UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-06625
The Payden & Rygel Investment Group
(Exact name of registrant as specified in charter)
333 South Grand Avenue
Los Angeles, CA 90071
(Address of principal executive offices) (Zip code)
Edward S. Garlock, Esq.
Secretary
333 South Grand Avenue
Los Angeles, CA 90071
(Name and address of agent for service)
Registrant’s telephone number, including area code: 213-625-1900
Date of fiscal year end: October 31
Date of reporting period: April 30, 2018
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Semi-Annual Report
Short Duration Bond Strategies
During the six months ended April 30, 2018, the Federal Reserve Board’s Open Market Committee (“FOMC”) continued to normalize monetary policy by raising the Federal Funds Rate two times, from 1.25% to 1.75%. US economic data continues to support expectations for continued increases to the Federal Funds rate through 2019. The unemployment rate has dropped to 3.9% and inflation continues to trend towards the FOMC’s 2% target. The core personal consumption expenditure index, the FOMC’s preferred measurement tool, increased from 1.5% to 1.8% over the period.
Short US Treasury yields continued to rise in sympathy with the Federal Funds Rate. Two-year US Treasury yields rose by 0.89% moving from 1.60% to 2.49%. Three-month LIBOR moved 0.98% higher to end at 2.36%.
Corporate yield premiums over US Treasury securities widened over the period after reaching historical lows early in the year. The move was largely attributed to selling pressures from large off-shore corporate portfolios as they looked to repatriate cash. Corporate spreads have since stabilized.
The Payden Cash Reserves Money Market Fund (PBHXX) continued to provide stable daily liquidity. For the six months ended April 30, 2018, the Fund returned 0.56%, compared to a return of 0.37% for the Lipper Government Money Market Average. Money market rates rose along with the FOMC’s decision to increase the federal funds rate.
The Payden Limited Maturity Fund (PYLMX) returned 0.82% for the six months ended April 30, 2018, compared to a return of 0.68% for its benchmark, the Bank of America Merrill Lynch Three-Month U.S. Treasury Bill Index. The allocations to corporate securities and securitized products were the largest contributors to outperformance. The Fund invests in swaps, futures and forward currency contracts for credit risk hedging and investment purposes. The use of credit default swaps to hedge credit exposure impacted performance by 0.01%.
The Payden Low Duration Fund (PYSBX) returned -0.20% for the six months ended April 30, 2018, compared to a return of -0.47% for its benchmark, the Bank of America Merrill Lynch 1-3 Year Treasury Index. The Fund’s interest rate positioning was the largest contributor to outperformance, while allocations to corporate securities and securitized products also contributed positively. The Fund invests in futures, swaps, options and forward currency contracts for hedging and investment purposes. The use of these derivatives impacted performance by 0.05%.
The Payden Global Low Duration Fund (PYGSX) returned -0.15% for the six months ended April 30, 2018, compared to a return of -0.44% for its benchmark, the Bank of America Merrill Lynch 1-3 Year US Corporate & Government Index. The allocations to corporate securities and securitized products were the largest contributors to outperformance, with rates positioning also contributing positively. The Fund invests in futures, swaps, options and forward currency contracts for hedging and investment purposes. The use of these derivatives impacted performance by 0.02%.
The Payden U.S. Government Fund (PYUSX) returned -1.16% for the six months ended April 30, 2018, compared to its benchmark, the ICE Bank of America 1-5 Year U.S Treasury Index which returned – 1.01%. Interest rates have moved steadily higher over the period as the Federal Reserve Board continues to reduce its excess investment from the financial system. The Fund has slightly underperformed its benchmark due to underperformance in mortgage securities as the Federal Reserve Board lowers the volume of mortgages it purchases in efforts to taper its balance sheet. The Fund is structured conservatively to preserve principal as it appears more rate hikes are likely. The Fund did not participate in derivative securities over the period.
Intermediate Duration Bond Strategies
The Payden GNMA Fund (PYGNX) returned -2.24% for the six months ended April 30, 2018, versus the Bank of America Merrill Lynch GNMA Master Index which returned -1.59%. The GNMA mortgage market struggled as volatility returned to both the fixed income and equity markets. Economic expansion and tight labor market conditions have led to a steady climb in interest rates and wider mortgage yield spreads to US Treasury securities. The Federal Reserve Board continues to normalize monetary policy, as the economy moves closer to full employment. The Fund underperformed its benchmark due to an overweight to higher coupon mortgages. Higher coupon mortgages generally will outperform when rates rise. However, in the previous period the yield curve flattened leading to higher prepayments and lower yields. With the expectation that Federal Reserve Board continues to tighten monetary policy, the Fund has moved to a conservative stance relative to the benchmark. The Fund makes use of Eurodollar and US
Semi-Annual Report 1
Treasury futures to hedge yield curve and interest rate exposure. Over the period the net effect of the derivative positions for the Fund’s returns as portions of the rise in rates were 0.05%.
The Payden Core Bond Fund Investor Class (PYCBX) returned -1.44% for the six months ended April 30, 2018, compared to a -1.87% for its benchmark, the Bloomberg Barclays U.S. Aggregate Index. The Fund’s Adviser Class (PYCWX) returned -1.56% for the same period, while the Fund’s SI Class (PYCSX) returned -1.37% for the period January 22, 2018 through April 30, 2018. Total returns across fixed income were impacted negatively by the sharp increase in bond yields. The Fund benefited from its meaningful duration underweight and allocations to investment grade corporates, emerging market debt and securitized bonds. Going forward, the Fund remains meaningfully underweight duration, overweight a diversified mix of credit sectors with distinct sector biases and has lower beta tilts within high yield and emerging market debt. The Fund invests in futures, swaps and forward currency contracts for hedging and investment purposes. Derivatives had a modest impact to performance of -0.04%.
The Payden Corporate Bond Fund (PYACX) returned -1.98% for the six months ended April 30, 2018 compared to a return of -2.48% for its benchmark, the Bloomberg Barclays US Corporate Investment Grade Index. The Fund’s largest contributor to performance was security selection with strong outperformance in energy, consumer non-cyclical, and insurance names. Industry allocation was neutral, with the overweight to financials mildly detracting from performance. This was outweighed by fortuitous industrial sector weights, such as the overweight to consumer non-cyclicals. The Fund’s short duration stance early in the year was also a strong contributor. The Fund utilized a moderate allocation to futures, which affected performance by 0.07%.
The Payden Strategic Income Fund, Investor Class (PYSGX) returned -0.61% for the six months ended April 30, 2018, while its benchmark, the Bloomberg Barclays U.S. Aggregate Index, returned -1.87%. The Fund’s SI Class (PYSIX) returned -0.56% for the same period. The Fund’s primary objective is to maintain an income advantage relative to the broad bond market and to exploit relative value by sector rotation and bond selection. This is achieved by investing primarily in investment grade and high yield corporate bonds, securitized debt and emerging market debt. Total returns across fixed income sectors were impacted negatively by the sharp increase in bond yields. Relative to its benchmark, the Fund benefited from a meaningful duration underweight and overweight allocations to investment grade corporates, emerging market debt and securitized bonds. Going forward, the Fund remains meaningfully underweight duration, overweight a diversified mix of credit sectors with distinct sector biases and has lower beta tilts within high yield and emerging market debt. The Fund invests in futures, credit default swaps and forward currency contracts, for interest rate and credit hedging and investment purposes. The use of derivatives for interest rate hedging purposes added 0.07% to overall performance and helped to contain further downside price risk. The active currency overlay had a modest negative impact of -0.04%.
For the six months ended April 30, 2018, the Payden Absolute Return Bond Fund, Investor Class (PYARX) returned 0.64%, compared to a return of 0.75% for its benchmark, 1-month LIBOR. The Fund’s SI Class (PYAIX) returned 0.82% for the same period. Although market conditions were accentuated by sustained positive economic support, volatility increased across capital markets. With this backdrop, global interest rates were markedly higher with 5-year government bond yields rising in the US by 0.78%, in the UK by 0.34%, in Europe by 0.29% and in Australia by 0.25%. The corresponding tone in risk assets proved positive at first, as equity prices reached new heights and corporate credit risk premiums reached new post-crisis lows. However, sentiment quickly turned as the second half of the period was marked by concerns regarding a pick-up in inflationary pressures and fears of trade wars. Volatility returned to markets, causing equity prices to decline from their highs, relinquishing a majority of their gains, while corporate bond risk premiums increased in sympathy. Simultaneously, the Fund’s benchmark, 1-month Libor, moved higher by 0.46% during the period. The Fund invests in futures, options, swaps and forward currency contracts, for both interest rate and credit risk hedging and investment purposes, with the net effect of 0.13% for the period.
Loan Strategy
The leveraged loan market enjoyed positive performance with little volatility over the six months ended April 30, 2018. With loan issuers continuing to report strong earnings, market fundamentals remained robust. Complementing the fundamentals are positive technicals, as many floating rate funds are seeing inflows and CLO creation remains stout. Loan issuers have taken advantage of the heavy demand by repricing their loans at lower rates and at a record pace. This has resulted in all-time high interest coverage for the average loan company.
2 Payden Mutual Funds
For the six months ended April 30, 2018, the Payden Floating Rate Fund, Investor Class (PYFRX) returned 1.62%, while its SI Class (PYFIX) returned 1.66%. The Fund’s benchmark, the Credit Suisse BB Loan Index, returned 2.19% for the same period. The Fund’s top performers for the period were loans that had sold off in the prior fiscal year. Specifically, JC Penney debt rallied as holiday results were stronger than expected and the loan posted a return of 9.5% for the period. Also showing strength during the period was the oil exploration and production company California Resources, which benefitted as oil prices continued to move higher. These loans returned 5.8% during the period. Detracting from performance were the loans of French cable and telecom provider Altice. The loans returned -3.7% during the period as Altice faced increased competition in the French market. The Fund did not participate in derivative securities during the period.
High Yield Bond Strategy
High-yield bonds returned -0.63% during the six months ended April 30, 2018 as measured by the ICE BofA ML BB/B US Cash Pay High Yield Constrained Index. Rising rates drove bond prices lower, while market volatility increased as a result of trade war-related saber rattling. Even the energy sector, which should have been a bright spot in the high yield market as oil prices generally remained above $60, saw spreads widen. Lower quality bonds outperformed during the review period, largely because they are typically less sensitive to changes in interest rates: BB-rated bonds returned -1.43%, B-rated bonds returned 0.35%, and CCC-rated bonds returned 1.89%.
The Payden High Income Fund (PYHRX) returned -0.58%for the six months ended April 30, 2018. The Fund’s benchmark, the Bank of America Merrill Lynch BB-B High Yield Cash Pay Constrained Index, returned -0.63% for the same period. The top performer for the period was JC Penney. The bonds rallied 17% as holiday results were stronger than expected. Also adding to outperformance was the Fund’s overweight to Valeant Pharmaceuticals. Valeant continues to improve its balance sheet and was recently upgraded out of the CCC index. These bonds returned 8% during the review period. The largest detractor for the review period was Chuck E. Cheese, which returned -6.6% as the company reported consecutive quarters of negative same store sales. The Fund uses credit default swaps to gain short term market exposure when cash inflows are heavy. These positions are nominally small exposures and track the market. The Fund also holds forward currency contracts to both hedge foreign exchange exposure and for investment purposes. Active currency management detracted from the Fund’s relative performance. The use of derivatives impacted performance by -0.03%.
Tax Exempt Bond Strategy
For the six months ended April 30, 2018, the Payden California Municipal Income Fund (PYCRX) returned -0.72%. The Fund’s benchmarks, the Bloomberg Barclays Capital California Intermediate Index and the Bloomberg Barclays 7-Year Municipal Index, returned, respectively, -1.64% and -1.86% for the same period. The municipal yield curve flattened significantly in the final months of 2017 as the market began to price in upcoming Federal Reserve Board hikes, and rich valuations in front-end municipals proved a drag on performance in short-dated municipals. In the opening months of 2018, long-end rates also began moving higher in coordination with US Treasury securities. While the Fund is positioned defensively from a portfolio-level duration standpoint, this shift higher in long rates marginally detracted from the Fund’s performance, given our “barbell” structure emphasizing longer maturity bonds. At the same time, our overweight to short floating-rate structures was a positive contributor. Limited supply and robust demand for municipal securities has created a strong technical backdrop for the market in 2018, and has provided continued support to historically rich valuation levels.
Broad credit quality in the sector continues to improve, despite high profile headlines regarding isolated cases of budget distress, and credit spreads remain compressed. The Fund continues to focus on managing interest-rate risk and is defensively positioned, against policy uncertainty and an environment of rising interest-rates, relative to its benchmarks. A healthy allocation to short maturities and floating-rate securities provides both liquidity and a defensive income stream while the Fund looks to underweight intermediate maturities in the “belly” of the curve and increase income through an allocation to longer maturities.
Global Bond Strategy
For the six months ended April 30, 2018, the Payden Global Fixed Income Fund (PYGFX) returned -0.11%, while its benchmark, Bloomberg Barclays Global Aggregate, returned -0.11% over the same period. Returns were impacted negatively by the sharp increase in treasury bond yields across the globe with the US as the primary mover. The Fund’s tactical currency basket detracted from performance given its tilt toward emerging currencies and bias toward dollar weakness as the dollar strengthened on the heels of credit weakness. The Fund benefited from its duration underweight in the US, Europe and select peripheral markets.
Semi-Annual Report 3
Going forward, the Fund remains meaningfully underweight duration with a bias toward lower yielding currencies, overweight a diversified mix of credit sectors with distinct sector biases and has lower beta tilts within high yield and emerging market debt. The Fund invests in futures, options, swaps and forward currency contracts for hedging and investment purposes. Derivatives had a modest negative impact to performance of roughly -0.04%.
Emerging Market Bond Strategies
For the six months ended April 30, 2018, emerging markets fixed income securities delivered mixed performance. Emerging market hard currency debt experienced negative returns amid rising US Treasury yields, while emerging market local currency debt saw solid, positive returns. Global economic data and subdued global interest rates provided a constructive backdrop for emerging markets from November 2017 through March 2018. However, in April, an appreciating US dollar and the move in US Treasury securities led to increased market volatility. Overall, the asset class was supported by strong inflows and robust primary market activity among sovereign and corporate issuers.
The Payden Emerging Markets Bond Fund, Investor Class (PYEMX) returned -1.61%, the Fund’s Adviser Class (PYEWX) returned -1.72%, and the Fund’s SI Class (PYEIX) returned -1.59% for the six months ended April 30, 2018. The Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, returned -2.41% for the same period. Sovereign selection was the primary contributor to the Fund’s outperformance. Overweight positions in Nigeria, Bahamas, Ghana and Mongolia were positive, as were underweight positions in Mexico and the Philippines. Overweight exposure in Argentina, and avoiding Poland, partially offset the gains. Quasi-sovereign selection was positive, including positioning in Malaysia and Costa Rica, as well as an underweight to Chilean entities; selection within Kazakh and Mexican quasi-sovereigns detracted. An off-benchmark allocation to corporates and local currency denominated debt also added to relative performance. The Fund invests in swaps, futures, options and forward currency contracts for credit, currency and interest rate risk hedging and investment purposes. During the period, the use of derivatives contributed 0.13% to fund performance.
The Payden Emerging Markets Local Bond Fund (PYELX) returned 5.06% for the six months ended April 30, 2018. The Fund’s benchmark, the J.P. Morgan GBI-EM Global Diversified Index, returned 5.15% over the same period. Relative to the benchmark, the Funds benefited from an overweight rates position in South Africa and Brazil, as well as underweight rates positions in Turkey and the Philippines. Off-index local debt positions in Nigeria, Ghana, and Georgia also outperformed. However, an underweight to the intermediate part of the yield curve in Mexico, an overweight rates position in Argentina, and off-index exposure to India more than offset the gains. Overall, currency was a positive contributor. Overweight positions in the Malaysian ringgit, Ukrainian hryvnia, Egyptian pound, and Colombian peso added to returns. An underweight stance in the Romanian leu and an overweight position in the Russian ruble underperformed to offset a portion of currency gains. The Fund invests in swaps, futures, options and forward currency contracts for credit, currency and interest rate risk hedging and investment purposes. During the period, the use of derivatives contributed 0.71% to fund performance.
The Payden Emerging Market Corporate Bond Fund, Investor Class (PYCEX) returned -0.97%, and the Fund’s SI Class (PYCIX) returned -0.92% for the six months ended April 30, 2018. The Fund’s benchmark, the J.P. Morgan CEMBI Broad Diversified Index, returned -1.44% for the period. The Fund’s selection of emerging market corporates was the primary contributor to outperformance, while off-index allocations to sovereigns and local currency bonds also added to returns. Off-index allocations to quasi-sovereigns and developed market corporates performed in line with the benchmark. Within corporates, an overweight stance in Brazilian and Paraguayan entities was positive, as was the selection of credits in Chile, Israel, and Saudi Arabia. Underweight positioning to credits in South Korea, Hong Kong, Malaysia, Singapore, and China also added to performance. The selection of corporates in Indonesia and United Arab Emirates detracted, as did an overweight to Russian corporates early in the period. By sector, selection among consumer credits, infrastructure, real estate, and technology, media and telecommunications were additive to relative performance, while industrials, transports, and metals and mining relative positioning detracted. The Fund invests in swaps, futures, options and forward currency contracts for credit, currency and interest rate risk hedging and investment purposes. During the period, the use of derivatives added 0.19% to fund performance.
U.S. Equity Strategy
The U.S. equity markets posted positive returns for the six-month period ended April 30, 2018 as strength in both corporate earnings and economic data supported stock prices. At the start of the period, equities rallied higher on upbeat earnings results and the approval of tax reform. The S&P 500 index made record highs over the following months, ultimately hitting the high for the period
4 Payden Mutual Funds
in late January. However, market volatility returned in February as the VIX index spiked up to 50 and stocks officially fell into correction territory for the first time in two years. The stock market traded sideways for the remainder of the period as fears of trade wars and rising interest rates were balanced by a stellar first quarter earnings season and further growth in the US economy.
The Payden Equity Income Fund, Investor Class (PYVLX), which is comprised of large-cap value stocks, returned 3.56% for the six months ended April 30, 2018, while the Fund’s Adviser Class (PYVAX) returned 3.47% and SI Class (PYVSX) returned 3.61%. The Fund’s benchmark, the Russell 1000 Value Index, returned 1.92% over the same period. Strong individual stock selection drove the relative outperformance, while security type/sector allocation detracted from performance. Security type allocations, master limited partnerships and preferred stocks were the largest negative contributors. Within common stock sectors, the overweight to information technology was the largest positive contributor, while the underweight to energy was the largest negative contributor. Individual stock selection was strongest in the consumer discretionary sector, but weakest in the utilities sector. The largest positive contributors in the Fund were technology company Cisco Systems and movie theater chain Regal Entertainment. The Fund holds forwards currency contracts to hedge foreign currency exposure from its international stock holdings. These currency forwards negatively impacted performance by -0.13% for the period.
Semi-Annual Report 5
Abbreviations
AGM - Assured Guaranty Municipal Corporation
ARM - Adjustable Rate Mortgage
ARS - Argentine Peso
AUD - Australian Dollar
BAM - Build America Mutual
BRL - Brazilian Real
CAD - Canadian Dollar
CDOR - Canadian Dealer Offered Rate
CZK - Czech Koruna
EUR - Euro
EURIBOR - Euro Interbank Offered Rate
FDIC - Federal Deposit Insurance Corporation
FFCB - Federal Farm Credit Bank
FG - Freddie Mac Gold Pool
FH - Freddie Mac Non Gold Pool
FHLB - Federal Home Loan Banks
FHLMC - Federal Home Loan Mortgage Company (Freddie Mac)
FN - Fannie Mae Pool
FNMA - Federal National Mortgage Association (Fannie Mae)
FNR - Fannie Mae REMICS
G2 - Ginnie Mae II pool
GBP - British Pound
GN - Ginnie Mae I pool
GNR - Ginnie Mae REMICS
IDR - Indonesian Rupiah
JPY - Japanese Yen
LIBOR - London Interbank Offered Rate
MXN - Mexican Peso
MYR - Malaysian Ringgit
NCUA - National Credit Union Administration
NOK - Norwegian Krone
PEN - Peruvian Sol
PLN - Polish Zloty
RUB - Russian Ruble
TRY - Turkish Lira
USD - US Dollar
ZAR - South African Rand
6 Payden Mutual Funds
| | | | | | | | | | |
The Fund seeks stability, liquidity and current income by generally investing in the highest quality, short term securities with an average portfolio maturity not to exceed 90 days. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Repurchase Agreement | | | 33% | | |
| | U.S. Government Agency | | | 32% | | |
| | U.S. Treasury | | | 30% | | |
| | Mortgage Backed | | | 4% | | |
| | Other | | | 1% | | |
| | | | | | | |
| | | | | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
U.S. Government Agency (32%) | | | | |
15,000,000 | | FFCB, (3 mo. LIBOR USD + 0.000%)
1.80%, 5/09/18 (a) | | $ | 15,001 | |
5,000,000 | | FFCB, (1 mo. LIBOR USD + 0.100%)
1.82%, 8/08/18 (a) | | | 5,000 | |
10,000,000 | | FFCB, (1 mo. LIBOR USD + 0.070%)
1.82%, 4/18/19 (a) | | | 10,001 | |
20,000,000 | | FFCB, (3 mo. LIBOR USD + 0.035%)
1.99%, 9/04/18 (a) | | | 20,010 | |
5,800,000 | | FFCB, (3 mo. LIBOR USD + 0.010%)
2.35%, 10/19/18 (a) | | | 5,806 | |
1,195,000 | | FFCB Disc Note, 1.76%, 6/06/18 (b) | | | 1,193 | |
5,000,000 | | FFCB Disc Note, 2.14%, 12/13/18 (b) | | | 4,947 | |
10,000,000 | | FHLB, (1 mo. LIBOR USD + 0.130%)
1.77%, 10/10/18 (a) | | | 9,999 | |
10,000,000 | | FHLB Disc Note, 0.00%, 5/01/18 (b) | | | 10,000 | |
6,510,000 | | FHLB Disc Note, 1.72%, 5/04/18 (b) | | | 6,509 | |
4,430,000 | | FHLB Disc Note, 1.72%, 5/16/18 (b) | | | 4,428 | |
5,000,000 | | FHLB Disc Note, 1.76%, 6/13/18 (b) | | | 4,991 | |
1,000,000 | | FHLB Disc Note, 1.94%, 8/30/18 (b) | | | 996 | |
Total U.S. Government Agency (Cost - $98,881) | | | 98,881 | |
| |
Mortgage Backed (4%) | | | | |
11,241,829 | | Fannie Mae-Aces, (1 mo. LIBOR USD
+ 0.210%) 2.03%, 9/25/18 (a)
(Cost - $11,230) | | | 11,230 | |
| |
NCUA Guaranteed (0%) | | | | |
509,511 | | NCUA Guaranteed Notes Trust 2011-R1, (1 mo. LIBOR USD + 0.450%) 2.33%, 1/08/20 (a) | | | 511 | |
Total NCUA Guaranteed (Cost - $511) | | | 511 | |
| |
U.S. Treasury (30%) | | | | |
10,000,000 | | U.S. Treasury Bill, 1.58%, 5/03/18 (b) | | | 9,999 | |
15,000,000 | | U.S. Treasury Bill, 1.78%, 7/05/18 (b) | | | 14,954 | |
10,000,000 | | U.S. Treasury Bill, 1.86%, 8/02/18 (b) | | | 9,959 | |
10,000,000 | | U.S. Treasury Bill, 1.98%, 10/04/18 (b) | | | 9,919 | |
10,000,000 | | U.S. Treasury Bill, 2.01%, 10/25/18 (b) | | | 9,904 | |
10,000,000 | | U.S. Treasury Note, (3 mo. US Treasury Bill Yield + 0.070%) 1.91%, 4/30/19 (a) | | | 10,010 | |
10,000,000 | | U.S. Treasury Note, (3 mo. US Treasury Bill Yield + 0.140%) 1.98%, 1/31/19 (a) | | | 10,010 | |
10,000,000 | | U.S. Treasury Note, (3 mo. US Treasury Bill Yield + 0.170%) 2.01%, 10/31/18 (a) | | | 10,013 | |
10,000,000 | | U.S. Treasury Note, (3 mo. US Treasury Bill Yield + 0.174%) 2.02%, 7/31/18 (a) | | | 10,007 | |
Total U.S. Treasury (Cost - $94,775) | | | 94,775 | |
| |
Investment Company (1%) | | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
4,248,521 | | Dreyfus Treasury & Agency Cash Management, Institutional Shares
(Cost - $4,249) | | $ | 4,249 | |
Repurchase Agreement (34%) | | | | |
35,000,000 | | Bank of Montreal Tri Party, 1.67% 5/01/18 (c) | | | 35,000 | |
35,000,000 | | Citigroup Tri Party, 1.67% 5/03/18 (d) | | | 35,000 | |
35,000,000 | | Goldman Sachs Tri Party, 1.67% 5/01/18 (e) | | | 35,000 | |
Total Repurchase Agreement (Cost - $105,000) | | | 105,000 | |
| |
Total Investments (Cost - $314,646) (101%) | | | 314,646 | |
Assets in excess of Other Liabilities (-1%) | | | (3,097 | ) |
Net Assets (100%) | | $ | 311,549 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (b) | Yield to maturity at time of purchase. |
| (c) | The repurchase agreement dated 4/30/2018 is collateralized by the following securities: |
| | | | | | |
Bank of Montreal Tri Party | |
716 | | FNMA, maturity dated October 19, yielding 0.00% | | $ | 1 | |
579,929 | | GNMA, maturity dated May 42, yielding 3.50% | | | 409 | |
35,286,000 | | U.S. Treasury Securities, maturity from May 18-May 43, yielding from 0.00%-8.88% | | | 35,290 | |
| | | | | | |
| | | | $ | 35,700 | |
| | | | | | |
| (d) | The repurchase agreement dated 4/30/2018 is collateralized by the following securities: |
| | | | | | |
Citigroup Tri Party | |
25,664,000 | | U.S. Treasury Note, maturity dated August 18, yielding 0.00% | | $ | 25,500 | |
| | | | | | |
| (e) | The repurchase agreement dated 4/24/2018 is collateralized by the following securities: |
| | | | | | |
Goldman Sachs Tri Party | |
304,617,193 | | FMAC, maturity from May 18-Dec 46, yielding from 2.00%-9.50% | | | $6,162 | |
688,742,886 | | FNMA, maturity from May 18-Feb 48, yielding from 2.00%-10.00% | | | 27,982 | |
2,980,617 | | GNMA, maturity from February 34-March 48, yielding from 3.00%-5.00% | | | 1,556 | |
| | | | | | |
| | | | $ | 35,700 | |
| | | | | | |
Semi-Annual Report 7
Offsetting Assets and Liabilities
The Fund’s investments in repurchase agreements were all subject to enforceable Master Repurchase Agreements. Repurchase Agreements on a gross basis were as follows:
| | | | |
Repurchase Agreement | | Value (000’s) | |
| |
| Total gross amount of repurchase agreements presented on the Statements of Assets and Liabilities | | | $105,000 | |
Non-cash Collateral | | | (35,000 | ) |
| | | | |
Net Amount | | | $70,000 | |
| | | | |
See notes to financial statements.
8 Payden Mutual Funds
| | | | | | | | | | |
The Fund seeks a total return greater than a money market fund along with the preservation of capital by generally investing in investment grade debt securities with a maximum average portfolio maturity not to exceed two years. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Corporate | | | 55% | | |
| | U.S. Treasury | | | 15% | | |
| | Asset Backed | | | 12% | | |
| | Mortgage Backed | | | 8% | | |
| | Other | | | 10% | | |
| | | | | | | |
| | | | | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| Asset Backed (12%) | | | | |
3,300,000 | | Barings CLO Ltd. 2013-I 144A, (3 mo. LIBOR
USD + 0.800%) 3.16%, 1/20/28 (a)(b) | | $ | 3,301 | |
1,535,794 | | BlueMountain CLO 2013-4 Ltd. 144A, (3 mo.
LIBOR USD + 1.010%) 3.36%, 4/15/25 (a)(b) | | | 1,539 | |
4,000,000 | | BlueMountain CLO 2014-4 Ltd. 144A, (3 mo. | | | | |
| | LIBOR USD + 1.350%) 3.33%, 11/30/26 (a)(b) | | | 4,003 | |
170,065 | | Capital Auto Receivables Asset Trust 2014-1,
3.39%, 7/22/19 | | | 170 | |
1,330,138 | | Cent CLO 18 Ltd. 144A, (3 mo. LIBOR USD
+ 1.120%) 3.48%, 7/23/25 (a)(b) | | | 1,335 | |
171,855 | | CNH Equipment Trust 2014-
C, 1.05%, 11/15/19 | | | 172 | |
189,632 | | CNH Equipment Trust 2015-B, 1.37%, 7/15/20 | | | 189 | |
3,726,378 | | Colony Starwood Homes 2016-2 Trust 144A, (1
mo. LIBOR USD + 1.250%)
3.17%, 12/17/33 (a)(b) | | | 3,758 | |
2,217,211 | | Commonbond Student Loan Trust 2017-A-GS
144A, (1 mo. LIBOR USD + 0.850%)
2.75%, 5/25/41 (a)(b) | | | 2,236 | |
1,758,632 | | Dell Equipment Finance Trust 2017-1 144A,
1.86%, 6/24/19 (b) | | | 1,755 | |
2,300,000 | | First Investors Auto Owner Trust 2016-2 144A, 1.87%, 11/15/21 (b) | | | 2,279 | |
1,640,000 | | First Investors Auto Owner Trust 2017-1 144A, 2.20%, 3/15/22 (b) | | | 1,625 | |
90,810 | | GSAMP Trust 2004-SEA2, (1 mo. LIBOR USD
+ 0.650%) 2.55%, 3/25/34 (a) | | | 91 | |
1,381,896 | | Invitation Homes 2015-SFR3 Trust 144A, (1
mo. LIBOR USD + 1.300%)
3.20%, 8/17/32 (a)(b) | | | 1,386 | |
108,831 | | Kubota Credit Owner Trust 2016-1 144A,
1.25%, 4/15/19 (b) | | | 109 | |
1,740,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo.
LIBOR USD + 0.950%) 3.31%, 4/19/30 (a)(b) | | | 1,740 | |
5,740,000 | | Madison Park Funding XIV Ltd. 144A, (3 mo. LIBOR USD + 1.120%) 3.48%, 7/20/26 (a)(b) | | | 5,747 | |
600,000 | | Magnetite IX Ltd. 144A, (3 mo. LIBOR USD
+ 1.000%) 3.36%, 7/25/26 (a)(b) | | | 600 | |
6,800,000 | | Magnetite VII Ltd. 144A, (3 mo. LIBOR USD
+ 0.800%) 3.15%, 1/15/28 (a)(b) | | | 6,792 | |
4,819,181 | | Nissan Auto Lease Trust 2017-B,
1.83%, 12/16/19 | | | 4,794 | |
4,000,000 | | Nissan Master Owner Trust Receivables,
1.54%, 6/15/21 | | | 3,948 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
815,000 | | Octagon Investment Partners XXIII Ltd. 144A,
(3 mo. LIBOR USD + 0.850%)
3.11%, 7/15/27 (a)(b) | | | $ 815 | |
1,389,356 | | OSCAR US Funding Trust VII LLC 144A,
2.13%, 11/10/20 (b) | | | 1,383 | |
2,600,000 | | Penarth Master Issuer PLC 144A, (1 mo. LIBOR USD + 0.380%) 2.21%, 3/18/22 (a)(b) | | | 2,600 | |
318,486 | | Santander Drive Auto Receivables Trust 2014-3, 2.65%, 8/17/20 | | | 319 | |
900,000 | | Santander Drive Auto Receivables Trust 2016-2, 2.08%, 2/16/21 | | | 898 | |
4,410,000 | | Santander Drive Auto Receivables Trust 2017-1, 2.10%, 6/15/21 | | | 4,389 | |
4,620,822 | | SMB Private Education Loan Trust 2017-A
144A, (1 mo. LIBOR USD + 0.450%)
2.35%, 6/17/24 (a)(b) | | | 4,626 | |
1,961,231 | | Sofi Consumer Loan Program 2017-5 LLC 144A, 2.14%, 9/25/26 (b) | | | 1,948 | |
1,375,756 | | Sofi Consumer Loan Program 2017-6 LLC 144A, 2.20%, 11/25/26 (b) | | | 1,369 | |
3,640,694 | | Sofi Consumer Loan Program 2018-1 Trust
144A, 2.55%, 2/25/27 (b) | | | 3,626 | |
663,974 | | SoFi Professional Loan Program 2017-D LLC
144A, 1.72%, 9/25/40 (b) | | | 659 | |
5,855,000 | | Symphony CLO XV Ltd. 144A, (3 mo. LIBOR
USD + 1.180%) 3.53%, 10/17/26 (a)(b) | | | 5,863 | |
2,073,750 | | Taco Bell Funding LLC 144A,
3.83%, 5/25/46 (b) | | | 2,086 | |
2,777,156 | | Towd Point Mortgage Trust 2017-5 144A, (1
mo. LIBOR USD + 0.600%)
2.50%, 2/25/57 (a)(b) | | | 2,796 | |
2,744,273 | | Toyota Auto Receivables 2016-B Owner Trust, 1.30%, 4/15/20 | | | 2,728 | |
3,330,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%) 3.24%, 4/15/29 (a)(b) | | | 3,330 | |
7,500,000 | | Verizon Owner Trust 2016-1 144A,
1.42%, 1/20/21 (b) | | | 7,445 | |
4,426,965 | | Volvo Financial Equipment LLC Series 2016-1 144A, 1.67%, 2/18/20 (b) | | | 4,411 | |
897,136 | | Wheels SPV 2 LLC 144A, 1.59%, 5/20/25 (b) | | | 892 | |
Total Asset Backed (Cost - $99,935) | | | 99,752 | |
| |
Bank Loans(c) (0%) | | | | |
241,496 | | VFH Parent LLC Term Loan B1 1L, (LIBOR
USD 1-Month + 3.250%) 5.56%, 12/30/21 | | | 245 | |
495,000 | | Zayo Group LLC Term Loan B1 1L, (LIBOR
USD 1-Month + 2.000%) 3.90%, 1/19/21 | | | 498 | |
Total Bank Loans (Cost - $735) | | | 743 | |
Semi-Annual Report 9
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Commercial Paper (6%) | | | | |
7,800,000 | | Alberta Province, 0.00%, 5/17/18 (d) | | $ | 7,793 | |
7,000,000 | | Kansas City Power & LT, 0.00%, 5/09/18 (d) | | | 6,996 | |
7,000,000 | | PPL Capital Funding Inc., 0.00%, 5/11/18 (d) | | | 6,995 | |
7,800,000 | | Simon Property GRP LP, 0.00%, 5/23/18 (d) | | | 7,791 | |
7,000,000 | | Societe Generale, 0.00%, 5/31/18 (d) | | | 6,989 | |
7,691,000 | | Spectra Energy Partners, 0.00%, 5/03/18 (d) | | | 7,690 | |
| | | | | | |
Total Commercial Paper (Cost - $44,255) | | | 44,254 | |
| | | | | | |
Corporate Bond (55%) | | | | |
Financial (32%) | | | | |
2,530,000 | | ABN AMRO Bank NV 144A,
2.10%, 1/18/19 (b) | | | 2,520 | |
3,580,000 | | ABN AMRO Bank NV 144A, (3 mo. LIBOR USD + 0.410%) 2.77%, 1/19/21 (a)(b) | | | 3,586 | |
2,620,000 | | ABN AMRO Bank NV 144A, (3 mo. LIBOR USD + 0.640%) 3.00%, 1/18/19 (a)(b) | | | 2,630 | |
1,500,000 | | African Export-Import Bank,
4.75%, 7/29/19 (e) | | | 1,512 | |
1,900,000 | | Air Lease Corp., 2.63%, 9/04/18 | | | 1,900 | |
1,240,000 | | American Express Co., (3 mo. LIBOR USD + 0.590%) 2.49%, 5/22/18 (a) | | | 1,240 | |
760,000 | | American Express Credit Corp., 1.88%, 5/03/19 | | | 754 | |
1,793,000 | | American Express Credit Corp., (3 mo. LIBOR USD + 0.700%) 2.72%, 3/03/22 (a) | | | 1,806 | |
3,935,000 | | Ares Capital Corp., 4.88%, 11/30/18 | | | 3,974 | |
2,030,000 | | Assurant Inc., (3 mo. LIBOR USD + 1.250%) 3.54%, 3/26/21 (a) | | | 2,040 | |
950,000 | | Astoria Financial Corp., 3.50%, 6/08/20 | | | 946 | |
1,760,000 | | Athene Global Funding 144A, (3 mo. LIBOR USD + 1.140%) 3.50%, 4/20/20 (a)(b) | | | 1,786 | |
3,095,000 | | Athene Global Funding 144A, (3 mo. LIBOR USD + 1.230%) 3.54%, 7/01/22 (a)(b) | | | 3,157 | |
4,665,000 | | Australia & New Zealand Banking Group Ltd. 144A, (3 mo. LIBOR USD + 0.250%) 2.43%, 12/19/19 (a)(b) | | | 4,667 | |
1,930,000 | | Australia & New Zealand Banking Group Ltd. 144A, (3 mo. LIBOR USD + 0.750%) 2.60%, 11/16/18 (a)(b) | | | 1,936 | |
3,330,000 | | Australia & New Zealand Banking Group Ltd. 144A, (3 mo. LIBOR USD + 0.320%) 2.69%, 11/09/20 (a)(b) | | | 3,334 | |
2,930,000 | | AvalonBay Communities Inc., (3 mo. LIBOR USD + 0.430%) 2.78%, 1/15/21 (a) | | | 2,933 | |
290,000 | | Banco de Credito del Peru/Panama 144A, 2.25%, 10/25/19 (b) | | | 288 | |
1,665,000 | | Banco del Estado de Chile 144A, 2.67%, 1/08/21 (b) | | | 1,628 | |
3,585,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.650%) 2.96%, 10/01/21 (a) | | | 3,605 | |
3,048,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.660%) 3.02%, 7/21/21 (a) | | | 3,066 | |
2,000,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.000%) 3.36%, 4/24/23 (a) | | | 2,029 | |
1,810,000 | | Bank of Montreal, 1.35%, 8/28/18 | | | 1,804 | |
1,530,000 | | Bank of Montreal, (3 mo. LIBOR USD + 0.790%) 2.75%, 8/27/21 (a) | | | 1,547 | |
3,970,000 | | Bank of Nova Scotia, (3 mo. LIBOR USD + 0.440%) 2.80%, 4/20/21 (a) | | | 3,984 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,800,000 | | Bank of Tokyo-Mitsubishi UFJ Ltd./The 144A, | | | | |
| | 2.35%, 9/08/19 (b) | | $ | 2,776 | |
5,150,000 | | Banque Federative du Credit Mutuel SA 144A, | | | | |
| | 2.00%, 4/12/19 (b) | | | 5,114 | |
1,925,000 | | Banque Federative du Credit Mutuel SA
144A, (3 mo. LIBOR USD + 0.490%) | | | | |
| | 2.85%, 7/20/20 (a)(b) | | | 1,933 | |
3,565,000 | | Barclays Bank PLC, (3 mo. LIBOR USD | | | | |
| | + 0.460%) 2.80%, 1/11/21 (a) | | | 3,573 | |
1,330,000 | | BNZ International Funding Ltd./London 144A, | | | | |
| | (3 mo. LIBOR USD + 0.700%) | | | | |
| | 2.59%, 2/21/20 (a)(b) | | | 1,339 | |
2,730,000 | | BPCE SA, (3 mo. LIBOR USD + 0.880%) | | | | |
| | 2.86%, 5/31/22 (a) | | | 2,759 | |
1,090,000 | | BPCE SA 144A, (3 mo. LIBOR USD + 1.220%) | | | | |
| | 3.12%, 5/22/22 (a)(b) | | | 1,109 | |
5,000,000 | | Capital One Bank USA NA, 2.30%, 6/05/19 | | | 4,963 | |
2,065,000 | | Capital One Financial Corp., (3 mo. LIBOR USD + 0.950%) 3.01%, 3/09/22 (a) | | | 2,074 | |
2,195,000 | | Citibank NA, (3 mo. LIBOR USD + 0.340%) | | | | |
| | 2.54%, 3/20/19 (a) | | | 2,199 | |
2,000,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.930%) | | | | |
| | 2.96%, 6/07/19 (a) | | | 2,014 | |
1,580,000 | | Citigroup Inc., (3 mo. LIBOR USD + 1.070%) | | | | |
| | 3.12%, 12/08/21 (a) | | | 1,605 | |
860,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.790%) | | | | |
| | 3.13%, 1/10/20 (a) | | | 866 | |
1,990,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.960%) | | | | |
| | 3.32%, 4/25/22 (a) | | | 2,022 | |
310,000 | | Citizens Bank NA/Providence RI, | | | | |
| | 2.30%, 12/03/18 | | | 310 | |
4,635,000 | | Citizens Bank NA/Providence RI, (3 mo. LIBOR USD + 0.570%) 2.51%, 5/26/20 (a) | | | 4,662 | |
1,345,000 | | Citizens Bank NA/Providence RI, (3 mo. LIBOR USD + 0.540%) 2.56%, 3/02/20 (a) | | | 1,347 | |
2,000,000 | | Commonwealth Bank of Australia 144A, (3 mo. | | | | |
| | LIBOR USD + 0.400%) 2.58%, 9/18/20 (a)(b) | | | 2,007 | |
790,000 | | Commonwealth Bank of Australia/New York NY, 1.75%, 11/02/18 | | | 787 | |
4,320,000 | | Credit Agricole SA/London 144A, | | | | |
| | 2.50%, 4/15/19 (b) | | | 4,313 | |
1,800,000 | | Credit Agricole SA/London 144A, (3 mo. LIBOR | | | | |
| | USD + 0.970%) 3.04%, 6/10/20 (a)(b) | | | 1,825 | |
1,090,000 | | Credit Agricole SA/London 144A, (3 mo. LIBOR USD + 0.800%) 3.15%, 4/15/19 (a)(b) | | | 1,097 | |
1,965,000 | | Danske Bank A/S 144A, (3 mo. LIBOR USD | | | | |
| | + 0.510%) 2.53%, 3/02/20 (a)(b) | | | 1,975 | |
1,900,000 | | DBS Group Holdings Ltd. 144A, (3 mo. LIBOR USD + 0.490%) 2.54%, 6/08/20 (a)(b) | | | 1,904 | |
3,080,000 | | Deutsche Bank AG/New York NY, (3 mo. | | | | |
| | LIBOR USD + 0.820%) 3.18%, 1/22/21 (a) | | | 3,066 | |
8,000,000 | | Dexia Credit Local SA 144A, (3 mo. LIBOR USD + 0.320%) 2.34%, 9/04/20 (a)(b) | | | 8,026 | |
10 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,585,000 | | DNB Bank ASA 144A, (3 mo. LIBOR USD + 0.370%) 2.68%, 10/02/20 (a)(b) | | $ | 2,592 | |
3,800,000 | | Federation des Caisses Desjardins du Quebec 144A, (3 mo. LIBOR USD + 0.330%)
2.69%, 10/30/20 (a)(b) | | | 3,805 | |
2,616,000 | | Fifth Third Bank/Cincinnati OH,
2.15%, 8/20/18 | | | 2,613 | |
540,000 | | Fifth Third Bank/Cincinnati OH,
2.30%, 3/15/19 | | | 539 | |
2,665,000 | | Fifth Third Bank/Cincinnati OH, (3 mo. LIBOR USD + 0.250%) 2.61%, 10/30/20 (a) | | | 2,660 | |
1,870,000 | | Fifth Third Bank/Cincinnati OH, (3 mo. LIBOR USD + 0.590%) 2.88%, 9/27/19 (a) | | | 1,879 | |
980,000 | | FS Investment Corp., 4.25%, 1/15/20 (f) | | | 978 | |
2,035,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 0.730%) 3.02%, 12/27/20 (a) | | | 2,046 | |
1,590,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 1.040%) 3.40%, 4/25/19 (a) | | | 1,601 | |
2,850,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 1.110%) 3.47%, 4/26/22 (a) | | | 2,890 | |
1,325,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 1.170%) 3.51%, 11/15/21 (a) | | | 1,345 | |
620,000 | | HSBC USA Inc., (3 mo. LIBOR USD + 0.880%) 3.17%, 9/24/18 (a) | | | 622 | |
480,000 | | Huntington National Bank, 2.20%, 11/06/18 | | | 479 | |
1,315,000 | | Huntington National Bank, (3 mo. LIBOR USD + 0.510%) 2.58%, 3/10/20 (a) | | | 1,319 | |
770,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 2/01/22 | | | 787 | |
1,895,000 | | Industrial & Commercial Bank of China Ltd./New York, (3 mo. LIBOR USD + 0.750%)
3.11%, 11/08/20 (a) | | | 1,897 | |
1,320,000 | | ING Bank NV 144A, 2.00%, 11/26/18 (b) | | | 1,315 | |
755,000 | | ING Groep NV, (3 mo. LIBOR USD + 1.150%) 3.45%, 3/29/22 (a) | | | 772 | |
3,185,000 | | International Lease Finance Corp.,
6.25%, 5/15/19 | | | 3,290 | |
2,700,000 | | Intesa Sanpaolo SpA/New York NY,
2.39%, 1/07/19 | | | 2,695 | |
440,000 | | iStar Inc., 4.63%, 9/15/20 | | | 439 | |
2,100,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 0.550%) 2.61%, 3/09/21 (a) | | | 2,110 | |
2,505,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 0.680%) 2.69%, 6/01/21 (a) | | | 2,521 | |
1,600,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 0.955%) 3.32%, 1/23/20 (a) | | | 1,621 | |
640,000 | | KeyBank NA/Cleveland OH, 2.35%, 3/08/19 | | | 639 | |
1,250,000 | | Macquarie Group Ltd. 144A,
3.00%, 12/03/18 (b) | | | 1,252 | |
3,875,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.020%) 3.00%, 11/28/23 (a)(b) | | | 3,891 | |
550,000 | | Metropolitan Life Global Funding I 144A,
1.95%, 12/03/18 (b) | | | 548 | |
2,425,000 | | Metropolitan Life Global Funding I 144A, (3 mo. LIBOR USD + 0.230%)
2.56%, 1/08/21 (a)(b) | | | 2,427 | |
520,000 | | Mitsubishi UFJ Financial Group Inc., (3 mo. LIBOR USD + 0.920%) 2.82%, 2/22/22 (a) | | | 527 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
1,700,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 0.940%) 2.92%, 2/28/22 (a) | | $ | 1,725 | |
2,460,000 | | Mizuho Securities USA LLC 144A, (3 mo. LIBOR USD + 0.650%) 2.94%, 6/28/19 (a)(b) | | | 2,467 | |
940,000 | | Morgan Stanley, 2.45%, 2/01/19 | | | 939 | |
1,570,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.740%) 3.10%, 7/23/19 (a) | | | 1,578 | |
1,145,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.800%) 3.16%, 2/14/20 (a) | | | 1,149 | |
2,605,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.930%) 3.29%, 7/22/22 (a) | | | 2,637 | |
1,925,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.180%) 3.54%, 1/20/22 (a) | | | 1,955 | |
750,000 | | National Australia Bank Ltd. 144A, (3 mo. LIBOR USD + 0.510%) 2.41%, 5/22/20 (a)(b) | | | 754 | |
3,500,000 | | National Australia Bank Ltd. 144A, (3 mo. LIBOR USD + 1.000%) 3.34%, 7/12/21 (a)(b) | | | 3,565 | |
2,080,000 | | Nederlandse Waterschapsbank NV 144A,
0.88%, 7/13/18 (b) | | | 2,075 | |
930,000 | | New York Life Global Funding 144A,
1.55%, 11/02/18 (b) | | | 926 | |
1,070,000 | | Nordea Bank AB 144A, (3 mo. LIBOR USD + 0.840%) 3.02%, 9/17/18 (a)(b) | | | 1,073 | |
3,755,000 | | Regions Bank/Birmingham AL, (3 mo. LIBOR USD + 0.380%) 2.69%, 4/01/21 (a) | | | 3,757 | |
640,000 | | Reliance Standard Life Global Funding II 144A, 2.15%, 10/15/18 (b) | | | 638 | |
1,920,000 | | Royal Bank of Canada, 1.63%, 4/15/19 | | | 1,902 | |
4,375,000 | | Royal Bank of Canada, (3 mo. LIBOR USD + 0.390%) 2.75%, 4/30/21 (a) | | | 4,383 | |
3,145,000 | | Royal Bank of Scotland Group PLC, (3 mo. LIBOR USD + 1.470%) 3.81%, 5/15/23 (a) | | | 3,187 | |
595,000 | | Santander UK PLC, 2.50%, 3/14/19 | | | 594 | |
3,350,000 | | Santander UK PLC, (3 mo. LIBOR USD + 0.300%) 2.65%, 11/03/20 (a) | | | 3,349 | |
1,155,000 | | SLM Corp., 5.13%, 4/05/22 | | | 1,169 | |
1,120,000 | | Standard Chartered PLC 144A, (3 mo. LIBOR USD + 1.130%) 3.01%, 8/19/19 (a)(b) | | | 1,131 | |
690,000 | | Starwood Property Trust Inc. 144A,
3.63%, 2/01/21 (b) | | | 680 | |
5,850,000 | | Sumitomo Mitsui Banking Corp.,
2.45%, 1/10/19 | | | 5,845 | |
985,000 | | Sumitomo Mitsui Banking Corp., (3 mo. LIBOR USD + 0.350%) 2.70%, 1/17/20 (a) | | | 986 | |
1,270,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A,
2.05%, 3/06/19 (b) | | | 1,262 | |
1,845,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, (3 mo. LIBOR USD + 0.510%) 2.54%, 3/06/19 (a)(b) | | | 1,849 | |
1,675,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, (3 mo. LIBOR USD + 0.440%) 2.62%, 9/19/19 (a)(b) | | | 1,677 | |
490,000 | | Synchrony Financial, 2.60%, 1/15/19 | | | 489 | |
1,615,000 | | Toronto-Dominion Bank, 1.95%, 1/22/19 | | | 1,609 | |
500,000 | | Toronto-Dominion Bank, (3 mo. LIBOR USD + 0.650%) 3.01%, 8/13/19 (a) | | | 503 | |
Semi-Annual Report 11
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,110,000 | | UBS AG/London 144A, (3 mo. LIBOR USD + 0.480%) 2.49%, 12/01/20 (a)(b) | | $ | 2,114 | |
2,320,000 | | UBS AG/London 144A, (3 mo. LIBOR USD + 0.580%) 2.63%, 6/08/20 (a)(b) | | | 2,330 | |
5,375,000 | | Wells Fargo & Co., (3 mo. LIBOR USD + 0.930%) 3.29%, 2/11/22 (a) | | | 5,433 | |
3,750,000 | | Wells Fargo Bank NA, (3 mo. LIBOR USD + 0.310%) 2.66%, 1/15/21 (a) | | | 3,753 | |
990,000 | | Westpac Banking Corp., (3 mo. LIBOR USD + 0.560%) 2.44%, 8/19/19 (a) | | | 995 | |
2,105,000 | | Westpac Banking Corp., (3 mo. LIBOR USD + 0.430%) 2.46%, 3/06/20 (a) | | | 2,114 | |
2,710,000 | | Westpac Banking Corp., (3 mo. LIBOR USD + 0.340%) 2.70%, 1/25/21 (a) | | | 2,714 | |
2,020,000 | | Westpac Banking Corp., (3 mo. LIBOR USD + 0.850%) 2.73%, 8/19/21 (a) | | | 2,049 | |
| | | | | | |
| | | | | 253,791 | |
| | | | | | |
Industrial (16%) | | | | |
1,350,000 | | Aetna Inc., 1.70%, 6/07/18 | | | 1,349 | |
1,000,000 | | Air Canada 2013-1 Class C Pass-Through Trust 144A, 6.63%, 5/15/18 (b) | | | 1,004 | |
1,570,000 | | Alimentation Couche-Tard Inc. 144A, (3 mo. LIBOR USD + 0.500%)
2.59%, 12/13/19 (a)(b) | | | 1,572 | |
900,000 | | American Honda Finance Corp.,
1.20%, 7/12/19 | | | 884 | |
1,160,000 | | Amgen Inc., (3 mo. LIBOR USD + 0.450%) 2.81%, 5/11/20 (a) | | | 1,167 | |
2,000,000 | | Anthem Inc., 2.25%, 8/15/19 | | | 1,981 | |
500,000 | | APRR SA, (3 mo. EURIBOR + 0.750%)
0.42%, 3/31/19 EUR (a)(e)(g) | | | 608 | |
1,500,000 | | AT&T Inc., 2.30%, 3/11/19 | | | 1,497 | |
400,000 | | AutoZone Inc., 1.63%, 4/21/19 | | | 396 | |
3,080,000 | | BAT Capital Corp. 144A, (3 mo. LIBOR USD + 0.590%) 2.95%, 8/14/20 (a)(b) | | | 3,096 | |
2,020,000 | | Becton Dickinson and Co., (3 mo. LIBOR USD + 0.875%) 2.94%, 12/29/20 (a) | | | 2,025 | |
3,135,000 | | Becton Dickinson and Co., (3 mo. LIBOR USD + 1.030%) 3.06%, 6/06/22 (a) | | | 3,160 | |
620,000 | | BMW U.S. Capital LLC 144A, 1.50%, 4/11/19 (b) | | | 614 | |
1,850,000 | | Bristol-Myers Squibb Co., 1.60%, 2/27/19 | | | 1,836 | |
2,245,000 | | Broadcom Corp./Broadcom Cayman Finance Ltd., 2.38%, 1/15/20 | | | 2,214 | |
1,145,000 | | Cardinal Health Inc., 1.95%, 6/14/19 | | | 1,134 | |
1,645,000 | | Caterpillar Financial Services Corp., (3 mo. LIBOR USD + 0.280%) 2.53%, 3/22/19 (a) | | | 1,649 | |
1,465,000 | | Caterpillar Financial Services Corp., (3 mo. LIBOR USD + 0.510%) 2.85%, 1/10/20 (a) | | | 1,476 | |
3,020,000 | | Central Nippon Expressway Co. Ltd.,
2.17%, 8/05/19 (e) | | | 2,997 | |
3,545,000 | | Conagra Brands Inc., (3 mo. LIBOR USD + 0.500%) 2.83%, 10/09/20 (a) | | | 3,551 | |
3,417,000 | | Corp Nacional del Cobre de Chile 144A,
7.50%, 1/15/19 (b) | | | 3,515 | |
1,840,000 | | CVS Health Corp., 1.90%, 7/20/18 | | | 1,838 | |
1,095,000 | | CVS Health Corp., (3 mo. LIBOR USD + 0.630%) 2.69%, 3/09/20 (a) | | | 1,100 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
1,275,000 | | CVS Health Corp., (3 mo. LIBOR USD + 0.720%) 2.78%, 3/09/21 (a) | | $ | 1,287 | |
1,330,000 | | Daimler Finance North America LLC 144A,
1.50%, 7/05/19 (b) | | | 1,309 | |
1,460,000 | | Daimler Finance North America LLC 144A, (3 mo. LIBOR USD + 0.530%)
2.89%, 5/05/20 (a)(b) | | | 1,468 | |
4,500,000 | | Daimler Finance North America LLC 144A, (3 mo. LIBOR USD + 0.620%)
2.98%, 10/30/19 (a)(b) | | | 4,528 | |
200,000 | | Dell International LLC/EMC Corp. 144A,
5.88%, 6/15/21 (b) | | | 206 | |
2,430,000 | | Delta Air Lines Inc., 2.60%, 12/04/20 | | | 2,385 | |
1,425,000 | | Deutsche Telekom International Finance BV 144A, (3 mo. LIBOR USD + 0.580%)
2.93%, 1/17/20 (a)(b) | | | 1,430 | |
1,802,000 | | Dollar Tree Inc., (3 mo. LIBOR USD + 0.700%) 3.06%, 4/17/20 (a) | | | 1,807 | |
1,100,000 | | DXC Technology Co., (3 mo. LIBOR USD + 0.950%) 2.96%, 3/01/21 (a) | | | 1,102 | |
1,395,000 | | EI du Pont de Nemours & Co., (3 mo. LIBOR USD + 0.530%) 2.89%, 5/01/20 (a) | | | 1,399 | |
3,745,000 | | Express Scripts Holding Co., (3 mo. LIBOR USD + 0.750%) 2.76%, 11/30/20 (a) | | | 3,750 | |
535,000 | | Ford Motor Credit Co. LLC, 2.26%, 3/28/19 | | | 532 | |
1,445,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 0.790%) 2.86%, 6/12/20 (a) | | | 1,454 | |
1,460,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 0.830%) 2.90%, 3/12/19 (a) | | | 1,465 | |
1,240,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 0.830%) 3.19%, 8/12/19 (a) | | | 1,247 | |
890,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.270%) 3.56%, 3/28/22 (a) | | | 905 | |
1,235,000 | | General Motors Co., (3 mo. LIBOR USD + 0.800%) 3.16%, 8/07/20 (a) | | | 1,244 | |
1,700,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 0.540%) 2.90%, 11/06/20 (a) | | | 1,698 | |
1,995,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 0.930%) 3.27%, 4/13/20 (a) | | | 2,014 | |
3,025,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.310%) 3.61%, 6/30/22 (a) | | | 3,086 | |
1,190,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.450%) 3.82%, 5/09/19 (a) | | | 1,203 | |
1,275,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.550%) 3.90%, 1/14/22 (a) | | | 1,309 | |
3,240,000 | | Gilead Sciences Inc., (3 mo. LIBOR USD + 0.250%) 2.45%, 9/20/19 (a) | | | 3,246 | |
1,270,000 | | Glencore Funding LLC 144A, (3 mo. LIBOR USD + 1.360%) 3.71%, 1/15/19 (a)(b) | | | 1,277 | |
1,050,000 | | Harley-Davidson Financial Services Inc. 144A, (3 mo. LIBOR USD + 0.350%)
2.40%, 3/08/19 (a)(b) | | | 1,051 | |
1,635,000 | | Hewlett Packard Enterprise Co. 144A, 2.10%, 10/04/19 (b) | | | 1,613 | |
12 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
710,000 | | Hyundai Capital Services Inc. 144A,
1.63%, 8/30/19 (b) | | | $ 693 | |
720,000 | | Imperial Brands Finance PLC 144A,
2.05%, 7/20/18 (b) | | | 719 | |
700,000 | | John Deere Capital Corp., 1.95%, 1/08/19 | | | 697 | |
1,530,000 | | Kraft Heinz Foods Co., (3 mo. LIBOR USD + 0.420%) 2.79%, 8/09/19 (a) | | | 1,532 | |
1,745,000 | | Lennar Corp. 144A, 2.95%, 11/29/20 (b) | | | 1,708 | |
840,000 | | Lennar Corp., 4.13%, 1/15/22 | | | 840 | |
176,000 | | Lockheed Martin Corp., 1.85%, 11/23/18 | | | 175 | |
795,000 | | Martin Marietta Materials Inc., (3 mo. LIBOR USD + 0.650%) 2.55%, 5/22/20 (a) | | | 798 | |
3,585,000 | | Martin Marietta Materials Inc., (3 mo. LIBOR USD + 0.500%) 2.70%, 12/20/19 (a) | | | 3,596 | |
1,020,000 | | Molson Coors Brewing Co., 1.90%, 3/15/19 | | | 1,013 | |
679,000 | | Mylan Inc., 2.55%, 3/28/19 | | | 676 | |
2,140,000 | | Mylan NV, 2.50%, 6/07/19 | | | 2,124 | |
3,045,000 | | NBCUniversal Enterprise Inc. 144A, (3 mo. LIBOR USD + 0.400%) 2.71%, 4/01/21 (a)(b) | | | 3,063 | |
1,915,000 | | Nissan Motor Acceptance Corp. 144A,
2.00%, 3/08/19 (b) | | | 1,903 | |
1,985,000 | | Nissan Motor Acceptance Corp. 144A, (3 mo. LIBOR USD + 0.390%) 2.68%, 9/28/20 (a)(b) | | | 1,989 | |
222,000 | | Nokia OYJ, 3.38%, 6/12/22 | | | 215 | |
3,370,000 | | Ooredoo Tamweel Ltd., 3.04%, 12/03/18 (e) | | | 3,372 | |
330,000 | | Philip Morris International Inc., 1.38%, 2/25/19 | | | 327 | |
2,080,000 | | Philip Morris International Inc., 1.63%, 2/21/19 | | | 2,064 | |
335,000 | | Pitney Bowes Inc., 3.63%, 9/15/20 | | | 333 | |
960,000 | | QUALCOMM Inc., 1.85%, 5/20/19 | | | 958 | |
1,086,000 | | Rockwell Collins Inc., 1.95%, 7/15/19 | | | 1,072 | |
660,000 | | Seagate HDD Cayman, 3.75%, 11/15/18 | | | 662 | |
3,315,000 | | Shire Acquisitions Investments Ireland DAC, 1.90%, 9/23/19 | | | 3,258 | |
960,000 | | Smithfield Foods Inc. 144A, 2.65%, 10/03/21 (b) | | | 915 | |
450,000 | | Smithfield Foods Inc. 144A, 2.70%, 1/31/20 (b) | | | 443 | |
717,500 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A,
3.36%, 9/20/21 (b) | | | 717 | |
690,000 | | Stanley Black & Decker Inc., 2.45%, 11/17/18 | | | 690 | |
700,000 | | Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 7/19/19 | | | 680 | |
2,200,000 | | Tyson Foods Inc., (3 mo. LIBOR USD + 0.450%) 2.34%, 8/21/20 (a) | | | 2,207 | |
460,000 | | Tyson Foods Inc., (3 mo. LIBOR USD + 0.450%) 2.43%, 5/30/19 (a) | | | 461 | |
535,000 | | Tyson Foods Inc., (3 mo. LIBOR USD + 0.550%) 2.57%, 6/02/20 (a) | | | 536 | |
405,000 | | United Continental Holdings Inc., 6.38%, 6/01/18 | | | 406 | |
3,695,000 | | Verizon Communications Inc., (3 mo. LIBOR USD + 0.550%) 2.45%, 5/22/20 (a) | | | 3,717 | |
1,235,000 | | Verizon Communications Inc., (3 mo. LIBOR USD + 1.000%) 3.15%, 3/16/22 (a) | | | 1,262 | |
1,283,000 | | Vulcan Materials Co., (3 mo. LIBOR USD + 0.600%) 2.72%, 6/15/20 (a) | | | 1,282 | |
| | | | | | |
| | | | | 131,781 | |
| | | | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
Utility (7%) | | | | | | |
2,010,000 | | AES Corp./VA, 4.00%, 3/15/21 | | $ | 2,026 | |
2,670,000 | | Cenovus Energy Inc., 5.70%, 10/15/19 | | | 2,752 | |
1,695,000 | | Cheniere Corpus Christi Holdings LLC,
5.88%, 3/31/25 | | | 1,754 | |
1,350,000 | | Dominion Energy Inc. 144A, 1.50%, 9/30/18 (b) | | | 1,344 | |
915,000 | | Dominion Energy Inc. 144A, (3 mo. LIBOR USD + 0.550%) 2.56%, 6/01/19 (a)(b) | | | 919 | |
675,000 | | Dominion Energy Inc., 2.58%, 7/01/20 | | | 665 | |
290,000 | | Dominion Energy Inc., 2.96%, 7/01/19 | | | 289 | |
957,000 | | Energy Transfer Partners LP, 9.70%, 3/15/19 | | | 1,012 | |
2,000,000 | | EnLink Midstream Partners LP, 2.70%, 4/01/19 | | | 1,992 | |
2,870,000 | | EQT Corp., (3 mo. LIBOR USD + 0.770%)
3.08%, 10/01/20 (a) | | | 2,877 | |
700,000 | | Equinor ASA, (3 mo. LIBOR USD + 0.460%) 2.82%, 11/08/18 (a) | | | 702 | |
2,040,000 | | Florida Power & Light Co., (3 mo. LIBOR USD + 0.280%) 2.64%, 11/06/20 (a) | | | 2,040 | |
1,978,000 | | Husky Energy Inc., 6.15%, 6/15/19 | | | 2,041 | |
1,395,000 | | Kinder Morgan Inc./DE, (3 mo. LIBOR USD + 1.280%) 3.63%, 1/15/23 (a) | | | 1,419 | |
1,215,000 | | Mississippi Power Co., (3 mo. LIBOR USD + 0.650%) 2.94%, 3/27/20 (a) | | | 1,215 | |
2,595,000 | | Nabors Industries Inc., 4.63%, 9/15/21 | | | 2,550 | |
300,000 | | NextEra Energy Capital Holdings Inc.,
1.65%, 9/01/18 | | | 299 | |
521,000 | | Noble Holding International Ltd.,
7.75%, 1/15/24 (f) | | | 491 | |
830,000 | | Oasis Petroleum Inc., 6.88%, 1/15/23 | | | 855 | |
3,500,000 | | ONEOK Partners LP, 3.20%, 9/15/18 | | | 3,506 | |
1,035,000 | | Phillips 66, (3 mo. LIBOR USD + 0.600%)
2.61%, 2/26/21 (a) | | | 1,037 | |
1,115,000 | | Phillips 66 144A, (3 mo. LIBOR USD + 0.650%) 3.00%, 4/15/19 (a)(b) | | | 1,115 | |
3,040,000 | | Progress Energy Inc., 7.05%, 3/15/19 | | | 3,150 | |
2,230,000 | | QEP Resources Inc., 6.88%, 3/01/21 | | | 2,408 | |
3,990,000 | | Sempra Energy, (3 mo. LIBOR USD + 0.450%) 2.57%, 3/15/21 (a) | | | 4,001 | |
1,400,000 | | Sempra Energy, (3 mo. LIBOR USD + 0.500%) 2.85%, 1/15/21 (a) | | | 1,403 | |
1,420,000 | | Shell International Finance BV, 1.38%, 5/10/19 | | | 1,404 | |
1,790,000 | | Southern Co., 1.55%, 7/01/18 | | | 1,788 | |
3,025,000 | | Southern Co. 144A, (3 mo. LIBOR USD + 0.700%) 3.01%, 9/30/20 (a)(b) | | | 3,043 | |
3,605,000 | | WGL Holdings Inc., (3 mo. LIBOR USD + 0.400%) 2.38%, 11/29/19 (a) | | | 3,608 | |
1,745,000 | | Whiting Petroleum Corp., 5.75%, 3/15/21 | | | 1,791 | |
| | | | | | |
| | | | | 55,496 | |
| | | | | | |
Total Corporate Bond (Cost - $440,597) | | | 441,068 | |
| | | | | | |
Foreign Government (4%) | | | | |
3,685,000 | | Abu Dhabi Government International Bond 144A, 6.75%, 4/08/19 (b) | | | 3,821 | |
1,500,000 | | Argentine Republic Government International Bond, 6.25%, 4/22/19 | | | 1,531 | |
950,000 | | Japan Bank for International Cooperation, (3 mo. LIBOR USD + 0.480%) 2.49%, 6/01/20 (a) | | | 956 | |
Semi-Annual Report 13
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,670,000 | | Japan Bank for International Cooperation/Japan, (3 mo. LIBOR USD + 0.570%) 2.51%, 2/24/20 (a) | | $ | 2,690 | |
740,000,000 | | Japan Treasury Discount Bill, 0.00%, 6/11/18 JPY | | | 6,770 | |
6,700,000 | | Municipality Finance PLC 144A, (3 mo. LIBOR USD + 0.170%) 2.53%, 2/07/20 (a)(b) | | | 6,717 | |
1,600,000 | | Province of New Brunswick Canada, (3 mo. CDOR CAD + 0.130%) 1.87%, 8/01/19
CAD (a)(g) | | | 1,252 | |
3,610,000 | | Province of New Brunswick Canada,
2.75%, 6/15/18 | | | 3,612 | |
371,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 414 | |
1,470,000 | | Vietnam Government International Bond 144A, 6.75%, 1/29/20 (b) | | | 1,549 | |
| | | | | | |
Total Foreign Government (Cost - $29,748) | | | 29,312 | |
| | | | | | |
Mortgage Backed (8%) | | | | |
3,751,573 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.550%)
2.45%, 1/25/30 (a) | | | 3,752 | |
8,585,142 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.600%)
2.50%, 7/25/30 (a) | | | 8,577 | |
5,570,063 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.650%)
2.55%, 5/25/30 (a) | | | 5,575 | |
3,106,702 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.950%)
2.85%, 10/25/29 (a) | | | 3,125 | |
1,590,209 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 1.300%)
3.20%, 7/25/29 (a) | | | 1,604 | |
488,363 | | FN 906140 ARM, (12 mo. LIBOR USD + 1.674%) 3.42%, 1/01/37 (a) | | | 510 | |
6,844,191 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.450%)
2.35%, 7/25/30 (a) | | | 6,819 | |
3,113,271 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.750%)
2.65%, 3/25/30 (a) | | | 3,122 | |
1,812,402 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%)
3.10%, 7/25/29 (a) | | | 1,830 | |
4,909,084 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%)
3.10%, 8/25/29 (a) | | | 4,946 | |
4,000,000 | | FREMF 2017-KT01 Multifamily Aggregation Risk Transfer Trust, (1 mo. LIBOR USD + 0.320%) 2.22%, 2/25/20 (a) | | | 4,014 | |
78,830 | | GNR 2002-48 FT, (1 mo. LIBOR USD + 0.200%) 2.10%, 12/16/26 (a) | | | 79 | |
715,903 | | Gosforth Funding 2016-1 PLC 144A, (3 mo. LIBOR GBP + 0.600%) 1.15%, 2/15/58
GBP (a)(b)(g) | | | 988 | |
2,414,602 | | Gosforth Funding 2017-1 PLC 144A, (3 mo. LIBOR USD + 0.470%)
2.65%, 12/19/59 (a)(b) | | | 2,418 | |
323,932 | | HarborView Mortgage Loan Trust 2004-10, 3.71%, 1/19/35 (h) | | | 324 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,610,000 | | Holmes Master Issuer PLC 144A, (3 mo. LIBOR USD + 1.750%) 4.10%, 10/15/54 (a)(b) | | $ | 2,642 | |
2,010,000 | | Lanark Master Issuer PLC 144A, (3 mo. LIBOR USD + 0.420%) 2.24%, 12/22/69 (a)(b) | | | 2,011 | |
13,640 | | MASTR Asset Securitization Trust 2004-6,
5.00%, 7/25/19 | | | 14 | |
4,746,456 | | New Residential Mortgage Loan Trust 2017-5 144A, (1 mo. LIBOR USD + 1.500%)
3.40%, 6/25/57 (a)(b) | | | 4,907 | |
2,152,633 | | Ripon Mortgages PLC 144A, (3 mo. LIBOR GBP + 0.800%) 1.35%, 8/20/56 GBP (a)(b)(g) | | | 2,987 | |
77,866 | | Sequoia Mortgage Trust 10, (1 mo. LIBOR USD + 0.800%) 2.70%, 10/20/27 (a) | | | 76 | |
55,550 | | Sequoia Mortgage Trust 2012-1,
2.87%, 1/25/42 (h) | | | 56 | |
306,629 | | Sequoia Mortgage Trust 2013-1,
1.45%, 2/25/43 (h) | | | 297 | |
497,847 | | Sequoia Mortgage Trust 2013-4,
1.55%, 4/25/43 (h) | | | 475 | |
1,863,233 | | Sequoia Mortgage Trust 2017-CH2 144A, 4.00%, 12/25/47 (b)(h) | | | 1,886 | |
142,155 | | Structured Adjustable Rate Mortgage Loan Trust, 3.67%, 9/25/34 (h) | | | 144 | |
4,466 | | Structured Asset Mortgage Investments Trust, 2003-C1, 3.93%, 7/25/32 (h) | | | 5 | |
652,958 | | Towd Point Mortgage Funding 2016-Granite1 PLC 144A, (3 mo. LIBOR GBP + 1.180%)
1.93%, 7/20/46 GBP (a)(b)(g) | | | 906 | |
| | | | | | |
Total Mortgage Backed (Cost - $63,780) | | | 64,089 | |
| | | | | | |
NCUA Guaranteed (0%) | | | | |
325,266 | | NCUA Guaranteed Notes Trust 2010-R1, (1 mo. LIBOR USD + 0.450%)
2.35%, 10/07/20 (a) | | | 326 | |
1,204,669 | | NCUA Guaranteed Notes Trust 2010-R3, (1 mo. LIBOR USD + 0.560%)
2.48%, 12/08/20 (a) | | | 1,211 | |
304,186 | | NCUA Guaranteed Notes Trust 2011-R1, (1 mo. LIBOR USD + 0.450%)
1.69%, 1/08/20 (a) | | | 305 | |
23,429 | | NCUA Guaranteed Notes Trust 2011-R2, (1 mo. LIBOR USD + 0.400%)
2.28%, 2/06/20 (a) | | | 23 | |
| | | | | | |
Total NCUA Guaranteed (Cost - $1,860) | | | 1,865 | |
| | | | | | |
U.S. Treasury (15%) | | | | |
27,500,000 | | U.S. Treasury Bill, 1.58%, 5/03/18 (d) | | | 27,498 | |
3,340,000 | | U.S. Treasury Bill, 1.89%, 8/16/18 (d) | | | 3,322 | |
1,015,000 | | U.S. Treasury Note, 1.00%, 11/30/18 | | | 1,008 | |
19,075,000 | | U.S. Treasury Note, 1.25%, 12/31/18 | | | 18,961 | |
30,000,000 | | U.S. Treasury Note, (3 mo. US Treasury Bill Yield + 0.050%) 1.89%, 10/31/19 (a) | | | 30,024 | |
18,000,000 | | U.S. Treasury Note, (3 mo. US Treasury Bill Yield + 0.060%) 1.90%, 7/31/19 (a) | | | 18,024 | |
10,000,000 | | U.S. Treasury Note, (3 mo. US Treasury Bill Yield + 0.170%) 2.01%, 10/31/18 (a) | | | 10,011 | |
7,000,000 | | U.S. Treasury Note, (3 mo. US Treasury Bill Yield + 0.174%) 2.02%, 7/31/18 (a) | | | 7,004 | |
| | | | | | |
Total U.S. Treasury (Cost - $115,924) | | | 115,852 | |
| | | | | | |
Investment Company (0%) | | | | |
1,267,831 | | Payden Cash Reserves Money Market Fund *
(Cost - $1,268) | | | 1,268 | |
| | | | | | |
14 Payden Mutual Funds
��
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Total Investments (Cost - $ 798,102) (100%) | | $ | 798,203 | |
Liabilities in excess of Other Assets (0%) | | | (1,034 | ) |
| |
Net Assets (100%) | | $ | 797,169 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (b) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (d) | Yield to maturity at time of purchase. |
| (e) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (f) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $1,142 and the total market value of the collateral held by the Fund is $1,182. Amounts in 000s. |
| (g) | Principal in foreign currency. |
| (h) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | |
Currency
Purchased (000s) | | | | Currency Sold (000) | | Counterparty | | Settlement Date | | | Unrealized
Appreciation
(000s) | |
Assets: | | | | | | | | | | | | | | | | | | |
USD | | 6,961 | | | | JPY 740,300 | | Barclays Bank PLC | | | 05/08/2018 | | | | $185 | | | | | |
USD | | 623 | | | | EUR 506 | | Citibank N.A. | | | 05/08/2018 | | | | 12 | | | | | |
USD | | 5,424 | | | | GBP 3,848 | | HSBC Bank USA, N.A. | | | 05/08/2018 | | | | 125 | | | | | |
USD | | 1,263 | | | | CAD 1,616 | | Royal Bank of Canada | | | 05/08/2018 | | | | 4 | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | $326 | | | | | |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | $ | 1,142 | |
Non-cash Collateral2 | | | (1,142 | ) |
| | | | |
Net Amount | | $ | — | |
| | | | |
| 1 | The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. |
| 2 | At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments. |
See notes to financial statements.
Semi-Annual Report 15
| | | | | | | | | | | | |
The Fund seeks a high level of total return that is consistent with preservation of capital by generally investing in investment grade securities with a maximum average portfolio maturity not to exceed three years. | | Portfolio Composition - percent of investments | | | | | |
| | Corporate | | | 51 | % | |
| | U.S. Treasury | | | 26 | % | |
| | Asset Backed | | | 10 | % | |
| | Mortgage Backed | | | 8 | % | |
| | Foreign Government | | | 2 | % | |
| | Other | | | 3 | % | |
| | | | | | | |
| | | | | | | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (10%) | | | | |
7,500,000 | | Allegro CLO III Ltd. 144A, (3 mo. LIBOR USD + 0.840%) 3.20%, 7/25/27 (a)(b) | | $ | 7,481 | |
9,500,000 | | Ally Auto Receivables Trust
2017-4, 1.75%, 12/15/21 | | | 9,366 | |
650,000 | | AmeriCredit Automobile Receivables Trust
2016-2, 2.87%, 11/08/21 | | | 650 | |
230,000 | | AmeriCredit Automobile Receivables Trust
2017-2, 1.98%, 12/20/21 | | | 228 | |
2,000,000 | | Barings CLO Ltd. 2013-I 144A, (3 mo. LIBOR USD + 0.800%) 3.16%, 1/20/28 (a)(b) | | | 2,000 | |
2,769,756 | | BlueMountain CLO 2013-4 Ltd. 144A, (3 mo. LIBOR USD + 1.010%)
3.36%, 4/15/25 (a)(b) | | | 2,775 | |
7,140,000 | | BlueMountain CLO 2014-4 Ltd. 144A, (3 mo. LIBOR USD + 1.350%)
3.33%, 11/30/26 (a)(b) | | | 7,146 | |
450,000 | | Capital Auto Receivables Asset Trust
2016-2, 2.11%, 3/22/21 | | | 445 | |
1,870,000 | | Capital Auto Receivables Asset Trust
2017-1 144A, 2.02%, 8/20/21 (b) | | | 1,848 | |
3,667,957 | | Cent CLO 18 Ltd. 144A, (3 mo. LIBOR
USD + 1.120%) 3.48%, 7/23/25 (a)(b) | | | 3,681 | |
900,000 | | CIFC Funding 2014-II Ltd. 144A, (3 mo.
LIBOR USD + 1.200%)
3.14%, 5/24/26 (a)(b) | | | 900 | |
2,300,000 | | CIFC Funding 2014-V Ltd. 144A, (3 mo.
LIBOR USD + 1.400%)
3.75%, 1/17/27 (a)(b) | | | 2,303 | |
9,796,451 | | Colony Starwood Homes 2016-2 Trust
144A, (1 mo. LIBOR USD + 1.250%)
3.17%, 12/17/33 (a)(b) | | | 9,880 | |
2,990,000 | | Enterprise Fleet Financing LLC 144A,
2.13%, 5/22/23 (b) | | | 2,958 | |
2,130,000 | | GM Financial Automobile Leasing Trust
2016-1, 3.24%, 3/20/20 | | | 2,136 | |
165,108 | | GSAMP Trust 2004-SEA2, (1 mo. LIBOR USD + 0.650%) 2.55%, 3/25/34 (a) | | | 166 | |
1,810,000 | | Hyundai Auto Receivables Trust
2016-B, 2.68%, 9/15/23 | | | 1,759 | |
4,219,713 | | Invitation Homes 2018-SFR1 Trust 144A,
(1 mo. LIBOR USD + 0.700%)
2.60%, 3/17/37 (a)(b) | | | 4,215 | |
354,343 | | L.A. Arena Funding LLC 144A,
7.66%, 12/15/26 (b) | | | 373 | |
4,280,000 | | Madison Park Funding XIV Ltd. 144A, (3 mo. LIBOR USD + 1.550%)
3.91%, 7/20/26 (a)(b) | | | 4,283 | |
2,585,136 | | MVW Owner Trust 2017-1 144A,
2.42%, 12/20/34 (b) | | | 2,521 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
5,910,000 | | Octagon Investment Partners 25 Ltd. 144A, (3 mo. LIBOR USD + 0.800%)
3.16%, 10/20/26 (a)(b) | | $ | 5,911 | |
6,140,000 | | PFS Financing Corp. 144A,
2.89%, 2/15/23 (b) | | | 6,085 | |
1,070,000 | | Santander Drive Auto Receivables Trust 2015-2, 3.02%, 4/15/21 | | | 1,072 | |
1,750,000 | | Santander Drive Auto Receivables Trust 2016-2, 2.66%, 11/15/21 | | | 1,744 | |
4,425,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%) 3.24%, 4/15/29 (a)(b) | | | 4,425 | |
7,500,000 | | Venture XXIV CLO Ltd. 144A, (3 mo. LIBOR USD + 1.420%)
3.78%, 10/20/28 (a)(b) | | | 7,518 | |
8,600,000 | | Verizon Owner Trust 2017-3 144A,
2.06%, 4/20/22 (b) | | | 8,465 | |
433,319 | | VOLT XXV LLC 144A, 3.50%, 6/26/45 (b) | | | 435 | |
980,000 | | Westlake Automobile Receivables Trust
2016-2 144A, 4.10%, 6/15/21 (b) | | | 991 | |
1,940,000 | | Westlake Automobile Receivables Trust
2017-1 144A, 2.70%, 10/17/22 (b) | | | 1,932 | |
| | | | | | |
Total Asset Backed (Cost - $106,175) | | | 105,692 | |
| | | | | | |
Bank Loans(c) (0%) | | | | |
1,265,813 | | Dole Food Co. Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.700%) 4.60%, 4/06/24 | | | 1,274 | |
373,635 | | VFH Parent LLC Term Loan B1 1L, (LIBOR USD 1-Month + 3.250%) 5.56%, 12/30/21 | | | 379 | |
| | | | | | |
Total Bank Loans (Cost - $1,633) | | | 1,653 | |
| | | | | | |
Corporate Bond (51%) | | | | |
Financial (27%) | | | | |
7,370,000 | | ABN AMRO Bank NV 144A,
2.10%, 1/18/19 (b) | | | 7,341 | |
1,955,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.50%, 5/26/22 | | | 1,922 | |
1,200,000 | | AIA Group Ltd. 144A, 2.25%, 3/11/19 (b) | | | 1,191 | |
2,500,000 | | Air Lease Corp., 2.13%, 1/15/20 | | | 2,454 | |
1,065,000 | | American Express Credit Corp.,
1.88%, 5/03/19 | | | 1,057 | |
3,920,000 | | American Express Credit Corp.,
2.20%, 3/03/20 | | | 3,872 | |
1,020,000 | | ANZ New Zealand International Ltd./London 144A, 2.20%, 7/17/20 (b) | | | 998 | |
2,625,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 2,571 | |
2,275,000 | | Assurant Inc., (3 mo. LIBOR USD + 1.250%) 3.54%, 3/26/21 (a) | | | 2,287 | |
1,455,000 | | Astoria Financial Corp., 3.50%, 6/08/20 | | | 1,449 | |
2,265,000 | | Athene Global Funding 144A,
2.75%, 4/20/20 (b) | | | 2,237 | |
16 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
3,420,000 | | .Australia & New Zealand Banking Group | | | | |
| | Ltd./New York NY, 1.60%, 7/15/19 | | $ | 3,368 | |
830,000 | | Banco de Credito del Peru/Panama 144A, | | | | |
| | 2.25%, 10/25/19 (b)(d) | | | 823 | |
2,475,000 | | Banco del Estado de Chile 144A, | | | | |
| | 2.67%, 1/08/21 (b) | | | 2,419 | |
3,450,000 | | Banco Santander Chile 144A, | | | | |
| | 2.50%, 12/15/20 (b) | | | 3,377 | |
3,600,000 | | Banco Santander SA, 3.13%, 2/23/23 | | | 3,462 | |
795,000 | | Bank of America Corp., 2.15%, 11/09/20 | | | 776 | |
2,760,000 | | Bank of America Corp., (3 mo. LIBOR USD | | | | |
| | + 0.630%) 2.33%, 10/01/21 (a) | | | 2,698 | |
3,599,000 | | Bank of America Corp., 2.65%, 4/01/19 | | | 3,600 | |
3,800,000 | | Bank of America Corp., (3 mo. LIBOR USD | | | | |
| | + 1.000%) 3.36%, 4/24/23 (a) | | | 3,855 | |
1,390,000 | | Banque Federative du Credit Mutuel SA 144A, | | | | |
| | 2.00%, 4/12/19 (b) | | | 1,380 | |
1,000,000 | | Banque Federative du Credit Mutuel SA 144A, | | | | |
| | 2.20%, 7/20/20 (b) | | | 978 | |
2,000,000 | | Banque Federative du Credit Mutuel SA 144A, | | | | |
| | 2.70%, 7/20/22 (b) | | | 1,936 | |
3,832,000 | | Barclays PLC, 2.75%, 11/08/19 | | | 3,811 | |
2,495,000 | | Barclays PLC, 3.25%, 1/12/21 | | | 2,475 | |
2,750,000 | | BNZ International Funding Ltd./London 144A, | | | | |
| | 2.40%, 2/21/20 (b) | | | 2,718 | |
5,360,000 | | BPCE SA, (3 mo. LIBOR USD + 0.880%) | | | | |
| | 2.86%, 5/31/22 (a) | | | 5,417 | |
1,885,000 | | BPCE SA 144A, (3 mo. LIBOR USD + 1.220%) | | | | |
| | 3.12%, 5/22/22 (a)(b) | | | 1,918 | |
5,300,000 | | Capital One Financial Corp., (3 mo. LIBOR USD | | | | |
| | + 0.950%) 3.01%, 3/09/22 (a) | | | 5,322 | |
4,455,000 | | Capital One NA, 2.35%, 1/31/20 | | | 4,387 | |
970,000 | | CBOE Global Markets Inc., 1.95%, 6/28/19 | | | 958 | |
3,115,000 | | Citibank NA, 1.85%, 9/18/19 | | | 3,079 | |
4,600,000 | | Citibank NA, 2.00%, 3/20/19 | | | 4,585 | |
1,650,000 | | Citigroup Inc., 2.05%, 6/07/19 | | | 1,638 | |
4,235,000 | | Citigroup Inc., 2.45%, 1/10/20 | | | 4,199 | |
1,020,000 | | Citizens Bank NA/Providence RI, | | | | |
| | 2.20%, 5/26/20 | | | 997 | |
1,510,000 | | Citizens Bank NA/Providence RI, | | | | |
| | 2.25%, 3/02/20 | | | 1,486 | |
1,425,000 | | Citizens Bank NA/Providence RI, | | | | |
| | 2.45%, 12/04/19 | | | 1,411 | |
1,420,000 | | Credit Agricole SA/London 144A, (3 mo. LIBOR | | | | |
| | USD + 0.800%) 3.15%, 4/15/19 (a)(b) | | | 1,429 | |
2,960,000 | | Credit Agricole SA/London 144A, | | | | |
| | 3.38%, 1/10/22 (b) | | | 2,930 | |
5,380,000 | | Credit Suisse Group Funding Guernsey Ltd., | | | | |
| | 2.75%, 3/26/20 | | | 5,340 | |
1,715,000 | | Daiwa Securities Group Inc. 144A, | | | | |
| | 3.13%, 4/19/22 (b) | | | 1,681 | |
2,280,000 | | Danske Bank A/S 144A, 1.65%, 9/06/19 (b) | | | 2,241 | |
4,775,000 | | Deutsche Bank AG/New York NY, | | | | |
| | 3.15%, 1/22/21 | | | 4,693 | |
4,725,000 | | Digital Realty Trust LP, 5.88%, 2/01/20 | | | 4,912 | |
2,600,000 | | Discover Bank, 2.60%, 11/13/18 | | | 2,600 | |
4,660,000 | | DNB Bank ASA 144A, 2.13%, 10/02/20 (b) | | | 4,540 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,470,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | $ | 1,467 | |
4,505,000 | | Federation des Caisses Desjardins du Quebec | | | | |
| | 144A, 2.25%, 10/30/20 (b) | | | 4,398 | |
870,000 | | Fifth Third Bank/Cincinnati OH, | | | | |
| | 2.20%, 10/30/20 | | | 850 | |
1,200,000 | | Fifth Third Bank/Cincinnati OH, | | | | |
| | 2.30%, 3/15/19 | | | 1,197 | |
2,790,000 | | FS Investment Corp., 4.25%, 1/15/20 | | | 2,785 | |
3,980,000 | | Goldman Sachs Group Inc., 2.60%, 12/27/20 | | | 3,924 | |
5,420,000 | | Goldman Sachs Group Inc., 3.00%, 4/26/22 | | | 5,300 | |
3,820,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD | | | | |
| | + 1.050%) 3.07%, 6/05/23 (a) | | | 3,864 | |
2,725,000 | | Goldman Sachs Group Inc./The, (3 mo. LIBOR | | | | |
| | USD + 0.750%) 2.56%, 2/23/23 (a) | | | 2,728 | |
1,835,000 | | Huntington National Bank, 2.38%, 3/10/20 | | | 1,811 | |
1,320,000 | | Icahn Enterprises LP/Icahn Enterprises Finance | | | | |
| | Corp., 6.25%, 2/01/22 | | | 1,350 | |
3,710,000 | | ICICI Bank Ltd./Hong Kong 144A, | | | | |
| | 5.75%, 11/16/20 (b) | | | 3,881 | |
3,110,000 | | ING Bank NV 144A, 2.00%, 11/26/18 (b) | | | 3,099 | |
1,320,000 | | ING Bank NV 144A, 2.30%, 3/22/19 (b) | | | 1,315 | |
4,445,000 | | ING Groep NV, (3 mo. LIBOR USD + 1.150%) | | | | |
| | 3.45%, 3/29/22 (a) | | | 4,544 | |
3,100,000 | | International Lease Finance Corp., | | | | |
| | 4.63%, 4/15/21 | | | 3,181 | |
3,000,000 | | International Lease Finance Corp., | | | | |
| | 6.25%, 5/15/19 | | | 3,099 | |
3,260,000 | | Intesa Sanpaolo SPA 144A, 3.13%, 7/14/22 (b) | | | 3,144 | |
745,000 | | iStar Inc., 4.63%, 9/15/20 | | | 744 | |
3,825,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD | | | | |
| | + 0.680%) 2.69%, 6/01/21 (a) | | | 3,849 | |
880,000 | | JPMorgan Chase & Co., 6.30%, 4/23/19 | | | 911 | |
5,890,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR | | | | |
| | USD + 1.020%) 3.00%, 11/28/23 (a)(b) | | | 5,914 | |
1,600,000 | | Macquarie Group Ltd. 144A, 7.63%, 8/13/19 (b) | | | 1,688 | |
1,495,000 | | Manufacturers & Traders Trust Co., | | | | |
| | 2.05%, 8/17/20 | | | 1,460 | |
2,940,000 | | Metropolitan Life Global Funding I 144A, | | | | |
| | 2.40%, 1/08/21 (b) | | | 2,884 | |
1,320,000 | | Mitsubishi UFJ Financial Group Inc., (3 mo. | | | | |
| | LIBOR USD + 0.920%) 2.82%, 2/22/22 (a) | | | 1,337 | |
1,530,000 | | Mizuho Bank Ltd. 144A, 2.40%, 3/26/20 (b) | | | 1,507 | |
4,350,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR | | | | |
| | USD + 0.940%) 2.92%, 2/28/22 (a) | | | 4,415 | |
6,000,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.550%) | | | | |
| | 2.29%, 2/10/21 (a) | | | 6,022 | |
4,000,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.140%) | | | | |
| | 3.51%, 1/27/20 (a) | | | 4,056 | |
4,661,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.180%) | | | | |
| | 3.54%, 1/20/22 (a) | | | 4,733 | |
4,890,000 | | National Australia Bank Ltd./New York, | | | | |
| | 1.38%, 7/12/19 | | | 4,808 | |
1,485,000 | | Nostrum Oil & Gas Finance BV 144A, | | | | |
| | 7.00%, 2/16/25 (b) | | | 1,432 | |
2,520,000 | | Nuveen Finance LLC 144A, 2.95%, 11/01/19 (b) | | | 2,512 | |
Semi-Annual Report 17
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,700,000 | | PNC Bank NA, 2.45%, 11/05/20 | | $ | 1,672 | |
5,420,000 | | Royal Bank of Scotland Group PLC, (3 mo. | | | | |
| | LIBOR USD + 1.470%) 3.81%, 5/15/23 (a) | | | 5,493 | |
1,351,000 | | Santander Holdings USA Inc., 2.70%, 5/24/19 | | | 1,346 | |
2,050,000 | | Santander Holdings USA Inc., 3.70%, 3/28/22 | | | 2,034 | |
4,300,000 | | Santander UK PLC, 2.38%, 3/16/20 | | | 4,246 | |
260,000 | | Santander UK PLC, 2.50%, 3/14/19 | | | 259 | |
3,800,000 | | Scentre Group Trust 1/Scentre Group Trust 2 | | | | |
| | 144A, 2.38%, 11/05/19 (b) | | | 3,758 | |
1,630,000 | | SLM Corp., 5.13%, 4/05/22 | | | 1,650 | |
2,400,000 | | Standard Chartered PLC 144A, | | | | |
| | 2.10%, 8/19/19 (b) | | | 2,368 | |
2,720,000 | | Standard Chartered PLC 144A, | | | | |
| | 2.40%, 9/08/19 (b) | | | 2,694 | |
1,045,000 | | Starwood Property Trust Inc. 144A, | | | | |
| | 3.63%, 2/01/21 (b) | | | 1,029 | |
2,395,000 | | Sumitomo Mitsui Banking Corp., | | | | |
| | 2.09%, 10/18/19 | | | 2,362 | |
1,405,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, | | | | |
| | 1.95%, 9/19/19 (b) | | | 1,383 | |
3,255,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, | | | | |
| | 2.05%, 3/06/19 (b) | | | 3,236 | |
1,995,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, | | | | |
| | 2.05%, 10/18/19 (b) | | | 1,964 | |
2,870,000 | | Suncorp-Metway Ltd. 144A, 2.35%, 4/27/20 (b) | | | 2,829 | |
2,245,000 | | Suncorp-Metway Ltd. 144A, | | | | |
| | 2.38%, 11/09/20 (b) | | | 2,194 | |
5,145,000 | | SunTrust Bank/Atlanta GA, (3 mo. LIBOR USD | | | | |
| | + 0.298%) 2.59%, 1/29/21 (a) | | | 5,098 | |
3,320,000 | | Svenska Handelsbanken AB, 1.50%, 9/06/19 | | | 3,258 | |
1,180,000 | | Synchrony Financial, 2.60%, 1/15/19 | | | 1,178 | |
1,045,000 | | Synchrony Financial, 3.00%, 8/15/19 | | | 1,043 | |
750,000 | | Synchrony Financial, (3 mo. LIBOR USD | | | | |
| | + 1.230%) 3.58%, 2/03/20 (a) | | | 759 | |
2,540,000 | | UBS AG/London 144A, 2.20%, 6/08/20 (b) | | | 2,489 | |
2,070,000 | | UBS AG/London 144A, 2.45%, 12/01/20 (b) | | | 2,028 | |
5,390,000 | | UBS Group Funding Switzerland AG 144A, (3 | | | | |
| | mo. LIBOR USD + 1.220%) | | | | |
| | 3.14%, 5/23/23 (a)(b) | | | 5,490 | |
3,000,000 | | VEREIT Operating Partnership LP, | | | | |
| | 3.00%, 2/06/19 | | | 3,001 | |
700,000 | | WEA Finance LLC/Westfield UK & Europe | | | | |
| | Finance PLC 144A, 2.70%, 9/17/19 (b) | | | 695 | |
4,805,000 | | Wells Fargo & Co., (3 mo. LIBOR USD | | | | |
| | + 0.930%) 3.29%, 2/11/22 (a) | | | 4,856 | |
| | | | | | |
| | | | | 301,439 | |
| | | | | | |
Industrial (17%) | | | | |
1,040,000 | | Air Canada 2013-1 Class C Pass-Through Trust | | | | |
| | 144A, 6.63%, 5/15/18 (b) | | | 1,044 | |
400,000 | | Alibaba Group Holding Ltd., 2.50%, 11/28/19 | | | 397 | |
1,410,000 | | Alibaba Group Holding Ltd., 2.80%, 6/06/23 | | | 1,356 | |
3,755,000 | | Alimentation Couche-Tard Inc. 144A, | | | | |
| | 2.35%, 12/13/19 (b) | | | 3,706 | |
4,500,000 | | Allergan Funding SCS, 3.00%, 3/12/20 | | | 4,472 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
1,640,000 | | Allergan Funding SCS, (3 mo. LIBOR USD | | | | |
| | + 1.255%) 3.33%, 3/12/20 (a) | | $ | 1,659 | |
1,500,000 | | Anglo American Capital PLC 144A, | | | | |
| | 3.63%, 5/14/20 (b) | | | 1,523 | |
2,495,000 | | Anglo American Capital PLC 144A, | | | | |
| | 4.13%, 4/15/21 (b) | | | 2,520 | |
1,040,000 | | Anthem Inc., 2.25%, 8/15/19 | | | 1,030 | |
2,900,000 | | AT&T Inc., 2.30%, 3/11/19 | | | 2,894 | |
4,555,000 | | BAT Capital Corp. 144A, 2.30%, 8/14/20 (b) | | | 4,459 | |
4,000,000 | | Becton Dickinson and Co., 2.13%, 6/06/19 | | | 3,959 | |
4,510,000 | | Broadcom Corp./Broadcom Cayman Finance Ltd., | | | | |
| | 2.20%, 1/15/21 | | | 4,363 | |
3,690,000 | | Broadcom Corp./Broadcom Cayman Finance Ltd., | | | | |
| | 2.38%, 1/15/20 | | | 3,639 | |
4,536,000 | | Celgene Corp., 2.25%, 8/15/21 | | | 4,374 | |
2,830,000 | | CK Hutchison International 17 II Ltd. 144A, | | | | |
| | 2.25%, 9/29/20 (b) | | | 2,768 | |
1,996,000 | | Constellation Brands Inc., 2.00%, 11/07/19 | | | 1,966 | |
3,000,000 | | CVS Health Corp., (3 mo. LIBOR USD | | | | |
| | + 0.720%) 2.78%, 3/09/21 (a) | | | 3,029 | |
3,150,000 | | CVS Health Corp., 3.13%, 3/09/20 | | | 3,152 | |
3,070,000 | | Daimler Finance North America LLC 144A, | | | | |
| | 1.50%, 7/05/19 (b) | | | 3,022 | |
635,000 | | Daimler Finance North America LLC 144A, | | | | |
| | 2.20%, 5/05/20 (b) | | | 623 | |
1,255,000 | | Danone SA 144A, 1.69%, 10/30/19 (b) | | | 1,231 | |
4,050,000 | | Dell International LLC/EMC Corp. 144A, | | | | |
| | 3.48%, 6/01/19 (b) | | | 4,060 | |
3,450,000 | | Dell International LLC/EMC Corp. 144A, | | | | |
| | 4.42%, 6/15/21 (b) | | | 3,517 | |
400,000 | | Dell International LLC/EMC Corp. 144A, | | | | |
| | 5.88%, 6/15/21 (b) | | | 412 | |
2,999,000 | | Delta Air Lines Inc., 2.60%, 12/04/20 | | | 2,943 | |
1,755,000 | | Delta Air Lines Inc., 2.88%, 3/13/20 | | | 1,747 | |
2,690,000 | | Deutsche Telekom International Finance BV | | | | |
| | 144A, 2.23%, 1/17/20 (b) | | | 2,655 | |
1,760,000 | | eBay Inc., 2.15%, 6/05/20 | | | 1,727 | |
2,800,000 | | Express Scripts Holding Co., 2.60%, 11/30/20 | | | 2,746 | |
3,060,000 | | Ford Motor Credit Co. LLC, 2.02%, 5/03/19 | | | 3,029 | |
1,385,000 | | Ford Motor Credit Co. LLC, 2.26%, 3/28/19 | | | 1,376 | |
2,635,000 | | Ford Motor Credit Co. LLC, 2.68%, 1/09/20 | | | 2,614 | |
2,300,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD | | | | |
| | + 1.270%) 3.56%, 3/28/22 (a) | | | 2,339 | |
2,350,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD | | | | |
| | + 1.235%) 3.58%, 2/15/23 (a) | | | 2,350 | |
560,000 | | Fortive Corp., 1.80%, 6/15/19 | | | 553 | |
1,700,000 | | GATX Corp., 2.50%, 7/30/19 | | | 1,686 | |
1,815,000 | | General Motors Financial Co. Inc., | | | | |
| | 2.65%, 4/13/20 | | | 1,798 | |
4,000,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR | | | | |
| | USD + 0.930%) 3.27%, 4/13/20 (a) | | | 4,038 | |
4,950,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR | | | | |
| | USD + 1.310%) 3.61%, 6/30/22 (a) | | | 5,050 | |
3,800,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR | | | | |
| | USD + 1.550%) 3.90%, 1/14/22 (a) | | | 3,901 | |
18 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,085,000 | | Glencore Funding LLC 144A, | | | | |
| | 3.00%, 10/27/22 (b) | | $ | 1,039 | |
1,860,000 | | Glencore Funding LLC 144A, (3 mo. LIBOR | | | | |
| | USD + 1.360%) 3.71%, 1/15/19 (a)(b) | | | 1,870 | |
2,405,000 | | Hewlett Packard Enterprise Co. 144A, | | | | |
| | 2.10%, 10/04/19 (b) | | | 2,373 | |
2,950,000 | | Hewlett Packard Enterprise Co., | | | | |
| | 2.85%, 10/05/18 | | | 2,954 | |
1,400,000 | | Hyundai Capital Services Inc. 144A, | | | | |
| | 1.63%, 8/30/19 (b) | | | 1,367 | |
1,750,000 | | JB Hunt Transport Services Inc., 2.40%, 3/15/19 | | | 1,742 | |
2,320,000 | | Lennar Corp., 4.13%, 1/15/22 | | | 2,320 | |
200,000 | | Mclaren Finance PLC 144A, 5.75%, 8/01/22 (b) | | | 201 | |
2,620,000 | | Molson Coors Brewing Co., 1.90%, 3/15/19 | | | 2,601 | |
2,165,000 | | Mondelez International Holdings Netherlands | | | | |
| | BV 144A, 1.63%, 10/28/19 (b) | | | 2,123 | |
2,144,000 | | Mylan NV, 2.50%, 6/07/19 | | | 2,128 | |
1,480,000 | | Nissan Motor Acceptance Corp. 144A, | | | | |
| | 2.15%, 9/28/20 (b) | | | 1,444 | |
339,000 | | Nokia OYJ, 3.38%, 6/12/22 | | | 328 | |
985,000 | | Packaging Corp. of America, 2.45%, 12/15/20 | | | 966 | |
3,155,000 | | Pelabuhan Indonesia III Persero PT 144A, | | | | |
| | 4.50%, 5/02/23 (b) | | | 3,141 | |
540,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. | | | | |
| | 144A, 2.50%, 6/15/19 (b) | | | 537 | |
2,900,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. | | | | |
| | 144A, 3.20%, 7/15/20 (b) | | | 2,896 | |
2,765,000 | | Philip Morris International Inc., 2.00%, 2/21/20 | | | 2,718 | |
490,000 | | Pitney Bowes Inc., 3.63%, 9/15/20 | | | 486 | |
2,015,000 | | Rio Energy SA/UGEN SA/UENSA SA 144A, | | | | |
| | 6.88%, 2/01/25 (b) | | | 1,970 | |
1,066,000 | | Royal Caribbean Cruises Ltd., 2.65%, 11/28/20 | | | 1,044 | |
8,487,000 | | Shire Acquisitions Investments Ireland DAC, | | | | |
| | 1.90%, 9/23/19 | | | 8,340 | |
1,550,000 | | Sirius XM Radio Inc. 144A, 3.88%, 8/01/22 (b) | | | 1,511 | |
1,050,000 | | SMBC Aviation Capital Finance DAC 144A, | | | | |
| | 2.65%, 7/15/21 (b) | | | 1,019 | |
1,595,000 | | SMBC Aviation Capital Finance DAC 144A, | | | | |
| | 3.00%, 7/15/22 (b) | | | 1,545 | |
1,415,000 | | Smithfield Foods Inc. 144A, 2.65%, 10/03/21 (b) | | | 1,348 | |
1,085,000 | | Smithfield Foods Inc. 144A, 2.70%, 1/31/20 (b) | | | 1,069 | |
4,077,500 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II | | | | |
| | LLC/Sprint Spectrum Co. III LLC 144A, | | | | |
| | 3.36%, 9/20/21 (b) | | | 4,073 | |
4,170,000 | | Suntory Holdings Ltd. 144A, 2.55%, 9/29/19 (b) | | | 4,138 | |
1,940,000 | | Teva Pharmaceutical Finance Netherlands III BV, | | | | |
| | 1.70%, 7/19/19 | | | 1,885 | |
930,000 | | Teva Pharmaceutical Finance Netherlands III BV, | | | | |
| | 2.20%, 7/21/21 | | | 840 | |
1,100,000 | | Teva Pharmaceutical Finance Netherlands III BV | | | | |
| | 144A, 6.00%, 4/15/24 (b)(d) | | | 1,069 | |
690,000 | | United Continental Holdings Inc., | | | | |
| | 6.38%, 6/01/18 | | | 692 | |
5,166,000 | | Verizon Communications Inc., (3 mo. LIBOR | | | | |
| | USD + 0.550%) 2.45%, 5/22/20 (a) | | | 5,197 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
4,735,000 | | Verizon Communications Inc., (3 mo. LIBOR | | | | |
| | USD + 1.000%) 3.15%, 3/16/22 (a) | | $ | 4,839 | |
2,255,000 | | ViaSat Inc. 144A, 5.63%, 9/15/25 (b) | | | 2,165 | |
2,000,000 | | Vulcan Materials Co., (3 mo. LIBOR USD | | | | |
| | + 0.600%) 2.72%, 6/15/20 (a) | | | 1,998 | |
1,500,000 | | Want Want China Finance Ltd. 144A, | | | | |
| | 1.88%, 5/14/18 (b) | | | 1,499 | |
560,000 | | Zimmer Biomet Holdings Inc., 2.70%, 4/01/20 | | | 555 | |
| | | | | | |
| | | | | 185,757 | |
| | | | | | |
Utility (7%) | | | | |
3,030,000 | | AES Corp./VA, 4.00%, 3/15/21 | | | 3,054 | |
2,251,000 | | American Electric Power Co. Inc., | | | | |
| | 2.15%, 11/13/20 | | | 2,194 | |
5,173,000 | | Cenovus Energy Inc., 5.70%, 10/15/19 | | | 5,333 | |
2,400,000 | | Cheniere Corpus Christi Holdings LLC, | | | | |
| | 5.88%, 3/31/25 | | | 2,483 | |
911,000 | | Dominion Energy Inc., 2.58%, 7/01/20 | | | 897 | |
4,690,000 | | Dominion Energy Inc., 2.96%, 7/01/19 | | | 4,678 | |
1,530,000 | | DTE Energy Co., 1.50%, 10/01/19 | | | 1,495 | |
2,073,000 | | Energy Transfer Equity LP, 4.25%, 3/15/23 | | | 2,006 | |
1,385,000 | | Energy Transfer Partners LP, 9.00%, 4/15/19 | | | 1,463 | |
4,795,000 | | EnLink Midstream Partners LP, 2.70%, 4/01/19 | | | 4,777 | |
2,675,000 | | Enterprise Products Operating LLC, | | | | |
| | 6.50%, 1/31/19 | | | 2,746 | |
1,180,000 | | EQT Corp., 2.50%, 10/01/20 | | | 1,151 | |
2,170,000 | | Kinder Morgan Energy Partners LP, | | | | |
| | 2.65%, 2/01/19 | | | 2,169 | |
1,198,000 | | Kinder Morgan Inc./DE, 3.05%, 12/01/19 | | | 1,195 | |
2,370,000 | | Kinder Morgan Inc./DE, (3 mo. LIBOR USD | | | | |
| | + 1.280%) 3.63%, 1/15/23 (a) | | | 2,411 | |
2,450,000 | | Majapahit Holding BV 144A, | | | | |
| | 7.75%, 1/20/20 (b) | | | 2,625 | |
4,165,000 | | Nabors Industries Inc., 4.63%, 9/15/21 | | | 4,092 | |
600,000 | | NextEra Energy Capital Holdings Inc., | | | | |
| | 1.65%, 9/01/18 | | | 598 | |
841,000 | | Noble Holding International Ltd., | | | | |
| | 7.75%, 1/15/24 (d) | | | 793 | |
1,268,000 | | Oasis Petroleum Inc., 6.88%, 1/15/23 (d) | | | 1,306 | |
1,545,000 | | ONEOK Inc., 4.25%, 2/01/22 | | | 1,575 | |
2,035,000 | | Phillips 66 144A, (3 mo. LIBOR USD | | | | |
| | + 0.750%) 3.10%, 4/15/20 (a)(b) | | | 2,036 | |
4,685,000 | | PNM Resources Inc., 3.25%, 3/09/21 | | | 4,655 | |
3,192,000 | | QEP Resources Inc., 6.88%, 3/01/21 | | | 3,447 | |
4,360,000 | | Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 | | | 4,579 | |
1,000,000 | | Sempra Energy, 2.40%, 2/01/20 | | | 988 | |
4,940,000 | | Sinopec Group Overseas Development 2017 Ltd. | | | | |
| | 144A, 2.38%, 4/12/20 (b) | | | 4,850 | |
2,457,143 | | Southern California Edison Co., 1.85%, 2/01/22 | | | 2,404 | |
810,000 | | Sunoco LP/Sunoco Finance Corp. 144A, | | | | |
| | 4.88%, 1/15/23 (b) | | | 799 | |
1,346,000 | | TransCanada PipeLines Ltd., 2.13%, 11/15/19 | | | 1,333 | |
2,525,000 | | Whiting Petroleum Corp., 5.75%, 3/15/21 | | | 2,591 | |
1,500,000 | | Woodside Finance Ltd. 144A, | | | | |
| | 8.75%, 3/01/19 (b) | | | 1,570 | |
| | | | | | |
| | | | | 78,293 | |
| | | | | | |
| |
Total Corporate Bond (Cost - $570,096) | | | 565,489 | |
| | | | | | |
Semi-Annual Report 19
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Foreign Government (2%) | | | | |
1,960,000 | | Abu Dhabi Government International Bond
144A, 2.50%, 10/11/22 (b) | | $ | 1,878 | |
4,880,000 | | Argentine Republic Government International
Bond, 4.63%, 1/11/23 | | | 4,669 | |
1,600,000 | | Argentine Republic Government International
Bond, 5.63%, 1/26/22 | | | 1,618 | |
2,100,000 | | Caisse d’Amortissement de la Dette Sociale
144A, 1.75%, 9/24/19 (b) | | | 2,075 | |
2,120,000 | | EL Fondo MIVIVIENDA SA 144A,
3.50%, 1/31/23 (b) | | | 2,074 | |
3,130,000 | | Georgia Government International Bond 144A,
6.88%, 4/12/21 (b) | | | 3,377 | |
800,000 | | Hellenic Republic Government Bond 144A,
3.38%, 2/15/25 EUR (b)(e)(f) | | | 961 | |
2,730,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 3.40%, 3/29/22 (b) | | | 2,686 | |
4,825,000 | | Provincia de Buenos Aires/Argentina 144A,
6.50%, 2/15/23 (b) | | | 4,903 | |
646,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 721 | |
2,310,000 | | Vietnam Government International Bond 144A, 6.75%, 1/29/20 (b) | | | 2,434 | |
Total Foreign Government (Cost - $27,852) | | | 27,396 | |
| |
Mortgage Backed (8%) | | | | |
1,661,157 | | CSMC Trust 2013-IVR2 144A,
1.55%, 4/25/43 (b)(g) | | | 1,602 | |
3,765,783 | | Fannie Mae Connecticut Avenue Securities, (1
mo. LIBOR USD + 0.550%) 2.45%, 1/25/30 (a) | | | 3,766 | |
4,900,184 | | Fannie Mae Connecticut Avenue Securities, (1
mo. LIBOR USD + 0.950%)
2.85%, 10/25/29 (a) | | | 4,929 | |
5,770,719 | | Fannie Mae Connecticut Avenue Securities, (1
mo. LIBOR USD + 1.150%) 3.05%, 9/25/29 (a) | | | 5,806 | |
1,779,847 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 1.950%) 3.85%, 8/25/28 (a) | | | 1,789 | |
2,560,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%) 4.10%, 8/25/30 (a) | | | 2,594 | |
6,050,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.250%) 4.15%, 7/25/30 (a) | | | 6,199 | |
271,103 | | FN 743821 ARM, (12 mo. LIBOR USD
+ 1.433%) 3.18%, 11/01/33 (a) | | | 284 | |
212,054 | | FN 790762 ARM, (12 mo. LIBOR USD
+ 1.415%) 3.17%, 9/01/34 (a) | | | 221 | |
271,617 | | FN 790764 ARM, (12 mo. LIBOR USD
+ 1.415%) 3.17%, 9/01/34 (a) | | | 283 | |
278,129 | | FN 794792 ARM, (12 mo. LIBOR USD
+ 1.490%) 3.23%, 10/01/34 (a) | | | 290 | |
405,588 | | FN 794797 ARM, (12 mo. LIBOR USD
+ 1.319%) 3.08%, 10/01/34 (a) | | | 420 | |
5,593,640 | | Freddie Mac Structured Agency Credit Risk Debt
Notes, (1 mo. LIBOR USD + 1.200%)
3.10%, 10/25/29 (a) | | | 5,658 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | |
4,554,308 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.900%)
4.79%, 7/25/28 (a) | | $ | 4,676 | |
1,450,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%)
6.50%, 12/25/42 (a) | | | 1,539 | |
1,297,048 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 7.950%)
9.85%, 5/25/25 (a) | | | 1,583 | |
1,022,810 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 10.750%)
12.65%, 3/25/25 (a) | | | 1,401 | |
1,124,319 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%)
13.15%, 10/25/29 (a) | | | 1,262 | |
1,922,260 | | Gosforth Funding 2016-1 PLC 144A, (3 mo. LIBOR GBP + 0.600%) 1.15%, 2/15/58 (a)(b)(f) | | | 2,653 | |
317,634 | | HomeBanc Mortgage Trust 2004-1, (1 mo. LIBOR USD + 0.860%) 2.76%, 8/25/29 (a) | | | 306 | |
565,473 | | JP Morgan Mortgage Trust 144A,
2.50%, 3/25/43 (b)(g) | | | 551 | |
3,059,233 | | JP Morgan Mortgage Trust 2017-1 144A,
3.50%, 1/25/47 (b)(g) | | | 3,055 | |
7,192,954 | | JP Morgan Mortgage Trust 2017-5 144A,
3.00%, 10/26/48 (b)(g) | | | 7,158 | |
610,850 | | MLCC Mortgage Investors Inc.,
3.33%, 2/25/36 (g) | | | 614 | |
357,997 | | MLCC Mortgage Investors Inc.,
3.39%, 12/25/34 (g) | | | 361 | |
99,712 | | Morgan Stanley Mortgage Loan Trust
2004-5AR, 3.34%, 7/25/34 (g) | | | 101 | |
2,855,542 | | New Residential Mortgage Loan Trust 2017-1
144A, 4.00%, 2/25/57 (b)(g) | | | 2,895 | |
6,485,620 | | New Residential Mortgage Loan Trust 2017-3
144A, 4.00%, 4/25/57 (b)(g) | | | 6,557 | |
6,668,305 | | New Residential Mortgage Loan Trust 2017-4
144A, 4.00%, 5/25/57 (b)(g) | | | 6,764 | |
1,894,024 | | Residential Asset Securitization Trust,
6.00%, 8/25/36 | | | 1,670 | |
1,004,665 | | Sequoia Mortgage Trust, 1.55%, 4/25/43 (g) | | | 959 | |
210,014 | | Sequoia Mortgage Trust 10, (1 mo. LIBOR USD + 0.800%) 2.70%, 10/20/27 (a) | | | 206 | |
145,819 | | Sequoia Mortgage Trust 2012-1,
2.87%, 1/25/42 (g) | | | 147 | |
695,026 | | Sequoia Mortgage Trust 2013-1,
1.45%, 2/25/43 (g) | | | 673 | |
3,754,450 | | Sequoia Mortgage Trust 2017-CH1 144A,
3.50%, 8/25/47 (b)(g) | | | 3,759 | |
2,396,795 | | Sequoia Mortgage Trust 2017-CH2 144A,
4.00%, 12/25/47 (b)(g) | | | 2,426 | |
776,056 | | Structured Adjustable Rate Mortgage Loan Trust, 3.67%, 8/25/34 (g) | | | 767 | |
Total Mortgage Backed (Cost - $85,602) | | | 85,924 | |
U.S. Government Agency (2%) | | | | |
9,500,000 | | FHLB, 2.13%, 2/11/20 | | | 9,437 | |
20 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
9,125,000 | | FHLB, 2.38%, 3/30/20 | | $ | 9,102 | |
5,900,000 | | FHLMC, 2.50%, 4/23/20 | | | 5,895 | |
| | | | | | |
Total U.S. Government Agency (Cost - $24,505) | | | 24,434 | |
| | | | | | |
U.S. Treasury (26%) | | | | |
10,000,000 | | U.S. Treasury Bill, 1.58%, 5/03/18 (h) | | | 9,999 | |
5,714,000 | | U.S. Treasury Note, 1.25%, 8/31/19 (i) | | | 5,629 | |
91,700,000 | | U.S. Treasury Note, 1.50%, 10/31/19 | | | 90,468 | |
10,000,000 | | U.S. Treasury Note, 1.75%, 11/30/19 | | | 9,895 | |
99,655,000 | | U.S. Treasury Note, 2.00%, 1/31/20 | | | 98,894 | |
45,000,000 | | U.S. Treasury Note, 2.25%, 3/31/20 | | | 44,807 | |
23,006,000 | | U.S. Treasury Note, 2.25%, 2/15/21 | | | 22,789 | |
| | | | | | |
Total U.S. Treasury (Cost - $284,306) | | | 282,481 | |
| | | | | | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| |
Investment Company (1%) | | | | |
8,665,942 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $8,666) | | $ | 8,666 | |
| | | | | | |
Total Investments (Cost - $1,108,835) (100%) | | | 1,101,735 | |
Liabilities in excess of Other Assets (0%) | | | (5,002 | ) |
| | | | | | |
Net Assets (100%) | | $ | 1,096,733 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (b) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (d) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $2,864 and the total market value of the collateral held by the Fund is $2,955. Amounts in 000s. |
| (e) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (f) | Principal in foreign currency. |
| (g) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
| (h) | Yield to maturity at time of purchase. |
| (i) | All or a portion of the security is pledged to cover futures contract margin requirements. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased
(000s) | | | | Currency
Sold (000) | | | | | Counterparty | | | Settlement
Date | | | | | | Unrealized
Appreciation
(000s) |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | |
| USD | | 974 | | | | | EUR 791 | | | | | | Citibank, N.A. | | | | 05/08/2018 | | | | | | | | $18 | | | |
| USD | | 2,722 | | | | | GBP 1,931 | | | | | | HSBC Bank USA, N.A. | | | | 05/08/2018 | | | | | | | | 63 | | | |
Net Unrealized Appreciation | | | | | | | | | | | | | | | $81 | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of
Contracts | | | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Long Contracts: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2 Year Note Future | | 228 | | | | | Jun-18 | | | | $48,347 | | | | $(101 | ) | | | $(101) | |
| | | | | | | | | | | | | | | | | | | (101) | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Future | | 11 | | | | | Jun-18 | | | | (1,740 | ) | | | (8 | ) | | | (8) | |
Euro-Bund Future | | 160 | | | | | Jun-18 | | | | (30,671 | ) | | | (217 | ) | | | (217) | |
U.S. Treasury 5 Year Note Future | | 321 | | | | | Jun-18 | | | | (36,436 | ) | | | 102 | | | | 102 | |
| | | | | | | | | | | | | | | | | | | (123) | |
| | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | $(224) | |
Semi-Annual Report 21
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements | | $ | 2,864 | |
of Assets and Liabilities1 | | | | |
Non-cash Collateral2 | | | (2,864 | ) |
| | | | |
Net Amount | | $ | — | |
| | | | |
| 1 | The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. |
| 2 | At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments. |
See notes to financial statements.
