<PAGE>
PPM America Funds
Semiannual Report
June 30, 2000
<PAGE>
PPM AMERICA FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
(in thousands, except net asset value per share)
JUNE 30, 2000
<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 ................ $25,314 $25,529 $26,205
====================== ======================= =======================
Investments in securities, at value ............... $20,671 $20,478 $24,422
Receivables:
Dividends and interest ............................ 38 18 569
Reimbursement from adviser ........................ 4 4 3
Investment securities sold ..................... - 156 681
Prepaid expenses .................................. 2 3 3
---------------------- ----------------------- -----------------------
Total assets ...................................... 20,715 20,659 25,678
---------------------- ----------------------- -----------------------
Liabilities
Payables:
Advisory fees ..................................... 15 16 13
Investment securities purchased ................ - 155 574
Other liabilities ................................. 16 16 16
---------------------- ----------------------- -----------------------
Total liabilities ................................. 31 187 603
---------------------- ----------------------- -----------------------
Net assets ........................................ $20,684 $20,472 $25,075
====================== ======================= =======================
Net assets consist of:
Paid-in capital ................................... $25,834 $25,366 $26,307
Undistributed net investment income ............... 217 189 1,242
Accumulated net realized loss on investments ...... (724) (32) (691)
Net unrealized depreciation on investments ........ (4,643) (5,051) (1,783)
---------------------- ----------------------- -----------------------
Net assets ........................................ $20,684 $20,472 $25,075
====================== ======================= =======================
Total shares outstanding (no par value),
unlimited shares authorized ....................... 4,738 5,019 5,271
====================== ======================= =======================
Net asset value per share ......................... $4.37 $4.08 $4.76
====================== ======================= =======================
</TABLE>
See notes to the financial statements.
1
<PAGE>
PPM AMERICA FUNDS
STATEMENTS OF OPERATIONS (UNAUDITED)
(in thousands)
FOR THE SIX MONTHS ENDED JUNE 30, 2000
<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 ............................... $294 $299 $ -
Interest ................................ 30 3 1355
----------------------- ----------------------- -----------------------
Total investment income ................. 324 302 1355
----------------------- ----------------------- -----------------------
Expenses
Advisory fees ........................... 85 92 81
Custodian fees .......................... 5 2 2
Portfolio accounting fees ............... 18 18 18
Professional fees ....................... 10 10 10
Registration fees ....................... 2 2 2
Transfer agent fees ..................... 11 12 10
Other ................................... 5 4 4
----------------------- ----------------------- -----------------------
Total operating expenses ................ 136 140 127
Less reimbursement from adviser ......... (29) (27) (21)
----------------------- ----------------------- -----------------------
Net expenses ............................ 107 113 106
----------------------- ----------------------- -----------------------
Net investment income ................... 217 189 1,249
----------------------- ----------------------- -----------------------
Realized and unrealized losses:
Net realized loss on investments ........ (722) (167) (483)
Net change in unrealized depreciation on
investments .......................... (1,676) (1,675) (1,139)
----------------------- ----------------------- -----------------------
Net realized and unrealized losses ...... (2,398) (1,842) (1,622)
----------------------- ----------------------- -----------------------
Net decrease in net assets
resulting from operations ............... $(2,181) $(1,653) $(373)
======================= ======================= =======================
</TABLE>
See notes to the financial statements.
