<DOCUMENT>
<TYPE>N-30D
<SEQUENCE>1
<FILENAME>e-6181.txt
<DESCRIPTION>THIRD QUARTER REPORT DATED 11/30/2000
<TEXT>

[LOGO]                                                      THIRD QUARTER REPORT


                                NOVEMBER 30, 2000

                                                                      PILGRIM
                                                                      PRIME RATE
                                                                      TRUST


                      [SCREENED BACK GRAPHIC OF THE EARTH]
<PAGE>
                            Pilgrim Prime Rate Trust

                              THIRD QUARTER REPORT

                                November 30, 2000

                                    --------

                                Table of Contents

        Letter to Shareholders .......................................   2
        Portfolio Manager's Report ...................................   3
        Statistics and Performance ...................................   6
        Performance Footnotes ........................................   8
        Additional Notes and Information .............................   9
        Portfolio of Investments .....................................  10
        Statement of Assets and Liabilities ..........................  26
        Statement of Operations ......................................  27
        Statements of Changes in Net Assets ..........................  28
        Statement of Cash Flows ......................................  29
        Financial Highlights .........................................  30
        Notes to Financial Statements ................................  32

                                    --------

                                        1
<PAGE>
                             Letter To Shareholders

--------------------------------------------------------------------------------

Dear Shareholder:

We are pleased to present the Third Quarter  Report for Pilgrim Prime Rate Trust
(the "Trust").

On the  following  pages,  the  Portfolio  Managers  will  discuss  the  Trust's
performance  as well as recent market  developments.  The Trust has continued to
provide  shareholders  with an attractive  current yield in difficult  financial
markets.

The Trust's  ultra-short  duration,  floating rate loan assets typically exhibit
lower  volatility than corporate  bonds,  whose prices fluctuate with changes in
interest rates.

We believe an investment in this type of asset can be an attractive core holding
for income investors.

Thank you for selecting  Pilgrim Prime Rate Trust.  We appreciate the confidence
you have placed in us in serving your investment needs.



Sincerely,
ING PILGRIM INVESTMENT, INC.
January 18, 2001

                                        2
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
Portfolio Managers' Report
--------------------------------------------------------------------------------

Dear Shareholder:

Pilgrim  Prime  Rate  Trust  continued  to  deliver  a  high  current  yield  to
shareholders over the last three months. During the third quarter ended November
30,  2000,  the Trust  paid its 151st  consecutive  dividend.  Based on $0.21 of
dividends  declared during the quarter and the average month-end net asset value
("NAV") per share of $8.17, the annualized distribution rate was 10.03%, up from
9.85% as of August 30, 2000.(1)


CURRENT LOAN MARKET CONDITIONS

Because the Trust invests in a  diversified  portfolio of  non-investment  grade
loans,  conditions in the overall loan market are particularly  important to the
Trust's  performance.   Unfortunately,  the  year  2000  was  one  of  the  most
challenging  twelve-month  periods the  leveraged  loan market - and the overall
high  yield  finance  market - have  experienced  since  the  credit  crunch  of
1990-1991.  High  yield  investors  over the last  year  have  struggled  with a
confluence  of  negative  occurrences,  including  a  marked  rise in  corporate
defaults,  the continued  high number of public ratings  downgrades,  protracted
weakness in the  high-yield  bond and IPO markets,  and increased  scrutiny from
bank  officers  and  regulators.  The net  effect has been a  seemingly  chronic
supply/demand  imbalance,  a  polarization  of the secondary  trading market and
downward pressure on asset valuations.

Stifled by the continued  anemic condition of the closely linked high yield bond
market,  new issuance  volume in the leveraged loan market  remained  relatively
weak  during the fourth  quarter of this year.  The  approximate  $34 billion in
volume logged during the quarter was off some 23% from the previous quarter, and
marked the slowest  three  month  period  since  1997.  For the year as a whole,
volume declined 24%, to $185 billion, from $243 billion during 1999(2).

The subdued pace of new deal flow has  continued  into the New Year, as activity
has been  relegated  largely to  refinancings  for  seasoned  borrowers.  In the
secondary trading market, the pricing  bifurcation  between well regarded issues
and those with somewhat of a credit "story" became even more  pronounced  during
the latter portion of 2000. In a defensive  posture,  market  participants  have
been  generally  reluctant to sell higher  quality  issues,  even in the face of
historically high bid prices.

An increased focus on credit quality and structural soundness continues to drive
the market's investment decisions. On this front, the pace of defaults, and thus
the level of investor  caution,  remains high.  Year-to-date  through  September
2000,  the number and amount of leveraged  loan defaults  (public  filings only)
increased  133%  (to 21 from 9) and 62% (to $4.7  billion  from  $2.9  billion),
respectively,  from the same period in 1999.2 Further,  Moody's  trailing twelve
month global  speculative  default rate rose to 6.02% in December  2000, up from
5.39% in November(3).  Although there are signs of stability,  and even recovery
if one looks hard enough,  our outlook on near-term  credit  conditions  remains
cautious for several  reasons.  Primary  among these are the lack of  "take-out"
capital (i.e., funds available to  refinance/restructure  troubled transactions)
and the increasingly low level of tolerance  exhibited by creditors at virtually
all seniority levels.

The flight to quality, however, continues to favorably impact both structure and
pricing on new loans coming to market. The transactions closed during the latter
part of 2000 are arguably the strongest  the  leveraged  loan market has seen in
some time. An important  indicator of future  performance,  the average leverage
multiple   (debt/EBITDA)  for  new  issues  fell  to  3.8x  at  year-end,   down
significantly from 4.5x during 1999 (and as high as 5.7x in 1997).  Fortunately,

                                       3
<PAGE>
the improvement in credit statistics has not come at the expense of returns.  As
the year  came to a close,  weighted  average  pricing  spreads  on "BB-"  rated
institutional  issues exceeded 350 basis points,  up from  marginally  above 300
basis  points  during  the first  quarter  of 2000.  Spreads  on new "B-"  rated
offerings (a rare  occurrence  during the fourth  quarter of 2000 due to lack of
investor appetite),  exceeded 370 basis points, nearly 20 basis points above the
first quarter average2.

As we move into 2001,  we expect the stage to be shared  equally by  uncertainty
and opportunity.  Market conditions during the first half of the year are almost
certain to remain  volatile,  as banks and other lenders struggle with a growing
number of non-performing  assets on their balance sheets. We remain  optimistic,
however,  that the  second  half of 2001 will  usher in a much  needed  level of
stability in terms of new transaction flow and underlying asset  valuations.  To
that end, we point to the  increasingly  attractive  risk/return  profile of the
current  class of  leveraged  loan  transactions,  a trend we  fully  expect  to
continue. Of course, there can be no guarantees. Additional factors that support
a  second-half  recovery  include  (i)  the  significant,  albeit  very  recent,
improvement in high yield bond fund inflows, (ii) the apparent bottoming of high
yield asset valuations, (iii) and the now indisputable bias toward interest rate
easing on the part of the Federal Reserve.

VALUATION OF THE TRUST'S ASSETS

As noted in prior reports, the Trust uses independent market quotes to value its
investments  when the Trust  believes  that such market  quotes are reliable and
generally  reflect  current  value.  Under  the  Trust's  valuation  procedures,
investments for which reliable market quotes are unavailable will continue to be
valued based on fundamental  analysis of their fair value. The percentage of the
Trust's  investments  that are  valued on the basis of  market  quotes  steadily
increased throughout 2000 due to the improved breadth and relative efficiency of
the secondary market for non-investment grade loans. As of this writing,  market
quotes were used to value approximately 89% of the portfolio.

BORROWING AND LEVERAGE

The Trust has utilized  financial  leverage to seek to increase the yield to the
holders of common  shares.  As of November 30, 2000,  the Trust had $223 million
outstanding on its credit facilities. During the quarter, the Trust successfully
issued $450 million of Cumulative  Auction Rate Preferred  Shares.  These shares
have been  issued  ratings  by  Moody's  and  Standard  & Poor's  of  "aaa/AAA,"
respectively.  Total leverage  including  preferred  shares,  as a percentage of
total  assets,  was 37.4% at quarter end. The average cost of leverage as of the
quarter end was approximately 6.6%.

PERFORMANCE OF THE TRUST

For  the  quarter  ended  November  30,  2000,  the  Trust  reported   increased
distribution  rates. The annualized  distribution  rates,  based on the November
2000 dividend and month-end NAV, was 10.42%, versus 9.85% and 9.94% at August 31
and May 31,  2000,  respectively.  This is  consistent  with  rising  short-term
interest rates and reflects the attractive reset feature of floating-rate loans.
The Trust's  annualized  market  yield based on the November  2000  dividend was
11.27%,  which  continued to represent an attractive  yield  advantage over many
other variable and fixed income investment products.

The Trust also  maintained  a high level of  diversification.  At the end of the
quarter,  the Trust managed  senior loans from 193 separate  borrowers,  with an
average  investment  size of $8.94  million,  up from 179  borrowers  and  $9.02

                                       4
<PAGE>
million  average  investment  at August 31, 2000.  These loans were  diversified
across 33 industry  sectors,  the largest of which was cellular  communications,
representing  approximately  10.0% of total assets.  The single  largest  issuer
within  the Trust  was  Voicestream  Wireless,  at  approximately  4.6% of total
assets.

We thank you for your  continued  confidence  and encourage  your  questions and
comments.

/s/ Jeffrey A. Bakalar                  /s/ Daniel A. Norman

Jeffrey A. Bakalar                      Daniel A. Norman
Senior Vice President                   Senior Vice President
Co-Senior Portfolio Manager             Co-Senior Portfolio Manager


Pilgrim Prime Rate Trust
January 18, 2001


1.   The  distribution  rate is calculated  by dividing the total  distributions
     declared  during the  quarter by the  Trust's net asset value at the end of
     the period.  The distribution  rate is based solely on the actual dividends
     and  distributions,  which are made at the  discretion of  management.  The
     distribution  rate  may  or may  not  include  all  investment  income  and
     ordinarily will not include capital gains or losses, if any.

2.   Source Standard & Poor's and Portfolio Management Data

3.   Moody's Investors Services, Inc.

Performance  data  represents  past  performance  and is no  guarantee of future
results.  Investment  return and  principal  value of an investment in the Trust
will fluctuate. Shares, when sold, may be worth more or less than their original
cost.

This letter contains statements that may be "forward-looking statements." Actual
results could differ  materially  from those  projected in the  "forward-looking
statements."

The views  expressed in this letter reflect those of the portfolio  manager only
through  the end of the  period  of the  report  as  stated  on the  cover.  The
portfolio  manager's views are subject to change at any time based on market and
other conditions.

                                        5
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
STATISTICS AND PERFORMANCE as of November 30, 2000
--------------------------------------------------------------------------------

                            PORTFOLIO CHARACTERISTICS

Net Assets                                                       $1,567,012,143
Assets Invested in Senior Loans*                                 $1,725,699,732
Total Number of Senior Loans                                                193
Average Amount Outstanding per Loan                              $    8,941,449
Total Number of Industries                                                   33
Average Loan Amount per Industry                                 $   52,293,931
Portfolio Turnover Rate (YTD)                                                37%
Weighted Average Days to Interest Rate Reset                            32 days
Average Loan Maturity                                                 62 months
Average Age of Loans Held in Portfolio                                11 months

* Includes loans and other debt received through restructures

                    TOP TEN SENIOR LOANS INDUSTRIES AS A % OF

                                                     NET ASSETS     TOTAL ASSETS
                                                     ----------     ------------
Cellular Communications                                 11.5%          10.0%
Hotels, Motels, Inns and Gaming                          7.7%           6.7%
Healthcare, Education & Childcare                        7.2%           6.3%
Buildings and Real Estate                                6.8%           5.9%
Containers, Packaging and Glass                          6.2%           5.4%
Ecological                                               5.7%           5.0%
Leisure, Amusement, Motion Pictures
 and Entertainment                                       5.2%           4.5%
Chemicals, Plastics and Rubber                           4.7%           4.1%
Aerospace and Defense                                    4.1%           3.6%
Finance                                                  4.1%           3.5%

                          TOP 10 SENIOR LOANS AS A % OF

                                                     NET ASSETS     TOTAL ASSETS
                                                     ----------     ------------
Voicestream Wireless                                     5.2%           4.6%
Allied Waste Industries                                  4.9%           4.3%
Nextel Finance                                           3.1%           2.7%
Rodamco North America                                    2.2%           1.9%
Wyndham International                                    2.1%           1.9%
Stone Container Corp.                                    2.0%           1.8%
Hercules, Inc.                                           1.7%           1.5%
Century Cable Holdings, LLC                              1.5%           1.3%
Ventas Realty Partnership, Inc.                          1.5%           1.3%
Charter Communications                                   1.5%           1.3%

                 The Accompanying Notes to Financial Statements

                                        6
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
STATISTICS AND PERFORMANCE as of November 30, 2000
--------------------------------------------------------------------------------

                          YIELDS AND DISTRIBUTION RATES




<TABLE>
<CAPTION>
                                                                     Average           Average
                                       (NAV)          (MKT)         Annualized       Annualized
                         Prime      30-Day SEC     30-Day SEC      Distribution     Distribution
Quarter-ended            Rate         Yield A        Yield A      Rate at NAV B     Rate at MKT B
-------------            ----         -------        -------      -------------     -------------
<S>                      <C>        <C>            <C>            <C>               <C>
  November 30, 2000      9.50%         11.94%         12.93%          10.42%            11.27%
  August 31, 2000        9.50%         10.00%          9.94%           9.85%             9.79%
  May 31, 2000           9.50%          7.28%          7.44%           9.94%            10.56%
  February 29, 2000      8.75%          8.90%          9.67%           9.13%             9.84%
</TABLE>

                          AVERAGE ANNUAL TOTAL RETURNS

                                           NAV              MKT
                                           ---              ---
1 Year                                    0.58%           -10.99%
3 Years                                   4.58%            -1.02%
5 Years                                   5.89%             5.07%
10 Years                                  6.87%             N/A
Since Trust Inception F,H                 7.54%             N/A
Since Initial Trading on NYSE G            N/A              6.34%

Assumes rights were exercised and excludes sales charges and commissions C,D,E

             Performance data represents past performance and is no
                          guarantee of future results.

