UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23308
PPM FUNDS
(Exact Name of registrant as specified in charter)
225 West Wacker Drive, Suite 1200, Chicago, Illinois 60606
(Address of principal executive offices)
225 West Wacker Drive, Suite 1200, Chicago, Illinois 60606
(Mailing address)
Daniel W. Koors
PPM Funds
225 West Wacker Drive, Suite 1200
Chicago, Illinois 60606
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 634-2500
Date of Fiscal Year End: December 31
Date of Reporting Period: January 1, 2020 – June 30, 2020
Form N-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 Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-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 (Unaudited)
June 30, 2020
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 Supplements to Prospectus
Privacy Policy
PPMFunds Schedules of Investments (Unaudited) June 30, 2020 |
PPM Core Plus Fixed Income Fund
Composition as of June 30, 2020: | ||
Corporate Bonds and Notes | 48.4 | % |
Government and Agency Obligations | 36.1 | |
Non-US Government Agency ABS | 7.1 | |
Senior Floating Rate Instruments | 1.6 | |
Short Term Investments | 6.8 | |
Total Investments | 100.0 | % |
PPM Floating Rate Income Fund
Composition as of June 30, 2020: | ||
Senior Floating Rate Instruments | 90.1 | % |
Corporate Bonds and Notes | 2.9 | |
Investment Companies | 2.5 | |
Warrants | - | |
Common Stocks | - | |
Short Term Investments | 4.5 | |
Total Investments | 100.0 | % |
PPM High Yield Core Fund
Composition as of June 30, 2020: | ||
Corporate Bonds and Notes | 90.1 | % |
Senior Floating Rate Instruments | 3.5 | |
Investment Companies | 1.7 | |
Non-US Government Agency ABS | 0.1 | |
Common Stocks | 0.1 | |
Warrants | 0.0 | |
Short Term Investments | 4.5 | |
Total Investments | 100.0 | % |
PPM Long Short Credit Fund
Composition as of June 30, 2020: | ||
Corporate Bonds and Notes | 70.1 | % |
Senior Floating Rate Instruments | 14.8 | |
Non-US Government Agency ABS | 8.1 | |
Investment Companies | 2.1 | |
Government and Agency Obligations | 0.7 | |
Warrants | 0.0 | |
Common Stocks | 0.0 | |
Short Term Investments | 4.2 | |
Net Long (Short) Investments | 100.0 | % |
PPM Large Cap Value Fund
Composition as of June 30, 2020: | ||
Financials Health Care Information Technology Consumer Discretionary Consumer Staples Utilities Communication Services Industrials Energy Materials Real Estate Other Short Term Investments | 19.1 16.8 15.5 9.0 8.7 7.4 6.8 6.3 5.6 3.4 1.0 0.5 | % |
Total Investments | 100.0 | % |
PPM Mid Cap Value Fund
Composition as of June 30, 2020: | ||
Financials Consumer Discretionary Information Technology Industrials Utilities Materials Health Care Consumer Staples Real Estate Energy Communication Services Other Short Term Investments | 19.2 12.9 12.7 11.6 9.0 7.3 7.2 6.8 6.4 3.1 3.0 0.7 | % |
Total Investments | 100.0 | % |
PPM Small Cap Value Fund
Composition as of June 30, 2020: | ||
Financials Industrials Information Technology Consumer Discretionary Health Care Real Estate Materials Consumer Staples Utilities Energy Communication Services Other Short Term Investments | 28.3 16.8 15.0 9.9 7.5 6.9 5.1 4.5 2.3 1.6 1.6 0.5 | % |
Total Investments | 100.0 | % |
See accompanying Notes to Financial Statements.
2
PPMFunds
June 30, 2020 (Unaudited)
Important Disclosures and Glossary
Before investing, investors should carefully read the prospectus and/or summary prospectus and consider the investment objectives, risk, charges and expenses. For this and more complete information about the Funds, investors may obtain a prospectus or summary prospectus by calling 1-844-446-4PPM (1-844-446-4776), 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.
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 semi-annual report, as well as the prospectus, for more information on risks.
3
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
PPM Core Plus Fixed Income Fund | |||||||
CORPORATE BONDS AND NOTES 51.1% | |||||||
Financials 16.2% | |||||||
AerCap Ireland Capital Designated Activity Company | |||||||
4.50%, 09/15/23 | 150,000 | 150,128 | |||||
6.50%, 07/15/25 | 50,000 | 52,326 | |||||
AIA Group Limited | |||||||
3.60%, 04/09/29 (a) | 200,000 | 220,318 | |||||
Avolon Holdings Funding Limited | |||||||
5.25%, 05/15/24 (a) | 158,000 | 143,901 | |||||
Bank of America Corporation | |||||||
6.25%, (callable at 100 beginning 09/05/24) (b) | 75,000 | 77,678 | |||||
6.30%, (callable at 100 beginning 03/10/26) (b) | 45,000 | 50,037 | |||||
4.00%, 01/22/25 | 86,000 | 94,745 | |||||
4.25%, 10/22/26 | 215,000 | 246,320 | |||||
3.56%, 04/23/27 | 115,000 | 128,436 | |||||
3.25%, 10/21/27 | 27,000 | 29,837 | |||||
3.59%, 07/21/28 | 150,000 | 168,574 | |||||
4.27%, 07/23/29 | 322,000 | 379,057 | |||||
2.68%, 06/19/41 | 109,000 | 111,466 | |||||
Barclays PLC | |||||||
1.70%, 05/12/22 (c) | 267,000 | 271,792 | |||||
Capital One Financial Corporation | |||||||
3.75%, 03/09/27 | 75,000 | 82,712 | |||||
Citigroup Inc. | |||||||
5.00%, (callable at 100 beginning 09/12/24) (b) | 108,000 | 101,376 | |||||
4.45%, 09/29/27 | 76,000 | 86,657 | |||||
3.89%, 01/10/28 (d) | 68,000 | 76,511 | |||||
3.52%, 10/27/28 | 131,000 | 145,150 | |||||
Credit Suisse Group AG | |||||||
7.50%, (callable at 100 beginning 12/11/23) (a) (b) | 200,000 | 215,500 | |||||
6.50%, 08/08/23 (a) | 250,000 | 272,806 | |||||
4.21%, 06/12/24 (a) | 125,000 | 134,362 | |||||
Diamond Finance International Limited | |||||||
8.35%, 07/15/46 (a) | 100,000 | 130,336 | |||||
General Motors Financial Company, Inc. | |||||||
5.20%, 03/20/23 | 81,000 | 86,560 | |||||
Glencore Funding LLC | |||||||
4.88%, 03/12/29 (a) | 115,000 | 128,854 | |||||
HSBC Holdings PLC | |||||||
6.88%, (callable at 100 beginning 06/01/21) (b) (c) | 200,000 | 202,000 | |||||
Icahn Enterprises L.P. | |||||||
4.75%, 09/15/24 | 50,000 | 47,267 | |||||
6.25%, 05/15/26 | 69,000 | 68,988 | |||||
Intercontinental Exchange, Inc. | |||||||
2.10%, 06/15/30 | 127,000 | 129,474 | |||||
3.00%, 06/15/50 | 99,000 | 102,117 | |||||
JPMorgan Chase & Co. | |||||||
4.49%, (callable at 100 beginning 11/01/20) (b) | 60,000 | 56,421 | |||||
4.60%, (callable at 100 beginning 02/01/25) (b) | 163,000 | 145,273 | |||||
5.00%, (callable at 100 beginning 08/01/24) (b) | 80,000 | 77,140 | |||||
3.22%, 03/01/25 | 114,000 | 122,554 | |||||
2.01%, 03/13/26 | 132,000 | 136,679 | |||||
3.96%, 01/29/27 | 44,000 | 50,063 | |||||
3.78%, 02/01/28 (d) | 55,000 | 62,232 | |||||
3.51%, 01/23/29 | 68,000 | 76,951 | |||||
4.20%, 07/23/29 | 28,000 | 32,816 | |||||
2.74%, 10/15/30 | 110,000 | 117,929 | |||||
2.96%, 05/13/31 | 107,000 | 113,394 | |||||
Lloyds Banking Group PLC | |||||||
7.50%, (callable at 100 beginning 09/27/25) (b) | 109,000 | 113,905 | |||||
3.87%, 07/09/25 (c) | 200,000 | 217,482 | |||||
Markel Corporation | |||||||
6.00%, (callable at 100 beginning 06/01/25) (b) | 108,000 | 109,795 | |||||
5.00%, 05/20/49 | 39,000 | 48,375 | |||||
Metropolitan Life Global Funding I | |||||||
3.60%, 01/11/24 (a) | 210,000 | 229,969 | |||||
Morgan Stanley | |||||||
5.55%, (callable at 100 beginning 07/15/20) (b) | 82,000 | 75,180 | |||||
4.88%, 11/01/22 | 100,000 | 108,524 | |||||
3.62%, 04/01/31 | 206,000 | 235,741 | |||||
NatWest Markets PLC | |||||||
2.38%, 05/21/23 (a) | 200,000 | 204,484 | |||||
Nordic Aviation Capital DAC | |||||||
5.58%, 03/14/24 (e) (f) | 135,000 | 101,925 | |||||
Rassman, Joel H. | |||||||
3.80%, 11/01/29 | 140,000 | 140,757 | |||||
Santander Holdings USA, Inc. | |||||||
3.45%, 06/02/25 | 135,000 | 140,697 | |||||
State Street Corporation | |||||||
2.90%, 03/30/26 (a) | 87,000 | 94,342 | |||||
The Goldman Sachs Group, Inc. | |||||||
3.50%, 04/01/25 | 82,000 | 89,925 | |||||
4.25%, 10/21/25 | 90,000 | 101,362 | |||||
3.80%, 03/15/30 | 241,000 | 274,876 | |||||
6.75%, 10/01/37 | 70,000 | 101,359 | |||||
The Guardian Life Insurance Company of America | |||||||
3.70%, 01/22/70 (a) | 57,000 | 58,699 | |||||
The PNC Financial Services Group, Inc. | |||||||
3.45%, 04/23/29 | 115,000 | 131,797 | |||||
The Royal Bank of Scotland Group Public Limited Company | |||||||
3.07%, 05/22/28 (c) | 200,000 | 209,968 | |||||
The Travelers Companies, Inc. | |||||||
2.55%, 04/27/50 | 26,000 | 25,564 | |||||
Truist Financial Corporation | |||||||
4.95%, (callable at 100 beginning 09/01/25) (b) | 102,000 | 104,550 | |||||
U.S. Bancorp | |||||||
3.00%, 07/30/29 | 31,000 | 33,757 | |||||
UBS AG | |||||||
1.75%, 04/21/22 (a) | 200,000 | 203,729 | |||||
Wells Fargo & Company | |||||||
2.41%, 10/30/25 | 253,000 | 263,334 | |||||
3.20%, 06/17/27 | 203,000 | 220,027 | |||||
3.58%, 05/22/28 (d) | 24,000 | 26,647 | |||||
2.88%, 10/30/30 | 125,000 | 133,530 | |||||
8,927,037 | |||||||
Energy 7.0% | |||||||
Aker BP ASA | |||||||
3.75%, 01/15/30 (a) | 255,000 | 241,801 | |||||
Baker Hughes Holdings LLC | |||||||
4.49%, 05/01/30 | 106,000 | 121,848 | |||||
Canadian Natural Resources Limited | |||||||
2.05%, 07/15/25 | 109,000 | 109,194 | |||||
Cheniere Corpus Christi Holdings, LLC | |||||||
5.88%, 03/31/25 | 54,000 | 60,609 | |||||
Cheniere Energy Partners, L.P. | |||||||
4.50%, 10/01/29 | 125,000 | 121,875 | |||||
Chevron Corporation | |||||||
2.00%, 05/11/27 | 133,000 | 139,055 | |||||
Denbury Resources Inc. | |||||||
9.00%, 05/15/21 (a) | 25,000 | 9,688 | |||||
Diamondback Energy, Inc. | |||||||
4.75%, 05/31/25 | 46,000 | 49,186 | |||||
Endeavor Energy Resources, L.P. | |||||||
5.50%, 01/30/26 (a) | 14,000 | 13,433 | |||||
5.75%, 01/30/28 (a) | 14,000 | 13,487 | |||||
Energy Transfer LP | |||||||
6.75%, (callable at 100 beginning 05/15/25) (b) | 102,000 | 86,630 | |||||
7.13%, (callable at 100 beginning 05/15/30) (b) | 119,000 | 102,101 | |||||
4.25%, 03/15/23 | 173,000 | 182,564 | |||||
5.25%, 04/15/29 | 42,000 | 45,843 | |||||
3.75%, 05/15/30 | 67,000 | 66,334 | |||||
5.80%, 06/15/38 | 70,000 | 71,271 | |||||
6.13%, 12/15/45 | 20,000 | 20,895 | |||||
Energy Transfer Operating, L.P. | |||||||
6.25%, 04/15/49 | 40,000 | 42,623 | |||||
Enlink Midstream, LLC | |||||||
4.15%, 06/01/25 | 71,000 | 54,548 | |||||
Enterprise Products Operating LLC | |||||||
3.13%, 07/31/29 | 160,000 | 171,392 | |||||
4.20%, 01/31/50 | 84,000 | 93,702 | |||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 113,000 | 103,395 | |||||
Everest Acquisition, LLC | |||||||
0.00%, 05/15/26 (a) (g) (h) | 35,000 | 8,115 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
4
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Exxon Mobil Corporation | |||||||
3.48%, 03/19/30 | 195,000 | 222,281 | |||||
2.61%, 10/15/30 (c) | 40,000 | 42,669 | |||||
Marathon Petroleum Corporation | |||||||
4.50%, 05/01/23 | 133,000 | 143,424 | |||||
MEG Energy Corp. | |||||||
7.13%, 02/01/27 (a) | 22,000 | 18,276 | |||||
MPLX LP | |||||||
4.00%, 03/15/28 | 120,000 | 126,431 | |||||
5.20%, 12/01/47 | 45,000 | 46,488 | |||||
National Oilwell Varco, Inc. | |||||||
3.60%, 12/01/29 | 125,000 | 121,730 | |||||
Occidental Petroleum Corporation | |||||||
3.50%, 08/15/29 (i) | 140,000 | 102,424 | |||||
4.30%, 08/15/39 | 20,000 | 13,794 | |||||
4.40%, 08/15/49 (i) | 22,000 | 15,072 | |||||
Phillips 66 | |||||||
3.70%, 04/06/23 | 128,000 | 137,114 | |||||
3.85%, 04/09/25 | 128,000 | 142,111 | |||||
Sabine Pass Liquefaction, LLC | |||||||
4.20%, 03/15/28 | 250,000 | 268,173 | |||||
4.50%, 05/15/30 (a) (c) | 80,000 | 88,398 | |||||
Targa Resource Corporation | |||||||
5.50%, 03/01/30 (a) | 140,000 | 134,751 | |||||
Transocean Pontus Limited | |||||||
6.13%, 08/01/25 (a) | 16,700 | 15,319 | |||||
Transocean Poseidon Limited | |||||||
6.88%, 02/01/27 (a) | 49,000 | 43,261 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (a) | 113,750 | 104,540 | |||||
WPX Energy, Inc. | |||||||
5.88%, 06/15/28 | 60,000 | 57,459 | |||||
4.50%, 01/15/30 | 53,000 | 46,803 | |||||
3,820,107 | |||||||
Health Care 5.3% | |||||||
AbbVie Inc. | |||||||
2.95%, 11/21/26 (a) | 170,000 | 184,674 | |||||
4.05%, 11/21/39 (a) | 45,000 | 52,540 | |||||
Amgen Inc. | |||||||
2.20%, 02/21/27 | 133,000 | 139,774 | |||||
2.45%, 02/21/30 | 48,000 | 50,703 | |||||
2.30%, 02/25/31 | 54,000 | 56,069 | |||||
3.15%, 02/21/40 | 164,000 | 175,200 | |||||
Ascension Health | |||||||
2.53%, 11/15/29 | 28,000 | 30,029 | |||||
Bausch Health Companies Inc. | |||||||
5.50%, 11/01/25 (a) | 22,000 | 22,540 | |||||
8.50%, 01/31/27 (a) | 21,000 | 22,379 | |||||
5.75%, 08/15/27 (a) | 60,000 | 63,565 | |||||
Baxter International Inc. | |||||||
3.75%, 10/01/25 (a) | 50,000 | 56,998 | |||||
3.95%, 04/01/30 (a) | 15,000 | 17,783 | |||||
Bristol-Myers Squibb Company | |||||||
3.40%, 07/26/29 (a) | 205,000 | 236,613 | |||||
4.13%, 06/15/39 (a) | 100,000 | 127,098 | |||||
Centene Corporation | |||||||
5.25%, 04/01/25 (a) | 100,000 | 102,970 | |||||
5.38%, 08/15/26 (a) | 59,000 | 61,372 | |||||
4.25%, 12/15/27 | 106,000 | 109,382 | |||||
4.63%, 12/15/29 | 120,000 | 126,600 | |||||
3.38%, 02/15/30 | 72,000 | 72,699 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (a) | 50,000 | 52,036 | |||||
Cigna Holding Company | |||||||
3.40%, 03/01/27 (a) | 114,000 | 125,743 | |||||
2.40%, 03/15/30 | 59,000 | 61,257 | |||||
3.20%, 03/15/40 | 47,000 | 49,788 | |||||
CVS Health Corporation | |||||||
3.25%, 08/15/29 | 93,000 | 102,697 | |||||
4.78%, 03/25/38 | 100,000 | 123,897 | |||||
5.05%, 03/25/48 | 100,000 | 130,466 | |||||
Jaguar Holding Company II | |||||||
4.63%, 06/15/25 (a) | 17,000 | 17,285 | |||||
5.00%, 06/15/28 (a) | 17,000 | 17,403 | |||||
Molina Healthcare, Inc. | |||||||
4.38%, 06/15/28 (a) | 17,000 | 17,047 | |||||
Mylan Inc | |||||||
5.20%, 04/15/48 | 23,000 | 28,293 | |||||
Mylan N.V. | |||||||
3.95%, 06/15/26 | 10,000 | 11,176 | |||||
Perrigo Finance Unlimited Company | |||||||
4.38%, 03/15/26 | 31,000 | 33,768 | |||||
Providence St. Joseph Health | |||||||
2.53%, 10/01/29 | 67,000 | 69,746 | |||||
Tenet Healthcare Corporation | |||||||
4.88%, 01/01/26 (a) | 140,000 | 137,178 | |||||
Upjohn Inc. | |||||||
2.30%, 06/22/27 (a) | 29,000 | 29,935 | |||||
3.85%, 06/22/40 (a) | 119,000 | 127,639 | |||||
4.00%, 06/22/50 (a) | 86,000 | 91,966 | |||||
2,936,308 | |||||||
Communication Services 4.7% | |||||||
AT&T Inc. | |||||||
1.50%, (3M USD LIBOR + 1.18%), 06/12/24 (d) | 375,000 | 375,742 | |||||
2.30%, 06/01/27 | 135,000 | 140,017 | |||||
5.25%, 03/01/37 | 61,000 | 75,716 | |||||
4.90%, 08/15/37 | 16,000 | 19,147 | |||||
3.50%, 06/01/41 | 110,000 | 115,951 | |||||
Booking Holdings Inc. | |||||||
4.10%, 04/13/25 | 124,000 | 139,243 | |||||
4.63%, 04/13/30 | 130,000 | 153,129 | |||||
CCO Holdings, LLC | |||||||
4.75%, 03/01/30 (a) | 91,000 | 93,216 | |||||
Charter Communications Operating, LLC | |||||||
4.91%, 07/23/25 | 140,000 | 160,346 | |||||
5.38%, 04/01/38 | 45,000 | 54,775 | |||||
6.83%, 10/23/55 | 51,000 | 68,458 | |||||
Comcast Corporation | |||||||
4.60%, 10/15/38 | 51,000 | 64,930 | |||||
3.75%, 04/01/40 | 35,000 | 41,108 | |||||
3.40%, 07/15/46 | 50,000 | 55,475 | |||||
4.70%, 10/15/48 | 65,000 | 86,661 | |||||
Hughes Satellite Systems Corporation | |||||||
5.25%, 08/01/26 | 71,000 | 73,428 | |||||
Live Nation Entertainment, Inc. | |||||||
6.50%, 05/15/27 (a) | 60,000 | 61,811 | |||||
Sirius XM Radio Inc. | |||||||
5.50%, 07/01/29 (a) | 47,000 | 49,680 | |||||
Sprint Spectrum Co LLC | |||||||
3.36%, 09/20/21 (a) | 62,500 | 63,300 | |||||
TEGNA Inc. | |||||||
5.00%, 09/15/29 (a) | 70,000 | 65,552 | |||||
The Walt Disney Company | |||||||
2.65%, 01/13/31 | 131,000 | 139,130 | |||||
T-Mobile USA, Inc. | |||||||
3.50%, 04/15/25 (a) | 65,000 | 70,893 | |||||
1.50%, 02/15/26 (a) | 132,000 | 131,992 | |||||
Verizon Communications Inc. | |||||||
3.00%, 03/22/27 | 33,000 | 36,564 | |||||
3.15%, 03/22/30 | 87,600 | 98,759 | |||||
Vodafone Group Public Limited Company | |||||||
5.00%, 05/30/38 | 120,000 | 150,391 | |||||
2,585,414 | |||||||
Consumer Staples 4.1% | |||||||
Altria Group, Inc. | |||||||
2.35%, 05/06/25 | 85,000 | 89,404 | |||||
3.40%, 05/06/30 | 54,000 | 58,125 | |||||
Anheuser-Busch Companies, LLC | |||||||
3.65%, 02/01/26 | 74,000 | 82,993 | |||||
4.90%, 02/01/46 | 146,000 | 177,092 | |||||
Archer-Daniels-Midland Company | |||||||
2.75%, 03/27/25 | 18,000 | 19,542 | |||||
3.25%, 03/27/30 | 70,000 | 79,287 | |||||
BAT Capital Corp. | |||||||
4.91%, 04/02/30 | 151,000 | 177,079 | |||||
4.39%, 08/15/37 | 74,000 | 80,677 | |||||
Cargill, Incorporated | |||||||
2.13%, 04/23/30 (a) | 35,000 | 36,679 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
5
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Energizer Holdings, Inc. | |||||||
6.38%, 07/15/26 (a) | 48,000 | 49,646 | |||||
JBS Investments II GmbH | |||||||
7.00%, 01/15/26 (a) | 200,000 | 209,986 | |||||
JBS USA Food Company | |||||||
5.88%, 07/15/24 (a) | 16,000 | 16,215 | |||||
6.50%, 04/15/29 (a) | 84,000 | 89,092 | |||||
Kraft Heinz Foods Company | |||||||
4.25%, 03/01/31 (a) | 68,000 | 71,960 | |||||
4.63%, 10/01/39 (a) | 20,000 | 20,043 | |||||
Mars, Incorporated | |||||||
3.95%, 04/01/49 (a) | 143,000 | 178,344 | |||||
PepsiCo, Inc. | |||||||
3.63%, 03/19/50 | 110,000 | 133,344 | |||||
Reynolds American Inc. | |||||||
5.70%, 08/15/35 | 46,000 | 56,401 | |||||
7.00%, 08/04/41 | 45,000 | 55,495 | |||||
Safeway Inc. | |||||||
3.50%, 02/15/23 (a) | 83,000 | 84,045 | |||||
Sysco Corporation | |||||||
5.65%, 04/01/25 (j) | 47,000 | 55,021 | |||||
5.95%, 04/01/30 (j) | 33,000 | 41,443 | |||||
The Procter & Gamble Company | |||||||
3.60%, 03/25/50 | 32,000 | 40,113 | |||||
Walmart Inc. | |||||||
2.85%, 07/08/24 | 174,000 | 188,538 | |||||
3.25%, 07/08/29 | 100,000 | 116,244 | |||||
2.95%, 09/24/49 | 50,000 | 56,427 | |||||
2,263,235 | |||||||
Consumer Discretionary 4.0% | |||||||
Adient US LLC | |||||||
9.00%, 04/15/25 (a) | 38,000 | 40,950 | |||||
Amazon.com, Inc. | |||||||
2.50%, 06/03/50 | 50,000 | 50,687 | |||||
Carnival Corporation | |||||||
11.50%, 04/01/23 (a) | 120,000 | 129,848 | |||||
Cedar Fair, L.P. | |||||||
5.50%, 05/01/25 (a) | 83,000 | 83,359 | |||||
Delta Air Lines, Inc. | |||||||
7.00%, 05/01/25 (a) | 134,000 | 138,355 | |||||
Fiat Chrysler Automobiles N.V. | |||||||
5.25%, 04/15/23 | 103,000 | 106,453 | |||||
Ford Motor Company | |||||||
8.50%, 04/21/23 | 33,000 | 34,891 | |||||
9.00%, 04/22/25 | 67,000 | 72,446 | |||||
9.63%, 04/22/30 (i) | 33,000 | 39,117 | |||||
General Motors Company | |||||||
6.13%, 10/01/25 | 51,000 | 57,302 | |||||
6.80%, 10/01/27 | 39,000 | 45,347 | |||||
GLP Financing, LLC | |||||||
5.75%, 06/01/28 | 15,000 | 16,544 | |||||
5.30%, 01/15/29 | 100,000 | 108,241 | |||||
Hanesbrands Inc. | |||||||
5.38%, 05/15/25 (a) | 67,000 | 67,797 | |||||
Hilton Domestic Operating Company Inc. | |||||||
5.38%, 05/01/25 (a) | 33,000 | 33,000 | |||||
5.75%, 05/01/28 (a) | 33,000 | 33,444 | |||||
Hyatt Hotels Corporation | |||||||
5.38%, 04/23/25 (j) | 45,000 | 47,612 | |||||
M.D.C. Holdings, Inc. | |||||||
6.00%, 01/15/43 | 11,000 | 11,581 | |||||
Macy's, Inc. | |||||||
8.38%, 06/15/25 (a) | 56,000 | 55,761 | |||||
Marriott International, Inc. | |||||||
5.75%, 05/01/25 (j) | 115,000 | 125,174 | |||||
Mileage Plus Holdings LLC | |||||||
6.50%, 06/20/27 (a) | 35,026 | 35,062 | |||||
Newell Brands Inc. | |||||||
4.88%, 06/01/25 | 46,000 | 48,144 | |||||
NIKE, Inc. | |||||||
3.25%, 03/27/40 | 74,000 | 82,829 | |||||
Northwestern University | |||||||
2.64%, 12/01/50 | 38,000 | 39,603 | |||||
NVR, Inc. | |||||||
3.00%, 05/15/30 | 134,000 | 140,085 | |||||
Ross Stores, Inc. | |||||||
4.60%, 04/15/25 | 169,000 | 194,177 | |||||
4.80%, 04/15/30 | 62,000 | 74,240 | |||||
Royal Caribbean Cruises Ltd. | |||||||
11.50%, 06/01/25 (a) | 22,000 | 22,935 | |||||
Starbucks Corporation | |||||||
2.25%, 03/12/30 | 145,000 | 150,709 | |||||
The Home Depot, Inc. | |||||||
3.35%, 04/15/50 | 74,000 | 85,079 | |||||
2,170,772 | |||||||
Utilities 3.3% | |||||||
Ameren Illinois Company | |||||||
4.50%, 03/15/49 | 90,000 | 117,652 | |||||
Commonwealth Edison Company | |||||||
3.75%, 08/15/47 | 79,000 | 93,106 | |||||
Consolidated Edison Company of New York, Inc. | |||||||
3.95%, 04/01/50 | 57,000 | 68,593 | |||||
DPL Inc. | |||||||
4.13%, 07/01/25 (a) | 102,000 | 102,042 | |||||
Edison International | |||||||
4.95%, 04/15/25 | 21,000 | 23,118 | |||||
Exelon Corporation | |||||||
5.10%, 06/15/45 | 75,000 | 97,032 | |||||
Nevada Power Company | |||||||
3.70%, 05/01/29 | 140,000 | 162,888 | |||||
NextEra Energy Capital Holdings, Inc. | |||||||
2.75%, 05/01/25 | 102,000 | 110,437 | |||||
Oncor Electric Delivery Company LLC | |||||||
2.95%, 04/01/25 | 80,000 | 86,932 | |||||
Pacific Gas And Electric Company | |||||||
2.10%, 08/01/27 (i) | 46,000 | 45,431 | |||||
5.00%, 07/01/28 | 27,000 | 26,852 | |||||
2.50%, 02/01/31 | 180,000 | 175,983 | |||||
3.30%, 08/01/40 (i) | 86,000 | 83,790 | |||||
Southern California Edison Company | |||||||
4.13%, 03/01/48 | 46,000 | 53,705 | |||||
3.65%, 02/01/50 | 62,000 | 68,381 | |||||
The AES Corporation | |||||||
3.30%, 07/15/25 (a) | 133,000 | 136,571 | |||||
The Narragansett Electric Company | |||||||
3.40%, 04/09/30 (a) | 37,000 | 41,669 | |||||
Vistra Operations Company LLC | |||||||
3.55%, 07/15/24 (a) | 71,000 | 73,438 | |||||
3.70%, 01/30/27 (a) | 220,000 | 227,756 | |||||
1,795,376 | |||||||
Materials 2.5% | |||||||
Anglo American Capital PLC | |||||||
5.38%, 04/01/25 (a) | 200,000 | 226,046 | |||||
4.88%, 05/14/25 (a) | 121,000 | 134,609 | |||||
4.75%, 04/10/27 (a) | 180,000 | 200,299 | |||||
CEMEX S.A.B. de C.V. | |||||||
5.45%, 11/19/29 (a) | 130,000 | 120,232 | |||||
CF Industries, Inc. | |||||||
4.50%, 12/01/26 (a) | 314,000 | 345,708 | |||||
Ecolab Inc. | |||||||
4.80%, 03/24/30 | 38,000 | 48,150 | |||||
Freeport-McMoRan Inc. | |||||||
5.00%, 09/01/27 | 61,000 | 61,356 | |||||
5.40%, 11/14/34 | 35,000 | 35,307 | |||||
NOVA Chemicals Corporation | |||||||
4.88%, 06/01/24 (a) | 130,000 | 120,964 | |||||
Teck Resources Limited | |||||||
3.90%, 07/15/30 (a) | 105,000 | 104,636 | |||||
1,397,307 | |||||||
Industrials 2.2% | |||||||
Ashtead Capital, Inc. | |||||||
5.25%, 08/01/26 (a) (i) | 128,000 | 134,349 | |||||
General Dynamics Corporation | |||||||
4.25%, 04/01/40 | 100,000 | 124,433 | |||||
General Electric Company | |||||||
5.00%, (callable at 100 beginning 01/21/21) (b) | 419,000 | 328,957 | |||||
3.45%, 05/01/27 | 31,000 | 31,790 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
6
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
3.63%, 05/01/30 | 73,000 | 73,274 | |||||
Hillenbrand, Inc. | |||||||
4.50%, 09/15/26 (j) | 20,000 | 20,086 | |||||
Howmet Aerospace Inc. | |||||||
6.88%, 05/01/25 | 36,000 | 39,105 | |||||
IDEX Corporation | |||||||
3.00%, 05/01/30 | 67,000 | 69,241 | |||||
Lockheed Martin Corporation | |||||||
1.85%, 06/15/30 | 35,000 | 35,878 | |||||
2.80%, 06/15/50 | 32,000 | 33,736 | |||||
Moog Inc. | |||||||
4.25%, 12/15/27 (a) | 44,000 | 42,897 | |||||
Northrop Grumman Corporation | |||||||
4.40%, 05/01/30 | 46,000 | 55,690 | |||||
Park Aerospace Holdings Limited | |||||||
5.25%, 08/15/22 (a) | 190,000 | 178,008 | |||||
United Rentals (North America), Inc. | |||||||
3.88%, 11/15/27 | 55,000 | 54,827 | |||||
1,222,271 | |||||||
Information Technology 1.3% | |||||||
Broadcom Corporation | |||||||
3.88%, 01/15/27 | 57,000 | 61,652 | |||||
Broadcom Inc. | |||||||
4.25%, 04/15/26 (a) | 130,000 | 144,727 | |||||
Dell International L.L.C. | |||||||
5.85%, 07/15/25 (a) | 67,000 | 76,962 | |||||
4.90%, 10/01/26 (a) (j) | 50,000 | 55,062 | |||||
Equifax Inc. | |||||||
2.60%, 12/01/24 - 12/15/25 | 106,000 | 112,285 | |||||
Hewlett Packard Enterprise Company | |||||||
4.45%, 10/02/23 | 130,000 | 142,078 | |||||
Microsoft Corporation | |||||||
3.95%, 08/08/56 | 72,000 | 93,116 | |||||
2.68%, 06/01/60 | 15,000 | 15,647 | |||||
701,529 | |||||||
Real Estate 0.5% | |||||||
Boston Properties Limited Partnership | |||||||
2.90%, 03/15/30 | 130,000 | 135,869 | |||||
Simon Property Group, L.P. | |||||||
2.45%, 09/13/29 | 99,000 | 98,224 | |||||
VICI Properties Inc. | |||||||
4.25%, 12/01/26 (a) | 35,000 | 33,549 | |||||
4.63%, 12/01/29 (a) | 16,000 | 15,685 | |||||
283,327 | |||||||
Total Corporate Bonds And Notes (cost $26,620,795) | 28,102,683 | ||||||
GOVERNMENT AND AGENCY OBLIGATIONS 38.1% | |||||||
Mortgage-Backed Securities 27.0% | |||||||
Federal Home Loan Mortgage Corporation | |||||||
2.00%, 02/01/35 - 06/01/35 | 252,761 | 261,687 | |||||
3.50%, 01/01/46 - 08/01/49 | 2,064,547 | 2,184,991 | |||||
4.00%, 10/01/45 - 06/01/48 | 93,120 | 99,916 | |||||
4.50%, 11/01/48 | 42,741 | 45,913 | |||||
3.00%, 07/01/32 - 12/01/49 | 870,554 | 917,580 | |||||
2.50%, 05/01/50 | 234,116 | 244,007 | |||||
Federal National Mortgage Association, Inc. | |||||||
TBA, 2.50%, 07/15/33 (k) | 435,000 | 455,289 | |||||
2.50%, 01/01/33 - 05/01/50 | 919,298 | 960,635 | |||||
2.00%, 03/01/35 | 92,522 | 95,701 | |||||
3.00%, 09/01/32 - 03/01/50 | 2,474,143 | 2,610,808 | |||||
3.50%, 10/01/46 - 01/01/48 | 436,721 | 465,630 | |||||
4.00%, 01/01/47 - 09/01/49 | 1,615,472 | 1,722,272 | |||||
4.50%, 05/01/47 - 12/01/48 | 897,179 | 967,061 | |||||
3.50%, 12/01/47 (k) | 149,097 | 157,306 | |||||
TBA, 3.00%, 07/15/48 (k) | 454,000 | 477,959 | |||||
Government National Mortgage Association | |||||||
3.00%, 10/20/46 - 12/20/46 | 83,820 | 89,014 | |||||
TBA, 2.50%, 07/15/47 (k) | 105,000 | 110,474 | |||||
4.00%, 07/20/47 - 05/20/49 | 681,658 | 729,647 | |||||
TBA, 3.00%, 07/15/48 (k) | 605,000 | 640,642 | |||||
3.50%, 05/20/47 - 01/20/50 | 1,291,224 | 1,374,118 | |||||
4.50%, 12/20/48 - 02/20/49 | 239,939 | 256,835 | |||||
14,867,485 | |||||||
U.S. Treasury Note 6.1% | |||||||
Treasury, United States Department of | |||||||
1.88%, 04/30/22 | 150,000 | 154,664 | |||||
1.63%, 05/31/23 | 179,000 | 186,552 | |||||
1.50%, 10/31/24 - 08/15/26 | 1,083,000 | 1,147,952 | |||||
2.25%, 11/15/25 | 1,290,000 | 1,421,217 | |||||
2.88%, 08/15/28 | 375,000 | 443,906 | |||||
3,354,291 | |||||||
U.S. Treasury Bond 4.4% | |||||||
Treasury, United States Department of | |||||||
3.75%, 08/15/41 | 461,000 | 679,039 | |||||
3.13%, 11/15/41 | 292,000 | 395,204 | |||||
2.50%, 02/15/45 - 02/15/46 | 772,000 | 953,936 | |||||
3.00%, 02/15/48 | 277,000 | 378,927 | |||||
2,407,106 | |||||||
Sovereign 0.4% | |||||||
Abu Dhabi, Government of | |||||||
3.13%, 04/16/30 (a) | 200,000 | 220,139 | |||||
Municipal 0.2% | |||||||
Dormitory Authority State of New York | |||||||
3.19%, 02/15/43 | 100,000 | 108,822 | |||||
Total Government And Agency Obligations (cost $19,611,702) | 20,957,843 | ||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 7.5% | |||||||
Alaska Airlines Pass Through Trust | |||||||
Series 2020-A-1, 4.80%, 08/15/27 (k) | 94,000 | 95,175 | |||||
American Airlines, Inc. | |||||||
Series 2016-AA-2, 3.20%, 06/15/28 | 166,400 | 156,180 | |||||
American Tower Trust #1 | |||||||
Series 2013-A-2, 3.07%, 03/15/23 | 265,000 | 265,595 | |||||
AmeriCredit Automobile Receivables Trust | |||||||
Series 2018-A3-1, 3.07%, 01/19/21 | 236,843 | 239,148 | |||||
Ascentium Equipment Receivables Trust | |||||||
Series 2017-A3-2A, 2.31%, 12/10/21 | 74,651 | 75,002 | |||||
Capital One Prime Auto Receivables Trust | |||||||
Series 2019-A2-2, 2.06%, 06/15/21 | 454,904 | 457,161 | |||||
Series 2020-A2-1, 1.64%, 06/15/23 | 233,000 | 233,459 | |||||
CCG Receivables Trust | |||||||
Series 2018-A2-1, 2.50%, 02/14/21 | 23,328 | 23,415 | |||||
Series 2019-A2-2, 2.11%, 03/14/23 | 100,000 | 99,564 | |||||
CIG Auto Receivables Trust | |||||||
Series 2017-A-1A, 2.71%, 05/15/23 | 8,014 | 7,919 | |||||
Citigroup Commercial Mortgage Trust | |||||||
Series 2019-A4-C7, REMIC, 3.10%, 12/17/29 | 275,000 | 305,560 | |||||
COMM Mortgage Trust | |||||||
Series 2014-A4-UBS3, REMIC, 3.82%, 05/10/24 | 49,000 | 53,159 | |||||
CSMC Trust | |||||||
Series 2017-A3-HL2, 3.50%, 09/25/24 (d) | 53,106 | 53,954 | |||||
DLL LLC | |||||||
Series 2018-A3-ST2, 3.46%, 04/20/21 | 90,110 | 90,996 | |||||
Series 2019-A2-MT3, 2.13%, 01/20/22 | 175,000 | 176,068 | |||||
Foundation Finance Trust | |||||||
Series 2017-A-1A, 3.30%, 08/15/22 | 32,935 | 33,144 | |||||
GLS Auto Receivables Trust | |||||||
Series 2019-A-1A, 3.37%, 03/15/21 | 43,081 | 43,450 | |||||
Series 2018-A-3A, 3.35%, 08/15/22 | 11,997 | 12,047 | |||||
GreatAmerica Financial Services Corporation | |||||||
Series 2019-A2-1, 2.97%, 09/15/20 | 59,565 | 59,644 | |||||
Series 2018-A3-1, 2.60%, 06/15/21 | 37,634 | 37,684 | |||||
GS Mortgage Securities Corp Trust | |||||||
Series 2017-B-SLP, REMIC, 3.77%, 10/12/22 | 158,000 | 157,879 | |||||
HPEFS Equipment Trust | |||||||
Series 2019-A2-1A, 2.19%, 09/20/29 | 176,818 | 177,047 | |||||
Series 2019-A3-1A, 2.21%, 09/20/29 | 100,000 | 101,528 | |||||
Hudson Yards Mortgage Trust | |||||||
Series 2019-A-30HY, 3.23%, 07/12/29 | 150,000 | 167,797 | |||||
J.P. Morgan Mortgage Trust | |||||||
Series 2017-A6-6, REMIC, 3.00%, 03/25/25 (d) | 53,101 | 53,720 | |||||
John Deere Owner Trust | |||||||
Series 2019-A2-B, 2.28%, 04/15/21 | 319,435 | 321,416 | |||||
MVW Owner Trust | |||||||
Series 2013-A-1A, 2.15%, 04/22/30 | 45,441 | 45,441 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
7
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Prestige Auto Receivables Trust | |||||||
Series 2019-A2-1A, 2.44%, 12/15/20 | 105,912 | 106,074 | |||||
PSMC Trust | |||||||
Series 2018-A1-3, REMIC, 4.00%, 02/25/41 | 37,551 | 38,161 | |||||
Sequoia Mortgage Trust | |||||||
Series 2019-A4-1, REMIC, 4.00%, 02/25/26 | 10,693 | 10,650 | |||||
Toyota Auto Receivables Owner Trust | |||||||
Series 2018-A3-B, 2.96%, 07/15/21 | 211,353 | 214,499 | |||||
United Airlines, Inc. | |||||||
Series 2012-A-1, 4.15%, 04/11/24 | 49,160 | 45,719 | |||||
Series 2012-A-2, 4.00%, 10/29/24 | 43,843 | 39,504 | |||||
Verizon Owner Trust | |||||||
Series 2017-A-2A, 1.92%, 12/20/21 | 26,460 | 26,477 | |||||
Volvo Financial Equipment LLC | |||||||
Series 2019-A2-1A, 2.90%, 10/15/20 | 49,846 | 49,998 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
Series 2017-B-C38, 3.92%, 06/17/27 (d) | 57,000 | 57,830 | |||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $4,085,291) | 4,132,064 | ||||||
SENIOR FLOATING RATE INSTRUMENTS 1.6% | |||||||
Communication Services 0.5% | |||||||
CenturyLink, Inc. | |||||||
Reprice Term Loan, 2.43%, (1M LIBOR + 2.25%), 03/15/27 (d) | 99,500 | 93,586 | |||||
CSC Holdings, LLC | |||||||
2020 Term Loan B, 2.43%, (1M LIBOR + 2.25%), 07/15/25 (d) | 43,759 | 41,298 | |||||
Diamond Sports Group, LLC | |||||||
2020 Term Loan, 3.43%, (3M LIBOR + 3.25%), 08/24/26 (d) | 33,745 | 27,376 | |||||
Nexstar Broadcasting, Inc. | |||||||
2017 Term Loan B3, 2.92%, (1M LIBOR + 2.75%), 07/15/26 (d) | 75,458 | 71,618 | |||||
T-Mobile USA, Inc. | |||||||
2020 Term Loan, 3.18%, (1M LIBOR + 3.00%), 04/01/27 (d) | 67,500 | 67,354 | |||||
301,232 | |||||||
Consumer Discretionary 0.5% | |||||||
Caesars Resort Collection, LLC | |||||||
Term Loan, 0.00%, (3M LIBOR + 4.50%), 06/19/25 (d) (l) | 82,000 | 76,927 | |||||
Golden Nugget, Inc. | |||||||
2018 USD Term Loan, 3.25%, (1M LIBOR + 2.50%), 09/07/23 - 10/04/23 (d) | 88,474 | 69,895 | |||||
PCI Gaming Authority | |||||||
2017 Term Loan B, 2.68%, (1M LIBOR + 2.50%), 05/15/26 (d) | 119,036 | 113,084 | |||||
259,906 | |||||||
Consumer Staples 0.2% | |||||||
JBS USA Lux S.A. | |||||||
2018 Term Loan B, 3.07%, (3M LIBOR + 2.00%), 04/27/26 (d) | 94,593 | 90,139 | |||||
Utilities 0.1% | |||||||
Pacific Gas And Electric Company | |||||||
2017 Term Loan B, 2.44%, (1M LIBOR + 2.25%), 12/31/20 (d) | 70,000 | 69,650 | |||||
Vistra Operations Company LLC | |||||||
1st Lien Term Loan B3, 1.93%, (1M LIBOR + 1.75%), 12/11/25 (d) | 8,285 | 7,983 | |||||
1st Lien Term Loan B3, 1.94%, (1M LIBOR + 1.75%), 12/11/25 (d) | 1,990 | 1,917 | |||||
79,550 | |||||||
Financials 0.1% | |||||||
UFC Holdings, LLC | |||||||
2019 Term Loan, 4.25%, (6M LIBOR + 3.25%), 04/25/26 (d) | 58,333 | 55,611 | |||||
Industrials 0.1% | |||||||
Genesee & Wyoming Inc. | |||||||
2018 USD Term Loan B2, 2.31%, (3M LIBOR + 2.00%), 10/29/26 (d) | 50,872 | 48,865 | |||||
Materials 0.1% | |||||||
BWAY Holding Company | |||||||
Term Loan B, 4.56%, (3M LIBOR + 3.25%), 04/03/24 (d) | 48,622 | 43,537 | |||||
Energy 0.0% | |||||||
Traverse Midstream Partners LLC | |||||||
2017 Term Loan, 5.00%, (1M LIBOR + 4.00%), 09/22/24 (d) | 32,423 | 26,870 | |||||
Total Senior Floating Rate Instruments (cost $960,190) | 905,710 | ||||||
SHORT TERM INVESTMENTS 7.2% | |||||||
Investment Companies 6.4% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.12% (m) | 3,519,657 | 3,519,657 | |||||
Securities Lending Collateral 0.8% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio (m) | 435,275 | 435,275 | |||||
Total Short Term Investments (cost $3,954,932) | 3,954,932 | ||||||
Total Investments 105.5% (cost $55,232,910) | 58,053,232 | ||||||
Other Derivative Instruments (0.0)% | (3,484) | ||||||
Other Assets and Liabilities, Net (5.5)% | (3,030,897) | ||||||
Total Net Assets 100.0% | 55,018,851 |
(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. As of June 30, 2020, the value and the percentage of net assets of these liquid securities was $8,961,446 and 16.3% of the Fund.
