<PAGE>
PPM AMERICA FUNDS
SEMI-ANNUAL REPORT
FOR THE PERIOD ENDED JUNE 30, 1999
<PAGE>
PPM AMERICA FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1999
<TABLE>
<CAPTION>
PPM AMERICA PPM AMERICA PPM AMERICA
VALUE SMALL CAP HIGH YIELD
EQUITY FUND VALUE EQUITY FUND BOND FUND
----------- ----------------- ---------
<S> <C> <C> <C>
ASSETS
Investments in securities, at cost .............................. $ 25,472,001 $ 25,285,965 $ 24,150,361
============ ============ ============
Investments in securities, at value ............................. $ 26,175,369 $ 25,556,085 $ 24,082,662
Cash ............................................................ -- -- --
Receivables:
Dividends and interest .......................................... 12,510 15,904 474,321
Investment securities sold ...................................... -- -- 556,000
Reimbursement from Adviser ...................................... 5,054 4,662 10,426
Other assets .................................................... 3,032 2,193 178
------------ ------------ ------------
TOTAL ASSETS .................................................... 26,195,965 25,578,844 25,123,587
------------ ------------ ------------
LIABILITIES
Payables:
Investment advisory fees ........................................ 6,378 9,734 10,240
Investment securities purchased ................................. 126,070 -- 100,000
Other liabilities ............................................... 8,874 8,499 10,216
------------ ------------ ------------
TOTAL LIABILITIES ............................................... 141,322 18,233 120,456
------------ ------------ ------------
NET ASSETS ...................................................... $ 26,054,643 $ 25,560,611 $ 25,003,131
============ ============ ============
NET ASSETS CONSISTS OF:
Paid-in capital ................................................. $ 25,104,550 $ 25,007,114 $ 25,000,000
Undistributed net investment income ............................. 49,701 72,004 121,769
Accumulated net realized gain on investments .................... 197,024 211,373 (50,939)
Net unrealized appreciation (depreciation)
on investments ............................................... 703,368 270,120 (67,699)
------------ ------------ ------------
NET ASSETS ...................................................... $ 26,054,643 $ 25,560,611 $ 25,003,131
============ ============ ============
TOTAL SHARES OUTSTANDING, NO PAR VALUE,
UNLIMITED SHARES AUTHORIZED ..................................... 4,585,962 4,936,791 5,000,000
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE ....................................................... $ 5.68 $ 5.18 $ 5.00
============ ============ ============
</TABLE>
See notes to the financial statement.
1
<PAGE>
PPM AMERICA FUNDS
STATEMENTS OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<CAPTION>
PPM AMERICA PPM AMERICA PPM AMERICA
VALUE SMALL CAP HIGH YIELD
EQUITY FUND VALUE EQUITY FUND BOND FUND *
------------ ----------------- ------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends .............................................................. $ 67,320 $ 117,845 $ --
Interest ............................................................... 12,364 10,216 135,168
--------- --------- ----------
Total investment income ................................................ 79,684 128,061 135,168
--------- --------- ----------
EXPENSES
Investment advisory fees ............................................... 23,986 45,865 10,240
Custodian fees ......................................................... 2,308 2,465 407
Portfolio accounting fees .............................................. 14,588 15,428 2,405
Professional fees ...................................................... 8,905 8,977 7,672
Registration fees ...................................................... 5,174 5,174 1,464
Transfer agent fees .................................................... 9,917 9,917 1,315
Other .................................................................. 3,603 3,795 322
--------- --------- ----------
TOTAL OPERATING EXPENSES ............................................... 68,481 91,621 23,825
Less reimbursement from Adviser ........................................ (38,498) (35,564) (10,426)
--------- --------- ----------
NET EXPENSES ........................................................... 29,983 56,057 13,399
--------- --------- ----------
NET INVESTMENT INCOME .................................................. 49,701 72,004 121,769
--------- --------- ----------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on investments ................................ 197,024 211,373 (50,939)
Net change in unrealized appreciation (depreciation)
on investments ......................................................... 645,235 (107,430) (67,699)
--------- --------- ----------
NET REALIZED AND UNREALIZED GAINS (LOSSES) ............................. 842,259 103,943 (118,638)
--------- --------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS ........................................................ $ 891,960 $ 175,947 $ 3,131
========= ========= ==========
</TABLE>
- --------------------------------------------------------------------------------
* For the period beginning June 7, 1999 (commencement of operations).
