88%, 09/01/27 (a) | 68,000 | 71,377 | |||||
Virgin Media Secured Finance PLC | |||||||
5.13%, 01/15/25, GBP (a) | 209,000 | 274,789 | |||||
5.00%, 04/15/27, GBP (a) | 115,000 | 150,228 | |||||
Volkswagen Group of America, Inc. | |||||||
4.63%, 11/13/25 (a) | 250,000 | 270,973 | |||||
Wells Fargo & Company | |||||||
4.48%, 01/16/24 | 54,000 | 57,857 | |||||
3.20%, 06/17/27 | 195,000 | 198,618 | |||||
Ziggo Bond Finance B.V. | |||||||
6.00%, 01/15/27 (a) | 229,000 | 229,925 | |||||
12,203,123 | |||||||
Energy 8.2% | |||||||
Alta Mesa Holdings, LP | |||||||
7.88%, 12/15/24 | 138,000 | 53,380 | |||||
Andeavor Logistics LP | |||||||
3.50%, 12/01/22 | 45,000 | 46,100 | |||||
5.20%, 12/01/47 | 44,000 | 47,092 | |||||
Antero Resources Corporation | |||||||
5.13%, 12/01/22 | 33,000 | 31,682 | |||||
Callon Petroleum Company | |||||||
6.38%, 07/01/26 | 125,000 | 126,148 | |||||
Cheniere Corpus Christi Holdings, LLC | |||||||
5.88%, 03/31/25 | 48,000 | 53,442 | |||||
5.13%, 06/30/27 | 130,000 | 141,273 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
38
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
Columbia Pipeline Group, Inc. | |||||||
5.80%, 06/01/45 | 42,000 | 49,281 | |||||
Continental Resources, Inc. | |||||||
4.50%, 04/15/23 | 123,000 | 129,240 | |||||
4.38%, 01/15/28 | 108,000 | 113,711 | |||||
Denbury Resources Inc. | |||||||
9.25%, 03/31/22 (a) | 112,000 | 105,744 | |||||
7.75%, 02/15/24 (a) | 80,000 | 66,603 | |||||
Diamondback Energy, Inc. | |||||||
4.75%, 11/01/24 (a) | 187,000 | 192,018 | |||||
5.38%, 05/31/25 | 100,000 | 105,226 | |||||
Endeavor Energy Resources, L.P. | |||||||
5.50%, 01/30/26 (a) | 19,000 | 19,707 | |||||
5.75%, 01/30/28 (a) | 19,000 | 20,058 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 169,000 | 176,317 | |||||
5.25%, 04/15/29 | 94,000 | 104,982 | |||||
5.80%, 06/15/38 | 80,000 | 89,109 | |||||
6.13%, 12/15/45 | 27,000 | 30,864 | |||||
Energy Transfer Operating, L.P. | |||||||
6.25%, 04/15/49 | 40,000 | 47,319 | |||||
Enlink Midstream, LLC | |||||||
5.38%, 06/01/29 | 107,000 | 109,812 | |||||
Enterprise Products Operating LLC | |||||||
3.35%, 03/15/23 | 44,000 | 45,262 | |||||
3.13%, 07/31/29 | 174,000 | 174,790 | |||||
4.80%, 02/01/49 | 84,000 | 93,819 | |||||
4.20%, 01/31/50 | 59,000 | 60,565 | |||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 73,000 | 70,384 | |||||
Everest Acquisition, LLC | |||||||
8.00%, 11/29/24 (a) | 152,000 | 101,851 | |||||
Extraction Oil & Gas, Inc. | |||||||
7.38%, 05/15/24 (a) | 76,000 | 65,817 | |||||
Kinder Morgan Energy Partners, L.P. | |||||||
5.00%, 08/15/42 | 50,000 | 52,958 | |||||
Marathon Petroleum Corporation | |||||||
3.80%, 04/01/28 | 30,000 | 30,516 | |||||
MPLX LP | |||||||
4.00%, 03/15/28 | 142,000 | 147,288 | |||||
Nabors Industries, Inc. | |||||||
5.50%, 01/15/23 (g) | 26,000 | 24,314 | |||||
5.75%, 02/01/25 | 125,000 | 110,826 | |||||
NGPL PipeCo LLC | |||||||
4.88%, 08/15/27 (a) | 23,000 | 24,322 | |||||
ONEOK, Inc. | |||||||
7.50%, 09/01/23 | 81,000 | 94,654 | |||||
Parsley Energy, LLC | |||||||
5.25%, 08/15/25 (a) | 106,000 | 107,731 | |||||
PDV America, Inc. | |||||||
10.75%, 02/15/20 (a) | 94,000 | 97,245 | |||||
Petroleos Mexicanos | |||||||
6.50%, 03/13/27 - 01/23/29 | 242,000 | 237,208 | |||||
Sabine Pass Liquefaction, LLC | |||||||
5.75%, 05/15/24 | 104,000 | 115,511 | |||||
5.63%, 03/01/25 | 13,000 | 14,531 | |||||
4.20%, 03/15/28 | 329,000 | 345,193 | |||||
Spectra Energy Partners, LP | |||||||
3.50%, 03/15/25 | 66,000 | 67,718 | |||||
Summit Midstream Partners, LP | |||||||
9.50%, (callable at 104 beginning 12/15/22) (b) | 125,000 | 112,874 | |||||
Transocean Guardian Limited | |||||||
5.88%, 01/15/24 (a) | 26,460 | 26,983 | |||||
Transocean Inc | |||||||
9.00%, 07/15/23 (a) | 19,000 | 20,191 | |||||
7.50%, 01/15/26 (a) | 39,000 | 37,251 | |||||
Transocean Pontus Limited | |||||||
6.13%, 08/01/25 (a) | 18,900 | 19,469 | |||||
Transocean Poseidon Limited | |||||||
6.88%, 02/01/27 (a) | 49,000 | 51,847 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (a) | 120,750 | 124,863 | |||||
4,335,089 | |||||||
Shares/Par1 | Value ($) | ||||||
Communication Services 8.1% | |||||||
Altice France | |||||||
7.38%, 05/01/26 (a) | 68,000 | 69,700 | |||||
Altice Luxembourg Fr SA | |||||||
5.88%, 02/01/27, EUR (a) | 100,000 | 123,039 | |||||
AT&T Inc. | |||||||
3.62%, (3M USD LIBOR + 1.18%), 06/12/24 (c) | 370,000 | 374,319 | |||||
5.25%, 03/01/37 | 48,000 | 53,808 | |||||
CB Escrow Corp. | |||||||
8.00%, 10/15/25 (a) | 125,000 | 107,213 | |||||
CBS Radio Inc. | |||||||
7.25%, 11/01/24 (a) (g) | 72,000 | 75,807 | |||||
CCO Holdings, LLC | |||||||
5.88%, 05/01/27 (a) | 125,000 | 131,933 | |||||
Charter Communications Operating, LLC | |||||||
4.91%, 07/23/25 | 540,000 | 585,854 | |||||
5.38%, 04/01/38 | 60,000 | 64,583 | |||||
Comcast Corporation | |||||||
3.38%, 08/15/25 | 68,000 | 71,077 | |||||
4.60%, 10/15/38 | 201,000 | 230,103 | |||||
3.40%, 07/15/46 | 75,000 | 71,568 | |||||
4.95%, 10/15/58 | 50,000 | 60,915 | |||||
DISH DBS Corporation | |||||||
5.00%, 03/15/23 | 65,000 | 62,411 | |||||
7.75%, 07/01/26 | 42,000 | 41,160 | |||||
Frontier Communications Corporation | |||||||
11.00%, 09/15/25 | 48,000 | 29,910 | |||||
Iheartcommunications, Inc. | |||||||
6.38%, 05/01/26 | 13,664 | 14,497 | |||||
8.38%, 05/01/27 | 24,767 | 25,922 | |||||
Intelsat Jackson Holdings S.A. | |||||||
8.50%, 10/15/24 (a) | 116,000 | 114,866 | |||||
Live Nation Entertainment, Inc. | |||||||
5.38%, 06/15/22 (a) | 42,000 | 42,592 | |||||
4.88%, 11/01/24 (a) | 87,000 | 89,496 | |||||
5.63%, 03/15/26 (a) | 40,000 | 42,005 | |||||
NBCUniversal Enterprise, Inc. | |||||||
5.25%, (callable at 100 beginning 03/19/21) (a) (b) | 318,000 | 325,632 | |||||
Netflix, Inc. | |||||||
4.38%, 11/15/26 (g) | 94,000 | 96,228 | |||||
3.88%, 11/15/29, EUR (a) | 138,000 | 169,565 | |||||
Nexstar Escrow Inc. | |||||||
5.63%, 07/15/27 (a) | 31,000 | 31,776 | |||||
Radiate HoldCo, LLC | |||||||
6.63%, 02/15/25 (a) | 45,000 | 43,700 | |||||
Sinclair Television Group, Inc. | |||||||
5.88%, 03/15/26 (a) | 94,000 | 96,129 | |||||
Sirius XM Radio Inc. | |||||||
4.63%, 07/15/24 (a) | 140,000 | 143,204 | |||||
6.00%, 07/15/24 (a) | 153,000 | 157,793 | |||||
5.50%, 07/01/29 (a) | 95,000 | 97,405 | |||||
Sprint Communications, Inc. | |||||||
7.00%, 03/01/20 (a) | 292,000 | 299,300 | |||||
Sprint Corporation | |||||||
7.13%, 06/15/24 | 44,000 | 46,681 | |||||
Sprint Spectrum Co LLC | |||||||
3.36%, 09/20/21 (a) | 37,688 | 37,745 | |||||
Telesat Canada | |||||||
8.88%, 11/15/24 (a) | 107,000 | 116,062 | |||||
T-Mobile USA, Inc. | |||||||
6.00%, 04/15/24 | 54,000 | 56,335 | |||||
Vodafone Group Public Limited Company | |||||||
5.00%, 05/30/38 | 36,000 | 39,079 | |||||
Zayo Group, LLC | |||||||
5.75%, 01/15/27 (a) | 67,000 | 68,228 | |||||
4,307,640 | |||||||
Health Care 7.7% | |||||||
Abbott Laboratories | |||||||
4.75%, 11/30/36 | 90,000 | 106,682 | |||||
AbbVie Inc. | |||||||
2.90%, 11/06/22 | 77,000 | 77,846 | |||||
Adevinta ASA | |||||||
7.50%, 10/01/24 (a) | 33,000 | 34,545 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
39
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||
Bausch Health Companies Inc. | |||||||
6.50%, 03/15/22 (a) | 16,000 | 16,585 | |||||
5.88%, 05/15/23 (a) | 4,000 | 4,050 | |||||
7.00%, 03/15/24 - 01/15/28 (a) | 73,000 | 76,936 | |||||
6.13%, 04/15/25 (a) | 33,000 | 33,659 | |||||
5.50%, 03/01/23 - 11/01/25 (a) | 91,000 | 94,667 | |||||
8.50%, 01/31/27 (a) | 90,000 | 99,085 | |||||
5.75%, 08/15/27 (a) | 45,000 | 47,276 | |||||
Bristol-Myers Squibb Company | |||||||
4.13%, 06/15/39 (a) | 117,000 | 126,640 | |||||
4.25%, 10/26/49 (a) | 148,000 | 162,966 | |||||
Catalent Pharma Solutions, Inc. | |||||||
5.00%, 07/15/27 (a) | 15,000 | 15,247 | |||||
Celgene Corporation | |||||||
4.35%, 11/15/47 | 63,000 | 69,597 | |||||
Centene Corporation | |||||||
4.75%, 05/15/22 - 01/15/25 | 178,000 | 183,057 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (a) | 156,000 | 164,207 | |||||
Cigna Corporation | |||||||
4.38%, 10/15/28 (a) | 248,000 | 267,281 | |||||
Community Health Systems, Inc. | |||||||
8.63%, 01/15/24 (a) | 141,000 | 141,338 | |||||
8.00%, 03/15/26 (a) | 100,000 | 96,029 | |||||
CVS Health Corporation | |||||||
4.78%, 03/25/38 | 118,000 | 122,961 | |||||
5.05%, 03/25/48 | 165,000 | 175,723 | |||||
Express Scripts Holding Company | |||||||
3.40%, 03/01/27 | 117,000 | 118,628 | |||||
Gilead Sciences, Inc. | |||||||
4.80%, 04/01/44 | 46,000 | 52,481 | |||||
4.50%, 02/01/45 | 63,000 | 69,014 | |||||
HCA Healthcare, Inc. | |||||||
6.25%, 02/15/21 | 417,000 | 436,485 | |||||
HCA Inc. | |||||||
5.38%, 09/01/26 | 80,000 | 86,188 | |||||
4.13%, 06/15/29 | 129,000 | 132,550 | |||||
5.13%, 06/15/39 | 54,000 | 56,100 | |||||
Legacy Lifepoint Health, Inc. | |||||||
9.75%, 12/01/26 (a) | 200,000 | 209,448 | |||||
Mylan Inc | |||||||
5.20%, 04/15/48 | 27,000 | 25,047 | |||||
Par Pharmaceutical, Inc. | |||||||
7.50%, 04/01/27 (a) | 220,000 | 216,033 | |||||
Tenet Healthcare Corporation | |||||||
4.50%, 04/01/21 | 176,000 | 179,080 | |||||
4.38%, 10/01/21 | 25,000 | 25,407 | |||||
8.13%, 04/01/22 | 37,000 | 38,851 | |||||
UnitedHealth Group Incorporated | |||||||
3.75%, 07/15/25 | 45,000 | 48,020 | |||||
3.10%, 03/15/26 | 44,000 | 45,516 | |||||
WellCare Health Plans, Inc. | |||||||
5.25%, 04/01/25 | 148,000 | 154,518 | |||||
5.38%, 08/15/26 (a) | 47,000 | 49,884 | |||||
4,059,627 | |||||||
Industrials 5.2% | |||||||
Aircastle Limited | |||||||
4.40%, 09/25/23 | 41,000 | 42,525 | |||||
4.13%, 05/01/24 | 72,000 | 73,925 | |||||
Allison Transmission, Inc. | |||||||
5.00%, 10/01/24 (a) | 76,000 | 77,687 | |||||
Ashtead Capital, Inc. | |||||||
5.25%, 08/01/26 (a) | 133,000 | 139,261 | |||||
Aviation Capital Group LLC | |||||||
4.38%, 01/30/24 (a) | 104,000 | 109,265 | |||||
Avolon Holdings Funding Limited | |||||||
3.63%, 05/01/22 (a) | 130,000 | 131,728 | |||||
5.13%, 10/01/23 (a) | 200,000 | 211,479 | |||||
5.25%, 05/15/24 (a) | 348,000 | 371,277 | |||||
Bombardier Inc. | |||||||
6.13%, 01/15/23 (a) | 82,000 | 82,433 | |||||
7.50%, 03/15/25 (a) | 68,000 | 68,266 | |||||
7.88%, 04/15/27 (a) | 107,000 | 107,123 | |||||
Shares/Par1 | Value ($) | ||||||
CNH Industrial N.V. | |||||||
4.50%, 08/15/23 | 94,000 | 98,490 | |||||
Equifax Inc. | |||||||
3.60%, 08/15/21 | 165,000 | 167,820 | |||||
General Electric Company | |||||||
5.00%, (callable at 100 beginning 01/21/21) (b) | 437,000 | 419,433 | |||||
General Motors Company | |||||||
5.95%, 04/01/49 | 30,000 | 31,480 | |||||
Siemens Financieringsmaatschappij N.V. | |||||||
1.30%, 09/13/19 (a) | 500,000 | 499,319 | |||||
Tempo Acquisition, LLC | |||||||
6.75%, 06/01/25 (a) | 70,000 | 72,110 | |||||