                       See performance footnotes on page 8

                                        7
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PERFORMANCE FOOTNOTES
--------------------------------------------------------------------------------

(A)  Yield is calculated by dividing the Trust's net investment income per share
     for the most recent thirty days by the net asset value (in the case of NAV)
     or the NYSE Composite closing price (in the case of market) at quarter-end.
     Yield calculations do not include any commissions or sales charges, and are
     compounded  for six  months and  annualized  for a twelve  month  period to
     derive the Trust's yield consistent with the SEC standardized yield formula
     for open-end investment companies.

(B)  The  distribution  rate is calculated  by  annualizing  dividends  declared
     during the quarter (i.e.  divided by days in the related quarter times days
     in the fiscal year) and then dividing the resulting  annualized dividend by
     the average  month-end  net asset value (in the case of NAV) or the average
     NYSE  Composite  closing  price (in the case of  Market)  at the end of the
     period.

(C)  Calculation of total return assumes a  hypothetical  initial  investment at
     the net  asset  value  (in the case of NAV) or the NYSE  Composite  closing
     price (in the case of Market) on the last business day before the first day
     of the stated period,  with all dividends and  distributions  reinvested at
     the actual reinvestment price.

(D)  On December 27, 1994,  the Trust  issued to its  shareholders  transferable
     rights which entitled the holders to subscribe for 17,958,766 shares of the
     Trust's common stock at the rate of one share of common stock for each four
     rights  held.  On January  27,  1995,  the  offering  expired and was fully
     subscribed.  The Trust  issued  17,958,766  shares of its  common  stock to
     exercising rights holders at a subscription price of $8.12.  Offering costs
     of $4,470,955 were charged against the offering proceeds.

(E)  On October 18, 1996, the Trust issued to its shareholders  non-transferable
     rights which entitled the holders to subscribe for 18,122,963 shares of the
     Trust's common stock at the rate of one share of common stock for each five
     rights  held.  On November 12,  1996,  the  offering  expired and was fully
     subscribed.  The Trust  issued  18,122,963  shares of its  common  stock to
     exercising rights holders at a subscription price of $9.09.  Offering costs
     of $6,972,203 were charged against the offering proceeds.

(F)  Inception Date -- May 12, 1988.

(G)  Initial Trading on NYSE -- March 9, 1992.

(H)  Reflects partial waiver of fees.

     Performance  data represents past performance and is no guarantee of future
     results.  Investment  return and  principal  value of an  investment in the
     Trust will  fluctuate.  Shares,  when sold,  may be worth more or less than
     their original cost.

                                        8
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
ADDITIONAL NOTES AND INFORMATION
--------------------------------------------------------------------------------

SHAREHOLDER INVESTMENT PROGRAM

The Trust offers a Shareholder Investment Program (the "Program", formerly known
as the Dividend Reinvestment and Cash Purchase Plan) which allows shareholders a
simple way to reinvest  dividends  and capital gains  distributions,  if any, in
additional  shares of the Trust. The Program also offers Trust  shareholders the
ability to make optional cash investments in any amount from $100 to $5,000 on a
monthly basis.  Amounts in excess of $5,000 require prior approval of the Trust.
DST Systems,  Inc., the Trust's  Transfer  Agent, is the  Administrator  for the
Program.

For dividend  reinvestment  purposes,  the Administrator will purchase shares of
the Trust on the open market when the market price plus estimated commissions is
less than the net asset  value on the  valuation  date.  The Trust may issue new
shares when the market price plus  estimated  commissions is equal to or exceeds
the net asset  value on the  valuation  date.  New  shares  may be issued at the
greater of (i) net asset value or (ii) the market price of the shares during the
pricing period, minus a discount of 5%.

For optional  cash  investments,  shares will be purchased on the open market by
the Administrator when the market price plus estimated  commissions is less than
the net asset value on the valuation date. New shares may be issued by the Trust
when the market price plus estimated  commissions is equal to or exceeds the net
asset value on the valuation date.

There is no charge to  participate  in the  Program.  Participants  may elect to
discontinue  participation in the Program at any time.  Participants will share,
on a pro-rata  basis, in the fees or expenses of any shares acquired in the open
market.

Participation in the Program is not automatic. If you would like to receive more
information  about the Program or if you desire to  participate,  please contact
your broker or our Shareholder Services Department at (800) 992-0180.

KEY FINANCIAL DATES -- Calendar 2001 Dividends:

     DECLARATION DATE            EX-DATE               PAYABLE DATE
     ----------------            -------               ------------
     January 31                  February 8            February 23
     February 28                 March 8               March 22
     March 30                    April 6               April 23
     April 28                    May 8                 May 22
     May 31                      June 7                June 22
     June 29                     July 6                July 23
     July 31                     August 8              August 22
     August 31                   September 6           September 24
     September 28                October 8             October 22
     October 31                  November 8            November 23
     November 30                 December 6            December 24
     December 21                 December 27           January 11, 2002

     Record date will be two business days after each  Ex-Date.  These dates are
subject to change.

STOCK DATA

The  Trust's  shares are traded on the New York Stock  Exchange  (Symbol:  PPR).
Effective November 16, 1998 the Trust's name changed to Pilgrim Prime Rate Trust
and its cusip number  became 72146W 10 3. Prior to November 16, 1998 the Trust's
name was Pilgrim  America Prime Rate Trust and its cusip number was 720906 10 6.
The  Trust's NAV and market  price are  published  daily  under the  "Closed-End
Funds" feature in Barron's, The New York Times, The Wall Street Journal and many
other regional and national publications.

                                        9
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

Senior Loans
<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Aerospace and Defense: 4.1%

                    Avborne, Inc.                                    NR        NR
   $14,662,500      Term Loan, maturing June 30, 2003                                    $ 14,442,563

                    Erickson Air-Crane Company                       NR        NR
     8,657,128      Term Loan, maturing December 31, 2004                                   8,650,720

                    New Piper Aircraft, Inc.                         NR        NR
     8,661,421      Term Loan, maturing April 15, 2005                                      8,553,153

                    Piedmont Aviation Services                       NR        NR
     6,329,849      Term Loan, maturing July 23, 2006                                       6,266,551
     6,329,849      Term Loan, maturing July 23, 2007                                       6,266,550

                    Stellex Industries, Inc.(2)                     Caa2      CCC-
     2,477,273      Term Loan, maturing September 30, 2006                                  1,919,886

                    Titan Corporation                               Ba3       BB-
     3,491,228      Term Loan, maturing February 23, 2007                                   3,485,775

                    Transtar Metals, Inc.                            NR        NR
    14,906,250      Term Loan, maturing January 20, 2006                                   14,706,790
                                                                                         ------------
                                                                                           64,291,988
                                                                                         ------------
                    Automobile: 2.8%

                    Autosystems Mfg., Inc.(4)                        NR        NR
     4,962,500      Term Loan, maturing May 31, 2004(3)                                     2,431,625
     4,962,500      Term Loan, maturing May 31, 2005(3)                                     2,431,625

                    Breed Technologies(2)                           Caa1       NR
     2,865,207      Term Loan, maturing December 31, 2000(3)                                1,446,929
     3,973,549      Revolver, maturing April 18, 2004(3)                                    2,006,642
     2,974,922      Term Loan, maturing April 18, 2004(3)                                   1,502,336

                    Capital Tool & Design Ltd.                       NR        NR
     9,275,773      Term Loan, maturing July 26, 2003                                       9,268,973

                    Global Metal Technologies                        NR        NR
     8,767,420      Term Loan, maturing March 12, 2005                                      8,592,072

                    Safelite Glass Corp.                            Caa1        D
     7,342,314      Term Loan, maturing February 15, 2009                                   6,240,967
     7,342,314      Term Loan, maturing February 15, 2009                                   6,240,967

                    Venture Holding Trust                            B1        B+
     3,291,667      Term Loan, maturing April 5, 2005                                       3,003,646
                                                                                         ------------
                                                                                           43,165,782
                                                                                         ------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       10
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Beverage, Food and Tobacco: 2.9%

                    Aurora Foods, Inc.                               B2         B
   $ 5,039,652      Term Loan, maturing June 30, 2005                                    $  4,628,079
     2,977,500      Term Loan, maturing September 30, 2006                                  2,748,233

                    CP Kelco US, Inc.                                B1        B+
     3,375,000      Term Loan, maturing March 28, 2008                                      2,980,125
     1,125,000      Term Loan, maturing September 28, 2004                                    993,375

                    Edwards Baking Co.                               NR        NR
     2,833,333      Term Loan, maturing September 30, 2003                                  2,748,333
     3,291,666      Term Loan, maturing September 30, 2005                                  3,225,833
     3,291,666      Term Loan, maturing September 30, 2005                                  3,225,833

                    Empire Kosher Poultry, Inc.                      NR        NR
    13,597,500      Term Loan, maturing July 31, 2004                                      11,734,466

                    Imperial Sugar Company                           B2         B
     5,391,828      Term Loan, maturing December 31, 2003                                   3,720,361
     5,222,065      Term Loan, maturing December 31, 2005                                   3,603,225

                    Nutrasweet Acquisition Corp.                    Ba3        NR
     1,496,250      Term Loan, maturing May 31, 2007                                        1,497,185

                    Pabst Brewing Company                           Ba3       BB-
     4,333,920      Term Loan, maturing April 30, 2003                                      4,232,796
                                                                                         ------------
                                                                                           45,337,844
                                                                                         ------------
                    Building and Real Estate: 6.8%

                    Corrections Corporation of America               B3         B
     4,937,500      Term Loan, maturing December 31, 2002                                   3,638,320

                    HQ Global Holdings, Inc.                         NR        NR
     7,447,844      Term Loan, maturing September 4, 2009                                   7,354,746

                    Kevco, Inc.                                      B3        B-
     7,661,110      Term Loan, maturing February 2, 2005                                    5,362,777

                    Meditrust Corp.                                 Ba3       BB-
     5,748,058      Term Loan, maturing July 15, 2001                                       5,579,721

                    Rodamco North America                           Baa3      BBB-
    34,500,000      Term Loan, maturing November 8, 2002                                   34,327,500

                    Tree Island Industries                           NR        NR
    11,120,670      Term Loan, maturing March 31, 2003                                     11,120,670

                    US Aggregates, Inc.                              NR        NR
     6,187,143      Term Loan, maturing March 31, 2006                                      6,032,464

                    Ventas Realty Limited Partnership                NR        NR
     1,043,142      Term Loan, maturing December 31, 2002                                     989,941
       521,571      Term Loan, maturing December 31, 2005                                     477,498
    23,620,873      Term Loan, maturing December 31, 2007                                  21,624,910

                    Washington Group International, Inc.            Ba1       BBB-
     9,975,000      Term Loan, maturing July 7, 2007                                        9,960,975
                                                                                         ------------
                                                                                          106,469,522
                                                                                         ------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       11
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Cargo Transport: 2.4%

                    American Commercial Lines                       Ba2       BB-
 $ 1,645,439        Term Loan, maturing June 30, 2006                                    $  1,594,534
   2,360,149        Term Loan, maturing June 30, 2007                                       2,287,133

                    Evergreen International Aviation, Inc.          Ba2        B+
   2,460,144        Term Loan, maturing May 31, 2002                                        2,367,888
     667,320        Term Loan, maturing May 31, 2002                                          642,296
     379,062        Term Loan, maturing May 7, 2003                                           364,847

                    Gemini Air Cargo, Inc.                           B1        NR
   4,751,838        Term Loan, maturing August 12, 2005                                     4,757,778

                    Interpool Acquisition LLC                       Ba1       BBB
   7,000,000        Term Loan, maturing October 20, 2002                                    7,035,000

                    Neoplan USA Corporation                          NR        NR
   9,768,562        Term Loan, maturing May 29, 2005                                        9,760,756

                    Omnitrax, Inc.                                   NR        NR
   8,886,363        Term Loan, maturing May 12, 2005                                        8,864,147
                                                                                         ------------
                                                                                           37,674,379
                                                                                         ------------
                    Cellular Communications: 11.5%

                    Airgate, PCS                                     B2        B-
     967,427        Term Loan, maturing June 6, 2007                                          962,590
   3,009,772        Term Loan, maturing September 30, 2008                                  2,994,723