See notes to the financial statement.
2
<PAGE>
PPM AMERICA FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
<TABLE>
<CAPTION>
PPM AMERICA PPM AMERICA PPM AMERICA
VALUE SMALL CAP HIGH YIELD
EQUITY FUND VALUE EQUITY FUND BOND FUND
---------------------------------- -------------------------------- ---------------
Period from Period from Period from
Six months December 23, Six months December 23, June 7,
ended 1998* to ended 1998* to 1999* to
June 30, December 31, June 30, December 31, June 30,
1999 1998 1999 1998 1999
----------------- --------------- ---------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income ......................... $ 49,701 $ 5,335 $ 72,004 $ 8,369 $ 121,769
Net realized gain (loss) on investments ....... 197,024 -- 211,373 -- (50,939)
Net change in unrealized appreciation
(depreciation) on investments ................. 645,235 58,133 (107,430) 377,550 (67,699)
------------ ------------ ------------ ------------ ------------
Net increase in net assets
from operations ............................... 891,960 63,468 175,947 385,919 3,131
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income .................... -- (5,335) -- (8,369) --
From net realized gains on investments ........ -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions to shareholders ........... -- (5,335) -- (8,369) --
------------ ------------ ------------ ------------ ------------
SHARE TRANSACTIONS
Proceeds from the sale of shares .............. 20,000,000 5,100,000 15,000,000 10,000,000 25,000,000
Reinvestment of distributions ................. -- 5,335 -- 8,369 --
Cost of shares redeemed ....................... (785) -- (1,255) -- --
------------ ------------ ------------ ------------ ------------
Net increase in net assets from share
transactions .................................. 19,999,215 5,105,335 14,998,745 10,008,369 25,000,000
------------ ------------ ------------ ------------ ------------
NET INCREASE IN NET ASSET ..................... 20,891,175 5,163,468 15,174,692 10,385,919 25,003,131
------------ ------------ ------------ ------------ ------------
NET ASSETS BEGINNING OF PERIOD ................ 5,163,468 -- 10,385,919 -- --
============ ============ ============ ============ ============
NET ASSETS END OF PERIOD ...................... $ 26,054,643 $ 5,163,468 $ 25,560,611 $ 10,385,919 $ 25,003,131
============ ============ ============ ============ ============
UNDISTRIBUTED NET INVESTMENT INCOME ........... $ 49,701 $ -- $ 72,004 $ -- $ 121,769
============ ============ ============ ============ ============
</TABLE>
- -----------------------------------
* Commencement of operations.
See notes to the financial statements.
3
<PAGE>
PPM AMERICA FUNDS
FINANCIAL HIGHLIGHTS (UNAUDITED)
<TABLE>
<CAPTION>
PPM AMERICA PPM AMERICA PPM AMERICA
VALUE SMALL CAP HIGH YIELD
EQUITY FUND VALUE EQUITY FUND BOND FUND
---------------------------------- -------------------------------- ---------------
Period from Period from Period from
Six months December 23, Six months December 23, June 7,
ended 1998* to ended 1998* to 1999* to
June 30, December 31, June 30, December 31, June 30,
1999 1998 1999 1998 1999
----------------- --------------- ---------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ............ $ 5.06 $ 5.00 $ 5.19 $ 5.00 $ 5.00
INCOME FROM OPERATIONS
Net investment income ........................... 0.01 0.01 0.02 0.01 0.02
Net realized and unrealized gains
(losses) on investments ...................... 0.61 0.06 (0.03) 0.19 (0.02)
------------- ------------ ------------- ------------- -----------
Total income (loss) from operations ............. 0.62 0.07 (0.01) 0.20 --
------------- ------------ ------------- ------------- -----------
LESS DISTRIBUTIONS
From net investment income ...................... -- (0.01) -- (0.01) --
From net realized gains on investment
transactions ................................. -- -- -- -- --
------------- ------------ ------------- ------------- -----------
Total distributions ............................. -- (0.01) -- (0.01) --
------------- ------------ ------------- ------------- -----------
Net increase (decrease) ......................... 0.62 0.06 (0.01) 0.19 --
------------- ------------ ------------- ------------- -----------
NET ASSET VALUE, END OF PERIOD .................. $ 5.68 $ 5.06 $ 5.18 $ 5.19 $ 5.00