Union Pacific Corporation | |||||||
4.38%, 09/10/38 | 50,000 | 55,008 | |||||
2,758,629 | |||||||
Materials 4.6% | |||||||
Anglo American Capital PLC | |||||||
4.88%, 05/14/25 (a) | 121,000 | 130,278 | |||||
4.75%, 04/10/27 (a) | 159,000 | 168,513 | |||||
Berry Global Escrow Corporation | |||||||
4.88%, 07/15/26 (a) | 105,000 | 107,231 | |||||
CF Industries, Inc. | |||||||
3.40%, 12/01/21 (a) | 156,000 | 159,022 | |||||
4.50%, 12/01/26 (a) | 347,000 | 363,279 | |||||
Corning Incorporated | |||||||
5.85%, 11/15/68 | 58,000 | 68,435 | |||||
Crown Americas LLC | |||||||
4.50%, 01/15/23 | 81,000 | 84,212 | |||||
FMG Resources (August 2006) Pty Ltd | |||||||
4.75%, 05/15/22 (a) | 88,000 | 90,201 | |||||
5.13%, 03/15/23 (a) (g) | 72,000 | 74,440 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 | 187,000 | 191,242 | |||||
5.40%, 11/14/34 | 228,000 | 217,854 | |||||
FXI Holdings, Inc. | |||||||
7.88%, 11/01/24 (a) | 156,000 | 145,336 | |||||
Mauser Packaging Solutions Holding Company | |||||||
7.25%, 04/15/25 (a) | 84,000 | 81,045 | |||||
NOVA Chemicals Corporation | |||||||
4.88%, 06/01/24 (a) | 255,000 | 264,639 | |||||
Olin Corporation | |||||||
5.00%, 02/01/30 | 103,000 | 102,046 | |||||
Samarco Mineracao S/A | |||||||
0.00%, 11/01/22 (f) (h) (i) (j) | 110,000 | 84,234 | |||||
Trinseo Materials Operating S.C.A. | |||||||
5.38%, 09/01/25 (a) | 89,000 | 85,617 | |||||
2,417,624 | |||||||
Consumer Staples 4.5% | |||||||
Altria Group, Inc. | |||||||
4.40%, 02/14/26 | 163,000 | 174,231 | |||||
Anheuser-Busch Companies, LLC | |||||||
4.90%, 02/01/46 | 153,000 | 170,089 | |||||
Anheuser-Busch InBev Worldwide Inc. | |||||||
4.75%, 01/23/29 | 47,000 | 53,290 | |||||
BAT Capital Corp. | |||||||
4.39%, 08/15/37 | 165,000 | 156,792 | |||||
Cott Holdings Inc. | |||||||
5.50%, 04/01/25 (a) | 99,000 | 100,868 | |||||
JBS Investments GmbH | |||||||
7.25%, 04/03/24 (a) | 143,000 | 148,560 | |||||
JBS Investments II GmbH | |||||||
7.00%, 01/15/26 (a) | 200,000 | 216,073 | |||||
JBS USA Finance, Inc. | |||||||
6.75%, 02/15/28 (a) | 101,000 | 109,656 | |||||
JBS USA Food Company | |||||||
5.88%, 07/15/24 (a) | 16,000 | 16,463 | |||||
JBS USA LUX SA | |||||||
6.50%, 04/15/29 (a) | 88,000 | 95,585 | |||||
Mars, Incorporated | |||||||
3.95%, 04/01/49 (a) | 193,000 | 206,607 | |||||
Matterhorn Merger Sub LLC | |||||||
8.50%, 06/01/26 (a) (g) | 125,000 | 110,626 | |||||
Post Holdings, Inc. | |||||||
5.63%, 01/15/28 (a) | 177,000 | 181,855 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
40
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
Reynolds American Inc. | ||||||||||
5.70%, 08/15/35 | 53,000 | 58,174 | ||||||||
Sigma Holdco B.V. | ||||||||||
7.88%, 05/15/26 (a) (g) | 250,000 | 232,003 | ||||||||
Walmart Inc. | ||||||||||
2.85%, 07/08/24 | 255,000 | 262,793 | ||||||||
3.25%, 07/08/29 | 112,000 | 117,973 | ||||||||
2,411,638 | ||||||||||
Utilities 4.3% | ||||||||||
Ameren Illinois Company | ||||||||||
4.50%, 03/15/49 | 104,000 | 121,516 | ||||||||
Berkshire Hathaway Energy Company | ||||||||||
6.13%, 04/01/36 | 41,000 | 54,827 | ||||||||
Calpine Corporation | ||||||||||
5.25%, 06/01/26 (a) | 100,000 | 101,802 | ||||||||
Commonwealth Edison Company | ||||||||||
3.75%, 08/15/47 | 42,000 | 43,372 | ||||||||
DPL Inc. | ||||||||||
4.35%, 04/15/29 (a) | 130,000 | 131,610 | ||||||||
Electricite de France | ||||||||||
4.50%, 09/21/28 (a) | 200,000 | 219,266 | ||||||||
Enel S.p.A | ||||||||||
8.75%, 09/24/73 (a) (c) | 165,000 | 189,756 | ||||||||
Exelon Corporation | ||||||||||
5.10%, 06/15/45 | 67,000 | 77,908 | ||||||||
FirstEnergy Corp. | ||||||||||
3.90%, 07/15/27 | 75,000 | 78,668 | ||||||||
Indiana Michigan Power Company | ||||||||||
4.25%, 08/15/48 | 69,000 | 75,764 | ||||||||
Nevada Power Company | ||||||||||
3.70%, 05/01/29 | 159,000 | 169,955 | ||||||||
Oncor Electric Delivery Company LLC | ||||||||||
2.95%, 04/01/25 | 146,000 | 149,679 | ||||||||
Southern California Edison Company | ||||||||||
4.13%, 03/01/48 | 46,000 | 46,099 | ||||||||
The AES Corporation | ||||||||||
4.00%, 03/15/21 | 91,000 | 92,621 | ||||||||
5.50%, 04/15/25 | 254,000 | 264,221 | ||||||||
The Southern Company | ||||||||||
2.95%, 07/01/23 | 211,000 | 213,850 | ||||||||
Vistra Operations Company LLC | ||||||||||
3.55%, 07/15/24 (a) | 171,000 | 172,278 | ||||||||
5.00%, 07/31/27 (a) | 58,000 | 59,996 | ||||||||
2,263,188 | ||||||||||
Consumer Discretionary 4.0% | ||||||||||
24 Hour Holdings III LLC | ||||||||||
8.00%, 06/01/22 (a) (g) | 93,000 | 91,846 | ||||||||
Adient US LLC | ||||||||||
7.00%, 05/15/26 (a) | 13,000 | 13,375 | ||||||||
American Axle & Manufacturing, Inc. | ||||||||||
6.50%, 04/01/27 (g) | 135,000 | 134,638 | ||||||||
Beazer Homes USA, Inc. | ||||||||||
5.88%, 10/15/27 | 53,000 | 46,044 | ||||||||
Delphi Technologies PLC | ||||||||||
5.00%, 10/01/25 (a) | 66,000 | 58,740 | ||||||||
Fiat Chrysler Automobiles N.V. | ||||||||||
5.25%, 04/15/23 | 103,000 | 108,852 | ||||||||
GLP Financing, LLC | ||||||||||
5.38%, 04/15/26 | 51,000 | 55,209 | ||||||||
5.75%, 06/01/28 | 15,000 | 16,537 | ||||||||
IHO Verwaltungs GmbH | ||||||||||
4.63%, 05/15/27, EUR (a) (k) | 100,000 | 112,340 | ||||||||
KB Home | ||||||||||
7.50%, 09/15/22 | 104,000 | 115,787 | ||||||||
KFC Holding Co. | ||||||||||
5.00%, 06/01/24 (a) | 8,000 | 8,261 | ||||||||
Mohegan Tribal Gaming Authority | ||||||||||
7.88%, 10/15/24 (a) (g) | 138,000 | 135,006 | ||||||||
Nemak, S.A.B. de C.V. | ||||||||||
4.75%, 01/23/25 (a) | 120,000 | 121,045 | ||||||||
New Golden Nugget Inc. | ||||||||||
6.75%, 10/15/24 (a) | 205,000 | 211,172 | ||||||||
Panther BF Aggregator 2 LP | ||||||||||
4.38%, 05/15/26, EUR (a) | 140,000 | 164,326 | ||||||||
Shares/Par1 | Value ($) | |||||||||
Restaurant Brands International Limited Partnership | ||||||||||
5.00%, 10/15/25 (a) | 113,000 | 113,988 | ||||||||
Scientific Games International, Inc. | ||||||||||
5.00%, 10/15/25 (a) | 258,000 | 260,516 | ||||||||
The Home Depot, Inc. | ||||||||||
2.13%, 09/15/26 | 146,000 | 142,859 | ||||||||
VOC Escrow Ltd. | ||||||||||
5.00%, 02/15/28 (a) | 130,000 | 131,672 | ||||||||
Williams Scotsman International, Inc. | ||||||||||
6.88%, 08/15/23 (a) | 58,000 | 60,327 | ||||||||
2,102,540 | ||||||||||
Information Technology 2.0% | ||||||||||
Broadcom Corporation | ||||||||||
3.88%, 01/15/27 | 54,000 | 52,928 | ||||||||
Broadcom Inc. | ||||||||||
4.25%, 04/15/26 (a) | 130,000 | 132,756 | ||||||||
Fiserv, Inc. | ||||||||||
2.25%, 07/01/25, GBP | 100,000 | 126,636 | ||||||||
International Business Machines Corporation | ||||||||||
4.25%, 05/15/49 | 114,000 | 122,267 | ||||||||
Microsoft Corporation | ||||||||||
3.45%, 08/08/36 | 156,000 | 164,640 | ||||||||
3.95%, 08/08/56 | 90,000 | 99,313 | ||||||||
NXP B.V. | ||||||||||
4.13%, 06/01/21 (a) | 167,000 | 170,792 | ||||||||
Oracle Corporation | ||||||||||
4.00%, 11/15/47 | 82,000 | 88,128 | ||||||||
Radiate HoldCo, LLC | ||||||||||
6.88%, 02/15/23 (a) | 83,000 | 83,166 | ||||||||
ViaSat, Inc. | ||||||||||
5.63%, 04/15/27 (a) | 43,000 | 44,734 | ||||||||
1,085,360 | ||||||||||
Real Estate 1.1% | ||||||||||
Boston Properties Limited Partnership | ||||||||||
2.75%, 10/01/26 | 36,000 | 35,421 | ||||||||
4.50%, 12/01/28 | 145,000 | 160,451 | ||||||||
Crown Castle International Corp. | ||||||||||
2.25%, 09/01/21 | 57,000 | 56,732 | ||||||||
Equinix, Inc. | ||||||||||
2.88%, 10/01/25, EUR | 150,000 | 177,790 | ||||||||
HCP, Inc. | ||||||||||
3.25%, 07/15/26 | 25,000 | 25,182 | ||||||||
3.50%, 07/15/29 | 45,000 | 45,175 | ||||||||
Realty Income Corporation | ||||||||||
3.25%, 06/15/29 | 109,000 | 110,957 | ||||||||
611,708 | ||||||||||
Total Corporate Bonds And Notes (cost $37,162,144) | 38,556,166 | |||||||||
GOVERNMENT AND AGENCY OBLIGATIONS 8.5% | ||||||||||
U.S. Treasury Securities 4.6% | ||||||||||
U.S. Treasury Bond | ||||||||||
2.50%, 02/15/46 | 579,000 | 575,200 | ||||||||
3.00%, 02/15/48 | 86,000 | 94,062 | ||||||||
U.S. Treasury Note | ||||||||||
1.63%, 05/31/23 | 243,000 | 241,937 | ||||||||
2.13%, 05/15/25 | 161,000 | 163,641 | ||||||||
2.88%, 07/31/25 | 284,000 | 300,862 | ||||||||
1.88%, 06/30/26 (l) | 240,000 | 240,000 | ||||||||
1.50%, 08/15/26 | 65,000 | 63,304 | ||||||||
2.25%, 08/15/27 | 420,000 | 429,844 | ||||||||
3.13%, 11/15/28 | 265,000 | 290,506 | ||||||||
2,399,356 | ||||||||||
Mortgage-Backed Securities 3.6% | ||||||||||
Federal Home Loan Mortgage Corporation | ||||||||||
4.00%, 11/01/40 | 247,512 | 260,928 | ||||||||
3.00%, 08/01/46 - 11/01/46 | 52,067 | 52,894 | ||||||||
3.50%, 11/01/47 | 19,993 | 20,585 | ||||||||
Federal National Mortgage Association, Inc. | ||||||||||
3.00%, 08/01/30 - 04/01/31 | 80,836 | 82,720 | ||||||||
3.00%, 03/01/33 - 04/01/46 | 271,662 | 277,111 | ||||||||
3.50%, 11/01/45 - 01/01/48 | 370,206 | 382,256 | ||||||||
4.50%, 12/01/43 - 07/01/48 | 232,501 | 244,863 | ||||||||
4.00%, 10/01/44 - 08/01/48 | 68,872 | 71,679 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
41
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||||||
Government National Mortgage Association | ||||||||||
3.50%, 04/20/46 | 10,912 | 11,318 | ||||||||
3.50%, 08/20/46 - 09/20/46 | 340,990 | 352,947 | ||||||||
4.00%, 07/20/47 | 153,479 | 160,177 | ||||||||
1,917,478 | ||||||||||
Municipal 0.3% | ||||||||||
The Port Authority of New York and New Jersey | ||||||||||
4.46%, 10/01/62 | 130,000 | 155,557 | ||||||||
Total Government And Agency Obligations (cost $4,274,542) | 4,472,391 | |||||||||
SENIOR LOAN INTERESTS 7.9% | ||||||||||
Consumer Discretionary 1.5% | ||||||||||
Caesars Entertainment Operating Company | ||||||||||
Term Loan, 4.40%, (3M LIBOR + 2.00%), 04/03/24 (c) | 144,795 | 143,483 | ||||||||
Charter Communications Operating, LLC | ||||||||||
2017 Term Loan B, 4.33%, (3M LIBOR + 2.00%), 04/30/25 (c) | 49,250 | 49,176 | ||||||||
CSC Holdings, LLC | ||||||||||
2017 1st Lien Term Loan, 4.64%, (3M LIBOR + 2.25%), 07/15/25 (c) | 68,245 | 67,072 | ||||||||
Golden Nugget, Inc. | ||||||||||
2017 Incremental Term Loan B, 5.14%, (3M LIBOR + 2.75%), 09/07/23 (c) | 40,741 | 40,366 | ||||||||
2017 Incremental Term Loan B, 5.15%, (3M LIBOR + 2.75%), 10/04/23 (c) | 50,819 | 50,351 | ||||||||
Marriott Ownership Resorts, Inc. | ||||||||||
2018 Term Loan B, 4.65%, (3M LIBOR + 2.25%), 08/09/25 (c) | 266,660 | 266,439 | ||||||||
PCI Gaming Authority | ||||||||||
Term Loan, 5.40%, (3M LIBOR + 3.00%), 05/15/26 (c) | 160,000 | 160,166 | ||||||||
Stars Group Holdings B.V. (The) | ||||||||||
2018 USD Incremental Term Loan, 5.83%, (3M LIBOR + 3.50%), 06/29/25 (c) | 40,144 | 40,124 | ||||||||
817,177 | ||||||||||
Communication Services 1.4% | ||||||||||
CenturyLink, Inc. | ||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 01/15/25 (c) | 221,625 | 216,208 | ||||||||