                    American Cellular Corp.                         Ba3       BB-
   4,433,333        Term Loan, maturing March 31, 2008                                      4,436,104
   7,733,333        Term Loan, maturing March 31, 2009                                      7,737,687

                    Independent Wireless One Corp.                   NR        NR
  10,000,000        Term Loan, maturing June 20, 2008                                      10,004,388

                    Nextel Communications, Inc.                     Ba2        B+
   8,140,822        Lease, maturing March 15, 2006                                          8,120,470

                    Nextel Finance                                  Ba2        B+
  48,500,000        Term Loan, maturing March 15, 2009                                     48,331,899

                    Rural Cellular Corp.                             B1        B+
   6,250,000        Term Loan, maturing October 3, 2008                                     6,250,650
   6,250,000        Term Loan, maturing April 3, 2009                                       6,250,650

                    Voicestream Wireless                             B1        B+
  15,000,000        Term Loan, maturing February 25, 2008                                  14,835,420
  20,000,000        Term Loan, maturing February 25, 2008                                  19,780,560
  22,500,000        Term Loan, maturing February 25, 2009                                  22,403,903
  25,000,000        Term Loan, maturing June 30 , 2009                                     24,851,575

                    Western Wireless                                Ba2        BB
   3,000,000        Term Loan, maturing September 30, 2008                                  3,016,071
                                                                                         ------------
                                                                                          179,976,690
                                                                                         ------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       12
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Chemicals, Plastics and Rubber: 4.7%

                    Acadia Elastomers Corp.                          NR        NR
 $ 9,635,037        Term Loan, maturing February 17, 2004                                $  9,442,336

                    Cedar Chemical Corp.                             NR        NR
  11,028,684        Term Loan, maturing October 30, 2003                                    7,830,366

                    Euro United Corp.(4)                             NR        NR
  14,887,500        Term Loan, maturing May 31, 2001(3)                                     7,443,750

                    Foam Fabrics, Inc.                               NR        NR
   5,389,180        Term Loan, maturing March 5, 2005                                       5,375,707

                    Foamex L.P.                                      B3        B
   3,305,812        Term Loan, maturing June 30, 2005                                       3,217,655
   3,005,294        Term Loan, maturing June 30, 2006                                       2,925,152

                    Hercules, Inc.                                  Ba1       BB+
  24,879,846        Term Loan, maturing October 15, 2003                                   24,506,648
   2,000,000        Term Loan, maturing November 15, 2005                                   1,990,000

                    Huntsman Corporation                            Ba2        NR
   1,286,716        Revolver, maturing December 31, 2002                                    1,162,333
     260,155        Term Loan, maturing December 31, 2002                                     237,391
   7,000,000        Term Loan, maturing December 31, 2005                                   6,527,500

                    Huntsman ICI Chemicals, Inc.                     B1        BB
   1,978,723        Term Loan, maturing June 30, 2005                                       1,967,593

                    Lyondell Chemical Company                       Ba3        BB
     826,662        Term Loan, maturing June 30, 2005                                         834,240
                                                                                         ------------
                                                                                           73,460,672
                                                                                         ------------
                    Containers, Packaging and Glass: 6.2%

                    Blue Ridge Paper Products, Inc.                  NR        NR
   8,886,738        Term Loan, maturing May 14, 2006                                        8,886,738

                    Crown Paper Co.(2)                              Caa1       NR
   3,375,000        Debtor In Possession, maturing
                    September 14, 2001                                                      3,372,891
   8,170,661        Tem Loan, maturing August 22, 2003                                      4,730,812

                    Eastern Pulp & Paper, Inc.                       NR        NR
  15,624,996        Term Loan, maturing August 31, 2004                                    14,843,746
     369,120        Term Loan, maturing December 31, 2000                                     350,664

                    Impaxx, Inc.                                     NR        NR
   4,875,000        Term Loan, maturing December 31, 2005                                   4,801,795

                    Nexpak Corp.                                     NR        NR
   2,468,691        Term Loan, maturing December 31, 2005                                   2,468,691
   2,468,691        Term Loan, maturing December 31, 2006                                   2,468,691

                    Pliant Corporation                               B1       BB-
   3,000,000        Term Loan, maturing May 15, 2008                                        2,814,546
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       13
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Containers, Packaging and Glass (continued)

                    Riverwood International                          B1        B
 $  12,206,621      Term Loan, maturing February 28, 2003                                $ 12,170,380
     3,724,745      Term Loan, maturing February 28, 2004                                   3,739,558
     1,479,286      Term Loan, maturing August 31, 2004                                     1,485,169

                    Stone Container Corp.                           Ba3        B+
    14,324,870      Term Loan, maturing December 31, 2006                                  14,362,916
    17,083,889      Term Loan, maturing December 31, 2006                                  17,097,624

                    Tekni-Plex, Inc.                                Ba3        B+
     2,992,500      Term Loan, maturing June 21, 2006                                       2,960,705
                                                                                         ------------
                                                                                           96,554,927
                                                                                         ------------
                    Data and Internet Services: 4.0%

                    360 Networks                                     B2       BB-
     8,500,000      Term Loan, maturing December 31, 2007                                   8,340,625

                    Arch Communications, Inc.                        B2        NR
    14,929,000      Term Loan, maturing December 31, 2004                                  12,391,070

                    Exodus Communications, Inc.                      B1        B+
     4,000,000      Term Loan, maturing October 31, 2007                                    4,032,500

                    McLeod USA Corp.                                Ba2       BB-
    13,000,000      Term Loan, maturing May 31, 2008                                       13,000,000

                    Teletouch Communications                         NR        NR
     9,916,840      Term Loan, maturing November 30, 2004                                   9,922,791

                    Teligent, Inc.                                   B3        B-
    10,000,000      Term Loan, maturing July 1, 2002                                        6,437,500

                    TSR Wireless                                     NR        NR
    11,970,000      Term Loan, maturing June 30, 2005                                       8,139,600
                                                                                         ------------
                                                                                           62,264,086
                                                                                         ------------
                    Diversified / Conglomerate Manufacturing: 1.7%

                    Allied Digital Technologies Corp.                NR        NR
     9,900,000      Term Loan, Maturing December 31, 2005                                   2,524,500

                    Barjan Products, LP                              NR        NR
     4,937,625      Term Loan, maturing May 31, 2006                                        4,814,184

                    General Cable Corporation                        NR        NR
     4,378,649      Term Loan, maturing May 24, 2007                                        4,299,833

                    Holmes Products Corp.                            B1        B+
     3,950,000      Term Loan, maturing February 15, 2007                                   3,782,125

                    SPX Corporation                                 Ba2       BB+
     5,000,000      Term Loan, maturing September 30, 2004                                  5,000,000

                    United Pet Group, Inc.                           NR        NR
     6,912,500      Term Loan, maturing March 31, 2006                                      6,923,977
                                                                                         ------------
                                                                                           27,344,619
                                                                                         ------------
</TABLE>
                 See Accompanying Notes to Financial Statements

                                       14
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P            Value
----------------    ----------------------------                   -------     ---            -----
<S>                 <C>                                            <C>         <C>       <C>
                    Diversified / Conglomerate Service: 2.6%

                    Enterprise Profit Solutions Corp.                NR        NR
   $ 2,083,913      Term Loan, maturing June 14, 2001                                    $      729,369

                    Key3Media Events                                Ba3       BB-
    10,000,000      Term Loan, maturing August 3, 2006                                       10,009,380

                    Mafco Finance Corp.                              NR        NR
    10,000,000      Term Loan, maturing August 29, 2001                                       9,956,250

                    Outsourcing Solutions, Inc.                      B2        B+
    12,387,437      Term Loan, maturing June 1, 2006                                         12,315,181

                    Private Business                                 NR        NR
     5,111,455      Term Loan, maturing August 19. 2006                                       5,060,340

                    URS Corporation                                 Ba3        BB
     1,234,375      Term Loan, maturing June 9, 2006                                          1,237,461
     1,234,375      Term Loan, maturing June 9, 2007                                          1,237,461
                                                                                         --------------
                                                                                             40,545,443
                                                                                         --------------
                    Ecological: 5.7%

                    Allied Waste Industries, Inc.                   Ba3        BB
     8,785,714      Term Loan, maturing July 12, 2005                                         8,182,118
    32,727,273      Term Loan, maturing July 12, 2006                                        31,024,440
    39,272,727      Term Loan, maturing July 12, 2007                                        37,229,328

                    Clean Harbors                                    NR        NR
     4,200,000      Term Loan, maturing May 8, 2001                                           4,193,432

                    Rumpke                                           NR        NR
     8,550,000      Term Loan, maturing September 26, 2002                                    8,509,388
                                                                                         --------------
                                                                                             89,138,706
                                                                                         --------------
                    Electronics: 3.4%

                    Acterna LLC                                     Ba3        NR
    11,409,804      Term Loan, maturing September 30, 2007                                   11,435,476

                    Decision One Corp.                              Caa3       NR
     3,465,094      Term Loan, maturing April 18, 2005                                        3,031,958
     2,188,647      Term Loan, maturing April 18, 2005                                        1,915,066

                    Dynamic Details, Inc.                            B1        B+
     5,647,286      Term Loan, maturing April 22, 2005                                        5,622,579

                    Electro Mechanical Solutions, Inc.               NR        NR
     4,248,085      Term Loan, maturing June 30, 2004                                         3,398,468

                    Frontway Network Solutions, Inc.                 NR        NR
     1,505,505      Term Loan, maturing November 20, 2002                                     1,334,260

                    Insilco Technologies                             B2        B+
     5,000,000      Term Loan, maturing August 25, 2007                                       5,006,250
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       15
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Electronics (continued)

                    Intri-Plex Technologies, Inc.                    NR        NR
 $ 5,347,826        Term Loan, maturing September 30, 2002                               $  2,673,913

                    Knowles Electronics                              B1        B+
   6,982,500        Term Loan, maturing June 29, 2007                                       6,685,744

                    ON Semiconductor Corporation                    Ba3       BB-
   2,510,089        Term Loan, maturing August 4, 2006                                      2,531,530
   2,703,340        Term Loan, maturing August 4, 2007                                      2,726,432

                    Sarcom, Inc.                                     NR        NR
   7,488,141        Term Loan, maturing November 20, 2002                                   6,603,215
                                                                                         ------------
                                                                                           52,964,891
                                                                                         ------------
                    Finance: 4.1%

                    Alliance Data Systems Corp.                      NR        NR
     982,143        Revolver, maturing March 4, 2006                                          933,036
     781,250        Term Loan, maturing March 4, 2006                                         761,719
  14,400,000        Term Loan, maturing October 31, 2005                                   14,148,000
   1,659,107        Term Loan, maturing March 4, 2006                                       1,617,629

                    Anthony Crane Rental LP                          B1       BB-
  14,812,500        Term Loan, maturing July 20, 2006                                      12,127,734

                    Bridge Information Systems, Inc.                 NR        NR
   1,424,312        Lease, maturing April 1, 2001                                           1,125,206
   2,799,276        Lease, maturing April 1, 2001                                           2,211,428
   5,843,952        Term Loan, maturing May 29, 2005                                        2,010,319

                    National Partnership Investments Corp.           NR        NR
   5,749,961        Term Loan, maturing June 30, 2001                                       5,739,240

                    Rent-A-Center, Inc.                             Ba3       BB-
   5,045,917        Term Loan, maturing January 31, 2006                                    4,998,612
   6,510,758        Term Loan, maturing January 31, 2007                                    6,449,720
   3,839,180        Term Loan, maturing December 31, 2007                                   3,839,180

                    United Rentals, Inc.                            Ba2       BB+
   4,987,500        Term Loan, maturing June 30, 2006                                       4,885,969

                    Value Asset Management, Inc.                     NR        NR
   2,833,333        Term Loan, maturing April 28, 2003                                      2,819,167
                                                                                         ------------
                                                                                           63,666,959
                                                                                         ------------
                    Grocery: 0.2%

                    Grand Union Capital Corporation(2)              Caa2       D
   4,976,273        Tem Loan, maturing August 17, 2003                                      3,732,204

                    Schwegman Giant Super Markets(1)                 NR        NR
   1,414,837        Term Loan, maturing July 30, 2002(3)                                           10
                                                                                         ------------
                                                                                            3,732,214
                                                                                         ------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       16
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Healthcare, Education and Childcare: 7.2%

                    Advance PCS                                     Ba3        BB
 $ 4,500,000        Term Loan, maturing October 2, 2007                                  $  4,508,438

                    Alliance Imaging Inc.                            NR        NR
   4,431,611        Term Loan, maturing November 2, 2008                                    4,383,603

                    Caremark, RX                                    Ba3       BB-
     288,256        Term Loan, maturing June 9, 2001                                          278,948
     394,829        Term Loan, maturing June 9, 2001                                          382,244

                    Children's Discovery Centers of America          NR        NR
   9,140,625        Term Loan, maturing August 10, 2004                                     8,912,109

                    Community Health Systems, Inc.                   NR        NR
   5,875,428        Term Loan, maturing December 31, 2003                                   5,841,768
   5,875,428        Term Loan, maturing December 31, 2004                                   5,843,601
   1,380,524        Term Loan, maturing December 31, 2005                                   1,374,341

