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)338-5800
Date of Fiscal Year End: December 31
Date of Reporting Period: December 31, 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
December 31, 2019
PPM Funds including: PPM Core Plus Fixed Income Fund (PKPIX), PPM Floating Rate Income Fund (PKFIX), PPM High Yield Core Fund (PKHIX), PPM Long Short Credit Fund (PKLIX), PPM Large Cap Value Fund (PZLIX), PPM Mid Cap Value Fund (PZMIX) and PPM Small Cap Value Fund (PZSIX)
PPM Funds Approval of the Trust’s Investment Advisory and Sub-Advisory Agreements |
PPM Funds Supplements to Prospectus
Privacy Policy
PPMFunds | PPM Core Plus Fixed Income Fund (Unaudited) |
PPM Core Plus Fixed Income Fund
Total Return* |
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Institutional Class† |
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1 Year | 10.51 | % | ||||
Since Inception | 7.12 | % |
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†Inception date July 16, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
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The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2019: | ||
Government and Agency Obligations | 45.4 | |
Corporate Bonds and Notes | 38.2 | |
Non-US Government Agency ABS | 12.7 | |
Senior Loan Interests | 1.8 | |
Other Short Term Investments | 1.9 | |
Total Investments | 100.0 | % |
For the year ended December 31, 2019, PPM Core Plus Fixed Income Fund outperformed its primary benchmark by posting a return of 10.51% for Institutional Class shares compared to 8.72% for the Bloomberg Barclays US Aggregate Bond Index.
The investment objective of the Fund is to seek to realize maximum total return, consistent with the preservation of capital and prudent investment management. The Fund invests at least 80% of its assets in a diversified portfolio of debt securities of US and foreign issuers and generally maintains an average portfolio duration within two years of the duration of the benchmark. We seek to consistently add value by making investment decisions based on our view of longer term trends and non-economic factors that may affect interest rates. We also consider quantitative and qualitative factors, such as economic and market factors, in terms of how they could impact an individual company or a specific sector.
Security selection in investment grade corporate bonds primarily drove the Fund’s outperformance. The Fund’s out of index exposure in high yield bonds also contributed to the Fund’s outperformance. Detractors were modest, including an overweight to asset backed securities (“ABS”) and an underweight to sovereign bonds.
Relative to the benchmark on December 31, 2019, the Fund held an underweight position in US Treasuries and overweight positions in investment grade corporate bonds, mortgage-backed securities (“MBS”) and ABS, as well as an out of index position in high yield bonds. We reduced our position in corporate bonds during 2019 and increased our position in MBS because corporate valuations have tightened and we believe securitized assets could generate higher risk-adjusted returns.
The primary risk we see for 2020 is the US election. We expect political risk to ramp higher as the year progresses, and there are potential sector impacts from any major US political shifts (e.g., financials, health care, information technology). Corporate earnings growth failing to materialize in the US over the next 12-18 months is another primary risk. After a 2019 lull, companies will need to realize growth to lower currently elevated leverage ratios. Our shift from corporate bonds to securitized assets reflects these risks.
2
PPMFunds | PPM Floating Rate Income Fund (Unaudited) |
PPM Floating Rate Income Fund
Total Return* |
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Institutional Class† |
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| |
1 Year | 8.55 | % | ||||
Since Inception | 3.10 | % |
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†Inception date May 01, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
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The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2019: | ||
Senior Loan Interests | 88.7 | % |
Investment Companies | 2.7 | |
Corporate Bonds and Notes | 2.4 | |
Warrants | - | |
Common Stocks | - | |
Other Short Term Investments | 6.2 | |
Total Investments | 100.0 | % |
For the year ended December 31, 2019, PPM Floating Rate Income Fund underperformed its primary benchmark by posting a return of 8.55% for Institutional Class shares compared to 8.64% for the S&P/LSTA Leveraged Loan Index.
The investment objective of the Fund is to seek to provide a high level of current income. The Fund seeks to add value over the long term primarily through security selection. The Fund primarily invests in income producing floating rate instruments, including floating rate loans, floating rate notes, and other floating rate debt securities. The Fund has flexibility to invest in cash and non-floating rate instruments, including lower rated debt securities, and equity securities. Quantitative and qualitative factors, such as economic and market factors, are considered in terms of how they could impact an individual company or a specific sector.
Security selection in floating rate instruments (senior loan interests) positively contributed to the Fund’s performance. Specifically, security selection in aerospace and defense modestly detracted from performance while individual security selection and the resulting underweight in oil and gas positively contributed. At year end approximately 5.3% of the Fund was comprised of high yield bonds, while the benchmark does not hold any high yield bonds. The Fund’s high yield bond holdings positively contributed to Fund performance while the Fund’s cash position detracted.
Relative to the benchmark on December 31, 2019, the Fund was overweight BB rated floating rate instruments, had a small underweight to BBB rated floating rate instruments, and was underweight floating rate instruments rated CCC and below. The Fund modestly increased holdings in BB rated floating rate instruments and reduced holdings in B rated floating rate instruments throughout 2019, due to a bias for higher quality loans given the fundamental backdrop.
The risks to the floating rate instrument market in 2020 include 1) an increase in retail fund outflows, 2) an economic slowdown and 3) deterioration of credit fundamentals. We believe loan prices could broadly decline in 2020 if outflows intensify. An economic slowdown could cause the US Federal Reserve to cut interest rates, putting pressure on yields of floating rate instruments. In addition, a slowdown could add idiosyncratic risk to the Fund. Finally, leverage increases or other credit fundamental deterioration could add risk to the market.
3
PPMFunds | PPM High Yield Core Fund (Unaudited) |
PPM High Yield Core Fund
Total Return* |
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Institutional Class† |
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1 Year | 15.02 | % | ||||
Since Inception | 6.44 | % |
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†Inception date July 16, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
|
The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2019: | ||
Corporate Bonds and Notes | 89.0 | % |
Senior Loan Interests | 4.3 | |
Investment Companies | 2.5 | |
Common Stocks | 0.2 | |
Warrants | 0.1 | |
Other Short Term Investments | 3.9 | |
Total Investments | 100.0 | % |
For the year ended December 31, 2019, PPM High Yield Core Fund outperformed its primary benchmark by posting a return of 15.02% for Institutional Class shares compared to 14.41% for the ICE BofA US High Yield Constrained Index.
The investment objective of the Fund is to maximize current income. As a secondary objective, the Fund seeks capital appreciation. The Fund seeks to identify the best relative value investment opportunities across various debt sectors by analyzing overall economic conditions and identifying companies we believe have the highest potential for improving credit fundamentals. The Fund primarily invests in high yield, high risk debt securities. The Fund has flexibility to invest in bank loans, equities and foreign issuers. Quantitative and qualitative factors, such as economic and market factors, are considered in terms of how they could impact an individual company or a specific sector.
Security selection in high yield bonds drove the Fund’s outperformance, led by security selection in media and health care. Holdings of bank loans detracted from Fund performance, as bank loans generally underperformed high yield bonds in 2019. US Treasury interest rate futures used to manage duration for the Fund’s investment grade corporate bond holdings also detracted, as Treasuries rallied during 2019.
Relative to the benchmark on December 31, 2019, the Fund held an overweight position in BBB rated bonds and underweight positions in BB, B and CCC rated bonds. Despite the variance from the benchmark, the Fund continues to primarily be invested in bonds rated below BBB-. The Fund increased position sizes in BBB, BB and B rated bonds during 2019 and decreased position sizes in CCC rated bonds, due to a bias for higher rated bonds, relative to the benchmark, given the fundamental backdrop.
There are several risks to US high yield in 2020. One is the potential for higher rates of defaults, especially if the economy slows. There are potential sector impacts from any major US political shifts arising during election year. Specific to the Fund, strong outperformance of distressed credits could drag on relative performance given our bias to hold relatively higher rated bonds in the Fund.
4
PPMFunds | PPM Long Short Credit Fund (Unaudited) |
PPM Long Short Credit Fund
Total Return* |
| |||||
Institutional Class† |
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1 Year | 8.08 | % | ||||
Since Inception | 3.22 | % |
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†Inception date July 16, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
|
The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2019: | ||
Corporate Bonds and Notes | 67.5 | % |
Senior Loan Interests | 16.4 | |
Non-US Government Agency ABS | 10.6 | |
Investment Companies | 2.3 | |
Government and Agency Obligations | 0.2 | |
Common Stocks | 0.1 | |
Warrants | 0.1 | |
Other Short Term Investments | 2.9 | |
Net Long (Short) Investments | 100.0 | % |
For the year ended December 31, 2019, PPM Long Short Credit Fund outperformed its primary benchmark by posting a return of 8.08% for Institutional Class shares compared to 2.28% for the ICE BofA US 3-Month Treasury Bill Index.
The investment objective of the Fund is to maximize total return through a combination of current income and capital appreciation, consistent with capital preservation. The Fund primarily invests in credit related instruments including corporate bonds, mortgage related securities, asset backed securities, and senior secured floating rate and fixed rate loans or debt. The Fund uses a long/short strategy that utilizes sector allocation, security selection, interest rate management and various other strategies. Quantitative and qualitative factors, such as economic and market factors, are considered in terms of how they could impact an individual company or a specific sector.
Fund holdings across corporate credit, including investment grade bonds and high yield bonds and loans, drove the Fund’s relative outperformance against the benchmark. These holdings were also the Fund’s largest long positions as of December 31, 2019. The Fund increased its long position in investment grade corporate bonds during 2019, specifically increasing its holdings in A rated bonds during the year.
Derivatives detracted from the Fund’s performance, specifically Treasury futures used to hedge the Fund’s interest rate risk. Other detractors were modest, including credit default swap indices (“CDX”) and common stock. Treasury futures, CDX (based on notional value) and investment grade sovereign bonds were the Fund’s largest short positions as of December 31, 2019.
The primary risk we see for 2020 is the US election. We expect political risk to ramp higher as the year progresses, and there are potential sector impacts from any major US political shifts (e.g., financials, health care, information technology). Corporate earnings growth failing to materialize in the US over the next 12-18 months is another primary risk. After a 2019 lull, companies will need to realize growth to lower currently elevated leverage ratios. Our shift to higher rated investment grade corporate bonds reflects these risks.
5
PPMFunds | PPM Large Cap Value Fund (Unaudited) |
PPM Large Cap Value Fund
Total Return* |
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Institutional Class† |
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1 Year | 21.71 | % | ||||
Since Inception | 3.87 | % |
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†Inception date May 01, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
|
The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2019: | ||
Financials | 23.2 | % |
Information Technology | 15.2 | |
Health Care | 14.4 | |
Consumer Discretionary | 8.5 | |
Industrials | 7.8 | |
Energy | 7.3 | |
Communication Services | 7.2 | |
Consumer Staples | 6.5 | |
Utilities | 4.7 | |
Materials | 3.3 | |
Real Estate | 1.3 | |
Other Short Term Investments | 0.6 | |
Total Investments | 100.0 | % |
For the year ended December 31, 2019, PPM Large Cap Value Fund underperformed its primary benchmark by posting a return of 21.71% for Institutional Class shares compared to 31.95% for the S&P 500 Value Index.
The investment objective of the Fund is to seek to achieve long term growth of capital. The Fund employs a value investing style that seeks to uncover investment opportunities that can be purchased at a significant discount relative to the market. The Fund invests at least 80% of its assets in a diversified portfolio of equity securities of US companies with market capitalizations within the range of securities constituting the S&P 500 Index. Quantitative and qualitative factors, such as economic and market factors, are considered in terms of how they could impact an individual company or a specific sector.
Bottom-up security selection drives the Fund’s sector allocations. The Fund’s largest overweight position relative to the benchmark on December 31, 2019 was information technology (“IT”) and the largest underweight was health care. Both detracted from the Fund’s relative performance to the benchmark. IT had been an underweight and health care an overweight through much of 2019, before the Fund’s benchmark rebalanced on December 31, 2019. The rebalancing reduced the weighting in IT and increased the weighting in health care. Given our bottom-up focus, these shifts have not changed our conviction in the holdings.
Negative security selection also contributed to the Fund’s underperformance, as Apple Inc. (89.0% total return) detracted from the Fund’s relative performance to the benchmark, due to an underweight position. Positive contributors were modest, led by security selection in financials. Leidos Holdings, Inc. (88.8%) contributed to the Fund’s relative performance.
The primary risk we see for 2020 is the US election, as a noisy political backdrop could continue to create uncertainty. We believe political developments may have negative impacts on select sectors (e.g., financials). Other risks are a renewed escalation in tariffs; macroeconomic weakness and increased market volatility; and outperformance for growth stocks given the Fund’s value mandate.
6
PPMFunds | PPM Mid Cap Value Fund (Unaudited) |
PPM Mid Cap Value Fund
Total Return* |
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Institutional Class† |
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1 Year | 19.78 | % | ||||
Since Inception | -0.32 | % |
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†Inception date May 01, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
|
The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2019: | ||
Financials | 22.2 | % |
Industrials | 13.4 | |
Information Technology | 11.7 | |
Consumer Discretionary | 10.8 | |
Materials | 8.4 | |
Health Care | 7.4 | |
Utilities | 6.8 | |
Consumer Staples | 6.3 | |
Energy | 4.4 | |
Real Estate | 3.9 | |
Communication Services | 3.4 | |
Securities Lending Collateral | 0.9 | |
Other Short Term Investments | 0.4 | |
Total Investments | 100.0 | % |
For the year ended December 31, 2019, PPM Mid Cap Value Fund underperformed its primary benchmark by posting a return of 19.78% for Institutional Class shares compared to 27.06% for the Russell MidCap Value Index.
The investment objective of the Fund is to seek to achieve long term growth of capital. The Fund employs a value investing style that seeks to uncover investment opportunities that can be purchased at a significant discount relative to the market. The Fund invests at least 80% of its assets in a diversified portfolio of equity securities of US companies with market capitalizations within the range of securities constituting the Russell MidCap Index. Quantitative and qualitative factors, such as economic and market factors, are considered in terms of how they could impact an individual company or a specific sector.
Negative security selection drove the Fund’s underperformance, led by selection in industrials, consumer discretionary and communication services. Meredith Corporation (-34.3% total return) detracted from the Fund’s relative performance to the benchmark.
Positive contributors included security selection in information technology (“IT), materials and financials. Reliance Steel & Aluminum Co. (72.2%) contributed to the Fund’s relative performance.
Bottom-up security selection drives the Fund’s sector allocations. The Fund’s largest overweight positions relative to the benchmark on December 31, 2019 were IT, financials and consumer discretionary. IT and financials positively contributed to the Fund’s relative performance to the benchmark, while consumer discretionary detracted. The largest underweights were real estate, utilities and energy. Real estate and energy detracted from the Fund’s relative performance, while utilities positively contributed.
The primary risk we see for 2020 is the US election, as a noisy political backdrop could continue to create uncertainty. We believe political developments may have negative impacts on select sectors (e.g., financials). Other risks are a renewed escalation in tariffs; macroeconomic weakness and increased market volatility; and outperformance for growth stocks given the Fund’s value mandate.
7
PPMFunds | PPM Small Cap Value Fund (Unaudited) |
PPM Small Cap Value Fund
Total Return* |
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Institutional Class† |
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1 Year | 22.53 | % | ||||
Since Inception | 0.80 | % |
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†Inception date May 01, 2018 |
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*The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which performance results would have been lower. |
|
The graph shows the change in value of an assumed $10,000 investment in the Fund's Institutional Class shares over 10 years, or since inception if the inception is less than 10 years, as well as the Fund's benchmark(s) performance for the same period.
Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses.
Composition as of December 31, 2019: | ||
Financials | 22.7 | % |
Industrials | 16.9 | |
Information Technology | 14.8 | |
Consumer Discretionary | 9.7 | |
Health Care | 8.1 | |
Real Estate | 7.1 | |
Energy | 5.9 | |
Materials | 5.1 | |
Consumer Staples | 3.4 | |
Utilities | 2.5 | |
Communication Services | 1.6 | |
Securities Lending Collateral | 1.6 | |
Other Short Term Investments | 0.6 | |
Total Investments | 100.0 | % |
For the period ended December 31, 2019, PPM Small Cap Value Fund outperformed its benchmark by posting a return of 22.53% for Institutional Class shares compared to 22.39% for the Russell 2000 Value Index.
The investment objective of the Fund is to seek to achieve long term growth of capital. The Fund employs a value investing style that seeks to uncover investment opportunities that can be purchased at a significant discount relative to the market. The Fund invests at least 80% of its assets in a diversified portfolio of equity securities of US companies with market capitalizations within the range of the S&P SmallCap 600 Index. Quantitative and qualitative factors, such as economic and market factors, are considered in terms of how they could impact an individual company or a specific sector.
Positive security selection in industrials and an overweight to information technology (“IT”) drove the Fund’s outperformance. Holdings in Triumph Group, Inc. (121.3%), Skechers U.S.A., Inc. (88.7%) and Helix Energy Solutions Group, Inc. (78.0%) positively contributed to the Fund’s relative performance to the benchmark. Security selection in telecommunication services and materials detracted. Holdings in Party City Holdco, Inc. (-85.1% total return), Meredith Corporation (-34.3%) and Tupperware Brands Corporation (-66.5%) detracted from the Fund’s relative performance.
Bottom-up security selection drives the Fund’s sector allocations. The Fund’s largest overweight positions relative to the benchmark on December 31, 2019 were IT, industrials and health care. IT and industrials positively contributed to the Fund’s relative performance to the benchmark, while health care performed in line with the benchmark in 2019. The largest underweights were financials, real estate and utilities. Financials detracted from the Fund’s relative performance, while real estate and utilities positively contributed.
The primary risk we see for 2020 is the US election, as a noisy political backdrop could continue to create uncertainty. We believe political developments may have negative impacts on select sectors (e.g., financials). Other risks are a renewed escalation in tariffs; macroeconomic weakness and increased market volatility; and outperformance for growth stocks given the Fund’s value mandate.
8
PPMFunds
December 31, 2019
Important Disclosures and Glossary (Unaudited)
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), by writing PPM Funds, P.O. Box 2175, Milwaukee, Wisconsin 53201-2175, or by visiting www.ppmamerica.com/ppmfunds/.
Mutual funds are issued by PPM America, Inc. PPM Funds are distributed by Jackson National Life Distributors LLC, member FINRA.
Certain comments in this annual report are based on current management expectations and are considered “forward-looking statements.” Actual future results, however, may prove to be different from our expectations. You can identify forward-looking statements by words such as “believe,” “may,” “will,” “anticipate” and other similar terms. We cannot promise future returns. Our opinions reflect our best judgment at the time this report is compiled, and we disclaim any obligation to update or revise forward-looking statements. Our opinions may not be relied upon as investment advice and because the investment decisions we make are based on many factors, may not be relied upon as an indication of any intent to trade. Security examples are used for representational purposes only and are not recommendations to purchase or sell securities.
The discussion of the Funds’ investments and investment strategy (including current investment themes, the portfolio managers’ research and investment process, and portfolio characteristics) represents the Funds’ investments and the views of the portfolio managers and PPM America, Inc., the Funds’ investment adviser, at the time of this report, and are subject to change without notice.
Ratings of securities in PPM Floating Rate Income Fund for attribution purposes are based on the Standard & Poor’s (“S&P”) rating. Securities without an S&P rating are categorized as “Other.” Ratings of securities in PPM High Yield Core Fund and PPM Long Short Credit Fund for attribution purposes are based on the ICE BofA Rating Methodology, which uses credit quality ratings for the underlying securities held by the Fund from three nationally recognized statistical rating organizations (“NRSROs”): S&P, Moody’s Investor Service, and Fitch, Inc. If at least one of the NRSROs has rated the security, the ICE BofA Rating will reflect the average rating among the NRSROs that have rated the security. If no NRSRO ratings are available, the internal rating (Index Rating for the index universe) is used. For securities rated by an NRSRO other than S&P, that rating is converted to the equivalent S&P credit rating. Methods for rating securities as applied in the portfolio construction process are described in the Principal Investment Strategies sections of the Prospectus. More information about securities ratings is contained in the Statement of Additional Information.
Past performance is no guarantee of future results. Current performance may be lower or higher than the performance shown. All returns reflect the reinvestment of income dividends and capital gains. You cannot invest directly in an index.
Mutual fund investing involves risk. Please see the Notes to the Financial Statements of this annual report, as well as the prospectus for more information on risks.
The S&P/LSTA Leveraged Loan Index provides a broad, market value-weighted measure of US institutional leveraged loans. It includes the institutional tranches of loans syndicated to US loan investors.
The ICE BofA US High Yield Constrained Index provides a measure of below investment grade bonds, is constructed based on the ICE BofAML US High Yield Index and imposes a 2% issuer cap. The ICE BofAML US High Yield Index provides a broad measure of below investment grade, USD-denominated fixed rate corporate debt. It includes corporate bonds with risk exposures to countries that are members of the FX-G10, Western Europe or territories of the US and Western Europe.
The ICE BofA US 3-Month Treasury Bill Index measures a single US Treasury Bill issue purchased at the beginning of the month and held for a full month. The index often holds the most recent 3-month Bill, but can also instead hold a seasoned 6-month Bill.
The Bloomberg Barclays US Aggregate Bond Index provides a broad measure of US investment grade, USD-denominated fixed rate bonds. It includes Treasuries, government-rated issues, corporate bonds, MBS, CMBS and ABS securities.
The S&P 500 Value Index provides a measure of US large cap value stocks and is constructed based on the S&P 500 Index. Additionally, the S&P 500 Value Index includes stocks that exhibit strong value characteristics based on the evaluation of book value-to-price, earnings-to-price and sales-to-price ratios. The S&P 500 Index provides a broad measure, market capitalization-weighted measure of US large cap stocks.
The Russell Midcap Value Index provides a broad, market capitalization-weighted measure of US mid cap value stocks and is constructed based on the Russell Midcap Index. Additionally, the Russell Midcap Value Index includes stocks that exhibit strong value characteristics based on the evaluation of metrics such as book value-to-price and forecasted growth rates. The Russell Midcap Index provides a broad, market capitalization-weighted measure of US mid cap stocks.
The Russell 2000 Value Index provides a broad, market capitalization-weighted measure of value oriented US small cap stocks. It measures the performance of companies within the Russell 2000 Index which have lower price-to-book ratios and lower forecasted growth values. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations
9
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
PPM Core Plus Fixed Income Fund | |||||||
GOVERNMENT AND AGENCY OBLIGATIONS 45.8% | |||||||
Mortgage-Backed Securities 29.0% | |||||||
Federal Home Loan Mortgage Corporation | |||||||
4.00%, 10/01/45 - 03/01/49 | 120,677 | 127,606 | |||||
4.50%, 11/01/48 | 56,901 | 60,065 | |||||
3.50%, 01/01/46 - 08/01/49 | 2,308,788 | 2,394,125 | |||||
3.00%, 07/01/32 - 10/01/49 | 870,638 | 887,061 | |||||
Federal National Mortgage Association, Inc. | |||||||
2.50%, 06/01/34 - 10/01/34 | 634,842 | 640,518 | |||||
3.50%, 10/01/46 - 07/01/49 | 937,251 | 970,820 | |||||
4.50%, 05/01/47 - 12/01/48 | 1,107,567 | 1,177,091 | |||||
4.00%, 01/01/47 - 08/01/48 | 1,906,463 | 1,998,734 | |||||
4.00%, 11/01/48 (a) | 319,803 | 334,634 | |||||
3.00%, 09/01/32 - 10/01/49 | 2,768,343 | 2,834,254 | |||||
Government National Mortgage Association | |||||||
3.00%, 10/20/46 - 12/20/46 | 96,686 | 99,607 | |||||
3.50%, 05/20/47 | 1,162,935 | 1,212,232 | |||||
4.00%, 07/20/47 - 05/20/49 | 923,698 | 960,612 | |||||
4.50%, 12/20/48 - 02/20/49 | 353,828 | 370,555 | |||||
3.00%, 10/20/49 | 519,596 | 533,672 | |||||
3.50%, 12/20/49 (a) | 250,000 | 259,504 | |||||
14,861,090 | |||||||
U.S. Treasury Note 12.7% | |||||||
Treasury, United States Department of | |||||||
1.88%, 04/30/22 | 678,000 | 682,237 | |||||
1.63%, 08/31/22 (b) | 380,000 | 380,119 | |||||
1.63%, 05/31/23 | 1,295,000 | 1,294,393 | |||||
2.75%, 02/15/24 | 235,000 | 244,987 | |||||
2.50%, 05/15/24 | 96,000 | 99,270 | |||||
2.13%, 05/15/25 | 396,000 | 403,796 | |||||
2.88%, 07/31/25 | 671,000 | 711,050 | |||||
1.50%, 08/15/26 | 878,000 | 860,166 | |||||
2.25%, 11/15/25 - 08/15/27 | 1,722,000 | 1,767,835 | |||||
3.13%, 11/15/28 | 65,000 | 71,459 | |||||
6,515,312 | |||||||
U.S. Treasury Bond 3.9% | |||||||
Treasury, United States Department of | |||||||
3.75%, 08/15/41 | 461,000 | 572,360 | |||||
3.13%, 11/15/41 | 292,000 | 331,283 | |||||
2.50%, 02/15/45 - 02/15/46 | 772,000 | 788,355 | |||||
3.00%, 02/15/48 | 277,000 | 311,365 | |||||
2,003,363 | |||||||
Municipal 0.2% | |||||||
Dormitory Authority State of New York | |||||||
3.19%, 02/15/43 (a) | 100,000 | 100,365 | |||||
Total Government And Agency Obligations (cost $22,756,642) | 23,480,130 | ||||||
CORPORATE BONDS AND NOTES 38.5% | |||||||
Financials 12.0% | |||||||
AIA Group Limited | |||||||
3.60%, 04/09/29 (c) | 200,000 | 210,424 | |||||
Athene Global Funding | |||||||
2.95%, 11/12/26 (c) | 125,000 | 124,429 | |||||
Bank of America Corporation | |||||||
6.25%, (callable at 100 beginning 09/05/24) (d) | 75,000 | 83,414 | |||||
4.00%, 01/22/25 | 86,000 | 91,662 | |||||
4.25%, 10/22/26 | 215,000 | 234,329 | |||||
3.56%, 04/23/27 | 115,000 | 121,477 | |||||
3.25%, 10/21/27 | 27,000 | 28,131 | |||||
3.59%, 07/21/28 | 150,000 | 159,229 | |||||
BlackRock, Inc. | |||||||
3.20%, 03/15/27 | 158,000 | 166,928 | |||||
Capital One Financial Corporation | |||||||
3.75%, 03/09/27 | 75,000 | 79,815 | |||||
Citigroup Inc. | |||||||
5.00%, (callable at 100 beginning 09/12/24) (d) | 114,000 | 119,239 | |||||
4.45%, 09/29/27 | 230,000 | 253,166 | |||||
3.89%, 01/10/28 (e) | 68,000 | 73,120 | |||||
Credit Suisse Group AG | |||||||
7.50%, (callable at 100 beginning 12/11/23) (c) (d) | 200,000 | 225,500 | |||||
6.50%, 08/08/23 (c) | 250,000 | 279,016 | |||||
4.21%, 06/12/24 (c) | 125,000 | 132,044 | |||||
Diamond Finance International Limited | |||||||
8.35%, 07/15/46 (c) | 100,000 | 137,221 | |||||
Glencore Funding LLC | |||||||
3.00%, 10/27/22 (c) | 62,000 | 62,645 | |||||
4.88%, 03/12/29 (c) | 115,000 | 125,325 | |||||
GLP Financing, LLC | |||||||
5.30%, 01/15/29 | 100,000 | 111,052 | |||||
HSBC Holdings PLC | |||||||
6.88%, (callable at 100 beginning 06/01/21) (d) (f) | 200,000 | 209,850 | |||||
4.38%, 11/23/26 | 90,000 | 97,304 | |||||
Icahn Enterprises L.P. | |||||||
6.25%, 05/15/26 | 119,000 | 126,952 | |||||
JPMorgan Chase & Co. | |||||||
5.00%, (callable at 100 beginning 08/01/24) (d) | 170,000 | 177,827 | |||||
5.30%, (callable at 100 beginning 05/01/20) (d) | 60,000 | 60,456 | |||||
3.22%, 03/01/25 | 114,000 | 118,014 | |||||
3.96%, 01/29/27 | 107,000 | 116,131 | |||||
3.51%, 01/23/29 | 68,000 | 72,132 | |||||
4.20%, 07/23/29 | 28,000 | 31,201 | |||||
2.74%, 10/15/30 | 110,000 | 109,877 | |||||
Lloyds Banking Group PLC | |||||||
7.50%, (callable at 100 beginning 9/27/25) (d) | 109,000 | 121,819 | |||||
Markel Corporation | |||||||
5.00%, 05/20/49 | 39,000 | 45,231 | |||||
Metropolitan Life Global Funding I | |||||||
3.60%, 01/11/24 (c) | 210,000 | 221,635 | |||||
Morgan Stanley | |||||||
4.88%, 11/01/22 | 100,000 | 107,078 | |||||
Nordic Aviation Capital DAC | |||||||
5.58%, 03/14/24 (g) (h) | 135,000 | 143,861 | |||||
Rassman, Joel H. | |||||||
3.80%, 11/01/29 | 140,000 | 139,633 | |||||
Tenet Healthcare Corporation | |||||||
4.88%, 01/01/26 (c) | 140,000 | 146,663 | |||||
The Goldman Sachs Group, Inc. | |||||||
2.91%, 07/24/23 | 63,000 | 64,089 | |||||
4.25%, 10/21/25 | 90,000 | 97,663 | |||||
3.69%, 06/05/28 (e) | 30,000 | 31,880 | |||||
4.22%, 05/01/29 | 33,000 | 36,319 | |||||
6.75%, 10/01/37 | 70,000 | 97,220 | |||||
The PNC Financial Services Group, Inc. | |||||||
3.45%, 04/23/29 | 115,000 | 122,851 | |||||
U.S. Bancorp | |||||||
3.00%, 07/30/29 | 68,000 | 69,727 | |||||
UnitedHealth Group Incorporated | |||||||
3.70%, 08/15/49 | 65,000 | 69,713 | |||||
Wells Fargo & Company | |||||||
2.41%, 10/30/25 | 253,000 | 253,045 | |||||
3.20%, 06/17/27 | 180,000 | 186,543 | |||||
3.58%, 05/22/28 (e) | 47,000 | 49,955 | |||||
2.88%, 10/30/30 | 210,000 | 211,383 | |||||
6,154,218 | |||||||
Energy 5.2% | |||||||
Baker Hughes, a GE Company, LLC | |||||||
3.14%, 11/07/29 | 53,000 | 54,413 | |||||
Cheniere Corpus Christi Holdings, LLC | |||||||
5.88%, 03/31/25 | 29,000 | 32,656 | |||||
Cheniere Energy Partners, L.P. | |||||||
4.50%, 10/01/29 (c) | 125,000 | 128,392 | |||||
Continental Resources, Inc. | |||||||
4.38%, 01/15/28 | 81,000 | 86,047 | |||||
Denbury Resources Inc. | |||||||
9.00%, 05/15/21 (c) | 25,000 | 24,432 | |||||
Endeavor Energy Resources, L.P. | |||||||
5.50%, 01/30/26 (c) | 14,000 | 14,426 | |||||
5.75%, 01/30/28 (c) | 14,000 | 14,727 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 173,000 | 180,440 | |||||
5.25%, 04/15/29 | 94,000 | 105,692 | |||||
5.80%, 06/15/38 | 70,000 | 79,337 | |||||
6.13%, 12/15/45 | 20,000 | 23,141 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
10
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Energy Transfer Operating, L.P. | |||||||
6.25%, 04/15/49 | 40,000 | 48,338 | |||||
Enlink Midstream, LLC | |||||||
5.38%, 06/01/29 | 71,000 | 66,810 | |||||
Enterprise Products Operating LLC | |||||||
3.13%, 07/31/29 | 160,000 | 164,587 | |||||
4.20%, 01/31/50 | 84,000 | 90,494 | |||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 113,000 | 105,874 | |||||
Everest Acquisition, LLC | |||||||
0.00%, 05/15/26 (c) (i) (j) | 35,000 | 25,010 | |||||
Exxon Mobil Corporation | |||||||
2.28%, 08/16/26 | 180,000 | 180,628 | |||||
Marathon Petroleum Corporation | |||||||
3.80%, 04/01/28 | 30,000 | 31,510 | |||||
MPLX LP | |||||||
4.00%, 03/15/28 | 120,000 | 124,363 | |||||
5.20%, 12/01/47 (c) | 45,000 | 48,597 | |||||
National Oilwell Varco, Inc. | |||||||
3.60%, 12/01/29 | 125,000 | 125,480 | |||||
Occidental Petroleum Corporation | |||||||
3.50%, 08/15/29 | 140,000 | 142,731 | |||||
4.30%, 08/15/39 | 20,000 | 20,361 | |||||
4.40%, 08/15/49 | 22,000 | 22,630 | |||||
Petroleos Mexicanos | |||||||
6.50%, 01/23/29 | 85,000 | 89,380 | |||||
Sabine Pass Liquefaction, LLC | |||||||
4.20%, 03/15/28 | 250,000 | 264,697 | |||||
Targa Resource Corporation | |||||||
5.50%, 03/01/30 (c) | 140,000 | 144,088 | |||||
Transocean Pontus Limited | |||||||
6.13%, 08/01/25 (c) | 17,800 | 18,287 | |||||
Transocean Poseidon Limited | |||||||
6.88%, 02/01/27 (c) | 49,000 | 51,844 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (c) | 122,500 | 126,540 | |||||
Viper Energy Partners LP | |||||||
5.38%, 11/01/27 (c) | 23,000 | 23,977 | |||||
2,659,929 | |||||||
Health Care 4.1% | |||||||
AbbVie Inc. | |||||||
2.95%, 11/21/26 (c) | 170,000 | 172,748 | |||||
4.30%, 05/14/36 | 38,000 | 41,703 | |||||
4.05%, 11/21/39 (c) | 90,000 | 94,323 | |||||
4.25%, 11/21/49 (c) | 128,000 | 135,445 | |||||
Bausch Health Companies Inc. | |||||||
5.50%, 11/01/25 (c) | 22,000 | 22,993 | |||||
8.50%, 01/31/27 (c) | 21,000 | 23,945 | |||||
5.75%, 08/15/27 (c) | 60,000 | 65,171 | |||||
Bristol-Myers Squibb Company | |||||||
3.40%, 07/26/29 (c) | 140,000 | 149,819 | |||||
4.13%, 06/15/39 (c) | 100,000 | 115,070 | |||||
4.25%, 10/26/49 (c) | 65,000 | 77,048 | |||||
Centene Corporation | |||||||
4.25%, 12/15/27 (c) | 106,000 | 109,169 | |||||
4.63%, 12/15/29 (c) | 120,000 | 126,312 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (c) | 63,000 | 66,950 | |||||
Cigna Holding Company | |||||||
3.40%, 03/01/27 (c) | 114,000 | 118,383 | |||||
CVS Health Corporation | |||||||
3.25%, 08/15/29 | 93,000 | 94,826 | |||||
4.78%, 03/25/38 | 100,000 | 113,438 | |||||
5.05%, 03/25/48 | 100,000 | 118,216 | |||||
HCA Inc. | |||||||
5.13%, 06/15/39 | 120,000 | 132,418 | |||||
Mylan Inc | |||||||
5.20%, 04/15/48 | 23,000 | 25,486 | |||||
Perrigo Finance Unlimited Company | |||||||
4.38%, 03/15/26 | 31,000 | 31,886 | |||||
Providence St. Joseph Health | |||||||
2.53%, 10/01/29 | 67,000 | 65,708 | |||||
Quest Diagnostics Incorporated | |||||||
2.95%, 06/30/30 | 45,000 | 45,043 | |||||
WellCare Health Plans, Inc. | |||||||
5.25%, 04/01/25 | 100,000 | 104,287 | |||||
5.38%, 08/15/26 (c) | 46,000 | 49,086 | |||||
2,099,473 | |||||||
Utilities 3.2% | |||||||
Ameren Illinois Company | |||||||
4.50%, 03/15/49 | 90,000 | 110,453 | |||||
Basin Electric Power Cooperative | |||||||
4.75%, 04/26/47 (c) | 107,000 | 122,437 | |||||
Commonwealth Edison Company | |||||||
3.75%, 08/15/47 | 79,000 | 84,594 | |||||
DPL Inc. | |||||||
4.35%, 04/15/29 (c) | 132,000 | 127,872 | |||||
Electricite de France | |||||||
4.50%, 09/21/28 (c) | 100,000 | 111,186 | |||||
Exelon Corporation | |||||||
5.10%, 06/15/45 | 75,000 | 90,327 | |||||
Nevada Power Company | |||||||
3.70%, 05/01/29 | 140,000 | 151,315 | |||||
Oncor Electric Delivery Company LLC | |||||||
2.95%, 04/01/25 | 160,000 | 165,440 | |||||
Southern California Edison Company | |||||||
4.13%, 03/01/48 | 46,000 | 49,002 | |||||
The AES Corporation | |||||||
4.00%, 03/15/21 | 215,000 | 218,440 | |||||
Vistra Operations Company LLC | |||||||
3.55%, 07/15/24 (c) | 174,000 | 176,919 | |||||
3.70%, 01/30/27 (c) | 220,000 | 218,845 | |||||
1,626,830 | |||||||
Consumer Staples 2.9% | |||||||
Anheuser-Busch Companies, LLC | |||||||
3.65%, 02/01/26 | 74,000 | 78,923 | |||||
4.90%, 02/01/46 | 146,000 | 173,327 | |||||
BAT Capital Corp. | |||||||
4.39%, 08/15/37 | 148,000 | 149,913 | |||||
JBS Investments II GmbH | |||||||
7.00%, 01/15/26 (c) | 200,000 | 217,430 | |||||
JBS USA Food Company | |||||||
5.88%, 07/15/24 (c) | 16,000 | 16,461 | |||||
6.50%, 04/15/29 (c) | 84,000 | 93,683 | |||||
Kraft Heinz Foods Company | |||||||
3.75%, 04/01/30 (c) | 71,000 | 73,216 | |||||
Mars, Incorporated | |||||||
3.95%, 04/01/49 (c) | 143,000 | 161,352 | |||||
Reynolds American Inc. | |||||||
5.70%, 08/15/35 | 46,000 | 53,127 | |||||
7.00%, 08/04/41 | 45,000 | 54,489 | |||||
Walmart Inc. | |||||||
2.85%, 07/08/24 | 234,000 | 242,296 | |||||
3.25%, 07/08/29 | 100,000 | 107,260 | |||||
2.95%, 09/24/49 | 50,000 | 49,333 | |||||
1,470,810 | |||||||
Industrials 2.8% | |||||||
Ashtead Capital, Inc. | |||||||
5.25%, 08/01/26 (c) | 128,000 | 137,024 | |||||
Avolon Holdings Funding Limited | |||||||
5.25%, 05/15/24 (c) | 158,000 | 172,738 | |||||
Caterpillar Inc. | |||||||
3.25%, 09/19/49 | 70,000 | 70,084 | |||||
Equifax Inc. | |||||||
2.60%, 12/01/24 | 80,000 | 80,323 | |||||
General Electric Company | |||||||
5.00%, (callable at 100 beginning 01/21/21) (d) | 419,000 | 410,620 | |||||
General Motors Company | |||||||
5.95%, 04/01/49 | 30,000 | 33,213 | |||||
Hillenbrand, Inc. | |||||||
4.50%, 09/15/26 (k) | 105,000 | 110,269 | |||||
Moog Inc. | |||||||
4.25%, 12/15/27 (c) | 44,000 | 44,784 | |||||
Park Aerospace Holdings Limited | |||||||
5.25%, 08/15/22 (c) | 190,000 | 202,641 | |||||
The Boeing Company | |||||||
2.70%, 02/01/27 | 87,000 | 88,238 | |||||
3.20%, 03/01/29 | 38,000 | 39,549 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
11
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
United Rentals (North America), Inc. | |||||||
3.88%, 11/15/27 | 55,000 | 56,120 | |||||
1,445,603 | |||||||
Communication Services 2.8% | |||||||
AT&T Inc. | |||||||
3.07%, (3M USD LIBOR + 1.18%), 06/12/24 (e) | 375,000 | 381,200 | |||||
5.25%, 03/01/37 | 77,000 | 92,176 | |||||
CCO Holdings, LLC | |||||||
4.75%, 03/01/30 (c) | 91,000 | 92,810 | |||||
Charter Communications Operating, LLC | |||||||
4.91%, 07/23/25 | 140,000 | 154,217 | |||||
5.38%, 04/01/38 | 45,000 | 51,140 | |||||
6.83%, 10/23/55 | 51,000 | 65,481 | |||||
Comcast Corporation | |||||||
4.60%, 10/15/38 | 51,000 | 60,685 | |||||
3.40%, 07/15/46 | 50,000 | 50,361 | |||||
4.95%, 10/15/58 | 50,000 | 64,914 | |||||
Hughes Satellite Systems Corporation | |||||||
5.25%, 08/01/26 | 71,000 | 77,950 | |||||
Sirius XM Radio Inc. | |||||||
5.50%, 07/01/29 (c) | 47,000 | 50,861 | |||||
Sprint Spectrum Co LLC | |||||||
3.36%, 09/20/21 (c) | 87,500 | 88,275 | |||||
TEGNA Inc. | |||||||
5.00%, 09/15/29 (c) | 70,000 | 71,192 | |||||
Vodafone Group Public Limited Company | |||||||
5.00%, 05/30/38 | 120,000 | 139,428 | |||||
1,440,690 | |||||||
Materials 2.7% | |||||||
Anglo American Capital PLC | |||||||
4.88%, 05/14/25 (c) | 121,000 | 133,023 | |||||
4.75%, 04/10/27 (c) | 180,000 | 196,626 | |||||
CEMEX S.A.B. de C.V. | |||||||
5.45%, 11/19/29 (c) | 130,000 | 135,541 | |||||
CF Industries, Inc. | |||||||
4.50%, 12/01/26 (c) | 314,000 | 342,154 | |||||
Corning Incorporated | |||||||
5.85%, 11/15/68 | 58,000 | 69,035 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 | 114,000 | 120,721 | |||||
5.00%, 09/01/27 | 61,000 | 64,339 | |||||
5.40%, 11/14/34 | 35,000 | 36,638 | |||||
LYB International Finance III, LLC | |||||||
4.20%, 10/15/49 | 58,000 | 60,398 | |||||
NOVA Chemicals Corporation | |||||||
4.88%, 06/01/24 (c) | 130,000 | 134,031 | |||||
Olin Corporation | |||||||
5.63%, 08/01/29 | 92,000 | 97,314 | |||||
1,389,820 | |||||||
Real Estate 1.5% | |||||||
Boston Properties Limited Partnership | |||||||
2.75%, 10/01/26 | 36,000 | 36,380 | |||||
2.90%, 03/15/30 | 130,000 | 129,674 | |||||
Equinix, Inc. | |||||||
3.20%, 11/18/29 | 71,000 | 71,386 | |||||
Service Properties Trust | |||||||
4.35%, 10/01/24 | 106,000 | 108,845 | |||||
4.75%, 10/01/26 | 70,000 | 71,903 | |||||
Simon Property Group, L.P. | |||||||
2.45%, 09/13/29 | 307,000 | 301,886 | |||||
VICI Properties Inc. | |||||||
4.25%, 12/01/26 (c) | 35,000 | 36,116 | |||||
4.63%, 12/01/29 (c) | 27,000 | 28,262 | |||||
784,452 | |||||||
Consumer Discretionary 0.7% | |||||||
Fiat Chrysler Automobiles N.V. | |||||||
5.25%, 04/15/23 | 103,000 | 110,143 | |||||
Ford Motor Credit Company LLC | |||||||
4.54%, 08/01/26 | 100,000 | 102,394 | |||||
GLP Financing, LLC | |||||||
5.75%, 06/01/28 | 15,000 | 17,036 | |||||
MDC Holdings Inc. | |||||||
6.00%, 01/15/43 | 11,000 | 11,464 | |||||
Volkswagen Group of America, Inc. | |||||||
4.63%, 11/13/25 (c) | 130,000 | 143,872 | |||||
384,909 | |||||||
Information Technology 0.6% | |||||||
Broadcom Inc. | |||||||
4.25%, 04/15/26 (c) | 130,000 | 138,113 | |||||
3.88%, 01/15/27 | 57,000 | 59,092 | |||||
Microsoft Corporation | |||||||
3.95%, 08/08/56 | 87,000 | 102,622 | |||||
299,827 | |||||||
Total Corporate Bonds And Notes (cost $18,723,645) | 19,756,561 | ||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 12.8% | |||||||
American Airlines, Inc. | |||||||
Series 2016-AA-2, 3.20%, 06/15/28 | 170,900 | 175,594 | |||||
American Tower Trust | |||||||
Series 2013-A-2, 3.07%, 03/15/23 (c) | 265,000 | 268,705 | |||||
AmeriCredit Automobile Receivables Trust | |||||||
Series 2018-A3-1, 3.07%, 01/19/21 | 400,000 | 402,432 | |||||
Ascentium Equipment Receivables Trust | |||||||
Series 2018-A2-1A, 2.92%, 12/10/20 (c) | 11,873 | 11,882 | |||||
Series 2017-A3-2A, 2.31%, 12/10/21 (c) | 59,416 | 59,518 | |||||
BAMLL Commercial Mortgage Securities Trust | |||||||
Series 2015-B-200P, REMIC, 3.49%, 04/16/25 (c) | 375,000 | 387,922 | |||||
Bank | |||||||
Series 2019-A3-BN23, REMIC, 2.92%, 11/16/29 | 190,000 | 194,060 | |||||
Benchmark Mortgage Trust | |||||||
Series 2019-A5-B15, 2.93%, 11/16/29 | 190,000 | 194,028 | |||||
Capital One Prime Auto Receivables Trust | |||||||
Series 2019-A2-2, 2.06%, 06/15/21 | 600,000 | 600,546 | |||||
CCG Receivables Trust | |||||||
Series 2018-A2-1, 2.50%, 02/14/21 (c) | 42,460 | 42,537 | |||||
CIG Auto Receivables Trust | |||||||
Series 2017-A-1A, 2.71%, 05/15/23 (c) | 27,932 | 27,963 | |||||
Citigroup Commercial Mortgage Trust | |||||||
Series 2019-A4-C7, REMIC, 3.10%, 12/17/29 | 350,000 | 361,785 | |||||
COMM Mortgage Trust | |||||||
Series 2014-A4-UBS3, REMIC, 3.82%, 05/10/24 | 49,000 | 51,908 | |||||
Series 2014-A3-CR21, REMIC, 3.53%, 12/12/24 | 256,933 | 269,443 | |||||
CSMC Trust | |||||||
Series 2017-A3-HL2, 3.50%, 09/25/24 (c) (e) | 80,225 | 81,221 | |||||
Dell Equipment Finance Trust | |||||||
Series 2018-A2A-1, 2.97%, 10/22/20 (c) | 25,740 | 25,773 | |||||
Series 2017-A3-2, 2.19%, 10/24/22 (c) | 35,879 | 35,886 | |||||
DLL LLC | |||||||
Series 2019-A2-MT3, 2.13%, 01/20/22 (c) | 175,000 | 174,912 | |||||
Foundation Finance Trust | |||||||
Series 2017-A-1A, 3.30%, 08/15/22 (c) | 41,703 | 41,916 | |||||
GLS Auto Receivables Trust | |||||||
Series 2019-A-1A, 3.37%, 03/15/21 (c) | 83,692 | 84,176 | |||||
Series 2018-A-3A, 3.35%, 08/15/22 (c) | 27,564 | 27,674 | |||||
GM Financial Automobile Leasing Trust | |||||||
Series 2018-A3-1, 2.61%, 01/20/21 | 101,729 | 101,830 | |||||
GM Financial Consumer Automobile Receivables Trust | |||||||
Series 2019-A2A-4, 1.84%, 11/16/22 | 75,000 | 74,906 | |||||
GreatAmerica Financial Services Corporation | |||||||
Series 2019-A2-1, 2.97%, 09/15/20 (c) | 127,959 | 128,356 | |||||
Series 2018-A3-1, 2.60%, 06/15/21 (c) | 84,701 | 84,884 | |||||
GS Mortgage Securities Corp Trust | |||||||
Series 2017-B-SLP, REMIC, 3.77%, 10/12/22 (c) | 158,000 | 162,170 | |||||
HPEFS Equipment Trust | |||||||
Series 2019-A2-1A, 2.19%, 09/20/29 (c) | 100,000 | 100,098 | |||||
Series 2019-A3-1A, 2.21%, 10/20/29 (c) | 100,000 | 100,023 | |||||
Hudson Yards Mortgage Trust | |||||||
Series 2019-A-30HY, 3.23%, 07/12/29 (c) | 300,000 | 310,316 | |||||
J.P. Morgan Mortgage Trust | |||||||
Series 2017-A6-6, REMIC, 3.00%, 03/25/25 (c) (e) | 83,911 | 84,632 | |||||
John Deere Owner Trust | |||||||
Series 2019-A2-B, 2.28%, 04/15/21 | 494,000 | 495,124 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
12
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Kubota Credit Owner Trust | |||||||
Series 2018-A2-1A, 2.80%, 02/16/21 (c) | 30,737 | 30,767 | |||||
MVW Owner Trust | |||||||
Series 2013-A-1A, 2.15%, 04/22/30 (c) | 60,407 | 60,388 | |||||
Prestige Auto Receivables Trust | |||||||
Series 2019-A2-1A, 2.44%, 12/15/20 (c) | 235,768 | 236,063 | |||||
PSMC Trust | |||||||
Series 2018-A1-3, REMIC, 4.00%, 02/25/41 (c) | 67,365 | 68,345 | |||||
Sequoia Mortgage Trust | |||||||
Series 2019-A4-1, REMIC, 4.00%, 02/25/26 (c) | 24,759 | 25,084 | |||||
Series 2018-A1-8, REMIC, 4.00%, 06/25/40 (c) (e) | 85,630 | 87,564 | |||||
Toyota Auto Receivables Owner Trust | |||||||
Series 2018-A3-B, 2.96%, 07/15/21 | 425,000 | 429,230 | |||||
United Airlines, Inc. | |||||||
Series 2012-B-1, 6.25%, 04/11/20 | 8,530 | 8,601 | |||||
Series 2012-A-1, 4.15%, 04/11/24 | 51,006 | 53,580 | |||||
Series 2012-A-2, 4.00%, 10/29/24 | 45,462 | 47,735 | |||||
Verizon Owner Trust | |||||||
Series 2017-A-2A, 1.92%, 12/20/21 (c) | 216,066 | 216,020 | |||||
Volvo Financial Equipment LLC | |||||||
Series 2019-A2-1A, 2.90%, 10/15/20 (c) | 104,332 | 104,712 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
Series 2017-B-C38, 3.92%, 06/17/27 (e) | 57,000 | 60,018 | |||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $6,527,525) | 6,590,327 | ||||||
SENIOR LOAN INTERESTS 1.8% | |||||||
Communication Services 0.6% | |||||||
CenturyLink, Inc. | |||||||
2017 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 01/15/25 (e) | 115,640 | 116,045 | |||||
Diamond Sports Group LLC | |||||||
Term Loan, 5.03%, (1M LIBOR + 3.25%), 08/24/26 (e) | 33,915 | 33,844 | |||||
Nexstar Broadcasting, Inc. | |||||||
2019 Term Loan B4, 4.45%, (1M LIBOR + 2.75%), 07/15/26 (e) | 78,551 | 78,917 | |||||
Sprint Communications, Inc. | |||||||
1st Lien Term Loan B, 4.31%, (1M LIBOR + 2.50%), 02/01/24 (e) | 83,078 | 82,268 | |||||
311,074 | |||||||
Consumer Discretionary 0.5% | |||||||
CSC Holdings, LLC | |||||||
2017 1st Lien Term Loan, 3.99%, (1M LIBOR + 2.25%), 07/15/25 (e) | 43,985 | 44,010 | |||||
Golden Nugget, Inc. | |||||||
2017 Incremental Term Loan B, 4.55%, (1M LIBOR + 2.75%), 09/07/23 (e) | 1,811 | 1,816 | |||||
2017 Incremental Term Loan B, 4.72%, (3M LIBOR + 2.75%), 09/07/23 (e) | 36,189 | 36,280 | |||||
2017 Incremental Term Loan B, 4.68%, (3M LIBOR + 2.75%), 10/04/23 (e) | 40,970 | 41,072 | |||||
PCI Gaming Authority | |||||||
Term Loan, 4.30%, (1M LIBOR + 2.50%), 05/15/26 (e) | 148,452 | 149,317 | |||||
272,495 | |||||||
Consumer Staples 0.2% | |||||||
JBS USA Lux S.A. | |||||||
2019 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 04/27/26 (e) | 95,072 | 95,626 | |||||
Utilities 0.1% | |||||||
Pacific Gas And Electric Company | |||||||
DIP Term Loan, 3.97%, (1M LIBOR + 2.25%), 12/31/20 (e) (g) | 52,500 | 52,500 | |||||
Vistra Operations Company LLC | |||||||
1st Lien Term Loan B3, 3.49%, (1M LIBOR + 1.75%), 12/11/25 (e) | 1,990 | 2,001 | |||||
1st Lien Term Loan B3, 3.55%, (1M LIBOR + 1.75%), 12/11/25 (e) | 8,341 | 8,387 | |||||
62,888 | |||||||
Financials 0.1% | |||||||
UFC Holdings, LLC | |||||||
2019 Term Loan, 5.50%, (1M LIBOR + 3.25%), 04/25/26 (e) | 58,636 | 58,978 | |||||
Industrials 0.1% | |||||||
Genesee & Wyoming Inc. | |||||||
Term Loan, 0.00%, (3M LIBOR + 2.00%), 11/05/26 (e) (l) | 51,000 | 51,437 | |||||
Materials 0.1% | |||||||
BWAY Holding Company | |||||||
2017 Term Loan B, 5.23%, (3M LIBOR + 3.25%), 04/03/24 (e) | 48,872 | 48,659 | |||||
Energy 0.1% | |||||||
Traverse Midstream Partners LLC | |||||||
Term Loan, 5.80%, (1M LIBOR + 4.00%), 09/22/24 (e) | 32,588 | 29,264 | |||||
Total Senior Loan Interests (cost $928,202) | 930,421 | ||||||
SHORT TERM INVESTMENTS 1.9% | |||||||
Investment Companies 1.9% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.54% (m) | 963,179 | 963,179 | |||||
Total Short Term Investments (cost $963,179) | 963,179 | ||||||
Total Investments 100.8% (cost $49,899,193) | 51,720,618 | ||||||
Other Derivative Instruments (0.0)% | (5,296) | ||||||
Other Assets and Liabilities, Net (0.8)% | (382,725) | ||||||
Total Net Assets 100.0% | 51,332,597 |
(a) All or a portion of the security was purchased on a delayed delivery basis. As of December 31, 2019, the total payable for investments purchased on a delayed delivery basis was $694,536.