22 Payden Mutual Funds
| | | | | | | | | | | | |
The Fund seeks a high level of total return that is
consistent with preservation of capital by generally
investing in U.S. government obligations with an
average portfolio maturity not to exceed five years. | | Portfolio Composition - percent of investments | | | | | |
| | Mortgage Backed | | | 81 | % | |
| | Cash equivalent | | | 11 | % | |
| | U.S. Government Guaranteed | | | 8 | % | |
| | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
FDIC Guaranteed (2%) | | | | |
220,730 | | FDIC Guaranteed Notes Trust 2010-S3 144A, | | | | |
| | 2.74%, 12/03/20 (a) | | $ | 217 | |
667,724 | | FDIC Structured Sale Guaranteed Notes 144A, | | | | |
| | 3.25%, 4/25/38 (a) | | | 659 | |
562,675 | | FDIC Trust 144A, 2.18%, 5/25/50 (a) | | | 564 | |
| | | | | | |
Total FDIC Guaranteed (Cost - $1,456) | | | 1,440 | |
| | | | | | |
| |
Mortgage Backed (58%) | | | | |
494,665 | | FH 1Q1363 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.788%) 3.77%, 2/01/36 (b) | | | 520 | |
272,777 | | FH 2B0709 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.750%) 3.50%, 8/01/42 (b) | | | 283 | |
323,628 | | FH 2B0972 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.770%) 3.52%, 11/01/42 (b) | | | 334 | |
697,210 | | FH 2B1333 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.650%) 3.96%, 4/01/43 (b) | | | 716 | |
1,661,615 | | FH 2B4763 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.620%) 2.51%, 10/01/45 (b) | | | 1,670 | |
357,790 | | FH 849486 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.862%) 3.93%, 8/01/41 (b) | | | 375 | |
1,587,570 | | FH 849506 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.611%) 2.91%, 11/01/44 (b) | | | 1,594 | |
1,031,968 | | FH 849707 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.710%) 2.45%, 2/01/43 (b) | | | 1,034 | |
111,962 | | FN 849088 ARM, (12 mo. Federal Reserve | | | | |
| | Cumulative Average US + 1.962%) | | | | |
| | 3.36%, 11/01/35 (b) | | | 117 | |
51,892 | | FN 866093 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.737%) 3.78%, 3/01/36 (b) | | | 55 | |
639,029 | | FN 890434 15YR, 3.00%, 7/01/27 | | | 638 | |
213,357 | | FN AC0045 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.295%) 3.13%, 10/01/38 (b) | | | 221 | |
833,404 | | FN AE0193 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.717%) 3.60%, 7/01/40 (b) | | | 869 | |
426,504 | | FN AI4019 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.750%) 3.44%, 7/01/41 (b) | | | 446 | |
1,226,325 | | FN AJ4092 15YR, 3.50%, 10/01/26 | | | 1,242 | |
1,128,513 | | FN AL1869 15YR, 3.00%, 6/01/27 | | | 1,127 | |
1,561,403 | | FN AL2095 15YR, 3.00%, 6/01/27 | | | 1,559 | |
1,104,325 | | FN AL2221 15YR, 3.00%, 7/01/27 | | | 1,103 | |
657,223 | | FN AL5596 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.551%) 2.49%, 2/01/44 (b) | | | 681 | |
817,783 | | FN AL5790 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.565%) 2.50%, 10/01/44 (b) | | | 822 | |
914,126 | | FN AL5967 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.576%) 2.51%, 11/01/44 (b) | | | 920 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,294,199 | | FN AL7648 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.586%) 2.59%, 10/01/45 (b) | | $ | 1,288 | |
1,084,631 | | FN AL7790 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.819%) 3.75%, 9/01/40 (b) | | | 1,136 | |
1,350,466 | | FN AM2182, 2.16%, 1/01/23 | | | 1,294 | |
782,510 | | FN AO7975 15YR, 3.00%, 6/01/27 | | | 781 | |
332,777 | | FN AP4080 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.685%) 3.44%, 9/01/42 (b) | | | 346 | |
884,785 | | FN AP4746 15YR, 3.00%, 8/01/27 | | | 883 | |
2,225,976 | | FN AS1745 15YR, 3.00%, 2/01/29 | | | 2,216 | |
2,168,771 | | FN AS4186 15YR, 2.50%, 1/01/30 | | | 2,120 | |
2,432,810 | | FN AS6443 15YR, 3.00%, 12/01/30 | | | 2,416 | |
1,549,340 | | FN AS7088 15YR, 2.50%, 5/01/31 | | | 1,509 | |
1,230,269 | | FN AS8013 15YR, 2.50%, 9/01/31 | | | 1,198 | |
373,924 | | FN AU6974 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.580%) 2.73%, 11/01/43 (b) | | | 383 | |
916,951 | | FN AU8673 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.530%) 2.68%, 2/01/44 (b) | | | 950 | |
775,267 | | FN AY4068 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.530%) 2.19%, 4/01/44 (b) | | | 780 | |
1,777,988 | | FN AZ2886 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.600%) 2.66%, 9/01/45 (b) | | | 1,773 | |
1,271,101 | | FN AZ4380 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.590%) 2.53%, 8/01/45 (b) | | | 1,281 | |
1,660,499 | | FN BD2473 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.620%) 2.53%, 1/01/47 (b) | | | 1,641 | |
232,164 | | FNR 2002-10-FA, (1 mo. LIBOR USD | | | | |
| | + 0.750%) 2.65%, 2/25/32 (b) | | | 237 | |
1,714,982 | | G2 5301 15YR, 3.50%, 2/20/27 | | | 1,752 | |
994,219 | | G2 778200 20YR, 4.00%, 2/20/32 | | | 1,028 | |
531,563 | | G2 778203 20YR, 4.75%, 2/20/32 | | | 566 | |
793,110 | | G2 AY5138 Other, 3.25%, 12/20/37 | | | 793 | |
1,044,635 | | GN 728153, 5.50%, 10/15/29 | | | 1,141 | |
563,771 | | GN 737791 30YR, 4.50%, 12/15/40 | | | 594 | |
9,806,802 | | GNR 2014-79 ST, 0.69%, 7/20/29 (c) | | | 202 | |
| | | | | | |
Total Mortgage Backed (Cost - $45,933) | | | 44,634 | |
| | | | | | |
| |
NCUA Guaranteed (3%) | | | | |
637,576 | | NCUA Guaranteed Notes Trust 2010-A1, (1 mo. | | | | |
| | LIBOR USD + 0.350%) 2.25%, 12/07/20 (b) | | | 639 | |
467,963 | | NCUA Guaranteed Notes Trust 2010-R1, (1 mo. | | | | |
| | LIBOR USD + 0.450%) 2.35%, 10/07/20 (b) | | | 470 | |
977,114 | | NCUA Guaranteed Notes Trust 2010-R3, | | | | |
| | 2.40%, 12/08/20 | | | 975 | |
664,805 | | NCUA Guaranteed Notes Trust 2011-R2, (1 mo. | | | | |
| | LIBOR USD + 0.400%) 2.28%, 2/06/20 (b) | | | 666 | |
| | | | | | |
Total NCUA Guaranteed (Cost - $2,748) | | | 2,750 | |
| | | | | | |
Semi-Annual Report 23
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| |
Investment Company (8%) | | | | |
5,901,085 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $ 5,901) | | $ | 5,901 | |
| | | | | | |
Total Investments (Cost - $ 56,038) (71%) | | | 54,725 | |
Other Assets, net of Liabilities (29%) | | | 22,712 | |
| | | | | | |
| |
Net Assets (100%) | | $ | 77,437 | |
| | | | | | |
| (a) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (b) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (c) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
See notes to financial statements.
24 Payden Mutual Funds
| | | | | | | | | | | | |
The Fund seeks a high level of total return that is
consistent with preservation of capital by generally
investing in Government National Mortgage
Association mortgage-backed securities and other
U.S. government obligations with no limit on the
average portfolio maturity. | | Portfolio Composition - percent of investments | | | | | |
| | Mortgage Backed | | | 99 | % | |
| | Investment Company | | | 1 | % | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Mortgage Backed (145%) | | | | |
694,580 | | FH 1J1279 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.520%) 3.42%, 4/01/36 (a) | | $ | 720 | |
1,011,328 | | FH 1Q0062 ARM, (6 mo. LIBOR USD | | | | |
| | + 1.566%) 3.49%, 11/01/35 (a) | | | 1,047 | |
695,095 | | FH 847228 ARM, (12 mo. LIBOR USD | | | | |
| | + 2.000%) 3.76%, 1/01/34 (a) | | | 728 | |
1,760,142 | | FHLMC Multifamily Structured Pass-Through | | | | |
| | Certificates, (1 mo. LIBOR USD | | | | |
| | + 0.350%) 2.23%, 8/25/25 (a) | | | 1,764 | |
497,930 | | FHLMC Multifamily Structured Pass-Through | | | | |
| | Certificates, (1 mo. LIBOR USD | | | | |
| | + 0.480%) 2.36%, 9/25/23 (a) | | | 500 | |
1,216,814 | | FHR 3174 FA, (1 mo. LIBOR USD | | | | |
| | + 0.300%) 2.22%, 4/15/36 (a) | | | 1,216 | |
578,360 | | FN 832100 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.665%) 3.44%, 7/01/35 (a) | | | 608 | |
758,899 | | FN AK0419 ARM, (1 yr. US Treasury Yield | | | | |
| | Curve Rate T Note Constant Maturity | | | | |
| | + 2.274%) 3.60%, 12/01/27 (a) | | | 790 | |
1,583,884 | | FN AL0891 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.804%) 3.52%, 9/01/41 (a) | | | 1,655 | |
482,308 | | FNR 2007-110 FA, (1 mo. LIBOR USD | | | | |
| | + 0.620%) 2.52%, 12/25/37 (a) | | | 484 | |
44,400,000 | | G2, 3.00%, 30YR TBA (b) | | | 43,281 | |
43,780,000 | | G2, 3.50%, 30YR TBA (b) | | | 43,838 | |
2,000,000 | | G2, 4.00%, 30YR TBA (b) | | | 2,046 | |
734,577 | | G2 3415 30YR, 5.50%, 7/20/33 | | | 806 | |
682,953 | | G2 3584 30YR, 6.00%, 7/20/34 | | | 767 | |
531,421 | | G2 3711 30YR, 5.50%, 5/20/35 | | | 583 | |
686,977 | | G2 3747 30YR, 5.00%, 8/20/35 | | | 737 | |
421,557 | | G2 3772 30YR, 5.00%, 10/20/35 | | | 452 | |
783,563 | | G2 3785 30YR, 5.00%, 11/20/35 | | | 841 | |
1,276,513 | | G2 3819 30YR, 5.50%, 2/20/36 | | | 1,392 | |
941,209 | | G2 4802 30YR, 5.00%, 9/20/40 | | | 1,023 | |
1,581,816 | | G2 4853 30YR, 4.00%, 11/20/40 | | | 1,636 | |
544,846 | | G2 4978 30YR, 4.50%, 3/20/41 | | | 572 | |
713,271 | | G2 5055 30YR, 4.50%, 5/20/41 | | | 749 | |
1,506,580 | | G2 5083 30YR, 5.00%, 6/20/41 | | | 1,615 | |
1,806,404 | | G2 5115 30YR, 4.50%, 7/20/41 | | | 1,898 | |
591,464 | | G2 5140 30YR, 4.50%, 8/20/41 | | | 622 | |
3,948,278 | | G2 5175 30YR, 4.50%, 9/20/41 | | | 4,149 | |
5,949,022 | | G2 5258 30YR, 3.50%, 12/20/41 | | | 5,993 | |
116,868 | | G2 728869 30YR, 4.13%, 4/20/40 | | | 120 | |
410,244 | | G2 728870 30YR, 4.63%, 4/20/40 | | | 427 | |
178,783 | | G2 742041 30YR, 4.63%, 6/20/40 | | | 186 | |
793,970 | | G2 770239 30YR, 4.00%, 2/20/42 | | | 816 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
273,963 | | G2 80013 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.13%, 11/20/26 (a) | | $ | 282 | |
601,257 | | G2 80029 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 1/20/27 (a) | | | 613 | |
656,164 | | G2 80044 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 2/20/27 (a) | | | 670 | |
790,231 | | G2 80052 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 3/20/27 (a) | | | 807 | |
655,011 | | G2 80059 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.63%, 4/20/27 (a) | | | 676 | |
76,909 | | G2 8006 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 7/20/22 (a) | | | 78 | |
1,553,217 | | G2 80074 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.63%, 5/20/27 (a) | | | 1,602 | |
3,006,984 | | G2 80152 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 1/20/28 (a) | | | 3,071 | |
708,913 | | G2 80154 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 1/20/28 (a) | | | 724 | |
1,261,544 | | G2 80169 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 2/20/28 (a) | | | 1,296 | |
1,838,710 | | G2 80184 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.63%, 4/20/28 (a) | | | 1,900 | |
82,105 | | G2 80311 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 8/20/29 (a) | | | 85 | |
1,764,761 | | G2 80319 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 9/20/29 (a) | | | 1,826 | |
306,324 | | G2 8041 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 8/20/22 (a) | | | 311 | |
Semi-Annual Report 25
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
92,679 | | G2 80424 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 7/20/30 (a) | | $ | 96 | |
241,533 | | G2 80428 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 7/20/30 (a) | | | 250 | |
494,996 | | G2 80541 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 9/20/31 (a) | | | 513 | |
370,107 | | G2 80569 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 1/20/32 (a) | | | 380 | |
91,927 | | G2 80579 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 2/20/32 (a) | | | 94 | |
1,128,551 | | G2 80637 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 9/20/32 (a) | | | 1,171 | |
3,798,763 | | G2 80749 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.13%, 10/20/33 (a) | | | 3,945 | |
2,712,359 | | G2 80795 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.13%, 12/20/33 (a) | | | 2,816 | |
1,130,956 | | G2 80826 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 2/20/34 (a) | | | 1,163 | |
1,629,783 | | G2 80835 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 2/20/34 (a) | | | 1,677 | |
267,643 | | G2 80837 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 2/20/34 (a) | | | 275 | |
297,351 | | G2 81018 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 8/20/34 (a) | | | 309 | |
9,054 | | G2 81044 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 8/20/34 (a) | | | 9 | |
50,976 | | G2 8121 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 1/20/23 (a) | | | 51 | |
1,039,216 | | G2 81214 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 1/20/35 (a) | | | 1,070 | |
386,571 | | G2 81220 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 1/20/35 (a) | | | 398 | |
369,543 | | G2 81278 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 3/20/35 (a) | | | 381 | |
1,548,543 | | G2 81282 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 3/20/35 (a) | | | 1,594 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
135,133 | | G2 81938 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 7/20/37 (a) | | $ | 137 | |
2,675,805 | | G2 82074 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.63%, 5/20/38 (a) | | | 2,784 | |
1,428,601 | | G2 82107 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 7/20/38 (a) | | | 1,486 | |
122,222 | | G2 82151 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 9/20/38 (a) | | | 124 | |
70,791 | | G2 8228 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 7/20/23 (a) | | | 72 | |
2,928,515 | | G2 82457 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 1/20/40 (a) | | | 3,024 | |
1,454,516 | | G2 82463 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 1/20/40 (a) | | | 1,498 | |
1,274,583 | | G2 82737 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 2/20/41 (a) | | | 1,298 | |
433,668 | | G2 83031 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.50%, 1/20/42 (a) | | | 441 | |
166,776 | | G2 8358 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 1/20/24 (a) | | | 170 | |
669,702 | | G2 8547 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.13%, 11/20/24 (a) | | | 686 | |
89,442 | | G2 8595 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.38%, 2/20/25 (a) | | | 91 | |
30,122 | | G2 8855 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.13%, 10/20/21 (a) | | | 30 | |
301,638 | | G2 8968 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 2.75%, 9/20/26 (a) | | | 311 | |
1,009,898 | | G2 8991 ARM, (1 yr. US Treasury Yield Curve | | | | |
| | Rate T Note Constant Maturity | | | | |
| | + 1.500%) 3.13%, 10/20/26 (a) | | | 1,039 | |
1,587,079 | | G2 AY5138 30YR, 3.25%, 12/20/37 | | | 1,587 | |
4,303,193 | | G2 MA0698 30YR, 3.00%, 1/20/43 | | | 4,217 | |
3,901,411 | | G2 MA1012 30YR, 3.50%, 5/20/43 | | | 3,930 | |
3,793,735 | | G2 MA1089 30YR, 3.00%, 6/20/43 | | | 3,719 | |
3,508,562 | | G2 MA1520 30YR, 3.00%, 12/20/43 | | | 3,439 | |
4,489,011 | | G2 MA2372 30YR, 4.00%, 11/20/44 | | | 4,627 | |
4,886,186 | | G2 MA3173 30YR, 3.50%, 10/20/45 | | | 4,903 | |
839,422 | | G2 MA3454 30YR, 3.50%, 2/20/46 | | | 842 | |
4,568,910 | | G2 MA3597 30YR, 3.50%, 4/20/46 | | | 4,583 | |
5,039,299 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 5,054 | |
4,135,302 | | G2 MA3802 30YR, 3.00%, 7/20/46 | | | 4,044 | |
26 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,913,859 | | G2 MA4069 30YR, 3.50%, 11/20/46 | | $ | 1,919 | |
506,883 | | G2 MA4127 30YR, 3.50%, 12/20/46 | | | 508 | |
2,917,511 | | G2 MA4321 30YR, 3.50%, 3/20/47 | | | 2,925 | |
693,255 | | GN 366983 30YR, 4.00%, 6/15/41 | | | 713 | |
4,736,707 | | GN 367090 30YR, 4.50%, 7/15/41 | | | 5,009 | |
4,924,568 | | GN 367092 30YR, 4.50%, 7/15/41 | | | 5,182 | |
1,769,213 | | GN 455989 15YR, 5.00%, 7/15/26 | | | 1,875 | |
53,840 | | GN 524825 30YR, 5.47%, 10/15/29 | | | 58 | |
38,721 | | GN 524869 30YR, 5.47%, 1/15/30 | | | 42 | |
136,958 | | GN 524925 30YR, 5.47%, 2/15/30 | | | 148 | |
71,291 | | GN 524968 30YR, 5.47%, 3/15/30 | | | 77 | |
53,062 | | GN 524996 30YR, 5.47%, 5/15/30 | | | 57 | |
123,002 | | GN 525015 30YR, 5.47%, 6/15/30 | | | 133 | |
93,468 | | GN 525033 30YR, 5.47%, 7/15/30 | | | 101 | |
256,675 | | GN 558954 20YR, 5.25%, 5/15/29 | | | 276 | |
827,348 | | GN 558956 30YR, 4.50%, 6/15/29 | | | 865 | |
58,210 | | GN 596009 30YR, 5.75%, 7/15/32 | | | 64 | |
75,043 | | GN 596023 30YR, 5.75%, 7/15/32 | | | 82 | |
150,982 | | GN 596054 30YR, 5.75%, 8/15/32 | | | 167 | |
129,554 | | GN 596071 30YR, 5.75%, 8/15/32 | | | 142 | |
92,420 | | GN 596072 30YR, 5.75%, 7/15/32 | | | 102 | |
130,933 | | GN 596090 30YR, 5.75%, 8/15/32 | | | 145 | |
218,408 | | GN 596135 30YR, 5.75%, 8/15/32 | | | 240 | |
116,360 | | GN 596166 30YR, 5.75%, 8/15/32 | | | 128 | |
151,810 | | GN 596178 30YR, 5.75%, 9/15/32 | | | 168 | |
101,661 | | GN 596225 30YR, 5.75%, 9/15/32 | | | 112 | |
25,343 | | GN 596231 30YR, 5.75%, 9/15/32 | | | 28 | |
44,292 | | GN 596237 30YR, 5.75%, 9/15/32 | | | 49 | |
36,739 | | GN 596312 30YR, 5.75%, 9/15/32 | | | 40 | |
57,319 | | GN 596313 30YR, 5.75%, 9/15/32 | | | 63 | |
65,648 | | GN 596396 30YR, 5.75%, 9/15/32 | | | 72 | |
135,927 | | GN 601699 30YR, 5.70%, 12/15/32 | | | 149 | |
277,497 | | GN 601738 30YR, 5.25%, 1/15/33 | | | 296 | |
168,844 | | GN 601772 30YR, 5.25%, 1/15/33 | | | 180 | |
155,373 | | GN 601774 30YR, 5.25%, 1/15/33 | | | 166 | |
109,584 | | GN 601775 30YR, 5.70%, 1/15/33 | | | 120 | |
167,309 | | GN 601786 30YR, 5.25%, 2/15/33 | | | 179 | |
154,694 | | GN 601791 30YR, 5.25%, 2/15/33 | | | 165 | |
107,070 | | GN 601810 30YR, 5.25%, 2/15/33 | | | 114 | |
108,886 | | GN 601845 30YR, 5.25%, 2/15/33 | | | 116 | |
113,513 | | GN 601858 30YR, 5.70%, 2/15/33 | | | 124 | |
643,843 | | GN 601872 30YR, 5.25%, 3/15/33 | | | 698 | |
247,329 | | GN 601937 30YR, 5.25%, 3/15/33 | | | 264 | |
93,223 | | GN 602002 30YR, 5.25%, 3/15/33 | | | 99 | |
85,399 | | GN 602043 30YR, 5.25%, 4/15/33 | | | 91 | |
363,464 | | GN 605099 30YR, 5.50%, 3/15/34 | | | 399 | |
49,260 | | GN 613272 30YR, 5.25%, 5/15/33 | | | 53 | |
83,944 | | GN 613354 30YR, 5.45%, 7/15/33 | | | 91 | |
98,188 | | GN 613355 30YR, 5.70%, 4/15/33 | | | 108 | |
894,546 | | GN 616826 30YR, 5.50%, 1/15/35 | | | 982 | |
2,035,401 | | GN 710868 30YR, 5.50%, 9/15/39 | | | 2,237 | |
631,354 | | GN 728153 20YR, 5.50%, 10/15/29 | | | 689 | |
330,841 | | GN 728159 20YR, 5.25%, 11/15/29 | | | 355 | |
5,154,884 | | GN 734089 30YR, 4.00%, 12/15/40 | | | 5,312 | |
755,303 | | GN 743362 30YR, 4.75%, 6/15/40 | | | 804 | |
39,310 | | GN 743363 30YR, 4.25%, 5/15/40 | | | 41 | |
109,152 | | GN 743502 30YR, 4.25%, 6/15/40 | | | 112 | |
295,984 | | GN 743503 30YR, 4.75%, 6/15/40 | | | 309 | |
122,960 | | GN 747368 30YR, 4.75%, 7/15/40 | | | 128 | |
33,988 | | GN 747491 30YR, 4.75%, 7/15/40 | | | 36 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
61,699 | | GN 747740 30YR, 4.25%, 9/15/40 | | $ | 64 | |
199,862 | | GN 747741 30YR, 4.75%, 9/15/40 | | | 209 | |
294,388 | | GN 761040 30YR, 4.25%, 3/15/41 | | | 304 | |
68,067 | | GN 762726 30YR, 4.25%, 3/15/41 | | | 70 | |
135,890 | | GN 763012 30YR, 4.25%, 4/15/41 | | | 139 | |
319,844 | | GN 763216 30YR, 4.25%, 4/15/41 | | | 329 | |
59,834 | | GN 768886 30YR, 4.25%, 6/15/41 | | | 62 | |
312,773 | | GN 781636 30YR, 5.50%, 7/15/33 | | | 343 | |
358,631 | | GN 781810 30YR, 5.50%, 10/15/34 | | | 394 | |
12,893 | | GNR 2000-22 FG, (1 mo. LIBOR USD | | | | |
| | + 0.200%) 2.13%, 5/16/30 (a) | | | 13 | |
229,457 | | GNR 2000-9 FG, (1 mo. LIBOR USD | | | | |
| | + 0.600%) 2.53%, 2/16/30 (a) | | | 232 | |
135,691 | | GNR 2000-9 FH, (1 mo. LIBOR USD | | | | |
| | + 0.500%) 2.43%, 2/16/30 (a) | | | 136 | |
197,384 | | GNR 2001-19 F, (1 mo. LIBOR USD | | | | |
| | + 0.500%) 2.43%, 5/16/31 (a) | | | 199 | |
7,404 | | GNR 2001-21 FN, (1 mo. LIBOR USD | | | | |
| | + 0.200%) 2.13%, 8/16/22 (a) | | | 7 | |
932,101 | | GNR 2001-22 FG, (1 mo. LIBOR USD | | | | |
| | + 0.350%) 2.28%, 5/16/31 (a) | | | 936 | |
490,440 | | GNR 2001-31 FA, (1 mo. LIBOR USD | | | | |
| | + 0.250%) 2.18%, 6/16/31 (a) | | | 490 | |
436,423 | | GNR 2001-35 FA, (1 mo. LIBOR USD | | | | |
| | + 0.250%) 2.18%, 8/16/31 (a) | | | 436 | |
328,109 | | GNR 2001-59 FA, (1 mo. LIBOR USD | | | | |
| | + 0.400%) 2.33%, 11/16/24 (a) | | | 329 | |
203,492 | | GNR 2001-65 FV, (1 mo. LIBOR USD | | | | |
| | + 0.400%) 2.30%, 2/20/29 (a) | | | 205 | |
271,718 | | GNR 2002-11 FJ, (1 mo. LIBOR USD | | | | |
| | + 0.500%) 2.40%, 2/20/32 (a) | | | 274 | |
228,936 | | GNR 2002-13 FA, (1 mo. LIBOR USD | | | | |
| | + 0.500%) 2.43%, 2/16/32 (a) | | | 229 | |
664,278 | | GNR 2002-48 FG, (1 mo. LIBOR USD | | | | |
| | + 0.300%) 2.23%, 12/16/30 (a) | | | 666 | |
222,440 | | GNR 2002-48 FT, (1 mo. LIBOR USD | | | | |
| | + 0.200%) 2.10%, 12/16/26 (a) | | | 223 | |
610,133 | | GNR 2002-5 FP, (1 mo. LIBOR USD | | | | |
| | + 0.550%) 2.48%, 1/16/32 (a) | | | 616 | |
389,451 | | GNR 2002-72 FA, (1 mo. LIBOR USD | | | | |
| | + 0.400%) 2.30%, 10/20/32 (a) | | | 390 | |
179,148 | | GNR 2002-72 FB, (1 mo. LIBOR USD | | | | |
| | + 0.400%) 2.30%, 10/20/32 (a) | | | 180 | |
1,206,353 | | GNR 2002-72 FE, (1 mo. LIBOR USD | | | | |
| | + 0.400%) 2.30%, 10/20/32 (a) | | | 1,209 | |
242,067 | | GNR 2002-76 F, (1 mo. LIBOR USD | | | | |
| | + 0.200%) 2.13%, 1/16/31 (a) | | | 242 | |
90,824 | | GNR 2002-76 FY, (1 mo. LIBOR USD | | | | |
| | + 0.300%) 2.23%, 12/16/26 (a) | | | 91 | |
1,058,189 | | GNR 2003-71 FC, (1 mo. LIBOR USD | | | | |
| | + 0.500%) 2.40%, 7/20/33 (a) | | | 1,067 | |
1,152,058 | | GNR 2003-94 FB, (1 mo. LIBOR USD | | | | |
| | + 0.300%) 2.23%, 12/16/30 (a) | | | 1,156 | |
1,970,426 | | GNR 2004-56 F, (1 mo. LIBOR USD | | | | |
| | + 0.400%) 2.30%, 6/20/33 (a) | | | 1,982 | |
Semi-Annual Report 27
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,165,334 | | GNR 2004-59 FH, (1 mo. LIBOR USD | | | | |
| | + 0.250%) 2.18%, 8/16/34 (a) | | $ | 1,166 | |
1,014,312 | | GNR 2004-86 FG, (1 mo. LIBOR USD | | | | |
| | + 0.400%) 2.30%, 7/20/34 (a) | | | 1,014 | |
313,913 | | GNR 2006-47 FA, (1 mo. LIBOR USD | | | | |
| | + 0.200%) 2.13%, 8/16/36 (a) | | | 313 | |
1,891,530 | | GNR 2006-60 FK, (1 mo. LIBOR USD | | | | |
| | + 0.200%) 2.13%, 11/20/36 (a) | | | 1,885 | |
1,470,345 | | GNR 2007-54 FC, (1 mo. LIBOR USD | | | | |
| | + 0.260%) 2.16%, 9/20/37 (a) | | | 1,466 | |
548,407 | | GNR 2007-76 FB, (1 mo. LIBOR USD | | | | |
| | + 0.500%) 2.40%, 11/20/37 (a) | | | 551 | |
1,701,120 | | GNR 2008-11 FB, (1 mo. LIBOR USD | | | | |
| | + 0.600%) 2.50%, 2/20/38 (a) | | | 1,719 | |
1,495,188 | | GNR 2008-15 CF, (1 mo. LIBOR USD | | | | |
| | + 0.510%) 2.41%, 2/20/38 (a) | | | 1,503 | |
403,037 | | GNR 2008-2 FH, (1 mo. LIBOR USD | | | | |
| | + 0.450%) 2.35%, 1/20/38 (a) | | | 404 | |
1,897,138 | | GNR 2008-67 UF, (1 mo. LIBOR USD | | | | |
| | + 0.450%) 2.35%, 6/20/38 (a) | | | 1,911 | |
703,054 | | GNR 2009-87 FB, (1 mo. LIBOR USD | | | | |
| | + 0.650%) 2.55%, 9/20/39 (a) | | | 710 | |
1,944,176 | | GNR 2010-57 WF, (1 mo. LIBOR USD | | | | |
| | + 0.400%) 2.33%, 3/16/38 (a) | | | 1,948 | |
866,367 | | GNR 2012-18 AF, (1 mo. LIBOR USD | | | | |
| | + 0.300%) 2.20%, 2/20/38 (a) | | | 868 | |
1,732,594 | | GNR 2012-98 FM, (1 mo. LIBOR USD | | | | |
| | + 0.200%) 2.10%, 12/20/38 (a) | | | 1,735 | |
22,772,527 | | GNR 2014-79 ST, 0.72%, 7/20/29 (c) | | | 472 | |
1,356,380 | | GNR 2017-68 AF, (1 mo. LIBOR USD | | | | |
| | + 0.350%) 2.23%, 5/20/47 (a) | | | 1,359 | |
| | | | | | |
Total Mortgage Backed (Cost - $281,154) | | | 276,483 | |
| | | | | | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
NCUA Guaranteed (0%) | | | | |
1,025,029 | | NCUA Guaranteed Notes Trust 2011-R2, (1 mo. | | | | |
| | LIBOR USD + 0.400%) 2.28%, 2/06/20 (a) | | | | |
| | (Cost - $ 1,027) | | $ | 1,027 | |
| | | | | | |
Purchased Call Swaptions (0%) | | | | |
Total Purchased Call Swaptions (Cost - $ 119) | | | 8 | |
| | | | | | |
| |
Investment Company (1%) | | | | |
1,279,863 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $ 1,280) | | | 1,280 | |
| | | | | | |
Total Investments (Cost - $ 283,580) (146%) | | | 278,798 | |
Liabilities in excess of Other Assets (-46%) | | | (87,595 | ) |
| | | | | | |
Net Assets (100%) | | $ | 191,203 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (b) | Security was purchased on a delayed delivery basis. |
| (c) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
Purchased Swaptions
| | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Notional
Amount
(000s) | | | Expiration
date | | | Value
(000s) | | | Call/Put | |
Purchased Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | |
| 10 Year Interest Rate Swap, 11/13/28, Pay Fixed 2.3000% | | Citibank, N.A. | | | $3,000 | | | | 11/08/2018 | | | | $4 | | | | Call | |
| Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD | | | | | | | | | | | | | | | | | | |
| LIBOR | | | | | | | | | | | | | | | | | | |
| 10 Year Interest Rate Swap, 11/29/18, Pay Fixed 2.491% | | Barclays Bank PLC | | | 1,000 | | | | 11/29/2018 | | | | 3 | | | | Call | |
| Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD | | | | | | | | | | | | | | | | | | |
| LIBOR | | | | | | | | | | | | | | | | | | |
| 10 Year Interest Rate Swap, 7/31/28, Pay Fixed 2.1775% | | BNP PARIBAS | | | 2,600 | | | | 07/27/2018 | | | | 1 | | | | Call | |
| Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD | | | | | | | | | | | | | | | | | | |
| LIBOR | | | | | | | | | | | | | | | | | | |
| Total Swaptions | | | | | | | | | | | | | $8 | | | | | |
28 Payden Mutual Funds
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Long Contracts: | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar Future | | 230 | | | Dec-18 | | | | $55,979 | | | | $(245 | ) | | | $(245 | ) |
| | | | | | | | | | | | | | | | | (245 | ) |
Short Contracts: | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar Future | | 230 | | | Dec-19 | | | | (55,792 | ) | | | 315 | | | | 315 | |
| | | | | | | | | | | | | | | | | 315 | |
Total Futures | | | | | | | | | | | | | | | | | $ 70 | |
See notes to financial statements.
Semi-Annual Report 29
| | | | | | | | | | |
The Fund seeks a high level of total return that is
consistent with preservation of capital by generally
investing in investment grade securities with no limit
on the average portfolio maturity. | | Portfolio Composition - percent of investments | | | | |
| | Corporate | | | 34% | | |
| | Mortgage Backed | | | 27% | | |
| | U.S. Treasury | | | 20% | | |
| | Asset Backed | | | 7% | | |
| | Foreign Government | | | 6% | | |
| | Other | | | 6% | | |
| | | | | | | |
| | | | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (7%) | | | | |
1,565,000 | | Atrium XII 144A, (3 mo. LIBOR USD
+ 2.800%) 5.16%, 4/22/27 (a)(b) | | $ | 1,570 | |
6,020,000 | | Barings CLO Ltd. 2013-I 144A, (3 mo. LIBOR
USD + 0.800%) 3.16%, 1/20/28 (a)(b) | | | 6,021 | |
1,800,000 | | BlueMountain CLO 2013-4 Ltd. 144A, (3 mo. LIBOR USD + 1.500%) 3.85%, 4/15/25 (a)(b) | | | 1,800 | |
2,900,000 | | BlueMountain CLO 2014-4 Ltd. 144A, (3 mo. LIBOR USD + 1.350%) 3.33%, 11/30/26 (a)(b) | | | 2,902 | |
1,750,000 | | Carlyle Global Market Strategies CLO 2016-1 Ltd. 144A, (3 mo. LIBOR USD + 3.300%)
5.66%, 4/20/27 (a)(b) | | | 1,755 | |
2,320,000 | | Cedar Funding II CLO Ltd. 144A, (3 mo. LIBOR USD + 1.750%) 3.81%, 6/09/30 (a)(b) | | | 2,326 | |
96,020 | | Chase Funding Mortgage Loan Asset-Backed Certificates, (1 mo. LIBOR USD + 0.660%) 2.56%, 11/25/32 (a) | | | 96 | |
2,000,000 | | CIFC Funding 2017-III Ltd. 144A, (3 mo. LIBOR USD + 1.220%) 3.58%, 7/20/30 (a)(b) | | | 2,009 | |
1,700,000 | | CIFC Funding 2017-III Ltd. 144A, (3 mo. LIBOR USD + 1.800%) 4.16%, 7/20/30 (a)(b) | | | 1,706 | |
1,771,425 | | Colony American Homes 2015-1 144A, (1 mo. LIBOR USD + 1.200%) 3.10%, 7/17/32 (a)(b) | | | 1,773 | |
3,128,196 | | Colony Starwood Homes 2016-2 Trust 144A, (1 | | | | |
| | mo. LIBOR USD + 1.250%) | | | | |
| | 3.17%, 12/17/33 (a)(b) | | | 3,155 | |
2,223,200 | | Domino’s Pizza Master Issuer LLC 144A, | | | | |
| | 3.08%, 7/25/47 (b) | | | 2,159 | |
2,153,725 | | Domino’s Pizza Master Issuer LLC 144A, (3 mo. | | | | |
| | LIBOR USD + 1.250%) 3.61%, 7/25/47 (a)(b) | | | 2,165 | |
1,191,000 | | Domino’s Pizza Master Issuer LLC 144A, | | | | |
| | 4.12%, 7/25/47 (b) | | | 1,182 | |
2,600,000 | | First Investors Auto Owner Trust 2016-2 144A, | | | | |
| | 2.53%, 7/15/22 (b) | | | 2,557 | |
1,980,000 | | Hyundai Auto Receivables Trust 2016-B, | | | | |
| | 2.68%, 9/15/23 | | | 1,924 | |
2,550,000 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD | | | | |
| | + 1.450%) 3.81%, 4/21/25 (a)(b) | | | 2,553 | |
1,142,756 | | L.A. Arena Funding LLC 144A, | | | | |
| | 7.66%, 12/15/26 (b) | | | 1,203 | |
1,750,000 | | LCM XXI LP 144A, (3 mo. LIBOR USD | | | | |
| | + 3.500%) 5.86%, 4/20/28 (a)(b) | | | 1,777 | |
3,350,000 | | Madison Park Funding XIV Ltd. 144A, (3 mo. | | | | |
| | LIBOR USD + 1.120%) 3.48%, 7/20/26 (a)(b) | | | 3,354 | |
2,150,000 | | Magnetite IX Ltd. 144A, (3 mo. LIBOR USD | | | | |
| | + 1.500%) 3.86%, 7/25/26 (a)(b) | | | 2,152 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,750,000 | | Octagon Investment Partners 26 Ltd. 144A, (3 | | | | |
| | mo. LIBOR USD + 3.350%) | | | | |
| | 5.70%, 4/15/27 (a)(b) | | $ | 1,755 | |
2,666,250 | | Taco Bell Funding LLC 144A, | | | | |
| | 3.83%, 5/25/46 (b) | | | 2,682 | |
6,710,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD | | | | |
| | + 0.890%) 3.24%, 4/15/29 (a)(b) | | | 6,710 | |
527,519 | | VOLT XXV LLC 144A, 3.50%, 6/26/45 (b) | | | 529 | |
1,250,000 | | Westlake Automobile Receivables Trust 2016-2 | | | | |
| | 144A, 4.10%, 6/15/21 (b) | | | 1,264 | |
| | | | | | |
Total Asset Backed (Cost - $59,089) | | | 59,079 | |
| | | | | | |
Bank Loans(c) (4%) | | | | |
1,982,481 | | Altice France SA Term Loan B11 1L, (LIBOR | | | | |
| | USD 1-Month + 2.750%) 4.52%, 7/18/25 | | | 1,956 | |
2,144,625 | | Aramark Services Inc. Term Loan B1 1L, (LIBOR | | | | |
| | USD 1-Month + 2.000%) 3.90%, 3/11/25 | | | 2,162 | |
1,538,540 | | B&G Foods Inc. Term Loan B3 1L, (LIBOR USD | | | | |
| | 1-Month + 2.000%) 3.90%, 11/02/22 | | | 1,549 | |
1,985,000 | | BWAY Corp. Term Loan B 1L, (LIBOR USD | | | | |
| | 1-Month + 3.250%) 5.27%, 4/03/24 | | | 1,999 | |
1,442,438 | | Dole Food Co. Inc. Term Loan B 1L, (LIBOR | | | | |
| | USD 1-Month + 2.750%) 5.10%, 4/06/24 | | | 1,451 | |
2,977,444 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR | | | | |
| | USD 1-Month + 3.500%) 5.80%, 10/21/21 | | | 2,998 | |
1,984,876 | | Golden Nugget Inc. Term Loan B 1L, (LIBOR | | | | |
| | USD 1-Month + 2.750%) 4.65%, 10/04/23 | | | 2,004 | |
1,969,740 | | Harbor Freight Tools USA Inc. Term Loan 1L, | | | | |
| | (LIBOR USD 1-Month + 2.500%) | | | | |
| | 4.40%, 8/16/23 | | | 1,981 | |
1,309,751 | | Hilton Worldwide Finance LLC Term Loan B2 | | | | |
| | 1L, (LIBOR USD 1-Month + 1.750%) | | | | |
| | 3.65%, 10/25/23 | | | 1,322 | |
1,984,962 | | Infor U.S. Inc. Term Loan B6 1L, (LIBOR USD | | | | |
| | 1-Month + 2.750%) 4.65%, 2/01/22 | | | 1,997 | |
1,984,810 | | MGM Growth Properties Operating Partnership | | | | |
| | LP Term Loan B 1L, (LIBOR USD | | | | |
| | 1-Month + 2.000%) 3.90%, 3/25/25 | | | 1,998 | |
2,000,000 | | Sinclair Television Group Inc. Term Loan B 1L, | | | | |
| | (LIBOR USD 3-Month + 2.500%) | | | | |
| | 2.50%, 12/12/24 | | | 2,013 | |
2,985,000 | | Trinseo Materials Operating SCA Term Loan 1L, | | | | |
| | (LIBOR USD 1-Month + 2.500%) | | | | |
| | 4.40%, 9/06/24 | | | 3,011 | |
30 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,950,000 | | WMG Acquisition Corp. Term Loan E 1L, | | | | |
| | (LIBOR USD 1-Month + 2.250%) | | | | |
| | 4.15%, 11/01/23 | | $ | 2,967 | |
2,000,000 | | Wyndham Hotels & Resorts Inc. Term Loan B | | | | |
| | 1L, (LIBOR USD 1-Month + 1.750%) | | | | |
| | 1.75%, 3/29/25 | | | 2,018 | |
| | | | | | |
| |
Total Bank Loans (Cost - $31,382) | | | 31,426 | |
| | | | | | |
Corporate Bond (37%) | | | | |
Financial (17%) | | | | |
1,400,000 | | ABN AMRO Bank NV, (5 yr. Swap Semi 30/360 | | | | |
| | USD + 2.197%) 4.40%, 3/27/28 (a) | | | 1,400 | |
1,945,000 | | ADCB Finance Cayman Ltd. 144A, | | | | |
| | 4.00%, 3/29/23 (b) | | | 1,921 | |
4,170,000 | | AerCap Ireland Capital DAC/AerCap Global | | | | |
| | Aviation Trust, 5.00%, 10/01/21 | | | 4,335 | |
890,000 | | Ally Financial Inc., 3.25%, 11/05/18 | | | 891 | |
1,450,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 1,387 | |
1,650,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 1,616 | |
2,800,000 | | Athene Global Funding 144A, (3 mo. LIBOR | | | | |
| | USD + 1.230%) 3.54%, 7/01/22 (a)(b) | | | 2,856 | |
4,250,000 | | Bank of America Corp., (3 mo. LIBOR USD | | | | |
| | + 0.660%) 2.37%, 7/21/21 (a) | | | 4,170 | |
1,755,000 | | Bank of America Corp., 7.75%, 5/14/38 | | | 2,393 | |
4,450,000 | | Barclays PLC, 4.38%, 9/11/24 | | | 4,349 | |
2,950,000 | | Blackstone Holdings Finance Co. LLC 144A, | | | | |
| | 4.75%, 2/15/23 (b) | | | 3,087 | |
515,000 | | Block Financial LLC, 4.13%, 10/01/20 | | | 522 | |
2,950,000 | | BPCE SA, (3 mo. LIBOR USD + 0.880%) | | | | |
| | 2.86%, 5/31/22 (a) | | | 2,982 | |
3,000,000 | | Capital One Financial Corp., 3.75%, 3/09/27 | | | 2,853 | |
4,750,000 | | Citigroup Inc., 4.13%, 7/25/28 | | | 4,582 | |
1,225,000 | | Citigroup Inc., 4.45%, 9/29/27 | | | 1,220 | |
3,170,000 | | Citizens Financial Group Inc. 144A, | | | | |
| | 4.15%, 9/28/22 (b) | | | 3,188 | |
1,125,000 | | Compass Bank, 2.75%, 9/29/19 | | | 1,119 | |
900,000 | | Compass Bank, 3.88%, 4/10/25 | | | 872 | |
880,000 | | Credit Suisse Group AG 144A, | | | | |
| | 4.28%, 1/09/28 (b) | | | 868 | |
1,200,000 | | Credit Suisse Group Funding Guernsey Ltd., | | | | |
| | 2.75%, 3/26/20 | | | 1,191 | |
2,315,000 | | First Midwest Bancorp Inc./IL, 5.88%, 9/29/26 | | | 2,442 | |
1,600,000 | | Five Corners Funding Trust 144A, | | | | |
| | 4.42%, 11/15/23 (b) | | | 1,655 | |
2,740,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 2,635 | |
2,550,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD | | | | |
| | + 1.235%) 3.59%, 2/15/23 (a) | | | 2,550 | |
1,385,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 1,351 | |
1,330,000 | | FS Investment Corp., 4.25%, 1/15/20 | | | 1,328 | |
2,825,000 | | General Motors Financial Co. Inc., | | | | |
| | 4.35%, 1/17/27 | | | 2,753 | |
1,435,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD | | | | |
| | + 1.750%) 4.11%, 10/28/27 (a) | | | 1,507 | |
3,400,000 | | Goldman Sachs Group Inc./The, (3 mo. LIBOR | | | | |
| | USD + 0.750%) 2.56%, 2/23/23 (a) | | | 3,404 | |
1,700,000 | | Hospitality Properties Trust, 5.25%, 2/15/26 | | | 1,740 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,985,000 | | ICBCIL Finance Co. Ltd. 144A, | | | | |
| | 2.38%, 5/19/19 (b) | | $ | 2,949 | |
4,305,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD | | | | |
| | + 0.730%) 3.56%, 4/23/24 (a) | | | 4,283 | |
3,450,000 | | KKR Group Finance Co. II LLC 144A, | | | | |
| | 5.50%, 2/01/43 (b) | | | 3,624 | |
2,700,000 | | Lloyds Banking Group PLC, (3 mo. LIBOR USD | | | | |
| | + 0.810%) 2.91%, 11/07/23 (a) | | | 2,602 | |
2,350,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR | | | | |
| | USD + 1.023%) 3.19%, 11/28/23 (a)(b) | | | 2,256 | |
2,750,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR | | | | |
| | USD + 1.372%) 3.76%, 11/28/28 (a)(b) | | | 2,569 | |
1,500,000 | | Massachusetts Mutual Life Insurance Co. 144A, | | | | |
| | 4.50%, 4/15/65 (b) | | | 1,429 | |
2,755,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.220%) | | | | |
| | 3.58%, 5/08/24 (a) | | | 2,811 | |
2,200,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.847%) | | | | |
| | 3.74%, 4/24/24 (a) | | | 2,200 | |
1,500,000 | | Nationwide Building Society 144A, (USD Swap | | | | |
| | Rate 11:00 am NY 1 + 1.849%) | | | | |
| | 4.13%, 10/18/32 (a)(b) | | | 1,409 | |
1,500,000 | | Nationwide Building Society 144A, (3 mo. | | | | |
| | LIBOR USD + 1.452%) 4.30%, 3/08/29 (a)(b) | | | 1,478 | |
2,000,000 | | Nationwide Financial Services Inc. 144A, | | | | |
| | 5.30%, 11/18/44 (b) | | | 2,148 | |
1,300,000 | | Nationwide Mutual Insurance Co. 144A, | | | | |
| | 9.38%, 8/15/39 (b) | | | 2,059 | |
2,050,000 | | Nuveen Finance LLC 144A, 2.95%, 11/01/19 (b) | | | 2,044 | |
1,700,000 | | Old Republic International Corp., | | | | |
| | 4.88%, 10/01/24 | | | 1,772 | |
1,450,000 | | Pacific Life Insurance Co. 144A, | | | | |
| | 9.25%, 6/15/39 (b) | | | 2,281 | |
2,350,000 | | Prudential Financial Inc., (3 mo. LIBOR USD | | | | |
| | + 3.920%) 5.63%, 6/15/43 (a) | | | 2,456 | |
2,000,000 | | Regions Financial Corp., 3.20%, 2/08/21 | | | 1,991 | |
2,820,000 | | Royal Bank of Scotland Group PLC, (3 mo. | | | | |
| | LIBOR USD + 1.480%) 3.50%, 5/15/23 (a) | | | 2,763 | |
1,580,000 | | Santander Holdings USA Inc., 2.65%, 4/17/20 | | | 1,562 | |
1,170,000 | | Santander UK Group Holdings PLC, | | | | |
| | 3.57%, 1/10/23 | | | 1,147 | |
867,000 | | Scentre Group Trust 1/Scentre Group Trust 2 | | | | |
| | 144A, 2.38%, 11/05/19 (b) | | | 857 | |
835,000 | | Senior Housing Properties Trust, | | | | |
| | 4.75%, 5/01/24 | | | 835 | |
1,045,000 | | Senior Housing Properties Trust, | | | | |
| | 6.75%, 4/15/20 | | | 1,084 | |
95,000 | | Sirius International Group Ltd. 144A, | | | | |
| | 4.60%, 11/01/26 (b) | | | 89 | |
2,740,000 | | SLM Corp., 5.13%, 4/05/22 | | | 2,774 | |
2,432,000 | | Sumitomo Mitsui Financial Group Inc., (3 mo. | | | | |
| | LIBOR USD + 0.970%) 3.31%, 1/11/22 (a) | | | 2,466 | |
1,600,000 | | Suncorp-Metway Ltd. 144A, 2.35%, 4/27/20 (b) | | | 1,577 | |
1,560,000 | | Synchrony Bank, 3.00%, 6/15/22 | | | 1,502 | |
1,650,000 | | Synchrony Financial, 2.70%, 2/03/20 | | | 1,630 | |
227,000 | | Teachers Insurance & Annuity Association of | | | | |
| | America 144A, 6.85%, 12/16/39 (b) | | | 303 | |
2,995,000 | | Transatlantic Holdings Inc., 8.00%, 11/30/39 | | | 4,106 | |
Semi-Annual Report 31
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
3,140,000 | | VEREIT Operating Partnership LP, | | | | |
| | 3.00%, 2/06/19 | | $ | 3,141 | |
2,750,000 | | Wells Fargo & Co., 5.38%, 11/02/43 | | | 2,959 | |
3,750,000 | | Westpac Banking Corp., (USD Swap Rate 11:00 | | | | |
| | am NY 1 + 2.236%) 4.32%, 11/23/31 (a) | | | 3,679 | |
| | | | | | |
| | | | | 144,002 | |
| | | | | | |
Industrial (14%) | | | | |
1,450,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, | | | | |
| | 5.00%, 10/15/25 (b) | | | 1,402 | |
1,700,000 | | Amgen Inc., 5.65%, 6/15/42 | | | 1,965 | |
1,320,000 | | Anglo American Capital PLC 144A, | | | | |
| | 4.75%, 4/10/27 (b) | | | 1,321 | |
2,400,000 | | Anheuser-Busch InBev Worldwide Inc., | | | | |
| | 4.60%, 4/15/48 | | | 2,389 | |
3,100,000 | | AT&T Inc., 4.90%, 8/14/37 | | | 3,143 | |
3,995,000 | | Bacardi Ltd. 144A, 4.70%, 5/15/28 (b) | | | 3,982 | |
1,450,000 | | BAT Capital Corp. 144A, 3.22%, 8/15/24 (b) | | | 1,380 | |
1,325,000 | | Becton Dickinson and Co., 3.36%, 6/06/24 | | | 1,277 | |
3,500,000 | | BMW U.S. Capital LLC 144A, | | | | |
| | 3.10%, 4/12/21 (b) | | | 3,492 | |
2,710,000 | | Boise Cascade Co. 144A, 5.63%, 9/01/24 (b) | | | 2,757 | |
2,640,000 | | Cheniere Corpus Christi Holdings LLC, | | | | |
| | 5.88%, 3/31/25 | | | 2,732 | |
1,550,000 | | CVS Health Corp., 3.70%, 3/09/23 | | | 1,543 | |
1,600,000 | | CVS Health Corp., 4.78%, 3/25/38 | | | 1,587 | |
1,250,000 | | CVS Health Corp., 5.05%, 3/25/48 | | | 1,275 | |
3,270,000 | | Daimler Finance North America LLC 144A, (3 | | | | |
| | mo. LIBOR USD + 0.840%) | | | | |
| | 3.20%, 5/04/23 (a)(b) | | | 3,270 | |
700,000 | | DaVita Inc., 5.13%, 7/15/24 | | | 679 | |
1,590,000 | | Dell International LLC/EMC Corp. 144A, | | | | |
| | 5.45%, 6/15/23 (b) | | | 1,674 | |
815,000 | | Delta Air Lines Inc., 2.88%, 3/13/20 | | | 811 | |
1,560,000 | | Diamond 1 Finance Corp. / Diamond 2 Finance | | | | |
| | Corp. 144A, 6.02%, 6/15/26 (b) | | | 1,657 | |
1,695,000 | | Dignity Health, 3.13%, 11/01/22 | | | 1,668 | |
1,165,000 | | Dignity Health, 4.50%, 11/01/42 | | | 1,108 | |
2,100,000 | | Dollar Tree Inc., 3.70%, 5/15/23 | | | 2,087 | |
2,217,000 | | Dow Chemical Co., 9.40%, 5/15/39 | | | 3,485 | |
3,350,000 | | Express Scripts Holding Co., 3.05%, 11/30/22 | | | 3,236 | |
1,600,000 | | Ford Motor Credit Co. LLC, 3.10%, 5/04/23 | | | 1,528 | |
1,320,000 | | General Mills Inc., (3 mo. LIBOR USD | | | | |
| | + 1.010%) 3.36%, 10/17/23 (a) | | | 1,336 | |
850,000 | | General Motors Financial Co. Inc., | | | | |
| | 3.70%, 5/09/23 | | | 838 | |
2,500,000 | | Harris Corp., 2.70%, 4/27/20 | | | 2,480 | |
2,040,000 | | HCA Inc., 5.88%, 5/01/23 | | | 2,132 | |
2,415,000 | | Kennametal Inc., 2.65%, 11/01/19 | | | 2,394 | |
1,546,957 | | Latam Airlines 2015-1 Pass-Through Trust A, | | | | |
| | 4.20%, 11/15/27 | | | 1,485 | |
3,000,000 | | Lennar Corp. 144A, 4.75%, 11/29/27 (b) | | | 2,842 | |
2,260,000 | | LifePoint Health Inc., 5.50%, 12/01/21 | | | 2,274 | |
1,515,000 | | Marathon Oil Corp., 6.60%, 10/01/37 | | | 1,840 | |
2,340,000 | | Mondelez International Holdings Netherlands | | | | |
| | BV 144A, 2.00%, 10/28/21 (b) | | | 2,230 | |
2,805,000 | | Mylan NV, 3.95%, 6/15/26 | | | 2,670 | |
1,045,000 | | North Shore Long Island Jewish Health Care | | | | |
| | Inc., 6.15%, 11/01/43 | | | 1,293 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,500,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | $ | 1,449 | |
3,015,000 | | Orange SA, 9.00%, 3/01/31 | | | 4,318 | |
1,001,000 | | Perrigo Finance PLC, 3.50%, 12/15/21 | | | 991 | |
346,537 | | Reynolds Group Issuer Inc. / Reynolds Group | | | | |
| | Issuer LLC/Reynolds Group Issuer Lu, | | | | |
| | 6.88%, 2/15/21 | | | 352 | |
1,600,000 | | Sabre GLBL Inc. 144A, 5.38%, 4/15/23 (b) | | | 1,624 | |
425,000 | | Seagate HDD Cayman, 4.88%, 3/01/24 | | | 416 | |
1,485,000 | | Shire Acquisitions Investments Ireland DAC, | | | | |
| | 2.40%, 9/23/21 | | | 1,426 | |
4,060,000 | | SMBC Aviation Capital Finance DAC 144A, | | | | |
| | 2.65%, 7/15/21 (b) | | | 3,939 | |
5,270,000 | | Suntory Holdings Ltd. 144A, 2.55%, 9/29/19 (b) | | | 5,230 | |
1,475,000 | | Teva Pharmaceutical Finance Netherlands III BV, | | | | |
| | 2.20%, 7/21/21 | | | 1,332 | |
2,355,000 | | Teva Pharmaceutical Finance Netherlands III BV, | | | | |
| | 3.15%, 10/01/26 | | | 1,880 | |
650,000 | | Time Warner Inc., 2.95%, 7/15/26 | | | 598 | |
2,100,000 | | Toll Brothers Finance Corp., 4.38%, 4/15/23 | | | 2,108 | |
1,195,000 | | Tribune Media Co., 5.88%, 7/15/22 | | | 1,216 | |
710,000 | | United Rentals North America Inc., | | | | |
| | 5.75%, 11/15/24 | | | 736 | |
5,980,000 | | Verizon Communications Inc., 2.63%, 8/15/26 | | | 5,378 | |
1,843,000 | | WestRock MWV LLC, 7.95%, 2/15/31 | | | 2,454 | |
1,010,000 | | XPO Logistics Inc. 144A, 6.13%, 9/01/23 (b) | | | 1,049 | |
| | | | | | |
| | | | | 111,758 | |
| | | | | | |
Utility (6%) | | | | |
535,673 | | Alliance Pipeline LP/United States 144A, | | | | |
| | 7.00%, 12/31/19 (b) | | | 545 | |
990,000 | | Boardwalk Pipelines LP, 4.45%, 7/15/27 | | | 967 | |
1,100,000 | | Celeo Redes Operacion Chile SA 144A, | | | | |
| | 5.20%, 6/22/47 (b) | | | 1,107 | |
2,480,000 | | Cenovus Energy Inc., 6.75%, 11/15/39 | | | 2,827 | |
1,170,000 | | Colorado Interstate Gas Co. LLC/Colorado | | | | |
| | Interstate Issuing Corp. 144A, | | | | |
| | 4.15%, 8/15/26 (b) | | | 1,134 | |
2,000,000 | | Continental Resources Inc./OK 144A, | | | | |
| | 4.38%, 1/15/28 (b) | | | 1,971 | |
3,100,000 | | Edison International, 4.13%, 3/15/28 | | | 3,085 | |
1,910,000 | | Enbridge Energy Partners LP, 7.38%, 10/15/45 | | | 2,468 | |
2,055,000 | | Encana Corp., 3.90%, 11/15/21 | | | 2,071 | |
2,200,000 | | Encana Corp., 6.63%, 8/15/37 | | | 2,685 | |
2,600,000 | | Enel Finance International NV 144A, | | | | |
| | 3.63%, 5/25/27 (b) | | | 2,460 | |
2,700,000 | | Energy Transfer Partners LP, 6.50%, 2/01/42 | | | 2,867 | |
3,115,000 | | EnLink Midstream Partners LP, 5.60%, 4/01/44 | | | 3,051 | |
1,500,000 | | EnLink Midstream Partners LP, (3 mo. LIBOR | | | | |
| | USD + 4.110%) 6.00%, (a)(d) | | | 1,411 | |
2,400,000 | | Entergy Louisiana LLC, 5.00%, 7/15/44 | | | 2,439 | |
1,359,291 | | Fermaca Enterprises S de RL de CV 144A, | | | | |
| | 6.38%, 3/30/38 (b) | | | 1,458 | |
1,300,000 | | Hess Corp., 5.60%, 2/15/41 | | | 1,318 | |
2,000,000 | | Hess Corp., 7.30%, 8/15/31 | | | 2,385 | |
2,100,000 | | Kinder Morgan Inc./DE, 5.30%, 12/01/34 | | | 2,131 | |
1,750,000 | | Nabors Industries Inc., 4.63%, 9/15/21 | | | 1,719 | |
2,000,000 | | ONEOK Partners LP, 6.65%, 10/01/36 | | | 2,385 | |
32 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
2,600,000 | | Sabine Pass Liquefaction LLC, 6.25%, 3/15/22 | | $ | 2,809 | |
4,800,000 | | Sinopec Group Overseas Development 2016 Ltd. | | | | |
| | 144A, 2.00%, 9/29/21 (b) | | | 4,574 | |
| | | | | | |
| | | | | 49,867 | |
| | | | | | |
| |
Total Corporate Bond (Cost - $308,571) | | | 305,627 | |
| | | | | | |
Foreign Government (7%) | | | | |
2,200,000 | | Argentine Republic Government International | | | | |
| | Bond, 4.63%, 1/11/23 | | | 2,105 | |
1,000,000 | | Argentine Republic Government International | | | | |
| | Bond, 5.88%, 1/11/28 | | | 918 | |
2,790,000 | | Brazilian Government International Bond, | | | | |
| | 2.63%, 1/05/23 | | | 2,631 | |
1,960,000 | | Colombia Government International Bond, | | | | |
| | 3.88%, 4/25/27 | | | 1,894 | |
1,200,000 | | Colombia Government International Bond, | | | | |
| | 5.00%, 6/15/45 | | | 1,191 | |
1,800,000 | | Egypt Government International Bond 144A, | | | | |
| | 4.75%, 4/16/26 EUR (b)(e) | | | 2,171 | |
7,300,000 | | France Government Bond OAT, 3.25%, 5/25/45 | | | | |
| | EUR (e) | | | 12,134 | |
2,100,000 | | Honduras Government International Bond 144A, | | | | |
| | 8.75%, 12/16/20 (b) | | | 2,301 | |
1,470,000 | | Indonesia Government International Bond 144A, | | | | |
| | 3.75%, 4/25/22 (b) | | | 1,468 | |
1,940,000 | | Indonesia Government International Bond 144A, | | | | |
| | 3.75%, 6/14/28 EUR (b)(e) | | | 2,674 | |
2,515,000 | | Kenya Government International Bond 144A, | | | | |
| | 5.88%, 6/24/19 (b) | | | 2,559 | |
4,050,000 | | Mexico Government International Bond, | | | | |
| | 4.15%, 3/28/27 | | | 4,003 | |
1,250,000 | | Oman Government International Bond 144A, | | | | |
| | 5.63%, 1/17/28 (b) | | | 1,196 | |
1,610,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, | | | | |
| | 4.15%, 3/29/27 (b) | | | 1,570 | |
3,005,000 | | Peruvian Government International Bond, | | | | |
| | 4.13%, 8/25/27 (f) | | | 3,095 | |
2,180,000 | | Provincia de Buenos Aires/Argentina 144A, | | | | |
| | 5.75%, 6/15/19 (b) | | | 2,219 | |
2,000,000 | | Republic of Armenia International Bond 144A, | | | | |
| | 6.00%, 9/30/20 (b) | | | 2,048 | |
2,800,000 | | Romanian Government International Bond | | | | |
| | 144A, 4.38%, 8/22/23 (b) | | | 2,847 | |
2,340,000 | | Saudi Government International Bond 144A, | | | | |
| | 3.25%, 10/26/26 (b) | | | 2,164 | |
1,800,000 | | Senegal Government International Bond 144A, | | | | |
| | 6.75%, 3/13/48 (b) | | | 1,703 | |
854,000 | | Senegal Government International Bond 144A, | | | | |
| | 8.75%, 5/13/21 (b) | | | 954 | |
2,000,000 | | Sri Lanka Government International Bond 144A, | | | | |
| | 5.88%, 7/25/22 (b) | | | 2,021 | |
2,000,000 | | Turkey Government International Bond, | | | | |
| | 5.63%, 3/30/21 | | | 2,065 | |
| | | | | | |
Total Foreign Government (Cost - $58,030) | | | 57,931 | |
| | | | | | |
| |
Mortgage Backed (30%) | | | | |
980,247 | | CSMC Trust 2013-IVR3 144A, | | | | |
| | 1.55%, 5/25/43 (b)(g) | | | 947 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
3,183,153 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 0.550%) 2.45%, 1/25/30 (a) | | $ | 3,184 | |
4,738,998 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 0.600%) 2.50%, 7/25/30 (a) | | | 4,734 | |
2,513,877 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 0.950%) | | | | |
| | 2.85%, 10/25/29 (a) | | | 2,529 | |
3,337,594 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 1.300%) 3.20%, 4/25/29 (a) | | | 3,368 | |
1,940,000 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 2.200%) 4.10%, 8/25/30 (a) | | | 1,966 | |
1,500,000 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 3.550%) 5.45%, 7/25/29 (a) | | | 1,642 | |
895,000 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 4.250%) 6.15%, 1/25/29 (a) | | | 1,020 | |
1,050,000 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 4.450%) 6.35%, 1/25/29 (a) | | | 1,182 | |
1,334,424 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 5.700%) 7.60%, 4/25/28 (a) | | | 1,554 | |
1,500,000 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 6.000%) 7.90%, 9/25/28 (a) | | | 1,796 | |
1,749,324 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 10.250%) | | | | |
| | 12.15%, 1/25/29 (a) | | | 2,381 | |
499,866 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 10.750%) | | | | |
| | 12.65%, 1/25/29 (a) | | | 659 | |
1,698,492 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 12.250%) | | | | |
| | 14.15%, 9/25/28 (a) | | | 2,539 | |
4,378,274 | | Fannie Mae Grantor Trust 2017-T1, | | | | |
| | 2.90%, 6/25/27 | | | 4,148 | |
4,394,150 | | FH 2B5447 ARM, (12 mo. LIBOR USD | | | | |
| | + 1.620%) 2.74%, 7/01/46 (a) | | | 4,372 | |
13,090,000 | | FHLMC Multifamily Structured Pass-Through | | | | |
| | Certificates, 3.06%, 8/25/24 (g) | | | 13,012 | |
2,420,000 | | FN, 2.50%, 15YR TBA (h) | | | 2,354 | |
6,900,000 | | FN, 3.00%, 15YR TBA (h) | | | 6,845 | |
5,440,000 | | FN, 3.00%, 30YR TBA (h) | | | 5,247 | |
11,630,000 | | FN, 3.50%, 30YR TBA (h) | | | 11,547 | |
7,240,000 | | FN, 4.00%, 30YR TBA (h) | | | 7,375 | |
11,670,000 | | FN, 4.50%, 30YR TBA (h) | | | 12,158 | |
2,066,987 | | FN 254766 30YR, 5.00%, 6/01/33 | | | 2,221 | |
270,656 | | FN 725027 30YR, 5.00%, 11/01/33 | | | 292 | |
1,974,147 | | FN 725423 30YR, 5.50%, 5/01/34 | | | 2,167 | |
1,311,674 | | FN 725424 30YR, 5.50%, 4/01/34 | | | 1,440 | |
442,931 | | FN 725425 30YR, 5.50%, 4/01/34 | | | 486 | |
3,281,029 | | FN 745418 30YR, 5.50%, 4/01/36 | | | 3,594 | |
2,529,321 | | FN 995203 30YR, 5.00%, 7/01/35 | | | 2,717 | |
1,799,127 | | FN AJ7689 30YR, 4.00%, 12/01/41 | | | 1,847 | |
4,326,009 | | FN AL2221 15YR, 3.00%, 7/01/27 | | | 4,319 | |
1,694,386 | | FN AL2521 30YR, 3.50%, 9/01/42 | | | 1,695 | |
9,482,573 | | FN AL9373 15YR, 2.50%, 10/01/31 | | | 9,235 | |
7,857,625 | | FN AS4168 30YR, 4.00%, 12/01/44 | | | 8,024 | |
9,167,025 | | FN AS7170 30YR, 3.50%, 5/01/46 | | | 9,117 | |
7,188,908 | | FN AS7253 30YR, 4.50%, 5/01/46 | | | 7,498 | |
6,853,642 | | FN AS8807 30YR, 3.50%, 2/01/47 | | | 6,816 | |
3,065,061 | | FN AX3596 15YR, 3.00%, 7/01/27 | | | 3,060 | |
Semi-Annual Report 33
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
5,276,045 | | FN BE9567 30YR, 3.50%, 4/01/47 | | $ | 5,247 | |
2,683,598 | | FN AS4885 AS4885 30yr, 3.50%, 5/01/45 | | | 2,672 | |
5,265,100 | | Freddie Mac Gold Pool Q12837 30YR, | | | | |
| | 3.00%, 11/01/42 | | | 5,126 | |
5,238,076 | | Freddie Mac Multifamily Structured | | | | |
| | Pass-Through Certificates, 2.95%, 2/25/27 | | | 5,179 | |
4,637,705 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 1.200%) | | | | |
| | 3.10%, 10/25/29 (a) | | | 4,691 | |
2,300,000 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 1.300%) | | | | |
| | 3.20%, 4/25/29 (a) | | | 2,336 | |
1,740,000 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 2.300%) | | | | |
| | 4.20%, 9/25/30 (a) | | | 1,768 | |
1,200,000 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 4.600%) | | | | |
| | 6.50%, 12/25/42 (a) | | | 1,273 | |
1,249,048 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 10.000%) | | | | |
| | 11.90%, 7/25/29 (a) | | | 1,303 | |
1,697,185 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 11.250%) | | | | |
| | 13.15%, 12/25/28 (a) | | | 2,403 | |
13,660,000 | | G2, 3.00%, 30YR TBA (h) | | | 13,316 | |
5,990,000 | | G2, 3.50%, 30YR TBA (h) | | | 5,998 | |
9,190,000 | | G2, 4.00%, 30YR TBA (h) | | | 9,400 | |
146,912 | | G2 5140 30YR, 4.50%, 8/20/41 | | | 154 | |
1,583,755 | | G2 5175 30YR, 4.50%, 9/20/41 | | | 1,664 | |
1,705,843 | | G2 5258 30YR, 3.50%, 12/20/41 | | | 1,718 | |
3,870,766 | | G2 MA3663 30YR, 3.50%, 5/20/46 | | | 3,882 | |
2,008,297 | | GN 784182 30YR, 4.50%, 8/15/46 | | | 2,130 | |
1,536,559 | | GN AA5452 30YR, 3.50%, 7/15/42 | | | 1,548 | |
79,511 | | HarborView Mortgage Loan Trust 2004-10, | | | | |
| | 3.71%, 1/19/35 (g) | | | 80 | |
244,561 | | JP Morgan Mortgage Trust 2006-S2, | | | | |
| | 6.00%, 7/25/36 | | | 220 | |
2,171,915 | | JP Morgan Mortgage Trust 2014-2 144A, | | | | |
| | 3.00%, 6/25/29 (b)(g) | | | 2,154 | |
35,657 | | Landmark Mortgage Securities PLC, (3 mo. | | | | |
| | LIBOR GBP + 0.220%) 0.83%, 6/17/38 | | | | |
| | GBP (a)(e) | | | 48 | |
27,421 | | Morgan Stanley Mortgage Loan Trust, | | | | |
| | 3.34%, 7/25/34 (g) | | | 28 | |
628,577 | | Nationstar Mortgage Loan Trust 2013-A 144A, | | | | |
| | 3.75%, 12/25/52 (b)(g) | | | 635 | |
1,059,491 | | New Residential Mortgage Loan Trust 2014-3 | | | | |
| | 144A, 3.75%, 11/25/54 (b)(g) | | | 1,061 | |
2,117,382 | | New Residential Mortgage Loan Trust 2017-2 | | | | |
| | 144A, 4.00%, 3/25/57 (b)(g) | | | 2,147 | |
291,653 | | Prime Mortgage Trust, 5.00%, 10/25/35 | | | 294 | |
1,546,142 | | Residential Asset Securitization Trust 2006-A8, | | | | |
| | 6.00%, 8/25/36 | | | 1,364 | |
42,270 | | Sequoia Mortgage Trust 10, (1 mo. LIBOR USD | | | | |
| | + 0.800%) 2.70%, 10/20/27 (a) | | | 41 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,126 | | Structured Asset Mortgage Investments Trust | | | | |
| | 2003-CL1, 3.93%, 7/25/32 (g) | | $ | 1 | |
595,010 | | WaMu Mortgage Pass-Through Certificates | | | | |
| | Series 2007-HY7 Trust, 3.18%, 7/25/37 (g) | | | 498 | |
3,360,000 | | Wells Fargo Commercial Mortgage Trust | | | | |
| | 2015-Lc22, 3.84%, 9/15/58 | | | 3,406 | |
| | | | | | |
Total Mortgage Backed (Cost - $247,333) | | | 244,872 | |
| | | | | | |
Municipal (2%) | | | | |
2,425,000 | | California Pollution Control Financing Authority | | | | |
| | 144A, 5.00%, 11/21/45 (b) | | | 2,433 | |
2,600,000 | | City of Portland OR, 7.70%, 6/01/22 | | | 2,954 | |
770,000 | | State Board of Administration Finance Corp., | | | | |
| | 3.00%, 7/01/20 | | | 772 | |
4,000,000 | | State of California, 3.38%, 4/01/25 | | | 4,004 | |
1,495,000 | | State of California, 7.55%, 4/01/39 | | | 2,235 | |
1,000,000 | | State of Washington, 1.70%, 7/01/20 | | | 973 | |
365,000 | | University of California, 3.26%, 5/15/24 | | | 363 | |
| | | | | | |
Total Municipal (Cost - $13,128) | | | 13,734 | |
| | | | | | |
U.S. Treasury (22%) | | | | |
2,970,000 | | U.S. Treasury Bill, 1.64%, 6/14/18 (i) | | | 2,964 | |
5,510,000 | | U.S. Treasury Bond, 2.75%, 11/15/47 | | | 5,142 | |
4,770,000 | | U.S. Treasury Bond, 3.00%, 2/15/48 | | | 4,683 | |
12,310,000 | | U.S. Treasury Note, 1.63%, 8/31/22 | | | 11,748 | |
30,910,000 | | U.S. Treasury Note, 1.63%, 5/15/26 | | | 28,041 | |
6,800,000 | | U.S. Treasury Note, 1.88%, 12/31/19 | | | 6,738 | |
27,605,000 | | U.S. Treasury Note, 2.00%, 11/30/22 | | | 26,701 | |
11,040,000 | | U.S. Treasury Note, 2.13%, 12/31/22 | | | 10,728 | |
4,720,000 | | U.S. Treasury Note, 2.25%, 11/15/27 | | | 4,451 | |
30,095,000 | | U.S. Treasury Note, 2.50%, 3/31/23 | | | 29,700 | |
12,000,000 | | U.S. Treasury Note, 2.63%, 3/31/25 | | | 11,795 | |
7,160,000 | | U.S. Treasury Note, 2.75%, 2/15/28 | | | 7,049 | |
1,140,000 | | U.S. Treasury Note, 2.75%, 8/15/47 | | | 1,064 | |
25,760,000 | | U.S. Treasury Note, 3.00%, 5/15/47 (j) | | | 25,292 | |
| | | | | | |
Total U.S. Treasury (Cost - $181,255) | | | 176,096 | |
| | | | | | |
Preferred Stock (0%) | | | | |
780 | | Wells Fargo & Co., 7.50% | | | | |
| | (Cost - $1,004) | | | 999 | |
| | | | | | |
Investment Company (0%) | | | | |
3,424,911 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $3,425) | | | 3,425 | |
| | | | | | |
Purchased Swaptions (0%) | | | | |
Total Purchased Swaptions (Cost - $304) | | | 123 | |
| | | | | | |
Total Investments, Before Options Written | | | | |
(Cost - $903,521) (109%) | | | 893,312 | |
| | | | | | |
Written Swaptions (0%) | | | | |
Total Written Swaptions (Cost - $(304)) | | | (150 | ) |
| | | | | | |
Total Investments (Cost - $903,217) (109%) | | | 893,162 | |
Liabilities in excess of Other Assets (-9%) | | | (77,273 | ) |
| | | | | | |
| |
Net Assets (100%) | | $ | 815,889 | |
| | | | | | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (b) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
34 Payden Mutual Funds
| (d) | Perpetual security with no stated maturity date. |
| (e) | Principal in foreign currency. |
| (f) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $860 and the total market value of the collateral held by the Fund is $885. Amounts in 000s. |
| (g) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
| (h) | Security was purchased on a delayed delivery basis. |
| (i) | Yield to maturity at time of purchase. |
| (j) | All or a portion of security has been pledged as collateral in connection with outstanding OTC derivatives. |
Purchased Swaptions
| | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Notional
Amount
(000s) | | | Expiration
date | | | Value
(000s) | | | Call/Put | |
Purchased Swaptions 0.0% | | | | | | | | | | | | | | | | | | |
2 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7385% | | BNP PARIBAS | | $ | 104,300 | | | | 09/24/2018 | | | | $123 | | | | CALL | |
| Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | |
Total Swaptions | | | | | | | | | | | | | $123 | | | | | |
Written Swaptions
| | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Notional
Amount
(000s) | | | Expiration
date | | | Value
(000s) | | | Call/Put | |
Written Swaptions 0.0% | | | | | | | | | | | | | | | | | | |
5 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7825% | | BNP PARIBAS | | $ | 43,300 | | | | 09/24/2018 | | | $ | (150 | ) | | | Call | |
| Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
Total Swaptions | | | | | | | | | | | | $ | (150 | ) | | | | |
| | | | | | | | | | | | | | | | | | |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency sold (000) | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Assets: | | | | | | | | | | | | | | | | |
CAD 7,912 | | USD 6,145 | | Citibank, N.A. | | | 06/26/2018 | | | | $ 26 | | | | | |
COP 5,785,000 | | USD 2,036 | | State Street Bank & Trust Co. | | | 05/11/2018 | | | | 23 | | | | | |
USD 15,640 | | EUR 12,702 | | Citibank, N.A. | | | 05/08/2018 | | | | 292 | | | | | |
USD 2,225 | | EUR 1,800 | | Citibank, N.A. | | | 05/08/2018 | | | | 50 | | | | | |
USD 6,295 | | CAD 7,912 | | Citibank, N.A. | | | 06/26/2018 | | | | 124 | | | | | |
USD 6,127 | | NZD 8,497 | | Citibank, N.A. | | | 06/26/2018 | | | | 149 | | | | | |
USD 6,085 | | NOK 47,637 | | HSBC Bank USA, N.A. | | | 05/15/2018 | | | | 144 | | | | | |
USD 9,209 | | EUR 7,481 | | HSBC Bank USA, N.A. | | | 07/27/2018 | | | | 113 | | | | | |
USD 2,080 | | COP 5,785,000 | | State Street Bank & Trust Co. | | | 05/11/2018 | | | | 21 | | | | | |
USD 1,923 | | BRL 6,698 | | State Street Bank & Trust Co. | | | 05/16/2018 | | | | 14 | | | | | |
| | | | | | | | | | | 956 | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
BRL 6,698 | | USD 2,016 | | State Street Bank & Trust Co. | | | 05/16/2018 | | | | (107 | ) | | | | |
CAD 7,690 | | USD 6,083 | | HSBC Bank USA, N.A. | | | 05/15/2018 | | | | (91 | ) | | | | |
IDR 112,483,000 | | USD 8,114 | | Barclays Bank PLC | | | 07/24/2018 | | | | (106 | ) | | | | |
Semi-Annual Report 35
| | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency sold (000) | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
JPY 1,950,900 | | USD 18,470 | | State Street Bank & Trust Co. | | | 06/14/2018 | | | | (569) | | | | | |
MYR 15,733 | | USD 4,065 | | Barclays Bank PLC | | | 05/30/2018 | | | | (59) | | | | | |
NOK 47,637 | | USD 6,140 | | HSBC Bank USA, N.A. | | | 05/15/2018 | | | | (199) | | | | | |
NOK 72,298 | | USD 9,182 | | HSBC Bank USA, N.A. | | | 07/27/2018 | | | | (141) | | | | | |
NZD 8,497 | | USD 6,216 | | Citibank, N.A. | | | 06/26/2018 | | | | (239) | | | | | |
RUB 126,740 | | USD 2,039 | | HSBC Bank USA, N.A. | | | 05/17/2018 | | | | (30) | | | | | |
USD 5,987 | | CAD 7,690 | | HSBC Bank USA, N.A. | | | 05/15/2018 | | | | (4) | | | | | |
ZAR 24,500 | | USD 2,020 | | HSBC Bank USA, N.A. | | | 05/11/2018 | | | | (57) | | | | | |
| | | | | | | | | | | (1,602) | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | $ (646) | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S. Long Bond Future | | 115 | | | Jun-18 | | | $ | 16,542 | | | $ | 196 | | | | $196 | | | | | |
| | | | | | | | | | | | | | | | | 196 | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bund Future | | 121 | | | Jun-18 | | | | (23,195 | ) | | | (230 | ) | | | (230 | ) | | | | |
Euro-Oat Future | | 146 | | | Jun-18 | | | | (27,118 | ) | | | (349 | ) | | | (349 | ) | | | | |
U.S. 10 Year Ultra Future | | 193 | | | Jun-18 | | | | (24,683 | ) | | | (89 | ) | | | (89 | ) | | | | |
U.S. Treasury 10 Year Note Future | | 57 | | | Jun-18 | | | | (6,819 | ) | | | 11 | | | | 11 | | | | | |
| | | | | | | | | | | | | | | | | (657 | ) | | | | |
Total Futures | | | | | | | | | | | | | | | | | $(461 | ) | | | | |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | | $860 | |
Non-cash Collateral2 | | | (860 | ) |
Net Amount | | | $ — | |
| 1 | The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. |
| 2 | At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments. |
See notes to financial statements.
36 Payden Mutual Funds
| | | | | | | | | | |
The Fund seeks a high level of total return that is
consistent with the preservation of capital by generally
investing 80% of its assets in investment grade
corporate bonds with no limit on the average portfolio
maturity. | | Portfolio Composition - percent of investments | | | |
| | Financial | | | 47 | % | | |
| | Energy | | | 18 | % | | |
| | Consumer Non-Cyclical | | | 9 | % | | |
| | Utility | | | 6 | % | | |
| | Consumer Cyclical | | | 5 | % | | |
| | Other | | | 15 | % | | |
| | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (1%) | | | | |
1,000,000 | | Madison Park Funding XIV Ltd. 144A, (3 mo. | | | | |
| | LIBOR USD + 3.250%) 5.61%, 7/20/26 (a)(b) | | $ | 1,004 | |
839,375 | | Taco Bell Funding LLC 144A, | | | | |
| | 3.83%, 5/25/46 (b) | | | 844 | |
| | | | | | |
Total Asset Backed (Cost - $1,860) | | | 1,848 | |
| | | | | | |
Corporate Bond (95%) | | | | |
Basic Industry (3%) | | | | |
650,000 | | Aviation Capital Group LLC 144A, | | | | |
| | 2.88%, 1/20/22 (b) | | | 632 | |
1,120,000 | | Aviation Capital Group LLC 144A, | | | | |
| | 3.88%, 5/01/23 (b) | | | 1,118 | |
465,000 | | DAE Funding LLC 144A, 4.50%, 8/01/22 (b) | | | 449 | |
605,000 | | Dow Chemical Co., 9.40%, 5/15/39 | | | 951 | |
450,000 | | Keysight Technologies Inc., 3.30%, 10/30/19 | | | 449 | |
1,485,000 | | SMBC Aviation Capital Finance DAC 144A, | | | | |
| | 2.65%, 7/15/21 (b) | | | 1,441 | |
1,245,000 | | WestRock MWV LLC, 7.95%, 2/15/31 | | | 1,658 | |
| | | | | | |
| | | | | 6,698 | |
| | | | | | |
Communications (4%) | | | | |
475,000 | | 21st Century Fox America Inc., 9.50%, 7/15/24 | | | 609 | |
970,000 | | AT&T Inc., 3.60%, 2/17/23 | | | 966 | |
1,900,000 | | AT&T Inc., 4.90%, 8/14/37 | | | 1,926 | |
1,105,000 | | Baidu Inc., 3.63%, 7/06/27 | | | 1,042 | |
720,000 | | Charter Communications Operating LLC / | | | | |
| | Charter Communications Operating Capital, | | | | |
| | 5.38%, 5/01/47 | | | 680 | |
400,000 | | Orange SA, 9.00%, 3/01/31 | | | 573 | |
341,250 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II | | | | |
| | LLC/Sprint Spectrum Co. III LLC 144A, | | | | |
| | 3.36%, 9/20/21 (b) | | | 341 | |
1,000,000 | | Verizon Communications Inc., 4.40%, 11/01/34 | | | 971 | |
280,000 | | Verizon Communications Inc., 4.86%, 8/21/46 | | | 275 | |
840,000 | | Verizon Communications Inc., 5.25%, 3/16/37 | | | 880 | |
| | | | | | |
| | | | | 8,263 | |
| | | | | | |
Consumer Cyclical (5%) | | | | |
800,000 | | Air Canada 2013-1 Class C Pass-Through Trust | | | | |
| | 144A, 6.63%, 5/15/18 (b) | | | 803 | |
831,955 | | Continental Airlines 2007-1 Class B | | | | |
| | Pass-Through Trust, 6.90%, 4/19/22 | | | 868 | |
830,000 | | Dollar Tree Inc., (3 mo. LIBOR USD + 0.700%) | | | | |
| | 3.06%, 4/17/20 (a) | | | 832 | |
730,000 | | Ford Motor Co., 7.45%, 7/16/31 | | | 866 | |
1,020,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 981 | |
600,000 | | Ford Motor Credit Co. LLC, 3.10%, 5/04/23 | | | 573 | |
400,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 390 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
1,200,000 | | General Motors Co., 6.75%, 4/01/46 | | $ | 1,364 | |
500,000 | | General Motors Financial Co. Inc., | | | | |
| | 3.20%, 7/13/20 | | | 499 | |
475,000 | | General Motors Financial Co. Inc., | | | | |
| | 3.70%, 5/09/23 | | | 468 | |
760,000 | | General Motors Financial Co. Inc., | | | | |
| | 4.35%, 1/17/27 | | | 741 | |
1,171,000 | | ZF North America Capital Inc. 144A, | | | | |
| | 4.50%, 4/29/22 (b) | | | 1,199 | |
| | | | | | |
| | | | | 9,584 | |
| | | | | | |
Consumer Non-Cyclical (10%) | | | | |
600,000 | | Amgen Inc., 5.65%, 6/15/42 | | | 694 | |
904,000 | | Anheuser-Busch InBev Worldwide Inc., | | | | |
| | 8.20%, 1/15/39 | | | 1,323 | |
1,260,000 | | Bacardi Ltd. 144A, 4.70%, 5/15/28 (b) | | | 1,256 | |
985,000 | | Bacardi Ltd. 144A, 5.30%, 5/15/48 (b) | | | 976 | |
135,000 | | Block Financial LLC, 4.13%, 10/01/20 | | | 137 | |
700,000 | | Blue Cross & Blue Shield of Minnesota 144A, | | | | |
| | 3.79%, 5/01/25 (b) | | | 681 | |
625,000 | | Centene Corp., 6.13%, 2/15/24 | | | 656 | |
715,000 | | CVS Health Corp., 4.78%, 3/25/38 | | | 709 | |
725,000 | | CVS Health Corp., 5.05%, 3/25/48 | | | 739 | |
110,000 | | Dignity Health, 3.13%, 11/01/22 | | | 108 | |
740,000 | | Dignity Health, 4.50%, 11/01/42 | | | 704 | |
2,150,000 | | Express Scripts Holding Co., 3.05%, 11/30/22 | | | 2,077 | |
1,240,000 | | General Mills Inc., 3.70%, 10/17/23 | | | 1,238 | |
570,000 | | Mylan NV, 3.95%, 6/15/26 | | | 543 | |
1,050,000 | | Mylan NV, 5.25%, 6/15/46 | | | 1,025 | |
1,250,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | | 1,208 | |
175,000 | | Northwell Healthcare Inc., 6.15%, 11/01/43 | | | 217 | |
945,000 | | Pfizer Inc., 7.20%, 3/15/39 | | | 1,334 | |
640,000 | | Shire Acquisitions Investments Ireland DAC, | | | | |
| | 2.40%, 9/23/21 | | | 614 | |
2,000,000 | | Teva Pharmaceutical Finance Co. LLC, | | | | |
| | 6.15%, 2/01/36 (c) | | | 1,884 | |
420,000 | | Teva Pharmaceutical Finance Netherlands III BV, | | | | |
| | 4.10%, 10/01/46 | | | 312 | |
850,000 | | Teva Pharmaceutical Finance Netherlands III BV | | | | |
| | 144A, 6.00%, 4/15/24 (b)(c) | | | 826 | |
| | | | | | |
| | | | | 19,261 | |
| | | | | | |
Energy (18%) | | | | |
271,158 | | Alliance Pipeline LP/United States 144A, | | | | |
| | 7.00%, 12/31/19 (b) | | | 276 | |
430,000 | | Boardwalk Pipelines LP, 4.45%, 7/15/27 | | | 420 | |
700,000 | | Buckeye Partners LP, 5.85%, 11/15/43 | | | 724 | |
1,405,000 | | Cenovus Energy Inc., 6.75%, 11/15/39 | | | 1,601 | |
1,400,000 | | Chesapeake Energy Corp., 5.75%, 3/15/23 (c) | | | 1,299 | |
Semi-Annual Report 37
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
960,000 | | Colorado Interstate Gas Co. LLC/Colorado | | | | |
| | Interstate Issuing Corp. 144A, | | | | |
| | 4.15%, 8/15/26 (b) | | $ | 930 | |
475,000 | | Diamond Offshore Drilling Inc., | | | | |
| | 7.88%, 8/15/25 (c) | | | 489 | |
835,000 | | Enbridge Energy Partners LP, 7.38%, 10/15/45 | | | 1,079 | |
350,000 | | Enbridge Energy Partners LP, 7.50%, 4/15/38 | | | 448 | |
985,000 | | Encana Corp., 7.38%, 11/01/31 | | | 1,228 | |
1,200,000 | | Energy Transfer Equity LP, 4.25%, 3/15/23 | | | 1,161 | |
1,000,000 | | Energy Transfer Partners LP, 4.15%, 10/01/20 | | | 1,014 | |
550,000 | | Energy Transfer Partners LP, 6.50%, 2/01/42 | | | 584 | |
1,365,000 | | EnLink Midstream Partners LP, 5.60%, 4/01/44 | | | 1,337 | |
1,500,000 | | EnLink Midstream Partners LP, (3 mo. LIBOR | | | | |
| | USD + 4.110%) 6.00%, (a)(d) | | | 1,411 | |
1,000,000 | | Ensco PLC, 7.75%, 2/01/26 | | | 946 | |
650,000 | | Gulf South Pipeline Co. LP, 4.00%, 6/15/22 | | | 649 | |
850,000 | | Hess Corp., 5.60%, 2/15/41 | | | 862 | |
1,000,000 | | Hess Corp., 7.30%, 8/15/31 | | | 1,192 | |
750,000 | | Kinder Morgan Energy Partners LP, | | | | |
| | 6.55%, 9/15/40 | | | 829 | |
800,000 | | Kinder Morgan Inc./DE, (3 mo. LIBOR USD | | | | |
| | + 1.280%) 3.63%, 1/15/23 (a) | | | 814 | |
250,000 | | Kinder Morgan Inc./DE 144A, | | | | |
| | 5.00%, 2/15/21 (b) | | | 259 | |
1,200,000 | | Nabors Industries Inc., 4.63%, 9/15/21 | | | 1,179 | |
1,650,000 | | Nabors Industries Inc., 5.50%, 1/15/23 (c) | | | 1,624 | |
375,000 | | Noble Holding International Ltd., | | | | |
| | 7.75%, 1/15/24 (c) | | | 353 | |
1,065,000 | | Oasis Petroleum Inc., 6.88%, 1/15/23 | | | 1,097 | |
275,000 | | ONEOK Inc., 4.25%, 2/01/22 | | | 280 | |
800,000 | | ONEOK Partners LP, 6.65%, 10/01/36 | | | 954 | |
1,200,000 | | Petro-Canada, 7.88%, 6/15/26 | | | 1,481 | |
547,200 | | Ras Laffan Liquefied Natural Gas Co. Ltd. II | | | | |
| | 144A, 5.30%, 9/30/20 (b) | | | 561 | |
400,000 | | Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 | | | 420 | |
450,000 | | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | | | 484 | |
810,000 | | Sabine Pass Liquefaction LLC, 6.25%, 3/15/22 | | | 875 | |
895,000 | | SemGroup Corp. / Rose Rock Finance Corp., | | | | |
| | 5.63%, 11/15/23 | | | 848 | |
900,000 | | Sunoco Logistics Partners Operations LP, | | | | |
| | 5.40%, 10/01/47 | | | 853 | |
2,000,000 | | Transocean Inc., 7.50%, 4/15/31 (c) | | | 1,860 | |
965,000 | | Western Gas Partners LP, 5.45%, 4/01/44 | | | 959 | |
700,000 | | Williams Cos. Inc., 3.70%, 1/15/23 | | | 681 | |
1,800,000 | | Williams Cos. Inc., 7.88%, 9/01/21 | | | 2,007 | |
| | | | | | |
| | | | | 36,068 | |
| | | | | | |
Financial (48%) | | | | |
1,000,000 | | ABN AMRO Bank NV, (5 yr. Swap Semi 30/360 | | | | |
| | USD + 2.400%) 4.40%, 3/27/28 | | | 1,000 | |
975,000 | | ADCB Finance Cayman Ltd. 144A, | | | | |
| | 4.00%, 3/29/23 (b) | | | 963 | |
800,000 | | American Financial Group Inc./OH, | | | | |
| | 4.50%, 6/15/47 | | | 778 | |
700,000 | | Aon Corp., 6.25%, 9/30/40 | | | 847 | |
575,000 | | Aon PLC, 4.75%, 5/15/45 | | | 585 | |
1,000,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 957 | |
875,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 857 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
500,000 | | Ares Capital Corp., 4.88%, 11/30/18 | | $ | 505 | |
1,700,000 | | Athene Global Funding 144A, (3 mo. LIBOR | | | | |
| | USD + 1.230%) 3.54%, 7/01/22 (a)(b) | | | 1,734 | |
1,200,000 | | Australia & New Zealand Banking Group Ltd. | | | | |
| | 144A, 4.40%, 5/19/26 (b) | | | 1,192 | |
810,000 | | Banco de Costa Rica 144A, 5.25%, 8/12/18 (b) | | | 814 | |
950,000 | | Bank of America Corp., (3 mo. LIBOR USD | | | | |
| | + 0.780%) 3.55%, 3/05/24 (a) | | | 944 | |
880,000 | | Bank of America Corp., (3 mo. LIBOR USD | | | | |
| | + 1.512%) 3.71%, 4/24/28 (a) | | | 847 | |
1,950,000 | | Bank of America Corp., 7.75%, 5/14/38 | | | 2,659 | |
1,100,000 | | Bank of Montreal, (3 mo. LIBOR USD | | | | |
| | + 0.460%) 2.80%, 4/13/21 (a) | | | 1,105 | |
1,500,000 | | Bank of Nova Scotia, (3 mo. LIBOR USD | | | | |
| | + 2.648%) 4.65%, (a)(d) | | | 1,415 | |
1,300,000 | | Barclays PLC, 4.38%, 9/11/24 | | | 1,270 | |
1,300,000 | | Barclays PLC, 4.84%, 5/09/28 | | | 1,265 | |
880,000 | | BNP Paribas SA 144A, 2.95%, 5/23/22 (b) | | | 856 | |
930,000 | | BNP Paribas SA 144A, 4.38%, 9/28/25 (b) | | | 925 | |
2,100,000 | | BNZ International Funding Ltd./London 144A, | | | | |
| | 3.38%, 3/01/23 (b) | | | 2,069 | |
650,000 | | BPCE SA 144A, 3.00%, 5/22/22 (b) | | | 633 | |
1,300,000 | | BPCE SA 144A, 5.15%, 7/21/24 (b) | | | 1,346 | |
975,000 | | Brookfield Finance Inc., 4.70%, 9/20/47 | | | 938 | |
1,000,000 | | Capital One Financial Corp., 3.75%, 7/28/26 | | | 938 | |
875,000 | | Capital One Financial Corp., 3.75%, 3/09/27 | | | 832 | |
585,000 | | Capital One NA, (3 mo. LIBOR USD + 1.150%) | | | | |
| | 3.51%, 1/30/23 (a) | | | 592 | |
750,000 | | Carlyle Holdings Finance LLC 144A, | | | | |
| | 3.88%, 2/01/23 (b) | | | 748 | |
425,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.950%) | | | | |
| | 2.88%, 7/24/23 (a) | | | 411 | |
1,850,000 | | Citigroup Inc., 4.13%, 7/25/28 | | | 1,785 | |
1,265,000 | | Citigroup Inc., 4.45%, 9/29/27 | | | 1,259 | |
210,000 | | Citizens Financial Group Inc. 144A, | | | | |
| | 4.15%, 9/28/22 (b) | | | 211 | |
1,400,000 | | Commonwealth Bank of Australia 144A, | | | | |
| | 4.50%, 12/09/25 (b) | | | 1,405 | |
1,320,000 | | Compass Bank, 2.88%, 6/29/22 | | | 1,272 | |
1,250,000 | | Cooperatieve Rabobank UA, 3.95%, 11/09/22 | | | 1,249 | |
1,850,000 | | Credit Agricole SA/London 144A, (3 mo. LIBOR | | | | |
| | USD + 1.020%) 3.38%, 4/24/23 (a)(b) | | | 1,863 | |
1,250,000 | | Credit Suisse Group AG 144A, (3 mo. LIBOR | | | | |
| | USD + 1.410%) 3.87%, 1/12/29 (a)(b) | | | 1,190 | |
405,000 | | Credit Suisse Group AG 144A, | | | | |
| | 4.28%, 1/09/28 (b) | | | 399 | |
500,000 | | Credit Suisse Group Funding Guernsey Ltd., | | | | |
| | 3.80%, 9/15/22 | | | 500 | |
1,050,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 1,048 | |
1,030,000 | | First Midwest Bancorp Inc./IL, 5.88%, 9/29/26 | | | 1,087 | |
1,400,000 | | Five Corners Funding Trust 144A, | | | | |
| | 4.42%, 11/15/23 (b) | | | 1,448 | |
640,000 | | FS Investment Corp., 4.25%, 1/15/20 | | | 639 | |
600,000 | | Goldman Sachs Group Inc., 2.63%, 4/25/21 | | | 588 | |
600,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD | | | | |
| | + 1.750%) 4.11%, 10/28/27 (a) | | | 630 | |
38 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,150,000 | | Goldman Sachs Group Inc., 6.75%, 10/01/37 | | $ | 1,398 | |
1,185,000 | | ICBCIL Finance Co. Ltd. 144A, | | | | |
| | 2.38%, 5/19/19 (b) | | | 1,171 | |
1,000,000 | | International Lease Finance Corp., | | | | |
| | 4.63%, 4/15/21 | | | 1,026 | |
2,100,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD | | | | |
| | + 0.730%) 3.56%, 4/23/24 (a) | | | 2,089 | |
900,000 | | Kimco Realty Corp., 4.25%, 4/01/45 | | | 818 | |
1,400,000 | | KKR Group Finance Co. III LLC 144A, | | | | |
| | 5.13%, 6/01/44 (b) | | | 1,409 | |
1,800,000 | | Lincoln National Corp., 7.00%, 6/15/40 | | | 2,352 | |
1,935,000 | | Lloyds Banking Group PLC, (3 mo. LIBOR USD | | | | |
| | + 0.810%) 2.91%, 11/07/23 (a) | | | 1,865 | |
300,000 | | Macquarie Bank Ltd. 144A, 4.88%, 6/10/25 (b) | | | 302 | |
510,000 | | Macquarie Bank Ltd. 144A, 6.63%, 4/07/21 (b) | | | 551 | |
1,025,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR | | | | |
| | USD + 1.372%) 3.76%, 11/28/28 (a)(b) | | | 958 | |
142,000 | | Massachusetts Mutual Life Insurance Co. 144A, | | | | |
| | 8.88%, 6/01/39 (b) | | | 221 | |
950,000 | | MetLife Inc., 4.88%, 11/13/43 | | | 1,009 | |
1,000,000 | | Mizuho Financial Group Inc., 3.55%, 3/05/23 | | | 992 | |
1,445,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.220%) | | | | |
| | 3.58%, 5/08/24 (a) | | | 1,474 | |
1,500,000 | | Nationwide Building Society 144A, (USD Swap | | | | |
| | Rate 11:00 am NY 1 + 1.849%) | | | | |
| | 4.13%, 10/18/32 (a)(b) | | | 1,409 | |
600,000 | | Nationwide Building Society 144A, (3 mo. | | | | |
| | LIBOR USD + 1.452%) 4.30%, 3/08/29 (a)(b) | | | 591 | |
725,000 | | Nationwide Financial Services Inc. 144A, | | | | |
| | 5.30%, 11/18/44 (b) | | | 779 | |
800,000 | | Nationwide Mutual Insurance Co. 144A, | | | | |
| | 9.38%, 8/15/39 (b) | | | 1,267 | |
500,000 | | New York Life Insurance Co. 144A, | | | | |
| | 6.75%, 11/15/39 (b) | | | 673 | |
450,000 | | Pacific Life Insurance Co. 144A, | | | | |
| | 9.25%, 6/15/39 (b) | | | 708 | |
1,000,000 | | Pershing Square Holdings Ltd. 144A, | | | | |
| | 5.50%, 7/15/22 (b) | | | 1,011 | |
2,000,000 | | Prudential Financial Inc., (3 mo. LIBOR USD | | | | |
| | + 2.380%) 4.50%, 9/15/47 (a) | | | 1,903 | |
550,000 | | Royal Bank of Scotland Group PLC, (3 mo. | | | | |
| | LIBOR USD + 1.470%) 3.31%, 5/15/23 (a) | | | 557 | |
1,100,000 | | Royal Bank of Scotland Group PLC, (3 mo. | | | | |
| | LIBOR USD + 1.480%) 3.50%, 5/15/23 (a) | | | 1,078 | |
930,000 | | Santander Holdings US.A Inc., 4.40%, 7/13/27 | | | 913 | |
430,000 | | Santander Holdings USA Inc., 2.65%, 4/17/20 | | | 425 | |
450,000 | | Santander Holdings USA Inc., 3.70%, 3/28/22 | | | 446 | |
1,655,000 | | Santander UK Group Holdings PLC, | | | | |
| | 3.57%, 1/10/23 | | | 1,623 | |
650,000 | | Santander UK Group Holdings PLC, (3 mo. | | | | |
| | LIBOR USD + 1.400%) 3.82%, 11/03/28 (a) | | | 611 | |
1,265,000 | | Scentre Group Trust 1/Scentre Group Trust 2 | | | | |
| | 144A, 2.38%, 11/05/19 (b) | | | 1,251 | |
700,000 | | Senior Housing Properties Trust, | | | | |
| | 3.25%, 5/01/19 | | | 701 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
230,000 | | Senior Housing Properties Trust, | | | | |
| | 6.75%, 4/15/20 | | $ | 239 | |
45,000 | | Sirius International Group Ltd. 144A, | | | | |
| | 4.60%, 11/01/26 (b) | | | 42 | |
2,170,000 | | Sumitomo Mitsui Financial Group Inc., (3 mo. | | | | |
| | LIBOR USD + 0.740%) 3.09%, 1/17/23 (a) | | | 2,178 | |
1,000,000 | | Synchrony Bank, 3.00%, 6/15/22 | | | 963 | |
250,000 | | Synchrony Financial, 2.70%, 2/03/20 | | | 247 | |
250,000 | | Synchrony Financial, 3.75%, 8/15/21 | | | 251 | |
550,000 | | Teachers Insurance & Annuity Association of | | | | |
| | America 144A, 4.90%, 9/15/44 (b) | | | 592 | |
670,000 | | Transatlantic Holdings Inc., 8.00%, 11/30/39 | | | 919 | |
1,000,000 | | Travelers Cos. Inc., 4.05%, 3/07/48 | | | 986 | |
1,300,000 | | VEREIT Operating Partnership LP, | | | | |
| | 3.00%, 2/06/19 | | | 1,300 | |
800,000 | | VEREIT Operating Partnership LP, | | | | |
| | 4.60%, 2/06/24 | | | 797 | |
1,950,000 | | Voya Financial Inc. 144A, (3 mo. LIBOR USD | | | | |
| | + 2.084%) 4.70%, 1/23/48 (a)(b) | | | 1,762 | |
2,600,000 | | Wells Fargo & Co., 5.38%, 11/02/43 | | | 2,798 | |
1,350,000 | | Westpac Banking Corp., (USD Swap Rate 11:00 | | | | |
| | am NY 1 + 2.236%) 4.32%, 11/23/31 (a) | | | 1,324 | |
2,000,000 | | Westpac Banking Corp./New Zealand, (USD | | | | |
| | Swap Rate 11:00 am NY 1 + 2.888%) | | | | |
| | 5.00%, (a)(d) | | | 1,826 | |
| | | | | | |
| | | | | 96,403 | |
| | | | | | |
Technology (1%) | | | | |
835,000 | | Dell International LLC/EMC Corp. 144A, | | | | |
| | 8.35%, 7/15/46 (b) | | | 1,031 | |
649,000 | | Seagate HDD Cayman, 4.88%, 3/01/24 (c) | | | 636 | |
485,000 | | VMware Inc., 3.90%, 8/21/27 | | | 459 | |
| | | | | | |
| | | | | 2,126 | |
| | | | | | |
Utility (6%) | | | | |
1,425,000 | | Abu Dhabi National Energy Co. PJSC 144A, | | | | |
| | 4.38%, 4/23/25 (b) | | | 1,413 | |
550,000 | | Abu Dhabi National Energy Co. PJSC 144A, | | | | |
| | 4.88%, 4/23/30 (b) | | | 546 | |
1,050,000 | | Basin Electric Power Cooperative 144A, | | | | |
| | 4.75%, 4/26/47 (b) | | | 1,098 | |
244,000 | | Berkshire Hathaway Energy Co., | | | | |
| | 6.13%, 4/01/36 | | | 307 | |
1,000,000 | | Dominion Energy Inc., 4.10%, 4/01/21 | | | 1,015 | |
650,000 | | Duke Energy Corp., 3.75%, 9/01/46 | | | 586 | |
2,000,000 | | Edison International, 4.13%, 3/15/28 | | | 1,990 | |
1,500,000 | | Enel Finance International NV 144A, | | | | |
| | 3.63%, 5/25/27 (b) | | | 1,419 | |
1,620,000 | | Entergy Louisiana LLC, 4.00%, 3/15/33 | | | 1,619 | |
500,000 | | Entergy Louisiana LLC, 5.00%, 7/15/44 | | | 508 | |
740,000 | | Fortis Inc./Canada, 3.06%, 10/04/26 | | | 680 | |
1,150,000 | | Indianapolis Power & Light Co. 144A, | | | | |
| | 4.05%, 5/01/46 (b) | | | 1,116 | |
376,037 | | Solar Star Funding LLC 144A, | | | | |
| | 3.95%, 6/30/35 (b) | | | 359 | |
| | | | | | |
| | | | | 12,656 | |
| | | | | | |
Total Corporate Bond (Cost - $194,132) | | | 191,059 | |
| | | | | | |
Semi-Annual Report 39
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Foreign Government (1%) | | | | |
2,100,000 | | Saudi Government International Bond 144A, | | | | |
| | 5.00%, 4/17/49 (b) | | | | |
| | (Cost - $2,055) | | $ | 2,019 | |
Municipal (2%) | | | | |
1,000,000 | | Rutgers The State University of New Jersey, | | | | |
| | 4.15%, 5/01/48 | | | 995 | |
2,000,000 | | State of California, 4.60%, 4/01/38 | | | 2,094 | |
Total Municipal (Cost - $3,106) | | | 3,089 | |
Investment Company (3%) | | | | |
7,041,086 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $7,041) | | | 7,041 | |
| |
Total Investments (Cost - $208,194) (102%) | | | 205,056 | |
Liabilities in excess of Other Assets (-2%) | | | (4,360 | ) |
Net Assets (100%) | | $ | 200,696 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (b) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $6,351 the total market value of the collateral held by the Fund is $6,584. Amounts in 000s. |
| (d) | Perpetual security with no stated maturity date. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 10 Year Note Future | | 34 | | | Jun-18 | | | $ | 4,067 | | | $ | (7 | ) | | | $ (7) | | | | | |
U.S. Treasury 2 Year Note Future | | 55 | | | Jun-18 | | | | 11,663 | | | | (24 | ) | | | (24) | | | | | |
U.S. Ultra Bond Future | | 15 | | | Jun-18 | | | | 2,357 | | | | (1 | ) | | | (1) | | | | | |
| | | | | | | | | | | | | | | | | (32) | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10 Year Ultra Future | | 50 | | | Jun-18 | | | | (6,395 | ) | | | (23 | ) | | | (23) | | | | | |
U.S. Long Bond Future | | 31 | | | Jun-18 | | | | (4,459 | ) | | | (17 | ) | | | (17) | | | | | |
U.S. Treasury 5 Year Note Future | | 30 | | | Jun-18 | | | | (3,405 | ) | | | 12 | | | | 12 | | | | | |
| | | | | | | | | | | | | | | | | (28) | | | | | |
| | | | | | |
Total Futures | | | | | | | | | | | | | | | | | $(60) | | | | | |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | $ | 6,351 | |
Non-cash Collateral2 | | | (6,351 | ) |
| | | | |
Net Amount | | $ | — | |
| | | | |
| 1 | The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. |
| 2 | At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments. |
See notes to financial statements.