============= ============ ============= ============= ===========
TOTAL RETURN (a) ................................ 12.25% 1.24% (0.19)% 3.86% 0.00%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ........ $ 26,055 $ 5,163 $ 25,561 $ 10,386 $ 25,003
Ratio of net operating expenses to
average net assets (b) ....................... 1.00% 1.00% 1.10% 1.10% 0.85%
Ratio of net investment income to
average net assets (b) ....................... 1.66% 4.76% 1.41% 3.81% 7.73%
Portfolio turnover .............................. 14.13% -- 38.84% -- 14.04%
RATIO INFORMATION ASSUMING NO EXPENSES
REIMBURSEMENT:
Ratio of expenses to average net
assets (b) ................................... 2.30% 5.42% 1.80% 3.26% 1.51%
Ratio of net investment income to
average net assets (b) ....................... 0.36% 0.34% 0.71% 1.65% 7.07%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
4
<PAGE>
- --------------------------------------------------------------------------------
PPM AMERICA FUNDS
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
PPM America Funds (the "Trust") is an open-end management investment
company comprised of PPM America Value Equity Fund, PPM America Small Cap Value
Equity Fund and PPM America High Yield Bond Fund (collectively the "Funds"). The
Trust is organized under the laws of Massachusetts. The Trust is registered with
the Securities and Exchange Commission under the Investment Company Act of 1940
(the "1940 Act").
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Trust in the preparation of its financial statements.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions. Actual results could differ from those estimates.
SECURITY VALUATION -- Equity securities listed on a U.S. securities
exchange or NASDAQ National Market for which market quotations are available are
valued at the last quoted sale price on the day the valuation is made. Price
information on listed equity securities and listed U.S. equity securities not
traded on the valuation date or for which market quotations are not readily
available, and securities, the value of which have been materially affected by
events, occurring after the close of the market on which they principally trade,
are determined in good faith at a fair value using methods approved by the Board
of Trustees. Short-term securities maturing within 60 days are valued at
amortized cost, which approximates market value.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions
are accounted for on the date purchased or sold. Dividend income is recorded on
the ex-dividend date. Interest income is recorded on the accrual basis and
includes accretion of discounts and amortization of premiums. Gains and losses
are determined on the identified cost basis, which is the same basis used for
federal income tax purposes.
UNREGISTERED SECURITIES -- A Fund may own certain investment securities
which are unregistered and thus restricted to resale. These securities are
valued by the Funds after giving due consideration to pertinent factors
including recent private sales, market conditions and the issuer's financial
performance. Where future dispositions of the securities require registration
under the Securities Act of 1933, the Funds have the right to include their
securities in such registration generally without cost to the Funds. The Funds
have no right to require registration of unregistered securities. Unregistered
and other illiquid securities are limited to 15% of the net assets of a Fund.
REPURCHASE AGREEMENTS -- A Fund may invest in repurchase agreements. A
repurchase agreement involves the purchase of a security by a Fund and a
simultaneous agreement (generally by a bank or broker-dealer) to repurchase that
security back from the Fund at a specified price and date or upon demand.
Securities pledged as collateral for repurchase agreements are held by the
Funds' custodian bank until the maturity of the repurchase agreement. Procedures
for all repurchase agreements have been designed to assure that the daily market
value of the collateral is in excess of the repurchase agreement in the event of
default.
DISTRIBUTIONS TO SHAREHOLDERS -- The Funds normally declare and pay
dividends from net investment income annually, but may do so more frequently to
avoid excise tax. Distributions of net realized capital gains, if any, will be
distributed at least annually.