(b) All or a portion of the security was on loan as of December 31, 2019.
(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 Board of Trustees. Determinations of liquidity are unaudited. As of December 31, 2019, the value and the percentage of net assets of these liquid securities was $10,148,655 and 19.8% of the Fund.
(d) Perpetual security. Next contractual call date presented, if applicable.
(e) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of December 31, 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.
(f) Convertible security.
(g) Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the 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) Security is restricted to resale to institutional investors. See Restricted Securities table following the Schedules of Investments.
(i) Non-income producing security.
(j) As of December 31, 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.
(k) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(l) This senior loan will settle after December 31, 2019. If a reference rate and spread is presented, it will go into effect upon settlement.
(m) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2019.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
13
PPMFunds
Schedules of Investments
December 31, 2019
Restricted Securities | ||||||||||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | |||||||||||||
Nordic Aviation Capital DAC, 5.58%, 03/14/24 | 02/27/19 | 135,000 | 143,861 | 0.3 | ||||||||||||
Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
Pacific Gas And Electric Company. – DIP Delayed Draw Term Loan‡ | 17,413 | 88 | ||||
17,413 | 88 |
‡ Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the PPM Funds’ Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Schedules of Investments.
PPM Core Plus Fixed Income Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Long Contracts | |||||||||||||||
United States 2 Year Note | 9 | April 2020 | 1,940,721 | 422 | (1,221) | ||||||||||
United States 5 Year Note | 37 | April 2020 | 4,397,213 | (867) | (8,666) | ||||||||||
United States Long Bond | 15 | March 2020 | 2,377,190 | (5,156) | (38,596) | ||||||||||
United States Ultra Bond | 3 | March 2020 | 563,684 | (3,469) | (18,716) | ||||||||||
(9,070) | (67,199) | ||||||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (14) | March 2020 | (1,807,116) | 1,809 | 9,210 | ||||||||||
United States 10 Year Ultra Bond | (11) | March 2020 | (1,560,882) | 1,890 | 13,148 | ||||||||||
3,699 | 22,358 |
PPM Core Plus Fixed Income Fund — Centrally Cleared Credit Default Swap Agreements | ||||||||||||||||||
Reference Entity2 | Fixed Receive/ Pay Rate (%) | Expiration | Notional1 | Value ($) | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Credit default swap agreements - purchase protection | ||||||||||||||||||
CDX.NA.IG.33 (Q) | 1.00 | 12/20/24 | 500,000 | (12,966) | 75 | (2,954) | ||||||||||||
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
14
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
PPM Floating Rate Income Fund | |||||||
SENIOR LOAN INTERESTS 91.1% | |||||||
Consumer Discretionary 19.6% | |||||||
1011778 B.C. Unlimited Liability Company | |||||||
Term Loan B4, 3.55%, (1M LIBOR + 1.75%), 11/14/26 (a) | 193,940 | 194,132 | |||||
24 Hour Fitness Worldwide, Inc. | |||||||
2018 Term Loan B, 5.30%, (1M LIBOR + 3.50%), 05/30/25 (a) | 192,512 | 145,075 | |||||
Adient US LLC | |||||||
Term Loan B, 6.14%, (3M LIBOR + 4.25%), 05/03/24 (a) | 30,000 | 30,143 | |||||
Term Loan B, 6.19%, (3M LIBOR + 4.25%), 05/03/24 (a) | 89,400 | 89,825 | |||||
Aimbridge Acquisition Co., Inc. | |||||||
2019 Term Loan B, 5.54%, (3M LIBOR + 3.75%), 02/02/26 (a) | 119,700 | 120,598 | |||||
Allied Universal Holdco LLC | |||||||
2019 Delayed Draw Term Loan, 0.00%, (3M LIBOR + 4.25%), 06/18/26 (a) (b) | 9,459 | 9,507 | |||||
Alterra Mountain Company | |||||||
Term Loan B1, 4.55%, (1M LIBOR + 2.75%), 06/28/24 (a) | 127,719 | 128,677 | |||||
Altra Industrial Motion Corp. | |||||||
2018 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 09/26/25 (a) | 314,491 | 315,145 | |||||
American Axle and Manufacturing, Inc. | |||||||
Term Loan B, 0.00%, (3M LIBOR + 2.25%), 03/10/24 (a) (b) | 75,000 | 75,000 | |||||
Term Loan B, 4.05%, (3M LIBOR + 2.25%), 03/10/24 (a) | 101,986 | 101,986 | |||||
Term Loan B, 4.19%, (3M LIBOR + 2.25%), 03/10/24 (a) | 25,356 | 25,356 | |||||
Aramark Services, Inc. | |||||||
2019 Term Loan B4, 0.00%, (3M LIBOR + 1.75%), 12/04/26 (a) (b) | 120,000 | 120,563 | |||||
Bass Pro Group, LLC | |||||||
Term Loan B, 0.00%, (1M LIBOR + 5.00%), 11/15/23 (a) (b) | 110,000 | 109,588 | |||||
Term Loan B, 6.80%, (1M LIBOR + 5.00%), 11/15/23 (a) | 92,754 | 92,406 | |||||
Boing US Holdco Inc. | |||||||
2017 1st Lien Term Loan, 4.99%, (1M LIBOR + 3.25%), 09/20/24 (a) | 39,300 | 38,187 | |||||
Bombardier Recreational Products, Inc. | |||||||
2016 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 06/30/23 (a) | 317,749 | 318,543 | |||||
2019 Incremental Term Loan B2, 4.30%, (1M LIBOR + 2.50%), 05/23/25 (a) | 4,988 | 4,999 | |||||
Boyd Gaming Corporation | |||||||
Term Loan B3, 3.85%, (3M LIBOR + 2.25%), 09/15/23 (a) | 246,152 | 247,621 | |||||
Caesars Entertainment Operating Company | |||||||
Term Loan, 3.80%, (1M LIBOR + 2.00%), 04/03/24 (a) | 308,420 | 310,017 | |||||
Caesars Resort Collection, LLC | |||||||
2017 1st Lien Term Loan B, 4.55%, (1M LIBOR + 2.75%), 12/23/24 (a) | 363,235 | 363,612 | |||||
Callaway Golf Company | |||||||
Term Loan B, 6.24%, (1M LIBOR + 4.50%), 12/31/25 (a) | 40,098 | 40,498 | |||||
CityCenter Holdings, LLC | |||||||
2017 Term Loan B, 4.05%, (1M LIBOR + 2.25%), 04/14/24 (a) | 321,225 | 322,327 | |||||
Coinamatic Canada Inc. | |||||||
Canadian 1st Lien Term Loan, 5.05%, (1M LIBOR + 3.25%), 05/13/22 (a) (c) | 3,952 | 3,863 | |||||
Constellis Holdings, LLC | |||||||
2017 1st Lien Term Loan, 6.93%, (3M LIBOR + 5.00%), 04/17/24 (a) | 68,939 | 27,576 | |||||
Core & Main LP | |||||||
2017 Term Loan B, 4.44%, (1M LIBOR + 2.75%), 07/19/24 (a) | 66,683 | 66,655 | |||||
2017 Term Loan B, 4.66%, (3M LIBOR + 2.75%), 07/19/24 (a) | 60,362 | 60,337 | |||||
Creative Artists Agency, LLC | |||||||
2019 Term Loan B, 5.55%, (1M LIBOR + 3.75%), 11/19/26 (a) | 60,000 | 60,450 | |||||
CSC Holdings, LLC | |||||||
2017 1st Lien Term Loan, 3.99%, (1M LIBOR + 2.25%), 07/15/25 (a) | 149,235 | 149,318 | |||||
Dana Incorporated | |||||||
Term Loan B, 4.05%, (1M LIBOR + 2.25%), 02/27/26 (a) | 100,786 | 100,976 | |||||
Delta 2 (LUX) S.a.r.l. | |||||||
Term Loan, 4.30%, (1M LIBOR + 2.50%), 02/01/24 (a) | 165,000 | 165,568 | |||||
DexKo Global Inc. | |||||||
Term Loan, 5.30%, (1M LIBOR + 3.50%), 07/24/24 (a) | 49,465 | 49,403 | |||||
Eldorado Resorts LLC | |||||||
2017 Term Loan B, 4.00%, (3M LIBOR + 2.25%), 03/15/24 (a) | 17,192 | 17,176 | |||||
2017 Term Loan B, 4.06%, (1M LIBOR + 2.25%), 03/15/24 (a) | 52,662 | 52,612 | |||||
Equinox Holdings, Inc. | |||||||
2017 1st Lien Term Loan, 4.80%, (1M LIBOR + 3.00%), 03/08/24 (a) | 128,436 | 128,780 | |||||
Fitness International, LLC | |||||||
2018 Term Loan B, 5.05%, (1M LIBOR + 3.25%), 04/13/25 (a) | 146,658 | 146,521 | |||||
Four Seasons Hotels Limited | |||||||
New 1st Lien Term Loan, 3.80%, (1M LIBOR + 2.00%), 11/30/23 (a) | 188,061 | 189,261 | |||||
Golden Nugget, Inc. | |||||||
2017 Incremental Term Loan B, 4.55%, (1M LIBOR + 2.75%), 09/07/23 (a) | 7,297 | 7,315 | |||||
2017 Incremental Term Loan B, 4.72%, (3M LIBOR + 2.75%), 09/07/23 (a) | 145,784 | 146,149 | |||||
2017 Incremental Term Loan B, 4.68%, (3M LIBOR + 2.75%), 10/04/23 (a) | 165,041 | 165,453 | |||||
Helix Gen Funding, LLC | |||||||
Term Loan B, 5.55%, (1M LIBOR + 3.75%), 03/02/24 (a) | 57,305 | 56,358 | |||||
Hoffmaster Group, Inc. | |||||||
2018 1st Lien Term Loan, 5.80%, (1M LIBOR + 4.00%), 11/11/23 (a) | 36,835 | 36,605 | |||||
Hoya Midco, LLC | |||||||
2017 1st Lien Term Loan, 5.30%, (1M LIBOR + 3.50%), 06/21/24 - 06/27/24 (a) | 73,663 | 73,202 | |||||
Inmar Holdings, Inc. | |||||||
2017 1st Lien Term Loan, 5.94%, (3M LIBOR + 4.00%), 04/25/24 (a) | 153,253 | 145,974 | |||||
Interior Logic Group Holdings IV LLC | |||||||
2018 Term Loan B, 5.80%, (3M LIBOR + 4.00%), 05/21/25 (a) (c) | 98,750 | 95,000 | |||||
International Textile Group, Inc | |||||||
1st Lien Term Loan, 6.69%, (1M LIBOR + 5.00%), 04/19/24 (a) (c) | 96,250 | 78,925 | |||||
IRB Holding Corp. | |||||||
1st Lien Term Loan, 5.22%, (3M LIBOR + 3.25%), 01/18/25 (a) | 121,840 | 122,484 | |||||
Jo-Ann Stores, Inc. | |||||||
Term Loan, 6.93%, (3M LIBOR + 5.00%), 09/29/23 (a) | 48,260 | 33,451 | |||||
Kestrel Bidco Inc. | |||||||
Term Loan B, 4.72%, (1M LIBOR + 3.00%), 07/31/26 (a) | 9,000 | 9,072 | |||||
Life Time Fitness Inc | |||||||
2017 Term Loan B, 4.66%, (3M LIBOR + 2.75%), 06/22/22 (a) | 92,201 | 92,375 | |||||
Lifetime Brands, Inc. | |||||||
Term Loan B, 5.30%, (1M LIBOR + 3.50%), 03/13/25 (a) (c) | 64,186 | 63,864 | |||||
Lions Gate Capital Holdings LLC | |||||||
2018 Term Loan B, 4.05%, (1M LIBOR + 2.25%), 03/20/25 (a) | 204,505 | 203,867 | |||||
MA FinanceCo., LLC | |||||||
2017 Term Loan B2, 4.05%, (1M LIBOR + 2.25%), 11/19/21 (a) | 50,000 | 50,250 | |||||
Marriott Ownership Resorts, Inc. | |||||||
2019 Term Loan B, 3.55%, (1M LIBOR + 1.75%), 08/29/25 (a) | 92,303 | 92,764 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
15
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Mavis Tire Express Services Corp. | |||||||
2018 1st Lien Term Loan, 5.05%, (1M LIBOR + 3.25%), 03/15/25 (a) | 148,043 | 143,849 | |||||
2018 Delayed Draw Term Loan, 5.05%, (1M LIBOR + 3.25%), 03/15/25 (a) | 4,238 | 4,117 | |||||
Michaels Stores, Inc. | |||||||
2018 Term Loan B, 4.29%, (3M LIBOR + 2.50%), 01/01/23 (a) | 39,102 | 37,773 | |||||
2018 Term Loan B, 4.30%, (3M LIBOR + 2.50%), 01/01/23 (a) | 108,460 | 104,772 | |||||
Mohegan Tribal Gaming Authority | |||||||
2016 Term Loan B, 5.80%, (1M LIBOR + 4.00%), 10/30/23 (a) | 29,531 | 28,413 | |||||
NPC International, Inc. | |||||||
1st Lien Term Loan, 5.43%, (3M LIBOR + 3.50%), 04/05/24 (a) | 49,369 | 22,784 | |||||
NVA Holdings, Inc. | |||||||
Term Loan B3, 6.50%, (3M LIBOR + 1.75%), 01/31/25 (a) | 167,458 | 167,284 | |||||
PCI Gaming Authority | |||||||
Term Loan, 4.30%, (1M LIBOR + 2.50%), 05/15/26 (a) | 127,632 | 128,376 | |||||
Penn National Gaming, Inc. | |||||||
2018 1st Lien Term Loan B, 4.05%, (1M LIBOR + 2.25%), 08/15/25 (a) | 323,208 | 324,216 | |||||
Playa Resorts Holding B.V. | |||||||
2017 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 04/07/24 (a) | 176,832 | 176,168 | |||||
Prime Security Services Borrower, LLC | |||||||
2019 Term Loan B1, 4.94%, (1M LIBOR + 3.25%), 12/31/22 (a) | 336,469 | 337,142 | |||||
ProQuest LLC | |||||||
2019 Term Loan, 5.30%, (1M LIBOR + 3.50%), 10/16/26 (a) | 60,000 | 60,338 | |||||
Rodan & Fields, LLC | |||||||
2018 Term Loan B, 5.74%, (1M LIBOR + 4.00%), 06/07/25 (a) | 49,250 | 28,565 | |||||
2018 Term Loan B, 7.75%, (3M PRIME + 3.00%), 06/07/25 (a) | 125 | 73 | |||||
Scientific Games International, Inc. | |||||||
2018 Term Loan B5, 4.55%, (1M LIBOR + 2.75%), 08/14/24 (a) | 230,108 | 230,493 | |||||
Serta Simmons Bedding, LLC | |||||||
1st Lien Term Loan, 5.24%, (1M LIBOR + 3.50%), 10/21/23 (a) | 95,927 | 61,573 | |||||
1st Lien Term Loan, 5.29%, (1M LIBOR + 3.50%), 10/21/23 (a) | 27,300 | 17,523 | |||||
ServiceMaster Company | |||||||
2019 Term Loan D, 3.56%, (1M LIBOR + 1.75%), 10/31/26 (a) | 60,000 | 60,188 | |||||
Sinclair Television Group Inc. | |||||||
Term Loan B2, 4.05%, (1M LIBOR + 2.25%), 01/06/24 (a) | 298,401 | 297,530 | |||||
SIWF Holdings Inc. | |||||||
1st Lien Term Loan, 6.05%, (1M LIBOR + 4.25%), 05/25/25 (a) | 113,312 | 112,745 | |||||
Six Flags Theme Parks, Inc. | |||||||
2019 Term Loan B, 3.55%, (1M LIBOR + 1.75%), 04/09/26 (a) | 89,550 | 89,879 | |||||
Spin Holdco Inc. | |||||||
2017 Term Loan B, 5.25%, (3M LIBOR + 3.25%), 11/14/22 (a) | 98,237 | 97,272 | |||||
SRAM, LLC | |||||||
2018 Term Loan B, 4.45%, (1M LIBOR + 2.75%), 03/15/24 (a) | 108,467 | 109,145 | |||||
Staples, Inc. | |||||||
7 Year Term Loan, 6.69%, (1M LIBOR + 5.00%), 04/05/26 (a) | 124,375 | 122,090 | |||||
Stars Group Holdings B.V. (The) | |||||||
2018 USD Incremental Term Loan, 5.44%, (3M LIBOR + 3.50%), 06/29/25 (a) | 256,020 | 258,037 | |||||
Station Casinos LLC | |||||||
2016 Term Loan B, 4.30%, (1M LIBOR + 2.50%), 05/24/23 (a) | 290,973 | 292,076 | |||||
Tenneco, Inc. | |||||||
2018 Term Loan B, 4.70%, (1M LIBOR + 3.00%), 10/01/25 (a) | 106,620 | 104,065 | |||||
TI Group Automotive Systems, L.L.C. | |||||||
Term Loan, 4.30%, (1M LIBOR + 2.50%), 06/25/22 (a) | 159,212 | 159,411 | |||||
Trader Corporation | |||||||
2017 Term Loan B, 4.70%, (3M LIBOR + 3.00%), 09/28/23 (a) | 85,000 | 85,213 | |||||
TruGreen Limited Partnership | |||||||
2019 Term Loan, 5.55%, (1M LIBOR + 3.75%), 03/19/26 (a) | 59,550 | 60,071 | |||||
Univision Communications Inc. | |||||||
Term Loan C5, 4.55%, (1M LIBOR + 2.75%), 03/15/24 (a) | 122,313 | 120,603 | |||||
WASH Multifamily Laundry Systems, LLC | |||||||
2015 1st Lien Term Loan, 5.05%, (1M LIBOR + 3.25%), 05/15/22 (a) (c) | 25,508 | 24,934 | |||||
WideOpenWest Finance LLC | |||||||
2017 Term Loan B, 5.03%, (1M LIBOR + 3.25%), 08/19/23 (a) | 157,752 | 156,438 | |||||
William Morris Endeavor Entertainment, LLC | |||||||
2018 1st Lien Term Loan, 4.55%, (1M LIBOR + 2.75%), 05/11/25 (a) | 67,614 | 67,206 | |||||
2018 1st Lien Term Loan, 4.68%, (3M LIBOR + 2.75%), 05/11/25 (a) | 50,544 | 50,240 | |||||
WMG Acquisition Corp. | |||||||
2018 Term Loan F, 3.92%, (1M LIBOR + 2.13%), 11/01/23 (a) | 320,000 | 321,472 | |||||
Ziggo Secured Finance Partnership | |||||||
USD Term Loan E, 0.00%, (1M LIBOR + 2.50%), 05/25/24 (a) (b) | 100,000 | 100,263 | |||||
10,457,746 | |||||||
Information Technology 11.9% | |||||||
Almonde, Inc. | |||||||
1st Lien Term Loan, 5.70%, (6M LIBOR + 3.50%), 04/26/24 (a) | 163,496 | 162,134 | |||||
USD 1st Lien Term Loan, 5.70%, (3M LIBOR + 3.50%), 04/26/24 (a) | 25,238 | 25,027 | |||||
2nd Lien Term Loan, 9.45%, (6M LIBOR + 7.25%), 04/27/25 (a) | 50,000 | 48,768 | |||||
AppLovin Corporation | |||||||
2018 Term Loan B, 5.30%, (1M LIBOR + 3.50%), 07/13/26 (a) | 299,348 | 301,034 | |||||
Avast Software B.V. | |||||||
2018 USD Term Loan B, 4.19%, (3M LIBOR + 2.25%), 09/30/23 (a) | 37,452 | 37,761 | |||||
Banff Merger Sub Inc | |||||||
2018 USD Term Loan B, 6.05%, (1M LIBOR + 4.25%), 06/30/25 (a) | 125,552 | 124,002 | |||||
Blackhawk Network Holdings, Inc | |||||||
2018 1st Lien Term Loan, 4.80%, (1M LIBOR + 3.00%), 05/31/25 (a) | 113,275 | 113,157 | |||||
Brave Parent Holdings, Inc. | |||||||
1st Lien Term Loan, 5.93%, (3M LIBOR + 4.00%), 04/17/25 (a) | 69,272 | 67,483 | |||||
Cabot Microelectronics Corporation | |||||||
2019 Term Loan B1, 3.75%, (1M LIBOR + 2.00%), 11/14/25 (a) | 40,325 | 40,476 | |||||
CommScope, Inc. | |||||||
2019 Term Loan B, 5.05%, (1M LIBOR + 3.25%), 02/07/26 (a) | 97,057 | 97,572 | |||||
Cypress Intermediate Holdings III, Inc. | |||||||
2017 1st Lien Term Loan, 4.55%, (1M LIBOR + 2.75%), 03/30/24 (a) | 167,003 | 167,211 | |||||
DCert Buyer, Inc. | |||||||
2019 Term Loan B, 5.80%, (1M LIBOR + 4.00%), 07/31/26 (a) | 81,000 | 81,182 | |||||
Dell International LLC | |||||||
2019 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 09/11/25 (a) | 402,459 | 404,926 | |||||
Dynatrace LLC | |||||||
2018 1st Lien Term Loan, 4.55%, (1M LIBOR + 2.75%), 08/08/25 (a) | 48,151 | 48,407 | |||||
Entegris, Inc. | |||||||
2018 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 11/05/25 (a) | 44,550 | 44,717 | |||||
Eta Australia Holdings III Pty Ltd | |||||||
Term Loan, 5.80%, (1M LIBOR + 4.00%), 03/08/26 (a) | 59,700 | 60,148 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
16
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
EVO Payments International LLC | |||||||
2018 1st Lien Term Loan, 5.05%, (1M LIBOR + 3.25%), 12/22/23 (a) | 93,005 | 93,509 | |||||
Financial & Risk US Holdings, Inc. | |||||||
2018 USD Term Loan, 5.05%, (1M LIBOR + 3.25%), 09/12/25 (a) | 168,300 | 169,731 | |||||
Global Tel*Link Corporation | |||||||
2018 1st Lien Term Loan, 6.05%, (1M LIBOR + 4.25%), 11/29/25 (a) | 147,923 | 133,945 | |||||
GlobalLogic Holdings Inc. | |||||||
2018 Add On 1st Lien Term Loan, 5.05%, (1M LIBOR + 3.25%), 07/27/25 (a) | 106,325 | 106,856 | |||||
Go Daddy Operating Company, LLC | |||||||
Term Loan, 3.55%, (1M LIBOR + 1.75%), 02/15/24 (a) | 125,805 | 126,434 | |||||
II-VI Incorporated | |||||||
Term Loan B, 5.45%, (3M LIBOR + 3.50%), 06/28/26 (a) | 165,834 | 166,456 | |||||
Infor (US), Inc. | |||||||
Term Loan B6, 4.69%, (3M LIBOR + 2.75%), 02/07/22 (a) | 81,918 | 82,240 | |||||
IRI Holdings, Inc. | |||||||
2018 1st Lien Term Loan, 6.20%, (1M LIBOR + 4.50%), 11/06/25 (a) | 138,252 | 135,372 | |||||
MA FinanceCo., LLC | |||||||
USD Term Loan B3, 4.30%, (1M LIBOR + 2.50%), 04/19/24 (a) | 30,907 | 30,920 | |||||
McAfee, LLC | |||||||
2018 USD Term Loan B, 5.45%, (3M LIBOR + 3.75%), 09/30/24 (a) | 195,044 | 195,775 | |||||
MH Sub I, LLC | |||||||
2017 1st Lien Term Loan, 5.55%, (1M LIBOR + 3.75%), 08/09/24 (a) | 151,245 | 151,413 | |||||
MKS Instruments, Inc. | |||||||
2019 Term Loan B6, 3.55%, (1M LIBOR + 1.75%), 02/01/26 (a) | 99,980 | 100,280 | |||||
MLN US HoldCo LLC | |||||||
2018 1st Lien Term Loan, 6.19%, (1M LIBOR + 4.50%), 07/13/25 (a) | 128,936 | 121,522 | |||||
NaviHealth, Inc. | |||||||
2018 Term Loan B, 6.74%, (1M LIBOR + 5.00%), 08/01/25 (a) | 89,100 | 88,209 | |||||
NCR Corporation | |||||||
2019 Term Loan, 4.30%, (1M LIBOR + 2.50%), 04/12/25 (a) | 113,945 | 115,085 | |||||
NeuStar, Inc. | |||||||
2018 Term Loan B4, 5.30%, (1M LIBOR + 3.50%), 08/08/24 (a) | 196,482 | 180,715 | |||||
ON Semiconductor Corporation | |||||||
2019 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 09/13/26 (a) | 224,437 | 225,869 | |||||
PowerSchool | |||||||
2018 Term Loan B, 4.89%, (3M LIBOR + 3.00%), 06/15/25 (a) | 123,750 | 122,860 | |||||
PSAV Holdings LLC | |||||||
2018 1st Lien Term Loan, 4.94%, (1M LIBOR + 3.25%), 02/23/25 (a) | 52,226 | 51,965 | |||||
2018 1st Lien Term Loan, 5.21%, (3M LIBOR + 3.25%), 02/23/25 (a) | 2,662 | 2,649 | |||||
2018 1st Lien Term Loan, 5.23%, (3M LIBOR + 3.25%), 02/23/25 (a) | 52,472 | 52,210 | |||||
Rackspace Hosting, Inc. | |||||||
2017 Incremental 1st Lien Term Loan, 4.90%, (3M LIBOR + 3.00%), 11/03/23 (a) | 85,503 | 82,855 | |||||
Radiate Holdco, LLC | |||||||
1st Lien Term Loan, 4.80%, (1M LIBOR + 3.00%), 12/09/23 (a) | 201,826 | 202,431 | |||||
Rocket Software, Inc. | |||||||
2018 Term Loan, 6.05%, (1M LIBOR + 4.25%), 11/20/25 (a) | 79,500 | 77,066 | |||||
Seattle Spinco, Inc. | |||||||
USD Term Loan B3, 4.30%, (1M LIBOR + 2.50%), 04/19/24 (a) | 208,725 | 208,813 | |||||
Severin Acquisition, LLC | |||||||
2018 Term Loan B, 0.00%, (3M LIBOR + 3.00%), 06/15/25 (a) (b) | 75,000 | 74,461 | |||||
Sirius Computer Solutions, Inc. | |||||||
2019 Term Loan B, 6.05%, (1M LIBOR + 4.25%), 05/22/26 (a) | 129,350 | 129,847 | |||||
Sophia, L.P. | |||||||
2017 Term Loan B, 5.19%, (3M LIBOR + 3.25%), 09/30/22 (a) | 174,184 | 174,496 | |||||
SS&C Technologies Holdings Europe S.A.R.L. | |||||||
2018 Term Loan B4, 4.05%, (1M LIBOR + 2.25%), 02/27/25 (a) | 81,519 | 82,044 | |||||
SS&C Technologies Inc. | |||||||
2018 Term Loan B3, 4.05%, (1M LIBOR + 2.25%), 02/27/25 (a) | 117,573 | 118,330 | |||||
SurveyMonkey Inc. | |||||||
2018 Term Loan B, 5.38%, (3M LIBOR + 3.75%), 10/10/25 (a) (c) | 72,964 | 72,964 | |||||
TriTech Software Systems | |||||||
2018 Term Loan B, 5.55%, (1M LIBOR + 3.75%), 08/16/25 (a) | 89,325 | 84,763 | |||||
Verifone Systems, Inc. | |||||||
2018 1st Lien Term Loan, 5.90%, (3M LIBOR + 4.00%), 08/09/25 (a) | 203,074 | 199,992 | |||||
Vertafore, Inc. | |||||||
2018 1st Lien Term Loan, 5.05%, (1M LIBOR + 3.25%), 06/04/25 (a) | 55,688 | 54,979 | |||||
Western Digital Corporation | |||||||
2018 Term Loan B4, 3.45%, (3M LIBOR + 1.75%), 04/29/23 (a) | 222,688 | 223,569 | |||||
WEX Inc. | |||||||
Term Loan B3, 4.05%, (1M LIBOR + 2.25%), 05/17/26 (a) | 297,488 | 299,100 | |||||
6,363,730 | |||||||
Financials 11.3% | |||||||
Acrisure, LLC | |||||||
2017 Term Loan B, 6.19%, (3M LIBOR + 4.25%), 11/22/23 (a) | 240,877 | 241,178 | |||||
Advisor Group, Inc. | |||||||
2019 Term Loan B, 6.80%, (1M LIBOR + 5.00%), 07/31/26 (a) | 100,000 | 99,063 | |||||
AlixPartners, LLP | |||||||
2017 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 03/28/24 (a) | 101,087 | 101,562 | |||||
Alliant Holdings Intermediate, LLC | |||||||
2018 Term Loan B, 0.00%, (1M LIBOR + 3.00%), 05/07/25 (a) (b) | 80,000 | 79,955 | |||||
2018 Term Loan B, 4.80%, (1M LIBOR + 3.00%), 05/07/25 (a) | 118,351 | 118,285 | |||||
Allied Universal Holdco LLC | |||||||
2019 Term Loan B, 6.05%, (1M LIBOR + 4.25%), 06/18/26 (a) | 95,541 | 96,018 | |||||
AmWINS Group, Inc. | |||||||
2017 Term Loan B, 4.46%, (1M LIBOR + 2.75%), 01/19/24 (a) | 30,510 | 30,724 | |||||
2017 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 01/19/24 (a) | 127,816 | 128,711 | |||||
Aretec Group, Inc. | |||||||
2018 Term Loan, 6.05%, (1M LIBOR + 4.25%), 08/15/25 (a) | 122,959 | 121,192 | |||||
AssuredPartners, Inc. | |||||||
2017 1st Lien Add-On Term Loan, 5.30%, (1M LIBOR + 3.50%), 10/22/24 (a) | 221,171 | 221,668 | |||||
Asurion LLC | |||||||
2017 Term Loan B4, 4.80%, (1M LIBOR + 3.00%), 08/04/22 (a) | 160,786 | 161,624 | |||||
BCP Renaissance Parent LLC | |||||||
2017 Term Loan B, 5.35%, (3M LIBOR + 3.50%), 09/20/24 (a) | 57,854 | 51,128 | |||||
Belron Finance US LLC | |||||||
2018 Term Loan B, 4.15%, (3M LIBOR + 2.25%), 11/19/25 (a) | 94,288 | 94,641 | |||||
Blackstone CQP Holdco LP | |||||||
Term Loan B, 5.41%, (3M LIBOR + 3.50%), 05/29/24 (a) | 79,201 | 79,511 | |||||
Canyon Valor Companies, Inc. | |||||||
USD 2017 Term Loan B1, 4.55%, (1M LIBOR + 2.75%), 06/30/23 (a) | 122,691 | 122,844 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
17
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Crown Finance US, Inc. | |||||||
Term Loan, 4.05%, (1M LIBOR + 2.25%), 02/05/25 (a) | 246,411 | 246,074 | |||||
Deerfield Dakota Holding, LLC | |||||||
2018 Term Loan B, 5.05%, (1M LIBOR + 3.25%), 12/04/24 (a) | 128,321 | 127,770 | |||||
Edelman Financial Center, LLC | |||||||
2018 1st Lien Term Loan, 0.00%, (1M LIBOR + 3.25%), 06/26/25 (a) (b) | 100,000 | 100,479 | |||||
2018 1st Lien Term Loan, 5.04%, (1M LIBOR + 3.25%), 06/26/25 (a) | 191,323 | 192,240 | |||||
Encapsys, LLC | |||||||
1st Lien Term Loan, 5.30%, (1M LIBOR + 3.50%), 10/27/24 (a) | 108,028 | 108,636 | |||||
Garrett LX III S.a r.l. | |||||||
2018 USD Term Loan B, 4.45%, (3M LIBOR + 2.50%), 09/22/25 (a) | 123,810 | 123,269 | |||||
Hub International Limited | |||||||
2018 Term Loan B, 4.69%, (3M LIBOR + 2.75%), 04/25/25 (a) | 142,902 | 142,713 | |||||
INEOS Enterprises Holdings US Finco LLC | |||||||
USD Term Loan B, 5.91%, (3M LIBOR + 4.00%), 07/29/26 (a) | 136,651 | 136,935 | |||||
Ineos US Finance LLC | |||||||
2017 USD Term Loan B, 3.80%, (1M LIBOR + 2.00%), 03/31/24 (a) | 316,509 | 316,294 | |||||
ION Trading Technologies S.a.r.l. | |||||||
USD Incremental Term Loan B, 6.06%, (3M LIBOR + 4.00%), 11/21/24 (a) | 125,578 | 120,241 | |||||
iStar, Inc. | |||||||
2016 Term Loan B, 4.45%, (1M LIBOR + 2.75%), 06/30/20 (a) | 159,517 | 160,315 | |||||
2016 Term Loan B, 4.51%, (1M LIBOR + 2.75%), 06/30/20 (a) | 88,096 | 88,537 | |||||
Jane Street Group, LLC | |||||||
2018 Term Loan B, 4.80%, (1M LIBOR + 3.00%), 08/25/22 (a) | 300,783 | 300,031 | |||||
Kestrel Bidco Inc. | |||||||
Term Loan B, 0.00%, (1M LIBOR + 3.00%), 07/31/26 (a) (b) | 60,000 | 60,482 | |||||
LPL Holdings, Inc. | |||||||
2019 Term Loan B1, 3.54%, (3M LIBOR + 1.75%), 11/07/26 (a) | 121,876 | 122,333 | |||||
NAB Holdings LLC | |||||||
Term Loan, 4.94%, (3M LIBOR + 3.00%), 01/15/25 (a) | 98,895 | 98,895 | |||||
NFP Corp. | |||||||
Term Loan B, 4.80%, (1M LIBOR + 3.00%), 01/06/24 (a) | 187,366 | 186,430 | |||||
Nuvei Technologies Corp. | |||||||
USD Term Loan, 6.80%, (3M LIBOR + 5.00%), 07/22/20 (a) | 63,186 | 63,502 | |||||
PMHC II, Inc. | |||||||
2018 1st Lien Term Loan, 5.44%, (3M LIBOR + 3.50%), 03/20/25 (a) | 60,620 | 53,648 | |||||
Sedgwick Claims Management Services, Inc. | |||||||
2018 Term Loan B, 5.05%, (1M LIBOR + 3.25%), 11/06/25 (a) | 207,900 | 207,836 | |||||
SolarWinds Holdings, Inc. | |||||||
2018 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 02/06/24 (a) | 196,865 | 198,007 | |||||
Solera, LLC | |||||||
USD Term Loan B, 4.55%, (1M LIBOR + 2.75%), 03/03/23 (a) | 167,391 | 167,549 | |||||
Telenet Financing USD LLC | |||||||
USD Term Loan AN, 3.99%, (1M LIBOR + 2.25%), 08/31/26 (a) | 320,000 | 321,533 | |||||
TKC Holdings, Inc. | |||||||
2017 1st Lien Term Loan, 5.55%, (1M LIBOR + 3.75%), 02/08/23 (a) | 95,598 | 88,216 | |||||
Trans Union, LLC | |||||||
2019 Term Loan B5, 3.55%, (1M LIBOR + 1.75%), 11/13/26 (a) | 135,459 | 135,921 | |||||
Travelport Finance (Luxembourg) S.a.r.l. | |||||||
2019 Term Loan, 6.94%, (3M LIBOR + 5.00%), 03/18/26 (a) | 89,775 | 83,670 | |||||
UFC Holdings, LLC | |||||||
2019 Term Loan, 5.50%, (1M LIBOR + 3.25%), 04/25/26 (a) | 127,137 | 127,878 | |||||
VFH Parent LLC | |||||||
2019 Term Loan B, 5.20%, (1M LIBOR + 3.50%), 03/02/26 (a) | 141,329 | 141,753 | |||||
Victory Capital Holdings, Inc. | |||||||
2019 Term Loan B, 5.35%, (3M LIBOR + 3.25%), 07/01/26 (a) | 77,891 | 78,378 | |||||
6,047,669 | |||||||
Industrials 11.0% | |||||||
1199169 B.C. Unlimited Liability Company | |||||||
2019 Term Loan B2, 5.94%, (3M LIBOR + 4.00%), 01/25/26 (a) | 24,066 | 24,212 | |||||
Advanced Disposal Services Inc. | |||||||
Term Loan B3, 0.00%, (3M LIBOR + 2.25%), 11/10/23 (a) (b) | 130,000 | 130,390 | |||||
Term Loan B3, 3.85%, (3M LIBOR + 2.25%), 11/10/23 (a) | 173,577 | 174,098 | |||||
AI Mistral Holdco Limited | |||||||
2017 Term Loan B, 4.80%, (1M LIBOR + 3.00%), 01/26/24 (a) | 113,253 | 96,124 | |||||
Allegiant Travel Company | |||||||
Term Loan B, 6.39%, (3M LIBOR + 4.50%), 01/29/24 (a) | 89,325 | 89,883 | |||||
Altran Technologies | |||||||
2018 USD Term Loan B, 4.26%, (1M LIBOR + 2.50%), 01/31/25 (a) | 59,098 | 59,098 | |||||
2018 USD Term Loan B, 4.44%, (3M LIBOR + 2.50%), 01/31/25 (a) | 150 | 150 | |||||
American Airlines, Inc. | |||||||
Repriced Term Loan B, 3.80%, (3M LIBOR + 2.00%), 04/28/23 (a) | 232,602 | 233,051 | |||||
APi Group DE, Inc. | |||||||
Term Loan B, 4.30%, (1M LIBOR + 2.50%), 09/25/26 (a) | 15,000 | 15,106 | |||||
Avolon TLB Borrower 1 (US) LLC | |||||||
Term Loan B3, 3.51%, (1M LIBOR + 1.75%), 01/15/25 (a) | 107,519 | 108,146 | |||||
Beacon Roofing Supply, Inc. | |||||||
2017 Term Loan B, 4.05%, (1M LIBOR + 2.25%), 01/02/25 (a) | 59,545 | 59,769 | |||||
Brand Energy & Infrastructure Services, Inc. | |||||||
Term Loan, 6.29%, (3M LIBOR + 4.25%), 06/16/24 (a) | 50,428 | 50,239 | |||||
2017 Term Loan, 6.18%, (3M LIBOR + 4.25%), 06/17/24 (a) | 24,934 | 24,841 | |||||
Term Loan, 6.18%, (3M LIBOR + 4.25%), 06/17/24 (a) | 31,947 | 31,827 | |||||
BrightView Landscapes, LLC | |||||||
2018 1st Lien Term Loan B, 4.31%, (1M LIBOR + 2.50%), 08/09/25 (a) | 56,513 | 56,866 | |||||
2018 1st Lien Term Loan B, 4.25%, (3M LIBOR + 2.50%), 08/15/25 (a) | 68,582 | 69,011 | |||||
Brookfield WEC Holdings Inc. | |||||||
2018 1st Lien Term Loan, 5.30%, (1M LIBOR + 3.50%), 07/26/25 (a) | 222,750 | 224,107 | |||||
Builders FirstSource, Inc. | |||||||
2017 Term Loan B, 4.80%, (1M LIBOR + 3.00%), 02/29/24 (a) | 11,290 | 11,312 | |||||
Camelot U.S. Acquisition 1 Co. | |||||||
Term Loan B, 5.05%, (1M LIBOR + 3.25%), 10/31/26 (a) | 19,853 | 19,962 | |||||
Core & Main LP | |||||||
2017 Term Loan B, 4.44%, (1M LIBOR + 2.75%), 08/01/24 (a) | 27,163 | 27,152 | |||||
Cortes NP Acquisition Corporation | |||||||
2017 Term Loan B, 5.93%, (3M LIBOR + 4.00%), 11/30/23 (a) | 250,000 | 249,152 | |||||
DG Investment Intermediate Holdings 2, Inc. | |||||||
2018 1st Lien Term Loan, 4.80%, (1M LIBOR + 3.00%), 01/31/25 (a) | 98,291 | 97,800 | |||||
Dynasty Acquisition Co., Inc. | |||||||
2019 Term Loan B1, 5.94%, (3M LIBOR + 4.00%), 01/25/26 (a) | 44,762 | 45,035 | |||||
Electrical Components International, Inc. | |||||||
2018 1st Lien Term Loan, 6.19%, (3M LIBOR + 4.25%), 06/22/25 (a) (c) | 81,411 | 74,898 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
18
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Element Materials Technology Group US Holdings Inc. | |||||||
2017 USD Term Loan B, 5.45%, (3M LIBOR + 3.50%), 06/28/24 - 06/29/24 (a) | 78,794 | 78,203 | |||||
Engineered Machinery Holdings, Inc. | |||||||
USD 1st Lien Term Loan, 4.94%, (3M LIBOR + 3.00%), 07/25/24 (a) | 103,867 | 102,569 | |||||
EWT Holdings III Corp. | |||||||
Term Loan, 4.80%, (1M LIBOR + 3.00%), 12/13/24 (a) | 123,712 | 124,176 | |||||
Filtration Group Corporation | |||||||
2018 1st Lien Term Loan, 4.80%, (1M LIBOR + 3.00%), 03/27/25 (a) | 60,188 | 60,372 | |||||
Gardner Denver, Inc. | |||||||
2017 USD Term Loan B, 4.55%, (1M LIBOR + 2.75%), 07/30/24 (a) | 123,285 | 124,001 | |||||
Gates Global LLC | |||||||
2017 USD Repriced Term Loan B, 4.55%, (1M LIBOR + 2.75%), 04/01/24 (a) | 295,705 | 295,705 | |||||
Genesee & Wyoming Inc. | |||||||
Term Loan, 0.00%, (3M LIBOR + 2.00%), 11/05/26 (a) (b) | 54,000 | 54,463 | |||||
GFL Environmental Inc. | |||||||
2018 USD Term Loan B, 4.80%, (1M LIBOR + 3.00%), 05/11/25 (a) | 167,496 | 167,615 | |||||
Hamilton Holdco, LLC | |||||||
2018 Term Loan B, 3.95%, (3M LIBOR + 2.00%), 06/01/25 (a) | 327,787 | 328,607 | |||||
Harbor Freight Tools USA, Inc. | |||||||
2018 Term Loan B, 4.30%, (1M LIBOR + 2.50%), 08/16/23 (a) | 103,396 | 102,916 | |||||