Frontier Communications Corp. | ||||||||||
2017 Term Loan B1, 6.16%, (3M LIBOR + 3.75%), 05/31/24 (c) | 71,892 | 70,394 | ||||||||
iHeartCommunications, Inc. | ||||||||||
Exit Term Loan, 6.58%, (3M LIBOR + 4.00%), 05/04/26 (c) | 59,782 | 59,838 | ||||||||
Nexstar Broadcasting, Inc. | ||||||||||
2019 Term Loan B4, 0.00%, (3M LIBOR + 2.75%), 06/13/26 (c) (m) | 150,116 | 149,553 | ||||||||
Nexstar Media Group, Inc. | ||||||||||
Bridge Term Loan, 0.00%, 11/30/19 (c) (m) | 67,000 | 66,079 | ||||||||
Sprint Communications, Inc. | ||||||||||
1st Lien Term Loan B, 4.94%, (3M LIBOR + 2.50%), 02/01/24 (c) | 159,552 | 156,959 | ||||||||
719,031 | ||||||||||
Materials 1.3% | ||||||||||
BWAY Holding Company | ||||||||||
2017 Term Loan B, 5.85%, (3M LIBOR + 3.25%), 04/03/24 (c) | 155,463 | 149,957 | ||||||||
Hexion Inc | ||||||||||
DIP Term Loan, 5.35%, (3M LIBOR + 2.75%), 10/01/20 (c) | 129,000 | 128,920 | ||||||||
USD Exit Term Loan, 0.00%, (3M LIBOR + 3.50%), 06/27/26 (c) (m) | 200,901 | 200,650 | ||||||||
Klockner-Pentaplast of America, Inc. | ||||||||||
USD 2017 Term Loan B2, 6.65%, (3M LIBOR + 4.25%), 06/30/22 (c) | 123,430 | 109,050 | ||||||||
Messer Industries GmbH | ||||||||||
2018 USD Term Loan, 4.83%, (3M LIBOR + 2.50%), 10/10/25 (c) | 121,000 | 119,261 | ||||||||
707,838 | ||||||||||
Health Care 1.2% | ||||||||||
Alphabet Holding Company, Inc. | ||||||||||
2017 1st Lien Term Loan, 5.90%, (3M LIBOR + 3.50%), 08/15/24 (c) | 77,837 | 73,322 | ||||||||
Shares/Par1 | Value ($) | |||||||||
2017 2nd Lien Term Loan, 10.19%, (3M LIBOR + 7.75%), 08/09/25 (c) | 55,000 | 48,583 | ||||||||
Change Healthcare Holdings LLC | ||||||||||
2017 Term Loan B, 5.15%, (3M LIBOR + 2.75%), 02/02/24 - 02/03/24 (c) | 156,287 | 154,979 | ||||||||
Phoenix Guarantor Inc | ||||||||||
Term Loan B, 6.92%, (3M LIBOR + 4.50%), 02/12/26 (c) | 138,889 | 138,160 | ||||||||
RegionalCare Hospital Partners Holdings, Inc. | ||||||||||
2018 Term Loan B, 6.90%, (3M LIBOR + 4.50%), 11/09/25 (c) | 198,500 | 197,188 | ||||||||
2018 Term Loan B, 9.00%, (3M LIBOR + 4.50%), 11/09/25 (c) | 500 | 497 | ||||||||
612,729 | ||||||||||
Energy 0.9% | ||||||||||
California Resources Corporation | ||||||||||
2017 1st Lien Term Loan, 7.05%, (3M LIBOR + 4.75%), 11/08/22 (c) | 101,000 | 96,383 | ||||||||
Encino Acquisition Partners Holdings, LLC | ||||||||||
2018 2nd Lien Term Loan, 9.15%, (3M LIBOR + 6.75%), 09/26/25 (c) (e) | 123,003 | 112,548 | ||||||||
Equitrans Midstream Corporation | ||||||||||
Term Loan B, 6.90%, (3M LIBOR + 4.50%), 12/13/23 (c) | 74,812 | 75,140 | ||||||||
TEX Operations Co. LLC | ||||||||||
Exit Term Loan B, 4.40%, (3M LIBOR + 2.00%), 08/04/23 (c) | 82,414 | 82,260 | ||||||||
Traverse Midstream Partners LLC | ||||||||||
Term Loan, 6.59%, (3M LIBOR + 4.00%), 09/22/24 (c) | 100,242 | 98,953 | ||||||||
465,284 | ||||||||||
Industrials 0.6% | ||||||||||
Gol LuxCo S.A. | ||||||||||
1st Lien Term Loan, 6.50%, 08/18/20 (e) | 165,000 | 166,650 | ||||||||
Panther BF Aggregator 2 LP | ||||||||||
USD Term Loan B, 5.90%, (3M LIBOR + 3.50%), 03/13/26 (c) | 146,600 | 145,410 | ||||||||
312,060 | ||||||||||
Utilities 0.4% | ||||||||||
Calpine Corporation | ||||||||||
Term Loan B5, 4.83%, (3M LIBOR + 2.50%), 05/23/22 (c) | 149,223 | 148,330 | ||||||||
PG&E Corp | ||||||||||
DIP Term Loan, 4.69%, (3M LIBOR + 2.25%), 12/31/20 (c) | 75,000 | 75,187 | ||||||||
223,517 | ||||||||||
Financials 0.3% | ||||||||||
Blackstone CQP Holdco LP | ||||||||||
Term Loan B, 5.89%, (3M LIBOR + 3.50%), 05/29/24 (c) | 85,766 | 85,852 | ||||||||
UFC Holdings, LLC | ||||||||||
2019 Term Loan, 5.66%, (3M LIBOR + 3.25%), 04/25/26 (c) | 96,266 | 96,008 | ||||||||
181,860 | ||||||||||
Consumer Staples 0.2% | ||||||||||
JBS USA Lux S.A. | ||||||||||
2019 Term Loan B, 4.90%, (3M LIBOR + 2.50%), 04/27/26 (c) | 93,715 | 93,481 | ||||||||
Information Technology 0.1% | ||||||||||
Financial & Risk US Holdings, Inc. | ||||||||||
2018 USD Term Loan, 6.15%, (3M LIBOR + 3.75%), 09/12/25 (c) | 65,670 | 63,638 | ||||||||
Total Senior Loan Interests (cost $4,227,543) | 4,196,615 | |||||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 6.5% | ||||||||||
American Airlines, Inc. | ||||||||||
Series 2013-B-2, 5.60%, 07/15/20 (a) | 152,212 | 155,027 | ||||||||
Series 2013-A-2, 4.95%, 01/15/23 | 25,530 | 26,782 | ||||||||
Series 2016-AA-2, 3.20%, 06/15/28 | 158,737 | 160,801 | ||||||||
American Tower Trust | ||||||||||
Series 2013-A-2, 3.07%, 03/15/23 (a) | 338,000 | 339,274 | ||||||||
Ascentium Equipment Receivables Trust | ||||||||||
Series 2017-A2-2A, 2.00%, 05/11/20 (a) | 29,202 | 29,178 | ||||||||
Series 2018-A2-1A, 2.92%, 12/10/20 (a) | 44,674 | 44,763 | ||||||||
Series 2017-A3-2A, 2.31%, 12/10/21 (a) | 113,000 | 113,100 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
42
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | ||||||||||||
CCG Receivables Trust | |||||||||||||
Series 2018-A2-1, 2.50%, 02/14/21 (a) | 171,163 | 171,510 | |||||||||||
CIG Auto Receivables Trust | |||||||||||||
Series 2017-A-1A, 2.71%, 05/15/23 (a) | 56,250 | 56,247 | |||||||||||
CSMC Trust | |||||||||||||
Series 2017-A3-HL2, 3.50%, 09/25/24 (a) (c) | 118,009 | 119,807 | |||||||||||
Dell Equipment Finance Trust | |||||||||||||
Series 2018-A2A-1, 2.97%, 10/22/20 (a) | 73,354 | 73,542 | |||||||||||
Series 2017-A3-2, 2.19%, 10/24/22 (a) | 155,000 | 154,837 | |||||||||||
Engs Commercial Finance Trust | |||||||||||||
Series 2018-A1-1A, 2.97%, 02/22/21 (a) | 33,664 | 33,722 | |||||||||||
Foundation Finance Trust | |||||||||||||
Series 2017-A-1A, 3.30%, 08/15/22 (a) | 125,835 | 126,340 | |||||||||||
GLS Auto Receivables Trust | |||||||||||||
Series 2019-A-1A, 3.37%, 03/15/21 (a) | 129,125 | 129,798 | |||||||||||
Series 2018-A-3A, 3.35%, 08/15/22 (a) | 51,997 | 52,272 | |||||||||||
GM Financial Automobile Leasing Trust | |||||||||||||
Series 2018-A3-1, 2.61%, 01/20/21 | 250,000 | 250,298 | |||||||||||
GreatAmerica Financial Services Corporation | |||||||||||||
Series 2019-A2-1, 2.97%, 09/15/20 (a) | 138,000 | 138,633 | |||||||||||
Series 2018-A3-1, 2.60%, 06/15/21 (a) | 125,000 | 125,378 | |||||||||||
Series 2018-A4-1, 2.83%, 06/17/24 (a) | 100,000 | 101,040 | |||||||||||
GS Mortgage Securities Corp Trust | |||||||||||||
Series 2017-B-SLP, REMIC, 3.77%, 10/12/22 (a) | 392,000 | 404,741 | |||||||||||
Hilton Grand Vacations Inc. | |||||||||||||
Series 2017-A-AA, 2.66%, 08/25/23 (a) | 143,569 | 144,227 | |||||||||||
MVW Owner Trust | |||||||||||||
Series 2017-A-1A, 2.42%, 12/20/34 (a) | 119,427 | 119,566 | |||||||||||
United Airlines, Inc. | |||||||||||||
Series 2012-A-2, 4.00%, 10/29/24 | 100,574 | 104,939 | |||||||||||
United Auto Credit Securitization Trust | |||||||||||||
Series 2018-A-2, 2.89%, 03/10/21 (a) | 18,318 | 18,325 | |||||||||||
Volvo Financial Equipment LLC | |||||||||||||
Series 2019-A2-1A, 2.90%, 11/15/21 (a) | 112,000 | 112,532 | |||||||||||
Wells Fargo Commercial Mortgage Trust | |||||||||||||
Series 2017-B-C38, 3.92%, 06/17/27 (c) | 125,000 | 129,887 | |||||||||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $3,370,214) | 3,436,566 | ||||||||||||
INVESTMENT COMPANIES 1.0% | |||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 4,966 | 540,996 | |||||||||||
Total Investment Companies (cost $525,561) | 540,996 | ||||||||||||
COMMON STOCKS 0.2% | |||||||||||||
Energy 0.2% | |||||||||||||
Chaparral Energy, Inc. (h) | 117 | 551 | |||||||||||
Chaparral Energy, Inc. - Class A (h) | 12,574 | 59,224 | |||||||||||
Denbury Resources Inc. (h) | 26,197 | 32,484 | |||||||||||
92,259 | |||||||||||||
Communication Services 0.0% | |||||||||||||
Clear Channel Outdoor Holdings, Inc. (h) | 5,897 | 27,834 | |||||||||||
iHeartMedia, Inc. (e) (f) (h) | 229,000 | — | |||||||||||
iHeartMedia, Inc. - Class A (f) (h) | 284 | 4,274 | |||||||||||
32,108 | |||||||||||||
Total Common Stocks (cost $399,393) | 124,367 | ||||||||||||
WARRANTS 0.1% | |||||||||||||
iHeartMedia, Inc. (f) (h) (n) | 2,133 | 32,102 | |||||||||||
Total Warrants (cost $39,382) | 32,102 | ||||||||||||
OTHER EQUITY INTERESTS 0.0% | |||||||||||||
Quicksilver Resources Inc. Escrow (e) (f) (h) (o) | 2,309,000 | — | |||||||||||
Quicksilver Resources Inc. Escrow (e) (f) (h) (o) | 291,000 | — | |||||||||||
T-Mobile USA Inc. Escrow (e) (f) (h) (o) | 54,000 | — | |||||||||||
T-Mobile USA Inc. Escrow (e) (h) (o) | 77,000 | — | |||||||||||
Total Other Equity Interests (cost $0) | — | ||||||||||||
Shares/Par1 | Value ($) | ||||||||||||
SHORT TERM INVESTMENTS 4.0% | |||||||||||||
Investment Companies 2.5% | |||||||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.32% (p) | 1,310,905 | 1,310,906 | |||||||||||
Securities Lending Collateral 1.5% | |||||||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.33% (p) | 827,878 | 827,878 | |||||||||||
Total Short Term Investments (cost $2,138,784) | 2,138,784 | ||||||||||||
Total Investments 100.9% (cost $52,137,563) | 53,497,987 | ||||||||||||
Other Derivative Instruments (0.0)% | (165) | ||||||||||||
Other Assets and Liabilities, Net (0.9)% | (478,791) | ||||||||||||
Total Net Assets 100.0% | 53,019,031 |
(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. As of June 30, 2019, the value and the percentage of net assets of these liquid securities was $19,683,447 and 37.1% of the fund.
(b) Perpetual security. Next contractual call date presented, if applicable.
(c) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of June 30, 2019. 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 reflect 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.
(d) Convertible security.
(e) 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.
(f) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees.
(g) All or a portion of the security was on loan as of June 30, 2019.
(h) Non-income producing security.
(i) As of June 30, 2019, 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.
(j) Security is restricted to resale to institutional investors. See the table of Restricted Securities below.
(k) 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.
(l) All or a portion of the security was purchased on a delayed delivery basis. As of June 30, 2019, the total payable for investments purchased on a delayed delivery basis was $240,142.
(m) This senior loan will settle after June 30, 2019. If a reference rate and spread is presented, it will go into effect upon settlement.
(n) Security fair valued in good faith as a Level 2 security in accordance with the procedures approved by the PPM Funds' Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(o) Contingent distributions represent the right to receive additional distributions, if any, during the reorganization of the underlying company.