                    Concentra Operating Corp.                       Ba3        B+
   3,291,667        Term Loan, maturing June 30, 2006                                       3,036,563
   1,645,833        Term Loan, maturing June 30, 2007                                       1,518,281

                    Covenant Care California                         NR        NR
   6,000,000        Term Loan, maturing April 30, 2001                                      5,955,000

                    Dade Behring, Inc.                              Ba3        B+
   3,196,969        Term Loan, maturing June 30, 2006                                       2,128,267
   3,196,969        Term Loan, maturing June 30, 2007                                       2,128,267

                    Fountain View, Inc.                              NR        NR
  13,235,294        Term Loan, maturing March 31, 2004                                     12,772,059

                    Genesis Health Ventures, Inc.(2)                Caa2       NR
   2,766,313        Term Loan, maturing September 30, 2003                                  1,697,825

                    Healthcare Direct, Inc.                          NR        NR
   3,048,494        Term Loan, maturing August 1, 2004                                      2,987,412
   4,007,750        Term Loan, maturing August 1, 2006                                      3,978,889

                    Magellan Health Services                         B2        B+
   1,270,922        Term Loan, maturing February 28, 2005                                   1,112,057
   1,270,922        Term Loan, maturing February 28, 2006                                   1,112,057

                    Mellon Financial Services Corp. IV(2)            NR        NR
   4,400,754        Lease, maturing September 30, 2004                                      2,523,832

                    Paragon Health Network, Inc.(2)                  NR        NR
  14,609,742        Term Loan, maturing April 30, 2005(3)                                   6,574,384
   8,740,810        Term Loan, maturing March 31, 2006(3)                                   3,933,364

                    The Brown Schools (Healthcare America)           NR        NR
  10,156,250        Term Loan, maturing June 30, 2004                                       9,699,219
   4,062,500        Term Loan, maturing June 30, 2005                                       3,879,688

                    The Multicare Companies, Inc.(2)                Caa3       NR
   3,312,183        Term Loan, maturing September 30, 2003(3)                               1,899,537

                    Vencor, Inc.(2)                                  NR        NR
  13,134,063        Term Loan, maturing May 5, 2005(3)                                     11,418,623

                    Vision Twenty-One                                NR        NR
   2,898,018        Term Loan, maturing October 31, 2002                                    2,840,057
                                                                                         ------------
                                                                                          112,720,432
                                                                                         ------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       17
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P            Value
----------------    ----------------------------                   -------     ---            -----
<S>                 <C>                                            <C>         <C>       <C>
                    Home and Office Furnishings, Housewares,
                    and Durable Consumer Products: 1.9%

                    American Blind & Wallpaper Factory, Inc.         NR        NR
   $     722,983    Term Loan, maturing December 29, 2005                                $      714,797

                    Buhrmann NV                                     Ba3        BB-
       5,392,101    Term Loan, maturing December 26, 2007                                     5,408,952

                    Desa International                               NR        B-
       8,315,000    Term Loan, maturing November 26, 2004                                     7,816,100

                    Identity Group, Inc.                             NR        NR
       4,937,500    Term Loan, maturing May 7, 2007                                           4,925,793

                    Imperial Home D-cor Group(2)                     NR        NR
       2,490,579    Revolver, maturing March 13, 2005(3)                                        622,644
       5,969,469    Term Loan, maturing March 13, 2005(3)                                     1,492,367
       1,492,367    Term Loan, maturing March 13, 2006(3)                                       373,092

                    Juno Lighting                                    B1        B+
       4,645,062    Term Loan, maturing November 30, 2006                                     4,613,127

                    U.S. Office Products                            Caa1      CCC+
       7,056,776    Term Loan, maturing June 9, 2006                                          4,452,826
                                                                                         --------------
                                                                                             30,419,699
                                                                                         --------------
                    Hotels, Motels, Inns and Gaming: 7.7%

                    Aladdin Gaming LLC                               B2       CCC+
       2,992,105    Term Loan, maturing August 26, 2006                                       2,588,171
       4,488,750    Term Loan, maturing August 26, 2008                                       3,882,769

                    Autotote Corp.                                   B1        B+
       5,000,000    Term Loan, maturing August 23, 2007                                       5,000,000

                    Extended Stay America, Inc.                     Ba3        B+
       9,950,000    Term Loan, maturing December 31, 2003                                     9,900,250
       5,500,000    Term Loan, maturing June 30, 2007                                         5,526,516

                    Horseshoe Gaming Holding Corporation            Ba2        BB+
       2,968,500    Term Loan, maturing September 30, 2006                                    2,980,561

                    Lodgian Financing Corp.                          B1        B+
       9,789,714    Term Loan, maturing September 15, 2006                                    9,642,868

                    Meristar Hospitality Corp.                      Ba1       BB-
      11,491,000    Term Loan, maturing July 31. 2003                                        11,440,727
      10,000,000    Term Loan, maturing January 31. 2004                                     10,000,000

                    Penn National Gaming, Inc.                       B1        B+
       4,987,500    Term Loan, maturing August 8, 2006                                        4,948,538

                    Starwood Hotels & Resorts Worldwide, Inc.       Ba1       BBB-
      11,500,000    Term Loan, maturing February 23, 2003                                    11,532,350

                    Strategic Hotel Capital, Inc.                    NR        NR
       9,900,000    Term Loan, maturing November 9, 2004                                      9,941,253

                    Wyndham International, Inc.                      NR        NR
      12,000,000    IRL, maturing June 30, 2004                                              11,977,500
      21,500,000    Term Loan, maturing June 30, 2006                                        21,346,813
                                                                                         --------------
                                                                                            120,708,315
                                                                                         --------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       18
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Insurance: 0.6%

                    USI Holdings Corporation                         B2        B+
 $ 9,600,000        Term Loan, maturing September 17, 2004                               $  9,570,000
                                                                                         ------------
                                                                                            9,570,000
                                                                                         ------------
                    Leisure, Amusement, Motion Pictures
                    and Entertainment: 5.2%

                    AMFAC Parks & Resorts, Inc.                      NR        NR
   3,637,500        Term Loan, maturing September 4, 2004                                   3,592,031
   3,637,500        Term Loan, maturing September 30, 2004                                  3,592,031

                    Fitness Holdings Worldwide                       NR        B
   9,380,875        Term Loan, maturing November 1, 2006                                    9,179,186
   8,386,875        Term Loan, maturing November 1, 2007                                    8,206,557

                    Four Media Co.                                   B1        NR
   9,725,000        Term Loan, maturing September 10, 2004                                  9,700,688

                    Icon Health & Fitness, Inc.                      NR        NR
   5,203,234        Term Loan, maturing March 1, 2005                                       5,047,137
   4,914,063        Term Loan, maturing November 29, 2004                                   4,889,492
   3,750,000        Term Loan, maturing August 31, 2004                                     3,717,188

                    Metro-Goldwyn-Mayer                              NR       BB-
  10,000,000        Term Loan, maturing March 31, 2005                                      9,783,330
   9,000,000        Term Loan, maturing March 31, 2006                                      8,936,721

                    Panavision, Inc.                                 B2        B+
  14,207,838        Term Loan, maturing March 10, 2005                                     14,196,782
                                                                                         ------------
                                                                                           80,841,143
                                                                                         ------------
                    Machinery: 1.2%

                    Alliance Laundry Systems LLC                     B1        B+
   4,993,750        Term Loan, maturing May 1, 2005                                         4,856,422

                    CNB International(2)                             NR        NR
   8,312,732        Term Loan, maturing October 18, 2004(3)                                 6,234,549

                    Morris Material Handling(2)                      B3        NR
   4,658,193        Term Loan, maturing March 31, 2005                                      4,219,408

                    Vutek Inc.                                       B1        NR
     571,429        Term Loan, maturing December 30, 2007                                     572,143
   1,638,655        Term Loan, maturing December 30, 2007                                   1,634,559
   1,789,916        Term Loan, maturing December 30, 2007                                   1,785,441
                                                                                         ------------
                                                                                           19,302,522
                                                                                         ------------
                    Mining, Steel, Iron and Non-Precious
                    Metals: 0.4%

                    National Refractories Co.                        NR        NR
   2,500,000        Term Loan, maturing September 30, 2001                                  2,500,503

                    Peabody Holding Company                         Ba2       BB-
   4,122,807        Term Loan, maturing June 30, 2006                                       4,118,944
                                                                                         ------------
                                                                                            6,619,447
                                                                                         ------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       19
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    North American Cable: 3.5%

                    CC VI Operating Co. LLC                         Ba3        BB
 $ 5,000,000        Term Loan, maturing November 1, 2008                                 $  4,997,185

                    CC VIII Operating LLC                           Ba3       BB+
   2,500,000        Term Loan, maturing February 2, 2008                                    2,500,390

                    Century Cable Holdings LLC                      Ba3        BB
   8,000,000        Term Loan, maturing June 30, 2009                                       7,959,584
  16,000,000        Term Loan, maturing December 31, 2009                                  15,926,000

                    Charter Communications Operating LLC            Ba3       BB+
  16,500,000        Term Loan, maturing March 18, 2008                                     16,439,264
   6,556,250        Term Loan, maturing March 17, 2008                                      6,534,300
                                                                                         ------------
                                                                                           54,356,722
                                                                                         ------------
                    Oil and Gas: 0.5%

                    Key Energy Group, Inc.                          Ba3        NR
   4,494,000        Revolver, maturing October 26, 2003                                     4,376,033
   4,106,748        Term Loan, maturing October 26, 2004                                    4,113,166
                                                                                         ------------
                                                                                            8,489,199
                                                                                         ------------
                    Other Telecommunications: 1.8%

                    Cincinnati Bell Inc.                            Ba1        NR
  11,450,000        Term Loan, maturing November 9, 2004                                   11,373,331
  10,000,000        Term Loan, maturing January 31, 2006                                   10,027,080

                    Pacific Coin                                     NR        NR
   1,758,933        Term Loan, maturing December 31, 2002                                   1,319,199
   6,492,153        Term Loan, maturing December 31, 2004                                   4,869,114
                                                                                         ------------
                                                                                           27,588,725
                                                                                         ------------
                    Personal and Nondurable Consumer
                    Products: 2.2%

                    AM Cosmetics, Inc.                               NR        NR
   2,290,692        Revolver, maturing May 30, 2004                                         2,176,158
   1,305,151        Term Loan, maturing June 30, 2003                                       1,239,893
   2,610,303        Term Loan, maturing December 31, 2004                                   2,479,788

                    Amscan Holdings                                  B1        B+
   9,693,693        Term Loan, maturing December 31, 2004                                   8,724,324

                    Centis, Inc.                                     NR        NR
   3,911,111        Term Loan, maturing September 30, 2005                                  2,816,000
   3,430,000        Term Loan, maturing September 30, 2006                                  2,469,600

                    Medtech Products, Inc.                           NR        NR
   7,250,468        Term Loan, maturing October 15, 2002                                    7,223,279

                    Norwood Promotional Products                     B2        NR
   3,141,617        Term Loan, maturing May 12, 2006                                        3,121,002
   2,802,354        Term Loan, maturing November 30, 2006                                   2,783,964

                    Paint Sundry Brands LLC                          NR        NR
   1,019,102        Term Loan, maturing August 11, 2005                                     1,003,816
     998,095        Term Loan, maturing August 11, 2006                                       983,123
                                                                                         ------------
                                                                                           35,020,947
                                                                                         ------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       20
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Personal, Food & Miscellaneous: 3.0%

                    Boston Chicken Inc.(2)                           NR        NR
 $23,837,978        Lease, maturing October 17, 1998(3)                                  $  7,926,128
   2,733,548        Revolver, maturing October 17, 1998(3)                                    908,905
   3,481,872        Revolver, maturing December 1, 1999(3)                                  1,157,723

                    Brickman Group Ltd.                              NR        NR
   4,708,772        Term Loan, maturing December 31, 2005                                   4,685,228

                    Coinmach Laundry Corp.                           B1       BB-
   8,713,664        Term Loan, maturing June 30, 2005                                       8,689,161

                    Otis Spunkmeyer                                  NR        NR
   4,578,401        Term Loan, maturing December 31, 2005                                   4,303,697

                    Papa Gino's Inc.                                 NR        NR
   2,105,195        Term Loan, maturing August 31, 2004                                     2,090,035
   2,564,862        Term Loan, maturing February 19, 2002                                   2,562,227
  14,435,370        Term Loan, maturing February 19, 2004                                  14,522,042
                                                                                         ------------
                                                                                           46,845,145
                                                                                         ------------
                    Printing and Publishing: 3.6%

                    Advanstar Communications, Inc.                  Ba3        B+
   8,000,000        Term Loan, maturing April 11, 2007                                      8,000,000
   2,000,000        Term Loan, maturing November 7, 2007                                    2,014,376

                    CanWest Media, Inc.                             Ba3       BB-
   6,154,783        Term Loan, maturing May 15, 2008                                        6,154,783
   5,767,826        Term Loan, maturing May 16, 2009                                        5,767,826

                    Mail-Well I Corporation                         Ba2        BB
   4,213,156        Term Loan, maturing February 22, 2007                                   4,191,214