Hillman Group Inc. (The) | |||||||
2018 Term Loan B, 0.00%, (1M LIBOR + 4.00%), 05/16/25 (a) (b) | 80,000 | 78,560 | |||||
2018 Term Loan B, 5.80%, (1M LIBOR + 4.00%), 05/16/25 (a) | 118,200 | 116,072 | |||||
IBC Capital Limited | |||||||
2018 1st Lien Term Loan, 5.65%, (3M LIBOR + 3.75%), 09/11/23 (a) | 106,339 | 106,206 | |||||
Janus International Group, LLC | |||||||
2018 1st Lien Term Loan, 5.55%, (1M LIBOR + 3.75%), 02/07/25 (a) | 91,509 | 90,594 | |||||
L&W, Inc. | |||||||
2018 Term Loan B, 8.17%, (1M LIBOR + 6.38%), 05/18/25 (a) (c) | 98,500 | 97,515 | |||||
MX Holdings US, Inc. | |||||||
2018 USD Term Loan B1C, 4.55%, (1M LIBOR + 2.75%), 06/18/25 (a) | 73,874 | 74,128 | |||||
Navistar International Corporation | |||||||
2017 1st Lien Term Loan B, 5.24%, (1M LIBOR + 3.50%), 11/01/24 (a) | 229,342 | 228,385 | |||||
Panther BF Aggregator 2 LP | |||||||
USD Term Loan B, 5.30%, (3M LIBOR + 3.50%), 03/13/26 (a) | 124,510 | 124,744 | |||||
Pelican Products, Inc. | |||||||
2018 1st Lien Term Loan, 5.24%, (1M LIBOR + 3.50%), 04/18/25 (a) (c) | 98,500 | 90,128 | |||||
PODS, LLC | |||||||
2018 1st Lien Term Loan, 4.49%, (1M LIBOR + 2.75%), 11/21/24 (a) | 128,089 | 128,609 | |||||
Rexnord LLC | |||||||
2019 Term Loan B, 3.54%, (1M LIBOR + 1.75%), 08/21/24 (a) | 120,690 | 121,188 | |||||
Robertshaw US Holding Corp | |||||||
2018 1st Lien Term Loan, 5.06%, (1M LIBOR + 3.25%), 02/14/25 (a) (c) | 98,250 | 88,916 | |||||
Sabre Industries, Inc. | |||||||
2019 Term Loan B, 6.04%, (1M LIBOR + 4.25%), 04/09/26 (a) | 94,525 | 95,057 | |||||
Spectrum Holdings III Corp. | |||||||
1st Lien Term Loan, 5.05%, (1M LIBOR + 3.25%), 01/26/25 (a) | 89,408 | 82,478 | |||||
Tempo Acquisition LLC | |||||||
Term Loan, 4.55%, (1M LIBOR + 2.75%), 04/20/24 (a) | 192,780 | 193,785 | |||||
Terrapure Environmental Ltd. | |||||||
1st Lien Term Loan, 0.00%, (3M LIBOR + 5.00%), 11/25/26 (a) (b) (c) | 36,000 | 36,000 | |||||
TransDigm, Inc. | |||||||
2018 Term Loan G, 4.30%, (1M LIBOR + 2.50%), 08/22/24 (a) | 196,491 | 196,955 | |||||
2018 Term Loan E, 4.30%, (1M LIBOR + 2.50%), 05/14/25 (a) | 118,195 | 118,451 | |||||
USI, Inc. | |||||||
Term Loan, 4.94%, (3M LIBOR + 3.00%), 05/16/24 (a) | 97,743 | 97,645 | |||||
USIC Holdings, Inc. | |||||||
2017 Term Loan B, 5.05%, (1M LIBOR + 3.25%), 12/09/23 (a) | 88,409 | 88,022 | |||||
VC GB Holdings, Inc. | |||||||
2017 1st Lien Term Loan, 4.80%, (1M LIBOR + 3.00%), 02/28/24 (a) | 59,125 | 58,534 | |||||
Ventia Deco LLC | |||||||
2016 Term Loan B, 5.44%, (3M LIBOR + 3.50%), 05/21/22 (a) | 47,263 | 47,440 | |||||
XPO Logistics, Inc. | |||||||
2019 Term Loan B1, 4.24%, (1M LIBOR + 2.50%), 02/24/25 (a) | 95,000 | 95,582 | |||||
5,865,850 | |||||||
Health Care 9.6% | |||||||
Accelerated Health Systems, LLC | |||||||
Term Loan B, 5.24%, (1M LIBOR + 3.50%), 11/02/25 (a) | 109,348 | 109,553 | |||||
ADMI Corp. | |||||||
2018 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 04/06/24 (a) | 148,271 | 148,364 | |||||
Agiliti Health, Inc | |||||||
Term Loan, 4.75%, (1M LIBOR + 3.00%), 10/18/25 (a) | 62,528 | 62,840 | |||||
Air Methods Corporation | |||||||
2017 Term Loan B, 5.44%, (3M LIBOR + 3.50%), 04/12/24 (a) | 34,700 | 30,275 | |||||
Aldevron, L.L.C. | |||||||
2019 Term Loan B, 6.19%, (3M LIBOR + 4.25%), 09/20/26 (a) | 100,000 | 101,000 | |||||
Alliance Healthcare Services, Inc. | |||||||
2017 Term Loan B, 6.30%, (1M LIBOR + 4.50%), 10/20/23 (a) (c) | 124,277 | 114,335 | |||||
Alphabet Holding Company, Inc. | |||||||
2017 1st Lien Term Loan, 5.30%, (1M LIBOR + 3.50%), 08/15/24 (a) | 64,018 | 61,617 | |||||
Amneal Pharmaceuticals LLC | |||||||
2018 Term Loan B, 5.31%, (1M LIBOR + 3.50%), 03/26/25 (a) | 90,911 | 81,411 | |||||
Athenahealth, Inc. | |||||||
2019 Term Loan B, 6.40%, (3M LIBOR + 4.50%), 01/25/26 (a) | 89,325 | 89,660 | |||||
ATI Holdings Acquisition, Inc. | |||||||
Term Loan, 5.30%, (1M LIBOR + 3.50%), 05/10/23 (a) | 107,685 | 107,057 | |||||
Auris Luxembourg III S.a.r.l. | |||||||
2019 USD Term Loan B2, 5.55%, (1M LIBOR + 3.75%), 07/23/25 (a) | 69,276 | 69,565 | |||||
Change Healthcare Holdings LLC | |||||||
2017 Term Loan B, 4.30%, (1M LIBOR + 2.50%), 02/02/24 - 02/03/24 (a) | 178,529 | 179,004 | |||||
CHG Healthcare Services, Inc | |||||||
2017 1st Lien Term Loan B, 4.80%, (1M LIBOR + 3.00%), 06/07/23 (a) | 167,543 | 168,538 | |||||
Da Vinci Purchaser Corp. | |||||||
2019 Term Loan, 0.00%, (3M LIBOR + 4.00%), 12/10/26 (a) (b) | 113,000 | 113,000 | |||||
DaVita, Inc. | |||||||
2019 Term Loan B, 4.05%, (1M LIBOR + 2.25%), 07/30/26 (a) | 89,775 | 90,400 | |||||
Endo Luxembourg Finance Company I S.a r.l. | |||||||
2017 Term Loan B, 6.06%, (1M LIBOR + 4.25%), 04/12/24 (a) | 152,403 | 145,545 | |||||
Envision Healthcare Corporation | |||||||
2018 1st Lien Term Loan, 0.00%, (1M LIBOR + 3.75%), 09/27/25 (a) (b) | 90,000 | 76,545 | |||||
2018 1st Lien Term Loan, 5.55%, (1M LIBOR + 3.75%), 09/27/25 (a) | 13,279 | 11,294 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
19
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
ExamWorks Group, Inc. | |||||||
Term Loan, 5.05%, (1M LIBOR + 3.25%), 07/27/23 (a) | 167,423 | 168,312 | |||||
Gentiva Health Services, Inc. | |||||||
2018 1st Lien Term Loan, 5.56%, (1M LIBOR + 3.75%), 06/20/25 (a) | 139,663 | 140,274 | |||||
GHX Ultimate Parent Corporation | |||||||
2017 1st Lien Term Loan, 5.21%, (3M LIBOR + 3.25%), 06/24/24 (a) | 127,708 | 127,389 | |||||
Global Medical Response, Inc. | |||||||
2018 Term Loan B1, 5.04%, (1M LIBOR + 3.25%), 04/28/22 (a) | 102,511 | 100,188 | |||||
Grifols Worldwide Operations USA, Inc. | |||||||
USD 2019 Term Loan B, 3.74%, (1M LIBOR + 2.00%), 11/15/27 (a) | 117,000 | 117,914 | |||||
Jaguar Holding Company II | |||||||
Term Loan, 4.30%, (1M LIBOR + 2.50%), 08/18/22 (a) | 126,592 | 127,182 | |||||
Kindred Healthcare LLC | |||||||
2018 1st Lien Term Loan, 6.79%, (1M LIBOR + 5.00%), 06/21/25 (a) | 93,813 | 94,282 | |||||
MPH Acquisition Holdings LLC | |||||||
2016 Term Loan B, 4.69%, (3M LIBOR + 2.75%), 06/07/23 (a) | 94,916 | 93,441 | |||||
National Mentor Holdings, Inc. | |||||||
2019 Term Loan B, 5.80%, (1M LIBOR + 4.00%), 03/09/26 (a) | 114,838 | 115,642 | |||||
2019 Term Loan C, 5.80%, (1M LIBOR + 4.00%), 03/09/26 (a) | 7,187 | 7,237 | |||||
Ortho-Clinical Diagnostics SA | |||||||
2018 Term Loan B, 0.00%, (3M LIBOR + 3.25%), 05/31/25 (a) (b) | 70,000 | 69,110 | |||||
2018 Term Loan B, 5.31%, (3M LIBOR + 3.25%), 06/01/25 (a) | 127,445 | 125,825 | |||||
Parexel International Corporation | |||||||
Term Loan B, 4.55%, (3M LIBOR + 2.75%), 08/06/24 (a) | 87,703 | 85,917 | |||||
Phoenix Guarantor Inc | |||||||
Term Loan B, 6.21%, (1M LIBOR + 4.50%), 02/12/26 (a) | 136,879 | 137,496 | |||||
Prestige Brands, Inc. | |||||||
Term Loan B4, 3.80%, (1M LIBOR + 2.00%), 01/20/24 (a) | 120,124 | 120,815 | |||||
Radiology Partners Holdings, LLC | |||||||
2018 1st Lien Term Loan B, 6.62%, (1Y LIBOR + 4.75%), 06/28/25 (a) | 62,670 | 62,775 | |||||
2018 1st Lien Term Loan B, 6.71%, (6M LIBOR + 4.75%), 06/28/25 (a) | 53,733 | 53,823 | |||||
RadNet, Inc. | |||||||
Reprice Term Loan, 5.51%, (3M LIBOR + 3.50%), 06/30/23 (a) | 68,215 | 68,528 | |||||
RegionalCare Hospital Partners Holdings, Inc. | |||||||
2018 Term Loan B, 6.30%, (1M LIBOR + 4.50%), 11/09/25 (a) | 165,747 | 166,949 | |||||
Select Medical Corporation | |||||||
2017 Term Loan B, 4.58%, (3M LIBOR + 2.50%), 03/06/25 (a) | 164,786 | 164,992 | |||||
Sound Inpatient Physicians | |||||||
2018 1st Lien Term Loan, 4.55%, (1M LIBOR + 2.75%), 06/19/25 (a) | 135,416 | 136,093 | |||||
Surgery Center Holdings, Inc. | |||||||
2017 Term Loan B, 5.05%, (1M LIBOR + 3.25%), 06/18/24 (a) | 77,468 | 77,016 | |||||
Team Health Holdings, Inc. | |||||||
1st Lien Term Loan, 4.55%, (1M LIBOR + 2.75%), 01/12/24 (a) | 97,125 | 78,337 | |||||
Tivity Health Inc | |||||||
Term Loan A, 6.05%, (1M LIBOR + 4.25%), 03/08/24 (a) | 24,750 | 24,750 | |||||
Term Loan B, 7.05%, (1M LIBOR + 5.25%), 03/08/26 (a) | 28,419 | 28,419 | |||||
U.S. Anesthesia Partners, Inc. | |||||||
Term Loan, 4.80%, (1M LIBOR + 3.00%), 06/16/24 (a) | 102,582 | 102,197 | |||||
U.S. Renal Care, Inc. | |||||||
2019 Term Loan B, 0.00%, (1M LIBOR + 5.00%), 06/11/26 (a) (b) | 70,000 | 69,300 | |||||
2019 Term Loan B, 6.81%, (1M LIBOR + 5.00%), 06/12/26 (a) | 59,850 | 59,252 | |||||
Upstream Rehabilition, Inc. | |||||||
2019 Term Loan, 6.30%, (1M LIBOR + 4.50%), 10/21/26 (a) (c) | 60,000 | 60,300 | |||||
Valeant Pharmaceuticals International, Inc. | |||||||
2018 Term Loan B, 4.74%, (1M LIBOR + 3.00%), 05/19/25 (a) | 219,238 | 220,334 | |||||
Verscend Holding Corp. | |||||||
2018 Term Loan B, 6.30%, (1M LIBOR + 4.50%), 08/08/25 (a) | 187,625 | 188,719 | |||||
Vizient, Inc. | |||||||
2019 Term Loan B5, 4.55%, (1M LIBOR + 2.75%), 04/17/26 (a) | 39,700 | 39,812 | |||||
Wellpath Holdings, Inc. | |||||||
2018 1st Lien Term Loan, 7.30%, (1M LIBOR + 5.50%), 09/25/25 (a) (c) | 61,750 | 60,206 | |||||
2018 1st Lien Term Loan, 7.43%, (3M LIBOR + 5.50%), 09/25/25 (a) (c) | 37,250 | 36,319 | |||||
Zelis Healthcare Corporation | |||||||
Term Loan B, 6.55%, (1M LIBOR + 4.75%), 09/26/26 (a) | 60,000 | 60,250 | |||||
5,149,398 | |||||||
Communication Services 9.5% | |||||||
Altice Financing SA | |||||||
2017 USD Term Loan B, 4.49%, (1M LIBOR + 2.75%), 07/31/25 (a) | 103,671 | 103,256 | |||||
Altice France S.A. | |||||||
2018 Term Loan B13, 5.74%, (1M LIBOR + 4.00%), 07/13/26 (a) | 227,700 | 227,889 | |||||
AMC Entertainment Holdings, Inc. | |||||||
2019 Term Loan B, 4.80%, (1M LIBOR + 3.00%), 04/22/26 (a) | 167,016 | 168,179 | |||||
Ancestry.com Operations Inc. | |||||||
2019 Extended Term Loan B, 5.96%, (1M LIBOR + 4.25%), 08/15/26 (a) | 101,892 | 99,918 | |||||
CenturyLink, Inc. | |||||||
2017 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 01/15/25 (a) | 217,460 | 218,221 | |||||
Charter Communications Operating, LLC | |||||||
2019 Term Loan B1, 3.55%, (1M LIBOR + 1.75%), 04/30/25 (a) | 310,330 | 312,319 | |||||
Cincinnati Bell, Inc. | |||||||
Term Loan, 5.05%, (1M LIBOR + 3.25%), 10/02/24 (a) | 98,750 | 99,183 | |||||
Cogeco Communications (USA) II L.P. | |||||||
2017 1st Lien Term Loan, 4.05%, (1M LIBOR + 2.25%), 08/11/24 (a) | 321,558 | 322,442 | |||||
Connect Finco SARL | |||||||
Term Loan B, 0.00%, (3M LIBOR + 4.50%), 09/23/26 (a) (b) | 45,000 | 45,183 | |||||
Consolidated Communications, Inc. | |||||||
2016 Term Loan B, 4.80%, (1M LIBOR + 3.00%), 09/29/23 (a) | 172,282 | 162,734 | |||||
CSC Holdings, LLC | |||||||
2019 Term Loan B5, 4.24%, (1M LIBOR + 2.50%), 04/15/27 (a) | 247,500 | 248,324 | |||||
Diamond Sports Group LLC | |||||||
Term Loan, 5.03%, (1M LIBOR + 3.25%), 08/24/26 (a) | 54,863 | 54,748 | |||||
Entercom Media Corp. | |||||||
2019 Term Loan, 4.30%, (3M LIBOR + 2.50%), 11/18/24 (a) | 124,192 | 124,968 | |||||
GoodRx, Inc. | |||||||
1st Lien Term Loan, 4.55%, (3M LIBOR + 2.75%), 10/10/25 (a) | 11,814 | 11,868 | |||||
1st Lien Term Loan, 4.55%, (1M LIBOR + 2.75%), 10/10/25 (a) | 41,238 | 41,427 | |||||
Gray Television, Inc. | |||||||
2018 Term Loan C, 4.20%, (1M LIBOR + 2.50%), 10/30/25 (a) | 277,460 | 279,022 | |||||
Hargray Communications Group, Inc. | |||||||
2017 Term Loan B, 4.80%, (1M LIBOR + 3.00%), 03/23/24 (a) | 109,160 | 109,433 | |||||
iHeartCommunications, Inc. | |||||||
Exit Term Loan, 5.69%, (1M LIBOR + 4.00%), 05/04/26 (a) | 12,733 | 12,823 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
20
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Intelsat Jackson Holdings S.A. | |||||||
2017 Term Loan B3, 5.68%, (6M LIBOR + 3.75%), 11/27/23 (a) | 105,000 | 105,093 | |||||
Iridium Satellite LLC | |||||||
Term Loan, 5.54%, (1M LIBOR + 3.75%), 10/08/27 (a) | 12,000 | 12,143 | |||||
Level 3 Financing Inc. | |||||||
2019 Term Loan B, 3.55%, (1M LIBOR + 1.75%), 03/01/27 (a) | 229,383 | 230,101 | |||||
Maxar Technologies Ltd. | |||||||
Term Loan B, 4.85%, (3M LIBOR + 2.75%), 07/07/24 (a) | 142,148 | 135,751 | |||||
MTN Infrastructure TopCo Inc | |||||||
1st Lien Term Loan B, 4.80%, (1M LIBOR + 3.00%), 10/27/24 (a) | 153,330 | 153,176 | |||||
1st Lien Term Loan B, 0.00%, (1M LIBOR + 3.00%), 11/17/24 (a) (b) | 50,000 | 49,950 | |||||
NASCAR Holdings, Inc | |||||||
Term Loan B, 4.49%, (3M LIBOR + 2.75%), 07/26/26 (a) | 7,093 | 7,167 | |||||
Nexstar Broadcasting, Inc. | |||||||
2019 Term Loan B4, 4.45%, (1M LIBOR + 2.75%), 07/15/26 (a) | 191,741 | 192,635 | |||||
SBA Senior Finance II LLC | |||||||
2018 Term Loan B, 0.00%, (1M LIBOR + 1.75%), 03/26/25 (a) (b) | 100,000 | 100,292 | |||||
2018 Term Loan B, 3.55%, (1M LIBOR + 1.75%), 03/26/25 (a) | 238,349 | 239,045 | |||||
Securus Technologies Holdings, Inc. | |||||||
2017 1st Lien Term Loan, 6.30%, (1M LIBOR + 4.50%), 06/20/24 (a) | 99,528 | 73,319 | |||||
Sprint Communications, Inc. | |||||||
1st Lien Term Loan B, 4.31%, (1M LIBOR + 2.50%), 02/01/24 (a) | 333,990 | 330,733 | |||||
2018 Term Loan B, 4.81%, (1M LIBOR + 3.00%), 02/05/24 (a) | 69,300 | 68,954 | |||||
Telesat Canada | |||||||
Term Loan B5, 4.63%, (3M LIBOR + 2.75%), 11/22/26 (a) | 78,000 | 78,228 | |||||
Terrier Media Buyer, Inc. | |||||||
Term Loan B, 0.00%, (3M LIBOR + 4.25%), 10/04/26 (a) (b) | 107,000 | 108,004 | |||||
Vestcom Parent Holdings, Inc. | |||||||
2016 1st Lien Term Loan, 5.80%, (1M LIBOR + 4.00%), 12/15/23 (a) (c) | 73,395 | 69,359 | |||||
2016 1st Lien Term Loan, 7.75%, (3M PRIME + 3.00%), 12/16/23 (a) (c) | 13 | 12 | |||||
Virgin Media Bristol LLC | |||||||
USD Term Loan N, 4.24%, (1M LIBOR + 2.50%), 10/03/27 (a) | 210,000 | 211,182 | |||||
Windstream Holdings Inc. | |||||||
DIP Term Loan, 4.30%, (1M LIBOR + 2.50%), 03/08/21 (a) | 55,000 | 54,914 | |||||
Ziggo Secured Finance Partnership | |||||||
USD Term Loan E, 4.24%, (1M LIBOR + 2.50%), 04/15/25 (a) | 200,000 | 200,526 | |||||
5,062,521 | |||||||
Materials 9.2% | |||||||
American Builders & Contractors Supply Co., Inc. | |||||||
2019 Term Loan, 3.80%, (1M LIBOR + 2.00%), 01/15/27 (a) | 119,700 | 120,224 | |||||
Avantor, Inc. | |||||||
2017 1st Lien Term Loan, 4.80%, (1M LIBOR + 3.00%), 09/22/24 (a) | 69,547 | 70,127 | |||||
Ball Metalpack, LLC | |||||||
2018 1st Lien Term Loan B, 6.41%, (3M LIBOR + 4.50%), 07/25/25 (a) | 98,500 | 86,434 | |||||
Berry Global, Inc. | |||||||
Term Loan W, 3.72%, (1M LIBOR + 2.00%), 10/01/22 (a) | 62,850 | 63,024 | |||||
USD Term Loan U, 4.22%, (3M LIBOR + 2.50%), 07/01/26 (a) | 53,823 | 53,913 | |||||
BWAY Holding Company | |||||||
2017 Term Loan B, 5.23%, (3M LIBOR + 3.25%), 04/03/24 (a) | 240,229 | 239,179 | |||||
Charter NEX US, Inc. | |||||||
Incremental Term Loan, 5.30%, (1M LIBOR + 3.50%), 05/16/24 (a) | 138,968 | 139,663 | |||||
Composite Resins Holding B.V. | |||||||
2018 Term Loan B, 6.14%, (3M LIBOR + 4.25%), 06/27/25 (a) | 113,773 | 114,056 | |||||
Consolidated Container Company LLC | |||||||
2017 1st Lien Term Loan, 4.55%, (1M LIBOR + 2.75%), 05/10/24 (a) | 107,977 | 108,067 | |||||
2017 1st Lien Term Loan, 4.54%, (1M LIBOR + 2.75%), 05/22/24 (a) | 19,742 | 19,758 | |||||
Element Solutions Inc. | |||||||
2019 Term Loan B1, 3.80%, (1M LIBOR + 2.00%), 01/31/26 (a) | 128,951 | 129,475 | |||||
Ferro Corporation | |||||||
2018 USD Term Loan B1, 4.19%, (3M LIBOR + 2.25%), 02/14/24 (a) | 109,292 | 109,019 | |||||
2018 USD Term Loan B2, 4.19%, (3M LIBOR + 2.25%), 02/14/24 (a) | 47,590 | 47,483 | |||||
2018 USD Term Loan B3, 4.19%, (3M LIBOR + 2.25%), 02/14/24 (a) | 46,578 | 46,473 | |||||
Flex Acquisition Company, Inc. | |||||||
1st Lien Term Loan, 5.10%, (3M LIBOR + 3.00%), 12/15/23 (a) | 166,674 | 165,078 | |||||
1st Lien Term Loan, 4.69%, (1M LIBOR + 3.00%), 12/29/23 (a) | 3,052 | 3,023 | |||||
Gemini HDPE LLC | |||||||
Term Loan B, 4.43%, (3M LIBOR + 2.50%), 08/04/24 (a) | 43,441 | 43,495 | |||||
GYP Holdings III Corp. | |||||||
2018 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 05/15/25 (a) | 121,777 | 121,891 | |||||
Hexion Inc | |||||||
USD Exit Term Loan, 5.60%, (3M LIBOR + 3.50%), 06/27/26 (a) | 125,954 | 126,427 | |||||
Klockner-Pentaplast of America, Inc. | |||||||
USD 2017 Term Loan B2, 6.18%, (1M LIBOR + 4.25%), 06/30/22 (a) | 196,482 | 176,441 | |||||
LTI Holdings, Inc. | |||||||
2018 Add On 1st Lien Term Loan, 5.30%, (1M LIBOR + 3.50%), 08/15/25 (a) | 118,500 | 106,100 | |||||
Messer Industries GmbH | |||||||
2018 USD Term Loan, 4.44%, (3M LIBOR + 2.50%), 10/10/25 (a) | 319,340 | 320,847 | |||||
Momentive Performance Materials Inc. | |||||||
Term Loan B, 5.05%, (1M LIBOR + 3.25%), 04/18/24 (a) | 75,620 | 75,100 | |||||
Onex TSG Intermediate Corp. | |||||||
1st Lien Term Loan, 5.80%, (1M LIBOR + 4.00%), 07/31/22 (a) | 50,000 | 46,150 | |||||
Perstorp Holding AB | |||||||
USD Term Loan B, 6.69%, (3M LIBOR + 4.75%), 04/03/26 (a) (c) | 94,287 | 89,102 | |||||
Plaze, Inc. | |||||||
2019 Term Loan B, 5.19%, (1M LIBOR + 3.50%), 08/01/26 (a) | 130,000 | 129,838 | |||||
PMHC II, Inc. | |||||||
2018 1st Lien Term Loan, 5.44%, (3M LIBOR + 3.50%), 03/20/25 (a) | 28,326 | 25,068 | |||||
Polar US Borrower, LLC | |||||||
2018 1st Lien Term Loan, 6.69%, (3M LIBOR + 4.75%), 08/21/25 (a) | 3,531 | 3,505 | |||||
2018 1st Lien Term Loan, 6.79%, (3M LIBOR + 4.75%), 08/21/25 (a) | 174,669 | 173,358 | |||||
Polymer Additives, Inc. | |||||||
2018 1st Lien Term Loan, 7.80%, (1M LIBOR + 6.00%), 07/25/25 (a) (c) | 99,000 | 77,220 | |||||
PQ Corporation | |||||||
2018 Term Loan B, 4.43%, (3M LIBOR + 2.50%), 02/08/25 (a) | 152,007 | 152,766 | |||||
Pro Mach Group, Inc. | |||||||
2018 Term Loan B, 4.54%, (1M LIBOR + 2.75%), 03/07/25 (a) | 128,050 | 126,690 | |||||
Proampac PG Borrower LLC | |||||||
2016 1st Lien Term Loan, 5.34%, (3M LIBOR + 3.50%), 11/18/23 (a) | 75,281 | 74,011 | |||||
2016 1st Lien Term Loan, 5.40%, (3M LIBOR + 3.50%), 11/18/23 (a) | 96,449 | 94,822 | |||||
2016 1st Lien Term Loan, 5.44%, (3M LIBOR + 3.50%), 11/18/23 (a) | 34,116 | 33,540 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
21
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Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
2016 1st Lien Term Loan, 7.25%, (3M LIBOR + 3.50%), 11/18/23 (a) | 532 | 523 | |||||
Quikrete Holdings, Inc. | |||||||
2016 1st Lien Term Loan, 4.55%, (1M LIBOR + 2.75%), 11/03/23 (a) | 205,000 | 205,695 | |||||
Reynolds Group Holdings Inc. | |||||||
Term Loan, 4.55%, (1M LIBOR + 2.75%), 02/05/23 (a) | 130,111 | 130,417 | |||||
Solenis Holdings LLC | |||||||
2018 1st Lien Term Loan, 5.91%, (3M LIBOR + 4.00%), 06/26/25 (a) | 101,103 | 99,839 | |||||
2018 1st Lien Term Loan, 5.70%, (3M LIBOR + 4.00%), 12/18/25 (a) | 257 | 254 | |||||
Starfruit Finco B.V | |||||||
2018 USD Term Loan B, 4.96%, (1M LIBOR + 3.25%), 09/20/25 (a) | 185,694 | 185,540 | |||||
TricorBraun Holdings, Inc. | |||||||
2016 1st Lien Term Loan, 5.68%, (3M LIBOR + 3.75%), 11/29/23 (a) | 17,462 | 17,261 | |||||
2016 1st Lien Term Loan, 5.85%, (3M LIBOR + 3.75%), 11/29/23 (a) | 195,235 | 192,989 | |||||
Trident TPI Holdings, Inc. | |||||||
2017 USD Term Loan B1, 4.80%, (1M LIBOR + 3.00%), 10/05/24 (a) | 49,123 | 47,631 | |||||
Tronox Finance LLC | |||||||
Term Loan B, 4.55%, (1M LIBOR + 2.75%), 09/11/24 (a) | 56,568 | 56,639 | |||||
Term Loan B, 4.69%, (3M LIBOR + 2.75%), 09/11/24 (a) | 39,915 | 39,965 | |||||
Univar Inc. | |||||||
2017 USD Term Loan B, 4.05%, (1M LIBOR + 2.25%), 07/01/24 (a) | 323,632 | 324,765 | |||||
Wilsonart LLC | |||||||
2017 Term Loan B, 5.20%, (3M LIBOR + 3.25%), 12/19/23 (a) | 92,430 | 92,585 | |||||
4,905,470 | |||||||
Consumer Staples 5.0% | |||||||
8th Avenue Food & Provisions, Inc. | |||||||
2018 1st Lien Term Loan, 5.49%, (1M LIBOR + 3.75%), 09/19/25 (a) | 69,300 | 69,531 | |||||
Albertsons, LLC | |||||||
2019 Term Loan B8, 4.55%, (1M LIBOR + 2.75%), 08/07/26 (a) | 101,745 | 102,562 | |||||
American Seafoods Group LLC | |||||||
2017 1st Lien Term Loan, 4.45%, (1M LIBOR + 2.75%), 07/27/23 (a) | 89,399 | 89,846 | |||||
2017 1st Lien Term Loan, 6.50%, (3M PRIME + 1.75%), 07/27/23 (a) | 2,838 | 2,852 | |||||
BellRing Brands, LLC | |||||||
2019 Term Loan B, 6.80%, (1M LIBOR + 5.00%), 10/10/24 (a) | 60,000 | 60,563 | |||||
BJ's Wholesale Club, Inc. | |||||||
2017 1st Lien Term Loan, 4.49%, (1M LIBOR + 2.75%), 01/26/24 (a) | 69,649 | 70,069 | |||||
CHG PPC Parent LLC | |||||||
2018 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 03/16/25 (a) | 129,093 | 129,254 | |||||
Coty Inc. | |||||||
2018 USD Term Loan B, 3.96%, (1M LIBOR + 2.25%), 03/29/25 (a) | 48,056 | 47,015 | |||||
Del Monte Foods, Inc. | |||||||
1st Lien Term Loan, 5.16%, (3M LIBOR + 3.25%), 01/26/21 (a) | 34,360 | 30,237 | |||||
1st Lien Term Loan, 7.00%, (6M PRIME + 2.25%), 01/26/21 (a) | 91 | 80 | |||||
Diamond (BC) B.V. | |||||||
Term Loan, 4.93%, (3M LIBOR + 3.00%), 07/24/24 (a) | 83,719 | 81,793 | |||||
Dole Food Co. Inc. | |||||||
2017 Term Loan B, 4.51%, (1M LIBOR + 2.75%), 03/22/24 (a) | 103,025 | 102,730 | |||||
2017 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 03/22/24 (a) | 52,330 | 52,180 | |||||
Edgewell Personal Care Colombia S A S | |||||||
Term Loan B, 0.00%, (3M LIBOR + 3.00%), 11/08/26 (a) (b) | 97,500 | 97,988 | |||||
Hearthside Food Solutions, LLC | |||||||
2018 Term Loan B, 5.49%, (1M LIBOR + 3.69%), 05/17/25 (a) | 109,840 | 108,522 | |||||
Hostess Brands, LLC | |||||||
2019 Term Loan, 4.05%, (1M LIBOR + 2.25%), 08/03/25 (a) | 99,587 | 99,911 | |||||
2019 Term Loan, 4.18%, (3M LIBOR + 2.25%), 08/03/25 (a) | 223,716 | 224,443 | |||||
JBS USA Lux S.A. | |||||||
2019 Term Loan B, 0.00%, (1M LIBOR + 2.00%), 04/27/26 (a) (b) | 170,000 | 170,991 | |||||
2019 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 04/27/26 (a) | 155,664 | 156,571 | |||||
Portillo Restaurant Group (The) | |||||||
Term Loan, 7.21%, (3M LIBOR + 5.50%), 08/02/24 (a) | 100,000 | 99,625 | |||||
Sigma Bidco B.V. | |||||||
2018 USD Term Loan B2, 5.09%, (3M LIBOR + 3.00%), 03/07/25 (a) | 123,374 | 123,374 | |||||
United Natural Foods, Inc. | |||||||
Term Loan B, 6.05%, (1M LIBOR + 4.25%), 10/22/25 (a) | 182,620 | 155,821 | |||||
US Foods, Inc. | |||||||
2016 Term Loan B, 3.55%, (1M LIBOR + 1.75%), 06/27/23 (a) | 216,586 | 217,173 | |||||
2019 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 08/14/26 (a) | 99,750 | 100,093 | |||||
UTZ Quality Foods, LLC | |||||||
1st Lien Term Loan, 5.30%, (1M LIBOR + 3.50%), 11/14/24 (a) | 128,564 | 127,825 | |||||
Verra Mobility Corporation | |||||||
2018 1st Lien Term Loan, 5.55%, (1M LIBOR + 3.75%), 02/23/25 (a) | 135,648 | 136,383 | |||||
2,657,432 | |||||||
Utilities 1.5% | |||||||
Calpine Corporation | |||||||
Term Loan B5, 4.20%, (3M LIBOR + 2.25%), 05/23/22 (a) | 156,918 | 157,629 | |||||
Term Loan B9, 4.20%, (3M LIBOR + 2.25%), 03/22/26 (a) | 169,150 | 170,004 | |||||
NEP/NCP Holdco, Inc. | |||||||
2018 1st Lien Term Loan, 5.05%, (1M LIBOR + 3.25%), 10/05/25 (a) | 148,649 | 145,739 | |||||
Pacific Gas And Electric Company | |||||||
DIP Term Loan, 3.97%, (1M LIBOR + 2.25%), 12/31/20 (a) (c) | 127,500 | 127,500 | |||||
Vistra Operations Company LLC | |||||||
1st Lien Term Loan B3, 3.49%, (1M LIBOR + 1.75%), 12/11/25 (a) | 41,247 | 41,472 | |||||
1st Lien Term Loan B3, 3.55%, (1M LIBOR + 1.75%), 12/11/25 (a) | 172,920 | 173,862 | |||||
816,206 | |||||||
Real Estate 1.5% | |||||||
Capital Automotive L.P. | |||||||
2017 1st Lien Term Loan, 4.30%, (1M LIBOR + 2.50%), 03/21/24 (a) | 66,928 | 67,074 | |||||
2017 2nd Lien Term Loan, 7.80%, (1M LIBOR + 6.00%), 03/21/25 (a) | 94,881 | 95,024 | |||||
ESH Hospitality, Inc. | |||||||
2019 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 09/18/26 (a) | 90,936 | 91,651 | |||||
MGM Growth Properties Operating Partnership LP | |||||||
2016 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 04/20/23 (a) | 236,008 | 236,794 | |||||
VICI Properties 1 LLC | |||||||
Replacement Term Loan B, 3.79%, (1M LIBOR + 2.00%), 12/13/24 (a) | 320,000 | 321,322 | |||||
811,865 | |||||||
Energy 1.0% | |||||||
EG America LLC | |||||||
2018 USD Term Loan, 5.96%, (3M LIBOR + 4.00%), 06/30/25 (a) | 23,071 | 22,941 | |||||
Term Loan, 5.96%, (3M LIBOR + 4.00%), 06/30/25 (a) | 173,431 | 172,456 | |||||
EG Group Limited | |||||||
2018 USD Term Loan B, 5.96%, (3M LIBOR + 4.00%), 02/01/25 (a) | 19,899 | 19,787 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
22
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Lower Cadence Holdings LLC | |||||||
Term Loan B, 5.80%, (1M LIBOR + 4.00%), 05/10/26 (a) | 89,550 | 88,375 | |||||
Natgasoline LLC | |||||||
Term Loan B, 5.44%, (6M LIBOR + 3.50%), 10/31/25 (a) | 144,162 | 144,702 | |||||
Summit Midstream Partners Holdings, LLC | |||||||
Term Loan B, 7.80%, (1M LIBOR + 6.00%), 05/15/22 (a) | 28,814 | 27,193 | |||||
Traverse Midstream Partners LLC | |||||||
Term Loan, 5.80%, (1M LIBOR + 4.00%), 09/22/24 (a) | 71,140 | 63,884 | |||||
539,338 | |||||||
Total Senior Loan Interests (cost $49,155,594) | 48,677,225 | ||||||
INVESTMENT COMPANIES 2.8% | |||||||
Invesco Senior Loan ETF (d) | 32,800 | 748,496 | |||||
SPDR Blackstone/ GSO Senior Loan ETF | 16,090 | 749,472 | |||||
Total Investment Companies (cost $1,491,130) | 1,497,968 | ||||||
CORPORATE BONDS AND NOTES 2.5% | |||||||
Financials 0.5% | |||||||
Ardagh Packaging Finance Public Limited Company | |||||||
6.00%, 02/15/25 (e) | 58,000 | 60,837 | |||||
Diamond Finance International Limited | |||||||
7.13%, 06/15/24 (e) | 30,000 | 31,703 | |||||
Icahn Enterprises L.P. | |||||||
6.25%, 05/15/26 | 31,000 | 33,072 | |||||
James Hardie International Finance Designated Activity Company | |||||||
5.00%, 01/15/28 (e) | 10,000 | 10,497 | |||||
Level 3 Financing, Inc. | |||||||
5.38%, 01/15/24 | 30,000 | 30,465 | |||||
Springleaf Finance Corporation | |||||||
7.13%, 03/15/26 | 65,000 | 75,196 | |||||
241,770 | |||||||
Health Care 0.3% | |||||||
Bausch Health Companies Inc. | |||||||
6.13%, 04/15/25 (e) | 13,000 | 13,452 | |||||
5.50%, 11/01/25 (e) | 9,000 | 9,406 | |||||
8.50%, 01/31/27 (e) | 67,000 | 76,397 | |||||
5.75%, 08/15/27 (e) | 20,000 | 21,724 | |||||
Community Health Systems, Inc. | |||||||
8.63%, 01/15/24 (e) | 30,000 | 31,842 | |||||
Tenet Healthcare Corporation | |||||||
5.13%, 05/01/25 | 30,000 | 30,880 | |||||
183,701 | |||||||
Communication Services 0.3% | |||||||
AMC Entertainment Holdings, Inc. | |||||||
6.13%, 05/15/27 (d) | 12,000 | 10,973 | |||||
Diamond Sports Group, LLC | |||||||
5.38%, 08/15/26 (e) | 20,000 | 20,264 | |||||
iHeartCommunications, Inc. | |||||||
8.38%, 05/01/27 | 8,172 | 9,017 | |||||
Live Nation Entertainment, Inc. | |||||||
4.88%, 11/01/24 (e) | 30,000 | 31,107 | |||||
Nexstar Escrow Inc. | |||||||
5.63%, 07/15/27 (e) | 8,000 | 8,440 | |||||
Sirius XM Radio Inc. | |||||||
5.50%, 07/01/29 (e) | 65,000 | 70,340 | |||||
Sprint Corporation | |||||||
7.13%, 06/15/24 | 30,000 | 32,337 | |||||
182,478 | |||||||
Energy 0.3% | |||||||
Cheniere Energy Partners, L.P. | |||||||
5.63%, 10/01/26 | 54,000 | 57,111 | |||||
Regency Energy Partners LP | |||||||
5.88%, 03/01/22 | 30,000 | 31,869 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (e) | 58,800 | 60,739 | |||||
149,719 | |||||||
Materials 0.3% | |||||||
FMG Resources (August 2006) Pty Ltd | |||||||
5.13%, 03/15/23 (e) | 30,000 | 31,678 | |||||
5.13%, 05/15/24 (d) (e) | 27,000 | 28,711 | |||||
FXI Holdings, Inc. | |||||||
7.88%, 11/01/24 (e) | 31,000 | 29,776 | |||||
Olin Corporation | |||||||
5.13%, 09/15/27 | 39,000 | 40,982 | |||||
5.00%, 02/01/30 | 17,000 | 17,256 | |||||
148,403 | |||||||
Industrials 0.3% | |||||||
Aircastle Limited | |||||||
5.00%, 04/01/23 | 30,000 | 32,185 | |||||
Ashtead Capital, Inc. | |||||||
5.25%, 08/01/26 (e) | 93,000 | 99,557 | |||||
131,742 | |||||||
Consumer Staples 0.2% | |||||||
Energizer Holdings, Inc. | |||||||
7.75%, 01/15/27 (d) (e) | 65,000 | 72,685 | |||||
JBS USA Food Company | |||||||
5.50%, 01/15/30 (e) | 35,000 | 37,606 | |||||
110,291 | |||||||
Utilities 0.2% | |||||||
Calpine Corporation | |||||||
5.25%, 06/01/26 (e) | 50,000 | 52,107 | |||||
The AES Corporation | |||||||
5.50%, 04/15/25 | 30,000 | 31,018 | |||||
83,125 | |||||||
Information Technology 0.1% | |||||||
Dell International L.L.C. | |||||||
5.30%, 10/01/29 (e) (f) | 50,000 | 56,255 | |||||
Consumer Discretionary 0.0% | |||||||
Eldorado Resorts, Inc. | |||||||
6.00%, 09/15/26 | 10,000 | 11,044 | |||||
Total Corporate Bonds And Notes (cost $1,234,359) | 1,298,528 | ||||||
WARRANTS 0.0% | |||||||
iHeartMedia, Inc. (g) (h) | 703 | 10,693 | |||||
Total Warrants (cost $13,203) | 10,693 | ||||||
COMMON STOCKS 0.0% | |||||||
Communication Services 0.0% | |||||||
Clear Channel Outdoor Holdings, Inc. (g) | 1,875 | 5,363 | |||||
iHeartMedia, Inc. - Class A (d) (g) | 94 | 1,589 | |||||
Total Common Stocks (cost $11,100) | 6,952 | ||||||
SHORT TERM INVESTMENTS 6.3% | |||||||
Investment Companies 6.1% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.54% (i) | 3,264,193 | 3,264,193 | |||||
Securities Lending Collateral 0.2% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56% (i) | 116,665 | 116,665 | |||||
Total Short Term Investments (cost $3,380,858) | 3,380,858 | ||||||
Total Investments 102.7% (cost $55,286,244) | 54,872,224 | ||||||
Other Assets and Liabilities, Net (2.7)% | (1,444,606) | ||||||
Total Net Assets 100.0% | 53,427,618 |
(a) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of December 31, 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 December 31, 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
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
23
PPMFunds
Schedules of Investments
December 31, 2019
procedures approved by the 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) All or a portion of the security was on loan as of December 31, 2019.