(p) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2019.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
43
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Restricted Securities | ||||||||||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | |||||||||||||
Samarco Mineracao S/A, 0.00%, 11/01/22 | 06/30/18 | 80,155 | 84,234 | 0.2 | ||||||||||||
Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
PG&E Corp. – DIP Delayed Draw Term Loan | 24.875 | 188 | ||||
24,875 | 188 |
PPM Strategic Income Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Long Contracts | |||||||||||||||
United States 10 Year Ultra Bond | 14 | September 2019 | 1,896,497 | 438 | 37,253 | ||||||||||
United States 2 Year Note | 1 | October 2019 | 213,962 | (41) | 1,216 | ||||||||||
United States 5 Year Note | 9 | October 2019 | 1,055,716 | — | 7,691 | ||||||||||
United States Long Bond | 10 | September 2019 | 1,523,567 | (1,250) | 32,370 | ||||||||||
(853) | 78,530 | ||||||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (50) | September 2019 | (6,303,905) | (1,562) | (94,533) | ||||||||||
United States Ultra Bond | (12) | September 2019 | (2,079,522) | 2,250 | (51,227) | ||||||||||
688 | (145,760) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
44
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||
PPM Large Cap Value Fund | ||||||
COMMON STOCKS 99.3% | ||||||
Financials 24.1% | ||||||
Bank of America Corporation | 5,700 | 165,300 | ||||
Citigroup Inc. | 2,500 | 175,075 | ||||
Hartford Financial Services Group Inc. | 3,600 | 200,592 | ||||
Huntington Bancshares Inc. | 8,500 | 117,470 | ||||
JPMorgan Chase & Co. | 1,450 | 162,110 | ||||
Lincoln National Corp. | 2,200 | 141,790 | ||||
Morgan Stanley | 3,400 | 148,954 | ||||
PNC Financial Services Group Inc. | 700 | 96,096 | ||||
Synovus Financial Corp. | 3,800 | 133,000 | ||||
The Allstate Corporation | 1,600 | 162,704 | ||||
The Goldman Sachs Group, Inc. | 700 | 143,220 | ||||
Wells Fargo & Co. | 3,100 | 146,692 | ||||
1,793,003 | ||||||
Health Care 16.1% | ||||||
AbbVie Inc. | 2,300 | 167,256 | ||||
Cigna Corp. | 1,200 | 189,060 | ||||
CVS Health Corp. | 2,800 | 152,572 | ||||
Gilead Sciences Inc. | 2,900 | 195,924 | ||||
McKesson Corporation | 1,400 | 188,146 | ||||
Merck & Co., Inc. | 1,200 | 100,620 | ||||
Pfizer Inc. | 4,700 | 203,604 | ||||
1,197,182 | ||||||
Information Technology 14.0% | ||||||
Ads Alliance Data Systems Inc. | 750 | 105,098 | ||||
Apple Inc. | 900 | 178,128 | ||||
Avnet, Inc. | 2,800 | 126,756 | ||||
Cisco Systems, Inc. | 2,400 | 131,352 | ||||
Intel Corp. | 1,600 | 76,592 | ||||
International Business Machines Corp. | 500 | 68,950 | ||||
Leidos Holdings Inc. | 2,000 | 159,700 | ||||
Microsoft Corp. | 900 | 120,564 | ||||
Nuance Communications, Inc. (a) | 4,400 | 70,268 | ||||
1,037,408 | ||||||
Consumer Discretionary 9.4% | ||||||
Best Buy Co., Inc. | 1,000 | 69,730 | ||||
Foot Locker Inc. | 2,000 | 83,840 | ||||
General Motors Company | 4,900 | 188,797 | ||||
Macy's, Inc. | 4,000 | 85,840 | ||||
Newell Brands Inc. | 7,400 | 114,108 | ||||
Royal Caribbean Cruises Ltd. | 1,300 | 157,573 | ||||
699,888 | ||||||
Shares/Par1 | Value ($) | |||||
Industrials 8.7% | ||||||
Caterpillar Inc. | 1,100 | 149,919 | ||||
Delta Air Lines Inc. | 2,900 | 164,575 | ||||
Spirit Aerosystems Holdings Inc. - Class A | 1,800 | 146,466 | ||||
Terex Corp. | 2,300 | 72,220 | ||||
Textron Inc. | 2,200 | 116,688 | ||||
649,868 | ||||||
Energy 8.4% | ||||||
Apache Corporation | 5,700 | 165,129 | ||||
Chevron Corp. | 1,600 | 199,104 | ||||
Halliburton Co. | 6,000 | 136,440 | ||||
National Oilwell Varco Inc. | 2,800 | 62,244 | ||||
Occidental Petroleum Corp. | 1,300 | 65,364 | ||||
628,281 | ||||||
Communication Services 7.2% | ||||||
AT&T Inc. | 5,900 | 197,709 | ||||
Comcast Corporation - Class A | 3,500 | 147,980 | ||||
Viacom Inc. - Class B | 6,400 | 191,168 | ||||
536,857 | ||||||
Consumer Staples 4.9% | ||||||
Altria Group, Inc. | 2,600 | 123,110 | ||||
Archer-Daniels-Midland Company | 3,500 | 142,800 | ||||
Campbell Soup Co. | 2,400 | 96,168 | ||||
362,078 | ||||||
Utilities 3.3% | ||||||
The AES Corporation | 7,200 | 120,672 | ||||
Vistra Energy Corp. | 5,400 | 122,256 | ||||
242,928 | ||||||
Materials 3.2% | ||||||
Berry Global Group, Inc. (a) | 2,300 | 120,957 | ||||
Nucor Corp. | 2,100 | 115,710 | ||||
236,667 | ||||||
Total Common Stocks (cost $7,650,985) | 7,384,160 | |||||
SHORT TERM INVESTMENTS 0.6% | ||||||
Investment Companies 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.32% (b) | 42,618 | 42,618 | ||||
Total Short Term Investments (cost $42,618) | 42,618 | |||||
Total Investments 99.9% (cost $7,693,603) | 7,426,778 | |||||
Other Assets and Liabilities, Net 0.1% | 10,800 | |||||
Total Net Assets 100.0% | 7,437,578 |
(a) Non-income producing security.
(b) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2019.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
45
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||
PPM Mid Cap Value Fund | ||||||
COMMON STOCKS 99.7% | ||||||
Financials 23.6% | ||||||
American Financial Group, Inc. | 1,300 | 133,211 | ||||
Hartford Financial Services Group Inc. | 2,500 | 139,300 | ||||
Home Bancshares Inc. | 4,600 | 88,596 | ||||
Huntington Bancshares Inc. | 10,300 | 142,346 | ||||
Janus Henderson Group PLC | 6,300 | 134,820 | ||||
Lincoln National Corp. | 1,300 | 83,785 | ||||
Reinsurance Group of America Inc. | 900 | 140,427 | ||||
Sterling Bancorp | 2,700 | 57,456 | ||||
Synovus Financial Corp. | 3,900 | 136,500 | ||||
TCF Financial Corp. | 6,600 | 137,214 | ||||
The Allstate Corporation | 1,100 | 111,859 | ||||
1,305,514 | ||||||
Consumer Discretionary 14.5% | ||||||
American Axle & Manufacturing Holdings, Inc. (a) | 11,500 | 146,740 | ||||
Best Buy Co., Inc. | 1,000 | 69,730 | ||||
Foot Locker Inc. | 2,000 | 83,840 | ||||
Helen of Troy Ltd (a) | 850 | 111,001 | ||||
Macy's, Inc. | 2,500 | 53,650 | ||||
Newell Brands Inc. | 6,500 | 100,230 | ||||
Penske Automotive Group, Inc. | 1,700 | 80,410 | ||||
Royal Caribbean Cruises Ltd. | 1,175 | 142,422 | ||||
Tupperware Brands Corp. | 800 | 15,224 | ||||
803,247 | ||||||
Information Technology 11.9% | ||||||
Avnet, Inc. | 1,900 | 86,013 | ||||
Belden Inc. | 1,600 | 95,312 | ||||
CACI International Inc. - Class A (a) | 350 | 71,607 | ||||
Leidos Holdings Inc. | 1,050 | 83,842 | ||||
Nuance Communications, Inc. (a) | 3,400 | 54,298 | ||||
Semtech Corp. (a) | 2,000 | 96,100 | ||||
Teradata Corporation (a) | 1,400 | 50,190 | ||||
Teradyne Inc. | 1,200 | 57,492 | ||||
Western Digital Corp. | 1,400 | 66,570 | ||||
661,424 | ||||||
Industrials 11.9% | ||||||
Delta Air Lines Inc. | 2,000 | 113,500 | ||||
Kennametal Inc. | 3,900 | 144,261 | ||||
Spirit Aerosystems Holdings Inc. - Class A | 1,600 | 130,192 | ||||
Terex Corp. | 4,300 | 135,020 | ||||
Textron Inc. | 2,600 | 137,904 | ||||
660,877 | ||||||
Materials 8.6% | ||||||
Allegheny Technologies Incorporated (a) | 2,100 | 52,920 | ||||
Shares/Par1 | Value ($) | |||||
Berry Global Group, Inc. (a) | 1,500 | 78,885 | ||||
Huntsman Corp. | 4,200 | 85,848 | ||||
Nucor Corp. | 900 | 49,590 | ||||
Reliance Steel & Aluminum Co. | 1,300 | 123,006 | ||||
Steel Dynamics Inc. | 2,800 | 84,560 | ||||
474,809 | ||||||
Health Care 6.9% | ||||||
Cigna Corp. | 575 | 90,591 | ||||
Magellan Health Services Inc. (a) | 1,300 | 96,499 | ||||
McKesson Corporation | 1,000 | 134,390 | ||||
Mednax, Inc. (a) | 2,400 | 60,552 | ||||
382,032 | ||||||
Utilities 6.2% | ||||||
PNM Resources, Inc. | 2,500 | 127,275 | ||||
The AES Corporation | 6,200 | 103,912 | ||||
Vistra Energy Corp. | 5,000 | 113,200 | ||||
344,387 | ||||||
Energy 5.3% | ||||||
Apache Corporation | 1,600 | 46,352 | ||||
National Oilwell Varco Inc. | 2,100 | 46,683 | ||||
Patterson-UTI Energy Inc. | 4,800 | 55,248 | ||||
PBF Energy Inc. - Class A | 4,600 | 143,980 | ||||
292,263 | ||||||
Communication Services 4.5% | ||||||
Meredith Corp. | 2,000 | 110,120 | ||||
Viacom Inc. - Class B | 4,700 | 140,389 | ||||
250,509 | ||||||
Consumer Staples 4.4% | ||||||
Campbell Soup Co. | 2,800 | 112,196 | ||||
Ingredion Inc. | 1,600 | 131,984 | ||||
244,180 | ||||||
Real Estate 1.9% | ||||||
Regency Centers Corp. | 1,550 | 103,447 | ||||
Total Common Stocks (cost $5,718,097) | 5,522,689 | |||||
SHORT TERM INVESTMENTS 0.2% | ||||||
Investment Companies 0.2% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.32% (b) | 13,580 | 13,580 | ||||
Total Short Term Investments (cost $13,580) | 13,580 | |||||
Total Investments 99.9% (cost $5,731,677) | 5,536,269 | |||||
Other Assets and Liabilities, Net 0.1% | 3,394 | |||||
Total Net Assets 100.0% | 5,539,663 |
(a) Non-income producing security.
(b) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2019.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
46
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Shares/Par1 | Value ($) | |||||
PPM Small Cap Value Fund | ||||||
COMMON STOCKS 99.3% | ||||||
Financials 19.9% | ||||||
Axos Financial, Inc. (a) | 8,800 | 239,800 | ||||
Banc of California, Inc. | 14,100 | 196,977 | ||||
Cadence Bancorporation - Class A | 10,700 | 222,560 | ||||
Home Bancshares Inc. | 10,200 | 196,452 | ||||
Independent Bank Corp. | 3,200 | 243,680 | ||||
Janus Henderson Group PLC | 9,000 | 192,600 | ||||
Renasant Corporation | 6,700 | 240,798 | ||||
Sterling Bancorp | 8,500 | 180,880 | ||||
TCF Financial Corp. | 11,700 | 243,243 | ||||
1,956,990 | ||||||
Industrials 17.8% | ||||||
Aerojet Rocketdyne Holdings, Inc. (a) | 3,300 | 147,741 | ||||
Apogee Enterprises, Inc. | 5,300 | 230,232 | ||||
GATX Corp. | 3,100 | 245,799 | ||||
Kennametal Inc. | 6,800 | 251,532 | ||||
SkyWest Inc. | 4,000 | 242,680 | ||||
Steelcase Inc. - Class A | 6,100 | 104,310 | ||||
Terex Corp. | 7,800 | 244,920 | ||||
Triumph Group Inc. | 12,700 | 290,830 | ||||
1,758,044 | ||||||
Information Technology 16.3% | ||||||
Belden Inc. | 4,000 | 238,280 | ||||
Benchmark Electronics, Inc. | 4,000 | 100,480 | ||||
CACI International Inc. - Class A (a) | 1,150 | 235,279 | ||||
CSG Systems International Inc. | 3,200 | 156,256 | ||||
Electronics for Imaging Inc. (a) | 3,100 | 114,421 | ||||
Photronics Inc. (a) | 10,000 | 82,000 | ||||
Semtech Corp. (a) | 4,000 | 192,200 | ||||
SYNNEX Corporation | 1,700 | 167,280 | ||||
Teradata Corporation (a) | 2,100 | 75,285 | ||||
Teradyne Inc. | 2,100 | 100,611 | ||||
Verint Systems Inc. (a) | 2,700 | 145,206 | ||||
1,607,298 | ||||||
Consumer Discretionary 14.7% | ||||||
American Axle & Manufacturing Holdings, Inc. (a) | 21,000 | 267,960 | ||||
Helen of Troy Ltd (a) | 1,800 | 235,062 | ||||
Party City Holdco Inc. (a) (b) | 20,000 | 146,600 | ||||
Penske Automotive Group, Inc. | 5,500 | 260,150 | ||||
Skechers U.S.A. Inc. - Class A (a) | 6,700 | 210,983 | ||||
Tower International Inc. | 12,500 | 243,750 | ||||
Tupperware Brands Corp. | 4,400 | 83,732 | ||||
1,448,237 | ||||||
Energy 7.5% | ||||||
Diamond Offshore Drilling, Inc. (a) (b) | 11,500 | 102,005 | ||||
Shares/Par1 | Value ($) | |||||
Helix Energy Solutions Group, Inc. (a) | 24,600 | 212,298 | ||||
Patterson-UTI Energy Inc. | 15,200 | 174,952 | ||||
PBF Energy Inc. - Class A | 8,000 | 250,400 | ||||
739,655 | ||||||
Health Care 6.6% | ||||||
Integer Holdings Corporation (a) | 2,400 | 201,408 | ||||
Magellan Health Services Inc. (a) | 3,500 | 259,805 | ||||
Mednax, Inc. (a) | 6,000 | 151,380 | ||||
Owens & Minor Inc. | 12,600 | 40,320 | ||||
652,913 | ||||||
Materials 5.2% | ||||||
Allegheny Technologies Incorporated (a) | 8,500 | 214,200 | ||||
Olin Corp. | 8,800 | 192,808 | ||||
Reliance Steel & Aluminum Co. | 1,100 | 104,082 | ||||
511,090 | ||||||
Consumer Staples 3.3% | ||||||
Cott Corporation (c) | 17,700 | 236,295 | ||||
Ingredion Inc. | 1,100 | 90,739 | ||||
327,034 | ||||||
Real Estate 3.1% | ||||||
DiamondRock Hospitality Co. | 9,200 | 95,128 | ||||
Kite Realty Naperville, LLC | 14,000 | 211,820 | ||||
306,948 | ||||||
Communication Services 2.5% | ||||||
Meredith Corp. | 4,400 | 242,264 | ||||
Utilities 2.4% | ||||||
PNM Resources, Inc. | 4,600 | 234,186 | ||||
Total Common Stocks (cost $10,401,876) | 9,784,659 | |||||
SHORT TERM INVESTMENTS 1.3% | ||||||
Securities Lending Collateral 1.0% | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.33% (d) | 100,625 | 100,625 | ||||
Investment Companies 0.3% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 2.32% (d) | 28,058 | 28,058 | ||||
Total Short Term Investments (cost $128,683) | 128,683 | |||||
Total Investments 100.6% (cost $10,530,559) | 9,913,342 | |||||
Other Assets and Liabilities, Net (0.6)% | (58,457) | |||||
Total Net Assets 100.0% | 9,854,885 |
(a) Non-income producing security.
(b) All or a portion of the security was on loan as of June 30, 2019.
(c) The Adviser has deemed this security to be illiquid based on procedures approved by the PPM Funds' Board of Trustees.
(d) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2019.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
47
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
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/.