40 Payden Mutual Funds
| | | | | | | | | | | | |
The Fund seeks a high level of total return including
income generation consistent with preservation of
capital by investing in a wide variety of securities
across many asset classes. | | Portfolio Composition - percent of investments | | | | | |
| | Corporate Bond | | | 42 | % | |
| | Mortgage Backed | | | 15 | % | |
| | Foreign Government | | | 11 | % | |
| | Bank Loans | | | 10 | % | |
| | Asset Backed | | | 10 | % | |
| | Other | | | 12 | % | |
| | | | | | | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Asset Backed (10%) | | | | |
500,000 | | Carlyle Global Market Strategies CLO 2016-1 | | | | |
| | Ltd. 144A, (3 mo. LIBOR USD + 3.300%) | | | | |
| | 5.66%, 4/20/27 (a)(b) | | $ | 502 | |
1,170,000 | | Cedar Funding II CLO Ltd. 144A, (3 mo. LIBOR | | | | |
| | USD + 1.230%) 3.29%, 6/09/30 (a)(b) | | | 1,176 | |
590,000 | | Cedar Funding II CLO Ltd. 144A, (3 mo. LIBOR | | | | |
| | USD + 2.350%) 4.41%, 6/09/30 (a)(b) | | | 594 | |
942,248 | | Colony American Homes 2015-1 144A, (1 mo. | | | | |
| | LIBOR USD + 1.200%) 3.10%, 7/17/32 (a)(b) | | | 943 | |
643,362 | | Countrywide Asset-Backed Certificates, | | | | |
| | 4.76%, 10/25/46 (c) | | | 628 | |
1,637,625 | | Domino’s Pizza Master Issuer LLC 144A, (3 mo. | | | | |
| | LIBOR USD + 1.250%) 3.61%, 7/25/47 (a)(b) | | | 1,646 | |
297,750 | | Domino’s Pizza Master Issuer LLC 144A, | | | | |
| | 4.12%, 7/25/47 (b) | | | 296 | |
650,000 | | First Investors Auto Owner Trust 2016-2 144A, | | | | |
| | 2.53%, 7/15/22 (b) | | | 639 | |
658,046 | | Invitation Homes 2015-SFR3 Trust 144A, (1 | | | | |
| | mo. LIBOR USD + 1.300%) | | | | |
| | 3.20%, 8/17/32 (a)(b) | | | 660 | |
1,540,928 | | Invitation Homes 2017-SFR2 Trust 144A, (1 | | | | |
| | mo. LIBOR USD + 0.850%) | | | | |
| | 2.75%, 12/17/36 (a)(b) | | | 1,546 | |
400,000 | | LCM XX LLC 144A, (3 mo. LIBOR USD | | | | |
| | + 3.750%) 6.11%, 10/20/27 (a)(b) | | | 403 | |
500,000 | | LCM XXI LP 144A, (3 mo. LIBOR USD | | | | |
| | + 3.500%) 5.86%, 4/20/28 (a)(b) | | | 508 | |
1,500,000 | | Octagon Investment Partners 24 Ltd. 144A, (3 | | | | |
| | mo. LIBOR USD + 0.900%) | | | | |
| | 2.79%, 5/21/27 (a)(b) | | | 1,500 | |
500,000 | | Octagon Investment Partners 26 Ltd. 144A, (3 | | | | |
| | mo. LIBOR USD + 3.350%) | | | | |
| | 5.70%, 4/15/27 (a)(b) | | | 501 | |
865,000 | | Springleaf Funding Trust 2017-A 144A, | | | | |
| | 2.68%, 7/15/30 (b) | | | 850 | |
839,375 | | Taco Bell Funding LLC 144A, | | | | |
| | 3.83%, 5/25/46 (b) | | | 845 | |
1,600,000 | | Vibrant CLO VII Ltd. 144A, (3 mo. LIBOR USD | | | | |
| | + 1.270%) 3.63%, 9/15/30 (a)(b) | | | 1,610 | |
244,919 | | VOLT XXV LLC 144A, 3.50%, 6/26/45 (b) | | | 246 | |
1,396,500 | | Wendy’s Funding LLC 144A, 3.88%, 3/15/48 (b) | | | 1,370 | |
800,000 | | Westlake Automobile Receivables Trust 2016-2 | | | | |
| | 144A, 4.10%, 6/15/21 (b) | | | 809 | |
| | | | | | |
Total Asset Backed (Cost - $17,229) | | | 17,272 | |
| | | | | | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Bank Loans(d) (10%) | | | | |
465,861 | | Albertson’s LLC Term Loan B4 1L, (LIBOR USD | | | | |
| | 1-Month + 2.750%) 4.65%, 8/25/21 | | $ | 462 | |
416,832 | | Allison Transmission Inc. Term Loan B3 1L, | | | | |
| | (LIBOR USD 1-Month + 1.750%) | | | | |
| | 3.65%, 9/23/22 | | | 421 | |
991,241 | | Altice France SA Term Loan B11 1L, (LIBOR | | | | |
| | USD 1-Month + 2.750%) 4.65%, 7/18/25 | | | 978 | |
997,500 | | Aramark Services Inc. Term Loan B1 1L, (LIBOR | | | | |
| | USD 1-Month + 2.000%) 3.90%, 3/11/25 | | | 1,006 | |
1,000,000 | | Beacon Roofing Supply Inc. Term Loan B 1L, | | | | |
| | (LIBOR USD 1-Month + 2.250%) | | | | |
| | 4.13%, 1/02/25 | | | 1,007 | |
500,000 | | Berry Global Inc. Term Loan P 1L, (LIBOR USD | | | | |
| | 1-Month + 2.000%) 3.90%, 1/06/21 | | | 504 | |
649,950 | | Burlington Coat Factory Warehouse Corp. Term | | | | |
| | Loan B5 1L, (LIBOR USD 1-Month + 2.500%) | | | | |
| | 4.41%, 11/17/24 | | | 654 | |
997,500 | | Caesars Resort Collection LLC Term Loan 1L, | | | | |
| | (LIBOR USD 1-Month + 2.750%) | | | | |
| | 4.65%, 12/22/24 | | | 1,007 | |
483,752 | | CDW LLC/CDW Finance Corp. Term loan B 1L, | | | | |
| | (LIBOR USD 1-Month + 1.750%) | | | | |
| | 4.06%, 8/17/23 | | | 487 | |
1,000,000 | | CSC Holdings LLC Term Loan B 1L, (LIBOR | | | | |
| | USD 1-Month + 2.500%) 4.40%, 1/25/26 | | | 1,002 | |
481,250 | | DaVita Inc. Term Loan B 1L, (LIBOR USD | | | | |
| | 1-Month + 2.750%) 4.65%, 6/24/21 | | | 486 | |
954,959 | | Eldorado Resorts Inc. Term Loan B 1L, (LIBOR | | | | |
| | USD 1-Month + 2.250%) 4.18%, 4/17/24 | | | 963 | |
992,481 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR | | | | |
| | USD 1-Month + 3.500%) 5.80%, 10/21/21 | | | 999 | |
394,051 | | Michaels Stores Inc. Term Loan B1 1L, (LIBOR | | | | |
| | USD 1-Month + 2.750%) 4.65%, 1/28/23 | | | 397 | |
481,546 | | Sabre GLBL Inc. Term Loan B 1L, (LIBOR USD | | | | |
| | 1-Month + 2.000%) 3.90%, 2/22/24 | | | 484 | |
1,000,000 | | Sinclair Television Group Inc. Term Loan B 1L, | | | | |
| | (LIBOR USD 3-Month + 2.500%) | | | | |
| | 2.50%, 12/12/24 | | | 1,006 | |
994,975 | | Sotera Health Holdings LLC Term Loan B 1L, | | | | |
| | (LIBOR USD 1-Month + 3.000%) | | | | |
| | 4.90%, 5/15/22 | | | 1,002 | |
Semi-Annual Report 41
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
800,000 | | Tacala Investment Corp. Term Loan B 1L, | | | | |
| | (LIBOR USD 1-Month + 3.250%) | | | | |
| | 5.13%, 2/01/25 | | $ | 808 | |
1,085,500 | | Trinseo Materials Operating SCA Term Loan 1L, | | | | |
| | (LIBOR USD 1-Month + 2.500%) | | | | |
| | 4.40%, 9/06/24 | | | 1,095 | |
666,784 | | Vantiv LLC Term Loan B3 1L, (LIBOR USD | | | | |
| | 1-Month + 2.000%) 3.90%, 10/14/23 | | | 672 | |
291,667 | | Visteon Corp. Term Loan B 1L, (LIBOR USD | | | | |
| | 1-Month + 2.000%) 3.83%, 3/24/24 | | | 294 | |
750,000 | | WMG Acquisition Corp. Term Loan E 1L, | | | | |
| | (LIBOR USD 1-Month + 2.250%) | | | | |
| | 4.15%, 11/01/23 | | | 754 | |
855,000 | | Zayo Group LLC Term Loan B2 1L, (LIBOR | | | | |
| | USD 1-Month + 2.250%) 4.15%, 1/19/24 | | | 862 | |
| | | | | | |
Total Bank Loans (Cost - $17,256) | | | 17,350 | |
| | | | | | |
Corporate Bond (42%) | | | | |
Financial (17%) | | | | |
440,000 | | ADCB Finance Cayman Ltd. 144A, | | | | |
| | 4.00%, 3/29/23 (b) | | | 435 | |
435,000 | | AerCap Ireland Capital DAC/AerCap Global | | | | |
| | Aviation Trust, 5.00%, 10/01/21 | | | 452 | |
400,000 | | Aircastle Ltd., 5.50%, 2/15/22 | | | 420 | |
410,000 | | Ally Financial Inc., 3.25%, 11/05/18 | | | 411 | |
770,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 737 | |
185,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 181 | |
1,045,000 | | Athene Global Funding 144A, | | | | |
| | 2.75%, 4/20/20 (b) | | | 1,032 | |
220,000 | | Athene Global Funding 144A, (3 mo. LIBOR | | | | |
| | USD + 1.230%) 3.54%, 7/01/22 (a)(b) | | | 224 | |
950,000 | | Bank of America Corp., (3 mo. LIBOR USD | | | | |
| | + 0.660%) 2.37%, 7/21/21 (a) | | | 932 | |
645,000 | | Bank of America Corp., (3 mo. LIBOR USD | | | | |
| | + 1.021%) 2.88%, 4/24/23 (a) | | | 628 | |
270,000 | | Barclays PLC, 3.68%, 1/10/23 | | | 267 | |
740,000 | | BMW U.S. Capital LLC 144A, | | | | |
| | 3.10%, 4/12/21 (b) | | | 738 | |
600,000 | | BPCE SA 144A, (3 mo. LIBOR USD + 1.220%) | | | | |
| | 3.12%, 5/22/22 (a)(b) | | | 611 | |
300,000 | | Capital One Bank USA NA, 2.30%, 6/05/19 | | | 298 | |
360,000 | | Carlyle Holdings Finance LLC 144A, | | | | |
| | 3.88%, 2/01/23 (b) | | | 359 | |
400,000 | | Citigroup Inc., (3 mo. LIBOR USD + 0.950%) | | | | |
| | 2.88%, 7/24/23 (a) | | | 387 | |
750,000 | | Citigroup Inc., 2.90%, 12/08/21 | | | 736 | |
130,000 | | Citigroup Inc., (3 mo. LIBOR USD + 4.478%) | | | | |
| | 6.13%, (a)(e) | | | 136 | |
510,000 | | Compass Bank, 2.88%, 6/29/22 | | | 491 | |
750,000 | | Cooperatieve Rabobank UA, 4.63%, 12/01/23 | | | 768 | |
900,000 | | Credit Suisse Group Funding Guernsey Ltd., | | | | |
| | 3.80%, 9/15/22 | | | 901 | |
425,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 424 | |
770,000 | | Five Corners Funding Trust 144A, | | | | |
| | 4.42%, 11/15/23 (b) | | | 796 | |
740,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 712 | |
250,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD | | | | |
| | + 1.270%) 3.56%, 3/28/22 (a) | | | 254 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
700,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD | | | | |
| | + 1.235%) 3.59%, 2/15/23 (a) | | $ | 700 | |
630,000 | | Ford Motor Credit Co. LLC, 3.81%, 1/09/24 | | | 615 | |
235,000 | | FS Investment Corp., 4.25%, 1/15/20 | | | 235 | |
400,000 | | General Motors Financial Co. Inc., | | | | |
| | 3.70%, 5/09/23 | | | 394 | |
705,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR | | | | |
| | USD + 1.550%) 3.90%, 1/14/22 (a) | | | 724 | |
500,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR | | | | |
| | USD + 3.598%) 5.75%, (a)(e)(f) | | | 494 | |
1,135,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD | | | | |
| | + 1.110%) 3.47%, 4/26/22 (a) | | | 1,151 | |
475,000 | | International Lease Finance Corp., | | | | |
| | 4.63%, 4/15/21 | | | 487 | |
250,000 | | Lloyds Banking Group PLC, (3 mo. LIBOR USD | | | | |
| | + 0.810%) 2.91%, 11/07/23 (a) | | | 241 | |
630,000 | | Lloyds Banking Group PLC, 3.00%, 1/11/22 | | | 619 | |
555,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR | | | | |
| | USD + 1.023%) 3.19%, 11/28/23 (a)(b) | | | 533 | |
235,000 | | Mizuho Financial Group Inc. 144A, | | | | |
| | 2.63%, 4/12/21 (b) | | | 230 | |
980,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.930%) | | | | |
| | 3.29%, 7/22/22 (a) | | | 992 | |
805,000 | | Nationwide Building Society 144A, (3 mo. | | | | |
| | LIBOR USD + 1.064%) 3.77%, 3/08/24 (a)(b) | | | 797 | |
800,000 | | Navient Corp., 5.00%, 10/26/20 | | | 806 | |
580,000 | | Realogy Group LLC/Realogy Co-Issuer Corp. | | | | |
| | 144A, 4.88%, 6/01/23 (b) | | | 564 | |
500,000 | | Royal Bank of Scotland Group PLC, (3 mo. | | | | |
| | LIBOR USD + 1.480%) 3.50%, 5/15/23 (a) | | | 490 | |
600,000 | | Royal Bank of Scotland Group PLC, (3 mo. | | | | |
| | LIBOR USD + 1.470%) 3.81%, 5/15/23 (a) | | | 608 | |
850,000 | | Santander Holdings USA Inc., 3.70%, 3/28/22 | | | 843 | |
250,000 | | Santander UK Group Holdings PLC, | | | | |
| | 3.57%, 1/10/23 | | | 245 | |
168,000 | | Scentre Group Trust 1/Scentre Group Trust 2 | | | | |
| | 144A, 2.38%, 11/05/19 (b) | | | 166 | |
450,000 | | Senior Housing Properties Trust, | | | | |
| | 4.75%, 5/01/24 | | | 450 | |
160,000 | | Senior Housing Properties Trust, | | | | |
| | 6.75%, 4/15/20 | | | 166 | |
580,000 | | SLM Corp., 5.13%, 4/05/22 | | | 587 | |
675,000 | | Sumitomo Mitsui Financial Group Inc., | | | | |
| | 2.78%, 7/12/22 | | | 655 | |
245,000 | | Suncorp-Metway Ltd. 144A, 2.35%, 4/27/20 (b) | | | 241 | |
150,000 | | Synchrony Financial, 3.75%, 8/15/21 | | | 151 | |
455,000 | | VEREIT Operating Partnership LP, | | | | |
| | 3.00%, 2/06/19 | | | 455 | |
505,000 | | VEREIT Operating Partnership LP, | | | | |
| | 4.60%, 2/06/24 | | | 503 | |
1,000,000 | | VFH Parent LLC/Orchestra Co-Issuer Inc. 144A, | | | | |
| | 6.75%, 6/15/22 (b) | | | 1,040 | |
| | | | | | |
| | | | | 29,512 | |
| | | | | | |
Industrial (18%) | | | | |
430,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, | | | | |
| | 5.00%, 10/15/25 (b) | | | 416 | |
42 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
8,700,000 | | America Movil SAB de CV, 6.00%, 6/09/19 | | | | |
| | MXN (g) | | $ | 454 | |
200,893 | | American Airlines 2013-2 Class B Pass-Through | | | | |
| | Trust 144A, 5.60%, 7/15/20 (b) | | | 205 | |
700,000 | | Anglo American Capital PLC 144A, | | | | |
| | 3.63%, 9/11/24 (b) | | | 669 | |
400,000 | | Anglo American Capital PLC 144A, | | | | |
| | 4.13%, 4/15/21 (b) | | | 404 | |
625,000 | | Anheuser-Busch InBev Worldwide Inc., (3 mo. | | | | |
| | LIBOR USD + 0.740%) 3.05%, 1/12/24 (a) | | | 635 | |
540,000 | | Aviation Capital Group LLC 144A, | | | | |
| | 3.88%, 5/01/23 (b) | | | 539 | |
595,000 | | Bacardi Ltd. 144A, 4.45%, 5/15/25 (b)(f) | | | 594 | |
350,000 | | Baxalta Inc., 2.88%, 6/23/20 | | | 347 | |
500,000 | | Blue Cross & Blue Shield of Minnesota 144A, | | | | |
| | 3.79%, 5/01/25 (b) | | | 486 | |
580,000 | | Boise Cascade Co. 144A, 5.63%, 9/01/24 (b) | | | 590 | |
500,000 | | Braskem Finance Ltd., 6.45%, 2/03/24 | | | 539 | |
300,000 | | BWAY Holding Co. 144A, 7.25%, 4/15/25 (b) | | | 309 | |
300,000 | | CCO Holdings LLC/CCO Holdings Capital | | | | |
| | Corp., 5.75%, 9/01/23 | | | 304 | |
200,000 | | Change Healthcare Holdings LLC/Change | | | | |
| | Healthcare Finance Inc. 144A, | | | | |
| | 5.75%, 3/01/25 (b) | | | 196 | |
500,000 | | Churchill Downs Inc. 144A, 4.75%, 1/15/28 (b) | | | 474 | |
430,000 | | CommScope Inc. 144A, 5.00%, 6/15/21 (b) | | | 435 | |
400,000 | | Continental Resources Inc./OK, 5.00%, 9/15/22 | | | 407 | |
810,000 | | CVS Health Corp., (3 mo. LIBOR USD | | | | |
| | + 0.720%) 2.78%, 3/09/21 (a) | | | 818 | |
810,000 | | CVS Health Corp., 3.70%, 3/09/23 | | | 807 | |
300,000 | | DaVita Inc., 5.13%, 7/15/24 | | | 291 | |
900,000 | | Dell International LLC/EMC Corp. 144A, | | | | |
| | 4.42%, 6/15/21 (b) | | | 917 | |
600,000 | | Dell International LLC/EMC Corp. 144A, | | | | |
| | 5.45%, 6/15/23 (b) | | | 632 | |
360,000 | | Dollar Tree Inc., (3 mo. LIBOR USD + 0.700%) | | | | |
| | 3.06%, 4/17/20 (a) | | | 361 | |
900,000 | | Express Scripts Holding Co., (3 mo. LIBOR USD | | | | |
| | + 0.750%) 2.76%, 11/30/20 (a) | | | 901 | |
295,000 | | General Mills Inc., (3 mo. LIBOR USD | | | | |
| | + 1.010%) 3.36%, 10/17/23 (a) | | | 299 | |
410,000 | | Golden Nugget Inc. 144A, 8.75%, 10/01/25 (b) | | | 429 | |
500,000 | | HCA Inc., 5.88%, 5/01/23 | | | 522 | |
270,000 | | Hill-Rom Holdings Inc. 144A, | | | | |
| | 5.00%, 2/15/25 (b) | | | 269 | |
500,000 | | Keysight Technologies Inc., 3.30%, 10/30/19 | | | 499 | |
517,126 | | Latam Airlines 2015-1 Pass-Through Trust A, | | | | |
| | 4.20%, 11/15/27 | | | 496 | |
1,000,000 | | Lennar Corp. 144A, 4.75%, 11/29/27 (b) | | | 947 | |
420,000 | | Level 3 Parent LLC, 5.75%, 12/01/22 | | | 424 | |
530,000 | | Meritage Homes Corp., 5.13%, 6/06/27 | | | 504 | |
635,000 | | Mylan NV, 3.15%, 6/15/21 | | | 624 | |
300,000 | | New Red Finance Inc. 144A, 4.63%, 1/15/22 (b) | | | 302 | |
775,000 | | Nissan Motor Acceptance Corp. 144A, | | | | |
| | 2.15%, 7/13/20 (b) | | | 757 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,050,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | $ | 1,014 | |
600,000 | | NOVA Chemicals Corp. 144A, | | | | |
| | 5.25%, 6/01/27 (b) | | | 579 | |
430,000 | | Orange SA, 1.63%, 11/03/19 | | | 422 | |
250,000 | | Orange SA, 9.00%, 3/01/31 | | | 358 | |
500,000 | | Penske Automotive Group Inc., | | | | |
| | 5.38%, 12/01/24 | | | 499 | |
470,000 | | QEP Resources Inc., 5.38%, 10/01/22 | | | 472 | |
85,000 | | Seagate HDD Cayman, 4.88%, 3/01/24 | | | 83 | |
555,000 | | Shire Acquisitions Investments Ireland DAC, | | | | |
| | 2.40%, 9/23/21 | | | 533 | |
450,000 | | Sirius XM Radio Inc. 144A, 5.00%, 8/01/27 (b) | | | 431 | |
470,000 | | SM Energy Co., 6.13%, 11/15/22 | | | 477 | |
885,000 | | SMBC Aviation Capital Finance DAC 144A, | | | | |
| | 2.65%, 7/15/21 (b) | | | 859 | |
275,000 | | Smithfield Foods Inc. 144A, 3.35%, 2/01/22 (b) | | | 267 | |
480,000 | | Solvay Finance America LLC 144A, | | | | |
| | 3.40%, 12/03/20 (b) | | | 481 | |
400,000 | | Sonic Automotive Inc., 5.00%, 5/15/23 | | | 388 | |
290,000 | | Sprint Communications Inc, 6.00%, 11/15/22 | | | 297 | |
300,000 | | Sprint Corp., 7.88%, 9/15/23 | | | 322 | |
500,000 | | Standard Industries Inc./NJ 144A, | | | | |
| | 4.75%, 1/15/28 (b) | | | 469 | |
300,000 | | Tenet Healthcare Corp., 8.13%, 4/01/22 | | | 314 | |
500,000 | | Teva Pharmaceutical Finance Netherlands III BV, | | | | |
| | 2.20%, 7/21/21 | | | 452 | |
860,000 | | United Continental Holdings Inc., | | | | |
| | 5.00%, 2/01/24 | | | 858 | |
500,000 | | United Rentals North America Inc., | | | | |
| | 4.63%, 10/15/25 | | | 486 | |
300,000 | | United Rentals North America Inc., | | | | |
| | 5.88%, 9/15/26 | | | 314 | |
600,000 | | Valeant Pharmaceuticals International Inc. 144A, | | | | |
| | 7.50%, 7/15/21 (b) | | | 612 | |
800,000 | | VeriSign Inc., 4.75%, 7/15/27 | | | 770 | |
350,000 | | VMware Inc., 2.95%, 8/21/22 | | | 337 | |
165,000 | | WestRock MWV LLC, 7.38%, 9/01/19 | | | 174 | |
470,000 | | Whiting Petroleum Corp., 5.75%, 3/15/21 | | | 482 | |
430,000 | | XPO Logistics Inc. 144A, 6.13%, 9/01/23 (b) | | | 447 | |
| | | | | | |
| | | | | 31,999 | |
| | | | | | |
Utility (7%) | | | | |
815,000 | | Cenovus Energy Inc., 5.70%, 10/15/19 | | | 840 | |
550,000 | | Colorado Interstate Gas Co. LLC/Colorado | | | | |
| | Interstate Issuing Corp. 144A, | | | | |
| | 4.15%, 8/15/26 (b) | | | 533 | |
275,000 | | Comision Federal de Electricidad 144A, | | | | |
| | 4.88%, 5/26/21 (b) | | | 283 | |
700,000 | | Comision Federal de Electricidad 144A, | | | | |
| | 4.88%, 1/15/24 (b) | | | 719 | |
800,000 | | Dominion Energy Inc., 4.10%, 4/01/21 | | | 813 | |
430,000 | | Emera U.S. Finance LP, 2.70%, 6/15/21 | | | 419 | |
260,000 | | Enbridge Inc., 2.90%, 7/15/22 | | | 251 | |
750,000 | | Energy Transfer Equity LP, 4.25%, 3/15/23 | | | 726 | |
370,000 | | Energy Transfer Partners LP/Regency Energy | | | | |
| | Finance Corp., 5.00%, 10/01/22 | | | 383 | |
500,000 | | Entergy Louisiana LLC, 5.00%, 7/15/44 | | | 508 | |
500,000 | | Enviva Partners LP/Enviva Partners Finance | | | | |
| | Corp., 8.50%, 11/01/21 | | | 528 | |
Semi-Annual Report 43
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
615,000 | | EQT Corp., 3.00%, 10/01/22 | | $ | 595 | |
725,000 | | KazMunayGas National Co. JSC 144A, | | | | |
| | 6.38%, 4/09/21 (b) | | | 779 | |
450,000 | | Mississippi Power Co., (3 mo. LIBOR USD | | | | |
| | + 0.650%) 2.94%, 3/27/20 (a) | | | 450 | |
900,000 | | Nabors Industries Inc., 4.63%, 9/15/21 | | | 884 | |
510,000 | | Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 | | | 536 | |
450,000 | | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | | | 484 | |
845,000 | | Sinopec Group Overseas Development 2012 Ltd. | | | | |
| | 144A, 3.90%, 5/17/22 (b) | | | 849 | |
500,000 | | Transocean Inc. 144A, 9.00%, 7/15/23 (b) | | | 541 | |
| | | | | | |
| | | | | 11,121 | |
| | | | | | |
Total Corporate Bond (Cost - $73,878) | | | 72,632 | |
| | | | | | |
Foreign Government (12%) | | | | |
1,100,000 | | Argentine Republic Government International | | | | |
| | Bond, 5.88%, 1/11/28 | | | 1,010 | |
650,000 | | Brazilian Government International Bond, | | | | |
| | 2.63%, 1/05/23 | | | 613 | |
955,000 | | Croatia Government International Bond 144A, | | | | |
| | 6.38%, 3/24/21 (b) | | | 1,026 | |
910,000 | | Dominican Republic International Bond 144A, | | | | |
| | 7.50%, 5/06/21 (b) | | | 964 | |
400,000 | | Egypt Government International Bond 144A, | | | | |
| | 4.75%, 4/16/26 EUR (b)(g) | | | 482 | |
850,000 | | Export-Import Bank of India, | | | | |
| | 3.88%, 10/02/19 (h) | | | 857 | |
1,960,000 | | France Government Bond OAT, 3.25%, 5/25/45 | | | | |
| | EUR (g)(h) | | | 3,258 | |
430,000 | | Georgia Government International Bond 144A, | | | | |
| | 6.88%, 4/12/21 (b) | | | 464 | |
950,000 | | Guatemala Government Bond 144A, | | | | |
| | 5.75%, 6/06/22 (b) | | | 1,006 | |
500,000 | | Honduras Government International Bond 144A, | | | | |
| | 8.75%, 12/16/20 (b) | | | 548 | |
460,000 | | Indonesia Government International Bond 144A, | | | | |
| | 5.88%, 3/13/20 (b) | | | 483 | |
355,000 | | Indonesia Government International Bond, | | | | |
| | 5.88%, 3/13/20 (h) | | | 373 | |
645,000 | | Kenya Government International Bond 144A, | | | | |
| | 5.88%, 6/24/19 (b) | | | 656 | |
800,000 | | Nigeria Government International Bond, | | | | |
| | 5.13%, 7/12/18 (h) | | | 802 | |
500,000 | | Oman Government International Bond 144A, | | | | |
| | 5.63%, 1/17/28 (b) | | | 478 | |
520,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, | | | | |
| | 3.40%, 3/29/22 (b) | | | 512 | |
560,000 | | Provincia de Buenos Aires/Argentina 144A, | | | | |
| | 5.75%, 6/15/19 (b) | | | 570 | |
450,000 | | Republic of Armenia International Bond 144A, | | | | |
| | 6.00%, 9/30/20 (b) | | | 461 | |
665,000 | | Saudi Government International Bond 144A, | | | | |
| | 3.25%, 10/26/26 (b) | | | 615 | |
1,000,000 | | Saudi Government International Bond 144A, | | | | |
| | 3.63%, 3/04/28 (b) | | | 937 | |
750,000 | | Senegal Government International Bond 144A, | | | | |
| | 4.75%, 3/13/28 EUR (b)(g) | | | 900 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
294,000 | | Senegal Government International Bond 144A, | | | | |
| | 8.75%, 5/13/21 (b) | | $ | 328 | |
1,000,000 | | Serbia International Bond 144A, | | | | |
| | 4.88%, 2/25/20 (b) | | | 1,020 | |
450,000 | | Sri Lanka Government International Bond 144A, | | | | |
| | 5.88%, 7/25/22 (b) | | | 455 | |
450,000 | | Turkey Government International Bond, | | | | |
| | 5.63%, 3/30/21 | | | 465 | |
1,000,000 | | Vietnam Government International Bond 144A, | | | | |
| | 6.75%, 1/29/20 (b) | | | 1,054 | |
| | | | | | |
Total Foreign Government (Cost - $20,550) | | | 20,337 | |
| | | | | | |
Mortgage Backed (15%) | | | | |
159,158 | | Alternative Loan Trust 2005-47CB, | | | | |
| | 5.50%, 10/25/35 | | | 137 | |
178,489 | | Alternative Loan Trust 2005-54CB, | | | | |
| | 5.13%, 11/25/35 | | | 154 | |
298,569 | | Alternative Loan Trust 2007-9T1, | | | | |
| | 6.00%, 5/25/37 | | | 225 | |
434,308 | | American Home Mortgage Investment Trust | | | | |
| | 2006-3, (6 mo. LIBOR USD + 1.750%) | | | | |
| | 4.27%, 12/25/36 (a) | | | 376 | |
279,248 | | Banc of America Funding 2005-H Trust, | | | | |
| | 3.53%, 11/20/35 (c) | | | 250 | |
495,896 | | BCAP LLC Trust 2007-AA2, 6.00%, 4/25/37 | | | 426 | |
231,951 | | CHL Mortgage Pass-Through Trust 2004-29, | | | | |
| | 2.54%, 2/25/35 (c) | | | 195 | |
107,931 | | CSMC Mortgage-Backed Trust 2006-7, | | | | |
| | 6.00%, 8/25/36 | | | 88 | |
222,783 | | CSMC Trust 2013-IVR3 144A, | | | | |
| | 1.55%, 5/25/43 (b)(c) | | | 215 | |
802,893 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 0.550%) 2.45%, 1/25/30 (a) | | | 803 | |
825,452 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 0.950%) | | | | |
| | 2.85%, 10/25/29 (a) | | | 830 | |
550,000 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 2.200%) 4.10%, 8/25/30 (a) | | | 557 | |
449,771 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 2.900%) 4.80%, 7/25/24 (a) | | | 479 | |
475,327 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 3.000%) 4.90%, 7/25/24 (a) | | | 509 | |
816,376 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 5.000%) 6.90%, 7/25/25 (a) | | | 910 | |
355,846 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 5.700%) 7.60%, 4/25/28 (a) | | | 414 | |
499,807 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 10.250%) | | | | |
| | 12.15%, 1/25/29 (a) | | | 680 | |
774,939 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 11.750%) | | | | |
| | 13.65%, 10/25/28 (a) | | | 1,131 | |
499,556 | | Fannie Mae Connecticut Avenue Securities, (1 | | | | |
| | mo. LIBOR USD + 12.250%) | | | | |
| | 14.15%, 9/25/28 (a) | | | 747 | |
44 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
1,825,000 | | Freddie Mac Multifamily Structured | | | | |
| | Pass-Through Certificates, 2.45%, 8/25/23 | | $ | 1,765 | |
950,000 | | Freddie Mac Multifamily Structured | | | | |
| | Pass-Through Certificates, 3.32%, 2/25/23 (c) | | | 961 | |
550,000 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 2.300%) | | | | |
| | 4.20%, 9/25/30 (a) | | | 559 | |
1,000,000 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 3.600%) | | | | |
| | 5.50%, 4/25/24 (a) | | | 1,119 | |
600,000 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 4.600%) | | | | |
| | 6.50%, 12/25/42 (a) | | | 637 | |
498,414 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 7.550%) | | | | |
| | 9.45%, 12/25/27 (a) | | | 618 | |
244,726 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 7.950%) | | | | |
| | 9.85%, 5/25/25 (a) | | | 299 | |
498,715 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 8.800%) | | | | |
| | 10.70%, 3/25/28 (a) | | | 611 | |
498,920 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 9.350%) | | | | |
| | 11.25%, 4/25/28 (a) | | | 665 | |
332,350 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 10.500%) | | | | |
| | 12.40%, 5/25/28 (a) | | | 444 | |
243,526 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 10.750%) | | | | |
| | 12.65%, 3/25/25 (a) | | | 334 | |
499,172 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 11.250%) | | | | |
| | 13.15%, 12/25/28 (a) | | | 707 | |
249,849 | | Freddie Mac Structured Agency Credit Risk Debt | | | | |
| | Notes, (1 mo. LIBOR USD + 11.250%) | | | | |
| | 13.15%, 10/25/29 (a) | | | 280 | |
922,181 | | FREMF 2017-KF32 Mortgage Trust 144A, (1 | | | | |
| | mo. LIBOR USD + 2.550%) | | | | |
| | 4.43%, 5/25/24 (a)(b) | | | 935 | |
408,915 | | GSMPS Mortgage Loan Trust 2005-RP2 144A, | | | | |
| | (1 mo. LIBOR USD + 0.350%) | | | | |
| | 2.25%, 3/25/35 (a)(b) | | | 385 | |
63,248 | | JP Morgan Mortgage Trust 2006-A4, | | | | |
| | 3.84%, 6/25/36 (c) | | | 61 | |
286,406 | | JP Morgan Mortgage Trust 2014-2 144A, | | | | |
| | 3.00%, 6/25/29 (b)(c) | | | 284 | |
128,573 | | Nationstar Mortgage Loan Trust 2013-A 144A, | | | | |
| | 3.75%, 12/25/52 (b)(c) | | | 130 | |
124,455 | | New Residential Mortgage Loan Trust 2015-1 | | | | |
| | 144A, 3.75%, 5/28/52 (b)(c) | | | 125 | |
504,470 | | New Residential Mortgage Loan Trust 2015-2 | | | | |
| | 144A, 3.75%, 8/25/55 (b)(c) | | | 508 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
929,449 | | New Residential Mortgage Loan Trust 2017-4 | | | | |
| | 144A, 4.00%, 5/25/57 (b)(c) | | $ | 943 | |
1,631,084 | | New Residential Mortgage Loan Trust 2017-5 | | | | |
| | 144A, (1 mo. LIBOR USD + 1.500%) | | | | |
| | 3.40%, 6/25/57 (a)(b) | | | 1,686 | |
157,746 | | PHH Alternative Mortgage Trust Series 2007-1, | | | | |
| | 6.00%, 2/25/37 | | | 143 | |
231,404 | | RFMSI Series 2006-SA2 Trust, | | | | |
| | 4.60%, 8/25/36 (c) | | | 195 | |
1,000,000 | | Seasoned Credit Risk Transfer Trust Series | | | | |
| | 2017-1 144A, 3.00%, 9/25/55 (b)(c) | | | 978 | |
510,073 | | Sequoia Mortgage Trust 2017-CH1 144A, | | | | |
| | 3.50%, 8/25/47 (b)(c) | | | 508 | |
280,188 | | WaMu Mortgage Pass-Through Certificates | | | | |
| | Series 2006-AR10 Trust, 3.30%, 9/25/36 (c) | | | 273 | |
702,874 | | WaMu Mortgage Pass-Through Certificates | | | | |
| | Series 2007-HY1 Trust, 3.41%, 2/25/37 (c) | | | 690 | |
| | | | | | |
Total Mortgage Backed (Cost - $24,165) | | | 25,969 | |
| | | | | | |
Municipal (2%) | | | | |
650,000 | | California Pollution Control Financing Authority | | | | |
| | 144A, 5.00%, 7/01/37 (b) | | | 704 | |
595,000 | | California Pollution Control Financing Authority | | | | |
| | 144A, 5.00%, 11/21/45 (b) | | | 597 | |
250,000 | | District of Columbia Water & Sewer Authority, | | | | |
| | 4.81%, 10/01/14 | | | 268 | |
1,500,000 | | Municipal Improvement Corp. of Los Angeles, | | | | |
| | 3.43%, 11/01/21 | | | 1,517 | |
1,000,000 | | New York Transportation Development Corp., | | | | |
| | 5.00%, 7/01/41 | | | 1,073 | |
| | | | | | |
Total Municipal (Cost - $4,182) | | | 4,159 | |
| | | | | | |
U.S. Treasury (6%) | | | | |
1,800,000 | | U.S. Treasury Bond, 2.75%, 11/15/47 | | | 1,680 | |
570,000 | | U.S. Treasury Note, 1.25%, 11/15/18 (i) | | | 568 | |
1,085,000 | | U.S. Treasury Note, 1.63%, 5/15/26 | | | 984 | |
2,790,000 | | U.S. Treasury Note, 2.25%, 8/15/27 | | | 2,635 | |
4,695,000 | | U.S. Treasury Note, 2.75%, 2/15/28 | | | 4,622 | |
| | | | | | |
Total U.S. Treasury (Cost - $10,850) | | | 10,489 | |
| | | | | | |
Stocks (3%) | | | | |
Master Limited Partnership (1%) | | | | |
17,440 | | Antero Midstream Partners LP | | | 468 | |
18,270 | | Enterprise Products Partners LP | | | 490 | |
7,350 | | Magellan Midstream Partners LP | | | 484 | |
11,760 | | Spectra Energy Partners LP | | | 419 | |
12,300 | | Williams Partners LP | | | 448 | |
| | | | | | |
| | | | | 2,309 | |
| | | | | | |
Preferred Stock (1%) | | | | |
7,500 | | Bank of America Corp., 6.50% (f) | | | 197 | |
6,650 | | BB&T Corp., 5.63% | | | 171 | |
8,000 | | Charles Schwab Corp., 5.95% (f) | | | 208 | |
8,000 | | First Republic Bank, 5.50% (f) | | | 202 | |
3,840 | | Goldman Sachs Group Inc., 6.30% (f) | | | 100 | |
3,550 | | US Bancorp, 6.50% | | | 98 | |
270 | | Wells Fargo & Co., 7.50% | | | 346 | |
| | | | | | |
| | | | | 1,322 | |
| | | | | | |
Real Estate Investment Trust (1%) | | | | |
4,490 | | CoreSite Realty Corp. | | | 467 | |
Semi-Annual Report 45
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
4,180 | | Crown Castle International Corp. | | $ | 422 | |
7,400 | | Prologis Inc. | | | 480 | |
2,300 | | Public Storage | | | 464 | |
| | | | | 1,833 | |
Total Stocks (Cost - $5,460) | | | 5,464 | |
Investment Company (1%) | | | | |
2,733,088 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $2,733) | | | 2,733 | |
Purchased Call Swaptions (0%) | | | | |
Total Purchased Call Swaptions (Cost - $69) | | | 28 | |
Total Investments, Before Options Written | | | | |
(Cost - $176,372) (101%) | | | 176,433 | |
Written Swaptions (0%) | | | | |
Total Written Call Swaptions (Cost - $(69)) | | | (34 | ) |
Total Investments (Cost - $176,303) (101%) | | | 176,399 | |
Liabilities in excess of Other Assets (-1%) | | | (2,331 | ) |
| |
Net Assets (100%) | | $ | 174,068 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (b) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (e) | Perpetual security with no stated maturity date. |
| (f) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $1,191 and the total market value of the collateral held by the Fund is $1,228. Amounts in 000s. |
| (g) | Principal in foreign currency. |
| (h) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (i) | All or a portion of the security is pledged to cover futures contract margin requirements. |
Purchased Swaptions
| | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Notional
Amount
(000s) | | | Expiration
date | | | Value
(000s) | | | Call/Put | |
Purchased Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | |
2 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7385% | | BNP PARIBAS | | | $23,600 | | | | 09/24/2018 | | | | $28 | | | | Call | |
| Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | |
46 Payden Mutual Funds
Written Swaptions
| | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Notional
Amount
(000s) | | | Expiration
date | | | Value
(000s) | | | Call/Put | |
Written Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | |
5 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7825% | | BNP PARIBAS | | | $9,800 | | | | 09/24/2018 | | | | $(34) | | | | Call | |
| Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000) | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | |
CAD 1,765 | | USD 1,371 | | Citibank, N.A. | | | 06/26/2018 | | | $6 | | |
COP 1,599,000 | | USD 563 | | State Street Bank & Trust Co. | | | 05/11/2018 | | | 6 | | |
USD 274 | | MYR 1,076 | | Barclays Bank PLC | | | 05/30/2018 | | | — | | |
USD 4,358 | | EUR 3,539 | | Citibank, N.A. | | | 05/08/2018 | | | 81 | | |
USD 494 | | EUR 400 | | Citibank, N.A. | | | 05/08/2018 | | | 11 | | |
USD 1,404 | | CAD 1,765 | | Citibank, N.A. | | | 06/26/2018 | | | 28 | | |
USD 1,367 | | NZD 1,895 | | Citibank, N.A. | | | 06/26/2018 | | | 33 | | |
USD 1,638 | | NOK 12,822 | | HSBC Bank USA, N.A. | | | 05/15/2018 | | | 39 | | |
USD 2,046 | | EUR 1,662 | | HSBC Bank USA, N.A. | | | 07/27/2018 | | | 25 | | |
USD 575 | | COP 1,599,000 | | State Street Bank & Trust Co. | | | 05/11/2018 | | | 6 | | |
USD 532 | | BRL 1,853 | | State Street Bank & Trust Co. | | | 05/16/2018 | | | 4 | | |
| | | | | | | | | | 239 | | |
Liabilities: | | | | | | | | | | | | |
BRL 1,853 | | USD 558 | | State Street Bank & Trust Co. | | | 05/16/2018 | | | (29) | | |
CAD 2,070 | | USD 1,637 | | HSBC Bank USA, N.A. | | | 05/15/2018 | | | (25) | | |
IDR 24,959,000 | | USD 1,800 | | Barclays Bank PLC | | | 07/24/2018 | | | (24) | | |
JPY 447,600 | | USD 4,237 | | State Street Bank & Trust Co. | | | 06/14/2018 | | | (130) | | |
MYR 4,496 | | USD 1,162 | | Barclays Bank PLC | | | 05/30/2018 | | | (17) | | |
NOK 12,822 | | USD 1,653 | | HSBC Bank USA, N.A. | | | 05/15/2018 | | | (53) | | |
NOK 16,064 | | USD 2,040 | | HSBC Bank USA, N.A. | | | 07/27/2018 | | | (31) | | |
NZD 1,895 | | USD 1,386 | | Citibank, N.A. | | | 06/26/2018 | | | (53) | | |
RUB 27,700 | | USD 446 | | HSBC Bank USA, N.A. | | | 05/17/2018 | | | (7) | | |
USD 484 | | MXN 9,150 | | Barclays Bank PLC | | | 06/15/2018 | | | (1) | | |
USD 1,612 | | CAD 2,070 | | HSBC Bank USA, N.A. | | | 05/15/2018 | | | (1) | | |
ZAR 6,760 | | USD 557 | | HSBC Bank USA, N.A. | | | 05/11/2018 | | | (16) | | |
| | | | | | | | | | (387) | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | $(148) | | |
Semi-Annual Report 47
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | | Notional
Amount
(000s) | | | Current
Value
(000s) | | | Unrealized
Appreciation
(Depreciation)
(000s) | |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S. 10 Year Ultra Future | | 23 | | | Jun-18 | | | $ | 2,942 | | | $ | 10 | | | | $ 10 | | | | | |
U.S. Treasury 10 Year Note Future | | 10 | | | Jun-18 | | | | 1,196 | | | | (2 | ) | | | (2) | | | | | |
U.S. Treasury 5 Year Note Future | | 62 | | | Jun-18 | | | | 7,037 | | | | (24 | ) | | | (24) | | | | | |
| | | | | | | | | | | | | | | | | (16) | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
Euro-Bund Future | | 36 | | | Jun-18 | | | | (6,901 | ) | | | (68 | ) | | | (68) | | | | | |
Euro-Oat Future | | 39 | | | Jun-18 | | | | (7,244 | ) | | | (94 | ) | | | (94) | | | | | |
| | | | | | | | | | | | | | | | | (162) | | | | | |
| | | | | | |
Total Futures | | | | | | | | | | | | | | | | | $(178) | | | | | |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | | $1,191 | |
Non-cash Collateral2 | | | (1,191) | |
Net Amount | | | $ — | |
| 1 | The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. |
| 2 | At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments. |
See notes to financial statements.
48 Payden Mutual Funds
| | | | | | | | | | |
The Fund seeks a high level of total return that is consistent with preservation of capital by generally investing 80% of its assets in bonds or bond like securities. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Mortgage Backed | | | 30% | | |
| | Asset Backed | | | 26% | | |
| | Corporate | | | 22% | | |
| | Foregin Government | | | 13% | | |
| | Bank Loans | | | 5% | | |
| | Other | | | 4% | | |
| | | | | | | | | | | |
| | | | | | |
| Schedule of Investments - April 30, 2018 (Unaudited) | |
Principal or Shares | | Security Description | | Value (000) | |
Asset Backed (26%) | | | | |
500,000 | | Allegro CLO III Ltd. 144A, (3 mo. LIBOR USD + 0.840%) 3.20%, 7/25/27 (a)(b) | | | $ 499 | |
635,000 | | ALM XVI Ltd./ALM XVI LLC 144A, (3 mo. LIBOR USD + 1.050%)
3.40%, 7/15/27 (a)(b) | | | 636 | |
300,000 | | Apidos CLO 144A, (3 mo. LIBOR USD + 3.800%) 6.16%, 10/20/27 (a)(b) | | | 303 | |
450,000 | | Blackrock European CLO III DAC 144A, (3 mo. EURIBOR + 0.850%) 0.85%, 4/15/30
EUR (a)(b)(c) | | | 545 | |
450,000 | | Blackrock European CLO IV DAC 144A, (3 mo. EURIBOR + 0.850%) 0.85%, 7/15/30
EUR (a)(b)(c) | | | 546 | |
350,000 | | BlueMountain CLO 2014-2 Ltd. 144A, (3 mo. LIBOR USD + 0.930%) 3.29%, 7/20/26 (a)(b) | | | 350 | |
500,000 | | BlueMountain CLO 2014-4 Ltd. 144A, (3 mo. LIBOR USD + 1.350%) 3.33%, 11/30/26 (a)(b) | | | 500 | |
600,000 | | Carlyle Global Market Strategies CLO 2015-1 Ltd. 144A, (3 mo. LIBOR USD + 1.000%)
3.36%, 4/20/27 (a)(b) | | | 601 | |
250,000 | | Carlyle Global Market Strategies CLO 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 1.470%)
3.84%, 4/27/27 (a)(b) | | | 250 | |
450,000 | | Carlyle Global Market Strategies Euro CLO 2015-2 DAC 144A, (3 mo. EURIBOR + 0.730%)
0.73%, 9/21/29 EUR (a)(b)(c) | | | 544 | |
860,000 | | Cedar Funding II CLO Ltd. 144A, (3 mo. LIBOR USD + 1.230%) 3.29%, 6/09/30 (a)(b) | | | 865 | |
523,994 | | Cent CLO 18 Ltd. 144A, (3 mo. LIBOR USD + 1.120%) 3.48%, 7/23/25 (a)(b) | | | 526 | |
380,000 | | CIFC Funding 2014-III Ltd. 144A, (3 mo. LIBOR USD + 0.950%) 3.31%, 7/22/26 (a)(b) | | | 380 | |
380,000 | | CIFC Funding 2014-V Ltd. 144A, (3 mo. LIBOR USD + 1.400%) 3.75%, 1/17/27 (a)(b) | | | 380 | |
1,250,000 | | CIFC Funding 2015-V Ltd. 144A, (3 mo. LIBOR USD + 0.860%) 3.22%, 10/25/27 (a)(b) | | | 1,250 | |
450,000 | | CIFC Funding 2015-V Ltd. 144A, (3 mo. LIBOR USD + 2.950%) 5.31%, 10/25/27 (a)(b) | | | 450 | |
160,182 | | Colony American Homes 2015-1 144A, (1 mo. LIBOR USD + 1.200%) 3.10%, 7/17/32 (a)(b) | | | 160 | |
568,763 | | Colony Starwood Homes 2016-2 Trust 144A, (1 mo. LIBOR USD + 1.250%) 3.17%, 12/17/33 (a)(b) | | | 574 | |
884,623 | | Countrywide Asset-Backed Certificates,
4.76%, 10/25/46 (d) | | | 864 | |
| | | | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
893,250 | | Domino’s Pizza Master Issuer LLC 144A,
3.08%, 7/25/47 (b) | | | $ 867 | |
893,250 | | Domino’s Pizza Master Issuer LLC 144A, (3 mo. LIBOR USD + 1.250%) 3.61%, 7/25/47 (a)(b) | | | 898 | |
670,000 | | Drive Auto Receivables Trust 2016-B 144A,
4.53%, 8/15/23 (b) | | | 684 | |
650,000 | | Dryden 39 Euro CLO 2015 BV 144A, (3 mo. EURIBOR + 0.870%) 0.87%, 10/15/31
EUR (a)(b)(c) | | | 791 | |
590,000 | | First Investors Auto Owner Trust 2016-1 144A, 4.70%, 4/18/22 (b) | | | 596 | |
250,000 | | ICG US CLO 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 0.850%) 3.20%, 1/16/28 (a)(b) | | | 250 | |
400,000 | | ICG US CLO 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 2.450%) 4.80%, 1/16/28 (a)(b) | �� | | 400 | |
289,818 | | Invitation Homes 2015-SFR2 Trust 144A, (1 mo. LIBOR USD + 1.350%) 3.25%, 6/17/32 (a)(b) | | | 291 | |
600,000 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 0.950%) 3.31%, 4/21/25 (a)(b) | | | 600 | |
250,000 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD + 1.450%) 3.81%, 4/21/25 (a)(b) | | | 250 | |
755,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 0.950%) 3.31%, 4/19/30 (a)(b) | | | 755 | |
480,000 | | Madison Park Funding XIV Ltd. 144A, (3 mo. LIBOR USD + 1.120%) 3.48%, 7/20/26 (a)(b) | | | 481 | |
400,000 | | Magnetite IX Ltd. 144A, (3 mo. LIBOR USD + 1.500%) 3.86%, 7/25/26 (a)(b) | | | 400 | |
1,000,000 | | Magnetite VIII Ltd. 144A, (3 mo. LIBOR USD + 0.980%) 0.00%, 4/15/31 (a)(b) | | | 1,000 | |
350,000 | | Magnetite VIII Ltd. 144A, (3 mo. LIBOR USD + 2.900%) 0.00%, 4/15/31 (a)(b) | | | 350 | |
720,000 | | Neuberger Berman CLO XVI-S Ltd. 144A, (3 mo. LIBOR USD + 0.850%) 3.20%, 1/15/28 (a)(b) | | | 721 | |
661,865 | | New Residential Mortgage Trust 2018-1 144A, 4.00%, 12/25/57 (b)(d) | | | 674 | |
520,000 | | Octagon Investment Partners 24 Ltd. 144A, (3 mo. LIBOR USD + 0.900%) 2.79%, 5/21/27 (a)(b) | | | 520 | |
250,000 | | Octagon Investment Partners 24 Ltd. 144A, (3 mo. LIBOR USD + 1.350%) 3.24%, 5/21/27 (a)(b) | | | 250 | |
350,000 | | Octagon Investment Partners 25 Ltd. 144A, (3 mo. LIBOR USD + 0.800%) 3.16%, 10/20/26 (a)(b) | | | 350 | |
Semi-Annual Report 49
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
300,000 | | Octagon Investment Partners 25 Ltd. 144A, (3 mo. LIBOR USD + 1.200%)
3.56%, 10/20/26 (a)(b) | | $ | 298 | |
450,000 | | OHA Credit Partners XI Ltd. 144A, (3 mo. LIBOR USD + 4.300%) 6.66%, 10/20/28 (a)(b) | | | 454 | |
450,000 | | Prestige Auto Receivables Trust 2016-1 144A, 5.15%, 11/15/21 (b) | | | 456 | |
380,000 | | Santander Drive Auto Receivables Trust 2017-2, 3.49%, 7/17/23 | | | 378 | |
450,000 | | Shackleton 2015-VIII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.920%) 3.28%, 10/20/27 (a)(b) | | | 450 | |
500,000 | | Springleaf Funding Trust 2017-A 144A,
2.68%, 7/15/30 (b) | | | 491 | |
597,816 | | Starwood Waypoint Homes 2017-1 Trust 144A, (1 mo. LIBOR USD + 0.950%)
2.85%, 1/17/35 (a)(b) | | | 601 | |
1,050,000 | | Symphony CLO XVII Ltd. 144A, (3 mo. LIBOR USD + 0.880%) 3.23%, 4/15/28 (a)(b) | | | 1,050 | |
450,000 | | Symphony CLO XVII Ltd. 144A, (3 mo. LIBOR USD + 2.650%) 5.00%, 4/15/28 (a)(b) | | | 450 | |
790,000 | | Taco Bell Funding LLC 144A,
3.83%, 5/25/46 (b) | | | 795 | |
720,000 | | Thacher Park CLO Ltd. 144A, (3 mo. LIBOR USD + 1.160%) 3.52%, 10/20/26 (a)(b) | | | 721 | |
250,000 | | THL Credit Wind River 2015-2 CLO Ltd. 144A, (3 mo. LIBOR USD + 0.870%)
3.22%, 10/15/27 (a)(b) | | | 250 | |
250,000 | | THL Credit Wind River 2015-2 CLO Ltd. 144A, (3 mo. LIBOR USD + 2.600%)
4.95%, 10/15/27 (a)(b) | | | 246 | |
900,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%) 3.24%, 4/15/29 (a)(b) | | | 900 | |
500,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 2.700%) 5.05%, 4/15/29 (a)(b) | | | 500 | |
370,000 | | Venture XVII CLO Ltd. 144A, (3 mo. LIBOR USD + 0.880%) 3.23%, 4/15/27 (a)(b) | | | 370 | |
900,000 | | Vibrant CLO VII Ltd. 144A, (3 mo. LIBOR USD + 1.270%) 3.63%, 9/15/30 (a)(b) | | | 905 | |
56,520 | | VOLT XXV LLC 144A, 3.50%, 6/26/45 (b) | | | 57 | |
438,750 | | Wendy’s Funding LLC 144A, 4.08%, 6/15/45 (b) | | | 443 | |
625,000 | | Westlake Automobile Receivables Trust 2016-1 144A, 4.55%, 9/15/21 (b) | | | 633 | |
250,000 | | Westlake Automobile Receivables Trust 2016-2 144A, 4.10%, 6/15/21 (b) | | | 253 | |
160,000 | | Westlake Automobile Receivables Trust 2018-1 144A, 3.41%, 5/15/23 (b) | | | 159 | |
Total Asset Backed (Cost - $32,082) | | | 32,211 | |
| |
Bank Loans(e) (5%) | | | | |
149,250 | | Air Canada Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.98%, 10/06/23 | | | 150 | |
498,750 | | Aramark Services Inc. Term Loan B1 1L, (LIBOR USD 1-Month + 2.000%)
3.90%, 3/11/25 | | | 503 | |
350,000 | | Berry Global Inc. Term Loan P 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 1/06/21 | | | 353 | |
668,309 | | Burger King Term Loan B 1L, (LIBOR USD 1-Month + 2.250%) 4.15%, 2/17/24 | | | 671 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | | | | | |
399,255 | | Burlington Coat Factory Warehouse Corp. Term Loan B5 1L, (LIBOR USD 1-Month + 2.500%) 4.38%, 11/17/24 | | $ | 402 | |
423,938 | | Charter Communications Operating LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.91%, 4/30/25 | | | 426 | |
338,568 | | DaVita Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 6/24/21 | | | 342 | |
398,000 | | Digicel International Finance Term Loan B 1L, (LIBOR USD 3-Month + 3.250%) 5.61%, 5/10/24 | | | 398 | |
416,824 | | Golden Nugget Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 10/04/23 | | | 421 | |
398,982 | | MGM Growth Properties Operating Partnership LP Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 3/25/25 | | | 402 | |
226,307 | | Michaels Stores Inc. Term Loan B1 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 1/28/23 | | | 228 | |
290,988 | | Sabre GLBL Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 2/22/24 | | | 292 | |
500,000 | | Sinclair Television Group Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.500%) 2.50%, 12/12/24 | | | 503 | |
205,193 | | Visteon Corp. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.83%, 3/24/24 | | | 207 | |
400,000 | | WMG Acquisition Corp. Term Loan E 1L, (LIBOR USD 1-Month + 2.250%) 4.15%, 11/01/23 | | | 402 | |
500,000 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%) 1.75%, 3/29/25 | | | 505 | |
Total Bank Loans (Cost - $6,171) | | | 6,205 | |
| |
Corporate Bond (23%) | | | | |
400,000 | | ABN AMRO Bank NV 144A, 2.65%, 1/19/21 (b) | | | 393 | |
300,000 | | Activision Blizzard Inc., 2.60%, 6/15/22 | | | 290 | |
400,000 | | ADCB Finance Cayman Ltd. 144A,
4.00%, 3/29/23 (b) | | | 395 | |
290,000 | | Aircastle Ltd., 4.63%, 12/15/18 | | | 293 | |
300,000 | | Alimentation Couche-Tard Inc. 144A,
2.70%, 7/26/22 (b) | | | 289 | |
85,000 | | Allergan Funding SCS, 3.00%, 3/12/20 | | | 84 | |
200,000 | | Ally Financial Inc., 3.25%, 11/05/18 | | | 200 | |
90,000 | | Ally Financial Inc., 4.25%, 4/15/21 | | | 91 | |
250,000 | | Anheuser-Busch InBev Worldwide Inc.,
3.50%, 1/12/24 | | | 249 | |
350,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 335 | |
100,000 | | Arizona Public Service Co., 2.20%, 1/15/20 | | | 99 | |
290,000 | | AT&T Inc., 3.20%, 3/01/22 | | | 287 | |
270,000 | | Athene Global Funding 144A, 4.00%, 1/25/22 (b) | | | 272 | |
200,000 | | Banco del Estado de Chile 144A,
2.67%, 1/08/21 (b) | | | 196 | |
100,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.660%) 2.37%, 7/21/21 (a) | | | 98 | |
50 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
440,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.160%) 3.12%, 1/20/23 (a) | | $ | 433 | |
150,000 | | Bank of Scotland PLC, 9.38%, 5/15/21 GBP (c) | | | 250 | |
480,000 | | Becton Dickinson and Co., (3 mo. LIBOR USD + 0.875%) 2.94%, 12/29/20 (a) | | | 481 | |
200,000 | | BNP Paribas SA 144A, 2.95%, 5/23/22 (b) | | | 195 | |
350,000 | | BNZ International Funding Ltd./London 144A, 2.40%, 2/21/20 (b) | | | 346 | |
250,000 | | BPCE SA, (3 mo. LIBOR USD + 0.880%)
2.86%, 5/31/22 (a) | | | 253 | |
300,000 | | BPCE SA 144A, (3 mo. LIBOR USD + 1.220%) 3.12%, 5/22/22 (a)(b) | | | 305 | |
186,000 | | Campbell Soup Co., 3.30%, 3/15/21 | | | 186 | |
450,000 | | Cardinal Health Inc., 2.62%, 6/15/22 | | | 431 | |
185,000 | | Celgene Corp., 2.75%, 2/15/23 | | | 177 | |
200,000 | | Cenovus Energy Inc., 5.70%, 10/15/19 | | | 206 | |
70,000 | | Cheniere Corpus Christi Holdings LLC,
5.88%, 3/31/25 | | | 72 | |
750,000 | | Citigroup Inc., 2.70%, 10/27/22 | | | 723 | |
350,000 | | Citigroup Inc., (3 mo. LIBOR USD + 1.100%) 2.98%, 5/17/24 (a) | | | 356 | |
250,000 | | Citizens Bank NA/Providence RI, 2.20%, 5/26/20 | | | 245 | |
265,000 | | CSC Holdings LLC, 8.63%, 2/15/19 | | | 276 | |
450,000 | | CVS Health Corp., 3.13%, 3/09/20 | | | 450 | |
490,000 | | CVS Health Corp., 3.70%, 3/09/23 | | | 488 | |
400,000 | | Daimler Finance North America LLC 144A,
2.30%, 1/06/20 (b) | | | 395 | |
450,000 | | Delek & Avner Tamar Bond Ltd. 144A,
3.84%, 12/30/18 (b) | | | 451 | |
350,000 | | Dell International LLC/EMC Corp. 144A,
4.42%, 6/15/21 (b) | | | 357 | |
370,000 | | DNB Bank ASA 144A, 2.38%, 6/02/21 (b) | | | 359 | |
250,000 | | Dollar Tree Inc., 3.70%, 5/15/23 | | | 248 | |
420,000 | | Dominion Energy Inc., 2.50%, 12/01/19 | | | 415 | |
158,000 | | eBay Inc., (3 mo. LIBOR USD + 0.870%)
3.23%, 1/30/23 (a) | | | 159 | |
80,000 | | Electronic Arts Inc., 3.70%, 3/01/21 | | | 81 | |
150,000 | | Equinix Inc., 2.88%, 3/15/24 EUR (c) | | | 181 | |
150,000 | | ERAC USA Finance LLC 144A,
2.80%, 11/01/18 (b) | | | 150 | |
110,000 | | First Data Corp. 144A, 5.00%, 1/15/24 (b) | | | 111 | |
250,000 | | First Data Corp. 144A, 5.38%, 8/15/23 (b) | | | 256 | |
250,000 | | FirstEnergy Corp., 2.85%, 7/15/22 | | | 241 | |
200,000 | | Five Corners Funding Trust 144A,
4.42%, 11/15/23 (b) | | | 207 | |
450,000 | | Ford Motor Credit Co. LLC, 2.68%, 1/09/20 | | | 446 | |
200,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 192 | |
450,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.235%) 3.59%, 2/15/23 (a) | | | 450 | |
300,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 0.850%) 3.19%, 4/09/21 (a) | | | 302 | |
340,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.310%) 3.61%, 6/30/22 (a) | | | 347 | |
270,000 | | Goldman Sachs Group Inc., 2.60%, 4/23/20 | | | 268 | |
200,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD + 1.000%) 3.36%, 7/24/23 (a) | | | 202 | |
581,000 | | Goldman Sachs Group Inc./The, 5.75%, 1/24/22 | | | 626 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
300,000 | | HCA Healthcare Inc., 6.25%, 2/15/21 | | $ | 316 | |
300,000 | | Hewlett Packard Enterprise Co., 3.60%, 10/15/20 | | | 302 | |
500,000 | | Humana Inc., 2.50%, 12/15/20 | | | 491 | |
180,000 | | Hyundai Capital America 144A,
2.40%, 10/30/18 (b) | | | 179 | |
340,000 | | International Lease Finance Corp., 4.63%, 4/15/21 | | | 349 | |
130,000 | | International Lease Finance Corp., 5.88%, 4/01/19 | | | 134 | |
280,000 | | Kinder Morgan Inc./DE 144A, 5.00%, 2/15/21 (b) | | | 290 | |
300,000 | | Lloyds Banking Group PLC, (3 mo. LIBOR USD + 0.810%) 2.91%, 11/07/23 (a) | | | 289 | |
315,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.023%) 3.19%, 11/28/23 (a)(b) | | | 302 | |
310,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.350%) 3.64%, 3/27/24 (a)(b) | | | 316 | |
250,000 | | Manufacturers & Traders Trust Co., 2.10%, 2/06/20 | | | 246 | |
410,000 | | Mitsubishi UFJ Financial Group Inc.,
3.00%, 2/22/22 | | | 404 | |
375,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.550%) 2.29%, 2/10/21 (a) | | | 376 | |
100,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.800%) 2.63%, 2/14/20 (a) | | | 100 | |
450,000 | | Morgan Stanley, 2.80%, 6/16/20 | | | 447 | |
350,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.930%) 3.29%, 7/22/22 (a) | | | 354 | |
320,000 | | National Australia Bank Ltd. 144A,
2.40%, 12/09/19 (b) | | | 318 | |
450,000 | | National Savings Bank 144A, 8.88%, 9/18/18 (b) | | | 457 | |
200,000 | | Nordea Bank AB 144A, 2.13%, 5/29/20 (b) | | | 196 | |
300,000 | | Nordea Bank AB 144A, 4.88%, 5/13/21 (b) | | | 310 | |
210,000 | | ONEOK Inc., 4.25%, 2/01/22 | | | 214 | |
105,000 | | Petrobras Global Finance BV, 8.38%, 5/23/21 | | | 119 | |
105,000 | | Sabal Trail Transmission LLC 144A,
4.83%, 5/01/48 (b) | | | 106 | |
250,000 | | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | | | 269 | |
380,000 | | Seagate HDD Cayman, 3.75%, 11/15/18 | | | 381 | |
400,000 | | Sempra Energy, (3 mo. LIBOR USD + 0.500%) 2.85%, 1/15/21 (a) | | | 401 | |
310,000 | | Sinopec Group Overseas Development 2015 Ltd., 2.50%, 4/28/20 (f) | | | 305 | |
320,000 | | Sinopec Group Overseas Development 2017 Ltd. 144A, 2.25%, 9/13/20 (b) | | | 312 | |
340,000 | | Smithfield Foods Inc. 144A, 3.35%, 2/01/22 (b) | | | 330 | |
300,000 | | Southern Co., 2.75%, 6/15/20 | | | 297 | |
100,000 | | Teva Pharmaceutical Finance IV LLC,
2.25%, 3/18/20 | | | 96 | |
200,000 | | Teva Pharmaceutical Finance Netherlands II BV 144A, 4.50%, 3/01/25 EUR (b)(c) | | | 246 | |
100,000 | | Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 7/19/19 | | | 97 | |
340,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 307 | |
150,000 | | Time Warner Inc., 2.10%, 6/01/19 | | | 149 | |
300,000 | | T-Mobile USA Inc., 6.50%, 1/15/24 | | | 315 | |
Semi-Annual Report 51
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
450,000 | | UBS Group Funding Switzerland AG 144A, (3 mo. LIBOR USD + 0.950%) 2.79%, 8/15/23 (a)(b) | | $ | 454 | |
90,000 | | Universal Health Services Inc. 144A,
4.75%, 8/01/22 (b) | | | 91 | |
390,000 | | Verizon Communications Inc., 3.13%, 3/16/22 | | | 386 | |
250,000 | | Wells Fargo & Co., 2.63%, 7/22/22 | | | 241 | |
380,000 | | Wells Fargo & Co., 3.07%, 1/24/23 | | | 370 | |
Total Corporate Bond (Cost - $27,867) | | | 27,550 | |
| |
Exchange Traded Fund (2%) | | | | |
107,200 | | PowerShares Senior Loan Portfolio
(Cost - $2,495) | | | 2,477 | |
| |
Foreign Government (13%) | | | | |
660,000 | | Argentine Republic Government International Bond, 3.88%, 1/15/22 EUR (c) | | | 816 | |
400,000 | | Argentine Republic Government International Bond, 4.63%, 1/11/23 | | | 383 | |
250,000 | | Banco Nacional de Desenvolvimento Economico e Social 144A, 4.75%, 5/09/24 (b) | | | 247 | |
310,000 | | Croatia Government International Bond 144A, 6.75%, 11/05/19 (b) | | | 326 | |
270,000 | | Croatia Government International Bond,
6.75%, 11/05/19 (f) | | | 284 | |
550,000 | | Dominican Republic International Bond 144A, 7.50%, 5/06/21 (b) | | | 582 | |
300,000 | | Dominican Republic International Bond,
7.50%, 5/06/21 (f) | | | 318 | |
300,000 | | Egypt Government International Bond 144A, 5.58%, 2/21/23 (b) | | | 302 | |
400,000 | | Georgia Government International Bond,
6.88%, 4/12/21 (f) | | | 431 | |
270,000 | | Ghana Government International Bond 144A, 9.25%, 9/15/22 (b) | | | 308 | |
300,000 | | Guatemala Government Bond 144A,
5.75%, 6/06/22 (b) | | | 318 | |
280,000 | | Guatemala Government Bond, 5.75%, 6/06/22 (f) | | | 297 | |
300,000 | | Honduras Government International Bond 144A, 8.75%, 12/16/20 (b) | | | 329 | |
250,000 | | Honduras Government International Bond,
8.75%, 12/16/20 (f) | | | 274 | |
760,000 | | Hungary Government International Bond,
6.25%, 1/29/20 | | | 799 | |
230,000,000 | | Japan Treasury Discount Bill,
0.00%, 6/04/18 JPY (c)(g) | | | 2,104 | |
110,000,000 | | Japan Treasury Discount Bill,
0.00%, 6/11/18 JPY (c)(g) | | | 1,006 | |
110,000,000 | | Japan Treasury Discount Bill,
0.00%, 6/18/18 JPY (c)(g) | | | 1,006 | |
400,000 | | Kenya Government International Bond 144A, 5.88%, 6/24/19 (b) | | | 407 | |
200,000 | | Kenya Government International Bond,
5.88%, 6/24/19 (f) | | | 203 | |
390,000 | | Nigeria Government International Bond,
5.13%, 7/12/18 (f) | | | 391 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
220,000 | | Nigeria Government International Bond,
6.75%, 1/28/21 (f) | | $ | 232 | |
200,000 | | Republic of Armenia International Bond 144A, 6.00%, 9/30/20 (b) | | | 205 | |
580,000 | | Republic of South Africa Government International Bond, 5.50%, 3/09/20 | | | 601 | |
290,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 324 | |
250,000 | | Senegal Government International Bond,
8.75%, 5/13/21 (f) | | | 279 | |
300,000 | | Serbia International Bond, 4.88%, 2/25/20 (f) | | | 306 | |
500,000 | | Serbia International Bond 144A, 5.88%, 12/03/18 (b) | | | 507 | |
350,000 | | Sri Lanka Government International Bond 144A, 5.75%, 4/18/23 (b) | | | 348 | |
300,000 | | Sri Lanka Government International Bond 144A, 6.25%, 10/04/20 (b) | | | 310 | |
200,000 | | Sri Lanka Government International Bond 144A, 6.25%, 7/27/21 (b) | | | 206 | |
590,000 | | Turkey Government International Bond,
5.63%, 3/30/21 | | | 609 | |
500,000 | | Ukraine Government International Bond,
7.75%, 9/01/19 (f) | | | 518 | |
300,000 | | Vietnam Government International Bond 144A, 6.75%, 1/29/20 (b) | | | 316 | |
280,000 | | Vietnam Government International Bond,
6.75%, 1/29/20 (f) | | | 295 | |
Total Foreign Government (Cost - $16,300) | | | 16,187 | |
| |
Mortgage Backed (31%) | | | | |
695,627 | | Alternative Loan Trust 2005-56, (1 mo. LIBOR USD + 0.730%) 2.63%, 11/25/35 (a) | | | 689 | |
342,503 | | Alternative Loan Trust 2006-2CB, 6.00%, 3/25/36 | | | 282 | |
221,504 | | Alternative Loan Trust 2006-45T1, 6.00%, 2/25/37 | | | 166 | |
541,919 | | Alternative Loan Trust 2006-HY11, (1 mo. LIBOR USD + 0.120%) 2.02%, 6/25/36 (a) | | | 508 | |
863,527 | | Alternative Loan Trust 2007-12T1, 6.00%, 6/25/37 | | | 696 | |
994,844 | | Alternative Loan Trust 2007-15CB, 5.75%, 7/25/37 | | | 892 | |
627,293 | | Alternative Loan Trust 2007-6, 5.75%, 4/25/47 | | | 552 | |
209,111 | | American Home Mortgage Investment Trust 2006-3, (6 mo. LIBOR USD + 1.750%) 4.20%, 12/25/36 (a) | | | 181 | |
177,045 | | Banc of America Funding 2005-H Trust,
3.53%, 11/20/35 (d) | | | 158 | |
212,608 | | Bear Stearns ALT-A Trust 2006-6,
3.57%, 11/25/36 (d) | | | 199 | |
146,822 | | Bear Stearns ARM Trust 2007-3, 3.79%, 5/25/47 (d) | | | 142 | |
500,000 | | Caesars Palace Las Vegas Trust 2017-VICI 144A, 3.83%, 10/15/34 (b) | | | 504 | |
222,673 | | CHL Mortgage Pass-Through Trust 2004-29,
2.54%, 2/25/35 (d) | | | 188 | |
52 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
158,093 | | CHL Mortgage Pass-Through Trust 2006-HYB1, 3.38%, 3/20/36 (d) | | $ | 138 | |
253,828 | | CHL Mortgage Pass-Through Trust 2007-HYB2, 3.46%, 2/25/47 (d) | | | 230 | |
247,196 | | CSMC Trust 2013-IVR2 144A,
1.55%, 4/25/43 (b)(d) | | | 238 | |
144,809 | | CSMC Trust 2013-IVR3 144A,
1.55%, 5/25/43 (b)(d) | | | 140 | |
437,247 | | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB1, 5.60%, 2/25/36 (d) | | | 425 | |
248,015 | | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4, 6.00%, 10/25/36 (d) | | | 236 | |
124,156 | | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4, 6.00%, 10/25/36 | | | 118 | |
294,348 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.600%) 2.50%, 7/25/30 (a) | | | 294 | |
365,883 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.650%) 2.55%, 8/25/30 (a) | | | 366 | |
276,914 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.850%) 2.75%, 11/25/29 (a) | | | 278 | |
674,149 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 1.150%) 3.05%, 9/25/29 (a) | | | 678 | |
679,113 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 1.300%) 3.20%, 4/25/29 (a) | | | 685 | |
371,049 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 1.300%) 3.20%, 7/25/29 (a) | | | 374 | |
350,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%) 4.10%, 8/25/30 (a) | | | 355 | |
610,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.250%) 4.15%, 7/25/30 (a) | | | 625 | |
298,023 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.000%) 5.90%, 5/25/25 (a) | | | 327 | |
350,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.250%) 6.15%, 1/25/29 (a) | | | 399 | |
268,276 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.550%) 6.45%, 2/25/25 (a) | | | 292 | |
201,798 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 5.000%) 6.90%, 7/25/25 (a) | | | 230 | |
122,456 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 5.000%) 6.90%, 7/25/25 (a) | | | 137 | |
400,327 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 5.700%) 7.60%, 4/25/28 (a) | | | 466 | |
400,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 6.000%) 7.90%, 9/25/28 (a) | | | 479 | |
249,468 | | First Horizon Alternative Mortgage Securities Trust 2006-AA5, 3.46%, 9/25/36 (d) | | | 232 | |
174,512 | | First Horizon Alternative Mortgage Securities Trust 2006-FA2, 6.00%, 5/25/36 | | | 138 | |
707,532 | | Flagstar Mortgage Trust 2018-1 144A, 3.50%, 3/25/48 (b)(d) | | | 701 | |
546,173 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.700%) 2.60%, 9/25/30 (a) | | | 547 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
337,351 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 0.750%) 2.65%, 3/25/30 (a) | | $ | 338 | |
501,896 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%) 3.10%, 7/25/29 (a) | | | 507 | |
318,772 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%) 3.10%, 8/25/29 (a) | | | 321 | |
1,571,141 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%) 3.10%, 10/25/29 (a) | | | 1,589 | |
445,365 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.650%) 3.55%, 4/25/24 (a) | | | 452 | |
460,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.800%) 3.70%, 7/25/30 (a) | | | 458 | |
600,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.300%) 4.20%, 9/25/30 (a) | | | 610 | |
400,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.350%) 4.25%, 4/25/30 (a) | | | 410 | |
350,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.500%) 4.40%, 3/25/30 (a) | | | 363 | |
600,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%) 6.50%, 12/25/42 (a) | | | 637 | |
431,659 | | FREMF 2017-KF32 Mortgage Trust 144A, (1 mo. LIBOR USD + 2.550%) 4.43%, 5/25/24 (a)(b) | | | 438 | |
337,377 | | GreenPoint MTA Trust 2005-AR1, (1 mo. LIBOR USD + 0.440%) 2.34%, 6/25/45 (a) | | | 324 | |
193,188 | | GSMPS Mortgage Loan Trust 2005-RP2 144A, (1 mo. LIBOR USD + 0.350%) 2.25%, 3/25/35 (a)(b) | | | 182 | |
265,523 | | GSMPS Mortgage Loan Trust 2005-RP3 144A, (1 mo. LIBOR USD + 0.350%) 2.25%, 9/25/35 (a)(b) | | | 240 | |
106,699 | | HomeBanc Mortgage Trust 2004-1, (1 mo. LIBOR USD + 0.860%) 2.76%, 8/25/29 (a) | | | 103 | |
2,219,329 | | IndyMac INDX Mortgage Loan Trust 2006-AR35, (1 mo. LIBOR USD + 0.180%) 2.08%, 1/25/37 (a) | | | 2,093 | |
190,379 | | JP Morgan Mortgage Trust 2006-A3,
3.83%, 5/25/36 (d) | | | 190 | |
167,336 | | JP Morgan Mortgage Trust 2006-A3,
3.83%, 5/25/36 (d) | | | 167 | |
112,894 | | JP Morgan Mortgage Trust 2014-IVR3 144A, 3.00%, 9/25/44 (b)(d) | | | 113 | |
1,210,496 | | JP Morgan Mortgage Trust 2017-5 144A, 3.18%, 10/26/48 (b)(d) | | | 1,201 | |
Semi-Annual Report 53
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
946,986 | | JP Morgan Mortgage Trust 2017-6 144A, 3.50%, 12/25/48 (b)(d) | | $ | 939 | |
418,227 | | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2, (1 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 2.400%) 4.49%, 8/25/36 (a) | | | 411 | |
436,012 | | New Residential Mortgage Loan Trust 2014-2 144A, 3.75%, 5/25/54 (b)(d) | | | 438 | |
150,618 | | New Residential Mortgage Loan Trust 2014-3 144A, 5.65%, 11/25/54 (b)(d) | | | 158 | |
62,228 | | New Residential Mortgage Loan Trust 2015-1 144A, 3.75%, 5/28/52 (b)(d) | | | 63 | |
169,984 | | New Residential Mortgage Loan Trust 2015-2 144A, 3.75%, 8/25/55 (b)(d) | | | 171 | |
224,237 | | New Residential Mortgage Loan Trust 2016-1 144A, 3.75%, 3/25/56 (b)(d) | | | 225 | |
507,720 | | New Residential Mortgage Loan Trust 2016-4 144A, 3.75%, 11/25/56 (b)(d) | | | 510 | |
487,641 | | New Residential Mortgage Loan Trust 2017-3 144A, 4.00%, 4/25/57 (b)(d) | | | 493 | |
348,049 | | New Residential Mortgage Loan Trust 2017-4 144A, 4.00%, 5/25/57 (b)(d) | | | 353 | |
611,657 | | New Residential Mortgage Loan Trust 2017-5 144A, (1 mo. LIBOR USD + 1.500%) 3.40%, 6/25/57 (a)(b) | | | 632 | |
70,923 | | Provident Funding Mortgage Loan Trust 2005-2, 3.66%, 10/25/35 (d) | | | 71 | |
248,022 | | RALI Series 2005-QS14 Trust, 6.00%, 9/25/35 | | | 239 | |
2,461,312 | | Residential Asset Securitization Trust 2006-A4IP, 6.63%, 5/25/36 (d) | | | 1,821 | |
586,249 | | Ripon Mortgages PLC 144A, (3 mo. LIBOR GBP + 0.800%) 1.35%, 8/20/56 GBP (a)(b)(c) | | | 813 | |
66,742 | | Sequoia Mortgage Trust 10, (1 mo. LIBOR USD + 0.800%) 2.70%, 10/20/27 (a) | | | 65 | |
424,865 | | Sequoia Mortgage Trust 2007-1,
3.47%, 2/20/47 (d) | | | 381 | |
467,567 | | Sequoia Mortgage Trust 2017-CH1 144A, 3.50%, 8/25/47 (b)(d) | | | 465 | |
523,229 | | Sequoia Mortgage Trust 2018-CH1 144A, 4.00%, 2/25/48 (b)(d) | | | 530 | |
1,142,946 | | Structured Asset Mortgage Investments II Trust 2006-AR7, (1 mo. LIBOR USD + 0.210%) 2.11%, 8/25/36 (a) | | | 1,044 | |
542,835 | | WaMu Mortgage Pass-Through Certificates, (1 mo. LIBOR USD + 0.280%) 2.18%, 11/25/45 (a) | | | 513 | |
67,079 | | WaMu Mortgage Pass-Through Certificates, (1 mo. LIBOR USD + 0.290%) 2.19%, 10/25/45 (a) | | | 67 | |
133,369 | | WaMu Mortgage Pass-Through Certificates, (1 mo. LIBOR USD + 0.290%) 2.19%, 12/25/45 (a) | | | 131 | |
475,183 | | WaMu Mortgage Pass-Through Certificates, (1 mo. LIBOR USD + 0.610%) 2.51%, 8/25/45 (a) | | | 433 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
92,521 | | WaMu Mortgage Pass-Through Certificates, 2.95%, 6/25/37 (d) | | $ | 90 | |
842,308 | | WaMu Mortgage Pass-Through Certificates, 3.31%, 7/25/37 (d) | | | 780 | |
181,408 | | WaMu Mortgage Pass-Through Certificates, 3.31%, 8/25/46 (d) | | | 172 | |
82,408 | | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust, 3.30%, 9/25/36 (d) | | | 80 | |
168,057 | | WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust, (Cost of Funds for the 11th District of San Francisco + 1.250%)
2.07%, 1/25/47 (a) | | | 163 | |
738,017 | | WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust, 3.41%, 2/25/37 (d) | | | 724 | |
357,311 | | Wells Fargo Alternative Loan 2007-PA2 Trust, 6.00%, 6/25/37 | | | 362 | |
Total Mortgage Backed (Cost - $37,394) | | | 38,358 | |
| |
Municipal (0%) | | | | |
250,000 | | State of California, 4.60%, 4/01/38
(Cost - $263) | | | 262 | |
| |
U.S. Treasury (1%) | | | | |
600,000 | | U.S. Treasury Note, 1.25%, 8/31/19 (h)(i) | | | 591 | |
1,000,000 | | U.S. Treasury Note, 2.38%, 4/30/20 | | | 998 | |
Total U.S. Treasury (Cost - $1,592) | | | 1,589 | |
| |
Investment Company (1%) | | | | |
1,015,669 | | Payden Cash Reserves Money Market Fund *
(Cost - $1,016) | | | 1,016 | |
| |
Purchase Options (0%) | | | | |
Total Purchased Options (Cost - $24) | | | 14 | |
| |
Purchased Call Swaptions (0%) | | | | |
Total Purchased Call Swaptions (Cost - $46) | | | 19 | |
| |
Total Investments, Before Options Written (Cost - $125,250) (102%) | | | 125,888 | |
| |
Written Swaptions (0%) | | | | |
Total Written Call Swaptions (Cost - $(46)) | | | (23 | ) |
| |
Total Investments (Cost - $125,204) (102%) | | | 125,865 | |
Liabilities in excess of Other Assets (-2%) | | | (2,247 | ) |
| |
Net Assets (100%) | | $ | 123,618 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (b) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | Principal in foreign currency. |
| (d) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
| (e) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (f) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (g) | Yield to maturity at time of purchase. |
| (h) | All or a portion of the security is pledged to cover futures contract margin requirements. |
| (i) | All or a portion of security has been pledged as collateral in connection with outstanding OTC derivatives. |
54 Payden Mutual Funds
Purchased Options
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Notional | | | | | | | | |
| | | | | Number of | | Amount | | Exercise | | Maturity | | Value | | |
| Description | | | | Contracts | | (000s) | | Price | | Date | | (000s) | | Call/Put |
Exchange Traded Options Purchase — 0.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S & P 500 Index | | | | | | | | | 55 | | | | $ | 14,564 | | | | | 2260.00 | | | | | 05/11/2018 | | | | $ | 2 | | | | | Put | |
S & P 500 Index | | | | | | | | | 73 | | | | | 19,331 | | | | | 2260.00 | | | | | 05/31/2018 | | | | | 12 | | | | | Put | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchase Options | | | | | | | | | | | | | $ | 33,895 | | | | | | | | | | | | | | $ | 14 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Purchased Swaptions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | Notional | | | | | | |
| | | | | | | | | Amount | | Expiration | | Value | | |
| Description | | Counterparty | | | | | | (000s) | | date | | (000s) | | Call/Put |
Purchased Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7385% | | | | BNP PARIBAS | | | | | | | | | | | | | | | $15,900 | | | | | 09/24/2018 | | | | $ | 19 | | | | | Call | |
Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Written Swaptions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Notional | | | | | | |
| | | | | | | | | Amount | | Expiration | | Value | | |
| Description | | Counterparty | | | | | | (000s) | | date | | (000s) | | Call/Put |
Written Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7825% | | | | BNP PARIBAS | | | | | | | | | | | | | | | $6,600 | | | | | 09/24/2018 | | | | $ | (23 | ) | | | | Call | |
Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Unrealized |
| Currency | | | | Currency | | | | | | Appreciation |
| Purchased | | | | sold | | | | Settlement | | (Depreciation) |
| (000s) | | | | (000) | | Counterparty | | Date | | (000s) |
Assets: | | | | | | | | | | | | | | | | | | | |
CAD 1,191 | | | | USD 925 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | $ | 4 | |
COP 879,000 | | | | USD 309 | | | | State Street Bank & Trust Co. | | | | | 05/11/2018 | | | | | 3 | |
USD 7,383 | | | | JPY 785,200 | | | | Barclays Bank PLC | | | | | 05/08/2018 | | | | | 197 | |
USD 3,749 | | | | EUR 3,045 | | | | Citibank, N.A. | | | | | 05/08/2018 | | | | | 70 | |
USD 247 | | | | EUR 200 | | | | Citibank, N.A. | | | | | 05/08/2018 | | | | | 6 | |
USD 948 | | | | CAD 1,191 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | 19 | |
USD 922 | | | | NZD 1,279 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | 22 | |
USD 1,112 | | | | GBP 786 | | | | HSBC Bank USA, N.A. | | | | | 05/08/2018 | | | | | 30 | |
USD 926 | | | | NOK 7,251 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | 22 | |
USD 1,414 | | | | EUR 1,149 | | | | HSBC Bank USA, N.A. | | | | | 07/27/2018 | | | | | 17 | |
USD 316 | | | | COP 879,000 | | | | State Street Bank & Trust Co. | | | | | 05/11/2018 | | | | | 3 | |
USD 293 | | | | BRL 1,019 | | | | State Street Bank & Trust Co. | | | | | 05/16/2018 | | | | | 2 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | 395 | |
| | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 55
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Unrealized |
| Currency | | | | Currency | | | | | | Appreciation |
| Purchased | | | | sold | | | | Settlement | | (Depreciation) |
| (000s) | | | | (000) | | Counterparty | | Date | | (000s) |
Liabilities: | | | | | | | | | | | | | | | | | | | |
BRL 1,019 | | | | USD 307 | | | | State Street Bank & Trust Co. | | | | | 05/16/2018 | | | | | (16 | ) |
CAD 1,171 | | | | USD 926 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (14 | ) |
EUR 201 | | | | USD 249 | | | | Citibank, N.A. | | | | | 05/08/2018 | | | | | (6 | ) |
IDR 17,170,000 | | | | USD 1,239 | | | | Barclays Bank PLC | | | | | 07/24/2018 | | | | | (16 | ) |
JPY 335,000 | | | | USD 3,126 | | | | Barclays Bank PLC | | | | | 05/08/2018 | | | | | (60 | ) |
JPY 295,900 | | | | USD 2,801 | | | | State Street Bank & Trust Co. | | | | | 06/14/2018 | | | | | (86 | ) |
MYR 2,438 | | | | USD 630 | | | | Barclays Bank PLC | | | | | 05/30/2018 | | | | | (9 | ) |
NOK 7,251 | | | | USD 935 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (30 | ) |
NOK 11,100 | | | | USD 1,410 | | | | HSBC Bank USA, N.A. | | | | | 07/27/2018 | | | | | (22 | ) |
NZD 1,279 | | | | USD 936 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | (36 | ) |
USD 912 | | | | CAD 1,171 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (1 | ) |
ZAR 3,720 | | | | USD 307 | | | | HSBC Bank USA, N.A. | | | | | 05/11/2018 | | | | | (9 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | (305 | ) |
| | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | $ | 90 | |
| | | | | | | | | | | | | | | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | Unrealized |
| | | | | | | | | Notional | | Current | | Appreciation |
| | | Number of | | | | Expiration | | Amount | | Value | | (Depreciation) |
| Contract Type | | Contracts | | | | Date | | (000s) | | (000s) | | (000s) |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2 Year Note Future | | 34 | | | | | | Jun-18 | | | | $ | 7,210 | | | | $ | (15 | ) | | | $ | (15 | ) |
U.S. Treasury 5 Year Note Future | | 40 | | | | | | Jun-18 | | | | | 4,540 | | | | | (16 | ) | | | | (16 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 10 Year Note Future | | 8 | | | | | | Jun-18 | | | | | (957 | ) | | | | 9 | | | | | 9 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | 9 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | $ | (22 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Credit Default Swap Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Notional | | | | Upfront payments/ | | Unrealized |
| | | Maturity | | Amount | | Value | | receipts | | Appreciation |
| Description | | Date | | (000’s) | | (000s) | | (000s) | | (000s) |
Protection Bought (Relevant Credit: Markit CDX, North America | | | | 06/20/2023 | | | | $ | 4,100 | | | | $ | 284 | | | | $ | 253 | | | | $ | 31 | |
High Yield Series 30 Index), Pay 5% Quarterly, Receive upon credit default | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
56 Payden Mutual Funds
| | | | | | | | | | |
The Fund seeks high current income and capital appreciation by generally investing 80% of its assets in income producing senior floating rate loans and other floating rate debt instruments. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Bank Loans | | | 76% | | |
| | Corporate | | | 13% | | |
| | Investment Company | | | 6% | | |
| | Mortgage Backed | | | 4% | | |
| | Asset Backed | | | 1% | | |
| | | | | | | |
| | | | | | | | | | | |
| | | | | | |
| Schedule of Investments - April 30, 2018 (Unaudited) | |
Principal or Shares | | Security Description | | Value (000) | |
Asset Backed (1%) | | | | |
1,500,000 | | Madison Park Funding XIII Ltd. 144A, (3 mo. LIBOR USD + 2.850%)5.21%, 4/19/30 (a)(b)
(Cost - $1,500) | | $ | 1,500 | |
Bank Loans(c) (77%) | | | | |
Communications (5%) | | | | |
1,995,000 | | CenturyLink Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 1/31/25 | | | 1,968 | |
997,500 | | Charter Communications Operating LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.91%, 4/30/25 | | | 1,003 | |
2,189,001 | | Digicel International Finance Term Loan B 1L, (LIBOR USD 3-Month + 3.250%) 5.61%, 5/10/24 | | | 2,191 | |
2,358,978 | | Zayo Group LLC Term Loan B2 1L, (LIBOR USD 1-Month + 2.250%) 4.15%, 1/19/24 | | | 2,378 | |
| | | | | 7,540 | |
Consumer Cyclical (31%) | | | | |
1,988,753 | | Air Canada Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.98%, 10/06/23 | | | 2,002 | |
1,995,000 | | Aramark Services Inc. Term Loan B1 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 3/11/25 | | | 2,011 | |
1,955,000 | | Axalta Coating Systems U.S. Holdings Inc. Term Loan B3 1L, (LIBOR USD 1-Month + 1.750%) 4.10%, 6/01/24 | | | 1,965 | |
1,922,467 | | Burger King Term Loan B 1L, (LIBOR USD 1-Month + 2.250%) 4.15%, 2/17/24 | | | 1,930 | |
2,576,510 | | BWAY Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%) 5.27%, 4/03/24 | | | 2,595 | |
1,995,000 | | Caesars Resort Collection LLC Term Loan 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 12/22/24 | | | 2,014 | |
1,350,000 | | California Resources Corp. Term Loan 1L, (LIBOR USD 1-Month + 4.750%) 6.65%, 12/31/22 | | | 1,384 | |
1,990,000 | | Core & Main LP Term Loan B 1L, (LIBOR USD 1-Month + 3.000%) 5.12%, 8/01/24 | | | 2,005 | |
1,500,000 | | Crown Americas LLC Term B Loan 1L, (LIBOR USD 1-Month + 2.000%) 4.31%, 4/03/25 | | | 1,515 | |
2,142,649 | | Eldorado Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%) 4.13%, 4/17/24 | | | 2,160 | |
1,985,000 | | Frontier Communications Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.750%) 5.66%, 6/15/24 | | | 1,965 | |
2,077,903 | | GOBP Holdings Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%) 5.80%, 10/21/21 | | | 2,092 | |
1,993,222 | | J.C. Penney Corp., Inc. Term Loan B 1L, (LIBOR USD 1-Month + 4.250%) 6.23%, 6/23/23 | | | 1,949 | |
| | | | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
| | | | | | |
1,985,050 | | KFC Holding Co. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%) 3.64%, 3/29/25 | | $ | 2,000 | |
1,622,150 | | La Quinta Intermediate Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.000%) 5.35%, 4/14/21 | | | 1,627 | |
1,680,148 | | Leslie’s Poolmart Inc. Term Loan B 2L, (LIBOR USD 1-Month + 3.500%) 5.40%, 8/16/23 | | | 1,700 | |
1,798,654 | | Live Nation Entertainment Inc. Term Loan B3 1L, (LIBOR USD 1-Month + 1.750%) 3.69%, 10/27/23 | | | 1,813 | |
1,576,206 | | Michaels Stores Inc. Term Loan B1 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 1/28/23 | | | 1,587 | |
895,125 | | NPC International Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%) 5.38%, 4/20/24 | | | 907 | |
1,496,203 | | Party City Holdings Inc. Term Loan, (LIBOR USD 1-Month + 2.750%) 4.75%, 8/19/22 | | | 1,507 | |
2,275,679 | | Reynolds Group Holdings Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 2/05/23 | | | 2,293 | |
1,246,875 | | Scientific Games International Inc. Term Loan B5 1L, (LIBOR USD 1-Month + 2.750%) 4.74%, 8/14/24 | | | 1,256 | |
560,000 | | Tacala Investment Corp. Term Loan 2L, (LIBOR USD 1-Month + 7.000%) 8.88%, 2/01/26 | | | 571 | |
1,700,000 | | Tacala Investment Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%) 5.13%, 2/01/25 | | | 1,718 | |
2,456,250 | | US. Foods Inc. Term Loan 1L, (LIBOR USD 1-Month + 2.500%) 4.40%, 6/27/23 | | | 2,482 | |
718,968 | | Valeant Pharmaceuticals International Inc. Term Loan BF4 1L, (LIBOR USD 1-Month + 3.500%) 5.39%, 4/01/22 | | | 728 | |
1,166,667 | | Visteon Corp. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.83%, 3/24/24 | | | 1,176 | |
997,500 | | Wink Holdco Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.000%) 4.90%, 12/01/24 | | | 996 | |
| | | | | 47,948 | |
Consumer Non-Cyclical (18%) | | | | |
1,036,260 | | B&G Foods Inc. Term Loan B3 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 11/02/22 | | | 1,044 | |
2,000,000 | | Beacon Roofing Supply Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.250%) 4.13%, 1/02/25 | | | 2,014 | |
1,906,111 | | Berry Global Inc. Term Loan P 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 1/06/21 | | | 1,921 | |
Semi-Annual Report 57
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
1,492,500 | | Burlington Coat Factory Warehouse Corp. Term Loan B5 1L, (LIBOR USD 1-Month + 2.500%) 4.38%, 11/17/24 | | $ | 1,502 | |
1,856,250 | | Change Healthcare Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 3/01/24 | | | 1,866 | |
575,478 | | CHS/Community Health Systems Inc. Term Loan H 1L, (LIBOR USD 1-Month + 3.250%) 5.23%, 1/27/21 | | | 560 | |
937,264 | | DaVita Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.63%, 6/24/21 | | | 947 | |
496,250 | | Endo International Term Loan B 1L, (LIBOR USD 1-Month + 4.250%) 6.19%, 4/27/24 | | | 494 | |
2,012,890 | | Harbor Freight Tools USA Inc. Term Loan 1L, (LIBOR USD 1-Month + 2.500%) 4.38%, 8/16/23 | | | 2,024 | |
550,000 | | HUB International Ltd. Term Loan B 1L, (LIBOR USD 1-Month + 3.000%) 5.36%, 4/25/25 | | | 554 | |
286,432 | | MEG Energy Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%) 5.81%, 12/31/23 | | | 288 | |
841,499 | | MPH Acquisition Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 5.05%, 6/07/23 | | | 847 | |
2,456,500 | | Nexeo Solutions LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.250%) 5.61%, 6/09/23 | | | 2,483 | |
1,405,383 | | Ortho-Clinical Diagnostics Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.750%) 5.63%, 6/30/21 | | | 1,416 | |
1,985,000 | | Post Holdings Inc. Term Loan A 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 5/24/24 | | | 1,996 | |
2,100,000 | | Sinclair Television Group Inc. Term Loan B 1L, (LIBOR USD 3-Month + 2.500%) 2.50%, 12/12/24 | | | 2,113 | |
2,038,883 | | Sotera Health Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 3.000%) 4.88%, 5/15/22 | | | 2,052 | |
729,043 | | VFH Parent LLC Term Loan B1 1L, (LIBOR USD 1-Month + 3.250%) 5.56%, 12/30/21 | | | 740 | |
1,631,842 | | Western Digital Corp. Term Loan B3 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 4/29/23 | | | 1,645 | |
1,000,000 | | Wyndham Hotels & Resorts Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%) 1.75%, 3/29/25 | | | 1,009 | |
| | | | | 27,515 | |
| |
Energy (2%) | | | | |
1,830,563 | | Albertson’s LLC Term Loan B4 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 8/25/21 | | | 1,816 | |
988,000 | | Talen Energy Supply LLC Term Loan B2 1L, (LIBOR USD 1-Month + 4.000%) 5.90%, 4/13/24 | | | 981 | |
| | | | | 2,797 | |
| |
Financial Services (11%) | | | | |
500,000 | | Asurion LLC Term Loan B2 2L, (LIBOR USD 1-Month + 6.000%) 7.90%, 8/04/25 | | | 515 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
855,141 | | Asurion LLC Term Loan B4 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 8/04/22 | | $ | 862 | |
1,091,750 | | Everi Payments Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.500%) 5.49%, 5/09/24 | | | 1,101 | |
995,591 | | FinCo I LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 12/27/22 | | | 1,008 | |
1,979,852 | | Golden Nugget Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 10/04/23 | | | 1,998 | |
1,421,577 | | Hilton Worldwide Finance LLC Term Loan B2 1L, (LIBOR USD 1-Month + 1.750%) 3.65%, 10/25/23 | | | 1,435 | |
2,493,750 | | Ineos U.S. Finance LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 3/31/24 | | | 2,505 | |
1,500,000 | | Iron Mountain Inc. Term Loan B 1L, (LIBOR USD 1-Month + 1.750%) 3.65%, 1/02/26 | | | 1,496 | |
900,000 | | K-Mac Holdings Corp. Term Loan B 1L, (LIBOR USD 1-Month + 3.250%) 5.15%, 3/16/25 | | | 908 | |
350,000 | | K-Mac Holdings Corp. Term Loan B 2L, (LIBOR USD 1-Month + 6.750%) 8.65%, 3/16/26 | | | 355 | |
2,075,828 | | MGM Growth Properties Operating Partnership LP Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 3/25/25 | | | 2,090 | |
1,545,455 | | Romulus Merger Sub LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 2/14/25 | | | 1,531 | |
1,825,000 | | Sable International Finance Term Loan B4 L1, (LIBOR USD 1-Month + 3.250%) 5.13%, 2/02/26 | | | 1,839 | |
| | | | | 17,643 | |
| |
Technology (10%) | | | | |
1,940,883 | | CDW LLC/CDW Finance Corp. Term loan B 1L, (LIBOR USD 1-Month + 1.750%) 4.06%, 8/17/23 | | | 1,955 | |
1,995,000 | | Churchill Downs Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.91%, 12/27/24 | | | 2,006 | |
1,500,000 | | CSC Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.500%) 4.40%, 1/25/26 | | | 1,503 | |
1,718,018 | | Dell International LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.000%) 3.91%, 9/07/23 | | | 1,725 | |
1,916,720 | | Infor U.S. Inc. Term Loan B6 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 2/01/22 | | | 1,928 | |
1,584,030 | | Rackspace Hosting Inc. Term Loan B 1L, (LIBOR USD 1-Month + 3.000%) 4.79%, 11/03/23 | | | 1,582 | |
1,481,250 | | RP Crown Parent LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 10/12/23 | | | 1,494 | |
1,491,609 | | Vantiv LLC Term Loan B3 1L, (LIBOR USD 1-Month + 2.000%) 3.90%, 10/14/23 | | | 1,503 | |
1,350,000 | | WMG Acquisition Corp. Term Loan E 1L, (LIBOR USD 1-Month + 2.250%) 4.15%, 11/01/23 | | | 1,358 | |
| | | | | 15,054 | |
Total Bank Loans (Cost - $117,721) | | | 118,497 | |
| |
Corporate Bond (14%) | | | | |
1,000,000 | | Ally Financial Inc., 3.25%, 11/05/18 | | | 1,001 | |
58 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
1,071,429 | | American Airlines 2013-2 Class B Pass-Through Trust 144A, 5.60%, 7/15/20 (b) | | $ | 1,092 | |
1,000,000 | | Assurant Inc., (3 mo. LIBOR USD + 1.250%)3.54%, 3/26/21 (a) | | | 1,005 | |
1,000,000 | | Australia & New Zealand Banking Group Ltd. 144A, 5.10%, 1/13/20 (b) | | | 1,034 | |
800,000 | | Cenovus Energy Inc., 5.70%, 10/15/19 | | | 825 | |
1,000,000 | | Citigroup Inc., 2.40%, 2/18/20 | | | 990 | |
1,000,000 | | Compass Bank, 2.75%, 9/29/19 | | | 995 | |
1,000,000 | | CSC Holdings LLC, 6.75%, 11/15/21 | | | 1,055 | |
800,000 | | DISH DBS Corp., 6.75%, 6/01/21 | | | 798 | |
1,000,000 | | HCA Healthcare Inc., 6.25%, 2/15/21 | | | 1,054 | |
1,000,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 2/01/22 | | | 1,022 | |
1,000,000 | | ING Bank NV 144A, 2.50%, 10/01/19 (b) | | | 992 | |
1,000,000 | | Navient Corp., 5.00%, 10/26/20 | | | 1,008 | |
1,000,000 | | Realogy Group LLC/Realogy Co.-Issuer Corp. 144A, 5.25%, 12/01/21 (b) | | | 1,014 | |
1,000,000 | | SBA Communications Corp., 4.88%, 7/15/22 | | | 1,005 | |
925,000 | | Shire Acquisitions Investments Ireland DAC, 1.90%, 9/23/19 | | | 909 | |
900,000 | | Sirius XM Radio Inc. 144A, 3.88%, 8/01/22 (b) | | | 878 | |
1,000,000 | | Springleaf Finance Corp., 6.00%, 6/01/20 | | | 1,042 | |
1,000,000 | | Sprint Corp., 7.25%, 9/15/21 | | | 1,064 | |
1,000,000 | | Tenet Healthcare Corp., 8.13%, 4/01/22 | | | 1,045 | |
1,000,000 | | Teva Pharmaceutical Finance IV LLC, 2.25%, 3/18/20 | | | 955 | |
Total Corporate Bond (Cost - $20,955) | | | 20,783 | |
| |
Mortgage Backed (4%) | | | | |
819,935 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 11.750%)
13.65%, 10/25/28 (a) | | | 1,196 | |
799,290 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 12.250%)14.15%, 9/25/28 (a) | | | 1,195 | |
675,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 3.600%)5.50%, 4/25/24 (a) | | | 756 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
300,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%)6.50%, 12/25/42 (a) | | | $ 318 | |
348,890 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 7.550%)9.45%, 12/25/27 (a) | | | 433 | |
978,904 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 7.950%)9.85%, 5/25/25 (a) | | | 1,194 | |
665,697 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 10.500%)12.40%, 5/25/28 (a) | | | 889 | |
Total Mortgage Backed (Cost - $4,831) | | | 5,981 | |
| |
Preferred Stock (0%) | | | | |
390 | | Wells Fargo & Co., 7.50%
(Cost - $502) | | | 500 | |
| |
Investment Company (6%) | | | | |
9,290,360 | | Payden Cash Reserves Money Market Fund *
(Cost - $9,290) | | | 9,290 | |
| |
Total Investments (Cost - $154,799) (102%) | | | 156,551 | |
Liabilities in excess of Other Assets (-2%) | | | (2,466 | ) |
| |
Net Assets (100%) | | | $ 154,085 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (b) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
See notes to financial statements.