(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 Board of Trustees. Determinations of liquidity are unaudited. As of December 31, 2019, the value and the percentage of net assets of these liquid securities was $855,123 and 1.6% of the Fund.
(f) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(g) Non-income producing security.
(h) Security fair valued in good faith as a Level 2 security in accordance with the procedures approved by the Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(i) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2019.
Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
Mavis Tire Express Services Corp. – 2018 Delayed Draw Term Loan | 14,587 | (372) | ||||
Pacific Gas And Electric Company – DIP Delayed Draw Term Loan‡ | 42,288 | 213 | ||||
56,875 | (159) |
‡ Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the PPM Funds’ Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Schedules of Investments.
PPM Floating Rate Income Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (1) | March 2020 | (129,634) | — | 1,212 | ||||||||||
United States 5 Year Note | (4) | April 2020 | (475,918) | — | 1,480 | ||||||||||
— | 2,692 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
24
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
PPM High Yield Core Fund | |||||||
CORPORATE BONDS AND NOTES 90.7% | |||||||
Communication Services 21.0% | |||||||
Altice Financing S.A. | |||||||
6.63%, 02/15/23 (a) | 104,000 | 105,901 | |||||
8.13%, 01/15/24 (a) | 200,000 | 205,000 | |||||
Altice France | |||||||
7.38%, 05/01/26 (a) | 520,000 | 559,027 | |||||
Altice S.A. | |||||||
7.63%, 02/15/25 (a) | 200,000 | 208,259 | |||||
AMC Entertainment Holdings, Inc. | |||||||
6.13%, 05/15/27 (b) | 187,000 | 170,990 | |||||
CB Escrow Corp. | |||||||
8.00%, 10/15/25 (a) | 191,000 | 202,399 | |||||
CCO Holdings, LLC | |||||||
5.88%, 05/01/27 (a) | 420,000 | 445,980 | |||||
5.00%, 02/01/28 (a) | 219,000 | 229,602 | |||||
5.38%, 06/01/29 (a) | 351,000 | 376,502 | |||||
4.75%, 03/01/30 (a) | 88,000 | 89,751 | |||||
CenturyLink, Inc. | |||||||
6.75%, 12/01/23 | 125,000 | 139,525 | |||||
5.63%, 04/01/25 | 125,000 | 132,989 | |||||
5.13%, 12/15/26 (a) | 112,000 | 113,933 | |||||
Clear Channel Worldwide Holdings, Inc. | |||||||
9.25%, 02/15/24 (a) | 107,000 | 118,655 | |||||
Connect Midco II Limited | |||||||
6.75%, 10/01/26 (a) | 226,000 | 240,430 | |||||
Consolidated Communications, Inc. | |||||||
6.50%, 10/01/22 (b) | 225,000 | 205,524 | |||||
CSC Holdings, LLC | |||||||
5.50%, 04/15/27 (a) | 250,000 | 268,701 | |||||
7.50%, 04/01/28 (a) | 300,000 | 338,486 | |||||
5.75%, 01/15/30 (a) | 226,000 | 241,167 | |||||
Diamond Sports Group, LLC | |||||||
5.38%, 08/15/26 (a) | 93,000 | 94,229 | |||||
6.63%, 08/15/27 (a) (b) | 82,000 | 79,774 | |||||
DISH DBS Corporation | |||||||
5.13%, 05/01/20 | 150,000 | 151,209 | |||||
5.00%, 03/15/23 | 122,000 | 125,032 | |||||
5.88%, 11/15/24 | 158,000 | 161,714 | |||||
Frontier Communications Corporation | |||||||
10.50%, 09/15/22 | 235,000 | 114,731 | |||||
8.50%, 04/01/26 (a) | 214,000 | 216,813 | |||||
8.00%, 04/01/27 (a) | 75,000 | 78,557 | |||||
Gannett Co., Inc. | |||||||
5.50%, 09/15/24 (a) | 125,000 | 129,186 | |||||
Hughes Satellite Systems Corporation | |||||||
6.63%, 08/01/26 | 250,000 | 276,998 | |||||
iHeartCommunications, Inc. | |||||||
6.38%, 05/01/26 | 38,565 | 41,939 | |||||
8.38%, 05/01/27 | 183,651 | 202,647 | |||||
5.25%, 08/15/27 (a) | 25,000 | 26,194 | |||||
4.75%, 01/15/28 (a) | 25,000 | 25,600 | |||||
Intelsat Jackson Holdings S.A. | |||||||
8.50%, 10/15/24 (a) | 172,000 | 156,867 | |||||
9.75%, 07/15/25 (a) | 395,000 | 365,577 | |||||
LCPR Senior Secured Financing Designated Activity Company | |||||||
6.75%, 10/15/27 (a) | 138,000 | 147,004 | |||||
Liberty Media Corporation | |||||||
8.25%, 02/01/30 | 128,000 | 126,880 | |||||
Live Nation Entertainment, Inc. | |||||||
5.63%, 03/15/26 (a) | 57,000 | 60,739 | |||||
4.75%, 10/15/27 (a) | 165,000 | 170,766 | |||||
MDC Partners Inc. | |||||||
6.50%, 05/01/24 (a) | 220,000 | 199,342 | |||||
Netflix, Inc. | |||||||
4.38%, 11/15/26 | 185,000 | 189,599 | |||||
4.88%, 04/15/28 | 125,000 | 130,162 | |||||
5.88%, 11/15/28 | 150,000 | 166,447 | |||||
6.38%, 05/15/29 (a) | 76,000 | 86,871 | |||||
Nexstar Escrow Inc. | |||||||
5.63%, 07/15/27 (a) | 130,000 | 137,147 | |||||
Qwest Corporation | |||||||
6.88%, 09/15/33 | 155,000 | 156,145 | |||||
Radiate HoldCo, LLC | |||||||
6.63%, 02/15/25 (a) | 165,000 | 165,804 | |||||
Sirius XM Radio Inc. | |||||||
4.63%, 07/15/24 (a) | 37,000 | 38,785 | |||||
5.00%, 08/01/27 (a) | 425,000 | 449,105 | |||||
5.50%, 07/01/29 (a) | 51,000 | 55,190 | |||||
Sprint Capital Corporation | |||||||
6.88%, 11/15/28 | 200,000 | 216,245 | |||||
Sprint Communications, Inc. | |||||||
6.00%, 11/15/22 | 167,000 | 175,405 | |||||
Sprint Corporation | |||||||
7.13%, 06/15/24 | 585,000 | 630,576 | |||||
7.63%, 03/01/26 | 25,000 | 27,595 | |||||
TEGNA Inc. | |||||||
5.00%, 09/15/29 (a) | 106,000 | 107,805 | |||||
Telecom Italia Capital, Societe Anonyme | |||||||
6.00%, 09/30/34 | 180,000 | 194,278 | |||||
Telesat Canada | |||||||
4.88%, 06/01/27 (a) | 85,000 | 86,659 | |||||
6.50%, 10/15/27 (a) | 161,000 | 167,579 | |||||
Terrier Media Buyer Inc | |||||||
8.88%, 12/15/27 (a) | 110,000 | 116,192 | |||||
T-Mobile USA, Inc. | |||||||
6.50%, 01/15/24 | 167,000 | 172,232 | |||||
5.13%, 04/15/25 | 167,000 | 172,744 | |||||
4.75%, 02/01/28 | 62,000 | 65,026 | |||||
Uber Technologies, Inc. | |||||||
7.50%, 09/15/27 (a) | 130,000 | 133,566 | |||||
Virgin Media Secured Finance PLC | |||||||
5.50%, 05/15/29 (a) | 51,000 | 54,071 | |||||
Windstream Services, LLC | |||||||
0.00%, 10/31/25 (a) (c) (d) | 90,000 | 86,190 | |||||
Zayo Group, LLC | |||||||
6.00%, 04/01/23 | 304,000 | 311,814 | |||||
6.38%, 05/15/25 | 52,000 | 53,737 | |||||
11,691,588 | |||||||
Financials 14.7% | |||||||
Acrisure, LLC | |||||||
7.00%, 11/15/25 (a) | 115,000 | 110,943 | |||||
Ally Financial Inc. | |||||||
3.88%, 05/21/24 | 195,000 | 204,613 | |||||
Antero Resources Finance Corporation | |||||||
5.38%, 11/01/21 | 92,000 | 87,679 | |||||
Ardagh Packaging Finance Public Limited Company | |||||||
6.00%, 02/15/25 (a) | 267,000 | 280,058 | |||||
5.25%, 08/15/27 (a) | 270,000 | 284,114 | |||||
Camelot Finance SA | |||||||
4.50%, 11/01/26 (a) | 59,000 | 60,549 | |||||
CIT Group Inc. | |||||||
4.75%, 02/16/24 | 125,000 | 133,669 | |||||
5.25%, 03/07/25 | 19,000 | 21,021 | |||||
Citigroup Inc. | |||||||
5.00%, (callable at 100 beginning 09/12/24) (e) | 269,000 | 281,363 | |||||
Commscope Finance LLC | |||||||
6.00%, 03/01/26 (a) | 95,000 | 101,085 | |||||
8.25%, 03/01/27 (a) | 213,000 | 224,206 | |||||
Credit Suisse Group AG | |||||||
6.25%, (callable at 100 beginning 12/18/24) (a) (e) | 250,000 | 270,758 | |||||
6.38%, (callable at 100 beginning 08/21/26) (a) (e) | 200,000 | 215,806 | |||||
Diamond Finance International Limited | |||||||
5.88%, 06/15/21 (a) | 94,000 | 95,480 | |||||
6.02%, 06/15/26 (a) | 264,000 | 304,012 | |||||
Eagle Holding Company II, LLC | |||||||
7.63%, 05/15/22 (a) (f) | 135,000 | 137,016 | |||||
7.75%, 05/15/22 (a) (f) | 78,000 | 79,147 | |||||
Glencore Funding LLC | |||||||
4.88%, 03/12/29 (a) | 75,000 | 81,734 | |||||
Icahn Enterprises L.P. | |||||||
6.25%, 05/15/26 | 446,000 | 475,805 | |||||
5.25%, 05/15/27 (a) | 112,000 | 114,743 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
25
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
IHS Luxembourg S.A R.L. | |||||||
5.75%, 04/15/25 (a) | 35,000 | 36,680 | |||||
6.50%, 06/01/26 (a) | 125,000 | 133,467 | |||||
Intelsat Connect Finance S.A. | |||||||
9.50%, 02/15/23 (a) | 29,000 | 20,303 | |||||
Jack Ohio Finance LLC | |||||||
10.25%, 11/15/22 (a) | 167,000 | 176,165 | |||||
James Hardie International Finance Designated Activity Company | |||||||
5.00%, 01/15/28 (a) | 78,000 | 81,876 | |||||
JPMorgan Chase & Co. | |||||||
5.00%, (callable at 100 beginning 08/01/24) (e) | 80,000 | 83,683 | |||||
5.30%, (callable at 100 beginning 05/01/20) (e) | 222,000 | 223,687 | |||||
Level 3 Financing, Inc. | |||||||
5.38%, 01/15/24 | 167,000 | 169,587 | |||||
4.63%, 09/15/27 (a) | 194,000 | 198,829 | |||||
Lions Gate Capital Holdings LLC | |||||||
5.88%, 11/01/24 (a) | 150,000 | 150,790 | |||||
Lloyds Banking Group PLC | |||||||
6.75%, (callable at 100 beginning 06/27/26) (e) | 122,000 | 132,471 | |||||
7.50%, (callable at 100 beginning 9/27/25) (e) | 81,000 | 90,526 | |||||
LPL Holdings, Inc. | |||||||
4.63%, 11/15/27 (a) | 93,000 | 94,892 | |||||
MSCI Inc. | |||||||
4.00%, 11/15/29 (a) | 141,000 | 143,242 | |||||
Navient Corporation | |||||||
7.25%, 09/25/23 | 140,000 | 158,355 | |||||
5.88%, 10/25/24 | 82,000 | 87,771 | |||||
Nexstar Escrow Corporation | |||||||
5.63%, 08/01/24 (a) | 125,000 | 130,397 | |||||
Nordic Aviation Capital DAC | |||||||
5.83%, 03/14/26 (g) (h) | 125,000 | 134,774 | |||||
Rassman, Joel H. | |||||||
3.80%, 11/01/29 | 255,000 | 254,331 | |||||
Resideo Funding Inc. | |||||||
6.13%, 11/01/26 (a) | 44,000 | 44,025 | |||||
Springleaf Finance Corporation | |||||||
6.13%, 03/15/24 | 88,000 | 96,521 | |||||
7.13%, 03/15/26 | 175,000 | 202,452 | |||||
6.63%, 01/15/28 | 63,000 | 71,021 | |||||
5.38%, 11/15/29 | 27,000 | 28,190 | |||||
Telenet Finance Luxembourg Notes S.À R.L. | |||||||
5.50%, 03/01/28 (a) | 200,000 | 213,750 | |||||
Tenet Healthcare Corporation | |||||||
4.88%, 01/01/26 (a) | 304,000 | 318,467 | |||||
5.13%, 11/01/27 (a) | 133,000 | 140,447 | |||||
USA Compression Finance Corp. | |||||||
6.88%, 04/01/26 - 09/01/27 | 231,000 | 241,679 | |||||
Verscend Holding Corp. | |||||||
9.75%, 08/15/26 (a) | 147,000 | 161,133 | |||||
Vertiv Intermediate Holding Corporation | |||||||
12.00%, 02/15/22 (a) (f) | 107,000 | 111,076 | |||||
Vistra Operations Company LLC | |||||||
4.30%, 07/15/29 (a) | 61,000 | 62,089 | |||||
Ziggo B.V. | |||||||
4.88%, 01/15/30 (a) | 200,000 | 205,694 | |||||
Ziggo Bond Finance B.V. | |||||||
6.00%, 01/15/27 (a) | 200,000 | 211,503 | |||||
8,173,674 | |||||||
Consumer Discretionary 11.8% | |||||||
Allied Universal Holdco LLC | |||||||
6.63%, 07/15/26 (a) | 71,000 | 76,276 | |||||
9.75%, 07/15/27 (a) | 79,000 | 84,466 | |||||
AMC Entertainment Inc. | |||||||
5.75%, 06/15/25 (b) | 18,000 | 16,652 | |||||
Aramark Services, Inc. | |||||||
4.75%, 06/01/26 | 152,000 | 157,987 | |||||
5.00%, 02/01/28 (a) | 39,000 | 41,080 | |||||
Beazer Homes USA, Inc. | |||||||
6.75%, 03/15/25 | 75,000 | 78,963 | |||||
5.88%, 10/15/27 (b) | 80,000 | 80,715 | |||||
7.25%, 10/15/29 (a) | 47,000 | 50,231 | |||||
BidFair MergeRight Inc | |||||||
7.38%, 10/15/27 (a) (b) | 107,000 | 108,656 | |||||
Boyd Gaming Corporation | |||||||
4.75%, 12/01/27 (a) | 68,000 | 70,658 | |||||
Churchill Downs Incorporated | |||||||
4.75%, 01/15/28 (a) | 136,000 | 140,701 | |||||
CRC Escrow Issuer, LLC | |||||||
5.25%, 10/15/25 (a) | 125,000 | 129,472 | |||||
Dana Corporation | |||||||
5.38%, 11/15/27 | 35,000 | 36,062 | |||||
Delphi Technologies PLC | |||||||
5.00%, 10/01/25 (a) (b) | 93,000 | 85,970 | |||||
Fiat Chrysler Automobiles N.V. | |||||||
5.25%, 04/15/23 | 94,000 | 100,519 | |||||
Hilton Domestic Operating Company Inc. | |||||||
4.25%, 09/01/24 | 170,000 | 173,425 | |||||
IHO Verwaltungs GmbH | |||||||
6.38%, 05/15/29 (a) (f) | 41,000 | 44,117 | |||||
KB Home | |||||||
7.63%, 05/15/23 | 201,000 | 226,264 | |||||
4.80%, 11/15/29 | 181,000 | 185,063 | |||||
KFC Holding Co. | |||||||
4.75%, 06/01/27 (a) | 140,000 | 148,050 | |||||
L Brands, Inc. | |||||||
7.50%, 06/15/29 | 190,000 | 196,807 | |||||
Lennar Corporation | |||||||
4.75%, 11/29/27 | 128,000 | 138,043 | |||||
M/I Homes, Inc. | |||||||
6.75%, 01/15/21 | 267,000 | 268,306 | |||||
Marriott Ownership Resorts, Inc. | |||||||
6.50%, 09/15/26 | 180,000 | 196,492 | |||||
4.75%, 01/15/28 (a) | 64,000 | 65,555 | |||||
Masonite International Corporation | |||||||
5.38%, 02/01/28 (a) | 76,000 | 80,518 | |||||
Mattel, Inc. | |||||||
5.88%, 12/15/27 (a) | 85,000 | 89,642 | |||||
MCE Finance Limited | |||||||
5.38%, 12/04/29 (a) | 200,000 | 206,434 | |||||
MDC Holdings Inc. | |||||||
6.00%, 01/15/43 | 80,000 | 83,376 | |||||
MGM China Holdings Limited | |||||||
5.88%, 05/15/26 (a) | 124,000 | 131,844 | |||||
Mohegan Tribal Gaming Authority | |||||||
7.88%, 10/15/24 (a) (b) | 106,000 | 108,312 | |||||
NCL Corporation Ltd. | |||||||
3.63%, 12/15/24 (a) | 136,000 | 137,694 | |||||
New Golden Nugget Inc. | |||||||
8.75%, 10/01/25 (a) | 177,000 | 189,541 | |||||
Newell Rubbermaid Inc. | |||||||
4.20%, 04/01/26 (i) | 131,000 | 136,398 | |||||
PetSmart, Inc. | |||||||
5.88%, 06/01/25 (a) | 268,000 | 273,682 | |||||
Restaurant Brands International Limited Partnership | |||||||
5.00%, 10/15/25 (a) | 250,000 | 259,908 | |||||
Sally Holdings, LLC | |||||||
5.63%, 12/01/25 (b) | 150,000 | 156,976 | |||||
Scientific Games International, Inc. | |||||||
5.00%, 10/15/25 (a) | 346,000 | 362,546 | |||||
8.25%, 03/15/26 (a) | 125,000 | 137,784 | |||||
7.00%, 05/15/28 (a) | 38,000 | 40,776 | |||||
7.25%, 11/15/29 (a) | 80,000 | 86,887 | |||||
Staples, Inc. | |||||||
7.50%, 04/15/26 (a) | 122,000 | 126,932 | |||||
10.75%, 04/15/27 (a) | 128,000 | 130,319 | |||||
Stars Group Holdings B.V. | |||||||
7.00%, 07/15/26 (a) | 136,000 | 147,227 | |||||
Taylor Morrison Communities, Inc. | |||||||
5.88%, 06/15/27 (a) | 73,000 | 80,216 | |||||
The Men's Wearhouse, Inc. | |||||||
7.00%, 07/01/22 (b) | 75,000 | 71,250 | |||||
Viking Cruises Limited | |||||||
5.88%, 09/15/27 (a) | 160,000 | 171,047 | |||||
VOC Escrow Ltd. | |||||||
5.00%, 02/15/28 (a) | 125,000 | 131,168 | |||||
Williams Scotsman International, Inc. | |||||||
6.88%, 08/15/23 (a) | 119,000 | 125,679 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
26
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Wyndham Destinations, Inc. | |||||||
5.40%, 04/01/24 (j) | 100,000 | 105,942 | |||||
5.75%, 04/01/27 (i) | 65,000 | 70,705 | |||||
Wynn Resorts Finance, LLC | |||||||
5.13%, 10/01/29 (a) | 29,000 | 31,172 | |||||
6,574,505 | |||||||
Health Care 10.3% | |||||||
Bausch Health Companies Inc. | |||||||
6.13%, 04/15/25 (a) | 200,000 | 206,960 | |||||
5.50%, 11/01/25 (a) | 69,000 | 72,114 | |||||
8.50%, 01/31/27 (a) | 598,000 | 681,874 | |||||
5.75%, 08/15/27 (a) | 166,000 | 180,307 | |||||
7.00%, 01/15/28 (a) | 24,000 | 26,538 | |||||
5.00%, 01/30/28 (a) | 33,000 | 33,857 | |||||
5.25%, 01/30/30 (a) | 40,000 | 41,434 | |||||
Catalent Pharma Solutions, Inc. | |||||||
5.00%, 07/15/27 (a) | 15,000 | 15,741 | |||||
Centene Corporation | |||||||
4.75%, 05/15/22 | 76,000 | 77,677 | |||||
4.25%, 12/15/27 (a) | 242,000 | 249,236 | |||||
4.63%, 12/15/29 (a) | 128,000 | 134,733 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (a) | 281,000 | 298,616 | |||||
Community Health Systems, Inc. | |||||||
8.63%, 01/15/24 (a) | 100,000 | 106,140 | |||||
8.00%, 03/15/26 (a) | 125,000 | 129,647 | |||||
HCA Inc. | |||||||
5.00%, 03/15/24 | 119,000 | 129,954 | |||||
5.25%, 06/15/26 | 182,000 | 203,934 | |||||
5.38%, 09/01/26 | 62,000 | 69,164 | |||||
4.50%, 02/15/27 | 267,000 | 287,767 | |||||
4.13%, 06/15/29 | 260,000 | 275,921 | |||||
5.13%, 06/15/39 | 54,000 | 59,588 | |||||
Hill-Rom Holdings, Inc. | |||||||
4.38%, 09/15/27 (a) | 42,000 | 43,131 | |||||
Hologic, Inc. | |||||||
4.38%, 10/15/25 (a) | 104,000 | 107,542 | |||||
IQVIA Inc. | |||||||
5.00%, 05/15/27 (a) | 125,000 | 132,384 | |||||
Legacy Lifepoint Health, Inc. | |||||||
9.75%, 12/01/26 (a) | 200,000 | 226,357 | |||||
Mednax, Inc. | |||||||
6.25%, 01/15/27 (a) | 252,000 | 258,276 | |||||
MPH Acquisition Holdings LLC | |||||||
7.13%, 06/01/24 (a) | 149,000 | 144,261 | |||||
Mylan Inc | |||||||
4.55%, 04/15/28 | 78,000 | 83,957 | |||||
5.20%, 04/15/48 | 43,000 | 47,647 | |||||
Ortho-Clinical Diagnostics, Inc. | |||||||
6.63%, 05/15/22 (a) | 193,000 | 192,107 | |||||
Par Pharmaceutical, Inc. | |||||||
7.50%, 04/01/27 (a) | 284,000 | 283,699 | |||||
Polaris Intermediate School | |||||||
8.50%, 12/01/22 (a) (f) | 75,000 | 69,763 | |||||
Prestige Brands, Inc. | |||||||
5.13%, 01/15/28 (a) | 45,000 | 47,143 | |||||
Tenet Healthcare Corporation | |||||||
8.13%, 04/01/22 | 204,000 | 225,539 | |||||
6.75%, 06/15/23 | 131,000 | 144,038 | |||||
Tennessee Merger Sub, Inc. | |||||||
6.38%, 02/01/25 (a) (b) | 73,000 | 48,965 | |||||
WellCare Health Plans, Inc. | |||||||
5.25%, 04/01/25 | 339,000 | 353,533 | |||||
5.38%, 08/15/26 (a) | 48,000 | 51,220 | |||||
5,740,764 | |||||||
Energy 10.2% | |||||||
Antero Midstream Partners LP | |||||||
5.38%, 09/15/24 | 65,000 | 60,484 | |||||
5.75%, 03/01/27 - 01/15/28 (a) | 178,000 | 156,307 | |||||
Archrock Partners, L.P. | |||||||
6.25%, 04/01/28 (a) | 60,000 | 61,789 | |||||
Ascent Resources - Utica, LLC | |||||||
10.00%, 04/01/22 (a) | 165,000 | 163,984 | |||||
7.00%, 11/01/26 (a) | 70,000 | 55,931 | |||||
Callon Petroleum Company | |||||||
6.38%, 07/01/26 | 162,000 | 164,494 | |||||
Chaparral Energy, Inc. | |||||||
8.75%, 07/15/23 (a) | 165,000 | 73,724 | |||||
Cheniere Energy Partners, L.P. | |||||||
5.25%, 10/01/25 | 119,000 | 123,891 | |||||
5.63%, 10/01/26 | 248,000 | 262,285 | |||||
4.50%, 10/01/29 (a) | 248,000 | 254,730 | |||||
CNX Midstream Partners LP | |||||||
6.50%, 03/15/26 (a) | 77,000 | 70,923 | |||||
Diamondback Energy, Inc. | |||||||
5.38%, 05/31/25 | 100,000 | 105,051 | |||||
Endeavor Energy Resources, L.P. | |||||||
5.50%, 01/30/26 (a) | 26,000 | 26,792 | |||||
5.75%, 01/30/28 (a) | 52,000 | 54,701 | |||||
Energy Transfer LP | |||||||
5.25%, 04/15/29 | 94,000 | 105,692 | |||||
Enlink Midstream, LLC | |||||||
4.85%, 07/15/26 | 50,000 | 46,989 | |||||
5.38%, 06/01/29 | 130,000 | 122,329 | |||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 152,000 | 142,414 | |||||
Everest Acquisition, LLC | |||||||
0.00%, 11/29/24 - 05/15/26 (a) (c) (d) | 120,000 | 73,958 | |||||
Extraction Oil & Gas, Inc. | |||||||
7.38%, 05/15/24 (a) | 84,000 | 52,242 | |||||
Hess Infrastructure Partners LP | |||||||
5.63%, 02/15/26 (a) | 91,000 | 95,080 | |||||
Hess Midstream Partners LP | |||||||
5.13%, 06/15/28 (a) | 116,000 | 117,576 | |||||
Murphy Oil Corporation | |||||||
5.75%, 08/15/25 | 135,000 | 141,541 | |||||
5.88%, 12/01/27 | 135,000 | 141,269 | |||||
Murphy Oil USA, Inc. | |||||||
4.75%, 09/15/29 | 21,000 | 22,167 | |||||
NGPL PipeCo LLC | |||||||
4.88%, 08/15/27 (a) | 169,000 | 180,816 | |||||
Noble Corporation | |||||||
7.88%, 02/01/26 (a) | 200,000 | 146,129 | |||||
Oasis Petroleum Inc. | |||||||
6.88%, 01/15/23 (b) | 74,000 | 72,578 | |||||
6.25%, 05/01/26 (a) | 14,000 | 11,702 | |||||
Parsley Energy, LLC | |||||||
5.25%, 08/15/25 (a) | 150,000 | 154,345 | |||||
PBF Logistics LP | |||||||
6.88%, 05/15/23 | 200,000 | 206,350 | |||||
PDC Energy, Inc. | |||||||
5.75%, 05/15/26 | 28,000 | 27,877 | |||||
Precision Drilling Corporation | |||||||
5.25%, 11/15/24 | 100,000 | 91,427 | |||||
7.13%, 01/15/26 (a) | 133,000 | 126,660 | |||||
QEP Resources, Inc. | |||||||
5.63%, 03/01/26 | 50,000 | 48,819 | |||||
Seven Generations Energy Ltd. | |||||||
5.38%, 09/30/25 (a) | 30,000 | 30,225 | |||||
Shelf Drilling Management Services DMCC | |||||||
8.25%, 02/15/25 (a) | 204,000 | 194,268 | |||||
SM Energy Company | |||||||
1.50%, 07/01/21 (k) | 23,000 | 21,808 | |||||
6.13%, 11/15/22 (b) | 55,000 | 55,546 | |||||
Southwestern Energy Company | |||||||
7.50%, 04/01/26 | 190,000 | 175,868 | |||||
SRC Energy Inc. | |||||||
6.25%, 12/01/25 | 142,000 | 143,029 | |||||
Targa Resource Corporation | |||||||
5.88%, 04/15/26 | 165,000 | 175,626 | |||||
5.00%, 01/15/28 | 167,000 | 170,651 | |||||
5.50%, 03/01/30 (a) | 228,000 | 234,658 | |||||
Transocean Inc | |||||||
9.00%, 07/15/23 (a) | 85,000 | 89,814 | |||||
7.50%, 01/15/26 (a) | 151,000 | 149,057 | |||||
Transocean Poseidon Limited | |||||||
6.88%, 02/01/27 (a) | 69,000 | 73,005 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (a) | 126,000 | 130,155 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
27
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Viper Energy Partners LP | |||||||
5.38%, 11/01/27 (a) | 22,000 | 22,935 | |||||
Whiting Petroleum Corporation | |||||||
1.25%, 04/01/20 (k) | 3,000 | 2,933 | |||||
6.25%, 04/01/23 (b) | 89,000 | 74,916 | |||||
WPX Energy, Inc. | |||||||
5.25%, 09/15/24 - 10/15/27 | 121,000 | 128,046 | |||||
5.75%, 06/01/26 | 47,000 | 50,248 | |||||
5,685,834 | |||||||
Industrials 7.7% | |||||||
ACCO Brands Corporation | |||||||
5.25%, 12/15/24 (a) | 120,000 | 125,013 | |||||
Aircastle Limited | |||||||
4.25%, 06/15/26 | 130,000 | 137,337 | |||||
Ashtead Capital, Inc. | |||||||
4.13%, 08/15/25 (a) | 33,000 | 33,913 | |||||
5.25%, 08/01/26 (a) | 214,000 | 229,087 | |||||
4.38%, 08/15/27 (a) | 66,000 | 68,403 | |||||
4.00%, 05/01/28 (a) | 9,000 | 9,090 | |||||
BBA U.S. Holdings, Inc. | |||||||
4.00%, 03/01/28 (a) | 136,000 | 134,351 | |||||
Bombardier Inc. | |||||||
5.75%, 03/15/22 (a) | 171,000 | 176,878 | |||||
6.13%, 01/15/23 (a) | 53,000 | 54,331 | |||||
7.50%, 03/15/25 (a) | 177,000 | 182,653 | |||||
7.88%, 04/15/27 (a) | 28,000 | 28,849 | |||||
Cortes NP Acquisition Corp. | |||||||
9.25%, 10/15/24 (a) | 105,000 | 113,006 | |||||
Foxtrot Escrow Issuer LLC | |||||||
12.25%, 11/15/26 (a) | 96,000 | 100,110 | |||||
General Electric Company | |||||||
5.00%, (callable at 100 beginning 01/21/21) (e) | 53,000 | 51,940 | |||||
Hertz Vehicle Financing II LP | |||||||
7.63%, 06/01/22 (a) | 28,000 | 29,110 | |||||
5.50%, 10/15/24 (a) (b) | 200,000 | 205,529 | |||||
6.00%, 01/15/28 (a) | 136,000 | 136,355 | |||||
Moog Inc. | |||||||
4.25%, 12/15/27 (a) | 43,000 | 43,766 | |||||
Navistar International Corporation | |||||||
6.63%, 11/01/25 (a) | 200,000 | 204,541 | |||||
Park Aerospace Holdings Limited | |||||||
4.50%, 03/15/23 (a) | 170,000 | 178,361 | |||||
Prime Security Services Borrower, LLC | |||||||
5.75%, 04/15/26 (a) | 278,000 | 302,376 | |||||
Sensata Technologies B.V. | |||||||
5.00%, 10/01/25 (a) | 125,000 | 135,930 | |||||
Standard Industries Inc. | |||||||
4.75%, 01/15/28 (a) | 170,000 | 174,460 | |||||
Tempo Acquisition, LLC | |||||||
6.75%, 06/01/25 (a) | 235,000 | 243,049 | |||||
The Nielsen Company (Luxembourg) S.A R.L. | |||||||
5.00%, 02/01/25 (a) (b) | 72,000 | 74,286 | |||||
TransDigm Inc. | |||||||
6.50%, 05/15/25 | 100,000 | 104,362 | |||||
6.25%, 03/15/26 (a) | 271,000 | 293,840 | |||||
5.50%, 11/15/27 (a) | 110,000 | 111,276 | |||||
United Rentals (North America), Inc. | |||||||
5.50%, 05/15/27 | 116,000 | 124,436 | |||||
3.88%, 11/15/27 | 247,000 | 252,030 | |||||
4.88%, 01/15/28 | 174,000 | 181,234 | |||||
Univar Solutions USA Inc. | |||||||
5.13%, 12/01/27 (a) | 35,000 | 36,509 | |||||
4,276,411 | |||||||
Materials 6.1% | |||||||
ARD Finance S.A. | |||||||
6.50%, 06/30/27 (a) (f) | 137,000 | 141,627 | |||||
Berry Global Escrow Corporation | |||||||
4.88%, 07/15/26 (a) | 195,000 | 206,154 | |||||
5.63%, 07/15/27 (a) | 89,000 | 95,903 | |||||
Berry Global, Inc. | |||||||
5.13%, 07/15/23 | 125,000 | 128,300 | |||||
Cascades Inc. | |||||||
5.13%, 01/15/26 (a) | 23,000 | 23,635 | |||||
5.38%, 01/15/28 (a) | 47,000 | 48,232 | |||||
CEMEX S.A.B. de C.V. | |||||||
5.70%, 01/11/25 (a) | 250,000 | 257,487 | |||||
5.45%, 11/19/29 (a) | 200,000 | 208,525 | |||||
CF Industries, Inc. | |||||||
5.38%, 03/15/44 | 50,000 | 54,515 | |||||
FMG Resources (August 2006) Pty Ltd | |||||||
5.13%, 03/15/23 - 05/15/24 (a) | 315,000 | 333,672 | |||||
4.50%, 09/15/27 (a) | 134,000 | 137,461 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 | 90,000 | 95,306 | |||||
5.00%, 09/01/27 | 117,000 | 123,404 | |||||
5.40%, 11/14/34 | 217,000 | 227,157 | |||||
FXI Holdings, Inc. | |||||||
7.88%, 11/01/24 (a) | 83,000 | 79,724 | |||||
Mauser Packaging Solutions Holding Company | |||||||
7.25%, 04/15/25 (a) | 125,000 | 123,829 | |||||
Mercer International Inc. | |||||||
7.38%, 01/15/25 | 77,000 | 82,905 | |||||
NOVA Chemicals Corporation | |||||||
4.88%, 06/01/24 (a) | 128,000 | 131,969 | |||||
5.25%, 08/01/23 - 06/01/27 (a) | 143,000 | 147,336 | |||||
Olin Corporation | |||||||
5.13%, 09/15/27 | 136,000 | 142,913 | |||||
5.63%, 08/01/29 | 38,000 | 40,195 | |||||
5.00%, 02/01/30 | 99,000 | 100,489 | |||||
Reynolds Group Holdings Inc. | |||||||
5.13%, 07/15/23 (a) | 221,000 | 226,446 | |||||
Sealed Air Corporation | |||||||
4.00%, 12/01/27 (a) | 116,000 | 117,677 | |||||
Silgan Holdings Inc. | |||||||
4.13%, 02/01/28 (a) | 79,000 | 79,202 | |||||
3,354,063 | |||||||
Consumer Staples 3.4% | |||||||
Albertsons Companies, Inc. | |||||||
6.63%, 06/15/24 | 125,000 | 130,983 | |||||
5.75%, 03/15/25 | 50,000 | 51,877 | |||||
BAT Capital Corp. | |||||||
3.56%, 08/15/27 | 150,000 | 153,514 | |||||
Cott Holdings Inc. | |||||||
5.50%, 04/01/25 (a) | 161,000 | 168,315 | |||||
JBS Investments II GmbH | |||||||
5.75%, 01/15/28 (a) | 297,000 | 312,696 | |||||
JBS USA Food Company | |||||||
6.50%, 04/15/29 (a) | 96,000 | 107,066 | |||||
Matterhorn Merger Sub LLC | |||||||
8.50%, 06/01/26 (a) | 72,000 | 67,390 | |||||
Pilgrim's Pride Corporation | |||||||
5.75%, 03/15/25 (a) | 135,000 | 139,778 | |||||
5.88%, 09/30/27 (a) | 40,000 | 43,247 | |||||
Post Holdings, Inc. | |||||||
5.63%, 01/15/28 (a) | 142,000 | 153,276 | |||||
Safeway Inc. | |||||||
4.63%, 01/15/27 (a) | 81,000 | 80,997 | |||||
5.88%, 02/15/28 (a) | 207,000 | 220,186 | |||||
Sigma Holdco B.V. | |||||||
7.88%, 05/15/26 (a) (b) | 154,000 | 153,959 | |||||
Spectrum Brands, Inc. | |||||||
5.75%, 07/15/25 | 49,000 | 51,277 | |||||
5.00%, 10/01/29 (a) | 68,000 | 70,280 | |||||
1,904,841 | |||||||
Utilities 2.3% | |||||||
Calpine Corporation | |||||||
5.25%, 06/01/26 (a) | 239,000 | 249,071 | |||||
4.50%, 02/15/28 (a) | 67,000 | 67,734 | |||||
DPL Inc. | |||||||
4.35%, 04/15/29 (a) | 198,000 | 191,808 | |||||
The AES Corporation | |||||||
5.50%, 04/15/25 | 369,000 | 381,526 | |||||
5.13%, 09/01/27 | 200,000 | 213,448 | |||||
Vistra Operations Company LLC | |||||||
3.70%, 01/30/27 (a) | 120,000 | 119,370 | |||||
5.63%, 02/15/27 (a) | 41,000 | 43,280 | |||||
1,266,237 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
28
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Information Technology 1.7% | |||||||
Broadcom Inc. | |||||||
4.25%, 04/15/26 (a) | 175,000 | 185,921 | |||||
CommScope Holding Company, Inc. | |||||||
6.00%, 06/15/25 (a) | 34,000 | 34,103 | |||||
Dell Inc. | |||||||
6.50%, 04/15/38 | 51,000 | 55,064 | |||||
NCR Corporation | |||||||
5.75%, 09/01/27 (a) | 105,000 | 111,911 | |||||
6.13%, 09/01/29 (a) | 53,000 | 57,545 | |||||
Radiate HoldCo, LLC | |||||||
6.88%, 02/15/23 (a) | 88,000 | 89,964 | |||||
SS&C Technologies, Inc. | |||||||
5.50%, 09/30/27 (a) | 126,000 | 134,392 | |||||
ViaSat, Inc. | |||||||
5.63%, 09/15/25 - 04/15/27 (a) | 174,000 | 181,017 | |||||
Western Digital Corporation | |||||||
4.75%, 02/15/26 | 92,000 | 95,979 | |||||
945,896 | |||||||
Real Estate 1.5% | |||||||
Communications Sales & Leasing Inc. | |||||||
6.00%, 04/15/23 (a) | 135,000 | 129,903 | |||||
ESH Hospitality, Inc. | |||||||
5.25%, 05/01/25 (a) | 281,000 | 290,757 | |||||
MGM Growth Properties Operating Partnership LP | |||||||
4.50%, 01/15/28 | 6,000 | 6,273 | |||||
PulteGroup, Inc. | |||||||
5.00%, 01/15/27 | 165,000 | 179,845 | |||||
Service Properties Trust | |||||||
4.35%, 10/01/24 | 102,000 | 104,738 | |||||
4.95%, 10/01/29 | 16,000 | 16,254 | |||||
VICI Properties Inc. | |||||||
4.25%, 12/01/26 (a) | 67,000 | 69,137 | |||||
4.63%, 12/01/29 (a) | 26,000 | 27,216 | |||||
824,123 | |||||||
Total Corporate Bonds And Notes (cost $48,595,297) | 50,437,936 | ||||||
SENIOR LOAN INTERESTS 4.4% | |||||||
Information Technology 1.1% | |||||||
Almonde, Inc. | |||||||
1st Lien Term Loan, 5.70%, (6M LIBOR + 3.50%), 04/26/24 (l) | 115,863 | 114,897 | |||||
USD 1st Lien Term Loan, 5.70%, (3M LIBOR + 3.50%), 04/26/24 (l) | 17,885 | 17,736 | |||||
Ancestry.com Operations Inc. | |||||||
Non-Extended Term Loan B, 5.55%, (1M LIBOR + 3.75%), 10/19/23 (l) | 74,812 | 73,652 | |||||
Banff Merger Sub Inc | |||||||
2018 USD Term Loan B, 6.05%, (1M LIBOR + 4.25%), 06/30/25 (l) | 79,598 | 78,616 | |||||
Financial & Risk US Holdings, Inc. | |||||||
2018 USD Term Loan, 5.05%, (1M LIBOR + 3.25%), 09/12/25 (l) | 178,448 | 179,965 | |||||
Verifone Systems, Inc. | |||||||
2018 1st Lien Term Loan, 5.90%, (3M LIBOR + 4.00%), 08/09/25 (l) | 129,097 | 127,138 | |||||
592,004 | |||||||
Health Care 0.8% | |||||||
Alphabet Holding Company, Inc. | |||||||
2017 1st Lien Term Loan, 5.30%, (1M LIBOR + 3.50%), 08/15/24 (l) | 244,375 | 235,211 | |||||
MPH Acquisition Holdings LLC | |||||||
2016 Term Loan B, 4.69%, (3M LIBOR + 2.75%), 06/07/23 (l) | 150,000 | 147,669 | |||||
RegionalCare Hospital Partners Holdings, Inc. | |||||||
2018 Term Loan B, 6.30%, (1M LIBOR + 4.50%), 11/09/25 (l) | 78,500 | 79,069 | |||||
461,949 | |||||||
Consumer Discretionary 0.6% | |||||||
Adient US LLC | �� | ||||||
Term Loan B, 6.14%, (3M LIBOR + 4.25%), 05/03/24 (l) | 18,797 | 18,886 | |||||
Term Loan B, 6.19%, (3M LIBOR + 4.25%), 05/03/24 (l) | 56,015 | 56,281 | |||||
Bass Pro Group, LLC | |||||||
Term Loan B, 6.80%, (1M LIBOR + 5.00%), 11/15/23 (l) | 172,433 | 171,787 | |||||
Mohegan Tribal Gaming Authority | |||||||
2016 Term Loan B, 0.00%, (1M LIBOR + 4.00%), 10/30/23 (l) (m) | 80,000 | 76,971 | |||||
323,925 | |||||||
Materials 0.5% | |||||||
BWAY Holding Company | |||||||
2017 Term Loan B, 5.23%, (3M LIBOR + 3.25%), 04/03/24 (l) | 165,304 | 164,582 | |||||
Flex Acquisition Company, Inc. | |||||||
1st Lien Term Loan, 5.10%, (3M LIBOR + 3.00%), 12/15/23 (l) | 68,024 | 67,372 | |||||
1st Lien Term Loan, 4.69%, (1M LIBOR + 3.00%), 12/29/23 (l) | 1,246 | 1,234 | |||||
Proampac PG Borrower LLC | |||||||
2016 1st Lien Term Loan, 5.34%, (3M LIBOR + 3.50%), 11/18/23 (l) | 15,105 | 14,850 | |||||
2016 1st Lien Term Loan, 5.40%, (3M LIBOR + 3.50%), 11/18/23 (l) | 19,352 | 19,026 | |||||
2016 1st Lien Term Loan, 5.44%, (3M LIBOR + 3.50%), 11/18/23 (l) | 6,845 | 6,730 | |||||
2016 1st Lien Term Loan, 7.25%, (3M LIBOR + 3.50%), 11/18/23 (l) | 107 | 105 | |||||
273,899 | |||||||
Energy 0.4% | |||||||
Chesapeake Energy Corporation | |||||||
2019 Last Out Term Loan, 0.00%, (3M LIBOR + 8.00%), 06/09/24 (l) (m) | 85,000 | 87,408 | |||||
2019 Last Out Term Loan, 9.93%, (3M LIBOR + 8.00%), 06/09/24 (l) | 40,000 | 41,133 | |||||
Lower Cadence Holdings LLC | |||||||
Term Loan B, 5.80%, (1M LIBOR + 4.00%), 05/10/26 (l) | 113,430 | 111,942 | |||||
240,483 | |||||||
Communication Services 0.4% | |||||||
Frontier Communications Corp. | |||||||
2017 Term Loan B1, 5.55%, (1M LIBOR + 3.75%), 05/31/24 (l) | 97,744 | 98,084 | |||||
iHeartCommunications, Inc. | |||||||
Exit Term Loan, 5.69%, (1M LIBOR + 4.00%), 05/04/26 (l) | 52,429 | 52,800 | |||||
Windstream Holdings Inc. | |||||||
DIP Term Loan, 4.30%, (1M LIBOR + 2.50%), 03/08/21 (l) | 77,000 | 76,880 | |||||
227,764 | |||||||
Financials 0.4% | |||||||
Acrisure, LLC | |||||||
2017 Term Loan B, 6.19%, (3M LIBOR + 4.25%), 11/22/23 (l) | 97,750 | 97,872 | |||||
UFC Holdings, LLC | |||||||
2019 Term Loan, 5.50%, (1M LIBOR + 3.25%), 04/25/26 (l) | 98,977 | 99,554 | |||||
197,426 | |||||||
Industrials 0.2% | |||||||
1199169 B.C. Unlimited Liability Company | |||||||
2019 Term Loan B2, 5.94%, (3M LIBOR + 4.00%), 01/25/26 (l) | 24,065 | 24,212 | |||||
Dynasty Acquisition Co., Inc. | |||||||
2019 Term Loan B1, 5.94%, (3M LIBOR + 4.00%), 01/25/26 (l) | 44,762 | 45,035 | |||||
Panther BF Aggregator 2 LP | |||||||
USD Term Loan B, 5.30%, (3M LIBOR + 3.50%), 03/13/26 (l) | 69,526 | 69,656 | |||||
138,903 | |||||||
Total Senior Loan Interests (cost $2,431,069) | 2,456,353 | ||||||
INVESTMENT COMPANIES 2.5% | |||||||
Eaton Vance Senior Floating-Rate Trust | 3,750 | 50,812 | |||||
SPDR Bloomberg Barclays High Yield Bond ETF | 12,500 | 1,369,248 | |||||
Total Investment Companies (cost $1,371,118) | 1,420,060 | ||||||
COMMON STOCKS 0.2% | |||||||
Energy 0.1% | |||||||
Chaparral Energy, Inc. - Class A (b) (c) | 6,908 | 12,158 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
29
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | |||||
MPLX LP | 2,200 | 56,012 | ||||
68,170 | ||||||
Communication Services 0.1% | ||||||
Clear Channel Outdoor Holdings, Inc. (c) | 8,143 | 23,289 | ||||
iHeartMedia, Inc. (c) (g) | 107,000 | — | ||||
iHeartMedia, Inc. (c) (g) | 208,000 | — | ||||
iHeartMedia, Inc. - Class A (b) (c) | 386 | 6,523 | ||||
29,812 | ||||||
Total Common Stocks (cost $242,030) | 97,982 | |||||
WARRANTS 0.1% | ||||||
iHeartMedia, Inc. (c) (n) | 2,897 | 44,063 | ||||
Total Warrants (cost $53,585) | 44,063 | |||||
SHORT TERM INVESTMENTS 4.0% | ||||||
Securities Lending Collateral 2.9% | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56% (o) | 1,606,904 | 1,606,904 | ||||
Investment Companies 1.1% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.54% (o) | 620,131 | 620,131 | ||||
Total Short Term Investments (cost $2,227,035) | 2,227,035 | |||||
Total Investments 101.9% (cost $54,920,134) | 56,683,429 | |||||
Other Derivative Instruments 0.0% | 1,680 | |||||
Other Assets and Liabilities, Net (1.9)% | (1,070,288) | |||||
Total Net Assets 100.0% | 55,614,821 |
(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 Board of Trustees. Determinations of liquidity are unaudited. As of December 31, 2019, the value and the percentage of net assets of these liquid securities was $32,136,262 and 57.8% of the Fund.