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.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 49
48
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2019
Currency Abbreviations:
EUR - European Currency Unit (Euro) |
GBP - British Pound |
USD - United States Dollar |
Abbreviations:
CDX.NA.IG - Credit Derivatives Index - North American - Investment Grade | |
DIP – Debtor-in-Possession | |
ETF - Exchange Traded Fund | |
LIBOR - London Interbank Offered Rate | |
PRIME - Wall Street Journal Prime Rate | |
REMIC - Real Estate Mortgage Investment Conduit | |
U.S. or US - United States |
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.
4The 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.
5The 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.
6If 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.
See accompanying Notes to Financial Statements.
49
PPMFunds
Statements of Assets and Liabilities (Unaudited)
June 30, 2019
|
| 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 | $ | 55,913,876 |
| $ | 54,367,542 |
| $ | 52,761,813 |
| $ | 55,475,152 |
| $ | 56,713,514 |
|
| |
Variation margin on futures |
| 63 |
|
| 3,563 |
|
| — |
|
| 125 |
|
| 2,568 |
|
| |
Cash |
| — |
|
| — |
|
| 231,348 |
|
| — |
|
| — |
|
| |
Receivable from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities sold |
| 390,729 |
|
| 49,275 |
|
| 773,883 |
|
| 426,584 |
|
| 430,131 |
|
|
| Fund shares sold |
| 115,999 |
|
| 133,940 |
|
| 177,996 |
|
| 202,331 |
|
| 156,632 |
|
|
| Dividends and interest |
| 336,855 |
|
| 508,581 |
|
| 110,002 |
|
| 722,466 |
|
| 388,132 |
|
|
| Adviser |
| 6,909 |
|
| 6,815 |
|
| 4,714 |
|
| 4,687 |
|
| 2,539 |
|
|
| Deposits with brokers and counterparties |
| 47,221 |
|
| 59,007 |
|
| 5,489 |
|
| 32,382 |
|
| 201,471 |
|
|
Other assets |
| 10,955 |
|
| 10,754 |
|
| 15,016 |
|
| 10,790 |
|
| 12,127 |
|
| |
Total assets |
| 56,822,607 |
|
| 55,139,477 |
|
| 54,080,261 |
|
| 56,874,517 |
|
| 57,907,114 |
|
| |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Cash overdraft |
| 109,192 |
|
| 89,120 |
|
| — |
|
| 192,426 |
|
| 48,137 |
|
| |
Foreign currency overdraft |
| 17 |
|
| — |
|
| — |
|
| — |
|
| — |
|
| |
Securities sold short, at value |
| — |
|
| — |
|
| — |
|
| — |
|
| 5,150,654 |
|
| |
Variation margin on futures |
| 3,299 |
|
| 5,852 |
|
| 95 |
|
| 644 |
|
| 1,938 |
|
| |
Variation margin on swap agreements |
| 239 |
|
| — |
|
| — |
|
| — |
|
| 1,791 |
|
| |
Payable for: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities purchased |
| 2,450,903 |
|
| 507,722 |
|
| 2,067,515 |
|
| 1,136,684 |
|
| 1,143,246 |
|
|
| Return of securities loaned |
| 42,640 |
|
| 437,060 |
|
| 162,943 |
|
| 2,262,375 |
|
| — |
|
|
| Dividends/interest on securities sold short |
| — |
|
| — |
|
| — |
|
| — |
|
| 72,673 |
|
|
| Interest expense and brokerage charges |
| — |
|
| — |
|
| — |
|
| — |
|
| 3,988 |
|
|
| Advisory fees |
| 17,639 |
|
| 19,696 |
|
| 23,361 |
|
| 22,527 |
|
| 21,004 |
|
|
| Administrative fees |
| 4,410 |
|
| 4,377 |
|
| 4,247 |
|
| 4,096 |
|
| 4,201 |
|
|
| Dividends |
| 9,073 |
|
| 10,291 |
|
| 13,716 |
|
| 14,943 |
|
| 9,861 |
|
|
| Chief compliance officer fees |
| 2,101 |
|
| 2,071 |
|
| 2,075 |
|
| 2,084 |
|
| 2,050 |
|
|
| Other expenses |
| 5,635 |
|
| 5,535 |
|
| 5,561 |
|
| 5,565 |
|
| 5,600 |
|
|
Total liabilities |
| 2,645,148 |
|
| 1,081,724 |
|
| 2,279,513 |
|
| 3,641,344 |
|
| 6,465,143 |
|
| |
Net assets | $ | 54,177,459 |
| $ | 54,057,753 |
| $ | 51,800,748 |
| $ | 53,233,173 |
| $ | 51,441,971 |
|
| |
Net assets consist of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Paid-in capital | $ | 51,951,309 |
| $ | 51,607,319 |
| $ | 53,054,061 |
| $ | 53,427,323 |
| $ | 52,394,138 |
|
| |
Total distributable earnings (loss) |
| 2,226,150 |
|
| 2,450,434 |
|
| (1,253,313 | ) |
| (194,150 | ) |
| (952,167 | ) |
| |
Net assets | $ | 54,177,459 |
| $ | 54,057,753 |
| $ | 51,800,748 |
| $ | 53,233,173 |
| $ | 51,441,971 |
|
| |
Net assets - Institutional Class | $ | 54,177,459 |
| $ | 54,057,753 |
| $ | 51,800,748 |
| $ | 53,233,173 |
| $ | 51,441,971 |
|
| |
Shares outstanding - Institutional Class |
| 5,195,798 |
|
| 5,161,873 |
|
| 5,335,660 |
|
| 5,350,731 |
|
| 5,246,764 |
|
| |
Net asset value per share - Institutional Class | $ | 10.43 |
| $ | 10.47 |
| $ | 9.71 |
| $ | 9.95 |
| $ | 9.80 |
|
| |
Investments - unaffiliated, at cost | $ | 53,927,060 |
| $ | 51,819,127 |
| $ | 53,662,808 |
| $ | 54,544,235 |
| $ | 55,861,477 |
|
| |
Proceeds from securities sold short |
| — |
|
| — |
|
| — |
|
| — |
|
| 4,795,710 |
|
| |
Securities on loan included in |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments - unaffiliated, at value |
| 41,905 |
|
| 431,182 |
|
| 160,054 |
|
| 2,226,413 |
|
| — |
|
|
See accompanying Notes to Financial Statements.
50
PPMFunds
Statements of Assets and Liabilities (Unaudited)
June 30, 2019
|
| PPM Strategic Income Fund |
| PPM Large Cap Value Fund |
| PPM Mid Cap Value Fund |
| PPM Small Cap Value Fund |
|
| ||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Investments - unaffiliated, at value | $ | 53,497,987 |
| $ | 7,426,778 |
| $ | 5,536,269 |
| $ | 9,913,342 |
|
| |
Variation margin on futures |
| 2,688 |
|
| — |
|
| — |
|
| — |
|
| |
Cash |
| 150,377 |
|
| — |
|
| — |
|
| 1,334 |
|
| |
Foreign currency |
| 480,385 |
|
| — |
|
| — |
|
| — |
|
| |
Receivable from: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities sold |
| 353,408 |
|
| — |
|
| 110,059 |
|
| 135,929 |
|
|
| Fund shares sold |
| 147,025 |
|
| — |
|
| — |
|
| — |
|
|
| Dividends and interest |
| 477,063 |
|
| 13,883 |
|
| 11,557 |
|
| 8,049 |
|
|
| Adviser |
| 4,654 |
|
| 1,000 |
|
| 715 |
|
| 946 |
|
|
| Deposits with brokers and counterparties |
| 65,912 |
|
| — |
|
| — |
|
| — |
|
|
Other assets |
| 11,353 |
|
| 1,081 |
|
| 882 |
|
| 1,634 |
|
| |
Total assets |
| 55,190,852 |
|
| 7,442,742 |
|
| 5,659,482 |
|
| 10,061,234 |
|
| |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Variation margin on futures |
| 2,853 |
|
| — |
|
| — |
|
| — |
|
| |
Payable for: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities purchased |
| 1,295,803 |
|
| — |
|
| 115,410 |
|
| 97,305 |
|
|
| Return of securities loaned |
| 827,878 |
|
| — |
|
| — |
|
| 100,625 |
|
|
| Interest expense and brokerage charges |
| 712 |
|
| — |
|
| — |
|
| — |
|
|
| Advisory fees |
| 21,548 |
|
| 3,587 |
|
| 3,069 |
|
| 6,186 |
|
|
| Administrative fees |
| 4,309 |
|
| 598 |
|
| 438 |
|
| 773 |
|
|
| Dividends |
| 11,109 |
|
| — |
|
| — |
|
| — |
|
|
| Chief compliance officer fees |
| 2,071 |
|
| 263 |
|
| 217 |
|
| 402 |
|
|
| Other expenses |
| 5,538 |
|
| 716 |
|
| 685 |
|
| 1,058 |
|
|
Total liabilities |
| 2,171,821 |
|
| 5,164 |
|
| 119,819 |
|
| 206,349 |
|
| |
Net assets | $ | 53,019,031 |
| $ | 7,437,578 |
| $ | 5,539,663 |
| $ | 9,854,885 |
|
| |
Net assets consist of: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Paid-in capital | $ | 52,144,856 |
| $ | 7,735,143 |
| $ | 6,045,816 |
| $ | 10,850,124 |
|
| |
Total distributable earnings (loss) |
| 874,175 |
|
| (297,565 | ) |
| (506,153 | ) |
| (995,239 | ) |
| |
Net assets | $ | 53,019,031 |
| $ | 7,437,578 |
| $ | 5,539,663 |
| $ | 9,854,885 |
|
| |
Net assets - Institutional Class | $ | 53,019,031 |
| $ | 7,437,578 |
| $ | 5,539,663 |
| $ | 9,854,885 |
|
| |
Shares outstanding - Institutional Class |
| 5,217,463 |
|
| 780,872 |
|
| 611,832 |
|
| 1,065,521 |
|
| |
Net asset value per share - Institutional Class | $ | 10.16 |
| $ | 9.52 |
| $ | 9.05 |
| $ | 9.25 |
|
| |
Investments - unaffiliated, at cost | $ | 52,137,563 |
| $ | 7,693,603 |
| $ | 5,731,677 |
| $ | 10,530,559 |
|
| |
Foreign currency cost |
| 490,097 |
|
| — |
|
| — |
|
| — |
|
| |
Securities on loan included in |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments - unaffiliated, at value |
| 814,771 |
|
| — |
|
| — |
|
| 233,945 |
|
|
See accompanying Notes to Financial Statements.
51
PPMFunds
Statements of Operations (Unaudited)
For the Period Ended June 30, 2019
|
|
| PPM Core Plus Fixed Income Fund |
| PPM Credit Fund |
| PPM Floating Rate Income Fund |
| PPM High Yield Core Fund |
| PPM Long Short Credit Fund |
|
| |||||
Investment income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Dividends | $ | 17,425 |
| $ | 9,287 |
| $ | 28,506 |
| $ | 72,002 |
| $ | 65,918 |
|
| ||
Interest |
| 948,626 |
|
| 1,064,938 |
|
| 1,420,629 |
|
| 1,522,468 |
|
| 1,191,085 |
|
| ||
Securities lending |
| 790 |
|
| 3,343 |
|
| 1,388 |
|
| 21,929 |
|
| — |
|
| ||
Total investment income |
| 966,841 |
|
| 1,077,568 |
|
| 1,450,523 |
|
| 1,616,399 |
|
| 1,257,003 |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Advisory fees |
| 103,152 |
|
| 114,633 |
|
| 139,291 |
|
| 140,454 |
|
| 125,291 |
|
| ||
Administrative fees |
| 25,788 |
|
| 25,474 |
|
| 25,325 |
|
| 25,537 |
|
| 25,058 |
|
| ||
Legal fees |
| 7,345 |
|
| 7,232 |
|
| 7,270 |
|
| 7,276 |
|
| 7,183 |
|
| ||
Transfer agent fees |
| 7,103 |
|
| 7,015 |
|
| 7,068 |
|
| 7,041 |
|
| 6,983 |
|
| ||
Board of trustee fees |
| 9,974 |
|
| 9,820 |
|
| 9,869 |
|
| 9,876 |
|
| 9,753 |
|
| ||
Chief compliance officer fees |
| 7,226 |
|
| 7,114 |
|
| 7,153 |
|
| 7,157 |
|
| 7,068 |
|
| ||
Registration and filing fees |
| 4,753 |
|
| 4,675 |
|
| 4,705 |
|
| 4,696 |
|
| 4,654 |
|
| ||
Dividends/interest on securities sold short |
| — |
|
| — |
|
| — |
|
| — |
|
| 93,291 |
|
| ||
Net short holdings borrowing fees |
| — |
|
| — |
|
| — |
|
| — |
|
| 23,237 |
|
| ||
Other expenses |
| 3,126 |
|
| 3,123 |
|
| 2,960 |
|
| 2,973 |
|
| 2,680 |
|
| ||
Total expenses |
| 168,467 |
|
| 179,086 |
|
| 203,641 |
|
| 205,010 |
|
| 305,198 |
|
| ||
Expense waiver |
| (39,487 | ) |
| (38,920 | ) |
| (26,333 | ) |
| (26,182 | ) |
| (13,231 | ) |
| ||
Net expenses |
| 128,980 |
|
| 140,166 |
|
| 177,308 |
|
| 178,828 |
|
| 291,967 |
|
| ||
Net investment income (loss) |
| 837,861 |
|
| 937,402 |
|
| 1,273,215 |
|
| 1,437,571 |
|
| 965,036 |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and unrealized gain (loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Investments - unaffiliated |
| 285,061 |
|
| 230,354 |
|
| (223,449 | ) |
| (801,998 | ) |
| 104,670 |
|
| |
| Securities sold short |
| — |
|
| — |
|
| — |
|
| — |
|
| (63,652 | ) |
| |
| Futures |
| 98,227 |
|
| (155,655 | ) |
| (38,740 | ) |
| (228,685 | ) |
| (977,915 | ) |
| |
| Swap agreements |
| (436 | ) |
| — |
|
| — |
|
| — |
|
| (48,394 | ) |
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investments - unaffiliated |
| 2,599,329 |
|
| 3,848,702 |
|
| 1,743,048 |
|
| 4,582,454 |
|
| 2,882,089 |
|
| |
| Investment securities sold short |
| — |
|
| — |
|
| — |
|
| — |
|
| (419,846 | ) |
| |
| Foreign currency |
| (17 | ) |
| — |
|
| — |
|
| — |
|
| — |
|
| |
| Futures |
| (23,990 | ) |
| 15,188 |
|
| 6,666 |
|
| 32,000 |
|
| 173,949 |
|
| |
| Swap agreements |
| 5,909 |
|
| — |
|
| — |
|
| — |
|
| (49,165 | ) |
| |
Net realized and unrealized gain (loss) |
| 2,964,083 |
|
| 3,938,589 |
|
| 1,487,525 |
|
| 3,583,771 |
|
| 1,601,736 |
|
| ||
Change in net assets from operations | $ | 3,801,944 |
| $ | 4,875,991 |
| $ | 2,760,740 |
| $ | 5,021,342 |
| $ | 2,566,772 |
|
|
See accompanying Notes to Financial Statements.