2
<PAGE>
PPM AMERICA FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
(in thousands)
<TABLE>
<CAPTION>
PPM AMERICA PPM AMERICA
VALUE SMALL CAP
EQUITY FUND VALUE EQUITY FUND
------------------------------ -----------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2000 1999 2000 1999
------------- --------------- ------------- --------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................... $ 217 $ 240 $ 189 $ 199
Net realized gain (loss) on investments . (722) 616 (167) 358
Net change in unrealized depreciation on
investments ...................... (1,676) (3,025) (1,675) (3,753)
------------- --------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS ..................... (2,181) (2,169) (1,653) (3,196)
------------- --------------- ------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income .............. - (240) - (199)
From net realized gains on investments .. - (618) - (223)
------------- --------------- ------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ..... - (858) - (422)
------------- --------------- ------------- --------------
SHARE TRANSACTIONS:
Proceeds from the sale of shares ........ - 20,000 - 15,000
Reinvestment of distributions .......... - 729 - 357
Cost of shares redeemed ................. - - - -
------------- --------------- ------------- --------------
NET INCREASE IN NET ASSETS FROM
SHARE TRANSACTIONS .................. - 20,729 - 15,357
------------- --------------- ------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS ..... (2,181) 17,702 (1,653) 11,739
NET ASSETS BEGINNING OF PERIOD ............ 22,865 5,163 22,125 10,386
------------- --------------- ------------- --------------
NET ASSETS END OF PERIOD .................. $ 20,684 $ 22,865 $ 20,472 $ 22,125
============= =============== ============= ==============
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS) .......................... $ 217 $ - $ 189 $ -
============= =============== ============= ==============
</TABLE>
PPM AMERICA
HIGH YIELD
BOND FUND
------------------------------
PERIOD FROM
SIX MONTHS JUNE 7,
ENDED 1999* TO
JUNE 30, DECEMBER 31,
2000 1999
------------- ---------------
OPERATIONS:
Net investment income .................. $ 1,249 $ 1,300
Net realized gain (loss) on investments (483) (208)
Net change in unrealized depreciation on
investments ..................... (1,139) (644)
------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS .................... (373) 448
------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income ............. - (1,307)
From net realized gains on investments . - -
------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS .... - (1,307)
------------- ---------------
SHARE TRANSACTIONS:
Proceeds from the sale of shares ....... - 25,000
Reinvestment of distributions ......... - 1,307
Cost of shares redeemed ................ - -
------------- ---------------
NET INCREASE IN NET ASSETS FROM
SHARE TRANSACTIONS ................. - 26,307
------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS .... (373) 25,448
NET ASSETS BEGINNING OF PERIOD ........... 25,448 -
------------- ---------------
NET ASSETS END OF PERIOD ................. $ 25,075 $ 25,448
============= ===============
UNDISTRIBUTED NET INVESTMENT
INCOME (LOSS) ......................... $ 1,242 $ (7)
============= ===============
--------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
3
<PAGE>
PPM AMERICA FUNDS
FINANCIAL HIGHLIGHTS (UNAUDITED)
<TABLE>
<CAPTION>
PPM AMERICA PPM AMERICA
VALUE EQUITY FUND SMALL CAP VALUE EQUITY FUND
---------------------------------------------- --------------------------------------------
PERIOD FROM PERIOD FROM
SIX MONTHS DECEMBER 23, SIX MONTHS DECEMBER 23,
ENDED YEAR ENDED 1998* TO ENDED YEAR ENDED 1998* TO
JUNE 30, DECEMBER DECEMBER 31, JUNE 30, DECEMBER DECEMBER 31,
2000 31, 1999 1999 2000 31, 1999 1999
--------------- -------------- --------------- --------------- -------------- -------------
SELECTED PER SHARE DATA
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 4.83 $ 5.06 $ 5.00 $ 4.41 $ 5.19 $ 5.00
INCOME FROM OPERATIONS: ..............
Net investment income ............. 0.05 0.05 0.01 0.04 0.04 0.01
Net realized and unrealized loss
on investments .................. (0.51) (0.10) 0.06 (0.37) (0.73) 0.19
--------------- -------------- --------------- --------------- -------------- -------------
Total income (loss) from operations (0.46) (0.05) 0.07 (0.33) (0.69) 0.20
--------------- -------------- --------------- --------------- -------------- -------------
LESS DISTRIBUTIONS:
From net investment income ........ - (0.05) (0.01) - (0.04) (0.01)
From net realized gains on
investment transactions .......... - (0.13) - - (0.05) -
--------------- -------------- --------------- --------------- -------------- -------------
Total distributions ............... - (0.18) (0.01) - (0.09) (0.01)
--------------- -------------- --------------- --------------- -------------- -------------
Net increase (decrease) ........... (0.46) (0.23) 0.06 (0.33) (0.78) 0.19
--------------- -------------- --------------- --------------- -------------- -------------
NET ASSET VALUE, END OF PERIOD ....... $ 4.37 $ 4.83 $ 5.06 $ 4.08 $ 4.41 $ 5.19
=============== ============== =============== =============== ============== =============
TOTAL RETURN (A) (9.52)% (0.82)% 1.24% (7.48)% (13.36)% 3.86%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in .....