(b) All or a portion of the security was on loan as of December 31, 2019.
(c) Non-income producing security.
(d) As of December 31, 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.
(e) Perpetual security. Next contractual call date presented, if applicable.
(f) 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.
(g) Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the 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) Security is restricted to resale to institutional investors. See Restricted Securities table following the Schedules of Investments.
(i) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(j) Security is a step-up bond where the coupon may increase or step up at a future date or as the result of an upgrade or downgrade to the credit rating of the issuer. Rate stated was the coupon as of December 31, 2019.
(k) Convertible security.
(l) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of December 31, 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.
(m) This senior loan will settle after December 31, 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 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) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2019.
Restricted Securities | ||||||||||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | |||||||||||||
Nordic Aviation Capital DAC, 5.83%, 03/14/26 | 02/27/19 | 125,000 | 134,774 | 0.2 | ||||||||||||
PPM High Yield Core Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (12) | March 2020 | (1,553,515) | 1,313 | 12,452 | ||||||||||
United States 10 Year Ultra Bond | (2) | March 2020 | (284,994) | 344 | 3,588 | ||||||||||
United States 5 Year Note | (1) | April 2020 | (119,043) | 23 | 434 | ||||||||||
1,680 | 16,474 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
30
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
PPM Long Short Credit Fund | |||||||
CORPORATE BONDS AND NOTES 75.0% | |||||||
Financials 21.1% | |||||||
Acrisure, LLC | |||||||
7.00%, 11/15/25 (a) | 88,000 | 84,895 | |||||
Athene Global Funding | |||||||
3.32%, (3M USD LIBOR + 1.23%), 07/01/22 (a) (b) | 183,000 | 184,984 | |||||
2.95%, 11/12/26 (a) | 130,000 | 129,407 | |||||
Bank of America Corporation | |||||||
2.63%, (3M USD LIBOR + 0.66%), 07/21/21 (b) | 100,000 | 100,641 | |||||
2.94%, (3M USD LIBOR + 1.00%), 04/24/23 (b) | 166,000 | 168,562 | |||||
4.00%, 01/22/25 | 209,000 | 222,760 | |||||
4.25%, 10/22/26 | 105,000 | 114,440 | |||||
3.59%, 07/21/28 | 41,000 | 43,522 | |||||
4.33%, 03/15/50 (c) | 1,199,000 | 1,437,303 | |||||
Capital One Financial Corporation | |||||||
2.66%, (3M USD LIBOR + 0.76%), 05/12/20 (b) | 333,000 | 333,601 | |||||
3.75%, 03/09/27 | 40,000 | 42,568 | |||||
Citigroup Inc. | |||||||
5.00%, (callable at 100 beginning 09/12/24) (d) | 63,000 | 65,896 | |||||
2.90%, (3M USD LIBOR + 0.96%), 04/25/22 (b) (c) | 249,000 | 252,413 | |||||
4.45%, 09/29/27 | 123,000 | 135,389 | |||||
3.89%, 01/10/28 (b) | 67,000 | 72,045 | |||||
4.13%, 07/25/28 | 10,000 | 10,888 | |||||
Credit Suisse Group AG | |||||||
7.50%, (callable at 100 beginning 07/17/23) (a) (d) | 200,000 | 219,190 | |||||
6.50%, 08/08/23 (a) | 175,000 | 195,312 | |||||
Diamond Finance International Limited | |||||||
8.35%, 07/15/46 (a) | 99,000 | 135,848 | |||||
Ford Motor Credit Company LLC | |||||||
5.18%, (3M USD LIBOR + 3.14%), 01/07/22 (b) | 250,000 | 258,144 | |||||
Glencore Funding LLC | |||||||
4.88%, 03/12/29 (a) | 125,000 | 136,223 | |||||
GLP Financing, LLC | |||||||
5.30%, 01/15/29 | 110,000 | 122,158 | |||||
HSBC Holdings PLC | |||||||
2.90%, (3M USD LIBOR + 1.00%), 05/18/24 (b) | 150,000 | 151,336 | |||||
Icahn Enterprises L.P. | |||||||
6.25%, 05/15/26 | 89,000 | 94,948 | |||||
JPMorgan Chase & Co. | |||||||
5.00%, (callable at 100 beginning 08/01/24) (d) | 157,000 | 164,228 | |||||
5.30%, (callable at 100 beginning 05/01/20) (d) | 150,000 | 151,140 | |||||
3.54%, 05/01/28 | 9,000 | 9,550 | |||||
3.51%, 01/23/29 | 66,000 | 70,010 | |||||
2.74%, 10/15/30 | 116,000 | 115,870 | |||||
Metropolitan Life Global Funding I | |||||||
3.60%, 01/11/24 (a) | 160,000 | 168,865 | |||||
Morgan Stanley | |||||||
2.88%, (3M USD LIBOR + 0.93%), 07/22/22 (b) | 125,000 | 126,900 | |||||
4.10%, 05/22/23 | 225,000 | 237,289 | |||||
New York Life Global Funding | |||||||
2.26%, (3M USD LIBOR + 0.16%), 10/01/20 (a) (b) (c) | 650,000 | 650,496 | |||||
Nordic Aviation Capital DAC | |||||||
5.58%, 03/14/24 (e) (f) | 135,000 | 143,861 | |||||
PNC Bank, National Association | |||||||
2.24%, (3M USD LIBOR + 0.35%), 03/12/21 (b) (c) | 500,000 | 500,212 | |||||
Rassman, Joel H. | |||||||
3.80%, 11/01/29 | 138,000 | 137,638 | |||||
Springleaf Finance Corporation | |||||||
5.38%, 11/15/29 | 34,000 | 35,499 | |||||
Tenet Healthcare Corporation | |||||||
4.88%, 01/01/26 (a) | 130,000 | 136,187 | |||||
The Goldman Sachs Group, Inc. | |||||||
2.91%, 07/24/23 (c) | 20,000 | 20,346 | |||||
3.50%, 11/16/26 | 9,000 | 9,447 | |||||
3.69%, 06/05/28 (b) | 21,000 | 22,316 | |||||
U.S. Bancorp | |||||||
3.00%, 07/30/29 | 66,000 | 67,676 | |||||
USA Compression Finance Corp. | |||||||
6.88%, 09/01/27 | 67,000 | 70,016 | |||||
Vistra Operations Company LLC | |||||||
4.30%, 07/15/29 (a) | 60,000 | 61,071 | |||||
Wells Fargo & Company | |||||||
2.41%, 10/30/25 | 189,000 | 189,034 | |||||
3.58%, 05/22/28 (b) | 51,000 | 54,207 | |||||
2.88%, 10/30/30 | 214,000 | 215,409 | |||||
Wells Fargo Bank, National Association | |||||||
2.08%, 09/09/22 (c) | 750,000 | 751,136 | |||||
8,820,876 | |||||||
Energy 10.2% | |||||||
Baker Hughes, a GE Company, LLC | |||||||
3.14%, 11/07/29 | 49,000 | 50,306 | |||||
Callon Petroleum Company | |||||||
6.38%, 07/01/26 | 125,000 | 126,924 | |||||
Cheniere Corpus Christi Holdings, LLC | |||||||
5.88%, 03/31/25 | 41,000 | 46,170 | |||||
Cheniere Energy Partners, L.P. | |||||||
4.50%, 10/01/29 (a) | 110,000 | 112,985 | |||||
Continental Resources, Inc. | |||||||
4.38%, 01/15/28 | 91,000 | 96,670 | |||||
Denbury Resources Inc. | |||||||
9.25%, 03/31/22 (a) (c) | 14,000 | 13,160 | |||||
7.75%, 02/15/24 (a) | 80,000 | 69,568 | |||||
Endeavor Energy Resources, L.P. | |||||||
5.75%, 01/30/28 (a) | 69,000 | 72,584 | |||||
Energy Transfer LP | |||||||
4.25%, 03/15/23 | 192,000 | 200,257 | |||||
5.25%, 04/15/29 | 54,000 | 60,716 | |||||
5.80%, 06/15/38 | 95,000 | 107,671 | |||||
Energy Transfer Operating, L.P. | |||||||
6.25%, 04/15/49 | 40,000 | 48,338 | |||||
Enlink Midstream, LLC | |||||||
5.38%, 06/01/29 | 69,000 | 64,928 | |||||
Enterprise Products Operating LLC | |||||||
3.35%, 03/15/23 | 43,000 | 44,454 | |||||
3.13%, 07/31/29 | 123,000 | 126,526 | |||||
4.20%, 01/31/50 | 84,000 | 90,494 | |||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 108,000 | 101,189 | |||||
Everest Acquisition, LLC | |||||||
0.00%, 11/29/24 (a) (c) (g) (h) | 85,000 | 42,516 | |||||
0.00%, 05/15/26 (a) (g) (h) | 35,000 | 25,010 | |||||
Extraction Oil & Gas, Inc. | |||||||
7.38%, 05/15/24 (a) | 75,000 | 46,645 | |||||
MPLX LP | |||||||
2.78%, (3M USD LIBOR + 0.90%), 09/09/21 (b) (c) | 500,000 | 504,008 | |||||
4.00%, 03/15/28 | 97,000 | 100,527 | |||||
5.20%, 12/01/47 (a) | 44,000 | 47,517 | |||||
Murphy Oil Corporation | |||||||
5.88%, 12/01/27 | 66,000 | 69,065 | |||||
National Oilwell Varco, Inc. | |||||||
3.60%, 12/01/29 | 100,000 | 100,384 | |||||
NGPL PipeCo LLC | |||||||
4.88%, 08/15/27 (a) | 23,000 | 24,608 | |||||
Occidental Petroleum Corporation | |||||||
3.15%, (3M USD LIBOR + 1.25%), 08/13/21 (b) (c) | 300,000 | 301,560 | |||||
3.50%, 08/15/29 | 103,000 | 105,010 | |||||
4.30%, 08/15/39 | 19,000 | 19,343 | |||||
4.40%, 08/15/49 | 21,000 | 21,601 | |||||
Parsley Energy, LLC | |||||||
5.38%, 01/15/25 (a) | 91,000 | 93,757 | |||||
Patterson-UTI Energy, Inc. | |||||||
5.15%, 11/15/29 | 130,000 | 132,931 | |||||
Sabine Pass Liquefaction, LLC | |||||||
5.63%, 03/01/25 | 88,000 | 98,853 | |||||
4.20%, 03/15/28 | 165,000 | 174,700 | |||||
SM Energy Company | |||||||
1.50%, 07/01/21 (i) | 48,000 | 45,512 | |||||
Southwestern Energy Company | |||||||
7.75%, 10/01/27 | 500,000 | 463,196 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
31
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Summit Midstream Holdings, LLC | |||||||
5.75%, 04/15/25 | 29,000 | 22,127 | |||||
Summit Midstream Partners, LP | |||||||
9.50%, (callable at 104 beginning 12/15/22) (d) | 125,000 | 61,606 | |||||
Targa Resource Corporation | |||||||
5.50%, 03/01/30 (a) | 108,000 | 111,154 | |||||
Transocean Pontus Limited | |||||||
6.13%, 08/01/25 (a) (c) | 17,800 | 18,287 | |||||
Transocean Poseidon Limited | |||||||
6.88%, 02/01/27 (a) | 49,000 | 51,844 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (a) | 156,100 | 161,248 | |||||
Whiting Petroleum Corporation | |||||||
1.25%, 04/01/20 (i) | 13,000 | 12,708 | |||||
4,288,657 | |||||||
Communication Services 10.0% | |||||||
AT&T Inc. | |||||||
3.07%, (3M USD LIBOR + 1.18%), 06/12/24 (b) | 350,000 | 355,787 | |||||
5.25%, 03/01/37 | 80,000 | 95,767 | |||||
CB Escrow Corp. | |||||||
8.00%, 10/15/25 (a) | 95,000 | 100,670 | |||||
CCO Holdings, LLC | |||||||
4.75%, 03/01/30 (a) | 84,000 | 85,671 | |||||
CenturyLink, Inc. | |||||||
5.13%, 12/15/26 (a) | 68,000 | 69,174 | |||||
Charter Communications Operating, LLC | |||||||
4.91%, 07/23/25 | 250,000 | 275,388 | |||||
6.83%, 10/23/55 | 40,000 | 51,357 | |||||
Comcast Corporation | |||||||
4.60%, 10/15/38 | 32,000 | 38,077 | |||||
4.95%, 10/15/58 | 44,000 | 57,125 | |||||
Connect Midco II Limited | |||||||
6.75%, 10/01/26 (a) | 100,000 | 106,385 | |||||
DISH DBS Corporation | |||||||
7.75%, 07/01/26 | 66,000 | 69,951 | |||||
Hughes Satellite Systems Corporation | |||||||
5.25%, 08/01/26 | 83,000 | 91,124 | |||||
iHeartCommunications, Inc. | |||||||
6.38%, 05/01/26 | 14,918 | 16,223 | |||||
8.38%, 05/01/27 | 27,038 | 29,835 | |||||
5.25%, 08/15/27 (a) | 25,000 | 26,194 | |||||
4.75%, 01/15/28 (a) | 24,000 | 24,576 | |||||
Intelsat Jackson Holdings S.A. | |||||||
8.50%, 10/15/24 (a) (c) | 38,000 | 34,657 | |||||
9.75%, 07/15/25 (a) | 64,000 | 59,233 | |||||
Sirius XM Radio Inc. | |||||||
5.50%, 07/01/29 (a) | 46,000 | 49,779 | |||||
Sprint Corporation | |||||||
7.13%, 06/15/24 | 58,000 | 62,519 | |||||
Sprint Spectrum Co LLC | |||||||
3.36%, 09/20/21 (a) | 87,500 | 88,275 | |||||
TEGNA Inc. | |||||||
5.00%, 09/15/29 (a) | 64,000 | 65,090 | |||||
Telesat Canada | |||||||
6.50%, 10/15/27 (a) | 60,000 | 62,452 | |||||
TWDC Enterprise 18 Corp. | |||||||
2.16%, (3M USD LIBOR + 0.25%), 09/01/21 (b) | 500,000 | 500,130 | |||||
Verizon Communications Inc. | |||||||
4.02%, 12/03/29 (c) | 1,510,000 | 1,683,534 | |||||
Vodafone Group Public Limited Company | |||||||
5.00%, 05/30/38 | 90,000 | 104,571 | |||||
4,203,544 | |||||||
Health Care 6.7% | |||||||
AbbVie Inc. | |||||||
2.95%, 11/21/26 (a) | 121,000 | 122,956 | |||||
4.30%, 05/14/36 | 36,000 | 39,508 | |||||
4.05%, 11/21/39 (a) | 94,000 | 98,515 | |||||
4.25%, 11/21/49 (a) | 133,000 | 140,736 | |||||
Actavis LLC | |||||||
3.25%, 10/01/22 | 233,000 | 238,030 | |||||
Bausch Health Companies Inc. | |||||||
8.50%, 01/31/27 (a) | 63,000 | 71,836 | |||||
5.75%, 08/15/27 (a) | 82,000 | 89,067 | |||||
7.00%, 01/15/28 (a) | 24,000 | 26,538 | |||||
5.00%, 01/30/28 (a) | 32,000 | 32,831 | |||||
Becton, Dickinson and Company | |||||||
2.84%, (3M USD LIBOR + 0.88%), 12/29/20 (b) (c) | 300,000 | 300,064 | |||||
Bristol-Myers Squibb Company | |||||||
3.40%, 07/26/29 (a) | 146,000 | 156,240 | |||||
4.13%, 06/15/39 (a) | 55,000 | 63,289 | |||||
4.25%, 10/26/49 (a) | 72,000 | 85,346 | |||||
Centene Corporation | |||||||
4.25%, 12/15/27 (a) | 28,000 | 28,837 | |||||
4.63%, 12/15/29 (a) | 123,000 | 129,470 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (a) | 83,000 | 88,203 | |||||
Cigna Holding Company | |||||||
3.40%, 03/01/27 (a) | 50,000 | 51,922 | |||||
4.38%, 10/15/28 | 120,000 | 132,991 | |||||
Community Health Systems, Inc. | |||||||
8.63%, 01/15/24 (a) | 50,000 | 53,070 | |||||
8.00%, 03/15/26 (a) | 85,000 | 88,160 | |||||
CVS Health Corporation | |||||||
4.78%, 03/25/38 | 62,000 | 70,331 | |||||
5.05%, 03/25/48 | 109,000 | 128,855 | |||||
HCA Inc. | |||||||
5.13%, 06/15/39 | 99,000 | 109,245 | |||||
Legacy Lifepoint Health, Inc. | |||||||
9.75%, 12/01/26 (a) | 125,000 | 141,473 | |||||
Par Pharmaceutical, Inc. | |||||||
7.50%, 04/01/27 (a) (c) | 89,000 | 88,906 | |||||
Providence St. Joseph Health | |||||||
2.53%, 10/01/29 | 62,000 | 60,804 | |||||
Quest Diagnostics Incorporated | |||||||
2.95%, 06/30/30 | 40,000 | 40,038 | |||||
WellCare Health Plans, Inc. | |||||||
5.25%, 04/01/25 | 61,000 | 63,615 | |||||
5.38%, 08/15/26 (a) | 46,000 | 49,086 | |||||
2,789,962 | |||||||
Consumer Staples 6.4% | |||||||
Anheuser-Busch Companies, LLC | |||||||
3.65%, 02/01/26 | 71,000 | 75,724 | |||||
4.90%, 02/01/46 | 102,000 | 121,092 | |||||
BAT Capital Corp. | |||||||
2.50%, (3M USD LIBOR + 0.59%), 08/14/20 (b) | 416,000 | 415,872 | |||||
4.39%, 08/15/37 | 168,000 | 170,172 | |||||
Conagra Brands, Inc. | |||||||
2.70%, (3M USD LIBOR + 0.75%), 10/22/20 (b) (c) | 500,000 | 501,680 | |||||
JBS USA Finance, Inc. | |||||||
6.75%, 02/15/28 (a) | 100,000 | 110,577 | |||||
JBS USA Food Company | |||||||
5.88%, 07/15/24 (a) | 15,000 | 15,432 | |||||
6.50%, 04/15/29 (a) | 74,000 | 82,530 | |||||
Kraft Heinz Foods Company | |||||||
2.47%, (3M USD LIBOR + 0.57%), 02/10/21 (b) | 333,000 | 333,235 | |||||
3.75%, 04/01/30 (a) | 65,000 | 67,029 | |||||
Mars, Incorporated | |||||||
3.95%, 04/01/49 (a) | 117,000 | 132,015 | |||||
Matterhorn Merger Sub LLC | |||||||
8.50%, 06/01/26 (a) | 100,000 | 93,597 | |||||
Post Holdings, Inc. | |||||||
5.63%, 01/15/28 (a) | 82,000 | 88,512 | |||||
Reynolds American Inc. | |||||||
4.45%, 06/12/25 | 119,000 | 128,003 | |||||
Sigma Holdco B.V. | |||||||
7.88%, 05/15/26 (a) | 100,000 | 99,973 | |||||
Spectrum Brands, Inc. | |||||||
5.00%, 10/01/29 (a) | 63,000 | 65,112 | |||||
Walmart Inc. | |||||||
2.85%, 07/08/24 | 125,000 | 129,432 | |||||
2.95%, 09/24/49 | 56,000 | 55,253 | |||||
2,685,240 | |||||||
Materials 5.1% | |||||||
Anglo American Capital PLC | |||||||
4.88%, 05/14/25 (a) | 121,000 | 133,023 | |||||
4.75%, 04/10/27 (a) | 135,000 | 147,469 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
32
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
ARD Finance S.A. | |||||||
6.50%, 06/30/27 (a) (j) | 130,000 | 134,391 | |||||
CEMEX S.A.B. de C.V. | |||||||
5.45%, 11/19/29 (a) | 150,000 | 156,394 | |||||
CF Industries, Inc. | |||||||
4.50%, 12/01/26 (a) | 287,000 | 312,733 | |||||
Corning Incorporated | |||||||
5.85%, 11/15/68 | 58,000 | 69,035 | |||||
FMG Resources (August 2006) Pty Ltd | |||||||
4.75%, 05/15/22 (a) | 105,000 | 108,691 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 (c) | 71,000 | 75,186 | |||||
5.00%, 09/01/27 | 47,000 | 49,572 | |||||
5.40%, 11/14/34 | 60,000 | 62,808 | |||||
FXI Holdings, Inc. | |||||||
7.88%, 11/01/24 (a) | 75,000 | 72,040 | |||||
LYB International Finance III, LLC | |||||||
4.20%, 10/15/49 | 63,000 | 65,605 | |||||
Martin Marietta Materials, Inc. | |||||||
2.55%, (3M USD LIBOR + 0.65%), 05/22/20 (b) | 333,000 | 333,424 | |||||
NOVA Chemicals Corporation | |||||||
4.88%, 06/01/24 (a) | 175,000 | 180,427 | |||||
Olin Corporation | |||||||
5.63%, 08/01/29 | 54,000 | 57,119 | |||||
Reynolds Group Holdings Inc. | |||||||
5.50%, (3M USD LIBOR + 3.50%), 07/15/21 (a) (b) | 161,000 | 161,225 | |||||
2,119,142 | |||||||
Utilities 4.6% | |||||||
Ameren Illinois Company | |||||||
4.50%, 03/15/49 | 104,000 | 127,634 | |||||
Basin Electric Power Cooperative | |||||||
4.75%, 04/26/47 (a) | 100,000 | 114,427 | |||||
DPL Inc. | |||||||
4.35%, 04/15/29 (a) | 127,000 | 123,028 | |||||
Electricite de France | |||||||
4.50%, 09/21/28 (a) (c) | 100,000 | 111,186 | |||||
Exelon Corporation | |||||||
5.10%, 06/15/45 | 112,000 | 134,888 | |||||
Florida Power & Light Company | |||||||
2.31%, (3M USD LIBOR + 0.40%), 05/06/22 (b) (c) | 500,000 | 499,952 | |||||
Nevada Power Company | |||||||
3.70%, 05/01/29 | 119,000 | 128,618 | |||||
Sempra Energy | |||||||
2.50%, (3M USD LIBOR + 0.50%), 01/15/21 (b) | 333,000 | 332,894 | |||||
Southern California Edison Company | |||||||
4.13%, 03/01/48 | 46,000 | 49,002 | |||||
The AES Corporation | |||||||
4.00%, 03/15/21 | 140,000 | 142,240 | |||||
Vistra Operations Company LLC | |||||||
3.55%, 07/15/24 (a) (c) | 168,000 | 170,818 | |||||
1,934,687 | |||||||
Industrials 4.6% | |||||||
Ashtead Capital, Inc. | |||||||
5.25%, 08/01/26 (a) | 124,000 | 132,742 | |||||
Avolon Holdings Funding Limited | |||||||
3.63%, 05/01/22 (a) | 125,000 | 128,150 | |||||
5.25%, 05/15/24 (a) | 342,000 | 373,902 | |||||
Bombardier Inc. | |||||||
5.75%, 03/15/22 (a) | 34,000 | 35,169 | |||||
7.50%, 03/15/25 (a) | 65,000 | 67,076 | |||||
7.88%, 04/15/27 (a) | 35,000 | 36,061 | |||||
Caterpillar Inc. | |||||||
3.25%, 09/19/49 | 100,000 | 100,120 | |||||
Equifax Inc. | |||||||
2.60%, 12/01/24 | 74,000 | 74,299 | |||||
Foxtrot Escrow Issuer LLC | |||||||
12.25%, 11/15/26 (a) | 75,000 | 78,211 | |||||
General Electric Company | |||||||
5.00%, (callable at 100 beginning 01/21/21) (c) (d) | 379,000 | 371,420 | |||||
Hillenbrand, Inc. | |||||||
4.50%, 09/15/26 (k) | 95,000 | 99,768 | |||||
United Rentals (North America), Inc. | |||||||
3.88%, 11/15/27 | 51,000 | 52,039 | |||||
Westinghouse Air Brake Technologies Corporation | |||||||
3.19%, (3M USD LIBOR + 1.30%), 09/15/21 (b) (c) | 375,000 | 377,589 | |||||
1,926,546 | |||||||
Consumer Discretionary 2.6% | |||||||
Adient US LLC | |||||||
7.00%, 05/15/26 (a) | 13,000 | 14,167 | |||||
Dollar Tree, Inc. | |||||||
2.70%, (3M USD LIBOR + 0.70%), 04/17/20 (b) (c) | 400,000 | 400,027 | |||||
Fiat Chrysler Automobiles N.V. | |||||||
5.25%, 04/15/23 | 103,000 | 110,144 | |||||
GLP Financing, LLC | |||||||
5.75%, 06/01/28 | 14,000 | 15,901 | |||||
KB Home | |||||||
7.63%, 05/15/23 | 67,000 | 75,421 | |||||
MDC Holdings Inc. | |||||||
6.00%, 01/15/43 | 14,000 | 14,591 | |||||
NCL Corporation Ltd. | |||||||
3.63%, 12/15/24 (a) | 122,000 | 123,520 | |||||
Scientific Games International, Inc. | |||||||
7.25%, 11/15/29 (a) | 70,000 | 76,026 | |||||
VOC Escrow Ltd. | |||||||
5.00%, 02/15/28 (a) | 85,000 | 89,195 | |||||
Volkswagen Group of America, Inc. | |||||||
4.63%, 11/13/25 (a) | 150,000 | 166,006 | |||||
1,084,998 | |||||||
Information Technology 2.1% | |||||||
Broadcom Inc. | |||||||
4.25%, 04/15/26 (a) | 75,000 | 79,680 | |||||
3.88%, 01/15/27 | 100,000 | 103,671 | |||||
Intel Corporation | |||||||
1.98%, (3M USD LIBOR + 0.08%), 05/11/20 (b) | 250,000 | 250,004 | |||||
Microsoft Corporation | |||||||
3.95%, 08/08/56 | 50,000 | 58,978 | |||||
NXP B.V. | |||||||
4.13%, 06/01/21 (a) | 200,000 | 204,576 | |||||
Paypal Holdings, Inc. | |||||||
2.40%, 10/01/24 | 115,000 | 116,060 | |||||
Radiate HoldCo, LLC | |||||||
6.88%, 02/15/23 (a) | 85,000 | 86,897 | |||||
899,866 | |||||||
Real Estate 1.6% | |||||||
Boston Properties Limited Partnership | |||||||
2.75%, 10/01/26 | 36,000 | 36,380 | |||||
2.90%, 03/15/30 | 110,000 | 109,725 | |||||
Equinix, Inc. | |||||||
3.20%, 11/18/29 | 66,000 | 66,359 | |||||
Service Properties Trust | |||||||
4.35%, 10/01/24 | 62,000 | 63,664 | |||||
4.75%, 10/01/26 | 65,000 | 66,768 | |||||
Simon Property Group, L.P. | |||||||
2.45%, 09/13/29 | 250,000 | 245,835 | |||||
VICI Properties Inc. | |||||||
4.25%, 12/01/26 (a) | 65,000 | 67,073 | |||||
655,804 | |||||||
Total Corporate Bonds And Notes (cost $30,230,536) | 31,409,322 | ||||||
SENIOR LOAN INTERESTS 18.2% | |||||||
Consumer Discretionary 6.0% | |||||||
1011778 B.C. Unlimited Liability Company | |||||||
Term Loan B4, 3.55%, (1M LIBOR + 1.75%), 11/14/26 (b) | 204,130 | 204,332 | |||||
Adient US LLC | |||||||
Term Loan B, 6.14%, (3M LIBOR + 4.25%), 05/03/24 (b) | 18,797 | 18,886 | |||||
Term Loan B, 6.19%, (3M LIBOR + 4.25%), 05/03/24 (b) | 56,015 | 56,281 | |||||
American Axle and Manufacturing, Inc. | |||||||
Term Loan B, 4.05%, (3M LIBOR + 2.25%), 03/10/24 (b) | 140,822 | 140,822 | |||||
Term Loan B, 4.19%, (3M LIBOR + 2.25%), 03/10/24 (b) | 35,012 | 35,012 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
33
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Aramark Services, Inc. | |||||||
Term Loan, 3.55%, (1M LIBOR + 1.75%), 03/01/25 (b) | 187,000 | 187,643 | |||||
Caesars Entertainment Operating Company | |||||||
Term Loan, 3.80%, (1M LIBOR + 2.00%), 04/03/24 (b) | 183,920 | 184,872 | |||||
Caesars Resort Collection, LLC | |||||||
2017 1st Lien Term Loan B, 4.55%, (1M LIBOR + 2.75%), 12/23/24 (b) | 146,231 | 146,383 | |||||
CityCenter Holdings, LLC | |||||||
2017 Term Loan B, 4.05%, (1M LIBOR + 2.25%), 04/14/24 (b) | 97,225 | 97,559 | |||||
CSC Holdings, LLC | |||||||
2017 1st Lien Term Loan, 3.99%, (1M LIBOR + 2.25%), 07/15/25 (b) | 157,975 | 158,063 | |||||
Four Seasons Hotels Limited | |||||||
New 1st Lien Term Loan, 3.80%, (1M LIBOR + 2.00%), 11/30/23 (b) | 123,096 | 123,882 | |||||
Golden Nugget, Inc. | |||||||
2017 Incremental Term Loan B, 4.55%, (1M LIBOR + 2.75%), 09/07/23 (b) | 4,196 | 4,206 | |||||
2017 Incremental Term Loan B, 4.72%, (3M LIBOR + 2.75%), 09/07/23 (b) | 83,829 | 84,039 | |||||
2017 Incremental Term Loan B, 4.68%, (3M LIBOR + 2.75%), 10/04/23 (b) | 94,902 | 95,140 | |||||
Marriott Ownership Resorts, Inc. | |||||||
2019 Term Loan B, 3.55%, (1M LIBOR + 1.75%), 08/29/25 (b) | 245,390 | 246,617 | |||||
Mohegan Tribal Gaming Authority | |||||||
2016 Term Loan B, 5.80%, (1M LIBOR + 4.00%), 10/30/23 (b) | 196,874 | 189,420 | |||||
Numericable Group SA | |||||||
USD Term Loan B11, 4.55%, (1M LIBOR + 2.75%), 07/31/25 (b) | 195,454 | 193,785 | |||||
PCI Gaming Authority | |||||||
Term Loan, 4.30%, (1M LIBOR + 2.50%), 05/15/26 (b) | 212,720 | 213,960 | |||||
Univision Communications Inc. | |||||||
Term Loan C5, 4.55%, (1M LIBOR + 2.75%), 03/15/24 (b) | 122,518 | 120,805 | |||||
2,501,707 | |||||||
Communication Services 3.3% | |||||||
Ancestry.com Operations Inc. | |||||||
2019 Extended Term Loan B, 5.96%, (1M LIBOR + 4.25%), 08/15/26 (b) | 113,081 | 110,891 | |||||
CenturyLink, Inc. | |||||||
2017 Term Loan B, 4.55%, (1M LIBOR + 2.75%), 01/15/25 (b) | 171,231 | 171,830 | |||||
Diamond Sports Group LLC | |||||||
Term Loan, 5.03%, (1M LIBOR + 3.25%), 08/24/26 (b) | 89,775 | 89,588 | |||||
Frontier Communications Corp. | |||||||
2017 Term Loan B1, 5.55%, (1M LIBOR + 3.75%), 05/31/24 (b) | 122,481 | 122,906 | |||||
Level 3 Financing Inc. | |||||||
2019 Term Loan B, 3.55%, (1M LIBOR + 1.75%), 03/01/27 (b) | 168,664 | 169,192 | |||||
Nexstar Broadcasting, Inc. | |||||||
2019 Term Loan B4, 4.45%, (1M LIBOR + 2.75%), 07/15/26 (b) | 249,152 | 250,313 | |||||
Sprint Communications, Inc. | |||||||
1st Lien Term Loan B, 4.31%, (1M LIBOR + 2.50%), 02/01/24 (b) | 147,721 | 146,281 | |||||
Terrier Media Buyer, Inc. | |||||||
Term Loan B, 0.00%, (3M LIBOR + 4.25%), 10/04/26 (b) (l) | 39,000 | 39,366 | |||||
Virgin Media Bristol LLC | |||||||
USD Term Loan N, 4.24%, (1M LIBOR + 2.50%), 10/03/27 (b) | 150,000 | 150,845 | |||||
Windstream Services, LLC | |||||||
Repriced Term Loan B6, 9.75%, (3M PRIME + 5.00%), 03/29/21 (b) | 149,237 | 142,555 | |||||
1,393,767 | |||||||
Materials 2.3% | |||||||
Berry Global, Inc. | |||||||
USD Term Loan U, 4.22%, (3M LIBOR + 2.50%), 07/01/26 (b) | 195,891 | 196,218 | |||||
BWAY Holding Company | |||||||
2017 Term Loan B, 5.23%, (3M LIBOR + 3.25%), 04/03/24 (b) | 286,519 | 285,267 | |||||
Flex Acquisition Company, Inc. | |||||||
1st Lien Term Loan, 5.10%, (3M LIBOR + 3.00%), 12/15/23 (b) | 68,024 | 67,372 | |||||
1st Lien Term Loan, 4.69%, (1M LIBOR + 3.00%), 12/29/23 (b) | 1,246 | 1,234 | |||||
Hexion Inc | |||||||
USD Exit Term Loan, 5.60%, (3M LIBOR + 3.50%), 06/27/26 (b) | 121,241 | 121,695 | |||||
Klockner-Pentaplast of America, Inc. | |||||||
USD 2017 Term Loan B2, 6.18%, (1M LIBOR + 4.25%), 06/30/22 (b) | 147,733 | 132,664 | |||||
Messer Industries GmbH | |||||||
2018 USD Term Loan, 4.44%, (3M LIBOR + 2.50%), 10/10/25 (b) | 120,092 | 120,659 | |||||
Proampac PG Borrower LLC | |||||||
2016 1st Lien Term Loan, 5.34%, (3M LIBOR + 3.50%), 11/18/23 (b) | 15,105 | 14,850 | |||||
2016 1st Lien Term Loan, 5.40%, (3M LIBOR + 3.50%), 11/18/23 (b) | 19,352 | 19,026 | |||||
2016 1st Lien Term Loan, 5.44%, (3M LIBOR + 3.50%), 11/18/23 (b) | 6,845 | 6,730 | |||||
2016 1st Lien Term Loan, 7.25%, (3M LIBOR + 3.50%), 11/18/23 (b) | 107 | 105 | |||||
965,820 | |||||||
Health Care 1.7% | |||||||
Air Methods Corporation | |||||||
2017 Term Loan B, 5.44%, (3M LIBOR + 3.50%), 04/12/24 (b) | 89,228 | 77,851 | |||||
Alphabet Holding Company, Inc. | |||||||
2017 1st Lien Term Loan, 5.30%, (1M LIBOR + 3.50%), 08/15/24 (b) | 88,640 | 85,316 | |||||
Change Healthcare Holdings LLC | |||||||
2017 Term Loan B, 4.30%, (1M LIBOR + 2.50%), 02/02/24 - 02/03/24 (b) | 125,915 | 126,249 | |||||
Endo Luxembourg Finance Company I S.a r.l. | |||||||
2017 Term Loan B, 6.06%, (1M LIBOR + 4.25%), 04/12/24 (b) | 132,955 | 126,972 | |||||
Phoenix Guarantor Inc | |||||||
Term Loan B, 6.21%, (1M LIBOR + 4.50%), 02/12/26 (b) | 166,250 | 167,000 | |||||
RegionalCare Hospital Partners Holdings, Inc. | |||||||
2018 Term Loan B, 6.30%, (1M LIBOR + 4.50%), 11/09/25 (b) | 148,125 | 149,199 | |||||
732,587 | |||||||
Energy 1.7% | |||||||
Buckeye Partners, L.P. | |||||||
2019 Term Loan B, 4.44%, (1M LIBOR + 2.75%), 10/10/26 (b) | 250,000 | 251,980 | |||||
California Resources Corporation | |||||||
2017 1st Lien Term Loan, 6.55%, (3M LIBOR + 4.75%), 11/08/22 (b) | 125,000 | 111,406 | |||||
Chesapeake Energy Corporation | |||||||
2019 Last Out Term Loan, 9.93%, (3M LIBOR + 8.00%), 06/09/24 (b) | 50,000 | 51,417 | |||||
Lower Cadence Holdings LLC | |||||||
Term Loan B, 5.80%, (1M LIBOR + 4.00%), 05/10/26 (b) | 193,400 | 190,863 | |||||
Traverse Midstream Partners LLC | |||||||
Term Loan, 5.80%, (1M LIBOR + 4.00%), 09/22/24 (b) | 98,750 | 88,678 | |||||
694,344 | |||||||
Consumer Staples 1.0% | |||||||
BJ's Wholesale Club, Inc. | |||||||
2017 1st Lien Term Loan, 4.49%, (1M LIBOR + 2.75%), 01/26/24 (b) | 100,380 | 100,984 | |||||
Diamond (BC) B.V. | |||||||
Term Loan, 4.93%, (3M LIBOR + 3.00%), 07/24/24 (b) | 167,437 | 163,586 | |||||
JBS USA Lux S.A. | |||||||
2019 Term Loan B, 3.80%, (1M LIBOR + 2.00%), 04/27/26 (b) | 146,265 | 147,117 | |||||
411,687 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
34
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | ||||||
Industrials 1.0% | |||||||
Gardner Denver, Inc. | |||||||
2017 USD Term Loan B, 4.55%, (1M LIBOR + 2.75%), 07/30/24 (b) | 94,663 | 95,213 | |||||
Genesee & Wyoming Inc. | |||||||
Term Loan, 0.00%, (3M LIBOR + 2.00%), 11/05/26 (b) (l) | 76,000 | 76,651 | |||||
Tempo Acquisition LLC | |||||||
Term Loan, 4.55%, (1M LIBOR + 2.75%), 04/20/24 (b) | 226,515 | 227,695 | |||||
399,559 | |||||||
Utilities 0.6% | |||||||
Calpine Corporation | |||||||
Term Loan B5, 4.20%, (3M LIBOR + 2.25%), 05/23/22 (b) | 196,907 | 197,799 | |||||
Pacific Gas And Electric Company | |||||||
DIP Term Loan, 3.97%, (1M LIBOR + 2.25%), 12/31/20 (b) (e) | 75,000 | 75,000 | |||||
272,799 | |||||||
Information Technology 0.4% | |||||||
Radiate Holdco, LLC | |||||||
1st Lien Term Loan, 4.80%, (1M LIBOR + 3.00%), 12/09/23 (b) | 152,646 | 153,104 | |||||
Financials 0.2% | |||||||
BCP Renaissance Parent LLC | |||||||
2017 Term Loan B, 5.35%, (3M LIBOR + 3.50%), 09/20/24 (b) | 100,838 | 89,115 | |||||
Total Senior Loan Interests (cost $7,633,075) | 7,614,489 | ||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 11.8% | |||||||
American Airlines, Inc. | |||||||
Series 2013-B-2, 5.60%, 07/15/20 (a) | 47,804 | 48,448 | |||||
AmeriCredit Automobile Receivables Trust | |||||||
Series 2018-A3-1, 3.07%, 01/19/21 (c) | 750,000 | 754,560 | |||||
Ascentium Equipment Receivables Trust | |||||||
Series 2018-A2-1A, 2.92%, 12/10/20 (a) | 9,270 | 9,278 | |||||
Series 2017-A3-2A, 2.31%, 12/10/21 (a) | 69,628 | 69,748 | |||||
BX Commercial Mortgage Trust | |||||||
Series 2018-A-IND, 2.49%, (1M USD LIBOR + 0.75%), 10/15/20 (a) (b) (c) | 427,945 | 427,144 | |||||
CCG Receivables Trust | |||||||
Series 2018-A2-1, 2.50%, 02/14/21 (a) | 38,252 | 38,321 | |||||
CIG Auto Receivables Trust | |||||||
Series 2017-A-1A, 2.71%, 05/15/23 (a) | 11,258 | 11,271 | |||||
Citibank Credit Card Issuance Trust | |||||||
Series 2017-A4-A4, 1.93%, (1M USD LIBOR + 0.22%), 04/07/20 (b) (c) | 500,000 | 500,350 | |||||
COMM Mortgage Trust | |||||||
Series 2014-A3-CR21, REMIC, 3.53%, 12/12/24 | 233,576 | 244,948 | |||||
Dell Equipment Finance Trust | |||||||
Series 2018-A2A-1, 2.97%, 10/22/20 (a) | 24,283 | 24,314 | |||||
DLL LLC | |||||||
Series 2019-A2-MT3, 2.13%, 01/20/22 (a) | 250,000 | 249,875 | |||||
GLS Auto Receivables Trust | |||||||
Series 2019-A-1A, 3.37%, 03/15/21 (a) | 81,077 | 81,545 | |||||
Series 2018-A-3A, 3.35%, 08/15/22 (a) | 27,564 | 27,674 | |||||
GM Financial Consumer Automobile Receivables Trust | |||||||
Series 2019-A2A-4, 1.84%, 11/16/22 | 250,000 | 249,685 | |||||
GreatAmerica Financial Services Corporation | |||||||
Series 2019-A2-1, 2.97%, 09/15/20 (a) | 124,303 | 124,689 | |||||
GS Mortgage Securities Corp Trust | |||||||
Series 2017-B-SLP, REMIC, 3.77%, 10/12/22 (a) | 175,000 | 179,619 | |||||
HPEFS Equipment Trust | |||||||
Series 2019-A2-1A, 2.19%, 09/20/29 (a) | 100,000 | 100,098 | |||||
John Deere Owner Trust | |||||||
Series 2019-A2-B, 2.28%, 04/15/21 | 396,000 | 396,901 | |||||
Prestige Auto Receivables Trust | |||||||
Series 2019-A2-1A, 2.44%, 12/15/20 (a) | 800,848 | 801,848 | |||||
Verizon Owner Trust | |||||||
Series 2018-A1A-1A, 2.82%, 03/22/21 (a) | 500,000 | 503,172 | |||||
Volvo Financial Equipment LLC | |||||||
Series 2019-A2-1A, 2.90%, 10/15/20 (a) | 100,672 | 101,038 | |||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $4,935,936) | 4,944,526 | ||||||
INVESTMENT COMPANIES 2.5% | |||||||
Kayne Anderson MLP Investment Co. | 2,582 | 35,967 | |||||
SPDR Bloomberg Barclays High Yield Bond ETF (c) | 9,300 | 1,018,721 | |||||
Total Investment Companies (cost $1,040,179) | 1,054,688 | ||||||
GOVERNMENT AND AGENCY OBLIGATIONS 0.2% | |||||||
Municipal 0.2% | |||||||
Dormitory Authority State of New York | |||||||
3.19%, 02/15/43 (m) | 80,000 | 80,292 | |||||
Total Government And Agency Obligations (cost $80,000) | 80,292 | ||||||
COMMON STOCKS 0.1% | |||||||
Communication Services 0.1% | |||||||
Clear Channel Outdoor Holdings, Inc. (g) | 6,438 | 18,413 | |||||
iHeartMedia, Inc. (e) (g) | 250,000 | — | |||||
iHeartMedia, Inc. - Class A (g) | 310 | 5,239 | |||||
23,652 | |||||||
Energy 0.0% | |||||||
Chaparral Energy, Inc. - Class A (g) | 8,604 | 15,143 | |||||
Total Common Stocks (cost $196,887) | 38,795 | ||||||
WARRANTS 0.1% | |||||||
iHeartMedia, Inc. (g) (n) | 2,328 | 35,409 | |||||
Total Warrants (cost $42,970) | 35,409 | ||||||
SHORT TERM INVESTMENTS 3.2% | |||||||
Investment Companies 3.2% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.54% (o) | 1,334,852 | 1,334,852 | |||||
Total Short Term Investments (cost $1,334,852) | 1,334,852 | ||||||
Total Investments 111.1% (cost $45,494,435) | 46,512,373 | ||||||
Total Securities Sold Short (12.2)% (proceeds $4,560,629) | (5,091,625) | ||||||
Other Derivative Instruments 0.0% | 15,483 | ||||||
Other Assets and Liabilities, Net 1.1% | 435,193 | ||||||
Total Net Assets 100.0% | 41,871,424 |
(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 Board of Trustees. Determinations of liquidity are unaudited. As of December 31, 2019, the value and the percentage of net assets of these liquid securities was $12,609,160 and 30.1% of the Fund.