FEDERAL INCOME TAXES -- The Funds' policy is to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute income in amounts that will avoid federal income or
excise taxes for each Fund. A Fund may periodically make reclassifications among
certain of its capital accounts as a result of the recognition and
char-acterization of certain income and capital gain dist-ributions determined
annually in accordance with federal tax regulations which may differ from
generally accepted accounting principles.
5
<PAGE>
- --------------------------------------------------------------------------------
PPM AMERICA FUNDS
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES
Each Fund has an investment advisory agreement with PPM America, Inc. ("PPM
America"). As compensation for management services rendered, each Fund pays an
advisory fee, calculated daily and paid monthly, based on average daily net
assets, at the annual rate of 0.80% for the PPM America Value Equity Fund, 0.90%
for the PPM America Small Cap Value Equity Fund and 0.65% for the PPM America
High Yield Bond Fund.
Jackson National Financial Services, LLC ("JNFS"), an affiliate, provides
accounting and administrative services to the Funds. For its services, JNFS is
paid $27,000 per Fund per year plus 0.04% of the average daily net assets of
each Fund.
PPM America has voluntarily agreed to reimburse each of the Funds for total
annual operating expenses (excluding advisory fees) which exceed 0.20% of the
Fund's average daily net assets. These voluntary reimbursements may be modified
or discontinued at any time.
Trustees and officers of the Trust who are affiliated persons receive no
compensation from the Trust. Trustees who are not interested persons of the
Trust, as defined in the 1940 Act, collectively received $4,000 in compensation
from the Trust for the period ended June 30, 1999.
The Trust's distributor is National Planning Corporation, an affiliate.
Prudential Corporation plc, an affiliate of the advisor, owns substantially
all of the outstanding shares of the Trust.
NOTE 4. SECURITY TRANSACTIONS
During the period ended June 30, 1999, the cost of purchases and proceeds
from sales and maturities of securities, other than short-term investments, were
as follows (in thousands):
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM SALES
PURCHASES AND MATURITIES
--------- --------------
<S> <C> <C>
PPM America Value Equity Fund................................................... $ 21,192 $ 1,164
PPM America Small Cap Value Equity Fund......................................... 17,810 2,853
PPM America High Yield Bond Fund................................................ 24,594 1,691
</TABLE>
The federal income tax cost basis and gross unrealized appreciation and
depreciation on investments as of June 30, 1999, were as follows (in thousands):
<TABLE>
<CAPTION>
TAX GROSS GROSS UNREALIZED
COST UNREALIZED UNREALIZED APPRECIATION
BASIS APPRECIATION DEPRECIATION (DEPRECIATION)
----- ------------ ------------ --------------
<S> <C> <C> <C> <C>
PPM America Value Equity Fund ................ $ 25,472 $ 1,113 $ (410) $ 703
PPM America Small Cap Value Equity Fund ...... 25,286 1,314 (1,044) 270
PPM America High Yield Bond Fund.............. 24,150 67 (135) (68)
</TABLE>
NOTE 5. FUND TRANSACTIONS
Transactions of fund shares for the period ended June 30, 1999, were as
follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
--------- ---------- -------- --------
<S> <C> <C> <C> <C>
PPM America Value Equity Fund ................................ 3,565,063 -- (155) 3,564,908
PPM America Small Cap Value Equity Fund ...................... 2,935,420 -- (242) 2,935,178
PPM America High Yield Bond Fund.............................. 5,000,000 -- -- 5,000,000
</TABLE>
Transactions of fund shares for the period ended December 31, 1998, were as
follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
--------- ---------- -------- --------
<S> <C> <C> <C> <C>
PPM America Value Equity Fund ................................ 1,020,000 1,054 -- 1,021,054