(b) Perpetual security. Next contractual call date presented, if applicable.
(c) Convertible security.
(d) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of June 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are presented. Certain variable rate securities do not indicate a reference rate and spread because they are determined by the issuer, remarketing agent, or offering documents and are based on current market conditions. The coupon rate for securities with certain features outlined in the offering documents may vary from the stated reference rate and spread. This includes, but is not limited to, securities with deferred rates, contingent distributions, caps, floors, and fixed-rate to float-rate features. In addition, variable rates for government and agency collateralized mortgage obligations (“CMO”) and mortgage-backed securities (“MBS”) are determined by tranches of underlying mortgage-backed security pools’ cash flows into securities and pass-through rates which reflect the rate earned on the asset pool after management and guarantee fees are paid to the securitizing corporation. CMO and MBS variable rates are determined by a formula set forth in the security’s offering documents.
(e) 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 June 30, 2020, issuer was in bankruptcy and/or was in default relating to principal and/or interest. Partial or no payments were paid on the last interest or dividend date.
(i) All or a portion of the security was on loan as of June 30, 2020.
(j) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(k) All or a portion of the security was purchased on a delayed delivery basis. As of June 30, 2020, the total payable for investments purchased on a delayed delivery basis was $1,934,569.
(l) This senior floating rate interest will settle after June 30, 2020. If a reference rate and spread is presented, it will go into effect upon settlement.
(m) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2020.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
8
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
PPM Core Plus Fixed Income Fund — Restricted Securities | ||||||||||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | |||||||||||||
Nordic Aviation Capital DAC, 5.58%, 03/14/24 | 02/27/19 | 135,000 | 101,925 | 0.2 | ||||||||||||
PPM Core Plus Fixed Income Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Long Contracts | |||||||||||||||
United States 10 Year Note | 12 | September 2020 | 1,661,893 | (1,875) | 8,170 | ||||||||||
United States 2 Year Note | 15 | October 2020 | 3,311,606 | 234 | 816 | ||||||||||
United States 5 Year Note | 50 | October 2020 | 6,269,609 | (1,563) | 17,500 | ||||||||||
United States Long Bond | 10 | September 2020 | 1,772,337 | (4,687) | 13,288 | ||||||||||
United States Ultra Bond | 1 | September 2020 | 217,460 | (1,031) | 696 | ||||||||||
(8,922) | 40,470 | ||||||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Ultra Bond | (25) | September 2020 | (3,921,092) | 6,250 | (16,017) | ||||||||||
PPM Core Plus Fixed Income Fund — Centrally Cleared Credit Default Swap Agreements | ||||||||||||||||||
Reference Entity2 | Fixed Receive/ Pay Rate (%) | Expiration | Notional1 | Value ($) | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Credit default swap agreements - purchase protection | ||||||||||||||||||
CDX.NA.IG.34 (Q) | 1.00 | 06/20/25 | 500,000 | (5,903) | (812) | (15,850) | ||||||||||||
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
9
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
PPM Floating Rate Income Fund | |||||||
SENIOR FLOATING RATE INSTRUMENTS 91.0% | |||||||
Information Technology 13.8% | |||||||
Almonde, Inc. | |||||||
2019 Term Loan B, 4.50%, (3M LIBOR + 3.50%), 04/26/24 (a) | 21,757 | 18,968 | |||||
USD 1st Lien Term Loan, 4.50%, (6M LIBOR + 3.50%), 04/26/24 (a) | 116,995 | 101,999 | |||||
USD 1st Lien Term Loan, 4.50%, (3M LIBOR + 3.50%), 04/26/24 (a) | 23,909 | 20,844 | |||||
USD 2nd Lien Term Loan , 8.25%, (6M LIBOR + 7.25%), 04/27/25 (a) | 40,000 | 34,444 | |||||
AppLovin Corporation | |||||||
Term Loan B3, 3.68%, (1M LIBOR + 3.50%), 07/13/26 (a) | 297,837 | 288,404 | |||||
Avast Software B.V. | |||||||
Term Loan B, 3.25%, (3M LIBOR + 2.25%), 09/30/23 (a) | 25,059 | 24,572 | |||||
AVSC Holding Corp. | |||||||
Term Loan B, 4.25%, (6M LIBOR + 3.25%), 02/23/25 (a) | 52,472 | 37,517 | |||||
Term Loan B, 4.25%, (3M LIBOR + 3.25%), 02/23/25 (a) | 2,116 | 1,513 | |||||
Term Loan B, 4.25%, (1M LIBOR + 3.25%), 02/23/25 (a) | 52,226 | 37,342 | |||||
Banff Merger Sub Inc | |||||||
Term Loan B, 4.43%, (1M LIBOR + 4.25%), 06/30/25 (a) | 124,918 | 117,891 | |||||
Blackhawk Network Holdings, Inc | |||||||
Term Loan B, 3.18%, (1M LIBOR + 3.00%), 05/31/25 (a) | 112,700 | 103,496 | |||||
Brave Parent Holdings, Inc. | |||||||
Term Loan B, 4.18%, (1M LIBOR + 4.00%), 04/17/25 (a) | 68,921 | 66,336 | |||||
Cabot Microelectronics Corporation | |||||||
Term Loan B, 2.19%, (1M LIBOR + 2.00%), 11/14/25 (a) | 139,394 | 134,864 | |||||
Cardtronics USA, Inc. | |||||||
Term Loan, 0.00%, (3M LIBOR + 4.00%), 06/25/27 (a) (b) (c) | 56,250 | 55,125 | |||||
Castle US Holding Corporation | |||||||
Term Loan, 4.06%, (3M LIBOR + 3.75%), 02/28/27 (a) | 32,831 | 29,877 | |||||
CommScope, Inc. | |||||||
2020 USD Spinco Term Loan, 3.43%, (1M LIBOR + 3.25%), 02/07/26 (a) | 251,181 | 237,366 | |||||
Cornerstone OnDemand, Inc. | |||||||
2020 Term Loan B, 5.35%, (3M LIBOR + 4.25%), 04/22/27 (a) | 125,000 | 122,891 | |||||
DCert Buyer, Inc. | |||||||
2020 Term Loan B, 4.18%, (1M LIBOR + 4.00%), 07/31/26 (a) | 130,673 | 125,936 | |||||
Dell International L.L.C. | |||||||
2020 Term Loan B, 2.75%, (1M LIBOR + 2.00%), 09/11/25 (a) | 397,428 | 386,642 | |||||
Dynatrace LLC | |||||||
2020 DIP Term Loan, 2.43%, (1M LIBOR + 2.25%), 08/08/25 (a) | 45,530 | 44,088 | |||||
Entegris, Inc. | |||||||
2019 Term Loan B1, 2.18%, (3M LIBOR + 2.00%), 11/05/25 (a) | 27,563 | 27,020 | |||||
Eta Australia Holdings III Pty Ltd | |||||||
2019 Term Loan B, 4.18%, (1M LIBOR + 4.00%), 03/08/26 (a) | 59,400 | 56,381 | |||||
EVO Payments International LLC | |||||||
2019 Term Loan B, 3.44%, (1M LIBOR + 3.25%), 12/22/23 (a) | 92,297 | 89,644 | |||||
Global Tel*Link Corporation | |||||||
2018 USD Term Loan B, 4.43%, (1M LIBOR + 4.25%), 11/29/25 (a) | 147,082 | 126,333 | |||||
GlobalLogic Holdings Inc. | |||||||
2018 USD Term Loan B, 2.93%, (1M LIBOR + 2.75%), 07/27/25 (a) | 106,056 | 100,708 | |||||
Go Daddy Operating Company, LLC | |||||||
2017 Repriced Term Loan, 1.93%, (1M LIBOR + 1.75%), 02/15/24 (a) | 164,811 | 158,356 | |||||
II-VI Incorporated | |||||||
2018 Term Loan B, 3.61%, (3M LIBOR + 3.50%), 06/28/26 (a) | 165,003 | 160,053 | |||||
IRI Holdings, Inc. | |||||||
2018 Term Loan B, 4.61%, (3M LIBOR + 4.25%), 11/06/25 (a) | 107,630 | 101,979 | |||||
MA FinanceCo., LLC | |||||||
2018 1st Lien Term Loan, 2.68%, (1M LIBOR + 2.50%), 04/19/24 (a) | 30,907 | 28,744 | |||||
McAfee, LLC | |||||||
2018 1st Lien Term Loan, 3.93%, (1M LIBOR + 3.75%), 09/30/24 (a) | 193,566 | 188,028 | |||||
MH Sub I, LLC | |||||||
2018 1st Lien Term Loan, 4.57%, (6M LIBOR + 3.75%), 08/09/24 (a) | 150,858 | 144,910 | |||||
MKS Instruments, Inc. | |||||||
2018 1st Lien Term Loan, 1.93%, (1M LIBOR + 1.75%), 02/01/26 (a) | 125,893 | 120,267 | |||||
MLN US HoldCo LLC | |||||||
2018 1st Lien Term Loan, 4.68%, (1M LIBOR + 4.50%), 07/13/25 (a) | 128,285 | 104,312 | |||||
NCR Corporation | |||||||
2017 USD Term Loan B, 2.68%, (1M LIBOR + 2.50%), 04/12/25 (a) | 183,198 | 176,557 | |||||
NeuStar, Inc. | |||||||
2017 Term Loan B4, 4.50%, (3M LIBOR + 3.50%), 08/08/24 (a) | 195,477 | 178,414 | |||||
ON Semiconductor Corporation | |||||||
2017 Term Loan B, 2.18%, (1M LIBOR + 2.00%), 09/13/26 (a) | 223,313 | 213,822 | |||||
Presidio, Inc. | |||||||
2017 Term Loan, 4.27%, (3M LIBOR + 3.50%), 12/19/26 (a) | 114,120 | 109,746 | |||||
Rackspace Hosting, Inc. | |||||||
2017 Incremental Term Loan B, 4.00%, (3M LIBOR + 3.00%), 11/03/23 (a) | 85,283 | 81,126 | |||||
Radiate Holdco, LLC | |||||||
2017 Incremental Term Loan B, 3.75%, (1M LIBOR + 3.00%), 12/09/23 (a) | 200,790 | 191,253 | |||||
Refinitiv US Holdings Inc. | |||||||
2017 2nd Lien Term Loan, 3.43%, (1M LIBOR + 3.25%), 09/12/25 (a) | 257,222 | 250,984 | |||||
Rocket Software, Inc. | |||||||
2017 1st Lien Term Loan, 4.43%, (1M LIBOR + 4.25%), 11/20/25 (a) | 78,901 | 75,438 | |||||
Science Applications International Corporation | |||||||
2017 1st Lien Term Loan, 2.43%, (1M LIBOR + 2.25%), 03/05/27 (a) | 85,104 | 82,678 | |||||
Seattle Spinco, Inc. | |||||||
2016 Term Loan B, 2.68%, (1M LIBOR + 2.50%), 04/19/24 (a) | 208,725 | 194,115 | |||||
Severin Acquisition, LLC | |||||||
2016 1st Lien Term Loan, 3.43%, (1M LIBOR + 3.25%), 06/15/25 (a) | 197,558 | 189,162 | |||||
Sirius Computer Solutions, Inc. | |||||||
2015 Term Loan B, 3.68%, (1M LIBOR + 3.50%), 07/01/26 (a) | 128,703 | 124,520 | |||||
Solera, LLC | |||||||
1st Lien Term Loan, 2.93%, (1M LIBOR + 2.75%), 03/03/23 (a) | 166,522 | 160,410 | |||||
Sophia, L.P. | |||||||
1st Lien Term Loan, 4.25%, (3M LIBOR + 3.25%), 09/30/22 (a) | 184,184 | 179,580 | |||||
SS&C Technologies Holdings Europe S.A.R.L. | |||||||
1st Lien Term Loan, 0.00%, (1M LIBOR + 1.75%), 02/27/25 (a) (c) | 8,022 | 7,664 | |||||
1st Lien Term Loan, 1.93%, (1M LIBOR + 1.75%), 02/27/25 (a) | 77,333 | 73,877 | |||||
SS&C Technologies Inc. | |||||||
1st Lien Term Loan, 0.00%, (1M LIBOR + 1.75%), 02/27/25 (a) (c) | 11,672 | 11,150 | |||||
1st Lien Term Loan, 1.93%, (1M LIBOR + 1.75%), 02/27/25 (a) | 110,072 | 105,153 | |||||
SurveyMonkey Inc. | |||||||
2018 Term Loan B, 3.86%, (3M LIBOR + 3.75%), 10/10/25 (a) | 72,594 | 69,691 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
10
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Tech Data Corp | |||||||
ABL FILO Term Loan, 0.00%, (3M LIBOR + 5.50%), 06/30/25 (a) (c) | 67,350 | 64,656 | |||||
ABL Term Loan, 0.00%, (3M LIBOR + 3.50%), 06/30/25 (a) (c) | 274,500 | 271,640 | |||||
TriTech Software Systems | |||||||
Repriced Term Loan B6, 3.93%, (1M LIBOR + 3.75%), 08/16/25 (a) | 88,650 | 77,384 | |||||
Verifone Systems, Inc. | |||||||
2018 1st Lien Term Loan, 4.38%, (3M LIBOR + 4.00%), 08/09/25 (a) | 137,049 | 113,800 | |||||
Vertafore, Inc. | |||||||
2018 1st Lien Term Loan, 3.43%, (1M LIBOR + 3.25%), 06/04/25 (a) | 55,406 | 52,117 | |||||
Western Digital Corporation | |||||||
2018 Term Loan B4, 1.92%, (3M LIBOR + 1.75%), 04/29/23 (a) | 233,906 | 227,109 | |||||
WEX Inc. | |||||||
Term Loan B3, 2.43%, (1M LIBOR + 2.25%), 05/17/26 (a) | 295,989 | 282,880 | |||||
Xperi Corporation | |||||||
2020 Term Loan B, 4.17%, (3M LIBOR + 4.00%), 06/01/25 (a) | 87,000 | 82,432 | |||||
7,044,208 | |||||||
Consumer Discretionary 12.8% | |||||||
1011778 B.C. Unlimited Liability Company | |||||||
USD Term Loan N, 1.93%, (1M LIBOR + 1.75%), 11/14/26 (a) | 192,970 | 182,550 | |||||
24 Hour Fitness Worldwide, Inc. | |||||||
USD Term Loan N, 4.95%, (3M LIBOR + 3.50%), 05/30/25 (a) | 192,023 | 47,725 | |||||
Adient US LLC | |||||||
USD Term Loan B16, 4.18%, (1M LIBOR + 4.00%), 05/03/24 (a) | 88,800 | 85,063 | |||||
USD Term Loan B11, 4.47%, (3M LIBOR + 4.00%), 05/03/24 (a) | 30,000 | 28,738 | |||||
Allied Universal Holdco LLC | |||||||
USD Incremental Term Loan B, 4.43%, (1M LIBOR + 4.25%), 06/18/26 (a) | 154,350 | 149,687 | |||||
Alterra Mountain Company | |||||||
USD 2019 Term Loan B, 2.93%, (1M LIBOR + 2.75%), 06/28/24 (a) | 127,068 | 119,444 | |||||
American Axle and Manufacturing, Inc. | |||||||
Term Loan Y, 3.00%, (1M LIBOR + 2.25%), 03/10/24 (a) | 132,343 | 125,394 | |||||
Aramark Services, Inc. | |||||||
Term Loan B2B, 1.93%, (1M LIBOR + 1.75%), 12/04/26 (a) | 189,525 | 178,036 | |||||
Aristocrat Leisure Limited | |||||||
Term Loan B1, 4.75%, (3M LIBOR + 3.75%), 10/19/24 (a) | 155,000 | 153,450 | |||||
Bass Pro Group, LLC | |||||||
Term Loan B, 6.07%, (1M LIBOR + 5.00%), 11/15/23 (a) | 201,955 | 193,804 | |||||
Bombardier Recreational Products, Inc. | |||||||
Term Loan B, 2.18%, (1M LIBOR + 2.00%), 05/24/27 (a) | 141,564 | 134,045 | |||||
Boyd Gaming Corporation | |||||||
Term Loan B, 2.36%, (3M LIBOR + 2.25%), 09/15/23 (a) | 238,002 | 223,201 | |||||
Caesars Entertainment Operating Company | |||||||
Exit Term Loan, 2.18%, (1M LIBOR + 2.00%), 04/03/24 (a) | 147,017 | 146,236 | |||||
Caesars Resort Collection, LLC | |||||||
Term Loan B, 2.93%, (1M LIBOR + 2.75%), 12/23/24 (a) | 137,148 | 121,590 | |||||
Callaway Golf Company | |||||||
Term Loan, 4.68%, (1M LIBOR + 4.50%), 12/31/25 (a) | 119,559 | 117,915 | |||||
CityCenter Holdings, LLC | |||||||
2020 USD Term Loan B, 3.00%, (1M LIBOR + 2.25%), 04/14/24 (a) | 231,035 | 209,606 | |||||
Coinamatic Canada Inc. | |||||||
2020 USD Term Loan, 4.25%, (1M LIBOR + 3.25%), 05/13/22 (a) | 3,932 | 3,755 | |||||
Core & Main LP | |||||||
2020 Term Loan B, 3.75%, (6M LIBOR + 2.75%), 07/19/24 - 08/01/24 (a) | 93,059 | 88,435 | |||||
2020 Term Loan B, 3.75%, (3M LIBOR + 2.75%), 07/19/24 (a) | 60,362 | 57,363 | |||||
Creative Artists Agency, LLC | |||||||
2020 Term Loan B, 3.93%, (1M LIBOR + 3.75%), 11/19/26 (a) | 59,700 | 56,327 | |||||
Dana Incorporated | |||||||
2020 Term Loan B, 3.25%, (1M LIBOR + 2.25%), 02/27/26 (a) | 100,786 | 97,007 | |||||
Delta 2 (LUX) S.a.r.l. | |||||||
2018 USD Term Loan, 3.50%, (1M LIBOR + 2.50%), 02/01/24 (a) | 165,000 | 156,648 | |||||
DexKo Global Inc. | |||||||
2018 USD Term Loan, 4.50%, (1M LIBOR + 3.50%), 07/24/24 (a) | 30 | 28 | |||||
Eldorado Resorts LLC | |||||||
2019 Term Loan B5, 2.56%, (3M LIBOR + 2.25%), 03/15/24 (a) | 15,791 | 15,663 | |||||
2019 Term Loan B6, 2.56%, (3M LIBOR + 2.25%), 03/15/24 (a) | 52,662 | 52,234 | |||||
Equinox Holdings, Inc. | |||||||
2019 Term Loan B1, 4.07%, (6M LIBOR + 3.00%), 03/08/24 (a) | 47,980 | 36,799 | |||||
Fitness International, LLC | |||||||
2019 Term Loan B, 4.32%, (6M LIBOR + 3.25%), 04/13/25 (a) | 88,438 | 54,901 | |||||
Four Seasons Hotels Limited | |||||||
2019 Term Loan, 2.18%, (1M LIBOR + 2.00%), 11/30/23 (a) | 187,092 | 176,802 | |||||
Golden Nugget, Inc. | |||||||
2018 USD Term Loan, 3.25%, (1M LIBOR + 2.50%), 09/07/23 - 10/04/23 (a) | 136,191 | 107,590 | |||||
Hoya Midco, LLC | |||||||
2018 Term Loan B, 4.57%, (6M LIBOR + 3.50%), 06/21/24 - 06/27/24 (a) | 48,329 | 40,355 | |||||
Inmar Holdings, Inc. | |||||||
2018 Term Loan B, 5.07%, (3M LIBOR + 4.00%), 04/25/24 (a) | 117,558 | 106,096 | |||||
Interior Logic Group Holdings IV LLC | |||||||
2018 Term Loan B, 4.18%, (1M LIBOR + 4.00%), 05/21/25 (a) | 98,250 | 88,671 | |||||
International Textile Group, Inc | |||||||
2018 Term Loan B, 6.43%, (3M LIBOR + 5.00%), 04/19/24 (a) (b) | 95,000 | 52,250 | |||||
IRB Holding Corp | |||||||
2018 Term Loan B, 3.75%, (1M LIBOR + 2.75%), 02/05/25 (a) | 121,220 | 111,652 | |||||
Janus International Group, LLC | |||||||
2018 Term Loan B, 4.06%, (3M LIBOR + 3.75%), 02/07/25 (a) | 232 | 218 | |||||
2018 Term Loan B, 4.11%, (6M LIBOR + 3.75%), 02/07/25 (a) | 90,910 | 85,456 | |||||
Jo-Ann Stores, Inc. | |||||||
2016 Term Loan, 5.39%, (6M LIBOR + 5.00%), 09/29/23 (a) | 48,002 | 28,961 | |||||
Lifetime Brands, Inc. | |||||||
2018 1st Lien Term Loan B, 3.86%, (1M LIBOR + 3.50%), 03/13/25 (a) | 17,755 | 15,935 | |||||
2018 1st Lien Term Loan B, 4.50%, (1M LIBOR + 3.50%), 03/13/25 (a) | 44,412 | 39,860 | |||||
Marriott Ownership Resorts, Inc. | |||||||
2018 1st Lien Term Loan, 1.93%, (1M LIBOR + 1.75%), 08/29/25 (a) | 91,841 | 85,986 | |||||
Michaels Stores, Inc. | |||||||
2018 1st Lien Term Loan, 3.50%, (1M LIBOR + 2.50%), 01/01/23 (a) | 55,963 | 51,066 | |||||
2018 1st Lien Term Loan, 3.56%, (3M LIBOR + 2.50%), 01/01/23 (a) | 33,372 | 30,452 | |||||
2018 1st Lien Term Loan, 3.57%, (3M LIBOR + 2.50%), 01/01/23 (a) | 32,459 | 29,618 | |||||
Mileageplus | |||||||
2018 1st Lien Term Loan, 0.00%, (3M LIBOR + 5.25%), 12/31/23 (a) (c) | 107,600 | 106,748 | |||||
Mohegan Tribal Gaming Authority | |||||||
2018 1st Lien Term Loan, 5.38%, (3M LIBOR + 4.38%), 10/30/23 (a) | 29,375 | 23,984 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
11
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
New Constellis Borrower LLC | |||||||
2017 Term Loan B3, 11.00%, (1M LIBOR + 10.00%), 06/30/21 (a) (b) | 8,724 | 8,550 | |||||
2017 Term Loan B3, 8.50%, (1M LIBOR + 7.50%), 03/27/24 (a) | 19,194 | 16,507 | |||||
2017 Term Loan B3, 12.00%, (1M LIBOR + 11.00%), 03/27/25 (a) | 9,962 | 1,619 | |||||
Panther BF Aggregator 2 LP | |||||||
2017 Term Loan B, 3.68%, (1M LIBOR + 3.50%), 03/13/26 (a) | 123,885 | 117,691 | |||||
PCI Gaming Authority | |||||||
2017 Term Loan B, 2.68%, (1M LIBOR + 2.50%), 05/15/26 (a) | 83,836 | 79,644 | |||||
Penn National Gaming, Inc. | |||||||
2017 Term Loan B, 3.00%, (3M LIBOR + 2.25%), 08/15/25 (a) | 321,576 | 298,975 | |||||
Playa Resorts Holding B.V. | |||||||
2017 Term Loan B, 3.75%, (1M LIBOR + 2.75%), 04/07/24 (a) | 126,055 | 105,781 | |||||
ProQuest LLC | |||||||
2017 Repriced Term Loan, 3.68%, (1M LIBOR + 3.50%), 10/16/26 (a) | 109,575 | 105,637 | |||||
Rodan & Fields, LLC | |||||||
2017 1st Lien Term Loan, 4.19%, (1M LIBOR + 4.00%), 06/07/25 (a) | 49,125 | 24,378 | |||||
Scientific Games International, Inc. | |||||||
2016 Term Loan B, 2.93%, (1M LIBOR + 2.75%), 08/14/24 (a) | 32,204 | 28,404 | |||||
2016 Term Loan B, 3.06%, (3M LIBOR + 2.75%), 08/14/24 (a) | 420 | 371 | |||||
2017 1st Lien Term Loan, 3.61%, (6M LIBOR + 2.75%), 08/14/24 (a) | 131,643 | 116,109 | |||||
Serta Simmons Bedding, LLC | |||||||
2016 1st Lien Term Loan, 4.52%, (3M LIBOR + 3.50%), 10/21/23 (a) | 27,300 | 6,249 | |||||
2016 1st Lien Term Loan, 4.64%, (3M LIBOR + 3.50%), 10/21/23 (a) | 95,293 | 21,811 | |||||
ServiceMaster Company, LLC (The) | |||||||
2016 1st Lien Term Loan, 1.93%, (1M LIBOR + 1.75%), 10/31/26 (a) | 59,700 | 57,930 | |||||
SIWF Holdings Inc. | |||||||
2015 Term Loan B, 5.32%, (3M LIBOR + 4.25%), 05/25/25 (a) | 112,737 | 104,845 | |||||
Spin Holdco Inc. | |||||||
1st Lien Term Loan, 4.25%, (3M LIBOR + 3.25%), 11/14/22 (a) | 97,733 | 93,319 | |||||
SRAM, LLC | |||||||
1st Lien Term Loan, 3.75%, (6M LIBOR + 2.75%), 03/15/24 (a) | 100,458 | 97,695 | |||||
1st Lien Term Loan, 5.00%, (1M LIBOR + 2.75%), 03/15/24 (a) | 2,638 | 2,566 | |||||
Staples, Inc. | |||||||
1st Lien Term Loan, 5.69%, (3M LIBOR + 5.00%), 04/05/26 (a) | 60,158 | 51,585 | |||||
Stars Group Holdings B.V. (The) | |||||||
1st Lien Delayed Draw Term Loan, 3.81%, (3M LIBOR + 3.50%), 06/29/25 (a) | 146,856 | 145,822 | |||||
Station Casinos LLC | |||||||
2020 Term Loan B, 2.50%, (1M LIBOR + 2.25%), 01/30/27 (a) | 93,565 | 84,910 | |||||
Tamko Building Products, LLC | |||||||
Term Loan B, 3.42%, (1M LIBOR + 3.25%), 05/15/26 (a) | 49,874 | 47,879 | |||||
Tenneco, Inc. | |||||||
2018 Term Loan B, 3.18%, (1M LIBOR + 3.00%), 10/01/25 (a) | 106,082 | 91,407 | |||||
TI Group Automotive Systems, L.L.C. | |||||||
2015 USD Term Loan, 3.25%, (1M LIBOR + 2.50%), 06/25/22 (a) | 159,212 | 153,241 | |||||
Trader Corporation | |||||||
2017 Term Loan B, 4.00%, (1M LIBOR + 3.00%), 09/28/23 (a) | 85,000 | 81,812 | |||||
TruGreen Limited Partnership | |||||||
2019 Term Loan, 3.93%, (1M LIBOR + 3.75%), 03/19/26 (a) | 59,400 | 57,469 | |||||
WASH Multifamily Laundry Systems, LLC | |||||||
2015 1st Lien Term Loan, 4.25%, (1M LIBOR + 3.25%), 05/15/22 (a) | 25,374 | 24,232 | |||||
WestJet Airlines Ltd. | |||||||
Term Loan B, 4.00%, (6M LIBOR + 3.00%), 07/31/26 (a) | 47,760 | 38,168 | |||||
WideOpenWest Finance LLC | |||||||
2017 Term Loan B, 4.25%, (1M LIBOR + 3.25%), 08/19/23 (a) | 156,679 | 148,911 | |||||
WMG Acquisition Corp. | |||||||
2018 Term Loan F, 2.30%, (1M LIBOR + 2.13%), 11/01/23 (a) | 320,000 | 310,490 | |||||
6,541,351 | |||||||
Industrials 12.7% | |||||||
Advanced Disposal Services Inc. | |||||||
USD Term Loan B, 3.00%, (3M LIBOR + 2.25%), 11/10/23 (a) | 297,344 | 293,461 | |||||
AI Mistral Holdco Limited | |||||||
USD Term Loan B, 4.00%, (1M LIBOR + 3.00%), 01/26/24 (a) | 72,774 | 52,579 | |||||
Allegiant Travel Company | |||||||
USD Term Loan, 3.43%, (3M LIBOR + 3.00%), 02/05/24 (a) | 58,951 | 52,356 | |||||
Altra Industrial Motion Corp. | |||||||
USD 1st Lien Term Loan, 2.18%, (1M LIBOR + 2.00%), 09/26/25 (a) | 306,562 | 291,234 | |||||
American Airlines, Inc. | |||||||
USD 1st Lien Term Loan, 0.00%, (3M LIBOR + 2.00%), 04/28/23 (a) (c) | 84,124 | 66,247 | |||||
APi Group DE, Inc. | |||||||
Term Loan B4, 2.68%, (1M LIBOR + 2.50%), 09/25/26 (a) | 99,712 | 95,931 | |||||
Autokiniton US Holdings, Inc. | |||||||
Term Loan B, 6.55%, (1M LIBOR + 6.38%), 05/18/25 (a) (b) | 98,000 | 92,120 | |||||
Beacon Roofing Supply, Inc. | |||||||
Term Loan B, 0.00%, (1M LIBOR + 2.25%), 01/02/25 (a) (c) | 50,000 | 47,473 | |||||
Term Loan B, 2.43%, (1M LIBOR + 2.25%), 01/02/25 (a) | 59,242 | 56,248 | |||||
Brand Energy & Infrastructure Services, Inc. | |||||||
2017 Term Loan, 5.25%, (3M LIBOR + 4.25%), 06/16/24 (a) | 370 | 338 | |||||
2017 Term Loan, 5.64%, (3M LIBOR + 4.25%), 06/16/24 (a) | 33,197 | 30,293 | |||||
2017 Term Loan, 5.29%, (3M LIBOR + 4.25%), 06/17/24 (a) | 21,500 | 19,619 | |||||
Term Loan B, 5.29%, (3M LIBOR + 4.25%), 06/17/24 (a) | 16,781 | 15,312 | |||||
BrightView Landscapes, LLC | |||||||
Term Loan B, 2.69%, (1M LIBOR + 2.50%), 08/09/25 (a) | 55,878 | 54,201 | |||||
Term Loan B, 2.75%, (1M LIBOR + 2.50%), 08/15/25 (a) | 68,582 | 66,525 | |||||
Brookfield WEC Holdings Inc. | |||||||
Term Loan B, 3.75%, (1M LIBOR + 3.00%), 08/01/25 (a) | 221,625 | 213,545 | |||||
Builders FirstSource, Inc. | |||||||
Term Loan B, 4.00%, (3M LIBOR + 3.00%), 02/29/24 (a) | 11,290 | 10,850 | |||||
Camelot U.S. Acquisition 1 Co. | |||||||
Term Loan, 3.18%, (1M LIBOR + 3.00%), 10/31/26 (a) | 135,522 | 131,035 | |||||
DG Investment Intermediate Holdings 2, Inc. | |||||||
2020 Term Loan, 3.75%, (1M LIBOR + 3.00%), 01/31/25 (a) | 131,618 | 124,832 | |||||
Dynasty Acquisition Co., Inc. | |||||||
2020 Exit Term Loan A, 3.81%, (3M LIBOR + 3.50%), 04/06/26 (a) | 25,402 | 21,624 | |||||
2020 Incremental Term Loan, 3.81%, (3M LIBOR + 3.50%), 04/06/26 (a) | 13,657 | 11,626 | |||||
Electrical Components International, Inc. | |||||||
2019 Term Loan B5, 4.43%, (1M LIBOR + 4.25%), 06/22/25 (a) | 80,998 | 63,178 | |||||
Element Materials Technology Group US Holdings Inc | |||||||
2019 Term Loan B5, 4.50%, (3M LIBOR + 3.50%), 06/29/24 (a) | 29,902 | 27,614 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
12
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Element Materials Technology Group US Holdings Inc. | |||||||
2019 Term Loan B5, 4.50%, (3M LIBOR + 3.50%), 06/28/24 (a) | 28,542 | 26,359 | |||||
Encapsys, LLC | |||||||
2019 Term Loan B2, 4.25%, (1M LIBOR + 3.25%), 11/07/24 (a) (b) | 107,469 | 102,633 | |||||
Engineered Machinery Holdings, Inc. | |||||||
2019 Term Loan B10, 4.00%, (3M LIBOR + 3.00%), 07/25/24 (a) | 43,427 | 41,183 | |||||
EWT Holdings III Corp. | |||||||
2019 Term Loan B, 2.93%, (1M LIBOR + 2.75%), 12/20/24 (a) | 109,725 | 106,205 | |||||
Filtration Group Corporation | |||||||
2019 Term Loan B, 3.18%, (1M LIBOR + 3.00%), 03/27/25 (a) | 164,407 | 156,186 | |||||
Gardner Denver, Inc. | |||||||
2019 Incremental Term Loan B, 1.93%, (1M LIBOR + 1.75%), 03/01/27 (a) | 177,839 | 168,837 | |||||
Gates Global LLC | |||||||
2019 1st Lien Term Loan B3, 3.75%, (1M LIBOR + 2.75%), 04/01/24 (a) | 294,192 | 282,669 | |||||
Genesee & Wyoming Inc. | |||||||
2018 USD Term Loan B2, 2.31%, (3M LIBOR + 2.00%), 10/29/26 (a) | 188,528 | 181,088 | |||||
GFL Environmental Inc. | |||||||
2018 USD Term Loan B, 4.00%, (3M LIBOR + 3.00%), 05/11/25 (a) | 155,688 | 151,050 | |||||
2018 USD Term Loan B, 4.00%, (1M LIBOR + 3.00%), 05/11/25 (a) | 27,858 | 27,028 | |||||
Hamilton Holdco, LLC | |||||||
2018 Term Loan B3, 2.31%, (3M LIBOR + 2.00%), 06/01/25 (a) | 326,113 | 313,069 | |||||
Harbor Freight Tools USA, Inc. | |||||||
2018 Term Loan B3, 3.25%, (1M LIBOR + 2.50%), 08/16/23 (a) | 102,869 | 98,819 | |||||
Hillman Group Inc. (The) | |||||||
2018 Term Loan B, 5.07%, (6M LIBOR + 4.00%), 05/16/25 (a) | 196,992 | 184,188 | |||||