52
PPMFunds
Statements of Operations (Unaudited)
For the Period Ended June 30, 2019
|
|
| PPM Strategic Income Fund |
| PPM Large Cap Value Fund |
| PPM Mid Cap Value Fund |
| PPM Small Cap Value Fund |
|
| ||||
Investment income |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Dividends | $ | 32,588 |
| $ | 97,586 |
| $ | 62,583 |
| $ | 85,119 |
|
| ||
Foreign taxes withheld |
| — |
|
| — |
|
| — |
|
| (274 | ) |
| ||
Interest |
| 1,214,333 |
|
| — |
|
| — |
|
| — |
|
| ||
Securities lending |
| 7,290 |
|
| 12 |
|
| 66 |
|
| 250 |
|
| ||
Total investment income |
| 1,254,211 |
|
| 97,598 |
|
| 62,649 |
|
| 85,095 |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Advisory fees |
| 126,867 |
|
| 20,209 |
|
| 18,439 |
|
| 38,016 |
|
| ||
Administrative fees |
| 25,373 |
|
| 3,368 |
|
| 2,634 |
|
| 4,752 |
|
| ||
Legal fees |
| 7,239 |
|
| 907 |
|
| 751 |
|
| 1,390 |
|
| ||
Transfer agent fees |
| 7,017 |
|
| 2,611 |
|
| 2,508 |
|
| 2,946 |
|
| ||
Board of trustee fees |
| 9,827 |
|
| 1,229 |
|
| 1,017 |
|
| 1,878 |
|
| ||
Chief compliance officer fees |
| 7,121 |
|
| 891 |
|
| 738 |
|
| 1,365 |
|
| ||
Registration and filing fees |
| 4,679 |
|
| 577 |
|
| 476 |
|
| 874 |
|
| ||
Dividends/interest on securities sold short |
| 11,225 |
|
| — |
|
| — |
|
| — |
|
| ||
Net short holdings borrowing fees |
| 2,541 |
|
| — |
|
| — |
|
| — |
|
| ||
Other expenses |
| 3,155 |
|
| 368 |
|
| 305 |
|
| 564 |
|
| ||
Total expenses |
| 205,044 |
|
| 30,160 |
|
| 26,868 |
|
| 51,785 |
|
| ||
Expense waiver |
| (26,096 | ) |
| (4,885 | ) |
| (3,147 | ) |
| (4,229 | ) |
| ||
Net expenses |
| 178,948 |
|
| 25,275 |
|
| 23,721 |
|
| 47,556 |
|
| ||
Net investment income (loss) |
| 1,075,263 |
|
| 72,323 |
|
| 38,928 |
|
| 37,539 |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and unrealized gain (loss) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Investments - unaffiliated |
| 40,939 |
|
| (99,485 | ) |
| (293,667 | ) |
| (361,949 | ) |
| |
| Securities sold short |
| (41,477 | ) |
| — |
|
| — |
|
| — |
|
| |
| Foreign currency |
| (2,529 | ) |
| — |
|
| — |
|
| — |
|
| |
| Futures |
| (281,729 | ) |
| — |
|
| — |
|
| — |
|
| |
| Swap agreements |
| 6,310 |
|
| — |
|
| — |
|
| — |
|
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investments - unaffiliated |
| 3,323,198 |
|
| 683,539 |
|
| 838,970 |
|
| 1,602,100 |
|
| |
| Investment securities sold short |
| (6,451 | ) |
| — |
|
| — |
|
| — |
|
| |
| Foreign currency |
| (9,885 | ) |
| — |
|
| — |
|
| — |
|
| |
| Futures |
| 40,182 |
|
| — |
|
| — |
|
| — |
|
| |
| Swap agreements |
| 16,934 |
|
| — |
|
| — |
|
| — |
|
| |
Net realized and unrealized gain (loss) |
| 3,085,492 |
|
| 584,054 |
|
| 545,303 |
|
| 1,240,151 |
|
| ||
Change in net assets from operations | $ | 4,160,755 |
| $ | 656,377 |
| $ | 584,231 |
| $ | 1,277,690 |
|
|
See accompanying Notes to Financial Statements.
53
PPMFunds
Statements of Changes in Net Assets (Unaudited)
For the Period Ended June 30, 2019
|
| PPM Core Plus Fixed Income Fund |
| PPM Credit Fund |
| PPM Floating Rate Income Fund |
| PPM High Yield Core Fund |
| PPM Long Short Credit Fund |
|
| |||||
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Net investment income (loss) | $ | 837,861 |
| $ | 937,402 |
| $ | 1,273,215 |
| $ | 1,437,571 |
| $ | 965,036 |
|
| |
Net realized gain (loss) |
| 382,852 |
|
| 74,699 |
|
| (262,189 | ) |
| (1,030,683 | ) |
| (985,291 | ) |
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| (depreciation) |
| 2,581,231 |
|
| 3,863,890 |
|
| 1,749,714 |
|
| 4,614,454 |
|
| 2,587,027 |
|
|
Change in net assets from operations |
| 3,801,944 |
|
| 4,875,991 |
|
| 2,760,740 |
|
| 5,021,342 |
|
| 2,566,772 |
|
| |
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
From distributable earnings |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (821,528 | ) |
| (916,409 | ) |
| (1,281,993 | ) |
| (1,407,266 | ) |
| (928,604 | ) |
|
Total distributions to shareholders |
| (821,528 | ) |
| (916,409 | ) |
| (1,281,993 | ) |
| (1,407,266 | ) |
| (928,604 | ) |
| |
Share transactions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Proceeds from the sale of shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 362,585 |
|
| 362,585 |
|
| 363,021 |
|
| 362,587 |
|
| 362,585 |
|
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 699,671 |
|
| 780,516 |
|
| 1,091,833 |
|
| 1,198,533 |
|
| 928,604 |
|
|
Cost of shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (63,323 | ) |
| (63,391 | ) |
| (62,010 | ) |
| (62,672 | ) |
| (61,641 | ) |
|
Change in net assets from |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| share transactions |
| 998,933 |
|
| 1,079,710 |
|
| 1,392,844 |
|
| 1,498,448 |
|
| 1,229,548 |
|
|
Change in net assets |
| 3,979,349 |
|
| 5,039,292 |
|
| 2,871,591 |
|
| 5,112,524 |
|
| 2,867,716 |
|
| |
Net assets beginning of period |
| 50,198,110 |
|
| 49,018,461 |
|
| 48,929,157 |
|
| 48,120,649 |
|
| 48,574,255 |
|
| |
Net assets end of period | $ | 54,177,459 |
| $ | 54,057,753 |
| $ | 51,800,748 |
| $ | 53,233,173 |
| $ | 51,441,971 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1Share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Shares sold |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 35,743 |
|
| 35,879 |
|
| 37,367 |
|
| 36,845 |
|
| 37,066 |
|
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 68,723 |
|
| 76,859 |
|
| 112,284 |
|
| 121,963 |
|
| 94,932 |
|
|
Shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (6,235 | ) |
| (6,258 | ) |
| (6,363 | ) |
| (6,351 | ) |
| (6,290 | ) |
|
Change in shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 98,231 |
|
| 106,480 |
|
| 143,288 |
|
| 152,457 |
|
| 125,708 |
|
|
Purchases and sales of long term |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchase of securities | $ | 14,820,001 |
| $ | 20,165,889 |
| $ | 13,828,191 |
| $ | 23,500,273 |
| $ | 21,201,335 |
|
| |
Purchase of U.S. government securities |
| 7,525,041 | (a) |
| 9,465,619 |
|
| — |
|
| — |
|
| — |
|
| |
Total purchases | $ | 22,345,042 |
| $ | 29,631,508 |
| $ | 13,828,191 |
| $ | 23,500,273 |
| $ | 21,201,335 |
|
| |
Proceeds from sales of securities | $ | 16,359,829 |
| $ | 18,222,300 |
| $ | 14,403,005 |
| $ | 22,668,883 |
| $ | 20,474,246 |
|
| |
Proceeds from sales of U.S. government |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| securities |
| 6,053,329 | (a) |
| 9,921,411 |
|
| — |
|
| — |
|
| — |
|
|
Total proceeds from sales | $ | 22,413,158 |
| $ | 28,143,711 |
| $ | 14,403,005 |
| $ | 22,668,883 |
| $ | 20,474,246 |
|
| |
Securities sold short covers | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 1,015,549 |
|
| |
Securities sold short proceeds | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 2,854,154 |
|
|
(a) | Amounts exclude $1,160,965 and $92,098 of purchases and sales, respectively, of dollar roll transaction securities. |
See accompanying Notes to Financial Statements.
54
PPMFunds
Statements of Changes in Net Assets (Unaudited)
For the Period Ended June 30, 2019
|
| PPM Strategic Income Fund |
| PPM Large Cap Value Fund |
| PPM Mid Cap Value Fund |
| PPM Small Cap Value Fund |
|
| ||||
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Net investment income (loss) | $ | 1,075,263 |
| $ | 72,323 |
| $ | 38,928 |
| $ | 37,539 |
|
| |
Net realized gain (loss) |
| (278,486 | ) |
| (99,485 | ) |
| (293,667 | ) |
| (361,949 | ) |
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| (depreciation) |
| 3,363,978 |
|
| 683,539 |
|
| 838,970 |
|
| 1,602,100 |
|
|
Change in net assets from operations |
| 4,160,755 |
|
| 656,377 |
|
| 584,231 |
|
| 1,277,690 |
|
| |
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
| |
From distributable earnings |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (1,043,354 | ) |
| — |
|
| — |
|
| — |
|
|
Total distributions to shareholders |
| (1,043,354 | ) |
| — |
|
| — |
|
| — |
|
| |
Share transactions1 |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Proceeds from the sale of shares |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 363,021 |
|
| 1,305,829 |
|
| 435,277 |
|
| 445,277 |
|
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 888,600 |
|
| — |
|
| — |
|
| — |
|
|
Cost of shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (62,926 | ) |
| (217,357 | ) |
| (70,256 | ) |
| (71,291 | ) |
|
Change in net assets from |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| share transactions |
| 1,188,695 |
|
| 1,088,472 |
|
| 365,021 |
|
| 373,986 |
|
|
Change in net assets |
| 4,306,096 |
|
| 1,744,849 |
|
| 949,252 |
|
| 1,651,676 |
|
| |
Net assets beginning of period |
| 48,712,935 |
|
| 5,692,729 |
|
| 4,590,411 |
|
| 8,203,209 |
|
| |
Net assets end of period | $ | 53,019,031 |
| $ | 7,437,578 |
| $ | 5,539,663 |
| $ | 9,854,885 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1Share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
| |
Shares sold |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 36,401 |
|
| 136,177 |
|
| 47,351 |
|
| 47,555 |
|
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 88,989 |
|
| — |
|
| — |
|
| — |
|
|
Shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (6,299 | ) |
| (22,593 | ) |
| (7,631 | ) |
| (7,603 | ) |
|
Change in shares |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 119,091 |
|
| 113,584 |
|
| 39,720 |
|
| 39,952 |
|
|
Purchases and sales of long term |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchase of securities | $ | 19,712,346 |
| $ | 2,050,182 |
| $ | 1,648,495 |
| $ | 2,492,140 |
|
| |
Purchase of U.S. government securities |
| 2,464,998 |
|
| — |
|
| — |
|
| — |
|
| |
Total purchases | $ | 22,177,344 |
| $ | 2,050,182 |
| $ | 1,648,495 |
| $ | 2,492,140 |
|
| |
Proceeds from sales of securities | $ | 20,902,421 |
| $ | 898,430 |
| $ | 1,236,133 |
| $ | 2,130,420 |
|
| |
Proceeds from sales of U.S. government |
|
|
|
|
|
|
|
|
|
|
|
|
| |
| securities |
| 889,807 |
|
| — |
|
| — |
|
| — |
|
|
Total proceeds from sales | $ | 21,792,228 |
| $ | 898,430 |
| $ | 1,236,133 |
| $ | 2,130,420 |
|
| |
Securities sold short covers | $ | 664,620 |
| $ | — |
| $ | — |
| $ | — |
|
| |
Securities sold short proceeds | $ | 120,723 |
| $ | — |
| $ | — |
| $ | — |
|
|
See accompanying Notes to Financial Statements.
55
PPMFunds
Statements of Changes in Net Assets (Unaudited)
For the Year 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 year |
| 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 |
|
| |
(a) | Period from commencement of operations July 16, 2018. | |||||||||||||||||
(b) | Period from commencement of operations May 1, 2018. |
See accompanying Notes to Financial Statements.
56
PPMFunds
Statements of Changes in Net Assets (Unaudited)
For the Year 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 |
|
|
(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. |
(b) | Period from commencement of operations May 1, 2018. |
See accompanying Notes to Financial Statements.
57
PPMFunds
Financial Highlights (Unaudited)
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 |
|
|
|
|
|
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|
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|
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| |||||||||||||||
|
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|
|
|
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|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
06/30/19 |
| 9.85 |
| 0.16 |
| 0.56 |
| 0.72 |
|
| (0.14) |
| — |
| 10.43 |
| 7.56 |
| 54,177 |
| 42 | (d) |
| 0.50 |
| 0.65 |
| 3.25 |
|
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 |
|
|
|
|
|
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| |||||||||||||||
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|
|
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|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
06/30/19 |
| 9.70 |
| 0.18 |
| 0.74 |
| 0.92 |
|
| (0.15) |
| — |
| 10.47 |
| 9.86 |
| 54,058 |
| 56 |
|
| 0.55 |
| 0.70 |
| 3.68 |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
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| |||||||||||||||
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
06/30/19 |
| 9.42 |
| 0.24 |
| 0.26 |
| 0.50 |
|
| (0.21) |
| — |
| 9.71 |
| 5.69 |
| 51,801 |
| 28 |
|
| 0.70 |
| 0.80 |
| 5.03 |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
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| |||||||||||||||
|
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|
|
|
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|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
06/30/19 |
| 9.26 |
| 0.27 |
| 0.65 |
| 0.92 |
|
| (0.23) |
| — |
| 9.95 |
| 10.41 |
| 53,233 |
| 46 |
|
| 0.70 |
| 0.80 |
| 5.63 |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
|
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|
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|
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|
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|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
06/30/19 |
| 9.49 |
| 0.19 |
| 0.30 |
| 0.49 |
|
| (0.18) |
| — |
| 9.80 |
| 5.18 |
| 51,442 |
| 39 |
|
| 1.17 | (e) | 1.22 | (e) | 3.85 |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
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| |||||||||||||||
|
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|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
06/30/19 |
| 9.55 |
| 0.21 |
| 0.57 |
| 0.78 |
|
| (0.17) |
| — |
| 10.16 |
| 8.56 |
| 53,019 |
| 43 |
|
| 0.71 | (e) | 0.81 | (e) | 4.24 |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
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|
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|
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|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
06/30/19 |
| 8.53 |
| 0.10 |
| 0.89 |
| 0.99 |
|
| — |
| — |
| 9.52 |
| 11.61 |
| 7,438 |
| 14 |
|
| 0.75 |
| 0.90 |
| 2.15 |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
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|
|
|
|
|
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|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
06/30/19 |
| 8.02 |
| 0.07 |
| 0.96 |
| 1.03 |
|
| — |
| — |
| 9.05 |
| 12.84 |
| 5,540 |
| 24 |
|
| 0.90 |
| 1.02 |
| 1.48 |
|
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 |
|
| |||||||||||||||||||||||||||||
PPM Small Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
|
|
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|
|
|
|
|
|
|
|
|
|
Institutional Class |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
06/30/19 |
| 8.00 |
| 0.04 |
| 1.21 |
| 1.25 |
|
| — |
| — |
| 9.25 |
| 15.63 |
| 9,855 |
| 23 |
|
| 1.00 |
| 1.09 |
| 0.79 |
|
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. | ||||||||||||
(d) | Portfolio turnover including dollar roll transactions for PPM Core Plus Fixed Income Fund was 31% in 2018 and 42% in 2019. | ||||||||||||
(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: | ||||||||||||
June 30, 2019 (%) | December 31, 2018 (%) | ||||||||||||
PPM Long Short Credit Fund | |||||||||||||
Institutional Class – Net expenses / Total expenses 1 | 0.70/0.75 | 0.70/0.87 | |||||||||||
PPM Strategic Income Fund | |||||||||||||
Institutional Class – Net expenses / Total expenses 1 | 0.65/0.75 | 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 accompanying Notes to Financial Statements.