(b) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of December 31, 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) All or a portion of the security is pledged or segregated as collateral.
(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 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) Security is restricted to resale to institutional investors. See Restricted Securities table following the Schedules of Investments.
(g) Non-income producing security.
(h) As of December 31, 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.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
35
PPMFunds
Schedules of Investments
December 31, 2019
(i) Convertible security.
(j) 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.
(k) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(l) This senior loan will settle after December 31, 2019. If a reference rate and spread is presented, it will go into effect upon settlement.
(m) All or a portion of the security was purchased on a delayed delivery basis. As of December 31, 2019, the total payable for investments purchased on a delayed delivery basis was $80,000.
(n) Security fair valued in good faith as a Level 2 security in accordance with the procedures approved by the Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(o) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2019.
Shares/Par1 | Value ($) | ||||||
SECURITIES SOLD SHORT (12.2%) | |||||||
CORPORATE BONDS AND NOTES (10.6%) | |||||||
Financials (3.4%) | |||||||
Bank of America Corporation | |||||||
3.95%, 01/23/49 | (1,250,000) | (1,429,261) | |||||
Communication Services (3.2%) | |||||||
Verizon Communications Inc. | |||||||
4.52%, 09/15/48 | (1,123,000) | (1,347,313) | |||||
Materials (1.2%) | |||||||
International Paper Company | |||||||
3.00%, 02/15/27 | (500,000) | (514,016) | |||||
Consumer Discretionary (1.0%) | |||||||
Harley-Davidson, Inc. | |||||||
3.50%, 07/28/25 | (400,000) | (416,693) | |||||
Energy (1.0%) | |||||||
Southwestern Energy Company | |||||||
6.20%, 01/23/25 (a) | (432,000) | (398,062) | |||||
Information Technology (0.8%) | |||||||
Intel Corporation | |||||||
4.10%, 05/11/47 | (275,000) | (318,030) | |||||
Total Corporate Bonds And Notes (proceeds $3,903,046) | (4,423,375) | ||||||
GOVERNMENT AND AGENCY OBLIGATIONS (1.6%) | |||||||
Sovereign (1.6%) | |||||||
El Gobierno De La Republica Oriental Del Uruguay | |||||||
4.38%, 10/27/27 | (600,000) | (668,250) | |||||
Total Government And Agency Obligations (proceeds $657,583) | (668,250) | ||||||
Total Securities Sold Short (12.2%) (proceeds $4,560,629) | (5,091,625) |
(a) Security is a step-up bond where the coupon may increase or step up at a future date or as the result of an upgrade or downgrade to the credit rating of the issuer. Rate stated was the coupon as of December 31, 2019.
Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
Pacific Gas And Electric Company – DIP Delayed Draw Term Loan‡ | 24,875 | 125 | ||||
24,875 | 125 |
‡ Security fair valued in good faith as a Level 3 security in accordance with the procedures approved by the PPM Funds’ Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Schedules of Investments.
PPM Long Short Credit Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (24) | March 2020 | (3,110,551) | 2,625 | 28,426 | ||||||||||
United States 10 Year Ultra Bond | (23) | March 2020 | (3,273,953) | 3,953 | 37,781 | ||||||||||
United States 2 Year Note | (6) | April 2020 | (1,293,651) | (281) | 651 | ||||||||||
United States 5 Year Note | (41) | April 2020 | (4,880,144) | 961 | 17,159 | ||||||||||
United States Long Bond | (9) | March 2020 | (1,433,559) | 3,094 | 30,402 | ||||||||||
United States Ultra Bond | (4) | March 2020 | (751,501) | 4,625 | 24,877 | ||||||||||
14,977 | 139,296 |
PPM Long Short Credit Fund — Centrally Cleared Credit Default Swap Agreements | ||||||||||||||||||
Reference Entity2 | Fixed Receive/ Pay Rate (%) | Expiration | Notional1 | Value ($) | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Credit default swap agreements - purchase protection | ||||||||||||||||||
CDX.NA.IG.33 (Q) | 1.00 | 12/20/24 | 3,380,000 | (87,651) | 506 | (20,409) | ||||||||||||
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
36
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | |||||
PPM Large Cap Value Fund | ||||||
COMMON STOCKS 99.3% | ||||||
Financials 23.2% | ||||||
Bank of America Corporation | 5,300 | 186,666 | ||||
Citigroup Inc. | 2,300 | 183,747 | ||||
Huntington Bancshares Incorporated | 10,500 | 158,340 | ||||
JPMorgan Chase & Co. | 1,300 | 181,220 | ||||
Lincoln National Corporation | 2,500 | 147,525 | ||||
Morgan Stanley | 3,800 | 194,256 | ||||
Synovus Financial Corp. | 3,800 | 148,960 | ||||
The Allstate Corporation | 1,400 | 157,430 | ||||
The Goldman Sachs Group, Inc. | 650 | 149,455 | ||||
The Hartford Financial Services Group, Inc. | 3,000 | 182,310 | ||||
The PNC Financial Services Group, Inc. | 700 | 111,741 | ||||
Wells Fargo & Company | 1,500 | 80,700 | ||||
1,882,350 | ||||||
Information Technology 15.2% | ||||||
Ads Alliance Data Systems Inc. | 800 | 89,760 | ||||
Apple Inc. | 800 | 234,920 | ||||
Avnet, Inc. | 2,000 | 84,880 | ||||
Cisco Systems, Inc. | 2,800 | 134,288 | ||||
Intel Corporation | 1,400 | 83,790 | ||||
International Business Machines Corporation | 575 | 77,073 | ||||
Leidos Holdings Inc. | 1,850 | 181,097 | ||||
Microsoft Corporation | 800 | 126,160 | ||||
Nuance Communications, Inc. (a) | 4,800 | 85,584 | ||||
Qualcomm Incorporated | 1,500 | 132,345 | ||||
1,229,897 | ||||||
Health Care 14.4% | ||||||
AbbVie Inc. | 2,000 | 177,080 | ||||
Cigna Holding Company | 1,100 | 224,939 | ||||
CVS Health Corporation | 2,300 | 170,867 | ||||
Johnson & Johnson | 800 | 116,696 | ||||
McKesson Corporation | 1,100 | 152,152 | ||||
Merck & Co., Inc. | 1,400 | 127,330 | ||||
Pfizer Inc. | 5,000 | 195,900 | ||||
1,164,964 | ||||||
Consumer Discretionary 8.5% | ||||||
Best Buy Co., Inc. | 1,000 | 87,800 | ||||
Foot Locker, Inc. | 2,700 | 105,273 | ||||
General Motors Company | 5,200 | 190,320 | ||||
Newell Brands Inc. | 5,800 | 111,476 | ||||
Royal Caribbean Cruises Ltd. | 1,450 | 193,589 | ||||
688,458 | ||||||
Industrials 7.8% | ||||||
Caterpillar Inc. | 1,100 | 162,448 | ||||
Delta Air Lines Inc. | 3,000 | 175,440 | ||||
Robert Half International Inc. | 1,300 | 82,095 | ||||
Spirit Aerosystems Holdings Inc. - Class A | 1,600 | 116,608 | ||||
Textron Inc. | 2,200 | 98,120 | ||||
634,711 | ||||||
Energy 7.3% | ||||||
Apache Corporation | 6,200 | 158,658 | ||||
Chevron Corporation | 1,600 | 192,816 | ||||
Exxon Mobil Corporation | 1,500 | 104,670 | ||||
Halliburton Company | 5,500 | 134,585 | ||||
590,729 | ||||||
Communication Services 7.2% | ||||||
AT&T Inc. | 4,500 | 175,860 | ||||
Comcast Corporation - Class A | 4,400 | 197,868 | ||||
ViacomCBS Inc. - Class B | 5,068 | 212,704 | ||||
586,432 | ||||||
Consumer Staples 6.5% | ||||||
Altria Group, Inc. | 3,000 | 149,730 | ||||
Archer-Daniels-Midland Company | 3,700 | 171,495 | ||||
Campbell Soup Company | 2,000 | 98,840 | ||||
The Kroger Co. | 3,700 | 107,263 | ||||
527,328 | ||||||
Utilities 4.6% | ||||||
The AES Corporation | 10,400 | 206,960 | ||||
Vistra Energy Corp. | 7,400 | 170,126 | ||||
377,086 | ||||||
Materials 3.3% | ||||||
Berry Global Group, Inc. (a) | 3,100 | 147,219 | ||||
Nucor Corporation | 2,100 | 118,188 | ||||
265,407 | ||||||
Real Estate 1.3% | ||||||
Simon Property Group, Inc. | 700 | 104,272 | ||||
Total Common Stocks (cost $7,568,023) | 8,051,634 | |||||
SHORT TERM INVESTMENTS 0.6% | ||||||
Investment Companies 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.54% (b) | 52,433 | 52,433 | ||||
Total Short Term Investments (cost $52,433) | 52,433 | |||||
Total Investments 99.9% (cost $7,620,456) | 8,104,067 | |||||
Other Assets and Liabilities, Net 0.1% | 7,238 | |||||
Total Net Assets 100.0% | 8,111,305 |
(a) Non-income producing security.
(b) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2019.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
37
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | |||||
PPM Mid Cap Value Fund | ||||||
COMMON STOCKS 99.4% | ||||||
Financials 22.3% | ||||||
American Financial Group, Inc. | 1,300 | 142,545 | ||||
Home BancShares, Inc. | 4,600 | 90,436 | ||||
Huntington Bancshares Incorporated | 9,600 | 144,768 | ||||
Janus Henderson Group PLC | 6,000 | 146,700 | ||||
Reinsurance Group of America, Incorporated | 900 | 146,754 | ||||
Sterling Bancorp | 2,700 | 56,916 | ||||
Synovus Financial Corp. | 3,900 | 152,880 | ||||
TCF Financial Corporation | 3,200 | 149,760 | ||||
The Allstate Corporation | 1,200 | 134,940 | ||||
The Hartford Financial Services Group, Inc. | 2,400 | 145,848 | ||||
1,311,547 | ||||||
Industrials 13.5% | ||||||
Delta Air Lines Inc. | 2,000 | 116,960 | ||||
Kennametal Inc. | 4,000 | 147,560 | ||||
MasTec Inc. (a) | 1,800 | 115,488 | ||||
Robert Half International Inc. | 1,000 | 63,150 | ||||
Spirit Aerosystems Holdings Inc. - Class A | 1,200 | 87,456 | ||||
Terex Corp. | 4,600 | 136,988 | ||||
Textron Inc. | 2,800 | 124,880 | ||||
792,482 | ||||||
Information Technology 11.8% | ||||||
Avnet, Inc. | 1,800 | 76,392 | ||||
Belden Inc. | 1,600 | 88,000 | ||||
CACI International Inc. - Class A (a) | 300 | 74,997 | ||||
Leidos Holdings Inc. | 1,000 | 97,890 | ||||
Nuance Communications, Inc. (a) | 4,200 | 74,886 | ||||
Semtech Corp. (a) | 2,000 | 105,800 | ||||
Teradata Corporation (a) | 1,800 | 48,186 | ||||
Teradyne Inc. | 1,000 | 68,190 | ||||
Western Digital Corporation | 900 | 57,123 | ||||
691,464 | ||||||
Consumer Discretionary 10.9% | ||||||
Best Buy Co., Inc. | 1,000 | 87,800 | ||||
Foot Locker, Inc. | 2,000 | 77,980 | ||||
Helen of Troy Ltd (a) | 700 | 125,853 | ||||
Newell Brands Inc. | 5,100 | 98,022 | ||||
Penske Automotive Group, Inc. | 1,700 | 85,374 | ||||
Royal Caribbean Cruises Ltd. | 1,250 | 166,887 | ||||
641,916 | ||||||
Materials 8.5% | ||||||
Allegheny Technologies Incorporated (a) | 2,500 | 51,650 | ||||
Berry Global Group, Inc. (a) | 1,800 | 85,482 | ||||
Huntsman Corp. | 3,400 | 82,144 | ||||
Nucor Corporation | 900 | 50,652 | ||||
Reliance Steel & Aluminum Co. | 1,100 | 131,736 | ||||
Steel Dynamics Inc. | 2,800 | 95,312 | ||||
496,976 | ||||||
Health Care 7.4% | ||||||
Cigna Holding Company | 600 | 122,694 | ||||
Magellan Health Services Inc. (a) | 1,400 | 109,550 | ||||
McKesson Corporation | 1,000 | 138,320 | ||||
Mednax, Inc. (a) | 2,400 | 66,696 | ||||
437,260 | ||||||
Utilities 6.9% | ||||||
PNM Resources, Inc. | 2,500 | 126,775 | ||||
The AES Corporation | 7,700 | 153,230 | ||||
Vistra Energy Corp. | 5,400 | 124,146 | ||||
404,151 | ||||||
Consumer Staples 6.4% | ||||||
Campbell Soup Company | 2,500 | 123,550 | ||||
Ingredion Inc. | 1,700 | 158,015 | ||||
The Kroger Co. | 3,200 | 92,768 | ||||
374,333 | ||||||
Energy 4.4% | ||||||
Apache Corporation | 2,000 | 51,180 | ||||
National Oilwell Varco, Inc. | 2,700 | 67,635 | ||||
PBF Energy Inc. - Class A | 4,500 | 141,165 | ||||
259,980 | ||||||
Real Estate 3.9% | ||||||
Physicians Realty Trust | 5,600 | 106,064 | ||||
Regency Centers Corp. | 2,000 | 126,180 | ||||
232,244 | ||||||
Communication Services 3.4% | ||||||
Meredith Corporation (b) | 1,600 | 51,952 | ||||
ViacomCBS Inc. - Class B | 3,577 | 150,127 | ||||
202,079 | ||||||
Total Common Stocks (cost $5,571,136) | 5,844,432 | |||||
SHORT TERM INVESTMENTS 1.4% | ||||||
Securities Lending Collateral 0.9% | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56% (c) | 52,400 | 52,400 | ||||
Investment Companies 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.54% (c) | 27,477 | 27,477 | ||||
Total Short Term Investments (cost $79,877) | 79,877 | |||||
Total Investments 100.8% (cost $5,651,013) | 5,924,309 | |||||
Other Assets and Liabilities, Net (0.8)% | (47,819) | |||||
Total Net Assets 100.0% | 5,876,490 |
(a) Non-income producing security.
(b) All or a portion of the security was on loan as of December 31, 2019.
(c) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2019.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
38
PPMFunds
Schedules of Investments
December 31, 2019
Shares/Par1 | Value ($) | |||||
PPM Small Cap Value Fund | ||||||
COMMON STOCKS 99.4% | ||||||
Financials 23.1% | ||||||
Ameris Bancorp | 4,700 | 199,938 | ||||
Axos Financial, Inc. (a) | 9,000 | 272,520 | ||||
Banc of California, Inc. | 11,300 | 194,134 | ||||
Home BancShares, Inc. | 13,500 | 265,410 | ||||
Independent Bank Corp. | 3,100 | 258,075 | ||||
Janus Henderson Group PLC | 9,000 | 220,050 | ||||
National General Holdings Corp. | 7,500 | 165,750 | ||||
Renasant Corporation | 7,500 | 265,650 | ||||
Sterling Bancorp | 11,000 | 231,880 | ||||
TCF Financial Corporation | 6,300 | 294,840 | ||||
Western Alliance Bancorp | 3,100 | 176,700 | ||||
2,544,947 | ||||||
Industrials 17.2% | ||||||
Aerojet Rocketdyne Holdings, Inc. (a) | 3,300 | 150,678 | ||||
Apogee Enterprises, Inc. | 6,000 | 195,000 | ||||
GATX Corporation | 3,200 | 265,120 | ||||
Kennametal Inc. | 8,300 | 306,187 | ||||
SkyWest Inc. | 4,300 | 277,909 | ||||
Steelcase Inc. - Class A | 7,000 | 143,220 | ||||
Terex Corp. | 9,300 | 276,954 | ||||
Triumph Group Inc. | 11,000 | 277,970 | ||||
1,893,038 | ||||||
Information Technology 15.1% | ||||||
Belden Inc. | 3,700 | 203,500 | ||||
Benchmark Electronics, Inc. | 3,900 | 134,004 | ||||
CACI International Inc. - Class A (a) | 1,100 | 274,989 | ||||
CSG Systems International, Inc. | 3,200 | 165,696 | ||||
KBR, Inc. | 3,600 | 109,800 | ||||
Photronics Inc. (a) | 8,600 | 135,536 | ||||
Semtech Corp. (a) | 4,500 | 238,050 | ||||
SYNNEX Corporation | 1,400 | 180,320 | ||||
Teradata Corporation (a) | 3,500 | 93,695 | ||||
Verint Systems Inc. (a) | 2,300 | 127,328 | ||||
1,662,918 | ||||||
Consumer Discretionary 9.9% | ||||||
American Axle & Manufacturing Holdings, Inc. (a) | 27,500 | 295,900 | ||||
Helen of Troy Ltd (a) | 1,600 | 287,664 | ||||
Penske Automotive Group, Inc. | 5,200 | 261,144 | ||||
Skechers U.S.A. Inc. - Class A (a) | 5,700 | 246,183 | ||||
1,090,891 | ||||||
Health Care 8.3% | ||||||
Integer Holdings Corporation (a) | 2,800 | 225,204 | ||||
Magellan Health Services Inc. (a) | 4,000 | 313,000 | ||||
Mednax, Inc. (a) | 6,500 | 180,635 | ||||
Owens & Minor Inc. | 12,600 | 65,142 | ||||
Premier Healthcare Solutions, Inc. - Class A (a) | 3,400 | 128,792 | ||||
912,773 | ||||||
Real Estate 7.2% | ||||||
Brandywine Realty Trust | 10,400 | 163,800 | ||||
DiamondRock Hospitality Co. | 18,800 | 208,304 | ||||
Kite Realty Naperville, LLC | 11,800 | 230,454 | ||||
Physicians Realty Trust | 10,000 | 189,400 | ||||
791,958 | ||||||
Energy 5.9% | ||||||
Helix Energy Solutions Group, Inc. (a) | 25,000 | 240,750 | ||||
Patterson-UTI Energy Inc. | 18,300 | 192,150 | ||||
PBF Energy Inc. - Class A | 7,100 | 222,727 | ||||
655,627 | ||||||
Materials 5.2% | ||||||
Allegheny Technologies Incorporated (a) | 10,500 | 216,930 | ||||
Olin Corporation | 11,500 | 198,375 | ||||
Reliance Steel & Aluminum Co. | 1,300 | 155,688 | ||||
570,993 | ||||||
Consumer Staples 3.4% | ||||||
Cott Corporation | 19,600 | 268,128 | ||||
Ingredion Inc. | 1,200 | 111,540 | ||||
379,668 | ||||||
Utilities 2.5% | ||||||
PNM Resources, Inc. | 5,500 | 278,905 | ||||
Communication Services 1.6% | ||||||
Meredith Corporation (b) | 5,500 | 178,585 | ||||
Total Common Stocks (cost $10,670,276) | 10,960,303 | |||||
SHORT TERM INVESTMENTS 2.2% | ||||||
Securities Lending Collateral 1.6% | ||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56% (c) | 180,125 | 180,125 | ||||
Investment Companies 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 1.54% (c) | 65,457 | 65,457 | ||||
Total Short Term Investments (cost $245,582) | 245,582 | |||||
Total Investments 101.6% (cost $10,915,858) | 11,205,885 | |||||
Other Assets and Liabilities, Net (1.6)% | (176,980) | |||||
Total Net Assets 100.0% | 11,028,905 |
(a) Non-income producing security.
(b) All or a portion of the security was on loan as of December 31, 2019.
(c) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of December 31, 2019.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
39
PPMFunds
Schedules of Investments
December 31, 2019
Currency Abbreviations:
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 | |
Counterparty Abbreviations:
BOA - Bancamerica Securities/Bank of America NA. |
MLP - Merrill Lynch Professional Clearing Corp. |
SSB - State Street Brokerage Services, Inc. |
1Par and notional amounts are listed in USD unless otherwise noted. 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.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 40
40
PPMFunds
Statements of Assets and Liabilities
December 31, 2019
|
| PPM Core Plus Fixed Income Fund |
| PPM Floating Rate Income Fund |
| PPM High Yield Core Fund |
| PPM Long Short Credit Fund |
| PPM Large Cap Value Fund |
| PPM Mid Cap Value Fund |
| PPM Small Cap Value Fund |
| |||||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Investments - unaffiliated, at value | $ | 51,720,618 |
| $ | 54,872,224 |
| $ | 56,683,429 |
| $ | 46,512,373 |
| $ | 8,104,067 |
| $ | 5,924,309 |
| $ | 11,205,885 |
| |
Variation margin on futures |
| 4,121 |
|
| — |
|
| 1,680 |
|
| 15,258 |
|
| — |
|
| — |
|
| — |
| |
Variation margin on swap agreements |
| 75 |
|
| — |
|
| — |
|
| 506 |
|
| — |
|
| — |
|
| — |
| |
Cash |
| 1,087 |
|
| 317,980 |
|
| — |
|
| 19,403 |
|
| — |
|
| — |
|
| 1,463 |
| |
Receivable from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities sold |
| — |
|
| 188,687 |
|
| 17,544 |
|
| 713,496 |
|
| — |
|
| — |
|
| — |
|
| Dividends and interest |
| 309,171 |
|
| 107,903 |
|
| 764,689 |
|
| 313,348 |
|
| 12,171 |
|
| 9,164 |
|
| 10,566 |
|
| Adviser |
| 20,832 |
|
| 16,604 |
|
| 17,462 |
|
| 14,706 |
|
| 2,480 |
|
| 1,572 |
|
| 3,430 |
|
| Deposits with brokers and counterparties |
| 71,343 |
|
| 4,345 |
|
| 19,580 |
|
| 182,539 |
|
| — |
|
| — |
|
| — |
|
Other assets |
| 2,253 |
|
| 2,624 |
|
| 2,191 |
|
| 2,409 |
|
| 869 |
|
| 782 |
|
| 940 |
| |
Total assets |
| 52,129,500 |
|
| 55,510,367 |
|
| 57,506,575 |
|
| 47,774,038 |
|
| 8,119,587 |
|
| 5,935,827 |
|
| 11,222,284 |
| |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Cash overdraft |
| — |
|
| — |
|
| 58,567 |
|
| — |
|
| — |
|
| — |
|
| — |
| |
Foreign currency overdraft |
| 17 |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
| |
Securities sold short, at value |
| — |
|
| — |
|
| — |
|
| 5,091,625 |
|
| — |
|
| — |
|
| — |
| |
Variation margin on futures |
| 9,492 |
|
| — |
|
| — |
|
| 281 |
|
| — |
|
| — |
|
| — |
| |
Payable for: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities purchased |
| 746,141 |
|
| 1,919,667 |
|
| 179,791 |
|
| 697,993 |
|
| — |
|
| — |
|
| — |
|
| Return of securities loaned |
| — |
|
| 116,665 |
|
| 1,606,904 |
|
| — |
|
| — |
|
| 52,400 |
|
| 180,125 |
|
| Dividends/interest on securities sold short |
| — |
|
| — |
|
| — |
|
| 66,526 |
|
| — |
|
| — |
|
| — |
|
| Interest expense and brokerage charges |
| — |
|
| — |
|
| — |
|
| 4,761 |
|
| — |
|
| — |
|
| — |
|
| Advisory fees |
| 18,411 |
|
| 24,805 |
|
| 24,424 |
|
| 20,268 |
|
| 4,061 |
|
| 3,447 |
|
| 7,434 |
|
| Administrative fees |
| 4,603 |
|
| 4,510 |
|
| 4,440 |
|
| 4,054 |
|
| 677 |
|
| 492 |
|
| 929 |
|
| Board of trustee fees |
| 85 |
|
| 100 |
|
| 71 |
|
| 101 |
|
| — |
|
| 34 |
|
| 246 |
|
| Chief compliance officer fees |
| 1,810 |
|
| 1,705 |
|
| 1,757 |
|
| 1,695 |
|
| 244 |
|
| 199 |
|
| 469 |
|
| Other expenses |
| 16,344 |
|
| 15,297 |
|
| 15,800 |
|
| 15,310 |
|
| 3,300 |
|
| 2,765 |
|
| 4,176 |
|
Total liabilities |
| 796,903 |
|
| 2,082,749 |
|
| 1,891,754 |
|
| 5,902,614 |
|
| 8,282 |
|
| 59,337 |
|
| 193,379 |
| |
Net assets | $ | 51,332,597 |
| $ | 53,427,618 |
| $ | 55,614,821 |
| $ | 41,871,424 |
| $ | 8,111,305 |
| $ | 5,876,490 |
| $ | 11,028,905 |
| |
Net assets consist of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Paid-in capital | $ | 49,189,159 |
| $ | 54,465,126 |
| $ | 55,048,614 |
| $ | 42,348,992 |
| $ | 7,889,936 |
| $ | 6,118,737 |
| $ | 11,433,224 |
| |
Total distributable earnings (loss) |
| 2,143,438 |
|
| (1,037,508 | ) |
| 566,207 |
|
| (477,568 | ) |
| 221,369 |
|
| (242,247 | ) |
| (404,319 | ) | |
Net assets | $ | 51,332,597 |
| $ | 53,427,618 |
| $ | 55,614,821 |
| $ | 41,871,424 |
| $ | 8,111,305 |
| $ | 5,876,490 |
| $ | 11,028,905 |
| |
Net assets - Institutional Class | $ | 51,332,597 |
| $ | 53,427,618 |
| $ | 55,614,821 |
| $ | 41,871,424 |
| $ | 8,111,305 |
| $ | 5,876,490 |
| $ | 11,028,905 |
| |
Shares outstanding - Institutional Class |
| 4,936,795 |
|
| 5,480,993 |
|
| 5,514,343 |
|
| 4,229,947 |
|
| 796,128 |
|
| 619,545 |
|
| 1,130,443 |
| |
Net asset value per share - Institutional Class | $ | 10.40 |
| $ | 9.75 |
| $ | 10.09 |
| $ | 9.90 |
| $ | 10.19 |
| $ | 9.49 |
| $ | 9.76 |
| |
Investments - unaffiliated, at cost | $ | 49,899,193 |
| $ | 55,286,244 |
| $ | 54,920,134 |
| $ | 45,494,435 |
| $ | 7,620,456 |
| $ | 5,651,013 |
| $ | 10,915,858 |
| |
Proceeds from securities sold short |
| — |
|
| — |
|
| — |
|
| 4,560,629 |
|
| — |
|
| — |
|
| — |
| |
Securities on loan included in |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments - unaffiliated, at value |
| 382,438 |
|
| 337,791 |
|
| 1,579,937 |
|
| — |
|
| — |
|
| 51,952 |
|
| 178,585 |
|
See accompanying Notes to Financial Statements.
41
PPMFunds
Statements of Operations
For the Year Ended December 31, 2019
|
|
| PPM Core Plus Fixed Income Fund |
| PPM Floating Rate Income Fund |
| PPM High Yield Core Fund |
| PPM Long Short Credit Fund |
| PPM Large Cap Value Fund |
| PPM Mid Cap Value Fund |
| PPM Small Cap Value Fund |
| |||||||
Investment income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Dividends | $ | — |
| $ | 30,242 |
| $ | 100,509 |
| $ | 73,932 |
| $ | 204,849 |
| $ | 124,727 |
| $ | 158,557 |
| ||
Foreign taxes withheld |
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| (620 | ) | ||
Interest |
| 1,892,422 |
|
| 2,768,736 |
|
| 3,135,322 |
|
| 2,382,739 |
|
| — |
|
| — |
|
| — |
| ||
Securities lending |
| 1,146 |
|
| 4,310 |
|
| 34,774 |
|
| — |
|
| 29 |
|
| 97 |
|
| 558 |
| ||
Total investment income |
| 1,893,568 |
|
| 2,803,288 |
|
| 3,270,605 |
|
| 2,456,671 |
|
| 204,878 |
|
| 124,824 |
|
| 158,495 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Advisory fees |
| 215,383 |
|
| 284,745 |
|
| 290,329 |
|
| 254,342 |
|
| 42,996 |
|
| 37,816 |
|
| 78,300 |
| ||
Administrative fees |
| 53,845 |
|
| 51,772 |
|
| 52,787 |
|
| 50,868 |
|
| 7,166 |
|
| 5,402 |
|
| 9,788 |
| ||
Legal fees |
| 25,146 |
|
| 23,834 |
|
| 24,523 |
|
| 23,663 |
|
| 3,430 |
|
| 2,551 |
|
| 4,789 |
| ||
Transfer agent fees |
| 26,797 |
|
| 25,805 |
|
| 26,130 |
|
| 25,554 |
|
| 7,907 |
|
| 7,211 |
|
| 8,911 |
| ||
Board of trustee fees |
| 26,527 |
|
| 25,380 |
|
| 25,966 |
|
| 25,171 |
|
| 3,548 |
|
| 2,685 |
|
| 4,973 |
| ||
Chief compliance officer fees |
| 16,249 |
|
| 15,561 |
|
| 15,905 |
|
| 15,433 |
|
| 2,166 |
|
| 1,647 |
|
| 3,065 |
| ||
Registration and filing fees |
| 8,359 |
|
| 8,018 |
|
| 8,300 |
|
| 7,947 |
|
| 453 |
|
| 283 |
|
| 1,010 |
| ||
Dividends/interest on securities sold short |
| — |
|
| — |
|
| — |
|
| 198,567 |
|
| — |
|
| — |
|
| — |
| ||
Net short holdings borrowing fees |
| — |
|
| — |
|
| — |
|
| 47,765 |
|
| — |
|
| — |
|
| — |
| ||
Other expenses |
| 5,952 |
|
| 5,756 |
|
| 5,797 |
|
| 5,755 |
|
| 730 |
|
| 559 |
|
| 1,015 |
| ||
Total expenses |
| 378,258 |
|
| 440,871 |
|
| 449,737 |
|
| 655,065 |
|
| 68,396 |
|
| 58,154 |
|
| 111,851 |
| ||
Expense waiver |
| (108,988 | ) |
| (78,436 | ) |
| (80,144 | ) |
| (52,613 | ) |
| (14,628 | ) |
| (9,513 | ) |
| (13,926 | ) | ||
Net expenses |
| 269,270 |
|
| 362,435 |
|
| 369,593 |
|
| 602,452 |
|
| 53,768 |
|
| 48,641 |
|
| 97,925 |
| ||
Net investment income (loss) |
| 1,624,298 |
|
| 2,440,853 |
|
| 2,901,012 |
|
| 1,854,219 |
|
| 151,110 |
|
| 76,183 |
|
| 60,570 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and unrealized gain (loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Investments - unaffiliated |
| 1,177,722 |
|
| (472,439 | ) |
| (832,684 | ) |
| 749,606 |
|
| (260,412 | ) |
| (464,882 | ) |
| (651,372 | ) | |
| Securities sold short |
| — |
|
| — |
|
| — |
|
| (152,060 | ) |
| — |
|
| — |
|
| — |
| |
| Futures contracts |
| 182,064 |
|
| (55,444 | ) |
| (339,238 | ) |
| (1,422,923 | ) |
| — |
|
| — |
|
| — |
| |
| Swap agreements |
| (5,094 | ) |
| — |
|
| — |
|
| (89,643 | ) |
| — |
|
| — |
|
| — |
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investments - unaffiliated |
| 2,433,895 |
|
| 2,230,015 |
|
| 5,414,701 |
|
| 3,047,928 |
|
| 1,433,975 |
|
| 1,307,674 |
|
| 2,507,193 |
| |
| Investment securities sold short |
| — |
|
| — |
|
| — |
|
| (595,898 | ) |
| — |
|
| — |
|
| — |
| |
| Foreign currency |
| (17 | ) |
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
| |
| Futures contracts |
| (104,911 | ) |
| 18,207 |
|
| 92,138 |
|
| 577,880 |
|
| — |
|
| — |
|
| — |
| |
| Swap agreements |
| 5,078 |
|
| — |
|
| — |
|
| (53,655 | ) |
| — |
|
| — |
|
| — |
| |
Net realized and unrealized gain (loss) |
| 3,688,737 |
|
| 1,720,339 |
|
| 4,334,917 |
|
| 2,061,235 |
|
| 1,173,563 |
|
| 842,792 |
|
| 1,855,821 |
| ||
Change in net assets from operations | $ | 5,313,035 |
| $ | 4,161,192 |
| $ | 7,235,929 |
| $ | 3,915,454 |
| $ | 1,324,673 |
| $ | 918,975 |
| $ | 1,916,391 |
|
See accompanying Notes to Financial Statements.
42
PPMFunds
Statements of Changes in Net Assets
For the Year Ended December 31, 2019
|
| PPM Core Plus Fixed Income Fund |
| PPM Floating Rate Income Fund |
| PPM High Yield Core Fund |
| PPM Long Short Credit Fund |
| PPM Large Cap Value Fund |
| PPM Mid Cap Value Fund |
| PPM Small Cap Value Fund |
| |||||||
Operations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Net investment income (loss) | $ | 1,624,298 |
| $ | 2,440,853 |
| $ | 2,901,012 |
| $ | 1,854,219 |
| $ | 151,110 |
| $ | 76,183 |
| $ | 60,570 |
| |
Net realized gain (loss) |
| 1,354,692 |
|
| (527,883 | ) |
| (1,171,922 | ) |
| (915,020 | ) |
| (260,412 | ) |
| (464,882 | ) |
| (651,372 | ) | |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| (depreciation) |
| 2,334,045 |
|
| 2,248,222 |
|
| 5,506,839 |
|
| 2,976,255 |
|
| 1,433,975 |
|
| 1,307,674 |
|
| 2,507,193 |
|
Change in net assets from operations |
| 5,313,035 |
|
| 4,161,192 |
|
| 7,235,929 |
|
| 3,915,454 |
|
| 1,324,673 |
|
| 918,975 |
|
| 1,916,391 |
| |
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
From distributable earnings |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (2,415,331 | ) |
| (2,466,640 | ) |
| (2,870,699 | ) |
| (1,803,726 | ) |
| (149,362 | ) |
| (70,838 | ) |
| (47,781 | ) |
Total distributions to shareholders |
| (2,415,331 | ) |
| (2,466,640 | ) |
| (2,870,699 | ) |
| (1,803,726 | ) |
| (149,362 | ) |
| (70,838 | ) |
| (47,781 | ) | |
Share transactions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Proceeds from the sale of shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 54,782,875 |
|
| 767,031 |
|
| 748,325 |
|
| 746,884 |
|
| 1,319,628 |
|
| 439,877 |
|
| 989,377 |
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 2,286,024 |
|
| 2,102,417 |
|
| 2,446,852 |
|
| 1,803,726 |
|
| 148,884 |
|
| 70,838 |
|
| 41,505 |
|
Cost of shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (58,832,116 | ) |
| (65,539 | ) |
| (66,235 | ) |
| (11,365,169 | ) |
| (225,247 | ) |
| (72,773 | ) |
| (73,796 | ) |
Change in net assets from |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| share transactions |
| (1,763,217 | ) |
| 2,803,909 |
|
| 3,128,942 |
|
| (8,814,559 | ) |
| 1,243,265 |
|
| 437,942 |
|
| 957,086 |
|
Change in net assets |
| 1,134,487 |
|
| 4,498,461 |
|
| 7,494,172 |
|
| (6,702,831 | ) |
| 2,418,576 |
|
| 1,286,079 |
|
| 2,825,696 |
| |
Net assets beginning of year |
| 50,198,110 |
|
| 48,929,157 |
|
| 48,120,649 |
|
| 48,574,255 |
|
| 5,692,729 |
|
| 4,590,411 |
|
| 8,203,209 |
| |
Net assets end of year | $ | 51,332,597 |
| $ | 53,427,618 |
| $ | 55,614,821 |
| $ | 41,871,424 |
| $ | 8,111,305 |
| $ | 5,876,490 |
| $ | 11,028,905 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1Share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Shares sold |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 5,263,340 |
|
| 78,849 |
|
| 75,573 |
|
| 76,165 |
|
| 137,625 |
|
| 47,867 |
|
| 108,498 |
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 220,167 |
|
| 216,499 |
|
| 247,208 |
|
| 184,263 |
|
| 14,654 |
|
| 7,488 |
|
| 4,266 |
|
Shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (5,644,279 | ) |
| (6,727 | ) |
| (6,712 | ) |
| (1,151,536 | ) |
| (23,439 | ) |
| (7,922 | ) |
| (7,890 | ) |
Change in shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (160,772 | ) |
| 288,621 |
|
| 316,069 |
|
| (891,108 | ) |
| 128,840 |
|
| 47,433 |
|
| 104,874 |
|
Purchases and sales of long term |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchase of securities | $ | 34,572,778 |
| $ | 28,296,797 |
| $ | 43,209,352 |
| $ | 41,867,018 |
| $ | 3,251,114 |
| $ | 2,466,535 |
| $ | 4,780,404 |
| |
Purchase of U.S. government securities |
| 21,845,306 | (a) |
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
| |
Total purchases | $ | 56,418,084 |
| $ | 28,296,797 |
| $ | 43,209,352 |
| $ | 41,867,018 |
| $ | 3,251,114 |
| $ | 2,466,535 |
| $ | 4,780,404 |
| |
Proceeds from sales of securities | $ | 34,874,426 |
| $ | 30,894,841 |
| $ | 40,208,678 |
| $ | 51,221,754 |
| $ | 2,021,397 |
| $ | 2,029,814 |
| $ | 3,843,980 |
| |
Proceeds from sales of U.S. government |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| securities |
| 24,316,579 | (a) |
| — |
|
| — |
|
| 341,020 |
|
| — |
|
| — |
|
| — |
|
Total proceeds from sales | $ | 59,191,005 |
| $ | 30,894,841 |
| $ | 40,208,678 |
| $ | 51,562,774 |
| $ | 2,021,397 |
| $ | 2,029,814 |
| $ | 3,843,980 |
| |
Securities sold short covers | $ | — |
| $ | — |
| $ | — |
| $ | 2,373,584 |
| $ | — |
| $ | — |
| $ | — |
| |
Securities sold short proceeds | $ | — |
| $ | — |
| $ | — |
| $ | 3,885,877 |
| $ | — |
| $ | — |
| $ | — |
|
(a) | Amounts exclude $2,286,107 and $1,907,157 of purchases and sales, respectively, of dollar roll transaction securities. |
See accompanying Notes to Financial Statements.