IBC Capital Limited | |||||||
2018 Term Loan B, 4.06%, (3M LIBOR + 3.75%), 09/11/23 (a) | 140,979 | 134,283 | |||||
Leighton Services | |||||||
2018 Term Loan, 0.00%, (3M LIBOR + 3.50%), 05/21/22 (a) (c) | 113,557 | 110,718 | |||||
MX Holdings US, Inc. | |||||||
2018 1st Lien Term Loan, 3.50%, (1M LIBOR + 2.75%), 06/18/25 (a) | 73,498 | 71,232 | |||||
Navistar International Corporation | |||||||
2017 USD Term Loan B, 3.70%, (1M LIBOR + 3.50%), 11/01/24 (a) | 228,175 | 215,529 | |||||
Pelican Products, Inc. | |||||||
2017 Term Loan B, 4.50%, (3M LIBOR + 3.50%), 04/18/25 (a) | 98,000 | 89,506 | |||||
PODS, LLC | |||||||
2017 Term Loan B, 3.75%, (1M LIBOR + 2.75%), 11/21/24 (a) | 125,492 | 119,767 | |||||
Prime Security Services Borrower, LLC | |||||||
2017 Term Loan, 4.25%, (1M LIBOR + 3.25%), 12/31/22 (a) | 334,783 | 321,184 | |||||
Rexnord LLC | |||||||
2017 1st Lien Term Loan, 1.93%, (1M LIBOR + 1.75%), 08/21/24 (a) | 120,690 | 118,534 | |||||
Reynolds Group Holdings Inc. | |||||||
USD 2017 Term Loan, 2.92%, (1M LIBOR + 2.75%), 02/05/23 (a) | 239,153 | 227,889 | |||||
Sabre Industries, Inc. | |||||||
2017 1st Lien Term Loan, 4.49%, (6M LIBOR + 3.50%), 04/09/26 (a) | 114,000 | 110,532 | |||||
Spectrum Holdings III Corp. | |||||||
1st Lien Term Loan, 3.56%, (3M LIBOR + 3.25%), 01/26/25 (a) | 88,952 | 77,945 | |||||
Tempo Acquisition LLC | |||||||
Term Loan, 2.93%, (1M LIBOR + 2.75%), 04/20/24 (a) | 191,792 | 181,723 | |||||
TransDigm, Inc. | |||||||
2020 Term Loan G, 2.43%, (1M LIBOR + 2.25%), 08/22/24 (a) | 195,509 | 176,284 | |||||
2020 Term Loan E, 2.43%, (1M LIBOR + 2.25%), 05/30/25 (a) | 117,605 | 105,330 | |||||
USI, Inc. | |||||||
2017 Repriced Term Loan, 3.31%, (3M LIBOR + 3.00%), 05/16/24 (a) | 196,731 | 186,304 | |||||
USIC Holdings, Inc. | |||||||
2017 Term Loan B, 4.25%, (1M LIBOR + 3.25%), 12/09/23 (a) | 52,446 | 49,889 | |||||
VC GB Holdings, Inc. | |||||||
2017 1st Lien Term Loan, 4.00%, (3M LIBOR + 3.00%), 02/28/24 (a) (b) | 58,979 | 55,735 | |||||
Ventia Deco LLC | |||||||
2016 Term Loan B, 3.81%, (3M LIBOR + 3.50%), 05/21/22 (a) | 47,144 | 45,965 | |||||
Verra Mobility Corporation | |||||||
2020 Term Loan B, 3.56%, (3M LIBOR + 3.25%), 02/28/25 (a) (b) | 195,213 | 185,452 | |||||
Vertiv Group Corporation | |||||||
Term Loan B, 3.18%, (1M LIBOR + 3.00%), 02/11/27 (a) | 166,667 | 157,084 | |||||
XPO Logistics, Inc. | |||||||
2019 Term Loan B1, 2.69%, (1M LIBOR + 2.50%), 02/24/25 (a) | 95,000 | 92,685 | |||||
6,511,125 | |||||||
Communication Services 11.7% | |||||||
Altice Financing SA | |||||||
USD 2017 1st Lien Term Loan, 2.93%, (1M LIBOR + 2.75%), 07/31/25 (a) | 103,139 | 97,359 | |||||
Altice France S.A. | |||||||
USD 1st Lien Term Loan, 4.18%, (1M LIBOR + 4.00%), 07/13/26 (a) | 276,550 | 265,339 | |||||
AMC Entertainment Holdings, Inc. | |||||||
USD 1st Lien Term Loan, 4.08%, (3M LIBOR + 3.00%), 04/22/26 (a) | 71,596 | 51,773 | |||||
CenturyLink, Inc. | |||||||
Reprice Term Loan, 2.43%, (1M LIBOR + 2.25%), 03/15/27 (a) | 216,437 | 203,572 | |||||
Charter Communications Operating, LLC | |||||||
Delayed Draw Term Loan B2, 1.93%, (1M LIBOR + 1.75%), 04/30/25 (a) | 308,746 | 296,995 | |||||
Cincinnati Bell, Inc. | |||||||
2017 Term Loan, 4.25%, (1M LIBOR + 3.25%), 10/02/24 (a) | 98,250 | 96,969 | |||||
Cogeco Communications (USA) II L.P. | |||||||
2020 USD Term Loan, 2.18%, (1M LIBOR + 2.00%), 08/11/24 (a) | 319,890 | 305,217 | |||||
Connect Finco Sarl | |||||||
2020 Term Loan B1, 5.50%, (1M LIBOR + 4.50%), 09/23/26 (a) | 28,483 | 26,721 | |||||
2020 Term Loan B6, 5.50%, (1M LIBOR + 4.50%), 09/23/26 (a) | 41,167 | 38,620 | |||||
Consolidated Communications, Inc. | |||||||
2020 Term Loan B, 4.00%, (1M LIBOR + 3.00%), 09/29/23 (a) | 171,396 | 162,280 | |||||
CSC Holdings, LLC | |||||||
2020 Term Loan B, 2.43%, (1M LIBOR + 2.25%), 07/15/25 (a) | 148,469 | 140,118 | |||||
2020 Term Loan B, 2.68%, (1M LIBOR + 2.50%), 04/15/27 (a) | 246,881 | 233,700 | |||||
Diamond Sports Group, LLC | |||||||
2020 Term Loan, 3.43%, (3M LIBOR + 3.25%), 08/24/26 (a) | 54,588 | 44,284 | |||||
Entercom Media Corp. | |||||||
2019 Term Loan B1, 2.68%, (1M LIBOR + 2.50%), 11/18/24 (a) | 121,779 | 113,458 | |||||
2019 Term Loan B1, 4.75%, (1M LIBOR + 2.50%), 11/18/24 (a) | 221 | 206 | |||||
GoodRx, Inc. | |||||||
2018 USD Incremental Term Loan, 2.93%, (1M LIBOR + 2.75%), 10/10/25 (a) | 95,302 | 90,745 | |||||
2018 USD Term Loan, 2.93%, (1M LIBOR + 2.75%), 10/10/25 (a) | 27,301 | 25,995 | |||||
Gray Television, Inc. | |||||||
2018 Term Loan B5, 2.67%, (1M LIBOR + 2.50%), 10/30/25 (a) | 277,460 | 267,957 | |||||
Hargray Communications Group, Inc. | |||||||
2018 Term Loan B2, 4.00%, (1M LIBOR + 3.00%), 03/23/24 (a) | 108,601 | 103,741 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
13
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
iHeartCommunications, Inc. | |||||||
2018 Term Loan B, 3.18%, (1M LIBOR + 3.00%), 05/01/26 (a) | 119,649 | 109,978 | |||||
Intelsat Jackson Holdings S.A. | |||||||
2018 Term Loan B, 0.00%, (3M LIBOR + 5.50%), 07/28/21 (a) (c) | 7,894 | 7,998 | |||||
2018 Term Loan B, 6.50%, (3M LIBOR + 5.50%), 07/28/21 (a) | 7,894 | 7,998 | |||||
2018 Term Loan B, 8.00%, (PRIME + 4.75%), 11/27/23 (a) | 105,000 | 104,279 | |||||
Iridium Satellite LLC | |||||||
2018 Term Loan B, 4.75%, (1M LIBOR + 3.75%), 10/08/27 (a) | 191,520 | 187,498 | |||||
Level 3 Financing Inc. | |||||||
2018 Incremental Term Loan, 1.93%, (1M LIBOR + 1.75%), 03/01/27 (a) | 229,383 | 216,521 | |||||
Maxar Technologies Ltd. | |||||||
2018 1st Lien Term Loan, 2.93%, (1M LIBOR + 2.75%), 07/07/24 (a) | 104,716 | 97,451 | |||||
MTN Infrastructure TopCo Inc | |||||||
2018 1st Lien Term Loan, 4.00%, (1M LIBOR + 3.00%), 10/27/24 (a) | 202,169 | 193,261 | |||||
NASCAR Holdings, Inc | |||||||
2018 1st Lien Term Loan, 2.93%, (3M LIBOR + 2.75%), 07/26/26 (a) | 7,058 | 6,739 | |||||
Nexstar Broadcasting, Inc. | |||||||
2017 Term Loan B3, 2.92%, (1M LIBOR + 2.75%), 07/15/26 (a) | 184,191 | 174,818 | |||||
PUG LLC | |||||||
2017 Incremental Term Loan B, 3.68%, (1M LIBOR + 3.50%), 01/31/27 (a) | 129,350 | 112,049 | |||||
SBA Senior Finance II LLC | |||||||
2017 1st Lien Term Loan, 1.93%, (1M LIBOR + 1.75%), 03/26/25 (a) | 336,380 | 323,066 | |||||
Securus Technologies Holdings, Inc. | |||||||
2016 Term Loan B, 5.50%, (6M LIBOR + 4.50%), 06/20/24 (a) | 99,024 | 81,695 | |||||
Sinclair Television Group Inc. | |||||||
2015 Term Loan B, 2.43%, (1M LIBOR + 2.25%), 01/06/24 (a) | 296,863 | 282,266 | |||||
Telenet Financing USD LLC | |||||||
2020 USD Term Loan AR, 2.18%, (1M LIBOR + 2.00%), 04/21/29 (a) | 250,000 | 235,312 | |||||
Telesat Canada | |||||||
Term Loan B5, 2.93%, (1M LIBOR + 2.75%), 11/22/26 (a) | 147,435 | 141,415 | |||||
Terrier Media Buyer, Inc. | |||||||
Term Loan B, 4.43%, (1M LIBOR + 4.25%), 10/04/26 (a) | 181,227 | 172,468 | |||||
T-Mobile USA, Inc. | |||||||
2020 Term Loan, 3.18%, (1M LIBOR + 3.00%), 04/01/27 (a) | 99,338 | 99,123 | |||||
Univision Communications Inc. | |||||||
Term Loan C5, 2.93%, (1M LIBOR + 2.75%), 03/15/24 (a) | 112,662 | 103,931 | |||||
Vestcom Parent Holdings, Inc. | |||||||
2016 1st Lien Term Loan, 5.07%, (3M LIBOR + 4.00%), 12/15/23 (a) (b) | 73,395 | 67,891 | |||||
2016 1st Lien Term Loan, 6.25%, (PRIME + 3.00%), 12/16/23 (a) (b) | 13 | 12 | |||||
Virgin Media Bristol LLC | |||||||
USD Term Loan N, 2.68%, (1M LIBOR + 2.50%), 10/03/27 (a) | 260,000 | 247,715 | |||||
Windstream Holdings Inc. | |||||||
DIP Term Loan, 2.68%, (1M LIBOR + 2.50%), 03/08/21 (a) | 155,000 | 152,094 | |||||
Zayo Group Holdings, Inc. | |||||||
USD Term Loan, 3.18%, (1M LIBOR + 3.00%), 02/20/27 (a) | 143,824 | 136,190 | |||||
Ziggo Financing Partnership | |||||||
USD Term Loan I, 2.68%, (1M LIBOR + 2.50%), 04/17/28 (a) | 184,000 | 173,229 | |||||
6,000,046 | |||||||
Health Care 10.9% | |||||||
Accelerated Health Systems, LLC | |||||||
USD Term Loan B3, 3.68%, (1M LIBOR + 3.50%), 11/02/25 (a) (b) | 109,072 | 103,073 | |||||
ADMI Corp. | |||||||
USD Term Loan B1, 2.93%, (1M LIBOR + 2.75%), 04/06/24 (a) | 147,539 | 136,797 | |||||
Agiliti Health, Inc | |||||||
USD Term Loan B, 4.44%, (1M LIBOR + 3.00%), 10/18/25 (a) | 62,213 | 60,035 | |||||
Air Methods Corporation | |||||||
USD Term Loan, 4.50%, (3M LIBOR + 3.50%), 04/12/24 (a) | 134,009 | 109,859 | |||||
Aldevron, L.L.C. | |||||||
USD Term Loan, 4.43%, (1M LIBOR + 4.25%), 09/20/26 (a) | 129,675 | 127,568 | |||||
Alliance Healthcare Services, Inc. | |||||||
USD Term Loan, 5.50%, (1M LIBOR + 4.50%), 10/20/23 (a) | 121,006 | 78,428 | |||||
Alphabet Holding Company, Inc. | |||||||
USD 2nd Lien Term Loan, 3.68%, (1M LIBOR + 3.50%), 08/15/24 (a) | 63,690 | 59,809 | |||||
Amneal Pharmaceuticals LLC | |||||||
Term Loan B9, 3.69%, (1M LIBOR + 3.50%), 03/26/25 (a) | 90,449 | 82,422 | |||||
Athenahealth, Inc. | |||||||
Term Loan B, 4.82%, (3M LIBOR + 4.50%), 01/25/26 (a) | 138,623 | 134,003 | |||||
ATI Holdings Acquisition, Inc. | |||||||
2016 Term Loan, 4.57%, (3M LIBOR + 3.50%), 05/10/23 (a) | 159,853 | 136,775 | |||||
Auris Luxembourg III S.a.r.l. | |||||||
Term Loan B, 3.93%, (1M LIBOR + 3.75%), 07/23/25 (a) | 68,922 | 59,962 | |||||
Bausch Health Companies Inc. | |||||||
Term Loan B, 3.19%, (1M LIBOR + 3.00%), 05/19/25 (a) | 198,189 | 192,319 | |||||
Catalent Pharma Solutions Inc. | |||||||
Term Loan, 3.25%, (1M LIBOR + 2.25%), 05/10/26 (a) | 99,747 | 98,418 | |||||
Change Healthcare Holdings LLC | |||||||
DIP Term Loan, 3.50%, (1M LIBOR + 2.50%), 02/02/24 (a) | 84,317 | 80,815 | |||||
Exit Term Loan, 3.50%, (3M LIBOR + 2.50%), 02/02/24 (a) | 44,685 | 42,829 | |||||
Exit Term Loan B, 3.50%, (3M LIBOR + 2.50%), 02/02/24 (a) | 54,852 | 52,574 | |||||
New 1st Lien Term Loan, 3.50%, (3M LIBOR + 2.50%), 02/03/24 (a) | 83,050 | 79,601 | |||||
CHG Healthcare Services Inc. | |||||||
2nd Lien Term Loan, 4.07%, (3M LIBOR + 3.00%), 06/07/23 (a) | 176,658 | 169,908 | |||||
Da Vinci Purchaser Corp. | |||||||
2020 Term Loan B, 5.24%, (6M LIBOR + 4.00%), 12/10/26 (a) | 113,000 | 109,751 | |||||
DaVita, Inc. | |||||||
2020 Term Loan B, 1.93%, (1M LIBOR + 1.75%), 07/30/26 (a) | 248,925 | 240,429 | |||||
Elanco Animal Health Inc | |||||||
2019 Term Loan D, 0.00%, (3M LIBOR + 1.75%), 02/04/27 (a) (c) | 140,000 | 133,234 | |||||
Endo Luxembourg Finance Company I S.a r.l. | |||||||
2019 Term Loan B2, 5.00%, (1M LIBOR + 4.25%), 04/12/24 (a) | 151,622 | 142,904 | |||||
Envision Healthcare Corporation | |||||||
2019 Term Loan B1, 3.93%, (1M LIBOR + 3.75%), 09/27/25 (a) | 102,532 | 66,902 | |||||
ExamWorks Group, Inc. | |||||||
2017 Term Loan, 4.32%, (3M LIBOR + 3.25%), 07/27/23 (a) | 166,132 | 161,979 | |||||
Gentiva Health Services, Inc. | |||||||
2018 USD Term Loan B, 3.44%, (1M LIBOR + 3.25%), 07/02/25 (a) | 139,313 | 134,612 | |||||
Global Medical Response, Inc. | |||||||
2018 USD Term Loan B, 4.25%, (3M LIBOR + 3.25%), 04/28/22 (a) | 131,835 | 126,546 | |||||
Grifols Worldwide Operations USA, Inc. | |||||||
2018 Term Loan B5, 2.11%, (3M LIBOR + 2.00%), 11/15/27 (a) | 216,164 | 207,762 | |||||
Jaguar Holding Company II | |||||||
2018 Term Loan , 3.50%, (1M LIBOR + 2.50%), 08/18/22 (a) | 175,798 | 173,435 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
14
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Kindred Healthcare LLC | |||||||
2018 Term Loan B, 5.19%, (1M LIBOR + 5.00%), 06/21/25 (a) | 93,338 | 89,137 | |||||
MPH Acquisition Holdings LLC | |||||||
2018 1st Lien Term Loan, 3.75%, (3M LIBOR + 2.75%), 06/07/23 (a) | 134,916 | 128,002 | |||||
National Mentor Holdings, Inc. | |||||||
2017 USD Term Loan B1, 4.43%, (1M LIBOR + 4.25%), 03/09/26 (a) | 116,148 | 111,744 | |||||
2017 USD Term Loan B3, 4.43%, (3M LIBOR + 4.25%), 03/09/26 (a) | 5,288 | 5,088 | |||||
Ortho-Clinical Diagnostics SA | |||||||
2017 Term Loan B, 3.43%, (1M LIBOR + 3.25%), 06/01/25 (a) | 194,531 | 181,522 | |||||
Parexel International Corporation | |||||||
2017 Term Loan B, 2.93%, (1M LIBOR + 2.75%), 08/06/24 (a) | 87,455 | 82,700 | |||||
Phoenix Guarantor Inc | |||||||
2017 Term Loan B, 3.43%, (1M LIBOR + 3.25%), 03/05/26 (a) | 135,853 | 130,419 | |||||
Prestige Brands, Inc. | |||||||
2017 Term Loan, 2.18%, (1M LIBOR + 2.00%), 01/20/24 (a) | 106,219 | 104,201 | |||||
Radiology Partners Inc | |||||||
2017 Incremental 1st Lien Term Loan, 5.29%, (1Y LIBOR + 4.25%), 06/28/25 (a) | 51,800 | 48,008 | |||||
2017 2nd Lien Term Loan, 5.99%, (3M LIBOR + 4.25%), 06/28/25 (a) | 60,415 | 55,992 | |||||
RadNet, Inc. | |||||||
2017 2nd Lien Term Loan, 4.75%, (6M LIBOR + 3.75%), 06/30/23 (a) | 130,209 | 123,536 | |||||
RegionalCare Hospital Partners Holdings, Inc. | |||||||
2017 1st Lien Term Loan B, 3.93%, (1M LIBOR + 3.75%), 11/09/25 (a) | 146,513 | 136,971 | |||||
Select Medical Corporation | |||||||
2016 Term Loan, 2.68%, (1M LIBOR + 2.50%), 03/06/25 (a) | 164,786 | 156,204 | |||||
Sound Inpatient Physicians | |||||||
1st Lien Term Loan, 2.93%, (1M LIBOR + 2.75%), 06/19/25 (a) | 134,750 | 129,090 | |||||
Surgery Center Holdings, Inc. | |||||||
2017 Term Loan B, 4.25%, (1M LIBOR + 3.25%), 06/18/24 (a) | 136,765 | 119,620 | |||||
Team Health Holdings, Inc. | |||||||
1st Lien Term Loan, 3.75%, (1M LIBOR + 2.75%), 01/12/24 (a) | 136,420 | 103,936 | |||||
U.S. Anesthesia Partners, Inc. | |||||||
2017 Term Loan, 4.00%, (6M LIBOR + 3.00%), 06/16/24 (a) | 102,056 | 89,846 | |||||
U.S. Renal Care, Inc. | |||||||
2019 Term Loan B, 5.18%, (1M LIBOR + 5.00%), 06/12/26 (a) | 129,025 | 123,846 | |||||
Upstream Newco, Inc. | |||||||
2019 Term Loan, 4.68%, (1M LIBOR + 4.50%), 10/21/26 (a) (b) | 59,850 | 55,062 | |||||
Valeant Pharmaceuticals International Inc. | |||||||
2018 Term Loan B, 0.00%, (1M LIBOR + 3.00%), 05/17/25 (a) (c) | 27,067 | 26,266 | |||||
Vizient, Inc. | |||||||
2020 Term Loan B6, 2.18%, (1M LIBOR + 2.00%), 05/06/26 (a) | 39,500 | 37,846 | |||||
Wellpath Holdings, Inc. | |||||||
2018 1st Lien Term Loan, 6.26%, (3M LIBOR + 5.50%), 09/25/25 (a) | 37,000 | 33,917 | |||||
2018 1st Lien Term Loan, 6.57%, (6M LIBOR + 5.50%), 09/25/25 (a) | 61,500 | 56,375 | |||||
Zelis Healthcare Corporation | |||||||
Term Loan B, 4.93%, (1M LIBOR + 4.75%), 09/26/26 (a) | 129,350 | 126,601 | |||||
5,558,678 | |||||||
Financials 10.6% | |||||||
Acrisure, LLC | |||||||
USD Term Loan B3, 3.68%, (1M LIBOR + 3.50%), 01/30/27 (a) | 240,274 | 226,459 | |||||
Advisor Group, Inc. | |||||||
USD Term Loan B, 5.18%, (1M LIBOR + 5.00%), 07/31/26 (a) | 133,131 | 122,913 | |||||
AlixPartners, LLP | |||||||
USD Term Loan, 3.50%, (1M LIBOR + 2.50%), 03/28/24 (a) | 200,310 | 193,215 | |||||
Alliant Holdings Intermediate, LLC | |||||||
USD Term Loan, 2.93%, (1M LIBOR + 2.75%), 05/07/25 (a) | 197,347 | 186,629 | |||||
AmWINS Group, Inc. | |||||||
Term Loan B5, 3.75%, (1M LIBOR + 2.75%), 01/19/24 (a) | 130,815 | 126,850 | |||||
Term Loan B9, 3.75%, (1M LIBOR + 2.75%), 01/19/24 (a) | 26,289 | 25,492 | |||||
Aretec Group, Inc. | |||||||
Term Loan B12, 4.43%, (1M LIBOR + 4.25%), 08/15/25 (a) | 122,338 | 111,939 | |||||
AssuredPartners, Inc. | |||||||
Term Loan B, 3.68%, (1M LIBOR + 3.50%), 08/07/20 (a) | 220,065 | 210,006 | |||||
Asurion LLC | |||||||
Term Loan B, 3.18%, (1M LIBOR + 3.00%), 08/04/22 (a) | 269,414 | 261,781 | |||||
Avolon TLB Borrower 1 (US) LLC | |||||||
Term Loan B, 2.50%, (1M LIBOR + 1.75%), 01/15/25 (a) | 59,627 | 55,348 | |||||
BCP Renaissance Parent LLC | |||||||
Term Loan B, 4.50%, (3M LIBOR + 3.50%), 09/20/24 (a) | 57,409 | 47,813 | |||||
Belron Finance US LLC | |||||||
Term Loan B, 2.93%, (3M LIBOR + 2.50%), 11/19/25 (a) | 93,575 | 90,183 | |||||
Blackstone CQP Holdco LP | |||||||
Term Loan B, 3.81%, (3M LIBOR + 3.50%), 05/29/24 (a) | 78,803 | 75,257 | |||||
Crown Finance US, Inc. | |||||||
2018 USD Term Loan, 3.32%, (3M LIBOR + 2.25%), 02/05/25 (a) | 125,302 | 93,800 | |||||
Deerfield Dakota Holding, LLC | |||||||
2020 Term Loan B, 4.75%, (1M LIBOR + 3.75%), 03/05/27 (a) | 40,000 | 38,800 | |||||
Duff & Phelps, LLC | |||||||
2020 Incremental Term Loan B, 0.00%, (1M LIBOR + 3.75%), 03/05/27 (a) (c) | 22,500 | 21,825 | |||||
Edelman Financial Center, LLC | |||||||
2020 DIP Delayed Draw Term Loan, 3.18%, (1M LIBOR + 3.00%), 06/26/25 (a) | 289,601 | 275,845 | |||||
First American Payment Systems, L.P. | |||||||
2019 Term Loan B, 6.37%, (3M LIBOR + 5.00%), 02/24/27 (a) (b) | 35,000 | 32,550 | |||||
First Eagle Holdings, Inc. | |||||||
2019 Term Loan B, 2.81%, (3M LIBOR + 2.50%), 02/02/27 (a) | 117,995 | 113,545 | |||||
Garrett LX III S.a r.l. | |||||||
2019 Extended Term Loan B, 3.54%, (3M LIBOR + 3.25%), 09/22/25 (a) | 177,904 | 165,006 | |||||
Hub International Limited | |||||||
2018 Term Loan B, 4.02%, (3M LIBOR + 3.00%), 04/25/25 (a) | 142,176 | 134,949 | |||||
INEOS Enterprises Holdings US Finco LLC | |||||||
2018 Term Loan B, 4.50%, (3M LIBOR + 3.50%), 07/29/26 (a) | 111,735 | 106,894 | |||||
INEOS US Finance LLC | |||||||
2018 Term Loan B, 2.18%, (1M LIBOR + 2.00%), 03/31/24 (a) | 314,894 | 297,871 | |||||
ION Trading Technologies S.a.r.l. | |||||||
2018 Term Loan B, 5.07%, (3M LIBOR + 4.00%), 11/21/24 (a) | 124,927 | 119,572 | |||||
iStar, Inc. | |||||||
2016 Term Loan B, 2.93%, (1M LIBOR + 2.75%), 06/28/23 (a) | 247,613 | 248,145 | |||||
Jane Street Group, LLC | |||||||
2018 Term Loan B, 3.18%, (1M LIBOR + 3.00%), 01/31/25 (a) | 299,279 | 290,582 | |||||
Lions Gate Capital Holdings LLC | |||||||
2018 1st Lien Term Loan B, 2.43%, (1M LIBOR + 2.25%), 03/20/25 (a) | 203,185 | 191,630 | |||||
LPL Holdings, Inc. | |||||||
2018 1st Lien Term Loan, 1.93%, (1M LIBOR + 1.75%), 11/07/26 (a) | 141,571 | 135,201 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
15
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
NAB Holdings LLC | |||||||
2017 Repriced Term Loan, 4.00%, (3M LIBOR + 3.00%), 01/15/25 (a) (b) | 148,137 | 142,582 | |||||
Nielsen Finance LLC | |||||||
2017 Term Loan B, 0.00%, (1M LIBOR + 3.75%), 06/06/25 (a) (c) | 114,182 | 112,897 | |||||
2017 Term Loan B1, 5.75%, (1M LIBOR + 3.75%), 06/06/25 (a) | 11,000 | 10,876 | |||||
Nuvei Technologies Corp. | |||||||
2017 Term Loan B, 6.00%, (1M LIBOR + 5.00%), 07/22/20 (a) (b) | 63,186 | 62,238 | |||||
Sedgwick Claims Management Services, Inc. | |||||||
2016 Term Loan B, 3.43%, (1M LIBOR + 3.25%), 11/06/25 (a) | 206,850 | 194,809 | |||||
SolarWinds Holdings, Inc. | |||||||
1st Lien Term Loan B3, 2.93%, (1M LIBOR + 2.75%), 02/06/24 (a) | 195,861 | 189,570 | |||||
TKC Holdings, Inc. | |||||||
2017 1st Lien Term Loan, 4.75%, (3M LIBOR + 3.75%), 02/08/23 (a) | 95,101 | 88,815 | |||||
Trans Union, LLC | |||||||
2019 Term Loan B5, 1.93%, (1M LIBOR + 1.75%), 11/13/26 (a) | 214,555 | 204,834 | |||||
Travelport Finance (Luxembourg) S.a.r.l. | |||||||
2019 Term Loan, 6.07%, (3M LIBOR + 5.00%), 03/18/26 (a) | 89,325 | 58,417 | |||||
UFC Holdings, LLC | |||||||
2019 Term Loan, 4.25%, (6M LIBOR + 3.25%), 04/25/26 (a) | 126,480 | 120,577 | |||||
VFH Parent LLC | |||||||
2019 Term Loan B, 3.19%, (1M LIBOR + 3.00%), 03/02/26 (a) | 172,222 | 167,558 | |||||
Victory Capital Holdings, Inc. | |||||||
2020 Term Loan B, 3.94%, (3M LIBOR + 2.50%), 07/01/26 (a) | 74,570 | 72,194 | |||||
5,425,467 | |||||||
Materials 9.4% | |||||||
American Builders & Contractors Supply Co., Inc. | |||||||
Term Loan W, 2.18%, (1M LIBOR + 2.00%), 01/15/27 (a) | 168,974 | 160,864 | |||||
Avantor Funding, Inc. | |||||||
Term Loan B, 3.25%, (1M LIBOR + 2.25%), 09/22/24 (a) | 144,012 | 140,051 | |||||
Ball Metalpack, LLC | |||||||
Term Loan B, 4.86%, (3M LIBOR + 4.50%), 07/25/25 (a) | 98,250 | 89,899 | |||||
Berry Global, Inc. | |||||||
Term Loan B, 2.18%, (1M LIBOR + 2.00%), 10/01/22 - 07/01/26 (a) | 261,038 | 250,128 | |||||
BWAY Holding Company | |||||||
Term Loan B, 4.56%, (3M LIBOR + 3.25%), 04/03/24 (a) | 214,125 | 191,732 | |||||
Charter NEX US, Inc. | |||||||
Canadian 1st Lien Term Loan, 3.43%, (1M LIBOR + 3.25%), 05/16/24 (a) | 136,646 | 130,429 | |||||
Composite Resins Holding B.V. | |||||||
2020 Term Loan E, 5.47%, (6M LIBOR + 4.25%), 06/27/25 (a) (b) | 100,171 | 95,163 | |||||
2020 Term Loan F, 5.47%, (6M LIBOR + 4.25%), 06/27/25 (a) (b) | 13,024 | 12,373 | |||||
Consolidated Container Company LLC | |||||||
2020 Term Loan B, 3.75%, (1M LIBOR + 2.75%), 05/10/24 - 05/22/24 (a) | 127,067 | 123,612 | |||||
Diamond (BC) B.V. | |||||||
USD Term Loan , 3.76%, (3M LIBOR + 3.00%), 07/24/24 (a) | 132,141 | 121,130 | |||||
Element Solutions Inc. | |||||||
2019 Term Loan B5, 2.18%, (1M LIBOR + 2.00%), 01/31/26 (a) | 128,305 | 121,996 | |||||
Ferro Corporation | |||||||
2019 Term Loan B, 2.56%, (3M LIBOR + 2.25%), 02/14/24 (a) | 202,425 | 195,711 | |||||
Flex Acquisition Company, Inc. | |||||||
2019 Term Loan B, 4.43%, (3M LIBOR + 3.00%), 12/15/23 (a) | 214,727 | 204,718 | |||||
Gemini HDPE LLC | |||||||
2018 USD Term Loan B2, 3.27%, (3M LIBOR + 2.50%), 08/04/24 (a) | 42,462 | 40,516 | |||||
GYP Holdings III Corp. | |||||||
2018 Term Loan B4, 2.93%, (1M LIBOR + 2.75%), 05/15/25 (a) | 169,436 | 163,294 | |||||
Hexion Inc | |||||||
2018 Term Loan B, 4.93%, (3M LIBOR + 3.50%), 06/27/26 (a) | 125,638 | 122,183 | |||||
Klockner-Pentaplast of America, Inc. | |||||||
2018 Term Loan B, 5.25%, (3M LIBOR + 4.25%), 06/30/22 (a) | 195,980 | 182,961 | |||||
LTI Holdings, Inc. | |||||||
2018 1st Lien Term Loan, 3.68%, (1M LIBOR + 3.50%), 08/15/25 (a) | 117,900 | 99,878 | |||||
Messer Industries GmbH | |||||||
2018 1st Lien Term Loan, 2.81%, (3M LIBOR + 2.50%), 10/10/25 (a) | 317,731 | 302,242 | |||||
Momentive Performance Materials Inc. | |||||||
2018 1st Lien Term Loan, 3.43%, (1M LIBOR + 3.25%), 04/18/24 (a) | 45,153 | 42,161 | |||||
Onex TSG Intermediate Corp. | |||||||
2017 Term Loan B, 5.00%, (3M LIBOR + 4.00%), 07/31/22 (a) | 99,947 | 92,284 | |||||
Perstorp Holding AB | |||||||
2017 Term Loan B, 5.82%, (6M LIBOR + 4.75%), 04/03/26 (a) | 94,050 | 81,118 | |||||
Plaze, Inc. | |||||||
2017 Term Loan B, 4.57%, (3M LIBOR + 3.50%), 08/01/26 (a) | 129,675 | 121,894 | |||||
PMHC II, Inc. | |||||||
2017 Term Loan B, 4.50%, (3M LIBOR + 3.50%), 03/20/25 (a) | 88,719 | 75,322 | |||||
Polar US Borrower, LLC | |||||||
2017 Term Loan B, 4.93%, (1M LIBOR + 4.75%), 08/21/25 (a) | 57,453 | 54,006 | |||||
Polymer Additives, Inc. | |||||||
2017 Term Loan B, 6.76%, (3M LIBOR + 6.00%), 07/25/25 (a) | 250 | 182 | |||||
2017 Term Loan B, 6.86%, (6M LIBOR + 6.00%), 07/25/25 (a) | 98,250 | 71,477 | |||||
PQ Corporation | |||||||
2017 Term Loan B, 2.43%, (1M LIBOR + 2.25%), 02/08/25 (a) | 117,007 | 112,522 | |||||
Pro Mach Group, Inc. | |||||||
2017 Term Loan, 2.93%, (1M LIBOR + 2.75%), 03/07/25 (a) | 47,222 | 44,020 | |||||
Proampac PG Borrower LLC | |||||||
2017 Repriced Term Loan, 4.50%, (1M LIBOR + 3.50%), 11/18/23 (a) | 46,349 | 44,090 | |||||
2017 Term Loan, 4.50%, (3M LIBOR + 3.50%), 11/18/23 (a) | 79,172 | 75,312 | |||||
2017 Repriced Term Loan, 5.75%, (3M LIBOR + 3.50%), 11/18/23 (a) | 325 | 309 | |||||
Quikrete Holdings, Inc. | |||||||
2017 Incremental Term Loan B, 2.68%, (1M LIBOR + 2.50%), 11/03/23 (a) | 189,013 | 181,335 | |||||
Solenis Holdings LLC | |||||||
1st Lien Term Loan B3, 4.36%, (3M LIBOR + 4.00%), 06/26/25 - 12/18/25 (a) | 100,846 | 96,456 | |||||
Starfruit Finco B.V | |||||||
1st Lien Term Loan, 3.19%, (1M LIBOR + 3.00%), 09/20/25 (a) | 235,085 | 219,999 | |||||
TricorBraun Holdings, Inc. | |||||||
2016 1st Lien Term Loan, 4.75%, (3M LIBOR + 3.75%), 11/29/23 (a) | 208,383 | 199,839 | |||||
Trident TPI Holdings, Inc. | |||||||
2017 USD Term Loan B1, 4.07%, (3M LIBOR + 3.00%), 10/05/24 (a) | 118,540 | 112,910 | |||||
Tronox Finance LLC | |||||||
Term Loan B, 2.93%, (1M LIBOR + 2.75%), 09/11/24 (a) | 56,568 | 54,180 | |||||
Term Loan B, 3.06%, (3M LIBOR + 2.75%), 09/11/24 (a) | 39,915 | 38,230 | |||||
Univar Solutions Inc. | |||||||
2017 USD Term Loan B3, 2.43%, (1M LIBOR + 2.25%), 07/01/24 (a) | 284,503 | 273,302 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
16
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Wilsonart LLC | |||||||
2017 Term Loan B, 4.25%, (3M LIBOR + 3.25%), 12/19/23 (a) | 91,956 | 88,479 | |||||
4,828,307 | |||||||
Consumer Staples 5.6% | |||||||