58
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2019
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 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. 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 June 30, 2019, PPM or affiliates under common ownership owned approximately 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 or are determined to be not reflective of market value. 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. Forward foreign currency contracts are generally valued at the foreign currency exchange rates as of the close of the NYSE. Centrally cleared swap agreements, listed on a multilateral or trade facility platform, such as a registered exchange, are valued by the respective exchange. The exchange determines a daily settlement price via pricing models which use, as appropriate, its members’ actionable levels across complete term structures along with information obtained from external third party price providers.
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; 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
59
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2019
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 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.
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:
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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 June 30, 2019, by valuation level.
. Level 1 ($) . | . Level 2 ($) . | . Level 3 ($) . | . Other ¹ ($) . | . Total ($) . | ||||||
PPM Core Plus Fixed Income Fund | ||||||||||
Assets - Securities | ||||||||||
Government And Agency Obligations | — | 24,162,702 | — | — | 24,162,702 | |||||
Corporate Bonds And Notes | — | 23,454,899 | 142,015 | — | 23,596,914 | |||||
Non-U.S. Government Agency Asset-Backed Securities | — | 4,468,612 | — | — | 4,468,612 | |||||
Senior Loan Interests3 | — | 1,002,787 | — | — | 1,002,787 | |||||
Short Term Investments | 2,682,992 | — | — | — | 2,682,992 | |||||
2,682,992 | 53,089,000 | 142,015 | — | 55,914,007 | ||||||
Assets - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | 85,341 | — | — | — | 85,341 | |||||
85,341 | — | — | — | 85,341 | ||||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (49,261 | ) | — | — | — | (49,261 | ) | |||
Centrally Cleared Credit Default Swap Agreements | — | (2,123 | ) | — | — | (2,123 | ) | |||
(49,261 | ) | (2,123 | ) | — | — | (51,384 | ) | |||
PPM Credit Fund | ||||||||||
Assets - Securities | ||||||||||
Corporate Bonds And Notes | — | 46,964,965 | 120,976 | — | 47,085,941 | |||||
Government And Agency Obligations | — | 4,220,458 | — | — | 4,220,458 | |||||
Non-U.S. Government Agency Asset-Backed Securities | — | 1,703,094 | — | — | 1,703,094 | |||||
Senior Loan Interests3 | — | 195,360 | — | — | 195,360 | |||||
Short Term Investments | 1,063,240 | 99,580 | — | — | 1,162,820 | |||||
1,063,240 | 53,183,457 | 120,976 | — | 54,367,673 | ||||||
Assets - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | 143,585 | — | — | — | 143,585 | |||||
143,585 | — | — | — | 143,585 | ||||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (145,874 | ) | — | — | — | (145,874 | ) | |||
(145,874 | ) | — | — | — | (145,874 | ) | ||||
PPM Floating Rate Income Fund | ||||||||||
Assets - Securities | ||||||||||
Senior Loan Interests3 | — | 47,324,992 | 958,370 | — | 48,283,362 | |||||
Corporate Bonds And Notes | — | 1,611,666 | — | — | 1,611,666 | |||||
Warrants | — | 10,580 | — | — | 10,580 | |||||
Common Stocks | 10,265 | — | — | — | 10,265 | |||||
Short Term Investments | 2,846,259 | — | — | — | 2,846,259 | |||||
2,856,524 | 48,947,238 | 958,370 | — | 52,762,132 | ||||||
Liabilities - Securities | ||||||||||
Senior Loan Interests3 | — | (470 | ) | — | — | (470 | ) | |||
— | (470 | ) | — | — | (470 | ) |
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. Level 1 ($) . | . Level 2 ($) . | . Level 3 ($) . | . Other ¹ ($) . | . Total ($) . | ||||||
PPM Floating Rate Income Fund (continued) | ||||||||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (8,849 | ) | — | — | — | (8,849 | ) | |||
(8,849 | ) | — | — | — | (8,849 | ) | ||||
PPM High Yield Core Fund | ||||||||||
Assets - Securities | ||||||||||
Corporate Bonds And Notes | — | 45,917,363 | 345,092 | — | 46,262,455 | |||||
Senior Loan Interests3 | — | 2,993,055 | 103,770 | — | 3,096,825 | |||||
Investment Companies | 1,623,268 | — | — | — | 1,623,268 | |||||
Common Stocks | 237,161 | — | — | — | 237,161 | |||||
Warrants | — | 43,600 | — | — | 43,600 | |||||
Short Term Investments | 4,211,974 | — | — | — | 4,211,974 | |||||
6,072,403 | 48,954,018 | 448,862 | — | 55,475,283 | ||||||
Assets - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | 1,103 | — | — | — | 1,103 | |||||
1,103 | — | — | — | 1,103 | ||||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (44,767 | ) | — | — | — | (44,767 | ) | |||
(44,767 | ) | — | — | — | (44,767 | ) | ||||
PPM Long Short Credit Fund | ||||||||||
Assets - Securities | ||||||||||
Corporate Bonds And Notes | — | 38,610,739 | 142,015 | — | 38,752,754 | |||||
Senior Loan Interests3 | — | 10,154,115 | 112,548 | — | 10,266,663 | |||||
Non-U.S. Government Agency Asset-Backed Securities | — | 2,949,984 | — | — | 2,949,984 | |||||
Investment Companies | 1,346,809 | — | — | — | 1,346,809 | |||||
Government And Agency Obligations | — | 340,789 | — | — | 340,789 | |||||
Common Stocks | 75,578 | — | — | — | 75,578 | |||||
Warrants | — | 35,036 | — | — | 35,036 | |||||
Short Term Investments | 2,946,089 | — | — | — | 2,946,089 | |||||
4,368,476 | 52,090,663 | 254,563 | — | 56,713,702 | ||||||
Liabilities - Securities | ||||||||||
Corporate Bonds And Notes | — | (5,150,654 | ) | — | — | (5,150,654 | ) | |||
— | (5,150,654 | ) | — | — | (5,150,654 | ) | ||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (264,635 | ) | — | — | — | (264,635 | ) | |||
Centrally Cleared Credit Default Swap Agreements | — | (15,919 | ) | — | — | (15,919 | ) | |||
(264,635 | ) | (15,919 | ) | — | — | (280,554 | ) | |||
PPM Strategic Income Fund | ||||||||||
Assets - Securities | ||||||||||
Corporate Bonds And Notes | — | 38,414,151 | 142,015 | — | 38,556,166 | |||||
Government And Agency Obligations | — | 4,472,391 | — | — | 4,472,391 | |||||
Senior Loan Interests3 | — | 3,917,605 | 279,198 | — | 4,196,803 | |||||
Non-U.S. Government Agency Asset-Backed Securities | — | 3,436,566 | — | — | 3,436,566 | |||||
Investment Companies | 540,996 | — | — | — | 540,996 | |||||
Common Stocks | 124,367 | — | — | — | 124,367 | |||||
Warrants | — | 32,102 | — | — | 32,102 | |||||
Other Equity Interests | — | — | — | — | — | |||||
Short Term Investments | 2,138,784 | — | — | — | 2,138,784 | |||||
2,804,147 | 50,272,815 | 421,213 | — | 53,498,175 | ||||||
Assets - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | 78,530 | — | — | — | 78,530 | |||||
78,530 | — | — | — | 78,530 | ||||||
Liabilities - Investments in Other Financial Instruments2 | ||||||||||
Futures Contracts | (145,760 | ) | — | — | — | (145,760 | ) | |||
(145,760 | ) | — | — | — | (145,760 | ) | ||||
PPM Large Cap Value Fund | ||||||||||
Assets - Securities | ||||||||||
Common Stocks | 7,384,160 | — | — | — | 7,384,160 | |||||
Short Term Investments | 42,618 | — | — | — | 42,618 | |||||
7,426,778 | — | — | — | 7,426,778 | ||||||
PPM Mid Cap Value Fund | ||||||||||
Assets - Securities | ||||||||||
Common Stocks | 5,522,689 | — | — | — | 5,522,689 | |||||
Short Term Investments | 13,580 | — | — | — | 13,580 | |||||
5,536,269 | — | — | — | 5,536,269 | ||||||
PPM Small Cap Value Fund | ||||||||||
Assets - Securities | ||||||||||
Common Stocks | 9,784,659 | — | — | — | 9,784,659 | |||||
Short Term Investments | 128,683 | — | — | — | 128,683 | |||||
9,913,342 | — | — | — | 9,913,342 |
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
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between market participants upon its current sale. As of June 30, 2019, 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 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 period. There were no significant Level 3 valuations for which unobservable valuation inputs were developed at June 30, 2019.
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 Custodian. 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 included in Investments - unaffiliated, at value on the Statements of Assets and Liabilities. The value of securities on loan is 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 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 classified as illiquid because there is no readily available market for sale of the
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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 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 for Deposits with brokers and counterparties or Payable for Deposits from counterparties in the Statements of Assets and Liabilities.
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 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
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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, among other things, financial instruments, individual equity securities, securities indices, interest rates, currencies and inflation 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.
A Fund enters into a swap agreement in an attempt to obtain a particular return when it is considered desirable to do so, possibly at a lower cost to the Fund than if the Fund had invested directly in an instrument that yield the desired return. In addition, the Fund may enter into swap agreements to manage certain risks and to implement investment strategies in a more efficient manner.
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. If an event of default occurs, the seller must pay the buyer the full notional value of the reference obligation in exchange for the reference obligation. A Fund may be either the buyer or the seller in a credit default swap transaction. If a Fund is a buyer and no event of default occurs, the Fund will lose its investment and recover nothing. However, if an event of default occurs and the counterparty fulfills its payment obligation under the swap agreement, the Fund will receive the full notional value of the reference obligation that may have little or no value. As a seller, a Fund receives a fixed rate of income throughout the term of the contract, which typically is between six months and three years. If an event of default occurs, the Fund (if the seller) must pay the buyer the full notional value of the reference obligation as disclosed in the Schedules of Investments. Credit default swap transactions involve greater risks than if a Fund had invested in the reference obligation directly.
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 period; (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 June 30, 2019. Funds which held only one type of derivative during the period 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 June 30, 2019. For Funds which held only one type of derivative during the period, 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 period ended June 30, 2019.
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 and to increase or decrease the Fund’s exposure to credit risk or hedge credit risk in a particular name, industry, or sector.
65
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2019
PPM Core Plus Fixed Income Fund - Derivative Instruments Categorized by Risk Exposure |
| ||||||||||||
|
| Commodity($) |
| Credit($) |
| Equity($) |
| Foreign Exchange($) |
| Interest Rate($) |
| Total($) |
|
Fair values of derivative instruments on the Statement of Assets and Liabilities as of June 30, 2019 |
| ||||||||||||
Derivative instruments assets: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 63 |
| 63 |
|
Total derivative instruments assets | — |
| — |
| — |
| — |
| 63 |
| 63 |
| |
Derivative instruments liabilities: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 3,299 |
| 3,299 |
|
2 | Variation margin on swap agreements | — |
| 239 |
| — |
| — |
| — |
| 239 |
|
Total derivative instruments liabilities | — |
| 239 |
| — |
| — |
| 3,299 |
| 3,538 |
| |
The effect of derivative instruments on the Statement of Operations for the period ended June 30, 2019 |
| ||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| 98,227 |
| 98,227 |
|
| Swap agreements | — |
| (436 | ) | — |
| — |
| — |
| (436 | ) |
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| (23,990 | ) | (23,990 | ) |
| Swap agreements | — |
| 5,909 |
| — |
| — |
| — |
| 5,909 |
|
PPM Core Plus Fixed Income Fund – Average Derivative Volume1
|
| Cost of Options Purchased and Written ($) |
| 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 | — |
| 10,406,112 |
| — |
| — |
| — |
| 387,200 |
| — |
|
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 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 June 30, 2019 |
| ||||||||||||
Derivative instruments assets: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 2,568 |
| 2,568 |
|
Total derivative instruments assets | — |
| — |
| — |
| — |
| 2,568 |
| 2,568 |
| |
Derivative instruments liabilities: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 1,938 |
| 1,938 |
|
2 | Variation margin on swap agreements | — |
| 1,791 |
| — |
| — |
| — |
| 1,791 |
|
Total derivative instruments liabilities | — |
| 1,791 |
| — |
| — |
| 1,938 |
| 3,729 |
| |
The effect of derivative instruments on the Statement of Operations for the period ended June 30, 2019 |
| ||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| (977,915 | ) | (977,915 | ) |
| Swap agreements | — |
| (48,399 | ) | — |
| — |
| 5 |
| (48,394 | ) |
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| 173,949 |
| 173,949 |
|
| Swap agreements | — |
| (49,165 | ) | — |
| — |
| — |
| (49,165 | ) |
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 ($) |
|
Average monthly volume | — |
| 22,022,256 |
| — |
| — |
| — |
| 4,561,429 |
| — |
|
66
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2019
PPM Strategic Income Fund Derivative Strategies - The Fund entered into futures contracts and credit default swap agreements to hedge duration or to increase the Fund's exposure to interest rate or yield curve risk
PPM Strategic Income Fund - Derivative Instruments Categorized by Risk Exposure |
| ||||||||||||
|
| Commodity($) |
| Credit($) |
| Equity($) |
| Foreign Exchange($) |
| Interest Rate($) |
| Total($) |
|
Fair values of derivative instruments on the Statement of Assets and Liabilities as of June 30, 2019 |
| ||||||||||||
Derivative instruments assets: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 2,688 |
| 2,688 |
|
Total derivative instruments assets | — |
| — |
| — |
| — |
| 2,688 |
| 2,688 |
| |
Derivative instruments liabilities: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 2,853 |
| 2,853 |
|
Total derivative instruments liabilities | — |
| — |
| — |
| — |
| 2,853 |
| 2,853 |
| |
The effect of derivative instruments on the Statement of Operations for the period ended June 30, 2019 |
| ||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| (281,729 | ) | (281,729 | ) |
| Swap agreements | — |
| 6,479 |
| — |
| — |
| (169 | ) | 6,310 |
|
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| 40,182 |
| 40,182 |
|
| Swap agreements | — |
| 16,934 |
| — |
| — |
| — |
| 16,934 |
|
PPM Strategic Income Fund – Average Derivative Volume1
|
| Cost of Options Purchased and Written ($) |
| 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 | — |
| 14,470,306 |
| — |
| — |
| — |
| 211,429 |
| — |
|
1 The derivative instruments outstanding as of June 30, 2019, 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 period ended June 30, 2019, as disclosed in the Statements of Operations, also serve as indicators of the derivative volume for the Funds.
2 Derivative asset or liability is not eligible for offset, and a Derivative and Financial Instruments Eligible for Offset table is not presented for the asset or liability, as applicable.