                    Von Hoffman Press, Inc.                          B1        B+
   3,255,357        Term Loan, maturing May 22, 2004                                        3,225,857
  10,579,464        Term Loan, maturing May 22, 2005                                       10,483,593

                    Weider Publications, Inc.                        NR        NR
   9,775,000        Term Loan, maturing September 18, 2005                                  9,775,000

                    Vertis, Inc.                                     B1       BB-
   3,977,581        Term Loan, maturing December 7, 2008                                    3,922,890

                    Ziff-Davis Media, Inc.                          Ba3        B+
   2,566,244        Term Loan, maturing March 31, 2007                                      2,574,263
                                                                                         ------------
                                                                                           56,109,802
                                                                                         ------------
                    Radio and Television Broadcasting: 1.1%

                    Benedek Broadcasting Corporation                 B1        B
   6,000,000        Term Loan, maturing November 20, 2007                                   5,949,378

                    Susquehanna Media Co.                           Ba1       BB-
   5,000,000        Term Loan, maturing June 30, 2008                                       5,007,815

                    Telemundo Holdings, Inc.                         B1        B+
   6,855,189        Term Loan, maturing December 28, 2006                                   6,844,481
                                                                                         ------------
                                                                                           17,801,674
                                                                                         ------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       21
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Retail Stores: 1.9%

                    Murray's Discount Auto Stores, Inc.              NR        NR
 $13,417,802        Term Loan, maturing June 30, 2003                                    $   13,486,158

                    Peebles, Inc.                                    NR        NR
   2,402,298        Term Loan, maturing April 30, 2001                                        2,366,264
  11,598,152        Term Loan, maturing April 30, 2002                                       11,424,180

                    TravelCenters of America, Inc.                  Ba3        BB
   2,500,000        Term Loan, maturing November 8, 2006                                      2,513,020
                                                                                         --------------
                                                                                             29,789,622
                                                                                         --------------
                    Satellite: 0.1%

                    Pegasus Media & Communications, Inc.             B1        B+
   2,000,000        Term Loan maturing April 30, 2005                                         2,006,250
                                                                                         --------------
                                                                                              2,006,250
                                                                                         --------------
                    Telecommunication Equipment: 1.8%

                    American Tower Corp.                            Ba3       BB-
  10,748,775        Term Loan, maturing June 30, 2007                                        10,705,779

                    Crown Castle Operating Company                  Ba3       BB-
   5,000,000        Term Loan, maturing March 18, 2008                                        5,026,390

                    Pinnacle Towers, Inc.                            B1        B+
   6,000,000        Term Loan, maturing June 30, 2007                                         5,990,628

                    Tripoint Global Communications, Inc.             NR        NR
   6,516,000        Term Loan, maturing May 28, 2006                                          6,434,550
                                                                                         --------------
                                                                                             28,157,347
                                                                                         --------------
                    Textiles and Leather: 3.3%

                    Accessory Network Group, Inc.                    NR        NR
   9,148,915        Term Loan, maturing August 13, 2005                                       8,263,175

                    Galey & Lord, Inc.                              Caa2       BB-
   5,379,195        Term Loan, maturing March 23, 2005                                        4,881,620
   3,815,927        Term Loan, maturing March 23, 2006                                        3,470,109

                    Humphrey's, Inc.                                 NR        NR
   6,650,000        Term Loan, maturing November 15, 2003                                     5,685,750

                    Levi Strauss & Co.                              Ba2        BB
   8,916,294        Term Loan, maturing January 31, 2002                                      8,693,386

                    Malden Mills                                     B1        NR
   9,859,000        Term Loan, maturing October 28, 2006                                      8,577,330

                    Scovill Fastners Inc.                           Caa3      CCC-
   4,531,250        Term Loan, maturing November 26, 2003                                     4,354,332

                    Tartan Textile Services, Inc.                    NR        NR
   9,712,437        Term Loan, maturing May 13, 2005                                          8,838,318
                                                                                         --------------
                                                                                             52,764,019
                                                                                         --------------
                    Total Senior Loans - 110.1%
                    (Cost $1,847,620,514)                                                 1,725,699,732
                                                                                         --------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       22
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

Other Corporate Debt
<TABLE>
<CAPTION>
                                                                      Bank Loan
                                                                      Ratings+
                                                                   ---------------
Principal Amount    Borrower/Tranche Description                   Moody's     S&P          Value
----------------    ----------------------------                   -------     ---          -----
<S>                 <C>                                            <C>         <C>       <C>
                    Automobile: 0.4%

                    Capital Tool & Design Ltd.                       NR        NR
 $ 6,000,000        Subordinated Note, maturing July 19, 2003                            $  6,045,008
                                                                                         ------------
                                                                                            6,045,008
                                                                                         ------------
                    Building & Real Estate: 0.6%

                    National Golf Operating Partnership              NR        NR
   9,900,000        Unsecured Term Loan, maturing July 22,
                    2004                                                                    9,875,250
                                                                                         ------------
                                                                                            9,875,250
                                                                                         ------------
                    Finance: 0.6%

                    Value Asset Management, Inc.                     NR        NR
  10,000,000        Sr. Sub Bridge, maturing August 31, 2005                                9,850,000
                                                                                         ------------
                                                                                            9,850,000
                                                                                         ------------
                    Healthcare, Education and Childcare: 0.0%        NR        NR

                    Vision Twenty-One
     368,022        Convertible Note, maturing October 31, 2002                               349,621
                                                                                         ------------
                                                                                              349,621
                                                                                         ------------
                    Oil and Gas: 0.5%

                    Premcor Refining Inc.                           Ba3       BB-
   9,000,000        Floating Rate Note, maturing
                    November 15, 2004                                                       7,695,000
                                                                                         ------------
                                                                                            7,695,000
                                                                                         ------------
                    Personal & Nondurable Consumer Products: 0.3%

                    AM Cosmetics, Inc.                               NR        NR
   2,976,529        Senior Sub, maturing May 30, 2007(3)                                      744,132

                    Paint Sundry Brands LLC                          NR        NR
   2,875,000        Subordinated Note, maturing August 11, 2008                             2,645,000
                                                                                         ------------
                                                                                            3,389,132
                                                                                         ------------
                    Total Other Corporate Debt - 2.4%
                    Cost $41,119,551)                                                      37,204,011
                                                                                         ------------
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       23
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

Equity Securities

Shares
------
           Apparel Products: 0.0%
 13,294    Butterick Company, Inc.@(R)--Common                       $    22,364
                                                                     -----------

           Automobile: 0.3%
660,808    Safelite Glass Corp@--Common                                4,956,060
  4,605    Safelite Realty@--Common                                            1
                                                                     -----------
                                                                       4,956,061
                                                                     -----------

           Electronics: 0.1%
149,645    Decision One Corporation@--Common                           1,197,160
                                                                     -----------

           Diversified / Conglomerate Services: 0.0%
 60,056    Staff Leasing, Inc.@--common                                  217,703
                                                                     -----------

           Home and Office Furnishings: 0.1%
 80,400    American Blind and Wallpaper, Inc.@(R)--Common              1,045,200
                                                                     -----------

           Personal and Nondurable Consumer Products: 0.0%
 37,197    AM Cosmetics Corp.@(R)--Common                                     --
                                                                     -----------

           Restaurants: 0.50%
413,980    America's Favorite Chicken Co.@(R)--Common                  7,203,164
                                                                     -----------

           Textiles and Leather: 0.0%
127,306    Dan River, Inc.@--Common                                      270,525
                                                                     -----------
           Total Equity Securities: 1.0%
           (Cost $1,637,196)                                          14,912,177
                                                                     -----------

Stock Purchase Warrants and Other Securities

Shares
------
 48,930   Autotote Systems, Inc., Warrant representing
           48,930 Common shares, Expires 10/30/03@(R)            $       38,079
      1   Autotote Systems, Inc., Option representing
           0.248 Common shares issued and outstanding@(R)                    --
 10,000   Casden Properties, 10,000 shares of Junior
           Cumulative Preferred Partnership Units(R)                    250,000
 80,634   Capital Tool & Design, Warrants representing
           19,000 Common shares@(R)                                     256,658
 19,000   Covenant Care, Inc., Warrants representing
           19,000 Common shares@(R)                                      37,452
    449   Murray's Discount, Warrants representing 5%
           of Common equity on a fully diluted basis@(R)                      4
  2,564   Electro Mechanical Solutions, Inc, Warrant
           representing 2,564 Common shares@(R)                              26
243,778   Vision Twenty-one, Warrant representing
           243,778 Common share@(R)                                       2,438
                                                                 --------------
          Total Stock Purchased Warrants and Other
           Securities - 0.0% (Cost $0)                                  584,657
                                                                 --------------
          Total Investments (Cost $1,890,377,261)(5)    113.5%   $1,778,400,577
          Liabilities in excess of cash and other
           Assets -- Net                                (13.5)%    (211,388,434)
                                                        -----    --------------
          Net Assets                                    100.0%   $1,567,012,143
                                                        =====    ==============

                 See Accompanying Notes to Financial Statements

                                       24
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

----------
@    Non-income producing security.
(R)  Restricted security.
*    Senior loans,  while exempt from  registration  under the Securities Act of
     1933,  contain certain  restrictions on resale and cannot be sold publicly.
     These senior loans bear  interest  (unless  otherwise  noted) at rates that
     float  periodically  at a  margin  above  the  Prime  Rate  of a U.S.  bank
     specified in the credit agreement,  LIBOR, the certificate of deposit rate,
     or in some cases another base lending rate.
NR = Not Rated
+    Bank Loans rated below Baa by Moody's  Investors  Services,  Inc. or BBB by
     Standard & Poor's Group are considered to be below investment grade.
(1)  The  borrower  filed for  protection  under  Chapter 7 of the U.S.  Federal
     bankruptcy code.
(2)  The borrower  filed for  protection  under  Chapter 11 of the U.S.  Federal
     bankruptcy code.
(3)  Loan is on non-accrual basis.
(4)  The  borrower  filed for  protection  under  the  Canadian  Bankruptcy  and
     Insolvency Act.
(5)  For federal income tax purposes,  which is the same for financial reporting
     purposes,   cost  of  investments  is  $1,890,377,261  and  net  unrealized
     depreciation consists of the following:

          Gross Unrealized Appreciation                     $   18,834,037
          Gross Unrealized Depreciation                       (130,810,721)
                                                            --------------
               Net Unrealized Depreciation                  $ (111,976,684)
                                                            ==============

                 See Accompanying Notes to Financial Statements

                                       25
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

ASSETS:
Investments in securities at value (Cost $1,890,377,261)          1,778,400,577
Receivables:
 Interest                                                            17,862,578
 Other                                                                   93,802
Prepaid expenses                                                        473,764
Prepaid arrangement fees on notes payable                               481,124
                                                                ---------------
   Total assets                                                   1,797,311,845
                                                                ---------------
LIABILITIES:
Notes payable                                                       223,000,000
Overdraft payable to custodian                                          226,050
Deferred arrangement fees on senior loans                             1,359,858
Accrued interest payable                                              1,537,898
Accrued Preferred Shares dividends payable                              406,265
Payable to affiliates                                                 1,473,767
Accrued expenses                                                      2,295,864
                                                                ---------------
   Total liabilities                                                230,299,702
                                                                ---------------
NET ASSETS                                                      $ 1,567,012,143
                                                                ===============
Net asset value per common shares outstanding
 (net assets less preferred shares at liquidation
 value, divided by 136,680,787 common shares
 authorized and outstanding, no par value)                      $          8.17
                                                                ===============
Net Assets Consist of:
 Paid-in capital                                                $ 1,285,499,805
 Preferred Shares, $25,000 stated value per share
  at liquidation value (18,000 shares outstanding)                  450,000,000
 Undistributed net investment income                                 10,762,779
 Accumulated net realized loss on investments                       (67,273,757)
 Net unrealized depreciation of investments                        (111,976,684)
                                                                ---------------
   Net assets                                                   $ 1,567,012,143
                                                                ===============

                 See Accompanying Notes to Financial Statements

                                       26
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS for the Nine Months Ended November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

INVESTMENT INCOME:
Interest                                                          $ 123,280,309
Arrangement fees earned                                               1,278,767
Dividends                                                                30,000
Other                                                                 2,852,341
                                                                  -------------
  Total investment income                                           127,441,417
                                                                  -------------
EXPENSES:
Interest                                                             24,903,134
Investment management fees                                           10,320,996
Administration fees                                                   2,855,747
Transfer agent and registrar fees                                       542,564
Reports to shareholders                                                 302,561
Custodian fees                                                          299,150
Revolving credit facility fees                                          236,678
Professional fees                                                       220,902
Miscellaneous expense                                                   203,277
Recordkeeping and pricing fees                                          137,500
Preferred Shares -- dividend disbursing agent fees                       48,276
Insurance expense                                                        29,407
Trustees' fees                                                           22,550
                                                                  -------------
  Total expenses                                                     40,122,742
                                                                  -------------
    Net investment income                                            87,318,675
                                                                  -------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS:
Net realized gain on investments                                      5,225,850
Net change in unrealized depreciation of investments               (103,678,818)
                                                                  -------------
  Net loss on investments                                           (98,452,968)
                                                                  -------------
    Net decrease in net assets resulting from operations          $ (11,134,293)
                                                                  =============