8th Avenue Food & Provisions, Inc. | |||||||
USD Term Loan I, 3.68%, (1M LIBOR + 3.50%), 09/19/25 (a) | 118,823 | 114,987 | |||||
American Seafoods Group LLC | |||||||
Term Loan W, 3.75%, (3M LIBOR + 2.75%), 07/27/23 (a) | 2,838 | 2,739 | |||||
Term Loan C5, 4.13%, (3M LIBOR + 2.75%), 07/27/23 (a) | 89,399 | 86,270 | |||||
BellRing Brands, LLC | |||||||
Term Loan B, 6.00%, (1M LIBOR + 5.00%), 10/10/24 (a) | 58,500 | 58,098 | |||||
BJ's Wholesale Club, Inc. | |||||||
Term Loan B, 2.43%, (1M LIBOR + 2.25%), 01/26/24 (a) | 169,301 | 163,496 | |||||
CHG PPC Parent LLC | |||||||
2nd Lien Term Loan, 2.93%, (1M LIBOR + 2.75%), 03/16/25 (a) | 128,438 | 122,016 | |||||
Dole Food Company Inc. | |||||||
2020 Incremental Term Loan B, 3.75%, (1M LIBOR + 2.75%), 03/22/24 (a) | 100,953 | 97,925 | |||||
2020 Incremental Term Loan B1, 3.75%, (1M LIBOR + 2.75%), 03/22/24 (a) | 52,330 | 50,760 | |||||
Froneri International Ltd. | |||||||
2019 Term Loan, 2.43%, (1M LIBOR + 2.25%), 01/29/27 (a) | 159,600 | 149,725 | |||||
Hearthside Food Solutions, LLC | |||||||
2018 Term Loan B1, 3.87%, (1M LIBOR + 3.69%), 05/17/25 (a) | 109,283 | 103,682 | |||||
Hostess Brands, Inc. | |||||||
2018 Term Loan B, 3.00%, (1M LIBOR + 2.25%), 08/03/25 (a) | 87,071 | 83,849 | |||||
2018 Term Loan B, 3.01%, (3M LIBOR + 2.25%), 08/03/25 (a) | 234,612 | 225,931 | |||||
JBS USA Lux S.A. | |||||||
2018 Term Loan B, 3.07%, (3M LIBOR + 2.00%), 04/27/26 (a) | 323,598 | 308,363 | |||||
Portillo's Holdings, LLC | |||||||
2017 Term Loan B, 6.50%, (3M LIBOR + 5.50%), 08/02/24 (a) | 99,250 | 90,938 | |||||
Reynolds Consumer Products LLC | |||||||
2017 1st Lien Term Loan, 1.93%, (1M LIBOR + 1.75%), 01/30/27 (a) | 251,370 | 241,808 | |||||
Sigma Bidco B.V. | |||||||
2015 USD Term Loan, 4.45%, (3M LIBOR + 3.00%), 03/07/25 (a) | 177,468 | 169,608 | |||||
United Natural Foods, Inc. | |||||||
Term Loan B, 4.43%, (1M LIBOR + 4.25%), 10/22/25 (a) | 181,700 | 172,868 | |||||
US Foods, Inc. | |||||||
2016 Term Loan B, 1.93%, (1M LIBOR + 1.75%), 06/27/23 (a) | 195,516 | 183,332 | |||||
2019 Term Loan B, 3.07%, (3M LIBOR + 2.00%), 08/14/26 (a) | 99,500 | 92,431 | |||||
UTZ Quality Foods, LLC | |||||||
1st Lien Term Loan, 3.68%, (1M LIBOR + 3.50%), 11/14/24 (a) | 127,908 | 125,403 | |||||
Verscend Holding Corp. | |||||||
2018 Term Loan B, 4.68%, (1M LIBOR + 4.50%), 08/08/25 (a) | 221,585 | 213,663 | |||||
2,857,892 | |||||||
Utilities 1.8% | |||||||
Calpine Corporation | |||||||
Term Loan, 2.43%, (1M LIBOR + 2.25%), 05/23/22 - 03/22/26 (a) | 324,396 | 312,430 | |||||
Helix Gen Funding, LLC | |||||||
2018 Term Loan B, 4.75%, (1M LIBOR + 3.75%), 03/02/24 (a) | 130,211 | 125,104 | |||||
Pacific Gas And Electric Company | |||||||
2017 Term Loan B, 2.44%, (1M LIBOR + 2.25%), 12/31/20 (a) | 170,000 | 169,150 | |||||
2017 Term Loan B, 5.50%, (3M LIBOR + 4.50%), 06/18/25 (a) | 102,041 | 100,128 | |||||
Vistra Operations Company LLC | |||||||
1st Lien Term Loan B3, 1.93%, (1M LIBOR + 1.75%), 12/11/25 (a) | 171,747 | 165,490 | |||||
1st Lien Term Loan B3, 1.94%, (1M LIBOR + 1.75%), 12/11/25 (a) | 41,247 | 39,744 | |||||
912,046 | |||||||
Energy 0.9% | |||||||
EG America LLC | |||||||
2018 USD Term Loan, 5.07%, (3M LIBOR + 4.00%), 06/30/25 (a) | 172,548 | 161,621 | |||||
2019 USD Term Loan B5, 5.07%, (3M LIBOR + 4.00%), 06/30/25 (a) | 22,954 | 21,500 | |||||
EG Group Limited | |||||||
2019 USD Term Loan B2, 5.07%, (6M LIBOR + 4.00%), 02/01/25 (a) | 19,848 | 18,591 | |||||
Lower Cadence Holdings LLC | |||||||
2018 1st Lien Term Loan, 4.18%, (1M LIBOR + 4.00%), 05/10/26 (a) | 89,100 | 78,853 | |||||
Natgasoline LLC | |||||||
2018 1st Lien Term Loan, 4.31%, (3M LIBOR + 3.50%), 10/31/25 (a) | 143,436 | 137,698 | |||||
Summit Midstream Partners Holdings, LLC | |||||||
Term Loan B, 7.00%, (3M LIBOR + 6.00%), 05/15/22 (a) | 27,690 | 6,203 | |||||
Traverse Midstream Partners LLC | |||||||
2017 Term Loan, 5.00%, (1M LIBOR + 4.00%), 09/22/24 (a) | 70,780 | 58,659 | |||||
483,125 | |||||||
Real Estate 0.8% | |||||||
ESH Hospitality, Inc. | |||||||
2019 Term Loan B, 2.18%, (1M LIBOR + 2.00%), 09/18/26 (a) | 90,480 | 85,592 | |||||
VICI Properties 1 LLC | |||||||
Replacement Term Loan B, 1.94%, (1M LIBOR + 1.75%), 12/13/24 (a) | 320,000 | 297,562 | |||||
383,154 | |||||||
Total Senior Floating Rate Instruments (cost $49,424,495) | 46,545,399 | ||||||
CORPORATE BONDS AND NOTES 2.9% | |||||||
Communication Services 0.7% | |||||||
Diamond Sports Group, LLC | |||||||
5.38%, 08/15/26 (d) | 20,000 | 14,603 | |||||
iHeartCommunications, Inc. | |||||||
8.38%, 05/01/27 | 8,172 | 7,497 | |||||
Lamar Media Corp. | |||||||
4.88%, 01/15/29 (d) | 38,000 | 38,408 | |||||
Level 3 Financing, Inc. | |||||||
5.38%, 01/15/24 | 30,000 | 30,239 | |||||
Live Nation Entertainment, Inc. | |||||||
4.88%, 11/01/24 (d) | 30,000 | 27,015 | |||||
Neptune Finco Corp. | |||||||
10.88%, 10/15/25 (d) | 157,000 | 168,804 | |||||
Nexstar Escrow Inc. | |||||||
5.63%, 07/15/27 (d) | 8,000 | 7,990 | |||||
Sirius XM Radio Inc. | |||||||
5.50%, 07/01/29 (d) | 65,000 | 68,707 | |||||
363,263 | |||||||
Health Care 0.6% | |||||||
Bausch Health Companies Inc. | |||||||
6.13%, 04/15/25 (d) | 13,000 | 13,172 | |||||
5.50%, 11/01/25 (d) | 9,000 | 9,221 | |||||
8.50%, 01/31/27 (d) | 67,000 | 71,399 | |||||
5.75%, 08/15/27 (d) | 20,000 | 21,188 | |||||
6.25%, 02/15/29 (d) | 74,000 | 74,413 | |||||
Community Health Systems, Inc. | |||||||
8.63%, 01/15/24 (d) | 30,000 | 29,355 | |||||
Tenet Healthcare Corporation | |||||||
5.13%, 05/01/25 | 30,000 | 29,030 | |||||
4.63%, 06/15/28 (d) | 46,000 | 45,085 | |||||
292,863 | |||||||
Financials 0.3% | |||||||
Icahn Enterprises L.P. | |||||||
4.75%, 09/15/24 | 13,000 | 12,289 | |||||
6.25%, 05/15/26 | 18,000 | 17,997 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
17
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
James Hardie International Finance Designated Activity Company | |||||||
5.00%, 01/15/28 (d) | 10,000 | 10,291 | |||||
Springleaf Finance Corporation | |||||||
8.88%, 06/01/25 | 49,000 | 52,446 | |||||
7.13%, 03/15/26 | 65,000 | 67,249 | |||||
160,272 | |||||||
Energy 0.3% | |||||||
Cheniere Energy Partners, L.P. | |||||||
5.63%, 10/01/26 | 54,000 | 53,595 | |||||
Regency Energy Partners LP | |||||||
5.88%, 03/01/22 | 30,000 | 31,671 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (d) | 54,600 | 50,179 | |||||
135,445 | |||||||
Industrials 0.2% | |||||||
Aircastle Limited | |||||||
5.00%, 04/01/23 | 30,000 | 29,344 | |||||
Ashtead Capital, Inc. | |||||||
5.25%, 08/01/26 (d) | 93,000 | 97,613 | |||||
126,957 | |||||||
Consumer Staples 0.2% | |||||||
Energizer Holdings, Inc. | |||||||
7.75%, 01/15/27 (d) | 65,000 | 69,467 | |||||
JBS USA Food Company | |||||||
5.50%, 01/15/30 (d) | 35,000 | 35,854 | |||||
105,321 | |||||||
Materials 0.2% | |||||||
Ardagh Packaging Finance Public Limited Company | |||||||
6.00%, 02/15/25 (d) | 16,000 | 16,382 | |||||
FMG Resources (August 2006) Pty Ltd | |||||||
5.13%, 03/15/23 - 05/15/24 (d) | 57,000 | 58,941 | |||||
FXI Holdings, Inc. | |||||||
7.88%, 11/01/24 (d) | 31,000 | 26,986 | |||||
102,309 | |||||||
Utilities 0.2% | |||||||
Calpine Corporation | |||||||
5.25%, 06/01/26 (d) | 50,000 | 50,528 | |||||
The AES Corporation | |||||||
5.50%, 04/15/25 | 30,000 | 30,774 | |||||
81,302 | |||||||
Information Technology 0.1% | |||||||
Dell International L.L.C. | |||||||
5.30%, 10/01/29 (d) (e) | 50,000 | 55,245 | |||||
Real Estate 0.1% | |||||||
MGM Growth Properties Operating Partnership LP | |||||||
4.63%, 06/15/25 (d) | 45,000 | 44,292 | |||||
Consumer Discretionary 0.0% | |||||||
Eldorado Resorts, Inc. | |||||||
6.00%, 09/15/26 | 10,000 | 10,829 | |||||
Total Corporate Bonds And Notes (cost $1,478,780) | 1,478,098 | ||||||
INVESTMENT COMPANIES 2.5% | |||||||
Invesco Senior Loan ETF (f) | 18,000 | 384,300 | |||||
SPDR Blackstone/ GSO Senior Loan ETF | 20,600 | 893,628 | |||||
Total Investment Companies (cost $1,254,458) | 1,277,928 | ||||||
WARRANTS 0.0% | |||||||
iHeartMedia, Inc. (g) (h) | 703 | 5,283 | |||||
Total Warrants (cost $13,203) | 5,283 | ||||||
COMMON STOCKS 0.0% | |||||||
Communication Services 0.0% | |||||||
Clear Channel Outdoor Holdings, Inc. (g) | 1,875 | 1,950 | |||||
iHeartMedia, Inc. - Class A (f) (g) | 94 | 785 | |||||
2,735 | |||||||
Consumer Discretionary 0.0% | |||||||
Constellis Holdings, Inc. (b) (g) | 628 | 157 | |||||
Total Common Stocks (cost $11,179) | 2,892 | ||||||
SHORT TERM INVESTMENTS 4.5% | |||||||
Investment Companies 4.5% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.12% (i) | 2,331,144 | 2,331,144 | |||||
Total Short Term Investments (cost $2,331,144) | 2,331,144 | ||||||
Total Investments 100.9% (cost $54,513,259) | 51,640,744 | ||||||
Other Derivative Instruments 0.0% | 250 | ||||||
Other Assets and Liabilities, Net (0.9)% | (471,542) | ||||||
Total Net Assets 100.0% | 51,169,452 |
(a) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of June 30, 2020. 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) 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.
(c) This senior floating rate interest will settle after June 30, 2020. If a reference rate and spread is presented, it will go into effect upon settlement.
(d) The Adviser has deemed this security, which is exempt from registration under the Securities Act of 1933, as amended, to be liquid based on procedures approved by the Board of Trustees. As of June 30, 2020, the value and the percentage of net assets of these liquid securities was $1,105,138 and 2.2% of the Fund.
(e) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(f) All or a portion of the security was on loan as of June 30, 2020.
(g) Non-income producing security.
(h) Security fair valued in good faith as a Level 2 security in accordance with the procedures approved by the Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(i) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2020.
PPM Floating Rate Income Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (1) | September 2020 | (138,675) | 156 | (497) | ||||||||||
United States 5 Year Note | (3) | October 2020 | (376,394) | 94 | (833) | ||||||||||
250 | (1,330) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
18
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
PPM High Yield Core Fund | |||||||
CORPORATE BONDS AND NOTES 92.0% | |||||||
Communication Services 19.5% | |||||||
Altice Financing S.A. | |||||||
5.00%, 01/15/28 (a) | 102,000 | 101,338 | |||||
Altice France | |||||||
7.38%, 05/01/26 (a) | 460,000 | 479,024 | |||||
Altice France S.A. | |||||||
6.00%, 02/15/28 (a) | 84,000 | 79,408 | |||||
CB Escrow Corp. | |||||||
8.00%, 10/15/25 (a) | 220,000 | 228,950 | |||||
CCO Holdings, LLC | |||||||
5.50%, 05/01/26 (a) | 78,000 | 80,857 | |||||
5.13%, 05/01/27 (a) | 108,000 | 111,728 | |||||
5.88%, 04/01/24 - 05/01/27 (a) | 490,000 | 510,062 | |||||
5.00%, 02/01/28 (a) | 203,000 | 209,645 | |||||
5.38%, 06/01/29 (a) | 351,000 | 370,280 | |||||
CenturyLink, Inc. | |||||||
5.63%, 04/01/25 | 176,000 | 182,035 | |||||
5.13%, 12/15/26 (a) | 112,000 | 111,845 | |||||
4.00%, 02/15/27 (a) | 62,000 | 60,218 | |||||
7.60%, 09/15/39 | 24,000 | 25,832 | |||||
Clear Channel Worldwide Holdings, Inc. | |||||||
9.25%, 02/15/24 | 78,000 | 72,358 | |||||
Connect Finco SARL | |||||||
6.75%, 10/01/26 (a) | 136,000 | 128,496 | |||||
Consolidated Communications, Inc. | |||||||
6.50%, 10/01/22 (b) | 275,000 | 254,019 | |||||
CSC Holdings, LLC | |||||||
5.50%, 04/15/27 (a) | 478,000 | 496,729 | |||||
7.50%, 04/01/28 (a) | 300,000 | 327,300 | |||||
Diamond Sports Group, LLC | |||||||
5.38%, 08/15/26 (a) | 93,000 | 67,905 | |||||
6.63%, 08/15/27 (a) | 113,000 | 60,481 | |||||
DISH DBS Corporation | |||||||
5.00%, 03/15/23 | 122,000 | 121,898 | |||||
5.88%, 11/15/24 | 210,000 | 208,940 | |||||
7.75%, 07/01/26 (b) | 15,000 | 15,898 | |||||
Embarq Corporation | |||||||
8.00%, 06/01/36 | 77,000 | 86,517 | |||||
Frontier Communications Corporation | |||||||
8.50%, 04/01/26 | 173,000 | 163,781 | |||||
8.00%, 04/01/27 (a) | 102,000 | 103,601 | |||||
Hughes Satellite Systems Corporation | |||||||
6.63%, 08/01/26 | 299,000 | 311,895 | |||||
iHeartCommunications, Inc. | |||||||
6.38%, 05/01/26 | 38,565 | 38,419 | |||||
8.38%, 05/01/27 | 251,651 | 230,851 | |||||
5.25%, 08/15/27 (a) | 25,000 | 23,946 | |||||
4.75%, 01/15/28 (a) | 25,000 | 23,101 | |||||
Intelsat Jackson Holdings S.A. | |||||||
8.00%, 02/15/24 (a) | 125,000 | 126,752 | |||||
Lamar Media Corp. | |||||||
3.75%, 02/15/28 (a) | 22,000 | 20,845 | |||||
4.88%, 01/15/29 (a) | 63,000 | 63,676 | |||||
4.00%, 02/15/30 (a) | 11,000 | 10,560 | |||||
LCPR Senior Secured Financing Designated Activity Company | |||||||
6.75%, 10/15/27 (a) | 164,000 | 167,585 | |||||
Level 3 Financing, Inc. | |||||||
5.38%, 01/15/24 | 160,000 | 161,273 | |||||
4.63%, 09/15/27 (a) | 194,000 | 195,494 | |||||
Liberty Media Corporation | |||||||
8.25%, 02/01/30 | 155,000 | 151,714 | |||||
Live Nation Entertainment, Inc. | |||||||
4.88%, 11/01/24 (a) | 86,000 | 77,442 | |||||
6.50%, 05/15/27 (a) | 34,000 | 35,026 | |||||
MDC Partners Inc. | |||||||
6.50%, 05/01/24 (a) | 237,000 | 220,114 | |||||
Neptune Finco Corp. | |||||||
10.88%, 10/15/25 (a) | 47,000 | 50,534 | |||||
Netflix, Inc. | |||||||
4.38%, 11/15/26 | 169,000 | 175,841 | |||||
4.88%, 04/15/28 | 125,000 | 133,376 | |||||
5.88%, 11/15/28 | 226,000 | 257,168 | |||||
Nexstar Escrow Inc. | |||||||
5.63%, 07/15/27 (a) | 110,000 | 109,867 | |||||
Sirius XM Radio Inc. | |||||||
4.63%, 05/15/23 (a) | 52,000 | 52,400 | |||||
5.00%, 08/01/27 (a) | 333,000 | 340,911 | |||||
5.50%, 07/01/29 (a) | 51,000 | 53,908 | |||||
Sprint Capital Corporation | |||||||
6.88%, 11/15/28 | 159,000 | 193,921 | |||||
Sprint Communications, Inc. | |||||||
6.00%, 11/15/22 | 167,000 | 176,184 | |||||
Sprint Corporation | |||||||
7.88%, 09/15/23 | 25,000 | 28,185 | |||||
7.13%, 06/15/24 | 424,000 | 478,180 | |||||
7.63%, 03/01/26 | 25,000 | 29,527 | |||||
SSL Robotics LLC | |||||||
9.75%, 12/31/23 (a) | 55,000 | 58,912 | |||||
TEGNA Inc. | |||||||
5.00%, 09/15/29 (a) | 186,000 | 174,180 | |||||
Telecom Italia Capital | |||||||
6.00%, 09/30/34 | 166,000 | 180,578 | |||||
Telesat Canada | |||||||
6.50%, 10/15/27 (a) | 152,000 | 149,720 | |||||
Terrier Media Buyer, Inc. | |||||||
8.88%, 12/15/27 (a) | 213,000 | 204,812 | |||||
T-Mobile USA, Inc. | |||||||
6.00%, 03/01/23 | 152,000 | 152,914 | |||||
4.75%, 02/01/28 | 46,000 | 48,586 | |||||
Uber Technologies, Inc. | |||||||
7.50%, 05/15/25 - 09/15/27 (a) | 241,000 | 241,883 | |||||
Univision Communications Inc. | |||||||
5.13%, 05/15/23 (a) | 139,000 | 140,243 | |||||
6.63%, 06/01/27 (a) | 184,000 | 175,666 | |||||
Virgin Media Secured Finance PLC | |||||||
5.50%, 05/15/29 (a) | 51,000 | 53,411 | |||||
Zayo Group Holdings, Inc. | |||||||
4.00%, 03/01/27 (a) | 16,000 | 15,186 | |||||
6.13%, 03/01/28 (a) | 92,000 | 89,416 | |||||
10,283,347 | |||||||
Consumer Discretionary 13.1% | |||||||
Adient Global Holdings Ltd | |||||||
4.88%, 08/15/26 (a) (b) | 182,000 | 150,820 | |||||
Adient US LLC | |||||||
9.00%, 04/15/25 (a) | 36,000 | 38,794 | |||||
Allied Universal Holdco LLC | |||||||
6.63%, 07/15/26 (a) | 71,000 | 74,510 | |||||
9.75%, 07/15/27 (a) | 79,000 | 83,229 | |||||
Aramark Services, Inc. | |||||||
6.38%, 05/01/25 (a) | 30,000 | 30,976 | |||||
4.75%, 06/01/26 | 152,000 | 147,631 | |||||
Asbury Automotive Group, Inc. | |||||||
4.50%, 03/01/28 (a) | 17,000 | 16,493 | |||||
4.75%, 03/01/30 (a) | 17,000 | 16,577 | |||||
Beazer Homes USA, Inc. | |||||||
6.75%, 03/15/25 | 75,000 | 73,766 | |||||
5.88%, 10/15/27 | 43,000 | 41,071 | |||||
7.25%, 10/15/29 | 47,000 | 45,462 | |||||
Boyd Gaming Corporation | |||||||
8.63%, 06/01/25 (a) | 70,000 | 73,182 | |||||
6.38%, 04/01/26 | 191,000 | 181,516 | |||||
Carnival Corporation | |||||||
11.50%, 04/01/23 (a) | 102,000 | 110,370 | |||||
Churchill Downs Incorporated | |||||||
4.75%, 01/15/28 (a) | 45,000 | 43,162 | |||||
Colt Merger Sub, Inc. | |||||||
5.75%, 07/01/25 (a) | 46,000 | 46,260 | |||||
Dana Corporation | |||||||
5.38%, 11/15/27 | 35,000 | 34,765 | |||||
5.63%, 06/15/28 | 23,000 | 22,816 | |||||
Delta Air Lines, Inc. | |||||||
7.00%, 05/01/25 (a) | 164,000 | 169,330 | |||||
Eldorado Resorts, Inc. | |||||||
8.13%, 07/01/27 (a) | 176,000 | 171,160 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
19
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Fiat Chrysler Automobiles N.V. | |||||||
5.25%, 04/15/23 | 94,000 | 97,151 | |||||
Ford Motor Company | |||||||
8.50%, 04/21/23 | 64,000 | 67,667 | |||||
9.00%, 04/22/25 | 64,000 | 69,202 | |||||
4.35%, 12/08/26 (b) | 72,000 | 67,140 | |||||
6.63%, 10/01/28 | 83,000 | 83,159 | |||||
9.63%, 04/22/30 (b) | 64,000 | 75,863 | |||||
7.45%, 07/16/31 | 79,000 | 83,196 | |||||
General Motors Company | |||||||
6.13%, 10/01/25 | 25,000 | 28,089 | |||||
6.80%, 10/01/27 | 36,000 | 41,859 | |||||
Hilton Domestic Operating Company Inc. | |||||||
4.25%, 09/01/24 | 56,000 | 54,187 | |||||
5.38%, 05/01/25 (a) | 32,000 | 32,000 | |||||
5.75%, 05/01/28 (a) | 32,000 | 32,430 | |||||
Hyatt Hotels Corporation | |||||||
5.38%, 04/23/25 (c) | 16,000 | 16,929 | |||||
IHOL Verwaltungs GmbH | |||||||
6.38%, 05/15/29 (a) (d) | 41,000 | 41,682 | |||||
IRB Holding Corp. | |||||||
7.00%, 06/15/25 (a) | 90,000 | 92,685 | |||||
Jaguar Land Rover Automotive PLC | |||||||
5.63%, 02/01/23 (a) (b) | 28,000 | 25,892 | |||||
KB Home | |||||||
7.63%, 05/15/23 | 201,000 | 219,062 | |||||
4.80%, 11/15/29 | 181,000 | 177,762 | |||||
L Brands, Inc. | |||||||
6.88%, 07/01/25 (a) | 46,000 | 47,474 | |||||
9.38%, 07/01/25 (a) | 36,000 | 36,159 | |||||
7.50%, 06/15/29 | 305,000 | 268,065 | |||||
M.D.C. Holdings, Inc. | |||||||
3.85%, 01/15/30 | 140,000 | 134,566 | |||||
6.00%, 01/15/43 | 80,000 | 84,223 | |||||
Macy's, Inc. | |||||||
8.38%, 06/15/25 (a) | 130,000 | 129,445 | |||||
Marriott International, Inc. | |||||||
5.75%, 05/01/25 (c) | 109,000 | 118,643 | |||||
Marriott Ownership Resorts, Inc. | |||||||
6.13%, 09/15/25 (a) | 51,000 | 52,094 | |||||
6.50%, 09/15/26 | 90,000 | 90,956 | |||||
4.75%, 01/15/28 (a) | 64,000 | 58,357 | |||||
Mattel, Inc. | |||||||
6.75%, 12/31/25 (a) | 52,000 | 53,934 | |||||
5.88%, 12/15/27 (a) | 164,000 | 169,012 | |||||
MCE Finance Limited | |||||||
5.38%, 12/04/29 (a) | 79,000 | 78,817 | |||||
MGM Resorts International | |||||||
5.75%, 06/15/25 | 82,000 | 81,455 | |||||
5.50%, 04/15/27 | 82,000 | 79,122 | |||||
Mileage Plus Holdings LLC | |||||||
6.50%, 06/20/27 (a) | 34,053 | 34,088 | |||||
New Golden Nugget Inc. | |||||||
8.75%, 10/01/25 (a) | 70,000 | 41,173 | |||||
Newell Brands Inc. | |||||||
4.88%, 06/01/25 | 44,000 | 46,050 | |||||
4.70%, 04/01/26 (c) | 131,000 | 137,473 | |||||
PetSmart, Inc. | |||||||
5.88%, 06/01/25 (a) | 217,000 | 217,763 | |||||
Picasso Finance Sub, Inc. | |||||||
6.13%, 06/15/25 (a) | 53,000 | 53,974 | |||||
QVC, Inc. | |||||||
4.75%, 02/15/27 | 37,000 | 35,779 | |||||
Restaurant Brands International Limited Partnership | |||||||
5.00%, 10/15/25 (a) | 250,000 | 248,689 | |||||
Royal Caribbean Cruises Ltd. | |||||||
10.88%, 06/01/23 (a) | 76,000 | 77,648 | |||||
Sally Holdings, LLC | |||||||
5.63%, 12/01/25 | 77,000 | 74,781 | |||||
Scientific Games International, Inc. | |||||||
5.00%, 10/15/25 (a) | 107,000 | 99,280 | |||||
8.25%, 03/15/26 (a) | 246,000 | 218,305 | |||||
7.00%, 05/15/28 (a) | 38,000 | 30,339 | |||||
Shea Homes Limited Partnership, A California Limited Partnership | |||||||
4.75%, 02/15/28 (a) | 140,000 | 132,453 | |||||
Staples, Inc. | |||||||
7.50%, 04/15/26 (a) | 122,000 | 95,978 | |||||
10.75%, 04/15/27 (a) | 209,000 | 127,268 | |||||
Stars Group Holdings B.V. | |||||||
7.00%, 07/15/26 (a) | 136,000 | 143,443 | |||||
Station Casinos LLC | |||||||
4.50%, 02/15/28 (a) | 108,000 | 90,692 | |||||
Stena International S.A R.L. | |||||||
6.13%, 02/01/25 (a) | 142,000 | 132,530 | |||||
Taylor Morrison Communities, Inc. | |||||||
5.88%, 06/15/27 (a) | 73,000 | 75,809 | |||||
Viking Cruises Limited | |||||||
5.88%, 09/15/27 (a) | 36,000 | 21,474 | |||||
VOC Escrow Ltd. | |||||||
5.00%, 02/15/28 (a) | 187,000 | 140,817 | |||||
Williams Scotsman International, Inc. | |||||||
6.88%, 08/15/23 (a) | 119,000 | 122,692 | |||||
Wyndham Destinations, Inc. | |||||||
5.40%, 04/01/24 (e) | 100,000 | 96,442 | |||||
5.75%, 04/01/27 (c) | 65,000 | 63,226 | |||||
6,918,333 | |||||||
Financials 11.7% | |||||||
Advisor Group Holdings, Inc. | |||||||
10.75%, 08/01/27 (a) | 38,000 | 37,800 | |||||
AerCap Ireland Capital Designated Activity Company | |||||||
2.88%, 08/14/24 | 76,000 | 71,807 | |||||
Avolon Holdings Funding Limited | |||||||
3.25%, 02/15/27 (a) | 138,000 | 112,373 | |||||
CIT Group Inc. | |||||||
4.75%, 02/16/24 | 186,000 | 188,500 | |||||
5.25%, 03/07/25 | 19,000 | 19,708 | |||||
Citigroup Inc. | |||||||
5.00%, (callable at 100 beginning 09/12/24) (f) | 166,000 | 155,818 | |||||
Commscope Finance LLC | |||||||
6.00%, 03/01/26 (a) | 95,000 | 97,342 | |||||
8.25%, 03/01/27 (a) | 93,000 | 95,527 | |||||
Credit Suisse Group AG | |||||||
6.25%, (callable at 100 beginning 12/18/24) (a) (f) | 250,000 | 261,563 | |||||
Diamond Finance International Limited | |||||||
5.88%, 06/15/21 (a) | 94,000 | 94,019 | |||||
7.13%, 06/15/24 (a) | 87,000 | 90,254 | |||||
6.02%, 06/15/26 (a) | 164,000 | 187,616 | |||||
eG Global Finance PLC | |||||||
8.50%, 10/30/25 (a) | 86,000 | 88,392 | |||||
Ford Motor Credit Company LLC | |||||||
3.20%, 01/15/21 | 66,000 | 65,093 | |||||
5.60%, 01/07/22 | 63,000 | 63,355 | |||||
3.09%, 01/09/23 | 200,000 | 190,500 | |||||
3.10%, 05/04/23 | 136,000 | 128,887 | |||||
3.66%, 09/08/24 | 66,000 | 62,203 | |||||
4.06%, 11/01/24 | 68,000 | 64,835 | |||||
5.13%, 06/16/25 | 132,000 | 131,868 | |||||
General Motors Financial Company, Inc. | |||||||
5.20%, 03/20/23 | 75,000 | 80,148 | |||||
HUB International Limited | |||||||
7.00%, 05/01/26 (a) | 129,000 | 128,974 | |||||
Icahn Enterprises L.P. | |||||||
4.75%, 09/15/24 | 187,000 | 176,777 | |||||
6.25%, 05/15/26 | 259,000 | 258,956 | |||||
5.25%, 05/15/27 | 35,000 | 33,773 | |||||
IHS Luxembourg S.A R.L. | |||||||
5.75%, 04/15/25 (a) | 35,000 | 35,533 | |||||
6.50%, 06/01/26 (a) (b) | 125,000 | 129,508 | |||||
James Hardie International Finance Designated Activity Company | |||||||
5.00%, 01/15/28 (a) | 78,000 | 80,273 | |||||
JPMorgan Chase & Co. | |||||||
4.49%, (callable at 100 beginning 11/01/20) (f) | 282,000 | 265,179 | |||||
4.60%, (callable at 100 beginning 02/01/25) (f) | 44,000 | 39,215 | |||||
5.00%, (callable at 100 beginning 08/01/24) (f) | 80,000 | 77,140 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
20
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Lions Gate Capital Holdings LLC | |||||||
6.38%, 02/01/24 (a) | 28,000 | 27,284 | |||||
5.88%, 11/01/24 (a) | 56,000 | 53,756 | |||||
Lloyds Banking Group PLC | |||||||
7.50%, (callable at 100 beginning 09/27/25) (f) | 81,000 | 84,645 | |||||
LPL Holdings, Inc. | |||||||
4.63%, 11/15/27 (a) | 93,000 | 92,225 | |||||
Markel Corporation | |||||||
6.00%, (callable at 100 beginning 06/01/25) (f) | 129,000 | 131,144 | |||||
Morgan Stanley | |||||||
5.55%, (callable at 100 beginning 07/15/20) (f) | 88,000 | 80,682 | |||||
Navient Corporation | |||||||
7.25%, 09/25/23 | 140,000 | 136,795 | |||||
5.88%, 10/25/24 | 82,000 | 77,043 | |||||
6.75%, 06/15/26 | 84,000 | 78,120 | |||||
Nesco Holdings, Inc. | |||||||
10.00%, 08/01/24 (a) | 19,000 | 18,958 | |||||
Nordic Aviation Capital DAC | |||||||
3.79%, 02/27/23 (g) (h) | 80,000 | 60,400 | |||||
5.83%, 03/14/26 (g) (h) | 125,000 | 89,375 | |||||
Rassman, Joel H. | |||||||
3.80%, 11/01/29 | 239,000 | 240,292 | |||||
Resideo Funding Inc. | |||||||
6.13%, 11/01/26 (a) | 44,000 | 42,964 | |||||
Springleaf Finance Corporation | |||||||
6.13%, 03/15/24 | 73,000 | 74,097 | |||||
8.88%, 06/01/25 | 51,000 | 54,587 | |||||
7.13%, 03/15/26 | 155,000 | 160,363 | |||||
6.63%, 01/15/28 | 63,000 | 62,258 | |||||
Syngenta Finance N.V. | |||||||
3.93%, 04/23/21 (a) | 53,000 | 53,344 | |||||
4.44%, 04/24/23 (a) | 28,000 | 29,353 | |||||