thousands) ........................ $ 20,684 $ 22,865 $ 5,163 $ 20,472 $ 22,125 $ 10,386
Ratio of net operating expenses to
average net assets (b) ......... 1.00% 1.00% 1.00% 1.10% 1.10% 1.10%
Ratio of net investment income to
average net assets (b) ........... 2.03% 1.60% 4.76% 1.85% 1.18% 3.81%
Portfolio turnover ................ 25.45% 45.51% - 25.81% 52.51% -
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT
Ratio of expenses to average net
assets (b) ....................... 1.27% 1.49% 5.42% 1.36% 1.51% 3.26%
Ratio of net investment income to
average net assets (b) ........... 1.76% 1.11% 0.34% 1.59% 0.77% 1.65%
</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 the periods less than one year.
(b) Annualized for the periods less than one year.
See notes to the financial statements.
4
<PAGE>
PPM AMERICA FUNDS
FINANCIAL HIGHLIGHTS (UNAUDITED) (CONTINUED)
PPM AMERICA
HIGH YIELD BOND FUND
-------------------------------
PERIOD FROM
SIX MONTHS JUNE 7,
ENDED 1999* TO
JUNE 30, DECEMBER 31,
2000 1999
--------------- ---------------
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD
INCOME FROM OPERATIONS: ............... $ 4.83 $ 5.00
Net investment income .............. 0.24 0.26
Net realized and unrealized loss
on investments ................... (0.31) (0.17)
--------------- ---------------
Total income (loss) from operations (0.07) 0.09
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ......... - (0.26)
From net realized gains on
investment transactions ........... - -
--------------- ---------------
Total distributions ................ - (0.26)
--------------- ---------------
Net decrease ....................... (0.07) (0.17)
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ........ $ 4.76 $ 4.83
=============== ===============
TOTAL RETURN (A) ...................... (1.45)% 1.83%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in
thousands) ........................ $ 25,075 $ 25,448
Ratio of net operating expenses to
average net assets (b) .......... 0.85% 0.85%
Ratio of net investment income to
average net assets (b) ............ 10.00% 9.14%
Portfolio turnover ................. 37.34% 31.54%
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT
Ratio of expenses to average net
assets (b) ........................ 1.02% 1.16%
Ratio of net investment income to
average net assets (b) ............ 9.83% 8.83%
--------------------------------------------------------------------------------
* Commencement of operations.
(c) 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 the periods less than one year.
(d) Annualized for the periods less than one year.
See notes to the financial statements.
5
<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 that affect the reported amounts and disclosures in
the financial statements. 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. Unlisted
securities and listed securities not traded on the valuation date or for which
market quotations are not readily available, are determined in good faith at a
fair value using methods approved by the Board of Trustees. Bonds are valued on
the basis of prices furnished by pricing services which takes into account
institutional size trading in similar groups of securities. Securities with
remaining maturities of 60 days or less are valued at amortized cost, which
approximates market value.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions
are accounted for on the trade date. Dividend income is recorded on the
ex-dividend date. Interest income, including level-yield amortization of
discounts and premiums, is accrued daily. Realized gains and losses are
determined on the specific identification basis.
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 prices of related registered securities, 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.
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
characterization of certain income and capital gain distributions determined
annually in accordance with federal tax regulations which may differ from
generally accepted accounting principles.
6
<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"). 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
fund 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, 2000.
The Trust's distributor is National Planning Corporation, an affiliate.
Prudential plc and Jackson National Life Insurance Company, both
affiliates of PPM America, own substantially all of the outstanding shares of
the Trust.
NOTE 4. SECURITY TRANSACTIONS
During the period ended June 30, 2000, the cost of purchases and proceeds
from sales and maturities of securities, other than short-term investments, were
as follows (in thousands):
COST OF PROCEEDS FROM SALES
PURCHASES AND MATURITIES
PPM America Value Equity Fund ............ $ 5,587 $ 5,437
PPM America Small Cap Value Equity Fund .. 5,425 5,315
PPM America High Yield Bond Fund ......... 10,002 8,791
The federal income tax cost basis and gross unrealized appreciation and
depreciation on investments as of June 30, 2000, 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 ................ $ 25,362 $ 700 $ (5,390) $ (4,690)
PPM America Small Cap Value Equity Fund ...... 25,724 1,048 (6,294) (5,246)
PPM America High Yield Bond Fund ............. 26,206 161 (1,945) (1,784)
</TABLE>
At December 31, 1999, the PPM America High Yield Bond Fund had accumulated
net realized capital loss carryovers for federal income tax purposes of $197,391
(expiring in 2007), which may be used to offset future capital gains.