                 See Accompanying Notes to Financial Statements

                                       27
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                                               Nine Months
                                                                  Ended
                                                               November 30,             Year Ended
                                                                  2000                 February 29,
                                                               (Unaudited)                 2000
                                                             ---------------          ---------------
<S>                                                          <C>                      <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income                                        $    87,318,675          $   106,494,015
Net realized gain (loss) on investments                            5,225,850              (37,913,867)
Change in unrealized depreciation
 on investments                                                 (103,678,818)              (2,330,185)
                                                             ---------------          ---------------
 Net increase (decrease) in net assets resulting from
  operations                                                     (11,134,293)              66,249,963
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment income:
Common Shares                                                    (88,487,481)            (104,450,631)
Preferred Shares                                                  (1,833,774                       --
                                                             ---------------          ---------------
Decrease in net assets from distributions to shareholders        (90,321,255)            (104,450,361)
CAPITAL SHARE TRANSACTIONS:
Issuance from dividend reinvestment                                4,651,415                9,369,771
Sales of shares in connection with Shelf offerings                   977,168               43,604,392
Net proceeds from sales of Preferred Shares                      445,500,000                       --
                                                             ---------------          ---------------
 Net increase from capital share transactions                    451,128,583               52,974,163
                                                             ---------------          ---------------
 Net increase in net assets                                      349,673,035               14,773,765
NET ASSETS:
Beginning of period                                            1,217,339,108            1,202,565,343
                                                             ---------------          ---------------
End of period (including undistributed net investment
 income of $10,762,779 and $11,931,585, respectively)        $ 1,567,012,143          $ 1,217,339,108
                                                             ===============          ===============
SUMMARY OF COMMON SHARE TRANSACTIONS:
Shares issued in payment of distributions from net
 investment income                                                   532,726                1,031,864
Shares sold in connection with Shelf offerings                       111,900                4,798,146
                                                             ---------------          ---------------
 Net increase in shares Common Shares outstanding                    644,626                5,830,010
                                                             ===============          ===============
SUMMARY OF PREFERRED SHARES SOLD:
 Series M                                                              3,600                       --
 Series T                                                              3,600                       --
 Series W                                                              3,600                       --
 Series Th                                                             3,600                       --
 Series F                                                              3,600                       --
                                                             ---------------          ---------------
 Total preferred shares sold                                          18,000                       --
                                                             ===============          ===============
</TABLE>

                 See Accompanying Notes to Financial Statements

                                       28
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS for the Nine Months Ended November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

INCREASE (DECREASE) in Cash
Cash Flows From Operating Activities:
 Interest received                                                $ 125,206,107
 Dividends received                                                      30,000
 Facility fees paid                                                     (64,099)
 Arrangement fee received                                               638,800
 Other income received                                                2,889,777
 Interest paid                                                      (26,504,820)
 Other operating expenses paid                                      (13,714,733)
 Purchases of portfolio securities                                 (813,144,256)
 Proceeds from disposition of portfolio securities                  626,150,362
                                                                  -------------
   Net cash used for operating activities                           (98,512,862)
                                                                  -------------
Cash Flows From Financing Activities:
 Dividends paid to common shareholders                              (83,836,066)
 Overdraft financing                                                 (1,700,731)
 Net proceeds from sales of preferred shares                        445,500,000
 Dividends paid to Preferred Shareholders                            (1,427,509)
 Proceeds from common shares shelf offerings                            977,168
 Loan advance                                                      (261,000,000)
                                                                  -------------
   Net cash provided by financing activities                         98,512,862
                                                                  -------------
 Net change in cash                                                          --
 Cash at beginning of period                                                 --
                                                                  -------------
 Cash at end of period                                            $          --
                                                                  =============
Reconciliation Of Net Increase In Net Assets
 Resulting From Operations To Net
 Cash Provided By Operating Activities:
Net increase in net assets resulting from operations              $ (11,134,293)
                                                                  -------------
Adjustments to reconcile net increase in net assets resulting
 from operations to net cash provided by operating activities:
 Increase in investments in securities                              (88,716,382)
 Decrease in dividends and interest receivable                        1,925,798
 Increase in other assets                                               (48,773)
 Decrease in prepaid arrangement fees on notes payable                  172,579
 Increase in prepaid expenses                                          (144,600)
 Decrease in deferred arrangement fees on senior loans                 (639,967)
 Decrease in accrued interest payable                                (1,601,686)
 Increase in preferred shareholders dividend payable                    406,265
 Increase in accrued expenses                                         1,268,197
                                                                  -------------
 Total adjustments                                                  (87,378,569)
                                                                  -------------
   Net cash used for operating activities                         $ (98,512,862)
                                                                  =============

                 See Accompanying Notes to Financial Statements

                                       29
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
                                              Nine Months
                                                 Ended            Years Ended February 28 or February 29,
                                             Nov. 30, 2000    ---------------------------------------------
                                              (Unaudited)         2000          1999 (7)        1998 (7)
                                              -----------         ----          --------        --------
<S>                                          <C>              <C>                  <C>
Per Share Operating Performance
Net asset value, beginning of period          $     8.95       $     9.24      $     9.34     $     9.45
Net investment income                               0.64             0.79            0.79           0.87
Net realized and unrealized gain (loss)
 on investments                                    (0.72)           (0.30)          (0.10)         (0.13)
                                              ----------       ----------      ----------     ----------
Increase in net asset value from
 investment operations                             (0.08)            0.49            0.69           0.74
Distributions to Common Shareholders
 from net investment income                        (0.65)           (0.78)          (0.82)         (0.85)
Distribution to Preferred Shareholders             (0.01)              --              --             --
Increase in net asset value from share
 offerings                                            --               --            0.03             --
Reduction in net asset value from rights
 offering                                             --               --              --             --
Increase in net asset value from
 repurchase of capital stock                          --               --              --             --
Reduction in net asset value from
 Preferred Shares offerings                        (0.04)              --              --             --
                                              ----------       ----------      ----------     ----------
Net asset value, end of period                $     8.17       $     8.95      $     9.24     $     9.34
                                              ==========       ==========      ==========     ==========
Closing market price at end of period         $     7.56       $     8.25      $     9.56     $    10.31
Total Return
Total investment return at closing
 market price(3)                                   (1.14)%          (5.88)%          1.11%         12.70%
Total investment return at net asset
 value(4)                                          (1.52)%           5.67%           7.86%          8.01%
Ratios/Supplemental Data
Net Assets, end of period (000's)             $1,567,012               --              --             --
Net assets Common Shareholder, end of
 period (000's)                               $1,117,012       $1,217,339      $1,202,565     $1,034,403
Preferred Rate Shares
 Aggregate amount outstanding (000's)         $  450,000               --              --             --
Liquidation and market value Per Share        $   25,000               --              --             --
Asset coverage Per Share**                           265%              --              --             --
Average borrowings (000's)                    $  483,407       $  524,019      $  490,978     $  346,110
Ratios to average net assets including
 preferred*
 Expenses (before interest and other
  fees related to revolving credit
  facility)                                         1.62%(1)           --              --             --
 Expenses                                           4.33%(1)           --              --             --
 Net investment income                              9.44%(1)           --              --             --
Ratios to average net assets plus
 borrowing applicable to common shares*
 Expenses (before interest and other
  fees related to revolving credit
  facility)                                         1.19%(1)         1.00%(8)        1.05%(8)       1.04%
 Expenses                                           3.19%(1)         2.79%(8)        2.86%(8)       2.65%
 Net investment income                              6.93%(1)         6.12%           6.00%          6.91%
Ratios to average net assets applicable
 to common shares*
 Expenses (before interest and other
  fees related to revolving credit
  facility)                                         1.67%(1)         1.43%(8)        1.50%(8)       1.39%
 Expenses                                           4.47%(1)         4.00%(8)        4.10%(8)       3.54%
 Net investment income                              9.73%(1)         8.77%           8.60%          9.23%
 Portfolio turnover rate                              37%              71%             68%            90%
 Shares outstanding at end of
  period (000's)                                 136,681           136,036         130,206       110,764

                                                Years Ended February 28 or February 29,
                                              ------------------------------------------
                                                1997 (7)         1996 (6)          1995
                                                --------         --------          ----

Per Share Operating Performance
Net asset value, beginning of period          $     9.61       $    9.66       $   10.02
Net investment income                               0.82            0.89            0.74
Net realized and unrealized gain (loss)
 on investments                                    (0.02)          (0.08)           0.07
                                              ----------       ---------       ---------
Increase in net asset value from
 investment operations                              0.80            0.81            0.81
Distributions to Common Shareholders
 from net investment income                        (0.82)          (0.86)          (0.73)
Distribution to Preferred Shareholders                --              --              --
Increase in net asset value from share
 offerings                                            --              --              --
Reduction in net asset value from rights
 offering                                          (0.14)             --           (0.44)
Increase in net asset value from
 repurchase of capital stock                          --              --              --
Reduction in net asset value from
 Preferred Shares offerings                           --              --              --
                                              ----------       ---------       ---------
Net asset value, end of period                $     9.45       $    9.61       $    9.66
                                              ==========       =========       =========
Closing market price at end of period         $    10.00       $    9.50       $    8.75
Total Return
Total investment return at closing
 market price(3)                                   15.04%(5)       19.19%           3.27%(5)
Total investment return at net asset
 value(4)                                           8.06%(5)        9.21%           5.24%(5)
Ratios/Supplemental Data
Net Assets, end of period (000's)                     --              --              --
Net assets Common Shareholder, end of
 period (000's)                               $1,031,089       $ 862,938       $ 867,083
Preferred Rate Shares
 Aggregate amount outstanding (000's)                 --              --              --
Liquidation and market value Per Share                --              --              --
Asset coverage Per Share**                            --              --              --
Average borrowings (000's)                    $  131,773       $      --       $      --
Ratios to average net assets including
 preferred*
 Expenses (before interest and other
  fees related to revolving credit
  facility)                                           --              --              --
 Expenses                                             --              --              --
 Net investment income                                --              --              --
Ratios to average net assets plus
 borrowing applicable to common shares*
 Expenses (before interest and other
  fees related to revolving credit
  facility)                                         1.13%             --              --
 Expenses                                           1.92%             --              --
 Net investment income                              7.59%             --              --
Ratios to average net assets applicable
 to common shares*
 Expenses (before interest and other
  fees related to revolving credit
  facility)                                         1.29%             --              --
 Expenses                                           2.20%           1.23%           1.30%
 Net investment income                              8.67%           9.23%           7.59%
 Portfolio turnover rate                              82%             88%            108%
 Shares outstanding at end of
  period (000's)                                 109,140          89,794          89,794
</TABLE>

----------
(1)  Annualized.
(2)  Prior to the waiver of  expenses,  the ratios of  expenses  to average  net
     assets were 1.95% (annualized), 1.48% and 1.44% for the period from May 12,
     1988 to February 28, 1989, and for the fiscal years ended February 28, 1990
     and  February  29,  1992,  respectively,  and the ratios of net  investment
     income to average net assets were 8.91% (annualized),  10.30% and 7.60% for
     the period from May 12, 1988 to February 28, 1989, and for the fiscal years
     ended February 28, 1990 and February 29, 1992, respectively.
(3)  Total  investment  return  measures  the change in the market value of your
     investment   assuming   reinvestment   of   dividends   and  capital   gain
     distributions,  if any, in accordance  with the  provisions of the dividend
     reinvestment plan. On March 9, 1992, the shares of the Trust were initially
     listed for trading on the New York Stock Exchange.  Accordingly,  the total
     investment  return for the year ended  February 28,  1993,  covers only the
     period from March 9, 1992, to February 28, 1993.  Total  investment  return
     for periods  prior to the year ended  February 28, 1993,  are not presented
     since  market  values for the  Trust's  shares  were not  available.  Total
     returns for less than one year are not annualized.
*    Ratios  do not  reflect  the  effect  of  dividend  payments  to  Preferred
     Shareholders; income ratios reflect income earned on assets attributable to
     preferred shares.
**   Asset  coverage  represents  the total assets  available for  settlement of
     Preferred  Stockholder's  interest  and notes  payables  in relation to the
     Preferred  Shareholder interest and notes payable balance outstanding.  The
     Preferred Shares were first offered November 2, 2000.