PPM America Small Cap Value Equity Fund ...................... 2,000,000 1,613 -- 2,001,613
</TABLE>
6
<PAGE>
PPM AMERICA VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1999
MARKET
SHARES VALUE
------ -----
COMMON STOCKS - 99.43%
AEROSPACE & DEFENSE - 3.76%
Lockheed Martin Corp. .............. 14,900 $ 555,025
United Technologies Corp. ......... 6,000 430,125
-----------
985,150
APPAREL - 3.55%
Liz Claiborne Inc. ................. 9,900 361,350
V.F. Corp. ......................... 13,300 568,575
-----------
929,925
AUTO MANUFACTURERS - 3.88%
Ford Motor Co. ..................... 8,300 468,431
General Motors Corp. ............... 8,300 547,800
-----------
1,016,231
AUTO PARTS & EQUIPMENT - 2.01%
TRW Inc. ........................... 9,600 526,810
BANKS - 7.61%
Bank of America Corp. .............. 7,300 535,181
Chase Manhattan Corp. .............. 6,400 554,400
KeyCorp ............................ 15,600 501,150
Union Planters Corp. ............... 9,000 402,187
-----------
1,992,918
CHEMICALS - 3.44%
Dow Chemical Co. ................... 3,300 418,688
Rohm & Haas Co. .................... 11,200 480,200
-----------
898,888
COMPUTERS - 3.10%
Adaptec Inc. (a) ................... 11,600 409,625
International Business Machines
Corp. .............................. 3,100 400,675
-----------
810,300
ELECTRIC - 3.85%
FirstEnergy Corp. .................. 16,300 505,300
GPU Inc. ........................... 11,900 502,031
-----------
1,007,331
ELECTRONICS - 1.91%
Parker-Hannifin Corp. .............. 10,900 498,675
FOREST PRODUCTS & PAPER - 3.91%
Fort James Corp. ................... 13,700 518,888
Mead Corp. ......................... 12,100 505,175
-----------
1,024,063
HEALTH CARE - 2.17%
Columbia/HCA Healthcare Corp. ...... 24,900 568,035
INSURANCE - 7.28%
Aetna Inc. ......................... 4,200 375,638
American Financial Group Inc. ...... 7,500 255,469
American General Corp. ............. 3,500 263,813
CIGNA Corp. ........................ 5,600 498,400
Hartford Financial Services Group
Inc. ............................... 8,800 513,150
-----------
1,906,470
<PAGE>
MARKET
SHARES VALUE
------ -----
COMMON STOCKS (CONTINUED)
IRON & STEEL - 2.03%
Nucor Corp. ........................ 11,200 $ 531,300
LEISURE TIME - 1.21%
Brunswick Corp. .................... 11,400 317,775
METALS & MINING - 2.01%
Phelps Dodge Corp. ................. 8,500 526,469
MANUFACTURING - 6.59%
Cooper Industries Inc............... 7,300 379,600
ITT Industries Inc. ................ 9,900 377,437
PPG Industries Inc. ................ 8,000 472,500
Tenneco Inc. ....................... 20,700 494,213
-----------
1,723,750
OFFICE & BUSINESS EQUIPMENT - 1.60%
Harris Corp. ....................... 10,700 419,306
OIL & GAS PRODUCERS - 6.86%
Ashland Inc. ....................... 11,500 461,437
Chevron Corp. ...................... 4,100 390,269
Occidental Petroleum Corp. ......... 22,700 479,537
Phillips Petroleum Co. ............. 9,200 462,875
-----------
1,794,118
RETAIL - 6.37%
Federated Department Stores Inc.
(a) ................................ 11,100 587,606
Kmart Corp. (a)..................... 35,900 590,106
Sears, Roebuck and Co. ............. 11,000 490,188
-----------
1,667,900
SAVINGS & LOANS - 5.39%
Charter One Financial Inc. ......... 18,700 520,094
Sovereign Bancorp Inc............... 27,000 327,375
Washington Mutual Inc. ............. 15,900 562,463
-----------
1,409,932
SOFTWARE - 2.44%
Computer Associates International
Inc. ............................... 11,600 638,000
TELECOMMUNICATIONS - 11.26%
AT&T Corp. ......................... 4,700 262,319
Bell Atlantic Corp. ................ 8,600 562,224
GTE Corp. .......................... 7,300 552,975
SBC Communications Inc. ............ 10,600 614,800
Sprint Corp. ....................... 7,200 380,250
US West Inc. ....................... 9,800 575,750
-----------
2,948,318
TOBACCO - 3.25%
Philip Morris Cos. Inc. ............ 11,000 442,063
RJR Nabisco Holdings Corp. ......... 13,000 409,500
-----------
851,563
See notes to the financial statements.