Telenet Finance Luxembourg Notes S.A R.L. | |||||||
5.50%, 03/01/28 (a) | 200,000 | 208,500 | |||||
The Goldman Sachs Group, Inc. | |||||||
3.50%, 04/01/25 | 112,000 | 122,825 | |||||
USA Compression Finance Corp. | |||||||
6.88%, 04/01/26 - 09/01/27 | 231,000 | 220,375 | |||||
ZF North America Capital, Inc. | |||||||
4.50%, 04/29/22 (a) | 125,000 | 128,483 | |||||
Ziggo B.V. | |||||||
4.88%, 01/15/30 (a) | 200,000 | 199,000 | |||||
Ziggo Bond Finance B.V. | |||||||
6.00%, 01/15/27 (a) | 103,000 | 104,374 | |||||
6,144,178 | |||||||
Energy 11.5% | |||||||
Antero Midstream Partners LP | |||||||
5.38%, 09/15/24 | 65,000 | 55,430 | |||||
5.75%, 03/01/27 - 01/15/28 (a) | 127,000 | 101,764 | |||||
Antero Resources Corp. | |||||||
5.00%, 03/01/25 (b) | 83,000 | 49,276 | |||||
Archrock Partners, L.P. | |||||||
6.25%, 04/01/28 (a) | 60,000 | 55,248 | |||||
Ascent Resources - Utica, LLC | |||||||
10.00%, 04/01/22 (a) | 126,000 | 108,321 | |||||
7.00%, 11/01/26 (a) | 70,000 | 45,418 | |||||
Baytex Energy Corp. | |||||||
8.75%, 04/01/27 (a) | 62,000 | 30,840 | |||||
Buckeye Partners, L.P. | |||||||
4.50%, 03/01/28 (a) | 97,000 | 91,180 | |||||
5.85%, 11/15/43 | 24,000 | 20,858 | |||||
5.60%, 10/15/44 | 19,000 | 15,645 | |||||
Callon Petroleum Company | |||||||
6.38%, 07/01/26 | 162,000 | 55,023 | |||||
Cenovus Energy Inc. | |||||||
6.75%, 11/15/39 | 78,000 | 76,301 | |||||
5.40%, 06/15/47 | 76,000 | 65,383 | |||||
Chaparral Energy, Inc. | |||||||
8.75%, 07/15/23 (a) | 124,000 | 11,517 | |||||
Cheniere Corpus Christi Holdings, LLC | |||||||
5.13%, 06/30/27 | 76,000 | 83,395 | |||||
Cheniere Energy Partners, L.P. | |||||||
5.25%, 10/01/25 | 119,000 | 118,579 | |||||
5.63%, 10/01/26 | 248,000 | 246,139 | |||||
4.50%, 10/01/29 | 55,000 | 53,625 | |||||
CNX Resources Corporation | |||||||
7.25%, 03/14/27 (a) (b) | 85,000 | 78,214 | |||||
Comstock Resources, Inc. | |||||||
9.75%, 08/15/26 | 96,000 | 89,578 | |||||
Continental Resources, Inc. | |||||||
4.50%, 04/15/23 | 120,000 | 114,661 | |||||
3.80%, 06/01/24 | 211,000 | 199,131 | |||||
Diamondback Energy, Inc. | |||||||
4.75%, 05/31/25 | 22,000 | 23,524 | |||||
Endeavor Energy Resources, L.P. | |||||||
6.63%, 07/15/25 (a) | 5,000 | 5,039 | |||||
5.50%, 01/30/26 (a) | 81,000 | 77,721 | |||||
5.75%, 01/30/28 (a) | 93,000 | 89,594 | |||||
Energy Transfer LP | |||||||
6.63%, (callable at 100 beginning 02/15/28) (f) | 42,000 | 33,180 | |||||
6.75%, (callable at 100 beginning 05/15/25) (f) | 139,000 | 118,055 | |||||
7.13%, (callable at 100 beginning 05/15/30) (f) | 62,000 | 53,196 | |||||
5.25%, 04/15/29 | 94,000 | 102,600 | |||||
Enlink Midstream, LLC | |||||||
5.38%, 06/01/29 | 52,000 | 39,014 | |||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 163,000 | 149,145 | |||||
6.50%, 07/01/27 (a) | 77,000 | 78,830 | |||||
EQT Corporation | |||||||
6.13%, 02/01/25 (b) (c) | 115,000 | 114,600 | |||||
7.00%, 02/01/30 (c) | 55,000 | 56,628 | |||||
Everest Acquisition, LLC | |||||||
0.00%, 11/29/24 (a) (i) (j) | 55,000 | 955 | |||||
Hess Midstream Operations LP | |||||||
5.13%, 06/15/28 (a) | 46,000 | 44,245 | |||||
MEG Energy Corp. | |||||||
6.50%, 01/15/25 (a) | 81,000 | 75,515 | |||||
7.13%, 02/01/27 (a) | 143,000 | 118,791 | |||||
Murphy Oil Corporation | |||||||
5.75%, 08/15/25 | 90,000 | 81,272 | |||||
Newfield Exploration Co. | |||||||
5.63%, 07/01/24 | 149,000 | 141,552 | |||||
Noble Corporation | |||||||
7.88%, 02/01/26 (a) | 106,000 | 25,290 | |||||
NuStar Logistics, L.P. | |||||||
6.75%, 02/01/21 | 133,000 | 132,335 | |||||
Occidental Petroleum Corporation | |||||||
2.70%, 02/15/23 | 96,000 | 87,240 | |||||
6.95%, 07/01/24 | 198,000 | 193,889 | |||||
2.90%, 08/15/24 | 108,000 | 92,340 | |||||
3.20%, 08/15/26 | 139,000 | 112,353 | |||||
8.88%, 07/15/30 | 80,000 | 80,056 | |||||
7.50%, 05/01/31 | 100,000 | 92,991 | |||||
6.45%, 09/15/36 | 234,000 | 201,600 | |||||
4.30%, 08/15/39 | 168,000 | 115,871 | |||||
Parsley Energy, LLC | |||||||
5.25%, 08/15/25 (a) | 74,000 | 71,049 | |||||
PBF Holding Company LLC | |||||||
6.00%, 02/15/28 (a) | 85,000 | 71,159 | |||||
SM Energy Company | |||||||
6.63%, 01/15/27 | 246,000 | 121,496 | |||||
Southwestern Energy Company | |||||||
7.50%, 04/01/26 (b) | 98,000 | 85,850 | |||||
7.75%, 10/01/27 | 90,000 | 78,693 | |||||
Targa Resource Corporation | |||||||
5.13%, 02/01/25 | 165,000 | 158,643 | |||||
5.00%, 01/15/28 | 167,000 | 156,976 | |||||
5.50%, 03/01/30 (a) | 228,000 | 219,452 | |||||
Transocean Inc | |||||||
7.50%, 01/15/26 (a) | 203,000 | 110,642 | |||||
Transocean Poseidon Limited | |||||||
6.88%, 02/01/27 (a) | 126,000 | 111,243 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (a) | 182,000 | 167,264 | |||||
Valaris PLC | |||||||
7.75%, 02/01/26 | 91,000 | 6,790 | |||||
Viper Energy Partners LP | |||||||
5.38%, 11/01/27 (a) (b) | 44,000 | 43,065 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
21
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Western Midstream Operating, LP | |||||||
5.25%, 02/01/50 (c) | 168,000 | 145,480 | |||||
WPX Energy, Inc. | |||||||
5.25%, 09/15/24 | 54,000 | 53,372 | |||||
5.88%, 06/15/28 | 57,000 | 54,586 | |||||
4.50%, 01/15/30 | 101,000 | 89,191 | |||||
6,047,898 | |||||||
Health Care 10.4% | |||||||
Bausch Health Companies Inc. | |||||||
6.13%, 04/15/25 (a) | 255,000 | 258,364 | |||||
5.50%, 11/01/25 (a) | 69,000 | 70,694 | |||||
8.50%, 01/31/27 (a) | 552,000 | 588,242 | |||||
5.75%, 08/15/27 (a) | 166,000 | 175,864 | |||||
7.00%, 01/15/28 (a) | 51,000 | 52,589 | |||||
5.00%, 01/30/28 (a) | 40,000 | 37,692 | |||||
6.25%, 02/15/29 (a) | 50,000 | 50,279 | |||||
Catalent Pharma Solutions, Inc. | |||||||
5.00%, 07/15/27 (a) | 15,000 | 15,581 | |||||
Centene Corporation | |||||||
5.25%, 04/01/25 (a) | 389,000 | 400,553 | |||||
5.38%, 08/15/26 (a) | 48,000 | 49,930 | |||||
4.25%, 12/15/27 | 130,000 | 134,148 | |||||
4.63%, 12/15/29 | 128,000 | 135,040 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (a) | 181,000 | 188,369 | |||||
Community Health Systems, Inc. | |||||||
6.25%, 03/31/23 | 27,000 | 25,434 | |||||
8.63%, 01/15/24 (a) | 100,000 | 97,851 | |||||
6.63%, 02/15/25 (a) | 130,000 | 123,971 | |||||
8.00%, 03/15/26 (a) | 132,000 | 124,791 | |||||
Endo Designated Activity Company | |||||||
9.50%, 07/31/27 (a) | 118,000 | 124,373 | |||||
6.00%, 06/30/28 (a) | 118,000 | 76,110 | |||||
HCA Inc. | |||||||
5.25%, 06/15/26 | 182,000 | 209,452 | |||||
5.38%, 09/01/26 | 47,000 | 51,116 | |||||
4.50%, 02/15/27 | 267,000 | 297,188 | |||||
3.50%, 09/01/30 | 329,000 | 315,375 | |||||
5.13%, 06/15/39 | 54,000 | 62,840 | |||||
IQVIA Inc. | |||||||
5.00%, 05/15/27 (a) | 125,000 | 127,503 | |||||
Mednax, Inc. | |||||||
6.25%, 01/15/27 (a) | 117,000 | 117,000 | |||||
Molina Healthcare, Inc. | |||||||
4.38%, 06/15/28 (a) | 21,000 | 21,058 | |||||
MPH Acquisition Holdings LLC | |||||||
7.13%, 06/01/24 (a) | 149,000 | 138,555 | |||||
Ortho-Clinical Diagnostics, Inc. | |||||||
7.38%, 06/01/25 (a) | 58,000 | 59,029 | |||||
7.25%, 02/01/28 (a) | 45,000 | 45,692 | |||||
Par Pharmaceutical, Inc. | |||||||
7.50%, 04/01/27 (a) | 89,000 | 91,257 | |||||
Polaris Intermediate School | |||||||
8.50%, 12/01/22 (a) (d) | 160,000 | 140,947 | |||||
Tenet Healthcare Corporation | |||||||
8.13%, 04/01/22 | 204,000 | 213,697 | |||||
6.75%, 06/15/23 | 131,000 | 129,999 | |||||
4.63%, 07/15/24 | 104,000 | 101,868 | |||||
7.50%, 04/01/25 (a) | 118,000 | 125,269 | |||||
7.00%, 08/01/25 (b) | 53,000 | 52,061 | |||||
4.88%, 01/01/26 (a) | 254,000 | 248,881 | |||||
5.13%, 11/01/27 (a) | 183,000 | 181,030 | |||||
4.63%, 06/15/28 (a) | 47,000 | 46,065 | |||||
5,505,757 | |||||||
Industrials 7.7% | |||||||
Aircastle Limited | |||||||
4.25%, 06/15/26 | 313,000 | 287,093 | |||||
American Airlines, Inc. | |||||||
11.75%, 07/15/25 (a) | 135,000 | 126,794 | |||||
Ashtead Capital, Inc. | |||||||
4.13%, 08/15/25 (a) | 33,000 | 33,660 | |||||
5.25%, 08/01/26 (a) | 139,000 | 145,895 | |||||
4.00%, 05/01/28 (a) | 9,000 | 9,000 | |||||
Bombardier Inc. | |||||||
7.50%, 03/15/25 (a) | 182,000 | 118,593 | |||||
Builders FirstSource, Inc. | |||||||
6.75%, 06/01/27 (a) | 53,000 | 54,249 | |||||
Cargo Aircraft Management, Inc. | |||||||
4.75%, 02/01/28 (a) | 192,000 | 190,675 | |||||
Foxtrot Escrow Issuer LLC | |||||||
12.25%, 11/15/26 (a) | 148,000 | 143,624 | |||||
General Electric Company | |||||||
5.00%, (callable at 100 beginning 01/21/21) (f) | 53,000 | 41,610 | |||||
3.45%, 05/01/27 | 22,000 | 22,561 | |||||
Howmet Aerospace Inc. | |||||||
6.88%, 05/01/25 | 108,000 | 117,316 | |||||
Masonite International Corporation | |||||||
5.38%, 02/01/28 (a) | 60,000 | 61,421 | |||||
Meritor, Inc. | |||||||
6.25%, 06/01/25 (a) | 46,000 | 46,620 | |||||
Navistar International Corporation | |||||||
6.63%, 11/01/25 (a) | 200,000 | 189,629 | |||||
Park Aerospace Holdings Limited | |||||||
5.25%, 08/15/22 (a) | 55,000 | 51,529 | |||||
4.50%, 03/15/23 (a) | 45,000 | 41,100 | |||||
Prime Security Services Borrower, LLC | |||||||
5.25%, 04/15/24 (a) | 52,000 | 53,252 | |||||
5.75%, 04/15/26 (a) | 278,000 | 288,163 | |||||
Reynolds Group Holdings Inc. | |||||||
5.13%, 07/15/23 (a) | 276,000 | 277,622 | |||||
7.00%, 07/15/24 (a) | 50,000 | 50,218 | |||||
Sensata Technologies B.V. | |||||||
5.00%, 10/01/25 (a) | 125,000 | 133,115 | |||||
Standard Industries Inc. | |||||||
4.75%, 01/15/28 (a) | 170,000 | 172,338 | |||||
Tempo Acquisition, LLC | |||||||
5.75%, 06/01/25 (a) | 75,000 | 76,837 | |||||
6.75%, 06/01/25 (a) | 119,000 | 120,692 | |||||
TransDigm Inc. | |||||||
8.00%, 12/15/25 (a) | 34,000 | 35,710 | |||||
6.25%, 03/15/26 (a) | 389,000 | 389,140 | |||||
5.50%, 11/15/27 | 110,000 | 95,987 | |||||
TransDigm UK Holdings PLC | |||||||
6.88%, 05/15/26 | 51,000 | 47,506 | |||||
United Rentals (North America), Inc. | |||||||
3.88%, 11/15/27 | 356,000 | 354,877 | |||||
Univar Solutions USA Inc. | |||||||
5.13%, 12/01/27 (a) | 35,000 | 35,361 | |||||
Watco Companies, L.L.C. | |||||||
6.50%, 06/15/27 (a) | 128,000 | 131,131 | |||||
WESCO Distribution, Inc. | |||||||
7.13%, 06/15/25 (a) | 68,000 | 71,703 | |||||
7.25%, 06/15/28 (a) | 54,000 | 56,916 | |||||
4,071,937 | |||||||
Materials 6.3% | |||||||
ARD Finance S.A. | |||||||
6.50%, 06/30/27 (a) (d) | 137,000 | 135,662 | |||||
Ardagh Packaging Finance Public Limited Company | |||||||
5.25%, 08/15/27 (a) | 270,000 | 265,099 | |||||
Berry Global Escrow Corporation | |||||||
4.88%, 07/15/26 (a) | 195,000 | 197,803 | |||||
Berry Global, Inc. | |||||||
5.13%, 07/15/23 | 125,000 | 125,824 | |||||
Cascades Inc. | |||||||
5.13%, 01/15/26 (a) | 23,000 | 23,422 | |||||
5.38%, 01/15/28 (a) | 31,000 | 31,607 | |||||
CEMEX S.A.B. de C.V. | |||||||
5.70%, 01/11/25 (a) | 30,000 | 29,109 | |||||
5.45%, 11/19/29 (a) | 338,000 | 312,603 | |||||
CF Industries, Inc. | |||||||
5.38%, 03/15/44 | 50,000 | 54,124 | |||||
Cleveland-Cliffs Inc. | |||||||
6.75%, 03/15/26 (a) | 36,000 | 34,885 | |||||
5.88%, 06/01/27 (b) | 69,000 | 56,924 | |||||
Flex Acquisition Company, Inc. | |||||||
7.88%, 07/15/26 (a) | 80,000 | 77,536 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
22
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
FMG Resources (August 2006) Pty Ltd | |||||||
5.13%, 03/15/23 (a) | 174,000 | 179,394 | |||||
5.13%, 05/15/24 (a) (b) | 141,000 | 146,281 | |||||
Freeport-McMoRan Inc. | |||||||
4.55%, 11/14/24 | 74,000 | 75,248 | |||||
5.00%, 09/01/27 | 117,000 | 117,683 | |||||
5.40%, 11/14/34 | 217,000 | 218,904 | |||||
5.45%, 03/15/43 | 44,000 | 43,251 | |||||
FXI Holdings, Inc. | |||||||
7.88%, 11/01/24 (a) | 51,000 | 44,396 | |||||
Mauser Packaging Solutions Holding Company | |||||||
7.25%, 04/15/25 (a) | 139,000 | 125,855 | |||||
Mercer International Inc. | |||||||
7.38%, 01/15/25 | 132,000 | 131,932 | |||||
NOVA Chemicals Corporation | |||||||
4.88%, 06/01/24 (a) | 128,000 | 119,103 | |||||
5.25%, 08/01/23 - 06/01/27 (a) | 186,000 | 168,491 | |||||
Novelis Corporation | |||||||
4.75%, 01/30/30 (a) | 85,000 | 81,204 | |||||
PolyOne Corporation | |||||||
5.75%, 05/15/25 (a) | 92,000 | 94,679 | |||||
Sealed Air Corporation | |||||||
4.00%, 12/01/27 (a) | 116,000 | 115,991 | |||||
Silgan Holdings Inc. | |||||||
4.13%, 02/01/28 (a) | 101,000 | 100,323 | |||||
The Chemours Company | |||||||
6.63%, 05/15/23 | 96,000 | 91,888 | |||||
5.38%, 05/15/27 | 88,000 | 79,740 | |||||
United States Steel Corporation | |||||||
12.00%, 06/01/25 (a) | 60,000 | 61,481 | |||||
3,340,442 | |||||||
Consumer Staples 5.1% | |||||||
Albertsons Companies, Inc. | |||||||
6.63%, 06/15/24 | 125,000 | 129,049 | |||||
5.75%, 03/15/25 | 50,000 | 51,070 | |||||
Cott Holdings Inc. | |||||||
5.50%, 04/01/25 (a) | 161,000 | 162,119 | |||||
Edgewell Personal Care Colombia S A S | |||||||
5.50%, 06/01/28 (a) | 47,000 | 48,379 | |||||
Energizer Holdings, Inc. | |||||||
6.38%, 07/15/26 (a) | 88,000 | 91,017 | |||||
JBS Investments II GmbH | |||||||
5.75%, 01/15/28 (a) | 297,000 | 300,063 | |||||
JBS USA Food Company | |||||||
6.50%, 04/15/29 (a) | 96,000 | 101,820 | |||||
Kraft Foods Group, Inc. | |||||||
5.00%, 06/04/42 | 122,000 | 126,630 | |||||
Kraft Heinz Foods Company | |||||||
3.88%, 05/15/27 (a) | 89,000 | 93,007 | |||||
4.25%, 03/01/31 (a) | 89,000 | 94,183 | |||||
4.63%, 10/01/39 (a) | 218,000 | 218,466 | |||||
4.88%, 10/01/49 (a) | 153,000 | 157,068 | |||||
Matterhorn Merger Sub, LLC | |||||||
8.50%, 06/01/26 (a) | 72,000 | 67,459 | |||||
Performance Food Group, Inc. | |||||||
6.88%, 05/01/25 (a) | 12,000 | 12,519 | |||||
Pilgrim's Pride Corporation | |||||||
5.75%, 03/15/25 (a) | 159,000 | 158,518 | |||||
5.88%, 09/30/27 (a) | 104,000 | 104,057 | |||||
Post Holdings, Inc. | |||||||
5.63%, 01/15/28 (a) | 142,000 | 146,633 | |||||
4.63%, 04/15/30 (a) | 77,000 | 75,636 | |||||
Safeway Inc. | |||||||
5.88%, 02/15/28 (a) | 157,000 | 161,954 | |||||
Sigma Holdco B.V. | |||||||
7.88%, 05/15/26 (a) | 181,000 | 180,075 | |||||
Spectrum Brands, Inc. | |||||||
5.75%, 07/15/25 | 49,000 | 50,268 | |||||
Verscend Holding Corp. | |||||||
9.75%, 08/15/26 (a) | 147,000 | 158,378 | |||||
2,688,368 | |||||||
Information Technology 3.5% | |||||||
ams AG | |||||||
7.00%, 07/31/25 (a) | 80,000 | 79,800 | |||||
Banff Merger Sub Inc. | |||||||
9.75%, 09/01/26 (a) | 51,000 | 51,376 | |||||
Boxer Parent Company Inc. | |||||||
7.13%, 10/02/25 (a) | 46,000 | 48,252 | |||||
CommScope Holding Company, Inc. | |||||||
6.00%, 06/15/25 (a) | 34,000 | 32,801 | |||||
Commscope, Inc. | |||||||
7.13%, 07/01/28 (a) | 135,000 | 134,933 | |||||
Dell Inc. | |||||||
6.50%, 04/15/38 | 51,000 | 54,774 | |||||
Entegris, Inc. | |||||||
4.38%, 04/15/28 (a) | 82,000 | 83,584 | |||||
Gartner, Inc. | |||||||
4.50%, 07/01/28 (a) | 39,000 | 39,395 | |||||
Microchip Technology Incorporated | |||||||
4.25%, 09/01/25 (a) | 49,000 | 49,306 | |||||
NCR Corporation | |||||||
8.13%, 04/15/25 (a) | 65,000 | 68,923 | |||||
5.75%, 09/01/27 (a) | 105,000 | 104,870 | |||||
Open Text Corporation | |||||||
3.88%, 02/15/28 (a) | 112,000 | 107,829 | |||||
4.13%, 02/15/30 (a) | 145,000 | 142,372 | |||||
Presidio Holdings, Inc. | |||||||
4.88%, 02/01/27 (a) | 68,000 | 66,438 | |||||
8.25%, 02/01/28 (a) | 72,000 | 72,121 | |||||
Radiate HoldCo, LLC | |||||||
6.63%, 02/15/25 (a) | 165,000 | 165,043 | |||||
SS&C Technologies, Inc. | |||||||
5.50%, 09/30/27 (a) | 126,000 | 128,913 | |||||
ViaSat, Inc. | |||||||
5.63%, 09/15/25 - 04/15/27 (a) | 230,000 | 228,488 | |||||
6.50%, 07/15/28 (a) | 91,000 | 91,042 | |||||
Western Digital Corporation | |||||||
4.75%, 02/15/26 (b) | 92,000 | 95,234 | |||||
1,845,494 | |||||||
Utilities 2.0% | |||||||
Calpine Corporation | |||||||
5.25%, 06/01/26 (a) | 239,000 | 241,524 | |||||
4.50%, 02/15/28 (a) | 67,000 | 65,787 | |||||
Pacific Gas And Electric Company | |||||||
5.00%, 07/01/28 | 39,000 | 38,786 | |||||
5.25%, 07/01/30 | 65,000 | 65,315 | |||||
The AES Corporation | |||||||
5.50%, 04/15/25 | 369,000 | 378,523 | |||||
3.30%, 07/15/25 (a) | 78,000 | 80,094 | |||||
5.13%, 09/01/27 | 160,000 | 166,069 | |||||
3.95%, 07/15/30 (a) | 25,000 | 25,528 | |||||
1,061,626 | |||||||
Real Estate 1.2% | |||||||
CSL Capital, LLC | |||||||
6.00%, 04/15/23 (a) | 60,000 | 58,725 | |||||
Cushman & Wakefield PLC | |||||||
6.75%, 05/15/28 (a) | 93,000 | 97,502 | |||||
ESH Hospitality, Inc. | |||||||
5.25%, 05/01/25 (a) | 156,000 | 150,917 | |||||
MGM Growth Properties Operating Partnership LP | |||||||
4.63%, 06/15/25 (a) | 46,000 | 45,276 | |||||
5.75%, 02/01/27 | 76,000 | 78,805 | |||||
4.50%, 01/15/28 | 6,000 | 5,856 | |||||
Uniti Group Inc. | |||||||
7.88%, 02/15/25 (a) | 55,000 | 55,855 | |||||
VICI Properties Inc. | |||||||
4.25%, 12/01/26 (a) | 51,000 | 48,885 | |||||
3.75%, 02/15/27 (a) | 59,000 | 55,382 | |||||
4.63%, 12/01/29 (a) | 15,000 | 14,705 | |||||
611,908 | |||||||
Total Corporate Bonds And Notes (cost $49,056,418) | 48,519,288 | ||||||
SENIOR FLOATING RATE INSTRUMENTS 3.5% | |||||||
Consumer Discretionary 0.8% | |||||||
Adient US LLC | |||||||
USD Term Loan B16, 4.18%, (1M LIBOR + 4.00%), 05/03/24 (k) | 55,639 | 53,298 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
23
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
USD Term Loan B11, 4.47%, (3M LIBOR + 4.00%), 05/03/24 (k) | 18,797 | 18,006 | |||||
Bass Pro Group, LLC | |||||||
Term Loan B, 6.07%, (1M LIBOR + 5.00%), 11/15/23 (k) | 171,992 | 165,051 | |||||
Caesars Resort Collection, LLC | |||||||
Term Loan, 0.00%, (3M LIBOR + 4.50%), 06/19/25 (k) (l) | 50,000 | 46,907 | |||||
Mileageplus | |||||||
2018 1st Lien Term Loan, 0.00%, (3M LIBOR + 5.25%), 12/31/23 (k) (l) | 49,200 | 48,810 | |||||
Mohegan Tribal Gaming Authority | |||||||
2018 1st Lien Term Loan, 5.38%, (3M LIBOR + 4.38%), 10/30/23 (k) | 39,473 | 32,229 | |||||
Panther BF Aggregator 2 LP | |||||||
2017 Term Loan B, 3.68%, (1M LIBOR + 3.50%), 03/13/26 (k) | 69,177 | 65,718 | |||||
430,019 | |||||||
Health Care 0.7% | |||||||
Alphabet Holding Company, Inc. | |||||||
USD 2nd Lien Term Loan, 3.68%, (1M LIBOR + 3.50%), 08/15/24 (k) | 243,125 | 228,309 | |||||
MPH Acquisition Holdings LLC | |||||||
2018 1st Lien Term Loan, 3.75%, (3M LIBOR + 2.75%), 06/07/23 (k) | 75,000 | 71,156 | |||||
RegionalCare Hospital Partners Holdings, Inc. | |||||||
2017 1st Lien Term Loan B, 3.93%, (1M LIBOR + 3.75%), 11/09/25 (k) | 69,390 | 64,871 | |||||
364,336 | |||||||
Communication Services 0.5% | |||||||
Frontier Communications Corporation | |||||||
2019 Term Loan, 5.21%, (PRIME + 2.75%), 05/31/24 (k) | 325 | 316 | |||||
2019 Term Loan, 5.35%, (1M LIBOR + 3.75%), 05/31/24 (k) | 97,169 | 94,444 | |||||
iHeartCommunications, Inc. | |||||||
2018 Term Loan B, 3.18%, (1M LIBOR + 3.00%), 05/01/26 (k) | 52,735 | 48,472 | |||||
Windstream Holdings Inc. | |||||||
DIP Term Loan, 2.68%, (1M LIBOR + 2.50%), 03/08/21 (k) | 77,000 | 75,556 | |||||
Zayo Group Holdings, Inc. | |||||||
USD Term Loan, 3.18%, (1M LIBOR + 3.00%), 02/20/27 (k) | 67,830 | 64,230 | |||||
283,018 | |||||||
Information Technology 0.5% | |||||||
Almonde, Inc. | |||||||
2019 Term Loan B, 4.50%, (3M LIBOR + 3.50%), 04/26/24 (k) | 8,897 | 7,756 | |||||
USD 1st Lien Term Loan, 4.50%, (6M LIBOR + 3.50%), 04/26/24 (k) | 47,840 | 41,708 | |||||
USD 1st Lien Term Loan, 4.50%, (3M LIBOR + 3.50%), 04/26/24 (k) | 9,776 | 8,523 | |||||
Banff Merger Sub Inc | |||||||
Term Loan B, 4.43%, (1M LIBOR + 4.25%), 06/30/25 (k) | 79,196 | 74,741 | |||||
Cornerstone OnDemand, Inc. | |||||||
2020 Term Loan B, 5.35%, (3M LIBOR + 4.25%), 04/22/27 (k) | 75,000 | 73,735 | |||||
Verifone Systems, Inc. | |||||||
2018 1st Lien Term Loan, 4.38%, (3M LIBOR + 4.00%), 08/09/25 (k) | 63,445 | 52,683 | |||||
259,146 | |||||||
Financials 0.4% | |||||||
Acrisure, LLC | |||||||
USD Term Loan B3, 3.68%, (1M LIBOR + 3.50%), 01/30/27 (k) | 97,506 | 91,899 | |||||
UFC Holdings, LLC | |||||||
2019 Term Loan, 4.25%, (6M LIBOR + 3.25%), 04/25/26 (k) | 98,465 | 93,870 | |||||
185,769 | |||||||
Materials 0.3% | |||||||
BWAY Holding Company | |||||||
Term Loan B, 4.56%, (3M LIBOR + 3.25%), 04/03/24 (k) | 89,650 | 80,274 | |||||
Flex Acquisition Company, Inc. | |||||||
2019 Term Loan B, 4.43%, (3M LIBOR + 3.00%), 12/15/23 (k) | 55,956 | 53,348 | |||||
Proampac PG Borrower LLC | |||||||
2017 Repriced Term Loan, 4.50%, (1M LIBOR + 3.50%), 11/18/23 (k) | 8,214 | 7,813 | |||||
2017 Term Loan, 4.50%, (3M LIBOR + 3.50%), 11/18/23 (k) | 14,030 | 13,346 | |||||
2017 Repriced Term Loan, 5.75%, (3M LIBOR + 3.50%), 11/18/23 (k) | 58 | 55 | |||||
154,836 | |||||||
Energy 0.2% | |||||||
Chesapeake Energy Corporation | |||||||
7 Year Term Loan, 0.00%, 06/09/24 (i) (j) | 125,000 | 71,696 | |||||
Lower Cadence Holdings LLC | |||||||
2018 1st Lien Term Loan, 4.18%, (1M LIBOR + 4.00%), 05/10/26 (k) | 64,317 | 56,920 | |||||
128,616 | |||||||
Industrials 0.1% | |||||||
Dynasty Acquisition Co., Inc. | |||||||
2020 Exit Term Loan A, 3.81%, (3M LIBOR + 3.50%), 04/06/26 (k) | 44,538 | 37,913 | |||||
2020 Incremental Term Loan, 3.81%, (3M LIBOR + 3.50%), 04/06/26 (k) | 23,945 | 20,383 | |||||
58,296 | |||||||
Total Senior Floating Rate Instruments (cost $2,013,031) | 1,864,036 | ||||||
INVESTMENT COMPANIES 1.8% | |||||||
Eaton Vance Senior Floating-Rate Trust | 3,750 | 42,450 | |||||
SPDR Bloomberg Barclays High Yield Bond ETF | 8,677 | 877,764 | |||||
Total Investment Companies (cost $928,802) | 920,214 | ||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 0.1% | |||||||
Alaska Airlines Pass Through Trust | |||||||
Series 2020-A-1, 4.80%, 08/15/27 (m) | 50,000 | 50,625 | |||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $50,000) | 50,625 | ||||||
COMMON STOCKS 0.1% | |||||||
Energy 0.1% | |||||||
MPLX LP | 2,200 | 38,016 | |||||
Communication Services 0.0% | |||||||
Clear Channel Outdoor Holdings, Inc. (i) | 8,143 | 8,469 | |||||
iHeartMedia, Inc. - Class A (b) (i) | 386 | 3,223 | |||||
11,692 | |||||||
Total Common Stocks (cost $121,632) | 49,708 | ||||||
WARRANTS 0.1% | |||||||
iHeartMedia, Inc. (i) (n) | 2,897 | 21,771 | |||||
Total Warrants (cost $53,585) | 21,771 | ||||||
SHORT TERM INVESTMENTS 4.6% | |||||||
Investment Companies 2.6% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.12% (o) | 1,381,385 | 1,381,385 | |||||
Securities Lending Collateral 2.0% | |||||||
State Street Navigator Securities Lending Government Money Market Portfolio (o) | 1,063,848 | 1,063,848 | |||||
Total Short Term Investments (cost $2,445,233) | 2,445,233 | ||||||
Total Investments 102.2% (cost $54,668,701) | 53,870,875 | ||||||
Other Derivative Instruments 0.0% | 469 | ||||||
Other Assets and Liabilities, Net (2.2)% | (1,149,187) | ||||||
Total Net Assets 100.0% | 52,722,157 |
(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. As of June 30, 2020, the value and the percentage of net assets of these liquid securities was $28,806,954 and 54.6% of the Fund.
(b) All or a portion of the security was on loan as of June 30, 2020.
(c) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(d) 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.
(e) Security is a step-up bond where the coupon may increase or step up at a future date or as the result of an upgrade or downgrade to the credit rating of the issuer. Rate stated was the coupon as of June 30, 2020.
(f) Perpetual security. Next contractual call date presented, if applicable.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
24
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
(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 June 30, 2020, 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) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of June 30, 2020. 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.
(l) This senior floating rate interest will settle after June 30, 2020. 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 June 30, 2020, the total payable for investments purchased on a delayed delivery basis was $50,000.
(n) Security fair valued in good faith as a Level 2 security in accordance with the procedures approved by the Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(o) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2020.