Semi-Annual Report 59
| | | | | | | | | | |
The Fund seeks high current income and capital appreciation by generally investing in below investment grade debt instruments and income producing securities of U.S. and foreign issuers with no limit on the average portfolio maturity. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Consumer Cyclical | | | 30% | | |
| | Energy | | | 19% | | |
| | Financial Services | | | 14% | | |
| | Consumer Non-Cyclical | | | 10% | | |
| | Communications | | | 5% | | |
| | Other | | | 22% | | |
| | | | | | | | | | | |
| | | | | | |
| Schedule of Investments - April 30, 2018 (Unaudited) | |
Principal or Shares | | Security Description | | Value (000) | |
Bank Loans(a) (3%) | | | | |
1,350,000 | | Asurion LLC Term Loan B2 2L, (LIBOR USD 1-Month + 6.000%) 7.90%, 8/04/25 | | $ | 1,391 | |
2,400,000 | | California Resources Corp. Term Loan 1L, (LIBOR USD 1-Month + 4.750%) 6.65%, 12/31/22 | | | 2,460 | |
1,800,000 | | CSC Holdings LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.500%) 4.40%, 1/25/26 | | | 1,803 | |
1,200,000 | | K-Mac Holdings Corp. Term Loan B 2L, (LIBOR USD 1-Month + 6.750%) 8.65%, 3/16/26 | | | 1,218 | |
2,850,000 | | NPC International Inc. Term Loan 2L, (LIBOR USD 1-Month + 7.500%) 9.38%, 4/18/25 | | | 2,914 | |
2,086,364 | | Romulus Merger Sub LLC Term Loan B 1L, (LIBOR USD 1-Month + 2.750%) 4.65%, 2/14/25 | | | 2,067 | |
1,915,000 | | Tacala Investment Corp. Term Loan 2L, (LIBOR USD 1-Month + 7.000%) 8.88%, 2/01/26 | | | 1,952 | |
Total Bank Loans (Cost - $13,616) | | | 13,805 | |
| |
Corporate Bond (90%) | | | | |
Basic Industry (6%) | | | | |
3,000,000 | | ARD Securities Finance SARL 144A, 8.75%, 1/31/23 (b) | | | 3,172 | |
2,328,000 | | Ashland LLC, 6.88%, 5/15/43 | | | 2,503 | |
2,000,000 | | Avolon Holdings Funding Ltd. 144A, 5.50%, 1/15/23 (b) | | | 2,000 | |
2,000,000 | | Bombardier Inc. 144A, 6.13%, 1/15/23 (b) | | | 2,022 | |
1,350,000 | | Bombardier Inc. 144A, 7.50%, 12/01/24 (b) | | | 1,424 | |
2,700,000 | | Coeur Mining Inc., 5.88%, 6/01/24 | | | 2,670 | |
2,700,000 | | IAMGOLD Corp. 144A, 7.00%, 4/15/25 (b) | | | 2,761 | |
1,600,000 | | James Hardie International Finance DAC 144A, 5.00%, 1/15/28 (b) | | | 1,560 | |
3,000,000 | | NOVA Chemicals Corp. 144A,
5.00%, 5/01/25 (b) | | | 2,895 | |
2,000,000 | | Standard Industries Inc./NJ 144A,
4.75%, 1/15/28 (b) | | | 1,875 | |
2,148,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 1,940 | |
1,150,000 | | Teva Pharmaceutical Finance Netherlands III BV 144A, 6.75%, 3/01/28 (b)(c) | | | 1,138 | |
2,000,000 | | Trinseo Materials Operating SCA/Trinseo Materials Finance Inc. 144A,
5.38%, 9/01/25 (b) | | | 1,975 | |
| | | | | 27,935 | |
| |
Capital Goods (1%) | | | | |
1,600,000 | | Cleveland-Cliffs Inc., 5.75%, 3/01/25 | | | 1,549 | |
1,250,000 | | First Quantum Minerals Ltd. 144A, 6.88%, 3/01/26 (b) | | | 1,191 | |
2,050,000 | | OCI NV 144A, 6.63%, 4/15/23 (b) | | | 2,086 | |
| | | | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,100,000 | | PQ Corp. 144A, 5.75%, 12/15/25 (b) | | $ | 2,084 | |
| | | | | 6,910 | |
| |
Communications (5%) | | | | |
1,150,000 | | Altice Finco SA 144A, 8.13%, 1/15/24 (b) | | | 1,186 | |
2,200,000 | | Altice Luxembourg SA 144A,
7.63%, 2/15/25 (b)(c) | | | 1,991 | |
2,850,000 | | C&W Senior Financing DAC 144A, 6.88%, 9/15/27 (b) | | | 2,831 | |
2,700,000 | | Digicel Ltd. 144A, 6.75%, 3/01/23 (b) | | | 2,478 | |
1,000,000 | | EW Scripps Co. 144A, 5.13%, 5/15/25 (b) | | | 933 | |
2,000,000 | | Frontier Communications Corp., 7.63%, 4/15/24 | | | 1,325 | |
750,000 | | Frontier Communications Corp. 144A, 8.50%, 4/01/26 (b) | | | 731 | |
2,050,000 | | Frontier Communications Corp., 10.50%, 9/15/22 | | | 1,814 | |
2,800,000 | | Qualitytech LP/QTS Finance Corp. 144A, 4.75%, 11/15/25 (b) | | | 2,653 | |
2,700,000 | | Sirius XM Radio Inc. 144A, 5.00%, 8/01/27 (b) | | | 2,585 | |
2,200,000 | | Telecom Italia Capital SA, 6.38%, 11/15/33 | | | 2,402 | |
2,400,000 | | ViaSat Inc. 144A, 5.63%, 9/15/25 (b) | | | 2,304 | |
| | | | | 23,233 | |
| |
Consumer Cyclical (31%) | | | | |
1,500,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, 5.00%, 10/15/25 (b) | | | 1,451 | |
1,400,000 | | Allison Transmission Inc. 144A,
4.75%, 10/01/27 (b) | | | 1,321 | |
550,000 | | Altice Financing SA 144A, 7.50%, 5/15/26 (b) | | | 543 | |
2,700,000 | | Altice Finco SA 144A, 7.63%, 2/15/25 (b)(c) | | | 2,582 | |
2,600,000 | | Altice France SA 144A, 6.25%, 5/15/24 (b) | | | 2,486 | |
1,750,000 | | Altice France SA 144A, 7.38%, 5/01/26 (b) | | | 1,702 | |
3,563,800 | | American Airlines 2013-1 Class B Pass-Through Trust 144A, 5.63%, 1/15/21 (b) | | | 3,662 | |
800,000 | | Aramark Services Inc. 144A, 5.00%, 2/01/28 (b) | | | 781 | |
2,750,000 | | Arcos Dorados Holdings Inc. 144A,
5.88%, 4/04/27 (b) | | | 2,764 | |
2,000,000 | | ARD Finance SA, 7.13%, 9/15/23 | | | 2,050 | |
1,500,000 | | Avis Budget Car Rental LLC/Avis Budget Finance Inc. 144A, 5.13%, 6/01/22 (b) | | | 1,498 | |
2,500,000 | | Beacon Roofing Supply Inc. 144A, 4.88%, 11/01/25 (b) | | | 2,375 | |
2,900,000 | | Boise Cascade Co. 144A, 5.63%, 9/01/24 (b) | | | 2,951 | |
2,900,000 | | Boyne USA Inc. 144A, 7.25%, 5/01/25 (b) | | | 3,010 | |
3,400,000 | | BWAY Holding Co. 144A, 7.25%, 4/15/25 (b) | | | 3,498 | |
60 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,600,000 | | Carrols Restaurant Group Inc., 8.00%, 5/01/22 | | $ | 2,714 | |
3,000,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 5.13%, 5/01/27 (b) | | | 2,818 | |
5,000,000 | | CCO Holdings LLC/CCO Holdings Capital Corp. 144A, 5.38%, 5/01/25 (b) | | | 4,928 | |
3,000,000 | | Centene Corp., 4.75%, 1/15/25 | | | 2,925 | |
3,660,000 | | CenturyLink Inc., 5.80%, 3/15/22 | | | 3,660 | |
1,500,000 | | Churchill Downs Inc. 144A,
4.75%, 1/15/28 (b) | | | 1,421 | |
3,200,000 | | CommScope Technologies LLC 144A, 6.00%, 6/15/25 (b) | | | 3,304 | |
2,500,000 | | Covanta Holding Corp., 5.88%, 7/01/25 | | | 2,438 | |
2,200,000 | | CSC HOLDINGS LLC 144A,
10.88%, 10/15/25 (b) | | | 2,585 | |
5,500,000 | | DISH DBS Corp., 5.88%, 7/15/22 | | | 5,079 | |
1,500,000 | | Endo Finance Co. 144A, 5.75%, 1/15/22 (b) | | | 1,238 | |
3,975,000 | | Freeport-McMoRan Copper & Gold Inc., 3.55%, 3/01/22 | | | 3,846 | |
3,500,000 | | Golden Nugget Inc. 144A, 8.75%, 10/01/25 (b) | | | 3,666 | |
2,350,000 | | Hilton Domestic Operating Co. Inc. 144A, 5.13%, 5/01/26 (b) | | | 2,362 | |
17,000 | | JC Penney Corp. Inc., 5.65%, 6/01/20 | | | 17 | |
2,000,000 | | Lennar Corp. 144A, 4.75%, 11/29/27 (b) | | | 1,895 | |
3,500,000 | | Level 3 Financing Inc., 5.63%, 2/01/23 | | | 3,557 | |
2,900,000 | | Lithia Motors Inc. 144A, 5.25%, 8/01/25 (b) | | | 2,878 | |
2,800,000 | | Live Nation Entertainment Inc. 144A, 4.88%, 11/01/24 (b) | | | 2,747 | |
1,500,000 | | Mallinckrodt International Finance SA/Mallinckrodt CB LLC 144A,
5.63%, 10/15/23 (b)(c) | | | 1,181 | |
2,800,000 | | Melco Resorts Finance Ltd. 144A,
4.88%, 6/06/25 (b) | | | 2,628 | |
2,700,000 | | Meritage Homes Corp., 5.13%, 6/06/27 | | | 2,568 | |
3,250,000 | | Nexstar Broadcasting Inc 144A,
5.63%, 8/01/24 (b) | | | 3,209 | |
1,200,000 | | Novelis Corp. 144A, 5.88%, 9/30/26 (b) | | | 1,194 | |
3,200,000 | | Penske Automotive Group Inc., 5.50%, 5/15/26 | | | 3,112 | |
1,600,000 | | Rite Aid Corp. 144A, 6.13%, 4/01/23 (b) | | | 1,628 | |
1,050,000 | | Rite Aid Corp., 6.75%, 6/15/21 | | | 1,075 | |
3,000,000 | | Sabre GLBL Inc. 144A, 5.25%, 11/15/23 (b) | | | 3,041 | |
1,850,000 | | Scientific Games International Inc., 6.63%, 5/15/21 | | | 1,896 | |
1,230,000 | | Sprint Capital Corp., 6.88%, 11/15/28 | | | 1,258 | |
2,000,000 | | Sprint Capital Corp., 6.90%, 5/01/19 | | | 2,065 | |
2,200,000 | | Sprint Communications Inc., 6.00%, 11/15/22 | | | 2,252 | |
3,500,000 | | Sprint Corp., 7.88%, 9/15/23 | | | 3,763 | |
3,000,000 | | Taylor Morrison Communities Inc/Taylor Morrison Holdings II Inc. 144A,
5.63%, 3/01/24 (b) | | | 3,015 | |
4,000,000 | | T-Mobile USA Inc., 6.50%, 1/15/26 | | | 4,261 | |
2,390,000 | | Tribune Media Co., 5.88%, 7/15/22 | | | 2,432 | |
2,800,000 | | TTM Technologies Inc. 144A,
5.63%, 10/01/25 (b) | | | 2,751 | |
3,025,000 | | United Continental Holdings Inc.,
5.00%, 2/01/24 | | | 3,017 | |
2,200,000 | | Wyndham Hotels & Resorts Inc. 144A, 5.38%, 4/15/26 (b) | | | 2,228 | |
3,100,000 | | XPO Logistics Inc. 144A, 6.13%, 9/01/23 (b) | | | 3,220 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,000,000 | | Yum! Brands Inc., 6.88%, 11/15/37 | | $ | 2,120 | |
2,700,000 | | Zayo Group LLC/Zayo Capital Inc. 144A, 5.75%, 1/15/27 (b) | | | 2,688 | |
| | | | | 143,354 | |
| |
Consumer Non-Cyclical (10%) | | | | |
2,000,000 | | Albertsons Companies LLC/Safeway Inc./New Albertson’s Inc./Albertson’s LLC, 5.75%, 3/15/25 | | | 1,753 | |
2,100,000 | | CHS/Community Health Systems Inc., 6.25%, 3/31/23 | | | 1,927 | |
3,250,000 | | HCA Inc., 5.38%, 2/01/25 | | | 3,242 | |
1,350,000 | | HCA Inc., 5.50%, 6/15/47 | | | 1,279 | |
4,950,000 | | HCA Inc., 7.50%, 2/15/22 | | | 5,457 | |
900,000 | | Hertz Corp., 5.88%, 10/15/20 | | | 893 | |
2,000,000 | | Hill-Rom Holdings Inc. 144A,
5.00%, 2/15/25 (b) | | | 1,996 | |
2,750,000 | | Land O’ Lakes Inc. 144A, 7.25%, (b)(d) | | | 3,066 | |
2,000,000 | | LifePoint Health Inc., 5.38%, 5/01/24 | | | 1,912 | |
1,000,000 | | LifePoint Health Inc., 5.50%, 12/01/21 | | | 1,006 | |
1,500,000 | | Post Holdings Inc. 144A, 5.50%, 3/01/25 (b) | | | 1,478 | |
1,400,000 | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC 144A, 7.00%, 7/15/24 (b) | | | 1,460 | |
1,500,000 | | ServiceMaster Co. LLC 144A,
5.13%, 11/15/24 (b) | | | 1,465 | |
2,100,000 | | Tenet Healthcare Corp. 144A,
4.63%, 7/15/24 (b) | | | 2,035 | |
1,800,000 | | Tenet Healthcare Corp., 8.13%, 4/01/22 | | | 1,881 | |
2,000,000 | | U.S. Foods Inc. 144A, 5.88%, 6/15/24 (b) | | | 2,045 | |
1,250,000 | | United Rentals North America Inc., 4.88%, 1/15/28 | | | 1,188 | |
2,000,000 | | United Rentals North America Inc., 5.88%, 9/15/26 | | | 2,093 | |
1,350,000 | | Valeant Pharmaceuticals Inc. 144A,
9.25%, 4/01/26 (b) | | | 1,380 | |
3,200,000 | | Valeant Pharmaceuticals International Inc 144A, 7.50%, 7/15/21 (b)(c) | | | 3,264 | |
3,450,000 | | Valeant Pharmaceuticals International Inc. 144A, 5.50%, 3/01/23 (b) | | | 3,131 | |
1,000,000 | | Valeant Pharmaceuticals International Inc. 144A, 9.00%, 12/15/25 (b) | | | 1,016 | |
| | | | | 44,967 | |
| |
Energy (19%) | | | | |
1,800,000 | | AmeriGas Partners LP/AmeriGas Finance Corp., 5.50%, 5/20/25 | | | 1,778 | |
1,150,000 | | Calpine Corp. 144A, 5.25%, 6/01/26 (b) | | | 1,105 | |
1,400,000 | | Calpine Corp., 5.50%, 2/01/24 | | | 1,290 | |
3,000,000 | | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25 | | | 3,104 | |
1,500,000 | | Chesapeake Energy Corp., 5.50%, 9/15/26 | | | 1,318 | |
1,250,000 | | Continental Resources Inc./OK 144A, 4.38%, 1/15/28 (b) | | | 1,232 | |
1,500,000 | | Continental Resources Inc./OK, 5.00%, 9/15/22 | | | 1,528 | |
2,450,000 | | Covey Park Energy LLC/Covey Park Finance Corp. 144A, 7.50%, 5/15/25 (b) | | | 2,474 | |
3,000,000 | | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.75%, 4/01/25 | | | 2,989 | |
Semi-Annual Report 61
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
1,700,000 | | Diamond Offshore Drilling Inc.,
7.88%, 8/15/25 (c) | | $ | 1,751 | |
2,850,000 | | Energy Transfer Equity LP, 4.25%, 3/15/23 | | | 2,757 | |
2,750,000 | | Energy Transfer Partners LP, (3 mo. LIBOR USD + 4.028%) 6.25%, 2/15/66 (d)(e) | | | 2,625 | |
3,200,000 | | EnLink Midstream Partners LP, (3 mo. LIBOR USD + 4.110%) 6.00%, (d)(e) | | | 3,011 | |
1,000,000 | | Ensco PLC, 4.50%, 10/01/24 | | | 818 | |
2,750,000 | | Enviva Partners LP/Enviva Partners Finance Corp., 8.50%, 11/01/21 | | | 2,905 | |
2,600,000 | | Extraction Oil & Gas Inc. 144A,
5.63%, 2/01/26 (b) | | | 2,533 | |
1,500,000 | | Gulfport Energy Corp., 6.38%, 1/15/26 | | | 1,444 | |
1,350,000 | | Hilcorp Energy I LP/Hilcorp Finance Co. 144A, 5.75%, 10/01/25 (b) | | | 1,343 | |
1,000,000 | | Murphy Oil Corp., 6.88%, 8/15/24 | | | 1,061 | |
2,600,000 | | Nabors Industries Inc. 144A,
5.75%, 2/01/25 (b) | | | 2,467 | |
1,400,000 | | NGL Energy Partners LP/NGL Energy Finance Corp., 7.50%, 11/01/23 | | | 1,402 | |
561,000 | | Noble Holding International Ltd.,
7.75%, 1/15/24 (c) | | | 529 | |
1,400,000 | | Nostrum Oil & Gas Finance BV 144A, 7.00%, 2/16/25 (b) | | | 1,350 | |
1,970,000 | | Pattern Energy Group Inc. 144A,
5.88%, 2/01/24 (b) | | | 2,019 | |
1,550,000 | | PDC Energy Inc. 144A, 5.75%, 5/15/26 (b) | | | 1,564 | |
1,750,000 | | Petrobras Global Finance BV 144A, 6.00%, 1/27/28 (b) | | | 1,709 | |
3,150,000 | | QEP Resources Inc., 5.25%, 5/01/23 | | | 3,087 | |
1,000,000 | | Rowan Cos. Inc., 7.38%, 6/15/25 | | | 972 | |
2,900,000 | | SemGroup Corp., 6.38%, 3/15/25 | | | 2,777 | |
1,000,000 | | SemGroup Corp., 7.25%, 3/15/26 | | | 997 | |
1,500,000 | | Seven Generations Energy Ltd. 144A, 5.38%, 9/30/25 (b) | | | 1,462 | |
3,150,000 | | SM Energy Co., 6.50%, 1/01/23 | | | 3,174 | |
1,050,000 | | Southwestern Energy Co., 4.10%, 3/15/22 | | | 1,026 | |
2,800,000 | | Sunoco LP/Sunoco Finance Corp. 144A, 5.88%, 3/15/28 (b) | | | 2,726 | |
2,105,000 | | Talen Energy Supply LLC 144A,
9.50%, 7/15/22 (b)(c) | | | 2,016 | |
2,400,000 | | Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A,
5.88%, 4/15/26 (b) | | | 2,385 | |
2,250,000 | | TerraForm Power Operating LLC 144A, 5.00%, 1/31/28 (b) | | | 2,101 | |
2,600,000 | | TransMontaigne Partners LP/TLP Finance Corp., 6.13%, 2/15/26 | | | 2,600 | |
2,850,000 | | Transocean Inc. 144A, 9.00%, 7/15/23 (b) | | | 3,085 | |
1,300,000 | | Vistra Energy Corp., 7.38%, 11/01/22 | | | 1,373 | |
2,600,000 | | Whiting Petroleum Corp. 144A,
6.63%, 1/15/26 (b) | | | 2,668 | |
1,750,000 | | WildHorse Resource Development Corp., 6.88%, 2/01/25 | | | 1,785 | |
950,000 | | WildHorse Resource Development Corp. 144A, 6.88%, 2/01/25 (b) | | | 969 | |
1,707,000 | | WPX Energy Inc., 6.00%, 1/15/22 | | | 1,788 | |
1,600,000 | | YPF SA 144A, 6.95%, 7/21/27 (b) | | | 1,578 | |
| | | | | 86,675 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| |
Financial (15%) | | | | |
4,800,000 | | Ally Financial Inc., 4.13%, 2/13/22 | | $ | 4,788 | |
1,450,000 | | Assurant Inc., (3 mo. LIBOR USD + 4.130%) 7.00%, 3/27/48 (e) | | | 1,514 | |
2,750,000 | | Banco Mercantil del Norte SA/Grand Cayman 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 4.447%)
5.75%, 10/04/31 (b)(e) | | | 2,654 | |
1,500,000 | | Bank of America Corp., (3 mo. LIBOR USD + 3.387%) 5.13%, 12/29/49 (d)(e) | | | 1,521 | |
3,000,000 | | CIT Group Inc., 5.00%, 8/15/22 | | | 3,075 | |
700,000 | | CIT Group Inc., 5.25%, 3/07/25 | | | 717 | |
3,000,000 | | Citigroup Inc., (3 mo. LIBOR USD + 4.068%) 5.95%, 7/29/49 (d)(e) | | | 3,075 | |
3,000,000 | | CyrusOne LP/CyrusOne Finance Corp., 5.38%, 3/15/27 | | | 3,007 | |
3,000,000 | | Dana Financing Luxembourg Sarl 144A, 6.50%, 6/01/26 (b) | | | 3,120 | |
1,270,000 | | Equinix Inc., 5.38%, 4/01/23 | | | 1,311 | |
2,400,000 | | Fidelity & Guaranty Life Holdings Inc. 144A, 5.50%, 5/01/25 (b) | | | 2,393 | |
2,725,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 3.598%) 5.75%, (c)(d)(e) | | | 2,694 | |
2,700,000 | | goeasy Ltd. 144A, 7.88%, 11/01/22 (b) | | | 2,869 | |
2,050,000 | | HUB International Ltd. 144A,
7.00%, 5/01/26 (b) | | | 2,058 | |
1,200,000 | | Huntington Bancshares Inc./OH, (3 mo. LIBOR USD + 2.880%) 5.70%, (d)(e) | | | 1,201 | |
1,500,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.75%, 2/01/24 | | | 1,539 | |
2,000,000 | | Iron Mountain Inc. 144A, 5.25%, 3/15/28 (b) | | | 1,892 | |
2,350,000 | | iStar Inc., 5.25%, 9/15/22 | | | 2,285 | |
2,700,000 | | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer Inc., 4.50%, 1/15/28 | | | 2,498 | |
2,900,000 | | MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/01/26 | | | 2,827 | |
4,000,000 | | Navient Corp., 5.00%, 10/26/20 | | | 4,030 | |
2,000,000 | | Pershing Square Holdings Ltd. 144A, 5.50%, 7/15/22 (b) | | | 2,022 | |
2,037,000 | | Radian Group Inc., 5.25%, 6/15/20 (c) | | | 2,083 | |
2,000,000 | | Realogy Group LLC/Realogy Co-Issuer Corp. 144A, 4.88%, 6/01/23 (b) | | | 1,943 | |
2,800,000 | | Royal Bank of Scotland Group PLC, 6.10%, 6/10/23 | | | 2,980 | |
2,700,000 | | SLM Corp., 5.13%, 4/05/22 | | | 2,734 | |
2,200,000 | | Springleaf Finance Corp., 6.13%, 5/15/22 | | | 2,263 | |
2,800,000 | | VFH Parent LLC/Orchestra Co-Issuer Inc. 144A, 6.75%, 6/15/22 (b) | | | 2,911 | |
| | | | | 68,004 | |
| |
Technology (2%) | | | | |
3,100,000 | | Change Healthcare Holdings LLC/Change Healthcare Finance Inc. 144A,
5.75%, 3/01/25 (b) | | | 3,042 | |
1,350,000 | | Dell International LLC/EMC Corp. 144A, 8.35%, 7/15/46 (b) | | | 1,667 | |
2,500,000 | | Everi Payments Inc. 144A, 7.50%, 12/15/25 (b) | | | 2,538 | |
62 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,000,000 | | First Data Corp. 144A, 5.00%, 1/15/24 (b) | | $ | 2,022 | |
1,800,000 | | NXP BV/NXP Funding LLC 144A, 3.88%, 9/01/22 (b) | | | 1,766 | |
| | | | | 11,035 | |
| |
Utility (1%) | | | | |
1,200,000 | | AES Corp./VA, 4.50%, 3/15/23 | | | 1,208 | |
2,250,000 | | NRG Energy Inc. 144A, 5.75%, 1/15/28 (b) | | | 2,233 | |
2,200,000 | | Terraform Global Operating LLC 144A, 6.13%, 3/01/26 (b) | | | 2,233 | |
| | | | | 5,674 | |
Total Corporate Bond (Cost - $421,246) | | | 417,787 | |
| |
Mortgage Backed (3%) | | | | |
1,999,227 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.250%)
12.15%, 1/25/29 (e) | | | 2,721 | |
1,998,225 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 12.250%)
14.15%, 9/25/28 (e) | | | 2,986 | |
900,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%) 6.50%, 12/25/42 (e) | | | 955 | |
1,445,399 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 7.550%) 9.45%, 12/25/27 (e) | | | 1,793 | |
2,129,117 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 7.950%) 9.85%, 5/25/25 (e) | | | 2,598 | |
1,899,503 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 10.750%) 12.65%, 3/25/25 (e) | | | 2,603 | |
��1,249,244 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%) 13.15%, 10/25/29 (e) | | | 1,402 | |
Total Mortgage Backed (Cost - $11,621) | | | 15,058 | |
| | | | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| |
Stocks (1%) | | | | |
Master Limited Partnership (0%) | | | | |
35,200 | | Enterprise Products Partners LP | | $ | 945 | |
17,000 | | Magellan Midstream Partners LP | | | 1,119 | |
23,800 | | Spectra Energy Partners LP | | | 848 | |
| | | | | 2,912 | |
| |
Preferred Stock (1%) | | | | |
79,400 | | Morgan Stanley, 5.85% | | | 2,037 | |
1,170 | | Wells Fargo & Co., 7.50% | | | 1,498 | |
| | | | | 3,535 | |
Total Stocks (Cost - $6,704) | | | 6,447 | |
| |
Investment Company (4%) | | | | |
19,395,220 | | Payden Cash Reserves Money Market Fund *
(Cost - $19,395) | | | 19,395 | |
Total Investments (Cost - $472,582) (101%) | | | 472,492 | |
Liabilities in excess of Other Assets (-1%) | | | (6,978 | ) |
Net Assets (100%) | | $ | 465,514 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (b) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $10,074 and the total market value of the collateral held by the Fund is $10,412. Amounts in 000s. |
| (d) | Perpetual security with no stated maturity date. |
| (e) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
Semi-Annual Report 63
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Unrealized |
| Currency | | | | Currency | | | | | | Appreciation |
| Purchased | | | | Sold | | | | Settlement | | (Depreciation) |
| (000s) | | | | (000) | | Counterparty | | Date | | (000s) |
Assets: | | | | | | | | | | | | | | | | | | | |
CAD 3,007 | | | | USD 2,335 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | $ | 10 | |
COP 2,766,000 | | | | USD 974 | | | | State Street Bank & Trust Co. | | | | | 05/11/2018 | | | | | 11 | |
USD 2,392 | | | | CAD 3,007 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | 47 | |
USD 2,328 | | | | NZD 3,229 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | 57 | |
USD 2,413 | | | | NOK 18,893 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | 57 | |
USD 3,516 | | | | EUR 2,856 | | | | HSBC Bank USA, N.A. | | | | | 07/27/2018 | | | | | 43 | |
USD 995 | | | | COP 2,766,000 | | | | State Street Bank & Trust Co. | | | | | 05/11/2018 | | | | | 10 | |
USD 923 | | | | BRL 3,214 | | | | State Street Bank & Trust Co. | | | | | 05/16/2018 | | | | | 7 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | 242 | |
| | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | |
BRL 3,214 | | | | USD 967 | | | | State Street Bank & Trust Co. | | | | | 05/16/2018 | | | | | (51 | ) |
CAD 3,050 | | | | USD 2,412 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (36 | ) |
IDR 51,660,000 | | | | USD 3,726 | | | | Barclays Bank PLC | | | | | 07/24/2018 | | | | | (49 | ) |
JPY 751,800 | | | | USD 7,117 | | | | State Street Bank & Trust Co. | | | | | 06/14/2018 | | | | | (219 | ) |
MYR 7,741 | | | | USD 2,000 | | | | Barclays Bank PLC | | | | | 05/30/2018 | | | | | (29 | ) |
NOK 18,893 | | | | USD 2,435 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (79 | ) |
NOK 27,605 | | | | USD 3,506 | | | | HSBC Bank USA, N.A. | | | | | 07/27/2018 | | | | | (54 | ) |
NZD 3,229 | | | | USD 2,362 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | (91 | ) |
RUB 57,990 | | | | USD 933 | | | | HSBC Bank USA, N.A. | | | | | 05/17/2018 | | | | | (14 | ) |
USD 2,374 | | | | CAD 3,050 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (2 | ) |
ZAR 11,800 | | | | USD 973 | | | | HSBC Bank USA, N.A. | | | | | 05/11/2018 | | | | | (27 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | (651 | ) |
| | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | $ | (409 | ) |
| | | | | | | | | | | | | | | | | | | |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
| | | Value
(000’s) | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | $ | 10,074 | |
Non-cash Collateral2 | | | (10,074) | |
| | | | |
Net Amount | | $ | — | |
| | | | |
| 1 | The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. |
| 2 | At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments. |
See notes to financial statements.
64 Payden Mutual Funds
| | | | | | | | | | |
The Fund seeks income that is exempt from federal and California state income tax and is consistent with preservation of capital by generally investing in investment grade California municipal securities with an average portfolio maturity of five to ten years. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | General Obligation | | | 55% | | |
| | Healthcare | | | 13% | | |
| | Education | | | 10% | | |
| | Transportation | | | 7% | | |
| | Industrial Development/Pollution Control | | | 5% | | |
| | Other | | | 10% | | |
| | | | | | | | | | | |
| | | | | | |
| Schedule of Investments - April 30, 2018 (Unaudited) | |
Principal or Shares | | Security Description | | Value (000) | |
General Obligation (53%) | | | | |
645,000 | | Abag Finance Authority for Nonprofit Corps, 5.00%, 9/02/26 | | $ | 732 | |
455,000 | | Abag Finance Authority for Nonprofit Corps, 5.00%, 9/02/28 AGM (a) | | | 535 | |
100,000 | | Alameda Community Improvement Commission Successor Agency, 5.00%, 9/01/28 BAM (a) | | | 114 | |
250,000 | | Alameda Community Improvement Commission Successor Agency, 5.00%, 9/01/32 BAM (a) | | | 283 | |
300,000 | | Anaheim Public Financing Authority, 5.00%, 5/01/34 | | | 337 | |
1,000,000 | | Azusa Unified School District, 5.00%, 8/01/42 | | | 1,094 | |
200,000 | | Brea Community Benefit Financing Authority, 5.00%, 7/01/29 | | | 230 | |
500,000 | | California Infrastructure & Economic Development Bank, 1.99%, 12/01/50 (b) | | | 502 | |
750,000 | | California Infrastructure & Economic Development Bank, 5.00%, 1/01/28 | | | 884 | |
750,000 | | California State, 3.00%, 12/01/32 (b) | | | 760 | |
500,000 | | California State, 5.00%, 10/01/26 | | | 579 | |
480,000 | | California State, 5.25%, 10/01/21 | | | 503 | |
385,000 | | California State Public Works Board, 5.25%, 10/01/33 | | | 443 | |
100,000 | | City & County of San Francisco CA, 5.00%, 4/01/22 | | | 103 | |
260,000 | | City of Irvine CA, 5.00%, 9/02/22 | | | 286 | |
400,000 | | County of Sacramento CA, 5.75%, 2/01/30 | | | 424 | |
285,000 | | Inglewood Public Financing Authority, 4.25%, 8/01/21 | | | 303 | |
250,000 | | Inglewood Redevelopment Agency Successor Agency, 5.00%, 5/01/31 BAM (a) | | | 290 | |
160,000 | | Inglewood Redevelopment Agency Successor Agency, 5.00%, 5/01/34 BAM (a) | | | 183 | |
500,000 | | Lancaster Redevelopment Agency Successor Agency, 5.00%, 8/01/30 AGM (a) | | | 578 | |
250,000 | | Los Angeles County Public Works Financing Authority, 5.00%, 12/01/31 | | | 291 | |
350,000 | | Los Angeles County Redevelopment Authority, 5.25%, 12/01/26 AGM (a) | | | 409 | |
1,300,000 | | Marin Healthcare District, 4.00%, 8/01/47 | | | 1,327 | |
725,000 | | Midpeninsula Regional Open Space District, 4.00%, 9/01/43 | | | 769 | |
505,000 | | Municipal Improvement Corp. of Los Angeles, 5.00%, 11/01/24 | | | 588 | |
100,000 | | Municipal Improvement Corp. of Los Angeles, 5.00%, 5/01/30 | | | 114 | |
490,000 | | Municipal Improvement Corp. of Los Angeles, 5.00%, 11/01/31 | | | 573 | |
| | | | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
310,000 | | Natomas Unified School District,
5.00%, 9/01/25 BAM (a) | | $ | 347 | |
1,000,000 | | Nuveen, CA Free Quality Municipal Income Fund, AMT 144A, 1.90%, 10/01/47 (b)(c) | | | 1,000 | |
250,000 | | Oakland Redevelopment Agency Successor Agency, 5.00%, 9/01/35 AGM (a) | | | 282 | |
1,000,000 | | Oakland Unified School District/Alameda County, 5.00%, 8/01/29 | | | 1,164 | |
500,000 | | Oxnard Financing Authority,
5.00%, 6/01/33 BAM (a) | | | 578 | |
250,000 | | Palm Springs Financing Authority, 5.00%, 6/01/24 | | | 278 | |
250,000 | | Paramount Redevelopment Agency Successor Agency, 5.00%, 8/01/18 | | | 252 | |
270,000 | | Rancho Mirage Redevelopment Agency Successor Agency, 5.00%, 4/01/24 BAM (a) | | | 308 | |
325,000 | | Riverside County Public Financing Authority, 5.00%, 9/01/22 AGM (a) | | | 363 | |
285,000 | | Riverside County Redevelopment Successor Agency, 5.00%, 10/01/30 AGM (a) | | | 325 | |
300,000 | | Riverside Unified School District Financing Authority, 5.00%, 9/01/21 BAM (a) | | | 329 | |
300,000 | | Sacramento Redevelopment Agency Successor Agency, 5.00%, 12/01/23 BAM (a) | | | 342 | |
350,000 | | San Diego Public Facilities Financing Authority, 5.00%, 10/15/30 | | | 403 | |
340,000 | | San Diego Public Facilities Financing Authority, 5.00%, 10/15/31 | | | 391 | |
550,000 | | San Diego Public Facilities Financing Authority, 5.00%, 10/15/32 | | | 631 | |
500,000 | | San Diego Regional Building Authority, 5.00%, 10/15/35 | | | 572 | |
500,000 | | San Diego Unified School District CA, 4.00%, 7/01/47 | | | 515 | |
250,000 | | San Francisco City & County Redevelopment Agency, 5.00%, 8/01/19 | | | 260 | |
120,000 | | San Jose Financing Authority, 5.00%, 6/01/28 | | | 135 | |
250,000 | | San Mateo Joint Powers Financing Authority, 5.00%, 6/15/30 | | | 286 | |
815,000 | | Santa Monica Public Financing Authority, 4.00%, 7/01/38 | | | 859 | |
200,000 | | Simi Valley Public Financing Authority, 5.00%, 10/01/29 | | | 231 | |
550,000 | | South Orange County Public Financing Authority, 5.00%, 4/01/34 | | | 637 | |
500,000 | | State of California, 1.99%, 12/01/27 (b) | | | 501 | |
Semi-Annual Report 65
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
640,000 | | State of California, 2.76%, 5/01/20 (b) | | $ | 648 | |
500,000 | | State of California, 4.00%, 11/01/47 | | | 521 | |
250,000 | | State of California, 5.00%, 2/01/25 | | | 281 | |
390,000 | | State of California, 5.00%, 9/01/27 | | | 462 | |
100,000 | | State of California, 5.00%, 8/01/30 | | | 115 | |
800,000 | | Temecula Redevelopment Agency Successor Agency, 5.00%, 12/15/37 AGM (a) | | | 900 | |
325,000 | | Tustin Community Facilities District, 5.00%, 9/01/22 | | | 360 | |
500,000 | | Union City Community Redevelopment Agency, 5.00%, 10/01/31 | | | 592 | |
350,000 | | Union City Community Redevelopment Agency, 5.00%, 10/01/35 | | | 400 | |
345,000 | | Watsonville Redevelopment Agency, 5.00%, 8/01/24 BAM (a) | | | 396 | |
575,000 | | West Hollywood Public Financing Authority, 5.00%, 4/01/28 | | | 680 | |
Total General Obligation (Cost - $29,632) | | | 29,578 | |
| |
Revenue (43%) | | | | |
Airport/Port (1%) | | | | |
125,000 | | County of Sacramento CA Airport System Revenue, 5.00%, 7/01/19 | | | 125 | |
250,000 | | Norman Y Mineta San Jose International Airport SJC, 5.00%, 3/01/32 | | | 290 | |
340,000 | | San Francisco, CA City & County Airports Commission, 5.00%, 5/01/21 | | | 351 | |
| | | | | 766 | |
| |
Education (10%) | | | | |
1,250,000 | | California Educational Facilities Authority, 4.00%, 4/01/47 | | | 1,266 | |
300,000 | | California Educational Facilities Authority, 5.00%, 10/01/31 | | | 339 | |
650,000 | | California Municipal Finance Authority, 1.96%, 10/01/45 (b) | | | 641 | |
400,000 | | California Municipal Finance Authority, 5.00%, 4/01/41 | | | 424 | |
250,000 | | California Municipal Finance Authority, 5.00%, 10/01/42 BAM (a) | | | 275 | |
120,000 | | California School Finance Authority 144A, 4.00%, 7/01/22 (c) | | | 127 | |
1,000,000 | | California School Finance Authority 144A, 5.00%, 7/01/37 (c) | | | 1,113 | |
250,000 | | Oxnard School District,
2.00%, 8/01/45 BAM (a)(b) | | | 251 | |
250,000 | | Stockton Unified School District, 5.00%, 2/01/33 | | | 286 | |
500,000 | | Travis Unified School District,
5.00%, 9/01/31 AGM (a) | | | 574 | |
200,000 | | University of California, 1.40%, 5/15/46 (b) | | | 195 | |
| | | | | 5,491 | |
| |
Electric & Gas (4%) | | | | |
215,000 | | Anaheim Housing & Public Improvements Authority, 5.00%, 10/01/41 | | | 237 | |
500,000 | | City of Redding CA Electric System Revenue, 5.00%, 6/01/30 | | | 598 | |
1,000,000 | | Guam Power Authority, 5.00%, 10/01/32 | | | 1,077 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
455,000 | | M-S-R Public Power Agency,
5.00%, 7/01/19 AGM (a) | | $ | 457 | |
| | | | | 2,369 | |
| |
Healthcare (13%) | | | | |
750,000 | | Abag Finance Authority for Nonprofit Corps, 5.00%, 8/01/32 | | | 834 | |
1,550,000 | | California Health Facilities Financing Authority, 1.62%, 6/01/41 (b) | | | 1,550 | |
215,000 | | California Health Facilities Financing Authority, 4.00%, 8/15/34 | | | 220 | |
1,000,000 | | California Health Facilities Financing Authority, 4.00%, 11/15/42 | | | 1,020 | |
710,000 | | California Health Facilities Financing Authority, 5.00%, 11/15/27 | | | 798 | |
500,000 | | California Health Facilities Financing Authority, 5.00%, 2/01/31 | | | 579 | |
350,000 | | California Health Facilities Financing Authority, 5.00%, 8/15/32 | | | 396 | |
250,000 | | California Health Facilities Financing Authority, 5.00%, 7/01/43 (b) | | | 269 | |
205,000 | | California Health Facilities Financing Authority, 5.25%, 3/01/28 | | | 220 | |
325,000 | | California Municipal Finance Authority, 5.00%, 5/15/37 | | | 372 | |
500,000 | | Rib Floater Trust Various States 144A, 1.77%, 3/01/42 (b)(c) | | | 500 | |
340,000 | | Rib Floater Trust Various States 144A, 1.77%, 8/15/51 (b)(c) | | | 340 | |
| | | | | 7,098 | |
| |
Industrial (0%) | | | | |
160,000 | | Parish of St. Charles LA, 4.00%, 12/01/40 (b) | | | 167 | |
| |
Industrial Development/Pollution Control (5%) | | | | |
750,000 | | California Statewide Communities Development Authority, 2.63%, 11/01/33 (b) | | | 749 | |
500,000 | | City of Chula Vista CA, 1.65%, 7/01/18 | | | 500 | |
370,000 | | Emeryville Redevelopment Agency Successor Agency, 5.00%, 9/01/25 AGM (a) | | | 428 | |
300,000 | | Palm Springs Community Redevelopment Agency Successor Agency, 5.00%, 9/01/29 AGM (a) | | | 342 | |
390,000 | | Palm Springs Community Redevelopment Agency Successor Agency, 5.00%, 9/01/31 AGM (a) | | | 442 | |
100,000 | | Successor Agency to the Upland Community Redevelopment Agency,
5.00%, 9/01/23 AGM (a) | | | 114 | |
| | | | | 2,575 | |
| |
Resource Recovery (1%) | | | | |
500,000 | | South Bayside, CA Waste Management Authority, 5.25%, 9/01/24 | | | 522 | |
| |
Tax Allocation (1%) | | | | |
415,000 | | Riverside County, CA Economic Development Agency, 7.25%, 12/01/40 | | | 482 | |
| |
Transportation (6%) | | | | |
250,000 | | Bay Area Toll Authority, 2.21%, 4/01/34 (b) | | | 250 | |
66 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
660,000 | | Bay Area Toll Authority, 4.00%, 4/01/37 | | $ | 694 | |
600,000 | | Foothill-Eastern Transportation Corridor Agency, 5.00%, 1/15/53 (b) | | | 620 | |
1,000,000 | | Foothill-Eastern Transportation Corridor Agency, 5.50%, 1/15/53 (b) | | | 1,115 | |
300,000 | | San Diego Association of Governments South Bay Expressway Revenue, 5.00%, 7/01/37 | | | 343 | |
500,000 | | San Diego Association of Governments South Bay Expressway Revenue, 5.00%, 7/01/38 | | | 571 | |
| | | | | 3,593 | |
| |
Water & Sewer (2%) | | | | |
490,000 | | California Pollution Control Financing Authority 144A, 5.00%, 11/21/45 (c) | | | 492 | |
250,000 | | El Dorado, CA Irrigation District / El Dorado County Water Agency, 5.00%, 3/01/29 AGM (a) | | | 285 | |
100,000 | | San Diego Public Facilities Financing Authority Water Revenue, 5.00%, 8/01/32 | | | 118 | |
275,000 | | Western Riverside Water & Wastewater Financing Authority, 4.00%, 9/01/19 | | | 282 | |
| | | | | 1,177 | |
Total Revenue (Cost - $24,044) | | | 24,240 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| |
Total Investments (Cost - $53,676) (96%) | | | $ 53,818 | |
Other Assets, net of Liabilities (4%) | | | 1,973 | |
Net Assets (100%) | | | $ 55,791 | |
| (a) | Payment of principal and/or interest is insured against default by a monoline insurer. |
| (b) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
| (c) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
See notes to financial statements.
Semi-Annual Report 67
| | | | | | | | | | |
The Fund seeks a high level of total return that is consistent with preservation of capital by generally investing in investment grade debt securities denominated in U.S. and foreign currencies with an average portfolio maturity not to exceed three years. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Corporate Bond | | | 71% | | |
| | Mortgage Backed | | | 8% | | |
| | U.S. Treasury | | | 8% | | |
| | Asset Backed | | | 6% | | |
| | Foreign Government | | | 5% | | |
| | Other | | | 2% | | |
| | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
Bank Loans(a) (0%) | | | | |
206,062 | | Dole Food Co. Inc. Term Loan B 1L, (LIBOR USD 1-Month + 2.600%) 5.10%, 4/06/24 | | $ | 207 | |
Total Bank Loans (Cost - $205) | | | 207 | |
| |
Bonds (100%) | | | | |
Argentina (USD) (1%) | | | | |
545,000 | | Argentine Republic Government International Bond, 4.63%, 1/11/23 | | | 522 | |
695,000 | | Provincia de Buenos Aires/Argentina 144A, 6.50%, 2/15/23 (b) | | | 706 | |
215,000 | | Rio Energy SA/UGEN SA/UENSA SA 144A, 6.88%, 2/01/25 (b) | | | 210 | |
| | | | | 1,438 | |
| |
Australia (USD) (4%) | | | | |
590,000 | | Australia & New Zealand Banking Group Ltd./New York NY, 1.60%, 7/15/19 | | | 581 | |
290,000 | | Commonwealth Bank of Australia/New York NY, 2.05%, 3/15/19 | | | 288 | |
605,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.020%) 3.00%, 11/28/23 (b)(c) | | | 607 | |
860,000 | | National Australia Bank Ltd./New York, 1.38%, 7/12/19 | | | 846 | |
270,000 | | Scentre Group Trust 1/Scentre Group Trust 2 144A, 2.38%, 11/05/19 (b) | | | 267 | |
242,000 | | Suncorp-Metway Ltd. 144A, 2.10%, 5/03/19 (b) | | | 240 | |
285,000 | | Suncorp-Metway Ltd. 144A, 2.38%, 11/09/20 (b) | | | 279 | |
400,000 | | Westpac Banking Corp., 1.60%, 8/19/19 | | | 394 | |
665,000 | | Westpac Banking Corp., 2.15%, 3/06/20 | | | 655 | |
| | | | | 4,157 | |
| |
Bermuda (USD) (0%) | | | | |
225,000 | | Bacardi Ltd. 144A, 4.45%, 5/15/25 (b)(d) | | | 224 | |
180,000 | | Enstar Group Ltd., 4.50%, 3/10/22 | | | 180 | |
| | | | | 404 | |
| |
Canada (USD) (2%) | | | | |
470,000 | | Alimentation Couche-Tard Inc. 144A, 2.35%, 12/13/19 (b) | | | 464 | |
430,000 | | Cenovus Energy Inc., 5.70%, 10/15/19 | | | 443 | |
570,000 | | Federation des Caisses Desjardins du Quebec 144A, 2.25%, 10/30/20 (b) | | | 557 | |
500,000 | | Husky Energy Inc., 7.25%, 12/15/19 | | | 531 | |
| | | | | 1,995 | |
| |
Cayman Islands (USD) (5%) | | | | |
200,000 | | ADCB Finance Cayman Ltd. 144A,
4.00%, 3/29/23 (b) | | | 198 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
200,000 | | Alibaba Group Holding Ltd., 2.80%, 6/06/23 | | $ | 192 | |
500,000 | | Barings CLO Ltd. 2013-I 144A, (3 mo. LIBOR USD + 0.800%) 3.16%, 1/20/28 (b)(c) | | | 500 | |
483,687 | | Cent CLO 18 Ltd. 144A, (3 mo. LIBOR USD + 1.120%) 3.48%, 7/23/25 (b)(c) | | | 486 | |
370,000 | | CK Hutchison International 17 II Ltd. 144A, 2.25%, 9/29/20 (b) | | | 362 | |
580,000 | | Madison Park Funding XIV Ltd. 144A, (3 mo. LIBOR USD + 1.550%) 3.91%, 7/20/26 (b)(c) | | | 580 | |
1,050,000 | | Magnetite VII Ltd. 144A, (3 mo. LIBOR USD + 0.800%) 3.15%, 1/15/28 (b)(c) | | | 1,049 | |
135,000 | | Noble Holding International Ltd., 7.75%, 1/15/24 (d) | | | 127 | |
250,000 | | Octagon Investment Partners XXIII Ltd. 144A, (3 mo. LIBOR USD + 0.850%) 3.11%, 7/15/27 (b)(c) | | | 250 | |
300,000 | | Seagate HDD Cayman, 3.75%, 11/15/18 | | | 301 | |
815,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD + 0.890%) 3.24%, 4/15/29 (b)(c) | | | 815 | |
| | | | | 4,860 | |
| |
Chile (USD) (1%) | | | | |
275,000 | | Banco del Estado de Chile 144A, 2.67%, 1/08/21 (b) | | | 269 | |
245,000 | | Banco Santander Chile 144A, 2.50%, 12/15/20 (b) | | | 240 | |
| | | | | 509 | |
| |
Finland (USD) (1%) | | | | |
940,000 | | Finnvera OYJ 144A, 1.88%, 10/05/20 (b) | | | 920 | |
45,000 | | Nokia OYJ, 3.38%, 6/12/22 | | | 44 | |
| | | | | 964 | |
| |
France (USD) (3%) | | | | |
220,000 | | Banque Federative du Credit Mutuel SA 144A, 2.00%, 4/12/19 (b) | | | 218 | |
480,000 | | Banque Federative du Credit Mutuel SA 144A, 2.20%, 7/20/20 (b) | | | 470 | |
645,000 | | BPCE SA, (3 mo. LIBOR USD + 0.880%) 2.86%, 5/31/22 (c) | | | 652 | |
250,000 | | BPCE SA 144A, (3 mo. LIBOR USD + 1.220%) 3.12%, 5/22/22 (b)(c) | | | 254 | |
560,000 | | Caisse d’Amortissement de la Dette Sociale 144A, 1.88%, 7/28/20 (b) | | | 549 | |
445,000 | | Credit Agricole SA/London 144A,
3.38%, 1/10/22 (b) | | | 440 | |
630,000 | | Dexia Credit Local SA 144A, 2.25%, 2/18/20 (b) | | | 624 | |
| | | | | 3,207 | |
See notes to financial statements.
68 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| |
Georgia (USD) (0%) | | | | |
400,000 | | Georgia Government International Bond 144A, 6.88%, 4/12/21 (b) | | $ | 432 | |
| |
Germany (USD) (1%) | | | | |
535,000 | | Deutsche Bank AG/New York NY, 3.15%, 1/22/21 | | | 526 | |
| |
Greece (EUR) (0%) | | | | |
200,000 | | Hellenic Republic Government Bond 144A, 3.38%, 2/15/25 EUR (b)(e)(f) | | | 240 | |
| |
Hong Kong (USD) (0%) | | | | |
200,000 | | AIA Group Ltd. 144A, 2.25%, 3/11/19 (b) | | | 198 | |
| |
India (USD) (0%) | | | | |
345,000 | | ICICI Bank Ltd./Hong Kong 144A,
5.75%, 11/16/20 (b) | | | 361 | |
| |
Indonesia (USD) (1%) | | | | |
395,000 | | Pelabuhan Indonesia III Persero PT 144A, 4.50%, 5/02/23 (b) | | | 393 | |
280,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 3.75%, 3/01/23 (b) | | | 276 | |
| | | | | 669 | |
| |
Ireland (USD) (3%) | | | | |
300,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.50%, 5/26/22 | | | 295 | |
825,000 | | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.75%, 5/15/19 | | | 831 | |
1,445,000 | | Shire Acquisitions Investments Ireland DAC, 1.90%, 9/23/19 | | | 1,420 | |
340,000 | | Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | | | 326 | |
205,000 | | SMBC Aviation Capital Finance DAC 144A, 3.00%, 7/15/22 (b) | | | 199 | |
| | | | | 3,071 | |
| |
Italy (USD) (0%) | | | | |
425,000 | | Intesa Sanpaolo SPA 144A, 3.13%, 7/14/22 (b) | | | 410 | |
| |
Japan (USD) (4%) | | | | |
560,000 | | Central Nippon Expressway Co. Ltd., 2.17%, 8/05/19 (e) | | | 556 | |
265,000 | | Daiwa Securities Group Inc. 144A,
3.13%, 4/19/22 (b) | | | 260 | |
420,000 | | Japan Bank for International Cooperation, 2.25%, 2/24/20 | | | 416 | |
200,000 | | Japan Bank for International Cooperation, (3 mo. LIBOR USD + 0.480%) 2.49%, 6/01/20 (c) | | | 201 | |
200,000 | | Mizuho Bank Ltd. 144A, 2.40%, 3/26/20 (b) | | | 197 | |
200,000 | | Mizuho Financial Group Inc. 144A,
2.63%, 4/12/21 (b) | | | 195 | |
530,000 | | Mizuho Financial Group Inc., (3 mo. LIBOR USD + 0.940%) 2.92%, 2/28/22 (c) | | | 538 | |
300,000 | | Sumitomo Mitsui Banking Corp., 2.09%, 10/18/19 | | | 296 | |
200,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, 1.95%, 9/19/19 (b) | | | 197 | |
400,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, 2.05%, 3/06/19 (b) | | | 397 | |
340,000 | | Sumitomo Mitsui Trust Bank Ltd. 144A, 2.05%, 10/18/19 (b) | | | 335 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
330,000 | | Suntory Holdings Ltd. 144A, 2.55%, 9/29/19 (b) | | $ | 327 | |
| | | | | 3,915 | |
| |
Liberia (USD) (0%) | | | | |
135,000 | | Royal Caribbean Cruises Ltd., 2.65%, 11/28/20 | | | 132 | |
| |
Luxembourg (USD) (1%) | | | | |
565,000 | | Allergan Funding SCS, 3.00%, 3/12/20 | | | 561 | |
260,000 | | Allergan Funding SCS, (3 mo. LIBOR USD + 1.255%) 3.33%, 3/12/20 (c) | | | 263 | |
| | | | | 824 | |
| |
Netherlands (USD) (5%) | | | | |
950,000 | | ABN AMRO Bank NV 144A, 2.10%, 1/18/19 (b) | | | 946 | |
540,000 | | Bank Nederlandse Gemeenten NV 144A, 1.75%, 10/05/20 (b) | | | 527 | |
405,000 | | Deutsche Telekom International Finance BV 144A, 2.23%, 1/17/20 (b) | | | 400 | |
490,000 | | ING Bank NV 144A, 2.00%, 11/26/18 (b) | | | 488 | |
235,000 | | ING Groep NV, (3 mo. LIBOR USD + 1.150%) 3.45%, 3/29/22 (c) | | | 240 | |
280,000 | | Majapahit Holding BV 144A, 7.75%, 1/20/20 (b) | | | 300 | |
370,000 | | Mondelez International Holdings Netherlands BV 144A, 1.63%, 10/28/19 (b) | | | 363 | |
280,000 | | Mylan NV, 2.50%, 6/07/19 | | | 278 | |
200,000 | | Nostrum Oil & Gas Finance BV 144A, 7.00%, 2/16/25 (b) | | | 193 | |
340,000 | | Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 7/19/19 | | | 330 | |
560,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 506 | |
| | | | | 4,571 | |
| |
New Zealand (USD) (0%) | | | | |
200,000 | | ANZ New Zealand International Ltd./London 144A, 2.20%, 7/17/20 (b) | | | 196 | |
| |
Norway (USD) (0%) | | | | |
320,000 | | DNB Bank ASA 144A, 2.13%, 10/02/20 (b) | | | 312 | |
| |
Panama (USD) (0%) | | | | |
225,000 | | Intercorp Financial Services Inc. 144A, 4.13%, 10/19/27 (b) | | | 209 | |
| |
Peru (USD) (1%) | | | | |
200,000 | | Banco de Credito del Peru/Panama 144A, 2.25%, 10/25/19 (b)(d) | | | 198 | |
320,000 | | EL Fondo MIVIVIENDA SA 144A,
3.50%, 1/31/23 (b) | | | 313 | |
320,000 | | Inretail Pharma SA 144A, 5.38%, 5/02/23 (b) | | | 325 | |
| | | | | 836 | |
| |
Senegal (USD) (0%) | | | | |
210,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (b) | | | 234 | |
| |
South Korea (USD) (0%) | | | | |
240,000 | | Hyundai Capital Services Inc. 144A,
1.63%, 8/30/19 (b) | | | 234 | |
| |
Spain (USD) (1%) | | | | |
600,000 | | Banco Santander SA, 3.13%, 2/23/23 | | | 577 | |
See notes to financial statements.
Semi-Annual Report 69
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| |
Supranational (USD) (2%) | | | | |
610,000 | | Africa Finance Corp., 4.38%, 4/29/20 (e) | | $ | 612 | |
980,000 | | European Bank for Reconstruction & Development, 1.88%, 7/15/21 | | | 952 | |
| | | | | 1,564 | |
| |
Sweden (USD) (2%) | | | | |
675,000 | | Skandinaviska Enskilda Banken AB, 1.50%, 9/13/19 | | | 662 | |
490,000 | | Svensk Exportkredit AB, 1.75%, 5/18/20 | | | 480 | |
565,000 | | Svenska Handelsbanken AB, 1.50%, 9/06/19 | | | 555 | |
| | | | | 1,697 | |
| |
Switzerland (USD) (1%) | | | | |
270,000 | | UBS AG/London 144A, 2.45%, 12/01/20 (b) | | | 264 | |
825,000 | | UBS Group Funding Switzerland AG 144A, 3.00%, 4/15/21 (b) | | | 815 | |
| | | | | 1,079 | |
| |
United Kingdom (GBP) (0%) | | | | |
265,003 | | Gosforth Funding 2016-1 PLC 144A, (3 mo. LIBOR GBP + 0.600%) 1.24%, 2/15/58 GBP (b)(c)(f) | | | 366 | |
| |
United Kingdom (USD) (3%) | | | | |
320,000 | | Anglo American Capital PLC 144A,
3.63%, 5/14/20 (b) | | | 325 | |
280,000 | | Barclays Bank PLC, (3 mo. LIBOR USD + 0.460%) 2.80%, 1/11/21 (c) | | | 281 | |
275,000 | | Barclays PLC, 3.25%, 1/12/21 | | | 273 | |
250,000 | | Imperial Brands Finance PLC 144A,
2.05%, 7/20/18 (b) | | | 249 | |
660,000 | | Royal Bank of Scotland Group PLC, (3 mo. LIBOR USD + 1.470%) 3.81%, 5/15/23 (c) | | | 669 | |
400,000 | | Santander UK PLC, 2.38%, 3/16/20 | | | 395 | |
270,000 | | Standard Chartered PLC 144A, 2.10%, 8/19/19 (b) | | | 266 | |
| | | | | 2,458 | |
| |
United States (USD) (56%) | | | | |
300,000 | | AES Corp./VA, 4.00%, 3/15/21 | | | 302 | |
165,000 | | American Express Credit Corp., 1.88%, 5/03/19 | | | 164 | |
110,000 | | AmeriCredit Automobile Receivables Trust 2016-2, 2.87%, 11/08/21 | | | 110 | |
130,000 | | Anthem Inc., 2.25%, 8/15/19 | | | 129 | |
715,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 700 | |
245,000 | | Assurant Inc., (3 mo. LIBOR USD + 1.250%) 3.54%, 3/26/21 (c) | | | 246 | |
195,000 | | Astoria Financial Corp., 3.50%, 6/08/20 | | | 194 | |
250,000 | | AT&T Inc., 2.30%, 3/11/19 | | | 250 | |
345,000 | | Athene Global Funding 144A, 2.75%, 4/20/20 (b) | | | 341 | |
130,000 | | AutoZone Inc., 1.63%, 4/21/19 | | | 129 | |
135,000 | | Bank of America Corp., 2.15%, 11/09/20 | | | 132 | |
270,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.630%) 2.33%, 10/01/21 (c) | | | 264 | |
450,000 | | Bank of America Corp., (3 mo. LIBOR USD + 0.660%) 2.37%, 7/21/21 (c) | | | 442 | |
275,000 | | Bank of America Corp., 2.63%, 4/19/21 | | | 270 | |
615,000 | | Bank of America Corp., (3 mo. LIBOR USD + 1.000%) 3.36%, 4/24/23 (c) | | | 624 | |
570,000 | | BAT Capital Corp. 144A, 2.30%, 8/14/20 (b) | | | 558 | |
530,000 | | Becton Dickinson and Co., 2.13%, 6/06/19 | | | 525 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
615,000 | | Broadcom Corp./Broadcom Cayman Finance Ltd., 2.38%, 1/15/20 | | $ | 606 | |
80,000 | | Capital Auto Receivables Asset Trust 2016-2, 2.11%, 3/22/21 | | | 79 | |
645,000 | | Capital One Financial Corp., (3 mo. LIBOR USD + 0.950%) 3.01%, 3/09/22 (c) | | | 648 | |
690,000 | | Capital One NA, 2.35%, 1/31/20 | | | 679 | |
230,000 | | Cardinal Health Inc., 1.95%, 6/14/19 | | | 228 | |
125,000 | | CBOE Global Markets Inc., 1.95%, 6/28/19 | | | 123 | |
265,000 | | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25 | | | 274 | |
385,000 | | Citibank NA, 1.85%, 9/18/19 | | | 381 | |
565,000 | | Citibank NA, 2.00%, 3/20/19 | | | 563 | |
550,000 | | Citigroup Inc., 2.65%, 10/26/20 | | | 544 | |
250,000 | | Citizens Bank NA/Providence RI, 2.20%, 5/26/20 | | | 244 | |
250,000 | | Citizens Bank NA/Providence RI, 2.25%, 3/02/20 | | | 246 | |
500,000 | | Compass Bank, 2.75%, 9/29/19 | | | 498 | |
250,000 | | Constellation Brands Inc., 2.00%, 11/07/19 | | | 246 | |
217,532 | | CSMC Trust 2013-IVR2 144A,
1.55%, 4/25/43 (b)(g) | | | 210 | |
340,000 | | CVS Health Corp., (3 mo. LIBOR USD + 0.720%) 2.78%, 3/09/21 (c) | | | 343 | |
340,000 | | CVS Health Corp., 3.13%, 3/09/20 | | | 340 | |
240,000 | | DAE Funding LLC 144A, 4.00%, 8/01/20 (b) | | | 239 | |
920,000 | | Daimler Finance North America LLC 144A, 1.50%, 7/05/19 (b) | | | 906 | |
685,000 | | Dell International LLC/EMC Corp. 144A, 3.48%, 6/01/19 (b) | | | 687 | |
300,000 | | Dell International LLC/EMC Corp. 144A, 4.42%, 6/15/21 (b) | | | 306 | |
70,000 | | Dell International LLC/EMC Corp. 144A, 5.88%, 6/15/21 (b) | | | 72 | |
375,000 | | Delta Air Lines Inc., 2.60%, 12/04/20 | | | 368 | |
215,000 | | Delta Air Lines Inc., 2.88%, 3/13/20 | | | 214 | |
300,000 | | Discover Bank, 2.60%, 11/13/18 | | | 300 | |
255,000 | | Dollar Tree Inc., (3 mo. LIBOR USD + 0.700%) 3.06%, 4/17/20 (c) | | | 256 | |
140,000 | | Dominion Energy Inc., 2.58%, 7/01/20 | | | 138 | |
420,000 | | Dominion Energy Inc., 2.96%, 7/01/19 | | | 419 | |
265,000 | | DTE Energy Co., 1.50%, 10/01/19 | | | 259 | |
230,000 | | Energy Transfer Equity LP, 4.25%, 3/15/23 | | | 223 | |
145,000 | | EQT Corp., 2.50%, 10/01/20 | | | 141 | |
335,000 | | Express Scripts Holding Co., 2.60%, 11/30/20 | | | 329 | |
1,138,144 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.600%) 2.50%, 7/25/30 (c) | | | 1,137 | |
675,370 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.950%) 2.85%, 10/25/29 (c) | | | 679 | |
270,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 2.200%) 4.10%, 8/25/30 (c) | | | 274 | |
1,015,000 | | FHLB, 2.13%, 2/11/20 | | | 1,008 | |
255,000 | | Fidelity & Guaranty Life Holdings Inc. 144A, 5.50%, 5/01/25 (b) | | | 254 | |
235,000 | | FirstCash Inc. 144A, 5.38%, 6/01/24 (b) | | | 240 | |
660,000 | | Ford Motor Credit Co. LLC, 2.02%, 5/03/19 | | | 653 | |
200,000 | | Ford Motor Credit Co. LLC, 2.26%, 3/28/19 | | | 199 | |
See notes to financial statements.
70 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
280,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.270%) 3.56%, 3/28/22 (c) | | $ | 285 | |
350,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.235%) 3.59%, 2/15/23 (c) | | | 350 | |
250,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%) 6.50%, 12/25/42 (c) | | | 265 | |
244,726 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 7.950%) 9.85%, 5/25/25 (c) | | | 299 | |
243,526 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 10.750%) 12.65%, 3/25/25 (c) | | | 334 | |
249,849 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 11.250%) 13.15%, 10/25/29 (c) | | | 280 | |
445,000 | | FS Investment Corp., 4.25%, 1/15/20 | | | 444 | |
300,000 | | GATX Corp., 2.50%, 7/30/19 | | | 298 | |
370,000 | | General Motors Financial Co. Inc., 2.40%, 5/09/19 | | | 369 | |
280,000 | | General Motors Financial Co. Inc., 2.65%, 4/13/20 | | | 277 | |
615,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 0.930%) 3.27%, 4/13/20 (c) | | | 621 | |
580,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR USD + 1.550%) 3.90%, 1/14/22 (c) | | | 595 | |
135,000 | | Glencore Funding LLC 144A, 3.00%, 10/27/22 (b) | | | 129 | |
400,000 | | Glencore Funding LLC 144A, (3 mo. LIBOR USD + 1.360%) 3.71%, 1/15/19 (b)(c) | | | 402 | |
360,000 | | GM Financial Automobile Leasing Trust 2016-1, 3.24%, 3/20/20 | | | 361 | |
640,000 | | Goldman Sachs Group Inc., 2.60%, 12/27/20 | | | 631 | |
675,000 | | Goldman Sachs Group Inc., 3.00%, 4/26/22 | | | 660 | |
30,820 | | GSAMP Trust 2004-SEA2, (1 mo. LIBOR USD + 0.650%) 2.55%, 3/25/34 (c) | | | 31 | |
295,000 | | Hewlett Packard Enterprise Co. 144A, 2.10%, 10/04/19 (b) | | | 291 | |
460,000 | | Hewlett Packard Enterprise Co., 2.85%, 10/05/18 | | | 461 | |
250,000 | | Huntington National Bank, 2.38%, 3/10/20 | | | 247 | |
310,000 | | Hyundai Auto Receivables Trust 2016-B, 2.68%, 9/15/23 | | | 301 | |
200,000 | | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 2/01/22 | | | 205 | |
457,799 | | Invitation Homes 2018-SFR1 Trust 144A, (1 mo. LIBOR USD + 0.700%) 2.64%, 3/17/37 (b)(c) | | | 457 | |
80,000 | | iStar Inc., 4.63%, 9/15/20 | | | 80 | |
280,000 | | JB Hunt Transport Services Inc., 2.40%, 3/15/19 | | | 279 | |
444,949 | | JP Morgan Mortgage Trust 2017-1 144A, 3.50%, 1/25/47 (b)(g) | | | 444 | |
899,119 | | JP Morgan Mortgage Trust 2017-5 144A, 3.00%, 10/26/48 (b)(g) | | | 895 | |
520,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD + 0.680%) 2.69%, 6/01/21 (c) | | | 523 | |
150,000 | | JPMorgan Chase & Co., 6.30%, 4/23/19 | | | 155 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
275,000 | | Kinder Morgan Inc./DE, 3.05%, 12/01/19 | | $ | 274 | |
255,000 | | Kinder Morgan Inc./DE, (3 mo. LIBOR USD + 1.280%) 3.63%, 1/15/23 (c) | | | 259 | |
55,120 | | L.A. Arena Funding LLC 144A, 7.66%, 12/15/26 (b) | | | 58 | |
350,000 | | Lennar Corp., 4.13%, 1/15/22 | | | 350 | |
5,541 | | MASTR Asset Securitization Trust 2004-6, 5.00%, 7/25/19 | | | 6 | |
240,000 | | Metropolitan Life Global Funding I 144A, 2.40%, 1/08/21 (b) | | | 235 | |
320,000 | | Molson Coors Brewing Co., 1.90%, 3/15/19 | | | 318 | |
170,000 | | Moody’s Corp., 2.75%, 12/15/21 | | | 166 | |
300,000 | | Morgan Stanley, 2.50%, 4/21/21 | | | 293 | |
350,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.140%) 3.51%, 1/27/20 (c) | | | 355 | |
710,000 | | Morgan Stanley, (3 mo. LIBOR USD + 1.180%) 3.54%, 1/20/22 (c) | | | 721 | |
324,268 | | MVW Owner Trust 2017-1 144A,
2.42%, 12/20/34 (b) | | | 316 | |
400,000 | | Nabors Industries Inc., 4.63%, 9/15/21 | | | 393 | |
411,569 | | New Residential Mortgage Loan Trust 2017-1 144A, 4.00%, 2/25/57 (b)(g) | | | 417 | |
861,498 | | New Residential Mortgage Loan Trust 2017-3 144A, 4.00%, 4/25/57 (b)(g) | | | 871 | |
846,392 | | New Residential Mortgage Loan Trust 2017-4 144A, 4.00%, 5/25/57 (b)(g) | | | 859 | |
290,000 | | Nuveen Finance LLC 144A, 2.95%, 11/01/19 (b) | | | 289 | |
125,000 | | Oasis Petroleum Inc., 6.88%, 1/15/23 | | | 129 | |
590,000 | | ONEOK Inc., 4.25%, 2/01/22 | | | 601 | |
110,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 2.50%, 6/15/19 (b) | | | 109 | |
400,000 | | Penske Truck Leasing Co. LP/PTL Finance Corp. 144A, 3.20%, 7/15/20 (b) | | | 399 | |
210,000 | | Phillips 66, (3 mo. LIBOR USD + 0.600%) 2.61%, 2/26/21 (c) | | | 210 | |
270,000 | | QEP Resources Inc., 5.38%, 10/01/22 | | | 271 | |
85,000 | | QEP Resources Inc., 6.88%, 3/01/21 | | | 92 | |
193,268 | | Residential Asset Securitization Trust 2006-A8, 6.00%, 8/25/36 | | | 170 | |
765,000 | | Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 | | | 803 | |
180,000 | | Santander Drive Auto Receivables Trust 2015-2, 3.02%, 4/15/21 | | | 180 | |
550,000 | | Santander Holdings USA Inc., 3.70%, 3/28/22 | | | 546 | |
110,000 | | Sempra Energy, 2.40%, 2/01/20 | | | 109 | |
105,000 | | Sempra Energy, (3 mo. LIBOR USD + 0.500%) 2.85%, 1/15/21 (c) | | | 105 | |
81,768 | | Sequoia Mortgage Trust 2013-1, 1.45%, 2/25/43 (g) | | | 79 | |
130,068 | | Sequoia Mortgage Trust 2013-4, 1.55%, 4/25/43 (g) | | | 124 | |
304,893 | | Sequoia Mortgage Trust 2017-CH2 144A, 4.00%, 12/25/47 (b)(g) | | | 309 | |
180,000 | | Smithfield Foods Inc. 144A, 2.65%, 10/03/21 (b) | | | 172 | |
170,000 | | Smithfield Foods Inc. 144A, 2.70%, 1/31/20 (b) | | | 167 | |
400,000 | | Southern California Edison Co., 1.85%, 2/01/22 | | | 391 | |
See notes to financial statements.
Semi-Annual Report 71
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
450,000 | | Springleaf Funding Trust 2017-A 144A, 2.68%, 7/15/30 (b) | | $ | 442 | |
420,000 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A, 3.36%, 9/20/21 (b) | | | 420 | |
100,000 | | Starwood Property Trust Inc. 144A, 3.63%, 2/01/21 (b) | | | 99 | |
80,000 | | Sunoco LP/Sunoco Finance Corp. 144A, 4.88%, 1/15/23 (b) | | | 79 | |
555,000 | | SunTrust Bank/Atlanta GA, (3 mo. LIBOR USD + 0.298%) 2.59%, 1/29/21 (c) | | | 550 | |
130,000 | | Synchrony Financial, 2.60%, 1/15/19 | | | 130 | |
220,000 | | Synchrony Financial, 3.00%, 8/15/19 | | | 220 | |
120,000 | | Synchrony Financial, (3 mo. LIBOR USD + 1.230%) 3.58%, 2/03/20 (c) | | | 122 | |
376,000 | | U.S. Treasury Note, 1.25%, 8/31/19 | | | 370 | |
532,000 | | U.S. Treasury Note, 1.25%, 10/31/19 (h) | | | 523 | |
2,110,000 | | U.S. Treasury Note, 2.00%, 1/31/20 | | | 2,094 | |
4,645,000 | | U.S. Treasury Note, 2.25%, 3/31/20 | | | 4,625 | |
120,000 | | United Continental Holdings Inc., 6.38%, 6/01/18 | | | 120 | |
560,000 | | VEREIT Operating Partnership LP, 4.13%, 6/01/21 | | | 569 | |
620,000 | | Verizon Communications Inc., (3 mo. LIBOR USD + 0.550%) 2.45%, 5/22/20 (c) | | | 624 | |
570,000 | | Verizon Communications Inc., (3 mo. LIBOR USD + 1.000%) 3.15%, 3/16/22 (c) | | | 582 | |
145,000 | | VFH Parent LLC/Orchestra Co-Issuer Inc. 144A, 6.75%, 6/15/22 (b) | | | 151 | |
240,000 | | ViaSat Inc. 144A, 5.63%, 9/15/25 (b) | | | 230 | |
56,520 | | VOLT XXV LLC 144A, 3.50%, 6/26/45 (b) | | | 57 | |
160,000 | | Westlake Automobile Receivables Trust 2016-2 144A, 4.10%, 6/15/21 (b) | | | 162 | |
330,000 | | Westlake Automobile Receivables Trust 2017-1 144A, 2.70%, 10/17/22 (b) | | | 329 | |
255,000 | | Whiting Petroleum Corp., 5.75%, 3/15/21 | | | 262 | |
| | | | | 55,808 | |
| |
Vietnam (USD) (1%) | | | | |
500,000 | | Vietnam Government International Bond 144A, 6.75%, 1/29/20 (b) | | | 527 | |
| |
Virgin Islands (British) (USD) (1%) | | | | |
585,000 | | Sinopec Group Overseas Development 2017 Ltd. 144A, 2.38%, 4/12/20 (b) | | | 574 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
210,000 | | Want Want China Finance Ltd. 144A, 1.88%, 5/14/18 (b) | | $ | 210 | |
| | | | | 784 | |
Total Bonds (Cost - $100,515) | | | 99,764 | |
| |
Investment Company (1%) | | | | |
1,054,792 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $1,055) | | | 1,055 | |
Purchased Swaptions (0%) | | | | |
Total Purchased Swaptions (Cost - $38) | | | 15 | |
| |
Total Investments, Before Options Written (Cost - $101,813) (101%) | | | 101,041 | |
Written Swaptions (0%) Total Written Swaptions (Cost - $(38)) | | | (19 | ) |
| |
Total Investments (Cost - $101,775) (101%) | | | 101,022 | |
Liabilities in excess of Other Assets (-1%) | | | (920 | ) |
Net Assets (100%) | | $ | 100,102 | |
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (b) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (d) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $550 and the total market value of the collateral held by the Fund is $568. Amount in 000s. |
| (e) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (f) | Principal in foreign currency. |
| (g) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
| (h) | All or a portion of the security is pledged to cover futures contract margin requirements. |
Purchased Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | | | Notional
Amount
(000s) | | Expiration
date | | Value
(000s) | | Call/Put |
Purchased Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7385% | | | | BNP PARIBAS | | | | | | $ | 13,100 | | | | | 09/24/2018 | | | | $ | 15 | | | | | Call | |
Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
72 Payden Mutual Funds
Written Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | | | Notional
Amount
(000s) | | Expiration
date | | Value
(000s) | | Call/Put |
Written Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7825% | | | | BNP PARIBAS | | | | | | $ | 5,500 | | | | | 09/24/2018 | | | | $ | (19 | ) | | | | Call | |
Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000) | | | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | |
| CAD 660 | | | | USD 513 | | | | | | | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | $ | 2 | |
| COP 605,000 | | | | USD 213 | | | | | | | | | | State Street Bank & Trust Co. | | | | | 05/11/2018 | | | | | 2 | |
| USD 243 | | | | EUR 197 | | | | | | | | | | Citibank, N.A. | | | | | 05/08/2018 | | | | | 5 | |
| USD 525 | | | | CAD 660 | | | | | | | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | 10 | |
| USD 511 | | | | NZD 709 | | | | | | | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | 13 | |
| USD 443 | | | | GBP 314 | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/08/2018 | | | | | 10 | |
| USD 533 | | | | NOK 4,169 | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | 13 | |
| USD 761 | | | | EUR 618 | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 07/27/2018 | | | | | 9 | |
| USD 218 | | | | COP 605,000 | | | | | | | | | | State Street Bank & Trust Co. | | | | | 05/11/2018 | | | | | 2 | |
| USD 201 | | | | BRL 701 | | | | | | | | | | State Street Bank & Trust Co. | | | | | 05/16/2018 | | | | | 2 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | 68 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | |
| BRL 701 | | | | USD 211 | | | | | | | | | | State Street Bank & Trust Co. | | | | | 05/16/2018 | | | | | (11 | ) |
| CAD 673 | | | | USD 532 | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (8 | ) |
| IDR 11,143,000 | | | | USD 804 | | | | | | | | | | Barclays Bank PLC | | | | | 07/24/2018 | | | | | (11 | ) |
| JPY 163,600 | | | | USD 1,549 | | | | | | | | | | State Street Bank & Trust Co. | | | | | 06/14/2018 | | | | | (48 | ) |
| MYR 1,678 | | | | USD 434 | | | | | | | | | | Barclays Bank PLC | | | | | 05/30/2018 | | | | | (6 | ) |
| NOK 4,169 | | | | USD 537 | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (17 | ) |
| NOK 5,977 | | | | USD 759 | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 07/27/2018 | | | | | (12 | ) |
| NZD 709 | | | | USD 519 | | | | | | | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | (20 | ) |
| RUB 12,520 | | | | USD 201 | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/17/2018 | | | | | (3 | ) |
| USD 524 | | | | CAD 673 | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | — | |
| ZAR 2,560 | | | | USD 211 | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/11/2018 | | | | | (6 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | (142 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | | | | | | $ | (74 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 73
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(Depreciation)
(000s) |
Long Contracts: | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar Future | | 112 | | Dec-18 | | | $ | 27,259 | | | | $ | (120 | ) | | | $ | (120 | ) |
U.S. Treasury 2 Year Note Future | | 62 | | Jun-18 | | | | 13,147 | | | | | (27 | ) | | | | (27 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | (147 | ) |
| | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar Future | | 112 | | Dec-19 | | | | (27,168 | ) | | | | 154 | | | | | 154 | |
Euro-Bobl Future | | 3 | | Jun-18 | | | | (475 | ) | | | | (2 | ) | | | | (2 | ) |
Euro-Bund Future | | 16 | | Jun-18 | | | | (3,067 | ) | | | | (22 | ) | | | | (22 | ) |
U.S. Treasury 10 Year Note Future | | 11 | | Jun-18 | | | | (1,316 | ) | | | | 6 | | | | | 6 | |
U.S. Treasury 5 Year Note Future | | 60 | | Jun-18 | | | | (6,810 | ) | | | | 21 | | | | | 21 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | 157 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Futures | | | | | | | | | | | | | | | | | $ | 10 | |
| | | | | | | | | | | | | | | | | | | |
Offsetting Asset and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | $ | 550 | |
Non-cash Collateral2 | | | (550) | |
| | | | |
Net Amount | | $ | — | |
| | | | |
| 1 | The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis. |
| 2 | At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments. |
See notes to financial statements.
74 Payden Mutual Funds
| | | | | | | | |
The Fund seeks a high level of total return that is
consistent with preservation of capital by generally
investing in investment grade debt securities denominated
in U.S. and foreign currencies with an average portfolio maturity not to exceed ten years. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Foreign Government | | | 40% | | |
| | Corporate | | | 33% | | |
| | Mortgage Backed | | | 10% | | |
| | U.S. Treasury | | | 9% | | |
| | Investment Company | | | 5% | | |
| | Other | | | 3% | | |
| | | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
Bonds (99%) | | | | |
Argentina (EUR) (0%) | | | | |
140,000 | | Argentine Republic Government International Bond, 3.38%, 1/15/23 | | $ | 168 | |
| |
Argentina (USD) (1%) | | | | |
300,000 | | Argentine Republic Government International Bond, 4.63%, 1/11/23 | | | 287 | |
280,000 | | Provincia de Buenos Aires/Argentina 144A, 5.75%, 6/15/19(a) | | | 285 | |
| | | | | 572 | |
| |
Armenia (USD) (0%) | | | | |
400,000 | | Republic of Armenia International Bond 144A, 6.00%, 9/30/20(a) | | | 410 | |
| |
Australia (AUD) (1%) | | | | |
450,000 | | Australia Government Bond, 1.75%, 11/21/20(b) | | | 336 | |
1,100,000 | | Australia Government Bond, 3.25%, 4/21/25(b) | | | 861 | |
| | | | | 1,197 | |
| |
Australia (GBP) (1%) | | | | |
400,000 | | Westfield America Management Ltd., 2.63%, 3/30/29(b) | | | 546 | |
| |
Australia (USD) (0%) | | | | |
250,000 | | Macquarie Bank Ltd. 144A, 6.63%, 4/07/21(a) | | | 270 | |
190,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR USD + 1.372%) 3.76%, 11/28/28(a)(c) | | | 177 | |
90,000 | | Suncorp-Metway Ltd. 144A, 2.35%, 4/27/20(a) | | | 89 | |
| | | | | 536 | |
| |
Austria (EUR) (0%) | | | | |
120,000 | | Austria Government Bond 144A,
1.65%, 10/21/24(a)(b) | | | 158 | |
120,000 | | Austria Government Bond 144A,
2.40%, 5/23/34(a)(b) | | | 172 | |
50,000 | | Austria Government Bond 144A,
3.15%, 6/20/44(a)(b) | | | 84 | |
| | | | | 414 | |
| |
Belgium (EUR) (1%)
| | | | |
100,000 | | Belgium Government Bond 144A,
0.80%, 6/22/25(a)(b) | | | 124 | |
400,000 | | Belgium Government Bond 144A,
1.00%, 6/22/31(a)(b) | | | 481 | |
60,000 | | Belgium Government Bond 144A,
1.60%, 6/22/47(a)(b) | | | 72 | |
250,000 | | Belgium Government Bond, 3.00%, 9/28/19(b) | | | 317 | |
| | | | | 994 | |
| |
Bermuda (USD) (0%) | | | | |
425,000 | | Bacardi Ltd. 144A, 4.45%, 5/15/25(a)(d) | | | 424 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
Brazil (USD) (0%) | | | | |
270,000 | | Brazilian Government International Bond, 4.88%, 1/22/21 | | $ | 279 | |
| |
Canada (CAD) (2%) | | | | |
1,200,000 | | Canadian Government Bond, 2.25%, 6/01/25 | | | 936 | |
380,000 | | Canadian Government Bond, 3.50%, 12/01/45 | | | 361 | |
1,000,000 | | Canadian Government Bond, 3.75%, 6/01/19 | | | 796 | |
350,000 | | Canadian Government Bond, 5.00%, 6/01/37 | | | 382 | |
100,000 | | Canadian Government Bond, 5.75%, 6/01/29 | | | 104 | |
| | | | | 2,579 | |
| |
Canada (USD) (2%) | | | | |
360,000 | | 1011778 BC ULC/New Red Finance Inc. 144A, 5.00%, 10/15/25(a) | | | 348 | |
487,000 | | Cenovus Energy Inc., 6.75%, 11/15/39 | | | 555 | |
356,000 | | Encana Corp., 3.90%, 11/15/21 | | | 359 | |
200,000 | | Encana Corp., 6.63%, 8/15/37 | | | 244 | |
405,000 | | Manulife Financial Corp., (5 yr. Swap Semi 30/360 US + 1.647%) 4.06%, 2/24/32(c) | | | 391 | |
| | | | | 1,897 | |
| |
Cayman Islands (USD) (1%) | | | | |
290,000 | | Atrium XII 144A, (3 mo. LIBOR USD + 2.800%) 5.16%, 4/22/27(a)(c) | | | 291 | |
650,000 | | CIFC Funding 2017-III Ltd. 144A, (3 mo. LIBOR USD + 1.800%) 4.16%, 7/20/30(a)(c) | | | 652 | |
385,000 | | Madison Park Funding XIV Ltd. 144A, (3 mo. LIBOR USD + 1.120%) 3.48%, 7/20/26(a)(c) | | | 386 | |
380,000 | | Madison Park Funding XIV Ltd. 144A, (3 mo. LIBOR USD + 2.050%) 4.41%, 7/20/26(a)(c) | | | 380 | |
65,000 | | Seagate HDD Cayman, 4.88%, 3/01/24 | | | 64 | |
| | | | | 1,773 | |
| |
Chile (USD) (0%) | | | | |
216,574 | | Latam Airlines 2015-1 Pass-Through Trust A, 4.20%, 11/15/27 | | | 208 | |
| |
Colombia (USD) (0%) | | | | |
420,000 | | Colombia Government International Bond, 3.88%, 4/25/27 | | | 406 | |
| |
Costa Rica (USD) (0%) | | | | |
200,000 | | Costa Rica Government International Bond 144A, 4.25%, 1/26/23(a) | | | 192 | |
| |
Dominica Republic (USD) (0%) | | | | |
200,000 | | Dominican Republic International Bond 144A, 5.50%, 1/27/25(a) | | | 201 | |
| |
Egypt (EUR) (0%) | | | | |
300,000 | | Egypt Government International Bond 144A, 4.75%, 4/16/26(a) | | | 362 | |
Semi-Annual Report 75
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
Finland (EUR) (0%) | | | | |
170,000 | | Finland Government Bond 144A,
2.75%, 7/04/28(a)(b) | | $ | 246 | |
| |
France (EUR) (4%) | | | | |
510,000 | | France Government Bond OAT, 1.00%, 5/25/18(b) | | | 616 | |
350,000 | | France Government Bond OAT 144A, 1.25%, 5/25/36(a)(b) | | | 420 | |
1,120,000 | | France Government Bond OAT, 1.75%, 11/25/24(b) | | | 1,480 | |
1,390,000 | | France Government Bond OAT, 3.25%, 5/25/45(b) | | | 2,311 | |
| | | | | 4,827 | |
| |
France (GBP) (1%) | | | | |
300,000 | | AXA SA, (3 mo. LIBOR GBP + 3.270%) 5.63%, 1/16/54(b)(c) | | | 466 | |
150,000 | | Cie de Saint-Gobain, 4.63%, 10/09/29(b) | | | 242 | |
100,000 | | Cie de Saint-Gobain, 4.63%, 10/09/29(b) | | | 161 | |
| | | | | 869 | |
| |
France (USD) (1%) | | | | |
530,000 | | BPCE SA, (3 mo. LIBOR USD + 0.880%) 2.86%, 5/31/22(c) | | | 536 | |
500,000 | | Credit Agricole SA/London 144A,
3.25%, 10/04/24(a) | | | 476 | |
| | | | | 1,012 | |
| |
Germany (EUR) (4%) | | | | |
900,000 | | Bundesrepublik Deutschland Bundesanleihe, 0.00%, 8/15/26(b) | | | 1,054 | |
1,800,000 | | Bundesrepublik Deutschland Bundesanleihe, 0.50%, 2/15/26(b) | | | 2,205 | |
450,000 | | Bundesrepublik Deutschland Bundesanleihe, 1.25%, 8/15/48(b) | | | 545 | |
110,000 | | Bundesrepublik Deutschland Bundesanleihe, 3.25%, 7/04/42(b) | | | 193 | |
450,000 | | Bundesrepublik Deutschland Bundesanleihe, 4.75%, 7/04/34(b) | | | 859 | |
80,000 | | Bundesrepublik Deutschland Bundesanleihe, 4.75%, 7/04/40(b) | | | 167 | |
450,000 | | Volkswagen Leasing GmbH, 1.38%, 1/20/25(b) | | | 548 | |
| | | | | 5,571 | |
| |
Hong Kong (USD) (1%) | | | | |
715,000 | | ICBCIL Finance Co. Ltd. 144A, 2.38%, 5/19/19(a) | | | 706 | |
| |
Iceland (EUR) (1%) | | | | |
502,000 | | Islandsbanki HF, 1.75%, 9/07/20(b) | | | 626 | |
400,000 | | Landsbankinn HF, 1.63%, 3/15/21(b) | | | 499 | |
| | | | | 1,125 | |
| |
Indonesia (EUR) (0%) | | | | |
290,000 | | Indonesia Government International Bond 144A, 3.75%, 6/14/28(a) | | | 400 | |
| |
Indonesia (USD) (0%) | | | | |
200,000 | | Indonesia Government International Bond 144A, 4.13%, 1/15/25(a) | | | 200 | |
310,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 4.15%, 3/29/27(a) | | | 302 | |
| | | | | 502 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
Ireland (EUR) (1%) | | | | |
100,000 | | Ireland Government Bond, 3.40%, 3/18/24(b) | | $ | 143 | |
100,000 | | Johnson Controls International PLC, 1.00%, 9/15/23 | | | 121 | |
390,000 | | Liberty Mutual Finance Europe DAC 144A, 1.75%, 3/27/24(a) | | | 481 | |
| | | | | 745 | |
| |
Ireland (USD) (1%) | | | | |
220,000 | | Shire Acquisitions Investments Ireland DAC, 2.40%, 9/23/21 | | | 211 | |
185,000 | | Shire Acquisitions Investments Ireland DAC, 2.88%, 9/23/23 | | | 175 | |
535,000 | | SMBC Aviation Capital Finance DAC 144A, 2.65%, 7/15/21(a) | | | 519 | |
| | | | | 905 | |
| |
Italy (EUR) (4%) | | | | |
270,000 | | Assicurazioni Generali SPA, (3 mo. EURIBOR + 5.350%) 5.00%, 6/08/48(b)(c) | | | 365 | |
690,000 | | Italy Buoni Poliennali Del Tesoro, 4.50%, 8/01/18 | | | 844 | |
1,180,000 | | Italy Buoni Poliennali Del Tesoro, 4.50%, 5/01/23 | | | 1,694 | |
430,000 | | Italy Buoni Poliennali Del Tesoro, 5.00%, 8/01/39(b) | | | 721 | |
680,000 | | Italy Buoni Poliennali Del Tesoro, 5.25%, 11/01/29 | | | 1,099 | |
| | | | | 4,723 | |
| |
Japan (JPY) (15%) | | | | |
567,400,000 | | Japan Government Ten Year Bond, 0.30%, 12/20/25 | | | 5,318 | |
325,000,000 | | Japan Government Ten Year Bond, 0.80%, 9/20/23 | | | 3,116 | |
375,000,000 | | Japan Government Ten Year Bond, 1.20%, 6/20/21 | | | 3,574 | |
230,800,000 | | Japan Government Thirty Year Bond, 1.40%, 12/20/45 | | | 2,477 | |
3,000,000 | | Japan Government Thirty Year Bond, 2.00%, 9/20/40 | | | 35 | |
5,000,000 | | Japan Government Thirty Year Bond, 2.20%, 9/20/39 | | | 61 | |
100,000,000 | | Japan Government Thirty Year Bond, 2.30%, 3/20/39 | | | 1,227 | |
254,500,000 | | Japan Government Twenty Year Bond, 1.70%, 9/20/33 | | | 2,814 | |
| | | | | 18,622 | |
| |
Japan (USD) (1%) | | | | |
620,000 | | Mizuho Financial Group Inc., 2.95%, 2/28/22 | | | 606 | |
| |
Jersey (EUR) (0%) | | | | |
400,000 | | Glencore Finance Europe Ltd., 1.88%, 9/13/23(b) | | | 502 | |
| |
Jersey (GBP) (0%) | | | | |
300,000 | | Heathrow Funding Ltd., 7.13%, 2/14/24(b) | | | 513 | |
| |
Kenya (USD) (0%) | | | | |
525,000 | | Kenya Government International Bond 144A, 5.88%, 6/24/19(a) | | | 534 | |
| |
Luxembourg (EUR) (1%) | | | | |
750,000 | | Allergan Funding SCS, 1.25%, 6/01/24 | | | 892 | |
76 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Luxembourg (USD) (0%) | | | | |
240,000 | | Allergan Funding SCS, 3.45%, 3/15/22 | | $ | 236 | |
| |
Mexico (MXN) (0%) | | | | |
5,500,000 | | Mexican Bonos, 6.50%, 6/10/21 | | | 287 | |
| |
Morocco (USD) (1%) | | | | |
550,000 | | Morocco Government International Bond 144A, 4.25%, 12/11/22(a) | | | 554 | |
| |
Netherlands (EUR) (1%) | | | | |
300,000 | | Netherlands Government Bond 144A, 0.50%, 7/15/26(a)(b) | | | 363 | |
130,000 | | Netherlands Government Bond 144A, 2.25%, 7/15/22(a)(b) | | | 173 | |
130,000 | | Netherlands Government Bond 144A, 4.00%, 1/15/37(a)(b) | | | 237 | |
400,000 | | NN Group NV, (3 mo. EURIBOR + 4.950%) 4.63%, 1/13/48(b)(c) | | | 540 | |
220,000 | | Teva Pharmaceutical Finance Netherlands II BV, 1.13%, 10/15/24(b) | | | 225 | |
110,000 | | Teva Pharmaceutical Finance Netherlands II BV 144A, 4.50%, 3/01/25(a) | | | 135 | |
| | | | | 1,673 | |
| |
Netherlands (USD) (2%) | | | | |
200,000 | | ABN AMRO Bank NV, (5 yr. Swap Semi 30/360 US + 2.197%) 4.40%, 3/27/28(b)(c) | | | 200 | |
550,000 | | Cooperatieve Rabobank UA, 3.13%, 4/26/21 | | | 549 | |
600,000 | | Mylan NV, 3.15%, 6/15/21 | | | 589 | |
300,000 | | Teva Pharmaceutical Finance Netherlands III BV, 1.70%, 7/19/19 | | | 292 | |
250,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.20%, 7/21/21 | | | 226 | |
255,000 | | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | | | 214 | |
| | | | | 2,070 | |
| |
New Zealand (USD) (1%) | | | | |
750,000 | | ANZ New Zealand International Ltd./London 144A, 2.13%, 7/28/21(a) | | | 720 | |
250,000 | | BNZ International Funding Ltd./London 144A, 2.10%, 9/14/21(a) | | | 240 | |
| | | | | 960 | |
| |
Panama (USD) (0%) | | | | |
200,000 | | Panama Government International Bond, 3.88%, 3/17/28 | | | 197 | |
| |
Poland (PLN) (0%) | | | | |
500,000 | | Poland Government Bond, 5.25%, 10/25/20 | | | 155 | |
| |
Romania (USD) (1%) | | | | |
555,000 | | Romanian Government International Bond 144A, 4.38%, 8/22/23(a) | | | 564 | |
| |
Saudi Arabia (USD) (1%) | | | | |
450,000 | | Saudi Government International Bond 144A, 3.25%, 10/26/26(a) | | | 416 | |
600,000 | | Saudi Government International Bond 144A, 3.63%, 3/04/28(a) | | | 562 | |
700,000 | | Saudi Government International Bond 144A, 4.50%, 4/17/30(a) | | | 692 | |
| | | | | 1,670 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Senegal (EUR) (0%) | | | | |
450,000 | | Senegal Government International Bond 144A, 4.75%, 3/13/28(a) | | $ | 540 | |
| |
Senegal (USD) (0%) | | | | |
295,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21(a) | | | 329 | |
| |
Spain (EUR) (2%) | | | | |
1,000,000 | | Spain Government Bond, 0.75%, 7/30/21 | | | 1,241 | |
200,000 | | Spain Government Bond 144A,
1.95%, 4/30/26(a)(b) | | | 260 | |
600,000 | | Spain Government Bond 144A,
1.95%, 7/30/30(a)(b) | | | 759 | |
120,000 | | Spain Government Bond 144A,
2.90%, 10/31/46(a)(b) | | | 164 | |
500,000 | | Telefonica Emisiones SAU, 1.53%, 1/17/25(b) | | | 620 | |
| | | | | 3,044 | |
| |
Sri Lanka (USD) (0%) | | | | |
300,000 | | Sri Lanka Government International Bond 144A, 5.88%, 7/25/22(a) | | | 303 | |
200,000 | | Sri Lanka Government International Bond 144A, 6.00%, 1/14/19(a) | | | 203 | |
| | | | | 506 | |
| |
Switzerland (USD) (0%) | | | | |
210,000 | | UBS Group Funding Switzerland AG 144A, 3.49%, 5/23/23(a) | | | 206 | |
| |
Turkey (USD) (0%) | | | | |
400,000 | | Turkey Government International Bond, 5.63%, 3/30/21 | | | 413 | |
| |
United Kingdom (EUR) (1%) | | | | |
250,000 | | Anglo American Capital PLC, 1.63%, 9/18/25(b) | | | 303 | |
500,000 | | BP Capital Markets PLC, 1.08%, 6/26/25(b) | | | 606 | |
500,000 | | Nationwide Building Society, (5 yr. Euro Swap + 1.500%) 2.00%, 7/25/29(b)(c) | | | 606 | |
| | | | | 1,515 | |
| |
United Kingdom (GBP) (4%) | | | | |
300,000 | | Anglian Water Services Financing PLC, 2.63%, 6/15/27(b) | | | 397 | |
350,000 | | Barclays PLC, 3.25%, 2/12/27(b) | | | 480 | |
450,000 | | BP Capital Markets PLC, 1.18%, 8/12/23(b) | | | 604 | |
310,000 | | HSBC Bank PLC, (3 mo. LIBOR GBP + 1.500%) 5.38%, 11/04/30(c) | | | 498 | |
549,608 | | Ripon Mortgages PLC 144A, (3 mo. LIBOR GBP + 0.800%) 1.35%, 8/20/56(a)(c) | | | 763 | |
100,000 | | United Kingdom Gilt, 0.50%, 7/22/22(b) | | | 135 | |
260,000 | | United Kingdom Gilt, 4.25%, 12/07/55(b) | | | 611 | |
260,000 | | United Kingdom Gilt, 4.25%, 12/07/55(b) | | | 612 | |
470,000 | | United Kingdom Gilt, 4.75%, 12/07/38(b) | | | 977 | |
220,000 | | United Kingdom Gilt, 5.00%, 3/07/25(b) | | | 378 | |
| | | | | 5,455 | |
| |
United Kingdom (USD) (2%) | | | | |
230,000 | | Anglo American Capital PLC 144A,
4.75%, 4/10/27(a) | | | 230 | |
440,000 | | Barclays PLC, 3.68%, 1/10/23 | | | 435 | |
670,000 | | HSBC Holdings PLC, 2.95%, 5/25/21 | | | 663 | |
200,000 | | Lloyds Banking Group PLC, 3.00%, 1/11/22 | | | 196 | |
500,000 | | Santander UK Group Holdings PLC, (3 mo. LIBOR USD + 1.400%) 3.82%, 11/03/28(c) | | | 470 | |
| | | | | 1,994 | |
Semi-Annual Report 77
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
United States (EUR) (3%) | | | | |
150,000 | | Berkshire Hathaway Inc., 1.30%, 3/15/24 | | $ | 187 | |
450,000 | | Blackstone Holdings Finance Co. LLC 144A, 1.00%, 10/05/26(a) | | | 530 | |
400,000 | | General Motors Financial Co. Inc.,
0.96%, 9/07/23(b) | | | 482 | |
150,000 | | McKesson Corp., 1.50%, 11/17/25 | | | 183 | |
200,000 | | McKesson Corp., 1.63%, 10/30/26 | | | 244 | |
400,000 | | Procter & Gamble Co., 1.25%, 10/25/29 | | | 481 | |
650,000 | | Southern Power Co., 1.00%, 6/20/22 | | | 798 | |
250,000 | | Verizon Communications Inc., 2.88%, 1/15/38 | | | 305 | |
| | | | | 3,210 | |
| |
United States (GBP) (0%) | | | | |
110,000 | | Textron Inc., 6.63%, 4/07/20 | | | 164 | |
| |
United States (USD) (35%) | | | | |
420,316 | | American Airlines 2016-1 Class B Pass-Through Trust, 5.25%, 1/15/24 | | | 435 | |
390,000 | | American Equity Investment Life Holding Co., 5.00%, 6/15/27 | | | 388 | |
350,000 | | Ares Capital Corp., 3.63%, 1/19/22 | | | 343 | |
550,000 | | AT&T Inc., 3.60%, 2/17/23 | | | 548 | |
630,000 | | Bank of America Corp., 7.75%, 5/14/38 | | | 859 | |
200,000 | | Barrick North America Finance LLC, 7.50%, 9/15/38 | | | 258 | |
135,000 | | Boardwalk Pipelines LP, 4.45%, 7/15/27 | | | 132 | |
500,000 | | Boise Cascade Co. 144A, 5.63%, 9/01/24(a) | | | 509 | |
300,000 | | Capital One Financial Corp., 4.75%, 7/15/21 | | | 312 | |
350,000 | | Capital One NA, 2.40%, 9/05/19 | | | 347 | |
480,000 | | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25 | | | 497 | |
549,150 | | Colony Starwood Homes 2016-2 Trust 144A, (1 mo. LIBOR USD + 1.250%) 3.17%, 12/17/33(a)(c) | | | 554 | |
255,000 | | CVS Health Corp., 3.70%, 3/09/23 | | | 254 | |
250,000 | | CVS Health Corp., 4.78%, 3/25/38 | | | 248 | |
540,000 | | Dell International LLC/EMC Corp. 144A, 4.42%, 6/15/21(a) | | | 550 | |
325,000 | | Dell International LLC/EMC Corp. 144A, 8.35%, 7/15/46(a) | | | 401 | |
40,000 | | Delta Air Lines Inc., 2.88%, 3/13/20 | | | 40 | |
90,000 | | Dignity Health, 3.13%, 11/01/22 | | | 89 | |
300,000 | | Discover Bank, 3.10%, 6/04/20 | | | 299 | |
545,875 | | Domino’s Pizza Master Issuer LLC 144A, 3.08%, 7/25/47(a) | | | 530 | |
387,075 | | Domino’s Pizza Master Issuer LLC 144A, (3 mo. LIBOR USD + 1.250%) 3.61%, 7/25/47(a)(c) | | | 389 | |
152,000 | | Dow Chemical Co., 9.40%, 5/15/39 | | | 239 | |
320,000 | | Energy Transfer Partners LP, 6.50%, 2/01/42 | | | 340 | |
430,000 | | EnLink Midstream Partners LP, 5.45%, 6/01/47 | | | 416 | |
454,736 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.550%) 2.45%, 1/25/30(c) | | | 455 | |
450,247 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.950%) 2.85%, 10/25/29(c) | | | 453 | |
250,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.250%) 6.15%, 1/25/29(c) | | | 285 | |
330,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.250%) 6.15%, 4/25/29(c) | | | 376 | |
170,000 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 4.450%) 6.35%, 1/25/29(c) | | | 191 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
499,807 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.250%) 12.15%, 1/25/29(c) | | $ | 680 | |
499,866 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 10.750%) 12.65%, 1/25/29(c) | | | 659 | |
740,000 | | FN, 2.50%, 15YR TBA(e) | | | 720 | |
1,200,000 | | FN, 3.00%, 15YR TBA(e) | | | 1,190 | |
1,170,000 | | FN, 3.00%, 30YR TBA(e) | | | 1,129 | |
560,000 | | FN, 3.50%, 30YR TBA(e) | | | 556 | |
1,830,000 | | FN, 4.00%, 30YR TBA(e) | | | 1,864 | |
1,310,000 | | FN, 4.50%, 30YR TBA(e) | | | 1,365 | |
530,174 | | FN AS4885, 3.50%, 5/01/45 | | | 528 | |
430,000 | | Ford Motor Co., 4.35%, 12/08/26 | | | 423 | |
400,000 | | Ford Motor Co., 4.75%, 1/15/43 | | | 358 | |
470,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD + 1.235%) 3.59%, 2/15/23(c) | | | 470 | |
359,659 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%) 3.10%, 10/25/29(c) | | | 364 | |
600,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.300%) 3.20%, 4/25/29(c) | | | 609 | |
250,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 3.250%) 5.15%, 7/25/29(c) | | | 271 | |
110,000 | | FS Investment Corp., 4.25%, 1/15/20 | | | 110 | |
720,000 | | G2, 3.50%, 30YR TBA(e) | | | 721 | |
350,000 | | General Motors Co., 6.25%, 10/02/43 | | | 375 | |
750,000 | | Goldman Sachs Group Inc., 5.38%, 3/15/20 | | | 782 | |
310,000 | | Goldman Sachs Group Inc., 6.75%, 10/01/37 | | | 377 | |
27,200 | | GreenPoint Mortgage Funding Trust, (1 mo. LIBOR USD + 0.560%) 2.46%, 6/25/45(c) | | | 26 | |
500,000 | | HCA Inc., 5.38%, 2/01/25 | | | 499 | |
385,000 | | International Lease Finance Corp., 5.88%, 4/01/19 | | | 395 | |
375,000 | | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | | | 414 | |
525,000 | | KKR Group Finance Co. II LLC 144A, 5.50%, 2/01/43(a) | | | 551 | |
450,000 | | Meritage Homes Corp., 5.13%, 6/06/27 | | | 428 | |
170,000 | | Nationwide Mutual Insurance Co. 144A, 9.38%, 8/15/39(a) | | | 269 | |
356,612 | | New Residential Mortgage Loan Trust 2017-2 144A, 4.00%, 3/25/57(a)(f) | | | 361 | |
485,000 | | Northwell Healthcare Inc., 4.26%, 11/01/47 | | | 468 | |
150,000 | | Old Republic International Corp., 4.88%, 10/01/24 | | | 156 | |
320,000 | | ONEOK Partners LP, 6.65%, 10/01/36 | | | 382 | |
63,000 | | Pacific Life Insurance Co. 144A, 9.25%, 6/15/39(a) | | | 99 | |
110,000 | | Prudential Financial Inc., (3 mo. LIBOR USD + 3.920%) 5.63%, 6/15/43(c) | | | 115 | |
240,000 | | QEP Resources Inc., 5.38%, 10/01/22 | | | 241 | |
210,000 | | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 144A, 5.13%, 7/15/23(a) | | | 212 | |
380,000 | | Sabine Pass Liquefaction LLC, 5.63%, 2/01/21 | | | 399 | |
78 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | |
110,000 | | Santander Holdings USA Inc., 2.65%, 4/17/20 | | | $ 109 | |
500,000 | | SLM Corp., 5.13%, 4/05/22 | | | 506 | |
240,000 | | SM Energy Co., 6.13%, 11/15/22 | | | 244 | |
330,000 | | Solvay Finance America LLC 144A, 3.40%, 12/03/20(a) | | | 330 | |
250,000 | | Sprint Communications Inc, 6.00%, 11/15/22 | | | 256 | |
200,000 | | Synchrony Financial, 4.25%, 8/15/24 | | | 197 | |
493,750 | | Taco Bell Funding LLC 144A, 3.83%, 5/25/46(a) | | | 497 | |
5,000,000 | | U.S. Treasury Bill, 0.86%, 6/07/18(g) | | | 4,992 | |
680,000 | | U.S. Treasury Bond, 2.25%, 8/15/46 | | | 572 | |
2,850,000 | | U.S. Treasury Bond, 5.38%, 2/15/31 | | | 3,583 | |
1,824,000 | | U.S. Treasury Note, 1.25%, 4/30/19(h) | | | 1,805 | |
1,600,000 | | U.S. Treasury Note, 1.63%, 2/15/26 | | | 1,456 | |
500,000 | | Wells Fargo & Co., 5.38%, 11/02/43 | | | 538 | |
215,000 | | Welltower, Inc., 4.95%, 1/15/21 | | | 223 | |
240,000 | | Whiting Petroleum Corp., 5.75%, 3/15/21 | | | 246 | |
| | | | �� | 44,857 | |
| |
Uruguay (USD) (0%) | | | | |
325,000 | | Uruguay Government International Bond, | | | | |
| | 4.38%, 10/27/27 | | | 328 | |
117,842 | | Uruguay Government International Bond, | | | | |
| | 4.98%, 4/20/55 | | | 114 | |
| | | | | 442 | |
| |
Virgin Islands (British) (USD) (1%) | | | | |
650,000 | | Sinopec Group Overseas Development 2016 Ltd. | | | | |
| | 144A, 2.00%, 9/29/21(a) | | | 619 | |
Total Bonds (Cost - $126,800) | | | 128,118 | |
| | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| |
Preferred Stock (0%) | | | | |
120 | | Wells Fargo & Co., 7.50% | | | | |
| | (Cost - $154) | | $ | 154 | |
| |
Purchased Swaptions (0%) Total Purchased Swaptions (Cost - $48) | | | 19 | |
| |
Investment Company (5%) | | | | |
1,115,169 | | Payden Cash Reserves Money Market Fund * | | | 1,115 | |
504,885 | | Payden Floating Rate Fund, SI Class * | | | 5,044 | |
Total Investment Company (Cost - $6,162) | | | 6,159 | |
| |
Total Investments, Before Swaptions Written (Cost - $133,164) (104%) | | | 134,450 | |
| |
Written Swaptions (0%) Total Written Swaptions (Cost - $(48)) | | | (24 | ) |
| |
Total Investments (Cost - $133,116) (104%) | | | 134,426 | |
Liabilities in excess of Other Assets (-4%) | | | (5,668 | ) |
| |
Net Assets (100%) | | $ | 128,758 | |
| (a) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (b) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (d) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $424 and the total market value of the collateral held by the Fund is $438. Amounts in 000s. |
| (e) | Security was purchased on a delayed delivery basis. |
| (f) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
| (g) | Yield to maturity at time of purchase. |
| (h) | All or a portion of the security is pledged to cover futures contract margin requirements. |
Purchased Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | | | Notional
Amount
(000s) | | Expiration
date | | Value
(000s) | | Call/Put |
Purchased Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.735% | | | | BNP PARIBAS | | | | | | | | | | $16,400 | | | | | 09/24/2018 | | | | | $19 | | | | | Call | |
Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 79
Written Swaptions
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | | | Notional
Amount
(000s) | | Expiration
date | | Value
(000s) | | Call/Put |
Written Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7825% | | | | BNP PARIBAS | | | | | | | | | | $6,800 | | | | | 09/24/2018 | | | | | $(24 | ) | | | | Call | |
Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Open Forward Currency Contracts to USD | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000) | | | | | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| CAD 2,473 | | | | USD 1,921 | | | | | | | | | | | | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | $ | 8 | |
| COP 1,744,000 | | | | USD 614 | | | | | | | | | | | | | | | State Street Bank & Trust Co. | | | | | 05/11/2018 | | | | | 7 | |
| USD 19,393 | | | | JPY 2,062,500 | | | | | | | | | | | | | | | Barclays Bank PLC | | | | | 05/08/2018 | | | | | 516 | |
| USD 165 | | | | PLN 552 | | | | | | | | | | | | | | | Barclays Bank PLC | | | | | 05/21/2018 | | | | | 8 | |
| USD 1,246 | | | | AUD 1,618 | | | | | | | | | | | | | | | BNP PARIBAS | | | | | 05/08/2018 | | | | | 28 | |
| USD 18,618 | | | | EUR 15,121 | | | | | | | | | | | | | | | Citibank, N.A. | | | | | 05/08/2018 | | | | | 348 | |
| USD 371 | | | | EUR 300 | | | | | | | | | | | | | | | Citibank, N.A. | | | | | 05/08/2018 | | | | | 8 | |
| USD 1,968 | | | | CAD 2,473 | | | | | | | | | | | | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | 39 | |
| USD 1,915 | | | | NZD 2,656 | | | | | | | | | | | | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | 47 | |
| USD 9,094 | | | | GBP 6,452 | | | | | | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/08/2018 | | | | | 209 | |
| USD 1,891 | | | | NOK 14,802 | | | | | | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | 45 | |
| USD 2,930 | | | | EUR 2,380 | | | | | | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 07/27/2018 | | | | | 36 | |
| USD 2,641 | | | | CAD 3,379 | | | | | | | | | | | | | | | Royal Bank of Canada | | | | | 05/08/2018 | | | | | 8 | |
| USD 12,161 | | | | EUR 9,876 | | | | | | | | | | | | | | | State Street Bank & Trust Co. | | | | | 05/08/2018 | | | | | 228 | |
| USD 860 | | | | EUR 700 | | | | | | | | | | | | | | | State Street Bank & Trust Co. | | | | | 05/08/2018 | | | | | 14 | |
| USD 627 | | | | COP 1,744,000 | | | | | | | | | | | | | | | State Street Bank & Trust Co. | | | | | 05/11/2018 | | | | | 6 | |
| USD 579 | | | | BRL 2,017 | | | | | | | | | | | | | | | State Street Bank & Trust Co. | | | | | 05/16/2018 | | | | | 4 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | 1,559 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| BRL 2,017 | | | | USD 607 | | | | | | | | | | | | | | | State Street Bank & Trust Co. | | | | | 05/16/2018 | | | | | (32 | ) |
| CAD 2,390 | | | | USD 1,890 | | | | | | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (28 | ) |
| GBP 287 | | | | USD 400 | | | | | | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/08/2018 | | | | | (4 | ) |
| IDR 35,863,000 | | | | USD 2,587 | | | | | | | | | | | | | | | Barclays Bank PLC | | | | | 07/24/2018 | | | | | (34 | ) |
| JPY 628,200 | | | | USD 5,944 | | | | | | | | | | | | | | | State Street Bank & Trust Co. | | | | | 06/14/2018 | | | | | (180 | ) |
| MYR 4,839 | | | | USD 1,250 | | | | | | | | | | | | | | | Barclays Bank PLC | | | | | 05/30/2018 | | | | | (18 | ) |
| NOK 14,802 | | | | USD 1,908 | | | | | | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (62 | ) |
| NOK 23,002 | | | | USD 2,921 | | | | | | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 07/27/2018 | | | | | (45 | ) |
| NZD 2,656 | | | | USD 1,943 | | | | | | | | | | | | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | (75 | ) |
| RUB 40,350 | | | | USD 649 | | | | | | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/17/2018 | | | | | (10 | ) |
| USD 288 | | | | MXN 5,440 | | | | | | | | | | | | | | | Barclays Bank PLC | | | | | 06/15/2018 | | | | | (1 | ) |
| USD 1,861 | | | | CAD 2,390 | | | | | | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (1 | ) |
| ZAR 7,370 | | | | USD 608 | | | | | | | | | | | | | | | HSBC Bank USA, N.A. | | | | | 05/11/2018 | | | | | (17 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | (507 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,052 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
80 Payden Mutual Funds
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration
Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(Depreciation)
(000s) |
Long Contracts: | | | | | | | | | | | | | | | | | | | |
Euro-Schatz Future | | 54 | | Jun-18 | | | $ | 7,298 | | | | $ | 7 | | | | $ | 7 | |
U.S. 10 Year Ultra Future | | 15 | | Jun-18 | | | | 1,918 | | | | | (17 | ) | | | | (17 | ) |
U.S. Treasury 10 Year Note Future | | 9 | | Jun-18 | | | | 1,077 | | | | | 1 | | | | | 1 | |
U.S. Treasury 5 Year Note Future | | 4 | | Jun-18 | | | | 454 | | | | | (4 | ) | | | | (4 | ) |
U.S. Ultra Bond Future | | 23 | | Jun-18 | | | | 3,614 | | | | | 76 | | | | | 76 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | 63 | |
| | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | |
Euro Buxl 30 Year Bond Future | | 6 | | Jun-18 | | | | (1,185 | ) | | | | (21 | ) | | | | (21 | ) |
Euro-Bobl Future | | 1 | | Jun-18 | | | | (158 | ) | | | | (1 | ) | | | | (1 | ) |
Euro-Bund Future | | 32 | | Jun-18 | | | | (6,134 | ) | | | | (61 | ) | | | | (61 | ) |
Euro-Oat Future | | 19 | | Jun-18 | | | | (3,529 | ) | | | | (45 | ) | | | | (45 | ) |
Long Gilt Future | | 35 | | Jun-18 | | | | (5,891 | ) | | | | (3 | ) | | | | (3 | ) |
U.S. Long Bond Future | | 16 | | Jun-18 | | | | (2,302 | ) | | | | (27 | ) | | | | (27 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | (158 | ) |
| | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | $ | (95 | ) |
| | | | | | | | | | | | | | | | | | | |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | $ | 424 | |
Non-cash Collateral2 | | | (424) | |
| | | | |
Net Amount | | $ | — | |
| | | | |
1The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis.