7
<PAGE>
--------------------------------------------------------------------------------
PPM AMERICA FUNDS
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
--------------------------------------------------------------------------------
NOTE 5. FUND TRANSACTIONS
Transactions of fund shares (in thousands) for the period ended June 30,
2000, were as follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
<S> <C> <C> <C> <C>
PPM America Value Equity Fund ................ - - - -
PPM America Small Cap Value Equity Fund ...... - - - -
PPM America High Yield Bond Fund ............. - - - -
</TABLE>
Transactions of fund shares (in thousands) for the period ended December
31, 1999, were as follows:
<TABLE>
<CAPTION>
SHARES DISTRIBUTIONS SHARES NET
PURCHASED REINVESTED REDEEMED INCREASE
<S> <C> <C> <C> <C>
PPM America Value Equity Fund ................ 3,565 152 - 3,717
PPM America Small Cap Value Equity Fund ...... 2,935 82 - 3,017
PPM America High Yield Bond Fund ............. 5,000 271 - 5,271
</TABLE>
8
<PAGE>
PPM AMERICA VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
COMMON STOCKS - 99.7%
AEROSPACE & DEFENSE - 3.4%
Lockheed Martin Corp. 16,200 $ 402
United Technologies Corp. 5,000 294
-----------
696
APPAREL - 3.3%
Liz Claiborne Inc. 8,200 289
V.F. Corp. 16,700 400
-----------
689
AUTO MANUFACTURERS - 3.3%
Ford Motor Co. 9,100 391
General Motors Corp. 4,900 285
-----------
676
AUTO PARTS & EQUIPMENT - 3.7%
Delphi Automotive Systems Corp. 25,200 367
TRW Inc. 9,100 395
Visteon Corp. 1,192 14
-----------
776
BANKS - 6.5%
Bank of America Corp. 8,800 378
Chase Manhattan Corp. 8,250 380
KeyCorp 23,400 412
SouthTrust Corp. 7,900 179
-----------
1,349
CHEMICALS - 2.3%
Rohm & Haas Co. 13,500 467
DIVERSIFIED FINANCIAL SERVICES -
1.3%
Franklin Resources Inc. 9,200 279
ELECTRIC - 4.1%
FirstEnergy Corp. 17,900 418
GPU Inc. 15,800 428
-----------
846
ELECTRONICS - 1.6%
Parker - Hannifin Corp. 9,700 332
FOREST PRODUCTS & PAPER - 3.0%
Fort James Corp. 14,500 335
Mead Corp. 11,100 280
-----------
615
HEALTHCARE - 2.3%
Columbia/HCA Healthcare Corp. 15,500 471
HOME FURNISHINGS - 2.1%
Maytag Corp. 12,000 443
HOUSEHOLD PRODUCTS - 1.6%
Fortune Brands Inc. 14,300 330
INSURANCE - 9.9%
Aetna Inc. 7,600 488
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
American Financial Group Inc. 8,200 $ 203
American General Corp. 6,900 421
Cigna Corp. 5,400 505
Hartford Financial Services
Group Inc. 7,600 425
-----------
2,042
IRON & STEEL - 1.9%
Nucor Corp. 11,700 388
LEISURE TIME - 1.2%
Brunswick Corp. 14,900 247
MANUFACTURING - 5.0%
Cooper Industries Inc. 9,300 303
ITT Industries Inc. 10,700 325
PPG Industries Inc. 9,100 403
-----------
1,031
METALS & MINING - 1.8%
Phelps Dodge Corp. 10,000 372
OFFICE & BUSINESS EQUIPMENT - 1.7%
Xerox Corp. 17,100 355
OIL & GAS PRODUCERS - 6.6%
Ashland Inc. 11,300 396
Chevron Corp. 2,600 221
Occidental Petroleum Corp. 18,100 381
Phillips Petroleum Co. 7,100 360
-----------
1,358
PACKAGING & CONTAINERS - 0.9%
Pactiv Corp. (a) 24,600 194
RETAIL - 5.7%
Federated Department Stores Inc.