PPM High Yield Core Fund — Restricted Securities | |||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | ||||||
Nordic Aviation Capital DAC, 3.79%, 02/27/23 | 02/06/20 | 80,000 | 60,400 | 0.1 | |||||
Nordic Aviation Capital DAC, 5.83%, 03/14/26 | 02/27/19 | 125,000 | 89,375 | 0.2 | |||||
205,000 | 149,775 | 0.3 |
PPM High Yield Core Fund – Unfunded Commitments
Unfunded Commitment ($) | Appreciation/ (Depreciation) ($) | |||||
Intelsat Jackson Holdings S.A. – 2018 Term Loan B | 9,398 | 123 | ||||
9,398 | 123 |
PPM High Yield Core Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (2) | September 2020 | (277,350) | 313 | (994) | ||||||||||
United States 5 Year Note | (5) | October 2020 | (627,310) | 156 | (1,401) | ||||||||||
469 | (2,395) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
25
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
PPM Long Short Credit Fund | |||||||
CORPORATE BONDS AND NOTES 79.2% | |||||||
Financials 24.0% | |||||||
Acrisure, LLC | |||||||
7.00%, 11/15/25 (a) | 80,000 | 76,422 | |||||
AerCap Ireland Capital Designated Activity Company | |||||||
4.50%, 09/15/23 | 150,000 | 150,127 | |||||
6.50%, 07/15/25 | 40,000 | 41,861 | |||||
Avolon Holdings Funding Limited | |||||||
3.63%, 05/01/22 (a) | 125,000 | 117,812 | |||||
5.25%, 05/15/24 (a) | 342,000 | 311,483 | |||||
Bank of America Corporation | |||||||
6.30%, (callable at 100 beginning 03/10/26) (b) | 40,000 | 44,477 | |||||
2.02%, (3M USD LIBOR + 1.00%), 04/24/23 (c) | 166,000 | 166,966 | |||||
4.00%, 01/22/25 | 209,000 | 230,252 | |||||
4.25%, 10/22/26 | 105,000 | 120,296 | |||||
3.59%, 07/21/28 | 41,000 | 46,077 | |||||
4.27%, 07/23/29 | 170,000 | 200,123 | |||||
2.68%, 06/19/41 | 81,000 | 82,833 | |||||
4.33%, 03/15/50 (d) | 1,199,000 | 1,535,290 | |||||
Barclays PLC | |||||||
1.70%, 05/12/22 (e) | 200,000 | 203,590 | |||||
Capital One Financial Corporation | |||||||
3.75%, 03/09/27 | 40,000 | 44,113 | |||||
CIT Group Inc. | |||||||
3.93%, 06/19/24 | 202,000 | 197,400 | |||||
Citigroup Inc. | |||||||
5.00%, (callable at 100 beginning 09/12/24) (b) | 52,000 | 48,811 | |||||
1.95%, (3M USD LIBOR + 0.96%), 04/25/22 (c) (d) | 249,000 | 250,267 | |||||
4.45%, 09/29/27 | 41,000 | 46,749 | |||||
3.89%, 01/10/28 (c) | 67,000 | 75,386 | |||||
4.13%, 07/25/28 | 10,000 | 11,305 | |||||
3.52%, 10/27/28 | 91,000 | 100,830 | |||||
Credit Suisse Group AG | |||||||
7.50%, (callable at 100 beginning 07/17/23) (a) (b) | 200,000 | 206,107 | |||||
6.50%, 08/08/23 (a) | 175,000 | 190,964 | |||||
Diamond Finance International Limited | |||||||
8.35%, 07/15/46 (a) | 99,000 | 129,033 | |||||
Ford Motor Credit Company LLC | |||||||
4.53%, (3M USD LIBOR + 3.14%), 01/07/22 (c) | 250,000 | 242,421 | |||||
General Motors Financial Company, Inc. | |||||||
5.20%, 03/20/23 | 60,000 | 64,119 | |||||
Glencore Funding LLC | |||||||
4.88%, 03/12/29 (a) | 125,000 | 140,058 | |||||
HSBC Holdings PLC | |||||||
1.39%, (3M USD LIBOR + 1.00%), 05/18/24 (c) | 150,000 | 149,402 | |||||
Icahn Enterprises L.P. | |||||||
4.75%, 09/15/24 | 37,000 | 34,977 | |||||
6.25%, 05/15/26 | 52,000 | 51,991 | |||||
Intercontinental Exchange, Inc. | |||||||
2.10%, 06/15/30 | 92,000 | 93,792 | |||||
3.00%, 06/15/50 | 72,000 | 74,267 | |||||
JPMorgan Chase & Co. | |||||||
4.49%, (callable at 100 beginning 11/01/20) (b) | 150,000 | 141,052 | |||||
4.60%, (callable at 100 beginning 02/01/25) (b) | 132,000 | 117,645 | |||||
5.00%, (callable at 100 beginning 08/01/24) (b) | 70,000 | 67,497 | |||||
3.54%, 05/01/28 | 9,000 | 10,055 | |||||
3.51%, 01/23/29 | 66,000 | 74,687 | |||||
2.74%, 10/15/30 | 116,000 | 124,362 | |||||
2.96%, 05/13/31 | 77,000 | 81,601 | |||||
Lloyds Banking Group PLC | |||||||
3.87%, 07/09/25 (d) (e) | 200,000 | 217,482 | |||||
Markel Corporation | |||||||
6.00%, (callable at 100 beginning 06/01/25) (b) | 78,000 | 79,296 | |||||
Metropolitan Life Global Funding I | |||||||
3.60%, 01/11/24 (a) | 160,000 | 175,215 | |||||
Morgan Stanley | |||||||
5.55%, (callable at 100 beginning 07/15/20) (b) | 60,000 | 55,010 | |||||
2.03%, (3M USD LIBOR + 0.93%), 07/22/22 (c) | 125,000 | 125,766 | |||||
4.10%, 05/22/23 | 225,000 | 242,213 | |||||
3.62%, 04/01/31 | 143,000 | 163,646 | |||||
NatWest Markets PLC | |||||||
2.38%, 05/21/23 (a) | 200,000 | 204,484 | |||||
Nordic Aviation Capital DAC | |||||||
5.58%, 03/14/24 (f) (g) | 135,000 | 101,925 | |||||
Rassman, Joel H. | |||||||
3.80%, 11/01/29 | 138,000 | 138,746 | |||||
Santander Holdings USA, Inc. | |||||||
3.45%, 06/02/25 | 99,000 | 103,178 | |||||
Springleaf Finance Corporation | |||||||
5.38%, 11/15/29 | 34,000 | 31,961 | |||||
The Goldman Sachs Group, Inc. | |||||||
3.50%, 04/01/25 | 57,000 | 62,509 | |||||
3.80%, 03/15/30 | 176,000 | 200,739 | |||||
The Guardian Life Insurance Company of America | |||||||
3.70%, 01/22/70 (a) | 46,000 | 47,371 | |||||
The Royal Bank of Scotland Group Public Limited Company | |||||||
3.07%, 05/22/28 (e) | 200,000 | 209,968 | |||||
The Travelers Companies, Inc. | |||||||
2.55%, 04/27/50 | 19,000 | 18,681 | |||||
Truist Financial Corporation | |||||||
4.95%, (callable at 100 beginning 09/01/25) (b) | 75,000 | 76,875 | |||||
U.S. Bancorp | |||||||
3.00%, 07/30/29 | 30,000 | 32,668 | |||||
UBS AG | |||||||
1.75%, 04/21/22 (a) | 200,000 | 203,729 | |||||
USA Compression Finance Corp. | |||||||
6.88%, 09/01/27 | 67,000 | 63,659 | |||||
Wells Fargo & Company | |||||||
2.41%, 10/30/25 | 189,000 | 196,720 | |||||
3.20%, 06/17/27 | 25,000 | 27,097 | |||||
3.58%, 05/22/28 (c) | 26,000 | 28,868 | |||||
2.88%, 10/30/30 | 124,000 | 132,461 | |||||
Wells Fargo Bank, National Association | |||||||
2.08%, 09/09/22 (d) | 750,000 | 762,017 | |||||
9,798,784 | |||||||
Communication Services 12.1% | |||||||
AT&T Inc. | |||||||
1.50%, (3M USD LIBOR + 1.18%), 06/12/24 (c) | 350,000 | 350,693 | |||||
2.30%, 06/01/27 | 100,000 | 103,716 | |||||
5.25%, 03/01/37 | 64,000 | 79,440 | |||||
4.90%, 08/15/37 | 16,000 | 19,147 | |||||
3.50%, 06/01/41 | 80,000 | 84,328 | |||||
Booking Holdings Inc. | |||||||
4.10%, 04/13/25 | 88,000 | 98,817 | |||||
4.63%, 04/13/30 | 90,000 | 106,013 | |||||
CB Escrow Corp. | |||||||
8.00%, 10/15/25 (a) | 95,000 | 98,865 | |||||
CCO Holdings, LLC | |||||||
4.75%, 03/01/30 (a) | 84,000 | 86,046 | |||||
CenturyLink, Inc. | |||||||
4.00%, 02/15/27 (a) | 47,000 | 45,649 | |||||
Charter Communications Operating, LLC | |||||||
4.91%, 07/23/25 | 250,000 | 286,332 | |||||
6.83%, 10/23/55 | 40,000 | 53,692 | |||||
Comcast Corporation | |||||||
4.60%, 10/15/38 | 32,000 | 40,741 | |||||
3.75%, 04/01/40 | 25,000 | 29,363 | |||||
4.70%, 10/15/48 | 55,000 | 73,329 | |||||
Connect Finco SARL | �� | ||||||
6.75%, 10/01/26 (a) | 50,000 | 47,241 | |||||
DISH DBS Corporation | |||||||
7.75%, 07/01/26 | 66,000 | 69,951 | |||||
Hughes Satellite Systems Corporation | |||||||
5.25%, 08/01/26 | 83,000 | 85,839 | |||||
iHeartCommunications, Inc. | |||||||
6.38%, 05/01/26 | 14,918 | 14,861 | |||||
8.38%, 05/01/27 | 27,038 | 24,803 | |||||
5.25%, 08/15/27 (a) | 25,000 | 23,946 | |||||
4.75%, 01/15/28 (a) | 24,000 | 22,177 | |||||
Live Nation Entertainment, Inc. | |||||||
6.50%, 05/15/27 (a) | 43,000 | 44,298 | |||||
Sirius XM Radio Inc. | |||||||
5.50%, 07/01/29 (a) | 46,000 | 48,623 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
26
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Sprint Corporation | |||||||
7.13%, 06/15/24 | 58,000 | 65,411 | |||||
Sprint Spectrum Co LLC | |||||||
3.36%, 09/20/21 (a) | 62,500 | 63,300 | |||||
TEGNA Inc. | |||||||
5.00%, 09/15/29 (a) | 64,000 | 59,933 | |||||
Telesat Canada | |||||||
6.50%, 10/15/27 (a) | 40,000 | 39,400 | |||||
The Walt Disney Company | |||||||
0.60%, (3M USD LIBOR + 0.25%), 09/01/21 (c) (d) | 500,000 | 499,510 | |||||
2.65%, 01/13/31 | 97,000 | 103,020 | |||||
T-Mobile USA, Inc. | |||||||
3.50%, 04/15/25 (a) | 45,000 | 49,080 | |||||
1.50%, 02/15/26 (a) | 103,000 | 102,994 | |||||
Verizon Communications Inc. | |||||||
3.00%, 03/22/27 | 24,000 | 26,592 | |||||
4.02%, 12/03/29 (d) | 1,510,000 | 1,805,936 | |||||
3.15%, 03/22/30 | 62,500 | 70,462 | |||||
Vodafone Group Public Limited Company | |||||||
5.00%, 05/30/38 | 90,000 | 112,793 | |||||
4,936,341 | |||||||
Energy 11.9% | |||||||
Aker BP ASA | |||||||
3.75%, 01/15/30 (a) | 210,000 | 199,130 | |||||
Baker Hughes Holdings LLC | |||||||
4.49%, 05/01/30 | 77,000 | 88,512 | |||||
Callon Petroleum Company | |||||||
6.38%, 07/01/26 | 125,000 | 42,456 | |||||
Canadian Natural Resources Limited | |||||||
2.05%, 07/15/25 | 81,000 | 81,144 | |||||
Cheniere Corpus Christi Holdings, LLC | |||||||
5.88%, 03/31/25 | 41,000 | 46,018 | |||||
Cheniere Energy Partners, L.P. | |||||||
4.50%, 10/01/29 | 110,000 | 107,250 | |||||
Chevron Corporation | |||||||
2.00%, 05/11/27 | 97,000 | 101,416 | |||||
Denbury Resources Inc. | |||||||
9.25%, 03/31/22 (a) (d) | 14,000 | 5,463 | |||||
7.75%, 02/15/24 (a) | 80,000 | 30,211 | |||||
Diamondback Energy, Inc. | |||||||
4.75%, 05/31/25 | 33,000 | 35,286 | |||||
Endeavor Energy Resources, L.P. | |||||||
6.63%, 07/15/25 (a) | 4,000 | 4,031 | |||||
5.75%, 01/30/28 (a) | 69,000 | 66,473 | |||||
Energy Transfer LP | |||||||
6.75%, (callable at 100 beginning 05/15/25) (b) | 83,000 | 70,493 | |||||
7.13%, (callable at 100 beginning 05/15/30) (b) | 96,000 | 82,368 | |||||
4.25%, 03/15/23 | 192,000 | 202,614 | |||||
3.75%, 05/15/30 | 57,000 | 56,434 | |||||
5.80%, 06/15/38 | 95,000 | 96,724 | |||||
Energy Transfer Operating, L.P. | |||||||
6.25%, 04/15/49 | 40,000 | 42,622 | |||||
Enlink Midstream, LLC | |||||||
4.15%, 06/01/25 | 69,000 | 53,011 | |||||
Enterprise Products Operating LLC | |||||||
3.35%, 03/15/23 | 43,000 | 45,547 | |||||
3.13%, 07/31/29 | 123,000 | 131,758 | |||||
4.20%, 01/31/50 | 84,000 | 93,702 | |||||
EQM Midstream Partners, LP | |||||||
4.13%, 12/01/26 | 108,000 | 98,820 | |||||
Everest Acquisition, LLC | |||||||
0.00%, 11/29/24 (a) (d) (h) (i) | 85,000 | 1,476 | |||||
0.00%, 05/15/26 (a) (h) (i) | 35,000 | 8,115 | |||||
Exxon Mobil Corporation | |||||||
3.48%, 03/19/30 | 141,000 | 160,726 | |||||
Marathon Petroleum Corporation | |||||||
4.50%, 05/01/23 | 96,000 | 103,524 | |||||
MEG Energy Corp. | |||||||
7.13%, 02/01/27 (a) | 17,000 | 14,122 | |||||
MPLX LP | |||||||
1.21%, (3M USD LIBOR + 0.90%), 09/09/21 (c) (d) | 500,000 | 494,933 | |||||
4.00%, 03/15/28 | 97,000 | 102,199 | |||||
5.20%, 12/01/47 | 44,000 | 45,455 | |||||
Murphy Oil Corporation | |||||||
5.88%, 12/01/27 | 44,000 | 39,087 | |||||
National Oilwell Varco, Inc. | |||||||
3.60%, 12/01/29 | 100,000 | 97,384 | |||||
NGPL PipeCo LLC | |||||||
4.88%, 08/15/27 (a) | 23,000 | 25,797 | |||||
Occidental Petroleum Corporation | |||||||
1.68%, (3M USD LIBOR + 1.25%), 08/13/21 (c) (d) | 300,000 | 286,304 | |||||
3.50%, 08/15/29 | 103,000 | 75,355 | |||||
4.30%, 08/15/39 | 19,000 | 13,104 | |||||
4.40%, 08/15/49 | 21,000 | 14,386 | |||||
Parsley Energy, LLC | |||||||
5.38%, 01/15/25 (a) | 91,000 | 88,698 | |||||
Patterson-UTI Energy, Inc. | |||||||
5.15%, 11/15/29 | 130,000 | 97,068 | |||||
Phillips 66 | |||||||
3.70%, 04/06/23 | 90,000 | 96,408 | |||||
3.85%, 04/09/25 | 90,000 | 99,922 | |||||
Sabine Pass Liquefaction, LLC | |||||||
5.63%, 03/01/25 | 88,000 | 100,426 | |||||
4.20%, 03/15/28 | 165,000 | 176,994 | |||||
4.50%, 05/15/30 (a) (e) | 60,000 | 66,299 | |||||
SM Energy Company | |||||||
1.50%, 07/01/21 (e) | 48,000 | 44,021 | |||||
Southwestern Energy Company | |||||||
7.75%, 10/01/27 (d) | 500,000 | 437,185 | |||||
Summit Midstream Partners, LP | |||||||
9.50%, (callable at 104 beginning 12/15/22) (b) | 125,000 | 16,244 | |||||
Targa Resource Corporation | |||||||
5.50%, 03/01/30 (a) | 108,000 | 103,951 | |||||
Transocean Pontus Limited | |||||||
6.13%, 08/01/25 (a) (d) | 16,700 | 15,319 | |||||
Transocean Poseidon Limited | |||||||
6.88%, 02/01/27 (a) | 49,000 | 43,261 | |||||
Transocean Proteus Limited | |||||||
6.25%, 12/01/24 (a) | 144,950 | 133,214 | |||||
WPX Energy, Inc. | |||||||
5.88%, 06/15/28 | 44,000 | 42,137 | |||||
4.50%, 01/15/30 | 43,000 | 37,972 | |||||
4,862,569 | |||||||
Health Care 7.9% | |||||||
AbbVie Inc. | |||||||
3.25%, 10/01/22 (a) | 233,000 | 243,969 | |||||
2.95%, 11/21/26 (a) | 121,000 | 131,445 | |||||
Amgen Inc. | |||||||
2.20%, 02/21/27 | 96,000 | 100,890 | |||||
2.45%, 02/21/30 | 39,000 | 41,196 | |||||
2.30%, 02/25/31 | 43,000 | 44,648 | |||||
3.15%, 02/21/40 | 131,000 | 139,947 | |||||
Ascension Health | |||||||
2.53%, 11/15/29 | 20,000 | 21,449 | |||||
Bausch Health Companies Inc. | |||||||
8.50%, 01/31/27 (a) | 63,000 | 67,136 | |||||
5.75%, 08/15/27 (a) | 82,000 | 86,872 | |||||
7.00%, 01/15/28 (a) | 24,000 | 24,748 | |||||
5.00%, 01/30/28 (a) | 32,000 | 30,153 | |||||
6.25%, 02/15/29 (a) | 58,000 | 58,324 | |||||
Baxter International Inc. | |||||||
3.75%, 10/01/25 (a) | 35,000 | 39,899 | |||||
3.95%, 04/01/30 (a) | 11,000 | 13,041 | |||||
Becton, Dickinson and Company | |||||||
1.18%, (3M USD LIBOR + 0.88%), 12/29/20 (c) (d) | 300,000 | 300,003 | |||||
Bristol-Myers Squibb Company | |||||||
3.40%, 07/26/29 (a) | 218,000 | 251,617 | |||||
4.13%, 06/15/39 (a) | 55,000 | 69,904 | |||||
Centene Corporation | |||||||
5.25%, 04/01/25 (a) | 61,000 | 62,812 | |||||
5.38%, 08/15/26 (a) | 64,000 | 66,573 | |||||
4.25%, 12/15/27 | 28,000 | 28,893 | |||||
4.63%, 12/15/29 | 123,000 | 129,765 | |||||
3.38%, 02/15/30 | 57,000 | 57,553 | |||||
Centene Escrow I Corporation | |||||||
5.38%, 06/01/26 (a) | 65,000 | 67,646 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
27
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Cigna Holding Company | |||||||
3.40%, 03/01/27 (a) | 50,000 | 55,150 | |||||
4.38%, 10/15/28 | 120,000 | 141,993 | |||||
2.40%, 03/15/30 | 45,000 | 46,722 | |||||
3.20%, 03/15/40 | 36,000 | 38,136 | |||||
Community Health Systems, Inc. | |||||||
8.63%, 01/15/24 (a) | 50,000 | 48,925 | |||||
8.00%, 03/15/26 (a) | 85,000 | 80,358 | |||||
CVS Health Corporation | |||||||
4.78%, 03/25/38 | 62,000 | 76,816 | |||||
5.05%, 03/25/48 | 109,000 | 142,207 | |||||
Jaguar Holding Company II | |||||||
4.63%, 06/15/25 (a) | 12,000 | 12,201 | |||||
5.00%, 06/15/28 (a) | 12,000 | 12,284 | |||||
Molina Healthcare, Inc. | |||||||
4.38%, 06/15/28 (a) | 12,000 | 12,033 | |||||
Par Pharmaceutical, Inc. | |||||||
7.50%, 04/01/27 (a) (d) | 89,000 | 91,257 | |||||
Providence St. Joseph Health | |||||||
2.53%, 10/01/29 | 62,000 | 64,541 | |||||
Tenet Healthcare Corporation | |||||||
4.88%, 01/01/26 (a) | 130,000 | 127,380 | |||||
Upjohn Inc. | |||||||
2.30%, 06/22/27 (a) | 22,000 | 22,710 | |||||
3.85%, 06/22/40 (a) | 89,000 | 95,461 | |||||
4.00%, 06/22/50 (a) | 64,000 | 68,440 | |||||
3,215,097 | |||||||
Consumer Discretionary 4.6% | |||||||
Adient US LLC | |||||||
9.00%, 04/15/25 (a) | 27,000 | 29,096 | |||||
7.00%, 05/15/26 (a) | 13,000 | 13,444 | |||||
Amazon.com, Inc. | |||||||
2.50%, 06/03/50 | 37,000 | 37,508 | |||||
Aramark Services, Inc. | |||||||
6.38%, 05/01/25 (a) | 35,000 | 36,139 | |||||
Carnival Corporation | |||||||
11.50%, 04/01/23 (a) | 87,000 | 94,139 | |||||
Cedar Fair, L.P. | |||||||
5.50%, 05/01/25 (a) | 60,000 | 60,260 | |||||
Colt Merger Sub, Inc. | |||||||
5.75%, 07/01/25 (a) | 35,000 | 35,198 | |||||
Delta Air Lines, Inc. | |||||||
7.00%, 05/01/25 (a) | 94,000 | 97,055 | |||||
Eldorado Resorts, Inc. | |||||||
8.13%, 07/01/27 (a) | 61,000 | 59,322 | |||||
Fiat Chrysler Automobiles N.V. | |||||||
5.25%, 04/15/23 | 103,000 | 106,453 | |||||
Ford Motor Company | |||||||
9.63%, 04/22/30 | 24,000 | 28,449 | |||||
General Motors Company | |||||||
6.13%, 10/01/25 | 37,000 | 41,572 | |||||
6.80%, 10/01/27 | 27,000 | 31,394 | |||||
GLP Financing, LLC | |||||||
5.75%, 06/01/28 | 14,000 | 15,441 | |||||
5.30%, 01/15/29 | 110,000 | 119,065 | |||||
Hanesbrands Inc. | |||||||
5.38%, 05/15/25 (a) | 48,000 | 48,571 | |||||
Hilton Domestic Operating Company Inc. | |||||||
5.38%, 05/01/25 (a) | 24,000 | 24,000 | |||||
5.75%, 05/01/28 (a) | 24,000 | 24,323 | |||||
Hyatt Hotels Corporation | |||||||
5.38%, 04/23/25 (j) | 32,000 | 33,857 | |||||
KB Home | |||||||
7.63%, 05/15/23 | 67,000 | 73,021 | |||||
M.D.C. Holdings, Inc. | |||||||
6.00%, 01/15/43 | 14,000 | 14,739 | |||||
Macy's, Inc. | |||||||
8.38%, 06/15/25 (a) | 45,000 | 44,808 | |||||
Marriott International, Inc. | |||||||
5.75%, 05/01/25 (j) | 83,000 | 90,343 | |||||
NCL Corporation Ltd. | |||||||
3.63%, 12/15/24 (a) | 75,000 | 45,873 | |||||
Newell Brands Inc. | |||||||
4.88%, 06/01/25 | 33,000 | 34,538 | |||||
NIKE, Inc. | |||||||
3.25%, 03/27/40 | 51,000 | 57,085 | |||||
Northwestern University | |||||||
2.64%, 12/01/50 | 28,000 | 29,181 | |||||
NVR, Inc. | |||||||
3.00%, 05/15/30 | 97,000 | 101,405 | |||||
Ross Stores, Inc. | |||||||
4.60%, 04/15/25 | 119,000 | 136,729 | |||||
Royal Caribbean Cruises Ltd. | |||||||
11.50%, 06/01/25 (a) | 16,000 | 16,680 | |||||
Scientific Games International, Inc. | |||||||
7.25%, 11/15/29 (a) | 70,000 | 56,166 | |||||
Starbucks Corporation | |||||||
2.25%, 03/12/30 | 107,000 | 111,213 | |||||
The Home Depot, Inc. | |||||||
3.35%, 04/15/50 | 51,000 | 58,636 | |||||
VOC Escrow Ltd. | |||||||
5.00%, 02/15/28 (a) | 70,000 | 52,712 | |||||
1,858,415 | |||||||
Consumer Staples 4.5% | |||||||
Altria Group, Inc. | |||||||
2.35%, 05/06/25 | 61,000 | 64,160 | |||||
3.40%, 05/06/30 | 39,000 | 41,979 | |||||
Anheuser-Busch Companies, LLC | |||||||
3.65%, 02/01/26 | 71,000 | 79,628 | |||||
4.90%, 02/01/46 | 102,000 | 123,722 | |||||
Archer-Daniels-Midland Company | |||||||
2.75%, 03/27/25 | 13,000 | 14,114 | |||||
3.25%, 03/27/30 | 48,000 | 54,368 | |||||
BAT Capital Corp. | |||||||
4.91%, 04/02/30 | 107,000 | 125,480 | |||||
4.39%, 08/15/37 | 50,000 | 54,512 | |||||
Cargill, Incorporated | |||||||
2.13%, 04/23/30 (a) | 25,000 | 26,199 | |||||
Energizer Holdings, Inc. | |||||||
6.38%, 07/15/26 (a) | 35,000 | 36,200 | |||||
JBS USA Finance, Inc. | |||||||
6.75%, 02/15/28 (a) | 100,000 | 105,806 | |||||
JBS USA Food Company | |||||||
5.88%, 07/15/24 (a) | 15,000 | 15,202 | |||||
6.50%, 04/15/29 (a) | 74,000 | 78,486 | |||||
Kraft Heinz Foods Company | |||||||
4.25%, 03/01/31 (a) | 69,000 | 73,018 | |||||
Mars, Incorporated | |||||||
3.95%, 04/01/49 (a) | 117,000 | 145,918 | |||||
Matterhorn Merger Sub, LLC | |||||||
8.50%, 06/01/26 (a) | 100,000 | 93,693 | |||||
PepsiCo, Inc. | |||||||
3.63%, 03/19/50 | 80,000 | 96,977 | |||||
Post Holdings, Inc. | |||||||
5.63%, 01/15/28 (a) | 82,000 | 84,675 | |||||
Reynolds American Inc. | |||||||
4.45%, 06/12/25 | 119,000 | 133,923 | |||||
Safeway Inc. | |||||||
3.50%, 02/15/23 (a) | 67,000 | 67,844 | |||||
Spectrum Brands, Inc. | |||||||
5.00%, 10/01/29 (a) | 63,000 | 62,217 | |||||
Sysco Corporation | |||||||
5.65%, 04/01/25 (j) | 33,000 | 38,632 | |||||
5.95%, 04/01/30 (j) | 23,000 | 28,885 | |||||
The Procter & Gamble Company | |||||||
3.60%, 03/25/50 | 23,000 | 28,831 | |||||
Walmart Inc. | |||||||
2.85%, 07/08/24 | 75,000 | 81,266 | |||||
2.95%, 09/24/49 | 56,000 | 63,198 | |||||
1,818,933 | |||||||
Materials 4.0% | |||||||
Anglo American Capital PLC | |||||||
5.38%, 04/01/25 (a) | 200,000 | 226,046 | |||||
4.88%, 05/14/25 (a) | 121,000 | 134,609 | |||||
4.75%, 04/10/27 (a) | 135,000 | 150,225 | |||||
ARD Finance S.A. | |||||||
6.50%, 06/30/27 (a) (k) | 130,000 | 128,730 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
28
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
CEMEX S.A.B. de C.V. | |||||||
5.45%, 11/19/29 (a) | 150,000 | 138,729 | |||||
CF Industries, Inc. | |||||||
4.50%, 12/01/26 (a) | 287,000 | 315,982 | |||||
Ecolab Inc. | |||||||
4.80%, 03/24/30 | 27,000 | 34,212 | |||||
FMG Resources (August 2006) Pty Ltd | |||||||
4.75%, 05/15/22 (a) | 105,000 | 106,947 | |||||
Freeport-McMoRan Inc. | |||||||
5.00%, 09/01/27 | 47,000 | 47,274 | |||||
5.40%, 11/14/34 | 60,000 | 60,526 | |||||
FXI Holdings, Inc. | |||||||
7.88%, 11/01/24 (a) | 74,000 | 64,417 | |||||
NOVA Chemicals Corporation | |||||||
4.88%, 06/01/24 (a) | 175,000 | 162,837 | |||||
Teck Resources Limited | |||||||
3.90%, 07/15/30 (a) | 76,000 | 75,737 | |||||
1,646,271 | |||||||
Utilities 3.8% | |||||||
Ameren Illinois Company | |||||||
4.50%, 03/15/49 | 104,000 | 135,953 | |||||
Consolidated Edison Company of New York, Inc. | |||||||
3.95%, 04/01/50 | 40,000 | 48,135 | |||||
DPL Inc. | |||||||
4.13%, 07/01/25 (a) | 98,000 | 98,040 | |||||
Edison International | |||||||
4.95%, 04/15/25 | 15,000 | 16,513 | |||||
Exelon Corporation | |||||||
5.10%, 06/15/45 | 112,000 | 144,901 | |||||
Nevada Power Company | |||||||
3.70%, 05/01/29 | 119,000 | 138,455 | |||||
Pacific Gas And Electric Company | |||||||
1.75%, 06/16/22 | 202,000 | 202,312 | |||||
2.10%, 08/01/27 | 51,000 | 50,369 | |||||
5.00%, 07/01/28 | 20,000 | 19,890 | |||||
Sempra Energy | |||||||
1.72%, (3M USD LIBOR + 0.50%), 01/15/21 (c) | 333,000 | 333,122 | |||||
Southern California Edison Company | |||||||
4.13%, 03/01/48 | 46,000 | 53,705 | |||||
3.65%, 02/01/50 | 50,000 | 55,146 | |||||
The AES Corporation | |||||||
3.30%, 07/15/25 (a) | 96,000 | 98,578 | |||||
The Narragansett Electric Company | |||||||
3.40%, 04/09/30 (a) | 26,000 | 29,281 | |||||
Vistra Operations Company LLC | |||||||
3.55%, 07/15/24 (a) (d) | 69,000 | 71,369 | |||||
4.30%, 07/15/29 (a) | 60,000 | 63,053 | |||||
1,558,822 | |||||||
Industrials 3.7% | |||||||
Ashtead Capital, Inc. | |||||||
5.25%, 08/01/26 (a) | 124,000 | 130,151 | |||||
Foxtrot Escrow Issuer LLC | |||||||
12.25%, 11/15/26 (a) | 74,000 | 71,812 | |||||
General Dynamics Corporation | |||||||
4.25%, 04/01/40 | 70,000 | 87,103 | |||||
General Electric Company | |||||||
5.00%, (callable at 100 beginning 01/21/21) (b) (d) | 379,000 | 297,553 | |||||
3.45%, 05/01/27 | 22,000 | 22,561 | |||||
3.63%, 05/01/30 | 52,000 | 52,195 | |||||
Hillenbrand, Inc. | |||||||
4.50%, 09/15/26 (j) | 18,000 | 18,078 | |||||
Howmet Aerospace Inc. | |||||||
6.88%, 05/01/25 | 25,000 | 27,156 | |||||
IDEX Corporation | |||||||
3.00%, 05/01/30 | 49,000 | 50,639 | |||||
Lockheed Martin Corporation | |||||||
1.85%, 06/15/30 | 25,000 | 25,627 | |||||
2.80%, 06/15/50 | 24,000 | 25,302 | |||||
Northrop Grumman Corporation | |||||||
4.40%, 05/01/30 | 33,000 | 39,951 | |||||
Reynolds Group Holdings Inc. | |||||||
4.72%, (3M USD LIBOR + 3.50%), 07/15/21 (a) (c) | 161,000 | 159,884 | |||||
United Rentals (North America), Inc. | |||||||
3.88%, 11/15/27 | 51,000 | 50,839 | |||||
WESCO Distribution, Inc. | |||||||
7.13%, 06/15/25 (a) | 52,000 | 54,831 | |||||
7.25%, 06/15/28 (a) | 30,000 | 31,620 | |||||
Westinghouse Air Brake Technologies Corporation | |||||||
1.61%, (3M USD LIBOR + 1.30%), 09/15/21 (c) (d) | 375,000 | 374,512 | |||||
1,519,814 | |||||||
Information Technology 2.1% | |||||||
Broadcom Corporation | |||||||
3.88%, 01/15/27 | 100,000 | 108,161 | |||||
Broadcom Inc. | |||||||
4.25%, 04/15/26 (a) | 75,000 | 83,496 | |||||
Dell International L.L.C. | |||||||
5.85%, 07/15/25 (a) | 48,000 | 55,137 | |||||
4.90%, 10/01/26 (a) (j) | 30,000 | 33,037 | |||||
Equifax Inc. | |||||||
2.60%, 12/01/24 - 12/15/25 | 93,000 | 98,495 | |||||
Hewlett Packard Enterprise Company | |||||||
4.45%, 10/02/23 | 91,000 | 99,455 | |||||
Microsoft Corporation | |||||||
3.95%, 08/08/56 | 42,000 | 54,318 | |||||
2.68%, 06/01/60 | 8,000 | 8,345 | |||||
NXP B.V. | |||||||
4.13%, 06/01/21 (a) | 200,000 | 205,306 | |||||
Radiate HoldCo, LLC | |||||||
6.88%, 02/15/23 (a) | 85,000 | 86,288 | |||||
832,038 | |||||||
Real Estate 0.6% | |||||||
Boston Properties Limited Partnership | |||||||
2.90%, 03/15/30 | 110,000 | 114,966 | |||||
Simon Property Group, L.P. | |||||||
2.45%, 09/13/29 | 75,000 | 74,412 | |||||
VICI Properties Inc. | |||||||
4.25%, 12/01/26 (a) | 65,000 | 62,304 | |||||
251,682 | |||||||
Total Corporate Bonds And Notes (cost $31,214,155) | 32,298,766 | ||||||
SENIOR FLOATING RATE INSTRUMENTS 16.7% | |||||||
Consumer Discretionary 5.0% | |||||||
1011778 B.C. Unlimited Liability Company | |||||||
USD Term Loan N, 1.93%, (1M LIBOR + 1.75%), 11/14/26 (c) | 203,109 | 192,141 | |||||
Adient US LLC | |||||||
USD Term Loan B16, 4.18%, (1M LIBOR + 4.00%), 05/03/24 (c) | 55,639 | 53,298 | |||||
USD Term Loan B11, 4.47%, (3M LIBOR + 4.00%), 05/03/24 (c) | 18,797 | 18,006 | |||||
American Axle and Manufacturing, Inc. | |||||||
Term Loan Y, 3.00%, (1M LIBOR + 2.25%), 03/10/24 (c) | 145,834 | 138,177 | |||||
Aramark Services, Inc. | |||||||
2018 Term Loan B3, 1.93%, (1M LIBOR + 1.75%), 03/01/25 (c) | 187,000 | 176,247 | |||||
Caesars Entertainment Operating Company | |||||||
Exit Term Loan, 2.18%, (1M LIBOR + 2.00%), 04/03/24 (c) | 182,789 | 181,818 | |||||
Caesars Resort Collection, LLC | |||||||
Term Loan B, 2.93%, (1M LIBOR + 2.75%), 12/23/24 (c) | 76,095 | 67,463 | |||||
Term Loan, 0.00%, (3M LIBOR + 4.50%), 06/19/25 (c) (l) | 118,000 | 110,699 | |||||
CityCenter Holdings, LLC | |||||||
2020 USD Term Loan B, 3.00%, (1M LIBOR + 2.25%), 04/14/24 (c) | 96,727 | 87,755 | |||||
Four Seasons Hotels Limited | |||||||
2019 Term Loan, 2.18%, (1M LIBOR + 2.00%), 11/30/23 (c) | 122,462 | 115,727 | |||||
Golden Nugget, Inc. | |||||||
2018 USD Term Loan, 3.25%, (1M LIBOR + 2.50%), 09/07/23 - 10/04/23 (c) | 191,814 | 151,533 | |||||
Marriott Ownership Resorts, Inc. | |||||||
2018 1st Lien Term Loan, 1.93%, (1M LIBOR + 1.75%), 08/29/25 (c) | 244,163 | 228,598 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
29
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Mileageplus | |||||||
2018 1st Lien Term Loan, 0.00%, (3M LIBOR + 5.25%), 12/31/23 (c) (l) | 122,900 | 121,927 | |||||
Mohegan Tribal Gaming Authority | |||||||
2018 1st Lien Term Loan, 5.38%, (3M LIBOR + 4.38%), 10/30/23 (c) | 131,005 | 106,965 | |||||
Numericable Group SA | |||||||
2017 Term Loan B, 2.92%, (1M LIBOR + 2.75%), 07/31/25 (c) | 194,452 | 183,750 | |||||
PCI Gaming Authority | |||||||
2017 Term Loan B, 2.68%, (1M LIBOR + 2.50%), 05/15/26 (c) | 125,393 | 119,124 | |||||
2,053,228 | |||||||
Communication Services 3.9% | |||||||
Ancestry.com Operations Inc. | |||||||
Term Loan B4, 5.25%, (1M LIBOR + 4.25%), 08/15/26 (c) | 112,512 | 106,465 | |||||
CenturyLink, Inc. | |||||||
Reprice Term Loan, 2.43%, (1M LIBOR + 2.25%), 03/15/27 (c) | 134,325 | 126,341 | |||||
CSC Holdings, LLC | |||||||
2020 Term Loan B, 2.43%, (1M LIBOR + 2.25%), 07/15/25 (c) | 157,165 | 148,324 | |||||
Diamond Sports Group, LLC | |||||||
2020 Term Loan, 3.43%, (3M LIBOR + 3.25%), 08/24/26 (c) | 89,325 | 72,465 | |||||
Frontier Communications Corporation | |||||||
2019 Term Loan, 5.21%, (PRIME + 2.75%), 05/31/24 (c) | 407 | 395 | |||||
2019 Term Loan, 5.35%, (1M LIBOR + 3.75%), 05/31/24 (c) | 121,760 | 118,346 | |||||
Level 3 Financing Inc. | |||||||
2018 Incremental Term Loan, 1.93%, (1M LIBOR + 1.75%), 03/01/27 (c) | 168,664 | 159,207 | |||||
Nexstar Broadcasting, Inc. | |||||||
2017 Term Loan B3, 2.92%, (1M LIBOR + 2.75%), 07/15/26 (c) | 239,342 | 227,161 | |||||
Terrier Media Buyer, Inc. | |||||||
Term Loan B, 4.43%, (1M LIBOR + 4.25%), 10/04/26 (c) | 38,805 | 36,930 | |||||
T-Mobile USA, Inc. | |||||||
2020 Term Loan, 3.18%, (1M LIBOR + 3.00%), 04/01/27 (c) | 62,500 | 62,365 | |||||
Univision Communications Inc. | |||||||
Term Loan C5, 2.93%, (1M LIBOR + 2.75%), 03/15/24 (c) | 112,851 | 104,105 | |||||
Virgin Media Bristol LLC | |||||||
USD Term Loan N, 2.68%, (1M LIBOR + 2.50%), 10/03/27 (c) | 150,000 | 142,912 | |||||
Windstream Services, LLC | |||||||
Repriced Term Loan B6, 8.25%, (PRIME + 5.00%), 03/29/21 (c) | 149,237 | 89,840 | |||||
Zayo Group Holdings, Inc. | |||||||
USD Term Loan, 3.18%, (1M LIBOR + 3.00%), 02/20/27 (c) | 222,063 | 210,275 | |||||
1,605,131 | |||||||
Materials 2.5% | |||||||
Berry Global, Inc. | |||||||
Term Loan B, 2.18%, (1M LIBOR + 2.00%), 07/01/26 (c) | 194,906 | 185,892 | |||||
BWAY Holding Company | |||||||
Term Loan B, 4.56%, (3M LIBOR + 3.25%), 04/03/24 (c) | 285,050 | 255,239 | |||||
Diamond (BC) B.V. | |||||||
USD Term Loan , 3.76%, (3M LIBOR + 3.00%), 07/24/24 (c) | 166,583 | 152,702 | |||||
Flex Acquisition Company, Inc. | |||||||
2019 Term Loan B, 4.43%, (3M LIBOR + 3.00%), 12/15/23 (c) | 69,269 | 66,041 | |||||
Hexion Inc | |||||||
2018 Term Loan B, 4.93%, (3M LIBOR + 3.50%), 06/27/26 (c) | 120,936 | 117,610 | |||||
Klockner-Pentaplast of America, Inc. | |||||||
2018 Term Loan B, 5.25%, (3M LIBOR + 4.25%), 06/30/22 (c) | 147,355 | 137,566 | |||||
Messer Industries GmbH | |||||||
2018 1st Lien Term Loan, 2.81%, (3M LIBOR + 2.50%), 10/10/25 (c) | 119,488 | 113,662 | |||||
1,028,712 | |||||||
Health Care 1.4% | |||||||
Air Methods Corporation | |||||||
USD Term Loan, 4.50%, (3M LIBOR + 3.50%), 04/12/24 (c) | 88,770 | 72,773 | |||||
Alphabet Holding Company, Inc. | |||||||
USD 2nd Lien Term Loan, 3.68%, (1M LIBOR + 3.50%), 08/15/24 (c) | 88,186 | 82,812 | |||||
Endo Luxembourg Finance Company I S.a r.l. | |||||||
2019 Term Loan B2, 5.00%, (1M LIBOR + 4.25%), 04/12/24 (c) | 132,273 | 124,667 | |||||
Phoenix Guarantor Inc | |||||||
2017 Term Loan B, 3.43%, (1M LIBOR + 3.25%), 03/05/26 (c) | 165,004 | 158,404 | |||||
RegionalCare Hospital Partners Holdings, Inc. | |||||||
2017 1st Lien Term Loan B, 3.93%, (1M LIBOR + 3.75%), 11/09/25 (c) | 130,936 | 122,408 | |||||
561,064 | |||||||
Energy 1.3% | |||||||
Buckeye Partners, L.P. | |||||||
Term Loan B, 2.92%, (1M LIBOR + 2.75%), 10/10/26 (c) | 250,000 | 239,125 | |||||
California Resources Corporation | |||||||
Term Loan, 5.75%, (3M LIBOR + 4.75%), 11/08/22 (c) | 125,000 | 42,656 | |||||
Lower Cadence Holdings LLC | |||||||
2018 1st Lien Term Loan, 4.18%, (1M LIBOR + 4.00%), 05/10/26 (c) | 192,740 | 170,575 | |||||
Traverse Midstream Partners LLC | |||||||
2017 Term Loan, 5.00%, (1M LIBOR + 4.00%), 09/22/24 (c) | 98,250 | 81,425 | |||||
533,781 | |||||||
Utilities 0.7% | |||||||
Calpine Corporation | |||||||
Term Loan, 2.43%, (1M LIBOR + 2.25%), 05/23/22 (c) | 195,876 | 188,721 | |||||
Pacific Gas And Electric Company | |||||||
2017 Term Loan B, 2.44%, (1M LIBOR + 2.25%), 12/31/20 (c) | 100,000 | 99,500 | |||||
288,221 | |||||||
Industrials 0.7% | |||||||
Genesee & Wyoming Inc. | |||||||
2018 USD Term Loan B2, 2.31%, (3M LIBOR + 2.00%), 10/29/26 (c) | 75,810 | 72,819 | |||||
Tempo Acquisition LLC | |||||||
Term Loan, 2.93%, (1M LIBOR + 2.75%), 04/20/24 (c) | 225,354 | 213,522 | |||||
286,341 | |||||||
Consumer Staples 0.6% | |||||||
BJ's Wholesale Club, Inc. | |||||||
Term Loan B, 2.43%, (1M LIBOR + 2.25%), 01/26/24 (c) | 99,878 | 96,453 | |||||
JBS USA Lux S.A. | |||||||
2018 Term Loan B, 3.07%, (3M LIBOR + 2.00%), 04/27/26 (c) | 145,528 | 138,676 | |||||
235,129 | |||||||
Information Technology 0.4% | |||||||
Radiate Holdco, LLC | |||||||
2017 Incremental Term Loan B, 3.75%, (1M LIBOR + 3.00%), 12/09/23 (c) | 151,862 | 144,649 | |||||
Financials 0.2% | |||||||
BCP Renaissance Parent LLC | |||||||
Term Loan B, 4.50%, (3M LIBOR + 3.50%), 09/20/24 (c) | 100,062 | 83,338 | |||||
Total Senior Floating Rate Instruments (cost $7,374,242) | 6,819,594 | ||||||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES 9.1% | |||||||
Alaska Airlines Pass Through Trust | |||||||
Series 2020-A-1, 4.80%, 08/15/27 (m) | 62,000 | 62,775 | |||||
American Airlines, Inc. | |||||||
Series 2013-B-2, 5.60%, 07/15/20 | 43,548 | 43,156 |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
30
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
AmeriCredit Automobile Receivables Trust | |||||||
Series 2018-A3-1, 3.07%, 01/19/21 (d) | 444,080 | 448,403 | |||||
Ascentium Equipment Receivables Trust | |||||||
Series 2017-A3-2A, 2.31%, 12/10/21 | 44,435 | 44,644 | |||||
BX Commercial Mortgage Trust | |||||||
Series 2018-A-IND, 0.93%, (1M USD LIBOR + 0.75%), 10/15/20 (c) (d) | 401,157 | 397,854 | |||||
Series 2020-A-BXLP, REMIC, 0.98%, (1M USD LIBOR + 0.80%), 12/15/21 (c) (d) | 800,000 | 794,243 | |||||
Capital One Prime Auto Receivables Trust | |||||||
Series 2020-A2-1, 1.64%, 06/15/23 | 186,000 | 186,366 | |||||
CCG Receivables Trust | |||||||
Series 2018-A2-1, 2.50%, 02/14/21 | 21,016 | 21,095 | |||||
CIG Auto Receivables Trust | |||||||
Series 2017-A-1A, 2.71%, 05/15/23 | 3,230 | 3,192 | |||||
DLL LLC | |||||||
Series 2018-A3-ST2, 3.46%, 04/20/21 | 71,678 | 72,383 | |||||
Series 2019-A2-MT3, 2.13%, 01/20/22 | 250,000 | 251,525 | |||||
GLS Auto Receivables Trust | |||||||
Series 2019-A-1A, 3.37%, 03/15/21 | 41,735 | 42,092 | |||||
Series 2018-A-3A, 3.35%, 08/15/22 | 11,997 | 12,047 | |||||
GreatAmerica Financial Services Corporation | |||||||
Series 2019-A2-1, 2.97%, 09/15/20 | 57,863 | 57,940 | |||||
GS Mortgage Securities Corp Trust | |||||||
Series 2017-B-SLP, REMIC, 3.77%, 10/12/22 | 175,000 | 174,866 | |||||
HPEFS Equipment Trust | |||||||
Series 2019-A2-1A, 2.19%, 09/20/29 | 88,409 | 88,523 | |||||
John Deere Owner Trust | |||||||
Series 2019-A2-B, 2.28%, 04/15/21 (d) | 256,065 | 257,653 | |||||
Prestige Auto Receivables Trust | |||||||
Series 2019-A2-1A, 2.44%, 12/15/20 (d) | 359,757 | 360,309 | |||||
Verizon Owner Trust | |||||||
Series 2018-A1A-1A, 2.82%, 03/22/21 (d) | 350,677 | 353,744 | |||||
Volvo Financial Equipment LLC | |||||||
Series 2019-A2-1A, 2.90%, 10/15/20 | 48,097 | 48,244 | |||||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $3,719,548) | 3,721,054 | ||||||
INVESTMENT COMPANIES 2.3% | |||||||
Kayne Anderson MLP Investment Co. | 2,582 | 13,633 | |||||
SPDR Bloomberg Barclays High Yield Bond ETF (d) | 9,300 | 940,787 | |||||
Total Investment Companies (cost $1,040,179) | 954,420 | ||||||
GOVERNMENT AND AGENCY OBLIGATIONS 0.8% | |||||||
Sovereign 0.6% | |||||||
Abu Dhabi, Government of | |||||||
3.13%, 04/16/30 (a) | 200,000 | 220,139 | |||||
Municipal 0.2% | |||||||
Dormitory Authority State of New York | |||||||
3.19%, 02/15/43 | 80,000 | 87,058 | |||||
Total Government And Agency Obligations (cost $279,214) | 307,197 | ||||||
WARRANTS 0.1% | |||||||
iHeartMedia, Inc. (h) (n) | 2,328 | 17,495 | |||||
Total Warrants (cost $42,970) | 17,495 | ||||||
COMMON STOCKS 0.0% | |||||||
Communication Services 0.0% | |||||||
Clear Channel Outdoor Holdings, Inc. (h) | 6,438 | 6,696 | |||||
iHeartMedia, Inc. - Class A (h) | 310 | 2,588 | |||||
Total Common Stocks (cost $37,234) | 9,284 | ||||||
SHORT TERM INVESTMENTS 4.7% | |||||||
Investment Companies 4.7% | |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.12% (o) | 1,921,904 | 1,921,904 | |||||
Total Short Term Investments (cost $1,921,904) | 1,921,904 | ||||||
Total Investments 112.9% (cost $45,629,446) | 46,049,714 | ||||||
Total Securities Sold Short (13.2)% (proceeds $4,561,017) | (5,399,794) | ||||||
Other Derivative Instruments 0.0% | 14,464 | ||||||
Other Assets and Liabilities, Net 0.3% | 118,154 | ||||||
Total Net Assets 100.0% | 40,782,538 |
(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. As of June 30, 2020, the value and the percentage of net assets of these liquid securities was $9,765,757 and 23.9% of the Fund.