                 See Accompanying Notes to Financial Statements

                                       30
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (Continued)
--------------------------------------------------------------------------------

<TABLE>
<CAPTION>
               Years Ended February 28 or February 29,
 -----------------------------------------------------------------------
    1994         1993        1992         1991        1990          1989
    ----         ----        ----         ----        ----          ----
<S>          <C>         <C>         <C>          <C>           <C>
  $  10.05    $   9.96    $   9.97    $    10.00   $    10.00    $   10.0
      0.60        0.60        0.76          0.98         1.06        0.72

     (0.05)       0.01       (0.02)        (0.05)          --          --
  --------    --------    --------    ----------   ----------    --------

      0.55        0.61        0.74          0.93         1.06        0.72

     (0.60)      (0.57)      (0.75)        (0.96)       (1.06)      (0.72)
        --          --          --            --           --          --

        --          --          --            --           --          --

        --          --          --            --           --          --

        --          --          --            --           --          --

      0.02        0.05          --            --           --          --
  --------    --------    --------    ----------   ----------    --------
  $  10.02    $  10.05    $   9.96    $     9.97   $    10.00    $  10.00
  ========    ========    ========    ==========   ==========    ========
  $   9.25    $   9.13          --            --           --          --


      8.06%      10.89%         --            --           --          --

      6.28%       7.29%       7.71%         9.74%       11.13%       7.35%

  $719,979    $738,810    $874,104    $1,158,224   $1,036,470    $252,998

  $     --    $     --    $     --    $       --   $       --    $     --

        --          --          --            --           --          --
        --          --          --            --           --          --
        --          --          --            --           --          --
        --          --          --            --           --          --




        --          --          --            --           --          --
        --          --          --            --           --          --
        --          --          --            --           --          --




        --          --          --            --           --          --
        --          --          --            --           --          --
        --          --          --            --           --          --




        --          --          --            --           --          --
      1.31%       1.42%       1.42%(2)      1.38%        1.46%(2)    1.18%(1)(2)
      6.04%       5.88%       7.62%(2)      9.71%       10.32%(2)    9.68%(1)(2)
        87%         81%         53%           55%         100%         49%(1)

    71,835      73,544      87,782       116,022      103,660      25,294
</TABLE>

----------
(4)  Total investment  return at net asset value has been calculated  assuming a
     purchase at net asset value at the  beginning  of each period and a sale at
     net asset  value at the end of each  period  and  assumes  reinvestment  of
     dividends and capital gain  distributions in accordance with the provisions
     of the dividend  reinvestment  plan.  This  calculation  differs from total
     investment  return because it excludes the effects of changes in the market
     values of the Trust's shares.  Total returns for less than one year are not
     annualized.
(5)  Calculation of total return  excludes the effects of the per share dilution
     resulting  from the rights  offering as the total  account value of a fully
     subscribed shareholder was minimally impacted.
(6)  Pilgrim Investments, Inc., the Trust's investment manager, acquired certain
     assets of Pilgrim  Management  Corporation,  the Trust's former  investment
     manager, in a transaction that closed on April 7, 1995.
(7)  The  Manager  agreed to reduce its fee for a period of three years from the
     Expiration  Date of the November  12, 1996 Rights  Offering to 0.60% of the
     average daily net assets, plus the proceeds of any outstanding  borrowings,
     over $1.15 billion.
(8)  Calculated on total expenses before impact of earnings credits.

                 See Accompanying Notes to Financial Statements

                                       31
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

NOTE 1 -- SIGNIFICANT ACCOUNTING POLICIES

Pilgrim  Prime Rate Trust (the  "Trust"),  is  registered  under the  Investment
Company  Act of 1940,  as  amended,  as a  diversified,  closed-end,  investment
management  company.  The Trust  invests in senior  loans  which are exempt from
registration  under  the  Securities  Act of 1933 (the  "`33  Act") but  contain
certain  restrictions  on resale and cannot be sold  publicly.  These loans bear
interest (unless  otherwise noted) at rates that float  periodically at a margin
above the Prime  Rate of a U.S.  bank  specified  in the credit  agreement,  the
London Inter-Bank Offered Rate ("LIBOR"), the certificate of deposit rate, or in
some  cases  another  base  lending  rate.  The  following  is a summary  of the
significant  accounting  policies  consistently  followed  by the  Trust  in the
preparation  of its financial  statements.  The policies are in conformity  with
generally accepted accounting principles.

A.   Senior Loan and Other Security Valuation.  Loans are normally valued on the
     basis of one or more  quotations  obtained from a pricing  service or other
     sources  believed to be reliable.  Loans for which reliable  quotations are
     not  available  may be valued with  reference to another loan or a group of
     loans  for  which   quotations   are  more  readily   available  and  whose
     characteristics  are  comparable  to the  loan  being  valued.  Under  this
     approach,  the  comparable  loan or loans serve as a "proxy" for changes in
     value.  The Trust has  engaged an  independent  pricing  service to provide
     quotations from dealers in loans and to calculate  values under the "proxy"
     procedure  described  above.  Loans are valued at the mean  between bid and
     asked  quotations.  It is expected that most of the loans held by the Trust
     will be valued with reference to quotations  from the  independent  pricing
     service or with reference to the "proxy"  procedure  described  above.  ING
     Pilgrim  Investments  may believe  that the price for a loan  derived  from
     market quotations or the "proxy" procedure  described above is not reliable
     or accurate.  Among other  reasons,  this may be the result of  information
     about a particular loan or borrower known to ING Pilgrim  Investments  that
     ING Pilgrim Investments believes may not be known to the pricing service or
     reflected in a price quote. In this event, the loan is valued at fair value
     as determined  in good faith under  procedures  established  by the Trust's
     Board of Trustees and in  accordance  with the  provisions of the 1940 Act.
     Under these procedures, fair value is determined by ING Pilgrim Investments
     and  monitored  by the  Trust's  Board of Trustees  through  its  Valuation
     Committee.  In fair  valuing  a loan,  consideration  is given  to  several
     factors,  which  may  include,   among  others,  the  following:   (i)  the
     characteristics  of and  fundamental  analytical data relating to the loan,
     including the cost,  size,  current  interest  rate,  period until the next
     interest rate reset,  maturity and base lending rate of the loan, the terms
     and conditions of the loan and any related agreements,  and the position of
     the loan in the borrower's  debt structure;  (ii) the nature,  adequacy and
     value  of the  collateral,  including  the  Trust's  rights,  remedies  and
     interests with respect to the collateral; (iii) the creditworthiness of the
     borrower and the cash flow coverage of outstanding  principal and interest,
     based on an evaluation of its financial condition, financial statements and
     information about the borrower's  business,  cash flows,  capital structure
     and future prospects; (iv) information relating to the market for the loan,
     including  price  quotations for, and trading in, the loan and interests in
     similar loans and the market environment and investor attitudes towards the
     loan and  interests in similar  loans;  (v) the  reputation  and  financial
     condition of the agent for the loan and any  intermediate  participants  in
     the loan; (vi) the borrower's  management;  and (vii) the general  economic
     and market conditions affecting the fair value of the loan.  Securities for
     which the primary  market is a national  securities  exchange or the NASDAQ
     National  Market  System are stated at the last  reported sale price on the
     day of valuation. Debt and equity securities traded in the over-the-counter
     market and listed  securities  for which no sale was  reported on that date
     are  valued at the mean  between  the last  reported  bid and asked  price.
     Valuation  of  short  term  cash  equivalent  investments  will be based on
     standard fund industry practice for short term, highly liquid investments.

                 See Accompanying Notes to Financial Statements

                                       32
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

B.   Federal  Income  Taxes.  It is  the  Trust's  policy  to  comply  with  the
     requirements   of  the  Internal   Revenue  Code  applicable  to  regulated
     investment  companies  and to distribute  substantially  all of its taxable
     income to its shareholders.  Therefore,  no federal income tax provision is
     required.

     At February 29, 2000, the Trust had capital loss  carryforwards for federal
     income tax purposes of  approximately  $66,511,648  which are  scheduled to
     expire through February 28, 2008.

     The Board of Trustees  intends to offset any future net capital  gains with
     the  capital  loss  carryforwards  until each  carryforward  has been fully
     utilized or expires.

C.   Security  Transactions and Revenue Recognition.  Security  transactions are
     accounted  for on trade date  (date the order to buy or sell is  executed).
     Realized  gains or losses are reported on the basis of  identified  cost of
     securities  delivered.  Interest  income is recorded on an accrual basis at
     the  then  current  loan  rate.   The  accrual  of  interest  on  loans  is
     discontinued  when,  in the opinion of  management,  there is an indication
     that the borrower may be unable to meet  payments as they become due.  Upon
     such  discontinuance,   all  unpaid  accrued  interest  is  reversed.  Cash
     collections on nonaccrual senior loans are generally applied as a reduction
     to the  recorded  investment  of the loan.  Senior  loans are  returned  to
     accrual  status only after all past due amounts have been  received and the
     borrower has demonstrated  sustained  performance.  Arrangement fees, which
     represent non-refundable fees associated with the acquisition of loans, are
     deferred and recognized ratably over the shorter of 2.5 years or the actual
     term of the loan.  No such fees are  recognized  on loans  which  have been
     placed on non-accrual status.

D.   Distributions  to  Shareholders.  The Trust  records  distributions  to its
     shareholders on the ex-date.  Distributions from income are declared by the
     Trust on a monthly basis.  Distributions  from capital  gains,  if any, are
     declared  on  an  annual  basis.  The  amount  of  distributions  from  net
     investment  income  and  net  realized  capital  gains  are  determined  in
     accordance  with  federal  income tax  regulations,  which may differ  from
     generally accepted accounting principles for items such as the treatment of
     short  term  capital  gains.   These  "book/tax"   differences  are  either
     considered  temporary  or  permanent  in nature.  To the extent  that these
     differences are permanent in nature,  such amounts are reclassified  within
     the capital accounts based on their federal tax-basis treatment;  temporary
     differences do not require  reclassifications.  Distributions  which exceed
     net  investment  income  and  net  realized  capital  gains  for  financial
     reporting  purposes but not for tax purposes are reported as  distributions
     in excess of net investment  income and/or  realized  capital gains. To the
     extent they exceed net investment income and net realized capital gains for
     tax purposes, they are reported as a tax return of capital. During the year
     ended  February  29,  2000 the Fund  reclassified  $1,830,561  from paid in
     capital to  accumulated  net realized loss on  investments,  to reflect the
     treatment of permanent book/tax differences.

E.   Dividend  Reinvestments.  Pursuant to the  Shareholder  Investment  Program
     (formerly known as the Automatic Dividend  Reinvestment Plan), DST Systems,
     Inc., the Plan Agent,  purchases,  from time to time,  shares of beneficial
     interest of the Trust on the open market to satisfy dividend reinvestments.
     Such  shares are  purchased  only when the  closing  sale or bid price plus
     commission  is less than the net asset value per share of the common shares
     on the valuation date. If the market price plus  commissions is equal to or
     exceeds  the net asset  value,  new shares are issued at the greater of (i)
     net asset value or (ii) the market  price of the shares  during the pricing
     period, minus a discount of 5%.

F.   Use of Estimates.  Management  of the Trust has made certain  estimates and
     assumptions  relating to the  reporting of assets,  liabilities,  revenues,
     expenses  and  contingencies  to  prepare  these  financial  statements  in
     conformity with generally accepted  accounting  principles.  Actual results
     could differ from these estimates.

                 See Accompanying Notes to Financial Statements

                                       33
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

G.   Share  Offerings.  During the year ended February 28, 1999, the Trust began
     issuing shares under various shelf registration statements, whereby the net
     proceeds  received  by the Trust from share  sales may not be less than the
     greater of (i) the NAV per share or (ii) 94% of the  average  daily  market
     price over the relevant pricing period.

NOTE 2 -- INVESTMENTS

For the nine months  ended  November 30,  2000,  the cost of  purchases  and the
proceeds from principal repayment and sales of investments, excluding short-term
notes, totaled $813,144,256 and $626,150,362 respectively. At November 30, 2000,
the Trust held senior loans valued at $1,725,699,732  representing  97.0% of its
total investments.  The market value of these assets is established as set forth
in Note 1.

The senior loans acquired by the Trust may take the form of a direct  co-lending
relationship with the corporate issuer, an assignment of a co-lender's  interest
in a loan, or a participation  interest in a co-lender's interest in a loan. The
lead  lender in a typical  corporate  loan  syndicate  administers  the loan and
monitors collateral. In the event that the lead lender becomes insolvent, enters
FDIC receivership or, if not FDIC insured, enters into bankruptcy, the Trust may
incur  certain  costs and delays in realizing  payment,  or may suffer a loss of
principal and/or interest. Additionally,  certain situations may arise where the
Trust acquires a participation in a co-lender's interest in a loan and the Trust
does not have  privity with or direct  recourse  against the  corporate  issuer.
Accordingly, the Trust may incur additional credit risk as a participant because
it must assume the risk of insolvency or bankruptcy of the co-lender  from which
the participation was acquired.  Common and preferred stocks, and stock purchase
warrants held in the portfolio  were acquired in  conjunction  with senior loans
held by the Trust.  Certain of these stocks and warrants are  restricted and may
not be  publicly  sold  without  registration  under the '33 Act,  or without an
exemption under the '33 Act. In some cases,  these  restrictions  expire after a
designated  period  of time  after  issuance  of the  stock  or  warrant.  These
restricted  securities  are valued at fair value as  determined  by the Board of
Trustees  by  considering  quality,  dividend  rate,  and  marketability  of the
securities  compared to similar issues.  In order to assist in the determination
of fair value, the Trust will obtain quotes from dealers who periodically  trade
in such  securities  where such quotes are available.  Dates of acquisition  and
cost or assigned basis of restricted securities are as follows:

                                                      Date of        Cost or
                                                    Acquisition   Assigned Basis
                                                    -----------   --------------
American Blind and Wallpaper -- Common               01/12/99           --
America's Favorite Chicken Co. -- Common             11/06/92         $  1
Autotote Systems, Inc. -- Option                     02/26/97           --
Autotote Systems, Inc. -- Warrant                    11/11/92           --
Butterick Company, Inc. -- Common                    05/01/97           --
Capital Tool & Design -- Warrants                    07/26/96           --
Casden Properties Operation -- Preferred
 Partnership Units                                   12/31/98           --
Covenant Care, Inc. -- Warrants                      12/22/95           --
Murray's Discount -- Warrants                        02/16/99           --
Vision 21 -- Warrants                                11/28/00           --
                                                                      ----
Total restricted securities excluding senior
 loans (market value of $8,855,359 was 0.57% of
 net assets at November 30, 2000)                                     $  1
                                                                      ====

NOTE 3 -- MANAGEMENT AND ADMINISTRATIVE SERVICES AGREEMENT

The Trust has entered into an Investment  Management  Agreement with ING Pilgrim
Investments,  Inc.  (the  "Manager") a  wholly-owned  subsidiary  of ING Pilgrim
Group, Inc. ("PG"), to provide advisory and management services.  The Investment
Management  Agreement  compensates  the Manager with a fee,  computed  daily and
payable  monthly,  at an annual rate of 0.80% of the Trust's  average  daily net
assets plus borrowings.