2At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments.
See notes to financial statements.
Semi-Annual Report 81
| | | | | | | | | | |
The Fund seeks a high level of total return by generally investing in below investment grade debt instruments and income producing securities of emerging market countries denominated in U.S. and foreign currencies with no limit on the average portfolio maturity. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Foreign Government | | | 67% | | |
| | Corporate | | | 29% | | |
| | Cash equivalent | | | 4% | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Bonds (97%) | | | | |
Angola (USD) (0%) | | | | |
2,955,000 | | Angolan Government International Bond 144A, 9.50%, 11/12/25 (a) | | $ | 3,330 | |
| |
Argentina (ARS) (1%) | | | | |
132,275,000 | | Argentine Bonos del Tesoro, 18.20%, 10/03/21 ARS | | | 6,271 | |
54,000,000 | | YPF SA 144A, 16.50%, 5/09/22 ARS (a) | | | 2,458 | |
| | | | | 8,729 | |
| |
Argentina (USD) (7%) | | | | |
14,512,500 | | Argentine Republic Government International Bond, 2.50%, 12/31/38 | | | 9,506 | |
7,995,000 | | Argentine Republic Government International Bond, 5.63%, 1/26/22 | | | 8,083 | |
4,185,000 | | Argentine Republic Government International Bond, 6.88%, 4/22/21 | | | 4,400 | |
6,080,000 | | Argentine Republic Government International Bond, 6.88%, 1/11/48 | | | 5,413 | |
5,110,000 | | Argentine Republic Government International Bond, 7.13%, 7/06/36 | | | 4,872 | |
2,920,000 | | Argentine Republic Government International Bond 144A, 7.13%, 6/28/17 (a) | | | 2,602 | |
25,805,000 | | Argentine Republic Government International Bond, 7.50%, 4/22/26 | | | 27,108 | |
6,125,000 | | Argentine Republic Government International Bond, 7.63%, 4/22/46 | | | 5,941 | |
16,165,498 | | Argentine Republic Government International Bond, 8.28%, 12/31/33 | | | 17,418 | |
2,470,000 | | Provincia de Buenos Aires/Argentina 144A, 6.50%, 2/15/23 (a) | | | 2,510 | |
3,210,000 | | Provincia de Buenos Aires/Argentina 144A, 7.88%, 6/15/27 (a)(b) | | | 3,266 | |
2,010,000 | | Provincia de Cordoba 144A, 7.13%, 6/10/21 (a) | | | 2,102 | |
2,820,000 | | Rio Energy SA/UGEN SA/UENSA SA 144A, 6.88%, 2/01/25 (a) | | | 2,757 | |
1,870,000 | | Transportadora de Gas del Sur SA 144A, 6.75%, 5/02/25 | | | 1,871 | |
| | | | | 97,849 | |
| |
Armenia (USD) (0%) | | | | |
5,631,000 | | Republic of Armenia International Bond 144A, 6.00%, 9/30/20 (a) | | | 5,767 | |
| |
Azerbaijan (USD) (1%) | | | | |
6,830,000 | | Republic of Azerbaijan International Bond 144A, 4.75%, 3/18/24 (a) | | | 6,813 | |
5,210,000 | | Southern Gas Corridor CJSC 144A, 6.88%, 3/24/26 | | | 5,707 | |
| | | | | 12,520 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Bahamas (USD) (1%) | | | | |
10,220,000 | | Bahamas Government International Bond 144A, 6.00%, 11/21/28 (a) | | $ | 10,629 | |
| |
Belarus (USD) (0%) | | | | |
5,960,000 | | Republic of Belarus International Bond 144A, 6.88%, 2/28/23 (a) | | | 6,255 | |
| |
Bermuda (USD) (0%) | | | | |
2,875,000 | | Digicel Ltd. 144A, 6.00%, 4/15/21 (a) | | | 2,746 | |
| |
Bolivia (USD) (1%) | | | | |
7,070,000 | | Bolivian Government International Bond 144A, 4.50%, 3/20/28 | | | 6,628 | |
| |
Brazil (BRL) (1%) | | | | |
10,700,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/21 BRL | | | 3,208 | |
28,845,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/23 BRL | | | 8,570 | |
11,500,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.00%, 1/01/25 BRL | | | 3,387 | |
| | | | | 15,165 | |
| |
Brazil (USD) (2%) | | | | |
4,010,000 | | Banco BTG Pactual SA/Cayman Islands 144A, 4.00%, 1/16/20 | | | 3,940 | |
6,015,000 | | Banco Nacional de Desenvolvimento Economico e Social 144A, 4.75%, 5/09/24 (a) | | | 5,940 | |
2,000,000 | | Brazilian Government International Bond, 5.00%, 1/27/45 | | | 1,735 | |
2,855,000 | | Brazilian Government International Bond, 5.63%, 1/07/41 (b) | | | 2,721 | |
4,480,000 | | Brazilian Government International Bond, 5.63%, 2/21/47 | | | 4,227 | |
6,360,000 | | Itau Unibanco Holding SA/Cayman Island 144A,
(5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.981%) 6.13%, 6/12/66 (a)(b)(c) | | | 6,223 | |
3,290,000 | | JBS USA LUX SA / JBS USA Finance Inc. 144A, 6.75%, 2/15/28 | | | 3,162 | |
4,646,343 | | USJ Acucar e Alcool SA 144A, 9.88%, 11/09/21 (a) | | | 4,135 | |
| | | | | 32,083 | |
| |
Canada (USD) (0%) | | | | |
200,000 | | CNOOC Nexen Finance 2014 ULC, 4.25%, 4/30/24 | | | 201 | |
3,025,000 | | Stoneway Capital Corp. 144A, 10.00%, 3/01/27 (a) | | | 3,238 | |
| | | | | 3,439 | |
| |
Cayman Islands (USD) (1%) | | | | |
5,370,000 | | Braskem Finance Ltd., 6.45%, 2/03/24 | | | 5,789 | |
82 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
1,550,000 | | Energuate Trust 144A, 5.88%, 5/03/27 (a)(b) | | $ | 1,532 | |
9,160,000 | | Lima Metro Line 2 Finance Ltd. 144A, 5.88%, 7/05/34 (a) | | | 9,320 | |
1,203,666 | | Odebrecht Drilling Norbe VIII/IX Ltd. 144A, 6.35%, 12/01/21 (a) | | | 1,180 | |
1,926,750 | | Odebrecht Drilling Norbe VIII/IX Ltd. 144A, 7.35%, 12/01/26 (a) | | | 1,060 | |
1,058,000 | | Odebrecht Oil & Gas Finance Ltd. 144A, 0.00%, 1/03/66 (a) | | | 25 | |
| | | | | 18,906 | |
| |
Chile (USD) (2%) | | | | |
3,710,000 | | Banco del Estado de Chile 144A,
2.67%, 1/08/21 (a) | | | 3,626 | |
6,101,000 | | Celeo Redes Operacion Chile SA 144A, 5.20%, 6/22/47 (a) | | | 6,138 | |
3,080,000 | | Corp. Nacional del Cobre de Chile 144A, 3.63%, 8/01/27 (a) | | | 2,937 | |
4,720,428 | | Latam Airlines 2015-1 Pass-Through Trust A, 4.20%, 11/15/27 | | | 4,532 | |
4,291,315 | | Latam Airlines 2015-1 Pass-Through Trust B, 4.50%, 11/15/23 | | | 4,197 | |
| | | | | 21,430 | |
| |
Colombia (USD) (2%) | | | | |
4,350,000 | | Colombia Government International Bond, 3.88%, 4/25/27 | | | 4,203 | |
4,475,000 | | Colombia Government International Bond, 4.00%, 2/26/24 | | | 4,470 | |
3,240,000 | | Colombia Government International Bond, 4.50%, 1/28/26 | | | 3,311 | |
5,160,000 | | Colombia Government International Bond, 5.00%, 6/15/45 | | | 5,121 | |
5,820,000 | | Colombia Government International Bond, 6.13%, 1/18/41 | | | 6,591 | |
8,140,000 | | Colombia Government International Bond, 7.38%, 9/18/37 | | | 10,358 | |
| | | | | 34,054 | |
| |
Costa Rica (USD) (2%) | | | | |
4,770,000 | | Banco de Costa Rica 144A, 5.25%, 8/12/18 (a) | | | 4,796 | |
4,910,000 | | Banco Nacional de Costa Rica 144A, 4.88%, 11/01/18 (a) | | | 4,922 | |
2,820,000 | | Banco Nacional de Costa Rica 144A, 5.88%, 4/25/21 (a) | | | 2,906 | |
4,225,000 | | Costa Rica Government International Bond 144A, 7.00%, 4/04/44 (a) | | | 4,230 | |
5,590,000 | | Costa Rica Government International Bond 144A, 7.16%, 3/12/45 (a) | | | 5,682 | |
| | | | | 22,536 | |
| |
Dominica Republic (USD) (3%) | | | | |
2,485,000 | | Dominican Republic International Bond 144A, 5.50%, 1/27/25 (a) | | | 2,500 | |
7,215,000 | | Dominican Republic International Bond 144A, 5.95%, 1/25/27 (a) | | | 7,395 | |
6,490,000 | | Dominican Republic International Bond 144A, 6.50%, 2/15/48 | | | 6,460 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
1,945,000 | | Dominican Republic International Bond 144A, 6.60%, 1/28/24 (a) | | $ | 2,076 | |
4,275,000 | | Dominican Republic International Bond 144A, 6.85%, 1/27/45 (a) | | | 4,430 | |
5,905,000 | | Dominican Republic International Bond 144A, 6.88%, 1/29/26 (a) | | | 6,413 | |
6,995,000 | | Dominican Republic International Bond 144A, 7.45%, 4/30/44 (a) | | | 7,695 | |
| | | | | 36,969 | |
| |
Ecuador (USD) (3%) | | | | |
6,640,000 | | Ecuador Government International Bond 144A, 7.88%, 1/23/28 (a) | | | 5,901 | |
8,340,000 | | Ecuador Government International Bond 144A, 7.95%, 6/20/24 (a) | | | 7,871 | |
2,090,000 | | Ecuador Government International Bond, 7.95%, 6/20/24 (d) | | | 1,972 | |
4,760,000 | | Ecuador Government International Bond 144A, 8.75%, 6/02/23 (a) | | | 4,683 | |
5,900,000 | | Ecuador Government International Bond 144A, 8.88%, 10/23/27 (a) | | | 5,583 | |
5,135,000 | | Ecuador Government International Bond 144A, 9.65%, 12/13/26 (a) | | | 5,077 | |
5,170,000 | | Ecuador Government International Bond 144A, 10.75%, 3/28/22 (a) | | | 5,474 | |
| | | | | 36,561 | |
| |
Egypt (USD) (2%) | | | | |
2,870,000 | | Egypt Government International Bond 144A, 5.58%, 2/21/23 | | | 2,886 | |
6,930,000 | | Egypt Government International Bond 144A, 7.50%, 1/31/27 (a) | | | 7,332 | |
7,370,000 | | Egypt Government International Bond 144A, 7.90%, 2/21/48 | | | 7,490 | |
5,175,000 | | Egypt Government International Bond 144A, 8.50%, 1/31/47 (a) | | | 5,560 | |
| | | | | 23,268 | |
| |
El Salvador (USD) (1%) | | | | |
2,565,000 | | El Salvador Government International Bond 144A, 7.38%, 12/01/19 (a) | | | 2,659 | |
10,700,000 | | El Salvador Government International Bond 144A, 7.65%, 6/15/35 (a)(b) | | | 11,181 | |
4,095,000 | | El Salvador Government International Bond 144A, 8.63%, 2/28/29 (a) | | | 4,689 | |
| | | | | 18,529 | |
| |
Georgia (GEL) (0%) | | | | |
11,130,000 | | Bank of Georgia JSC 144A, 11.00%, 6/01/20
GEL (a) | | | 4,585 | |
| |
Georgia (USD) (2%) | | | | |
4,645,000 | | BGEO Group JSC 144A, 6.00%, 7/26/23 (a) | | | 4,691 | |
10,005,000 | | Georgia Government International Bond 144A, 6.88%, 4/12/21 (a)(b) | | | 10,795 | |
2,030,000 | | Georgian Oil and Gas Corp. JSC 144A, 6.75%, 4/26/21 (a) | | | 2,097 | |
8,965,000 | | Georgian Railway JSC 144A, 7.75%, 7/11/22 (a) | | | 9,673 | |
| | | | | 27,256 | |
| |
Ghana (USD) (1%) | | | | |
5,650,000 | | Ghana Government International Bond 144A, 9.25%, 9/15/22 (a)(b) | | | 6,441 | |
Semi-Annual Report 83
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
8,485,000 | | Ghana Government International Bond 144A, 10.75%, 10/14/30 (a) | | $ | 11,005 | |
| | | | | 17,446 | |
| |
Guatemala (USD) (0%) | | | | |
2,730,000 | | Guatemala Government Bond 144A,
4.88%, 2/13/28 | | | 2,703 | |
| |
Honduras (USD) (1%) | | | | |
2,070,000 | | Honduras Government International Bond 144A, 6.25%, 1/19/27 (a) | | | 2,145 | |
7,180,000 | | Honduras Government International Bond 144A, 8.75%, 12/16/20 (a) | | | 7,866 | |
| | | | | 10,011 | |
| |
Hungary (USD) (2%) | | | | |
11,980,000 | | Hungary Government International Bond,
5.38%, 3/25/24 | | | 12,902 | |
7,990,000 | | Hungary Government International Bond,
5.75%, 11/22/23 | | | 8,731 | |
| | | | | 21,633 | |
| |
Indonesia (USD) (3%) | | | | |
3,630,000 | | Indonesia Government International Bond 144A, 3.85%, 7/18/27 (a)(b) | | | 3,504 | |
7,720,000 | | Indonesia Government International Bond,
4.35%, 1/11/48 (b) | | | 7,187 | |
3,070,000 | | Indonesia Government International Bond 144A, 5.25%, 1/17/42 (a) | | | 3,180 | |
2,960,000 | | Indonesia Government International Bond 144A, 5.25%, 1/08/47 (a) | | | 3,063 | |
11,410,000 | | Indonesia Government International Bond 144A, 8.50%, 10/12/35 (a) | | | 16,004 | |
2,370,000 | | Indonesia Government International Bond, 8.50%, 10/12/35 (d) | | | 3,324 | |
2,940,000 | | Pelabuhan Indonesia III Persero PT 144A,
4.50%, 5/02/23 | | | 2,927 | |
4,980,000 | | Perusahaan Penerbit SBSN Indonesia III 144A, 4.15%, 3/29/27 (a) | | | 4,855 | |
| | | | | 44,044 | |
| |
Ivory Coast (USD) (1%) | | | | |
2,845,000 | | Ivory Coast Government International Bond 144A, 5.38%, 7/23/24 (a) | | | 2,793 | |
5,158,755 | | Ivory Coast Government International Bond 144A, 5.75%, 12/31/32 (a) | | | 4,953 | |
8,740,000 | | Ivory Coast Government International Bond 144A, 6.13%, 6/15/33 (a) | | | 8,290 | |
| | | | | 16,036 | |
| |
Jamaica (USD) (0%) | | | | |
2,290,000 | | Jamaica Government International Bond,
8.00%, 3/15/39 (b) | | | 2,722 | |
| |
Jordan (USD) (1%) | | | | |
3,950,000 | | Jordan Government International Bond 144A, 5.75%, 1/31/27 (a) | | | 3,762 | |
475,000 | | Jordan Government International Bond 144A, 6.13%, 1/29/26 (a) | | | 466 | |
8,380,000 | | Jordan Government International Bond 144A, 7.38%, 10/10/47 (a) | | | 8,190 | |
| | | | | 12,418 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
Kazakhstan (KZT) (1%) | | | | |
2,550,000,000 | | Development Bank of Kazakhstan JSC 144A, 8.95%, 5/04/23 KZT | | $ | 7,751 | |
| |
Kazakhstan (USD) (2%) | | | | |
4,085,000 | | Kazakhstan Government International Bond 144A, 6.50%, 7/21/45 (a) | | | 4,880 | |
6,600,000 | | Kazakhstan Temir Zholy National Co. JSC 144A, 4.85%, 11/17/27 (a) | | | 6,559 | |
6,745,000 | | KazMunayGas National Co. JSC 144A,
5.75%, 4/19/47 (a) | | | 6,470 | |
4,700,000 | | KazMunayGas National Co. JSC 144A,
6.38%, 10/24/48 | | | 4,812 | |
| | | | | 22,721 | |
| |
Kenya (USD) (1%) | | | | |
3,110,000 | | Kenya Government International Bond 144A, 7.25%, 2/28/28 | | | 3,217 | |
4,450,000 | | Kenya Government International Bond 144A, 8.25%, 2/28/48 | | | 4,601 | |
| | | | | 7,818 | |
| |
Lebanon (USD) (2%) | | | | |
4,075,000 | | Lebanon Government International Bond,
5.45%, 11/28/19 | | | 4,028 | |
2,565,000 | | Lebanon Government International Bond,
6.00%, 1/27/23 | | | 2,432 | |
3,810,000 | | Lebanon Government International Bond,
6.10%, 10/04/22 | | | 3,639 | |
4,360,000 | | Lebanon Government International Bond,
6.20%, 2/26/25 | | | 4,016 | |
2,455,000 | | Lebanon Government International Bond,
6.38%, 3/09/20 | | | 2,454 | |
3,125,000 | | Lebanon Government International Bond,
6.60%, 11/27/26 | | | 2,835 | |
1,725,000 | | Lebanon Government International Bond,
6.65%, 11/03/28 | | | 1,533 | |
2,215,000 | | Lebanon Government International Bond,
6.75%, 11/29/27 | | | 2,004 | |
7,800,000 | | Lebanon Government International Bond,
8.25%, 4/12/21 (d) | | | 8,019 | |
| | | | | 30,960 | |
| |
Luxembourg (USD) (1%) | | | | |
8,080,000 | | Adecoagro SA 144A, 6.00%, 9/21/27 (a) | | | 7,494 | |
1,630,000 | | MHP Lux SA 144A, 6.95%, 4/03/26 | | | 1,594 | |
2,270,000 | | MHP SA 144A, 7.75%, 5/10/24 (a) | | | 2,352 | |
5,240,000 | | Nexa Resources SA 144A, 5.38%, 5/04/27 (a) | | | 5,266 | |
| | | | | 16,706 | |
| |
Malaysia (MYR) (1%) | | | | |
21,300,000 | | Malaysia Government Bond, 3.84%, 4/15/33 MYR | | | 4,964 | |
33,330,000 | | Malaysia Government Bond, 4.25%, 5/31/35 MYR | | | 7,911 | |
| | | | | 12,875 | |
| |
Mexico (MXN) (0%) | | | | |
32,700,000 | | Grupo Televisa SAB, 7.25%, 5/14/43 MXN | | | 1,286 | |
| |
Mexico (USD) (4%) | | | | |
6,090,000 | | Cometa Energia SA de CV 144A, 6.38%, 4/24/35 | | | 5,991 | |
84 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
4,559,347 | | Fermaca Enterprises S de RL de CV 144A, 6.38%, 3/30/38 (a) | | $ | 4,890 | |
5,730,000 | | Mexichem SAB de CV 144A, 5.88%, 9/17/44 (a) | | | 5,501 | |
5,170,000 | | Mexico City Airport Trust 144A, 5.50%, 7/31/47 (a) | | | 4,621 | |
4,660,000 | | Mexico Government International Bond, 4.15%, 3/28/27 | | | 4,606 | |
4,230,000 | | Petroleos Mexicanos, 3.50%, 1/30/23 | | | 4,014 | |
4,530,000 | | Petroleos Mexicanos, 4.88%, 1/24/22 | | | 4,615 | |
1,373,000 | | Petroleos Mexicanos 144A, 6.35%, 2/12/48 | | | 1,266 | |
2,420,000 | | Petroleos Mexicanos, 6.38%, 1/23/45 | | | 2,248 | |
4,670,000 | | Petroleos Mexicanos, 6.50%, 3/13/27 | | | 4,842 | |
2,630,000 | | Petroleos Mexicanos, 6.50%, 6/02/41 | | | 2,525 | |
3,975,000 | | Petroleos Mexicanos, 6.63%, 6/15/35 | | | 3,959 | |
9,469,000 | | Petroleos Mexicanos, 6.75%, 9/21/47 | | | 9,165 | |
| | | | | 58,243 | |
| |
Mongolia (USD) (2%) | | | | |
4,785,000 | | Mongolia Government International Bond, 5.13%, 12/05/22 (d) | | | 4,611 | |
525,000 | | Mongolia Government International Bond 144A, 5.13%, 12/05/22 (a) | | | 506 | |
5,360,000 | | Mongolia Government International Bond 144A, 5.63%, 5/01/23 (a) | | | 5,212 | |
1,660,000 | | Mongolia Government International Bond 144A, 8.75%, 3/09/24 (a) | | | 1,842 | |
13,758,000 | | Mongolia Government International Bond 144A, 10.88%, 4/06/21 (a) | | | 15,760 | |
| | | | | 27,931 | |
| |
Netherlands (USD) (2%) | | | | |
2,670,000 | | Listrindo Capital BV 144A, 4.95%, 9/14/26 (a) | | | 2,530 | |
5,920,000 | | Minejesa Capital BV 144A, 5.63%, 8/10/37 (a) | | | 5,725 | |
2,480,000 | | Nostrum Oil & Gas Finance BV 144A, 7.00%, 2/16/25 | | | 2,391 | |
8,435,000 | | Petrobras Global Finance BV, 4.38%, 5/20/23 | | | 8,245 | |
3,460,000 | | Petrobras Global Finance BV, 7.38%, 1/17/27 | | | 3,716 | |
1,764,000 | | Petrobras Global Finance BV, 8.38%, 5/23/21 | | | 1,991 | |
3,505,000 | | Teva Pharmaceutical Finance Netherlands III BV, 4.10%, 10/01/46 | | | 2,603 | |
2,930,000 | | Teva Pharmaceutical Finance Netherlands III BV 144A, 6.75%, 3/01/28 (b) | | | 2,899 | |
| | | | | 30,100 | |
| |
Nigeria (USD) (2%) | | | | |
8,035,000 | | Nigeria Government International Bond 144A, 6.50%, 11/28/27 (a) | | | 8,109 | |
5,480,000 | | Nigeria Government International Bond 144A, 7.14%, 2/23/30 | | | 5,620 | |
4,710,000 | | Nigeria Government International Bond 144A, 7.63%, 11/28/47 (a) | | | 4,755 | |
5,520,000 | | Nigeria Government International Bond 144A, 7.70%, 2/23/38 | | | 5,685 | |
7,110,000 | | Nigeria Government International Bond 144A, 7.88%, 2/16/32 (a) | | | 7,676 | |
| | | | | 31,845 | |
| |
Oman (USD) (3%) | | | | |
1,400,000 | | Oman Government International Bond 144A, 3.63%, 6/15/21 (a)(b) | | | 1,358 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
2,820,000 | | Oman Government International Bond 144A, 3.88%, 3/08/22 (a) | | $ | 2,711 | |
4,130,000 | | Oman Government International Bond 144A, 4.75%, 6/15/26 (a) | | | 3,856 | |
8,670,000 | | Oman Government International Bond 144A, 5.38%, 3/08/27 (a) | | | 8,276 | |
8,895,000 | | Oman Government International Bond 144A, 5.63%, 1/17/28 (a) | | | 8,512 | |
6,815,000 | | Oman Government International Bond 144A, 6.50%, 3/08/47 (a) | | | 6,301 | |
7,735,000 | | Oman Government International Bond 144A, 6.75%, 1/17/48 (a) | | | 7,301 | |
5,440,000 | | Oman Sovereign Sukuk SAOC 144A, 4.40%, 6/01/24 (a) | | | 5,097 | |
| | | | | 43,412 | |
| |
Pakistan (USD) (1%) | | | | |
5,175,000 | | Pakistan Government International Bond 144A, 6.88%, 12/05/27 | | | 4,860 | |
4,265,000 | | Pakistan Government International Bond 144A, 8.25%, 4/15/24 | | | 4,449 | |
5,645,000 | | Pakistan Government International Bond 144A, 8.25%, 9/30/25 | | | 5,878 | |
| | | | | 15,187 | |
| |
Panama (USD) (1%) | | | | |
1,200,000 | | Panama Government International Bond, 4.50%, 4/16/50 | | | 1,160 | |
11,370,000 | | Panama Government International Bond, 6.70%, 1/26/36 | | | 14,099 | |
3,440,000 | | Panama Government International Bond, 9.38%, 4/01/29 | | | 4,911 | |
| | | | | 20,170 | |
| |
Peru (PEN) (1%) | | | | |
15,320,000 | | Peru Government Bond 144A, 6.15%, 8/12/32
PEN (a) | | | 4,954 | |
8,900,000 | | Peruvian Government International Bond 144A, 6.95%, 8/12/31 PEN (a) | | | 3,098 | |
| | | | | 8,052 | |
| |
Peru (USD) (2%) | | | | |
2,894,012 | | Abengoa Transmision Sur SA 144A,
6.88%, 4/30/43 (a) | | | 3,180 | |
5,440,000 | | Peru LNG Srl 144A, 5.38%, 3/22/30 (b) | | | 5,433 | |
8,400,000 | | Peruvian Government International Bond, 5.63%, 11/18/50 | | | 9,862 | |
5,990,000 | | Peruvian Government International Bond, 6.55%, 3/14/37 | | | 7,556 | |
2,630,000 | | Petroleos del Peru SA 144A, 4.75%, 6/19/32 (a) | | | 2,502 | |
| | | | | 28,533 | |
| |
Philippines (USD) (1%) | | | | |
9,660,000 | | Philippine Government International Bond, 6.38%, 10/23/34 | | | 12,143 | |
| |
Russian Federation (RUB) (1%) | | | | |
727,500,000 | | Russian Federal Bond - Ofz, 8.15%, 2/03/27 RUB | | | 12,308 | |
| |
Russian Federation (USD) (2%) | | | | |
6,400,000 | | Russian Foreign Bond - Eurobond,
4.75%, 5/27/26 (d) | | | 6,511 | |
Semi-Annual Report 85
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
3,400,000 | | Russian Foreign Bond - Eurobond 144A, 4.88%, 9/16/23 (a) | | $ | 3,526 | |
11,800,000 | | Russian Foreign Bond - Eurobond 144A, 5.25%, 6/23/47 (a) | | | 11,465 | |
4,000,000 | | Russian Foreign Bond - Eurobond 144A, 5.63%, 4/04/42 (a) | | | 4,207 | |
| | | | | 25,709 | |
| |
Saint Lucia (USD) (0%) | | | | |
3,084,502 | | Digicel International Finance Term Loan B 1L, (LIBOR USD 3-Month + 3.250%) 5.61%, 5/10/24 (e) | | | 3,086 | |
| |
Saudi Arabia (USD) (1%) | | | | |
8,180,000 | | Saudi Government International Bond 144A, 4.50%, 4/17/30 | | | 8,083 | |
2,000,000 | | Saudi Government International Bond 144A, 5.00%, 4/17/49 | | | 1,923 | |
| | | | | 10,006 | |
| |
Senegal (USD) (1%) | | | | |
9,200,000 | | Senegal Government International Bond 144A, 6.75%, 3/13/48 | | | 8,705 | |
2,683,000 | | Senegal Government International Bond 144A, 8.75%, 5/13/21 (a) | | | 2,996 | |
| | | | | 11,701 | |
| |
Serbia (USD) (0%) | | | | |
4,145,000 | | Serbia International Bond 144A, 7.25%, 9/28/21 (a) | | | 4,585 | |
| |
Singapore (USD) (0%) | | | | |
1,900,000 | | BOC Aviation Ltd. 144A, 3.88%, 4/27/26 (a) | | | 1,817 | |
| |
South Africa (USD) (2%) | | | | |
3,350,000 | | Eskom Holdings SOC Ltd. 144A, 5.75%, 1/26/21 (a) | | | 3,347 | |
3,360,000 | | Eskom Holdings SOC Ltd. 144A, 6.75%, 8/06/23 (a) | | | 3,409 | |
14,865,000 | | Republic of South Africa Government International Bond, 4.30%, 10/12/28 | | | 13,680 | |
| | | | | 20,436 | |
| |
South Africa (ZAR) (1%) | | | | |
158,325,000 | | Republic of South Africa Government Bond, 6.50%, 2/28/41 ZAR | | | 9,631 | |
48,700,000 | | Republic of South Africa Government Bond, 8.75%, 2/28/48 ZAR | | | 3,789 | |
| | | | | 13,420 | |
| |
Sri Lanka (USD) (1%) | | | | |
2,475,000 | | Sri Lanka Government International Bond 144A, 5.88%, 7/25/22 (a) | | | 2,500 | |
5,830,000 | | Sri Lanka Government International Bond 144A, 6.20%, 5/11/27 (a) | | | 5,640 | |
5,425,000 | | Sri Lanka Government International Bond 144A, 6.83%, 7/18/26 (a) | | | 5,513 | |
| | | | | 13,653 | |
| |
Turkey (USD) (4%) | | | | |
2,160,000 | | Export Credit Bank of Turkey 144A, 5.88%, 4/24/19 (a) | | | 2,193 | |
1,650,000 | | TC Ziraat Bankasi AS 144A, 5.13%, 5/03/22 (a) | | | 1,610 | |
7,715,000 | | Turkey Government International Bond, 4.25%, 4/14/26 | | | 6,985 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
8,475,000 | | Turkey Government International Bond, 5.63%, 3/30/21 | | $ | 8,751 | |
6,210,000 | | Turkey Government International Bond, 5.75%, 5/11/47 | | | 5,436 | |
9,060,000 | | Turkey Government International Bond, 6.00%, 3/25/27 | | | 9,111 | |
5,190,000 | | Turkey Government International Bond, 6.88%, 3/17/36 | | | 5,345 | |
4,210,000 | | Turkey Government International Bond, 7.38%, 2/05/25 | | | 4,623 | |
4,150,000 | | Turkey Government International Bond, 8.00%, 2/14/34 | | | 4,775 | |
| | | | | 48,829 | |
| |
Ukraine (USD) (3%) | | | | |
3,015,000 | | Ukraine Government International Bond 144A, 0.00%, 5/31/40 (a)(f) | | | 2,051 | |
9,700,000 | | Ukraine Government International Bond 144A, 7.38%, 9/25/32 (a) | | | 8,975 | |
1,883,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/21 (a) | | | 1,949 | |
16,003,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/22 (a) | | | 16,399 | |
8,863,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/23 (a) | | | 8,959 | |
3,923,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/24 (a) | | | 3,924 | |
4,368,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/25 (a) | | | 4,348 | |
1,653,000 | | Ukraine Government International Bond 144A, 7.75%, 9/01/27 (a) | | | 1,626 | |
| | | | | 48,231 | |
| |
United Arab Emirates (USD) (0%) | | | | |
5,480,000 | | Abu Dhabi Crude Oil Pipeline LLC 144A, 4.60%, 11/02/47 (a) | | | 5,171 | |
| |
United Kingdom (IDR) (1%) | | | | |
108,542,000,000 | | Standard Chartered Bank/Singapore (Indonesia Treasury Bond) 144A, 8.25%, 5/19/36 IDR (a) | | | 8,379 | |
| |
United Kingdom (INR) (1%) | | | | |
295,000,000 | | Standard Chartered Bank/Singapore (India Government Bond) 144A, 7.16%, 5/23/23
INR (a) | | | 4,306 | |
28,000,000 | | Standard Chartered Bank/Singapore (India Government Bond) 144A, 7.59%, 1/13/26
INR (a) | | | 411 | |
195,000,000 | | Standard Chartered Bank/Singapore (India Government Bond) 144A, 7.61%, 5/13/30
INR (a)(f) | | | 2,821 | |
43,000,000 | | Standard Chartered Bank/Singapore (India Government Bond), 9.34%, 8/27/24 INR | | | 673 | |
| | | | | 8,211 | |
| |
United Kingdom (LKR) (1%) | | | | |
1,264,000,000 | | Standard Chartered Bank/Singapore (Sri Lanka Government Bonds) 144A, 10.75%, 3/03/21 LKR (a) | | | 8,178 | |
86 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
42,000,000 | | Standard Chartered Bank/Singapore (Sri Lanka Government Bonds) 144A, 11.00%, 8/05/24 LKR (a) | | $ | 275 | |
572,000,000 | | Standard Chartered Bank/Singapore (Sri Lanka Government Bonds) 144A, 11.00%, 8/05/25 LKR (a) | | | 3,771 | |
| | | | | 12,224 | |
| |
United Kingdom (USD) (0%) | | | | |
4,680,000 | | Vedanta Resources PLC 144A, 6.13%, 8/09/24 | | | 4,514 | |
| |
United States (EGP) (2%) | | | | |
62,400,000 | | Citigroup Global Markets Holdings Inc. (Arab Republic of Egypt) 144A, 0.00%, 9/13/18 EGP | | | 3,331 | |
153,600,000 | | Citigroup Global Markets Holdings Inc. (Arab Republic of Egypt), 0.00%, 11/08/18 EGP | | | 8,024 | |
140,000,000 | | Citigroup Global Markets Holdings Inc. (Arab Republic of Egypt), 0.00%, 11/08/18 EGP | | | 7,314 | |
73,000,000 | | Citigroup Global Markets Holdings Inc. (Arab Republic of Egypt) 144A, 0.00%, 12/13/18 EGP (a) | | | 3,761 | |
133,200,000 | | Citigroup Global Markets Holdings Inc. (Arab Republic of Egypt) 144A, 0.00%, 1/24/19 EGP (a) | | | 6,731 | |
| | | | | 29,161 | |
| |
United States (GHS) (0%) | | | | |
10,060,000 | | Citigroup Global Markets Holdings Inc. (Republic of Ghana) 144A, 24.75%, 3/03/21
GHS (a)(f) | | | 2,667 | |
| |
United States (IDR) (0%) | | | | |
30,300,000,000 | | Indonesia Treasury Bond 144A, 8.38%, 3/17/34 IDR (a) | | | 2,375 | |
13,700,000,000 | | Indonesia Treasury Bond 144A, 11.00%, 9/17/25 IDR (a) | | | 1,213 | |
| | | | | 3,588 | |
| |
United States (NGN) (1%) | | | | |
1,615,000,000 | | Citigroup Global Markets Holdings Inc. (Federal Republic of Nigeria), 0.00%, 5/19/18 NGN | | | 4,478 | |
1,461,000,000 | | Citigroup Global Markets Holdings Inc. (Federal Republic of Nigeria), 0.00%, 6/16/18 NGN | | | 4,008 | |
2,024,916,000 | | Citigroup Global Markets Holdings Inc. (Federal Republic of Nigeria) 144A, 0.00%, 10/22/18
NGN | | | 5,374 | |
| | | | | 13,860 | |
| |
United States (USD) (0%) | | | | |
4,830,000 | | Terraform Global Operating LLC 144A, 6.13%, 3/01/26 | | | 4,902 | |
| |
Uruguay (USD) (2%) | | | | |
11,630,525 | | Uruguay Government International Bond, 4.38%, 10/27/27 | | | 11,754 | |
6,690,000 | | Uruguay Government International Bond, 4.98%, 4/20/55 | | | 6,456 | |
10,784,580 | | Uruguay Government International Bond, 5.10%, 6/18/50 | | | 10,623 | |
| | | | | 28,833 | |
| |
Uruguay (UYU) (0%) | | | | |
37,550,000 | | Uruguay Government International Bond 144A, 8.50%, 3/15/28 UYU (a) | | | 1,265 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | |
49,300,000 | | Uruguay Government International Bond 144A, 9.88%, 6/20/22 UYU (a) | | $ | 1,809 | |
| | | | | 3,074 | |
| |
Venezuela (USD) (1%) | | | | |
6,975,000 | | Petroleos de Venezuela SA, 5.38%, 4/12/27 (g)(h) | | | 1,859 | |
6,620,000 | | Petroleos de Venezuela SA 144A, 6.00%, 11/15/26 (a)(g)(h) | | | 1,694 | |
1,837,500 | | Petroleos de Venezuela SA 144A, 8.50%, 10/27/20 (a) | | | 1,600 | |
5,540,000 | | Petroleos de Venezuela SA,
9.00%, 11/17/21 (d)(g)(h) | | | 1,690 | |
2,640,000 | | Venezuela Government International Bond, 7.00%, 3/31/38 (g)(h) | | | 799 | |
8,494,000 | | Venezuela Government International Bond, 7.65%, 4/21/25 (g)(h) | | | 2,442 | |
4,385,000 | | Venezuela Government International Bond, 7.75%, 10/13/19 (g)(h) | | | 1,316 | |
9,890,000 | | Venezuela Government International Bond, 9.25%, 9/15/27 (g)(h) | | | 3,115 | |
| | | | | 14,515 | |
| |
Virgin Islands (British) (USD) (3%) | | | | |
28,000,000 | | 1MDB Global Investments Ltd., 4.40%, 3/09/23 (d) | | | 26,308 | |
3,210,000 | | Arcos Dorados Holdings Inc. 144A, 5.88%, 4/04/27 (a)(b) | | | 3,226 | |
2,010,000 | | Central American Bottling Corp. 144A, 5.75%, 1/31/27 (a) | | | 2,064 | |
5,540,000 | | Sinopec Group Overseas Development 2016 Ltd. 144A, 3.50%, 5/03/26 (a) | | | 5,279 | |
| | | | | 36,877 | |
| |
Zambia (USD) (1%) | | | | |
5,730,000 | | Zambia Government International Bond 144A, 5.38%, 9/20/22 (a) | | | 5,263 | |
2,115,000 | | Zambia Government International Bond 144A, 8.50%, 4/14/24 (a) | | | 2,142 | |
5,070,000 | | Zambia Government International Bond 144A, 8.97%, 7/30/27 (a) | | | 5,106 | |
| | | | | 12,511 | |
Total Bonds (Cost - $1,381,628) | | | 1,354,248 | |
Investment Company (5%) | | | | |
60,948,946 | | Payden Cash Reserves Money Market Fund *
(Cost - $60,949) | | | 60,949 | |
| |
Total Investments (Cost - $1,442,577) (102%) | | | 1,415,197 | |
Liabilities in excess of Other Assets (-2%) | | | (23,777 | ) |
| |
Net Assets (100%) | | $ | 1,391,420 | |
| (a) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (b) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $31,260 and the total market value of the collateral held by the Fund is $32,512. Amounts in 000s. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (d) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
Semi-Annual Report 87
| (e) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (f) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
| (g) | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments. |
| (h) | Non-income producing security. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000) | | Counterparty | | Settlement
Date | | Unrealized Appreciation (Depreciation) (000s) |
Assets: | | | | | | | | | | | | | | |
COP 19,213,000 | | USD 6,735 | | HSBC Bank USA, N.A. | | | | 06/20/2018 | | | | $ | 99 | |
KZT 1,514,000 | | USD 4,398 | | Barclays Bank PLC | | | | 06/13/2018 | | | | | 185 | |
KZT 757,000 | | USD 2,200 | | Barclays Bank PLC | | | | 06/13/2018 | | | | | 91 | |
MYR 34,338 | | USD 8,128 | | Barclays Bank PLC | | | | 05/10/2018 | | | | | 621 | |
USD 8,873 | | MYR 34,338 | | Barclays Bank PLC | | | | 05/10/2018 | | | | | 124 | |
USD 8,595 | | INR 566,320 | | Barclays Bank PLC | | | | 06/14/2018 | | | | | 150 | |
USD 6,946 | | HUF 1,734,000 | | Barclays Bank PLC | | | | 06/22/2018 | | | | | 248 | |
USD 6,894 | | COP 19,213,000 | | HSBC Bank USA, N.A. | | | | 06/20/2018 | | | | | 59 | |
USD 7,028 | | ILS 24,539 | | HSBC Bank USA, N.A. | | | | 07/13/2018 | | | | | 180 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 1,757 | |
| | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | |
HUF 1,734,000 | | USD 6,875 | | Barclays Bank PLC | | | | 06/22/2018 | | | | | (178 | ) |
IDR 100,331,000 | | USD 7,305 | | HSBC Bank USA, N.A. | | | | 05/31/2018 | | | | | (118 | ) |
ILS 24,539 | | USD 7,021 | | HSBC Bank USA, N.A. | | | | 07/13/2018 | | | | | (173 | ) |
PEN 6,910 | | USD 2,142 | | BNP PARIBAS | | | | 07/20/2018 | | | | | (23 | ) |
USD 1,913 | | KZT 636,000 | | BNP PARIBAS | | | | 06/13/2018 | | | | | (12 | ) |
USD 1,517 | | KZT 504,000 | | HSBC Bank USA, N.A. | | | | 06/13/2018 | | | | | (9 | ) |
USD 9,052 | | BRL 31,784 | | State Street Bank & Trust Co. | | | | 05/16/2018 | | | | | (6 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | (519 | ) |
| | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | $ | 1,238 | |
| | | | | | | | | | | | | | |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | $ | 31,260 | |
Non-cash Collateral2 | | | (31,260) | |
| | | | |
| |
Net Amount | | $ | — | |
| | | | |
1The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis.
2At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule of Investments.
See notes to financial statements.
88 Payden Mutual Funds
| | | | | | | | |
The Fund seeks a high level of total return by generally investing in below investment grade debt instruments and income producing securities of emerging market countries denominated in foreign and U.S. currencies. | | Portfolio Composition - percent of investments | | | |
| | Foreign Government | | | 78% | | | |
| | Corporate | | | 21% | | | |
| | Cash equivalent | | | 1% | | | |
| | | | | | | | |
| | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
Bonds (97%) | | | | |
Argentina (ARS) (1%) | | | | |
12,050,000 | | Argentine Bonos del Tesoro, 15.50%, 10/17/26 ARS | | $ | 557 | |
6,340,000 | | Argentine Bonos del Tesoro, 16.00%, 10/17/23 ARS | | | 294 | |
22,368,000 | | Argentine Bonos del Tesoro, 18.20%, 10/03/21 ARS | | | 1,060 | |
8,765,600 | | YPF SA 144A, 16.50%, 5/09/22 ARS (a) | | | 399 | |
| | | | | 2,310 | |
Brazil (BRL) (9%) | | | | |
955,000 | | Brazil Notas do Tesouro Nacional Serie B,
18.09%, 8/15/26 BRL | | | 912 | |
9,337,000 | | Brazil Notas do Tesouro Nacional Serie F,
10.00%, 1/01/21 BRL | | | 2,799 | |
28,946,000 | | Brazil Notas do Tesouro Nacional Serie F,
10.00%, 1/01/23 BRL | | | 8,600 | |
22,852,000 | | Brazil Notas do Tesouro Nacional Serie F,
10.00%, 1/01/25 BRL | | | 6,730 | |
| | | | | 19,041 | |
Chile (CLP) (1%) | | | | |
855,000,000 | | Bonos de la Tesoreria de la Republica en pesos,
4.50%, 3/01/26 CLP | | | 1,399 | |
895,000,000 | | Bonos de la Tesoreria de la Republica en pesos,
5.00%, 3/01/35 CLP | | | 1,470 | |
79,000,000 | | Republic of Chile, 5.50%, 8/05/20 CLP | | | 134 | |
| | | | | 3,003 | |
Colombia (COP) (7%) | | | | |
540,000,000 | | Colombia Government International Bond,
7.75%, 4/14/21 COP | | | 203 | |
2,700,000,000 | | Colombian TES, 6.00%, 4/28/28 COP | | | 933 | |
7,545,000,000 | | Colombian TES, 7.00%, 5/04/22 COP | | | 2,847 | |
3,900,000,000 | | Colombian TES, 7.50%, 8/26/26 COP | | | 1,505 | |
5,870,000,000 | | Colombian TES, 7.75%, 9/18/30 COP | | | 2,299 | |
9,849,000,000 | | Colombian TES, 10.00%, 7/24/24 COP | | | 4,245 | |
900,000,000 | | Emgesa SA ESP 144A, 8.75%, 1/25/21 COP (a) | | | 336 | |
1,380,000,000 | | Empresa de Telecomunicaciones de Bogota 144A,
7.00%, 1/17/23 COP (a) | | | 409 | |
1,245,000,000 | | Empresas Publicas de Medellin ESP 144A,
7.63%, 9/10/24 COP (a) | | | 453 | |
1,036,000,000 | | Empresas Publicas de Medellin ESP 144A,
8.38%, 2/01/21 COP (a) | | | 383 | |
1,585,000,000 | | Financiera de Desarrollo Territorial SA Findeter | | | | |
| | 144A, 7.88%, 8/12/24 COP (a) | | | 586 | |
| | | | | 14,199 | |
Czech Republic (CZK) (0%) | | | | |
16,400,000 | | Czech Republic Government Bond,
0.95%, 5/15/30 CZK | | | 692 | |
| | | | | | |
| | | | | | |
| | |
Principal
or Shares | | Security Description | | Value (000) | |
Dominica Republic (DOP) (1%) | | | | |
78,400,000 | | Dominican Republic International Bond 144A,
8.90%, 2/15/23 DOP (a) | | $ | 1,640 | |
Georgia (GEL) (0%) | | | | |
1,990,000 | | Bank of Georgia JSC 144A, 11.00%, 6/01/20 GEL (a) | | | 820 | |
Hungary (HUF) (3%) | | | | |
104,000,000 | | Hungary Government Bond, 2.50%, 10/27/21 HUF | | | 423 | |
650,000,000 | | Hungary Government Bond, 3.00%, 10/27/27 HUF | | | 2,612 | |
187,000,000 | | Hungary Government Bond, 5.50%, 6/24/25 HUF | | | 885 | |
154,000,000 | | Hungary Government Bond, 6.00%, 11/24/23 HUF | | | 737 | |
488,610,000 | | Hungary Government Bond, 7.00%, 6/24/22 HUF | | | 2,332 | |
| | | | | 6,989 | |
Indonesia (IDR) (5%) | | | | |
37,500,000,000 | | Indonesia Treasury Bond, 5.63%, 5/15/23 IDR | | | 2,612 | |
22,500,000,000 | | Indonesia Treasury Bond 144A, 7.50%, 12/11/20 IDR (a) | | | 1,601 | |
21,440,000,000 | | Indonesia Treasury Bond 144A, 7.70%, 1/31/21 | | | | |
| | IDR (a) | | | 1,549 | |
24,700,000,000 | | Indonesia Treasury Bond, 8.25%, 6/15/32 IDR | | | 1,913 | |
12,926,000,000 | | Indonesia Treasury Bond, 8.25%, 5/15/36 IDR | | | 998 | |
16,400,000,000 | | Indonesia Treasury Bond, 8.38%, 3/15/24 IDR | | | 1,267 | |
15,600,000,000 | | Indonesia Treasury Bond, 8.38%, 9/15/26 IDR | | | 1,215 | |
4,500,000,000 | | Indonesia Treasury Bond, 8.38%, 3/15/34 IDR | | | 353 | |
| | | | | 11,508 | |
Kazakhstan (KZT) (1%) | | | | |
620,000,000 | | Development Bank of Kazakhstan JSC 144A,
8.95%, 5/04/23 KZT (a) | | | 1,884 | |
Luxembourg (BRL) (1%) | | | | |
6,650,000 | | Swiss Insured Brazil Power Finance Sarl 144A,
9.85%, 7/16/32 BRL (a) | | | 1,946 | |
Malaysia (MYR) (5%) | | | | |
2,890,000 | | Malaysia Government Bond, 3.84%, 4/15/33 MYR | | | 673 | |
6,510,000 | | Malaysia Government Bond, 3.89%, 3/15/27 MYR | | | 1,628 | |
2,705,000 | | Malaysia Government Bond, 4.18%, 7/15/24 MYR | | | 693 | |
14,000,000 | | Malaysia Government Bond, 4.25%, 5/31/35 MYR | | | 3,323 | |
10,090,000 | | Malaysia Government Bond, 4.39%, 4/15/26 MYR | | | 2,617 | |
Semi-Annual Report 89
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
2,560,000 | | Malaysia Government Bond, 4.50%, 4/15/30 MYR | | $ | 651 | |
| | | | | 9,585 | |
Mexico (MXN) (7%) | | | | |
72,300 | | America Movil SAB de CV, 6.45%, 12/05/22 MXN | | | 360 | |
10,700,000 | | Comision Federal de Electricidad,
7.35%, 11/25/25 MXN | | | 526 | |
7,270,000 | | Grupo Televisa SAB, 7.25%, 5/14/43 MXN | | | 286 | |
16,300,000 | | Mexican Bonos, 5.75%, 3/05/26 MXN | | | 785 | |
27,400,000 | | Mexican Bonos, 7.75%, 5/29/31 MXN | | | 1,487 | |
18,220,000 | | Mexican Bonos, 7.75%, 11/23/34 MXN | | | 988 | |
46,500,000 | | Mexican Bonos, 7.75%, 11/13/42 MXN | | | 2,514 | |
50,000,000 | | Mexican Bonos, 8.00%, 11/07/47 MXN | | | 2,777 | |
28,800,000 | | Mexican Bonos, 8.50%, 5/31/29 MXN | | | 1,653 | |
16,803,100 | | Mexican Bonos, 10.00%, 12/05/24 MXN | | | 1,023 | |
9,200,000 | | Petroleos Mexicanos, 7.19%, 9/12/24 MXN | | | 444 | |
16,240,000 | | Petroleos Mexicanos 144A, 7.65%, 11/24/21 MXN (a) | | | 841 | |
| | | | | 13,684 | |
Peru (PEN) (3%) | | | | |
3,000,000 | | Banco de Credito del Peru 144A,
4.85%, 10/30/20 PEN (a) | | | 929 | |
5,940,000 | | Peru Government Bond 144A, 6.15%, 8/12/32 PEN (a) | | | 1,921 | |
3,990,000 | | Republic of Peru 144A, 5.70%, 8/12/24 PEN (a) | | | 1,310 | |
3,405,000 | | Republic of Peru 144A, 6.35%, 8/12/28 PEN (a) | | | 1,138 | |
500,000 | | Republic of Peru 144A, 6.90%, 8/12/37 PEN (a) | | | 170 | |
4,030,000 | | Republic of Peru 144A, 6.95%, 8/12/31 PEN (a) | | | 1,403 | |
1,026,000 | | Republic of Peru 144A, 8.20%, 8/12/26 PEN (a) | | | 384 | |
| | | | | 7,255 | |
Poland (PLN) (9%) | | | | |
4,500,000 | | Poland Government Bond, 2.00%, 4/25/21 PLN | | | 1,291 | |
4,050,000 | | Poland Government Bond, 5.25%, 10/25/20 PLN | | | 1,257 | |
3,060,000 | | Poland Government Bond, 5.75%, 10/25/21 PLN | | | 984 | |
10,300,000 | | Poland Government Bond, 5.75%, 9/23/22 PLN | | | 3,365 | |
7,005,000 | | Republic of Poland Government Bond,
1.75%, 7/25/21 PLN | | | 1,993 | |
3,000,000 | | Republic of Poland Government Bond,
2.25%, 4/25/22 PLN | | | 859 | |
10,100,000 | | Republic of Poland Government Bond,
2.50%, 1/25/23 PLN | | | 2,897 | |
3,600,000 | | Republic of Poland Government Bond,
2.50%, 7/25/27 PLN | | | 982 | |
8,549,000 | | Republic of Poland Government Bond,
3.25%, 7/25/25 PLN | | | 2,500 | |
11,500,000 | | Republic of Poland Government Bond,
4.00%, 10/25/23 PLN | | | 3,528 | |
| | | | | 19,656 | |
Romania (RON) (2%) | | | | |
4,400,000 | | Romania Government Bond, 3.50%, 12/19/22 RON | | | 1,111 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
8,190,000 | | Romania Government Bond, 5.80%, 7/26/27 RON | | $ | 2,318 | |
4,350,000 | | Romania Government Bond, 5.85%, 4/26/23 RON | | | 1,211 | |
| | | | | 4,640 | |
Russian Federation (RUB) (8%) | | | | |
155,600,000 | | Russian Federal Bond - OFZ, 7.00%, 1/25/23 RUB | | | 2,503 | |
514,800,000 | | Russian Federal Bond - OFZ, 7.05%, 1/19/28 RUB | | | 8,133 | |
100,320,000 | | Russian Federal Bond - OFZ, 7.60%, 4/14/21 RUB | | | 1,639 | |
331,000,000 | | Russian Federal Bond - OFZ, 8.15%, 2/03/27 RUB | | | 5,600 | |
| | | | | 17,875 | |
South Africa (ZAR) (10%) | | | | |
96,800,000 | | Republic of South Africa, 6.25%, 3/31/36 ZAR | | | 5,964 | |
75,580,019 | | Republic of South Africa, 6.50%, 2/28/41 ZAR | | | 4,597 | |
70,380,000 | | Republic of South Africa, 7.00%, 2/28/31 ZAR | | | 4,933 | |
32,000,000 | | Republic of South Africa, 8.88%, 2/28/35 ZAR | | | 2,566 | |
25,775,000 | | Republic of South Africa Government Bond,
8.75%, 2/28/48 ZAR | | | 2,005 | |
6,800,000 | | Republic of South Africa Government Bond,
10.50%, 12/21/26 ZAR | | | 623 | |
11,200,000 | | Transnet SOC Ltd. 144A, 9.50%, 5/13/21 ZAR (a) | | | 896 | |
| | | | | 21,584 | |
Thailand (THB) (4%) | | | | |
73,000,000 | | Thailand Government Bond, 3.40%, 6/17/36 THB | | | 2,404 | |
19,100,000 | | Thailand Government Bond, 3.63%, 6/16/23 THB | | | 654 | |
170,000 | | Thailand Government Bond, 3.65%, 12/17/21 THB | | | 6 | |
145,800,000 | | Thailand Government Bond, 4.88%, 6/22/29 THB | | | 5,574 | |
| | | | | 8,638 | |
Turkey (TRY) (6%) | | | | |
2,734,043 | | Turkey Government Bond, 3.00%, 2/23/22 TRY | | | 672 | |
7,200,000 | | Turkey Government Bond, 7.10%, 3/08/23 TRY | | | 1,417 | |
225,000 | | Turkey Government Bond, 7.40%, 2/05/20 TRY | | | 50 | |
2,100,000 | | Turkey Government Bond, 8.00%, 3/12/25 TRY | | | 416 | |
13,250,000 | | Turkey Government Bond, 8.80%, 9/27/23 TRY | | | 2,791 | |
3,070,000 | | Turkey Government Bond, 9.00%, 7/24/24 TRY | | | 651 | |
4,250,000 | | Turkey Government Bond, 9.40%, 7/08/20 TRY | | | 961 | |
2,550,000 | | Turkey Government Bond, 9.50%, 1/12/22 TRY | | | 562 | |
3,420,000 | | Turkey Government Bond, 10.40%, 3/20/24 TRY | | | 776 | |
11,770,000 | | Turkey Government Bond, 10.60%, 2/11/26 TRY | | | 2,657 | |
4,660,000 | | Turkey Government Bond, 11.00%, 3/02/22 TRY | | | 1,075 | |
| | | | | 12,028 | |
United Kingdom (IDR) (2%) | | | | |
17,000,000,000 | | Standard Chartered Bank (Indonesia Government
Bond) 144A, 8.25%, 5/15/36 IDR (a) | | | 1,312 | |
90 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | | | | | |
23,400,000,000 | | Standard Chartered Bank/Singapore (Indonesia
Treasury Bond) 144A, 8.38%, 3/17/34 IDR (a) | | $ | 1,834 | |
| | | | | 3,146 | |
United Kingdom (INR) (1%) | | | | |
55,000,000 | | Standard Chartered Bank/Singapore (India
Government Bond) 144A, 7.59%, 1/13/26 INR (a) | | | 807 | |
85,000,000 | | Standard Chartered Bank/Singapore (India
Government Bond) 144A, 7.61%, 5/13/30 INR (a)(b) | | | 1,230 | |
39,000,000 | | Standard Chartered Bank/Singapore (India
Government Bond) 144A, 8.83%, 11/29/23 INR (a) | | | 610 | |
13,000,000 | | Standard Chartered Bank/Singapore (India
Government Bond), 9.34%, 8/27/24 INR | | | 204 | |
| | | | | 2,851 | |
United Kingdom (LKR) (1%) | | | | |
281,000,000 | | Standard Chartered Bank/Singapore (Sri Lanka
Government Bonds) 144A, 10.75%, 3/03/21 LKR (a) | | | 1,818 | |
70,000,000 | | Standard Chartered Bank/Singapore (Sri Lanka
Government Bonds) 144A, 11.00%, 8/05/24 LKR (a) | | | 459 | |
| | | | | 2,277 | |
United Kingdom (NGN) (1%) | | | | |
465,000,000 | | HSBC Bank PLC (Federal Republic of Nigeria)
144A, 0.00%, 11/05/18 NGN (a) | | | 1,225 | |
United States (EGP) (3%) | | | | |
9,700,000 | | Citigroup Global Markets Holdings Inc. (Arab
Republic of Egypt) 144A, 0.00%, 9/13/18 EGP (a) | | | 518 | |
28,000,000 | | Citigroup Global Markets Holdings Inc. (Arab
Republic of Egypt), 0.00%, 11/08/18 EGP | | | 1,463 | |
24,100,000 | | Citigroup Global Markets Holdings Inc. (Arab
Republic of Egypt), 0.00%, 11/08/18 EGP | | | 1,259 | |
11,400,000 | | Citigroup Global Markets Holdings Inc. (Arab
Republic of Egypt) 144A, 0.00%, 12/13/18 EGP (a) | | | 587 | |
34,200,000 | | Citigroup Global Markets Holdings Inc. (Arab
Republic of Egypt) 144A, 0.00%, 1/24/19 EGP (a) | | | 1,728 | |
| | | | | 5,555 | |
United States (GHS) (0%) | | | | |
1,500,000 | | Citigroup Global Markets Holdings Inc.
(Republic of Ghana) 144A, 24.75%, 3/03/21 GHS (a)(b) | | | 398 | |
United States (IDR) (3%) | | | | |
5,500,000,000 | | Indonesia Treasury Bond 144A, 8.38%, 3/19/24 IDR (a) | | | 425 | |
18,740,000,000 | | Indonesia Treasury Bond 144A, 8.38%, 9/17/26 IDR (a) | | | 1,460 | |
10,000,000,000 | | Indonesia Treasury Bond 144A, 8.75%, 5/19/31 IDR (a) | | | 809 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | | | | | |
49,194,000,000 | | Indonesia Treasury Bond 144A, 9.50%, 7/17/31 IDR (a) | | $ | 4,170 | |
4,000,000,000 | | Indonesia Treasury Bond 144A, 11.00%, 9/17/25 IDR (a) | | | 354 | |
| | | | | 7,218 | |
United States (NGN) (1%) | | | | |
347,000,000 | | Citigroup Global Markets Holdings Inc. (Federal
Republic of Nigeria), 0.00%, 5/19/18 NGN | | | 962 | |
368,000,000 | | Citigroup Global Markets Holdings Inc. (Federal
Republic of Nigeria), 0.00%, 6/16/18 NGN | | | 1,010 | |
| | | | | 1,972 | |
United States (UAH) (1%) | | | | |
56,000,000 | | Citigroup Global Markets Holdings Inc.
(Republic of Ukrain) 144A, 13.41%, 10/17/22 UAH (a) | | | 2,081 | |
Uruguay (UYU) (1%) | | | | |
10,970,000 | | Uruguay Government International Bond 144A,
8.50%, 3/15/28 UYU (a) | | | 369 | |
18,200,000 | | Uruguay Government International Bond 144A,
9.88%, 6/20/22 UYU (a) | | | 668 | |
| | | | | 1,037 | |
Total Bonds (Cost - $217,115) | | | 206,737 | |
| |
Investment Company (1%) | | | | |
1,683,861 | | Payden Cash Reserves Money Market Fund *
(Cost - $1,684) | | | 1,684 | |
| |
Total Investments (Cost - $218,799) (98%) | | | 208,421 | |
Other Assets, net of Liabilities (2%) | | | 3,389 | |
| |
Net Assets (100%) | | $ | 211,810 | |
| (a) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (b) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
Semi-Annual Report 91
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency sold (000) | | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) (000s) | |
Assets: | | | | | | | | | | | | | | |
COP 8,211,000 | | USD 2,879 | | | | HSBC Bank USA, N.A. | | | 06/20/2018 | | | | $ 42 | |
KZT 408,000 | | USD 1,185 | | | | Barclays Bank PLC | | | 06/13/2018 | | | | 50 | |
KZT 204,000 | | USD 593 | | | | Barclays Bank PLC | | | 06/13/2018 | | | | 25 | |
MXN 139,300 | | USD 7,375 | | | | Barclays Bank PLC | | | 06/15/2018 | | | | 19 | |
MYR 23,897 | | USD 5,657 | | | | Barclays Bank PLC | | | 05/10/2018 | | | | 432 | |
MYR 7,034 | | USD 1,723 | | | | Barclays Bank PLC | | | 05/10/2018 | | | | 70 | |
THB 246,250 | | USD 7,819 | | | | Barclays Bank PLC | | | 07/25/2018 | | | | 5 | |
USD 1,108 | | MYR 4,317 | | | | Barclays Bank PLC | | | 05/10/2018 | | | | 8 | |
USD 551 | | RUB 33,830 | | | | Barclays Bank PLC | | | 05/18/2018 | | | | 15 | |
USD 2,968 | | INR 195,560 | | | | Barclays Bank PLC | | | 06/14/2018 | | | | 52 | |
USD 571 | | HUF 142,500 | | | | Barclays Bank PLC | | | 06/22/2018 | | | | 20 | |
USD 1,090 | | COP 3,037,000 | | | | HSBC Bank USA, N.A. | | | 06/20/2018 | | | | 9 | |
USD 1,637 | | ILS 5,716 | | | | HSBC Bank USA, N.A. | | | 07/13/2018 | | | | 42 | |
| | | | | | | | | | | | | 789 | |
Liabilities: | | | | | | | | | | | | | | |
ARS 16,130 | | USD 774 | | | | BNP PARIBAS | | | 06/27/2018 | | | | (24) | |
BRL 3,926 | | USD 1,182 | | | | State Street Bank & Trust Co. | | | 05/16/2018 | | | | (63) | |
CLP 1,360,500 | | USD 2,278 | | | | BNP PARIBAS | | | 06/12/2018 | | | | (60) | |
CZK 167,580 | | USD 8,163 | | | | BNP PARIBAS | | | 06/28/2018 | | | | (230) | |
HUF 855,600 | | USD 3,392 | | | | Barclays Bank PLC | | | 06/22/2018 | | | | (88) | |
IDR 29,077,000 | | USD 2,117 | | | | HSBC Bank USA, N.A. | | | 05/31/2018 | | | | (34) | |
ILS 5,716 | | USD 1,635 | | | | HSBC Bank USA, N.A. | | | 07/13/2018 | | | | (40) | |
PEN 4,713 | | USD 1,461 | | | | BNP PARIBAS | | | 07/20/2018 | | | | (16) | |
PLN 6,870 | | USD 2,057 | | | | Barclays Bank PLC | | | 05/21/2018 | | | | (99) | |
RUB 33,830 | | USD 592 | | | | Barclays Bank PLC | | | 05/18/2018 | | | | (56) | |
TRY 11,043 | | USD 2,737 | | | | Barclays Bank PLC | | | 06/22/2018 | | | | (63) | |
USD 1,148 | | TRY 4,749 | | | | Barclays Bank PLC | | | 06/22/2018 | | | | (3) | |
USD 514 | | KZT 171,000 | | | | BNP PARIBAS | | | 06/13/2018 | | | | (3) | |
USD 409 | | KZT 135,800 | | | | HSBC Bank USA, N.A. | | | 06/13/2018 | | | | (2) | |
USD 1,118 | | BRL 3,926 | | | | State Street Bank & Trust Co. | | | 05/16/2018 | | | | (1) | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | (782) | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | $ 7 | |
See notes to financial statements.
92 Payden Mutual Funds
| | | | | | | | |
The Fund seeks a high level of total return by generally investing in below investment grade corporate debt instruments and income producing securities of emerging market countries denominated in U.S. and foreign currencies with no limit on the average portfolio maturity. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Corporate | | | 85% | | |
| | Foreign Government | | | 6% | | |
| | Cash equivalent | | | 9% | | |
| | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | |
| Schedule of Investments - April 30, 2018 (Unaudited) | |
Principal or Shares | | Security Description | | Value (000) | |
Bonds (95%) | | | | |
Argentina (ARS) (0%) | | | | |
2,000,000 | | YPF SA 144A, 16.50%, 5/09/22 ARS (a) | | $ | 91 | |
Argentina (USD) (3%) | | | | |
405,000 | | Argentine Republic Government International Bond, 6.88%, 4/22/21 | | | 426 | |
220,000 | | Capex SA 144A, 6.88%, 5/15/24 (a) | | | 222 | |
200,000 | | Generacion Mediterranea SA / Generacion Frias SA / Central Termica Roca SA 144A,
9.63%, 7/27/23 (a) | | | 218 | |
180,000 | | Provincia de Buenos Aires/Argentina 144A,
6.50%, 2/15/23 (a) | | | 183 | |
200,000 | | Rio Energy SA/UGEN SA/UENSA SA 144A, 6.88%, 2/01/25 (a) | | | 195 | |
220,000 | | Transportadora de Gas del Sur SA 144A,
6.75%, 5/02/25 (a) | | | 220 | |
| | | | | 1,464 | |
Bahamas (USD) (1%) | | | | |
200,000 | | Bahamas Government International Bond 144A, 6.00%, 11/21/28 (a) | | | 208 | |
Bermuda (USD) (4%) | | | | |
200,000 | | CBQ Finance Ltd. 144A, 7.50%, 11/18/19 (a) | | | 210 | |
205,000 | | Digicel Group Ltd. 144A, 8.25%, 9/30/20 (a) | | | 184 | |
425,000 | | Digicel Ltd. 144A, 6.00%, 4/15/21 (a) | | | 406 | |
450,000 | | Geopark Ltd. 144A, 6.50%, 9/21/24 (a) | | | 449 | |
200,000 | | Ooredoo International Finance Ltd. 144A,
5.00%, 10/19/25 (a) | | | 206 | |
205,000 | | Ooredoo International Finance Ltd. 144A,
7.88%, 6/10/19 (a) | | | 215 | |
| | | | | 1,670 | |
Brazil (BRL) (1%) | | | | |
980,000 | | Brazil Notas do Tesouro Nacional Serie F,
10.00%, 1/01/23 BRL | | | 291 | |
Brazil (USD) (3%) | | | | |
225,000 | | Banco BTG Pactual SA/Cayman Islands 144A, 4.00%, 1/16/20 (a) | | | 221 | |
200,000 | | Banco Nacional de Desenvolvimento Economico e Social 144A, 4.75%, 5/09/24 (a) | | | 198 | |
230,000 | | Itau Unibanco Holding SA/Cayman Island 144A, (5 yr. US Treasury Yield Curve Rate T Note Constant Maturity + 3.981%)
6.13%, 6/12/66 (a)(b) | | | 225 | |
210,000 | | JBS USA LUX SA / JBS USA Finance Inc. 144A, 6.75%, 2/15/28 (a) | | | 202 | |
589,257 | | USJ Acucar e Alcool SA 144A,
9.88%, 11/09/21 (a) | | | 524 | |
| | | | | 1,370 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
Canada (USD) (3%) | | | | |
200,000 | | Air Canada 2013-1 Class C Pass-Through Trust
144A, 6.63%, 5/15/18 (a) | | $ | 201 | |
420,000 | | CNOOC Nexen Finance 2014 ULC,
4.25%, 4/30/24 | | | 423 | |
200,000 | | First Quantum Minerals Ltd. 144A,
6.88%, 3/01/26 (a) | | | 190 | |
225,000 | | First Quantum Minerals Ltd. 144A,
7.00%, 2/15/21 (a) | | | 226 | |
200,000 | | Stoneway Capital Corp. 144A,
10.00%, 3/01/27 (a) | | | 214 | |
220,000 | | Valeant Pharmaceuticals International Inc. 144A, 9.00%, 12/15/25 (a) | | | 224 | |
| | | | | 1,478 | |
Cayman Islands (USD) (9%) | | | | |
200,000 | | ADCB Finance Cayman Ltd. 144A,
4.00%, 3/29/23 (a) | | | 198 | |
205,000 | | Alibaba Group Holding Ltd., 4.50%, 11/28/34 | | | 209 | |
462,000 | | Baidu Inc., 3.50%, 11/28/22 | | | 455 | |
295,000 | | Braskem Finance Ltd. 144A, 5.38%, 5/02/22 (a) | | | 304 | |
205,000 | | Dar Al-Arkan Sukuk Co., Ltd.,
6.50%, 5/28/19 (c) | | | 209 | |
220,000 | | Energuate Trust 144A, 5.88%, 5/03/27 (a) | | | 218 | |
222,000 | | Gol Finance Inc. 144A, 7.00%, 1/31/25 (a) | | | 214 | |
230,000 | | Gran Tierra Energy International Holdings Ltd.
144A, 6.25%, 2/15/25 (a) | | | 220 | |
440,000 | | GrupoSura Finance SA 144A,
5.50%, 4/29/26 (a) | | | 459 | |
225,000 | | Industrial Senior Trust 144A,
5.50%, 11/01/22 (a) | | | 224 | |
300,000 | | Lima Metro Line 2 Finance Ltd. 144A,
5.88%, 7/05/34 (a) | | | 305 | |
112,517 | | Odebrecht Drilling Norbe VIII/IX Ltd. 144A,
6.35%, 12/01/21 (a) | | | 110 | |
180,108 | | Odebrecht Drilling Norbe VIII/IX Ltd. 144A,
7.35%, 12/01/26 (a) | | | 99 | |
98,900 | | Odebrecht Oil & Gas Finance Ltd. 144A,
0.00%, 1/03/66 (a) | | | 2 | |
200,000 | | Sable International Finance Term Loan B4 L1,
(LIBOR USD 1-Month + 3.250%)
5.13%, 2/02/26 | | | 202 | |
330,000 | | Saudi Electricity Global Sukuk Co. 2 144A,
5.06%, 4/08/43 (a) | | | 319 | |
70,000 | | Vale Overseas Ltd., 6.25%, 8/10/26 | | | 77 | |
275,000 | | Vale Overseas Ltd., 6.88%, 11/21/36 | | | 320 | |
| | | | | 4,144 | |
Chile (USD) (2%) | | | | |
220,000 | | Celeo Redes Operacion Chile SA 144A,
5.20%, 6/22/47 (a) | | | 221 | |
Semi-Annual Report 93
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
439,019 | | Latam Airlines 2015-1 Pass-Through Trust B, 4.50%, 11/15/23 | | $ | 430 | |
| | | | | 651 | |
China (USD) (1%) | | | | |
390,000 | | Bank of China Ltd./Hong Kong,
2.88%, 6/30/20 | | | 386 | |
Colombia (USD) (1%) | | | | |
200,000 | | Banco de Bogota SA 144A,
4.38%, 8/03/27 (a) | | | 191 | |
215,000 | | Banco de Bogota SA 144A, 6.25%, 5/12/26 (a) | | | 224 | |
235,000 | | Ecopetrol SA, 5.88%, 5/28/45 | | | 227 | |
| | | | | 642 | |
Costa Rica (USD) (1%) | | | | |
400,000 | | Banco de Costa Rica 144A, 5.25%, 8/12/18 (a) | | | 402 | |
200,000 | | Banco Nacional de Costa Rica 144A,
5.88%, 4/25/21 (a) | | | 206 | |
| | | | | 608 | |
Georgia (GEL) (1%) | | | | |
500,000 | | Bank of Georgia JSC 144A, 11.00%, 6/01/20 GEL (a) | | | 206 | |
Georgia (USD) (1%) | | | | |
200,000 | | Georgian Oil and Gas Corp. JSC 144A,
6.75%, 4/26/21 (a) | | | 206 | |
200,000 | | Georgian Railway JSC 144A, 7.75%, 7/11/22 (a) | | | 216 | |
| | | | | 422 | |
Ghana (USD) (1%) | | | | |
450,000 | | Ghana Government International Bond 144A,
7.88%, 8/07/23 (a)(c) | | | 490 | |
Hong Kong (USD) (2%) | | | | |
355,000 | | AIA Group Ltd. 144A, 3.20%, 3/11/25 (a) | | | 340 | |
420,000 | | ICBCIL Finance Co. Ltd. 144A,
3.20%, 11/10/20 (a) | | | 414 | |
265,000 | | Swire Properties MTN Financing Ltd.,
4.38%, 6/18/22 | | | 272 | |
| | | | | 1,026 | |
India (USD) (2%) | | | | |
305,000 | | Adani Ports & Special Economic Zone Ltd. 144A, 4.00%, 7/30/27 (a) | | | 282 | |
240,000 | | Adani Transmission Ltd. 144A,
4.00%, 8/03/26 (a) | | | 222 | |
205,000 | | GMR Hyderabad International Airport Ltd.
144A, 4.25%, 10/27/27 (a) | | | 187 | |
200,000 | | IDBI Bank Ltd./DIFC Dubai, 4.13%, 4/23/20 | | | 200 | |
| | | | | 891 | |
Indonesia (IDR) (0%) | | | | |
2,800,000,000 | | Jasa Marga Persero Tbk PT 144A,
7.50%, 12/11/20 IDR (a) | | | 199 | |
Ireland (USD) (0%) | | | | |
210,000 | | Phosagro OAO via Phosagro Bond Funding DAC 144A, 3.95%, 11/03/21 (a) | | | 202 | |
Israel (USD) (1%) | | | | |
200,000 | | Israel Electric Corp. Ltd. 144A,
7.25%, 1/15/19 (a) | | | 205 | |
Kazakhstan (KZT) (1%) | | | | |
70,000,000 | | Development Bank of Kazakhstan JSC 144A,
8.95%, 5/04/23 KZT (a) | | | 213 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
Kazakhstan (USD) (1%) | | | | |
330,000 | | KazMunayGas National Co. JSC 144A,
9.13%, 7/02/18 (a) | | $ | 333 | |
310,000 | | Tengizchevroil Finance Co. International Ltd.
144A, 4.00%, 8/15/26 (a) | | | 294 | |
| | | | | 627 | |
Luxembourg (USD) (7%) | | | | |
625,000 | | Adecoagro SA 144A, 6.00%, 9/21/27 (a) | | | 580 | |
410,000 | | Altice Financing SA 144A, 7.50%, 5/15/26 (a) | | | 405 | |
200,000 | | ARD Finance SA, 7.13%, 9/15/23 | | | 205 | |
200,000 | | ARD Securities Finance SARL 144A,
8.75%, 1/31/23 (a) | | | 212 | |
240,000 | | Gazprom OAO Via Gaz Capital SA 144A,
4.95%, 3/23/27 (a) | | | 237 | |
205,000 | | Gazprom OAO Via Gaz Capital SA 144A,
4.95%, 2/06/28 (a) | | | 203 | |
200,000 | | Klabin Finance SA 144A, 4.88%, 9/19/27 (a) | | | 192 | |
200,000 | | MHP SA 144A, 7.75%, 5/10/24 (a) | | | 207 | |
405,000 | | Nexa Resources SA 144A, 5.38%, 5/04/27 (a) | | | 407 | |
230,000 | | Sberbank of Russia Via SB Capital SA 144A,
6.13%, 2/07/22 (a) | | | 240 | |
| | | | | 2,888 | |
Marshall Islands (USD) (1%) | | | | |
200,000 | | Nakilat Inc. 144A, 6.07%, 12/31/33 (a)
| | | 222 | |
Mexico (USD) (8%) | | | | |
200,000 | | America Movil SAB de CV, 3.13%, 7/16/22 | | | 196 | |
200,000 | | Banco Mercantil del Norte SA/Grand Cayman 144A, (5 yr. US Treasury Yield Curve Rate T
Note Constant Maturity + 4.447%)
5.75%, 10/04/31 (a)(b) | | | 193 | |
300,000 | | BBVA Bancomer SA/Texas 144A,
6.75%, 9/30/22 (a) | | | 326 | |
200,000 | | Cemex SAB de CV 144A, 6.13%, 5/05/25 (a) | | | 208 | |
420,000 | | Cemex SAB de CV 144A, (3 mo. LIBOR USD
+ 4.750%) 7.10%, 10/15/18 (a)(b) | | | 425 | |
200,000 | | Cometa Energia SA de CV 144A,
6.38%, 4/24/35 (a) | | | 197 | |
200,000 | | Cydsa SAB de CV 144A, 6.25%, 10/04/27 (a) | | | 193 | |
228,837 | | Fermaca Enterprises S de RL de CV 144A,
6.38%, 3/30/38 (a) | | | 245 | |
200,000 | | Mexichem SAB de CV 144A, 5.88%, 9/17/44 (a) | | | 192 | |
251,642 | | Mexico Generadora de Energia S de rl 144A,
5.50%, 12/06/32 (a) | | | 259 | |
220,000 | | Petroleos Mexicanos, 6.63%, 6/15/35 | | | 219 | |
645,000 | | Unifin Financiera SAB de CV SOFOM ENR
144A, 7.00%, 1/15/25 (a) | | | 630 | |
| | | | | 3,283 | |
Morocco (USD) (1%) | | | | |
200,000 | | BMCE Bank, 6.25%, 11/27/18 | | | 203 | |
225,000 | | OCP SA 144A, 6.88%, 4/25/44 (a) | | | 244 | |
| | | | | 447 | |
Netherlands (USD) (11%) | | | | |
200,000 | | Braskem Netherlands Finance BV 144A,
4.50%, 1/10/28 (a) | | | 188 | |
200,000 | | Greenko Dutch BV 144A, 5.25%, 7/24/24 (a) | | | 194 | |
200,000 | | IHS Netherlands Holdco BV 144A,
9.50%, 10/27/21 (a) | | | 207 | |
94 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
200,000 | | Listrindo Capital BV 144A, 4.95%, 9/14/26 (a) | | $ | 190 | |
225,000 | | Lukoil International Finance BV 144A,
4.75%, 11/02/26 (a) | | | 222 | |
435,000 | | Minejesa Capital BV 144A, 5.63%, 8/10/37 (a) | | | 421 | |
200,000 | | Myriad International Holdings BV 144A,
4.85%, 7/06/27 (a) | | | 201 | |
200,000 | | Nostrum Oil & Gas Finance BV 144A,
7.00%, 2/16/25 (a) | | | 193 | |
675,000 | | Petrobras Global Finance BV, 4.38%, 5/20/23 | | | 660 | |
485,000 | | Petrobras Global Finance BV, 6.13%, 1/17/22 | | | 513 | |
100,000 | | Petrobras Global Finance BV, 6.88%, 1/20/40 | | | 96 | |
110,000 | | Petrobras Global Finance BV, 7.38%, 1/17/27 | | | 118 | |
95,000 | | Petrobras Global Finance BV, 8.38%, 5/23/21 | | | 107 | |
1,120,000 | | Teva Pharmaceutical Finance Netherlands III BV 144A, 6.75%, 3/01/28 (a)(c) | | | 1,108 | |
205,000 | | VTR Finance BV 144A, 6.88%, 1/15/24 (a) | | | 212 | |
| | | | | 4,630 | |
Nigeria (USD) (0%) | | | | |
200,000 | | Nigeria Government International Bond 144A,
6.50%, 11/28/27 (a) | | | 202 | |
Panama (USD) (0%) | | | | |
200,000 | | Banco General SA 144A, 4.13%, 8/07/27 (a) | | | 191 | |
Paraguay (USD) (2%) | | | | |
425,000 | | Banco Regional SAECA 144A,
8.13%, 1/24/19 (a) | | | 441 | |
225,000 | | Telefonica Celular del Paraguay SA 144A,
6.75%, 12/13/22 (a) | | | 231 | |
| | | | | 672 | |
Peru (PEN) (0%) | | | | |
300,000 | | Peru Government Bond 144A, 6.15%, 8/12/32 PEN (a) | | | 97 | |
Peru (USD) (3%) | | | | |
198,220 | | Abengoa Transmision Sur SA 144A,
6.88%, 4/30/43 (a) | | | 218 | |
385,000 | | Banco Internacional del Peru SAA Interbank
144A, (3 mo. LIBOR USD + 0.000%)
6.63%, 3/19/29 (a)(b) | | | 416 | |
220,000 | | Peru LNG Srl 144A, 5.38%, 3/22/30 (a) | | | 220 | |
200,000 | | SAN Miguel Industrias Pet SA 144A,
4.50%, 9/18/22 (a) | | | 199 | |
420,000 | | Scotiabank Peru SAA 144A, (3 mo. LIBOR USD + 3.856%) 4.50%, 12/13/27 (a)(b) | | | 424 | |
| | | | | 1,477 | |
Qatar (USD) (1%) | | | | |
250,000 | | Ras Laffan Liquefied Natural Gas Co. Ltd. III
144A, 5.84%, 9/30/27 (a) | | | 269 | |
Russian Federation (RUB) (0%) | | | | |
7,600,000 | | Russian Federal Bond - Ofz, 8.15%, 2/03/27 RUB | | | 129 | |
Saint Lucia (USD) (0%) | | | | |
199,000 | | Digicel International Finance Term Loan B 1L, (LIBOR USD 3-Month + 3.250%)
5.61%, 5/10/24 (d) | | | 199 | |
Senegal (USD) (1%) | | | | |
200,000 | | Senegal Government International Bond 144A,
8.75%, 5/13/21 (a) | | | 223 | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Singapore (USD) (1%) | | | | |
240,000 | | BOC Aviation Ltd. 144A, 3.88%, 4/27/26 (a) | | $ | 229 | |
200,000 | | Marble II Pte Ltd. 144A, 5.30%, 6/20/22 (a) | | | 198 | |
| | | | | 427 | |
South Africa (ZAR) (0%) | | | | |
3,265,000 | | Republic of South Africa Government Bond,
6.50%, 2/28/41 ZAR | | | 199 | |
Sri Lanka (USD) (2%) | | | | |
425,000 | | National Savings Bank 144A, 8.88%, 9/18/18 (a) | | | 431 | |
210,000 | | Sri Lanka Government International Bond 144A, 6.83%, 7/18/26 (a) | | | 214 | |
| | | | | 645 | |
Thailand (USD) (1%) | | | | |
200,000 | | Krung Thai Bank PCL/Cayman Islands, (5 yr. US Treasury Yield Curve Rate T Note Constant
Maturity + 3.535%) 5.20%, 12/26/24 (b) | | | 203 | |
Turkey (USD) (1%) | | | | |
210,000 | | Akbank Turk AS 144A, (5 yr. Swap Semi 30/360 USD + 4.029%) 6.80%, 4/27/28 (a)(b) | | | 207 | |
200,000 | | Turkiye Garanti Bankasi AS 144A,
5.25%, 9/13/22 (a) | | | 198 | |
210,000 | | Turkiye Is Bankasi 144A, 5.50%, 4/21/22 (a) | | | 207 | |
| | | | | 612 | |
United Arab Emirates (USD) (4%) | | | | |
240,000 | | Abu Dhabi Crude Oil Pipeline LLC 144A,
4.60%, 11/02/47 (a) | | | 227 | |
325,000 | | Acwa Power Management And Investments One Ltd. 144A, 5.95%, 12/15/39 (a) | | | 330 | |
300,000 | | DP World Ltd. 144A, 6.85%, 7/02/37 (a) | | | 358 | |
280,000 | | Emirates Semb Corp. Water & Power Co. PJSC 144A, 4.45%, 8/01/35 (a) | | | 273 | |
200,000 | | Kuwait Projects Co. SPC Ltd., 4.50%, 2/23/27 | | | 193 | |
200,000 | | Ruwais Power Co. PJSC 144A,
6.00%, 8/31/36 (a) | | | 222 | |
| | | | | 1,603 | |
United Kingdom (USD) (2%) | | | | |
430,000 | | MARB BondCo PLC 144A, 6.88%, 1/19/25 (a) | | | 405 | |
200,000 | | Petra Diamonds U.S. Treasury PLC 144A,
7.25%, 5/01/22 (a) | | | 200 | |
210,000 | | Vedanta Resources PLC 144A,
6.13%, 8/09/24 (a) | | | 203 | |
200,000 | | Vedanta Resources PLC 144A,
7.13%, 5/31/23 (a) | | | 204 | |
| | | | | 1,012 | |
United States (EGP) (1%) | | | | |
5,100,000 | | Citigroup Global Markets Holdings Inc. (Arab
Republic of Egypt), 0.00%, 11/08/18 EGP | | | 267 | |
5,800,000 | | Citigroup Global Markets Holdings Inc. (Arab
Republic of Egypt) 144A, 0.00%, 1/24/19 EGP (a) | | | 293 | |
| | | | | 560 | |
United States (NGN) (1%) | | | | |
100,000,000 | | Citigroup Global Markets Holdings Inc. (Federal Republic of Nigeria), 0.00%, 6/16/18 NGN | | | 274 | |
100,000,000 | | Citigroup Global Markets Holdings Inc. (Federal Republic of Nigeria) 144A, 0.00%, 10/22/18 NGN (a) | | | 266 | |
| | | | | 540 | |
Semi-Annual Report 95
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
United States (USD) (5%) | | | | |
200,000 | | Dell International LLC/EMC Corp. 144A,
4.42%, 6/15/21 (a) | | $ | 204 | |
140,000 | | Fannie Mae Connecticut Avenue Securities, (1
mo. LIBOR USD + 2.200%) 4.10%, 8/25/30 (b) | | | 142 | |
215,000 | | Freddie Mac Structured Agency Credit Risk Debt
Notes, (1 mo. LIBOR USD + 2.300%)
4.20%, 9/25/30 (b) | | | 218 | |
140,000 | | Golden Nugget Inc. Term Loan B 1L, (LIBOR
USD 1-Month + 2.750%) 4.65%, 10/04/23 | | | 141 | |
140,000 | | K-Mac Holdings Corp. Term Loan B 2L, (LIBOR
USD 1-Month + 6.750%) 8.65%, 3/16/26 | | | 142 | |
210,000 | | Navient Corp., 5.00%, 10/26/20 | | | 212 | |
200,000 | | NPC International Inc. Term Loan 2L, (LIBOR
USD 1-Month + 7.500%) 9.38%, 4/18/25 (d) | | | 205 | |
289,000 | | Southern Copper Corp., 5.88%, 4/23/45 | | | 324 | |
160,000 | | Tacala Investment Corp. Term Loan 2L, (LIBOR
USD 1-Month + 7.000%) 8.88%, 2/01/26 (d) | | | 163 | |
450,000 | | Terraform Global Operating LLC 144A,
6.13%, 3/01/26 (a) | | | 457 | |
| | | | | 2,208 | |
Virgin Islands (British) (USD) (3%) | | | | |
200,000 | | Arcos Dorados Holdings Inc. 144A,
5.88%, 4/04/27 (a) | | | 201 | |
200,000 | | Arcos Dorados Holdings Inc. 144A,
6.63%, 9/27/23 (a) | | | 213 | |
150,000 | | Central American Bottling Corp. 144A,
5.75%, 1/31/27 (a) | | | 154 | |
275,000 | | CLP Power Hong Kong Financing Ltd.,
3.13%, 5/06/25 | | | 263 | |
200,000 | | Sinopec Group Overseas Development 2015 Ltd.
144A, 2.50%, 4/28/20 (a) | | | 197 | |
200,000 | | Studio City Co. Ltd. 144A, 7.25%, 11/30/21 (a) | | | 209 | |
| | | | | 1,237 | |
Total Bonds (Cost - $41,704) | | | 41,659 | |
| |
Investment Company (9%) | | | | |
3,952,673 | | Payden Cash Reserves Money Market Fund *
(Cost - $3,953) | | | 3,953 | |
| |
Total Investments (Cost - $45,657) (104%) | | | 45,612 | |
Liabilities in excess of Other Assets (-4%) | | | (1,740 | ) |
| |
Net Assets (100%) | | $ | 43,872 | |
| (a) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (b) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (c) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $1,530 and the total market value of the collateral held by the Fund is $1,581. Amounts in 000s. |
| (d) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
96 Payden Mutual Funds
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency Sold (000) | | | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) (000s) |
Assets: | | | | | | | | | | | | | | | | |
COP 615,000 | | USD 216 | | | | HSBC Bank USA, N.A. | | | | 06/20/2018 | | | | | $ 3 | |
KZT 46,000 | | USD 134 | | | | Barclays Bank PLC | | | | 06/13/2018 | | | | | 5 | |
KZT 23,000 | | USD 67 | | | | Barclays Bank PLC | | | | 06/13/2018 | | | | | 3 | |
MYR 1,716 | | USD 406 | | | | Barclays Bank PLC | | | | 05/10/2018 | | | | | 31 | |
USD 221 | | HUF 55,100 | | | | Barclays Bank PLC | | | | 06/22/2018 | | | | | 8 | |
USD 221 | | COP 615,000 | | | | HSBC Bank USA, N.A. | | | | 06/20/2018 | | | | | 2 | |
USD 223 | | ILS 779 | | | | HSBC Bank USA, N.A. | | | | 07/13/2018 | | | | | 6 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 58 | |
| | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
HUF 55,100 | | USD 218 | | | | Barclays Bank PLC | | | | 06/22/2018 | | | | | (6) | |
IDR 4,428,000 | | USD 322 | | | | HSBC Bank USA, N.A. | | | | 05/31/2018 | | | | | (5) | |
ILS 779 | | USD 223 | | | | HSBC Bank USA, N.A. | | | | 07/13/2018 | | | | | (6) | |
USD 279 | | MYR 1,111 | | | | Barclays Bank PLC | | | | 05/10/2018 | | | | | (4) | |
USD 57 | | KZT 19,000 | | | | BNP PARIBAS | | | | 06/13/2018 | | | | | — | |
USD 46 | | KZT 15,300 | | | | HSBC Bank USA, N.A. | | | | 06/13/2018 | | | | | — | |
USD 87 | | BRL 305 | | | | State Street Bank & Trust Co. | | | | 05/16/2018 | | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (21) | |
| | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | $ 37 | |
| | | | | | | | | | | | | | | | |
Open Future Contracts
| | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | Expiration Date | | Notional Amount (000s) | | Current Value
(000s) | | Unrealized Appreciation (Depreciation) (000s) |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | |
U.S. Long Bond Future | | 3 | | | | Jun-18 | | | | | $(432) | | | | | $(5) | | | | | $(5) | |
U.S. Treasury 10 Year Note Future | | 6 | | | | Jun-18 | | | | | (718) | | | | | 1 | | | | | 1 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (4) | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | $(4) | |
| | | | | | | | | | | | | | | | | | | | | | |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | $ | 1,530 | |
Non-cash Collateral2 | | | (1,530 | ) |
| | | | |
Net Amount | | $ | — | |
| | | | |
1The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis.
2At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule
of Investments.
See notes to financial statements.
Semi-Annual Report 97
| | | | | | | | | | |
The Fund seeks growth of capital by investing in U.S. large capitalization value stocks and income producing equity securities with above average dividend yields with up to 30% in foreign securities. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Financial | | | 26% | | |
| | Energy | | | 14% | | |
| | Technology | | | 14% | | |
| | Healthcare | | | 10% | | |
| | Industrial | | | 8% | | |
| | Other | | | 28% | | |
| | | | | | | | |
| | | | | | |
| Schedule of Investments - April 30, 2018 (Unaudited) | |
Principal or Shares | | Security Description | | Value
(000) | |
Stocks (95%) | | | | |
Common Stock (81%) | | | | |
Consumer Discretionary (9%) | | | | |
64,800 | | Home Depot Inc. | | $ | 11,975 | |
251,400 | | Las Vegas Sands Corp. | | | 18,435 | |
133,200 | | McDonald’s Corp. | | | 22,303 | |
666,600 | | Sekisui House Ltd. | | | 12,223 | |
189,800 | | Six Flags Entertainment Corp. | | | 12,003 | |
155,200 | | Starbucks Corp. | | | 8,935 | |
179,700 | | Yum! Brands Inc. | | | 15,652 | |
| | | | | 101,526 | |
Consumer Staple (5%) | | | | |
202,400 | | Altria Group Inc. | | | 11,357 | |
96,400 | | Costco Wholesale Corp. | | | 19,006 | |
107,400 | | Kraft Heinz Co. | | | 6,055 | |
272,700 | | Philip Morris International Inc. | | | 22,361 | |
| | | | | 58,779 | |
Energy (6%) | | | | |
191,100 | | Exxon Mobil Corp. | | | 14,858 | |
244,200 | | ONEOK Inc. | | | 14,706 | |
177,400 | | Phillips 66 | | | 19,746 | |
150,900 | | Valero Energy Corp. | | | 16,739 | |
| | | | | 66,049 | |
Financial (18%) | | | | |
46,700 | | Allianz SE | | | 11,079 | |
710,200 | | Bank of America Corp. | | | 21,249 | |
115,800 | | Bank of Hawaii Corp. | | | 9,751 | |
259,500 | | BB&T Corp. | | | 13,702 | |
287,800 | | Citigroup Inc. | | | 19,648 | |
297,600 | | JPMorgan Chase & Co. | | | 32,373 | |
145,500 | | PNC Financial Services Group Inc./The | | | 21,186 | |
106,500 | | Prudential Financial Inc. | | | 11,323 | |
163,900 | | Royal Bank of Canada | | | 12,465 | |
199,500 | | SunTrust Banks Inc. | | | 13,327 | |
229,100 | | Toronto-Dominion Bank | | | 12,864 | |
267,000 | | US Bancorp | | | 13,470 | |
251,400 | | Wells Fargo & Co. | | | 13,063 | |
| | | | | 205,500 | |
Healthcare (10%) | | | | |
143,200 | | AbbVie Inc. | | | 13,826 | |
127,000 | | Amgen Inc. | | | 22,159 | |
194,400 | | Eli Lilly & Co. | | | 15,760 | |
242,400 | | Gilead Sciences Inc. | | | 17,509 | |
415,700 | | Merck & Co. Inc. | | | 24,472 | |
630,900 | | Pfizer Inc. | | | 23,097 | |
| | | | | 116,823 | |
Industrial (8%) | | | | |
309,600 | | Atlantia SpA | | | 10,281 | |
59,800 | | Boeing Co. | | | 19,947 | |
165,200 | | Emerson Electric Co. | | | 10,971 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value
(000) | |
| | |
96,400 | | Lockheed Martin Corp. | | $ | 30,929 | |
107,100 | | United Parcel Service Inc. | | | 12,156 | |
179,200 | | Waste Management Inc. | | | 14,567 | |
| | | | | 98,851 | |
Information Technology (2%) | | | | |
134,600 | | International Business Machines Corp. | | | 19,512 | |
Material (1%) | | | | |
220,600 | | DowDuPont Inc. | | | 13,951 | |
Technology (14%) | | | | |
749,100 | | Cisco Systems Inc. | | | 33,177 | |
544,300 | | Intel Corp. | | | 28,097 | |
361,500 | | Maxim Integrated Products Inc. | | | 19,702 | |
298,900 | | Microsoft Corp. | | | 27,953 | |
278,400 | | Paychex Inc. | | | 16,863 | |
241,200 | | Texas Instruments Inc. | | | 24,465 | |
63,400 | | Tokyo Electron Ltd. | | | 12,211 | |
| | | | | 162,468 | |
Telecommunication (3%) | | | | |
267,500 | | AT&T Inc. | | | 8,747 | |
323,900 | | BCE Inc. | | | 13,750 | |
295,300 | | Verizon Communications Inc. | | | 14,573 | |
| | | | | 37,070 | |
Utility (5%) | | | | |
253,000 | | American Electric Power Co. Inc. | | | 17,705 | |
141,200 | | Consolidated Edison Inc. | | | 11,314 | |
185,700 | | Duke Energy Corp. | | | 14,886 | |
407,900 | | Southern Co. | | | 18,812 | |
| | | | | 62,717 | |
Total Common Stock | | | 943,246 | |
Master Limited Partnership (8%) | | | | |
746,400 | | Antero Midstream Partners LP | | | 20,011 | |
1,130,500 | | Enterprise Products Partners LP | | | 30,342 | |
379,100 | | Magellan Midstream Partners LP | | | 24,956 | |
635,756 | | Spectra Energy Partners LP | | | 22,665 | |
Total Master Limited Partnership | | | 97,974 | |
Preferred Stock (2%) | | | | |
95,700 | | Bank of America Corp., 6.625% | | | 2,510 | |
103,000 | | BB&T Corp., 5.625% (a) | | | 2,656 | |
60,000 | | Capital One Financial Corp., 5.20% (a) | | | 1,456 | |
208,000 | | Goldman Sachs Group Inc., 5.50% (a) | | | 5,346 | |
119,900 | | Kinder Morgan Inc./DE., 9.75% (a) | | | 3,729 | |
110,900 | | US Bancorp, 6.50% | | | 3,061 | |
Total Preferred Stock | | | 18,758 | |
Real Estate Investment Trust (5%) | | | | |
115,000 | | CoreSite Realty Corp. | | | 11,972 | |
111,300 | | Crown Castle International Corp. | | | 11,227 | |
114,300 | | Digital Realty Trust Inc. | | | 12,080 | |
98 Payden Mutual Funds
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
163,500 | | Prologis Inc. | | $ | 10,613 | |
44,400 | | Public Storage | | | 8,959 | |
Total Real Estate Investment Trust | | | 54,851 | |
| |
Total Stocks (Cost - $961,405) | | | 1,114,829 | |
| |
Corporate Bonds (3%) | | | | |
1,906,000 | | CIT Group Inc., (3 mo. LIBOR USD + 3.972%)
5.80%, (b)(c) | | | 1,901 | |
6,000,000 | | Citigroup Inc., (3 mo. LIBOR USD + 3.423%)
6.30%, (b)(c) | | | 6,141 | |
9,180,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR
USD + 3.598%) 5.75%, (a)(b)(c) | | | 9,074 | |
4,414,000 | | Huntington Bancshares Inc./OH, (3 mo. LIBOR
USD + 2.880%) 5.70%, (b)(c) | | | 4,420 | |
6,000,000 | | JPMorgan Chase & Co., (3 mo. LIBOR USD
+ 3.330%) 6.10%, (b)(c) | | | 6,225 | |
| |
Total Corporate Bonds (Cost - $27,984) | | | 27,761 | |
| |
Investment Company (2%) | | | | |
26,153,039 | | Payden Cash Reserves Money Market Fund *
(Cost - $26,153) | | | 26,153 | |
| |
Total Investments (Cost - $1,015,542) (101%) | | | 1,168,743 | |
Liabilities in excess of Other Assets (-1%) | | | (9,544 | ) |
| |
Net Assets (100%) | | $ | 1,159,199 | |
| | | | | | |
| (a) | All or a portion of these securities are on loan. At April 30, 2018, the total market value of the Fund’s securities on loan is $12,251 and the total market value of the collateral held by the Fund is $12,633. Amounts in 000s. |
| (b) | Perpetual security with no stated maturity date. |
| (c) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | |
Currency Purchased (000s) | | Currency sold (000) | | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) (000s) | |
Assets: | | | | | | | | | | | | | | |
USD 24,094 | | JPY 2,562,400 | | | | Barclays Bank PLC | | | 05/08/2018 | | | | $642 | |
USD 32,011 | | EUR 25,998 | | | | Citibank, N.A. | | | 05/08/2018 | | | | 597 | |
USD 39,504 | | CAD 50,550 | | | | Royal Bank of Canada | | | 05/08/2018 | | | | 127 | |
| | | | | | | | | | | | | 1,366 | |
| | | | | |
Liabilities: | | | | | | | | | | | | | | |
EUR 8,300 | | USD 10,158 | | | | Citibank, N.A. | | | 05/08/2018 | | | | (129) | |
| | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | $1,237 | |
Offsetting Assets and Liabilities
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
| | | | |
| | | Value
(000’s) | |
Total gross amount presented on the Statements of Assets and Liabilities1 | | | $12,251 | |
Non-cash Collateral2 | | | (12,251 | ) |
Net Amount | | | $ — | |
1The amount presented on the Statements of Assets and Liabilities is not offset and is shown on a gross basis.
2At April 30, 2018, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Schedule
of Investments.
See notes to financial statements.
Semi-Annual Report 99
April 30, 2018 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | Payden
Cash Reserves
Money Market
Fund | | | | Payden
Limited
Maturity
Fund | | | | Payden
Low Duration
Fund | | |
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value * | | | $ | 209,646 | | | | | | | | | $ | 796,935 | | | | | | | | | $ | 1,093,069 | | | | | | |
Affiliated investments, at value ** | | | | — | | | | | | | | | | 1,268 | | | | | | | | | | 8,666 | | | | | | |
Repurchase agreements, at value *** | | | | 105,000 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Foreign cash **** | | | | — | | | | | | | | | | 418 | | | | | | | | | | 10 | | | | | | |
Cash | | | | 11,246 | | | | | | | | | | 65 | | | | | | | | | | 7 | | | | | | |
Cash pledged for financial futures contracts | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Cash pledged for centrally cleared swaps | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Receivable for: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest and dividends | | | | 196 | | | | | | | | | | 2,567 | | | | | | | | | | 5,067 | | | | | | |
Investments sold | | | | — | | | | | | | | | | 8 | | | | | | | | | | 820 | | | | | | |
Fund shares sold | | | | 166 | | | | | | | | | | 315 | | | | | | | | | | 355 | | | | | | |
Futures | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Forward currency contracts | | | | — | | | | | | | | | | 326 | | | | | | | | | | 81 | | | | | | |
Other assets | | | | 41 | | | | | | | | | | 38 | | | | | | | | | | 64 | | | | | | |
Total Assets | | | | 326,295 | | | | | | | | | | 801,940 | | | | | | | | | | 1,108,139 | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Forward currency contracts | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Investments purchased | | | | 11,240 | | | | | | | | | | 2,002 | | | | | | | | | | 6,431 | | | | | | |
Fund shares redeemed | | | | 3,069 | | | | | | | | | | 1,252 | | | | | | | | | | 1,348 | | | | | | |
Futures | | | | — | | | | | | | | | | — | | | | | | | | | | 42 | | | | | | |
Options written ***** | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Variation margin on centrally cleared swaps | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Unfunded floating rate loan interests | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Distributions payable | | | | 322 | | | | | | | | | | 136 | | | | | | | | | | 163 | | | | | | |
Liability for securities on loan (Note 2) | | | | — | | | | | | | | | | 1,182 | | | | | | | | | | 2,955 | | | | | | |
Accrued expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | | 2 | | | | | | | | | | 3 | | | | | | | | | | 154 | | | | | | |
Administration fees (Note 3) | | | | 42 | | | | | | | | | | 101 | | | | | | | | | | 133 | | | | | | |
Distribution fees (Note 3) | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Trustee fees and expenses | | | | 6 | | | | | | | | | | 2 | | | | | | | | | | 8 | | | | | | |
Other liabilities | | | | 65 | | | | | | | | | | 93 | | | | | | | | | | 172 | | | | | | |
Total Liabilities | | | | 14,746 | | | | | | | | | | 4,771 | | | | | | | | | | 11,406 | | | | | | |
NET ASSETS | | | $ | 311,549 | | | | | | | | | $ | 797,169 | | | | | | | | | $ | 1,096,733 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | | $ | 311,547 | | | | | | | | | $ | 797,920 | | | | | | | | | $ | 1,109,269 | | | | | | |
Undistributed net investment income (loss) | | | | — | | | | | | | | | | 10 | | | | | | | | | | (115 | ) | | | | | |
Undistributed net realized gains (losses) from investments | | | | 2 | | | | | | | | | | (1,178 | ) | | | | | | | | | (5,177 | ) | | | | | |
Net unrealized appreciation (depreciation) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | — | | | | | | | | | | 101 | | | | | | | | | | (7,324 | ) | | | | | |
Translation of assets and liabilities in foreign currencies | | | | — | | | | | | | | | | 316 | | | | | | | | | | 80 | | | | | | |
NET ASSETS | | | $ | 311,549 | | | | | | | | | $ | 797,169 | | | | | | | | | $ | 1,096,733 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSET VALUE — offering and redemption price per share in whole dollars | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Shares Outstanding | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Net Asset Value Per Share | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | $ | 311,549 | | | | | | | | | $ | 797,169 | | | | | | | | | $ | 1,096,733 | | | | | | |
Shares Outstanding | | | | 311,541 | | | | | | | | | | 84,220 | | | | | | | | | | 109,995 | | | | | | |
Net Asset Value Per Share | | | $ | 1.00 | | | | | | | | | $ | 9.47 | | | | | | | | | $ | 9.97 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Shares Outstanding | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Net Asset Value Per Share | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* Investments, at cost | | | $ | 209,646 | | | | | | | | | $ | 796,834 | | | | | | | | | $ | 1,100,169 | | | | | | |
** Affiliated investments, at cost | | | | — | | | | | | | | | | 1,268 | | | | | | | | | | 8,666 | | | | | | |
*** Repurchase agreements, at cost | | | | 105,000 | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
**** Foreign cash, at cost | | | | — | | | | | | | | | | 427 | | | | | | | | | | 10 | | | | | | |
***** Options written, at cost | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
See notes to financial statements.