(b) Perpetual security. Next contractual call date presented, if applicable.
(c) Security has a variable rate. Interest rates reset periodically. Rate stated was in effect as of June 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are presented. Certain variable rate securities do not indicate a reference rate and spread because they are determined by the issuer, remarketing agent, or offering documents and are based on current market conditions. The coupon rate for securities with certain features outlined in the offering documents may vary from the stated reference rate and spread. This includes, but is not limited to, securities with deferred rates, contingent distributions, caps, floors, and fixed-rate to float-rate features. In addition, variable rates for government and agency collateralized mortgage obligations (“CMO”) and mortgage-backed securities (“MBS”) are determined by tranches of underlying mortgage-backed security pools’ cash flows into securities and pass-through rates which reflect the rate earned on the asset pool after management and guarantee fees are paid to the securitizing corporation. CMO and MBS variable rates are determined by a formula set forth in the security’s offering documents.
(d) All or a portion of the security is pledged or segregated as collateral.
(e) Convertible security.
(f) 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.
(g) Security is restricted to resale to institutional investors. See Restricted Securities table following the Schedules of Investments.
(h) Non-income producing security.
(i) As of June 30, 2020, issuer was in bankruptcy and/or was in default relating to principal and/or interest. Partial or no payments were paid on the last interest or dividend date.
(j) The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer.
(k) Pay-in-kind security. Stated coupon is the pay-in-kind rate. The interest earned by the security may be paid in cash or additional par.
(l) This senior floating rate interest will settle after June 30, 2020. 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 June 30, 2020, the total payable for investments purchased on a delayed delivery basis was $62,000.
(n) Security fair valued in good faith as a Level 2 security in accordance with the procedures approved by the Board of Trustees. Good faith fair valued securities are classified for Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820 "Fair Value Measurement" based on the applicable valuation inputs. See FASB ASC Topic 820 in the Notes to Financial Statements.
(o) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2020.
Shares/Par1 | Value ($) | ||||||
SECURITIES SOLD SHORT (13.2%) | |||||||
CORPORATE BONDS AND NOTES (11.5%) | |||||||
Financials (3.7%) | |||||||
Bank of America Corporation | |||||||
3.95%, 01/23/49 | (1,250,000) | (1,529,201) | |||||
Communication Services (3.7%) | |||||||
Verizon Communications Inc. | |||||||
4.52%, 09/15/48 | (1,123,000) | (1,498,126) | |||||
Materials (1.3%) | |||||||
International Paper Company | |||||||
3.00%, 02/15/27 | (500,000) | (540,313) |
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
31
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | ||||||
Consumer Discretionary (1.0%) | |||||||
Harley-Davidson, Inc. | |||||||
3.50%, 07/28/25 | (400,000) | (414,799) | |||||
Energy (0.9%) | |||||||
Southwestern Energy Company | |||||||
6.20%, 01/23/25 (a) | (432,000) | (373,966) | |||||
Information Technology (0.9%) | |||||||
Intel Corporation | |||||||
4.10%, 05/11/47 | (275,000) | (350,389) | |||||
Total Corporate Bonds And Notes (proceeds $3,906,711) | (4,706,794) | ||||||
GOVERNMENT AND AGENCY OBLIGATIONS (1.7%) | |||||||
Sovereign (1.7%) | |||||||
El Gobierno De La República Oriental Del Uruguay | |||||||
4.38%, 10/27/27 | (600,000) | (693,000) | |||||
Total Government And Agency Obligations (proceeds $654,306) | (693,000) | ||||||
Total Securities Sold Short (13.2%) (proceeds $4,561,017) | (5,399,794) |
(a) Security is a step-up bond where the coupon may increase or step up at a future date or as the result of an upgrade or downgrade to the credit rating of the issuer. Rate stated was the coupon as of June 30, 2020.
PPM Long Short Credit Fund — Restricted Securities | ||||||||||||||||
Initial Acquisition | Cost ($) | Value ($) | Percent of Net Assets (%) | |||||||||||||
Nordic Aviation Capital DAC, 5.58%, 03/14/24 | 02/27/19 | 135,000 | 101,925 | 0.2 | ||||||||||||
PPM Long Short Credit Fund — Futures Contracts | |||||||||||||||
Reference Entity | Contracts1 | Expiration | Notional1 | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||
Short Contracts | |||||||||||||||
United States 10 Year Note | (16) | September 2020 | (2,218,854) | 2,500 | (7,897) | ||||||||||
United States 10 Year Ultra Bond | (32) | September 2020 | (5,020,058) | 8,000 | (19,442) | ||||||||||
United States 2 Year Note | (5) | October 2020 | (1,103,683) | (78) | (457) | ||||||||||
United States 5 Year Note | (38) | October 2020 | (4,767,618) | 1,187 | (10,585) | ||||||||||
United States Long Bond | (9) | September 2020 | (1,596,434) | 4,219 | (10,629) | ||||||||||
United States Ultra Bond | (4) | September 2020 | (865,425) | 4,125 | (7,200) | ||||||||||
19,953 | (56,210) |
PPM Long Short Credit Fund — Centrally Cleared Credit Default Swap Agreements | ||||||||||||||||||
Reference Entity2 | Fixed Receive/ Pay Rate (%) | Expiration | Notional1 | Value ($) | Variation Margin Receivable (Payable) ($) | Unrealized Appreciation (Depreciation) ($) | ||||||||||||
Credit default swap agreements - purchase protection | ||||||||||||||||||
CDX.NA.IG.34 (Q) | 1.00 | 06/20/25 | 3,380,000 | (39,904) | (5,489) | (107,148) | ||||||||||||
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
32
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | |||||
PPM Large Cap Value Fund | ||||||
COMMON STOCKS 99.6% | ||||||
Financials 19.1% | ||||||
Bank of America Corporation | 3,600 | 85,500 | ||||
Berkshire Hathaway Inc. - Class B (a) | 800 | 142,808 | ||||
Citigroup Inc. | 3,800 | 194,180 | ||||
Huntington Bancshares Incorporated | 12,200 | 110,227 | ||||
JPMorgan Chase & Co. | 1,800 | 169,308 | ||||
Morgan Stanley | 3,900 | 188,370 | ||||
Synovus Financial Corp. | 6,500 | 133,445 | ||||
The Allstate Corporation | 2,000 | 193,980 | ||||
The Hartford Financial Services Group, Inc. | 5,000 | 192,750 | ||||
The PNC Financial Services Group, Inc. | 900 | 94,689 | ||||
1,505,257 | ||||||
Health Care 16.9% | ||||||
AbbVie Inc. | 2,200 | 215,996 | ||||
Cigna Holding Company | 1,000 | 187,650 | ||||
CVS Health Corporation | 3,000 | 194,910 | ||||
Johnson & Johnson | 1,300 | 182,819 | ||||
McKesson Corporation | 1,400 | 214,788 | ||||
Merck & Co., Inc. | 2,000 | 154,660 | ||||
Pfizer Inc. | 5,500 | 179,850 | ||||
1,330,673 | ||||||
Information Technology 15.5% | ||||||
ADS Alliance Data Systems, Inc. | 2,000 | 90,240 | ||||
Apple Inc. | 600 | 218,880 | ||||
Avnet, Inc. | 2,000 | 55,770 | ||||
Cisco Systems, Inc. | 3,000 | 139,920 | ||||
Cognizant Technology Solutions Corp. - Class A | 1,300 | 73,866 | ||||
Intel Corporation | 1,400 | 83,762 | ||||
Leidos Holdings Inc. | 1,900 | 177,973 | ||||
Microsoft Corporation | 800 | 162,808 | ||||
Nuance Communications, Inc. (a) | 3,400 | 86,037 | ||||
Qualcomm Incorporated | 1,500 | 136,815 | ||||
1,226,071 | ||||||
Consumer Discretionary 9.0% | ||||||
Best Buy Co., Inc. | 1,400 | 122,178 | ||||
Delta Air Lines, Inc. | 5,800 | 162,690 | ||||
Foot Locker, Inc. | 3,400 | 99,144 | ||||
General Motors Company | 6,000 | 151,800 | ||||
Newell Brands Inc. | 6,100 | 96,868 | ||||
Royal Caribbean Cruises Ltd. | 1,500 | 75,450 | ||||
708,130 | ||||||
Consumer Staples 8.7% | ||||||
Altria Group, Inc. | 5,000 | 196,250 | ||||
Archer-Daniels-Midland Company | 3,900 | 155,610 | ||||
Campbell Soup Company | 2,900 | 143,927 | ||||
The Kroger Co. | 5,700 | 192,945 | ||||
688,732 | ||||||
Utilities 7.4% | ||||||
Exelon Corporation | 4,700 | 170,563 | ||||
The AES Corporation | 15,100 | 218,799 | ||||
Vistra Energy Corp. | 10,300 | 191,786 | ||||
581,148 | ||||||
Communication Services 6.8% | ||||||
AT&T Inc. | 6,500 | 196,495 | ||||
Comcast Corporation - Class A | 4,800 | 187,104 | ||||
ViacomCBS Inc. - Class B | 6,600 | 153,912 | ||||
537,511 | ||||||
Industrials 6.3% | ||||||
Caterpillar Inc. | 1,200 | 151,800 | ||||
Robert Half International Inc. | 2,600 | 137,358 | ||||
Spirit Aerosystems Holdings Inc. - Class A | 3,300 | 79,002 | ||||
Textron Inc. | 3,900 | 128,349 | ||||
496,509 | ||||||
Energy 5.6% | ||||||
Chevron Corporation | 2,100 | 187,383 | ||||
Exxon Mobil Corporation | 3,000 | 134,160 | ||||
Halliburton Company | 9,000 | 116,820 | ||||
438,363 | ||||||
Materials 3.4% | ||||||
Berry Global Group, Inc. (a) | 3,500 | 155,120 | ||||
Nucor Corporation | 2,700 | 111,807 | ||||
266,927 | ||||||
Real Estate 0.9% | ||||||
Simon Property Group, Inc. | 1,100 | 75,218 | ||||
Total Common Stocks (cost $8,693,430) | 7,854,539 | |||||
SHORT TERM INVESTMENTS 0.5% | ||||||
Investment Companies 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.12% (b) | 42,838 | 42,838 | ||||
Total Short Term Investments (cost $42,838) | 42,838 | |||||
Total Investments 100.1% (cost $8,736,268) | 7,897,377 | |||||
Other Assets and Liabilities, Net (0.1)% | (10,078) | |||||
Total Net Assets 100.0% | 7,887,299 |
(a) Non-income producing security.
(b) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2020.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
33
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | |||||
PPM Mid Cap Value Fund | ||||||
COMMON STOCKS 99.6% | ||||||
Financials 19.3% | ||||||
American Financial Group, Inc. | 1,400 | 88,844 | ||||
Home BancShares, Inc. | 5,500 | 84,590 | ||||
Huntington Bancshares Incorporated | 7,600 | 68,666 | ||||
Janus Henderson Group PLC | 6,000 | 126,960 | ||||
Reinsurance Group of America, Incorporated | 950 | 74,518 | ||||
Sterling Bancorp | 4,100 | 48,052 | ||||
Synovus Financial Corp. | 5,900 | 121,127 | ||||
TCF Financial Corporation | 4,100 | 120,622 | ||||
The Allstate Corporation | 1,200 | 116,388 | ||||
The Hartford Financial Services Group, Inc. | 2,700 | 104,085 | ||||
953,852 | ||||||
Consumer Discretionary 12.9% | ||||||
Best Buy Co., Inc. | 1,000 | 87,270 | ||||
Delta Air Lines, Inc. | 3,800 | 106,590 | ||||
Foot Locker, Inc. | 2,900 | 84,564 | ||||
Helen of Troy Ltd (a) | 700 | 131,992 | ||||
Newell Brands Inc. | 5,500 | 87,340 | ||||
Penske Automotive Group, Inc. | 2,100 | 81,291 | ||||
Royal Caribbean Cruises Ltd. | 1,200 | 60,360 | ||||
639,407 | ||||||
Information Technology 12.7% | ||||||
Avnet, Inc. | 1,800 | 50,193 | ||||
Belden Inc. | 2,200 | 71,610 | ||||
CACI International Inc. - Class A (a) | 300 | 65,064 | ||||
Cognizant Technology Solutions Corp. - Class A | 900 | 51,138 | ||||
Leidos Holdings Inc. | 800 | 74,936 | ||||
Nuance Communications, Inc. (a) | 3,500 | 88,567 | ||||
Semtech Corp. (a) | 1,900 | 99,218 | ||||
Teradyne Inc. | 1,000 | 84,510 | ||||
Western Digital Corporation | 1,000 | 44,150 | ||||
629,386 | ||||||
Industrials 11.6% | ||||||
Kennametal Inc. | 4,300 | 123,453 | ||||
MasTec Inc. (a) | 2,400 | 107,688 | ||||
Robert Half International Inc. | 1,400 | 73,962 | ||||
Spirit Aerosystems Holdings Inc. - Class A | 3,000 | 71,820 | ||||
Terex Corp. | 3,450 | 64,757 | ||||
Textron Inc. | 4,000 | 131,640 | ||||
573,320 | ||||||
Utilities 9.0% | ||||||
Exelon Corporation | 2,100 | 76,209 | ||||
PNM Resources, Inc. | 2,500 | 96,100 | ||||
Sempra Energy | 400 | 46,892 | ||||
The AES Corporation | 7,500 | 108,675 | ||||
Vistra Energy Corp. | 6,400 | 119,168 | ||||
447,044 | ||||||
Materials 7.3% | ||||||
Berry Global Group, Inc. (a) | 1,800 | 79,776 | ||||
Huntsman Corp. | 5,700 | 102,429 | ||||
Reliance Steel & Aluminum Co. | 1,100 | 104,423 | ||||
Steel Dynamics Inc. | 2,800 | 73,052 | ||||
359,680 | ||||||
Health Care 7.3% | ||||||
Cigna Holding Company | 600 | 112,590 | ||||
Magellan Health Services Inc. (a) | 1,700 | 124,066 | ||||
McKesson Corporation | 800 | 122,736 | ||||
359,392 | ||||||
Consumer Staples 6.8% | ||||||
Campbell Soup Company | 2,100 | 104,223 | ||||
Ingredion Inc. | 1,500 | 124,500 | ||||
The Kroger Co. | 3,200 | 108,320 | ||||
337,043 | ||||||
Real Estate 6.5% | ||||||
Healthpeak Properties, Inc. | 3,500 | 96,460 | ||||
Physicians Realty Trust | 7,500 | 131,400 | ||||
Regency Centers Corp. | 2,000 | 91,780 | ||||
319,640 | ||||||
Energy 3.1% | ||||||
Halliburton Company | 4,000 | 51,920 | ||||
National Oilwell Varco, Inc. | 3,700 | 45,325 | ||||
PBF Energy Inc. - Class A | 5,500 | 56,320 | ||||
153,565 | ||||||
Communication Services 3.1% | ||||||
Meredith Corporation | 3,000 | 43,650 | ||||
ViacomCBS Inc. - Class B | 4,600 | 107,272 | ||||
150,922 | ||||||
Total Common Stocks (cost $5,825,904) | 4,923,251 | |||||
SHORT TERM INVESTMENTS 0.7% | ||||||
Investment Companies 0.7% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.12% (b) | �� | 35,939 | 35,939 | |||
Total Short Term Investments (cost $35,939) | 35,939 | |||||
Total Investments 100.3% (cost $5,861,843) | 4,959,190 | |||||
Other Assets and Liabilities, Net (0.3)% | (15,998) | |||||
Total Net Assets 100.0% | 4,943,192 |
(a) Non-income producing security.
(b) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2020.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
34
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
Shares/Par1 | Value ($) | |||||
PPM Small Cap Value Fund | ||||||
COMMON STOCKS 99.6% | ||||||
Financials 28.3% | ||||||
Ameris Bancorp | 6,950 | 163,950 | ||||
Axos Financial, Inc. (a) | 12,800 | 282,624 | ||||
Banc of California, Inc. | 14,600 | 158,118 | ||||
First Horizon National Corporation | 16,700 | 166,332 | ||||
Home BancShares, Inc. | 16,400 | 252,232 | ||||
Houlihan Lokey Inc. - Class A | 4,500 | 250,380 | ||||
Independent Bank Corp. | 4,000 | 268,360 | ||||
Janus Henderson Group PLC | 9,600 | 203,136 | ||||
National General Holdings Corp. | 12,900 | 278,769 | ||||
Renasant Corporation | 11,000 | 273,900 | ||||
Sterling Bancorp | 22,600 | 264,872 | ||||
TCF Financial Corporation | 9,000 | 264,780 | ||||
Western Alliance Bancorp | 5,000 | 189,350 | ||||
3,016,803 | ||||||
Industrials 16.8% | ||||||
Aerojet Rocketdyne Holdings, Inc. (a) | 3,500 | 138,740 | ||||
Apogee Enterprises, Inc. | 11,500 | 264,960 | ||||
GATX Corporation | 3,400 | 207,332 | ||||
Kennametal Inc. | 10,000 | 287,100 | ||||
MasTec Inc. (a) | 3,600 | 161,532 | ||||
SkyWest Inc. | 7,900 | 257,698 | ||||
Spirit Aerosystems Holdings Inc. - Class A | 4,300 | 102,942 | ||||
Steelcase Inc. - Class A | 13,500 | 162,810 | ||||
Terex Corp. | 10,800 | 202,716 | ||||
1,785,830 | ||||||
Information Technology 15.0% | ||||||
Avaya Holdings Corp. (a) | 13,000 | 160,680 | ||||
Belden Inc. | 4,500 | 146,475 | ||||
Benchmark Electronics, Inc. | 6,700 | 144,720 | ||||
CACI International Inc. - Class A (a) | 1,100 | 238,568 | ||||
CSG Systems International, Inc. | 2,800 | 115,892 | ||||
KBR, Inc. | 6,600 | 148,830 | ||||
Photronics Inc. (a) | 8,000 | 89,040 | ||||
Semtech Corp. (a) | 4,500 | 234,990 | ||||
SYNNEX Corporation | 1,200 | 143,724 | ||||
Teradata Corporation (a) | 4,000 | 83,200 | ||||
Verint Systems Inc. (a) | 2,000 | 90,360 | ||||
1,596,479 | ||||||
Consumer Discretionary 9.9% | ||||||
American Axle & Manufacturing Holdings, Inc. (a) | 16,000 | 121,600 | ||||
Foot Locker, Inc. | 4,000 | 116,640 | ||||
Helen of Troy Ltd (a) | 1,500 | 282,840 | ||||
Penske Automotive Group, Inc. | 7,400 | 286,454 | ||||
Skechers U.S.A. Inc. - Class A (a) | 7,900 | 247,902 | ||||
1,055,436 | ||||||
Health Care 7.6% | ||||||
Integer Holdings Corporation (a) | 3,100 | 226,455 | ||||
Magellan Health Services Inc. (a) | 4,200 | 306,516 | ||||
Premier Healthcare Solutions, Inc. - Class A (a) | 7,900 | 270,812 | ||||
803,783 | ||||||
Real Estate 6.9% | ||||||
Brandywine Realty Trust | 16,000 | 174,240 | ||||
DiamondRock Hospitality Co. | 27,400 | 151,522 | ||||
Kite Realty Naperville, LLC | 15,600 | 180,024 | ||||
Physicians Realty Trust | 13,000 | 227,760 | ||||
733,546 | ||||||
Materials 5.1% | ||||||
Allegheny Technologies Incorporated (a) | 12,400 | 126,356 | ||||
Huntsman Corp. | 9,700 | 174,309 | ||||
Olin Corporation | 9,300 | 106,857 | ||||
Reliance Steel & Aluminum Co. | 1,400 | 132,902 | ||||
540,424 | ||||||
Consumer Staples 4.5% | ||||||
Ingredion Inc. | 1,600 | 132,800 | ||||
Primo Water Corporation | 19,100 | 262,625 | ||||
Sanderson Farms Inc. | 700 | 81,123 | ||||
476,548 | ||||||
Utilities 2.3% | ||||||
PNM Resources, Inc. | 6,500 | 249,860 | ||||
Energy 1.6% | ||||||
PBF Energy Inc. - Class A | 17,100 | 175,104 | ||||
Communication Services 1.6% | ||||||
Meredith Corporation | 11,500 | 167,325 | ||||
Total Common Stocks (cost $11,539,561) | 10,601,138 | |||||
SHORT TERM INVESTMENTS 0.5% | ||||||
Investment Companies 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.12% (b) | 56,067 | 56,067 | ||||
Total Short Term Investments (cost $56,067) | 56,067 | |||||
Total Investments 100.1% (cost $11,595,628) | 10,657,205 | |||||
Other Assets and Liabilities, Net (0.1)% | (13,260) | |||||
Total Net Assets 100.0% | 10,643,945 |
(a) Non-income producing security.
(b) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of June 30, 2020.
See accompanying Notes to Financial Statements.
Abbreviations, counterparties and additional footnotes are defined on page 36
35
PPMFunds
Schedules of Investments (Unaudited)
June 30, 2020
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 | |
SPDR - Standard & Poor Depositary Receipt | |
U.S. or US - United States | |
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 36
36
PPMFunds
Statements of Assets and Liabilities (Unaudited)
June 30, 2020
|
| 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, at value | $ | 58,053,232 |
| $ | 51,640,744 |
| $ | 53,870,875 |
| $ | 46,049,714 |
| $ | 7,897,377 |
| $ | 4,959,190 |
| $ | 10,657,205 |
| |
Variation margin on futures |
| 6,484 |
|
| 250 |
|
| 469 |
|
| 20,031 |
|
| — |
|
| — |
|
| — |
| |
Cash |
| — |
|
| 144,830 |
|
| — |
|
| — |
|
| 4 |
|
| 2 |
|
| — |
| |
Receivable from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities sold |
| 281,351 |
|
| 422,664 |
|
| 17,544 |
|
| 128,350 |
|
| 50,062 |
|
| 76,429 |
|
| 8,013 |
|
| Fund shares sold |
| 130,933 |
|
| 115,923 |
|
| 209,282 |
|
| 95,896 |
|
| — |
|
| — |
|
| — |
|
| Dividends and interest |
| 341,426 |
|
| 96,815 |
|
| 747,453 |
|
| 309,634 |
|
| 16,778 |
|
| 8,881 |
|
| 10,016 |
|
| Adviser |
| 11,316 |
|
| 9,582 |
|
| 11,569 |
|
| 5,993 |
|
| 1,866 |
|
| 1,297 |
|
| 1,916 |
|
| Deposits with brokers and counterparties |
| 87,784 |
|
| 4,180 |
|
| 7,590 |
|
| 328,582 |
|
| — |
|
| — |
|
| — |
|
Other assets |
| 4,134 |
|
| 4,306 |
|
| 4,478 |
|
| 3,384 |
|
| 651 |
|
| 472 |
|
| 886 |
| |
Total assets |
| 58,916,660 |
|
| 52,439,294 |
|
| 54,869,260 |
|
| 46,941,584 |
|
| 7,966,738 |
|
| 5,046,271 |
|
| 10,678,036 |
| |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Cash overdraft |
| 122,335 |
|
| — |
|
| 231,997 |
|
| 63,308 |
|
| — |
|
| — |
|
| 4 |
| |
Securities sold short, at value |
| — |
|
| — |
|
| — |
|
| 5,399,794 |
|
| — |
|
| — |
|
| — |
| |
Variation margin on futures |
| 9,156 |
|
| — |
|
| — |
|
| 78 |
|
| — |
|
| — |
|
| — |
| |
Variation margin on swap agreements |
| 812 |
|
| — |
|
| — |
|
| 5,489 |
|
| — |
|
| — |
|
| — |
| |
Payable for: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investment securities purchased |
| 3,275,868 |
|
| 1,209,819 |
|
| 788,680 |
|
| 572,041 |
|
| 69,011 |
|
| 95,229 |
|
| 18,063 |
|
| Return of securities loaned |
| 435,275 |
|
| — |
|
| 1,063,848 |
|
| — |
|
| — |
|
| — |
|
| — |
|
| Dividends/interest on securities sold short |
| — |
|
| — |
|
| — |
|
| 66,190 |
|
| — |
|
| — |
|
| — |
|
| Interest expense and brokerage charges |
| — |
|
| — |
|
| — |
|
| 4,373 |
|
| — |
|
| — |
|
| — |
|
| Advisory fees |
| 17,967 |
|
| 23,268 |
|
| 24,061 |
|
| 16,785 |
|
| 3,956 |
|
| 2,902 |
|
| 7,376 |
|
| Administrative fees |
| 4,491 |
|
| 4,230 |
|
| 4,374 |
|
| 3,357 |
|
| 659 |
|
| 414 |
|
| 922 |
|
| Board of Trustees fees |
| 8,621 |
|
| 8,962 |
|
| 9,323 |
|
| 7,025 |
|
| 1,358 |
|
| 987 |
|
| 1,881 |
|
| Chief Compliance Officer fees |
| 3,623 |
|
| 3,788 |
|
| 3,946 |
|
| 2,917 |
|
| 577 |
|
| 414 |
|
| 766 |
|
| Other expenses |
| 19,661 |
|
| 19,775 |
|
| 20,874 |
|
| 17,689 |
|
| 3,878 |
|
| 3,133 |
|
| 5,079 |
|
Total liabilities |
| 3,897,809 |
|
| 1,269,842 |
|
| 2,147,103 |
|
| 6,159,046 |
|
| 79,439 |
|
| 103,079 |
|
| 34,091 |
| |
Net assets | $ | 55,018,851 |
| $ | 51,169,452 |
| $ | 52,722,157 |
| $ | 40,782,538 |
| $ | 7,887,299 |
| $ | 4,943,192 |
| $ | 10,643,945 |
| |
Net assets consist of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Paid-in capital | $ | 50,479,149 |
| $ | 55,834,068 |
| $ | 56,769,366 |
| $ | 43,492,400 |
| $ | 9,184,005 |
| $ | 6,550,093 |
| $ | 13,658,087 |
| |
Total distributable earnings (loss) |
| 4,539,702 |
|
| (4,664,616 | ) |
| (4,047,209 | ) |
| (2,709,862 | ) |
| (1,296,706 | ) |
| (1,606,901 | ) |
| (3,014,142 | ) | |
Net assets | $ | 55,018,851 |
| $ | 51,169,452 |
| $ | 52,722,157 |
| $ | 40,782,538 |
| $ | 7,887,299 |
| $ | 4,943,192 |
| $ | 10,643,945 |
| |
Net assets - Institutional Class | $ | 55,018,851 |
| $ | 51,169,452 |
| $ | 52,722,157 |
| $ | 40,782,538 |
| $ | 7,887,299 |
| $ | 4,943,192 |
| $ | 10,643,945 |
| |
Shares outstanding - Institutional Class |
| 5,058,317 |
|
| 5,633,040 |
|
| 5,702,045 |
|
| 4,355,512 |
|
| 968,441 |
|
| 684,508 |
|
| 1,506,751 |
| |
Net asset value per share - Institutional Class | $ | 10.88 |
| $ | 9.08 |
| $ | 9.25 |
| $ | 9.36 |
| $ | 8.14 |
| $ | 7.22 |
| $ | 7.06 |
| |
Investments, at cost | $ | 55,232,910 |
| $ | 54,513,259 |
| $ | 54,668,701 |
| $ | 45,629,446 |
| $ | 8,736,268 |
| $ | 5,861,843 |
| $ | 11,595,628 |
| |
Proceeds from securities sold short |
| — |
|
| — |
|
| — |
|
| 4,561,017 |
|
| — |
|
| — |
|
| — |
| |
Securities on loan included in |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investments, at value |
| 426,288 |
|
| 385,085 |
|
| 1,044,253 |
|
| — |
|
| — |
|
| — |
|
| — |
|
See accompanying Notes to Financial Statements.
37
PPMFunds
Statements of Operations (Unaudited)
For the Six Months Ended June 30, 2020
|
|
| 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 | $ | 3,771 |
| $ | 29,235 |
| $ | 35,848 |
| $ | 27,391 |
| $ | 113,280 |
| $ | 61,273 |
| $ | 93,016 |
| ||
Interest |
| 834,083 |
|
| 1,119,471 |
|
| 1,520,647 |
|
| 861,430 |
|
| — |
|
| — |
|
| — |
| ||
Securities lending |
| 796 |
|
| 3,596 |
|
| 9,166 |
|
| 268 |
|
| 9 |
|
| 36 |
|
| 114 |
| ||
Total investment income |
| 838,650 |
|
| 1,152,302 |
|
| 1,565,661 |
|
| 889,089 |
|
| 113,289 |
|
| 61,309 |
|
| 93,130 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Advisory fees |
| 104,940 |
|
| 139,123 |
|
| 144,723 |
|
| 99,465 |
|
| 21,770 |
|
| 16,923 |
|
| 38,340 |
| ||
Administrative fees |
| 26,235 |
|
| 25,295 |
|
| 26,313 |
|
| 19,893 |
|
| 3,628 |
|
| 2,417 |
|
| 4,793 |
| ||
Legal fees |
| 15,695 |
|
| 16,798 |
|
| 17,502 |
|
| 12,273 |
|
| 2,563 |
|
| 1,846 |
|
| 3,410 |
| ||
Transfer agent fees |
| 14,266 |
|
| 13,864 |
|
| 14,300 |
|
| 12,902 |
|
| 4,245 |
|
| 3,792 |
|
| 4,844 |
| ||
Board of Trustees fees |
| 16,884 |
|
| 17,554 |
|
| 18,288 |
|
| 13,747 |
|
| 2,679 |
|
| 1,917 |
|
| 3,514 |
| ||
Chief Compliance Officer fees |
| 11,245 |
|
| 11,782 |
|
| 12,274 |
|
| 9,059 |
|
| 1,796 |
|
| 1,289 |
|
| 2,375 |
| ||
Registration and filing fees |
| 6,596 |
|
| 6,909 |
|
| 7,136 |
|
| 5,671 |
|
| 1,309 |
|
| 1,030 |
|
| 1,736 |
| ||
Dividends/interest on securities sold short |
| — |
|
| — |
|
| — |
|
| 103,256 |
|
| — |
|
| — |
|
| — |
| ||
Net short holdings borrowing fees |
| — |
|
| — |
|
| — |
|
| 31,352 |
|
| — |
|
| — |
|
| — |
| ||
Other expenses |
| 4,162 |
|
| 4,327 |
|
| 4,503 |
|
| 3,391 |
|
| 657 |
|
| 475 |
|
| 894 |
| ||
Total expenses |
| 200,023 |
|
| 235,652 |
|
| 245,039 |
|
| 311,009 |
|
| 38,647 |
|
| 29,689 |
|
| 59,906 |
| ||
Expense waiver |
| (68,815 | ) |
| (58,656 | ) |
| (62,568 | ) |
| (37,194 | ) |
| (11,467 | ) |
| (7,965 | ) |
| (12,056 | ) | ||
Net expenses |
| 131,208 |
|
| 176,996 |
|
| 182,471 |
|
| 273,815 |
|
| 27,180 |
|
| 21,724 |
|
| 47,850 |
| ||
Net investment income (loss) |
| 707,442 |
|
| 975,306 |
|
| 1,383,190 |
|
| 615,274 |
|
| 86,109 |
|
| 39,585 |
|
| 45,280 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and unrealized gain (loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| Investments |
| 1,039,057 |
|
| (1,138,981 | ) |
| (1,840,888 | ) |
| (37,291 | ) |
| (281,682 | ) |
| (228,290 | ) |
| (1,434,077 | ) | |
| Securities sold short |
| — |
|
| — |
|
| — |
|
| 83,616 |
|
| — |
|
| — |
|
| — |
| |
| Futures contracts |
| 330,775 |
|
| (29,331 | ) |
| (192,067 | ) |
| (1,203,832 | ) |
| — |
|
| — |
|
| — |
| |
| Swap agreements |
| 15,150 |
|
| — |
|
| — |
|
| 101,974 |
|
| — |
|
| — |
|
| — |
| |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
| (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Investments |
| 998,809 |
|
| (2,458,336 | ) |
| (2,560,998 | ) |
| (597,795 | ) |
| (1,322,502 | ) |
| (1,175,949 | ) |
| (1,221,026 | ) | |
| Investment securities sold short |
| — |
|
| — |
|
| — |
|
| (307,781 | ) |
| — |
|
| — |
|
| — |
| |
| Futures contracts |
| 69,294 |
|
| (4,022 | ) |
| (18,869 | ) |
| (195,506 | ) |
| — |
|
| — |
|
| — |
| |
| Swap agreements |
| (12,896 | ) |
| — |
|
| — |
|
| (86,739 | ) |
| — |
|
| — |
|
| — |
| |
Net realized and unrealized gain (loss) |
| 2,440,189 |
|
| (3,630,670 | ) |
| (4,612,822 | ) |
| (2,243,354 | ) |
| (1,604,184 | ) |
| (1,404,239 | ) |
| (2,655,103 | ) | ||
Change in net assets from operations | $ | 3,147,631 |
| $ | (2,655,364 | ) | $ | (3,229,632 | ) | $ | (1,628,080 | ) | $ | (1,518,075 | ) | $ | (1,364,654 | ) | $ | (2,609,823 | ) |
See accompanying Notes to Financial Statements.
38
PPMFunds
Statements of Changes in Net Assets (Unaudited)
For the Six Months Ended June 30, 2020
|
| 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) | $ | 707,442 |
| $ | 975,306 |
| $ | 1,383,190 |
| $ | 615,274 |
| $ | 86,109 |
| $ | 39,585 |
| $ | 45,280 |
| |
Net realized gain (loss) |
| 1,384,982 |
|
| (1,168,312 | ) |
| (2,032,955 | ) |
| (1,055,533 | ) |
| (281,682 | ) |
| (228,290 | ) |
| (1,434,077 | ) | |
Net change in unrealized appreciation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| (depreciation) |
| 1,055,207 |
|
| (2,462,358 | ) |
| (2,579,867 | ) |
| (1,187,821 | ) |
| (1,322,502 | ) |
| (1,175,949 | ) |
| (1,221,026 | ) |
Change in net assets from operations |
| 3,147,631 |
|
| (2,655,364 | ) |
| (3,229,632 | ) |
| (1,628,080 | ) |
| (1,518,075 | ) |
| (1,364,654 | ) |
| (2,609,823 | ) | |
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
From distributable earnings |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| (751,367 | ) |
| (971,744 | ) |
| (1,383,784 | ) |
| (604,214 | ) |
| — |
|
| — |
|
| — |
|
Total distributions to shareholders |
| (751,367 | ) |
| (971,744 | ) |
| (1,383,784 | ) |
| (604,214 | ) |
| — |
|
| — |
|
| — |
| |
Share transactions1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Proceeds from the sale of shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 539,194 |
|
| 539,195 |
|
| 539,197 |
|
| 539,194 |
|
| 1,294,069 |
|
| 431,356 |
|
| 2,756,635 |
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 750,796 |
|
| 829,747 |
|
| 1,181,555 |
|
| 604,214 |
|
| — |
|
| — |
|
| — |
|
Cost of shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| (531,772 | ) |
Change in net assets from |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| share transactions |
| 1,289,990 |
|
| 1,368,942 |
|
| 1,720,752 |
|
| 1,143,408 |
|
| 1,294,069 |
|
| 431,356 |
|
| 2,224,863 |
|
Change in net assets |
| 3,686,254 |
|
| (2,258,166 | ) |
| (2,892,664 | ) |
| (1,088,886 | ) |
| (224,006 | ) |
| (933,298 | ) |
| (384,960 | ) | |
Net assets beginning of period |
| 51,332,597 |
|
| 53,427,618 |
|
| 55,614,821 |
|
| 41,871,424 |
|
| 8,111,305 |
|
| 5,876,490 |
|
| 11,028,905 |
| |
Net assets end of period | $ | 55,018,851 |
| $ | 51,169,452 |
| $ | 52,722,157 |
| $ | 40,782,538 |
| $ | 7,887,299 |
| $ | 4,943,192 |
| $ | 10,643,945 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1Share transactions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Shares sold |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 51,060 |
|
| 61,064 |
|
| 60,585 |
|
| 60,517 |
|
| 172,313 |
|
| 64,963 |
|
| 448,856 |
|
Reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 70,462 |
|
| 90,983 |
|
| 127,117 |
|
| 65,048 |
|
| — |
|
| — |
|
| — |
|
Shares redeemed |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| (72,548 | ) |
Change in shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| Institutional Class |
| 121,522 |
|
| 152,047 |
|
| 187,702 |
|
| 125,565 |
|
| 172,313 |
|
| 64,963 |
|
| 376,308 |
|
Purchases and sales of long term |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchase of securities | $ | 22,059,001 |
| $ | 11,460,414 |
| $ | 25,891,864 |
| $ | 18,008,497 |
| $ | 2,310,771 |
| $ | 896,355 |
| $ | 4,133,413 |
| |
Purchase of U.S. government securities |
| 8,703,674 |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
| |
Total purchases | $ | 30,762,675 |
| $ | 11,460,414 |
| $ | 25,891,864 |
| $ | 18,008,497 |
| $ | 2,310,771 |
| $ | 896,355 |
| $ | 4,133,413 |
| |
Proceeds from sales of securities | $ | 17,159,254 |
| $ | 13,369,675 |
| $ | 25,130,169 |
| $ | 19,282,249 |
| $ | 903,682 |
| $ | 413,296 |
| $ | 1,837,476 |
| |
Proceeds from sales of U.S. government |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
| securities |
| 12,462,917 |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
| — |
|
Total proceeds from sales | $ | 29,622,171 |
| $ | 13,369,675 |
| $ | 25,130,169 |
| $ | 19,282,249 |
| $ | 903,682 |
| $ | 413,296 |
| $ | 1,837,476 |
| |
Securities sold short covers | $ | — |
| $ | — |
| $ | — |
| $ | 517,704 |
| $ | — |
| $ | — |
| $ | — |
| |
Securities sold short proceeds | $ | — |
| $ | — |
| $ | — |
| $ | 601,386 |
| $ | — |
| $ | — |
| $ | — |
|
See accompanying Notes to Financial Statements.