7
<PAGE>
PPM AMERICA VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
MARKET
SHARES VALUE
------ -----
COMMON STOCKS (CONTINUED)
TRANSPORTATION -3.95%
Burlington Northern Santa Fe Corp. 14,900 $ 461,900
CSX Corp. .......................... 12,600 570,938
-----------
1,032,838
-----------
Total Common Stocks
(cost $25,322,697) ............ 26,026,065
-----------
MARKET
SHARES VALUE
------ -----
SHORT TERM INVESTMENTS - 0.57%
MONEY MARKET FUND - 0.57%
Dreyfus Treasury Cash Management Plus
Fund, 4.88% (b) ................... 149,304 149,304
-----------
Total Short Term Investments
(cost $149,304) ............... 149,304
-----------
TOTAL INVESTMENTS - 100%
(cost $25,472,001)................... $26,175,369
=============
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 1999.
See notes to the financial statements.
8
<PAGE>
PPM AMERICA SMALL CAP VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1999
MARKET
SHARES VALUE
------ -----
COMMON STOCKS - 99.41%
AEROSPACE & DEFENSE - 6.34%
Alliant Techsystems Inc. (a) ....... 7,600 $ 657,400
Gencorp Inc. ....................... 38,100 962,025
------------
1,619,425
APPAREL - 7.47%
Columbia Sportswear Co. (a) ........ 45,400 698,025
Garan Inc. ......................... 16,500 530,062
Nautica Enterprises Inc. (a)...... 40,300 680,062
------------
1,908,149
AUTO PARTS & EQUIPMENT - 3.00%
Superior Industries International
Inc. ............................... 28,100 767,481
BANKS - 8.28%
CCB Financial Corp. ................ 7,100 375,412
GBC Bancorp ........................ 12,600 255,150
Hudson United Bancorp............... 21,700 664,562
Peoples Heritage Financial Group
Inc. ............................... 43,700 822,106
------------
2,117,230
CHEMICALS - 2.43%
Ferro Corp. ........................ 22,600 621,500
COMMERICAL SERVICES - 2.25%
Franklin Covey Co. (a) ............. 78,000 575,250
COMPUTERS - 5.41%
Adaptec Inc. (a) ................... 15,200 536,750
Banctec Inc. (a) ................... 21,400 383,863
Symantec Corp. (a)................. 18,100 461,550
------------
1,382,163
ELECTRIC - 3.74%
Black Hills Inc. ................... 19,500 450,938
Sierra Pacific Resources ........... 13,900 505,613
------------
956,551
HAND & MACHINE TOOLS - 3.21%
Kennametal Inc. .................... 26,500 821,500
HEALTH CARE - 2.56%
Triad Hospitals Inc. (a) .......... 48,400 653,400
HOME BUILDERS - 2.43%
Champion Enterprises Inc. (a) ...... 33,400 622,075
HOUSEWARES - 2.51%
National Presto Industries Inc. .... 16,800 642,600
INSURANCE - 6.99%
American Financial Group Inc. ...... 18,400 626,750
Fremont General Corp. .............. 40,300 760,662
Reliastar Financial Corp. .......... 9,100 398,125
------------
1,785,537
<PAGE>
MARKET
SHARES VALUE
------ -----
COMMON STOCKS (CONTINUED)
IRON & STEEL - 6.72%
AK Steel Holding Corp. ............. 38,200 $ 859,500
Cleveland-Cliffs Inc. .............. 26,500 857,938
------------
1,717,438
LEISURE TIME - 2.74%
Brunswick Corp. .................... 25,100 699,663
MACHINERY - 9.50%
Esterline Technologies Corp. (a) ... 65,700 944,437
Flowserve Corp. .................. 36,100 683,644
Tecumsah Products Co. ............ 13,200 799,425
------------
2,427,506
MEDIA - 2.33%
Central Newspapers Inc. - Class A .. 15,800 594,475
MANUFACTURING - 2.97%
Lancaster Colony Corp. ............. 22,000 759,000