100 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden
U.S.
Government
Fund | | | | | | Payden
GNMA
Fund | | | Payden Core Bond Fund | | | Payden
Corporate Bond
Fund | | | Payden
Strategic Income
Fund | | | Payden
Absolute Return
Bond Fund | | | Payden
Floating Rate
Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 48,824 | | | | | | | | | | | | | | | $ | 277,518 | | | | | | | | | | | $ | 889,887 | | | | | | | | | | | $ | 198,015 | | | | | | | | | | | $ | 173,700 | | | | | | | | | | | $ | 124,872 | | | | | | | | | | | $ | 147,261 | | | | | |
| | | | | 5,901 | | | | | | | | | | | | | | | | 1,280 | | | | | | | | | | | | 3,425 | | | | | | | | | | | | 7,041 | | | | | | | | | | | | 2,733 | | | | | | | | | | | | 1,016 | | | | | | | | | | | | 9,290 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 97 | | | | | | | | | | | | — | | | | | | | | | | | | 28 | | | | | | | | | | | | 4 | | | | | | | | | | | | — | | | | | |
| | | | | 4 | | | | | | | | | | | | | | | | 1,142 | | | | | | | | | | | | 1,076 | | | | | | | | | | | | — | | | | | | | | | | | | 52 | | | | | | | | | | | | 597 | | | | | | | | | | | | 2,146 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 295 | | | | | | | | | | | | 1,709 | | | | | | | | | | | | 180 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 95 | | | | | | | | | | | | | | | | 200 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 206 | | | | | | | | | | | | | | | | 604 | | | | | | | | | | | | 5,978 | | | | | | | | | | | | 2,159 | | | | | | | | | | | | 1,295 | | | | | | | | | | | | 601 | | | | | | | | | | | | 473 | | | | | |
| | | | | 22,457 | | | | | | | | | | | | | | | | 17,412 | | | | | | | | | | | | 1,922 | | | | | | | | | | | | 1,181 | | | | | | | | | | | | — | | | | | | | | | | | | 347 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 18 | | | | | | | | | | | | 416 | | | | | | | | | | | | 75 | | | | | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 3 | | | | | | | | | | | | 68 | | | | | | | | | | | | 16 | | | | | | | | | | | | 11 | | | | | | | | | | | | 3 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 956 | | | | | | | | | | | | — | | | | | | | | | | | | 239 | | | | | | | | | | | | 395 | | | | | | | | | | | | — | | | | | |
| | | | | 15 | | | | | | | | | | | | | | | | 6 | | | | | | | | | | | | 67 | | | | | | | | | | | | 61 | | | | | | | | | | | | 32 | | | | | | | | | | | | 29 | | | | | | | | | | | | 30 | | | | | |
| | | | | | 77,502 | | | | | | | | | | | | | | | | 298,478 | | | | | | | | | | | | 905,601 | | | | | | | | | | | | 208,728 | | | | | | | | | | | | 178,090 | | | | | | | | | | | | 127,865 | | | | | | | | | | | | 159,200 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 151 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 1,602 | | | | | | | | | | | | — | | | | | | | | | | | | 387 | | | | | | | | | | | | 305 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 106,805 | | | | | | | | | | | | 86,363 | | | | | | | | | | | | 1,116 | | | | | | | | | | | | 2,238 | | | | | | | | | | | | 3,814 | | | | | | | | | | | | 4,989 | | | | | |
| | | | | 5 | | | | | | | | | | | | | | | | 270 | | | | | | | | | | | | 245 | | | | | | | | | | | | 36 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 9 | | | | | | | | | | | | 78 | | | | | | | | | | | | 34 | | | | | | | | | | | | 6 | | | | | | | | | | | | 2 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 150 | | | | | | | | | | | | — | | | | | | | | | | | | 34 | | | | | | | | | | | | 23 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 9 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | 3 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | 24 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 885 | | | | | | | | | | | | 6,584 | | | | | | | | | | | | 1,228 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 6 | | | | | | | | | | | | | | | | 6 | | | | | | | | | | | | 172 | | | | | | | | | | | | 56 | | | | | | | | | | | | 49 | | | | | | | | | | | | 31 | | | | | | | | | | | | 48 | | | | | |
| | | | | 11 | | | | | | | | | | | | | | | | 25 | | | | | | | | | | | | 101 | | | | | | | | | | | | 25 | | | | | | | | | | | | 22 | | | | | | | | | | | | 15 | | | | | | | | | | | | 19 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 12 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 2 | | | | | | | | | | | | | | | | 3 | | | | | | | | | | | | 5 | | | | | | | | | | | | 2 | | | | | | | | | | | | 2 | | | | | | | | | | | | — | | | | | | | | | | | | 3 | | | | | |
| | | | | 41 | | | | | | | | | | | | | | | | 133 | | | | | | | | | | | | 99 | | | | | | | | | | | | 28 | | | | | | | | | | | | 56 | | | | | | | | | | | | 48 | | | | | | | | | | | | 53 | | | | | |
| | | | | | 65 | | | | | | | | | | | | | | | | 107,275 | | | | | | | | | | | | 89,712 | | | | | | | | | | | | 8,032 | | | | | | | | | | | | 4,022 | | | | | | | | | | | | 4,247 | | | | | | | | | | | | 5,115 | | | | | |
| | | | | $ | 77,437 | | | | | | | | | | | | | | | $ | 191,203 | | | | | | | | | | | $ | 815,889 | | | | | | | | | | | $ | 200,696 | | | | | | | | | | | $ | 174,068 | | | | | | | | | | | $ | 123,618 | | | | | | | | | | | $ | 154,085 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 85,681 | | | | | | | | | | | | | | | $ | 231,510 | | | | | | | | | | | $ | 833,187 | | | | | | | | | | | $ | 203,345 | | | | | | | | | | | $ | 176,545 | | | | | | | | | | | $ | 123,644 | | | | | | | | | | | $ | 154,904 | | | | | |
| | | | | (336 | ) | | | | | | | | | | | | | | | (1,323 | ) | | | | | | | | | | | (748 | ) | | | | | | | | | | | 15 | | | | | | | | | | | | (30 | ) | | | | | | | | | | | (9 | ) | | | | | | | | | | | 171 | | | | | |
| | | | | (6,595 | ) | | | | | | | | | | | | | | | (34,272 | ) | | | | | | | | | | | (5,381 | ) | | | | | | | | | | | 534 | | | | | | | | | | | | (2,214 | ) | | | | | | | | | | | (776 | ) | | | | | | | | | | | (2,739 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (1,313 | ) | | | | | | | | | | | | | | | (4,711 | ) | | | | | | | | | | | (10,516 | ) | | | | | | | | | | | (3,198 | ) | | | | | | | | | | | (82 | ) | | | | | | | | | | | 670 | | | | | | | | | | | | 1,749 | | | | | |
| | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (653 | ) | | | | | | | | | | | — | | | | | | | | | | | | (151 | ) | | | | | | | | | | | 89 | | | | | | | | | | | | — | | | | | |
| | | | $ | 77,437 | | | | | | | | | | | | | | | $ | 191,204 | | | | | | | | | | | $ | 815,889 | | | | | | | | | | | $ | 200,696 | | | | | | | | | | | $ | 174,068 | | | | | | | | | | | $ | 123,618 | | | | | | | | | | | $ | 154,085 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 28,068 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 2,703 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 10.38 | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 77,437 | | | | | | | | | | | | | | | $ | 191,203 | | | | | | | | | | | $ | 586,880 | | | | | | | | | | | $ | 200,696 | | | | | | | | | | | $ | 118,731 | | | | | | | | | | | $ | 83,672 | | | | | | | | | | | $ | 55,473 | | | | | |
| | | | | 7,600 | | | | | | | | | | | | | | | | 20,941 | | | | | | | | | | | | 56,400 | | | | | | | | | | | | 18,431 | | | | | | | | | | | | 11,996 | | | | | | | | | | | | 8,360 | | | | | | | | | | | | 5,557 | | | | | |
| | | | $ | 10.19 | | | | | | | | | | | | | | | $ | 9.13 | | | | | | | | | | | $ | 10.41 | | | | | | | | | | | $ | 10.89 | | | | | | | | | | | $ | 9.90 | | | | | | | | | | | $ | 10.01 | | | | | | | | | | | $ | 9.98 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 200,941 | | | | | | | | | | | | — | | | | | | | | | | | $ | 55,337 | | | | | | | | | | | $ | 39,946 | | | | | | | | | | | $ | 98,612 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 19,326 | | | | | | | | | | | | — | | | | | | | | | | | | 5,591 | | | | | | | | | | | | 3,988 | | | | | | | | | | | | 9,870 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | $ | 10.40 | | | | | | | | | | | | — | | | | | | | | | | | $ | 9.90 | | | | | | | | | | | $ | 10.02 | | | | | | | | | | | $ | 9.99 | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 50,137 | | | | | | | | | | | | | | | $ | 282,300 | | | | | | | | | | | $ | 900,096 | | | | | | | | | | | $ | 201,153 | | | | | | | | | | | $ | 173,639 | | | | | | | | | | | $ | 124,234 | | | | | | | | | | | $ | 145,509 | | | | | |
| | | | | 5,901 | | | | | | | | | | | | | | | | 1,280 | | | | | | | | | | | | 3,425 | | | | | | | | | | | | 7,041 | | | | | | | | | | | | 2,733 | | | | | | | | | | | | 1,016 | | | | | | | | | | | | 9,290 | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | 97 | | | | | | | | | | | | — | | | | | | | | | | | | 28 | | | | | | | | | | | | 4 | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | (304 | ) | | | | | | | | | | | — | | | | | | | | | | | | (69 | ) | | | | | | | | | | | (46 | ) | | | | | | | | | | | — | | | | | |
See notes to financial statements.
Semi-Annual Report 101
April 30, 2018 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden
High Income
Fund | | | | Payden
California
Municipal Income
Fund | | | | Payden
Global Low
Duration Fund |
ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value * | | | | | | | | $ | 453,097 | | | | | | | | | | | | | | | | | | | $ | 53,818 | | | | | | | | | | | | | | | | | | | $ | 99,986 | | | | | | |
Affiliated investments, at value ** | | | | | | | | | 19,395 | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 1,055 | | | | | | |
Foreign cash *** | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 67 | | | | | | |
Cash | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 25 | | | | | | | | | | | | | | | | | | | | 3 | | | | | | |
Cash pledged for financial futures contracts | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
Cash pledged as collateral for OTC derivatives | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
Cash pledged for OTC derivatives | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 115 | | | | | | |
Receivable for: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest and dividends | | | | | | | | | 6,762 | | | | | | | | | | | | | | | | | | | | 503 | | | | | | | | | | | | | | | | | | | | 546 | | | | | | |
Investments sold | | | | | | | | | 2,946 | | | | | | | | | | | | | | | | | | | | 1,247 | | | | | | | | | | | | | | | | | | | | 212 | | | | | | |
Fund shares sold | | | | | | | | | 81 | | | | | | | | | | | | | | | | | | | | 326 | | | | | | | | | | | | | | | | | | | | 11 | | | | | | |
Futures | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 2 | | | | | | |
Forward currency contracts | | | | | | | | | 242 | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 68 | | | | | | |
Other assets | | | | | | | | | 26 | | | | | | | | | | | | | | | | | | | | 3 | | | | | | | | | | | | | | | | | | | | 11 | | | | | | |
Total Assets | | | | | | | | | 482,549 | | | | | | | | | | | | | | | | | | | | 55,922 | | | | | | | | | | | | | | | | | | | | 102,076 | | | | | | |
LIABILITIES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | | | | | | | 1,972 | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
Forward currency contracts | | | | | | | | | 651 | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 142 | | | | | | |
Investments purchased | | | | | | | | | 3,382 | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 1,060 | | | | | | |
Fund shares redeemed | | | | | | | | | 302 | | | | | | | | | | | | | | | | | | | | 67 | | | | | | | | | | | | | | | | | | | | 90 | | | | | | |
Futures | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 12 | | | | | | |
Options written **** | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 19 | | | | | | |
Swaps | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 2 | | | | | | |
Unfunded floating rate loan interests | | | | | | | | | 4 | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
Distributions payable | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 15 | | | | | | | | | | | | | | | | | | | | — | | | | | | |
Liability for securities on loan (Note 2) | | | | | | | | | 10,412 | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 568 | | | | | | |
Accrued expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | | | | | | | 135 | | | | | | | | | | | | | | | | | | | | 7 | | | | | | | | | | | | | | | | | | | | 11 | | | | | | |
Administration fees (Note 3) | | | | | | | | | 58 | | | | | | | | | | | | | | | | | | | | 7 | | | | | | | | | | | | | | | | | | | | 12 | | | | | | |
Distribution fees (Note 3) | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
Trustee fees and expenses | | | | | | | | | 7 | | | | | | | | | | | | | | | | | | | | 1 | | | | | | | | | | | | | | | | | | | | 1 | | | | | | |
Other liabilities | | | | | | | | | 112 | | | | | | | | | | | | | | | | | | | | 34 | | | | | | | | | | | | | | | | | | | | 57 | | | | | | |
Total Liabilities | | | | | | | | | 17,035 | | | | | | | | | | | | | | | | | | | | 131 | | | | | | | | | | | | | | | | | | | | 1,974 | | | | | | |
NET ASSETS | | | | | | | | $ | 465,514 | | | | | | | | | | | | | | | | | | | $ | 55,791 | | | | | | | | | | | | | | | | | | | $ | 100,102 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | | | | | | | $ | 488,255 | | | | | | | | | | | | | | | | | | | $ | 55,407 | | | | | | | | | | | | | | | | | | | $ | 101,833 | | | | | | |
Undistributed net investment income (loss) | | | | | | | | | (191 | ) | | | | | | | | | | | | | | | | | | | (3 | ) | | | | | | | | | | | | | | | | | | | (3 | ) | | | | | |
Undistributed net realized gains (losses) from investments | | | | | | | | | (22,047 | ) | | | | | | | | | | | | | | | | | | | 245 | | | | | | | | | | | | | | | | | | | | (910 | ) | | | | | |
Net unrealized appreciation (depreciation) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | | | (94 | ) | | | | | | | | | | | | | | | | | | | 142 | | | | | | | | | | | | | | | | | | | | (743 | ) | | | | | |
Translation of assets and liabilities in foreign currencies | | | | | | | | | (409 | ) | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | (75 | ) | | | | | |
NET ASSETS | | | | | | | | $ | 465,514 | | | | | | | | | | | | | | | | | | | $ | 55,791 | | | | | | | | | | | | | | | | | | | $ | 100,102 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NET ASSET VALUE — offering and redemption price per share in whole dollars | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
Shares Outstanding | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
Net Asset Value Per Share | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | | | | | | $ | 465,514 | | | | | | | | | | | | | | | | | | | $ | 55,791 | | | | | | | | | | | | | | | | | | | $ | 100,102 | | | | | | |
Shares Outstanding | | | | | | | | | 73,017 | | | | | | | | | | | | | | | | | | | | 5,546 | | | | | | | | | | | | | | | | | | | | 10,073 | | | | | | |
Net Asset Value Per Share | | | | | | | | $ | 6.38 | | | | | | | | | | | | | | | | | | | $ | 10.06 | | | | | | | | | | | | | | | | | | | $ | 9.94 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
Shares Outstanding | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
Net Asset Value Per Share | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
* Investments, at cost | | | | | | | | $ | 453,187 | | | | | | | | | | | | | | | | | | | $ | 53,676 | | | | | | | | | | | | | | | | | | | $ | 100,758 | | | | | | |
** Affiliated investments, at cost | | | | | | | | | 19,395 | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 1,055 | | | | | | |
*** Foreign cash, at cost | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | 68 | | | | | | |
**** Options written, at cost | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | | | | | (38 | ) | | | | | |
See notes to financial statements.
102 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden
Global Fixed
Income
Fund | | | | | | Payden
Emerging
Markets
Bond Fund | | | | | | Payden
Emerging Markets
Local Bond
Fund | | | | | | Payden
Emerging Markets
Corporate
Bond Fund | | | Payden
Equity Income
Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 128,291 | | | | | | | $ | 1,354,248 | | | | | | | $ | 206,737 | | | | | | | $ | 41,659 | | | $ | 1,142,590 | |
| | 6,159 | | | | | | | | 60,949 | | | | | | | | 1,684 | | | | | | | | 3,953 | | | | 26,153 | |
| | 1,062 | | | | | | | | 844 | | | | | | | | 2,821 | | | | | | | | 18 | | | | 513 | |
| | — | | | | | | | | 699 | | | | | | | | — | | | | | | | | 8 | | | | — | |
| | 115 | | | | | | | | — | | | | | | | | — | | | | | | | | 40 | | | | — | |
| | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | 560 | |
| | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 972 | | | | | | | | 18,374 | | | | | | | | 4,206 | | | | | | | | 595 | | | | 1,941 | |
| | — | | | | | | | | 3,739 | | | | | | | | — | | | | | | | | 411 | | | | — | |
| | 136 | | | | | | | | 682 | | | | | | | | 8 | | | | | | | | — | | | | 4,850 | |
| | 25 | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | — | |
| | 1,559 | | | | | | | | 1,757 | | | | | | | | 789 | | | | | | | | 58 | | | | 1,366 | |
| | 19 | | | | | | | | 112 | | | | | | | | 19 | | | | | | | | 33 | | | | 73 | |
| | 138,338 | | | | | | | | 1,441,404 | | | | | | | | 216,264 | | | | | | | | 46,775 | | | | 1,178,046 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 109 | | | | | | | | — | | | | | | | | 377 | | | | | | | | — | | | | 21 | |
| | 507 | | | | | | | | 519 | | | | | | | | 782 | | | | | | | | 21 | | | | 129 | |
| | 8,067 | | | | | | | | 15,384 | | | | | | | | 3,091 | | | | | | | | 1,242 | | | | — | |
| | 274 | | | | | | | | 624 | | | | | | | | 51 | | | | | | | | — | | | | 5,317 | |
| | 30 | | | | | | | | — | | | | | | | | — | | | | | | | | 3 | | | | — | |
| | 24 | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | — | |
| | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | — | |
| | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | — | |
| | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | — | |
| | 438 | | | | | | | | 32,512 | | | | | | | | — | | | | | | | | 1,581 | | | | 12,633 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 25 | | | | | | | | 473 | | | | | | | | 104 | | | | | | | | 14 | | | | 425 | |
| | 16 | | | | | | | | 173 | | | | | | | | 26 | | | | | | | | 6 | | | | 142 | |
| | — | | | | | | | | 49 | | | | | | | | — | | | | | | | | — | | | | 6 | |
| | 1 | | | | | | | | 10 | | | | | | | | 1 | | | | | | | | — | | | | 2 | |
| | 89 | | | | | | | | 240 | | | | | | | | 22 | | | | | | | | 36 | | | | 172 | |
| | 9,580 | | | | | | | | 49,984 | | | | | | | | 4,454 | | | | | | | | 2,903 | | | | 18,847 | |
| $ | 128,758 | | | | | | | $ | 1,391,420 | | | | | | | $ | 211,810 | | | | | | | $ | 43,872 | | | $ | 1,159,199 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 128,124 | | | | | | | $ | 1,422,795 | | | | | | | $ | 240,950 | | | | | | | $ | 43,855 | | | $ | 994,645 | |
| | (45) | | | | | | | | (54) | | | | | | | | (5) | | | | | | | | 1 | | | | 692 | |
| | (1,566) | | | | | | | | (4,984) | | | | | | | | (18,552) | | | | | | | | 32 | | | | 9,434 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1,215 | | | | | | | | (27,380) | | | | | | | | (10,378) | | | | | | | | (49) | | | | 153,201 | |
| | 1,030 | | | | | | | | 1,043 | | | | | | | | (205) | | | | | | | | 33 | | | | 1,227 | |
| $ | 128,758 | | | | | | | $ | 1,391,420 | | | | | | | $ | 211,810 | | | | | | | $ | 43,872 | | | $ | 1,159,199 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | | | | $ | 111,248 | | | | | | | | — | | | | | | | | — | | | $ | 13,235 | |
| | — | | | | | | | | 8,162 | | | | | | | | — | | | | | | | | — | | | | 812 | |
| | — | | | | | | | $ | 13.63 | | | | | | | | — | | | | | | | | — | | | $ | 16.31 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 128,758 | | | | | | | $ | 585,860 | | | | | | | $ | 211,810 | | | | | | | $ | 6,613 | | | $ | 517,962 | |
| | 14,309 | | | | | | | | 43,011 | | | | | | | | 30,109 | | | | | | | | 664 | | | | 31,735 | |
| $ | 9.00 | | | | | | | $ | 13.62 | | | | | | | $ | 7.03 | | | | | | | $ | 9.96 | | | $ | 16.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | | | | $ | 694,312 | | | | | | | | — | | | | | | | $ | 37,259 | | | $ | 628,002 | |
| | — | | | | | | | | 51,034 | | | | | | | | — | | | | | | | | 3,736 | | | | 38,463 | |
| | — | | | | | | | $ | 13.60 | | | | | | | | — | | | | | | | $ | 9.97 | | | $ | 16.33 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 127,002 | | | | | | | $ | 1,381,628 | | | | | | | $ | 217,115 | | | | | | | $ | 41,704 | | | $ | 989,389 | |
| | 6,162 | | | | | | | | 60,949 | | | | | | | | 1,684 | | | | | | | | 3,953 | | | | 26,153 | |
| | 1,082 | | | | | | | | 884 | | | | | | | | 2,909 | | | | | | | | 19 | | | | 519 | |
| | (48) | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | — | |
See notes to financial statements.
Semi-Annual Report 103
Period ended April 30, 2018 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden
Cash Reserves
Money Market
Fund | | | | Payden
Limited
Maturity
Fund | | | | Payden
Low Duration
Fund | | |
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest income (Note 2) | | | $ | 2,509 | | | | | | | | | $ | 8,063 | | | | | | | | | $ | 13,161 | | | | | | |
Dividend income | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Dividend income from affiliated investment (Note 2) | | | | — | | | | | | | | | | 36 | | | | | | | | | | 36 | | | | | | |
Income from securities lending | | | | — | | | | | | | | | | 15 | | | | | | | | | | 33 | | | | | | |
Investment Income | | | | 2,509 | | | | | | | | | | 8,114 | | | | | | | | | | 13,230 | | | | | | |
EXPENSES: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | | 279 | | | | | | | | | | 1,065 | | | | | | | | | | 1,522 | | | | | | |
Administration fees (Note 3) | | | | 279 | | | | | | | | | | 570 | | | | | | | | | | 815 | | | | | | |
Shareholder servicing fees | | | | — | | | | | | | | | | 172 | | | | | | | | | | 213 | | | | | | |
Distribution fees (Note 3) | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Custodian fees | | | | 19 | | | | | | | | | | 26 | | | | | | | | | | 37 | | | | | | |
Transfer agent fees | | | | 22 | | | | | | | | | | 33 | | | | | | | | | | 54 | | | | | | |
Registration and filing fees | | | | 19 | | | | | | | | | | 17 | | | | | | | | | | 26 | | | | | | |
Trustee fees and expenses | | | | 24 | | | | | | | | | | 33 | | | | | | | | | | 48 | | | | | | |
Printing and mailing costs | | | | 5 | | | | | | | | | | 6 | | | | | | | | | | 7 | | | | | | |
Loan commitment fees | | | | — | | | | | | | | | | 7 | | | | | | | | | | 9 | | | | | | |
Legal fees | | | | 3 | | | | | | | | | | 5 | | | | | | | | | | 7 | | | | | | |
Publication expense | | | | 5 | | | | | | | | | | 7 | | | | | | | | | | 12 | | | | | | |
Pricing fees | | | | 2 | | | | | | | | | | 22 | | | | | | | | | | 21 | | | | | | |
Fund accounting fees | | | | 32 | | | | | | | | | | 43 | | | | | | | | | | 70 | | | | | | |
Insurance | | | | 5 | | | | | | | | | | 9 | | | | | | | | | | 16 | | | | | | |
Audit fees | | | | 16 | | | | | | | | | | 18 | | | | | | | | | | 18 | | | | | | |
Gross Expenses | | | | 710 | | | | | | | | | | 2,033 | | | | | | | | | | 2,875 | | | | | | |
| Expense subsidy (Note 3) | | | | (245 | ) | | | | | | | | | (1,082 | ) | | | | | | | | | (537 | ) | | | | | |
Net Expenses | | | | 465 | | | | | | | | | | 951 | | | | | | | | | | 2,338 | | | | | | |
Net Investment Income | | | | 2,044 | | | | | | | | | | 7,163 | | | | | | | | | | 10,892 | | | | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | 3 | | | | | | | | | | 224 | | | | | | | | | | (2,356 | ) | | | | | |
Foreign currency transactions | | | | — | | | | | | | | | | (83 | ) | | | | | | | | | (20 | ) | | | | | |
Forward foreign exchange contracts | | | | — | | | | | | | | | | (374 | ) | | | | | | | | | (160 | ) | | | | | |
Affiliated investments | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Futures contracts | | | | — | | | | | | | | | | — | | | | | | | | | | 429 | | | | | | |
Written option contracts | | | | — | | | | | | | | | | — | | | | | | | | | | (29 | ) | | | | | |
Swap contracts | | | | — | | | | | | | | | | (16 | ) | | | | | | | | | (44 | ) | | | | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments | | | | — | | | | | | | | | | (1,779 | ) | | | | | | | | | (10,543 | ) | | | | | |
Translation of assets and liabilities in foreign currencies | | | | — | | | | | | | | | | (10 | ) | | | | | | | | | (1 | ) | | | | | |
Forward foreign exchange contracts | | | | — | | | | | | | | | | 358 | | | | | | | | | | 31 | | | | | | |
Affiliated investments | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Futures contracts | | | | — | | | | | | | | | | — | | | | | | | | | | (96 | ) | | | | | |
Written option contracts | | | | — | | | | | | | | | | — | | | | | | | | | | 9 | | | | | | |
Swap contracts | | | | — | | | | | | | | | | 38 | | | | | | | | | | 68 | | | | | | |
Unfunded loan commitments | | | | — | | | | | | | | | | — | | | | | | | | | | — | | | | | | |
Net Realized and Unrealized Gains (Losses) | | | | 3 | | | | | | | | | | (1,642 | ) | | | | | | | | | (12,712 | ) | | | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | | $ | 2,047 | | | | | | | | | $ | 5,521 | | | | | | | | | $ | (1,820 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
104 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden
U.S. Government
Fund | | | | | | Payden
GNMA
Fund | | | | | Payden
Core
Bond
Fund | | | | Payden
Corporate
Bond
Fund | | | | Payden
Strategic Income
Fund | | | | Payden
Absolute
Return
Bond Fund | | | | Payden
Floating Rate
Fund |
| | | | | | | | | | | | |
| | $ 968 | | | | | | | | $ 2,514 | | | | | | | | $ 13,270 | | | | | | | | $ 4,357 | | | | | | | | $ 3,730 | | | | | | | | $1,787 | | | | | | | | $3,518 | |
| | — | | | | | | | | — | | | | | | | | 77 | | | | | | | | — | | | | | | | | 59 | | | | | | | | 20 | | | | | | | | 7 | |
| | 10 | | | | | | | | 22 | | | | | | | | 141 | | | | | | | | 22 | | | | | | | | 17 | | | | | | | | 9 | | | | | | | | 71 | |
| | — | | | | | | | | — | | | | | | | | 20 | | | | | | | | 50 | | | | | | | | 8 | | | | | | | | 4 | | | | | | | | 1 | |
| | 978 | | | | | | | | 2,536 | | | | | | | | 13,508 | | | | | | | | 4,429 | | | | | | | | 3,814 | | | | | | | | 1,820 | | | | | | | | 3,597 | |
| | | | | | | | | | | | |
| | 144 | | | | | | | | 293 | | | | | | | | 1,107 | | | | | | | | 365 | | | | | | | | 586 | | | | | | | | 289 | | | | | | | | 450 | |
| | 77 | | | | | | | | 162 | | | | | | | | 593 | | | | | | | | 158 | | | | | | | | 160 | | | | | | | | 87 | | | | | | | | 123 | |
| | 7 | | | | | | | | 185 | | | | | | | | 110 | | | | | | | | 80 | | | | | | | | 14 | | | | | | | | 9 | | | | | | | | 3 | |
| | — | | | | | | | | — | | | | | | | | 34 | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | |
| | 6 | | | | | | | | 12 | | | | | | | | 30 | | | | | | | | 12 | | | | | | | | 21 | | | | | | | | 26 | | | | | | | | 17 | |
| | 10 | | | | | | | | 21 | | | | | | | | 42 | | | | | | | | 16 | | | | | | | | 19 | | | | | | | | 14 | | | | | | | | 17 | |
| | 15 | | | | | | | | 20 | | | | | | | | 28 | | | | | | | | 15 | | | | | | | | 18 | | | | | | | | 18 | | | | | | | | 17 | |
| | 7 | | | | | | | | 11 | | | | | | | | 39 | | | | | | | | 11 | | | | | | | | 13 | | | | | | | | 5 | | | | | | | | 10 | |
| | 5 | | | | | | | | 7 | | | | | | | | 10 | | | | | | | | 5 | | | | | | | | 7 | | | | | | | | 3 | | | | | | | | 7 | |
| | 1 | | | | | | | | 2 | | | | | | | | 7 | | | | | | | | 2 | | | | | | | | 2 | | | | | | | | 1 | | | | | | | | 2 | |
| | 1 | | | | | | | | 2 | | | | | | | | 5 | | | | | | | | 1 | | | | | | | | 1 | | | | | | | | 1 | | | | | | | | 1 | |
| | 2 | | | | | | | | 3 | | | | | | | | 9 | | | | | | | | 2 | | | | | | | | 3 | | | | | | | | 2 | | | | | | | | 3 | |
| | 5 | | | | | | | | 13 | | | | | | | | 17 | | | | | | | | 11 | | | | | | | | 22 | | | | | | | | 16 | | | | | | | | 10 | |
| | 9 | | | | | | | | 16 | | | | | | | | 50 | | | | | | | | 13 | | | | | | | | 14 | | | | | | | | 7 | | | | | | | | 13 | |
| | 2 | | | | | | | | 3 | | | | | | | | 11 | | | | | | | | 3 | | | | | | | | 3 | | | | | | | | 2 | | | | | | | | 3 | |
| | 18 | | | | | | | | 20 | | | | | | | | 19 | | | | | | | | 20 | | | | | | | | 21 | | | | | | | | 22 | | | | | | | | 27 | |
| | 309 | | | | | | | | 770 | | | | | | | | 2,111 | | | | | | | | 714 | | | | | | | | 904 | | | | | | | | 502 | | | | | | | | 703 | |
| | (105) | | | | | | | | (228) | | | | | | | | (11) | | | | | | | | (35) | | | | | | | | (166) | | | | | | | | (119) | | | | | | | | (142) | |
| | 204 | | | | | | | | 542 | | | | | | | | 2,100 | | | | | | | | 679 | | | | | | | | 738 | | | | | | | | 383 | | | | | | | | 561 | |
| | 774 | | | | | | | | 1,994 | | | | | | | | 11,408 | | | | | | | | 3,750 | | | | | | | | 3,076 | | | | | | | | 1,437 | | | | | | | | 3,036 | |
| | | | | | | | | | | | |
| | (1,787) | | | | | | | | (501) | | | | | | | | 215 | | | | | | | | 42 | | | | | | | | (2,004) | | | | | | | | 1,159 | | | | | | | | (495) | |
| | — | | | | | | | | — | | | | | | | | (82) | | | | | | | | — | | | | | | | | 60 | | | | | | | | (101) | | | | | | | | — | |
| | — | | | | | | | | — | | | | | | | | 831 | | | | | | | | — | | | | | | | | 220 | | | | | | | | (645) | | | | | | | | — | |
| | — | | | | | | | | — | | | | | | | | 615 | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | |
| | (7) | | | | | | | | 6 | | | | | | | | 832 | | | | | | | | 552 | | | | | | | | 31 | | | | | | | | (170) | | | | | | | | — | |
| | — | | | | | | | | — | | | | | | | | (1,043) | | | | | | | | — | | | | | | | | (277) | | | | | | | | (63) | | | | | | | | — | |
| | — | | | | | | | | — | | | | | | | | 501 | | | | | | | | 54 | | | | | | | | 187 | | | | | | | | 44 | | | | | | | | — | |
| | (217) | | | | | | | | (6,732) | | | | | | | | (23,566) | | | | | | | | (8,576) | | | | | | | | (2,461) | | | | | | | | (926) | | | | | | | | 196 | |
| | — | | | | | | | | — | | | | | | | | (8) | | | | | | | | — | | | | | | | | (2) | | | | | | | | (8) | | | | | | | | — | |
| | — | | | | | | | | — | | | | | | | | (868) | | | | | | | | — | | | | | | | | (239) | | | | | | | | 19 | | | | | | | | — | |
| | — | | | | | | | | — | | | | | | | | (632) | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | |
| | 9 | | | | | | | | 89 | | | | | | | | (590) | | | | | | | | (171) | | | | | | | | (126) | | | | | | | | (27) | | | | | | | | — | |
| | — | | | | | | | | — | | | | | | | | 464 | | | | | | | | — | | | | | | | | 137 | | | | | | | | 45 | | | | | | | | — | |
| | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | 27 | | | | | | | | — | |
| | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | (3) | |
| | (2,002) | | | | | | | | (7,138) | | | | | | | | (23,331) | | | | | | | | (8,099) | | | | | | | | (4,474) | | | | | | | | (646) | | | | | | | | (302) | |
| | $(1,228) | | | | | | | | $(5,144) | | | | | | | | $(11,923) | | | | | | | | $(4,349) | | | | | | | | $(1,398) | | | | | | | | $ 791 | | | | | | | | $2,734 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 105
Period ended April 30, 2018 (Unaudited)
Numbers in 000s
| | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | Payden High Income Fund | | | | Payden California Municipal Income Fund | | | | Payden Global Low Duration Fund | | |
INVESTMENT INCOME: | | | | | | | | | | | | | | | | | | |
Interest income (Note 2) | | | $ 13,891 | | | | | | $ 754 | | | | | | $ 1,388 | | | |
Dividend income | | | 133 | | | | | | — | | | | | | — | | | |
Dividend income from affiliated investment (Note 2) | | | 201 | | | | | | — | | | | | | 5 | | | |
Income from securities lending | | | 135 | | | | | | — | | | | | | 4 | | | |
Foreign tax withholdings | | | — | | | | | | — | | | | | | — | | | |
Investment Income | | | 14,360 | | | | | | 754 | | | | | | 1,397 | | | |
EXPENSES: | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 3) | | | 861 | | | | | | 90 | | | | | | 160 | | | |
Administration fees (Note 3) | | | 369 | | | | | | 42 | | | | | | 80 | | | |
Shareholder servicing fees | | | 100 | | | | | | 12 | | | | | | 34 | | | |
Distribution fees (Note 3) | | | — | | | | | | — | | | | | | — | | | |
Custodian fees | | | 19 | | | | | | 2 | | | | | | 8 | | | |
Transfer agent fees | | | 36 | | | | | | 8 | | | | | | 13 | | | |
Registration and filing fees | | | 25 | | | | | | 1 | | | | | | 9 | | | |
Trustee fees and expenses | | | 25 | | | | | | 3 | | | | | | 5 | | | |
Printing and mailing costs | | | 12 | | | | | | 1 | | | | | | 1 | | | |
Loan commitment fees | | | 5 | | | | | | 1 | | | | | | 1 | | | |
Legal fees | | | 2 | | | | | | — | | | | | | 1 | | | |
Publication expense | | | 7 | | | | | | 1 | | | | | | 2 | | | |
Pricing fees | | | 10 | | | | | | 8 | | | | | | 15 | | | |
Fund accounting fees | | | 37 | | | | | | 4 | | | | | | 8 | | | |
Insurance | | | 9 | | | | | | 1 | | | | | | 1 | | | |
Audit fees | | | 21 | | | | | | 18 | | | | | | 20 | | | |
Interest expense | | | — | | | | | | — | | | | | | — | | | |
Other expenses | | | — | | | | | | — | | | | | | — | | | |
Gross Expenses | | | 1,538 | | | | | | 192 | | | | | | 358 | | | |
Expense subsidy (Note 3) | | | — | | | | | | (43) | | | | | | (75) | | | |
Net Expenses | | | 1,538 | | | | | | 149 | | | | | | 283 | | | |
Net Investment Income | | | 12,822 | | | | | | 605 | | | | | | 1,114 | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | | | | | | | | | | | |
Investments | | | 1,201 | | | | | | 248 | | | | | | (14) | | | |
Foreign currency transactions | | | (30) | | | | | | — | | | | | | (10) | | | |
Forward foreign exchange contracts | | | 422 | | | | | | — | | | | | | 60 | | | |
Affiliated investments | | | 236 | | | | | | — | | | | | | — | | | |
Futures contracts | | | — | | | | | | — | | | | | | 47 | | | |
Written option contracts | | | — | | | | | | — | | | | | | (16) | | | |
Swap contracts | | | 132 | | | | | | — | | | | | | (2) | | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | | | | | | | | | | | |
Investments | | | (17,368) | | | | | | (1,250) | | | | | | (1,347) | | | |
Translation of assets and liabilities in foreign currencies | | | — | | | | | | — | | | | | | (1) | | | |
Forward foreign exchange contracts | | | (502) | | | | | | — | | | | | | (97) | | | |
Affiliated investments | | | (240) | | | | | | — | | | | | | — | | | |
Futures contracts | | | — | | | | | | — | | | | | | 18 | | | |
Written option contracts | | | — | | | | | | — | | | | | | 20 | | | |
Swap contracts | | | (115) | | | | | | — | | | | | | 8 | | | |
Unfunded loan commitments | | | (4) | | | | | | — | | | | | | — | | | |
Net Realized and Unrealized Gains (Losses) | | | (16,268) | | | | | | (1,002) | | | | | | (1,334) | | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | | $ (3,446) | | | | | | $ (397) | | | | | | $ (220) | | | |
| | | | | | | | | | | | | | | | | | |
See notes to financial statements.
106 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Payden
Global Fixed
Income Fund | | | | | | Payden
Emerging Markets
Bond Fund | | | | | | | | | Payden
Emerging
Markets Local
Bond Fund | | | | | | Payden
Emerging Markets
Corporate
Bond Fund | | | | | | | | | Payden
Equity Income
Fund | | | | |
| | | | | | | | | | | | |
| | | | | $ 1,427 | | | | | | | | $ 40,600 | | | | | | | | | | | | $6,918 | | | | | | | | $ 1,184 | | | | | | | | | | | | $ 814 | | | | | |
| | | | | — | | | | | | | | — | | | | | | | | | | | | 38 | | | | | | | | — | | | | | | | | | | | | 14,231 | | | | | |
| | | | | 76 | | | | | | | | 139 | | | | | | | | | | | | 73 | | | | | | | | 8 | | | | | | | | | | | | 101 | | | | | |
| | | | | 1 | | | | | | | | 191 | | | | | | | | | | | | — | | | | | | | | 5 | | | | | | | | | | | | 155 | | | | | |
| | | | | | — | | | | | | | | — | | | | | | | | | | | | (66) | | | | | | | | — | | | | | | | | | | | | (237) | | | | | |
| | | | | | 1,504 | | | | | | | | 40,930 | | | | | | | | | | | | 6,963 | | | | | | | | 1,197 | | | | | | | | | | | | 15,064 | | | | | |
| | | | | | | | | | | | |
| | | | | 187 | | | | | | | | 3,059 | | | | | | | | | | | | 590 | | | | | | | | 167 | | | | | | | | | | | | 2,702 | | | | | |
| | | | | 94 | | | | | | | | 1,020 | | | | | | | | | | | | 147 | | | | | | | | 31 | | | | | | | | | | | | 811 | | | | | |
| | | | | 95 | | | | | | | | 364 | | | | | | | | | | | | 1 | | | | | | | | — | | | | | | | | | | | | 211 | | | | | |
| | | | | — | | | | | | | | 152 | | | | | | | | | | | | — | | | | | | | | — | | | | | | | | | | | | 18 | | | | | |
| | | | | 23 | | | | | | | | 31 | | | | | | | | | | | | (163) | | | | | | | | 7 | | | | | | | | | | | | 42 | | | | | |
| | | | | 13 | | | | | | | | 185 | | | | | | | | | | | | 15 | | | | | | | | 12 | | | | | | | | | | | | 55 | | | | | |
| | | | | 12 | | | | | | | | 44 | | | | | | | | | | | | 9 | | | | | | | | 14 | | | | | | | | | | | | 24 | | | | | |
| | | | | 6 | | | | | | | | 63 | | | | | | | | | | | | 8 | | | | | | | | 2 | | | | | | | | | | | | 46 | | | | | |
| | | | | 2 | | | | | | | | 24 | | | | | | | | | | | | 7 | | | | | | | | 1 | | | | | | | | | | | | 11 | | | | | |
| | | | | 1 | | | | | | | | 12 | | | | | | | | | | | | 2 | | | | | | | | — | | | | | | | | | | | | 8 | | | | | |
| | | | | 1 | | | | | | | | 10 | | | | | | | | | | | | 2 | | | | | | | | — | | | | | | | | | | | | 6 | | | | | |
| | | | | 2 | | | | | | | | 15 | | | | | | | | | | | | 3 | | | | | | | | — | | | | | | | | | | | | 11 | | | | | |
| | | | | 18 | | | | | | | | 14 | | | | | | | | | | | | 12 | | | | | | | | 9 | | | | | | | | | | | | 2 | | | | | |
| | | | | 8 | | | | | | | | 92 | | | | | | | | | | | | 12 | | | | | | | | 3 | | | | | | | | | | | | 62 | | | | | |
| | | | | 2 | | | | | | | | 21 | | | | | | | | | | | | 3 | | | | | | | | 1 | | | | | | | | | | | | 13 | | | | | |
| | | | | 20 | | | | | | | | 21 | | | | | | | | | | | | 22 | | | | | | | | 22 | | | | | | | | | | | | 18 | | | | | |
| | | | | — | | | | | | | | — | | | | | | | | | | | | 1 | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | | — | | | | | | | | 21 | | | | | | | | | | | | 3 | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 484 | | | | | | | | 5,148 | | | | | | | | | | | | 674 | | | | | | | | 269 | | | | | | | | | | | | 4,040 | | | | | |
| | | | | (67) | | | | | | | | (152) | | | | | | | | | | | | 168 | | | | | | | | (88) | | | | | | | | | | | | (242) | | | | | |
| | | | | | 417 | | | | | | | | 4,996 | | | | | | | | | | | | 842 | | | | | | | | 181 | | | | | | | | | | | | 3,798 | | | | | |
| | | | | | 1,087 | | | | | | | | 35,934 | | | | | | | | | | | | 6,121 | | | | | | | | 1,016 | | | | | | | | | | | | 11,266 | | | | | |
| | | | | | | | | | | | |
| | | | | 1,069 | | | | | | | | 11,537 | | | | | | | | | | | | (170) | | | | | | | | (3) | | | | | | | | | | | | 12,118 | | | | | |
| | | | | (731) | | | | | | | | (554) | | | | | | | | | | | | (287) | | | | | | | | (13) | | | | | | | | | | | | (343) | | | | | |
| | | | | (1,411) | | | | | | | | (179) | | | | | | | | | | | | 1,138 | | | | | | | | 17 | | | | | | | | | | | | (1,342) | | | | | |
| | | | | — | | | | | | | | — | | | | | | | | | | | | 55 | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 322 | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | 67 | | | | | | | | | | | | (414) | | | | | |
| | | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | 50 | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | (1,116) | | | | | | | | (70,996) | | | | | | | | | | | | 1,683 | | | | | | | | (1,510) | | | | | | | | | | | | 11,072 | | | | | |
| | | | | (22) | | | | | | | | (125) | | | | | | | | | | | | (86) | | | | | | | | (2) | | | | | | | | | | | | (9) | | | | | |
| | | | | 574 | | | | | | | | 1,336 | | | | | | | | | | | | 520 | | | | | | | | 36 | | | | | | | | | | | | 783 | | | | | |
| | | | | (10) | | | | | | | | — | | | | | | | | | | | | (50) | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | (13) | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | (21) | | | | | | | | | | | | — | | | | | |
| | | | | 24 | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | — | | | | | | | | | | | | — | | | | | |
| | | | | | (1,264) | | | | | | | | (58,981) | | | | | | | | | | | | 2,803 | | | | | | | | (1,429) | | | | | | | | | | | | 21,865 | | | | | |
| | | | | $ (177) | | | | | | | | $(23,047) | | | | | | | | | | | | $8,924 | | | | | | | | $ (413) | | | | | | | | | | | | $33,131 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
Semi-Annual Report 107
For the period ended April 30, 2018 (Unaudited) and year ended October 31, 2017
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Cash Reserves Money Market Fund | | | | | | Payden Limited Maturity Fund | | |
| | | 2018 | | | | 2017 | | | | | | 2018 | | | | 2017 | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 2,044 | | | | | $ | 2,201 | | | | | | | | | | | $ | 7,163 | | | | | $ | 7,837 | | | | | |
Net realized gains (losses) | | | 3 | | | | | | — | | | | | | | | | | | | (249) | | | | | | (2,207) | | | | | |
Change in net unrealized appreciation/(depreciation) | | | — | | | | | | — | | | | | | | | | | | | (1,393) | | | | | | 3,430 | | | | | |
Change in Net Assets Resulting from Operations | | | 2,047 | | | | | | 2,201 | | | | | | | | | | | | 5,521 | | | | | | 9,060 | | | | | |
| | | | | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | (2,045) | | | | | | (2,201) | | | | | | | | | | | | (7,118) | | | | | | (5,239) | | | | | |
Institutional Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | — | | | | | | (1) | | | | | | | | | | | | — | | | | | | — | | | | | |
Return of capital: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | (2,323) | | | | | |
Change in Net Assets from Distributions to Shareholders | | | (2,045) | | | | | | (2,202) | | | | | | | | | | | | (7,118) | | | | | | (7,562) | | | | | |
| | | | | | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | 17,614,283 | | | | | | 31,370,456 | | | | | | | | | | | | 431,017 | | | | | | 617,104 | | | | | |
Institutional Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | 451 | | | | | | 573 | | | | | | | | | | | | 6,649 | | | | | | 7,309 | | | | | |
Institutional Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | (17,750,750) | | | | | | (31,474,529) | | | | | | | | | | | | (346,830) | | | | | | (381,130) | | | | | |
Institutional Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Change in Net Assets from Capital Transactions | | | (136,016) | | | | | | (103,500) | | | | | | | | | | | | 90,836 | | | | | | 243,283 | | | | | |
Total Change in Net Assets | | | (136,014) | | | | | | (103,501) | | | | | | | | | | | | 89,239 | | | | | | 244,781 | | | | | |
| | | | | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | 447,563 | | | | | | 551,064 | | | | | | | | | | | | 707,930 | | | | | | 463,149 | | | | | |
End of period | | $ | 311,549 | | | | | $ | 447,563 | | | | | | | | | | | $ | 797,169 | | | | | $ | 707,930 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated net investment income/(loss) | | $ | — | | | | | $ | 1 | | | | | | | | | | | $ | 10 | | | | | $ | (35) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares sold | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares issued in reinvestment of distributions | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares redeemed | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Change in shares outstanding. | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Outstanding shares at end of period | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | 447,557 | | | | | | 551,057 | | | | | | | | | | | | 74,639 | | | | | | 48,938 | | | | | |
Shares sold | | | 17,614,283 | | | | | | 31,370,456 | | | | | | | | | | | | 45,504 | | | | | | 65,270 | | | | | |
Shares issued in reinvestment of distributions | | | 451 | | | | | | 573 | | | | | | | | | | | | 702 | | | | | | 771 | | | | | |
Shares redeemed | | | (17,750,750) | | | | | | (31,474,529) | | | | | | | | | | | | (36,625) | | | | | | (40,340) | | | | | |
Change in shares outstanding | | | (136,016) | | | | | | (103,500) | | | | | | | | | | | | 9,581 | | | | | | 25,701 | | | | | |
Outstanding shares at end of period | | | 311,541 | | | | | | 447,557 | | | | | | | | | | | | 84,220 | | | | | | 74,639 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares issued in reinvestment of distributions | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares redeemed | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Change in shares outstanding | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Outstanding shares at end of period | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | — | | | | | | — | | | | | | | | | | | | 179,984 | | | | | | 414,125 | | | | | |
Sale of investments (excluding government) | | | — | | | | | | — | | | | | | | | | | | | 153,276 | | | | | | 153,750 | | | | | |
Purchase of government securities | | | — | | | | | | — | | | | | | | | | | | | 59,499 | | | | | | 125,608 | | | | | |
Sale of government securities | | | — | | | | | | — | | | | | | | | | | | | 49,481 | | | | | | 92,668 | | | | | |
See notes to financial statements.
108 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden Low Duration Fund | | | | | Payden
U.S. Government Fund | | | | | | Payden
GNMA Fund | | | | | Payden
Core Bond Fund | |
| 2018 | | | 2017 | | | | | 2018 | | | 2017 | | | | | | 2018 | | | 2017 | | | | | 2018 | | | 2017 | |
| | | | | | | | | | |
| $ | 10,892 | | | $ | 15,012 | | | | | $ | 774 | | | $ | 1,336 | | | | | | | $ | 1,994 | | | $ | 3,810 | | | | | $ | 11,408 | | | $ | 20,221 | |
| | (2,180) | | | | (4,614) | | | | | | (1,794) | | | | (155) | | | | | | | | (495) | | | | 2,266 | | | | | | 1,869 | | | | (4,313) | |
| | (10,532) | | | | 3,318 | | | | | | (208) | | | | (1,503) | | | | | | | | (6,643) | | | | (7,061) | | | | | | (25,200) | | | | 3,402 | |
| | (1,820) | | | | 13,716 | | | | | | (1,228) | | | | (322) | | | | | | | | (5,144) | | | | (985) | | | | | | (11,923) | | | | 19,310 | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | (4) | | | | | | | | — | | | | (507) | | | | | | (398) | | | | (741) | |
| | (10,891) | | | | (11,824) | | | | | | (1,109) | | | | (2,192) | | | | | | | | (3,477) | | | | (7,361) | | | | | | (11,205) | | | | (22,452) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (980) | | | | — | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | — | | | | (186) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | — | | | | (5,554) | |
| | — | | | | (2,463) | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | — | | | | — | |
| | (10,891) | | | | (14,287) | | | | | | (1,109) | | | | (2,196) | | | | | | | | (3,477) | | | | (7,868) | | | | | | (12,583) | | | | (28,933) | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | 58 | | | | | | | | — | | | | 3,330 | | | | | | 3,972 | | | | 5,280 | |
| | 252,557 | | | | 579,552 | | | | | | 2,770 | | | | 28,151 | | | | | | | | 22,618 | | | | 80,044 | | | | | | 102,779 | | | | 95,884 | |
| | — | | | | | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 203,758 | | | | — | |
| | — | | | | — | | | | | | — | | | | 4 | | | | | | | | — | | | | 499 | | | | | | 398 | | | | 918 | |
| | 9,984 | | | | 12,804 | | | | | | 1,056 | | | | 2,108 | | | | | | | | 3,295 | | | | 6,956 | | | | | | 10,349 | | | | 26,852 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 980 | | | | — | |
| | — | | | | — | | | | | | — | | | | (420) | | | | | | | | — | | | | (25,580) | | | | | | (1,468) | | | | (5,682) | |
| | (214,533) | | | | (331,241) | | | | | | (59,506) | | | | (29,873) | | | | | | | | (61,314) | | | | (116,159) | | | | | | (224,208) | | | | (129,506) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (2,005) | | | | — | |
| | 48,008 | | | | 261,115 | | | | | | (55,680) | | | | 28 | | | | | | | | (35,401) | | | | (50,910) | | | | | | 94,555 | | | | (6,254) | |
| | 35,297 | | | | 260,544 | | | | | | (58,017) | | | | (2,490) | | | | | | | | (44,022) | | | | (59,763) | | | | | | 70,049 | | | | (15,877) | |
| | | | | | | | | | |
| | 1,061,436 | | | | 800,892 | | | | | | 135,454 | | | | 137,944 | | | | | | | | 235,225 | | | | 294,988 | | | | | | 745,840 | | | | 761,717 | |
| $ | 1,096,733 | | | $ | 1,061,436 | | | | | $ | 77,437 | | | $ | 135,454 | | | | | | | $ | 191,203 | | | $ | 235,225 | | | | | $ | 815,889 | | | $ | 745,840 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | (115) | | | $ | (116) | | | | | $ | (336) | | | $ | (1) | | | | | | | $ | (1,323) | | | $ | 160 | | | | | $ | (748) | | | $ | 427 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | 34 | | | | | | | | — | | | | 2,280 | | | | | | 2,429 | | | | 2,382 | |
| | — | | | | — | | | | | | — | | | | 6 | | | | | | | | — | | | | 348 | | | | | | 375 | | | | 497 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | 52 | | | | | | 38 | | | | 87 | |
| | — | | | | | | | | | | — | | | | (40) | | | | | | | | — | | | | (2,680) | | | | | | (139) | | | | (537) | |
| | — | | | | — | | | | | | — | | | | (34) | | | | | | | | — | | | | (2,280) | | | | | | 274 | | | | 47 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 2,703 | | | | 2,429 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | 105,227 | | | | 79,308 | | | | | | 12,996 | | | | 12,963 | | | | | �� | | | 24,780 | | | | 27,818 | | | | | | 67,115 | | | | 67,814 | |
| | 25,162 | | | | 57,538 | | | | | | 267 | | | | 2,686 | | | | | | | | 2,439 | | | | 8,371 | | | | | | 9,653 | | | | 9,005 | |
| | 997 | | | | 1,270 | | | | | | 103 | | | | 201 | | | | | | | | 355 | | | | 728 | | | | | | 978 | | | | 2,533 | |
| | (21,391) | | | | (32,889) | | | | | | (5,766) | | | | (2,854) | | | | | | | | (6,633) | | | | (12,137) | | | | | | (21,346) | | | | (12,237) | |
| | 4,768 | | | | 25,919 | | | | | | (5,396) | | | | 33 | | | | | | | | (3,839) | | | | (3,038) | | | | | | (10,715) | | | | (699) | |
| | 109,995 | | | | 105,227 | | | | | | 7,600 | | | | 12,996 | | | | | | | | 20,941 | | | | 24,780 | | | | | | 56,400 | | | | 67,115 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 19,423 | | | | — | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 94 | | | | — | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | (191) | | | | — | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 19,326 | | | | — | |
| | — | | | | — | | | | | | — | | | | — | | | | | | | | — | | | | — | | | | | | 19,326 | | | | — | |
| | | | | | | | | | |
| | 261,110 | | | | 501,486 | | | | | | 152 | | | | 271 | | | | | | | | 799 | | | | — | | | | | | 153,061 | | | | 314,201 | |
| | 245,654 | | | | 324,896 | | | | | | 3,300 | | | | 3,095 | | | | | | | | 12,828 | | | | 1,030 | | | | | | 139,916 | | | | 342,929 | |
| | 258,147 | | | | 910,664 | | | | | | 2,819 | | | | 41,192 | | | | | | | | 26,235 | | | | 64,224 | | | | | | 147,322 | | | | 367,481 | |
| | 234,227 | | | | 796,384 | | | | | | 81,667 | | | | 34,146 | | | | | | | | 56,779 | | | | 122,096 | | | | | | 74,157 | | | | 340,264 | |
See notes to financial statements.
Semi-Annual Report 109
For the period ended April 30, 2018 (Unaudited) and year ended October 31, 2017
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Payden Corporate | | | | | | Payden Strategic | | |
| Current Period | | | | Bond Fund | | | | | | Income Fund | | |
| 04/30/2018(Semi-Annual) | | | | 2018 | | | | 2017 | | | | | | 2018 | | | | 2017 | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | $ | 3,750 | | | | | | | | | $ | 5,415 | | | | | | | | | | | $ | 3,076 | | | | | | | | | $ | 4,638 | | | | | |
Net realized gains (losses) | | | | | | | 648 | | | | | | | | | | 1,357 | | | | | | | | | | | | (1,783 | ) | | | | | | | | | (17 | ) | | | | |
Change in net unrealized appreciation/(depreciation) | | | | | | | (8,747 | ) | | | | | | | | | 2,793 | | | | | | | | | | | | (2,691 | ) | | | | | | | | | 323 | | | | | |
Change in Net Assets Resulting from Operations | | | | | | | (4,349 | ) | | | | | | | | | 9,565 | | | | | | | | | | | | (1,398 | ) | | | | | | | | | 4,944 | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | (53 | ) | | | | |
Investor Class | | | | | | | (3,739 | ) | | | | | | | | | (5,462 | ) | | | | | | | | | | | (1,903 | ) | | | | | | | | | (3,588 | ) | | | | |
SI Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | (1,203 | ) | | | | | | | | | (1,468 | ) | | | | |
Net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | (5 | ) | | | | |
Investor Class | | | | | | | (1,319 | ) | | | | | | | | | (2,728 | ) | | | | | | | | | | | — | | | | | | | | | | (166 | ) | | | | |
SI Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | (42 | ) | | | | |
Return of capital: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | |
Investor Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | (3 | ) | | | | |
Sl Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | (1 | ) | | | | |
Change in Net Assets from Distributions to Shareholders | | | | | | | (5,058 | ) | | | | | | | | | (8,190 | ) | | | | | | | | | | | (3,106 | ) | | | | | | | | | (5,326 | ) | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | 422 | | | | | |
Investor Class | | | | | | | 38,264 | | | | | | | | | | 100,890 | | | | | | | | | | | | 25,514 | | | | | | | | | | 71,429 | | | | | |
SI Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | 16,454 | | | | | | | | | | 58,190 | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | 57 | | | | | |
Investor Class | | | | | | | 4,570 | | | | | | | | | | 7,454 | | | | | | | | | | | | 1,873 | | | | | | | | | | 3,694 | | | | | |
SI Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | 1,194 | | | | | | | | | | 1,492 | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | (6,212 | ) | | | | |
Investor Class | | | | | | | (40,036 | ) | | | | | | | | | (42,882 | ) | | | | | | | | | | | (40,895 | ) | | | | | | | | | (89,698 | ) | | | | |
SI Class | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | (51,211 | ) | | | | | | | | | — | | | | | |
Change in Net Assets from Capital Transactions | | | | | | | 2,798 | | | | | | | | | | 65,462 | | | | | | | | | | | | (47,071 | ) | | | | | | | | | 39,374 | | | | | |
Total Change in Net Assets | | | | | | | (6,609 | ) | | | | | | | | | 66,837 | | | | | | | | | | | | (51,575 | ) | | | | | | | | | 38,992 | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | | | | | 207,305 | | | | | | | | | | 140,468 | | | | | | | | | | | | 225,643 | | | | | | | | | | 186,651 | | | | | |
End of period | | | | | | $ | 200,696 | | | | | | | | | $ | 207,305 | | | | | | | | | | | $ | 174,068 | | | | | | | | | $ | 225,643 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated net investment income/(loss) | | | | | | $ | 15 | | | | | | | | | $ | 4 | | | | | | | | | | | $ | (30 | ) | | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | 572 | | | | | |
Shares sold | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | 42 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | 6 | | | | | |
Shares redeemed | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | (620 | ) | | | | |
Change in shares outstanding. | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | (572 | ) | | | | |
Outstanding shares at end of period | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | | | 18,213 | | | | | | | | | | 12,353 | | | | | | | | | | | | 13,350 | | | | | | | | | | 14,838 | | | | | |
Shares sold | | | | | | | 3,410 | | | | | | | | | | 9,037 | | | | | | | | | | | | 2,539 | | | | | | | | | | 7,082 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 409 | | | | | | | | | | 675 | | | | | | | | | | | | 187 | | | | | | | | | | 368 | | | | | |
Shares redeemed | | | | | | | (3,601 | ) | | | | | | | | | (3,852 | ) | | | | | | | | | | | (4,080 | ) | | | | | | | | | (8,938 | ) | | | | |
Change in shares outstanding | | | | | | | 218 | | | | | | | | | | 5,860 | | | | | | | | | | | | (1,354 | ) | | | | | | | | | (1,488 | ) | | | | |
Outstanding shares at end of period | | | | | | | 18,431 | | | | | | | | | | 18,213 | | | | | | | | | | | | 11,996 | | | | | | | | | | 13,350 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | 8,959 | | | | | | | | | | 3,040 | | | | | |
Shares sold | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | 1,632 | | | | | | | | | | 5,771 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | 119 | | | | | | | | | | 148 | | | | | |
Shares redeemed | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | (5,119 | ) | | | | | | | | | — | | | | | |
Change in shares outstanding | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | (3,368 | ) | | | | | | | | | 5,919 | | | | | |
Outstanding shares at end of period | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | 5,591 | | | | | | | | | | 8,959 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | | | | | 97,534 | | | | | | | | | | 209,182 | | | | | | | | | | | | 39,313 | | | | | | | | | | 112,621 | | | | | |
Sale of investments (excluding government) | | | | | | | 95,146 | | | | | | | | | | 147,268 | | | | | | | | | | | | 61,464 | | | | | | | | | | 75,423 | | | | | |
Purchase of government securities. | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | 18,620 | | | | | | | | | | 57,291 | | | | | |
Sale of government securities | | | | | | | — | | | | | | | | | | 554 | | | | | | | | | | | | 36,314 | | | | | | | | | | 59,943 | | | | | |
See notes to financial statements.
110 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden Absolute Return Bond Fund | | | | | | Payden Floating Rate Fund | | | | | | Payden High Income Fund | | | | | | Payden California Municipal Income Fund |
2018 | | | | 2017 | | | | | | 2018 | | | | 2017 | | | | | | 2018 | | | | 2017 | | | | | | 2018 | | | | 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,437 | | | | | | | | | $ | 2,125 | | | | | | | | | | | $ | 3,036 | | | | | | | | | $ | 6,198 | | | | | | | | | | | $ | 12,822 | | | | | | | | | $ | 28,745 | | | | | | | | | | | $ | 605 | | | | | | | | | $ | 1,034 | | | |
| | | 224 | | | | | | | | | | (180 | ) | | | | | | | | | | | (495 | ) | | | | | | | | | (44 | ) | | | | | | | | | | | 1,961 | | | | | | | | | | 10,993 | | | | | | | | | | | | 248 | | | | | | | | | | 213 | | | |
| | | | (870 | ) | | | | | | | | | 893 | | | | | | | | | | | | 193 | | | | | | | | | | 323 | | | | | | | | | | | | (18,229 | ) | | | | | | | | | 726 | | | | | | | | | | | | (1,250 | ) | | | | | | | | | (15 | ) | | |
| | | | 791 | | | | | | | | | | 2,838 | | | | | | | | | | | | 2,734 | | | | | | | | | | 6,477 | | | | | | | | | | | | (3,446 | ) | | | | | | | | | 40,464 | | | | | | | | | | | | (397 | ) | | | | | | | | | 1,232 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | | | | | | | (2 | ) | | | | | | | | | | | — | | | | | | | | | | (8 | ) | | | | | | | | | | | — | | | | | | | | | | (582 | ) | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | (1,235 | ) | | | | | | | | | (1,641 | ) | | | | | | | | | | | (1,023 | ) | | | | | | | | | (1,741 | ) | | | | | | | | | | | (13,013 | ) | | | | | | | | | (28,871 | ) | | | | | | | | | | | (605 | ) | | | | | | | | | (1,034 | ) | | |
| | | (456 | ) | | | | | | | | | (410 | ) | | | | | | | | | | | (1,914 | ) | | | | | | | | | (4,473 | ) | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | (213 | ) | | | | | | | | | (838 | ) | | |
| | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | (198 | ) | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | (1,691 | ) | | | | | | | | | (2,053 | ) | | | | | | | | | | | (2,937 | ) | | | | | | | | | (6,222 | ) | | | | | | | | | | | (13,013 | ) | | | | | | | | | (29,651 | ) | | | | | | | | | | | (818 | ) | | | | | | | | | (1,872 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | | | | | | | 585 | | | | | | | | | | | | — | | | | | | | | | | 381 | | | | | | | | | | | | — | | | | | | | | | | 7,892 | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | 6,045 | | | | | | | | | | 32,334 | | | | | | | | | | | | 12,008 | | | | | | | | | | 24,964 | | | | | | | | | | | | 72,051 | | | | | | | | | | 99,822 | | | | | | | | | | | | 3,238 | | | | | | | | | | 10,846 | | | |
| | | 24,455 | | | | | | | | | | 4,307 | | | | | | | | | | | | 23,529 | | | | | | | | | | 26,305 | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | | | | | | | 2 | | | | | | | | | | | | — | | | | | | | | | | 8 | | | | | | | | | | | | — | | | | | | | | | | 578 | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | 1,207 | | | | | | | | | | 1,601 | | | | | | | | | | | | 1,010 | | | | | | | | | | 1,689 | | | | | | | | | | | | 11,586 | | | | | | | | | | 23,467 | | | | | | | | | | | | 700 | | | | | | | | | | 1,465 | | | |
| | | 273 | | | | | | | | | | 401 | | | | | | | | | | | | 1,605 | | | | | | | | | | 3,471 | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | | | | | | | (634 | ) | | | | | | | | | | | — | | | | | | | | | | (671 | ) | | | | | | | | | | | — | | | | | | | | | | (32,843 | ) | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | (9,810 | ) | | | | | | | | | (11,665 | ) | | | | | | | | | | | (21,250 | ) | | | | | | | | | (27,569 | ) | | | | | | | | | | | (135,299 | ) | | | | | | | | | (187,515 | ) | | | | | | | | | | | (4,577 | ) | | | | | | | | | (9,834 | ) | | |
| | | | (1,585 | ) | | | | | | | | | (879 | ) | | | | | | | | | | | (53,004 | ) | | | | | | | | | (26,183 | ) | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | 20,585 | | | | | | | | | | 26,052 | | | | | | | | | | | | (36,102 | ) | | | | | | | | | 2,395 | | | | | | | | | | | | (51,662 | ) | | | | | | | | | (88,599 | ) | | | | | | | | | | | (639 | ) | | | | | | | | | 2,477 | | | |
| | | 19,685 | | | | | | | | | | 26,837 | | | | | | | | | | | | (36,305 | ) | | | | | | | | | 2,650 | | | | | | | | | | | | (68,121 | ) | | | | | | | | | (77,786 | ) | | | | | | | | | | | (1,854 | ) | | | | | | | | | 1,837 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 103,933 | | | | | | | | | | 77,096 | | | | | | | | | | | | 190,390 | | | | | | | | | | 187,740 | | | | | | | | | | | | 533,635 | | | | | | | | | | 611,421 | | | | | | | | | | | | 57,645 | | | | | | | | | | 55,808 | | | |
| | | $ | 123,618 | | | | | | | | | $ | 103,933 | | | | | | | | | | | $ | 154,085 | | | | | | | | | $ | 190,390 | | | | | | | | | | | $ | 465,514 | | | | | | | | | $ | 533,635 | | | | | | | | | | | $ | 55,791 | | | | | | | | | $ | 57,645 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | (9 | ) | | | | | | | | $ | 245 | | | | | | | | | | | $ | 171 | | | | | | | | | $ | 72 | | | | | | | | | | | $ | (191 | ) | | | | | | | | $ | — | | | | | | | | | | | $ | (3 | ) | | | | | | | | $ | (3 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | — | | | | | | | | | | 5 | | | | | | | | | | | | — | | | | | | | | | | 28 | | | | | | | | | | | | — | | | | | | | | | | 3,729 | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | — | | | | | | | | | | 58 | | | | | | | | | | | | — | | | | | | | | | | 38 | | | | | | | | | | | | — | | | | | | | | | | 1,200 | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | 1 | | | | | | | | | | | | — | | | | | | | | | | 88 | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | — | | | | | | | | | | (63 | ) | | | | | | | | | | | — | | | | | | | | | | (67 | ) | | | | | | | | | | | — | | | | | | | | | | (5,017 | ) | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | — | | | | | | | | | | (5 | ) | | | | | | | | | | | — | | | | | | | | | | (28 | ) | | | | | | | | | | | — | | | | | | | | | | (3,729 | ) | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 8,615 | | | | | | | | | | 6,403 | | | | | | | | | | | | 6,379 | | | | | | | | | | 6,473 | | | | | | | | | | | | 80,956 | | | | | | | | | | 90,842 | | | | | | | | | | | | 5,608 | | | | | | | | | | 5,361 | | | |
| | | 601 | | | | | | | | | | 3,215 | | | | | | | | | | | | 1,202 | | | | | | | | | | 2,490 | | | | | | | | | | | | 11,060 | | | | | | | | | | 15,295 | | | | | | | | | | | | 318 | | | | | | | | | | 1,074 | | | |
| | | 120 | | | | | | | | | | 160 | | | | | | | | | | | | 101 | | | | | | | | | | 169 | | | | | | | | | | | | 1,794 | | | | | | | | | | 3,596 | | | | | | | | | | | | 69 | | | | | | | | | | 146 | | | |
| | | | (976 | ) | | | | | | | | | (1,163 | ) | | | | | | | | | | | (2,125 | ) | | | | | | | | | (2,753 | ) | | | | | | | | | | | (20,793 | ) | | | | | | | | | (28,777 | ) | | | | | | | | | | | (449 | ) | | | | | | | | | (973 | ) | | |
| | | | (255 | ) | | | | | | | | | 2,212 | | | | | | | | | | | | (822 | ) | | | | | | | | | (94 | ) | | | | | | | | | | | (7,939 | ) | | | | | | | | | (9,886 | ) | | | | | | | | | | | (62 | ) | | | | | | | | | 247 | | | |
| | | | 8,360 | | | | | | | | | | 8,615 | | | | | | | | | | | | 5,557 | | | | | | | | | | 6,379 | | | | | | | | | | | | 73,017 | | | | | | | | | | 80,956 | | | | | | | | | | | | 5,546 | | | | | | | | | | 5,608 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 1,689 | | | | | | | | | | 1,306 | | | | | | | | | | | | 12,646 | | | | | | | | | | 12,287 | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | 2,429 | | | | | | | | | | 430 | | | | | | | | | | | | 2,352 | | | | | | | | | | 2,620 | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | 27 | | | | | | | | | | 40 | | | | | | | | | | | | 161 | | | | | | | | | | 346 | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | (157 | ) | | | | | | | | | (87 | ) | | | | | | | | | | | (5,289 | ) | | | | | | | | | (2,607 | ) | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | 2,299 | | | | | | | | | | 383 | | | | | | | | | | | | (2,776 | ) | | | | | | | | | 359 | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | 3,988 | | | | | | | | | | 1,689 | | | | | | | | | | | | 9,870 | | | | | | | | | | 12,646 | | | | | | | | | | | | — | | | | | | | | | | — | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 61,806 | | | | | | | | | | 71,469 | | | | | | | | | | | | 88,078 | | | | | | | | | | 184,452 | | | | | | | | | | | | 146,216 | | | | | | | | | | 360,897 | | | | | | | | | | | | 35,867 | | | | | | | | | | 84,808 | | | |
| | | 39,564 | | | | | | | | | | 49,408 | | | | | | | | | | | | 121,040 | | | | | | | | | | 192,641 | | | | | | | | | | | | 191,881 | | | | | | | | | | 456,129 | | | | | | | | | | | | 34,964 | | | | | | | | | | 84,617 | | | |
| | | 21,665 | | | | | | | | | | 48,000 | | | | | | | | | | | | 300 | | | | | | | | | | 1,438 | | | | | | | | | | | | 900 | | | | | | | | | | 2,650 | | | | | | | | | | | | — | | | | | | | | | | — | | | |
| | | 24,144 | | | | | | | | | | 42,392 | | | | | | | | | | | | — | | | | | | | | | | 376 | | | | | | | | | | | | — | | | | | | | | | | 1,980 | | | | | | | | | | | | — | | | | | | | | | | — | | | |
See notes to financial statements.
Semi-Annual Report 111
For the periods ended April 30, 2018 (Unaudited) and year ended October 31, 2017
Numbers in 000s
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Payden Global Low Duration Fund | | | | | | Payden Global Fixed Income Fund | | |
| | | 2018 | | | | 2017 | | | | | | 2018 | | | | 2017 | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | $ 1,114 | | | | | | $ 1,954 | | | | | | | | | | | | $ 1,087 | | | | | | $ 1,967 | | | | | |
Net realized gains (losses) | | | 65 | | | | | | (714) | | | | | | | | | | | | (701) | | | | | | 1,348 | | | | | |
Change in net unrealized appreciation/(depreciation) | | | (1,399) | | | | | | 846 | | | | | | | | | | | | (563) | | | | | | (35) | | | | | |
Change in Net Assets Resulting from Operations. | | | (220) | | | | | | 2,086 | | | | | | | | | | | | (177) | | | | | | 3,280 | | | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | (1,117) | | | | | | (956) | | | | | | | | | | | | (1,381) | | | | | | (2,076) | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Net realized gains from investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Return of capital: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | — | | | | | | (892) | | | | | | | | | | | | — | | | | | | — | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Change in Net Assets from Distributions to Shareholders | | | (1,117) | | | | | | (1,848) | | | | | | | | | | | | (1,381) | | | | | | (2,076) | | | | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | 2,474 | | | | | | 23,648 | | | | | | | | | | | | 14,867 | | | | | | 45,623 | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | 1,087 | | | | | | 1,789 | | | | | | | | | | | | 1,348 | | | | | | 2,029 | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Investor Class | | | (15,527) | | | | | | (47,487) | | | | | | | | | | | | (10,546) | | | | | | (35,318) | | | | | |
SI Class | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Change in Net Assets from Capital Transactions | | | (11,966) | | | | | | (22,050) | | | | | | | | | | | | 5,669 | | | | | | 12,334 | | | | | |
Total Change in Net Assets | | | (13,303) | | | | | | (21,812) | | | | | | | | | | | | 4,111 | | | | | | 13,538 | | | | | |
NET ASSETS: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of period | | | 113,405 | | | | | | 135,217 | | | | | | | | | | | | 124,647 | | | | | | 111,109 | | | | | |
End of period | | | $100,102 | | | | | | $113,405 | | | | | | | | | | | | $128,758 | | | | | | $124,647 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated net investment income/(loss) | | | $ (3) | | | | | | $ — | | | | | | | | | | | | $ (45) | | | | | | $ 249 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Adviser Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares sold | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares issued in reinvestment of distributions | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares redeemed | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Change in shares outstanding. | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Outstanding shares at end of period | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investor Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | 11,269 | | | | | | 13,461 | | | | | | | | | | | | 13,680 | | | | | | 12,289 | | | | | |
Shares sold | | | 246 | | | | | | 2,354 | | | | | | | | | | | | 1,639 | | | | | | 5,091 | | | | | |
Shares issued in reinvestment of distributions | | | 109 | | | | | | 178 | | | | | | | | | | | | 149 | | | | | | 225 | | | | | |
Shares redeemed | | | (1,551) | | | | | | (4,724) | | | | | | | | | | | | (1,159) | | | | | | (3,925) | | | | | |
Change in shares outstanding. | | | (1,196) | | | | | | (2,192) | | | | | | | | | | | | 629 | | | | | | 1,391 | | | | | |
Outstanding shares at end of period | | | 10,073 | | | | | | 11,269 | | | | | | | | | | | | 14,309 | | | | | | 13,680 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SI Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares sold | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares issued in reinvestment of distributions | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Shares redeemed | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Change in shares outstanding. | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
Outstanding shares at end of period | | | — | | | | | | — | | | | | | | | | | | | — | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | 21,725 | | | | | | 72,296 | | | | | | | | | | | | 26,961 | | | | | | 69,396 | | | | | |
Sale of investments (excluding government) | | | 30,609 | | | | | | 73,268 | | | | | | | | | | | | 31,629 | | | | | | 55,797 | | | | | |
Purchase of government securities | | | 9,441 | | | | | | 56,323 | | | | | | | | | | | | 5,970 | | | | | | 15,586 | | | | | |
Sale of government securities | | | 12,225 | | | | | | 70,701 | | | | | | | | | | | | 2,266 | | | | | | 16,291 | | | | | |
See notes to financial statements.
112 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payden Emerging Markets Bond Fund | | | | | Payden Emerging
Markets Local Bond Fund | | | | | Payden Emerging Markets
Corporate Bond Fund | | | | | Payden Equity
Income Fund | |
2018 | | | 2017 | | | | | 2018 | | | 2017 | | | | | 2018 | | | 2017 | | | | | 2018 | | | 2017 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ 35,934 | | | | $ 68,069 | | | | | | $ 6,121 | | | | $ 10,083 | | | | | | $ 1,016 | | | | $ 1,830 | | | | | | $ 11,266 | | | | $ 22,179 | |
| | 10,804 | | | | 11,302 | | | | | | 736 | | | | 1,151 | | | | | | 68 | | | | 477 | | | | | | 10,019 | | | | 46,314 | |
| | (69,785) | | | | 14,071 | | | | | | 2,067 | | | | (2,713) | | | | | | (1,497) | | | | 401 | | | | | | 11,846 | | | | 68,651 | |
| | |
| | (23,047) | | | | 93,442 | | | | | | 8,924 | | | | 8,521 | | | | | | (413) | | | | 2,708 | | | | | | 33,131 | | | | 137,144 | |
| | |
| | | | | | | | | | |
| | (3,011) | | | | (5,633) | | | | | | — | | | | (7) | | | | | | — | | | | (5) | | | | | | (119) | | | | (317) | |
| | (14,983) | | | | (25,614) | | | | | | (6,126) | | | | (9,432) | | | | | | (177) | | | | (173) | | | | | | (5,235) | | | | (12,459) | |
| | (17,994) | | | | (34,493) | | | | | | — | | | | — | | | | | | (838) | | | | (1,652) | | | | | | (5,220) | | | | (8,211) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | — | | | | — | | | | | | (707) | | | | (68) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | (22) | | | | — | | | | | | (28,803) | | | | (2,903) | |
| | — | | | | — | | | | | | — | | | | — | | | | | | (107) | | | | — | | | | | | (18,795) | | | | (1,769) | |
| | — | | | | (264) | | | | | | — | | | | — | | | | | | — | | | | — | | | | | | — | | | | — | |
| | — | | | | (1,197) | | | | | | — | | | | (643) | | | | | | — | | | | — | | | | | | — | | | | — | |
| | — | | | | (1,612) | | | | | | — | | | | — | | | | | | — | | | | — | | | | | | — | | | | — | |
| | |
| | (35,988) | | | | (68,813) | | | | | | (6,126) | | | | (10,082) | | | | | | (1,144) | | | | (1,830) | | | | | | (58,879) | | | | (25,727) | |
| | |
| | | | | | | | | | |
| | 8,038 | | | | 83,668 | | | | | | — | | | | 42 | | | | | | — | | | | 428 | | | | | | 1,257 | | | | 12,290 | |
| | 168,206 | | | | 157,027 | | | | | | 30,416 | | | | 49,491 | | | | | | 5,934 | | | | 737 | | | | | | 66,336 | | | | 126,172 | |
| | 95,837 | | | | 127,563 | | | | | | — | | | | — | | | | | | 34,480 | | | | — | | | | | | 258,867 | | | | 64,027 | |
| | 2,993 | | | | 5,832 | | | | | | — | | | | 6 | | | | | | — | | | | 5 | | | | | | 800 | | | | 374 | |
| | 13,817 | | | | 24,996 | | | | | | 4,743 | | | | 5,484 | | | | | | 199 | | | | 173 | | | | | | 33,602 | | | | 15,035 | |
| | 17,640 | | | | 35,531 | | | | | | — | | | | — | | | | | | 605 | | | | 279 | | | | | | 18,013 | | | | 7,091 | |
| | (26,460) | | | | (36,872) | | | | | | — | | | | (175) | | | | | | — | | | | (2,934) | | | | | | (3,049) | | | | (8,058) | |
| | (110,173) | | | | (130,575) | | | | | | (7,089) | | | | (28,708) | | | | | | (3,273) | | | | (604) | | | | | | (136,736) | | | | (122,713) | |
| | (83,222) | | | | (87,262) | | | | | | — | | | | — | | | | | | (33,143) | | | | — | | | | | | (19,207) | | | | (43,244) | |
| | |
| | 86,676 | | | | 179,903 | | | | | | 28,070 | | | | 26,140 | | | | | | 4,802 | | | | (1,916) | | | | | | 219,883 | | | | 50,974 | |
| | |
| | 27,641 | | | | 204,537 | | | | | | 30,868 | | | | 24,579 | | | | | | 3,245 | | | | (1,038) | | | | | | 194,135 | | | | 162,391 | |
| | | | | | | | | | |
| | 1,363,779 | | | | 1,159,242 | | | | | | 180,942 | | | | 156,363 | | | | | | 40,627 | | | | 41,665 | | | | | | 965,064 | | | | 802,673 | |
| | |
| | $ 1,391,420 | | | | $ 1,363,779 | | | | | | $ 211,810 | | | | $ 180,942 | | | | | | $ 43,872 | | | | $ 40,627 | | | | | | $ 1,159,199 | | | | $ 965,064 | |
| | |
| | $ (54) | | | | $ — | | | | | | $ (5) | | | | $ — | | | | | | $ 1 | | | | $ — | | | | | | $ 692 | | | | — | |
| | |
| | | | | | | | | | |
| | 9,261 | | | | 5,458 | | | | | | — | | | | 18 | | | | | | — | | | | 253 | | | | | | 871 | | | | 566 | |
| | |
| | 569 | | | | 6,035 | | | | | | — | | | | 6 | | | | | | — | | | | 42 | | | | | | 75 | | | | 792 | |
| | 213 | | | | 419 | | | | | | — | | | | 1 | | | | | | — | | | | — | | | | | | 48 | | | | 24 | |
| | (1,881) | | | | (2,651) | | | | | | — | | | | (25) | | | | | | — | | | | (295) | | | | | | (182) | | | | (511) | |
| | |
| | (1,099) | | | | 3,803 | | | | | | — | | | | (18) | | | | | | — | | | | (253) | | | | | | (59) | | | | 305 | |
| | |
| | 8,162 | | | | 9,261 | | | | | | — | | | | — | | | | | | — | | | | — | | | | | | 812 | | | | 871 | |
| | |
| | | | | | | | | | |
| | 37,898 | | | | 34,281 | | | | | | 26,240 | | | | 22,472 | | | | | | 392 | | | | 362 | | | | | | 33,828 | | | | 32,639 | |
| | |
| | 11,908 | | | | 11,274 | | | | | | 4,201 | | | | 7,097 | | | | | | 576 | | | | 72 | | | | | | 3,929 | | | | 8,014 | |
| | 987 | | | | 1,802 | | | | | | 660 | | | | 789 | | | | | | 20 | | | | 17 | | | | | | 2,021 | | | | 953 | |
| | (7,782) | | | | (9,459) | | | | | | (992) | | | | (4,118) | | | | | | (324) | | | | (59) | | | | | | (8,043) | | | | (7,778) | |
| | |
| | 5,113 | | | | 3,617 | | | | | | 3,869 | | | | 3,768 | | | | | | 272 | | | | 30 | | | | | | (2,093) | | | | 1,189 | |
| | |
| | 43,011 | | | | 37,898 | | | | | | 30,109 | | | | 26,240 | | | | | | 664 | | | | 392 | | | | | | 31,735 | | | | 33,828 | |
| | |
| | | | | | | | | | |
| | 48,866 | | | | 43,426 | | | | | | — | | | | — | | | | | | 3,537 | | | | 3,509 | | | | | | 23,119 | | | | 21,431 | |
| | |
| | 6,821 | | | | 9,083 | | | | | | — | | | | — | | | | | | 3,350 | | | | — | | | | | | 15,401 | | | | 3,977 | |
| | 1,261 | | | | 2,564 | | | | | | — | | | | — | | | | | | 60 | | | | 28 | | | | | | 1,087 | | | | 449 | |
| | (5,914) | | | | (6,207) | | | | | | — | | | | — | | | | | | (3,211) | | | | — | | | | | | (1,144) | | | | (2,738) | |
| | |
| | 2,168 | | | | 5,440 | | | | | | — | | | | — | | | | | | 199 | | | | 28 | | | | | | 15,344 | | | | 1,688 | |
| | |
| | 51,034 | | | | 48,866 | | | | | | — | | | | — | | | | | | 3,736 | | | | 3,537 | | | | | | 38,463 | | | | 23,119 | |
| | |
| | | | | | | | | | |
| | 418,946 | | | | 711,960 | | | | | | 79,209 | | | | 121,063 | | | | | | 18,054 | | | | 24,277 | | | | | | 267,301 | | | | 595,809 | |
| | 350,720 | | | | 565,645 | | | | | | 57,003 | | | | 95,861 | | | | | | 16,172 | | | | 27,594 | | | | | | 108,088 | | | | 526,493 | |
| | — | | | | — | | | | | | — | | | | — | | | | | | 355 | | | | — | | | | | | — | | | | — | |
| | — | | | | — | | | | | | — | | | | — | | | | | | — | | | | — | | | | | | — | | | | — | |
See notes to financial statements.
Semi-Annual Report 113
April 30, 2018 (Unaudited)
1. Organization and Related Matters
The Payden & Rygel Investment Group (the “Group” or “Paydenfunds”) is a no-load, open-end registered investment company organized as a Massachusetts business trust on January 22, 1992 and registered under the Investment Company Act of 1940 (the “1940 Act”), as amended. Each of its nineteen funds (each a “Fund,” collectively the “Funds”) is a series of the Group, and is authorized to issue unlimited shares at $0.001 par value. Each of the Funds, other than the Emerging Markets Local Bond Fund, has been classified as diversified.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. Each Fund’s financial statements are prepared in accordance with GAAP.
The Funds are considered investment companies under FASB ASC 946, Financial Services - Investment Companies.
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Securities Valuation
Domestic and foreign fixed income securities and other assets for which market quotations are readily available (other than obligations with original maturities of sixty days or less) are valued on the basis of quotes obtained from brokers and dealers or pricing services. Such quotations take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data. Debt securities with original maturities of sixty days or less and securities in the Cash Reserves Money Market Fund are valued at amortized cost, which approximates fair value. Cash Reserves Money
Market Fund qualifies as a government money market fund under the Money Market Fund Reform.
Publicly traded equity securities, whether in the U.S. or outside the U.S., for which market quotations are readily available, generally will be valued at the official closing price or the last sale price on the exchange or market where they are principally traded, or if there have been no sales during the day, at the last bid price. Securities traded only on the over-the-counter (“OTC”) market are valued at the latest bid price. Investments in investment companies are valued at their net asset values as reported by such companies.
Options, futures, swaps and other similar instruments are valued at the official closing price, in the case of exchange traded derivatives, or on the basis of information provided by pricing services, quotes obtained from brokers and dealers, and market trades in the case of other securities.
Fixed income or equity securities for which market quotations are not readily available are priced at their fair value as determined in good faith under procedures established pursuant to the Valuation and Liquidity Guidelines applicable to each of the Funds. In considering fair value of a security, one or more factors are taken into consideration depending on the circumstances at the time, including for example: the cost of the security or the last reported sales price of the security as a starting point; changes in interest rates; changes in yield spreads of similarly rated or structured securities; fundamental analytical information relating to the security; the value of other similar securities traded on other markets or among dealers; the general financial condition of the issuer; recent developments affecting the issuer; information, including price quotations, from other financial institutions or analysts; or government actions or pronouncements and other significant events affecting the economy, the markets, the fundamental value of the issuer or of the issuer’s industry.
Shares of open-end investment companies are valued at their respective net asset value.
Fair value pricing adjustments may occur when (1) developments occur (a “significant event”) that will affect the value of a Fund’s holdings, and (2) the significant event occurs after the close of the markets on which the securities trade, but before the time when the net asset value is computed for a Fund. A significant event may relate to a single issuer or an entire market.
114 Payden Mutual Funds
Risks
Unforeseen events in the markets may at times result in an unusually high degree of volatility in the markets, which could adversely affect the Funds causing a decline in value.
Investing in debt securities may include failure of an issuer to make timely interest or principal payments, or a decline or the perception of a decline in credit quality. In addition, the value of the debt security may decline due to general market conditions that are not specifically related to a particular company including industry earnings outlook, changes in interest or currency rates or perception of a specific industry.
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities.
An investment in the Payden Cash Reserves Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share and is classified as a government money market fund under the Money Market Fund Reform, it is possible to lose money by investing in the Fund.
Investment Transactions and Related Income
Investment transactions are accounted for on the date the security is purchased or sold (trade date) for financial reporting purposes. Interest income is recognized on an accrual basis. Premiums and discounts are amortized or accreted over the
expected life of the security using the effective interest method. Dividend income is recorded on the ex-dividend date. Realized gains or losses on investment transactions are determined on the identified cost basis.
Bank Loans
Floating-Rate Loan Interests (“Bank Loans”) in which the Funds invest generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Bank Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. The interest rate shown on the Schedule of Investments reflects the rate in effect at April 30th. When a range of rates is disclosed, the Fund holds more than one position within the same tranche at varying rates.
In connection with floating rate loan interests, the Funds may also enter into unfunded loan commitments (“commitments”). In connection with these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked- to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations. As of April 30, 2018, Floating Rate and High Income had the following unfunded floating rate loan interests:
| | | | | | | | | | |
| | | Borrower | | Par | | Commitment
Amount | | Value | | Unrealized
Depreciation |
Floating Rate | | Romulus Merger Sub LLC Delayed Draw Term Loan 1L | | $453,409 | | $453,409 | | $450,214 | | $(3,195) |
High Income | | Romulus Merger Sub LLC Delayed Draw Term Loan 1L | | 612,102 | | 612,102 | | 607,788 | | (4,314) |
Foreign Currency Translation
The accounting records of the Funds are maintained in U.S. dollars. Each of the Funds (except Cash Reserves Money Market, U.S. Government, GNMA and California Municipal Income Funds) may purchase securities that are denominated in foreign currencies. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the current exchange rates. Purchases and sales of securities, income and expenses are translated into U.S. dollars at the exchange rates on the dates of the respective transactions. Each of these Funds does not isolate that portion of the results
of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in security prices.
Reported net realized foreign exchange gains or losses arise from purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates of securities transactions, and the differences between the amounts of income or expenses recorded on each of these Fund’s books and the U.S. dollar equivalents of the amounts actually received or paid. Net unrealized appreciation/depreciation from translation of assets and liabilities denominated in foreign
Semi-Annual Report 115
currency arise from changes in the value of assets and liabilities resulting from changes in the foreign exchange rates.
Repurchase Agreements
The Payden Cash Reserves Money Market Fund entered into repurchase agreements (agreements to purchase U.S. Treasury notes and bills, subject to the seller’s agreement to repurchase them at a specified time and price) with well-established registered securities dealers or banks. Repurchase agreements are the equivalent of loans by the Fund. With respect to such agreements, it is the Fund’s policy to take possession of the underlying securities, except for tri-party agreements where an independent custodian takes possession. On a daily basis the Fund or the tri-party custodian mark-to-market such securities to ensure that the value, including accrued interest, is at least equal to the amount to be repaid to the Fund under the agreement. If the seller defaults, and the fair value of the collateral declines, realization of the collateral by the Fund may be delayed or limited.
Master Repurchase Agreements (“MRA”) permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
The Payden Cash Reserves Money Market Fund’s repurchase agreements by counterparty, which are subject to offset under a MRA, is included within the Fund’s Schedule of Investments. For financial statement purposes, the Fund does not offset financial assets and financial liabilities, that are subject to MRA on the Statements of Assets and Liabilities.
Forward Currency Contracts
Some Funds entered into forward currency contracts to protect against adverse currency movements or as speculative investments. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or
losses are recorded for financial statement purposes as unrealized gain or loss until the contact settlement date or an offsetting forward currency contract has been executed, at which time the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risk may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Futures Contracts
Some Funds entered into futures transactions to enhance potential gain in circumstances where hedging is not involved.
The purchase or sale of futures contracts and options on futures contracts provides for the future sale by one party and purchase by another party of a specified quantity of a financial instrument or foreign currency at a fixed price on a future date. Upon entering into such a contract, a Fund is required to deposit and maintain initial margin deposit of cash or securities as required by the exchange on which the contract is traded.
Pursuant to the contract, that Fund agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract. Such receipts or payments are known as variation margin and are recorded as unrealized gains or losses by that Fund. When the contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Funds is that the change in value of the underlying securities may not correlate to the change in value of the contracts.
Stock index futures contracts are an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract was originally written. Variation margin accounting procedures apply to these index futures contracts. Each Fund invests in these futures contracts to permit the Fund to meet its objectives at a lower cost than investing directly in equity securities, while permitting the equivalent of an investment in a portfolio of equity securities. The potential risk to a Fund is that the change in value of the underlying index may not correlate to the change in value of the contracts.
116 Payden Mutual Funds
Swap Contracts
Some Funds may enter into swap agreements, in which a Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation) and realized gain/(loss) is recorded at termination of the contract.
Upon entering into a centrally cleared swap, a Fund is required to deposit and maintain initial margin deposit of cash or securities as required by the exchange on which the contract is traded. Pursuant to the centrally cleared swap, that Fund agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract. Such receipts or payments are known as variation margin and are recorded as unrealized gains or losses by that Fund. When the contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, credit spreads and/or market values associated with these transactions.
A Fund may enter into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or
interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
A Fund may enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.
A Fund may enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex swaps, the notional principal amount may decline (or amortize) over time.
For financial reporting purposes, swap interest and amortization are classified as realized or unrealized gain or loss on swap contracts.
Options Transactions
Option techniques may be utilized by a Fund to hedge against changes in interest rates, foreign currency exchange rates or security prices in order to establish more definitely the effective return on securities or currencies held or intended to be
Semi-Annual Report 117
acquired by the Fund, to reduce the volatility of the currency exposure associated with investment in non-U.S. securities, or as an efficient means of adjusting exposure to the bond, equity and currency markets. In addition, the Fund may enter into such transactions to enhance potential gain in circumstances where hedging is not involved. When a Fund writes a covered call or put option, an amount equal to the premium received is reflected as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the cost of the security acquired is decreased by the premium originally received. As writer of an option, the Fund has no control over whether the underlying securities are subsequently sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the security underlying the written option.
When the Fund purchases a call or put option, an amount equal to the premium paid is included in the Fund’s Statements of Assets and Liabilities as an investment, and is subsequently marked-to-market to reflect the current value of the option. If an option expires on the stipulated expiration date or if a Fund enters into a closing sale transaction, a gain or loss is realized. If the Fund exercises a call option, the cost of the security acquired is increased by the premium paid for the call. If the Fund exercises a put option, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Written and purchased options are non-income producing securities.
Derivative Financial Instruments
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to economically hedge its exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.
The following tables show the Funds’ exposure to different types of market risks as it relates to derivative investments in the Statements of Assets and Liabilities and the Statements of Operations.
Statements of Assets and Liabilities
Fair Values of Derivative Instruments as of April 30, 2018 (000s)
| | | | | | | | | | |
Underlying Risk | | Derivative Assets ($) | | Derivative Liabilities ($) |
Limited Maturity | | | | | | | | | | |
Foreign currency2 | | | | 326 | | | | | — | |
| | | | | | | | | | |
Low Duration | | | | | | | | | | |
Interest rate1 | | | | 102 | | | | | (326 | ) |
Foreign currency2 | | | | 81 | | | | | — | |
| | | | | | | | | | |
Total | | | | 183 | | | | | (326 | ) |
| | | | | | | | | | |
GNMA | | | | | | | | | | |
Interest rate1,4 | | | | 323 | | | | | (245 | ) |
| | | | | | | | | | |
Core Bond | | | | | | | | | | |
Interest rate1,4,5 | | | | 330 | | | | | (818 | ) |
Foreign currency2,3 | | | | 956 | | | | | (1,602 | ) |
| | | | | | | | | | |
Total | | | | 1,286 | | | | | (2,420 | ) |
| | | | | | | | | | |
Corporate Bond | | | | | | | | | | |
Interest rate1 | | | | 12 | | | | | (72 | ) |
| | | | | | | | | | |
Strategic Income | | | | | | | | | | |
Interest rate1,4,5 | | | | 38 | | | | | (222 | ) |
Foreign currency2,3 | | | | 239 | | | | | (387 | ) |
| | | | | | | | | | |
Total | | | | 277 | | | | | (609 | ) |
| | | | | | | | | | |
Absolute Return Bond | | | | | | | | | | |
Credit 1 | | | | 31 | | | | | — | |
Equity4 | | | | 14 | | | | | — | |
Interest rate1,4,5 | | | | 28 | | | | | (54 | ) |
Foreign currency2,3 | | | | 395 | | | | | (305 | ) |
| | | | | | | | | | |
Total | | | | 468 | | | | | (359 | ) |
| | | | | | | | | | |
High Income | | | | | | | | | | |
Foreign currency2,3 | | | | 242 | | | | | (651 | ) |
| | | | | | | | | | |
Global Low Duration | | | | | | | | | | |
Interest rate1,4,5 | | | | 196 | | | | | (190 | ) |
Foreign currency2,3 | | | | 68 | | | | | (142 | ) |
| | | | | | | | | | |
Total | | | | 264 | | | | | (332 | ) |
| | | | | | | | | | |
Global Fixed Income | | | | | | | | | | |
Interest rate1,4,5 | | | | 103 | | | | | (203 | ) |
Foreign currency2,3 | | | | 1,559 | | | | | (507 | ) |
| | | | | | | | | | |
Total | | | | 1,662 | | | | | (710 | ) |
| | | | | | | | | | |
Emerging Markets Bond | | | | | | | | | | |
Foreign currency2,3 | | | | 1,757 | | | | | (519 | ) |
| | | | | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | |
Foreign currency2,3 | | | | 789 | | | | | (782 | ) |
| | | | | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | |
Interest rate1 | | | | 1 | | | | | (5 | ) |
Foreign currency2,3 | | | | 58 | | | | | (21 | ) |
| | | | | | | | | | |
Total | | | | 59 | | | | | (26 | ) |
| | | | | | | | | | |
Equity Income | | | | | | | | | | |
Foreign currency2,3 | | | | 1,366 | | | | | (129 | ) |
| | | | | | | | | | |
Statement of Assets and Liabilities location:
| 1 | Includes cumulative appreciation/depreciation of futures contracts and centrally cleared swaps as reported in Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities as Receivable/Payable for futures and variation margin on centrally cleared swaps. |
118 Payden Mutual Funds
| 2 | Receivable for forward currency contracts. |
| 3 | Payable for forward currency contracts. |
| 4 | Includes options purchased at value as reported in the Schedule of Investments. |
| 5 | Payable for options written. |
The Effect of Derivative Instruments on the Statements of Operations
For the Period Ended April 30, 2018 (000s)
| | | | | | | | | | | | | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
Underlying risk | | Futures1 | | Forward Currency Contracts2 | | Options3 | | Swaps4 | | Total |
Limited Maturity | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | $ | (16 | ) | | | $ | (16 | ) |
Foreign exchange | | | | — | | | | $ | (374 | ) | | | | — | | | | | — | | | | | (374 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | — | | | | | (374 | ) | | | | — | | | | | (16 | ) | | | | (390 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | | (44 | ) | | | | (44 | ) |
Interest rate | | | $ | 429 | | | | | — | | | | $ | 253 | | | | | — | | | | | 682 | |
Foreign exchange | | | | — | | | | | (160 | ) | | | | — | | | | | — | | | | | (160 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | 429 | | | | | (160 | ) | | | | 253 | | | | | (44 | ) | | | | 478 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | | (7 | ) | | | | — | | | | | (11 | ) | | | | — | | | | | (18 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | (7 | ) | | | | — | | | | | (11 | ) | | | | — | | | | | (18 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
GNMA | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | | 6 | | | | | — | | | | | — | | | | | — | | | | | 6 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | | 501 | | | | | 501 | |
Interest rate | | | | 832 | | | | | — | | | | | (337 | ) | | | | — | | | | | 495 | |
Foreign exchange | | | | — | | | | | 831 | | | | | — | | | | | — | | | | | 831 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | 832 | | | | | 831 | | | | | (337 | ) | | | | 501 | | | | | 1,827 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | | 54 | | | | | 54 | |
Interest rate | | | | 552 | | | | | — | | | | | — | | | | | — | | | | | 552 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | 552 | | | | | — | | | | | — | | | | | 54 | | | | | 606 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | | 187 | | | | | 187 | |
Interest rate | | | | 31 | | | | | — | | | | | (45 | ) | | | | — | | | | | (14 | ) |
Foreign exchange | | | | — | | | | | 220 | | | | | — | | | | | — | | | | | 220 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | 31 | | | | | 220 | | | | | (45 | ) | | | | 187 | | | | | 393 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | | 5 | | | | | 5 | |
Equity | | | | — | | | | | — | | | | | 277 | | | | | — | | | | | 277 | |
Interest rate | | | | (170 | ) | | | | — | | | | | 140 | | | | | 39 | | | | | 9 | |
Foreign exchange | | | | — | | | | | (645 | ) | | | | — | | | | | — | | | | | (645 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | (170 | ) | | | | (645 | ) | | | | 417 | | | | | 44 | | | | | (354 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | | 132 | | | | | 132 | |
Foreign exchange | | | | — | | | | | 422 | | | | | — | | | | | — | | | | | 422 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | — | | | | | 422 | | | | | — | | | | | 132 | | | | | 554 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | | (2 | ) | | | | (2 | ) |
Interest rate | | | | 47 | | | | | — | | | | | 38 | | | | | — | | | | | 85 | |
Foreign exchange | | | | — | | | | | 60 | | | | | — | | | | | — | | | | | 60 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | 47 | | | | | 60 | | | | | 38 | | | | | (2 | ) | | | | 143 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income |
Underlying risk | | Futures1 | | Forward Currency Contracts2 | | Options3 | | Swaps4 | | Total |
| | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | $ | 50 | | | | $ | 50 | |
Interest rate | | | $ | 322 | | | | | — | | | | | — | | | | | — | | | | | 322 | |
Foreign exchange | | | | — | | | | $ | (1,411 | ) | | | | — | | | | | — | | | | | (1,411 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | 322 | | | | | (1,411 | ) | | | | — | | | | | 50 | | | | | (1,039 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | | — | | | | | (179 | ) | | | | — | | | | | — | | | | | (179 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | | — | | | | | 1,139 | | | | | — | | | | | — | | | | | 1,139 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Emerging Markets Corporate | | | | | | | | | | | | | | | | | | | | | | | | | |
Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | | 67 | | | | | — | | | | | — | | | | | — | | | | | 67 | |
Foreign exchange | | | | — | | | | | 17 | | | | | — | | | | | — | | | | | 17 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | 67 | | | | | 17 | | | | | — | | | | | — | | | | | 84 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | | (414 | ) | | | | — | | | | | — | | | | | — | | | | | (414 | ) |
Foreign exchange | | | | — | | | | | (1,342 | ) | | | | — | | | | | — | | | | | (1,342 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | (414 | ) | | | | (1,342 | ) | | | | — | | | | | — | | | | | (1,756 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Net realized gains (losses) from futures contracts. |
| 2 | Net realized gains (losses) from forward foreign exchange contracts. |
| 3 | Net realized gains (losses) from written option contracts and purchased options which are included in net realized gain on investments. |
| 4 | Net realized gains (losses) from swap contracts. |
The Effect of Derivative Instruments on the Statements of Operations
For the Period Ended April 30, 2018 (000s)
| | | | | | | | | | | | | | | | | | | | | | | | | |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
Underlying risk | | Futures5 | | Forward Currency Contracts6 | | Options7 | | Swaps8 | | Total |
Limited Maturity | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | $ | 38 | | | | $ | 38 | |
Foreign exchange | | | | — | | | | $ | 358 | | | | | — | | | | | — | | | | | 358 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | — | | | | | 358 | | | | | — | | | | | 38 | | | | | 396 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | | 68 | | | | | 68 | |
Interest rate | | | $ | (96 | ) | | | | — | | | | $ | 67 | | | | | — | | | | | (29 | ) |
Foreign exchange | | | | — | | | | | 31 | | | | | — | | | | | — | | | | | 31 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | (96 | ) | | | | 31 | | | | | 67 | | | | | 68 | | | | | 70 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | | 9 | | | | | — | | | | | 7 | | | | | — | | | | | 16 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
GNMA | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | | 89 | | | | | — | | | | | (100 | ) | | | | — | | | | | (11 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 119
| | | | | | | | | | | | | | | | | | | | | | | | | |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income |
Underlying risk | | Futures5 | | Forward Currency Contracts6 | | Options7 | | Swaps8 | | Total |
Core Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | $ | (590 | ) | | | | — | | | | $ | 75 | | | | | —$ | | | | | (515 | ) |
Foreign exchange | | | | — | | | | $ | (868 | ) | | | | — | | | | | — | | | | | (868 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | (590 | ) | | | | (868 | ) | | | | 75 | | | | | — | | | | | (1,383 | ) |
| | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | | (171 | ) | | | | — | | | | | — | | | | | — | | | | | (171 | ) |
| | | | | | | | | | | | | | | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | | (126 | ) | | | | — | | | | | 15 | | | | | — | | | | | (111 | ) |
Foreign exchange | | | | — | | | | | (239 | ) | | | | — | | | | | — | | | | | (239 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | (126 | ) | | | | (239 | ) | | | | 15 | | | | | — | | | | | (350 | ) |
| | | | | | | | | | | | | | | | | | | | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | $ | 27 | | | | | 27 | |
Equity | | | | — | | | | | — | | | | | 5 | | | | | — | | | | | 5 | |
Interest rate | | | | (27 | ) | | | | — | | | | | (57 | ) | | | | — | | | | | (84 | ) |
Foreign exchange | | | | — | | | | | 19 | | | | | — | | | | | — | | | | | 19 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | (27 | ) | | | | 19 | | | | | (52 | ) | | | | 27 | | | | | (33 | ) |
| | | | | | | | | | | | | | | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | | (115 | ) | | | | (115 | ) |
Foreign exchange | | | | — | | | | | (502 | ) | | | | — | | | | | — | | | | | (502 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | — | | | | | (502 | ) | | | | — | | | | | (115 | ) | | | | (617 | ) |
| | | | | | | | | | | | | | | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit | | | | — | | | | | — | | | | | — | | | | | 8 | | | | | 8 | |
Interest rate | | | | 18 | | | | | — | | | | | 7 | | | | | — | | | | | 25 | |
Foreign exchange | | | | — | | | | | (97 | ) | | | | — | | | | | — | | | | | (97 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | 18 | | | | | (97 | ) | | | | 7 | | | | | 8 | | | | | (64 | ) |
| | | | | | | | | | | | | | | | | | | | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | | (13 | ) | | | | — | | | | | (5 | ) | | | | — | | | | | (18 | ) |
Foreign exchange | | | | — | | | | | 574 | | | | | — | | | | | — | | | | | 574 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | (13 | ) | | | | 574 | | | | | (5 | ) | | | | — | | | | | 556 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | | — | | | | | 1,336 | | | | | — | | | | | — | | | | | 1,336 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | | — | | | | | 520 | | | | | — | | | | | — | | | | | 520 | |
| | | | | | | | | | | | | | | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate | | | | (21 | ) | | | | — | | | | | — | | | | | — | | | | | (21 | ) |
Foreign exchange | | | | — | | | | | 36 | | | | | — | | | | | — | | | | | 36 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | (21 | ) | | | | 36 | | | | | — | | | | | — | | | | | 15 | |
| | | | | | | | | | | | | | | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign exchange | | | | — | | | | | 783 | | | | | — | | | | | — | | | | | 783 | |
| | | | | | | | | | | | | | | | | | | | |
| 5 | Change in net unrealized appreciation (depreciation) from futures contracts. |
| 6 | Change in net unrealized appreciation (depreciation) from forward foreign exchange contracts. |
| 7 | Change in net unrealized appreciation (depreciation) from written option contracts and purchased options which are included in change in unrealized appreciation (depreciation) on investments. |
| 8 | Change in net unrealized appreciation (depreciation) from swap contracts. |
During the period ended April 30, 2018 the average notional amount of derivatives as a percent of average net assets were as follows:
| | | | | | | | | | | | | | | | |
| | | Foreign
currency | | | Credit | | | Interest
rate | | | Equity | |
Limited Maturity | | | 1% | | | | 0% | | | | 0% | | | | 0% | |
Low Duration | | | 0% | | | | 1% | | | | 23% | | | | 0% | |
U.S. Government | | | 0% | | | | 0% | | | | 10% | | | | 0% | |
GNMA | | | 0% | | | | 0% | | | | 48% | | | | 0% | |
Core Bond | | | 10% | | | | 0% | | | | 12% | | | | 0% | |
Corporate Bond | | | 0% | | | | 0% | | | | 8% | | | | 0% | |
Strategic Income | | | 11% | | | | 0% | | | | 10% | | | | 0% | |
Absolute Return Bond | | | 21% | | | | 0% | | | | 6% | | | | 0% | |
High Income | | | 7% | | | | 1% | | | | 0% | | | | 0% | |
Global Low Duration | | | 7% | | | | 1% | | | | 41% | | | | 0% | |
Global Fixed Income | | | 61% | | | | 0% | | | | 50% | | | | 0% | |
Emerging Markets Bond | | | 5% | | | | 0% | | | | 0% | | | | 0% | |
Emerging Markets Local Bond | | | 26% | | | | 0% | | | | 0% | | | | 0% | |
Emerging Markets Corporate Bond | | | 4% | | | | 0% | | | | 1% | | | | 0% | |
Equity Income | | | 5% | | | | 0% | | | | 0% | | | | 0% | |
Counterparty Credit Risk
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by a Fund. For OTC options purchased, a Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Fund does not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty to perform.
With exchange traded purchased options and futures and centrally cleared swaps, there is decreased counterparty credit risk to a Fund since the exchange or clearinghouse guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into
120 Payden Mutual Funds
bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to a Fund.