(a) 13,200 446
Kmart Corp. (a) 61,700 420
Sears, Roebuck & Co. 9,800 320
-----------
1,186
SAVINGS & LOANS - 6.3%
Charter One Financial Inc. 22,900 527
Sovereign Bancorp Inc. 43,300 304
Washington Mutual Inc. 16,300 471
-----------
1,302
SOFTWARE - 4.4%
Computer Associates 9,400 481
International Inc.
Compuware Corp. (a) 41,000 425
-----------
906
TELECOMMUNICATIONS - 9.4%
Bell Atlantic Corp. 6,700 340
BellSouth Corp. 7,000 298
CenturyTel Inc. 13,500 388
GTE Corp. 7,000 436
SBC Communications Inc. 11,100 480
-----------
1,942
See notes to the financial statements.
9
<PAGE>
PPM AMERICA VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
-----------------------------------------------------------
TOBACCO - 2.5%
Philip Morris Cos. Inc. 19,400 $ 515
TRANSPORTATION - 3.9%
Burlington Northern Santa Fe 16,900 388
Corp.
CSX Corp. 19,700 417
-----------
805
-----------
Total Common Stocks
(cost $25,255) 20,612
-----------
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
SHORT TERM INVESTMENT - 0.3%
MONEY MARKET FUND - 0.3%
Dreyfus Cash Management Plus,
6.51% (b) 58,517 $ 59
-----------
Total Short Term Investment
(cost $59) 59
-----------
TOTAL INVESTMENTS - 100%
(cost $25,314) $ 20,671
===========
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000.
See notes to the financial statements.
10
<PAGE>
PPM AMERICA SMALL CAP VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
------------------------------------------------------------
COMMON STOCKS - 99.7%
AEROSPACE & DEFENSE - 4.9%
Alliant Techsystems Inc. (a) 7,800 $ 526
GenCorp Inc. 58,500 468
------------
994
APPAREL - 4.6%
Garan Inc. 19,700 446
Nautica Enterprises Inc. (a) 46,000 491
------------
937
AUTO PARTS & EQUIPMENT - 2.9%
Superior Industries 22,700 584
International Inc.
BANKS - 7.5%
Banknorth Group Inc. 45,800 701
CCB Financial Inc. 6,800 252
Hudson United Bancorp 25,500 572
------------
1,525
BUILDING MATERIALS - 2.6%
Omnova Solutions Inc. 85,600 535
CHEMICALS - 2.4%
Ferro Corp. 23,100 485
COMMERICAL SERVICES - 2.7%
Franklin Covey Co. (a) 80,200 556
DIVERSIFIED FINANCIAL SERVICES -
3.0%
Neuberger Berman Inc. 13,000 605
ELECTRIC - 3.9%
Black Hills Corp. 17,000 384
Sierra Pacific Resources 32,500 408
------------
792
ELECTRICAL COMPONENTS
& EQUIPMENT - 1.6%
Lanier Worldwide Inc. (a) 333,400 333
FOOD - 7.1%
Bob Evans Farms Inc. 43,400 648
Corn Products International Inc. 19,700 526
Universal Foods Corp. 15,400 285
------------
1,459
HAND & MACHINE TOOLS - 1.6%
Kennametal Inc. 15,400 330
HEALTHCARE - 2.9%
Triad Hospitals Inc. (a) 25,100 607
HOME BUILDERS - 2.4%
Champion Enterprises Inc. (a) 100,800 492
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
------------------------------------------------------------
HOUSEWARES - 2.3%
National Presto Industries Inc. 15,100 $ 464
INSURANCE - 2.4%
American Financial Group Inc. 19,700 489
IRON & STEEL - 6.0%
AK Steel Holding Corp. 74,900 599
Cleveland-Cliffs Inc. 24,500 633
------------
1,232
LEISURE TIME - 2.3%
Brunswick Corp. 28,200 467
MACHINERY - 8.6%
Esterline Technologies Corp. (a) 43,900 653
Flowserve Corp. 37,500 567
Tecumsah Products Co. 14,400 550
------------
1,770
MANUFACTURING - 4.8%
Armstrong Holdings Inc. 28,600 438
Lancaster Colony Corp. 28,500 547
------------
985
MEDIA - 1.9%
Lee Enterprises Inc. 16,800 392
OFFICE & BUSINESS EQUIPMENT - 3.8%
Steelcase Inc. 46,300 787
OIL & GAS PRODUCERS - 5.8%
Peoples Energy Corp. 13,200 427
Ultramar Diamond Shamrock Corp. 20,500 509
WD - 40 Co. 12,100 251
------------
1,187
SAVINGS & LOANS - 5.3%
Astoria Financial Corp. 19,000 489
Sovereign Bancorp Inc. 85,400 601
------------
1,090
SHIPBUILDING - 3.0%
Newport News Shipbuilding Inc. 16,800 618
TRANSPORTATION - 3.4%
Frozen Food Express Industries 31,100 93
Inc.