The derivative strategy for Funds which held only one type of derivative during the period 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 June 30, 2019, 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 period ended June 30, 2019, 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 period, the average monthly derivative volume is as follows:
|
| Notional Value at Purchase of Futures Contracts ($) |
|
PPM Credit Fund | 15,632,176 |
| |
PPM Floating Rate Income Fund | 801,835 |
| |
PPM High Yield Core Fund | 4,127,200 |
|
Pledged Collateral. The following table summarizes cash and securities collateral pledged for the Funds at June 30, 2019:
|
|
| Futures Contracts | Swap Agreements |
| ||
| Counterparties |
| Pledged or Segregated Cash($) |
| Pledged or Segregated Cash($) |
|
|
PPM Credit Fund | MLP |
| 59,007 |
| — |
|
|
PPM Floating Rate Income Fund | BOA |
| 5,489 |
| — |
|
|
PPM Long Short Credit Fund | MLP |
| 166,749 |
| 34,722 |
|
|
| Lending Agent/Prime Broker |
| Segregated Securities($) |
|
|
PPM Long Short Credit Fund | MLP |
| 8,641,879 |
|
|
67
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2019
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 June 30, 2019. 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:
Corporate, Sovereign Entity, and Bank Loan Risk. Commercial banks, sovereign entities, and other financial institutions or institutional investors make corporate loans to companies or sovereign entities that need capital to grow, restructure, or for infrastructure projects. These instruments are commonly referred to as loans or bank loans. Borrowers generally pay interest on corporate loans at floating rates that change in response to changes in market interest rates such as the LIBOR, the prime rates of US banks or another relevant index. As a result, the value of such loan investments is generally less exposed to the adverse effects of interest rate fluctuations than investments that pay a fixed rate of interest. However, the market for certain loans may not be sufficiently liquid, and a Fund may have difficulty selling them. It may take longer than seven days for transactions in loans to settle. Certain loans may be classified as illiquid securities. Additionally, because a loan may not be considered a security, a Fund may not be afforded the same legal protections afforded securities under federal securities laws. Thus, a Fund generally must rely on contractual provisions in the loan agreement and common-law fraud protections under applicable state law.
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 instrument can decline in response to changes in the financial condition of the issuer, borrower, guarantor, counterparty, or other entity responsible for payment. A 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.
Equity Securities Risk. Common and preferred stocks represent equity ownership in a company. Stock markets are volatile, and 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. A Fund could lose money if a company in which it invests becomes financially distressed. Generally preferred stocks rank before common stocks in their claim on income for dividend payments and on assets should the company be liquidated. The rights of common stockholders are subordinate to all other claims on a company’s assets including, debt holders and preferred stockholders.
High-Yield Bonds, Lower-Rated Bonds, and Unrated Securities Risk. High-yield bonds, lower-rated bonds, and certain unrated securities are broadly referred to as junk bonds, and are considered below investment-grade by a nationally recognized statistical rating organization (“NRSRO”). Junk bonds are subject to the increased risk of an issuer’s inability to meet principal and interest payment obligations. As a result, an investment in junk bonds is considered speculative. High-yield bonds may be subject to liquidity risk, and a Fund may not be able to sell a high-yield bond at the price at which it is currently valued.
Interest Rate Risk. When interest rates increase, fixed-income securities generally will decline in value. Long-term fixed-income securities normally have more price volatility than short-term fixed-income securities.
Investment Style Risk. The returns from a certain investment style may be lower than the returns from the overall stock market. Value stocks may not increase in price if other investors fail to recognize the company’s value or the factors that are expected to increase the price of the security do not occur. Over market cycles, different investment styles may sometimes outperform other investment styles (for example, growth investing may outperform value investing).
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.
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.
Liquidity Risk. Investments in securities that are difficult to purchase or sell (illiquid or thinly-traded securities) may reduce returns if a Fund is unable to sell the securities at an advantageous time or price or achieve its desired level of exposure to a certain sector. Liquidity risk arises, for example, from small average trading volumes, trading restrictions, or temporary suspensions of trading. To meet redemption requests, a Fund may be forced to sell securities at an unfavorable time and/or under unfavorable conditions.
Market Risk. Portfolio securities may decline in value due to factors affecting securities markets generally, such as real or perceived adverse economic, political, or regulatory conditions, inflation, changes in interest or currency rates or adverse investor sentiment, among others. Adverse market conditions may be prolonged and may not have the same impact on all types of securities. The values of securities may fall due to factors affecting a particular issuer, industry or the securities market as a whole.
68
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2019
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 rate, 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.
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. 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 through April 30, 2020. 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 period ended June 30, 2019.
NOTE 9. 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.
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 ($) |
|
PPM Core Plus Fixed Income Fund |
| 42,054 |
| 26,709 |
| 68,763 |
|
PPM Floating Rate Income Fund |
| 42,248 |
| — |
| 42,248 |
|
69
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2019
At June 30, 2019, the following Funds treated as RICs had capital, currency and/or passive foreign investment company (“PFIC”) mark-to-market losses realized after October 31, 2018 (“Post-October losses”), which were deferred for tax purposes to the first day of the following fiscal year, January 1, 2019:
| Amount($) |
|
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 |
|
PPM Small Cap Value Fund | 26,645 |
|
As of June 30, 2019, 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 | 53,929,315 |
| 2,050,510 |
| (65,949 | ) | 1,984,561 |
| |
PPM Credit Fund | 51,830,914 |
| 2,676,625 |
| (139,997 | ) | 2,536,628 |
| |
PPM Floating Rate Income Fund | 53,662,808 |
| 67,153 |
| (968,148 | ) | (900,995 | ) | |
PPM High Yield Core Fund | 54,544,251 |
| 1,647,773 |
| (716,872 | ) | 930,901 |
| |
PPM Long Short Credit Fund |
|
|
|
|
|
|
|
| |
| Long Investments | 55,861,743 |
| 1,423,020 |
| (571,249 | ) | 851,771 |
|
| Short Investments | 4,795,710 |
| 30,869 |
| (385,813 | ) | (354,944 | ) |
PPM Strategic Income Fund | 52,149,182 |
| 1,945,664 |
| (596,859 | ) | 1,348,805 |
| |
PPM Large Cap Value Fund | 7,694,250 |
| 370,483 |
| (637,955 | ) | (267,472 | ) | |
PPM Mid Cap Value Fund | 5,735,224 |
| 275,243 |
| (474,198 | ) | (198,955 | ) | |
PPM Small Cap Value Fund | 10,557,526 |
| 594,901 |
| (1,239,085 | ) | (644,184 | ) |
As of June 30, 2019, the components of net unrealized appreciation (depreciation) for derivatives were as follows:
|
| Tax Cost/ Adjustment($) |
| Gross Unrealized Appreciation($) |
| Gross Unrealized Depreciation($) |
| Net Unrealized Appreciation (Depreciation)($) |
|
PPM Floating Rate Income Fund |
|
|
| ||||||
Futures Contracts | (8,849 | ) | — | — | — | ||||
PPM Core Plus Fixed Income Fund |
|
|
| ||||||
Futures Contracts | 36,080 | — | — | — | |||||
Swap Agreements | (8,141 | ) | — | (2,552 | ) | (2,552 | ) | ||
PPM Credit Fund |
|
|
| ||||||
Futures Contracts | (2,289 | ) | — | — | — | ||||
PPM High Yield Core Fund |
|
|
| ||||||
Futures Contracts | (43,664 | ) | — | — | — | ||||
PPM Long Short Credit Fund |
|
|
| ||||||
Futures Contracts | (264,635 | ) | — | — | — | ||||
Swap Agreements | (61,064 | ) | — | (19,140 | ) | (19,140 | ) | ||
PPM Strategic Income Fund |
|
|
| ||||||
Futures Contracts | (67,230 | ) | — | — | — |
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 |
| — |
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.
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
70
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2019
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 period ended June 30, 2019.
NOTE 10. SUBSEQUENT EVENTS
Management has evaluated subsequent events for the Funds through the date the financial statements are issued and the following events occurred:
On July 24, 2019, the Board approved Plans of Liquidation of PPM Credit Fund and PPM Strategic Income Fund. As of August 1, 2019, PPM Credit Fund
and PPM Strategic Income Fund no longer accepted new investments. Pursuant to the Plans of Liquidation, PPM Credit Fund and PPM Strategic Income Fund expect to cease business on or around September 27, 2019.
No other events were noted that required adjustments to the financial statements or disclosure in the footnotes.
71
PPMFunds
Additional Disclosures (Unaudited)
June 30, 2019
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 $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses paid during this period.
Expenses Using Hypothetical 5% Return. This section provides information that can be used to compare each Fund’s costs with those of other mutual funds. It assumes that the Fund’s expense ratio for the period is unchanged and assumes an annual 5% return before expenses, which is not the Fund’s actual return. This example is useful in making comparisons because the SEC requires all mutual funds to make the 5% calculation.
|
|
|
| Expenses Using Actual Fund Return |
| Expenses Using Hypothetical 5% Return | ||||||||
|
| Annualized Expense Ratios(%) |
| Beginning Account Value 01/01/19($) |
| Ending Account Value 06/30/19($) |
| Expenses Paid During Period($)† |
| Beginning Account Value 01/01/19($) |
| Ending Account Value 06/30/19($) |
| Expenses Paid During Period($)† |
PPM Core Plus Fixed Income Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.50 |
| 1,000.00 |
| 1,075.60 |
| 2.57 |
| 1,000.00 |
| 1,022.32 |
| 2.51 |
PPM Credit Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.55 |
| 1,000.00 |
| 1,098.60 |
| 2.86 |
| 1,000.00 |
| 1,022.07 |
| 2.76 |
PPM Floating Rate Income Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.70 |
| 1,000.00 |
| 1,056.90 |
| 3.57 |
| 1,000.00 |
| 1,021.32 |
| 3.51 |
PPM High Yield Core Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.70 |
| 1,000.00 |
| 1,104.10 |
| 3.65 |
| 1,000.00 |
| 1,021.32 |
| 3.51 |
PPM Long Short Credit Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 1.17 |
| 1,000.00 |
| 1,051.80 |
| 5.95 |
| 1,000.00 |
| 1,018.99 |
| 5.86 |
PPM Strategic Income Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.71 |
| 1,000.00 |
| 1,085.60 |
| 3.67 |
| 1,000.00 |
| 1,021.27 |
| 3.56 |
PPM Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.75 |
| 1,000.00 |
| 1,116.10 |
| 3.94 |
| 1,000.00 |
| 1,021.08 |
| 3.76 |
PPM Mid Cap Value Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.90 |
| 1,000.00 |
| 1,128.40 |
| 4.75 |
| 1,000.00 |
| 1,020.33 |
| 4.51 |
PPM Small Cap Value Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 1.00 |
| 1,000.00 |
| 1,156.30 |
| 5.35 |
| 1,000.00 |
| 1,019.84 |
| 5.01 |
† 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 181/365 (to reflect the most recent 6-month period).
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, 2019, 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.
72
PPM FUNDS
SUPPLEMENT DATED JUNE 5, 2019 TO
THE PROSPECTUS DATED APRIL 30, 2019
PPM Core Plus Fixed Income Fund PPM High Yield Core Fund PPM Long Short Credit Fund PPM Strategic Income Fund (each, a “Fund,” and collectively, the “Funds”) | PKPIX PKHIX PKLIX PKSIX |
This supplement provides new and additional information pertaining to the Funds that affects information contained in the Funds’ Prospectus and should be read in conjunction with the Prospectus.
Effective May 31, 2019, in the section entitled “Fund Summaries” of the Prospectus, the Portfolio Managers table related to each Fund under “Portfolio Management” is deleted and replaced in its entirety with the following.
PPM Core Plus Fixed Income Fund
Portfolio Managers | Title | Length of Service |
Michael Kennedy, CFA | Senior Managing Director | Since Inception |
Erica Lankfer, CFA | Managing Director | Since Inception |
PPM High Yield Core Fund
Portfolio Managers | Title | Length of Service |
Adam Spielman | Senior Managing Director, Head of Leveraged Credit | Since June 2018 |
Karl Petrovich | Managing Director | Since Inception |
John Broz | Vice President | Since May 2019 |
PPM Long Short Credit Fund
Portfolio Managers | Title | Length of Service |
Michael Kennedy, CFA | Senior Managing Director | Since Inception |
Erica Lankfer, CFA | Managing Director | Since May 2019 |
PPM Strategic Income Fund
Portfolio Managers | Title | Length of Service |
Michael Kennedy, CFA | Senior Managing Director | Since Inception |
Erica Lankfer, CFA | Managing Director | Since May 2019 |
PPM FUNDS
SUPPLEMENT DATED AUGUST 2, 2019 TO
THE PROSPECTUS
DATED APRIL 30, 2019, AS SUPPLEMENTED
JUNE 5, 2019, JULY 8, 2019, AND JULY 24, 2019
PPM Core Plus Fixed Income Fund PPM Credit Fund PPM Long Short Credit Fund PPM Strategic Income Fund (each, a “Fund,” and collectively, the “Funds”) | PKPIX PKDIX PKLIX PKSIX |
This supplement provides new and additional information pertaining to the Funds that affects information contained in the Funds’ Prospectus and should be read in conjunction with the Prospectus.
The following changes are being made to the Prospectus, effective August 2, 2019:
In the section entitled “Fund Summaries,” all information related to Erica Lankfer in the Portfolio Managers table for each Fund is deleted in its entirety.
PPMFunds
Privacy Policy
Your Privacy is Important to PPM Funds (“PPM” or the “Funds”)
PPM recognizes customer privacy as a fundamental aspect of our relationship with clients. We are committed to protecting the information you provide to us and to maintaining its confidentiality. PPM does not sell or disclose your information to anyone except as required by law, described in this policy, or as you otherwise permit.
The Information We May Collect
As a part of our mission to be indispensable to our clients, and in connection with PPM providing you products and services, you may be required to provide us with certain personal information. We may collect this information from the following sources:
· account applications, other forms and materials,
· through your inquiries by mail, email or telephone
· on our website through the use of “cookies,” which is described further on our website
The information we collect and share will depend on your client relationship with PPM. If you are investing in your individual capacity, the types of information we may collect could include your Social Security Number or Tax Identification Number, bank account information, transaction history, account balances and assets. If you are an employee/officer/director, etc. of an institutional client, we may collect your name and contact details, your title and area of responsibility, and certain other identifying information required by law or regulation which may include your date of birth and Social Security Number.
The Information We May Share
PPM may share your personal information when necessary:
· to complete transactions you authorize or request
· to administer, operate, and manage your account
· to contact you, or
· to facilitate legal, regulatory or other requirements
We may share your information with non-affiliated third party companies that perform support services for your account or the Funds such as printing and mailing of prospectuses, reports, account statements and other information. These parties are subject to agreements that require them to maintain the confidentiality of your information and to use it only in the course of providing such services. We will also share information about you if you direct us to do so or with your consent, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
We may also share your personal information with certain of our affiliates in connection with servicing your account. Each of our affiliates has policies and procedures in place to protect the confidentiality of your information and is not permitted to share your information with non-affiliated entities, except as required or permitted by law.
Safeguarding Your Personal Information
PPM restricts access to personal information to authorized employees and in some cases to third parties as permitted by law. In addition to the requirements in this policy, we maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information. We adhere to these standards even after an account is closed or becomes inactive.
225 West Wacker Dr., Suite 1200
Chicago, IL 60606
312-634-2500
Item 2. Code of Ethics.
Not applicable to the semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable to the semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to the semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. 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. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a) | (1) | Not applicable to the semi-annual filing. | ||||
(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: | August 30, 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: | August 30, 2019 | |
By: | /s/ Daniel W. Koors | |
Daniel W. Koors | ||
Principal Financial Officer
| ||
Date: | August 30, 2019 |
EXHIBIT LIST
Exhibit 13(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 13(b) | Certification required by Rule30a-2(b) under the Investment Company Act of 1940, as amended. |