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g. $500,000) before a transfer is required, which is determined at the close of business of a Fund and additional required collateral is delivered to/
pledged by a Fund on the next business day. Typically, a Fund and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
At April 30, 2018, the Funds’ derivative assets and liabilities (by type) on a gross basis are as follows (000s):
| | | | | | | | |
| | | Assets | | | Liabilities | |
Limited Maturity | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Forward Currency Contracts | | $ | 326 | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of | | | | | | | | |
Assets and Liabilities | | | 326 | | | | — | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (12 | ) | | | — | |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 314 | | | | — | |
| | | | | | | | |
| | |
Low Duration | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Futures Contracts | | $ | 102 | | | $ | 326 | |
Forward Currency Contracts | | | 81 | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of | | | | | | | | |
Assets and Liabilities | | | 183 | | | | 326 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (120 | ) | | | (326 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 63 | | | | — | |
| | | | | | | | |
| | |
GNMA | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Futures Contracts | | $ | 3 | | | $ | 9 | |
Purchased Options1 | | | 8 | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities in the Statements of | | | | | | | | |
Assets and Liabilities | | | 11 | | | | 9 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (7 | ) | | | (9 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 4 | | | | — | |
| | | | | | | | |
Semi-Annual Report 121
| | | | | | | | |
| | | Assets | | | Liabilities | |
Core Bond | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Futures Contracts | | $ | 68 | | | $ | 78 | |
Purchased Swaptions | | | 123 | | | | — | |
Written Swaptions | | | — | | | | 150 | |
Forward Currency Contracts | | | 956 | | | | 1,602 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,147 | | | | 1,830 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (709 | ) | | | (317 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 438 | | | $ | 1,513 | |
| | | | | | | | |
| | |
Corporate Bond | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Futures Contracts | | $ | 16 | | | $ | 34 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 16 | | | | 34 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (16 | ) | | | (34 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | | — | | | | — | |
| | | | | | | | |
| | |
Strategic Income | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Futures Contracts | | $ | 11 | | | $ | 6 | |
Purchased Options1 | | | 28 | | | | — | |
Written Options | | | — | | | | 34 | |
Forward Currency Contracts | | | 239 | | | | 387 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 278 | | | | 427 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (170 | ) | | | (59 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 108 | | | $ | 368 | |
| | | | | | | | |
| | |
Absolute Return Bond | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Futures Contracts | | $ | 3 | | | $ | 2 | |
Centrally Cleared Swaps | | | — | | | | 9 | |
Purchased Options1 | | | 33 | | | | — | |
Written Options | | | — | | | | 23 | |
Forward Currency Contracts | | | 395 | | | | 305 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 431 | | | | 339 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (138 | ) | | | (53 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 293 | | | $ | 286 | |
| | | | | | | | |
| | |
High Income | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Forward Currency Contracts | | $ | 242 | | | $ | 651 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 242 | | | | 651 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (114 | ) | | | (91 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 128 | | | $ | 560 | |
| | | | | | | | |
| 1 | Includes options purchased at value which is included in Investments at value and reported in the Schedule of Investments. |
| | | | | | | | |
| | | Assets | | | Liabilities | |
Global Low Duration | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Futures Contracts | | $ | 2 | | | $ | 12 | |
Purchased Options1 | | | 15 | | | | — | |
Written Options | | | — | | | | 19 | |
Forward Currency Contracts | | | 68 | | | | 142 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 85 | | | | 173 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (32 | ) | | | (32 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 53 | | | $ | 141 | |
| | | | | | | | |
| | |
Global Fixed Income | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Futures Contracts | | $ | 25 | | | $ | 30 | |
Purchased Options1 | | | 19 | | | | — | |
Written Options | | | — | | | | 24 | |
Forward Currency Contracts | | | 1,559 | | | | 507 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,603 | | | | 561 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | (475 | ) | | | (105 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 1,128 | | | $ | 456 | |
| | | | | | | | |
| | |
Emerging Markets Bond | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Forward Currency Contracts | | $ | 1,757 | | | $ | 519 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,757 | | | | 519 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | — | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 1,757 | | | $ | 519 | |
| | | | | | | | |
| | |
Emerging Markets Local Bond | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Forward Currency Contracts | | $ | 789 | | | $ | 782 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 789 | | | | 782 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | — | | | | — | |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 789 | | | $ | 782 | |
| | | | | | | | |
| | |
Emerging Markets Corporate Bond | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Futures Contracts | | $ | — | | | $ | 3 | |
Forward Currency Contracts | | | 58 | | | | 21 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 58 | | | | 24 | |
| | | | | | | | |
Derivatives not subject to a MNA | | | — | | | | (3 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 58 | | | $ | 21 | |
| | | | | | | | |
| | |
Equity Income | | | | | | |
Derivative Financial Instruments: | | | | | | | | |
Forward Currency Contracts | | $ | 1,366 | | | $ | 129 | |
| | | | | | | | |
| Total derivative assets and liabilities in the Statements of Assets and Liabilities | | | 1,366 | | | | 129 | |
| | | | | | | | |
| Derivatives not subject to a master netting agreement or similar agreement “(MNA”) | | | (597 | ) | | | (129 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to a MNA | | $ | 769 | | | | — | |
| | | | | | | | |
122 Payden Mutual Funds
The following tables present the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral received by the Fund as of April 30, 2018 (000s):
| | | | | | | | | | | | | | | | | | | | | | | | | |
Limited Maturity | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
Barclays Bank PLC | | | $ | 185 | | | | | — | | | | | — | | | | | — | | | | $ | 185 | |
HSBC Bank USA, N.A. | | | | 125 | | | | | — | | | | | — | | | | | — | | | | | 125 | |
Royal Bank of Canada | | | | 4 | | | | | — | | | | | — | | | | | — | | | | | 4 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 314 | | | | | — | | | | | — | | | | | — | | | | $ | 314 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Low Duration | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
HSBC Bank USA, N.A. | | | $ | 63 | | | | | — | | | | | — | | | | | — | | | | $ | 63 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
GNMA | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
Barclays Bank PLC | | | $ | 3 | | | | | — | | | | | — | | | | | — | | | | $ | 3 | |
BNP PARIBAS | | | | 1 | | | | | — | | | | | — | | | | | — | | | | | 1 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 4 | | | | | — | | | | | — | | | | | — | | | | $ | 4 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Core Bond | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Received | | Cash
Collateral
Received1
| | Net Amount of
Derivative
Assets1 |
BNP PARIBAS | | | $ | 123 | | | | $ | (123 | ) | | | | — | | | | | — | | | | | — | |
HSBC Bank USA, N.A. | | | | 257 | | | | | (257 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank & Trust Co. | | | | 58 | | | | | (58 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 438 | | | | $ | (438 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 123
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Liabilities
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount of
Derivative
Liabilities2 |
BNP PARIBAS | | | $ | 150 | | | | $ | (123 | ) | | | | — | | | | | — | | | | $ | 27 | |
Barclays Bank PLC | | | | 165 | | | | | — | | | | | — | | | | | — | | | | | 165 | |
HSBC Bank USA, N.A. | | | | 522 | | | | | (257 | ) | | | | — | | | | | — | | | | | 265 | |
State Street Bank & Trust Co. | | | | 676 | | | | | (58 | ) | | | | — | | | | | — | | | | | 618 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 1,513 | | | | $ | (315 | ) | | | | — | | | | | — | | | | $ | 1,075 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Strategic Income | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
BNP PARIBAS | | | $ | 28 | | | | $ | (28 | ) | | | | — | | | | | — | | | | | — | |
HSBC Bank USA, N.A. | | | | 64 | | | | | (64 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank & Trust Co. | | | | 16 | | | | | (16 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 108 | | | | $ | (108 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Liabilities
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount of
Derivative
Liabilities2 |
Barclays Bank PLC | | | $ | 42 | | | | | — | | | | | — | | | | | — | | | | $ | 42 | |
BNP PARIBAS | | | | 34 | | | | $ | (28 | ) | | | | — | | | | | — | | | | | 6 | |
HSBC Bank USA, N.A. | | | | 133 | | | | | (64 | ) | | | | — | | | | | — | | | | | 69 | |
State Street Bank & Trust Co. | | | | 159 | | | | | (16 | ) | | | | — | | | | | — | | | | | 143 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 368 | | | | $ | (108 | ) | | | | — | | | | | — | | | | $ | 260 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Absolute Return Bond | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
Barclays Bank PLC | | | $ | 197 | | | | $ | (85 | ) | | | | — | | | | | — | | | | $ | 112 | |
BNP PARIBAS | | | | 19 | | | | | (19 | ) | | | | — | | | | | — | | | | | — | |
HSBC Bank USA, N.A. | | | | 69 | | | | | (69 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank & Trust Co. | | | | 8 | | | | | (8 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 293 | | | | $ | (181 | ) | | | | — | | | | | — | | | | $ | 112 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Liabilities Subject
to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount of
Derivative
Liabilities2 |
Barclays Bank PLC | | | $ | 85 | | | | $ | (85 | ) | | | | — | | | | | — | | | | | — | |
BNP PARIBAS | | | | 23 | | | | | (19 | ) | | | | — | | | | | — | | | | $ | 4 | |
HSBC Bank USA, N.A. | | | | 76 | | | | | (69 | ) | | | | — | | | | | — | | | | | 7 | |
State Street Bank & Trust Co. | | | | 102 | | | | | (8 | ) | | | | — | | | | | — | | | | | 94 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 286 | | | | $ | (181 | ) | | | | — | | | | | — | | | | $ | 105 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
124 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | |
High Income | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
HSBC Bank USA, N.A. | | | $ | 100 | | | | $ | (100 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank & Trust Co. | | | | 28 | | | | | (28 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 128 | | | | $ | (128 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Liabilities
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount of
Derivative
Liabilities2 |
Barclays Bank PLC | | | $ | 78 | | | | | — | | | | | — | | | | | — | | | | $ | 78 | |
HSBC Bank USA, N.A. | | | | 212 | | | | $ | (100 | ) | | | | — | | | | | — | | | | | 112 | |
State Street Bank & Trust Co. | | | | 270 | | | | | (28 | ) | | | | — | | | | | — | | | | | 242 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 560 | | | | $ | (128 | ) | | | | — | | | | | — | | | | $ | 432 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Global Low Duration | | | | | | | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
BNP PARIBAS | | | $ | 15 | | | | $ | (15 | ) | | | | — | | | | | — | | | | | — | |
HSBC Bank USA, N.A. | | | | 32 | | | | | (32 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank & Trust Co. | | | | 6 | | | | | (6 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 53 | | | | $ | (53 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Liabilities
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount of
Derivative
Liabilities2 |
Barclays Bank PLC | | | $ | 17 | | | | | — | | | | | — | | | | | — | | | | $ | 17 | |
BNP PARIBAS | | | | 19 | | | | $ | (15 | ) | | | | — | | | | | — | | | | | 4 | |
HSBC Bank USA, N.A. | | | | 46 | | | | | (32 | ) | | | | — | | | | | — | | | | | 14 | |
State Street Bank & Trust Co. | | | | 59 | | | | | (6 | ) | | | | — | | | | | — | | | | | 53 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 141 | | | | $ | (53 | ) | | | | — | | | | | — | | | | $ | 88 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Global Fixed Income | | | | | | | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
Barclays Bank PLC | | | $ | 524 | | | | $ | (53 | ) | | | | — | | | | | — | | | | $ | 471 | |
BNP PARIBAS | | | | 47 | | | | | (24 | ) | | | | — | | | | | — | | | | | 23 | |
HSBC Bank USA, N.A. | | | | 290 | | | | | (167 | ) | | | | — | | | | | — | | | | | 123 | |
Royal Bank of Canada | | | | 8 | | | | | — | | | | | — | | | | | — | | | | | 8 | |
State Street Bank & Trust Co. | | | | 259 | | | | | (212 | ) | | | | — | | | | | — | | | | | 47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 1,128 | | | | $ | (456 | ) | | | | — | | | | | — | | | | $ | 672 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 125
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Liabilities
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount of
Derivative
Liabilities2 |
| | | | | |
Barclays Bank PLC | | | $ | 53 | | | | $ | (53 | ) | | | | — | | | | | — | | | | | — | |
BNP PARIBAS | | | | 24 | | | | | (24 | ) | | | | — | | | | | — | | | | | — | |
HSBC Bank USA, N.A. | | | | 167 | | | | | (167 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank & Trust Co. | | | | 212 | | | | | (212 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $ | 456 | | | | $ | (456 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Emerging Markets Bond | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
| | | | | |
Barclays Bank PLC | | | $ | 1,419 | | | | $ | (178 | ) | | | | — | | | | | — | | | | $ | 1,241 | |
HSBC Bank USA, N.A. | | | | 338 | | | | | (300 | ) | | | | — | | | | | — | | | | | 38 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $ | 1,757 | | | | $ | (300 | ) | | | | — | | | | | — | | | | | 1,457 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Liabilities
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount of
Derivative
Liabilities2 |
| | | | | |
Barclays Bank PLC | | | $ | 178 | | | | $ | (178 | ) | | | | — | | | | | — | | | | | — | |
BNP PARIBAS | | | | 35 | | | | | — | | | | | — | | | | | — | | | | $ | 35 | |
HSBC Bank USA, N.A. | | | | 300 | | | | | (300 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank & Trust Co. | | | | 6 | | | | | — | | | | | — | | | | | — | | | | | 6 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $ | 519 | | | | $ | (478 | ) | | | | — | | | | | — | | | | $ | 41 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Emerging Markets Local Bond | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
| | | | | |
Barclays Bank PLC | | | $ | 696 | | | | $ | (309 | ) | | | | — | | | | | — | | | | $ | 387 | |
HSBC Bank USA, N.A. | | | | 93 | | | | | (76 | ) | | | | — | | | | | — | | | | | 17 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $ | 789 | | | | $ | (385 | ) | | | | — | | | | | — | | | | $ | 404 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Liabilities
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount of
Derivative
Liabilities2 |
| | | | | |
Barclays Bank PLC | | | $ | 309 | | | | $ | (309 | ) | | | | — | | | | | — | | | | | — | |
BNP PARIBAS | | | | 333 | | | | | — | | | | | — | | | | | — | | | | $ | 333 | |
HSBC Bank USA, N.A. | | | | 76 | | | | | (76 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank & Trust Co. | | | | 64 | | | | | — | | | | | — | | | | | — | | | | | 64 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $ | 782 | | | | $ | (385 | ) | | | | — | | | | | — | | | | $ | 397 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
126 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
| | | | | |
Barclays Bank PLC | | | $ | 47 | | | | $ | (10 | ) | | | | — | | | | | — | | | | $ | 37 | |
HSBC Bank USA, N.A. | | | | 11 | | | | | (11 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | | 58 | | | | | (21 | ) | | | | — | | | | | — | | | | $ | 37 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative
Liabilities
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset3 | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount of
Derivative
Liabilities2 |
| | | | | |
Barclays Bank PLC | | | $ | 10 | | | | $ | (10 | ) | | | | — | | | | | — | | | | | — | |
HSBC Bank USA, N.A. | | | | 11 | | | | | (11 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $ | 21 | | | | $ | (21 | ) | | | | — | | | | | | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Equity Income | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Assets
Subject to MNA by
Counterparty | | Derivatives
Available
for Offset | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative
Assets1 |
| | | | | |
Barclays Bank PLC | | | $ | 642 | | | | | — | | | | | — | | | | | — | | | | $ | 642 | |
Royal Bank of Canada | | | | 127 | | | | | — | | | | | — | | | | | — | | | | | 127 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $ | 769 | | | | | — | | | | | — | | | | | — | | | | $ | 769 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Net amount represents the net amount receivable from the counterparty in the event of default. |
| 2 | Net amount represents the net amount payable from the counterparty in the event of default. |
| 3 | The amount of derivatives for offset is limited to the amount of assets and/or liabilities that are subject to a MNA. |
| 4 | Excess of collateral pledged from the individual counterparty may not be shown for financial reporting purposes. |
Credit Enhancements
Certain obligations held in the Funds have credit enhancement or liquidity features that may, under certain circumstances, provide for repayment of principal and interest on the obligation upon demand date, interest rate reset date or final maturity. These enhancements may include: letters of credit, liquidity guarantees, security purchase agreements, and third party insurance (e.g. AGM, AMBAC and BAM).
TBA Sale Commitments
Some Funds entered into TBA sale commitments, within dollar roll agreements, to hedge their portfolio position or to sell mortgage backed securities they own under delayed delivery arrangements. Proceeds from TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at approximately the current value of the underlying securities. The contract is
“marked-to-market” daily and the change in the value is recorded by the Fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the Fund realizes a gain or loss from the sale of the securities based upon the unit price established at the date the Fund entered the commitment.
Securities Lending
Pursuant to a securities lending agreement with The Bank of New York Mellon, the Funds (except Cash Reserves Money Market) may lend securities to qualified institutions. It is each Fund’s policy that at origination all loans are secured by collateral of at least 102% of the value of the U.S. securities loaned and 105% of the value of the foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. The collateral is maintained by the custodian. Cash collateral is reinvested in the Payden Cash Reserves Money Market Fund. The Funds are entitled to receive all of the income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, each Fund bears the risk of delay in receiving additional collateral or in
Semi-Annual Report 127
recovery of or loss of rights in the securities loaned should the borrower fail to return the securities in a timely manner. The Funds maintain the right to recall the securities on loan for voting purposes. The income earned by each Fund is disclosed in the Statements of Operations.
Securities lending transactions are entered into by a Fund under Master Securities Lending Agreements (“MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, a Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and a Fund can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral.
The Fund’s securities lending agreements by counterparty, which are subject to offset under a MSLA, if applicable, is included within each Fund’s Schedule of Investments under the heading “Offsetting Assets and Liabilities”. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to MSLA on the Statements of Assets and Liabilities.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. Dividends from net investment income and net realized gains on foreign currency transactions are declared and paid monthly for all Funds except the Cash Reserves Money Market, Limited Maturity, Short Bond, U.S. Government, GNMA and California Municipal Income Funds, which are declared daily and paid monthly and Equity Income Fund, which is declared and paid quarterly. Net realized gains on investments, if any, are declared and distributed at least annually. All distributions are paid in the form of additional shares unless cash payment is requested.
Distributions to shareholders are determined in accordance with income tax regulations, which may differ from GAAP.
Federal Income Taxes
It is the policy of each Fund to meet the requirements for qualification as a regulated investment company as defined in Subchapter M of the Internal Revenue Code (the “Code”), and to make distributions of net investment income and net realized gains sufficient to relieve it from all Federal income or excise taxes. As of and during the period ended April 30, 2018, the Funds did not record any liability for uncertain tax positions. Accordingly, no provision for Federal income or excise tax is necessary.
Each Fund files a tax return annually using tax accounting methods required under provisions of the Code, which may differ from GAAP, the basis on which these financial statements are prepared. The differences arise primarily from the treatment of foreign currency transactions and futures contracts and the deferral of certain losses under Federal income tax regulations. Accordingly, the amounts of net investment income and net realized gains or losses reported in these financial statements may differ from those reported in each Fund’s tax return. Return of capital distributions and net investment losses for tax purposes, if any, are reclassified to paid in capital.
As of and during the period ended April 30, 2018, the Funds did not have any liabilities for any unrecognized tax positions. The Funds recognize interest and penalties, if any, related to unrecognized tax positions as income tax expense in the Statements of Operations. During the period, the Funds did not incur any interest or penalties.
Each of the tax years in the four-year period ended October 31, 2017 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Affiliated Investments
Each of the Paydenfunds (except the Cash Reserves Money Market and California Municipal Income Funds) invests in other Funds of the Group (an “Affiliated Fund”). The income and both realized and the change in unrealized gains and losses earned by each Fund from the Affiliated Funds for the period is disclosed in the Statements of Operations. The table below details the transactions of each Fund in Affiliated Funds.
128 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fund | | Value
October 31, 2017 | | Purchases | | Sales | | Dividends | | Value
April 30, 2018 | | Realized
Gain
(Loss) | | Change in
Unrealized Appreciation
(Depreciation) |
| | | | | | | |
Investments in Cash Reserves Money Market Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Limited Maturity | | | $ | 9,022,262 | | | | $ | 885,871,831 | | | | $ | 893,626,262 | | | | $ | 36,405 | | | | $ | 1,267,831 | | | | | — | | | | | — | |
Low Duration | | | | 2,020,100 | | | | | 941,049,252 | | | | | 934,403,410 | | | | | 35,954 | | | | | 8,665,942 | | | | | — | | | | | — | |
U.S. Government | | | | 2,451,035 | | | | | 263,192,025 | | | | | 259,741,975 | | | | | 9,999 | | | | | 5,901,085 | | | | | — | | | | | — | |
GNMA | | | | 8,841,198 | | | | | 562,569,664 | | | | | 570,130,999 | | | | | 21,901 | | | | | 1,279,863 | | | | | — | | | | | — | |
Core Bond | | | | 7,782,184 | | | | | 1,367,245,337 | | | | | 1,371,602,610 | | | | | 52,103 | | | | | 3,424,911 | | | | | — | | | | | — | |
Corporate Bond | | | | 10,209,331 | | | | | 551,165,709 | | | | | 554,333,954 | | | | | 22,049 | | | | | 7,041,086 | | | | | — | | | | | — | |
Strategic Income | | | | 8,774,931 | | | | | 457,082,389 | | | | | 463,124,232 | | | | | 17,130 | | | | | 2,733,088 | | | | | — | | | | | — | |
Absolute Return Bond | | | | 2,254,466 | | | | | 230,402,251 | | | | | 231,641,048 | | | | | 9,001 | | | | | 1,015,669 | | | | | — | | | | | — | |
Floating Rate | | | | 19,857,225 | | | | | 1,838,369,030 | | | | | 1,848,935,895 | | | | | 71,106 | | | | | 9,290,360 | | | | | — | | | | | — | |
High Income | | | | 48,979,077 | | | | | 2,363,599,548 | | | | | 2,393,183,405 | | | | | 92,335 | | | | | 19,395,220 | | | | | — | | | | | — | |
Global Low Duration | | | | 750,279 | | | | | 134,805,805 | | | | | 134,501,292 | | | | | 5,254 | | | | | 1,054,792 | | | | | — | | | | | — | |
Global Fixed Income | | | | 1,242,285 | | | | | 259,560,269 | | | | | 259,687,385 | | | | | 10,729 | | | | | 1,115,169 | | | | | — | | | | | — | |
Emerging Markets Bond | | | | 62,076,124 | | | | | 3,208,738,384 | | | | | 3,209,865,562 | | | | | 138,714 | | | | | 60,948,946 | | | | | — | | | | | — | |
Emerging Markets Local Bond | | | | — | | | | | 509,392,964 | | | | | 507,709,103 | | | | | 73,161 | | | | | 1,683,861 | | | | | — | | | | | — | |
Emerging Markets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | | 4,038,964 | | | | | 201,016,297 | | | | | 201,102,588 | | | | | 8,205 | | | | | 3,952,673 | | | | | — | | | | | — | |
Equity Income | | | | 9,798,906 | | | | | 2,826,378,288 | | | | | 2,810,024,155 | | | | | 101,257 | | | | | 26,153,039 | | | | | — | | | | | — | |
| | | | | | | |
Investments in Floating Rate Fund — SI Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
High Income | | | $ | 5,964,250 | | | | | — | | | | $ | 5,952,334 | | | | $ | 17,458 | | | | | — | | | | $ | (47,666 | ) | | | | $ 35,750 | |
Global Fixed Income | | | | 2,773,897 | | | | $ | 2,280,000 | | | | | — | | | | | 65,337 | | | | $ | 5,043,799 | | | | | — | | | | | (10,098 | ) |
Investments in Emerging Markets Corporate Bond Fund — SI Class | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Bond | | | $ | 16,919,676 | | | | | — | | | | $ | 16,902,777 | | | | $ | 88,713 | | | | | — | | | | $ | 615,084 | | | | | $ (631,983 | ) |
High Income | | | | 8,387,342 | | | | | — | | | | | 8,395,454 | | | | | 90,930 | | | | | — | | | | | 283,904 | | | | | (275,792 | ) |
Emerging Markets Local Bond | | | | 4,949,853 | | | | | — | | | | | 4,954,640 | | | | | 53,663 | | | | | — | | | | | 54,640 | | | | | (49,853 | ) |
Custodian Credits
The Funds have entered into an agreement with the custodian, whereby they earn custodian fee credits for temporary cash balances. These credits, which offset custodian fees that may be charged to the Funds, are based on 75% of the daily effective federal funds rate and are disclosed, subject to rounding, in the Statements of Operations.
Line of Credit
The Paydenfunds (except Cash Reserves Money Market) have entered into a Credit Agreement with Bank of New York Mellon under which the bank has agreed to make loans to one or more of the Funds upon request by such Fund(s) and subject to the conditions of the Credit Agreement. The interest rate for any such loan will vary depending upon the type of borrowing chosen by the Fund. The aggregate of all such loans to the Funds may not exceed $75 million. No Fund took a loan during
Semi-Annual Report 129
the period, nor did any Fund have a loan outstanding at the end of the period.
Other
Income and realized and unrealized gain/loss are allocated to each class based on relative net assets. Shared expenses incurred by the Group are allocated among the Funds of the Group on the basis of relative net assets. Fund-specific expenses are charged to each Fund as incurred.
In March 2017, the FASB issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have
explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.
3. Related Party Transactions
Payden & Rygel (the “Adviser”) provides investment advisory services to the Funds. Under the terms of the investment advisory agreement, the Adviser is entitled to receive fees monthly, computed on the average daily net assets of each of the Funds separately at an annualized rate. The rates for each Fund are shown in the table below.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Adviser Fees | | | Investor Class | | SI Class | | | | | | | | | |
| | | | | | | | | | |
| | | Between | | | Between | | | Between | | | | | | | | | Current | | Current | | | | | | | | | |
| | | $0–500 | | | $0.5–1 | | | $1–2 | | | Over $2 | | | Expense | | | Voluntary | | Voluntary | | 3 Year Deferred Expense Subsidy | |
| | | Million | | | Billion | | | Billion | | | Billion | | | Guarantee | | | Expense Limit | | Expense Limit | | FY 2016 | | | FY 2017 | | | FY 2018 | |
| | | | | | | | | | |
Cash Reserves Money Market | | | 0.15% | | | | 0.15% | | | | 0.15% | | | | 0.15% | | | | 0.50% | | | 0.25% | | n/a | | $ | 548,191 | | | $ | 525,215 | | | $ | 245,078 | |
Limited Maturity | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | 0.25% | | n/a | | | 1,402,448 | | | | 1,754,647 | | | | 1,081,517 | |
Low Duration | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | 0.43% | | n/a | | | 920,321 | | | | 1,015,315 | | | | 536,625 | |
U.S. Government | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | 0.43% | | n/a | | | 181,602 | | | | 149,965 | | | | 105,214 | |
GNMA | | | 0.27% | | | | 0.27% | | | | 0.27% | | | | 0.27% | | | | 0.50% | | | n/a | | n/a | | | 539,825 | | | | 478,155 | | | | 228,013 | |
Core Bond | | | 0.28% | | | | 0.28% | | | | 0.25% | | | | 0.25% | | | | 0.60% | | | 0.53% | | 0.42% | | | — | | | | 14,626 | | | | 11,091 | |
Corporate Bond | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 1.00% | | | 0.65% | | n/a | | | 88,939 | | | | 80,978 | | | | 35,060 | |
Strategic Income | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | n/a | | | 0.70% | | 0.55% | | | 209,400 | | | | 216,150 | | | | 166,060 | |
Absolute Return Bond | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | n/a | | | 0.70% | | 0.55% | | | 210,322 | | | | 190,888 | | | | 119,049 | |
Floating Rate | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | 0.55% | | | | n/a | | | 0.75% | | 0.65% | | | 291,349 | | | | 283,851 | | | | 142,311 | |
High Income | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 0.35% | | | | 0.75% | | | n/a | | n/a | | | — | | | | — | | | | — | |
California Municipal Income | | | 0.32% | | | | 0.32% | | | | 0.25% | | | | 0.25% | | | | 0.80% | | | 0.53% | | n/a | | | 81,740 | | | | 88,888 | | | | 43,529 | |
Global Low Duration | | | 0.30% | | | | 0.30% | | | | 0.30% | | | | 0.25% | | | | 0.70% | | | 0.53% | | n/a | | | 148,823 | | | | 147,245 | | | | 75,456 | |
Global Fixed Income | | | 0.30% | | | | 0.30% | | | | 0.30% | | | | 0.25% | | | | 0.70% | | | n/a | | n/a | | | 143,423 | | | | 155,282 | | | | 67,289 | |
Emerging Markets Bond | | | 0.45% | | | | 0.45% | | | | 0.45% | | | | 0.45% | | | | 1.25% | | | n/a | | 0.69% | | | 345,690 | | | | 351,530 | | | | 151,548 | |
Emerging Markets Local Bond | | | 0.60% | | | | 0.60% | | | | 0.60% | | | | 0.60% | | | | 1.50% | | | 0.99% | | n/a | | | — | | | | 167,908 | | | | — | |
Emerging Markets Corporate Bond | | | 0.80% | | | | 0.80% | | | | 0.80% | | | | 0.80% | | | | n/a | | | 0.95% | | 0.85% | | | 189,600 | | | | 184,804 | | | | 87,870 | |
Equity Income | | | 0.50% | | | | 0.50% | | | | 0.50% | | | | 0.30% | | | | 0.80% | | | n/a | | 0.65% | | | 355,073 | | | | 222,256 | | | | 242,344 | |
The Adviser agreed to guarantee that, for so long as it acts as investment adviser to the Funds, the expenses of the Funds, including advisory fees (exclusive of interest, 12b-1 fees, and taxes) will not exceed the percentages indicated above (“Expense Guarantee”) of that Fund’s average daily net assets on an annualized basis. The adviser also voluntarily agreed to temporarily limit certain Funds’ total expenses (“Voluntary Expense Limit”), including advisory fees, to the percentages
indicated above of that Fund’s average daily net assets on an annualized basis through February 28, 2019 (exclusive of interest and taxes).
Each Fund remains liable to the Adviser for expenses subsidized in any fiscal year up to a maximum of three years from the end of the period in which the expenses were subsidized as long as any reimbursement will not cause the annual expense ratio for the year in which it is made to exceed the amount of the
130 Payden Mutual Funds
expense guarantee or voluntary expense limit (whichever is in effect at the time of waiver or reimbursement).
The deferred expense subsidies represent the cumulative amount of expenses subsidized for the Funds through the end of the period. Such amount is not considered a liability of each respective Fund, and, therefore, is not recorded as liabilities in the Statements of Assets and Liabilities, but will be recognized as net expense in the Statements of Operations as expense previously deferred in future periods, if expense limits permit.
Treasury Plus, Inc., a wholly owned subsidiary of Payden & Rygel, serves as administrator to the Funds. Under the terms of the administration agreement, Treasury Plus, Inc. receives fees monthly, computed on the average daily net assets of the Funds at an annualized rate of 0.15%.
Under a distribution agreement with the Funds, the Core Bond, Emerging Markets Bond and Equity Income Funds adopted a plan pursuant to SEC rule 12b-1 by which Payden & Rygel Distributors receives fee monthly, computed on the average net assets of the Adviser class at an annualized rate of 0.25%. Payden & Rygel Distributors is not entitled to receive any fees from the Investor, or SI classes of the Funds.
Certain officers and/or trustees of the Funds are affiliated with Payden & Rygel, Payden & Rygel Distributors and/or Treasury Plus, Inc. Such officers and trustees receive no fees from the Funds for serving as officers and/or trustees of the Funds.
The Funds may purchase securities from or sell securities to an affiliated fund or portfolio provided that the affiliation is due solely to having a common investment advisor, common officers or common trustees.
Indemnifications
Under the Group’s organizational documents, its trustees and officers are indemnified by the Funds against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. A Fund’s maximum exposure under these agreements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Currently the Funds expect this risk of loss to be remote.
4. Fair Value Measurement
Various inputs are used in determining the value of each Fund’s investments and other financial instruments. The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. These inputs are summarized in the three broad levels: Level 1 — quoted prices in active markets for identical investments, Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.), and Level 3 — significant unobservable inputs (including fund’s own assumptions in determining the fair value of investments). See Note 2 —Securities Valuation for a summary of the inputs used in valuing the Funds’ investments and other financial instruments.
Semi-Annual Report 131
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investments in Securities | |
| | | Level 1-Quoted Prices | | | Level 2-Other
Significant
Observable Inputs | | | Level 3-Significant
Unobservable Inputs | | | | |
| | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Total
(000’s) | |
Cash Reserves Money Market | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mortgage Backed | | | — | | | | — | | | $ | 11,230 | | | | — | | | | — | | | | — | | | $ | 11,230 | |
Repurchase Agreement | | | — | | | | — | | | | 105,000 | | | | — | | | | — | | | | — | | | | 105,000 | |
U.S. Government | | | — | | | | — | | | | 99,392 | | | | — | | | | — | | | | — | | | | 99,392 | |
U.S. Treasury | | | — | | | | — | | | | 94,775 | | | | — | | | | — | | | | — | | | | 94,775 | |
Investment Company | | | $4,249 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 4,249 | |
| | | | | | | |
Limited Maturity | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 99,752 | | | | — | | | | — | | | | — | | | | 99,752 | |
Bank Loans | | | — | | | | — | | | | 743 | | | | — | | | | — | | | | — | | | | 743 | |
Commercial Paper | | | — | | | | — | | | | 44,254 | | | | — | | | | — | | | | — | | | | 44,254 | |
Corporate Bond | | | — | | | | — | | | | 441,068 | | | | — | | | | — | | | | — | | | | 441,068 | |
Foreign Government | | | — | | | | — | | | | 29,312 | | | | — | | | | — | | | | — | | | | 29,312 | |
Morgage Backed | | | — | | | | — | | | | 64,089 | | | | — | | | | — | | | | — | | | | 64,089 | |
U.S. Government | | | — | | | | — | | | | 117,717 | | | | — | | | | — | | | | — | | | | 117,717 | |
Investment Company | | | 1,268 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,268 | |
| | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 105,692 | | | | — | | | | — | | | | — | | | | 105,692 | |
Bank Loans | | | — | | | | — | | | | 1,653 | | | | — | | | | — | | | | — | | | | 1,653 | |
Corporate Bond | | | — | | | | — | | | | 565,489 | | | | — | | | | — | | | | — | | | | 565,489 | |
Foreign Government | | | | | | | — | | | | 27,396 | | | | — | | | | — | | | | — | | | | 27,396 | |
Morgage Backed | | | — | | | | — | | | | 85,924 | | | | — | | | | — | | | | — | | | | 85,924 | |
U.S. Government | | | — | | | | — | | | | 306,915 | | | | — | | | | — | | | | — | | | | 306,915 | |
Investment Company | | | 8,666 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 8,666 | |
| | | | | | | |
U.S. Government | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mortgage Backed | | | — | | | | — | | | | 44,634 | | | | — | | | | — | | | | — | | | | 44,634 | |
U.S. Government | | | — | | | | — | | | | 4,190 | | | | — | | | | — | | | | — | | | | 4,190 | |
Investment Company | | | 5,901 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,901 | |
| | | | | | | |
GNMA | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Mortgage Backed | | | — | | | | — | | | | 276,483 | | | | — | | | | — | | | | — | | | | 276,483 | |
Swaptions Purchased | | | — | | | | — | | | | 8 | | | | — | | | | — | | | | — | | | | 8 | |
U.S. Government | | | — | | | | — | | | | 1,027 | | | | — | | | | — | | | | — | | | | 1,027 | |
Investment Company | | | 1,280 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,280 | |
132 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investments in Securities | |
| | | | | | |
| | | | | | | | | Level 2-Other | | | | | | | | | | |
| | | | | | | | | Significant | | | Level 3-Significant | | | | |
| | | Level 1-Quoted Prices | | | Observable Inputs | | | Unobservable Inputs | | | | |
| | | | | | | |
| | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Total | |
| | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | |
Core Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | $ | 59,079 | | | | — | | | | — | | | | — | | | $ | 59,079 | |
Bank Loans | | | — | | | | — | | | | 31,426 | | | | — | | | | — | | | | — | | | | 31,426 | |
Corporate Bond | | | — | | | | — | | | | 305,627 | | | | — | | | | — | | | | — | | | | 305,627 | |
Foreign Government | | | — | | | | — | | | | 57,931 | | | | — | | | | — | | | | — | | | | 57,931 | |
Morgage Backed | | | — | | | | — | | | | 244,872 | | | | — | | | | — | | | | — | | | | 244,872 | |
Municipal | | | — | | | | — | | | | 13,734 | | | | — | | | | — | | | | — | | | | 13,734 | |
Preferred Stock | | $ | 999 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 999 | |
Swaptions Purchased | | | — | | | | — | | | | 123 | | | | — | | | | — | | | | — | | | | 123 | |
U.S. Government | | | — | | | | — | | | | 176,096 | | | | — | | | | — | | | | — | | | | 176,096 | |
Investment Company | | | 3,425 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,425 | |
| | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 1,848 | | | | — | | | | — | | | | — | | | | 1,848 | |
Corporate Bond | | | — | | | | — | | | | 191,059 | | | | — | | | | — | | | | — | | | | 191,059 | |
Foreign Government | | | — | | | | — | | | | 2,019 | | | | — | | | | — | | | | — | | | | 2,019 | |
Municipal Bond | | | — | | | | — | | | | 3,089 | | | | — | | | | — | | | | — | | | | 3,089 | |
Investment Company | | | 7,041 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 7,041 | |
| | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 17,272 | | | | — | | | | — | | | | — | | | | 17,272 | |
Bank Loans | | | — | | | | — | | | | 17,350 | | | | — | | | | — | | | | — | | | | 17,350 | |
Corporate Bond | | | — | | | | — | | | | 72,632 | | | | — | | | | — | | | | — | | | | 72,632 | |
Foreign Government | | | — | | | | — | | | | 20,337 | | | | — | | | | — | | | | — | | | | 20,337 | |
Mortgage Backed | | | — | | | | — | | | | 25,969 | | | | — | | | | — | | | | — | | | | 25,969 | |
Municipal | | | — | | | | — | | | | 4,159 | | | | — | | | | — | | | | — | | | | 4,159 | |
Swaptions Purchased | | | — | | | | — | | | | 28 | | | | — | | | | — | | | | — | | | | 28 | |
U.S. Government | | | — | | | | — | | | | 10,489 | | | | — | | | | — | | | | — | | | | 10,489 | |
Master Limited Partnership | | | 2,309 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,309 | |
Preferred Stock | | | 1,322 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,322 | |
Real Estate Investment Trust | | | 1,833 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,833 | |
Investment Company | | | 2,733 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2,733 | |
Semi-Annual Report 133
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investments in Securities | |
| | | | | | |
| | | | | | | | | Level 2-Other | | | | | | | | | | |
| | | | | | | | | Significant | | | Level 3-Significant | | | | |
| | | Level 1-Quoted Prices | | | Observable Inputs | | | Unobservable Inputs | | | | |
| | | | | | | |
| | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Total | |
| | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | |
Absolute Return Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | $ | 32,211 | | | | — | | | | — | | | | — | | | $ | 32,211 | |
Bank Loans | | | — | | | | — | | | | 6,205 | | | | — | | | | — | | | | — | | | | 6,205 | |
Corporate Bond | | | — | | | | — | | | | 27,550 | | | | — | | | | — | | | | — | | | | 27,550 | |
Exchange Traded Fund | | $ | 2,477 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2477 | |
Foreign Government | | | — | | | | — | | | | 16,187 | | | | — | | | | — | | | | — | | | | 16,187 | |
Mortgage Backed | | | — | | | | — | | | | 38,358 | | | | — | | | | — | | | | — | | | | 38,358 | |
Municipal | | | — | | | | — | | | | 262 | | | | — | | | | — | | | | — | | | | 262 | |
Options Purchased | | | 14 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 14 | |
Swaptions Purchased | | | — | | | | — | | | | 19 | | | | — | | | | — | | | | — | | | | 19 | |
U.S. Government | | | — | | | | — | | | | 1,589 | | | | — | | | | — | | | | — | | | | 1,589 | |
Investment Company | | | 1,016 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,016 | |
| | | | | | | |
Floating Rate | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 1,500 | | | | — | | | | — | | | | — | | | | 1,500 | |
Bank Loans | | | — | | | | — | | | | 118,497 | | | | — | | | | — | | | | — | | | | 118,497 | |
Corporate Bond | | | — | | | | — | | | | 20,783 | | | | — | | | | — | | | | — | | | | 20,783 | |
Mortgage Backed | | | — | | | | — | | | | 5,981 | | | | — | | | | — | | | | — | | | | 5,981 | |
Preferred Stock | | | 500 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 500 | |
Investment Company | | | 9,290 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 9,290 | |
Unfunded floating rate loan interests1 | | | — | | | | — | | | | — | | | | (3 | ) | | | — | | | | — | | | | (3 | ) |
| | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | — | | | | 13,805 | | | | — | | | | — | | | | — | | | | 13,805 | |
Corporate Bonds | | | — | | | | — | | | | 417,787 | | | | — | | | | — | | | | — | | | | 417,787 | |
Mortgage Backed | | | — | | | | — | | | | 15,058 | | | | — | | | | — | | | | — | | | | 15,058 | |
Stocks | | | 6,447 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 6,447 | |
Investment Company | | | 19,395 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 19,395 | |
Unfunded floating rate loan interests1 | | | — | | | | — | | | | — | | | | (4 | ) | | | — | | | | — | | | | (4 | ) |
| | | | | | | |
California Municipal Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Municipal | | | — | | | | — | | | | 53,818 | | | | — | | | | — | | | | — | | | | 53,818 | |
| | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | | 6,563 | | | | — | | | | — | | | | — | | | | 6,563 | |
Bank Loans | | | — | | | | — | | | | 207 | | | | — | | | | — | | | | — | | | | 207 | |
Corporate Bond | | | — | | | | — | | | | 71,227 | | | | — | | | | — | | | | — | | | | 71,227 | |
Foreign Government | | | — | | | | — | | | | 5,336 | | | | — | | | | — | | | | — | | | | 5,336 | |
Mortgage Backed | | | — | | | | — | | | | 8,017 | | | | — | | | | — | | | | — | | | | 8,017 | |
Swaptions Purchased | | | — | | | | — | | | | 15 | | | | — | | | | — | | | | — | | | | 15 | |
U.S. Government | | | — | | | | — | | | | 8,621 | | | | — | | | | — | | | | — | | | | 8,621 | |
Investment Company | | | 1,055 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,055 | |
134 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investments in Securities | |
| | | | |
| | | Level 1-Quoted Prices | | | Level 2-Other
Significant
Observable Inputs | | | Level 3-Significant
Unobservable Inputs | | | | |
| | | | | | | |
| | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Total
(000’s) | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset Backed | | | — | | | | — | | | $ | 3,679 | | | | — | | | | — | | | | — | | | $ | 3,679 | |
Corporate Bond | | | — | | | | — | | | | 44,469 | | | | — | | | | — | | | | — | | | | 44,469 | |
Foreign Government | | | — | | | | — | | | | 53,997 | | | | — | | | | — | | | | — | | | | 53,997 | |
Mortgage Backed | | | — | | | | — | | | | 13,565 | | | | — | | | | — | | | | — | | | | 13,565 | |
Preferred Stock | | $ | 154 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 154 | |
Swaptions Purchased | | | — | | | | — | | | | 19 | | | | — | | | | — | | | | — | | | | 19 | |
U.S. Government | | | — | | | | — | | | | 12,408 | | | | — | | | | — | | | | — | | | | 12,408 | |
Investment Company | | | 1,115 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,115 | |
Investments Valued at NAV2 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 5,044 | |
| | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | — | | | | 3,086 | | | | — | | | | — | | | | — | | | | 3,086 | |
Corporate Bond | | | — | | | | — | | | | 405,677 | | | | — | | | | — | | | | — | | | | 405,677 | |
Foreign Government | | | — | | | | — | | | | 945,485 | | | | — | | | | — | | | | — | | | | 945,485 | |
Investment Company | | | 60,949 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 60,949 | |
| | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond | | | — | | | | — | | | | 40,376 | | | | — | | | | — | | | | — | | | | 40,376 | |
Foreign Government | | | — | | | | — | | | | 162,996 | | | | — | | | | — | | | | — | | | | 162,996 | |
Municipal | | | — | | | | — | | | | 3,365 | | | | — | | | | — | | | | — | | | | 3,365 | |
Investment Company | | | 1,684 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,684 | |
| | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | — | | | | 1,052 | | | | — | | | | — | | | | — | | | | 1,052 | |
Corporate Bond | | | — | | | | — | | | | 37,389 | | | | — | | | | — | | | | — | | | | 37,389 | |
Foreign Government | | | — | | | | — | | | | 2,858 | | | | — | | | | — | | | | — | | | | 2,858 | |
Mortgage Backed | | | — | | | | — | | | | 360 | | | | — | | | | — | | | | — | | | | 360 | |
Investment Company | | | 3,953 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,953 | |
| | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stock | | | 943,246 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 943,246 | |
Corporate Bond | | | — | | | | — | | | | 27,761 | | | | — | | | | — | | | | — | | | | 27,761 | |
Master Limited Partnership | | | 97,974 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 97,974 | |
Preferred Stock | | | 18,758 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 18,758 | |
Real Estate Investment Trust | | | 54,851 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 54,851 | |
Investment Company | | | 26,153 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 26,153 | |
| 1 | Unfunded floating rate loan interests are valued at the unrealized appreciation/depreciation on the commitment. |
| 2 | As of April 30, 2018, certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
Semi-Annual Report 135
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Other Financial Instruments 1 | |
| | | Level 1-Quoted Prices | | | Level 2-Other Significant
Observable Inputs | | | Level 3-Significant
Unobservable Inputs | | | | |
| | | Assets (000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Total
(000’s) | |
Limited Maturity | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | $326 | | | | — | | | | — | | | | — | | | | $326 | |
| | | | | | | |
Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 81 | | | | — | | | | — | | | | — | | | | 81 | |
Futures | | | $102 | | | | $(326 | ) | | | — | | | | — | | | | — | | | | — | | | | (224 | ) |
| | | | | | | |
GNMA | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | 315 | | | | (245 | ) | | | — | | | | — | | | | — | | | | — | | | | 70 | |
| | | | | | | |
Core Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 956 | | | | (1,602 | ) | | | — | | | | — | | | | (646 | ) |
Futures | | | 196 | | | | (657 | ) | | | — | | | | — | | | | — | | | | — | | | | (461 | ) |
Swaptions Written | | | — | | | | — | | | | — | | | | (150 | ) | | | — | | | | — | | | | (150 | ) |
| | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | 12 | | | | (72 | ) | | | — | | | | — | | | | — | | | | — | | | | (60 | ) |
| | | | | | | |
Strategic Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 239 | | | | (387 | ) | | | — | | | | — | | | | (148 | ) |
Futures | | | 10 | | | | (188 | ) | | | — | | | | — | | | | — | | | | — | | | | (178 | ) |
Swaptions Written | | | — | | | | — | | | | — | | | | (34 | ) | | | — | | | | — | | | | (34 | ) |
| | | | | | | |
Absolute Return | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 395 | | | | (305 | ) | | | — | | | | — | | | | 90 | |
Futures | | | 9 | | | | (31 | ) | | | — | | | | — | | | | — | | | | — | | | | (22 | ) |
Swaps | | | — | | | | — | | | | 31 | | | | — | | | | — | | | | — | | | | 31 | |
Swaptions Written | | | — | | | | — | | | | — | | | | (23 | ) | | | — | | | | — | | | | (23 | ) |
| | | | | | | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 242 | | | | (651 | ) | | | — | | | | — | | | | (409 | ) |
| | | | | | | |
Global Low Duration | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 68 | | | | (142 | ) | | | — | | | | — | | | | (74 | ) |
Futures | | | 181 | | | | (171 | ) | | | — | | | | — | | | | — | | | | — | | | | 10 | |
Swaptions Written | | | — | | | | — | | | | — | | | | (19 | ) | | | — | | | | — | | | | (19 | ) |
136 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Other Financial Instruments 1 | |
| | | | |
| | | Level 1-Quoted Prices | | | Level 2-Other
Significant
Observable Inputs | | | Level 3-Significant
Unobservable Inputs | | | | |
| | | | | | | |
| | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Total
(000’s) | |
Global Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | $1,559 | | | | $(507 | ) | | | — | | | | — | | | | $1,052 | |
Futures | | | $84 | | | | $(179 | ) | | | — | | | | — | | | | — | | | | — | | | | (95 | ) |
Swaptions Written | | | — | | | | — | | | | — | | | | (24 | ) | | | — | | | | — | | | | (24 | ) |
| | | | | | | |
Emerging Markets Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 1,757 | | | | (519 | ) | | | — | | | | — | | | | 1,238 | |
| | | | | | | |
Emerging Markets Local Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 789 | | | | (782 | ) | | | — | | | | — | | | | 7 | |
| | | | | | | |
Emerging Markets Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 58 | | | | (21 | ) | | | — | | | | — | | | | 37 | |
Futures | | | 1 | | | | (5 | ) | | | — | | | | — | | | | — | | | | — | | | | (4 | ) |
| | | | | | | |
Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward currency contracts | | | — | | | | — | | | | 1,366 | | | | (129 | ) | | | — | | | | — | | | | 1,237 | |
| 1 | Other financial instruments are swaps, futures contracts, forward currency contracts and options written. Swaps, futures contracts, forward currency contracts are valued at the unrealized appreciation/depreciation on the instrument and options written are valued at value. |
5. Federal Tax Information (amounts in 000s)
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment”), for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short or long term capital losses rather than being considered all short term.
Semi-Annual Report 137
At October 31, 2017, the following Funds had available for Federal income tax purposes unused capital losses as follows (000’s):
| | | | | | | | | | | | | | | | | | |
| | | | | Expires
2018 | | | Expires
2019 | | | Unlimited* | | | Total | |
| | Limited Maturity | | | $287 | | | | $527 | | | | $ 147 | | | | $ 961 | |
| | Low Duration | | | — | | | | — | | | | 3,116 | | | | 3,116 | |
| | U.S. Government | | | — | | | | — | | | | 4,623 | | | | 4,623 | |
| | GNMA | | | — | | | | — | | | | 34,282 | | | | 34,282 | |
| | Core Bond | | | — | | | | — | | | | 6,144 | | | | 6,144 | |
| | Strategic Income Fund | | | — | | | | — | | | | 305 | | | | 305 | |
| | Absolute Return Bond | | | — | | | | — | | | | 882 | | | | 882 | |
| | Floating Rate | | | — | | | | — | | | | 2,243 | | | | 2,243 | |
| | High Income | | | — | | | | — | | | | 23,913 | | | | 23,913 | |
| | Global Low Duration | | | 914 | | | | — | | | | 56 | | | | 970 | |
| | Global Fixed Income | | | — | | | | — | | | | 294 | | | | 294 | |
| | Emerging Markets Bond | | | — | | | | — | | | | 14,494 | | | | 14,494 | |
| | Emerging Markets Local Bond | | | — | | | | — | | | | 18,969 | | | | 18,969 | |
* Post-enactment carryforward losses.
At April 30, 2018, net unrealized appreciation (depreciation) on investments for Federal income tax purposes is as follows (000’s):
| | | | | | | | | | | | | | | | |
| | | Cost of Investments
Federal Income Tax
Purposes | | | Gross
Unrealized
Appreciation
on Investments | | | Gross
Unrealized
Depreciation
on Investments | | | Net
Unrealized
Appreciation
(Depreciation)
on Investments | |
Cash Reserves Money Market | | | $ 314,646 | | | | — | | | | — | | | | — | |
Limited Maturity | | | 798,102 | | | | $ 2,241 | | | | $ (2,140) | | | | $ 101 | |
Low Duration | | | 1,108,835 | | | | 2,973 | | | | (10,073) | | | | (7,100) | |
U.S. Government | | | 56,038 | | | | 60 | | | | (1,373) | | | | (1,313) | |
GNMA | | | 283,580 | | | | 1,613 | | | | (6,395) | | | | (4,782) | |
Core Bond | | | 903,521 | | | | 9,054 | | | | (19,263) | | | | (10,209) | |
Corporate Bond | | | 207,961 | | | | 1,794 | | | | (4,932) | | | | (3,138) | |
Strategic Income | | | 176,372 | | | | 2,886 | | | | (2,825) | | | | 61 | |
Absolute Return | | | 125,250 | | | | 1,570 | | | | (932) | | | | 638 | |
Floating Rate | | | 154,799 | | | | 2,075 | | | | (323) | | | | 1,752 | |
High Income | | | 472,582 | | | | 9,882 | | | | (9,972) | | | | (90) | |
California Municipal Income | | | 53,676 | | | | 684 | | | | (542) | | | | 142 | |
Global Low Duration | | | 101,813 | | | | 392 | | | | (1,164) | | | | (772) | �� |
Global Fixed Income | | | 133,164 | | | | 3,280 | | | | (1,994) | | | | 1,286 | |
Emerging Markets Bond | | | 1,442,577 | | | | 19,234 | | | | (46,614) | | | | (27,380) | |
Emerging Markets Local Bond | | | 218,799 | | | | 4,571 | | | | (14,949) | | | | (10,378) | |
Emerging Markets Corporate Bond | | | 45,657 | | | | 642 | | | | (687) | | | | (45) | |
Equity Income | | | 1,015,542 | | | | 172,296 | | | | (19,094) | | | | 153,202 | |
6. Subsequent Events
The Funds have evaluated subsequent events through the issuance of the financial statements and have determined that no other events have occurred that require disclosure.
138 Payden Mutual Funds
For the share outstanding for the periods ended April 30, 2018 (Unaudited) and October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Cash Reserves Money Market Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.01 | | | | 0.01 | | | | 0.00 | (1) | | | 0.00 | (1) | | | 0.00 | (1) |
Net realized and unrealized gains (losses) | | | 0.00 | | | | 0.00 | | | | 0.00 | (1) | | | 0.00 | (1) | | | 0.00 | (1) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.01 | | | | 0.01 | | | | 0.00 | | | | 0.00 | | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.01 | ) | | | (0.01 | ) | | | 0.00 | (1) | | | 0.00 | (1) | | | 0.00 | (1) |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | 0.00 | (1) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.01 | ) | | | (0.01 | ) | | | 0.00 | | | | 0.00 | | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.56 | %(2) | | | 0.53 | % | | | 0.09 | % | | | 0.01 | % | | | 0.01 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 311,549 | | | $ | 447,563 | | | $ | 551,064 | | | $ | 392,391 | | | $ | 490,666 | |
Ratio of gross expense to average net assets | | | 0.38 | %(3) | | | 0.38 | % | | | 0.37 | % | | | 0.39 | % | | | 0.37 | % |
Ratio of net expense to average net assets | | | 0.25 | %(3) | | | 0.25 | % | | | 0.24 | % | | | 0.09 | % | | | 0.08 | % |
Ratio of investment income less gross expenses to average net assets | | | 0.97 | %(3) | | | 0.40 | % | | | (0.04 | )% | | | (0.29 | )% | | | (0.28 | )% |
Ratio of net investment income to average net assets | | | 1.10 | %(3) | | | 0.52 | % | | | 0.10 | % | | | 0.01 | % | | | 0.01 | % |
Portfolio turnover rate | | | n/a | | | | n/a | | | | n/a | | | | n/a | | | | n/a | |
The Fund commenced operations on December 17, 1997. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Limited Maturity Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 9.48 | | | $ | 9.46 | | | $ | 9.42 | | | $ | 9.47 | | | $ | 9.47 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.09 | | | | 0.12 | | | | 0.08 | | | | 0.06 | | | | 0.07 | |
Net realized and unrealized gains (losses) | | | (0.01 | ) | | | 0.02 | | | | 0.04 | | | | (0.04 | ) | | | (0.00 | )(1) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.08 | | | | 0.14 | | | | 0.12 | | | | 0.02 | | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.09 | ) | | | (0.08 | ) | | | (0.07 | ) | | | (0.04 | ) | | | (0.07 | ) |
Return of capital | | | — | | | | (0.04 | ) | | | (0.01 | ) | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.09 | ) | | | (0.12 | ) | | | (0.08 | ) | | | (0.07 | ) | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.47 | | | $ | 9.48 | | | $ | 9.46 | | | $ | 9.42 | | | $ | 9.47 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.82 | %(2) | | | 1.52 | % | | | 1.31 | % | | | 0.20 | % | | | 0.78 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 797,169 | | | $ | 707,930 | | | $ | 463,149 | | | $ | 422,996 | | | $ | 318,671 | |
Ratio of gross expense to average net assets | | | 0.53 | %(3) | | | 0.56 | % | | | 0.57 | % | | | 0.57 | % | | | 0.57 | % |
Ratio of net expense to average net assets | | | 0.25 | %(3) | | | 0.25 | % | | | 0.26 | % | | | 0.31 | % | | | 0.35 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.60 | %(3) | | | 1.06 | % | | | 0.57 | % | | | 0.31 | % | | | 0.59 | % |
Ratio of net investment income to average net assets | | | 1.88 | %(3) | | | 1.37 | % | | | 0.88 | % | | | 0.57 | % | | | 0.81 | % |
Portfolio turnover rate | | | 29 | %(2) | | | 51 | % | | | 39 | % | | | 39 | % | | | 59 | % |
The Fund commenced operations on April 29, 1994.
(1) Amount is less than $0.005.
(2) Not annualized.
(3) Annualized.
Semi-Annual Report 139
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Low Duration Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.09 | | | $ | 10.10 | | | $ | 10.05 | | | $ | 10.15 | | | $ | 10.15 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.10 | | | | 0.16 | | | | 0.12 | | | | 0.11 | | | | 0.12 | |
Net realized and unrealized gains (losses) | | | (0.12 | ) | | | (0.02 | ) | | | 0.05 | | | | (0.06 | ) | | | (0.00 | )(1) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.02 | ) | | | 0.14 | | | | 0.17 | | | | 0.05 | | | | 0.12 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.10 | ) | | | (0.12 | ) | | | (0.11 | ) | | | (0.11 | ) | | | (0.12 | ) |
From net realized gains | | | — | | | | — | | | | — | | | | (0.04 | ) | | | — | |
Return of capital | | | — | | | | (0.03 | ) | | | (0.01 | ) | | | (0.00 | )(1) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.10 | ) | | | (0.15 | ) | | | (0.12 | ) | | | (0.15 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.97 | | | $ | 10.09 | | | $ | 10.10 | | | $ | 10.05 | | | $ | 10.15 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.20 | )%(2) | | | 1.37 | % | | | 1.74 | % | | | 0.50 | % | | | 1.14 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 1,096,733 | | | $ | 1,061,436 | | | $ | 800,892 | | | $ | 820,662 | | | $ | 833,205 | |
Ratio of gross expense to average net assets | | | 0.53 | %(3) | | | 0.54 | % | | | 0.57 | % | | | 0.57 | % | | | 0.55 | % |
Ratio of net expense to average net assets | | | 0.43 | %(3) | | | 0.44 | % | | | 0.45 | % | | | 0.47 | % | | | 0.48 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.91 | %(3) | | | 1.44 | % | | | 1.13 | % | | | 1.02 | % | | | 1.06 | % |
Ratio of net investment income to average net assets | | | 2.00 | %(3) | | | 1.55 | % | | | 1.24 | % | | | 1.12 | % | | | 1.13 | % |
Portfolio turnover rate | | | 44 | %(2) | | | 118 | % | | | 41 | % | | | 31 | % | | | 45 | % |
The Fund commenced operations on December 31, 1993. | | | | | | | | | | | | | | | | | |
(1) Amount is less than $0.005. (2) Not annualized. (3) Annualized. | | | | | | | | | | | | | | | | | | | | |
| | | Payden U.S. Government Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.42 | | | $ | 10.61 | | | $ | 10.63 | | | $ | 10.68 | | | $ | 10.67 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.08 | (1) | | | 0.11 | (1) | | | 0.10 | (1) | | | 0.09 | (1) | | | 0.08 | (1) |
Net realized and unrealized gains (losses) | | | (0.20 | ) | | | (0.13 | ) | | | 0.05 | | | | 0.02 | | | | 0.08 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.12 | ) | | | (0.02 | ) | | | 0.15 | | | | 0.11 | | | | 0.16 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.11 | ) | | | (0.17 | ) | | | (0.17 | ) | | | (0.16 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.11 | ) | | | (0.17 | ) | | | (0.17 | ) | | | (0.16 | ) | | | (0.15 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.19 | | | $ | 10.42 | | | $ | 10.61 | | | $ | 10.63 | | | $ | 10.68 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.16 | )%(3) | | | (0.16 | )% | | | 1.46 | % | | | 1.01 | % | | | 1.52 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 77,437 | | | $ | 135,454 | | | $ | 137,581 | | | $ | 133,420 | | | $ | 130,508 | |
Ratio of gross expense to average net assets | | | 0.60 | %(4) | | | 0.56 | % | | | 0.58 | % | | | 0.59 | % | | | 0.59 | % |
Ratio of net expense to average net assets | | | 0.40 | %(4) | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % | | | 0.45 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.30 | %(4) | | | 0.89 | % | | | 0.81 | % | | | 0.69 | % | | | 0.60 | % |
Ratio of net investment income to average net assets | | | 1.50 | %(4) | | | 1.00 | % | | | 0.94 | % | | | 0.82 | % | | | 0.74 | % |
Portfolio turnover rate | | | 3 | %(3) | | | 27 | % | | | 35 | % | | | 32 | % | | | 27 | % |
The Fund commenced operations on January 3, 1995.
(1) Based on average shares outstanding.
(2) Amount is less than $0.005.
(3) Not annualized.
(4) Annualized.
140 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden GNMA Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 9.49 | | | $ | 9.80 | | | $ | 9.79 | | | $ | 9.95 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.08 | | | | 0.14 | | | | 0.15 | | | | 0.14 | | | | 0.15 | |
Net realized and unrealized gains (losses) | | | (0.29 | ) | | | (0.15 | ) | | | 0.17 | | | | 0.06 | | | | 0.22 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.21 | ) | | | (0.01 | ) | | | 0.32 | | | | 0.20 | | | | 0.37 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.30 | ) | | | (0.31 | ) | | | (0.36 | ) | | | (0.42 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.30 | ) | | | (0.31 | ) | | | (0.36 | ) | | | (0.42 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.13 | | | $ | 9.49 | | | $ | 9.80 | | | $ | 9.79 | | | $ | 9.95 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (2.24 | )%(1) | | | (0.12 | )% | | | 3.26 | % | | | 2.06 | % | | | 3.79 | % |
| | | | | | | | | | | | | | �� | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 191,203 | | | $ | 235,225 | | | $ | 272,657 | | | $ | 255,273 | | | $ | 281,473 | |
Ratio of gross expense to average net assets | | | 0.71 | %(2) | | | 0.69 | % | | | 0.69 | % | | | 0.67 | % | | | 0.61 | % |
Ratio of net expense to average net assets | | | 0.50 | %(2) | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.63 | %(2) | | | 1.27 | % | | | 1.16 | % | | | 1.36 | % | | | 1.58 | % |
Ratio of net investment income to average net assets | | | 1.84 | %(2) | | | 1.46 | % | | | 1.35 | % | | | 1.53 | % | | | 1.68 | % |
Portfolio turnover rate | | | 8 | %(1) | | | 17 | % | | | 12 | % | | | 15 | % | | | 12 | % |
The Fund commenced operations on August 27, 1999. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Core Bond Fund - Adviser Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.70 | | | $ | 10.83 | | | $ | 10.62 | | | $ | 10.80 | | | $ | 10.65 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | (3) | | | 0.27 | (3) | | | 0.25 | (3) | | | 0.23 | (3) | | | 0.26 | (3) |
Net realized and unrealized gains (losses) | | | (0.31 | ) | | | 0.00 | (4) | | | 0.25 | | | | (0.07 | ) | | | 0.27 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.17 | ) | | | 0.27 | | | | 0.50 | | | | 0.16 | | | | 0.53 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.32 | ) | | | (0.28 | ) | | | (0.26 | ) | | | (0.29 | ) |
From net realized gains | | | — | | | | (0.08 | ) | | | (0.01 | ) | | | (0.08 | ) | | | (0.09 | ) |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.40 | ) | | | (0.29 | ) | | | (0.34 | ) | | | (0.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.38 | | | $ | 10.70 | | | $ | 10.83 | | | $ | 10.62 | | | $ | 10.80 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.56 | )%(1) | | | 2.60 | % | | | 4.83 | % | | | 1.49 | % | | | 5.06 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 28,068 | | | $ | 25,993 | | | $ | 25,801 | | | $ | 24,314 | | | $ | 5,457 | |
Ratio of gross expense to average net assets | | | 0.78 | %(2) | | | 0.78 | % | | | 0.79 | % | | | 0.79 | % | | | 0.78 | % |
Ratio of net expense to average net assets | | | 0.78 | %(2) | | | 0.78 | % | | | 0.79 | % | | | 0.79 | % | | | 0.78 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.64 | %(2) | | | 2.55 | % | | | 2.32 | % | | | 2.05 | % | | | 2.40 | % |
Ratio of net investment income to average net assets | | | 2.64 | %(2) | | | 2.55 | % | | | 2.32 | % | | | 2.05 | % | | | 2.40 | % |
Portfolio turnover rate | | | 26 | %(1) | | | 87 | % | | | 57 | % | | | 31 | % | | | 49 | % |
The Class commenced operations on November 2, 2009.
(1) Not annualized.
(2) Annualized.
(3) Based on average shares outstanding.
(4) Amount is less than $0.005.
Semi-Annual Report 141
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Core Bond Fund - Investor Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.73 | | | $ | 10.85 | | | $ | 10.64 | | | $ | 10.82 | | | $ | 10.67 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | (1) | | | 0.30 | (1) | | | 0.28 | (1) | | | 0.25 | (1) | | | 0.28 | (1) |
Net realized and unrealized gains (losses) | | | (0.30 | ) | | | 0.00 | (2) | | | 0.25 | | | | (0.07 | ) | | | 0.28 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.15 | ) | | | 0.30 | | | | 0.53 | | | | 0.18 | | | | 0.56 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.34 | ) | | | (0.31 | ) | | | (0.28 | ) | | | (0.32 | ) |
From net realized gains | | | — | | | | (0.08 | ) | | | (0.01 | ) | | | (0.08 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.17 | ) | | | (0.42 | ) | | | (0.32 | ) | | | (0.36 | ) | | | (0.41 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.41 | | | $ | 10.73 | | | $ | 10.85 | | | $ | 10.64 | | | $ | 10.82 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.44 | )%(3) | | | 2.94 | % | | | 5.07 | % | | | 1.73 | % | | | 5.34 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 586,880 | | | $ | 719,847 | | | $ | 735,916 | | | $ | 660,835 | | | $ | 593,724 | |
Ratio of gross expense to average net assets | | | 0.53 | %(4) | | | 0.53 | % | | | 0.54 | % | | | 0.54 | % | | | 0.53 | % |
Ratio of net expense to average net assets | | | 0.53 | %(4) | | | 0.53 | % | | | 0.54 | % | | | 0.54 | % | | | 0.53 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.89 | %(4) | | | 2.80 | % | | | 2.57 | % | | | 2.30 | % | | | 2.65 | % |
Ratio of net investment income to average net assets | | | 2.89 | %(4) | | | 2.80 | % | | | 2.57 | % | | | 2.30 | % | | | 2.65 | % |
Portfolio turnover rate | | | 26 | %(3) | | | 87 | % | | | 57 | % | | | 31 | % | | | 49 | % |
| | | | | | | | | | | | | | | | | | | | |
The Fund commenced operations on December 31, 1993. | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | Payden
Core Bond
Fund —
SI Class | | | | | | | | | | | | | |
| | | 2018 | | | | | | | | | | | | | |
Net asset value — beginning of period | | $ | 10.66 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.08 | (1) | | | | | | | | | | | | | | | | |
Net realized and unrealized gains (losses) | | | (0.23 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.15 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.11 | ) | | | | | | | | | | | | | | | | |
From net realized gains | | | — | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.11 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.40 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (4.95 | )%(3) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 200,941 | | | | | | | | | | | | | | | | | |
Ratio of gross expense to average net assets | | | 0.52 | %(4) | | | | | | | | | | | | | | | | |
Ratio of net expense to average net assets | | | 0.52 | %(4) | | | | | | | | | | | | | | | | |
Ratio of investment income less gross expenses to average net assets | | | 2.94 | %(4) | | | | | | | | | | | | | | | | |
Ratio of net investment income to average net assets | | | 2.94 | %(4) | | | | | | | | | | | | | | | | |
Portfolio turnover rate | | | 26 | %(3) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
The Class commenced operations on January 22, 2018. | | | | | | | | | | | | | | | | | | | | |
(1) Based on average shares outstanding.
(2) Amount is less than $0.005.
(3) Not annualized.
(4) Annualized.
142 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Corporate Bond Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 11.38 | | | $ | 11.37 | | | $ | 10.97 | | | $ | 11.37 | | | $ | 11.05 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.20 | | | | 0.38 | | | | 0.34 | | | | 0.35 | | | | 0.39 | |
Net realized and unrealized gains (losses) | | | (0.42 | ) | | | 0.25 | | | | 0.53 | | | | (0.11 | ) | | | 0.50 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.22 | ) | | | 0.63 | | | | 0.87 | | | | 0.24 | | | | 0.89 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.20 | ) | | | (0.38 | ) | | | (0.34 | ) | | | (0.34 | ) | | | (0.41 | ) |
From net realized gains | | | (0.07 | ) | | | (0.24 | ) | | | (0.13 | ) | | | (0.30 | ) | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.27 | ) | | | (0.62 | ) | | | (0.47 | ) | | | (0.64 | ) | | | (0.57 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.89 | | | $ | 11.38 | | | $ | 11.37 | | | $ | 10.97 | | | $ | 11.37 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.98 | )%(1) | | | 5.83 | % | | | 8.18 | % | | | 2.26 | % | | | 8.31 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 200,696 | | | $ | 207,305 | | | $ | 140,468 | | | $ | 71,542 | | | $ | 69,646 | |
Ratio of gross expense to average net assets | | | 0.68 | %(2) | | | 0.70 | % | | | 0.74 | % | | | 0.78 | % | | | 0.79 | % |
Ratio of net expense to average net assets | | | 0.65 | %(2) | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
Ratio of investment income less gross expenses to average net assets | | | 3.56 | %(2) | | | 3.32 | % | | | 3.04 | % | | | 3.08 | % | | | 3.42 | % |
Ratio of net investment income to average net assets | | | 3.59 | %(2) | | | 3.37 | % | | | 3.13 | % | | | 3.21 | % | | | 3.56 | % |
Portfolio turnover rate | | | 47 | %(1) | | | 93 | % | | | 145 | % | | | 112 | % | | | 104 | % |
The Fund commenced operations on March 12, 2009. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Strategic Income
Fund — Investor Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.11 | | | $ | 10.12 | | | $ | 9.96 | | | $ | 10.00 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.28 | | | | 0.22 | | | | 0.22 | | | | (0.09 | ) |
Net realized and unrealized gains (losses) | | | (0.21 | ) | | | 0.02 | | | | 0.16 | | | | (0.01 | ) | | | (0.00 | )(3) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.06 | ) | | | 0.30 | | | | 0.38 | | | | 0.21 | | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.30 | ) | | | (0.22 | ) | | | (0.22 | ) | | | (0.09 | ) |
From net realized gains | | | — | | | | (0.01 | ) | | | — | | | | (0.02 | ) | | | — | |
Return of capital | | | — | | | | (0.00 | )(3) | | | — | | | | (0.01 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.31 | ) | | | (0.22 | ) | | | (0.25 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.90 | | | $ | 10.11 | | | $ | 10.12 | | | $ | 9.96 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.61 | )%(1) | | | 3.09 | % | | | 3.90 | % | | | 2.08 | % | | | 0.94 | %(1) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 118,731 | | | $ | 135,024 | | | $ | 150,106 | | | $ | 108,789 | | | $ | 55,453 | |
Ratio of gross expense to average net assets | | | 0.85 | %(2) | | | 0.86 | % | | | 0.88 | % | | | 0.90 | % | | | 1.20 | %(2) |
Ratio of net expense to average net assets | | | 0.73 | %(2) | | | 0.77 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | %(2) |
Ratio of investment income less gross expenses to average net assets | | | 2.75 | %(2) | | | 2.60 | % | | | 2.14 | % | | | 2.06 | % | | | 1.79 | %(2) |
Ratio of net investment income to average net assets | | | 2.86 | %(2) | | | 2.70 | % | | | 2.22 | % | | | 2.17 | % | | | 2.19 | %(2) |
Portfolio turnover rate | | | 28 | %(1) | | | 78 | % | | | 52 | % | | | 30 | % | | | 17 | %(1) |
The Fund commenced operations on May 8, 2014. | | | | | | | | | | | | | | | | | | | | |
(1) Not annualized.
(2) Annualized.
(3) Amount is less than $0.005.
Semi-Annual Report 143
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Strategic Income
Fund — SI Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.11 | | | $ | 10.12 | | | $ | 9.96 | | | $ | 9.99 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.27 | | | | 0.25 | | | | 0.23 | | | | 0.09 | |
Net realized and unrealized gains (losses) | | | (0.21 | ) | | | 0.04 | | | | 0.15 | | | | 0.00 | | | | (0.00 | )(1) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.06 | ) | | | 0.31 | | | | 0.40 | | | | 0.23 | | | | 0.09 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.31 | ) | | | (0.24 | ) | | | (0.23 | ) | | | (0.10 | ) |
From net realized gains | | | — | | | | (0.01 | ) | | | — | | | | (0.02 | ) | | | — | |
Return of capital | | | — | | | | (0.00 | )(1) | | | — | | | | (0.01 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.32 | ) | | | (0.24 | ) | | | (0.26 | ) | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.90 | | | $ | 10.11 | | | $ | 10.12 | | | $ | 9.96 | | | $ | 9.99 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.56 | )%(2) | | | 3.21 | % | | | 4.03 | % | | | 2.32 | % | | | 0.93 | %(2) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 55,337 | | | $ | 90,619 | | | $ | 30,764 | | | $ | 37,766 | | | $ | 32,682 | |
Ratio of gross expense to average net assets | | | 0.84 | %(3) | | | 0.85 | % | | | 0.89 | % | | | 0.90 | % | | | 1.17 | %(3) |
Ratio of net expense to average net assets | | | 0.62 | %(3) | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | %(3) |
Ratio of investment income less gross expenses to average net assets | | | 2.71 | %(3) | | | 2.59 | % | | | 2.15 | % | | | 2.06 | % | | | 1.87 | %(3) |
Ratio of net investment income to average net assets | | | 2.93 | %(3) | | | 2.79 | % | | | 2.39 | % | | | 2.31 | % | | | 2.39 | %(3) |
Portfolio turnover rate | | | 28 | %(2) | | | 78 | % | | | 52 | % | | | 30 | % | | | 17 | %(2) |
The Fund commenced operations on May 8, 2014. | | | | | | | | | | | | | | | | | | | | |
| | |
| | | Payden Absolute Return
Bond Fund — Investor Class | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | | |
Net asset value — beginning of period | | $ | 10.09 | | | $ | 9.99 | | | $ | 9.92 | | | $ | 10.00 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.13 | | | | 0.25 | | | | 0.27 | | | | 0.17 | (4) | | | | |
Net realized and unrealized gains (losses) | | | (0.07 | ) | | | 0.09 | | | | 0.05 | | | | (0.07 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.06 | | | | 0.34 | | | | 0.32 | | | | 0.10 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.24 | ) | | | (0.25 | ) | | | (0.18 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.14 | ) | | | (0.24 | ) | | | (0.25 | ) | | | (0.18 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.01 | | | $ | 10.09 | | | $ | 9.99 | | | $ | 9.92 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.64 | %(2) | | | 3.42 | % | | | 3.32 | % | | | 0.97 | %(2) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 83,672 | | | $ | 86,883 | | | $ | 63,996 | | | $ | 42,121 | | | | | |
Ratio of gross expense to average net assets | | | 0.87 | %(3) | | | 0.89 | % | | | 0.97 | % | | | 1.17 | %(3) | | | | |
Ratio of net expense to average net assets | | | 0.70 | %(3) | | | 0.70 | % | | | 0.70 | % | | | 0.70 | %(3) | | | | |
Ratio of investment income less gross expenses to average net assets | | | 2.27 | %(3) | | | 2.27 | % | | | 2.45 | % | | | 1.45 | %(3) | | | | |
Ratio of net investment income to average net assets | | | 2.43 | %(3) | | | 2.46 | % | | | 2.73 | % | | | 1.92 | %(3) | | | | |
Portfolio turnover rate | | | 60 | %(2) | | | 112 | % | | | 47 | % | | | 64 | %(2) | | | | |
The Fund commenced operations on November 6, 2014. | | | | | | | | | | | | | | | | | | | | |
(1) Amount is less than $0.005.
(2) Not annualized.
(3) Annualized.
(4) Based on average shares outstanding.
144 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Absolute Return
Bond Fund — SI Class | | | | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | | |
Net asset value — beginning of period | | $ | 10.09 | | | $ | 10.00 | | | $ | 9.93 | | | $ | 10.00 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.16 | | | | 0.25 | | | | 0.33 | | | | 0.19 | (1) | | | | |
Net realized and unrealized gains (losses) | | | (0.08 | ) | | | 0.09 | | | | 0.01 | | | | (0.07 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.08 | | | | 0.34 | | | | 0.34 | | | | 0.12 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From Net investment income | | | (0.15 | ) | | | (0.25 | ) | | | (0.27 | ) | | | (0.19 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.25 | ) | | | (0.27 | ) | | | (0.19 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.02 | | | $ | 10.09 | | | $ | 10.00 | | | $ | 9.93 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.82 | %(2) | | | 3.47 | % | | | 3.47 | % | | | 1.20 | %(2) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 39,946 | | | $ | 17,050 | | | $ | 13,055 | | | $ | 18,830 | | | | | |
Ratio of gross expense to average net assets | | | 0.87 | %(3) | | | 0.90 | % | | | 0.99 | % | | | 1.17 | %(3) | | | | |
Ratio of net expense to average net assets | | | 0.55 | %(3) | | | 0.55 | % | | | 0.55 | % | | | 0.55 | %(3) | | | | |
Ratio of investment income less gross expenses to average net assets | | | 2.30 | %(3) | | | 2.27 | % | | | 2.43 | % | | | 1.32 | %(3) | | | | |
Ratio of net investment income to average net assets | | | 2.62 | %(3) | | | 2.61 | % | | | 2.86 | % | | | 1.94 | %(3) | | | | |
Portfolio turnover rate | | | 60 | %(2) | | | 112 | % | | | 47 | % | | | 64 | %(2) | | | | |
The Fund commenced operations on November 6, 2014. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Floating Rate
Fund — Investor Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.00 | | | $ | 9.99 | | | $ | 9.89 | | | $ | 9.97 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.19 | | | | 0.34 | | | | 0.34 | | | | 0.32 | | | | 0.27 | |
Net realized and unrealized gains (losses) | | | (0.03 | ) | | | 0.01 | | | | 0.10 | | | | (0.06 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.16 | | | | 0.35 | | | | 0.44 | | | | 0.26 | | | | 0.24 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From Net investment income | | | (0.18 | ) | | | (0.34 | ) | | | (0.34 | ) | | | (0.31 | ) | | | (0.27 | ) |
From net realized gains | | | — | | | | — | | | | — | | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.18 | ) | | | (0.34 | ) | | | (0.34 | ) | | | (0.34 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.98 | | | $ | 10.00 | | | $ | 9.99 | | | $ | 9.89 | | | $ | 9.97 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 1.62 | %(2) | | | 3.51 | % | | | 4.59 | % | | | 2.64 | % | | | 2.39 | %(2) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 55,473 | | | $ | 63,804 | | | $ | 64,649 | | | $ | 42,478 | | | $ | 46,586 | |
Ratio of gross expense to average net assets | | | 0.86 | %(3) | | | 0.83 | % | | | 0.85 | % | | | 0.84 | % | | | 0.90 | %(3) |
Ratio of net expense to average net assets | | | 0.75 | %(3) | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | %(3) |
Ratio of investment income less gross expenses to average net assets | | | 3.55 | %(3) | | | 3.25 | % | | | 3.38 | % | | | 3.00 | % | | | 3.03 | %(3) |
Ratio of net investment income to average net assets | | | 3.66 | %(3) | | | 3.34 | % | | | 3.47 | % | | | 3.09 | % | | | 3.17 | %(3) |
Portfolio turnover rate | | | 56 | %(2) | | | 107 | % | | | 41 | % | | | 39 | % | | | 18 | %(2) |
The Fund commenced operations on November 11, 2013.
| (1) | Based on average shares outstanding. |
Semi-Annual Report 145
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Floating Rate
Fund — SI Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.01 | | | $ | 10.00 | | | $ | 9.90 | | | $ | 9.98 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.19 | | | | 0.35 | | | | 0.35 | | | | 0.32 | | | | 0.28 | |
Net realized and unrealized gains (losses) | | | (0.03 | ) | | | 0.01 | | | | 0.10 | | | | (0.05 | ) | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.16 | | | | 0.36 | | | | 0.45 | | | | 0.27 | | | | 0.26 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.18 | ) | | | (0.35 | ) | | | (0.35 | ) | | | (0.32 | ) | | | (0.28 | ) |
From net realized gains | | | — | | | | — | | | | — | | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.18 | ) | | | (0.35 | ) | | | (0.35 | ) | | | (0.35 | ) | | | (0.28 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.99 | | | $ | 10.01 | | | $ | 10.00 | | | $ | 9.90 | | | $ | 9.98 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 1.66 | %(1) | | | 3.73 | % | | | 4.58 | % | | | 2.74 | % | | | 2.59 | %(1) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 98,612 | | | $ | 128,586 | | | $ | 122,809 | | | $ | 124,006 | | | $ | 119,799 | |
Ratio of gross expense to average net assets | | | 0.86 | %(2) | | | 0.83 | % | | | 0.85 | % | | | 0.84 | % | | | 0.89 | %(2) |
Ratio of net expense to average net assets | | | 0.65 | %(2) | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | %(2) |
Ratio of investment income less gross expenses to average net assets | | | 3.53 | %(2) | | | 3.25 | % | | | 3.38 | % | | | 3.01 | % | | | 2.93 | %(2) |
Ratio of net investment income to average net assets | | | 3.74 | %(2) | | | 3.43 | % | | | 3.58 | % | | | 3.20 | % | | | 3.18 | %(2) |
Portfolio turnover rate | | | 56 | %(1) | | | 107 | % | | | 41 | % | | | 39 | % | | | 18 | %(1) |
The Fund commenced operations on November 11, 2013. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden High Income Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 6.59 | | | $ | 6.46 | | | $ | 6.40 | | | $ | 7.08 | | | $ | 7.28 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | |
Net investment income | | | 0.17 | | | | 0.34 | | | | 0.33 | | | | 0.36 | | | | 0.40 | |
Net realized and unrealized gains (losses) | | | (0.21 | ) | | | 0.14 | | | | 0.06 | | | | (0.42 | ) | | | (0.00 | )(3) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.04 | ) | | | 0.48 | | | | 0.39 | | | | (0.06 | ) | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.35 | ) | | | (0.33 | ) | | | (0.36 | ) | | | (0.40 | ) |
From net realized gains | | | — | | | | (0.00 | )(3) | | | — | | | | (0.26 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.17 | ) | | | (0.35 | ) | | | (0.33 | ) | | | (0.62 | ) | | | (0.60 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 6.38 | | | $ | 6.59 | | | $ | 6.46 | | | $ | 6.40 | | | $ | 7.08 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.58 | )%(1) | | | 7.60 | % | | | 6.33 | % | | | (0.79 | )% | | | 5.75 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 465,514 | | | $ | 533,635 | | | $ | 587,215 | | | $ | 603,937 | | | $ | 734,666 | |
Ratio of gross expense to average net assets | | | 0.63 | %(2) | | | 0.65 | % | | | 0.66 | % | | | 0.67 | % | | | 0.66 | % |
Ratio of net expense to average net assets | | | 0.63 | %(2) | | | 0.65 | % | | | 0.66 | % | | | 0.67 | % | | | 0.66 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.21 | %(2) | | | 5.14 | % | | | 5.16 | % | | | 5.29 | % | | | 5.54 | % |
Ratio of net investment income to average net assets | | | 5.21 | %(2) | | | 5.14 | % | | | 5.16 | % | | | 5.29 | % | | | 5.54 | % |
Portfolio turnover rate | | | 31 | %(1) | | | 67 | % | | | 44 | % | | | 32 | % | | | 42 | % |
The Fund commenced operations on December 30, 1997.
(1) Not annualized.
(2) Annualized.
(3) Amount is less than $0.005.
146 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden California Municipal Income Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.28 | | | $ | 10.41 | | | $ | 10.39 | | | $ | 10.50 | | | $ | 10.27 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.11 | | | | 0.19 | | | | 0.19 | | | | 0.23 | | | | 0.24 | |
Net realized and unrealized gains (losses) | | | (0.18 | ) | | | 0.03 | | | | 0.14 | | | | (0.03 | ) | | | 0.29 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.07 | ) | | | 0.22 | | | | 0.33 | | | | 0.20 | | | | 0.53 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.11 | ) | | | (0.19 | ) | | | (0.19 | ) | | | (0.23 | ) | | | (0.24 | ) |
From net realized gains | | | (0.04 | ) | | | (0.16 | ) | | | (0.12 | ) | | | (0.08 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.15 | ) | | | (0.35 | ) | | | (0.31 | ) | | | (0.31 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.06 | | | $ | 10.28 | | | $ | 10.41 | | | $ | 10.39 | | | $ | 10.50 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.72 | )%(1) | | | 2.28 | % | | | 3.22 | % | | | 1.87 | % | | | 5.27 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 55,791 | | | $ | 57,645 | | | $ | 55,808 | | | $ | 45,938 | | | $ | 46,729 | |
Ratio of gross expense to average net assets | | | 0.69 | %(2) | | | 0.70 | % | | | 0.71 | % | | | 0.70 | % | | | 0.70 | % |
Ratio of net expense to average net assets | | | 0.53 | %(2) | | | 0.54 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.00 | %(2) | | | 1.72 | % | | | 1.62 | % | | | 2.03 | % | | | 2.18 | % |
Ratio of net investment income to average net assets | | | 2.16 | %(2) | | | 1.89 | % | | | 1.78 | % | | | 2.17 | % | | | 2.33 | % |
Portfolio turnover rate | | | 64 | %(1) | | | 157 | % | | | 57 | % | | | 45 | % | | | 48 | % |
The Fund commenced operations on December 17, 1998. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Global Low Duration Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.06 | | | $ | 10.05 | | | $ | 10.01 | | | $ | 10.10 | | | $ | 10.08 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.11 | | | | 0.17 | | | | 0.11 | | | | 0.12 | | | | 0.12 | |
Net realized and unrealized gains (losses) | | | (0.12 | ) | | | 0.00 | (3) | | | 0.05 | | | | (0.09 | ) | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.01 | ) | | | 0.17 | | | | 0.16 | | | | 0.03 | | | | 0.14 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.11 | ) | | | (0.08 | ) | | | (0.09 | ) | | | (0.02 | ) | | | (0.12 | ) |
Return of capital | | | — | | | | (0.08 | ) | | | (0.03 | ) | | | (0.10 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.11 | ) | | | (0.16 | ) | | | (0.12 | ) | | | (0.12 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.94 | | | $ | 10.06 | | | $ | 10.05 | | | $ | 10.01 | | | $ | 10.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.15 | )%(1) | | | 1.66 | % | | | 1.61 | % | | | 0.32 | % | | | 1.43 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 100,102 | | | $ | 113,405 | | | $ | 135,217 | | | $ | 130,344 | | | $ | 139,965 | |
Ratio of gross expense to average net assets | | | 0.67 | %(2) | | | 0.66 | % | | | 0.66 | % | | | 0.69 | % | | | 0.69 | % |
Ratio of net expense to average net assets | | | 0.53 | %(2) | | | 0.54 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.95 | %(2) | | | 1.49 | % | | | 1.02 | % | | | 1.05 | % | | | 1.11 | % |
Ratio of net investment income to average net assets | | | 2.09 | %(2) | | | 1.61 | % | | | 1.14 | % | | | 1.18 | % | | | 1.25 | % |
Portfolio turnover rate | | | 29 | %(1) | | | 108 | % | | | 41 | % | | | 35 | % | | | 54 | % |
The Fund commenced operations on September 18, 1996.
| (3) | Amount is less than $0.005. |
Semi-Annual Report 147
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Global Fixed Income Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 9.11 | | | $ | 9.04 | | | $ | 8.87 | | | $ | 8.84 | | | $ | 8.53 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.08 | | | | 0.14 | | | | 0.13 | | | | 0.15 | | | | 0.21 | |
Net realized and unrealized gains (losses) | | | (0.09 | ) | | | 0.08 | | | | 0.27 | | | | 0.05 | | | | 0.31 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.01 | ) | | | 0.22 | | | | 0.40 | | | | 0.20 | | | | 0.52 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.10 | ) | | | (0.15 | ) | | | (0.11 | ) | | | (0.17 | ) | | | (0.18 | ) |
From net realized gains | | | — | | | | — | | | | (0.10 | ) | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | (0.02 | ) | | | — | | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.10 | ) | | | (0.15 | ) | | | (0.23 | ) | | | (0.17 | ) | | | (0.21 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.00 | | | $ | 9.11 | | | $ | 9.04 | | | $ | 8.87 | | | $ | 8.84 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.11 | )%(1) | | | 2.48 | % | | | 4.68 | % | | | 2.27 | % | | | 6.20 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 128,758 | | | $ | 124,647 | | | $ | 111,109 | | | $ | 80,293 | | | $ | 50,679 | |
Ratio of gross expense to average net assets | | | 0.78 | %(2) | | | 0.78 | % | | | 0.80 | % | | | 0.81 | % | | | 0.90 | % |
Ratio of net expense to average net assets | | | 0.67 | %(2) | | | 0.65 | % | | | 0.65 | % | | | 0.66 | % | | | 0.70 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.64 | %(2) | | | 1.48 | % | | | 1.39 | % | | | 1.63 | % | | | 2.30 | % |
Ratio of net investment income to average net assets | | | 1.75 | %(2) | | | 1.60 | % | | | 1.55 | % | | | 1.78 | % | | | 2.50 | % |
Portfolio turnover rate | | | 26 | %(1) | | | 58 | % | | | 76 | % | | | 44 | % | | | 55 | % |
The Fund commenced operations on September 1, 1992. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Emerging Markets Bond Fund - Adviser Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 14.22 | | | $ | 13.96 | | | $ | 13.10 | | | $ | 14.14 | | | $ | 13.90 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.35 | | | | 0.75 | | | | 0.66 | | | | 0.63 | | | | 0.70 | |
Net realized and unrealized gains (losses) | | | (0.59 | ) | | | 0.26 | | | | 0.92 | | | | (1.04 | ) | | | 0.29 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.24 | ) | | | 1.01 | | | | 1.58 | | | | (0.41 | ) | | | 0.99 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.35 | ) | | | (0.72 | ) | | | (0.72 | ) | | | (0.63 | ) | | | (0.60 | ) |
From net realized gains | | | — | | | | — | | | | — | | | | — | | | | (0.05 | ) |
Return of capital | | | — | | | | (0.03 | ) | | | — | | | | — | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.35 | ) | | | (0.75 | ) | | | (0.72 | ) | | | (0.63 | ) | | | (0.75 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 13.63 | | | $ | 14.22 | | | $ | 13.96 | | | $ | 13.10 | | | $ | 14.14 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.72 | )%(1) | | | 7.50 | % | | | 12.46 | % | | | (2.94 | )% | | | 7.32 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 111,248 | | | $ | 131,677 | | | $ | 76,182 | | | $ | 29,481 | | | $ | 21,754 | |
Ratio of gross expense to average net assets | | | 0.98 | %(2) | | | 1.00 | % | | | 1.00 | % | | | 1.01 | % | | | 1.03 | % |
Ratio of net expense to average net assets | | | 0.98 | %(2) | | | 1.00 | % | | | 1.00 | % | | | 1.01 | % | | | 1.03 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.03 | %(2) | | | 5.36 | % | | | 5.08 | % | | | 4.73 | % | | | 5.03 | % |
Ratio of net investment income to average net assets | | | 5.03 | %(2) | | | 5.36 | % | | | 5.08 | % | | | 4.73 | % | | | 5.03 | % |
Portfolio turnover rate | | | 27 | %(1) | | | 48 | % | | | 46 | % | | | 54 | % | | | 73 | % |
The Class commenced operations on November 2, 2009.
(1) Not annualized.
(2) Annualized.
148 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Bond Fund - Investor Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 14.21 | | | $ | 13.95 | | | $ | 13.08 | | | $ | 14.11 | | | $ | 13.88 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.36 | | | | 0.77 | | | | 0.73 | | | | 0.67 | | | | 0.75 | |
Net realized and unrealized gains (losses) | | | (0.58 | ) | | | 0.27 | | | | 0.89 | | | | (1.04 | ) | | | 0.26 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.22 | ) | | | 1.04 | | | | 1.62 | | | | (0.37 | ) | | | 1.01 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.37 | ) | | | (0.75 | ) | | | (0.75 | ) | | | (0.66 | ) | | | (0.63 | ) |
From net realized gains | | | — | | | | — | | | | — | | | | — | | | | (0.05 | ) |
Return of capital | | | — | | | | (0.03 | ) | | | — | | | | — | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.37 | ) | | | (0.78 | ) | | | (0.75 | ) | | | (0.66 | ) | | | (0.78 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 13.62 | | | $ | 14.21 | | | $ | 13.95 | | | $ | 13.08 | | | $ | 14.11 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.61 | )%(1) | | | 7.76 | % | | | 12.75 | % | | | (2.65 | )% | | | 7.53 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 585,860 | | | $ | 538,525 | | | $ | 478,082 | | | $ | 416,408 | | | $ | 379,923 | |
Ratio of gross expense to average net assets | | | 0.73 | %(2) | | | 0.75 | % | | | 0.75 | % | | | 0.76 | % | | | 0.78 | % |
Ratio of net expense to average net assets | | | 0.73 | %(2) | | | 0.75 | % | | | 0.75 | % | | | 0.76 | % | | | 0.78 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.29 | %(2) | | | 5.60 | % | | | 5.45 | % | | | 4.98 | % | | | 5.29 | % |
Ratio of net investment income to average net assets | | | 5.29 | %(2) | | | 5.60 | % | | | 5.45 | % | | | 4.98 | % | | | 5.29 | % |
Portfolio turnover rate | | | 27 | %(1) | | | 48 | % | | | 46 | % | | | 54 | % | | | 73 | % |
The Fund commenced operations on December 17, 1998. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Emerging Markets Bond Fund - SI Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 14.19 | | | $ | 13.93 | | | $ | 13.07 | | | $ | 14.10 | | | $ | 13.87 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.37 | | | | 0.78 | | | | 0.74 | | | | 0.68 | | | | 0.74 | |
Net realized and unrealized gains (losses) | | | (0.59 | ) | | | 0.27 | | | | 0.88 | | | | (1.04 | ) | | | 0.28 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.22 | ) | | | 1.05 | | | | 1.62 | | | | (0.36 | ) | | | 1.02 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.37 | ) | | | (0.75 | ) | | | (0.76 | ) | | | (0.67 | ) | | | (0.64 | ) |
From net realized gains | | | — | | | | — | | | | — | | | | — | | | | (0.05 | ) |
Return of capital | | | — | | | | (0.04 | ) | | | — | | | | — | | | | (0.10 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.37 | ) | | | (0.79 | ) | | | (0.76 | ) | | | (0.67 | ) | | | (0.79 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 13.60 | | | $ | 14.19 | | | $ | 13.93 | | | $ | 13.07 | | | $ | 14.10 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (1.59 | )%(1) | | | 7.83 | % | | | 12.76 | % | | | (2.58 | )% | | | 7.64 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 694,312 | | | $ | 693,577 | | | $ | 604,978 | | | $ | 518,220 | | | $ | 450,550 | |
Ratio of gross expense to average net assets | | | 0.73 | %(2) | | | 0.75 | % | | | 0.75 | % | | | 0.76 | % | | | 0.77 | % |
Ratio of net expense to average net assets | | | 0.69 | %(2) | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % | | | 0.69 | % |
Ratio of investment income less gross expenses to average net assets | | | 5.29 | %(2) | | | 5.59 | % | | | 5.46 | % | | | 4.98 | % | | | 5.28 | % |
Ratio of net investment income to average net assets | | | 5.33 | %(2) | | | 5.65 | % | | | 5.52 | % | | | 5.05 | % | | | 5.35 | % |
Portfolio turnover rate | | | 27 | %(1) | | | 48 | % | | | 46 | % | | | 54 | % | | | 73 | % |
The Class commenced operations on April 9, 2012.
Semi-Annual Report 149
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Local Bond Fund | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 6.90 | | | $ | 6.95 | | | $ | 6.66 | | | $ | 8.48 | | | $ | 9.33 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.22 | | | | 0.43 | | | | 0.37 | | | | 0.40 | | | | 0.51 | |
Net realized and unrealized gains (losses) | | | 0.13 | | | | (0.05 | ) | | | 0.28 | | | | (1.83 | ) | | | (0.86 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.35 | | | | 0.38 | | | | 0.65 | | | | (1.43 | ) | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.40 | ) | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | (0.03 | ) | | | (0.36 | ) | | | (0.39 | ) | | | (0.50 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.22 | ) | | | (0.43 | ) | | | (0.36 | ) | | | (0.39 | ) | | | (0.50 | ) |
| | | | | | | | | | | | | | | | | | | | |
Proceeds from redemption fees | | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 7.03 | | | $ | 6.90 | | | $ | 6.95 | | | $ | 6.66 | | | $ | 8.48 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 5.06 | %(1) | | | 5.63 | % | | | 10.11 | % | | | (17.16 | )% | | | (3.84 | )% |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 211,810 | | | $ | 180,942 | | | $ | 156,240 | | | $ | 125,970 | | | $ | 174,827 | |
Ratio of gross expense to average net assets | | | 1.03 | %(2) | | | 1.08 | % | | | 0.96 | % | | | 0.98 | % | | | 0.96 | % |
Ratio of net expense to average net assets | | | 0.86 | %(2) | | | 0.98 | % | | | 0.98 | % | | | 0.97 | % | | | 0.96 | % |
Ratio of investment income less gross expenses to average net assets | | | 6.06 | %(2) | | | 6.14 | % | | | 5.46 | % | | | 5.26 | % | | | 5.59 | % |
Ratio of net investment income to average net assets | | | 6.23 | %(2) | | | 6.25 | % | | | 5.44 | % | | | 5.28 | % | | | 5.59 | % |
Portfolio turnover rate | | | 31 | %(1) | | | 61 | % | | | 68 | % | | | 106 | % | | | 99 | % |
The Fund commenced operations on November 2, 2011. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Emerging Markets Corporate Bond Fund — Investor Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.33 | | | $ | 10.09 | | | $ | 9.62 | | | $ | 10.39 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | |
Net investment income | | | 0.24 | (4) | | | 0.46 | (4) | | | 0.41 | (4) | | | 0.43 | | | | 0.64 | |
Net realized and unrealized gains (losses) | | | (0.34 | ) | | | 0.24 | | | | 0.47 | | | | (0.59 | ) | | | 0.18 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.10 | ) | | | 0.70 | | | | 0.88 | | | | (0.16 | ) | | | 0.82 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.24 | ) | | | (0.46 | ) | | | (0.41 | ) | | | (0.43 | ) | | | (0.43 | ) |
From net realized gains | | | (0.03 | ) | | | — | | | | — | | | | (0.18 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.27 | ) | | | (0.46 | ) | | | (0.41 | ) | | | (0.61 | ) | | | (0.43 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.96 | | | $ | 10.33 | | | $ | 10.09 | | | $ | 9.62 | | | $ | 10.39 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.97 | )%(1) | | | 7.12 | % | | | 9.35 | % | | | (1.55 | )% | | | 8.31 | %(1) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 6,613 | | | $ | 4,051 | | | $ | 3,655 | | | $ | 1,401 | | | $ | 1,522 | |
Ratio of gross expense to average net assets | | | 1.28 | %(3) | | | 1.33 | % | | | 1.33 | % | | | 1.33 | % | | | 1.42 | %(3) |
Ratio of net expense to average net assets | | | 0.95 | %(3) | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | 0.94 | %(3) |
Ratio of investment income less gross expenses to average net assets | | | 4.47 | %(3) | | | 4.14 | % | | | 3.77 | % | | | 4.00 | % | | | 3.90 | %(3) |
Ratio of net investment income to average net assets | | | 4.81 | %(3) | | | 4.52 | % | | | 4.15 | % | | | 4.39 | % | | | 4.37 | %(3) |
Portfolio turnover rate | | | 41 | %(1) | | | 63 | % | | | 74 | % | | | 93 | % | | | 100 | %(1) |
The Fund commenced operations on November 11, 2013.
| (4) | Based on average shares outstanding. |
150 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Emerging Markets Corporate Bond Fund — SI Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.34 | | | $ | 10.10 | | | $ | 9.63 | | | $ | 10.40 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.25 | (1) | | | 0.47 | (1) | | | 0.42 | (1) | | | 0.45 | | | | 0.44 | |
Net realized and unrealized gains (losses) | | | (0.35 | ) | | | 0.24 | | | | 0.47 | | | | (0.60 | ) | | | 0.40 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | (0.10 | ) | | | 0.71 | | | | 0.89 | | | | (0.15 | ) | | | 0.84 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.24 | ) | | | (0.47 | ) | | | (0.42 | ) | | | (0.44 | ) | | | (0.44 | ) |
From net realized gains | | | (0.03 | ) | | | — | | | | — | | | | (0.18 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.27 | ) | | | (0.47 | ) | | | (0.42 | ) | | | (0.62 | ) | | | (0.44 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.97 | | | $ | 10.34 | | | $ | 10.10 | | | $ | 9.63 | | | $ | 10.40 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | (0.92 | )%(2) | | | 7.22 | % | | | 9.44 | % | | | (1.47 | )% | | | 8.52 | %(2) |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 37,259 | | | $ | 36,576 | | | $ | 35,450 | | | $ | 34,600 | | | $ | 41,662 | |
Ratio of gross expense to average net assets | | | 1.29 | %(3) | | | 1.33 | % | | | 1.35 | % | | | 1.33 | % | | | 1.39 | %(3) |
Ratio of net expense to average net assets | | | 0.85 | %(3) | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | %(3) |
Ratio of investment income less gross expenses to average net assets | | | 4.45 | %(3) | | | 4.13 | % | | | 3.80 | % | | | 4.01 | % | | | 3.89 | %(3) |
Ratio of net investment income to average net assets | | | 4.88 | %(3) | | | 4.61 | % | | | 4.29 | % | | | 4.49 | % | | | 4.43 | %(3) |
Portfolio turnover rate | | | 41 | %(2) | | | 63 | % | | | 74 | % | | | 93 | % | | | 100 | %(2) |
The Fund commenced operations on November 11, 2013. | | | | | | | | | | | | | | | | | | | | |
| | | | | |
(1) Based on average shares outstanding. (2) Not annualized. (3) Annualized. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Equity Income Fund - Adviser Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 16.68 | | | $ | 14.69 | | | $ | 13.98 | | | $ | 14.40 | | | $ | 12.64 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.32 | | | | 0.36 | | | | 0.32 | | | | 0.36 | |
Net realized and unrealized gains | | | 0.44 | | | | 2.08 | | | | 0.76 | | | | 0.05 | | | | 1.72 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.59 | | | | 2.40 | | | | 1.12 | | | | 0.37 | | | | 2.08 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.33 | ) | | | (0.41 | ) | | | (0.36 | ) | | | (0.21 | ) |
From net realized gains | | | (0.82 | ) | | | (0.08 | ) | | | — | | | | (0.43 | ) | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.96 | ) | | | (0.41 | ) | | | (0.41 | ) | | | (0.79 | ) | | | (0.32 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 16.31 | | | $ | 16.68 | | | $ | 14.69 | | | $ | 13.98 | | | $ | 14.40 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 3.47 | %(1) | | | 16.59 | % | | | 8.06 | % | | | 2.66 | % | | | 16.66 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 13,235 | | | $ | 14,529 | | | $ | 8,313 | | | $ | 4,567 | | | $ | 4,742 | |
Ratio of gross expense to average net assets | | | 0.99 | %(2) | | | 1.05 | % | | | 1.02 | % | | | 1.05 | % | | | 1.08 | % |
Ratio of net expense to average net assets | | | 0.99 | %(2) | | | 1.05 | % | | | 1.05 | % | | | 1.05 | % | | | 1.05 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.83 | %(2) | | | 2.18 | % | | | 2.70 | % | | | 2.29 | % | | | 2.52 | % |
Ratio of net investment income to average net assets | | | 1.83 | %(2) | | | 2.15 | % | | | 2.67 | % | | | 2.27 | % | | | 2.55 | % |
Portfolio turnover rate | | | 10 | %(1) | | | 60 | % | | | 25 | % | | | 48 | % | | | 51 | % |
The Class commenced operations on December 1, 2011.
Semi-Annual Report 151
| | | | | | | | | | | | | | | | | | | | |
| | | Payden Equity Income Fund - Investor Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 16.69 | | | $ | 14.69 | | | $ | 13.97 | | | $ | 14.39 | | | $ | 12.64 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.17 | | | | 0.39 | | | | 0.38 | | | | 0.35 | | | | 0.38 | |
Net realized and unrealized gains | | | 0.43 | | | | 2.06 | | | | 0.78 | | | | 0.05 | | | | 1.72 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.60 | | | | 2.45 | | | | 1.16 | | | | 0.40 | | | | 2.10 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.37 | ) | | | (0.44 | ) | | | (0.39 | ) | | | (0.24 | ) |
From net realized gains | | | (0.82 | ) | | | (0.08 | ) | | | — | | | | (0.43 | ) | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.97 | ) | | | (0.45 | ) | | | (0.44 | ) | | | (0.82 | ) | | | (0.35 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 16.32 | | | $ | 16.69 | | | $ | 14.69 | | | $ | 13.97 | | | $ | 14.39 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 3.56 | %(1) | | | 16.91 | % | | | 8.37 | % | | | 2.90 | % | | | 16.88 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 517,962 | | | $ | 564,547 | | | $ | 479,460 | | | $ | 281,163 | | | $ | 275,222 | |
Ratio of gross expense to average net assets | | | 0.74 | %(2) | | | 0.80 | % | | | 0.77 | % | | | 0.80 | % | | | 0.83 | % |
Ratio of net expense to average net assets | | | 0.74 | %(2) | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.07 | %(2) | | | 2.48 | % | | | 2.91 | % | | | 2.54 | % | | | 2.74 | % |
Ratio of net investment income to average net assets | | | 2.07 | %(2) | | | 2.45 | % | | | 2.88 | % | | | 2.53 | % | | | 2.77 | % |
Portfolio turnover rate | | | 10 | %(1) | | | 60 | % | | | 25 | % | | | 48 | % | | | 51 | % |
The Fund commenced operations on November 1, 1996. | | | | | | | | | | | | | | | | | | | | |
| | | | | |
(1) Not annualized. (2) Annualized. | | | | | | | | | | | | | | | | | | | | |
| |
| | | Payden Equity Income Fund — SI Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 16.70 | | | $ | 14.69 | | | $ | 13.97 | | | $ | 14.39 | | | $ | 13.92 | |
| | | | | | | | | | | | | | | | | | | | |
Income from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.18 | | | | 0.42 | | | | 0.42 | | | | 0.38 | | | | 0.09 | |
Net realized and unrealized gains | | | 0.43 | | | | 2.06 | | | | 0.75 | | | | 0.04 | | | | 0.46 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.61 | | | | 2.48 | | | | 1.17 | | | | 0.42 | | | | 0.55 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.39 | ) | | | (0.45 | ) | | | (0.41 | ) | | | (0.08 | ) |
From net realized gains | | | (0.82 | ) | | | (0.08 | ) | | | — | | | | (0.43 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total distributions to shareholders | | | (0.98 | ) | | | (0.47 | ) | | | (0.45 | ) | | | (0.84 | ) | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 16.33 | | | $ | 16.70 | | | $ | 14.69 | | | $ | 13.97 | | | $ | 14.39 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 3.61 | %(1) | | | 17.13 | % | | | 8.50 | % | | | 3.04 | % | | | 3.94 | %(1) |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 628,002 | | | $ | 385,988 | | | $ | 314,900 | | | $ | 277,634 | | | $ | 186,735 | |
Ratio of gross expense to average net assets | | | 0.74 | %(2) | | | 0.80 | % | | | 0.77 | % | | | 0.79 | % | | | 0.83 | %(2) |
Ratio of net expense to average net assets | | | 0.65 | %(2) | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | %(2) |
Ratio of investment income less gross expenses to average net assets | | | 2.01 | %(2) | | | 2.48 | % | | | 3.01 | % | | | 2.51 | % | | | 2.48 | %(2) |
Ratio of net investment income to average net assets | | | 2.11 | %(2) | | | 2.59 | % | | | 3.13 | % | | | 2.66 | % | | | 2.64 | %(2) |
Portfolio turnover rate | | | 10 | %(1) | | | 60 | % | | | 25 | % | | | 48 | % | | | 51 | %(1) |
The Class commenced operations on August 1, 2014.
152 Payden Mutual Funds
Understanding Your Fund’s Expenses
Shareholders of mutual funds, incur two types of costs: transaction costs incurred from buying or selling fund shares and ongoing costs incurred from the funds daily operations. The table below is provided to highlight ongoing cost only. If transaction costs were included your cost would have been higher.