GATX Corp. 17,700 602
------------
695
------------
Total Common Stocks
(cost $25,461) 20,410
------------
See notes to the financial statements.
11
<PAGE>
PPM AMERICA SMALL CAP VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
------------------------------------------------------------
SHORT TERM INVESTMENT - 0.3%
MONEY MARKET FUND - 0.3%
Dreyfus Cash Management Plus,
6.51% (b) 68,225 $ 68
------------
Total Short Term Investment
(cost $68) 68
------------
TOTAL INVESTMENTS - 100%
(cost $25,529) $ 20,478
============
--------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yields change daily to reflect current market conditions. Rate
is the quoted yield as of June 30, 2000.
See notes to the financial statements.
12
<PAGE>
PPM AMERICA HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 2000
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
CORPORATE BONDS - 93.6%
BANKS - 0.4%
Sovereign Bancorp
10.25%, 05/15/2004 $ 30,000 $ 30
10.50%, 11/15/2006 70,000 69
-----------
99
BEVERAGES - 2.0%
National Wine & Spirits Inc.,
10.125%,
01/15/2009 500,000 485
BUILDING MATERIALS - 8.4%
Brand Scaffold Services Inc.,
10.25%,
02/15/2008 500,000 439
Juno Lighting Inc., 11.875%,
07/01/2009 400,000 332
NCI Building Systems Inc.,
9.25%,
05/01/2009 500,000 470
Nortek Inc., 9.125%, 09/01/2007 500,000 462
Schuff Steel Co., 10.50%,
06/01/2008 500,000 345
-----------
2,048
CHEMICALS - 2.3%
Georgia Gulf Corp., 10.375%,
11/01/2007 300,000 312
Lyondell Chemical Co., 9.875%,
05/01/2007 250,000 247
-----------
559
COMMERCIAL SERVICES - 1.9%
Marsulex Inc., 9.625%, 07/01/2008 500,000 465
COMPUTERS - 0.3%
Globix Corp., 12.50%, 02/01/2010 100,000 82
DIVERSIFIED FINANCIAL SERVICES -
1.9%
DVI Inc., 9.875%, 02/01/2004 500,000 455
ENTERTAINMENT - 6.7%
Alliance Atlantis Communications
Corp., 13.00%, 12/15/2009 445,000 466
Hollywood Casino Shreveport/
Shreveport Capital Corp.,
13.00%, 08/01/2006 (c) 400,000 425
Horseshoe Gaming Holdings Corp.,
8.625%, 05/15/2009 200,000 189
Imax Corp., 7.875%, 12/01/2005 500,000 453
Station Casinos Inc.,
9.875%, 07/01/2001 (c) 100,000 100
-----------
1,633
FOOD - 3.6%
Agrilink Foods Inc., 11.875%,
11/01/2008 500,000 390
Canadaigua Brands Inc., 8.625%,
08/01/2006 500,000 494
-----------
884
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-----------------------------------------------------------
HAND & MACHINE TOOLS - 2.1%
Applied Power Inc., 8.75%,
04/01/2009 $ 500,000 $ 517
HEALTHCARE - 4.0%
LifePoint Hospitals Holdings
Inc.,
10.75%, 05/15/2009 500,000 515
Tenet Healthcare Corp., 8.125%,
12/01/2008 500,000 458
-----------
973
HOME BUILDERS - 2.2%
D.R. Horton Inc., 10.50%,
04/01/2005 550,000 553
HOME FURNISHINGS - 1.0%
Windmere-Durable Holdings Inc.,
10.00%, 07/31/2008 250,000 245
LODGING - 1.9%
HMH Properties, 7.875%, 500,000 463
08/01/2005
MANUFACTURING - 3.3%
Prestolite Electric Inc.,
9.625%,
02/01/2008 500,000 320
Repap New Brunswick, 9.00%,
06/01/2004 500,000 475
-----------
795
MEDIA - 6.2%
Charter Communications, 11.75%,
01/15/2010 675,000 384
Echostar DBS Corp., 9.375%,