39
PPMFunds
Statements of Changes in Net Assets (Unaudited)
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 |
|
See accompanying Notes to Financial Statements.
40
PPMFunds
Financial Highlights (Unaudited)
For a Share Outstanding
|
|
|
| Increase (decrease) from |
| Distributions from |
|
|
|
| Supplemental data |
|
|
| 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($) | Total return(%)(c) | Net assets,end of period (in thousands)($) | Portfolio turnover (%)(d) |
| 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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06/30/20 |
| 10.40 |
| 0.14 |
| 0.49 |
| 0.63 |
|
| (0.15) |
| — |
| 10.88 |
| 6.10 |
| 55,019 |
| 57 |
| 0.50 |
| 0.76 |
| 2.70 |
| |
12/31/19 |
| 9.85 |
| 0.31 |
| 0.71 |
| 1.02 |
|
| (0.31) |
| (0.16) |
| 10.40 |
| 10.51 |
| 51,333 |
| 108 | (e) |
| 0.50 |
| 0.70 |
| 3.02 |
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12/31/18 | * | 10.00 |
| 0.15 |
| (0.14) |
| 0.01 |
|
| (0.16) |
| — |
| 9.85 |
| 0.07 |
| 50,198 |
| 25 | (e) |
| 0.50 |
| 0.78 |
| 3.30 |
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PPM Floating Rate Income Fund |
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Institutional Class |
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06/30/20 |
| 9.75 |
| 0.18 |
| (0.70) |
| (0.52) |
|
| (0.15) |
| — |
| 9.08 |
| (5.07) |
| 51,169 |
| 23 |
|
| 0.70 |
| 0.93 |
| 3.86 |
|
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 |
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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 |
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PPM High Yield Core Fund |
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Institutional Class |
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06/30/20 |
| 10.09 |
| 0.25 |
| (0.88) |
| (0.63) |
|
| (0.21) |
| — |
| 9.25 |
| (5.86) |
| 52,722 |
| 49 |
|
| 0.70 |
| 0.94 |
| 5.31 |
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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 |
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12/31/18 | * | 10.00 |
| 0.25 |
| (0.71) |
| (0.46) |
|
| (0.26) |
| (0.02) |
| 9.26 |
| (4.74) |
| 48,121 |
| 18 |
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| 0.70 |
| 0.92 |
| 5.53 |
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PPM Long Short Credit Fund |
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Institutional Class |
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06/30/20 |
| 9.90 |
| 0.14 |
| (0.54) |
| (0.40) |
|
| (0.14) |
| — |
| 9.36 |
| (4.01) |
| 40,783 |
| 37 |
|
| 1.38 | (f) | 1.56 | (f) | 3.09 |
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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 | (f) | 1.29 | (f) | 3.65 |
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12/31/18 | * | 10.00 |
| 0.17 |
| (0.47) |
| (0.30) |
|
| (0.17) |
| (0.04) |
| 9.49 |
| (3.08) |
| 48,574 |
| 38 |
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| 0.97 | (f) | 1.14 | (f) | 3.64 |
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PPM Large Cap Value Fund |
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Institutional Class |
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06/30/20 |
| 10.19 |
| 0.10 |
| (2.15) |
| (2.05) |
|
| — |
| — |
| 8.14 |
| (20.12) |
| 7,887 |
| 12 |
|
| 0.75 |
| 1.07 |
| 2.37 |
|
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 |
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12/31/18 | * | 10.00 |
| 0.13 |
| (1.37) |
| (1.24) |
|
| (0.13) |
| (0.10) |
| 8.53 |
| (12.45) |
| 5,693 |
| 17 |
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| 0.75 |
| 1.04 |
| 1.88 |
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PPM Mid Cap Value Fund |
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Institutional Class |
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06/30/20 |
| 9.49 |
| 0.06 |
| (2.33) |
| (2.27) |
|
| — |
| — |
| 7.22 |
| (23.92) |
| 4,943 |
| 8 |
|
| 0.90 |
| 1.23 |
| 1.64 |
|
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 |
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| 0.90 |
| 1.18 |
| 1.34 |
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PPM Small Cap Value Fund |
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Institutional Class |
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06/30/20 |
| 9.76 |
| 0.03 |
| (2.73) |
| (2.70) |
|
| — |
| — |
| 7.06 |
| (27.66) |
| 10,644 |
| 19 |
|
| 1.00 |
| 1.25 |
| 0.94 |
|
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) | Total return assumes reinvestment of all distributions for the period. Total return is not annualized for periods less than one year. | ||||||||||||
(d) | Portfolio turnover is not annualized for periods of less than one year. Dollar roll transactions are excluded for purposes of calculating portfolio turnover. | ||||||||||||
(e) | Portfolio turnover including dollar roll transactions for PPM Core Plus Fixed Income Fund was 31% in 2018 and 113% in 2019. | ||||||||||||
(f) | The net and total expense ratios to average net assets without dividend expenses, net borrowing fees on securities sold short or interest expense for the following Funds were as follows: | ||||||||||||
June 30, 2020 (%) | December 31, 2019 (%) | December 31, 2018 (%) | |||||||||||
PPM Long Short Credit Fund | |||||||||||||
Institutional Class – Net expenses / Total expenses 1 | 0.70/0.88 | 0.70/0.81 | 0.70/0.87 | ||||||||||
1 Fund contractually waives a portion of advisory fees. |
See accompanying Notes to Financial Statements.
41
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
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 (“SEC”) 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 Jackson Financial, Inc., which is a subsidiary of Prudential plc (the “UK Parent”), a publicly traded company incorporated in the United Kingdom. Jackson National Asset Management LLC (“JNAM” or “Administrator”), an affiliate of PPM, serves as the administrator. JNAM is a wholly owned subsidiary of Jackson National Life Insurance Company® (“Jackson”). Jackson is a wholly owned subsidiary of Jackson Financial Inc. The UK Parent 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 Ltd., a subsidiary of M&G plc, a company incorporated in the United Kingdom. Effective July 17, 2020, Athene Co-Invest Reinsurance Affiliate 1A Ltd., a Bermuda Class C insurer under the Bermuda Insurance Act 1978, owns a minority interest in Jackson Financial Inc.
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). However, consistent with legal requirements, calculation of the Fund’s NAV may be suspended on days determined by the Board during times of NYSE market closure, which may include times during which the SEC issues policies or protocols associated with such closure pursuant to Section 22(e) of the 1940 Act. 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. Debt securities are generally valued by independent pricing services approved by the Board. If a valuation from a third-party pricing service is unavailable or it is determined that such valuation does not approximate fair market value, debt obligations with remaining maturities of sixty (60) days or less may be valued at their amortized cost, unless it is determined that such practice also does not approximate fair market value. 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
42
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
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 are 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 became effective for annual periods beginning after December 15, 2019, and interim periods within those annual periods. The Funds have fully adopted the amendments and the Topic 820 disclosures have been modified to conform to the amendments.
In March 2020, FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to contract modifications and hedging relationships, subject to meeting certain criteria, that reference the London Interbank Offered Rate (LIBOR) or another reference rate expected to be discontinued due to reference rate reform. The amendments in this update are elective and may be applied through December 31, 2022. Management is currently evaluating the potential impacts of reference rate reform and the adoption of this ASU on the Funds’ financial statements.
43
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
NOTE 3. FASB ASC TOPIC 820, “FAIR VALUE MEASUREMENT”
Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 820, "Fair Value Measurement". This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. Various inputs are used in determining the value of a Fund’s investments under FASB ASC Topic 820 guidance. The inputs are summarized into three broad categories:
Level 1 includes valuations based on quoted prices of identical securities in active markets, including valuations for securities listed on a national or foreign stock exchange or investments in mutual funds.
Level 2 includes valuations determined from significant direct or indirect observable inputs. Direct observable inputs include broker quotes, third-party prices, closing prices of similar securities in active markets, closing prices for identical or similar securities in non-active markets or corporate action or reorganization entitlement values. Indirect significant observable inputs include factors such as interest rates, yield curves, prepayment speeds or credit ratings. Level 2 includes valuations for fixed income securities, including certain term loans, OTC derivatives, centrally cleared swap agreements, broker quotes in active markets, securities subject to corporate actions, securities valued at amortized cost, swap agreements valued by pricing services, American Depositary Receipts and Global Depositary Receipts for which quoted prices in active markets are not available or securities limited by foreign ownership.
Level 3 includes valuations determined from significant unobservable inputs including the Administrator's own assumptions in determining the fair value of the investment. Inputs used to determine the fair value of Level 3 securities include security specific inputs such as: credit quality, credit rating spreads, issuer news, trading characteristics, call features, maturity or anticipated cash flows; or industry specific inputs such as: trading activity of similar markets or securities, changes in the security’s underlying index or changes in comparable securities’ models. Level 3 valuations include securities; term loans that do not meet certain liquidity thresholds; securities where prices may be unavailable due to halted trading, restricted to resale due to market events, or newly issued; private placements; or investments for which reliable quotes are otherwise not available.
To assess the continuing appropriateness of security valuation, the Administrator regularly compares current day prices with prior day prices, transaction prices and alternative vendor prices. When the comparison results exceed pre-defined thresholds, the Administrator challenges the prices exceeding tolerance levels with the pricing service or broker. To verify Level 3 unobservable inputs, the Administrator uses a variety of techniques as appropriate to substantiate these valuation approaches including a regular review of key inputs and assumptions, transaction back-testing or disposition analysis and review of related market activity. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes each Fund’s investments in securities and other financial instruments as of June 30, 2020, by valuation level.
. Level 1 ($) . | . Level 2 ($) . | . Level 3 ($) . | . Total ($) . | |||||
PPM Core Plus Fixed Income Fund | ||||||||
Assets - Securities | ||||||||
Corporate Bonds And Notes | — | 28,000,758 | 101,925 | 28,102,683 | ||||
Government And Agency Obligations | — | 20,957,843 | — | 20,957,843 | ||||
Non-U.S. Government Agency Asset-Backed Securities | — | 4,132,064 | — | 4,132,064 | ||||
Senior Floating Rate Instruments | — | 905,710 | — | 905,710 | ||||
Short Term Investments | 3,954,932 | — | — | 3,954,932 | ||||
3,954,932 | 53,996,375 | 101,925 | 58,053,232 | |||||
Assets - Investments in Other Financial Instruments1 | ||||||||
Futures Contracts | 40,470 | — | — | 40,470 | ||||
40,470 | — | — | 40,470 | |||||
Liabilities - Investments in Other Financial Instruments1 | ||||||||
Futures Contracts | (16,017 | ) | — | — | (16,017 | ) | ||
Centrally Cleared Credit Default Swap Agreements | — | (15,850 | ) | — | (15,850 | ) | ||
(16,017 | ) | (15,850 | ) | — | (31,867 | ) | ||
PPM Floating Rate Income Fund | ||||||||
Assets - Securities | ||||||||
Senior Floating Rate Instruments | — | 45,422,590 | 1,122,809 | 46,545,399 | ||||
Corporate Bonds And Notes | — | 1,478,098 | — | 1,478,098 | ||||
Investment Companies | 1,277,928 | — | — | 1,277,928 | ||||
Warrants | — | 5,283 | — | 5,283 | ||||
Common Stocks | 2,735 | — | 157 | 2,892 | ||||
Short Term Investments | 2,331,144 | — | — | 2,331,144 | ||||
3,611,807 | 46,905,971 | 1,122,966 | 51,640,744 | |||||
Liabilities - Investments in Other Financial Instruments1 | ||||||||
Futures Contracts | (1,330 | ) | — | — | (1,330 | ) | ||
(1,330 | ) | — | — | (1,330 | ) |
44
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
. Level 1 ($) . | . Level 2 ($) . | . Level 3 ($) . | . Total ($) . | |||||
PPM High Yield Core Fund | ||||||||
Assets - Securities | ||||||||
Corporate Bonds And Notes | — | 48,369,513 | 149,775 | 48,519,288 | ||||
Senior Floating Rate Instruments2 | — | 1,864,159 | — | 1,864,159 | ||||
Investment Companies | 920,214 | — | — | 920,214 | ||||
Non-U.S. Government Agency Asset-Backed Securities | — | 50,625 | — | 50,625 | ||||
Common Stocks | 49,708 | — | — | 49,708 | ||||
Warrants | — | 21,771 | — | 21,771 | ||||
Short Term Investments | 2,445,233 | — | — | 2,445,233 | ||||
3,415,155 | 50,306,068 | 149,775 | 53,870,998 | |||||
Liabilities - Investments in Other Financial Instruments1 | ||||||||
Futures Contracts | (2,395 | ) | — | — | (2,395 | ) | ||
(2,395 | ) | — | — | (2,395 | ) | |||
PPM Long Short Credit Fund | ||||||||
Assets - Securities | ||||||||
Corporate Bonds And Notes | — | 32,196,841 | 101,925 | 32,298,766 | ||||
Senior Floating Rate Instruments | — | 6,819,594 | — | 6,819,594 | ||||
Non-U.S. Government Agency Asset-Backed Securities | — | 3,721,054 | — | 3,721,054 | ||||
Investment Companies | 954,420 | — | — | 954,420 | ||||
Government And Agency Obligations | — | 307,197 | — | 307,197 | ||||
Warrants | — | 17,495 | — | 17,495 | ||||
Common Stocks | 9,284 | — | — | 9,284 | ||||
Short Term Investments | 1,921,904 | — | — | 1,921,904 | ||||
2,885,608 | 43,062,181 | 101,925 | 46,049,714 | |||||
Liabilities - Securities | ||||||||
Corporate Bonds And Notes | — | (4,706,794 | ) | — | (4,706,794 | ) | ||
Government And Agency Obligations | — | (693,000 | ) | — | (693,000 | ) | ||
— | (5,399,794 | ) | — | (5,399,794 | ) | |||
Liabilities - Investments in Other Financial Instruments1 | ||||||||
Futures Contracts | (56,210 | ) | — | — | (56,210 | ) | ||
Centrally Cleared Credit Default Swap Agreements | — | (107,148 | ) | — | (107,148 | ) | ||
(56,210 | ) | (107,148 | ) | — | (163,358 | ) | ||
PPM Large Cap Value Fund | ||||||||
Assets - Securities | ||||||||
Common Stocks | 7,854,539 | — | — | 7,854,539 | ||||
Short Term Investments | 42,838 | — | — | 42,838 | ||||
7,897,377 | — | — | 7,897,377 | |||||
PPM Mid Cap Value Fund | ||||||||
Assets - Securities | ||||||||
Common Stocks | 4,923,251 | — | — | 4,923,251 | ||||
Short Term Investments | 35,939 | — | — | 35,939 | ||||
4,959,190 | — | — | 4,959,190 | |||||
PPM Small Cap Value Fund | ||||||||
Assets - Securities | ||||||||
Common Stocks | 10,601,138 | — | — | 10,601,138 | ||||
Short Term Investments | 56,067 | — | — | 56,067 | ||||
10,657,205 | — | — | 10,657,205 |
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 period. There were no significant Level 3 valuations for which unobservable valuation inputs were developed at June 30, 2020.
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 government securities; US government agencies’ debt securities; and US government-sponsored agencies’ debt securities and mortgage-backed
45
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
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, at value on the Statements of Assets and Liabilities. The value of securities on loan is included in Investments, 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 Securities. Certain Funds may invest in securities issued or guaranteed by the US Government or its agents 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 in the Statements of Operations.
NOTE 5. INVESTMENT TRANSACTION AGREEMENTS AND COLLATERAL
Under various agreements, certain investment transactions require collateral to be pledged to or from a Fund and a counterparty or segregated at the Custodian and is managed pursuant to the terms of the agreement. US Treasury Bills and US dollars are generally the preferred forms of collateral, although other forms of high quality or sovereign securities may be used. Securities held by a Fund that are used as collateral are identified as such within the Schedules of Investments. Collateral for OTC financial derivative transactions paid to or received from brokers and counterparties is included in Receivable for Deposits with brokers and counterparties or Payable for Deposits from counterparties in the Statements of Assets and Liabilities.
Counterparty Agreements. Certain Funds enter into various types of agreements with counterparties, which govern the terms of certain transactions and mitigate the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. A Fund may net exposure and collateralize multiple transaction types governed by the same agreement with the same
46
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
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.
47
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
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 period; (2) A summary table of the fair valuations of each Fund’s derivative instruments categorized by risk exposure, which references the location on the Statements of Assets and Liabilities and the realized and unrealized gain or loss on the Statements of Operations for each derivative instrument as of June 30, 2020. Funds which held only one type of derivative during the period are not included in the tables as the location on the Statements of Assets and Liabilities and the realized and unrealized gain loss on the Statements of Operations can be referenced directly on each Fund’s respective statements; (3) A summary table of derivative instruments and certain investments of each Fund, which are subject to master netting agreements or a similar agreement and are eligible for offset in the Statements of Assets and Liabilities as of June 30, 2020. For Funds which held only one type of derivative during the period, amounts eligible for offset are presented gross in the Statements of Assets and Liabilities. Net exposure can be referenced in the assets and liabilities on the Statements of Assets and Liabilities and, if collateral exists, the net exposure is offset by collateral identified in the segregated or pledged collateral table; and (4) A table reflecting each Fund’s average monthly derivative volume for the period ended June 30, 2020.
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 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 June 30, 2020 |
| ||||||||||||
Derivative instruments assets: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 6,484 |
| 6,484 |
|
Total derivative instruments assets | — |
| — |
| — |
| — |
| 6,484 |
| 6,484 |
| |
Derivative instruments liabilities: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 9,156 |
| 9,156 |
|
2 | Variation margin on swap agreements | — |
| 812 |
| — |
| — |
| — |
| 812 |
|
Total derivative instruments liabilities | — |
| 812 |
| — |
| — |
| 9,156 |
| 9,968 |
| |
The effect of derivative instruments on the Statement of Operations for the period ended June 30, 2020 |
| ||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| 330,775 |
| 330,775 |
|
| Swap agreements | — |
| 15,150 |
| — |
| — |
| — |
| 15,150 |
|
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| 69,294 |
| 69,294 |
|
| Swap agreements | — |
| (12,896 | ) | — |
| — |
| — |
| (12,896 | ) |
48
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
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 ($) |
|
Average monthly volume | — |
| 14,530,565 |
| — |
| — |
| — |
| 500,000 |
| — |
|
PPM Long Short Credit Fund Derivative Strategies - The Fund entered into futures contracts to manage or adjust the risk profile of the Fund, establish net short positions for individual markets, currencies and securities and adjust the Fund’s portfolio duration. The Fund entered into credit default swap agreements to manage or adjust the risk profile of the Fund and replace more traditional direct investments or to obtain exposure to certain markets.
PPM Long Short Credit Fund - Derivative Instruments Categorized by Risk Exposure |
| ||||||||||||
|
| Commodity($) |
| Credit($) |
| Equity($) |
| Foreign Exchange($) |
| Interest Rate($) |
| Total($) |
|
Fair values of derivative instruments on the Statement of Assets and Liabilities as of June 30, 2020 |
| ||||||||||||
Derivative instruments assets: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 20,031 |
| 20,031 |
|
Total derivative instruments assets | — |
| — |
| — |
| — |
| 20,031 |
| 20,031 |
| |
Derivative instruments liabilities: |
|
|
|
|
|
|
|
|
|
|
|
| |
2 | Variation margin on futures | — |
| — |
| — |
| — |
| 78 |
| 78 |
|
2 | Variation margin on swap agreements | — |
| 5,489 |
| — |
| — |
| — |
| 5,489 |
|
Total derivative instruments liabilities | — |
| 5,489 |
| — |
| — |
| 78 |
| 5,567 |
| |
The effect of derivative instruments on the Statement of Operations for the period ended June 30, 2020 |
| ||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| (1,203,832 | ) | (1,203,832 | ) |
| Swap agreements | — |
| 101,974 |
| — |
| — |
| — |
| 101,974 |
|
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
| |
| Futures | — |
| — |
| — |
| — |
| (195,506 | ) | (195,506 | ) |
| Swap agreements | — |
| (86,739 | ) | — |
| — |
| — |
| (86,739 | ) |
PPM Long Short Credit Fund – Average Derivative Volume1
|
| Cost of Options Purchased and Written ($) |
| 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 | — |
| 15,514,817 |
| — |
| — |
| — |
| 3,380,000 |
| — |
|
1 The derivative instruments outstanding as of June 30, 2020, as disclosed in the Schedules of Investments, and the amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period ended June 30, 2020, 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 had significant derivative exposure during the period is as follows: PPM Floating Rate Income Fund entered into futures contracts to hedge against fluctuations in interest rates on the Fund’s investments in non-floating rate securities. PPM High Yield Core Fund entered into futures contracts to obtain exposure to or hedge changes in interest rates.
The derivative instruments outstanding as of June 30, 2020, as disclosed in the Schedules of Investments, and the amounts of realized gains and losses and change in unrealized gains and losses on derivative instruments during the period ended June 30, 2020, as disclosed in the Statements of Operations, also serve as indicators of the derivative volume for the Funds. For Funds which had significant derivative exposure during the period, the average monthly derivative volume is as follows:
|
|
|
|
|
| Notional Value at Purchase of Futures Contracts ($) |
|
PPM Floating Rate Income Fund | 540,202 |
| |
PPM High Yield Core Fund | 2,135,839 |
|
49
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
Pledged Collateral. The following table summarizes cash and securities collateral pledged for the Funds at June 30, 2020:
|
|
|
|
|
|
|
|
|
|
| Futures Contracts | Swap Agreements |
| ||
| Counterparties |
| Pledged or Segregated Cash($) |
| Pledged or Segregated Cash($) |
|
|
PPM Core Plus Fixed Income Fund | MLP |
| 78,100 |
| 9,684 |
|
|
PPM Floating Rate Income Fund | MLP |
| 4,180 |
| — |
|
|
PPM High Yield Core Fund | MLP |
| 7,590 |
| — |
|
|
PPM Long Short Credit Fund | MLP |
| 263,120 |
| 65,462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Lending Agent/Prime Broker |
| Securities Sold Short Segregated Securities($) |
|
|
PPM Long Short Credit Fund | SSB |
| 9,468,485 |
|
|
None of the futures contracts held by the Funds are subject to master netting agreements or a similar agreement and are not eligible for offset in the Statements of Assets and Liabilities as of June 30, 2020. 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.
LIBOR Replacement Risk. In addition to other interbank offered rates, the most common benchmark rate for floating rate securities is LIBOR, which is the rate of interest offered on short-term interbank deposits, as determined by trading between major international banks. The UK Financial Conduct Authority has announced that LIBOR rates will no longer be published after the end of 2021. The elimination of LIBOR may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. Alternatives to LIBOR are established or in development in most major currencies, including the Secured Overnight Financing Rate (SOFR) that is intended to replace U.S. dollar LIBOR. Markets are slowly developing in response to these new reference rates. However, questions around the rate transition’s effect on the liquidity of securities and how to appropriately adjust
50
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
these rates at the time of transition remain undetermined for the Funds. The effects of discontinuation of LIBOR on the Funds will vary, and it is difficult to predict the full impact of the transition away from LIBOR on the Funds until new reference rates and fallbacks for both legacy and new products, instruments and contracts are commercially accepted and market practices become more settled.
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.
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, adverse investor sentiment, regional and global health epidemics, war, terrorism or natural disasters, 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 a 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 a Fund’s potential gains and losses in comparison to the amount of a Fund’s assets (that is, assets other than borrowed assets) at risk, which may cause a Fund’s portfolio to be more volatile. If a 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
51
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
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, 2021. Any waived amounts are not subject to future recoupment by the Adviser.
Security Transactions. Security transactions can occur in the Funds where both the buyer and seller of the security are portfolios or accounts for which PPM serves as the Adviser. Such transactions occur to eliminate transaction costs normally associated with security trading activity. Such transactions are subject to compliance with Rule 17a-7 under the 1940 Act (“Rule 17a-7 transactions”) and are reviewed by the Chief Compliance Officer. Rule 17a-7 trades are executed at current market price at the time of the transaction. There were no 17a-7 transactions that were deemed significant by the Administrator during the period ended June 30, 2020.
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.
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 ($) |
|
PPM Floating Rate Income Fund |
|
|
|
|
| 321,613 |
| 239,511 |
| 561,124 |
|
PPM High Yield Core Fund |
|
|
|
|
| 985,047 |
| 223,861 |
| 1,208,908 |
|
PPM Long Short Credit Fund |
|
|
|
|
| 304,063 |
| 656,042 |
| 960,105 |
|
PPM Large Cap Value Fund |
|
|
|
|
| 105,509 |
| 129,881 |
| 235,390 |
|
PPM Mid Cap Value Fund |
|
|
|
|
| 218,091 |
| 277,228 |
| 495,319 |
|
PPM Small Cap Value Fund |
|
|
|
|
| 329,304 |
| 134,502 |
| 463,806 |
|
At December 31, 2019, the Funds’ last fiscal year end, the following Funds had capital, currency and/or PFIC mark-to-market losses realized after October 31, 2019 (“Post-October losses”), which were deferred for tax purposes to the first day of the following fiscal year, January 1, 2020:
| Amount($) |
|
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 June 30, 2020, 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 | 55,245,115 |
| 3,303,201 |
| (495,084 | ) | 2,808,117 |
| |
PPM Floating Rate Income Fund | 54,521,675 |
| 92,604 |
| (2,973,535 | ) | (2,880,931 | ) | |
PPM High Yield Core Fund | 54,677,469 |
| 1,353,902 |
| (2,160,496 | ) | (806,594 | ) | |
PPM Long Short Credit Fund |
|
|
|
|
|
|
|
| |
| Long Investments | 45,631,010 |
| 2,064,610 |
| (1,645,906 | ) | 418,704 |
|
| Short Investments | 4,561,017 |
| 54,025 |
| (892,802 | ) | (838,777 | ) |
PPM Large Cap Value Fund | 8,754,185 |
| 687,982 |
| (1,544,790 | ) | (856,808 | ) | |
PPM Mid Cap Value Fund | 5,885,057 |
| 439,405 |
| (1,365,272 | ) | (925,867 | ) | |
PPM Small Cap Value Fund | 11,684,545 |
| 1,003,425 |
| (2,030,765 | ) | (1,027,340 | ) |
As of June 30, 2020, 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 | 24,453 |
| — |
| — |
| — |
|
| Swap Agreements | 9,947 |
| — |
| (15,850 | ) | (15,850 | ) |
PPM Floating Rate Income Fund |
|
|
|
|
|
|
|
| |
| Futures/Futures Options Contracts | (1,330 | ) | — |
| — |
| — |
|
52
PPMFunds
Notes to Financial Statements (Unaudited)
June 30, 2020
|
| Tax Cost/Premiums/Adjustment($) |
| Gross Unrealized Appreciation($) |
| Gross Unrealized Depreciation($) |
| Net Unrealized Appreciation (Depreciation)($) |
|
PPM High Yield Core Fund |
|
|
|
|
|
|
|
| |
| Futures/Futures Options Contracts | (2,395 | ) | — |
| — |
| — |
|
PPM Long Short Credit Fund |
|
|
|
|
|
|
|
| |
| Futures/Futures Options Contracts | (56,210 | ) | — |
| — |
| — |
|
| Swap Agreements | 67,244 |
| — |
| (107,148 | ) | (107,148 | ) |
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.
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 period ended June 30, 2020.
53
PPMFunds
Additional Disclosures (Unaudited)
June 30, 2020
Disclosure of Fund Expenses. Shareholders incur ongoing costs, which include costs for portfolio management, administrative services and other operating expenses. Operating expenses such as these are deducted from each Fund’s gross income and directly reduce the final investment return. These expenses are expressed as a percentage of the Fund’s average net assets; this percentage is known as the Fund’s expense ratio. The examples below use the expense ratio and are intended to help the investor understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
Expenses Using Actual Fund Return. This section provides information about the actual account values and actual expenses incurred by the Fund. Use the information in this section, together with the amount invested, to estimate the expenses paid over the period. Simply divide the account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses paid during this period.
Expenses Using Hypothetical 5% Return. This section provides information that can be used to compare each Fund’s costs with those of other mutual funds. It assumes that the Fund’s expense ratio for the period is unchanged and assumes an annual 5% return before expenses, which is not the Fund’s actual return. This example is useful in making comparisons because the SEC requires all mutual funds to make the 5% calculation.
|
|
|
| Expenses Using Actual Fund Return |
| Expenses Using Hypothetical 5% Return | ||||||||
|
| Annualized Expense Ratios(%) |
| Beginning Account Value 01/01/20($) |
| Ending Account Value 06/30/20($) |
| Expenses Paid During Period($)† |
| Beginning Account Value 01/01/20($) |
| Ending Account Value 06/30/20($) |
| Expenses Paid During Period($)† |
PPM Core Plus Fixed Income Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.50 |
| 1,000.00 |
| 1,061.00 |
| 2.56 |
| 1,000.00 |
| 1,022.38 |
| 2.51 |
PPM Floating Rate Income Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.70 |
| 1,000.00 |
| 949.30 |
| 3.39 |
| 1,000.00 |
| 1,021.38 |
| 3.52 |
PPM High Yield Core Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.70 |
| 1,000.00 |
| 941.40 |
| 3.38 |
| 1,000.00 |
| 1,021.38 |
| 3.52 |
PPM Long Short Credit Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 1.38 |
| 1,000.00 |
| 959.90 |
| 6.72 |
| 1,000.00 |
| 1,018.00 |
| 6.92 |
PPM Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.75 |
| 1,000.00 |
| 798.80 |
| 3.35 |
| 1,000.00 |
| 1,021.13 |
| 3.77 |
PPM Mid Cap Value Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 0.90 |
| 1,000.00 |
| 760.80 |
| 3.94 |
| 1,000.00 |
| 1,020.39 |
| 4.52 |
PPM Small Cap Value Fund |
|
|
|
|
|
|
|
|
|
| ||||
| Institutional Class | 1.00 |
| 1,000.00 |
| 723.40 |
| 4.28 |
| 1,000.00 |
| 1,019.89 |
| 5.02 |
† 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 182/366 (to reflect the most recent 6-month period).
Quarterly Portfolio Holdings. The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds' Form N-PORT reports are available on the SEC’s website at www.sec.gov. The information on Form N-PORT 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, 2020, are available (1) without charge, upon request by calling 1-844-446-4PPM (1-844-446-4776), (2) by writing PPM Funds, P.O. Box 2175, Milwaukee, Wisconsin 53201-2175, (3) online at www.ppmamerica.com/ppmfunds, and (4) by visiting the SEC’s website at www.sec.gov.
The Statement of Additional Information includes additional information about Fund Trustees and may be obtained at no charge by calling 1-844-446-4PPM (1-844-446-4776) or by writing PPM Funds, P.O. Box 2175, Milwaukee, Wisconsin 53201-2175, or visiting www.ppmamerica.com/ppmfunds.
54
PPM Liquidity Narrative for Shareholders
Consistent with Rule 22e-4 under the Investment Company Act of 1940, as amended, PPM Funds (the “Trust”), on behalf of each of its series (each a “Fund” and, collectively, the “Funds”), has established a liquidity risk management program to govern the Funds’ approach to managing liquidity risk (the “Program”). The Program is overseen by the Liquidity Committee, a committee comprised of representatives of the Trust’s investment adviser, PPM America, Inc. The Trust’s Board of Trustees (the “Board”) has approved the designation of the Liquidity Committee to oversee the Program.
The Program’s principal objectives include supporting the Funds’ compliance with limits on investments in illiquid assets and mitigating the risk that a Fund will be unable to meet its redemption obligations in a timely manner. The Program also includes a number of elements that support the management and assessment of liquidity risk, including an annual assessment of factors that influence each Fund’s liquidity and the periodic classification and re-classification of a Fund’s investments into groupings that reflect the Liquidity Committee’s assessment of their relative liquidity under current market conditions.
At a meeting of the Board held on May 12, 2020, the Trustees received a report from the Liquidity Committee regarding the design and operational effectiveness of the Program since its implementation on June 1, 2019. The Liquidity Committee determined, and reported to the Board, that the Program, including the operation of the highly liquid investment minimum for PPM Floating Rate Income Fund, is reasonably designed to assess and manage the Funds’ liquidity risk and has operated adequately and effectively to manage the Funds’ liquidity risk since implementation. The Liquidity Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. The Board further noted that no material changes have been made to the Program since its implementation.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Funds’ prospectus for more information regarding each Fund’s exposure to liquidity risk and other principal risks to which an investment in a Fund may be subject.
55
PPM FUNDS
SUPPLEMENT DATED MAY 14, 2020 TO
THE PROSPECTUS DATED APRIL 29, 2020
PPM Core Fixed Income Fund PPM Core Plus Fixed Income Fund PPM Floating Rate Income Fund PPM High Yield Core Fund PPM Investment Grade Credit 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”) | PKOIX PKPIX PKFIX PKHIX PKIIX PKLIX PZLIX PZMIX 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.
In the Summary Prospectus for the PPM Floating Rate Income Fund under the section entitled “Performance”, the date “July 16, 2018” shall be deleted in the “Life of Fund” column in the table and replaced with “May 1, 2018” (the Fund’s inception date).
The “Share Price” section of the Prospectus is deleted in its entirety and replaced with the following:
Share Price
The price of each Fund’s shares is based on its NAV. The NAV of a Fund’s shares is generally determined once each day on which the New York Stock Exchange (“NYSE”) is open (a “Business Day”) at the close of the regular trading session of the NYSE (normally 4:00 p.m. Eastern Time, Monday through Friday). However, consistent with legal requirements, calculation of the Fund’s NAV may be suspended on days determined by the Board during times of NYSE market closure, which may include times during which the SEC issues policies or protocols associated with such closure pursuant to Section 22(e) of the 1940 Act. The NAV per share of each Fund is determined by adding the value of all securities and other assets of a Fund, deducting its liabilities, and dividing by the number of shares outstanding. Generally, the value of exchange-listed or exchange-traded securities is based on their respective market prices, and fixed income securities are valued based on prices provided by an independent pricing service.
For foreign securities and other assets that are priced in a currency other than US dollars, a Fund will convert the security or asset from the local currency into US dollars using the relevant current exchange rate. Foreign securities may trade in their primary markets on weekends or other days when the Funds do not price their shares and, therefore, the value of portfolio securities of a Fund may change on days when shareholders will be unable to purchase or redeem the Fund's shares.
The Board has adopted procedures pursuant to which the Administrator may determine, subject to Board oversight, the “fair value” of a security for which a current market price is not available or the current market price is considered unreliable or inaccurate. Under these procedures, the “fair value” of a security generally will be the amount, determined by the Administrator in good faith, that the owner of such security might reasonably expect to receive upon its current sale.
The Board has established a valuation committee to review fair value determinations pursuant to the Trust’s “Valuation Guidelines.” The valuation committee will also review the value of restricted securities, securities and assets for which a current market price is not readily available, and securities and assets for which there is reason to believe that the most recent market price does not accurately reflect current value (e.g. disorderly market transactions). In the event that the NYSE is closed unexpectedly or opens for trading but closes earlier than scheduled, the valuation committee will evaluate if trading activity on other U.S. exchanges and markets for equity securities is otherwise reflective of normal market activity. To the extent an NYSE closure is determined to be accompanied by a disruption of normal market activity, the valuation committee may utilize the time the NYSE closed for purposes of measuring and calculating the Funds’ NAVs. To the extent an NYSE closure is determined to not have resulted in a disruption of normal market activity, the valuation committee may utilize the time the NYSE was scheduled to close for purposes of measuring and calculating the Funds’ NAVs.
A Fund may invest in securities that principally trade on foreign exchanges that may be open on days when the Fund does not price its shares or where several hours may pass between the time when trading on such foreign exchanges closes and the time as of which the Fund calculates its NAV. As a result, a Fund’s NAV may be affected on days when shareholders are not able to purchase or redeem the Fund’s shares.
All investments in the Trust are credited to the shareholder’s account in the form of full and fractional shares of the designated Fund (rounded to the nearest 1/1000 of a share). The Trust does not issue share certificates.
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.
Not applicable to the semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable to the semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to the semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Included as a part of the report to shareholders filed under Item 1.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-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 Form N-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 Rule 30a-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 Form N-CSR. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 13. Exhibits.
(a) | (1) Not applicable to the semi-annual filing. | |
(3) Not applicable. | ||
(4) Not applicable. | ||
(b) | The certification required by Rule 30a-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: | September 2, 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: | September 2, 2020 | |
By: | /s/ Daniel W. Koors | |
Daniel W. Koors | ||
Principal Financial Officer | ||
Date: | September 2, 2020 |
EXHIBIT LIST
Exhibit 13(a)(2) | Certification of the Principal Executive Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended. | |
Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended. | ||
Exhibit 13(b) | Certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended. |