Actual Expenses
The table below is useful in estimating actual expenses paid during the six-month period ended April 30, 2018. It uses each Fund’s actual return and expense ratio for the period (181/365 days) to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000. To estimate the actual expense that you paid over the period, divide your beginning account value by 1,000 and multiply the quotient by the number in the Expenses Paid During the Period column.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Value
November 1, 2017 | | Value
April 30, 2018 | | 6-Month
Return | | Expense
Ratio | | Expenses
Paid |
Cash Reserves Money Market | | | | $1,000.00 | | | | | $1,005.60 | | | | | 0.56 | % | | | | 0.25 | % | | | | $1.24 | |
Limited Maturity | | | | 1,000.00 | | | | | 1,008.20 | | | | | 0.82 | % | | | | 0.25 | % | | | | 1.24 | |
Low Duration | | | | 1,000.00 | | | | | 998.00 | | | | | (0.20 | )% | | | | 0.43 | % | | | | 2.13 | |
U.S. Government Investor Class | | | | 1,000.00 | | | | | 988.40 | | | | | (1.16 | )% | | | | 0.40 | % | | | | 1.97 | |
GNMA Investor Class | | | | 1,000.00 | | | | | 977.60 | | | | | (2.24 | )% | | | | 0.50 | % | | | | 2.45 | |
Core Bond Adviser Class | | | | 1,000.00 | | | | | 984.40 | | | | | (1.56 | )% | | | | 0.78 | % | | | | 3.84 | |
Core Bond Investor Class | | | | 1,000.00 | | | | | 985.60 | | | | | (1.44 | )% | | | | 0.53 | % | | | | 2.61 | |
Core Bond SI Class | | | | 1,000.00 | | | | | 950.50 | | | | | (4.95 | )% | | | | 0.52 | % | | | | 2.51 | |
Corporate Bond | | | | 1,000.00 | | | | | 980.20 | | | | | (1.98 | )% | | | | 0.65 | % | | | | 3.19 | |
Strategic Income Investor Class | | | | 1,000.00 | | | | | 994.89 | | | | | (0.61 | )% | | | | 0.73 | % | | | | 3.61 | |
Strategic Income SI Class | | | | 1,000.00 | | | | | 996.39 | | | | | (0.56 | )% | | | | 0.84 | % | | | | 4.16 | |
Absolute Return Bond Investor Class | | | | 1,000.00 | | | | | 1,006.40 | | | | | 0.64 | % | | | | 0.70 | % | | | | 3.48 | |
Absolute Return Bond SI Class | | | | 1,000.00 | | | | | 1,008.20 | | | | | 0.82 | % | | | | 0.55 | % | | | | 2.74 | |
Floating Rate Investor Class | | | | 1,000.00 | | | | | 1,016.20 | | | | | 1.62 | % | | | | 0.75 | % | | | | 3.75 | |
Floating Rate SI Class | | | | 1,000.00 | | | | | 1,016.60 | | | | | 1.66 | % | | | | 0.65 | % | | | | 3.25 | |
High Income Investor Class | | | | 1,000.00 | | | | | 994.20 | | | | | (0.58 | )% | | | | 0.63 | % | | | | 3.12 | |
California Municipal Income | | | | 1,000.00 | | | | | 992.80 | | | | | (0.72 | )% | | | | 0.53 | % | | | | 2.62 | |
Global Low Duration | | | | 1,000.00 | | | | | 998.50 | | | | | (0.15 | )% | | | | 0.53 | % | | | | 2.63 | |
Global Fixed Income | | | | 1,000.00 | | | | | 998.90 | | | | | (0.11 | )% | | | | 0.67 | % | | | | 3.32 | |
Emerging Markets Bond Adviser Class | | | | 1,000.00 | | | | | 982.80 | | | | | (1.72 | )% | | | | 0.98 | % | | | | 4.82 | |
Emerging Markets Bond Investor Class | | | | 1,000.00 | | | | | 983.90 | | | | | (1.61 | )% | | | | 0.74 | % | | | | 3.64 | |
Emerging Markets Bond SI Class | | | | 1,000.00 | | | | | 984.10 | | | | | (1.59 | )% | | | | 0.74 | % | | | | 3.64 | |
Emerging Markets Local Bond Investor Class | | | | 1,000.00 | | | | | 1,050.60 | | | | | 5.06 | % | | | | 0.86 | % | | | | 4.37 | |
Emerging Markets Corporate Bond Investor Class | | | | 1,000.00 | | | | | 990.30 | | | | | (0.97 | )% | | | | 0.95 | % | | | | 4.69 | |
Emerging Markets Corporate Bond SI Class | | | | 1,000.00 | | | | | 990.80 | | | | | (0.92 | )% | | | | 0.85 | % | | | | 4.20 | |
Equity Income Adviser Class | | | | 1,000.00 | | | | | 1,034.70 | | | | | 3.47 | % | | | | 0.99 | % | | | | 4.99 | |
Equity Income Investor Class | | | | 1,000.00 | | | | | 1,035.60 | | | | | 3.56 | % | | | | 0.74 | % | | | | 3.73 | |
Equity Income SI Class | | | | 1,000.00 | | | | | 1,036.10 | | | | | 3.61 | % | | | | 0.65 | % | | | | 3.28 | |
Semi-Annual Report 153
Hypothetical Expenses
The table below is provided so that you can compare a Fund’s ongoing expenses with those of another fund. It uses a hypothetical gross annual return of 5%, which is not the Fund’s actual return, and each Fund’s actual expense ratio (181/365 days) for the six-month period ended April 30, 2018 to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Value
November 1, 2017 | | Value
April 30, 2018 | | 6-Month
Return | | Expense
Ratio | | Expenses
Paid |
Cash Reserves Money Market | | | | $1,000.00 | | | | | $1,023.55 | | | | | 2.36 | % | | | | 0.25 | % | | | | $1.25 | |
Limited Maturity | | | | 1,000.00 | | | | | 1,023.55 | | | | | 2.36 | % | | | | 0.25 | % | | | | 1.25 | |
Low Duration | | | | 1,000.00 | | | | | 1,022.66 | | | | | 2.27 | % | | | | 0.43 | % | | | | 2.16 | |
U.S. Government Investor Class | | | | 1,000.00 | | | | | 1,022.81 | | | | | 2.28 | % | | | | 0.40 | % | | | | 2.01 | |
GNMA Investor Class | | | | 1,000.00 | | | | | 1,022.32 | | | | | 2.23 | % | | | | 0.50 | % | | | | 2.51 | |
Core Bond Adviser Class | | | | 1,000.00 | | | | | 1,020.93 | | | | | 2.09 | % | | | | 0.78 | % | | | | 3.91 | |
Core Bond Investor Class | | | | 1,000.00 | | | | | 1,022.17 | | | | | 2.22 | % | | | | 0.53 | % | | | | 2.66 | |
Core Bond SI Class | | | | 1,000.00 | | | | | 1,022.22 | | | | | 2.22 | % | | | | 0.52 | % | | | | 2.61 | |
Corporate Bond | | | | 1,000.00 | | | | | 1,021.57 | | | | | 2.16 | % | | | | 0.65 | % | | | | 3.26 | |
Strategic Income Investor Class | | | | 1,000.00 | | | | | 1,021.17 | | | | | 2.12 | % | | | | 0.73 | % | | | | 3.66 | |
Strategic Income SI Class | | | | 1,000.00 | | | | | 1,020.63 | | | | | 2.06 | % | | | | 0.84 | % | | | | 4.21 | |
Absolute Return Bond Investor Class | | | | 1,000.00 | | | | | 1,021.32 | | | | | 2.13 | % | | | | 0.70 | % | | | | 3.51 | |
Absolute Return Bond SI Class | | | | 1,000.00 | | | | | 1,022.07 | | | | | 2.21 | % | | | | 0.55 | % | | | | 2.76 | |
Floating Rate Bond Investor Class | | | | 1,000.00 | | | | | 1,021.08 | | | | | 2.11 | % | | | | 0.75 | % | | | | 3.76 | |
Floating Rate Bond SI Class | | | | 1,000.00 | | | | | 1,021.57 | | | | | 2.16 | % | | | | 0.65 | % | | | | 3.26 | |
High Income Investor Class | | | | 1,000.00 | | | | | 1,021.67 | | | | | 2.17 | % | | | | 0.63 | % | | | | 3.16 | |
California Municipal Income | | | | 1,000.00 | | | | | 1,022.17 | | | | | 2.22 | % | | | | 0.53 | % | | | | 2.66 | |
Global Low Duration | | | | 1,000.00 | | | | | 1,022.17 | | | | | 2.22 | % | | | | 0.53 | % | | | | 2.66 | |
Global Fixed Income | | | | 1,000.00 | | | | | 1,021.47 | | | | | 2.15 | % | | | | 0.67 | % | | | | 3.36 | |
Emerging Markets Bond Adviser Class | | | | 1,000.00 | | | | | 1,019.93 | | | | | 1.99 | % | | | | 0.98 | % | | | | 4.91 | |
Emerging Markets Bond Investor Class | | | | 1,000.00 | | | | | 1,021.12 | | | | | 2.11 | % | | | | 0.74 | % | | | | 3.71 | |
Emerging Markets Bond SI Class | | | | 1,000.00 | | | | | 1,021.12 | | | | | 2.11 | % | | | | 0.74 | % | | | | 3.71 | |
Emerging Markets Local Bond Investor Class | | | | 1,000.00 | | | | | 1,020.53 | | | | | 2.05 | % | | | | 0.86 | % | | | | 4.31 | |
Emerging Markets Corporate Bond Investor Class | | | | 1,000.00 | | | | | 1,020.08 | | | | | 2.01 | % | | | | 0.95 | % | | | | 4.76 | |
Emerging Markets Corporate Bond SI Class | | | | 1,000.00 | | | | | 1,020.58 | | | | | 2.06 | % | | | | 0.85 | % | | | | 4.26 | |
Equity Income Adviser Class | | | | 1,000.00 | | | | | 1,019.89 | | | | | 1.99 | % | | | | 0.99 | % | | | | 4.96 | |
Equity Income Investor Class | | | | 1,000.00 | | | | | 1,021.12 | | | | | 2.11 | % | | | | 0.74 | % | | | | 3.71 | |
Equity Income SI Class | | | | 1,000.00 | | | | | 1,022.59 | | | | | 2.16 | % | | | | 0.65 | % | | | | 3.26 | |
154 Payden Mutual Funds
| | | | | | | | | | | | | | | | |
| Name & Address | | Age | | Position with Fund | | Year
Elected | | | Number of
Portfolios | | | Principal
Occupation(s) | | Other
Directorships Held |
333 S. Grand Avenue | | | | | | | | | | | | | | | | |
Los Angeles, CA 90071 | | | | | | | | | | | | | | | | |
Trustees (1) | | | | | | | | | | | | | | | | |
| W. D. Hilton, Jr. | | 71 | | Independent Trustee | | | 1993 | | | | 19 | | | President and CEO, | | |
| | | | | | | | | | | | | | Trust Service, Inc.; | | |
| | | | | | | | | | | | | | Executive Director, | | |
| | | | | | | | | | | | | | NGC Bodily Injury | | |
| | | | | | | | | | | | | | Trust; and Managing | | |
| | | | | | | | | | | | | | Trustee, | | |
| | | | | | | | | | | | | | Fuller-Austin Trust | | |
| Thomas V. | | 73 | | Independent Trustee | | | 1993 | | | | 19 | | | Chairman, | | |
| McKernan, Jr. | | | | | | | | | | | | | | Automobile Club of | | |
| | | | | | | | | | | | | | Southern California, | | |
| | | | | | | | | | | | | | Director, First | | |
| | | | | | | | | | | | | | American Financial | | |
| Rosemarie T. Nassif | | 76 | | Independent Trustee | | | 2008 | | | | 19 | | | President Emerita, | | Executive Director, |
| | | | | | | | | | | | | | Holy Names | | Center for Catholic |
| | | | | | | | | | | | | | University; Program | | Education, Loyola |
| | | | | | | | | | | | | | Director, Conrad | | Marymount |
| | | | | | | | | | | | | | Hilton Foundation | | University |
| Andrew J. Policano | | 68 | | Independent Trustee | | | 2008 | | | | 19 | | | Former Dean, The | | Director, Rockwell |
| | | | | | | | | | | | | | Paul Merage School | | Collins |
| | | | | | | | | | | | | | of Business, | | |
| | | | | | | | | | | | | | University of | | |
| | | | | | | | | | | | | | California, Irvine | | |
| Dennis C. Poulsen | | 75 | | Independent Trustee | | | 1992 | | | | 19 | | | Chairman of the | | |
| | | | | | | | | | | | | | Advisory Board, Rose | | |
| | | | | | | | | | | | | | Hills Company | | |
| Stender E. Sweeney | | 79 | | Independent Trustee | | | 1992 | | | | 19 | | | Private Investor | | Director, Avis |
| | | | | | | | | | | | | | | | Budget Group, Inc. |
| Joan A. Payden | | 86 | | Interested Trustee | | | 1992 | | | | 19 | | | President, CEO and | | |
| | | | | | | | | | | | | | Director, Payden & | | |
| | | | | | | | | | | | | | Rygel | | |
| Michael E. Salvay | | 56 | | Interested Trustee | | | 2009 | | | | 19 | | | Managing Principal, | | |
| | | | | | | | | | | | | | Payden & Rygel | | |
| James P. Sarni | | 57 | | Interested Trustee | | | 2017 | | | | 19 | | | Managing Principal | | |
| | | | | | | | | | | | | | and Director, Payden | | |
| | | | | | | | | | | | | | & Rygel | | |
| Officers (2) | | | | | | | | | | | | | | | | |
| Joan A. Payden | | | | Chairman and CEO | | | 1992 | | | | | | | President, CEO and | | |
| | | | | | | | | | | | | | Director, Payden & | | |
| | | | | | | | | | | | | | Rygel | | |
| Brian W. Matthews | | | | Vice President and | | | 2003 | | | | | | | Managing Principal, | | |
| | | | CFO | | | | | | | | | | CFO and Director, | | |
| | | | | | | | | | | | | | Payden & Rygel | | |
| Yot Chattrabhuti | | | | Vice President | | | 1997 | | | | | | | Principal, Payden & | | |
| | | | | | | | | | | | | | Rygel | | |
| Bradley F. Hersh | | | | Vice President and | | | 1998 | | | | | | | Principal and | | |
| | | | Treasurer | | | | | | | | | | Treasurer, Payden & | | |
| | | | | | | | | | | | | | Rygel | | |
| Edward S. Garlock | | | | Secretary | | | 1997 | | | | | | | Managing Principal, | | |
| | | | | | | | | | | | | | General Counsel and | | |
| | | | | | | | | | | | | | Director, Payden & | | |
| | | | | | | | | | | | | | Rygel | | |
| Sandi Brents | | | | Vice President and | | | 2016 | | | | | | | Vice President and | | |
| | | | CCO | | | | | | | | | | Senior Compliance | | |
| | | | | | | | | | | | | | Officer, Payden & | | |
| | | | | | | | | | | | | | Rygel | | |
Additional information about the Trustees is included in the SAI and is available without charge, upon request at payden.com or 1800 5 PAYDEN.
| (1) | Trustees do not have a set term of office, but serve until their resignation, death or removal. |
| (2) | Officers are elected by, and serve at the pleasure of, The Board of Trustees. |
Semi-Annual Report 155
| | | | |
| | IMPORTANT INFORMATION: The information contained in this report is intended for shareholders of the Payden Mutual Funds only. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus which provides further details. The performance numbers presented in this report are derived from historical market data. There is no guarantee of future performance nor are Fund shares guaranteed. Investment return and principal value of an investment in a Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund shares are sold through Payden & Rygel Distributors, member FINRA. The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov or the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800 SEC-0330. To view the Fund’s proxy voting guidelines and proxy voting record, visit the SEC’s web site at http://www.sec.gov. You may also call 800 572-9336 to request a free copy of the proxy voting guidelines. | | |
» U.S. BOND FUNDS
Payden Cash Reserves Money Market Fund (PBHXX)
Payden Limited Maturity Fund (PYLMX)
Payden Low Duration Fund (PYSBX)
Payden U.S. Government Fund — Investor Class (PYUSX)
Payden GNMA Fund — Investor Class (PYGNX)
Payden Core Bond Fund — Investor Class (PYCBX)
Payden Core Bond Fund — Adviser Class (PYCWX)
Payden Core Bond Fund — SI Class (PYCSX)
Payden Corporate Bond Fund (PYACX)
Payden Strategic Income Fund — SI Class (PYSIX)
Payden Strategic Income Fund — Investor Class (PYSGX)
Payden Absolute Return Bond Fund — SI Class (PYAIX)
Payden Absolute Return Bond Fund — Investor Class (PYARX)
Payden Floating Rate Fund — SI Class (PYFIX)
Payden Floating Rate Fund — Investor Class (PYFRX)
Payden High Income Fund — Investor Class (PYHRX)
» TAX EXEMPT BOND FUND
Payden California Municipal Income Fund (PYCRX)
» GLOBAL BOND FUNDS
Payden Global Low Duration Fund (PYGSX)
Payden Global Fixed Income Fund (PYGFX)
Payden Emerging Markets Bond Fund — SI Class (PYEIX)
Payden Emerging Markets Bond Fund — Investor Class (PYEMX)
Payden Emerging Markets Bond Fund — Adviser Class (PYEWX)
Payden Emerging Markets Local Bond Fund — Investor Class (PYELX)
Payden Emerging Markets Corporate Bond Fund — SI Class (PYCIX)
Payden Emerging Markets Corporate Bond Fund — Investor Class (PYCEX)
» EQUITY FUND
Payden Equity Income Fund — SI Class (PYVSX)
Payden Equity Income Fund — Investor Class (PYVLX)
Payden Equity Income Fund — Adviser Class (PYVAX)
PAYDEN MUTUAL FUNDS
333 South Grand Avenue, Los Angeles, California 90071
800 5-PAYDEN 800 572-9336 payden.com
Semi-Annual Report
For the six months ended April 30, 2018, the Payden/Kravitz Cash Balance Plan Fund, SI Class (PKBIX) returned 0.47%, the Adviser Class (PKCBX) returned 0.36%, the Retirement Class (PKCRX) returned 0.22% and the Institutional Class (PKCIX) returned 0.62%. The Fund’s benchmark, the 30-year US Treasury Bond Yield from December 31st, returned 1.42%. Although market conditions were accentuated by sustained positive economic support, volatility increased across capital markets. With this backdrop, global interest rates were markedly higher with 5-year government bond yields rising in the US by 0.78%, in the UK by 0.34%, in Europe by 0.29% and in Australia by 0.25%. The corresponding tone in risk assets proved positive at first, as equity prices reached new heights and corporate credit risk premiums reached new post-crisis lows. However, sentiment quickly turned as the second half of the period commenced over concerns regarding a pick-up in inflationary pressures and fears of trade wars. Volatility returned to markets, causing equity prices to decline from their highs, relinquishing a majority of their gains, while corporate bond risk premiums increased in sympathy. With the combination of higher government bond yields, wider credit risk premiums and lower equity prices, the Fund was unable to match the 30-year US Treasury Yield return target. The Fund invests in futures, options and forward currency contracts, for both interest rate and credit risk hedging and investment purposes adding 0.20% to performance during the period.
1 Payden Mutual Funds
(THIS PAGE INTENTIONALLY LEFT BLANK)
| | | | | | | | | | |
The Fund seeks a return equal to the yield on the 30-year U.S. Treasury Bond by investing in debt instruments and income producing securities of U.S. and foreign issuers with no limit on maturity. | | Portfolio Composition - percent of investments | | | |
| | | | |
| | Mortgage Backed | | | 31% | | |
| | Asset Backed | | | 24% | | |
| | Corporate | | | 18% | | |
| | Stocks | | | 10% | | |
| | Foreign Government | | | 10% | | |
| | Other | | | 7% | | |
| | | | | | | | | | | |
Schedule of Investments - April 30, 2018 (Unaudited)
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
Asset Backed (24%) | | | | |
1,555,000 | | ALM XVI Ltd./ALM XVI LLC 144A, (3 mo.
LIBOR USD + 1.050%) 3.40%, 7/15/27 (a)(b) | | $ | 1,557 | |
1,050,000 | | Blackrock European CLO III DAC 144A, (3 mo.
EURIBOR + 0.850%)
0.85%, 4/15/30 EUR (a)(b)(c) | | | 1,271 | |
1,000,000 | | Blackrock European CLO IV DAC 144A, (3 mo.
EURIBOR + 0.850%)
0.85%, 7/15/30 EUR (a)(b)(c) | | | 1,212 | |
250,000 | | Blackrock European CLO IV DAC 144A, (3 mo.
EURIBOR + 1.300%)
1.30%, 7/15/30 EUR (a)(b)(c) | | | 304 | |
350,000 | | Blackrock European CLO IV DAC 144A, (3 mo.
EURIBOR + 2.650%)
2.65%, 7/15/30 EUR (a)(b)(c) | | | 425 | |
850,000 | | BlueMountain CLO 2014-2 Ltd. 144A, (3 mo. LIBOR USD + 0.930%) 3.29%, 7/20/26 (a)(b) | | | 851 | |
1,100,000 | | BlueMountain CLO 2014-3 Ltd. 144A, (3 mo.
LIBOR USD + 3.200%) 5.55%, 10/15/26 (a)(b) | | | 1,103 | |
1,050,000 | | BlueMountain CLO 2014-4 Ltd. 144A, (3 mo.
LIBOR USD + 1.350%) 3.33%, 11/30/26 (a)(b) | | | 1,051 | |
850,000 | | Carlyle Global Market Strategies CLO 2015-2 Ltd. 144A, (3 mo. LIBOR USD + 1.470%)
3.84%, 4/27/27 (a)(b) | | | 850 | |
1,000,000 | | Carlyle Global Market Strategies Euro CLO | | | | |
| | 2015-2 DAC 144A, (3 mo. EURIBOR | | | | |
| | + 0.730%) 0.73%, 9/21/29 EUR (a)(b)(c) | | | 1,209 | |
500,000 | | Carlyle Global Market Strategies Euro CLO | | | | |
| | 2015-2 DAC 144A, (3 mo. EURIBOR | | | | |
| | + 2.700%) 2.70%, 9/21/29 EUR (a)(b)(c) | | | 605 | |
1,560,000 | | Cedar Funding II CLO Ltd. 144A, (3 mo. LIBOR
USD + 1.230%) 3.29%, 6/09/30 (a)(b) | | | 1,568 | |
564,301 | | Cent CLO 18 Ltd. 144A, (3 mo. LIBOR USD
+ 1.120%) 3.48%, 7/23/25 (a)(b) | | | 566 | |
1,750,000 | | Cent CLO LP 144A, (3 mo. LIBOR USD
+ 3.450%) 5.81%, 7/23/25 (a)(b) | | | 1,755 | |
920,000 | | CIFC Funding 2014-III Ltd. 144A, (3 mo.
LIBOR USD + 0.950%) 3.31%, 7/22/26 (a)(b) | | | 921 | |
920,000 | | CIFC Funding 2014-V Ltd. 144A, (3 mo. LIBOR
USD + 1.400%) 3.75%, 1/17/27 (a)(b) | | | 921 | |
1,598,420 | | Colony Starwood Homes 2016-2 Trust 144A, (1 mo. LIBOR USD + 1.250%) 3.17%, 12/17/33 (a)(b) | | | 1,612 | |
2,050,717 | | Countrywide Asset-Backed Certificates,
4.76%, 10/25/46 (d) | | | 2,002 | |
2,233,125 | | Domino’s Pizza Master Issuer LLC 144A,
3.08%, 7/25/47 (b) | | | 2,169 | |
| | | | | | |
| | | | | | |
Principal or Shares | | Security Description | | Value
(000) | |
| | |
2,233,125 | | Domino’s Pizza Master Issuer LLC 144A, (3 mo.
LIBOR USD + 1.250%) 3.61%, 7/25/47 (a)(b) | | $ | 2,245 | |
1,970,000 | | Drive Auto Receivables Trust 2016-B 144A,
4.53%, 8/15/23 (b) | | | 2,010 | |
1,300,000 | | Dryden 39 Euro CLO 2015 BV 144A, (3 mo.
EURIBOR + 0.870%)
0.87%, 10/15/31 EUR (a)(b)(c) | | | 1,583 | |
1,730,000 | | First Investors Auto Owner Trust 2016-1 144A,
4.70%, 4/18/22 (b) | | | 1,748 | |
200,940 | | GE-WMC Asset-Backed Pass-Through | | | | |
| | Certificates Series 2005-2, (1 mo. LIBOR USD | | | | |
| | + 0.250%) 2.15%, 12/25/35 (a) | | | 203 | |
821,152 | | Invitation Homes 2015-SFR2 Trust 144A, (1 | | | | |
| | mo. LIBOR USD + 1.350%) | | | | |
| | 3.25%, 6/17/32 (a)(b) | | | 823 | |
1,500,000 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR USD
+ 0.950%) 3.31%, 4/21/25 (a)(b) | | | 1,501 | |
350,000 | | JFIN CLO 2014 Ltd. 144A, (3 mo. LIBOR
USD + 1.450%) 3.81%, 4/21/25 (a)(b) | | | 350 | |
167,329 | | L.A. Arena Funding LLC 144A,
7.66%, 12/15/26 (b) | | | 176 | |
1,460,000 | | Madison Park Funding XIV Ltd. 144A, (3 mo.
LIBOR USD + 1.120%) 3.48%, 7/20/26 (a)(b) | | | 1,462 | |
1,100,000 | | Magnetite IX Ltd. 144A, (3 mo. LIBOR USD
+ 1.500%) 3.86%, 7/25/26 (a)(b) | | | 1,101 | |
1,750,000 | | Magnetite VIII Ltd. 144A, (3 mo. LIBOR USD
+ 0.980%) 0.00%, 4/15/31 (a)(b) | | | 1,750 | |
600,000 | | Magnetite VIII Ltd. 144A, (3 mo. LIBOR USD
+ 2.900%) 0.00%, 4/15/31 (a)(b) | | | 600 | |
530,000 | | Octagon Investment Partners 24 Ltd. 144A, (3 mo. LIBOR USD + 1.350%) 3.24%, 5/21/27 (a)(b) | | | 530 | |
750,000 | | Octagon Investment Partners 25 Ltd. 144A, (3 mo. LIBOR USD + 0.800%) 3.16%, 10/20/26 (a)(b) | | | 750 | |
1,450,000 | | Prestige Auto Receivables Trust 2016-1 144A,
5.15%, 11/15/21 (b) | | | 1,469 | |
1,000,000 | | Shackleton 2015-VIII CLO Ltd. 144A, (3 mo.
LIBOR USD + 0.920%) 3.28%, 10/20/27 (a)(b) | | | 1,001 | |
1,200,000 | | Springleaf Funding Trust 2017-A 144A,
2.68%, 7/15/30 (b) | | | 1,179 | |
1,836,750 | | Taco Bell Funding LLC 144A,
3.83%, 5/25/46 (b) | | | 1,848 | |
1,070,000 | | Thacher Park CLO Ltd. 144A, (3 mo. LIBOR
USD + 1.160%) 3.52%, 10/20/26 (a)(b) | | | 1,071 | |
3 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | | | | | |
400,000 | | THL Credit Wind River 2015-2 CLO Ltd. 144A, (3 mo. LIBOR USD + 0.870%)
| | | | |
| | 3.22%, 10/15/27 (a)(b) | | $ | 400 | |
300,000 | | THL Credit Wind River 2015-2 CLO Ltd. 144A, (3 mo. LIBOR USD + 2.600%)
4.95%, 10/15/27 (a)(b) | | | 296 | |
875,000 | | Tryon Park CLO Ltd. 144A, (3 mo. LIBOR USD
+ 2.700%) 5.05%, 4/15/29 (a)(b) | | | 875 | |
900,000 | | Venture XVII CLO Ltd. 144A, (3 mo. LIBOR
USD + 0.880%) 3.23%, 4/15/27 (a)(b) | | | 900 | |
2,000,000 | | Vibrant CLO VII Ltd. 144A, (3 mo. LIBOR USD
+ 1.270%) 3.63%, 9/15/30 (a)(b) | | | 2,012 | |
188,400 | | VOLT XXV LLC 144A, 3.50%, 6/26/45 (b) | | | 189 | |
200,789 | | VOLT XXXVIII LLC 144A, 3.88%, 9/25/45 (b) | | | 203 | |
1,950,000 | | Westlake Automobile Receivables Trust 2016-1 144A, 4.55%, 9/15/21 (b) | | | 1,975 | |
450,000 | | Westlake Automobile Receivables Trust 2016-2 144A, 4.10%, 6/15/21 (b) | | | 455 | |
Total Asset Backed (Cost - $52,264) | | | 52,657 | |
| |
Bank Loans(e) (4%) | | | | |
417,900 | | Air Canada Term Loan B 1L, (LIBOR USD
1-Month + 2.000%) 3.98%, 10/06/23 | | | 421 | |
313,192 | | Allison Transmission Inc. Term Loan B3 1L,
(LIBOR USD 1-Month + 1.750%) 3.65%, 9/23/22 | | | 316 | |
997,500 | | Aramark Services Inc. Term Loan B1 1L,
(LIBOR USD 1-Month + 2.000%) 3.90%, 3/11/25 | | | 1,006 | |
724,889 | | Berry Global Inc. Term Loan P 1L,
(LIBOR USD 1-Month + 2.000%) 3.90%, 1/06/21 | | | 730 | |
835,650 | | Burlington Coat Factory Warehouse Corp.
Term Loan B5 1L, (LIBOR USD 1-Month + 2.500%) 4.38%, 11/17/24 | | | 841 | |
1,296,750 | | Charter Communications Operating LLC Term
Loan B 1L, (LIBOR USD 1-Month + 2.000%)
3.91%, 4/30/25 | | | 1,304 | |
1,144,251 | | Digicel International Finance Term Loan B 1L,
(LIBOR USD 3-Month + 3.250%) 5.61%, 5/10/24 | | | 1,145 | |
972,589 | | Golden Nugget Inc. Term Loan B 1L,
(LIBOR USD 1-Month + 2.750%) 4.65%, 10/04/23 | | | 982 | |
662,542 | | Michaels Stores Inc. Term Loan B1 1L,
(LIBOR USD 1-Month + 2.750%) 4.65%, 1/28/23 | | | 667 | |
630,834 | | Sabre GLBL Inc. Term Loan B 1L,
(LIBOR USD 1-Month + 2.000%) 3.90%, 2/22/24 | | | 634 | |
1,000,000 | | Sinclair Television Group Inc. Term Loan B 1L,
(LIBOR USD 3-Month + 2.500%) 2.50%, 12/12/24 | | | 1,006 | |
Total Bank Loans (Cost - $9,001) | | | 9,052 | |
| |
Corporate Bond (19%) | | | | |
550,000 | | ABN AMRO Bank NV 144A,
2.65%, 1/19/21 (b) | | | 541 | |
750,000 | | ADCB Finance Cayman Ltd. 144A,
4.00%, 3/29/23 (b) | | | 741 | |
690,000 | | Aircastle Ltd., 4.63%, 12/15/18 | | | 697 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | | | | | |
750,000 | | Alimentation Couche-Tard Inc. 144A, 2.70%, 7/26/22 (b) | | $ | 721 | |
320,000 | | Allergan Funding SCS, 3.00%, 3/12/20 | | | 318 | |
780,000 | | Ally Financial Inc., 4.25%, 4/15/21 | | | 786 | |
10 | | Ambac Assurance Corp. 144A,
5.10%, 6/07/20 (b) | | | — | |
450,000 | | Anheuser-Busch InBev Worldwide Inc.,
3.50%, 1/12/24 | | | 448 | |
750,000 | | Ares Capital Corp., 3.50%, 2/10/23 | | | 718 | |
760,000 | | AT&T Inc., 3.20%, 3/01/22 | | | 752 | |
730,000 | | Athene Global Funding 144A,
4.00%, 1/25/22 (b) | | | 736 | |
350,000 | | Banco del Estado de Chile 144A,
2.67%, 1/08/21 (b) | | | 342 | |
590,000 | | Bank of America Corp., (3 mo. LIBOR USD
+ 1.160%) 3.12%, 1/20/23 (a) | | | 581 | |
300,000 | | Bank of Scotland PLC, 9.38%, 5/15/21 GBP (c) | | | 499 | |
840,000 | | Becton Dickinson and Co., (3 mo. LIBOR USD
+ 0.875%) 2.94%, 12/29/20 (a) | | | 842 | |
550,000 | | BNP Paribas SA 144A, 2.95%, 5/23/22 (b) | | | 535 | |
700,000 | | BPCE SA 144A, (3 mo. LIBOR USD + 1.220%)
3.12%, 5/22/22 (a)(b) | | | 712 | |
326,000 | | Campbell Soup Co., 3.30%, 3/15/21 | | | 327 | |
500,000 | | Cenovus Energy Inc., 5.70%, 10/15/19 | | | 515 | |
170,000 | | Cheniere Corpus Christi Holdings LLC,
5.88%, 3/31/25 | | | 176 | |
1,200,000 | | Citigroup Inc., 2.90%, 12/08/21 | | | 1,178 | |
750,000 | | CSC Holdings LLC, 8.63%, 2/15/19 | | | 782 | |
780,000 | | CVS Health Corp., 3.13%, 3/09/20 | | | 780 | |
850,000 | | CVS Health Corp., 3.70%, 3/09/23 | | | 846 | |
800,000 | | Delek & Avner Tamar Bond Ltd. 144A,
3.84%, 12/30/18 (b) | | | 802 | |
1,010,000 | | Dell International LLC/EMC Corp. 144A,
4.42%, 6/15/21 (b) | | | 1,030 | |
450,000 | | Dollar Tree Inc., 3.70%, 5/15/23 | | | 447 | |
1,270,000 | | Dominion Energy Inc., 2.50%, 12/01/19 | | | 1,255 | |
250,000 | | Equinix Inc., 2.88%, 3/15/24 EUR (c) | | | 302 | |
740,000 | | First Data Corp. 144A, 5.38%, 8/15/23 (b) | | | 757 | |
450,000 | | Five Corners Funding Trust 144A,
4.42%, 11/15/23 (b) | | | 465 | |
600,000 | | Ford Motor Credit Co. LLC, 2.98%, 8/03/22 | | | 577 | |
800,000 | | Ford Motor Credit Co. LLC, (3 mo. LIBOR USD
+ 1.235%) 3.59%, 2/15/23 (a) | | | 800 | |
840,000 | | General Motors Financial Co. Inc., (3 mo. LIBOR
USD + 1.310%) 3.61%, 6/30/22 (a) | | | 857 | |
1,145,000 | | Goldman Sachs Group Inc., 2.60%, 4/23/20 | | | 1,135 | |
1,200,000 | | Goldman Sachs Group Inc., (3 mo. LIBOR USD
+ 1.050%) 3.07%, 6/05/23 (a) | | | 1,214 | |
530,000 | | Hyundai Capital America 144A,
2.40%, 10/30/18 (b) | | | 528 | |
435,000 | | International Lease Finance Corp.,
4.63%, 4/15/21 | | | 446 | |
360,000 | | International Lease Finance Corp.,
5.88%, 4/01/19 | | | 370 | |
660,000 | | KeyCorp, 2.90%, 9/15/20 | | | 656 | |
565,000 | | Kinder Morgan Inc./DE 144A,
5.00%, 2/15/21 (b) | | | 586 | |
| | | | | | |
Semi-Annual Report 4
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
600,000 | | Lloyds Banking Group PLC, (3 mo. LIBOR USD
+ 0.810%) 2.91%, 11/07/23 (a) | | $ | 578 | |
680,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR
USD + 1.023%) 3.19%, 11/28/23 (a)(b) | | | 653 | |
420,000 | | Macquarie Group Ltd. 144A, (3 mo. LIBOR
USD + 1.350%) 3.64%, 3/27/24 (a)(b) | | | 428 | |
1,120,000 | | Mitsubishi UFJ Financial Group Inc.,
3.00%, 2/22/22 | | | 1,102 | |
650,000 | | Morgan Stanley, (3 mo. LIBOR USD + 0.930%) 3.29%, 7/22/22 (a) | | | 658 | |
800,000 | | National Savings Bank 144A,
8.88%, 9/18/18 (b) | | | 812 | |
1,100,000 | | Nordea Bank AB 144A, 4.88%, 5/13/21 (b) | | | 1,138 | |
455,000 | | ONEOK Inc., 4.25%, 2/01/22 | | | 464 | |
184,000 | | Petrobras Global Finance BV, 8.38%, 5/23/21 | | | 208 | |
210,000 | | Sabal Trail Transmission LLC 144A,
4.83%, 5/01/48 (b) | | | 212 | |
550,000 | | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24 | | | 591 | |
890,000 | | Seagate HDD Cayman, 3.75%, 11/15/18 | | | 893 | |
730,000 | | Sinopec Group Overseas Development 2017 Ltd.
144A, 2.25%, 9/13/20 (b) | | | 711 | |
880,000 | | Smithfield Foods Inc. 144A, 3.35%, 2/01/22 (b) | | | 853 | |
367,500 | | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 144A,
3.36%, 9/20/21 (b) | | | 367 | |
150,000 | | Teva Pharmaceutical Finance IV LLC,
2.25%, 3/18/20 | | | 143 | |
200,000 | | Teva Pharmaceutical Finance Netherlands II BV
144A, 4.50%, 3/01/25 EUR (b)(c) | | | 246 | |
150,000 | | Teva Pharmaceutical Finance Netherlands III BV,
1.70%, 7/19/19 | | | 146 | |
920,000 | | Teva Pharmaceutical Finance Netherlands III BV,
2.20%, 7/21/21 | | | 831 | |
1,000,000 | | UBS Group Funding Switzerland AG 144A, (3 mo. LIBOR USD + 0.950%)
2.79%, 8/15/23 (a)(b) | | | 1,008 | |
260,000 | | Universal Health Services Inc. 144A,
4.75%, 8/01/22 (b) | | | 263 | |
960,000 | | WEA Finance LLC/Westfield UK & Europe
Finance PLC 144A, 2.70%, 9/17/19 (b) | | | 954 | |
Total Corporate Bond (Cost - $40,466) | | | 40,059 | |
| |
Foreign Government (10%) | | | | |
1,860,000 | | Argentine Republic Government International
Bond, 3.88%, 1/15/22 EUR (c) | | | 2,299 | |
500,000 | | Banco Nacional de Desenvolvimento Economico
e Social 144A, 4.75%, 5/09/24 (b) | | | 494 | |
900,000 | | Croatia Government International Bond 144A,
6.75%, 11/05/19 (b) | | | 946 | |
1,500,000 | | Dominican Republic International Bond 144A,
7.50%, 5/06/21 (b) | | | 1,588 | |
500,000 | | Egypt Government International Bond 144A,
5.58%, 2/21/23 (b) | | | 503 | |
1,020,000 | | Georgia Government International Bond,
6.88%, 4/12/21 (f) | | | 1,101 | |
1,000,000 | | Guatemala Government Bond 144A,
5.75%, 6/06/22 (b) | | | 1,059 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
| | | | | | |
870,000 | | Honduras Government International Bond 144A,
8.75%, 12/16/20 (b) | | $ | 953 | |
1,990,000 | | Hungary Government International Bond,
6.25%, 1/29/20 | | | 2,092 | |
1,030,000 | | Kenya Government International Bond 144A,
5.88%, 6/24/19 (b) | | | 1,048 | |
1,050,000 | | Nigeria Government International Bond,
5.13%, 7/12/18 (f) | | | 1,052 | |
500,000 | | Republic of Armenia International Bond 144A,
6.00%, 9/30/20 (b) | | | 512 | |
1,100,000 | | Republic of South Africa Government
International Bond, 5.50%, 3/09/20 | | | 1,140 | |
378,000 | | Saudi Government International Bond 144A,
4.00%, 4/17/25 (b) | | | 373 | |
308,000 | | Senegal Government International Bond 144A,
8.75%, 5/13/21 (b) | | | 344 | |
1,420,000 | | Serbia International Bond 144A,
5.88%, 12/03/18 (b) | | | 1,441 | |
300,000 | | Sri Lanka Government International Bond 144A,
5.75%, 4/18/23 (b) | | | 298 | |
860,000 | | Sri Lanka Government International Bond 144A,
6.25%, 10/04/20 (b) | | | 890 | |
350,000 | | Sri Lanka Government International Bond 144A,
6.25%, 7/27/21 (b) | | | 361 | |
1,100,000 | | Turkey Government International Bond,
5.63%, 3/30/21 | | | 1,136 | |
850,000 | | Ukraine Government International Bond,
7.75%, 9/01/19 (f) | | | 880 | |
840,000 | | Vietnam Government International Bond 144A,
6.75%, 1/29/20 (b) | | | 885 | |
Total Foreign Government (Cost - $21,257) | | | 21,395 | |
| |
Mortgage Backed (32%) | | | | |
353,594 | | Alternative Loan Trust 2006-31CB, 6.00%, 11/25/36 | | | 310 | |
184,482 | | Alternative Loan Trust 2006-31CB,
6.00%, 11/25/36 | | | 162 | |
343,994 | | Alternative Loan Trust 2006-J5, 6.50%, 9/25/36 | | | 283 | |
2,417,876 | | Alternative Loan Trust 2007-12T1,
6.00%, 6/25/37 | | | 1,948 | |
239,142 | | Alternative Loan Trust 2007-5CB,
6.00%, 4/25/37 | | | 206 | |
1,612,700 | | American Home Mortgage Assets Trust 2007-2, (1 mo. LIBOR USD + 0.125%)
2.02%, 3/25/47 (a) | | | 1,481 | |
482,849 | | Banc of America Funding 2005-H Trust,
3.53%, 11/20/35 (d) | | | 432 | |
1,100,000 | | Caesars Palace Las Vegas Trust 2017-VICI 144A,
3.83%, 10/15/34 (b) | | | 1,108 | |
529,751 | | Chase Mortgage Finance Corp., 6.00%, 5/25/37 | | | 423 | |
143,603 | | CHL Mortgage Pass-Through Trust 2005-18,
5.50%, 10/25/35 | | | 129 | |
932,749 | | CHL Mortgage Pass-Through Trust 2006-HYB1,
3.38%, 3/20/36 (d) | | | 814 | |
702,909 | | CHL Mortgage Pass-Through Trust 2007-HYB2,
3.46%, 2/25/47 (d) | | | 636 | |
1,180,562 | | Countrywide Alternative Loan Trust,
6.00%, 4/25/37 | | | 1,019 | |
5 Payden Mutual Funds
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | | | | | |
715,478 | | Countrywide Alternative Loan Trust,
6.00%, 4/25/37 | | $ | 618 | |
579,237 | | CSMC Trust 2013-IVR3 144A,
1.55%, 5/25/43 (b)(d) | | | 560 | |
692,285 | | Fannie Mae Connecticut Avenue Securities, (1 mo. LIBOR USD + 0.850%)
2.75%, 11/25/29 (a) | | | 694 | |
1,860,652 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 1.150%) 3.05%, 9/25/29 (a) | | | 1,872 | |
628,511 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 1.300%) 3.20%, 7/25/29 (a) | | | 634 | |
399,482 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 1.350%) 3.25%, 1/25/29 (a) | | | 401 | |
1,060,000 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 2.250%) 4.15%, 7/25/30 (a) | | | 1,086 | |
894,070 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 4.000%) 5.90%, 5/25/25 (a) | | | 982 | |
1,050,000 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 4.250%) 6.15%, 1/25/29 (a) | | | 1,196 | |
670,690 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 4.550%) 6.45%, 2/25/25 (a) | | | 729 | |
565,033 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 5.000%) 6.90%, 7/25/25 (a) | | | 645 | |
449,007 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 5.000%) 6.90%, 7/25/25 (a) | | | 501 | |
1,245,462 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 5.700%) 7.60%, 4/25/28 (a) | | | 1,450 | |
400,000 | | Fannie Mae Connecticut Avenue Securities,
(1 mo. LIBOR USD + 6.000%) 7.90%, 9/25/28 (a) | | | 479 | |
692,965 | | First Horizon Alternative Mortgage Securities
Trust 2006-AA5, 3.46%, 9/25/36 (d) | | | 645 | |
1,221,220 | | Flagstar Mortgage Trust 2018-1 144A,
3.50%, 3/25/48 (b)(d) | | | 1,210 | |
1,338,389 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%)
3.10%, 7/25/29 (a) | | | 1,351 | |
865,237 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%)
3.10%, 8/25/29 (a) | | | 872 | |
4,363,229 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.200%)
3.10%, 10/25/29 (a) | | | 4,414 | |
943,126 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 1.650%)
3.55%, 4/25/24 (a) | | | 957 | |
1,000,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 2.300%)
4.20%, 9/25/30 (a) | | | 1,016 | |
1,250,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.600%)
6.50%, 12/25/42 (a) | | | 1,326 | |
500,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, (1 mo. LIBOR USD + 4.700%)
6.60%, 3/25/28 (a) | | | 578 | |
1,020,285 | | FREMF 2017-KF32 Mortgage Trust 144A, (1 mo. LIBOR USD + 2.550%)
4.43%, 5/25/24 (a)(b) | | | 1,035 | |
| | | | | | |
Principal
or Shares | | Security Description | | Value (000) | |
| | | | | | |
946,299 | | GSMPS Mortgage Loan Trust 2005-RP2 144A, (1 mo. LIBOR USD + 0.350%)
2.25%, 3/25/35 (a)(b) | | $ | 892 | |
309,208 | | HarborView Mortgage Loan Trust 2004-10,
3.71%, 1/19/35 (d) | | | 309 | |
87,821 | | HomeBanc Mortgage Trust 2004-1, (1 mo.
LIBOR USD + 0.860%) 2.76%, 8/25/29 (a) | | | 85 | |
259,548 | | IndyMac Index Mortgage Loan Trust
2005-AR13, 3.40%, 8/25/35 (d) | | | 234 | |
204,118 | | JP Morgan Alternative Loan Trust, (1 mo.
LIBOR USD + 0.170%) 2.07%, 8/25/36 (a) | | | 222 | |
121,823 | | JP Morgan Mortgage Trust, 6.00%, 7/25/36 | | | 110 | |
517,606 | | JP Morgan Mortgage Trust, 6.00%, 6/25/37 | | | 435 | |
353,050 | | JP Morgan Mortgage Trust 2014-IVR3 144A,
3.00%, 9/25/44 (b)(d) | | | 352 | |
2,607,223 | | JP Morgan Mortgage Trust 2017-5 144A,
3.18%, 10/26/48 (b)(d) | | | 2,587 | |
116,858 | | MLCC Mortgage Investors Inc.,
3.33%, 2/25/36 (d) | | | 118 | |
756,975 | | Morgan Stanley Mortgage Loan Trust,
3.42%, 1/25/35 (d) | | | 745 | |
335,717 | | Nationstar Mortgage Loan Trust 2013-A 144A,
3.75%, 12/25/52 (b)(d) | | | 339 | |
416,633 | | New Residential Mortgage Loan Trust 2014-2
144A, 3.75%, 5/25/54 (b)(d) | | | 419 | |
813,339 | | New Residential Mortgage Loan Trust 2014-3
144A, 5.65%, 11/25/54 (b)(d) | | | 852 | |
229,412 | | New Residential Mortgage Loan Trust 2015-1
144A, 3.75%, 5/28/52 (b)(d) | | | 231 | |
520,920 | | New Residential Mortgage Loan Trust 2015-2
144A, 3.75%, 8/25/55 (b)(d) | | | 524 | |
701,459 | | New Residential Mortgage Loan Trust 2016-1
144A, 3.75%, 3/25/56 (b)(d) | | | 705 | |
1,305,567 | | New Residential Mortgage Loan Trust 2016-4
144A, 3.75%, 11/25/56 (b)(d) | | | 1,311 | |
1,300,375 | | New Residential Mortgage Loan Trust 2017-3
144A, 4.00%, 4/25/57 (b)(d) | | | 1,315 | |
846,392 | | New Residential Mortgage Loan Trust 2017-4
144A, 4.00%, 5/25/57 (b)(d) | | | 859 | |
1,467,976 | | New Residential Mortgage Loan Trust 2017-5 144A, (1 mo. LIBOR USD + 1.500%) 3.40%, 6/25/57 (a)(b) | | | 1,518 | |
132,920 | | Prime Mortgage Trust, 5.00%, 10/25/35 | | | 134 | |
1,518,374 | | RALI Series 2005-QA7 Trust,
3.94%, 7/25/35 (d) | | | 1,415 | |
1,287,046 | | RALI Series 2005-QS14 Trust, 6.00%, 9/25/35 | | | 1,238 | |
138,707 | | RALI Series 2006-QS4 Trust, 6.00%, 4/25/36 | | | 128 | |
588,681 | | RALI Series 2007-QS1 Trust, 6.00%, 1/25/37 | | | 554 | |
436,785 | | Residential Asset Securitization Trust 2006-A8,
6.00%, 8/25/36 | | | 385 | |
1,621,344 | | Ripon Mortgages PLC 144A, (3 mo. LIBOR GBP + 0.800%) 1.35%, 8/20/56 GBP (a)(b)(c) | | | 2,250 | |
846,924 | | Sequoia Mortgage Trust 2017-CH2 144A,
4.00%, 12/25/47 (b)(d) | | | 857 | |
25,900 | | Structured Adjustable Rate Mortgage Loan Trust,
3.41%, 8/25/34 (d) | | | 25 | |
Semi-Annual Report 6
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
243,035 | | Structured Adjustable Rate Mortgage Loan Trust,
3.41%, 12/25/35 (d) | | $ | 215 | |
257,172 | | Structured Adjustable Rate Mortgage Loan Trust,
3.67%, 8/25/34 (d) | | | 254 | |
3,123,807 | | Structured Asset Mortgage Investments II Trust 2006-AR7, (1 mo. LIBOR USD + 0.210%)
2.11%, 8/25/36 (a) | | | 2,853 | |
1,292,439 | | Structured Asset Mortgage Investments Inc., (1 mo. LIBOR USD + 0.310%)
2.21%, 12/25/35 (a) | | | 1,185 | |
845,790 | | Structured Asset Mortgage Investments Inc.,
(1 mo. LIBOR USD + 0.700%) 2.60%, 1/19/34 (a) | | | 829 | |
311,747 | | Structured Asset Mortgage Investments Inc.,
3.20%, 5/25/36 (d) | | | 198 | |
3,072 | | Structured Asset Mortgage Investments Trust,
2003-C1, 3.93%, 7/25/32 (d) | | | 3 | |
780,083 | | Vendee Mortgage Trust IO, 3.75%, 12/15/33 | | | 38 | |
150,168 | | WaMu Mortgage Pass-Through Certificates, (12 mo. Federal Reserve Cumulative Average USD + 0.940%) 2.22%, 5/25/46 (a) | | | 150 | |
347,708 | | WaMu Mortgage Pass-Through Certificates,
2.90%, 10/25/36 (d) | | | 325 | |
592,420 | | WaMu Mortgage Pass-Through Certificates,
3.18%, 9/25/36 (d) | | | 528 | |
881,496 | | WaMu Mortgage Pass-Through Certificates,
3.18%, 7/25/37 (d) | | | 738 | |
464,746 | | WaMu Mortgage Pass-Through Certificates,
3.32%, 2/25/37 (d) | | | 450 | |
574,272 | | WaMu Mortgage Pass-Through Certificates,
3.33%, 10/25/36 (d) | | | 561 | |
1,517,878 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust, (1 mo. LIBOR USD
+ 0.320%) 2.22%, 8/25/45 (a) | | | 1,521 | |
1,114,982 | | WaMu Mortgage Pass-Through Certificates
Series 2006-AR10 Trust, 3.30%, 9/25/36 (d) | | | 1,085 | |
476,161 | | WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust, (Cost of Funds for the 11th District of San Francisco + 1.250%)
2.07%, 1/25/47 (a) | | | 463 | |
2,014,904 | | WaMu Mortgage Pass-Through Certificates
Series 2007-HY1 Trust, 3.41%, 2/25/37 (d) | | | 1,977 | |
Total Mortgage Backed (Cost - $66,721) | | | 68,723 | |
| |
Municipal (0%) | | | | |
450,000 | | State of California, 4.60%, 4/01/38
(Cost - $474) | | | 471 | |
| |
U.S. Treasury (2%) | | | | |
550,000 | | U.S. Treasury Note, 1.25%, 8/31/19 (g)(h) | | | 542 | |
3,500,000 | | U.S. Treasury Note, 2.38%, 4/30/20 | | | 3,492 | |
Total U.S. Treasury (Cost - $4,039) | | | 4,034 | |
| |
Stocks (10%) | | | | |
Common Stock (9%) | | | | |
7,900 | | AbbVie Inc. | | | 763 | |
6,100 | | Amgen Inc. | | | 1,064 | |
35,300 | | Bank of America Corp. | | | 1,056 | |
23,300 | | BB&T Corp. | | | 1,230 | |
16,300 | | Citigroup Inc. | | | 1,113 | |
| | | | | | |
Principal or Shares | | Security Description | | Value (000) | |
11,200 | | DowDuPont Inc. | | $ | 708 | |
13,500 | | Exxon Mobil Corp. | | | 1,049 | |
6,200 | | Home Depot Inc. | | | 1,146 | |
24,900 | | Intel Corp. | | | 1,285 | |
7,600 | | International Business Machines Corp. | | | 1,102 | |
9,900 | | JPMorgan Chase & Co. | | | 1,077 | |
3,200 | | Lockheed Martin Corp. | | | 1,027 | |
6,700 | | McDonald’s Corp. | | | 1,122 | |
20,600 | | Merck & Co. Inc. | | | 1,213 | |
12,000 | | Microsoft Corp. | | | 1,122 | |
6,400 | | Philip Morris International Inc. | | | 525 | |
11,400 | | Phillips 66 | | | 1,269 | |
8,200 | | Wal-Mart Stores Inc. | | | 725 | |
Total Common Stock | | | 18,596 | |
| |
Master Limited Partnership (1%) | | | | |
44,700 | | Enterprise Products Partners LP | | | 1,200 | |
15,800 | | Magellan Midstream Partners LP | | | 1,040 | |
29,000 | | Spectra Energy Partners LP | | | 1,034 | |
Total Master Limited Partnership | | | 3,274 | |
| |
Preferred Stock (0%) | | | | |
220 | | Wells Fargo & Co., 7.50% | | | 282 | |
Total Stocks (Cost - $22,241) | | | 22,152 | |
| |
Investment Company (2%) | | | | |
3,779,500 | | Payden Cash Reserves Money Market Fund * | | | | |
| | (Cost - $3,780) | | | 3,780 | |
Purchase Options (0%) | | | | |
Total Purchased Options (Cost - $43) | | | 26 | |
Purchased Swaptions (0%) | | | | |
Total Purchased Swaptions (Cost - $81) | | | 33 | |
Total Investments, Before Options Written | | | | |
(Cost - $220,367) (103%) | | | 222,382 | |
Written Swaptions (0%) | | | | |
Total Written Swaptions (Cost - $(81)) | | | (40 | ) |
Total Investments (Cost - $220,286) (103%) | | | 222,342 | |
Liabilities in excess of Other Assets (-3%) | | | (5,646 | ) |
Net Assets (100%) | | $ | 216,696 | |
| | | | | | |
7 Payden Mutual Funds
| (a) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. See Note 2 in the Notes to Financial Statements. |
| (b) | Security offered only to qualified institutional investors, and thus is not registered for sale to the public under rule 144A of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (c) | Principal in foreign currency. |
| (d) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. See Note 2 in the Notes to Financial Statements. |
| (e) | Floating rate security. The rate shown reflects the rate in effect at April 30, 2018. The stated maturity is subject to prepayments. See Note 2 in the Notes to Financial Statements. |
| (f) | Security offered and sold outside the United States, and thus is exempt from registration under Regulation S of the Securities Act of 1933. It has been deemed liquid under guidelines approved by the Board. |
| (g) | All or a portion of security has been pledged in connection with outstanding centrally cleared swaps. |
| (h) | All or a portion of the security is pledged to cover futures contract margin requirements. |
Purchased Options
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | | | Number of
Contracts | | Notional
Amount
(000s) | | Exercise
Price | | Maturity
Date | | Value
(000s) | | Call/Put |
Exchange Traded Options Purchase — 0.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S & P 500 Index | | | | | | | | | 99 | | | | $ | 26,216 | | | | | 2260.00 | | | | | 05/11/2018 | | | | $ | 4 | | | | | Put | |
S & P 500 Index | | | | | | | | | 131 | | | | | 34,689 | | | | | 2260.00 | | | | | 05/31/2018 | | | | | 22 | | | | | Put | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchase Options | | | | | | | | | | | | | $ | 60,905 | | | | | | | | | | | | | | $ | 26 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Purchased Swaptions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | | | | | Notional
Amount
(000s) | | Expiration
date | | Value
(000s) | | Call/Put |
Purchased Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7385% | | | | BNP PARIBAS | | | | | | | | | | | | | | $ | 27,900 | | | | | 09/24/2018 | | | | $ | 33 | | | | | Call | |
Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Written Swaptions | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | | | | | Notional
Amount
(000s) | | Expiration
date | | Value
(000s) | | Call/Put |
Written Call Swaptions 0.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
5 Year Interest Rate Swap, 9/24/18, Pay Fixed 2.7825% | | | | BNP PARIBAS | | | | | | | | | | | | | | | $11,600 | | | | | 09/24/2018 | | | | $ | (40 | ) | | | | Call | |
Semi-Annually, Receive Pay Variable Quarterly, 3-Month USD LIBOR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report 8
Open Forward Currency Contracts to USD
| | | | | | | | | | | | | | | | | | | |
Currency Purchased (000s) | | | | Currency sold (000) | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(Depreciation)
(000s) |
Assets: | | | | | | | | | | | | | | | | | | | |
CAD 2,102 | | | | USD 1,632 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | $ | 7 | |
COP 1,524,000 | | | | USD 536 | | | | State Street Bank & Trust Co. | | | | | 05/11/2018 | | | | | 6 | |
USD 9,683 | | | | EUR 7,864 | | | | Citibank, N.A. | | | | | 05/08/2018 | | | | | 181 | |
USD 433 | | | | EUR 350 | | | | Citibank, N.A. | | | | | 05/08/2018 | | | | | 10 | |
USD 1,672 | | | | CAD 2,102 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | 33 | |
USD 1,628 | | | | NZD 2,258 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | 40 | |
USD 2,864 | | | | GBP 2,026 | | | | HSBC Bank USA, N.A. | | | | | 05/08/2018 | | | | | 74 | |
USD 1,609 | | | | NOK 12,597 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | 38 | |
USD 2,482 | | | | EUR 2,016 | | | | HSBC Bank USA, N.A. | | | | | 07/27/2018 | | | | | 30 | |
USD 548 | | | | COP 1,524,000 | | | | State Street Bank & Trust Co. | | | | | 05/11/2018 | | | | | 5 | |
USD 507 | | | | BRL 1,767 | | | | State Street Bank & Trust Co. | | | | | 05/16/2018 | | | | | 3 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | 427 | |
| | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | |
BRL 1,767 | | | | USD 532 | | | | State Street Bank & Trust Co. | | | | | 05/16/2018 | | | | | (28) | |
CAD 2,034 | | | | USD 1,609 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (24) | |
EUR 351 | | | | USD 435 | | | | Citibank, N.A. | | | | | 05/08/2018 | | | | | (11) | |
IDR 30,224,000 | | | | USD 2,180 | | | | Barclays Bank PLC | | | | | 07/24/2018 | | | | | (29) | |
JPY 519,300 | | | | USD 4,916 | | | | State Street Bank & Trust Co. | | | | | 06/14/2018 | | | | | (151) | |
MYR 4,180 | | | | USD 1,080 | | | | Barclays Bank PLC | | | | | 05/30/2018 | | | | | (16) | |
NOK 12,597 | | | | USD 1,624 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (53) | |
NOK 19,487 | | | | USD 2,475 | | | | HSBC Bank USA, N.A. | | | | | 07/27/2018 | | | | | (38) | |
NZD 2,258 | | | | USD 1,652 | | | | Citibank, N.A. | | | | | 06/26/2018 | | | | | (63) | |
USD 1,583 | | | | CAD 2,034 | | | | HSBC Bank USA, N.A. | | | | | 05/15/2018 | | | | | (1) | |
ZAR 6,440 | | | | USD 531 | | | | HSBC Bank USA, N.A. | | | | | 05/11/2018 | | | | | (15) | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | (429) | |
| | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation (Depreciation) | | | | | | | | | | | | | | | $ | (2) | |
| | | | | | | | | | | | | | | | | | | |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
| Contract Type | | Number of Contracts | | | | Expiration Date | | Notional
Amount
(000s) | | Current
Value
(000s) | | Unrealized
Appreciation
(Depreciation)
(000s) |
Long Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2 Year Note Future | | 27 | | | | | | Jun-18 | | | | $ | 5,725 | | | | $ | (12 | ) | | | $ | (12 | ) |
U.S. Treasury 5 Year Note Future | | 78 | | | | | | Jun-18 | | | | | 8,854 | | | | | (31 | ) | | | | (31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (43 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Short Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 10 Year Note Future | | 14 | | | | | | Jun-18 | | | | | (1,675 | ) | | | | 16 | | | | | 16 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | 16 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures | | | | | | | | | | | | | | | | | | | | | | $ | (27 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Open Centrally Cleared Credit Default Swap Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Maturity Date | | Notional
Amount
(000s) | | Value
(000s) | | Upfront payments/
receipts (000s) | | Unrealized
Appreciation
(000s) |
Protection Bought (Relevant Credit: Markit CDX, North America | | | | 06/20/2023 | | | | $ | 7,200 | | | | $ | 498 | | | | $ | 444 | | | | $ | 54 | |
High Yield Series 30 Index), Pay 5% Quarterly, Receive upon credit default | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See notes to financial statements.
9 Payden Mutual Funds
April 30, 2018(Unaudited)
Numbers in 000s
| | | | | | | | |
ASSETS: | | | | | | | | |
Investments, at value * | | | | $ | 218,602 | | | |
Affiliated investments, at value ** | | | | | 3,780 | | | |
Foreign cash *** | | | | | 12 | | | |
Cash | | | | | 51 | | | |
Cash pledged for financial futures contracts | | | | | 430 | | | |
Receivable for: | | | | | | | | |
Interest and dividends | | | | | 1,036 | | | |
Investments sold | | | | | 644 | | | |
Fund shares sold | | | | | 130 | | | |
Futures | | | | | 5 | | | |
Forward currency contracts | | | | | 427 | | | |
Other assets | | | | | 26 | | | |
Total Assets | | | | | 225,143 | | | |
LIABILITIES: | | | | | | | | |
Payable for: | | | | | | | | |
Forward currency contracts | | | | | 429 | | | |
Investments purchased | | | | | 7,665 | | | |
Fund shares redeemed | | | | | 5 | | | |
Futures | | | | | 2 | | | |
Options written **** | | | | | 40 | | | |
Variation margin on centrally cleared swaps | | | | | 1 | | | |
Accrued expenses: | | | | | | | | |
Investment advisory fees (Note 3) | | | | | 162 | | | |
Administration fees (Note 3) | | | | | 27 | | | |
Distribution fees (Note 3) | | | | | 52 | | | |
Trustee fees and expenses | | | | | 2 | | | |
Other liabilities | | | | | 62 | | | |
Total Liabilities | | | | | 8,447 | | | |
NET ASSETS | | | | $ | 216,696 | | | |
NET ASSETS: | | | | | | | | |
Paid in capital | | | | $ | 220,821 | | | |
Undistributed net investment income | | | | | 1,695 | | | |
Undistributed net realized losses from investments | | | | | (7,899 | ) | | |
Net unrealized appreciation (depreciation) from: | | | | | | | | |
Investments | | | | | 2,083 | | | |
Translation of assets and liabilities in foreign currencies | | | | | (4 | ) | | |
| | | | | | | | |
NET ASSETS | | | | $ | 216,696 | | | |
NET ASSET VALUE — offering and redemption price per share in whole dollars | | | | | | | | |
Institutional Class | | | | | | | | |
Net Assets | | | | $ | 17,752 | | | |
Shares Outstanding | | | | | 1,692 | | | |
Net Asset Value Per Share | | | | $ | 10.49 | | | |
SI Class | | | | | | | | |
Net Assets | | | | $ | 113,832 | | | |
Shares Outstanding | | | | | 10,901 | | | |
Net Asset Value Per Share | | | | $ | 10.44 | | | |
Adviser Class | | | | | | | | |
Net Assets | | | | $ | 46,651 | | | |
Shares Outstanding | | | | | 4,557 | | | |
Net Asset Value Per Share | | | | $ | 10.24 | | | |
Retirement Class | | | | | | | | |
Net Assets | | | | $ | 38,461 | | | |
Shares Outstanding | | | | | 3,922 | | | |
Net Asset Value Per Share | | | | $ | 9.81 | | | |
| | | | | | | | |
* Investments, at cost | | | | $ | 216,587 | | | |
** Affiliated investments, at cost | | | | | 3,780 | | | |
*** Foreign cash, at cost | | | | | 12 | | | |
**** Options written, at cost | | | | | (81 | ) | | |
See notes to financial statements.
Semi-Annual Report 10
Period ended April 30, 2018(Unaudited)
Numbers in 000s
| | | | | | | | |
INVESTMENT INCOME: | | | | | | | | |
Interest income (Note 2) | | | | $ | 3,824 | | | |
Dividend income | | | | | 101 | | | |
Dividend income from affiliated investment (Note 2) | | | | | 10 | | | |
Income from securities lending | | | | | 7 | | | |
Investment Income | | | | | 3,942 | | | |
EXPENSES: | | | | | | | | |
Investment advisory fees (Note 3) | | | | | 1,191 | | | |
Administration fees (Note 3) | | | | | 162 | | | |
Shareholder servicing fees | | | | | 9 | | | |
Distribution fees (Note 3) | | | | | 153 | | | |
Custodian fees | | | | | 20 | | | |
Transfer agent fees | | | | | 28 | | | |
Registration and filing fees | | | | | 25 | | | |
Trustee fees and expenses | | | | | 11 | | | |
Printing and mailing costs | | | | | 2 | | | |
Loan commitment fees | | | | | 2 | | | |
Legal fees | | | | | 1 | | | |
Publication expense | | | | | 3 | | | |
Pricing fees | | | | | 15 | | | |
Fund accounting fees | | | | | 27 | | | |
Insurance | | | | | 3 | | | |
Audit fees | | | | | 23 | | | |
Gross Expenses | | | | | 1,675 | | | |
Expense subsidy (Note 3) | | | | | (197 | ) | | |
Net Expenses | | | | | 1,478 | | | |
Net Investment Income | | | | | 2,464 | | | |
NET REALIZED AND UNREALIZED GAINS (LOSSES): | | | | | | | | |
Net realized gains (losses) from: | | | | | | | | |
Investments | | | | | 1,103 | | | |
Foreign currency transactions | | | | | (179 | ) | | |
Forward foreign exchange contracts | | | | | (73 | ) | | |
Futures contracts | | | | | (170 | ) | | |
Written option contracts | | | | | (146 | ) | | |
Swap contracts | | | | | 110 | | | |
Change in net unrealized appreciation (depreciation) from: | | | | | | | | |
Investments | | | | | (2,194 | ) | | |
Translation of assets and liabilities in foreign currencies. | | | | | (25 | ) | | |
Forward foreign exchange contracts | | | | | (96 | ) | | |
Futures contracts | | | | | (31 | ) | | |
Written option contracts | | | | | 91 | | | |
Swap contracts | | | | | 46 | | | |
Net Realized and Unrealized Losses | | | | | (1,564 | ) | | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS | | | | $ | 900 | | | |
| | | | | | | | |
See notes to financial statements.
11 Payden Mutual Funds
For the period ended April 30, 2018 (Unaudited) and year ended October 31st, 2017
Numbers in 000s
| | | | | | | | | | | | | | |
| | | 2018 | | | | 2017 | | |
INCREASE (DECREASE) IN NET ASSETS: | | | | | | | | | | | | | | |
FROM OPERATIONS: | | | | | | | | | | | | | | |
Net investment income | | | $ | 2,464 | | | | | | $ | 4,609 | | | |
Net realized gains (losses) on investments | | | | 645 | | | | | | | (1,245 | ) | | |
Change in net unrealized appreciation | | | | (2,209 | ) | | | | | | 2,234 | | | |
Change in Net Assets Resulting from Operations | | | | 900 | | | | | | | 5,598 | | | |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | | | |
Institutional Class | | | | (440 | ) | | | | | | (175 | ) | | |
SI Class | | | | (2,824 | ) | | | | | | (1,853 | ) | | |
Adviser Class | | | | (1,171 | ) | | | | | | (875 | ) | | |
Retirement Class | | | | (901 | ) | | | | | | (609 | ) | | |
Change in Net Assets from Distributions to Shareholders | | | | (5,336 | ) | | | | | | (3,512 | ) | | |
FROM CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | |
Proceeds from fund shares sold: | | | | | | | | | | | | | | |
Institutional Class | | | | — | | | | | | | 9,297 | | | |
SI Class | | | | 11,173 | | | | | | | 43,222 | | | |
Adviser Class | | | | 2,385 | | | | | | | 9,007 | | | |
Retirement Class | | | | 3,776 | | | | | | | 13,962 | | | |
Reinvestment of distributions: | | | | | | | | | | | | | | |
Institutional Class | | | | 440 | | | | | | | 175 | | | |
SI Class | | | | 2,810 | | | | | | | 1,852 | | | |
Adviser Class | | | | 1,169 | | | | | | | 867 | | | |
Retirement Class | | | | 901 | | | | | | | 609 | | | |
Cost of fund shares redeemed: | | | | | | | | | | | | | | |
Institutional Class | | | | (138 | ) | | | | | | (2,223 | ) | | |
SI Class | | | | (20,376 | ) | | | | | | (35,337 | ) | | |
Adviser Class | | | | (4,084 | ) | | | | | | (15,727 | ) | | |
Retirement Class | | | | (4,477 | ) | | | | | | (11,472 | ) | | |
Change in Net Assets from Capital Transactions | | | | (6,421 | ) | | | | | | 14,232 | | | |
Total Change in Net Assets | | | | (10,857 | ) | | | | | | 16,318 | | | |
NET ASSETS: | | | | | | | | | | | | | | |
Beginning of period | | | | 227,553 | | | | | | | 211,235 | | | |
End of period | | | $ | 216,696 | | | | | | $ | 227,553 | | | |
Accumulated net investment income | | | $ | 1,695 | | | | | | $ | 4,567 | | | |
FUND SHARES OF BENEFICIAL INTEREST: | | | | | | | | | | | | | | |
Institutional Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | 1,663 | | | | | | | 972 | | | |
Shares sold | | | | — | | | | | | | 883 | | | |
Shares issued in reinvestment of distributions | | | | 42 | | | | | | | 17 | | | |
Shares redeemed | | | | (13 | ) | | | | | | (209 | ) | | |
Change in shares outstanding | | | | 29 | | | | | | | 691 | | | |
Outstanding shares at end of period | | | | 1,692 | | | | | | | 1,663 | | | |
SI Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | 11,500 | | | | | | | 10,579 | | | |
Shares sold | | | | 1,068 | | | | | | | 4,110 | | | |
Shares issued in reinvestment of distributions | | | | 270 | | | | | | | 179 | | | |
Shares redeemed | | | | (1,937 | ) | | | | | | (3,368 | ) | | |
Change in shares outstanding | | | | (599 | ) | | | | | | 921 | | | |
Outstanding shares at end of period | | | | 10,901 | | | | | | | 11,500 | | | |
Adviser Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | 4,608 | | | | | | | 5,175 | | | |
Shares sold | | | | 233 | | | | | | | 871 | | | |
Shares issued in reinvestment of distributions | | | | 114 | | | | | | | 85 | | | |
Shares redeemed | | | | (398 | ) | | | | | | (1,523 | ) | | |
Change in shares outstanding | | | | (51 | ) | | | | | | (567 | ) | | |
Outstanding shares at end of period | | | | 4,557 | | | | | | | 4,608 | | | |
Retirement Class: | | | | | | | | | | | | | | |
Outstanding shares at beginning of period | | | | 3,894 | | | | | | | 3,583 | | | |
Shares sold | | | | 384 | | | | | | | 1,402 | | | |
Shares issued in reinvestment of distributions | | | | 92 | | | | | | | 62 | | | |
Shares redeemed | | | | (448 | ) | | | | | | (1,153 | ) | | |
Change in shares outstanding. | | | | 28 | | | | | | | 311 | | | |
Outstanding shares at end of period | | | | 3,922 | | | | | | | 3,894 | | | |
LONG TERM INVESTMENT ACTIVITY: | | | | | | | | | | | | | | |
Purchase of investments (excluding government) | | | $ | 86,009 | | | | | | $ | 171,901 | | | |
Sale of investments (excluding government) | | | | 94,082 | | | | | | | 135,168 | | | |
Purchase of government securities | | | | 14,482 | | | | | | | 107,476 | | | |
Sale of government securities | | | | 19,845 | | | | | | | 109,326 | | | |
See notes to financial statements.
Semi-Annual Report 12
April 30, 2018(Unaudited)
1. Organization and Related Matters
The Payden & Rygel Investment Group (the “Group”) is a no-load, open-end registered investment company organized as a Massachusetts business trust on January 22, 1992 and registered under the Investment Company Act of 1940 (the “1940 Act”), as amended. Each of its nineteen funds (each a “Fund,” collectively the “Funds”) is a series of the Group, and is authorized to issue unlimited shares at $0.001 par value. This report contains only the Payden/Kravitz Cash Balance Plan Fund. The other eighteen Funds are contained in a separate report.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The Fund’s financial statements are prepared in accordance with GAAP.
The Fund is considered an investment company under FASB ASC 946, Financial Services - Investment Companies.
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Securities Valuation
Domestic and foreign fixed income securities and other assets for which market quotations are readily available (other than obligations with original maturities of sixty days or less) are valued on the basis of quotes obtained from brokers and dealers or pricing services. Such quotations take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data. Debt securities with original maturities of sixty days or less are valued at amortized cost, which approximates fair value.
Publicly traded equity securities, whether in the U.S. or outside the U.S., for which market quotations are readily available generally will be valued at the official closing price or the last sale price on the exchange or market where they are principally traded, or if there have been no sales during the day, at the last bid price. Securities traded only on the over-the-counter (“OTC”) market are valued at the latest bid price. Investments in investment companies are valued at their net asset values as reported by such companies.
Options, futures, swaps and other similar instruments are valued at the official closing price, in the case of exchange traded derivatives, or on the basis of information provided by pricing services, quotes obtained from brokers and dealers, and market trades in the case of other securities.
Fixed income or equity securities for which market quotations are not readily available are priced at their fair value as determined in good faith under procedures established pursuant to the Valuation and Liquidity Guidelines applicable to the Fund. In considering fair value of a security, one or more factors are taken into consideration depending on the circumstances at the time, including for example: the cost of the security or the last reported sales price of the security as a starting point; changes in interest rates; changes in yield spreads of similarly rated or structured securities; fundamental analytical information relating to the security; the value of other similar securities traded on other markets or among dealers; the general financial condition of the issuer; recent developments affecting the issuer; information, including price quotations, from other financial institutions or analysts; or government actions or pronouncements and other significant events affecting the economy, the markets, the fundamental value of the issuer or of the issuer’s industry.
Shares of open-end investment companies are valued at their respective net asset value.
Fair value pricing adjustments may occur when (1) developments occur (a “significant event”) that will affect the value of a Fund’s holdings, and (2) the significant event occurs after the close of the markets on which the securities trade, but before the time when the net asset value is computed for a Fund. A significant event may relate to a single issuer or an entire market.
Risks
Unforeseen events in the markets may at times result in an unusually high degree of volatility in the markets, which could adversely affect the fund causing a decline in value.
13 Payden Mutual Funds
Investing in debt securities may include failure of an issuer to make timely interest or principal payments, or a decline or the perception of a decline in credit quality. In addition, the value of the debt security may decline due to general market conditions that are not specifically related to a particular company including industry earnings outlook, changes in interest or currency rates or perception of a specific industry.
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities.
An investment in the Payden Cash Reserves Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
Investment Transactions and Related Income
Investment transactions are accounted for on the date the security is purchased or sold (trade date) for financial reporting purposes. Interest income is recognized on an accrual basis. Premiums and discounts are amortized or accreted over the expected life of the security using the effective interest method. Dividend income is recorded on the ex-dividend date. Realized gains or losses on investment transactions are determined on the identified cost basis.
Bank Loans
Floating-Rate Loan Interests (“Bank Loans”) in which the Fund invests generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”), (ii) the prime rate offered by one or more United States banks or (iii) the certificate of deposit rate. Certain Bank Loans are subject to a LIBOR floor that establishes a minimum LIBOR rate. The interest rate shown on the Schedule of Investments reflects the rate in effect at April 30th. When a range of rates is disclosed, the Fund holds more than one position within the same tranche at varying rates.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. The Fund may purchase securities that are denominated in foreign currencies. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the current exchange rates. Purchases and sales of securities, income and expenses are translated into U.S. dollars at the exchange rates on the dates of the respective transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in security prices.
Reported net realized foreign exchange gains or losses arise from purchases and sales of foreign currencies, currency gains or losses realized between the trade and settlement dates of securities transactions, and the differences between the amounts of income or expenses recorded on the Fund’s books and the U.S. dollar equivalents of the amounts actually received or paid. Net unrealized appreciation/depreciation from translation of assets and liabilities denominated in foreign currency arise from changes in the value of assets and liabilities resulting from changes in the foreign exchange rates.
Forward Currency Contracts
The Fund enters into forward currency contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The Fund enters into forward currency contracts to protect against adverse currency movements or as speculative investments. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until the contact settlement date or an offsetting forward foreign currency contract has been executed, at which time the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risk may arise upon entering into these contracts from potential inability of the counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Futures Contracts
The Fund invests in futures contracts to hedge against anticipated future changes in interest or exchange rates or security prices. In addition, the Fund entered into such transactions to enhance potential gain in circumstances where hedging is not involved.
Semi-Annual Report 14
The purchase or sale of futures contracts and options on futures contracts provides for the future sale by one party and purchase by another party of a specified quantity of a financial instrument or foreign currency at a fixed price on a future date. Upon entering into such a contract, the Fund is required to deposit and maintain initial margin deposit of cash or securities as required by the exchange on which the contract is traded.
Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract. Such receipts or payments are known as variation margin and are recorded as unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of the underlying securities may not correlate to the change in value of the contracts.
Stock index futures contracts are an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract was originally written. Variation margin accounting procedures apply to these index futures contracts. The Fund invests in these futures contracts to permit the Fund to meet its objectives at a lower cost than investing directly in equity securities, while permitting the equivalent of an investment in a portfolio of equity securities. The potential risk to a Fund is that the change in value of the underlying index may not correlate to the change in value of the contracts.
Swap Contracts
The Fund may enter into swap agreements, in which a Fund and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation) and realized gain (loss) is recorded at termination of the contract.
Upon entering into a centrally cleared swap, the Fund is required to deposit and maintain initial margin deposit of cash or securities as required by the exchange on which the contract is traded. Pursuant to a centrally cleared swap, the Fund agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract. Such receipts or payments are known as variation margin and are recorded as
unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of the underlying securities may not correlate to the change in value of the contracts.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, credit spreads and/or market values associated with these transactions.
The Fund may enter into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which it is not otherwise exposed (credit risk). A Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
15 Payden Mutual Funds
The Fund may enter into total return swaps to obtain exposure to a security or market without owning such security or investing directly in that market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.
For financial reporting purposes, swap interest and amortization is classified as realized or unrealized gain or loss on swap contracts.
Options Transactions
Option techniques may be utilized by the Fund to hedge against changes in interest rates, foreign currency exchange rates or security prices in order to establish more definitely the effective return on securities or currencies held or intended to be acquired by the Fund, to reduce the volatility of the currency exposure associated with investments in non-U.S. securities, or as an efficient means of adjusting exposure to the bond, equity and currency markets. In addition, the Fund may enter into such transactions to enhance potential gain in circumstances where hedging is not involved. When a Fund writes a covered call or put option, an amount equal to the premium received is reflected as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option. If an option expires on its stipulated expiration date or if the Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the cost of the security acquired is decreased by the premium originally received. As writer of an option, the Fund has no control over whether the underlying securities are subsequently sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the security underlying the written option.
When the Fund purchases a call or put option, an amount equal to the premium paid is included in the Fund’s Statement of Assets and Liabilities as an investment, and is subsequently marked-to-market to reflect the current value of the option. If an option expires on the stipulated expiration date or if the
Fund enters into a closing sale transaction, a gain or loss is realized. If the Fund exercises a call option, the cost of the security acquired is increased by the premium paid for the call. If the Fund exercises a put option, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are decreased by the premium originally paid. Written and purchased options are non-income producing securities.
Derivative Financial Instruments
The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to economically hedge its exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.
The following tables show the Fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations.
Statement of Assets and Liabilities
Fair Values of Derivative Instruments as of April 30, 2018 (000s)
| | | | | | | | | | |
Underlying Risk | | Derivative
Assets | | Derivative
Liabilities |
Credit1 | | | $ | 54 | | | | | — | |
Equity2 | | | | 26 | | | | | — | |
Interest rate1,3,4 | | | | 49 | | | | $ | (83 | ) |
Foreign currency5,6 | | | | 427 | | | | | (429 | ) |
| | | | | | | | | | |
Total | | | $ | 556 | | | | $ | (512 | ) |
| | | | | | | | | | |
| 1 | Includes cumulative appreciation/depreciation of futures contracts and centrally cleared swaps as reported in Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities as Receivable/Payable for futures and variation margin on centrally cleared swaps. |
| 2 | Includes options purchased at value as reported in the Schedule of Investments. |
| 3 | Receivable for options written. |
| 4 | Payable for options written. |
| 5 | Receivable for forward currency contracts. |
| 6 | Payable for forward currency contracts. |
Semi-Annual Report 16
The Effect of Derivative Instruments on the Statement of Operations For the Period Ended April 30, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income (000s) |
Underlying risk | | Futures1 | | Forward
Currency
Contracts2 | | Options3 | | Swaps4 | | Total |
Credit | | | | — | | | | | — | | | | | — | | | | $ | 7 | | | | $ | 7 | |
Equity | | | | — | | | | | — | | | | $ | 428 | | | | | — | | | | | 428 | |
Foreign exchange | | | | — | | | | $ | (73 | ) | | | | — | | | | | — | | | | | (73 | ) |
Interest rate | | | $ | (170 | ) | | | | — | | | | | 333 | | | | | 103 | | | | | 266 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (170 | ) | | | $ | (73 | ) | | | $ | 761 | | | | $ | 110 | | | | $ | 628 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Net realized gains (losses) from futures contracts. |
| 2 | Net realized gains (losses) from forward foreign exchange contracts. |
| 3 | Net realized gains (losses) from written option contracts and purchased options, which are included in net realized gain on investments. |
| 4 | Net realized gains (losses) from swap contracts. |
The Effect of Derivative Instruments on the Statement of Operations For the Period Ended April 30, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income (000s) |
Underlying risk | | Futures5 | | Forward
Foreign
Exchange
Contracts6 | | Options7 | | Swaps8 | | Total |
Credit | | | | — | | | | | — | | | | | — | | | | $ | 54 | | | | $ | 54 | |
Equity | | | | — | | | | | — | | | | $ | 15 | | | | | — | | | | | 15 | |
Foreign exchange | | | | — | | | | $ | (96 | ) | | | | — | | | | | — | | | | | (96 | ) |
Interest rate | | | $ | (31 | ) | | | | — | | | | | (130 | ) | | | | (8 | ) | | | | (169 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (31 | ) | | | $ | (96 | ) | | | $ | (115 | ) | | | $ | 46 | | | | $ | (196 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 5 | Change in net unrealized appreciation (depreciation) from futures contracts. |
| 6 | Change in net unrealized appreciation (depreciation) from forward foreign exchange contracts. |
| 7 | Change in net unrealized appreciation (depreciation) from written option contracts and purchased options, which are included in change in unrealized appreciation (depreciation) on investments. |
| 8 | Change in net unrealized appreciation (depreciation) from swap contracts. |
During the period ended April 30, 2018, the average notional amount of derivatives as a percent of average net assets were as follows:
| | | | | | |
Foreign currency | | Credit | | Interest rate | | Equity |
14% | | 0% | | 3% | | 0% |
Counterparty Credit Risk
A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain
netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty to perform.
With exchange traded purchased options, futures and centrally cleared swaps, there is decreased counterparty credit risk to the Fund since the exchange or clearinghouse guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty.
However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties
17 Payden Mutual Funds
to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally,
the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g. $500,000) before a transfer is required, which is determined at the close of business of the Fund and additional required collateral is delivered to/ pledged by the Fund on the next business day. Typically, the Fund and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
At April 30, 2018, the Fund’s derivative assets and liabilities (by type) on a gross basis are as follows (000s):
| | | | | | | | |
| | | Assets | | | Liabilities | |
Derivative Financial Instruments: | | | | | | | | |
Centrally Cleared Swaps | | $ | — | | | $ | 1 | |
Futures Contracts | | | 5 | | | | 2 | |
Purchased Options1 | | | 59 | | | | — | |
Written Call Options | | | — | | | | 40 | |
Forward Currency Contracts | | | 427 | | | | 429 | |
| | | | | | | | |
Total derivative assets and liabilities in the Statement of Assets and Liabilities | | | 491 | | | | 472 | |
| | | | | | | | |
Derivatives not subject to a master netting agreement or similar agreement “(MNA”) | | | (302 | ) | | | (77 | ) |
| | | | | | | | |
Total derivative assets and liabilities subject to MNA | | $ | 189 | | | $ | 395 | |
| | | | | | | | |
1Includes options purchased at value which is included in Investments at value and reported in the Schedule of Investments.
The following tables present the Fund’s derivative assets by counterparty net of amounts available for offset under a MNA and net of the related collateral received by the Fund as of April 30, 2018 (000s):
| | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Derivative Assets
Subject to a MNA by
Counterparty | | Derivatives
Available
for Offset1 | | Non-Cash
Collateral
Received | | Cash
Collateral
Received | | Net Amount of
Derivative Assets2 |
BNP PARIBAS | | | $ | 33 | | | | $ | (33 | ) | | | | — | | | | | — | | | | | — | |
HSBC Bank USA, N.A. | | | | 142 | | | | | (131 | ) | | | | — | | | | | — | | | | $ | 11 | |
State Street Bank & Trust Co. | | | | 14 | | | | | (14 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 189 | | | | $ | (178 | ) | | | | — | | | | | — | | | | $ | 11 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Counterparty | | Derivative Liabilities
Subject to a MNA by
Counterparty | | Derivatives
Available
for Offset1 | | Non-Cash
Collateral
Pledged | | Cash
Collateral
Pledged | | Net Amount of
Derivative Liabilities3 |
Barclays Bank PLC | | | $ | 45 | | | | | — | | | | | — | | | | | — | | | | $ | 45 | |
BNP PARIBAS | | | | 40 | | | | $ | (33 | ) | | | | — | | | | | — | | | | | 7 | |
HSBC Bank USA, N.A. | | | | 131 | | | | | (131 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank & Trust Co. | | | | 179 | | | | | (14 | ) | | | | — | | | | | — | | | | | 165 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 395 | | | | $ | (178 | ) | | | | — | | | | | — | | | | $ | 217 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | The amount of derivatives for offset is limited to the amount of assets and/or liabilities that are subject to a MNA. |
| 2 | Net amount represents the net amount receivable from the counterparty in the event of default. |
| 3 | Net amount represents the net amount payable due to the counterparty in the event of default. |
Semi-Annual Report 18
Securities Lending
Pursuant to a securities lending agreement with The Bank of New York Mellon, the Fund may lend securities to qualified institutions. All loans are secured by collateral of at least 102% of the value of the U.S. securities loaned and 105% of the value of the foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. The collateral is maintained by the custodian. Cash collateral is reinvested in the Payden Cash Reserves Money Market Fund. The Fund is entitled to receive all of the income on the securities loaned, in addition to income earned as a result of the lending transaction. Although each security is fully collateralized, the Fund bears the risk of delay in receiving additional collateral or in recovery of or loss of rights in the securities loaned should the borrower fail to return the securities in a timely manner. The Fund maintains the right to recall the securities on loan for voting purposes. The income earned is disclosed in the Statement of Operations.
Securities lending transactions are entered into by the Fund under Master Securities Lending Agreements (“MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and the Fund can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral.
The Fund’s securities lending agreements by counterparty which are subject to offset under a MSLA, is included within the Fund’s Schedule of Investments under the heading “Offsetting Assets and Liabilities.” For financial reporting purposes, the Fund does not offset financial assets and financial liabilities that are subject to a MSLA on the Statement of Assets and Liabilities.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. Dividends from net investment income and net realized
gains on foreign currency transactions are declared and paid annually. Net realized gains on investments, if any, are declared and distributed at least annually. All distributions are paid in the form of additional shares unless cash payment is requested.
Distributions to shareholders are determined in accordance with income tax regulations, which may differ from GAAP.
Federal Income Taxes
It is the policy of the Fund to meet the requirements for qualification as a regulated investment company as defined in Sub-chapter M of the Internal Revenue Code (the ‘Code”), and to make distributions of net investment income and net realized gains sufficient to relieve it from all Federal income or excise taxes. As of and during the period ended April 30, 2018, the Fund did not record any liability for uncertain tax positions. Accordingly, no provision for Federal income or excise tax was made.
The Fund files a tax return annually using tax accounting methods required under provisions of the Code, which may differ from GAAP, the basis on which these financial statements are prepared. The differences arise primarily from the treatment of foreign currency transactions and futures contracts and the deferral of certain losses under Federal income tax regulations. Accordingly, the amounts of net investment income and net realized gains or losses reported in these financial statements may differ from those reported in each Fund’s tax return. Return of capital distributions and net investment losses for tax purposes, if any, are reclassified to paid in capital.
As of and during the period ended April 30, 2018, the Fund did not have any liabilities for any unrecognized tax positions. The Fund recognizes interest and penalties, if any, related to unrecognized tax positions as income tax expense in the Statement of Operations. During the period, the Fund did not incur any interest or penalties.
Each of the tax years in the four-year period ended April 30, 2018 remains subject to examination by the Internal Revenue Service and state taxing authorities.
Affiliated Investment
The Fund invests in the Cash Reserves Money Market Fund, an affiliated Fund. Income earned by the Fund from affiliated funds for the period is disclosed in the Statement of Operations.
19 Payden Mutual Funds
| | | | | | | | | | | | |
Value October 31, 2017 | | Purchases | | Sales | | Dividends | | Value April 30, 2018 | | Realized Gain (Loss) | | Change in Unrealized Appreciation (Depreciation) |
| $714,370 | | $252,767,390 | | $249,702,260 | | $9,889 | | $3,779,500 | | — | | — |
Custodian Credits
The Fund has entered into an agreement with the custodian, whereby it earns custodian fee credits for temporary cash balance. These credits, which offset custodian fees that may be charged to the Fund, are based on 75% of the daily effective federal funds rate, and are, subject to rounding, disclosed in the Statement of Operations. There were no custodian credits applicable to the Fund during the period ended April 30, 2018.
Other
Income and realized and unrealized gain/loss are allocated to each class based on relative net assets. Shared expenses incurred by the Group are allocated among the Funds of the Group on the basis of relative net assets. Fund-specific expenses are charged to each Fund as incurred.
In March 2017, the FASB issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities”which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Fund.
3. Related Party Transactions
Payden/Kravitz Advisers LLC (the “Adviser” or “Payden/ Kravitz”) provides investment advisory services to the Fund. Under the terms of the investment advisory agreement, Payden/ Kravitz is entitled to receive fees monthly, computed on the average daily net assets of the Fund at an annualized rate of 1.10%.
Payden/Kravitz agreed to guarantee that, for so long as it acts as investment adviser to the Fund, the expenses of the Fund, including advisory fees (exclusive of interest and taxes) will not exceed 1.25% for the Institutional and SI classes, 1.50% for the Adviser class, and 1.75% for the Retirement class of average daily net assets on an annualized basis.
The adviser also voluntarily agreed to temporarily limit expenses, including advisory fees of the Institutional class to
0.95% of the average daily net assets or an annualized basis through February 28, 2019 (exclusive of interest and taxes).
The Fund remains liable to Payden/Kravitz for expenses subsidized in any fiscal year up to a maximum of three years from the end of the period in which the expenses were subsidized as long as any reimbursement will not cause the annual expense ratio for the year in which it is made to exceed the amount of the expense guarantee or expense limit (whichever is in effect at the time of waiver or reimbursement).
The deferred expense subsidies represent the cumulative amount of expenses subsidized for the Fund through the end of the year. The amount $965,263 ($368,864 for 2016, $399,456 for 2017 and $196,943 for 2018) is not considered a liability of the Fund, and therefore is not recorded as a liability in the Statement of Assets and Liabilities, but will be recognized as net expense in the Statement of Operations as expense previously deferred in future periods, if expense limits permit.
Treasury Plus, Inc., a wholly owned subsidiary of Payden & Rygel, serves as administrator to the Fund. Under the terms of the administration agreement, Treasury Plus, Inc. receives fees monthly, computed on the average daily net assets of the Fund at an annualized rate of 0.15%.
The Fund has adopted a plan pursuant to SEC rule 12b-1 by which Payden & Rygel Distributors receives fees monthly, computed on the average net assets of the Adviser class at an annualized rate of 0.25% and of the Retirement class at an annualized rate of 0.50%. Payden & Rygel Distributors does not receive a fee from the Institutional and SI classes.
Certain officers and/or trustees of the Group are affiliated with Payden/Kravitz, Payden & Rygel Distributors and/or Treasury Plus, Inc. Such officers and trustees receive no fees from the Fund for serving as officers and/or trustees of the Group.
Indemnifications
Under the Group’s organizations documents, its trustees and officers are indemnified by the Fund against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these agreements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Currently, the Fund expects this risk of loss to be remote.
Semi-Annual Report 20
4. Fair Value Measurement
Various inputs are used in determining the value of the Fund’s investments and other financial instruments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those
securities. These inputs are summarized in the three broad levels: Level 1 - quoted prices in active markets for identical investments; Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.), and Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). See Note 2 -Securities Valuation for a summary of the inputs used in valuing the Fund’s investments and other financial instruments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Investments in Securities | |
| | | | | | | | | Level 2-Other | | | | | | | | | | |
| | | | | | | | | Significant | | | Level 3-Significant | | | | |
| | | Level 1-Quoted Prices | | | Observable Inputs | | | Unobservable Inputs | | | | |
| | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Assets | | | Liabilities | | | Total | |
| | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | | | (000’s) | |
Asset Backed | | | — | | | | — | | | | $52,657 | | | | — | | | | — | | | | — | | | | $52,657 | |
Bank Loans | | | — | | | | — | | | | 9,052 | | | | — | | | | — | | | | — | | | | 9,052 | |
Corporate Bond | | | — | | | | — | | | | 40,059 | | | | — | | | | — | | | | — | | | | 40,059 | |
Foreign Government | | | — | | | | — | | | | 21,395 | | | | — | | | | — | | | | — | | | | 21,395 | |
Mortgage Backed | | | — | | | | — | | | | 68,723 | | | | — | | | | — | | | | — | | | | 68,723 | |
Municipal | | | — | | | | — | | | | 471 | | | | — | | | | — | | | | — | | | | 471 | |
U.S. Treasury | | | — | | | | — | | | | 4,034 | | | | — | | | | — | | | | — | | | | 4,034 | |
Swaptions Purchased | | | — | | | | — | | | | 33 | | | | — | | | | — | | | | — | | | | 33 | |
Common Stock | | | $18,597 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 18,597 | |
Master Limited Partnership | | | 3,273 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,273 | |
Preferred Stock | | | 282 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 282 | |
Options Purchased | | | 26 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 26 | |
Investment Company | | | 3,780 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 3,780 | |
21 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Other Financial Instruments1 | |
| | | Level 1-Quoted Prices | | | Level 2-Other Significant
Observable Inputs | | | Level 3-Significant
Unobservable Inputs | | | | |
| | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Assets
(000’s) | | | Liabilities
(000’s) | | | Total
(000’s) | |
Forward currency contracts | | | — | | | | — | | | | $427 | | | | $(429 | ) | | | — | | | | — | | | | $ (2 | ) |
Futures | | | $16 | | | | $(43 | ) | | | — | | | | — | | | | — | | | | — | | | | (27 | ) |
Swaps | | | — | | | | — | | | | 54 | | | | — | | | | — | | | | — | | | | 54 | |
Swaptions Written | | | — | | | | — | | | | — | | | | (40 | ) | | | — | | | | — | | | | (40 | ) |
| 1 | Other financial instruments are swaps, futures contracts and forward currency contracts and swaptions written, all of which are valued at the unrealized appreciation/ depreciation on the instrument and options written are shown at value. |
5. Federal Tax Information (amounts in 000s)
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment”), for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short or long term capital losses rather than being considered all short term.
As of October 31, 2017, the Fund had available for Federal income tax purposes unused capital losses as follows (000’s):
| | | | | | | | | | | | |
Expires
2019 | | | | | Unlimited* | | | | | Total |
$0 | | | | | | $— | | | | | | $0 |
* Post-enactment carryforward losses.
At April 30, 2018, net unrealized appreciation (depreciation) on investments for Federal income tax purposes is as follows (000’s):
| | | | | | |
Cost of Investments Federal Income Tax Purposes | | Gross
Unrealized
Appreciation
on Investments | | Gross
Unrealized
Depreciation
on Investments | | Net
Unrealized
Appreciation
on Investments |
$220,367 | | $4,365 | | $(2,350) | | $2,015 |
6. Subsequent Events
The Fund has evaluated subsequent events through the issuance of the financial statements and determined that no events have occurred that require disclosure.
Semi-Annual Report 22
For the share outstanding for the periods ended October 31st
| | | | | | | | | | | | | | | | | | | | |
| | | Institutional Class | | | | |
| | | 2018 | | | 2017 | | | 2016 | | |
Net asset value — beginning of period | | $ | 10.69 | | | $ | 10.55 | | | $ | 10.33 | | |
| | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | |
Net investment income | | | 0.15 | | | | 0.25 | | | | 0.15 | | |
Net realized and unrealized gains (losses) | | | (0.08 | ) | | | 0.07 | | | | 0.07 | | |
| | | | | | | | | | | | | |
Total from investment activities | | | 0.07 | | | | 0.32 | | | | 0.22 | | |
| | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | (0.18 | ) | | | — | | |
| | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.49 | | | $ | 10.69 | | | $ | 10.55 | | |
| | | | | | | | | | | | | |
Total return | | | 0.62 | %(1) | | | 3.09 | % | | | 2.13 | %(1) | |
| | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 17,752 | | | $ | 17,780 | | | $ | 10,259 | | |
Ratio of gross expense to average net assets | | | 1.41 | %(2) | | | 1.41 | % | | | 1.43 | %(2) | |
Ratio of net expense to average net assets | | | 0.95 | %(2) | | | 0.95 | % | | | 0.95 | %(2) | |
Ratio of investment income less gross expenses to average net assets | | | 2.24 | %(2) | | | 2.10 | % | | | 2.90 | %(2) | |
Ratio of net investment income to average net assets | | | 2.69 | %(2) | | | 2.55 | % | | | 3.38 | %(2) | |
Portfolio turnover rate | | | 46 | %(1) | | | 116 | % | | | 55 | %(1) | |
The Class commenced operations on June 1, 2016. | |
| | | SI Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.65 | | | $ | 10.54 | | | $ | 10.48 | | | $ | 10.63 | | | $ | 10.66 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.14 | | | | 0.23 | | | | 0.25 | | | | 0.19 | | | | 0.23 | |
Net realized and unrealized gains (losses) | | | (0.09 | ) | | | 0.06 | | | | 0.01 | | | | (0.16 | ) | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.05 | | | | 0.29 | | | | 0.26 | | | | 0.03 | | | | 0.25 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.26 | ) | | | (0.18 | ) | | | (0.20 | ) | | | (0.18 | ) | | | (0.28 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.44 | | | $ | 10.65 | | | $ | 10.54 | | | $ | 10.48 | | | $ | 10.63 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.47 | %(1) | | | 2.76 | % | | | 2.58 | % | | | 0.29 | % | | | 2.41 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 113,832 | | | $ | 122,500 | | | $ | 111,517 | | | $ | 107,903 | | | $ | 89,025 | |
Ratio of gross expense to average net assets | | | 1.41 | %(2) | | | 1.42 | % | | | 1.43 | % | | | 1.46 | % | | | 1.47 | % |
Ratio of net expense to average net assets | | | 1.25 | %(2) | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % |
Ratio of investment income less gross expenses to average net assets | | | 2.23 | %(2) | | | 2.09 | % | | | 2.23 | % | | | 2.00 | % | | | 2.22 | % |
Ratio of net investment income to average net assets | | | 2.39 | %(2) | | | 2.25 | % | | | 2.42 | % | | | 2.21 | % | | | 2.44 | % |
Portfolio turnover rate | | | 46 | %(1) | | | 116 | % | | | 55 | % | | | 85 | % | | | 85 | % |
The class commenced operations on September 22, 2008.
23 Payden Mutual Funds
| | | | | | | | | | | | | | | | | | | | |
| | | Adviser Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.46 | | | $ | 10.37 | | | $ | 10.34 | | | $ | 10.51 | | | $ | 10.54 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.12 | | | | 0.22 | | | | 0.25 | | | | 0.19 | | | | 0.25 | |
Net realized and unrealized gains (losses) | | | (0.08 | ) | | | 0.04 | | | | (0.02 | ) | | | (0.19 | ) | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.04 | | | | 0.26 | | | | 0.23 | | | | — | | | | 0.23 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.26 | ) | | | (0.17 | ) | | | (0.20 | ) | | | (0.17 | ) | | | (0.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 10.24 | | | $ | 10.46 | | | $ | 10.37 | | | $ | 10.34 | | | $ | 10.51 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.36 | %(1) | | | 2.56 | % | | | 2.28 | % | | | 0.05 | % | | | 2.18 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 46,651 | | | $ | 48,190 | | | $ | 53,687 | | | $ | 60,661 | | | $ | 57,112 | |
Ratio of gross expense to average net assets | | | 1.66 | %(2) | | | 1.67 | % | | | 1.68 | % | | | 1.71 | % | | | 1.73 | % |
Ratio of net expense to average net assets | | | 1.50 | %(2) | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.99 | %(2) | | | 1.84 | % | | | 1.98 | % | | | 1.75 | % | | | 1.95 | % |
Ratio of net investment income to average net assets | | | 2.14 | %(2) | | | 2.00 | % | | | 2.17 | % | | | 1.96 | % | | | 2.18 | % |
Portfolio turnover rate | | | 46 | %(1) | | | 116 | % | | | 55 | % | | | 85 | % | | | 85 | % |
The class commenced operations on September 22, 2008.
| | | | | | | | | | | | | | | | | | | | |
| | | Retirement Class | |
| | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
Net asset value — beginning of period | | $ | 10.04 | | | $ | 9.98 | | | $ | 9.98 | | | $ | 10.17 | | | $ | 10.21 | |
| | | | | | | | | | | | | | | | | | | | |
Income (loss) from investment activities: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.11 | | | | 0.18 | | | | 0.20 | | | | 0.17 | | | | 0.22 | |
Net realized and unrealized gains (losses) | | | (0.09 | ) | | | 0.05 | | | | — | | | | (0.19 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment activities | | | 0.02 | | | | 0.23 | | | | 0.20 | | | | (0.02 | ) | | | 0.19 | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.25 | ) | | | (0.17 | ) | | | (0.20 | ) | | | (0.17 | ) | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value — end of period | | $ | 9.81 | | | $ | 10.04 | | | $ | 9.98 | | | $ | 9.98 | | | $ | 10.17 | |
| | | | | | | | | | | | | | | | | | | | |
Total return | | | 0.22 | %(1) | | | 2.33 | % | | | 2.03 | % | | | (0.19 | )% | | | 1.90 | % |
| | | | | | | | | | | | | | | | | | | | |
Ratios/supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000s) | | $ | 38,461 | | | $ | 39,083 | | | $ | 35,772 | | | $ | 27,001 | | | $ | 28,515 | |
Ratio of gross expense to average net assets | | | 1.91 | %(2) | | | 1.91 | % | | | 1.93 | % | | | 1.96 | % | | | 1.97 | % |
Ratio of net expense to average net assets | | | 1.75 | %(2) | | | 1.75 | % | | | 1.75 | % | | | 1.75 | % | | | 1.75 | % |
Ratio of investment income less gross expenses to average net assets | | | 1.73 | %(2) | | | 1.59 | % | | | 1.74 | % | | | 1.51 | % | | | 1.72 | % |
Ratio of net investment income to average net assets | | | 1.89 | %(2) | | | 1.75 | % | | | 1.92 | % | | | 1.72 | % | | | 1.94 | % |
Portfolio turnover rate | | | 46 | %(1) | | | 116 | % | | | 55 | % | | | 85 | % | | | 85 | % |
The class commenced operations on April 6, 2009.
24
Understanding Your Fund’s Expenses
Shareholders of mutual funds incur two types of costs: transaction costs incurred from buying or selling Fund shares and ongoing costs incurred from the Funds daily operations. The tables below are provided to highlight ongoing cost only. If transaction costs were included your cost would have been higher.
Actual Expenses
The table below is useful in estimating actual expenses paid during the period ended April 30, 2018. It uses the Fund’s actual return and expense ratio for the period (181/365 days) to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000. To estimate the actual expenses that you paid over the period, divide your beginning account value by 1,000 and multiply that number by the number in the Expenses Paid During the Period column.
Hypothetical Expenses
The table below is provided so that you can compare the Fund’s ongoing expense with those of another fund. It uses a hypothetical gross annual return of 5%, which is not the Fund’s actual return and the Fund’s actual expense ratio (181/365 days) for the six-month period ended April 30, 2018 to calculate the ongoing expenses paid by a shareholder with an initial investment of $1,000.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Value
November 1, 2017 | | Value
April 30, 2018 | | 6-Month
Return | | Annual
Expense
Ratio | | Expenses
Paid During
the Period |
Institutional Class | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $1,006.20 | | | | | 0.62 | % | | | | 0.95 | % | | | | $4.73 | |
Hypothetical | | | | 1,000.00 | | | | | 1,020.08 | | | | | 2.01 | % | | | | 0.95 | % | | | | 4.76 | |
SI Class | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $1,004.70 | | | | | 0.47 | % | | | | 1.25 | % | | | | $6.21 | |
Hypothetical | | | | 1,000.00 | | | | | 1,018.60 | | | | | 1.86 | % | | | | 1.25 | % | | | | 6.26 | |
Adviser Class | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $1,003.60 | | | | | 0.36 | % | | | | 1.50 | % | | | | $7.45 | |
Hypothetical | | | | 1,000.00 | | | | | 1,017.36 | | | | | 1.74 | % | | | | 1.50 | % | | | | 7.50 | |
Retirement Class | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $1,002.20 | | | | | 0.22 | % | | | | 1.75 | % | | | | $8.69 | |
Hypothetical | | | | 1,000.00 | | | | | 1,016.12 | | | | | 1.61 | % | | | | 1.75 | % | | | | 8.75 | |
25 Payden Mutual Funds
| | | | | | | | | | | | |
| Name & Address | | Age | | Position with Fund | | Year Elected | | Number of
Portfolios | | Principal Occupation(s) | | Other
Directorships
Held |
333 S. Grand Avenue Los Angeles, CA 90071 | | | | | | | | | | | | |
Trustees (1) | | | | | | | | | | | | |
W. D. Hilton, Jr. | | 71 | | Independent Trustee | | 1993 | | 19 | | President and CEO, Trust Service, Inc.; Executive Director, NGC Bodily Injury Trust; and Managing Trustee, Fuller-Austin Trust | | |
Thomas V. McKernan, Jr. | | 73 | | Independent Trustee | | 1993 | | 19 | | Chairman, Automobile Club of Southern California, Director, First American Financial | | |
Rosemarie T. Nassif | | 76 | | Independent Trustee | | 2008 | | 19 | | President Emerita, Holy Names University; Program Director, Conrad Hilton Foundation | | Executive Director,
Center for Catholic
Education, Loyola
Marymount
University |
Andrew J. Policano | | 68 | | Independent Trustee | | 2008 | | 19 | | Former Dean, The | | Director, Rockwell |
| | | | | | | | | | Paul Merage School | | Collins |
| | | | | | | | | | of Business, | | |
| | | | | | | | | | University of | | |
| | | | | | | | | | California, Irvine | | |
Dennis C. Poulsen | | 75 | | Independent Trustee | | 1992 | | 19 | | Chairman of the | | |
| | | | | | | | | | Advisory Board, Rose | | |
| | | | | | | | | | Hills Company | | |
Stender E. Sweeney | | 79 | | Independent Trustee | | 1992 | | 19 | | Private Investor | | Director, Avis |
| | | | | | | | | | | | Budget Group, Inc. |
Joan A. Payden | | 86 | | Interested Trustee | | 1992 | | 19 | | President, CEO and | | |
| | | | | | | | | | Director, Payden & | | |
| | | | | | | | | | Rygel | | |
Michael E. Salvay | | 56 | | Interested Trustee | | 2009 | | 19 | | Managing Principal, | | |
| | | | | | | | | | Payden & Rygel | | |
James P. Sarni | | 57 | | Interested Trustee | | 2017 | | 19 | | Managing Principal | | |
| | | | | | | | | | and Director, Payden | | |
| | | | | | | | | | & Rygel | | |
Officers (2) | | | | | | | | | | | | |
Joan A. Payden | | | | Chairman and CEO | | 1992 | | | | President, CEO and | | |
| | | | | | | | | | Director, Payden & | | |
| | | | | | | | | | Rygel | | |
Brian W. Matthews | | | | Vice President and | | 2003 | | | | Managing Principal, | | |
| | | | CFO | | | | | | CFO and Director, | | |
| | | | | | | | | | Payden & Rygel | | |
Yot Chattrabhuti | | | | Vice President | | 1997 | | | | Principal, Payden & | | |
| | | | | | | | | | Rygel | | |
Bradley F. Hersh | | | | Vice President and | | 1998 | | | | Principal and | | |
| | | | Treasurer | | | | | | Treasurer, Payden & | | |
| | | | | | | | | | Rygel | | |
Edward S. Garlock | | | | Secretary | | 1997 | | | | Managing Principal, | | |
| | | | | | | | | | General Counsel and | | |
| | | | | | | | | | Director, Payden & | | |
| | | | | | | | | | Rygel | | |
Sandi Brents | | | | Vice President and | | 2016 | | | | Vice President and | | |
| | | | CCO | | | | | | Senior Compliance | | |
| | | | | | | | | | Officer, Payden & | | |
| | | | | | | | | | Rygel | | |
Additional information about the Trustees is included in the SAI and is available without charge, upon request at payden.com or 1800 5 PAYDEN.
| (1) | Trustees do not have a set term of office, but serve until their resignation, death or removal. |
| (2) | Officers are elected by, and serve at the pleasure of, The Board of Trustees. |
Semi-Annual Report 26
(THIS PAGE INTENTIONALLY LEFT BLANK)
IMPORTANT INFORMATION: The information contained in this report is intended for shareholders of the Payden Mutual Funds only. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current prospectus which provides further details.
The performance numbers presented in this report are derived from historical market data. There is no guarantee of future performance nor are Fund shares guaranteed. Investment return and principal value of an investment in a Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund shares are sold through Payden & Rygel Distributors, member FINRA.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov or the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800 SEC-0330.
To view the Fund’s proxy voting guidelines and proxy voting record, visit the SEC’s web site at http://www.sec.gov. You may also call 800 572-9336 to request a free copy of the proxy voting guidelines.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
| | |
| Item 7. | | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
| | |
| Item 9. | | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officers have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
| | | | |
| | (a)(1) | | Not applicable. |
| | |
| | (a)(2) | | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
| | |
| | (a)(3) | | Not applicable. |
| | |
| | (a)(4) | | Not applicable. |
| | |
| | (b) | | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | |
(Registrant) | | The Payden & Rygel Investment Group | | |
| | |
| |
By (Signature and Title)* | | /s/ Joan Payden |
| | Joan Payden, Chairman and CEO |
| | (principal executive officer) |
| |
Date June 26, 2018 | | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
By (Signature and Title)* | | /s/ Joan Payden |
| | Joan Payden, Chairman and CEO |
| | (principal executive officer) |
| |
Date June 26, 2018 | | |
| |
By (Signature and Title)* | | /s/ Brian W. Matthews |
| | Brian W. Matthews, Vice President and Chief Financial Officer |
| | (principal financial officer) |
Date June 26, 2018
* Print the name and title of each signing officer under his or her signature.