02/01/2009 400,000 384
Primedia Inc., 8.50%,
02/01/2006 315,000 298
United Pan - Europe
Communications,
13.75%, 02/01/2010 975,000 458
-----------
1,524
OFFICE & BUSINESS EQUIPMENT - 1.3%
General Binding Corp., 9.375%,
06/01/2008 500,000 325
PACKAGING & CONTAINERS - 6.1%
Packaging Corporation of
America,
9.625%, 04/01/2009 500,000 496
Riverwood International Corp.,
10.25%,
04/01/2006 500,000 480
U.S. Can Corp., 10.125%,
10/15/2006 500,000 511
-----------
1,487
RETAIL - 5.2%
APCOA Inc., 9.25%, 03/15/2008 500,000 176
Buhrmann U.S. Inc., 12.25%,
11/01/2009 400,000 420
Finlay Enterprises Inc., 9.00%,
05/01/2008 500,000 440
See notes to the financial statements.
13
<PAGE>
PPM AMERICA HIGH YIELD BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNTS (000)
-----------------------------------------------------------
Jo-Ann Stores Inc., 10.375%,
05/01/2007 $ 250,000 $ 224
-----------
1,260
SEMICONDUCTORS - 2.1%
Hadco Corp., 9.50%, 06/15/2008 500,000 503
SOFTWARE - 3.0%
Covad Communications Group,
12.00%,
02/15/2010 350,000 273
PSINet Inc., 11.00%, 08/01/2009 500,000 465
-----------
738
TELECOMMUNICATIONS - 27.7%
Crown Castle International Corp.,
10.75%, 08/01/2020 500,000 507
Focal Communications Corp.,
11.875% , 01/15/2010 (c) 275,000 276
Insight Midwest, 9.75%,
10/01/2009 500,000 490
KMC Telecom Holdings Inc.,
13.50%,
05/15/2009 500,000 440
Knology Holdings Inc., (Step-Up
Bond),
11.875%, 10/15/2007 (a) 750,000 405
Level 3 Communications,
11.00%, 03/15/2008 (c) 500,000 495
Metromedia Fiber Network Inc.,
10.00%, 12/15/2009 500,000 493
Metronet Communications, 9.95%,
06/15/2008 750,000 609
Nextel Communications Inc.,
(Step-Up Bond), 9.95%,
02/15/2008 (a) 750,000 549
NEXTLINK Communications Inc.,
10.75%, 06/01/2009 250,000 246
Primus Telecommunications
Group Inc.,
11.25%, 01/15/2009 250,000 195
RCN Corp., 10.125%, 01/15/2010 400,000 333
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNTS (000)
-----------------------------------------------------------
Rogers Cablesystems Ltd., 10.00%,
12/01/2007 $ 500,000 $ 511
Rogers Cantel Inc., 8.80%,
10/01/2007 500,000 498
Williams Communications Group
Inc.,
10.875%, 10/01/2009 500,000 489
Winstar Communications,
14.75%, 04/15/2010 (c) 500,000 232
-----------
6,768
-----------
Total Corporate Bonds
(cost $24,644) 22,861
-----------
GOVERNMENT SECURITIES - 1.0%
SOVEREIGN - 1.0%
Republic of Argentina, 11.75%,
04/07/2009 250,000 233
-----------
Total Government Securities
(cost $233) 233
-----------
SHORT TERM INVESTMENTS - 5.4%
MONEY MARKET FUNDS - 5.4%
Dreyfus Cash Management Plus,
6.51% (b) 1,253,173 1,253
Dreyfus Government Cash
Management,
6.25% (b) 74,613 75
-----------
Total Short Term Investments
(cost $1,328) 1,328
-----------
TOTAL INVESTMENTS - 100%
(cost $26,205) $ 24,422
===========
--------------------------------------------------------------------------------
(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, 2000.
(c) 144a security. Certain conditions for public sale may exist.
See notes to the financial statements.
14