                 See Accompanying Notes to Financial Statements

                                       34
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

The Trust has also entered  into an  Administration  Agreement  with ING Pilgrim
Investments,  Inc.  to  provide  administrative  services  and  also to  furnish
facilities.  Prior to May 1, 2000 the Administration  Agreement  compensated the
Administrator with a fee, computed daily and payable monthly,  at an annual rate
of 0.15% of the  Trust's  average  daily net assets plus  borrowings  up to $800
million;  and 0.10% of the average daily net assets plus borrowings in excess of
$800 million.  Effective May 1, 2000, the  Administrator  is compensated  with a
fee,  computed  daily and  payable  monthly,  at an annual  rate of 0.25% of the
Trust's   average  daily  net  assets  plus  the  proceeds  of  any  outstanding
borrowings.

NOTE 4 -- COMMITMENTS

The Trust has  entered  into  both a 364 day and a five  year  revolving  credit
agreement,  collateralized  by assets of the Trust, to borrow up to $620 million
from a  syndicate  of major  financial  institutions  maturing  July  15,  2003.
Borrowing  rates under these  agreements are based on a fixed spread over LIBOR,
the federal funds rate, or a commercial  paper based rate.  Prepaid  arrangement
fees for any unborrowed  amounts are amortized over the term of the  agreements.
The amount of borrowings  outstanding at November 30, 2000, was $223 million, at
an average  interest  rate of 6.7%,  which  represented  12.4% of total  assets.
Average  borrowings  for the nine  months  ended  November  30,  2000  excluding
Preferred Shares were $483,407,273 and the average annualized  interest rate was
7.1%.

As of November 30, 2000, the Trust had unfunded loan commitments pursuant to the
terms of the following loan agreements:

Airgate PCS                                                         $  7,022,801
Alliance Data Systems                                                    803,571
AM Cosmetics                                                               1,998
American Tower                                                         4,167,892
Breed Technologies                                                        42,611
Cincinnati Bell                                                        6,050,000
Crown Paper Co.                                                        1,625,000
Huntsman Corporation                                                $    819,074
Key Energy Group                                                       6,206,000
Meditrust Corp.                                                        7,058,824
Murray's Discount Auto Stores                                          1,700,000
Resort at Summerline                                                   4,060,913
Schwegmann Giant Super Market                                          1,488,400
                                                                    ------------
                                                                    $ 41,047,084
                                                                    ============

NOTE 5 -- RIGHTS AND OTHER OFFERINGS

On October  18,  1996,  the Trust  issued to its  shareholders  non-transferable
rights  which  entitled the holders to subscribe  for  18,122,963  shares of the
Trust's  common  stock at the rate of one  share of  common  stock for each five
rights  held.  On  November  12,  1996,  the  offering  expired  and  was  fully
subscribed. The Trust issued 18,122,963 shares of its common stock to exercising
rights holders at a  subscription  price of $9.09 . Offering costs of $6,972,203
were charged against the offering proceeds.

On December 27, 1994, the Trust issued to its shareholders  transferable  rights
which  entitled the holders to subscribe  for  17,958,766  shares of the Trust's
common stock at the rate of one share of common stock for each four rights held.
On January 27, 1995, the offering  expired and was fully  subscribed.  The Trust
issued  17,958,766  shares of its common stock to exercising rights holders at a
subscription  price of $8.12.  Offering costs of $4,470,955 were charged against
the offering proceeds.

As of November 30, 2000, share offerings pursuant to shelf registrations were as
follows:

           Registration Date       Shares Registered         Shares Remaining
           -----------------       -----------------         ----------------
               6/11/98                15,000,000                        --
               6/19/98                10,000,000                 9,730,800
               9/15/98                25,000,000                19,213,322
               3/04/99                 5,000,000                 3,241,644

                 See Accompanying Notes to Financial Statements

                                       35
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

On November 2, 2000,  the Trust  issued  3,600 shares each of Series M, Series W
and Series F Auction Rate Cumulative  Preferred Shares, $.01 Par Value,  $25,000
liquidation Preference,  for a total issuance of $270 million. Also, on November
16,  2000,  the Trust issued 3,600 shares each of Series T and Series Th Auction
Rate  Cumulative   Preferred  Shares,   $.01  Par  Value,   $25,000  liquidation
Preference, for a total issuance of $180 million. All such Preferred Shares were
outstanding  as of  November  30,  2000.  Cost  associated  with  offering  were
approximately  $5,243,864 which were charged against the proceeds  received upon
issuance. The Trust will use all of the net proceeds of the offering to pay down
existing  indebtedness,  but may reborrow  amounts in the future to increase its
use of leverage  which will be consistent  with the  limitations  imposed by the
Investment Company Act of 1940.

Preferred  Share  Dividends  and  Dividend  Periods.  The table  below shows the
dividend  rates for the initial rate periods on Preferred  Shares  offered.  For
subsequent dividend periods, Preferred Shares will pay dividends based on a rate
set at auctions, normally held every 7 days. In the most instances dividends are
also payable  every 7 days,  on the first  business day following the end of the
rate period.

The table  below also shows the number of days of the initial  dividend  periods
for Preferred  Shares.  Subsequent  rate periods  generally  will be 7 days. The
dividend  payment  date for special rate periods of more than 7 days will be set
out in the notice designating a special rate period.


                                       Dividend
                                     Payment Dates          Number of
Preferred         Initial             for Initial        Days of Initial
 Shares        Dividend Rates      Dividend Periods      Dividend Periods
 ------        --------------      ----------------      ----------------
Series M           6.50%           November 14, 2000            12
Series T           6.50%           November 29, 2000            13
Series W           6.50%           November 16, 2000            14
Series Th          6.50%           December 01, 2000            15
Series F           6.50%           November 20, 2000            18

NOTE 6 -- CUSTODIAL AGREEMENT

State Street Bank, Kansas City ("SSBKC")  (formerly known as IFTC) serves as the
Trust's  custodian and  recordkeeper.  Custody fees paid to SSBKC are reduced by
earnings credits based on the cash balances held by SSBKC for the Trust.

There were no earning credits for the nine months ended November 30, 2000.

NOTE 7 -- AFFILIATED TRANSACTIONS

During the nine months ended  November 30, 2000,  the Trust  purchased  and sold
holdings in senior  loans  from/to  affiliated  funds  managed by the Manager at
prices  determined  by the  Manager  to  represent  market  prices.  The cost of
purchased  loans was  $27,202,486  and the  proceeds and cost of sold loans were
$26,912,891 and  $27,208,437,  respectively,  excluding any benefit to the Trust
from the recognition of deferred arrangement fees.

NOTE 8 -- SUBORDINATED AND UNCOLLATERALIZED LOANS

The Trust may acquire a subordinated  loan only if, at the time of  acquisition,
it  acquires  or holds a Senior Loan from the same  borrower.  The primary  risk
arising  from a holder's  subordination  is the  potential  loss in the event of
default by the  issuer of the loans.  The Trust may invest up to 5% of its total
assets, measured at the time of investment, in subordinated and uncollateralized
loans.  As of  November  30,  2000,  the Trust held 2.2% of its total  assets in
subordinated and uncollateralized loans.

                 See Accompanying Notes to Financial Statements

                                       36
<PAGE>
                            Pilgrim Prime Rate Trust

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS as of November 30, 2000 (Unaudited)
--------------------------------------------------------------------------------

NOTE 9 -- SUBSEQUENT EVENTS

Subsequent to November 30, 2000, the Trust paid the following dividends from net
investment income:

     Per Share Amount     Declaration Date     Record Date     Payable Date
     ----------------     ----------------     -----------     ------------
         $0.070              11/30/2000         12/11/2000      12/22/2000
          0.073              12/19/2000         12/29/2000      01/11/2001

            Management's Additional Operating Information (Unaudited)

APPROVAL OF CHANGES IN INVESTMENT POLICIES

At a Special Meeting of Trust  Shareholders,  held August 6, 1998,  Shareholders
approved  changes in the  Trust's  fundamental  investment  policies  which make
available certain additional  investment  opportunities to the Trust,  including
(i)  investing  in loans in any form of  business  entity,  as long as the loans
otherwise meet the Trust's requirements  regarding the quality of loans in which
it may invest;(ii) the treatment of lease  participations  as Senior Loans which
would  constitute  part of the 80% of the Trust's  assets  normally  invested in
Senior  Loans;  (iii)  investing  in all types of hybrid  loans that meet credit
standards  established by the Investment Manager constituting part of the 20% of
the Trust's assets that may be invested in Other  Investments;  (iv) the ability
to invest up to 5% of its total assets in both  subordinated and unsecured loans
which  would  constitute  part  of the 20% of the  Trust's  assets  that  may be
invested in Other Investments.

Additionally,  another  policy  change  approved by the Board of Trustees of the
Trust, which does not require shareholder approval,  permits the Trust to accept
guarantees  and expanded  forms of intangible  assets as  collateral,  including
copyrights,  patent rights,  franchise  value,  and  trademarks.  Another policy
change  approved  by the  Board,  that does not  require  shareholder  approval,
provides  that 80% of the  Trust's  gross  assets,  as opposed to 80% of its net
assets, may normally be invested in Senior Loans.

The Trust's Manager considered the evolving nature of the syndicated loan market
and the  potential  benefits to the Trust and its  shareholders  of revising the
restriction  to permit the Trust to invest in loans other than Senior  Loans and
the increase in the number of attractive investment  opportunities  available to
the Trust due to the change.

REPURCHASE OF SECURITIES BY CLOSED-END COMPANIES

In accordance with Section 23(c) of the Investment Company Act of 1940, and Rule
23c-1 under the Investment  Company Act of 1940, the Trust may from time to time
purchase  shares of  beneficial  interest  of the Trust in the open  market,  in
privately  negotiated  transactions  and/or purchase shares to correct erroneous
transactions.

SHAREHOLDER INVESTMENT PROGRAM

The Trust offers a Shareholder  Investment Program (the "Program") which enables
investors to  conveniently  add to their holdings at reduced  costs.  Should you
desire  further  information   concerning  this  Program,   please  contact  the
Shareholder Servicing Agent at (800) 992-0180.

                 See Accompanying Notes to Financial Statements

                                       37
<PAGE>
                     [SCREENED BACK GRAPHIC OF THE EARTH]


                     INVESTMENT MANAGER

                     ING Pilgrim Investments, Inc.
                     7337 E. Doubletree Ranch Road
                     Scottsdale, Arizona 85258-2034

                     ADMINISTRATOR

                     ING Pilgrim Group, Inc.
                     7337 E. Doubletree Ranch Road
                     Scottsdale, Arizona 85258-2034
                     1-800-992-0180

                     INSTITUTIONAL INVESTORS AND ANALYSTS

                     Call Pilgrim Prime Rate Trust
                     1-800-336-3436, Extension 2214

                     TRANSFER AGENT

                     DST Systems, Inc.
                     P.O. Box 419368
                     Kansas City, Missouri 64141-6368

                     CUSTODIAN

                     State Street Bank & Trust
                     801 Pennsylvania
                     Kansas City, Missouri 64105

                     LEGAL COUNSEL

                     Dechert
                     1775 Eye Street, N.W.
                     Washington, D.C. 20006

                     INDEPENDENT AUDITORS

                     KPMG
                     355 South Grand Avenue
                     Los Angeles, California 90071

                     WRITTEN REQUESTS

                     Please mail all account inquiries and other comments to:

                     Pilgrim Prime Rate Trust Account Services
                     c/o ING Pilgrim Group, Inc.
                     7337 E. Doubletree Ranch Road
                     Scottsdale, Arizona 85258-2034

                     TOLL-FREE SHAREHOLDER INFORMATION

                     Call us from 9:00 a.m. to 7:00 p.m. Eastern time on any
                     business day for account or other information,
                     at 1-800-992-0180


                     Prospectus  containing more complete information regarding
                     the Funds, including charges and expenses, may be obtained
                     by  calling  Pilgrim  Securities,   Inc.   Distributor  at
                     1-800-334-3444.   Please  read  the  prospectus  carefully
                     before you invest or send money.

                                              PRT3Q1100-012901
</TEXT>
</DOCUMENT>