OIL & GAS PRODUCERS - 6.81%
Peoples Energy Corp. ............... 13,200 497,475
Ultramar Diamond Shamrock Corp. .... 38,100 831,056
WD-40 Co. .......................... 16,500 412,500
------------
1,741,031
OFFICE FURNISHING - 2.83%
Steelcase Inc. ................... 36,100 722,000
RETAIL - 0.97%
Sbarro Inc.(a) ..................... 9,200 248,975
SAVINGS & LOANS - 2.90%
Sovereign Bancorp Inc. ............. 61,100 740,838
TRANSPORTATION - 5.02%
Frozen Food Express Industries Inc. 72,300 551,288
Gatx Corp. ......................... 19,200 730,800
------------
1,282,088
------------
Total Common Stocks
(cost $25,135,755) ............ 25,405,875
------------
SHORT TERM INVESTMENTS - 0.59%
MONEY MARKET FUND - 0.59%
Dreyfus Treasury Cash Management
Plus Fund, 4.88% (b) ............ 150,210 150,210
------------
Total Short Term Investments
(cost $150,210) ................. 150,210
------------
TOTAL INVESTMENTS - 100%
(cost $25,285,965) .................. $25,556,085
=============
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 1999.
See notes to the financial statements.
9
<PAGE>
PPM AMERICA HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1999
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
CORPORATE BONDS - 92.77%
AEROSPACE & DEFENSE - 2.04%
Fairchild Corp., (144a), 10.75%,
04/15/2009 ................... $ 500,000 $ 491,250
BUILDING MATERIALS - 9.77%
Brand Scaffold Services, 10.25%,
02/15/2008................... 500,000 489,375
Juno Light Inc., (144a),
11.875%,
07/01/2009.................. 400,000 403,000
NCI Building Systems Inc.,
(144a),
9.25%, 05/01/2009 ........... 500,000 498,750
Nortek Inc., 9.125%, 09/01/2007 . 500,000 497,500
Schuff Steel Co., 10.50%,
06/01/2008....................... 500,000 463,750
------------
2,352,375
CHEMICALS - 2.16%
Lyondell Chemical Co., (144a),
10.875%, 05/01/2009........... 500,000 520,000
COMMERCIAL SERVICES - 4.09%
Flag Ltd., 8.25%, 01/30/2008 .... 500,000 471,250
Marsulex Inc., 9.625%, 07/01/2008 500,000 513,125
------------
984,375
DIVERSIFIED FINANCIAL SERVICES -
2.02%
DVI Inc, 9.875%, 02/01/2004 ..... 500,000 486,250
ELECTRICAL COMPONENTS & EQUIPMENT -
3.90%
Hadco Corp., (Step-Up Bond),
9.50%, 06/15/2008 (a)........ 500,000 438,750
Integrated Circuit Systems,
(144a), 11.50%, 05/15/2009... 500,000 500,000
------------
938,750
ENTERTAINMENT - 7.35%
Horseshoe Gaming Holdings,
(144a), 8.625%, 05/15/2009..... 500,000 483,750
Imax Corp., 7.875%, 12/01/2005... 500,000 470,000
Lady Luck Gaming, 11.875%,
03/01/2001.................... 315,000 318,938
Waterford Gaming LLC/FIN,
(144a), 9.50%, 03/15/2010...... 500,000 498,750
------------
1,771,438
FOOD - 4.28%
Agrilink Foods Inc., 11.875%,
11/01/2008.................. 500,000 516,250
National Wine & Spirits,
(144a), 10.125%, 01/15/2009. 500,000 513,750
------------
1,030,000
HAND & MACHINE TOOLS - 2.01%
Applied Power Inc., 8.75%,
04/01/2009................ 500,000 483,750
<PAGE>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
CORPORATE BONDS (CONTINUED)
HEALTH CARE - 6.11%
Lifepoint Hospitals Holdings,
(144a), 10.75%, 05/15/2009....... $ 500,000 $ 508,750
Tenet Healthcare Corp., 8.125%,
12/01/2008....................... 1,000,000 962,500
------------
1,471,250
HOLDING COMPANIES - DIVERSIFIED -
3.70%
Crown Castle International
Corp., (Step- Up Bond),10.375%,