43
PPMFunds
Statements of Changes in Net Assets
For the Year Ended December 31, 2018
|
| PPM Core Plus Fixed Income 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 |
| $ | 1,331,490 |
| $ | 1,290,044 |
| $ | 840,161 |
|
| ||
Net realized gain (loss) |
| (181,153 | ) |
| (55,152 | ) |
| 24,299 |
|
| (39,987 | ) |
| ||
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| (depreciation) |
| (560,344 | ) |
| (2,659,709 | ) |
| (3,727,070 | ) |
| (2,370,301 | ) |
| |
Change in net assets from operations |
| 21,415 |
|
| (1,383,371 | ) |
| (2,412,727 | ) |
| (1,570,127 | ) |
| ||
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
From distributable earnings |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Institutional Class |
| (789,149 | ) |
| (1,348,828 | ) |
| (1,412,909 | ) |
| (1,039,348 | ) |
| |
Total distributions to shareholders |
| (789,149 | ) |
| (1,348,828 | ) |
| (1,412,909 | ) |
| (1,039,348 | ) |
| ||
Share transactions1 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Proceeds from the sale of shares |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Institutional Class |
| 50,282,086 |
|
| 90,407,643 |
|
| 50,724,773 |
|
| 50,133,382 |
|
| |
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Institutional Class |
| 671,758 |
|
| 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 |
|
| 51,650,356 |
|
| 51,935,285 |
|
| 51,172,730 |
|
| |
Change in net assets |
| 50,186,110 |
|
| 48,918,157 |
|
| 48,109,649 |
|
| 48,563,255 |
|
| ||
Net assets beginning of year |
| 12,000 |
|
| 11,000 |
|
| 11,000 |
|
| 11,000 |
|
| ||
Net assets end of year | $ | 50,198,110 |
| $ | 48,929,157 |
| $ | 48,120,649 |
| $ | 48,574,255 |
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
1Share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Shares sold |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Institutional Class |
| 5,029,490 |
|
| 9,109,027 |
|
| 5,073,616 |
|
| 5,013,379 |
|
| |
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Institutional Class |
| 68,077 |
|
| 121,148 |
|
| 124,658 |
|
| 106,576 |
|
| |
Shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Institutional Class |
| — |
|
| (4,038,803 | ) |
| — |
|
| — |
|
| |
Change in shares |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Institutional Class |
| 5,097,567 |
|
| 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.
44
PPMFunds
Statements of Changes in Net Assets
For the Year Ended December 31, 2018
|
| PPM Large Cap Value Fund(a) |
| PPM Mid Cap Value Fund(a) |
| PPM Small Cap Value Fund(a) |
|
| |||
Operations |
|
|
|
|
|
|
|
|
|
| |
Net investment income (loss) | $ | 82,389 |
| $ | 49,753 |
| $ | 36,923 |
|
| |
Net realized gain (loss) |
| 58,923 |
|
| 50,256 |
|
| 174,490 |
|
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
| |
| (depreciation) |
| (950,364 | ) |
| (1,034,378 | ) |
| (2,219,317 | ) |
|
Change in net assets from operations |
| (809,052 | ) |
| (934,369 | ) |
| (2,007,904 | ) |
| |
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
| |
From distributable earnings |
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (145,178 | ) |
| (156,015 | ) |
| (268,510 | ) |
|
Total distributions to shareholders |
| (145,178 | ) |
| (156,015 | ) |
| (268,510 | ) |
| |
Share transactions1 |
|
|
|
|
|
|
|
|
|
| |
Proceeds from the sale of shares |
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 6,491,339 |
|
| 5,513,780 |
|
| 15,533,780 |
|
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 144,620 |
|
| 156,015 |
|
| 229,843 |
|
|
Cost of shares redeemed |
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| — |
|
| — |
|
| (5,295,000 | ) |
|
Change in net assets from |
|
|
|
|
|
|
|
|
|
| |
| share transactions |
| 6,635,959 |
|
| 5,669,795 |
|
| 10,468,623 |
|
|
Change in net assets |
| 5,681,729 |
|
| 4,579,411 |
|
| 8,192,209 |
|
| |
Net assets beginning of year |
| 11,000 |
|
| 11,000 |
|
| 11,000 |
|
| |
Net assets end of year | $ | 5,692,729 |
| $ | 4,590,411 |
| $ | 8,203,209 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
1Share transactions |
|
|
|
|
|
|
|
|
|
| |
Shares sold |
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 649,134 |
|
| 552,537 |
|
| 1,495,594 |
|
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 17,054 |
|
| 19,575 |
|
| 28,875 |
|
|
Shares redeemed |
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| — |
|
| — |
|
| (500,000 | ) |
|
Change in shares |
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 666,188 |
|
| 572,112 |
|
| 1,024,469 |
|
|
(a) | Period from commencement of operations May 1, 2018. |
See accompanying Notes to Financial Statements.
45
PPMFunds
Financial Highlights
For a Share Outstanding
|
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| Increase (decrease) from |
| Distributions from |
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| Supplemental data |
|
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| Ratios(a) |
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| ||||||||||||
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(%) | ||||||||||||||
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PPM Core Plus Fixed Income Fund |
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Institutional Class |
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| ||||||||
12/31/19 |
| 9.85 |
| 0.31 |
| 0.71 |
| 1.02 |
|
| (0.31) |
| (0.16) |
| 10.40 |
| 10.51 |
| 51,333 |
| 108 | (d) |
| 0.50 |
| 0.70 |
| 3.02 |
|
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 Floating Rate Income Fund |
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Institutional Class |
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| ||||||||
12/31/19 |
| 9.42 |
| 0.46 |
| 0.33 |
| 0.79 |
|
| (0.46) |
| — |
| 9.75 |
| 8.55 |
| 53,428 |
| 56 |
|
| 0.70 |
| 0.85 |
| 4.71 |
|
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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Institutional Class |
|
|
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|
| ||||||||
12/31/19 |
| 9.26 |
| 0.54 |
| 0.83 |
| 1.37 |
|
| (0.54) |
| — |
| 10.09 |
| 15.02 |
| 55,615 |
| 78 |
|
| 0.70 |
| 0.85 |
| 5.50 |
|
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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Institutional Class |
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| ||||||||
12/31/19 |
| 9.49 |
| 0.36 |
| 0.40 |
| 0.76 |
|
| (0.35) |
| — |
| 9.90 |
| 8.08 |
| 41,871 |
| 74 |
|
| 1.18 | (e) | 1.29 | (e) | 3.65 |
|
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 Large Cap Value Fund |
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Institutional Class |
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| ||||||||
12/31/19 |
| 8.53 |
| 0.20 |
| 1.65 |
| 1.85 |
|
| (0.19) |
| — |
| 10.19 |
| 21.71 |
| 8,111 |
| 29 |
|
| 0.75 |
| 0.95 |
| 2.11 |
|
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 |
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| ||||||||
12/31/19 |
| 8.02 |
| 0.13 |
| 1.46 |
| 1.59 |
|
| (0.12) |
| — |
| 9.49 |
| 19.78 |
| 5,876 |
| 38 |
|
| 0.90 |
| 1.08 |
| 1.41 |
|
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 |
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| ||||||||
12/31/19 |
| 8.00 |
| 0.06 |
| 1.74 |
| 1.80 |
|
| (0.04) |
| — |
| 9.76 |
| 22.53 |
| 11,029 |
| 40 |
|
| 1.00 |
| 1.14 |
| 0.62 |
|
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 High Yield Core Fund and PPM Long Short Credit Fund. | ||||||||||||
(a) | Annualized for periods less than one year. | ||||||||||||
(b) | Calculated using the average shares method. | ||||||||||||
(c) | Portfolio turnover is not annualized for periods of less than one year. Dollar roll transactions are excluded for purposes of calculating portfolio turnover. Portfolio turnover is calculated on the basis of the Fund as a whole, without distinguishing between the classes of shares issued. | ||||||||||||
(d) | Portfolio turnover including dollar roll transactions for PPM Core Plus Fixed Income Fund was 31% in 2018 and 113% 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: | ||||||||||||
December 31, 2019 (%) | December 31, 2018 (%) | ||||||||||||
PPM Long Short Credit Fund | |||||||||||||
Institutional Class – Net expenses / Total expenses 1 | 0.70/0.81 | 0.70/0.87 | |||||||||||
1 Fund contractually waives a portion of advisory fees. |
See accompanying Notes to Financial Statements.
46
PPMFunds
Notes to Financial Statements
December 31, 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, seven of which are available for purchase by investors (collectively, the “Funds” and each individually a “Fund”): PPM Core Plus Fixed Income Fund, PPM Floating Rate Income Fund, PPM High Yield Core Fund, PPM Long Short Credit Fund, PPM Large Cap Value Fund, PPM Mid Cap Value Fund and PPM Small Cap Value Fund. PPM Core Fixed Income Fund and PPM Investment Grade Credit Fund have not yet commenced operations. 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 or with the Prudential Assurance Company, a subsidiary of M&G plc, a company incorporated in the United Kingdom. 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.
On July 24, 2019, the Board approved Plans of Liquidation and Termination of the PPM Credit Fund and PPM Strategic Income Fund. Beginning 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 ceased operations on September 17, 2019.
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. 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
47
PPMFunds
Notes to Financial Statements
December 31, 2019
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 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. The amount and timing of distributions are determined in accordance with federal income tax regulations which may differ from GAAP. Dividends from net investment income are declared daily and paid monthly for PPM Core Plus Fixed Income Fund, PPM Floating Rate Income Fund, PPM High Yield Core Fund and PPM Long Short Credit 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.
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. In the normal course of business, the Trust may enter into contracts that contain a variety of representations which provide general indemnifications for certain liabilities. 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. However, since their commencement of operations, the Funds have not had claims or losses pursuant to their contracts and expect the risk of loss to be remote. 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
48
PPMFunds
Notes to Financial Statements
December 31, 2019
fair value measurements. Various inputs are used in determining the value of a Fund’s investments under FASB ASC Topic 820 guidance. The inputs are summarized into three broad categories:
Level 1 includes valuations based on quoted prices of identical securities in active markets, including valuations for securities listed on a national or foreign stock exchange or investments in mutual funds.
Level 2 includes valuations determined from significant direct or indirect observable inputs. Direct observable inputs include broker quotes, third party prices, closing prices of similar securities in active markets, closing prices for identical or similar securities in non-active markets or corporate action or reorganization entitlement values. Indirect significant observable inputs include factors such as interest rates, yield curves, prepayment speeds or credit ratings. Level 2 includes valuations for fixed income securities, including certain term loans, OTC derivatives, centrally cleared swap agreements, broker quotes in active markets, securities subject to corporate actions, securities valued at amortized cost, swap agreements valued by pricing services, ADRs and GDRs for which quoted prices in active markets are not available or securities limited by foreign ownership.
Level 3 includes valuations determined from significant unobservable inputs including the Administrator's own assumptions in determining the fair value of the investment. Inputs used to determine the fair value of Level 3 securities include security specific inputs such as: credit quality, credit rating spreads, issuer news, trading characteristics, call features, maturity or anticipated cash flows; or industry specific inputs such as: trading activity of similar markets or securities, changes in the security’s underlying index or changes in comparable securities’ models. Level 3 valuations include securities; term loans that do not meet certain liquidity thresholds; securities where prices may be unavailable due to halted trading, restricted to resale due to market events, or newly issued; private placements; or investments for which reliable quotes are otherwise not available.
To assess the continuing appropriateness of security valuation, the Administrator regularly compares current day prices with prior day prices, transaction prices and alternative vendor prices. When the comparison results exceed pre-defined thresholds, the Administrator challenges the prices exceeding tolerance levels with the pricing service or broker. To verify Level 3 unobservable inputs, the Administrator uses a variety of techniques as appropriate to substantiate these valuation approaches including a regular review of key inputs and assumptions, transaction back-testing or disposition analysis and review of related market activity. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes each Fund’s investments in securities and other financial instruments as of December 31, 2019, by valuation level.
. Level 1 ($) . | . Level 2 ($) . | . Level 3 ($) . | . Total ($) . | |||||
PPM Core Plus Fixed Income Fund | ||||||||
Assets - Securities | ||||||||
Government And Agency Obligations | — | 23,480,130 | — | 23,480,130 | ||||
Corporate Bonds And Notes | — | 19,612,700 | 143,861 | 19,756,561 | ||||
Non-U.S. Government Agency Asset-Backed Securities | — | 6,590,327 | — | 6,590,327 | ||||
Senior Loan Interests2 | — | 877,921 | 52,588 | 930,509 | ||||
Short Term Investments | 963,179 | — | — | 963,179 | ||||
963,179 | 50,561,078 | 196,449 | 51,720,706 | |||||
Assets - Investments in Other Financial Instruments1 | ||||||||
Futures Contracts | 22,358 | — | — | 22,358 | ||||
22,358 | — | — | 22,358 | |||||
Liabilities - Investments in Other Financial Instruments1 | ||||||||
Futures Contracts | (67,199 | ) | — | — | (67,199 | ) | ||
Centrally Cleared Credit Default Swap Agreements | — | (2,954 | ) | — | (2,954 | ) | ||
(67,199 | ) | (2,954 | ) | — | (70,153 | ) | ||
PPM Floating Rate Income Fund | ||||||||
Assets - Securities | ||||||||
Senior Loan Interests2 | — | 47,315,865 | 1,361,573 | 48,677,438 | ||||
Investment Companies | 1,497,968 | — | — | 1,497,968 | ||||
Corporate Bonds And Notes | — | 1,298,528 | — | 1,298,528 | ||||
Warrants | — | 10,693 | — | 10,693 | ||||
Common Stocks | 6,952 | — | — | 6,952 | ||||
Short Term Investments | 3,380,858 | — | — | 3,380,858 | ||||
4,885,778 | 48,625,086 | 1,361,573 | 54,872,437 | |||||
Liabilities - Securities | ||||||||
Senior Loan Interests2 | — | (372 | ) | — | (372 | ) | ||
— | (372 | ) | — | (372 | ) | |||
Assets - Investments in Other Financial Instruments1 | ||||||||
Futures Contracts | 2,692 | — | — | 2,692 | ||||
2,692 | — | — | 2,692 |
49
PPMFunds
Notes to Financial Statements
December 31, 2019
. Level 1 ($) . | . Level 2 ($) . | . Level 3 ($) . | . Total ($) . | |||||
PPM High Yield Core Fund | ||||||||
Assets - Securities | ||||||||
Corporate Bonds And Notes | — | 50,303,162 | 134,774 | 50,437,936 | ||||
Senior Loan Interests | — | 2,456,353 | — | 2,456,353 | ||||
Investment Companies | 1,420,060 | — | — | 1,420,060 | ||||
Common Stocks | 97,982 | — | — | 97,982 | ||||
Warrants | — | 44,063 | — | 44,063 | ||||
Short Term Investments | 2,227,035 | — | — | 2,227,035 | ||||
3,745,077 | 52,803,578 | 134,774 | 56,683,429 | |||||
Assets - Investments in Other Financial Instruments1 | ||||||||
Futures Contracts | 16,474 | — | — | 16,474 | ||||
16,474 | — | — | 16,474 | |||||
PPM Long Short Credit Fund | ||||||||
Assets - Securities | ||||||||
Corporate Bonds And Notes | — | 31,265,461 | 143,861 | 31,409,322 | ||||
Senior Loan Interests2 | — | 7,539,489 | 75,125 | 7,614,614 | ||||
Non-U.S. Government Agency Asset-Backed Securities | — | 4,944,526 | — | 4,944,526 | ||||
Investment Companies | 1,054,688 | — | — | 1,054,688 | ||||
Government And Agency Obligations | — | 80,292 | — | 80,292 | ||||
Common Stocks | 38,795 | — | — | 38,795 | ||||
Warrants | — | 35,409 | — | 35,409 | ||||
Short Term Investments | 1,334,852 | — | — | 1,334,852 | ||||
2,428,335 | 43,865,177 | 218,986 | 46,512,498 | |||||
Liabilities - Securities | ||||||||
Corporate Bonds And Notes | — | (4,423,375 | ) | — | (4,423,375 | ) | ||
Government And Agency Obligations | — | (668,250 | ) | — | (668,250 | ) | ||
— | (5,091,625 | ) | — | (5,091,625 | ) | |||
Assets - Investments in Other Financial Instruments1 | ||||||||
Futures Contracts | 139,296 | — | — | 139,296 | ||||
139,296 | — | — | 139,296 | |||||
Liabilities - Investments in Other Financial Instruments1 | ||||||||
Centrally Cleared Credit Default Swap Agreements | — | (20,409 | ) | — | (20,409 | ) | ||
— | (20,409 | ) | — | (20,409 | ) | |||
PPM Large Cap Value Fund | ||||||||
Assets - Securities | ||||||||
Common Stocks | 8,051,634 | — | — | 8,051,634 | ||||
Short Term Investments | 52,433 | — | — | 52,433 | ||||
8,104,067 | — | — | 8,104,067 | |||||
PPM Mid Cap Value Fund | ||||||||
Assets - Securities | ||||||||
Common Stocks | 5,844,432 | — | — | 5,844,432 | ||||
Short Term Investments | 79,877 | — | — | 79,877 | ||||
5,924,309 | — | — | 5,924,309 | |||||
PPM Small Cap Value Fund | ||||||||
Assets - Securities | ||||||||
Common Stocks | 10,960,303 | — | — | 10,960,303 | ||||
Short Term Investments | 245,582 | — | — | 245,582 | ||||
11,205,885 | — | — | 11,205,885 |
1 Derivatives are reflected at the unrealized appreciation (depreciation) on the instrument.
2 Unfunded commitments are not reflected in Total Investments in the Schedules of Investments. Net unrealized appreciation (depreciation) is reflected as an asset or liability in the table. See Unfunded Commitments table following 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 year for financial reporting purposes. There were no significant transfers into or out of Level 3 for the year. There were no significant Level 3 valuations for which unobservable valuation inputs were developed at December 31, 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 State Street. Per the securities lending agreements, State Street is authorized to loan securities on behalf of the Funds to approved borrowers and is required to maintain collateral. Each Fund receives either cash or non-cash collateral against the loaned securities in an amount equal to at least 100% of the market value of the loaned securities. Generally, cash and non-cash collateral received for the following types of securities on loan are as follows: US equities – 102%; US corporate fixed income – 102%; US government fixed income – 102%; international equities – 105%; international corporate fixed income – 105%; sovereign fixed income – 102%; and asset backed investments – 102%. Collateral requirements are evaluated at the close of each business day; any additional collateral required is typically 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
50
PPMFunds
Notes to Financial Statements
December 31, 2019
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 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
51
PPMFunds
Notes to Financial Statements
December 31, 2019
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 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.
52
PPMFunds
Notes to Financial Statements
December 31, 2019
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.
The 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. If 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.
FASB ASC Topic 815, “Derivatives and Hedging” and Financial Instruments Eligible for Offset. FASB ASC Topic 815 includes the requirement for enhanced qualitative disclosures about objectives and strategies for using derivative instruments and disclosures regarding credit related contingent features in derivative instruments, as well as quantitative disclosures in the semi-annual and annual financial statements about fair value, gains and losses, and volume of activity for derivative instruments. Information about these instruments is disclosed in the context of each instrument’s primary underlying risk exposure which is categorized as credit, commodity, equity price, interest rate and foreign currency exchange rate risk. The following disclosures include: (1) Objectives and strategies for each Fund’s derivative investments during the year; (2) A summary table of the fair valuations of each Fund’s derivative instruments categorized by risk exposure, which references the location on the Statements of Assets and Liabilities and the realized and unrealized gain or loss on the Statements of Operations for each derivative instrument as of December 31, 2019. Funds which held only one type of derivative during the year are not included in the tables as the location on the Statements of Assets and Liabilities and the realized and unrealized gain loss on the Statements of Operations can be referenced directly on each Fund’s respective statements; (3) A summary table of derivative instruments and certain investments of each Fund, which are subject to master netting agreements or a similar agreement and are eligible for offset in the Statements of Assets and Liabilities as of December 31, 2019. For Funds which held only one type of derivative during the year, amounts eligible for offset are presented gross in the Statements of Assets and Liabilities. Net exposure can be referenced in the assets and liabilities on the Statements of Assets and Liabilities and, if collateral exists, the net exposure is offset by collateral identified in the segregated or pledged collateral table; and (4) A table reflecting each Fund’s average monthly derivative volume for the year ended December 31, 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.
PPM Core Plus Fixed Income Fund - Derivative Instruments Categorized by Risk Exposure |
| ||||||||||||
|
| Commodity($) |
| Credit($) |
| Equity($) |
| Foreign Exchange($) |
| Interest Rate($) |
| Total($) |
|
Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2019 |
| ||||||||||||
Derivative instruments assets: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 4,121 |
| 4,121 |
|
2 | Variation margin on swap agreements | — |
| 75 |
| — |
| — |
| — |
| 75 |
|
Total derivative instruments assets | — |
| 75 |
| — |
| — |
| 4,121 |
| 4,196 |
| |
Derivative instruments liabilities: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 9,492 |
| 9,492 |
|
Total derivative instruments liabilities | — |
| — |
| — |
| — |
| 9,492 |
| 9,492 |
| |
The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2019 |
| ||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| 182,064 |
| 182,064 |
|
| Swap agreements | — |
| (5,094 | ) | — |
| — |
| — |
| (5,094 | ) |
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| (104,911 | ) | (104,911 | ) |
| Swap agreements | — |
| 5,078 |
| — |
| — |
| — |
| 5,078 |
|
53
PPMFunds
Notes to Financial Statements
December 31, 2019
PPM Core Plus Fixed Income Fund – Average Derivative Volume1
|
| Cost of Options Purchased and Written ($) |
| Notional Value at Purchase of Futures Contracts ($) |
| Cost of Forward Foreign Currency Contracts ($) |
| Notional Amount of Interest Rate Swap Agreements ($) |
| Notional Amount of Cross-Currency Swap Agreements ($) |
| Notional Amount of Credit Default Swap Agreements ($) |
| Notional Amount of Total Return Swap Agreements ($) |
|
Average monthly volume | — |
| 11,005,001 |
| — |
| — |
| — |
| 439,262 |
| — |
|
PPM Long Short Credit Fund Derivative Strategies - The Fund entered into futures contracts to manage or adjust the risk profile of the Fund, establish net short positions for individual markets, currencies and securities and adjust the Fund’s portfolio duration. The Fund entered into credit default swap agreements to manage or adjust the risk profile of the Fund, to replace more traditional direct investments or to obtain exposure to certain markets.
PPM Long Short Credit Fund - Derivative Instruments Categorized by Risk Exposure |
| ||||||||||||
|
| Commodity($) |
| Credit($) |
| Equity($) |
| Foreign Exchange($) |
| Interest Rate($) |
| Total($) |
|
Fair values of derivative instruments on the Statement of Assets and Liabilities as of December 31, 2019 |
| ||||||||||||
Derivative instruments assets: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 15,258 |
| 15,258 |
|
2 | Variation margin on swap agreements | — |
| 506 |
| — |
| — |
| — |
| 506 |
|
Total derivative instruments assets | — |
| 506 |
| — |
| — |
| 15,258 |
| 15,764 |
| |
Derivative instruments liabilities: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 281 |
| 281 |
|
Total derivative instruments liabilities | — |
| — |
| — |
| — |
| 281 |
| 281 |
| |
The effect of derivative instruments on the Statement of Operations for the year ended December 31, 2019 |
| ||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| (1,422,923 | ) | (1,422,923 | ) |
| Swap agreements | — |
| (89,643 | ) | — |
| — |
| — |
| (89,643 | ) |
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| 577,880 |
| 577,880 |
|
| Swap agreements | — |
| (53,655 | ) | — |
| — |
| — |
| (53,655 | ) |
PPM Long Short Credit Fund – Average Derivative Volume1
|
| Cost of Options Purchased and Written ($) |
| 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 | — |
| 20,813,878 |
| — |
| — |
| — |
| 4,247,692 |
| — |
|
1 The derivative instruments outstanding as of December 31, 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 year ended December 31, 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 year is as follows: PPM Floating Rate Income Fund and PPM High Yield Core Fund entered into futures contracts to obtain exposure to or hedge changes in interest rates.
The derivative instruments outstanding as of December 31, 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 year ended December 31, 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 year, the average monthly derivative volume is as follows:
|
|
|
|
|
| Notional Value at Purchase of Futures Contracts ($) |
|
PPM Floating Rate Income Fund | 715,346 |
| |
PPM High Yield Core Fund | 3,254,532 |
|
54
PPMFunds
Notes to Financial Statements
December 31, 2019
Pledged Collateral. The following table summarizes cash and securities collateral pledged for the Funds at December 31, 2019:
|
|
|
|
|
|
|
|
|
|
| Futures Contracts | Swap Agreements |
| ||
| Counterparties |
| Pledged or Segregated Cash($) |
| Pledged or Segregated Cash($) |
|
|
PPM Core Plus Fixed Income Fund | MLP |
| 66,957 |
| 4,386 |
|
|
PPM Floating Rate Income Fund | BOA |
| 4,345 |
| — |
|
|
PPM High Yield Core Fund | MLP |
| 19,580 |
| — |
|
|
PPM Long Short Credit Fund | MLP |
| 152,889 |
| 29,650 |
|
|
|
|
|
|
|
|
|
|
| Securities Sold Short |
|
|
| Lending Agent/Prime Broker |
| Segregated Securities($) |
|
|
PPM Long Short Credit Fund | SSB |
| 7,956,023 |
|
|
None of the futures contracts held by the Funds are subject to master netting agreements or a similar agreement and are not eligible for offset in the Statements of Assets and Liabilities as of December 31, 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:
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.
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.
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.
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.
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.
55
PPMFunds
Notes to Financial Statements
December 31, 2019
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).
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.
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.
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.
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.
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, 0.55% 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, 0.60% 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, 0.70% 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, 0.75% 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 year ended December 31, 2019.
56
PPMFunds
Notes to Financial Statements
December 31, 2019
NOTE 9. INCOME TAX MATTERS
Each Fund is treated as a separate tax payer for federal income tax purposes. Each Fund intends to continue to qualify as a regulated investment company ("RIC") and to distribute substantially all net investment income and net capital gains, if any, to its shareholders and otherwise comply with Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to RICs. Therefore, no federal income tax provision is required.
The following information for the Funds is presented on an income tax basis. Differences between amounts for financial statements and federal income tax purposes are primarily due to timing and character differences in recognizing certain gains and losses on investment transactions. Permanent differences between financial statement and federal income tax reporting are reclassified within the capital accounts based on their federal income tax treatment. Temporary differences do not require reclassification. Permanent differences may include but are not limited to the following: expired capital loss carryforwards, foreign currency reclassifications, premium amortization or paydown reclassifications, reclassifications on the sale of passive foreign investment company ("PFIC") or Real Estate Investment Trust ("REIT") securities, net operating losses, accounting treatment of notional principal contracts and partnerships, equalization and other distribution adjustments. These reclassifications have no impact on net assets.
| Net Increase(Decrease) |
| ||
| Total Distributable Earnings (Loss)($) |
| Paid-in Capital($) |
|
PPM High Yield Core Fund | 9,203 |
| (9,203 | ) |
PPM Long Short Credit Fund | 1,039 |
| (1,039 | ) |
At December 31, 2019, 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 ($) |
|
PPM Floating Rate Income Fund |
|
|
|
|
| 321,613 |
| 239,511 |
| 561,124 |
|
PPM High Yield Core Fund |
|
|
|
|
| 985,047 |
| 223,861 |
| 1,208,908 |
|
PPM Long Short Credit Fund |
|
|
|
|
| 304,063 |
| 656,042 |
| 960,105 |
|
PPM Large Cap Value Fund |
|
|
|
|
| 105,509 |
| 129,881 |
| 235,390 |
|
PPM Mid Cap Value Fund |
|
|
|
|
| 218,091 |
| 277,228 |
| 495,319 |
|
PPM Small Cap Value Fund |
|
|
|
|
| 329,304 |
| 134,502 |
| 463,806 |
|
At December 31, 2019, the following Funds had capital, currency and/or passive foreign investment company (“PFIC”) mark-to-market losses realized after October 31, 2019 (“Post-October losses”), which were deferred for tax purposes to the first day of the following fiscal year, January 1, 2020:
| Amount($) |
|
PPM Floating Rate Income Fund | 53,975 |
|
PPM Large Cap Value Fund | 10,684 |
|
PPM Mid Cap Value Fund | 2,943 |
|
PPM Small Cap Value Fund | 152,261 |
|
As of December 31, 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 | 49,911,398 |
| 1,879,848 |
| (70,628 | ) | 1,809,220 |
| |
PPM Floating Rate Income Fund | 55,294,660 |
| 232,950 |
| (655,386 | ) | (422,436 | ) | |
PPM High Yield Core Fund | 54,928,902 |
| 2,375,694 |
| (621,167 | ) | 1,754,527 |
| |
PPM Long Short Credit Fund |
|
|
|
|
|
|
|
| |
| Long Investments | 45,496,000 |
| 1,483,076 |
| (466,703 | ) | 1,016,373 |
|
| Short Investments | 4,560,630 |
| 29,556 |
| (560,551 | ) | (530,995 | ) |
PPM Large Cap Value Fund | 7,638,373 |
| 890,513 |
| (424,819 | ) | 465,694 |
| |
PPM Mid Cap Value Fund | 5,674,227 |
| 602,802 |
| (352,720 | ) | 250,082 |
| |
PPM Small Cap Value Fund | 11,004,775 |
| 1,140,662 |
| (939,552 | ) | 201,110 |
|
As of December 31, 2019, the components of net unrealized appreciation (depreciation) for derivatives were as follows:
|
| Tax Cost/Premiums/Adjustment($) |
| Gross Unrealized Appreciation($) |
| Gross Unrealized Depreciation($) |
| Net Unrealized Appreciation (Depreciation)($) |
|
PPM Core Plus Fixed Income Fund |
|
|
|
|
|
|
|
| |
| Futures/Futures Options Contracts | (44,841 | ) | — |
| — |
| — |
|
| Swap Agreements | (9,479 | ) | — |
| (3,487 | ) | (3,487 | ) |
PPM Floating Rate Income Fund |
|
|
|
|
|
|
|
| |
| Futures/Futures Options Contracts | 2,692 |
| — |
| — |
| — |
|
PPM High Yield Core Fund |
|
|
|
|
|
|
|
| |
| Futures/Futures Options Contracts | 16,474 |
| — |
| — |
| — |
|
57
PPMFunds
Notes to Financial Statements
December 31, 2019
|
| Tax Cost/Premiums/Adjustment($) |
| Gross Unrealized Appreciation($) |
| Gross Unrealized Depreciation($) |
| Net Unrealized Appreciation (Depreciation)($) |
|
PPM Long Short Credit Fund |
|
|
|
|
|
|
|
| |
| Futures/Futures Options Contracts | 139,296 |
| — |
| — |
| — |
|
| Swap Agreements | (63,760 | ) | — |
| (23,892 | ) | (23,892 | ) |
As of December 31, 2019, the components of distributable taxable earnings for US federal income tax purposes were as follows:
| Undistributed Net Ordinary Income*($) |
| Undistributed Net Long-Term Capital Gain($) |
| Unrealized Gains (Losses)**($) |
| Capital Loss Carryforward($) |
|
PPM Core Plus Fixed Income Fund | 136,801 |
| 207,910 |
| 1,798,727 |
| — |
|
PPM Floating Rate Income Fund | 186 |
| — |
| (476,570 | ) | (561,124 | ) |
PPM High Yield Core Fund | 20,588 |
| — |
| 1,754,527 |
| (1,208,908 | ) |
PPM Long Short Credit Fund | 20,927 |
| — |
| 461,610 |
| (960,105 | ) |
PPM Large Cap Value Fund | 1,749 |
| — |
| 455,010 |
| (235,390 | ) |
PPM Mid Cap Value Fund | 5,933 |
| — |
| 247,139 |
| (495,319 | ) |
PPM Small Cap Value Fund | 12,789 |
| — |
| 46,698 |
| (463,806 | ) |
* Undistributed net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.
** Unrealized gains (losses) are adjusted for certain tax basis adjustments.
The tax character of distributions paid during the Funds’ fiscal year ended December 31, 2019 was as follows:
| Net Ordinary Income*($) |
| Long-term Capital Gain**($) |
| Return of Capital($) |
PPM Core Plus Fixed Income Fund | 2,167,704 |
| 247,627 |
| — |
PPM Floating Rate Income Fund | 2,466,640 |
| — |
| — |
PPM High Yield Core Fund | 2,870,699 |
| — |
| — |
PPM Long Short Credit Fund | 1,803,726 |
| — |
| — |
PPM Large Cap Value Fund | 149,362 |
| — |
| — |
PPM Mid Cap Value Fund | 70,838 |
| — |
| — |
PPM Small Cap Value Fund | 47,781 |
| — |
| — |
* Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.
** The Funds designated as a long-term capital gain dividend, pursuant to the Internal Revenue Code section 852(b)(3), the amount necessary to reduce earnings and profits of the
Funds related to net capital gains to zero for the year ended December 31, 2019.
The tax character of distributions paid during the Funds’ fiscal year ended December 31, 2018 was as follows:
| Net Ordinary Income*($) |
| Long-term Capital Gain($) |
| Return of Capital($) |
PPM Core Plus Fixed Income Fund | 789,149 |
| — |
| — |
PPM 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 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 management evaluate the tax positions taken in returns for 2018 and 2019, which remain subject to examination by the Internal Revenue Service and certain other jurisdictions. Management completed an evaluation of the Funds’ tax positions and based on that evaluation, determined that no provision for federal income tax was required in the Funds’ financial statements during the year ended December 31, 2019.
NOTE 10. SUBSEQUENT EVENTS
Management has evaluated subsequent events for the Funds through the date the financial statements are issued and has concluded there are no events that require adjustments to the financial statements or disclosure in the notes to financial statements.
58
Report of Independent Registered Public Accounting Firm
To the Shareholders of the Funds and Board of Trustees
PPM Funds:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of each of the Funds listed in the Appendix (the Funds), each a series within PPM Funds, including the schedules of investments, as of December 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years (or period since commencement of operations listed in the Appendix) in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the two-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the years (or period since commencement of operations listed in the Appendix) in the two-year period then ended, and the financial highlights, for each of the years or periods in the two-year period then ended, in conformity with U.S. generally accepted accounting principles.
Emphasis of a Matter
As discussed in Note 1, Organization, on July 24, 2019, the Board approved Plans of Liquidation and Termination of the PPM Credit Fund and PPM Strategic Income Fund. Beginning 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 ceased operations on September 17, 2019.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2019, by correspondence with custodians, transfer agents and brokers or by other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP
We have served as the auditor of one or more JNL investment companies since 2018.
Chicago, Illinois
February 21, 2020
59
Report of Independent Registered Public Accounting Firm
Appendix
PPM Core Plus Fixed Income Fund (commenced operations July 16, 2018) |
PPM Floating Rate Income Fund (commenced operations May 1, 2018) |
PPM High Yield Core Fund (commenced operations July 16, 2018) |
PPM Long Short Credit Fund (commenced operations July 16, 2018) |
PPM Large Cap Value Fund (commenced operations May 1, 2018) |
PPM Mid Cap Value Fund (commenced operations May 1, 2018) |
PPM Small Cap Value Fund (commenced operations May 1, 2018) |
60
PPMFunds
Additional Disclosures (Unaudited)
December 31, 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 $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses paid during this period.
Expenses Using Hypothetical 5% Return. This section provides information that can be used to compare each Fund’s costs with those of other mutual funds. It assumes that the Fund’s expense ratio for the period is unchanged and assumes an annual 5% return before expenses, which is not the Fund’s actual return. This example is useful in making comparisons because the SEC requires all mutual funds to make the 5% calculation.
|
|
|
| Expenses Using Actual Fund Return |
| Expenses Using Hypothetical 5% Return | ||||||||
|
| Annualized Expense Ratios(%) |
| Beginning Account Value 07/01/19($) |
| Ending Account Value 12/31/19($) |
| Expenses Paid During Period($)† |
| Beginning Account Value 07/01/19($) |
| Ending Account Value 12/31/19($) |
| Expenses Paid During Period($)† |
PPM Core Plus Fixed Income Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.50 |
| 1,000.00 |
| 1,027.40 |
| 2.56 |
| 1,000.00 |
| 1,022.68 |
| 2.55 |
PPM Floating Rate Income Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.70 |
| 1,000.00 |
| 1,027.00 |
| 3.58 |
| 1,000.00 |
| 1,021.68 |
| 3.57 |
PPM High Yield Core Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.70 |
| 1,000.00 |
| 1,041.80 |
| 3.60 |
| 1,000.00 |
| 1,021.68 |
| 3.57 |
PPM Long Short Credit Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 1.20 |
| 1,000.00 |
| 1,027.60 |
| 6.13 |
| 1,000.00 |
| 1,019.16 |
| 6.11 |
PPM Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.75 |
| 1,000.00 |
| 1,090.50 |
| 3.95 |
| 1,000.00 |
| 1,021.42 |
| 3.82 |
PPM Mid Cap Value Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.90 |
| 1,000.00 |
| 1,061.40 |
| 4.68 |
| 1,000.00 |
| 1,020.67 |
| 4.58 |
PPM Small Cap Value Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 1.00 |
| 1,000.00 |
| 1,059.70 |
| 5.19 |
| 1,000.00 |
| 1,020.16 |
| 5.09 |
† Expenses paid during the period are equal to the annualized net expense ratio, multiplied by the average account value over the period, then multiplied by 184/365 (to reflect the most recent 6-month period).
Other Federal Income Tax Information. The information reported below is for the year ended December 31, 2019. Qualified dividend information will be provided on each shareholders' 2019 Form 1099-DIV.
For year ended December 31, 2019, the following Funds hereby designate the following percentages, or the maximum amount allowable under the Internal Revenue Code ("Code"), as qualified dividends:
PPM High Yield Core Fund | 0.22% |
PPM Large Cap Value Fund | 100.00% |
PPM Mid Cap Value Fund | 99.16% |
PPM Small Cap Value Fund | 100.00% |
For the year ended December 31, 2019, the following Funds hereby designate the following percentages, or the maximum amount allowable under the Code, as distributions eligible for the dividends received deduction for corporations:
PPM High Yield Core Fund | 0.22% |
PPM Large Cap Value Fund | 100.00% |
PPM Mid Cap Value Fund | 99.16% |
PPM Small Cap Value Fund | 100.00% |
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.
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PPMFunds
Additional Disclosures (Unaudited)
December 31, 2019
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.