05/15/2011 (a)................... 750,000 437,812
Knology Holdings Inc., (Step-Up
Bond), 11.88%, 10/15/2007 (a).... 750,000 453,750
------------
891,562
LODGING - 1.90%
HMH Properties, 7.875%,
08/01/2008.................. 500,000 458,750
MANUFACTURING - 5.93%
Prestolite Electric Inc.,
9.625%, 02/01/2008.......... 500,000 485,000
Repap New Brunswick, 9.00%,
06/01/2004.................. 500,000 462,500
Windmere-Durable Holdings,
10.00%, 07/31/2008.......... 500,000 480,000
------------
1,427,500
MEDIA - 6.16%
Echostar DBS Corp., (144a),
9.375%, 02/01/2009 ............ 1,000,000 1,020,000
Fox Family Worldwide Inc.,
9.25%, 11/01/2007.............. 500,000 463,750
------------
1,483,750
OFFICE & BUSINESS EQUIPMENT - 1.96%
General Binding Corp., 9.375%,
06/01/2008.................. 500,000 473,125
PACKAGING & CONTAINERS - 4.18%
Packaging Corp. of America,
(144a), 9.625%, 04/01/2009..... 500,000 503,750
Riverwood International,
10.25%, 04/01/2006......... 500,000 503,750
------------
1,007,500
RETAIL - 3.97%
Apcoa Inc., 9.25%, 03/15/2008... 500,000 465,625
JoAnn Stores Inc., (144a),
10.375%, 05/01/2007........ 500,000 490,000
------------
955,625
SOFTWARE - 2.08%
PSINet Inc., Series B,
10.00%, 02/15/2005......... 500,000 500,000
See notes to the financial statements.
10
<PAGE>
PPM AMERICA HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
CORPORATE BONDS (CONTINUED)
TELECOMMUNICATIONS - 19.16%
Hyperion Telecommunications,
(144a), 12.00%, 11/01/2007.. $ 500,000 $ 506,250
KMC Telecommunications Holdings.
Inc., (144a), 13.50%,
05/15/2009.................. 500,000 499,375
Level 3 Communications Inc.,
9.125%, 05/01/2008.......... 500,000 492,500
Metronet Communications,
(Step-Up Bond), 9.95%,
06/15/2008 (a).............. 750,000 557,812
Nextel Communications, (Step-Up
Bond), 10.75%, 02/15/2008
(a)......................... 750,000 518,438
Nextlink Communications,
10.75%, 06/01/2009.......... 500,000 512,500
Primus Telecommunications Group,
(144a), 11.25%, 01/15/2009.. 500,000 515,000
Rogers Cablesystems LTD, 10.00%,
12/01/2007.................. 500,000 538,750
RSL Communications PLC, (144a),
9.875%, 11/15/2009.......... 500,000 473,750
------------
4,614,375
------------
Total Corporate Bonds
(Cost $22,390,480).. 22,341,625
------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
GOVERNMENT SECURITIES - 1.86%
ARGENTINA - 1.86%
Republic of Argentina,
11.75%, 04/07/2009....... $ 500,000 $ 448,750
------------
Total Government
Securities
(Cost $467,594)... 448,750
------------
SHORT TERM INVESTMENTS - 5.37%
MONEY MARKET FUNDS - 5.37%
Dreyfus Treasury Cash Management
Plus Fund, 4.88% (b)...... 1,249,502 1,249,502
Dreyfus Government Cash
Management Fund, 4.68%,
(b)....................... 42,785 42,785
------------
Total Short Term Investments
(cost $1,292,287) ........... 1,292,287
------------
TOTAL INVESTMENTS -- 100%
(cost $ 24,150,361).............. $24,082,662
============
- --------------------------------------------------------------------------------
(a) Denotes deferred interest security that receives no current coupon payments
until a predetermined date at which time the stated coupon rate becomes
effective.
(b) Dividend yields change daily to reflect current market conditions. Rate is
the quoted yield as of June 30, 1999.
See notes to the financial statements.
11