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Trustees and Officers of PPM Funds (“Trust”)
Position(s) Held with Trust | Length of Time Served | Principal Occupation(s) | Other Directorships Held During Past 5 Years | ||
Interested Trustee | |||||
Mark Mandich (59)1 | Trustee 2 Chief Executive Officer and President | Since inception | Chief Executive Officer of PPM (5/2015 to present) and President of PPM (12/2015 to present), previously Executive Vice President and Chief Operating Officer, PPM (11/2000 to 4/2015); Chief Executive Officer, Curian Capital LLC (8/2014 to 5/2015); Manager, Curian Capital LLC (5/2015 to present); Manager, Curian Clearing LLC (5/2015 to present) | None. | |
Independent Trustees | |||||
Kevin Callahan (54) | Trustee 2 | Since inception | Founder, Fairway Capital (1/2017 to present), previously Chief Operating Officer, Adams Street Partners (7/1994 to 12/2016) | None. | |
Ronald A. Nyberg (66) | Trustee 2 and Independent Chair of the Board of Trustees | Since inception | Partner, Momkus LLC (7/2016 to present), previously Partner, Nyberg & Cassioppi, LLC (10/2000 to 6/2016) | Trustee, Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Transparent Value Trust, Western Asset/Claymore Inflation-Linked Opportunities & Income Fund, Western Asset/Claymore Inflation-Linked Securities & Income Fund, Advent Convertible & Income Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Credit Allocation Fund, Guggenheim Energy & Income Fund, Fiduciary/Claymore MLP Opportunity Fund and Guggenheim Enhanced Equity Income Fund. | |
Janet D. Olsen (63) | Trustee 2 | Since inception | Retired (1/2014 to present) | Director, ETF Series Solutions. | |
1 Mr. Mandich is an “interested person” of the Trust due to his position with PPM, the Adviser. | |||||
2 The Interested Trustee and the Independent Trustees are elected to serve for an indefinite term. | |||||
3 The Board Chairperson may be reelected for a second three-year term. If the Board Chairperson has served two consecutive terms, he or she may not serve again as the Board Chairperson, unless at least one year has elapsed since the end of his or her second consecutive term as Board Chairperson. |
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Trustees and Officers of PPM Funds (“Trust”)
Name and (Age) | Position(s) Held with Trust | Length of Time Served | Principal Occupation(s) | |
Officers | ||||
Thomas E. Barnicle (59) | Vice President | Since inception | Executive Vice President and Chief Administrative Officer of PPM (10/2015 to present); Senior Vice President, Information Technology and Office Services of PPM (5/2010 to 10/2015) | |
Emily J. Bennett (36) | Vice President and Secretary | Since inception | Assistant Vice President of JNAM (2/2018 to present) and Associate General Counsel of JNAM (3/2016 to present); Senior Attorney of JNAM (10/2013 to 3/2016); Assistant Secretary of other investment companies advised by JNAM (3/2016 to present, 5/2012 to present, and 3/2016 to 7/2018); Assistant Secretary of Curian Series Trust (5/2012 to 2/2016) | |
Mary T. Capasso (48) | Vice President, Chief Legal Officer and Assistant Secretary | Since inception | Senior Vice President and General Counsel of PPM (6/2018 to present); Vice President and Deputy General Counsel of PPM (8/2015 to 6/2018); previously Assistant General Counsel of Harris Associates LP (until 8/2015) | |
Daniel W. Koors (49) | Vice President, Treasurer, and Principal Financial Officer | Since inception | Senior Vice President of JNAM (1/2009 to present) and Chief Operating Officer of JNAM (4/2011 to present); Treasurer and Chief Financial Officer of Curian Series Trust (11/2010 to 2/2016); Vice President of other investment companies advised by JNAM (1/2018 to present, 12/2006 to present, and 8/2012 to 7/2018); Treasurer and Chief Financial Officer (Principal Financial Officer) of other investment companies advised by JNAM (9/2006 to present and 10/2011 to present) | |
Michael H. Markowitz (55) | Vice President | Since inception | Executive Vice President of PPM (3/2018 to present) and Head of Business Development (12/2016 to present); Senior Managing Director of PPM (12/2016 to 2/2018); previously Senior Managing Director, Corporate Strategy, Head of Traditional Asset Management, Mesirow Financial (4/2014-11/2016) | |
Colleen P. McDermott (59) | Vice President | Since inception | Senior Managing Director, Product Management of PPM (8/2017 to present); previously Managing Director, Senior Product Manager, Guggenheim Investments (5/2011 to 6/2017) | |
Mark D. Nerud (53) | Principal Executive Officer | Since inception | Chief Executive Officer of JNAM (1/2010 to present); President of JNAM (1/2007 to present); Managing Board Member of JNAM (5/2015 to present); President and Chief Executive Officer of Curian Series Trust (8/2014 to 2/2016); Managing Board Member of Curian Capital, LLC (1/2011 to 4/2015); Managing Board Member of Curian Clearing LLC (1/2011 to 4/2015); President and Chief Executive Officer (Principal Executive Officer) of other investment companies advised by JNAM (8/2014 to present, 12/2006 to present, and 8/2012 to 7/2018) | |
Joseph O’Boyle (57) | Chief Compliance Officer and Anti-Money Laundering Officer | Since inception | Vice President of JNAM (8/2015 to present); Acting Chief Compliance Officer of JNAM (6/2018 to 8/2018); Vice President of other investment companies advised by JNAM (1/2018 to present); Acting Chief Compliance Officer and Acting Anti-Money Laundering Officer of other investment companies advised by JNAM (6/2018 to 8/2018), Anti-Money Laundering Officer of another investment company advised by JNAM (12/2015 to 1/2018); Chief Compliance Officer of Curian Series Trust (5/2012 to 2/2016) | |
Rebecca A. Paulzine (40) | Vice President and Assistant Secretary | Since November 2018 | Vice President and Senior Counsel of PPM (9/2018 to present); Associate General Counsel, Edward Jones (9/2014 to 9/2018) |
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Trustees and Officers of PPM Funds (“Trust”)
Name and (Age) | Position(s) Held with Trust | Length of Time Served | Principal Occupation(s) |
Officers | |||
Susan S. Rhee (48) | Vice President and Assistant Secretary | Since inception | Senior Vice President and General Counsel of JNAM (1/2010 to present); Secretary of JNAM (11/2000 to present); Vice President, Chief Legal Officer, and Secretary of other investment companies advised by JNAM (10/2011 to present, 2/2004 to present, and 8/2012 to 7/2018); Vice President, Chief Legal Officer, and Secretary of Curian Series Trust (11/2010 to 2/2016) |
The business address of the Interested Trustee and each officer affiliated with PPM is 225 W. Wacker Drive, Suite 1200, Chicago, IL 60606. The address of the Independent Trustees is c/o PPM Funds, 225 W. Wacker Drive, Suite 1200, Chicago, IL 60606. The business address of each officer affiliated with JNAM is 1 Corporate Way, Lansing, MI 48951. |
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Trustees and Officers of PPM Funds (“Trust”)
The interested Trustee and the Officers of the Trust or the Adviser do not receive any compensation from the Trust for their services as Trustees or Officers. The Independent Trustees received the following compensation for their services for the twelve-month period ended December 31, 2019:
Independent Trustee | Aggregate Compensation from the Trust | Pension or Retirement Benefits Accrued As Part of Fund Expenses | Estimated Annual Benefits Upon Retirement | Total Compensation from the Trust |
Kevin Callahan | $49,000 | $0 | $0 | $49,000 |
Ronald A. Nyberg | $49,000 | $0 | $0 | $49,000 |
Janet D. Olsen | $49,000 | $0 | $0 | $49,000 |
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(the “Trust”)
CONSIDERATION AND APPROVAL OF THE ADVISORY AGREEMENT
The Board of Trustees of the Trust (“Board”) oversees the management of the Trust and its separate series (each a “Fund” and collectively the “Funds”) and, as required by law, determines annually whether to approve the continuation of the Trust’s advisory agreement (“Advisory Agreement”) with PPM America, Inc. (“PPM” or the “Adviser”) with respect to each existing Fund, and also determines whether to approve the Advisory Agreement with respect to new Funds.
At in-person meetings held on July 24, 2019 and August 27-28, 2019, the Board, including all of the trustees who are not interested persons of the Funds (as defined in the Investment Company Act of 1940, as amended) (the “Independent Trustees”), considered information relating to the continuation of the Advisory Agreement for each existing Fund. At the August 27-28, 2019 meeting, the Board also considered information relating to the approval of the Advisory Agreement with respect to two new Funds: PPM Core Fixed Income Fund and PPM Investment Grade Credit Fund (each, a “New Fund,” and collectively, the “New Funds”).
In advance of the meetings, independent legal counsel for the Independent Trustees requested that certain information be provided to the Board relating to the Advisory Agreement. The Board received, and had the opportunity to review, this and other materials, ask questions and request further information in connection with its consideration of the Advisory Agreement. At the conclusion of the Board’s discussions, the Board approved the continuation of the Advisory Agreement through September 30, 2020 and approved the Advisory Agreement with respect to the New Funds.
In reviewing the Advisory Agreement and considering the information, the Board was advised by independent legal counsel. The Board considered the factors it deemed relevant, as applicable, including: (1) the nature, quality and extent of the services provided; (2) the investment performance of each Fund; (3) the cost of services for each Fund; (4) profitability data; (5) whether economies of scale may be realized and shared, in some measure, with investors as each Fund grows; and (6) other benefits that may accrue to PPM through its relationship with the Trust.
Before approving the Advisory Agreement, the Independent Trustees met in multiple executive sessions over the course of several weeks with their independent legal counsel to consider the materials provided by PPM and to consider the terms of the Advisory Agreement. Based on its evaluation of those materials and the information the Board received throughout the year at its regular meetings, the Board, including the interested and Independent Trustees, concluded that the Advisory Agreement is in the best interests of the shareholders of each Fund. In reaching its conclusions and exercising its business judgment, the Board considered numerous factors, including those noted above and described further below. The Board’s conclusions as to the approval of the Advisory Agreement were based on a comprehensive consideration of all information provided to the Board, and were not based on any single factor alone. Some of the factors that figured particularly in the Board’s deliberations are described below, although individual Trustees may have evaluated the information presented differently from one another, attributing different weights to various factors.
Nature, Quality and Extent of Services
The Board examined the nature, quality, and extent of the services provided by PPM.
The Board considered the services provided by PPM as adviser to the Funds. The Board noted that PPM furnishes the Funds with investment advisory services, subject to the supervision of the Board, and in conformity with the stated policies of each Fund. The Board also considered information provided by PPM regarding the firm’s track record and experience managing accounts and strategies similar to the Funds. The Board also considered the various business-related risks PPM faces as a result of advising the Funds, including entrepreneurial, legal and litigation risks, some of which may be significant. The Board also took into account that PPM monitors the performance of the various organizations that provide services to the Funds, including the Funds’ administrator, distributor, transfer agent and custodian. In this regard, the Board considered that PPM negotiates certain service providers’ fees and evaluates service providers’ infrastructure, cybersecurity programs, compliance programs, and business continuity programs, among other matters. The Board also considered PPM’s ongoing development of its own infrastructure and information technology to support the Funds through, among other things, cybersecurity, business continuity planning, risk management, and support and reporting provided to the Board in connection with its Board and Committee meetings.
The Board reviewed the qualifications, backgrounds and responsibilities of PPM’s senior management, including the individuals responsible for managing the Funds. The Board also reviewed information pertaining to PPM’s organizational structure, financial condition, investment operations, and other relevant information pertaining to PPM. The Board considered compliance reports regarding PPM, both from PPM’s Chief Compliance Officer and the Funds’ Chief Compliance Officer.
Based on the foregoing, the Board concluded that each existing Fund is likely to continue to benefit from the nature, extent and quality of the services provided by PPM under the Advisory Agreement, and that each New Fund is likely to benefit from the nature, extent and quality of the services to be provided by PPM under the Advisory Agreement.
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Investment Performance of the Funds
Existing Funds
The Board considered the investment performance of each existing Fund as described in quarterly reports prepared by PPM. The Board noted that PPM reviews with the Board on a quarterly basis detailed information about each Fund’s performance results and investment strategies. The Board also considered the performance of each Fund, including how the Fund’s performance on a gross basis (unless otherwise noted) compared to the performance of a group of comparable funds (“peer group”) identified by an independent data service and how the Fund performed versus its primary benchmark index (“benchmark”). The Board noted that comparisons to peer groups provide a helpful way to evaluate the Funds’ performance, but took into account that peer group universes are constantly evolving, and as such, the universe of comparable funds in the Funds’ peer groups may change from time to time. The Board also considered information furnished by PPM at the Board’s request, comparing the performance of each Fund relative to a peer group identified by PPM as representative of peer funds that are similarly positioned to the Funds in the marketplace.
In considering performance, the Board noted that each Fund commenced operations in 2018 and therefore, with the exception of PPM Strategic Income Fund,1 had a limited performance record against which to evaluate PPM. In this regard, the Board also considered that PPM manages other advisory accounts that have substantially similar investment objectives, policies and investment strategies as each Fund. Accordingly, the Board also considered information provided by PPM regarding the composite performance of accounts managed by PPM with similar investment strategies to the Funds.
Certain performance data considered by the Board is summarized below. Unless otherwise noted, the performance data summarized below is for periods ended on March 31, 2019.
PPM Core Plus Fixed Income Fund. The Board considered that the Fund outperformed its benchmark and performed in the first quintile of its peer group for the since inception period. The Board also noted that the Fund commenced operations in July 2018 and had less than one year of performance history as of March 31, 2019. The Board noted, therefore, that it would be prudent to allow the Adviser more time to develop its performance record with the Fund.
PPM Credit Fund. The Board considered that the Fund performed in the first quintile of its peer group, though it underperformed its benchmark for the since inception period. The Board also considered that it had approved the liquidation of the Fund, which was expected to occur on or about September 27, 2019.
PPM Floating Rate Income Fund. The Board considered that the Fund underperformed its benchmark and peer group median for the since inception period. The Board considered that the Fund’s more recent performance had improved, with the Fund outperforming its benchmark for the one-year period ended June 30, 2019. The Board also considered that the Fund commenced operations in May 2018 and had less than one year of performance history as of March 31, 2019. The Board noted, therefore, that it would be prudent to allow the Adviser more time to develop its performance record with the Fund.
PPM High Yield Core Fund. The Board considered that the Fund underperformed its benchmark and peer group median for the since inception period. The Board considered that the Fund’s more recent performance had improved, with the Fund outperforming its benchmark for the year-to-date period ended June 30, 2019. The Board also considered that the Fund commenced operations in July 2018 and had less than one year of performance history as of March 31, 2019. The Board noted, therefore, that it would be prudent to allow the Adviser more time to develop its performance record with the Fund.
PPM Long Short Credit Fund. The Board considered that the Fund underperformed its benchmark and peer group median for the since inception period. The Board considered that the Fund’s more recent performance had improved, with the Fund outperforming its benchmark by over 400 basis points for the year-to-date period ended June 30, 2019. The Board also considered that the Fund commenced operations in July 2018 and had less than one year of performance history as of March 31, 2019. The Board noted, therefore, that it would be prudent to allow the Adviser more time to develop its performance record with the Fund.
PPM Strategic Income Fund.2 The Board considered that the Fund outperformed its benchmark and its peer group median for the three- and five-year periods, though it underperformed both measures for the one-year period. The Board also considered that it had approved the liquidation of the Fund, which was expected to occur on or about September 27, 2019.
PPM Large Cap Value Fund. The Board considered that the Fund underperformed its benchmark and peer group median for the since inception period. The Board considered that the Fund commenced operations in May 2018 and had less than one year of performance history as of March 31, 2019. The Board noted, therefore, that it would be prudent to allow the Adviser more time to develop its performance record with the Fund.
1 The Board noted that PPM Strategic Income Fund’s performance track record for periods prior to July 2, 2018 is that of JNL/PPM America Strategic Income Fund (the “Predecessor Fund”), a series of JNL Strategic Income Fund LLC that merged into PPM Strategic Income Fund.
2 Reflects performance of the Predecessor Fund for periods prior to July 2, 2018.
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PPM Mid Cap Value Fund. The Board considered that the Fund underperformed its benchmark and peer group median for the since inception period. The Board considered that the Fund commenced operations in May 2018 and had less than one year of performance history as of March 31, 2019. The Board noted, therefore, that it would be prudent to allow the Adviser more time to develop its performance record with the Fund.
PPM Small Cap Value Fund. The Board considered that the Fund underperformed its benchmark and peer group median for the since inception period. The Board considered that the Fund’s more recent performance had improved, with the Fund outperforming its benchmark for the year-to-date period ended June 30, 2019. The Board also considered that the Fund commenced operations in May 2018 and had less than one year of performance history as of March 31, 2019. The Board noted, therefore, that it would be prudent to allow the Adviser more time to develop its performance record with the Fund.
New Funds:
The Board took into account that the New Funds had not commenced operations and that there was no actual performance data to review. The Board considered, however, that PPM manages other advisory accounts that have substantially similar investment objectives, policies and investment strategies as the New Funds. Accordingly, the Board considered information provided by PPM regarding the composite performance of accounts managed by PPM with similar investment strategies to the New Funds.
Costs of Services
Existing Funds
The Board reviewed the advisory fee rates paid to PPM by each Fund as well as the total expense ratio of each Fund. The Board reviewed such fee and expense information as compared to that of comparable funds managed by other advisers. Using information provided by an independent data service, the Board evaluated each Fund’s contractual advisory fees and total expense ratios (net of waivers) in comparison to the contractual advisory fees and total expense ratios of each Fund’s peer group. The Board noted that comparisons to peer groups provide a helpful way to evaluate the Funds’ fees, but took into account that peer group universes are constantly evolving, and as such, the universe of comparable funds in the Funds’ peer groups may change from time to time. The Board also considered the contractual management fees and total expenses of each Fund relative to a peer group identified by PPM at the Board’s request, which represented funds that the Adviser believed to be similarly positioned to the Funds in the marketplace.
In considering the Funds’ fees and expenses, the Board also considered that PPM manages other advisory accounts that have substantially similar investment objectives, policies and investment strategies as each Fund. Accordingly, the Board also considered information provided by PPM regarding the fees charged by PPM to accounts with similar investment strategies to the Funds.
The Board also considered that PPM has entered into an Expense Limitation Agreement with each Fund through April 30, 2020, whereby PPM 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. The Board also considered that the Expense Limitation Agreement renews automatically for successive one-year terms unless the Board approves the termination of the agreement.
Further detail considered by the Board regarding the advisory fees and expense ratios of each Fund is set forth below:
PPM Core Plus Fixed Income Fund. The Board considered that the Fund’s contractual advisory fee and total expense ratio are in the third quintile of its peer group. The Board considered information provided by PPM suggesting that a different independent data service provided a more representative peer group classification for the Fund, based on the Fund’s investment strategy and portfolio composition. In this regard, the Board noted that the Fund’s contractual advisory fee is in the second quintile and its total expense ratio is in the first quintile of this alternative peer group.
PPM Credit Fund. The Board considered that the Fund’s contractual advisory fee and total expense ratio are in the first quintile of its peer group. The Board considered that it had approved the liquidation of the Fund, which was expected to occur on or about September 27, 2019.
PPM Floating Rate Income Fund. The Board considered that the Fund’s contractual advisory fee is in the second quintile and its total expense ratio is in the first quintile of its peer group.
PPM High Yield Core Fund. The Board considered that the Fund’s contractual advisory fee is in the first quintile and its total expense ratio is in the second quintile of its peer group.
PPM Long Short Credit Fund. The Board considered that the Fund’s contractual advisory fee and total expense ratio are first out of the five funds in its peer group.
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PPM Strategic Income Fund. The Board considered that the Fund’s contractual advisory fee is in the first quintile and its total expense ratio is in the third quintile of its peer group. The Board considered that it had approved the liquidation of the Fund, which was expected to occur on or about September 27, 2019.
PPM Large Cap Value Fund. The Board considered that the Fund’s contractual advisory fee and total expense ratio are in the second quintile of its peer group.
PPM Mid Cap Value Fund. The Board considered that the Fund’s contractual advisory fee is in the second quintile and its total expense ratio is in the third quintile of its peer group.
PPM Small Cap Value Fund. The Board considered that the Fund’s contractual advisory fee and total expense ratio are in the third quintile of its peer group.
New Funds
The Board reviewed the advisory fees proposed to be paid to PPM by each New Fund as well as the projected total expense ratios of each New Fund. The Board reviewed such fee and expense information as compared to that of comparable funds managed by other advisers. Using information provided by an independent data service, the Board evaluated each New Fund’s contractual advisory fees and estimated total expense ratios (net of waivers) in comparison to the contractual advisory fees and total expense ratios of each New Fund’s peer group. The Board also considered the contractual management fees and total expenses of each New Fund relative to a peer group identified by PPM at the Board’s request, which represented funds that PPM believed to be similarly positioned to the New Funds in the marketplace.
In considering the New Funds’ fees and expenses, the Board also considered that PPM manages other advisory accounts that have substantially similar investment objectives, policies and investment strategies as each New Fund. Accordingly, the Board also considered information provided by PPM regarding the fees charged by PPM to accounts with similar investment strategies to each New Fund.
The Board also considered that PPM proposed to add the New Funds to the Expense Limitation Agreement through April 30, 2021, such that PPM 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 0.45% for the PPM Core Fixed Income Fund and 0.50% for the PPM Investment Grade Credit Fund.
PPM Core Fixed Income Fund. The Board considered that the Fund’s contractual advisory fee and estimated total expense ratio are projected to be in the first quintile of its peer group.
PPM Investment Grade Credit Fund. The Board considered that the Fund’s contractual advisory fee and estimated total expense ratio are projected to be in the first quintile of its peer group.
Economies of Scale
The Board considered whether each Fund’s advisory fee reflects the potential for economies of scale for the benefit of the Funds’ shareholders. Based on information provided by PPM, the Board noted that, while PPM did not propose breakpoints in its advisory fee schedule for the Funds, the Board would continue to review the Adviser’s fees on an ongoing basis. The Board further noted that the Adviser had agreed to waive certain fees for each Fund, which limits the expenses borne by shareholders as the Funds raise assets. The Board also considered that economies of scale can be shared with the Funds in other ways, including pricing Funds at scale from inception, additional technological and personnel investments to enhance shareholder services, and maintaining existing expense structures in the face of a rising cost environment.
Profitability
The Board considered information concerning the costs incurred and profits or losses realized by PPM with respect to the existing Funds. The Board considered that, based on the profitability analyses provided by PPM, PPM had not realized profits with respect to the Funds.
Other Benefits to Affiliates of PPM
In evaluating the benefits that accrue to the Adviser through its relationship with the Funds, the Board noted that PPM and certain of its affiliates serve the Funds in various capacities, including as adviser, administrator, and distributor, and receive compensation from the Funds in connection with providing certain of these services. In particular, the Board considered that Jackson National Asset Management, LLC (“JNAM”) serves as Administrator to the Funds, and that JNAM charges administration fees at an annual rate of 0.10% of average daily net assets for the Funds. The Board noted that each service provided to the Funds by JNAM or one of its affiliates is pursuant to a written agreement, which the Board evaluates periodically as required by law.
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After full consideration of the foregoing factors, the Board concluded that the approval of the Advisory Agreement was in the best interests of each Fund and its shareholders.
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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.
In the section entitled “Management of the Funds,” all information related to Erica Lankfer is deleted in its entirety.
PPM FUNDS
SUPPLEMENT DATED DECEMBER 6, 2019 TO
THE PROSPECTUS DATED APRIL 30, 2019, AS AMENDED JUNE 5, 2019,
JULY 8, 2019, JULY 24, 2019 AND AUGUST 2, 2019
PPM Core Plus Fixed Income Fund PPM Floating Rate Income Fund PPM High Yield Core Fund PPM Long Short Credit Fund PPM Large Cap Value Fund PPM Mid Cap Value Fund PPM Small Cap Value Fund (each, a “Fund,” and collectively, the “Funds”) | PKPIX PKFIX PKHIX PKLIX PZLIX PXMIX PZSIX |
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 last three paragraphs on the cover of the Prospectus are deleted and replaced with the following:
You may elect to receive shareholder reports and other communications from the Funds electronically by doing one of the following:
· Calling 1-844-446-4PPM (1-844-446-4776)
· Logging into your account online
· Contacting your financial intermediary (such as a broker-dealer or bank), if you hold Fund shares through a financial intermediary
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. 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 hold your shares directly with the Funds and wish to continue receiving paper copies of your shareholder reports, you may elect to do so by contacting the Funds at the phone number listed above or by logging into your account online. If you hold your shares through a financial intermediary, you may elect to continue receiving paper copies of your shareholder reports by contacting your financial intermediary. Your election to receive reports in paper will apply to all PPM Funds that you hold directly or all PPM Funds you hold through your financial intermediary, as applicable.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
In the section of the Prospectus entitled “Fund Summaries,” for PPM Core Plus Fixed Income Fund and PPM Small Cap Value Fund only, the second paragraph under the heading “Purchase and Redemption of Fund Shares” shall be deleted and replaced with the following:
You may purchase, exchange or redeem Fund shares each day the New York Stock Exchange is open for regular session trading at the Fund’s net asset value next calculated after receipt and acceptance of your request in good order. Contact the Fund by phone 1-844-446-4PPM (1-844-446-4776), by regular or express mail at PPM Funds, PO Box 2175, Milwaukee, WI 53201-2175 (for regular mail), or PPM Funds, c/o UMB Fund Services, 235 W. Galena Street, Milwaukee, WI 53212-3948 (for express mail). Purchases and redemptions of certain Funds may also be made through an authorized financial intermediary. Although the Fund does not impose any sales charges on Fund shares, if you purchase or sell Fund shares through a financial intermediary, you may separately pay a commission to your financial intermediary on your purchase and sale of Fund shares, which is not reflected in this prospectus. Please contact your financial intermediary for additional information.
In the section of the Prospectus entitled “Fund Summaries,” for PPM Core Plus Fixed Income Fund and PPM Small Cap Value Fund only, the following paragraph shall be added at the end of the section entitled “Purchase and Redemption of Fund Shares,” following the section entitled “Tax Information”:
Payments to Broker-Dealers and Other Financial Intermediaries
If you purchase Fund shares through a financial intermediary, PPM may pay the financial intermediary for services provided to the Fund and its shareholders. PPM may also pay the financial intermediary for the sale of Fund shares. These payments may create a conflict of interest by influencing the financial intermediary and your salesperson to recommend the Fund over another investment. Ask your salesperson or visit your intermediary’s website for more information.
In the section of the Prospectus entitled “Glossary of Risks,” the first sentence of the description of “Foreign Regulatory Risk” is deleted and replaced with the following:
Foreign regulatory risk – PPM is an indirect wholly-owned subsidiary of Prudential plc, a publicly-traded company incorporated in the United Kingdom and is not affiliated in any manner with Prudential Financial Inc., a company whose principal place of business is in the US, or with The Prudential Assurance Company Ltd, a subsidiary of M&G plc, a company incorporated in the United Kingdom.
The second paragraph under “Investment Adviser” in the section of the Prospectus entitled “Management of the Funds” is deleted and replaced with the following:
PPM is an indirect, wholly-owned subsidiary of Prudential plc, a publicly-traded company incorporated in the United Kingdom (“UK Parent”). PPM was founded in 1990 to provide investment management services primarily to affiliates of the UK Parent. The UK Parent and its affiliated companies constitute one of the world’s leading financial services groups. The UK Parent is not affiliated in any manner with Prudential Financial Inc., a company whose principal place of business is in the US, or with The Prudential Assurance Company Ltd, a subsidiary of M&G plc, a company incorporated in the United Kingdom. As of December 31, 2018, PPM managed approximately $108.3 billion of assets for internal, institutional and retail mandates worldwide.
The section of the Prospectus entitled “Opening an Account” is hereby deleted and replaced with the following:
If you meet the eligibility requirements, you may obtain an account application or request more information about opening an account by calling the Fund’s Transfer Agent at 1-844-446-4PPM (1-844-446-4776). You may also visit https://www.ppmamerica.com/ppmfunds. For certain Funds, you may be able to open an account by contacting your financial intermediary.
The type of application you will need depends on the type of account you want to open. For example, if you are opening a retirement account, you will need to complete a different application than you would if you were opening a taxable account. When you call PPM to request an account application, be sure to state what type of account you want to open to ensure that you receive the correct application. If you open an account through a financial intermediary, they typically will assist you in completing the necessary account application.
Under Federal law, all financial institutions, including mutual funds, are required to obtain, verify and record information that identifies each person who opens an account. When you open an account, you will be asked to provide certain identifying information and documentation, examples of which are set out below. Failure to provide this information may result in a delay in processing your application:
· The account holder’s tax ID number or social security number and date of birth.
· For entities, a copy of the official documentation that verifies the entity and lists the authorized individual(s) such as: registered articles of incorporation, government-issued business license, partnership agreement, or plan documents.
· For a trust account, a copy of the trust document including the title and signature pages.
· The account holder’s street address - P.O. Box addresses are not accepted. If any joint owner has a different address than the account registration, it must be indicated on the application.
· The account holder or an authorized individual’s signature.
A new account application must be received by the Transfer Agent or financial intermediary with all the necessary information, sometimes referred to as “in good order,” prior to accepting your payment for shares. Any application that is sent to the Transfer Agent or financial intermediary does not constitute a purchase order until the Transfer Agent or financial intermediary processes the application and receives correct payment via the acceptable method as specified in the account application (by check, wire transfer or ACH).
The fifth paragraph of the section of the Prospectus entitled “How to Buy Fund Shares” is hereby deleted and replaced with the following:
Your order to buy or exchange shares will be processed at the NAV next calculated after your order is received in good order by the Funds’ Transfer Agent or your financial intermediary. If your payment is received via wire after the time as of which the NAV is calculated for the day, your funds may be held until the next Business Day. The Funds will not be responsible for the consequences of delays, including delays in the banking or Federal Reserve wire systems.
The first paragraph of the section of the Prospectus entitled “How to Sell Shares” is hereby deleted and replaced with the following:
Each Fund redeems its shares continuously, and you may redeem all or any portion of your Fund shares on any Business Day. Your redemption will be processed at the next determined NAV calculated after your redemption order is received in good order by the Funds’ Transfer Agent or your financial intermediary.
The following section is hereby added to the section of the Prospectus entitled “Other Account Policies”:
Certain financial intermediaries, which may include financial services companies, broker-dealers, banks or other authorized agents that qualify as eligible investors, may be authorized to accept orders for purchase, exchange and redemption on behalf of certain Funds. An order properly received by a financial intermediary will be deemed to have been accepted by the respective Fund. If you buy, exchange or redeem shares through a financial intermediary, you will pay or receive the Fund’s NAV per share next calculated after receipt and acceptance of the order by the financial intermediary, after subtracting any transaction charge imposed by the financial intermediary. The financial intermediary’s procedures will apply in lieu of purchase, exchange and redemption procedures described in this Prospectus. Please contact your financial intermediary for more information on its procedures.
If you attempt to purchase Fund shares through an unauthorized intermediary, your purchase request will be rejected. Please contact your financial intermediary or PPM Funds at 1-844-446-4PPM (1-844-446-4776) to confirm whether your financial intermediary is eligible to purchase Fund shares and, if so, how purchases, redemptions or exchanges may be made.
Some financial intermediaries charge a fee for accounting and shareholder services that the intermediary provides to Fund shareholders on the Fund’s behalf. These services may include recordkeeping, transaction processing for shareholders’ accounts and other services. This fee may be based on the number of accounts or may be a percentage of the average value of accounts for which the financial intermediary provides services. PPM pays financial intermediaries for all or a portion of these accounting and shareholder services and for distribution services performed with respect to the Funds. Financial intermediaries that receive these types of payments may have a conflict of interest in recommending or selling Fund shares rather than other investments, particularly where such payments exceed those associated with other investments. Please contact your financial intermediary for more information about payments it may receive from PPM.
The following paragraph is hereby added to the section of the Prospectus entitled “Householding”:
If you hold your shares of a Fund through a financial intermediary, please contact your financial intermediary to opt out of householding.
The section of the Prospectus entitled “Market Timing Policies” is hereby deleted and replaced with the following:
“Market Timing” Policy
The interests of a Fund’s long-term shareholders may be adversely affected by certain short-term trading activity by other investors in the Fund. Such short-term trading activity, when excessive, has the potential to, among other things, compromise efficient portfolio management, generate transaction and other costs, and dilute the value of Fund shares held by long-term shareholders. This type of excessive short-term trading activity is referred to herein as “market timing.” The Funds are not intended to serve as vehicles for market timing. The Board has adopted policies and procedures with respect to market timing which include the monitoring of “round-trips” by investors. A round-trip is a purchase (or exchange into) Fund shares followed or preceded by a redemption (or exchange out of) the same Fund’s shares. If a round trip by an investor is identified within 10 business days, the Fund (or its agent) may reject or otherwise limit the investor’s ability to purchase or exchange Fund shares for a prescribed period.
The policies and procedures described above are intended to deter and curtail market timing in the Fund. However, there can be no assurance that these policies will be totally effective in this regard. The Funds rely on the Administrator to take the appropriate steps, including daily monitoring of separate account trading activity, to further deter market timing. If they are ineffective, the adverse consequences described above could occur.
Each Fund may, in its discretion, suspend, and may permanently terminate, the purchase privileges or the purchase portion of exchange privileges of any investor who engages in trading activity that the Fund believes would be disruptive to the Fund. Although each Fund will attempt to give prior notice of a suspension or termination of such privileges when it is reasonably able to do so, the suspension or termination may be effective immediately, thereby preventing any uncompleted exchange. In making this judgment, the Fund may consider trading done in multiple accounts under common ownership or control. Such restriction typically is placed in the account immediately after such disruptive trading is determined to be occurring.
The Funds may receive purchase and sale orders through intermediaries and cannot always identify or reasonably detect short-term or excessive trading that may be facilitated by those intermediaries or by the use of omnibus accounts by those intermediaries. Omnibus accounts are comprised of multiple investors whose purchases and redemptions are aggregated and netted before being submitted to the Funds, making it more difficult to locate and eliminate short-term or excessive trading. To the degree a Fund is able to identify excessive or short-term trading in accounts maintained by intermediaries, the Fund will seek the cooperation of the intermediary to enforce the Fund’s excessive trading policy. However, there can be no assurance that an intermediary will cooperate in all instances. Certain intermediaries may not presently possess the same operational capabilities to track the number of purchase, redemption or exchange orders made by an individual investor as the Funds, or they may lack such capabilities entirely. Certain intermediaries may possess other capabilities to deter short-term or excessive trading upon which the Funds may rely. In general, the Funds cannot eliminate the possibility that short-term or excessive trading activity will occur in the Funds.
Although the Funds will take steps to detect and deter abusive trading pursuant to policies and procedures approved by the Board of Trustees, there are no assurances that these policies and procedures will be effective in limiting excessive trading in all circumstances. For example, the Funds may be unable to completely eliminate the possibility of excessive trading in certain omnibus accounts and other accounts traded through intermediaries.
The Funds’ policies and procedures regarding excessive trading may be modified by the Board of Trustees at any time.
SUPPLEMENT DATED NOVEMBER 20, 2019 TO THE
PROSPECTUS DATED NOVEMBER 20, 2019
For all prospective shareholders of the following funds:
PPM Core Fixed Income Fund | PKOIX |
PPM Investment Grade Credit Fund | PKIIX |
This supplement provides new and additional information that affects information contained in the Prospectus and should be read in conjunction with the Prospectus.
Effective November 20, 2019, shares of the PPM Core Fixed Income Fund and PPM Investment Grade Credit Fund are not available for purchase by new investors until further notice.
Privacy Policy
PPM America, Inc., PPM Loan Management Company, LLC and PPM Funds (collectively, “PPM”) are committed to keeping nonpublic information about clients and potential clients secure and confidential. We do not disclose your information to anyone except as required by law, described in this policy, or as you otherwise permit. Most importantly, we do not sell your information to anyone.
PERSONAL INFORMATION COLLECTED WITHIN THE PAST 12 MONTHS
Below is a list of the categories of personal information we have collected within the past 12 months. We did not necessarily collect all the specific pieces of personal information listed for any given person. Please note that these personal information categories are as they are set forth under California law.
Category | Examples | Collected |
Identifiers | Name, email address, postal address, government issued ID, or other similar identifiers | Yes |
Personal Information (as listed in Cal. Civ. Code § 1798.80) | Signature, social security number, financial information or other similar personal information | Yes |
Protected classification characteristics | Age, race, national origin, citizenship, gender | Yes |
Commercial Information | Property records, business or other financial related commercial information | Yes |
Biometric Information | Genetic, physiological, behavioral, and biological characteristics, such as fingerprints | Yes |
Internet/Network Activity | Information on interactions with firm marketing emails | Yes |
Geolocation Data | Physical location or movements | No |
Sensory Data | Audio or visual information | Yes |
Professional or employment-related information | Current or past job history or performance evaluations | Yes |
Non-public education information | Transcripts, class lists | Yes |
Inferences drawn from other personal information | Profile reflecting psychological trends, predispositions, behavior, attitudes, | No |
HOW WE COLLECT PERSONAL INFORMATION
We receive personal information through two primary means: information you provide us directly and information we collect automatically.
Information you provide to PPM. In the course of serving you as someone associated with a corporate or institutional client, PPM obtains personal information about you principally through requests by email or telephone. Obtaining this information is important to our ability to fulfill your requests and deliver the highest level of service.
Digital Analytics Information. While we do not collect personal information from anyone who is merely visiting or browsing our website, to enhance our visitors' usability of the PPM website, we use digital analytics tools (e.g. Google Analytics) to understand and optimize performance. This may include, but is not limited to, the collection of IP addresses and information about what pages visited, and average time on pages. To learn more about how Google uses the information, visit Google’s Privacy & Terms at http://policies.google.com/technologies/partner-sites.
When interacting with our PPM email marketing materials, our systems automatically log information about your interaction with that email as well as information about your computer or mobile device. For example, our system logs when you open an email from us, what links in our emails you select, your IP address, your computer or mobile device operating system name and version, browser and email client type, how long you spent on a page, and information about your use of and actions on the email newsletter. If you currently receive PPM email marketing materials but wish to stop receiving these communications, please follow the opt-out instructions contained within the email message from PPM.
HOW WE USE YOUR INFORMATION
Use of your personal information depends on your relationship to PPM. We did not necessarily collect all the specific pieces of personal information listed above for any one specific business purpose, but rather, we used personal information, generally, in the following circumstances, including:
· Servicing clients. For example, personal information may be needed to maintain or service accounts, process or fulfill orders and transactions, or process payments.
· Performing due diligence. For example, we may need to conduct research or evaluate individuals in connection with an investment or sale on behalf of our clients or with respect to a corporate restructuring, merger or acquisition or similar proceeding.
· Employment with PPM. For example, we collect information throughout our hiring process, talent evaluation, inquiries, benefits enrollment, compensation and termination.
· Pursuant to law or regulation. For example, we might use the information you provide us to verify your identity or identify individuals within your organization to help fulfill certain legal or regulatory requirements.
· Interacting with our service providers. For example, PPM may receive personal information during the course of our business relationship for onboarding, background checks, or, depending on your relationship to PPM, as required to attest to PPM’s compliance policies and code of conduct.
· As part of a corporate transaction. For example, a transaction with a successor or affiliate or in connected with any acquisition, merger or sale of assets.
· Respond to your requests or questions. For example, we might use the information you provided us to respond to your questions or feedback.
For those who interact with our PPM email marketing materials or our website, we collect and use your information to:
· Provide relevant news and information. For example, we might use your information to customize your experience with us and help us better understand your interests and needs so that we can improve your experience with our online content.
· Improve our website, products or services. For example, we might use anonymized information to enhance your experience with us or improve content on our websites.
SHARING PERSONAL INFORMATION
PPM does not share your personal information with “third parties” as defined by the California Consumer Privacy Act.
We may share your information with affiliates and non-affiliated third-parties that perform support services for PPM. 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 if you so direct or with your consent, if we are compelled by law or regulation, as part of a corporate transaction with a successor or affiliate or in connected with any acquisition, merger or sale of assets, or in other circumstances as permitted by law (for example, to protect your account from fraud).
SPECIFIC PRIVACY RIGHTS
California-specific privacy rights. The California Consumer Privacy Act (“CCPA”) provides residents of California enhanced privacy rights, including the following:
· Right to know about your personal information PPM collects and discloses
· Right to access information PPM has collected about you
· Right to request PPM delete your personal information
· Right to non-discrimination for exercising your privacy rights
We do not discriminate against you, for example, by offering a different level of service, for exercising any of these rights. While the CCPA also provides California residents with the right to opt-out of sales of personal information to third parties, it is important to know we do not sell your personal information. Additionally, we do not knowingly collect or sell the personal information of minors (individuals under 16 years of age) without affirmative authorization.
Should you wish to exercise any of the above rights, please use this link to submit a request, or if you are unable to complete the form, please call (866) 352-4564. To protect your privacy, you will be required to provide information to help verify your identity. Only you, or someone legally authorized to act on your behalf, may make a verifiable consumer request related to your personal information. We will make good faith efforts to provide you with access to your information when you request it, but we cannot grant your request if we cannot verify your identity or authority to make the request and confirm that the personal information relates to you. Further, there may be other circumstances in which we may not grant access. In all cases, we will provide you with an explanation of our determination and a point of contact for further enquiries.
Additionally, under California Civil law, Californians are entitled to request information relating to whether a business has disclosed personal data to any third parties for the third parties’ direct marketing purposes. Californians who wish to request further information about our compliance with this statute or who have questions, more generally, about our Privacy Policy and our privacy commitments and our website should contact us at privacy@ppmamerica.com or at PPM America, 225 West Wacker Dr., Suite 1200, Chicago, Illinois 60606.
USE OF COOKIES
A cookie is a piece of data stored within the web browser on your computer by the websites you visit. Cookies are widely used to improve browsing experience and help websites function more efficiently. The cookies we use enable certain functionality of the website and facilitate website usage analysis. This will enable us to continually improve the website and our systems. The cookies do not hold any personal information about you. We do not associate any data gathered from cookies with any of your personal information. From our website, PPM may place cookies on your computer. There are two types of cookies that we use:
· Session cookies - these cookies are temporarily created when you visit our website. When you leave the website all session cookies are deleted.
· Persistent cookies - these cookies remain on your computer for the period of time specified in the cookie. They are activated each time you visit our website which created that particular cookie.
Many Internet browsers allow you to adjust your cookie preferences or delete existing cookies. If you set your browser to reject cookies, you should be aware that certain website features may not be available to you or may not function correctly. Certain Internet browsers may provide you the choice to set "Do Not Track" preferences, to limit the collection of information about your online activities over time and across third-party websites or online services. PPM’s systems do not respond to Internet browser "do not track" signals or similar mechanisms.
LINKS TO THIRD-PARTY SITES
The PPM website may contain links to other websites. We are not responsible for the privacy practices of any such other website (whether accessed through an advertisement, service or content link) and urge you to review such practices prior to submitting any information to such websites.
SAFEGUARDING INFORMATION
We recognize that information security is a crucial topic. To protect information, we've utilized an information security program to protect the integrity of our systems and applications. We implemented precautions throughout our organization, as well as our affiliates, including, where appropriate, the
following: password protection, multi-factor authentication, encryption, TLS, firewalls, and internal restrictions on who may access data to protect the information we collect from loss, misuse, and unauthorized access, disclosure, alteration, and destruction.
We restrict 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 physical, electronic and procedural safeguards to guard sensitive information. We adhere to these standards even after a business relationship ends.
CHANGES TO POLICY
This policy provides a general statement of the ways in which PPM protects your personal information. You may, however, in connection with specific products or services offered by PPM, be provided with privacy policies or statements that supplement this policy. PPM reserves the right to change its privacy policy or any supporting or related policies or procedures at any time. If there are any changes to the terms of this privacy policy, documents containing the revised policy will be updated, including our website at PPM Privacy Policy or http://ppmamerica.com/privacy-policy, and will be effective immediately. Contact us at privacy@ppmamerica.com should you have any questions about this privacy policy.
This policy was last updated on February 20, 2020.
Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant had adopted a code of ethics, as defined in Item 2 of FormN-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no substantive amendments or any waivers to this code of ethics during the period covered by this report. A copy of this code of ethics is filed as Exhibit 13(a)(1) to this FormN-CSR.
Item 3. Audit Committee Financial Expert.
The registrant has named Kevin Callahan as an Audit Committee financial expert serving on its Audit Committee. Kevin Callahan is not an “interested person” of the Trust, as that term is defined by Section 2(a)(19) of the Investment Company Act of 1940, as amended, and is considered “independent” for purposes of this Item.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or Board of Trustees.
Item 4. Principal Accountant Fees and Services.
(a)-(d)
The administrator of the registrant is responsible for payment of all expenses associated with the annual audit and other required services of the independent registered accounting firm, and all expenses associated with the preparation and filing of the tax returns.
KPMG LLP (“KPMG”) was appointed by the Board of Managers as the independent registered public accounting firm of the registrant for the fiscal years ended December 31, 2018 and December 31, 2019. The following table sets forth aggregate fees billed by KPMG for the respective period for professional services rendered to the registrant.
Fees for Services Rendered to the Registrant by KPMG
Fiscal Year | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | ||||
2018 | $148,352 | $20,000 | $0 | $0 | ||||
2019 | $144,828 | $0 | $0 | $0 |
The above Audit-Related Fees for 2018 are the aggregate fees billed for professional services rendered by KPMG to the registrant for the services provided in connection with the registrant’s registration statement filings.
Fees for Services Rendered to Adviser Entities by KPMG
The following table sets forth the amount of fees that were billed by KPMG for the respective period to any entity controlling, controlled by, or under common control with the investment adviser that provided ongoing services to the registrant (“Adviser Entities”) that were directly related to the registrant’s operations and financial reporting.
Fiscal Year | Audit-Related Fees | Tax Fees | All Other Fees | |||
2018 | $20,415 | $0 | $0 | |||
2019 | $0 | $0 | $0 |
The above Audit-Related Fees for 2018 are the aggregate fees billed to Adviser Entities for an audit of anon-registered affiliated investment company.
(e)(1) The Audit Committee is authorized topre-approvenon-audit services provided by the registrant’s auditors, if they find it appropriate in light of their fiduciary duties and in the exercise of their good faith business judgment and compatible with the auditors’ independence. The Chairman of the Audit Committee is authorized to approve audit andnon-audit services for newly established Funds of the registrant on the same terms as the full Audit Committee previously had approved for the then existing Funds.
(e)(2) 0%
(f) Not applicable.
(g) The aggregate fees billed for allnon-audit fees to the registrant and Adviser Entities for the fiscal year ended December 31, 2018 was $40,415. The aggregate fees billed for allnon-audit fees to the registrant and Adviser Entities for the fiscal year ended December 31, 2019 was $0.
(h) For the fiscal years ended December 31, 2018 and December 31, 2019, the Audit Committee of the registrant’s Board of Managers considered the provision ofnon-audit services that were rendered to the Adviser Entities that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X and concluded that such services were compatible with maintaining KPMG’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) Included as a part of the report to shareholders filed under Item 1.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes have been made.
Item 11. Controls and Procedures.
(a) The registrant maintains disclosure controls and procedures that are designed to ensure that information required to be disclosed in the registrant’s filings under the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, is recorded, processed, summarized, and reported within the periods specified in the rules and forms of the U.S. Securities and Exchange Commission. Such information is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosure. The registrant’s management, including the principal executive officer and the principal financial officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives.
Within ninety (90) days prior to the filing date of this report on FormN-CSR, the registrant had carried out an evaluation, under the supervision and with the participation of the registrant’s management, including the registrant’s principal executive officer and the registrant’s principal financial officer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures. Based on such evaluation, the registrant’s principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures are effective.
(b) There have been no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule30a-3(d) under the Investment Company Act of 1940)during 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) Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (as defined in Item 2(b) of FormN-CSR) is attached hereto. |
(2) The certifications required by Rule30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
(3) Not applicable.
(b) | The certification required by Rule30a-2(b) under the Investment Company Act of 1940, as amended, is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
PPM Funds | ||
By: | /s/ Mark D. Nerud | |
Mark D. Nerud | ||
Principal Executive Officer | ||
Date: | March 3, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Mark D. Nerud | |
Mark D. Nerud | ||
Principal Executive Officer | ||
Date: | March 3, 2020 | |
By: | /s/ Daniel W. Koors | |
Daniel W. Koors | ||
Principal Financial Officer | ||
Date: | March 3, 2020 |
EXHIBIT LIST
Exhibit 13(a)(1) | Registrant’s Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. | |
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. |